0001752724-22-037241.txt : 20220222
0001752724-22-037241.hdr.sgml : 20220222
20220222092847
ACCESSION NUMBER: 0001752724-22-037241
CONFORMED SUBMISSION TYPE: NPORT-P
PUBLIC DOCUMENT COUNT: 1
CONFORMED PERIOD OF REPORT: 20211231
FILED AS OF DATE: 20220222
PERIOD START: 20220630
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: 22655558
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
2022-06-30
2021-12-31
N
37399142.50
3880814.11
33518328.39
0.00000000
0.00000000
0.00000000
0.00000000
0.00000000
0.00000000
0.00000000
0.00000000
0.00000000
0.00000000
1159705.09000000
0.00000000
0.00000000
336320.01000000
GBP
NZD
USD
N
JPMorgan Chase Bank, National Association
7H6GLXDRUGQFU57RNE97
PURCHASED USD / SOLD NZD
000000000
1.00000000
NC
-6591.25000000
-0.01966461430
N/A
DFE
US
N
2
JPMorgan Chase Bank, National Association
7H6GLXDRUGQFU57RNE97
485000.00000000
NZD
325509.35000000
USD
2022-01-25
-6591.25000000
N
N
N
Santander Drive Auto Receivables Trust
N/A
Santander Drive Auto Receivables Trust 2017-3
80284YAG9
58520.36000000
PA
USD
58577.79000000
0.174763458721
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
103098.47000000
0.307588340326
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
93687.44000000
PA
USD
93428.77000000
0.278739347955
Long
ABS-MBS
CORP
US
N
2
2053-04-25
Variable
0.99000000
N
N
N
N
N
N
WELLS FARGO & COMPANY
PBLD0EJDB5FWOLXP3B76
Wells Fargo & Co
95000U2F9
70000.00000000
PA
USD
73794.55000000
0.220161784744
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
80570.91000000
PA
USD
80762.42000000
0.240950023104
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
41786.65000000
PA
USD
42774.61000000
0.127615582442
Long
ABS-MBS
USGSE
US
N
2
2050-11-01
Fixed
2.50000000
N
N
N
N
N
N
Verus Securitization Trust
N/A
Verus Securitization Trust 2021-3
92539LAA8
326376.56000000
PA
USD
322594.25000000
0.962441343274
Long
ABS-MBS
CORP
US
N
2
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
206500.00000000
0.616080842687
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
47055.44000000
PA
USD
45526.35000000
0.135825240060
Long
ABS-MBS
USGSE
US
N
2
2051-03-01
Fixed
1.50000000
N
N
N
N
N
N
Tesla Auto Lease Trust
N/A
Tesla Auto Lease Trust 2021-B
88161KAG0
125000.00000000
PA
USD
122904.79000000
0.366679353964
Long
ABS-O
CORP
US
N
2
2025-09-22
Fixed
1.32000000
N
N
N
N
N
N
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
Long: B2061199 IRS USD R V 03MLIBOR 12061199_FLO CCPVANILLA / Short: B2061199 IRS USD P F 1.32330 12061199_FIX CCPVANILLA
000000000
390000.00000000
OU
Notional Amount
USD
8429.65000000
0.025149374700
N/A
DIR
US
N
2
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
N/A
N/A
Y
2031-08-11
0.00000000
USD
0.00000000
USD
390000.00000000
USD
8429.65000000
N
N
N
Verus Securitization Trust
N/A
Verus Securitization Trust 2021-R1
92538BAA1
101416.45000000
PA
USD
100913.26000000
0.301068892296
Long
ABS-MBS
CORP
US
N
2
2063-10-25
Variable
0.82000000
N
N
N
N
N
N
AT&T INC
549300Z40J86GGSTL398
AT&T Inc
00206RMN9
58000.00000000
PA
USD
60381.59000000
0.180144992009
Long
DBT
CORP
US
N
2
2057-12-01
Fixed
3.80000000
N
N
N
N
N
N
SoFi Consumer Loan Program Trust
N/A
Sofi Consumer Loan Program 2018-1 Trust
83405RAC1
24243.37000000
PA
USD
24384.58000000
0.072749988353
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
17592.48000000
PA
USD
17604.41000000
0.052521742120
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
160686.08000000
0.479397654114
Long
DBT
CORP
US
N
2
2029-01-23
Fixed
3.50900000
N
N
N
N
N
N
Prudential Financial Inc
5PRBRS5FEH7NREC8OR45
Prudential Financial Inc
74432QBN4
50000.00000000
PA
USD
74722.42000000
0.222930031386
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
135323.71000000
0.403730485677
Long
DBT
CORP
US
N
2
2036-12-15
Fixed
6.40000000
N
N
N
N
N
N
SoFi Consumer Loan Program Trust
N/A
Sofi Consumer Loan Program 2018-3 Trust
83405XAC8
24519.93000000
PA
USD
24629.37000000
0.073480305203
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
161299.63000000
0.481228145160
Long
DBT
CORP
US
N
2
2026-06-15
Fixed
3.20000000
N
N
N
N
N
N
Verus Securitization Trust
N/A
Verus Securitization Trust 2021-5
92538KAA1
238615.62000000
PA
USD
234297.27000000
0.699012394871
Long
ABS-MBS
CORP
US
N
2
2066-09-25
Variable
1.01300000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31418DSH6
119607.32000000
PA
USD
119520.50000000
0.356582519895
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
54949.47000000
0.163938575219
Long
DBT
CORP
US
N
2
2051-02-15
Fixed
3.25000000
N
N
N
N
N
N
AGILE GROUP HOLDINGS LTD
549300ZRISRT38EEYY07
Agile Group Holdings Ltd
000000000
200000.00000000
PA
USD
128720.00000000
0.384028697679
Long
DBT
CORP
KY
N
2
2025-01-02
Fixed
5.75000000
N
N
N
N
N
N
Union Pacific Corp
549300LMMRSZZCZ8CL11
Union Pacific Corp
907818EF1
40000.00000000
PA
USD
47106.43000000
0.140539317629
Long
DBT
CORP
US
N
2
2045-11-15
Fixed
4.05000000
N
N
N
N
N
N
Merrill Lynch, Pierce, Fenner & Smith Incorporated
8NAV47T0Y26Q87Y0QP81
US 10YR FUT OPTN FEB22P 129.5
000000000
90.00000000
NC
USD
23906.25000000
0.071322918380
N/A
DIR
US
N
1
Merrill Lynch, Pierce, Fenner & Smith Incorporated
8NAV47T0Y26Q87Y0QP81
Put
Purchased
Chicago Board of Trade
549300EX04Q2QBFQTQ27
Chicago Board of Trade
549300EX04Q2QBFQTQ27
CBOT 10 Year US Treasury Note Future
N/A
90.00000000
NC
N/A
23906.25000000
0.07000000
DIR
US
Long
CBOT 10 Year US Treasury Note
TYH2 Comdty
2022-03-22
90.00000000
USD
1000.00000000
129.50000000
USD
2022-01-21
XXXX
-5647.50000000
N
N
N
HPEFS Equipment Trust
N/A
HPEFS Equipment Trust 2021-1
40440YAF6
300000.00000000
PA
USD
295974.90000000
0.883024047488
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
50572.88000000
0.150881271319
Long
DBT
CORP
US
N
2
2045-06-01
Fixed
5.55000000
N
N
N
N
N
N
BX Trust
N/A
BX Commercial Mortgage Trust 2021-SOAR
05608WAL8
150000.00000000
PA
USD
149157.66000000
0.445003277802
Long
ABS-MBS
CORP
US
N
2
2038-06-15
Floating
1.51000000
N
N
N
N
N
N
Barclays PLC
213800LBQA1Y9L22JB70
Barclays PLC
06738EAW5
200000.00000000
PA
USD
220315.51000000
0.657298620135
Long
DBT
CORP
GB
N
2
2028-05-09
Fixed
4.83600000
N
N
N
N
N
N
UMBS, TBA
N/A
Uniform Mortgage-Backed Security, TBA
01F012619
150000.00000000
PA
USD
145020.45000000
0.432660150329
Long
ABS-MBS
USGSE
US
N
2
2052-01-15
Fixed
1.50000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36179RD89
5690.08000000
PA
USD
6137.94000000
0.018312190060
Long
ABS-MBS
USGA
US
N
2
2045-05-20
Fixed
4.00000000
N
N
N
N
N
N
BROADCOM INC
549300WV6GIDOZJTV909
Broadcom Inc
11135FBP5
30000.00000000
PA
USD
30178.75000000
0.090036560441
Long
DBT
CORP
US
N
2
2035-11-15
Fixed
3.13700000
N
N
N
N
N
N
GOLDMAN SACHS GROUP INC
784F5XWPLTWKTBV3E584
Goldman Sachs Group Inc/The
38143U8H7
200000.00000000
PA
USD
215381.72000000
0.642578942165
Long
DBT
CORP
US
N
2
2026-02-25
Fixed
3.75000000
N
N
N
N
N
N
GS Mortgage Securities Trust
5493005BBCF84ICNQ550
GS Mortgage Securities Corp II
36250SAL3
100000.00000000
PA
USD
108610.40000000
0.324032865649
Long
ABS-MBS
CORP
US
N
2
2051-07-10
Variable
4.40900000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36179QPF2
31643.10000000
PA
USD
33265.14000000
0.099244627037
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
56876.25000000
0.169687012246
Long
DBT
CORP
US
N
2
2045-04-01
Fixed
3.75000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae
21H020626
175000.00000000
PA
USD
176268.75000000
0.525887651523
Long
ABS-MBS
USGA
US
N
2
2052-02-22
Fixed
2.00000000
N
N
N
N
N
N
Bank
N/A
BANK 2018-BNK15
06036FBC4
150000.00000000
PA
USD
171123.68000000
0.510537631855
Long
ABS-MBS
CORP
US
N
2
2061-11-15
Variable
4.40700000
N
N
N
N
N
N
COLT Funding LLC
N/A
COLT 2021-HX1 Mortgage Loan Trust
19688KAA2
263143.09000000
PA
USD
259547.71000000
0.774345626607
Long
ABS-MBS
CORP
US
N
2
2066-10-25
Variable
1.11000000
N
N
N
N
N
N
MFRA TRUST
N/A
MFA 2021-NQM2 Trust
55283WAA9
82117.28000000
PA
USD
81339.52000000
0.242671767677
Long
ABS-MBS
CORP
US
N
2
2064-11-25
Variable
1.02900000
N
N
N
N
N
N
MICROSOFT CORP
INR2EJN1ERAN0W5ZP974
Microsoft Corp
594918CC6
100000.00000000
PA
USD
97518.79000000
0.290941686784
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
59722.11000000
0.178177471457
Long
DBT
CORP
US
N
2
2046-04-15
Fixed
4.45000000
N
N
N
N
N
N
EQT Corp
4NT01YGM4X7ZX86ISY52
EQT Corp
26884LAF6
220000.00000000
PA
USD
235954.40000000
0.703956346672
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
97485.00000000
0.290840876268
Long
DBT
CORP
US
N
2
2022-04-30
Variable
3.59900000
N
N
N
N
N
N
Illinois Tool Works Inc
76NA4I14SZCFAYMNSV04
Illinois Tool Works Inc
452308AX7
80000.00000000
PA
USD
83892.65000000
0.250288883812
Long
DBT
CORP
US
N
2
2026-11-15
Fixed
2.65000000
N
N
N
N
N
N
Reynolds American Inc
02S2RPPVO9RP4NEU2740
Reynolds American Inc
761713AT3
35000.00000000
PA
USD
46576.14000000
0.138957227992
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
193542.78000000
0.577423723963
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
218166.86000000
0.650888246757
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
22737.36000000
PA
USD
22770.39000000
0.067934145566
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
59916.64000000
0.178757840495
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
37586.68000000
0.112137692436
Long
DBT
CORP
US
N
2
2043-09-13
Fixed
6.67500000
N
N
N
N
N
N
World OMNI Select Auto Trust
N/A
World Omni Select Auto Trust 2021-A
98163HAF6
125000.00000000
PA
USD
122869.38000000
0.366573710270
Long
ABS-O
CORP
US
N
2
2027-11-15
Fixed
1.44000000
N
N
N
N
N
N
ONE Park Mortgage Trust
N/A
ONE 2021-PARK Mortgage Trust
682413AE9
375000.00000000
PA
USD
371235.23000000
1.107558902342
Long
ABS-MBS
CORP
US
N
2
2036-03-15
Floating
1.21000000
N
N
N
N
N
N
Republic of Indonesia
529900FWX0GRR7WG5W79
Indonesia Government International Bond
455780AX4
100000.00000000
PA
USD
139393.75000000
0.415873215328
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
97597.05000000
0.291175170982
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
218513.34000000
0.651921949858
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
319166.86000000
0.952215922841
Long
DBT
NUSS
NZ
N
2
2031-05-15
Fixed
1.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138ERTY6
103495.32000000
PA
USD
112038.61000000
0.334260732505
Long
ABS-MBS
USGSE
US
N
2
2046-06-01
Fixed
3.50000000
N
N
N
N
N
N
Biogen Inc
W8J5WZB5IY3K0NDQT671
Biogen Inc
09062XAF0
100000.00000000
PA
USD
108612.11000000
0.324037967336
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
49695.00000000
PA
USD
49698.41000000
0.148272340499
Long
ABS-MBS
CORP
US
N
2
2059-09-25
Variable
2.63300000
N
N
N
N
N
N
United Mexican States
254900EGTWEU67VP6075
Mexico Government International Bond
91086QBB3
150000.00000000
PA
USD
163246.88000000
0.487037653252
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
121600.00000000
NS
USD
121600.00000000
0.362786588236
Long
STIV
RF
US
N
2
N
N
LYB INTL FINANCE BV
549300J6QSW38QNOJK61
LYB International Finance BV
50247VAC3
50000.00000000
PA
USD
61760.45000000
0.184258741311
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
248294.30000000
0.740771726772
Long
ABS-O
CORP
US
N
2
2025-03-20
Fixed
1.34000000
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
182123.47000000
0.543354871045
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
96356.77000000
0.287474867120
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
274065.96000000
0.817659988323
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
119622.22000000
0.356885995650
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
28350.18000000
PA
USD
28446.26000000
0.084867776426
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
63962.25000000
0.190827684649
Long
DBT
CORP
US
N
2
2051-06-15
Fixed
4.66300000
N
N
N
N
N
N
New Residential Mortgage Loan Trust
N/A
New Residential Mortgage Loan Trust 2021-NQM3
64831TAA5
241169.63000000
PA
USD
239639.82000000
0.714951584732
Long
ABS-MBS
CORP
US
N
2
2056-11-27
Variable
1.15600000
N
N
N
N
N
N
Southern Copper Corp
2549007U6NAP46Q9TU15
Southern Copper Corp
84265VAE5
40000.00000000
PA
USD
56045.00000000
0.167207025803
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
229932.91000000
0.685991578472
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
72344.23000000
0.215834838653
Long
DBT
MUN
US
N
2
2038-08-01
Fixed
2.24500000
N
N
N
N
N
N
BX Trust
N/A
BX Trust 2021-LGCY
12434DAL6
400000.00000000
PA
USD
395473.84000000
1.179873397618
Long
ABS-MBS
CORP
US
N
2
2023-10-15
Floating
1.41200000
N
N
N
N
N
N
Angel Oak Mortgage Trust
N/A
Angel Oak Mortgage Trust 2020-5
03464WAA0
52074.42000000
PA
USD
52003.07000000
0.155148160716
Long
ABS-MBS
CORP
US
N
2
2065-05-25
Variable
1.37300000
N
N
N
N
N
N
OneMain Financial Issuance Trust
N/A
OneMain Financial Issuance Trust 2020-2
682696AB5
150000.00000000
PA
USD
150378.45000000
0.448645434373
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
29670.15000000
PA
USD
32618.63000000
0.097315801732
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
100918.31000000
0.301083958680
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
163362.62000000
0.487382956868
Long
ABS-MBS
CORP
US
N
2
2051-05-15
Variable
4.83300000
N
N
N
N
N
N
Starwood Retail Property Trust
5493007115G809OI4R97
Starwood Retail Property Trust 2014-STAR
85571XAN7
125000.00000000
PA
USD
1501.25000000
0.004478892809
Long
ABS-MBS
CORP
US
N
2
2027-11-15
Floating
2.86000000
N
N
N
N
N
N
KROGER CO
6CPEOKI6OYJ13Q6O7870
Kroger Co/The
501044CK5
25000.00000000
PA
USD
36448.92000000
0.108743251083
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
71685.12000000
PA
USD
74803.12000000
0.223170795182
Long
ABS-MBS
USGSE
US
N
2
2050-08-01
Fixed
3.00000000
N
N
N
N
N
N
UMBS, TBA
N/A
Uniform Mortgage-Backed Security, TBA
01F030629
775000.00000000
PA
USD
801815.00000000
2.392168817819
Long
ABS-MBS
USGSE
US
N
2
2052-02-15
Fixed
3.00000000
N
N
N
N
N
N
LUMEN TECHNOLOGIES INC
8M3THTGWLTYZVE6BBY25
Lumen Technologies Inc
156700AZ9
200000.00000000
PA
USD
211544.00000000
0.631129325838
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
54667.07000000
PA
USD
54528.67000000
0.162683142684
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
99345.83000000
0.296392555273
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
49726.45000000
0.148355996222
Long
DBT
CORP
US
N
2
2026-11-30
Fixed
3.75000000
N
N
N
N
N
N
BENCHMARK Mortgage Trust
N/A
Benchmark 2018-B5 Mortgage Trust
08160BAC8
100000.00000000
PA
USD
109948.74000000
0.328025725867
Long
ABS-MBS
CORP
US
N
2
2051-07-15
Fixed
3.94400000
N
N
N
N
N
N
AVOLON HOLDINGS FNDG LTD
635400ZRKEX9L1BKCH30
Avolon Holdings Funding Ltd
05401AAH4
50000.00000000
PA
USD
51075.47000000
0.152380719604
Long
DBT
CORP
KY
N
2
2025-02-15
Fixed
2.87500000
N
N
N
N
N
N
Public Service New Hampshire Funding Llc.
N/A
PSNH Funding LLC 3
69363PAC4
175000.00000000
PA
USD
197724.71000000
0.589900270978
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
106631.92000000
0.318130184653
Long
ABS-MBS
CORP
US
N
2
2048-05-15
Fixed
3.73200000
N
N
N
N
N
N
Chicago Board of Trade
549300EX04Q2QBFQTQ27
US LONG BOND(CBT) MAR22
000000000
3.00000000
NC
USD
5981.15000000
0.017844416136
N/A
DIR
US
N
1
Chicago Board of Trade
549300EX04Q2QBFQTQ27
Long
CBOT US Long Bond Future
USH2 COMDTY
2022-03-22
475331.35000000
USD
5981.15000000
N
N
N
COMM Mortgage Trust
N/A
COMM 2021-LBA Mortgage Trust
12598GAE7
425000.00000000
PA
USD
418855.90000000
1.249632425359
Long
ABS-MBS
CORP
US
N
2
2038-03-15
Floating
1.31000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae
21H030625
175000.00000000
PA
USD
180794.25000000
0.539389219821
Long
ABS-MBS
USGA
US
N
2
2051-02-20
Fixed
3.00000000
N
N
N
N
N
N
Credit Suisse Mortgage Trust
N/A
CSMC 2020-NQM1 Trust
126401AA6
89947.34000000
PA
USD
89700.66000000
0.267616746743
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
61884.40000000
PA
USD
67759.65000000
0.202157008582
Long
ABS-MBS
USGSE
US
N
2
2045-02-01
Fixed
4.00000000
N
N
N
N
N
N
Dell Equipment Finance Trust
N/A
Dell Equipment Finance Trust 2021-2
24702VAL6
125000.00000000
PA
USD
123512.69000000
0.368492988560
Long
ABS-O
CORP
US
N
2
2027-06-22
Fixed
1.21000000
N
N
N
N
N
N
ICE Futures Europe - Financial Products Division
549300UF4R84F48NCH34
LONG GILT FUTURE MAR22
000000000
-4.00000000
NC
-599.14000000
-0.00178749964
N/A
DIR
GB
N
1
ICE Futures Europe - Financial Products Division
549300UF4R84F48NCH34
Short
Long Gilt Future
G H2 COMDTY
2022-03-29
-499157.36000000
GBP
-599.14000000
N
N
N
Goldman Sachs & Co. LLC
FOR8UP27PHTHYVLBNG30
2I65BRYQ7 SWAPTION 12368237
000000000
-1000000.00000000
NC
USD
-3340.50000000
-0.00996618912
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
1000000.00000000
OU
Notional Amount
N/A
-3340.50000000
-0.01000000
DCR
US
Markit CDX.NA.HY.S37.V1
2I65BRYQ7
sell protection
2026-12-20
0.00000000
N/A
0.00000000
N/A
1000000.00000000
USD
1.00000000
106.00000000
USD
2022-02-16
XXXX
3659.50000000
N
N
N
SABINE PASS LIQUEFACTION
549300KJYBG7C6WJYZ11
Sabine Pass Liquefaction LLC
785592AS5
200000.00000000
PA
USD
224635.13000000
0.670185957325
Long
DBT
CORP
US
N
2
2027-03-15
Fixed
5.00000000
N
N
N
N
N
N
GCAT
N/A
GCAT 2021-NQM4 Trust
36168HAA2
115427.89000000
PA
USD
113857.22000000
0.339686450574
Long
ABS-MBS
CORP
US
N
2
2066-08-25
Variable
1.09300000
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
208549.25000000
0.622194661897
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
63784.82000000
0.190298332476
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
46628.91000000
0.139114664244
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
293793.59000000
0.876516234883
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
54080.95000000
0.161347395880
Long
ABS-MBS
USGSE
US
N
2
2050-05-25
Variable
3.99300000
N
N
N
N
N
N
Burlington Resources LLC
0FJ5X7MVCTSE8OEPQE56
Burlington Resources LLC
12201PAB2
100000.00000000
PA
USD
140311.39000000
0.418610941355
Long
DBT
CORP
US
N
2
2031-08-15
Fixed
7.20000000
N
N
N
N
N
N
VERIZON COMMUNICATIONS
2S72QS2UO2OESLG6Y829
Verizon Communications Inc
92343VFW9
126000.00000000
PA
USD
119270.66000000
0.355837136662
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
31570.49000000
PA
USD
31696.03000000
0.094563277831
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
56452.87000000
PA
USD
56691.02000000
0.169134389222
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
246378.18000000
0.735055093241
Long
ABS-O
CORP
US
N
2
2036-06-16
Fixed
1.55000000
N
N
N
N
N
N
INTL LEASE FINANCE CORP
N/A
International Lease Finance Corp
459745GN9
120000.00000000
PA
USD
123703.10000000
0.369061065816
Long
DBT
CORP
US
N
2
2022-08-15
Fixed
5.87500000
N
N
N
N
N
N
UMBS, TBA
N/A
Uniform Mortgage-Backed Security, TBA
01F032617
225000.00000000
PA
USD
236947.50000000
0.706919203258
Long
ABS-MBS
USGSE
US
N
2
2052-01-15
Fixed
3.50000000
N
N
N
N
N
N
Republic of Colombia
549300MHDRBVRF6B9117
Colombia Government International Bond
195325BD6
155000.00000000
PA
USD
175372.81000000
0.523214666195
Long
DBT
NUSS
CO
N
2
2024-05-21
Fixed
8.12500000
N
N
N
N
N
N
NATWEST GROUP PLC
2138005O9XJIJN4JPN90
Natwest Group PLC
780097BD2
250000.00000000
PA
USD
260686.57000000
0.777743349748
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
106053.30000000
0.316403905248
Long
ABS-MBS
CORP
US
N
2
2052-11-15
Variable
4.17900000
N
N
N
N
N
N
Liberty Mutual Group Inc
QUR0DG15Z6FFGYCHH861
Liberty Mutual Group Inc
53079EBE3
45000.00000000
PA
USD
47001.23000000
0.140225459495
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
131168.73000000
0.391334342434
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
70049.69000000
0.208989210872
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
213053.86000000
0.635633906085
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
97768.89000000
0.291687845713
Long
DBT
MUN
US
N
2
2044-10-01
Fixed
2.47200000
N
N
N
N
N
N
CCG Receivables Trust
N/A
CCG Receivables Trust 2020-1
12509DAD4
150000.00000000
PA
USD
151197.68000000
0.451089559839
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
113209.28000000
PA
USD
114629.03000000
0.341989101205
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
75386.86000000
PA
USD
74775.16000000
0.223087378135
Long
ABS-MBS
CORP
US
N
2
2065-05-25
Variable
0.71500000
N
N
N
N
N
N
ENERGY TRANSFER LP
MTLVN9N7JE8MIBIJ1H73
Energy Transfer LP
29278NAN3
50000.00000000
PA
USD
57032.41000000
0.170152906602
Long
DBT
CORP
US
N
2
2027-06-01
Fixed
5.50000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36179WLP1
146971.32000000
PA
USD
150743.63000000
0.449734927846
Long
ABS-MBS
USGA
US
N
2
2051-08-20
Fixed
2.50000000
N
N
N
N
N
N
BRISTOL-MYERS SQUIBB CO
HLYYNH7UQUORYSJQCN42
Bristol-Myers Squibb Co
110122CQ9
50000.00000000
PA
USD
59142.65000000
0.176448685960
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
66961.90000000
0.199776967457
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
75000.00000000
PA
USD
77265.94000000
0.230518476640
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
48091.48000000
PA
USD
52408.29000000
0.156357111220
Long
ABS-MBS
USGSE
US
N
2
2040-09-01
Fixed
4.00000000
N
N
N
N
N
N
GOLDEN CREDIT CARD TRUST
549300BEDPMEONLTJX58
GOLDEN CREDIT CARD TRUST
380881FD9
200000.00000000
PA
USD
196769.38000000
0.587050099010
Long
ABS-O
CORP
US
N
2
2028-08-15
Fixed
1.74000000
N
N
N
N
N
N
COLT Funding LLC
N/A
COLT Funding LLC
12658YAA3
100000.00000000
PA
USD
99999.44000000
0.298342563019
Long
ABS-MBS
CORP
US
N
2
2066-12-25
Variable
1.90700000
N
N
N
N
N
N
Ally Financial Inc
549300JBN1OSM8YNAI90
Ally Financial Inc
02005NBC3
100000.00000000
PA
USD
101480.44000000
0.302761041121
Long
DBT
CORP
US
N
2
2022-05-19
Fixed
4.62500000
N
N
N
N
N
N
State of California
N/A
CALIFORNIA ST
13063A7D0
250000.00000000
PA
USD
392203.78000000
1.170117362168
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
51483.96000000
PA
USD
53900.98000000
0.160810465763
Long
ABS-MBS
USGSE
US
N
2
2046-05-01
Fixed
3.00000000
N
N
N
N
N
N
State Street Global Advisors
549300BZ5TGIFZUZDZ37
State Street Institutional US Government Money Market Fund
857492706
2789787.26000000
NS
USD
2789787.26000000
8.323169424022
Long
STIV
RF
US
N
2
N
N
N
Verus Securitization Trust
N/A
Verus Securitization Trust 2021-R3
92538EAA5
196634.67000000
PA
USD
195976.95000000
0.584685929798
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
115823.88000000
0.345553867282
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
102250.50000000
PA
USD
103894.44000000
0.309963070923
Long
ABS-O
CORP
US
N
2
2026-01-15
Fixed
4.09000000
N
N
N
N
N
N
BX Trust
N/A
BX 2021-LBA3 Mortgage Trust
05609PAL2
175000.00000000
PA
USD
174184.99000000
0.519670873718
Long
ABS-MBS
CORP
US
N
2
2036-10-15
Floating
1.40800000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31387WG92
20905.60000000
PA
USD
23150.36000000
0.069067764151
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 2021-ESH
30227FAJ9
124353.06000000
PA
USD
124352.94000000
0.370999825985
Long
ABS-MBS
CORP
US
N
2
2038-07-15
Floating
2.36000000
N
N
N
N
N
N
HILLENBRAND INC
U246OE781574J2BUD366
Hillenbrand Inc
431571AD0
200000.00000000
PA
USD
209000.00000000
0.623539448531
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
24905.65000000
PA
USD
26671.98000000
0.079574314356
Long
ABS-MBS
USGSE
US
N
2
2047-10-01
Fixed
4.00000000
N
N
N
N
N
N
Chicago Board of Trade
549300EX04Q2QBFQTQ27
US 10YR NOTE (CBT)MAR22
000000000
3.00000000
NC
USD
-1973.13000000
-0.00588671957
N/A
DIR
US
N
1
Chicago Board of Trade
549300EX04Q2QBFQTQ27
Long
CBOT 10 Year US Treasury Note
TYH2 COMDTY
2022-03-22
393379.38000000
USD
-1973.13000000
N
N
N
HPEFS Equipment Trust
N/A
HPEFS Equipment Trust 2021-2
40441JAF8
150000.00000000
PA
USD
147740.93000000
0.440776545539
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
81215.47000000
PA
USD
81075.11000000
0.241882915689
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
61481.15000000
0.183425465866
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
250103.20000000
0.746168475617
Long
DBT
CORP
US
N
2
2022-02-12
Fixed
2.37500000
N
N
N
N
N
N
Angel Oak Mortgage Trust
N/A
Angel Oak Mortgage Trust 2021-5
03465HAA2
128790.49000000
PA
USD
126973.58000000
0.378818354312
Long
ABS-MBS
CORP
US
N
2
2066-07-25
Variable
0.95100000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Pool
3132DVLF0
84284.85000000
PA
USD
86796.82000000
0.258953307545
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
218000.00000000
0.650390429568
Long
DBT
CORP
US
N
2
2025-06-01
Fixed
4.87500000
N
N
N
N
N
N
Chicago Board of Trade
549300EX04Q2QBFQTQ27
US 2YR NOTE (CBT) MAR22
000000000
-6.00000000
NC
USD
1303.72000000
0.003889573444
N/A
DIR
US
N
1
Chicago Board of Trade
549300EX04Q2QBFQTQ27
Short
CBOT 2 Year US Treasury Note Future
TUH2 COMDTY
2022-03-31
-1310334.98000000
USD
1303.72000000
N
N
N
arbor multifamily mortgage securities trust
N/A
Arbor Multifamily Mortgage Securities Trust 2021-MF3
03882KAW2
150000.00000000
PA
USD
148244.97000000
0.442280319815
Long
ABS-MBS
CORP
US
N
2
2054-10-15
Fixed
2.51100000
N
N
N
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
Long: S2072818 IRS NZD R F 1.92750 12072818_FIX CCPVANILLA / Short: S2072818 IRS NZD P V 03MNZDBB 12072818_FLO CCPVANILLA
000000000
300000.00000000
OU
Notional Amount
-12509.59000000
-0.03732164043
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2031-08-20
0.00000000
NZD
0.00000000
NZD
300000.00000000
NZD
-12509.59000000
N
N
N
Bank of America Corp
9DJT3UXIJIZJI4WXO774
Bank of America Corp
06051GFH7
150000.00000000
PA
USD
160778.85000000
0.479674428059
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
98010.00000000
0.292407183495
Long
DBT
CORP
US
N
2
2022-03-15
Variable
3.53300000
N
N
N
N
N
N
TEACHERS INSUR & ANNUITY
O06XD7BJ4EPXNABVFN69
Teachers Insurance & Annuity Association of America
878091BF3
60000.00000000
PA
USD
72469.76000000
0.216209350170
Long
DBT
CORP
US
N
2
2047-05-15
Fixed
4.27000000
N
N
N
N
N
N
COMCAST CORP
51M0QTTNCGUN7KFCFZ59
Comcast Corp
20030NDT5
67000.00000000
PA
USD
63819.73000000
0.190402484448
Long
DBT
CORP
US
N
2
2056-11-01
Fixed
2.93700000
N
N
N
N
N
N
Morgan Stanley
IGJSJL3JD5P30I6NJZ34
Morgan Stanley
6174467Y9
140000.00000000
PA
USD
154747.31000000
0.461679676263
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
5820.41000000
PA
USD
6301.85000000
0.018801206094
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
110487.54000000
PA
USD
117096.06000000
0.349349342955
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
147822.53000000
0.441019994434
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
178110.76000000
0.531383182143
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
322190.10000000
PA
USD
321463.81000000
0.959068740718
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
148467.10000000
0.442943031861
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
294.63000000
PA
USD
294.98000000
0.000880055820
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
63730.28000000
PA
USD
67142.03000000
0.200314374925
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
371234.52000000
1.107556784098
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
17644.61000000
PA
USD
19410.88000000
0.057911241199
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
8976.00000000
PA
USD
9631.01000000
0.028733562986
Long
ABS-MBS
USGA
US
N
2
2043-02-20
Fixed
3.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31400HMP5
20530.18000000
PA
USD
23191.36000000
0.069190085287
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
104037.37000000
0.310389494337
Long
DBT
CORP
US
N
2
2045-05-22
Fixed
5.15000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140X8MP9
42654.64000000
PA
USD
43663.13000000
0.130266430628
Long
ABS-MBS
USGSE
US
N
2
2050-11-01
Fixed
2.50000000
N
N
N
N
N
N
Bank of America, National Association
B4TYDEB6GKMZO031MB27
2I65BYDZ5 SWAPTION 12298394
000000000
3500000.00000000
NC
USD
1043.70000000
0.003113818767
N/A
DCR
US
N
2
Bank of America, National Association
B4TYDEB6GKMZO031MB27
Put
Purchased
Intercontinental Exchange, Inc.
5493000F4ZO33MV32P92
Intercontinental Exchange, Inc.
5493000F4ZO33MV32P92
CDX Swap
N/A
3500000.00000000
OU
Notional Amount
N/A
1043.70000000
0.00000000
DCR
US
Markit CDX.NA.IG.S37.V1
2I65BYDZ5
buy protection
2026-12-20
0.00000000
N/A
0.00000000
N/A
3500000.00000000
USD
1.00000000
55.00000000
USD
2022-01-19
XXXX
-5606.30000000
N
N
N
Duke Energy Ohio Inc
L6KC0HABGHNFU1Z6QY21
Duke Energy Ohio Inc
26442EAG5
50000.00000000
PA
USD
59997.68000000
0.178999618662
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
88802.13000000
PA
USD
93103.90000000
0.277770117043
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
168146.66000000
0.501655864348
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
700000.00000000
PA
USD
714609.00000000
2.131994745338
Long
ABS-MBS
USGSE
US
N
2
2052-01-15
Fixed
2.50000000
N
N
N
N
N
N
Angel Oak Mortgage Trust
N/A
Angel Oak Mortgage Trust I LLC 2019-4
03463UAA5
43451.97000000
PA
USD
43621.09000000
0.130141006712
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
52779.18000000
0.157463640149
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
50000.00000000
PA
USD
61754.15000000
0.184239945624
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
202639.18000000
PA
USD
206127.39000000
0.614969182238
Long
ABS-O
CORP
US
N
2
2025-12-15
Fixed
3.98000000
N
N
N
N
N
N
COMCAST CORP
51M0QTTNCGUN7KFCFZ59
Comcast Corp
20030NDR9
64000.00000000
PA
USD
61951.10000000
0.184827534592
Long
DBT
CORP
US
N
2
2051-11-01
Fixed
2.88700000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
31335AYK8
50866.04000000
PA
USD
55341.18000000
0.165107219417
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
300646.20000000
0.896960601679
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
44042.38000000
PA
USD
45172.81000000
0.134770473856
Long
ABS-MBS
USGA
US
N
2
2051-03-20
Fixed
2.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140XCCM8
491168.60000000
PA
USD
502487.51000000
1.499142511384
Long
ABS-MBS
USGSE
US
N
2
2051-08-01
Fixed
2.50000000
N
N
N
N
N
N
GS Mortgage-Backed Securities Trust
N/A
GS Mortgage-Backed Securities Trust 2020-NQM1
36259WAA9
49502.05000000
PA
USD
49180.27000000
0.146726499686
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
209720.88000000
0.625690152443
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
51912.20000000
0.154877055311
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
138854.77000000
PA
USD
140602.85000000
0.419480495459
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 MAR22
000000000
6.00000000
NC
USD
108.43000000
0.000323494652
N/A
DIR
US
N
1
Chicago Board of Trade
549300EX04Q2QBFQTQ27
Long
Ultra 10-Year US Treasury Note Futures
UXYH2 COMDTY
2022-03-22
878516.57000000
USD
108.43000000
N
N
N
State of Illinois
54930048FV8RWPR02D67
ILLINOIS ST
452152BM2
50000.00000000
PA
USD
61087.77000000
0.182251839319
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
103135.39000000
0.307698489017
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
70246.52000000
PA
USD
74448.13000000
0.222111702987
Long
ABS-MBS
USGSE
US
N
2
2047-08-01
Fixed
3.50000000
N
N
N
N
N
N
COLT Funding LLC
N/A
COLT 2021-3 Mortgage Loan Trust
19688FAA3
96282.05000000
PA
USD
94753.50000000
0.282691603523
Long
ABS-MBS
CORP
US
N
2
2066-09-27
Variable
0.95600000
N
N
N
N
N
N
SLG Office Trust
N/A
SLG Office Trust 2021-OVA
78449RAG0
100000.00000000
PA
USD
100840.74000000
0.300852533057
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
63439.37000000
0.189267702320
Long
DBT
CORP
US
N
2
2026-07-01
Fixed
3.20000000
N
N
N
N
N
N
Bank of America, National Association
B4TYDEB6GKMZO031MB27
2I65BYDZ5 SWAPTION 12300365
000000000
-3500000.00000000
NC
USD
-93.45000000
-0.00027880268
N/A
DCR
US
N
2
Bank of America, National Association
B4TYDEB6GKMZO031MB27
Put
Written
Intercontinental Exchange, Inc.
5493000F4ZO33MV32P92
Intercontinental Exchange, Inc.
5493000F4ZO33MV32P92
CDX Swap
N/A
3500000.00000000
OU
Notional Amount
N/A
-93.45000000
0.00000000
DCR
US
Markit CDX.NA.IG.S37.V1
2I65BYDZ5
sell protection
2026-12-20
0.00000000
N/A
0.00000000
N/A
3500000.00000000
USD
1.00000000
75.00000000
USD
2022-01-19
XXXX
2006.55000000
N
N
N
DELTA AIR LINES INC
Q2CCMS6R0AS67HJMBN42
Delta Air Lines Inc
247361ZX9
100000.00000000
PA
USD
114340.97000000
0.341129690805
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
80801.60000000
0.241066914375
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
150800.00000000
0.449903104490
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
101281.72000000
0.302168171459
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
58517.32000000
PA
USD
63143.87000000
0.188386095109
Long
ABS-MBS
USGSE
US
N
2
2045-06-01
Fixed
3.50000000
N
N
N
N
N
N
Verus Securitization Trust
N/A
Verus Securitization Trust 2019-4
92537KAA2
29577.99000000
PA
USD
29862.79000000
0.089093912001
Long
ABS-MBS
CORP
US
N
2
2059-11-25
Variable
2.64200000
N
N
N
N
N
N
GE CAPITAL INTL FUNDING
549300G6UZOB126GBY72
GE Capital International Funding Co Unlimited Co
36164Q6M5
200000.00000000
PA
USD
212626.13000000
0.634357798294
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
36179WTY4
50000.00000000
PA
USD
51283.35000000
0.153000917597
Long
ABS-MBS
USGA
US
N
2
2051-12-20
Fixed
2.50000000
N
N
N
N
N
N
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
Long: B2072805 IRS USD R V 03MLIBOR 12072805_FLO CCPVANILLA / Short: B2072805 IRS USD P F 1.30950 12072805_FIX CCPVANILLA
000000000
200000.00000000
OU
Notional Amount
USD
4598.61000000
0.013719687767
N/A
DIR
US
N
2
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
N/A
N/A
Y
2031-08-20
0.00000000
USD
0.00000000
USD
200000.00000000
USD
4598.61000000
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138EPSH8
10859.02000000
PA
USD
11946.03000000
0.035640291666
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
93750.00000000
0.279697719137
Long
DBT
NUSS
TR
N
2
2036-03-17
Fixed
6.87500000
N
N
N
N
N
N
ALLSTATE CORP
OBT0W1ED8G0NWVOLOJ77
Allstate Corp/The
020002BB6
25000.00000000
PA
USD
26000.00000000
0.077569500774
Long
DBT
CORP
US
N
2
2053-08-15
Fixed
5.75000000
N
N
N
N
N
N
Santander Retail Auto Lease Trust
N/A
Santander Retail Auto Lease Trust 2021-C
80286CAF7
125000.00000000
PA
USD
123351.14000000
0.368011013451
Long
ABS-O
CORP
US
N
2
2026-03-20
Fixed
1.11000000
N
N
N
N
N
N
AIR LEASE CORP
5493004NW4M4P8TMMK63
Air Lease Corp
00914AAJ1
50000.00000000
PA
USD
51572.00000000
0.153862088228
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
99985.66000000
PA
USD
99838.43000000
0.297862198968
Long
ABS-O
CORP
US
N
2
2037-03-17
Floating
1.35900000
N
N
N
N
N
N
Comcast Corp
51M0QTTNCGUN7KFCFZ59
Comcast Corp
20030NCC3
38000.00000000
PA
USD
43751.22000000
0.130529242064
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
222500.00000000
0.663815920087
Long
DBT
CORP
US
N
2
2025-03-15
Fixed
6.87500000
N
N
N
N
N
N
Drive Auto Receivables Trust
N/A
Drive Auto Receivables Trust 2018-2
26208JAG8
69717.91000000
PA
USD
70591.80000000
0.210606564798
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
138851.08000000
0.414254190675
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
49973.36000000
PA
USD
49845.66000000
0.148711652383
Long
ABS-MBS
CORP
US
N
2
2065-05-25
Variable
1.50200000
N
N
N
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
Long: S2064176 IRS NZD R F 1.91000 12064176_FIX CCPVANILLA / Short: S2064176 IRS NZD P V 03MNZDBB 12064176_FLO CCPVANILLA
000000000
530000.00000000
OU
Notional Amount
-22565.51000000
-0.06732289790
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2031-08-11
0.00000000
NZD
0.00000000
NZD
530000.00000000
NZD
-22565.51000000
N
N
N
Vista Point Securitization Trust
N/A
Vista Point Securitization Trust 2020-1
92838WAA2
22162.43000000
PA
USD
22224.11000000
0.066304350686
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
39842.69000000
PA
USD
39839.70000000
0.118859447692
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
47088.92000000
PA
USD
47107.78000000
0.140543345276
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
76598.17000000
0.228526223350
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
159783.64000000
0.476705276411
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
56837.95000000
0.169572746405
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
27000.00000000
PA
USD
30299.06000000
0.090395498389
Long
DBT
CORP
US
N
2
2028-03-25
Fixed
4.30000000
N
N
N
N
N
N
UMBS, TBA
N/A
Uniform Mortgage-Backed Security, TBA
01F020612
1100000.00000000
PA
USD
1096779.20000000
3.272177500138
Long
ABS-MBS
USGSE
US
N
2
2052-01-15
Fixed
2.00000000
N
N
N
N
N
N
Angel Oak Mortgage Trust
N/A
Angel Oak Mortgage Trust 2021-4
03464EAA0
83950.29000000
PA
USD
82840.49000000
0.247149825122
Long
ABS-MBS
CORP
US
N
2
2065-01-20
Variable
1.03500000
N
N
N
N
N
N
UBS AG
BFM8T61CT2L1QCEMIK50
2I65BRYQ7 SWAPTION 12368236
000000000
1000000.00000000
NC
USD
6160.80000000
0.018380391552
N/A
DCR
US
N
2
UBS AG
BFM8T61CT2L1QCEMIK50
Put
Purchased
Intercontinental Exchange, Inc.
5493000F4ZO33MV32P92
Intercontinental Exchange, Inc.
5493000F4ZO33MV32P92
CDX Swap
N/A
1000000.00000000
OU
Notional Amount
N/A
6160.80000000
0.02000000
DCR
US
Markit CDX.NA.HY.S37.V1
2I65BRYQ7
buy protection
2026-12-20
0.00000000
N/A
0.00000000
N/A
1000000.00000000
USD
1.00000000
108.00000000
USD
2022-02-16
XXXX
-6139.20000000
N
N
N
Ford Credit Auto Owner Trust/Ford Credit
N/A
Ford Credit Auto Owner Trust 2021-REV2
345285AD2
200000.00000000
PA
USD
198805.08000000
0.593123492576
Long
ABS-O
CORP
US
N
2
2034-05-15
Fixed
2.60000000
N
N
N
N
N
N
Vista Point Securitization Trust
N/A
Vista Point Securitization Trust 2020-2
92838TAA9
49028.43000000
PA
USD
48874.39000000
0.145813924344
Long
ABS-MBS
CORP
US
N
2
2065-04-25
Variable
1.47500000
N
N
N
N
N
N
Goldman Sachs & Co. LLC
FOR8UP27PHTHYVLBNG30
2I65BRYQ7 SWAPTION 12368238
000000000
-1000000.00000000
NC
USD
-1368.00000000
-0.00408134911
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
1000000.00000000
OU
Notional Amount
N/A
-1368.00000000
0.00000000
DCR
US
Markit CDX.NA.HY.S37.V1
2I65BRYQ7
sell protection
2026-12-20
0.00000000
N/A
0.00000000
N/A
1000000.00000000
USD
1.00000000
103.00000000
USD
2022-02-16
XXXX
2332.00000000
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138EMDC2
97310.42000000
PA
USD
107060.68000000
0.319409365390
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
63356.11000000
0.189019300911
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 2021-B
80286DAF5
500000.00000000
PA
USD
493729.40000000
1.473013195214
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
49884.38000000
0.148827171270
Long
DBT
NUSS
PA
N
2
2060-07-23
Fixed
3.87000000
N
N
N
N
N
N
Citigroup Inc
6SHGI4ZSSLCXXQSBB395
Citigroup Inc
172967HB0
300000.00000000
PA
USD
339277.18000000
1.012213902949
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
10999.96000000
PA
USD
12124.69000000
0.036173313474
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
64742.39000000
0.193155187355
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
73666.25000000
0.219779009092
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
59567.34000000
0.177715724086
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
100224.98000000
0.299015448604
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
13377.70000000
PA
USD
14883.08000000
0.044402810983
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
49668.93000000
PA
USD
52293.32000000
0.156014104854
Long
ABS-MBS
USGSE
US
N
2
2043-07-01
Fixed
3.00000000
N
N
N
N
N
N
Chicago Board of Trade
549300EX04Q2QBFQTQ27
US 5YR NOTE (CBT) MAR22
000000000
-3.00000000
NC
USD
-1036.13000000
-0.00309123410
N/A
DIR
US
N
1
Chicago Board of Trade
549300EX04Q2QBFQTQ27
Short
CBOT 5 Year US Treasury Note
FVH2 COMDTY
2022-03-31
-361893.56000000
USD
-1036.13000000
N
N
N
SoFi Consumer Loan Program Trust
N/A
Sofi Consumer Loan Program 2018-2 Trust
78471WAC9
5355.26000000
PA
USD
5366.44000000
0.016010464297
Long
ABS-O
CORP
US
N
2
2027-04-26
Fixed
3.79000000
N
N
N
N
N
N
MED Trust
N/A
Med Trust 2021-MDLN
58403YAR7
300000.00000000
PA
USD
299247.36000000
0.892787243200
Long
ABS-MBS
CORP
US
N
2
2038-11-15
Floating
2.11000000
N
N
N
N
N
N
KINDER MORGAN INC
549300WR7IX8XE0TBO16
Kinder Morgan Inc
49456BAP6
100000.00000000
PA
USD
111120.00000000
0.331520112539
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
63655.16000000
PA
USD
63022.96000000
0.188025367096
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
15750.89000000
PA
USD
17166.83000000
0.051216247422
Long
ABS-MBS
USGSE
US
N
2
2041-03-01
Fixed
4.00000000
N
N
N
N
N
N
Aon PLC
635400FALWQYX5E6QC64
Aon PLC
00185AAH7
50000.00000000
PA
USD
62211.70000000
0.185605019666
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
223423.99000000
PA
USD
223261.81000000
0.666088736294
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
35794.52000000
PA
USD
38333.10000000
0.114364593466
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
74025.28000000
0.220850154395
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
58673.16000000
0.175047989617
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
53850.49000000
PA
USD
53615.99000000
0.159960214531
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
68244.80000000
0.203604425632
Long
DBT
CORP
US
N
2
2049-01-25
Fixed
5.57600000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36179QPH8
22906.69000000
PA
USD
24801.43000000
0.073993636291
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
30112.84000000
PA
USD
31913.96000000
0.095213459420
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
355654.83000000
1.061075677348
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
82376.64000000
0.245765955394
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
47697.81000000
PA
USD
47792.13000000
0.142585064039
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
20582.23000000
PA
USD
23404.00000000
0.069824484466
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
138354.76000000
0.412773448574
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
54271.83000000
PA
USD
60256.30000000
0.179771196519
Long
ABS-MBS
USGSE
US
N
2
2034-09-01
Fixed
5.50000000
N
N
N
N
N
N
FOX CORP
549300DDU6FDRBIELS05
Fox Corp
35137LAM7
25000.00000000
PA
USD
26242.10000000
0.078291792164
Long
DBT
CORP
US
N
2
2025-04-07
Fixed
3.05000000
N
N
N
N
N
Chicago Board of Trade
549300EX04Q2QBFQTQ27
US ULTRA BOND CBT MAR22
000000000
12.00000000
NC
USD
44044.98000000
0.131405658085
N/A
DIR
US
N
1
Chicago Board of Trade
549300EX04Q2QBFQTQ27
Long
CME Ultra Long Term US Treasury Bond Future
WNH2 COMDTY
2022-03-22
2321455.02000000
USD
44044.98000000
N
N
N
Seagate HDD Cayman
529900BD50TRWEG1SF63
Seagate HDD Cayman
81180WAN1
80000.00000000
PA
USD
92200.00000000
0.275073383514
Long
DBT
CORP
KY
N
2
2034-12-01
Fixed
5.75000000
N
N
N
N
N
COLT Funding LLC
N/A
COLT 2020-3 Mortgage Loan Trust
12597QAA4
27857.57000000
PA
USD
27854.90000000
0.083103487966
Long
ABS-MBS
CORP
US
N
2
2065-04-27
Variable
1.50600000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140J73M5
52857.83000000
PA
USD
56320.32000000
0.168028427147
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
325875.00000000
0.972229271723
Long
DBT
CORP
US
N
2
2026-08-01
Fixed
4.54200000
N
N
N
N
N
N
United States Treasury
254900HROIFWPRGM1V77
United States Treasury Note/Bond
91282CCB5
150000.00000000
PA
USD
151898.44000000
0.453180236891
Long
DBT
UST
US
N
2
2031-05-15
Fixed
1.62500000
N
N
N
N
N
N
Merrill Lynch, Pierce, Fenner & Smith Incorporated
8NAV47T0Y26Q87Y0QP81
US 10YR FUT OPTN MAR22P 128
000000000
-90.00000000
NC
USD
-21093.75000000
-0.06293198680
N/A
DIR
US
N
1
Merrill Lynch, Pierce, Fenner & Smith Incorporated
8NAV47T0Y26Q87Y0QP81
Put
Written
Chicago Board of Trade
549300EX04Q2QBFQTQ27
Chicago Board of Trade
549300EX04Q2QBFQTQ27
CBOT 10 Year US Treasury Note Future
N/A
90.00000000
NC
N/A
-21093.75000000
-0.06000000
DIR
US
Short
CBOT 10 Year US Treasury Note
TYH2 Comdty
2022-03-22
90.00000000
USD
1000.00000000
128.00000000
USD
2022-02-18
XXXX
2812.50000000
N
N
N
United States Treasury
254900HROIFWPRGM1V77
United States Treasury Inflation Indexed Bonds
912828ZZ6
145596.15000000
PA
USD
162884.94000000
0.485957826132
Long
DBT
UST
US
N
2
2030-07-15
Fixed
0.12500000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36179T7M1
7416.15000000
PA
USD
7906.73000000
0.023589273032
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
74510.66000000
PA
USD
79090.43000000
0.235961737350
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
66541.43000000
0.198522519457
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
56675.29000000
0.169087459674
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
299436.54000000
0.893351650821
Long
ABS-MBS
CORP
US
N
2
2038-04-15
Floating
1.71100000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36225BEA2
5268.08000000
PA
USD
5840.22000000
0.017423959608
Long
ABS-MBS
USGA
US
N
2
2029-05-15
Fixed
6.50000000
N
N
N
N
N
N
COLT Funding LLC
N/A
COLT 2021-1RMortgage Pass-Through Certificates
19688BAA2
42823.82000000
PA
USD
42715.40000000
0.127438932822
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
79401.52000000
0.236889856427
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
148741.88000000
0.443762822147
Long
ABS-O
CORP
US
N
2
2026-10-15
Fixed
0.84000000
N
N
N
N
N
N
Banc of America Merrill Lynch Large Loan Inc
549300UQK6PJ8BF5JQ90
BAMLL Commercial Mortgage Securities Trust 2015-200P
05526QAJ5
100000.00000000
PA
USD
101243.66000000
0.302054621644
Long
ABS-MBS
CORP
US
N
2
2033-04-14
Variable
3.59600000
N
N
N
N
N
N
Synchrony Financial
549300RS7EWPM9MA6C78
Synchrony Financial
87165BAG8
90000.00000000
PA
USD
97240.64000000
0.290111842298
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
51554.79000000
0.153810743185
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
65812.04000000
0.196346426451
Long
DBT
CORP
US
N
2
2045-10-15
Fixed
4.95000000
N
N
N
N
N
N
2022-02-01
UBS FUNDS
Joanne Kilkeary
Joanne Kilkeary
Vice President and Treasurer