0001752724-21-116297.txt : 20210527
0001752724-21-116297.hdr.sgml : 20210527
20210527153522
ACCESSION NUMBER: 0001752724-21-116297
CONFORMED SUBMISSION TYPE: NPORT-P
PUBLIC DOCUMENT COUNT: 1
CONFORMED PERIOD OF REPORT: 20210331
FILED AS OF DATE: 20210527
PERIOD START: 20210930
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: 21972330
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
S000063493
Guggenheim Ultra Short Duration Fund
C000205703
Class A
C000205704
Institutional
NPORT-P
1
primary_doc.xml
NPORT-P
false
0000088525
XXXXXXXX
S000063493
C000205703
C000205704
Guggenheim Funds Trust
811-01136
0000088525
54930033G24U3UGWK691
702 King Farm Blvd., Suite 200
Rockville
20850
301-296-5100
Guggenheim Ultra Short Duration Fund
S000063493
549300CH4K7JJYWG0618
2021-09-30
2021-03-31
N
958405315.04
73995809.09
884409505.95
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
CAD
CZK
EUR
ILS
MXN
USD
N
Cerberus
N/A
Cerberus Loan Funding XXXI, LP
15674EAA0
2500000.00000000
PA
USD
2500000.00000000
0.282674483164
Long
ABS-O
CORP
KY
N
2
2032-04-15
Floating
1.68700000
N
N
N
N
N
N
Palmer Square Loan Funding Ltd
N/A
Palmer Square Loan Funding Ltd.
69689LAA4
610844.69300000
PA
USD
610896.07000000
0.069073892341
Long
ABS-O
CORP
KY
N
2
2027-08-20
Floating
1.03200000
N
N
N
N
N
N
T-MOBILE USA INC
549300V2JRLO5DIFGE82
T-Mobile USA, Inc.
87264ABU8
1600000.00000000
PA
USD
1628000.00000000
0.184077623436
Long
DBT
CORP
US
N
2
2026-04-15
Fixed
2.62500000
N
N
N
N
N
N
Cerberus
N/A
Cerberus Loan Funding XXXII, LP
15674LAA4
2500000.00000000
PA
USD
2499500.00000000
0.282617948267
Long
ABS-O
CORP
KY
N
2
2033-04-22
None
0.00000000
N
N
N
N
N
N
Goldman Sachs International
W22LROWP2IHZNBB6K528
CURRENCY CONTRACT - Rec USD / Deliver BRL
N/A
-45510000.00000000
NC
360037.61000000
0.040709378130
N/A
DFE
US
N
2
Goldman Sachs International
W22LROWP2IHZNBB6K528
45510000.00000000
BRL
8451567.37000000
USD
2021-04-01
360037.61000000
N
N
N
Station Place Securitization T
N/A
Station Place Securitization Trust Series
857718AA8
6700000.00000000
PA
USD
6700000.00000000
0.757567614880
Long
ABS-O
CORP
US
N
3
2021-12-22
Floating
1.10700000
N
N
N
N
N
N
Station Place Securitization T
N/A
Station Place Securitization Trust 2021-SP1
857752AA7
1200000.00000000
PA
USD
1200000.00000000
0.135683751918
Long
ABS-O
CORP
US
N
3
2022-08-17
Floating
1.85700000
N
N
N
N
N
N
Banc of America Funding Corpor
N/A
Banc of America Funding Trust
05990TAG2
1151288.59700000
PA
USD
1123319.77000000
0.127013534165
Long
ABS-MBS
CORP
US
N
2
2037-04-29
Floating
0.36900000
N
N
N
N
N
N
AMERICAN EXPRESS CO
R4PP93JZOLY261QX3811
American Express Co.
025816BV0
2150000.00000000
PA
USD
2150420.88000000
0.243147644335
Long
DBT
CORP
US
N
2
2021-05-17
Floating
0.71700000
N
N
N
N
N
N
Anchorage Credit Funding Ltd.
5493003NNQWXMTSTMF21
Anchorage Credit Funding 3 Ltd.
03330EAJ3
1750000.00000000
PA
USD
1739856.48000000
0.196725212505
Long
ABS-O
CORP
KY
N
2
2039-01-28
Fixed
2.87100000
N
N
N
N
N
N
Oak Street Investment Grade Ne
N/A
Oak Street Investment Grade Net Lease Fund Series
67181DAA9
6710762.19080000
PA
USD
6736083.24000000
0.761647539367
Long
ABS-O
CORP
US
N
2
2050-11-20
Fixed
1.85000000
N
N
N
N
N
N
BRAVO Residential Funding Trus
N/A
BRAVO Residential Funding Trust 2021-HE1
10569QAB0
2250000.00000000
PA
USD
2246942.34000000
0.254061305863
Long
ABS-MBS
CORP
US
N
2
2070-01-25
Floating
0.86700000
N
N
N
N
N
N
New Residential Advance Receiv
549300RNWDDBV4LFKJ17
NRZ Advance Receivables Trust
62942QCW1
4150000.00000000
PA
USD
4158406.66000000
0.470190181360
Long
ABS-MBS
CORP
US
N
2
2053-09-15
Fixed
1.47500000
N
N
N
N
N
N
TICP CLO Ltd
N/A
TICP CLO VII Ltd.
87248TAG0
2812500.00000000
PA
USD
2807236.69000000
0.317413672186
Long
ABS-O
CORP
KY
N
2
2033-04-15
Floating
0.79100000
N
N
N
N
N
N
SIEMENS FINANCIERINGSMAT
TAFO772JB70PDRN5VS48
Siemens Financieringsmaatschappij N.V.
82620KAX1
7300000.00000000
PA
USD
7295199.30000000
0.824866676683
Long
DBT
CORP
NL
N
2
2024-03-11
Fixed
0.65000000
N
N
N
N
N
N
Barclays Bank plc
G5GSEF7VJP5I7OUK5573
CURRENCY CONTRACT - Rec USD / Deliver CAD
N/A
-25000000.00000000
NC
-298119.41000000
-0.03370830005
N/A
DFE
US
N
2
BARCLAYS BANK PLC
G5GSEF7VJP5I7OUK5573
25000000.00000000
CAD
19600462.60000000
USD
2021-04-21
-298119.41000000
N
N
N
IHS MARKIT LTD
549300HLPTRASHS0E726
IHS Markit Ltd.
44962LAG2
5791000.00000000
PA
USD
6205693.51000000
0.701676482246
Long
DBT
CORP
BM
N
2
2023-08-01
Fixed
4.12500000
N
N
N
N
N
N
SIRIUS XM RADIO INC
WP5O65E6BMU84LNO4227
Sirius XM Radio, Inc.
82967NAY4
600000.00000000
PA
USD
602250.00000000
0.068096282994
Long
DBT
CORP
US
N
2
2022-08-01
Fixed
3.87500000
N
N
N
N
N
N
Station Place Securitization T
N/A
Station Place Securitization Trust Series 2021-3
857750AA1
4000000.00000000
PA
USD
4000000.00000000
0.452279173062
Long
ABS-O
CORP
US
N
3
2022-02-16
Floating
1.00700000
N
N
N
N
N
N
MITSUBISHI UFJ FIN GRP
353800V2V8PUY9TK3E06
Mitsubishi UFJ Financial Group, Inc.
606822AF1
339000.00000000
PA
USD
340429.58000000
0.038492302232
Long
DBT
CORP
JP
N
2
2021-09-13
Floating
1.24400000
N
N
N
N
N
N
VERIZON COMMUNICATIONS
2S72QS2UO2OESLG6Y829
Verizon Communications, Inc.
92343VGF5
4400000.00000000
PA
USD
4404486.15000000
0.498014338422
Long
DBT
CORP
US
N
2
2024-03-22
Fixed
0.75000000
N
N
N
N
N
N
PACTIV EVERGREEN INC
5493002QNV81KCX40V06
Reynolds Group Holdings, Inc.
N/A
2200000.00000000
PA
USD
2189352.00000000
0.247549578025
Long
LON
CORP
US
N
2
2023-02-06
Variable
2.86000000
N
N
N
N
N
N
Bluemountain CLO Ltd
N/A
BlueMountain CLO XXV Ltd.
09627FAL4
875000.00000000
PA
USD
873821.38000000
0.098802802787
Long
ABS-O
CORP
KY
N
2
2032-07-15
Floating
0.89100000
N
N
N
N
N
N
PUERTO RICO HIGHWAY & TRANSPRT
549300J6QBXVWJXB7Y41
Puerto Rico Highway & Transportation Authority Revenue Bonds
745181P27
10000.00000000
PA
USD
10516.77000000
0.001189129009
Long
DBT
MUN
PR
N
2
2022-07-01
Fixed
5.25000000
N
N
N
N
N
N
HOCKEY PARENT HOLDINGS LP
549300JQT6ATTUNS5E06
HUB International Ltd.
N/A
447698.20490000
PA
USD
441085.70000000
0.049873468911
Long
LON
CORP
US
N
2
2025-04-25
Variable
3.22000000
N
N
N
N
N
N
ALTRIA GROUP INC
XSGZFLO9YTNO9VCQV219
Altria Group, Inc.
02209SAL7
1154000.00000000
PA
USD
1158203.03000000
0.130957777161
Long
DBT
CORP
US
N
2
2021-05-05
Fixed
4.75000000
N
N
N
N
N
N
BERRY GLOBAL GROUP INC
549300AP2Q7ERHX6RI89
Berry Global, Inc.
N/A
4400000.00000000
PA
USD
4360796.00000000
0.493074302193
Long
LON
CORP
US
N
2
2026-07-01
Variable
1.90000000
N
N
N
N
N
N
iShares Core U.S. Aggregate Bo
549300F7VSXTKBGHJE47
iShares Core U.S. Aggregate Bond ETF
464287226
243050.00000000
NS
USD
27666381.50000000
3.128232036615
Long
EC
RF
US
N
1
N
N
N
BNP Paribas
R0MUWSFPU8MPRO8K5P83
iShares Core U.S. Aggregate Bond ETF
N/A
-97450.00000000
NC
USD
351794.50000000
0.039777331387
N/A
DIR
FR
N
2
BNP Paribas
R0MUWSFPU8MPRO8K5P83
iShares Core U.S. Aggregate Bond ETF
AGG
Y
iShares Core U.S. Aggregate Bond ETF-Tenor Quarterly
2021-04-30
0.00000000
USD
0.00000000
USD
-11092733.50000000
USD
351794.50000000
N
N
N
MDP HC HOLDINGS LLC
N/A
Option Care Health, Inc.
N/A
2244318.19000000
PA
USD
2234510.52000000
0.252655642546
Long
LON
CORP
US
N
2
2026-08-06
Variable
3.86000000
N
N
N
N
N
N
MCKINLEYVILLE CA UNION SCH DIS
N/A
McKinleyville Union School District General Obligation Unlimited
581725CJ5
210000.00000000
PA
USD
19569.17000000
0.002212682006
Long
DBT
MUN
US
N
2
2021-08-01
None
0.00000000
N
N
N
N
N
N
GENERAL MILLS INC
2TGYMUGI08PO8X8L6150
General Mills, Inc.
370334CC6
200000.00000000
PA
USD
202896.96000000
0.022941517321
Long
DBT
CORP
US
N
2
2023-10-17
Floating
1.23300000
N
N
N
N
N
N
CNH INDUSTRIAL CAP LLC
549300PNSJ5B81UMVO28
CNH Industrial Capital LLC
12592BAK0
4230000.00000000
PA
USD
4343497.16000000
0.491118325931
Long
DBT
CORP
US
N
2
2023-07-02
Fixed
1.95000000
N
N
N
N
N
N
Barclays Bank plc
G5GSEF7VJP5I7OUK5573
CURRENCY CONTRACT - Rec ILS / Deliver USD
N/A
63276.57000000
NC
1653.26000000
0.000186933766
N/A
DFE
US
N
2
BARCLAYS BANK PLC
G5GSEF7VJP5I7OUK5573
17339.37000000
USD
63276.57000000
ILS
2021-07-30
1653.26000000
N
N
N
MICROCHIP TECHNOLOGY INC
5493007PTFULNYZJ1R12
Microchip Technology, Inc.
595017AV6
500000.00000000
PA
USD
499032.98000000
0.056425555881
Long
DBT
CORP
US
N
2
2024-02-15
Fixed
0.97200000
N
N
N
N
N
N
New Residential Advance Receiv
N/A
New Residential Advance Receivables Trust Advance Receivables Backed
62942QCR2
2000000.00000000
PA
USD
2004323.80000000
0.226628477703
Long
ABS-MBS
CORP
US
N
2
2053-08-15
Fixed
1.42600000
N
N
N
N
N
N
Citibank, N.A.
E57ODZWZ7FF32TWEFA76
CURRENCY CONTRACT - Rec BRL / Deliver USD
N/A
37000000.00000000
NC
-44866.92000000
-0.00507309336
N/A
DFE
US
N
2
Citibank, N.A.
E57ODZWZ7FF32TWEFA76
6623346.40000000
USD
37000000.00000000
BRL
2021-04-01
-44866.92000000
N
N
N
Goldman Sachs International
W22LROWP2IHZNBB6K528
CURRENCY CONTRACT - Rec USD / Deliver ILS
N/A
-683100.00000000
NC
-4816.52000000
-0.00054460292
N/A
DFE
US
N
2
Goldman Sachs International
W22LROWP2IHZNBB6K528
683100.00000000
ILS
199766.05000000
USD
2021-04-30
-4816.52000000
N
N
N
SAN FRANCISCO CALIF CITY &CNTY
54930055TIDYHNDP4F84
San Francisco City & County Airport Comm-San Francisco International Airport Revenue Bonds
79766DHU6
10000.00000000
PA
USD
9938.01000000
0.001123688736
Long
DBT
MUN
US
N
2
2021-05-03
Fixed
5.00000000
N
N
N
N
N
N
MASSACHUSETTS ST DEV FIN AGY R
549300UZSVMFXJK08K70
Massachusetts Development Finance Agency Revenue Bonds
57583UCJ5
10000.00000000
PA
USD
9900.00000000
0.001119390953
Long
DBT
MUN
US
N
2
2021-04-01
Fixed
5.25000000
N
N
N
N
N
N
Citibank, N.A.
E57ODZWZ7FF32TWEFA76
CURRENCY CONTRACT - Rec BRL / Deliver USD
N/A
6270000.00000000
NC
-83543.90000000
-0.00944629150
N/A
DFE
US
N
2
Citibank, N.A.
E57ODZWZ7FF32TWEFA76
1191381.01000000
USD
6270000.00000000
BRL
2021-07-01
-83543.90000000
N
N
N
ONTARIO T-BILL
C7PVKCRGLG18EBQGZV36
Ontario T-Bill
6832Z5FK1
25000000.00000000
PA
19896014.07000000
2.249638197706
Long
DBT
NUSS
CA
N
2
2021-04-21
None
0.00000000
N
N
N
N
N
N
ATMOS ENERGY CORP
QVLWEGTD2S8GJMO8D383
Atmos Energy Corp.
049560AU9
4650000.00000000
PA
USD
4651813.50000000
0.525979590755
Long
DBT
CORP
US
N
2
2023-03-09
Fixed
0.62500000
N
N
N
N
N
N
HERA Commercial Mortgage Ltd
N/A
HERA Commercial Mortgage 2021-FL1 Ltd.
42704RAC5
5000000.00000000
PA
USD
5002618.50000000
0.565645039582
Long
ABS-O
CORP
KY
N
2
2038-02-18
Floating
1.42800000
N
N
N
N
N
N
FRANCE (REPUBLIC OF)
N/A
Republic of France
N/A
14125000.00000000
PA
16563647.63000000
1.872848213250
Long
DBT
NUSS
FR
N
2
2021-04-08
None
0.00000000
N
N
N
N
N
N
INTERMOUNTAIN PWR AGY UT PWR S
N/A
Intermountain Power Agency Revenue Bonds
45884ALT8
5000.00000000
PA
USD
4996.69000000
0.000564974705
Long
DBT
MUN
US
N
2
2021-07-01
Fixed
5.00000000
N
N
N
N
N
N
CONNECTICUT ST HLTH & EDUCTNL
549300ZOQJ5U8YBS5Q35
Connecticut State Health & Educational Facilities Authority Revenue Bonds
20774YHR1
5000.00000000
PA
USD
5008.62000000
0.000566323627
Long
DBT
MUN
US
N
2
2021-07-01
Fixed
5.00000000
N
N
N
N
N
N
CIFC Funding Ltd
549300UDPJ30BQP2HX62
CIFC Funding 2015-III Ltd.
12550MAJ9
6475000.00000000
PA
USD
6469177.68000000
0.731468582876
Long
ABS-O
CORP
KY
N
2
2029-04-19
Floating
1.09300000
N
N
N
N
N
N
UBS GROUP AG
549300SZJ9VS8SGXAN81
UBS Group AG
90351DAE7
1400000.00000000
PA
USD
1400619.92000000
0.158367804798
Long
DBT
CORP
CH
N
2
2021-04-14
Floating
2.01400000
N
N
N
N
N
N
CZECH REPUBLIC
N/A
Czech Republic
N/A
200400000.00000000
PA
8963082.93000000
1.013453933918
Long
DBT
NUSS
CZ
N
2
2022-04-17
Fixed
0.10000000
N
N
N
N
N
N
CAPITAL TRUST AGY FL MF REVENU
549300F49UWS7X0OGQ59
Capital Trust Agency, Inc. Revenue Bonds
14052TDF8
10000.00000000
PA
USD
11057.32000000
0.001250248886
Long
DBT
MUN
US
N
2
2022-12-01
Fixed
4.37500000
N
N
N
N
N
N
Shackleton CLO LTD
549300VJPG28RMYCYW83
Shackleton CLO Ltd.
81882EAL6
10696753.13040000
PA
USD
10695744.43000000
1.209365611523
Long
ABS-O
CORP
KY
N
2
2027-10-20
Floating
1.14300000
N
N
N
N
N
N
LUX HOLDCO III
N/A
Invictus MD Strategies Corp.
N/A
846409.06300000
PA
USD
836429.90000000
0.094574955874
Long
LON
CORP
US
N
2
2025-03-28
Variable
3.11000000
N
N
N
N
N
N
LANCASTER CNTY PA HOSP AUTH
N/A
Lancaster County Hospital Authority Revenue Bonds
514045B69
20000.00000000
PA
USD
20380.77000000
0.002304449450
Long
DBT
MUN
US
N
2
2022-01-01
Fixed
4.12500000
N
N
N
N
N
N
ENBRIDGE INC
98TPTUM4IVMFCZBCUR27
Enbridge, Inc.
29250NBD6
4900000.00000000
PA
USD
4907449.72000000
0.554884325302
Long
DBT
CORP
CA
N
2
2023-02-17
Floating
0.42100000
N
N
N
N
N
N
Barclays Bank plc
G5GSEF7VJP5I7OUK5573
CURRENCY CONTRACT - Rec USD / Deliver ILS
N/A
-8523623.43000000
NC
3344.51000000
0.000378163054
N/A
DFE
US
N
2
BARCLAYS BANK PLC
G5GSEF7VJP5I7OUK5573
8523623.43000000
ILS
2581742.67000000
USD
2022-08-01
3344.51000000
N
N
N
MICHIGAN ST FIN AUTH REVENUE
54930022O46HOX5J1D14
Michigan Finance Authority Revenue Bonds
59447PFZ9
15000.00000000
PA
USD
15332.55000000
0.001733648258
Long
DBT
MUN
US
N
2
2021-12-01
Fixed
5.00000000
N
N
N
N
N
N
JPMorgan Chase Bank, N.A.
7H6GLXDRUGQFU57RNE97
CURRENCY CONTRACT - Rec ILS / Deliver USD
N/A
6120600.00000000
NC
108468.53000000
0.012264514262
N/A
DFE
US
N
2
JPMorgan Chase Bank, N.A.
7H6GLXDRUGQFU57RNE97
1724598.48000000
USD
6120600.00000000
ILS
2021-04-30
108468.53000000
N
N
N
Mountain View CLO Ltd
549300XBX1AOMDRAHZ12
Mountain View CLO Ltd.
62431XAU0
1071615.22680000
PA
USD
1070625.16000000
0.121055365506
Long
ABS-O
CORP
KY
N
2
2026-10-15
Floating
1.04100000
N
N
N
N
N
N
Nationstar HECM Loan Trust
N/A
Nationstar HECM Loan Trust
63862UAA6
500635.13770000
PA
USD
501548.35000000
0.056709968247
Long
ABS-MBS
CORP
US
N
2
2029-11-25
Variable
2.27200000
N
N
N
N
N
N
BERRY GLOBAL INC
549300AP2Q7ERHX6RI89
Berry Global, Inc.
08576PAC5
2150000.00000000
PA
USD
2139873.50000000
0.241955054259
Long
DBT
CORP
US
N
2
2024-02-15
Fixed
0.95000000
N
N
N
N
N
N
LSTAR Securities Investment Lt
N/A
LSTAR Securities Investment Limited 2020-1
54912MAA3
2634747.32720000
PA
USD
2641850.61000000
0.298713502311
Long
ABS-MBS
CORP
US
Y
2
2026-02-01
Floating
1.91500000
N
N
N
N
N
N
DFC HOLDINGS LLC
N/A
Dole Food Company, Inc.
N/A
397278.92000000
PA
USD
396893.56000000
0.044876672777
Long
LON
CORP
US
N
2
2024-04-05
Variable
3.75000000
N
N
N
N
N
N
STRYKER CORP
5493002F0SC4JTBU5137
Stryker Corp.
863667AF8
1600000.00000000
PA
USD
1723147.68000000
0.194835951943
Long
DBT
CORP
US
N
2
2024-05-15
Fixed
3.37500000
N
N
N
N
N
N
SPS Servicer Advance Receivabl
N/A
SPS Servicer Advance Receivables Trust II
78472JAA1
7000000.00000000
PA
USD
7026541.90000000
0.794489640005
Long
ABS-MBS
CORP
US
N
2
2052-11-15
Fixed
1.28000000
N
N
N
N
N
N
NOMAD FOODS LTD
N/A
Nomad Foods Lux S.A.R.L
N/A
300000.00000000
PA
USD
297063.00000000
0.033588851996
Long
LON
CORP
LU
N
2
2024-05-15
Variable
2.36000000
N
N
N
N
N
N
ABPCI Direct Lending Fund CLO
N/A
ABPCI Direct Lending Fund IX LLC
000806AA7
2000000.00000000
PA
USD
2001718.40000000
0.226333885664
Long
ABS-O
CORP
KY
N
2
2031-11-18
Floating
2.19000000
N
N
N
N
N
N
SYNCHRONY BANK
549300UATVPGSLE43Z27
Synchrony Bank
87166FAC7
1720000.00000000
PA
USD
1723754.31000000
0.194904543472
Long
DBT
CORP
US
N
2
2021-05-24
Fixed
3.65000000
N
N
N
N
N
N
GRAPHIC PACKAGING INTERN
SO75N4VY5NXGQSK8YQ65
Graphic Packaging International LLC
38869PAN4
6700000.00000000
PA
USD
6680177.85000000
0.755326328477
Long
DBT
CORP
US
N
2
2024-04-15
Fixed
0.82100000
N
N
N
N
N
N
Argent Securities Inc.
N/A
Argent Securities Incorporated Asset-Backed Pass-Through Certificates Series
040104ND9
1498311.97870000
PA
USD
1496423.21000000
0.169200262992
Long
ABS-MBS
CORP
US
N
2
2035-10-25
Floating
0.84400000
N
N
N
N
N
N
Dryden Senior Loan Fund
5493003BMKJ887403407
Dryden 33 Senior Loan Fund
26249GAS9
8000000.00000000
PA
USD
7991587.20000000
0.903607112568
Long
ABS-O
CORP
KY
N
2
2029-04-15
Floating
1.24100000
N
N
N
N
N
N
Station Place Securitization T
N/A
Station Place Securitization Trust
85771BAA1
8100000.00000000
PA
USD
8100000.00000000
0.915865325452
Long
ABS-O
CORP
US
Y
3
2022-05-24
Floating
0.91800000
N
N
N
N
N
N
CSC HOLDINGS LLC
3HG2WD2W22M120IUNG49
CSC Holdings LLC
126307AU1
200000.00000000
PA
USD
206200.00000000
0.023314991371
Long
DBT
CORP
US
N
2
2026-05-15
Fixed
5.50000000
N
N
N
N
N
N
CIT Mortgage Loan Trust
N/A
CIT Mortgage Loan Trust
12559QAA0
1618825.88120000
PA
USD
1627260.13000000
0.183993966488
Long
ABS-MBS
CORP
US
N
2
2037-10-25
Floating
1.45900000
N
N
N
N
N
N
N TX TOLLWAY AUTH REVENUE
PQGZGRE0F2WPMYQQ1B78
North Texas Tollway Authority Revenue Bonds
66285WGZ3
25000.00000000
PA
USD
25492.40000000
0.002882420397
Long
DBT
MUN
US
N
2
2021-09-01
Fixed
5.00000000
N
N
N
N
N
N
Citigroup Mortgage Loan Trust
N/A
Citigroup Mortgage Loan Trust
17312BAE2
667772.75510000
PA
USD
664940.33000000
0.075184665647
Long
ABS-MBS
CORP
US
N
2
2037-03-25
Floating
0.50900000
N
N
N
N
N
N
CVS HEALTH CORP
549300EJG376EN5NQE29
CVS Health Corp.
126650CC2
1600000.00000000
PA
USD
1728772.54000000
0.195471953701
Long
DBT
CORP
US
N
2
2023-12-05
Fixed
4.00000000
N
N
N
N
N
N
MARKEL CORP
549300SCNO12JLWIK605
Markel Corp.
570535AM6
450000.00000000
PA
USD
476713.05000000
0.053901846010
Long
DBT
CORP
US
N
2
2023-03-30
Fixed
3.62500000
N
N
N
N
N
N
NEW JERSEY ST TRANSPRTN TRUST
549300YUVD5TEXR6L889
New Jersey Transportation Trust Fund Authority Revenue Bonds
646136E31
20000.00000000
PA
USD
19988.87000000
0.002260137398
Long
DBT
MUN
US
N
2
2021-06-15
Fixed
5.00000000
N
N
N
N
N
N
NTT FINANCE CORP
3538007PR116187GD960
NTT Finance Corp.
62954WAB1
8950000.00000000
PA
USD
8915957.06000000
1.008125421540
Long
DBT
CORP
JP
N
2
2024-03-01
Fixed
0.58300000
N
N
N
N
N
N
BSPRT 2018-FL3 Issuer, Ltd
N/A
BSPRT Issuer Ltd.
05585JAA8
217306.02000000
PA
USD
217305.98000000
0.024570742234
Long
ABS-O
CORP
KY
N
2
2028-03-15
Floating
1.15600000
N
N
N
N
N
N
Goldman Sachs International
W22LROWP2IHZNBB6K528
CURRENCY CONTRACT - Rec USD / Deliver ILS
N/A
-316500.00000000
NC
-2477.17000000
-0.00028009309
N/A
DFE
US
N
2
Goldman Sachs International
W22LROWP2IHZNBB6K528
316500.00000000
ILS
92924.25000000
USD
2022-01-31
-2477.17000000
N
N
N
UBS AG
BFM8T61CT2L1QCEMIK50
CURRENCY CONTRACT - Rec USD / Deliver ILS
N/A
-23149200.00000000
NC
167799.43000000
0.018973046860
N/A
DFE
US
N
2
UBS AG
BFM8T61CT2L1QCEMIK50
23149200.00000000
ILS
7100785.56000000
USD
2021-04-30
167799.43000000
N
N
N
DCAL AVIATION FINANCE LIMITED
N/A
AIM Aviation Finance Ltd.
001406AA5
896096.04000000
PA
USD
710610.61000000
0.080348594765
Long
ABS-O
CORP
KY
N
2
2040-02-15
Variable
4.21300000
N
N
N
N
N
N
CAMBRIDGE INFORMATION GROUP INC
549300HEWVTWR2ZQ4F35
ProQuest, LLC
N/A
1300000.00000000
PA
USD
1290900.00000000
0.145961796126
Long
LON
CORP
US
N
2
2026-10-23
Variable
3.36000000
N
N
N
N
N
N
OHIO ST HGR EDUCTNL FAC COMMIS
5493007MQT6NGNN6BR81
Ohio Higher Educational Facility Commission Revenue Bonds
67756A4D1
5000.00000000
PA
USD
5131.29000000
0.000580193899
Long
DBT
MUN
US
N
2
2022-01-01
Fixed
5.00000000
N
N
N
N
N
N
Goldman Sachs International
W22LROWP2IHZNBB6K528
CURRENCY CONTRACT - Rec USD / Deliver BRL
N/A
-29700000.00000000
NC
293238.00000000
0.033156360037
N/A
DFE
US
N
2
Goldman Sachs International
W22LROWP2IHZNBB6K528
29700000.00000000
BRL
5573801.26000000
USD
2021-04-01
293238.00000000
N
N
N
Carlyle Global Market Strategi
549300ZZB4XZS815E007
Carlyle Global Market Strategies CLO Ltd.
14311FAN1
5589218.00000000
PA
USD
5586437.92000000
0.631657380706
Long
ABS-O
CORP
KY
N
2
2027-04-27
Floating
0.99300000
N
N
N
N
N
N
SPECTRUM BRANDS INC
549300VU3EH2E73C1Q04
Spectrum Brands, Inc.
84762LAU9
700000.00000000
PA
USD
721875.00000000
0.081622257013
Long
DBT
CORP
US
N
2
2025-07-15
Fixed
5.75000000
N
N
N
N
N
N
T-MOBILE USA INC
549300V2JRLO5DIFGE82
T-Mobile USA, Inc.
87264ABR5
600000.00000000
PA
USD
604314.00000000
0.068329659047
Long
DBT
CORP
US
N
2
2026-02-15
Fixed
2.25000000
N
N
N
N
N
N
Credit Suisse Mortgage Trust
N/A
CSMC Trust
126401AA6
3983240.03310000
PA
USD
4000054.09000000
0.452285289007
Long
ABS-MBS
CORP
US
N
2
2065-05-25
Variable
1.20800000
N
N
N
N
N
N
FAIRFIELD CA PENSN OBLG
N/A
City of Fairfield California Revenue Bonds
30421VAY5
10000.00000000
PA
USD
10027.28000000
0.001133782476
Long
DBT
MUN
US
N
2
2021-06-01
Fixed
8.37500000
N
N
N
N
N
N
INTERCONTINENTALEXCHANGE
5493000F4ZO33MV32P92
Intercontinental Exchange, Inc.
45866FAE4
1000000.00000000
PA
USD
1024625.00000000
0.115854136924
Long
DBT
CORP
US
N
2
2022-09-15
Fixed
2.35000000
N
N
N
N
N
N
OREGON ST DEPT OF ADMIN SVCS L
N/A
Oregon State Lottery Revenue Bonds
68607VR49
15000.00000000
PA
USD
14850.00000000
0.001679086429
Long
DBT
MUN
US
N
2
2021-04-01
Fixed
5.25000000
N
N
N
N
N
N
Credit Suisse Mortgage Trust
N/A
CSMC 2021-RPL1 Trust
12660KAC5
8015829.74270000
PA
USD
7996085.95000000
0.904115785301
Long
ABS-MBS
CORP
US
N
2
2060-09-27
Variable
1.66800000
N
N
N
N
N
N
ATMOS ENERGY CORP
QVLWEGTD2S8GJMO8D383
Atmos Energy Corp.
049560AV7
1000000.00000000
PA
USD
1000109.00000000
0.113082117873
Long
DBT
CORP
US
N
2
2023-03-09
Floating
0.56500000
N
N
N
N
N
N
NEXTERA ENERGY CAPITAL
UMI46YPGBLUE4VGNNT48
NextEra Energy Capital Holdings, Inc.
65339KBT6
8600000.00000000
PA
USD
8601326.89000000
0.972550253263
Long
DBT
CORP
US
N
2
2023-02-22
Floating
0.45200000
N
N
N
N
N
N
AMERISOURCEBERGEN CORP
AI8GXW8LG5WK7E9UD086
AmerisourceBergen Corp.
03073EAS4
8650000.00000000
PA
USD
8657252.51000000
0.978873751554
Long
DBT
CORP
US
N
2
2023-03-15
Fixed
0.73700000
N
N
N
N
N
N
PANTHER BF AGGREGATOR 1 LP
N/A
Power Solutions (Panther)
N/A
2159879.22000000
PA
USD
2135580.58000000
0.241469654682
Long
LON
CORP
CA
N
2
2026-04-30
Variable
3.36000000
N
N
N
N
N
N
CONNECTICUT ST HLTH & EDUCTNL
549300ZOQJ5U8YBS5Q35
Connecticut State Health & Educational Facilities Authority Revenue Bonds
20774YDN4
50000.00000000
PA
USD
50586.21000000
0.005719772306
Long
DBT
MUN
US
N
2
2021-07-01
Fixed
5.00000000
N
N
N
N
N
N
APOLLO MANAGEMENT HOLDIN
5493006XQW0V5K38YM64
Apollo Management Holdings, LP
03765HAA9
350000.00000000
PA
USD
383618.65000000
0.043375681448
Long
DBT
CORP
US
N
2
2024-05-30
Fixed
4.00000000
N
N
N
N
N
N
JPMorgan Chase Bank, N.A.
7H6GLXDRUGQFU57RNE97
CURRENCY CONTRACT - Rec USD / Deliver BRL
N/A
-9900000.00000000
NC
622893.24000000
0.070430409873
N/A
DFE
US
N
2
JPMorgan Chase Bank, N.A.
7H6GLXDRUGQFU57RNE97
9900000.00000000
BRL
2372109.74000000
USD
2021-07-01
622893.24000000
N
N
N
GS Mortgage-Backed Securities
N/A
GS Mortgage-Backed Securities Trust
36259WAA9
1174955.43710000
PA
USD
1178953.11000000
0.133303984417
Long
ABS-MBS
CORP
US
N
2
2060-09-27
Variable
1.38200000
N
N
N
N
N
N
GoldenTree Loan Management US
549300BE2068MP2P8N06
GoldenTree Loan Management US CLO 1 Ltd.
38136FAU7
2000000.00000000
PA
USD
1999963.80000000
0.226135493404
Long
ABS-O
CORP
KY
N
2
2029-04-20
Floating
1.17400000
N
N
N
N
N
N
FREDERICK CNTY MD
N/A
County of Frederick Maryland General Obligation Unlimited
3556945Q9
10000.00000000
PA
USD
10005.90000000
0.001131365044
Long
DBT
MUN
US
N
2
2021-08-01
Fixed
3.50000000
N
N
N
N
N
N
Shackleton CLO LTD
5493006EKWGOE6JAPH26
Shackleton CLO Ltd.
81881GAC2
5050281.30650000
PA
USD
5048137.97000000
0.570791916644
Long
ABS-O
CORP
KY
N
2
2028-07-17
Floating
1.24300000
N
N
N
N
N
N
Triton Container Finance LLC
N/A
Triton Container Finance VIII LLC
89680HAE2
7250000.00000000
PA
USD
7071673.20000000
0.799592626766
Long
ABS-O
CORP
US
N
2
2046-03-20
Fixed
1.86000000
N
N
N
N
N
N
CENTERPOINT ENERGY RES
2JADVB0458J06WCD4N56
CenterPoint Energy Resources Corp.
15189WAN0
9400000.00000000
PA
USD
9402669.60000000
1.063157907817
Long
DBT
CORP
US
N
2
2023-03-02
Floating
0.68400000
N
N
N
N
N
N
BNP Paribas
R0MUWSFPU8MPRO8K5P83
iShares Core S&P 500 ETF
N/A
-100000.00000000
NC
USD
-610000.00000000
-0.06897257389
N/A
DIR
FR
N
2
BNP Paribas
R0MUWSFPU8MPRO8K5P83
iShares Core S&P 500 ETF
IVV
Y
iShares Core S&P 500 ETF-Tenor Quarterly
2021-05-12
0.00000000
USD
0.00000000
USD
-39782000.00000000
USD
-610000.00000000
N
N
N
JPMorgan Chase Bank, N.A.
7H6GLXDRUGQFU57RNE97
CURRENCY CONTRACT - Rec JPY / Deliver USD
N/A
2724000000.00000000
NC
-365243.89000000
-0.04129805113
N/A
DFE
US
N
2
JPMorgan Chase Bank, N.A.
7H6GLXDRUGQFU57RNE97
24968193.97000000
USD
2724000000.00000000
JPY
2021-04-12
-365243.89000000
N
N
N
CHG HEALTHCARE SERVICES INC
N/A
CHG Healthcare Services, Inc.
N/A
448834.42000000
PA
USD
447070.50000000
0.050550169010
Long
LON
CORP
US
N
2
2023-06-07
Variable
4.00000000
N
N
N
N
N
N
Bank of America, N.A.
B4TYDEB6GKMZO031MB27
CURRENCY CONTRACT - Rec USD / Deliver ILS
N/A
-3595600.00000000
NC
-10540.46000000
-0.00119180763
N/A
DFE
US
N
2
Bank of America, N.A.
B4TYDEB6GKMZO031MB27
3595600.00000000
ILS
1066310.79000000
USD
2021-04-30
-10540.46000000
N
N
N
ACRE COMMERCIAL MORTGAGE TRUST
N/A
ACRE Commercial Mortgage 2021-FL4 Ltd.
00489TAC0
850000.00000000
PA
USD
850291.89000000
0.096142328217
Long
ABS-O
CORP
KY
N
2
2037-12-18
Floating
1.20800000
N
N
N
N
N
N
Towd Point Mortgage Trust
N/A
Towd Point Mortgage Trust
89175VAA1
1010183.63760000
PA
USD
1053234.43000000
0.119088999260
Long
ABS-MBS
CORP
US
N
2
2058-03-25
Variable
3.25000000
N
N
N
N
N
N
KKR Industrial Portfolio Trust
N/A
KKR Industrial Portfolio Trust 2021-KDIP
48254CAL9
650000.00000000
PA
USD
649221.11000000
0.073407296691
Long
ABS-MBS
CORP
US
N
2
2037-12-15
Floating
1.10600000
N
N
N
N
N
N
Station Place Securitization T
N/A
Station Place Securitization Trust Series 2021-7
85769GAA4
500000.00000000
PA
USD
500000.00000000
0.056534896632
Long
ABS-O
CORP
US
N
2
2021-09-24
Floating
1.01800000
N
N
N
N
N
N
CHCP 2021-FL1 Ltd.
N/A
CHCP 2021-FL1 Ltd.
12546JAA2
6500000.00000000
PA
USD
6501938.30000000
0.735172819407
Long
ABS-O
CORP
KY
N
2
2038-02-15
Floating
1.15600000
N
N
N
N
N
N
NEXTERA ENERGY CAPITAL
UMI46YPGBLUE4VGNNT48
NextEra Energy Capital Holdings, Inc.
65339KBV1
100000.00000000
PA
USD
100250.20000000
0.011335269388
Long
DBT
CORP
US
N
2
2023-03-01
Floating
0.55000000
N
N
N
N
N
N
JPMorgan Chase Bank, N.A.
7H6GLXDRUGQFU57RNE97
CURRENCY CONTRACT - Rec USD / Deliver EUR
N/A
-2407925.00000000
NC
-51588.50000000
-0.00583310102
N/A
DFE
US
N
2
JPMorgan Chase Bank, N.A.
7H6GLXDRUGQFU57RNE97
2407925.00000000
EUR
2779154.80000000
USD
2021-07-30
-51588.50000000
N
N
N
TEXAS ST
549300X9CH74QB747L76
State of Texas General Obligation Unlimited
882724PV3
5000.00000000
PA
USD
5025.77000000
0.000568262774
Long
DBT
MUN
US
N
2
2021-08-01
Fixed
5.00000000
N
N
N
N
N
N
CLI Funding LLC
N/A
CLI Funding VIII LLC
12565KAA5
3250000.00000000
PA
USD
3173854.45000000
0.358867066516
Long
ABS-O
CORP
US
N
2
2046-02-18
Fixed
1.64000000
N
N
N
N
N
N
BENCHMARK Mortgage Trust
N/A
BENCHMARK Mortgage Trust
08162YAK8
34828431.36900000
PA
USD
1653974.34000000
0.187014536690
Long
ABS-MBS
CORP
US
N
2
2062-12-15
Variable
0.78700000
N
N
N
N
N
N
ABPCI Direct Lending Fund CLO
N/A
ABPCI Direct Lending Fund CLO I LLC
000823AJ3
3000000.00000000
PA
USD
3000000.00000000
0.339209379797
Long
ABS-O
CORP
KY
N
2
2032-04-20
Floating
1.79300000
N
N
N
N
N
N
Towd Point Mortgage Trust
N/A
Towd Point Mortgage Trust
89175JAA8
882865.57270000
PA
USD
907807.14000000
0.102645565644
Long
ABS-MBS
CORP
US
N
2
2057-10-25
Variable
2.75000000
N
N
N
N
N
N
BOONE MCHENRY & DEKALB CNTYS I
N/A
Boone McHenry & DeKalb Counties Community Unit School District 100 General Obligation Unlimited
099032HF4
10000.00000000
PA
USD
9881.02000000
0.001117244888
Long
DBT
MUN
US
N
2
2021-12-01
None
0.00000000
N
N
N
N
N
N
GTR CLEVELAND OH REGL TRANSITO
549300QYIZY473JE0663
Greater Cleveland Regional Transit Authority Revenue Bonds
39167JCX1
20000.00000000
PA
USD
20423.16000000
0.002309242479
Long
DBT
MUN
US
N
2
2021-12-01
Fixed
5.00000000
N
N
N
N
N
N
TICP CLO Ltd
N/A
TICP CLO I Ltd.
87248BAQ7
639028.52000000
PA
USD
638999.70000000
0.072251563975
Long
ABS-O
CORP
KY
N
2
2027-07-20
Floating
1.02400000
N
N
N
N
N
N
PENSKE TRUCK LEASING/PTL
N/A
Penske Truck Leasing Company LP / PTL Finance Corp.
709599BG8
900000.00000000
PA
USD
947254.87000000
0.107105912320
Long
DBT
CORP
US
N
2
2024-11-01
Fixed
2.70000000
N
N
N
N
N
N
MOLINA HEALTHCARE INC
549300NQQCEQ46YHZ591
Molina Healthcare, Inc.
60855RAG5
2700000.00000000
PA
USD
2831058.00000000
0.320107142783
Long
DBT
CORP
US
N
2
2022-11-15
Fixed
5.37500000
N
N
N
N
N
N
CHARLOTTE NC HSG AUTH MF HSG R
N/A
Inlivian Revenue Bonds
161038BV5
5000.00000000
PA
USD
5126.00000000
0.000579595760
Long
DBT
MUN
US
N
2
2021-12-01
Fixed
6.00000000
N
N
N
N
N
N
ILLUMINA INC
SQ95QG8SR5Q56LSNF682
Illumina, Inc.
452327AL3
8800000.00000000
PA
USD
8792256.00000000
0.994138568259
Long
DBT
CORP
US
N
2
2023-03-23
Fixed
0.55000000
N
N
N
N
N
N
Wells Fargo Commercial Mortgag
5493002S7XBI8CVRR075
Wells Fargo Commercial Mortgage Trust
94989HAF7
391505.55590000
PA
USD
391372.48000000
0.044252405403
Long
ABS-MBS
CORP
US
N
2
2048-05-15
Fixed
2.63200000
N
N
N
N
N
N
MONDELEZ INTERNATIONAL INC
549300DV9GIB88LZ5P30
Mondelez International, Inc.
N/A
10000000.00000000
PA
USD
9999833.34000000
1.130679088445
Long
STIV
CORP
US
N
2
N
N
N
Goldman Sachs International
W22LROWP2IHZNBB6K528
CURRENCY CONTRACT - Rec USD / Deliver ILS
N/A
-2637500.00000000
NC
-13090.18000000
-0.00148010394
N/A
DFE
US
N
2
Goldman Sachs International
W22LROWP2IHZNBB6K528
2637500.00000000
ILS
781921.67000000
USD
2022-01-31
-13090.18000000
N
N
N
New Residential Advance Receiv
549300RNWDDBV4LFKJ17
NRZ Advance Receivables Trust
62942QDB6
2750000.00000000
PA
USD
2758341.03000000
0.311885050018
Long
ABS-MBS
CORP
US
N
2
2052-10-15
Fixed
1.31700000
N
N
N
N
N
N
VALERO ENERGY CORP
549300XTO5VR8SKV1V74
Valero Energy Corp.
91913YBA7
3000000.00000000
PA
USD
3008187.03000000
0.340135085586
Long
DBT
CORP
US
N
2
2024-03-15
Fixed
1.20000000
N
N
N
N
N
N
Crown Point CLO Ltd
549300WLF3VYVWNLRP29
Crown Point CLO III Ltd.
22845TAQ2
2970651.82960000
PA
USD
2970448.04000000
0.335867945789
Long
ABS-O
CORP
KY
N
2
2027-12-31
Floating
1.15100000
N
N
N
N
N
N
BXMT Ltd
N/A
BXMT Ltd.
12434LAA2
5000000.00000000
PA
USD
4999138.50000000
0.565251556701
Long
ABS-O
CORP
US
N
2
2037-02-16
Floating
1.00800000
N
N
N
N
N
N
RYDER SYSTEM INC
ZXJ6Y2OSPZXIVGRILD15
Ryder System, Inc.
78355HKH1
2650000.00000000
PA
USD
2824179.97000000
0.319329445353
Long
DBT
CORP
US
N
2
2023-06-09
Fixed
3.75000000
N
N
N
N
N
N
CARPENTER TECHNOLOGY
DX6I6ZD3X5WNNCDJKP85
Carpenter Technology Corp.
144285AK9
1350000.00000000
PA
USD
1398912.47000000
0.158174743779
Long
DBT
CORP
US
N
2
2023-03-01
Fixed
4.45000000
N
N
N
N
N
N
NORDEA BANK ABP
529900ODI3047E2LIV03
Nordea Bank Abp
65557CAZ6
550000.00000000
PA
USD
556250.35000000
0.062895112078
Long
DBT
CORP
FI
N
2
2023-08-30
Floating
1.13000000
N
N
N
N
N
N
BSPRT 2018-FL4 Issuer, Ltd.
N/A
BSPRT Issuer Ltd.
05586AAA6
901839.40320000
PA
USD
901839.22000000
0.101970774164
Long
ABS-O
CORP
KY
N
2
2035-09-15
Floating
1.15600000
N
N
N
N
N
N
SANTA BARBARA CA ELEM SCH DIST
549300PQRSK15XOJN302
Santa Barbara Unified School District General Obligation Unlimited
801257LS3
100000.00000000
PA
USD
52981.60000000
0.005990618558
Long
DBT
MUN
US
N
2
2021-08-01
None
0.00000000
N
N
N
N
N
N
VISUAL COMFORT GROUP INC
N/A
VC GB Holdings, Inc.
N/A
454034.78040000
PA
USD
451197.06000000
0.051016758296
Long
LON
CORP
US
N
3
2024-02-28
Variable
4.00000000
N
N
N
N
N
N
AVIATION CAPITAL GROUP
549300ODEK8HY3445C77
Aviation Capital Group LLC
05367AAJ2
1200000.00000000
PA
USD
1217370.96000000
0.137647882774
Long
DBT
CORP
US
N
2
2022-01-20
Fixed
2.87500000
N
N
N
N
N
N
Marathon CLO LTD
635400LRBGQZIPTCBI09
Marathon CLO V Ltd.
56576QAN8
3129944.66910000
PA
USD
3126913.32000000
0.353559442652
Long
ABS-O
CORP
KY
N
2
2027-11-21
Floating
1.05200000
N
N
N
N
N
N
VIRGINIA CLG BLDG AUTH EDUCTNL
N/A
Virginia College Building Authority Revenue Bonds
92778FDL4
60000.00000000
PA
USD
60665.85000000
0.006859475117
Long
DBT
MUN
US
N
2
2021-09-01
Fixed
3.00000000
N
N
N
N
N
N
MidOcean Credit CLO
5493004MLF21SFT7F415
MidOcean Credit CLO VII
59801WAM8
3500000.00000000
PA
USD
3495884.00000000
0.395278881160
Long
ABS-O
CORP
KY
N
2
2029-07-15
Floating
1.28100000
N
N
N
N
N
N
Barclays Bank plc
G5GSEF7VJP5I7OUK5573
CURRENCY CONTRACT - Rec USD / Deliver HUF
N/A
-179895000.00000000
NC
657.46000000
0.000074338866
N/A
DFE
US
N
2
BARCLAYS BANK PLC
G5GSEF7VJP5I7OUK5573
179895000.00000000
HUF
583509.16000000
USD
2021-04-21
657.46000000
N
N
N
Starwood Mortgage Residential
N/A
Starwood Mortgage Residential Trust
85573AAA3
1096409.94130000
PA
USD
1116584.98000000
0.126252032852
Long
ABS-MBS
CORP
US
N
2
2050-02-25
Variable
2.27500000
N
N
N
N
N
N
USI INC
N/A
USI, Inc.
N/A
795876.28430000
PA
USD
786357.60000000
0.088913291264
Long
LON
CORP
US
N
2
2024-05-16
Variable
3.20000000
N
N
N
N
N
N
Goldman Sachs International
W22LROWP2IHZNBB6K528
CURRENCY CONTRACT - Rec USD / Deliver EUR
N/A
-2216500.00000000
NC
-30963.32000000
-0.00350101619
N/A
DFE
US
N
2
Goldman Sachs International
W22LROWP2IHZNBB6K528
2216500.00000000
EUR
2574741.81000000
USD
2021-07-30
-30963.32000000
N
N
N
Cascade Funding Mortgage Trust
549300HU3WTU5KNK1B36
Cascade Funding Mortgage Trust
147271AA8
390337.85400000
PA
USD
399113.98000000
0.045127735208
Long
ABS-MBS
CORP
US
Y
2
2069-06-25
Variable
2.80000000
N
N
N
N
N
N
MICHIGAN ST FIN AUTH REVENUE
54930022O46HOX5J1D14
Michigan Finance Authority Revenue Bonds
59447TEG4
10000.00000000
PA
USD
10221.70000000
0.001155765505
Long
DBT
MUN
US
N
2
2021-12-01
Fixed
5.00000000
N
N
N
N
N
N
DALLAS TX WTRWKS & SWR SYS REV
N/A
City of Dallas Texas Waterworks & Sewer System Revenue Revenue Bonds
23542JDC6
135000.00000000
PA
USD
138239.14000000
0.015630670981
Long
DBT
MUN
US
N
2
2021-10-01
Fixed
5.00000000
N
N
N
N
N
N
HUNT CRE ltd
N/A
Hunt CRE Ltd.
445579AA3
1500000.00000000
PA
USD
1496065.95000000
0.169159867678
Long
ABS-O
CORP
KY
N
2
2028-08-15
Floating
1.18600000
N
N
N
N
N
N
Starwood Mortgage Residential
N/A
Starwood Mortgage Residential Trust
85571KAA3
435678.61120000
PA
USD
438240.40000000
0.049551751428
Long
ABS-MBS
CORP
US
N
2
2049-06-25
Variable
2.94100000
N
N
N
N
N
N
BOEING CO
RVHJWBXLJ1RFUBSY1F30
Boeing Co.
097023DE2
6550000.00000000
PA
USD
6561528.98000000
0.741910725275
Long
DBT
CORP
US
N
2
2024-02-04
Fixed
1.43300000
N
N
N
N
N
N
Avery Point CLO Ltd
N/A
Avery Point VI CLO Ltd.
05363LBC6
2357588.00000000
PA
USD
2355537.13000000
0.266340096318
Long
ABS-O
CORP
KY
N
2
2027-08-05
Floating
1.06300000
N
N
N
N
N
N
Golub Capital Partners CLO Ltd
N/A
Golub Capital Partners CLO 17 Ltd.
38175JAA5
350000.00000000
PA
USD
349375.11000000
0.039503771459
Long
ABS-O
CORP
KY
N
2
2030-10-25
Floating
1.86500000
N
N
N
N
N
N
Goldman Sachs International
W22LROWP2IHZNBB6K528
CURRENCY CONTRACT - Rec USD / Deliver ILS
N/A
-2090700.00000000
NC
-12948.23000000
-0.00146405368
N/A
DFE
US
N
2
Goldman Sachs International
W22LROWP2IHZNBB6K528
2090700.00000000
ILS
613198.42000000
USD
2021-04-30
-12948.23000000
N
N
N
UBS AG
BFM8T61CT2L1QCEMIK50
CURRENCY CONTRACT - Rec USD / Deliver CAD
N/A
-12110000.00000000
NC
-94167.51000000
-0.01064750088
N/A
DFE
US
N
2
UBS AG
BFM8T61CT2L1QCEMIK50
12110000.00000000
CAD
9544376.23000000
USD
2021-04-07
-94167.51000000
N
N
N
CREDIT SUISSE NEW YORK
549300D0YARF5HYP1809
Credit Suisse AG NY
22550UAB7
5250000.00000000
PA
USD
5201175.00000000
0.588095781988
Long
DBT
CORP
CH
N
2
2024-02-02
Floating
0.41700000
N
N
N
N
N
N
AUSTIN TX WTR & WSTWTR SYS REV
N/A
City of Austin Texas Water & Wastewater System Revenue Revenue Bonds
052477CY0
15000.00000000
PA
USD
15285.71000000
0.001728352069
Long
DBT
MUN
US
N
2
2021-11-15
Fixed
5.00000000
N
N
N
N
N
N
Woodmont Trust
N/A
Woodmont Trust
97988WAA9
2750000.00000000
PA
USD
2746837.78000000
0.310584379919
Long
ABS-O
CORP
US
N
2
2032-01-15
Floating
2.04700000
N
N
N
N
N
N
610 Funding CLO 3 Ltd
549300JEA0UEC1002Z71
610 Funding CLO 3 Ltd.
36656AAE8
1658636.35320000
PA
USD
1658610.15000000
0.187538706768
Long
ABS-O
CORP
KY
N
2
2028-07-17
Floating
1.47300000
N
N
N
N
N
N
DESERT NEWCO LLC
N/A
Go Daddy Operating Company LLC
N/A
498278.68000000
PA
USD
494152.93000000
0.055873769636
Long
LON
CORP
US
N
2
2024-02-15
Variable
1.86000000
N
N
N
N
N
N
Venture CDO Ltd
5493002O60L75PP6F022
Venture XIV CLO Ltd.
92328GBA3
2500000.00000000
PA
USD
2496772.50000000
0.282309550406
Long
ABS-O
CORP
KY
N
2
2029-08-28
Floating
1.22100000
N
N
N
N
N
N
UNIVAR INC
549300VSXHFQVR770L55
Univar USA, Inc.
N/A
250000.00000000
PA
USD
248985.00000000
0.028152682476
Long
LON
CORP
US
N
2
2024-07-01
Variable
2.36000000
N
N
N
N
N
N
NEW YORK NY
549300ABYZD2SFD5JB29
City of New York New York General Obligation Unlimited
64966JE77
4010000.00000000
PA
USD
4010000.00000000
0.453409870995
Long
DBT
MUN
US
N
2
2042-04-01
Variable
0.07000000
N
N
N
N
N
N
New Residential Mortgage Loan
549300U1MV4J7YQZG974
New Residential Mortgage Loan Trust
64828CAG4
1270431.55890000
PA
USD
1325970.13000000
0.149927168475
Long
ABS-MBS
CORP
US
N
2
2058-02-25
Variable
3.50000000
N
N
N
N
N
N
LoanCore 2018-CRE1 Issuer, Ltd
N/A
LoanCore Issuer Ltd.
53946MAA5
961638.69730000
PA
USD
961644.76000000
0.108732974208
Long
ABS-O
CORP
KY
N
2
2028-05-15
Floating
1.23600000
N
N
N
N
N
N
Morgan Stanley Capital Services LLC
I7331LVCZKQKX5T7XV54
CURRENCY CONTRACT - Rec USD / Deliver BRL
N/A
-55390000.00000000
NC
574071.51000000
0.064910146955
N/A
DFE
US
N
2
Morgan Stanley Capital Services LLC
I7331LVCZKQKX5T7XV54
55390000.00000000
BRL
10422233.09000000
USD
2021-04-01
574071.51000000
N
N
N
SWEDBANK AB
M312WZV08Y7LYUC71685
Swedbank AB
87020PAM9
9550000.00000000
PA
USD
9571169.96000000
1.082210208688
Long
DBT
CORP
SE
N
2
2024-03-18
Fixed
0.85000000
N
N
N
N
N
N
Goldman Sachs International
W22LROWP2IHZNBB6K528
CURRENCY CONTRACT - Rec USD / Deliver ILS
N/A
-13800.00000000
NC
-214.75000000
-0.00002428173
N/A
DFE
US
N
2
Goldman Sachs International
W22LROWP2IHZNBB6K528
13800.00000000
ILS
3918.23000000
USD
2021-04-30
-214.75000000
N
N
N
Taco Bell Funding, LLC
N/A
Taco Bell Funding LLC
87342RAD6
782000.00000000
PA
USD
785847.44000000
0.088855607579
Long
ABS-O
CORP
US
N
2
2048-11-25
Fixed
4.31800000
N
N
N
N
N
N
UBS AG
BFM8T61CT2L1QCEMIK50
CURRENCY CONTRACT - Rec JPY / Deliver USD
N/A
217500000.00000000
NC
-29556.08000000
-0.00334189985
N/A
DFE
US
N
2
UBS AG
BFM8T61CT2L1QCEMIK50
1994150.49000000
USD
217500000.00000000
JPY
2021-04-19
-29556.08000000
N
N
N
Diamond CLO 2019-1 LLC
N/A
Diamond CLO 2019-1 Ltd.
25257AAL8
8250000.00000000
PA
USD
8248350.00000000
0.932639229283
Long
ABS-O
CORP
KY
N
2
2029-04-25
Floating
1.39500000
N
N
N
N
N
N
RYDER SYSTEM INC
ZXJ6Y2OSPZXIVGRILD15
Ryder System, Inc.
78355HKR9
4820000.00000000
PA
USD
5203590.83000000
0.588368939387
Long
DBT
CORP
US
N
2
2025-09-01
Fixed
3.35000000
N
N
N
N
N
N
ABU DHABI GOVT INT'L
213800FER4348CINTA77
Abu Dhabi Government International Bond
29135LAL4
2200000.00000000
PA
USD
2207348.00000000
0.249584382025
Long
DBT
NUSS
AE
N
2
2023-09-02
Fixed
0.75000000
N
N
N
N
N
N
Homeward Opportunities Fund I
N/A
Homeward Opportunities Fund I Trust
43800KAA5
873613.58280000
PA
USD
884256.64000000
0.099982715478
Long
ABS-MBS
CORP
US
N
2
2059-11-25
Variable
2.67500000
N
N
N
N
N
N
BUNGE LTD FINANCE CORP
549300QHC068L40NNM71
Bunge Limited Finance Corp.
120568AY6
800000.00000000
PA
USD
824710.16000000
0.093249807295
Long
DBT
CORP
US
N
2
2022-09-25
Fixed
3.00000000
N
N
N
N
N
N
Barclays Bank plc
G5GSEF7VJP5I7OUK5573
CURRENCY CONTRACT - Rec USD / Deliver ILS
N/A
-63276.57000000
NC
-138.00000000
-0.00001560363
N/A
DFE
US
N
2
BARCLAYS BANK PLC
G5GSEF7VJP5I7OUK5573
63276.57000000
ILS
18855.88000000
USD
2021-08-02
-138.00000000
N
N
N
UBS AG
BFM8T61CT2L1QCEMIK50
CURRENCY CONTRACT - Rec USD / Deliver MXN
N/A
-84280000.00000000
NC
-69817.10000000
-0.00789420506
N/A
DFE
US
N
2
UBS AG
BFM8T61CT2L1QCEMIK50
84280000.00000000
MXN
4040289.76000000
USD
2021-05-06
-69817.10000000
N
N
N
Citibank, N.A.
E57ODZWZ7FF32TWEFA76
CURRENCY CONTRACT - Rec BRL / Deliver USD
N/A
6365000.00000000
NC
-107066.62000000
-0.01210600058
N/A
DFE
US
N
2
Citibank, N.A.
E57ODZWZ7FF32TWEFA76
1231689.15000000
USD
6365000.00000000
BRL
2021-07-01
-107066.62000000
N
N
N
LANCASTER CNTY PA HOSP AUTH
N/A
Lancaster County Hospital Authority Revenue Bonds
514045A45
25000.00000000
PA
USD
25693.45000000
0.002905153079
Long
DBT
MUN
US
N
2
2022-01-01
Fixed
4.00000000
N
N
N
N
N
N
ERIE PA
N/A
City of Erie Pennsylvania General Obligation Unlimited
295407Q94
5000.00000000
PA
USD
4925.91000000
0.000556971625
Long
DBT
MUN
US
N
2
2022-11-15
None
0.00000000
N
N
N
N
N
N
Bank of America, N.A.
B4TYDEB6GKMZO031MB27
CURRENCY CONTRACT - Rec USD / Deliver ILS
N/A
-643550.00000000
NC
-3188.35000000
-0.00036050607
N/A
DFE
US
N
2
Bank of America, N.A.
B4TYDEB6GKMZO031MB27
643550.00000000
ILS
190794.54000000
USD
2022-01-31
-3188.35000000
N
N
N
NEW YORK CITY NY TRANSITIONALF
N/A
New York City Transitional Finance Authority Building Aid Revenue Revenue Bonds
64972HV25
5000.00000000
PA
USD
5259.44000000
0.000594683793
Long
DBT
MUN
US
N
2
2022-07-15
Fixed
5.00000000
N
N
N
N
N
N
FILTRATION GROUP CORP
549300ZA0D9WN5ECE978
Filtration Group Corp.
N/A
846130.19970000
PA
USD
833226.71000000
0.094212771843
Long
LON
CORP
US
N
2
2025-03-31
Variable
3.11000000
N
N
N
N
N
N
LAS VEGAS VLY NV WTR DIST
N/A
Las Vegas Valley Water District General Obligation Limited
5178402D5
120000.00000000
PA
USD
120922.87000000
0.013672723911
Long
DBT
MUN
US
N
2
2021-06-01
Fixed
5.13400000
N
N
N
N
N
N
Morgan Stanley Capital I Trust
N/A
Morgan Stanley Capital I Trust
61764JAD8
1669000.00000000
PA
USD
1673534.51000000
0.189226201068
Long
ABS-MBS
CORP
US
N
2
2033-08-11
Fixed
3.69300000
N
N
N
N
N
N
Mountain Hawk CLO Ltd
549300X4VFRMZJ7T1U89
Mountain Hawk II CLO Ltd.
62405TAU1
81677.35120000
PA
USD
81662.62000000
0.009233575560
Long
ABS-O
CORP
KY
N
2
2024-07-20
Floating
1.82400000
N
N
N
N
N
N
BARCLAYS BANK PLC
G5GSEF7VJP5I7OUK5573
Barclays Bank plc
06739GCR8
4600000.00000000
PA
USD
4663476.78000000
0.527298355414
Long
DBT
CORP
GB
N
2
2022-05-12
Fixed
1.70000000
N
N
N
N
N
N
SAMSONITE INTERNATIONAL SA
N/A
Samsonite IP Holdings SARL
N/A
1141375.00000000
PA
USD
1148508.59000000
0.129861628835
Long
LON
CORP
LU
N
2
2025-04-25
Variable
5.50000000
N
N
N
N
N
N
Halcyon Loan Advisors Funding
549300Q8TB5ELPAK8181
Halcyon Loan Advisors Funding Ltd.
40538MAJ7
6854907.22830000
PA
USD
6856436.56000000
0.775255864378
Long
ABS-O
CORP
KY
N
2
2027-10-18
Floating
1.12300000
N
N
N
N
N
N
HB FULLER CO
N/A
HB Fuller Co.
N/A
137857.17000000
PA
USD
137202.35000000
0.015513441350
Long
LON
CORP
US
N
2
2024-10-21
Variable
2.11000000
N
N
N
N
N
N
NEWFOUNDLAND T-BILL
549300CLWWW48GTPOJ49
Newfoundland T-Bill
6513ZADG7
11400000.00000000
PA
9072854.62000000
1.025865796213
Long
DBT
NUSS
CA
N
2
2021-04-15
None
0.00000000
N
N
N
N
N
N
Textainer Marine Containers Li
549300X48KLHDDGPK024
Textainer Marine Containers VII Ltd.
88315LAE8
845287.65460000
PA
USD
860086.19000000
0.097249767693
Long
ABS-O
CORP
US
N
2
2045-08-21
Fixed
2.73000000
N
N
N
N
N
N
CHARLES SCHWAB CORP
549300VSGCJ7E698NM85
Charles Schwab Corp.
808513BM6
8850000.00000000
PA
USD
8903808.00000000
1.006751729837
Long
DBT
CORP
US
N
2
2024-03-18
Floating
0.51000000
N
N
N
N
N
N
BAYER US FINANCE II LLC
529900XWNEXYNJ3X6T40
Bayer US Finance II LLC
07274NAC7
1700000.00000000
PA
USD
1701274.86000000
0.192362796708
Long
DBT
CORP
US
N
2
2021-06-25
Floating
0.83100000
N
N
N
N
N
N
Morgan Stanley Capital I Trust
N/A
Morgan Stanley Capital I Trust
61763QAA9
1000000.00000000
PA
USD
999903.90000000
0.113058927258
Long
ABS-MBS
CORP
US
N
2
2029-07-13
Fixed
3.35000000
N
N
N
N
N
N
PORTUGAL (REPUBLIC OF)
N/A
Republic of Portugal
N/A
1410000.00000000
PA
1656025.38000000
0.187246447359
Long
DBT
NUSS
PT
N
2
2021-07-16
None
0.00000000
N
N
N
N
N
N
RELIANCE STAND LIFE II
N/A
Reliance Standard Life Global Funding II
75951AAJ7
200000.00000000
PA
USD
214894.97000000
0.024298129831
Long
DBT
CORP
US
N
2
2023-09-19
Fixed
3.85000000
N
N
N
N
N
N
JPMorgan Chase Bank, N.A.
7H6GLXDRUGQFU57RNE97
CURRENCY CONTRACT - Rec USD / Deliver CAD
N/A
-11400000.00000000
NC
-92660.14000000
-0.01047706287
N/A
DFE
US
N
2
JPMorgan Chase Bank, N.A.
7H6GLXDRUGQFU57RNE97
11400000.00000000
CAD
8980960.36000000
USD
2021-04-15
-92660.14000000
N
N
N
Goldman Sachs International
W22LROWP2IHZNBB6K528
CURRENCY CONTRACT - Rec USD / Deliver ILS
N/A
-1403900.00000000
NC
-10114.87000000
-0.00114368625
N/A
DFE
US
N
2
Goldman Sachs International
W22LROWP2IHZNBB6K528
1403900.00000000
ILS
410341.10000000
USD
2021-04-30
-10114.87000000
N
N
N
HALLIBURTON CO
ENYF8GB5SMQZ25S06U51
Halliburton Co.
406216AZ4
1130000.00000000
PA
USD
1141208.48000000
0.129036206906
Long
DBT
CORP
US
N
2
2021-11-15
Fixed
3.25000000
N
N
N
N
N
N
Cerberus
N/A
Cerberus Loan Funding XXX, LP
15674JAA9
3000000.00000000
PA
USD
2996691.90000000
0.338835333614
Long
ABS-O
CORP
KY
N
2
2033-01-15
Floating
2.07800000
N
N
N
N
N
N
BRAVO Residential Funding Trus
N/A
BRAVO Residential Funding Trust
10568HAA3
706495.15240000
PA
USD
714523.90000000
0.080791069656
Long
ABS-MBS
CORP
US
N
2
2059-07-25
Variable
2.66600000
N
N
N
N
N
N
NEW JERSEY ST ECON DEV AUTH
5493006JS6QWDVU4R678
New Jersey Economic Development Authority Revenue Bonds
645905R93
10000.00000000
PA
USD
9891.88000000
0.001118472826
Long
DBT
MUN
US
N
2
2021-07-01
None
0.00000000
N
N
N
N
N
N
BOXER PARENT CO INC
5493006T045HLTF7YX04
Boxer Parent Co., Inc.
N/A
1096853.33000000
PA
USD
1091369.06000000
0.123400873990
Long
LON
CORP
US
N
2
2025-10-02
Variable
3.86000000
N
N
N
N
N
N
Citigroup Commercial Mortgage
N/A
Citigroup Commercial Mortgage Trust
17328FBB0
24923984.03100000
PA
USD
1653908.22000000
0.187007060515
Long
ABS-MBS
CORP
US
N
2
2056-08-10
Variable
1.05800000
N
N
N
N
N
N
BOEING CO
RVHJWBXLJ1RFUBSY1F30
Boeing Co.
097023CZ6
6000000.00000000
PA
USD
6147030.12000000
0.695043424866
Long
DBT
CORP
US
N
2
2024-02-01
Fixed
1.95000000
N
N
N
N
N
N
New Residential Mortgage Loan
N/A
New Residential Mortgage Loan Trust
64830TAD0
1931064.22140000
PA
USD
2038089.40000000
0.230446347115
Long
ABS-MBS
CORP
US
N
2
2059-10-25
Variable
3.50000000
N
N
N
N
N
N
Newfleet CLO, Ltd.
5493003RFBB86V8THH68
Newfleet CLO Ltd.
65130PAN0
1467774.25560000
PA
USD
1466752.10000000
0.165845356719
Long
ABS-O
CORP
KY
N
2
2028-04-20
Floating
1.17400000
N
N
N
N
N
N
CITIZENS BANK NA/RI
DRMSV1Q0EKMEXLAU1P80
Citizens Bank North America/Providence RI
17401QAM3
4215000.00000000
PA
USD
4246188.01000000
0.480115600458
Long
DBT
CORP
US
N
2
2022-05-26
Floating
1.00000000
N
N
N
N
N
N
Deephaven Residential Mortgage
N/A
Deephaven Residential Mortgage Trust
24381NAA6
1772200.90370000
PA
USD
1784916.45000000
0.201820133998
Long
ABS-MBS
CORP
US
N
2
2059-07-25
Variable
2.96400000
N
N
N
N
N
N
GATES INTERNATIONAL CORPORATION PLC
549300XI79MQJV13DW27
Gates Global LLC
N/A
696180.81380000
PA
USD
693862.53000000
0.078454892821
Long
LON
CORP
US
N
2
2027-03-31
Variable
3.50000000
N
N
N
N
N
N
RELIANCE STEEL & ALUM
549300E287ZOFT3C5Z56
Reliance Steel & Aluminum Co.
759509AE2
1300000.00000000
PA
USD
1386382.05000000
0.156757931780
Long
DBT
CORP
US
N
2
2023-04-15
Fixed
4.50000000
N
N
N
N
N
N
TREASURY BILL
254900HROIFWPRGM1V77
U.S. Treasury Bills
9127964X4
100000.00000000
PA
USD
99999.85000000
0.011306962366
Long
DBT
UST
US
N
2
2021-04-08
None
0.00000000
N
N
N
N
N
N
MACOM TECHNOLOGY SOLUTIONS HOLDINGS INC
N/A
MACOM Technology Solutions Holdings, Inc.
N/A
344716.40610000
PA
USD
341917.31000000
0.038660519555
Long
LON
CORP
US
N
2
2024-05-17
Variable
2.36000000
N
N
N
N
N
N
HUDSONVILLE MI PUBLIC SCHS
N/A
Hudsonville Public Schools General Obligation Unlimited
444240PD1
5000.00000000
PA
USD
4967.72000000
0.000561699073
Long
DBT
MUN
US
N
2
2021-05-01
Fixed
5.00000000
N
N
N
N
N
N
Palmer Square Loan Funding Ltd
N/A
Palmer Square Loan Funding 2021-1 Ltd.
69701YAA0
4000000.00000000
PA
USD
4004001.20000000
0.452731587919
Long
ABS-O
CORP
KY
N
2
2029-04-20
Floating
1.05500000
N
N
N
N
N
N
SIRIUS XM RADIO INC
WP5O65E6BMU84LNO4227
Sirius XM Radio, Inc.
82967NAW8
1543000.00000000
PA
USD
1593147.50000000
0.180136858466
Long
DBT
CORP
US
N
2
2026-07-15
Fixed
5.37500000
N
N
N
N
N
N
Citibank, N.A.
E57ODZWZ7FF32TWEFA76
CURRENCY CONTRACT - Rec HUF / Deliver USD
N/A
179895000.00000000
NC
-28433.09000000
-0.00321492360
N/A
DFE
US
N
2
Citibank, N.A.
E57ODZWZ7FF32TWEFA76
611284.79000000
USD
179895000.00000000
HUF
2021-04-21
-28433.09000000
N
N
N
MICROCHIP TECHNOLOGY INC
5493007PTFULNYZJ1R12
Microchip Technology, Inc.
595017AQ7
2570000.00000000
PA
USD
2676358.11000000
0.302615258202
Long
DBT
CORP
US
N
2
2023-09-01
Fixed
2.67000000
N
N
N
N
N
N
MET WTR DIST OF STHRN CA WTRWK
5493003GD0S0P56RLT45
Metropolitan Water District of Southern California Revenue Bonds
59266TMV0
3420000.00000000
PA
USD
3420000.00000000
0.386698692968
Long
DBT
MUN
US
N
2
2047-07-01
Variable
0.05000000
N
N
N
N
N
N
Verus Securitization Trust
N/A
Verus Securitization Trust
92536PAA2
2152122.13860000
PA
USD
2175086.57000000
0.245936588804
Long
ABS-MBS
CORP
US
N
2
2060-01-25
Variable
2.41700000
N
N
N
N
N
N
JPMorgan Chase Bank, N.A.
7H6GLXDRUGQFU57RNE97
CURRENCY CONTRACT - Rec JPY / Deliver USD
N/A
893446500.00000000
NC
-647948.58000000
-0.07326341198
N/A
DFE
US
N
2
JPMorgan Chase Bank, N.A.
7H6GLXDRUGQFU57RNE97
8723785.58000000
USD
893446500.00000000
JPY
2021-07-01
-647948.58000000
N
N
N
UBS AG
BFM8T61CT2L1QCEMIK50
CURRENCY CONTRACT - Rec MXN / Deliver USD
N/A
137000000.00000000
NC
41570.29000000
0.004700344096
N/A
DFE
US
N
2
UBS AG
BFM8T61CT2L1QCEMIK50
6659647.30000000
USD
137000000.00000000
MXN
2021-04-08
41570.29000000
N
N
N
Citibank, N.A.
E57ODZWZ7FF32TWEFA76
CURRENCY CONTRACT - Rec USD / Deliver BRL
N/A
-3550000.00000000
NC
218960.89000000
0.024757862565
N/A
DFE
US
N
2
Citibank, N.A.
E57ODZWZ7FF32TWEFA76
3550000.00000000
BRL
846205.19000000
USD
2021-07-01
218960.89000000
N
N
N
BXMT Ltd
N/A
BXMT Ltd.
12434LAC8
2550000.00000000
PA
USD
2551564.17000000
0.288504833206
Long
ABS-O
CORP
US
N
2
2037-02-16
Floating
1.25800000
N
N
N
N
N
N
Citibank, N.A.
E57ODZWZ7FF32TWEFA76
CURRENCY CONTRACT - Rec USD / Deliver BRL
N/A
-890000.00000000
NC
48043.38000000
0.005432255044
N/A
DFE
US
N
2
Citibank, N.A.
E57ODZWZ7FF32TWEFA76
890000.00000000
BRL
205296.18000000
USD
2021-07-01
48043.38000000
N
N
N
Credit Suisse Mortgage Trust
N/A
CSMC Series
12648WAU6
1385780.71860000
PA
USD
1369501.40000000
0.154849240175
Long
ABS-MBS
CORP
US
N
2
2036-10-27
Variable
0.28000000
N
N
N
N
N
N
Barclays Bank plc
G5GSEF7VJP5I7OUK5573
CURRENCY CONTRACT - Rec USD / Deliver CZK
N/A
-200600400.00000000
NC
3657.47000000
0.000413549376
N/A
DFE
US
N
2
BARCLAYS BANK PLC
G5GSEF7VJP5I7OUK5573
200600400.00000000
CZK
9076214.26000000
USD
2022-04-19
3657.47000000
N
N
N
JPMDB Commercial Mortgage Secu
N/A
JPMDB Commercial Mortgage Securities Trust
46591ABC8
29452070.77540000
PA
USD
937848.18000000
0.106042299827
Long
ABS-MBS
CORP
US
N
2
2051-06-15
Variable
0.63900000
N
N
N
N
N
N
Credit Suisse Mortgage Trust
N/A
CSMC Trust
12597XAC5
3071322.73840000
PA
USD
3121662.03000000
0.352965680377
Long
ABS-MBS
CORP
US
N
2
2060-08-25
Variable
3.02300000
N
N
N
N
N
N
WEST TRAVIS CNTY TX PUBLIC UTI
549300O1CP7CFGPMMX97
West Travis County Public Utility Agency Revenue Bonds
95632CBN8
50000.00000000
PA
USD
50886.13000000
0.005753684199
Long
DBT
MUN
US
N
2
2021-08-15
Fixed
5.00000000
N
N
N
N
N
N
BURLINGTON STORES INC
549300SIFDMGE3Y2SW49
Burlington Stores, Inc.
N/A
400000.00000000
PA
USD
396332.00000000
0.044813177304
Long
LON
CORP
US
N
2
2024-11-18
Variable
1.86000000
N
N
N
N
N
N
SYSCO CORPORATION
5RGWIFLMGH3YS7KWI652
Sysco Corp.
871829BP1
3350000.00000000
PA
USD
3894047.24000000
0.440299116393
Long
DBT
CORP
US
N
2
2025-04-01
Fixed
5.65000000
N
N
N
N
N
N
Credit Suisse Mortgage Trust
N/A
CSMC Series
12648ELS9
2087209.66150000
PA
USD
2052969.61000000
0.232128849383
Long
ABS-MBS
CORP
US
N
2
2046-02-27
Floating
0.33000000
N
N
N
N
N
N
BNP Paribas
R0MUWSFPU8MPRO8K5P83
iShares Core U.S. Aggregate Bond ETF
N/A
-83100.00000000
NC
USD
284202.00000000
0.032134661385
N/A
DIR
FR
N
2
BNP Paribas
R0MUWSFPU8MPRO8K5P83
iShares Core U.S. Aggregate Bond ETF
AGG
Y
iShares Core U.S. Aggregate Bond ETF-Tenor Quarterly
2021-04-19
0.00000000
USD
0.00000000
USD
-9459273.00000000
USD
284202.00000000
N
N
N
KREF 2018--FL1 Ltd.
549300N45646UZ8P3S07
KREF Ltd.
48275PAA9
994470.04610000
PA
USD
994603.01000000
0.112459556722
Long
ABS-O
CORP
KY
N
2
2036-06-15
Floating
1.20800000
N
N
N
N
N
N
Grand Avenue CRE 2020-FL2 Ltd.
N/A
Grand Avenue CRE Ltd.
38522HAA9
422798.68040000
PA
USD
425509.29000000
0.048112247452
Long
ABS-O
CORP
KY
N
2
2035-03-15
Floating
2.55600000
N
N
N
N
N
N
JPMORGAN CHASE & CO
8I5DZWZKVSZI1NUHU748
JPMorgan Chase & Co.
46647PBZ8
9100000.00000000
PA
USD
9138237.65000000
1.033258641898
Long
DBT
CORP
US
N
2
2024-03-16
Variable
0.69700000
N
N
N
N
N
N
CENTRL BUCKS PA SCH DIST
N/A
Central Bucks School District General Obligation Limited
152735XM3
15000.00000000
PA
USD
14931.83000000
0.001688338931
Long
DBT
MUN
US
N
2
2021-05-15
Fixed
5.10000000
N
N
N
N
N
N
AUST & NZ BANKING GROUP
JHE42UYNWWTJB8YTTU19
Australia & New Zealand Banking Group Ltd.
05252ACL3
300000.00000000
PA
USD
300465.35000000
0.033973555008
Long
DBT
CORP
AU
N
2
2021-06-01
Floating
1.18100000
N
N
N
N
N
N
Wind River CLO Ltd
2549008107XSHXNMJI27
Wind River CLO Ltd.
88432GAL1
788813.38340000
PA
USD
788123.25000000
0.089112932945
Long
ABS-O
CORP
KY
N
2
2027-10-15
Floating
1.11100000
N
N
N
N
N
N
NEW HANOVER CNTY NC HOSP REVEN
549300TDDH9O6TH23823
County of New Hanover North Carolina Revenue Bonds
644804DQ6
50000.00000000
PA
USD
50905.58000000
0.005755883406
Long
DBT
MUN
US
N
2
2021-10-01
Fixed
4.00000000
N
N
N
N
N
N
Wellfleet CLO Ltd
N/A
Wellfleet CLO Ltd.
94951MAJ2
2000000.00000000
PA
USD
2000539.20000000
0.226200553763
Long
ABS-O
CORP
KY
N
2
2029-10-20
Floating
1.28400000
N
N
N
N
N
N
Voya CLO Ltd
N/A
Voya CLO Ltd.
92917RAA7
1031250.00000000
PA
USD
1028706.63000000
0.116315645985
Long
ABS-O
CORP
KY
N
2
2032-07-20
Floating
0.87400000
N
N
N
N
N
N
WICHITA KS WTR & SWR UTILITY R
N/A
City of Wichita Kansas Water & Sewer Utility Revenue Revenue Bonds
967338TY0
50000.00000000
PA
USD
51162.16000000
0.005784894854
Long
DBT
MUN
US
N
2
2021-10-01
Fixed
5.00000000
N
N
N
N
N
N
MITSUBISHI UFJ FIN GRP
353800V2V8PUY9TK3E06
Mitsubishi UFJ Financial Group, Inc.
606822AQ7
950000.00000000
PA
USD
957060.40000000
0.108214621570
Long
DBT
CORP
JP
N
2
2022-07-25
Floating
1.00800000
N
N
N
N
N
N
Wind River CLO Ltd
2549008107XSHXNMJI27
Wind River CLO Ltd.
88432GAN7
493008.36450000
PA
USD
492576.98000000
0.055695577296
Long
ABS-O
CORP
KY
N
2
2027-10-15
Floating
1.11100000
N
N
N
N
N
N
Homeward Opportunities Fund I
N/A
Homeward Opportunities Fund I Trust
43789VAA6
394558.29340000
PA
USD
396853.72000000
0.044872168077
Long
ABS-MBS
CORP
US
N
2
2059-09-25
Variable
2.70200000
N
N
N
N
N
N
UBS AG
BFM8T61CT2L1QCEMIK50
CURRENCY CONTRACT - Rec USD / Deliver ILS
N/A
-25553000.00000000
NC
332055.63000000
0.037545461436
N/A
DFE
US
N
2
UBS AG
BFM8T61CT2L1QCEMIK50
25553000.00000000
ILS
7984959.17000000
USD
2021-04-30
332055.63000000
N
N
N
Ocwen Master Advance Receivabl
549300THGK42AVJMPW70
Ocwen Master Advance Receivables Trust
67575NBW2
5150000.00000000
PA
USD
5162289.96000000
0.583699058554
Long
ABS-MBS
CORP
US
N
2
2052-08-15
Fixed
1.27800000
N
N
N
N
N
N
GPMT Ltd.
N/A
GPMT Ltd.
36259BAA5
5250000.00000000
PA
USD
5257725.38000000
0.594489921764
Long
ABS-O
CORP
KY
N
2
2036-02-22
Floating
1.41000000
N
N
N
N
N
N
PUGET ENERGY INC
SYBSJ96YIDMIUY7WDR33
Puget Energy, Inc.
745310AD4
1300000.00000000
PA
USD
1328650.45000000
0.150230231703
Long
DBT
CORP
US
N
2
2021-09-01
Fixed
6.00000000
N
N
N
N
N
N
CONNECTICUT ST HLTH & EDUCTNL
549300ZOQJ5U8YBS5Q35
Connecticut State Health & Educational Facilities Authority Revenue Bonds
20774YEG8
10000.00000000
PA
USD
9993.91000000
0.001130009337
Long
DBT
MUN
US
N
2
2021-07-01
Fixed
4.12500000
N
N
N
N
N
N
MP Clo VIII, LTD
549300D60LKSR31DKI65
MP CLO VIII Ltd.
62481WAA5
2707097.47130000
PA
USD
2706236.89000000
0.305993645680
Long
ABS-O
CORP
KY
N
2
2027-10-28
Floating
1.12900000
N
N
N
N
N
N
VIDEOTRON LTD
549300LW4GNJRBECSD81
Videotron Ltd.
92658TAQ1
3500000.00000000
PA
USD
3640000.00000000
0.411574047487
Long
DBT
CORP
CA
N
2
2022-07-15
Fixed
5.00000000
N
N
N
N
N
N
MONTGOMERY CNTY VA ECON DEV AU
N/A
Montgomery County Economic Development Authority Revenue Bonds
613741CF2
5000.00000000
PA
USD
4985.19000000
0.000563674402
Long
DBT
MUN
US
N
2
2021-06-01
Fixed
4.71400000
N
N
N
N
N
N
LSTAR Securities Investment Lt
N/A
LSTAR Securities Investment Limited 2021-2
54912PAA6
1450000.00000000
PA
USD
1448997.21000000
0.163837814977
Long
ABS-MBS
CORP
US
Y
2
2026-03-02
Floating
1.81800000
N
N
N
N
N
N
Verus Securitization Trust
N/A
Verus Securitization Trust
92537KAB0
1188131.47850000
PA
USD
1207970.42000000
0.136584965660
Long
ABS-MBS
CORP
US
N
2
2059-11-25
Variable
2.84600000
N
N
N
N
N
N
LoanCore 2018-CRE1 Issuer, Ltd
N/A
LoanCore Issuer Ltd.
53946MAC1
1000000.00000000
PA
USD
999026.40000000
0.112959708514
Long
ABS-O
CORP
KY
N
2
2028-05-15
Floating
1.60600000
N
N
N
N
N
N
NEW JERSEY ST HLTH CARE FACS F
N/A
New Jersey Health Care Facilities Financing Authority Revenue Bonds
64579FR54
10000.00000000
PA
USD
10021.99000000
0.001133184337
Long
DBT
MUN
US
N
2
2021-07-01
Fixed
5.25000000
N
N
N
N
N
N
Bank of America, N.A.
B4TYDEB6GKMZO031MB27
CURRENCY CONTRACT - Rec USD / Deliver ILS
N/A
-353500.00000000
NC
-3063.75000000
-0.00034641757
N/A
DFE
US
N
2
Bank of America, N.A.
B4TYDEB6GKMZO031MB27
353500.00000000
ILS
102806.46000000
USD
2021-04-30
-3063.75000000
N
N
N
Owl Rock CLO Ltd
N/A
Owl Rock CLO IV Ltd.
691200AA7
2000000.00000000
PA
USD
2005658.80000000
0.226779425877
Long
ABS-O
CORP
US
N
2
2029-05-20
Floating
2.80200000
N
N
N
N
N
N
JPMorgan Chase Bank, N.A.
7H6GLXDRUGQFU57RNE97
CURRENCY CONTRACT - Rec BRL / Deliver USD
N/A
41600000.00000000
NC
-66877.60000000
-0.00756183640
N/A
DFE
US
N
2
JPMorgan Chase Bank, N.A.
7H6GLXDRUGQFU57RNE97
7463222.10000000
USD
41600000.00000000
BRL
2021-04-01
-66877.60000000
N
N
N
Towd Point Mortgage Trust
N/A
Towd Point Mortgage Trust
89169EAA7
438871.00980000
PA
USD
438870.97000000
0.049623049848
Long
ABS-MBS
CORP
US
N
2
2057-02-25
Floating
0.70900000
N
N
N
N
N
N
BNP Paribas
R0MUWSFPU8MPRO8K5P83
iShares Core U.S. Aggregate Bond ETF
N/A
-62500.00000000
NC
USD
223750.00000000
0.025299366243
N/A
DIR
FR
N
2
BNP Paribas
R0MUWSFPU8MPRO8K5P83
iShares Core U.S. Aggregate Bond ETF
AGG
Y
iShares Core U.S. Aggregate Bond ETF-Tenor Quarterly
2021-04-21
0.00000000
USD
0.00000000
USD
-7114375.00000000
USD
223750.00000000
N
N
N
Barclays Bank plc
G5GSEF7VJP5I7OUK5573
CURRENCY CONTRACT - Rec ILS / Deliver USD
N/A
8523623.43000000
NC
232877.13000000
0.026331368945
N/A
DFE
US
N
2
BARCLAYS BANK PLC
G5GSEF7VJP5I7OUK5573
2345521.03000000
USD
8523623.43000000
ILS
2022-08-01
232877.13000000
N
N
N
Citibank, N.A.
E57ODZWZ7FF32TWEFA76
CURRENCY CONTRACT - Rec USD / Deliver BRL
N/A
-3400000.00000000
NC
251197.14000000
0.028402808688
N/A
DFE
US
N
2
Citibank, N.A.
E57ODZWZ7FF32TWEFA76
3400000.00000000
BRL
851938.16000000
USD
2021-07-01
251197.14000000
N
N
N
OZLM Ltd
5493005RYHNVNU6C8029
OZLM XII Ltd.
67109WAJ7
2544185.09380000
PA
USD
2544339.53000000
0.287687944654
Long
ABS-O
CORP
KY
N
2
2027-04-30
Floating
1.25500000
N
N
N
N
N
N
VONTIER CORP
N/A
Vontier Corp.
928881AA9
2150000.00000000
PA
USD
2138777.00000000
0.241831073231
Long
DBT
CORP
US
N
2
2026-04-01
Fixed
1.80000000
N
N
N
N
N
N
Goldman Sachs International
W22LROWP2IHZNBB6K528
CURRENCY CONTRACT - Rec ILS / Deliver USD
N/A
3914050.00000000
NC
93768.17000000
0.010602347596
N/A
DFE
US
N
2
Goldman Sachs International
W22LROWP2IHZNBB6K528
1086029.41000000
USD
3914050.00000000
ILS
2022-01-31
93768.17000000
N
N
N
SANTANDER UK PLC
PTCQB104N23FMNK2RZ28
Santander UK plc
80283LAU7
980000.00000000
PA
USD
980970.07000000
0.110918083014
Long
DBT
CORP
GB
N
2
2021-06-01
Floating
0.81100000
N
N
N
N
N
N
Ellington Financial Mortgage T
N/A
Ellington Financial Mortgage Trust
31573WAB7
1394519.40520000
PA
USD
1393845.29000000
0.157601798784
Long
ABS-MBS
CORP
US
N
2
2065-10-25
Variable
1.48600000
N
N
N
N
N
N
SIEMENS FINANCIERINGSMAT
TAFO772JB70PDRN5VS48
Siemens Financieringsmaatschappij N.V.
82620KAQ6
1870000.00000000
PA
USD
1880935.98000000
0.212677042404
Long
DBT
CORP
NL
N
2
2022-03-16
Floating
0.80000000
N
N
N
N
N
N
PENSKE TRUCK LEASING/PTL
N/A
Penske Truck Leasing Company LP / PTL Finance Corp.
709599BD5
1294000.00000000
PA
USD
1303831.45000000
0.147423952504
Long
DBT
CORP
US
N
2
2021-07-29
Fixed
3.65000000
N
N
N
N
N
N
BEACON ROOFING SUPPLY INC
549300HDXQWWCBOYXP31
Beacon Roofing Supply, Inc.
N/A
136604.52000000
PA
USD
135750.74000000
0.015349308107
Long
LON
CORP
US
N
2
2025-01-02
Variable
2.36000000
N
N
N
N
N
N
UBS AG
BFM8T61CT2L1QCEMIK50
CURRENCY CONTRACT - Rec USD / Deliver MXN
N/A
-137000000.00000000
NC
46171.49000000
0.005220600829
N/A
DFE
US
N
2
UBS AG
BFM8T61CT2L1QCEMIK50
137000000.00000000
MXN
6747389.08000000
USD
2021-04-08
46171.49000000
N
N
N
KEURIG DR PEPPER INC
DYTQ8KRTKO7Y2BVU5K74
Keurig Dr Pepper, Inc.
49271VAE0
500000.00000000
PA
USD
502260.00000000
0.056790434365
Long
DBT
CORP
US
N
2
2021-05-25
Fixed
3.55100000
N
N
N
N
N
N
Ellington Financial Mortgage T
N/A
Ellington Financial Mortgage Trust
31573WAC5
803294.58830000
PA
USD
801225.30000000
0.090594379030
Long
ABS-MBS
CORP
US
N
2
2065-10-25
Variable
1.64000000
N
N
N
N
N
N
FOCUS FINANCIAL PARTNERS INC
N/A
Focus Financial Partners, LLC
N/A
847565.41560000
PA
USD
837776.04000000
0.094727163645
Long
LON
CORP
US
N
2
2024-07-03
Variable
2.11000000
N
N
N
N
N
N
Ameriquest Mortgage Securities
N/A
Ameriquest Mortgage Securities Incorporated Asset-Backed Pass-Through Certificates Series
03072SS71
1005686.16050000
PA
USD
1003376.30000000
0.113451550808
Long
ABS-MBS
CORP
US
N
2
2036-01-25
Floating
0.75400000
N
N
N
N
N
N
Textainer Marine Containers Li
549300X48KLHDDGPK024
Textainer Marine Containers VII Ltd.
88315LAL2
2085917.54970000
PA
USD
2023836.89000000
0.228834818755
Long
ABS-O
CORP
BM
N
2
2046-02-20
Fixed
1.68000000
N
N
N
N
N
N
WELLS FARGO & COMPANY
PBLD0EJDB5FWOLXP3B76
Wells Fargo & Co.
94974BFN5
800000.00000000
PA
USD
864494.17000000
0.097748177081
Long
DBT
CORP
US
N
2
2023-08-15
Fixed
4.12500000
N
N
N
N
N
N
Morgan Stanley Capital I Trust
3IFG42XD94UUZ7FL2766
Morgan Stanley Capital I Trust
61767YBA7
46288488.21030000
PA
USD
2116818.85000000
0.239348269750
Long
ABS-MBS
CORP
US
N
2
2051-07-15
Variable
0.82800000
N
N
N
N
N
N
Venture CDO Ltd
549300OT41NOT6O55015
Venture XVI CLO Ltd.
92329XAQ1
283099.50110000
PA
USD
283115.35000000
0.032011794094
Long
ABS-O
CORP
KY
N
2
2028-01-15
Floating
1.09100000
N
N
N
N
N
N
OHIO ST HGR EDUCTNL FAC COMMIS
5493007MQT6NGNN6BR81
Ohio Higher Educational Facility Commission Revenue Bonds
67756DNE2
5000.00000000
PA
USD
5088.69000000
0.000575377126
Long
DBT
MUN
US
N
2
2022-01-01
Fixed
4.00000000
N
N
N
N
N
N
Madison Park Funding Ltd
N/A
Madison Park Funding XLVIII Ltd.
55821UAC8
4000000.00000000
PA
USD
3992739.20000000
0.451458195907
Long
ABS-O
CORP
KY
N
2
2033-04-19
Floating
1.59200000
N
N
N
N
N
N
LCM Ltd Partnership
N/A
LCM XXIV Ltd.
50188YAE4
5750000.00000000
PA
USD
5741790.15000000
0.649223025235
Long
ABS-O
CORP
KY
N
2
2030-03-20
Floating
1.17200000
N
N
N
N
N
N
TELEDYNE TECHNOLOGIES IN
549300VSMO9KYQWDND94
Teledyne Technologies, Inc.
879360AA3
4550000.00000000
PA
USD
4544259.90000000
0.513818527438
Long
DBT
CORP
US
N
2
2023-04-01
Fixed
0.65000000
N
N
N
N
N
N
PHILLIPS 66
5493005JBO5YSIGK1814
Phillips 66
718546AY0
3400000.00000000
PA
USD
3400818.45000000
0.384529839075
Long
DBT
CORP
US
N
2
2024-02-15
Fixed
0.90000000
N
N
N
N
N
N
MCCORMICK & COMPANY INCORPORATED
549300JQQA6MQ4OJP259
McCormick & Co., Inc.
N/A
2000000.00000000
PA
USD
2000000.00000000
0.226139586531
Long
STIV
CORP
US
N
2
N
N
N
DB Master Finance LLC
549300F17UZJL70BPB08
DB Master Finance LLC
233046AJ0
280725.00000000
PA
USD
286448.98000000
0.032388726949
Long
ABS-O
CORP
US
N
2
2049-05-20
Fixed
3.78700000
N
N
N
N
N
N
NEW JERSEY ST HLTH CARE FACS F
N/A
New Jersey Health Care Facilities Financing Authority Revenue Bonds
64579FFD0
25000.00000000
PA
USD
25304.97000000
0.002861227726
Long
DBT
MUN
US
N
2
2021-07-01
Fixed
5.25000000
N
N
N
N
N
N
GoldenTree Loan Management US
N/A
GoldentTree Loan Management US CLO 1 Ltd.
38138JAA1
3000000.00000000
PA
USD
2982758.70000000
0.337259909570
Long
ABS-O
CORP
KY
N
2
2033-01-20
Floating
0.62500000
N
N
N
N
N
N
New Residential AP Advance Rec
N/A
New Residential Advance Receivables Trust Advance Receivables Backed Notes
64831JAA7
4000000.00000000
PA
USD
3998844.40000000
0.452148509609
Long
ABS-MBS
CORP
US
N
3
2052-12-16
Fixed
1.03500000
N
N
N
N
N
N
Citibank, N.A.
E57ODZWZ7FF32TWEFA76
CURRENCY CONTRACT - Rec USD / Deliver ILS
N/A
-676700.00000000
NC
-5002.61000000
-0.00056564407
N/A
DFE
US
N
2
Citibank, N.A.
E57ODZWZ7FF32TWEFA76
676700.00000000
ILS
197663.21000000
USD
2021-04-30
-5002.61000000
N
N
N
SPAIN (KINGDOM OF)
N/A
Kingdom of Spain
N/A
17110000.00000000
PA
20092309.51000000
2.271833282526
Long
DBT
NUSS
ES
N
2
2021-07-09
None
0.00000000
N
N
N
N
N
N
SUMITOMO MITSUI TR BK LT
5493006GGLR4BTEL8O61
Sumitomo Mitsui Trust Bank Ltd.
86563VAU3
8900000.00000000
PA
USD
8896991.62000000
1.005981003160
Long
DBT
CORP
JP
N
2
2024-03-25
Fixed
0.85000000
N
N
N
N
N
N
Verus Securitization Trust
N/A
Verus Securitization Trust
92538CAA9
4690987.43010000
PA
USD
4700649.46000000
0.531501462656
Long
ABS-MBS
CORP
US
N
2
2065-05-25
Variable
1.21800000
N
N
N
N
N
N
TEXAS ST TURNPIKE AUTH CENTRLT
N/A
Central Texas Turnpike System Revenue Bonds
882762EH6
10000.00000000
PA
USD
9894.95000000
0.001118819950
Long
DBT
MUN
US
N
2
2021-08-15
None
0.00000000
N
N
N
N
N
N
Goldman Sachs International
W22LROWP2IHZNBB6K528
CURRENCY CONTRACT - Rec EUR / Deliver USD
N/A
4624425.00000000
NC
129920.74000000
0.014690111212
N/A
DFE
US
N
2
Goldman Sachs International
W22LROWP2IHZNBB6K528
5306527.69000000
USD
4624425.00000000
EUR
2021-07-30
129920.74000000
N
N
N
Soundview Home Equity Loan Tru
N/A
Soundview Home Loan Trust
83612CAA7
2391727.76760000
PA
USD
2339831.10000000
0.264564218753
Long
ABS-MBS
CORP
US
N
2
2036-07-25
Floating
0.24900000
N
N
N
N
N
N
Palmer Square Loan Funding Ltd
N/A
Palmer Square Loan Funding 2021-2 Ltd.
69702DAE7
4500000.00000000
PA
USD
4499100.00000000
0.508712306881
Long
ABS-O
CORP
KY
N
2
2029-05-20
None
0.00000000
N
N
N
N
N
N
ONE GAS INC
549300HXDWI0LATTX840
ONE Gas, Inc.
68235PAL2
4550000.00000000
PA
USD
4548354.17000000
0.514281465701
Long
DBT
CORP
US
N
2
2024-03-11
Fixed
1.10000000
N
N
N
N
N
N
GENERAL MILLS INC
2TGYMUGI08PO8X8L6150
General Mills, Inc.
370334CB8
2450000.00000000
PA
USD
2450331.75000000
0.277058504404
Long
DBT
CORP
US
N
2
2021-04-16
Floating
0.76300000
N
N
N
N
N
N
GPMT Ltd.
N/A
GPMT Ltd.
36255CAA7
164534.15580000
PA
USD
164437.85000000
0.018592953704
Long
ABS-O
CORP
KY
N
2
2035-11-21
Floating
1.01000000
N
N
N
N
N
N
Goldman Sachs International
W22LROWP2IHZNBB6K528
CURRENCY CONTRACT - Rec USD / Deliver ILS
N/A
-316500.00000000
NC
-1631.98000000
-0.00018452764
N/A
DFE
US
N
2
Goldman Sachs International
W22LROWP2IHZNBB6K528
316500.00000000
ILS
93769.44000000
USD
2022-01-31
-1631.98000000
N
N
N
Madison Avenue Secured Funding
N/A
Madison Avenue Secured Funding Trust Series
55661XAA9
5250000.00000000
PA
USD
5250000.00000000
0.593616414645
Long
ABS-O
CORP
US
N
3
2021-12-13
Floating
1.73200000
N
N
N
N
N
N
Goldman Sachs International
W22LROWP2IHZNBB6K528
CURRENCY CONTRACT - Rec USD / Deliver EUR
N/A
-17110000.00000000
NC
785796.46000000
0.088849843281
N/A
DFE
US
N
2
Goldman Sachs International
W22LROWP2IHZNBB6K528
17110000.00000000
EUR
20890625.60000000
USD
2021-07-09
785796.46000000
N
N
N
Symphony CLO Ltd
5493001GRJRD2VIG9H40
California Street CLO IX, LP
13079WAN8
1749999.99990000
PA
USD
1747717.30000000
0.197614033797
Long
ABS-O
CORP
KY
N
2
2032-07-16
Floating
0.92300000
N
N
N
N
N
N
Fortress Credit Opportunities
2549008RD44HDM6DNP14
Fortress Credit Opportunities IX CLO Ltd.
34961JAC8
382000.00000000
PA
USD
381027.58000000
0.043082709699
Long
ABS-O
CORP
KY
N
2
2029-11-15
Floating
1.74400000
N
N
N
N
N
N
Station Place Securitization T
N/A
Station Place Securitization Trust
85772LAA8
1000000.00000000
PA
USD
1000000.00000000
0.113069793265
Long
ABS-O
CORP
US
N
3
2021-06-09
Floating
1.60700000
N
N
N
N
N
N
Morgan Stanley Capital Inc
N/A
Morgan Stanley ABS Capital I Incorporated Trust
61744CYB6
2069814.58360000
PA
USD
2060651.10000000
0.232997393869
Long
ABS-MBS
CORP
US
N
2
2035-12-25
Floating
0.67900000
N
N
N
N
N
N
MONTGOMERY CNTY PA
549300H278P9DGB7L217
County of Montgomery Pennsylvania General Obligation Unlimited
613579Z38
15000.00000000
PA
USD
14850.00000000
0.001679086429
Long
DBT
MUN
US
N
2
2021-04-01
Fixed
5.20000000
N
N
N
N
N
N
MISSOURI ST HLTH & EDUCTNL FAC
549300IWTBCMX5JB3277
Health & Educational Facilities Authority of the State of Missouri Revenue Bonds
60636AAT0
5000.00000000
PA
USD
5099.95000000
0.000576650292
Long
DBT
MUN
US
N
2
2021-11-15
Fixed
5.00000000
N
N
N
N
N
N
DALLAS TX WTRWKS & SWR SYS REV
N/A
City of Dallas Texas Waterworks & Sewer System Revenue Revenue Bonds
23542JCG8
15000.00000000
PA
USD
15356.15000000
0.001736316705
Long
DBT
MUN
US
N
2
2021-10-01
Fixed
5.00000000
N
N
N
N
N
N
MASSACHUSETTS ST TRANSPRTN FUN
N/A
Commonwealth of Massachusetts Transportation Fund Revenue Revenue Bonds
57604TAV8
15000.00000000
PA
USD
14941.19000000
0.001689397264
Long
DBT
MUN
US
N
2
2021-06-01
Fixed
4.00000000
N
N
N
N
N
N
iShares Core S&P 500 ETF
5493007M4YMN8XL48C14
iShares Core S&P 500 ETF
464287200
100000.00000000
NS
USD
39782000.00000000
4.498142515696
Long
EC
RF
US
N
1
N
N
N
Morgan Stanley Capital Services LLC
I7331LVCZKQKX5T7XV54
CURRENCY CONTRACT - Rec BRL / Deliver USD
N/A
52000000.00000000
NC
-85773.28000000
-0.00969836703
N/A
DFE
US
N
2
Morgan Stanley Capital Services LLC
I7331LVCZKQKX5T7XV54
9331203.90000000
USD
52000000.00000000
BRL
2021-04-01
-85773.28000000
N
N
N
Applebees/IHOP Funding LLC
N/A
Applebee's Funding LLC / IHOP Funding LLC
03789XAD0
4676500.00000000
PA
USD
4802297.85000000
0.542994825099
Long
ABS-O
CORP
US
N
2
2049-06-07
Fixed
4.19400000
N
N
N
N
N
N
UBS AG
BFM8T61CT2L1QCEMIK50
CURRENCY CONTRACT - Rec USD / Deliver JPY
N/A
-2724000000.00000000
NC
1571740.03000000
0.177716320259
N/A
DFE
US
N
2
UBS AG
BFM8T61CT2L1QCEMIK50
2724000000.00000000
JPY
26174690.11000000
USD
2021-04-12
1571740.03000000
N
N
N
SBA TOWER TRUST
N/A
SBA Tower Trust
78403DAR1
4000000.00000000
PA
USD
4062720.40000000
0.459370955724
Long
ABS-O
CORP
US
N
2
2028-01-15
Fixed
2.32800000
N
N
N
N
N
N
Palmer Square Loan Funding Ltd
549300KJI7MJ3X7YQQ90
Palmer Square Loan Funding Ltd.
69700KAA1
899948.73790000
PA
USD
900179.93000000
0.101783158587
Long
ABS-O
CORP
KY
N
2
2026-11-15
Floating
1.09400000
N
N
N
N
N
N
Life Financial Services Trust
N/A
Life 2021-BMR Mortgage Trust
53218CAE0
2450000.00000000
PA
USD
2452203.53000000
0.277270146182
Long
ABS-MBS
CORP
US
N
2
2038-03-15
Floating
1.20600000
N
N
N
N
N
N
GE-WMC Mortgage Securities LLC
N/A
GE-WMC Asset-Backed Pass-Through Certificates Series
367910AU0
261140.35640000
PA
USD
260820.30000000
0.029490897400
Long
ABS-MBS
CORP
US
N
2
2035-12-25
Floating
0.60900000
N
N
N
N
N
N
VIACOMCBS INC
5KYC8KF17ROCY24M3H09
ViacomCBS, Inc.
92556HAA5
2210000.00000000
PA
USD
2498498.97000000
0.282504762012
Long
DBT
CORP
US
N
2
2025-05-15
Fixed
4.75000000
N
N
N
N
N
N
PIMA CNTY AZ INDL DEV AUTH EDU
549300QDTQ25545R4K19
Industrial Development Authority of the County of Pima Revenue Bonds
72177PBB5
30000.00000000
PA
USD
30376.27000000
0.003434638569
Long
DBT
MUN
US
N
2
2021-06-01
Fixed
8.25000000
N
N
N
N
N
N
Citibank, N.A.
E57ODZWZ7FF32TWEFA76
CURRENCY CONTRACT - Rec USD / Deliver EUR
N/A
-1410000.00000000
NC
56253.75000000
0.006360599882
N/A
DFE
US
N
2
Citibank, N.A.
E57ODZWZ7FF32TWEFA76
1410000.00000000
EUR
1713314.97000000
USD
2021-07-16
56253.75000000
N
N
N
CIM Trust
N/A
CIM Trust
17181FAA9
2312086.80320000
PA
USD
2321294.46000000
0.262468284701
Long
ABS-MBS
CORP
US
N
2
2057-12-26
Variable
4.07000000
N
N
N
N
N
N
JPMorgan Chase Bank, N.A.
7H6GLXDRUGQFU57RNE97
CURRENCY CONTRACT - Rec BRL / Deliver USD
N/A
6365000.00000000
NC
-108904.60000000
-0.01231382060
N/A
DFE
US
N
2
JPMorgan Chase Bank, N.A.
7H6GLXDRUGQFU57RNE97
1233527.13000000
USD
6365000.00000000
BRL
2021-07-01
-108904.60000000
N
N
N
SPRINT SPECTRUM / SPEC I
N/A
Sprint Spectrum Company LLC / Sprint Spectrum Co II LLC / Sprint Spectrum Co III LLC
85208NAA8
1315000.00000000
PA
USD
1324862.50000000
0.149801928980
Long
DBT
CORP
US
N
2
2021-09-20
Fixed
3.36000000
N
N
N
N
N
N
UNIV OF VIRGINIA VA UNIV REVEN
N/A
University of Virginia Revenue Bonds
915217XH1
15000.00000000
PA
USD
14936.91000000
0.001688913325
Long
DBT
MUN
US
N
2
2021-08-01
Fixed
2.00000000
N
N
N
N
N
N
ILLINOIS ST FIN AUTH REVENUE
549300ZG6UBPNNNRN315
Illinois Finance Authority Revenue Bonds
45203HPC0
5000.00000000
PA
USD
5151.62000000
0.000582492608
Long
DBT
MUN
US
N
2
2022-05-15
Fixed
4.00000000
N
N
N
N
N
N
Cascade Funding Mortgage Trust
N/A
CFMT 2021-HB5 LLC
12526PAA2
3583280.09650000
PA
USD
3578386.41000000
0.404607411603
Long
ABS-MBS
CORP
US
N
2
2031-02-25
Variable
0.80100000
N
N
N
N
N
N
Goldman Sachs International
W22LROWP2IHZNBB6K528
CURRENCY CONTRACT - Rec ILS / Deliver USD
N/A
6120600.00000000
NC
125977.15000000
0.014244210306
N/A
DFE
US
N
2
Goldman Sachs International
W22LROWP2IHZNBB6K528
1707089.86000000
USD
6120600.00000000
ILS
2021-04-30
125977.15000000
N
N
N
CF Hippolyta Issuer LLC
N/A
CF Hippolyta LLC
12530MAG0
2250000.00000000
PA
USD
2242521.00000000
0.253561385864
Long
ABS-O
CORP
US
N
2
2061-03-15
Fixed
1.98000000
N
N
N
N
N
N
Westcott Park Clo Ltd
549300SXZQ1LGMMQ5793
Westcott Park CLO Ltd.
95753TAE5
5000000.00000000
PA
USD
5000516.00000000
0.565407310341
Long
ABS-O
CORP
KY
N
2
2028-07-20
Floating
1.43400000
N
N
N
N
N
N
JPMorgan Chase Bank, N.A.
7H6GLXDRUGQFU57RNE97
CURRENCY CONTRACT - Rec USD / Deliver JPY
N/A
-217500000.00000000
NC
135915.22000000
0.015367905827
N/A
DFE
US
N
2
JPMorgan Chase Bank, N.A.
7H6GLXDRUGQFU57RNE97
217500000.00000000
JPY
2100509.63000000
USD
2021-04-19
135915.22000000
N
N
N
VIRGINIA ST RESOURCES AUTH INF
N/A
Virginia Resources Authority Revenue Bonds
92818GJY0
5000.00000000
PA
USD
5090.41000000
0.000575571606
Long
DBT
MUN
US
N
2
2021-11-01
Fixed
5.00000000
N
N
N
N
N
N
BofA Securities, Inc.
549300HN4UKV1E2R3U73
3-Month USD LIBOR
N/A
-4500000.00000000
OU
Notional Amount
USD
52441.61000000
0.005929562001
N/A
DIR
US
N
2
BOFA SECURITIES, INC.
549300HN4UKV1E2R3U73
ICE LIBOR USD 3 Month
US0003M
Y
2031-03-16
334.44000000
USD
0.00000000
USD
-4500000.00000000
USD
52107.17000000
N
N
N
MESA AZ EXCISE TAX REVENUE
N/A
City of Mesa Arizona Excise Tax Revenue Revenue Bonds
590494AX8
5000.00000000
PA
USD
5249.38000000
0.000593546311
Long
DBT
MUN
US
N
2
2022-07-01
Fixed
5.00000000
N
N
N
N
N
N
Carlyle Global Market Strategi
N/A
Carlyle Global Market Strategies CLO Ltd.
14310KAS0
4927378.30000000
PA
USD
4919331.40000000
0.556227784403
Long
ABS-O
CORP
KY
N
2
2031-01-15
Floating
1.24100000
N
N
N
N
N
N
SVENSKA HANDELSBANKEN AB
NHBDILHZTYCNBV5UYZ31
Svenska Handelsbanken AB
86960BAU6
2250000.00000000
PA
USD
2251648.67000000
0.254593449623
Long
DBT
CORP
SE
N
2
2021-05-24
Floating
0.64600000
N
N
N
N
N
N
KVK CLO Ltd
5493007VGL59COTLZY21
KVK CLO Ltd.
482739AF6
1027631.57290000
PA
USD
1026652.24000000
0.116083356532
Long
ABS-O
CORP
KY
N
2
2028-01-14
Floating
1.13400000
N
N
N
N
N
N
Citigroup Mortgage Loan Trust
N/A
Citigroup Mortgage Loan Trust
17328BAA2
493048.58870000
PA
USD
502078.63000000
0.056769926897
Long
ABS-MBS
CORP
US
N
2
2049-07-25
Variable
2.72000000
N
N
N
N
N
N
SABRE CORP
F2TJC7HPPHLHU1AQMP98
Sabre GLBL, Inc.
N/A
598453.61000000
PA
USD
590105.18000000
0.066723070707
Long
LON
CORP
US
N
2
2024-02-22
Variable
2.11000000
N
N
N
N
N
N
NewStar Clarendon Fund CLO LLC
549300HC3VVP80NTKX35
NewStar Clarendon Fund CLO LLC
32010AAA6
373633.16870000
PA
USD
373370.17000000
0.042216887933
Long
ABS-O
CORP
US
N
2
2027-01-25
Floating
1.51800000
N
N
N
N
N
N
Neuberger Berman CLO Ltd
549300NPF57YF6WBDP72
Neuberger Berman CLO XX Ltd.
64130TAQ8
1190554.01710000
PA
USD
1188108.38000000
0.134339168903
Long
ABS-O
CORP
KY
N
2
2028-01-15
Floating
1.04100000
N
N
N
N
N
N
Allegro CLO Ltd
N/A
Allegro CLO IX Ltd.
01750NAA7
1500000.00000000
PA
USD
1504387.35000000
0.170100766656
Long
ABS-O
CORP
KY
N
2
2031-10-16
Floating
1.38800000
N
N
N
N
N
N
HCL AMERICA INC
549300CBM0L7W7N2EB94
HCL America, Inc.
40480HAA5
7300000.00000000
PA
USD
7165276.89000000
0.810176376643
Long
DBT
CORP
US
N
2
2026-03-10
Fixed
1.37500000
N
N
N
N
N
N
MOLINE IL
N/A
City of Moline Illinois General Obligation Unlimited
608557VL5
10000.00000000
PA
USD
9977.93000000
0.001128202482
Long
DBT
MUN
US
N
2
2021-06-01
Fixed
5.20000000
N
N
N
N
N
N
NEW YORK CITY NY TRANSITIONAL
N/A
New York City Transitional Finance Authority Future Tax Secured Revenue Revenue Bonds
64971XHV3
350000.00000000
PA
USD
350000.00000000
0.039574427643
Long
DBT
MUN
US
N
2
2042-08-01
Variable
0.07000000
N
N
N
N
N
N
LoanCore 2019-CRE2 Issuer, Ltd
N/A
LoanCore Issuer Ltd.
53946JAC8
1300000.00000000
PA
USD
1298702.34000000
0.146844005097
Long
ABS-O
CORP
KY
N
2
2036-05-15
Floating
1.60600000
N
N
N
N
N
N
FIDELITY NATL INFO SERV
6WQI0GK1PRFVBA061U48
Fidelity National Information Services, Inc.
31620MBQ8
8200000.00000000
PA
USD
8155177.57000000
0.922104241885
Long
DBT
CORP
US
N
2
2024-03-01
Fixed
0.60000000
N
N
N
N
N
N
Citibank, N.A.
E57ODZWZ7FF32TWEFA76
CURRENCY CONTRACT - Rec USD / Deliver BRL
N/A
-400000.00000000
NC
23029.93000000
0.002603989424
N/A
DFE
US
N
2
Citibank, N.A.
E57ODZWZ7FF32TWEFA76
400000.00000000
BRL
93705.34000000
USD
2021-07-01
23029.93000000
N
N
N
INFOR INC
549300Q3IIYBYI4RHD64
Infor, Inc.
45674CAB9
2600000.00000000
PA
USD
2632165.51000000
0.297618410056
Long
DBT
CORP
US
N
2
2023-07-15
Fixed
1.45000000
N
N
N
N
N
N
MEXICO (UNITED MEXICAN STATES) (GOVERNMENT)
N/A
United Mexican States
N/A
84280000.00000000
PA
4106881.61000000
0.464364254609
Long
DBT
NUSS
MX
N
2
2021-05-06
None
0.00000000
N
N
N
N
N
N
SOUTH CAROLINA ST JOBS-ECON DE
5493006X47I9VG3DL112
South Carolina Jobs-Economic Development Authority Revenue Bonds
83703FEM0
5000.00000000
PA
USD
5044.01000000
0.000570325167
Long
DBT
MUN
US
N
2
2021-08-01
Fixed
6.00000000
N
N
N
N
N
N
INTERCONTINENTALEXCHANGE
5493000F4ZO33MV32P92
Intercontinental Exchange, Inc.
45866FAR5
1600000.00000000
PA
USD
1601340.80000000
0.181063273203
Long
DBT
CORP
US
N
2
2023-06-15
Floating
0.83400000
N
N
N
N
N
N
STANDARD CHARTERED PLC
U4LOSYZ7YG4W3S5F2G91
Standard Chartered plc
853254BV1
1350000.00000000
PA
USD
1358572.50000000
0.153613511711
Long
DBT
CORP
GB
N
2
2023-10-14
Variable
1.31900000
N
N
N
N
N
N
Parliament Funding II Ltd
N/A
Parliament Funding II Ltd.
70163QAA6
2000000.00000000
PA
USD
2001787.60000000
0.226341710093
Long
ABS-O
CORP
KY
N
2
2030-08-12
Floating
2.67400000
N
N
N
N
N
N
Barclays Bank plc
G5GSEF7VJP5I7OUK5573
CURRENCY CONTRACT - Rec USD / Deliver JPY
N/A
-429214500.00000000
NC
340325.87000000
0.038480575763
N/A
DFE
US
N
2
BARCLAYS BANK PLC
G5GSEF7VJP5I7OUK5573
429214500.00000000
JPY
4219983.29000000
USD
2021-07-01
340325.87000000
N
N
N
CORNING INC
549300X2937PB0CJ7I56
Corning, Inc.
219350AZ8
927000.00000000
PA
USD
992458.03000000
0.112217024276
Long
DBT
CORP
US
N
2
2023-11-15
Fixed
3.70000000
N
N
N
N
N
N
HERA Commercial Mortgage Ltd
N/A
HERA Commercial Mortgage 2021-FL1 Ltd.
42704RAA9
4250000.00000000
PA
USD
4251679.60000000
0.480736533404
Long
ABS-O
CORP
KY
N
2
2038-02-18
Floating
1.17800000
N
N
N
N
N
N
Greywolf CLO Ltd
5493002TWMA4NNPZ2B66
Greywolf CLO III Ltd.
39809CAL8
1944444.44430000
PA
USD
1938732.25000000
0.219212054705
Long
ABS-O
CORP
KY
N
2
2033-04-15
Floating
0.72200000
N
N
N
N
N
N
NEW YORK ST DORM AUTH REVENUES
549300C8XO7EXTX2XU71
New York State Dormitory Authority Revenue Bonds
649906MB7
25000.00000000
PA
USD
25290.66000000
0.002859609697
Long
DBT
MUN
US
N
2
2021-07-01
Fixed
5.00000000
N
N
N
N
N
N
SOMPO INTL HLDS LTD
N/A
Sompo International Holdings Ltd.
614810AB5
5120000.00000000
PA
USD
5424134.81000000
0.613305801612
Long
DBT
CORP
BM
N
2
2022-10-15
Fixed
4.70000000
N
N
N
N
N
N
Residential Mortgage Loan Trus
N/A
Residential Mortgage Loan Trust
76119CAA9
1996798.87110000
PA
USD
2020247.28000000
0.228428942295
Long
ABS-MBS
CORP
US
N
2
2024-02-25
Variable
2.37600000
N
N
N
N
N
N
MARSH & MCLENNAN COS INC
549300XMP3KDCKJXIU47
Marsh & McLennan Cos., Inc.
571748AR3
200000.00000000
PA
USD
200087.53000000
0.022623855652
Long
DBT
CORP
US
N
2
2021-07-15
Fixed
4.80000000
N
N
N
N
N
N
MARYLAND ST HLTH & HGR EDUCTNL
N/A
Maryland Health & Higher Educational Facilities Authority Revenue Bonds
574218HJ5
30000.00000000
PA
USD
31425.16000000
0.003553236344
Long
DBT
MUN
US
N
2
2022-07-01
Fixed
4.00000000
N
N
N
N
N
N
SEATTLE WA HSG AUTH POOLED HSG
5493003LM6XXXMFX5M88
Seattle Housing Authority Revenue Bonds
812639AX0
50000.00000000
PA
USD
50892.37000000
0.005754389754
Long
DBT
MUN
US
N
2
2021-12-01
Fixed
2.87500000
N
N
N
N
N
N
SILGAN HOLDINGS INC
KAF673KJXD92C8KSLU49
Silgan Holdings, Inc.
827048AX7
2350000.00000000
PA
USD
2300062.50000000
0.260067591373
Long
DBT
CORP
US
N
2
2026-04-01
Fixed
1.40000000
N
N
N
N
N
N
Fortress Credit Opportunities
254900FRBH7KBHJT7O18
Fortress Credit Opportunities XI CLO Ltd.
34961WAC9
1800000.00000000
PA
USD
1783248.12000000
0.201631496269
Long
ABS-O
CORP
KY
N
2
2031-04-15
Floating
1.54100000
N
N
N
N
N
N
ALEXANDER FUNDING TRUST
N/A
Alexander Funding Trust
014621AA4
4300000.00000000
PA
USD
4365617.48000000
0.493619465940
Long
DBT
CORP
US
N
2
2023-11-15
Fixed
1.84100000
N
N
N
N
N
N
HOUSTON TX HGR EDU FIN CORP
N/A
Houston Higher Education Finance Corp. Revenue Bonds
442378FA8
25000.00000000
PA
USD
26679.74000000
0.003016672686
Long
DBT
MUN
US
N
2
2022-09-01
Fixed
5.00000000
N
N
N
N
N
N
Citibank, N.A.
E57ODZWZ7FF32TWEFA76
CURRENCY CONTRACT - Rec USD / Deliver EUR
N/A
-14125000.00000000
NC
439040.47000000
0.049642215178
N/A
DFE
US
N
2
Citibank, N.A.
E57ODZWZ7FF32TWEFA76
14125000.00000000
EUR
17003166.50000000
USD
2021-04-08
439040.47000000
N
N
N
VB-S1 Issuer LLC
N/A
VB-S1 Issuer LLC
91823AAN1
6050000.00000000
PA
USD
6331312.90000000
0.715880240703
Long
ABS-O
CORP
US
N
2
2050-06-15
Fixed
3.03100000
N
N
N
N
N
N
UBS AG
BFM8T61CT2L1QCEMIK50
CURRENCY CONTRACT - Rec USD / Deliver ILS
N/A
-33289600.00000000
NC
300244.92000000
0.033948631033
N/A
DFE
US
N
2
UBS AG
BFM8T61CT2L1QCEMIK50
33289600.00000000
ILS
10270193.56000000
USD
2021-04-30
300244.92000000
N
N
N
RASPRO TRUST
N/A
Raspro Trust
75405RAC7
373311.30250000
PA
USD
370384.92000000
0.041879346333
Long
ABS-O
CORP
US
N
2
2024-03-23
Floating
1.14900000
N
N
N
N
N
N
BXMT Ltd
N/A
BXMT Ltd.
05608XAC6
2500000.00000000
PA
USD
2513778.75000000
0.284232443578
Long
ABS-O
CORP
KY
N
2
2037-03-15
Floating
1.85800000
N
N
N
N
N
N
ISRAEL (STATE OF)
N/A
State of Israel
N/A
81180000.00000000
PA
24319497.65000000
2.749800571611
Long
DBT
NUSS
IL
N
2
2021-04-30
Fixed
1.00000000
N
N
N
N
N
N
Citibank, N.A.
E57ODZWZ7FF32TWEFA76
CURRENCY CONTRACT - Rec USD / Deliver ILS
N/A
-3423900.00000000
NC
-11300.27000000
-0.00127771919
N/A
DFE
US
N
2
Citibank, N.A.
E57ODZWZ7FF32TWEFA76
3423900.00000000
ILS
1014128.31000000
USD
2021-04-30
-11300.27000000
N
N
N
FIRSTKEY REVOLVING TRUST FKRT_20-C2
N/A
FKRT
N/A
3066689.01030000
PA
USD
3070369.04000000
0.347165992602
Long
ABS-MBS
CORP
US
Y
3
2023-12-30
Fixed
3.25000000
N
N
N
N
N
N
Citibank, N.A.
E57ODZWZ7FF32TWEFA76
CURRENCY CONTRACT - Rec USD / Deliver JPY
N/A
-464232000.00000000
NC
374922.64000000
0.042392425395
N/A
DFE
US
N
2
Citibank, N.A.
E57ODZWZ7FF32TWEFA76
464232000.00000000
JPY
4571102.23000000
USD
2021-07-01
374922.64000000
N
N
N
Verus Securitization Trust
N/A
Verus Securitization Trust
92537KAA2
1332526.87170000
PA
USD
1356163.63000000
0.153341141278
Long
ABS-MBS
CORP
US
N
2
2059-11-25
Variable
2.64200000
N
N
N
N
N
N
Dreyfus Treasury Securities Ca
549300U78VESCW509025
Dreyfus Treasury Securities Cash Management Fund - Institutional Shares
N/A
46240865.26000000
NS
USD
46240865.26000000
5.228445075376
Long
STIV
RF
US
N
1
N
N
N
NETFLIX INC
549300Y7VHGU0I7CE873
Netflix, Inc.
64110LAJ5
2700000.00000000
PA
USD
2808000.00000000
0.317499979490
Long
DBT
CORP
US
N
2
2022-02-15
Fixed
5.50000000
N
N
N
N
N
N
GA GLOBAL FUNDING TRUST
54930029I8ROQ4OROZ88
GA Global Funding Trust
36143L2A2
1300000.00000000
PA
USD
1297757.97000000
0.146737225376
Long
DBT
CORP
US
N
2
2026-01-15
Fixed
1.62500000
N
N
N
N
N
N
BREA CA REDEV AGY
N/A
Brea Redevelopment Agency Tax Allocation
106287KW4
15000.00000000
PA
USD
5339.30000000
0.000603713547
Long
DBT
MUN
US
N
2
2021-08-01
None
0.00000000
N
N
N
N
N
N
Goldman Sachs International
W22LROWP2IHZNBB6K528
CURRENCY CONTRACT - Rec USD / Deliver BRL
N/A
-860000.00000000
NC
49523.79000000
0.005599644697
N/A
DFE
US
N
2
Goldman Sachs International
W22LROWP2IHZNBB6K528
860000.00000000
BRL
201475.93000000
USD
2021-07-01
49523.79000000
N
N
N
JPMorgan Chase Bank, N.A.
7H6GLXDRUGQFU57RNE97
CURRENCY CONTRACT - Rec CAD / Deliver USD
N/A
12110000.00000000
NC
36562.13000000
0.004134072480
N/A
DFE
US
N
2
JPMorgan Chase Bank, N.A.
7H6GLXDRUGQFU57RNE97
9601981.61000000
USD
12110000.00000000
CAD
2021-04-07
36562.13000000
N
N
N
ABBVIE INC
FR5LCKFTG8054YNNRU85
AbbVie, Inc.
00287YBY4
1300000.00000000
PA
USD
1300430.63000000
0.147039422490
Long
DBT
CORP
US
N
2
2021-05-21
Floating
0.53200000
N
N
N
N
N
N
FIRST AMERICAN FINANCIAL
549300B6VEZK3N0A1P55
First American Financial Corp.
31847RAF9
500000.00000000
PA
USD
557293.95000000
0.063013111714
Long
DBT
CORP
US
N
2
2024-11-15
Fixed
4.60000000
N
N
N
N
N
N
CONNECTICUT ST HLTH & EDUCTNL
549300ZOQJ5U8YBS5Q35
Connecticut State Health & Educational Facilities Authority Revenue Bonds
20774YCU9
10000.00000000
PA
USD
9990.93000000
0.001129672389
Long
DBT
MUN
US
N
2
2021-07-01
Fixed
4.00000000
N
N
N
N
N
N
Barclays Bank plc
G5GSEF7VJP5I7OUK5573
CURRENCY CONTRACT - Rec USD / Deliver CZK
N/A
-200400.00000000
NC
61.83000000
0.000006991105
N/A
DFE
US
N
2
BARCLAYS BANK PLC
G5GSEF7VJP5I7OUK5573
200400.00000000
CZK
9075.51000000
USD
2021-04-19
61.83000000
N
N
N
TENNANT CO
JYAIRLT8DVP6DP8UT336
Tennant Co.
880345AB9
150000.00000000
PA
USD
154500.00000000
0.017469283059
Long
DBT
CORP
US
N
2
2025-05-01
Fixed
5.62500000
N
N
N
N
N
N
2021-04-30
Guggenheim Funds Trust
John Sullivan
John Sullivan
CFO