0001752724-21-028616.txt : 20210219
0001752724-21-028616.hdr.sgml : 20210219
20210219101845
ACCESSION NUMBER: 0001752724-21-028616
CONFORMED SUBMISSION TYPE: NPORT-P
PUBLIC DOCUMENT COUNT: 1
CONFORMED PERIOD OF REPORT: 20201231
FILED AS OF DATE: 20210219
PERIOD START: 20210630
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: 21652505
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
C000166868
C000166870
UBS FUNDS
811-06637
0000886244
549300N85N4CCOEZQJ49
ONE NORTH WACKER DR.
CHICAGO
60606
312-525-7100
UBS Total Return Bond Fund
S000053041
549300OHZ6UI1RKLNQ71
2021-06-30
2020-12-31
N
42290544.68
4833147.89
37457396.79
0.00000000
0.00000000
0.00000000
0.00000000
0.00000000
0.00000000
0.00000000
0.00000000
0.00000000
0.00000000
1690911.68000000
0.00000000
0.00000000
457045.43000000
EUR
GBP
NZD
USD
UST
CPS Auto Trust
549300RMJRP95RN5CL91
CPS Auto Receivables Trust 2019-B
22412AAB9
34973.83000000
PA
USD
35187.14000000
0.093939096187
Long
ABS-O
CORP
US
N
2
2023-04-17
Fixed
3.09000000
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
228921.21000000
0.611150879713
Long
ABS-O
CORP
US
N
2
2023-11-15
Fixed
3.20000000
N
N
N
N
N
N
Oracle Corp
1Z4GXXU7ZHVWFCD8TV52
Oracle Corp
68389XBU8
100000.00000000
PA
USD
110244.71000000
0.294320266349
Long
DBT
CORP
US
N
2
2027-04-01
Fixed
2.80000000
N
N
N
N
N
N
Angel Oak Mortgage Trust
N/A
Angel Oak Mortgage Trust 2020-R1
034651AA7
200000.00000000
PA
USD
200022.98000000
0.534001284503
Long
ABS-MBS
CORP
US
N
2
2053-04-25
Variable
0.99000000
N
N
N
N
N
N
United States Treasury
254900HROIFWPRGM1V77
United States Treasury Note/Bond
912810SN9
105000.00000000
PA
USD
95041.41000000
0.253732021295
Long
DBT
UST
US
N
2
2050-05-15
Fixed
1.25000000
N
N
N
N
N
N
WELLS FARGO & COMPANY
PBLD0EJDB5FWOLXP3B76
Wells Fargo & Co
95000U2F9
70000.00000000
PA
USD
77608.17000000
0.207190506150
Long
DBT
CORP
US
N
2
2027-06-17
Fixed
3.20000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae
21H032613
100000.00000000
PA
USD
105977.34000000
0.282927670051
Long
ABS-MBS
USGA
US
N
2
2051-01-21
Fixed
3.50000000
N
N
N
N
N
N
Dell Equipment Finance Trust
N/A
Dell Equipment Finance Trust 2018-1
24704AAG1
120000.00000000
PA
USD
121317.35000000
0.323880889748
Long
ABS-O
CORP
US
N
2
2024-06-24
Fixed
3.85000000
N
N
N
N
N
N
Residential Mortgage Loan Trust
N/A
Residential Mortgage Loan Trust 2020-2
76123MAA1
107731.72000000
PA
USD
108654.41000000
0.290074642958
Long
ABS-MBS
CORP
US
N
2
2060-05-25
Variable
1.65000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140X8ML8
49801.64000000
PA
USD
52942.02000000
0.141339293536
Long
ABS-MBS
USGSE
US
N
2
2050-11-01
Fixed
2.50000000
N
N
N
N
N
N
ARDAGH PKG FIN/HLDGS USA
N/A
Ardagh Packaging Finance PLC / Ardagh Holdings USA Inc
03969AAQ3
200000.00000000
PA
USD
211000.00000000
0.563306631218
Long
DBT
CORP
XX
N
2
2025-04-30
Fixed
5.25000000
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
102871.44000000
0.274635849834
Long
ABS-O
CORP
US
N
2
2027-02-25
Fixed
3.65000000
N
N
N
N
N
N
Angel Oak Mortgage Trust
N/A
Angel Oak Mortgage Trust I LLC 2018-3
03464NAA0
61879.82000000
PA
USD
63087.99000000
0.168425986337
Long
ABS-MBS
CORP
US
N
2
2048-09-25
Variable
3.65000000
N
N
N
N
N
N
JPMorgan Chase & Co
8I5DZWZKVSZI1NUHU748
JPMorgan Chase & Co
46647PAM8
150000.00000000
PA
USD
171059.27000000
0.456676877357
Long
DBT
CORP
US
N
2
2029-01-23
Fixed
3.51000000
N
N
N
N
N
N
Prudential Financial Inc
5PRBRS5FEH7NREC8OR45
Prudential Financial Inc
74432QBN4
50000.00000000
PA
USD
77138.82000000
0.205937482608
Long
DBT
CORP
US
N
2
2040-06-21
Fixed
6.63000000
N
N
N
N
N
N
MetLife Inc
C4BXATY60WC6XEOZDX54
MetLife Inc
59156RAP3
110000.00000000
PA
USD
142129.35000000
0.379442679364
Long
DBT
CORP
US
N
2
2036-12-15
Fixed
6.40000000
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36179VXZ8
174415.16000000
PA
USD
184748.20000000
0.493222209316
Long
ABS-MBS
USGA
US
N
2
2050-11-20
Fixed
3.00000000
N
N
N
N
N
N
SoFi Consumer Loan Program Trust
N/A
Sofi Consumer Loan Program 2018-3 Trust
83405XAC8
125000.00000000
PA
USD
128429.69000000
0.342868701527
Long
ABS-O
CORP
US
N
2
2027-08-25
Fixed
4.02000000
N
N
N
N
N
N
BRISTOL-MYERS SQUIBB CO
HLYYNH7UQUORYSJQCN42
Bristol-Myers Squibb Co
110122CN6
150000.00000000
PA
USD
168724.18000000
0.450442888345
Long
DBT
CORP
US
N
2
2026-06-15
Fixed
3.20000000
N
N
N
N
N
N
JPMorgan Chase Bank, National Association
7H6GLXDRUGQFU57RNE97
113975 SWAPTION JAN21 104 PUT
000000000
-1250000.00000000
NC
USD
-775.25000000
-0.00206968467
N/A
DCR
US
N
2
JPMorgan Chase Bank, National Association
7H6GLXDRUGQFU57RNE97
Put
Written
Intercontinental Exchange, Inc.
5493000F4ZO33MV32P92
Intercontinental Exchange, Inc.
5493000F4ZO33MV32P92
CDX Swap
N/A
1250000.00000000
OU
Notional Amount
N/A
-775.25000000
0.00000000
DCR
US
Markit CDX.NA.HY.S35.V1
2I65BRYO2
sell protection
2025-12-20
0.00000000
N/A
0.00000000
N/A
1250000.00000000
USD
1.00000000
104.00000000
USD
2021-01-20
XXXX
8724.75000000
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138EQB50
117191.81000000
PA
USD
128084.38000000
0.341946827533
Long
ABS-MBS
USGSE
US
N
2
2043-09-01
Fixed
3.00000000
N
N
N
N
N
N
ADT SEC CORP
5493009JEEDYLVRA0J13
ADT Security Corp/The
00101JAF3
140000.00000000
PA
USD
143675.00000000
0.383569100665
Long
DBT
CORP
US
N
2
2022-07-15
Fixed
3.50000000
N
N
N
N
N
N
Union Pacific Corp
549300LMMRSZZCZ8CL11
Union Pacific Corp
907818EF1
40000.00000000
PA
USD
49137.49000000
0.131182341035
Long
DBT
CORP
US
N
2
2045-11-15
Fixed
4.05000000
N
N
N
N
N
N
Bank of America Corp
9DJT3UXIJIZJI4WXO774
Bank of America Corp
06051GEM7
350000.00000000
PA
USD
369891.57000000
0.987499403852
Long
DBT
CORP
US
N
2
2022-01-24
Fixed
5.70000000
N
N
N
N
N
N
Comcast Corp
51M0QTTNCGUN7KFCFZ59
Comcast Corp
20030NCM1
50000.00000000
PA
USD
69550.31000000
0.185678439935
Long
DBT
CORP
US
N
2
2048-10-15
Fixed
4.70000000
N
N
N
N
N
N
KINDER MORGAN INC
549300WR7IX8XE0TBO16
Kinder Morgan Inc
49456BAH4
40000.00000000
PA
USD
51332.55000000
0.137042492001
Long
DBT
CORP
US
N
2
2045-06-01
Fixed
5.55000000
N
N
N
N
N
N
Barclays PLC
213800LBQA1Y9L22JB70
Barclays PLC
06738EAW5
200000.00000000
PA
USD
231152.00000000
0.617106419049
Long
DBT
CORP
GB
N
2
2028-05-09
Fixed
4.84000000
N
N
N
N
N
N
UMBS, TBA
N/A
Uniform Mortgage-Backed Security, TBA
01F012619
50000.00000000
PA
USD
50509.70000000
0.134845729624
Long
ABS-MBS
USGSE
US
N
2
2051-01-15
Fixed
1.50000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36179RD89
8683.80000000
PA
USD
9545.95000000
0.025484819603
Long
ABS-MBS
USGA
US
N
2
2045-05-20
Fixed
4.00000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36179QPF2
50266.19000000
PA
USD
53461.16000000
0.142725241424
Long
ABS-MBS
USGA
US
N
2
2044-09-20
Fixed
3.00000000
N
N
N
N
N
N
ONCOR ELECTRIC DELIVERY
549300SP2X2BS1KERD24
Oncor Electric Delivery Co LLC
68233JBB9
50000.00000000
PA
USD
60973.40000000
0.162780666104
Long
DBT
CORP
US
N
2
2045-04-01
Fixed
3.75000000
N
N
N
N
N
N
Bank
N/A
BANK 2018-BNK15
06036FBC4
150000.00000000
PA
USD
180807.03000000
0.482700469052
Long
ABS-MBS
CORP
US
N
2
2061-11-15
Variable
4.41000000
N
N
N
N
N
N
State Street Global Advisors
549300BZ5TGIFZUZDZ37
State Street Institutional US Government Money Market Fund
857492706
1117791.18000000
NS
USD
1117791.18000000
2.984166748871
Long
STIV
RF
US
N
2
N
N
N
MICROSOFT CORP
INR2EJN1ERAN0W5ZP974
Microsoft Corp
594918CC6
60000.00000000
PA
USD
63145.26000000
0.168578880038
Long
DBT
CORP
US
N
2
2050-06-01
Fixed
2.53000000
N
N
N
N
N
N
Exelon Corp
3SOUA6IRML7435B56G12
Exelon Corp
30161NAV3
50000.00000000
PA
USD
63655.20000000
0.169940266689
Long
DBT
CORP
US
N
2
2046-04-15
Fixed
4.45000000
N
N
N
N
N
N
JPMorgan Chase & Co
8I5DZWZKVSZI1NUHU748
JPMorgan Chase & Co
46625HHA1
97000.00000000
PA
USD
96115.98000000
0.256600800474
Long
DBT
CORP
US
N
2
2021-04-30
Variable
3.68000000
N
N
N
N
N
N
Illinois Tool Works Inc
76NA4I14SZCFAYMNSV04
Illinois Tool Works Inc
452308AX7
80000.00000000
PA
USD
88379.07000000
0.235945574369
Long
DBT
CORP
US
N
2
2026-11-15
Fixed
2.65000000
N
N
N
N
N
N
retl
N/A
RETL 2019-RVP
74952PAJ6
200000.00000000
PA
USD
192563.90000000
0.514087781058
Long
ABS-MBS
CORP
US
N
2
2036-03-15
Floating
2.26000000
N
N
N
N
N
N
Reynolds American Inc
02S2RPPVO9RP4NEU2740
Reynolds American Inc
761713AT3
35000.00000000
PA
USD
48594.42000000
0.129732507233
Long
DBT
CORP
US
N
2
2037-06-15
Fixed
7.25000000
N
N
N
N
N
N
Eaton Corp
0NZWDMRCE180888QQE14
Eaton Corp
278062AC8
190000.00000000
PA
USD
198248.33000000
0.529263501976
Long
DBT
CORP
US
N
2
2022-11-02
Fixed
2.75000000
N
N
N
N
N
N
Lloyds Banking Group PLC
549300PPXHEU2JF0AM85
Lloyds Banking Group PLC
539439AM1
200000.00000000
PA
USD
228691.51000000
0.610537649698
Long
DBT
CORP
GB
N
2
2025-12-10
Fixed
4.58000000
N
N
N
N
N
N
DEUTSCHE BANK NY
7LTWFZYICNSX8D621K86
Deutsche Bank AG/New York NY
25160PAC1
150000.00000000
PA
USD
150405.10000000
0.401536446441
Long
DBT
CORP
DE
N
2
2021-02-04
Fixed
4.25000000
N
N
N
N
N
N
COLT Funding LLC
N/A
COLT 2020-2 Mortgage Loan Trust
19688JAA5
78902.46000000
PA
USD
79863.41000000
0.213211319643
Long
ABS-MBS
CORP
US
N
2
2065-03-25
Variable
1.85000000
N
N
N
N
N
N
FedEx Corp
549300E707U7WNPZN687
FedEx Corp
31428XBG0
50000.00000000
PA
USD
64224.26000000
0.171459485986
Long
DBT
CORP
US
N
2
2046-04-01
Fixed
4.55000000
N
N
N
N
N
N
Goldman Sachs & Co. LLC
FOR8UP27PHTHYVLBNG30
113982 SWAPTION JAN21 105 PUT
000000000
-750000.00000000
NC
USD
-640.88000000
-0.00171095712
N/A
DCR
US
N
2
Goldman Sachs & Co. LLC
FOR8UP27PHTHYVLBNG30
Put
Written
Intercontinental Exchange, Inc.
5493000F4ZO33MV32P92
Intercontinental Exchange, Inc.
5493000F4ZO33MV32P92
CDX Swap
N/A
750000.00000000
OU
Notional Amount
N/A
-640.88000000
0.00000000
DCR
US
Markit CDX.NA.HY.S35.V1
2I65BRYO2
sell protection
2025-12-20
0.00000000
N/A
0.00000000
N/A
750000.00000000
USD
1.00000000
105.00000000
USD
2021-01-20
XXXX
3896.62000000
N
N
N
Citigroup Inc
6SHGI4ZSSLCXXQSBB395
Citigroup Inc
172967HA2
25000.00000000
PA
USD
40650.52000000
0.108524679992
Long
DBT
CORP
US
N
2
2043-09-13
Fixed
6.68000000
N
N
N
N
N
N
Republic of Indonesia
529900FWX0GRR7WG5W79
Indonesia Government International Bond
455780AX4
100000.00000000
PA
USD
142062.50000000
0.379264209940
Long
DBT
NUSS
ID
N
2
2037-02-17
Fixed
6.63000000
N
N
N
N
N
N
YALE UNIVERSITY
9SFB6DIM0FRWV0EV8S84
Yale University
98459LAB9
100000.00000000
PA
USD
102585.08000000
0.273871354635
Long
DBT
CORP
US
N
2
2030-04-15
Fixed
1.48000000
N
N
N
N
N
N
Boston Properties LP
BVHHEFJI6SHNOKQT2572
Boston Properties LP
10112RAY0
210000.00000000
PA
USD
228895.54000000
0.611082348523
Long
DBT
US
N
2
2026-10-01
Fixed
2.75000000
N
N
N
N
N
N
NEW ZEALAND GOVERNMENT
549300237GPHG2AI7C34
New Zealand Government Bond
000000000
1000000.00000000
PA
754755.54000000
2.014970619104
Long
DBT
NUSS
NZ
N
2
2031-05-15
Fixed
1.50000000
N
N
N
N
N
N
United States Treasury
254900HROIFWPRGM1V77
United States Treasury Note/Bond
912810SL3
35000.00000000
PA
USD
37932.62000000
0.101268703248
Long
DBT
UST
US
N
2
2050-02-15
Fixed
2.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138ERTY6
149438.16000000
PA
USD
163327.24000000
0.436034679387
Long
ABS-MBS
USGSE
US
N
2
2046-06-01
Fixed
3.50000000
N
N
N
N
N
N
INEOS Group Holdings SA
213800WOJR3Q33H3EB73
INEOS Group Holdings SA
44986UAD1
200000.00000000
PA
USD
202750.00000000
0.541281608908
Long
DBT
CORP
LU
N
2
2024-08-01
Fixed
5.63000000
N
N
N
N
N
Biogen Inc
W8J5WZB5IY3K0NDQT671
Biogen Inc
09062XAF0
100000.00000000
PA
USD
114572.15000000
0.305873231507
Long
DBT
CORP
US
N
2
2025-09-15
Fixed
4.05000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140JPF83
85141.88000000
PA
USD
92844.92000000
0.247868052658
Long
ABS-MBS
USGSE
US
N
2
2049-02-01
Fixed
4.50000000
N
N
N
N
N
N
Residential Mortgage Loan Trust
N/A
Residential Mortgage Loan Trust 2019-3
76119NAA5
126549.12000000
PA
USD
128682.18000000
0.343542773998
Long
ABS-MBS
CORP
US
N
2
2059-09-25
Variable
2.63000000
N
N
N
N
N
N
AT&T INC
549300Z40J86GGSTL398
AT&T Inc
00206RMG4
58000.00000000
PA
USD
60238.93000000
0.160819851784
Long
DBT
CORP
US
N
2
2057-12-01
Fixed
3.80000000
N
N
N
N
N
N
United Mexican States
254900EGTWEU67VP6075
Mexico Government International Bond
91086QBB3
150000.00000000
PA
USD
178462.50000000
0.476441278075
Long
DBT
NUSS
MX
N
2
2044-03-08
Fixed
4.75000000
N
N
N
N
N
N
State Street Global Advisors
5493008BJIBKQ5KTIF74
State Street Navigator Securities Lending Government Money Market Portfolio
857492706
685475.00000000
NS
USD
685475.00000000
1.830012384050
Long
STIV
RF
US
N
2
N
N
LYB INTL FINANCE BV
549300J6QSW38QNOJK61
LYB International Finance BV
50247VAC3
50000.00000000
PA
USD
62818.75000000
0.167707196397
Long
DBT
CORP
NL
N
2
2044-03-15
Fixed
4.88000000
N
N
N
N
N
N
PETROBRAS GLOBAL FINANCE
549300FNENFFSMO3GT38
Petrobras Global Finance BV
71647NAS8
250000.00000000
PA
USD
310000.00000000
0.827606898947
Long
DBT
CORP
NL
N
2
2027-01-17
Fixed
7.38000000
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
191957.00000000
0.512467540326
Long
ABS-MBS
CORP
US
N
2
2048-07-15
Fixed
3.82000000
N
N
N
N
N
N
McDonald's Corp
UE2136O97NLB5BYP9H04
McDonald's Corp
58013MFA7
75000.00000000
PA
USD
102094.60000000
0.272561920339
Long
DBT
CORP
US
N
2
2045-12-09
Fixed
4.88000000
N
N
N
N
N
N
Santander Consumer Auto Receivables Trust
N/A
Santander Consumer Auto Receivables Trust 2020-B
802830AN9
275000.00000000
PA
USD
276398.02000000
0.737899703894
Long
ABS-O
CORP
US
N
2
2025-12-15
Fixed
0.77000000
N
N
N
N
N
N
Verus Securitization Trust
N/A
Verus Securitization Trust 2019-3
92537JAA5
98998.11000000
PA
USD
101217.71000000
0.270220887392
Long
ABS-MBS
CORP
US
N
2
2059-07-25
Variable
2.78000000
N
N
N
N
N
N
Amgen Inc
62QBXGPJ34PQ72Z12S66
Amgen Inc
031162CF5
50000.00000000
PA
USD
68081.73000000
0.181757772387
Long
DBT
CORP
US
N
2
2051-06-15
Fixed
4.66000000
N
N
N
N
N
N
Southern Copper Corp
2549007U6NAP46Q9TU15
Southern Copper Corp
84265VAE5
40000.00000000
PA
USD
59775.00000000
0.159581298014
Long
DBT
CORP
US
N
2
2040-04-16
Fixed
6.75000000
N
N
N
N
N
Morgan Stanley & Co. International PLC
4PQUHN3JPFGFNF3BB653
PURCHASED USD / SOLD NZD
000000000
1.00000000
NC
-14231.22000000
-0.03799308339
N/A
DFE
US
N
2
Morgan Stanley & Co. International PLC
4PQUHN3JPFGFNF3BB653
1070000.00000000
NZD
755874.75000000
USD
2021-03-19
-14231.22000000
N
N
N
General Motors Co
54930070NSV60J38I987
General Motors Co
37045VAK6
170000.00000000
PA
USD
232477.03000000
0.620643851208
Long
DBT
CORP
US
N
2
2036-04-01
Fixed
6.60000000
N
N
N
N
N
N
UMBS, TBA
N/A
Uniform Mortgage-Backed Security, TBA
01F040610
50000.00000000
PA
USD
53394.44000000
0.142547119062
Long
ABS-MBS
USGSE
US
N
2
2051-01-15
Fixed
4.00000000
N
N
N
N
N
N
State of Hawaii
N/A
HAWAII ST
419792ZD1
75000.00000000
PA
USD
76008.75000000
0.202920535097
Long
DBT
MUN
US
N
2
2038-08-01
Fixed
2.25000000
N
N
N
N
N
N
Angel Oak Mortgage Trust
N/A
Angel Oak Mortgage Trust LLC 2020-5
03464WAA0
109065.49000000
PA
USD
109824.00000000
0.293197096999
Long
ABS-MBS
CORP
US
N
2
2065-05-25
Variable
1.37000000
N
N
N
N
N
N
American Credit Acceptance Receivables Trust
N/A
American Credit Acceptance Receivables Trust 2018-1
02529HAG5
89356.38000000
PA
USD
90515.02000000
0.241647919388
Long
ABS-O
CORP
US
N
2
2024-04-10
Fixed
3.93000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138WBQU2
90766.47000000
PA
USD
102802.11000000
0.274450759555
Long
ABS-MBS
USGSE
US
N
2
2044-04-01
Fixed
4.50000000
N
N
N
N
N
N
OneMain Financial Issuance Trust
N/A
OneMain Financial Issuance Trust 2020-2
682696AB5
150000.00000000
PA
USD
152095.70000000
0.406049840710
Long
ABS-O
CORP
US
N
2
2035-09-14
Fixed
2.21000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140J5NB1
49331.59000000
PA
USD
54223.60000000
0.144760727244
Long
ABS-MBS
USGSE
US
N
2
2047-05-01
Fixed
4.50000000
N
N
N
N
N
N
BANK OF NY MELLON CORP
WFLLPEPC7FZXENRZV188
Bank of New York Mellon Corp/The
06406RAN7
100000.00000000
PA
USD
104526.86000000
0.279055324068
Long
DBT
CORP
US
N
2
2025-04-24
Fixed
1.60000000
N
N
N
N
N
N
Wells Fargo Commercial Mortgage Trust
549300AGZIS1CJS4RM30
Wells Fargo Commercial Mortgage Trust 2018-C44
95001JBC0
150000.00000000
PA
USD
150378.68000000
0.401465912975
Long
ABS-MBS
CORP
US
N
2
2051-05-15
Variable
4.83000000
N
N
N
N
N
N
Starwood Retail Property Trust
5493007115G809OI4R97
Starwood Retail Property Trust 2014-STAR
85571XAN7
125000.00000000
PA
USD
5000.00000000
0.013348498370
Long
ABS-MBS
CORP
US
N
2
2027-11-15
Floating
2.91000000
N
N
N
N
N
N
KROGER CO
6CPEOKI6OYJ13Q6O7870
Kroger Co/The
501044CK5
25000.00000000
PA
USD
37700.02000000
0.100647731104
Long
DBT
CORP
US
N
2
2038-04-15
Fixed
6.90000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140QEPZ9
97271.06000000
PA
USD
103637.25000000
0.276680332541
Long
ABS-MBS
USGSE
US
N
2
2050-08-01
Fixed
3.00000000
N
N
N
N
N
N
Netflix Inc
549300Y7VHGU0I7CE873
Netflix Inc
64110LAJ5
140000.00000000
PA
USD
146475.00000000
0.391044259752
Long
DBT
CORP
US
N
2
2022-02-15
Fixed
5.50000000
N
N
N
N
N
N
LUMEN TECHNOLOGIES INC
8M3THTGWLTYZVE6BBY25
CenturyLink Inc
156700AZ9
200000.00000000
PA
USD
215750.00000000
0.575987704670
Long
DBT
CORP
US
N
2
2025-04-01
Fixed
5.63000000
N
N
N
N
N
N
Angel Oak Mortgage Trust
N/A
Angel Oak Mortgage Trust 2019-5
03464KAA6
119882.83000000
PA
USD
121363.50000000
0.324004096388
Long
ABS-MBS
CORP
US
N
2
2049-10-25
Variable
2.59000000
N
N
N
N
N
N
OneMain Financial Issuance Trust
N/A
OneMain Financial Issuance Trust 2020-2
682696AA7
100000.00000000
PA
USD
101792.50000000
0.271755404067
Long
ABS-O
CORP
US
N
2
2035-09-14
Fixed
1.75000000
N
N
N
N
N
N
Abbott Laboratories
HQD377W2YR662HK5JX27
Abbott Laboratories
002824BF6
45000.00000000
PA
USD
52701.81000000
0.140698004977
Long
DBT
CORP
US
N
2
2026-11-30
Fixed
3.75000000
N
N
N
N
N
N
Benchmark Mortgage Trust
N/A
BENCHMARK 2019-B10 Mortgage Trust
08162VAJ7
200000.00000000
PA
USD
205361.40000000
0.548253262636
Long
ABS-MBS
CORP
US
N
2
2062-03-15
Fixed
3.75000000
N
N
N
N
N
N
Benchmark Mortgage Trust
N/A
Benchmark 2018-B5 Mortgage Trust
08160BAC8
100000.00000000
PA
USD
117010.74000000
0.312383534435
Long
ABS-MBS
CORP
US
N
2
2051-07-15
Fixed
3.94000000
N
N
N
N
N
N
GOLDMAN SACHS GROUP INC
784F5XWPLTWKTBV3E584
Goldman Sachs Group Inc/The
38141GGS7
305000.00000000
PA
USD
322376.85000000
0.860649371357
Long
DBT
CORP
US
N
2
2022-01-24
Fixed
5.75000000
N
N
N
N
N
N
Cenovus Energy Inc
549300EIRQ0Z2B9C1W06
Cenovus Energy Inc
15135UAR0
80000.00000000
PA
USD
93776.81000000
0.250355919087
Long
DBT
CORP
CA
N
2
2047-06-15
Fixed
5.40000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae
21H022614
225000.00000000
PA
USD
238139.76000000
0.635761639643
Long
ABS-MBS
USGA
US
N
2
2051-01-21
Fixed
2.50000000
N
N
N
N
N
N
Public Service New Hampshire Funding Llc.
N/A
PSNH Funding LLC 3
69363PAC4
175000.00000000
PA
USD
205320.54000000
0.548144178708
Long
ABS-O
CORP
US
N
2
2035-02-01
Fixed
3.81000000
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
111972.43000000
0.298932759870
Long
ABS-MBS
CORP
US
N
2
2048-05-15
Fixed
3.73000000
N
N
N
N
N
N
Morgan Stanley & Co. International PLC
4PQUHN3JPFGFNF3BB653
PURCHASED USD / SOLD AUD
000000000
1.00000000
NC
-2267.40000000
-0.00605327704
N/A
DFE
US
N
2
Morgan Stanley & Co. International PLC
4PQUHN3JPFGFNF3BB653
120000.00000000
AUD
90303.00000000
USD
2021-03-19
-2267.40000000
N
N
N
Credit Suisse Mortgage Trust
N/A
CSMC 2020-NQM1 Trust
126401AA6
200257.68000000
PA
USD
200870.61000000
0.536264202037
Long
ABS-MBS
CORP
US
N
2
2065-05-25
Variable
1.21000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140J6DP9
91730.21000000
PA
USD
102509.00000000
0.273668243884
Long
ABS-MBS
USGSE
US
N
2
2045-02-01
Fixed
4.00000000
N
N
N
N
N
N
Chicago Board of Trade
549300EX04Q2QBFQTQ27
US ULTRA BOND CBT MAR21 XCBT 20210322
000000000
10.00000000
NC
USD
-32477.95000000
-0.08670637252
N/A
DIR
US
N
1
Chicago Board of Trade
549300EX04Q2QBFQTQ27
Long
US Treasury Ultra Long Bond
WNH1 Comdty
2021-03-22
2168102.95000000
USD
-32477.95000000
N
N
N
DT Auto Owner Trust
N/A
DT Auto Owner Trust 2018-3
23343CAC5
9905.36000000
PA
USD
9917.08000000
0.026475625243
Long
ABS-O
CORP
US
N
2
2022-09-15
Fixed
3.56000000
N
N
N
N
N
N
SABINE PASS LIQUEFACTION
549300KJYBG7C6WJYZ11
Sabine Pass Liquefaction LLC
785592AS5
200000.00000000
PA
USD
235733.88000000
0.629338662592
Long
DBT
CORP
US
N
2
2027-03-15
Fixed
5.00000000
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
214738.48000000
0.573287250056
Long
DBT
CORP
US
N
2
2046-02-01
Fixed
4.90000000
N
N
N
N
N
N
SHIRE ACQ INV IRELAND DA
549300XK5HGW68R8K327
Shire Acquisitions Investments Ireland DAC
82481LAB5
27000.00000000
PA
USD
27351.93000000
0.073021438604
Long
DBT
CORP
IE
N
2
2021-09-23
Fixed
2.40000000
N
N
N
N
N
N
VIRGINIA ELEC & POWER CO
CQKUMNNZVDJLRYV2PT43
Virginia Electric and Power Co
927804GA6
50000.00000000
PA
USD
70126.17000000
0.187215813189
Long
DBT
CORP
US
N
2
2048-12-01
Fixed
4.60000000
N
N
N
N
N
N
United States Treasury
254900HROIFWPRGM1V77
United States Treasury Note/Bond
91282CAE1
50000.00000000
PA
USD
48718.75000000
0.130064430993
Long
DBT
UST
US
N
2
2030-08-15
Fixed
0.63000000
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
307649.51000000
0.821331796560
Long
ABS-MBS
CORP
US
N
2
2049-12-15
Variable
3.99000000
N
N
N
N
N
N
FREMF Mortgage Trust
N/A
FREMF 2017-K64 Mortgage Trust
30296CAE3
50000.00000000
PA
USD
55825.27000000
0.149036705121
Long
ABS-MBS
USGSE
US
N
2
2050-05-25
Variable
3.98000000
N
N
N
N
N
N
Burlington Resources LLC
0FJ5X7MVCTSE8OEPQE56
Burlington Resources LLC
12201PAB2
100000.00000000
PA
USD
150540.39000000
0.401897630110
Long
DBT
CORP
US
N
2
2031-08-15
Fixed
7.20000000
N
N
N
N
N
Invitation Homes Trust
N/A
Invitation Homes 2018-SFR2 Trust
46185HAG7
149970.21000000
PA
USD
149644.55000000
0.399506006354
Long
ABS-O
CORP
US
N
2
2037-06-17
Floating
1.61000000
N
N
N
N
N
N
Exeter Automobile Receivables Trust
N/A
Exeter Automobile Receivables Trust 2019-2
30167LAE9
100000.00000000
PA
USD
102084.01000000
0.272533648219
Long
ABS-O
CORP
US
N
2
2024-03-15
Fixed
3.30000000
N
N
N
N
N
N
Drive Auto Receivables Trust
N/A
Drive Auto Receivables Trust 2018-1
26208GAG4
308257.63000000
PA
USD
314346.58000000
0.839210962156
Long
ABS-O
CORP
US
N
2
2024-05-15
Fixed
3.81000000
N
N
N
N
N
N
GB Trust 2020-FLIX
N/A
GB Trust 2020-FLIX
368306AL0
125000.00000000
PA
USD
125561.39000000
0.335211201952
Long
ABS-MBS
CORP
US
N
2
2037-08-15
Floating
1.76000000
N
N
N
N
N
N
Exeter Automobile Receivables Trust
N/A
Exeter Automobile Receivables Trust 2018-1
301656AG9
100000.00000000
PA
USD
102432.61000000
0.273464305526
Long
ABS-O
CORP
US
N
2
2023-11-15
Fixed
3.53000000
N
N
N
N
N
N
INTL LEASE FINANCE CORP
N/A
International Lease Finance Corp
459745GN9
120000.00000000
PA
USD
129656.23000000
0.346143194966
Long
DBT
CORP
US
N
2
2022-08-15
Fixed
5.88000000
N
N
N
N
N
N
Republic of Colombia
549300MHDRBVRF6B9117
Colombia Government International Bond
195325BD6
155000.00000000
PA
USD
189720.00000000
0.506495422155
Long
DBT
NUSS
CO
N
2
2024-05-21
Fixed
8.13000000
N
N
N
N
N
Verus Securitization Trust
N/A
Verus Securitization Trust 2019-1
92537DAA8
92006.97000000
PA
USD
92481.51000000
0.246897857100
Long
ABS-MBS
CORP
US
N
2
2059-02-25
Variable
3.84000000
N
N
N
N
N
N
Barclays Bank PLC
G5GSEF7VJP5I7OUK5573
114000 SWAPTION FEB21 106 PUT
000000000
-750000.00000000
NC
USD
-3346.73000000
-0.00893476399
N/A
DCR
US
N
2
Barclays Bank PLC
G5GSEF7VJP5I7OUK5573
Put
Written
Intercontinental Exchange, Inc.
5493000F4ZO33MV32P92
Intercontinental Exchange, Inc.
5493000F4ZO33MV32P92
CDX Swap
N/A
750000.00000000
OU
Notional Amount
N/A
-3346.73000000
-0.01000000
DCR
US
Markit CDX.NA.HY.S35.V1
2I65BRYO2
sell protection
2025-12-20
0.00000000
N/A
0.00000000
N/A
750000.00000000
USD
1.00000000
106.00000000
USD
2021-02-17
XXXX
2578.27000000
N
N
N
VERIZON COMMUNICATIONS
2S72QS2UO2OESLG6Y829
Verizon Communications Inc
92343VFM1
226000.00000000
PA
USD
227015.78000000
0.606063953863
Long
DBT
CORP
US
N
2
2056-10-30
Fixed
2.99000000
N
N
N
N
N
N
NATWEST GROUP PLC
2138005O9XJIJN4JPN90
Natwest Group PLC
780097BD2
250000.00000000
PA
USD
271240.68000000
0.724131154977
Long
DBT
CORP
GB
N
2
2023-09-12
Fixed
3.88000000
N
N
N
N
N
N
State of California Department of Water Resources
549300X618YEC5LGBQ98
CALIFORNIA ST DEPT OF WTR RESOURCES CENTRL VLY PROJ
13067WRN4
100000.00000000
PA
USD
98497.00000000
0.262957408792
Long
DBT
MUN
US
N
2
2035-12-01
Fixed
1.79000000
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
107620.49000000
0.287314387071
Long
ABS-MBS
CORP
US
N
2
2052-11-15
Variable
4.18000000
N
N
N
N
N
N
Liberty Mutual Group Inc
QUR0DG15Z6FFGYCHH861
Liberty Mutual Group Inc
53079EBE3
45000.00000000
PA
USD
48959.32000000
0.130706680644
Long
DBT
CORP
US
N
2
2023-06-15
Fixed
4.25000000
N
N
N
N
N
N
Apple Inc
HWUPKR0MPOU8FGXBT394
Apple Inc
037833BX7
100000.00000000
PA
USD
141918.92000000
0.378880894461
Long
DBT
CORP
US
N
2
2046-02-23
Fixed
4.65000000
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
74411.86000000
0.198657318385
Long
DBT
CORP
XX
N
2
2026-06-18
Fixed
3.88000000
N
N
N
N
N
N
GS Mortgage Securities Trust
N/A
GS Mortgage Securities Trust 2017-GS5
36252HAJ0
200000.00000000
PA
USD
222259.96000000
0.593367342760
Long
ABS-MBS
CORP
US
N
2
2050-03-10
Variable
4.05000000
N
N
N
N
N
N
Texas Transportation Commission
5493006JSGNPGVJS7691
TEXAS ST TRANSPRTN COMMISSION
882830BH4
100000.00000000
PA
USD
100547.00000000
0.268430293123
Long
DBT
MUN
US
N
2
2044-10-01
Fixed
2.47000000
N
N
N
N
N
N
CCG Receivables Trust
N/A
CCG Receivables Trust 2020-1
12509DAD4
150000.00000000
PA
USD
152344.35000000
0.406713661534
Long
ABS-O
CORP
US
N
2
2027-12-14
Fixed
1.84000000
N
N
N
N
N
N
CPS Auto Trust
N/A
CPS Auto Trust
12655CAD8
150000.00000000
PA
USD
155334.32000000
0.414695983468
Long
ABS-O
CORP
US
N
2
2024-06-17
Fixed
4.40000000
N
N
N
N
N
N
Santander Drive Auto Receivables Trust
N/A
Santander Drive Auto Receivables Trust 2017-2
80285LAF8
238569.93000000
PA
USD
241455.93000000
0.644614817611
Long
ABS-O
CORP
US
N
2
2023-07-17
Fixed
3.49000000
N
N
N
N
N
N
ENERGY TRANSFER OPERATNG
5493008K8W3OKZE54J59
Energy Transfer Operating LP
29278NAN3
50000.00000000
PA
USD
58902.13000000
0.157250997260
Long
DBT
CORP
US
N
2
2027-06-01
Fixed
5.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138EKMW2
54757.35000000
PA
USD
59574.24000000
0.159045329108
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
110122CQ9
50000.00000000
PA
USD
63681.88000000
0.170011494277
Long
DBT
CORP
US
N
2
2039-06-15
Fixed
4.13000000
N
N
N
N
N
N
BURLINGTN NORTH SANTA FE
N/A
Burlington Northern Santa Fe LLC
12189LAP6
50000.00000000
PA
USD
72126.19000000
0.192555265931
Long
DBT
CORP
US
N
2
2043-09-01
Fixed
5.15000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140J9KD2
133498.90000000
PA
USD
151049.12000000
0.403255786425
Long
ABS-MBS
USGSE
US
N
2
2046-06-01
Fixed
4.50000000
N
N
N
N
N
N
Exeter Automobile Receivables Trust
N/A
Exeter Automobile Receivables Trust 2018-2
30167BAC5
145803.67000000
PA
USD
146489.78000000
0.391083717913
Long
ABS-O
CORP
US
N
2
2023-03-15
Fixed
3.69000000
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
155437.50000000
0.414971443080
Long
DBT
CORP
US
N
2
2026-05-01
Fixed
5.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31419BW68
80546.28000000
PA
USD
87802.62000000
0.234406625992
Long
ABS-MBS
USGSE
US
N
2
2040-09-01
Fixed
4.00000000
N
N
N
N
N
N
Ally Financial Inc
549300JBN1OSM8YNAI90
Ally Financial Inc
02005NBC3
100000.00000000
PA
USD
105402.40000000
0.281392752921
Long
DBT
CORP
US
N
2
2022-05-19
Fixed
4.63000000
N
N
N
N
N
N
Barclays Bank PLC
G5GSEF7VJP5I7OUK5573
PURCHASED INR / SOLD USD
000000000
1.00000000
NC
7632.71000000
0.020377043398
N/A
DFE
IN
N
2
Barclays Bank PLC
G5GSEF7VJP5I7OUK5573
779821.45000000
USD
58000000.00000000
INR
2021-03-19
7632.71000000
N
N
N
State of California
N/A
CALIFORNIA ST
13063A7D0
250000.00000000
PA
USD
412657.50000000
1.101671593233
Long
DBT
MUN
US
N
2
2039-10-01
Fixed
7.30000000
N
N
N
N
N
N
Eurex Deutschland
529900LN3S50JPU47S06
EURO-BUND FUTURE MAR21 XEUR 20210308
000000000
-2.00000000
NC
315.26000000
0.000841649519
N/A
DIR
DE
N
1
Eurex Deutschland
529900LN3S50JPU47S06
Short
Euro-Bund (FGBL)
RXH1 Comdty
2021-03-08
-355538.06000000
EUR
315.26000000
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31418B3S3
90778.53000000
PA
USD
95531.10000000
0.255039346529
Long
ABS-MBS
USGSE
US
N
2
2046-05-01
Fixed
3.00000000
N
N
N
N
N
N
Dupont De Nemours Inc
5493004JF0SDFLM8GD76
DuPont de Nemours Inc
26078JAD2
100000.00000000
PA
USD
123139.63000000
0.328745830070
Long
DBT
CORP
US
N
2
2028-11-15
Fixed
4.73000000
N
N
N
N
N
N
Drive Auto Receivables Trust
N/A
Drive Auto Receivables Trust
26209BAG4
150000.00000000
PA
USD
155765.06000000
0.415845929906
Long
ABS-O
CORP
US
N
2
2026-01-15
Fixed
4.09000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31387WG92
24798.07000000
PA
USD
28197.62000000
0.075279176922
Long
ABS-MBS
USGSE
US
N
2
2028-11-01
Fixed
6.00000000
N
N
N
N
N
N
HILLENBRAND INC
U246OE781574J2BUD366
Hillenbrand Inc
431571AD0
200000.00000000
PA
USD
216000.00000000
0.576655129588
Long
DBT
CORP
US
N
2
2025-06-15
Fixed
5.75000000
N
N
N
N
N
N
Freddie Mac
N/A
Freddie Mac Gold Pool
3128MJ2T6
46139.36000000
PA
USD
49470.37000000
0.132071030662
Long
ABS-MBS
USGSE
US
N
2
2047-10-01
Fixed
4.00000000
N
N
N
N
N
N
Angel Oak Mortgage Trust
N/A
Angel Oak Mortgage Trust 2020-4
03464LAA4
167412.19000000
PA
USD
168165.33000000
0.448950926682
Long
ABS-MBS
CORP
US
N
2
2065-06-25
Variable
1.47000000
N
N
N
N
N
N
Morgan Stanley
IGJSJL3JD5P30I6NJZ34
Morgan Stanley
61747YDY8
50000.00000000
PA
USD
66699.61000000
0.178067927074
Long
DBT
CORP
US
N
2
2045-01-27
Fixed
4.30000000
N
N
N
N
N
N
Microsoft Corp
INR2EJN1ERAN0W5ZP974
Microsoft Corp
594918BA1
250000.00000000
PA
USD
255572.96000000
0.682303048001
Long
DBT
CORP
US
N
2
2022-02-12
Fixed
2.38000000
N
N
N
N
N
N
Freddie Mac
N/A
Freddie Mac Pool
3132DVLF0
98561.30000000
PA
USD
105084.61000000
0.280544349061
Long
ABS-MBS
USGSE
US
N
2
2050-10-01
Fixed
2.50000000
N
N
N
N
N
N
Texas Instruments Inc
WDJNR2L6D8RWOEB8T652
Texas Instruments Inc
882508BA1
220000.00000000
PA
USD
224405.79000000
0.599096064411
Long
DBT
CORP
US
N
2
2022-05-15
Fixed
1.85000000
N
N
N
N
N
N
Biogen Inc
W8J5WZB5IY3K0NDQT671
Biogen Inc
09062XAD5
50000.00000000
PA
USD
67793.62000000
0.180988605214
Long
DBT
CORP
US
N
2
2045-09-15
Fixed
5.20000000
N
N
N
N
N
N
Bank of America Corp
9DJT3UXIJIZJI4WXO774
Bank of America Corp
06051GFH7
150000.00000000
PA
USD
168268.78000000
0.449227107114
Long
DBT
CORP
US
N
2
2024-08-26
Fixed
4.20000000
N
N
N
N
N
N
Bank of America, National Association
B4TYDEB6GKMZO031MB27
PURCHASED USD / SOLD EUR
000000000
1.00000000
NC
-355.71000000
-0.00094963887
N/A
DFE
US
N
2
Bank of America, National Association
B4TYDEB6GKMZO031MB27
55000.00000000
EUR
66947.27000000
USD
2021-03-19
-355.71000000
N
N
N
General Electric Co
3C7474T6CDKPR9K6YT90
General Electric Co
369604BQ5
99000.00000000
PA
USD
91798.74000000
0.245075066253
Long
DBT
CORP
US
N
2
2021-03-15
Fixed
5.00000000
N
N
N
N
N
N
TEACHERS INSUR & ANNUITY
O06XD7BJ4EPXNABVFN69
Teachers Insurance & Annuity Association of America
878091BF3
60000.00000000
PA
USD
74905.22000000
0.199974441416
Long
DBT
CORP
US
N
2
2047-05-15
Fixed
4.27000000
N
N
N
N
N
N
Morgan Stanley
IGJSJL3JD5P30I6NJZ34
Morgan Stanley
6174467Y9
140000.00000000
PA
USD
165086.45000000
0.440731241750
Long
DBT
CORP
US
N
2
2026-09-08
Fixed
4.35000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36179QGD7
8821.06000000
PA
USD
9737.83000000
0.025997081576
Long
ABS-MBS
USGA
US
N
2
2044-06-20
Fixed
4.00000000
N
N
N
N
N
N
Freddie Mac
N/A
Freddie Mac Pool
3131XYNZ8
205832.73000000
PA
USD
218029.93000000
0.582074433048
Long
ABS-MBS
USGSE
US
N
2
2047-11-01
Fixed
3.50000000
N
N
N
N
N
N
Morgan Stanley & Co. International PLC
4PQUHN3JPFGFNF3BB653
PURCHASED USD / SOLD GBP
000000000
1.00000000
NC
-736.99000000
-0.00196754196
N/A
DFE
US
N
2
Morgan Stanley & Co. International PLC
4PQUHN3JPFGFNF3BB653
20000.00000000
GBP
26625.61000000
USD
2021-03-19
-736.99000000
N
N
N
Liberty Mutual Group Inc
QUR0DG15Z6FFGYCHH861
Liberty Mutual Group Inc
53079EBG8
155000.00000000
PA
USD
190366.44000000
0.508221222812
Long
DBT
CORP
US
N
2
2029-02-01
Fixed
4.57000000
N
N
N
N
N
N
UMBS, TBA
N/A
Uniform Mortgage-Backed Security, TBA
01F020620
875000.00000000
PA
USD
907196.13000000
2.421941212535
Long
ABS-MBS
USGSE
US
N
2
2051-02-15
Fixed
2.00000000
N
N
N
N
N
N
Barclays Commercial Mortgage Securities LLC
N/A
BBCMS Trust 2015-SRCH
05547HAJ0
135000.00000000
PA
USD
151269.96000000
0.403845362901
Long
ABS-MBS
CORP
US
N
2
2035-08-10
Fixed
4.50000000
N
N
N
N
N
N
DT Auto Owner Trust
N/A
DT Auto Owner Trust 2018-1
23342WAG3
91295.00000000
PA
USD
92537.04000000
0.247046105523
Long
ABS-O
CORP
US
N
2
2023-12-15
Fixed
3.81000000
N
N
N
N
N
N
JPMorgan Chase & Co
8I5DZWZKVSZI1NUHU748
JPMorgan Chase & Co
46625HJY7
350000.00000000
PA
USD
391840.11000000
1.046095413935
Long
DBT
CORP
US
N
2
2024-09-10
Fixed
3.88000000
N
N
N
N
N
N
United States Treasury
254900HROIFWPRGM1V77
United States Treasury Note/Bond
91282CAT8
750000.00000000
PA
USD
746601.56000000
1.993201941356
Long
DBT
UST
US
N
2
2025-10-31
Fixed
0.25000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138EPAH7
27404.97000000
PA
USD
30631.59000000
0.081777145837
Long
ABS-MBS
USGSE
US
N
2
2045-02-01
Fixed
4.50000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36179M2Q2
12727.36000000
PA
USD
13979.48000000
0.037321013199
Long
ABS-MBS
USGA
US
N
2
2043-02-20
Fixed
3.50000000
N
N
N
N
N
N
TEVA PHARM FIN IV BV
549300P1YOE2RRPSGG38
Teva Pharmaceutical Finance IV BV
88166JAA1
57000.00000000
PA
USD
57534.38000000
0.153599515531
Long
DBT
CORP
CW
N
2
2021-11-10
Fixed
3.65000000
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31400HMP5
25798.70000000
PA
USD
29998.82000000
0.080087839975
Long
ABS-MBS
USGSE
US
N
2
2033-03-01
Fixed
5.50000000
N
N
N
N
N
N
GOLDMAN SACHS GROUP INC
784F5XWPLTWKTBV3E584
Goldman Sachs Group Inc/The
38148LAF3
80000.00000000
PA
USD
111690.52000000
0.298180144835
Long
DBT
CORP
US
N
2
2045-05-22
Fixed
5.15000000
N
N
N
N
N
N
Ally Financial Inc
549300JBN1OSM8YNAI90
Ally Financial Inc
02005NAY6
100000.00000000
PA
USD
103846.35000000
0.277238566743
Long
DBT
CORP
US
N
2
2022-02-13
Fixed
4.13000000
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140X8MP9
49646.57000000
PA
USD
52777.15000000
0.140899140150
Long
ABS-MBS
USGSE
US
N
2
2050-11-01
Fixed
2.50000000
N
N
N
N
N
N
Barclays Bank PLC
G5GSEF7VJP5I7OUK5573
PURCHASED MXN / SOLD USD
000000000
1.00000000
NC
2857.50000000
0.007628666818
N/A
DFE
MX
N
2
Barclays Bank PLC
G5GSEF7VJP5I7OUK5573
186511.72000000
USD
3800000.00000000
MXN
2021-03-19
2857.50000000
N
N
N
Duke Energy Ohio Inc
L6KC0HABGHNFU1Z6QY21
Duke Energy Ohio Inc
26442EAG5
100000.00000000
PA
USD
129110.62000000
0.344686580126
Long
DBT
CORP
US
N
2
2049-02-01
Fixed
4.30000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31418CUH5
152562.64000000
PA
USD
160317.02000000
0.427998296034
Long
ABS-MBS
USGSE
US
N
2
2033-02-01
Fixed
3.00000000
N
N
N
N
N
N
Bank of America Corp
9DJT3UXIJIZJI4WXO774
Bank of America Corp
59022CAJ2
125000.00000000
PA
USD
181875.55000000
0.485553096547
Long
DBT
CORP
US
N
2
2037-01-29
Fixed
6.11000000
N
N
N
N
N
N
UMBS, TBA
N/A
Uniform Mortgage-Backed Security, TBA
01F022618
525000.00000000
PA
USD
553341.12000000
1.477254607687
Long
ABS-MBS
USGSE
US
N
2
2051-01-15
Fixed
2.50000000
N
N
N
N
N
N
Angel Oak Mortgage Trust
N/A
Angel Oak Mortgage Trust I LLC 2019-4
03463UAA5
143785.96000000
PA
USD
145133.11000000
0.387461816456
Long
ABS-MBS
CORP
US
N
2
2049-07-26
Variable
2.99000000
N
N
N
N
N
N
BP CAP MARKETS AMERICA
5493009NTB34VXE1T760
BP Capital Markets America Inc
10373QAV2
50000.00000000
PA
USD
55146.49000000
0.147224566376
Long
DBT
CORP
US
N
2
2027-01-16
Fixed
3.02000000
N
N
N
N
N
N
BERKSHIRE HATHAWAY ENERG
549300JD0S5IZJE9LY15
Berkshire Hathaway Energy Co
084659AR2
100000.00000000
PA
USD
132804.23000000
0.354547409539
Long
DBT
CORP
US
N
2
2049-01-15
Fixed
4.45000000
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
234774.95000000
0.626778607483
Long
ABS-O
CORP
US
N
2
2025-12-15
Fixed
3.98000000
N
N
N
N
N
N
JPMorgan Chase Bank, National Association
7H6GLXDRUGQFU57RNE97
PURCHASED BRL / SOLD USD
000000000
1.00000000
NC
-2564.20000000
-0.00684564390
N/A
DFE
BR
N
2
JPMorgan Chase Bank, National Association
7H6GLXDRUGQFU57RNE97
194768.52000000
USD
1000000.00000000
BRL
2021-03-19
-2564.20000000
N
N
N
Freddie Mac
N/A
Freddie Mac Gold Pool
31335AYK8
76317.48000000
PA
USD
84117.04000000
0.224567234267
Long
ABS-MBS
USGSE
US
N
2
2046-01-01
Fixed
4.00000000
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
307060.62000000
0.819759637119
Long
ABS-O
CORP
US
N
2
2025-10-14
Fixed
3.85000000
N
N
N
N
N
N
ENTERPRISE PRODUCTS OPER
5493004LGN656HWLDA30
Enterprise Products Operating LLC
29379VBK8
105000.00000000
PA
USD
105512.46000000
0.281686580067
Long
DBT
CORP
US
N
2
2021-04-15
Fixed
2.85000000
N
N
N
N
N
GS Mortgage-Backed Securities Trust
N/A
GS Mortgage-Backed Securities Trust 2020-NQM1
36259WAA9
108379.14000000
PA
USD
108952.89000000
0.290871494916
Long
ABS-MBS
CORP
US
N
2
2060-09-27
Variable
1.38000000
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
217873.04000000
0.581655583866
Long
ABS-MBS
CORP
US
N
2
2048-01-15
Fixed
3.80000000
N
N
N
N
N
N
Oracle Corp
1Z4GXXU7ZHVWFCD8TV52
Oracle Corp
68389XBQ7
50000.00000000
PA
USD
61664.67000000
0.164626149397
Long
DBT
CORP
US
N
2
2047-11-15
Fixed
4.00000000
N
N
N
N
N
N
Drive Auto Receivables Trust
N/A
Drive Auto Receivables Trust
26208KAG5
300000.00000000
PA
USD
310531.80000000
0.829026645233
Long
ABS-O
CORP
US
N
2
2024-09-16
Fixed
4.30000000
N
N
N
N
N
N
Chicago Board of Trade
549300EX04Q2QBFQTQ27
US 10YR ULTRA FUT MAR21 XCBT 20210322
000000000
4.00000000
NC
USD
-2177.72000000
-0.00581385837
N/A
DIR
US
N
1
Chicago Board of Trade
549300EX04Q2QBFQTQ27
Long
US 10 Year Ultra Bond
UXYH1 Comdty
2021-03-22
627615.22000000
USD
-2177.72000000
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138WQAW2
62180.69000000
PA
USD
67480.07000000
0.180151520882
Long
ABS-MBS
USGSE
US
N
2
2043-05-01
Fixed
3.00000000
N
N
N
N
N
N
Freddie Mac
N/A
Freddie Mac Gold Pool
31335BMH6
77874.63000000
PA
USD
87599.57000000
0.233864543473
Long
ABS-MBS
USGSE
US
N
2
2046-04-01
Fixed
4.50000000
N
N
N
N
N
N
AmeriCredit Automobile Receivables Trust
5493003R0K8V08JVGR27
Americredit Automobile Receivables Trust 2018-1
03066HAG2
100000.00000000
PA
USD
105179.03000000
0.280796422105
Long
ABS-O
CORP
US
N
2
2024-03-18
Fixed
3.82000000
N
N
N
N
N
N
HOME DEPOT INC
QEKMOTMBBKA8I816DO57
Home Depot Inc/The
437076BN1
100000.00000000
PA
USD
107749.97000000
0.287660059784
Long
DBT
CORP
US
N
2
2026-09-15
Fixed
2.13000000
N
N
N
N
N
N
Freddie Mac
N/A
Freddie Mac Pool
3131XXLS8
132515.43000000
PA
USD
140867.14000000
0.376072957738
Long
ABS-MBS
USGSE
US
N
2
2047-08-01
Fixed
3.50000000
N
N
N
N
N
N
FISERV INC
GI7UBEJLXYLGR2C7GV83
Fiserv Inc
337738AT5
60000.00000000
PA
USD
67194.80000000
0.179389935656
Long
DBT
CORP
US
N
2
2026-07-01
Fixed
3.20000000
N
N
N
N
N
N
DELTA AIR LINES INC
Q2CCMS6R0AS67HJMBN42
Delta Air Lines Inc
247361ZX9
100000.00000000
PA
USD
115434.15000000
0.308174512626
Long
DBT
CORP
US
N
2
2025-05-01
Fixed
7.00000000
N
N
N
N
N
N
Gilead Sciences Inc
549300WTZWR07K8MNV44
Gilead Sciences Inc
375558BF9
75000.00000000
PA
USD
85207.15000000
0.227477500579
Long
DBT
CORP
US
N
2
2026-03-01
Fixed
3.65000000
N
N
N
N
N
N
REPUBLICA ORIENT URUGUAY
549300RDR012H2V82H43
Uruguay Government International Bond
760942AS1
100000.00000000
PA
USD
161687.50000000
0.431657066043
Long
DBT
NUSS
UY
N
2
2036-03-21
Fixed
7.63000000
N
N
N
N
N
N
Tesla Auto Lease Trust
N/A
Tesla Auto Lease Trust 2020-A
88167HAG1
100000.00000000
PA
USD
102399.14000000
0.273374950678
Long
ABS-O
CORP
US
N
2
2024-02-20
Fixed
2.33000000
N
N
N
N
N
N
Deephaven Residential Mortgage Trust
N/A
Deephaven Residential Mortgage Trust 2018-3
24381KAA2
82370.42000000
PA
USD
82751.12000000
0.220920638089
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
3138EPZL1
85733.20000000
PA
USD
93718.21000000
0.250199474686
Long
ABS-MBS
USGSE
US
N
2
2045-06-01
Fixed
3.50000000
N
N
N
N
N
N
Smithfield Foods Inc
CVTIPZRZJC0JQEZLL598
Smithfield Foods Inc
832248AY4
80000.00000000
PA
USD
81098.04000000
0.216507410951
Long
DBT
CORP
US
N
2
2022-02-01
Fixed
3.35000000
N
N
N
N
N
N
Verus Securitization Trust
N/A
Verus Securitization Trust 2019-4
92537KAA2
95758.65000000
PA
USD
97979.21000000
0.261575064997
Long
ABS-MBS
CORP
US
N
2
2059-11-25
Variable
2.64000000
N
N
N
N
N
N
GE CAPITAL INTL FUNDING
549300G6UZOB126GBY72
GE Capital International Funding Co Unlimited Co
36164Q6M5
200000.00000000
PA
USD
222548.91000000
0.594138752481
Long
DBT
CORP
IE
N
2
2025-11-15
Fixed
3.37000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36179VZS2
150000.00000000
PA
USD
159491.18000000
0.425793551255
Long
ABS-MBS
USGA
US
N
2
2050-12-20
Fixed
3.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138EPSH8
16715.72000000
PA
USD
18796.25000000
0.050180342497
Long
ABS-MBS
USGSE
US
N
2
2044-12-01
Fixed
4.50000000
N
N
N
N
N
N
Dell Equipment Finance Trust
N/A
Dell Equipment Finance Trust 2020-2
24704GAF0
150000.00000000
PA
USD
151347.05000000
0.404051170049
Long
ABS-O
CORP
US
N
2
2026-03-23
Fixed
1.92000000
N
N
N
N
N
N
Republic of Turkey
5493000PCHOG3B6S3Q85
Turkey Government International Bond
900123AY6
100000.00000000
PA
USD
108750.00000000
0.290329839549
Long
DBT
NUSS
TR
N
2
2036-03-17
Fixed
6.88000000
N
N
N
N
N
N
ALLSTATE CORP
OBT0W1ED8G0NWVOLOJ77
Allstate Corp/The
020002BB6
25000.00000000
PA
USD
26751.50000000
0.071418470829
Long
DBT
CORP
US
N
2
2053-08-15
Fixed
5.75000000
N
N
N
N
N
N
Nabors Industries Inc
549300VFQWRKICUFNU92
Nabors Industries Inc
629568AX4
150000.00000000
PA
USD
135000.00000000
0.360409455993
Long
DBT
CORP
US
N
2
2021-09-15
Fixed
4.63000000
N
N
N
N
N
N
Invitation Homes Trust
N/A
Invitation Homes 2018-SFR1 Trust
46185JAE8
100000.00000000
PA
USD
99917.41000000
0.266749476906
Long
ABS-O
CORP
US
N
2
2037-03-17
Floating
1.40000000
N
N
N
N
N
N
Comcast Corp
51M0QTTNCGUN7KFCFZ59
Comcast Corp
20030NCC3
88000.00000000
PA
USD
110030.70000000
0.293748923922
Long
DBT
CORP
US
N
2
2047-11-01
Fixed
3.97000000
N
N
N
N
N
N
ONEMAIN FINANCE CORP
5493008I795YYBFWFU90
OneMain Finance Corp
85172FAM1
200000.00000000
PA
USD
232250.00000000
0.620037749291
Long
DBT
CORP
US
N
2
2025-03-15
Fixed
6.88000000
N
N
N
N
N
N
Drive Auto Receivables Trust
N/A
Drive Auto Receivables Trust 2018-2
26208JAG8
200000.00000000
PA
USD
205781.20000000
0.549374002559
Long
ABS-O
CORP
US
N
2
2024-08-15
Fixed
4.14000000
N
N
N
N
N
N
Alabama Power Co
0RL818ELFOHP5JHOFU19
Alabama Power Co
010392FB9
100000.00000000
PA
USD
148602.78000000
0.396724793324
Long
DBT
CORP
US
N
2
2039-03-01
Fixed
6.00000000
N
N
N
N
N
N
Verus Securitization Trust
N/A
Verus Securitization Trust 2020-4
92538LAA9
90151.54000000
PA
USD
90809.88000000
0.242435107034
Long
ABS-MBS
CORP
US
N
2
2065-05-25
Variable
1.50000000
N
N
N
N
N
N
Vista Point Securitization Trust
N/A
Vista Point Securitization Trust 2020-1
92838WAA2
83558.44000000
PA
USD
84204.51000000
0.224800752898
Long
ABS-MBS
CORP
US
N
2
2065-03-25
Variable
1.76000000
N
N
N
N
N
N
ICE Futures Europe - Financial Products Division
N/A
LONG GILT FUTURE MAR21 IFLL 20210329
000000000
-6.00000000
NC
-10712.95000000
-0.02860035912
N/A
DIR
GB
N
1
ICE Futures Europe - Financial Products Division
N/A
Short
United Kingdom Gilt
G H1 Comdty
2021-03-29
-805406.04000000
GBP
-10712.95000000
N
N
N
New Residential Mortgage Loan Trust
N/A
New Residential Mortgage Loan Trust 2020-NQM
64830UAA3
87257.64000000
PA
USD
87843.35000000
0.234515362860
Long
ABS-MBS
CORP
US
N
2
2060-05-24
Variable
1.65000000
N
N
N
N
N
N
OneMain Financial Issuance Trust
N/A
OneMain Financial Issuance Trust 2019-1
68267DAA4
225000.00000000
PA
USD
226981.73000000
0.605973050590
Long
ABS-O
CORP
US
N
2
2031-02-14
Fixed
3.48000000
N
N
N
N
N
N
MPLX LP
5493000CZJ19CK4P3G36
MPLX LP
55336VAJ9
70000.00000000
PA
USD
80838.77000000
0.215815237917
Long
DBT
CORP
US
N
2
2025-06-01
Fixed
4.88000000
N
N
N
N
N
Exelon Corp
3SOUA6IRML7435B56G12
Exelon Corp
30161NAU5
150000.00000000
PA
USD
168914.57000000
0.450951172466
Long
DBT
CORP
US
N
2
2026-04-15
Fixed
3.40000000
N
N
N
N
N
N
AEP Texas Inc
5493001L78U618KXNZ75
AEP Texas Inc
00108WAJ9
50000.00000000
PA
USD
61793.81000000
0.164970914413
Long
DBT
CORP
US
N
2
2049-05-01
Fixed
4.15000000
N
N
N
N
N
N
UMBS, TBA
N/A
Uniform Mortgage-Backed Security, TBA
01F022626
250000.00000000
PA
USD
263036.79000000
0.702229232518
Long
ABS-MBS
USGSE
US
N
2
2051-02-15
Fixed
2.50000000
N
N
N
N
N
N
CVS Health Corp
549300EJG376EN5NQE29
CVS Health Corp
126650CX6
68000.00000000
PA
USD
80939.94000000
0.216085331433
Long
DBT
CORP
US
N
2
2028-03-25
Fixed
4.30000000
N
N
N
N
N
N
SoFi Consumer Loan Program Trust
N/A
Sofi Consumer Loan Program 2018-2 Trust
78471WAB1
18159.93000000
PA
USD
18210.86000000
0.048617527005
Long
ABS-O
CORP
US
N
2
2027-04-26
Fixed
3.35000000
N
N
N
N
N
N
Vista Point Securitization Trust
N/A
Vista Point Securitization Trust 2020-2
92838TAA9
92204.36000000
PA
USD
92632.63000000
0.247301302114
Long
ABS-MBS
CORP
US
N
2
2065-04-25
Variable
1.48000000
N
N
N
N
N
N
HPEFS Equipment Trust
549300NXXXDG2TJQD265
HPEFS Equipment Trust 2019-1
40438DAF6
200000.00000000
PA
USD
204449.14000000
0.545817802412
Long
ABS-O
CORP
US
N
2
2029-09-20
Fixed
2.72000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138EMDC2
133363.39000000
PA
USD
149726.19000000
0.399723960635
Long
ABS-MBS
USGSE
US
N
2
2043-12-01
Fixed
4.00000000
N
N
N
N
N
N
Gilead Sciences Inc
549300WTZWR07K8MNV44
Gilead Sciences Inc
375558BD4
50000.00000000
PA
USD
66169.37000000
0.176652345519
Long
DBT
CORP
US
N
2
2046-03-01
Fixed
4.75000000
N
N
N
N
N
N
HPEFS Equipment Trust
N/A
HPEFS Equipment Trust 2020-1
40438FAF1
200000.00000000
PA
USD
201937.16000000
0.539111570225
Long
ABS-O
CORP
US
N
2
2030-02-20
Fixed
2.26000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31418CRC0
242292.22000000
PA
USD
257175.48000000
0.686581295122
Long
ABS-MBS
USGSE
US
N
2
2047-11-01
Fixed
3.50000000
N
N
N
N
N
N
Chicago Board of Trade
549300EX04Q2QBFQTQ27
US 10YR NOTE (CBT)MAR21 XCBT 20210322
000000000
5.00000000
NC
USD
-397.92000000
-0.00106232689
N/A
DIR
US
N
1
Chicago Board of Trade
549300EX04Q2QBFQTQ27
Long
10 Year US Treasury Note
TYH1 Comdty
2021-03-22
690788.55000000
USD
-397.92000000
N
N
N
REPUBLIC OF PANAMA
549300SHS4T08CL0LP14
Panama Government International Bond
698299BL7
50000.00000000
PA
USD
58875.00000000
0.157178568308
Long
DBT
NUSS
PA
N
2
2060-07-23
Fixed
3.87000000
N
N
N
N
N
N
Morgan Stanley
IGJSJL3JD5P30I6NJZ34
Morgan Stanley
6174824M3
350000.00000000
PA
USD
377054.86000000
1.006623236830
Long
DBT
CORP
US
N
2
2022-11-01
Fixed
4.88000000
N
N
N
N
N
N
Citigroup Inc
6SHGI4ZSSLCXXQSBB395
Citigroup Inc
172967HB0
300000.00000000
PA
USD
360532.99000000
0.962514805877
Long
DBT
CORP
US
N
2
2025-09-13
Fixed
5.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138ERT91
16355.57000000
PA
USD
18175.31000000
0.048522619182
Long
ABS-MBS
USGSE
US
N
2
2046-08-01
Fixed
4.50000000
N
N
N
N
N
N
QUALCOMM Inc
H1J8DDZKZP6H7RWC0H53
QUALCOMM Inc
747525AU7
60000.00000000
PA
USD
68077.89000000
0.181747520741
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) MAR21 XCBT 20210331
000000000
11.00000000
NC
USD
1983.93000000
0.005296497274
N/A
DIR
US
N
1
Chicago Board of Trade
549300EX04Q2QBFQTQ27
Long
2 Year US Treasury Note
TUH1 Comdty
2021-03-31
2428758.25000000
USD
1983.93000000
N
N
N
Ecopetrol SA
254900IDGKCJICKBPA66
Ecopetrol SA
279158AL3
70000.00000000
PA
USD
80478.13000000
0.214852437426
Long
DBT
CORP
CO
N
2
2026-06-26
Fixed
5.38000000
N
N
N
N
N
N
FISERV INC
GI7UBEJLXYLGR2C7GV83
Fiserv Inc
337738AV0
50000.00000000
PA
USD
66858.12000000
0.178491101169
Long
DBT
CORP
US
N
2
2049-07-01
Fixed
4.40000000
N
N
N
N
N
N
Tesla Auto Lease Trust
N/A
Tesla Auto Lease Trust 2020-A
88167HAE6
100000.00000000
PA
USD
101312.49000000
0.270473921527
Long
ABS-O
CORP
US
N
2
2024-01-22
Fixed
1.18000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138EMNW7
18593.78000000
PA
USD
21059.55000000
0.056222673770
Long
ABS-MBS
USGSE
US
N
2
2044-02-01
Fixed
4.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138X0Y36
75922.41000000
PA
USD
80982.96000000
0.216200181913
Long
ABS-MBS
USGSE
US
N
2
2043-07-01
Fixed
3.00000000
N
N
N
N
N
N
SoFi Consumer Loan Program Trust
N/A
Sofi Consumer Loan Program 2018-2 Trust
78471WAC9
125000.00000000
PA
USD
127716.44000000
0.340964538235
Long
ABS-O
CORP
US
N
2
2027-04-26
Fixed
3.79000000
N
N
N
N
N
N
Drive Auto Receivables Trust
N/A
Drive Auto Receivables Trust 2017-1
26208EAG9
28307.20000000
PA
USD
28645.74000000
0.076475522740
Long
ABS-O
CORP
US
N
2
2023-03-15
Fixed
3.84000000
N
N
N
N
N
N
KINDER MORGAN INC
549300WR7IX8XE0TBO16
Kinder Morgan Inc
49456BAP6
100000.00000000
PA
USD
117229.01000000
0.312966249782
Long
DBT
CORP
US
N
2
2028-03-01
Fixed
4.30000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138AAYW5
25823.72000000
PA
USD
28116.88000000
0.075063625370
Long
ABS-MBS
USGSE
US
N
2
2041-03-01
Fixed
4.00000000
N
N
N
N
N
N
Citigroup Inc
6SHGI4ZSSLCXXQSBB395
Citigroup Inc
172967KU4
50000.00000000
PA
USD
58467.40000000
0.156090398720
Long
DBT
CORP
US
N
2
2028-07-25
Fixed
4.13000000
N
N
N
N
N
N
Aon PLC
635400FALWQYX5E6QC64
Aon PLC
00185AAH7
50000.00000000
PA
USD
67713.88000000
0.180775723362
Long
DBT
CORP
IE
N
2
2045-05-15
Fixed
4.75000000
N
N
N
N
N
N
United States Treasury
254900HROIFWPRGM1V77
United States Treasury Note/Bond
91282CAV3
625000.00000000
PA
USD
622558.59000000
1.662044464782
Long
DBT
UST
US
N
2
2030-11-15
Fixed
0.88000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31418DV74
250000.00000000
PA
USD
259681.47000000
0.693271535808
Long
ABS-MBS
USGSE
US
N
2
2051-01-01
Fixed
2.00000000
N
N
N
N
N
N
Freddie Mac
N/A
Freddie Mac Gold Pool
3132L8QW0
75056.71000000
PA
USD
80975.37000000
0.216179918892
Long
ABS-MBS
USGSE
US
N
2
2047-05-01
Fixed
4.00000000
N
N
N
N
N
N
ROGERS COMMUNICATIONS IN
54930030NVF3Y2OL0A78
Rogers Communications Inc
775109BB6
60000.00000000
PA
USD
82142.49000000
0.219295778776
Long
DBT
CORP
CA
N
2
2044-03-15
Fixed
5.00000000
N
N
N
N
N
N
SUNOCO LOGISTICS PARTNER
5493006LL0CKP8WQW329
Sunoco Logistics Partners Operations LP
86765BAV1
50000.00000000
PA
USD
56316.83000000
0.150349022692
Long
DBT
CORP
US
N
2
2047-10-01
Fixed
5.40000000
N
N
N
N
N
N
United States Treasury
254900HROIFWPRGM1V77
United States Treasury Note/Bond
912828ZQ6
890000.00000000
PA
USD
869557.81000000
2.321458201900
Long
DBT
UST
US
N
2
2030-05-15
Fixed
0.63000000
N
N
N
N
N
N
Verus Securitization Trust
N/A
Verus Securitization Trust 2020-5
92538CAA9
93229.55000000
PA
USD
93360.44000000
0.249244336234
Long
ABS-MBS
CORP
US
N
2
2065-05-25
Variable
1.22000000
N
N
N
N
N
N
FOX CORP
549300DDU6FDRBIELS05
Fox Corp
35137LAK1
50000.00000000
PA
USD
72970.10000000
0.194808252183
Long
DBT
CORP
US
N
2
2049-01-25
Fixed
5.58000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36179QPH8
34432.88000000
PA
USD
37997.05000000
0.101440711998
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 Pool
3131XXKH3
55137.41000000
PA
USD
58537.62000000
0.156277865032
Long
ABS-MBS
USGSE
US
N
2
2047-08-01
Fixed
3.50000000
N
N
N
N
N
N
AT&T Inc
549300Z40J86GGSTL398
AT&T Inc
00206RGQ9
316000.00000000
PA
USD
377468.32000000
1.007727050857
Long
DBT
CORP
US
N
2
2030-02-15
Fixed
4.30000000
N
N
N
N
N
N
Marathon Petroleum Corp
3BNYRYQHD39K4LCKQF12
Marathon Petroleum Corp
56585AAH5
70000.00000000
PA
USD
80223.59000000
0.214172892071
Long
DBT
CORP
US
N
2
2044-09-15
Fixed
4.75000000
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
231031.94000000
0.616785894906
Long
ABS-O
CORP
US
N
2
2026-11-25
Fixed
3.52000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31405XRA3
24269.96000000
PA
USD
28507.40000000
0.076106196487
Long
ABS-MBS
USGSE
US
N
2
2034-11-01
Fixed
5.50000000
N
N
N
N
N
N
United States Treasury
254900HROIFWPRGM1V77
United States Treasury Note/Bond
912828YY0
185000.00000000
PA
USD
195948.24000000
0.523122952453
Long
DBT
UST
US
N
2
2024-12-31
Fixed
1.75000000
N
N
N
N
N
N
HSBC Holdings PLC
MLU0ZO3ML4LN2LL2TL39
HSBC Holdings PLC
404280AH2
100000.00000000
PA
USD
146172.00000000
0.390235340751
Long
DBT
CORP
GB
N
2
2037-09-15
Fixed
6.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31405MW37
72240.96000000
PA
USD
81846.78000000
0.218506321885
Long
ABS-MBS
USGSE
US
N
2
2034-09-01
Fixed
5.50000000
N
N
N
N
N
N
Comcast Corp
51M0QTTNCGUN7KFCFZ59
Comcast Corp
20030NCL3
50000.00000000
PA
USD
65802.69000000
0.175673420042
Long
DBT
CORP
US
N
2
2038-10-15
Fixed
4.60000000
N
N
N
N
N
N
FOX CORP
549300DDU6FDRBIELS05
Fox Corp
35137LAM7
25000.00000000
PA
USD
27346.27000000
0.073006328104
Long
DBT
CORP
US
N
2
2025-04-07
Fixed
3.05000000
N
N
N
N
N
N
Seagate HDD Cayman
529900BD50TRWEG1SF63
Seagate HDD Cayman
81180WAN1
80000.00000000
PA
USD
94231.20000000
0.251569003922
Long
DBT
CORP
KY
N
2
2034-12-01
Fixed
5.75000000
N
N
N
N
N
N
COLT Funding LLC
N/A
COLT 2020-3 Mortgage Loan Trust
12597QAA4
83866.41000000
PA
USD
84530.15000000
0.225670113900
Long
ABS-MBS
CORP
US
N
2
2065-04-27
Variable
1.51000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140J73M5
68199.70000000
PA
USD
75050.66000000
0.200362722537
Long
ABS-MBS
USGSE
US
N
2
2032-04-01
Fixed
3.50000000
N
N
N
N
N
N
FORD MOTOR CREDIT CO LLC
UDSQCVRUX5BONN0VY111
Ford Motor Credit Co LLC
345397ZW6
300000.00000000
PA
USD
320250.00000000
0.854971320605
Long
DBT
CORP
US
N
2
2026-08-01
Fixed
4.54000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36179T7M1
15561.20000000
PA
USD
17017.55000000
0.045431747687
Long
ABS-MBS
USGA
US
N
2
2048-08-20
Fixed
5.00000000
N
N
N
N
N
N
Freddie Mac
N/A
Freddie Mac Pool
3132AAM76
94114.25000000
PA
USD
102362.45000000
0.273276999397
Long
ABS-MBS
USGSE
US
N
2
2043-09-01
Fixed
3.00000000
N
N
N
N
N
N
AEP Texas Inc
5493001L78U618KXNZ75
AEP Texas Inc
0010EPAF5
50000.00000000
PA
USD
69604.67000000
0.185823564809
Long
DBT
CORP
US
N
2
2033-02-15
Fixed
6.65000000
N
N
N
N
N
N
NOVA Chemicals Corp
5493007M1XGU5E55ZJ25
NOVA Chemicals Corp
66977WAN9
210000.00000000
PA
USD
211050.00000000
0.563440116202
Long
DBT
CORP
CA
N
2
2023-08-01
Fixed
5.25000000
N
N
N
N
N
N
EOG Resources Inc
XWTZDRYZPBUHIQBKDB46
EOG Resources Inc
26875PAN1
50000.00000000
PA
USD
58626.50000000
0.156515147939
Long
DBT
CORP
US
N
2
2035-04-01
Fixed
3.90000000
N
N
N
N
N
N
Rosslyn Portfolio Trust 2017 ROSS
N/A
Rosslyn Portfolio Trust 2017-ROSS
77846EAL9
234620.04000000
PA
USD
228830.81000000
0.610909538863
Long
ABS-MBS
CORP
US
N
2
2033-06-15
Floating
3.99000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36225BEA2
6720.97000000
PA
USD
7702.30000000
0.020562827799
Long
ABS-MBS
USGA
US
N
2
2029-05-15
Fixed
6.50000000
N
N
N
N
N
N
Bank of America, National Association
B4TYDEB6GKMZO031MB27
PURCHASED RUB / SOLD USD
000000000
1.00000000
NC
-813.83000000
-0.00217268168
N/A
DFE
RU
N
2
Bank of America, National Association
B4TYDEB6GKMZO031MB27
188834.49000000
USD
14000000.00000000
RUB
2021-03-19
-813.83000000
N
N
N
BROADCOM CRP / CAYMN FI
N/A
Broadcom Corp / Broadcom Cayman Finance Ltd
11134LAP4
30000.00000000
PA
USD
32387.78000000
0.086465645708
Long
DBT
CORP
XX
N
2
2025-01-15
Fixed
3.13000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31418DVX7
125000.00000000
PA
USD
130728.51000000
0.349005860532
Long
ABS-MBS
USGSE
US
N
2
2036-01-01
Fixed
2.00000000
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
83339.03000000
0.222490181224
Long
ABS-MBS
CORP
US
N
2
2048-05-15
Variable
4.04000000
N
N
N
N
N
N
United States Treasury
254900HROIFWPRGM1V77
United States Treasury Note/Bond
912828ZM5
375000.00000000
PA
USD
375087.89000000
1.001372017662
Long
DBT
UST
US
N
2
2022-04-30
Fixed
0.13000000
N
N
N
N
N
N
Synchrony Financial
549300RS7EWPM9MA6C78
Synchrony Financial
87165BAG8
90000.00000000
PA
USD
101250.10000000
0.270307358964
Long
DBT
CORP
US
N
2
2025-07-23
Fixed
4.50000000
N
N
N
N
N
N
AMERICAN INTL GROUP
ODVCVCQG2BP6VHV36M30
American International Group Inc
026874DQ7
50000.00000000
PA
USD
53738.98000000
0.143466937388
Long
DBT
CORP
US
N
2
2025-06-30
Fixed
2.50000000
N
N
N
N
N
N
WALT DISNEY COMPANY/THE
549300GZKULIZ0WOW665
Walt Disney Co/The
254687EX0
50000.00000000
PA
USD
69721.93000000
0.186136613793
Long
DBT
CORP
US
N
2
2045-10-15
Fixed
4.95000000
N
N
N
N
N
N
BENCHMARK Mortgage Trust
N/A
Benchmark 2020-B20 Mortgage Trust
08162XBL7
175000.00000000
PA
USD
183664.06000000
0.490327881111
Long
ABS-MBS
CORP
US
N
2
2053-10-15
Fixed
2.37000000
N
N
N
N
N
N
2021-01-27
UBS FUNDS
Joanne Kilkeary
Joanne Kilkeary
Vice President and Treasurer