0001752724-21-174630.txt : 20210819
0001752724-21-174630.hdr.sgml : 20210819
20210819074509
ACCESSION NUMBER: 0001752724-21-174630
CONFORMED SUBMISSION TYPE: NPORT-P
PUBLIC DOCUMENT COUNT: 1
CONFORMED PERIOD OF REPORT: 20210630
FILED AS OF DATE: 20210819
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: 211188424
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
2021-06-30
N
41142503.03
5710427.52
35432075.51
0.00000000
0.00000000
0.00000000
0.00000000
0.00000000
0.00000000
0.00000000
0.00000000
0.00000000
0.00000000
3714750.14000000
0.00000000
0.00000000
264943.73000000
EUR
GBP
USD
N
Santander Drive Auto Receivables Trust
N/A
Santander Drive Auto Receivables Trust 2017-3
80284YAG9
146745.38000000
PA
USD
148226.64000000
0.418340268997
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
106043.45000000
0.299286588419
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
142203.63000000
PA
USD
142181.69000000
0.401279597521
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
85734.96000000
0.241969906549
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
75545.66000000
0.213212629835
Long
DBT
CORP
US
N
2
2027-06-17
Fixed
3.19600000
N
N
N
N
N
N
Residential Mortgage Loan Trust
N/A
Residential Mortgage Loan Trust 2020-2
76123MAA1
74513.77000000
PA
USD
74982.93000000
0.211624436109
Long
ABS-MBS
CORP
US
N
2
2060-05-25
Variable
1.65400000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140X8ML8
46325.06000000
PA
USD
48126.73000000
0.135828142459
Long
ABS-MBS
USGSE
US
N
2
2050-11-01
Fixed
2.50000000
N
N
N
N
N
N
UMBS, TBA
N/A
Uniform Mortgage-Backed Security, TBA
01F032674
275000.00000000
PA
USD
289437.50000000
0.816879891549
Long
ABS-MBS
USGSE
US
N
2
2051-07-15
Fixed
3.50000000
N
N
N
N
N
N
Verus Securitization Trust
N/A
Verus Securitization Trust 2021-3
92539LAA8
400000.00000000
PA
USD
399996.96000000
1.128912021784
Long
ABS-MBS
CORP
US
N
3
2066-06-25
Variable
1.04600000
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
210250.00000000
0.593388891205
Long
DBT
CORP
XX
N
2
2025-04-30
Fixed
5.25000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31418DXJ6
49226.48000000
PA
USD
48300.22000000
0.136317783547
Long
ABS-MBS
USGSE
US
N
2
2051-03-01
Fixed
1.50000000
N
N
N
N
N
N
Verus Securitization Trust
N/A
Verus Securitization Trust 2021-R1
92538BAA1
156935.51000000
PA
USD
156800.50000000
0.442538286970
Long
ABS-MBS
CORP
US
N
2
2063-10-25
Variable
0.82000000
N
N
N
N
N
N
SoFi Consumer Loan Program Trust
N/A
Sofi Consumer Loan Program 2018-1 Trust
83405RAC1
67819.59000000
PA
USD
68757.43000000
0.194054198096
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
41744.75000000
PA
USD
42006.17000000
0.118554076766
Long
ABS-MBS
CORP
US
N
2
2048-09-25
Variable
3.64900000
N
N
N
N
N
N
JPMorgan Chase & Co
8I5DZWZKVSZI1NUHU748
JPMorgan Chase & Co
46647PAM8
150000.00000000
PA
USD
165325.63000000
0.466598774190
Long
DBT
CORP
US
N
2
2029-01-23
Fixed
3.50900000
N
N
N
N
N
N
JPMorgan Chase Bank, National Association
7H6GLXDRUGQFU57RNE97
PURCHASED USD / SOLD NZD
000000000
1.00000000
NC
3101.25000000
0.008752662539
N/A
DFE
US
N
2
JPMorgan Chase Bank, National Association
7H6GLXDRUGQFU57RNE97
485000.00000000
NZD
342104.16000000
USD
2021-07-21
3101.25000000
N
N
N
Prudential Financial Inc
5PRBRS5FEH7NREC8OR45
Prudential Financial Inc
74432QBN4
50000.00000000
PA
USD
75359.30000000
0.212686665726
Long
DBT
CORP
US
N
2
2040-06-21
Fixed
6.62500000
N
N
N
N
N
N
MetLife Inc
C4BXATY60WC6XEOZDX54
MetLife Inc
59156RAP3
110000.00000000
PA
USD
141275.49000000
0.398722027898
Long
DBT
CORP
US
N
2
2066-12-15
Fixed
6.40000000
N
N
N
N
N
N
SoFi Consumer Loan Program Trust
N/A
Sofi Consumer Loan Program 2018-3 Trust
83405XAC8
97893.45000000
PA
USD
99155.77000000
0.279847478796
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
164656.10000000
0.464709158664
Long
DBT
CORP
US
N
2
2026-06-15
Fixed
3.20000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31418DSH6
134114.99000000
PA
USD
135563.06000000
0.382599828118
Long
ABS-MBS
USGSE
US
N
2
2050-09-01
Fixed
2.00000000
N
N
N
N
N
N
BIOGEN INC
W8J5WZB5IY3K0NDQT671
Biogen Inc
09062XAJ2
56000.00000000
PA
USD
56037.41000000
0.158154466520
Long
DBT
CORP
US
N
2
2051-02-15
Fixed
3.25000000
N
N
N
N
N
N
ADT SEC CORP
5493009JEEDYLVRA0J13
ADT Security Corp/The
00101JAF3
140000.00000000
PA
USD
142625.00000000
0.402530752001
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
45650.28000000
0.128838853899
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
360755.34000000
1.018160338640
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
64459.22000000
0.181923353549
Long
DBT
CORP
US
N
2
2048-10-15
Fixed
4.70000000
N
N
N
N
N
N
Chicago Board of Trade
549300EX04Q2QBFQTQ27
US 10YR ULTRA FUT SEP21 XCBT 20210921
000000000
7.00000000
NC
USD
15247.60000000
0.043033324411
N/A
DIR
US
N
1
Chicago Board of Trade
549300EX04Q2QBFQTQ27
Long
US 10 Year Ultra Bond
UXYU1 Comdty
2021-09-21
1015174.28000000
USD
15247.60000000
N
N
N
HPEFS Equipment Trust
N/A
HPEFS Equipment Trust 2021-1
40440YAF6
300000.00000000
PA
USD
299146.14000000
0.844280600823
Long
ABS-O
CORP
US
N
2
2031-03-20
Fixed
1.03000000
N
N
N
N
N
N
KINDER MORGAN INC
549300WR7IX8XE0TBO16
Kinder Morgan Inc
49456BAH4
40000.00000000
PA
USD
51784.80000000
0.146152318921
Long
DBT
CORP
US
N
2
2045-06-01
Fixed
5.55000000
N
N
N
N
N
N
BX Trust
N/A
BX Trust
05608WAL8
150000.00000000
PA
USD
150179.84000000
0.423852788295
Long
ABS-MBS
CORP
US
N
2
2038-06-15
Floating
1.50000000
N
N
N
N
N
N
UMBS, TBA
N/A
Uniform Mortgage-Backed Security, TBA
01F012478
150000.00000000
PA
USD
151753.50000000
0.428294131279
Long
ABS-MBS
USGSE
US
N
2
2036-07-19
Fixed
1.50000000
N
N
N
N
N
N
Barclays PLC
213800LBQA1Y9L22JB70
Barclays PLC
06738EAW5
200000.00000000
PA
USD
224836.90000000
0.634557521013
Long
DBT
CORP
GB
N
2
2028-05-09
Fixed
4.83600000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36179RD89
6925.01000000
PA
USD
7522.67000000
0.021231242854
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
40463.72000000
PA
USD
42866.63000000
0.120982554318
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
57753.58000000
0.162998015692
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
175279.40000000
0.494691314231
Long
ABS-MBS
CORP
US
N
2
2061-11-15
Variable
4.40700000
N
N
N
N
N
N
ICE Futures Europe - Financial Products Division
N/A
LONG GILT FUTURE SEP21 IFLL 20210928
000000000
-6.00000000
NC
-9550.25000000
-0.02695368493
N/A
DIR
GB
N
1
ICE Futures Europe - Financial Products Division
N/A
Short
United Kingdom Gilt
G U1 Comdty
2021-09-28
-761696.04000000
GBP
-9550.25000000
N
N
N
MICROSOFT CORP
INR2EJN1ERAN0W5ZP974
Microsoft Corp
594918CC6
100000.00000000
PA
USD
98248.09000000
0.277285732167
Long
DBT
CORP
US
N
2
2050-06-01
Fixed
2.52500000
N
N
N
N
N
N
Exelon Corp
3SOUA6IRML7435B56G12
Exelon Corp
30161NAV3
50000.00000000
PA
USD
60615.58000000
0.171075442596
Long
DBT
CORP
US
N
2
2046-04-15
Fixed
4.45000000
N
N
N
N
N
N
EQT Corp
4NT01YGM4X7ZX86ISY52
EQT Corp
26884LAF6
100000.00000000
PA
USD
107125.00000000
0.302339048610
Long
DBT
CORP
US
N
2
2027-10-01
Fixed
3.90000000
N
N
N
N
N
N
JPMorgan Chase & Co
8I5DZWZKVSZI1NUHU748
JPMorgan Chase & Co
46625HHA1
97000.00000000
PA
USD
97242.50000000
0.274447653998
Long
DBT
CORP
US
N
2
2021-07-30
Variable
3.65600000
N
N
N
N
N
N
Illinois Tool Works Inc
76NA4I14SZCFAYMNSV04
Illinois Tool Works Inc
452308AX7
80000.00000000
PA
USD
85809.59000000
0.242180534910
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
109756.89000000
PA
USD
109479.40000000
0.308983875271
Long
ABS-MBS
CORP
US
N
2
2036-03-15
Floating
2.17300000
N
N
N
N
N
N
Reynolds American Inc
02S2RPPVO9RP4NEU2740
Reynolds American Inc
761713AT3
35000.00000000
PA
USD
46999.98000000
0.132648114239
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
196151.30000000
0.553598108992
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
224727.21000000
0.634247942761
Long
DBT
CORP
GB
N
2
2025-12-10
Fixed
4.58200000
N
N
N
N
N
N
COLT Funding LLC
N/A
COLT 2020-2 Mortgage Loan Trust
19688JAA5
48082.17000000
PA
USD
48338.39000000
0.136425510795
Long
ABS-MBS
CORP
US
N
2
2065-03-25
Variable
1.85300000
N
N
N
N
N
N
FedEx Corp
549300E707U7WNPZN687
FedEx Corp
31428XBG0
50000.00000000
PA
USD
60721.43000000
0.171374183211
Long
DBT
CORP
US
N
2
2046-04-01
Fixed
4.55000000
N
N
N
N
N
N
Citigroup Inc
6SHGI4ZSSLCXXQSBB395
Citigroup Inc
172967HA2
25000.00000000
PA
USD
38382.83000000
0.108327918834
Long
DBT
CORP
US
N
2
2043-09-13
Fixed
6.67500000
N
N
N
N
N
N
ONE Park Mortgage Trust
N/A
ONE 2021-PARK Mortgage Trust
682413AE9
375000.00000000
PA
USD
374548.61000000
1.057089105305
Long
ABS-MBS
CORP
US
N
2
2036-03-15
Floating
1.17300000
N
N
N
N
N
N
Republic of Indonesia
529900FWX0GRR7WG5W79
Indonesia Government International Bond
455780AX4
100000.00000000
PA
USD
137737.50000000
0.388736753400
Long
DBT
NUSS
ID
N
2
2037-02-17
Fixed
6.62500000
N
N
N
N
N
N
YALE UNIVERSITY
9SFB6DIM0FRWV0EV8S84
Yale University
98459LAB9
100000.00000000
PA
USD
98520.76000000
0.278055289118
Long
DBT
CORP
US
N
2
2030-04-15
Fixed
1.48200000
N
N
N
N
N
N
Boston Properties LP
BVHHEFJI6SHNOKQT2572
Boston Properties LP
10112RAY0
210000.00000000
PA
USD
224263.54000000
0.632939326223
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
500000.00000000
PA
340773.02000000
0.961764206852
Long
DBT
NUSS
NZ
N
2
2031-05-15
Fixed
1.50000000
N
N
N
N
N
N
UMBS, TBA
N/A
Uniform Mortgage-Backed Security, TBA
01F030678
1025000.00000000
PA
USD
1068501.00000000
3.015631979273
Long
ABS-MBS
USGSE
US
N
2
2051-07-14
Fixed
3.00000000
N
N
N
N
N
N
United States Treasury
254900HROIFWPRGM1V77
United States Treasury Note/Bond
912810SL3
35000.00000000
PA
USD
34384.77000000
0.097044188084
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
123522.58000000
PA
USD
134242.79000000
0.378873628111
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
200700.00000000
0.566435911843
Long
DBT
CORP
LU
N
2
2024-08-01
Fixed
5.62500000
N
N
N
N
N
N
Biogen Inc
W8J5WZB5IY3K0NDQT671
Biogen Inc
09062XAF0
100000.00000000
PA
USD
111338.00000000
0.314229404846
Long
DBT
CORP
US
N
2
2025-09-15
Fixed
4.05000000
N
N
N
N
N
N
Residential Mortgage Loan Trust
N/A
Residential Mortgage Loan Trust 2019-3
76119NAA5
88236.13000000
PA
USD
89262.27000000
0.251925038867
Long
ABS-MBS
CORP
US
N
2
2059-09-25
Variable
2.63300000
N
N
N
N
N
N
AT&T INC
549300Z40J86GGSTL398
AT&T Inc
00206RMG4
58000.00000000
PA
USD
60429.18000000
0.170549365596
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
166106.25000000
0.468801919190
Long
DBT
NUSS
MX
N
2
2044-03-08
Fixed
4.75000000
N
N
N
N
N
N
UMBS, TBA
N/A
Uniform Mortgage-Backed Security, TBA
01F022675
600000.00000000
PA
USD
620460.00000000
1.751125191141
Long
ABS-MBS
USGSE
US
N
2
2051-07-14
Fixed
2.50000000
N
N
N
N
N
N
State Street Global Advisors
5493008BJIBKQ5KTIF74
State Street Navigator Securities Lending Government Money Market Portfolio
857492706
156650.00000000
NS
USD
156650.00000000
0.442113530594
Long
STIV
RF
US
N
2
N
N
LYB INTL FINANCE BV
549300J6QSW38QNOJK61
LYB International Finance BV
50247VAC3
50000.00000000
PA
USD
62246.06000000
0.175677148753
Long
DBT
CORP
NL
N
2
2044-03-15
Fixed
4.87500000
N
N
N
N
N
N
Tesla Auto Lease Trust
N/A
Tesla Auto Lease Trust 2021-A
88161FAG1
250000.00000000
PA
USD
250511.80000000
0.707019829897
Long
ABS-O
CORP
US
N
2
2025-03-20
Fixed
1.34000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae
21H020675
175000.00000000
PA
USD
178199.00000000
0.502931305702
Long
ABS-MBS
USGA
US
N
2
2051-07-21
Fixed
2.00000000
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
186715.93000000
0.526968650050
Long
ABS-MBS
CORP
US
N
2
2048-07-15
Fixed
3.82200000
N
N
N
N
N
N
McDonald's Corp
UE2136O97NLB5BYP9H04
McDonald's Corp
58013MFA7
75000.00000000
PA
USD
96612.63000000
0.272669970949
Long
DBT
CORP
US
N
2
2045-12-09
Fixed
4.87500000
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
275718.44000000
0.778160567879
Long
ABS-O
CORP
US
N
2
2025-12-15
Fixed
0.77000000
N
N
N
N
N
N
AbbVie Inc
FR5LCKFTG8054YNNRU85
AbbVie Inc
00287YAR0
100000.00000000
PA
USD
120449.67000000
0.339945284791
Long
DBT
CORP
US
N
2
2035-05-14
Fixed
4.50000000
N
N
N
N
N
N
Verus Securitization Trust
N/A
Verus Securitization Trust 2019-3
92537JAA5
64673.81000000
PA
USD
65485.93000000
0.184821038726
Long
ABS-MBS
CORP
US
N
2
2059-07-25
Variable
2.78400000
N
N
N
N
N
N
Amgen Inc
62QBXGPJ34PQ72Z12S66
Amgen Inc
031162CF5
50000.00000000
PA
USD
64485.62000000
0.181997862309
Long
DBT
CORP
US
N
2
2051-06-15
Fixed
4.66300000
N
N
N
N
N
N
UMBS, TBA
N/A
Uniform Mortgage-Backed Security, TBA
01F020471
175000.00000000
PA
USD
180481.00000000
0.509371797734
Long
ABS-MBS
USGSE
US
N
2
2036-07-19
Fixed
2.00000000
N
N
N
N
N
N
Barclays Bank PLC
G5GSEF7VJP5I7OUK5573
PURCHASED MXN / SOLD USD
000000000
1.00000000
NC
9878.04000000
0.027878807148
N/A
DFE
MX
N
2
Barclays Bank PLC
G5GSEF7VJP5I7OUK5573
370490.44000000
USD
7600000.00000000
MXN
2021-07-21
9878.04000000
N
N
N
Chicago Board of Trade
549300EX04Q2QBFQTQ27
US ULTRA BOND CBT SEP21 XCBT 20210921
000000000
10.00000000
NC
USD
75062.79000000
0.211849825107
N/A
DIR
US
N
1
Chicago Board of Trade
549300EX04Q2QBFQTQ27
Long
US Treasury Ultra Long Bond
WNU1 Comdty
2021-09-21
1851812.21000000
USD
75062.79000000
N
N
N
Southern Copper Corp
2549007U6NAP46Q9TU15
Southern Copper Corp
84265VAE5
40000.00000000
PA
USD
56932.50000000
0.160680680373
Long
DBT
CORP
US
N
2
2040-04-16
Fixed
6.75000000
N
N
N
N
N
N
General Motors Co
54930070NSV60J38I987
General Motors Co
37045VAK6
170000.00000000
PA
USD
233332.81000000
0.658535540584
Long
DBT
CORP
US
N
2
2036-04-01
Fixed
6.60000000
N
N
N
N
N
N
State of Hawaii
N/A
HAWAII ST
419792ZD1
75000.00000000
PA
USD
72429.54000000
0.204417999672
Long
DBT
MUN
US
N
2
2038-08-01
Fixed
2.24500000
N
N
N
N
N
N
Angel Oak Mortgage Trust
N/A
Angel Oak Mortgage Trust LLC 2020-5
03464WAA0
78861.44000000
PA
USD
79138.79000000
0.223353526037
Long
ABS-MBS
CORP
US
N
2
2065-05-25
Variable
1.37300000
N
N
N
N
N
N
Chicago Board of Trade
549300EX04Q2QBFQTQ27
US 2YR NOTE (CBT) SEP21 XCBT 20210930
000000000
16.00000000
NC
USD
-5366.59000000
-0.01514613502
N/A
DIR
US
N
1
Chicago Board of Trade
549300EX04Q2QBFQTQ27
Long
2 Year US Treasury Note
TUU1 Comdty
2021-09-30
3530491.58000000
USD
-5366.59000000
N
N
N
OneMain Financial Issuance Trust
N/A
OneMain Financial Issuance Trust 2020-2
682696AB5
150000.00000000
PA
USD
153319.20000000
0.432713008744
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
37780.16000000
PA
USD
41777.67000000
0.117909180872
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
102685.84000000
0.289810400666
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
157529.51000000
0.444595772989
Long
ABS-MBS
CORP
US
N
2
2051-05-15
Variable
4.99500000
N
N
N
N
N
N
Starwood Retail Property Trust
5493007115G809OI4R97
Starwood Retail Property Trust 2014-STAR
85571XAN7
125000.00000000
PA
USD
5000.00000000
0.014111507519
Long
ABS-MBS
CORP
US
N
2
2027-11-15
Floating
2.82300000
N
N
N
N
N
N
KROGER CO
6CPEOKI6OYJ13Q6O7870
Kroger Co/The
501044CK5
25000.00000000
PA
USD
36623.42000000
0.103362333345
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
83046.15000000
PA
USD
87726.02000000
0.247589278181
Long
ABS-MBS
USGSE
US
N
2
2050-08-01
Fixed
3.00000000
N
N
N
N
N
N
LUMEN TECHNOLOGIES INC
8M3THTGWLTYZVE6BBY25
Lumen Technologies Inc
156700AZ9
200000.00000000
PA
USD
217000.00000000
0.612439426357
Long
DBT
CORP
US
N
2
2025-04-01
Fixed
5.62500000
N
N
N
N
N
N
Angel Oak Mortgage Trust
N/A
Angel Oak Mortgage Trust 2019-5
03464KAA6
83145.17000000
PA
USD
83482.51000000
0.235612813526
Long
ABS-MBS
CORP
US
N
2
2049-10-25
Variable
2.59300000
N
N
N
N
N
N
OneMain Financial Issuance Trust
N/A
OneMain Financial Issuance Trust 2020-2
682696AA7
100000.00000000
PA
USD
101677.33000000
0.286964081376
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
50819.78000000
0.143428741524
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
212932.72000000
0.600960335896
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
113843.32000000
0.321300173250
Long
ABS-MBS
CORP
US
N
2
2051-07-15
Fixed
3.94400000
N
N
N
N
N
N
GOLDMAN SACHS GROUP INC
784F5XWPLTWKTBV3E584
Goldman Sachs Group Inc/The
38141GGS7
305000.00000000
PA
USD
314433.31000000
0.887425603705
Long
DBT
CORP
US
N
2
2022-01-24
Fixed
5.75000000
N
N
N
N
N
N
AVOLON HOLDINGS FNDG LTD
635400ZRKEX9L1BKCH30
Avolon Holdings Funding Ltd
05401AAH4
50000.00000000
PA
USD
51480.07000000
0.145292278984
Long
DBT
CORP
KY
N
2
2025-02-15
Fixed
2.87500000
N
N
N
N
N
N
Cenovus Energy Inc
549300EIRQ0Z2B9C1W06
Cenovus Energy Inc
15135UAR0
80000.00000000
PA
USD
98993.94000000
0.279390745744
Long
DBT
CORP
CA
N
2
2047-06-15
Fixed
5.40000000
N
N
N
N
N
N
Public Service New Hampshire Funding Llc.
N/A
PSNH Funding LLC 3
69363PAC4
175000.00000000
PA
USD
203549.64000000
0.574478455100
Long
ABS-O
CORP
US
N
2
2035-02-01
Fixed
3.81400000
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
109420.72000000
0.308818262619
Long
ABS-MBS
CORP
US
N
2
2048-05-15
Fixed
3.73200000
N
N
N
N
N
N
COMM Mortgage Trust
N/A
COMM 2021-LBA Mortgage Trust
12598GAE7
425000.00000000
PA
USD
424999.87000000
1.199477772280
Long
ABS-MBS
CORP
US
N
2
2038-03-15
Floating
1.27300000
N
N
N
N
N
N
Credit Suisse Mortgage Trust
N/A
CSMC 2020-NQM1 Trust
126401AA6
143171.55000000
PA
USD
144081.35000000
0.406641010796
Long
ABS-MBS
CORP
US
N
2
2065-05-25
Variable
1.20800000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140J6DP9
74162.89000000
PA
USD
81993.06000000
0.231409136551
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 10YR NOTE (CBT)SEP21 XCBT 20210921
000000000
-1.00000000
NC
USD
14.17000000
0.000039992012
N/A
DIR
US
N
1
Chicago Board of Trade
549300EX04Q2QBFQTQ27
Short
10 Year US Treasury Note
TYU1 Comdty
2021-09-21
-132514.17000000
USD
14.17000000
N
N
N
SABINE PASS LIQUEFACTION
549300KJYBG7C6WJYZ11
Sabine Pass Liquefaction LLC
785592AS5
200000.00000000
PA
USD
230948.38000000
0.651805960209
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
208848.75000000
0.589434141223
Long
DBT
CORP
US
N
2
2046-02-01
Fixed
4.90000000
N
N
N
N
N
N
VIRGINIA ELEC & POWER CO
CQKUMNNZVDJLRYV2PT43
Virginia Electric and Power Co
927804GA6
50000.00000000
PA
USD
64558.27000000
0.182202902513
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
46582.03000000
0.131468533326
Long
DBT
UST
US
N
2
2030-08-15
Fixed
0.62500000
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
299759.60000000
0.846011969903
Long
ABS-MBS
CORP
US
N
2
2049-12-15
Variable
3.99400000
N
N
N
N
N
N
FREMF Mortgage Trust
N/A
FREMF 2017-K64 Mortgage Trust
30296CAE3
50000.00000000
PA
USD
55411.38000000
0.156387621110
Long
ABS-MBS
USGSE
US
N
2
2050-05-25
Variable
4.11700000
N
N
N
N
N
N
Burlington Resources LLC
0FJ5X7MVCTSE8OEPQE56
Burlington Resources LLC
12201PAB2
100000.00000000
PA
USD
144581.60000000
0.408052867123
Long
DBT
CORP
US
N
2
2031-08-15
Fixed
7.20000000
N
N
N
N
N
N
Invitation Homes Trust
N/A
Invitation Homes 2018-SFR2 Trust
46185HAG7
149970.21000000
PA
USD
150256.76000000
0.424069879726
Long
ABS-O
CORP
US
N
2
2037-06-17
Floating
1.52300000
N
N
N
N
N
N
VERIZON COMMUNICATIONS
2S72QS2UO2OESLG6Y829
Verizon Communications Inc
92343VFW9
226000.00000000
PA
USD
212448.51000000
0.599593749285
Long
DBT
CORP
US
N
2
2056-10-30
Fixed
2.98700000
N
N
N
N
N
N
Exeter Automobile Receivables Trust
N/A
Exeter Automobile Receivables Trust 2019-2
30167LAE9
85803.74000000
PA
USD
86731.24000000
0.244781709091
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
168808.29000000
PA
USD
170795.23000000
0.482035634496
Long
ABS-O
CORP
US
N
2
2024-05-15
Fixed
3.81000000
N
N
N
N
N
N
OneMain Financial Issuance Trust
N/A
OneMain Financial Issuance Trust 2021-1
68269MAA2
250000.00000000
PA
USD
250933.65000000
0.708210417787
Long
ABS-O
CORP
US
N
2
2036-06-16
Fixed
1.55000000
N
N
N
N
N
N
GB Trust 2020-FLIX
N/A
GB Trust 2020-FLIX
368306AL0
125000.00000000
PA
USD
125350.31000000
0.353776368433
Long
ABS-MBS
CORP
US
N
2
2037-08-15
Floating
1.67300000
N
N
N
N
N
N
INTL LEASE FINANCE CORP
N/A
International Lease Finance Corp
459745GN9
120000.00000000
PA
USD
126986.98000000
0.358395544636
Long
DBT
CORP
US
N
2
2022-08-15
Fixed
5.87500000
N
N
N
N
N
N
Republic of Colombia
549300MHDRBVRF6B9117
Colombia Government International Bond
195325BD6
155000.00000000
PA
USD
182977.50000000
0.516417673439
Long
DBT
NUSS
CO
N
2
2024-05-21
Fixed
8.12500000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31418DXL1
146069.06000000
PA
USD
151157.01000000
0.426610656655
Long
ABS-MBS
USGSE
US
N
2
2051-03-01
Fixed
2.50000000
N
N
N
N
N
N
NATWEST GROUP PLC
2138005O9XJIJN4JPN90
Natwest Group PLC
780097BD2
250000.00000000
PA
USD
267061.36000000
0.753727677975
Long
DBT
CORP
GB
N
2
2023-09-12
Fixed
3.87500000
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
107446.04000000
0.303245120285
Long
ABS-MBS
CORP
US
N
2
2052-11-15
Variable
4.31800000
N
N
N
N
N
N
Liberty Mutual Group Inc
QUR0DG15Z6FFGYCHH861
Liberty Mutual Group Inc
53079EBE3
45000.00000000
PA
USD
48063.00000000
0.135648277184
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
132692.71000000
0.374498834996
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
71990.64000000
0.203179291542
Long
DBT
CORP
XX
N
2
2026-06-18
Fixed
3.87500000
N
N
N
N
N
N
GS Mortgage Securities Trust
N/A
GS Mortgage Securities Trust 2017-GS5
36252HAJ0
200000.00000000
PA
USD
219352.60000000
0.619079172875
Long
ABS-MBS
CORP
US
N
2
2050-03-10
Variable
4.04700000
N
N
N
N
N
N
Texas Transportation Commission
5493006JSGNPGVJS7691
TEXAS ST TRANSPRTN COMMISSION
882830BH4
100000.00000000
PA
USD
98797.72000000
0.278836953742
Long
DBT
MUN
US
N
2
2044-10-01
Fixed
2.47200000
N
N
N
N
N
N
United States Treasury
254900HROIFWPRGM1V77
United States Treasury Note/Bond
91282CBL4
300000.00000000
PA
USD
291234.38000000
0.821951228676
Long
DBT
UST
US
N
2
2031-02-15
Fixed
1.12500000
N
N
N
N
N
N
CCG Receivables Trust
N/A
CCG Receivables Trust 2020-1
12509DAD4
150000.00000000
PA
USD
151867.77000000
0.428616635672
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
153458.42000000
0.433105929560
Long
ABS-O
CORP
US
N
2
2024-06-17
Fixed
4.40000000
N
N
N
N
N
N
Deephaven Residential Mortgage Trust
N/A
Deephaven Residential Mortgage Trust 2021-1
24380VAA9
108231.43000000
PA
USD
108167.05000000
0.305280027893
Long
ABS-MBS
CORP
US
N
2
2065-05-25
Variable
0.71500000
N
N
N
N
N
N
Santander Drive Auto Receivables Trust
N/A
Santander Drive Auto Receivables Trust 2017-2
80285LAF8
106533.80000000
PA
USD
106894.42000000
0.301688282330
Long
ABS-O
CORP
US
N
2
2023-07-17
Fixed
3.49000000
N
N
N
N
N
N
ENERGY TRANSFER LP
MTLVN9N7JE8MIBIJ1H73
Energy Transfer LP
29278NAN3
50000.00000000
PA
USD
58639.23000000
0.165497587019
Long
DBT
CORP
US
N
2
2027-06-01
Fixed
5.50000000
N
N
N
N
N
N
UMBS, TBA
N/A
Uniform Mortgage-Backed Security, TBA
01F020695
50000.00000000
PA
USD
50295.00000000
0.141947654141
Long
ABS-MBS
USGSE
US
N
2
2051-09-15
Fixed
2.00000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae
21H022671
125000.00000000
PA
USD
129292.50000000
0.364902417199
Long
ABS-MBS
USGA
US
N
2
2051-07-21
Fixed
2.50000000
N
N
N
N
N
N
BRISTOL-MYERS SQUIBB CO
HLYYNH7UQUORYSJQCN42
Bristol-Myers Squibb Co
110122CQ9
50000.00000000
PA
USD
60339.84000000
0.170297221180
Long
DBT
CORP
US
N
2
2039-06-15
Fixed
4.12500000
N
N
N
N
N
N
BURLINGTN NORTH SANTA FE
N/A
Burlington Northern Santa Fe LLC
12189LAP6
50000.00000000
PA
USD
68548.88000000
0.193465607118
Long
DBT
CORP
US
N
2
2043-09-01
Fixed
5.15000000
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
155085.00000000
0.437696628740
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
61298.02000000
PA
USD
67033.87000000
0.189189792116
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
103567.56000000
0.292298880348
Long
DBT
CORP
US
N
2
2022-05-19
Fixed
4.62500000
N
N
N
N
N
State of California
N/A
CALIFORNIA ST
13063A7D0
250000.00000000
PA
USD
400101.98000000
1.129208419888
Long
DBT
MUN
US
N
2
2039-10-01
Fixed
7.30000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31418B3S3
65234.12000000
PA
USD
68611.79000000
0.193643158105
Long
ABS-MBS
USGSE
US
N
2
2046-05-01
Fixed
3.00000000
N
N
N
N
N
N
JPMorgan Chase Bank, National Association
7H6GLXDRUGQFU57RNE97
PURCHASED EUR / SOLD USD
000000000
1.00000000
NC
-7900.87000000
-0.02229863728
N/A
DFE
XX
N
2
JPMorgan Chase Bank, National Association
7H6GLXDRUGQFU57RNE97
1075498.92000000
USD
900000.00000000
EUR
2021-07-21
-7900.87000000
N
N
N
State Street Global Advisors
549300BZ5TGIFZUZDZ37
State Street Institutional US Government Money Market Fund
857492706
2876250.31000000
NS
USD
2876250.31000000
8.117645575654
Long
STIV
RF
US
N
2
N
N
N
Verus Securitization Trust
N/A
Verus Securitization Trust 2021-R3
92538EAA5
281422.38000000
PA
USD
281130.04000000
0.793433734697
Long
ABS-MBS
CORP
US
N
2
2064-04-25
Variable
1.02000000
N
N
N
N
N
N
Dupont De Nemours Inc
5493004JF0SDFLM8GD76
DuPont de Nemours Inc
26078JAD2
100000.00000000
PA
USD
119224.47000000
0.336487400988
Long
DBT
CORP
US
N
2
2028-11-15
Fixed
4.72500000
N
N
N
N
N
N
Drive Auto Receivables Trust
N/A
Drive Auto Receivables Trust
26209BAG4
150000.00000000
PA
USD
153764.85000000
0.433970767409
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
22749.25000000
PA
USD
25582.19000000
0.072200653311
Long
ABS-MBS
USGSE
US
N
2
2028-11-01
Fixed
6.00000000
N
N
N
N
N
N
Extended Stay America Trust
N/A
Extended Stay America Trust
30227FAJ9
125000.00000000
PA
USD
125601.25000000
0.354484596773
Long
ABS-MBS
CORP
US
N
2
2038-07-15
Floating
2.32500000
N
N
N
N
N
N
HILLENBRAND INC
U246OE781574J2BUD366
Hillenbrand Inc
431571AD0
200000.00000000
PA
USD
214680.00000000
0.605891686868
Long
DBT
CORP
US
N
2
2025-06-15
Fixed
5.75000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
3128MJ2T6
32867.56000000
PA
USD
35170.52000000
0.099261811490
Long
ABS-MBS
USGSE
US
N
2
2047-10-01
Fixed
4.00000000
N
N
N
N
N
N
HPEFS Equipment Trust
N/A
HPEFS Equipment Trust 2021-2
40441JAF8
150000.00000000
PA
USD
149649.16000000
0.422355049333
Long
ABS-O
CORP
US
N
2
2029-03-20
Fixed
1.29000000
N
N
N
N
N
N
Angel Oak Mortgage Trust
N/A
Angel Oak Mortgage Trust 2020-4
03464LAA4
124094.92000000
PA
USD
124813.08000000
0.352260143396
Long
ABS-MBS
CORP
US
N
2
2065-06-25
Variable
1.46900000
N
N
N
N
N
N
Morgan Stanley
IGJSJL3JD5P30I6NJZ34
Morgan Stanley
61747YDY8
50000.00000000
PA
USD
61793.13000000
0.174398843732
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
252865.48000000
0.713662624501
Long
DBT
CORP
US
N
2
2022-02-12
Fixed
2.37500000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Pool
3132DVLF0
92882.45000000
PA
USD
96849.06000000
0.273337247694
Long
ABS-MBS
USGSE
US
N
2
2050-10-01
Fixed
2.50000000
N
N
N
N
N
N
NEWELL BRANDS INC
549300LWGYFM1TVO1Z12
Newell Brands Inc
651229BB1
200000.00000000
PA
USD
221250.00000000
0.624434207749
Long
DBT
CORP
US
N
2
2025-06-01
Fixed
4.87500000
N
N
N
N
N
N
Texas Instruments Inc
WDJNR2L6D8RWOEB8T652
Texas Instruments Inc
882508BA1
220000.00000000
PA
USD
222924.46000000
0.629160038725
Long
DBT
CORP
US
N
2
2022-05-15
Fixed
1.85000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36179V7E4
146824.07000000
PA
USD
152037.65000000
0.429096088252
Long
ABS-MBS
USGA
US
N
2
2051-02-20
Fixed
2.50000000
N
N
N
N
N
N
Bank of America Corp
9DJT3UXIJIZJI4WXO774
Bank of America Corp
06051GFH7
150000.00000000
PA
USD
164435.27000000
0.464085909823
Long
DBT
CORP
US
N
2
2024-08-26
Fixed
4.20000000
N
N
N
N
N
N
General Electric Co
3C7474T6CDKPR9K6YT90
General Electric Co
369604BQ5
99000.00000000
PA
USD
97020.00000000
0.273819691913
Long
DBT
CORP
US
N
2
2021-09-15
Variable
3.44900000
N
N
N
N
N
N
TEACHERS INSUR & ANNUITY
O06XD7BJ4EPXNABVFN69
Teachers Insurance & Annuity Association of America
878091BF3
60000.00000000
PA
USD
71731.47000000
0.202447835661
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
158517.27000000
0.447383529523
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
7144.47000000
PA
USD
7770.67000000
0.021931173627
Long
ABS-MBS
USGA
US
N
2
2044-06-20
Fixed
4.00000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Pool
3131XYNZ8
144938.81000000
PA
USD
153220.19000000
0.432433572672
Long
ABS-MBS
USGSE
US
N
2
2047-11-01
Fixed
3.50000000
N
N
N
N
N
N
DT Auto Owner Trust
N/A
DT Auto Owner Trust 2021-1
23344GAG6
150000.00000000
PA
USD
149442.02000000
0.421770437799
Long
ABS-O
CORP
US
N
2
2026-11-16
Fixed
1.16000000
N
N
N
N
N
N
Liberty Mutual Group Inc
QUR0DG15Z6FFGYCHH861
Liberty Mutual Group Inc
53079EBG8
155000.00000000
PA
USD
181062.90000000
0.511014094979
Long
DBT
CORP
US
N
2
2029-02-01
Fixed
4.56900000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31418DXK3
344107.92000000
PA
USD
347823.23000000
0.981662025138
Long
ABS-MBS
USGSE
US
N
2
2051-03-01
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
153069.78000000
0.432009070303
Long
ABS-MBS
CORP
US
N
2
2035-08-10
Fixed
4.49800000
N
N
N
N
N
N
DT Auto Owner Trust
N/A
DT Auto Owner Trust 2018-1
23342WAG3
40834.35000000
PA
USD
41094.66000000
0.115981520722
Long
ABS-O
CORP
US
N
2
2023-12-15
Fixed
3.81000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138MBMB9
76870.24000000
PA
USD
81520.08000000
0.230074244386
Long
ABS-MBS
USGSE
US
N
2
2042-09-01
Fixed
3.00000000
N
N
N
N
N
N
JPMorgan Chase & Co
8I5DZWZKVSZI1NUHU748
JPMorgan Chase & Co
46625HJY7
350000.00000000
PA
USD
381524.54000000
1.076777283036
Long
DBT
CORP
US
N
2
2024-09-10
Fixed
3.87500000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138EPAH7
22117.67000000
PA
USD
24572.02000000
0.069349649001
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
10692.56000000
PA
USD
11579.77000000
0.032681602286
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
57002.85000000
0.160879229284
Long
DBT
CORP
CW
N
2
2021-11-10
Fixed
3.65000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31400HMP5
23498.89000000
PA
USD
27070.47000000
0.076401028193
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
106971.12000000
0.301904752855
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
102278.92000000
0.288661949738
Long
DBT
CORP
US
N
2
2022-02-13
Fixed
4.12500000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140X8MP9
46486.34000000
PA
USD
48294.28000000
0.136301019076
Long
ABS-MBS
USGSE
US
N
2
2050-11-01
Fixed
2.50000000
N
N
N
N
N
N
Duke Energy Ohio Inc
L6KC0HABGHNFU1Z6QY21
Duke Energy Ohio Inc
26442EAG5
50000.00000000
PA
USD
61755.32000000
0.174292132513
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
114342.54000000
PA
USD
120524.73000000
0.340157126742
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
170801.59000000
0.482053584334
Long
DBT
CORP
US
N
2
2037-01-29
Fixed
6.11000000
N
N
N
N
N
N
Angel Oak Mortgage Trust
N/A
Angel Oak Mortgage Trust I LLC 2019-4
03463UAA5
93277.55000000
PA
USD
94056.23000000
0.265455039385
Long
ABS-MBS
CORP
US
N
2
2049-07-26
Variable
2.99300000
N
N
N
N
N
N
BP CAP MARKETS AMERICA
5493009NTB34VXE1T760
BP Capital Markets America Inc
10373QAV2
50000.00000000
PA
USD
53954.88000000
0.152276938969
Long
DBT
CORP
US
N
2
2027-01-16
Fixed
3.01700000
N
N
N
N
N
N
BERKSHIRE HATHAWAY ENERG
549300JD0S5IZJE9LY15
Berkshire Hathaway Energy Co
084659AR2
100000.00000000
PA
USD
124688.31000000
0.351908004838
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
231241.30000000
0.652632668765
Long
ABS-O
CORP
US
N
2
2025-12-15
Fixed
3.98000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
31335AYK8
62769.70000000
PA
USD
68321.92000000
0.192825057568
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
303662.67000000
0.857027610234
Long
ABS-O
CORP
US
N
2
2025-10-14
Fixed
3.85000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36179WBY3
49279.44000000
PA
USD
51029.31000000
0.144020098358
Long
ABS-MBS
USGA
US
N
2
2051-03-20
Fixed
2.50000000
N
N
N
N
N
N
GS Mortgage-Backed Securities Trust
N/A
GS Mortgage-Backed Securities Trust 2020-NQM1
36259WAA9
69846.81000000
PA
USD
70083.05000000
0.197795497416
Long
ABS-MBS
CORP
US
N
2
2060-09-27
Variable
1.38200000
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
215153.92000000
0.607229231997
Long
ABS-MBS
CORP
US
N
2
2048-01-15
Fixed
3.80000000
N
N
N
N
N
N
Eurex Deutschland
529900LN3S50JPU47S06
EURO-BUND FUTURE SEP21 XEUR 20210908
000000000
-2.00000000
NC
-1994.36000000
-0.00562868522
N/A
DIR
DE
N
1
Eurex Deutschland
529900LN3S50JPU47S06
Short
Euro-Bund (FGBL)
RXU1 Comdty
2021-09-08
-343538.06000000
EUR
-1994.36000000
N
N
N
Oracle Corp
1Z4GXXU7ZHVWFCD8TV52
Oracle Corp
68389XBQ7
50000.00000000
PA
USD
54543.43000000
0.153938004519
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
246129.85000000
PA
USD
251841.17000000
0.710771712847
Long
ABS-O
CORP
US
N
2
2024-09-16
Fixed
4.30000000
N
N
N
N
N
N
JPMorgan Chase Bank, National Association
7H6GLXDRUGQFU57RNE97
PURCHASED EUR / SOLD USD
000000000
1.00000000
NC
-1694.36000000
-0.00478199477
N/A
DFE
XX
N
2
JPMorgan Chase Bank, National Association
7H6GLXDRUGQFU57RNE97
316042.68000000
USD
265000.00000000
EUR
2021-07-21
-1694.36000000
N
N
N
State of Illinois
54930048FV8RWPR02D67
ILLINOIS ST
452152BM2
50000.00000000
PA
USD
62446.92000000
0.176244036233
Long
DBT
MUN
US
N
2
2035-02-01
Fixed
6.63000000
N
N
N
N
N
N
HOME DEPOT INC
QEKMOTMBBKA8I816DO57
Home Depot Inc/The
437076BN1
100000.00000000
PA
USD
105258.35000000
0.297070799508
Long
DBT
CORP
US
N
2
2026-09-15
Fixed
2.12500000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Pool
3131XXLS8
93834.25000000
PA
USD
99195.66000000
0.279960060403
Long
ABS-MBS
USGSE
US
N
2
2047-08-01
Fixed
3.50000000
N
N
N
N
N
N
SLG Office Trust
N/A
SLG Office Trust 2021-OVA
78449RAG0
100000.00000000
PA
USD
103717.37000000
0.292721689336
Long
ABS-MBS
CORP
US
N
2
2041-07-15
Fixed
2.85100000
N
N
N
N
N
N
FISERV INC
GI7UBEJLXYLGR2C7GV83
Fiserv Inc
337738AT5
60000.00000000
PA
USD
64930.66000000
0.183253899370
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
116698.83000000
0.329359283418
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
82682.09000000
0.233353786956
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
152143.75000000
0.429395534441
Long
DBT
NUSS
UY
N
2
2036-03-21
Fixed
7.62500000
N
N
N
N
N
N
Tesla Auto Lease Trust
N/A
Tesla Auto Lease Trust 2020-A
88167HAG1
100000.00000000
PA
USD
102583.83000000
0.289522497690
Long
ABS-O
CORP
US
N
2
2024-02-20
Fixed
2.33000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138EPZL1
69535.42000000
PA
USD
75248.00000000
0.212372543569
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
81124.52000000
0.228957854803
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
61789.73000000
PA
USD
62822.76000000
0.177304770030
Long
ABS-MBS
CORP
US
N
2
2059-11-25
Variable
2.64200000
N
N
N
N
N
N
UMBS, TBA
N/A
Uniform Mortgage-Backed Security, TBA
01F022683
50000.00000000
PA
USD
51608.00000000
0.145653336015
Long
ABS-MBS
USGSE
US
N
2
2051-08-12
Fixed
2.50000000
N
N
N
N
N
N
GE CAPITAL INTL FUNDING
549300G6UZOB126GBY72
GE Capital International Funding Co Unlimited Co
36164Q6M5
200000.00000000
PA
USD
218225.64000000
0.615898551972
Long
DBT
CORP
IE
N
2
2025-11-15
Fixed
3.37300000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36179VZS2
139664.68000000
PA
USD
146020.61000000
0.412114187210
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
13766.87000000
PA
USD
15294.55000000
0.043165831467
Long
ABS-MBS
USGSE
US
N
2
2044-12-01
Fixed
4.50000000
N
N
N
N
N
N
Republic of Turkey
5493000PCHOG3B6S3Q85
Turkey Government International Bond
900123AY6
100000.00000000
PA
USD
100893.75000000
0.284752582364
Long
DBT
NUSS
TR
N
2
2036-03-17
Fixed
6.87500000
N
N
N
N
N
ALLSTATE CORP
OBT0W1ED8G0NWVOLOJ77
Allstate Corp/The
020002BB6
25000.00000000
PA
USD
27218.75000000
0.076819519060
Long
DBT
CORP
US
N
2
2053-08-15
Fixed
5.75000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae
21H030674
50000.00000000
PA
USD
52156.00000000
0.147199957240
Long
ABS-MBS
USGA
US
N
2
2051-07-21
Fixed
3.00000000
N
N
N
N
N
N
Nabors Industries Inc
549300VFQWRKICUFNU92
Nabors Industries Inc
629568AX4
150000.00000000
PA
USD
150000.00000000
0.423345225592
Long
DBT
CORP
US
N
2
2021-09-15
Fixed
4.62500000
N
N
N
N
N
N
AIR LEASE CORP
5493004NW4M4P8TMMK63
Air Lease Corp
00914AAJ1
50000.00000000
PA
USD
52531.66000000
0.148260183023
Long
DBT
CORP
US
N
2
2026-01-15
Fixed
2.87500000
N
N
N
N
N
N
Invitation Homes Trust
N/A
Invitation Homes 2018-SFR1 Trust
46185JAE8
100000.00000000
PA
USD
100156.77000000
0.282672602601
Long
ABS-O
CORP
US
N
2
2037-03-17
Floating
1.33200000
N
N
N
N
N
N
Comcast Corp
51M0QTTNCGUN7KFCFZ59
Comcast Corp
20030NCC3
88000.00000000
PA
USD
102452.67000000
0.289152324624
Long
DBT
CORP
US
N
2
2047-11-01
Fixed
3.96900000
N
N
N
N
N
N
ONEMAIN FINANCE CORP
5493008I795YYBFWFU90
OneMain Finance Corp
85172FAM1
200000.00000000
PA
USD
225720.00000000
0.637049895471
Long
DBT
CORP
US
N
2
2025-03-15
Fixed
6.87500000
N
N
N
N
N
N
UMBS, TBA
N/A
Uniform Mortgage-Backed Security, TBA
01F020687
125000.00000000
PA
USD
126018.75000000
0.355662907651
Long
ABS-MBS
USGSE
US
N
2
2051-08-15
Fixed
2.00000000
N
N
N
N
N
N
Drive Auto Receivables Trust
N/A
Drive Auto Receivables Trust 2018-2
26208JAG8
130354.95000000
PA
USD
133017.58000000
0.375415716086
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
141806.01000000
0.400219315292
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
71599.76000000
PA
USD
72011.62000000
0.203238503427
Long
ABS-MBS
CORP
US
N
2
2065-05-25
Variable
1.50200000
N
N
N
N
N
N
Vista Point Securitization Trust
N/A
Vista Point Securitization Trust 2020-1
92838WAA2
53983.56000000
PA
USD
54490.42000000
0.153788394316
Long
ABS-MBS
CORP
US
N
2
2065-03-25
Variable
1.76300000
N
N
N
N
N
N
New Residential Mortgage Loan Trust
N/A
New Residential Mortgage Loan Trust 2020-NQM
64830UAA3
58401.88000000
PA
USD
59066.08000000
0.166702286416
Long
ABS-MBS
CORP
US
N
2
2060-05-24
Variable
1.65000000
N
N
N
N
N
N
UMBS, TBA
N/A
Uniform Mortgage-Backed Security, TBA
01F022691
100000.00000000
PA
USD
102993.00000000
0.290677298796
Long
ABS-MBS
USGSE
US
N
2
2051-09-15
Fixed
2.50000000
N
N
N
N
N
N
OneMain Financial Issuance Trust
N/A
OneMain Financial Issuance Trust 2019-1
68267DAA4
141772.95000000
PA
USD
141940.92000000
0.400600071988
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
79018.17000000
0.223013100030
Long
DBT
CORP
US
N
2
2025-06-01
Fixed
4.87500000
N
N
N
N
N
N
Exelon Corp
3SOUA6IRML7435B56G12
Exelon Corp
30161NAU5
150000.00000000
PA
USD
163325.06000000
0.460952562470
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
58654.33000000
0.165540203772
Long
DBT
CORP
US
N
2
2049-05-01
Fixed
4.15000000
N
N
N
N
N
N
CVS Health Corp
549300EJG376EN5NQE29
CVS Health Corp
126650CX6
68000.00000000
PA
USD
78125.66000000
0.220494167715
Long
DBT
CORP
US
N
2
2028-03-25
Fixed
4.30000000
N
N
N
N
N
N
Chicago Board of Trade
549300EX04Q2QBFQTQ27
US 5YR NOTE (CBT) SEP21 XCBT 20210930
000000000
-8.00000000
NC
USD
2457.08000000
0.006934620579
N/A
DIR
US
N
1
Chicago Board of Trade
549300EX04Q2QBFQTQ27
Short
5 Year US Treasury Note
FVU1 Comdty
2021-09-30
-989894.58000000
USD
2457.08000000
N
N
N
Citibank, National Association
E57ODZWZ7FF32TWEFA76
PURCHASED USD / SOLD EUR
000000000
1.00000000
NC
18563.26000000
0.052391116616
N/A
DFE
US
N
2
Citibank, National Association
E57ODZWZ7FF32TWEFA76
2085000.00000000
EUR
2491832.08000000
USD
2021-07-21
18563.26000000
N
N
N
Vista Point Securitization Trust
N/A
Vista Point Securitization Trust 2020-2
92838TAA9
75140.04000000
PA
USD
75543.41000000
0.213206279656
Long
ABS-MBS
CORP
US
N
2
2065-04-25
Variable
1.47500000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138EMDC2
112592.08000000
PA
USD
124332.43000000
0.350903604178
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
63407.63000000
0.178955449511
Long
DBT
CORP
US
N
2
2046-03-01
Fixed
4.75000000
N
N
N
N
N
N
Santander Retail Auto Lease Trust
N/A
Santander Retail Auto Lease Trust 2017-A
80286DAF5
500000.00000000
PA
USD
498306.90000000
1.406372313299
Long
ABS-O
CORP
US
N
2
2025-06-20
Fixed
1.10000000
N
N
N
N
N
N
REPUBLIC OF PANAMA
549300SHS4T08CL0LP14
Panama Government International Bond
698299BL7
50000.00000000
PA
USD
50978.13000000
0.143875652967
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
369758.69000000
1.043570506886
Long
DBT
CORP
US
N
2
2022-11-01
Fixed
4.87500000
N
N
N
N
N
N
Citigroup Inc
6SHGI4ZSSLCXXQSBB395
Citigroup Inc
172967HB0
300000.00000000
PA
USD
349436.96000000
0.986216457744
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
13357.43000000
PA
USD
14813.52000000
0.041808219774
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
66270.52000000
0.187035388263
Long
DBT
CORP
US
N
2
2027-05-20
Fixed
3.25000000
N
N
N
N
N
N
Ecopetrol SA
254900IDGKCJICKBPA66
Ecopetrol SA
279158AL3
70000.00000000
PA
USD
77182.00000000
0.217830874677
Long
DBT
CORP
CO
N
2
2026-06-26
Fixed
5.37500000
N
N
N
N
N
N
FISERV INC
GI7UBEJLXYLGR2C7GV83
Fiserv Inc
337738AV0
50000.00000000
PA
USD
60308.12000000
0.170207697776
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
100941.32000000
0.284886839246
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
15864.70000000
PA
USD
17762.01000000
0.050129747536
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
60578.74000000
PA
USD
64311.26000000
0.181505765819
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
67370.71000000
PA
USD
68118.17000000
0.192250013637
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
8898.32000000
PA
USD
8939.77000000
0.025230726315
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
114144.56000000
0.322150363355
Long
DBT
CORP
US
N
2
2028-03-01
Fixed
4.30000000
N
N
N
N
N
N
Verus Securitization Trust
N/A
Verus Securitization Trust 2021-1
92537QAA9
86085.04000000
PA
USD
86000.84000000
0.242720300073
Long
ABS-MBS
CORP
US
N
2
2066-01-25
Variable
0.81500000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138AAYW5
19682.72000000
PA
USD
21526.87000000
0.060755317576
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
56327.11000000
0.158972087266
Long
DBT
CORP
US
N
2
2028-07-25
Fixed
4.12500000
N
N
N
N
N
N
Aon PLC
635400FALWQYX5E6QC64
Aon PLC
00185AAH7
50000.00000000
PA
USD
63995.18000000
0.180613692759
Long
DBT
CORP
IE
N
2
2045-05-15
Fixed
4.75000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31418DV74
242653.62000000
PA
USD
245273.61000000
0.692236078382
Long
ABS-MBS
USGSE
US
N
2
2051-01-01
Fixed
2.00000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
3132L8QW0
52654.91000000
PA
USD
56344.33000000
0.159020687298
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
74952.90000000
0.211539682395
Long
DBT
CORP
CA
N
2
2044-03-15
Fixed
5.00000000
N
N
N
N
N
N
ENERGY TRANSFER LP
MTLVN9N7JE8MIBIJ1H73
Energy Transfer LP
86765BAV1
50000.00000000
PA
USD
59237.37000000
0.167185718441
Long
DBT
CORP
US
N
2
2047-10-01
Fixed
5.40000000
N
N
N
N
N
N
Verus Securitization Trust
N/A
Verus Securitization Trust 2020-5
92538CAA9
73056.95000000
PA
USD
73244.43000000
0.206717864945
Long
ABS-MBS
CORP
US
N
2
2065-05-25
Variable
1.21800000
N
N
N
N
N
N
FOX CORP
549300DDU6FDRBIELS05
Fox Corp
35137LAK1
50000.00000000
PA
USD
67494.46000000
0.190489715966
Long
DBT
CORP
US
N
2
2049-01-25
Fixed
5.57600000
N
N
N
N
N
N
UMBS, TBA
N/A
Uniform Mortgage-Backed Security, TBA
01F020679
625000.00000000
PA
USD
631343.75000000
1.781842415135
Long
ABS-MBS
USGSE
US
N
2
2051-07-14
Fixed
2.00000000
N
N
N
N
N
N
J.P. Morgan Securities LLC
ZBUT11V806EZRVTWT807
Long: 11927476 TRS USD R E UBS REC EQUITY / Short: 11927476 TRS USD P V 03MLIBOR US0003M + 0BPS
000000000
300000.00000000
OU
Notional Amount
USD
2779.20000000
0.007843740339
N/A
DCR
US
N
2
J.P. Morgan Securities LLC
ZBUT11V806EZRVTWT807
Markit iBoxx USD Liquid High Yield Index
IBOXHY Index
Y
equity-performance leg
2021-09-20
0.00000000
USD
0.00000000
USD
300000.00000000
USD
2779.20000000
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36179QPH8
28015.85000000
PA
USD
30471.39000000
0.085999449824
Long
ABS-MBS
USGA
US
N
2
2044-09-20
Fixed
4.00000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Pool
3131XXKH3
39833.10000000
PA
USD
42109.05000000
0.118844435144
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
365240.79000000
1.030819630921
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
82707.55000000
0.233425642753
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
165725.91000000
PA
USD
167479.17000000
0.472676713371
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
22369.95000000
PA
USD
25983.09000000
0.073332113984
Long
ABS-MBS
USGSE
US
N
2
2034-11-01
Fixed
5.50000000
N
N
N
N
N
N
HSBC Holdings PLC
MLU0ZO3ML4LN2LL2TL39
HSBC Holdings PLC
404280AH2
100000.00000000
PA
USD
139102.74000000
0.392589872305
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
55681.14000000
PA
USD
62920.23000000
0.177579859757
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
61970.10000000
0.174898306430
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
26769.00000000
0.075550188959
Long
DBT
CORP
US
N
2
2025-04-07
Fixed
3.05000000
N
N
N
N
N
N
JPMorgan Chase Bank, National Association
7H6GLXDRUGQFU57RNE97
PURCHASED EUR / SOLD USD
000000000
1.00000000
NC
-6179.73000000
-0.01744106127
N/A
DFE
XX
N
2
JPMorgan Chase Bank, National Association
7H6GLXDRUGQFU57RNE97
717911.76000000
USD
600000.00000000
EUR
2021-07-21
-6179.73000000
N
N
N
Seagate HDD Cayman
529900BD50TRWEG1SF63
Seagate HDD Cayman
81180WAN1
80000.00000000
PA
USD
92000.00000000
0.259651738363
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
54153.67000000
PA
USD
54363.04000000
0.153428889551
Long
ABS-MBS
CORP
US
N
2
2065-04-27
Variable
1.50600000
N
N
N
N
N
N
JPMorgan Chase Bank, National Association
7H6GLXDRUGQFU57RNE97
PURCHASED EUR / SOLD USD
000000000
1.00000000
NC
-3406.70000000
-0.00961473453
N/A
DFE
XX
N
2
JPMorgan Chase Bank, National Association
7H6GLXDRUGQFU57RNE97
382997.12000000
USD
320000.00000000
EUR
2021-07-21
-3406.70000000
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140J73M5
59200.69000000
PA
USD
64055.47000000
0.180783849317
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
326250.00000000
0.920775865664
Long
DBT
CORP
US
N
2
2026-08-01
Fixed
4.54200000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36179T7M1
10854.26000000
PA
USD
11782.98000000
0.033255122175
Long
ABS-MBS
USGA
US
N
2
2048-08-20
Fixed
5.00000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Pool
3132AAM76
83655.44000000
PA
USD
89631.02000000
0.252965762546
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
67309.76000000
0.189968436878
Long
DBT
CORP
US
N
2
2033-02-15
Fixed
6.65000000
N
N
N
N
N
N
EOG Resources Inc
XWTZDRYZPBUHIQBKDB46
EOG Resources Inc
26875PAN1
50000.00000000
PA
USD
57723.82000000
0.162914023999
Long
DBT
CORP
US
N
2
2035-04-01
Fixed
3.90000000
N
N
N
N
N
N
MHC Commercial Mortgage Trust
N/A
MHC Commercial Mortgage Trust 2021-MHC
55316VAG9
300000.00000000
PA
USD
300282.18000000
0.847486848223
Long
ABS-MBS
CORP
US
N
2
2038-04-15
Floating
1.67400000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36225BEA2
5959.10000000
PA
USD
6708.41000000
0.018933155632
Long
ABS-MBS
USGA
US
N
2
2029-05-15
Fixed
6.50000000
N
N
N
N
N
N
BROADCOM CRP / CAYMN FI
N/A
Broadcom Corp / Broadcom Cayman Finance Ltd
11134LAP4
30000.00000000
PA
USD
32023.01000000
0.090378589284
Long
DBT
CORP
XX
N
2
2025-01-15
Fixed
3.12500000
N
N
N
N
N
N
COLT Funding LLC
N/A
COLT Funding LLC
19688BAA2
67624.56000000
PA
USD
67551.79000000
0.190651518511
Long
ABS-MBS
CORP
US
N
2
2065-05-25
Variable
0.85700000
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
81932.34000000
0.231237766404
Long
ABS-MBS
CORP
US
N
2
2048-05-15
Variable
4.03600000
N
N
N
N
N
N
DT Auto Owner Trust
N/A
DT Auto Owner Trust 2021-1
23344GAE1
150000.00000000
PA
USD
149875.68000000
0.422994357069
Long
ABS-O
CORP
US
N
2
2026-10-15
Fixed
0.84000000
N
N
N
N
N
N
State Street Global Advisors
549300BZ5TGIFZUZDZ37
State Street Institutional US Government Money Market Fund
857492706
625.00000000
NS
USD
625.00000000
0.001763938439
Long
STIV
RF
US
N
2
N
N
N
Synchrony Financial
549300RS7EWPM9MA6C78
Synchrony Financial
87165BAG8
90000.00000000
PA
USD
100647.99000000
0.284058973546
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
52762.51000000
0.148911711325
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
67371.96000000
0.190143984032
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
177590.18000000
0.501213032101
Long
ABS-MBS
CORP
US
N
2
2053-10-15
Fixed
2.37500000
N
N
N
N
N
N
2021-07-27
UBS FUNDS
Joanne Kilkeary
Joanne Kilkeary
Vice President and Treasurer