0001752724-23-133513.txt : 20230615
0001752724-23-133513.hdr.sgml : 20230615
20230615113144
ACCESSION NUMBER: 0001752724-23-133513
CONFORMED SUBMISSION TYPE: NPORT-P
PUBLIC DOCUMENT COUNT: 1
CONFORMED PERIOD OF REPORT: 20230430
FILED AS OF DATE: 20230615
DATE AS OF CHANGE: 20230615
PERIOD START: 20231031
FILER:
COMPANY DATA:
COMPANY CONFORMED NAME: TCW FUNDS INC
CENTRAL INDEX KEY: 0000892071
IRS NUMBER: 000000000
STATE OF INCORPORATION: MD
FISCAL YEAR END: 1031
FILING VALUES:
FORM TYPE: NPORT-P
SEC ACT: 1940 Act
SEC FILE NUMBER: 811-07170
FILM NUMBER: 231016520
BUSINESS ADDRESS:
STREET 1: 865 SOUTH FIGUEROA STREET
STREET 2: SUITE 1800
CITY: LOS ANGELES
STATE: CA
ZIP: 90017
BUSINESS PHONE: 213-244-0000
MAIL ADDRESS:
STREET 1: 865 SOUTH FIGUEROA STREET
STREET 2: SUITE 1800
CITY: LOS ANGELES
STATE: CA
ZIP: 90017
FORMER COMPANY:
FORMER CONFORMED NAME: TCW GALILEO FUNDS INC
DATE OF NAME CHANGE: 19950113
FORMER COMPANY:
FORMER CONFORMED NAME: TCW FUNDS INC
DATE OF NAME CHANGE: 19930714
0000892071
S000034415
TCW Global Bond Fund
C000105877
Class I
TGGBX
C000105878
Class N
TGGFX
NPORT-P
1
primary_doc.xml
NPORT-P
false
0000892071
XXXXXXXX
S000034415
C000105878
C000105877
TCW FUNDS INC
811-07170
0000892071
54930078E2I2DS4UJ217
865 SOUTH FIGUEROA STREET
Suite 1800
LOS ANGELES
90017
213-244-0000
TCW Global Bond Fund
S000034415
549300LNSLRWNNL82Q34
2023-10-31
2023-04-30
N
21975981.20
3486157.87
18489823.33
0.00000000
0.00000000
0.00000000
0.00000000
0.00000000
0.00000000
0.00000000
0.00000000
0.00000000
0.00000000
954533.92000000
0.00000000
0.00000000
196004.05000000
AUD
CAD
CNY
EUR
GBP
JPY
KRW
NOK
NZD
USD
N
Bloomberg Global Aggregate Bond Index
LEGASTAT
CCO HLDGS LLC/CAP CORP
N/A
CCO Holdings LLC / CCO Holdings Capital Corp
1248EPCL5
22000.00000000
PA
USD
17622.44000000
0.095308860909
Long
DBT
CORP
US
N
2
2033-06-01
Fixed
4.50000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
3128MJXK1
16634.10000000
PA
USD
15757.42000000
0.085222123103
Long
ABS-MBS
USGSE
US
N
2
2045-12-01
Fixed
3.50000000
N
N
N
N
N
N
BONOS Y OBLIG DEL ESTADO
9598007A56S18711AH60
Spain Government Bond
000000000
42000.00000000
PA
42448.05000000
0.229575206006
Long
DBT
NUSS
ES
Y
2
2027-07-30
Fixed
0.80000000
N
N
N
N
N
N
Bear Stearns Alt-A Trust
N/A
Bear Stearns ALT-A Trust 2005-8
07386HWR8
25633.61000000
PA
USD
22805.37000000
0.123340118469
Long
ABS-MBS
CORP
US
N
2
2035-10-25
Floating
5.56000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac REMICS
31397TAZ5
35153.92000000
PA
USD
2372.72000000
0.012832572586
Long
ABS-MBS
USGSE
US
N
2
2038-04-15
Floating
0.95000000
N
N
N
N
N
N
Alabama Economic Settlement Authority
N/A
ALABAMA ECON SETTLEMENT AUTH BP SETTLEMENT REVENUE
01026CAD3
40000.00000000
PA
USD
38534.24000000
0.208407832309
Long
DBT
MUN
US
N
2
2032-09-15
Fixed
4.26000000
N
N
N
N
N
N
Goldman Sachs International
W22LROWP2IHZNBB6K528
PURCHASED USD / SOLD PLN
000000000
1.00000000
NC
-905.35000000
-0.00489647728
N/A
DFE
US
N
2
Goldman Sachs International
W22LROWP2IHZNBB6K528
119331.30000000
PLN
27738.06000000
USD
2023-07-14
-905.35000000
N
N
N
UMBS, TBA
N/A
Uniform Mortgage-Backed Security, TBA
01F040651
250000.00000000
PA
USD
239062.50000000
1.292940963974
Long
ABS-MBS
USGSE
US
N
2
2053-05-15
Fixed
4.00000000
N
N
N
N
N
N
AUSTRALIAN GOVERNMENT
213800J6B7JSBDETCB42
Australia Government Bond
000000000
189000.00000000
PA
108117.87000000
0.584742580122
Long
DBT
NUSS
AU
Y
2
2041-05-21
Fixed
2.75000000
N
N
N
N
N
N
State Street Bank & Trust Co.
571474TGEMMWANRLN572
PURCHASED EUR / SOLD USD
000000000
1.00000000
NC
215.16000000
0.001163667149
N/A
DFE
XX
N
2
State Street Bank & Trust Co.
571474TGEMMWANRLN572
20845.74000000
USD
19000.00000000
EUR
2023-07-14
215.16000000
N
N
N
AUSTRALIAN GOVERNMENT
213800J6B7JSBDETCB42
Australia Government Bond
000000000
104000.00000000
PA
44522.25000000
0.240793268845
Long
DBT
NUSS
AU
Y
2
2051-06-21
Fixed
1.75000000
N
N
N
N
N
N
UMBS, TBA
N/A
Uniform Mortgage-Backed Security, TBA
01F050650
500000.00000000
PA
USD
497167.63000000
2.688871716763
Long
ABS-MBS
USGSE
US
N
2
2053-05-15
Fixed
5.00000000
N
N
N
N
N
N
KFW
549300GDPG70E3MBBU98
Kreditanstalt fuer Wiederaufbau
000000000
181000.00000000
PA
180608.14000000
0.976797543040
Long
DBT
CORP
DE
N
2
2028-01-07
Fixed
0.63000000
N
N
N
N
N
N
ATHENE GLOBAL FUNDING
549300LM1QSI4MSIL320
Athene Global Funding
04685A3C3
70000.00000000
PA
USD
57073.10000000
0.308673041279
Long
DBT
CORP
US
N
2
2028-08-19
Fixed
1.99000000
N
N
N
N
N
N
CEMEX SAB DE CV
549300RIG2CXWN6IV731
Cemex SAB de CV
151290CB7
200000.00000000
PA
USD
199520.00000000
1.079080077938
Long
DBT
CORP
MX
N
2
2028-03-14
Fixed
9.13000000
N
N
N
N
N
N
Taurus CMBS
6354001CXJE7XMMVG324
Taurus 2021-4 UK DAC
000000000
94049.95000000
PA
112917.73000000
0.610702049363
Long
ABS-MBS
CORP
IE
N
2
2031-08-17
Floating
5.58000000
N
N
N
N
N
N
LLOYDS BANKING GROUP PLC
549300PPXHEU2JF0AM85
Lloyds Banking Group PLC
53944YAU7
10000.00000000
PA
USD
9697.37000000
0.052447066837
Long
DBT
CORP
GB
N
2
2033-08-11
Fixed
4.98000000
N
N
N
N
N
N
AIR LEASE CORP
5493004NW4M4P8TMMK63
Air Lease Corp
00914AAT9
20000.00000000
PA
USD
20250.60000000
0.109522950211
Long
DBT
CORP
US
N
2
2027-12-15
Fixed
5.85000000
N
N
N
N
N
N
Goldman Sachs International
W22LROWP2IHZNBB6K528
PURCHASED USD / SOLD KRW
000000000
1.00000000
NC
2646.71000000
0.014314414760
N/A
DFE
US
N
2
Goldman Sachs International
W22LROWP2IHZNBB6K528
177774687.00000000
KRW
136045.45000000
USD
2023-07-14
2646.71000000
N
N
N
AUSTRALIAN GOVERNMENT
213800J6B7JSBDETCB42
Australia Government Bond
000000000
184000.00000000
PA
102020.57000000
0.551766061682
Long
DBT
NUSS
AU
N
2
2032-05-21
Fixed
1.25000000
N
N
N
N
N
N
IndyMac INDX Mortgage Loan Trust
N/A
IndyMac INDX Mortgage Loan Trust 2005-AR15
45660LVM8
43852.66000000
PA
USD
33469.37000000
0.181015088152
Long
ABS-MBS
CORP
US
N
2
2035-09-25
Variable
3.50000000
N
N
N
N
N
N
DELTA AIR LINES 2020-AA
N/A
Delta Air Lines 2020-1 Class AA Pass Through Trust
247361ZV3
76546.37000000
PA
USD
67774.16000000
0.366548445544
Long
DBT
CORP
US
N
2
2028-06-10
Fixed
2.00000000
N
N
N
N
N
N
Goldman Sachs International
W22LROWP2IHZNBB6K528
PURCHASED USD / SOLD COP
000000000
1.00000000
NC
17.05000000
0.000092212887
N/A
DFE
US
N
2
Goldman Sachs International
W22LROWP2IHZNBB6K528
4853486.00000000
COP
1042.02000000
USD
2023-07-14
17.05000000
N
N
N
BAT Capital Corp
2138005GYEXN7XRHFA84
BAT Capital Corp
05526DBF1
25000.00000000
PA
USD
18693.63000000
0.101102264020
Long
DBT
CORP
US
N
2
2047-08-15
Fixed
4.54000000
N
N
N
N
N
N
CREDIT SUISSE GROUP AG
549300506SI9CRFV9Z86
Credit Suisse Group AG
225401AZ1
95000.00000000
PA
USD
96840.63000000
0.523750975180
Long
DBT
CORP
CH
N
2
2033-08-12
Fixed
6.54000000
N
N
N
N
N
N
Air Lease Corp
5493004NW4M4P8TMMK63
Air Lease Corp
00912XBA1
20000.00000000
PA
USD
19208.22000000
0.103885362543
Long
DBT
CORP
US
N
2
2025-03-01
Fixed
3.25000000
N
N
N
N
N
N
ORACLE CORP
1Z4GXXU7ZHVWFCD8TV52
Oracle Corp
68389XCA1
44000.00000000
PA
USD
33222.64000000
0.179680678430
Long
DBT
CORP
US
N
2
2051-03-25
Fixed
3.95000000
N
N
N
N
N
N
Goldman Sachs International
W22LROWP2IHZNBB6K528
PURCHASED EUR / SOLD USD
000000000
1.00000000
NC
45.93000000
0.000248406916
N/A
DFE
XX
N
2
Goldman Sachs International
W22LROWP2IHZNBB6K528
38750.46000000
USD
35000.00000000
EUR
2023-07-14
45.93000000
N
N
N
FARMERS EXCHANGE CAP II
N/A
Farmers Exchange Capital II
30958PAA1
55000.00000000
PA
USD
54903.92000000
0.296941290460
Long
DBT
CORP
US
N
2
2053-11-01
Fixed
6.15000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36179SGL5
6770.83000000
PA
USD
6467.28000000
0.034977511058
Long
ABS-MBS
USGA
US
N
2
2046-07-20
Fixed
3.50000000
N
N
N
N
N
N
WARNERMEDIA HOLDINGS INC
549300DXR29GD4N0A520
Warnermedia Holdings Inc
55903VAQ6
85000.00000000
PA
USD
68041.65000000
0.367995133245
Long
DBT
CORP
US
N
2
2052-03-15
Fixed
5.14000000
N
N
N
N
N
N
UMBS, TBA
N/A
Uniform Mortgage-Backed Security, TBA
01F032658
50000.00000000
PA
USD
46483.28000000
0.251399265262
Long
ABS-MBS
USGSE
US
N
2
2053-05-15
Fixed
3.50000000
N
N
N
N
N
N
UMBS, TBA
N/A
Uniform Mortgage-Backed Security, TBA
01F020653
300000.00000000
PA
USD
249439.14000000
1.349061781435
Long
ABS-MBS
USGSE
US
N
2
2053-05-15
Fixed
2.00000000
N
N
N
N
N
N
Citibank N.A.
E57ODZWZ7FF32TWEFA76
PURCHASED PLN / SOLD USD
000000000
1.00000000
NC
731.57000000
0.003956608924
N/A
DFE
PL
N
2
Citibank N.A.
E57ODZWZ7FF32TWEFA76
20296.37000000
USD
87604.52000000
PLN
2023-07-14
731.57000000
N
N
N
SLM Student Loan Trust
549300SRMXHPGI3BJ386
SLM Student Loan Trust 2008-5
78444YAE5
50000.00000000
PA
USD
46823.77000000
0.253240764740
Long
ABS-O
CORP
US
N
2
2073-07-25
Floating
7.11000000
N
N
N
N
N
N
GOLDMAN SACHS GROUP INC
784F5XWPLTWKTBV3E584
Goldman Sachs Group Inc/The
38141GYJ7
110000.00000000
PA
USD
89951.40000000
0.486491397968
Long
DBT
CORP
US
N
2
2032-07-21
Fixed
2.38000000
N
N
N
N
N
N
WELLS FARGO & COMPANY
PBLD0EJDB5FWOLXP3B76
Wells Fargo & Co
95000U3D3
5000.00000000
PA
USD
5084.90000000
0.027501074019
Long
DBT
CORP
US
N
2
2034-04-24
Fixed
5.39000000
N
N
N
N
N
N
CENTENE CORP
549300Z7JJ4TQSQGT333
Centene Corp
15135BAR2
65000.00000000
PA
USD
62173.80000000
0.336259567711
Long
DBT
CORP
US
N
2
2027-12-15
Fixed
4.25000000
N
N
N
N
N
N
PRESTIGE BRANDS INC
549300JBVP4J6D42I235
Prestige Brands Inc
74112BAM7
22000.00000000
PA
USD
18666.12000000
0.100953479472
Long
DBT
CORP
US
N
2
2031-04-01
Fixed
3.75000000
N
N
N
N
N
N
JP Morgan Mortgage Acquisition Corp
N/A
JP Morgan Mortgage Acquisition Trust 2006-CH2
46629QAD8
172671.89000000
PA
USD
107505.16000000
0.581428811304
Long
ABS-O
CORP
US
N
2
2029-09-25
Variable
5.46000000
N
N
N
N
N
N
Citibank N.A.
E57ODZWZ7FF32TWEFA76
PURCHASED THB / SOLD USD
000000000
1.00000000
NC
68.12000000
0.000368418879
N/A
DFE
TH
N
2
Citibank N.A.
E57ODZWZ7FF32TWEFA76
18646.80000000
USD
634550.54000000
THB
2023-07-14
68.12000000
N
N
N
ESC CB144A INTELSAT JA
N/A
ESC CB144A INTELSAT JA
458ESCAB6
21000.00000000
PA
USD
0.00000000
0.000000
Long
DBT
CORP
LU
N
3
2024-10-15
None
0.00000000
N
N
N
N
N
N
TRIVIUM PACKAGING FIN
724500GMZWW3PVYET548
Trivium Packaging Finance BV
89686QAB2
2000.00000000
PA
USD
1937.80000000
0.010480359738
Long
DBT
CORP
NL
N
2
2027-08-15
Fixed
8.50000000
N
N
N
N
N
N
State Street Bank & Trust Co.
571474TGEMMWANRLN572
PURCHASED JPY / SOLD USD
000000000
1.00000000
NC
-71060.03000000
-0.38431968078
N/A
DFE
JP
N
2
State Street Bank & Trust Co.
571474TGEMMWANRLN572
2014648.35000000
USD
261733000.00000000
JPY
2023-07-14
-71060.03000000
N
N
N
General Electric Co
3C7474T6CDKPR9K6YT90
General Electric Co
36962GX74
150000.00000000
PA
USD
131238.38000000
0.709787095623
Long
DBT
CORP
US
N
2
2036-08-15
Floating
5.34000000
N
N
N
N
N
N
Citibank N.A.
E57ODZWZ7FF32TWEFA76
PURCHASED NOK / SOLD USD
000000000
1.00000000
NC
-661.26000000
-0.00357634569
N/A
DFE
NO
N
2
Citibank N.A.
E57ODZWZ7FF32TWEFA76
19338.56000000
USD
199000.00000000
NOK
2023-07-14
-661.26000000
N
N
N
Goldman Sachs International
W22LROWP2IHZNBB6K528
PURCHASED IDR / SOLD USD
000000000
1.00000000
NC
45.67000000
0.000247000737
N/A
DFE
ID
N
2
Goldman Sachs International
W22LROWP2IHZNBB6K528
17601.10000000
USD
259317000.00000000
IDR
2023-07-14
45.67000000
N
N
N
Qwest Corp
549300R2L4N683OO1509
Qwest Corp
912920AK1
33000.00000000
PA
USD
29451.84000000
0.159286757230
Long
DBT
CORP
US
N
2
2025-09-15
Fixed
7.25000000
N
N
N
N
N
N
DSLA Mortgage Loan Trust
N/A
DSLA Mortgage Loan Trust 2004-AR1
23332UAA2
60447.89000000
PA
USD
55950.25000000
0.302600241232
Long
ABS-MBS
CORP
US
N
2
2044-09-19
Floating
5.79000000
N
N
N
N
N
N
Citibank N.A.
E57ODZWZ7FF32TWEFA76
PURCHASED USD / SOLD THB
000000000
1.00000000
NC
35.80000000
0.000193620022
N/A
DFE
US
N
2
Citibank N.A.
E57ODZWZ7FF32TWEFA76
464732.19000000
THB
13742.24000000
USD
2023-07-14
35.80000000
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38378B2G3
1490041.68000000
PA
USD
9973.89000000
0.053942592214
Long
ABS-MBS
USGA
US
N
2
2053-01-16
Variable
0.32000000
N
N
N
N
N
N
UNITED KINGDOM GILT
ECTRVYYCEF89VWYS6K36
United Kingdom Gilt
000000000
80000.00000000
PA
53531.89000000
0.289520830159
Long
DBT
NUSS
GB
Y
2
2051-07-31
Fixed
1.25000000
N
N
N
N
N
N
KOREA TREASURY BOND
549300O0QCVSQGPGDT58
Korea Treasury Bond
000000000
63350000.00000000
PA
45895.14000000
0.248218380353
Long
DBT
NUSS
KR
N
2
2027-03-10
Fixed
2.38000000
N
N
N
N
N
N
United States Treasury
254900HROIFWPRGM1V77
United States Treasury Inflation Indexed Bonds
91282CGK1
138337.12000000
PA
USD
137117.24000000
0.741582207427
Long
DBT
UST
US
N
2
2033-01-15
Fixed
1.13000000
N
N
N
N
N
N
Goldman Sachs International
W22LROWP2IHZNBB6K528
PURCHASED CNH / SOLD USD
000000000
1.00000000
NC
-5533.53000000
-0.02992743576
N/A
DFE
CN
N
2
Goldman Sachs International
W22LROWP2IHZNBB6K528
683766.16000000
USD
4669233.98000000
CNY
2023-07-14
-5533.53000000
N
N
N
FRANCE (GOVT OF)
969500KCGF3SUYJHPV70
French Republic Government Bond OAT
000000000
85000.00000000
PA
50499.35000000
0.273119699949
Long
DBT
NUSS
FR
Y
2
2052-05-25
Fixed
0.75000000
N
N
N
N
N
N
Deephaven Residential Mortgage Trust
N/A
Deephaven Residential Mortgage Trust 2021-3
24381VAA8
99835.40000000
PA
USD
86621.26000000
0.468480733720
Long
ABS-MBS
CORP
US
N
2
2066-08-25
Variable
1.19000000
N
N
N
N
N
N
NCR CORP
549300YKTY8JX1DV2R67
NCR Corp
62886EBA5
18000.00000000
PA
USD
15591.24000000
0.084323358432
Long
DBT
CORP
US
N
2
2029-04-15
Fixed
5.13000000
N
N
N
N
N
N
EUROPEAN UNION
529900FZRK8FGMPEOM08
European Union
000000000
129000.00000000
PA
123128.90000000
0.665927942103
Long
DBT
NUSS
XX
Y
2
2028-06-02
None
0.00000000
N
N
N
N
N
N
Fanniemae-Aces
B1V7KEBTPIMZEU4LTD58
Fannie Mae-Aces
3136ARP44
455067.66000000
PA
USD
6564.12000000
0.035501258626
Long
ABS-MBS
USGSE
US
N
2
2039-01-25
Variable
2.70000000
N
N
N
N
N
N
WARNERMEDIA HOLDINGS INC
549300DXR29GD4N0A520
Warnermedia Holdings Inc
55903VAN3
10000.00000000
PA
USD
8276.70000000
0.044763542908
Long
DBT
CORP
US
N
2
2042-03-15
Fixed
5.05000000
N
N
N
N
N
N
AERCAP IRELAND CAP/GLOBA
N/A
AerCap Ireland Capital DAC / AerCap Global Aviation Trust
00774MAV7
20000.00000000
PA
USD
17951.40000000
0.097088001759
Long
DBT
CORP
IE
N
2
2026-10-29
Fixed
2.45000000
N
N
N
N
N
N
ROMANIA GOVERNMENT BOND
315700IASY927EDWBK92
Romania Government Bond
000000000
300000.00000000
PA
64530.93000000
0.349007823645
Long
DBT
NUSS
RO
N
2
2032-02-25
Fixed
6.70000000
N
N
N
N
N
N
Goldman Sachs International
W22LROWP2IHZNBB6K528
PURCHASED KRW / SOLD USD
000000000
1.00000000
NC
20.71000000
0.000112007560
N/A
DFE
KR
N
2
Goldman Sachs International
W22LROWP2IHZNBB6K528
10650.46000000
USD
14221000.00000000
KRW
2023-07-14
20.71000000
N
N
N
Eurex Deutschland
529900LN3S50JPU47S06
EURO-SCHATZ FUT JUN23
000000000
9.00000000
NC
-970.17000000
-0.00524704851
N/A
DIR
DE
N
1
Eurex Deutschland
529900LN3S50JPU47S06
Long
EUX 2 Year Euro SCHATZ Futures
DUM3 Comdty
2023-06-08
951953.78000000
EUR
-970.17000000
N
N
N
UNITED KINGDOM GILT
ECTRVYYCEF89VWYS6K36
United Kingdom Gilt
000000000
70000.00000000
PA
56191.24000000
0.303903606849
Long
DBT
NUSS
GB
Y
2
2041-10-22
Fixed
1.25000000
N
N
N
N
N
N
ALIBABA GROUP HOLDING
5493001NTNQJDH60PM02
Alibaba Group Holding Ltd
01609WAX0
50000.00000000
PA
USD
41404.75000000
0.223932642627
Long
DBT
CORP
KY
N
2
2031-02-09
Fixed
2.13000000
N
N
N
N
N
N
Merrill Lynch Alternative Note Asset
N/A
Merrill Lynch Alternative Note Asset Trust Series 2007-A1
59023MAC4
280881.57000000
PA
USD
89232.02000000
0.482600717202
Long
ABS-MBS
CORP
US
N
2
2037-01-25
Floating
5.32000000
N
N
N
N
N
N
INDONESIA GOVERNMENT
529900FWX0GRR7WG5W79
Indonesia Treasury Bond
000000000
680000000.00000000
PA
46611.29000000
0.252091592050
Long
DBT
NUSS
ID
N
2
2028-08-15
Fixed
6.38000000
N
N
N
N
N
N
VALVOLINE INC
549300CMHPBEY6VPOT75
Valvoline Inc
92047WAG6
10000.00000000
PA
USD
8324.00000000
0.045019359306
Long
DBT
CORP
US
N
2
2031-06-15
Fixed
3.63000000
N
N
N
N
N
N
SIRIUS XM RADIO INC
WP5O65E6BMU84LNO4227
Sirius XM Radio Inc
82967NBM9
7000.00000000
PA
USD
5297.54000000
0.028651112049
Long
DBT
CORP
US
N
2
2031-09-01
Fixed
3.88000000
N
N
N
N
N
N
NORWEGIAN GOVERNMENT
549300L0BT3FJTN9MX24
Norway Government Bond
000000000
2265000.00000000
PA
202134.52000000
1.093220396930
Long
DBT
NUSS
NO
Y
2
2026-02-19
Fixed
1.50000000
N
N
N
N
N
N
CREDIT SUISSE GROUP AG
549300506SI9CRFV9Z86
Credit Suisse Group AG
225401AU2
20000.00000000
PA
USD
16148.40000000
0.087336691712
Long
DBT
CORP
CH
N
2
2032-05-14
Fixed
3.09000000
N
N
N
N
N
N
Citibank N.A.
E57ODZWZ7FF32TWEFA76
PURCHASED USD / SOLD NOK
000000000
1.00000000
NC
10303.92000000
0.055727520031
N/A
DFE
US
N
2
Citibank N.A.
E57ODZWZ7FF32TWEFA76
4370000.00000000
NOK
420453.68000000
USD
2023-07-14
10303.92000000
N
N
N
MALAYSIA GOVERNMENT
254900GSIL471JOBYY43
Malaysia Government Bond
000000000
562000.00000000
PA
135066.47000000
0.730490862943
Long
DBT
NUSS
MY
N
2
2033-11-07
Fixed
4.64000000
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
105000.00000000
PA
USD
104331.89000000
0.564266559706
Long
DBT
CORP
US
N
2
2025-03-20
Fixed
4.74000000
N
N
N
N
N
N
Morgan Stanley Capital Inc
N/A
Morgan Stanley ABS Capital I Inc Trust 2007-HE2
61753EAB6
147000.16000000
PA
USD
69416.52000000
0.375430953347
Long
ABS-MBS
CORP
US
N
2
2037-01-25
Floating
5.11000000
N
N
N
N
N
N
BONOS Y OBLIG DEL ESTADO
9598007A56S18711AH60
Spain Government Bond
000000000
24000.00000000
PA
21307.29000000
0.115237931805
Long
DBT
NUSS
ES
Y
2
2032-04-30
Fixed
0.70000000
N
N
N
N
N
N
Citibank N.A.
E57ODZWZ7FF32TWEFA76
PURCHASED AUD / SOLD USD
000000000
1.00000000
NC
-509.61000000
-0.00275616478
N/A
DFE
AU
N
2
Citibank N.A.
E57ODZWZ7FF32TWEFA76
29479.87000000
USD
43701.07000000
AUD
2023-07-14
-509.61000000
N
N
N
GS Mortgage Securities Trust
N/A
GS Mortgage Securities Trust 2010-C1
36249KAE0
971085.90000000
PA
USD
494.67000000
0.002675363583
Long
ABS-MBS
CORP
US
N
2
2043-08-10
Variable
0.57000000
N
N
N
N
N
N
MICHAELS COS INC/THE
549300H9LWMBP7HYLR98
Michaels Cos Inc/The
55916AAA2
20000.00000000
PA
USD
16496.00000000
0.089216644775
Long
DBT
CORP
US
N
2
2028-05-01
Fixed
5.25000000
N
N
N
N
N
N
Lehman XS Trust
N/A
Lehman XS Trust 2006-9
52523DAB6
129.53000000
PA
USD
0.00000000
0.000000
Long
ABS-O
CORP
US
N
3
2046-05-25
Floating
5.34000000
N
N
N
N
N
N
INTL BK RECON & DEVELOP
ZTMSNXROF84AHWJNKQ93
International Bank for Reconstruction & Development
000000000
650000.00000000
PA
58689.63000000
0.317415850614
Long
DBT
NUSS
XX
Y
2
2025-03-13
Fixed
1.75000000
N
N
N
N
N
N
COMM Mortgage Trust
N/A
COMM 2012-CCRE4 Mortgage Trust
12624QAS2
192110.50000000
PA
USD
18.33000000
0.000099135614
Long
ABS-MBS
CORP
US
N
2
2045-10-15
Variable
1.33000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36179SB71
27813.78000000
PA
USD
25819.04000000
0.139639192539
Long
ABS-MBS
USGA
US
N
2
2046-05-20
Fixed
3.00000000
N
N
N
N
N
N
Chicago Board of Trade
549300EX04Q2QBFQTQ27
US ULTRA BOND CBT JUN23
000000000
1.00000000
NC
USD
5976.49000000
0.032323131991
N/A
DIR
US
N
1
Chicago Board of Trade
549300EX04Q2QBFQTQ27
Long
CME Ultra Long Term U.S. Treasury Bond Futures
WNM3 Comdty
2023-06-21
135429.76000000
USD
5976.49000000
N
N
N
US BANCORP
N1GZ7BBF3NP8GI976H15
US Bancorp
91159HJL5
35000.00000000
PA
USD
33550.30000000
0.181452788386
Long
DBT
CORP
US
N
2
2034-02-01
Fixed
4.84000000
N
N
N
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
Long: SWFLCH010 IRS EUR R F 2.75000 SWFLCH010_FIX CCPOIS / Short: SWFLCH010 IRS EUR P V 12MESTR SWFLCH010_FLO CCPOIS
000000000
180000.00000000
OU
Notional Amount
-371.65000000
-0.00201002461
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2028-06-16
0.00000000
EUR
0.00000000
EUR
180000.00000000
EUR
-371.65000000
N
N
N
FRANCE (GOVT OF)
969500KCGF3SUYJHPV70
French Republic Government Bond OAT
000000000
55000.00000000
PA
35880.39000000
0.194054801712
Long
DBT
NUSS
FR
Y
2
2044-06-25
Fixed
0.50000000
N
N
N
N
N
N
HUNGARY GOVERNMENT BOND
5299003F3UFKGCCMAP43
Hungary Government Bond
000000000
17740000.00000000
PA
48224.90000000
0.260818608914
Long
DBT
NUSS
HU
N
2
2028-10-22
Fixed
6.75000000
N
N
N
N
N
N
AMERICAN TOWER CORP
5493006ORUSIL88JOE18
American Tower Corp
03027XBM1
20000.00000000
PA
USD
16912.26000000
0.091467937243
Long
DBT
US
N
2
2031-04-15
Fixed
2.70000000
N
N
N
N
N
N
Santander UK PLC
PTCQB104N23FMNK2RZ28
Santander UK PLC
80283LAA1
20000.00000000
PA
USD
19853.32000000
0.107374308805
Long
DBT
CORP
GB
N
2
2023-11-07
Fixed
5.00000000
N
N
N
N
N
N
GS Mortgage Securities Trust
549300SSCQUZ3RRV2T53
GS Mortgage Securities Trust 2013-GCJ12
36197XAM6
357538.08000000
PA
USD
13.97000000
0.000075555075
Long
ABS-MBS
CORP
US
N
2
2046-06-10
Variable
1.19000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140Q9N25
1462.22000000
PA
USD
1451.75000000
0.007851616395
Long
ABS-MBS
USGSE
US
N
2
2048-08-01
Fixed
4.50000000
N
N
N
N
N
N
BLACKSTONE PP EUR HOLD
213800Y3B5GQFBGVHP79
Blackstone Property Partners Europe Holdings Sarl
000000000
100000.00000000
PA
82218.40000000
0.444668391539
Long
DBT
CORP
LU
Y
2
2029-03-12
Fixed
1.75000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31417ACR8
44096.21000000
PA
USD
42099.19000000
0.227688438383
Long
ABS-MBS
USGSE
US
N
2
2041-10-01
Fixed
3.50000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae
21H022655
150000.00000000
PA
USD
132809.91000000
0.718286527835
Long
ABS-MBS
USGA
US
N
2
2053-05-18
Fixed
2.50000000
N
N
N
N
N
N
HSBC HOLDINGS PLC
MLU0ZO3ML4LN2LL2TL39
HSBC Holdings PLC
404280CR8
100000.00000000
PA
110642.43000000
0.598396361205
Long
DBT
CORP
GB
N
2
2027-07-24
Fixed
1.75000000
N
N
N
N
N
N
Goldman Sachs International
W22LROWP2IHZNBB6K528
PURCHASED USD / SOLD CHF
000000000
1.00000000
NC
-865.60000000
-0.00468149416
N/A
DFE
US
N
2
Goldman Sachs International
W22LROWP2IHZNBB6K528
41000.00000000
CHF
45577.33000000
USD
2023-07-14
-865.60000000
N
N
N
Citibank N.A.
E57ODZWZ7FF32TWEFA76
PURCHASED USD / SOLD NZD
000000000
1.00000000
NC
100.54000000
0.000543758575
N/A
DFE
US
N
2
Citibank N.A.
E57ODZWZ7FF32TWEFA76
18000.00000000
NZD
11214.18000000
USD
2023-07-17
100.54000000
N
N
N
GLP CAPITAL LP / FIN II
N/A
GLP Capital LP / GLP Financing II Inc
361841AH2
20000.00000000
PA
USD
19824.00000000
0.107215735089
Long
DBT
US
N
2
2026-04-15
Fixed
5.38000000
N
N
N
N
N
N
Chicago Board of Trade
549300EX04Q2QBFQTQ27
US 5YR NOTE (CBT) JUN23
000000000
7.00000000
NC
USD
13879.40000000
0.075065076351
N/A
DIR
US
N
1
Chicago Board of Trade
549300EX04Q2QBFQTQ27
Long
CBOT 5 Year U.S. Treasury Notes
FVM3 Comdty
2023-06-30
754315.92000000
USD
13879.40000000
N
N
N
LXP INDUSTRIAL TRUST
549300S4MH2ICXDBFV43
LXP Industrial Trust
529043AE1
20000.00000000
PA
USD
16234.89000000
0.087804462542
Long
DBT
US
N
2
2030-09-15
Fixed
2.70000000
N
N
N
N
N
N
State Street Bank & Trust Co.
571474TGEMMWANRLN572
PURCHASED USD / SOLD JPY
000000000
1.00000000
NC
602.70000000
0.003259630929
N/A
DFE
US
N
2
State Street Bank & Trust Co.
571474TGEMMWANRLN572
3272000.00000000
JPY
24900.06000000
USD
2023-07-14
602.70000000
N
N
N
Bombardier Capital Mortgage Securitization Corp.
N/A
BCMSC Trust 2000-A
09774XBQ4
189525.17000000
PA
USD
27817.80000000
0.150449247153
Long
ABS-O
CORP
US
N
2
2030-06-15
Variable
8.29000000
N
N
N
N
N
N
BONOS Y OBLIG DEL ESTADO
9598007A56S18711AH60
Spain Government Bond
000000000
26000.00000000
PA
18750.89000000
0.101411947887
Long
DBT
NUSS
ES
Y
2
2052-10-31
Fixed
1.90000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36179R7J2
10098.15000000
PA
USD
9648.59000000
0.052183246036
Long
ABS-MBS
USGA
US
N
2
2046-04-20
Fixed
3.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140Q8DA0
49347.33000000
PA
USD
46711.51000000
0.252633619944
Long
ABS-MBS
USGSE
US
N
2
2048-01-01
Fixed
3.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31417AP78
64278.82000000
PA
USD
61832.97000000
0.334416229384
Long
ABS-MBS
USGSE
US
N
2
2041-12-01
Fixed
3.50000000
N
N
N
N
N
N
Transocean Poseidon Ltd
N/A
Transocean Poseidon Ltd
89383JAA6
5687.50000000
PA
USD
5554.32000000
0.030039875994
Long
DBT
CORP
KY
N
2
2027-02-01
Fixed
6.88000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
3128MJZ45
14309.96000000
PA
USD
13942.70000000
0.075407426837
Long
ABS-MBS
USGSE
US
N
2
2047-05-01
Fixed
4.00000000
N
N
N
N
N
N
GLP CAPITAL LP / FIN II
N/A
GLP Capital LP / GLP Financing II Inc
361841AK5
5000.00000000
PA
USD
4927.10000000
0.026647631575
Long
DBT
US
N
2
2028-06-01
Fixed
5.75000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae REMICS
31398NQJ6
42938.21000000
PA
USD
4381.47000000
0.023696656922
Long
ABS-MBS
USGSE
US
N
2
2040-10-25
Floating
1.58000000
N
N
N
N
N
N
IRELAND GOVERNMENT BOND
549300KXBEJAOJ9OVF93
Ireland Government Bond
000000000
47000.00000000
PA
42130.99000000
0.227860424883
Long
DBT
NUSS
IE
Y
2
2045-02-18
Fixed
2.00000000
N
N
N
N
N
N
AVOLON HOLDINGS FNDG LTD
635400ZRKEX9L1BKCH30
Avolon Holdings Funding Ltd
05401AAH4
30000.00000000
PA
USD
28161.90000000
0.152310270884
Long
DBT
CORP
KY
N
2
2025-02-15
Fixed
2.88000000
N
N
N
N
N
N
Goldman Sachs International
W22LROWP2IHZNBB6K528
PURCHASED USD / SOLD SGD
000000000
1.00000000
NC
-64.30000000
-0.00034775886
N/A
DFE
US
N
2
Goldman Sachs International
W22LROWP2IHZNBB6K528
50000.00000000
SGD
37513.92000000
USD
2023-07-14
-64.30000000
N
N
N
INTELSAT EMERGENCE SA
N/A
INTELSAT EMERGENCE SA
000000000
344.00000000
NS
USD
9051.67000000
0.048954875546
Long
EC
CORP
LU
N
3
N
N
N
HSI Asset Securitization Corporation Trust
N/A
HSI Asset Securitization Corp Trust 2006-WMC1
40430MAD9
272566.80000000
PA
USD
120578.52000000
0.652134516636
Long
ABS-O
CORP
US
N
2
2036-07-25
Floating
5.32000000
N
N
N
N
N
N
VZ SECURED FINANCING BV
549300MG611MYCOWY949
VZ Secured Financing BV
91845AAA3
10000.00000000
PA
USD
8364.10000000
0.045236235364
Long
DBT
CORP
NL
N
2
2032-01-15
Fixed
5.00000000
N
N
N
N
N
N
Tencent Holdings Ltd
254900N4SLUMW4XUYY11
Tencent Holdings Ltd
88032WAG1
40000.00000000
PA
USD
37981.60000000
0.205418944908
Long
DBT
CORP
KY
N
2
2028-01-19
Fixed
3.60000000
N
N
N
N
N
N
INTL FLAVOR & FRAGRANCES
BZLRL03D3GPGMOGFO832
International Flavors & Fragrances Inc
459506AD3
100000.00000000
PA
108585.04000000
0.587269213242
Long
DBT
CORP
US
N
2
2024-03-14
Fixed
1.75000000
N
N
N
N
N
N
AMGEN INC
62QBXGPJ34PQ72Z12S66
Amgen Inc
031162DK3
10000.00000000
PA
USD
9410.20000000
0.050893942208
Long
DBT
CORP
US
N
2
2053-03-01
Fixed
4.88000000
N
N
N
N
N
N
AERCAP IRELAND CAP/GLOBA
N/A
AerCap Ireland Capital DAC / AerCap Global Aviation Trust
00774MAX3
35000.00000000
PA
USD
28656.60000000
0.154985796719
Long
DBT
CORP
IE
N
2
2032-01-30
Fixed
3.30000000
N
N
N
N
N
N
ONTARIO (PROVINCE OF)
C7PVKCRGLG18EBQGZV36
Province of Ontario Canada
68333ZAP2
35000.00000000
PA
23349.85000000
0.126284873485
Long
DBT
NUSS
CA
N
2
2031-06-02
Fixed
2.15000000
N
N
N
N
N
N
PILGRIM'S PRIDE CORP
549300ZSLGV64ZL3HD75
Pilgrim's Pride Corp
72147KAJ7
37000.00000000
PA
USD
32316.54000000
0.174780144857
Long
DBT
CORP
US
N
2
2031-04-15
Fixed
4.25000000
N
N
N
N
N
N
Goldman Sachs International
W22LROWP2IHZNBB6K528
PURCHASED GBP / SOLD USD
000000000
1.00000000
NC
90.75000000
0.000490810530
N/A
DFE
GB
N
2
Goldman Sachs International
W22LROWP2IHZNBB6K528
11237.74000000
USD
9000.00000000
GBP
2023-07-14
90.75000000
N
N
N
Goldman Sachs International
W22LROWP2IHZNBB6K528
PURCHASED IDR / SOLD USD
000000000
1.00000000
NC
334.39000000
0.001808508356
N/A
DFE
ID
N
2
Goldman Sachs International
W22LROWP2IHZNBB6K528
18056.61000000
USD
270253339.00000000
IDR
2023-07-14
334.39000000
N
N
N
State Street Global Advisors
549300BZ5TGIFZUZDZ37
State Street Institutional US Government Money Market Fund
857492706
961749.35000000
NS
USD
961749.35000000
5.201506433214
Long
STIV
RF
US
N
1
N
N
N
BUONI POLIENNALI DEL TES
815600DE60799F5A9309
Italy Buoni Poliennali Del Tesoro
000000000
20000.00000000
PA
20175.38000000
0.109116131830
Long
DBT
NUSS
IT
Y
2
2027-04-01
Fixed
1.10000000
N
N
N
N
N
N
BERRY GLOBAL INC
549300AP2Q7ERHX6RI89
Berry Global Inc
000000000
100000.00000000
PA
104584.14000000
0.565630823688
Long
DBT
CORP
US
Y
2
2025-01-15
Fixed
1.00000000
N
N
N
N
N
N
JP Morgan Chase Commercial Mortgage Sec Trust
N/A
JP Morgan Chase Commercial Mortgage Securities Trust 2011-C3
46635TAR3
6137562.48000000
PA
USD
19654.62000000
0.106299663599
Long
ABS-MBS
CORP
US
N
2
2046-02-15
Variable
0.50000000
N
N
N
N
N
N
Goldman Sachs International
W22LROWP2IHZNBB6K528
PURCHASED CHF / SOLD USD
000000000
1.00000000
NC
685.22000000
0.003705930488
N/A
DFE
CH
N
2
Goldman Sachs International
W22LROWP2IHZNBB6K528
45757.71000000
USD
41000.00000000
CHF
2023-07-14
685.22000000
N
N
N
JBS USA/FOOD/FINANCE
N/A
JBS USA LUX SA / JBS USA Food Co / JBS USA Finance Inc
46590XAE6
20000.00000000
PA
USD
14179.00000000
0.076685427150
Long
DBT
CORP
XX
N
2
2052-02-02
Fixed
4.38000000
N
N
N
N
N
N
FRONTIER COMMUNICATIONS
N/A
Frontier Communications Holdings LLC
35908MAE0
10000.00000000
PA
USD
9766.70000000
0.052822029857
Long
DBT
CORP
US
N
2
2031-03-15
Fixed
8.63000000
N
N
N
N
N
N
MAGYAR EXPORT-IMPORT BAN
529900O4UGETQ9Q3AA63
Magyar Export-Import Bank Zrt
55977YAA6
200000.00000000
PA
USD
201000.00000000
1.087084481082
Long
DBT
NUSS
HU
N
2
2027-12-04
Fixed
6.13000000
N
N
N
N
N
N
MACQUARIE GROUP LTD
ACMHD8HWFMFUIQQ8Y590
Macquarie Group Ltd
55608JAZ1
50000.00000000
PA
USD
40685.60000000
0.220043205788
Long
DBT
CORP
AU
N
2
2033-01-14
Fixed
2.87000000
N
N
N
N
N
N
CHINA GOVERNMENT BOND
300300CHN201808MOF68
China Government Bond
000000000
810000.00000000
PA
118155.92000000
0.639032174029
Long
DBT
NUSS
CN
N
2
2027-06-04
Fixed
2.85000000
N
N
N
N
N
N
Bacardi Ltd
549300R32WTQNHNN5055
Bacardi Ltd
067316AE9
25000.00000000
PA
USD
24607.36000000
0.133085966051
Long
DBT
CORP
BM
N
2
2025-05-15
Fixed
4.45000000
N
N
N
N
N
N
MEX BONOS DESARR FIX RT
254900EGTWEU67VP6075
Mexican Bonos
000000000
1400000.00000000
PA
71012.81000000
0.384064297059
Long
DBT
NUSS
MX
N
2
2033-05-26
Fixed
7.50000000
N
N
N
N
N
N
JAPAN (30 YEAR ISSUE)
353800WZS8AXZXFUC241
Japan Government Thirty Year Bond
000000000
51100000.00000000
PA
301052.64000000
1.628207228521
Long
DBT
NUSS
JP
N
2
2050-03-20
Fixed
0.40000000
N
N
N
N
N
N
BUONI POLIENNALI DEL TES
815600DE60799F5A9309
Italy Buoni Poliennali Del Tesoro
000000000
165000.00000000
PA
186180.29000000
1.006933850459
Long
DBT
NUSS
IT
Y
2
2033-05-01
Fixed
4.40000000
N
N
N
N
N
N
HCA INC
L3CJ6J7LJ2DX62FTXD46
HCA Inc
404119BX6
24000.00000000
PA
USD
22769.76000000
0.123147526039
Long
DBT
CORP
US
N
2
2029-06-15
Fixed
4.13000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
3128MJYU8
1642.23000000
PA
USD
1550.08000000
0.008383422449
Long
ABS-MBS
USGSE
US
N
2
2046-09-01
Fixed
3.50000000
N
N
N
N
N
N
Goldman Sachs International
W22LROWP2IHZNBB6K528
PURCHASED PEN / SOLD USD
000000000
1.00000000
NC
174.47000000
0.000943600146
N/A
DFE
PE
N
2
Goldman Sachs International
W22LROWP2IHZNBB6K528
9360.38000000
USD
35515.53000000
PEN
2023-07-14
174.47000000
N
N
N
United States Treasury
254900HROIFWPRGM1V77
United States Treasury Note/Bond
912810TN8
271000.00000000
PA
USD
268713.44000000
1.453304529762
Long
DBT
UST
US
N
1
2053-02-15
Fixed
3.63000000
N
N
N
N
N
N
Citibank N.A.
E57ODZWZ7FF32TWEFA76
PURCHASED USD / SOLD AUD
000000000
1.00000000
NC
564.52000000
0.003053138961
N/A
DFE
US
N
2
Citibank N.A.
E57ODZWZ7FF32TWEFA76
36000.00000000
AUD
24429.60000000
USD
2023-07-14
564.52000000
N
N
N
EUROPEAN UNION
529900FZRK8FGMPEOM08
European Union
000000000
223000.00000000
PA
167523.83000000
0.906032615942
Long
DBT
NUSS
XX
Y
2
2036-06-04
Fixed
0.20000000
N
N
N
N
N
N
MortgageIT Trust
N/A
MortgageIT Trust 2005-1
61913PAP7
12468.58000000
PA
USD
11927.15000000
0.064506565515
Long
ABS-MBS
CORP
US
N
2
2035-02-25
Floating
5.66000000
N
N
N
N
N
N
ONTARIO (PROVINCE OF)
C7PVKCRGLG18EBQGZV36
Province of Ontario Canada
68333ZAH0
70000.00000000
PA
47131.17000000
0.254903300906
Long
DBT
NUSS
CA
N
2
2030-06-02
Fixed
2.05000000
N
N
N
N
N
N
First Horizon Mortgage Pass-Through Trust
N/A
First Horizon Mortgage Pass-Through Trust 2005-AR4
32051GTX3
14478.01000000
PA
USD
13583.38000000
0.073464087555
Long
ABS-MBS
CORP
US
N
2
2035-10-25
Variable
3.98000000
N
N
N
N
N
N
BANK OF AMERICA CORP
9DJT3UXIJIZJI4WXO774
Bank of America Corp
06051GKA6
155000.00000000
PA
USD
125199.70000000
0.677127616448
Long
DBT
CORP
US
N
2
2032-07-21
Fixed
2.30000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38376G6T2
119949.80000000
PA
USD
1.20000000
0.000006490056
Long
ABS-MBS
USGA
US
N
2
2044-10-16
Variable
0.00000000
N
N
N
N
N
N
GFL ENVIRONMENTAL INC
549300FYK4MBXWIVZU26
GFL Environmental Inc
36168QAK0
7000.00000000
PA
USD
6775.67000000
0.036645401522
Long
DBT
CORP
CA
N
2
2025-08-01
Fixed
3.75000000
N
N
N
N
N
N
Eurex Deutschland
529900LN3S50JPU47S06
EURO-BUND FUTURE JUN23
000000000
-2.00000000
NC
-1239.79000000
-0.00670525606
N/A
DIR
DE
N
1
Eurex Deutschland
529900LN3S50JPU47S06
Short
EUX 10 Year Euro BUND Futures
RXM3 Comdty
2023-06-08
-269997.00000000
EUR
-1239.79000000
N
N
N
Republic of South Africa
378900AAFB4F17004C49
Republic of South Africa Government Bond
000000000
570000.00000000
PA
26179.39000000
0.141588102453
Long
DBT
NUSS
ZA
N
2
2035-02-28
Fixed
8.88000000
N
N
N
N
N
N
THAILAND GOVERNMENT BOND
254900PHJ6MSKT6C7026
Thailand Government Bond
000000000
1298000.00000000
PA
33716.26000000
0.182350363214
Long
DBT
NUSS
TH
N
2
2035-12-17
Fixed
1.59000000
N
N
N
N
N
N
MFRA Trust
N/A
MFA 2021-RPL1 Trust
55283QAB0
100000.00000000
PA
USD
82050.68000000
0.443761297961
Long
ABS-MBS
CORP
US
N
2
2060-07-25
Variable
2.07000000
N
N
N
N
N
N
SWEDISH GOVERNMENT
ERE94C0BSULG2RM19605
Sweden Government Bond
000000000
690000.00000000
PA
62009.69000000
0.335371998386
Long
DBT
NUSS
SE
Y
2
2028-05-12
Fixed
0.75000000
N
N
N
N
N
N
Chicago Board of Trade
549300EX04Q2QBFQTQ27
US 2YR NOTE (CBT) JUN23
000000000
11.00000000
NC
USD
16316.48000000
0.088245732307
N/A
DIR
US
N
1
Chicago Board of Trade
549300EX04Q2QBFQTQ27
Long
CBOT 2 Year U.S. Treasury Notes Futures
TUM3 Comdty
2023-06-30
2251488.20000000
USD
16316.48000000
N
N
N
OWNIT Mortgage Loan Asset-Backed Certificates
N/A
Ownit Mortgage Loan Trust Series 2006-3
69121PDY6
58337.81000000
PA
USD
55399.91000000
0.299623793106
Long
ABS-O
CORP
US
N
2
2037-03-25
Floating
5.56000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31418EB90
93574.53000000
PA
USD
80964.26000000
0.437885525215
Long
ABS-MBS
USGSE
US
N
2
2052-03-01
Fixed
2.50000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
3128MJYN4
15908.56000000
PA
USD
15015.85000000
0.081211430374
Long
ABS-MBS
USGSE
US
N
2
2046-08-01
Fixed
3.50000000
N
N
N
N
N
N
CREDIT SUISSE GROUP AG
549300506SI9CRFV9Z86
Credit Suisse Group AG
000000000
100000.00000000
PA
93769.35000000
0.507140324309
Long
DBT
CORP
CH
Y
2
2032-04-02
Fixed
2.88000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae REMICS
31396WAS5
38844.72000000
PA
USD
2110.16000000
0.011412548201
Long
ABS-MBS
USGSE
US
N
2
2037-06-25
Floating
1.03000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae REMICS
31398GMG1
22126.27000000
PA
USD
1927.58000000
0.010425086089
Long
ABS-MBS
USGSE
US
N
2
2040-01-25
Floating
1.23000000
N
N
N
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
Long: SFLCH0081 IRS GBP R F 4.08200 WFLCH0081_FIX CCPOIS / Short: SFLCH0081 IRS GBP P V 12MSONIA WFLCH0081_FLO CCPOIS
000000000
500000.00000000
OU
Notional Amount
-4674.60000000
-0.02528201549
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2025-06-16
0.00000000
GBP
0.00000000
GBP
500000.00000000
GBP
-4674.60000000
N
N
N
CATALENT PHARMA SOLUTION
549300HALRZ339MSTH85
Catalent Pharma Solutions Inc
14879EAK4
10000.00000000
PA
USD
8488.49000000
0.045908983815
Long
DBT
CORP
US
N
2
2030-04-01
Fixed
3.50000000
N
N
N
N
N
N
Rockford Tower CLO Ltd
5493000QG193Z8ZVLY16
Rockford Tower CLO 2021-1 Ltd
77341KAE1
180000.00000000
PA
USD
173173.68000000
0.936589154527
Long
ABS-CBDO
CORP
KY
N
2
2034-07-20
Floating
6.90000000
N
N
N
N
N
N
CHINA GOVERNMENT BOND
300300CHN201808MOF68
China Government Bond
000000000
2530000.00000000
PA
374951.02000000
2.027877786109
Long
DBT
NUSS
CN
N
2
2029-11-21
Fixed
3.13000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Pool
3132AD3L0
38931.96000000
PA
USD
38034.86000000
0.205706995254
Long
ABS-MBS
USGSE
US
N
2
2049-01-01
Fixed
4.00000000
N
N
N
N
N
N
GS Mortgage-Backed Securities Trust
N/A
GS Mortgage-Backed Securities Corp Trust 2022-PJ2
36267EAD3
91370.85000000
PA
USD
75116.83000000
0.406260398811
Long
ABS-MBS
CORP
US
N
2
2052-06-25
Variable
2.50000000
N
N
N
N
N
N
GS Mortgage Securities Trust
N/A
GS Mortgage Securities Trust 2011-GC3
36248FAJ1
162414.05000000
PA
USD
1.62000000
0.000008761576
Long
ABS-MBS
CORP
US
N
2
2044-03-10
Variable
0.29000000
N
N
N
N
N
N
NEW ZEALAND GOVERNMENT
549300237GPHG2AI7C34
New Zealand Government Bond
000000000
71000.00000000
PA
37033.33000000
0.200290339929
Long
DBT
NUSS
NZ
N
2
2032-05-15
Fixed
2.00000000
N
N
N
N
N
N
ORIX CORP
35380016EMHNBOVYE123
ORIX Corp
686330AP6
25000.00000000
PA
USD
23361.00000000
0.126345176928
Long
DBT
CORP
JP
N
2
2032-04-13
Fixed
4.00000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36179T7L3
12938.33000000
PA
USD
12873.32000000
0.069623812895
Long
ABS-MBS
USGA
US
N
2
2048-08-20
Fixed
4.50000000
N
N
N
N
N
N
MOLINA HEALTHCARE INC
549300NQQCEQ46YHZ591
Molina Healthcare Inc
60855RAK6
63000.00000000
PA
USD
55125.00000000
0.298136975222
Long
DBT
CORP
US
N
2
2030-11-15
Fixed
3.88000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138WTSC1
20860.34000000
PA
USD
19802.58000000
0.107099887579
Long
ABS-MBS
USGSE
US
N
2
2043-06-01
Fixed
3.50000000
N
N
N
N
N
N
HCA INC
L3CJ6J7LJ2DX62FTXD46
HCA Inc
404119CF4
9000.00000000
PA
USD
7975.44000000
0.043134214198
Long
DBT
CORP
US
N
2
2032-03-15
Fixed
3.63000000
N
N
N
N
N
N
ALIMENTATION COUCHE-TARD
549300OSW32RVX8CCZ87
Alimentation Couche-Tard Inc
01626PAF3
95000.00000000
PA
68574.69000000
0.370878016388
Long
DBT
CORP
CA
N
2
2024-07-26
Fixed
3.06000000
N
N
N
N
N
N
Citibank N.A.
E57ODZWZ7FF32TWEFA76
PURCHASED ZAR / SOLD USD
000000000
1.00000000
NC
33.09000000
0.000178963310
N/A
DFE
ZA
N
2
Citibank N.A.
E57ODZWZ7FF32TWEFA76
18282.91000000
USD
337102.70000000
ZAR
2023-07-14
33.09000000
N
N
N
Goldman Sachs International
W22LROWP2IHZNBB6K528
PURCHASED GBP / SOLD USD
000000000
1.00000000
NC
311.28000000
0.001683520682
N/A
DFE
GB
N
2
Goldman Sachs International
W22LROWP2IHZNBB6K528
29898.04000000
USD
24000.00000000
GBP
2023-07-14
311.28000000
N
N
N
CVS Health Corp
549300EJG376EN5NQE29
CVS Health Corp
126650CZ1
10000.00000000
PA
USD
9339.10000000
0.050509406354
Long
DBT
CORP
US
N
2
2048-03-25
Fixed
5.05000000
N
N
N
N
N
N
Banc of America Funding Corporation
N/A
Banc of America Funding 2005-C Trust
05946XUD3
7125.34000000
PA
USD
7069.99000000
0.038237196071
Long
ABS-MBS
CORP
US
N
2
2035-05-20
Floating
5.25000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31418DTJ1
69320.02000000
PA
USD
59625.92000000
0.322479663195
Long
ABS-MBS
USGSE
US
N
2
2040-10-01
Fixed
2.00000000
N
N
N
N
N
N
UMBS, TBA
N/A
Uniform Mortgage-Backed Security, TBA
01F042657
675000.00000000
PA
USD
659891.60000000
3.568944863466
Long
ABS-MBS
USGSE
US
N
2
2053-05-15
Fixed
4.50000000
N
N
N
N
N
N
KEVLAR SPA
815600867DEB25AA7195
Kevlar SpA
49272YAB9
26000.00000000
PA
USD
21654.10000000
0.117113612247
Long
DBT
CORP
IT
N
2
2029-09-01
Fixed
6.50000000
N
N
N
N
N
N
VODAFONE GROUP PLC
213800TB53ELEUKM7Q61
Vodafone Group PLC
92857WBS8
48000.00000000
PA
USD
43130.79000000
0.233267723710
Long
DBT
CORP
GB
N
2
2049-06-19
Fixed
4.88000000
N
N
N
N
N
N
Merrill Lynch Alternative Note Asset
N/A
Merrill Lynch Alternative Note Asset Trust Series 2007-A3
59024HAE0
1251739.31000000
PA
USD
55864.75000000
0.302137824699
Long
ABS-MBS
CORP
US
N
3
2037-04-25
Floating
5.68000000
N
N
N
N
N
N
LEVEL 3 FINANCING INC
254900AE5FEFIJOXWL19
Level 3 Financing Inc
527298BN2
3000.00000000
PA
USD
1856.04000000
0.010038170548
Long
DBT
CORP
US
N
2
2027-09-15
Fixed
4.63000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36179TNR2
30934.78000000
PA
USD
29470.59000000
0.159388164364
Long
ABS-MBS
USGA
US
N
2
2047-12-20
Fixed
3.50000000
N
N
N
N
N
N
POST HOLDINGS INC
JM1I5YUAURL6DC8N1468
Post Holdings Inc
737446AQ7
12000.00000000
PA
USD
10849.38000000
0.058677575260
Long
DBT
CORP
US
N
2
2030-04-15
Fixed
4.63000000
N
N
N
N
N
N
ONTARIO (PROVINCE OF)
C7PVKCRGLG18EBQGZV36
Province of Ontario Canada
68333ZAJ6
155000.00000000
PA
107656.74000000
0.582248613621
Long
DBT
NUSS
CA
N
2
2027-02-01
Fixed
1.85000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
3128MJX47
15534.68000000
PA
USD
14715.79000000
0.079588591720
Long
ABS-MBS
USGSE
US
N
2
2046-03-01
Fixed
3.50000000
N
N
N
N
N
N
OBRIGACOES DO TESOURO
549300P6U1FJ3IMP7K42
Portugal Obrigacoes do Tesouro OT
000000000
95000.00000000
PA
92546.02000000
0.500524090188
Long
DBT
NUSS
PT
Y
2
2032-07-16
Fixed
1.65000000
N
N
N
N
N
N
Citibank N.A.
E57ODZWZ7FF32TWEFA76
PURCHASED USD / SOLD ZAR
000000000
1.00000000
NC
43.78000000
0.000236778898
N/A
DFE
US
N
2
Citibank N.A.
E57ODZWZ7FF32TWEFA76
889603.93000000
ZAR
48379.15000000
USD
2023-07-14
43.78000000
N
N
N
CANADIAN GOVERNMENT
4BFD7AQU0A75QLAHK410
Canadian Government Bond
135087M84
280000.00000000
PA
192680.38000000
1.042088810482
Long
DBT
NUSS
CA
N
2
2027-03-01
Fixed
1.25000000
N
N
N
N
N
N
Structured Adjustable Rate Mortgage Loan Trust
N/A
Structured Adjustable Rate Mortgage Loan Trust Series 2004-18
863579FW3
13904.86000000
PA
USD
13459.99000000
0.072796747485
Long
ABS-MBS
CORP
US
N
2
2034-12-25
Variable
4.68000000
N
N
N
N
N
N
FRANCE (GOVT OF)
969500KCGF3SUYJHPV70
French Republic Government Bond OAT
000000000
56000.00000000
PA
52002.03000000
0.281246765163
Long
DBT
NUSS
FR
Y
2
2029-11-25
None
0.00000000
N
N
N
N
N
N
SINGAPORE GOVERNMENT
549300ZSV6VOGFH1ER70
Singapore Government Bond
000000000
75000.00000000
PA
51432.19000000
0.278164853617
Long
DBT
NUSS
SG
N
2
2031-07-01
Fixed
1.63000000
N
N
N
N
N
N
CHINA DEVELOPMENT BANK
300300C1020111000029
China Development Bank
000000000
1290000.00000000
PA
188077.15000000
1.017192791100
Long
DBT
NUSS
CN
N
2
2030-06-18
Fixed
3.09000000
N
N
N
N
N
N
Goldman Sachs International
W22LROWP2IHZNBB6K528
PURCHASED USD / SOLD SGD
000000000
1.00000000
NC
137.12000000
0.000741597134
N/A
DFE
US
N
2
Goldman Sachs International
W22LROWP2IHZNBB6K528
48106.92000000
SGD
36292.57000000
USD
2023-07-14
137.12000000
N
N
N
ACRISURE LLC / FIN INC
N/A
Acrisure LLC / Acrisure Finance Inc
00489LAF0
9000.00000000
PA
USD
7567.47000000
0.040927757204
Long
DBT
CORP
US
N
2
2029-02-15
Fixed
4.25000000
N
N
N
N
N
N
CREDIT SUISSE GROUP AG
549300506SI9CRFV9Z86
Credit Suisse Group AG
225401AM0
25000.00000000
PA
USD
23310.75000000
0.126073405807
Long
DBT
CORP
CH
N
2
2025-09-11
Fixed
2.59000000
N
N
N
N
N
N
CHINA GOVERNMENT BOND
300300CHN201808MOF68
China Government Bond
000000000
980000.00000000
PA
156150.53000000
0.844521481969
Long
DBT
NUSS
CN
N
2
2051-04-12
Fixed
3.72000000
N
N
N
N
N
N
BAT INTL FINANCE PLC
21380041YBGOQDFAC823
BAT International Finance PLC
000000000
100000.00000000
PA
92067.85000000
0.497937964883
Long
DBT
CORP
GB
Y
2
2030-01-16
Fixed
2.25000000
N
N
N
N
N
N
US AIRWAYS 2012-1A PTT
N/A
US Airways 2012-1 Class A Pass Through Trust
90345WAA2
22047.46000000
PA
USD
22019.90000000
0.119091997835
Long
DBT
CORP
US
N
2
2024-10-01
Fixed
5.90000000
N
N
N
N
N
N
OPEN TEXT CORP
549300HP7ONDQODZJV16
Open Text Corp
683715AF3
5000.00000000
PA
USD
5163.40000000
0.027925631888
Long
DBT
CORP
CA
N
2
2027-12-01
Fixed
6.90000000
N
N
N
N
N
N
CANADIAN GOVERNMENT
4BFD7AQU0A75QLAHK410
Canadian Government Bond
135087H72
91000.00000000
PA
54873.74000000
0.296778065537
Long
DBT
NUSS
CA
N
2
2051-12-01
Fixed
2.00000000
N
N
N
N
N
N
Goldman Sachs International
W22LROWP2IHZNBB6K528
PURCHASED USD / SOLD ILS
000000000
1.00000000
NC
12.62000000
0.000068253761
N/A
DFE
US
N
2
Goldman Sachs International
W22LROWP2IHZNBB6K528
13674.00000000
ILS
3782.99000000
USD
2023-07-14
12.62000000
N
N
N
AVOLON HOLDINGS FNDG LTD
635400ZRKEX9L1BKCH30
Avolon Holdings Funding Ltd
05401AAR2
24000.00000000
PA
USD
20189.47000000
0.109192335911
Long
DBT
CORP
KY
N
2
2027-11-18
Fixed
2.53000000
N
N
N
N
N
N
NEW ZEALAND GOVERNMENT
549300237GPHG2AI7C34
New Zealand Government Bond
000000000
180000.00000000
PA
75639.80000000
0.409088819563
Long
DBT
NUSS
NZ
N
2
2041-05-15
Fixed
1.75000000
N
N
N
N
N
N
IRISH TSY 1.5% 2050
549300KXBEJAOJ9OVF93
Ireland Government Bond
000000000
40000.00000000
PA
30758.77000000
0.166355131961
Long
DBT
NUSS
IE
Y
2
2050-05-15
Fixed
1.50000000
N
N
N
N
N
N
UMBS, TBA
N/A
Uniform Mortgage-Backed Security, TBA
01F030652
325000.00000000
PA
USD
292182.70000000
1.580235217964
Long
ABS-MBS
USGSE
US
N
2
2053-05-15
Fixed
3.00000000
N
N
N
N
N
N
HUDSON PACIFIC PROPERTIE
5493007NTUGLGZ8T3526
Hudson Pacific Properties LP
44409MAB2
5000.00000000
PA
USD
3471.59000000
0.018775679670
Long
DBT
US
N
2
2029-04-01
Fixed
4.65000000
N
N
N
N
N
N
CREDIT SUISSE GROUP AG
549300506SI9CRFV9Z86
Credit Suisse Group AG
225401BB3
35000.00000000
PA
USD
41533.45000000
0.224628701198
Long
DBT
CORP
CH
N
2
2033-11-15
Fixed
9.02000000
N
N
N
N
N
N
FRONTIER COMMUNICATIONS
N/A
Frontier Communications Holdings LLC
35906ABF4
11000.00000000
PA
USD
9666.58000000
0.052280542801
Long
DBT
CORP
US
N
2
2028-05-01
Fixed
5.00000000
N
N
N
N
N
N
State Street Global Advisors
549300BZ5TGIFZUZDZ37
State Street Institutional US Government Money Market Fund
857492706
243428.56000000
NS
USD
243428.56000000
1.316554277752
Long
STIV
RF
US
N
1
N
N
N
IRELAND GOVERNMENT BOND
549300KXBEJAOJ9OVF93
Ireland Government Bond
000000000
76000.00000000
PA
54300.25000000
0.293676413402
Long
DBT
NUSS
IE
Y
2
2041-04-22
Fixed
0.55000000
N
N
N
N
N
N
WELLS FARGO & COMPANY
PBLD0EJDB5FWOLXP3B76
Wells Fargo & Co
95000U2U6
110000.00000000
PA
USD
96134.50000000
0.519931955455
Long
DBT
CORP
US
N
2
2033-03-02
Fixed
3.35000000
N
N
N
N
N
N
INDONESIA GOVERNMENT
529900FWX0GRR7WG5W79
Indonesia Treasury Bond
000000000
1520000000.00000000
PA
104018.46000000
0.562571411005
Long
DBT
NUSS
ID
N
2
2033-05-15
Fixed
6.63000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
3128MMUS0
2683.68000000
PA
USD
2591.31000000
0.014014790480
Long
ABS-MBS
USGSE
US
N
2
2031-03-01
Fixed
3.00000000
N
N
N
N
N
N
Goldman Sachs International
W22LROWP2IHZNBB6K528
PURCHASED CHF / SOLD USD
000000000
1.00000000
NC
667.88000000
0.003612149170
N/A
DFE
CH
N
2
Goldman Sachs International
W22LROWP2IHZNBB6K528
45775.05000000
USD
41000.00000000
CHF
2023-07-14
667.88000000
N
N
N
OCP CLO LTD
254900ZMV4RGFPV8TK42
OCP CLO 2020-19 Ltd
670881AM3
100000.00000000
PA
USD
97695.00000000
0.528371733230
Long
ABS-CBDO
CORP
KY
N
2
2034-10-20
Floating
6.40000000
N
N
N
N
N
N
Citibank N.A.
E57ODZWZ7FF32TWEFA76
PURCHASED USD / SOLD NZD
000000000
1.00000000
NC
5433.10000000
0.029384272110
N/A
DFE
US
N
2
Citibank N.A.
E57ODZWZ7FF32TWEFA76
780000.00000000
NZD
487024.20000000
USD
2023-07-17
5433.10000000
N
N
N
NETHERLANDS GOVERNMENT
254900G14ALGVKORFN62
Netherlands Government Bond
000000000
386000.00000000
PA
353213.76000000
1.910314412939
Long
DBT
NUSS
NL
Y
2
2032-07-15
Fixed
0.50000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Pool
3132DWC27
45851.02000000
PA
USD
39750.34000000
0.214984963839
Long
ABS-MBS
USGSE
US
N
2
2052-01-01
Fixed
2.50000000
N
N
N
N
N
N
UNITED KINGDOM GILT
ECTRVYYCEF89VWYS6K36
United Kingdom Gilt
000000000
97000.00000000
PA
110572.07000000
0.598015827553
Long
DBT
NUSS
GB
N
2
2027-07-22
Fixed
1.25000000
N
N
N
N
N
N
ENERGY TRANSFER LP
MTLVN9N7JE8MIBIJ1H73
Energy Transfer LP
29273RBF5
100000.00000000
PA
USD
87359.09000000
0.472471199106
Long
DBT
CORP
US
N
2
2045-03-15
Fixed
5.15000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31418DU67
56654.74000000
PA
USD
48706.96000000
0.263425772819
Long
ABS-MBS
USGSE
US
N
2
2040-12-01
Fixed
2.00000000
N
N
N
N
N
N
Structured Asset Mortgage Investments Inc
N/A
Structured Asset Mortgage Investments II Trust 2006-AR3
86360KAX6
130935.94000000
PA
USD
72469.53000000
0.391942793106
Long
ABS-MBS
CORP
US
N
2
2036-05-25
Variable
3.68000000
N
N
N
N
N
N
JPMBB Commercial Mortgage Securities Trust
N/A
JPMBB Commercial Mortgage Securities Trust 2014-C19
46641WAX5
1956731.20000000
PA
USD
7717.64000000
0.041739933704
Long
ABS-MBS
CORP
US
N
2
2047-04-15
Variable
0.77000000
N
N
N
N
N
N
JPMORGAN CHASE & CO
8I5DZWZKVSZI1NUHU748
JPMorgan Chase & Co
46647PCR5
150000.00000000
PA
USD
125005.50000000
0.676077308955
Long
DBT
CORP
US
N
2
2032-11-08
Fixed
2.55000000
N
N
N
N
N
N
NOTA DO TESOURO NACIONAL
254900ZFY40OYEADAP90
Brazil Notas do Tesouro Nacional Serie F
000000000
240000.00000000
PA
43616.79000000
0.235896196634
Long
DBT
NUSS
BR
N
2
2033-01-01
Fixed
10.00000000
N
N
N
N
N
N
HUNGARY GOVERNMENT BOND
5299003F3UFKGCCMAP43
Hungary Government Bond
000000000
2250000.00000000
PA
4909.75000000
0.026553796174
Long
DBT
NUSS
HU
N
2
2030-08-21
Fixed
3.00000000
N
N
N
N
N
N
Czech Republic
3157007EFDLQABN47912
Czech Republic Government Bond
000000000
500000.00000000
PA
18588.95000000
0.100536114749
Long
DBT
NUSS
CZ
N
2
2033-10-13
Fixed
2.00000000
N
N
N
N
N
N
Bayer US Finance II LLC
529900XWNEXYNJ3X6T40
Bayer US Finance II LLC
07274NAQ6
20000.00000000
PA
USD
18053.88000000
0.097642252593
Long
DBT
CORP
US
N
2
2048-06-25
Fixed
4.88000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
3128MJ4T4
2109.85000000
PA
USD
2130.72000000
0.011523744505
Long
ABS-MBS
USGSE
US
N
2
2048-07-01
Fixed
5.00000000
N
N
N
N
N
N
FRANCE (GOVT OF)
969500KCGF3SUYJHPV70
French Republic Government Bond OAT
000000000
277000.00000000
PA
276789.91000000
1.496985152642
Long
DBT
NUSS
FR
Y
2
2027-02-25
None
0.00000000
N
N
N
N
N
N
EMPRESA NACIONAL DEL PET
549300YP3P0JZBLIV197
Empresa Nacional del Petroleo
29245JAN2
200000.00000000
PA
USD
201000.00000000
1.087084481082
Long
DBT
CORP
CL
N
2
2033-05-10
Fixed
6.15000000
N
N
N
N
N
N
GLP CAPITAL LP / FIN II
N/A
GLP Capital LP / GLP Financing II Inc
361841AN9
15000.00000000
PA
USD
14580.00000000
0.078854187732
Long
DBT
US
N
2
2024-09-01
Fixed
3.35000000
N
N
N
N
N
N
HUDSON PACIFIC PROPERTIE
5493007NTUGLGZ8T3526
Hudson Pacific Properties LP
44409MAC0
30000.00000000
PA
USD
18806.40000000
0.101712167089
Long
DBT
US
N
2
2030-01-15
Fixed
3.25000000
N
N
N
N
N
N
CSC Holdings LLC
3HG2WD2W22M120IUNG49
CSC Holdings LLC
126307AZ0
30000.00000000
PA
USD
25082.04000000
0.135653216108
Long
DBT
CORP
US
N
2
2029-02-01
Fixed
6.50000000
N
N
N
N
N
N
County of Miami-Dade FL Aviation Revenue
N/A
MIAMI-DADE CNTY FL AVIATION REVENUE
59333P6L7
50000.00000000
PA
USD
40987.20000000
0.221674373348
Long
DBT
MUN
US
N
2
2035-10-01
Fixed
2.86000000
N
N
N
N
N
N
SANTANDER UK GROUP HLDGS
549300F5XIFGNNW4CF72
Santander UK Group Holdings PLC
80281LAJ4
90000.00000000
PA
USD
89131.98000000
0.482059662816
Long
DBT
CORP
GB
N
2
2024-11-15
Fixed
4.80000000
N
N
N
N
N
N
Goldman Sachs International
W22LROWP2IHZNBB6K528
PURCHASED USD / SOLD MYR
000000000
1.00000000
NC
768.43000000
0.004155961829
N/A
DFE
US
N
2
Goldman Sachs International
W22LROWP2IHZNBB6K528
232803.52000000
MYR
53215.94000000
USD
2023-07-14
768.43000000
N
N
N
Pilgrim's Pride Corp
549300ZSLGV64ZL3HD75
Pilgrim's Pride Corp
72147KAE8
16000.00000000
PA
USD
15953.92000000
0.086284869872
Long
DBT
CORP
US
N
2
2027-09-30
Fixed
5.88000000
N
N
N
N
N
N
CENTRAL GARDEN & PET CO
5493004DVZLD37DJ0H83
Central Garden & Pet Co
153527AN6
6000.00000000
PA
USD
5150.10000000
0.027853700427
Long
DBT
CORP
US
N
2
2030-10-15
Fixed
4.13000000
N
N
N
N
N
N
AMERICAN ASSETS TRUST LP
549300V1TI0SMG9Z6U69
American Assets Trust LP
02401LAA2
40000.00000000
PA
USD
31864.80000000
0.172336963048
Long
DBT
US
N
2
2031-02-01
Fixed
3.38000000
N
N
N
N
N
N
SPECTRUM BRANDS INC
549300VU3EH2E73C1Q04
Spectrum Brands Inc
84762LAW5
10000.00000000
PA
USD
9243.63000000
0.049993068268
Long
DBT
CORP
US
N
2
2030-07-15
Fixed
5.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140FE2P8
15844.11000000
PA
USD
15410.13000000
0.083343846639
Long
ABS-MBS
USGSE
US
N
2
2047-03-01
Fixed
4.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140MGKG5
94901.26000000
PA
USD
82214.92000000
0.444649570375
Long
ABS-MBS
USGSE
US
N
2
2052-04-01
Fixed
2.50000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
3128MJY61
4538.14000000
PA
USD
4165.93000000
0.022530934588
Long
ABS-MBS
USGSE
US
N
2
2046-11-01
Fixed
3.00000000
N
N
N
N
N
N
KOREA TREASURY BOND
549300O0QCVSQGPGDT58
Korea Treasury Bond
000000000
31160000.00000000
PA
17016.93000000
0.092034032431
Long
DBT
NUSS
KR
N
2
2051-03-10
Fixed
1.88000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae REMICS
31396YXH0
40203.89000000
PA
USD
2168.88000000
0.011730128305
Long
ABS-MBS
USGSE
US
N
2
2038-03-25
Floating
1.98000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31418AVV7
11660.92000000
PA
USD
11148.94000000
0.060297709723
Long
ABS-MBS
USGSE
US
N
2
2033-08-01
Fixed
3.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31418CAF1
59148.19000000
PA
USD
54213.41000000
0.293206749639
Long
ABS-MBS
USGSE
US
N
2
2046-08-01
Fixed
3.00000000
N
N
N
N
N
N
KAZMUNAYGAS NATIONAL CO
2138001H1M69RFJCSH88
KazMunayGas National Co JSC
000000000
200000.00000000
PA
USD
191070.00000000
1.033379262688
Long
DBT
CORP
KZ
Y
2
2027-04-19
Fixed
4.75000000
N
N
N
N
N
N
Artera Services LLC
549300J2G34D0WX8Z443
Artera Services LLC
73939VAA2
16000.00000000
PA
USD
13810.24000000
0.074691032756
Long
DBT
CORP
US
N
2
2025-12-04
Fixed
9.03000000
N
N
N
N
N
N
Citibank N.A.
E57ODZWZ7FF32TWEFA76
PURCHASED USD / SOLD CZK
000000000
1.00000000
NC
-251.79000000
-0.00136177612
N/A
DFE
US
N
2
Citibank N.A.
E57ODZWZ7FF32TWEFA76
595515.58000000
CZK
27656.39000000
USD
2023-07-14
-251.79000000
N
N
N
The Montreal Exchange / Bourse De Montreal
N/A
CAN 5YR BOND FUT JUN23
000000000
4.00000000
NC
6597.63000000
0.035682493457
N/A
DIR
CA
N
1
The Montreal Exchange / Bourse De Montreal
N/A
Long
Montreal Exchange 5 Year Canadian Bond Futures
XQM3 Comdty
2023-06-21
446571.64000000
CAD
6597.63000000
N
N
N
COMMONSPIRIT HEALTH
4SXHN5XW08IBO0UG2V58
CommonSpirit Health
20268JAF0
25000.00000000
PA
USD
21496.75000000
0.116262603575
Long
DBT
CORP
US
N
2
2030-10-01
Fixed
2.78000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140QM3U6
69380.12000000
PA
USD
57862.22000000
0.312940902502
Long
ABS-MBS
USGSE
US
N
2
2052-01-01
Fixed
2.00000000
N
N
N
N
N
N
United States Treasury
254900HROIFWPRGM1V77
United States Treasury Inflation Indexed Bonds
91282CGW5
121336.38000000
PA
USD
121241.59000000
0.655720651496
Long
DBT
UST
US
N
2
2028-04-15
Fixed
1.25000000
N
N
N
N
N
N
VICI PROPERTIES / NOTE
N/A
VICI Properties LP / VICI Note Co Inc
92564RAJ4
55000.00000000
PA
USD
54684.85000000
0.295756476543
Long
DBT
US
N
2
2027-02-01
Fixed
5.75000000
N
N
N
N
N
N
Goldman Sachs International
W22LROWP2IHZNBB6K528
PURCHASED PLN / SOLD USD
000000000
1.00000000
NC
298.84000000
0.001616240429
N/A
DFE
PL
N
2
Goldman Sachs International
W22LROWP2IHZNBB6K528
12182.86000000
USD
52000.00000000
PLN
2023-07-14
298.84000000
N
N
N
GS Mortgage Securities Trust
N/A
GS Mortgage Securities Trust 2014-GC20
36252WAZ1
985693.76000000
PA
USD
5039.32000000
0.027254560035
Long
ABS-MBS
CORP
US
N
2
2047-04-10
Variable
1.17000000
N
N
N
N
N
N
PETROLEOS MEXICANOS
549300CAZKPF4HKMPX17
Petroleos Mexicanos
71654QDE9
30000.00000000
PA
USD
22251.00000000
0.120341874569
Long
DBT
CORP
MX
N
2
2031-01-28
Fixed
5.95000000
N
N
N
N
N
N
UMBS, TBA
N/A
Uniform Mortgage-Backed Security, TBA
01F052656
200000.00000000
PA
USD
201694.69000000
1.090841628934
Long
ABS-MBS
USGSE
US
N
2
2053-05-15
Fixed
5.50000000
N
N
N
N
N
N
The Montreal Exchange / Bourse De Montreal
N/A
CAN 2YR BOND FUT JUN23
000000000
-1.00000000
NC
436.46000000
0.002360541754
N/A
DIR
CA
N
1
The Montreal Exchange / Bourse De Montreal
N/A
Short
Montreal Exchange 2 Year Canadian Bond Futures
CGZG3 Comdty
2023-06-21
-104241.97000000
CAD
436.46000000
N
N
N
INTELSAT JACKSON HOLDINGS S A
N/A
INTELSAT JACKSON HOLDINGS S A
000000000
35.00000000
NS
USD
0.00000000
0.000000
N/A
DE
LU
N
3
N/A
N/A
INTELSAT EMERGENCE SA
INTELSAT EMERGENCE SA
2025-12-05
XXXX
0.00000000
N
N
N
MORGAN STANLEY
IGJSJL3JD5P30I6NJZ34
Morgan Stanley
61747YED3
115000.00000000
PA
USD
92972.90000000
0.502832819657
Long
DBT
CORP
US
N
2
2032-07-21
Fixed
2.24000000
N
N
N
N
N
N
Morgan Stanley Capital Inc
N/A
Morgan Stanley ABS Capital I Inc Trust 2006-HE4
61748BAD6
236751.50000000
PA
USD
125984.40000000
0.681371572629
Long
ABS-MBS
CORP
US
N
2
2036-06-25
Floating
5.50000000
N
N
N
N
N
N
TRANSDIGM INC
88Q84GB3X55CF5OC7582
TransDigm Inc
893647BR7
18000.00000000
PA
USD
18289.44000000
0.098916250704
Long
DBT
CORP
US
N
2
2028-08-15
Fixed
6.75000000
N
N
N
N
N
N
Dryden Senior Loan Fund
N/A
Dryden 72 CLO Ltd
26252NAQ2
185000.00000000
PA
USD
178676.70000000
0.966351580602
Long
ABS-CBDO
CORP
KY
N
2
2032-05-15
Floating
6.51000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36179S5P8
7249.64000000
PA
USD
7393.49000000
0.039986807164
Long
ABS-MBS
USGA
US
N
2
2047-05-20
Fixed
5.00000000
N
N
N
N
N
N
Goldman Sachs International
W22LROWP2IHZNBB6K528
PURCHASED CLP / SOLD USD
000000000
1.00000000
NC
-123.33000000
-0.00066701556
N/A
DFE
CL
N
2
Goldman Sachs International
W22LROWP2IHZNBB6K528
20021.85000000
USD
16117000.00000000
CLP
2023-07-14
-123.33000000
N
N
N
TITULOS DE TESORERIA
549300MHDRBVRF6B9117
Colombian TES
000000000
105300000.00000000
PA
16693.38000000
0.090284150919
Long
DBT
NUSS
CO
N
2
2032-06-30
Fixed
7.00000000
N
N
N
N
N
N
Goldman Sachs International
W22LROWP2IHZNBB6K528
PURCHASED SGD / SOLD USD
000000000
1.00000000
NC
-155.28000000
-0.00083981332
N/A
DFE
SG
N
2
Goldman Sachs International
W22LROWP2IHZNBB6K528
15186.57000000
USD
20000.00000000
SGD
2023-07-14
-155.28000000
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
3128MJYT1
3225.98000000
PA
USD
2961.39000000
0.016016323937
Long
ABS-MBS
USGSE
US
N
2
2046-09-01
Fixed
3.00000000
N
N
N
N
N
N
LEVEL 3 FINANCING INC
254900AE5FEFIJOXWL19
Level 3 Financing Inc
527298BS1
15000.00000000
PA
USD
8414.40000000
0.045508276903
Long
DBT
CORP
US
N
2
2029-01-15
Fixed
3.63000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36179SB89
1465.98000000
PA
USD
1400.72000000
0.007575626738
Long
ABS-MBS
USGA
US
N
2
2046-05-20
Fixed
3.50000000
N
N
N
N
N
N
TCW Emerging Markets Income Fund
549300TJW8MTVSLYJW58
TCW Emerging Markets Income Fund
87234N765
94093.65000000
NS
USD
574912.21000000
3.109343987441
Long
EC
RF
US
N
1
N
N
N
IMPERIAL BRANDS FIN PLC
2138008L3B3MCG1DFS50
Imperial Brands Finance PLC
000000000
50000.00000000
PA
64032.01000000
0.346309474445
Long
DBT
CORP
GB
Y
2
2024-03-15
Fixed
8.13000000
N
N
N
N
N
N
KOREA TREASURY BOND
549300O0QCVSQGPGDT58
Korea Treasury Bond
000000000
322380000.00000000
PA
219114.34000000
1.185053724361
Long
DBT
NUSS
KR
N
2
2031-06-10
Fixed
2.00000000
N
N
N
N
N
N
State Street Bank & Trust Co.
571474TGEMMWANRLN572
PURCHASED USD / SOLD JPY
000000000
1.00000000
NC
768.51000000
0.004156394500
N/A
DFE
US
N
2
State Street Bank & Trust Co.
571474TGEMMWANRLN572
2511000.00000000
JPY
19414.80000000
USD
2023-07-14
768.51000000
N
N
N
AERCAP IRELAND CAP/GLOBA
N/A
AerCap Ireland Capital DAC / AerCap Global Aviation Trust
00774MAE5
10000.00000000
PA
USD
9279.07000000
0.050184741273
Long
DBT
CORP
IE
N
2
2028-01-23
Fixed
3.88000000
N
N
N
N
N
N
UNITED KINGDOM GILT
ECTRVYYCEF89VWYS6K36
United Kingdom Gilt
000000000
259000.00000000
PA
246828.82000000
1.334944177641
Long
DBT
NUSS
GB
Y
2
2033-07-31
Fixed
0.88000000
N
N
N
N
N
N
Goldman Sachs International
W22LROWP2IHZNBB6K528
PURCHASED USD / SOLD RON
000000000
1.00000000
NC
-1282.49000000
-0.00693619391
N/A
DFE
US
N
2
Goldman Sachs International
W22LROWP2IHZNBB6K528
384538.75000000
RON
84705.76000000
USD
2023-07-14
-1282.49000000
N
N
N
EUROPEAN UNION
529900FZRK8FGMPEOM08
European Union
000000000
150000.00000000
PA
138684.90000000
0.750060709206
Long
DBT
NUSS
XX
Y
2
2029-07-04
None
0.00000000
N
N
N
N
N
N
Chicago Board of Trade
549300EX04Q2QBFQTQ27
US 10YR ULTRA FUT JUN23
000000000
-12.00000000
NC
USD
-35241.24000000
-0.19059803531
N/A
DIR
US
N
1
Chicago Board of Trade
549300EX04Q2QBFQTQ27
Short
CBOT Ultra 10-Year U.S. Treasury Notes Futures
UXYM3 Comdty
2023-06-21
-1422196.26000000
USD
-35241.24000000
N
N
N
AMERICAN TOWER CORP
5493006ORUSIL88JOE18
American Tower Corp
03027XBZ2
15000.00000000
PA
USD
15583.95000000
0.084283931338
Long
DBT
US
N
2
2033-03-15
Fixed
5.65000000
N
N
N
N
N
N
CANADIAN GOVERNMENT
4BFD7AQU0A75QLAHK410
Canadian Government Bond
135087N59
149000.00000000
PA
102590.61000000
0.554849054904
Long
DBT
NUSS
CA
N
2
2032-06-01
Fixed
2.00000000
N
N
N
N
N
N
Fanniemae-Aces
B1V7KEBTPIMZEU4LTD58
Fannie Mae-Aces
3136AQ5K2
132732.43000000
PA
USD
1183.65000000
0.006401629582
Long
ABS-MBS
USGSE
US
N
2
2036-04-25
Variable
2.04000000
N
N
N
N
N
N
DENTSPLY SIRONA INC
9NHEHR1SOZCYXDO8HO28
DENTSPLY SIRONA Inc
24906PAA7
20000.00000000
PA
USD
17764.69000000
0.096078203036
Long
DBT
CORP
US
N
2
2030-06-01
Fixed
3.25000000
N
N
N
N
N
N
GRAPHIC PACKAGING INTERN
SO75N4VY5NXGQSK8YQ65
Graphic Packaging International LLC
38869PAM6
27000.00000000
PA
USD
26628.75000000
0.144018412316
Long
DBT
CORP
US
N
2
2024-08-15
Fixed
4.13000000
N
N
N
N
N
N
EUROPEAN UNION
529900FZRK8FGMPEOM08
European Union
000000000
102000.00000000
PA
110034.92000000
0.595110715965
Long
DBT
NUSS
XX
Y
2
2033-02-04
Fixed
2.75000000
N
N
N
N
N
N
ESC CB144A INTELSAT JA
N/A
ESC CB144A INTELSAT JA
458ESCAC4
15000.00000000
PA
USD
0.00000000
0.000000
Long
DBT
CORP
LU
N
3
2025-07-15
None
0.00000000
N
N
N
N
N
N
IMPERIAL BRANDS FIN PLC
2138008L3B3MCG1DFS50
Imperial Brands Finance PLC
45262BAC7
13000.00000000
PA
USD
11741.86000000
0.063504446691
Long
DBT
CORP
GB
N
2
2029-07-26
Fixed
3.88000000
N
N
N
N
N
N
BONOS Y OBLIG DEL ESTADO
9598007A56S18711AH60
Spain Government Bond
000000000
98000.00000000
PA
90563.10000000
0.489799704321
Long
DBT
NUSS
ES
Y
2
2035-07-30
Fixed
1.85000000
N
N
N
N
N
N
CITIGROUP INC
6SHGI4ZSSLCXXQSBB395
Citigroup Inc
17308CC53
25000.00000000
PA
USD
21952.25000000
0.118726120894
Long
DBT
CORP
US
N
2
2030-11-05
Fixed
2.98000000
N
N
N
N
N
N
NORWEGIAN GOVERNMENT
549300L0BT3FJTN9MX24
Norway Government Bond
000000000
1490000.00000000
PA
123676.09000000
0.668887353830
Long
DBT
NUSS
NO
Y
2
2030-08-19
Fixed
1.38000000
N
N
N
N
N
N
T-MOBILE USA INC
549300V2JRLO5DIFGE82
T-Mobile USA Inc
87264ABU8
55000.00000000
PA
USD
51667.55000000
0.279437770052
Long
DBT
CORP
US
N
2
2026-04-15
Fixed
2.63000000
N
N
N
N
N
N
MEX BONOS DESARR FIX RT
254900EGTWEU67VP6075
Mexican Bonos
000000000
400000.00000000
PA
19611.06000000
0.106064074545
Long
DBT
NUSS
MX
N
2
2053-07-31
Fixed
8.00000000
N
N
N
N
N
N
AMERICAN HOMES 4 RENT
549300N4PXZ37U8QKI55
American Homes 4 Rent LP
02666TAD9
35000.00000000
PA
USD
23214.80000000
0.125554471698
Long
DBT
US
N
2
2051-07-15
Fixed
3.38000000
N
N
N
N
N
N
Student Loan Consolidation Center Student Loan
5493008KMDJ3GC7JUA63
Student Loan Consolidation Center Student Loan Trust I
86386MAX2
50000.00000000
PA
USD
46190.95000000
0.249818233390
Long
ABS-O
CORP
US
N
2
2042-07-01
Floating
1.65000000
N
N
N
N
N
N
SK HYNIX INC
988400XAIK6XISWQV045
SK Hynix Inc
000000000
200000.00000000
PA
USD
201124.00000000
1.087755120264
Long
DBT
CORP
KR
Y
2
2028-01-17
Fixed
6.38000000
N
N
N
N
N
N
MEX BONOS DESARR FIX RT
254900EGTWEU67VP6075
Mexican Bonos
000000000
1100000.00000000
PA
57901.08000000
0.313151072168
Long
DBT
NUSS
MX
N
2
2038-11-18
Fixed
8.50000000
N
N
N
N
N
N
JP Morgan Mortgage Trust
N/A
JP Morgan Mortgage Trust 2021-8
46592TAC7
105004.93000000
PA
USD
86775.05000000
0.469312488557
Long
ABS-MBS
CORP
US
N
2
2051-12-25
Variable
2.50000000
N
N
N
N
N
N
INTELSAT JACKSON HLDG
8XJ8KF85PBKK1TLMFN29
Intelsat Jackson Holdings SA
45824TBC8
39000.00000000
PA
USD
36266.49000000
0.196142977424
Long
DBT
CORP
LU
N
2
2030-03-15
Fixed
6.50000000
N
N
N
N
N
N
Goldman Sachs International
W22LROWP2IHZNBB6K528
PURCHASED USD / SOLD GBP
000000000
1.00000000
NC
-3460.22000000
-0.01871418638
N/A
DFE
US
N
2
Goldman Sachs International
W22LROWP2IHZNBB6K528
275241.72000000
GBP
342992.47000000
USD
2023-07-14
-3460.22000000
N
N
N
BUNDESREPUB. DEUTSCHLAND
529900AQBND3S6YJLY83
Bundesrepublik Deutschland Bundesanleihe
000000000
67000.00000000
PA
37595.72000000
0.203331959040
Long
DBT
NUSS
DE
Y
2
2052-08-15
None
0.00000000
N
N
N
N
N
N
Bear Stearns Alt-A Trust
N/A
Bear Stearns ALT-A Trust 2004-8
07386HKV2
102093.28000000
PA
USD
94450.74000000
0.510825540700
Long
ABS-MBS
CORP
US
N
2
2034-09-25
Floating
6.75000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31418AZS0
18794.99000000
PA
USD
18278.90000000
0.098859246374
Long
ABS-MBS
USGSE
US
N
2
2033-11-01
Fixed
3.50000000
N
N
N
N
N
N
Citibank N.A.
E57ODZWZ7FF32TWEFA76
PURCHASED CZK / SOLD USD
000000000
1.00000000
NC
36.45000000
0.000197135469
N/A
DFE
CZ
N
2
Citibank N.A.
E57ODZWZ7FF32TWEFA76
26629.10000000
USD
569000.00000000
CZK
2023-07-14
36.45000000
N
N
N
GS Mortgage-Backed Securities Trust
N/A
GS Mortgage-Backed Securities Corp Trust 2021-PJ5
36261HAA8
85046.43000000
PA
USD
68078.51000000
0.368194486150
Long
ABS-MBS
CORP
US
N
2
2051-10-25
Variable
2.00000000
N
N
N
N
N
N
Eurex Deutschland
529900LN3S50JPU47S06
EURO-BOBL FUTURE JUN23
000000000
1.00000000
NC
-597.84000000
-0.00323334619
N/A
DIR
DE
N
1
Eurex Deutschland
529900LN3S50JPU47S06
Long
EUX Euro-Bobl Futures
OEM3 Comdty
2023-06-08
118511.52000000
EUR
-597.84000000
N
N
N
CITIGROUP INC
6SHGI4ZSSLCXXQSBB395
Citigroup Inc
17327CAQ6
80000.00000000
PA
USD
68306.40000000
0.369427001983
Long
DBT
CORP
US
N
2
2033-01-25
Fixed
3.06000000
N
N
N
N
N
N
FRANCE (GOVT OF)
969500KCGF3SUYJHPV70
French Republic Government Bond OAT
000000000
373000.00000000
PA
385947.98000000
2.087353530164
Long
DBT
NUSS
FR
Y
2
2027-05-25
Fixed
1.00000000
N
N
N
N
N
N
AMGEN INC
62QBXGPJ34PQ72Z12S66
Amgen Inc
031162DT4
20000.00000000
PA
USD
20716.40000000
0.112042173850
Long
DBT
CORP
US
N
2
2053-03-02
Fixed
5.65000000
N
N
N
N
N
N
HSBC HOLDINGS PLC
MLU0ZO3ML4LN2LL2TL39
HSBC Holdings PLC
404280CT4
15000.00000000
PA
USD
12286.80000000
0.066451689563
Long
DBT
CORP
GB
N
2
2032-05-24
Fixed
2.80000000
N
N
N
N
N
N
China Development Bank
300300C1020111000029
China Development Bank
000000000
200000.00000000
PA
29773.84000000
0.161028255752
Long
DBT
NUSS
CN
N
2
2029-01-08
Fixed
3.48000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae
21H042653
100000.00000000
PA
USD
98063.46000000
0.530364505110
Long
ABS-MBS
USGA
US
N
2
2053-05-18
Fixed
4.50000000
N
N
N
N
N
N
Structured Asset Mortgage Investments Inc
N/A
Structured Asset Mortgage Investments II Trust 2005-AR6
86359LNA3
22341.25000000
PA
USD
19611.65000000
0.106067265489
Long
ABS-MBS
CORP
US
N
2
2045-09-25
Floating
5.64000000
N
N
N
N
N
N
Resimac
N/A
RESIMAC Premier Series 2021-1
76123EAA9
110398.25000000
PA
USD
109807.29000000
0.593879606312
Long
ABS-MBS
CORP
AU
N
2
2052-07-10
Floating
5.59000000
N
N
N
N
N
N
Citibank N.A.
E57ODZWZ7FF32TWEFA76
PURCHASED THB / SOLD USD
000000000
1.00000000
NC
149.01000000
0.000805902778
N/A
DFE
TH
N
2
Citibank N.A.
E57ODZWZ7FF32TWEFA76
20083.32000000
USD
686000.00000000
THB
2023-07-14
149.01000000
N
N
N
Goldman Sachs International
W22LROWP2IHZNBB6K528
PURCHASED CLP / SOLD USD
000000000
1.00000000
NC
197.49000000
0.001068101065
N/A
DFE
CL
N
2
Goldman Sachs International
W22LROWP2IHZNBB6K528
8741.22000000
USD
7240000.00000000
CLP
2023-07-14
197.49000000
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
Long: SWFLCH011 IRS EUR R F 3.50000 SWFLCH011_FIX CCPOIS / Short: SWFLCH011 IRS EUR P V 12MESTR SWFLCH011_FLO CCPOIS
000000000
600000.00000000
OU
Notional Amount
4141.26000000
0.022397509841
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2025-06-16
1093.37000000
EUR
0.00000000
EUR
600000.00000000
EUR
2943.15000000
N
N
N
Goldman Sachs International
W22LROWP2IHZNBB6K528
PURCHASED USD / SOLD MXN
000000000
1.00000000
NC
-1398.48000000
-0.00756351196
N/A
DFE
US
N
2
Goldman Sachs International
W22LROWP2IHZNBB6K528
1695933.69000000
MXN
91251.41000000
USD
2023-07-14
-1398.48000000
N
N
N
JP Morgan Mortgage Trust
N/A
JP Morgan Mortgage Trust 2005-A6
466247UG6
10559.65000000
PA
USD
8823.01000000
0.047718195260
Long
ABS-MBS
CORP
US
N
2
2035-08-25
Variable
4.01000000
N
N
N
N
N
N
ICE Futures Europe - Financial Products Division
N/A
LONG GILT FUTURE JUN23
000000000
-1.00000000
NC
-428.92000000
-0.00231976256
N/A
DIR
GB
N
1
ICE Futures Europe - Financial Products Division
N/A
Short
Long Gilt Futures
G M3 Comdty
2023-06-28
-101118.75000000
GBP
-428.92000000
N
N
N
HCA INC
L3CJ6J7LJ2DX62FTXD46
HCA Inc
404119CA5
21000.00000000
PA
USD
18912.79000000
0.102287564691
Long
DBT
CORP
US
N
2
2030-09-01
Fixed
3.50000000
N
N
N
N
N
N
NETHERLANDS GOVERNMENT
254900G14ALGVKORFN62
Netherlands Government Bond
000000000
46000.00000000
PA
35659.01000000
0.192857494436
Long
DBT
NUSS
NL
Y
2
2040-01-15
Fixed
0.50000000
N
N
N
N
N
N
Goldman Sachs International
W22LROWP2IHZNBB6K528
PURCHASED USD / SOLD SEK
000000000
1.00000000
NC
-657.18000000
-0.00355427949
N/A
DFE
US
N
2
Goldman Sachs International
W22LROWP2IHZNBB6K528
424000.00000000
SEK
40832.26000000
USD
2023-07-14
-657.18000000
N
N
N
BALL CORP
0BGI85ALH27ZJP15DY16
Ball Corp
058498AY2
8000.00000000
PA
USD
8315.36000000
0.044972630898
Long
DBT
CORP
US
N
2
2028-03-15
Fixed
6.88000000
N
N
N
N
N
N
IRISH TSY 1.3% 2033
549300KXBEJAOJ9OVF93
Ireland Government Bond
000000000
65000.00000000
PA
62714.23000000
0.339182418786
Long
DBT
NUSS
IE
N
2
2033-05-15
Fixed
1.30000000
N
N
N
N
N
N
HEALTHCARE RLTY HLDGS LP
549300IYGAS4GE6VDL07
Healthcare Realty Holdings LP
42225UAG9
75000.00000000
PA
USD
65425.52000000
0.353846106759
Long
DBT
US
N
2
2030-02-15
Fixed
3.10000000
N
N
N
N
N
N
Sixth Street CLO LTD.
N/A
Sixth Street CLO XVII Ltd
83012FAA6
150000.00000000
PA
USD
147370.50000000
0.797035738902
Long
ABS-CBDO
CORP
KY
N
2
2034-01-20
Floating
6.49000000
N
N
N
N
N
N
GREENSAIF PIPELINES BIDC
549300YWDGUXPB8GRP47
Greensaif Pipelines Bidco Sarl
39541EAA1
200000.00000000
PA
USD
210474.88000000
1.138328237341
Long
DBT
CORP
LU
N
2
2038-02-23
Fixed
6.13000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140QNWH1
186672.36000000
PA
USD
155388.38000000
0.840399484768
Long
ABS-MBS
USGSE
US
N
2
2052-01-01
Fixed
2.00000000
N
N
N
N
N
N
POLAND GOVERNMENT BOND
259400R9L8QEP0TPXS31
Republic of Poland Government Bond
000000000
165000.00000000
PA
28709.48000000
0.155271791880
Long
DBT
NUSS
PL
N
2
2032-04-25
Fixed
1.75000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Pool
3132DMHG3
94290.02000000
PA
USD
85938.94000000
0.464790487535
Long
ABS-MBS
USGSE
US
N
2
2050-01-01
Fixed
3.00000000
N
N
N
N
N
N
AMERICAN HOMES 4 RENT
549300N4PXZ37U8QKI55
American Homes 4 Rent LP
02666TAF4
10000.00000000
PA
USD
7793.80000000
0.042151835963
Long
DBT
US
N
2
2052-04-15
Fixed
4.30000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38378AMF5
35187.75000000
PA
USD
6344.47000000
0.034313307849
Long
ABS-MBS
USGA
US
N
2
2041-11-16
Fixed
5.00000000
N
N
N
N
N
N
Textainer Marine Containers Limited
549300X48KLHDDGPK024
Textainer Marine Containers VII Ltd
88315LAQ1
96600.00000000
PA
USD
84700.73000000
0.458093776713
Long
ABS-O
CORP
BM
N
2
2046-04-20
Fixed
2.23000000
N
N
N
N
N
N
UNITED KINGDOM GILT
ECTRVYYCEF89VWYS6K36
United Kingdom Gilt
000000000
95000.00000000
PA
90718.36000000
0.490639409478
Long
DBT
NUSS
GB
Y
2
2037-09-07
Fixed
1.75000000
N
N
N
N
N
N
Bayer US Finance II LLC
529900XWNEXYNJ3X6T40
Bayer US Finance II LLC
07274NAN3
51000.00000000
PA
USD
46774.65000000
0.252975105089
Long
DBT
CORP
US
N
2
2038-06-25
Fixed
4.63000000
N
N
N
N
N
N
UNITED KINGDOM GILT
ECTRVYYCEF89VWYS6K36
United Kingdom Gilt
000000000
80000.00000000
PA
105429.81000000
0.570204528828
Long
DBT
NUSS
GB
Y
2
2032-06-07
Fixed
4.25000000
N
N
N
N
N
N
NORWEGIAN GOVERNMENT
549300L0BT3FJTN9MX24
Norway Government Bond
000000000
497000.00000000
PA
42822.15000000
0.231598481152
Long
DBT
NUSS
NO
Y
2
2032-05-18
Fixed
2.13000000
N
N
N
N
N
N
Goldman Sachs International
W22LROWP2IHZNBB6K528
PURCHASED USD / SOLD BRL
000000000
1.00000000
NC
-4.04000000
-0.00002184985
N/A
DFE
US
N
2
Goldman Sachs International
W22LROWP2IHZNBB6K528
1558.11000000
BRL
303.19000000
USD
2023-07-14
-4.04000000
N
N
N
SASOL FINANCING USA LLC
549300XRB1PFMESFEL85
Sasol Financing USA LLC
80386WAF2
200000.00000000
PA
USD
201000.00000000
1.087084481082
Long
DBT
CORP
US
N
2
2029-05-03
Fixed
8.75000000
N
N
N
N
N
N
NEW ZEALAND GOVERNMENT
549300237GPHG2AI7C34
New Zealand Government Bond
000000000
580000.00000000
PA
363424.45000000
1.965537709656
Long
DBT
NUSS
NZ
Y
2
2027-04-15
Fixed
4.50000000
N
N
N
N
N
N
HCA INC
L3CJ6J7LJ2DX62FTXD46
HCA Inc
404119BZ1
34000.00000000
PA
USD
30828.59000000
0.166732745087
Long
DBT
CORP
US
N
2
2049-06-15
Fixed
5.25000000
N
N
N
N
N
N
FRANCE (GOVT OF)
969500KCGF3SUYJHPV70
French Republic Government Bond OAT
000000000
53000.00000000
PA
30671.84000000
0.165884981444
Long
DBT
NUSS
FR
Y
2
2053-05-25
Fixed
0.75000000
N
N
N
N
N
N
Citibank N.A.
E57ODZWZ7FF32TWEFA76
PURCHASED USD / SOLD NZD
000000000
1.00000000
NC
333.26000000
0.001802396886
N/A
DFE
US
N
2
Citibank N.A.
E57ODZWZ7FF32TWEFA76
30000.00000000
NZD
18855.99000000
USD
2023-07-17
333.26000000
N
N
N
Goldman Sachs International
W22LROWP2IHZNBB6K528
PURCHASED EUR / SOLD USD
000000000
1.00000000
NC
7162.40000000
0.038736984513
N/A
DFE
XX
N
2
Goldman Sachs International
W22LROWP2IHZNBB6K528
738087.83000000
USD
672324.42000000
EUR
2023-07-14
7162.40000000
N
N
N
KILROY REALTY LP
5493008CT3N3JR7P1552
Kilroy Realty LP
49427RAR3
15000.00000000
PA
USD
9951.90000000
0.053823661926
Long
DBT
US
N
2
2033-11-15
Fixed
2.65000000
N
N
N
N
N
N
CHARTER COMM OPT LLC/CAP
N/A
Charter Communications Operating LLC / Charter Communications Operating Capital
161175BL7
81000.00000000
PA
USD
66380.31000000
0.359009974380
Long
DBT
CORP
US
N
2
2047-05-01
Fixed
5.38000000
N
N
N
N
N
N
INTELSAT JACKSON HOLDINGS S A
N/A
INTELSAT JACKSON HOLDINGS S A
000000000
35.00000000
NS
USD
0.00000000
0.000000
N/A
DE
LU
N
3
N/A
N/A
INTELSAT EMERGENCE SA
INTELSAT EMERGENCE SA
2025-12-05
XXXX
0.00000000
N
N
N
Goldman Sachs International
W22LROWP2IHZNBB6K528
PURCHASED USD / SOLD CAD
000000000
1.00000000
NC
961.13000000
0.005198156752
N/A
DFE
US
N
2
Goldman Sachs International
W22LROWP2IHZNBB6K528
161767.87000000
CAD
120406.43000000
USD
2023-07-14
961.13000000
N
N
N
Singapore Government
549300ZSV6VOGFH1ER70
Singapore Government Bond
000000000
89000.00000000
PA
64859.30000000
0.350783773551
Long
DBT
NUSS
SG
N
2
2039-07-01
Fixed
2.38000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140X6FL0
126120.67000000
PA
USD
114950.41000000
0.621695556244
Long
ABS-MBS
USGSE
US
N
2
2050-03-01
Fixed
3.00000000
N
N
N
N
N
N
UMBS, TBA
N/A
Uniform Mortgage-Backed Security, TBA
01F022659
200000.00000000
PA
USD
173098.40000000
0.936182011642
Long
ABS-MBS
USGSE
US
N
2
2053-05-15
Fixed
2.50000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae
21H050656
50000.00000000
PA
USD
49784.55000000
0.269253789565
Long
ABS-MBS
USGA
US
N
2
2053-05-18
Fixed
5.00000000
N
N
N
N
N
N
FRANCE (GOVT OF)
969500KCGF3SUYJHPV70
French Republic Government Bond OAT
000000000
163000.00000000
PA
142698.35000000
0.771766973935
Long
DBT
NUSS
FR
Y
2
2031-11-25
None
0.00000000
N
N
N
N
N
N
ISRAEL FIXED BOND
213800T8ZHTFZIBYPE21
Israel Government Bond - Fixed
000000000
116000.00000000
PA
25763.42000000
0.139338378415
Long
DBT
NUSS
IL
N
2
2032-04-30
Fixed
1.30000000
N
N
N
N
N
N
2023-05-17
TCW FUNDS INC
Richard Villa
Richard Villa
Treasurer