0001752724-20-024632.txt : 20200219
0001752724-20-024632.hdr.sgml : 20200219
20200219154637
ACCESSION NUMBER: 0001752724-20-024632
CONFORMED SUBMISSION TYPE: NPORT-P
PUBLIC DOCUMENT COUNT: 1
CONFORMED PERIOD OF REPORT: 20191231
FILED AS OF DATE: 20200219
PERIOD START: 20200630
FILER:
COMPANY DATA:
COMPANY CONFORMED NAME: UBS FUNDS
CENTRAL INDEX KEY: 0000886244
IRS NUMBER: 367056204
STATE OF INCORPORATION: DE
FISCAL YEAR END: 0630
FILING VALUES:
FORM TYPE: NPORT-P
SEC ACT: 1940 Act
SEC FILE NUMBER: 811-06637
FILM NUMBER: 20629445
BUSINESS ADDRESS:
STREET 1: C/O UBS ASSET MANAGEMENT (AMERICAS) INC
STREET 2: ONE NORTH WACKER DR.
CITY: CHICAGO
STATE: IL
ZIP: 60606
BUSINESS PHONE: 312-525-7100
MAIL ADDRESS:
STREET 1: C/O UBS ASSET MANAGEMENT (AMERICAS) INC
STREET 2: ONE NORTH WACKER DR.
CITY: CHICAGO
STATE: IL
ZIP: 60606
FORMER COMPANY:
FORMER CONFORMED NAME: BRINSON FUNDS INC
DATE OF NAME CHANGE: 19920929
0000886244
S000053041
UBS Total Return Bond Fund
C000166868
Class A
UTBAX
C000166870
Class P
UTBPX
NPORT-P
1
primary_doc.xml
NPORT-P
false
0000886244
XXXXXXXX
S000053041
C000166870
C000166868
UBS FUNDS
811-06637
0000886244
549300N85N4CCOEZQJ49
ONE NORTH WACKER DR.
CHICAGO
60606
312-525-7100
UBS Total Return Bond Fund
S000053041
549300OHZ6UI1RKLNQ71
2020-06-30
2019-12-31
N
41498250.57
3264666.35
38233584.22
0
0
0
0
0
0
0
0
0
0
126365.02
0
0
557642.6
AUD
MXN
EUR
GBP
USD
UST
Georgia Power Co
D981X4Z4RWS7PDMJUZ03
Georgia Power Co
373334KJ9
70000.00000000
PA
USD
69971.14000000
0.183009627340
Long
DBT
CORP
US
N
2
2020-09-08
Fixed
2.00000000
N
N
N
N
N
N
Freddie Mac
N/A
Freddie Mac Gold Pool
31335BMH6
97445.26000000
PA
USD
105824.35000000
0.276783754803
Long
ABS-MBS
USGSE
US
N
2
2046-04-01
Fixed
4.50000000
N
N
N
N
N
N
MPLX LP
5493000CZJ19CK4P3G36
MPLX LP
55336VAJ9
70000.00000000
PA
USD
76398.01000000
0.199819115990
Long
DBT
CORP
US
N
2
2025-06-01
Fixed
4.88000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138EMDC2
167630.21000000
PA
USD
181328.12000000
0.474263984659
Long
ABS-MBS
USGSE
US
N
2
2043-12-01
Fixed
4.00000000
N
N
N
N
N
N
Chicago Board of Trade
549300EX04Q2QBFQTQ27
US 10YR ULTRA FUT MAR20 XCBT 20200320
000000000
6.00000000
NC
USD
-10430.64000000
-0.02728135541
N/A
DIR
US
N
1
Chicago Board of Trade
549300EX04Q2QBFQTQ27
Long
US 10 Year Ultra Bond
UXYH0 Comdty
2020-03-20
854649.39
USD
-10430.64
N
N
N
Republic of Ecuador
5299003Y2U5XK0A35H71
Ecuador Government International Bond
000000000
200000.00000000
PA
USD
195000.00000000
0.510022808424
Long
DBT
NUSS
EC
N
2
2029-01-31
Fixed
10.75000000
N
N
N
N
N
N
Morgan Stanley BAML Trust
N/A
Morgan Stanley Bank of America Merrill Lynch Trust 2015-C24
61765LAW0
75000.00000000
PA
USD
79899.84000000
0.208978157894
Long
ABS-MBS
CORP
US
N
2
2048-05-15
Variable
4.04000000
N
N
N
N
N
N
Bank of America, National Association
B4TYDEB6GKMZO031MB27
PURCHASED USD / SOLD EUR
000000000
1.00000000
NC
-398.48000000
-0.00104222507
N/A
DFE
US
N
2
Bank of America, National Association
B4TYDEB6GKMZO031MB27
55000.00000000
EUR
61584.77000000
USD
2020-03-18
-398.48
N
N
N
CIFI HOLDINGS GROUP
549300WGKSV867C0JF48
CIFI Holdings Group Co Ltd
000000000
200000.00000000
PA
USD
200680.00000000
0.524878857407
Long
DBT
CORP
KY
N
2
2023-01-23
Fixed
5.50000000
N
N
N
N
N
N
Starwood Retail Property Trust
5493007115G809OI4R97
Starwood Retail Property Trust 2014-STAR
85571XAN7
125000.00000000
PA
USD
123720.85000000
0.323592078859
Long
ABS-MBS
CORP
US
N
2
2027-11-15
Floating
4.49000000
N
N
N
N
N
N
FREMF Mortgage Trust
N/A
FREMF 2017-K64 Mortgage Trust
30296CAE3
50000.00000000
PA
USD
52809.61000000
0.138123618481
Long
ABS-MBS
USGSE
US
N
2
2050-05-25
Variable
3.98000000
N
N
N
N
N
N
Synchrony Financial
549300RS7EWPM9MA6C78
Synchrony Financial
87165BAG8
90000.00000000
PA
USD
97015.40000000
0.253743932145
Long
DBT
CORP
US
N
2
2025-07-23
Fixed
4.50000000
N
N
N
N
N
N
Drive Auto Receivables Trust
N/A
Drive Auto Receivables Trust 2017-1
26208EAG9
75000.00000000
PA
USD
75761.66000000
0.198154741559
Long
ABS-O
CORP
US
N
2
2023-03-15
Fixed
3.84000000
N
N
N
N
N
N
CCO HLDGS LLC/CAP CORP
N/A
CCO Holdings LLC / CCO Holdings Capital Corp
1248EPBR3
150000.00000000
PA
USD
158062.50000000
0.413412718751
Long
DBT
CORP
US
N
2
2026-05-01
Fixed
5.50000000
N
N
N
N
N
N
Freddie Mac
N/A
Freddie Mac Gold Pool
3132LAEJ7
94425.79000000
PA
USD
98465.70000000
0.257537194089
Long
ABS-MBS
USGSE
US
N
2
2048-09-01
Fixed
4.00000000
N
N
N
N
N
N
JP Morgan Chase Commercial Mortgage Sec Trust
N/A
J.P. Morgan Chase Commercial Mortgage Securities Trust 2018-ASH8
46649JAL2
100000.00000000
PA
USD
99998.74000000
0.261546862634
Long
ABS-MBS
CORP
US
N
2
2035-02-15
Floating
3.79000000
N
N
N
N
N
N
CPS Auto Trust
N/A
CPS Auto Trust
12655CAD8
150000.00000000
PA
USD
154500.42000000
0.404096092877
Long
ABS-O
CORP
US
N
2
2024-06-17
Fixed
4.40000000
N
N
N
N
N
N
Gilead Sciences Inc
549300WTZWR07K8MNV44
Gilead Sciences Inc
375558BF9
75000.00000000
PA
USD
80651.57000000
0.210944308898
Long
DBT
CORP
US
N
2
2026-03-01
Fixed
3.65000000
N
N
N
N
N
N
Santander Drive Auto Receivables Trust
N/A
Santander Drive Auto Receivables Trust 2017-3
80284YAG9
225000.00000000
PA
USD
227732.38000000
0.595634400085
Long
ABS-O
CORP
US
N
2
2023-11-15
Fixed
3.20000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140J7XW0
87213.78000000
PA
USD
91606.47000000
0.239596867175
Long
ABS-MBS
USGSE
US
N
2
2048-01-01
Variable
4.00000000
N
N
N
N
N
N
Microsoft Corp
INR2EJN1ERAN0W5ZP974
Microsoft Corp
594918BL7
60000.00000000
PA
USD
74901.48000000
0.195904939408
Long
DBT
CORP
US
N
2
2045-11-03
Fixed
4.45000000
N
N
N
N
N
N
Citibank, National Association
E57ODZWZ7FF32TWEFA76
PURCHASED USD / SOLD AUD
000000000
1.00000000
NC
-1708.46000000
-0.00446847983
N/A
DFE
US
N
2
Citibank, National Association
E57ODZWZ7FF32TWEFA76
120000.00000000
AUD
82657.68000000
USD
2020-03-18
-1708.46
N
N
N
Ecopetrol SA
254900IDGKCJICKBPA66
Ecopetrol SA
279158AL3
70000.00000000
PA
USD
78487.50000000
0.205284180390
Long
DBT
CORP
CO
N
2
2026-06-26
Fixed
5.38000000
N
N
N
N
N
N
Verus Securitization Trust
N/A
Verus Securitization Trust 2019-3
92537JAA5
157154.97000000
PA
USD
157336.06000000
0.411512713782
Long
ABS-MBS
CORP
US
N
2
2059-07-25
Variable
2.78000000
N
N
N
N
N
N
Dupont De Nemours Inc
5493004JF0SDFLM8GD76
DuPont de Nemours Inc
26078JAD2
100000.00000000
PA
USD
113398.80000000
0.296594740758
Long
DBT
CORP
US
N
2
2028-11-15
Fixed
4.73000000
N
N
N
N
N
N
American Credit Acceptance Receivables Trust
N/A
American Credit Acceptance Receivables Trust 2018-3
02530AAC6
229529.40000000
PA
USD
229919.26000000
0.601354188184
Long
ABS-O
CORP
US
N
2
2022-06-13
Fixed
3.49000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138X0Y36
101365.33000000
PA
USD
104372.88000000
0.272987432722
Long
ABS-MBS
USGSE
US
N
2
2043-07-01
Fixed
3.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31418DC91
270227.94000000
PA
USD
276899.15000000
0.724230164785
Long
ABS-MBS
USGSE
US
N
2
2034-07-01
Fixed
3.00000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36179SJS7
589324.32000000
PA
USD
607963.51000000
1.590129521997
Long
ABS-MBS
USGA
US
N
2
2046-08-20
Fixed
3.00000000
N
N
N
N
N
N
Abbott Laboratories
HQD377W2YR662HK5JX27
Abbott Laboratories
002824BF6
45000.00000000
PA
USD
49137.09000000
0.128518136613
Long
DBT
CORP
US
N
2
2026-11-30
Fixed
3.75000000
N
N
N
N
N
N
ANHEUSER-BUSCH CO/INBEV
N/A
Anheuser-Busch Cos LLC / Anheuser-Busch InBev Worldwide Inc
03522AAJ9
165000.00000000
PA
USD
195135.31000000
0.510376711943
Long
DBT
CORP
US
N
2
2046-02-01
Fixed
4.90000000
N
N
N
N
N
N
Drive Auto Receivables Trust
N/A
Drive Auto Receivables Trust 2017-2
26208FAJ0
7581.45000000
PA
USD
7581.85000000
0.019830340666
Long
ABS-O
CORP
US
N
2
2023-09-15
Fixed
2.75000000
N
N
N
N
N
N
Residential Mortgage Loan Trust
N/A
Residential Mortgage Loan Trust 2019-3
76119NAA5
192415.83000000
PA
USD
191818.13000000
0.501700622406
Long
ABS-MBS
CORP
US
N
2
2059-09-25
Variable
2.63000000
N
N
N
N
N
N
SoFi Consumer Loan Program Trust
N/A
Sofi Consumer Loan Program 2017-6 LLC
83405QAC3
225000.00000000
PA
USD
228887.87000000
0.598656586008
Long
ABS-O
CORP
US
N
2
2026-11-25
Fixed
3.52000000
N
N
N
N
N
N
Goldman Sachs International
W22LROWP2IHZNBB6K528
PURCHASED USD / SOLD GBP
000000000
1.00000000
NC
258.60000000
0.000676368709
N/A
DFE
US
N
2
Goldman Sachs International
W22LROWP2IHZNBB6K528
20000.00000000
GBP
26805.24000000
USD
2020-03-18
258.6
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31418DEK4
94835.63000000
PA
USD
95638.32000000
0.250142177227
Long
ABS-MBS
USGSE
US
N
2
2034-08-01
Fixed
2.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138ERTY6
188040.05000000
PA
USD
199051.42000000
0.520619303841
Long
ABS-MBS
USGSE
US
N
2
2046-06-01
Fixed
3.50000000
N
N
N
N
N
N
Comcast Corp
51M0QTTNCGUN7KFCFZ59
Comcast Corp
20030NCL3
50000.00000000
PA
USD
59471.81000000
0.155548613119
Long
DBT
CORP
US
N
2
2038-10-15
Fixed
4.60000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31418C4B7
36096.85000000
PA
USD
37419.50000000
0.097870761434
Long
ABS-MBS
USGSE
US
N
2
2033-11-01
Fixed
3.50000000
N
N
N
N
N
N
General Motors Co
54930070NSV60J38I987
General Motors Co
37045VAK6
70000.00000000
PA
USD
82461.72000000
0.215678759086
Long
DBT
CORP
US
N
2
2036-04-01
Fixed
6.60000000
N
N
N
N
N
N
Chicago Board of Trade
549300EX04Q2QBFQTQ27
US ULTRA BOND CBT MAR20 XCBT 20200320
000000000
17.00000000
NC
USD
-91798.69000000
-0.24009961888
N/A
DIR
US
N
1
Chicago Board of Trade
549300EX04Q2QBFQTQ27
Long
US Treasury Ultra Long Bond
WNH0 Comdty
2020-03-20
3179954.94
USD
-91798.69
N
N
N
Microsoft Corp
INR2EJN1ERAN0W5ZP974
Microsoft Corp
594918BA1
250000.00000000
PA
USD
253367.47000000
0.662683018526
Long
DBT
CORP
US
N
2
2022-02-12
Fixed
2.38000000
N
N
N
N
N
N
Morgan Stanley Capital I Trust
N/A
Morgan Stanley Capital I 2017-HR2
61691NAN5
100000.00000000
PA
USD
89754.01000000
0.234751755115
Long
ABS-MBS
CORP
US
N
2
2050-12-15
Fixed
2.73000000
N
N
N
N
N
N
KROGER CO
6CPEOKI6OYJ13Q6O7870
Kroger Co/The
501044CK5
25000.00000000
PA
USD
33602.64000000
0.087887758068
Long
DBT
CORP
US
N
2
2038-04-15
Fixed
6.90000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae
21H022614
125000.00000000
PA
USD
125532.23000000
0.328329746114
Long
ABS-MBS
USGA
US
N
2
2050-01-21
Fixed
2.50000000
N
N
N
N
N
N
AEP Texas Inc
N/A
AEP Texas Inc
00108WAJ9
50000.00000000
PA
USD
55313.33000000
0.144672102101
Long
DBT
CORP
US
N
2
2049-05-01
Fixed
4.15000000
N
N
N
N
N
N
Marathon Oil Corp
1FRVQX2CRLGC1XLP5727
Marathon Oil Corp
565849AP1
75000.00000000
PA
USD
81479.66000000
0.213110179603
Long
DBT
CORP
US
N
2
2027-07-15
Fixed
4.40000000
N
N
N
N
N
N
retl
N/A
RETL 2019-RVP
74952PAJ6
200000.00000000
PA
USD
200500.28000000
0.524408799463
Long
ABS-MBS
CORP
US
N
2
2036-03-15
Floating
3.84000000
N
N
N
N
N
N
Smithfield Foods Inc
CVTIPZRZJC0JQEZLL598
Smithfield Foods Inc
832248AY4
80000.00000000
PA
USD
80205.46000000
0.209777507487
Long
DBT
CORP
US
N
2
2022-02-01
Fixed
3.35000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31418CRC0
433732.26000000
PA
USD
450878.96000000
1.179274633017
Long
ABS-MBS
USGSE
US
N
2
2047-11-01
Fixed
3.50000000
N
N
N
N
N
N
SABINE PASS LIQUEFACTION
549300KJYBG7C6WJYZ11
Sabine Pass Liquefaction LLC
785592AS5
200000.00000000
PA
USD
219932.96000000
0.575235004739
Long
DBT
CORP
US
N
2
2027-03-15
Fixed
5.00000000
N
N
N
N
N
N
Morgan Stanley
IGJSJL3JD5P30I6NJZ34
Morgan Stanley
61747YDY8
50000.00000000
PA
USD
58637.81000000
0.153367284800
Long
DBT
CORP
US
N
2
2045-01-27
Fixed
4.30000000
N
N
N
N
N
N
UnitedHealth Group Inc
549300GHBMY8T5GXDE41
UnitedHealth Group Inc
91324PCQ3
100000.00000000
PA
USD
121216.15000000
0.317041032047
Long
DBT
CORP
US
N
2
2035-07-15
Fixed
4.63000000
N
N
N
N
N
N
Freddie Mac
N/A
Freddie Mac Gold Pool
3132XSE22
142395.63000000
PA
USD
149852.24000000
0.391938770735
Long
ABS-MBS
USGSE
US
N
2
2047-08-01
Fixed
4.00000000
N
N
N
N
N
N
Eaton Corp
0NZWDMRCE180888QQE14
Eaton Corp
278062AC8
190000.00000000
PA
USD
193770.27000000
0.506806447663
Long
DBT
CORP
US
N
2
2022-11-02
Fixed
2.75000000
N
N
N
N
N
N
Morgan Stanley BAML Trust
N/A
Morgan Stanley Bank of America Merrill Lynch Trust 2016-C32
61691GAV2
273000.00000000
PA
USD
290344.86000000
0.759397440557
Long
ABS-MBS
CORP
US
N
2
2049-12-15
Variable
3.99000000
N
N
N
N
N
N
ROGERS COMMUNICATIONS IN
54930030NVF3Y2OL0A78
Rogers Communications Inc
775109BB6
60000.00000000
PA
USD
72514.69000000
0.189662286388
Long
DBT
CORP
CA
N
2
2044-03-15
Fixed
5.00000000
N
N
N
N
N
N
Morgan Stanley
IGJSJL3JD5P30I6NJZ34
Morgan Stanley
6174824M3
350000.00000000
PA
USD
374959.20000000
0.980706380658
Long
DBT
CORP
US
N
2
2022-11-01
Fixed
4.88000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140J9KD2
152542.25000000
PA
USD
168981.93000000
0.441972505187
Long
ABS-MBS
USGSE
US
N
2
2046-06-01
Fixed
4.50000000
N
N
N
N
N
N
CF Industries Inc
5FVKT86LAD2F40NPC183
CF Industries Inc
12527GAC7
150000.00000000
PA
USD
154362.00000000
0.403734055148
Long
DBT
CORP
US
N
2
2023-06-01
Fixed
3.45000000
N
N
N
N
N
N
Drive Auto Receivables Trust
N/A
Drive Auto Receivables Trust 2018-2
26208JAG8
200000.00000000
PA
USD
204005.34000000
0.533576289437
Long
ABS-O
CORP
US
N
2
2024-08-15
Fixed
4.14000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31387WG92
34428.09000000
PA
USD
38544.19000000
0.100812389908
Long
ABS-MBS
USGSE
US
N
2
2028-11-01
Fixed
6.00000000
N
N
N
N
N
N
Bank of America Corp
9DJT3UXIJIZJI4WXO774
Bank of America Corp
06051GFH7
150000.00000000
PA
USD
161007.75000000
0.421116024784
Long
DBT
CORP
US
N
2
2024-08-26
Fixed
4.20000000
N
N
N
N
N
N
UMBS, TBA
N/A
Uniform Mortgage-Backed Security, TBA
01F022410
150000.00000000
PA
USD
151267.33000000
0.395639940868
Long
ABS-MBS
USGSE
US
N
2
2035-01-15
Fixed
2.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138EMNW7
23131.75000000
PA
USD
25639.23000000
0.067059446617
Long
ABS-MBS
USGSE
US
N
2
2044-02-01
Fixed
4.50000000
N
N
N
N
N
N
DEUTSCHE BANK NY
7LTWFZYICNSX8D621K86
Deutsche Bank AG/New York NY
25160PAC1
150000.00000000
PA
USD
152372.08000000
0.398529416241
Long
DBT
CORP
DE
N
2
2021-02-04
Fixed
4.25000000
N
N
N
N
N
N
ASX - Trade24
549300USWUR0S7VMM868
AUST 3YR BOND FUT MAR20 XSFE 20200316
000000000
-16.00000000
NC
6695.59000000
0.017512326235
N/A
DIR
AU
N
1
ASX - Trade24
549300USWUR0S7VMM868
Short
3 Year Commonwealth Treasury Bond
YMH0 Comdty
2020-03-16
-1849760
AUD
6695.59
N
N
N
KINDER MORGAN INC
549300WR7IX8XE0TBO16
Kinder Morgan Inc/DE
49456BAH4
40000.00000000
PA
USD
47816.10000000
0.125063085178
Long
DBT
CORP
US
N
2
2045-06-01
Fixed
5.55000000
N
N
N
N
N
N
Drive Auto Receivables Trust 2018-1
N/A
Drive Auto Receivables Trust 2018-1
26208GAG4
225000.00000000
PA
USD
228688.38000000
0.598134819597
Long
ABS-O
CORP
US
N
2
2024-05-15
Fixed
3.81000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140J5NB1
70347.22000000
PA
USD
75333.56000000
0.197035045332
Long
ABS-MBS
USGSE
US
N
2
2047-05-01
Fixed
4.50000000
N
N
N
N
N
N
ENERGY TRANSFER OPERATNG
5493008K8W3OKZE54J59
Energy Transfer Operating LP
29278NAN3
50000.00000000
PA
USD
56152.82000000
0.146867789524
Long
DBT
CORP
US
N
2
2027-06-01
Fixed
5.50000000
N
N
N
N
N
N
Marathon Petroleum Corp
3BNYRYQHD39K4LCKQF12
Marathon Petroleum Corp
56585AAH5
70000.00000000
PA
USD
76742.37000000
0.200719790115
Long
DBT
CORP
US
N
2
2044-09-15
Fixed
4.75000000
N
N
N
N
N
N
REPUBLICA ORIENT URUGUAY
549300RDR012H2V82H43
Uruguay Government International Bond
760942AS1
100000.00000000
PA
USD
147812.50000000
0.386603827539
Long
DBT
NUSS
UY
N
2
2036-03-21
Fixed
7.63000000
N
N
N
N
N
N
Alabama Power Co
0RL818ELFOHP5JHOFU19
Alabama Power Co
010392FB9
100000.00000000
PA
USD
137724.38000000
0.360218333723
Long
DBT
CORP
US
N
2
2039-03-01
Fixed
6.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138EPZL1
111988.71000000
PA
USD
118425.26000000
0.309741454838
Long
ABS-MBS
USGSE
US
N
2
2045-06-01
Fixed
3.50000000
N
N
N
N
N
N
United States Treasury
254900HROIFWPRGM1V77
United States Treasury Note/Bond
912828YB0
200000.00000000
PA
USD
194684.24000000
0.509196937644
Long
DBT
UST
US
N
2
2029-08-15
Fixed
1.63000000
N
N
N
N
N
N
Dell Equipment Finance Trust 2017-1
N/A
Dell Equipment Finance Trust 2017-1
24703FAE6
95937.63000000
PA
USD
96008.78000000
0.251111115943
Long
ABS-O
CORP
US
N
2
2022-04-22
Fixed
2.95000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138EQB50
138964.54000000
PA
USD
143690.67000000
0.375823174655
Long
ABS-MBS
USGSE
US
N
2
2043-09-01
Fixed
3.00000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36179QPH8
47736.11000000
PA
USD
50610.11000000
0.132370822753
Long
ABS-MBS
USGA
US
N
2
2044-09-20
Fixed
4.00000000
N
N
N
N
N
N
Freddie Mac
N/A
Freddie Mac Gold Pool
3128MJ2T6
81105.32000000
PA
USD
85265.89000000
0.223013070156
Long
ABS-MBS
USGSE
US
N
2
2047-10-01
Fixed
4.00000000
N
N
N
N
N
N
Santander Drive Auto Receivables Trust
N/A
Santander Drive Auto Receivables Trust 2018-4
80285MAH2
225000.00000000
PA
USD
230203.37000000
0.602097278338
Long
ABS-O
CORP
US
N
2
2025-12-15
Fixed
3.98000000
N
N
N
N
N
N
Barclays PLC
213800LBQA1Y9L22JB70
Barclays PLC
06738EAW5
200000.00000000
PA
USD
215442.93000000
0.563491324172
Long
DBT
CORP
GB
N
2
2028-05-09
Fixed
4.84000000
N
N
N
N
N
N
Cosmopolitan Hotel Trust
N/A
CHT 2017-COSMO Mortgage Trust
12546DAN7
475000.00000000
PA
USD
475431.30000000
1.243491317121
Long
ABS-MBS
CORP
US
N
2
2036-11-15
Floating
4.74000000
N
N
N
N
N
N
AmeriCredit Automobile Receivables Trust
5493003R0K8V08JVGR27
Americredit Automobile Receivables Trust 2018-1
03066HAG2
100000.00000000
PA
USD
103456.00000000
0.270589331632
Long
ABS-O
CORP
US
N
2
2024-03-18
Fixed
3.82000000
N
N
N
N
N
N
Republic of South Africa
549300KEVMSOSY8T8R35
Republic of South Africa Government Bond
000000000
1900000.00000000
PA
118783.91000000
0.310679504480
Long
DBT
NUSS
ZA
N
2
2048-02-28
Fixed
8.75000000
N
N
N
N
N
N
Freddie Mac
N/A
Freddie Mac Gold Pool
3128MJ2H2
17089.92000000
PA
USD
17974.73000000
0.047012934744
Long
ABS-MBS
USGSE
US
N
2
2047-08-01
Fixed
4.00000000
N
N
N
N
N
N
Chicago Board of Trade
549300EX04Q2QBFQTQ27
US 10YR NOTE (CBT)MAR20 XCBT 20200320
000000000
-5.00000000
NC
USD
5684.66000000
0.014868237221
N/A
DIR
US
N
1
Chicago Board of Trade
549300EX04Q2QBFQTQ27
Short
10 Year US Treasury Note
TYH0 Comdty
2020-03-20
-647794.04
USD
5684.66
N
N
N
Barclays Commercial Mortgage Securities LLC
N/A
BBCMS Trust 2015-SRCH
05547HAJ0
135000.00000000
PA
USD
147250.51000000
0.385133941805
Long
ABS-MBS
CORP
US
N
2
2035-08-10
Fixed
4.50000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36179QPF2
73339.18000000
PA
USD
75928.28000000
0.198590536432
Long
ABS-MBS
USGA
US
N
2
2044-09-20
Fixed
3.00000000
N
N
N
N
N
N
Santander Drive Auto Receivables Trust
N/A
Santander Drive Auto Receivables Trust 2017-2
80285LAF8
100000.00000000
PA
USD
101106.81000000
0.264445021471
Long
ABS-O
CORP
US
N
2
2023-07-17
Fixed
3.49000000
N
N
N
N
N
N
Southern Copper Corp
2549007U6NAP46Q9TU15
Southern Copper Corp
84265VAE5
90000.00000000
PA
USD
120093.75000000
0.314105393072
Long
DBT
CORP
US
N
2
2040-04-16
Fixed
6.75000000
N
N
N
N
N
N
BURLINGTN NORTH SANTA FE
N/A
Burlington Northern Santa Fe LLC
12189LAP6
100000.00000000
PA
USD
127285.54000000
0.332915531192
Long
DBT
CORP
US
N
2
2043-09-01
Fixed
5.15000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31418CWT7
18197.06000000
PA
USD
19016.00000000
0.049736378076
Long
ABS-MBS
USGSE
US
N
2
2048-05-01
Fixed
4.00000000
N
N
N
N
N
N
Liberty Mutual Group Inc
QUR0DG15Z6FFGYCHH861
Liberty Mutual Group Inc
53079EBE3
45000.00000000
PA
USD
47789.46000000
0.124993408216
Long
DBT
CORP
US
N
2
2023-06-15
Fixed
4.25000000
N
N
N
N
N
N
Deephaven Residential Mortgage Trust
N/A
Deephaven Residential Mortgage Trust 2018-3
24381KAA2
152037.56000000
PA
USD
152900.27000000
0.399910898021
Long
ABS-MBS
CORP
US
N
2
2058-08-25
Variable
3.79000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138WBQU2
113413.03000000
PA
USD
125721.08000000
0.328823683588
Long
ABS-MBS
USGSE
US
N
2
2044-04-01
Fixed
4.50000000
N
N
N
N
N
N
Prudential Financial Inc
5PRBRS5FEH7NREC8OR45
Prudential Financial Inc
74432QBN4
50000.00000000
PA
USD
70129.86000000
0.183424759751
Long
DBT
CORP
US
N
2
2040-06-21
Fixed
6.63000000
N
N
N
N
N
N
Texas Instruments Inc
WDJNR2L6D8RWOEB8T652
Texas Instruments Inc
882508BA1
220000.00000000
PA
USD
219784.96000000
0.574847910505
Long
DBT
CORP
US
N
2
2022-05-15
Fixed
1.85000000
N
N
N
N
N
N
Bank of America, National Association
B4TYDEB6GKMZO031MB27
PURCHASED MXN / SOLD USD
000000000
1.00000000
NC
1293.96000000
0.003384354426
N/A
DFE
MX
N
2
Bank of America, National Association
B4TYDEB6GKMZO031MB27
296839.44000000
USD
5700000.00000000
MXN
2020-03-18
1293.96
N
N
N
Illinois Tool Works Inc
76NA4I14SZCFAYMNSV04
Illinois Tool Works Inc
452308AX7
80000.00000000
PA
USD
82069.48000000
0.214652854746
Long
DBT
CORP
US
N
2
2026-11-15
Fixed
2.65000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31418CUH5
233133.27000000
PA
USD
239892.16000000
0.627438323908
Long
ABS-MBS
USGSE
US
N
2
2033-02-01
Fixed
3.00000000
N
N
N
N
N
N
Citigroup Commercial Mortgage Trust
N/A
Citigroup Commercial Mortgage Trust 2017-P8
17326DAM4
300000.00000000
PA
USD
248495.10000000
0.649939327085
Long
ABS-MBS
CORP
US
N
2
2050-09-15
Fixed
3.00000000
N
N
N
N
N
N
Comcast Corp
51M0QTTNCGUN7KFCFZ59
Comcast Corp
20030NCC3
88000.00000000
PA
USD
96783.29000000
0.253136848073
Long
DBT
CORP
US
N
2
2047-11-01
Fixed
3.97000000
N
N
N
N
N
N
AT&T Inc
549300Z40J86GGSTL398
AT&T Inc
00206RGQ9
266000.00000000
PA
USD
295517.85000000
0.772927404084
Long
DBT
CORP
US
N
2
2030-02-15
Fixed
4.30000000
N
N
N
N
N
N
Rosslyn Portfolio Trust 2017 ROSS
N/A
Rosslyn Portfolio Trust 2017-ROSS
77846EAL9
275000.00000000
PA
USD
276327.73000000
0.722735614871
Long
ABS-MBS
CORP
US
N
2
2033-06-15
Floating
4.74000000
N
N
N
N
N
N
Capital Auto Receivables Asset Trust / Ally
N/A
Capital Auto Receivables Asset Trust 2015-4
13974LAG3
81280.75000000
PA
USD
81342.77000000
0.212752143591
Long
ABS-O
CORP
US
N
2
2021-05-20
Fixed
3.62000000
N
N
N
N
N
N
COUNTRY GARDEN HLDGS
549300MGHLPT1EFHGF84
Country Garden Holdings Co Ltd
AU5885663
200000.00000000
PA
USD
218955.22000000
0.572677724223
Long
DBT
CORP
KY
N
2
2024-01-27
Fixed
8.00000000
N
N
N
N
N
N
BROADCOM CRP / CAYMN FI
N/A
Broadcom Corp / Broadcom Cayman Finance Ltd
11134LAP4
30000.00000000
PA
USD
30348.82000000
0.079377386711
Long
DBT
CORP
US
N
2
2025-01-15
Fixed
3.13000000
N
N
N
N
N
N
Hilton USA Trust
N/A
Hilton USA Trust 2016-SFP
43289VAQ6
125000.00000000
PA
USD
125202.19000000
0.327466525972
Long
ABS-MBS
CORP
US
N
2
2035-11-05
Fixed
5.52000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31418BU79
138213.68000000
PA
USD
146763.09000000
0.383859094024
Long
ABS-MBS
USGSE
US
N
2
2045-09-01
Fixed
4.00000000
N
N
N
N
N
N
AEP Texas Inc
N/A
AEP Texas Inc
0010EPAF5
50000.00000000
PA
USD
67443.01000000
0.176397299327
Long
DBT
CORP
US
N
2
2033-02-15
Fixed
6.65000000
N
N
N
N
N
N
SUNOCO LOGISTICS PARTNER
5493006LL0CKP8WQW329
Sunoco Logistics Partners Operations LP
86765BAV1
50000.00000000
PA
USD
54217.73000000
0.141806558569
Long
DBT
CORP
US
N
2
2047-10-01
Fixed
5.40000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36179QGD7
12529.97000000
PA
USD
13294.04000000
0.034770582646
Long
ABS-MBS
USGA
US
N
2
2044-06-20
Fixed
4.00000000
N
N
N
N
N
N
Eurex Deutschland
529900LN3S50JPU47S06
EURO-BUND FUTURE MAR20 XEUR 20200306
000000000
-4.00000000
NC
12607.91000000
0.032976008546
N/A
DIR
DE
N
1
Eurex Deutschland
529900LN3S50JPU47S06
Short
Euro-Bund (FGBL)
RXH0 Comdty
2020-03-06
-693200
EUR
12607.91
N
N
N
PETROBRAS GLOBAL FINANCE
549300FNENFFSMO3GT38
Petrobras Global Finance BV
71647NAS8
250000.00000000
PA
USD
304500.00000000
0.796420231615
Long
DBT
CORP
NL
N
2
2027-01-17
Fixed
7.38000000
N
N
N
N
N
N
TEACHERS INSUR & ANNUITY
O06XD7BJ4EPXNABVFN69
Teachers Insurance & Annuity Association of America
878091BF3
60000.00000000
PA
USD
68033.25000000
0.177941072980
Long
DBT
CORP
US
N
2
2047-05-15
Fixed
4.27000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36179RD89
11998.94000000
PA
USD
12693.16000000
0.033198980056
Long
ABS-MBS
USGA
US
N
2
2045-05-20
Fixed
4.00000000
N
N
N
N
N
N
GS Mortgage Securities Trust
N/A
GS Mortgage Securities Corp Trust 2017-SLP
36255MAN7
225000.00000000
PA
USD
226674.97000000
0.592868742558
Long
ABS-MBS
CORP
US
N
2
2032-10-10
Variable
4.59000000
N
N
N
N
N
N
United States Treasury
254900HROIFWPRGM1V77
United States Treasury Inflation Indexed Bonds
912810SG4
66470.30000000
PA
USD
73838.06000000
0.193123562716
Long
DBT
UST
US
N
2
2049-02-15
Fixed
1.00000000
N
N
N
N
N
N
Union Pacific Corp
549300LMMRSZZCZ8CL11
Union Pacific Corp
907818EF1
40000.00000000
PA
USD
43414.10000000
0.113549647216
Long
DBT
CORP
US
N
2
2045-11-15
Fixed
4.05000000
N
N
N
N
N
N
Morgan Stanley BAML Trust
N/A
Morgan Stanley Bank of America Merrill Lynch Trust 2015-C24
61765LAU4
100000.00000000
PA
USD
106412.14000000
0.278321120477
Long
ABS-MBS
CORP
US
N
2
2048-05-15
Fixed
3.73000000
N
N
N
N
N
N
GOLDMAN SACHS GROUP INC
784F5XWPLTWKTBV3E584
Goldman Sachs Group Inc/The
38141GGS7
305000.00000000
PA
USD
327293.01000000
0.856035385321
Long
DBT
CORP
US
N
2
2022-01-24
Fixed
5.75000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31405XRA3
26800.04000000
PA
USD
30115.68000000
0.078767608672
Long
ABS-MBS
USGSE
US
N
2
2034-11-01
Fixed
5.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138WQAW2
74805.66000000
PA
USD
77006.72000000
0.201411197958
Long
ABS-MBS
USGSE
US
N
2
2043-05-01
Fixed
3.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31418CAF1
529057.99000000
PA
USD
540990.31000000
1.414961011468
Long
ABS-MBS
USGSE
US
N
2
2046-08-01
Fixed
3.00000000
N
N
N
N
N
N
Republic of Indonesia
529900FWX0GRR7WG5W79
Indonesia Government International Bond
455780AX4
100000.00000000
PA
USD
135937.50000000
0.355544746257
Long
DBT
NUSS
ID
N
2
2037-02-17
Fixed
6.63000000
N
N
N
N
N
N
Boston Properties LP
BVHHEFJI6SHNOKQT2572
Boston Properties LP
10112RAY0
210000.00000000
PA
USD
212783.26000000
0.556534953081
Long
DBT
US
N
2
2026-10-01
Fixed
2.75000000
N
N
N
N
N
N
REPUBLIC OF PANAMA
549300SHS4T08CL0LP14
Panama Government International Bond
698299BL7
50000.00000000
PA
USD
53825.00000000
0.140779372632
Long
DBT
NUSS
PA
N
2
2060-07-23
Fixed
3.87000000
N
N
N
N
N
N
Biogen Inc
W8J5WZB5IY3K0NDQT671
Biogen Inc
09062XAF0
100000.00000000
PA
USD
108673.00000000
0.284234403383
Long
DBT
CORP
US
N
2
2025-09-15
Fixed
4.05000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140Q7JJ7
89694.72000000
PA
USD
94420.48000000
0.246956914781
Long
ABS-MBS
USGSE
US
N
2
2047-08-01
Fixed
4.00000000
N
N
N
N
N
N
FREMF Mortgage Trust
N/A
FREMF 2017-K724 Mortgage Trust
30295XAS7
265000.00000000
PA
USD
270340.12000000
0.707075011446
Long
ABS-MBS
USGSE
US
N
2
2023-11-25
Variable
3.49000000
N
N
N
N
N
N
ONCOR ELECTRIC DELIVERY
549300SP2X2BS1KERD24
Oncor Electric Delivery Co LLC
68233JBB9
50000.00000000
PA
USD
54200.74000000
0.141762121197
Long
DBT
CORP
US
N
2
2045-04-01
Fixed
3.75000000
N
N
N
N
N
N
CVS Health Corp
549300EJG376EN5NQE29
CVS Health Corp
126650CX6
120000.00000000
PA
USD
130948.25000000
0.342495354990
Long
DBT
CORP
US
N
2
2028-03-25
Fixed
4.30000000
N
N
N
N
N
N
New Residential Advance Receivables Trust Advance
N/A
New Residential Advance Receivables Trust Advance Receivables Backed 2019-T5
62942QCL5
300000.00000000
PA
USD
299994.15000000
0.784635173814
Long
ABS-O
CORP
US
N
2
2051-10-15
Fixed
2.42000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140JPF83
136668.18000000
PA
USD
145787.00000000
0.381306129085
Long
ABS-MBS
USGSE
US
N
2
2049-02-01
Fixed
4.50000000
N
N
N
N
N
N
JPMBB Commercial Mortgage Securities Trust
N/A
JPMBB Commercial Mortgage Securities Trust 2015-C30
46644UBA5
170000.00000000
PA
USD
181886.91000000
0.475725500788
Long
ABS-MBS
CORP
US
N
2
2048-07-15
Fixed
3.82000000
N
N
N
N
N
N
Citigroup Inc
6SHGI4ZSSLCXXQSBB395
Citigroup Inc
172967HB0
300000.00000000
PA
USD
342702.06000000
0.896337779968
Long
DBT
CORP
US
N
2
2025-09-13
Fixed
5.50000000
N
N
N
N
N
N
Benchmark Mortgage Trust
N/A
Benchmark 2018-B4 Mortgage Trust
08161HAQ3
100000.00000000
PA
USD
88447.91000000
0.231335648499
Long
ABS-MBS
CORP
US
N
2
2051-07-15
Variable
2.81000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31418DKU5
650000.00000000
PA
USD
670224.69000000
1.752973736763
Long
ABS-MBS
USGSE
US
N
2
2050-01-01
Fixed
3.50000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae
21H030617
25000.00000000
PA
USD
25662.97000000
0.067121538625
Long
ABS-MBS
USGA
US
N
2
2050-01-21
Fixed
3.00000000
N
N
N
N
N
N
COMM Mortgage Trust
N/A
COMM 2015-CCRE24 Mortgage Trust
12593JBL9
150000.00000000
PA
USD
139307.16000000
0.364358097316
Long
ABS-MBS
CORP
US
N
2
2048-08-10
Variable
3.46000000
N
N
N
N
N
N
DELL INT LLC / EMC CORP
N/A
Dell International LLC / EMC Corp
25272KAD5
100000.00000000
PA
USD
102888.91000000
0.269106106840
Long
DBT
CORP
US
N
2
2021-06-15
Fixed
4.42000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140X4GZ3
64824.14000000
PA
USD
66744.85000000
0.174571260742
Long
ABS-MBS
USGSE
US
N
2
2049-07-01
Fixed
3.50000000
N
N
N
N
N
N
United States Treasury
254900HROIFWPRGM1V77
United States Treasury Inflation Indexed Bonds
9128286N5
413217.45000000
PA
USD
419875.28000000
1.098184458940
Long
DBT
UST
US
N
2
2024-04-15
Fixed
0.50000000
N
N
N
N
N
N
HSBC Holdings PLC
MLU0ZO3ML4LN2LL2TL39
HSBC Holdings PLC
404280AV1
260000.00000000
PA
USD
264068.37000000
0.690671239401
Long
DBT
CORP
GB
N
2
2021-03-08
Fixed
3.40000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31405MW37
113290.35000000
PA
USD
124123.52000000
0.324645262881
Long
ABS-MBS
USGSE
US
N
2
2034-09-01
Fixed
5.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138AAYW5
38098.75000000
PA
USD
40855.10000000
0.106856578668
Long
ABS-MBS
USGSE
US
N
2
2041-03-01
Fixed
4.00000000
N
N
N
N
N
N
Biogen Inc
W8J5WZB5IY3K0NDQT671
Biogen Inc
09062XAD5
50000.00000000
PA
USD
60216.93000000
0.157497475657
Long
DBT
CORP
US
N
2
2045-09-15
Fixed
5.20000000
N
N
N
N
N
N
FISERV INC
GI7UBEJLXYLGR2C7GV83
Fiserv Inc
337738AT5
60000.00000000
PA
USD
62061.96000000
0.162323154541
Long
DBT
CORP
US
N
2
2026-07-01
Fixed
3.20000000
N
N
N
N
N
N
State Street Global Advisors
549300BZ5TGIFZUZDZ37
State Street Institutional US Government Money Market Fund
857492706
945244.54000000
NS
USD
945244.54000000
2.472288589426
Long
STIV
RF
US
N
2
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31418B3S3
146542.96000000
PA
USD
149985.40000000
0.392287050926
Long
ABS-MBS
USGSE
US
N
2
2046-05-01
Fixed
3.00000000
N
N
N
N
N
N
Republic of Turkey
5493000PCHOG3B6S3Q85
Turkey Government International Bond
900123AY6
100000.00000000
PA
USD
103375.00000000
0.270377476004
Long
DBT
NUSS
TR
N
2
2036-03-17
Fixed
6.88000000
N
N
N
N
N
N
Bank
N/A
BANK 2017-BNK7
06541XAL4
100000.00000000
PA
USD
103572.02000000
0.270892782125
Long
ABS-MBS
CORP
US
N
2
2060-09-15
Variable
4.05000000
N
N
N
N
N
N
PETROLEOS MEXICANOS
549300CAZKPF4HKMPX17
Petroleos Mexicanos
71654QCW0
300000.00000000
PA
USD
328713.00000000
0.859749371412
Long
DBT
CORP
MX
N
2
2050-01-23
Fixed
7.69000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138ERT91
21318.56000000
PA
USD
23210.61000000
0.060707387166
Long
ABS-MBS
USGSE
US
N
2
2046-08-01
Fixed
4.50000000
N
N
N
N
N
N
WELLS FARGO & COMPANY
PBLD0EJDB5FWOLXP3B76
Wells Fargo & Co
95000U2F9
70000.00000000
PA
USD
72558.16000000
0.189775982242
Long
DBT
CORP
US
N
2
2027-06-17
Variable
3.20000000
N
N
N
N
N
N
UMBS, TBA
N/A
Uniform Mortgage-Backed Security, TBA
01F032617
675000.00000000
PA
USD
694001.61000000
1.815162308630
Long
ABS-MBS
USGSE
US
N
2
2050-01-15
Fixed
3.50000000
N
N
N
N
N
N
KINDER MORGAN INC/DELAWA
549300WR7IX8XE0TBO16
Kinder Morgan Inc/DE
28336LBV0
100000.00000000
PA
USD
103053.36000000
0.269536226075
Long
DBT
CORP
US
N
2
2020-09-15
Fixed
6.50000000
N
N
N
N
N
N
JPMDB Commercial Mortgage Securities Trust
N/A
JPMDB Commercial Mortgage Securities Trust 2016-C2
46590LAE2
175000.00000000
PA
USD
159151.65000000
0.416261392299
Long
ABS-MBS
CORP
US
N
2
2049-06-15
Variable
3.40000000
N
N
N
N
N
N
Dell Equipment Finance Trust 2018-1
N/A
Dell Equipment Finance Trust 2018-1
24704AAG1
120000.00000000
PA
USD
121789.68000000
0.318541100670
Long
ABS-O
CORP
US
N
2
2024-06-24
Fixed
3.85000000
N
N
N
N
N
N
Angel Oak Mortgage Trust
N/A
Angel Oak Mortgage Trust I LLC 2019-4
03463UAA5
237713.08000000
PA
USD
238366.93000000
0.623449082430
Long
ABS-MBS
CORP
US
N
2
2049-07-26
Variable
2.99000000
N
N
N
N
N
N
CANADIAN NATL RESOURCES
549300T15RIMIKZC5Q38
Canadian Natural Resources Ltd
136385AY7
50000.00000000
PA
USD
60619.76000000
0.158551078159
Long
DBT
CORP
CA
N
2
2047-06-01
Fixed
4.95000000
N
N
N
N
N
N
JPMBB Commercial Mortgage Securities Trust
N/A
JPMBB Commercial Mortgage Securities Trust 2014-C26
46643TBE1
200000.00000000
PA
USD
210025.48000000
0.549321975129
Long
ABS-MBS
CORP
US
N
2
2048-01-15
Fixed
3.80000000
N
N
N
N
N
N
Liberty Mutual Group Inc
QUR0DG15Z6FFGYCHH861
Liberty Mutual Group Inc
53079EBG8
155000.00000000
PA
USD
172988.99000000
0.452452976955
Long
DBT
CORP
US
N
2
2029-02-01
Fixed
4.57000000
N
N
N
N
N
N
Drive Auto Receivables Trust
N/A
Drive Auto Receivables Trust
26208KAG5
300000.00000000
PA
USD
307392.48000000
0.803985517630
Long
ABS-O
CORP
US
N
2
2024-09-16
Fixed
4.30000000
N
N
N
N
N
N
Nabors Industries Inc
549300VFQWRKICUFNU92
Nabors Industries Inc
629568AX4
150000.00000000
PA
USD
149062.50000000
0.389873204516
Long
DBT
CORP
US
N
2
2021-09-15
Fixed
4.63000000
N
N
N
N
N
N
AbbVie Inc
FR5LCKFTG8054YNNRU85
AbbVie Inc
00287YAT6
200000.00000000
PA
USD
200300.06000000
0.523885123736
Long
DBT
CORP
US
N
2
2020-05-14
Fixed
2.50000000
N
N
N
N
N
N
COMM Mortgage Trust
N/A
COMM 2017-COR2 Mortgage Trust
12595EAH8
200000.00000000
PA
USD
211892.32000000
0.554204698101
Long
ABS-MBS
CORP
US
N
2
2050-09-10
Variable
4.56000000
N
N
N
N
N
N
NOVA Chemicals Corp
5493007M1XGU5E55ZJ25
NOVA Chemicals Corp
66977WAN9
210000.00000000
PA
USD
214470.90000000
0.560948978170
Long
DBT
CORP
CA
N
2
2023-08-01
Fixed
5.25000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31419BW68
126888.81000000
PA
USD
136098.28000000
0.355965266601
Long
ABS-MBS
USGSE
US
N
2
2040-09-01
Fixed
4.00000000
N
N
N
N
N
N
NCR Corp
549300YKTY8JX1DV2R67
NCR Corp
62886EAJ7
40000.00000000
PA
USD
40425.00000000
0.105731651438
Long
DBT
CORP
US
N
2
2022-07-15
Fixed
5.00000000
N
N
N
N
N
N
Exeter Automobile Receivables Trust
N/A
Exeter Automobile Receivables Trust 2018-1
301656AG9
100000.00000000
PA
USD
101479.10000000
0.265418746555
Long
ABS-O
CORP
US
N
2
2023-11-15
Fixed
3.53000000
N
N
N
N
N
N
General Electric Co
3C7474T6CDKPR9K6YT90
General Electric Co
369604BQ5
99000.00000000
PA
USD
96966.54000000
0.253616138738
Long
DBT
CORP
US
N
2
2021-01-21
Variable
5.00000000
N
N
N
N
N
N
Ashford Hospitality Trust
N/A
Ashford Hospitality Trust 2018-ASHF
04410RAL0
100000.00000000
PA
USD
99749.03000000
0.260893745734
Long
ABS-MBS
CORP
US
N
2
2035-04-15
Floating
3.84000000
N
N
N
N
N
N
Lloyds Banking Group PLC
549300PPXHEU2JF0AM85
Lloyds Banking Group PLC
539439AM1
200000.00000000
PA
USD
216382.74000000
0.565949398714
Long
DBT
CORP
GB
N
2
2025-12-10
Fixed
4.58000000
N
N
N
N
N
N
Capital Auto Receivables Asset Trust / Ally
N/A
Capital Auto Receivables Asset Trust 2016-2
13974MAE6
28738.61000000
PA
USD
28735.46000000
0.075157641079
Long
ABS-O
CORP
US
N
2
2021-03-22
Fixed
2.11000000
N
N
N
N
N
N
VERIZON COMMUNICATIONS
2S72QS2UO2OESLG6Y829
Verizon Communications Inc
92343VDU5
140000.00000000
PA
USD
175433.29000000
0.458846047471
Long
DBT
CORP
US
N
2
2037-03-16
Fixed
5.25000000
N
N
N
N
N
N
United States Treasury
254900HROIFWPRGM1V77
United States Treasury Note/Bond
9128286T2
275000.00000000
PA
USD
285608.30000000
0.747008960385
Long
DBT
UST
US
N
2
2029-05-15
Fixed
2.38000000
N
N
N
N
N
N
LYB INTL FINANCE BV
549300J6QSW38QNOJK61
LYB International Finance BV
50247VAC3
50000.00000000
PA
USD
56185.54000000
0.146953368736
Long
DBT
CORP
NL
N
2
2044-03-15
Fixed
4.88000000
N
N
N
N
N
RR Donnelley & Sons Co
SU4X0P4WWRGOQDTSV032
RR Donnelley & Sons Co
74978DAA2
36000.00000000
PA
USD
37260.00000000
0.097453588932
Long
DBT
CORP
US
N
2
2021-03-15
Fixed
7.88000000
N
N
N
N
N
N
OneMain Direct Auto Receivables Trust
N/A
OneMain Direct Auto Receivables Trust 2018-1
68268XAC5
300000.00000000
PA
USD
306754.50000000
0.802316879931
Long
ABS-O
CORP
US
N
2
2025-10-14
Fixed
3.85000000
N
N
N
N
N
N
Verus Securitization Trust
N/A
Verus Securitization Trust 2019-1
92537DAA8
161516.93000000
PA
USD
163154.79000000
0.426731611300
Long
ABS-MBS
CORP
US
N
2
2059-02-25
Variable
3.84000000
N
N
N
N
N
N
Morgan Stanley BAML Trust
N/A
Morgan Stanley Bank of America Merrill Lynch Trust 2017-C34
61767EAK0
100000.00000000
PA
USD
103997.04000000
0.272004422608
Long
ABS-MBS
CORP
US
N
2
2052-11-15
Variable
4.19000000
N
N
N
N
N
N
CSAIL Commercial Mortgage Trust
N/A
CSAIL 2017-C8 Commercial Mortgage Trust
12595BAK7
141000.00000000
PA
USD
136283.32000000
0.356449239014
Long
ABS-MBS
CORP
US
N
2
2050-06-15
Fixed
4.47000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36225BEA2
8408.47000000
PA
USD
9503.45000000
0.024856288506
Long
ABS-MBS
USGA
US
N
2
2029-05-15
Fixed
6.50000000
N
N
N
N
N
N
Verus Securitization Trust
N/A
Verus Securitization Trust 2019-4
92537KAA2
146831.17000000
PA
USD
146714.29000000
0.383731457547
Long
ABS-MBS
CORP
US
N
2
2059-11-25
Variable
2.64000000
N
N
N
N
N
N
Seagate HDD Cayman
529900BD50TRWEG1SF63
Seagate HDD Cayman
81180WAN1
80000.00000000
PA
USD
83668.25000000
0.218834440209
Long
DBT
CORP
KY
N
2
2034-12-01
Fixed
5.75000000
N
N
N
N
N
N
QUALCOMM Inc
H1J8DDZKZP6H7RWC0H53
QUALCOMM Inc
747525AU7
60000.00000000
PA
USD
63081.43000000
0.164989579938
Long
DBT
CORP
US
N
2
2027-05-20
Fixed
3.25000000
N
N
N
N
N
N
Chicago Board of Trade
549300EX04Q2QBFQTQ27
US 2YR NOTE (CBT) MAR20 XCBT 20200331
000000000
5.00000000
NC
USD
-1022.93000000
-0.00267547503
N/A
DIR
US
N
1
Chicago Board of Trade
549300EX04Q2QBFQTQ27
Long
2 Year US Treasury Note
TUH0 Comdty
2020-03-31
1078522.93
USD
-1022.93
N
N
N
SoFi Consumer Loan Program Trust
N/A
Sofi Consumer Loan Program 2018-2 Trust
78471WAC9
125000.00000000
PA
USD
127287.40000000
0.332920396025
Long
ABS-O
CORP
US
N
2
2027-04-26
Fixed
3.79000000
N
N
N
N
N
N
Public Service New Hampshire Funding Llc.
N/A
PSNH Funding LLC 3
69363PAC4
175000.00000000
PA
USD
189916.81000000
0.496727716939
Long
ABS-O
CORP
US
N
2
2035-02-01
Fixed
3.81000000
N
N
N
N
N
N
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
Long: S13090 IRS MXN R F 6.78250 113090_FIX CCPVANILLA / Short: S13090 IRS MXN P V 01MTIIE 113090_FLO CCPVANILLA
000000000
10000000.00000000
OU
Notional Amount
-791.11000000
-0.00206914945
N/A
DIR
US
N
2
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
Mexican Interbank Equilibrium Interest Rate
MXIBTIIE Index
Y
2029-10-10
0
MXN
0
MXN
10000000
MXN
-791.11
N
N
N
TEVA PHARM FIN IV BV
549300P1YOE2RRPSGG38
Teva Pharmaceutical Finance IV BV
88166JAA1
57000.00000000
PA
USD
56127.19000000
0.146800754219
Long
DBT
CORP
CW
N
2
2021-11-10
Fixed
3.65000000
N
N
N
N
N
N
Republic of Colombia
549300MHDRBVRF6B9117
Colombia Government International Bond
195325BD6
305000.00000000
PA
USD
374101.56000000
0.978463221882
Long
DBT
NUSS
CO
N
2
2024-05-21
Fixed
8.13000000
N
N
N
N
N
N
ICE Futures Europe - Financial Products Division
5R6J7JCQRIPQR1EEP713
LONG GILT FUTURE MAR20 IFLL 20200327
000000000
-6.00000000
NC
10967.69000000
0.028686010542
N/A
DIR
GB
N
1
ICE Futures Europe - Financial Products Division
5R6J7JCQRIPQR1EEP713
Short
United Kingdom Gilt
G H0 Comdty
2020-03-27
-796560
GBP
10967.69
N
N
N
BERKSHIRE HATHAWAY ENERG
549300JD0S5IZJE9LY15
Berkshire Hathaway Energy Co
084659AR2
100000.00000000
PA
USD
118636.63000000
0.310294293407
Long
DBT
CORP
US
N
2
2049-01-15
Fixed
4.45000000
N
N
N
N
N
N
Drive Auto Receivables Trust
N/A
Drive Auto Receivables Trust
26209BAG4
150000.00000000
PA
USD
154155.96000000
0.403195157202
Long
ABS-O
CORP
US
N
2
2026-01-15
Fixed
4.09000000
N
N
N
N
N
N
INEOS Group Holdings SA
213800WOJR3Q33H3EB73
INEOS Group Holdings SA
44986UAD1
200000.00000000
PA
USD
205400.00000000
0.537224024873
Long
DBT
CORP
LU
N
2
2024-08-01
Fixed
5.63000000
N
N
N
N
N
Citigroup Inc
6SHGI4ZSSLCXXQSBB395
Citigroup Inc
172967KU4
50000.00000000
PA
USD
54500.26000000
0.142545516230
Long
DBT
CORP
US
N
2
2028-07-25
Fixed
4.13000000
N
N
N
N
N
N
GE CAPITAL INTL FUNDING
549300G6UZOB126GBY72
GE Capital International Funding Co Unlimited Co
36164Q6M5
200000.00000000
PA
USD
208167.64000000
0.544462791670
Long
DBT
CORP
IE
N
2
2025-11-15
Fixed
3.37000000
N
N
N
N
N
N
Wells Fargo Commercial Mortgage Trust
549300AGZIS1CJS4RM30
Wells Fargo Commercial Mortgage Trust 2018-C44
95001JBC0
150000.00000000
PA
USD
160909.32000000
0.420858580964
Long
ABS-MBS
CORP
US
N
2
2051-05-15
Variable
4.84000000
N
N
N
N
N
N
GOLDMAN SACHS GROUP INC
784F5XWPLTWKTBV3E584
Goldman Sachs Group Inc/The
38148LAF3
80000.00000000
PA
USD
98066.51000000
0.256493112013
Long
DBT
CORP
US
N
2
2045-05-22
Fixed
5.15000000
N
N
N
N
N
N
Citigroup Inc
6SHGI4ZSSLCXXQSBB395
Citigroup Inc
172967HA2
50000.00000000
PA
USD
73060.48000000
0.191089800996
Long
DBT
CORP
US
N
2
2043-09-13
Fixed
6.68000000
N
N
N
N
N
N
Reynolds American Inc
02S2RPPVO9RP4NEU2740
Reynolds American Inc
761713AT3
35000.00000000
PA
USD
45521.56000000
0.119061712179
Long
DBT
CORP
US
N
2
2037-06-15
Fixed
7.25000000
N
N
N
N
N
N
CHARTER COMM OPT LLC/CAP
N/A
Charter Communications Operating LLC / Charter Communications Operating Capital
161175AX2
150000.00000000
PA
USD
150953.77000000
0.394819824192
Long
DBT
CORP
US
N
2
2020-07-23
Fixed
3.58000000
N
N
N
N
N
N
MetLife Inc
C4BXATY60WC6XEOZDX54
MetLife Inc
59156RAP3
35000.00000000
PA
USD
42875.00000000
0.112139630313
Long
DBT
CORP
US
N
2
2036-12-15
Fixed
6.40000000
N
N
N
N
N
N
AmeriCredit Automobile Receivables Trust
N/A
AmeriCredit Automobile Receivables 2015-4
03065MAG2
725000.00000000
PA
USD
728751.30000000
1.906050177787
Long
ABS-O
CORP
US
N
2
2021-12-08
Fixed
3.72000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31418DCY6
110224.48000000
PA
USD
113239.27000000
0.296177489791
Long
ABS-MBS
USGSE
US
N
2
2049-06-01
Fixed
3.50000000
N
N
N
N
N
N
JPMBB Commercial Mortgage Securities Trust
N/A
JPMBB Commercial Mortgage Securities Trust 2015-C29
46644RBH7
100000.00000000
PA
USD
85916.20000000
0.224713956990
Long
ABS-MBS
CORP
US
N
2
2048-05-15
Variable
3.66000000
N
N
N
N
N
N
Tenet Healthcare Corp
0W9AIBT6U6ADJ2I8HK17
Tenet Healthcare Corp
88033GCS7
200000.00000000
PA
USD
204750.00000000
0.535523948845
Long
DBT
CORP
US
N
2
2024-07-15
Fixed
4.63000000
N
N
N
N
N
N
ADT SEC CORP
5493009JEEDYLVRA0J13
ADT Security Corp/The
00101JAF3
140000.00000000
PA
USD
142538.20000000
0.372808887547
Long
DBT
CORP
US
N
2
2022-07-15
Fixed
3.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138EKMW2
65535.72000000
PA
USD
67504.88000000
0.176559120409
Long
ABS-MBS
USGSE
US
N
2
2043-02-01
Fixed
3.00000000
N
N
N
N
N
N
Bristol-Myers Squibb Co
HLYYNH7UQUORYSJQCN42
Bristol-Myers Squibb Co
110122CA4
150000.00000000
PA
USD
157300.06000000
0.411418555725
Long
DBT
CORP
US
N
2
2026-06-15
Fixed
3.20000000
N
N
N
N
N
N
HOME DEPOT INC
QEKMOTMBBKA8I816DO57
Home Depot Inc/The
437076BN1
100000.00000000
PA
USD
99839.36000000
0.261130003992
Long
DBT
CORP
US
N
2
2026-09-15
Fixed
2.13000000
N
N
N
N
N
N
Quicken Loans Inc
549300FGXN1K3HLB1R50
Quicken Loans Inc
74840LAA0
260000.00000000
PA
USD
268775.00000000
0.702981437611
Long
DBT
CORP
US
N
2
2025-05-01
Fixed
5.75000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140J73M5
83749.74000000
PA
USD
88103.49000000
0.230434817444
Long
ABS-MBS
USGSE
US
N
2
2032-04-01
Fixed
3.50000000
N
N
N
N
N
N
Chicago Board of Trade
549300EX04Q2QBFQTQ27
US 5YR NOTE (CBT) MAR20 XCBT 20200331
000000000
26.00000000
NC
USD
-13647.35000000
-0.03569466551
N/A
DIR
US
N
1
Chicago Board of Trade
549300EX04Q2QBFQTQ27
Long
5 Year US Treasury Note
FVH0 Comdty
2020-03-31
3097491.1
USD
-13647.35
N
N
N
Benchmark Mortgage Trust
N/A
BENCHMARK 2019-B10 Mortgage Trust
08162VAJ7
200000.00000000
PA
USD
201691.48000000
0.527524384947
Long
ABS-MBS
CORP
US
N
2
2062-03-15
Fixed
3.75000000
N
N
N
N
N
N
SoFi Consumer Loan Program Trust
N/A
Sofi Consumer Loan Program 2018-2 Trust
78471WAB1
175000.00000000
PA
USD
176051.45000000
0.460462845928
Long
ABS-O
CORP
US
N
2
2027-04-26
Fixed
3.35000000
N
N
N
N
N
N
INTL LEASE FINANCE CORP
N/A
International Lease Finance Corp
459745GN9
120000.00000000
PA
USD
130676.58000000
0.341784801676
Long
DBT
CORP
US
N
2
2022-08-15
Fixed
5.88000000
N
N
N
N
N
N
SoFi Consumer Loan Program Trust
N/A
Sofi Consumer Loan Program 2018-1 Trust
83405RAC1
100000.00000000
PA
USD
101881.20000000
0.266470439741
Long
ABS-O
CORP
US
N
2
2027-02-25
Fixed
3.65000000
N
N
N
N
N
N
Cenovus Energy Inc
549300EIRQ0Z2B9C1W06
Cenovus Energy Inc
15135UAR0
80000.00000000
PA
USD
93204.82000000
0.243777354128
Long
DBT
CORP
CA
N
2
2047-06-15
Fixed
5.40000000
N
N
N
N
N
N
FedEx Corp
549300E707U7WNPZN687
FedEx Corp
31428XBG0
50000.00000000
PA
USD
51283.71000000
0.134132624618
Long
DBT
CORP
US
N
2
2046-04-01
Fixed
4.55000000
N
N
N
N
N
N
Exeter Automobile Receivables Trust
N/A
Exeter Automobile Receivables Trust 2016-3
30166LAB6
4380.28000000
PA
USD
4381.10000000
0.011458773979
Long
ABS-O
CORP
US
N
2
2021-08-16
Fixed
2.84000000
N
N
N
N
N
N
Apple Inc
HWUPKR0MPOU8FGXBT394
Apple Inc
037833BX7
100000.00000000
PA
USD
125094.57000000
0.327185045692
Long
DBT
CORP
US
N
2
2046-02-23
Fixed
4.65000000
N
N
N
N
N
N
Invitation Homes Trust
N/A
Invitation Homes 2018-SFR2 Trust
46185HAG7
150000.00000000
PA
USD
150186.48000000
0.392812975984
Long
ABS-O
CORP
US
N
2
2037-06-17
Floating
3.19000000
N
N
N
N
N
N
JP Morgan Chase Commercial Mortgage Sec Trust
N/A
JP Morgan Chase Commercial Mortgage Securities Trust 2012-C6
46634SAJ4
150000.00000000
PA
USD
151757.10000000
0.396920935078
Long
ABS-MBS
CORP
US
N
2
2045-05-15
Variable
5.16000000
N
N
N
N
N
N
GE CAPITAL INTL FUNDING
549300G6UZOB126GBY72
GE Capital International Funding Co Unlimited Co
36164QMS4
200000.00000000
PA
USD
200150.98000000
0.523495204761
Long
DBT
CORP
IE
N
2
2020-11-15
Fixed
2.34000000
N
N
N
N
N
N
Bank
N/A
BANK 2018-BNK14
06035RAZ9
250000.00000000
PA
USD
212848.63000000
0.556705928419
Long
ABS-MBS
CORP
US
N
2
2060-09-15
Variable
3.00000000
N
N
N
N
N
N
VNO Mortgage Trust
N/A
VNDO 2013-PENN Mortgage Trust
91830MAL0
500000.00000000
PA
USD
502814.35000000
1.315111727707
Long
ABS-MBS
CORP
US
N
2
2029-12-13
Variable
3.95000000
N
N
N
N
N
N
ROYAL BK SCOTLND GRP PLC
2138005O9XJIJN4JPN90
Royal Bank of Scotland Group PLC
780097BD2
250000.00000000
PA
USD
261821.16000000
0.684793658092
Long
DBT
CORP
GB
N
2
2023-09-12
Fixed
3.88000000
N
N
N
N
N
N
Angel Oak Mortgage Trust
N/A
Angel Oak Mortgage Trust 2019-5
03464KAA6
168333.34000000
PA
USD
167918.99000000
0.439192383936
Long
ABS-MBS
CORP
US
N
2
2049-10-25
Variable
2.59000000
N
N
N
N
N
N
JPMorgan Chase & Co
8I5DZWZKVSZI1NUHU748
JPMorgan Chase & Co
46625HHA1
97000.00000000
PA
USD
97873.00000000
0.255986986301
Long
DBT
CORP
US
N
2
2019-10-30
Variable
5.41000000
N
N
N
N
N
N
Freddie Mac
N/A
Freddie Mac Gold Pool
3132L8QW0
163840.20000000
PA
USD
172368.20000000
0.450829299728
Long
ABS-MBS
USGSE
US
N
2
2047-05-01
Fixed
4.00000000
N
N
N
N
N
N
ENTERPRISE PRODUCTS OPER
5493004LGN656HWLDA30
Enterprise Products Operating LLC
29379VBK8
105000.00000000
PA
USD
106132.29000000
0.277589172360
Long
DBT
CORP
US
N
2
2021-04-15
Fixed
2.85000000
N
N
N
N
N
N
Freddie Mac
N/A
Freddie Mac Gold Pool
31335AYK8
102301.83000000
PA
USD
109592.89000000
0.286640377133
Long
ABS-MBS
USGSE
US
N
2
2046-01-01
Fixed
4.00000000
N
N
N
N
N
N
State Street Global Advisors
5493008BJIBKQ5KTIF74
State Street Navigator Securities Lending Government Money Market Portfolio
857492706
322250.00000000
NS
USD
322250.00000000
0.842845384690
Long
STIV
RF
US
N
2
N
N
Angel Oak Mortgage Trust
N/A
Angel Oak Mortgage Trust I LLC 2018-3
03464NAA0
120297.72000000
PA
USD
121678.40000000
0.318250047654
Long
ABS-MBS
CORP
US
N
2
2048-09-25
Variable
3.65000000
N
N
N
N
N
N
Bank of America Corp
9DJT3UXIJIZJI4WXO774
Bank of America Corp
59022CAJ2
125000.00000000
PA
USD
168623.46000000
0.441034926335
Long
DBT
CORP
US
N
2
2037-01-29
Fixed
6.11000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138EPAH7
39929.16000000
PA
USD
43206.36000000
0.113006302917
Long
ABS-MBS
USGSE
US
N
2
2045-02-01
Fixed
4.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140Q8KB0
884303.43000000
PA
USD
917310.17000000
2.399226200509
Long
ABS-MBS
USGSE
US
N
2
2048-02-01
Fixed
3.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140J6DP9
123038.74000000
PA
USD
133074.01000000
0.348055283633
Long
ABS-MBS
USGSE
US
N
2
2045-02-01
Fixed
4.00000000
N
N
N
N
N
N
HPEFS Equipment Trust
549300NXXXDG2TJQD265
HPEFS Equipment Trust 2019-1
40438DAF6
200000.00000000
PA
USD
199901.68000000
0.522843160216
Long
ABS-O
CORP
US
N
2
2029-09-20
Fixed
2.72000000
N
N
N
N
N
N
Citigroup Commercial Mortgage Trust
N/A
Citigroup Commercial Mortgage Trust 2015-GC33
29425AAD5
143000.00000000
PA
USD
152755.73000000
0.399532853422
Long
ABS-MBS
CORP
US
N
2
2058-09-10
Fixed
3.78000000
N
N
N
N
N
N
Morgan Stanley Capital I Trust
N/A
Morgan Stanley Capital I 2017-HR2
61691NAK1
175000.00000000
PA
USD
183972.30000000
0.481179841631
Long
ABS-MBS
CORP
US
N
2
2050-12-15
Variable
4.23000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36179M2Q2
17006.80000000
PA
USD
17882.23000000
0.046771000848
Long
ABS-MBS
USGA
US
N
2
2043-02-20
Fixed
3.50000000
N
N
N
N
N
N
Exelon Corp
3SOUA6IRML7435B56G12
Exelon Corp
30161NAU5
150000.00000000
PA
USD
156575.21000000
0.409522709403
Long
DBT
CORP
US
N
2
2026-04-15
Fixed
3.40000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140FPDG1
318612.91000000
PA
USD
335918.26000000
0.878594740338
Long
ABS-MBS
USGSE
US
N
2
2047-06-01
Fixed
4.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31400HMP5
31531.98000000
PA
USD
35098.52000000
0.091800234573
Long
ABS-MBS
USGSE
US
N
2
2033-03-01
Fixed
5.50000000
N
N
N
N
N
N
Flagship Credit Auto Trust
N/A
Flagship Credit Auto Trust 2016-4
33844FAC1
40048.87000000
PA
USD
40046.35000000
0.104741291764
Long
ABS-O
CORP
US
N
2
2021-10-15
Fixed
2.41000000
N
N
N
N
N
N
Invitation Homes Trust
N/A
Invitation Homes 2018-SFR1 Trust
46185JAE8
100000.00000000
PA
USD
99755.72000000
0.260911243439
Long
ABS-O
CORP
US
N
2
2037-03-17
Floating
2.99000000
N
N
N
N
N
N
UMBS, TBA
N/A
Uniform Mortgage-Backed Security, TBA
01F030611
300000.00000000
PA
USD
304065.62000000
0.795284110038
Long
ABS-MBS
USGSE
US
N
2
2050-01-15
Fixed
3.00000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36179T7M1
27713.78000000
PA
USD
29434.01000000
0.076984699709
Long
ABS-MBS
USGA
US
N
2
2048-08-20
Fixed
5.00000000
N
N
N
N
N
N
Netflix Inc
549300Y7VHGU0I7CE873
Netflix Inc
64110LAJ5
140000.00000000
PA
USD
148225.00000000
0.387682721941
Long
DBT
CORP
US
N
2
2022-02-15
Fixed
5.50000000
N
N
N
N
N
N
Comcast Corp
51M0QTTNCGUN7KFCFZ59
Comcast Corp
20030NCM1
50000.00000000
PA
USD
61542.23000000
0.160963799903
Long
DBT
CORP
US
N
2
2048-10-15
Fixed
4.70000000
N
N
N
N
N
N
NXP BV/NXP FDG/NXP USA
N/A
NXP BV / NXP Funding LLC / NXP USA Inc
62954HAA6
65000.00000000
PA
USD
68876.47000000
0.180146516224
Long
DBT
CORP
XX
N
2
2026-06-18
Fixed
3.88000000
N
N
N
N
N
N
Yanlord Land HK Co Ltd
N/A
Yanlord Land HK Co Ltd
000000000
200000.00000000
PA
USD
204540.39000000
0.534975713558
Long
DBT
CORP
HK
N
2
2023-04-23
Fixed
6.75000000
N
N
N
N
N
N
Bank of America, National Association
B4TYDEB6GKMZO031MB27
PURCHASED BRL / SOLD USD
000000000
1.00000000
NC
4983.28000000
0.013033776721
N/A
DFE
BR
N
2
Bank of America, National Association
B4TYDEB6GKMZO031MB27
193278.73000000
USD
800000.00000000
BRL
2020-03-18
4983.28
N
N
N
State of California
N/A
CALIFORNIA ST
13063A7D0
250000.00000000
PA
USD
381755.00000000
0.998480806307
Long
DBT
MUN
US
N
2
2039-10-01
Fixed
7.30000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138EPSH8
22702.48000000
PA
USD
24524.47000000
0.064143790074
Long
ABS-MBS
USGSE
US
N
2
2044-12-01
Fixed
4.50000000
N
N
N
N
N
N
Morgan Stanley
IGJSJL3JD5P30I6NJZ34
Morgan Stanley
6174467Y9
140000.00000000
PA
USD
152996.08000000
0.400161489228
Long
DBT
CORP
US
N
2
2026-09-08
Fixed
4.35000000
N
N
N
N
N
N
United States Treasury
254900HROIFWPRGM1V77
United States Treasury Inflation Indexed Bonds
9128285W6
208917.55000000
PA
USD
221825.40000000
0.580184684552
Long
DBT
UST
US
N
2
2029-01-15
Fixed
0.88000000
N
N
N
N
N
N
JPMorgan Chase Bank, National Association
7H6GLXDRUGQFU57RNE97
PURCHASED CLP / SOLD USD
000000000
1.00000000
NC
2625.68000000
0.006867470192
N/A
DFE
CL
N
2
JPMorgan Chase Bank, National Association
7H6GLXDRUGQFU57RNE97
97200.62000000
USD
75000000.00000000
CLP
2020-03-18
2625.68
N
N
N
SoFi Consumer Loan Program Trust
N/A
Sofi Consumer Loan Program 2018-3 Trust
83405XAC8
125000.00000000
PA
USD
128210.03000000
0.335333536249
Long
ABS-O
CORP
US
N
2
2027-08-25
Fixed
4.02000000
N
N
N
N
N
N
Barclays Bank PLC
G5GSEF7VJP5I7OUK5573
PURCHASED ZAR / SOLD USD
000000000
1.00000000
NC
3157.94000000
0.008259597064
N/A
DFE
ZA
N
2
Barclays Bank PLC
G5GSEF7VJP5I7OUK5573
102888.07000000
USD
1500000.00000000
ZAR
2020-03-18
3157.94
N
N
N
Apache Corp
72ZZ1XRHOOU9P9X16K08
Apache Corp
037411BE4
100000.00000000
PA
USD
104400.88000000
0.273060666766
Long
DBT
CORP
US
N
2
2028-10-15
Fixed
4.38000000
N
N
N
N
N
SHIRE ACQ INV IRELAND DA
549300XK5HGW68R8K327
Shire Acquisitions Investments Ireland DAC
82481LAB5
100000.00000000
PA
USD
100542.55000000
0.262969198549
Long
DBT
CORP
IE
N
2
2021-09-23
Fixed
2.40000000
N
N
N
N
N
N
2020-01-28
UBS FUNDS
Joanne Kilkeary
Joanne Kilkeary
Vice President and Treasurer