0001752724-20-030276.txt : 20200221
0001752724-20-030276.hdr.sgml : 20200221
20200221162210
ACCESSION NUMBER: 0001752724-20-030276
CONFORMED SUBMISSION TYPE: NPORT-P
PUBLIC DOCUMENT COUNT: 1
CONFORMED PERIOD OF REPORT: 20191231
FILED AS OF DATE: 20200221
PERIOD START: 20191231
FILER:
COMPANY DATA:
COMPANY CONFORMED NAME: MAINSTAY VP FUNDS TRUST
CENTRAL INDEX KEY: 0000887340
IRS NUMBER: 133186036
STATE OF INCORPORATION: DE
FISCAL YEAR END: 1231
FILING VALUES:
FORM TYPE: NPORT-P
SEC ACT: 1940 Act
SEC FILE NUMBER: 811-03833-01
FILM NUMBER: 20640318
BUSINESS ADDRESS:
STREET 1: 51 MADISON AVE
CITY: NEW YORK
STATE: NY
ZIP: 10010
BUSINESS PHONE: 2125767000
MAIL ADDRESS:
STREET 1: 51 MADISON AVE
CITY: NEW YORK
STATE: NY
ZIP: 10010
FORMER COMPANY:
FORMER CONFORMED NAME: MAINSTAY VP SERIES FUND INC
DATE OF NAME CHANGE: 20010518
FORMER COMPANY:
FORMER CONFORMED NAME: NEW YORK LIFE MFA SERIES FUND INC
DATE OF NAME CHANGE: 19920929
0000887340
S000031904
MainStay VP MacKay Unconstrained Bond Portfolio
C000099347
Initial Class
C000099348
Service Class
NPORT-P
1
primary_doc.xml
NPORT-P
false
0000887340
XXXXXXXX
S000031904
C000099347
C000099348
MAINSTAY VP FUNDS TRUST
811-03833-01
0000887340
549300AG6K4RXYNOVN04
51 MADISON AVE
NEW YORK
10010
212-576-7000
MainStay VP MacKay Unconstrained Bond Portfolio
S000031904
6C5519UGH7WX3W03CU84
2019-12-31
2019-12-31
N
1081767852.13
41438284.46
1040329567.67
0
0
0
0
0
0
0
0
0
0
6638537.5
0
0
6084008.3
USD
EUR
N
Discover Bank
X05BVSK68TQ7YTOSNR22
Discover Bank
25466AAB7
1005000.00000000
PA
USD
1018484.31000000
0.097900159877
Long
DBT
CORP
US
N
2
2020-04-15
Fixed
7.00000000
N
N
N
N
N
N
Santander UK PLC
PTCQB104N23FMNK2RZ28
Santander UK PLC
80283LAP8
3000000.00000000
PA
USD
3003577.86000000
0.288714072284
Long
DBT
CORP
GB
N
2
2020-11-03
Fixed
2.13000000
N
N
N
N
N
N
H&E EQUIPMENT SERVICES
N/A
H&E Equipment Services Inc
404030AH1
3000000.00000000
PA
USD
3142500.00000000
0.302067738691
Long
DBT
CORP
US
N
2
2025-09-01
Fixed
5.63000000
N
N
N
N
N
N
MVW Owner Trust
N/A
MVW 2019-2 LLC
55400DAA9
2745944.56000000
PA
USD
2728753.57000000
0.262297031133
Long
ABS-O
CORP
US
N
2
2038-10-20
Fixed
2.22000000
N
N
N
N
N
N
ORBIA ADVANCE CORP SAB
549300MVHZ20SBIOEQ79
Orbia Advance Corp SAB de CV
59284BAF5
2200000.00000000
PA
USD
2244671.00000000
0.215765375680
Long
DBT
CORP
MX
N
2
2027-10-04
Fixed
4.00000000
N
N
N
N
N
N
JP Morgan Mortgage Acquisition Corp
N/A
JP Morgan Mortgage Acquisition Trust 2007-HE1
46630KAA4
24636.11000000
PA
USD
17036.25000000
0.001637582024
Long
ABS-O
CORP
US
N
2
2047-03-25
Floating
1.89000000
N
N
N
N
N
N
GOLDMAN SACHS GROUP INC
784F5XWPLTWKTBV3E584
Goldman Sachs Group Inc/The
38148YAC2
2300000.00000000
PA
USD
2332635.74000000
0.224220844287
Long
DBT
CORP
US
N
2
2022-10-31
Variable
2.88000000
N
N
N
N
N
N
ROYAL CARIBBEAN CRUISES
K2NEH8QNVW44JIWK7Z55
Royal Caribbean Cruises Ltd
780153AX0
2630000.00000000
PA
USD
2643470.73000000
0.254099355833
Long
DBT
CORP
LR
N
2
2020-11-28
Fixed
2.65000000
N
N
N
N
N
N
JPMBB Commercial Mortgage Securities Trust
N/A
JPMBB Commercial Mortgage Securities Trust 2015-C28
46644FAD3
3250000.00000000
PA
USD
3373327.43000000
0.324255652711
Long
ABS-MBS
CORP
US
N
2
2048-10-15
Fixed
3.23000000
N
N
N
N
N
N
MDC Holdings Inc
5299005FV4VNV75R8R35
MDC Holdings Inc
552676AP3
1072000.00000000
PA
USD
1073340.00000000
0.103173074509
Long
DBT
CORP
US
N
2
2020-02-01
Fixed
5.63000000
N
N
N
N
N
N
FISERV INC
GI7UBEJLXYLGR2C7GV83
Fiserv Inc
337738AT5
720000.00000000
PA
USD
745664.81000000
0.071675825927
Long
DBT
CORP
US
N
2
2026-07-01
Fixed
3.20000000
N
N
N
N
N
N
Bank
N/A
BANK 2019-BNK21
06540BBD0
5810000.00000000
PA
USD
5904303.85000000
0.567541674627
Long
ABS-MBS
CORP
US
N
2
2052-10-17
Fixed
2.85000000
N
N
N
N
N
N
World Omni Auto Receivables Trust
N/A
World Omni Auto Receivables Trust 2019-A
98162YAD5
2430000.00000000
PA
USD
2473192.04000000
0.237731591685
Long
ABS-O
CORP
US
N
2
2024-05-15
Fixed
3.04000000
N
N
N
N
N
N
DELL INT LLC / EMC CORP
N/A
Dell International LLC / EMC Corp
24703DAZ4
3695000.00000000
PA
USD
4068931.78000000
0.391119497748
Long
DBT
CORP
US
N
2
2026-10-01
Fixed
4.90000000
N
N
N
N
N
N
L3HARRIS TECH INC
549300UTE50ZMDBG8A20
L3Harris Technologies Inc
413875AW5
3270000.00000000
PA
USD
3645749.94000000
0.350441826638
Long
DBT
CORP
US
N
2
2028-06-15
Fixed
4.40000000
N
N
N
N
N
N
Iron Mountain Inc
SQL3F6CKNNBM3SQGHX24
Iron Mountain Inc
46284PAQ7
340000.00000000
PA
USD
347225.00000000
0.033376442503
Long
DBT
US
N
2
2023-08-15
Fixed
6.00000000
N
N
N
N
N
N
RELIANCE STAND LIFE II
N/A
Reliance Standard Life Global Funding II
75951AAL2
3100000.00000000
PA
USD
3097604.54000000
0.297752235086
Long
DBT
CORP
US
N
2
2024-10-30
Fixed
2.50000000
N
N
N
N
N
N
JPMorgan Chase & Co
8I5DZWZKVSZI1NUHU748
JPMorgan Chase & Co
46647PAF3
6265000.00000000
PA
USD
6656714.55000000
0.639865938339
Long
DBT
CORP
US
N
2
2028-05-01
Variable
3.54000000
N
N
N
N
N
N
Valero Energy Corp
549300XTO5VR8SKV1V74
Valero Energy Corp
91913YAW0
2250000.00000000
PA
USD
2427448.52000000
0.233334569682
Long
DBT
CORP
US
N
2
2029-04-01
Fixed
4.00000000
N
N
N
N
N
N
FISERV INC
GI7UBEJLXYLGR2C7GV83
Fiserv Inc
337738AS7
1135000.00000000
PA
USD
1155049.66000000
0.111027283650
Long
DBT
CORP
US
N
2
2024-07-01
Fixed
2.75000000
N
N
N
N
N
N
Morgan Stanley Capital Inc
N/A
Morgan Stanley ABS Capital I Inc Trust 2007-HE4
61753VAB8
18977.01000000
PA
USD
8546.86000000
0.000821553117
Long
ABS-MBS
CORP
US
N
2
2037-02-25
Floating
1.90000000
N
N
N
N
N
N
IQVIA Inc.
549300PLWY28YB00C717
IQVIA Inc. 2018 USD Term Loan B3
44969CBJ8
3792250.00000000
PA
USD
3805522.88000000
0.365799742529
Long
LON
CORP
US
N
2
2025-06-11
Variable
3.69000000
N
N
N
N
N
N
Booking Holdings Inc
FXM8FAOHMYDIPD38UZ17
Booking Holdings Inc
741503AZ9
2875000.00000000
PA
USD
3069244.66000000
0.295026187410
Long
DBT
CORP
US
N
2
2026-06-01
Fixed
3.60000000
N
N
N
N
N
N
SERVICE CORP INTL
549300RKVM2ME20JHZ15
Service Corp International/US
817565CB8
530000.00000000
PA
USD
545900.00000000
0.052473756102
Long
DBT
CORP
US
N
2
2024-05-15
Fixed
5.38000000
N
N
N
N
N
N
Freddie Mac
N/A
Freddie Mac Gold Pool
3132VMQB4
2369901.90000000
PA
USD
2472821.00000000
0.237695926064
Long
ABS-MBS
USGSE
US
N
2
2049-02-01
Fixed
4.00000000
N
N
N
N
N
N
GS Mortgage Securities Trust
N/A
GS Mortgage Securities Trust 2017-GS7
36254CAV2
2990000.00000000
PA
USD
3164234.78000000
0.304156959326
Long
ABS-MBS
CORP
US
N
2
2050-08-10
Fixed
3.43000000
N
N
N
N
N
N
MGM RESORTS INTL
54930066VBP7DZEGGJ87
MGM Resorts International
552953CC3
2300000.00000000
PA
USD
2524250.00000000
0.242639455653
Long
DBT
CORP
US
N
2
2023-03-15
Fixed
6.00000000
N
N
N
N
N
N
IHS Markit Ltd
549300HLPTRASHS0E726
IHS Markit Ltd
44962LAB3
3105000.00000000
PA
USD
3391964.10000000
0.326047072524
Long
DBT
CORP
BM
N
2
2025-02-15
Fixed
4.75000000
N
N
N
N
N
N
SYSCO CORPORATION
5RGWIFLMGH3YS7KWI652
Sysco Corp
871829BC0
1735000.00000000
PA
USD
1829661.53000000
0.175873260441
Long
DBT
CORP
US
N
2
2026-07-15
Fixed
3.30000000
N
N
N
N
N
N
ROYAL BK SCOTLND GRP PLC
2138005O9XJIJN4JPN90
Royal Bank of Scotland Group PLC
780097AZ4
205000.00000000
PA
USD
228000.98000000
0.021916226077
Long
DBT
CORP
GB
N
2
2023-12-19
Fixed
6.00000000
N
N
N
N
N
N
PROTECTIVE LIFE GLOBAL
635400EVYITCJYWL2I50
Protective Life Global Funding
74368CAJ3
3420000.00000000
PA
USD
3425051.68000000
0.329227562730
Long
DBT
CORP
US
N
2
2020-09-25
Fixed
2.16000000
N
N
N
N
N
N
Eli Lilly & Co
FRDRIPF3EKNDJ2CQJL29
Eli Lilly & Co
532457BQ0
1700000.00000000
PA
USD
1721923.83000000
0.165517147979
Long
DBT
CORP
US
N
2
2022-05-15
Fixed
2.35000000
N
N
N
N
N
N
Match Group Inc
549300BIJKT86CPCKK96
Match Group Inc
57665RAG1
1775000.00000000
PA
USD
1850437.50000000
0.177870317013
Long
DBT
CORP
US
N
2
2027-12-15
Fixed
5.00000000
N
N
N
N
N
N
Citigroup Inc
6SHGI4ZSSLCXXQSBB395
Citigroup Inc
172967MB4
10035000.00000000
PA
USD
10295271.27000000
0.989616328319
Long
DBT
CORP
US
N
2
2026-07-01
Floating
3.16000000
N
N
N
N
N
N
CNH INDUSTRIAL CAP LLC
549300PNSJ5B81UMVO28
CNH Industrial Capital LLC
12592BAH7
3550000.00000000
PA
USD
3705987.00000000
0.356232016773
Long
DBT
CORP
US
N
2
2022-04-05
Fixed
4.38000000
N
N
N
N
N
N
Freddie Mac
N/A
Freddie Mac REMICS
3137FPLK9
5470000.00000000
PA
USD
5612103.49000000
0.539454386802
Long
ABS-MBS
USGSE
US
N
2
2049-10-25
Fixed
3.00000000
N
N
N
N
N
N
DUKE ENERGY CORP
I1BZKREC126H0VB1BL91
Duke Energy Corp
26441CBG9
2625000.00000000
PA
USD
2752443.75000000
0.264574211436
Long
DBT
CORP
US
N
2
2024-09-16
Variable
4.88000000
N
N
N
N
N
N
UNITED PARCEL SERVICE
D01LMJZU09ULLNCY6Z23
United Parcel Service Inc
911312BK1
4965000.00000000
PA
USD
5056369.70000000
0.486035373513
Long
DBT
CORP
US
N
2
2023-04-01
Fixed
2.50000000
N
N
N
N
N
N
MainStay US Government Liquidity Fund
549300Y3ZLEL13IJCK58
MainStay US Government Liquidity Fund
56064L488
57671470.26000000
NS
USD
57671470.26000000
5.543576963708
Long
STIV
RF
US
N
1
N
N
N
CONTL AIRLINES 2007-1
N/A
Continental Airlines 2007-1 Class A Pass Through Trust
21079NAA9
540419.89000000
PA
USD
568505.30000000
0.054646654066
Long
DBT
CORP
US
N
2
2022-04-19
Fixed
5.98000000
N
N
N
N
N
N
Ford Motor Credit Co LLC
UDSQCVRUX5BONN0VY111
Ford Motor Credit Co LLC
345397YE7
5675000.00000000
PA
USD
5675438.62000000
0.545542373914
Long
DBT
CORP
US
N
2
2020-01-09
Fixed
2.68000000
N
N
N
N
N
N
SEQUOIA MORTGAGE TRUST
N/A
Sequoia Mortgage Trust 2018-7
81747WEJ2
1456863.58000000
PA
USD
1501697.83000000
0.144348279301
Long
ABS-MBS
CORP
US
N
2
2048-09-25
Variable
4.23000000
N
N
N
N
N
N
Ford Motor Credit Co LLC
UDSQCVRUX5BONN0VY111
Ford Motor Credit Co LLC
345397ZC0
1230000.00000000
PA
USD
1209424.20000000
0.116253948516
Long
DBT
CORP
US
N
2
2023-02-15
Floating
3.14000000
N
N
N
N
N
N
US AIRWAYS 2012-1A PTT
N/A
US Airways 2012-1 Class A Pass Through Trust
90345WAA2
1099254.58000000
PA
USD
1220860.39000000
0.117353233815
Long
DBT
CORP
US
N
2
2024-10-01
Fixed
5.90000000
N
N
N
N
N
N
ENTERPRISE PRODUCTS OPER
5493004LGN656HWLDA30
Enterprise Products Operating LLC
29379VBW2
545000.00000000
PA
USD
585019.41000000
0.056234046227
Long
DBT
CORP
US
N
2
2050-01-31
Fixed
4.20000000
N
N
N
N
N
N
United Mexican States
254900EGTWEU67VP6075
Mexico Government International Bond
91087BAC4
5231000.00000000
PA
USD
5605016.50000000
0.538773161331
Long
DBT
NUSS
MX
N
2
2027-03-28
Fixed
4.15000000
N
N
N
N
N
N
MASTR Asset Backed Securities Trust
N/A
Mastr Asset Backed Securities Trust 2006-HE4
576449AA0
18708.49000000
PA
USD
8539.73000000
0.000820867758
Long
ABS-MBS
CORP
US
N
2
2036-11-25
Floating
1.84000000
N
N
N
N
N
N
Host Hotels & Resorts LP
FXB7X4WXVA8QPMNOGS12
Host Hotels & Resorts LP
44107TAU0
329000.00000000
PA
USD
344223.73000000
0.033087950270
Long
DBT
US
N
2
2023-10-15
Fixed
3.75000000
N
N
N
N
N
N
Grupo Televisa SAB
549300O4AF0C816ILN62
Grupo Televisa SAB
40049JBE6
1735000.00000000
PA
USD
1877418.79000000
0.180463849951
Long
DBT
CORP
MX
N
2
2049-05-24
Fixed
5.25000000
N
N
N
N
N
N
BWay Holding Company
549300DNGHXL0OMHW304
BWAY Holding Company 2017 Term Loan B
05604XAP1
5110000.00000000
PA
USD
5086044.32000000
0.488887798449
Long
LON
CORP
US
N
2
2024-04-03
Variable
0.00000000
N
N
N
N
N
N
United States Treasury
254900HROIFWPRGM1V77
United States Treasury Inflation Indexed Bonds
9128285W6
28774570.85000000
PA
USD
30555632.76000000
2.937110864630
Long
DBT
UST
US
N
2
2029-01-15
Fixed
0.88000000
N
N
N
N
N
N
Puget Energy Inc
SYBSJ96YIDMIUY7WDR33
Puget Energy Inc
745310AF9
585000.00000000
PA
USD
627606.75000000
0.060327685524
Long
DBT
CORP
US
N
2
2022-07-15
Fixed
5.63000000
N
N
N
N
N
N
CROWN CASTLE INTL CORP
54930012H97VSM0I2R19
Crown Castle International Corp
22822VAA9
1255000.00000000
PA
USD
1272077.36000000
0.122276382363
Long
DBT
US
N
2
2021-02-15
Fixed
3.40000000
N
N
N
N
N
N
Bank of America Corp
9DJT3UXIJIZJI4WXO774
Bank of America Corp
06051GHH5
6150000.00000000
PA
USD
6273558.73000000
0.603035703777
Long
DBT
CORP
US
N
2
2022-05-17
Variable
3.50000000
N
N
N
N
N
N
Appalachian Power Co
3SCHO1ABYYIG382BEI70
Appalachian Power Co
037735CW5
1400000.00000000
PA
USD
1453864.05000000
0.139750334430
Long
DBT
CORP
US
N
2
2027-06-01
Fixed
3.30000000
N
N
N
N
N
N
CROWN CASTLE TOWERS LLC
N/A
Crown Castle Towers LLC
22822RBH2
3755000.00000000
PA
USD
4156631.05000000
0.399549448480
Long
DBT
CORP
US
N
2
2028-07-15
Fixed
4.24000000
N
N
N
N
N
N
Petroleos Mexicanos
549300CAZKPF4HKMPX17
Petroleos Mexicanos
71654QCC4
4990000.00000000
PA
USD
4999381.20000000
0.480557445963
Long
DBT
CORP
MX
N
2
2047-09-21
Fixed
6.75000000
N
N
N
N
N
N
ANGLO AMERICAN CAPITAL
TINT358G1SSHR3L3PW36
Anglo American Capital PLC
034863AM2
3300000.00000000
PA
USD
3365873.41000000
0.323539147074
Long
DBT
CORP
GB
N
2
2021-04-15
Fixed
4.13000000
N
N
N
N
N
N
Truist Bank
JJKC32MCHWDI71265Z06
Truist Bank
07330MAC1
2700000.00000000
PA
USD
2700186.06000000
0.259551025358
Long
DBT
CORP
US
N
2
2029-09-17
Variable
2.64000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38381T2E4
2546206.80000000
PA
USD
2611499.44000000
0.251026167202
Long
ABS-MBS
USGA
US
N
2
2049-04-20
Fixed
3.00000000
N
N
N
N
N
N
ANHEUSER-BUSCH INBEV WOR
549300CRGMZK3K53BF92
Anheuser-Busch InBev Worldwide Inc
03523TBX5
915000.00000000
PA
USD
997230.05000000
0.095857128451
Long
DBT
CORP
US
N
2
2025-01-23
Fixed
4.15000000
N
N
N
N
N
N
Eldorado Resorts Inc
5299000BKFWWVND5L441
Eldorado Resorts Inc
28470RAF9
3417000.00000000
PA
USD
3587850.00000000
0.344876288389
Long
DBT
CORP
US
N
2
2025-04-01
Fixed
6.00000000
N
N
N
N
N
N
Lamar Media Corp
N/A
Lamar Media Corp
513075BE0
900000.00000000
PA
USD
915750.00000000
0.088024990201
Long
DBT
CORP
US
N
2
2023-05-01
Fixed
5.00000000
N
N
N
N
N
N
ANHEUSER-BUSCH INBEV WOR
549300CRGMZK3K53BF92
Anheuser-Busch InBev Worldwide Inc
035240AQ3
1833000.00000000
PA
USD
2124757.80000000
0.204238912939
Long
DBT
CORP
US
N
2
2029-01-23
Fixed
4.75000000
N
N
N
N
N
N
Santander Revolving Auto Loan Trust
N/A
Santander Revolving Auto Loan Trust 2019-A
80286JAA3
1875000.00000000
PA
USD
1866770.25000000
0.179440276236
Long
ABS-O
CORP
US
N
2
2032-01-26
Fixed
2.51000000
N
N
N
N
N
N
GOLDMAN SACHS GROUP INC
784F5XWPLTWKTBV3E584
Goldman Sachs Group Inc/The
38141GXD1
3075000.00000000
PA
USD
3106969.27000000
0.298652404637
Long
DBT
CORP
US
N
2
2026-05-15
Floating
3.08000000
N
N
N
N
N
N
ASHTEAD CAPITAL INC
213800J1134IW58IC398
Ashtead Capital Inc
045054AL7
2250000.00000000
PA
USD
2297812.50000000
0.220873516567
Long
DBT
CORP
US
N
2
2029-11-01
Fixed
4.25000000
N
N
N
N
N
N
MARRIOTT INTERNATIONAL
225YDZ14ZO8E1TXUSU86
Marriott International Inc/MD
571903AP8
4205000.00000000
PA
USD
4498649.07000000
0.432425378438
Long
DBT
CORP
US
N
2
2025-10-01
Fixed
3.75000000
N
N
N
N
N
N
VERIZON COMMUNICATIONS
2S72QS2UO2OESLG6Y829
Verizon Communications Inc
92343VBR4
1722000.00000000
PA
USD
1914710.78000000
0.184048482279
Long
DBT
CORP
US
N
2
2023-09-15
Fixed
5.15000000
N
N
N
N
N
N
PANASONIC CORP
254900GE1G59KGWPHX32
Panasonic Corp
69832AAA4
3500000.00000000
PA
USD
3530417.63000000
0.339355694552
Long
DBT
CORP
JP
N
2
2022-07-19
Fixed
2.54000000
N
N
N
N
N
N
HERC HOLDINGS INC
549300TP80QLITMSBP82
Herc Holdings Inc
42704LAA2
2435000.00000000
PA
USD
2562837.50000000
0.246348616788
Long
DBT
CORP
US
N
2
2027-07-15
Fixed
5.50000000
N
N
N
N
N
N
SKY LTD
2138003TS48MQKF4BZ29
Sky Ltd
111013AL2
1105000.00000000
PA
USD
1183713.42000000
0.113782541300
Long
DBT
CORP
GB
N
2
2024-09-16
Fixed
3.75000000
N
N
N
N
N
N
Liberty Mutual Group Inc
QUR0DG15Z6FFGYCHH861
Liberty Mutual Group Inc
53079EBE3
2695000.00000000
PA
USD
2863971.57000000
0.275294643063
Long
DBT
CORP
US
N
2
2023-06-15
Fixed
4.25000000
N
N
N
N
N
N
GFL Environmental Inc.
5493008HF9XC5H29ZX61
GFL Environmental Inc. 2018 USD Term Loan B
000000000
3891827.50000000
PA
USD
3892524.14000000
0.374162598177
Long
LON
CORP
CA
N
2
2025-05-30
Variable
4.80000000
N
N
N
N
N
N
Sierra Receivables Funding Co LLC
N/A
Sierra Timeshare 2019-3 Receivables Funding LLC
82652NAA6
1662633.67000000
PA
USD
1656539.45000000
0.159232180020
Long
ABS-O
CORP
US
N
2
2036-08-20
Fixed
2.34000000
N
N
N
N
N
N
DaVita Inc
M2XHYMU3TZNEZURC6H66
DaVita Inc
23918KAR9
-3015000.00000000
PA
USD
-3101681.25000000
-0.29814410225
Short
DBT
CORP
US
N
2
2025-05-01
Fixed
5.00000000
N
N
N
N
N
N
GS Mortgage Securities Trust
N/A
GS Mortgage Securities Corp Trust 2019-BOCA
36256QAA5
4660000.00000000
PA
USD
4658491.09000000
0.447789934533
Long
ABS-MBS
CORP
US
N
2
2038-06-15
Floating
2.94000000
N
N
N
N
N
N
GS Mortgage Securities Trust
N/A
GS Mortgage Securities Trust 2019-GC42
36257UAL1
1490000.00000000
PA
USD
1531177.19000000
0.147181935185
Long
ABS-MBS
CORP
US
N
2
2052-09-01
Fixed
3.00000000
N
N
N
N
N
N
CITIZENS BANK NA/RI
DRMSV1Q0EKMEXLAU1P80
Citizens Bank NA/Providence RI
17401QAE1
1145000.00000000
PA
USD
1153804.96000000
0.110907638872
Long
DBT
CORP
US
N
2
2021-05-13
Fixed
2.55000000
N
N
N
N
N
N
Bausch Health Cos Inc
B3BS7ACMDUWISF18KY76
Bausch Health Cos Inc
91911KAN2
4590000.00000000
PA
USD
4796550.00000000
0.461060624350
Long
DBT
CORP
CA
N
2
2025-11-01
Fixed
5.50000000
N
N
N
N
N
N
ESH Hospitality Inc
54930042FMK7X7SQ2896
ESH Hospitality Inc
26907YAA2
5145000.00000000
PA
USD
5318643.75000000
0.511246043108
Long
DBT
US
N
2
2025-05-01
Fixed
5.25000000
N
N
N
N
N
N
MSCI INC
549300HTIN2PD78UB763
MSCI Inc
55354GAB6
4005000.00000000
PA
USD
4200243.75000000
0.403741648851
Long
DBT
CORP
US
N
2
2025-08-15
Fixed
5.75000000
N
N
N
N
N
N
Darden Restaurants Inc
CY1NFSCCB5GUXC7WZC70
Darden Restaurants Inc
237194AL9
2025000.00000000
PA
USD
2117064.74000000
0.203499429968
Long
DBT
CORP
US
N
2
2027-05-01
Fixed
3.85000000
N
N
N
N
N
N
FREMF Mortgage Trust
N/A
FREMF 2012-K17 Mortgage Trust
30263SAE7
2510000.00000000
PA
USD
2596772.71000000
0.249610584059
Long
ABS-MBS
USGSE
US
N
2
2044-12-25
Variable
4.32000000
N
N
N
N
N
N
TOLL BROS FINANCE CORP
N/A
Toll Brothers Finance Corp
88947EAK6
2475000.00000000
PA
USD
2617312.50000000
0.251584938209
Long
DBT
CORP
US
N
2
2022-02-15
Fixed
5.88000000
N
N
N
N
N
N
GOLDMAN SACHS GROUP INC
784F5XWPLTWKTBV3E584
Goldman Sachs Group Inc/The
38141GFD1
1828000.00000000
PA
USD
2539327.39000000
0.244088745423
Long
DBT
CORP
US
N
2
2037-10-01
Fixed
6.75000000
N
N
N
N
N
N
Ford Motor Credit Co LLC
UDSQCVRUX5BONN0VY111
Ford Motor Credit Co LLC
345397WF6
900000.00000000
PA
USD
931043.30000000
0.089495033971
Long
DBT
CORP
US
N
2
2022-09-20
Fixed
4.25000000
N
N
N
N
N
N
Change Healthcare Holdings LLC
N/A
Change Healthcare Holdings LLC 2017 Term Loan B
15911AAC7
4612270.04000000
PA
USD
4624760.07000000
0.444547594697
Long
LON
CORP
US
N
2
2024-03-01
Variable
4.30000000
N
N
N
N
N
N
STANDARD INDUSTRIES INC
54930064UHXCIUWVI755
Standard Industries Inc/NJ
853496AD9
970000.00000000
PA
USD
994250.00000000
0.095570675956
Long
DBT
CORP
US
N
2
2028-01-15
Fixed
4.75000000
N
N
N
N
N
N
DUQUESNE LIGHT HOLDINGS
4CUJ1D8WDXK9X7QI6B93
Duquesne Light Holdings Inc
266233AC9
3435000.00000000
PA
USD
3534534.17000000
0.339751390313
Long
DBT
CORP
US
N
2
2020-09-15
Fixed
6.40000000
N
N
N
N
N
N
PERFORMANCE FOOD GROUP I
549300OMUOGBYK0FFO76
Performance Food Group Inc
69346VAA7
975000.00000000
PA
USD
1042031.25000000
0.100163571466
Long
DBT
CORP
US
N
2
2027-10-15
Fixed
5.50000000
N
N
N
N
N
N
Boston Properties LP
BVHHEFJI6SHNOKQT2572
Boston Properties LP
10112RAZ7
4800000.00000000
PA
USD
4982835.65000000
0.478967031684
Long
DBT
US
N
2
2025-01-15
Fixed
3.20000000
N
N
N
N
N
N
MGM Growth Properties Operating Partnership LP
549300U6G4UOCMLQK204
MGM Growth Properties Operating Partnership LP 2016 Term Loan B
55303KAC7
705202.70000000
PA
USD
707595.45000000
0.068016470163
Long
LON
CORP
US
N
2
2025-03-21
Variable
3.80000000
N
N
N
N
N
N
FREMF Mortgage Trust
N/A
FREMF 2013-K30 Mortgage Trust
30291KAN0
4220000.00000000
PA
USD
4380916.62000000
0.421108536769
Long
ABS-MBS
CORP
US
N
2
2045-06-25
Variable
3.56000000
N
N
N
N
N
N
SIEMENS FINANCIERINGSMAT
TAFO772JB70PDRN5VS48
Siemens Financieringsmaatschappij NV
82620KAR4
2485000.00000000
PA
USD
2528985.49000000
0.243094646984
Long
DBT
CORP
NL
N
2
2022-03-16
Fixed
2.70000000
N
N
N
N
N
N
Fannie Mae
N/A
Fannie Mae REMICS
3136B4B64
2625088.02000000
PA
USD
2695895.04000000
0.259138557989
Long
ABS-MBS
USGSE
US
N
2
2048-05-25
Fixed
3.00000000
N
N
N
N
N
N
Bristol-Myers Squibb Co
HLYYNH7UQUORYSJQCN42
Bristol-Myers Squibb Co
110122CB2
3280000.00000000
PA
USD
3510333.31000000
0.337425121720
Long
DBT
CORP
US
N
2
2029-07-26
Fixed
3.40000000
N
N
N
N
N
N
Chicago Board of Trade
549300EX04Q2QBFQTQ27
US 5YR NOTE (CBT) MAR20 XCBT 20200331
000000000
-536.00000000
NC
USD
184196.82000000
0.017705621922
N/A
DIR
US
N
1
Chicago Board of Trade
549300EX04Q2QBFQTQ27
Short
5 Year US Treasury Note
FVH0 Comdty
2020-03-31
-63758821.82
USD
184196.82
N
N
N
One Bryant Park Trust
N/A
One Bryant Park Trust 2019-OBP
68236JAA9
5155000.00000000
PA
USD
5018645.10000000
0.482409157248
Long
ABS-MBS
CORP
US
N
2
2054-09-15
Fixed
2.52000000
N
N
N
N
N
N
JP Morgan Mortgage Trust
N/A
JP Morgan Mortgage Trust 2019-1
46650HAC2
1310011.57000000
PA
USD
1326898.93000000
0.127546017265
Long
ABS-MBS
CORP
US
N
2
2049-05-25
Variable
4.00000000
N
N
N
N
N
N
BALTIMORE GAS & ELECTRIC
88V8C2WYSOD1SPSSLH72
Baltimore Gas & Electric Co
059165EG1
3260000.00000000
PA
USD
3236800.99000000
0.311132269099
Long
DBT
CORP
US
N
2
2026-08-15
Fixed
2.40000000
N
N
N
N
N
N
CAPITAL ONE FINANCIAL CO
ZUE8T73ROZOF6FLBAR73
Capital One Financial Corp
14040HBH7
2365000.00000000
PA
USD
2400167.55000000
0.230712230488
Long
DBT
CORP
US
N
2
2020-06-01
Variable
5.55000000
N
N
N
N
N
N
Alliant Holdings Intermediate, LLC
5493006Q26653NF8SI73
Alliant Holdings Intermediate, LLC 2018 Term Loan B
01881UAE5
4040000.00000000
PA
USD
4037475.00000000
0.388095765560
Long
LON
CORP
US
N
2
2025-05-09
Variable
4.80000000
N
N
N
N
N
N
GOLDMAN SACHS GROUP INC
784F5XWPLTWKTBV3E584
Goldman Sachs Group Inc/The
38141GRD8
2813000.00000000
PA
USD
2929820.51000000
0.281624266102
Long
DBT
CORP
US
N
2
2023-01-22
Fixed
3.63000000
N
N
N
N
N
N
UPCB Finance IV Ltd
549300EGTRJCEFDLJ069
UPCB Finance IV Ltd
90320MAA3
5335000.00000000
PA
USD
5484380.00000000
0.527177172545
Long
DBT
CORP
KY
N
2
2025-01-15
Fixed
5.38000000
N
N
N
N
N
N
CNH INDUSTRIAL CAP LLC
549300PNSJ5B81UMVO28
CNH Industrial Capital LLC
12592BAF1
4355000.00000000
PA
USD
4496537.50000000
0.432222407181
Long
DBT
CORP
US
N
2
2021-04-01
Fixed
4.88000000
N
N
N
N
N
N
Becton Dickinson and Co
ICE2EP6D98PQUILVRZ91
Becton Dickinson and Co
075887BV0
2245000.00000000
PA
USD
2338260.60000000
0.224761524873
Long
DBT
CORP
US
N
2
2024-06-06
Fixed
3.36000000
N
N
N
N
N
N
TIME WARNER ENT
N/A
Time Warner Entertainment Co LP
88731EAF7
740000.00000000
PA
USD
873474.09000000
0.083961286610
Long
DBT
CORP
US
N
2
2023-03-15
Fixed
8.38000000
N
N
N
N
N
N
PTC Inc
54930050SSMU8SKDJ030
PTC Inc
69370CAA8
2569000.00000000
PA
USD
2681393.75000000
0.257744644901
Long
DBT
CORP
US
N
2
2024-05-15
Fixed
6.00000000
N
N
N
N
N
N
GS Mortgage Securities Trust
N/A
GS Mortgage Securities Trust 2019-GC40
36257HBP0
2699000.00000000
PA
USD
2809233.91000000
0.270033073874
Long
ABS-MBS
CORP
US
N
2
2052-07-10
Fixed
3.16000000
N
N
N
N
N
N
ROYAL BK SCOTLND GRP PLC
2138005O9XJIJN4JPN90
Royal Bank of Scotland Group PLC
780099CE5
970000.00000000
PA
USD
1061773.38000000
0.102061251837
Long
DBT
CORP
GB
N
2
2022-12-15
Fixed
6.13000000
N
N
N
N
N
N
Match Group Inc.
549300BIJKT86CPCKK96
Match Group Inc. 2017 Term Loan B
57665VAD9
1859375.00000000
PA
USD
1857050.78000000
0.178506007875
Long
LON
CORP
US
N
2
2022-11-16
Variable
4.44000000
N
N
N
N
N
N
CODELCO INC
549300UVMBCBCIPSUI70
Corp Nacional del Cobre de Chile
21987BAZ1
2055000.00000000
PA
USD
2026373.85000000
0.194781914594
Long
DBT
CORP
CL
N
2
2029-09-30
Fixed
3.00000000
N
N
N
N
N
N
VeriSign Inc
LMPL4N8ZOJRMF0KOF759
VeriSign Inc
92343EAF9
3670000.00000000
PA
USD
3728720.00000000
0.358417189694
Long
DBT
CORP
US
N
2
2023-05-01
Fixed
4.63000000
N
N
N
N
N
N
PETROBRAS GLOBAL FINANCE
549300FNENFFSMO3GT38
Petrobras Global Finance BV
71647NAS8
1464000.00000000
PA
USD
1786080.00000000
0.171684056236
Long
DBT
CORP
NL
N
2
2027-01-17
Fixed
7.38000000
N
N
N
N
N
N
UMBS, TBA
N/A
Uniform Mortgage-Backed Security, TBA
01F032617
5296000.00000000
PA
USD
5448053.09000000
0.523685306974
Long
ABS-MBS
USGSE
US
N
2
2050-01-15
Fixed
3.50000000
N
N
N
N
N
N
VERIZON COMMUNICATIONS
2S72QS2UO2OESLG6Y829
Verizon Communications Inc
92343VEP5
2455000.00000000
PA
USD
2511263.25000000
0.241391125278
Long
DBT
CORP
US
N
2
2025-05-15
Floating
3.01000000
N
N
N
N
N
N
WELLS FARGO & COMPANY
PBLD0EJDB5FWOLXP3B76
Wells Fargo & Co
949746SH5
1640000.00000000
PA
USD
1680841.56000000
0.161568181106
Long
DBT
CORP
US
N
2
2026-10-23
Fixed
3.00000000
N
N
N
N
N
N
Keycorp Student Loan Trust
549300O83C3TV9I4SN56
KeyCorp Student Loan Trust 2000-A
493268AW6
38210.15000000
PA
USD
38084.11000000
0.003660773584
Long
ABS-O
CORP
US
N
2
2029-05-25
Floating
2.23000000
N
N
N
N
N
N
Equinix Inc
549300EVUN2BTLJ3GT74
Equinix Inc
29444UAQ9
2275000.00000000
PA
USD
2414366.50000000
0.232077081631
Long
DBT
US
N
2
2026-01-15
Fixed
5.88000000
N
N
N
N
N
N
WELLS FARGO & COMPANY
PBLD0EJDB5FWOLXP3B76
Wells Fargo & Co
949746RG8
3270000.00000000
PA
USD
3560441.40000000
0.342241680967
Long
DBT
CORP
US
N
2
2024-06-15
Variable
5.90000000
N
N
N
N
N
N
Chicago Board of Trade
549300EX04Q2QBFQTQ27
US 10YR NOTE (CBT)MAR20 XCBT 20200320
000000000
-729.00000000
NC
USD
766914.45000000
0.073718413263
N/A
DIR
US
N
1
Chicago Board of Trade
549300EX04Q2QBFQTQ27
Short
10 Year US Treasury Note
TYH0 Comdty
2020-03-20
-94386461.33
USD
766914.45
N
N
N
UNIVERSITY OF PENNSYLVAN
549300FG60YK9HZ7DS75
Trustees of the University of Pennsylvania/The
91481CAC4
2515000.00000000
PA
USD
2578299.63000000
0.247834889070
Long
DBT
CORP
US
N
2
2119-02-15
Fixed
3.61000000
N
N
N
N
N
N
FED REPUBLIC OF BRAZIL
254900ZFY40OYEADAP90
Brazilian Government International Bond
105756BZ2
5360000.00000000
PA
USD
5756640.00000000
0.553347725460
Long
DBT
NUSS
BR
N
2
2028-01-13
Fixed
4.63000000
N
N
N
N
N
N
FIRSTENERGY TRANSMISSION
549300AINIIPOLYX2R63
FirstEnergy Transmission LLC
33767BAB5
1675000.00000000
PA
USD
1800029.91000000
0.173024968811
Long
DBT
CORP
US
N
2
2025-01-15
Fixed
4.35000000
N
N
N
N
N
N
Wells Fargo Commercial Mortgage Trust
N/A
Wells Fargo Commercial Mortgage Trust 2018-1745
94990DAA4
2900000.00000000
PA
USD
3099445.76000000
0.297929219385
Long
ABS-MBS
CORP
US
N
2
2036-06-15
Variable
3.75000000
N
N
N
N
N
N
BANK OF NY MELLON CORP
WFLLPEPC7FZXENRZV188
Bank of New York Mellon Corp/The
06406RAC1
3715000.00000000
PA
USD
3772231.99000000
0.362599709479
Long
DBT
CORP
US
N
2
2023-05-16
Variable
2.66000000
N
N
N
N
N
N
CROWN CASTLE TOWERS LLC
N/A
Crown Castle Towers LLC
22822RBF6
1550000.00000000
PA
USD
1602890.96000000
0.154075305538
Long
DBT
CORP
US
N
2
2023-07-15
Fixed
3.72000000
N
N
N
N
N
N
WEC Energy Group Inc
549300IGLYTZUK3PVP70
WEC Energy Group Inc
976657AH9
1860340.00000000
PA
USD
1732584.28000000
0.166541866524
Long
DBT
CORP
US
N
2
2067-05-15
Variable
4.02000000
N
N
N
N
N
N
AERCAP IRELAND CAP/GLOBA
N/A
AerCap Ireland Capital DAC / AerCap Global Aviation Trust
00774MAH8
2200000.00000000
PA
USD
2293088.91000000
0.220419469104
Long
DBT
CORP
IE
N
2
2021-12-16
Fixed
4.45000000
N
N
N
N
N
N
ABBVIE INC
FR5LCKFTG8054YNNRU85
AbbVie Inc
00287YBS7
3065000.00000000
PA
USD
3254473.55000000
0.312831015395
Long
DBT
CORP
US
N
2
2049-11-21
Fixed
4.25000000
N
N
N
N
N
N
HUGHES SATELLITE SYSTEMS
N/A
Hughes Satellite Systems Corp
444454AD4
540000.00000000
PA
USD
592650.00000000
0.056967524370
Long
DBT
CORP
US
N
2
2026-08-01
Fixed
5.25000000
N
N
N
N
N
N
CYRUSONE LP/CYRUSONE FIN
N/A
CyrusOne LP / CyrusOne Finance Corp
23283PAR5
2030000.00000000
PA
USD
2035562.20000000
0.195665129902
Long
DBT
US
N
2
2029-11-15
Fixed
3.45000000
N
N
N
N
N
N
Morgan Stanley
IGJSJL3JD5P30I6NJZ34
Morgan Stanley
61746BDQ6
6015000.00000000
PA
USD
6394414.17000000
0.614652737816
Long
DBT
CORP
US
N
2
2024-04-29
Fixed
3.88000000
N
N
N
N
N
N
DISCOVER FINANCIAL SVS
Z1YLO2USPORE63VVUL20
Discover Financial Services
254709AJ7
300000.00000000
PA
USD
313641.14000000
0.030148248184
Long
DBT
CORP
US
N
2
2022-11-21
Fixed
3.85000000
N
N
N
N
N
N
Lloyds Banking Group PLC
549300PPXHEU2JF0AM85
Lloyds Banking Group PLC
539439AM1
2500000.00000000
PA
USD
2707757.78000000
0.260278844718
Long
DBT
CORP
GB
N
2
2025-12-10
Fixed
4.58000000
N
N
N
N
N
N
DELL INT LLC / EMC CORP
N/A
Dell International LLC / EMC Corp
25272KAK9
625000.00000000
PA
USD
719499.98000000
0.069160773889
Long
DBT
CORP
US
N
2
2026-06-15
Fixed
6.02000000
N
N
N
N
N
N
Barclays Bank PLC
G5GSEF7VJP5I7OUK5573
Barclays Bank PLC
06739GBP3
4249000.00000000
PA
USD
4337894.31000000
0.416973086684
Long
DBT
CORP
GB
N
2
2020-10-14
Fixed
5.14000000
N
N
N
N
N
N
FREMF Mortgage Trust
N/A
FREMF 2013-K33 Mortgage Trust
30265AAN4
3090000.00000000
PA
USD
3203447.19000000
0.307926188926
Long
ABS-MBS
USGSE
US
N
2
2046-08-25
Variable
3.50000000
N
N
N
N
N
N
US Foods, Inc.
5493000JOOFAOUY1JZ87
US Foods, Inc. 2016 Term Loan B
90351HAB4
5090375.00000000
PA
USD
5102189.76000000
0.490439752801
Long
LON
CORP
US
N
2
2023-06-27
Variable
3.55000000
N
N
N
N
N
N
WestRock RKT LLC
PQQ60KVT5SJX0ETQT497
WestRock RKT LLC
772739AQ1
2230000.00000000
PA
USD
2328099.66000000
0.223784820921
Long
DBT
CORP
US
N
2
2023-03-01
Fixed
4.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140JHDQ3
3159345.28000000
PA
USD
3292976.80000000
0.316532078135
Long
ABS-MBS
USGSE
US
N
2
2049-02-01
Fixed
4.00000000
N
N
N
N
N
N
Abbott Laboratories
HQD377W2YR662HK5JX27
Abbott Laboratories
002824BE9
3540000.00000000
PA
USD
3721902.33000000
0.357761852173
Long
DBT
CORP
US
N
2
2023-11-30
Fixed
3.40000000
N
N
N
N
N
N
Air Lease Corp
5493004NW4M4P8TMMK63
Air Lease Corp
00912XAW4
2155000.00000000
PA
USD
2180058.84000000
0.209554636121
Long
DBT
CORP
US
N
2
2022-07-01
Fixed
2.63000000
N
N
N
N
N
N
Zoetis Inc
549300HD9Q1LOC9KLJ48
Zoetis Inc
98978VAQ6
1045000.00000000
PA
USD
1064476.87000000
0.102321120448
Long
DBT
CORP
US
N
2
2021-08-20
Fixed
3.25000000
N
N
N
N
N
N
WEIBO CORP
549300Q9ID4640FE0422
Weibo Corp
948596AD3
1625000.00000000
PA
USD
1652228.73000000
0.158817819020
Long
DBT
CORP
KY
N
2
2024-07-05
Fixed
3.50000000
N
N
N
N
N
N
Boyd Gaming Corporation
254900787YGRYS2A1Z35
Boyd Gaming Corporation Term Loan B3
10330JAU2
326941.67000000
PA
USD
328846.11000000
0.031609801376
Long
LON
CORP
US
N
2
2023-09-15
Variable
3.85000000
N
N
N
N
N
N
INTERNATIONAL GAME TECH
549300UQ6KHRCZDRGZ76
International Game Technology PLC
460599AB9
2595000.00000000
PA
USD
2737725.00000000
0.263159395356
Long
DBT
CORP
GB
N
2
2022-02-15
Fixed
6.25000000
N
N
N
N
N
N
REYNOLDS GRP ISS/REYNOLD
N/A
Reynolds Group Issuer Inc / Reynolds Group Issuer LLC / Reynolds Group Issuer Lu
761735AT6
4215000.00000000
PA
USD
4315106.25000000
0.414782621209
Long
DBT
CORP
US
N
2
2023-07-15
Fixed
5.13000000
N
N
N
N
N
N
BRASKEM NETHERLANDS
N/A
Braskem Netherlands Finance BV
10554TAB1
1015000.00000000
PA
USD
1010188.90000000
0.097102776984
Long
DBT
CORP
NL
N
2
2028-01-10
Fixed
4.50000000
N
N
N
N
N
N
NXP BV/NXP FUNDING LLC
N/A
NXP BV / NXP Funding LLC
62947QAV0
1065000.00000000
PA
USD
1138592.20000000
0.109445336880
Long
DBT
CORP
NL
N
2
2023-06-01
Fixed
4.63000000
N
N
N
N
N
N
Starbucks Corp
OQSJ1DU9TAOC51A47K68
Starbucks Corp
855244AU3
2065000.00000000
PA
USD
2395372.47000000
0.230251311165
Long
DBT
CORP
US
N
2
2049-08-15
Fixed
4.45000000
N
N
N
N
N
N
CONTL AIRLINES 2005-ERJ1
N/A
Continental Airlines 2005-ERJ1 Pass Through Trust
210805DT1
77259.49000000
PA
USD
79384.13000000
0.007630671324
Long
DBT
CORP
US
N
2
2021-04-01
Fixed
9.80000000
N
N
N
N
N
N
Bank of America Corp
9DJT3UXIJIZJI4WXO774
Bank of America Corp
06051GFX2
6165000.00000000
PA
USD
6556793.21000000
0.630261160863
Long
DBT
CORP
US
N
2
2026-04-19
Fixed
3.50000000
N
N
N
N
N
N
KAR Auction Services, Inc.
5493004HKD20LBSG7D03
KAR Auction Services, Inc. 2019 Term Loan B6
48562RAL3
411755.06000000
PA
USD
414500.23000000
0.039843165366
Long
LON
CORP
US
N
2
2026-09-19
Variable
4.06000000
N
N
N
N
N
N
Waste Management Inc
549300YX8JIID70NFS41
Waste Management Inc
94106LBD0
505000.00000000
PA
USD
510198.26000000
0.049041983988
Long
DBT
CORP
US
N
2
2023-05-15
Fixed
2.40000000
N
N
N
N
N
N
HP ENTERPRISE CO
549300BX44RGX6ANDV88
Hewlett Packard Enterprise Co
42824CAG4
2000000.00000000
PA
USD
2022718.08000000
0.194430509605
Long
DBT
CORP
US
N
2
2020-10-15
Fixed
3.60000000
N
N
N
N
N
N
DAIMLER FINANCE NA LLC
549300423Z16BB673J12
Daimler Finance North America LLC
233851DK7
2335000.00000000
PA
USD
2338055.37000000
0.224741797470
Long
DBT
CORP
US
N
2
2021-05-04
Floating
2.45000000
N
N
N
N
N
N
ArcelorMittal
2EULGUTUI56JI9SAL165
ArcelorMittal SA
03938LBA1
3205000.00000000
PA
USD
3403506.16000000
0.327156534406
Long
DBT
CORP
LU
N
2
2026-03-11
Fixed
4.55000000
N
N
N
N
N
N
MASSMUTUAL GLOBAL FUNDIN
549300K1IE3K7YU6VG29
MassMutual Global Funding II
57629WCG3
2995000.00000000
PA
USD
3076524.65000000
0.295725964695
Long
DBT
CORP
US
N
2
2025-01-11
Fixed
2.95000000
N
N
N
N
N
N
STANDARD INDUSTRIES INC
54930064UHXCIUWVI755
Standard Industries Inc/NJ
120111BM0
3680000.00000000
PA
USD
3781200.00000000
0.363461744961
Long
DBT
CORP
US
N
2
2024-11-15
Fixed
5.38000000
N
N
N
N
N
N
Sirius XM Radio Inc
WP5O65E6BMU84LNO4227
Sirius XM Radio Inc
82967NAY4
2545000.00000000
PA
USD
2599081.25000000
0.249832488739
Long
DBT
CORP
US
N
2
2022-08-01
Fixed
3.88000000
N
N
N
N
N
N
Syneos Health, Inc.
549300F1ZGKDS8P6GU13
Syneos Health, Inc. 2018 Term Loan B
44988EAE3
2550776.89000000
PA
USD
2555029.04000000
0.245598041178
Long
LON
CORP
US
N
2
2024-08-01
Variable
3.80000000
N
N
N
N
N
N
JPMorgan Chase Bank, National Association
7H6GLXDRUGQFU57RNE97
PURCHASED USD / SOLD GBP
000000000
1.00000000
NC
-43390.36000000
-0.00417082829
N/A
DFE
US
N
2
JPMorgan Chase Bank, National Association
7H6GLXDRUGQFU57RNE97
1210000.00000000
GBP
1560803.20000000
USD
2020-02-03
-43390.36
N
N
N
WR Grace & Co-Conn
549300GJVOEHHLSO6K25
WR Grace & Co-Conn
383909AE8
2915000.00000000
PA
USD
3037954.70000000
0.292018490525
Long
DBT
CORP
US
N
2
2021-10-01
Fixed
5.13000000
N
N
N
N
N
N
Chase Mortgage Finance Corporation
N/A
Chase Home Lending Mortgage Trust 2019-ATR2
16159GAC3
1884638.10000000
PA
USD
1916147.36000000
0.184186571212
Long
ABS-MBS
CORP
US
N
2
2049-07-25
Variable
3.50000000
N
N
N
N
N
N
Springleaf Finance Corp
5493008I795YYBFWFU90
Springleaf Finance Corp
85172FAP4
880000.00000000
PA
USD
963600.00000000
0.092624494193
Long
DBT
CORP
US
N
2
2024-03-15
Fixed
6.13000000
N
N
N
N
N
N
FMG RESOURCES AUG 2006
549300EFD6S2NFE9D745
FMG Resources August 2006 Pty Ltd
30251GAW7
-5000000.00000000
PA
USD
-5312500.00000000
-0.51065548505
Short
DBT
CORP
AU
N
2
2024-05-15
Fixed
5.13000000
N
N
N
N
N
N
Stryker Corp
5493002F0SC4JTBU5137
Stryker Corp
863667AM3
1500000.00000000
PA
USD
1512762.20000000
0.145411824003
Long
DBT
CORP
US
N
2
2021-03-15
Fixed
2.63000000
N
N
N
N
N
N
UAL 2007 PASS TRUST
N/A
UAL 2007-1 Pass Through Trust
909287AA2
1683669.64000000
PA
USD
1787754.27000000
0.171844992736
Long
DBT
CORP
US
N
2
2022-07-02
Fixed
6.64000000
N
N
N
N
N
N
GENERAL MOTORS FINL CO
5493008B6JBRUJ90QL97
General Motors Financial Co Inc
37045XAW6
4000000.00000000
PA
USD
4090944.52000000
0.393235436839
Long
DBT
CORP
US
N
2
2022-04-10
Fixed
3.45000000
N
N
N
N
N
N
Axalta Coating Systems US Holdings Inc.
549300NZ43V4QV4UGN28
Axalta Coating Systems US Holdings Inc. USD Term Loan B3
90347BAH1
4299000.19000000
PA
USD
4304911.32000000
0.413802650023
Long
LON
CORP
NL
N
2
2024-06-01
Variable
3.69000000
N
N
N
N
N
N
OCCIDENTAL PETROLEUM COR
IM7X0T3ECJW4C1T7ON55
Occidental Petroleum Corp
674599DG7
6555000.00000000
PA
USD
3292822.12000000
0.316517209769
Long
DBT
CORP
US
N
2
2036-10-10
None
0.00000000
N
N
N
N
N
N
Bank of America Corp
9DJT3UXIJIZJI4WXO774
Bank of America Corp
06051GHC6
6566000.00000000
PA
USD
6719282.15000000
0.645880147869
Long
DBT
CORP
US
N
2
2023-12-20
Variable
3.00000000
N
N
N
N
N
N
JPMorgan Chase Bank, National Association
7H6GLXDRUGQFU57RNE97
PURCHASED USD / SOLD EUR
000000000
1.00000000
NC
-20188.92000000
-0.00194062733
N/A
DFE
US
N
2
JPMorgan Chase Bank, National Association
7H6GLXDRUGQFU57RNE97
3118000.00000000
EUR
3484006.43000000
USD
2020-02-03
-20188.92
N
N
N
Realogy Group LLC
LF6PBYTYG3BDVEF4FI12
Realogy Group LLC 2018 Term Loan B
75605NAQ3
4358027.99000000
PA
USD
4278132.26000000
0.411228556118
Long
LON
CORP
US
N
2
2025-02-08
Variable
4.05000000
N
N
N
N
N
N
GAZPROM (GAZ CAPITAL SA)
213800568PRHV2JR9650
Gazprom PJSC Via Gaz Capital SA
368266AH5
2500000.00000000
PA
USD
3500440.00000000
0.336474143269
Long
DBT
CORP
LU
N
2
2037-08-16
Fixed
7.29000000
N
N
N
N
N
N
Level 3 Financing Inc.
N/A
Level 3 Financing Inc. 2019 Term Loan B
52729KAP1
3963602.10000000
PA
USD
3980118.43000000
0.382582457875
Long
LON
CORP
US
N
2
2027-03-01
Variable
3.55000000
N
N
N
N
N
N
VOLKSWAGEN GROUP AMERICA
5493002SQ1AVQBY41K40
Volkswagen Group of America Finance LLC
928668AN2
3100000.00000000
PA
USD
3150616.46000000
0.302847920304
Long
DBT
CORP
US
N
2
2020-11-13
Fixed
3.88000000
N
N
N
N
N
N
SBA Senior Finance II LLC
549300PVT2ADFWMYEW87
SBA Senior Finance II LLC 2018 Term Loan B
78404XAH8
4212883.42000000
PA
USD
4225757.99000000
0.406194163976
Long
LON
CORP
US
N
2
2025-04-11
Variable
3.55000000
N
N
N
N
N
N
CNH Equipment Trust
N/A
CNH Equipment Trust 2019-B
12596TAD3
4405000.00000000
PA
USD
4472777.97000000
0.429938560721
Long
ABS-O
CORP
US
N
2
2026-05-15
Fixed
2.64000000
N
N
N
N
N
N
SPRINT SPECTRUM / SPEC I
N/A
Sprint Spectrum Co LLC / Sprint Spectrum Co II LLC / Sprint Spectrum Co III LLC
85208NAD2
4750000.00000000
PA
USD
5030155.00000000
0.483515527802
Long
DBT
CORP
US
N
2
2025-03-20
Fixed
4.74000000
N
N
N
N
N
N
BENCHMARK Mortgage Trust
N/A
Benchmark 2019-B12 Mortgage Trust
08162FAE3
3752000.00000000
PA
USD
3896462.13000000
0.374541131107
Long
ABS-MBS
CORP
US
N
2
2052-08-15
Fixed
3.12000000
N
N
N
N
N
N
HUNTINGTON BANCSHARES
549300XTVCVV9I7B5T19
Huntington Bancshares Inc/OH
446150AJ3
3910000.00000000
PA
USD
3958520.40000000
0.380506382113
Long
DBT
CORP
US
N
2
2021-03-14
Fixed
3.15000000
N
N
N
N
N
N
Broadcom Inc
549300WV6GIDOZJTV909
Broadcom Inc
11135FAD3
2470000.00000000
PA
USD
2568525.83000000
0.246895398325
Long
DBT
CORP
US
N
2
2024-10-15
Fixed
3.63000000
N
N
N
N
N
N
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
Long: BLI52VNE9 IRS USD R V 03MLIBOR SLI52VNE9_FLO CCPVANILLA / Short: BLI52VNE9 IRS USD P F 2.79300 SLI52VNE9_FIX CCPVANILLA
000000000
50000000.00000000
OU
Notional Amount
USD
-1727593.00000000
-0.16606208779
N/A
DIR
US
N
2
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
ICE Libor USD 3 Months
US0003M Index
Y
2023-03-16
0
USD
0
USD
50000000
USD
-1727593
N
N
N
GOLDMAN SACHS GROUP INC
784F5XWPLTWKTBV3E584
Goldman Sachs Group Inc/The
38141GGQ1
1900000.00000000
PA
USD
1993898.65000000
0.191660288428
Long
DBT
CORP
US
N
2
2021-07-27
Fixed
5.25000000
N
N
N
N
N
N
JP Morgan Chase Commercial Mortgage Sec Trust
N/A
JP Morgan Chase Commercial Mortgage Securities Trust 2013-C16
46641BAD5
2380000.00000000
PA
USD
2541370.90000000
0.244285174523
Long
ABS-MBS
CORP
US
N
2
2046-12-15
Fixed
4.17000000
N
N
N
N
N
N
Sierra Receivables Funding Co LLC
N/A
Sierra Timeshare 2019-1 Receivables Funding LLC
82653EAA5
974559.35000000
PA
USD
983322.98000000
0.094520333801
Long
ABS-O
CORP
US
N
2
2036-01-20
Fixed
3.20000000
N
N
N
N
N
N
Fannie Mae - CAS
N/A
Fannie Mae Connecticut Avenue Securities
30711XDS0
3120000.00000000
PA
USD
3350815.10000000
0.322091691338
Long
ABS-MBS
USGSE
US
N
2
2029-04-25
Floating
6.04000000
N
N
N
N
N
N
Lloyds Banking Group PLC
549300PPXHEU2JF0AM85
Lloyds Banking Group PLC
539439AP4
1160000.00000000
PA
USD
1177485.49000000
0.113183891585
Long
DBT
CORP
GB
N
2
2023-11-07
Variable
2.91000000
N
N
N
N
N
N
FORD MOTOR CREDIT CO LLC
UDSQCVRUX5BONN0VY111
Ford Motor Credit Co LLC
345397ZX4
2485000.00000000
PA
USD
2536154.50000000
0.243783756495
Long
DBT
CORP
US
N
2
2024-11-01
Fixed
4.06000000
N
N
N
N
N
N
JBS USA/FOOD/FINANCE
N/A
JBS USA LUX SA / JBS USA Food Co / JBS USA Finance Inc
46590XAB2
1435000.00000000
PA
USD
1541333.50000000
0.148158194085
Long
DBT
CORP
XX
N
2
2030-01-15
Fixed
5.50000000
N
N
N
N
N
N
AT&T Inc
549300Z40J86GGSTL398
AT&T Inc
00206RDN9
4275000.00000000
PA
USD
4376509.06000000
0.420684867181
Long
DBT
CORP
US
N
2
2022-03-01
Fixed
3.20000000
N
N
N
N
N
N
WELLS FARGO & COMPANY
PBLD0EJDB5FWOLXP3B76
Wells Fargo & Co
949746RN3
595000.00000000
PA
USD
661937.50000000
0.063627673438
Long
DBT
CORP
US
N
2
2025-06-15
Variable
5.88000000
N
N
N
N
N
N
EXPEDIA INC
CI7MUJI4USF3V0NJ1H64
Expedia Group Inc
30212PAM7
315000.00000000
PA
USD
347519.66000000
0.033404766220
Long
DBT
CORP
US
N
2
2026-02-15
Fixed
5.00000000
N
N
N
N
N
N
BX Trust
N/A
BX Trust 2019-OC11
05606FAJ2
2940000.00000000
PA
USD
3021448.00000000
0.290431810639
Long
ABS-MBS
CORP
US
N
2
2041-12-09
Fixed
3.86000000
N
N
N
N
N
N
ZAYO GROUP LLC/ZAYO CAP
N/A
Zayo Group LLC / Zayo Capital Inc
989194AP0
2090000.00000000
PA
USD
2123962.50000000
0.204162466011
Long
DBT
CORP
US
N
2
2027-01-15
Fixed
5.75000000
N
N
N
N
N
N
Barclays Bank PLC
G5GSEF7VJP5I7OUK5573
Barclays Bank PLC
000000000
401000.00000000
PA
591415.98000000
0.056848906190
Long
DBT
CORP
GB
Y
2
2021-05-21
Fixed
10.00000000
N
N
N
N
N
N
CALIFORNIA INSTITUTE OF
549300CITPNHOTVPHC04
California Institute of Technology
13034VAD6
2434000.00000000
PA
USD
2360832.16000000
0.226931179634
Long
DBT
CORP
US
N
2
2119-09-01
Fixed
3.65000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140HJHS3
12857939.05000000
PA
USD
13407037.34000000
1.288729817612
Long
ABS-MBS
USGSE
US
N
2
2048-08-01
Fixed
4.00000000
N
N
N
N
N
N
CITIBANK NA
E57ODZWZ7FF32TWEFA76
Citibank NA
17325FAV0
4200000.00000000
PA
USD
4253208.62000000
0.408832811464
Long
DBT
CORP
US
N
2
2022-02-19
Variable
3.17000000
N
N
N
N
N
N
BX Trust
N/A
BX Trust 2019-OC11
05606FAG8
1010000.00000000
PA
USD
1035426.25000000
0.099528676505
Long
ABS-MBS
CORP
US
N
2
2041-12-09
Fixed
3.61000000
N
N
N
N
N
N
EXPEDIA INC
CI7MUJI4USF3V0NJ1H64
Expedia Group Inc
30212PAP0
2245000.00000000
PA
USD
2296357.50000000
0.220733657041
Long
DBT
CORP
US
N
2
2028-02-15
Fixed
3.80000000
N
N
N
N
N
N
VALE OVERSEAS LIMITED
254900BA3U6G5DNV5V04
Vale Overseas Ltd
91911TAP8
2780000.00000000
PA
USD
3263164.00000000
0.313666370870
Long
DBT
CORP
KY
N
2
2026-08-10
Fixed
6.25000000
N
N
N
N
N
N
DLL Securitization Trust
N/A
DLL 2019-3 LLC
23291RAC4
3570000.00000000
PA
USD
3563368.01000000
0.342522996628
Long
ABS-O
CORP
US
N
2
2023-02-21
Fixed
2.08000000
N
N
N
N
N
N
Chicago Board of Trade
549300EX04Q2QBFQTQ27
US ULTRA BOND CBT MAR20 XCBT 20200320
000000000
-36.00000000
NC
USD
199048.14000000
0.019133181078
N/A
DIR
US
N
1
Chicago Board of Trade
549300EX04Q2QBFQTQ27
Short
US Treasury Ultra Long Bond
WNH0 Comdty
2020-03-20
-6738673.14
USD
199048.14
N
N
N
ENTERPRISE PRODUCTS OPER
5493004LGN656HWLDA30
Enterprise Products Operating LLC
29379VBV4
2345000.00000000
PA
USD
2413014.03000000
0.231947077636
Long
DBT
CORP
US
N
2
2029-07-31
Fixed
3.13000000
N
N
N
N
N
N
American Tower Corp
5493006ORUSIL88JOE18
American Tower Corp
03027XAQ3
5000000.00000000
PA
USD
5110589.65000000
0.491247178665
Long
DBT
US
N
2
2023-06-15
Fixed
3.00000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38381TKF1
2177494.48000000
PA
USD
2210102.02000000
0.212442488292
Long
ABS-MBS
USGA
US
N
2
2048-10-20
Fixed
3.00000000
N
N
N
N
N
N
Bank
N/A
Bank 2019-BNK19
06540WBC6
3760000.00000000
PA
USD
3851772.20000000
0.370245383741
Long
ABS-MBS
CORP
US
N
2
2061-08-15
Fixed
2.93000000
N
N
N
N
N
N
TARGA RESOURCES PARTNERS
N/A
Targa Resources Partners LP / Targa Resources Partners Finance Corp
87612BAM4
950000.00000000
PA
USD
959500.00000000
0.092230388313
Long
DBT
CORP
US
N
2
2023-05-01
Fixed
5.25000000
N
N
N
N
N
N
HP ENTERPRISE CO
549300BX44RGX6ANDV88
Hewlett Packard Enterprise Co
42824CAN9
1560000.00000000
PA
USD
1648342.18000000
0.158444230676
Long
DBT
CORP
US
N
2
2022-10-15
Fixed
4.40000000
N
N
N
N
N
N
Georgia-Pacific LLC
L2EVHWFHVAQK72TMH265
Georgia-Pacific LLC
37331NAB7
4000000.00000000
PA
USD
4111033.68000000
0.395166474909
Long
DBT
CORP
US
N
2
2020-11-01
Fixed
5.40000000
N
N
N
N
N
N
ZF NA CAPITAL
529900JYGMS9CW9IQX78
ZF North America Capital Inc
98877DAA3
740000.00000000
PA
USD
743512.08000000
0.071468898232
Long
DBT
CORP
US
N
2
2020-04-29
Fixed
4.00000000
N
N
N
N
N
N
REALOGY GROUP/CO-ISSUER
N/A
Realogy Group LLC / Realogy Co-Issuer Corp
75606DAC5
640000.00000000
PA
USD
646400.00000000
0.062134156337
Long
DBT
CORP
US
N
2
2021-12-01
Fixed
5.25000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140JNRL6
1811471.69000000
PA
USD
1887092.93000000
0.181393761039
Long
ABS-MBS
USGSE
US
N
2
2049-02-01
Fixed
4.00000000
N
N
N
N
N
N
Bombardier Recreational Products, Inc.
549300R46OV8J34BJD75
Bombardier Recreational Products, Inc. 2016 Term Loan B
000000000
3036562.50000000
PA
USD
3043610.36000000
0.292562131711
Long
LON
CORP
US
N
2
2025-05-23
Variable
3.80000000
N
N
N
N
N
N
MPLX LP
5493000CZJ19CK4P3G36
MPLX LP
55336VAR1
2500000.00000000
PA
USD
2589432.05000000
0.248904974968
Long
DBT
CORP
US
N
2
2028-03-15
Fixed
4.00000000
N
N
N
N
N
N
Nielsen Finance LLC
UJ76Y189LDMPCOCW7204
Nielsen Finance LLC USD Term Loan B4
65409YBE4
2924999.99000000
PA
USD
2933125.64000000
0.281941966387
Long
LON
CORP
US
N
2
2023-10-04
Variable
3.71000000
N
N
N
N
N
N
Ball Corp
0BGI85ALH27ZJP15DY16
Ball Corp
058498AR7
4240000.00000000
PA
USD
4483800.00000000
0.430998035559
Long
DBT
CORP
US
N
2
2022-03-15
Fixed
5.00000000
N
N
N
N
N
N
Morgan Stanley
IGJSJL3JD5P30I6NJZ34
Morgan Stanley
6174467X1
3840000.00000000
PA
USD
4325396.77000000
0.415771780829
Long
DBT
CORP
US
N
2
2025-11-24
Fixed
5.00000000
N
N
N
N
N
N
MPLX LP
5493000CZJ19CK4P3G36
MPLX LP
55336VAK6
1780000.00000000
PA
USD
1869781.42000000
0.179729720091
Long
DBT
CORP
US
N
2
2027-03-01
Fixed
4.13000000
N
N
N
N
N
N
US AIRWAYS 2010-1A PTT
N/A
US Airways 2010-1 Class A Pass Through Trust
90345KAA8
744557.93000000
PA
USD
807538.60000000
0.077623344091
Long
DBT
CORP
US
N
2
2023-04-22
Fixed
6.25000000
N
N
N
N
N
N
First NLC Trust
N/A
First NLC Trust 2007-1
32115BAA8
70239.29000000
PA
USD
43582.15000000
0.004189263802
Long
ABS-MBS
CORP
US
N
2
2037-08-25
Floating
1.86000000
N
N
N
N
N
N
Telefonica Emisiones SAU
549300Y5MFC4SW5Z3K71
Telefonica Emisiones SA
87938WAR4
1781000.00000000
PA
USD
1916611.27000000
0.184231163812
Long
DBT
CORP
ES
N
2
2023-04-27
Fixed
4.57000000
N
N
N
N
N
N
Tencent Holdings Ltd
254900N4SLUMW4XUYY11
Tencent Holdings Ltd
88032WAD8
5450000.00000000
PA
USD
5743918.50000000
0.552124891813
Long
DBT
CORP
KY
N
2
2025-02-11
Fixed
3.80000000
N
N
N
N
N
N
Morgan Stanley
IGJSJL3JD5P30I6NJZ34
Morgan Stanley
61746BEF9
80000.00000000
PA
USD
85185.13000000
0.008188283083
Long
DBT
CORP
US
N
2
2027-01-20
Fixed
3.63000000
N
N
N
N
N
N
PRINCIPAL LFE GLB FND II
635400WSLKBQWSOIIT41
Principal Life Global Funding II
74256LAW9
5550000.00000000
PA
USD
5582171.80000000
0.536577251428
Long
DBT
CORP
US
N
2
2021-11-21
Fixed
2.38000000
N
N
N
N
N
N
Sirius XM Radio Inc
WP5O65E6BMU84LNO4227
Sirius XM Radio Inc
82967NAW8
3000000.00000000
PA
USD
3186562.50000000
0.306303175361
Long
DBT
CORP
US
N
2
2026-07-15
Fixed
5.38000000
N
N
N
N
N
N
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
Long: BLDX32FV7 IRS USD R V 03MLIBOR SLDX32FV7_FLO CCPVANILLA / Short: BLDX32FV7 IRS USD P F 2.76200 SLDX32FV7_FIX CCPVANILLA
000000000
50000000.00000000
OU
Notional Amount
USD
-1692815.50000000
-0.16271915675
N/A
DIR
US
N
2
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
ICE Libor USD 3 Months
US0003M Index
Y
2023-03-29
0
USD
0
USD
50000000
USD
-1692815.5
N
N
N
Fannie Mae - CAS
N/A
Fannie Mae Connecticut Avenue Securities
30711XDK7
5141758.23000000
PA
USD
5430617.58000000
0.522009346726
Long
ABS-MBS
USGSE
US
N
2
2029-01-25
Floating
6.24000000
N
N
N
N
N
N
GRUBHUB HOLDINGS INC
N/A
GrubHub Holdings Inc
40010PAA6
245000.00000000
PA
USD
229393.50000000
0.022050079814
Long
DBT
CORP
US
N
2
2027-07-01
Fixed
5.50000000
N
N
N
N
N
N
Ford Credit Floorplan Master Owner Trust
5493001DTG5N7T8BG747
Ford Credit Floorplan Master Owner Trust A
34528PAK2
4530000.00000000
PA
USD
4933545.54000000
0.474229099442
Long
ABS-O
CORP
US
N
2
2030-11-15
Fixed
4.06000000
N
N
N
N
N
N
Bank of America Corp
9DJT3UXIJIZJI4WXO774
Bank of America Corp
63858SAA7
455000.00000000
PA
USD
574591.62000000
0.055231691750
Long
DBT
CORP
US
N
2
2024-11-15
Fixed
8.57000000
N
N
N
N
N
N
Lincoln National Corp
EFQMQROEDSNBRIP7LE47
Lincoln National Corp
534187AS8
6418000.00000000
PA
USD
5647840.00000000
0.542889501126
Long
DBT
CORP
US
N
2
2066-05-17
Variable
4.26000000
N
N
N
N
N
N
SCOTTS MIRACLE-GRO CO
2TH9E0JTOUXOEGI2R879
Scotts Miracle-Gro Co/The
810186AP1
1960000.00000000
PA
USD
2092300.00000000
0.201118959320
Long
DBT
CORP
US
N
2
2026-12-15
Fixed
5.25000000
N
N
N
N
N
N
UNITED AIR 2014-2 B PTT
N/A
United Airlines 2014-2 Class B Pass Through Trust
90932QAB2
1096596.59000000
PA
USD
1130699.87000000
0.108686699401
Long
DBT
CORP
US
N
2
2022-09-03
Fixed
4.63000000
N
N
N
N
N
N
MONDELEZ INTL HLDINGS NE
549300CW356R8I7N8D33
Mondelez International Holdings Netherlands BV
60920LAE4
3500000.00000000
PA
USD
3500749.07000000
0.336503852124
Long
DBT
CORP
NL
N
2
2022-09-19
Fixed
2.13000000
N
N
N
N
N
N
Chase Mortgage Finance Corporation
N/A
Chase Home Lending Mortgage Trust 2019-ATR1
16158RAD8
2297781.61000000
PA
USD
2311579.79000000
0.222196875089
Long
ABS-MBS
CORP
US
N
2
2049-04-25
Variable
4.00000000
N
N
N
N
N
N
Hilton Grand Vacations Trust
N/A
Hilton Grand Vacations Trust 2019-A
43284HAA7
3006491.47000000
PA
USD
3002894.20000000
0.288648356570
Long
ABS-O
CORP
US
N
2
2033-07-25
Fixed
2.34000000
N
N
N
N
N
N
Entergy Arkansas LLC
549300A0I5ONUIFMLP35
Entergy Arkansas LLC
29364DAU4
960000.00000000
PA
USD
1012763.05000000
0.097350212997
Long
DBT
CORP
US
N
2
2026-04-01
Fixed
3.50000000
N
N
N
N
N
N
JPMBB Commercial Mortgage Securities Trust
N/A
JPMBB Commercial Mortgage Securities Trust 2014-C26
46643TBA9
2200000.00000000
PA
USD
2281638.26000000
0.219318793861
Long
ABS-MBS
CORP
US
N
2
2048-01-15
Fixed
3.23000000
N
N
N
N
N
N
HUNTINGTON NATIONAL BANK
2WHM8VNJH63UN14OL754
Huntington National Bank/The
44644AAE7
1445000.00000000
PA
USD
1516026.22000000
0.145725572656
Long
DBT
CORP
US
N
2
2023-10-06
Fixed
3.55000000
N
N
N
N
N
N
United States Treasury
254900HROIFWPRGM1V77
United States Treasury Inflation Indexed Bonds
912828Y38
22373680.50000000
PA
USD
23537553.77000000
2.262509352946
Long
DBT
UST
US
N
2
2028-07-15
Fixed
0.75000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38381VV56
3356895.65000000
PA
USD
3415902.83000000
0.328348144295
Long
ABS-MBS
USGA
US
N
2
2049-06-20
Fixed
3.00000000
N
N
N
N
N
N
JP Morgan Chase Commercial Mortgage Sec Trust
N/A
JP Morgan Chase Commercial Mortgage Securities Corp
46649XAA5
3088000.00000000
PA
USD
3269271.78000000
0.314253471361
Long
ABS-MBS
CORP
US
N
2
2031-07-05
Fixed
4.13000000
N
N
N
N
N
N
American Express Credit Account Master Trust
549300Y4SA5G3GIJTP18
American Express Credit Account Master Trust
02582JJK7
1970000.00000000
PA
USD
1969607.38000000
0.189325329319
Long
ABS-O
CORP
US
N
2
2026-04-15
Floating
2.12000000
N
N
N
N
N
N
Waste Management Inc
549300YX8JIID70NFS41
Waste Management Inc
941063AQ2
1800000.00000000
PA
USD
1844373.15000000
0.177287391161
Long
DBT
CORP
US
N
2
2021-03-01
Fixed
4.60000000
N
N
N
N
N
N
Fannie Mae
N/A
Fannie Mae REMICS
3136B5YE9
3273110.67000000
PA
USD
3371112.19000000
0.324042716343
Long
ABS-MBS
USGSE
US
N
2
2049-02-25
Variable
3.00000000
N
N
N
N
N
N
D.R. HORTON INC
529900ZIUEYVSB8QDD25
DR Horton Inc
23331ABE8
3350000.00000000
PA
USD
3512150.79000000
0.337599824050
Long
DBT
CORP
US
N
2
2022-09-15
Fixed
4.38000000
N
N
N
N
N
N
T-Mobile USA Inc
549300V2JRLO5DIFGE82
T-Mobile USA Inc
87264AAU9
2245000.00000000
PA
USD
2301125.00000000
0.221191925281
Long
DBT
CORP
US
N
2
2026-02-01
Fixed
4.50000000
N
N
N
N
N
N
WEC Energy Group Inc
549300IGLYTZUK3PVP70
WEC Energy Group Inc
92939UAB2
2165000.00000000
PA
USD
2211372.94000000
0.212564653425
Long
DBT
CORP
US
N
2
2022-03-08
Fixed
3.10000000
N
N
N
N
N
N
ON Semiconductor Corporation
ZV20P4CNJVT8V1ZGJ064
ON Semiconductor Corporation 2019 Term Loan B
68218EAH7
1881432.30000000
PA
USD
1893714.29000000
0.182030228578
Long
LON
CORP
US
N
2
2026-09-19
Variable
3.80000000
N
N
N
N
N
N
BENCHMARK Mortgage Trust
N/A
Benchmark 2019-B14 Mortgage Trust
08162YAE2
2970000.00000000
PA
USD
3065581.43000000
0.294674065341
Long
ABS-MBS
CORP
US
N
2
2062-12-15
Fixed
3.05000000
N
N
N
N
N
N
Boyd Gaming Corp
254900787YGRYS2A1Z35
Boyd Gaming Corp
103304BM2
1000.00000000
PA
USD
1075.94000000
0.000103422995
Long
DBT
CORP
US
N
2
2026-04-01
Fixed
6.38000000
N
N
N
N
N
N
Dell Equipment Finance Trust
N/A
Dell Equipment Finance Trust 2018-2
24704DAE0
4080000.00000000
PA
USD
4136062.87000000
0.397572365386
Long
ABS-O
CORP
US
N
2
2023-10-22
Fixed
3.37000000
N
N
N
N
N
N
CITIZENS FINANCIAL GROUP
2138004JDDA4ZQUPFW65
Citizens Financial Group Inc
75524RAA7
1450000.00000000
PA
USD
1513021.87000000
0.145436784363
Long
DBT
CORP
US
N
2
2022-09-28
Fixed
4.15000000
N
N
N
N
N
N
DELTA AIR LINES 2019-1AA
N/A
Delta Air Lines 2019-1 Class AA Pass Through Trust
24737BAA3
3695000.00000000
PA
USD
3843733.36000000
0.369472663226
Long
DBT
CORP
US
N
2
2024-04-25
Fixed
3.20000000
N
N
N
N
N
N
Prestige Brands, Inc.
N/A
Prestige Brands, Inc. Term Loan B4
74112CAT0
2317910.38000000
PA
USD
2331674.13000000
0.224128411078
Long
LON
CORP
US
N
2
2024-01-26
Variable
3.80000000
N
N
N
N
N
N
New York State Thruway Authority
N/A
NEW YORK ST THRUWAY AUTH
650009S53
1620000.00000000
PA
USD
1616306.40000000
0.155364843048
Long
DBT
MUN
US
N
2
2035-01-01
Fixed
2.90000000
N
N
N
N
N
N
Freddie Mac
N/A
Freddie Mac REMICS
3137FM6K3
2160551.24000000
PA
USD
2247328.92000000
0.216020863949
Long
ABS-MBS
USGSE
US
N
2
2048-09-15
Fixed
3.50000000
N
N
N
N
N
N
Citigroup Inc
6SHGI4ZSSLCXXQSBB395
Citigroup Inc
172967HB0
2710000.00000000
PA
USD
3098858.41000000
0.297872761315
Long
DBT
CORP
US
N
2
2025-09-13
Fixed
5.50000000
N
N
N
N
N
N
Capital One Multi-Asset Execution Trust
R42WS16M9R97TJJKGU15
Capital One Multi-Asset Execution Trust
14041NFV8
4310000.00000000
PA
USD
4230370.16000000
0.406637501371
Long
ABS-O
CORP
US
N
2
2028-08-15
Fixed
2.06000000
N
N
N
N
N
N
Bunge Ltd Finance Corp
549300QHC068L40NNM71
Bunge Ltd Finance Corp
120568AW0
4435000.00000000
PA
USD
4490323.96000000
0.431625140680
Long
DBT
CORP
US
N
2
2020-11-24
Fixed
3.50000000
N
N
N
N
N
N
Citibank Credit Card Issuance Trust
R8AG6FXVDQAMDKCSJJ64
Citibank Credit Card Issuance Trust
17305EGL3
4945000.00000000
PA
USD
4945989.99000000
0.475425302106
Long
ABS-O
CORP
US
N
2
2025-01-20
Floating
2.09000000
N
N
N
N
N
N
Wells Fargo Commercial Mortgage Trust
N/A
Wells Fargo Commercial Mortgage Trust 2019-C53
95002BAE3
3261000.00000000
PA
USD
3360691.38000000
0.323041032807
Long
ABS-MBS
CORP
US
N
2
2052-10-15
Fixed
3.04000000
N
N
N
N
N
N
PAYPAL HOLDINGS INC
5493005X2GO78EFZ3E94
PayPal Holdings Inc
70450YAC7
3625000.00000000
PA
USD
3660751.06000000
0.351883785077
Long
DBT
CORP
US
N
2
2024-10-01
Fixed
2.40000000
N
N
N
N
N
N
John Deere Owner Trust
N/A
John Deere Owner Trust 2019-B
477870AC3
3560000.00000000
PA
USD
3583285.60000000
0.344437542809
Long
ABS-O
CORP
US
N
2
2023-12-15
Fixed
2.21000000
N
N
N
N
N
N
Biogen Inc
W8J5WZB5IY3K0NDQT671
Biogen Inc
09062XAE3
3560000.00000000
PA
USD
3705373.49000000
0.356173044115
Long
DBT
CORP
US
N
2
2022-09-15
Fixed
3.63000000
N
N
N
N
N
N
Fannie Mae
N/A
Fannie Mae REMICS
3136B6HH9
5775000.00000000
PA
USD
5881749.72000000
0.565373695296
Long
ABS-MBS
USGSE
US
N
2
2049-10-25
Fixed
3.00000000
N
N
N
N
N
N
Amkor Technology Inc
529900VHLRTKPWZJBM84
Amkor Technology Inc
031652BK5
-5050000.00000000
PA
USD
-5561312.50000000
-0.53457218489
Short
DBT
CORP
US
N
2
2027-09-15
Fixed
6.63000000
N
N
N
N
N
N
ALIMENTATION COUCHE-TARD
549300OSW32RVX8CCZ87
Alimentation Couche-Tard Inc
01626PAJ5
1650000.00000000
PA
USD
1668139.34000000
0.160347200717
Long
DBT
CORP
CA
N
2
2022-07-26
Fixed
2.70000000
N
N
N
N
N
N
Morgan Stanley
IGJSJL3JD5P30I6NJZ34
Morgan Stanley
61761JQK8
2125000.00000000
PA
USD
2143700.00000000
0.206059701331
Long
DBT
CORP
US
N
2
2019-10-15
Variable
5.61000000
N
N
N
N
N
N
Hudson Yards
N/A
Hudson Yards 2019-30HY Mortgage Trust
44421GAA1
2825000.00000000
PA
USD
2923428.65000000
0.281009858880
Long
ABS-MBS
CORP
US
N
2
2039-07-10
Fixed
3.23000000
N
N
N
N
N
N
Constellation Brands Inc
5493005GKEG8QCVY7037
Constellation Brands Inc
21036PAL2
2985000.00000000
PA
USD
3172908.35000000
0.304990692238
Long
DBT
CORP
US
N
2
2023-05-01
Fixed
4.25000000
N
N
N
N
N
N
BX Trust
N/A
BX Trust 2019-OC11
05606FAL7
705000.00000000
PA
USD
717212.29000000
0.068940873381
Long
ABS-MBS
CORP
US
N
2
2041-12-09
Fixed
4.08000000
N
N
N
N
N
N
PUBLIC SERVICE ELECTRIC
549300RUHPVD434XUK18
Public Service Electric & Gas Co
74456QBS4
2635000.00000000
PA
USD
2726514.24000000
0.262081779152
Long
DBT
CORP
US
N
2
2027-05-15
Fixed
3.00000000
N
N
N
N
N
N
Morgan Stanley
IGJSJL3JD5P30I6NJZ34
Morgan Stanley
61746BDZ6
400000.00000000
PA
USD
429637.26000000
0.041298187935
Long
DBT
CORP
US
N
2
2026-01-27
Fixed
3.88000000
N
N
N
N
N
N
T-Mobile USA Inc
549300V2JRLO5DIFGE82
T-Mobile USA Inc
87264AAP0
1235000.00000000
PA
USD
1324179.35000000
0.127284602029
Long
DBT
CORP
US
N
2
2026-01-15
Fixed
6.50000000
N
N
N
N
N
N
COMMSCOPE TECH LLC
M4TWC4QDOKW45N7T6Y12
CommScope Technologies LLC
20338HAB9
1600000.00000000
PA
USD
1504000.00000000
0.144569571676
Long
DBT
CORP
US
N
2
2027-03-15
Fixed
5.00000000
N
N
N
N
N
N
Air Lease Corp
5493004NW4M4P8TMMK63
Air Lease Corp
00912XAX2
1040000.00000000
PA
USD
1053789.81000000
0.101293844061
Long
DBT
CORP
US
N
2
2023-01-15
Fixed
2.75000000
N
N
N
N
N
N
Florida Power & Light Co
A89MY1K3YLIGJMYWVX50
Florida Power & Light Co
341081FJ1
2155000.00000000
PA
USD
2209143.64000000
0.212350365562
Long
DBT
CORP
US
N
2
2023-06-01
Fixed
2.75000000
N
N
N
N
N
N
Allergan Funding SCS
222100FLFVOSKCBCAR54
Allergan Funding SCS
00507UAR2
4165000.00000000
PA
USD
4260647.35000000
0.409547847375
Long
DBT
CORP
LU
N
2
2022-03-15
Fixed
3.45000000
N
N
N
N
N
N
DUQUESNE LIGHT HOLDINGS
4CUJ1D8WDXK9X7QI6B93
Duquesne Light Holdings Inc
266233AD7
1494000.00000000
PA
USD
1588004.00000000
0.152644320545
Long
DBT
CORP
US
N
2
2021-12-01
Fixed
5.90000000
N
N
N
N
N
N
Chicago Board of Trade
549300EX04Q2QBFQTQ27
US 2YR NOTE (CBT) MAR20 XCBT 20200331
000000000
554.00000000
NC
USD
-94893.66000000
-0.00912149985
N/A
DIR
US
N
1
Chicago Board of Trade
549300EX04Q2QBFQTQ27
Long
2 Year US Treasury Note
TUH0 Comdty
2020-03-31
119481893.66
USD
-94893.66
N
N
N
NCL CORPORATION LTD
UNZWILHE4KMRP9K2L524
NCL Corp Ltd
62886HAP6
2070000.00000000
PA
USD
2098462.50000000
0.201711319683
Long
DBT
CORP
BM
N
2
2024-12-15
Fixed
3.63000000
N
N
N
N
N
N
Smithfield Foods Inc
CVTIPZRZJC0JQEZLL598
Smithfield Foods Inc
832248AY4
1805000.00000000
PA
USD
1810335.45000000
0.174015572205
Long
DBT
CORP
US
N
2
2022-02-01
Fixed
3.35000000
N
N
N
N
N
N
Microsoft Corp
INR2EJN1ERAN0W5ZP974
Microsoft Corp
594918BY9
2055000.00000000
PA
USD
2196603.23000000
0.211144938898
Long
DBT
CORP
US
N
2
2027-02-06
Fixed
3.30000000
N
N
N
N
N
N
Fannie Mae
N/A
Fannie Mae REMICS
3136B7UG4
4192303.91000000
PA
USD
4379795.06000000
0.421000728625
Long
ABS-MBS
USGSE
US
N
2
2059-12-25
Fixed
3.50000000
N
N
N
N
N
N
AMER AIRLN 15-2 AA PTT
N/A
American Airlines 2015-2 Class AA Pass Through Trust
02377BAB2
834234.74000000
PA
USD
880126.24000000
0.084600713788
Long
DBT
CORP
US
N
2
2027-09-22
Fixed
3.60000000
N
N
N
N
N
N
Eldorado Resorts Inc
5299000BKFWWVND5L441
Eldorado Resorts Inc
28470RAC6
2395000.00000000
PA
USD
2490800.00000000
0.239424128411
Long
DBT
CORP
US
N
2
2023-08-01
Fixed
7.00000000
N
N
N
N
N
N
Marathon Petroleum Corp
3BNYRYQHD39K4LCKQF12
Marathon Petroleum Corp
56585ABC5
5755000.00000000
PA
USD
6519491.73000000
0.626675616324
Long
DBT
CORP
US
N
2
2026-12-15
Fixed
5.13000000
N
N
N
N
N
N
PNC Bank NA
AD6GFRVSDT01YPT1CS68
PNC Bank NA
69353REU8
2740000.00000000
PA
USD
2752890.11000000
0.264617117070
Long
DBT
CORP
US
N
2
2020-11-05
Fixed
2.45000000
N
N
N
N
N
N
Morgan Stanley
IGJSJL3JD5P30I6NJZ34
Morgan Stanley
6174824M3
1931000.00000000
PA
USD
2069089.38000000
0.198887875948
Long
DBT
CORP
US
N
2
2022-11-01
Fixed
4.88000000
N
N
N
N
N
N
Telefonica Emisiones SAU
549300Y5MFC4SW5Z3K71
Telefonica Emisiones SA
87938WAP8
279000.00000000
PA
USD
289573.61000000
0.027834795722
Long
DBT
CORP
ES
N
2
2021-02-16
Fixed
5.46000000
N
N
N
N
N
N
Citigroup Inc
6SHGI4ZSSLCXXQSBB395
Citigroup Inc
172967HQ7
4290000.00000000
PA
USD
4648515.30000000
0.446831027826
Long
DBT
CORP
US
N
2
2024-05-15
Variable
6.30000000
N
N
N
N
N
N
Concho Resources Inc
SYHS7HRDXLL4I0IQ8776
Concho Resources Inc
20605PAK7
2900000.00000000
PA
USD
3162170.76000000
0.303958558736
Long
DBT
CORP
US
N
2
2028-08-15
Fixed
4.30000000
N
N
N
N
N
N
Air Lease Corp
5493004NW4M4P8TMMK63
Air Lease Corp
00912XAU8
2215000.00000000
PA
USD
2214873.12000000
0.212901102576
Long
DBT
CORP
US
N
2
2020-01-15
Fixed
2.13000000
N
N
N
N
N
N
BERKSHIRE HATHAWAY ENERG
549300JD0S5IZJE9LY15
Berkshire Hathaway Energy Co
084659AH4
1700000.00000000
PA
USD
1709086.76000000
0.164283205352
Long
DBT
CORP
US
N
2
2021-01-15
Fixed
2.38000000
N
N
N
N
N
N
Ally Financial Inc
549300JBN1OSM8YNAI90
Ally Financial Inc
36186CBY8
3450000.00000000
PA
USD
4788945.00000000
0.460329606004
Long
DBT
CORP
US
N
2
2031-11-01
Fixed
8.00000000
N
N
N
N
N
N
AIR LIQUIDE FINANCE
549300YGXL5Z3R14K812
Air Liquide Finance SA
00913RAB2
1895000.00000000
PA
USD
1888225.34000000
0.181502612122
Long
DBT
CORP
FR
N
2
2021-09-27
Fixed
1.75000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140QAJE1
8763128.25000000
PA
USD
9256348.39000000
0.889751543900
Long
ABS-MBS
USGSE
US
N
2
2049-01-01
Fixed
4.50000000
N
N
N
N
N
N
SANTANDER HOLDINGS USA
549300SMVCQN2P0O6I58
Santander Holdings USA Inc
80282KAS5
5055000.00000000
PA
USD
5183123.02000000
0.498219331745
Long
DBT
CORP
US
N
2
2023-01-18
Fixed
3.40000000
N
N
N
N
N
N
Netflix Inc
549300Y7VHGU0I7CE873
Netflix Inc
64110LAN6
-8495000.00000000
PA
USD
-8707375.00000000
-0.83698236314
Short
DBT
CORP
US
N
2
2026-11-15
Fixed
4.38000000
N
N
N
N
N
N
Hawaii Hotel Trust 2019-MAUI
N/A
Hawaii Hotel Trust 2019-MAUI
41975AAA0
2480000.00000000
PA
USD
2477027.22000000
0.238100242171
Long
ABS-MBS
CORP
US
N
2
2038-05-15
Floating
2.89000000
N
N
N
N
N
N
State Street Global Advisors
5493008BJIBKQ5KTIF74
State Street Navigator Securities Lending Government Money Market Portfolio
857492706
4571640.00000000
NS
USD
4571640.00000000
0.439441513734
Long
STIV
RF
US
N
1
N
N
MET LIFE GLOB FUNDING I
635400MMSOCXNNNZDZ82
Metropolitan Life Global Funding I
59217GCR8
2610000.00000000
PA
USD
2682629.88000000
0.257863465902
Long
DBT
CORP
US
N
2
2021-10-09
Fixed
3.45000000
N
N
N
N
N
N
Freddie Mac
N/A
Freddie Mac REMICS
3137FNFU9
5005000.00000000
PA
USD
5092377.79000000
0.489496593027
Long
ABS-MBS
USGSE
US
N
2
2049-09-25
Fixed
3.00000000
N
N
N
N
N
N
AERCAP IRELAND CAP/GLOBA
N/A
AerCap Ireland Capital DAC / AerCap Global Aviation Trust
00772BAQ4
3585000.00000000
PA
USD
3656719.72000000
0.351496279029
Long
DBT
CORP
IE
N
2
2020-10-30
Fixed
4.63000000
N
N
N
N
N
N
SPECTRA ENERGY PARTNERS
2HKVXE7U4NF5B6UGSU72
Spectra Energy Partners LP
84756NAD1
818000.00000000
PA
USD
890745.75000000
0.085621497041
Long
DBT
CORP
US
N
2
2024-03-15
Fixed
4.75000000
N
N
N
N
N
N
ICAHN ENTERPRISES/FIN
N/A
Icahn Enterprises LP / Icahn Enterprises Finance Corp
451102BT3
2440000.00000000
PA
USD
2598600.00000000
0.249786229359
Long
DBT
CORP
US
N
2
2026-05-15
Fixed
6.25000000
N
N
N
N
N
N
Santander Retail Auto Lease Trust
N/A
Santander Retail Auto Lease Trust 2019-B
80281GAD8
2325000.00000000
PA
USD
2332985.21000000
0.224254436526
Long
ABS-O
CORP
US
N
2
2023-01-20
Fixed
2.30000000
N
N
N
N
N
N
Eurex Deutschland
529900LN3S50JPU47S06
EURO-BTP FUTURE MAR20 XEUR 20200306
000000000
-24.00000000
NC
-5691.06000000
-0.00054704395
N/A
DIR
DE
N
1
Eurex Deutschland
529900LN3S50JPU47S06
Short
Long-Term Euro-BTP (FBTP)
IKH0 Comdty
2020-03-06
-3413966.4
EUR
-5691.06
N
N
N
SEALED AIR CORP
Q0M0CZB4YN6JZ65WXI09
Sealed Air Corp
81211KAY6
1430000.00000000
PA
USD
1447875.00000000
0.139174646669
Long
DBT
CORP
US
N
2
2027-12-01
Fixed
4.00000000
N
N
N
N
N
N
DIAMOND SPORTS GR/DIAMON
N/A
Diamond Sports Group LLC / Diamond Sports Finance Co
25277LAC0
4528000.00000000
PA
USD
4403480.00000000
0.423277405242
Long
DBT
CORP
US
N
2
2027-08-15
Fixed
6.63000000
N
N
N
N
N
Prudential Financial Inc
5PRBRS5FEH7NREC8OR45
Prudential Financial Inc
744320AM4
1245000.00000000
PA
USD
1338375.00000000
0.128649135965
Long
DBT
CORP
US
N
2
2043-06-15
Variable
5.63000000
N
N
N
N
N
N
United States Treasury
254900HROIFWPRGM1V77
United States Treasury Bill
912796WQ8
5250000.00000000
PA
USD
5243995.31000000
0.504070582339
Long
STIV
UST
US
N
2
2020-01-28
None
0.00000000
N
N
N
N
N
N
Altria Group Inc
XSGZFLO9YTNO9VCQV219
Altria Group Inc
02209SBB8
3400000.00000000
PA
USD
3580425.96000000
0.344162664531
Long
DBT
CORP
US
N
2
2024-02-14
Fixed
3.80000000
N
N
N
N
N
N
T-Mobile USA Inc
549300V2JRLO5DIFGE82
T-Mobile USA Inc
87264AAM7
1200000.00000000
PA
USD
1221600.00000000
0.117424327632
Long
DBT
CORP
US
N
2
2023-03-01
Fixed
6.00000000
N
N
N
N
N
N
NXP BV/NXP FUNDING LLC
N/A
NXP BV / NXP Funding LLC
62947QAT5
1755000.00000000
PA
USD
1849818.75000000
0.177810840668
Long
DBT
CORP
NL
N
2
2022-06-15
Fixed
4.63000000
N
N
N
N
N
N
Baxter International Inc
J5OIVXX3P24RJRW5CK77
Baxter International Inc
071813BQ1
6085000.00000000
PA
USD
6140518.99000000
0.590247473572
Long
DBT
CORP
US
N
2
2026-08-15
Fixed
2.60000000
N
N
N
N
N
N
Dollar General Corp
OPX52SQVOZI8IVSWYU66
Dollar General Corp
256677AC9
4115000.00000000
PA
USD
4250382.10000000
0.408561116792
Long
DBT
CORP
US
N
2
2023-04-15
Fixed
3.25000000
N
N
N
N
N
N
Georgia-Pacific LLC
L2EVHWFHVAQK72TMH265
Georgia-Pacific LLC
373298CF3
2180000.00000000
PA
USD
2649500.21000000
0.254678929863
Long
DBT
CORP
US
N
2
2024-01-15
Fixed
8.00000000
N
N
N
N
N
N
Protective Life Corp
549300ZWIT8J8Y2EXL07
Protective Life Corp
743674AY9
1564000.00000000
PA
USD
2336459.33000000
0.224588380702
Long
DBT
CORP
US
N
2
2039-10-15
Fixed
8.45000000
N
N
N
N
N
N
CITIZENS FINANCIAL GROUP
2138004JDDA4ZQUPFW65
Citizens Financial Group Inc
174610AK1
2550000.00000000
PA
USD
2740976.26000000
0.263471917475
Long
DBT
CORP
US
N
2
2025-12-03
Fixed
4.30000000
N
N
N
N
N
N
JBS Investments II GmbH
529900V1Q46CPWIWT649
JBS Investments II GmbH
46650CAA7
1775000.00000000
PA
USD
1930898.25000000
0.185604476697
Long
DBT
CORP
AT
N
2
2026-01-15
Fixed
7.00000000
N
N
N
N
N
N
Textron Financial Corp
4E8B2CNXPE5P5AY03O18
Textron Financial Corp
883199AR2
3720000.00000000
PA
USD
2957400.00000000
0.284275300049
Long
DBT
CORP
US
N
2
2042-02-15
Variable
3.64000000
N
N
N
N
N
N
Ashland LLC
6O4MRU8C1MS0K34UQF79
Ashland LLC
044209AF1
2525000.00000000
PA
USD
2638625.00000000
0.253633567861
Long
DBT
CORP
US
N
2
2022-08-15
Fixed
4.75000000
N
N
N
N
N
N
Advanced Disposal Services Inc.
549300ML1GEF4BKIM713
Advanced Disposal Services Inc. Term Loan B3
00100UAG7
5537728.60000000
PA
USD
5556767.31000000
0.534135285844
Long
LON
CORP
US
N
2
2023-11-10
Variable
3.85000000
N
N
N
N
N
N
Eurex Deutschland
529900LN3S50JPU47S06
EURO-BUND FUTURE MAR20 XEUR 20200306
000000000
19.00000000
NC
-31145.79000000
-0.00299383877
N/A
DIR
DE
N
1
Eurex Deutschland
529900LN3S50JPU47S06
Long
Euro-Bund (FGBL)
RXH0 Comdty
2020-03-06
3267076.6
EUR
-31145.79
N
N
N
Freddie Mac - SLST
N/A
Seasoned Loans Structured Transaction Series 2019-1
35564CBB2
2309727.12000000
PA
USD
2398803.36000000
0.230581099927
Long
ABS-MBS
USGSE
US
N
2
2029-05-25
Fixed
3.50000000
N
N
N
N
N
N
Freddie Mac
N/A
Freddie Mac REMICS
3137FNBV1
2690000.00000000
PA
USD
2753188.64000000
0.264645812784
Long
ABS-MBS
USGSE
US
N
2
2049-04-25
Fixed
3.00000000
N
N
N
N
N
N
FREMF Mortgage Trust
N/A
FREMF 2013-K35 Mortgage Trust
30291VAE6
2375000.00000000
PA
USD
2492583.16000000
0.239595531787
Long
ABS-MBS
USGSE
US
N
2
2023-08-25
Variable
3.94000000
N
N
N
N
N
N
Molson Coors Brewing Co
54930073LBBH6ZCBE225
Molson Coors Brewing Co
60871RAF7
3129000.00000000
PA
USD
3131742.63000000
0.301033703868
Long
DBT
CORP
US
N
2
2021-07-15
Fixed
2.10000000
N
N
N
N
N
N
AMER AIRLN 15-2 A PASS T
N/A
American Airlines 2015-2 Class A Pass Through Trust
02377BAA4
417119.47000000
PA
USD
439964.77000000
0.042290903159
Long
DBT
CORP
US
N
2
2027-09-22
Fixed
4.00000000
N
N
N
N
N
N
Sealed Air Corp
Q0M0CZB4YN6JZ65WXI09
Sealed Air Corp
81211KAV2
1875000.00000000
PA
USD
1985156.25000000
0.190819939343
Long
DBT
CORP
US
N
2
2022-12-01
Fixed
4.88000000
N
N
N
N
N
N
KERRY GROUP FIN SERVICES
635400SE9OHFJ8SLDG45
Kerry Group Financial Services Unltd Co
49245PAA4
2151000.00000000
PA
USD
2177968.64000000
0.209353719021
Long
DBT
CORP
IE
N
2
2023-04-09
Fixed
3.20000000
N
N
N
N
N
N
Barclays PLC
213800LBQA1Y9L22JB70
Barclays PLC
06738EAP0
1725000.00000000
PA
USD
1886706.55000000
0.181356620885
Long
DBT
CORP
GB
N
2
2026-05-12
Fixed
5.20000000
N
N
N
N
N
N
salesforce.com Inc
RCGZFPDMRW58VJ54VR07
salesforce.com Inc
79466L302
1267.00000000
NS
USD
206064.88000000
0.019807653882
Long
EC
CORP
US
N
1
N
N
N
Citigroup Inc
6SHGI4ZSSLCXXQSBB395
Citigroup Inc
172967KV2
4801000.00000000
PA
USD
4830629.37000000
0.464336448767
Long
DBT
CORP
US
N
2
2021-08-02
Fixed
2.35000000
N
N
N
N
N
N
Chicago Board of Trade
549300EX04Q2QBFQTQ27
US LONG BOND(CBT) MAR20 XCBT 20200320
000000000
20.00000000
NC
USD
-54585.46000000
-0.00524693921
N/A
DIR
US
N
1
Chicago Board of Trade
549300EX04Q2QBFQTQ27
Long
US Treasury Long Bond
USH0 Comdty
2020-03-20
3172710.46
USD
-54585.46
N
N
N
Chicago Board of Trade
549300EX04Q2QBFQTQ27
US 10YR ULTRA FUT MAR20 XCBT 20200320
000000000
-655.00000000
NC
USD
921068.62000000
0.088536233961
N/A
DIR
US
N
1
Chicago Board of Trade
549300EX04Q2QBFQTQ27
Short
US 10 Year Ultra Bond
UXYH0 Comdty
2020-03-20
-93081615.5
USD
921068.62
N
N
N
AEP Transmission Co LLC
549300X123Z1I0LA3Y84
AEP Transmission Co LLC
00115AAE9
3360000.00000000
PA
USD
3482113.25000000
0.334712514015
Long
DBT
CORP
US
N
2
2026-12-01
Fixed
3.10000000
N
N
N
N
N
N
Wells Fargo Commercial Mortgage Trust
54930012YCNUERXJ1I74
Wells Fargo Commercial Mortgage Trust 2018-AUS
94990EAA2
4200000.00000000
PA
USD
4564436.10000000
0.438749050478
Long
ABS-MBS
CORP
US
N
2
2036-08-17
Variable
4.06000000
N
N
N
N
N
N
CK HUTCH INTL 17 II LTD
254900F7C0PB6TKONV55
CK Hutchison International 17 II Ltd
12563XAC5
3260000.00000000
PA
USD
3320244.80000000
0.319153170608
Long
DBT
CORP
KY
N
2
2027-09-29
Fixed
3.25000000
N
N
N
N
N
N
MASSMUTUAL GLOBAL FUNDIN
549300K1IE3K7YU6VG29
MassMutual Global Funding II
57629WBR0
3670000.00000000
PA
USD
3723491.28000000
0.357914587426
Long
DBT
CORP
US
N
2
2022-10-17
Fixed
2.50000000
N
N
N
N
N
N
Navistar Financial Dealer Note Master Trust
549300S28N49H5RT4J50
Navistar Financial Dealer Note Master Owner Trust II
63938PBD0
4085000.00000000
PA
USD
4091746.38000000
0.393312514337
Long
ABS-O
CORP
US
N
2
2023-09-25
Floating
2.42000000
N
N
N
N
N
N
LKQ EURO HOLDINGS BV
549300J0BGI20W62GB49
LKQ European Holdings BV
000000000
2835000.00000000
PA
3347606.40000000
0.321783260231
Long
DBT
CORP
NL
N
2
2026-04-01
Fixed
3.63000000
N
N
N
N
N
N
Ally Financial Inc
549300JBN1OSM8YNAI90
Ally Financial Inc
02005NBF6
3570000.00000000
PA
USD
3993937.50000000
0.383910793667
Long
DBT
CORP
US
N
2
2025-11-20
Fixed
5.75000000
N
N
N
N
N
N
Toyota Auto Loan Extended Note Trust 2019-1
549300R73PIC25YY4X12
Toyota Auto Loan Extended Note Trust 2019-1
89231XAA9
3400000.00000000
PA
USD
3452279.08000000
0.331844752594
Long
ABS-O
CORP
US
N
2
2031-11-25
Fixed
2.56000000
N
N
N
N
N
N
Republic Services Inc
NKNQHM6BLECKVOQP7O46
Republic Services Inc
760759AM2
3665000.00000000
PA
USD
3946928.26000000
0.379392106372
Long
DBT
CORP
US
N
2
2023-05-15
Fixed
4.75000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38379CTB2
2867877.71000000
PA
USD
2931885.30000000
0.281822740707
Long
ABS-MBS
USGA
US
N
2
2040-01-16
Fixed
3.00000000
N
N
N
N
N
N
PRICOA GLOBAL FUNDING 1
635400IBXEBMD9ADYA79
Pricoa Global Funding I
74153WCG2
2025000.00000000
PA
USD
2036315.25000000
0.195737515618
Long
DBT
CORP
US
N
2
2020-11-24
Fixed
2.55000000
N
N
N
N
N
N
IHS Markit Ltd
549300HLPTRASHS0E726
IHS Markit Ltd
44962LAG2
2175000.00000000
PA
USD
2311089.75000000
0.222149770786
Long
DBT
CORP
BM
N
2
2023-08-01
Fixed
4.13000000
N
N
N
N
N
N
EXPEDIA GROUP INC
CI7MUJI4USF3V0NJ1H64
Expedia Group Inc
30212PAQ8
2315000.00000000
PA
USD
2228098.60000000
0.214172380488
Long
DBT
CORP
US
N
2
2030-02-15
Fixed
3.25000000
N
N
N
N
N
N
Zoetis Inc
549300HD9Q1LOC9KLJ48
Zoetis Inc
98978VAR4
1655000.00000000
PA
USD
1656467.39000000
0.159225253369
Long
DBT
CORP
US
N
2
2021-08-20
Floating
2.34000000
N
N
N
N
N
N
CMS Energy Corp
549300IA9XFBAGNIBW29
CMS Energy Corp
125896BK5
1350000.00000000
PA
USD
1424734.83000000
0.136950335189
Long
DBT
CORP
US
N
2
2022-03-15
Fixed
5.05000000
N
N
N
N
N
N
Bank of America Corp
9DJT3UXIJIZJI4WXO774
Bank of America Corp
060505EU4
1810000.00000000
PA
USD
2090550.00000000
0.200950743395
Long
DBT
CORP
US
N
2
2026-03-10
Variable
6.30000000
N
N
N
N
N
N
CHARTER COMM OPT LLC/CAP
N/A
Charter Communications Operating LLC / Charter Communications Operating Capital
161175BB9
2770000.00000000
PA
USD
2911738.55000000
0.279886166892
Long
DBT
CORP
US
N
2
2022-07-23
Fixed
4.46000000
N
N
N
N
N
N
CommScope Inc
549300Z6K4JXMFE8QY54
CommScope Inc
203372AL1
361000.00000000
PA
USD
361180.50000000
0.034717892408
Long
DBT
CORP
US
N
2
2021-06-15
Fixed
5.00000000
N
N
N
N
N
N
Freddie Mac Structured Agency Credit Risk Debt Notes
N/A
Freddie Mac Structured Agency Credit Risk Debt Notes
3137G0LA5
1425000.00000000
PA
USD
1519783.02000000
0.146086688990
Long
ABS-MBS
USGSE
US
N
2
2029-03-25
Floating
5.64000000
N
N
N
N
N
N
Bank of America Corp
9DJT3UXIJIZJI4WXO774
Bank of America Corp
06051GGL7
1695000.00000000
PA
USD
1812387.33000000
0.174212805857
Long
DBT
CORP
US
N
2
2028-04-24
Variable
3.71000000
N
N
N
N
N
N
2020-01-15
MAINSTAY VP FUNDS TRUST
Jack Benintende
Jack Benintende
Treasurer