NPORT-P false 0001003239 XXXXXXXX S000008041 C000021826 C000109742 SEASONS SERIES TRUST 811-07725 0001003239 549300O318N6OBWGKN57 21650 Oxnard Street Woodland Hills 91367 800-445-7862 SA Wellington Real Return Portfolio S000008041 HTUFSP9PEUEQNBLPPW58 2021-03-31 2020-09-30 N 652741991.01 41609963.66 611132027.35 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 37836994.80000000 0.00000000 0.00000000 0.00000000 AUD GBP USD JPY CAD EUR N AVSC Holding Corp. 549300CLJBQ9YSR4U689 00241YAM6 197974.68000000 PA USD 146913.64000000 0.024039591025 Long LON CORP US N 2 2025-03-03 Floating 4.25000000 N N N N N N Bio Lam LCD SELAS N/A 000000000 185000.00000000 PA 212745.83000000 0.034811762512 Long LON CORP FR N 2 2026-04-25 Floating 0.00000000 N N N N N N United States Treasury 254900HROIFWPRGM1V77 912810SB5 1281646.60000000 PA USD 1770474.62000000 0.289704113148 Long DBT UST US N 2 2048-02-15 Fixed 1.00000000 N N N N N N TSY 0 1/8% 2026 I/L GILT ECTRVYYCEF89VWYS6K36 000000000 5674747.10000000 PA 8672314.38000000 1.419057419982 Long DBT NUSS GB N 2 2026-03-22 Fixed 0.13000000 N N N N N N Magnetite CLO Ltd 549300B54XJTQC6DWJ15 55951PBA4 2000000.00000000 PA USD 1979810.00000000 0.323957821124 Long ABS-CBDO CORP KY N 2 2028-01-15 Floating 1.08000000 N N N N N N LCM Ltd Partnership 549300VQTTD2PAP2Y421 50188WAE8 1625000.00000000 PA USD 1609959.00000000 0.263438819755 Long ABS-CBDO CORP KY N 2 2027-10-20 Floating 1.31000000 N N N N N N Brookfield WEC Holdings Inc. 5493002M6GRSU1IWMG57 11284EAL7 98743.71000000 PA USD 96134.01000000 0.015730481417 Long LON CORP US N 2 2025-08-01 Floating 3.75000000 N N N N N N Medallion Midland Acquisition, LLC N/A 58404BAB1 146977.36000000 PA USD 137913.71000000 0.022566925611 Long LON CORP US N 2 2024-10-30 Floating 4.25000000 N N N N N N Penn National Gaming, Inc. N/A 70757DAV1 221062.50000000 PA USD 214667.38000000 0.035126187205 Long LON CORP US N 2 2025-10-15 Floating 3.00000000 N N N N N N Circor International, Inc. 5493007701O01N3FQM69 17273LAJ6 244936.02000000 PA USD 239271.87000000 0.039152238680 Long LON CORP US N 2 2024-12-11 Floating 4.25000000 N N N N N N Belron Finance US LLC N/A 08078UAD5 186675.00000000 PA USD 183874.88000000 0.030087586932 Long LON CORP US N 2 2025-11-13 Floating 2.75000000 N N N N N N IQVIA Inc. 549300PLWY28YB00C717 44969CBF6 200000.00000000 PA USD 196821.40000000 0.032206035879 Long LON CORP US N 2 2024-03-07 Floating 1.90000000 N N N N N N ASP Unifrax Holdings Inc 549300RRU6BWJLD0YT71 00216UAC7 566375.00000000 PA USD 490622.34000000 0.080280907896 Long LON CORP US N 2 2025-12-12 Floating 3.97000000 N N N N N N Boyd Gaming Corporation 254900787YGRYS2A1Z35 10330JAU2 249055.73000000 PA USD 241708.59000000 0.039550961033 Long LON CORP US N 2 2023-09-15 Floating 2.36000000 N N N N N N Clear Channel Outdoor Holdings, Inc. N/A 18452RAD7 282150.00000000 PA USD 256555.04000000 0.041980296976 Long LON CORP US N 2 2026-08-21 Floating 3.76000000 N N N N N N United States Treasury 254900HROIFWPRGM1V77 9128285W6 81158565.80000000 PA USD 94565580.24000000 15.47383805919 Long DBT UST US N 2 2029-01-15 Fixed 0.88000000 N N N N N N DCert Buyer, Inc. 549300EF826JEEUCHZ67 24022KAB5 203975.00000000 PA USD 201017.36000000 0.032892624016 Long LON CORP US N 2 2026-10-16 Floating 4.15000000 N N N N N N Delta 2 (LUX) S.a.r.l. 549300BBG8Z3D6QSYP53 000000000 750000.00000000 PA USD 726042.00000000 0.118802806514 Long LON CORP GB N 2 2024-02-01 Floating 3.50000000 N N N N N N Clarios Global LP 549300474L1ZLXZY2P98 000000000 198000.00000000 PA USD 192802.50000000 0.031548420205 Long LON CORP CA N 2 2026-04-30 Floating 3.65000000 N N N N N N Milano Acquisition Corp N/A 000000000 115000.00000000 PA USD 113562.50000000 0.018582318536 Long LON CORP US N 2 2027-08-13 Floating 0.00000000 N N N N N N Barclays Bank PLC G5GSEF7VJP5I7OUK5573 000000000 1.00000000 NC -577068.15000000 -0.09442610175 N/A DFE US N 2 Barclays Bank PLC G5GSEF7VJP5I7OUK5573 34219000.00000000 GBP 43583850.61000000 USD 2020-10-30 -577068.15000000 N N N MSCI INC 549300HTIN2PD78UB763 55354GAF7 202000.00000000 PA USD 215635.00000000 0.035284519604 Long DBT CORP US N 2 2027-05-15 Fixed 5.38000000 N N N N N N Gray Television, Inc. 529900TM5726KDN7UU35 389376AY0 556516.08000000 PA USD 545695.18000000 0.089292518732 Long LON CORP US N 2 2026-01-02 Floating 2.66000000 N N N N N N Ion Media Networks Inc N/A 46205A103 233.00000000 NS USD 201649.07000000 0.032995991205 Long EC CORP US Y 3 N N N United States Treasury 254900HROIFWPRGM1V77 912810SM1 4548441.82000000 PA USD 5376163.49000000 0.879705734505 Long DBT UST US N 2 2050-02-15 Fixed 0.25000000 N N N N N N CENTENE CORP 549300Z7JJ4TQSQGT333 15135BAT8 375000.00000000 PA USD 404497.50000000 0.066188234603 Long DBT CORP US N 2 2029-12-15 Fixed 4.63000000 N N N N N N Lower Cadence Holdings LLC 549300GMUP7Q51T05S83 54805BAB5 98750.00000000 PA USD 90850.00000000 0.014865854829 Long LON CORP US N 2 2026-05-22 Floating 4.15000000 N N N N N N Starfruit Finco B.V 549300K7VB5G6LULFT41 000000000 124755.07000000 PA USD 120388.64000000 0.019699285033 Long LON CORP US N 2 2025-10-01 Floating 3.15000000 N N N N N N 1011778 B.C. Unlimited Liability Company 549300RHSHNRWI5LLA86 000000000 270934.45000000 PA USD 259951.85000000 0.042536119588 Long LON CORP CA N 2 2026-11-19 Floating 1.90000000 N N N N N N Asurion LLC 549300KNQVXGIOXWK278 04649VAU4 281818.18000000 PA USD 282019.40000000 0.046147049635 Long LON CORP US N 2 2025-08-04 Floating 6.65000000 N N N N N N Vericrest Opportunity Loan Transferee N/A 92870FAA8 1455057.77000000 PA USD 1455608.80000000 0.238182378742 Long ABS-O CORP US N 2 2049-12-27 Variable 3.43000000 N N N N N N Quad/Graphics Inc W2D68G5NJH4X0NW8PT65 747301109 56.00000000 NS USD 169.68000000 0.000027764867 Long EC CORP US N 1 N N N Agiliti Health, Inc 25490002CCQ55NKGNB14 00847YAC6 123437.50000000 PA USD 119734.38000000 0.019592227970 Long LON CORP US N 2 2026-01-04 Floating 3.19000000 N N N N N N Zelis Healthcare Corporation 549300U8NGLZN5R1Y309 98932TAC7 397000.00000000 PA USD 393443.67000000 0.064379487965 Long LON CORP US N 2 2026-09-30 Floating 4.90000000 N N N N N N BNP Paribas (London, GB, Branch) CGKPTUL0E6IIWC1NOM75 000000000 1605000.00000000 PA USD 1605000.00000000 0.262627374801 Long RA CORP US N 2 Repurchase N 0.05000000 2020-10-01 1330069.94800000 USD 1656438.57400000 USD UST N N N Golden Entertainment, Inc. 549300P8YYCKQVJ0Y638 38101JAC0 97229.22000000 PA USD 93340.05000000 0.015273303610 Long LON CORP US N 2 2024-10-21 Floating 3.75000000 N N N N N N Atlas Senior Loan Fund LTD N/A 04941VAC9 3435992.63000000 PA USD 3405419.17000000 0.557231337517 Long ABS-O CORP KY N 2 2028-04-20 Floating 1.14000000 N N N N N N TSY 1 7/8% 2022 I/L GILT ECTRVYYCEF89VWYS6K36 000000000 3761662.70000000 PA 5369643.13000000 0.878638803023 Long DBT NUSS GB N 2 2022-11-22 Fixed 1.88000000 N N N N N N CenturyLink, Inc. 8M3THTGWLTYZVE6BBY25 15669GAH7 168725.00000000 PA USD 161765.09000000 0.026469745122 Long LON CORP US N 2 2027-03-15 Floating 2.40000000 N N N N N N Benchmark Mortgage Trust N/A 08162VAF5 7628981.45000000 PA USD 617243.34000000 0.100999998752 Long ABS-MBS CORP US N 2 2062-03-15 Variable 1.39000000 N N N N N N AUSTRALIAN GOVERNMENT 213800J6B7JSBDETCB42 000000000 11800000.00000000 PA 9737765.20000000 1.593397950721 Long DBT NUSS AU N 2 2027-11-21 Fixed 0.75000000 N N N N N N Kestrel Bidco Inc. N/A 000000000 153837.50000000 PA USD 132829.14000000 0.021734933542 Long LON CORP CA N 2 2026-12-11 Floating 4.00000000 N N N N N N Atrium CDO Corp 549300BF3YFW8EHN6F75 04966HAA4 3700000.00000000 PA USD 3672886.40000000 0.600997204470 Long ABS-CBDO CORP KY N 2 2030-11-21 Floating 1.44000000 N N N N N N Hub International Limited 549300JQT6ATTUNS5E06 44332EAP1 269486.22000000 PA USD 259919.46000000 0.042530819588 Long LON CORP US N 2 2025-04-25 Floating 3.26000000 N N N N N N Chicago Board of Trade 549300EX04Q2QBFQTQ27 000000000 -29.00000000 NC USD -13224.95000000 -0.00216400866 N/A DIR US N 1 Chicago Board of Trade 549300EX04Q2QBFQTQ27 Short US 10 Year Ultra Bond UXYZ0 Comdty 2020-12-21 -4624509.43000000 USD -13224.95000000 N N N FRANCE (GOVT OF) 969500KCGF3SUYJHPV70 000000000 5039743.80000000 PA 6130061.88000000 1.003066703373 Long DBT NUSS FR N 2 2025-03-01 Fixed 0.10000000 N N N N N N BUONI POLIENNALI DEL TES 815600DE60799F5A9309 000000000 18175325.60000000 PA 23349842.92000000 3.820752615641 Long DBT NUSS IT N 2 2024-09-15 Fixed 2.35000000 N N N N N N GARTNER INC PP55B5R38BFB8O8HH686 366651AE7 205000.00000000 PA USD 207367.75000000 0.033931743178 Long DBT CORP US N 2 2030-10-01 Fixed 3.75000000 N N N N N N INTER-AMERICAN DEVEL BK VKU1UKDS9E7LYLMACP54 000000000 2880000.00000000 PA 2421611.53000000 0.396250142624 Long DBT NUSS XX N 2 2029-06-26 Fixed 3.15000000 N N N N N N NEP/NCP Holdco, Inc. N/A 62908HAD7 108075.00000000 PA USD 92674.31000000 0.015164368066 Long LON CORP US N 2 2025-10-20 Floating 3.40000000 N N N N N N FHLMC Multifamily Structured Pass Through Certs. N/A 3137FVNJ7 6279271.33000000 PA USD 587310.92000000 0.096102134026 Long ABS-MBS USGSE US N 2 2030-06-25 Variable 1.21000000 N N N N N N Starfruit Finco B.V 549300GD4NJGLPVYB245 000000000 100000.00000000 PA 115156.61000000 0.018843163972 Long LON CORP NL N 2 2025-10-01 Floating 3.25000000 N N N N N N CSC HOLDINGS LLC 3HG2WD2W22M120IUNG49 126307BF3 870000.00000000 PA USD 842377.50000000 0.137838873156 Long DBT CORP US N 2 2031-02-15 Fixed 3.38000000 N N N N N N CANADIAN GOVERNMENT RRB 4BFD7AQU0A75QLAHK410 135087YK4 13082434.05000000 PA 14565414.48000000 2.383349886465 Long DBT NUSS CA N 2 2041-12-01 Fixed 2.00000000 N N N N N N Apollo Aviation Securitization Equity Trust N/A 00255UAA3 304800.31000000 PA USD 280847.67000000 0.045955318561 Long ABS-O CORP US N 2 2040-01-16 Fixed 3.35000000 N N N N N N Deutsche Bank Securities Inc. 9J6MBOOO7BECTDTUZW19 000000000 1775000.00000000 PA USD 1775000.00000000 0.290444604531 Long RA CORP US N 2 Repurchase N 0.05000000 2020-10-01 1684295.04600000 USD 1814202.51600000 USD UST N N N Fannie Mae - CAS N/A 30711XY24 2927295.10000000 PA USD 2871254.08000000 0.469825496210 Long ABS-MBS USGSE US N 2 2031-01-25 Floating 2.50000000 N N N N N N AUSTRALIAN GOVERNMENT 213800J6B7JSBDETCB42 000000000 3500000.00000000 PA 3240767.40000000 0.530289242743 Long DBT NUSS AU N 2 2047-03-21 Fixed 3.00000000 N N N N N N NEW ZEALAND GVT ILB 549300237GPHG2AI7C34 000000000 2317000.00000000 PA 1920320.81000000 0.314223559568 Long DBT NUSS NZ N 2 2025-09-20 Fixed 2.00000000 N N N N N N Beacon Roofing Supply, Inc. 549300HDXQWWCBOYXP31 07368RAD3 269472.40000000 PA USD 260461.78000000 0.042619559823 Long LON CORP US N 2 2025-01-02 Floating 2.40000000 N N N N N N Morgan Stanley & Co. International PLC 4PQUHN3JPFGFNF3BB653 000000000 1.00000000 NC -640053.27000000 -0.10473240500 N/A DFE US N 2 Morgan Stanley & Co. International PLC 4PQUHN3JPFGFNF3BB653 92771519.00000000 EUR 108192743.06000000 USD 2020-10-30 -640053.27000000 N N N PowerTeam Services, LLC 549300J2G34D0WX8Z443 73937UAF5 300000.00000000 PA USD 291825.00000000 0.047751547446 Long LON CORP US N 2 2025-03-06 Floating 4.25000000 N N N N N N Credit Suisse Mortgage Trust N/A 12653AAA0 1144120.31000000 PA USD 1148631.69000000 0.187951479974 Long ABS-O CORP US N 2 2058-07-25 Variable 4.13000000 N N N N N N Cabot Microelectronics Corporation 31F6V1MN00ZW3XWB4J69 12709QAG6 400042.41000000 PA USD 392708.43000000 0.064259180083 Long LON CORP US N 2 2025-11-17 Floating 2.19000000 N N N N N N Go Daddy Operating Company, LLC 5493005GJOH8HLL11157 38017BAP1 114712.50000000 PA USD 112943.98000000 0.018481109636 Long LON CORP US N 2 2027-08-10 Floating 2.65000000 N N N N N N Berry Global, Inc. 549300AP2Q7ERHX6RI89 08579JBF8 197500.00000000 PA USD 191218.32000000 0.031289199623 Long LON CORP US N 2 2026-07-01 Floating 2.16000000 N N N N N N CANADIAN GOVERNMENT RRB 4BFD7AQU0A75QLAHK410 135087UL6 6440772.00000000 PA 5087897.89000000 0.832536614397 Long DBT NUSS CA N 2 2021-12-01 Fixed 4.25000000 N N N N N N UGI Energy Services, LLC 5493001O7RUKEUP5XR11 90276DAB5 301187.50000000 PA USD 299681.56000000 0.049037122354 Long LON CORP US N 2 2026-08-13 Floating 3.90000000 N N N N N N VICI Properties 1 LLC 549300XI4XP4JVS3XU20 92565EAB9 150000.00000000 PA USD 144712.50000000 0.023679416807 Long LON CORP US N 2 2024-12-20 Floating 1.91000000 N N N N N N NCI Building Systems, Inc. 549300IW41QEWQ6T0H29 72431HAB6 894035.10000000 PA USD 877830.71000000 0.143640108964 Long LON CORP US N 2 2025-04-12 Floating 3.90000000 N N N N N N Morgan Stanley & Co. International PLC 4PQUHN3JPFGFNF3BB653 000000000 1.00000000 NC -20806.27000000 -0.00340454583 N/A DFE US N 2 Morgan Stanley & Co. International PLC 4PQUHN3JPFGFNF3BB653 26002000.00000000 CAD 19508542.58000000 USD 2020-10-30 -20806.27000000 N N N Dryden Senior Loan Fund N/A 26249MAN7 2500000.00000000 PA USD 2478532.50000000 0.405564164383 Long ABS-CBDO CORP KY N 2 2031-01-15 Floating 1.38000000 N N N N N N TSY 0 1/8% 2024 I/L GILT ECTRVYYCEF89VWYS6K36 000000000 9464442.00000000 PA 13562886.46000000 2.219305461507 Long DBT NUSS GB N 2 2024-03-22 Fixed 0.13000000 N N N N N N Chicago Board of Trade 549300EX04Q2QBFQTQ27 000000000 64.00000000 NC USD 15882.88000000 0.002598927774 N/A DIR US N 1 Chicago Board of Trade 549300EX04Q2QBFQTQ27 Long 5 Year US Treasury Note FVZ0 Comdty 2020-12-31 8050117.12000000 USD 15882.88000000 N N N Savage Enterprises LLC N/A 80465JAD0 174558.28000000 PA USD 172899.98000000 0.028291755670 Long LON CORP US N 2 2025-08-01 Floating 3.16000000 N N N N N N AlixPartners, LLP 5493005G2MHUFTGARL57 01642PAW6 392376.74000000 PA USD 382147.09000000 0.062531019959 Long LON CORP US N 2 2024-04-04 Floating 2.65000000 N N N N N N Berry Global, Inc. 549300AP2Q7ERHX6RI89 08579JBD3 175000.00000000 PA USD 173541.73000000 0.028396765712 Long LON CORP US N 2 2022-10-01 Floating 2.16000000 N N N N N N Staples, Inc. XQM2JINI1UL7642TU573 855031AQ3 197500.00000000 PA USD 181770.51000000 0.029743247263 Long LON CORP US N 2 2026-04-16 Floating 5.25000000 N N N N N N Eurex Deutschland 529900LN3S50JPU47S06 000000000 -51.00000000 NC -24053.26000000 -0.00393585328 N/A DIR DE N 1 Eurex Deutschland 529900LN3S50JPU47S06 Short Euro-Bund (FGBL) RXZ0 Comdty 2020-12-08 -8880004.61000000 EUR -24053.26000000 N N N Univar Inc. 5493008FTB9VZW6CVA82 91335PAH2 99250.00000000 PA USD 96644.69000000 0.015814044375 Long LON CORP US N 2 2026-07-01 Floating 2.15000000 N N N N N N Ingersoll-Rand Services Company N/A 365556AU3 179550.00000000 PA USD 173377.97000000 0.028369969538 Long LON CORP BM N 2 2027-03-01 Floating 1.90000000 N N N N N N CF Hippolyta Issuer LLC N/A 12530MAA3 843000.00000000 PA USD 852526.57000000 0.139499573225 Long ABS-O CORP US N 2 2060-07-15 Fixed 1.69000000 N N N N N N Altice France S.A. 5493001ZMCICV4N02J21 000000000 196464.65000000 PA USD 188606.06000000 0.030861753526 Long LON CORP FR N 2 2026-01-31 Floating 3.84000000 N N N N N N Carlyle Global Market Strategies N/A 14310KAS0 1970951.32000000 PA USD 1934784.36000000 0.316590241291 Long ABS-CBDO CORP KY N 2 2031-01-15 Floating 1.28000000 N N N N N N BANK OF AMERICA MASTER NOTE B4TYDEB6GKMZO031MB27 000000000 1790000.00000000 PA USD 1790000.00000000 0.292899065977 Long RA CORP US N 2 Repurchase N 0.05000000 2020-10-01 1689376.86300000 USD 1822951.83700000 USD UST N N N Blackhawk Network Holdings, Inc 549300LFU3K8UIR03132 09238FAK7 294723.61000000 PA USD 277654.10000000 0.045432752265 Long LON CORP US N 2 2025-06-15 Floating 3.15000000 N N N N N N BUONI POLIENNALI DEL TES 815600DE60799F5A9309 000000000 8845282.53000000 PA 11239792.91000000 1.839175891130 Long DBT NUSS IT N 2 2023-09-15 Fixed 2.60000000 N N N N N N JAPAN GOVT CPI LINKED 353800WZS8AXZXFUC241 000000000 472338400.00000000 PA 4463399.70000000 0.730349499003 Long DBT NUSS JP N 2 2025-03-10 Fixed 0.10000000 N N N N N N United States Treasury 254900HROIFWPRGM1V77 912828ZJ2 6699572.40000000 PA USD 7130421.23000000 1.166756267204 Long DBT UST US N 2 2025-04-15 Fixed 0.13000000 N N N N N N Chicago Board of Trade 549300EX04Q2QBFQTQ27 000000000 28.00000000 NC USD 6573.76000000 0.001075669365 N/A DIR US N 1 Chicago Board of Trade 549300EX04Q2QBFQTQ27 Long US Treasury Long Bond USZ0 Comdty 2020-12-21 4929301.24000000 USD 6573.76000000 N N N Neuberger Berman CLO Ltd 549300O0S47F5VVOH518 64130CAN2 2393624.38000000 PA USD 2369937.07000000 0.387794611301 Long ABS-CBDO CORP KY N 2 2027-07-15 Floating 1.08000000 N N N N N N ROMANIA 315700IASY927EDWBK92 000000000 860000.00000000 PA 1227290.88000000 0.200822543259 Long DBT NUSS RO N 2 2049-04-03 Fixed 4.63000000 N N N N N N Web.com Group, Inc. 254900QSA9ZIGO5F5S30 94732YAS2 358926.93000000 PA USD 345467.17000000 0.056529056658 Long LON CORP US N 2 2025-10-10 Floating 3.90000000 N N N N N N BrightView Landscapes, LLC 549300OSAEQC89PVOW06 10801XAG2 171922.10000000 PA USD 169987.98000000 0.027815262887 Long LON CORP US N 2 2025-08-15 Floating 2.69000000 N N N N N N Freddie Mac - STACR 54930047IR7X5WWFY307 35563MAH9 1118456.31000000 PA USD 1107753.47000000 0.181262545640 Long ABS-MBS USGSE US N 2 2049-02-25 Floating 2.50000000 N N N N N N ASX Clear (Futures) 549300ZD7BBOVZFVHK49 000000000 71.00000000 NC 96549.88000000 0.015798530543 N/A DIR AU N 1 ASX Clear (Futures) 549300ZD7BBOVZFVHK49 Long 10 Year Commonwealth Treasury Bond XMZ0 Comdty 2020-12-15 10472091.04000000 AUD 96549.88000000 N N N Fannie Mae - CAS N/A 20753QAE9 393731.90000000 PA USD 391595.08000000 0.064077001772 Long ABS-MBS USGSE US N 2 2031-04-25 Floating 2.55000000 N N N N N N FRANCE (GOVT OF) 969500KCGF3SUYJHPV70 000000000 6853982.25000000 PA 8644207.07000000 1.414458199398 Long DBT NUSS FR N 2 2023-07-25 Fixed 2.10000000 N N N N N N AUSTRALIAN GOVERNMENT 213800J6B7JSBDETCB42 000000000 2855000.00000000 PA 3037545.56000000 0.497035897982 Long DBT NUSS AU N 2 2025-09-20 Fixed 3.00000000 N N N N N N Vericrest Opportunity Loan Transferee N/A 91834TAA5 432320.90000000 PA USD 433144.34000000 0.070875738893 Long ABS-O CORP US N 2 2050-01-25 Variable 3.23000000 N N N N N N BCP Renaissance Parent LLC 549300GVXMQFQZDSJR97 05549PAB7 171913.00000000 PA USD 158503.79000000 0.025936096114 Long LON CORP US N 2 2024-10-31 Floating 4.50000000 N N N N N N Envision Healthcare Corporation 549300OL60X0LPKY8N60 29373UAC5 679650.00000000 PA USD 484816.77000000 0.079330938046 Long LON CORP US N 2 2025-10-10 Floating 3.90000000 N N N N N N ROYAL BANK OF SCOTLAND REPO ROYAL BANK OF SCOTLAND REPO 549300WHU4EIHRP28H10 000000000 1695000.00000000 PA USD 1695000.00000000 0.277354143481 Long RA CORP US N 2 Repurchase N 0.05000000 2020-10-01 1600421.76600000 USD 1731082.56700000 USD UST N N N Ultimate Software Group Inc(The) 529900FKHWSTQ1GXK240 90385KAB7 99000.00000000 PA USD 98087.32000000 0.016050103023 Long LON CORP US N 2 2026-05-04 Floating 3.90000000 N N N N N N Bear Stearns Adjustable Rate Mortgage Trust N/A 07387ADJ1 937225.31000000 PA USD 920984.88000000 0.150701458732 Long ABS-MBS CORP US N 2 2035-08-25 Variable 3.20000000 N N N N N N Verisure Holding AB 549300VQQCWGISM3N408 000000000 155000.00000000 PA 181250.14000000 0.029658098723 Long LON CORP SE N 2 2026-07-20 Floating 4.00000000 N N N N N N Vertical Midco GmbH 549300C2AFWPAYWS5574 000000000 220000.00000000 PA USD 217996.46000000 0.035670927106 Long LON CORP US N 2 2027-07-30 Floating 4.57000000 N N N N N N BARCLAYS DEZOETE WEDD INCORPORATED AC28XWWI3WIBK2824319 000000000 1605000.00000000 PA USD 1605000.00000000 0.262627374801 Long RA CORP US N 2 Repurchase N 0.06000000 2020-10-01 1206529.16700000 USD 1641590.71100000 USD UST N N N 8th Avenue Food & Provisions, Inc. 549300PBCACU45IZ2V05 28253PAC3 147375.00000000 PA USD 146024.01000000 0.023894020189 Long LON CORP US N 2 2025-10-01 Floating 3.65000000 N N N N N N Sedgwick Claims Management Services, Inc. 549300BIN4DWJG5VWF64 81527CAM9 197500.00000000 PA USD 194290.63000000 0.031791924053 Long LON CORP US N 2 2026-09-03 Floating 4.15000000 N N N N N N BCP Raptor II, LLC 254900ZZQV4TQNP45753 05550DAB0 330812.50000000 PA USD 230466.15000000 0.037711351996 Long LON CORP US N 2 2025-11-03 Floating 4.90000000 N N N N N N CLEAN HARBORS INC 5493000SJVZVZJKHJF48 184496AN7 830000.00000000 PA USD 861125.00000000 0.140906540888 Long DBT CORP US N 2 2027-07-15 Fixed 4.88000000 N N N N N N Fannie Mae - CAS N/A 30711XC36 2433198.57000000 PA USD 2353790.16000000 0.385152480096 Long ABS-MBS USGSE US N 2 2030-08-25 Floating 2.35000000 N N N N N N Science Applications International Corporation 549300LZPNZIXQGZPZ48 80862QAD3 373350.00000000 PA USD 363642.90000000 0.059503165228 Long LON CORP US N 2 2025-10-31 Floating 2.02000000 N N N N N N JAPAN GOVT CPI LINKED 353800WZS8AXZXFUC241 000000000 363218400.00000000 PA 3437083.04000000 0.562412520728 Long DBT NUSS JP N 2 2028-03-10 Fixed 0.10000000 N N N N N N American Builders & Contractors Supply Co., Inc. 549300H5GQ4C1BEKG397 02474RAH6 267300.00000000 PA USD 259281.00000000 0.042426347891 Long LON CORP US N 2 2027-01-15 Floating 2.15000000 N N N N N N United States Treasury 254900HROIFWPRGM1V77 912810SG4 602257.50000000 PA USD 841662.70000000 0.137721909887 Long DBT UST US N 2 2049-02-15 Fixed 1.00000000 N N N N N N LGC Group Holdings, Ltd. N/A 000000000 100000.00000000 PA 114297.56000000 0.018702596965 Long LON CORP GB N 2 2027-04-21 Floating 3.25000000 N N N N N N Altra Industrial Motion Corp. NQ0NIXPGW4YKG4MWM571 02208HAB4 201119.37000000 PA USD 195839.99000000 0.032045447012 Long LON CORP US N 2 2025-10-01 Floating 2.15000000 N N N N N N Morgan Stanley & Co. International PLC 4PQUHN3JPFGFNF3BB653 000000000 1.00000000 NC 71718.84000000 0.011735408519 N/A DFE US N 2 Morgan Stanley & Co. International PLC 4PQUHN3JPFGFNF3BB653 2949383000.00000000 JPY 28045824.10000000 USD 2020-10-30 71718.84000000 N N N Flex Acquisition Company, Inc. 549300HHED2KGPBEDW39 33936HAB8 196993.95000000 PA USD 191872.11000000 0.031396179780 Long LON CORP US N 2 2023-12-29 Floating 4.00000000 N N N N N N United States Treasury 254900HROIFWPRGM1V77 912810RL4 1716187.20000000 PA USD 2187870.53000000 0.358002924423 Long DBT UST US N 2 2045-02-15 Fixed 0.75000000 N N N N N N Morgan Stanley & Co. International PLC 4PQUHN3JPFGFNF3BB653 000000000 1.00000000 NC -266038.51000000 -0.04353208440 N/A DFE US N 2 Morgan Stanley & Co. International PLC 4PQUHN3JPFGFNF3BB653 25483169.99000000 AUD 17987422.95000000 USD 2020-10-30 -266038.51000000 N N N Fannie Mae - CAS N/A 30711XR63 2583243.67000000 PA USD 2537231.97000000 0.415169203453 Long ABS-MBS USGSE US N 2 2030-12-25 Floating 2.70000000 N N N N N N EVO Payments International LLC 5493007OIYK4837ONE70 26926NAN5 181191.32000000 PA USD 178473.45000000 0.029203746819 Long LON CORP US N 2 2023-12-22 Floating 3.40000000 N N N N N N Froneri International Ltd. N/A 000000000 110000.00000000 PA USD 105634.32000000 0.017285024392 Long LON CORP GB N 2 2027-01-31 Floating 2.40000000 N N N N N N TSY 2 1/2% 2024I/L STOCK ECTRVYYCEF89VWYS6K36 000000000 3603000.00000000 PA 16784768.14000000 2.746504419475 Long DBT NUSS GB N 2 2024-07-17 Fixed 2.50000000 N N N N N N SS&C Technologies Inc. 549300KY09TR3J12JU49 78466DBF0 633593.21000000 PA USD 613001.43000000 0.100305891782 Long LON CORP US N 2 2025-04-16 Floating 1.90000000 N N N N N N Go Daddy Operating Company, LLC 5493005GJOH8HLL11157 38017BAN6 110707.36000000 PA USD 108078.06000000 0.017684895433 Long LON CORP US N 2 2024-02-15 Floating 1.90000000 N N N N N N Freddie Mac - STACR N/A 35564XAH4 961001.58000000 PA USD 939505.03000000 0.153731925010 Long ABS-MBS USGSE US N 2 2049-09-25 Floating 2.00000000 N N N N N N Surgery Center Holdings, Inc. 54930054EVI5HWPPW113 86880NAU7 338030.32000000 PA USD 318955.61000000 0.052190949864 Long LON CORP US N 2 2024-09-03 Floating 4.25000000 N N N N N N JAPAN GOVT CPI LINKED 353800WZS8AXZXFUC241 000000000 2091257768.00000000 PA 19761508.48000000 3.233590712908 Long DBT NUSS JP N 2 2027-03-10 Fixed 0.10000000 N N N N N N Endo Luxembourg Finance Company I S.a r.l. 5493007TBMWZWGZIB256 000000000 171455.68000000 PA USD 163342.23000000 0.026727813743 Long LON CORP IE N 2 2024-04-29 Floating 5.00000000 N N N N N N Aramark Services, Inc. 42YMHYH0XMHJEXDUB065 03852JAL5 375000.00000000 PA USD 358359.38000000 0.058638618819 Long LON CORP US N 2 2025-03-11 Floating 1.90000000 N N N N N N Syneos Health, Inc. 549300F1ZGKDS8P6GU13 44988EAE3 186870.80000000 PA USD 182257.33000000 0.029822905991 Long LON CORP US N 2 2024-08-01 Floating 1.90000000 N N N N N N Barclays Bank PLC G5GSEF7VJP5I7OUK5573 000000000 1.00000000 NC -5710.14000000 -0.00093435456 N/A DFE US N 2 Barclays Bank PLC G5GSEF7VJP5I7OUK5573 1041000.00000000 EUR 1215515.32000000 USD 2020-10-30 -5710.14000000 N N N United States Treasury 254900HROIFWPRGM1V77 912828N71 82650430.08000000 PA USD 91120485.00000000 14.91011449606 Long DBT UST US N 2 2026-01-15 Fixed 0.63000000 N N N N N N Vericrest Opportunity Loan Transferee N/A 92870DAA3 501663.88000000 PA USD 502638.46000000 0.082247114781 Long ABS-O CORP US N 2 2049-10-25 Variable 3.18000000 N N N N N N NFP Corp. VO2L9FZNXDJNQNEYH039 62910PAF0 127704.32000000 PA USD 122117.26000000 0.019982140443 Long LON CORP US N 2 2027-02-15 Floating 3.40000000 N N N N N N Venture CDO Ltd 549300ITFR7G25007V93 92331EAB2 1110000.00000000 PA USD 1100397.39000000 0.180058864656 Long ABS-CBDO CORP KY N 2 2030-09-07 Floating 1.56000000 N N N N N N US Foods, Inc. 5493000JOOFAOUY1JZ87 90351HAB4 342838.88000000 PA USD 329125.32000000 0.053855027272 Long LON CORP US N 2 2023-06-27 Floating 1.90000000 N N N N N N Bank N/A 065402BD0 6988724.47000000 PA USD 449354.02000000 0.073528141201 Long ABS-MBS CORP US N 2 2062-05-15 Variable 1.05000000 N N N N N N United States Treasury 254900HROIFWPRGM1V77 9128287D6 36332765.00000000 PA USD 40652484.79000000 6.651997108755 Long DBT UST US N 2 2029-07-15 Fixed 0.25000000 N N N N N N UMBS, TBA N/A 01F0206A2 12620000.00000000 PA USD 13047896.88000000 2.135037323535 Long ABS-MBS USGSE US N 2 2050-10-15 Fixed 2.00000000 N N N N N N Freddie Mac - STACR N/A 3137G0UD9 2386265.80000000 PA USD 2347241.76000000 0.384080960406 Long ABS-MBS USGSE US N 2 2030-09-25 Floating 2.45000000 N N N N N N Nexstar Broadcasting, Inc. 5493006PK6I4I2OOT688 65336RAU2 65502.35000000 PA USD 63619.16000000 0.010410051699 Long LON CORP US N 2 2024-01-17 Floating 2.39000000 N N N N N N Microchip Technology Incorporated 5493007PTFULNYZJ1R12 59501NAJ8 235900.65000000 PA USD 234426.27000000 0.038359349454 Long LON CORP US N 2 2025-05-29 Floating 2.15000000 N N N N N N Reynolds Consumer Products LLC 549300DWNZYMOSR1X343 76171JAB7 95459.60000000 PA USD 94027.71000000 0.015385825941 Long LON CORP US N 2 2027-02-04 Floating 1.90000000 N N N N N N Sunshine Luxembourg VII SARL 254900CHQOBZNYV4DY60 000000000 357300.00000000 PA USD 354811.76000000 0.058058119051 Long LON CORP LU N 2 2026-10-01 Floating 5.25000000 N N N N N N Messer Industries GmbH 391200LNSZAK9YZ7XO65 000000000 100000.00000000 PA 115398.37000000 0.018882723345 Long LON CORP DE N 2 2026-03-01 Floating 2.50000000 N N N N N N Dryden Senior Loan Fund 5493000CMI5L15ZSNM78 26244KAN6 2045000.00000000 PA USD 2019355.70000000 0.330428714193 Long ABS-CBDO CORP KY N 2 2031-04-15 Floating 1.25000000 N N N N N N FRANCE (GOVT OF) 969500KCGF3SUYJHPV70 000000000 15277451.50000000 PA 18604524.21000000 3.044272493895 Long DBT NUSS FR N 2 2022-07-25 Fixed 1.10000000 N N N N N N NorthRiver Midstream Finance LP 549300SOLNLY3BL6GF18 000000000 230887.50000000 PA USD 222614.11000000 0.036426516699 Long LON CORP CA N 2 2025-10-01 Floating 3.55000000 N N N N N N UPC Broadband Holding BV 213800DXWIS9KORQ3X94 000000000 105000.00000000 PA USD 101403.75000000 0.016592772995 Long LON CORP US N 2 2029-01-31 Floating 0.00000000 N N N N N N Tempo Acquisition LLC 549300VV0B2RPMHQGA61 88023HAD2 129382.00000000 PA USD 125581.40000000 0.020548980315 Long LON CORP US N 2 2026-11-02 Floating 3.75000000 N N N N N N Clarios Global LP 549300474L1ZLXZY2P98 000000000 250000.00000000 PA 287250.19000000 0.047002967794 Long LON CORP CA N 2 2026-04-30 Floating 3.75000000 N N N N N N SERVICE CORP INTL 549300RKVM2ME20JHZ15 817565CF9 870000.00000000 PA USD 871087.50000000 0.142536712365 Long DBT CORP US N 2 2030-08-15 Fixed 3.38000000 N N N N N N Hilton Worldwide Finance, LLC 549300406TN7EY0NPH20 43289DAH6 136839.36000000 PA USD 132107.04000000 0.021616775768 Long LON CORP US N 2 2026-06-22 Floating 1.90000000 N N N N N N CSC Holdings LLC 3HG2WD2W22M120IUNG49 64072UAH5 615625.00000000 PA USD 594590.94000000 0.097293369254 Long LON CORP US N 2 2026-01-15 Floating 2.40000000 N N N N N N Asurion LLC 549300KNQVXGIOXWK278 04649VAT7 162585.42000000 PA USD 160268.58000000 0.026224870048 Long LON CORP US N 2 2022-08-04 Floating 3.15000000 N N N N N N US Foods, Inc. 5493000JOOFAOUY1JZ87 90351HAD0 168300.00000000 PA USD 160516.13000000 0.026265376844 Long LON CORP US N 2 2026-09-13 Floating 2.15000000 N N N N N N DEUTSCHLAND I/L BOND 529900AQBND3S6YJLY83 000000000 17526416.30000000 PA 20948723.33000000 3.427855584796 Long DBT NUSS DE N 2 2023-04-15 Fixed 0.10000000 N N N N N N Fannie Mae - CAS N/A 30711XJ70 2770157.40000000 PA USD 2716886.17000000 0.444566157296 Long ABS-MBS USGSE US N 2 2030-10-25 Floating 2.30000000 N N N N N N Hostess Brands, LLC 549300SW7FLS4O41LD19 44108HAJ0 294007.56000000 PA USD 288556.07000000 0.047216649935 Long LON CORP US N 2 2025-08-03 Floating 3.00000000 N N N N N N UMBS, TBA N/A 01F0206B0 12600000.00000000 PA USD 13005349.06000000 2.128075191279 Long ABS-MBS USGSE US N 2 2050-11-15 Fixed 2.00000000 N N N N N N Delta Air Lines, Inc. N/A 24736CBS2 120000.00000000 PA USD 120900.00000000 0.019782959260 Long LON CORP US N 2 2027-09-16 Floating 0.00000000 N N N N N N Hayward Industries, Inc. 549300NV8ZMMEDUHQ091 421300AG9 140098.66000000 PA USD 136245.95000000 0.022294028769 Long LON CORP US N 2 2024-08-05 Floating 3.65000000 N N N N N N Avantor Funding, Inc. 5493003VM0XB4U8YD238 05350NAC8 66311.55000000 PA USD 65316.88000000 0.010687850918 Long LON CORP US N 2 2024-11-21 Floating 3.25000000 N N N N N N Chicago Board of Trade 549300EX04Q2QBFQTQ27 000000000 -95.00000000 NC USD 148974.57000000 0.024376822574 N/A DIR US N 1 Chicago Board of Trade 549300EX04Q2QBFQTQ27 Short US Treasury Ultra Long Bond WNZ0 Comdty 2020-12-21 -21221162.07000000 USD 148974.57000000 N N N USI, Inc. N/A 90351NAE5 270126.60000000 PA USD 260925.55000000 0.042695446863 Long LON CORP US N 2 2024-05-16 Floating 3.22000000 N N N N N N Sedgwick Claims Management Services, Inc. 549300BIN4DWJG5VWF64 81527CAL1 525637.50000000 PA USD 506489.05000000 0.082877189761 Long LON CORP US N 2 2025-12-31 Floating 3.40000000 N N N N N N Caesars Resort Collection, LLC 549300V3UCT773B1KR38 12769LAB5 342947.12000000 PA USD 320464.88000000 0.052437912866 Long LON CORP US N 2 2024-12-23 Floating 2.90000000 N N N N N N Harbor Freight Tools USA, Inc. 549300Y48HLCFTTB4249 41151PAM7 123726.72000000 PA USD 121845.08000000 0.019937603422 Long LON CORP US N 2 2023-08-18 Floating 3.25000000 N N N N N N Berlin Packaging LLC 549300L1HNHO6QOXHH42 08511LAQ1 195989.99000000 PA USD 189314.18000000 0.030977623742 Long LON CORP US N 2 2025-11-07 Floating 3.23000000 N N N N N N Nexstar Broadcasting, Inc. 5493006PK6I4I2OOT688 65336RAW8 187321.89000000 PA USD 183107.15000000 0.029961962686 Long LON CORP US N 2 2026-09-18 Floating 2.91000000 N N N N N N Diamond (BC) B.V. 549300SWLHWJF3D4N658 000000000 195969.76000000 PA USD 182864.28000000 0.029922221683 Long LON CORP NL N 2 2024-09-06 Floating 3.26000000 N N N N N N Eurex Deutschland 529900LN3S50JPU47S06 000000000 37.00000000 NC 64164.74000000 0.010499325371 N/A DIR DE N 1 Eurex Deutschland 529900LN3S50JPU47S06 Long Long-Term Euro-BTP (FBTP) IKZ0 Comdty 2020-12-08 5405732.93000000 EUR 64164.74000000 N N N Pretium Mortgage Credit Partners LLC N/A 74142CAA5 242904.39000000 PA USD 243297.46000000 0.039810949044 Long ABS-O CORP US N 2 2060-02-27 Variable 3.72000000 N N N N N N Adient US LLC 213800SOTRCDGZUHL712 00687MAB7 153062.50000000 PA USD 151231.26000000 0.024746086480 Long LON CORP US N 2 2024-05-06 Floating 4.49000000 N N N N N N UPC BROADBAND HOLDING BV 213800TODY8LXH3KME36 000000000 105000.00000000 PA USD 101403.75000000 0.016592772995 Long LON CORP NL N 2 2029-01-31 Floating 0.00000000 N N N N N N United States Treasury 254900HROIFWPRGM1V77 912828S50 30369075.00000000 PA USD 32944514.99000000 5.390736128305 Long DBT UST US N 2 2026-07-15 Fixed 0.13000000 N N N N N N WEX Inc. T9M5IGROL1TL1G5OV478 96208UAP6 343857.12000000 PA USD 331320.78000000 0.054214272067 Long LON CORP US N 2 2026-05-15 Floating 2.40000000 N N N N N N Element Solutions Inc. 549300FLGN6P5CU20J91 72766TAD1 167037.76000000 PA USD 162861.82000000 0.026649203889 Long LON CORP US N 2 2026-01-31 Floating 2.14000000 N N N N N N United States Treasury 254900HROIFWPRGM1V77 912828V49 15518206.80000000 PA USD 17076695.50000000 2.794272716167 Long DBT UST US N 2 2027-01-15 Fixed 0.38000000 N N N N N N TransDigm, Inc. 88Q84GB3X55CF5OC7582 89364MBR4 294009.41000000 PA USD 277949.15000000 0.045481031521 Long LON CORP US N 2 2025-12-09 Floating 2.40000000 N N N N N N Quikrete Holdings, Inc. 5493007KIN86DIZWZT22 74839XAF6 149250.00000000 PA USD 145565.32000000 0.023818964394 Long LON CORP US N 2 2027-02-01 Floating 2.65000000 N N N N N N Messer Industries GmbH 529900HNC1EZT3TC1260 000000000 216700.00000000 PA USD 212257.65000000 0.034731881246 Long LON CORP US N 2 2026-03-01 Floating 2.72000000 N N N N N N Victory Capital Holdings, Inc. 549300BN5LH2CIPPHS71 92645DAG4 86797.61000000 PA USD 85459.45000000 0.013983795018 Long LON CORP US N 2 2026-07-01 Floating 2.80000000 N N N N N N LCPR Loan Financing LLC N/A 50183CAB3 100000.00000000 PA USD 99916.70000000 0.016349445869 Long LON CORP BM N 2 2026-10-15 Floating 5.15000000 N N N N N N Terrier Media Buyer, Inc. N/A 88145LAB0 143912.50000000 PA USD 140062.84000000 0.022918589393 Long LON CORP US N 2 2026-12-17 Floating 4.40000000 N N N N N N Chicago Board of Trade 549300EX04Q2QBFQTQ27 000000000 308.00000000 NC USD 118158.76000000 0.019334408067 N/A DIR US N 1 Chicago Board of Trade 549300EX04Q2QBFQTQ27 Long 10 Year US Treasury Note TYZ0 Comdty 2020-12-21 42857466.24000000 USD 118158.76000000 N N N Change Healthcare Holdings LLC 549300GHXFJ3EKF50583 15911AAC7 76562.26000000 PA USD 74935.31000000 0.012261721959 Long LON CORP US N 2 2024-03-01 Floating 3.50000000 N N N N N N Universal Health Services, Inc. 549300YGMGQDO0NMJD09 91359HAP3 545287.50000000 PA USD 542561.06000000 0.088779680284 Long LON CORP US N 2 2025-10-31 Floating 1.90000000 N N N N N N Hertz Vehicle Financing LLC 549300FPK70TCB78NG05 42806DCD9 430050.90000000 PA USD 430751.28000000 0.070484160659 Long ABS-O CORP US N 2 2023-03-25 Fixed 3.71000000 N N N N N N Ultimate Software Group Inc(The) 529900FKHWSTQ1GXK240 90385KAD3 100000.00000000 PA USD 99578.10000000 0.016294040492 Long LON CORP US N 2 2026-05-04 Floating 4.75000000 N N N N N N Deutsche Bank Commercial Mortgage Trust N/A 233063AW6 2094771.41000000 PA USD 237844.33000000 0.038918649220 Long ABS-MBS CORP US N 2 2053-09-15 Variable 1.83000000 N N N N N N United Rentals, Inc. NGIZXNT70J2LYT3FBI09 91136EAJ4 1362200.00000000 PA USD 1355672.34000000 0.221829699529 Long LON CORP US N 2 2025-10-31 Floating 1.90000000 N N N N N N Crown Finance US, Inc. N/A 22834KAB7 608711.63000000 PA USD 406966.94000000 0.066592310955 Long LON CORP US N 2 2025-02-28 Floating 2.77000000 N N N N N N Bausch Health Companies Inc. KOO0397YRO83WY5MGD97 000000000 688000.00000000 PA USD 671230.00000000 0.109833877126 Long LON CORP US N 2 2025-11-27 Floating 2.90000000 N N N N N N IRB Holding Corp 549300HVW4WNWYBXN830 44988LAF4 289070.34000000 PA USD 275520.17000000 0.045083575670 Long LON CORP US N 2 2025-02-05 Floating 3.75000000 N N N N N N MA FinanceCo., LLC N/A 55280FAG6 24850.83000000 PA USD 23657.99000000 0.003871174957 Long LON CORP US N 2 2024-06-21 Floating 2.65000000 N N N N N N Parexel International Corporation 549300GCZVUYB6P2OA17 69946EAT8 207950.44000000 PA USD 199008.57000000 0.032563924175 Long LON CORP US N 2 2024-09-27 Floating 2.90000000 N N N N N N Fannie Mae - CAS N/A 20753MAF5 398440.37000000 PA USD 396859.88000000 0.064938485014 Long ABS-MBS USGSE US N 2 2031-09-25 Floating 2.30000000 N N N N N N Bass Pro Group, LLC N/A 07014QAK7 725050.48000000 PA USD 718071.87000000 0.117498648060 Long LON CORP US N 2 2024-09-25 Floating 5.75000000 N N N N N N Entegris, Inc. IYX6OWO7BT5DKO3BYG52 29362LAH7 190312.50000000 PA USD 189479.88000000 0.031004737359 Long LON CORP US N 2 2025-11-06 Floating 2.15000000 N N N N N N Seattle Spinco, Inc. 213800AAQDP1DDU8BK05 81271EAB7 167821.17000000 PA USD 159744.78000000 0.026139160255 Long LON CORP US N 2 2024-06-21 Floating 2.65000000 N N N N N N Goldman Sachs International W22LROWP2IHZNBB6K528 000000000 1.00000000 NC 14176.72000000 0.002319747512 N/A DFE US N 2 Goldman Sachs International W22LROWP2IHZNBB6K528 587000.00000000 EUR 703564.70000000 USD 2020-12-16 14176.72000000 N N N ION Media Networks, Inc. N/A 46205DAK3 404775.27000000 PA USD 402852.59000000 0.065919076725 Long LON CORP US N 2 2024-12-18 Floating 3.19000000 N N N N N N Evertec Group, LLC 54930056CPTQSUNQYB82 U3000JAL3 330643.93000000 PA USD 328990.71000000 0.053833000935 Long LON CORP PR N 2 2024-11-27 Floating 3.65000000 N N N N N N T-Mobile USA, Inc. 549300V2JRLO5DIFGE82 87265VAF5 104737.50000000 PA USD 104606.58000000 0.017116854512 Long LON CORP US N 2 2027-04-01 Floating 3.15000000 N N N N N N Deerfield Dakota Holding, LLC 549300FDREJLOIGXY104 24440EAB3 309225.00000000 PA USD 307034.76000000 0.050240332081 Long LON CORP US N 2 2027-04-09 Floating 4.75000000 N N N N N N Eurex Deutschland 529900LN3S50JPU47S06 000000000 -27.00000000 NC -21495.73000000 -0.00351736270 N/A DIR DE N 1 Eurex Deutschland 529900LN3S50JPU47S06 Short Euro-OAT OATZ0 Comdty 2020-12-08 -4532515.97000000 EUR -21495.73000000 N N N Refinitiv US Holdings Inc. 549300NF240HXJO7N016 31740MAC5 309487.50000000 PA USD 306247.48000000 0.050111508854 Long LON CORP US N 2 2025-10-01 Floating 3.40000000 N N N N N N Fannie Mae - CAS N/A 30711XYX6 2573155.83000000 PA USD 2539283.32000000 0.415504867419 Long ABS-MBS USGSE US N 2 2030-07-25 Floating 2.40000000 N N N N N N MTN Infrastructure TopCo Inc 54930040E6IYPRA4GM07 55377KAB0 172355.14000000 PA USD 169338.93000000 0.027709058341 Long LON CORP US N 2 2024-11-15 Floating 4.00000000 N N N N N N Morgan Stanley & Co. International PLC 4PQUHN3JPFGFNF3BB653 000000000 1.00000000 NC -14475.70000000 -0.00236866983 N/A DFE US N 2 Morgan Stanley & Co. International PLC 4PQUHN3JPFGFNF3BB653 2602000.00000000 NZD 1706857.36000000 USD 2020-10-30 -14475.70000000 N N N Reynolds Group Holdings Inc. 5493002QNV81KCX40V06 76173FAU1 153282.32000000 PA USD 151486.00000000 0.024787769781 Long LON CORP US N 2 2023-02-05 Floating 5.00000000 N N N N N N Elanco Animal Health Incorporated 549300SHPNDCE059M934 28414BAF3 239269.01000000 PA USD 232347.20000000 0.038019149643 Long LON CORP US N 2 2027-08-01 Floating 1.91000000 N N N N N N United States Treasury 254900HROIFWPRGM1V77 912828ZZ6 7699248.00000000 PA USD 8564611.37000000 1.401433894266 Long DBT UST US N 2 2030-07-15 Fixed 0.13000000 N N N N N N Dun & Bradstreet Corporation (The) RI37BMPWE56BCJ747E14 26483NAN0 263675.00000000 PA USD 260906.41000000 0.042692314970 Long LON CORP US N 2 2026-02-06 Floating 3.89000000 N N N N N N HD Supply, Inc. 549300G8FYZDYZMZED76 42206JAT9 193514.32000000 PA USD 192546.75000000 0.031506571638 Long LON CORP US N 2 2023-10-17 Floating 1.90000000 N N N N N N FRANCE (GOVT OF) 969500KCGF3SUYJHPV70 000000000 15002283.76000000 PA 18493520.63000000 3.026108893391 Long DBT NUSS FR N 2 2024-07-25 Fixed 0.25000000 N N N N N N 2020-10-19 SEASONS SERIES TRUST Donna McManus Donna McManus Assistant Treasurer