0001752724-20-249364.txt : 20201125
0001752724-20-249364.hdr.sgml : 20201125
20201125171151
ACCESSION NUMBER: 0001752724-20-249364
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: 201351805
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
S000043985
Guggenheim Limited Duration Fund
C000136507
A-Class
GILDX
C000136508
C-Class
GILFX
C000136509
Institutional Class
GILHX
C000152100
R6
C000155965
P
GILPX
NPORT-P
1
primary_doc.xml
NPORT-P
false
0000088525
XXXXXXXX
S000043985
C000136507
C000155965
C000136508
C000136509
C000152100
Guggenheim Funds Trust
811-01136
0000088525
54930033G24U3UGWK691
702 King Farm Blvd., Suite 200
Rockville
20850
301-296-5100
Guggenheim Limited Duration Fund
S000043985
549300HOV4IT1OMUDR80
2020-09-30
2020-09-30
N
4702255053.52
918521104.37
3783733949.15
0.00000000
0.00000000
0.00000000
0.00000000
0.00000000
0.00000000
0.00000000
0.00000000
0.00000000
0.00000000
0.00000000
0.00000000
0.00000000
0.00000000
USD
EUR
BRL
MXN
CAD
JPY
ILS
N
Textainer Marine Containers Li
549300X48KLHDDGPK024
Textainer Marine Containers VII Ltd.
88315LAE8
5751232.31080000
PA
USD
5878186.16000000
0.155354108903
Long
ABS-O
CORP
US
N
2
2045-08-21
Fixed
2.73000000
N
N
N
N
N
N
ZIMMER BIOMET HOLDINGS
2P2YLDVPES3BXQ1FRB91
Zimmer Biomet Holdings, Inc.
98956PAT9
5350000.00000000
PA
USD
5990443.42000000
0.158320946993
Long
DBT
CORP
US
N
2
2030-03-20
Fixed
3.55000000
N
N
N
N
N
N
EQUINOR ASA
OW6OFBNCKXC4US5C7523
Equinor ASA
29446MAJ1
3500000.00000000
PA
USD
3630945.26000000
0.095961960031
Long
DBT
CORP
US
N
2
2026-01-22
Fixed
1.75000000
N
N
N
N
N
N
VERIZON COMMUNICATIONS
2S72QS2UO2OESLG6Y829
Verizon Communications, Inc.
92343VFF6
2100000.00000000
PA
USD
2338046.70000000
0.061792048051
Long
DBT
CORP
US
N
2
2027-03-22
Fixed
3.00000000
N
N
N
N
N
N
EXXON MOBIL CORPORATION
J3WHBG0MTS7O8ZVMDC91
Exxon Mobil Corp.
30231GBN1
7100000.00000000
PA
USD
7674448.29000000
0.202827376161
Long
DBT
CORP
US
N
2
2030-10-15
Fixed
2.61000000
N
N
N
N
N
N
NIELSEN FINANCE LLC/CO
N/A
Nielsen Finance LLC / Nielsen Finance Co.
65409QBB7
415000.00000000
PA
USD
416037.50000000
0.010995421601
Long
DBT
CORP
US
N
2
2022-04-15
Fixed
5.00000000
N
N
N
N
N
N
Shackleton CLO LTD
5493006EKWGOE6JAPH26
Shackleton CLO Ltd.
81881GAC2
37025032.34010000
PA
USD
36923046.89000000
0.975836234423
Long
ABS-O
CORP
KY
N
2
2028-07-17
Floating
1.29300000
N
N
N
N
N
N
VIACOMCBS INC
5KYC8KF17ROCY24M3H09
ViacomCBS, Inc.
92556HAA5
6860000.00000000
PA
USD
7881405.09000000
0.208297020771
Long
DBT
CORP
US
N
2
2025-05-15
Fixed
4.75000000
N
N
N
N
N
N
Home Equity Loan Trust
N/A
Home Equity Loan Trust
43710XAA6
17811521.13360000
PA
USD
16712774.70000000
0.441700577382
Long
ABS-MBS
CORP
US
N
2
2037-04-25
Floating
0.33800000
N
N
N
N
N
N
HOWMET AEROSPACE INC
549300HO5WFZUT5N2T22
Howmet Aerospace, Inc.
443201AA6
900000.00000000
PA
USD
994500.00000000
0.026283560455
Long
DBT
CORP
US
N
2
2025-05-01
Fixed
6.87500000
N
N
N
N
N
N
Telos CLO Ltd
549300S94NIRW4K03T89
Telos CLO Ltd.
87970UAS5
7876417.11660000
PA
USD
7867974.39000000
0.207942061882
Long
ABS-O
CORP
KY
N
2
2027-01-17
Floating
1.54300000
N
N
N
N
N
N
AVANOS MEDICAL INC
549300YCXWOM7NEWMQ58
Avanos Medical, Inc.
40650VAB6
200000.00000000
PA
USD
200080.00000000
0.005287898216
Long
DBT
CORP
US
N
2
2022-10-15
Fixed
6.25000000
N
N
N
N
N
N
JPMDB Commercial Mortgage Secu
N/A
JPMDB Commercial Mortgage Securities Trust
46590LAV4
8659567.84600000
PA
USD
469481.93000000
0.012407900140
Long
ABS-MBS
CORP
US
N
2
2049-06-15
Variable
1.81600000
N
N
N
N
N
N
BNP Paribas
R0MUWSFPU8MPRO8K5P83
CURRENCY CONTRACT - Rec USD / Deliver CAD
N/A
-12500000.00000000
NC
-61973.29000000
-0.00163788709
N/A
DFE
US
N
2
BNP Paribas
R0MUWSFPU8MPRO8K5P83
12500000.00000000
CAD
9327557.01000000
USD
2020-10-02
-61973.29000000
N
N
N
UCFC Manufactured Housing Cont
N/A
UCFC Manufactured Housing Contract
90263AAV2
234581.54220000
PA
USD
246989.12000000
0.006527655573
Long
ABS-MBS
CORP
US
N
2
2028-10-15
Fixed
7.38000000
N
N
N
N
N
N
LEVEL 3 FINANCING INC
N/A
Level 3 Financing, Inc.
527298BR3
2775000.00000000
PA
USD
2817513.00000000
0.074463824303
Long
DBT
CORP
US
N
2
2028-07-01
Fixed
4.25000000
N
N
N
N
N
N
Citibank N.A., New York
E57ODZWZ7FF32TWEFA76
CURRENCY CONTRACT - Rec USD / Deliver ILS
N/A
-1874.71000000
NC
-17.85000000
-0.00000047175
N/A
DFE
US
N
2
Citibank N.A., New York
E57ODZWZ7FF32TWEFA76
1874.71000000
ILS
531.53000000
USD
2021-02-01
-17.85000000
N
N
N
BP CAPITAL MARKETS PLC
549300CRVT18MXX0AG93
BP Capital Markets plc
05565QDV7
7500000.00000000
PA
USD
8025000.00000000
0.212092079090
Long
DBT
CORP
US
N
2
N/A
Variable
4.87500000
N
N
N
N
N
N
ONTARIO T-BILL
C7PVKCRGLG18EBQGZV36
Ontario T-Bill
6832Z5E71
23240000.00000000
PA
17442874.55000000
0.460996327554
Long
DBT
NUSS
CA
N
2
2021-01-27
None
0.00000000
N
N
N
N
N
N
Newfleet CLO, Ltd.
5493003RFBB86V8THH68
Newfleet CLO Ltd.
65130PAN0
2805488.39990000
PA
USD
2786726.14000000
0.073650160858
Long
ABS-O
CORP
KY
N
2
2028-04-20
Floating
1.22200000
N
N
N
N
N
N
Crown Point CLO Ltd
549300WLF3VYVWNLRP29
Crown Point CLO III Ltd.
22845TAQ2
4653283.48830000
PA
USD
4633036.12000000
0.122446138715
Long
ABS-O
CORP
KY
N
2
2027-12-31
Floating
1.18500000
N
N
N
N
N
N
Newstar Trust
549300HA6DDD2ONJSM48
Newstar Commercial Loan Funding LLC
65252AAE5
3000000.00000000
PA
USD
2988619.20000000
0.078985976291
Long
ABS-O
CORP
US
N
2
2027-03-20
Floating
2.72740000
N
N
N
N
N
N
ALTICE FRANCE SA
5493001ZMCICV4N02J21
Altice France S.A.
67054KAA7
2650000.00000000
PA
USD
2776935.00000000
0.073391391607
Long
DBT
CORP
FR
N
2
2026-05-01
Fixed
7.37500000
N
N
N
N
N
N
ARAMARK SERVICES INC
42YMHYH0XMHJEXDUB065
Aramark Services, Inc.
038522AQ1
275000.00000000
PA
USD
277062.50000000
0.007322462512
Long
DBT
CORP
US
N
2
2028-02-01
Fixed
5.00000000
N
N
N
N
N
N
BELROSE FUNDING TRUST
N/A
Belrose Funding Trust
080807AA8
7100000.00000000
PA
USD
7016635.28000000
0.185442089065
Long
DBT
CORP
US
N
2
2030-08-15
Fixed
2.33000000
N
N
N
N
N
N
BENCHMARK Mortgage Trust
N/A
BENCHMARK Mortgage Trust
08161CAG6
122895046.45990000
PA
USD
2718278.66000000
0.071841167918
Long
ABS-MBS
CORP
US
N
2
2051-02-15
Variable
0.55730000
N
N
N
N
N
N
ESTRN CA MUNI WTR DIST WTR & W
549300ZCFVRFDIRWK089
Eastern Municipal Water District Revenue Bonds
27627TBV3
11000000.00000000
PA
USD
11000000.00000000
0.290718114640
Long
DBT
MUN
US
N
2
2046-07-01
Variable
0.11000000
N
N
N
N
N
N
Morgan Stanley Home Equity Loa
N/A
Morgan Stanley Home Equity Loan Trust
61744CYP5
6130190.02080000
PA
USD
6047292.07000000
0.159823395388
Long
ABS-MBS
CORP
US
N
2
2036-02-25
Floating
0.42810000
N
N
N
N
N
N
Banc of America Funding Corpor
N/A
Banc of America Funding Trust
05990TAG2
10278000.00000000
PA
USD
9911603.69000000
0.261952976165
Long
ABS-MBS
CORP
US
N
2
2037-04-29
Floating
0.40810000
N
N
N
N
N
N
WELLS FARGO & COMPANY
PBLD0EJDB5FWOLXP3B76
Wells Fargo & Co.
95000U2G7
25000000.00000000
PA
USD
26847441.00000000
0.709548857314
Long
DBT
CORP
US
N
2
2030-10-30
Variable
2.87900000
N
N
N
N
N
N
EQUITABLE FINANCIAL LIFE
635400B4JJBON4TCHF02
Equitable Financial Life Global Funding
29449WAA5
15000000.00000000
PA
USD
15313429.80000000
0.404717403649
Long
DBT
CORP
US
N
2
2025-07-07
Fixed
1.40000000
N
N
N
N
N
N
SBA COMMUNICATIONS CORP
5299001HX8ZN8Y8QIT49
SBA Communications Corp.
78410GAB0
1000000.00000000
PA
USD
1007500.00000000
0.026627136409
Long
DBT
CORP
US
N
2
2022-10-01
Fixed
4.00000000
N
N
N
N
N
N
BXMT Ltd
N/A
BXMT Ltd.
12434LAE4
2000000.00000000
PA
USD
1955019.80000000
0.051669060940
Long
ABS-O
CORP
US
N
2
2037-02-16
Floating
1.55100000
N
N
N
N
N
N
MAPS LTD
N/A
MAPS Ltd.
56564RAA8
8694666.81830000
PA
USD
8000810.67000000
0.211452781234
Long
ABS-O
CORP
BM
N
2
2043-05-15
Fixed
4.21200000
N
N
N
N
N
N
JAPAN (GOVERNMENT OF)
N/A
Government of Japan
N/A
10535000000.00000000
PA
99875434.35000000
2.639599815743
Long
DBT
NUSS
JP
N
2
2020-10-12
None
0.00000000
N
N
N
N
N
N
Citibank N.A., New York
E57ODZWZ7FF32TWEFA76
CURRENCY CONTRACT - Rec USD / Deliver CAD
N/A
-39000000.00000000
NC
488455.40000000
0.012909348452
N/A
DFE
US
N
2
Citibank N.A., New York
E57ODZWZ7FF32TWEFA76
39000000.00000000
CAD
29787432.30000000
USD
2020-11-06
488455.40000000
N
N
N
Goldman Sachs International
W22LROWP2IHZNBB6K528
CURRENCY CONTRACT - Rec USD / Deliver EUR
N/A
-11989250.00000000
NC
-232815.26000000
-0.00615305576
N/A
DFE
US
N
2
Goldman Sachs International
W22LROWP2IHZNBB6K528
11989250.00000000
EUR
13927012.53000000
USD
2021-07-30
-232815.26000000
N
N
N
NOVA SCOTIA T-BILL
5493002W033HJBDP3481
Nova Scotia T-Bill
6698ZKX23
12500000.00000000
PA
9389436.40000000
0.248152658886
Long
DBT
NUSS
CA
N
2
2020-10-02
None
0.00000000
N
N
N
N
N
N
BRP INC
549300DZZJW11IMTMJ24
Bombardier Recreational Products, Inc.
N/A
4700000.00000000
PA
USD
4737224.00000000
0.125199711810
Long
LON
CORP
CA
N
2
2027-05-24
Variable
6.00000000
N
N
N
N
N
N
iShares iBoxx $ Investment Gra
549300FYCXFXG8POR355
iShares iBoxx $ Investment Grade Corporate Bond ETF
464287242
738600.00000000
NS
USD
99496806.00000000
2.629593077556
Long
EC
RF
US
N
1
N
N
N
COOPERATIEVE RABOBANK UA
DG3RU1DBUFHT4ZF9WN62
Cooperatieve Rabobank UA
74977RDH4
15000000.00000000
PA
USD
15185850.00000000
0.401345607383
Long
DBT
CORP
US
N
2
2026-06-24
Variable
1.33900000
N
N
N
N
N
N
Bank of America, N.A.
B4TYDEB6GKMZO031MB27
CURRENCY CONTRACT - Rec USD / Deliver ILS
N/A
-13124200.00000000
NC
7360.29000000
0.000194524512
N/A
DFE
US
N
2
Bank of America, N.A.
B4TYDEB6GKMZO031MB27
13124200.00000000
ILS
3890957.60000000
USD
2022-01-31
7360.29000000
N
N
N
US FOODS HOLDING CORP
5493000JOOFAOUY1JZ87
US Foods, Inc.
N/A
4968750.00000000
PA
USD
4844531.25000000
0.128035726483
Long
LON
CORP
US
N
2
2025-04-24
Variable
4.25000000
N
N
N
N
N
N
PHILLIPS 66
5493005JBO5YSIGK1814
Phillips 66
718546AS3
8700000.00000000
PA
USD
8700933.68000000
0.229956275915
Long
DBT
CORP
US
N
2
2021-02-26
Floating
0.83380000
N
N
N
N
N
N
GPMT Ltd.
N/A
GPMT Ltd.
36259BAA5
16100000.00000000
PA
USD
15959904.24000000
0.421803024591
Long
ABS-O
CORP
KY
N
2
2036-02-22
Floating
1.45600000
N
N
N
N
N
N
Parliament Funding II Ltd
N/A
Parliament Funding II Ltd.
70163QAA6
12500000.00000000
PA
USD
12386742.50000000
0.327368220558
Long
ABS-O
CORP
KY
N
2
2030-08-12
Floating
2.76400000
N
N
N
N
N
N
ANGLO AMERICAN CAPITAL
TINT358G1SSHR3L3PW36
Anglo American Capital plc
034863AV2
400000.00000000
PA
USD
459802.29000000
0.012152077714
Long
DBT
CORP
GB
N
2
2025-04-01
Fixed
5.37500000
N
N
N
N
N
N
RYDER SYSTEM INC
ZXJ6Y2OSPZXIVGRILD15
Ryder System, Inc.
78355HKH1
1350000.00000000
PA
USD
1451127.15000000
0.038351722650
Long
DBT
CORP
US
N
2
2023-06-09
Fixed
3.75000000
N
N
N
N
N
N
KREF 2018--FL1 Ltd.
549300N45646UZ8P3S07
KREF Ltd.
48275PAA9
7500000.00000000
PA
USD
7443212.25000000
0.196716057472
Long
ABS-O
CORP
KY
N
2
2036-06-15
Floating
1.25100000
N
N
N
N
N
N
JPMorgan Chase Bank, N.A.
7H6GLXDRUGQFU57RNE97
CURRENCY CONTRACT - Rec USD / Deliver CAD
N/A
-6300000.00000000
NC
69441.69000000
0.001835268835
N/A
DFE
US
N
2
JPMorgan Chase Bank, N.A.
7H6GLXDRUGQFU57RNE97
6300000.00000000
CAD
4801818.29000000
USD
2020-10-05
69441.69000000
N
N
N
ANHEUSER-BUSCH INBEV WOR
549300CRGMZK3K53BF92
Anheuser-Busch InBev Worldwide, Inc.
035240AV2
6550000.00000000
PA
USD
7452139.29000000
0.196951989493
Long
DBT
CORP
US
N
2
2030-06-01
Fixed
3.50000000
N
N
N
N
N
N
BLACKROCK INC
549300LRIF3NWCU26A80
BlackRock, Inc.
09247XAR2
12600000.00000000
PA
USD
13054074.64000000
0.345005087974
Long
DBT
CORP
US
N
2
2031-01-28
Fixed
1.90000000
N
N
N
N
N
N
LMRK Issuer Co. LLC
N/A
Secured Tenant Site Contract Revenue Notes Series
50209LAA5
7201311.02170000
PA
USD
7372813.84000000
0.194855503560
Long
ABS-O
CORP
US
N
2
2048-06-15
Fixed
3.97000000
N
N
N
N
N
N
SIRIUS XM RADIO INC
WP5O65E6BMU84LNO4227
Sirius XM Radio, Inc.
82967NAY4
3527000.00000000
PA
USD
3564474.38000000
0.094205206494
Long
DBT
CORP
US
N
2
2022-08-01
Fixed
3.87500000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae
3140HSW56
10200000.00000000
PA
USD
11628740.93000000
0.307335058074
Long
ABS-MBS
USGSE
US
N
2
2029-02-01
Fixed
3.59000000
N
N
N
N
N
N
Wind River CLO Ltd
2549008107XSHXNMJI27
THL Credit Wind River CLO Ltd.
88432GAL1
7467344.64190000
PA
USD
7418869.63000000
0.196072708327
Long
ABS-O
CORP
KY
N
2
2027-10-15
Floating
1.14500000
N
N
N
N
N
N
SAN DIEGUITO CA UNION HIGH SCH
N/A
San Dieguito Union High School District General Obligation Unlimited
797508HR2
2500000.00000000
PA
USD
2616300.00000000
0.069145982121
Long
DBT
MUN
US
N
2
2036-08-01
Fixed
2.68200000
N
N
N
N
N
N
FEDEX CORP
549300E707U7WNPZN687
FedEx Corp.
31428XBY1
9100000.00000000
PA
USD
10294300.20000000
0.272067231426
Long
DBT
CORP
US
N
2
2025-05-15
Fixed
3.80000000
N
N
N
N
N
N
BofA Securities, Inc.
549300HN4UKV1E2R3U73
Federal Funds Rate
N/A
110305000.00000000
OU
Notional Amount
USD
909086.38000000
0.024026170767
N/A
DIR
US
N
2
BOFA SECURITIES, INC.
549300HN4UKV1E2R3U73
US Federal Funds Effective Rate (continuous series)
FEDL01
Y
2022-03-04
0.00000000
USD
0.00000000
USD
110305000.00000000
USD
909086.38000000
N
N
N
Station Place Securitization T
N/A
Station Place Securitization Trust Series 2020-12
85772LAA8
10000000.00000000
PA
USD
10000000.00000000
0.264289195128
Long
ABS-O
CORP
US
N
2
2021-06-09
Floating
1.66000000
N
N
N
N
N
N
New Residential Mortgage Loan
N/A
New Residential Mortgage Loan Trust
64830GAB2
3465971.42400000
PA
USD
3741794.82000000
0.098891594131
Long
ABS-MBS
CORP
US
N
2
2057-12-25
Variable
4.00000000
N
N
N
N
N
N
DELTA AIR LINES INC
Q2CCMS6R0AS67HJMBN42
Delta Air Lines, Inc.
247361ZX9
12550000.00000000
PA
USD
13780207.48000000
0.364195994358
Long
DBT
CORP
US
N
2
2025-05-01
Fixed
7.00000000
N
N
N
N
N
N
Encore Credit Receivables Trus
N/A
Encore Credit Receivables Trust
29256PAX2
286782.74000000
PA
USD
286455.41000000
0.007570706974
Long
ABS-MBS
CORP
US
N
2
2036-01-25
Floating
0.80810000
N
N
N
N
N
N
Nomura Resecuritization Trust
N/A
Nomura Resecuritization Trust
65540WCC1
886490.80090000
PA
USD
879666.59000000
0.023248637505
Long
ABS-MBS
CORP
US
N
2
2036-03-26
Floating
1.47500000
N
N
N
N
N
N
WESTPAC BANKING CORP
EN5TNI6CI43VEPAMHL14
Westpac Banking Corp.
961214DH3
5000000.00000000
PA
USD
5047280.45000000
0.133394168771
Long
DBT
CORP
AU
N
2
2022-01-11
Floating
1.11630000
N
N
N
N
N
N
Morgan Stanley Capital I Trust
N/A
Morgan Stanley Capital I Trust
61764JAE6
2000000.00000000
PA
USD
2035524.20000000
0.053796705248
Long
ABS-MBS
CORP
US
N
2
2033-08-11
Variable
3.81640000
N
N
N
N
N
N
AERIAL TOPCO LP
N/A
Neustar, Inc.
N/A
93822.85890000
PA
USD
87919.52000000
0.002323617917
Long
LON
CORP
US
N
2
2024-08-08
Variable
4.50000000
N
N
N
N
N
N
Goldman Sachs International
W22LROWP2IHZNBB6K528
CURRENCY CONTRACT - Rec ILS / Deliver USD
N/A
57285780.90000000
NC
750037.79000000
0.019822688383
N/A
DFE
US
N
2
Goldman Sachs International
W22LROWP2IHZNBB6K528
16037452.66000000
USD
57285780.90000000
ILS
2021-02-01
750037.79000000
N
N
N
Banc of America Funding Corpor
549300R847L762RQF071
Banc of America Funding Trust
05990RAZ4
1243725.50790000
PA
USD
1233411.91000000
0.032597744095
Long
ABS-MBS
CORP
US
N
2
2035-01-27
Floating
0.34510000
N
N
N
N
N
N
GOLDMAN SACHS GROUP INC
784F5XWPLTWKTBV3E584
Goldman Sachs Group, Inc.
38141GXJ8
6900000.00000000
PA
USD
7615321.97000000
0.201264731409
Long
DBT
CORP
US
N
2
2025-04-01
Fixed
3.50000000
N
N
N
N
N
N
Banc of America Commercial Mor
N/A
Banc of America Commercial Mortgage Trust
06054MAF0
18581925.74330000
PA
USD
1258382.88000000
0.033257699851
Long
ABS-MBS
CORP
US
N
2
2049-07-15
Variable
2.10820000
N
N
N
N
N
N
New Residential Advance Receiv
N/A
New Residential Advance Receivables Trust Advance Receivables Backed
62942QCF8
23000000.00000000
PA
USD
23165094.00000000
0.612228404832
Long
ABS-MBS
CORP
US
N
2
2051-10-15
Fixed
2.32900000
N
N
N
N
N
N
DCAL AVIATION FINANCE LIMITED
N/A
AIM Aviation Finance Ltd.
001406AA5
4637078.69700000
PA
USD
3876382.17000000
0.102448592371
Long
ABS-O
CORP
KY
N
2
2040-02-15
Variable
4.21300000
N
N
N
N
N
N
CROWN CASTLE INTL CORP
54930012H97VSM0I2R19
Crown Castle International Corp.
22822VAR2
2188000.00000000
PA
USD
2392736.83000000
0.063237449095
Long
DBT
CORP
US
N
2
2030-07-01
Fixed
3.30000000
N
N
N
N
N
N
Morgan Stanley Capital Inc
N/A
Morgan Stanley ABS Capital I Incorporated Trust
61744CYB6
1406198.65040000
PA
USD
1388789.91000000
0.036704216751
Long
ABS-MBS
CORP
US
N
2
2035-12-25
Floating
0.52810000
N
N
N
N
N
N
West CLO Ltd
2549008FQ6ZWGP8NJZ96
West CLO Ltd.
951680AJ6
2161024.59080000
PA
USD
2159881.19000000
0.057083326127
Long
ABS-O
CORP
KY
N
2
2026-07-18
Floating
1.19180000
N
N
N
N
N
N
Bank
N/A
BANK
060352AG6
15052871.44700000
PA
USD
623307.80000000
0.016473351677
Long
ABS-MBS
CORP
US
N
2
2060-07-15
Variable
0.96800000
N
N
N
N
N
N
BSPRT 2018-FL3 Issuer, Ltd
N/A
BSPRT Issuer Ltd.
05585JAA8
2705681.24090000
PA
USD
2690472.07000000
0.071106269789
Long
ABS-O
CORP
KY
N
2
2028-03-15
Floating
1.20200000
N
N
N
N
N
N
VALERO ENERGY CORP
549300XTO5VR8SKV1V74
Valero Energy Corp.
91913YAX8
500000.00000000
PA
USD
518040.00000000
0.013691237464
Long
DBT
CORP
US
N
2
2023-04-15
Fixed
2.70000000
N
N
N
N
N
N
FIFTH THIRD BANCORP
THRNG6BD57P9QWTQLG42
Fifth Third Bancorp
316773DA5
5060000.00000000
PA
USD
5448597.58000000
0.144000546899
Long
DBT
CORP
US
N
2
2027-05-05
Fixed
2.55000000
N
N
N
N
N
N
MARRIOTT INTERNATIONAL
225YDZ14ZO8E1TXUSU86
Marriott International, Inc.
571903BC6
2345000.00000000
PA
USD
2351866.35000000
0.062157286469
Long
DBT
CORP
US
N
2
2022-10-03
Fixed
2.12500000
N
N
N
N
N
N
Deephaven Residential Mortgage
N/A
Deephaven Residential Mortgage Trust
24381FAA3
1035339.00160000
PA
USD
1047663.57000000
0.027688616168
Long
ABS-MBS
CORP
US
N
2
2047-10-25
Variable
2.57700000
N
N
N
N
N
N
JP Morgan Mortgage Acquisition
N/A
JP Morgan Mortgage Acquisition Trust
46625SAA4
3705825.24130000
PA
USD
3664585.34000000
0.096851030998
Long
ABS-MBS
CORP
US
N
2
2036-07-25
Floating
0.28810000
N
N
N
N
N
N
BAT INTL FINANCE PLC
21380041YBGOQDFAC823
BAT International Finance plc
05530QAN0
13000000.00000000
PA
USD
13044200.00000000
0.344744111909
Long
DBT
CORP
GB
N
2
2026-03-25
Fixed
1.66800000
N
N
N
N
N
N
Global SC Finance SRL
N/A
Global SC Finance II SRL
37952UAB9
4075208.33320000
PA
USD
4088581.13000000
0.108056781606
Long
ABS-O
CORP
BB
N
2
2028-04-17
Fixed
2.98000000
N
N
N
N
N
N
FHLMC Multifamily Structured P
N/A
Freddie Mac Multifamily Structured Pass Through Certificates
3137B5KX0
102361193.08000000
PA
USD
932664.01000000
0.024649302052
Long
ABS-MBS
USGSE
US
N
2
2023-08-25
Variable
0.49970000
N
N
N
N
N
N
Goldman Sachs International
W22LROWP2IHZNBB6K528
2Y-10 CMS CAP
N/A
772000000.00000000
NC
USD
2802360.00000000
0.074063346885
N/A
DIR
GB
N
2
Goldman Sachs International
W22LROWP2IHZNBB6K528
Put
Purchased
N/A
2Y-10 CMS CAP
772000000
0.39500000
USD
2022-07-29
XXXX
1049920.00000000
N
N
N
FOX CORP
549300DDU6FDRBIELS05
Fox Corp.
35137LAL9
1080000.00000000
PA
USD
1220539.89000000
0.032257550514
Long
DBT
CORP
US
N
2
2030-04-08
Fixed
3.50000000
N
N
N
N
N
N
Barclays Bank plc
G5GSEF7VJP5I7OUK5573
iShares iBoxx $ Investment Grade Corporate Bond ETF
N/A
-265600.00000000
NC
USD
448864.00000000
0.011862990528
N/A
DIR
GB
N
2
BARCLAYS BANK PLC
G5GSEF7VJP5I7OUK5573
iShares iBoxx $ Investment Grade Corporate Bond ETF
LQD
Y
iShares iBoxx $ Investment Grade Corporate Bond ETF-Tenor Monthly
2020-10-06
0.00000000
USD
0.00000000
USD
-35778976.00000000
USD
448864.00000000
N
N
N
PRIME SECSRVC BRW/FINANC
N/A
Prime Security Services Borrower LLC / Prime Finance, Inc.
74166MAF3
1400000.00000000
PA
USD
1342943.00000000
0.035492532457
Long
DBT
CORP
US
N
2
2027-08-31
Fixed
3.37500000
N
N
N
N
N
N
Goldman Sachs International
W22LROWP2IHZNBB6K528
CURRENCY CONTRACT - Rec USD / Deliver CAD
N/A
-2500000.00000000
NC
-10266.65000000
-0.00027133646
N/A
DFE
US
N
2
Goldman Sachs International
W22LROWP2IHZNBB6K528
2500000.00000000
CAD
1867787.54000000
USD
2020-10-23
-10266.65000000
N
N
N
Citigroup Mortgage Loan Trust
N/A
Citigroup Mortgage Loan Trust, Inc.
17328BAA2
3202673.43170000
PA
USD
3256254.48000000
0.086059287565
Long
ABS-MBS
CORP
US
N
2
2049-07-25
Variable
2.72000000
N
N
N
N
N
N
Goldman Sachs International
W22LROWP2IHZNBB6K528
CURRENCY CONTRACT - Rec USD / Deliver CAD
N/A
-2425000.00000000
NC
-7299.22000000
-0.00019291049
N/A
DFE
US
N
2
Goldman Sachs International
W22LROWP2IHZNBB6K528
2425000.00000000
CAD
1814269.66000000
USD
2020-10-02
-7299.22000000
N
N
N
Goldman Sachs International
W22LROWP2IHZNBB6K528
2Y-10 CMS CAP
N/A
296000000.00000000
NC
USD
716320.00000000
0.018931563625
N/A
DIR
GB
N
2
Goldman Sachs International
W22LROWP2IHZNBB6K528
Put
Purchased
N/A
2Y-10 CMS CAP
296000000
0.60500000
USD
2022-07-29
XXXX
287120.00000000
N
N
N
Citibank N.A., New York
E57ODZWZ7FF32TWEFA76
CURRENCY CONTRACT - Rec USD / Deliver BRL
N/A
-19800000.00000000
NC
1143449.17000000
0.030220126080
N/A
DFE
US
N
2
Citibank N.A., New York
E57ODZWZ7FF32TWEFA76
19800000.00000000
BRL
4638414.51000000
USD
2021-07-01
1143449.17000000
N
N
N
MONROE CAPITAL CLO LTD
549300P18F17MYF55L44
Monroe Capital CLO Ltd.
610333AS5
1960379.12710000
PA
USD
1956173.53000000
0.051699552777
Long
ABS-O
CORP
KY
N
2
2026-10-22
Floating
1.60800000
N
N
N
N
N
N
ROLLS-ROYCE PLC
X57JK1U580XATGR67572
Rolls-Royce plc
77578JAA6
6550000.00000000
PA
USD
6533625.00000000
0.172676649251
Long
DBT
CORP
GB
N
2
2020-10-14
Fixed
2.37500000
N
N
N
N
N
N
JPMorgan Chase Bank, N.A.
7H6GLXDRUGQFU57RNE97
CURRENCY CONTRACT - Rec USD / Deliver CAD
N/A
-8000000.00000000
NC
-19199.53000000
-0.00050742283
N/A
DFE
US
N
2
JPMorgan Chase Bank, N.A.
7H6GLXDRUGQFU57RNE97
8000000.00000000
CAD
5990099.86000000
USD
2020-10-01
-19199.53000000
N
N
N
Goldman Sachs International
W22LROWP2IHZNBB6K528
CURRENCY CONTRACT - Rec USD / Deliver CAD
N/A
-650000.00000000
NC
-967.43000000
-0.00002556812
N/A
DFE
US
N
2
Goldman Sachs International
W22LROWP2IHZNBB6K528
650000.00000000
CAD
487288.15000000
USD
2020-10-02
-967.43000000
N
N
N
Cerberus
549300MUW2JOIDDXLH51
Cerberus Loan Funding XVII Ltd.
15673BAA7
6500000.00000000
PA
USD
6204795.35000000
0.163986036898
Long
ABS-O
CORP
KY
N
2
2028-01-15
Floating
2.80500000
N
N
N
N
N
N
Structured Asset Securities Co
N/A
Structured Asset Securities Corporation Mortgage Loan Trust
86359RAD8
1342822.48170000
PA
USD
1314399.50000000
0.034738158593
Long
ABS-MBS
CORP
US
N
2
2036-12-25
Floating
0.31800000
N
N
N
N
N
N
BXMT Ltd
N/A
BXMT Ltd.
12434LAC8
3850000.00000000
PA
USD
3773266.81000000
0.099723364821
Long
ABS-O
CORP
US
N
2
2037-02-16
Floating
1.30100000
N
N
N
N
N
N
BNP Paribas
R0MUWSFPU8MPRO8K5P83
iShares iBoxx $ Investment Grade Corporate Bond ETF
N/A
-473000.00000000
NC
USD
1201420.00000000
0.031752232481
N/A
DIR
FR
N
2
BNP Paribas
R0MUWSFPU8MPRO8K5P83
iShares iBoxx $ Investment Grade Corporate Bond ETF
LQD
Y
iShares iBoxx $ Investment Grade Corporate Bond ETF-Tenor Semi Annually
2021-02-17
0.00000000
USD
0.00000000
USD
-63717830.00000000
USD
1201420.00000000
N
N
N
Credit Suisse Mortgage Trust
N/A
CSMC Trust
12654PAA6
12192927.36300000
PA
USD
13094834.54000000
0.346082328091
Long
ABS-MBS
CORP
US
N
2
2057-09-25
Variable
3.85000000
N
N
N
N
N
N
UNIFORM MBS
N/A
Uniform MBS 30 Year
N/A
190380000.00000000
PA
USD
196147942.86000000
5.183978194451
Long
ABS-MBS
CORP
US
N
2
2021-12-14
Fixed
2.00000000
N
N
N
N
N
N
Copper River CLO Ltd
5493005HHHXVM8NBWY47
Copper River CLO Ltd.
217563AC9
500000.00000000
PA
USD
14300.00000000
0.000377933549
Long
ABS-O
CORP
KY
Y
2
2021-01-20
None
0.00000000
N
N
N
N
N
N
LEVEL 3 FINANCING INC
N/A
Level 3 Financing, Inc.
527298BS1
5400000.00000000
PA
USD
5332500.00000000
0.140932213302
Long
DBT
CORP
US
N
2
2029-01-15
Fixed
3.62500000
N
N
N
N
N
N
New Residential Advance Receiv
N/A
New Residential Advance Receivables Trust Advance Receivables Backed
62942QCR2
15750000.00000000
PA
USD
15758456.18000000
0.416478970027
Long
ABS-MBS
CORP
US
N
2
2053-08-15
Fixed
1.42570000
N
N
N
N
N
N
FIRST REPUBLIC BANK
YWC0TIKBQM2JV8L4IV08
First Republic Bank
33616C761
69600.00000000
NS
USD
1767840.00000000
0.046722101071
Long
EP
CORP
US
N
2
N
N
N
Wind River CLO Ltd
2549008107XSHXNMJI27
THL Credit Wind River CLO Ltd.
88432GAN7
3473183.55380000
PA
USD
3456497.69000000
0.091351499245
Long
ABS-O
CORP
KY
N
2
2027-10-15
Floating
1.14500000
N
N
N
N
N
N
AMERICAN FINANCIAL GROUP
549300AFOM7IVKIU1G39
American Financial Group, Inc.
025932864
113600.00000000
NS
USD
3093328.00000000
0.081753316738
Long
EP
CORP
US
N
2
N
N
N
VALVOLINE INC
549300CMHPBEY6VPOT75
Valvoline, Inc.
92047WAB7
5310000.00000000
PA
USD
5462662.50000000
0.144372267538
Long
DBT
CORP
US
N
2
2025-08-15
Fixed
4.37500000
N
N
N
N
N
N
RASPRO TRUST
N/A
Raspro Trust
75405RAC7
2661633.84590000
PA
USD
2581784.83000000
0.068233783471
Long
ABS-O
CORP
US
N
2
2024-03-23
Floating
1.11174800
N
N
N
N
N
N
Bank of America, N.A.
B4TYDEB6GKMZO031MB27
2Y-10 CMS CAP
N/A
115000000.00000000
NC
USD
417450.00000000
0.011032752450
N/A
DIR
US
N
2
Bank of America, N.A.
B4TYDEB6GKMZO031MB27
Put
Purchased
N/A
2Y-10 CMS CAP
115000000
0.39500000
USD
2022-07-29
XXXX
152950.00000000
N
N
N
Towd Point Mortgage Trust
N/A
Towd Point Mortgage Trust
89176EAA8
1588500.05570000
PA
USD
1657046.37000000
0.043793945141
Long
ABS-MBS
CORP
US
N
2
2058-01-25
Variable
3.00000000
N
N
N
N
N
N
FEDEX CORP
549300E707U7WNPZN687
FedEx Corp.
31428XBZ8
4350000.00000000
PA
USD
5229004.15000000
0.138196929812
Long
DBT
CORP
US
N
2
2030-05-15
Fixed
4.25000000
N
N
N
N
N
N
QUEBEC T-BILL
549300WN65YFEQH74Y36
Quebec T-Bill
0985ZUXH5
9145000.00000000
PA
6868762.12000000
0.181533961222
Long
DBT
NUSS
CA
N
2
2020-10-16
None
0.00000000
N
N
N
N
N
N
HarborView Mortgage Loan Trust
N/A
HarborView Mortgage Loan Trust
41162DAF6
2628301.25190000
PA
USD
2370115.07000000
0.062639580421
Long
ABS-MBS
CORP
US
N
2
2038-01-19
Floating
0.34600000
N
N
N
N
N
N
NEWFOUNDLAND T-BILL
549300CLWWW48GTPOJ49
Newfoundland T-Bill
6513ZAXA8
12000000.00000000
PA
9013949.09000000
0.238228934992
Long
DBT
NUSS
CA
N
2
2020-10-01
None
0.00000000
N
N
N
N
N
N
CIM Trust
N/A
CIM Trust
12553QAA6
22324489.48370000
PA
USD
22359175.04000000
0.590928837505
Long
ABS-MBS
CORP
US
N
2
2057-08-25
Variable
3.69000000
N
N
N
N
N
N
KKR GRP FIN CO VI LLC
549300TUJWGHJM3FSJ07
KKR Group Finance Company VI LLC
48252AAA9
7040000.00000000
PA
USD
8099148.78000000
0.214051751228
Long
DBT
CORP
US
N
2
2029-07-01
Fixed
3.75000000
N
N
N
N
N
N
Citibank N.A., New York
E57ODZWZ7FF32TWEFA76
CURRENCY CONTRACT - Rec USD / Deliver BRL
N/A
-41800000.00000000
NC
2263740.21000000
0.059828207808
N/A
DFE
US
N
2
Citibank N.A., New York
E57ODZWZ7FF32TWEFA76
41800000.00000000
BRL
9642000.37000000
USD
2021-07-01
2263740.21000000
N
N
N
BofA Securities, Inc.
549300HN4UKV1E2R3U73
Federal Funds Rate
N/A
54950000.00000000
OU
Notional Amount
USD
900679.95000000
0.023803997905
N/A
DIR
US
N
2
BOFA SECURITIES, INC.
549300HN4UKV1E2R3U73
US Federal Funds Effective Rate (continuous series)
FEDL01
Y
2021-12-13
261.71000000
USD
0.00000000
USD
54950000.00000000
USD
900418.24000000
N
N
N
NFP CORP
VO2L9FZNXDJNQNEYH039
NFP Corp.
65342RAC4
2200000.00000000
PA
USD
2332000.00000000
0.061632240303
Long
DBT
CORP
US
N
2
2025-05-15
Fixed
7.00000000
N
N
N
N
N
N
NXT Capital CLO LLC
549300YAYHVI0LX76040
NXT Capital CLO LLC
62959AAA6
7700000.00000000
PA
USD
7647739.33000000
0.202121487207
Long
ABS-O
CORP
US
N
2
2029-04-20
Floating
1.97200000
N
N
N
N
N
N
First NLC Trust
N/A
First NLC Trust
32113JCG8
5158612.56150000
PA
USD
5056467.91000000
0.133636983412
Long
ABS-MBS
CORP
US
N
2
2036-02-25
Floating
0.53810000
N
N
N
N
N
N
Goldman Sachs International
W22LROWP2IHZNBB6K528
CURRENCY CONTRACT - Rec USD / Deliver ILS
N/A
-101888288.90000000
NC
-361243.55000000
-0.00954727670
N/A
DFE
US
N
2
Goldman Sachs International
W22LROWP2IHZNBB6K528
101888288.90000000
ILS
29496928.06000000
USD
2021-02-01
-361243.55000000
N
N
N
Carlyle Global Market Strategi
549300ZZB4XZS815E007
Carlyle Global Market Strategies CLO Ltd.
14311FAN1
11948704.52600000
PA
USD
11860079.79000000
0.313449094185
Long
ABS-O
CORP
KY
N
2
2027-04-27
Floating
1.02500000
N
N
N
N
N
N
Arbys Funding LLC
N/A
Arbys Funding LLC
038779AB0
7250000.00000000
PA
USD
7455247.50000000
0.197034136125
Long
ABS-O
CORP
US
N
2
2050-07-30
Fixed
3.23700000
N
N
N
N
N
N
IDEX CORP
549300U5Y5EL6PHYLF13
IDEX Corp.
45167RAG9
4100000.00000000
PA
USD
4509925.38000000
0.119192454876
Long
DBT
CORP
US
N
2
2030-05-01
Fixed
3.00000000
N
N
N
N
N
N
PERFORMANCE FOOD GROUP I
549300OMUOGBYK0FFO76
Performance Food Group, Inc.
71376LAD2
375000.00000000
PA
USD
399375.00000000
0.010555049730
Long
DBT
CORP
US
N
2
2025-05-01
Fixed
6.87500000
N
N
N
N
N
N
SVENSKA HANDELSBANKEN AB
NHBDILHZTYCNBV5UYZ31
Svenska Handelsbanken AB
86960BAT9
1179000.00000000
PA
USD
1202744.46000000
0.031787236527
Long
DBT
CORP
SE
N
2
2021-05-24
Fixed
3.35000000
N
N
N
N
N
N
RELIANCE INDUSTRIES LTD
5493003UOETFYRONLG31
Reliance Industries Ltd.
759470AZ0
2000000.00000000
PA
USD
2003080.00000000
0.052939240097
Long
DBT
CORP
IN
N
2
2020-10-19
Fixed
4.50000000
N
N
N
N
N
N
Guggenheim Partners Investment Management LLC
N/A
Guggenheim Strategy Fund II
N/A
1175124.96600000
NS
USD
29342870.40000000
0.775500360076
Long
EC
RF
US
N
1
N
N
N
GS Mortgage Securities Corp.
N/A
GSMSC Resecuritization Trust
36251QAA0
61311.34660000
PA
USD
61235.84000000
0.001618397086
Long
ABS-MBS
CORP
US
N
2
2037-04-26
Floating
0.31200000
N
N
N
N
N
N
Wells Fargo Commercial Mortgag
549300SGFUCMB43V8P22
Wells Fargo Commercial Mortgage Trust
95000CBE2
5548999.27120000
PA
USD
330585.52000000
0.008737018100
Long
ABS-MBS
CORP
US
N
2
2059-01-15
Variable
1.65000000
N
N
N
N
N
N
SABINE PASS LIQUEFACTION
549300KJYBG7C6WJYZ11
Sabine Pass Liquefaction LLC
785592AW6
8330000.00000000
PA
USD
9383341.58000000
0.247991579379
Long
DBT
CORP
US
N
2
2030-05-15
Fixed
4.50000000
N
N
N
N
N
N
ARAMARK SERVICES INC
42YMHYH0XMHJEXDUB065
Aramark Services, Inc.
038522AR9
1900000.00000000
PA
USD
1979182.50000000
0.052307654993
Long
DBT
CORP
US
N
2
2025-05-01
Fixed
6.37500000
N
N
N
N
N
N
Fanniemae-Aces
N/A
Fannie Mae-Aces
3136B9J24
3840000.00000000
PA
USD
3971674.37000000
0.104967062255
Long
ABS-MBS
USGSE
US
N
2
2035-03-25
Fixed
1.74000000
N
N
N
N
N
N
Citibank N.A., New York
E57ODZWZ7FF32TWEFA76
CURRENCY CONTRACT - Rec USD / Deliver BRL
N/A
-29100000.00000000
NC
2155048.39000000
0.056955600445
N/A
DFE
US
N
2
Citibank N.A., New York
E57ODZWZ7FF32TWEFA76
29100000.00000000
BRL
7291588.36000000
USD
2021-07-01
2155048.39000000
N
N
N
GATX CORP
549300IHYHCQP2PIR591
GATX Corp.
361448BF9
2550000.00000000
PA
USD
2937431.98000000
0.077633153373
Long
DBT
CORP
US
N
2
2030-06-30
Fixed
4.00000000
N
N
N
N
N
N
QUEBEC T-BILL
549300WN65YFEQH74Y36
Quebec T-Bill
0985ZUX93
7700000.00000000
PA
5783719.31000000
0.152857452128
Long
DBT
NUSS
CA
N
2
2020-10-09
None
0.00000000
N
N
N
N
N
N
HYATT HOTELS CORP
T27JQIMTYSH41TCD5186
Hyatt Hotels Corp.
448579AJ1
4320000.00000000
PA
USD
4960494.22000000
0.131100502484
Long
DBT
CORP
US
N
2
2030-04-23
Fixed
5.75000000
N
N
N
N
N
N
Barclays Bank plc
G5GSEF7VJP5I7OUK5573
CURRENCY CONTRACT - Rec USD / Deliver JPY
N/A
-843421500.00000000
NC
263995.10000000
0.006977105249
N/A
DFE
US
N
2
BARCLAYS BANK PLC
G5GSEF7VJP5I7OUK5573
843421500.00000000
JPY
8292414.71000000
USD
2021-07-01
263995.10000000
N
N
N
KVK CLO Ltd
549300MXPW1QT1VNHC87
KVK CLO Ltd.
48273LAA0
1631470.02000000
PA
USD
1627204.05000000
0.043005244868
Long
ABS-O
CORP
KY
N
2
2029-05-20
Floating
0.95300000
N
N
N
N
N
N
Freddie Mac - SCRT
N/A
Seasoned Credit Risk Transfer Trust Series
35563PQN2
2911586.63060000
PA
USD
2999186.37000000
0.079265255176
Long
ABS-MBS
CORP
US
N
2
2059-11-25
Fixed
2.00000000
N
N
N
N
N
N
SUBURBAN PROPANE PARTNRS
N/A
Suburban Propane Partners Limited Partnership/Suburban Energy Finance Corp.
864486AJ4
200000.00000000
PA
USD
203500.00000000
0.005378285120
Long
DBT
CORP
US
N
2
2025-03-01
Fixed
5.75000000
N
N
N
N
N
N
VIRGIN MEDIA VEND FIN IV
N/A
Virgin Media Vendor Financing Notes IV DAC
92770QAA5
1850000.00000000
PA
USD
1845375.00000000
0.048771267345
Long
DBT
CORP
US
N
2
2028-07-15
Fixed
5.00000000
N
N
N
N
N
N
New Residential Mortgage Loan
N/A
New Residential Mortgage Loan Trust
64828NAA3
1322312.69920000
PA
USD
1323041.29000000
0.034966551765
Long
ABS-MBS
CORP
US
N
2
2057-06-25
Floating
1.64810000
N
N
N
N
N
N
Ameriquest Mortgage Securities
N/A
Ameriquest Mortgage Securities Incorporated Asset-Backed Pass-Through Ctfs Series
03072SS71
11525882.43010000
PA
USD
11469388.32000000
0.303123540770
Long
ABS-MBS
CORP
US
N
2
2036-01-25
Floating
0.57810000
N
N
N
N
N
N
New Residential Mortgage Loan
549300U1MV4J7YQZG974
New Residential Mortgage Loan Trust
64828CAG4
13109623.34500000
PA
USD
13846753.87000000
0.365954743544
Long
ABS-MBS
CORP
US
N
2
2058-02-25
Variable
3.50000000
N
N
N
N
N
N
UBS GROUP AG
549300SZJ9VS8SGXAN81
UBS Group AG
90351DAE7
5700000.00000000
PA
USD
5749562.87000000
0.151954734325
Long
DBT
CORP
CH
N
2
2021-04-14
Floating
2.04810000
N
N
N
N
N
N
JPMBB Commercial Mortgage Secu
N/A
JPMBB Commercial Mortgage Securities Trust
46640UAF9
22807217.02000000
PA
USD
472734.31000000
0.012493857029
Long
ABS-MBS
CORP
US
N
2
2047-01-15
Variable
0.91560000
N
N
N
N
N
N
CREDIT SUISSE GROUP AG
549300506SI9CRFV9Z86
Credit Suisse Group AG
225401AM0
250000.00000000
PA
USD
261061.66000000
0.006899577600
Long
DBT
CORP
CH
N
2
2025-09-11
Variable
2.59300000
N
N
N
N
N
N
STARBUCKS CORP
OQSJ1DU9TAOC51A47K68
Starbucks Corp.
855244AZ2
13300000.00000000
PA
USD
14121332.46000000
0.373211558999
Long
DBT
CORP
US
N
2
2030-11-15
Fixed
2.55000000
N
N
N
N
N
N
QUICKEN LOANS LLC/QUICKN
N/A
Quicken Loans LLC / Quicken Loans Company-Issuer, Inc.
74841CAB7
4100000.00000000
PA
USD
4048750.00000000
0.107004087877
Long
DBT
CORP
US
N
2
2031-03-01
Fixed
3.87500000
N
N
N
N
N
N
NUCOR CORP
549300GGJCRSI2TIEJ46
Nucor Corp.
670346AR6
5000000.00000000
PA
USD
5218790.00000000
0.137926980864
Long
DBT
CORP
US
N
2
2025-06-01
Fixed
2.00000000
N
N
N
N
N
N
LINCOLN NATIONAL CORP
EFQMQROEDSNBRIP7LE47
Lincoln National Corp.
534187BK4
11590000.00000000
PA
USD
12853040.53000000
0.339691973662
Long
DBT
CORP
US
N
2
2031-01-15
Fixed
3.40000000
N
N
N
N
N
N
APOLLO MANAGEMENT HOLDIN
5493006XQW0V5K38YM64
Apollo Management Holdings, LP
03765HAA9
1846000.00000000
PA
USD
2036018.43000000
0.053809767213
Long
DBT
CORP
US
N
2
2024-05-30
Fixed
4.00000000
N
N
N
N
N
N
OWENS CORNING
JO5M6676RDJIZ2U8X907
Owens Corning
690742AK7
5910000.00000000
PA
USD
6689833.54000000
0.176805072182
Long
DBT
CORP
US
N
2
2030-06-01
Fixed
3.87500000
N
N
N
N
N
N
Morgan Stanley BAML Trust
N/A
Morgan Stanley Bank of America Merrill Lynch Trust
61767EAF1
24344820.70580000
PA
USD
1086460.66000000
0.028713981336
Long
ABS-MBS
CORP
US
N
2
2052-11-15
Variable
0.94800000
N
N
N
N
N
N
ADT SEC CORP
5493009JEEDYLVRA0J13
ADT Security Corp.
00101JAF3
3096000.00000000
PA
USD
3142440.00000000
0.083051293833
Long
DBT
CORP
US
N
2
2022-07-15
Fixed
3.50000000
N
N
N
N
N
N
Structured Asset Securities Co
N/A
Structured Asset Securities Corporation Mortgage Loan Trust
86362PAD7
220737.58800000
PA
USD
214091.83000000
0.005658215743
Long
ABS-MBS
CORP
US
N
2
2037-02-25
Floating
0.27810000
N
N
N
N
N
N
Golub Capital Partners CLO Ltd
N/A
Golub Capital Partners CLO 17 Ltd.
38175JAA5
2500000.00000000
PA
USD
2473181.75000000
0.065363521411
Long
ABS-O
CORP
KY
N
2
2030-10-25
Floating
1.89500000
N
N
N
N
N
N
DELOITTE LLP (US)
N/A
Deloitte LLP
N/A
4500000.00000000
PA
USD
4682550.33000000
0.123754745786
Long
DBT
CORP
US
N
3
2027-05-07
Fixed
3.46000000
N
N
N
N
N
N
GS Mortgage-Backed Securities
N/A
GS Mortgage-Backed Securities Trust
36259WAA9
10612074.65530000
PA
USD
10636896.30000000
0.281121676178
Long
ABS-MBS
CORP
US
N
2
2060-09-27
Variable
1.38200000
N
N
N
N
N
N
DELTA AIR LINES INC
Q2CCMS6R0AS67HJMBN42
Delta Air Lines, Inc.
N/A
2992500.00000000
PA
USD
2985018.75000000
0.078890820288
Long
LON
CORP
US
N
2
2023-05-01
Variable
5.75000000
N
N
N
N
N
N
SPRINT SPECTRUM / SPEC I
N/A
Sprint Spectrum Company LLC / Sprint Spectrum Co II LLC / Sprint Spectrum Co III LLC
85208NAA8
407500.00000000
PA
USD
412064.00000000
0.010890406290
Long
DBT
CORP
US
N
2
2021-09-20
Fixed
3.36000000
N
N
N
N
N
N
ISRAEL (STATE OF)
N/A
State of Israel
N/A
122410000.00000000
PA
35961312.54000000
0.950418634694
Long
DBT
NUSS
IL
N
2
2021-04-30
Fixed
1.00000000
N
N
N
N
N
N
FDF Limited
254900IDIMSANLWYGN89
FDF I Ltd.
30256WAA5
4500000.00000000
PA
USD
4463164.80000000
0.117956623271
Long
ABS-O
CORP
KY
N
2
2030-11-12
Fixed
4.40000000
N
N
N
N
N
N
CNA FINANCIAL CORP
549300YX2GSZD7YG1R84
CNA Financial Corp.
126117AT7
2298000.00000000
PA
USD
2698580.47000000
0.071320566040
Long
DBT
CORP
US
N
2
2026-03-01
Fixed
4.50000000
N
N
N
N
N
N
CAL Funding IV Ltd
N/A
CAL Funding IV Ltd.
12807CAA1
3750000.00000000
PA
USD
3761919.00000000
0.099423454464
Long
ABS-O
CORP
BM
N
2
2045-09-25
Fixed
2.22000000
N
N
N
N
N
N
RYDER SYSTEM INC
ZXJ6Y2OSPZXIVGRILD15
Ryder System, Inc.
78355HKR9
9960000.00000000
PA
USD
10924213.95000000
0.288715171225
Long
DBT
CORP
US
N
2
2025-09-01
Fixed
3.35000000
N
N
N
N
N
N
Citibank N.A., New York
E57ODZWZ7FF32TWEFA76
CURRENCY CONTRACT - Rec USD / Deliver BRL
N/A
-30420000.00000000
NC
1881606.50000000
0.049728826743
N/A
DFE
US
N
2
Citibank N.A., New York
E57ODZWZ7FF32TWEFA76
30420000.00000000
BRL
7251144.16000000
USD
2021-07-01
1881606.50000000
N
N
N
Credit-Based Asset Servicing a
N/A
Credit-Based Asset Servicing and Securitization LLC
12498NAW3
3114233.25970000
PA
USD
2999997.58000000
0.079286694580
Long
ABS-MBS
CORP
US
N
2
2036-12-25
Floating
0.33810000
N
N
N
N
N
N
BOOKING HOLDINGS INC
FXM8FAOHMYDIPD38UZ17
Booking Holdings, Inc.
09857LAQ1
2500000.00000000
PA
USD
2935358.65000000
0.077578357502
Long
DBT
CORP
US
N
2
2027-04-13
Fixed
4.50000000
N
N
N
N
N
N
Dreyfus Treasury Securities Ca
549300U78VESCW509025
Dreyfus Treasury Securities Cash Management Fund - Institutional Shares
N/A
59690990.81000000
NS
USD
59690990.81000000
1.577568391757
Long
STIV
RF
US
N
1
N
N
N
MARRIOTT INTERNATIONAL
225YDZ14ZO8E1TXUSU86
Marriott International, Inc.
571903BE2
7320000.00000000
PA
USD
7839334.09000000
0.207185129698
Long
DBT
CORP
US
N
2
2030-06-15
Fixed
4.62500000
N
N
N
N
N
N
ONTARIO T-BILL
C7PVKCRGLG18EBQGZV36
Ontario T-Bill
6832Z5ET3
18122000.00000000
PA
13609298.43000000
0.359679052832
Long
DBT
NUSS
CA
N
2
2020-11-04
None
0.00000000
N
N
N
N
N
N
MANULIFE FINANCIAL CORP
5493007GBX87QOZACS27
Manulife Financial Corp.
56501RAK2
5030000.00000000
PA
USD
5382984.07000000
0.142266452724
Long
DBT
CORP
CA
N
2
2027-05-19
Fixed
2.48400000
N
N
N
N
N
N
BofA Securities, Inc.
549300HN4UKV1E2R3U73
Federal Funds Rate
N/A
177800000.00000000
OU
Notional Amount
USD
2798691.12000000
0.073966382351
N/A
DIR
US
N
2
BOFA SECURITIES, INC.
549300HN4UKV1E2R3U73
US Federal Funds Effective Rate (continuous series)
FEDL01
Y
2021-12-04
436.33000000
USD
0.00000000
USD
177800000.00000000
USD
2798254.79000000
N
N
N
Marathon CLO LTD
635400LRBGQZIPTCBI09
Marathon CLO V Ltd.
56576QAN8
28389359.88670000
PA
USD
28155388.98000000
0.744116509204
Long
ABS-O
CORP
KY
N
2
2027-11-21
Floating
1.11700000
N
N
N
N
N
N
Palmer Square Loan Funding Ltd
549300KJI7MJ3X7YQQ90
Palmer Square Loan Funding Ltd.
69700KAC7
3500000.00000000
PA
USD
3426853.15000000
0.090568026083
Long
ABS-O
CORP
KY
N
2
2026-11-15
Floating
1.73000000
N
N
N
N
N
N
Goldman Sachs International
W22LROWP2IHZNBB6K528
CURRENCY CONTRACT - Rec USD / Deliver BRL
N/A
-194400000.00000000
NC
2005463.45000000
0.053002232105
N/A
DFE
US
N
2
Goldman Sachs International
W22LROWP2IHZNBB6K528
194400000.00000000
BRL
36483062.78000000
USD
2021-04-01
2005463.45000000
N
N
N
Goldman Sachs International
W22LROWP2IHZNBB6K528
CURRENCY CONTRACT - Rec USD / Deliver JPY
N/A
-1371000000.00000000
NC
7595.11000000
0.000200730550
N/A
DFE
US
N
2
Goldman Sachs International
W22LROWP2IHZNBB6K528
1371000000.00000000
JPY
13010392.18000000
USD
2020-11-09
7595.11000000
N
N
N
CONSTELLATION BRANDS INC
5493005GKEG8QCVY7037
Constellation Brands, Inc.
21036PBF4
10500000.00000000
PA
USD
11337172.35000000
0.299629215541
Long
DBT
CORP
US
N
2
2030-05-01
Fixed
2.87500000
N
N
N
N
N
N
BANK OF AMERICA CORP
9DJT3UXIJIZJI4WXO774
Bank of America Corp.
06051GJB6
19650000.00000000
PA
USD
20906047.06000000
0.552524235079
Long
DBT
CORP
US
N
2
2031-04-29
Variable
2.59200000
N
N
N
N
N
N
JPMDB Commercial Mortgage Secu
N/A
JPMDB Commercial Mortgage Securities Trust
46590TAG0
3523763.36850000
PA
USD
169599.79000000
0.004482339199
Long
ABS-MBS
CORP
US
N
2
2050-03-15
Variable
1.08580000
N
N
N
N
N
N
BXMT Ltd
N/A
BXMT Ltd.
12434LAA2
20500000.00000000
PA
USD
20115311.35000000
0.531625944644
Long
ABS-O
CORP
US
N
2
2037-02-16
Floating
1.05100000
N
N
N
N
N
N
Venture CDO Ltd
5493002O60L75PP6F022
Venture XIV CLO Ltd.
92328GBA3
15000000.00000000
PA
USD
14865292.50000000
0.392873619016
Long
ABS-O
CORP
KY
N
2
2029-08-28
Floating
1.28600000
N
N
N
N
N
N
Ace Securities Corp.
N/A
ACE Securities Corporation Home Equity Loan Trust Series
004421MG5
2000000.00000000
PA
USD
1973938.20000000
0.052169053811
Long
ABS-MBS
CORP
US
N
2
2035-04-25
Floating
1.16810000
N
N
N
N
N
N
Seneca Park CLO Ltd
N/A
Seneca Park CLO Limited
817176AL4
305820.17030000
PA
USD
305775.77000000
0.008081323214
Long
ABS-O
CORP
KY
N
2
2026-07-17
Floating
1.39290000
N
N
N
N
N
N
ISRAEL (STATE OF)
N/A
State of Israel
N/A
101380000.00000000
PA
29674365.95000000
0.784261429286
Long
DBT
NUSS
IL
N
2
2021-01-31
Fixed
0.50000000
N
N
N
N
N
N
Homeward Opportunities Fund I
N/A
Homeward Opportunities Fund I Trust
43789VAA6
4198590.84790000
PA
USD
4241215.78000000
0.112090750486
Long
ABS-MBS
CORP
US
N
2
2059-09-25
Variable
2.70200000
N
N
N
N
N
N
GB Trust 2020-FLIX
N/A
GB Trust
368306AL0
2000000.00000000
PA
USD
2004876.40000000
0.052986717008
Long
ABS-MBS
CORP
US
N
2
2037-08-15
Floating
1.75200000
N
N
N
N
N
N
Palmer Square Loan Funding Ltd
549300KJI7MJ3X7YQQ90
Palmer Square Loan Funding Ltd.
69700KAA1
19635730.77330000
PA
USD
19595389.16000000
0.517884962931
Long
ABS-O
CORP
KY
N
2
2026-11-15
Floating
1.18000000
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
-0.00104542868
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
Credit Suisse Mortgage Trust
N/A
CSMC Series
12651DAE8
2365911.48710000
PA
USD
2355904.86000000
0.062264019924
Long
ABS-MBS
CORP
US
N
2
2037-11-30
Variable
0.67600000
N
N
N
N
N
N
Wells Fargo Commercial Mortgag
N/A
Wells Fargo Commercial Mortgage Trust
95001MAH3
25325937.67790000
PA
USD
1369750.81000000
0.036201033910
Long
ABS-MBS
CORP
US
N
2
2050-07-15
Variable
1.19500000
N
N
N
N
N
N
BRAVO Residential Funding Trus
N/A
BRAVO Residential Funding Trust
10569AAA7
2179054.46790000
PA
USD
2216854.74000000
0.058589075495
Long
ABS-MBS
CORP
US
N
2
2059-11-25
Variable
2.74800000
N
N
N
N
N
N
JPMorgan Chase Bank, N.A.
7H6GLXDRUGQFU57RNE97
CURRENCY CONTRACT - Rec BRL / Deliver USD
N/A
60205000.00000000
NC
-1040646.35000000
-0.02750315862
N/A
DFE
US
N
2
JPMorgan Chase Bank, N.A.
7H6GLXDRUGQFU57RNE97
11667635.66000000
USD
60205000.00000000
BRL
2021-07-01
-1040646.35000000
N
N
N
JPMorgan Chase Bank, N.A.
7H6GLXDRUGQFU57RNE97
CURRENCY CONTRACT - Rec JPY / Deliver USD
N/A
1755877500.00000000
NC
464871.94000000
0.012286063086
N/A
DFE
US
N
2
JPMorgan Chase Bank, N.A.
7H6GLXDRUGQFU57RNE97
16249097.72000000
USD
1755877500.00000000
JPY
2021-07-01
464871.94000000
N
N
N
AASET 2017-1 Trust
549300UGVCXV1Y1NM635
AASET Trust
000366AA2
3771090.02360000
PA
USD
3409312.76000000
0.090104452528
Long
ABS-O
CORP
US
N
2
2042-05-16
Fixed
3.96700000
N
N
N
N
N
N
DELTA AIR LINES/SKYMILES
N/A
Delta Air Lines Incorporated / SkyMiles IP Ltd.
830867AA5
10000000.00000000
PA
USD
10268523.90000000
0.271385991668
Long
DBT
CORP
US
N
2
2025-10-20
Fixed
4.50000000
N
N
N
N
N
N
JPMorgan Chase Bank, N.A.
7H6GLXDRUGQFU57RNE97
CURRENCY CONTRACT - Rec ILS / Deliver USD
N/A
45495450.00000000
NC
544792.66000000
0.014398281362
N/A
DFE
US
N
2
JPMorgan Chase Bank, N.A.
7H6GLXDRUGQFU57RNE97
12819230.77000000
USD
45495450.00000000
ILS
2021-04-30
544792.66000000
N
N
N
Northwoods Capital Ltd
549300R06FSYRU75ZW78
Northwoods Capital XII-B Ltd.
66858CAA5
1968750.00000000
PA
USD
1952634.99000000
0.051606032988
Long
ABS-O
CORP
KY
N
2
2031-06-15
Floating
1.00040000
N
N
N
N
N
N
Citibank N.A., New York
E57ODZWZ7FF32TWEFA76
CURRENCY CONTRACT - Rec USD / Deliver CAD
N/A
-3400000.00000000
NC
18134.63000000
0.000479278676
N/A
DFE
US
N
2
Citibank N.A., New York
E57ODZWZ7FF32TWEFA76
3400000.00000000
CAD
2572154.03000000
USD
2020-10-09
18134.63000000
N
N
N
OHA Credit Partners Ltd
549300WS1N2FZ02EYH25
OHA Credit Partners IX Ltd.
67105VAQ7
301369.86300000
PA
USD
23265.75000000
0.000614888634
Long
ABS-O
CORP
KY
N
2
2025-10-20
None
0.00000000
N
N
N
N
N
N
JPMorgan Chase Bank, N.A.
7H6GLXDRUGQFU57RNE97
CURRENCY CONTRACT - Rec USD / Deliver CAD
N/A
-4000000.00000000
NC
-49599.70000000
-0.00131086647
N/A
DFE
US
N
2
JPMorgan Chase Bank, N.A.
7H6GLXDRUGQFU57RNE97
4000000.00000000
CAD
2955050.00000000
USD
2020-10-01
-49599.70000000
N
N
N
Marathon CLO LTD
549300IUEKWRLYLNE530
Marathon CLO VII Ltd.
56577AAL6
3000000.00000000
PA
USD
2989638.60000000
0.079012917931
Long
ABS-O
CORP
KY
N
2
2025-10-28
Floating
1.89700000
N
N
N
N
N
N
LSTAR Securities Investment Lt
N/A
LSTAR Securities Investment Trust
50220CAA0
2707648.68980000
PA
USD
2680892.52000000
0.070853092633
Long
ABS-MBS
CORP
US
N
2
2024-03-01
Floating
1.85500000
N
N
N
N
N
N
MICROCHIP TECHNOLOGY INC
5493007PTFULNYZJ1R12
Microchip Technology, Inc.
595017AQ7
17800000.00000000
PA
USD
18423587.76000000
0.486915518046
Long
DBT
CORP
US
N
2
2023-09-01
Fixed
2.67000000
N
N
N
N
N
N
JPMorgan Chase Bank, N.A.
7H6GLXDRUGQFU57RNE97
CURRENCY CONTRACT - Rec USD / Deliver EUR
N/A
-21006375.00000000
NC
-564518.33000000
-0.01491960950
N/A
DFE
US
N
2
JPMorgan Chase Bank, N.A.
7H6GLXDRUGQFU57RNE97
21006375.00000000
EUR
24244927.83000000
USD
2021-07-30
-564518.33000000
N
N
N
Homeward Opportunities Fund I
N/A
Homeward Opportunities Fund I Trust
43800KAA5
5607070.94120000
PA
USD
5686895.45000000
0.150298502125
Long
ABS-MBS
CORP
US
N
2
2059-11-25
Variable
2.67500000
N
N
N
N
N
N
Avery Point CLO Ltd
549300V091GOUE8M6G49
Avery Point V CLO Ltd.
05363XAN7
2338823.21850000
PA
USD
2335416.02000000
0.061722522021
Long
ABS-O
CORP
KY
N
2
2026-07-17
Floating
1.25300000
N
N
N
N
N
N
ROYALTY PHARMA PLC
549300FGFN7VOK8BZR03
Royalty Pharma plc
78081BAC7
5150000.00000000
PA
USD
5163440.57000000
0.136464155233
Long
DBT
CORP
GB
N
2
2027-09-02
Fixed
1.75000000
N
N
N
N
N
N
RELIANCE STAND LIFE II
N/A
Reliance Standard Life Global Funding II
75951AAP3
17890000.00000000
PA
USD
18887781.47000000
0.499183656246
Long
DBT
CORP
US
N
2
2025-05-07
Fixed
2.75000000
N
N
N
N
N
N
Grand Avenue CRE 2020-FL2 Ltd.
N/A
Grand Avenue CRE Ltd.
38522HAA9
8750000.00000000
PA
USD
8819699.88000000
0.233095138255
Long
ABS-O
CORP
KY
N
2
2035-03-15
Floating
2.60240000
N
N
N
N
N
N
AMC NETWORKS INC
549300VGG9K75226LR46
AMC Networks, Inc.
00164VAE3
500000.00000000
PA
USD
516847.50000000
0.013659720977
Long
DBT
CORP
US
N
2
2025-08-01
Fixed
4.75000000
N
N
N
N
N
N
iShares iBoxx High Yield Corpo
N/A
iShares iBoxx High Yield Corporate Bond ETF
464288513
550850.00000000
NS
USD
46216315.00000000
1.221447269314
Long
EC
RF
US
N
1
N
N
N
Wells Fargo Commercial Mortgag
N/A
Wells Fargo Commercial Mortgage Trust
95000TBV7
9704613.40270000
PA
USD
634278.00000000
0.016763282210
Long
ABS-MBS
CORP
US
N
2
2050-03-15
Variable
1.40170000
N
N
N
N
N
N
STEEL DYNAMICS INC
549300HGGKEL4FYTTQ83
Steel Dynamics, Inc.
858119BL3
1050000.00000000
PA
USD
1095541.05000000
0.028953966233
Long
DBT
CORP
US
N
2
2025-06-15
Fixed
2.40000000
N
N
N
N
N
N
CITIZENS BANK NA/RI
DRMSV1Q0EKMEXLAU1P80
Citizens Bank North America/Providence RI
75524KNH3
20000000.00000000
PA
USD
21273287.40000000
0.562230000467
Long
DBT
CORP
US
N
2
2025-04-28
Fixed
2.25000000
N
N
N
N
N
N
Venture CDO Ltd
549300C7PSULF5Z6ZE61
Venture XII CLO Ltd.
92329JAY5
13140795.57910000
PA
USD
13043046.46000000
0.344713625093
Long
ABS-O
CORP
KY
N
2
2026-02-28
Floating
1.05600000
N
N
N
N
N
N
PUTNAM STRUCTURED PRODUCT FUND
N/A
Putnam Structured Product Funding Ltd.
74686PAH3
319489.69370000
PA
USD
317306.88000000
0.008386077992
Long
ABS-O
CORP
KY
N
2
2038-10-15
Floating
1.16200000
N
N
N
N
N
N
PERFORMANCE FOOD GROUP I
549300OMUOGBYK0FFO76
Performance Food Group, Inc.
71376LAB6
75000.00000000
PA
USD
75000.00000000
0.001982168963
Long
DBT
CORP
US
N
2
2024-06-01
Fixed
5.50000000
N
N
N
N
N
N
BIFM CA BUYER INC
N/A
BGIS (BIFM CA Buyer, Inc.)
N/A
2447858.94210000
PA
USD
2405021.41000000
0.063562117271
Long
LON
CORP
CA
N
2
2026-06-01
Variable
3.76000000
N
N
N
N
N
N
FDF Limited
254900VT795OQ64MDF49
FDF II Ltd.
30258BAA9
4000000.00000000
PA
USD
3964444.40000000
0.104775981960
Long
ABS-O
CORP
KY
N
2
2031-05-12
Fixed
4.28500000
N
N
N
N
N
N
MILEAGE PLUS HLDINGS LLC
N/A
Mileage Plus Holdings LLC / Mileage Plus Intellectual Property Assets Ltd.
599191AA1
3350000.00000000
PA
USD
3488187.50000000
0.092189026683
Long
DBT
CORP
US
N
2
2027-06-20
Fixed
6.50000000
N
N
N
N
N
N
Station Place Securitization T
N/A
Station Place Securitization Trust
85771BAA1
57600000.00000000
PA
USD
57600000.00000000
1.522305763938
Long
ABS-O
CORP
US
Y
3
2022-05-24
Floating
1.17900000
N
N
N
N
N
N
MP Clo VIII, LTD
549300D60LKSR31DKI65
MP CLO VIII Ltd.
62481WAA5
28256536.55740000
PA
USD
28117115.98000000
0.743104995167
Long
ABS-O
CORP
KY
N
2
2027-10-28
Floating
1.15700000
N
N
N
N
N
N
BDS Ltd
N/A
BDS Ltd.
05549VAA6
2792753.34990000
PA
USD
2775329.36000000
0.073348956276
Long
ABS-O
CORP
US
N
2
2035-08-15
Floating
1.10100000
N
N
N
N
N
N
SYSCO CORPORATION
5RGWIFLMGH3YS7KWI652
Sysco Corp.
871829BP1
20550000.00000000
PA
USD
24302481.79000000
0.642288335189
Long
DBT
CORP
US
N
2
2025-04-01
Fixed
5.65000000
N
N
N
N
N
N
610 Funding CLO 3 Ltd
549300JEA0UEC1002Z71
610 Funding CLO 3 Ltd.
36656AAE8
15770000.00000000
PA
USD
15732732.34000000
0.415799116730
Long
ABS-O
CORP
KY
N
2
2028-07-17
Floating
1.52300000
N
N
N
N
N
N
OLD REPUBLIC INTL CORP
N/A
Old Republic International Corp.
680223AK0
250000.00000000
PA
USD
284216.29000000
0.007511529452
Long
DBT
CORP
US
N
2
2026-08-26
Fixed
3.87500000
N
N
N
N
N
N
BARCLAYS BANK PLC
G5GSEF7VJP5I7OUK5573
Barclays Bank plc
06739GCR8
18450000.00000000
PA
USD
18768443.31000000
0.496029677620
Long
DBT
CORP
GB
N
2
2022-05-12
Fixed
1.70000000
N
N
N
N
N
N
NETAPP INC
QTX3D84DZDD5JYOCYH15
NetApp, Inc.
64110DAJ3
17800000.00000000
PA
USD
18569893.61000000
0.490782223580
Long
DBT
CORP
US
N
2
2027-06-22
Fixed
2.37500000
N
N
N
N
N
N
Capital Automotive Reit
N/A
Capital Automotive LLC
12479RAD9
15862479.21700000
PA
USD
15891417.14000000
0.419992984537
Long
ABS-O
CORP
US
N
2
2047-04-15
Fixed
3.87000000
N
N
N
N
N
N
California Street CLO XII, Ltd
549300V3WPNYI44G1B47
California Street CLO XII Ltd.
13080BAB7
1250000.00000000
PA
USD
1234517.63000000
0.032626967080
Long
ABS-O
CORP
KY
N
2
2025-10-15
Floating
1.77500000
N
N
N
N
N
N
Morgan Stanley BAML Trust
N/A
Morgan Stanley Bank of America Merrill Lynch Trust
61690AAF1
33750162.14220000
PA
USD
1222407.25000000
0.032306902822
Long
ABS-MBS
CORP
US
N
2
2047-12-15
Variable
1.06100000
N
N
N
N
N
N
FIRST AMERICAN FINANCIAL
549300B6VEZK3N0A1P55
First American Financial Corp.
31847RAG7
7860000.00000000
PA
USD
8661600.84000000
0.228916751452
Long
DBT
CORP
US
N
2
2030-05-15
Fixed
4.00000000
N
N
N
N
N
N
BPCE SA
9695005MSX1OYEMGDF46
BPCE S.A.
05583JAH5
9500000.00000000
PA
USD
9515274.01000000
0.251478410952
Long
DBT
CORP
FR
N
2
2026-10-06
Variable
1.65200000
N
N
N
N
N
N
Capital Automotive Reit
N/A
Capital Automotive REIT
12510HAE0
2000000.00000000
PA
USD
2077971.80000000
0.054918549452
Long
ABS-O
CORP
US
N
2
2050-02-15
Fixed
3.48000000
N
N
N
N
N
N
SAPPHIRE AVIATION FINANCE I LI
N/A
Sapphire Aviation Finance I Ltd.
80306AAA8
11718127.82270000
PA
USD
10811048.64000000
0.285724334355
Long
ABS-O
CORP
KY
N
2
2040-03-15
Fixed
4.25000000
N
N
N
N
N
N
Citibank N.A., New York
E57ODZWZ7FF32TWEFA76
CURRENCY CONTRACT - Rec USD / Deliver CAD
N/A
-18122000.00000000
NC
97938.31000000
0.002588403712
N/A
DFE
US
N
2
Citibank N.A., New York
E57ODZWZ7FF32TWEFA76
18122000.00000000
CAD
13712132.83000000
USD
2020-11-04
97938.31000000
N
N
N
BofA Securities, Inc.
549300HN4UKV1E2R3U73
CDX.NA.HY.34.V9
N/A
2990000.00000000
OU
Notional Amount
USD
145906.20000000
0.003856143216
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
22583.94000000
USD
0.00000000
USD
2990000.00000000
USD
123322.26000000
N
N
N
SAMSONITE INTERNATIONAL SA
N/A
Samsonite IP Holdings SARL
N/A
7082250.00000000
PA
USD
6896340.94000000
0.182262839636
Long
LON
CORP
LU
N
2
2025-04-25
Variable
5.50000000
N
N
N
N
N
N
CHARTER COMM OPT LLC/CAP
N/A
Charter Communications Operating LLC / Charter Communications Operating Capital
161175BU7
3250000.00000000
PA
USD
3380048.56000000
0.089331031341
Long
DBT
CORP
US
N
2
2031-04-01
Fixed
2.80000000
N
N
N
N
N
N
BANK OF AMERICA CORP
9DJT3UXIJIZJI4WXO774
Bank of America Corp.
06051GGU7
4200000.00000000
PA
USD
4200000.00000000
0.111001461953
Long
DBT
CORP
US
N
2
2021-10-01
Floating
0.94600000
N
N
N
N
N
N
FHLMC Multifamily Structured P
N/A
Freddie Mac Multifamily Structured Pass Through Certificates
3137FGR49
3350000.00000000
PA
USD
4031034.57000000
0.106535888203
Long
ABS-MBS
USGSE
US
N
2
2028-06-25
Fixed
3.92000000
N
N
N
N
N
N
MAGELLAN MIDSTREAM PARTN
MZF5TI8NFVZZNUSKDL39
Magellan Midstream Partners, LP
559080AQ9
2120000.00000000
PA
USD
2275194.85000000
0.060130941566
Long
DBT
CORP
US
N
2
2030-06-01
Fixed
3.25000000
N
N
N
N
N
N
BAT CAPITAL CORP
2138005GYEXN7XRHFA84
BAT Capital Corp.
05526DBP9
4220000.00000000
PA
USD
4841311.06000000
0.127950620341
Long
DBT
CORP
US
N
2
2027-04-02
Fixed
4.70000000
N
N
N
N
N
N
BUNGE LTD FINANCE CORP
549300QHC068L40NNM71
Bunge Limited Finance Corp.
120568BB5
1900000.00000000
PA
USD
1908310.54000000
0.050434585667
Long
DBT
CORP
US
N
2
2025-08-17
Fixed
1.63000000
N
N
N
N
N
N
SANTANDER UK PLC
PTCQB104N23FMNK2RZ28
Santander UK plc
80283LAU7
30740000.00000000
PA
USD
30839239.79000000
0.815047786246
Long
DBT
CORP
GB
N
2
2021-06-01
Floating
0.86600000
N
N
N
N
N
N
New Residential Advance Receiv
N/A
New Residential Advance Receivables Trust Advance Receivables Backed
62942QCL5
11000000.00000000
PA
USD
10954461.10000000
0.289514570718
Long
ABS-MBS
CORP
US
N
2
2051-10-15
Fixed
2.42500000
N
N
N
N
N
N
Wells Fargo Commercial Mortgag
N/A
Wells Fargo Commercial Mortgage Trust
95001GAG8
14806933.96620000
PA
USD
785695.89000000
0.020765093438
Long
ABS-MBS
CORP
US
N
2
2050-12-15
Variable
1.03110000
N
N
N
N
N
N
Soundview Home Equity Loan Tru
N/A
Soundview Home Loan Trust
83611MGU6
4000000.00000000
PA
USD
3956403.20000000
0.104563461733
Long
ABS-MBS
CORP
US
N
2
2035-11-25
Floating
0.61810000
N
N
N
N
N
N
AES CORP/THE
2NUNNB7D43COUIRE5295
AES Corp.
00130HCB9
3250000.00000000
PA
USD
3462420.00000000
0.091508019499
Long
DBT
CORP
US
N
2
2025-07-15
Fixed
3.30000000
N
N
N
N
N
N
Golub Capital Partners CLO Ltd
N/A
Golub Capital Partners CLO Ltd.
38175BAA2
27500000.00000000
PA
USD
26980453.50000000
0.713064233970
Long
ABS-O
CORP
KY
N
2
2031-02-05
Floating
1.54900000
N
N
N
N
N
N
CIT GROUP INC
N8O96ZZJQRFYQUJY7K79
CIT Group, Inc.
125581HA9
100000.00000000
PA
USD
100780.00000000
0.002663506508
Long
DBT
CORP
US
N
2
2024-06-19
Variable
3.92900000
N
N
N
N
N
N
Citigroup Commercial Mortgage
N/A
Citigroup Commercial Mortgage Trust
17291CBW4
6572288.82360000
PA
USD
521446.05000000
0.013781255685
Long
ABS-MBS
CORP
US
N
2
2049-08-10
Variable
1.90200000
N
N
N
N
N
N
Seneca Park CLO Ltd
N/A
Seneca Park CLO Limited
817176AN0
4000000.00000000
PA
USD
3974237.20000000
0.105034795083
Long
ABS-O
CORP
KY
N
2
2026-07-17
Floating
1.77290000
N
N
N
N
N
N
LCM Ltd Partnership
N/A
LCM XXII Ltd.
50189GAF9
451388.75000000
PA
USD
449440.01000000
0.011878213850
Long
ABS-O
CORP
KY
N
2
2028-10-20
Floating
0.87180000
N
N
N
N
N
N
APOLLO MANAGEMENT HOLDIN
5493006XQW0V5K38YM64
Apollo Management Holdings, LP
03765HAB7
1200000.00000000
PA
USD
1375118.28000000
0.036342890342
Long
DBT
CORP
US
N
2
2026-05-27
Fixed
4.40000000
N
N
N
N
N
N
Shackleton CLO LTD
549300VJPG28RMYCYW83
Shackleton CLO Ltd.
81882EAL6
68455157.22460000
PA
USD
68221478.70000000
1.803019969607
Long
ABS-O
CORP
KY
N
2
2027-10-20
Floating
1.19180000
N
N
N
N
N
N
JPMorgan Chase Bank, N.A.
7H6GLXDRUGQFU57RNE97
CURRENCY CONTRACT - Rec JPY / Deliver USD
N/A
877500.00000000
NC
257.42000000
0.000006803332
N/A
DFE
US
N
2
JPMorgan Chase Bank, N.A.
7H6GLXDRUGQFU57RNE97
8074.16000000
USD
877500.00000000
JPY
2021-01-04
257.42000000
N
N
N
Goldman Sachs International
W22LROWP2IHZNBB6K528
CURRENCY CONTRACT - Rec USD / Deliver ILS
N/A
-12120000.00000000
NC
-15801.57000000
-0.00041761842
N/A
DFE
US
N
2
Goldman Sachs International
W22LROWP2IHZNBB6K528
12120000.00000000
ILS
3544377.83000000
USD
2021-04-30
-15801.57000000
N
N
N
ALEXANDRIA REAL ESTATE E
MGCJBT4MKTQBVLNUIS88
Alexandria Real Estate Equities, Inc.
015271AU3
3500000.00000000
PA
USD
4405694.23000000
0.116437738202
Long
DBT
CORP
US
N
2
2030-12-15
Fixed
4.90000000
N
N
N
N
N
N
MidOcean Credit CLO
5493004MLF21SFT7F415
Midocean Credit CLO VII
59801WAM8
20500000.00000000
PA
USD
20317152.30000000
0.536960382866
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
5224762.78730000
PA
USD
5308723.16000000
0.140303817111
Long
ABS-MBS
CORP
US
N
2
2049-06-25
Variable
2.94100000
N
N
N
N
N
N
Towd Point Mortgage Trust
N/A
Towd Point Mortgage Trust
89175JAA8
21047299.48110000
PA
USD
21887455.06000000
0.578461788121
Long
ABS-MBS
CORP
US
N
2
2057-10-25
Variable
2.75000000
N
N
N
N
N
N
Bear Stearns Asset Backed Secu
N/A
Bear Stearns Asset Backed Securities I Trust
07389MAD9
3132507.07250000
PA
USD
2999962.55000000
0.079285768775
Long
ABS-MBS
CORP
US
N
2
2036-11-25
Floating
0.28810000
N
N
N
N
N
N
BAE SYSTEMS PLC
8SVCSVKSGDWMW2QHOH83
BAE Systems plc
05523RAD9
6950000.00000000
PA
USD
7767400.13000000
0.205283992859
Long
DBT
CORP
US
N
2
2030-04-15
Fixed
3.40000000
N
N
N
N
N
N
JPMorgan Chase Bank, N.A.
7H6GLXDRUGQFU57RNE97
CURRENCY CONTRACT - Rec USD / Deliver CAD
N/A
-4571000.00000000
NC
-10792.44000000
-0.00028523252
N/A
DFE
US
N
2
JPMorgan Chase Bank, N.A.
7H6GLXDRUGQFU57RNE97
4571000.00000000
CAD
3423041.84000000
USD
2020-10-23
-10792.44000000
N
N
N
Countrywide Alternative Loan T
549300QTQ6MX6ER06N64
Alternative Loan Trust
126680AB3
7575999.91190000
PA
USD
6921919.14000000
0.182938843825
Long
ABS-MBS
CORP
US
N
2
2047-05-25
Floating
0.28810000
N
N
N
N
N
N
Deephaven Residential Mortgage
N/A
Deephaven Residential Mortgage Trust
24381NAA6
2635486.59700000
PA
USD
2671649.95000000
0.070608821494
Long
ABS-MBS
CORP
US
N
2
2059-07-25
Variable
2.96400000
N
N
N
N
N
N
MORGAN STANLEY
IGJSJL3JD5P30I6NJZ34
Morgan Stanley
6174468Q5
7000000.00000000
PA
USD
7330992.97000000
0.193750223153
Long
DBT
CORP
US
N
2
2026-04-28
Variable
2.18800000
N
N
N
N
N
N
Goldman Sachs International
W22LROWP2IHZNBB6K528
CURRENCY CONTRACT - Rec USD / Deliver CAD
N/A
-725000.00000000
NC
-3598.24000000
-0.00009509759
N/A
DFE
US
N
2
Goldman Sachs International
W22LROWP2IHZNBB6K528
725000.00000000
CAD
541008.84000000
USD
2020-10-09
-3598.24000000
N
N
N
CD Commercial Mortgage Trust
N/A
CD Mortgage Trust
125039AG2
14235072.98090000
PA
USD
603562.82000000
0.015951513190
Long
ABS-MBS
CORP
US
N
2
2050-11-13
Variable
1.06690000
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
-0.00433254563
Short
LON
CORP
US
N
3
2026-08-19
Variable
2.38000000
N
N
N
N
N
N
SIEMENS FINANCIERINGSMAT
TAFO772JB70PDRN5VS48
Siemens Financieringsmaatschappij N.V.
82620KAQ6
20410000.00000000
PA
USD
20518787.75000000
0.542289389945
Long
DBT
CORP
NL
N
2
2022-03-16
Floating
0.84730000
N
N
N
N
N
N
DOLLAR GENERAL CORP
OPX52SQVOZI8IVSWYU66
Dollar General Corp.
256677AG0
2050000.00000000
PA
USD
2333226.81000000
0.061664663566
Long
DBT
CORP
US
N
2
2030-04-03
Fixed
3.50000000
N
N
N
N
N
N
LEIDOS INC
5493006I78VIN6J1BQ95
Leidos, Inc.
52532XAC9
1950000.00000000
PA
USD
2162842.50000000
0.057161590351
Long
DBT
CORP
US
N
2
2025-05-15
Fixed
3.62500000
N
N
N
N
N
N
BofA Securities, Inc.
549300HN4UKV1E2R3U73
Federal Funds Rate
N/A
46500000.00000000
OU
Notional Amount
USD
735443.53000000
0.019436977860
N/A
DIR
US
N
2
BOFA SECURITIES, INC.
549300HN4UKV1E2R3U73
US Federal Funds Effective Rate (continuous series)
FEDL01
Y
2021-12-09
246.12000000
USD
0.00000000
USD
46500000.00000000
USD
735197.41000000
N
N
N
SPAIN (KINGDOM OF)
N/A
Kingdom of Spain
N/A
34350000.00000000
PA
40293596.29000000
1.064916213230
Long
DBT
NUSS
ES
N
2
2020-10-09
None
0.00000000
N
N
N
N
N
N
XYLEM INC
549300DF5MV96DRYLQ48
Xylem, Inc.
98419MAM2
2050000.00000000
PA
USD
2136010.42000000
0.056452447468
Long
DBT
CORP
US
N
2
2028-01-30
Fixed
1.95000000
N
N
N
N
N
N
BofA Securities, Inc.
549300HN4UKV1E2R3U73
Federal Funds Rate
N/A
44400000.00000000
OU
Notional Amount
USD
470652.88000000
0.012438847083
N/A
DIR
US
N
2
BOFA SECURITIES, INC.
549300HN4UKV1E2R3U73
US Federal Funds Effective Rate (continuous series)
FEDL01
Y
2021-08-22
182.48000000
USD
0.00000000
USD
44400000.00000000
USD
470470.40000000
N
N
N
Towd Point Mortgage Trust
N/A
Towd Point Mortgage Trust
89175VAA1
10364920.02980000
PA
USD
10851540.59000000
0.286794492843
Long
ABS-MBS
CORP
US
N
2
2058-03-25
Variable
3.25000000
N
N
N
N
N
N
Countrywide Asset-Backed Certi
N/A
Countrywide Asset-Backed Certificates
126670ZH4
3838787.46800000
PA
USD
3794404.94000000
0.100282022758
Long
ABS-MBS
CORP
US
N
2
2036-09-25
Floating
0.31810000
N
N
N
N
N
N
Cascade Funding Mortgage Trust
549300HU3WTU5KNK1B36
Cascade Funding Mortgage Trust
147271AA8
3466927.53600000
PA
USD
3473809.04000000
0.091809019521
Long
ABS-MBS
CORP
US
Y
2
2069-06-25
Variable
2.80000000
N
N
N
N
N
N
Goldman Sachs International
W22LROWP2IHZNBB6K528
CURRENCY CONTRACT - Rec ILS / Deliver USD
N/A
57285780.90000000
NC
705465.55000000
0.018644692240
N/A
DFE
US
N
2
Goldman Sachs International
W22LROWP2IHZNBB6K528
16082024.90000000
USD
57285780.90000000
ILS
2021-02-01
705465.55000000
N
N
N
COMM Mortgage Trust
N/A
COMM Mortgage Trust
12593JBG0
63007094.55200000
PA
USD
1966583.74000000
0.051974683379
Long
ABS-MBS
CORP
US
N
2
2048-08-10
Variable
0.90700000
N
N
N
N
N
N
CHOICE HOTELS INTL INC
5493003CYRY5RFGTIR97
Choice Hotels International, Inc.
169905AG1
7350000.00000000
PA
USD
7734772.50000000
0.204421679852
Long
DBT
CORP
US
N
2
2031-01-15
Fixed
3.70000000
N
N
N
N
N
N
AT&T INC
549300Z40J86GGSTL398
AT&T, Inc.
00206RJX1
9000000.00000000
PA
USD
9425633.22000000
0.249109301728
Long
DBT
CORP
US
N
2
2027-06-01
Fixed
2.30000000
N
N
N
N
N
N
THOMSON REUTERS CORP
549300561UZND4C7B569
Thomson Reuters Corp.
884903BV6
1550000.00000000
PA
USD
1704804.92000000
0.045056152015
Long
DBT
CORP
CA
N
2
2026-05-15
Fixed
3.35000000
N
N
N
N
N
N
GS Mortgage Securities Trust
N/A
GS Mortgage Securities Trust
36253PAE2
11473316.52420000
PA
USD
663394.05000000
0.017532787952
Long
ABS-MBS
CORP
US
N
2
2050-05-10
Variable
1.18260000
N
N
N
N
N
N
JPMorgan Chase Bank, N.A.
7H6GLXDRUGQFU57RNE97
CURRENCY CONTRACT - Rec USD / Deliver CAD
N/A
-1265000.00000000
NC
-5161.46000000
-0.00013641181
N/A
DFE
US
N
2
JPMorgan Chase Bank, N.A.
7H6GLXDRUGQFU57RNE97
1265000.00000000
CAD
945108.97000000
USD
2020-10-16
-5161.46000000
N
N
N
VIACOMCBS INC
5KYC8KF17ROCY24M3H09
ViacomCBS, Inc.
92556HAD9
4100000.00000000
PA
USD
4691856.85000000
0.124000707054
Long
DBT
CORP
US
N
2
2032-05-19
Fixed
4.20000000
N
N
N
N
N
N
Morgan Stanley Capital I Trust
N/A
Morgan Stanley Capital I Trust
61763QAJ0
5000000.00000000
PA
USD
5068036.50000000
0.133942728746
Long
ABS-MBS
CORP
US
N
2
2029-07-13
Variable
3.56040000
N
N
N
N
N
N
Capital Automotive Reit
N/A
Capital Automotive REIT
12479RAB3
944775.52330000
PA
USD
947623.08000000
0.025044654109
Long
ABS-O
CORP
US
N
2
2044-10-15
Fixed
3.66000000
N
N
N
N
N
N
LEVEL 3 FINANCING INC
N/A
Level 3 Financing, Inc.
527298BK8
1300000.00000000
PA
USD
1306831.50000000
0.034538144530
Long
DBT
CORP
US
N
2
2024-01-15
Fixed
5.37500000
N
N
N
N
N
N
JPMorgan Chase Bank, N.A.
7H6GLXDRUGQFU57RNE97
CURRENCY CONTRACT - Rec USD / Deliver CAD
N/A
-20214000.00000000
NC
-56743.74000000
-0.00149967573
N/A
DFE
US
N
2
JPMorgan Chase Bank, N.A.
7H6GLXDRUGQFU57RNE97
20214000.00000000
CAD
15128337.16000000
USD
2020-10-21
-56743.74000000
N
N
N
Wells Fargo Commercial Mortgag
549300TRQQDPEF728F16
Wells Fargo Commercial Mortgage Trust
95000PAH7
36878463.82050000
PA
USD
1244611.28000000
0.032893731343
Long
ABS-MBS
CORP
US
N
2
2049-12-15
Variable
1.11600000
N
N
N
N
N
N
TRIP Rail Master Funding LLC
5493004VSVYOZVEYVJ29
TRIP Rail Master Funding LLC
89690EAF4
276343.94500000
PA
USD
276590.53000000
0.007309988855
Long
ABS-O
CORP
US
N
2
2047-08-15
Fixed
2.70900000
N
N
N
N
N
N
Nationstar Home Equity Loan Tr
N/A
Nationstar Home Equity Loan Trust
63860LAA8
4462666.84730000
PA
USD
4401654.16000000
0.116330963517
Long
ABS-MBS
CORP
US
N
2
2037-04-25
Floating
0.36810000
N
N
N
N
N
N
IRON MOUNTAIN INC
SQL3F6CKNNBM3SQGHX24
Iron Mountain, Inc.
46284VAG6
4175000.00000000
PA
USD
4279291.50000000
0.113097050625
Long
DBT
CORP
US
N
2
2028-07-15
Fixed
5.00000000
N
N
N
N
N
N
Newstar Fairfield Fund CLO LTD
N/A
NewStar Fairfield Fund CLO Ltd.
65252BAA1
6529570.50580000
PA
USD
6369818.03000000
0.168347408026
Long
ABS-O
CORP
KY
N
2
2030-04-20
Floating
1.54200000
N
N
N
N
N
N
CSAIL Commercial Mortgage Trus
N/A
CSAIL Commercial Mortgage Trust
22945DAL7
19934916.66190000
PA
USD
1336540.47000000
0.035323320507
Long
ABS-MBS
CORP
US
N
2
2052-03-15
Variable
1.21400000
N
N
N
N
N
N
TREASURY BILL
254900HROIFWPRGM1V77
U.S. Treasury Bills
9127962T5
6496600.00000000
PA
USD
6496132.63000000
0.171685766422
Long
DBT
UST
US
N
2
2020-10-29
None
0.00000000
N
N
N
N
N
N
Deutsche Bank Commercial Mortg
N/A
DBJPM Mortgage Trust
23312JAG8
62178053.15040000
PA
USD
3026348.86000000
0.079983130438
Long
ABS-MBS
CORP
US
N
2
2050-06-10
Variable
1.16280000
N
N
N
N
N
N
Cascade Funding Mortgage Trust
N/A
Cascade Funding Mortgage Trust
14727QAA3
11681162.77770000
PA
USD
12116890.01000000
0.320236310819
Long
ABS-MBS
CORP
US
Y
2
2068-10-25
Variable
4.00000000
N
N
N
N
N
N
ALTRIA GROUP INC
XSGZFLO9YTNO9VCQV219
Altria Group, Inc.
02209SBH5
8000000.00000000
PA
USD
8452891.60000000
0.223400791746
Long
DBT
CORP
US
N
2
2025-05-06
Fixed
2.35000000
N
N
N
N
N
N
Dryden Senior Loan Fund
N/A
Dryden 37 Senior Loan Fund
26249YAG6
1500000.00000000
PA
USD
1222835.25000000
0.032318214399
Long
ABS-O
CORP
KY
N
2
2031-01-15
None
0.00000000
N
N
N
N
N
N
NewStar Clarendon Fund CLO LLC
549300HC3VVP80NTKX35
NewStar Clarendon Fund CLO LLC
32010AAA6
8909831.75790000
PA
USD
8869734.84000000
0.234417508186
Long
ABS-O
CORP
US
N
2
2027-01-25
Floating
1.54500000
N
N
N
N
N
N
AASET 2018-2 Trust
N/A
AASET US Ltd.
04546KAA6
17347407.71870000
PA
USD
16134268.80000000
0.426411291513
Long
ABS-O
CORP
US
N
2
2038-11-18
Fixed
4.45400000
N
N
N
N
N
N
Textainer Marine Containers Li
N/A
Textainer Marine Containers VIII Ltd.
88315LAG3
5000000.00000000
PA
USD
5003212.50000000
0.132229500468
Long
ABS-O
CORP
US
N
2
2045-09-20
Fixed
2.10000000
N
N
N
N
N
N
Structured Asset Investment Lo
N/A
Structured Asset Investment Loan Trust
86358EQJ8
135467.57460000
PA
USD
134703.73000000
0.003560074038
Long
ABS-MBS
CORP
US
N
2
2035-02-25
Floating
0.86810000
N
N
N
N
N
N
Citibank N.A., New York
E57ODZWZ7FF32TWEFA76
CURRENCY CONTRACT - Rec USD / Deliver CAD
N/A
-10200000.00000000
NC
-52321.74000000
-0.00138280705
N/A
DFE
US
N
2
Citibank N.A., New York
E57ODZWZ7FF32TWEFA76
10200000.00000000
CAD
7610312.03000000
USD
2020-10-29
-52321.74000000
N
N
N
Goldman Sachs International
W22LROWP2IHZNBB6K528
CURRENCY CONTRACT - Rec USD / Deliver ILS
N/A
-234941.98000000
NC
-289.14000000
-0.00000764165
N/A
DFE
US
N
2
Goldman Sachs International
W22LROWP2IHZNBB6K528
234941.98000000
ILS
68560.17000000
USD
2021-02-01
-289.14000000
N
N
N
JPMorgan Chase Bank, N.A.
7H6GLXDRUGQFU57RNE97
CURRENCY CONTRACT - Rec USD / Deliver BRL
N/A
-18300000.00000000
NC
1117114.42000000
0.029524127092
N/A
DFE
US
N
2
JPMorgan Chase Bank, N.A.
7H6GLXDRUGQFU57RNE97
18300000.00000000
BRL
4347309.66000000
USD
2021-07-01
1117114.42000000
N
N
N
WALT DISNEY COMPANY/THE
549300GZKULIZ0WOW665
Walt Disney Co.
254687FX9
12720000.00000000
PA
USD
13733408.12000000
0.362959137840
Long
DBT
CORP
US
N
2
2031-01-13
Fixed
2.65000000
N
N
N
N
N
N
Dominos Pizza Master Issuer LL
N/A
Domino's Pizza Master Issuer LLC
25755TAF7
5105625.00000000
PA
USD
5107360.91000000
0.134982030413
Long
ABS-O
CORP
US
N
2
2047-07-25
Floating
1.49500000
N
N
N
N
N
N
TEXTRON INC
3PPKBHUG1HD6BO7RNR87
Textron, Inc.
883203CC3
3250000.00000000
PA
USD
3229473.13000000
0.085351485421
Long
DBT
CORP
US
N
2
2031-03-15
Fixed
2.45000000
N
N
N
N
N
N
Cronos Containers Program LTD
549300MPYH4CSGCW6113
Cronos Containers Program Ltd.
227170AE7
1141833.34010000
PA
USD
1141314.26000000
0.030163702716
Long
ABS-O
CORP
BM
N
2
2028-04-18
Fixed
3.08000000
N
N
N
N
N
N
Wellfleet CLO Ltd
2549003PA4N7YYXOW035
Wellfleet CLO 2017-1 Ltd.
94950GAJ6
28847632.06460000
PA
USD
28758293.83000000
0.760050632959
Long
ABS-O
CORP
KY
N
2
2029-04-20
Floating
1.42140000
N
N
N
N
N
N
WALGREENS BOOTS ALLIANCE
549300RPTUOIXG4LIH86
Walgreens Boots Alliance, Inc.
931427AS7
13950000.00000000
PA
USD
14621009.79000000
0.386417490936
Long
DBT
CORP
US
N
2
2030-04-15
Fixed
3.20000000
N
N
N
N
N
N
COMM Mortgage Trust
N/A
COMM Mortgage Trust
12595VAE7
35504664.44540000
PA
USD
1072471.65000000
0.028344266917
Long
ABS-MBS
CORP
US
N
2
2051-05-10
Variable
0.58430000
N
N
N
N
N
N
BORGWARNER INC
549300DSFX2IE88NSX47
BorgWarner, Inc.
099724AL0
4610000.00000000
PA
USD
4865016.16000000
0.128577120521
Long
DBT
CORP
US
N
2
2027-07-01
Fixed
2.65000000
N
N
N
N
N
N
ESSEX PORTFOLIO LP
5493003GN3O58H286O74
Essex Portfolio, LP
29717PAJ6
2650000.00000000
PA
USD
2673186.02000000
0.070649418165
Long
DBT
CORP
US
N
2
2021-03-15
Fixed
5.20000000
N
N
N
N
N
N
Madison Avenue Secured Funding
N/A
Madison Avenue Secured Funding Trust
55661HAA4
6200000.00000000
PA
USD
6200000.00000000
0.163859300979
Long
ABS-O
CORP
US
Y
3
2020-11-11
Floating
1.65130000
N
N
N
N
N
N
CITIGROUP INC
6SHGI4ZSSLCXXQSBB395
Citigroup, Inc.
172967MS7
12850000.00000000
PA
USD
13467699.37000000
0.355936742672
Long
DBT
CORP
US
N
2
2031-06-03
Variable
2.57200000
N
N
N
N
N
N
CHARLES SCHWAB CORP
549300VSGCJ7E698NM85
Charles Schwab Corp.
808513BD6
8650000.00000000
PA
USD
9372707.50000000
0.247710532134
Long
DBT
CORP
US
N
2
N/A
Variable
5.37500000
N
N
N
N
N
N
Goldman Sachs International
W22LROWP2IHZNBB6K528
CURRENCY CONTRACT - Rec USD / Deliver MXN
N/A
-1115200000.00000000
NC
482797.00000000
0.012759803054
N/A
DFE
US
N
2
Goldman Sachs International
W22LROWP2IHZNBB6K528
1115200000.00000000
MXN
50669719.94000000
USD
2020-11-05
482797.00000000
N
N
N
Citibank N.A., New York
E57ODZWZ7FF32TWEFA76
CURRENCY CONTRACT - Rec USD / Deliver JPY
N/A
-912456000.00000000
NC
299030.20000000
0.007903045087
N/A
DFE
US
N
2
Citibank N.A., New York
E57ODZWZ7FF32TWEFA76
912456000.00000000
JPY
8984580.24000000
USD
2021-07-01
299030.20000000
N
N
N
KVK CLO Ltd
5493007VGL59COTLZY21
KVK CLO Ltd.
482739AF6
1941704.81080000
PA
USD
1932517.63000000
0.051074352900
Long
ABS-O
CORP
KY
N
2
2028-01-14
Floating
1.16800000
N
N
N
N
N
N
JPMorgan Chase Bank, N.A.
7H6GLXDRUGQFU57RNE97
iShares iBoxx $ High Yield Corporate Bond ETF
N/A
-430200.00000000
NC
USD
537750.00000000
0.014212151468
N/A
DIR
US
N
2
JPMorgan Chase Bank, N.A.
7H6GLXDRUGQFU57RNE97
iShares iBoxx $ High Yield Corporate Bond ETF
HYG
Y
iShares iBoxx $ High Yield Corporate Bond ETF-Tenor Quarterly
2020-12-01
0.00000000
USD
0.00000000
USD
-36093780.00000000
USD
537750.00000000
N
N
N
Palmer Square Loan Funding Ltd
N/A
Palmer Square Loan Funding Ltd.
69689LAA4
5286406.15030000
PA
USD
5275974.49000000
0.139438305147
Long
ABS-O
CORP
KY
N
2
2027-08-20
Floating
1.10300000
N
N
N
N
N
N
LOEWS CORP
R8V1FN4M5ITGZOG7BS19
Loews Corp.
540424AT5
2140000.00000000
PA
USD
2392150.12000000
0.063221942984
Long
DBT
CORP
US
N
2
2030-05-15
Fixed
3.20000000
N
N
N
N
N
N
GSAMP Trust
N/A
GSAMP Trust
362341G45
77336.68200000
PA
USD
77385.54000000
0.002045216208
Long
ABS-MBS
CORP
US
N
2
2035-11-25
Floating
0.58810000
N
N
N
N
N
N
WELLS FARGO & COMPANY
PBLD0EJDB5FWOLXP3B76
Wells Fargo & Co.
949746SP7
29450000.00000000
PA
USD
29522414.61000000
0.780245519551
Long
DBT
CORP
US
N
2
2022-02-11
Floating
1.18250000
N
N
N
N
N
N
Banc of America Merrill Lynch
N/A
BAMLL Commercial Mortgage Securities Trust
05524UAA7
1300000.00000000
PA
USD
1357286.19000000
0.035871607471
Long
ABS-MBS
CORP
US
N
2
2030-12-10
Fixed
2.95900000
N
N
N
N
N
N
CD Commercial Mortgage Trust
N/A
CD Commercial Mortgage Trust
12515DAS3
16900604.85050000
PA
USD
1032265.28000000
0.027281656000
Long
ABS-MBS
CORP
US
N
2
2050-05-10
Variable
1.45250000
N
N
N
N
N
N
Barclays Bank plc
G5GSEF7VJP5I7OUK5573
CURRENCY CONTRACT - Rec USD / Deliver JPY
N/A
-421500.00000000
NC
104.28000000
0.000002756007
N/A
DFE
US
N
2
BARCLAYS BANK PLC
G5GSEF7VJP5I7OUK5573
421500.00000000
JPY
4106.29000000
USD
2021-01-04
104.28000000
N
N
N
VALERO ENERGY CORP
549300XTO5VR8SKV1V74
Valero Energy Corp.
91913YAY6
1750000.00000000
PA
USD
1836480.87000000
0.048536205100
Long
DBT
CORP
US
N
2
2025-04-15
Fixed
2.85000000
N
N
N
N
N
N
CIM Trust
N/A
CIM Trust
17181FAA9
23188711.94580000
PA
USD
23949545.18000000
0.632960601930
Long
ABS-MBS
CORP
US
N
2
2057-12-26
Variable
4.07000000
N
N
N
N
N
N
ANGLO AMERICAN CAPITAL
TINT358G1SSHR3L3PW36
Anglo American Capital plc
034863AX8
9370000.00000000
PA
USD
9344514.54000000
0.246965422664
Long
DBT
CORP
GB
N
2
2030-09-10
Fixed
2.62500000
N
N
N
N
N
N
ONTARIO T-BILL
C7PVKCRGLG18EBQGZV36
Ontario T-Bill
6832Z5EU0
27000000.00000000
PA
20275503.84000000
0.535859659069
Long
DBT
NUSS
CA
N
2
2020-11-12
None
0.00000000
N
N
N
N
N
N
Verus Securitization Trust
N/A
Verus Securitization Trust
92537KAA2
12747840.29580000
PA
USD
12998039.61000000
0.343524142677
Long
ABS-MBS
CORP
US
N
2
2059-11-25
Variable
2.64200000
N
N
N
N
N
N
MIZUHO FINANCIAL GROUP
353800CI5L6DDAN5XZ33
Mizuho Financial Group, Inc.
60687YAF6
1500000.00000000
PA
USD
1513642.89000000
0.040003946110
Long
DBT
CORP
JP
N
2
2021-09-13
Floating
1.38910000
N
N
N
N
N
N
Goldman Sachs International
W22LROWP2IHZNBB6K528
CURRENCY CONTRACT - Rec USD / Deliver ILS
N/A
-96380813.83000000
NC
-72576.66000000
-0.00191812270
N/A
DFE
US
N
2
Goldman Sachs International
W22LROWP2IHZNBB6K528
96380813.83000000
ILS
28171639.73000000
USD
2021-02-01
-72576.66000000
N
N
N
Goldman Sachs International
W22LROWP2IHZNBB6K528
CURRENCY CONTRACT - Rec USD / Deliver BRL
N/A
-40300000.00000000
NC
2327765.65000000
0.061520331008
N/A
DFE
US
N
2
Goldman Sachs International
W22LROWP2IHZNBB6K528
40300000.00000000
BRL
9441255.71000000
USD
2021-07-01
2327765.65000000
N
N
N
BRAZIL FEDERATIVE REPUBLIC OF (GOVERNMENT)
N/A
Federative Republic of Brazil
N/A
194400000.00000000
PA
34260816.37000000
0.905476358286
Long
DBT
NUSS
BR
N
2
2021-04-01
None
0.00000000
N
N
N
N
N
N
UBS Commercial Mortgage Trust
N/A
UBS Commercial Mortgage Trust
90276CAF8
30642029.02160000
PA
USD
1723957.32000000
0.045562329253
Long
ABS-MBS
CORP
US
N
2
2050-08-15
Variable
1.23000000
N
N
N
N
N
N
MITSUBISHI UFJ FIN GRP
353800V2V8PUY9TK3E06
Mitsubishi UFJ Financial Group, Inc.
606822AB0
247000.00000000
PA
USD
248837.91000000
0.006576517095
Long
DBT
CORP
JP
N
2
2021-03-01
Floating
2.12600000
N
N
N
N
N
N
SUMITOMO MITSUI FINL GRP
35380028MYWPB6AUO129
Sumitomo Mitsui Financial Group, Inc.
86562MAJ9
702000.00000000
PA
USD
709158.29000000
0.018742287368
Long
DBT
CORP
JP
N
2
2021-10-19
Floating
1.41180000
N
N
N
N
N
N
Cent CLO LP
549300TP4B0QBDWSY710
Cent CLO Ltd.
12518XAA5
1162210.06440000
PA
USD
1161855.47000000
0.030706584702
Long
ABS-O
CORP
KY
N
2
2025-10-29
Floating
1.59960000
N
N
N
N
N
N
BSPRT 2018-FL4 Issuer, Ltd.
N/A
BSPRT Issuer Ltd.
05586AAA6
3250000.00000000
PA
USD
3213605.53000000
0.084932121898
Long
ABS-O
CORP
KY
N
2
2035-09-15
Floating
1.20240000
N
N
N
N
N
N
NEWFOUNDLAND T-BILL
549300CLWWW48GTPOJ49
Newfoundland T-Bill
6513ZAX59
6300000.00000000
PA
4732228.62000000
0.125067689314
Long
DBT
NUSS
CA
N
2
2020-10-05
None
0.00000000
N
N
N
N
N
N
FBR Securitization Trust
N/A
FBR Securitization Trust
30246QAH6
4159253.71660000
PA
USD
4143648.20000000
0.109512144767
Long
ABS-MBS
CORP
US
N
2
2035-09-25
Floating
0.89810000
N
N
N
N
N
N
THERMO FISHER SCIENTIFIC
HCHV7422L5HDJZCRFL38
Thermo Fisher Scientific, Inc.
883556CF7
4200000.00000000
PA
USD
4784338.36000000
0.126444893438
Long
DBT
CORP
US
N
2
2025-03-25
Fixed
4.13300000
N
N
N
N
N
N
SBA COMMUNICATIONS CORP
5299001HX8ZN8Y8QIT49
SBA Communications Corp.
78410GAC8
350000.00000000
PA
USD
355250.00000000
0.009388873656
Long
DBT
CORP
US
N
2
2027-02-15
Fixed
3.87500000
N
N
N
N
N
N
Diamond CLO 2018-1, LLC
N/A
Diamond CLO Ltd.
25256LAJ0
6000000.00000000
PA
USD
5928440.40000000
0.156682274168
Long
ABS-O
CORP
KY
N
2
2030-07-22
Floating
1.75800000
N
N
N
N
N
N
FOX CORP
549300DDU6FDRBIELS05
Fox Corp.
35137LAM7
1360000.00000000
PA
USD
1489230.16000000
0.039358744034
Long
DBT
CORP
US
N
2
2025-04-07
Fixed
3.05000000
N
N
N
N
N
N
Morgan Stanley Capital I Trust
N/A
Morgan Stanley Capital I Trust
61764JAD8
365000.00000000
PA
USD
371520.47000000
0.009818884598
Long
ABS-MBS
CORP
US
N
2
2033-08-11
Fixed
3.69300000
N
N
N
N
N
N
CD Commercial Mortgage Trust
N/A
CD Mortgage Trust
12514MBD6
6813857.02130000
PA
USD
413235.90000000
0.010921378340
Long
ABS-MBS
CORP
US
N
2
2049-08-10
Variable
1.52900000
N
N
N
N
N
N
CIT Mortgage Loan Trust
N/A
CIT Mortgage Loan Trust
12559QAD4
542241.57690000
PA
USD
544939.34000000
0.014402157956
Long
ABS-MBS
CORP
US
N
2
2037-10-25
Floating
1.59810000
N
N
N
N
N
N
Structured Asset Investment Lo
N/A
Structured Asset Investment Loan Trust
86358ERB4
387091.82910000
PA
USD
385839.74000000
0.010197327433
Long
ABS-MBS
CORP
US
N
2
2035-03-25
Floating
0.88310000
N
N
N
N
N
N
VIACOMCBS INC
5KYC8KF17ROCY24M3H09
ViacomCBS, Inc.
92556HAB3
13560000.00000000
PA
USD
16305333.87000000
0.430932356479
Long
DBT
CORP
US
N
2
2031-01-15
Fixed
4.95000000
N
N
N
N
N
N
WEYERHAEUSER CO
08IRJODWFYBI7QWRGS31
Weyerhaeuser Co.
962166BY9
912000.00000000
PA
USD
1078315.71000000
0.028498719108
Long
DBT
CORP
US
N
2
2030-04-15
Fixed
4.00000000
N
N
N
N
N
N
Soundview Home Equity Loan Tru
N/A
Soundview Home Loan Trust
83612CAA7
18303200.35930000
PA
USD
17738054.27000000
0.468797608615
Long
ABS-MBS
CORP
US
N
2
2036-07-25
Floating
0.28800000
N
N
N
N
N
N
JPMorgan Chase Bank, N.A.
7H6GLXDRUGQFU57RNE97
CURRENCY CONTRACT - Rec USD / Deliver EUR
N/A
-34350000.00000000
NC
-306068.14000000
-0.00808905023
N/A
DFE
US
N
2
JPMorgan Chase Bank, N.A.
7H6GLXDRUGQFU57RNE97
34350000.00000000
EUR
39988518.15000000
USD
2020-10-09
-306068.14000000
N
N
N
Credit Suisse Mortgage Trust
N/A
CSMC Series
12648ELS9
164318.24350000
PA
USD
160699.59000000
0.004247116529
Long
ABS-MBS
CORP
US
N
2
2046-02-27
Floating
0.37510000
N
N
N
N
N
N
BofA Securities, Inc.
549300HN4UKV1E2R3U73
Federal Funds Rate
N/A
29600000.00000000
OU
Notional Amount
USD
405316.64000000
0.010712080855
N/A
DIR
US
N
2
BOFA SECURITIES, INC.
549300HN4UKV1E2R3U73
US Federal Funds Effective Rate (continuous series)
FEDL01
Y
2021-09-17
54.92000000
USD
0.00000000
USD
29600000.00000000
USD
405261.72000000
N
N
N
Morgan Stanley Capital Services LLC
I7331LVCZKQKX5T7XV54
CURRENCY CONTRACT - Rec USD / Deliver CAD
N/A
-7880000.00000000
NC
129090.34000000
0.003411718205
N/A
DFE
US
N
2
Morgan Stanley Capital Services LLC
I7331LVCZKQKX5T7XV54
7880000.00000000
CAD
6048561.51000000
USD
2020-10-16
129090.34000000
N
N
N
Goldman Sachs International
W22LROWP2IHZNBB6K528
CURRENCY CONTRACT - Rec USD / Deliver ILS
N/A
-6646500.00000000
NC
-15364.28000000
-0.00040606131
N/A
DFE
US
N
2
Goldman Sachs International
W22LROWP2IHZNBB6K528
6646500.00000000
ILS
1951409.28000000
USD
2022-01-31
-15364.28000000
N
N
N
Falcon Aerospace Ltd
N/A
Falcon Aerospace Ltd.
30605YAB7
1685850.31000000
PA
USD
1518505.56000000
0.040132461225
Long
ABS-O
CORP
US
N
2
2042-02-15
Fixed
4.58100000
N
N
N
N
N
N
UBS Commercial Mortgage Trust
N/A
UBS Commercial Mortgage Trust
90276TAH7
13807599.60250000
PA
USD
691242.96000000
0.018268804553
Long
ABS-MBS
CORP
US
N
2
2050-11-15
Variable
1.14920000
N
N
N
N
N
N
QUEBEC T-BILL
549300WN65YFEQH74Y36
Quebec T-Bill
0985ZUY68
47117000.00000000
PA
35383671.79000000
0.935152213805
Long
DBT
NUSS
CA
N
2
2020-11-06
None
0.00000000
N
N
N
N
N
N
BROADCOM INC
549300WV6GIDOZJTV909
Broadcom, Inc.
11135FAQ4
5790000.00000000
PA
USD
6504160.49000000
0.171897934088
Long
DBT
CORP
US
N
2
2030-11-15
Fixed
4.15000000
N
N
N
N
N
N
Banc of America Commercial Mor
N/A
Banc of America Commercial Mortgage Trust
06427DAT0
32989133.07430000
PA
USD
1762385.05000000
0.046577932637
Long
ABS-MBS
CORP
US
N
2
2050-02-15
Variable
1.26060000
N
N
N
N
N
N
Anchorage Credit Funding Ltd.
5493003NNQWXMTSTMF21
Anchorage Credit Funding Ltd.
03330EAA2
1500000.00000000
PA
USD
1498877.55000000
0.039613714128
Long
ABS-O
CORP
KY
N
2
2033-10-28
Fixed
3.85000000
N
N
N
N
N
N
Goldman Sachs International
W22LROWP2IHZNBB6K528
CURRENCY CONTRACT - Rec USD / Deliver ILS
N/A
-347449.41000000
NC
-1138.61000000
-0.00003009223
N/A
DFE
US
N
2
Goldman Sachs International
W22LROWP2IHZNBB6K528
347449.41000000
ILS
100680.79000000
USD
2021-02-01
-1138.61000000
N
N
N
WELLS FARGO & COMPANY
PBLD0EJDB5FWOLXP3B76
Wells Fargo & Co.
95000U2J1
2240000.00000000
PA
USD
2351577.98000000
0.062149665161
Long
DBT
CORP
US
N
2
2031-02-11
Variable
2.57200000
N
N
N
N
N
N
CIGNA CORP
549300VIWYMSIGT1U456
Cigna Corp.
125523AB6
4100000.00000000
PA
USD
4100806.76000000
0.108379891797
Long
DBT
CORP
US
N
2
2021-09-17
Floating
0.89610000
N
N
N
N
N
N
Towd Point Mortgage Trust
N/A
Towd Point Mortgage Trust
89169EAA7
9741436.62220000
PA
USD
9723407.17000000
0.256979145486
Long
ABS-MBS
CORP
US
N
2
2057-02-25
Floating
0.74810000
N
N
N
N
N
N
Novastar Home Equity Loan
N/A
NovaStar Mortgage Funding Trust Series
66989EAA3
12252109.25220000
PA
USD
11687864.09000000
0.308897619311
Long
ABS-MBS
CORP
US
N
2
2037-09-25
Floating
0.34800000
N
N
N
N
N
N
Asset Backed Securities Corp H
N/A
Asset Backed Securities Corporation Home Equity Loan Trust Series AEG
04541GVL3
3350000.00000000
PA
USD
3197560.26000000
0.084508062748
Long
ABS-MBS
CORP
US
N
2
2036-01-25
Floating
0.54800000
N
N
N
N
N
N
COSTAR GROUP INC
N/A
CoStar Group, Inc.
22160NAA7
15280000.00000000
PA
USD
15832857.75000000
0.418445323132
Long
DBT
CORP
US
N
2
2030-07-15
Fixed
2.80000000
N
N
N
N
N
N
TEXTRON INC
3PPKBHUG1HD6BO7RNR87
Textron, Inc.
883203BZ3
5700000.00000000
PA
USD
5700151.51000000
0.150648845468
Long
DBT
CORP
US
N
2
2020-11-10
Floating
0.79330000
N
N
N
N
N
N
GE BUSINESS LOAN TRUST
54930088DNNKVNIBN966
GE Business Loan Trust
36160RAA8
122048.04170000
PA
USD
122048.04000000
0.003225597825
Long
ABS-MBS
CORP
US
N
2
2035-04-15
Floating
0.32200000
N
N
N
N
N
N
TEMPUR SEALY INTL INC
549300HFEKVR3US71V91
Tempur Sealy International, Inc.
88023UAD3
2100000.00000000
PA
USD
2121441.00000000
0.056067393440
Long
DBT
CORP
US
N
2
2023-10-15
Fixed
5.62500000
N
N
N
N
N
N
T-MOBILE USA INC
549300V2JRLO5DIFGE82
T-Mobile USA, Inc.
87264ABA2
5000000.00000000
PA
USD
5486500.00000000
0.145002266907
Long
DBT
CORP
US
N
2
2025-04-15
Fixed
3.50000000
N
N
N
N
N
N
BofA Securities, Inc.
549300HN4UKV1E2R3U73
Federal Funds Rate
N/A
43200000.00000000
OU
Notional Amount
USD
574354.37000000
0.015179565416
N/A
DIR
US
N
2
BOFA SECURITIES, INC.
549300HN4UKV1E2R3U73
US Federal Funds Effective Rate (continuous series)
FEDL01
Y
2021-09-30
202.33000000
USD
0.00000000
USD
43200000.00000000
USD
574152.04000000
N
N
N
FIDELITY NATL FINANCIAL
549300CAZYIH39SYQ287
Fidelity National Financial, Inc.
31620RAK1
5500000.00000000
PA
USD
5455197.50000000
0.144174975654
Long
DBT
CORP
US
N
2
2031-03-15
Fixed
2.45000000
N
N
N
N
N
N
Bank of America, N.A.
B4TYDEB6GKMZO031MB27
CURRENCY CONTRACT - Rec USD / Deliver ILS
N/A
-5454000.00000000
NC
-15923.98000000
-0.00042085358
N/A
DFE
US
N
2
Bank of America, N.A.
B4TYDEB6GKMZO031MB27
5454000.00000000
ILS
1586156.75000000
USD
2021-04-30
-15923.98000000
N
N
N
WEX INC
T9M5IGROL1TL1G5OV478
WEX, Inc.
96208TAA2
100000.00000000
PA
USD
100125.00000000
0.002646195566
Long
DBT
CORP
US
N
2
2023-02-01
Fixed
4.75000000
N
N
N
N
N
N
NEWCREST FINANCE PTY LTD
549300I0XDZ4K7PDSS04
Newcrest Finance Pty Ltd.
65120FAD6
14960000.00000000
PA
USD
16318326.71000000
0.431275743202
Long
DBT
CORP
AU
N
2
2030-05-13
Fixed
3.25000000
N
N
N
N
N
N
Structured Asset Investment Lo
N/A
Structured Asset Investment Loan Trust
863587AE1
3986390.12960000
PA
USD
3890424.17000000
0.102819707259
Long
ABS-MBS
CORP
US
N
2
2036-06-25
Floating
0.29810000
N
N
N
N
N
N
VF CORP
CWAJJ9DJ5Z7P057HV541
VF Corp.
918204BB3
11650000.00000000
PA
USD
12726165.95000000
0.336338815599
Long
DBT
CORP
US
N
2
2027-04-23
Fixed
2.80000000
N
N
N
N
N
N
Bear Stearns Asset Backed Secu
N/A
Bear Stearns Asset Backed Securities I Trust
07389MAE7
4110044.63070000
PA
USD
3908204.45000000
0.103289620848
Long
ABS-MBS
CORP
US
N
2
2036-11-25
Floating
0.28800000
N
N
N
N
N
N
Castlelake Aircraft Securitiza
N/A
Castlelake Aircraft Securitization Trust
14855LAB6
3560226.54000000
PA
USD
3205709.51000000
0.084723438621
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 ILS / Deliver USD
N/A
45495450.00000000
NC
674937.14000000
0.017837859349
N/A
DFE
US
N
2
Goldman Sachs International
W22LROWP2IHZNBB6K528
12689086.29000000
USD
45495450.00000000
ILS
2021-04-30
674937.14000000
N
N
N
MARRIOTT INTERNATIONAL
225YDZ14ZO8E1TXUSU86
Marriott International, Inc.
571903BD4
5610000.00000000
PA
USD
6260873.88000000
0.165468131854
Long
DBT
CORP
US
N
2
2025-05-01
Fixed
5.75000000
N
N
N
N
N
N
CNH INDUSTRIAL CAP LLC
549300PNSJ5B81UMVO28
CNH Industrial Capital LLC
12592BAL8
4960000.00000000
PA
USD
4953247.80000000
0.130908987433
Long
DBT
CORP
US
N
2
2026-01-15
Fixed
1.87500000
N
N
N
N
N
N
JAPAN (GOVERNMENT OF)
N/A
Government of Japan
N/A
5210000000.00000000
PA
49393736.79000000
1.305423094060
Long
DBT
NUSS
JP
N
2
2020-10-19
None
0.00000000
N
N
N
N
N
N
Guggenheim Partners Investment Management LLC
N/A
Guggenheim Ultra Short Duration Fund - Institutional Class
40169J523
2900694.40520000
NS
USD
28948930.16000000
0.765088945180
Long
EC
RF
US
N
1
N
N
N
Citibank N.A., New York
E57ODZWZ7FF32TWEFA76
CURRENCY CONTRACT - Rec BRL / Deliver USD
N/A
59308000.00000000
NC
-800629.52000000
-0.02115977314
N/A
DFE
US
N
2
Citibank N.A., New York
E57ODZWZ7FF32TWEFA76
11269286.31000000
USD
59308000.00000000
BRL
2021-07-01
-800629.52000000
N
N
N
QUEBEC T-BILL
549300WN65YFEQH74Y36
Quebec T-Bill
0985ZUX28
23775000.00000000
PA
17858708.04000000
0.471986357392
Long
DBT
NUSS
CA
N
2
2020-10-02
None
0.00000000
N
N
N
N
N
N
Structured Asset Securities Co
N/A
Structured Asset Securities Corporation Mortgage Loan Trust
86365DAA7
11749895.31460000
PA
USD
11455905.88000000
0.302767214448
Long
ABS-MBS
CORP
US
N
2
2037-11-25
Floating
0.77800000
N
N
N
N
N
N
Citigroup Commercial Mortgage
N/A
Citigroup Commercial Mortgage Trust
17290XAY6
3663500.83360000
PA
USD
268449.25000000
0.007094823621
Long
ABS-MBS
CORP
US
N
2
2049-04-10
Variable
1.90400000
N
N
N
N
N
N
First Franklin Mtg Loan Asset
N/A
First Franklin Mortgage Loan Trust
32027NMJ7
963604.74910000
PA
USD
961416.60000000
0.025409201939
Long
ABS-MBS
CORP
US
N
2
2034-07-25
Floating
1.42310000
N
N
N
N
N
N
Fortress Credit Opportunities
2549008RD44HDM6DNP14
Fortress Credit Opportunities IX CLO Ltd.
34961JAC8
2982000.00000000
PA
USD
2956042.29000000
0.078125003758
Long
ABS-O
CORP
KY
N
2
2029-11-15
Floating
1.83000000
N
N
N
N
N
N
Goldman Sachs International
W22LROWP2IHZNBB6K528
CURRENCY CONTRACT - Rec USD / Deliver ILS
N/A
-35703500.00000000
NC
-15925.10000000
-0.00042088318
N/A
DFE
US
N
2
Goldman Sachs International
W22LROWP2IHZNBB6K528
35703500.00000000
ILS
10471770.05000000
USD
2021-04-30
-15925.10000000
N
N
N
STORE Master Funding LLC
N/A
STORE Master Funding I LLC
86213CAA3
1751250.02220000
PA
USD
1779082.29000000
0.047019222649
Long
ABS-O
CORP
US
N
2
2045-04-20
Fixed
3.75000000
N
N
N
N
N
N
Oaktree CLO Ltd
635400SBDDFQR1OHEJ54
Oaktree CLO Ltd.
67389XAF4
1688638.21040000
PA
USD
1683783.21000000
0.044500570934
Long
ABS-O
CORP
KY
N
2
2027-10-20
Floating
1.14180000
N
N
N
N
N
N
PRUDENTIAL PLC
5493001Z3ZE83NGK8Y12
Prudential plc
74435KAA3
6640000.00000000
PA
USD
7373783.28000000
0.194881124812
Long
DBT
CORP
US
N
2
2030-04-14
Fixed
3.12500000
N
N
N
N
N
N
CIT Mortgage Loan Trust
N/A
CIT Mortgage Loan Trust
12559QAA0
9017553.33430000
PA
USD
9043198.35000000
0.239001961330
Long
ABS-MBS
CORP
US
N
2
2037-10-25
Floating
1.49810000
N
N
N
N
N
N
VALERO ENERGY CORP
549300XTO5VR8SKV1V74
Valero Energy Corp.
91913YBB5
2400000.00000000
PA
USD
2390311.99000000
0.063173363194
Long
DBT
CORP
US
N
2
2027-09-15
Fixed
2.15000000
N
N
N
N
N
N
UNITED AIRLINES HOLDINGS INC
N/A
Mileage Plus Holdings LLC
N/A
2600000.00000000
PA
USD
2640456.00000000
0.069784399101
Long
LON
CORP
US
N
2
2027-06-21
Variable
6.25000000
N
N
N
N
N
N
Station Place Securitization T
N/A
Station Place Securitization Trust
857706AA3
2000000.00000000
PA
USD
2000000.00000000
0.052857839025
Long
ABS-O
CORP
US
Y
3
2021-02-15
Floating
1.65100000
N
N
N
N
N
N
WENDYS FUNDING LLC
5493009DRVSTWJOXUL48
Wendy's Funding LLC
95058XAD0
1637690.00000000
PA
USD
1692716.38000000
0.044736664965
Long
ABS-O
CORP
US
N
2
2048-03-15
Fixed
3.57300000
N
N
N
N
N
N
Acis CLO LTD
549300GLSPRHLAVL0K92
ACIS CLO Ltd.
00100VAC4
880541.81430000
PA
USD
880016.13000000
0.023257875469
Long
ABS-O
CORP
KY
N
2
2026-05-01
Floating
1.67100000
N
N
N
N
N
N
ONTARIO T-BILL
C7PVKCRGLG18EBQGZV36
Ontario T-Bill
6832Z5EP1
890000.00000000
PA
668514.50000000
0.017668115913
Long
DBT
NUSS
CA
N
2
2020-10-07
None
0.00000000
N
N
N
N
N
N
Barclays Commercial Mortgage S
N/A
BBCMS Mortgage Trust
05491UBE7
29859384.03200000
PA
USD
1554294.40000000
0.041078321596
Long
ABS-MBS
CORP
US
N
2
2051-12-15
Variable
0.93540000
N
N
N
N
N
N
Station Place Securitization T
N/A
Station Place Securitization Trust
85776XAA8
26700000.00000000
PA
USD
26700000.00000000
0.705652150992
Long
ABS-O
CORP
US
Y
3
2020-12-24
Floating
1.65100000
N
N
N
N
N
N
JPMDB Commercial Mortgage Secu
N/A
JPMDB Commercial Mortgage Securities Trust
46591ABC8
42472222.85630000
PA
USD
1476563.82000000
0.039023986354
Long
ABS-MBS
CORP
US
N
2
2051-06-15
Variable
0.80120000
N
N
N
N
N
N
UNIFORM MBS
N/A
Uniform MBS 15 Year
N/A
28750000.00000000
PA
USD
29417086.25000000
0.777461804802
Long
ABS-MBS
CORP
US
N
2
2021-10-19
Fixed
1.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae
3138LL5F8
2121188.08800000
PA
USD
2390209.12000000
0.063170644451
Long
ABS-MBS
USGSE
US
N
2
2027-08-01
Fixed
3.21000000
N
N
N
N
N
N
Park Place Securities Inc
N/A
Park Place Securities Incorporated Asset Backed Pass Through Certificates Ser
70069FJS7
7025000.00000000
PA
USD
6973185.01000000
0.184293745377
Long
ABS-MBS
CORP
US
N
2
2035-06-25
Floating
1.09300000
N
N
N
N
N
N
JPMorgan Chase Bank, N.A.
7H6GLXDRUGQFU57RNE97
CURRENCY CONTRACT - Rec USD / Deliver CAD
N/A
-3575000.00000000
NC
-10555.14000000
-0.00027896094
N/A
DFE
US
N
2
JPMorgan Chase Bank, N.A.
7H6GLXDRUGQFU57RNE97
3575000.00000000
CAD
2674921.14000000
USD
2020-10-09
-10555.14000000
N
N
N
BOEING CO
RVHJWBXLJ1RFUBSY1F30
Boeing Co.
097023CT0
50000000.00000000
PA
USD
54406260.50000000
1.437898679747
Long
DBT
CORP
US
N
2
2025-05-01
Fixed
4.87500000
N
N
N
N
N
N
KDAC Aviation Finance Limited
N/A
KDAC Aviation Finance Ltd.
48244XAA0
9522417.44480000
PA
USD
8364261.99000000
0.221058406917
Long
ABS-O
CORP
KY
N
2
2042-12-15
Fixed
4.21200000
N
N
N
N
N
N
JAPAN (GOVERNMENT OF)
N/A
Government of Japan
N/A
1371000000.00000000
PA
12998917.79000000
0.343547352025
Long
DBT
NUSS
JP
N
2
2020-11-09
None
0.00000000
N
N
N
N
N
N
KREF FUNDING V LLC
N/A
KREF Funding V LLC
N/A
10000000.00000000
PA
USD
9584301.10000000
0.253302722358
Long
ABS-O
CORP
US
N
2
2026-06-25
Variable
1.89500000
N
N
N
N
N
N
MITSUBISHI UFJ FIN GRP
353800V2V8PUY9TK3E06
Mitsubishi UFJ Financial Group, Inc.
606822AF1
5068000.00000000
PA
USD
5106567.48000000
0.134961060915
Long
DBT
CORP
JP
N
2
2021-09-13
Floating
1.30910000
N
N
N
N
N
N
Goldman Sachs International
W22LROWP2IHZNBB6K528
CURRENCY CONTRACT - Rec USD / Deliver CAD
N/A
-890000.00000000
NC
-4426.49000000
-0.00011698734
N/A
DFE
US
N
2
Goldman Sachs International
W22LROWP2IHZNBB6K528
890000.00000000
CAD
664120.62000000
USD
2020-10-07
-4426.49000000
N
N
N
Citibank N.A., New York
E57ODZWZ7FF32TWEFA76
CURRENCY CONTRACT - Rec USD / Deliver JPY
N/A
-456000.00000000
NC
120.40000000
0.000003182041
N/A
DFE
US
N
2
Citibank N.A., New York
E57ODZWZ7FF32TWEFA76
456000.00000000
JPY
4449.97000000
USD
2021-01-04
120.40000000
N
N
N
JPMorgan Chase Bank, N.A.
7H6GLXDRUGQFU57RNE97
CURRENCY CONTRACT - Rec USD / Deliver CAD
N/A
-8117000.00000000
NC
81672.70000000
0.002158521214
N/A
DFE
US
N
2
JPMorgan Chase Bank, N.A.
7H6GLXDRUGQFU57RNE97
8117000.00000000
CAD
6179616.17000000
USD
2020-11-06
81672.70000000
N
N
N
Capital Automotive Reit
N/A
CARS-DB4, LP
12510HAD2
4000000.00000000
PA
USD
4099422.80000000
0.108343315230
Long
ABS-O
CORP
US
N
2
2050-02-15
Fixed
3.19000000
N
N
N
N
N
N
Goldman Sachs International
W22LROWP2IHZNBB6K528
CURRENCY CONTRACT - Rec USD / Deliver ILS
N/A
-123634100.00000000
NC
148060.98000000
0.003913091723
N/A
DFE
US
N
2
Goldman Sachs International
W22LROWP2IHZNBB6K528
123634100.00000000
ILS
36464857.69000000
USD
2021-04-30
148060.98000000
N
N
N
ONTARIO T-BILL
C7PVKCRGLG18EBQGZV36
Ontario T-Bill
6832Z5ER7
21274000.00000000
PA
15978151.98000000
0.422285292642
Long
DBT
NUSS
CA
N
2
2020-10-21
None
0.00000000
N
N
N
N
N
N
STORE Master Funding LLC
N/A
STORE Master Funding I LLC
86213CAB1
10410208.34010000
PA
USD
10792365.01000000
0.285230546202
Long
ABS-O
CORP
US
N
2
2045-04-20
Fixed
4.17000000
N
N
N
N
N
N
Castlelake Aircraft Structured
N/A
Castlelake Aircraft Securitization Trust
14856CAA7
9309163.12520000
PA
USD
8690750.76000000
0.229687152341
Long
ABS-O
CORP
US
N
2
2043-06-15
Fixed
4.12500000
N
N
N
N
N
N
Citibank N.A., New York
E57ODZWZ7FF32TWEFA76
CURRENCY CONTRACT - Rec USD / Deliver ILS
N/A
-12524000.00000000
NC
-20607.56000000
-0.00054463554
N/A
DFE
US
N
2
Citibank N.A., New York
E57ODZWZ7FF32TWEFA76
12524000.00000000
ILS
3658244.49000000
USD
2021-04-30
-20607.56000000
N
N
N
LoanCore 2019-CRE2 Issuer, Ltd
N/A
LoanCore Issuer Ltd.
53946JAC8
8550000.00000000
PA
USD
8378344.22000000
0.221430585041
Long
ABS-O
CORP
KY
N
2
2036-05-15
Floating
1.65240000
N
N
N
N
N
N
LoanCore 2018-CRE1 Issuer, Ltd
N/A
LoanCore Issuer Ltd.
53946MAC1
3500000.00000000
PA
USD
3469546.85000000
0.091696374444
Long
ABS-O
CORP
KY
N
2
2028-05-15
Floating
1.65200000
N
N
N
N
N
N
ZIMMER BIOMET HOLDINGS
2P2YLDVPES3BXQ1FRB91
Zimmer Biomet Holdings, Inc.
98956PAP7
11050000.00000000
PA
USD
11051943.14000000
0.292090915707
Long
DBT
CORP
US
N
2
2021-03-19
Floating
0.97740000
N
N
N
N
N
N
HarborView Mortgage Loan Trust
N/A
HarborView Mortgage Loan Trust
41162NAC1
3053973.42090000
PA
USD
2730499.30000000
0.072164146229
Long
ABS-MBS
CORP
US
N
2
2047-01-25
Floating
0.30600000
N
N
N
N
N
N
Goldman Sachs International
W22LROWP2IHZNBB6K528
CURRENCY CONTRACT - Rec USD / Deliver CAD
N/A
-27000000.00000000
NC
204005.24000000
0.005391638068
N/A
DFE
US
N
2
Goldman Sachs International
W22LROWP2IHZNBB6K528
27000000.00000000
CAD
20488195.76000000
USD
2020-11-12
204005.24000000
N
N
N
NEWFOUNDLAND T-BILL
549300CLWWW48GTPOJ49
Newfoundland T-Bill
6513ZAXW0
10200000.00000000
PA
7660171.11000000
0.202450045720
Long
DBT
NUSS
CA
N
2
2020-10-29
None
0.00000000
N
N
N
N
N
N
MITSUBISHI UFJ FIN GRP
353800V2V8PUY9TK3E06
Mitsubishi UFJ Financial Group, Inc.
606822AX2
11450000.00000000
PA
USD
11494253.79000000
0.303780708275
Long
DBT
CORP
JP
N
2
2021-07-26
Floating
0.89450000
N
N
N
N
N
N
ASSURANT INC
H3F39CAXWQRVWURFXL38
Assurant, Inc.
04621XAL2
1592000.00000000
PA
USD
1591437.91000000
0.042059984433
Long
DBT
CORP
US
N
2
2021-03-26
Floating
1.48300000
N
N
N
N
N
N
Verus Securitization Trust
N/A
Verus Securitization Trust
92536PAA2
7169783.37300000
PA
USD
7321881.01000000
0.193509403895
Long
ABS-MBS
CORP
US
N
2
2060-01-25
Variable
2.41700000
N
N
N
N
N
N
Citibank N.A., New York
E57ODZWZ7FF32TWEFA76
CURRENCY CONTRACT - Rec USD / Deliver CAD
N/A
-20700000.00000000
NC
-242124.80000000
-0.00639909685
N/A
DFE
US
N
2
Citibank N.A., New York
E57ODZWZ7FF32TWEFA76
20700000.00000000
CAD
15306937.37000000
USD
2020-10-02
-242124.80000000
N
N
N
INFOR INC
549300Q3IIYBYI4RHD64
Infor, Inc.
45674CAA1
13800000.00000000
PA
USD
14197192.84000000
0.375216466876
Long
DBT
CORP
US
N
2
2025-07-15
Fixed
1.75000000
N
N
N
N
N
N
Morgan Stanley Capital Services LLC
I7331LVCZKQKX5T7XV54
CURRENCY CONTRACT - Rec USD / Deliver MXN
N/A
-471000000.00000000
NC
199824.27000000
0.005281139548
N/A
DFE
US
N
2
Morgan Stanley Capital Services LLC
I7331LVCZKQKX5T7XV54
471000000.00000000
MXN
21396058.76000000
USD
2020-11-05
199824.27000000
N
N
N
BANK OF NY MELLON CORP
WFLLPEPC7FZXENRZV188
Bank of New York Mellon Corp.
064058AH3
3010000.00000000
PA
USD
3193610.00000000
0.084403661645
Long
DBT
CORP
US
N
2
N/A
Variable
4.70000000
N
N
N
N
N
N
HYATT HOTELS CORP
T27JQIMTYSH41TCD5186
Hyatt Hotels Corp.
448579AH5
4880000.00000000
PA
USD
5253583.96000000
0.138846547632
Long
DBT
CORP
US
N
2
2025-04-23
Fixed
5.37500000
N
N
N
N
N
N
GENERAL MILLS INC
2TGYMUGI08PO8X8L6150
General Mills, Inc.
370334CB8
20750000.00000000
PA
USD
20787519.32000000
0.549391674979
Long
DBT
CORP
US
N
2
2021-04-16
Floating
0.81090000
N
N
N
N
N
N
RENAISSANCERE FINANCE
54930048ETFU7B0OJ457
RenaissanceRe Finance, Inc.
75972YAA9
400000.00000000
PA
USD
433669.60000000
0.011461418953
Long
DBT
CORP
US
N
2
2025-04-01
Fixed
3.70000000
N
N
N
N
N
N
ARES FINANCE CO LLC
N/A
Ares Finance Company LLC
04015CAA6
8967000.00000000
PA
USD
9585552.99000000
0.253335808458
Long
DBT
CORP
US
N
2
2024-10-08
Fixed
4.00000000
N
N
N
N
N
N
AVANTOR INC
5493003VM0XB4U8YD238
Avantor, Inc.
05352AAA8
5530000.00000000
PA
USD
5778850.00000000
0.152728761526
Long
DBT
CORP
US
N
2
2024-10-01
Fixed
6.00000000
N
N
N
N
N
N
New Residential Advance Receiv
549300RNWDDBV4LFKJ17
NRZ Advance Receivables Trust 2015-ON1
62942QCW1
28950000.00000000
PA
USD
28996615.29000000
0.766349211643
Long
ABS-MBS
CORP
US
N
2
2053-09-15
Fixed
1.47540000
N
N
N
N
N
N
INTERCONTINENTALEXCHANGE
5493000F4ZO33MV32P92
Intercontinental Exchange, Inc.
45866FAR5
17100000.00000000
PA
USD
17139911.40000000
0.452989338847
Long
DBT
CORP
US
N
2
2023-06-15
Floating
0.90300000
N
N
N
N
N
N
GreenPoint Mortgage Funding Tr
N/A
GreenPoint Mortgage Funding Trust
39539KAA1
2.03260000
PA
USD
2.03000000
0.000000053650
Long
ABS-MBS
CORP
US
N
3
2047-02-25
Floating
0.22800000
N
N
N
N
N
N
JPMorgan Chase Bank, N.A.
7H6GLXDRUGQFU57RNE97
CURRENCY CONTRACT - Rec USD / Deliver CAD
N/A
-1060000.00000000
NC
-5402.99000000
-0.00014279518
N/A
DFE
US
N
2
JPMorgan Chase Bank, N.A.
7H6GLXDRUGQFU57RNE97
1060000.00000000
CAD
790886.01000000
USD
2020-10-21
-5402.99000000
N
N
N
Hull Street CDO Ltd
549300W5TZ4WI4ZLP434
Hull Street CLO Ltd.
444838AJ5
1335440.55840000
PA
USD
1335076.92000000
0.035284640462
Long
ABS-O
CORP
KY
N
2
2026-10-18
Floating
1.49180000
N
N
N
N
N
N
VANTAGE DATA CENTERS ISSUER, L
N/A
Vantage Data Centers Issuer LLC
92211MAC7
3117333.33330000
PA
USD
3224597.97000000
0.085222640210
Long
ABS-O
CORP
US
N
2
2043-02-16
Fixed
4.07200000
N
N
N
N
N
N
UBS AG LONDON
BFM8T61CT2L1QCEMIK50
UBS AG
902674XJ4
1000000.00000000
PA
USD
1000341.91000000
0.026437955824
Long
DBT
CORP
CH
N
2
2020-12-01
Floating
0.72600000
N
N
N
N
N
N
AVIATION CAPITAL GROUP
549300ODEK8HY3445C77
Aviation Capital Group LLC
05367AAJ2
8000000.00000000
PA
USD
7939396.64000000
0.209829674778
Long
DBT
CORP
US
N
2
2022-01-20
Fixed
2.87500000
N
N
N
N
N
N
Citigroup Commercial Mortgage
N/A
CGMS Commercial Mortgage Trust
17326CBE3
22033738.38710000
PA
USD
929107.66000000
0.024555311564
Long
ABS-MBS
CORP
US
N
2
2050-08-15
Variable
0.96870000
N
N
N
N
N
N
JP Morgan Chase Commercial Mor
N/A
JP Morgan Chase Commercial Mortgage Securities Trust
46590MAT7
36255157.83560000
PA
USD
2976077.14000000
0.078654503196
Long
ABS-MBS
CORP
US
N
2
2049-08-15
Variable
1.94920000
N
N
N
N
N
N
REGIONS FINANCIAL CORP
CW05CS5KW59QTC0DG824
Regions Financial Corp.
7591EPAQ3
14000000.00000000
PA
USD
14786321.62000000
0.390786503985
Long
DBT
CORP
US
N
2
2025-05-18
Fixed
2.25000000
N
N
N
N
N
N
ZIMMER BIOMET HOLDINGS
2P2YLDVPES3BXQ1FRB91
Zimmer Biomet Holdings, Inc.
98956PAS1
400000.00000000
PA
USD
438907.90000000
0.011599861562
Long
DBT
CORP
US
N
2
2026-01-15
Fixed
3.05000000
N
N
N
N
N
N
ANGLO AMERICAN CAPITAL
TINT358G1SSHR3L3PW36
Anglo American Capital plc
034863AT7
550000.00000000
PA
USD
607204.71000000
0.016047764408
Long
DBT
CORP
GB
N
2
2027-09-11
Fixed
4.00000000
N
N
N
N
N
N
EXPRESS SCRIPTS HOLDING
5493003UA6VMND084504
Express Scripts Holding Co.
30219GAS7
21875000.00000000
PA
USD
21879870.25000000
0.578261329788
Long
DBT
CORP
US
N
2
2020-11-30
Floating
1.00590000
N
N
N
N
N
N
BofA Securities, Inc.
549300HN4UKV1E2R3U73
Federal Funds Rate
N/A
98600000.00000000
OU
Notional Amount
USD
1449478.17000000
0.038308141890
N/A
DIR
US
N
2
BOFA SECURITIES, INC.
549300HN4UKV1E2R3U73
US Federal Funds Effective Rate (continuous series)
FEDL01
Y
2021-11-25
312.71000000
USD
0.00000000
USD
98600000.00000000
USD
1449165.46000000
N
N
N
Ocwen Master Advance Receivabl
549300THGK42AVJMPW70
Ocwen Master Advance Receivables Trust
67575NBW2
33150000.00000000
PA
USD
33274411.95000000
0.879406755262
Long
ABS-MBS
CORP
US
N
2
2052-08-15
Fixed
1.27750000
N
N
N
N
N
N
GoldenTree Loan Management US
N/A
GoldenTree Loan Management US CLO 1 Ltd.
38136FAU7
12000000.00000000
PA
USD
11958913.20000000
0.316061154423
Long
ABS-O
CORP
KY
N
2
2029-04-20
Floating
1.22200000
N
N
N
N
N
N
Residential Mortgage Loan Trus
N/A
Residential Mortgage Loan Trust
76119CAA9
5395096.81580000
PA
USD
5473414.74000000
0.144656437623
Long
ABS-MBS
CORP
US
N
2
2024-02-25
Variable
2.37600000
N
N
N
N
N
N
Goldman Sachs International
W22LROWP2IHZNBB6K528
CURRENCY CONTRACT - Rec USD / Deliver ILS
N/A
-31090850.00000000
NC
17163.06000000
0.000453601131
N/A
DFE
US
N
2
Goldman Sachs International
W22LROWP2IHZNBB6K528
31090850.00000000
ILS
9217292.70000000
USD
2022-01-31
17163.06000000
N
N
N
American Home Mortgage Investm
N/A
American Home Mortgage Investment Trust
026929AA7
8103935.40890000
PA
USD
7490689.55000000
0.197970831212
Long
ABS-MBS
CORP
US
N
2
2046-12-25
Floating
0.50810000
N
N
N
N
N
N
KRAFT HEINZ FOODS CO
5493003STKEZ2S0RNU91
Kraft Heinz Foods Co.
50077LBD7
5000000.00000000
PA
USD
5485754.35000000
0.144982560183
Long
DBT
CORP
US
N
2
2031-03-01
Fixed
4.25000000
N
N
N
N
N
N
Morgan Stanley ReRemic Trust
N/A
Morgan Stanley Re-REMIC Trust
61759HBA4
85188.96870000
PA
USD
75495.21000000
0.001995256828
Long
ABS-MBS
CORP
US
N
2
2036-06-26
Variable
1.37600000
N
N
N
N
N
N
CSAIL Commercial Mortgage Trus
549300C2HE5FJAWYZL57
CSAIL Commercial Mortgage Trust
12636MAG3
7494378.58760000
PA
USD
554156.09000000
0.014645746700
Long
ABS-MBS
CORP
US
N
2
2049-01-15
Variable
2.06050000
N
N
N
N
N
N
US FOODS INC
5493000JOOFAOUY1JZ87
US Foods, Inc.
90290MAC5
2200000.00000000
PA
USD
2329250.00000000
0.061559560775
Long
DBT
CORP
US
N
2
2025-04-15
Fixed
6.25000000
N
N
N
N
N
N
Credit Suisse Mortgage Trust
N/A
CSMC 2020-NQM1 Trust
126401AB4
9563175.00000000
PA
USD
9563083.19000000
0.252741955922
Long
ABS-MBS
CORP
US
N
2
2065-05-25
Variable
1.41400000
N
N
N
N
N
N
Guggenheim Partners Investment Management LLC
N/A
Guggenheim Strategy Fund III
N/A
1175054.71200000
NS
USD
29458621.63000000
0.778559540017
Long
EC
RF
US
N
1
N
N
N
STRATEGIC PARTNERS FUND VIII LP
N/A
Strategic Partners Fund VIII LP
N/A
4000000.00000000
PA
USD
4059777.56000000
0.107295534373
Long
ABS-O
CORP
KY
N
2
2025-03-10
Variable
3.15500000
N
N
N
N
N
N
American Money Management Corp
5493004OOK6VXHQ8DQ60
AMMC CLO XI Ltd.
00176ABE4
14300000.00000000
PA
USD
14263021.63000000
0.376956250668
Long
ABS-O
CORP
KY
N
2
2031-04-30
Fixed
1.83100000
N
N
N
N
N
N
Bank of America, N.A.
B4TYDEB6GKMZO031MB27
CURRENCY CONTRACT - Rec USD / Deliver ILS
N/A
-684200.00000000
NC
-591.18000000
-0.00001562424
N/A
DFE
US
N
2
Bank of America, N.A.
B4TYDEB6GKMZO031MB27
684200.00000000
ILS
199912.34000000
USD
2021-02-01
-591.18000000
N
N
N
Nationstar HECM Loan Trust
N/A
Nationstar HECM Loan Trust
63862UAA6
3763669.17420000
PA
USD
3773379.44000000
0.099726341511
Long
ABS-MBS
CORP
US
Y
2
2029-11-26
Variable
2.27200000
N
N
N
N
N
N
Morgan Stanley Capital Inc
N/A
Morgan Stanley Capital I Incorporated Trust
617451DR7
1319870.79710000
PA
USD
1286839.71000000
0.034009783121
Long
ABS-MBS
CORP
US
N
2
2036-01-25
Floating
0.43810000
N
N
N
N
N
N
Sapphire Aviation Finance I Li
N/A
Sapphire Aviation Finance II Ltd.
80307AAA7
7561719.43810000
PA
USD
6818427.37000000
0.180203668165
Long
ABS-O
CORP
US
N
2
2040-03-15
Fixed
3.22800000
N
N
N
N
N
N
Barclays Bank plc
G5GSEF7VJP5I7OUK5573
CURRENCY CONTRACT - Rec EUR / Deliver USD
N/A
32995625.00000000
NC
3062115.00000000
0.080928390873
N/A
DFE
US
N
2
BARCLAYS BANK PLC
G5GSEF7VJP5I7OUK5573
35907158.95000000
USD
32995625.00000000
EUR
2021-07-30
3062115.00000000
N
N
N
MARKEL CORP
549300SCNO12JLWIK605
Markel Corp.
570535AW4
7210000.00000000
PA
USD
7624575.00000000
0.201509278994
Long
DBT
CORP
US
N
2
N/A
Variable
6.00000000
N
N
N
N
N
N
SVENSKA HANDELSBANKEN AB
NHBDILHZTYCNBV5UYZ31
Svenska Handelsbanken AB
86960BAU6
13500000.00000000
PA
USD
13534153.52000000
0.357693054054
Long
DBT
CORP
SE
N
2
2021-05-24
Floating
0.72610000
N
N
N
N
N
N
Goldman Sachs International
W22LROWP2IHZNBB6K528
CURRENCY CONTRACT - Rec USD / Deliver ILS
N/A
-18190747.97000000
NC
-32745.59000000
-0.00086543056
N/A
DFE
US
N
2
Goldman Sachs International
W22LROWP2IHZNBB6K528
18190747.97000000
ILS
5298018.92000000
USD
2021-02-01
-32745.59000000
N
N
N
Countrywide Asset-Backed Certi
N/A
Countrywide Asset-Backed Certificates
126670YH5
1176435.36490000
PA
USD
1166332.14000000
0.030824898253
Long
ABS-MBS
CORP
US
N
2
2036-08-25
Floating
0.43810000
N
N
N
N
N
N
TRINITY ACQUISITION PLC
549300FJZWZN6MJNGB63
Trinity Acquisition plc
89641UAC5
881000.00000000
PA
USD
1017348.92000000
0.026887432723
Long
DBT
CORP
GB
N
2
2026-03-15
Fixed
4.40000000
N
N
N
N
N
N
Fanniemae-Aces
N/A
Fannie Mae-Aces
3136B9J32
8994979.71000000
PA
USD
1290586.20000000
0.034108798804
Long
ABS-MBS
USGSE
US
N
2
2035-03-25
Variable
1.60500000
N
N
N
N
N
N
MCCORMICK & CO
549300JQQA6MQ4OJP259
McCormick & Company, Inc.
579780AQ0
7000000.00000000
PA
USD
7486997.63000000
0.197873257755
Long
DBT
CORP
US
N
2
2030-04-15
Fixed
2.50000000
N
N
N
N
N
N
Goldman Sachs International
W22LROWP2IHZNBB6K528
CURRENCY CONTRACT - Rec USD / Deliver ILS
N/A
-4494300.00000000
NC
1612.54000000
0.000042617689
N/A
DFE
US
N
2
Goldman Sachs International
W22LROWP2IHZNBB6K528
4494300.00000000
ILS
1331526.09000000
USD
2022-01-31
1612.54000000
N
N
N
AMERIPRISE FINANCIAL INC
6ZLKQF7QB6JAEKQS5388
Ameriprise Financial, Inc.
03076CAK2
2060000.00000000
PA
USD
2253265.49000000
0.059551372276
Long
DBT
CORP
US
N
2
2025-04-02
Fixed
3.00000000
N
N
N
N
N
N
CITIBANK NA
E57ODZWZ7FF32TWEFA76
Citibank North America
17325FAR9
16390000.00000000
PA
USD
16452257.09000000
0.434815378435
Long
DBT
CORP
US
N
2
2021-07-23
Floating
0.82550000
N
N
N
N
N
N
QUEBEC T-BILL
549300WN65YFEQH74Y36
Quebec T-Bill
0985ZUXQ5
7071000.00000000
PA
5310725.89000000
0.140356747101
Long
DBT
NUSS
CA
N
2
2020-10-23
None
0.00000000
N
N
N
N
N
N
HPS Loan Management
254900T7F3OF5X12CP14
HPS Loan Management Ltd.
40437WAA6
2285714.66670000
PA
USD
2277717.64000000
0.060197616180
Long
ABS-O
CORP
KY
N
2
2030-07-25
Floating
0.84450000
N
N
N
N
N
N
Citibank N.A., New York
E57ODZWZ7FF32TWEFA76
CURRENCY CONTRACT - Rec BRL / Deliver USD
N/A
60207000.00000000
NC
-1023295.28000000
-0.02704458859
N/A
DFE
US
N
2
Citibank N.A., New York
E57ODZWZ7FF32TWEFA76
11650637.61000000
USD
60207000.00000000
BRL
2021-07-01
-1023295.28000000
N
N
N
METLIFE INC
C4BXATY60WC6XEOZDX54
MetLife, Inc.
59156RCA4
4620000.00000000
PA
USD
4609605.00000000
0.121826879530
Long
DBT
CORP
US
N
2
N/A
Variable
3.85000000
N
N
N
N
N
N
T-MOBILE USA INC
549300V2JRLO5DIFGE82
T-Mobile USA, Inc.
87264ABE4
540000.00000000
PA
USD
612694.80000000
0.016192861555
Long
DBT
CORP
US
N
2
2030-04-15
Fixed
3.87500000
N
N
N
N
N
N
Citigroup Mortgage Loan Trust
N/A
Citigroup Mortgage Loan Trust
17312BAE2
2127392.88840000
PA
USD
2111339.37000000
0.055800418273
Long
ABS-MBS
CORP
US
N
2
2037-03-25
Floating
0.54810000
N
N
N
N
N
N
VB-S1 Issuer LLC
N/A
VB-S1 Issuer LLC
91823AAN1
29000000.00000000
PA
USD
30226146.10000000
0.798844382459
Long
ABS-O
CORP
US
N
2
2050-06-15
Fixed
3.03100000
N
N
N
N
N
N
Chesterfield Financial Holding
N/A
Chesterfield Financial Holdings LLC
166430AA6
357750.00000000
PA
USD
367627.48000000
0.009715997079
Long
ABS-O
CORP
US
N
2
2034-12-15
Fixed
4.50000000
N
N
N
N
N
N
JPMorgan Chase Bank, N.A.
7H6GLXDRUGQFU57RNE97
CURRENCY CONTRACT - Rec USD / Deliver CAD
N/A
-23240000.00000000
NC
367116.61000000
0.009702495337
N/A
DFE
US
N
2
JPMorgan Chase Bank, N.A.
7H6GLXDRUGQFU57RNE97
23240000.00000000
CAD
17834189.61000000
USD
2021-01-27
367116.61000000
N
N
N
Halcyon Loan Advisors Funding
549300PJT7LMFYT62C07
Halcyon Loan Advisors Funding Ltd.
40536AAE6
196374.78950000
PA
USD
196110.43000000
0.005182986770
Long
ABS-O
CORP
KY
N
2
2023-08-15
Floating
3.28000000
N
N
N
N
N
N
Flagship CLO
N/A
Flagship CLO VIII Ltd.
338422AQ1
7775856.89270000
PA
USD
7745257.34000000
0.204698782844
Long
ABS-O
CORP
KY
N
2
2026-01-16
Floating
1.12090000
N
N
N
N
N
N
TCP Waterman CLO LLC
N/A
TCP Waterman CLO Ltd.
87233GAA8
4000000.00000000
PA
USD
3999981.60000000
0.105715191759
Long
ABS-O
CORP
US
N
2
2028-12-15
Floating
2.30000000
N
N
N
N
N
N
ALCON FINANCE CORP
549300CUZUI9VU7XNK42
Alcon Finance Corp.
01400EAD5
5910000.00000000
PA
USD
6256197.87000000
0.165344549962
Long
DBT
CORP
US
N
2
2030-05-27
Fixed
2.60000000
N
N
N
N
N
N
Barclays Bank plc
G5GSEF7VJP5I7OUK5573
CURRENCY CONTRACT - Rec USD / Deliver JPY
N/A
-10535000000.00000000
NC
224267.46000000
0.005927146649
N/A
DFE
US
N
2
BARCLAYS BANK PLC
G5GSEF7VJP5I7OUK5573
10535000000.00000000
JPY
100108993.90000000
USD
2020-10-13
224267.46000000
N
N
N
Goldman Sachs International
W22LROWP2IHZNBB6K528
CURRENCY CONTRACT - Rec USD / Deliver ILS
N/A
-1625291.13000000
NC
-1612.36000000
-0.00004261293
N/A
DFE
US
N
2
Goldman Sachs International
W22LROWP2IHZNBB6K528
1625291.13000000
ILS
474676.15000000
USD
2021-02-01
-1612.36000000
N
N
N
MEXICO (UNITED MEXICAN STATES) (GOVERNMENT)
N/A
United Mexican States
N/A
1586200000.00000000
PA
71370943.71000000
1.886256926865
Long
DBT
NUSS
MX
N
2
2020-11-05
None
0.00000000
N
N
N
N
N
N
Soundview Home Equity Loan Tru
N/A
Soundview Home Loan Trust
83611MKY3
4714751.43790000
PA
USD
4671317.73000000
0.123457880304
Long
ABS-MBS
CORP
US
N
2
2036-02-25
Floating
0.44810000
N
N
N
N
N
N
JPMDB Commercial Mortgage Secu
N/A
JPMDB Commercial Mortgage Securities Trust
46646RAL7
38848721.13160000
PA
USD
1563917.43000000
0.041332647882
Long
ABS-MBS
CORP
US
N
2
2049-12-15
Variable
0.92900000
N
N
N
N
N
N
Fortress Credit Opportunities
254900FRBH7KBHJT7O18
Fortress Credit Opportunities XI CLO Ltd.
34961WAC9
13450000.00000000
PA
USD
13083062.48000000
0.345771205265
Long
ABS-O
CORP
KY
N
2
2031-04-15
Floating
1.57500000
N
N
N
N
N
N
SUMITOMO MITSUI FINL GRP
35380028MYWPB6AUO129
Sumitomo Mitsui Financial Group, Inc.
86562MAD2
1000000.00000000
PA
USD
1006859.30000000
0.026610203400
Long
DBT
CORP
JP
N
2
2021-03-09
Floating
1.92180000
N
N
N
N
N
N
BofA Securities, Inc.
549300HN4UKV1E2R3U73
CDX.NA.HY.35.V1
N/A
3110000.00000000
OU
Notional Amount
USD
130153.50000000
0.003439816375
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
133179.80000000
USD
0.00000000
USD
3110000.00000000
USD
-3026.30000000
N
N
N
CLI Funding LLC
549300NQLBWJD5AREU05
CLI Funding VI LLC
12563LAN7
2000000.00000000
PA
USD
1993128.00000000
0.052676219490
Long
ABS-O
CORP
US
N
2
2045-09-18
Fixed
2.08000000
N
N
N
N
N
N
Owl Rock CLO Ltd
N/A
Owl Rock CLO IV Ltd.
691200AA7
14250000.00000000
PA
USD
14232308.63000000
0.376144539263
Long
ABS-O
CORP
US
N
2
2029-05-20
Floating
3.17000000
N
N
N
N
N
N
Mountain View CLO Ltd
549300XBX1AOMDRAHZ12
Mountain View CLO Ltd.
62431XAU0
9784803.55460000
PA
USD
9723660.27000000
0.256985834645
Long
ABS-O
CORP
KY
N
2
2026-10-15
Floating
1.07500000
N
N
N
N
N
N
Argent Securities Inc.
N/A
Argent Securities Incorporated Asset-Backed Pass-Through Certificates Series
040104ND9
7249999.99920000
PA
USD
7157620.50000000
0.189168176097
Long
ABS-MBS
CORP
US
N
2
2035-10-25
Floating
0.63800000
N
N
N
N
N
N
CVS HEALTH CORP
549300EJG376EN5NQE29
CVS Health Corp.
126650DD9
9200000.00000000
PA
USD
9223000.00000000
0.243753924666
Long
DBT
CORP
US
N
2
2021-03-09
Floating
0.96180000
N
N
N
N
N
N
FHLMC Multifamily Structured P
N/A
Freddie Mac Multifamily Structured Pass Through Certificates
3137F4D58
14000000.00000000
PA
USD
16437268.40000000
0.434419243554
Long
ABS-MBS
USGSE
US
N
2
2028-02-25
Fixed
3.60000000
N
N
N
N
N
N
Treman Park CLO Ltd
549300E4DX3Q8L455K94
Treman Park CLO Ltd.
89473MAD4
1000000.00000000
PA
USD
719258.10000000
0.019009214433
Long
ABS-O
CORP
KY
N
2
2028-10-20
None
0.00000000
N
N
N
N
N
N
The Bancorp Commercial Mortgag
5493009R0KRDEB1KXF82
Bancorp Commercial Mortgage Trust
05972FAC3
1883954.18440000
PA
USD
1857638.17000000
0.049095369678
Long
ABS-MBS
CORP
US
N
2
2033-01-15
Floating
1.40200000
N
N
N
N
N
N
ENERSYS
7ZS3DE5PN30BYUJFWP05
EnerSys
29275YAB8
125000.00000000
PA
USD
129062.50000000
0.003410982424
Long
DBT
CORP
US
N
2
2023-04-30
Fixed
5.00000000
N
N
N
N
N
N
Legacy Mortgage Asset Trust
N/A
Legacy Mortgage Asset Trust
52474LAA9
4307111.52580000
PA
USD
4340495.95000000
0.114714618108
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
2586279.34710000
PA
USD
2730150.45000000
0.072154926500
Long
ABS-MBS
CORP
US
N
2
2059-09-25
Variable
3.50000000
N
N
N
N
N
N
Starwood Mortgage Residential
N/A
Starwood Mortgage Residential Trust
85573AAA3
8636478.57610000
PA
USD
8794539.95000000
0.232430188490
Long
ABS-MBS
CORP
US
N
2
2050-02-25
Variable
2.27500000
N
N
N
N
N
N
BRAVO Residential Funding Trus
N/A
BRAVO Residential Funding Trust
10568HAA3
7720312.63080000
PA
USD
7878409.19000000
0.208217842371
Long
ABS-MBS
CORP
US
N
2
2059-07-25
Variable
2.66600000
N
N
N
N
N
N
KREF FUNDING V LLC
N/A
KREF Funding V LLC
N/A
27272727.00000000
PA
USD
32372.73000000
0.000855576275
Long
ABS-MBS
CORP
US
N
3
2026-06-25
Fixed
0.15000000
N
N
N
N
N
N
Morgan Stanley Capital I Trust
N/A
Morgan Stanley Capital I Trust
61764JAA4
18800000.00000000
PA
USD
19111220.84000000
0.505088917372
Long
ABS-MBS
CORP
US
N
2
2033-08-11
Fixed
3.46900000
N
N
N
N
N
N
LoanCore 2018-CRE1 Issuer, Ltd
N/A
LoanCore Issuer Ltd.
53946MAA5
11936726.16880000
PA
USD
11877360.05000000
0.313905792786
Long
ABS-O
CORP
KY
N
2
2028-05-15
Floating
1.28200000
N
N
N
N
N
N
INFOR INC
549300Q3IIYBYI4RHD64
Infor, Inc.
45674CAB9
1100000.00000000
PA
USD
1115123.93000000
0.029471520592
Long
DBT
CORP
US
N
2
2023-07-15
Fixed
1.45000000
N
N
N
N
N
N
LOWE'S COS INC
WAFCR4OKGSC504WU3E95
Lowe's Companies, Inc.
548661DU8
5400000.00000000
PA
USD
6699010.82000000
0.177047617777
Long
DBT
CORP
US
N
2
2030-04-15
Fixed
4.50000000
N
N
N
N
N
N
Goldman Sachs International
W22LROWP2IHZNBB6K528
CURRENCY CONTRACT - Rec ILS / Deliver USD
N/A
55355850.00000000
NC
1020855.24000000
0.026980100972
N/A
DFE
US
N
2
Goldman Sachs International
W22LROWP2IHZNBB6K528
15359558.82000000
USD
55355850.00000000
ILS
2022-01-31
1020855.24000000
N
N
N
Goldman Sachs International
W22LROWP2IHZNBB6K528
CURRENCY CONTRACT - Rec USD / Deliver ILS
N/A
-25189400.00000000
NC
-36716.50000000
-0.00097037742
N/A
DFE
US
N
2
Goldman Sachs International
W22LROWP2IHZNBB6K528
25189400.00000000
ILS
7362523.02000000
USD
2021-04-30
-36716.50000000
N
N
N
AMERICAN INTL GROUP
ODVCVCQG2BP6VHV36M30
American International Group, Inc.
026874DQ7
26630000.00000000
PA
USD
28438709.60000000
0.751604367066
Long
DBT
CORP
US
N
2
2025-06-30
Fixed
2.50000000
N
N
N
N
N
N
MARATHON PETROLEUM CORP
3BNYRYQHD39K4LCKQF12
Marathon Petroleum Corp.
56585AAL6
9800000.00000000
PA
USD
9830505.54000000
0.259809639686
Long
DBT
CORP
US
N
2
2020-12-15
Fixed
3.40000000
N
N
N
N
N
N
FIRSTKEY REVOLVING TRUST FKRT_20-C2
N/A
FKRT
N/A
27773787.11320000
PA
USD
28023751.20000000
0.740637464912
Long
ABS-MBS
CORP
US
Y
3
2023-07-03
Fixed
5.47000000
N
N
N
N
N
N
BIOGEN INC
W8J5WZB5IY3K0NDQT671
Biogen, Inc.
09062XAH6
11560000.00000000
PA
USD
11838341.68000000
0.312874579425
Long
DBT
CORP
US
N
2
2030-05-01
Fixed
2.25000000
N
N
N
N
N
N
Wells Fargo Commercial Mortgag
549300XO83D3BDYP0P62
Wells Fargo Commercial Mortgage Trust
94989TBC7
21797607.25680000
PA
USD
685650.28000000
0.018120996064
Long
ABS-MBS
CORP
US
N
2
2058-09-15
Variable
0.92330000
N
N
N
N
N
N
Goldman Sachs International
W22LROWP2IHZNBB6K528
CURRENCY CONTRACT - Rec ILS / Deliver USD
N/A
2893757.23000000
NC
47856.04000000
0.001264783429
N/A
DFE
US
N
2
Goldman Sachs International
W22LROWP2IHZNBB6K528
800154.08000000
USD
2893757.23000000
ILS
2021-02-01
47856.04000000
N
N
N
Halcyon Loan Advisors Funding
549300Q8TB5ELPAK8181
Halcyon Loan Advisors Funding Ltd.
40538MAJ7
14538385.78650000
PA
USD
14448439.70000000
0.381856649917
Long
ABS-O
CORP
KY
N
2
2027-10-18
Floating
1.17200000
N
N
N
N
N
N
Morgan Stanley Capital Services LLC
I7331LVCZKQKX5T7XV54
CURRENCY CONTRACT - Rec USD / Deliver JPY
N/A
-5210000000.00000000
NC
-38491.36000000
-0.00101728505
N/A
DFE
US
N
2
Morgan Stanley Capital Services LLC
I7331LVCZKQKX5T7XV54
5210000000.00000000
JPY
49362129.49000000
USD
2020-10-19
-38491.36000000
N
N
N
Countrywide Alternative Loan T
549300TXT201GGLA0F48
Alternative Loan Trust
02151DAC8
3104389.61340000
PA
USD
2842024.61000000
0.075111639671
Long
ABS-MBS
CORP
US
N
2
2047-09-25
Floating
0.43810000
N
N
N
N
N
N
Anchorage Credit Funding Ltd.
549300VR9XUOV1E0U888
Anchorage Credit Funding Ltd.
03329TAA2
11650000.00000000
PA
USD
11290605.66000000
0.298398508239
Long
ABS-O
CORP
KY
N
2
2035-02-15
Fixed
3.50000000
N
N
N
N
N
N
CHENIERE CORP CHRISTI HD
549300I7CIEWU1BBLQ53
Cheniere Corpus Christi Holdings LLC
16412XAD7
550000.00000000
PA
USD
633247.04000000
0.016736035051
Long
DBT
CORP
US
N
2
2024-06-30
Fixed
7.00000000
N
N
N
N
N
N
SBA TOWER TRUST
N/A
SBA Tower Trust
78403DAR1
24000000.00000000
PA
USD
24372261.60000000
0.644132540171
Long
ABS-O
CORP
US
N
2
2028-01-15
Fixed
2.32800000
N
N
N
N
N
N
AESF VI VERDI
N/A
Aesf Vi Verdi LP
N/A
5000000.00000000
PA
5828897.02000000
0.154051450190
Long
ABS-O
CORP
US
N
3
2024-11-25
Variable
2.15000000
N
N
N
N
N
N
GE-WMC Mortgage Securities LLC
N/A
GE-WMC Asset-Backed Pass-Through Certificates Series
367910AU0
693483.83330000
PA
USD
684379.15000000
0.018087401471
Long
ABS-MBS
CORP
US
N
2
2035-12-25
Floating
0.64810000
N
N
N
N
N
N
2020-10-30
Guggenheim Funds Trust
John Sullivan
John Sullivan
CFO