0001752724-20-172686.txt : 20200826
0001752724-20-172686.hdr.sgml : 20200826
20200826092954
ACCESSION NUMBER: 0001752724-20-172686
CONFORMED SUBMISSION TYPE: NPORT-P
PUBLIC DOCUMENT COUNT: 1
CONFORMED PERIOD OF REPORT: 20200630
FILED AS OF DATE: 20200826
PERIOD START: 20200630
FILER:
COMPANY DATA:
COMPANY CONFORMED NAME: JPMorgan Trust I
CENTRAL INDEX KEY: 0001217286
IRS NUMBER: 331043149
STATE OF INCORPORATION: DE
FILING VALUES:
FORM TYPE: NPORT-P
SEC ACT: 1940 Act
SEC FILE NUMBER: 811-21295
FILM NUMBER: 201134352
BUSINESS ADDRESS:
STREET 1: 277 PARK AVENUE
CITY: NEW YORK
STATE: NY
ZIP: 10172
BUSINESS PHONE: 800-480-4111
MAIL ADDRESS:
STREET 1: 277 PARK AVENUE
CITY: NEW YORK
STATE: NY
ZIP: 10172
FORMER COMPANY:
FORMER CONFORMED NAME: JP MORGAN MUTUAL FUND SERIES
DATE OF NAME CHANGE: 20030204
0001217286
S000002766
JPMorgan Diversified Fund
C000007574
Class I
JDVSX
C000007575
Class L
JPDVX
C000007576
Class A
JDVAX
C000007578
Class C
JDVCX
C000195232
Class R6
JDVZX
NPORT-P
1
primary_doc.xml
NPORT-P
false
0001217286
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S000002766
C000007576
C000007575
C000007574
C000007578
C000195232
JPMorgan Trust I
811-21295
0001217286
549300DM5WZMCZZ70R78
277 Park Avenue
New York
10172
800-480-4111
JPMorgan Diversified Fund
S000002766
26JKWV9VE7AKN11JL078
2020-06-30
2020-06-30
N
921740874.67
10231309.29
911509565.38
0.00000000
0.00000000
0.00000000
0.00000000
0.00000000
0.00000000
0.00000000
0.00000000
0.00000000
0.00000000
0.00000000
0.00000000
0.00000000
2773065.16000000
GBP
EUR
JPY
HKD
QAR
CHF
VND
USD
N
Ingenico Group SA
969500C1KK5OLNWK1S69
Ingenico Group SA
N/A
221.00000000
NS
35509.04000000
0.003895629991
Long
EC
CORP
FR
N
2
N
N
N
NCR Corp.
549300YKTY8JX1DV2R67
NCR Corp.
62886EAU2
175000.00000000
PA
USD
175000.00000000
0.019198920850
Long
DBT
CORP
US
Y
2
2027-09-01
Fixed
5.75000000
N
N
N
N
N
N
TIM Participacoes SA
529900UXXIJCZN232R31
TIM Participacoes SA
N/A
21243.00000000
NS
55196.41000000
0.006055494324
Long
EC
CORP
BR
N
1
N
N
N
HCA, Inc.
L3CJ6J7LJ2DX62FTXD46
HCA, Inc.
404119BR9
105000.00000000
PA
USD
112481.25000000
0.012340106376
Long
DBT
CORP
US
N
2
2025-02-01
Fixed
5.37500000
N
N
N
N
N
N
Renault SA
969500F7JLTX36OUI695
Renault SA
N/A
658.00000000
NS
16840.61000000
0.001847551648
Long
EC
CORP
FR
N
2
N
N
N
GNMA
549300M8ZYFG0OCMTT87
GNMA, Series 2007-79, Class BL
383742DX8
1609.64000000
PA
USD
1852.30000000
0.000203212349
Long
ABS-MBS
USGA
US
N
2
2037-08-20
Fixed
5.75000000
N
N
N
N
N
N
Fifth Third Bancorp
THRNG6BD57P9QWTQLG42
Fifth Third Bancorp
316773100
17175.00000000
NS
USD
331134.00000000
0.036328088324
Long
EC
CORP
US
N
1
N
N
N
Kimco Realty Corp.
549300EA7I6T15IBYS12
Kimco Realty Corp.
49446R109
21238.00000000
NS
USD
272695.92000000
0.029916956481
Long
EC
CORP
US
N
1
N
N
N
Swedbank AB
M312WZV08Y7LYUC71685
Swedbank AB, Class A
N/A
3097.00000000
NS
39768.21000000
0.004362895520
Long
EC
CORP
SE
N
2
N
N
N
Rakuten, Inc.
529900IMXUCQKUL1H943
Rakuten, Inc.
N/A
2900.00000000
NS
25615.71000000
0.002810251364
Long
EC
CORP
JP
N
2
N
N
N
BHP Group Ltd.
WZE1WSENV6JSZFK0JC28
BHP Group Ltd.
N/A
56080.00000000
NS
1396273.99000000
0.153182593253
Long
EC
CORP
AU
N
2
N
N
N
Nippon Building Fund, Inc.
52990053R8NL2MB32172
Nippon Building Fund, Inc.
N/A
4.00000000
NS
22780.67000000
0.002499224458
Long
EC
CORP
JP
N
2
N
N
N
Huntington Bancshares, Inc.
549300XTVCVV9I7B5T19
Huntington Bancshares, Inc.
446150104
43197.00000000
NS
USD
390284.90000000
0.042817422309
Long
EC
CORP
US
N
1
N
N
N
GNMA
549300M8ZYFG0OCMTT87
GNMA, Series 2017-171
38380JGF9
742474.11000000
PA
USD
42800.51000000
0.004695563450
Long
ABS-MBS
USGA
US
N
2
2059-09-16
Variable
0.69414800
N
N
N
N
N
N
National Australia Bank Ltd.
F8SB4JFBSYQFRQEH3Z21
National Australia Bank Ltd.
N/A
10931.00000000
NS
138521.65000000
0.015196949682
Long
EC
CORP
AU
N
2
N
N
N
Hologic, Inc.
549300DYP6F5ZJL0LB74
Hologic, Inc.
436440AK7
182000.00000000
PA
USD
183781.78000000
0.020162353416
Long
DBT
CORP
US
Y
2
2025-10-15
Fixed
4.37500000
N
N
N
N
N
N
Shizuoka Bank Ltd. (The)
549300TJ1GRR4PX8GJ82
Shizuoka Bank Ltd. (The)
N/A
1400.00000000
NS
9006.23000000
0.000988056553
Long
EC
CORP
JP
N
2
N
N
N
Pick n Pay Stores Ltd.
N/A
Pick n Pay Stores Ltd.
N/A
9283.00000000
NS
27283.27000000
0.002993196235
Long
EC
CORP
ZA
N
1
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, Connecticut Avenue Securities, Series 2018-C05, Class 1M2
30711XY24
636920.01000000
PA
USD
622731.85000000
0.068318739994
Long
ABS-MBS
CORP
US
N
2
2031-01-25
Floating
2.53450100
N
N
N
N
N
N
OneMain Financial Issuance Trust
N/A
OneMain Financial Issuance Trust, Series 2018-2A, Class A
68269CAA4
1190000.00000000
PA
USD
1232403.51000000
0.135204671109
Long
ABS-O
CORP
US
Y
2
2033-03-14
Fixed
3.57000000
N
N
N
N
N
N
Gulfport Energy Corp.
549300FJX18IDUFPHD40
Gulfport Energy Corp.
402635AP1
80000.00000000
PA
USD
38500.00000000
0.004223762587
Long
DBT
CORP
US
N
2
2026-01-15
Fixed
6.37500000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, Connecticut Avenue Securities, Series 2018-C06, Class 1M2
30711X3H5
434965.51000000
PA
USD
417517.52000000
0.045805061829
Long
ABS-MBS
CORP
US
N
2
2031-03-25
Floating
2.18450200
N
N
N
N
N
N
Kubota Corp.
549300CSY4INHEHQQT13
Kubota Corp.
N/A
48400.00000000
NS
724003.07000000
0.079429015064
Long
EC
CORP
JP
N
2
N
N
N
Mazda Motor Corp.
52990044YZJLICDQKK92
Mazda Motor Corp.
N/A
2000.00000000
NS
12083.78000000
0.001325688775
Long
EC
CORP
JP
N
2
N
N
N
Sun Hung Kai Properties Ltd.
529900LUMD393RD3S874
Sun Hung Kai Properties Ltd.
N/A
4500.00000000
NS
57488.58000000
0.006306963984
Long
EC
CORP
HK
N
2
N
N
N
Tenet Healthcare Corp.
0W9AIBT6U6ADJ2I8HK17
Tenet Healthcare Corp.
88033GCN8
210000.00000000
PA
USD
208425.00000000
0.022865914732
Long
DBT
CORP
US
N
2
2023-06-15
Fixed
6.75000000
N
N
N
N
N
N
Gray Television, Inc.
529900TM5726KDN7UU35
Gray Television, Inc.
389375AK2
65000.00000000
PA
USD
65000.00000000
0.007131027744
Long
DBT
CORP
US
Y
2
2024-10-15
Fixed
5.12500000
N
N
N
N
N
N
Nikon Corp.
549300X7LIS9RFELXJ98
Nikon Corp.
654111103
1100.00000000
NS
9238.16000000
0.001013501157
Long
EC
CORP
JP
N
2
N
N
N
Eli Lilly and Co.
FRDRIPF3EKNDJ2CQJL29
Eli Lilly and Co.
532457108
9740.00000000
NS
USD
1599113.20000000
0.175435701471
Long
EC
CORP
US
N
1
N
N
N
Clicks Group Ltd.
378900E967958A677472
Clicks Group Ltd.
N/A
4620.00000000
NS
56007.10000000
0.006144433599
Long
EC
CORP
ZA
N
1
N
N
N
Hill-Rom Holdings, Inc.
JLZ01A0E2071OH26RE45
Hill-Rom Holdings, Inc.
431475AD4
100000.00000000
PA
USD
102375.00000000
0.011231368697
Long
DBT
CORP
US
Y
2
2027-09-15
Fixed
4.37500000
N
N
N
N
N
N
Cheniere Energy Partners LP
5493005UEC8AZ34LDV29
Cheniere Energy Partners LP
16411QAE1
325000.00000000
PA
USD
316875.00000000
0.034763760253
Long
DBT
CORP
US
Y
2
2029-10-01
Fixed
4.50000000
N
N
N
N
N
N
Level 3 Financing, Inc.
N/A
Level 3 Financing, Inc.
527298BF9
95000.00000000
PA
USD
95000.00000000
0.010422271318
Long
DBT
CORP
US
N
2
2023-05-01
Fixed
5.12500000
N
N
N
N
N
N
Tokyo Electron Ltd.
549300H5LSF8DP3RIJ34
Tokyo Electron Ltd.
N/A
500.00000000
NS
123371.89000000
0.013534898007
Long
EC
CORP
JP
N
2
N
N
N
BlueScope Steel Ltd.
529900H6UQI16XACWC95
BlueScope Steel Ltd.
N/A
1636.00000000
NS
13477.12000000
0.001478549486
Long
EC
CORP
AU
N
2
N
N
N
CarMax Auto Owner Trust
N/A
CarMax Auto Owner Trust, Series 2017-1, Class A3
14314JAC4
9131.28000000
PA
USD
9151.62000000
0.001004007017
Long
ABS-O
CORP
US
N
2
2021-11-15
Fixed
1.98000000
N
N
N
N
N
N
Kraft Heinz Foods Co.
5493003STKEZ2S0RNU91
Kraft Heinz Foods Co.
50076QAE6
190000.00000000
PA
USD
200132.06000000
0.021956111883
Long
DBT
CORP
US
N
2
2042-06-04
Fixed
5.00000000
N
N
N
N
N
N
Ralph Lauren Corp.
HO1QNWM0IXBZ0QSMMO20
Ralph Lauren Corp.
751212101
3863.00000000
NS
USD
280144.76000000
0.030734154707
Long
EC
CORP
US
N
1
N
N
N
CIT Group, Inc.
N8O96ZZJQRFYQUJY7K79
CIT Group, Inc.
125581GW2
135000.00000000
PA
USD
139865.40000000
0.015344369967
Long
DBT
CORP
US
N
2
2025-03-07
Fixed
5.25000000
N
N
N
N
N
N
Charter Communications, Inc.
0J0XRGZE3PBRFEZ7MV65
Charter Communications, Inc., Class A
16119P108
4751.00000000
NS
USD
2423200.04000000
0.265844718699
Long
EC
CORP
US
N
1
N
N
N
Buckeye Partners LP
549300C1PQJLVEIUBK50
Buckeye Partners LP
118230AT8
65000.00000000
PA
USD
62352.55000000
0.006840580984
Long
DBT
CORP
US
Y
2
2025-03-01
Fixed
4.12500000
N
N
N
N
N
N
CarMax Auto Owner Trust
N/A
CarMax Auto Owner Trust, Series 2018-2, Class A3
14314XAC3
2773.99000000
PA
USD
2817.78000000
0.000309133343
Long
ABS-O
CORP
US
N
2
2023-01-17
Fixed
2.98000000
N
N
N
N
N
N
Asahi Group Holdings Ltd.
353800KAJ02XNHLCJW79
Asahi Group Holdings Ltd.
N/A
1300.00000000
NS
45658.94000000
0.005009156429
Long
EC
CORP
JP
N
2
N
N
N
MSA Safety, Inc.
529900DVA3258XK11O39
MSA Safety, Inc.
553498106
4475.00000000
NS
USD
512119.00000000
0.056183612268
Long
EC
CORP
US
N
1
N
N
N
BASF SE
529900PM64WH8AF1E917
BASF SE
N/A
3142.00000000
NS
176484.07000000
0.019361735378
Long
EC
CORP
DE
N
2
N
N
N
Mizuho Financial Group, Inc.
353800CI5L6DDAN5XZ33
Mizuho Financial Group, Inc.
N/A
82400.00000000
NS
101355.67000000
0.011119539920
Long
EC
CORP
JP
N
2
N
N
N
Odakyu Electric Railway Co. Ltd.
N/A
Odakyu Electric Railway Co. Ltd.
N/A
1100.00000000
NS
27013.55000000
0.002963605761
Long
EC
CORP
JP
N
2
N
N
N
Daiwa Securities Group, Inc.
353800WRC7Y23PWFJG38
Daiwa Securities Group, Inc.
N/A
5000.00000000
NS
21004.52000000
0.002304366382
Long
EC
CORP
JP
N
2
N
N
N
UCB SA
2138008J191VLSGY5A09
UCB SA
N/A
436.00000000
NS
50596.26000000
0.005550820520
Long
EC
CORP
BE
N
2
N
N
N
IDEX Corp.
549300U5Y5EL6PHYLF13
IDEX Corp.
45167R104
3220.00000000
NS
USD
508888.80000000
0.055829233101
Long
EC
CORP
US
N
1
N
N
N
Remy Cointreau SA
5493004V6A3Z027YT216
Remy Cointreau SA
N/A
81.00000000
NS
11050.50000000
0.001212329570
Long
EC
CORP
FR
N
2
N
N
N
Swatch Group AG (The)
529900NTES2LEON1JZ55
Swatch Group AG (The)
N/A
105.00000000
NS
21074.74000000
0.002312070086
Long
EC
CORP
CH
N
2
N
N
N
Ford Motor Credit Co. LLC
UDSQCVRUX5BONN0VY111
Ford Motor Credit Co. LLC
345397ZW6
285000.00000000
PA
USD
272175.00000000
0.029859807328
Long
DBT
CORP
US
N
2
2026-08-01
Fixed
4.54200000
N
N
N
N
N
N
Park24 Co. Ltd.
549300LFG2WZWCWM4M68
Park24 Co. Ltd.
N/A
300.00000000
NS
5143.51000000
0.000564284807
Long
EC
CORP
JP
N
2
N
N
N
Eisai Co. Ltd.
353800HDEE0ZYEX4QV91
Eisai Co. Ltd.
N/A
900.00000000
NS
71504.04000000
0.007844573739
Long
EC
CORP
JP
N
2
N
N
N
New Oriental Education & Technology Group, Inc.
529900NHZVBZQZ8EKN29
New Oriental Education & Technology Group, Inc.
647581107
1097.00000000
NS
USD
142862.31000000
0.015673155326
Long
EC
CORP
KY
N
1
N
N
N
DexCom, Inc.
549300YSK3QDSFR5EU59
DexCom, Inc.
252131AH0
311000.00000000
PA
USD
771491.85000000
0.084638919798
Long
DBT
CORP
US
N
2
2023-12-01
Fixed
0.75000000
N
N
N
N
Y
DexCom, Inc.
DexCom, Inc.
USD
XXXX
N
N
N
CCO Holdings LLC
N/A
CCO Holdings LLC
1248EPBX0
45000.00000000
PA
USD
46462.50000000
0.005097313485
Long
DBT
CORP
US
Y
2
2028-02-01
Fixed
5.00000000
N
N
N
N
N
N
Diamond Sports Group LLC
N/A
Diamond Sports Group LLC
25277LAA4
346000.00000000
PA
USD
250794.64000000
0.027514208245
Long
DBT
CORP
US
Y
2
2026-08-15
Fixed
5.37500000
N
N
N
N
N
N
Hong Kong Exchanges & Clearing Ltd.
213800YTVSXYQN17BW16
Hong Kong Exchanges & Clearing Ltd.
N/A
32800.00000000
NS
1397008.80000000
0.153263207876
Long
EC
CORP
HK
N
2
N
N
N
Air Medical Group Holdings, Inc.
N/A
Air Medical Group Holdings, Inc.
00913CAA7
41000.00000000
PA
USD
37720.00000000
0.004138190254
Long
DBT
CORP
US
Y
2
2023-05-15
Fixed
6.37500000
N
N
N
N
N
N
Fubon Financial Holding Co. Ltd.
549300G7Y2TS2XNIB476
Fubon Financial Holding Co. Ltd.
N/A
51000.00000000
NS
76143.89000000
0.008353602956
Long
EC
CORP
TW
N
2
N
N
N
Tenaris SA
549300Y7C05BKC4HZB40
Tenaris SA
N/A
1553.00000000
NS
10092.36000000
0.001107213833
Long
EC
CORP
LU
N
2
N
N
N
Blue Racer Midstream LLC
N/A
Blue Racer Midstream LLC
095796AA6
355000.00000000
PA
USD
353225.00000000
0.038751650384
Long
DBT
CORP
US
Y
2
2022-11-15
Fixed
6.12500000
N
N
N
N
N
N
China Oilfield Services Ltd.
529900J4X53VL8QQW675
China Oilfield Services Ltd., Class H
N/A
52000.00000000
NS
47387.47000000
0.005198790204
Long
EC
CORP
CN
N
2
N
N
N
Driven Brands Funding LLC
N/A
Driven Brands Funding LLC, Series 2019-1A, Class A2
26208LAD0
365375.00000000
PA
USD
386559.44000000
0.042408709099
Long
ABS-O
CORP
US
Y
2
2049-04-20
Fixed
4.64100000
N
N
N
N
N
N
Bausch Health Cos., Inc.
B3BS7ACMDUWISF18KY76
Bausch Health Cos., Inc.
91911KAE2
4000.00000000
PA
USD
3975.84000000
0.000436181928
Long
DBT
CORP
CA
Y
2
2023-03-01
Fixed
5.50000000
N
N
N
N
N
N
Kia Motors Corp.
988400V8MJK9N7OI5X76
Kia Motors Corp.
N/A
3139.00000000
NS
84823.85000000
0.009305865042
Long
EC
CORP
KR
N
2
N
N
N
Aristocrat Leisure Ltd.
529900TE2HO3OZKYKC27
Aristocrat Leisure Ltd.
N/A
1965.00000000
NS
35186.29000000
0.003860221695
Long
EC
CORP
AU
N
2
N
N
N
Omron Corp.
549300ZHW0TR2QZ0NY83
Omron Corp.
N/A
600.00000000
NS
40186.94000000
0.004408833601
Long
EC
CORP
JP
N
2
N
N
N
Sekisui Chemical Co. Ltd.
529900KQIVT7NWFNMI70
Sekisui Chemical Co. Ltd.
N/A
1300.00000000
NS
18626.05000000
0.002043428912
Long
EC
CORP
JP
N
2
N
N
N
SEEK Ltd.
549300209NEKXBC8QO27
SEEK Ltd.
N/A
1219.00000000
NS
18649.33000000
0.002045982917
Long
EC
CORP
AU
N
2
N
N
N
Qatar National Bank QPSC
549300FFSRVBS0SQXY75
Qatar National Bank QPSC
N/A
18330.00000000
NS
87887.94000000
0.009642020592
Long
EC
CORP
QA
N
2
N
N
N
Teleperformance
9695004GI61FHFFNRG61
Teleperformance
N/A
201.00000000
NS
51191.09000000
0.005616078200
Long
EC
CORP
FR
N
2
N
N
N
Getlink SE
9695007ZEQ7M0OE74G82
Getlink SE
N/A
1604.00000000
NS
23195.01000000
0.002544680920
Long
EC
CORP
FR
N
2
N
N
N
THK Co. Ltd.
N/A
THK Co. Ltd.
N/A
400.00000000
NS
9959.04000000
0.001092587546
Long
EC
CORP
JP
N
2
N
N
N
Tokio Marine Holdings, Inc.
5299009QN2NZ191KLS29
Tokio Marine Holdings, Inc.
N/A
2200.00000000
NS
96300.66000000
0.010564964280
Long
EC
CORP
JP
N
2
N
N
N
Nielsen Finance LLC
N/A
Nielsen Finance LLC
65409QBB7
320000.00000000
PA
USD
319104.00000000
0.035008299651
Long
DBT
CORP
US
Y
2
2022-04-15
Fixed
5.00000000
N
N
N
N
N
N
Range Resources Corp.
H3Y3WLYCX0BTO1TRW162
Range Resources Corp.
75281AAS8
170000.00000000
PA
USD
127559.50000000
0.013994312824
Long
DBT
CORP
US
N
2
2025-05-15
Fixed
4.87500000
N
N
N
N
N
N
AXA SA
F5WCUMTUM4RKZ1MAIE39
AXA SA
N/A
33880.00000000
NS
712934.67000000
0.078214721718
Long
EC
CORP
FR
N
2
N
N
N
WaMu Mortgage Pass-Through Certificates Trust
N/A
WaMu Mortgage Pass-Through Certificates Trust, Series 2006-AR17, Class 1A1A
92925DAB6
428380.29000000
PA
USD
384874.29000000
0.042223834462
Long
ABS-MBS
CORP
US
N
2
2046-12-25
Floating
2.50083000
N
N
N
N
N
N
Suntec REIT
549300C46QFXSI2F4K13
Suntec REIT
N/A
5800.00000000
NS
5924.97000000
0.000650017314
Long
EC
CORP
SG
N
2
N
N
N
Allianz SE
529900K9B0N5BT694847
Allianz SE (Registered)
N/A
11373.00000000
NS
2323987.09000000
0.254960252559
Long
EC
CORP
DE
N
2
N
N
N
Iron Mountain, Inc.
SQL3F6CKNNBM3SQGHX24
Iron Mountain, Inc.
46284PAP9
45000.00000000
PA
USD
45432.00000000
0.004984259268
Long
DBT
CORP
US
N
2
2024-08-15
Fixed
5.75000000
N
N
N
N
N
N
American Credit Acceptance Receivables Trust
N/A
American Credit Acceptance Receivables Trust, Series 2019-1, Class D
02528CAG7
960000.00000000
PA
USD
970909.63000000
0.106516669366
Long
ABS-O
CORP
US
Y
2
2025-04-14
Fixed
3.81000000
N
N
N
N
N
N
Kose Corp.
353800NX4GGAVDHHY664
Kose Corp.
N/A
100.00000000
NS
12104.71000000
0.001327984966
Long
EC
CORP
JP
N
2
N
N
N
Astellas Pharma, Inc.
529900IB708DY2HBBB35
Astellas Pharma, Inc.
N/A
6400.00000000
NS
106877.19000000
0.011725295494
Long
EC
CORP
JP
N
2
N
N
N
MEIJI Holdings Co. Ltd.
5299002D52YIP6DWMV49
MEIJI Holdings Co. Ltd.
N/A
400.00000000
NS
31830.45000000
0.003492058801
Long
EC
CORP
JP
N
2
N
N
N
Housing Development Finance Corp. Ltd.
335800OX2H9AP7NHLT64
Housing Development Finance Corp. Ltd.
N/A
71834.00000000
NS
1670292.95000000
0.183244697964
Long
EC
CORP
IN
N
2
N
N
N
United Spirits Ltd.
3358004YFWQVX2EZDE82
United Spirits Ltd.
N/A
8194.00000000
NS
64279.09000000
0.007051938064
Long
EC
CORP
IN
N
2
N
N
N
Buckeye Partners LP
549300C1PQJLVEIUBK50
Buckeye Partners LP
118230AU5
65000.00000000
PA
USD
61100.00000000
0.006703166079
Long
DBT
CORP
US
Y
2
2028-03-01
Fixed
4.50000000
N
N
N
N
N
N
Sumitomo Mitsui Financial Group, Inc.
35380028MYWPB6AUO129
Sumitomo Mitsui Financial Group, Inc.
N/A
4400.00000000
NS
124175.93000000
0.013623107723
Long
EC
CORP
JP
N
2
N
N
N
Cochlear Ltd.
5493001OLLWY8KV5UC08
Cochlear Ltd.
N/A
219.00000000
NS
28752.30000000
0.003154360754
Long
EC
CORP
AU
N
2
N
N
N
Siemens Gamesa Renewable Energy SA
9598004BR8D81D3M1D64
Siemens Gamesa Renewable Energy SA
N/A
869.00000000
NS
15472.51000000
0.001697459970
Long
EC
CORP
ES
N
2
N
N
N
CSL Ltd.
529900ECSECK5ZDQTE14
CSL Ltd.
N/A
1553.00000000
NS
308874.59000000
0.033886050320
Long
EC
CORP
AU
N
2
N
N
N
Hikari Tsushin, Inc.
3538001SOIIV8U3OXH94
Hikari Tsushin, Inc.
N/A
100.00000000
NS
22864.82000000
0.002508456396
Long
EC
CORP
JP
N
2
N
N
N
Hartford Financial Services Group, Inc. (The)
IU7C3FTM7Y3BQM112U94
Hartford Financial Services Group, Inc. (The)
416515104
12966.00000000
NS
USD
499839.30000000
0.054836429477
Long
EC
CORP
US
N
1
N
N
N
GVC Holdings plc
213800GNI3K45LQR8L28
GVC Holdings plc
N/A
1990.00000000
NS
18240.15000000
0.002001092549
Long
EC
CORP
IM
N
2
N
N
N
Kone OYJ
2138001CNF45JP5XZK38
Kone OYJ, Class B
N/A
12310.00000000
NS
849013.71000000
0.093143697251
Long
EC
CORP
FI
N
2
N
N
N
BOC Aviation Ltd.
254900H06V5RMEB3KE72
BOC Aviation Ltd.
N/A
3300.00000000
NS
21243.90000000
0.002330628312
Long
EC
CORP
SG
Y
2
N
N
N
Saxon Asset Securities Trust
N/A
Saxon Asset Securities Trust, Series 2003-2, Class M2
805564NS6
120228.59000000
PA
USD
115104.88000000
0.012627939889
Long
ABS-O
CORP
US
N
3
2033-06-25
Floating
2.80950100
N
N
N
N
N
N
Gray Television, Inc.
529900TM5726KDN7UU35
Gray Television, Inc.
389375AJ5
85000.00000000
PA
USD
84681.25000000
0.009290220664
Long
DBT
CORP
US
Y
2
2026-07-15
Fixed
5.87500000
N
N
N
N
N
N
Morgan Stanley
IGJSJL3JD5P30I6NJZ34
Morgan Stanley
617446448
69162.00000000
NS
USD
3340524.60000000
0.366482670821
Long
EC
CORP
US
N
1
N
N
N
LB Commercial Mortgage Trust
N/A
LB Commercial Mortgage Trust, Series 2007-C3, Class AJ
50177AAH2
29176.59000000
PA
USD
28821.56000000
0.003161959138
Long
ABS-MBS
CORP
US
N
2
2044-07-15
Variable
6.10924700
N
N
N
N
N
N
Henderson Land Development Co. Ltd.
529900SYQB7IVR9QGN76
Henderson Land Development Co. Ltd.
N/A
5600.00000000
NS
21356.73000000
0.002343006679
Long
EC
CORP
HK
N
2
N
N
N
GNMA
549300M8ZYFG0OCMTT87
GNMA, Series 2003-62, Class BG
38374BDJ9
725.94000000
PA
USD
812.66000000
0.000089155400
Long
ABS-MBS
USGA
US
N
2
2033-07-20
Fixed
5.00000000
N
N
N
N
N
N
Investor AB
549300VEBQPHRZBKUX38
Investor AB, Class B
N/A
1557.00000000
NS
82595.59000000
0.009061406828
Long
EC
CORP
SE
N
2
N
N
N
Hoshizaki Corp.
5299001QAMLGU3SRBG20
Hoshizaki Corp.
N/A
200.00000000
NS
17142.13000000
0.001880630840
Long
EC
CORP
JP
N
2
N
N
N
Noble Holding International Ltd.
549300GNEZBJHMST9U32
Noble Holding International Ltd.
65504LAQ0
70000.00000000
PA
USD
18200.00000000
0.001996687768
Long
DBT
CORP
KY
Y
2
2026-02-01
Fixed
7.87500000
N
N
N
N
N
N
Kyowa Kirin Co. Ltd.
529900TBXKVTQGYA3582
Kyowa Kirin Co. Ltd.
N/A
900.00000000
NS
23692.25000000
0.002599232185
Long
EC
CORP
JP
N
2
N
N
N
Sony Corp.
529900R5WX9N2OI2N910
Sony Corp.
N/A
21300.00000000
NS
1470342.83000000
0.161308546376
Long
EC
CORP
JP
N
2
N
N
N
Koito Manufacturing Co. Ltd.
N/A
Koito Manufacturing Co. Ltd.
N/A
400.00000000
NS
16183.84000000
0.001775498646
Long
EC
CORP
JP
N
2
N
N
N
Hoya Corp.
353800X4VR3BHEUCJB42
Hoya Corp.
N/A
10500.00000000
NS
1005469.46000000
0.110308163313
Long
EC
CORP
JP
N
2
N
N
N
MISUMI Group, Inc.
353800SJWGE5BEK2V032
MISUMI Group, Inc.
N/A
1000.00000000
NS
25108.40000000
0.002754595338
Long
EC
CORP
JP
N
2
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, Other
3138LHXL3
343886.12000000
PA
USD
388761.03000000
0.042650241397
Long
ABS-MBS
USGSE
US
N
2
2027-04-01
Fixed
3.39000000
N
N
N
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
132.63000000
0.000014550587
N/A
DFE
N/A
N
2
BNP Paribas
R0MUWSFPU8MPRO8K5P83
26933.12000000
GBP
33511.72000000
USD
2020-07-29
132.63000000
N
N
N
CapitaLand Ltd.
2549006LYGY45GHGWZ89
CapitaLand Ltd.
N/A
8800.00000000
NS
18591.27000000
0.002039613264
Long
EC
CORP
SG
N
2
N
N
N
Akzo Nobel NV
724500XYIJUGXAA5QD70
Akzo Nobel NV
N/A
8419.00000000
NS
756368.38000000
0.082979752350
Long
EC
CORP
NL
N
2
N
N
N
J Sainsbury plc
213800VGZAAJIKJ9Y484
J Sainsbury plc
N/A
6334.00000000
NS
16392.13000000
0.001798349751
Long
EC
CORP
GB
N
2
N
N
N
Aeon Mall Co. Ltd.
N/A
Aeon Mall Co. Ltd.
N/A
400.00000000
NS
5315.50000000
0.000583153507
Long
EC
CORP
JP
N
2
N
N
N
Japan Post Holdings Co. Ltd.
5299003D9N4JBS256X18
Japan Post Holdings Co. Ltd.
N/A
5800.00000000
NS
41392.73000000
0.004541118554
Long
EC
CORP
JP
N
2
N
N
N
GNMA
549300M8ZYFG0OCMTT87
GNMA I, 30 Year
36204N5D5
0.05000000
PA
USD
0.05000000
0.000000005485
Long
ABS-MBS
USGA
US
N
2
2026-05-15
Fixed
7.00000000
N
N
N
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
-13682.85000000
-0.00150111973
N/A
DFE
N/A
N
2
Barclays Bank
G5GSEF7VJP5I7OUK5573
2958176.64000000
CHF
335768697.00000000
JPY
2020-07-22
-13682.85000000
N
N
N
Guidewire Software, Inc.
549300WXSG0J8IXZCK32
Guidewire Software, Inc.
40171V100
3907.00000000
NS
USD
433090.95000000
0.047513593542
Long
EC
CORP
US
N
1
N
N
N
Securitas AB
635400TTYKE8EIWDS617
Securitas AB, Class B
N/A
851.00000000
NS
11507.41000000
0.001262456307
Long
EC
CORP
SE
N
2
N
N
N
Volkswagen AG
529900NNUPAGGOMPXZ31
Volkswagen AG
N/A
109.00000000
NS
17598.90000000
0.001930742218
Long
EC
CORP
DE
N
2
N
N
N
Lawson, Inc.
529900IWO8XQO92PR233
Lawson, Inc.
N/A
100.00000000
NS
5030.05000000
0.000551837324
Long
EC
CORP
JP
N
2
N
N
N
Polaris Intermediate Corp.
N/A
Polaris Intermediate Corp.
73107GAA1
102000.00000000
PA
USD
89760.00000000
0.009847400774
Long
DBT
CORP
US
Y
2
2022-12-01
Fixed
8.50000000
N
N
Y
N
N
N
Kraft Heinz Foods Co.
5493003STKEZ2S0RNU91
Kraft Heinz Foods Co.
50077LAT3
320000.00000000
PA
USD
344891.94000000
0.037837446045
Long
DBT
CORP
US
N
2
2029-01-30
Fixed
4.62500000
N
N
N
N
N
N
Mid-America Apartment Communities, Inc.
549300FQZKFR5YNSHZ21
Mid-America Apartment Communities, Inc.
59522J103
9420.00000000
NS
USD
1080191.40000000
0.118505766809
Long
EC
CORP
US
N
1
N
N
N
Eicher Motors Ltd.
25490059S64CN2OY7239
Eicher Motors Ltd.
N/A
119.00000000
NS
28894.98000000
0.003170013908
Long
EC
CORP
IN
N
2
N
N
N
ACC Trust
N/A
ACC Trust, Series 2019-1, Class B
00085MAB5
445000.00000000
PA
USD
428703.66000000
0.047032272208
Long
ABS-O
CORP
US
Y
2
2022-10-20
Fixed
4.47000000
N
N
N
N
N
N
Mitsui Fudosan Co. Ltd.
353800ND4ZKNZDYKMF33
Mitsui Fudosan Co. Ltd.
N/A
18700.00000000
NS
332200.43000000
0.036445084354
Long
EC
CORP
JP
N
2
N
N
N
Bayer AG
549300J4U55H3WP1XT59
Bayer AG (Registered)
N/A
3360.00000000
NS
249055.18000000
0.027323375360
Long
EC
CORP
DE
N
2
N
N
N
Impala Platinum Holdings Ltd.
254900BZFIFB4PD2Z778
Impala Platinum Holdings Ltd.
N/A
3610.00000000
NS
24311.78000000
0.002667199656
Long
EC
CORP
ZA
N
2
N
N
N
Neiman Marcus Group Ltd. LLC
N/A
Neiman Marcus Group Ltd. LLC
64021VAA0
201000.00000000
PA
USD
8040.00000000
0.000882053277
Long
DBT
CORP
US
Y
2
2024-10-25
Fixed
8.00000000
Y
N
N
N
N
N
Straumann Holding AG
50670046ML5FVIM60Z37
Straumann Holding AG (Registered)
N/A
37.00000000
NS
31986.02000000
0.003509126093
Long
EC
CORP
CH
N
2
N
N
N
AGC, Inc.
JE4WFFEELMVPFZ0G1E77
AGC, Inc.
N/A
600.00000000
NS
17201.71000000
0.001887167250
Long
EC
CORP
JP
N
2
N
N
N
EnLink Midstream Partners LP
88CPW63VL7KHJWS0NY83
EnLink Midstream Partners LP
29336UAF4
18000.00000000
PA
USD
13325.40000000
0.001461904570
Long
DBT
CORP
US
N
2
2026-07-15
Fixed
4.85000000
N
N
N
N
N
N
China Petroleum & Chemical Corp.
529900A2OB24EZ5B3J19
China Petroleum & Chemical Corp., Class H
N/A
104000.00000000
NS
43498.93000000
0.004772185795
Long
EC
CORP
CN
N
2
N
N
N
FMG Resources August 2006 Pty. Ltd.
549300EFD6S2NFE9D745
FMG Resources August 2006 Pty. Ltd.
30251GAU1
47000.00000000
PA
USD
47905.69000000
0.005255643146
Long
DBT
CORP
AU
Y
2
2022-05-15
Fixed
4.75000000
N
N
N
N
N
N
FUCHS PETROLUB SE
529900SNF9E1P5ZO4P98
FUCHS PETROLUB SE (Preference)
N/A
237.00000000
NS
9525.94000000
0.001045072960
Long
EC
CORP
DE
N
2
N
N
N
Z Holdings Corp.
52990078MD2OL792YM35
Z Holdings Corp.
N/A
9100.00000000
NS
44660.30000000
0.004899597513
Long
EC
CORP
JP
N
2
N
N
N
Ally Financial, Inc.
549300JBN1OSM8YNAI90
Ally Financial, Inc.
36186CBY8
60000.00000000
PA
USD
77401.81000000
0.008491606993
Long
DBT
CORP
US
N
2
2031-11-01
Fixed
8.00000000
N
N
N
N
N
N
Klepierre SA
969500PB4U31KEFHZ621
Klepierre SA
N/A
674.00000000
NS
13472.46000000
0.001478038246
Long
EC
CORP
FR
N
2
N
N
N
GNMA
549300M8ZYFG0OCMTT87
GNMA, Series 2017-173
38380JFQ6
1204107.20000000
PA
USD
97030.33000000
0.010645015004
Long
ABS-MBS
USGA
US
N
2
2057-09-16
Variable
1.35798100
N
N
N
N
N
N
OPAP SA
213800M4NRGFJCI34834
OPAP SA
N/A
4335.00000000
NS
41312.11000000
0.004532273885
Long
EC
CORP
GR
N
2
N
N
N
MongoDB, Inc.
549300TPTG69WKWE1Z37
MongoDB, Inc.
60937P106
2069.00000000
NS
USD
468297.46000000
0.051376033536
Long
EC
CORP
US
N
1
N
N
N
Japan Exchange Group, Inc.
353800578ADEGIJTVW07
Japan Exchange Group, Inc.
N/A
1700.00000000
NS
39371.89000000
0.004319415999
Long
EC
CORP
JP
N
2
N
N
N
Freeport-McMoRan, Inc.
549300IRDTHJQ1PVET45
Freeport-McMoRan, Inc.
35671DAU9
14000.00000000
PA
USD
14000.00000000
0.001535913668
Long
DBT
CORP
US
N
2
2022-03-01
Fixed
3.55000000
N
N
N
N
N
N
Mitsubishi Corp.
KVIPTY4PULAPGC1VVD26
Mitsubishi Corp.
N/A
4700.00000000
NS
99319.11000000
0.010896112753
Long
EC
CORP
JP
N
2
N
N
N
Casino Guichard Perrachon SA
969500VHL8F83GBL6L29
Casino Guichard Perrachon SA
N/A
138.00000000
NS
5112.66000000
0.000560900312
Long
EC
CORP
FR
N
2
N
N
N
Kennedy-Wilson, Inc.
5EA4464UK7FM5QNNKL62
Kennedy-Wilson, Inc.
489399AG0
39000.00000000
PA
USD
38805.00000000
0.004257223563
Long
DBT
CORP
US
N
2
2024-04-01
Fixed
5.87500000
N
N
N
N
N
N
Recordati SpA
815600FBF92FD3531704
Recordati SpA
N/A
381.00000000
NS
19064.73000000
0.002091555670
Long
EC
CORP
IT
N
2
N
N
N
Tokyo Electric Power Co. Holdings, Inc.
5299004EMJ3R4RVR5Y75
Tokyo Electric Power Co. Holdings, Inc.
N/A
5000.00000000
NS
15380.94000000
0.001687413998
Long
EC
CORP
JP
N
2
N
N
N
Kyushu Electric Power Co., Inc.
549300BYNZPLKQVQH430
Kyushu Electric Power Co., Inc.
N/A
1200.00000000
NS
10057.37000000
0.001103375146
Long
EC
CORP
JP
N
2
N
N
N
AmeriGas Partners LP
N/A
AmeriGas Partners LP
030981AL8
39000.00000000
PA
USD
41242.50000000
0.004524637103
Long
DBT
CORP
US
N
2
2027-05-20
Fixed
5.75000000
N
N
N
N
N
N
JPMorgan Emerging Markets Debt Fund
8KLDAXM5A9FOP50PQD10
JPMorgan Emerging Markets Debt Fund, Class R6
48121A134
117882.18300000
NS
USD
898262.23000000
0.098546659751
Long
RF
US
N
1
N
N
N
Gazprom PJSC
213800FD9J2IHTA7YX78
Gazprom PJSC
368287207
16876.00000000
NS
USD
91129.27000000
0.009997620810
Long
EC
CORP
RU
N
2
N
N
N
Vestas Wind Systems A/S
549300DYMC8BGZZC8844
Vestas Wind Systems A/S
N/A
647.00000000
NS
66254.62000000
0.007268669744
Long
EC
CORP
DK
N
2
N
N
N
Fisher & Paykel Healthcare Corp. Ltd.
N/A
Fisher & Paykel Healthcare Corp. Ltd.
N/A
1964.00000000
NS
45244.31000000
0.004963668152
Long
EC
CORP
NZ
N
2
N
N
N
Stanley Electric Co. Ltd.
N/A
Stanley Electric Co. Ltd.
N/A
500.00000000
NS
12103.80000000
0.001327885132
Long
EC
CORP
JP
N
2
N
N
N
Hertz Corp. (The)
549300PD0C69OJ0NLB27
Hertz Corp. (The)
428040CT4
55000.00000000
PA
USD
41250.00000000
0.004525459914
Long
DBT
CORP
US
Y
2
2022-06-01
Fixed
7.62500000
Y
N
N
N
N
N
Seiko Epson Corp.
549300NIOFQDR749W206
Seiko Epson Corp.
N/A
900.00000000
NS
10310.12000000
0.001131103873
Long
EC
CORP
JP
N
2
N
N
N
EQT Corp.
4NT01YGM4X7ZX86ISY52
EQT Corp.
26884L109
23963.00000000
NS
USD
285159.70000000
0.031284334342
Long
EC
CORP
US
N
1
N
N
N
Hermes International
969500Y4IJGHJE2MTJ13
Hermes International
N/A
109.00000000
NS
91517.25000000
0.010040185366
Long
EC
CORP
FR
N
2
N
N
N
GNMA
549300M8ZYFG0OCMTT87
GNMA, Series 2008-33, Class PB
38375QEY1
2072.34000000
PA
USD
2389.24000000
0.000262119026
Long
ABS-MBS
USGA
US
N
2
2038-04-20
Fixed
5.50000000
N
N
N
N
N
N
Oil Search Ltd.
529900NIUGGGKB5VMO41
Oil Search Ltd.
N/A
6579.00000000
NS
14580.12000000
0.001599557542
Long
EC
CORP
PG
N
2
N
N
N
QUALCOMM, Inc.
H1J8DDZKZP6H7RWC0H53
QUALCOMM, Inc.
747525103
15840.00000000
NS
USD
1444766.40000000
0.158502604347
Long
EC
CORP
US
N
1
N
N
N
Gulfport Energy Corp.
549300FJX18IDUFPHD40
Gulfport Energy Corp.
402635AL0
85000.00000000
PA
USD
42398.43000000
0.004651452009
Long
DBT
CORP
US
N
2
2025-05-15
Fixed
6.37500000
N
N
N
N
N
N
International Flavors & Fragrances, Inc.
BZLRL03D3GPGMOGFO832
International Flavors & Fragrances, Inc.
459506309
6228.00000000
NS
USD
275900.40000000
0.030268513955
Long
EP
CORP
US
N
1
N
N
N
New York Times Co. (The)
529900J1WEMMIW7BOH57
New York Times Co. (The), Class A
650111107
11232.00000000
NS
USD
472080.96000000
0.051791114205
Long
EC
CORP
US
N
1
N
N
N
Konami Holdings Corp.
353800FC4A5QCMIZFV94
Konami Holdings Corp.
N/A
300.00000000
NS
10010.66000000
0.001098250679
Long
EC
CORP
JP
N
2
N
N
N
LafargeHolcim Ltd.
529900EHPFPYHV6IQO98
LafargeHolcim Ltd. (Registered)
N/A
18693.00000000
NS
823539.55000000
0.090348975071
Long
EC
CORP
CH
N
2
N
N
N
Keyence Corp.
529900M7PQBS7A89DZ11
Keyence Corp.
N/A
3700.00000000
NS
1550527.71000000
0.170105478745
Long
EC
CORP
JP
N
2
N
N
N
Five9, Inc.
254900MXP6EWY0SFFR59
Five9, Inc.
338307AC5
192000.00000000
PA
USD
205560.00000000
0.022551600971
Long
DBT
CORP
US
Y
2
2025-06-01
Fixed
0.50000000
N
N
N
N
Y
Five9, Inc.
Five9, Inc.
USD
XXXX
N
N
N
Covivio
969500P8M3W2XX376054
Covivio
N/A
187.00000000
NS
13563.79000000
0.001488057889
Long
EC
CORP
FR
N
2
N
N
N
GNMA
549300M8ZYFG0OCMTT87
GNMA I, 30 Year
36206JYC2
0.22000000
PA
USD
0.22000000
0.000000024135
Long
ABS-MBS
USGA
US
N
2
2025-08-15
Fixed
7.00000000
N
N
N
N
N
N
Connecticut Avenue Securities Trust
N/A
Connecticut Avenue Securities Trust, Series 2019-R01, Class 2M2
20754FAK8
547705.05000000
PA
USD
534319.14000000
0.058619147872
Long
ABS-MBS
CORP
US
Y
2
2031-07-25
Floating
2.63450200
N
N
N
N
N
N
Quicken Loans LLC
549300FGXN1K3HLB1R50
Quicken Loans LLC
74840LAB8
170000.00000000
PA
USD
176800.00000000
0.019396395464
Long
DBT
CORP
US
Y
2
2028-01-15
Fixed
5.25000000
N
N
N
N
N
N
Nasdaq, Inc.
549300L8X1Q78ERXFD06
Nasdaq, Inc.
631103108
4492.00000000
NS
USD
536659.24000000
0.058875875841
Long
EC
CORP
US
N
1
N
N
N
Singapore Technologies Engineering Ltd.
254900OEXGGWCR24DG90
Singapore Technologies Engineering Ltd.
N/A
5700.00000000
NS
13604.46000000
0.001492519718
Long
EC
CORP
SG
N
2
N
N
N
Specialty Underwriting & Residential Finance Trust
N/A
Specialty Underwriting & Residential Finance Trust, Series 2003-BC4, Class M1
84751PBK4
238775.69000000
PA
USD
233674.84000000
0.025636027187
Long
ABS-O
CORP
US
N
3
2034-11-25
Floating
1.08450000
N
N
N
N
N
N
Komatsu Ltd.
5493004LQ0B4T7QPQV17
Komatsu Ltd.
N/A
29500.00000000
NS
604175.58000000
0.066282966514
Long
EC
CORP
JP
N
2
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
2047.57000000
0.000224635053
N/A
DFE
N/A
N
2
Citibank
MBNUM2BPBDO7JBLYG310
69720794.00000000
JPY
647759.95000000
USD
2020-07-02
2047.57000000
N
N
N
Chegg, Inc.
549300AKX7O8JG0O3G77
Chegg, Inc.
163092AD1
286000.00000000
PA
USD
404446.90000000
0.044371108692
Long
DBT
CORP
US
N
2
2025-03-15
Fixed
0.12500000
N
N
N
N
Y
Chegg, Inc.
Chegg, Inc.
USD
XXXX
N
N
N
Santander Revolving Auto Loan Trust
N/A
Santander Revolving Auto Loan Trust, Series 2019-A, Class C
80286JAC9
310000.00000000
PA
USD
316101.64000000
0.034678916382
Long
ABS-O
CORP
US
Y
2
2032-01-26
Fixed
3.00000000
N
N
N
N
N
N
Kerry Properties Ltd.
5299006T5ULIIRZ7LK49
Kerry Properties Ltd.
N/A
2500.00000000
NS
6494.08000000
0.000712453302
Long
EC
CORP
BM
N
2
N
N
N
SGS SA
2138007JNS19JHNA2336
SGS SA (Registered)
N/A
241.00000000
NS
590364.52000000
0.064767781098
Long
EC
CORP
CH
N
2
N
N
N
Banco do Brasil SA
QE0Q0253K88YAGNPE356
Banco do Brasil SA
N/A
4132.00000000
NS
24504.33000000
0.002688323955
Long
EC
CORP
BR
N
1
N
N
N
Open Text Corp.
549300HP7ONDQODZJV16
Open Text Corp.
683715AB2
120000.00000000
PA
USD
124513.20000000
0.013660108980
Long
DBT
CORP
CA
Y
2
2026-06-01
Fixed
5.87500000
N
N
N
N
N
N
SBI Holdings, Inc.
353800L6LMHYIPSMRQ17
SBI Holdings, Inc.
N/A
800.00000000
NS
17360.40000000
0.001904576831
Long
EC
CORP
JP
N
2
N
N
N
Ball Corp.
0BGI85ALH27ZJP15DY16
Ball Corp.
058498106
16688.00000000
NS
USD
1159649.12000000
0.127222923822
Long
EC
CORP
US
N
1
N
N
N
Oracle Corp.
529900MIMKY9RU60Z323
Oracle Corp.
N/A
100.00000000
NS
11861.26000000
0.001301276525
Long
EC
CORP
JP
N
2
N
N
N
Commercial Mortgage Trust
N/A
Commercial Mortgage Trust, Series 2020-CBM, Class F
20049AAJ7
270000.00000000
PA
USD
212010.16000000
0.023259235893
Long
ABS-MBS
CORP
US
Y
2
2037-02-10
Variable
3.75377800
N
N
N
N
N
N
Canon, Inc.
529900JH1GSC035SSP77
Canon, Inc.
N/A
3500.00000000
NS
69818.11000000
0.007659613530
Long
EC
CORP
JP
N
2
N
N
N
Poste Italiane SpA
815600354DEDBD0BA991
Poste Italiane SpA
N/A
1906.00000000
NS
16649.37000000
0.001826571067
Long
EC
CORP
IT
Y
2
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
1170.37000000
0.000128399091
N/A
DFE
N/A
N
2
Merrill Lynch International
AHYI0DDQ2LCHPGHJC422
28391.23000000
USD
195955.20000000
DKK
2020-07-29
1170.37000000
N
N
N
Impac CMB Trust
N/A
Impac CMB Trust, Series 2005-5, Class A4
45254NQF7
284549.54000000
PA
USD
255374.45000000
0.028016650587
Long
ABS-MBS
CORP
US
N
2
2035-08-25
Floating
0.94450000
N
N
N
N
N
N
Beiersdorf AG
L47NHHI0Z9X22DV46U41
Beiersdorf AG
N/A
345.00000000
NS
39231.42000000
0.004304005299
Long
EC
CORP
DE
N
2
N
N
N
Naturgy Energy Group SA
TL2N6M87CW970S5SV098
Naturgy Energy Group SA
N/A
1077.00000000
NS
20106.44000000
0.002205839715
Long
EC
CORP
ES
N
2
N
N
N
Venture Corp. Ltd.
254900B1NLZC3J1MAE72
Venture Corp. Ltd.
N/A
1000.00000000
NS
11686.70000000
0.001282125876
Long
EC
CORP
SG
N
2
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
-294.86000000
-0.00003234853
N/A
DFE
N/A
N
2
Merrill Lynch International
AHYI0DDQ2LCHPGHJC422
97764.09000000
DKK
14453.73000000
USD
2020-07-29
-294.86000000
N
N
N
IBERIABANK Corp.
WQ4U3ADCR5WID15LA317
IBERIABANK Corp.
450828108
7665.00000000
NS
USD
349064.10000000
0.038295165871
Long
EC
CORP
US
N
1
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
3907.44000000
0.000428677893
N/A
DFE
N/A
N
2
Barclays Bank
G5GSEF7VJP5I7OUK5573
1334824.24000000
USD
23284674.00000000
ZAR
2020-07-22
3907.44000000
N
N
N
Portland General Electric Co.
GJOUP9M7C39GLSK9R870
Portland General Electric Co.
736508847
6215.00000000
NS
USD
259849.15000000
0.028507561507
Long
EC
CORP
US
N
1
N
N
N
Nippon Yusen KK
N/A
Nippon Yusen KK
N/A
500.00000000
NS
7076.57000000
0.000776357184
Long
EC
CORP
JP
N
2
N
N
N
Crestwood Midstream Partners LP
N/A
Crestwood Midstream Partners LP
226373AP3
55000.00000000
PA
USD
47507.35000000
0.005211942014
Long
DBT
CORP
US
N
2
2025-04-01
Fixed
5.75000000
N
N
N
N
N
N
Randstad NV
7245009EAAUUQJ0U4T57
Randstad NV
N/A
361.00000000
NS
16142.12000000
0.001770921624
Long
EC
CORP
NL
N
2
N
N
N
Westlake Automobile Receivables Trust
5493000EWZKZ6H2PNY04
Westlake Automobile Receivables Trust, Series 2018-3A, Class D
96042GAL6
1710000.00000000
PA
USD
1744598.43000000
0.191396612417
Long
ABS-O
CORP
US
Y
2
2023-10-16
Fixed
4.00000000
N
N
N
N
N
N
Fast Retailing Co. Ltd.
353800ZCXKHDPY0N5218
Fast Retailing Co. Ltd.
N/A
200.00000000
NS
114954.39000000
0.012611429914
Long
EC
CORP
JP
N
2
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
-1064.50000000
-0.00011678429
N/A
DFE
N/A
N
2
BNP Paribas
R0MUWSFPU8MPRO8K5P83
622692.49000000
AUD
428709.46000000
USD
2020-07-22
-1064.50000000
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
-10986.48000000
-0.00120530605
N/A
DFE
N/A
N
2
Barclays Capital
AC28XWWI3WIBK2824319
48569913.16000000
PHP
964530.80000000
USD
2020-07-22
-10986.48000000
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
-20563.97000000
-0.00225603447
N/A
DFE
N/A
N
2
HSBC Bank
MP6I5ZYZBEU3UXPYFY54
4503939.24000000
USD
106347598.89000000
CZK
2020-07-22
-20563.97000000
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
-97.76000000
-0.00001072506
N/A
DFE
N/A
N
2
State Street Bank and Trust
571474TGEMMWANRLN572
113436.59000000
USD
12233417.00000000
JPY
2020-07-29
-97.76000000
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
-1440.83000000
-0.00015807074
N/A
DFE
N/A
N
2
Citibank
MBNUM2BPBDO7JBLYG310
599809.52000000
USD
566924.42000000
CHF
2020-07-02
-1440.83000000
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
1.81000000
0.000000198571
N/A
DFE
N/A
N
2
State Street Bank and Trust
571474TGEMMWANRLN572
141411.25000000
SEK
15182.94000000
USD
2020-07-29
1.81000000
N
N
N
MGM Growth Properties Operating Partnership LP
N/A
MGM Growth Properties Operating Partnership LP
55303XAC9
220000.00000000
PA
USD
228815.40000000
0.025102907165
Long
DBT
CORP
US
N
2
2024-05-01
Fixed
5.62500000
N
N
N
N
N
N
VICI Properties LP
N/A
VICI Properties LP
92564RAE5
30000.00000000
PA
USD
28612.50000000
0.003139023559
Long
DBT
CORP
US
Y
2
2030-08-15
Fixed
4.12500000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, Connecticut Avenue Securities, Series 2018-C02, Class 2M2
30711XC36
1168203.22000000
PA
USD
1141886.87000000
0.125274260783
Long
ABS-MBS
CORP
US
N
2
2030-08-25
Floating
2.38450000
N
N
N
N
N
N
Altice France SA
5493001ZMCICV4N02J21
Altice France SA
67054KAA7
735000.00000000
PA
USD
767295.90000000
0.084178590016
Long
DBT
CORP
FR
Y
2
2026-05-01
Fixed
7.37500000
N
N
N
N
N
N
Fosun International Ltd.
213800Z99WQEXDF82F09
Fosun International Ltd.
N/A
25500.00000000
NS
32681.37000000
0.003585411633
Long
EC
CORP
HK
N
2
N
N
N
Insurance Australia Group Ltd.
549300PFEWKNHRG25N08
Insurance Australia Group Ltd.
N/A
7903.00000000
NS
31717.58000000
0.003479676045
Long
EC
CORP
AU
N
2
N
N
N
Rio Tinto Ltd.
529900X2VMAQT2PE0V24
Rio Tinto Ltd.
N/A
1270.00000000
NS
86961.47000000
0.009540379311
Long
EC
CORP
AU
N
2
N
N
N
Country Garden Holdings Co. Ltd.
549300MGHLPT1EFHGF84
Country Garden Holdings Co. Ltd.
N/A
43000.00000000
NS
53332.92000000
0.005851054341
Long
EC
CORP
KY
N
2
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
5865.55000000
0.000643498458
N/A
DFE
N/A
N
2
Goldman Sachs International
W22LROWP2IHZNBB6K528
3640472.14000000
ILS
1057354.67000000
USD
2020-07-22
5865.55000000
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
-3567.68000000
-0.00039140346
N/A
DFE
N/A
N
2
Citibank
MBNUM2BPBDO7JBLYG310
138739.83000000
CHF
142990.66000000
USD
2020-07-29
-3567.68000000
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
4610.76000000
0.000505837807
N/A
DFE
N/A
N
2
Standard Chartered Bank
U4LOSYZ7YG4W3S5F2G91
51252032.00000000
JPY
742859.62000000
NZD
2020-07-22
4610.76000000
N
N
N
Orsted A/S
W9NG6WMZIYEU8VEDOG48
Orsted A/S
N/A
7956.00000000
NS
918133.80000000
0.100726732320
Long
EC
CORP
DK
Y
1
N
N
N
Edison International
549300I7ROF15MAEVP56
Edison International
281020107
6952.00000000
NS
USD
377563.12000000
0.041421739753
Long
EC
CORP
US
N
1
N
N
N
Hiwin Technologies Corp.
N/A
Hiwin Technologies Corp.
N/A
8000.00000000
NS
80209.55000000
0.008799638867
Long
EC
CORP
TW
N
2
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
-60059.91000000
-0.00658905976
N/A
DFE
N/A
N
2
Merrill Lynch International
AHYI0DDQ2LCHPGHJC422
1414867.70000000
EUR
1530533.13000000
USD
2020-07-29
-60059.91000000
N
N
N
Astra International Tbk. PT
529900L49TRJOMG4DK47
Astra International Tbk. PT
N/A
141800.00000000
NS
47962.08000000
0.005261829587
Long
EC
CORP
ID
N
2
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
610.22000000
0.000066946088
N/A
DFE
N/A
N
2
Merrill Lynch International
AHYI0DDQ2LCHPGHJC422
28377.22000000
USD
27441.03000000
CHF
2020-07-29
610.22000000
N
N
N
MASTR Alternative Loan Trust
N/A
MASTR Alternative Loan Trust, Series 2004-6, Class 8A1
576434SL9
118964.90000000
PA
USD
121549.22000000
0.013334936309
Long
ABS-MBS
CORP
US
N
2
2034-07-25
Fixed
5.50000000
N
N
N
N
N
N
Noble Holding International Ltd.
549300GNEZBJHMST9U32
Noble Holding International Ltd.
65504LAK3
24000.00000000
PA
USD
720.00000000
0.000078989845
Long
DBT
CORP
KY
N
2
2042-03-15
Fixed
5.25000000
N
N
N
N
N
N
VICI Properties LP
N/A
VICI Properties LP
92564RAC9
30000.00000000
PA
USD
28200.00000000
0.003093768959
Long
DBT
CORP
US
Y
2
2025-02-15
Fixed
3.50000000
N
N
N
N
N
N
Citigroup Mortgage Loan Trust
N/A
Citigroup Mortgage Loan Trust, Series 2005-11, Class A2A
17307GW79
102396.12000000
PA
USD
99056.95000000
0.010867351672
Long
ABS-MBS
CORP
US
N
2
2035-10-25
Floating
4.38000100
N
N
N
N
N
N
Sharp Corp.
353800YEPK9PD7QO3449
Sharp Corp.
N/A
800.00000000
NS
8579.63000000
0.000941255070
Long
EC
CORP
JP
N
2
N
N
N
Netflix, Inc.
549300Y7VHGU0I7CE873
Netflix, Inc.
64110LAS5
100000.00000000
PA
USD
106927.00000000
0.011730760055
Long
DBT
CORP
US
N
2
2028-04-15
Fixed
4.87500000
N
N
N
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
-266.56000000
-0.00002924379
N/A
DFE
N/A
N
2
Merrill Lynch International
AHYI0DDQ2LCHPGHJC422
18640.59000000
CHF
19424.50000000
USD
2020-07-29
-266.56000000
N
N
N
Silergy Corp.
N/A
Silergy Corp.
N/A
1000.00000000
NS
65508.30000000
0.007186792381
Long
EC
CORP
KY
N
2
N
N
N
Prestige Brands, Inc.
549300JBVP4J6D42I235
Prestige Brands, Inc.
74112BAK1
95000.00000000
PA
USD
97850.00000000
0.010734939458
Long
DBT
CORP
US
Y
2
2024-03-01
Fixed
6.37500000
N
N
N
N
N
N
Oasis Petroleum, Inc.
529900FA4V2YNIKZ0M71
Oasis Petroleum, Inc.
674215AJ7
20000.00000000
PA
USD
3052.00000000
0.000334829179
Long
DBT
CORP
US
N
2
2023-09-15
Fixed
2.62500000
N
N
N
N
Y
Oasis Petroleum, Inc.
Oasis Petroleum, Inc.
USD
XXXX
N
N
N
Mirvac Group
N/A
Mirvac Group
N/A
13460.00000000
NS
20332.72000000
0.002230664468
Long
EC
CORP
AU
N
2
N
N
N
GNMA
549300M8ZYFG0OCMTT87
GNMA, Series 2017-86
38379RB77
986908.57000000
PA
USD
55575.58000000
0.006097092352
Long
ABS-MBS
USGA
US
N
2
2059-05-16
Variable
0.78364100
N
N
N
N
N
N
SM Energy Co.
84BUTVXV5ODI6BXNMH43
SM Energy Co.
78454LAP5
89000.00000000
PA
USD
43610.00000000
0.004784371075
Long
DBT
CORP
US
N
2
2027-01-15
Fixed
6.62500000
N
N
N
N
N
N
SCOR SE
96950056ULJ4JI7V3752
SCOR SE
N/A
532.00000000
NS
14692.92000000
0.001611932617
Long
EC
CORP
FR
N
2
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
7845.00000000
0.000860660194
N/A
DFE
N/A
N
2
BNP Paribas
R0MUWSFPU8MPRO8K5P83
938000.00000000
EUR
25195055.20000000
CZK
2020-07-22
7845.00000000
N
N
N
Grupo Mexico SAB de CV
529900JWLZAYET2ZGW20
Grupo Mexico SAB de CV, Series B
N/A
39340.00000000
NS
91398.81000000
0.010027191537
Long
EC
CORP
MX
N
1
N
N
N
WESCO Distribution, Inc.
549300I2CEZJG9N4AH67
WESCO Distribution, Inc.
95081QAP9
120000.00000000
PA
USD
126548.40000000
0.013883386944
Long
DBT
CORP
US
Y
2
2028-06-15
Fixed
7.25000000
N
N
N
N
N
N
Hikma Pharmaceuticals plc
549300BNS685UXH4JI75
Hikma Pharmaceuticals plc
N/A
591.00000000
NS
16217.69000000
0.001779212266
Long
EC
CORP
GB
N
2
N
N
N
BHP Group plc
549300C116EOWV835768
BHP Group plc
N/A
7223.00000000
NS
147804.73000000
0.016215378928
Long
EC
CORP
GB
N
2
N
N
N
Commerce Bancshares, Inc.
N/A
Commerce Bancshares, Inc.
200525103
6399.00000000
NS
USD
380548.53000000
0.041749263469
Long
EC
CORP
US
N
1
N
N
N
IndusInd Bank Ltd.
335800JDVJ8HSXG9G512
IndusInd Bank Ltd.
N/A
3040.00000000
NS
19154.90000000
0.002101448051
Long
EC
CORP
IN
N
2
N
N
N
Occidental Petroleum Corp.
IM7X0T3ECJW4C1T7ON55
Occidental Petroleum Corp.
674599EA9
158000.00000000
PA
USD
157802.50000000
0.017312215471
Long
DBT
CORP
US
N
2
2030-07-15
Fixed
8.87500000
N
N
N
N
N
N
Amada Co. Ltd.
529900QF5O6TQGCPDX85
Amada Co. Ltd.
N/A
1200.00000000
NS
9825.44000000
0.001077930542
Long
EC
CORP
JP
N
2
N
N
N
Argent Securities, Inc. Asset-Backed Pass-Through Certificates
N/A
Argent Securities, Inc. Asset-Backed Pass-Through Certificates, Series 2004-W3, Class A3
040104FW6
70534.31000000
PA
USD
66132.24000000
0.007255243665
Long
ABS-O
CORP
US
N
3
2034-02-25
Floating
1.00450100
N
N
N
N
N
N
CommScope, Inc.
549300Z6K4JXMFE8QY54
CommScope, Inc.
20338QAB9
71000.00000000
PA
USD
71710.00000000
0.007867169223
Long
DBT
CORP
US
Y
2
2024-03-01
Fixed
5.50000000
N
N
N
N
N
N
AMC Entertainment Holdings, Inc.
549300ZO77UNR6NRBR11
AMC Entertainment Holdings, Inc.
00165AAH1
205000.00000000
PA
USD
64575.00000000
0.007084401793
Long
DBT
CORP
US
N
2
2025-06-15
Fixed
5.75000000
N
N
N
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
8158.66000000
0.000895071243
N/A
DFE
N/A
N
2
Citibank
MBNUM2BPBDO7JBLYG310
793301.24000000
GBP
991354.53000000
USD
2020-08-03
8158.66000000
N
N
N
TOTO Ltd.
N/A
TOTO Ltd.
N/A
500.00000000
NS
19224.22000000
0.002109053018
Long
EC
CORP
JP
N
2
N
N
N
Azrieli Group Ltd.
N/A
Azrieli Group Ltd.
N/A
159.00000000
NS
7246.72000000
0.000795024021
Long
EC
CORP
IL
N
2
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
-3926.23000000
-0.00043073930
N/A
DFE
N/A
N
2
Merrill Lynch International
AHYI0DDQ2LCHPGHJC422
112498.96000000
EUR
122545.00000000
USD
2020-07-29
-3926.23000000
N
N
N
LendLease Group
N/A
LendLease Group
N/A
2263.00000000
NS
19559.66000000
0.002145853509
Long
EC
CORP
AU
N
2
N
N
N
Spirax-Sarco Engineering plc
213800WFVZQMHOZP2W17
Spirax-Sarco Engineering plc
N/A
253.00000000
NS
31146.81000000
0.003417057942
Long
EC
CORP
GB
N
2
N
N
N
GPT Group (The)
N/A
GPT Group (The)
N/A
6665.00000000
NS
19362.59000000
0.002124233330
Long
EC
CORP
AU
N
2
N
N
N
Lojas Renner SA
N/A
Lojas Renner SA
N/A
52159.00000000
NS
404277.57000000
0.044352531816
Long
EC
CORP
BR
N
1
N
N
N
MultiPlan, Inc.
N/A
MultiPlan, Inc., 1st Lien Term Loan B
55328HAE1
195000.00000000
PA
USD
185006.25000000
0.020296687717
Long
LON
CORP
US
N
2
2023-06-07
Variable
3.75000000
N
N
N
N
N
N
Wharf Real Estate Investment Co. Ltd.
529900QLPKS8U9QOPB59
Wharf Real Estate Investment Co. Ltd.
N/A
6000.00000000
NS
28803.64000000
0.003159993168
Long
EC
CORP
KY
N
2
N
N
N
Tenet Healthcare Corp.
0W9AIBT6U6ADJ2I8HK17
Tenet Healthcare Corp.
88033GDA5
63000.00000000
PA
USD
62162.10000000
0.006819687073
Long
DBT
CORP
US
Y
2
2027-11-01
Fixed
5.12500000
N
N
N
N
N
N
Uni-President Enterprises Corp.
254900DAXBDMVEXU5959
Uni-President Enterprises Corp.
N/A
44000.00000000
NS
106603.50000000
0.011695269479
Long
EC
CORP
TW
N
2
N
N
N
Carlsberg A/S
5299001O0WJQYB5GYZ19
Carlsberg A/S, Class B
N/A
10726.00000000
NS
1422355.15000000
0.156043908261
Long
EC
CORP
DK
N
2
N
N
N
Chr Hansen Holding A/S
549300MKPW8ZF3E8MW37
Chr Hansen Holding A/S
N/A
362.00000000
NS
37338.66000000
0.004096354159
Long
EC
CORP
DK
N
2
N
N
N
Yokohama Rubber Co. Ltd. (The)
52990036XNWY2FMYWB76
Yokohama Rubber Co. Ltd. (The)
N/A
100.00000000
NS
1414.00000000
0.000155127280
Long
EC
CORP
JP
N
2
N
N
N
Grifols SA
959800HSSNXWRKBK4N60
Grifols SA
N/A
980.00000000
NS
29799.88000000
0.003269288785
Long
EC
CORP
ES
N
2
N
N
N
TerraForm Power Operating LLC
5493000S2OLR3UT5BE13
TerraForm Power Operating LLC
88104LAE3
85000.00000000
PA
USD
88825.00000000
0.009744823683
Long
DBT
CORP
US
Y
2
2028-01-31
Fixed
5.00000000
N
N
N
N
N
N
ASML Holding NV
724500Y6DUVHQD6OXN27
ASML Holding NV
N/A
10535.00000000
NS
3853842.06000000
0.422797763882
Long
EC
CORP
NL
N
2
N
N
N
Chiba Bank Ltd. (The)
FGJPAKKCTZVSKZXNBS63
Chiba Bank Ltd. (The)
N/A
1800.00000000
NS
8509.95000000
0.000933610608
Long
EC
CORP
JP
N
2
N
N
N
Prime Security Services Borrower LLC
N/A
Prime Security Services Borrower LLC
74166MAE6
125000.00000000
PA
USD
117737.50000000
0.012916759677
Long
DBT
CORP
US
Y
2
2028-01-15
Fixed
6.25000000
N
N
N
N
N
N
Outfront Media Capital LLC
N/A
Outfront Media Capital LLC
69007TAB0
120000.00000000
PA
USD
108000.00000000
0.011848476867
Long
DBT
CORP
US
Y
2
2027-08-15
Fixed
5.00000000
N
N
N
N
N
N
voestalpine AG
529900ZAXBMQDIWPNB72
voestalpine AG
N/A
426.00000000
NS
9199.64000000
0.001009275201
Long
EC
CORP
AT
N
2
N
N
N
Air Water, Inc.
N/A
Air Water, Inc.
N/A
700.00000000
NS
9890.26000000
0.001085041822
Long
EC
CORP
JP
N
2
N
N
N
Natixis SA
KX1WK48MPD4Y2NCUIZ63
Natixis SA
N/A
3237.00000000
NS
8537.71000000
0.000936656105
Long
EC
CORP
FR
N
2
N
N
N
GSR Mortgage Loan Trust
N/A
GSR Mortgage Loan Trust, Series 2004-8F, Class 2A3
36242DCH4
3751.66000000
PA
USD
3826.64000000
0.000419813477
Long
ABS-MBS
CORP
US
N
2
2034-09-25
Fixed
6.00000000
N
N
N
N
N
N
Japan Tobacco, Inc.
353800Z0ENYBQO0XRJ31
Japan Tobacco, Inc.
N/A
4200.00000000
NS
78005.57000000
0.008557844367
Long
EC
CORP
JP
N
2
N
N
N
Dexus
N/A
Dexus
N/A
4000.00000000
NS
25673.29000000
0.002816568358
Long
EC
CORP
AU
N
2
N
N
N
Lazard Ltd.
254900RIBCDJSUFG1A11
Lazard Ltd., Class A
N/A
12105.00000000
NS
USD
346566.15000000
0.038021120475
Long
EC
CORP
BM
N
1
N
N
N
Telefonica SA
549300EEJH4FEPDBBR25
Telefonica SA
879382109
15981.00000000
NS
76433.57000000
0.008385383204
Long
EC
CORP
ES
N
2
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
-7269.79000000
-0.00079755498
N/A
DFE
N/A
N
2
State Street Bank and Trust
571474TGEMMWANRLN572
6204394.98000000
SEK
658799.64000000
USD
2020-07-29
-7269.79000000
N
N
N
Mercury NZ Ltd.
254900XLT925U953KK55
Mercury NZ Ltd.
N/A
2330.00000000
NS
7098.66000000
0.000778780637
Long
EC
CORP
NZ
N
2
N
N
N
Fortum OYJ
635400IUIZZIUJSAMF76
Fortum OYJ
N/A
1520.00000000
NS
28998.76000000
0.003181399417
Long
EC
CORP
FI
N
2
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
664.27000000
0.000072875812
N/A
DFE
N/A
N
2
BNP Paribas
R0MUWSFPU8MPRO8K5P83
970927.64000000
EUR
881162.47000000
GBP
2020-07-22
664.27000000
N
N
N
American Credit Acceptance Receivables Trust
N/A
American Credit Acceptance Receivables Trust, Series 2019-3, Class E
02529NAJ6
400000.00000000
PA
USD
389835.00000000
0.042768064626
Long
ABS-O
CORP
US
Y
2
2025-09-12
Fixed
3.80000000
N
N
N
N
N
N
Hilton Domestic Operating Co., Inc.
5493003EG7H0N1E4XV50
Hilton Domestic Operating Co., Inc.
432833AB7
20000.00000000
PA
USD
19404.00000000
0.002128776343
Long
DBT
CORP
US
N
2
2024-09-01
Fixed
4.25000000
N
N
N
N
N
N
Murata Manufacturing Co. Ltd.
529900QZG6DL8ZRI7140
Murata Manufacturing Co. Ltd.
N/A
2000.00000000
NS
117897.01000000
0.012934259219
Long
EC
CORP
JP
N
2
N
N
N
Barclays plc
213800LBQA1Y9L22JB70
Barclays plc
N/A
59065.00000000
NS
83328.81000000
0.009141847015
Long
EC
CORP
GB
N
2
N
N
N
HCA Healthcare, Inc.
529900PH4ZGUH2MNEU89
HCA Healthcare, Inc.
40412C101
2682.00000000
NS
USD
260314.92000000
0.028558660258
Long
EC
CORP
US
N
1
N
N
N
N/A
N/A
Russell 2000 E-Mini Index
N/A
239.00000000
NC
USD
661684.83000000
0.072592198165
N/A
DE
US
N
1
CME Clearing House
LCZ7XYGSLJUHFXXNXD88
Long
Russell 2000 E-Mini Index
US1248351090
2020-09-18
17163785.00000000
USD
661684.83000000
N
N
N
LG Chem Ltd.
988400IES4EIG7O06940
LG Chem Ltd.
N/A
389.00000000
NS
160532.17000000
0.017611682432
Long
EC
CORP
KR
N
2
N
N
N
Akamai Technologies, Inc.
OC1LZNN2LF5WTJ5RIL89
Akamai Technologies, Inc.
00971TAJ0
399000.00000000
PA
USD
496875.61000000
0.054511288621
Long
DBT
CORP
US
N
2
2025-05-01
Fixed
0.12500000
N
N
N
N
Y
Akamai Technologies, Inc.
Akamai Technologies, Inc.
USD
XXXX
N
N
N
Boliden AB
21380059QU7IM1ONDJ56
Boliden AB
N/A
959.00000000
NS
21996.05000000
0.002413145274
Long
EC
CORP
SE
N
2
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
-5733.62000000
-0.00062902466
N/A
DFE
N/A
N
2
Citibank
MBNUM2BPBDO7JBLYG310
418737.89000000
USD
2248287.47000000
BRL
2020-07-22
-5733.62000000
N
N
N
Lennar Corp.
529900G61XVRLX5TJX09
Lennar Corp.
526057BV5
130000.00000000
PA
USD
138775.00000000
0.015224744234
Long
DBT
CORP
US
N
2
2025-05-30
Fixed
4.75000000
N
N
N
N
N
N
Nippon Telegraph & Telephone Corp.
353800VHQU5VIXVUA841
Nippon Telegraph & Telephone Corp.
N/A
38300.00000000
NS
892369.02000000
0.097900126766
Long
EC
CORP
JP
N
2
N
N
N
Mercari, Inc.
N/A
Mercari, Inc.
N/A
300.00000000
NS
9315.36000000
0.001021970624
Long
EC
CORP
JP
N
2
N
N
N
Remy Cointreau SA
5493004V6A3Z027YT216
Remy Cointreau SA
N/A
383599.95350000
PA
585349.64000000
0.064217608046
Long
DBT
CORP
FR
Y
2
2026-09-07
Fixed
0.12500000
N
N
N
N
N
Remy Cointreau SA
Remy Cointreau SA
EUR
XXXX
N
N
N
Sprint Corp.
549300ZTTY7CXOLJ6539
Sprint Corp.
85207UAH8
254000.00000000
PA
USD
286801.56000000
0.031464459715
Long
DBT
CORP
US
N
2
2024-06-15
Fixed
7.12500000
N
N
N
N
N
N
Impac CMB Trust
N/A
Impac CMB Trust, Series 2005-8, Class 1AM
45254NRH2
591756.14000000
PA
USD
552333.52000000
0.060595471619
Long
ABS-MBS
CORP
US
N
2
2036-02-25
Floating
0.88449800
N
N
N
N
N
N
Aegon NV
O4QK7KMMK83ITNTHUG69
Aegon NV
N/A
5860.00000000
NS
17321.98000000
0.001900361845
Long
EC
CORP
NL
N
2
N
N
N
AP Moller - Maersk A/S
549300D2K6PKKKXVNN73
AP Moller - Maersk A/S, Class B
N/A
23.00000000
NS
26956.17000000
0.002957310710
Long
EC
CORP
DK
N
2
N
N
N
Parsley Energy LLC
N/A
Parsley Energy LLC
701885AF2
135000.00000000
PA
USD
129647.25000000
0.014223355949
Long
DBT
CORP
US
Y
2
2025-08-15
Fixed
5.25000000
N
N
N
N
N
N
Quanta Computer, Inc.
529900DE8BIV3XOXIK04
Quanta Computer, Inc.
N/A
15000.00000000
NS
36291.66000000
0.003981489759
Long
EC
CORP
TW
N
2
N
N
N
ViacomCBS, Inc.
5KYC8KF17ROCY24M3H09
ViacomCBS, Inc.
92553PBC5
55000.00000000
PA
USD
56405.80000000
0.006188174226
Long
DBT
CORP
US
N
2
2057-02-28
Variable
6.25000000
N
N
N
N
N
N
Santen Pharmaceutical Co. Ltd.
529900TPT3I7C17MIM03
Santen Pharmaceutical Co. Ltd.
N/A
1300.00000000
NS
23932.30000000
0.002625567619
Long
EC
CORP
JP
N
2
N
N
N
OMV AG
549300V62YJ9HTLRI486
OMV AG
N/A
478.00000000
NS
16129.58000000
0.001769545884
Long
EC
CORP
AT
N
2
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
6078.57000000
0.000666868481
N/A
DFE
N/A
N
2
Goldman Sachs International
W22LROWP2IHZNBB6K528
269131.62000000
USD
383510.67000000
SGD
2020-07-29
6078.57000000
N
N
N
Lowe's Cos., Inc.
WAFCR4OKGSC504WU3E95
Lowe's Cos., Inc.
548661107
10206.00000000
NS
USD
1379034.72000000
0.151291305366
Long
EC
CORP
US
N
1
N
N
N
Hankyu Hanshin Holdings, Inc.
N/A
Hankyu Hanshin Holdings, Inc.
N/A
800.00000000
NS
27022.60000000
0.002964598620
Long
EC
CORP
JP
N
2
N
N
N
MagnaChip Semiconductor Corp.
529900P54J1ATLRBUV29
MagnaChip Semiconductor Corp.
55933JAB0
75000.00000000
PA
USD
74250.00000000
0.008145827846
Long
DBT
CORP
US
N
2
2021-07-15
Fixed
6.62500100
N
N
N
N
N
N
Qantas Airways Ltd.
YLXNW6TI6QSK1H8H0N82
Qantas Airways Ltd.
N/A
2237.00000000
NS
5927.81000000
0.000650328885
Long
EC
CORP
AU
N
2
N
N
N
Softbank Corp.
353800M1YCTS9JRBJ535
Softbank Corp.
N/A
6600.00000000
NS
84125.15000000
0.009229211979
Long
EC
CORP
JP
N
2
N
N
N
MSCI, Inc.
549300HTIN2PD78UB763
MSCI, Inc.
55354GAF7
146000.00000000
PA
USD
154942.50000000
0.016998450250
Long
DBT
CORP
US
Y
2
2027-05-15
Fixed
5.37500000
N
N
N
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
-134215.11000000
-0.01472448727
N/A
DFE
N/A
N
2
Toronto Dominion Bank
PT3QB789TSUIDF371261
13241873.51000000
CAD
1038480688.00000000
JPY
2020-07-22
-134215.11000000
N
N
N
Deutsche Lufthansa AG
529900PH63HYJ86ASW55
Deutsche Lufthansa AG (Registered)
N/A
819.00000000
NS
8216.63000000
0.000901431023
Long
EC
CORP
DE
N
2
N
N
N
Lennox International, Inc.
S7DWAC87RDMPBF77GJ92
Lennox International, Inc.
526107107
2180.00000000
NS
USD
507918.20000000
0.055722750401
Long
EC
CORP
US
N
1
N
N
N
Occidental Petroleum Corp.
IM7X0T3ECJW4C1T7ON55
Occidental Petroleum Corp.
674599DZ5
141000.00000000
PA
USD
141352.50000000
0.015507516911
Long
DBT
CORP
US
N
2
2027-07-15
Fixed
8.50000000
N
N
N
N
N
N
Long Beach Mortgage Loan Trust
N/A
Long Beach Mortgage Loan Trust, Series 2001-2, Class M1
542514AS3
171896.19000000
PA
USD
169941.64000000
0.018643977688
Long
ABS-O
CORP
US
N
3
2031-07-25
Floating
0.74450200
N
N
N
N
N
N
Mediobanca Banca di Credito Finanziario SpA
PSNL19R2RXX5U3QWHI44
Mediobanca Banca di Credito Finanziario SpA
N/A
2101.00000000
NS
15171.95000000
0.001664486098
Long
EC
CORP
IT
N
2
N
N
N
Honeywell International, Inc.
ISRPG12PN4EIEOEMW547
Honeywell International, Inc.
438516106
12451.00000000
NS
USD
1800290.09000000
0.197506439688
Long
EC
CORP
US
N
1
N
N
N
Structured Asset Mortgage Investments II Trust
N/A
Structured Asset Mortgage Investments II Trust, Series 2007-AR7, Class 1A1
86364KAA2
493562.24000000
PA
USD
363857.34000000
0.039918104408
Long
ABS-MBS
CORP
US
N
2
2047-05-25
Floating
1.03450000
N
N
N
N
N
N
Williams Cos., Inc. (The)
D71FAKCBLFS2O0RBPG08
Williams Cos., Inc. (The)
969457100
38608.00000000
NS
USD
734324.16000000
0.080561322435
Long
EC
CORP
US
N
1
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC, Multi-Family Structured Pass-Through Certificates, Series K090, Class X3
3137FLMY7
3390000.00000000
PA
USD
545397.78000000
0.059834564629
Long
ABS-MBS
USGSE
US
N
2
2029-10-25
Variable
2.38946800
N
N
N
N
N
N
LUKOIL PJSC
549300LCJ1UJXHYBWI24
LUKOIL PJSC
69343P105
2674.00000000
NS
USD
198769.55000000
0.021806633473
Long
EC
CORP
RU
N
2
N
N
N
Snam SpA
8156002278562044AF79
Snam SpA
N/A
6966.00000000
NS
33960.33000000
0.003725723929
Long
EC
CORP
IT
N
2
N
N
N
United Rentals North America, Inc.
NGIZXNT70J2LYT3FBI09
United Rentals North America, Inc.
911365BM5
75000.00000000
PA
USD
74812.50000000
0.008207538663
Long
DBT
CORP
US
N
2
2027-11-15
Fixed
3.87500000
N
N
N
N
N
N
GNMA
549300M8ZYFG0OCMTT87
GNMA, Series 2008-20, Class HC
38375PU41
2025.14000000
PA
USD
2098.10000000
0.000230178604
Long
ABS-MBS
USGA
US
N
2
2037-06-16
Fixed
5.75000000
N
N
N
N
N
N
Koninklijke Philips NV
H1FJE8H61JGM1JSGM897
Koninklijke Philips NV
N/A
3096.00000000
NS
144421.34000000
0.015844193575
Long
EC
CORP
NL
N
1
N
N
N
GNMA
549300M8ZYFG0OCMTT87
GNMA, Series 2005-13, Class AE
38374KTX1
2058.29000000
PA
USD
2089.92000000
0.000229281192
Long
ABS-MBS
USGA
US
N
2
2034-09-20
Fixed
5.00000000
N
N
N
N
N
N
Knorr-Bremse AG
5299001GRRO0Z25YZT52
Knorr-Bremse AG
N/A
166.00000000
NS
16846.64000000
0.001848213188
Long
EC
CORP
DE
N
2
N
N
N
Bank of East Asia Ltd. (The)
CO6GC26LCGGRTUESIP55
Bank of East Asia Ltd. (The)
N/A
5200.00000000
NS
11919.93000000
0.001307713100
Long
EC
CORP
HK
N
2
N
N
N
Transocean Pontus Ltd.
N/A
Transocean Pontus Ltd.
89382PAA3
101035.00000000
PA
USD
87900.45000000
0.009643393041
Long
DBT
CORP
KY
Y
2
2025-08-01
Fixed
6.12500000
N
N
N
N
N
N
Ameriquest Mortgage Securities, Inc. Asset-Backed Pass-Through Certificates
N/A
Ameriquest Mortgage Securities, Inc. Asset-Backed Pass-Through Certificates, Series 2002-2, Class M3
03072SCJ2
209262.54000000
PA
USD
206502.85000000
0.022655039271
Long
ABS-O
CORP
US
N
3
2032-08-25
Floating
2.83950000
N
N
N
N
N
N
GNMA
549300M8ZYFG0OCMTT87
GNMA I, 30 Year
36225AYD6
0.11000000
PA
USD
0.11000000
0.000000012067
Long
ABS-MBS
USGA
US
N
2
2022-12-15
Fixed
8.50000000
N
N
N
N
N
N
Ambev SA
549300TH5Q6VRP8OT012
Ambev SA
02319V103
112560.00000000
NS
USD
297158.40000000
0.032600689151
Long
EC
CORP
BR
N
1
N
N
N
AdvanSix, Inc.
5493009TPRODMCAZLF67
AdvanSix, Inc.
00773T101
2027.00000000
NS
USD
23796.98000000
0.002610721917
Long
EC
CORP
US
N
1
N
N
N
Chugoku Electric Power Co., Inc. (The)
353800MV866ELME96Q46
Chugoku Electric Power Co., Inc. (The)
N/A
1000.00000000
NS
13332.04000000
0.001462633032
Long
EC
CORP
JP
N
2
N
N
N
Cedar Fair LP
N/A
Cedar Fair LP
150190AB2
4000.00000000
PA
USD
3580.00000000
0.000392755066
Long
DBT
CORP
US
N
2
2027-04-15
Fixed
5.37500000
N
N
N
N
N
N
Entercom Media Corp.
549300S5JUSXRHNCHD80
Entercom Media Corp.
29365DAA7
48000.00000000
PA
USD
43080.00000000
0.004726225772
Long
DBT
CORP
US
Y
2
2027-05-01
Fixed
6.50000000
N
N
N
N
N
N
Taiwan Semiconductor Manufacturing Co. Ltd.
549300KB6NK5SBD14S87
Taiwan Semiconductor Manufacturing Co. Ltd.
N/A
265000.00000000
NS
2830072.88000000
0.310481972706
Long
EC
CORP
TW
N
2
N
N
N
Homeward Opportunities Fund I Trust
N/A
Homeward Opportunities Fund I Trust, Series 2019-1, Class B1
43789EAE6
250000.00000000
PA
USD
243059.78000000
0.026665631303
Long
ABS-MBS
CORP
US
Y
3
2059-01-25
Variable
4.79999900
N
N
N
N
N
N
Wartsila OYJ Abp
743700G7A9J1PHM3X223
Wartsila OYJ Abp
N/A
1519.00000000
NS
12600.21000000
0.001382345339
Long
EC
CORP
FI
N
2
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
-12146.29000000
-0.00133254663
N/A
DFE
N/A
N
2
BNP Paribas
R0MUWSFPU8MPRO8K5P83
276816.28000000
EUR
299050.33000000
USD
2020-07-29
-12146.29000000
N
N
N
Albertsons Cos., Inc.
N/A
Albertsons Cos., Inc.
013092AE1
90000.00000000
PA
USD
92081.70000000
0.010102110114
Long
DBT
CORP
US
Y
2
2030-02-15
Fixed
4.87500000
N
N
N
N
N
N
Marubeni Corp.
4P4N3ORD02UGQT1T1W12
Marubeni Corp.
N/A
5700.00000000
NS
25891.68000000
0.002840527514
Long
EC
CORP
JP
N
2
N
N
N
Rohm Co. Ltd.
5493009V2FGDEP7JFE59
Rohm Co. Ltd.
N/A
300.00000000
NS
19947.42000000
0.002188393929
Long
EC
CORP
JP
N
2
N
N
N
E.ON SE
Q9MAIUP40P25UFBFG033
E.ON SE
N/A
7678.00000000
NS
86666.80000000
0.009508051620
Long
EC
CORP
DE
N
2
N
N
N
Telenor ASA
549300IM1QSBY4SLPM26
Telenor ASA
N/A
2337.00000000
NS
34122.23000000
0.003743485674
Long
EC
CORP
NO
N
2
N
N
N
Hutchison China MediTech Ltd.
2138006X34YDQ6OBYE79
Hutchison China MediTech Ltd.
44842L103
1180.00000000
NS
USD
32544.40000000
0.003570384912
Long
EC
CORP
KY
N
1
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
83331.39000000
0.009142130062
N/A
DFE
N/A
N
2
Citibank
MBNUM2BPBDO7JBLYG310
1714344343.00000000
CLP
2171347.94000000
USD
2020-07-22
83331.39000000
N
N
N
Pretium Mortgage Credit Partners I LLC
N/A
Pretium Mortgage Credit Partners I LLC, Series 2019-NPL2, Class A1
74142NAA1
560068.13000000
PA
USD
556152.86000000
0.061014484227
Long
ABS-O
CORP
US
Y
3
2058-12-27
Variable
3.84410200
N
N
N
N
N
N
Smart Insight International Ltd.
549300EOTSWYWE1BC269
Smart Insight International Ltd.
N/A
2000000.00000000
PA
290478.25000000
0.031867822459
Long
DBT
CORP
VG
Y
2
2023-12-05
Fixed
4.50000000
N
N
N
N
N
Country Garden Holdings Co. Ltd.
Country Garden Holdings Co. Ltd.
HKD
XXXX
N
N
N
OTP Bank Nyrt.
529900W3MOO00A18X956
OTP Bank Nyrt.
N/A
2520.00000000
NS
88591.40000000
0.009719195866
Long
EC
CORP
HU
N
2
N
N
N
Ford Motor Credit Co. LLC
UDSQCVRUX5BONN0VY111
Ford Motor Credit Co. LLC
345397XU2
200000.00000000
PA
USD
189625.00000000
0.020803402092
Long
DBT
CORP
US
N
2
2026-01-08
Fixed
4.38900000
N
N
N
N
N
N
STMicroelectronics NV
213800Z8NOHIKRI42W10
STMicroelectronics NV
N/A
2183.00000000
NS
59504.86000000
0.006528166270
Long
EC
CORP
NL
N
2
N
N
N
Waste Connections, Inc.
549300HDLRTPBQU69P29
Waste Connections, Inc.
94106B101
15479.00000000
NS
USD
1451775.41000000
0.159271549651
Long
EC
CORP
CA
N
1
N
N
N
Sydney Airport
N/A
Sydney Airport
N/A
3788.00000000
NS
14949.68000000
0.001640101274
Long
EC
CORP
AU
N
2
N
N
N
Skanska AB
549300UINV5RINHGMG07
Skanska AB, Class B
N/A
1163.00000000
NS
23742.96000000
0.002604795484
Long
EC
CORP
SE
N
2
N
N
N
Imperial Brands plc
549300DFVPOB67JL3A42
Imperial Brands plc
N/A
3238.00000000
NS
61640.65000000
0.006762479774
Long
EC
CORP
GB
N
2
N
N
N
American Axle & Manufacturing, Inc.
RY5TAKFOBLDUGX31MS24
American Axle & Manufacturing, Inc.
02406PAU4
245000.00000000
PA
USD
237801.90000000
0.026088799177
Long
DBT
CORP
US
N
2
2027-04-01
Fixed
6.50000000
N
N
N
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
149.05000000
0.000016351995
N/A
DFE
N/A
N
2
Merrill Lynch International
AHYI0DDQ2LCHPGHJC422
245635.03000000
USD
232672.13000000
CHF
2020-07-29
149.05000000
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
-53840.43000000
-0.00590673230
N/A
DFE
N/A
N
2
Goldman Sachs
FOR8UP27PHTHYVLBNG30
2671327.35000000
USD
186794702.15000000
RUB
2020-07-22
-53840.43000000
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
130267.11000000
0.014291359624
N/A
DFE
N/A
N
2
Barclays Bank
G5GSEF7VJP5I7OUK5573
14353466.25000000
EUR
151510166.02000000
SEK
2020-07-22
130267.11000000
N
N
N
Obic Co. Ltd.
N/A
Obic Co. Ltd.
N/A
200.00000000
NS
35247.80000000
0.003866969841
Long
EC
CORP
JP
N
2
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
-1551.49000000
-0.00017021104
N/A
DFE
N/A
N
2
Goldman Sachs International
W22LROWP2IHZNBB6K528
24249952.12000000
MXN
1050545.51000000
USD
2020-07-22
-1551.49000000
N
N
N
Inner Mongolia Yili Industrial Group Co. Ltd.
3003002Q2A863JPQFH06
Inner Mongolia Yili Industrial Group Co. Ltd., Class A
N/A
6800.00000000
NS
30040.23000000
0.003295657131
Long
EC
CORP
CN
N
2
N
N
N
Netflix, Inc.
549300Y7VHGU0I7CE873
Netflix, Inc.
64110LAV8
465000.00000000
PA
USD
496792.05000000
0.054502121411
Long
DBT
CORP
US
Y
2
2030-06-15
Fixed
4.87500000
N
N
N
N
N
N
T-Mobile USA, Inc.
549300V2JRLO5DIFGE82
T-Mobile USA, Inc.
87264AAP0
309000.00000000
PA
USD
322864.83000000
0.035420893237
Long
DBT
CORP
US
N
2
2026-01-15
Fixed
6.50000000
N
N
N
N
N
N
Aena SME SA
959800R7QMXKF0NFMT29
Aena SME SA
N/A
231.00000000
NS
30894.32000000
0.003389357739
Long
EC
CORP
ES
Y
2
N
N
N
SS&C Technologies, Inc.
549300KY09TR3J12JU49
SS&C Technologies, Inc.
78466CAC0
223000.00000000
PA
USD
227100.97000000
0.024914820274
Long
DBT
CORP
US
Y
2
2027-09-30
Fixed
5.50000000
N
N
N
N
N
N
Ryohin Keikaku Co. Ltd.
549300PMNF56J66BY371
Ryohin Keikaku Co. Ltd.
N/A
800.00000000
NS
11378.84000000
0.001248351134
Long
EC
CORP
JP
N
2
N
N
N
Sartorius Stedim Biotech
52990006IVXY7GCSSR39
Sartorius Stedim Biotech
N/A
94.00000000
NS
23832.52000000
0.002614620943
Long
EC
CORP
FR
N
2
N
N
N
First Hawaiian, Inc.
5493002DJSH46F5OLV06
First Hawaiian, Inc.
32051X108
19784.00000000
NS
USD
341076.16000000
0.037418823998
Long
EC
CORP
US
N
1
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
2338.12000000
0.000256510747
N/A
DFE
N/A
N
2
Barclays Bank
G5GSEF7VJP5I7OUK5573
312532.70000000
USD
280258.85000000
EUR
2020-07-02
2338.12000000
N
N
N
Merck & Co., Inc.
4YV9Y5M8S0BRK1RP0397
Merck & Co., Inc.
58933Y105
8994.00000000
NS
USD
695506.02000000
0.076302657307
Long
EC
CORP
US
N
1
N
N
N
Prime Security Services Borrower LLC
N/A
Prime Security Services Borrower LLC
74166MAB2
47000.00000000
PA
USD
48057.50000000
0.005272297935
Long
DBT
CORP
US
Y
2
2024-04-15
Fixed
5.25000000
N
N
N
N
N
N
Ampol Ltd.
5493009TD1CGVRZ27U11
Ampol Ltd.
N/A
855.00000000
NS
17421.78000000
0.001911310715
Long
EC
CORP
AU
N
2
N
N
N
NARI Technology Co. Ltd.
N/A
NARI Technology Co. Ltd., Class A
N/A
15500.00000000
NS
44688.47000000
0.004902687991
Long
EC
CORP
CN
N
2
N
N
N
Bausch Health Cos., Inc.
B3BS7ACMDUWISF18KY76
Bausch Health Cos., Inc.
071734AJ6
64000.00000000
PA
USD
60720.00000000
0.006661476994
Long
DBT
CORP
CA
Y
2
2030-01-30
Fixed
5.25000000
N
N
N
N
N
N
Scientific Games International, Inc.
RLTHESQ0RNFQJWPBJN60
Scientific Games International, Inc.
80874YAW0
215000.00000000
PA
USD
198500.90000000
0.021777160387
Long
DBT
CORP
US
Y
2
2025-10-15
Fixed
5.00000000
N
N
N
N
N
N
Almarai Co. JSC
549300B4EDUXYD2G6098
Almarai Co. JSC
N/A
3494.00000000
NS
48428.51000000
0.005313000745
Long
EC
CORP
SA
N
2
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
2954.24000000
0.000324104113
N/A
DFE
N/A
N
2
Citibank
MBNUM2BPBDO7JBLYG310
121919.37000000
USD
118211.92000000
CHF
2020-07-29
2954.24000000
N
N
N
Telefonica Brasil SA
529900MTGG2HSDBIWG79
Telefonica Brasil SA (Preference)
N/A
3057.00000000
NS
27190.95000000
0.002983067982
Long
EC
CORP
BR
N
1
N
N
N
ITV plc
ZLECI7ED2QMWFGYCXZ59
ITV plc
N/A
12394.00000000
NS
11454.88000000
0.001256693339
Long
EC
CORP
GB
N
2
N
N
N
Moelis & Co.
549300891QNU7VTQUR83
Moelis & Co., Class A
60786M105
9560.00000000
NS
USD
297889.60000000
0.032680907728
Long
EC
CORP
US
N
1
N
N
N
NSK Ltd.
353800FVQK6SULSPBC69
NSK Ltd.
N/A
1300.00000000
NS
9701.42000000
0.001064324541
Long
EC
CORP
JP
N
2
N
N
N
Mapletree Logistics Trust
549300M9EBZIYH387075
Mapletree Logistics Trust
N/A
9100.00000000
NS
12775.55000000
0.001401581561
Long
EC
CORP
SG
N
2
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
-28056.32000000
-0.00307800609
N/A
DFE
N/A
N
2
Goldman Sachs International
W22LROWP2IHZNBB6K528
4816386.72000000
DKK
698538.72000000
USD
2020-07-29
-28056.32000000
N
N
N
RingCentral, Inc.
549300C8EH0H1614VE84
RingCentral, Inc.
76680RAE7
292000.00000000
PA
USD
312641.76000000
0.034299339455
Long
DBT
CORP
US
Y
2
2025-03-01
None
0.00000000
N
N
N
N
Y
RingCentral, Inc.
RingCentral, Inc.
USD
XXXX
N
N
N
Barclays Bank plc
G5GSEF7VJP5I7OUK5573
Barclays Bank plc
06738G8A1
474000.00000000
PA
USD
549508.20000000
0.060285511076
Long
DBT
CORP
GB
N
2
2025-02-04
None
0.00000000
N
N
N
N
N
Microsoft Corp.
Microsoft Corp.
USD
XXXX
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
6400.64000000
0.000702202175
N/A
DFE
N/A
N
2
Goldman Sachs International
W22LROWP2IHZNBB6K528
366897.28000000
GBP
4295394.14000000
SEK
2020-07-22
6400.64000000
N
N
N
Keysight Technologies, Inc.
549300GLKVIO8YRCYN02
Keysight Technologies, Inc.
49338L103
5112.00000000
NS
USD
515187.36000000
0.056520236272
Long
EC
CORP
US
N
1
N
N
N
Baoshan Iron & Steel Co. Ltd.
300300PYAP4PEHORZT21
Baoshan Iron & Steel Co. Ltd., Class A
N/A
92400.00000000
NS
59846.60000000
0.006565657923
Long
EC
CORP
CN
N
2
N
N
N
Murphy USA, Inc.
549300Y081F8XIKQIO72
Murphy USA, Inc.
626755102
3653.00000000
NS
USD
411291.27000000
0.045121991652
Long
EC
CORP
US
N
1
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
10676.01000000
0.001171244977
N/A
DFE
N/A
N
2
BNP Paribas
R0MUWSFPU8MPRO8K5P83
977000.00000000
EUR
10329723.30000000
SEK
2020-07-22
10676.01000000
N
N
N
Cencosud SA
549300NLTGCFV7482429
Cencosud SA
N/A
13284.00000000
NS
18598.25000000
0.002040379026
Long
EC
CORP
CL
N
1
N
N
N
Citigroup, Inc.
6SHGI4ZSSLCXXQSBB395
Citigroup, Inc.
172967424
48017.00000000
NS
USD
2453668.70000000
0.269187378080
Long
EC
CORP
US
N
1
N
N
N
Kaiser Aluminum Corp.
N/A
Kaiser Aluminum Corp.
483007AJ9
170000.00000000
PA
USD
162574.40000000
0.017835731645
Long
DBT
CORP
US
Y
2
2028-03-01
Fixed
4.62500000
N
N
N
N
N
N
Live Nation Entertainment, Inc.
5493007B9BM9ZXJINO78
Live Nation Entertainment, Inc.
538034AR0
255000.00000000
PA
USD
219353.55000000
0.024064865398
Long
DBT
CORP
US
Y
2
2027-10-15
Fixed
4.75000000
N
N
N
N
N
N
James Hardie Industries plc
635400NSGXKTVOO7JU45
James Hardie Industries plc
N/A
1500.00000000
NS
28902.92000000
0.003170884990
Long
EC
CORP
IE
N
2
N
N
N
ServiceNow, Inc.
549300HJTQM36M0E1G39
ServiceNow, Inc.
81762PAC6
396000.00000000
PA
USD
1186405.88000000
0.130158357636
Long
DBT
CORP
US
N
2
2022-06-01
None
0.00000000
N
N
N
N
Y
ServiceNow, Inc.
ServiceNow, Inc.
USD
XXXX
N
N
N
Tohoku Electric Power Co., Inc.
353800KTF7EYIIYHY088
Tohoku Electric Power Co., Inc.
N/A
1400.00000000
NS
13299.41000000
0.001459053256
Long
EC
CORP
JP
N
2
N
N
N
Larsen & Toubro Ltd.
3358003FR3JIC5FRXA90
Larsen & Toubro Ltd.
N/A
5030.00000000
NS
63126.60000000
0.006925500553
Long
EC
CORP
IN
N
2
N
N
N
NetEase, Inc.
5299004AF4DSJDB0PA32
NetEase, Inc.
64110W102
1374.00000000
NS
USD
589968.12000000
0.064724292800
Long
EC
CORP
KY
N
1
N
N
N
American Axle & Manufacturing, Inc.
RY5TAKFOBLDUGX31MS24
American Axle & Manufacturing, Inc.
02406PAY6
183000.00000000
PA
USD
176137.50000000
0.019323713835
Long
DBT
CORP
US
N
2
2026-03-15
Fixed
6.25000000
N
N
N
N
N
N
Par Pharmaceutical, Inc.
549300KK5WR4MGN4YT97
Par Pharmaceutical, Inc.
69888XAA7
255000.00000000
PA
USD
261681.00000000
0.028708530325
Long
DBT
CORP
US
Y
2
2027-04-01
Fixed
7.50000000
N
N
N
N
N
N
GNMA
549300M8ZYFG0OCMTT87
GNMA, Series 2016-71, Class QI
38379UUY0
5950705.70000000
PA
USD
356456.79000000
0.039106203987
Long
ABS-MBS
USGA
US
N
2
2057-11-16
Variable
0.95654200
N
N
N
N
N
N
Fraport AG Frankfurt Airport Services Worldwide
5299001ERX0K10IZUL40
Fraport AG Frankfurt Airport Services Worldwide
N/A
153.00000000
NS
6702.15000000
0.000735280270
Long
EC
CORP
DE
N
2
N
N
N
TransDigm, Inc.
88Q84GB3X55CF5OC7582
TransDigm, Inc.
893647BE6
387000.00000000
PA
USD
386758.13000000
0.042430507006
Long
DBT
CORP
US
Y
2
2026-03-15
Fixed
6.25000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA ACES, Series 2016-M4, Class X2
3136ARP44
3032239.11000000
PA
USD
208789.37000000
0.022905889080
Long
ABS-MBS
USGSE
US
N
2
2039-01-25
Variable
2.71000100
N
N
N
N
N
N
Hughes Satellite Systems Corp.
N/A
Hughes Satellite Systems Corp.
444454AF9
35000.00000000
PA
USD
36325.80000000
0.003985235194
Long
DBT
CORP
US
N
2
2026-08-01
Fixed
6.62500000
N
N
N
N
N
N
MTU Aero Engines AG
529900807L67JY81RD65
MTU Aero Engines AG
N/A
182.00000000
NS
31686.31000000
0.003476245472
Long
EC
CORP
DE
N
2
N
N
N
Santander Revolving Auto Loan Trust
N/A
Santander Revolving Auto Loan Trust, Series 2019-A, Class D
80286JAD7
420000.00000000
PA
USD
423980.63000000
0.046514117470
Long
ABS-O
CORP
US
Y
2
2032-01-26
Fixed
3.45000000
N
N
N
N
N
N
Drive Auto Receivables Trust
N/A
Drive Auto Receivables Trust, Series 2019-1, Class D
26208NAG9
310000.00000000
PA
USD
316016.42000000
0.034669567056
Long
ABS-O
CORP
US
N
2
2026-06-15
Fixed
4.09000000
N
N
N
N
N
N
Truist Financial Corp.
549300DRQQI75D2JP341
Truist Financial Corp.
89832Q109
46296.00000000
NS
USD
1738414.80000000
0.190718218000
Long
EC
CORP
US
N
1
N
N
N
Ulta Beauty, Inc.
529900CIV6HN8M28YM82
Ulta Beauty, Inc.
90384S303
1333.00000000
NS
USD
271158.86000000
0.029748328519
Long
EC
CORP
US
N
1
N
N
N
Hilcorp Energy I LP
N/A
Hilcorp Energy I LP
431318AS3
52000.00000000
PA
USD
41730.00000000
0.004578119811
Long
DBT
CORP
US
Y
2
2028-11-01
Fixed
6.25000000
N
N
N
N
N
N
Sensata Technologies UK Financing Co. plc
635400EUADS212PJER83
Sensata Technologies UK Financing Co. plc
81727TAA6
400000.00000000
PA
USD
415000.00000000
0.045528869444
Long
DBT
CORP
GB
Y
2
2026-02-15
Fixed
6.25000000
N
N
N
N
N
N
EQT AB
213800U7P9GOIRKCTB34
EQT AB
N/A
816.00000000
NS
14713.21000000
0.001614158595
Long
EC
CORP
SE
N
2
N
N
N
H Lundbeck A/S
5493006R4KC2OI5D3470
H Lundbeck A/S
N/A
286.00000000
NS
10806.34000000
0.001185543236
Long
EC
CORP
DK
N
2
N
N
N
Cabot Microelectronics Corp.
31F6V1MN00ZW3XWB4J69
Cabot Microelectronics Corp.
12709P103
3276.00000000
NS
USD
457133.04000000
0.050151206017
Long
EC
CORP
US
N
1
N
N
N
Repligen Corp.
54930006QJ0T5AUO1E71
Repligen Corp.
759916AB5
505000.00000000
PA
USD
632815.50000000
0.069424998270
Long
DBT
CORP
US
N
2
2024-07-15
Fixed
0.37500000
N
N
N
N
Y
Repligen Corp.
Repligen Corp.
USD
XXXX
N
N
N
Keihan Holdings Co. Ltd.
353800ADZSZ9AD39RL13
Keihan Holdings Co. Ltd.
N/A
300.00000000
NS
13397.78000000
0.001469845244
Long
EC
CORP
JP
N
2
N
N
N
CommScope, Inc.
549300Z6K4JXMFE8QY54
CommScope, Inc.
20338QAA1
136000.00000000
PA
USD
139767.20000000
0.015333596630
Long
DBT
CORP
US
Y
2
2027-03-01
Fixed
8.25000000
N
N
N
N
N
N
Antero Midstream Partners LP
N/A
Antero Midstream Partners LP
03690AAF3
60000.00000000
PA
USD
47400.00000000
0.005200164847
Long
DBT
CORP
US
Y
2
2028-01-15
Fixed
5.75000000
N
N
N
N
N
N
Stars Group Holdings BV
N/A
Stars Group Holdings BV
85572NAA6
134000.00000000
PA
USD
141252.08000000
0.015496500022
Long
DBT
CORP
NL
Y
2
2026-07-15
Fixed
7.00000000
N
N
N
N
N
N
Nissin Foods Holdings Co. Ltd.
529900YMZMNSHC1W6V41
Nissin Foods Holdings Co. Ltd.
N/A
200.00000000
NS
17719.96000000
0.001944023482
Long
EC
CORP
JP
N
2
N
N
N
RBC Bearings, Inc.
N/A
RBC Bearings, Inc.
75524B104
3536.00000000
NS
USD
473965.44000000
0.051997856961
Long
EC
CORP
US
N
1
N
N
N
CSC Holdings LLC
3HG2WD2W22M120IUNG49
CSC Holdings LLC
126307AQ0
200000.00000000
PA
USD
208100.00000000
0.022830259593
Long
DBT
CORP
US
Y
2
2027-04-15
Fixed
5.50000000
N
N
N
N
N
N
Nomura Holdings, Inc.
549300B3CEAHYG7K8164
Nomura Holdings, Inc.
N/A
10800.00000000
NS
48530.74000000
0.005324216206
Long
EC
CORP
JP
N
2
N
N
N
Virgin Media Secured Finance plc
213800X3RLP4NOTPY579
Virgin Media Secured Finance plc
92769XAM7
200000.00000000
PA
USD
204588.00000000
0.022444964679
Long
DBT
CORP
GB
Y
2
2026-08-15
Fixed
5.50000000
N
N
N
N
N
N
Bombardier, Inc.
W7L3VLU8EHQY34Z36697
Bombardier, Inc.
097751BT7
98000.00000000
PA
USD
64190.00000000
0.007042164167
Long
DBT
CORP
CA
Y
2
2027-04-15
Fixed
7.87500000
N
N
N
N
N
N
Walgreens Boots Alliance, Inc.
549300RPTUOIXG4LIH86
Walgreens Boots Alliance, Inc.
931427108
15587.00000000
NS
USD
660732.93000000
0.072487767007
Long
EC
CORP
US
N
1
N
N
N
FirstRand Ltd.
N/A
FirstRand Ltd.
N/A
139457.00000000
NS
306677.27000000
0.033644986476
Long
EC
CORP
ZA
N
2
N
N
N
Sanofi
549300E9PC51EN656011
Sanofi
N/A
3857.00000000
NS
393354.96000000
0.043154232817
Long
EC
CORP
FR
N
2
N
N
N
Trade Desk, Inc. (The)
549300GXPD31VT3E0P46
Trade Desk, Inc. (The), Class A
88339J105
2134.00000000
NS
USD
867471.00000000
0.095168611822
Long
EC
CORP
US
N
1
N
N
N
Yamaha Motor Co. Ltd.
3538004LR5NXILJDHY88
Yamaha Motor Co. Ltd.
N/A
900.00000000
NS
14174.97000000
0.001555109297
Long
EC
CORP
JP
N
2
N
N
N
ADT Security Corp. (The)
5493009JEEDYLVRA0J13
ADT Security Corp. (The)
00101JAH9
80000.00000000
PA
USD
80200.00000000
0.008798591155
Long
DBT
CORP
US
N
2
2023-06-15
Fixed
4.12500000
N
N
N
N
N
N
GNMA
549300M8ZYFG0OCMTT87
GNMA I, 30 Year
36208JA93
0.15000000
PA
USD
0.17000000
0.000000018650
Long
ABS-MBS
USGA
US
N
2
2027-09-15
Fixed
8.00000000
N
N
N
N
N
N
Hitachi Ltd.
549300T6IPOCDWLKC615
Hitachi Ltd.
N/A
3300.00000000
NS
104889.94000000
0.011507278034
Long
EC
CORP
JP
N
2
N
N
N
West Pharmaceutical Services, Inc.
5493007NKRGM1RJQ1P16
West Pharmaceutical Services, Inc.
955306105
3706.00000000
NS
USD
841892.02000000
0.092362390036
Long
EC
CORP
US
N
1
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
-3720.10000000
-0.00040812517
N/A
DFE
N/A
N
2
State Street Bank and Trust
571474TGEMMWANRLN572
112014.16000000
EUR
122127.81000000
USD
2020-07-02
-3720.10000000
N
N
N
Raiffeisen Bank International AG
9ZHRYM6F437SQJ6OUG95
Raiffeisen Bank International AG
N/A
508.00000000
NS
9079.64000000
0.000996110226
Long
EC
CORP
AT
N
2
N
N
N
SVB Financial Group
549300D2KJ20JMXE7542
SVB Financial Group
78486Q101
3461.00000000
NS
USD
745949.33000000
0.081836697971
Long
EC
CORP
US
N
1
N
N
N
Mitsui Chemicals, Inc.
353800H2UB5ZEZRZQC02
Mitsui Chemicals, Inc.
N/A
600.00000000
NS
12549.66000000
0.001376799594
Long
EC
CORP
JP
N
2
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
4792.82000000
0.000525811267
N/A
DFE
N/A
N
2
Goldman Sachs International
W22LROWP2IHZNBB6K528
13393751.72000000
CAD
9871137.57000000
USD
2020-07-22
4792.82000000
N
N
N
Freeport-McMoRan, Inc.
549300IRDTHJQ1PVET45
Freeport-McMoRan, Inc.
35671DCE3
104000.00000000
PA
USD
100880.00000000
0.011067355059
Long
DBT
CORP
US
N
2
2028-03-01
Fixed
4.12500000
N
N
N
N
N
N
Postal Savings Bank of China Co. Ltd.
300300C1040311005298
Postal Savings Bank of China Co. Ltd., Class H
N/A
124000.00000000
NS
71451.33000000
0.007838791024
Long
EC
CORP
CN
Y
2
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
-264.04000000
-0.00002896733
N/A
DFE
N/A
N
2
Goldman Sachs International
W22LROWP2IHZNBB6K528
346626.35000000
CHF
365812.48000000
USD
2020-07-22
-264.04000000
N
N
N
FHLMC Structured Agency Credit Risk Debt Notes
N/A
FHLMC Structured Agency Credit Risk Debt Notes, Series 2017-HQA1, Class M2
3137G0NE5
216623.57000000
PA
USD
220007.34000000
0.024136591469
Long
ABS-MBS
CORP
US
N
2
2029-08-25
Floating
3.73450000
N
N
N
N
N
N
Shimamura Co. Ltd.
N/A
Shimamura Co. Ltd.
N/A
100.00000000
NS
6773.21000000
0.000743076129
Long
EC
CORP
JP
N
2
N
N
N
ESH Hospitality, Inc.
54930042FMK7X7SQ2896
ESH Hospitality, Inc.
26907YAA2
145000.00000000
PA
USD
140287.50000000
0.015390677764
Long
DBT
CORP
US
Y
2
2025-05-01
Fixed
5.25000000
N
N
N
N
N
N
MINEBEA MITSUMI, Inc.
353800CCB0CZ75YZ4010
MINEBEA MITSUMI, Inc.
N/A
1300.00000000
NS
23695.92000000
0.002599634814
Long
EC
CORP
JP
N
2
N
N
N
NuStar Logistics LP
N62BF2PKP51FIIOIUN20
NuStar Logistics LP
67059TAE5
32000.00000000
PA
USD
30929.60000000
0.003393228241
Long
DBT
CORP
US
N
2
2027-04-28
Fixed
5.62500000
N
N
N
N
N
N
Petronet LNG Ltd.
335800KIIKNA7GRD9351
Petronet LNG Ltd.
N/A
12244.00000000
NS
41902.21000000
0.004597012647
Long
EC
CORP
IN
N
2
N
N
N
DaVita, Inc.
M2XHYMU3TZNEZURC6H66
DaVita, Inc.
23918KAR9
357000.00000000
PA
USD
365032.50000000
0.040047029001
Long
DBT
CORP
US
N
2
2025-05-01
Fixed
5.00000000
N
N
N
N
N
N
Air Liquide SA
969500MMPQVHK671GT54
Air Liquide SA
N/A
1618.00000000
NS
233941.53000000
0.025665285246
Long
EC
CORP
FR
N
2
N
N
N
Regeneron Pharmaceuticals, Inc.
549300RCBFWIRX3HYQ56
Regeneron Pharmaceuticals, Inc.
75886F107
2278.00000000
NS
USD
1420674.70000000
0.155859549253
Long
EC
CORP
US
N
1
N
N
N
United States of America
254900HROIFWPRGM1V77
U.S. Treasury Notes
9128285X4
20015100.00000000
PA
USD
20287180.27000000
2.225668390165
Long
DBT
UST
US
N
2
2021-01-31
Fixed
2.50000000
N
N
N
N
N
N
American Credit Acceptance Receivables Trust
N/A
American Credit Acceptance Receivables Trust, Series 2019-2, Class B
02530DAB2
20000.00000000
PA
USD
20148.48000000
0.002210451844
Long
ABS-O
CORP
US
Y
2
2023-05-12
Fixed
3.05000000
N
N
N
N
N
N
GNMA
549300M8ZYFG0OCMTT87
GNMA I, 30 Year
36206XF24
0.16000000
PA
USD
0.18000000
0.000000019747
Long
ABS-MBS
USGA
US
N
2
2026-04-15
Fixed
6.50000000
N
N
N
N
N
N
Koninklijke DSM NV
724500SNT1MK246AHP04
Koninklijke DSM NV
N/A
590.00000000
NS
81902.62000000
0.008985382393
Long
EC
CORP
NL
N
2
N
N
N
Conn's Receivables Funding LLC
N/A
Conn's Receivables Funding LLC, Series 2019-A, Class B
20827DAB6
235432.73000000
PA
USD
230029.78000000
0.025236134511
Long
ABS-O
CORP
US
Y
3
2023-10-16
Fixed
4.36000000
N
N
N
N
N
N
Vodafone Group plc
213800TB53ELEUKM7Q61
Vodafone Group plc
N/A
400000.00000000
PA
519915.93000000
0.057038998793
Long
DBT
CORP
GB
Y
2
2022-03-12
Fixed
1.50000000
N
N
N
Y
N
Vodafone Group plc
Vodafone Group plc
GBP
XXXX
N
N
N
Cia Cervecerias Unidas SA
529900BJW9B0O6LI2R39
Cia Cervecerias Unidas SA
204429104
1057.00000000
NS
USD
15136.24000000
0.001660568421
Long
EC
CORP
CL
N
1
N
N
N
National Vision Holdings, Inc.
549300JHURCBLI5ROA42
National Vision Holdings, Inc.
63845R107
7845.00000000
NS
USD
239429.40000000
0.026267349141
Long
EC
CORP
US
N
1
N
N
N
New Century Home Equity Loan Trust
N/A
New Century Home Equity Loan Trust, Series 2003-5, Class M1
64352VEH0
172122.46000000
PA
USD
175642.62000000
0.019269421481
Long
ABS-O
CORP
US
N
2
2033-11-25
Variable
5.03875800
N
N
N
N
N
N
Kuehne + Nagel International AG
529900Q0YED3805QXQ66
Kuehne + Nagel International AG (Registered)
N/A
196.00000000
NS
32647.44000000
0.003581689237
Long
EC
CORP
CH
N
2
N
N
N
Deutsche Post AG
8ER8GIG7CSMVD8VUFE78
Deutsche Post AG (Registered)
N/A
3383.00000000
NS
124223.37000000
0.013628312276
Long
EC
CORP
DE
N
2
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
2003.31000000
0.000219779372
N/A
DFE
N/A
N
2
Goldman Sachs International
W22LROWP2IHZNBB6K528
390734.14000000
GBP
660063.67000000
CAD
2020-07-22
2003.31000000
N
N
N
Cinemark USA, Inc.
54930008H2137JSCPQ09
Cinemark USA, Inc.
172441AZ0
147000.00000000
PA
USD
124215.00000000
0.013627394019
Long
DBT
CORP
US
N
2
2023-06-01
Fixed
4.87500000
N
N
N
N
N
N
Kawasaki Heavy Industries Ltd.
5493008FFSI8SQ74AT93
Kawasaki Heavy Industries Ltd.
N/A
500.00000000
NS
7221.83000000
0.000792293386
Long
EC
CORP
JP
N
2
N
N
N
Henkel AG & Co. KGaA
549300VZCL1HTH4O4Y49
Henkel AG & Co. KGaA (Preference)
N/A
610.00000000
NS
56909.16000000
0.006243396905
Long
EC
CORP
DE
N
2
N
N
N
Assicurazioni Generali SpA
549300X5UKJVE386ZB61
Assicurazioni Generali SpA
N/A
3758.00000000
NS
57085.06000000
0.006262694563
Long
EC
CORP
IT
N
2
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC, Multi-Family Structured Pass-Through Certificates, Series K730, Class X3
3137FEUD0
3830000.00000000
PA
USD
303084.75000000
0.033250857863
Long
ABS-MBS
USGSE
US
N
2
2045-02-25
Variable
2.10281000
N
N
N
N
N
N
GNMA
549300M8ZYFG0OCMTT87
GNMA, Series 2003-66, Class HD
38374BTM5
923.93000000
PA
USD
1054.39000000
0.000115675143
Long
ABS-MBS
USGA
US
N
2
2033-08-20
Fixed
5.50000000
N
N
N
N
N
N
Enagas SA
213800OU3FQKGM4M2U23
Enagas SA
N/A
851.00000000
NS
20818.49000000
0.002283957381
Long
EC
CORP
ES
N
2
N
N
N
Taiwan Semiconductor Manufacturing Co. Ltd.
549300KB6NK5SBD14S87
Taiwan Semiconductor Manufacturing Co. Ltd.
874039100
68096.00000000
NS
USD
3865809.92000000
0.424110735293
Long
EC
CORP
TW
N
1
N
N
N
Assa Abloy AB
549300YECS8HKCIMMB67
Assa Abloy AB, Class B
N/A
3428.00000000
NS
70162.57000000
0.007697403589
Long
EC
CORP
SE
N
2
N
N
N
Genesis Energy LP
N/A
Genesis Energy LP
37185LAG7
40000.00000000
PA
USD
36000.00000000
0.003949492289
Long
DBT
CORP
US
N
2
2023-05-15
Fixed
6.00000000
N
N
N
N
N
N
Deutsche Alt-A Securities, Inc. Mortgage Loan Trust
N/A
Deutsche Alt-A Securities, Inc. Mortgage Loan Trust, Series 2006-AR1, Class 1A3
251510LD3
1322600.51000000
PA
USD
1233324.71000000
0.135305734228
Long
ABS-MBS
CORP
US
N
2
2036-02-25
Floating
0.51450100
N
N
N
N
N
N
CK Hutchison Holdings Ltd.
254900Z8HM1VEPOQ2G79
CK Hutchison Holdings Ltd.
N/A
1000.00000000
NS
6475.59000000
0.000710424799
Long
EC
CORP
KY
N
2
N
N
N
Encompass Health Corp.
549300FVRPM9DRQZRG64
Encompass Health Corp.
29261A100
7806.00000000
NS
USD
483425.58000000
0.053035711128
Long
EC
CORP
US
N
1
N
N
N
BNP Paribas SA
R0MUWSFPU8MPRO8K5P83
BNP Paribas SA
N/A
3847.00000000
NS
153703.09000000
0.016862476910
Long
EC
CORP
FR
N
2
N
N
N
Credit-Based Asset Servicing and Securitization LLC
N/A
Credit-Based Asset Servicing & Securitization LLC, Series 2003-CB5, Class M2
79549AYZ6
67241.54000000
PA
USD
66634.26000000
0.007310319335
Long
ABS-O
CORP
US
N
3
2033-11-25
Floating
2.65950000
N
N
N
N
N
N
JPMorgan Corporate Bond Fund
549300A4UMYKC7JGN025
JPMorgan Corporate Bond Fund, Class R6
46637K547
9241762.24800000
NS
USD
98794438.43000000
10.83855202208
Long
RF
US
N
1
N
N
N
DCP Midstream Operating LP
549300Y6CTBSE0QIPL28
DCP Midstream Operating LP
23311VAG2
166000.00000000
PA
USD
164755.00000000
0.018074961169
Long
DBT
CORP
US
N
2
2025-07-15
Fixed
5.37500000
N
N
N
N
N
N
Kansai Electric Power Co., Inc. (The)
353800PFUKP5ONPJNZ86
Kansai Electric Power Co., Inc. (The)
N/A
2600.00000000
NS
25193.95000000
0.002763980868
Long
EC
CORP
JP
N
2
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
-1575.60000000
-0.00017285611
N/A
DFE
N/A
N
2
State Street Bank and Trust
571474TGEMMWANRLN572
43322.68000000
EUR
47127.72000000
USD
2020-07-29
-1575.60000000
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
9116.92000000
0.001000200145
N/A
DFE
N/A
N
2
Barclays Capital
AC28XWWI3WIBK2824319
1104108.79000000
USD
55426261.45000000
PHP
2020-07-22
9116.92000000
N
N
N
Performance Food Group Co.
549300EUK8GR9IT1YK57
Performance Food Group Co.
71377A103
17664.00000000
NS
USD
514728.96000000
0.056469946070
Long
EC
CORP
US
N
1
N
N
N
CenturyLink, Inc.
8M3THTGWLTYZVE6BBY25
CenturyLink, Inc., Series W
156700AX4
35000.00000000
PA
USD
37617.65000000
0.004126961628
Long
DBT
CORP
US
N
2
2023-12-01
Fixed
6.75000000
N
N
N
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
-69009.92000000
-0.00757094852
N/A
DFE
N/A
N
2
Goldman Sachs International
W22LROWP2IHZNBB6K528
9957590.39000000
USD
13423937.14000000
CAD
2020-07-22
-69009.92000000
N
N
N
Hirose Electric Co. Ltd.
N/A
Hirose Electric Co. Ltd.
N/A
100.00000000
NS
10980.82000000
0.001204685108
Long
EC
CORP
JP
N
2
N
N
N
FREED ABS Trust
549300S83C1QQOPJBY76
FREED ABS Trust, Series 2018-2, Class B
35634BAB1
305000.00000000
PA
USD
302724.67000000
0.033211354164
Long
ABS-O
CORP
US
Y
3
2025-10-20
Fixed
4.61000000
N
N
N
N
N
N
Toyota Industries Corp.
35380000WKGEAHEMW830
Toyota Industries Corp.
N/A
500.00000000
NS
26576.34000000
0.002915640275
Long
EC
CORP
JP
N
2
N
N
N
China Construction Bank Corp.
5493001KQW6DM7KEDR62
China Construction Bank Corp., Class H
N/A
505000.00000000
NS
410758.48000000
0.045063540263
Long
EC
CORP
CN
N
2
N
N
N
Sberbank of Russia PJSC
549300WE6TAF5EEWQS81
Sberbank of Russia PJSC
N/A
628.00000000
NS
USD
1795.41000000
0.000196971054
Long
EC
CORP
RU
N
1
N
N
N
Japan Real Estate Investment Corp.
3538003YAIR3CBGJJ928
Japan Real Estate Investment Corp.
N/A
4.00000000
NS
20528.45000000
0.002252137638
Long
EC
CORP
JP
N
2
N
N
N
CenturyLink, Inc.
8M3THTGWLTYZVE6BBY25
CenturyLink, Inc.
156700AZ9
470000.00000000
PA
USD
485980.00000000
0.053315951741
Long
DBT
CORP
US
N
2
2025-04-01
Fixed
5.62500000
N
N
N
N
N
N
New World Development Co. Ltd.
2549008GWMWXTIRL4S48
New World Development Co. Ltd.
N/A
5250.00000000
NS
24927.42000000
0.002734740363
Long
EC
CORP
HK
N
1
N
N
N
Thor Industries, Inc.
254900XZO1228PDSG060
Thor Industries, Inc.
885160101
8966.00000000
NS
USD
955147.98000000
0.104787488390
Long
EC
CORP
US
N
1
N
N
N
Clear Channel Worldwide Holdings, Inc.
N/A
Clear Channel Worldwide Holdings, Inc.
18453HAA4
343000.00000000
PA
USD
329280.00000000
0.036124689471
Long
DBT
CORP
US
Y
2
2027-08-15
Fixed
5.12500000
N
N
N
N
N
N
Allison Transmission, Inc.
MWKQ3I0U1GXP2YDSZW75
Allison Transmission, Inc.
019736AD9
110000.00000000
PA
USD
109725.00000000
0.012037723373
Long
DBT
CORP
US
Y
2
2024-10-01
Fixed
5.00000000
N
N
N
N
N
N
Novo Nordisk A/S
549300DAQ1CVT6CXN342
Novo Nordisk A/S, Class B
N/A
38095.00000000
NS
2481802.88000000
0.272273926052
Long
EC
CORP
DK
N
2
N
N
N
Homeward Opportunities Fund I Trust
N/A
Homeward Opportunities Fund I Trust, Series 2019-1, Class M1
43789EAD8
250000.00000000
PA
USD
240685.55000000
0.026405158995
Long
ABS-MBS
CORP
US
Y
3
2059-01-25
Variable
3.95100000
N
N
N
N
N
N
Zai Lab Ltd.
549300P2UYQ9U5LY1T58
Zai Lab Ltd.
98887Q104
557.00000000
NS
USD
45746.41000000
0.005018752598
Long
EC
CORP
KY
N
1
N
N
N
First Franklin Mortgage Loan Trust
N/A
First Franklin Mortgage Loan Trust, Series 2006-FF8, Class IIA3
320278AC8
44563.38000000
PA
USD
44408.94000000
0.004872021280
Long
ABS-O
CORP
US
N
3
2036-07-25
Floating
0.33450100
N
N
N
N
N
N
Velocity Commercial Capital Loan Trust
N/A
Velocity Commercial Capital Loan Trust, Series 2019-1, Class A
92257CAA8
1792780.19000000
PA
USD
1803446.34000000
0.197852705939
Long
ABS-MBS
CORP
US
Y
2
2049-03-25
Variable
3.75999800
N
N
N
N
N
N
Nisshin Seifun Group, Inc.
529900N4QFZS1P6PYX29
Nisshin Seifun Group, Inc.
N/A
800.00000000
NS
11945.27000000
0.001310493104
Long
EC
CORP
JP
N
2
N
N
N
Bridgestone Corp.
549300DHPOF90OYYD780
Bridgestone Corp.
N/A
1900.00000000
NS
61323.37000000
0.006727671582
Long
EC
CORP
JP
N
2
N
N
N
Ricoh Co. Ltd.
549300HFIB2GRUMDID72
Ricoh Co. Ltd.
N/A
2600.00000000
NS
18656.51000000
0.002046770621
Long
EC
CORP
JP
N
2
N
N
N
NVIDIA Corp.
549300S4KLFTLO7GSQ80
NVIDIA Corp.
67066G104
4141.00000000
NS
USD
1573207.31000000
0.172593615004
Long
EC
CORP
US
N
1
N
N
N
Galp Energia SGPS SA
2138003319Y7NM75FG53
Galp Energia SGPS SA
N/A
1715.00000000
NS
19893.99000000
0.002182532225
Long
EC
CORP
PT
N
2
N
N
N
Muenchener Rueckversicherungs-Gesellschaft AG
529900MUF4C20K50JS49
Muenchener Rueckversicherungs-Gesellschaft AG (Registered)
N/A
3076.00000000
NS
800975.21000000
0.087873483770
Long
EC
CORP
DE
N
2
N
N
N
PeptiDream, Inc.
N/A
PeptiDream, Inc.
N/A
300.00000000
NS
13822.64000000
0.001516455836
Long
EC
CORP
JP
N
2
N
N
N
Keikyu Corp.
N/A
Keikyu Corp.
N/A
800.00000000
NS
12241.69000000
0.001343012785
Long
EC
CORP
JP
N
2
N
N
N
Hino Motors Ltd.
3538009ZU0PHKNHJM202
Hino Motors Ltd.
433406105
1100.00000000
NS
7463.06000000
0.000818758275
Long
EC
CORP
JP
N
2
N
N
N
Dominion Energy, Inc.
ILUL7B6Z54MRYCF6H308
Dominion Energy, Inc., Series A
25746U133
2174.00000000
NS
USD
220313.16000000
0.024170142406
Long
EP
CORP
US
N
1
N
N
N
Thermo Fisher Scientific, Inc.
HCHV7422L5HDJZCRFL38
Thermo Fisher Scientific, Inc.
883556102
5122.00000000
NS
USD
1855905.48000000
0.203607899520
Long
EC
CORP
US
N
1
N
N
N
Wilmar International Ltd.
549300H2EAI4YRLWBB20
Wilmar International Ltd.
N/A
6700.00000000
NS
19817.06000000
0.002174092379
Long
EC
CORP
SG
N
2
N
N
N
Bausch Health Cos., Inc.
B3BS7ACMDUWISF18KY76
Bausch Health Cos., Inc.
91911KAN2
301000.00000000
PA
USD
307640.06000000
0.033750612356
Long
DBT
CORP
CA
Y
2
2025-11-01
Fixed
5.50000000
N
N
N
N
N
N
Netflix, Inc.
549300Y7VHGU0I7CE873
Netflix, Inc.
64110L106
6313.00000000
NS
USD
2872667.52000000
0.315154950546
Long
EC
CORP
US
N
1
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
1833.15000000
0.000201111438
N/A
DFE
N/A
N
2
BNP Paribas
R0MUWSFPU8MPRO8K5P83
1004977.27000000
USD
23881978.27000000
CZK
2020-07-22
1833.15000000
N
N
N
Symrise AG
529900D82I6R9601CF26
Symrise AG, Series SY1G
N/A
400000.00000000
PA
559673.78000000
0.061400757738
Long
DBT
CORP
DE
Y
2
2024-06-20
Fixed
0.23750000
N
N
N
N
Y
Symrise AG
Symrise AG
EUR
XXXX
N
N
N
Microsoft Corp.
INR2EJN1ERAN0W5ZP974
Microsoft Corp.
594918104
72434.00000000
NS
USD
14741043.34000000
1.617212139057
Long
EC
CORP
US
N
1
N
N
N
CommScope Technologies LLC
M4TWC4QDOKW45N7T6Y12
CommScope Technologies LLC
20338HAB9
52000.00000000
PA
USD
46836.40000000
0.005138333351
Long
DBT
CORP
US
Y
2
2027-03-15
Fixed
5.00000000
N
N
N
N
N
N
Springleaf Finance Corp.
5493008I795YYBFWFU90
Springleaf Finance Corp.
85172FAR0
65000.00000000
PA
USD
61100.00000000
0.006703166079
Long
DBT
CORP
US
N
2
2029-11-15
Fixed
5.37500000
N
N
N
N
N
N
Royal Bank of Scotland Group plc
2138005O9XJIJN4JPN90
Royal Bank of Scotland Group plc
780099CH8
125000.00000000
PA
USD
136734.76000000
0.015000913341
Long
DBT
CORP
GB
N
2
2024-05-28
Fixed
5.12500000
N
N
N
N
N
N
Eagle RE Ltd.
254900L82OLW9QTLJ788
Eagle RE Ltd., Series 2019-1, Class M1B
269822AB8
90234.72000000
PA
USD
89488.86000000
0.009817654514
Long
ABS-MBS
CORP
BM
Y
3
2029-04-25
Floating
1.98450000
N
N
N
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
62108.76000000
0.006813835241
N/A
DFE
N/A
N
2
Goldman Sachs International
W22LROWP2IHZNBB6K528
24291211.25000000
MXN
1115995.81000000
USD
2020-07-22
62108.76000000
N
N
N
Orange SA
969500MCOONR8990S771
Orange SA
N/A
37730.00000000
NS
451174.21000000
0.049497473985
Long
EC
CORP
FR
N
2
N
N
N
Woodward, Inc.
YPYKXXTR8TFDH54ZMB45
Woodward, Inc.
980745103
5415.00000000
NS
USD
419933.25000000
0.046070087023
Long
EC
CORP
US
N
1
N
N
N
Itau Unibanco Holding SA
5493002W2IVG62O3ZJ94
Itau Unibanco Holding SA
465562106
108604.00000000
NS
USD
509352.76000000
0.055880133280
Long
EC
CORP
BR
N
1
N
N
N
Bank Rakyat Indonesia Persero Tbk. PT
254900HB6S4B12GBNP64
Bank Rakyat Indonesia Persero Tbk. PT
N/A
2668800.00000000
NS
569637.02000000
0.062493806059
Long
EC
CORP
ID
N
2
N
N
N
Kimberly-Clark de Mexico SAB de CV
549300JGHL56QT00KT54
Kimberly-Clark de Mexico SAB de CV, Class A
N/A
33746.00000000
NS
52605.85000000
0.005771288859
Long
EC
CORP
MX
N
1
N
N
N
Localiza Rent a Car SA
N/A
Localiza Rent a Car SA
N/A
6324.00000000
NS
47725.67000000
0.005235893490
Long
EC
CORP
BR
N
1
N
N
N
Ascent Resources Utica Holdings LLC
N/A
Ascent Resources Utica Holdings LLC
04364VAG8
25000.00000000
PA
USD
16000.00000000
0.001755329906
Long
DBT
CORP
US
Y
2
2026-11-01
Fixed
7.00000000
N
N
N
N
N
N
Generac Holdings, Inc.
529900S2H2AHJHSFFI84
Generac Holdings, Inc.
368736104
10111.00000000
NS
USD
1232834.23000000
0.135251924590
Long
EC
CORP
US
N
1
N
N
N
CNOOC Ltd.
549300XIVJCBIGMRUD48
CNOOC Ltd.
N/A
126000.00000000
NS
141413.34000000
0.015514191553
Long
EC
CORP
HK
N
2
N
N
N
Eastman Chemical Co.
FDPVHDGJ1IQZFK9KH630
Eastman Chemical Co.
277432100
14996.00000000
NS
USD
1044321.44000000
0.114570540964
Long
EC
CORP
US
N
1
N
N
N
Royal Caribbean Cruises Ltd.
K2NEH8QNVW44JIWK7Z55
Royal Caribbean Cruises Ltd.
780153AZ5
158000.00000000
PA
USD
164702.86000000
0.018069240988
Long
DBT
CORP
LR
Y
2
2025-06-01
Fixed
11.50000000
N
N
N
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
-2253.92000000
-0.00024727332
N/A
DFE
N/A
N
2
BNP Paribas
R0MUWSFPU8MPRO8K5P83
1062105.29000000
USD
942919.51000000
EUR
2020-07-22
-2253.92000000
N
N
N
Taiwan Semiconductor Manufacturing Co. Ltd.
549300KB6NK5SBD14S87
Taiwan Semiconductor Manufacturing Co. Ltd.
874039100
11590.00000000
NS
USD
657964.30000000
0.072184025817
Long
EC
CORP
TW
N
1
N
N
N
Enterprise Development Authority (The)
N/A
Enterprise Development Authority (The)
29390WAA4
67000.00000000
PA
USD
67335.00000000
0.007387196202
Long
DBT
CORP
US
Y
2
2024-07-15
Fixed
12.00000000
N
N
N
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
6780.44000000
0.000743869319
N/A
DFE
N/A
N
2
Goldman Sachs International
W22LROWP2IHZNBB6K528
18600075.80000000
ZAR
1076175.30000000
USD
2020-07-22
6780.44000000
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
3493.15000000
0.000383226916
N/A
DFE
N/A
N
2
Citibank
MBNUM2BPBDO7JBLYG310
24208894.96000000
AUD
14868319.37000000
EUR
2020-07-22
3493.15000000
N
N
N
Lasertec Corp.
N/A
Lasertec Corp.
N/A
200.00000000
NS
18906.12000000
0.002074154865
Long
EC
CORP
JP
N
2
N
N
N
Station Casinos LLC
5493004E7Q60TX54WL62
Station Casinos LLC
857691AF6
115000.00000000
PA
USD
101200.00000000
0.011102461657
Long
DBT
CORP
US
Y
2
2025-10-01
Fixed
5.00000000
N
N
N
N
N
N
Sartorius AG
529900EQV2DY4FOAMU38
Sartorius AG (Preference)
N/A
129.00000000
NS
42576.21000000
0.004670955919
Long
EC
CORP
DE
N
2
N
N
N
Lamb Weston Holdings, Inc.
5493005SMYID1D2OY946
Lamb Weston Holdings, Inc.
513272104
7280.00000000
NS
USD
465410.40000000
0.051059299614
Long
EC
CORP
US
N
1
N
N
N
Entergy Corp.
4XM3TW50JULSLG8BNC79
Entergy Corp.
29364G103
4020.00000000
NS
USD
377116.20000000
0.041372709000
Long
EC
CORP
US
N
1
N
N
N
Deephaven Residential Mortgage Trust
N/A
Deephaven Residential Mortgage Trust, Series 2019-4A, Class M1
24381MAD2
1457000.00000000
PA
USD
1431938.73000000
0.157095304798
Long
ABS-MBS
CORP
US
Y
3
2059-10-25
Variable
3.48400100
N
N
N
N
N
N
MASTR Asset-Backed Securities Trust
N/A
MASTR Asset-Backed Securities Trust, Series 2004-OPT1, Class M2
57643LCJ3
52468.43000000
PA
USD
52316.52000000
0.005739547009
Long
ABS-O
CORP
US
N
3
2034-02-25
Floating
1.83449900
N
N
N
N
N
N
Dassault Systemes SE
96950065LBWY0APQIM86
Dassault Systemes SE
N/A
450.00000000
NS
78116.84000000
0.008570051589
Long
EC
CORP
FR
N
2
N
N
N
Bidvest Group Ltd. (The)
5299002ARE4TRMIRGM72
Bidvest Group Ltd. (The)
N/A
23254.00000000
NS
190794.63000000
0.020931720000
Long
EC
CORP
ZA
N
2
N
N
N
LABL Escrow Issuer LLC
N/A
LABL Escrow Issuer LLC
50168AAA8
75000.00000000
PA
USD
79687.50000000
0.008742365744
Long
DBT
CORP
US
Y
2
2027-07-15
Fixed
10.50000000
N
N
N
N
N
N
Zurich Insurance Group AG
529900QVNRBND50TXP03
Zurich Insurance Group AG
N/A
3256.00000000
NS
1153700.17000000
0.126570275707
Long
EC
CORP
CH
N
2
N
N
N
IAA, Inc.
549300PZCOPC5178W747
IAA, Inc.
449253103
8844.00000000
NS
USD
341113.08000000
0.037422874422
Long
EC
CORP
US
N
1
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC, Multi-Family Structured Pass-Through Certificates, Series K072, Class X3
3137FEBT6
5070000.00000000
PA
USD
655874.97000000
0.071954809352
Long
ABS-MBS
USGSE
US
N
2
2045-12-25
Variable
2.20558000
N
N
N
N
N
N
Mitsubishi Chemical Holdings Corp.
353800YNKX4RQUGAR072
Mitsubishi Chemical Holdings Corp.
N/A
4600.00000000
NS
26825.67000000
0.002942993800
Long
EC
CORP
JP
N
2
N
N
N
NovaStar Mortgage Funding Trust
N/A
NovaStar Mortgage Funding Trust, Series 2003-3, Class M1
66987XCV5
61696.89000000
PA
USD
61385.35000000
0.006734471291
Long
ABS-O
CORP
US
N
3
2033-12-25
Floating
1.30950000
N
N
N
N
N
N
Geely Automobile Holdings Ltd.
549300YS3T1KVQ2SNI84
Geely Automobile Holdings Ltd.
N/A
35000.00000000
NS
55606.39000000
0.006100472459
Long
EC
CORP
KY
N
2
N
N
N
CSC Holdings LLC
3HG2WD2W22M120IUNG49
CSC Holdings LLC
126307AU1
475000.00000000
PA
USD
487525.75000000
0.053485533066
Long
DBT
CORP
US
Y
2
2026-05-15
Fixed
5.50000000
N
N
N
N
N
N
Shinhan Financial Group Co. Ltd.
988400EB8A6G49E5KO54
Shinhan Financial Group Co. Ltd.
N/A
3430.00000000
NS
82890.12000000
0.009093719160
Long
EC
CORP
KR
N
2
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
-4565.13000000
-0.00050083182
N/A
DFE
N/A
N
2
State Street Bank and Trust
571474TGEMMWANRLN572
192279.15000000
EUR
211594.92000000
USD
2020-07-29
-4565.13000000
N
N
N
Hilton Domestic Operating Co., Inc.
5493003EG7H0N1E4XV50
Hilton Domestic Operating Co., Inc.
432833AD3
357000.00000000
PA
USD
355439.91000000
0.038994643994
Long
DBT
CORP
US
N
2
2026-05-01
Fixed
5.12500000
N
N
N
N
N
N
EDP - Energias de Portugal SA
529900CLC3WDMGI9VH80
EDP - Energias de Portugal SA
N/A
8552.00000000
NS
40820.93000000
0.004478387452
Long
EC
CORP
PT
N
2
N
N
N
Shimano, Inc.
529900L32YT3P9DECR10
Shimano, Inc.
N/A
200.00000000
NS
38457.75000000
0.004219127419
Long
EC
CORP
JP
N
2
N
N
N
Reliance Industries Ltd.
5493003UOETFYRONLG31
Reliance Industries Ltd.
759470107
4501.00000000
NS
USD
203172.89000000
0.022289715623
Long
EC
CORP
IN
Y
2
N
N
N
Albertsons Cos., Inc.
N/A
Albertsons Cos., Inc.
013093AD1
46000.00000000
PA
USD
47006.48000000
0.005156992508
Long
DBT
CORP
US
N
2
2025-03-15
Fixed
5.75000000
N
N
N
N
N
N
Frontier Communications Corp.
549300ZCZ76HYCS0H445
Frontier Communications Corp.
35906ABC1
230000.00000000
PA
USD
233450.00000000
0.025611360414
Long
DBT
CORP
US
Y
2
2027-04-01
Fixed
8.00000000
N
N
N
N
N
N
USS Co. Ltd.
5299000RRQD6UZXG4W72
USS Co. Ltd.
N/A
500.00000000
NS
8015.18000000
0.000879330322
Long
EC
CORP
JP
N
2
N
N
N
Welbilt, Inc.
549300UR3W71YLZWI068
Welbilt, Inc.
563568AB0
70000.00000000
PA
USD
66850.00000000
0.007333987764
Long
DBT
CORP
US
N
2
2024-02-15
Fixed
9.50000000
N
N
N
N
N
N
Hanon Systems
5493004WIDNO4WOEYG91
Hanon Systems
N/A
3880.00000000
NS
29405.39000000
0.003226010029
Long
EC
CORP
KR
N
2
N
N
N
Home Equity Asset Trust
N/A
Home Equity Asset Trust, Series 2004-6, Class M2
437084EU6
90705.27000000
PA
USD
87668.92000000
0.009617992320
Long
ABS-O
CORP
US
N
3
2034-12-25
Floating
1.08450000
N
N
N
N
N
N
Pan Pacific International Holdings Corp.
529900QLHJM2E18A5763
Pan Pacific International Holdings Corp.
N/A
1400.00000000
NS
30823.37000000
0.003381573948
Long
EC
CORP
JP
N
2
N
N
N
Hindustan Unilever Ltd.
5493007IW5N37IKRPM32
Hindustan Unilever Ltd.
N/A
5154.00000000
NS
149006.18000000
0.016347187748
Long
EC
CORP
IN
N
2
N
N
N
WEG SA
N/A
WEG SA
N/A
29492.00000000
NS
278482.23000000
0.030551761668
Long
EC
CORP
BR
N
1
N
N
N
AIA Group Ltd.
ZP5ILWVSYE4LJGMMVD57
AIA Group Ltd.
N/A
302400.00000000
NS
2829739.77000000
0.310445427834
Long
EC
CORP
HK
N
2
N
N
N
Nokia OYJ
549300A0JPRWG1KI7U06
Nokia OYJ
N/A
19290.00000000
NS
84294.76000000
0.009247819573
Long
EC
CORP
FI
N
2
N
N
N
ASX Ltd.
N/A
ASX Ltd.
N/A
662.00000000
NS
39348.17000000
0.004316813722
Long
EC
CORP
AU
N
2
N
N
N
Navient Corp.
54930067J0ZNOEBRW338
Navient Corp.
63938CAH1
190000.00000000
PA
USD
181687.50000000
0.019932593897
Long
DBT
CORP
US
N
2
2025-06-25
Fixed
6.75000000
N
N
N
N
N
N
Eurofins Scientific SE
529900JEHFM47DYY3S57
Eurofins Scientific SE
N/A
43.00000000
NS
27121.60000000
0.002975459724
Long
EC
CORP
LU
N
2
N
N
N
Illumina, Inc.
SQ95QG8SR5Q56LSNF682
Illumina, Inc.
452327109
1509.00000000
NS
USD
558858.15000000
0.061311276505
Long
EC
CORP
US
N
1
N
N
N
Ahern Rentals, Inc.
N/A
Ahern Rentals, Inc.
008674AH6
145000.00000000
PA
USD
69600.00000000
0.007635685092
Long
DBT
CORP
US
Y
2
2023-05-15
Fixed
7.37500000
N
N
N
N
N
N
Brother Industries Ltd.
549300O5FACQ67KI6R92
Brother Industries Ltd.
114813108
800.00000000
NS
14453.68000000
0.001585686047
Long
EC
CORP
JP
N
2
N
N
N
HCL Technologies Ltd.
549300C1F8OLYSOQYB65
HCL Technologies Ltd.
N/A
4897.00000000
NS
36139.42000000
0.003964787795
Long
EC
CORP
IN
N
2
N
N
N
Invesco Ltd.
ECPGFXU8A2SHKVVGJI15
Invesco Ltd.
N/A
16362.00000000
NS
USD
176055.12000000
0.019314676080
Long
EC
CORP
BM
N
1
N
N
N
China Overseas Land & Investment Ltd.
529900I6W35GYKRIZ151
China Overseas Land & Investment Ltd.
N/A
11000.00000000
NS
33587.82000000
0.003684856558
Long
EC
CORP
HK
N
2
N
N
N
ASM Pacific Technology Ltd.
529900PYFA1HFYKPT360
ASM Pacific Technology Ltd.
N/A
1100.00000000
NS
11624.79000000
0.001275333846
Long
EC
CORP
KY
N
2
N
N
N
American Homes 4 Rent
549300ZJUO7A58PNUW40
American Homes 4 Rent, Class A
02665T306
18283.00000000
NS
USD
491812.70000000
0.053955846288
Long
EC
CORP
US
N
1
N
N
N
Herc Holdings, Inc.
549300TP80QLITMSBP82
Herc Holdings, Inc.
42704LAA2
330000.00000000
PA
USD
330709.50000000
0.036281517228
Long
DBT
CORP
US
Y
2
2027-07-15
Fixed
5.50000000
N
N
N
N
N
N
Aroundtown SA
529900H4DWG3KWMBMQ39
Aroundtown SA
N/A
3943.00000000
NS
22600.53000000
0.002479461637
Long
EC
CORP
LU
N
2
N
N
N
Suofeiya Home Collection Co. Ltd.
N/A
Suofeiya Home Collection Co. Ltd., Class A
N/A
29700.00000000
NS
101983.19000000
0.011188383959
Long
EC
CORP
CN
N
2
N
N
N
Wells Fargo & Co.
PBLD0EJDB5FWOLXP3B76
Wells Fargo & Co.
949746101
46312.00000000
NS
USD
1185587.20000000
0.130068541793
Long
EC
CORP
US
N
1
N
N
N
Post Holdings, Inc.
JM1I5YUAURL6DC8N1468
Post Holdings, Inc.
737446AM6
210000.00000000
PA
USD
217350.00000000
0.023845059696
Long
DBT
CORP
US
Y
2
2027-03-01
Fixed
5.75000000
N
N
N
N
N
N
Argent Securities, Inc. Asset-Backed Pass-Through Certificates
N/A
Argent Securities, Inc. Asset-Backed Pass-Through Certificates, Series 2004-W7, Class M9
040104KD2
143088.43000000
PA
USD
148605.22000000
0.016303199181
Long
ABS-O
CORP
US
Y
3
2034-05-25
Floating
4.10405000
N
N
N
N
N
N
Compass Group plc
2138008M6MH9OZ6U2T68
Compass Group plc
N/A
6103.00000000
NS
83967.86000000
0.009211955989
Long
EC
CORP
GB
N
2
N
N
N
Galapagos NV
549300QKJ78IY0IOV655
Galapagos NV
N/A
154.00000000
NS
30396.18000000
0.003334707736
Long
EC
CORP
BE
N
2
N
N
N
Hang Seng Bank Ltd.
5493009Z5F07LWZYMK62
Hang Seng Bank Ltd.
N/A
2700.00000000
NS
45474.13000000
0.004988881272
Long
EC
CORP
HK
N
2
N
N
N
Medipal Holdings Corp.
353800PJDODZEA4NP730
Medipal Holdings Corp.
N/A
500.00000000
NS
9650.31000000
0.001058717359
Long
EC
CORP
JP
N
2
N
N
N
E*TRADE Financial Corp.
549300LYE2HSVYJFJD24
E*TRADE Financial Corp.
269246401
6875.00000000
NS
USD
341893.75000000
0.037508520259
Long
EC
CORP
US
N
1
N
N
N
Nitori Holdings Co. Ltd.
N/A
Nitori Holdings Co. Ltd.
N/A
300.00000000
NS
58820.72000000
0.006453110557
Long
EC
CORP
JP
N
2
N
N
N
United States of America
254900HROIFWPRGM1V77
U.S. Treasury Notes
912828ZT0
4000000.00000000
PA
USD
3994843.76000000
0.438266795185
Long
DBT
UST
US
N
2
2025-05-31
Fixed
0.25000000
N
N
N
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
-12154.46000000
-0.00133344294
N/A
DFE
N/A
N
2
BNP Paribas
R0MUWSFPU8MPRO8K5P83
4730239.44000000
AUD
3252593.05000000
USD
2020-07-22
-12154.46000000
N
N
N
CPS Auto Receivables Trust
N/A
CPS Auto Receivables Trust, Series 2019-D, Class A
12655KAA6
5390.81000000
PA
USD
5421.51000000
0.000594783665
Long
ABS-O
CORP
US
Y
2
2022-12-15
Fixed
2.17000000
N
N
N
N
N
N
FamilyMart Co. Ltd.
529900GD7JL8DBCSE791
FamilyMart Co. Ltd.
N/A
900.00000000
NS
15451.11000000
0.001695112216
Long
EC
CORP
JP
N
2
N
N
N
Asahi Kasei Corp.
353800GPI4Z3MGDGN142
Asahi Kasei Corp.
N/A
4300.00000000
NS
35198.90000000
0.003861605114
Long
EC
CORP
JP
N
2
N
N
N
W.R. Grace & Co.-Conn.
549300GJVOEHHLSO6K25
W.R. Grace & Co.-Conn.
383909AF5
30000.00000000
PA
USD
31575.00000000
0.003464033861
Long
DBT
CORP
US
Y
2
2024-10-01
Fixed
5.62500000
N
N
N
N
N
N
Bombardier, Inc.
W7L3VLU8EHQY34Z36697
Bombardier, Inc.
097751BF7
87000.00000000
PA
USD
59838.60000000
0.006564780258
Long
DBT
CORP
CA
Y
2
2023-01-15
Fixed
6.12500000
N
N
N
N
N
N
Hyundai Glovis Co. Ltd.
988400U6RDXNJ5ZRN304
Hyundai Glovis Co. Ltd.
N/A
287.00000000
NS
24400.21000000
0.002676901145
Long
EC
CORP
KR
N
2
N
N
N
Ramsay Health Care Ltd.
549300QBX122KF2JPI10
Ramsay Health Care Ltd.
N/A
611.00000000
NS
28217.42000000
0.003095680075
Long
EC
CORP
AU
N
2
N
N
N
United States Steel Corp.
JNLUVFYJT1OZSIQ24U47
United States Steel Corp.
912909AN8
51000.00000000
PA
USD
32257.50000000
0.003538909653
Long
DBT
CORP
US
N
2
2026-03-15
Fixed
6.25000000
N
N
N
N
N
N
Westlake Automobile Receivables Trust
N/A
Westlake Automobile Receivables Trust, Series 2019-2A, Class C
96041LAE2
120000.00000000
PA
USD
121670.65000000
0.013348258166
Long
ABS-O
CORP
US
Y
2
2024-07-15
Fixed
2.84000000
N
N
N
N
N
N
East Japan Railway Co.
353800SENYJ2DSM6PS44
East Japan Railway Co.
N/A
1000.00000000
NS
69295.26000000
0.007602252640
Long
EC
CORP
JP
N
2
N
N
N
Siam Cement PCL (The)
529900SEH9QK8ZZDCQ89
Siam Cement PCL (The) (Registered)
N/A
29900.00000000
NS
357662.83000000
0.039238516367
Long
EC
CORP
TH
N
2
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
4429.74000000
0.000485978443
N/A
DFE
N/A
N
2
Barclays Capital
AC28XWWI3WIBK2824319
2049094445.21000000
COP
548722.50000000
USD
2020-07-22
4429.74000000
N
N
N
SK Innovation Co. Ltd.
988400PXP70BWVSJVF07
SK Innovation Co. Ltd.
N/A
587.00000000
NS
64893.61000000
0.007119355897
Long
EC
CORP
KR
N
2
N
N
N
Graphic Packaging Holding Co.
N/A
Graphic Packaging Holding Co.
388689101
37632.00000000
NS
USD
526471.68000000
0.057758217795
Long
EC
CORP
US
N
1
N
N
N
Tokyu Corp.
3538005PGNIBTZYXAE45
Tokyu Corp.
N/A
1700.00000000
NS
23933.21000000
0.002625667454
Long
EC
CORP
JP
N
2
N
N
N
Jardine Cycle & Carriage Ltd.
254900WEP6OCEXFWML09
Jardine Cycle & Carriage Ltd.
N/A
200.00000000
NS
2918.71000000
0.000320206184
Long
EC
CORP
SG
N
2
N
N
N
Suncorp Group Ltd.
549300BVOKRTHDIWVT46
Suncorp Group Ltd.
N/A
4314.00000000
NS
27721.34000000
0.003041256071
Long
EC
CORP
AU
N
2
N
N
N
Afterpay Ltd.
529900P6ROPAX0QTB720
Afterpay Ltd.
N/A
731.00000000
NS
31570.21000000
0.003463508360
Long
EC
CORP
AU
N
2
N
N
N
AmeriCredit Automobile Receivables Trust
N/A
AmeriCredit Automobile Receivables Trust, Series 2019-1, Class D
03066GAG4
210000.00000000
PA
USD
215376.00000000
0.023628495868
Long
ABS-O
CORP
US
N
2
2025-03-18
Fixed
3.62000000
N
N
N
N
N
N
Nabors Industries, Inc.
549300VFQWRKICUFNU92
Nabors Industries, Inc.
62957HAF2
115000.00000000
PA
USD
46575.00000000
0.005109655649
Long
DBT
CORP
US
N
2
2025-02-01
Fixed
5.75000000
N
N
N
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
-116015.91000000
-0.01272788727
N/A
DFE
N/A
N
2
Goldman Sachs
FOR8UP27PHTHYVLBNG30
1142394.74000000
USD
5587338.44000000
BRL
2020-07-22
-116015.91000000
N
N
N
Daito Trust Construction Co. Ltd.
353800QQ4DRI3KXS3038
Daito Trust Construction Co. Ltd.
N/A
200.00000000
NS
18432.29000000
0.002022171867
Long
EC
CORP
JP
N
2
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
-54256.28000000
-0.00595235443
N/A
DFE
N/A
N
2
Citibank
MBNUM2BPBDO7JBLYG310
277680367.06000000
PHP
5522900.02000000
USD
2020-07-22
-54256.28000000
N
N
N
Swedish Match AB
529900YVXCGNWAUYZG78
Swedish Match AB
N/A
582.00000000
NS
41063.39000000
0.004504987282
Long
EC
CORP
SE
N
2
N
N
N
Enphase Energy, Inc.
5493008U7KIGMI59Z314
Enphase Energy, Inc.
29355A107
13532.00000000
NS
USD
643717.24000000
0.070621007661
Long
EC
CORP
US
N
1
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
-701.08000000
-0.00007691416
N/A
DFE
N/A
N
2
Merrill Lynch International
AHYI0DDQ2LCHPGHJC422
25331.58000000
EUR
27776.66000000
USD
2020-07-29
-701.08000000
N
N
N
Taisho Pharmaceutical Holdings Co. Ltd.
N/A
Taisho Pharmaceutical Holdings Co. Ltd.
N/A
100.00000000
NS
6136.71000000
0.000673246911
Long
EC
CORP
JP
N
2
N
N
N
Mettler-Toledo International, Inc.
5493000BD5GJNUDIUG10
Mettler-Toledo International, Inc.
592688105
554.00000000
NS
USD
446274.70000000
0.048959957958
Long
EC
CORP
US
N
1
N
N
N
ING Groep NV
549300NYKK9MWM7GGW15
ING Groep NV
N/A
72480.00000000
NS
505251.54000000
0.055430196148
Long
EC
CORP
NL
N
2
N
N
N
Lyft, Inc.
549300H7I5VN334XVZ52
Lyft, Inc., Class A
55087P104
20386.00000000
NS
USD
672941.86000000
0.073827185754
Long
EC
CORP
US
N
1
N
N
N
NN Group NV
724500OHYNDT9OY6Q215
NN Group NV
N/A
1000.00000000
NS
33607.77000000
0.003687045235
Long
EC
CORP
NL
N
2
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
6724.40000000
0.000737721276
N/A
DFE
N/A
N
2
Goldman Sachs International
W22LROWP2IHZNBB6K528
1274535.14000000
USD
8824881.30000000
TRY
2020-07-22
6724.40000000
N
N
N
NAVER Corp.
N/A
NAVER Corp.
N/A
3286.00000000
NS
739295.05000000
0.081106669428
Long
EC
CORP
KR
N
2
N
N
N
ICA Gruppen AB
549300ZEFN8VKPK9I111
ICA Gruppen AB
N/A
344.00000000
NS
16351.89000000
0.001793935096
Long
EC
CORP
SE
N
2
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC, Multi-Family Structured Pass-Through Certificates, Series K090, Class X1
3137FLMX9
10571454.95890000
PA
USD
578389.67000000
0.063454042828
Long
ABS-MBS
USGSE
US
N
2
2029-02-25
Variable
0.85244000
N
N
N
N
N
N
Signature Bank
VLP5AP0XK2GM6GKD1007
Signature Bank
82669G104
3320.00000000
NS
USD
354974.40000000
0.038943573768
Long
EC
CORP
US
N
1
N
N
N
GSAMP Trust
N/A
GSAMP Trust, Series 2004-NC2, Class B2
36242DHG1
526573.40000000
PA
USD
376648.16000000
0.041321361212
Long
ABS-O
CORP
US
Y
3
2034-10-25
Floating
3.55950000
N
N
N
N
N
N
Westlake Automobile Receivables Trust
N/A
Westlake Automobile Receivables Trust, Series 2019-1A, Class E
96042JAN6
505000.00000000
PA
USD
520680.10000000
0.057122834446
Long
ABS-O
CORP
US
Y
2
2024-07-15
Fixed
4.49000000
N
N
N
N
N
N
Phillips 66
5493005JBO5YSIGK1814
Phillips 66
718546104
7930.00000000
NS
USD
570167.00000000
0.062551949168
Long
EC
CORP
US
N
1
N
N
N
Ito En Ltd.
N/A
Ito En Ltd.
N/A
200.00000000
NS
11289.76000000
0.001238578335
Long
EC
CORP
JP
N
2
N
N
N
Ford Motor Co.
20S05OYHG0MQM4VUIC57
Ford Motor Co.
345370CX6
29000.00000000
PA
USD
34344.70000000
0.003767892439
Long
DBT
CORP
US
N
2
2030-04-22
Fixed
9.62500000
N
N
N
N
N
N
Absa Group Ltd.
2138006IPPRD4N6XLT30
Absa Group Ltd.
N/A
10356.00000000
NS
51125.84000000
0.005608919746
Long
EC
CORP
ZA
N
2
N
N
N
Nagoya Railroad Co. Ltd.
353800P62OOYUY3I8T51
Nagoya Railroad Co. Ltd.
N/A
700.00000000
NS
19729.76000000
0.002164514860
Long
EC
CORP
JP
N
2
N
N
N
Disco Corp.
N/A
Disco Corp.
N/A
100.00000000
NS
24388.87000000
0.002675657055
Long
EC
CORP
JP
N
2
N
N
N
T. Rowe Price Group, Inc.
549300SIV6FPS9Y7IH33
T. Rowe Price Group, Inc.
74144T108
7418.00000000
NS
USD
916123.00000000
0.100506131234
Long
EC
CORP
US
N
1
N
N
N
JGC Holdings Corp.
5493003WMGG79YLARU68
JGC Holdings Corp.
N/A
800.00000000
NS
8435.94000000
0.000925491110
Long
EC
CORP
JP
N
2
N
N
N
51job, Inc.
52990088ZF32Q8YHCJ53
51job, Inc.
316827104
700.00000000
NS
USD
50253.00000000
0.005513162111
Long
EC
CORP
KY
N
1
N
N
N
Pretium Mortgage Credit Partners I LLC
N/A
Pretium Mortgage Credit Partners I LLC, Series 2019-NPL2, Class A2
74142NAB9
500000.00000000
PA
USD
456873.85000000
0.050122770769
Long
ABS-O
CORP
US
Y
3
2058-12-27
Variable
5.92679900
N
N
N
N
N
N
Japan Retail Fund Investment Corp.
353800QDHNIP60E1LQ93
Japan Retail Fund Investment Corp.
N/A
9.00000000
NS
11257.01000000
0.001234985394
Long
EC
CORP
JP
N
2
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, REMIC, Series 2010-35, Class SB
31398PKD0
26.54000000
PA
USD
4.63000000
0.000000507948
Long
ABS-MBS
USGSE
US
N
2
2040-04-25
Floating
6.23549900
N
N
N
N
N
N
Calpine Corp.
43R4VPJBXTU2O15HEF41
Calpine Corp.
131347CF1
115000.00000000
PA
USD
116125.85000000
0.012739948587
Long
DBT
CORP
US
N
2
2025-01-15
Fixed
5.75000000
N
N
N
N
N
N
Newcrest Mining Ltd.
5299006MN50OZJUJI655
Newcrest Mining Ltd.
N/A
2763.00000000
NS
61266.97000000
0.006721484044
Long
EC
CORP
AU
N
2
N
N
N
Faurecia SE
969500F0VMZLK2IULV85
Faurecia SE
N/A
260.00000000
NS
10215.04000000
0.001120672825
Long
EC
CORP
FR
N
2
N
N
N
Komercni banka A/S
IYKCAVNFR8QGF00HV840
Komercni banka A/S
N/A
1486.00000000
NS
34663.64000000
0.003802882747
Long
EC
CORP
CZ
N
2
N
N
N
Vistra Operations Co. LLC
549300ZH5GKBTJZ7NM23
Vistra Operations Co. LLC
92840VAB8
70000.00000000
PA
USD
71888.60000000
0.007886763093
Long
DBT
CORP
US
Y
2
2027-02-15
Fixed
5.62500000
N
N
N
N
N
N
Home Equity Mortgage Loan Asset-Backed Trust
N/A
Home Equity Mortgage Loan Asset-Backed Trust SPMD, Series 2004-B, Class M3
456606FC1
176427.30000000
PA
USD
173190.60000000
0.019000414979
Long
ABS-O
CORP
US
N
3
2034-11-25
Floating
1.38449900
N
N
N
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
327.51000000
0.000035930506
N/A
DFE
N/A
N
2
BNP Paribas
R0MUWSFPU8MPRO8K5P83
94223.72000000
GBP
117102.04000000
USD
2020-07-29
327.51000000
N
N
N
Epiroc AB
5493004Q73OEYW1SPE91
Epiroc AB, Class B
N/A
1423.00000000
NS
17476.06000000
0.001917265672
Long
EC
CORP
SE
N
2
N
N
N
Bouygues SA
969500MOCLNQFNZN0D63
Bouygues SA
N/A
780.00000000
NS
26718.50000000
0.002931236381
Long
EC
CORP
FR
N
2
N
N
N
Nabtesco Corp.
529900DVHQXYRTGW7739
Nabtesco Corp.
N/A
400.00000000
NS
12378.87000000
0.001358062544
Long
EC
CORP
JP
N
2
N
N
N
Covanta Holding Corp.
40XIFLS8XDQGGHGPGC04
Covanta Holding Corp.
22282EAG7
40000.00000000
PA
USD
40500.00000000
0.004443178825
Long
DBT
CORP
US
N
2
2025-07-01
Fixed
5.87500000
N
N
N
N
N
N
China Vanke Co. Ltd.
529900E66UJ2DWY7KW55
China Vanke Co. Ltd., Class H
N/A
22100.00000000
NS
70535.61000000
0.007738329105
Long
EC
CORP
CN
N
2
N
N
N
iHeartCommunications, Inc.
54930076J6KDZL504O62
iHeartCommunications, Inc.
45174HBC0
28722.00000000
PA
USD
28434.78000000
0.003119526232
Long
DBT
CORP
US
N
2
2026-05-01
Fixed
6.37500000
N
N
N
N
N
N
Medibank Pvt Ltd.
BDYVSUPTML83OLINBJ17
Medibank Pvt Ltd.
N/A
9423.00000000
NS
19536.26000000
0.002143286339
Long
EC
CORP
AU
N
2
N
N
N
Sanlam Ltd.
37890014418406D9FC23
Sanlam Ltd.
N/A
48307.00000000
NS
164325.23000000
0.018027811911
Long
EC
CORP
ZA
N
2
N
N
N
Drive Auto Receivables Trust
N/A
Drive Auto Receivables Trust, Series 2019-3, Class D
26209WAG8
980000.00000000
PA
USD
994802.90000000
0.109137955078
Long
ABS-O
CORP
US
N
2
2026-10-15
Fixed
3.18000000
N
N
N
N
N
N
Penske Automotive Group, Inc.
549300W7UTQ0M4C7LB15
Penske Automotive Group, Inc.
70959WAG8
251000.00000000
PA
USD
250372.50000000
0.027467896060
Long
DBT
CORP
US
N
2
2026-05-15
Fixed
5.50000000
N
N
N
N
N
N
Smith & Nephew plc
213800ZTMDN8S67S1H61
Smith & Nephew plc
N/A
28491.00000000
NS
530890.97000000
0.058243049789
Long
EC
CORP
GB
N
2
N
N
N
Foshan Haitian Flavouring & Food Co. Ltd.
N/A
Foshan Haitian Flavouring & Food Co. Ltd., Class A
N/A
16460.00000000
NS
290068.97000000
0.031822921120
Long
EC
CORP
CN
N
2
N
N
N
Mitsubishi Motors Corp.
5299006ZTN6MO1N5BR16
Mitsubishi Motors Corp.
N/A
2800.00000000
NS
6939.60000000
0.000761330463
Long
EC
CORP
JP
N
2
N
N
N
Kyushu Railway Co.
5299002CCI6HLWAN3K50
Kyushu Railway Co.
N/A
500.00000000
NS
12991.88000000
0.001425314718
Long
EC
CORP
JP
N
2
N
N
N
Chugai Pharmaceutical Co. Ltd.
529900T9LAII161DCN95
Chugai Pharmaceutical Co. Ltd.
N/A
2400.00000000
NS
128495.97000000
0.014097051186
Long
EC
CORP
JP
N
2
N
N
N
CyberAgent, Inc.
3538006T5KZABPGS8Q08
CyberAgent, Inc.
N/A
300.00000000
NS
14746.10000000
0.001617766895
Long
EC
CORP
JP
N
2
N
N
N
Standard Industries, Inc.
54930064UHXCIUWVI755
Standard Industries, Inc.
853496AD9
240000.00000000
PA
USD
243300.00000000
0.026691985387
Long
DBT
CORP
US
Y
2
2028-01-15
Fixed
4.75000000
N
N
N
N
N
N
Ferguson plc
213800DU1LGY3R2S2X42
Ferguson plc
N/A
8473.00000000
NS
692807.96000000
0.076006658219
Long
EC
CORP
JE
N
2
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC, Multi-Family Structured Pass-Through Certificates, Series K086, Class X1
3137FKSK3
12341452.12000000
PA
USD
248168.09000000
0.027226054385
Long
ABS-MBS
USGSE
US
N
2
2028-11-25
Variable
0.38618300
N
N
N
N
N
N
Credit-Based Asset Servicing and Securitization LLC
N/A
Credit-Based Asset Servicing & Securitization LLC, Series 2004-CB6, Class M3
59020UJE6
153639.02000000
PA
USD
149122.26000000
0.016359922667
Long
ABS-O
CORP
US
N
3
2033-12-25
Floating
2.28449900
N
N
N
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
934.85000000
0.000102560635
N/A
DFE
N/A
N
2
Merrill Lynch International
AHYI0DDQ2LCHPGHJC422
24262.86000000
USD
167028.28000000
DKK
2020-07-29
934.85000000
N
N
N
Post Holdings, Inc.
JM1I5YUAURL6DC8N1468
Post Holdings, Inc.
737446AK0
154000.00000000
PA
USD
154577.50000000
0.016958406787
Long
DBT
CORP
US
Y
2
2026-08-15
Fixed
5.00000000
N
N
N
N
N
N
United States Steel Corp.
JNLUVFYJT1OZSIQ24U47
United States Steel Corp.
912909AR9
73000.00000000
PA
USD
74825.00000000
0.008208910014
Long
DBT
CORP
US
Y
2
2025-06-01
Fixed
12.00000000
N
N
N
N
N
N
NOVA Chemicals Corp.
5493007M1XGU5E55ZJ25
NOVA Chemicals Corp.
66977WAQ2
110000.00000000
PA
USD
102575.00000000
0.011253310321
Long
DBT
CORP
CA
Y
2
2024-06-01
Fixed
4.87500000
N
N
N
N
N
N
Berkeley Group Holdings plc
2138009OQSSLVVHQAL78
Berkeley Group Holdings plc
N/A
430.00000000
NS
22145.08000000
0.002429495075
Long
EC
CORP
GB
N
2
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
8062.86000000
0.000884561205
N/A
DFE
N/A
N
2
Goldman Sachs International
W22LROWP2IHZNBB6K528
523825.88000000
USD
503628.73000000
CHF
2020-07-22
8062.86000000
N
N
N
Toho Gas Co. Ltd.
353800BCVTE4F8012906
Toho Gas Co. Ltd.
N/A
200.00000000
NS
9996.51000000
0.001096698310
Long
EC
CORP
JP
N
2
N
N
N
Nielsen Co. Luxembourg SARL (The)
549300MFMRJBOPHHM352
Nielsen Co. Luxembourg SARL (The)
65410CAA8
17000.00000000
PA
USD
17011.90000000
0.001866343552
Long
DBT
CORP
LU
Y
2
2021-10-01
Fixed
5.50000000
N
N
N
N
N
N
Schroders plc
2138001YYBULX5SZ2H24
Schroders plc
N/A
454.00000000
NS
16569.95000000
0.001817858048
Long
EC
CORP
GB
N
2
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
43.47000000
0.000004769011
N/A
DFE
N/A
N
2
Goldman Sachs International
W22LROWP2IHZNBB6K528
13414.33000000
EUR
15123.85000000
USD
2020-07-29
43.47000000
N
N
N
Energizer Holdings, Inc.
5493000D6NN0V57UME20
Energizer Holdings, Inc.
29272W109
14083.00000000
NS
USD
668801.67000000
0.073372973296
Long
EC
CORP
US
N
1
N
N
N
Lincoln Electric Holdings, Inc.
BIMGBY40SIN95O01BN93
Lincoln Electric Holdings, Inc.
533900106
6186.00000000
NS
USD
521108.64000000
0.057169848764
Long
EC
CORP
US
N
1
N
N
N
Nomura Real Estate Master Fund, Inc.
353800TNNZOQ1CPZE086
Nomura Real Estate Master Fund, Inc.
N/A
15.00000000
NS
17965.46000000
0.001970956826
Long
EC
CORP
JP
N
2
N
N
N
NextEra Energy, Inc.
N/A
NextEra Energy, Inc.
65339F796
14564.00000000
NS
USD
706936.56000000
0.077556680352
Long
EP
CORP
US
N
1
N
N
N
Vail Resorts, Inc.
529900PSZHRNU9HKH870
Vail Resorts, Inc.
91879Q109
1350.00000000
NS
USD
245902.50000000
0.026977500767
Long
EC
CORP
US
N
1
N
N
N
City Developments Ltd.
254900BPLPJS0RJ72373
City Developments Ltd.
N/A
1700.00000000
NS
10388.83000000
0.001139738999
Long
EC
CORP
SG
N
2
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
14875.41000000
0.001631953252
N/A
DFE
N/A
N
2
Merrill Lynch International
AHYI0DDQ2LCHPGHJC422
142311.47000000
USD
1512799.34000000
NOK
2020-07-29
14875.41000000
N
N
N
Bausch Health Cos., Inc.
B3BS7ACMDUWISF18KY76
Bausch Health Cos., Inc.
071734AH0
564000.00000000
PA
USD
531000.36000000
0.058255050760
Long
DBT
CORP
CA
Y
2
2028-01-30
Fixed
5.00000000
N
N
N
N
N
N
Societe Generale SA
O2RNE8IBXP4R0TD8PU41
Societe Generale SA
N/A
2773.00000000
NS
46363.72000000
0.005086476517
Long
EC
CORP
FR
N
2
N
N
N
Sonova Holding AG
5299004A0QNX7FBNHS61
Sonova Holding AG (Registered)
N/A
188.00000000
NS
37632.95000000
0.004128640162
Long
EC
CORP
CH
N
2
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
15.31000000
0.000001679631
N/A
DFE
N/A
N
2
Toronto Dominion Bank
PT3QB789TSUIDF371261
10830982.03000000
HKD
1397254.54000000
USD
2020-08-03
15.31000000
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
9376.28000000
0.001028654043
N/A
DFE
N/A
N
2
Barclays Capital
AC28XWWI3WIBK2824319
35461678.00000000
RUB
506288.01000000
USD
2020-07-22
9376.28000000
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
2855.53000000
0.000313274825
N/A
DFE
N/A
N
2
BNP Paribas
R0MUWSFPU8MPRO8K5P83
9862311.57000000
SEK
1061515.88000000
USD
2020-07-22
2855.53000000
N
N
N
Hitachi Metals Ltd.
N/A
Hitachi Metals Ltd.
N/A
900.00000000
NS
10787.26000000
0.001183450005
Long
EC
CORP
JP
N
2
N
N
N
Newell Brands, Inc.
549300LWGYFM1TVO1Z12
Newell Brands, Inc.
651229AW6
295000.00000000
PA
USD
308980.05000000
0.033897620138
Long
DBT
CORP
US
N
2
2026-04-01
Fixed
4.70000200
N
N
N
N
N
N
Itochu Techno-Solutions Corp.
N/A
Itochu Techno-Solutions Corp.
N/A
300.00000000
NS
11282.05000000
0.001237732485
Long
EC
CORP
JP
N
2
N
N
N
Kohl's Corp.
549300JF6LPRTRJ0FH50
Kohl's Corp.
500255104
14191.00000000
NS
USD
294747.07000000
0.032336146673
Long
EC
CORP
US
N
1
N
N
N
Bear Stearns Asset-Backed Securities Trust
N/A
Bear Stearns Asset-Backed Securities Trust, Series 2004-2, Class M1
073879GZ5
264043.17000000
PA
USD
255709.68000000
0.028053428039
Long
ABS-O
CORP
US
N
3
2034-08-25
Floating
1.38449900
N
N
N
N
N
N
Cullen/Frost Bankers, Inc.
529900V2E9G9AY665O34
Cullen/Frost Bankers, Inc.
229899109
3970.00000000
NS
USD
296598.70000000
0.032539285517
Long
EC
CORP
US
N
1
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
-188159.92000000
-0.02064267092
N/A
DFE
N/A
N
2
State Street Bank and Trust
571474TGEMMWANRLN572
6656602.96000000
USD
2039191871.00000000
HUF
2020-07-22
-188159.92000000
N
N
N
MediaTek, Inc.
254900UEGBK1I4DM4E14
MediaTek, Inc.
N/A
7000.00000000
NS
138394.40000000
0.015182989324
Long
EC
CORP
TW
N
2
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
87608.98000000
0.009611416415
N/A
DFE
N/A
N
2
BNP Paribas
R0MUWSFPU8MPRO8K5P83
2543637.96000000
USD
3571895.98000000
CAD
2020-07-29
87608.98000000
N
N
N
IAC FinanceCo, Inc.
N/A
IAC FinanceCo, Inc.
44931RAA0
250000.00000000
PA
USD
533054.97000000
0.058480458159
Long
DBT
CORP
US
Y
2
2022-10-01
Fixed
0.87500000
N
N
N
N
Y
IAC/InterActiveCorp
IAC/InterActiveCorp
USD
XXXX
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
-86528.19000000
-0.00949284497
N/A
DFE
N/A
N
2
Toronto Dominion Bank
PT3QB789TSUIDF371261
6747246.31000000
USD
9042052.25000000
CAD
2020-07-22
-86528.19000000
N
N
N
Kering SA
549300VGEJKB7SVUZR78
Kering SA
N/A
260.00000000
NS
142147.01000000
0.015594681109
Long
EC
CORP
FR
N
2
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
90073.18000000
0.009881759163
N/A
DFE
N/A
N
2
Barclays Capital
AC28XWWI3WIBK2824319
5635477.04000000
BRL
1125294.94000000
USD
2020-07-22
90073.18000000
N
N
N
SG Holdings Co. Ltd.
N/A
SG Holdings Co. Ltd.
N/A
600.00000000
NS
19580.19000000
0.002148105817
Long
EC
CORP
JP
N
2
N
N
N
SK Telecom Co. Ltd.
9884003WEA1PHW006037
SK Telecom Co. Ltd.
N/A
274.00000000
NS
48256.43000000
0.005294122171
Long
EC
CORP
KR
N
2
N
N
N
Las Vegas Sands Corp.
549300DUOO1KXOHPM605
Las Vegas Sands Corp.
517834107
16148.00000000
NS
USD
735379.92000000
0.080677147879
Long
EC
CORP
US
N
1
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
-745.99000000
-0.00008184115
N/A
DFE
N/A
N
2
State Street Bank and Trust
571474TGEMMWANRLN572
18020.53000000
EUR
19512.67000000
USD
2020-07-29
-745.99000000
N
N
N
1011778 BC ULC
N/A
1011778 BC ULC
68245XAC3
270000.00000000
PA
USD
270477.90000000
0.029673621679
Long
DBT
CORP
CA
Y
2
2024-05-15
Fixed
4.25000000
N
N
N
N
N
N
UBS Group AG
549300SZJ9VS8SGXAN81
UBS Group AG (Registered)
N/A
12543.00000000
NS
144859.92000000
0.015892309362
Long
EC
CORP
CH
N
2
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
384532.98000000
0.042186389984
N/A
DFE
N/A
N
2
Goldman Sachs International
W22LROWP2IHZNBB6K528
152677571.24000000
SEK
15882356.68000000
CHF
2020-07-22
384532.98000000
N
N
N
Burberry Group plc
213800PE1KEFCNFR1R50
Burberry Group plc
N/A
32031.00000000
NS
632935.84000000
0.069438200545
Long
EC
CORP
GB
N
2
N
N
N
Hilton Domestic Operating Co., Inc.
5493003EG7H0N1E4XV50
Hilton Domestic Operating Co., Inc.
432833AF8
48000.00000000
PA
USD
47280.00000000
0.005186999873
Long
DBT
CORP
US
N
2
2030-01-15
Fixed
4.87500000
N
N
N
N
N
N
Fomento Economico Mexicano SAB de CV
549300A8MDWDJNMLV153
Fomento Economico Mexicano SAB de CV
344419106
5541.00000000
NS
USD
343597.41000000
0.037695425593
Long
EC
CORP
MX
N
1
N
N
N
Nordstrom, Inc.
549300S3IZB5P35KNV16
Nordstrom, Inc.
655664100
16109.00000000
NS
USD
249528.41000000
0.027375292534
Long
EC
CORP
US
N
1
N
N
N
Park Place Securities, Inc. Asset-Backed Pass-Through Certificates
N/A
Park Place Securities, Inc. Asset-Backed Pass-Through Certificates, Series 2005-WCH1, Class M4
70069FFL6
487299.71000000
PA
USD
483814.06000000
0.053078330538
Long
ABS-O
CORP
US
N
3
2036-01-25
Floating
1.42949900
N
N
N
N
N
N
Endesa SA
549300LHK07F2CHV4X31
Endesa SA
N/A
1159.00000000
NS
28750.44000000
0.003154156696
Long
EC
CORP
ES
N
2
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
-3334.93000000
-0.00036586889
N/A
DFE
N/A
N
2
State Street Bank and Trust
571474TGEMMWANRLN572
273659.79000000
USD
29177968.00000000
JPY
2020-07-29
-3334.93000000
N
N
N
Kinsale Capital Group, Inc.
529900QTUQHNZ6HOA508
Kinsale Capital Group, Inc.
49714P108
3620.00000000
NS
USD
561860.20000000
0.061640625764
Long
EC
CORP
US
N
1
N
N
N
GLS Auto Receivables Issuer Trust
N/A
GLS Auto Receivables Issuer Trust, Series 2019-2A, Class B
36257NAB9
1300000.00000000
PA
USD
1323355.54000000
0.145182847252
Long
ABS-O
CORP
US
Y
2
2024-03-15
Fixed
3.32000000
N
N
N
N
N
N
N/A
N/A
MSCI EAFE E-Mini Index
N/A
40.00000000
NC
USD
72810.20000000
0.007987870096
N/A
DE
US
N
1
ICE Clear US
549300HWWR1D8OTS2G29
Long
MSCI EAFE E-Mini Index
MSDUEAFE Index
2020-09-18
3556600.00000000
USD
72810.20000000
N
N
N
Australia & New Zealand Banking Group Ltd.
JHE42UYNWWTJB8YTTU19
Australia & New Zealand Banking Group Ltd.
N/A
9694.00000000
NS
125781.08000000
0.013799205710
Long
EC
CORP
AU
N
2
N
N
N
Photo Holdings Merger Sub, Inc.
N/A
Photo Holdings Merger Sub, Inc.
719245AD4
155000.00000000
PA
USD
146281.25000000
0.016048240803
Long
DBT
CORP
US
Y
2
2026-10-01
Fixed
8.50000000
N
N
N
N
N
N
Sohgo Security Services Co. Ltd.
N/A
Sohgo Security Services Co. Ltd.
N/A
300.00000000
NS
14008.05000000
0.001536796818
Long
EC
CORP
JP
N
2
N
N
N
Naspers Ltd.
21380044BQ8812EEKT59
Naspers Ltd., Class N
N/A
1464.00000000
NS
269054.48000000
0.029517460948
Long
EC
CORP
ZA
N
2
N
N
N
China Gas Holdings Ltd.
254900KTSZLZ21VV8T33
China Gas Holdings Ltd.
N/A
26200.00000000
NS
81164.16000000
0.008904367335
Long
EC
CORP
BM
N
2
N
N
N
United States of America
254900HROIFWPRGM1V77
U.S. Treasury Notes
912828M56
2000000.00000000
PA
USD
2203515.62000000
0.241743554175
Long
DBT
UST
US
N
2
2025-11-15
Fixed
2.25000000
N
N
N
N
N
N
Royal Dutch Shell plc
21380068P1DRHMJ8KU70
Royal Dutch Shell plc, Class B
N/A
12769.00000000
NS
193581.78000000
0.021237492984
Long
EC
CORP
GB
N
2
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
-3611.69000000
-0.00039623171
N/A
DFE
N/A
N
2
BNP Paribas
R0MUWSFPU8MPRO8K5P83
10196897.95000000
SEK
1033000.00000000
CHF
2020-07-22
-3611.69000000
N
N
N
Shionogi & Co. Ltd.
35380049VXDTHZI3DY35
Shionogi & Co. Ltd.
N/A
900.00000000
NS
56460.04000000
0.006194124795
Long
EC
CORP
JP
N
2
N
N
N
Ardagh Packaging Finance plc
N/A
Ardagh Packaging Finance plc
03969AAR1
400000.00000000
PA
USD
392648.00000000
0.043076673565
Long
DBT
CORP
US
Y
2
2027-08-15
Fixed
5.25000000
N
N
N
N
N
N
UnitedHealth Group, Inc.
549300GHBMY8T5GXDE41
UnitedHealth Group, Inc.
91324P102
17907.00000000
NS
USD
5281669.65000000
0.579442043243
Long
EC
CORP
US
N
1
N
N
N
Isracard Ltd.
N/A
Isracard Ltd.
N/A
0.68000000
NS
1.55000000
0.000000170047
Long
EC
CORP
IL
N
2
N
N
N
Douglas Dynamics, Inc.
529900CDFLKNQ0QT6580
Douglas Dynamics, Inc.
25960R105
5257.00000000
NS
USD
184625.84000000
0.020254953651
Long
EC
CORP
US
N
1
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA UMBS, 30 Year
31416BQA9
472.65000000
PA
USD
545.43000000
0.000059838099
Long
ABS-MBS
USGSE
US
N
2
2038-10-01
Fixed
6.50000000
N
N
N
N
N
N
Genmab A/S
529900MTJPDPE4MHJ122
Genmab A/S
N/A
223.00000000
NS
75194.07000000
0.008249399990
Long
EC
CORP
DK
N
2
N
N
N
Coca-Cola Bottlers Japan Holdings, Inc.
353800XN1G90665VTQ16
Coca-Cola Bottlers Japan Holdings, Inc.
N/A
500.00000000
NS
9068.26000000
0.000994861748
Long
EC
CORP
JP
N
2
N
N
N
Transurban Group
549300ZR71SUQ4VUTM79
Transurban Group
N/A
9346.00000000
NS
91653.63000000
0.010055147360
Long
EC
CORP
AU
N
2
N
N
N
Otsuka Corp.
529900RG9DJ58J3UIE72
Otsuka Corp.
N/A
300.00000000
NS
15844.70000000
0.001738292235
Long
EC
CORP
JP
N
2
N
N
N
Transocean Poseidon Ltd.
N/A
Transocean Poseidon Ltd.
89383JAA6
84000.00000000
PA
USD
71400.00000000
0.007833159706
Long
DBT
CORP
KY
Y
2
2027-02-01
Fixed
6.87500000
N
N
N
N
N
N
Union Pacific Corp.
549300LMMRSZZCZ8CL11
Union Pacific Corp.
907818108
5278.00000000
NS
USD
892351.46000000
0.097898200292
Long
EC
CORP
US
N
1
N
N
N
Banque Cantonale Vaudoise
K1MOBB3OPSBBQO554R76
Banque Cantonale Vaudoise (Registered)
N/A
103.00000000
NS
10030.40000000
0.001100416318
Long
EC
CORP
CH
N
2
N
N
N
Delivery Hero SE
529900C3EX1FZGE48X78
Delivery Hero SE
N/A
438.00000000
NS
45012.08000000
0.004938190635
Long
EC
CORP
DE
Y
2
N
N
N
Morgan Stanley ABS Capital I, Inc. Trust
N/A
Morgan Stanley ABS Capital I, Inc. Trust, Series 2004-NC2, Class M2
61744CBK1
4205.13000000
PA
USD
4198.59000000
0.000460619411
Long
ABS-O
CORP
US
N
3
2033-12-25
Floating
1.98450000
N
N
N
N
N
N
UOL Group Ltd.
254900O9PRCWTMR86R25
UOL Group Ltd.
N/A
1600.00000000
NS
7866.72000000
0.000863043055
Long
EC
CORP
SG
N
2
N
N
N
Gecina SA
9695003E4MMA10IBTR26
Gecina SA
N/A
167.00000000
NS
20625.70000000
0.002262806753
Long
EC
CORP
FR
N
2
N
N
N
Vanguard International Semiconductor Corp.
2549001S5Q158BIJJO13
Vanguard International Semiconductor Corp.
N/A
22000.00000000
NS
58497.55000000
0.006417656185
Long
EC
CORP
TW
N
2
N
N
N
Land Securities Group plc
213800V8IAVKS37D6B88
Land Securities Group plc
N/A
2409.00000000
NS
16459.77000000
0.001805770408
Long
EC
CORP
GB
N
2
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
-74.47000000
-0.00000816996
N/A
DFE
N/A
N
2
BNP Paribas
R0MUWSFPU8MPRO8K5P83
177372.19000000
DKK
26683.71000000
USD
2020-07-29
-74.47000000
N
N
N
NextEra Energy, Inc.
N/A
NextEra Energy, Inc.
65339F101
13350.00000000
NS
USD
3206269.50000000
0.351753796315
Long
EC
CORP
US
N
1
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
-40433.57000000
-0.00443589091
N/A
DFE
N/A
N
2
Citibank
MBNUM2BPBDO7JBLYG310
14736516.78000000
EUR
23940724.11000000
AUD
2020-07-22
-40433.57000000
N
N
N
Fuji Electric Co. Ltd.
5299000HVNGZZTYYM906
Fuji Electric Co. Ltd.
N/A
400.00000000
NS
11009.58000000
0.001207840314
Long
EC
CORP
JP
N
2
N
N
N
Equinix, Inc.
549300EVUN2BTLJ3GT74
Equinix, Inc.
29444UAQ9
120000.00000000
PA
USD
126288.00000000
0.013854818950
Long
DBT
CORP
US
N
2
2026-01-15
Fixed
5.87500000
N
N
N
N
N
N
Sherwin-Williams Co. (The)
Z15BMIOX8DDH0X2OBP21
Sherwin-Williams Co. (The)
824348BD7
50000.00000000
PA
USD
53769.89000000
0.005898993498
Long
DBT
CORP
US
N
2
2025-02-01
Fixed
3.30000000
N
N
N
N
N
N
Bausch Health Americas, Inc.
KOO0397YRO83WY5MGD97
Bausch Health Americas, Inc.
91911XAV6
324000.00000000
PA
USD
351507.60000000
0.038563237660
Long
DBT
CORP
US
Y
2
2026-04-01
Fixed
9.25000000
N
N
N
N
N
N
Palo Alto Networks, Inc.
549300QXR2YVZV231H43
Palo Alto Networks, Inc.
697435AD7
321000.00000000
PA
USD
343141.62000000
0.037645421730
Long
DBT
CORP
US
N
2
2023-07-01
Fixed
0.75000000
N
N
N
N
Y
Palo Alto Networks, Inc.
Palo Alto Networks, Inc.
USD
XXXX
N
N
N
NGK Spark Plug Co. Ltd.
549300RG3XQGTFM4HH31
NGK Spark Plug Co. Ltd.
N/A
600.00000000
NS
8623.74000000
0.000946094295
Long
EC
CORP
JP
N
2
N
N
N
Infosys Ltd.
335800TYLGG93MM7PR89
Infosys Ltd.
N/A
93691.00000000
NS
910743.13000000
0.099915915816
Long
EC
CORP
IN
N
2
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
2792.65000000
0.000306376378
N/A
DFE
N/A
N
2
Barclays Capital
AC28XWWI3WIBK2824319
1090803.53000000
USD
4117052489.36000000
COP
2020-07-22
2792.65000000
N
N
N
Hyundai Mobis Co. Ltd.
988400HJA9E0ZVDHRS65
Hyundai Mobis Co. Ltd.
N/A
596.00000000
NS
95669.45000000
0.010495715419
Long
EC
CORP
KR
N
2
N
N
N
Vodafone Group plc
213800TB53ELEUKM7Q61
Vodafone Group plc
N/A
91544.00000000
NS
145533.03000000
0.015966154994
Long
EC
CORP
GB
N
2
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC, REMIC, Series 3200
31397AJ95
0.36000000
PA
USD
0.34000000
0.000000037300
Long
ABS-MBS
USGSE
US
N
2
2036-08-15
None
0.00000000
N
N
N
N
N
N
JBS USA LUX SA
N/A
JBS USA LUX SA
46590XAB2
216000.00000000
PA
USD
221400.00000000
0.024289377578
Long
DBT
CORP
US
Y
2
2030-01-15
Fixed
5.50000000
N
N
N
N
N
N
Ally Financial, Inc.
549300JBN1OSM8YNAI90
Ally Financial, Inc.
02005NBF6
215000.00000000
PA
USD
229687.91000000
0.025198628596
Long
DBT
CORP
US
N
2
2025-11-20
Fixed
5.75000000
N
N
N
N
N
N
Covestro AG
3912005AWHKLQ1CPLV11
Covestro AG
N/A
595.00000000
NS
22662.51000000
0.002486261347
Long
EC
CORP
DE
Y
2
N
N
N
InterContinental Hotels Group plc
2138007ZFQYRUSLU3J98
InterContinental Hotels Group plc
N/A
598.00000000
NS
26398.80000000
0.002896162695
Long
EC
CORP
GB
N
2
N
N
N
Proximus SADP
549300CWRXC5EP004533
Proximus SADP
N/A
451.00000000
NS
9190.07000000
0.001008225294
Long
EC
CORP
BE
N
2
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
1139.88000000
0.000125054090
N/A
DFE
N/A
N
2
State Street Bank and Trust
571474TGEMMWANRLN572
11727300.00000000
JPY
109789.69000000
USD
2020-07-29
1139.88000000
N
N
N
RWE AG
529900GB7KCA94ACC940
RWE AG
N/A
1998.00000000
NS
69944.16000000
0.007673442238
Long
EC
CORP
DE
N
2
N
N
N
Windstream Services LLC
N/A
Windstream Services LLC
97381LAF5
195000.00000000
PA
USD
9750.00000000
0.001069654161
Long
DBT
CORP
US
Y
2
2025-06-30
Fixed
9.00000000
Y
N
N
N
N
N
Check Point Software Technologies Ltd.
2549003ZVBH73EPNS513
Check Point Software Technologies Ltd.
N/A
399.00000000
NS
USD
42864.57000000
0.004702591352
Long
EC
CORP
IL
N
1
N
N
N
Banco Bradesco SA
549300CTUU1RFXHQJE44
Banco Bradesco SA (Preference)
N/A
34094.00000000
NS
131345.38000000
0.014409654598
Long
EC
CORP
BR
N
1
N
N
N
JD Sports Fashion plc
213800HROV6Y9MUU8375
JD Sports Fashion plc
N/A
1499.00000000
NS
11537.30000000
0.001265735483
Long
EC
CORP
GB
N
2
N
N
N
CCO Holdings LLC
N/A
CCO Holdings LLC
1248EPCD3
648000.00000000
PA
USD
663027.12000000
0.072739458276
Long
DBT
CORP
US
Y
2
2030-03-01
Fixed
4.75000000
N
N
N
N
N
N
Inpex Corp.
353800VHYYADPR6MXQ47
Inpex Corp.
N/A
3500.00000000
NS
21854.91000000
0.002397661070
Long
EC
CORP
JP
N
2
N
N
N
Enel SpA
WOCMU6HCI0OJWNPRZS33
Enel SpA
N/A
60000.00000000
NS
518906.81000000
0.056928290136
Long
EC
CORP
IT
N
2
N
N
N
Terumo Corp.
353800JX1R4582QVK932
Terumo Corp.
N/A
2200.00000000
NS
83738.11000000
0.009186750548
Long
EC
CORP
JP
N
2
N
N
N
Epiroc AB
5493004Q73OEYW1SPE91
Epiroc AB, Class A
N/A
2255.00000000
NS
28256.06000000
0.003099919197
Long
EC
CORP
SE
N
2
N
N
N
Oil & Natural Gas Corp. Ltd.
335800FPDZ9MRSNO7N41
Oil & Natural Gas Corp. Ltd.
N/A
35346.00000000
NS
38379.93000000
0.004210589933
Long
EC
CORP
IN
N
2
N
N
N
Techtronic Industries Co. Ltd.
549300HZW2SBE758OK89
Techtronic Industries Co. Ltd.
N/A
62500.00000000
NS
618409.73000000
0.067844568338
Long
EC
CORP
HK
N
2
N
N
N
EnLink Midstream Partners LP
88CPW63VL7KHJWS0NY83
EnLink Midstream Partners LP, Series C
29336UAH0
125000.00000000
PA
USD
45000.00000000
0.004936865361
Long
DBT
CORP
US
N
2
2022-12-15
Variable
6.00000100
N
N
N
N
N
N
ENEOS Holdings, Inc.
3538001KQ5SAOZSQTT44
ENEOS Holdings, Inc.
N/A
10400.00000000
NS
37071.49000000
0.004067043441
Long
EC
CORP
JP
N
2
N
N
N
Keisei Electric Railway Co. Ltd.
529900VNP95IIHXPCY17
Keisei Electric Railway Co. Ltd.
N/A
500.00000000
NS
15670.21000000
0.001719149265
Long
EC
CORP
JP
N
2
N
N
N
WaMu Mortgage Pass-Through Certificates Trust
N/A
WaMu Mortgage Pass-Through Certificates Trust, Series 2007-HY3, Class 3A3
933634AG2
326719.12000000
PA
USD
301008.02000000
0.033023023721
Long
ABS-MBS
CORP
US
N
2
2037-03-25
Variable
3.57812600
N
N
N
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
-36505.83000000
-0.00400498594
N/A
DFE
N/A
N
2
Citibank
MBNUM2BPBDO7JBLYG310
501752688.77000000
INR
6590467.07000000
USD
2020-07-22
-36505.83000000
N
N
N
Shin-Etsu Chemical Co. Ltd.
353800PX8Q64N86H5W41
Shin-Etsu Chemical Co. Ltd.
N/A
8600.00000000
NS
1009309.09000000
0.110729401899
Long
EC
CORP
JP
N
2
N
N
N
WaMu Mortgage Pass-Through Certificates Trust
N/A
WaMu Mortgage Pass-Through Certificates Trust, Series 2005-AR10, Class 1A4
92922FW53
239044.25000000
PA
USD
246622.86000000
0.027056530108
Long
ABS-MBS
CORP
US
N
2
2035-09-25
Variable
4.12412000
N
N
N
N
N
N
Vipshop Holdings Ltd.
549300I9F52K06HPZX60
Vipshop Holdings Ltd.
92763W103
3194.00000000
NS
USD
63592.54000000
0.006976617955
Long
EC
CORP
KY
N
1
N
N
N
AerCap Holdings NV
549300SZYINBBLJQU475
AerCap Holdings NV
N/A
448.00000000
NS
USD
13798.40000000
0.001513796511
Long
EC
CORP
NL
N
1
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
-445.06000000
-0.00004882669
N/A
DFE
N/A
N
2
State Street Bank and Trust
571474TGEMMWANRLN572
43942.54000000
EUR
48955.11000000
USD
2020-07-29
-445.06000000
N
N
N
Atos SE
5493001EZOOA66PTBR68
Atos SE
N/A
300000.00000000
PA
444739.93000000
0.048791581228
Long
DBT
CORP
FR
Y
2
2024-11-06
None
0.00000000
N
N
N
N
N
Worldline SA/France
Worldline SA/France
EUR
XXXX
N
N
N
Swatch Group AG (The)
529900NTES2LEON1JZ55
Swatch Group AG (The) (Registered)
N/A
229.00000000
NS
9005.56000000
0.000987983049
Long
EC
CORP
CH
N
2
N
N
N
Antero Resources Corp.
APVBKPOULHUX7YZLKU17
Antero Resources Corp.
03674XAC0
60000.00000000
PA
USD
43350.00000000
0.004755846964
Long
DBT
CORP
US
N
2
2022-12-01
Fixed
5.12500000
N
N
N
N
N
N
B&G Foods, Inc.
549300TRW1LZMDJZAQ78
B&G Foods, Inc.
05508RAE6
169000.00000000
PA
USD
170267.50000000
0.018679727176
Long
DBT
CORP
US
N
2
2025-04-01
Fixed
5.25000000
N
N
N
N
N
N
Planet Fitness, Inc.
549300LLE5HUPF6H8G33
Planet Fitness, Inc., Class A
72703H101
2810.00000000
NS
USD
170201.70000000
0.018672508382
Long
EC
CORP
US
N
1
N
N
N
Shiseido Co. Ltd.
5299008QCD0YDT5OF506
Shiseido Co. Ltd.
N/A
1400.00000000
NS
89208.89000000
0.009786939532
Long
EC
CORP
JP
N
2
N
N
N
Live Nation Entertainment, Inc.
5493007B9BM9ZXJINO78
Live Nation Entertainment, Inc.
538034AQ2
612000.00000000
PA
USD
620797.50000000
0.068106526094
Long
DBT
CORP
US
N
2
2023-03-15
Fixed
2.50000000
N
N
N
N
Y
Live Nation Entertainment, Inc.
Live Nation Entertainment, Inc.
USD
XXXX
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
-5144.58000000
-0.00056440219
N/A
DFE
N/A
N
2
Goldman Sachs
FOR8UP27PHTHYVLBNG30
2618549692.00000000
KRW
2177914.11000000
USD
2020-07-22
-5144.58000000
N
N
N
DBS Group Holdings Ltd.
5493007FKT78NKPM5V55
DBS Group Holdings Ltd.
N/A
46100.00000000
NS
693658.98000000
0.076100022023
Long
EC
CORP
SG
N
2
N
N
N
Travelers Cos., Inc. (The)
549300Y650407RU8B149
Travelers Cos., Inc. (The)
89417E109
10342.00000000
NS
USD
1179505.10000000
0.129401286042
Long
EC
CORP
US
N
1
N
N
N
CIG Auto Receivables Trust
N/A
CIG Auto Receivables Trust, Series 2019-1A, Class B
125504AB6
935000.00000000
PA
USD
962884.41000000
0.105636237574
Long
ABS-O
CORP
US
Y
2
2024-08-15
Fixed
3.59000000
N
N
N
N
N
N
Genting Singapore Ltd.
254900Y2N3AK93K1O866
Genting Singapore Ltd.
N/A
20700.00000000
NS
11388.58000000
0.001249419691
Long
EC
CORP
SG
N
2
N
N
N
Informa plc
5493006VM2LKUPSEDU20
Informa plc
N/A
5140.00000000
NS
29718.15000000
0.003260322340
Long
EC
CORP
GB
N
2
N
N
N
Delphi Technologies plc
549300SEU65CJHRH6V04
Delphi Technologies plc
24718PAA5
180000.00000000
PA
USD
193050.00000000
0.021179152400
Long
DBT
CORP
JE
Y
2
2025-10-01
Fixed
5.00000000
N
N
N
N
N
N
HOCHTIEF AG
529900Y25S8NZIYTT924
HOCHTIEF AG
N/A
49.00000000
NS
4359.99000000
0.000478326302
Long
EC
CORP
DE
N
2
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
4705.81000000
0.000516265564
N/A
DFE
N/A
N
2
BNP Paribas
R0MUWSFPU8MPRO8K5P83
130057.70000000
GBP
165890.56000000
USD
2020-07-29
4705.81000000
N
N
N
DSV Panalpina A/S
529900X41C0BSLK67H70
DSV Panalpina A/S
N/A
723.00000000
NS
88809.68000000
0.009743142954
Long
EC
CORP
DK
N
2
N
N
N
Snap, Inc.
549300JNC0L6VP8A2Q35
Snap, Inc.
83304AAA4
554000.00000000
PA
USD
692846.25000000
0.076010858943
Long
DBT
CORP
US
Y
2
2026-08-01
Fixed
0.75000000
N
N
N
N
N
Snap, Inc.
Snap, Inc.
USD
XXXX
N
N
N
American Axle & Manufacturing, Inc.
RY5TAKFOBLDUGX31MS24
American Axle & Manufacturing, Inc.
02406PAR1
370000.00000000
PA
USD
363525.00000000
0.039881644011
Long
DBT
CORP
US
N
2
2025-04-01
Fixed
6.25000000
N
N
N
N
N
N
Albertsons Cos., Inc.
N/A
Albertsons Cos., Inc.
013092AD3
40000.00000000
PA
USD
40500.00000000
0.004443178825
Long
DBT
CORP
US
Y
2
2023-02-15
Fixed
3.50000000
N
N
N
N
N
N
Ipsen SA
549300M6SGDPB4Z94P11
Ipsen SA
N/A
137.00000000
NS
11621.92000000
0.001275018984
Long
EC
CORP
FR
N
2
N
N
N
QEP Resources, Inc.
Q6JQDZPXKEDQKVK58165
QEP Resources, Inc.
74733VAC4
30000.00000000
PA
USD
19800.00000000
0.002172220759
Long
DBT
CORP
US
N
2
2023-05-01
Fixed
5.25000000
N
N
N
N
N
N
Home Equity Asset Trust
N/A
Home Equity Asset Trust, Series 2004-3, Class M1
437084CE4
268250.76000000
PA
USD
261655.09000000
0.028705687788
Long
ABS-O
CORP
US
N
3
2034-08-25
Floating
1.03950000
N
N
N
N
N
N
Valeant Pharmaceuticals International, Inc.
N/A
Valeant Pharmaceuticals International, Inc., 1st Lien Term Loan B
C9413PAZ6
149702.86000000
PA
USD
145268.66000000
0.015937151459
Long
LON
CORP
US
N
2
2025-06-02
Variable
3.19000000
N
N
N
N
N
N
Southwestern Energy Co.
EFWMP121W54QV9MGOP87
Southwestern Energy Co.
845467AN9
10000.00000000
PA
USD
8700.00000000
0.000954460636
Long
DBT
CORP
US
N
2
2027-10-01
Fixed
7.75000000
N
N
N
N
N
N
DISH Network Corp.
529900U350CWHH15G169
DISH Network Corp.
25470MAB5
70000.00000000
PA
USD
64303.03000000
0.007054564476
Long
DBT
CORP
US
N
2
2026-08-15
Fixed
3.37500000
N
N
N
N
Y
DISH Network Corp.
DISH Network Corp.
USD
XXXX
N
N
N
PRPM LLC
N/A
PRPM LLC, Series 2019-2A, Class A1
69358XAA8
403202.52000000
PA
USD
406286.62000000
0.044572940913
Long
ABS-O
CORP
US
Y
3
2024-04-25
Variable
3.96699800
N
N
N
N
N
N
Yara International ASA
213800WKOUWXWFJ5Z514
Yara International ASA
N/A
604.00000000
NS
21056.84000000
0.002310106311
Long
EC
CORP
NO
N
2
N
N
N
Maruti Suzuki India Ltd.
335800D27PBEESKKD357
Maruti Suzuki India Ltd.
N/A
1396.00000000
NS
108067.25000000
0.011855854738
Long
EC
CORP
IN
N
2
N
N
N
Shriram Transport Finance Co. Ltd.
335800TM2YO24B76XL26
Shriram Transport Finance Co. Ltd.
N/A
3353.00000000
NS
30599.14000000
0.003356974096
Long
EC
CORP
IN
N
2
N
N
N
Standard Life Aberdeen plc
0TMBS544NMO7GLCE7H90
Standard Life Aberdeen plc
N/A
7967.00000000
NS
26400.24000000
0.002896320675
Long
EC
CORP
GB
N
2
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
4815.51000000
0.000528300544
N/A
DFE
N/A
N
2
Merrill Lynch International
AHYI0DDQ2LCHPGHJC422
1330726.27000000
USD
1077629.82000000
GBP
2020-07-29
4815.51000000
N
N
N
New Residential Mortgage Loan Trust
N/A
New Residential Mortgage Loan Trust, Series 2019-NQM4, Class B2
64828EAF2
688000.00000000
PA
USD
631517.95000000
0.069282646500
Long
ABS-MBS
CORP
US
Y
3
2059-09-25
Variable
5.03886200
N
N
N
N
N
N
Hana Financial Group, Inc.
N/A
Hana Financial Group, Inc.
N/A
3391.00000000
NS
77119.33000000
0.008460616643
Long
EC
CORP
KR
N
2
N
N
N
Lundin Energy AB
549300IULC8F8IGXKI15
Lundin Energy AB
N/A
635.00000000
NS
15497.58000000
0.001700210353
Long
EC
CORP
SE
N
2
N
N
N
ViacomCBS, Inc.
5KYC8KF17ROCY24M3H09
ViacomCBS, Inc.
92556H206
16934.00000000
NS
USD
394900.88000000
0.043323832793
Long
EC
CORP
US
N
1
N
N
N
Sundrug Co. Ltd.
N/A
Sundrug Co. Ltd.
N/A
200.00000000
NS
6619.14000000
0.000726173399
Long
EC
CORP
JP
N
2
N
N
N
Sega Sammy Holdings, Inc.
5493006B6WMKNQ8QNP51
Sega Sammy Holdings, Inc.
N/A
700.00000000
NS
8391.05000000
0.000920566313
Long
EC
CORP
JP
N
2
N
N
N
Bunzl plc
213800Q1Q9DV4L78UM09
Bunzl plc
N/A
1152.00000000
NS
30900.22000000
0.003390005017
Long
EC
CORP
GB
N
2
N
N
N
Kingsoft Corp. Ltd.
529900UVT35D3Q7YQY41
Kingsoft Corp. Ltd.
N/A
17000.00000000
NS
79628.81000000
0.008735926974
Long
EC
CORP
KY
N
2
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
4973.94000000
0.000545681602
N/A
DFE
N/A
N
2
BNP Paribas
R0MUWSFPU8MPRO8K5P83
1076000.00000000
USD
7445382.00000000
TRY
2020-07-22
4973.94000000
N
N
N
Takeda Pharmaceutical Co. Ltd.
549300ZLMVP4X0OGR454
Takeda Pharmaceutical Co. Ltd.
N/A
5400.00000000
NS
194011.03000000
0.021284585194
Long
EC
CORP
JP
N
2
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
-7256.52000000
-0.00079609916
N/A
DFE
N/A
N
2
Goldman Sachs
FOR8UP27PHTHYVLBNG30
977697.64000000
USD
3653411642.61000000
COP
2020-07-22
-7256.52000000
N
N
N
Angel Oak Mortgage Trust
N/A
Angel Oak Mortgage Trust, Series 2020-1, Class M1
03464RAD5
897000.00000000
PA
USD
844219.98000000
0.092617786149
Long
ABS-MBS
CORP
US
Y
3
2059-12-25
Variable
3.16100200
N
N
N
N
N
N
General Dynamics Corp.
9C1X8XOOTYY2FNYTVH06
General Dynamics Corp.
369550108
2951.00000000
NS
USD
441056.46000000
0.048387474663
Long
EC
CORP
US
N
1
N
N
N
Auto Trader Group plc
213800QLK9BZILB1DI86
Auto Trader Group plc
N/A
3379.00000000
NS
21999.85000000
0.002413562164
Long
EC
CORP
GB
Y
2
N
N
N
Hongkong Land Holdings Ltd.
213800XCHYNRPAYGXW28
Hongkong Land Holdings Ltd.
N/A
3900.00000000
NS
USD
16222.15000000
0.001779701564
Long
EC
CORP
BM
N
2
N
N
N
HeidelbergCement AG
LZ2C6E0W5W7LQMX5ZI37
HeidelbergCement AG
N/A
514.00000000
NS
27515.32000000
0.003018654004
Long
EC
CORP
DE
N
2
N
N
N
Alfa Laval AB
549300UCKT2UK88AG251
Alfa Laval AB
N/A
1076.00000000
NS
23736.76000000
0.002604115294
Long
EC
CORP
SE
N
2
N
N
N
KBC Group NV
213800X3Q9LSAKRUWY91
KBC Group NV
N/A
8976.00000000
NS
515682.45000000
0.056574551665
Long
EC
CORP
BE
N
2
N
N
N
Orica Ltd.
N/A
Orica Ltd.
N/A
1385.00000000
NS
16017.00000000
0.001757194944
Long
EC
CORP
AU
N
2
N
N
N
Five9, Inc.
254900MXP6EWY0SFFR59
Five9, Inc.
338307AB7
153000.00000000
PA
USD
410977.47000000
0.045087565244
Long
DBT
CORP
US
N
2
2023-05-01
Fixed
0.12500000
N
N
N
N
Y
Five9, Inc.
Five9, Inc.
USD
XXXX
N
N
N
Tatneft PJSC
253400PAT768SVJMV121
Tatneft PJSC
876629205
696.00000000
NS
USD
32413.18000000
0.003555989013
Long
EC
CORP
RU
N
2
N
N
N
Icahn Enterprises LP
N/A
Icahn Enterprises LP
451102BQ9
75000.00000000
PA
USD
74250.00000000
0.008145827846
Long
DBT
CORP
US
N
2
2025-12-15
Fixed
6.37500000
N
N
N
N
N
N
Lonza Group AG
549300EFW4H2TCZ71055
Lonza Group AG (Registered)
N/A
1281.00000000
NS
678542.79000000
0.074441653249
Long
EC
CORP
CH
N
2
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
-3147.04000000
-0.00034525583
N/A
DFE
N/A
N
2
Royal Bank of Canada
ES7IP3U3RHIGC71XBU11
466820.67000000
AUD
34440208.00000000
JPY
2020-07-22
-3147.04000000
N
N
N
BOC Hong Kong Holdings Ltd.
N/A
BOC Hong Kong Holdings Ltd.
N/A
13000.00000000
NS
41624.63000000
0.004566559867
Long
EC
CORP
HK
N
2
N
N
N
Jardine Strategic Holdings Ltd.
213800BZ6VW56K2S6677
Jardine Strategic Holdings Ltd.
N/A
800.00000000
NS
USD
17256.88000000
0.001893219847
Long
EC
CORP
BM
N
2
N
N
N
Welcia Holdings Co. Ltd.
N/A
Welcia Holdings Co. Ltd.
N/A
200.00000000
NS
16157.43000000
0.001772601255
Long
EC
CORP
JP
N
2
N
N
N
Amazon.com, Inc.
ZXTILKJKG63JELOEG630
Amazon.com, Inc.
023135106
4518.00000000
NS
USD
12464348.76000000
1.367440258819
Long
EC
CORP
US
N
1
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
368.19000000
0.000040393432
N/A
DFE
N/A
N
2
State Street Bank and Trust
571474TGEMMWANRLN572
252157.00000000
SEK
27438.37000000
USD
2020-07-29
368.19000000
N
N
N
SMC Corp.
N/A
SMC Corp.
N/A
1800.00000000
NS
925057.88000000
0.101486360114
Long
EC
CORP
JP
N
2
N
N
N
MFA LLC
N/A
MFA LLC, Series 2018-NPL1, Class A1
552762AA4
241178.45000000
PA
USD
239478.72000000
0.026272759946
Long
ABS-O
CORP
US
Y
3
2048-05-25
Variable
3.87500000
N
N
N
N
N
N
Seasoned Credit Risk Transfer Trust
N/A
Seasoned Credit Risk Transfer Trust, Series 2019-4, Class M55D
35563PMT3
5831.67000000
PA
USD
6490.73000000
0.000712085780
Long
ABS-MBS
USGSE
US
N
2
2059-02-25
Fixed
4.00000000
N
N
N
N
N
N
Kobe Bussan Co. Ltd.
353800CJIFNHN2DXRD59
Kobe Bussan Co. Ltd.
N/A
200.00000000
NS
11357.11000000
0.001245967177
Long
EC
CORP
JP
N
2
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
-7972.27000000
-0.00087462274
N/A
DFE
N/A
N
2
State Street Bank and Trust
571474TGEMMWANRLN572
189301.67000000
EUR
204840.50000000
USD
2020-07-29
-7972.27000000
N
N
N
Daimler AG
529900R27DL06UVNT076
Daimler AG (Registered)
N/A
2929.00000000
NS
119163.07000000
0.013073156281
Long
EC
CORP
DE
N
2
N
N
N
Casey's General Stores, Inc.
549300CAFWSI86V66Q65
Casey's General Stores, Inc.
147528103
1420.00000000
NS
USD
212318.40000000
0.023293052323
Long
EC
CORP
US
N
1
N
N
N
CK Hutchison Holdings Ltd.
254900Z8HM1VEPOQ2G79
CK Hutchison Holdings Ltd.
N/A
8000.00000000
NS
51804.70000000
0.005683396199
Long
EC
CORP
KY
N
2
N
N
N
CSC Holdings LLC
3HG2WD2W22M120IUNG49
CSC Holdings LLC
64072TAA3
200000.00000000
PA
USD
215000.00000000
0.023587245616
Long
DBT
CORP
US
Y
2
2025-10-15
Fixed
10.87500000
N
N
N
N
N
N
Avis Budget Car Rental LLC
N/A
Avis Budget Car Rental LLC
053773BC0
46000.00000000
PA
USD
35213.46000000
0.003863202465
Long
DBT
CORP
US
Y
2
2027-07-15
Fixed
5.75000000
N
N
N
N
N
N
GNMA
549300M8ZYFG0OCMTT87
GNMA I, 30 Year
36224BG86
0.63000000
PA
USD
0.64000000
0.000000070213
Long
ABS-MBS
USGA
US
N
2
2022-06-15
Fixed
8.50000000
N
N
N
N
N
N
ICADE
969500UDH342QLTE1M42
ICADE
N/A
62.00000000
NS
4329.34000000
0.000474963748
Long
EC
CORP
FR
N
2
N
N
N
Norfolk Southern Corp.
54930036C8MWP850MI84
Norfolk Southern Corp.
655844108
15834.00000000
NS
USD
2779975.38000000
0.304985870207
Long
EC
CORP
US
N
1
N
N
N
Maxim Integrated Products, Inc.
SO0H5YEO14Y4PVKQH532
Maxim Integrated Products, Inc.
57772K101
7960.00000000
NS
USD
482455.60000000
0.052929296446
Long
EC
CORP
US
N
1
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
1856.09000000
0.000203628142
N/A
DFE
N/A
N
2
Credit Suisse International
E58DKGMJYYYJLN8C3868
3329836.61000000
SEK
359294.20000000
USD
2020-07-22
1856.09000000
N
N
N
Credit Agricole SA
969500TJ5KRTCJQWXH05
Credit Agricole SA
N/A
3947.00000000
NS
37479.49000000
0.004111804354
Long
EC
CORP
FR
N
2
N
N
N
Icahn Enterprises LP
N/A
Icahn Enterprises LP
451102BT3
44000.00000000
PA
USD
44060.72000000
0.004833818719
Long
DBT
CORP
US
N
2
2026-05-15
Fixed
6.25000000
N
N
N
N
N
N
Accor SA
969500QZC2Q0TK11NV07
Accor SA
N/A
12894.00000000
NS
351898.26000000
0.038606096234
Long
EC
CORP
FR
N
2
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, REMIC, Series 2009-86, Class OT
31398FRT0
0.58000000
PA
USD
0.54000000
0.000000059242
Long
ABS-MBS
USGSE
US
N
2
2037-10-25
None
0.00000000
N
N
N
N
N
N
Hess Midstream Operations LP
N/A
Hess Midstream Operations LP
428102AC1
95000.00000000
PA
USD
94001.55000000
0.010312733247
Long
DBT
CORP
US
Y
2
2026-02-15
Fixed
5.62500000
N
N
N
N
N
N
RAMP Trust
N/A
RAMP Trust, Series 2006-RZ3, Class M1
75156MAD7
1000000.00000000
PA
USD
946279.60000000
0.103814555100
Long
ABS-O
CORP
US
N
3
2036-08-25
Floating
0.53449900
N
N
N
N
N
N
Minor International PCL
254900T4WB2UF9XPX041
Minor International PCL
N/A
53000.00000000
NS
35027.13000000
0.003842760551
Long
EC
CORP
TH
N
1
N
N
N
Segro plc
213800XC35KGM9NFC641
Segro plc
N/A
4035.00000000
NS
44627.02000000
0.004895946427
Long
EC
CORP
GB
N
2
N
N
N
Citifinancial Mortgage Securities, Inc.
5493007N2TLN2B1X7258
Citifinancial Mortgage Securities, Inc., Series 2004-1, Class AF4
17306UCD8
969525.09000000
PA
USD
1007267.93000000
0.110505470074
Long
ABS-O
CORP
US
N
3
2034-04-25
Variable
5.06999900
N
N
N
N
N
N
Wyndham Destinations, Inc.
T4VNTWMFQ7JQB65L7T35
Wyndham Destinations, Inc.
98310WAP3
34000.00000000
PA
USD
32810.00000000
0.003599523389
Long
DBT
CORP
US
N
2
2024-04-01
Fixed
5.40000000
N
N
N
N
N
N
Yamato Holdings Co. Ltd.
N/A
Yamato Holdings Co. Ltd.
N/A
1000.00000000
NS
21707.41000000
0.002381479122
Long
EC
CORP
JP
N
2
N
N
N
Ping An Insurance Group Co. of China Ltd.
529900M9MC28JLN35U89
Ping An Insurance Group Co. of China Ltd., Class H
N/A
241000.00000000
NS
2402527.03000000
0.263576721654
Long
EC
CORP
CN
N
2
N
N
N
Archrock Partners LP
N/A
Archrock Partners LP
03959KAA8
9000.00000000
PA
USD
8478.00000000
0.000930105434
Long
DBT
CORP
US
Y
2
2027-04-01
Fixed
6.87500000
N
N
N
N
N
N
Industrivarden AB
549300TM1DLIQI3B3T37
Industrivarden AB, Class C
N/A
540.00000000
NS
12308.77000000
0.001350372005
Long
EC
CORP
SE
N
2
N
N
N
Experian plc
635400RXXHHYT1JTSZ26
Experian plc
N/A
3106.00000000
NS
109017.05000000
0.011960055510
Long
EC
CORP
JE
N
2
N
N
N
Equinor ASA
OW6OFBNCKXC4US5C7523
Equinor ASA
N/A
3426.00000000
NS
49353.83000000
0.005414515861
Long
EC
CORP
NO
N
2
N
N
N
New Century Home Equity Loan Trust
N/A
New Century Home Equity Loan Trust, Series 2005-1, Class M1
64352VKA8
166299.14000000
PA
USD
162103.96000000
0.017784120557
Long
ABS-O
CORP
US
N
3
2035-03-25
Floating
0.85950000
N
N
N
N
N
N
Orpea
969500LHIH3NT7PK1V89
Orpea
N/A
241600.05610000
PA
383836.68000000
0.042110000221
Long
DBT
CORP
FR
Y
2
2027-05-17
Fixed
0.37500000
N
N
N
N
N
Orpea
Orpea
EUR
XXXX
N
N
N
Antero Midstream Partners LP
N/A
Antero Midstream Partners LP
03690AAC0
240000.00000000
PA
USD
204477.60000000
0.022432852903
Long
DBT
CORP
US
N
2
2024-09-15
Fixed
5.37500000
N
N
N
N
N
N
Atacadao SA
549300SMI26ISJIRM371
Atacadao SA
N/A
9578.00000000
NS
35243.15000000
0.003866459699
Long
EC
CORP
BR
N
1
N
N
N
Exeter Automobile Receivables Trust
N/A
Exeter Automobile Receivables Trust, Series 2018-1A, Class D
301656AG9
635000.00000000
PA
USD
641282.88000000
0.070353938604
Long
ABS-O
CORP
US
Y
2
2023-11-15
Fixed
3.53000000
N
N
N
N
N
N
Wells Fargo Home Equity Asset-Backed Securities Trust
N/A
Wells Fargo Home Equity Asset-Backed Securities Trust, Series 2004-2, Class M8A
94980GAV3
194340.00000000
PA
USD
169789.79000000
0.018627318510
Long
ABS-O
CORP
US
Y
3
2034-10-25
Floating
4.68450000
N
N
N
N
N
N
Alcoa Nederland Holding BV
5493000UL1QLQLT1VQ42
Alcoa Nederland Holding BV
013822AA9
200000.00000000
PA
USD
204250.00000000
0.022407883335
Long
DBT
CORP
NL
Y
2
2024-09-30
Fixed
6.75000000
N
N
N
N
N
N
Embarq Corp.
N/A
Embarq Corp.
29078EAA3
147000.00000000
PA
USD
165081.00000000
0.018110726016
Long
DBT
CORP
US
N
2
2036-06-01
Fixed
7.99500000
N
N
N
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
329.92000000
0.000036194902
N/A
DFE
N/A
N
2
Merrill Lynch International
AHYI0DDQ2LCHPGHJC422
60391.90000000
USD
54013.40000000
EUR
2020-07-29
329.92000000
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
42399.16000000
0.004651532096
N/A
DFE
N/A
N
2
BNP Paribas
R0MUWSFPU8MPRO8K5P83
49250485.21000000
MXN
2179157.51000000
USD
2020-07-22
42399.16000000
N
N
N
Jonjee Hi-Tech Industrial And Commercial Holding Co. Ltd.
3003004VPK0KK2I9LF35
Jonjee Hi-Tech Industrial And Commercial Holding Co. Ltd., Class A
N/A
5100.00000000
NS
42310.13000000
0.004641764783
Long
EC
CORP
CN
N
2
N
N
N
JBS USA LUX SA
N/A
JBS USA LUX SA
466112AR0
120000.00000000
PA
USD
121050.00000000
0.013280167822
Long
DBT
CORP
US
Y
2
2025-06-15
Fixed
5.75000000
N
N
N
N
N
N
MGM Growth Properties Operating Partnership LP
N/A
MGM Growth Properties Operating Partnership LP
55303XAF2
15000.00000000
PA
USD
14606.70000000
0.001602473583
Long
DBT
CORP
US
N
2
2028-01-15
Fixed
4.50000000
N
N
N
N
N
N
Sunoco LP
N/A
Sunoco LP
86765LAN7
10000.00000000
PA
USD
9926.60000000
0.001089028615
Long
DBT
CORP
US
N
2
2028-03-15
Fixed
5.87500000
N
N
N
N
N
N
Philip Morris International, Inc.
HL3H1H2BGXWVG3BSWR90
Philip Morris International, Inc.
718172109
5240.00000000
NS
USD
367114.40000000
0.040275430334
Long
EC
CORP
US
N
1
N
N
N
Medtronic plc
549300GX3ZBSQWUXY261
Medtronic plc
N/A
7155.00000000
NS
USD
656113.50000000
0.071980978030
Long
EC
CORP
IE
N
1
N
N
N
Wyndham Destinations, Inc.
T4VNTWMFQ7JQB65L7T35
Wyndham Destinations, Inc.
98310WAM0
36000.00000000
PA
USD
36371.88000000
0.003990290544
Long
DBT
CORP
US
N
2
2025-10-01
Fixed
6.35000000
N
N
N
N
N
N
PBF Energy, Inc.
2549003PBEDCSZMZIY02
PBF Energy, Inc., Class A
69318G106
3737.00000000
NS
USD
38266.88000000
0.004198187430
Long
EC
CORP
US
N
1
N
N
N
United Rentals North America, Inc.
NGIZXNT70J2LYT3FBI09
United Rentals North America, Inc.
911365BG8
85000.00000000
PA
USD
87125.00000000
0.009558319880
Long
DBT
CORP
US
N
2
2028-01-15
Fixed
4.87500000
N
N
N
N
N
N
Crown Americas LLC
N/A
Crown Americas LLC
228187AB6
35000.00000000
PA
USD
35666.05000000
0.003912855262
Long
DBT
CORP
US
N
2
2026-02-01
Fixed
4.75000000
N
N
N
N
N
N
Taiheiyo Cement Corp.
N/A
Taiheiyo Cement Corp.
N/A
400.00000000
NS
9293.66000000
0.001019589958
Long
EC
CORP
JP
N
2
N
N
N
T&D Holdings, Inc.
3538008ARJ1MACEWA242
T&D Holdings, Inc.
N/A
1800.00000000
NS
15460.58000000
0.001696151152
Long
EC
CORP
JP
N
2
N
N
N
Conn's Receivables Funding LLC
N/A
Conn's Receivables Funding LLC, Series 2018-A, Class C
20826JAC2
117741.11000000
PA
USD
115644.06000000
0.012687092312
Long
ABS-O
CORP
US
Y
3
2023-01-15
Fixed
6.02000000
N
N
N
N
N
N
Cincinnati Bell, Inc.
549300JYVZOCUJOHL272
Cincinnati Bell, Inc.
14987RAA6
89000.00000000
PA
USD
92893.75000000
0.010191198592
Long
DBT
CORP
US
Y
2
2025-10-15
Fixed
8.00000000
N
N
N
N
N
N
Cadence Design Systems, Inc.
GCT7RXJOGLXPV0NXZY22
Cadence Design Systems, Inc.
127387108
4866.00000000
NS
USD
466941.36000000
0.051227258356
Long
EC
CORP
US
N
1
N
N
N
Dai-ichi Life Holdings, Inc.
549300ZUFXI7JXZVTZ25
Dai-ichi Life Holdings, Inc.
N/A
3600.00000000
NS
43092.00000000
0.004727542270
Long
EC
CORP
JP
N
2
N
N
N
CVC Brasil Operadora e Agencia de Viagens SA
N/A
CVC Brasil Operadora e Agencia de Viagens SA
N/A
2707.00000000
NS
9059.67000000
0.000993919355
Long
EC
CORP
BR
N
1
N
N
N
Advantest Corp.
353800EMK32PDKS9XR54
Advantest Corp.
N/A
700.00000000
NS
39949.34000000
0.004382766952
Long
EC
CORP
JP
N
2
N
N
N
Adient Global Holdings Ltd.
213800VA38VCKE6M8790
Adient Global Holdings Ltd.
00687YAA3
200000.00000000
PA
USD
165000.00000000
0.018101839658
Long
DBT
CORP
JE
Y
2
2026-08-15
Fixed
4.87500000
N
N
N
N
N
N
Hulic Co. Ltd.
N/A
Hulic Co. Ltd.
N/A
1000.00000000
NS
9441.02000000
0.001035756547
Long
EC
CORP
JP
N
2
N
N
N
EnLink Midstream Partners LP
88CPW63VL7KHJWS0NY83
EnLink Midstream Partners LP
29336UAE7
165000.00000000
PA
USD
127050.00000000
0.013938416537
Long
DBT
CORP
US
N
2
2025-06-01
Fixed
4.15000000
N
N
N
N
N
N
JCDecaux SA
9695009KV7AFPDEI5S30
JCDecaux SA
N/A
305.00000000
NS
5697.50000000
0.000625062008
Long
EC
CORP
FR
N
2
N
N
N
Largan Precision Co. Ltd.
N/A
Largan Precision Co. Ltd.
N/A
4000.00000000
NS
556160.06000000
0.061015274125
Long
EC
CORP
TW
N
2
N
N
N
Mitsubishi Heavy Industries Ltd.
353800TJ98PCAZROVE69
Mitsubishi Heavy Industries Ltd.
N/A
1100.00000000
NS
25971.11000000
0.002849241630
Long
EC
CORP
JP
N
2
N
N
N
Kasikornbank PCL
5493004COSQ54937AW41
Kasikornbank PCL
N/A
16600.00000000
NS
50181.34000000
0.005505300427
Long
EC
CORP
TH
N
2
N
N
N
DISH DBS Corp.
N/A
DISH DBS Corp.
25470XAY1
185000.00000000
PA
USD
196120.35000000
0.021515994724
Long
DBT
CORP
US
N
2
2026-07-01
Fixed
7.75000000
N
N
N
N
N
N
WaMu Mortgage Pass-Through Certificates Trust
N/A
WaMu Mortgage Pass-Through Certificates Trust, Series 2005-AR3, Class A1
939336Z30
203644.40000000
PA
USD
195957.74000000
0.021498155087
Long
ABS-MBS
CORP
US
N
2
2035-03-25
Variable
3.61802200
N
N
N
N
N
N
AIA Group Ltd.
ZP5ILWVSYE4LJGMMVD57
AIA Group Ltd.
N/A
42000.00000000
NS
394315.94000000
0.043259660126
Long
EC
CORP
HK
N
2
N
N
N
Northern Star Resources Ltd.
254900XFXCRYYZAX6M78
Northern Star Resources Ltd.
N/A
2531.00000000
NS
23869.90000000
0.002618721833
Long
EC
CORP
AU
N
2
N
N
N
WEX, Inc.
T9M5IGROL1TL1G5OV478
WEX, Inc.
96208T104
2720.00000000
NS
USD
448827.20000000
0.049239987932
Long
EC
CORP
US
N
1
N
N
N
Mitsubishi Electric Corp.
549300TRXM9Y6561AX39
Mitsubishi Electric Corp.
N/A
6300.00000000
NS
82286.00000000
0.009027442291
Long
EC
CORP
JP
N
2
N
N
N
Intelsat Jackson Holdings SA
8XJ8KF85PBKK1TLMFN29
Intelsat Jackson Holdings SA
45824TAP0
565000.00000000
PA
USD
321880.50000000
0.035312904244
Long
DBT
CORP
LU
N
2
2023-08-01
Fixed
5.50000000
N
N
N
N
N
N
Marui Group Co. Ltd.
52990081ZYFHQZEEMU57
Marui Group Co. Ltd.
N/A
600.00000000
NS
10853.59000000
0.001190726944
Long
EC
CORP
JP
N
2
N
N
N
Nordson Corp.
14OS6Q5N55N95WM84M53
Nordson Corp.
655663102
4599.00000000
NS
USD
872476.29000000
0.095717732774
Long
EC
CORP
US
N
1
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
-7553.28000000
-0.00082865614
N/A
DFE
N/A
N
2
Goldman Sachs International
W22LROWP2IHZNBB6K528
329514.54000000
USD
22976488.54000000
RUB
2020-07-22
-7553.28000000
N
N
N
American Airlines Pass-Through Trust
N/A
American Airlines Pass-Through Trust, Series 2017-1, Class AA
023761AA7
42624.99000000
PA
USD
40814.61000000
0.004477694096
Long
ABS-O
CORP
US
N
2
2029-02-15
Fixed
3.65000000
N
N
N
N
N
N
Secom Co. Ltd.
529900TYCL9N3E9PGE47
Secom Co. Ltd.
N/A
700.00000000
NS
61419.89000000
0.006738260609
Long
EC
CORP
JP
N
2
N
N
N
Bupa Arabia for Cooperative Insurance Co.
558600B2WJHD5P31XS68
Bupa Arabia for Cooperative Insurance Co.
N/A
996.00000000
NS
29009.25000000
0.003182550255
Long
EC
CORP
SA
N
2
N
N
N
Orpea
969500LHIH3NT7PK1V89
Orpea
N/A
176.00000000
NS
20328.60000000
0.002230212470
Long
EC
CORP
FR
N
2
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
-130.86000000
-0.00001435640
N/A
DFE
N/A
N
2
BNP Paribas
R0MUWSFPU8MPRO8K5P83
138793.85000000
DKK
20807.43000000
USD
2020-07-29
-130.86000000
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
8236.45000000
0.000903605437
N/A
DFE
N/A
N
2
Goldman Sachs
FOR8UP27PHTHYVLBNG30
1104989.26000000
USD
55426261.45000000
PHP
2020-07-22
8236.45000000
N
N
N
Bayerische Motoren Werke AG
YEH5ZCD6E441RHVHD759
Bayerische Motoren Werke AG (Preference)
N/A
195.00000000
NS
9472.53000000
0.001039213449
Long
EC
CORP
DE
N
2
N
N
N
AusNet Services
529900PPFC4A1KRQ2S64
AusNet Services
N/A
6767.00000000
NS
7818.43000000
0.000857745249
Long
EC
CORP
AU
N
2
N
N
N
Wendy's Co. (The)
529900M0JIUCMWVKHG76
Wendy's Co. (The)
95058W100
11300.00000000
NS
USD
246114.00000000
0.027000704035
Long
EC
CORP
US
N
1
N
N
N
Pigeon Corp.
N/A
Pigeon Corp.
N/A
400.00000000
NS
15482.04000000
0.001698505488
Long
EC
CORP
JP
N
2
N
N
N
Bank Leumi Le-Israel BM
7JDSZWRGUQY2DSTWCR57
Bank Leumi Le-Israel BM
N/A
5017.00000000
NS
25225.05000000
0.002767392790
Long
EC
CORP
IL
N
2
N
N
N
Samsung SDI Co. Ltd.
9884002AESDO4YW87G32
Samsung SDI Co. Ltd.
N/A
211.00000000
NS
64515.70000000
0.007077896102
Long
EC
CORP
KR
N
2
N
N
N
International Game Technology plc
549300UQ6KHRCZDRGZ76
International Game Technology plc
460599AC7
200000.00000000
PA
USD
204502.00000000
0.022435529781
Long
DBT
CORP
GB
Y
2
2025-02-15
Fixed
6.50000000
N
N
N
N
N
N
Keurig Dr Pepper, Inc.
DYTQ8KRTKO7Y2BVU5K74
Keurig Dr Pepper, Inc.
49271V100
12791.00000000
NS
USD
363264.40000000
0.039853054076
Long
EC
CORP
US
N
1
N
N
N
Commonwealth Bank of Australia
MSFSBD3QN1GSN7Q6C537
Commonwealth Bank of Australia
N/A
19266.00000000
NS
930438.96000000
0.102076708280
Long
EC
CORP
AU
N
2
N
N
N
Sirius XM Radio, Inc.
WP5O65E6BMU84LNO4227
Sirius XM Radio, Inc.
82967NBE7
15000.00000000
PA
USD
15398.70000000
0.001689362414
Long
DBT
CORP
US
Y
2
2024-07-15
Fixed
4.62500000
N
N
N
N
N
N
Structured Asset Securities Corp. Trust
N/A
Structured Asset Securities Corp. Trust, Series 2005-SC1, Class 1A1
86359DTE7
99754.84000000
PA
USD
71173.19000000
0.007808276808
Long
ABS-O
CORP
US
Y
3
2031-05-25
Floating
0.45450000
N
N
N
N
N
N
Noble Energy, Inc.
02VFQXG2D1LR5ZH3K186
Noble Energy, Inc.
655044AN5
100000.00000000
PA
USD
89010.50000000
0.009765174539
Long
DBT
CORP
US
N
2
2047-08-15
Fixed
4.95000000
N
N
N
N
N
N
ABFC Trust
N/A
ABFC Trust, Series 2003-OPT1, Class M1
04542BDH2
617186.96000000
PA
USD
606795.14000000
0.066570353515
Long
ABS-O
CORP
US
N
3
2033-02-25
Floating
1.21950000
N
N
N
N
N
N
Tata Consultancy Services Ltd.
335800ZJKU9GPQRE2U66
Tata Consultancy Services Ltd.
N/A
49561.00000000
NS
1364291.75000000
0.149673881856
Long
EC
CORP
IN
N
2
N
N
N
Yaskawa Electric Corp.
3538003K39GR98R0CK58
Yaskawa Electric Corp.
N/A
800.00000000
NS
27810.45000000
0.003051032162
Long
EC
CORP
JP
N
2
N
N
N
Wendel SE
969500M98ZMIZYJD5O34
Wendel SE
N/A
98.00000000
NS
9352.88000000
0.001026086873
Long
EC
CORP
FR
N
2
N
N
N
Impac CMB Trust
N/A
Impac CMB Trust, Series 2007-A, Class M3
452550AD8
534512.03000000
PA
USD
502380.48000000
0.055115217555
Long
ABS-MBS
CORP
US
Y
3
2037-05-25
Floating
2.43450000
N
N
N
N
N
N
Hargreaves Lansdown plc
2138008ZCE93ZDSESG90
Hargreaves Lansdown plc
N/A
1135.00000000
NS
22888.53000000
0.002511057576
Long
EC
CORP
GB
N
2
N
N
N
NCSoft Corp.
N/A
NCSoft Corp.
N/A
193.00000000
NS
143577.96000000
0.015751667942
Long
EC
CORP
KR
N
2
N
N
N
Rite Aid Corp.
529900W353T1JY1DKT44
Rite Aid Corp.
767754CH5
293000.00000000
PA
USD
284942.50000000
0.031260505739
Long
DBT
CORP
US
Y
2
2023-04-01
Fixed
6.12500000
N
N
N
N
N
N
Turkcell Iletisim Hizmetleri A/S
7890003EX1LTLS2FFL84
Turkcell Iletisim Hizmetleri A/S
N/A
21923.00000000
NS
52266.88000000
0.005734101098
Long
EC
CORP
TR
N
2
N
N
N
Recruit Holdings Co. Ltd.
353800R2LRSMVVC4I806
Recruit Holdings Co. Ltd.
N/A
23500.00000000
NS
808169.72000000
0.088662779930
Long
EC
CORP
JP
N
2
N
N
N
Packaging Corp. of America
549300XZP8MFZFY8TJ84
Packaging Corp. of America
695156109
6320.00000000
NS
USD
630736.00000000
0.069196860236
Long
EC
CORP
US
N
1
N
N
N
Mattel, Inc.
549300VELLG24KHTJ564
Mattel, Inc.
577081BB7
540000.00000000
PA
USD
560250.00000000
0.061463973750
Long
DBT
CORP
US
Y
2
2025-12-31
Fixed
6.75000000
N
N
N
N
N
N
United States of America
254900HROIFWPRGM1V77
U.S. Treasury Notes
9128284Z0
1000000.00000000
PA
USD
1124765.62000000
0.123395920648
Long
DBT
UST
US
N
2
2025-08-31
Fixed
2.75000000
N
N
N
N
N
N
PayPal Holdings, Inc.
5493005X2GO78EFZ3E94
PayPal Holdings, Inc.
70450Y103
15057.00000000
NS
USD
2623381.11000000
0.287806207377
Long
EC
CORP
US
N
1
N
N
N
Novartis AG
5493007HIVTX6SY6XD66
Novartis AG (Registered)
N/A
23493.00000000
NS
2046735.23000000
0.224543472469
Long
EC
CORP
CH
N
2
N
N
N
Inventec Corp.
391200XSJU5WEVAXB086
Inventec Corp.
N/A
30000.00000000
NS
25611.49000000
0.002809788396
Long
EC
CORP
TW
N
2
N
N
N
Energizer Holdings, Inc.
5493000D6NN0V57UME20
Energizer Holdings, Inc.
29272WAB5
555000.00000000
PA
USD
591779.85000000
0.064923054291
Long
DBT
CORP
US
Y
2
2027-01-15
Fixed
7.75000000
N
N
N
N
N
N
Paylocity Holding Corp.
549300VH75FTB4DIEE07
Paylocity Holding Corp.
70438V106
542.00000000
NS
USD
79072.38000000
0.008674882086
Long
EC
CORP
US
N
1
N
N
N
Merrill Lynch Mortgage Investors Trust
N/A
Merrill Lynch Mortgage Investors Trust, Series 2005-A5, Class A9
59020UYU3
78448.35000000
PA
USD
76462.85000000
0.008388595457
Long
ABS-MBS
CORP
US
N
2
2035-06-25
Variable
3.50994600
N
N
N
N
N
N
Daikin Industries Ltd.
549300Y7FWSTSHMW5Y57
Daikin Industries Ltd.
N/A
6100.00000000
NS
986980.11000000
0.108279731501
Long
EC
CORP
JP
N
2
N
N
N
Singapore Airlines Ltd.
549300ZG62N2599PWR15
Singapore Airlines Ltd.
N/A
4750.00000000
NS
12821.31000000
0.001406601805
Long
EC
CORP
SG
N
2
N
N
N
Old Dominion Freight Line, Inc.
5299009TWK32WE417T96
Old Dominion Freight Line, Inc.
679580100
3664.00000000
NS
USD
621377.76000000
0.068170185327
Long
EC
CORP
US
N
1
N
N
N
Longfor Group Holdings Ltd.
254900UJX27B2F1JYR13
Longfor Group Holdings Ltd.
N/A
20000.00000000
NS
95736.75000000
0.010503098775
Long
EC
CORP
KY
N
2
N
N
N
HCA, Inc.
L3CJ6J7LJ2DX62FTXD46
HCA, Inc.
404119BW8
700000.00000000
PA
USD
792113.00000000
0.086901227379
Long
DBT
CORP
US
N
2
2029-02-01
Fixed
5.87500000
N
N
N
N
N
N
Pepperdine University
549300G0RVHY0VSFWD76
Pepperdine University, Series 2020
71338QAC0
32000.00000000
PA
USD
32846.60000000
0.003603538706
Long
DBT
CORP
US
N
2
2059-12-01
Fixed
3.30100000
N
N
N
N
N
N
Daiwa House REIT Investment Corp.
3538001FWU534P8JMO05
Daiwa House REIT Investment Corp.
N/A
6.00000000
NS
14115.62000000
0.001548598120
Long
EC
CORP
JP
N
2
N
N
N
Rayonier, Inc.
HGV8VDVNL0W6SF2U9C50
Rayonier, Inc.
754907103
20681.00000000
NS
USD
512681.99000000
0.056245376842
Long
EC
CORP
US
N
1
N
N
N
EMS-Chemie Holding AG
529900G1XFTGSE0DIX60
EMS-Chemie Holding AG (Registered)
N/A
29.00000000
NS
22530.20000000
0.002471745865
Long
EC
CORP
CH
N
2
N
N
N
Metso OYJ
2138007FRMWVPUDCMA45
Metso OYJ
N/A
322.00000000
NS
10582.07000000
0.001160938996
Long
EC
CORP
FI
N
2
N
N
N
Resona Holdings, Inc.
52990067JE75XZCYYT81
Resona Holdings, Inc.
N/A
7600.00000000
NS
26006.39000000
0.002853112132
Long
EC
CORP
JP
N
2
N
N
N
JPMorgan Prime Money Market Fund
549300YD7H8SEEU7VG41
JPMorgan Prime Money Market Fund, Class Institutional
4812A2603
626905.62550000
NS
USD
627469.84000000
0.068838535966
Long
STIV
RF
US
N
1
N
N
N
Cheniere Energy Partners LP
5493005UEC8AZ34LDV29
Cheniere Energy Partners LP
16411QAB7
90000.00000000
PA
USD
89703.00000000
0.009841147411
Long
DBT
CORP
US
N
2
2025-10-01
Fixed
5.25000000
N
N
N
N
N
N
Fortescue Metals Group Ltd.
529900VEJFORCO6I4826
Fortescue Metals Group Ltd.
N/A
5793.00000000
NS
56317.67000000
0.006178505650
Long
EC
CORP
AU
N
2
N
N
N
EP Energy LLC
N/A
EP Energy LLC
268787AH1
30000.00000000
PA
USD
0.30000000
0.000000032912
Long
DBT
CORP
US
Y
2
2024-05-01
Fixed
9.37500000
Y
N
N
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
-222.03000000
-0.00002435849
N/A
DFE
N/A
N
2
State Street Bank and Trust
571474TGEMMWANRLN572
37827.40000000
GBP
46658.70000000
USD
2020-07-29
-222.03000000
N
N
N
Eni SpA
BUCRF72VH5RBN7X3VL35
Eni SpA
N/A
8699.00000000
NS
83388.75000000
0.009148422920
Long
EC
CORP
IT
N
2
N
N
N
Toyota Motor Corp.
5493006W3QUS5LMH6R84
Toyota Motor Corp.
N/A
21300.00000000
NS
1339431.09000000
0.146946465607
Long
EC
CORP
JP
N
2
N
N
N
Springleaf Finance Corp.
5493008I795YYBFWFU90
Springleaf Finance Corp.
85172FAP4
75000.00000000
PA
USD
76218.75000000
0.008361815706
Long
DBT
CORP
US
N
2
2024-03-15
Fixed
6.12500000
N
N
N
N
N
N
Nationstar Mortgage Holdings, Inc.
N/A
Nationstar Mortgage Holdings, Inc.
93369KAA3
111000.00000000
PA
USD
113908.20000000
0.012496654377
Long
DBT
CORP
US
Y
2
2023-07-15
Fixed
8.12500000
N
N
N
N
N
N
Coca-Cola Amatil Ltd.
JOR7RJTXUXBRJ4UA5G70
Coca-Cola Amatil Ltd.
N/A
1733.00000000
NS
10438.67000000
0.001145206852
Long
EC
CORP
AU
N
2
N
N
N
Makita Corp.
529900CDR9E94BCM6294
Makita Corp.
N/A
16000.00000000
NS
581831.30000000
0.063831617582
Long
EC
CORP
JP
N
2
N
N
N
Howmet Aerospace, Inc.
549300HO5WFZUT5N2T22
Howmet Aerospace, Inc.
013817AW1
229000.00000000
PA
USD
236759.39000000
0.025974427366
Long
DBT
CORP
US
N
2
2024-10-01
Fixed
5.12500000
N
N
N
N
N
N
Outfront Media, Inc.
549300RZWDYU5722I639
Outfront Media, Inc.
69007J106
25349.00000000
NS
USD
359195.33000000
0.039406644059
Long
EC
CORP
US
N
1
N
N
N
Comstock Resources, Inc.
I03QQGEA4SS774AURI46
Comstock Resources, Inc.
205677AB3
30000.00000000
PA
USD
28061.40000000
0.003078563414
Long
DBT
CORP
US
N
2
2026-08-15
Fixed
9.75000000
N
N
N
N
N
N
Microchip Technology, Inc.
5493007PTFULNYZJ1R12
Microchip Technology, Inc.
595017AF1
1014000.00000000
PA
USD
1495697.67000000
0.164090178184
Long
DBT
CORP
US
N
2
2027-02-15
Fixed
1.62500000
N
N
N
N
Y
Microchip Technology, Inc.
Microchip Technology, Inc.
USD
XXXX
N
N
N
CCO Holdings LLC
N/A
CCO Holdings LLC
1248EPBR3
525000.00000000
PA
USD
544031.25000000
0.059684645193
Long
DBT
CORP
US
Y
2
2026-05-01
Fixed
5.50000000
N
N
N
N
N
N
Golden Nugget, Inc.
N/A
Golden Nugget, Inc., 1st Lien Term Loan B
51508PAG9
69960.52000000
PA
USD
55268.81000000
0.006063437192
Long
LON
CORP
US
N
2
2023-10-04
Variable
3.25000000
N
N
N
N
N
N
Formosa Petrochemical Corp.
529900UWWAOQ8470E792
Formosa Petrochemical Corp.
N/A
23000.00000000
NS
69613.85000000
0.007637204549
Long
EC
CORP
TW
N
2
N
N
N
CD Projekt SA
259400TYO5Q8SH8TL437
CD Projekt SA
N/A
828.00000000
NS
83440.46000000
0.009154095927
Long
EC
CORP
PL
N
2
N
N
N
Countrywide Asset-Backed Certificates
N/A
Countrywide Asset-Backed Certificates, Series 2003-BC6, Class M2
126671W93
13094.59000000
PA
USD
12958.33000000
0.001421634011
Long
ABS-O
CORP
US
N
3
2033-10-25
Floating
1.90950100
N
N
N
N
N
N
Triumph Group, Inc.
5493007L6S47Q14SL582
Triumph Group, Inc.
896818AP6
85000.00000000
PA
USD
63856.25000000
0.007005549083
Long
DBT
CORP
US
N
2
2025-08-15
Fixed
7.75000000
N
N
N
N
N
N
Bank Hapoalim BM
B6ARUI4946ST4S7WOU88
Bank Hapoalim BM
N/A
3883.00000000
NS
23213.20000000
0.002546676511
Long
EC
CORP
IL
N
2
N
N
N
Gulfport Energy Corp.
549300FJX18IDUFPHD40
Gulfport Energy Corp.
402635AH9
15000.00000000
PA
USD
7650.00000000
0.000839267111
Long
DBT
CORP
US
N
2
2024-10-15
Fixed
6.00000000
N
N
N
N
N
N
STERIS plc
N/A
STERIS plc
N/A
1770.00000000
NS
USD
271588.80000000
0.029795496428
Long
EC
CORP
IE
N
1
N
N
N
Just Eat Takeaway.com NV
724500FVZIBSSQ7SHI95
Just Eat Takeaway.com NV
N/A
394.00000000
NS
41182.87000000
0.004518095208
Long
EC
CORP
NL
Y
2
N
N
N
ITT, Inc.
549300KDSERHTJOXUS80
ITT, Inc.
45073V108
5182.00000000
NS
USD
304390.68000000
0.033394128987
Long
EC
CORP
US
N
1
N
N
N
BANK
N/A
BANK, Series 2019-BN21, Class XA
06540BBE8
5618033.51000000
PA
USD
345238.83000000
0.037875502694
Long
ABS-MBS
CORP
US
N
2
2052-10-17
Variable
0.99707000
N
N
N
N
N
N
McKesson Corp.
549300WZWOM80UCFSF54
McKesson Corp.
58155Q103
3032.00000000
NS
USD
465169.44000000
0.051032864345
Long
EC
CORP
US
N
1
N
N
N
GNMA
549300M8ZYFG0OCMTT87
GNMA, Series 2010-157, Class OP
38377NF41
1510.99000000
PA
USD
1443.78000000
0.000158394388
Long
ABS-MBS
USGA
US
N
2
2040-12-20
None
0.00000000
N
N
N
N
N
N
Altria Group, Inc.
XSGZFLO9YTNO9VCQV219
Altria Group, Inc.
02209S103
8429.00000000
NS
USD
330838.25000000
0.036295642148
Long
EC
CORP
US
N
1
N
N
N
National Retail Properties, Inc.
5493008JKH5SOTI0JS97
National Retail Properties, Inc.
637417106
11520.00000000
NS
USD
408729.60000000
0.044840955654
Long
EC
CORP
US
N
1
N
N
N
Wix.com Ltd.
5493008P6N29Q1AG9464
Wix.com Ltd.
N/A
173.00000000
NS
USD
44326.06000000
0.004862928671
Long
EC
CORP
IL
N
1
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
-381.15000000
-0.00004181524
N/A
DFE
N/A
N
2
BNP Paribas
R0MUWSFPU8MPRO8K5P83
126241.05000000
USD
13584900.00000000
JPY
2020-07-29
-381.15000000
N
N
N
Vinci SA
213800WFQ334R8UXUG83
Vinci SA
N/A
10079.00000000
NS
934558.25000000
0.102528627838
Long
EC
CORP
FR
N
2
N
N
N
Rio Tinto plc
213800YOEO5OQ72G2R82
Rio Tinto plc
N/A
48227.00000000
NS
2714049.27000000
0.297753240677
Long
EC
CORP
GB
N
2
N
N
N
Goodman Group
N/A
Goodman Group
N/A
5628.00000000
NS
58071.00000000
0.006370860186
Long
EC
CORP
AU
N
2
N
N
N
Koninklijke Vopak NV
724500UL634GFV1KYF10
Koninklijke Vopak NV
N/A
257.00000000
NS
13593.86000000
0.001491356812
Long
EC
CORP
NL
N
1
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
-2877.29000000
-0.00031566207
N/A
DFE
N/A
N
2
Citibank
MBNUM2BPBDO7JBLYG310
427730.34000000
USD
45861768.00000000
JPY
2020-07-22
-2877.29000000
N
N
N
EQT Corp.
4NT01YGM4X7ZX86ISY52
EQT Corp.
26884LAH2
130000.00000000
PA
USD
129547.60000000
0.014212423535
Long
DBT
CORP
US
N
2
2025-02-01
Fixed
6.12500000
N
N
N
N
N
N
Genesis Energy LP
N/A
Genesis Energy LP
37185LAL6
64000.00000000
PA
USD
56960.00000000
0.006248974466
Long
DBT
CORP
US
N
2
2028-02-01
Fixed
7.75000000
N
N
N
N
N
N
Siemens AG
W38RGI023J3WT1HWRP32
Siemens AG (Registered)
N/A
2617.00000000
NS
308641.71000000
0.033860501493
Long
EC
CORP
DE
N
2
N
N
N
Neiman Marcus Group Ltd. LLC
N/A
Neiman Marcus Group Ltd. LLC
64021VAE2
251116.00000000
PA
USD
70312.48000000
0.007713849933
Long
DBT
CORP
US
Y
2
2024-04-25
Fixed
14.00000000
Y
N
N
N
N
N
Kotak Mahindra Bank Ltd.
335800E6GTTXKHXE2I75
Kotak Mahindra Bank Ltd.
N/A
35800.00000000
NS
646190.61000000
0.070892356431
Long
EC
CORP
IN
N
2
N
N
N
Qorvo, Inc.
254900YAUJV2EUEVBR11
Qorvo, Inc.
74736KAF8
145000.00000000
PA
USD
150800.00000000
0.016543984366
Long
DBT
CORP
US
N
2
2026-07-15
Fixed
5.50000000
N
N
N
N
N
N
Baidu, Inc.
254900AL64IANZYI1E02
Baidu, Inc.
056752108
1103.00000000
NS
USD
132238.67000000
0.014507655763
Long
EC
CORP
KY
N
1
N
N
N
Merrill Lynch Mortgage Investors Trust
N/A
Merrill Lynch Mortgage Investors Trust, Series 2003-OPT1, Class M1
5899295K0
60940.72000000
PA
USD
58578.84000000
0.006426574358
Long
ABS-O
CORP
US
N
2
2034-07-25
Floating
1.15949900
N
N
N
N
N
N
Avolon Holdings Funding Ltd.
635400ZRKEX9L1BKCH30
Avolon Holdings Funding Ltd.
05401AAG6
85000.00000000
PA
USD
71470.83000000
0.007840930332
Long
DBT
CORP
KY
Y
2
2026-05-01
Fixed
4.37500000
N
N
N
N
N
N
Deutsche Alt-A Securities Mortgage Loan Trust
N/A
Deutsche Alt-A Securities Mortgage Loan Trust, Series 2006-AF1, Class A4
251510NC3
498289.02620000
PA
USD
464068.68000000
0.050912102036
Long
ABS-MBS
CORP
US
N
2
2036-04-25
Floating
0.48449900
N
N
N
N
N
N
CWABS, Inc. Asset-Backed Certificates Trust
N/A
CWABS, Inc. Asset-Backed Certificates Trust, Series 2004-6, Class M2
126673BD3
208872.68000000
PA
USD
201191.01000000
0.022072287295
Long
ABS-O
CORP
US
N
3
2034-10-25
Floating
1.15949900
N
N
N
N
N
N
Magnitogorsk Iron & Steel Works PJSC
253400XSJ4C01YMCXG44
Magnitogorsk Iron & Steel Works PJSC
559189204
4811.00000000
NS
USD
32328.49000000
0.003546697832
Long
EC
CORP
RU
Y
2
N
N
N
GNMA
549300M8ZYFG0OCMTT87
GNMA, Series 2006-69, Class MB
38375JCC7
1781.53000000
PA
USD
2051.55000000
0.000225071691
Long
ABS-MBS
USGA
US
N
2
2036-12-20
Fixed
5.50000000
N
N
N
N
N
N
Beijing Enterprises Holdings Ltd.
529900896ODARUEY2V26
Beijing Enterprises Holdings Ltd.
N/A
6000.00000000
NS
20148.43000000
0.002210446359
Long
EC
CORP
HK
N
2
N
N
N
CapitaLand Mall Trust
54930031292WUTXF0L29
CapitaLand Mall Trust
N/A
7700.00000000
NS
10925.77000000
0.001198645676
Long
EC
CORP
SG
N
2
N
N
N
Sabre GLBL, Inc.
F2TJC7HPPHLHU1AQMP98
Sabre GLBL, Inc.
78573NAC6
100000.00000000
PA
USD
105375.00000000
0.011560493054
Long
DBT
CORP
US
Y
2
2025-04-15
Fixed
9.25000000
N
N
N
N
N
N
Budweiser Brewing Co. APAC Ltd.
N/A
Budweiser Brewing Co. APAC Ltd.
N/A
224100.00000000
NS
656037.63000000
0.071972654475
Long
EC
CORP
KY
Y
2
N
N
N
Marlette Funding Trust
N/A
Marlette Funding Trust, Series 2019-4A, Class A
57110AAA2
235707.16000000
PA
USD
236619.25000000
0.025959052870
Long
ABS-O
CORP
US
Y
2
2029-12-17
Fixed
2.39000000
N
N
N
N
N
N
Avis Budget Car Rental LLC
N/A
Avis Budget Car Rental LLC
053773BA4
97000.00000000
PA
USD
77600.00000000
0.008513350045
Long
DBT
CORP
US
Y
2
2025-03-15
Fixed
5.25000000
N
N
N
N
N
N
Western Digital Corp.
549300QQXOOYEF89IC56
Western Digital Corp.
958102AM7
191000.00000000
PA
USD
197685.00000000
0.021687649533
Long
DBT
CORP
US
N
2
2026-02-15
Fixed
4.75000000
N
N
N
N
N
N
Colfax Corp.
635400OP2DYYYMOIYL17
Colfax Corp.
15723RAA2
50000.00000000
PA
USD
51562.50000000
0.005656824893
Long
DBT
CORP
US
Y
2
2024-02-15
Fixed
6.00000000
N
N
N
N
N
N
Minor International PCL
254900T4WB2UF9XPX041
Minor International PCL
N/A
6463.00000000
NS
319.19000000
0.000035017734
Long
CORP
TH
N
2
N
N
N
Syneos Health, Inc.
549300F1ZGKDS8P6GU13
Syneos Health, Inc.
87166B102
5920.00000000
NS
USD
344840.00000000
0.037831747805
Long
EC
CORP
US
N
1
N
N
N
Mattel, Inc.
549300VELLG24KHTJ564
Mattel, Inc.
577081BD3
120000.00000000
PA
USD
124500.00000000
0.013658660833
Long
DBT
CORP
US
Y
2
2027-12-15
Fixed
5.87500000
N
N
N
N
N
N
Wolverine Escrow LLC
N/A
Wolverine Escrow LLC
97789LAB2
310000.00000000
PA
USD
203050.00000000
0.022276233592
Long
DBT
CORP
US
Y
2
2026-11-15
Fixed
9.00000000
N
N
N
N
N
N
Merrill Lynch Mortgage Investors Trust
N/A
Merrill Lynch Mortgage Investors Trust, Series 2005-NC1, Class M2
59020URQ0
313280.94000000
PA
USD
304919.75000000
0.033452172262
Long
ABS-O
CORP
US
N
3
2035-10-25
Floating
1.26450000
N
N
N
N
N
N
T-Mobile US, Inc.
549300QHIJYOHPACPG31
T-Mobile US, Inc.
872590104
5027.00000000
NS
USD
523562.05000000
0.057439007760
Long
EC
CORP
US
N
1
N
N
N
a2 Milk Co. Ltd.
529900PVC9CV0KFA2U62
a2 Milk Co. Ltd.
N/A
2528.00000000
NS
33090.89000000
0.003630339302
Long
EC
CORP
NZ
N
2
N
N
N
Cincinnati Bell, Inc.
549300JYVZOCUJOHL272
Cincinnati Bell, Inc.
171871AP1
240000.00000000
PA
USD
244800.00000000
0.026856547566
Long
DBT
CORP
US
Y
2
2024-07-15
Fixed
7.00000000
N
N
N
N
N
N
LG Household & Health Care Ltd.
N/A
LG Household & Health Care Ltd.
N/A
93.00000000
NS
104235.32000000
0.011435460905
Long
EC
CORP
KR
N
2
N
N
N
Berry Global, Inc.
549300AP2Q7ERHX6RI89
Berry Global, Inc.
085770AB1
16000.00000000
PA
USD
16440.00000000
0.001803601478
Long
DBT
CORP
US
Y
2
2027-07-15
Fixed
5.62500000
N
N
N
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
5195.29000000
0.000569965494
N/A
DFE
N/A
N
2
State Street Bank and Trust
571474TGEMMWANRLN572
401727.39000000
EUR
456816.87000000
USD
2020-07-29
5195.29000000
N
N
N
HCA, Inc.
L3CJ6J7LJ2DX62FTXD46
HCA, Inc.
404121AJ4
154000.00000000
PA
USD
171773.14000000
0.018844908108
Long
DBT
CORP
US
N
2
2028-09-01
Fixed
5.62500000
N
N
N
N
N
N
Centene Corp.
549300Z7JJ4TQSQGT333
Centene Corp.
15135BAR2
5000.00000000
PA
USD
5159.55000000
0.000566044526
Long
DBT
CORP
US
N
2
2027-12-15
Fixed
4.25000000
N
N
N
N
N
N
Impac CMB Trust
N/A
Impac CMB Trust, Series 2004-9, Class 1A1
45254NKX4
340517.03000000
PA
USD
334665.86000000
0.036715562042
Long
ABS-MBS
CORP
US
N
2
2035-01-25
Floating
0.94450000
N
N
N
N
N
N
Structured Asset Investment Loan Trust
N/A
Structured Asset Investment Loan Trust, Series 2004-7, Class M2
86358EKM7
49768.90000000
PA
USD
49274.44000000
0.005405806134
Long
ABS-O
CORP
US
N
3
2034-08-25
Floating
1.30950000
N
N
N
N
N
N
NMC Health plc
2138008YQEVWBE1V2M52
NMC Health plc
N/A
516.00000000
NS
0.00000000
0.000000
Long
EC
CORP
GB
N
3
N
N
N
ServisFirst Bancshares, Inc.
N/A
ServisFirst Bancshares, Inc.
81768T108
8680.00000000
NS
USD
310396.80000000
0.034053049116
Long
EC
CORP
US
N
1
N
N
N
T-Mobile USA, Inc.
549300V2JRLO5DIFGE82
T-Mobile USA, Inc.
87264AAV7
740000.00000000
PA
USD
781462.20000000
0.085732748144
Long
DBT
CORP
US
N
2
2028-02-01
Fixed
4.75000000
N
N
N
N
N
N
Atlas Copco AB
213800T8PC8Q4FYJZR07
Atlas Copco AB, Class A
N/A
21680.00000000
NS
923252.47000000
0.101288291979
Long
EC
CORP
SE
N
2
N
N
N
Ford Motor Co.
20S05OYHG0MQM4VUIC57
Ford Motor Co.
345370CV0
70000.00000000
PA
USD
74025.00000000
0.008121143519
Long
DBT
CORP
US
N
2
2023-04-21
Fixed
8.50000000
N
N
N
N
N
N
Sabre GLBL, Inc.
F2TJC7HPPHLHU1AQMP98
Sabre GLBL, Inc.
78573NAB8
10000.00000000
PA
USD
9200.00000000
0.001009314696
Long
DBT
CORP
US
Y
2
2023-11-15
Fixed
5.25000000
N
N
N
N
N
N
Hitachi Construction Machinery Co. Ltd.
5493009B7C53PDH8W826
Hitachi Construction Machinery Co. Ltd.
N/A
400.00000000
NS
11111.57000000
0.001219029445
Long
EC
CORP
JP
N
2
N
N
N
Evonik Industries AG
41GUOJQTALQHLF39XJ34
Evonik Industries AG
N/A
717.00000000
NS
18262.00000000
0.002003489671
Long
EC
CORP
DE
N
2
N
N
N
Geberit AG
52990093Z5OHD6T7BS47
Geberit AG (Registered)
N/A
127.00000000
NS
63720.47000000
0.006990652914
Long
EC
CORP
CH
N
2
N
N
N
Toppan Printing Co. Ltd.
3538003H9W4KIDODQY20
Toppan Printing Co. Ltd.
890747108
1000.00000000
NS
16718.93000000
0.001834202364
Long
EC
CORP
JP
N
2
N
N
N
Ashok Leyland Ltd.
3358001BZKWERVWYCK35
Ashok Leyland Ltd.
N/A
40328.00000000
NS
25120.44000000
0.002755916224
Long
EC
CORP
IN
N
2
N
N
N
CK Asset Holdings Ltd.
5299006GJZSGP78B8S35
CK Asset Holdings Ltd.
N/A
9000.00000000
NS
53971.15000000
0.005921073354
Long
EC
CORP
KY
N
2
N
N
N
Nemetschek SE
529900R0S2IX1S358J38
Nemetschek SE
N/A
198.00000000
NS
13605.03000000
0.001492582252
Long
EC
CORP
DE
N
2
N
N
N
Formosa Chemicals & Fibre Corp.
254900OJX8UZOAIVSU82
Formosa Chemicals & Fibre Corp.
N/A
14000.00000000
NS
36058.81000000
0.003955944223
Long
EC
CORP
TW
N
2
N
N
N
FHLMC Structured Agency Credit Risk Debt Notes
N/A
FHLMC Structured Agency Credit Risk Debt Notes, Series 2016-HQA2, Class M3
3137G0KE8
329203.22000000
PA
USD
344037.35000000
0.037743690583
Long
ABS-MBS
CORP
US
N
2
2028-11-25
Floating
5.33450200
N
N
N
N
N
N
Okta, Inc.
549300N8J06I8MRHU620
Okta, Inc.
679295AC9
460000.00000000
PA
USD
569207.80000000
0.062446717140
Long
DBT
CORP
US
Y
2
2025-09-01
Fixed
0.12500000
N
N
N
N
Y
Okta, Inc.
Okta, Inc.
USD
XXXX
N
N
N
Isuzu Motors Ltd.
529900C0QSXVCC7AR494
Isuzu Motors Ltd.
N/A
1900.00000000
NS
17265.95000000
0.001894214899
Long
EC
CORP
JP
N
2
N
N
N
EssilorLuxottica SA
549300M3VH1A3ER1TB49
EssilorLuxottica SA
N/A
971.00000000
NS
124878.83000000
0.013700221560
Long
EC
CORP
FR
N
2
N
N
N
Infrastrutture Wireless Italiane SpA
81560066183FE361C071
Infrastrutture Wireless Italiane SpA
N/A
822.00000000
NS
8251.47000000
0.000905253253
Long
EC
CORP
IT
Y
2
N
N
N
Prysmian SpA
529900X0H1IO3RS1A464
Prysmian SpA
N/A
825.00000000
NS
19138.63000000
0.002099663100
Long
EC
CORP
IT
N
2
N
N
N
Post Holdings, Inc.
JM1I5YUAURL6DC8N1468
Post Holdings, Inc.
737446104
7177.00000000
NS
USD
628848.74000000
0.068989812491
Long
EC
CORP
US
N
1
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
235.39000000
0.000025824194
N/A
DFE
N/A
N
2
Merrill Lynch International
AHYI0DDQ2LCHPGHJC422
171966.53000000
SEK
18696.76000000
USD
2020-07-29
235.39000000
N
N
N
Linde plc
8945002PAZHZLBGKGF02
Linde plc
N/A
3532.00000000
NS
748058.40000000
0.082068080074
Long
EC
CORP
IE
N
2
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
-202.10000000
-0.00002217201
N/A
DFE
N/A
N
2
BNP Paribas
R0MUWSFPU8MPRO8K5P83
574853.78000000
DKK
86519.74000000
USD
2020-07-29
-202.10000000
N
N
N
Sea Ltd.
529900OM6JLLW44YKI15
Sea Ltd.
81141RAC4
119000.00000000
PA
USD
256192.36000000
0.028106381954
Long
DBT
CORP
KY
Y
2
2024-12-01
Fixed
1.00000000
N
N
N
N
N
Sea Ltd.
Sea Ltd.
USD
XXXX
N
N
N
Springleaf Finance Corp.
5493008I795YYBFWFU90
Springleaf Finance Corp.
85172FAN9
120000.00000000
PA
USD
124198.80000000
0.013625616747
Long
DBT
CORP
US
N
2
2026-03-15
Fixed
7.12500000
N
N
N
N
N
N
Toyoda Gosei Co. Ltd.
353800ZV4HXVM4DWPO50
Toyoda Gosei Co. Ltd.
N/A
200.00000000
NS
4178.71000000
0.000458438414
Long
EC
CORP
JP
N
2
N
N
N
Jardine Matheson Holdings Ltd.
2138009KENVUNWOLPK41
Jardine Matheson Holdings Ltd.
N/A
6400.00000000
NS
USD
267589.36000000
0.029356725388
Long
EC
CORP
BM
N
2
N
N
N
Worldline SA
549300CJMQNCA0U4TS33
Worldline SA
N/A
500.00000000
NS
43594.74000000
0.004782696929
Long
EC
CORP
FR
Y
2
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
9338.74000000
0.001024535600
N/A
DFE
N/A
N
2
BNP Paribas
R0MUWSFPU8MPRO8K5P83
99970239.00000000
JPY
935440.44000000
USD
2020-07-22
9338.74000000
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
-8413.25000000
-0.00092300183
N/A
DFE
N/A
N
2
Merrill Lynch International
AHYI0DDQ2LCHPGHJC422
332473.69000000
EUR
365120.94000000
USD
2020-07-02
-8413.25000000
N
N
N
Boyd Gaming Corp.
254900787YGRYS2A1Z35
Boyd Gaming Corp.
103304BM2
212000.00000000
PA
USD
201400.00000000
0.022095215195
Long
DBT
CORP
US
N
2
2026-04-01
Fixed
6.37500000
N
N
N
N
N
N
ArcelorMittal SA
2EULGUTUI56JI9SAL165
ArcelorMittal SA
N/A
2453.00000000
NS
25981.85000000
0.002850419895
Long
EC
CORP
LU
N
2
N
N
N
Magellan Financial Group Ltd.
549300X5WFW6USQQ9U26
Magellan Financial Group Ltd.
N/A
437.00000000
NS
17845.15000000
0.001957757842
Long
EC
CORP
AU
N
2
N
N
N
Cie Financiere Richemont SA
549300YIPGJ6UX2QPS51
Cie Financiere Richemont SA (Registered)
N/A
9016.00000000
NS
581534.90000000
0.063799100095
Long
EC
CORP
CH
N
2
N
N
N
Erste Group Bank AG
PQOH26KWDF7CG10L6792
Erste Group Bank AG
N/A
42226.00000000
NS
997283.01000000
0.109410043281
Long
EC
CORP
AT
N
2
N
N
N
DISH DBS Corp.
N/A
DISH DBS Corp.
25470XAW5
1190000.00000000
PA
USD
1182943.30000000
0.129778484497
Long
DBT
CORP
US
N
2
2024-11-15
Fixed
5.87500000
N
N
N
N
N
N
Alternative Loan Trust
N/A
Alternative Loan Trust, Series 2005-20CB, Class 4A1
12667GQS5
7930.81000000
PA
USD
7907.71000000
0.000867539990
Long
ABS-MBS
CORP
US
N
2
2020-07-25
Fixed
5.25000000
N
N
N
N
N
N
GLP J-REIT
353800E27V9KA51K2I90
GLP J-REIT
N/A
12.00000000
NS
17340.61000000
0.001902405707
Long
EC
CORP
JP
N
2
N
N
N
N/A
N/A
iHeartMedia Capital I LLC
N/A
2922.00000000
NS
USD
21915.00000000
0.002404253431
N/A
DO
US
N
3
iHeartMedia Capital I LLC
N/A
Call
Purchased
Clear Channel Outdoor Holdings, Inc.
Clear Channel Outdoor Holdings, Inc.
0.00000000
1.00000000
USD
2039-05-02
XXXX
-30388.80000000
N
N
N
Toshiba Corp.
549300LBHTST91VKHO68
Toshiba Corp.
N/A
1300.00000000
NS
41703.71000000
0.004575235585
Long
EC
CORP
JP
N
2
N
N
N
Residential Asset Securitization Trust
N/A
Residential Asset Securitization Trust, Series 2004-A6, Class A1
45660NN84
3522.37000000
PA
USD
3520.27000000
0.000386202200
Long
ABS-MBS
CORP
US
N
2
2019-08-25
Fixed
5.00000000
N
N
N
N
N
N
Tryg A/S
213800ZRS8AC4LSTCE39
Tryg A/S
N/A
444.00000000
NS
12900.12000000
0.001415247901
Long
EC
CORP
DK
N
2
N
N
N
Central Japan Railway Co.
353800YAR3OVUITHTG64
Central Japan Railway Co.
N/A
500.00000000
NS
77329.12000000
0.008483632310
Long
EC
CORP
JP
N
2
N
N
N
WH Group Ltd.
254900A4AYEDRWYSE928
WH Group Ltd.
N/A
35000.00000000
NS
30246.81000000
0.003318320635
Long
EC
CORP
KY
Y
2
N
N
N
Investment AB Latour
5493006GFBLNB3Y0Y789
Investment AB Latour, Class B
N/A
507.00000000
NS
9205.22000000
0.001009887372
Long
EC
CORP
SE
N
2
N
N
N
BGF retail Co. Ltd.
N/A
BGF retail Co. Ltd.
N/A
184.00000000
NS
21328.87000000
0.002339950211
Long
EC
CORP
KR
N
2
N
N
N
LVMH Moet Hennessy Louis Vuitton SE
IOG4E947OATN0KJYSD45
LVMH Moet Hennessy Louis Vuitton SE
N/A
6027.00000000
NS
2660892.14000000
0.291921471925
Long
EC
CORP
FR
N
2
N
N
N
EP Energy LLC
N/A
EP Energy LLC
268787AF5
127000.00000000
PA
USD
1.27000000
0.000000139329
Long
DBT
CORP
US
Y
2
2025-02-15
Fixed
8.00000000
Y
N
N
N
N
N
Elisa OYJ
743700TU2S3DXWGU7H32
Elisa OYJ
N/A
486.00000000
NS
29573.87000000
0.003244493653
Long
EC
CORP
FI
N
2
N
N
N
Wuxi Biologics Cayman, Inc.
5493001TD2TH6VDTJU11
Wuxi Biologics Cayman, Inc.
N/A
7500.00000000
NS
137667.12000000
0.015103200803
Long
EC
CORP
KY
Y
2
N
N
N
Raia Drogasil SA
N/A
Raia Drogasil SA
N/A
13712.00000000
NS
281547.22000000
0.030888015956
Long
EC
CORP
BR
N
1
N
N
N
Wal-Mart de Mexico SAB de CV
N/A
Wal-Mart de Mexico SAB de CV
N/A
194982.00000000
NS
466321.24000000
0.051159226157
Long
EC
CORP
MX
N
1
N
N
N
CenterPoint Energy Resources Corp.
2JADVB0458J06WCD4N56
CenterPoint Energy Resources Corp.
15189WAG5
86000.00000000
PA
USD
86988.17000000
0.009543308518
Long
DBT
CORP
US
N
2
2021-01-15
Fixed
4.50000000
N
N
N
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
21894.87000000
0.002402045006
N/A
DFE
N/A
N
2
Citibank
MBNUM2BPBDO7JBLYG310
4356872.20000000
EUR
4920454.10000000
USD
2020-08-03
21894.87000000
N
N
N
Evolution Mining Ltd.
254900BCFW5QO5LW8F27
Evolution Mining Ltd.
N/A
5546.00000000
NS
22031.43000000
0.002417026747
Long
EC
CORP
AU
N
2
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
1184.43000000
0.000129941587
N/A
DFE
N/A
N
2
Standard Chartered Bank
U4LOSYZ7YG4W3S5F2G91
95410.64000000
USD
91519.00000000
CHF
2020-07-02
1184.43000000
N
N
N
Dino Polska SA
259400H4L81SMPRTW956
Dino Polska SA
N/A
928.00000000
NS
47270.63000000
0.005185971908
Long
EC
CORP
PL
Y
2
N
N
N
Level 3 Financing, Inc.
N/A
Level 3 Financing, Inc.
527298BH5
120000.00000000
PA
USD
122550.00000000
0.013444730001
Long
DBT
CORP
US
N
2
2025-05-01
Fixed
5.37500000
N
N
N
N
N
N
Idemitsu Kosan Co. Ltd.
549300P0R46FF6DUA630
Idemitsu Kosan Co. Ltd.
N/A
600.00000000
NS
12805.23000000
0.001404837698
Long
EC
CORP
JP
N
2
N
N
N
Ceridian HCM Holding, Inc.
549300T64GVCHFJ8L449
Ceridian HCM Holding, Inc.
15677J108
2621.00000000
NS
USD
207766.67000000
0.022793690586
Long
EC
CORP
US
N
1
N
N
N
PCCW Ltd.
254900SI7GPUPA1TJX39
PCCW Ltd.
N/A
10000.00000000
NS
5717.64000000
0.000627271530
Long
EC
CORP
HK
N
2
N
N
N
Credit-Based Asset Servicing and Securitization LLC
N/A
Credit-Based Asset Servicing & Securitization LLC, Series 2004-CB4, Class A5
12489WJP0
521740.14000000
PA
USD
539668.49000000
0.059206014999
Long
ABS-O
CORP
US
N
2
2035-05-25
Variable
6.77999900
N
N
N
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
6589.72000000
0.000722945786
N/A
DFE
N/A
N
2
BNP Paribas
R0MUWSFPU8MPRO8K5P83
1923251.45000000
EUR
2943569.04000000
CAD
2020-07-22
6589.72000000
N
N
N
Saxon Asset Securities Trust
N/A
Saxon Asset Securities Trust, Series 2004-2, Class MV2
805564QL8
223943.35000000
PA
USD
221600.14000000
0.024311334561
Long
ABS-O
CORP
US
N
3
2035-08-25
Floating
1.98450000
N
N
N
N
N
N
Proofpoint, Inc.
529900C5FODDK0WSR085
Proofpoint, Inc.
743424AE3
211000.00000000
PA
USD
207177.72000000
0.022729077989
Long
DBT
CORP
US
Y
2
2024-08-15
Fixed
0.25000000
N
N
N
N
Y
Proofpoint, Inc.
Proofpoint, Inc.
USD
XXXX
N
N
N
Yamaha Corp.
529900S5TENP3IJS7S02
Yamaha Corp.
N/A
500.00000000
NS
23582.53000000
0.002587195010
Long
EC
CORP
JP
N
2
N
N
N
Vicinity Centres
N/A
Vicinity Centres
N/A
14051.00000000
NS
14083.40000000
0.001545063325
Long
EC
CORP
AU
N
2
N
N
N
LANXESS AG
529900PTLRE72EMYIJ77
LANXESS AG
N/A
284.00000000
NS
15018.36000000
0.001647636028
Long
EC
CORP
DE
N
2
N
N
N
Coles Group Ltd.
549300OHQRG2HN8LZ793
Coles Group Ltd.
N/A
4562.00000000
NS
54230.17000000
0.005949489951
Long
EC
CORP
AU
N
2
N
N
N
Level 3 Financing, Inc.
N/A
Level 3 Financing, Inc.
527298BM4
10000.00000000
PA
USD
10303.50000000
0.001130377605
Long
DBT
CORP
US
N
2
2026-03-15
Fixed
5.25000000
N
N
N
N
N
N
Hon Hai Precision Industry Co. Ltd.
30030004CM3GSZXX7O56
Hon Hai Precision Industry Co. Ltd.
N/A
32000.00000000
NS
93956.97000000
0.010307842459
Long
EC
CORP
TW
N
2
N
N
N
Navient Corp.
54930067J0ZNOEBRW338
Navient Corp.
78442FET1
140000.00000000
PA
USD
133000.00000000
0.014591179846
Long
DBT
CORP
US
N
2
2024-03-25
Fixed
6.12500000
N
N
N
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
-1157.95000000
-0.00012703651
N/A
DFE
N/A
N
2
Merrill Lynch International
AHYI0DDQ2LCHPGHJC422
45272.70000000
EUR
49737.58000000
USD
2020-07-29
-1157.95000000
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
-1795.21000000
-0.00019694911
N/A
DFE
N/A
N
2
Goldman Sachs International
W22LROWP2IHZNBB6K528
48303.60000000
EUR
52507.66000000
USD
2020-07-29
-1795.21000000
N
N
N
Accton Technology Corp.
529900M1YRZ0GWMDF920
Accton Technology Corp.
N/A
5000.00000000
NS
38828.01000000
0.004259747947
Long
EC
CORP
TW
N
2
N
N
N
Kingfisher plc
213800KBMEV7I92FY281
Kingfisher plc
N/A
7220.00000000
NS
19863.58000000
0.002179196001
Long
EC
CORP
GB
N
2
N
N
N
Community Health Systems, Inc.
5493007X5NC5XI1BB106
Community Health Systems, Inc.
12543DBB5
185000.00000000
PA
USD
180907.80000000
0.019847054476
Long
DBT
CORP
US
Y
2
2024-01-15
Fixed
8.62500000
N
N
N
N
N
N
CNH Industrial NV
549300WGC2HZ5J67V817
CNH Industrial NV
N/A
3501.00000000
NS
24596.66000000
0.002698453305
Long
EC
CORP
NL
N
2
N
N
N
Baloise Holding AG
529900G5XKBZN48T6283
Baloise Holding AG (Registered)
N/A
160.00000000
NS
24104.08000000
0.002644413280
Long
EC
CORP
CH
N
2
N
N
N
CSC Holdings LLC
3HG2WD2W22M120IUNG49
CSC Holdings LLC
126307AH0
85000.00000000
PA
USD
90258.95000000
0.009902139640
Long
DBT
CORP
US
N
2
2024-06-01
Fixed
5.25000000
N
N
N
N
N
N
Melco Resorts & Entertainment Ltd.
529900NRV6LBR3T6B421
Melco Resorts & Entertainment Ltd.
585464100
747.00000000
NS
USD
11593.44000000
0.001271894496
Long
EC
CORP
KY
N
1
N
N
N
KION Group AG
5299005KY91C4C6U9H17
KION Group AG
N/A
237.00000000
NS
14592.06000000
0.001600867457
Long
EC
CORP
DE
N
2
N
N
N
Kao Corp.
353800HM38HFCB8RGL63
Kao Corp.
N/A
13900.00000000
NS
1103073.65000000
0.121016135419
Long
EC
CORP
JP
N
2
N
N
N
iShares MSCI EAFE ETF
549300O0XO3KDQV68404
iShares MSCI EAFE ETF
464287465
860.00000000
NS
USD
52348.20000000
0.005743022562
Long
RF
US
N
1
N
N
N
Illumina, Inc.
SQ95QG8SR5Q56LSNF682
Illumina, Inc.
452327AH2
356000.00000000
PA
USD
529556.87000000
0.058096688187
Long
DBT
CORP
US
N
2
2021-06-15
Fixed
0.50000000
N
N
N
N
Y
Illumina, Inc.
Illumina, Inc.
USD
XXXX
N
N
N
Aeroports de Paris
969500PJMBSFHYC37989
Aeroports de Paris
N/A
108.00000000
NS
11150.00000000
0.001223245528
Long
EC
CORP
FR
N
2
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
-8509.81000000
-0.00093359524
N/A
DFE
N/A
N
2
BNP Paribas
R0MUWSFPU8MPRO8K5P83
9723727.36000000
RON
2247325.36000000
USD
2020-07-22
-8509.81000000
N
N
N
Japan Airlines Co. Ltd.
3538002MH5L1QZZ93477
Japan Airlines Co. Ltd.
N/A
300.00000000
NS
5413.66000000
0.000593922456
Long
EC
CORP
JP
N
2
N
N
N
GNMA
549300M8ZYFG0OCMTT87
GNMA I, 30 Year
36207FLP4
0.10000000
PA
USD
0.11000000
0.000000012067
Long
ABS-MBS
USGA
US
N
2
2028-03-15
Fixed
6.50000000
N
N
N
N
N
N
MASTR Adjustable Rate Mortgages Trust
N/A
MASTR Adjustable Rate Mortgages Trust, Series 2004-3, Class 3A2
576433KS4
124114.42000000
PA
USD
117570.44000000
0.012898431839
Long
ABS-MBS
CORP
US
N
2
2034-04-25
Variable
3.66787100
N
N
N
N
N
N
EXOR NV
5493002ENHZ6NYET7405
EXOR NV
N/A
372.00000000
NS
21351.78000000
0.002342463624
Long
EC
CORP
NL
N
2
N
N
N
IHS Markit Ltd.
549300HLPTRASHS0E726
IHS Markit Ltd.
N/A
5848.00000000
NS
USD
441524.00000000
0.048438767597
Long
EC
CORP
BM
N
1
N
N
N
Hilton Worldwide Finance LLC
N/A
Hilton Worldwide Finance LLC
432891AK5
60000.00000000
PA
USD
58575.00000000
0.006426153078
Long
DBT
CORP
US
N
2
2027-04-01
Fixed
4.87500000
N
N
N
N
N
N
Bausch Health Cos., Inc.
B3BS7ACMDUWISF18KY76
Bausch Health Cos., Inc.
071734AF4
31000.00000000
PA
USD
32523.03000000
0.003568040450
Long
DBT
CORP
CA
Y
2
2029-05-30
Fixed
7.25000000
N
N
N
N
N
N
ZOZO, Inc.
549300GC7XPQMZA0OW13
ZOZO, Inc.
N/A
300.00000000
NS
6687.66000000
0.000733690600
Long
EC
CORP
JP
N
2
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
-3275.88000000
-0.00035939063
N/A
DFE
N/A
N
2
Barclays Bank
G5GSEF7VJP5I7OUK5573
828483.07000000
USD
665882.38000000
GBP
2020-07-22
-3275.88000000
N
N
N
Wolters Kluwer NV
724500TEM53I0U077B74
Wolters Kluwer NV
N/A
934.00000000
NS
72950.74000000
0.008003288475
Long
EC
CORP
NL
N
1
N
N
N
Sprint Capital Corp.
549300L17W0GQBR1PO80
Sprint Capital Corp.
852060AD4
100000.00000000
PA
USD
121870.00000000
0.013370128480
Long
DBT
CORP
US
N
2
2028-11-15
Fixed
6.87500000
N
N
N
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
7439.00000000
0.000816118698
N/A
DFE
N/A
N
2
Royal Bank of Canada
ES7IP3U3RHIGC71XBU11
898477.87000000
EUR
1017337.51000000
USD
2020-07-22
7439.00000000
N
N
N
H&E Equipment Services, Inc.
N/A
H&E Equipment Services, Inc.
404030AH1
120000.00000000
PA
USD
121174.80000000
0.013293859395
Long
DBT
CORP
US
N
2
2025-09-01
Fixed
5.62500000
N
N
N
N
N
N
Fremont Home Loan Trust
N/A
Fremont Home Loan Trust, Series 2004-A, Class M1
35729PCK4
757073.34000000
PA
USD
734827.88000000
0.080616584609
Long
ABS-MBS
CORP
US
N
3
2034-01-25
Floating
1.00950100
N
N
N
N
N
N
Meridian Energy Ltd.
N/A
Meridian Energy Ltd.
N/A
4384.00000000
NS
13666.29000000
0.001499302971
Long
EC
CORP
NZ
N
2
N
N
N
Advantech Co. Ltd.
2549002OSTKE9HB9IY03
Advantech Co. Ltd.
N/A
7000.00000000
NS
70446.21000000
0.007728521199
Long
EC
CORP
TW
N
2
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
-214568.21000000
-0.02353987474
N/A
DFE
N/A
N
2
Barclays Bank
G5GSEF7VJP5I7OUK5573
10002496.09000000
USD
7898148.23000000
GBP
2020-07-22
-214568.21000000
N
N
N
Occidental Petroleum Corp.
IM7X0T3ECJW4C1T7ON55
Occidental Petroleum Corp.
674599CP8
320000.00000000
PA
USD
297904.00000000
0.032682487525
Long
DBT
CORP
US
N
2
2022-08-15
Fixed
2.70000000
N
N
N
N
N
N
Mr Price Group Ltd.
378900D3417C35C5D733
Mr Price Group Ltd.
N/A
14039.00000000
NS
116089.74000000
0.012735987027
Long
EC
CORP
ZA
N
2
N
N
N
Clear Channel Outdoor Holdings, Inc.
N/A
Clear Channel Outdoor Holdings, Inc.
18453H106
10785.00000000
NS
USD
11216.40000000
0.001230530147
Long
EC
CORP
US
N
1
N
N
N
Nielsen Co. Luxembourg SARL (The)
549300MFMRJBOPHHM352
Nielsen Co. Luxembourg SARL (The)
65410CAC4
27000.00000000
PA
USD
26862.03000000
0.002946982787
Long
DBT
CORP
LU
Y
2
2025-02-01
Fixed
5.00000000
N
N
N
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
-9115.43000000
-0.00100003668
N/A
DFE
N/A
N
2
State Street Bank and Trust
571474TGEMMWANRLN572
213057.32000000
EUR
230403.42000000
USD
2020-07-29
-9115.43000000
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
-32785.84000000
-0.00359687284
N/A
DFE
N/A
N
2
Goldman Sachs International
W22LROWP2IHZNBB6K528
6677259.79000000
USD
28640857.24000000
RON
2020-07-22
-32785.84000000
N
N
N
GNMA
549300M8ZYFG0OCMTT87
GNMA, Series 2004-16, Class AE
38374FGZ1
4547.32000000
PA
USD
5217.66000000
0.000572419664
Long
ABS-MBS
USGA
US
N
2
2034-02-20
Fixed
5.50000000
N
N
N
N
N
N
Lamar Media Corp.
N/A
Lamar Media Corp.
513075BL4
70000.00000000
PA
USD
72213.40000000
0.007922396291
Long
DBT
CORP
US
N
2
2026-02-01
Fixed
5.75000000
N
N
N
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
-339.58000000
-0.00003725468
N/A
DFE
N/A
N
2
BNP Paribas
R0MUWSFPU8MPRO8K5P83
357805.81000000
USD
318027.50000000
EUR
2020-07-22
-339.58000000
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
-1203.66000000
-0.00013205127
N/A
DFE
N/A
N
2
Citibank
MBNUM2BPBDO7JBLYG310
129173.34000000
USD
13812623.00000000
JPY
2020-07-29
-1203.66000000
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
2469.60000000
0.000270935171
N/A
DFE
N/A
N
2
Citibank
MBNUM2BPBDO7JBLYG310
5087587.88000000
USD
157329585.06000000
THB
2020-07-22
2469.60000000
N
N
N
AMETEK, Inc.
549300WZDEF9KKE40E98
AMETEK, Inc.
031100100
5432.00000000
NS
USD
485457.84000000
0.053258666550
Long
EC
CORP
US
N
1
N
N
N
Danaher Corp.
S4BKK9OTCEWQ3YHPFM11
Danaher Corp., Series B
235851409
192.00000000
NS
USD
207229.44000000
0.022734752093
Long
EP
CORP
US
N
2
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
8752.73000000
0.000960245545
N/A
DFE
N/A
N
2
Citibank
MBNUM2BPBDO7JBLYG310
69720794.00000000
JPY
654737.78000000
USD
2020-08-03
8752.73000000
N
N
N
Citizens Financial Group, Inc.
2138004JDDA4ZQUPFW65
Citizens Financial Group, Inc.
174610105
27281.00000000
NS
USD
688572.44000000
0.075541987287
Long
EC
CORP
US
N
1
N
N
N
Colruyt SA
5493000O0NZ1BCXO8K39
Colruyt SA
N/A
213.00000000
NS
11706.36000000
0.001284282737
Long
EC
CORP
BE
N
2
N
N
N
Albertsons Cos., Inc.
N/A
Albertsons Cos., Inc.
013093AB5
240000.00000000
PA
USD
246000.00000000
0.026988197309
Long
DBT
CORP
US
N
2
2024-06-15
Fixed
6.62500000
N
N
N
N
N
N
Spark New Zealand Ltd.
529900HUN51H3Y7QBB66
Spark New Zealand Ltd.
N/A
6282.00000000
NS
18586.33000000
0.002039071306
Long
EC
CORP
NZ
N
2
N
N
N
Israel Discount Bank Ltd.
549300XWZ7BG5G23OF51
Israel Discount Bank Ltd., Class A
465074201
3668.00000000
NS
11187.34000000
0.001227342029
Long
EC
CORP
IL
N
2
N
N
N
LABL Escrow Issuer LLC
N/A
LABL Escrow Issuer LLC
50168AAB6
305000.00000000
PA
USD
317294.55000000
0.034809788295
Long
DBT
CORP
US
Y
2
2026-07-15
Fixed
6.75000000
N
N
N
N
N
N
WiseTech Global Ltd.
254900VE3AF301Q85K83
WiseTech Global Ltd.
N/A
496.00000000
NS
6709.87000000
0.000736127217
Long
EC
CORP
AU
N
2
N
N
N
Nexstar Media Group, Inc.
52990083ZRR5UT591988
Nexstar Media Group, Inc., Class A
65336K103
6445.00000000
NS
USD
539382.05000000
0.059174590205
Long
EC
CORP
US
N
1
N
N
N
Capgemini SE
96950077L0TN7BAROX36
Capgemini SE
N/A
12868.00000000
NS
1484986.76000000
0.162915104393
Long
EC
CORP
FR
N
2
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
1040.07000000
0.000114104123
N/A
DFE
N/A
N
2
Goldman Sachs International
W22LROWP2IHZNBB6K528
1083485.07000000
USD
8406684.83000000
HKD
2020-07-29
1040.07000000
N
N
N
Pool Corp.
5493005VZK1KMN6CO617
Pool Corp.
73278L105
3339.00000000
NS
USD
907773.93000000
0.099590170468
Long
EC
CORP
US
N
1
N
N
N
ENN Energy Holdings Ltd.
549300V7BXPWT6WIPR03
ENN Energy Holdings Ltd.
N/A
6500.00000000
NS
73453.16000000
0.008058408028
Long
EC
CORP
KY
N
2
N
N
N
Shelf Drilling Holdings Ltd.
54930078ZJ3XP4MRYB68
Shelf Drilling Holdings Ltd.
822538AE4
87000.00000000
PA
USD
40781.25000000
0.004474034233
Long
DBT
CORP
KY
Y
2
2025-02-15
Fixed
8.25000000
N
N
N
N
N
N
KeyCorp
RKPI3RZGV1V1FJTH5T61
KeyCorp
493267108
77216.00000000
NS
USD
940490.88000000
0.103179485517
Long
EC
CORP
US
N
1
N
N
N
Insulet Corp.
549300TZTYD2PYN92D43
Insulet Corp.
45784PAJ0
451000.00000000
PA
USD
492461.96000000
0.054027075381
Long
DBT
CORP
US
Y
2
2026-09-01
Fixed
0.37500000
N
N
N
N
Y
Insulet Corp.
Insulet Corp.
USD
XXXX
N
N
N
China Conch Venture Holdings Ltd.
N/A
China Conch Venture Holdings Ltd.
N/A
13500.00000000
NS
57299.21000000
0.006286188557
Long
EC
CORP
KY
N
2
N
N
N
Vistra Operations Co. LLC
549300ZH5GKBTJZ7NM23
Vistra Operations Co. LLC
92840VAA0
190000.00000000
PA
USD
194396.60000000
0.021326885354
Long
DBT
CORP
US
Y
2
2026-09-01
Fixed
5.50000000
N
N
N
N
N
N
Nissan Motor Co. Ltd.
353800DRBDH1LUTNAY26
Nissan Motor Co. Ltd.
N/A
8000.00000000
NS
29667.57000000
0.003254773304
Long
EC
CORP
JP
N
2
N
N
N
NYU Langone Hospitals
N/A
NYU Langone Hospitals, Series 2020
62954RAA4
97000.00000000
PA
USD
93564.22000000
0.010264754595
Long
DBT
CORP
US
N
2
2055-07-01
Fixed
3.38000000
N
N
N
N
N
N
Cosmos Pharmaceutical Corp.
N/A
Cosmos Pharmaceutical Corp.
N/A
100.00000000
NS
15343.45000000
0.001683301040
Long
EC
CORP
JP
N
2
N
N
N
Carrefour SA
549300B8P6MUJ1YWTS08
Carrefour SA
N/A
2071.00000000
NS
32117.19000000
0.003523516507
Long
EC
CORP
FR
N
2
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
-1017.81000000
-0.00011166202
N/A
DFE
N/A
N
2
Barclays Capital
AC28XWWI3WIBK2824319
1067789.69000000
USD
5807227.64000000
BRL
2020-07-22
-1017.81000000
N
N
N
Home Depot, Inc. (The)
QEKMOTMBBKA8I816DO57
Home Depot, Inc. (The)
437076102
8781.00000000
NS
USD
2199728.31000000
0.241328055518
Long
EC
CORP
US
N
1
N
N
N
CIG Auto Receivables Trust
N/A
CIG Auto Receivables Trust, Series 2019-1A, Class C
125504AC4
225000.00000000
PA
USD
229951.91000000
0.025227591539
Long
ABS-O
CORP
US
Y
2
2024-08-15
Fixed
3.82000000
N
N
N
N
N
N
Allied Universal Holdco LLC
N/A
Allied Universal Holdco LLC
019576AA5
21000.00000000
PA
USD
22050.00000000
0.002419064027
Long
DBT
CORP
US
Y
2
2026-07-15
Fixed
6.62500000
N
N
N
N
N
N
Ambev SA
549300TH5Q6VRP8OT012
Ambev SA
N/A
27191.00000000
NS
71401.31000000
0.007833303424
Long
EC
CORP
BR
N
1
N
N
N
GNMA
549300M8ZYFG0OCMTT87
GNMA, Series 2012-44
38378BSB6
2102181.94000000
PA
USD
11716.09000000
0.001285350197
Long
ABS-MBS
USGA
US
N
2
2049-03-16
Variable
0.22646900
N
N
N
N
N
N
Renesas Electronics Corp.
5299000EPC47VJQOFB81
Renesas Electronics Corp.
N/A
2900.00000000
NS
14907.17000000
0.001635437582
Long
EC
CORP
JP
N
2
N
N
N
Telefonaktiebolaget LM Ericsson
549300W9JLPW15XIFM52
Telefonaktiebolaget LM Ericsson, Class B
N/A
10010.00000000
NS
92788.26000000
0.010179625483
Long
EC
CORP
SE
N
2
N
N
N
Stanwich Mortgage Loan Trust
N/A
Stanwich Mortgage Loan Trust, Series 2019-NPB2, Class A1
85503DAA2
1315841.58000000
PA
USD
1320710.72000000
0.144892689025
Long
ABS-O
CORP
US
Y
2
2024-11-16
Variable
3.47500100
N
N
N
N
N
N
Howmet Aerospace, Inc.
549300HO5WFZUT5N2T22
Howmet Aerospace, Inc.
013817AK7
61000.00000000
PA
USD
63293.66000000
0.006943828392
Long
DBT
CORP
US
N
2
2037-02-01
Fixed
5.95000000
N
N
N
N
N
N
United Overseas Bank Ltd.
IO66REGK3RCBAMA8HR66
United Overseas Bank Ltd.
N/A
4000.00000000
NS
58447.47000000
0.006412162002
Long
EC
CORP
SG
N
2
N
N
N
MercadoLibre, Inc.
549300DKPDN9M5S8GB14
MercadoLibre, Inc.
58733RAD4
412000.00000000
PA
USD
942661.31000000
0.103417599310
Long
DBT
CORP
US
N
2
2028-08-15
Fixed
2.00000000
N
N
N
N
Y
MercadoLibre, Inc.
MercadoLibre, Inc.
USD
XXXX
N
N
N
Kikkoman Corp.
529900T9K5UH9HXOND47
Kikkoman Corp.
N/A
500.00000000
NS
24148.82000000
0.002649321621
Long
EC
CORP
JP
N
2
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
-15427.26000000
-0.00169249567
N/A
DFE
N/A
N
2
Citibank
MBNUM2BPBDO7JBLYG310
1587214.39000000
AUD
116588198.00000000
JPY
2020-07-22
-15427.26000000
N
N
N
Best Buy Co., Inc.
HL5XPTVRV0O8TUN5LL90
Best Buy Co., Inc.
086516101
13796.00000000
NS
USD
1203976.92000000
0.132086043386
Long
EC
CORP
US
N
1
N
N
N
Schibsted ASA
5967007LIEEXZXHT0O36
Schibsted ASA, Class B
N/A
341.00000000
NS
8054.63000000
0.000883658307
Long
EC
CORP
NO
N
2
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
-72354.05000000
-0.00793782673
N/A
DFE
N/A
N
2
Citibank
MBNUM2BPBDO7JBLYG310
7177000.00000000
EUR
6451118.22000000
GBP
2020-07-22
-72354.05000000
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
-23241.32000000
-0.00254976150
N/A
DFE
N/A
N
2
Goldman Sachs
FOR8UP27PHTHYVLBNG30
1638890.29000000
USD
23539381180.00000000
IDR
2020-07-22
-23241.32000000
N
N
N
TPG Telecom Ltd.
N/A
TPG Telecom Ltd.
N/A
1482.00000000
NS
9102.28000000
0.000998594018
Long
EC
CORP
AU
N
1
N
N
N
Richter Gedeon Nyrt.
549300J6ZJW5IH4WEE46
Richter Gedeon Nyrt.
N/A
1068.00000000
NS
22160.65000000
0.002431203230
Long
EC
CORP
HU
N
2
N
N
N
Shenzhen Mindray Bio-Medical Electronics Co. Ltd.
N/A
Shenzhen Mindray Bio-Medical Electronics Co. Ltd., Class A
N/A
1000.00000000
NS
43238.29000000
0.004743591470
Long
EC
CORP
CN
N
2
N
N
N
Post Holdings, Inc.
JM1I5YUAURL6DC8N1468
Post Holdings, Inc.
737446AQ7
42000.00000000
PA
USD
41214.60000000
0.004521576247
Long
DBT
CORP
US
Y
2
2030-04-15
Fixed
4.62500000
N
N
N
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
-793.24000000
-0.00008702486
N/A
DFE
N/A
N
2
Merrill Lynch International
AHYI0DDQ2LCHPGHJC422
144445.88000000
GBP
178223.25000000
USD
2020-07-29
-793.24000000
N
N
N
Swire Properties Ltd.
5299001L12PHYVQ92465
Swire Properties Ltd.
N/A
4000.00000000
NS
10212.68000000
0.001120413914
Long
EC
CORP
HK
N
2
N
N
N
SJM Holdings Ltd.
529900XEAB40COT5ZL30
SJM Holdings Ltd.
N/A
7000.00000000
NS
7847.95000000
0.000860983833
Long
EC
CORP
HK
N
2
N
N
N
Petronas Chemicals Group Bhd.
N/A
Petronas Chemicals Group Bhd.
N/A
36400.00000000
NS
53036.44000000
0.005818528078
Long
EC
CORP
MY
N
2
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, REMIC, Series 2013-25, Class DC
3136ACKP5
250695.76000000
PA
USD
259874.43000000
0.028510334929
Long
ABS-MBS
USGSE
US
N
2
2039-06-25
Fixed
2.50000000
N
N
N
N
N
N
Bank of China Ltd.
54930053HGCFWVHYZX42
Bank of China Ltd., Class H
N/A
330000.00000000
NS
122242.93000000
0.013411041929
Long
EC
CORP
CN
N
2
N
N
N
L'Oreal SA
529900JI1GG6F7RKVI53
L'Oreal SA
N/A
3533.00000000
NS
1140264.31000000
0.125096252777
Long
EC
CORP
FR
N
2
N
N
N
TEGNA, Inc.
549300YC5EDBGX85AO10
TEGNA, Inc.
364725BC4
20000.00000000
PA
USD
20200.00000000
0.002216104006
Long
DBT
CORP
US
Y
2
2024-09-15
Fixed
5.50000000
N
N
N
N
N
N
MYT Holding Co.
549300853MX08B1AUK51
MYT Holding Co.
55406M204
75400.00000000
NS
USD
54589.60000000
0.005988922340
Long
EP
CORP
US
Y
2
N
N
N
Sika AG
549300R3N69ECGYPU434
Sika AG
N/A
400000.00000000
PA
577339.17000000
0.063338794449
Long
DBT
CORP
CH
Y
2
2022-01-30
Fixed
3.75000000
N
N
N
Y
N
Sika AG
Sika AG
CHF
XXXX
N
N
N
Microchip Technology, Inc.
5493007PTFULNYZJ1R12
Microchip Technology, Inc.
595017104
3554.00000000
NS
USD
374271.74000000
0.041060648644
Long
EC
CORP
US
N
1
N
N
N
GDS Holdings Ltd.
391200MGV8DDCHTN2R77
GDS Holdings Ltd.
36165L108
688.00000000
NS
USD
54806.08000000
0.006012671954
Long
EC
CORP
KY
N
1
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
-2045.61000000
-0.00022442002
N/A
DFE
N/A
N
2
BNP Paribas
R0MUWSFPU8MPRO8K5P83
2927713.11000000
PLN
738016.92000000
USD
2020-07-22
-2045.61000000
N
N
N
DNB ASA
5967007LIEEXZX78M803
DNB ASA
N/A
3245.00000000
NS
43312.64000000
0.004751748269
Long
EC
CORP
NO
N
2
N
N
N
Hertz Corp. (The)
549300PD0C69OJ0NLB27
Hertz Corp. (The)
428040CS6
252000.00000000
PA
USD
78372.00000000
0.008598044713
Long
DBT
CORP
US
Y
2
2024-10-15
Fixed
5.50000000
Y
N
N
N
N
N
CommScope Holding Co., Inc.
254900AW4CEPCQWSRI58
CommScope Holding Co., Inc.
20337X109
40406.00000000
NS
USD
336581.98000000
0.036925775963
Long
EC
CORP
US
N
1
N
N
N
AVEVA Group plc
213800XHATUM2LFMKG16
AVEVA Group plc
N/A
222.00000000
NS
11256.12000000
0.001234887754
Long
EC
CORP
GB
N
2
N
N
N
Avolon Holdings Funding Ltd.
635400ZRKEX9L1BKCH30
Avolon Holdings Funding Ltd.
05401AAB7
99000.00000000
PA
USD
91560.89000000
0.010044973029
Long
DBT
CORP
KY
Y
2
2023-10-01
Fixed
5.12500000
N
N
N
N
N
N
Engie SA
LAXUQCHT4FH58LRZDY46
Engie SA
N/A
6246.00000000
NS
77462.49000000
0.008498264082
Long
EC
CORP
FR
N
2
N
N
N
CIMB Group Holdings Bhd.
549300FYDN5UD7USZW18
CIMB Group Holdings Bhd.
N/A
36700.00000000
NS
30616.54000000
0.003358883018
Long
EC
CORP
MY
N
2
N
N
N
Saudi Telecom Co.
21380028ATJ79OTA9W17
Saudi Telecom Co.
N/A
2185.00000000
NS
57886.94000000
0.006350667310
Long
EC
CORP
SA
N
2
N
N
N
PetSmart, Inc.
N/A
PetSmart, Inc.
716768AC0
567000.00000000
PA
USD
568063.13000000
0.062321137547
Long
DBT
CORP
US
Y
2
2025-06-01
Fixed
5.87500000
N
N
N
N
N
N
Ono Pharmaceutical Co. Ltd.
N/A
Ono Pharmaceutical Co. Ltd.
N/A
1200.00000000
NS
35023.84000000
0.003842399611
Long
EC
CORP
JP
N
2
N
N
N
GEA Group AG
549300PHUU0ZZWO8EO07
GEA Group AG
N/A
525.00000000
NS
16662.59000000
0.001828021408
Long
EC
CORP
DE
N
2
N
N
N
Alibaba Group Holding Ltd.
5493001NTNQJDH60PM02
Alibaba Group Holding Ltd.
01609W102
21124.00000000
NS
USD
4556446.80000000
0.499879208409
Long
EC
CORP
KY
N
1
N
N
N
Nippon Prologis REIT, Inc.
353800PHBMSDLAFURY41
Nippon Prologis REIT, Inc.
N/A
7.00000000
NS
21270.44000000
0.002333539965
Long
EC
CORP
JP
N
2
N
N
N
Bollore SA
969500LEKCHH6VV86P94
Bollore SA
N/A
2821.00000000
NS
8901.30000000
0.000976544880
Long
EC
CORP
FR
N
2
N
N
N
Teva Pharmaceutical Industries Ltd.
549300BAFGM4RC74ZJ94
Teva Pharmaceutical Industries Ltd.
881624209
3739.00000000
NS
USD
46101.87000000
0.005057749446
Long
EC
CORP
IL
N
1
N
N
N
Kerry Group plc
635400TLVVBNXLFHWC59
Kerry Group plc, Class A
N/A
544.00000000
NS
67579.69000000
0.007414040682
Long
EC
CORP
IE
N
2
N
N
N
Liberty Media Corp.
549300ZKUTPIBZLWLL89
Liberty Media Corp.
531229AB8
268000.00000000
PA
USD
281239.20000000
0.030854223661
Long
DBT
CORP
US
N
2
2023-10-15
Fixed
1.37500000
N
N
N
N
Y
Liberty Media Corp.
Liberty Media Corp.
USD
XXXX
N
N
N
Link REIT
529900XUE70U36QX5M62
Link REIT
N/A
7100.00000000
NS
58292.18000000
0.006395125428
Long
EC
CORP
HK
N
2
N
N
N
Tobu Railway Co. Ltd.
N/A
Tobu Railway Co. Ltd.
N/A
700.00000000
NS
23127.59000000
0.002537284399
Long
EC
CORP
JP
N
2
N
N
N
Persol Holdings Co. Ltd.
3538000H6OI725NB2008
Persol Holdings Co. Ltd.
N/A
600.00000000
NS
8272.12000000
0.000907518726
Long
EC
CORP
JP
N
2
N
N
N
Transocean, Inc.
DOL4HJ22ADYSIWES4H94
Transocean, Inc.
893830BK4
43000.00000000
PA
USD
23435.00000000
0.002571009772
Long
DBT
CORP
KY
Y
2
2025-11-01
Fixed
7.25000000
N
N
N
N
N
N
UPM-Kymmene OYJ
213800EC6PW5VU4J9U64
UPM-Kymmene OYJ
N/A
1826.00000000
NS
52889.55000000
0.005802413052
Long
EC
CORP
FI
N
2
N
N
N
Atlas Copco AB
213800T8PC8Q4FYJZR07
Atlas Copco AB, Class B
N/A
1336.00000000
NS
49643.15000000
0.005446256614
Long
EC
CORP
SE
N
2
N
N
N
China Pacific Insurance Group Co. Ltd.
529900BA5ILEL308WX03
China Pacific Insurance Group Co. Ltd., Class H
N/A
20200.00000000
NS
54291.25000000
0.005956190923
Long
EC
CORP
CN
N
2
N
N
N
Renaissance Home Equity Loan Trust
N/A
Renaissance Home Equity Loan Trust, Series 2003-2, Class M1
759950AY4
1056013.45000000
PA
USD
1016438.40000000
0.111511545090
Long
ABS-O
CORP
US
N
3
2033-08-25
Floating
1.42200000
N
N
N
N
N
N
Zalando SE
529900YRFFGH5AXU4S86
Zalando SE
N/A
505.00000000
NS
35824.98000000
0.003930291174
Long
EC
CORP
DE
Y
2
N
N
N
Catcher Technology Co. Ltd.
5299006PRSCU66N5JF55
Catcher Technology Co. Ltd.
N/A
11000.00000000
NS
83359.90000000
0.009145257841
Long
EC
CORP
TW
N
2
N
N
N
N/A
N/A
U.S. Treasury Ultra Bond
N/A
98.00000000
NC
USD
70221.90000000
0.007703912571
N/A
DIR
US
N
1
CME Clearing House
LCZ7XYGSLJUHFXXNXD88
Long
United States of America
U.S. Treasury Ultra Bond
2020-09-21
21373187.50000000
USD
70221.90000000
N
N
N
Southwestern Energy Co.
EFWMP121W54QV9MGOP87
Southwestern Energy Co.
845467AM1
60000.00000000
PA
USD
52518.00000000
0.005761651001
Long
DBT
CORP
US
N
2
2026-04-01
Fixed
7.50000000
N
N
N
N
N
N
Pandora A/S
5299007OWYZ6I1E46843
Pandora A/S
N/A
342.00000000
NS
18678.16000000
0.002049145802
Long
EC
CORP
DK
N
2
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
-1999.81000000
-0.00021939539
N/A
DFE
N/A
N
2
State Street Bank and Trust
571474TGEMMWANRLN572
734164.25000000
USD
79027400.00000000
JPY
2020-07-29
-1999.81000000
N
N
N
WPP plc
549300LSGBXPYHXGDT93
WPP plc
N/A
4233.00000000
NS
33001.81000000
0.003620566503
Long
EC
CORP
JE
N
2
N
N
N
Daicel Corp.
353800ZG4XF6D7NZGS72
Daicel Corp.
N/A
900.00000000
NS
6975.33000000
0.000765250334
Long
EC
CORP
JP
N
2
N
N
N
Monolithic Power Systems, Inc.
529900TB7O85LSZ1XU31
Monolithic Power Systems, Inc.
609839105
990.00000000
NS
USD
234630.00000000
0.025740815994
Long
EC
CORP
US
N
1
N
N
N
Nexi SpA
5493000P70CQRQG8SN85
Nexi SpA
N/A
1289.00000000
NS
22351.97000000
0.002452192587
Long
EC
CORP
IT
Y
2
N
N
N
NTT DOCOMO, Inc.
353800TVPXCGWDZIIU09
NTT DOCOMO, Inc.
N/A
4100.00000000
NS
108846.88000000
0.011941386479
Long
EC
CORP
JP
N
2
N
N
N
Veolia Environnement SA
969500LENY69X51OOT31
Veolia Environnement SA
N/A
1843.00000000
NS
41617.09000000
0.004565732668
Long
EC
CORP
FR
N
2
N
N
N
ITOCHU Corp.
J48DJYXDTLHM30UMYI18
ITOCHU Corp.
N/A
4700.00000000
NS
101697.76000000
0.011157069970
Long
EC
CORP
JP
N
2
N
N
N
PBF Holding Co. LLC
N/A
PBF Holding Co. LLC
69318FAK4
38000.00000000
PA
USD
40565.00000000
0.004450309853
Long
DBT
CORP
US
Y
2
2025-05-15
Fixed
9.25000000
N
N
N
N
N
N
Ascendas REIT
549300ILIBAEMQZK3L20
Ascendas REIT
N/A
10452.00000000
NS
23981.20000000
0.002630932346
Long
EC
CORP
SG
N
2
N
N
N
Macquarie Group Ltd.
ACMHD8HWFMFUIQQ8Y590
Macquarie Group Ltd.
N/A
1151.00000000
NS
95523.96000000
0.010479753984
Long
EC
CORP
AU
N
2
N
N
N
Premier, Inc.
N/A
Premier, Inc., Class A
74051N102
7375.00000000
NS
USD
252815.00000000
0.027735858141
Long
EC
CORP
US
N
1
N
N
N
Gjensidige Forsikring ASA
5967007LIEEXZX6FAO47
Gjensidige Forsikring ASA
N/A
665.00000000
NS
12286.66000000
0.001347946359
Long
EC
CORP
NO
N
2
N
N
N
Cellnex Telecom SA
5493008T4YG3AQUI7P67
Cellnex Telecom SA
N/A
400000.00000000
PA
759842.47000000
0.083360888229
Long
DBT
CORP
ES
Y
2
2026-01-16
Fixed
1.50000000
N
N
N
N
N
Cellnex Telecom SA
Cellnex Telecom SA
EUR
XXXX
N
N
N
Koninklijke KPN NV
549300YO0JZHAL7FVP81
Koninklijke KPN NV
N/A
12223.00000000
NS
32512.16000000
0.003566847922
Long
EC
CORP
NL
N
2
N
N
N
Commerzbank AG
851WYGNLUQLFZBSYGB56
Commerzbank AG
N/A
3428.00000000
NS
15278.13000000
0.001676134906
Long
EC
CORP
DE
N
2
N
N
N
Banco Santander SA
5493006QMFDDMYWIAM13
Banco Santander SA
N/A
56831.00000000
NS
139034.87000000
0.015253254083
Long
EC
CORP
ES
N
2
N
N
N
Hughes Satellite Systems Corp.
N/A
Hughes Satellite Systems Corp.
444454AD4
145000.00000000
PA
USD
149959.00000000
0.016451719838
Long
DBT
CORP
US
N
2
2026-08-01
Fixed
5.25000000
N
N
N
N
N
N
RSA Insurance Group plc
549300HOGQ7E0TY86138
RSA Insurance Group plc
N/A
3530.00000000
NS
17877.46000000
0.001961302511
Long
EC
CORP
GB
N
2
N
N
N
Pearson plc
2138004JBXWWJKIURC57
Pearson plc
N/A
2627.00000000
NS
18701.12000000
0.002051664701
Long
EC
CORP
GB
N
2
N
N
N
WestRock Co.
549300JEB576INN13W07
WestRock Co.
96145D105
15022.00000000
NS
USD
424521.72000000
0.046573479437
Long
EC
CORP
US
N
1
N
N
N
China State Construction International Holdings Ltd.
529900QVUUH13RIZIR85
China State Construction International Holdings Ltd.
N/A
50000.00000000
NS
29375.07000000
0.003222683679
Long
EC
CORP
KY
N
2
N
N
N
Staples, Inc.
XQM2JINI1UL7642TU573
Staples, Inc.
855030AP7
175000.00000000
PA
USD
106730.75000000
0.011709229837
Long
DBT
CORP
US
Y
2
2027-04-15
Fixed
10.75000000
N
N
N
N
N
N
Sika AG
549300R3N69ECGYPU434
Sika AG (Registered)
N/A
485.00000000
NS
93494.64000000
0.010257121104
Long
EC
CORP
CH
N
2
N
N
N
Hexagon AB
549300WJFW6ILNI4TA80
Hexagon AB, Class B
N/A
963.00000000
NS
56552.73000000
0.006204293640
Long
EC
CORP
SE
N
2
N
N
N
Sprint Corp.
549300ZTTY7CXOLJ6539
Sprint Corp.
85207UAF2
220000.00000000
PA
USD
247775.00000000
0.027182929221
Long
DBT
CORP
US
N
2
2023-09-15
Fixed
7.87500000
N
N
N
N
N
N
CIM Trust
N/A
CIM Trust, Series 2019-INV3, Class A11
12557LBK0
683723.56000000
PA
USD
681628.43000000
0.074780173010
Long
ABS-MBS
CORP
US
Y
2
2049-08-25
Floating
1.11825000
N
N
N
N
N
N
Springleaf Finance Corp.
5493008I795YYBFWFU90
Springleaf Finance Corp.
85172FAQ2
39000.00000000
PA
USD
38610.00000000
0.004235830480
Long
DBT
CORP
US
N
2
2028-01-15
Fixed
6.62500000
N
N
N
N
N
N
Sompo Holdings, Inc.
353800CWW4SRGEYEB512
Sompo Holdings, Inc.
N/A
1100.00000000
NS
37867.91000000
0.004154417182
Long
EC
CORP
JP
N
2
N
N
N
Vericrest Opportunity Loan Trust
N/A
Vericrest Opportunity Loan Trust, Series 2019-NPL2, Class A1
92872KAA5
855259.00000000
PA
USD
859188.92000000
0.094260000402
Long
ABS-O
CORP
US
Y
3
2049-02-25
Variable
3.96720000
N
N
N
N
N
N
Illinois Tool Works, Inc.
76NA4I14SZCFAYMNSV04
Illinois Tool Works, Inc.
452308109
2762.00000000
NS
USD
482935.70000000
0.052981967314
Long
EC
CORP
US
N
1
N
N
N
Midea Group Co. Ltd.
3003003TRPHLHZD2IF61
Midea Group Co. Ltd., Class A
N/A
54400.00000000
NS
461408.03000000
0.050620207129
Long
EC
CORP
CN
N
2
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
-787.18000000
-0.00008636003
N/A
DFE
N/A
N
2
Goldman Sachs International
W22LROWP2IHZNBB6K528
1050545.51000000
USD
7230379.47000000
TRY
2020-07-22
-787.18000000
N
N
N
L Brands, Inc.
GR3KVMWVCR54YWQNXU90
L Brands, Inc.
501797AL8
195000.00000000
PA
USD
162220.50000000
0.017796905941
Long
DBT
CORP
US
N
2
2035-11-01
Fixed
6.87500000
N
N
N
N
N
N
ANDRITZ AG
549300VZKC61IR5U8G96
ANDRITZ AG
N/A
265.00000000
NS
9662.13000000
0.001060014109
Long
EC
CORP
AT
N
2
N
N
N
Petroleo Brasileiro SA
5493000J801JZRCMFE49
Petroleo Brasileiro SA (Preference)
N/A
36632.00000000
NS
146713.92000000
0.016095708215
Long
EC
CORP
BR
N
1
N
N
N
China Unicom Hong Kong Ltd.
5299006RQXYNFYPOUS20
China Unicom Hong Kong Ltd.
N/A
80000.00000000
NS
43527.67000000
0.004775338806
Long
EC
CORP
HK
N
2
N
N
N
Medallia, Inc.
5493009P6W6C5BK60J60
Medallia, Inc.
584021109
7366.00000000
NS
USD
185917.84000000
0.020396696541
Long
EC
CORP
US
N
1
N
N
N
GLS Auto Receivables Trust
N/A
GLS Auto Receivables Trust, Series 2018-1A, Class B
36255GAC4
350000.00000000
PA
USD
353878.74000000
0.038823370970
Long
ABS-O
CORP
US
Y
2
2023-08-15
Fixed
3.52000000
N
N
N
N
N
N
CHEC Loan Trust
N/A
CHEC Loan Trust, Series 2004-2, Class M3
162765AV3
204597.63000000
PA
USD
198949.22000000
0.021826344731
Long
ABS-O
CORP
US
N
3
2034-04-25
Floating
1.43449900
N
N
N
N
N
N
Gap, Inc. (The)
T2ZG1WRWZ4BUCMQL9224
Gap, Inc. (The)
364760AL2
155000.00000000
PA
USD
168756.25000000
0.018513930781
Long
DBT
CORP
US
Y
2
2023-05-15
Fixed
8.37500000
N
N
N
N
N
N
Vonovia SE
5299005A2ZEP6AP7KM81
Vonovia SE
N/A
10542.00000000
NS
644359.44000000
0.070691462215
Long
EC
CORP
DE
N
2
N
N
N
MongoDB, Inc.
549300TPTG69WKWE1Z37
MongoDB, Inc.
60937PAC0
300000.00000000
PA
USD
377701.38000000
0.041436907998
Long
DBT
CORP
US
Y
2
2026-01-15
Fixed
0.25000000
N
N
N
N
Y
MongoDB, Inc.
MongoDB, Inc.
USD
XXXX
N
N
N
Hertz Corp. (The)
549300PD0C69OJ0NLB27
Hertz Corp. (The)
428040CY3
160000.00000000
PA
USD
50000.00000000
0.005485405957
Long
DBT
CORP
US
Y
2
2026-08-01
Fixed
7.12500000
Y
N
N
N
N
N
Sumitomo Dainippon Pharma Co. Ltd.
529900D60UKVYLJ2OJ79
Sumitomo Dainippon Pharma Co. Ltd.
N/A
600.00000000
NS
8314.56000000
0.000912174739
Long
EC
CORP
JP
N
2
N
N
N
Transocean, Inc.
DOL4HJ22ADYSIWES4H94
Transocean, Inc.
893830BF5
40000.00000000
PA
USD
21800.00000000
0.002391636997
Long
DBT
CORP
KY
Y
2
2026-01-15
Fixed
7.50000000
N
N
N
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
-16529.66000000
-0.00181343790
N/A
DFE
N/A
N
2
Citibank
MBNUM2BPBDO7JBLYG310
1435000.00000000
EUR
1288199.50000000
GBP
2020-07-22
-16529.66000000
N
N
N
WaMu Mortgage Pass-Through Certificates
N/A
WaMu Mortgage Pass-Through Certificates, Series 2005-AR8, Class 2AB2
92922FR91
1056897.82000000
PA
USD
957537.38000000
0.105049624970
Long
ABS-MBS
CORP
US
N
2
2045-07-25
Floating
1.02449900
N
N
N
N
N
N
PTT PCL
549300QOGMPTKB6W7G56
PTT PCL
N/A
50400.00000000
NS
62213.58000000
0.006825334847
Long
EC
CORP
TH
N
2
N
N
N
Kunlun Energy Co. Ltd.
5299007GRIKP15GM4927
Kunlun Energy Co. Ltd.
N/A
58000.00000000
NS
37985.78000000
0.004167348478
Long
EC
CORP
BM
N
2
N
N
N
Bristol-Myers Squibb Co.
HLYYNH7UQUORYSJQCN42
Bristol-Myers Squibb Co.
110122108
61212.00000000
NS
USD
3599265.60000000
0.394868659277
Long
EC
CORP
US
N
1
N
N
N
Subaru Corp.
549300N244BVAEE6HH86
Subaru Corp.
N/A
2100.00000000
NS
43973.33000000
0.004824231326
Long
EC
CORP
JP
N
2
N
N
N
Twilio, Inc.
5493004W8TRGD63APX93
Twilio, Inc.
90138FAB8
201000.00000000
PA
USD
623657.07000000
0.068420244140
Long
DBT
CORP
US
N
2
2023-06-01
Fixed
0.25000000
N
N
N
N
Y
Twilio, Inc.
Twilio, Inc.
USD
XXXX
N
N
N
Antero Resources Corp.
APVBKPOULHUX7YZLKU17
Antero Resources Corp.
03674PAL7
17000.00000000
PA
USD
15725.00000000
0.001725160173
Long
DBT
CORP
US
N
2
2021-11-01
Fixed
5.37500000
N
N
N
N
N
N
Encompass Health Corp.
549300FVRPM9DRQZRG64
Encompass Health Corp.
421924BK6
197000.00000000
PA
USD
197000.00000000
0.021612499471
Long
DBT
CORP
US
N
2
2024-11-01
Fixed
5.75000000
N
N
N
N
N
N
Flutter Entertainment plc
635400EG4YIJLJMZJ782
Flutter Entertainment plc
N/A
528.00000000
NS
69708.85000000
0.007647626821
Long
EC
CORP
IE
N
2
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
616.44000000
0.000067628472
N/A
DFE
N/A
N
2
Merrill Lynch International
AHYI0DDQ2LCHPGHJC422
27895.10000000
USD
26990.52000000
CHF
2020-07-29
616.44000000
N
N
N
PTT Exploration & Production PCL
2549001O8YYGP5N7Q076
PTT Exploration & Production PCL
N/A
21900.00000000
NS
65835.36000000
0.007222673518
Long
EC
CORP
TH
N
2
N
N
N
Media General, Inc.
N/A
Media General, Inc., CVR
584CVR997
23200.00000000
NS
USD
0.02000000
0.000000002194
Long
CORP
US
N
3
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
441.69000000
0.000048456979
N/A
DFE
N/A
N
2
BNP Paribas
R0MUWSFPU8MPRO8K5P83
345312.19000000
SEK
37512.49000000
USD
2020-07-29
441.69000000
N
N
N
Nissan Chemical Corp.
3538002E4L1CUGJFFU25
Nissan Chemical Corp.
N/A
400.00000000
NS
20579.53000000
0.002257741529
Long
EC
CORP
JP
N
2
N
N
N
Linde plc
8945002PAZHZLBGKGF02
Linde plc
N/A
3866.00000000
NS
USD
820017.26000000
0.089962551260
Long
EC
CORP
IE
N
1
N
N
N
E.Sun Financial Holding Co. Ltd.
549300X6CNQE512OPC90
E.Sun Financial Holding Co. Ltd.
N/A
111296.00000000
NS
105420.57000000
0.011565492453
Long
EC
CORP
TW
N
2
N
N
N
Fujitsu Ltd.
3538000246DHJLRTUZ24
Fujitsu Ltd.
N/A
700.00000000
NS
81958.34000000
0.008991495329
Long
EC
CORP
JP
N
2
N
N
N
American Credit Acceptance Receivables Trust
N/A
American Credit Acceptance Receivables Trust, Series 2017-2, Class E
02529LAJ0
130000.00000000
PA
USD
131971.37000000
0.014478330783
Long
ABS-O
CORP
US
Y
2
2024-03-12
Fixed
5.52000000
N
N
N
N
N
N
Royal Caribbean Cruises Ltd.
K2NEH8QNVW44JIWK7Z55
Royal Caribbean Cruises Ltd.
780153AY8
55000.00000000
PA
USD
56515.90000000
0.006200253090
Long
DBT
CORP
LR
Y
2
2023-06-01
Fixed
10.87500000
N
N
N
N
N
N
Maruichi Steel Tube Ltd.
N/A
Maruichi Steel Tube Ltd.
N/A
100.00000000
NS
2492.53000000
0.000273450778
Long
EC
CORP
JP
N
2
N
N
N
Meredith Corp.
549300YC8BC386CCTS24
Meredith Corp.
589433AB7
185000.00000000
PA
USD
153366.85000000
0.016825588652
Long
DBT
CORP
US
N
2
2026-02-01
Fixed
6.87500000
N
N
N
N
N
N
Hilton Worldwide Finance LLC
N/A
Hilton Worldwide Finance LLC
432891AH2
115000.00000000
PA
USD
112436.65000000
0.012335213394
Long
DBT
CORP
US
N
2
2025-04-01
Fixed
4.62500000
N
N
N
N
N
N
Velocity Commercial Capital Loan Trust
N/A
Velocity Commercial Capital Loan Trust, Series 2019-1, Class M1
92257CAB6
814746.32000000
PA
USD
807863.02000000
0.088629132450
Long
ABS-MBS
CORP
US
Y
3
2049-03-25
Variable
3.93999800
N
N
N
N
N
N
DT Auto Owner Trust
54930028PUXRRYF5WB25
DT Auto Owner Trust, Series 2017-4A, Class E
23342LAJ1
220000.00000000
PA
USD
226080.62000000
0.024802879595
Long
ABS-O
CORP
US
Y
2
2024-11-15
Fixed
5.15000000
N
N
N
N
N
N
FMG Resources August 2006 Pty. Ltd.
549300EFD6S2NFE9D745
FMG Resources August 2006 Pty. Ltd.
30251GAW7
15000.00000000
PA
USD
15450.00000000
0.001694990440
Long
DBT
CORP
AU
Y
2
2024-05-15
Fixed
5.12500000
N
N
N
N
N
N
GNMA
549300M8ZYFG0OCMTT87
GNMA, Series 2008-23, Class YA
383742WE9
333.88000000
PA
USD
382.27000000
0.000041938122
Long
ABS-MBS
USGA
US
N
2
2038-03-20
Fixed
5.25000000
N
N
N
N
N
N
Drive Auto Receivables Trust
N/A
Drive Auto Receivables Trust, Series 2019-2, Class D
26208RAG0
1105000.00000000
PA
USD
1122985.53000000
0.123200630322
Long
ABS-O
CORP
US
N
2
2026-08-17
Fixed
3.69000000
N
N
N
N
N
N
Tele2 AB
213800EKD193RVI9HL76
Tele2 AB, Class B
N/A
1709.00000000
NS
22749.95000000
0.002495854225
Long
EC
CORP
SE
N
2
N
N
N
SCSK Corp.
529900SNGFXMSUBB7864
SCSK Corp.
N/A
100.00000000
NS
4892.48000000
0.000536744778
Long
EC
CORP
JP
N
2
N
N
N
Valeo SA
5493006IH2N2WMIBB742
Valeo SA
N/A
784.00000000
NS
20678.29000000
0.002268576303
Long
EC
CORP
FR
N
2
N
N
N
GNMA
549300M8ZYFG0OCMTT87
GNMA, Series 2017-148
38380JBD9
1163756.95000000
PA
USD
57324.46000000
0.006288958687
Long
ABS-MBS
USGA
US
N
2
2059-07-16
Variable
0.65380000
N
N
N
N
N
N
adidas AG
549300JSX0Z4CW0V5023
adidas AG, Series ADS
N/A
200000.00000000
PA
249572.04000000
0.027380079099
Long
DBT
CORP
DE
Y
2
2023-09-12
Fixed
0.05000000
N
N
N
N
N
adidas AG
adidas AG
EUR
XXXX
N
N
N
XPO Logistics, Inc.
54930096DB9LCLPN7H13
XPO Logistics, Inc.
983793AG5
148000.00000000
PA
USD
155044.80000000
0.017009673391
Long
DBT
CORP
US
Y
2
2024-08-15
Fixed
6.75000000
N
N
N
N
N
N
Kajima Corp.
N/A
Kajima Corp.
N/A
1500.00000000
NS
17935.29000000
0.001967646932
Long
EC
CORP
JP
N
2
N
N
N
Fukuoka Financial Group, Inc.
N/A
Fukuoka Financial Group, Inc.
N/A
700.00000000
NS
11067.65000000
0.001214211064
Long
EC
CORP
JP
N
2
N
N
N
Orix JREIT, Inc.
N/A
Orix JREIT, Inc.
N/A
10.00000000
NS
13181.33000000
0.001446098922
Long
EC
CORP
JP
N
2
N
N
N
Spirit Airlines Pass-Through Trust
N/A
Spirit Airlines Pass-Through Trust, Series 2017-1, Class AA
84858WAA4
54651.75000000
PA
USD
51141.54000000
0.005610642163
Long
ABS-O
CORP
US
N
2
2030-02-15
Fixed
3.37500000
N
N
N
N
N
N
Marsh & McLennan Cos., Inc.
549300XMP3KDCKJXIU47
Marsh & McLennan Cos., Inc.
571748102
4995.00000000
NS
USD
536313.15000000
0.058837906958
Long
EC
CORP
US
N
1
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
-265.52000000
-0.00002912969
N/A
DFE
N/A
N
2
Merrill Lynch International
AHYI0DDQ2LCHPGHJC422
62184.23000000
USD
6683300.00000000
JPY
2020-07-29
-265.52000000
N
N
N
ABC-Mart, Inc.
353800AXWW4CMTSJWL33
ABC-Mart, Inc.
N/A
100.00000000
NS
5866.34000000
0.000643585127
Long
EC
CORP
JP
N
2
N
N
N
Jiangsu Yanghe Brewery Joint-Stock Co. Ltd.
N/A
Jiangsu Yanghe Brewery Joint-Stock Co. Ltd., Class A
N/A
3900.00000000
NS
58238.48000000
0.006389234102
Long
EC
CORP
CN
N
2
N
N
N
Nidec Corp.
353800IF171MZTNL6Y31
Nidec Corp.
N/A
10900.00000000
NS
734319.80000000
0.080560844108
Long
EC
CORP
JP
N
2
N
N
N
Copart, Inc.
549300KVYX3JWMYEHU61
Copart, Inc.
217204106
5402.00000000
NS
USD
449824.54000000
0.049349404228
Long
EC
CORP
US
N
1
N
N
N
GNMA
549300M8ZYFG0OCMTT87
GNMA, Series 2014-186
38378XW72
3231491.49000000
PA
USD
116863.01000000
0.012820821024
Long
ABS-MBS
USGA
US
N
2
2054-08-16
Variable
0.69972800
N
N
N
N
N
N
SES SA
5493008JPA4HYMH1HX51
SES SA
N/A
1328.00000000
NS
9074.08000000
0.000995500249
Long
EC
CORP
LU
N
2
N
N
N
BofA Finance LLC
549300CGZYSEY3ZSIW16
BofA Finance LLC
09709TED9
556000.00000000
PA
USD
537988.29000000
0.059021683417
Long
DBT
CORP
US
N
2
2023-05-01
Fixed
0.25000000
N
N
N
N
N
Voya Financial, Inc.
Voya Financial, Inc.
USD
XXXX
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
19174.18000000
0.002103563223
N/A
DFE
N/A
N
2
BNP Paribas
R0MUWSFPU8MPRO8K5P83
235083607.00000000
JPY
1954550.88000000
EUR
2020-07-22
19174.18000000
N
N
N
GNMA
549300M8ZYFG0OCMTT87
GNMA, Series 2015-59
38379KKY3
500473.91000000
PA
USD
22633.48000000
0.002483076520
Long
ABS-MBS
USGA
US
N
2
2056-06-16
Variable
0.93183800
N
N
N
N
N
N
Aviva plc
YF0Y5B0IB8SM0ZFG9G81
Aviva plc
N/A
12946.00000000
NS
43878.86000000
0.004813867200
Long
EC
CORP
GB
N
2
N
N
N
Frontier Communications Corp.
549300ZCZ76HYCS0H445
Frontier Communications Corp.
35906AAZ1
67000.00000000
PA
USD
23115.00000000
0.002535903174
Long
DBT
CORP
US
N
2
2025-09-15
Fixed
11.00000000
Y
N
N
N
N
N
Power Grid Corp. of India Ltd.
3358009SHWZ3DZEQ4Z56
Power Grid Corp. of India Ltd.
N/A
30213.00000000
NS
70075.67000000
0.007687869953
Long
EC
CORP
IN
N
2
N
N
N
Brenntag AG
NNROIXVWJ7CPSR27SV97
Brenntag AG
N/A
528.00000000
NS
27994.62000000
0.003071237106
Long
EC
CORP
DE
N
2
N
N
N
Nanya Technology Corp.
254900STKVKJBRRO0835
Nanya Technology Corp.
N/A
18000.00000000
NS
37555.08000000
0.004120097191
Long
EC
CORP
TW
N
2
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
12902.04000000
0.001415458541
N/A
DFE
N/A
N
2
BNP Paribas
R0MUWSFPU8MPRO8K5P83
117188875.00000000
JPY
977315.91000000
EUR
2020-07-22
12902.04000000
N
N
N
UltraTech Cement Ltd.
335800PC9O9B4BQHG814
UltraTech Cement Ltd.
N/A
1554.00000000
NS
80337.39000000
0.008813663953
Long
EC
CORP
IN
N
2
N
N
N
HDFC Bank Ltd.
335800ZQ6I4E2JXENC50
HDFC Bank Ltd.
40415F101
48777.00000000
NS
USD
2217402.42000000
0.243267048884
Long
EC
CORP
IN
N
1
N
N
N
Danone SA
969500KMUQ2B6CBAF162
Danone SA
N/A
2112.00000000
NS
146600.67000000
0.016083283771
Long
EC
CORP
FR
N
2
N
N
N
Wyndham Destinations, Inc.
T4VNTWMFQ7JQB65L7T35
Wyndham Destinations, Inc.
98310WAN8
34000.00000000
PA
USD
32725.00000000
0.003590198199
Long
DBT
CORP
US
N
2
2027-04-01
Fixed
5.74999900
N
N
N
N
N
N
Bausch Health Cos., Inc.
B3BS7ACMDUWISF18KY76
Bausch Health Cos., Inc.
91831AAB7
11000.00000000
PA
USD
10972.50000000
0.001203772337
Long
DBT
CORP
CA
Y
2
2023-05-15
Fixed
5.87500000
N
N
N
N
N
N
Jazz Pharmaceuticals plc
635400GAUMJCLEZRRV50
Jazz Pharmaceuticals plc
N/A
3384.00000000
NS
USD
373390.56000000
0.040963976043
Long
EC
CORP
IE
N
1
N
N
N
Iberdrola SA
5QK37QC7NWOJ8D7WVQ45
Iberdrola SA
N/A
109347.00000000
NS
1276591.93000000
0.140052499555
Long
EC
CORP
ES
N
2
N
N
N
NuStar Logistics LP
N62BF2PKP51FIIOIUN20
NuStar Logistics LP
67059TAF2
33000.00000000
PA
USD
32340.00000000
0.003547960573
Long
DBT
CORP
US
N
2
2026-06-01
Fixed
6.00000000
N
N
N
N
N
N
Mando Corp.
988400P5GM9DGVVOJQ79
Mando Corp.
N/A
1357.00000000
NS
25529.58000000
0.002800802204
Long
EC
CORP
KR
N
2
N
N
N
Bellemeade Re Ltd.
254900K56RF3Z7VQ3U81
Bellemeade Re Ltd., Series 2019-1A, Class M1A
07876RAA4
82417.15000000
PA
USD
82075.71000000
0.009004371771
Long
ABS-MBS
CORP
BM
Y
3
2029-03-25
Floating
1.48450000
N
N
N
N
N
N
Navient Corp.
54930067J0ZNOEBRW338
Navient Corp.
63938CAK4
50000.00000000
PA
USD
42000.00000000
0.004607741004
Long
DBT
CORP
US
N
2
2027-03-15
Fixed
5.00000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, Connecticut Avenue Securities, Series 2018-C04, Class 2M2
30711XR63
294648.07000000
PA
USD
289951.03000000
0.031809982145
Long
ABS-MBS
CORP
US
N
2
2030-12-25
Floating
2.73449900
N
N
N
N
N
N
Silicon Laboratories, Inc.
4PRDF8Q9TDHRVZKZSZ47
Silicon Laboratories, Inc.
826919AB8
209000.00000000
PA
USD
251729.49000000
0.027616768881
Long
DBT
CORP
US
N
2
2022-03-01
Fixed
1.37500000
N
N
N
N
Y
Silicon Laboratories, Inc.
Silicon Laboratories, Inc.
USD
XXXX
N
N
N
Bausch Health Cos., Inc.
B3BS7ACMDUWISF18KY76
Bausch Health Cos., Inc.
91831AAC5
267000.00000000
PA
USD
270810.09000000
0.029710065619
Long
DBT
CORP
CA
Y
2
2025-04-15
Fixed
6.12500000
N
N
N
N
N
N
Publicis Groupe SA
2138004KW8BV57III342
Publicis Groupe SA
N/A
741.00000000
NS
24071.40000000
0.002640828019
Long
EC
CORP
FR
N
2
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
36.70000000
0.000004026287
N/A
DFE
N/A
N
2
Merrill Lynch International
AHYI0DDQ2LCHPGHJC422
229813.60000000
USD
1523610.62000000
DKK
2020-07-29
36.70000000
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
119434.00000000
0.013102879501
N/A
DFE
N/A
N
2
Goldman Sachs International
W22LROWP2IHZNBB6K528
8816555.91000000
EUR
10029334.89000000
USD
2020-07-22
119434.00000000
N
N
N
Tenneco, Inc.
549300U0EXXFAQFAD785
Tenneco, Inc.
880349AR6
160000.00000000
PA
USD
103900.80000000
0.011398761345
Long
DBT
CORP
US
N
2
2026-07-15
Fixed
5.00000000
N
N
N
N
N
N
METRO AG
5299006EQ03K3SSUYS12
METRO AG
N/A
657.00000000
NS
6235.05000000
0.000684035608
Long
EC
CORP
DE
N
2
N
N
N
Stora Enso OYJ
7437000ZP669LKUTZ738
Stora Enso OYJ, Class R
N/A
2105.00000000
NS
25195.47000000
0.002764147624
Long
EC
CORP
FI
N
2
N
N
N
Seven & i Holdings Co. Ltd.
52990037G8JRM3TWGY86
Seven & i Holdings Co. Ltd.
N/A
2500.00000000
NS
81783.80000000
0.008972346874
Long
EC
CORP
JP
N
2
N
N
N
Origin Energy Ltd.
ZSN2LWNPYW6ISMRUC664
Origin Energy Ltd.
N/A
6026.00000000
NS
24521.28000000
0.002690183507
Long
EC
CORP
AU
N
2
N
N
N
Hapvida Participacoes e Investimentos SA
N/A
Hapvida Participacoes e Investimentos SA
N/A
2269.00000000
NS
26244.48000000
0.002879232538
Long
EC
CORP
BR
Y
1
N
N
N
Alcoa Nederland Holding BV
5493000UL1QLQLT1VQ42
Alcoa Nederland Holding BV
013822AC5
200000.00000000
PA
USD
204876.00000000
0.022476560617
Long
DBT
CORP
NL
Y
2
2028-05-15
Fixed
6.12500000
N
N
N
N
N
N
Xero Investments Ltd.
25490002CIY32NFE4689
Xero Investments Ltd.
N/A
474000.00000000
PA
USD
692060.64000000
0.075924671148
Long
DBT
CORP
NZ
Y
2
2023-10-04
Fixed
2.37500000
N
N
N
N
N
Xero Ltd.
Xero Ltd.
AUD
XXXX
N
N
N
Northrop Grumman Corp.
RIMU48P07456QXSO0R61
Northrop Grumman Corp.
666807102
3572.00000000
NS
USD
1098175.68000000
0.120478788342
Long
EC
CORP
US
N
1
N
N
N
United States of America
254900HROIFWPRGM1V77
U.S. Treasury Notes
912828G87
1500000.00000000
PA
USD
1543769.54000000
0.169364052625
Long
DBT
UST
US
N
2
2021-12-31
Fixed
2.12500000
N
N
N
N
N
N
Reliance Industries Ltd.
5493003UOETFYRONLG31
Reliance Industries Ltd.
N/A
4818.00000000
NS
109592.25000000
0.012023159620
Long
EC
CORP
IN
N
2
N
N
N
Moscow Exchange MICEX-RTS PJSC
253400M5M1222KPNWE87
Moscow Exchange MICEX-RTS PJSC
N/A
42251.00000000
NS
USD
67401.25000000
0.007394464365
Long
EC
CORP
RU
N
1
N
N
N
ICU Medical, Inc.
5493003NRW7LS2QZRH60
ICU Medical, Inc.
44930G107
1626.00000000
NS
USD
299688.06000000
0.032878213392
Long
EC
CORP
US
N
1
N
N
N
Prestige Auto Receivables Trust
N/A
Prestige Auto Receivables Trust, Series 2017-1A, Class D
74113YAF1
230000.00000000
PA
USD
233979.32000000
0.025669431115
Long
ABS-O
CORP
US
Y
2
2023-10-16
Fixed
3.61000000
N
N
N
N
N
N
N/A
N/A
FTSE 100 Index
N/A
-120.00000000
NC
-164578.40000000
-0.01805558671
N/A
DE
GB
N
2
ICE Clear Europe
5R6J7JCQRIPQR1EEP713
Short
FTSE 100 Index
GB0001383545
2020-09-18
-7365550.90000000
GBP
-164578.40000000
N
N
N
Yamada Denki Co. Ltd.
353800MDZ4K1DQKLO464
Yamada Denki Co. Ltd.
N/A
2600.00000000
NS
12897.06000000
0.001414912195
Long
EC
CORP
JP
N
2
N
N
N
Global Payments, Inc.
549300NOMHGVQBX6S778
Global Payments, Inc.
37940X102
5719.00000000
NS
USD
970056.78000000
0.106423104797
Long
EC
CORP
US
N
1
N
N
N
Direct Line Insurance Group plc
213800FF2R23ALJQOP04
Direct Line Insurance Group plc
N/A
4704.00000000
NS
15772.78000000
0.001730402027
Long
EC
CORP
GB
N
2
N
N
N
Oji Holdings Corp.
529900LVC9GIIYUGE243
Oji Holdings Corp.
N/A
3200.00000000
NS
14929.17000000
0.001637851161
Long
EC
CORP
JP
N
2
N
N
N
AMC Entertainment Holdings, Inc.
549300ZO77UNR6NRBR11
AMC Entertainment Holdings, Inc.
00165CAB0
25000.00000000
PA
USD
8000.00000000
0.000877664953
Long
DBT
CORP
US
N
2
2026-11-15
Fixed
5.87500000
N
N
N
N
N
N
RELX plc
549300WSX3VBUFFJOO66
RELX plc
N/A
6630.00000000
NS
153456.43000000
0.016835416305
Long
EC
CORP
GB
N
2
N
N
N
Angel Oak Mortgage Trust
N/A
Angel Oak Mortgage Trust, Series 2019-5, Class A3
03464KAC2
1671186.95000000
PA
USD
1672859.14000000
0.183526229842
Long
ABS-MBS
CORP
US
Y
2
2049-10-25
Variable
2.92100000
N
N
N
N
N
N
Honda Motor Co. Ltd.
549300P7ZYCQJ36CCS16
Honda Motor Co. Ltd.
N/A
5600.00000000
NS
143324.55000000
0.015723866807
Long
EC
CORP
JP
N
2
N
N
N
Summit Materials LLC
N/A
Summit Materials LLC
86614RAL1
85000.00000000
PA
USD
83937.50000000
0.009208625250
Long
DBT
CORP
US
Y
2
2025-06-01
Fixed
5.12500000
N
N
N
N
N
N
AP Moller - Maersk A/S
549300D2K6PKKKXVNN73
AP Moller - Maersk A/S, Class A
N/A
12.00000000
NS
13121.48000000
0.001439532891
Long
EC
CORP
DK
N
2
N
N
N
McDonald's Corp.
UE2136O97NLB5BYP9H04
McDonald's Corp.
580135101
5451.00000000
NS
USD
1005545.97000000
0.110316557081
Long
EC
CORP
US
N
1
N
N
N
AMC Entertainment Holdings, Inc.
549300ZO77UNR6NRBR11
AMC Entertainment Holdings, Inc.
00165CAD6
45000.00000000
PA
USD
13950.00000000
0.001530428262
Long
DBT
CORP
US
N
2
2027-05-15
Fixed
6.12500000
N
N
N
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
-70.24000000
-0.00000770589
N/A
DFE
N/A
N
2
Merrill Lynch International
AHYI0DDQ2LCHPGHJC422
48423.81000000
USD
39015.81000000
GBP
2020-07-29
-70.24000000
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
-1774.84000000
-0.00019471435
N/A
DFE
N/A
N
2
Barclays Capital
AC28XWWI3WIBK2824319
1087767.10000000
USD
891642689.00000000
CLP
2020-07-22
-1774.84000000
N
N
N
Frontier Communications Corp.
549300ZCZ76HYCS0H445
Frontier Communications Corp.
35906ABA5
207000.00000000
PA
USD
195718.50000000
0.021471908516
Long
DBT
CORP
US
Y
2
2026-04-01
Fixed
8.50000000
N
N
N
N
N
N
Evergy, Inc.
549300PGTHDQY6PSUI61
Evergy, Inc.
391164AE0
35000.00000000
PA
USD
35961.91000000
0.003945313506
Long
DBT
CORP
US
N
2
2021-06-01
Fixed
4.85000000
N
N
N
N
N
N
WaMu Mortgage Pass-Through Certificates Trust
N/A
WaMu Mortgage Pass-Through Certificates Trust, Series 2005-AR10, Class 1A3
92922FW46
1737533.19000000
PA
USD
1790548.98000000
0.196437760831
Long
ABS-MBS
CORP
US
N
2
2035-09-25
Variable
4.12412000
N
N
N
N
N
N
Continental AG
529900A7YD9C0LLXM621
Continental AG
N/A
377.00000000
NS
37063.38000000
0.004066153708
Long
EC
CORP
DE
N
2
N
N
N
Logitech International SA
549300SN6PRK6IJJC215
Logitech International SA (Registered)
N/A
562.00000000
NS
36827.53000000
0.004040279049
Long
EC
CORP
CH
N
2
N
N
N
SEB SA
969500WP61NBK098AC47
SEB SA
N/A
78.00000000
NS
12938.61000000
0.001419470567
Long
EC
CORP
FR
N
2
N
N
N
Alrosa PJSC
894500DKUWVBYZLLE651
Alrosa PJSC
N/A
60709.00000000
NS
USD
55203.06000000
0.006056223883
Long
EC
CORP
RU
N
1
N
N
N
Galaxy Entertainment Group Ltd.
549300ZSEBV3HR826S10
Galaxy Entertainment Group Ltd.
N/A
7000.00000000
NS
48018.25000000
0.005267991892
Long
EC
CORP
HK
N
2
N
N
N
Prologis, Inc.
529900DFH19P073LZ636
Prologis, Inc.
74340W103
30414.00000000
NS
USD
2838538.62000000
0.311410733119
Long
EC
CORP
US
N
1
N
N
N
ASE Technology Holding Co. Ltd.
300300GO8QHPMV87NZ73
ASE Technology Holding Co. Ltd.
N/A
17000.00000000
NS
39151.12000000
0.004295195737
Long
EC
CORP
TW
N
2
N
N
N
United Utilities Group plc
2138002IEYQAOC88ZJ59
United Utilities Group plc
N/A
2331.00000000
NS
26192.83000000
0.002873566114
Long
EC
CORP
GB
N
2
N
N
N
FANUC Corp.
529900QTSW745LOKW705
FANUC Corp.
N/A
3500.00000000
NS
627444.97000000
0.068835807525
Long
EC
CORP
JP
N
2
N
N
N
Southwest Airlines Co.
UDTZ87G0STFETI6HGH41
Southwest Airlines Co.
844741108
11136.00000000
NS
USD
380628.48000000
0.041758034633
Long
EC
CORP
US
N
1
N
N
N
Tupras Turkiye Petrol Rafinerileri A/S
789000RCNG97UV50EE03
Tupras Turkiye Petrol Rafinerileri A/S
N/A
3000.00000000
NS
39244.05000000
0.004305390913
Long
EC
CORP
TR
N
2
N
N
N
Capitec Bank Holdings Ltd.
N/A
Capitec Bank Holdings Ltd.
N/A
6676.00000000
NS
331798.93000000
0.036401036544
Long
EC
CORP
ZA
N
2
N
N
N
JSR Corp.
353800TL8FC0AWR22506
JSR Corp.
N/A
700.00000000
NS
13579.92000000
0.001489827481
Long
EC
CORP
JP
N
2
N
N
N
Sumitomo Chemical Co. Ltd.
353800RSAU9BD8U4DM91
Sumitomo Chemical Co. Ltd.
N/A
5000.00000000
NS
15044.00000000
0.001650448944
Long
EC
CORP
JP
N
2
N
N
N
Unilever Indonesia Tbk. PT
549300MUHUFNRRI19O72
Unilever Indonesia Tbk. PT
N/A
301400.00000000
NS
167254.12000000
0.018349134924
Long
EC
CORP
ID
N
2
N
N
N
American Credit Acceptance Receivables Trust
N/A
American Credit Acceptance Receivables Trust, Series 2019-1, Class C
02528CAE2
1085000.00000000
PA
USD
1102087.56000000
0.120907953340
Long
ABS-O
CORP
US
Y
2
2025-04-14
Fixed
3.50000000
N
N
N
N
N
N
Woodside Petroleum Ltd.
2549005ZC5RXAOO7FH41
Woodside Petroleum Ltd.
980228100
3250.00000000
NS
49116.16000000
0.005388441533
Long
EC
CORP
AU
N
2
N
N
N
T-Mobile USA, Inc.
549300V2JRLO5DIFGE82
T-Mobile USA, Inc.
87264AAU9
208000.00000000
PA
USD
210487.68000000
0.023092207475
Long
DBT
CORP
US
N
2
2026-02-01
Fixed
4.50000000
N
N
N
N
N
N
Isetan Mitsukoshi Holdings Ltd.
529900SY5RZO92EFG035
Isetan Mitsukoshi Holdings Ltd.
N/A
1000.00000000
NS
5755.01000000
0.000631371322
Long
EC
CORP
JP
N
2
N
N
N
Royal Dutch Shell plc
21380068P1DRHMJ8KU70
Royal Dutch Shell plc, Class A
N/A
46747.00000000
NS
748478.43000000
0.082114160775
Long
EC
CORP
GB
N
2
N
N
N
Ping An Insurance Group Co. of China Ltd.
529900M9MC28JLN35U89
Ping An Insurance Group Co. of China Ltd., Class H
N/A
6500.00000000
NS
65455.91000000
0.007181044772
Long
EC
CORP
CN
N
2
N
N
N
Gulf Finance LLC
N/A
Gulf Finance LLC, 1st Lien Term Loan B
40227UAB2
51617.96000000
PA
USD
33035.49000000
0.003624261472
Long
LON
CORP
US
N
2
2023-08-25
Variable
6.25000000
N
N
N
N
N
N
McDonald's Holdings Co. Japan Ltd.
529900FY9FV0AYNRC729
McDonald's Holdings Co. Japan Ltd.
N/A
200.00000000
NS
10809.51000000
0.001185891010
Long
EC
CORP
JP
N
2
N
N
N
Gray Television, Inc.
529900TM5726KDN7UU35
Gray Television, Inc.
389284AA8
120000.00000000
PA
USD
123000.00000000
0.013494098654
Long
DBT
CORP
US
Y
2
2027-05-15
Fixed
7.00000000
N
N
N
N
N
N
N/A
N/A
EURO STOXX 50 Index
N/A
388.00000000
NC
623405.05000000
0.068392595500
N/A
DE
DE
N
2
Eurex Clearing
529900LN3S50JPU47S06
Long
EURO STOXX 50 Index
EU0009658145
2020-09-18
12540247.17000000
EUR
623405.05000000
N
N
N
National Grid plc
8R95QZMKZLJX5Q2XR704
National Grid plc
N/A
11903.00000000
NS
145221.31000000
0.015931956779
Long
EC
CORP
GB
N
2
N
N
N
Intelsat Jackson Holdings SA
8XJ8KF85PBKK1TLMFN29
Intelsat Jackson Holdings SA
45824TBA2
183000.00000000
PA
USD
110028.75000000
0.012071047214
Long
DBT
CORP
LU
Y
2
2024-10-15
Fixed
8.50000000
N
N
N
N
N
N
Equatorial Energia SA
N/A
Equatorial Energia SA
N/A
4445.00000000
NS
19069.50000000
0.002092078978
Long
EC
CORP
BR
N
1
N
N
N
Knight-Swift Transportation Holdings, Inc.
N/A
Knight-Swift Transportation Holdings, Inc.
499049104
8280.00000000
NS
USD
345358.80000000
0.037888664377
Long
EC
CORP
US
N
1
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
-8072.26000000
-0.00088559246
N/A
DFE
N/A
N
2
Goldman Sachs International
W22LROWP2IHZNBB6K528
1019694.51000000
USD
830581965.00000000
CLP
2020-07-22
-8072.26000000
N
N
N
Suzuken Co. Ltd.
N/A
Suzuken Co. Ltd.
N/A
200.00000000
NS
7471.94000000
0.000819732483
Long
EC
CORP
JP
N
2
N
N
N
UniCredit SpA
549300TRUWO2CD2G5692
UniCredit SpA
N/A
6874.00000000
NS
63441.65000000
0.006960064096
Long
EC
CORP
IT
N
2
N
N
N
Community Health Systems, Inc.
5493007X5NC5XI1BB106
Community Health Systems, Inc.
12543DAY6
100000.00000000
PA
USD
94196.00000000
0.010334065990
Long
DBT
CORP
US
N
2
2023-03-31
Fixed
6.25000000
N
N
N
N
N
N
Panasonic Corp.
254900GE1G59KGWPHX32
Panasonic Corp.
N/A
7600.00000000
NS
66644.77000000
0.007311472367
Long
EC
CORP
JP
N
2
N
N
N
First Republic Bank
YWC0TIKBQM2JV8L4IV08
First Republic Bank
33616C100
8477.00000000
NS
USD
898477.23000000
0.098570246997
Long
EC
CORP
US
N
1
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
-86.49000000
-0.00000948865
N/A
DFE
N/A
N
2
Merrill Lynch International
AHYI0DDQ2LCHPGHJC422
64659.91000000
GBP
80048.65000000
USD
2020-07-29
-86.49000000
N
N
N
Goldman Sachs Group, Inc. (The)
784F5XWPLTWKTBV3E584
Goldman Sachs Group, Inc. (The), Series P
38148BAD0
100000.00000000
PA
USD
92500.00000000
0.010148001020
Long
DBT
CORP
US
N
2
2022-11-10
Variable
5.00000000
N
N
N
N
N
N
1011778 BC ULC
N/A
1011778 BC ULC
68245XAE9
145000.00000000
PA
USD
144275.00000000
0.015828138889
Long
DBT
CORP
CA
Y
2
2025-10-15
Fixed
5.00000000
N
N
N
N
N
N
Tsuruha Holdings, Inc.
N/A
Tsuruha Holdings, Inc.
N/A
100.00000000
NS
13811.32000000
0.001515213940
Long
EC
CORP
JP
N
2
N
N
N
Bombardier, Inc.
W7L3VLU8EHQY34Z36697
Bombardier, Inc.
097751BM2
195000.00000000
PA
USD
127257.00000000
0.013961126117
Long
DBT
CORP
CA
Y
2
2025-03-15
Fixed
7.50000000
N
N
N
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
7254.13000000
0.000795836958
N/A
DFE
N/A
N
2
Barclays Bank
G5GSEF7VJP5I7OUK5573
24864321.51000000
MXN
1086005.87000000
USD
2020-07-22
7254.13000000
N
N
N
Merrill Lynch Mortgage Investors Trust
N/A
Merrill Lynch Mortgage Investors Trust, Series 2005-FM1, Class M1
59020UC29
219565.99000000
PA
USD
212452.10000000
0.023307720299
Long
ABS-O
CORP
US
N
2
2036-05-25
Floating
0.90450000
N
N
N
N
N
N
CSPC Pharmaceutical Group Ltd.
529900M3XQCW234H8O91
CSPC Pharmaceutical Group Ltd.
N/A
48000.00000000
NS
90906.58000000
0.009973189909
Long
EC
CORP
HK
N
2
N
N
N
Zimmer Biomet Holdings, Inc.
2P2YLDVPES3BXQ1FRB91
Zimmer Biomet Holdings, Inc.
98956P102
9583.00000000
NS
USD
1143826.88000000
0.125487095631
Long
EC
CORP
US
N
1
N
N
N
Booking Holdings, Inc.
FXM8FAOHMYDIPD38UZ17
Booking Holdings, Inc.
09857LAM0
551000.00000000
PA
USD
680659.67000000
0.074673892173
Long
DBT
CORP
US
Y
2
2025-05-01
Fixed
0.75000000
N
N
N
N
N
Booking Holdings, Inc.
Booking Holdings, Inc.
USD
XXXX
N
N
N
Avis Budget Car Rental LLC
N/A
Avis Budget Car Rental LLC
053773BB2
165000.00000000
PA
USD
135506.25000000
0.014866135819
Long
DBT
CORP
US
Y
2
2024-04-01
Fixed
6.37500000
N
N
N
N
N
N
Mastercard, Inc.
AR5L2ODV9HN37376R084
Mastercard, Inc., Class A
57636Q104
17751.00000000
NS
USD
5248970.70000000
0.575854702941
Long
EC
CORP
US
N
1
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
-3450.94000000
-0.00037859613
N/A
DFE
N/A
N
2
BNP Paribas
R0MUWSFPU8MPRO8K5P83
444923.21000000
USD
47655769.00000000
JPY
2020-07-22
-3450.94000000
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
-8206.10000000
-0.00090027579
N/A
DFE
N/A
N
2
HSBC Bank
MP6I5ZYZBEU3UXPYFY54
1118275.28000000
USD
987596.86000000
EUR
2020-07-22
-8206.10000000
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
-416.46000000
-0.00004568904
N/A
DFE
N/A
N
2
State Street Bank and Trust
571474TGEMMWANRLN572
41118.39000000
EUR
45808.80000000
USD
2020-07-29
-416.46000000
N
N
N
Kirin Holdings Co. Ltd.
353800GBVL72LLMTYM96
Kirin Holdings Co. Ltd.
497350108
2900.00000000
NS
61131.31000000
0.006706601040
Long
EC
CORP
JP
N
2
N
N
N
Nippon Express Co. Ltd.
529900NTHOQWZAW95H82
Nippon Express Co. Ltd.
N/A
200.00000000
NS
10370.70000000
0.001137749991
Long
EC
CORP
JP
N
2
N
N
N
Bayerische Motoren Werke AG
YEH5ZCD6E441RHVHD759
Bayerische Motoren Werke AG
N/A
1133.00000000
NS
72331.51000000
0.007935353916
Long
EC
CORP
DE
N
2
N
N
N
Obayashi Corp.
529900YT4O5S0LCXWD54
Obayashi Corp.
N/A
2400.00000000
NS
22563.51000000
0.002475400243
Long
EC
CORP
JP
N
2
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
57996.47000000
0.006362683640
N/A
DFE
N/A
N
2
Goldman Sachs
FOR8UP27PHTHYVLBNG30
3775033.98000000
BRL
751459.91000000
USD
2020-07-22
57996.47000000
N
N
N
Dairy Farm International Holdings Ltd.
213800NOTG41PZVNNX48
Dairy Farm International Holdings Ltd.
N/A
1400.00000000
NS
USD
6541.78000000
0.000717686379
Long
EC
CORP
BM
N
2
N
N
N
Swisscom AG
5493005SL9HHOXS3B739
Swisscom AG (Registered)
N/A
89.00000000
NS
46671.70000000
0.005120264424
Long
EC
CORP
CH
N
2
N
N
N
MGM Resorts International
54930066VBP7DZEGGJ87
MGM Resorts International
552953CD1
481000.00000000
PA
USD
437710.00000000
0.048020340830
Long
DBT
CORP
US
N
2
2026-09-01
Fixed
4.62500000
N
N
N
N
N
N
MEG Energy Corp.
5493002WXPTG5ZC1T326
MEG Energy Corp.
552704AC2
61000.00000000
PA
USD
52307.50000000
0.005738557442
Long
DBT
CORP
CA
Y
2
2024-03-31
Fixed
7.00000000
N
N
N
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
-329.73000000
-0.00003617405
N/A
DFE
N/A
N
2
Merrill Lynch International
AHYI0DDQ2LCHPGHJC422
198515.04000000
CHF
209405.16000000
USD
2020-08-03
-329.73000000
N
N
N
Yuanta Financial Holding Co. Ltd.
21380045JG57LJEFFE13
Yuanta Financial Holding Co. Ltd.
N/A
108000.00000000
NS
64273.83000000
0.007051360999
Long
EC
CORP
TW
N
2
N
N
N
Weifu High-Technology Group Co. Ltd.
N/A
Weifu High-Technology Group Co. Ltd., Class A
N/A
8300.00000000
NS
24392.32000000
0.002676035548
Long
EC
CORP
CN
N
2
N
N
N
T-Mobile USA, Inc.
549300V2JRLO5DIFGE82
T-Mobile USA, Inc.
87264ABA2
95000.00000000
PA
USD
103551.90000000
0.011360484182
Long
DBT
CORP
US
Y
2
2025-04-15
Fixed
3.50000000
N
N
N
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
-6757.40000000
-0.00074134164
N/A
DFE
N/A
N
2
BNP Paribas
R0MUWSFPU8MPRO8K5P83
1065575.23000000
USD
942000.00000000
EUR
2020-07-22
-6757.40000000
N
N
N
Service Corp. International
549300RKVM2ME20JHZ15
Service Corp. International
817565CE2
65000.00000000
PA
USD
69940.00000000
0.007672985852
Long
DBT
CORP
US
N
2
2029-06-01
Fixed
5.12500000
N
N
N
N
N
N
Community Health Systems, Inc.
5493007X5NC5XI1BB106
Community Health Systems, Inc.
12543DBC3
24000.00000000
PA
USD
22684.80000000
0.002488706741
Long
DBT
CORP
US
Y
2
2026-03-15
Fixed
8.00000000
N
N
N
N
N
N
Wynn Resorts Finance LLC
N/A
Wynn Resorts Finance LLC
983133AA7
355000.00000000
PA
USD
317281.25000000
0.034808329177
Long
DBT
CORP
US
Y
2
2029-10-01
Fixed
5.12500000
N
N
N
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
-162671.58000000
-0.01784639308
N/A
DFE
N/A
N
2
Barclays Capital
AC28XWWI3WIBK2824319
2335049.01000000
USD
11825855.69000000
BRL
2020-07-22
-162671.58000000
N
N
N
MGM Resorts International
54930066VBP7DZEGGJ87
MGM Resorts International
552953CG4
395000.00000000
PA
USD
391081.60000000
0.042904826767
Long
DBT
CORP
US
N
2
2025-05-01
Fixed
6.75000000
N
N
N
N
N
N
CCO Holdings LLC
N/A
CCO Holdings LLC
1248EPBP7
52000.00000000
PA
USD
53625.00000000
0.005883097889
Long
DBT
CORP
US
Y
2
2024-04-01
Fixed
5.87500000
N
N
N
N
N
N
Ryman Hospitality Properties, Inc.
529900GCCWW9SRMPJR11
Ryman Hospitality Properties, Inc.
749571AE5
120000.00000000
PA
USD
106200.00000000
0.011651002253
Long
DBT
CORP
US
Y
2
2027-10-15
Fixed
4.75000000
N
N
N
N
N
N
Chubu Electric Power Co., Inc.
529900A76GOP0PGNHT63
Chubu Electric Power Co., Inc.
N/A
2300.00000000
NS
28846.46000000
0.003164690870
Long
EC
CORP
JP
N
2
N
N
N
GLS Auto Receivables Issuer Trust
N/A
GLS Auto Receivables Issuer Trust, Series 2019-2A, Class D
36257NAD5
550000.00000000
PA
USD
543989.33000000
0.059680046228
Long
ABS-O
CORP
US
Y
2
2026-02-17
Fixed
4.52000000
N
N
N
N
N
N
Bear Stearns ALT-A Trust
N/A
Bear Stearns ALT-A Trust, Series 2005-4, Class 23A2
07386HSZ5
235057.37000000
PA
USD
228480.11000000
0.025066123130
Long
ABS-MBS
CORP
US
N
2
2035-05-25
Variable
3.76861000
N
N
N
N
N
N
Ryman Healthcare Ltd.
529900UR74KKRFG56I57
Ryman Healthcare Ltd.
N/A
1359.00000000
NS
11529.71000000
0.001264902798
Long
EC
CORP
NZ
N
2
N
N
N
Mattel, Inc.
549300VELLG24KHTJ564
Mattel, Inc.
577081AY8
96000.00000000
PA
USD
90416.64000000
0.009919439513
Long
DBT
CORP
US
N
2
2023-03-15
Fixed
3.15000000
N
N
N
N
N
N
Siemens Healthineers AG
529900QBVWXMWANH7H45
Siemens Healthineers AG
N/A
514.00000000
NS
24707.02000000
0.002710560693
Long
EC
CORP
DE
Y
2
N
N
N
MGM Resorts International
54930066VBP7DZEGGJ87
MGM Resorts International
552953CE9
14000.00000000
PA
USD
13842.78000000
0.001518665357
Long
DBT
CORP
US
N
2
2025-06-15
Fixed
5.75000000
N
N
N
N
N
N
Heineken NV
724500K5PTPSST86UQ23
Heineken NV
N/A
887.00000000
NS
81776.44000000
0.008971539422
Long
EC
CORP
NL
N
1
N
N
N
Merck KGaA
529900OAREIS0MOPTW25
Merck KGaA
N/A
425.00000000
NS
49490.36000000
0.005429494311
Long
EC
CORP
DE
N
2
N
N
N
GNMA
549300M8ZYFG0OCMTT87
GNMA, Series 2009-42, Class CD
38374UWW7
4908.53000000
PA
USD
5588.17000000
0.000613067620
Long
ABS-MBS
USGA
US
N
2
2039-06-20
Fixed
5.00000000
N
N
N
N
N
N
Sandvik AB
5299008ZUAXN43LVZF54
Sandvik AB
N/A
3861.00000000
NS
72686.25000000
0.007974271775
Long
EC
CORP
SE
N
2
N
N
N
Daiwa House Industry Co. Ltd.
N/A
Daiwa House Industry Co. Ltd.
N/A
2000.00000000
NS
47229.79000000
0.005181491428
Long
EC
CORP
JP
N
2
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
8503.35000000
0.000932886534
N/A
DFE
N/A
N
2
Barclays Capital
AC28XWWI3WIBK2824319
11898359975.62000000
COP
3169017.12000000
USD
2020-07-22
8503.35000000
N
N
N
Royalty Pharma plc
N/A
Royalty Pharma plc, Class A
N/A
10898.00000000
NS
USD
529097.90000000
0.058046335452
Long
EC
CORP
GB
N
1
N
N
N
Eaton Corp. plc
549300VDIGTMXUNT7H71
Eaton Corp. plc
N/A
13854.00000000
NS
USD
1211947.92000000
0.132960526804
Long
EC
CORP
IE
N
1
N
N
N
MTR Corp. Ltd.
254900IH4U9NHH9AQM97
MTR Corp. Ltd.
N/A
5000.00000000
NS
26003.74000000
0.002852821406
Long
EC
CORP
HK
N
2
N
N
N
Hamamatsu Photonics KK
N/A
Hamamatsu Photonics KK
N/A
500.00000000
NS
21772.36000000
0.002388604664
Long
EC
CORP
JP
N
2
N
N
N
Square Enix Holdings Co. Ltd.
529900KCRNRDF8DIA489
Square Enix Holdings Co. Ltd.
N/A
300.00000000
NS
15199.24000000
0.001667480032
Long
EC
CORP
JP
N
2
N
N
N
KOC Holding A/S
7890005U0H950VH19H45
KOC Holding A/S
N/A
44038.00000000
NS
115826.78000000
0.012707138180
Long
EC
CORP
TR
N
2
N
N
N
JPMorgan Prime Money Market Fund
N/A
JPMorgan Prime Money Market Fund, Class IM
46637K844
64325945.44000000
NS
USD
64383838.79000000
7.063429856949
Long
STIV
RF
US
N
1
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
1655.85000000
0.000181660189
N/A
DFE
N/A
N
2
State Street Bank and Trust
571474TGEMMWANRLN572
29475448.00000000
JPY
274736.77000000
USD
2020-07-29
1655.85000000
N
N
N
FREMF Mortgage Trust
N/A
FREMF Mortgage Trust, Series 2017-KF40, Class B
30306JAG1
410200.15000000
PA
USD
389354.07000000
0.042715302700
Long
ABS-MBS
USGSE
US
Y
2
2027-11-25
Floating
2.88249800
N
N
N
N
N
N
iHeartMedia, Inc.
N/A
iHeartMedia, Inc., Class A
45174J509
389.00000000
NS
USD
3248.15000000
0.000356348427
Long
EC
CORP
US
N
1
N
N
N
ACE Securities Corp. Home Equity Loan Trust
N/A
ACE Securities Corp. Home Equity Loan Trust, Series 2004-OP1, Class M3
004421EY5
239410.54000000
PA
USD
228080.70000000
0.025022304610
Long
ABS-O
CORP
US
N
2
2034-04-25
Floating
2.05949900
N
N
N
N
N
N
Savola Group (The)
N/A
Savola Group (The)
N/A
3000.00000000
NS
33818.73000000
0.003710189260
Long
EC
CORP
SA
N
2
N
N
N
Mitsubishi UFJ Financial Group, Inc.
353800V2V8PUY9TK3E06
Mitsubishi UFJ Financial Group, Inc.
N/A
42000.00000000
NS
165292.05000000
0.018133879915
Long
EC
CORP
JP
N
2
N
N
N
JTEKT Corp.
N/A
JTEKT Corp.
N/A
800.00000000
NS
6246.55000000
0.000685297251
Long
EC
CORP
JP
N
2
N
N
N
Unilever NV
549300TK7G7NZTVM1Z30
Unilever NV
N/A
23869.00000000
NS
1272642.05000000
0.139619165649
Long
EC
CORP
NL
N
2
N
N
N
NTPC Ltd.
335800Q4TRGJXNLVMB81
NTPC Ltd.
N/A
44977.00000000
NS
57222.00000000
0.006277717993
Long
EC
CORP
IN
N
2
N
N
N
Toho Co. Ltd.
529900IYHHYWU4O3H185
Toho Co. Ltd.
N/A
400.00000000
NS
14448.46000000
0.001585113371
Long
EC
CORP
JP
N
2
N
N
N
QBE Insurance Group Ltd.
549300D2FBW76FPUSG65
QBE Insurance Group Ltd.
N/A
4964.00000000
NS
30633.37000000
0.003360729405
Long
EC
CORP
AU
N
2
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
194.50000000
0.000021338229
N/A
DFE
N/A
N
2
BNP Paribas
R0MUWSFPU8MPRO8K5P83
90317.06000000
USD
843109.48000000
SEK
2020-07-29
194.50000000
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
371.15000000
0.000040718168
N/A
DFE
N/A
N
2
State Street Bank and Trust
571474TGEMMWANRLN572
243014.56000000
SEK
26459.85000000
USD
2020-07-29
371.15000000
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
-1791.48000000
-0.00019653990
N/A
DFE
N/A
N
2
BNP Paribas
R0MUWSFPU8MPRO8K5P83
54763.22000000
EUR
59773.28000000
USD
2020-07-29
-1791.48000000
N
N
N
Samsung Electronics Co. Ltd.
9884007ER46L6N7EI764
Samsung Electronics Co. Ltd.
N/A
94902.00000000
NS
4201086.85000000
0.460893336675
Long
EC
CORP
KR
N
2
N
N
N
Altice Financing SA
549300DIYGW8HVDF7Q17
Altice Financing SA
02154CAE3
720000.00000000
PA
USD
756000.00000000
0.082939338073
Long
DBT
CORP
LU
Y
2
2026-05-15
Fixed
7.50000000
N
N
N
N
N
N
GNMA
549300M8ZYFG0OCMTT87
GNMA, Series 2011-97, Class WA
38376LK65
816.76000000
PA
USD
962.23000000
0.000105564443
Long
ABS-MBS
USGA
US
N
2
2038-11-20
Variable
6.12145100
N
N
N
N
N
N
Croda International plc
2138004WCNBFJEEOXV26
Croda International plc
N/A
440.00000000
NS
28578.38000000
0.003135280317
Long
EC
CORP
GB
N
2
N
N
N
Nippon Steel Corp.
35380065QWQ4U2V3PA33
Nippon Steel Corp.
N/A
2800.00000000
NS
26458.48000000
0.002902710076
Long
EC
CORP
JP
N
2
N
N
N
Uniper SE
549300UXRTWGIBZQ4J67
Uniper SE
N/A
689.00000000
NS
22233.42000000
0.002439186690
Long
EC
CORP
DE
N
2
N
N
N
Osaka Gas Co. Ltd.
353800024KMNOPQRWZ02
Osaka Gas Co. Ltd.
N/A
1300.00000000
NS
25697.05000000
0.002819175023
Long
EC
CORP
JP
N
2
N
N
N
Zhejiang Expressway Co. Ltd.
213800X1ZRKM85U9H438
Zhejiang Expressway Co. Ltd., Class H
N/A
34000.00000000
NS
24145.74000000
0.002648983720
Long
EC
CORP
CN
N
2
N
N
N
China Merchants Shekou Industrial Zone Holdings Co. Ltd.
300300T3ACALX7NIPW13
China Merchants Shekou Industrial Zone Holdings Co. Ltd., Class A
N/A
26500.00000000
NS
61871.14000000
0.006787766398
Long
EC
CORP
CN
N
2
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
-935.28000000
-0.00010260780
N/A
DFE
N/A
N
2
Goldman Sachs International
W22LROWP2IHZNBB6K528
34657399.29000000
THB
1120329.70000000
USD
2020-07-22
-935.28000000
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
5530.19000000
0.000606706743
N/A
DFE
N/A
N
2
Barclays Capital
AC28XWWI3WIBK2824319
4128029190.89000000
COP
1102042.07000000
USD
2020-07-22
5530.19000000
N
N
N
Washington H Soul Pattinson & Co. Ltd.
549300G2Q3P6ZVNC1465
Washington H Soul Pattinson & Co. Ltd.
N/A
442.00000000
NS
6003.61000000
0.000658644761
Long
EC
CORP
AU
N
2
N
N
N
Nitto Denko Corp.
3538009GX5P09USH2J25
Nitto Denko Corp.
N/A
500.00000000
NS
28345.08000000
0.003109685413
Long
EC
CORP
JP
N
2
N
N
N
Equity One Mortgage Pass-Through Trust
N/A
Equity One Mortgage Pass-Through Trust, Series 2003-1, Class M1
294751BX9
547926.94000000
PA
USD
561284.03000000
0.061577415237
Long
ABS-O
CORP
US
N
3
2033-08-25
Variable
4.86000000
N
N
N
N
N
N
Weyerhaeuser Co.
08IRJODWFYBI7QWRGS31
Weyerhaeuser Co.
962166104
18286.00000000
NS
USD
410703.56000000
0.045057515093
Long
EC
CORP
US
N
1
N
N
N
Broadcom, Inc.
549300WV6GIDOZJTV909
Broadcom, Inc., Series A
11135F200
723.00000000
NS
USD
805675.05000000
0.088389094377
Long
EP
CORP
US
N
1
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
3529.51000000
0.000387215903
N/A
DFE
N/A
N
2
Goldman Sachs International
W22LROWP2IHZNBB6K528
1032734.32000000
USD
24580625.92000000
CZK
2020-07-22
3529.51000000
N
N
N
CHL Mortgage Pass-Through Trust
N/A
CHL Mortgage Pass-Through Trust, Series 2005-HYB3, Class 2A1A
12669GA76
312821.29000000
PA
USD
309604.86000000
0.033966166868
Long
ABS-MBS
CORP
US
N
2
2035-06-20
Variable
3.48242000
N
N
N
N
N
N
DT Auto Owner Trust
N/A
DT Auto Owner Trust, Series 2017-1A, Class D
23341LAG8
30351.47000000
PA
USD
30518.31000000
0.003348106389
Long
ABS-O
CORP
US
Y
2
2022-11-15
Fixed
3.55000000
N
N
N
N
N
N
Landstar System, Inc.
254900CUQXQRL09MEI52
Landstar System, Inc.
515098101
3078.00000000
NS
USD
345690.18000000
0.037925019454
Long
EC
CORP
US
N
1
N
N
N
Vertex Pharmaceuticals, Inc.
54930015RAQRRZ5ZGJ91
Vertex Pharmaceuticals, Inc.
92532F100
2537.00000000
NS
USD
736516.47000000
0.080801836642
Long
EC
CORP
US
N
1
N
N
N
PECO Energy Co.
YH65D4JBECK76IFEJ279
PECO Energy Co.
693304AR8
100000.00000000
PA
USD
130766.02000000
0.014346094102
Long
DBT
CORP
US
N
2
2043-10-15
Fixed
4.80000000
N
N
N
N
N
N
Elia Group SA/NV
549300S1MP1NFDIKT460
Elia Group SA/NV
N/A
105.00000000
NS
11423.05000000
0.001253201330
Long
EC
CORP
BE
N
2
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
4335.41000000
0.000475629676
N/A
DFE
N/A
N
2
BNP Paribas
R0MUWSFPU8MPRO8K5P83
313826.83000000
EUR
357080.04000000
USD
2020-07-22
4335.41000000
N
N
N
Brambles Ltd.
N/A
Brambles Ltd.
N/A
5318.00000000
NS
40323.16000000
0.004423778041
Long
EC
CORP
AU
N
2
N
N
N
GCAT Trust
N/A
GCAT Trust, Series 2019-NQM2, Class M1
36166MAD7
2000000.00000000
PA
USD
1916411.00000000
0.210245846317
Long
ABS-MBS
CORP
US
Y
3
2059-09-25
Variable
3.30599900
N
N
N
N
N
N
Discovery, Inc.
5493006ZCRFWKF6B1K26
Discovery, Inc., Class C
25470F302
18402.00000000
NS
USD
354422.52000000
0.038883028051
Long
EC
CORP
US
N
1
N
N
N
Velocity Commercial Capital Loan Trust
N/A
Velocity Commercial Capital Loan Trust, Series 2019-3, Class A
92257HAA7
489356.51000000
PA
USD
483901.31000000
0.053087902571
Long
ABS-MBS
CORP
US
Y
2
2049-10-25
Variable
3.03000100
N
N
N
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
88269.38000000
0.009683867657
N/A
DFE
N/A
N
2
Merrill Lynch International
AHYI0DDQ2LCHPGHJC422
1102094.27000000
USD
11088162.76000000
SEK
2020-07-29
88269.38000000
N
N
N
Swire Pacific Ltd.
549300KZOZHII0DGF611
Swire Pacific Ltd., Class A
N/A
1500.00000000
NS
7972.16000000
0.000874610679
Long
EC
CORP
HK
N
2
N
N
N
AmeriGas Partners LP
N/A
AmeriGas Partners LP
030981AK0
267000.00000000
PA
USD
275010.00000000
0.030170829845
Long
DBT
CORP
US
N
2
2025-05-20
Fixed
5.50000000
N
N
N
N
N
N
Mondi plc
213800LOZA69QFDC9N34
Mondi plc
N/A
1539.00000000
NS
28786.96000000
0.003158163237
Long
EC
CORP
GB
N
2
N
N
N
Sony Corp.
529900R5WX9N2OI2N910
Sony Corp., Series 6
N/A
55000000.00000000
PA
751575.03000000
0.082453882937
Long
DBT
CORP
JP
N
2
2022-09-30
None
0.00000000
N
N
N
N
N
Sony Corp.
Sony Corp.
JPY
XXXX
N
N
N
Tokyo Century Corp.
35380096ZLHOF84DXR74
Tokyo Century Corp.
N/A
100.00000000
NS
5120.62000000
0.000561773589
Long
EC
CORP
JP
N
2
N
N
N
Altice France Holding SA
5299000JVHXKJPOE6H40
Altice France Holding SA
02156TAB0
200000.00000000
PA
USD
220310.00000000
0.024169795728
Long
DBT
CORP
LU
Y
2
2027-05-15
Fixed
10.50000000
N
N
N
N
N
N
Constellium SE
724500KRJEMC79KAAU28
Constellium SE
210383AF2
250000.00000000
PA
USD
252817.50000000
0.027736132411
Long
DBT
CORP
FR
Y
2
2025-03-01
Fixed
6.62500000
N
N
N
N
N
N
Peugeot SA
969500TZ5950IT5FPQ42
Peugeot SA
N/A
2013.00000000
NS
33011.46000000
0.003621625186
Long
EC
CORP
FR
N
2
N
N
N
Bausch Health Cos., Inc.
B3BS7ACMDUWISF18KY76
Bausch Health Cos., Inc.
91911KAK8
151000.00000000
PA
USD
156662.50000000
0.017187148215
Long
DBT
CORP
CA
Y
2
2024-03-15
Fixed
7.00000000
N
N
N
N
N
N
La Francaise des Jeux SAEM
969500R4CLSQFTYYI535
La Francaise des Jeux SAEM
N/A
295.00000000
NS
9117.91000000
0.001000308756
Long
EC
CORP
FR
Y
2
N
N
N
Public Bank Bhd.
549300L2RSQCVMOHGM20
Public Bank Bhd.
N/A
53800.00000000
NS
207741.85000000
0.022790967631
Long
EC
CORP
MY
N
2
N
N
N
Hindalco Industries Ltd.
335800KXLE5NO5B4GF90
Hindalco Industries Ltd.
N/A
14733.00000000
NS
28851.27000000
0.003165218566
Long
EC
CORP
IN
N
2
N
N
N
Molina Healthcare, Inc.
549300NQQCEQ46YHZ591
Molina Healthcare, Inc.
60855R100
3415.00000000
NS
USD
607801.70000000
0.066680781319
Long
EC
CORP
US
N
1
N
N
N
Texas Instruments, Inc.
WDJNR2L6D8RWOEB8T652
Texas Instruments, Inc.
882508104
22720.00000000
NS
USD
2884758.40000000
0.316481418250
Long
EC
CORP
US
N
1
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
-22382.57000000
-0.00245554965
N/A
DFE
N/A
N
2
Goldman Sachs
FOR8UP27PHTHYVLBNG30
128747393.00000000
TWD
4372767.48000000
USD
2020-07-22
-22382.57000000
N
N
N
Targa Resources Partners LP
N/A
Targa Resources Partners LP
87612BBJ0
560000.00000000
PA
USD
554400.00000000
0.060822181253
Long
DBT
CORP
US
N
2
2026-04-15
Fixed
5.87500000
N
N
N
N
N
N
Scentre Group
N/A
Scentre Group
N/A
17968.00000000
NS
27277.99000000
0.002992616976
Long
EC
CORP
AU
N
2
N
N
N
Evolution Gaming Group AB
549300SUH6ZR1RF6TA88
Evolution Gaming Group AB
N/A
435.00000000
NS
25837.10000000
0.002834539645
Long
EC
CORP
SE
Y
2
N
N
N
Acom Co. Ltd.
N/A
Acom Co. Ltd.
N/A
1600.00000000
NS
6122.91000000
0.000671732939
Long
EC
CORP
JP
N
2
N
N
N
Pilgrim's Pride Corp.
549300ZSLGV64ZL3HD75
Pilgrim's Pride Corp.
72147KAC2
105000.00000000
PA
USD
104693.40000000
0.011485716000
Long
DBT
CORP
US
Y
2
2025-03-15
Fixed
5.75000000
N
N
N
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
-633.23000000
-0.00006947047
N/A
DFE
N/A
N
2
Citibank
MBNUM2BPBDO7JBLYG310
1162720.19000000
CAD
855870.50000000
USD
2020-07-22
-633.23000000
N
N
N
ViacomCBS, Inc.
5KYC8KF17ROCY24M3H09
ViacomCBS, Inc.
92553PBD3
64000.00000000
PA
USD
63072.00000000
0.006919510490
Long
DBT
CORP
US
N
2
2057-02-28
Variable
5.87499800
N
N
N
N
N
N
Yamazaki Baking Co. Ltd.
N/A
Yamazaki Baking Co. Ltd.
984632109
500.00000000
NS
8588.62000000
0.000942241346
Long
EC
CORP
JP
N
2
N
N
N
Verizon Communications, Inc.
2S72QS2UO2OESLG6Y829
Verizon Communications, Inc.
92343V104
49234.00000000
NS
USD
2714270.42000000
0.297777502627
Long
EC
CORP
US
N
1
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
1510.93000000
0.000165761288
N/A
DFE
N/A
N
2
BNP Paribas
R0MUWSFPU8MPRO8K5P83
55258.27000000
USD
53740.71000000
CHF
2020-07-29
1510.93000000
N
N
N
Ladder Capital Finance Holdings LLLP
N/A
Ladder Capital Finance Holdings LLLP
505742AG1
55000.00000000
PA
USD
47449.05000000
0.005205546030
Long
DBT
CORP
US
Y
2
2025-10-01
Fixed
5.25000000
N
N
N
N
N
N
Yakult Honsha Co. Ltd.
353800YJPSPGG7KI0S71
Yakult Honsha Co. Ltd.
N/A
400.00000000
NS
23533.61000000
0.002581828089
Long
EC
CORP
JP
N
2
N
N
N
Wynn Las Vegas LLC
N/A
Wynn Las Vegas LLC
983130AV7
402000.00000000
PA
USD
367830.00000000
0.040353937464
Long
DBT
CORP
US
Y
2
2025-03-01
Fixed
5.50000000
N
N
N
N
N
N
QIAGEN NV
54930036WK3GMCN17Z57
QIAGEN NV
N/A
790.00000000
NS
34029.24000000
0.003733283916
Long
EC
CORP
NL
N
1
N
N
N
Spotify Technology SA
549300B4X0JHWV0DTD60
Spotify Technology SA
N/A
2871.00000000
NS
USD
741263.49000000
0.081322623278
Long
EC
CORP
LU
N
1
N
N
N
Tallgrass Energy Partners LP
N/A
Tallgrass Energy Partners LP
87470LAA9
49000.00000000
PA
USD
44250.43000000
0.004854631446
Long
DBT
CORP
US
Y
2
2024-09-15
Fixed
5.50000000
N
N
N
N
N
N
Barratt Developments plc
2138006R85VEOF5YNK29
Barratt Developments plc
N/A
3482.00000000
NS
21400.84000000
0.002347845904
Long
EC
CORP
GB
N
2
N
N
N
NRG Energy, Inc.
5E2UPK5SW04M13XY7I38
NRG Energy, Inc.
629377CA8
115000.00000000
PA
USD
121325.00000000
0.013310337555
Long
DBT
CORP
US
N
2
2026-05-15
Fixed
7.25000000
N
N
N
N
N
N
Tencent Holdings Ltd.
254900N4SLUMW4XUYY11
Tencent Holdings Ltd.
N/A
92600.00000000
NS
5933614.75000000
0.650965713950
Long
EC
CORP
KY
N
2
N
N
N
Orkla ASA
549300PZS8G8RG6RVZ52
Orkla ASA
N/A
2739.00000000
NS
24047.31000000
0.002638185150
Long
EC
CORP
NO
N
2
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
-32643.60000000
-0.00358126795
N/A
DFE
N/A
N
2
Goldman Sachs International
W22LROWP2IHZNBB6K528
242393280.00000000
JPY
2212832.97000000
USD
2020-07-22
-32643.60000000
N
N
N
Berry Global, Inc.
549300AP2Q7ERHX6RI89
Berry Global, Inc.
085770AA3
268000.00000000
PA
USD
272020.00000000
0.029842802569
Long
DBT
CORP
US
Y
2
2026-07-15
Fixed
4.87500000
N
N
N
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
3959.89000000
0.000434432083
N/A
DFE
N/A
N
2
BNP Paribas
R0MUWSFPU8MPRO8K5P83
160181.34000000
USD
155384.71000000
CHF
2020-07-29
3959.89000000
N
N
N
Bankinter SA
VWMYAEQSTOPNV0SUGU82
Bankinter SA
N/A
2304.00000000
NS
11043.36000000
0.001211546254
Long
EC
CORP
ES
N
2
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
20724.05000000
0.002273596546
N/A
DFE
N/A
N
2
BNP Paribas
R0MUWSFPU8MPRO8K5P83
10993043.73000000
USD
17066578.07000000
NZD
2020-07-22
20724.05000000
N
N
N
PNMAC GMSR Issuer Trust
N/A
PNMAC GMSR Issuer Trust, Series 2018-GT1, Class A
69354WAC0
380000.00000000
PA
USD
372427.63000000
0.040858334804
Long
ABS-O
CORP
US
Y
2
2023-02-25
Floating
3.03450100
N
N
N
N
N
N
thyssenkrupp AG
549300UDG16DOYUPR330
thyssenkrupp AG
N/A
1476.00000000
NS
10530.19000000
0.001155247339
Long
EC
CORP
DE
N
2
N
N
N
Telecom Italia Capital SA
549300777DJZOR5C4L39
Telecom Italia Capital SA
87927VAM0
305000.00000000
PA
USD
331535.00000000
0.036372081280
Long
DBT
CORP
LU
N
2
2034-09-30
Fixed
6.00000000
N
N
N
N
N
N
Huazhu Group Ltd.
549300Y5ML31FVN83730
Huazhu Group Ltd.
44332N106
5630.00000000
NS
USD
197331.50000000
0.021648867712
Long
EC
CORP
KY
N
1
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
-64417.58000000
-0.00706713154
N/A
DFE
N/A
N
2
Barclays Bank
G5GSEF7VJP5I7OUK5573
8795403.60000000
EUR
7925406.25000000
GBP
2020-07-22
-64417.58000000
N
N
N
Vivendi SA
969500FU4DRAEVJW7U54
Vivendi SA
N/A
2834.00000000
NS
73229.72000000
0.008033894846
Long
EC
CORP
FR
N
2
N
N
N
Electric Power Development Co. Ltd.
549300KMHPUAQI8VEH90
Electric Power Development Co. Ltd.
N/A
400.00000000
NS
7582.59000000
0.000831871687
Long
EC
CORP
JP
N
2
N
N
N
Poly Developments and Holdings Group Co. Ltd.
300300W9OF1ZRGUDVU96
Poly Developments and Holdings Group Co. Ltd., Class A
N/A
33400.00000000
NS
70058.55000000
0.007685991750
Long
EC
CORP
CN
N
2
N
N
N
HK Electric Investments & HK Electric Investments Ltd.
N/A
HK Electric Investments & HK Electric Investments Ltd.
N/A
11000.00000000
NS
11425.58000000
0.001253478891
Long
EC
CORP
HK
Y
2
N
N
N
RALI Trust
N/A
RALI Trust, Series 2004-QS3, Class CB
76110HRA9
31.06000000
PA
USD
31.06000000
0.000003407534
Long
ABS-MBS
CORP
US
N
2
2019-03-25
Fixed
5.00000000
N
N
N
N
N
N
Structured Asset Investment Loan Trust
N/A
Structured Asset Investment Loan Trust, Series 2004-8, Class M2
86358EMA1
214360.96000000
PA
USD
205606.05000000
0.022556653030
Long
ABS-O
CORP
US
N
3
2034-09-25
Floating
1.11449900
N
N
N
N
N
N
Alphabet, Inc.
5493006MHB84DD0ZWV18
Alphabet, Inc., Class C
02079K107
4082.00000000
NS
USD
5770356.02000000
0.633054905747
Long
EC
CORP
US
N
1
N
N
N
Britannia Industries Ltd.
335800RRN5EVHNNAXN80
Britannia Industries Ltd.
N/A
557.00000000
NS
26637.95000000
0.002922399392
Long
EC
CORP
IN
N
2
N
N
N
REA Group Ltd.
N/A
REA Group Ltd.
N/A
145.00000000
NS
10926.25000000
0.001198698336
Long
EC
CORP
AU
N
2
N
N
N
Hennes & Mauritz AB
529900O5RR7R39FRDM42
Hennes & Mauritz AB, Class B
N/A
2748.00000000
NS
40110.62000000
0.004400460677
Long
EC
CORP
SE
N
2
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
250.62000000
0.000027495048
N/A
DFE
N/A
N
2
State Street Bank and Trust
571474TGEMMWANRLN572
302438.95000000
DKK
45876.24000000
USD
2020-07-29
250.62000000
N
N
N
Cedar Fair LP
549300TUVLNQQ6BVKH61
Cedar Fair LP
150190AC0
85000.00000000
PA
USD
76850.20000000
0.008431090897
Long
DBT
CORP
US
Y
2
2029-07-15
Fixed
5.25000000
N
N
N
N
N
N
Ameriprise Financial, Inc.
6ZLKQF7QB6JAEKQS5388
Ameriprise Financial, Inc.
03076C106
3216.00000000
NS
USD
482528.64000000
0.052937309527
Long
EC
CORP
US
N
1
N
N
N
Videotron Ltd.
549300LW4GNJRBECSD81
Videotron Ltd.
92660FAK0
510000.00000000
PA
USD
529191.25000000
0.058056576705
Long
DBT
CORP
CA
Y
2
2027-04-15
Fixed
5.12500000
N
N
N
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
-648.40000000
-0.00007113474
N/A
DFE
N/A
N
2
BNP Paribas
R0MUWSFPU8MPRO8K5P83
51108.59000000
GBP
62692.14000000
USD
2020-07-29
-648.40000000
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
-33151.06000000
-0.00363694044
N/A
DFE
N/A
N
2
Goldman Sachs International
W22LROWP2IHZNBB6K528
9858574.89000000
USD
7928404.75000000
GBP
2020-07-22
-33151.06000000
N
N
N
Toyota Tsusho Corp.
549300CEE2ENIUJNXB84
Toyota Tsusho Corp.
N/A
700.00000000
NS
17850.93000000
0.001958391955
Long
EC
CORP
JP
N
2
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
418.50000000
0.000045912847
N/A
DFE
N/A
N
2
Merrill Lynch International
AHYI0DDQ2LCHPGHJC422
14080.32000000
USD
96108.43000000
DKK
2020-07-29
418.50000000
N
N
N
DISH DBS Corp.
N/A
DISH DBS Corp.
25470XAL9
35000.00000000
PA
USD
34916.00000000
0.003830568688
Long
DBT
CORP
US
N
2
2023-03-15
Fixed
5.00000000
N
N
N
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
636.06000000
0.000069780946
N/A
DFE
N/A
N
2
BNP Paribas
R0MUWSFPU8MPRO8K5P83
14248474.00000000
JPY
132643.77000000
USD
2020-07-29
636.06000000
N
N
N
Deutsche Bank AG
7LTWFZYICNSX8D621K86
Deutsche Bank AG (Registered)
N/A
6715.00000000
NS
64061.77000000
0.007028096295
Long
EC
CORP
DE
N
2
N
N
N
ORIX Corp.
35380016EMHNBOVYE123
ORIX Corp.
N/A
4600.00000000
NS
57119.38000000
0.006266459746
Long
EC
CORP
JP
N
2
N
N
N
N/A
N/A
U.S. Treasury 10 Year Note
N/A
376.00000000
NC
USD
277936.85000000
0.030491929054
N/A
DIR
US
N
1
CME Clearing House
LCZ7XYGSLJUHFXXNXD88
Long
United States of America
U.S. Treasury 10 Year Note
2020-09-21
52316875.00000000
USD
277936.85000000
N
N
N
Yum! Brands, Inc.
549300JE8XHZZ7OHN517
Yum! Brands, Inc.
988498AL5
177000.00000000
PA
USD
179655.00000000
0.019709612144
Long
DBT
CORP
US
Y
2
2030-01-15
Fixed
4.75000000
N
N
N
N
N
N
Denso Corp.
549300RYPA10CQM3QK38
Denso Corp.
N/A
1500.00000000
NS
58825.58000000
0.006453643739
Long
EC
CORP
JP
N
2
N
N
N
MGM Growth Properties Operating Partnership LP
N/A
MGM Growth Properties Operating Partnership LP
55303XAJ4
254000.00000000
PA
USD
260350.00000000
0.028562508819
Long
DBT
CORP
US
N
2
2027-02-01
Fixed
5.75000000
N
N
N
N
N
N
Verus Securitization Trust
N/A
Verus Securitization Trust, Series 2019-INV1, Class M1
92537FAD7
100000.00000000
PA
USD
95769.66000000
0.010506709269
Long
ABS-MBS
CORP
US
Y
3
2059-12-25
Variable
4.03400200
N
N
N
N
N
N
LHOME Mortgage Trust
549300VCHJCK9EK5QK41
LHOME Mortgage Trust, Series 2019-RTL1, Class A1
501890AA5
510000.00000000
PA
USD
508307.46000000
0.055765455383
Long
ABS-MBS
CORP
US
Y
2
2023-10-25
Variable
4.57999900
N
N
N
N
N
N
Vale SA
254900SMTWBX7RU2SR20
Vale SA
91912E105
16203.00000000
NS
USD
167052.93000000
0.018327062747
Long
EC
CORP
BR
N
1
N
N
N
Inphi Corp.
549300DCMERAAZFGT726
Inphi Corp.
45772FAE7
322000.00000000
PA
USD
386423.60000000
0.042393806349
Long
DBT
CORP
US
Y
2
2025-04-15
Fixed
0.75000000
N
N
N
N
Y
Inphi Corp.
Inphi Corp.
USD
XXXX
N
N
N
ASML Holding NV
724500Y6DUVHQD6OXN27
ASML Holding NV (Registered)
N/A
2589.00000000
NS
USD
952829.67000000
0.104533150960
Long
EC
CORP
NL
N
1
N
N
N
Hisamitsu Pharmaceutical Co., Inc.
5299006QL3IBQ4CN7E12
Hisamitsu Pharmaceutical Co., Inc.
N/A
200.00000000
NS
10811.16000000
0.001186072029
Long
EC
CORP
JP
N
2
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
-1960.31000000
-0.00021506192
N/A
DFE
N/A
N
2
State Street Bank and Trust
571474TGEMMWANRLN572
694766.59000000
DKK
102851.45000000
USD
2020-07-29
-1960.31000000
N
N
N
Davide Campari-Milano SpA
213800ED5AN2J56N6Z02
Davide Campari-Milano SpA
N/A
2383.00000000
NS
20152.93000000
0.002210940045
Long
EC
CORP
IT
N
2
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
-8743.31000000
-0.00095921209
N/A
DFE
N/A
N
2
Citibank
MBNUM2BPBDO7JBLYG310
654455.69000000
USD
69720794.00000000
JPY
2020-07-02
-8743.31000000
N
N
N
RELX plc
549300WSX3VBUFFJOO66
RELX plc
N/A
28579.00000000
NS
661435.24000000
0.072564816116
Long
EC
CORP
GB
N
1
N
N
N
Sensata Technologies BV
PUCKW5P5O3XMOZVH7T53
Sensata Technologies BV
81725WAH6
260000.00000000
PA
USD
275600.00000000
0.030235557636
Long
DBT
CORP
NL
Y
2
2024-11-01
Fixed
5.62500000
N
N
N
N
N
N
Toro Co. (The)
YJKE4YIT6BWQHVEW0D14
Toro Co. (The)
891092108
11369.00000000
NS
USD
754219.46000000
0.082743998378
Long
EC
CORP
US
N
1
N
N
N
MEG Energy Corp.
5493002WXPTG5ZC1T326
MEG Energy Corp.
552704AE8
96000.00000000
PA
USD
79800.00000000
0.008754707907
Long
DBT
CORP
CA
Y
2
2027-02-01
Fixed
7.12500000
N
N
N
N
N
N
Stanley Black & Decker, Inc.
549300DJ09SMTO561131
Stanley Black & Decker, Inc.
854502101
14622.00000000
NS
USD
2038014.36000000
0.223586722224
Long
EC
CORP
US
N
1
N
N
N
Repsol SA
BSYCX13Y0NOTV14V9N85
Repsol SA
N/A
4844.00000000
NS
2358.13000000
0.000258706006
Long
CORP
ES
N
1
N
N
N
Alternative Loan Trust
N/A
Alternative Loan Trust, Series 2005-3CB, Class 1A4
12667FX26
8859.71000000
PA
USD
8785.08000000
0.000963794603
Long
ABS-MBS
CORP
US
N
2
2035-03-25
Fixed
5.25000000
N
N
N
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
-4986.19000000
-0.00054702552
N/A
DFE
N/A
N
2
State Street Bank and Trust
571474TGEMMWANRLN572
187191.41000000
EUR
205454.23000000
USD
2020-07-29
-4986.19000000
N
N
N
Clearway Energy Operating LLC
549300Z3NFMM54NWBB87
Clearway Energy Operating LLC
62943WAE9
60000.00000000
PA
USD
60750.00000000
0.006664768238
Long
DBT
CORP
US
N
2
2026-09-15
Fixed
5.00000000
N
N
N
N
N
N
China Life Insurance Co. Ltd.
549300J6TFLDXGH6S048
China Life Insurance Co. Ltd., Class H
N/A
61000.00000000
NS
123083.57000000
0.013503266962
Long
EC
CORP
CN
N
2
N
N
N
RealPage, Inc.
5493001RSFZX4122A604
RealPage, Inc.
75606NAC3
264000.00000000
PA
USD
283858.59000000
0.031141592011
Long
DBT
CORP
US
N
2
2025-05-15
Fixed
1.50000000
N
N
N
N
Y
RealPage, Inc.
RealPage, Inc.
USD
XXXX
N
N
N
Atlantia SpA
8156008DEC771409C487
Atlantia SpA
N/A
1695.00000000
NS
27417.19000000
0.003007888347
Long
EC
CORP
IT
N
2
N
N
N
Eiffage SA
969500OQXKE5WDM9M994
Eiffage SA
N/A
285.00000000
NS
26124.99000000
0.002866123515
Long
EC
CORP
FR
N
2
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
11814.49000000
0.001296145476
N/A
DFE
N/A
N
2
Goldman Sachs International
W22LROWP2IHZNBB6K528
120858713.00000000
JPY
1131533.12000000
USD
2020-07-29
11814.49000000
N
N
N
Acadia Healthcare Co., Inc.
5493005CW985Y9D0NC11
Acadia Healthcare Co., Inc.
00404AAJ8
73000.00000000
PA
USD
73025.55000000
0.008011495739
Long
DBT
CORP
US
N
2
2023-02-15
Fixed
5.62500000
N
N
N
N
N
N
Kakaku.com, Inc.
353800KA15Y0DCPWYY65
Kakaku.com, Inc.
N/A
500.00000000
NS
12737.12000000
0.001397365478
Long
EC
CORP
JP
N
2
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
-9706.68000000
-0.00106490160
N/A
DFE
N/A
N
2
Goldman Sachs International
W22LROWP2IHZNBB6K528
10634215.84000000
TRY
1534245.02000000
USD
2020-07-22
-9706.68000000
N
N
N
NXP Semiconductors NV
724500M9BY5293JDF951
NXP Semiconductors NV
N/A
11719.00000000
NS
USD
1336434.76000000
0.146617743878
Long
EC
CORP
NL
N
1
N
N
N
M&T Bank Corp.
549300WYXDDBYRASEG81
M&T Bank Corp.
55261F104
7431.00000000
NS
USD
772601.07000000
0.084760610238
Long
EC
CORP
US
N
1
N
N
N
Axalta Dupont PC
N/A
Axalta Dupont PC, Term Loan B
90347BAH1
51026.40000000
PA
USD
48762.36000000
0.005349626800
Long
LON
CORP
US
N
2
2024-06-01
Variable
2.05788000
N
N
N
N
N
N
Moneta Money Bank A/S
I6USJ58BDV2BO5KP3C31
Moneta Money Bank A/S
N/A
13061.00000000
NS
29581.41000000
0.003245320852
Long
EC
CORP
CZ
Y
2
N
N
N
Nomura Real Estate Holdings, Inc.
N/A
Nomura Real Estate Holdings, Inc.
N/A
500.00000000
NS
9308.70000000
0.001021239968
Long
EC
CORP
JP
N
2
N
N
N
Air Canada Pass-Through Trust
N/A
Air Canada Pass-Through Trust, Series 2017-1, Class AA
00908PAA5
131094.40000000
PA
USD
118852.74000000
0.013039110560
Long
ABS-O
CORP
CA
Y
2
2030-01-15
Fixed
3.30000000
N
N
N
N
N
N
Stockland
N/A
Stockland
N/A
8155.00000000
NS
18909.84000000
0.002074562979
Long
EC
CORP
AU
N
2
N
N
N
Saxon Asset Securities Trust
N/A
Saxon Asset Securities Trust, Series 2003-3, Class M1
805564PE5
375640.70000000
PA
USD
359253.49000000
0.039413024683
Long
ABS-O
CORP
US
N
3
2033-12-25
Floating
1.15949900
N
N
N
N
N
N
PTT Global Chemical PCL
5493007X3230PPPZFF40
PTT Global Chemical PCL
N/A
12300.00000000
NS
18579.07000000
0.002038274825
Long
EC
CORP
TH
N
1
N
N
N
Mowi ASA
549300W1OGQF5LZIH349
Mowi ASA
N/A
1504.00000000
NS
28668.75000000
0.003145194640
Long
EC
CORP
NO
N
2
N
N
N
Santos Ltd.
5299000RK70B5O2M7077
Santos Ltd.
N/A
6058.00000000
NS
22515.01000000
0.002470079399
Long
EC
CORP
AU
N
2
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
-6156.71000000
-0.00067544107
N/A
DFE
N/A
N
2
Citibank
MBNUM2BPBDO7JBLYG310
5852191.45000000
EUR
10183398.34000000
NZD
2020-07-22
-6156.71000000
N
N
N
Charles Schwab Corp. (The)
549300VSGCJ7E698NM85
Charles Schwab Corp. (The)
808513105
40851.00000000
NS
USD
1378312.74000000
0.151212098298
Long
EC
CORP
US
N
1
N
N
N
NOVA Chemicals Corp.
5493007M1XGU5E55ZJ25
NOVA Chemicals Corp.
66977WAR0
300000.00000000
PA
USD
263361.00000000
0.028892839965
Long
DBT
CORP
CA
Y
2
2027-06-01
Fixed
5.25000000
N
N
N
N
N
N
NextEra Energy Operating Partners LP
549300KJEC5IUVJWR786
NextEra Energy Operating Partners LP
65342QAK8
63000.00000000
PA
USD
63708.75000000
0.006989367135
Long
DBT
CORP
US
Y
2
2024-07-15
Fixed
4.25000000
N
N
N
N
N
N
FinecoBank Banca Fineco SpA
549300L7YCATGO57ZE10
FinecoBank Banca Fineco SpA
N/A
2085.00000000
NS
28218.55000000
0.003095804045
Long
EC
CORP
IT
N
2
N
N
N
Telekomunikasi Indonesia Persero Tbk. PT
529900M5SQZAOKV1PC81
Telekomunikasi Indonesia Persero Tbk. PT
N/A
487800.00000000
NS
104492.80000000
0.011463708552
Long
EC
CORP
ID
N
2
N
N
N
Schindler Holding AG
5299007DRLI319H7Q933
Schindler Holding AG
N/A
148.00000000
NS
35025.51000000
0.003842582824
Long
EC
CORP
CH
N
2
N
N
N
Occidental Petroleum Corp.
IM7X0T3ECJW4C1T7ON55
Occidental Petroleum Corp.
674599DY8
126000.00000000
PA
USD
126472.50000000
0.013875060098
Long
DBT
CORP
US
N
2
2025-07-15
Fixed
8.00000000
N
N
N
N
N
N
Aramark Services, Inc.
42YMHYH0XMHJEXDUB065
Aramark Services, Inc.
038522AQ1
190000.00000000
PA
USD
180500.00000000
0.019802315505
Long
DBT
CORP
US
Y
2
2028-02-01
Fixed
5.00000000
N
N
N
N
N
N
Kyocera Corp.
N/A
Kyocera Corp.
N/A
1100.00000000
NS
60043.04000000
0.006587208986
Long
EC
CORP
JP
N
2
N
N
N
Rite Aid Corp.
529900W353T1JY1DKT44
Rite Aid Corp.
767754CK8
77000.00000000
PA
USD
77000.00000000
0.008447525174
Long
DBT
CORP
US
Y
2
2025-07-01
Fixed
7.50000000
N
N
N
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
-926.14000000
-0.00010160507
N/A
DFE
N/A
N
2
State Street Bank and Trust
571474TGEMMWANRLN572
194740.40000000
DKK
28452.19000000
USD
2020-07-29
-926.14000000
N
N
N
Eregli Demir ve Celik Fabrikalari TAS
789000VYQF5IDGG49908
Eregli Demir ve Celik Fabrikalari TAS
N/A
34825.00000000
NS
43597.94000000
0.004783047995
Long
EC
CORP
TR
N
1
N
N
N
Navistar International Corp.
N/A
Navistar International Corp., 1st Lien Term Loan B
63937YAE1
61117.94000000
PA
USD
57730.78000000
0.006333535290
Long
LON
CORP
US
N
2
2024-11-06
Variable
3.70000000
N
N
N
N
N
N
GMO Payment Gateway, Inc.
353800Q6U21E2PM83F86
GMO Payment Gateway, Inc.
N/A
100.00000000
NS
10459.35000000
0.001147475615
Long
EC
CORP
JP
N
2
N
N
N
Cie Generale des Etablissements Michelin SCA
549300SOSI58J6VIW052
Cie Generale des Etablissements Michelin SCA
N/A
585.00000000
NS
60976.37000000
0.006689602864
Long
EC
CORP
FR
N
2
N
N
N
Anglo American plc
549300S9XF92D1X8ME43
Anglo American plc
N/A
4203.00000000
NS
96892.65000000
0.010629910390
Long
EC
CORP
GB
N
2
N
N
N
Hyundai Motor Co.
9884004RQX8PRBXQ8S60
Hyundai Motor Co.
N/A
879.00000000
NS
72204.05000000
0.007921370520
Long
EC
CORP
KR
N
2
N
N
N
NWS Holdings Ltd.
2549002WHK9XGQC01O62
NWS Holdings Ltd.
N/A
6000.00000000
NS
5219.09000000
0.000572576547
Long
EC
CORP
BM
N
2
N
N
N
Sampo OYJ
743700UF3RL386WIDA22
Sampo OYJ, Class A
N/A
1617.00000000
NS
55737.67000000
0.006114874941
Long
EC
CORP
FI
N
2
N
N
N
Tokyu Fudosan Holdings Corp.
N/A
Tokyu Fudosan Holdings Corp.
N/A
2500.00000000
NS
11761.19000000
0.001290298033
Long
EC
CORP
JP
N
2
N
N
N
Sunoco LP
N/A
Sunoco LP
86765LAL1
35000.00000000
PA
USD
33950.00000000
0.003724590644
Long
DBT
CORP
US
N
2
2026-02-15
Fixed
5.50000000
N
N
N
N
N
N
Infineon Technologies AG
TSI2PJM6EPETEQ4X1U25
Infineon Technologies AG
N/A
4278.00000000
NS
100242.92000000
0.010997462210
Long
EC
CORP
DE
N
2
N
N
N
Nexstar Broadcasting, Inc.
5493006PK6I4I2OOT688
Nexstar Broadcasting, Inc.
65341XAA6
115000.00000000
PA
USD
115862.50000000
0.012711056954
Long
DBT
CORP
US
Y
2
2024-08-01
Fixed
5.62500000
N
N
N
N
N
N
American Credit Acceptance Receivables Trust
N/A
American Credit Acceptance Receivables Trust, Series 2018-1, Class D
02529HAG5
805000.00000000
PA
USD
819893.39000000
0.089948961715
Long
ABS-O
CORP
US
Y
2
2024-04-10
Fixed
3.93000000
N
N
N
N
N
N
CaixaBank SA
7CUNS533WID6K7DGFI87
CaixaBank SA
N/A
12278.00000000
NS
26266.19000000
0.002881614301
Long
EC
CORP
ES
N
2
N
N
N
Intelsat Jackson Holdings SA
8XJ8KF85PBKK1TLMFN29
Intelsat Jackson Holdings SA
45824TAY1
140000.00000000
PA
USD
86002.00000000
0.009435117662
Long
DBT
CORP
LU
Y
2
2025-07-15
Fixed
9.75000000
N
N
N
N
N
N
Workday, Inc.
549300J0DYC0N31V7G13
Workday, Inc.
98138HAF8
362000.00000000
PA
USD
497564.03000000
0.054586813885
Long
DBT
CORP
US
N
2
2022-10-01
Fixed
0.25000000
N
N
N
N
Y
Workday, Inc.
Workday, Inc.
USD
XXXX
N
N
N
Carter's, Inc.
5299003WAQK4R3L3ZU36
Carter's, Inc.
146229109
2893.00000000
NS
USD
233465.10000000
0.025613017006
Long
EC
CORP
US
N
1
N
N
N
Dassault Aviation SA
969500CVFTUT88V8QN95
Dassault Aviation SA
N/A
9.00000000
NS
8257.48000000
0.000905912599
Long
EC
CORP
FR
N
2
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
-127.12000000
-0.00001394609
N/A
DFE
N/A
N
2
BNP Paribas
R0MUWSFPU8MPRO8K5P83
1025456.85000000
USD
3549902.94000000
ILS
2020-07-22
-127.12000000
N
N
N
Laobaixing Pharmacy Chain JSC
N/A
Laobaixing Pharmacy Chain JSC, Class A
N/A
4500.00000000
NS
63732.42000000
0.006991963926
Long
EC
CORP
CN
N
2
N
N
N
Arkema SA
9695000EHMS84KKP2785
Arkema SA
N/A
235.00000000
NS
22589.14000000
0.002478212062
Long
EC
CORP
FR
N
2
N
N
N
Loews Corp.
R8V1FN4M5ITGZOG7BS19
Loews Corp.
540424108
40552.00000000
NS
USD
1390528.08000000
0.152552220274
Long
EC
CORP
US
N
1
N
N
N
Refinitiv US Holdings, Inc.
549300NF240HXJO7N016
Refinitiv US Holdings, Inc.
31740LAC7
157000.00000000
PA
USD
170026.29000000
0.018653264481
Long
DBT
CORP
US
Y
2
2026-11-15
Fixed
8.25000000
N
N
N
N
N
N
Cellnex Telecom SA
5493008T4YG3AQUI7P67
Cellnex Telecom SA
N/A
857.00000000
NS
52343.64000000
0.005742522293
Long
EC
CORP
ES
Y
2
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
135.60000000
0.000014876420
N/A
DFE
N/A
N
2
Merrill Lynch International
AHYI0DDQ2LCHPGHJC422
23973.08000000
GBP
29846.22000000
USD
2020-07-29
135.60000000
N
N
N
Tesco plc
2138002P5RNKC5W2JZ46
Tesco plc
N/A
33492.00000000
NS
94201.75000000
0.010334696812
Long
EC
CORP
GB
N
2
N
N
N
CenturyLink, Inc.
8M3THTGWLTYZVE6BBY25
CenturyLink, Inc.
156700BB1
580000.00000000
PA
USD
578550.00000000
0.063471632331
Long
DBT
CORP
US
Y
2
2026-12-15
Fixed
5.12500000
N
N
N
N
N
N
Nabors Industries Ltd.
N/A
Nabors Industries Ltd.
629571AA8
50000.00000000
PA
USD
30750.00000000
0.003373524663
Long
DBT
CORP
BM
Y
2
2026-01-15
Fixed
7.25000000
N
N
N
N
N
N
DISH Network Corp.
529900U350CWHH15G169
DISH Network Corp., Class A
25470M109
15682.00000000
NS
USD
541185.82000000
0.059372478419
Long
EC
CORP
US
N
1
N
N
N
LVMH Moet Hennessy Louis Vuitton SE
IOG4E947OATN0KJYSD45
LVMH Moet Hennessy Louis Vuitton SE, Series MCFP
N/A
154600.00000000
PA
USD
734414.33000000
0.080571214817
Long
DBT
CORP
FR
Y
2
2021-02-16
None
0.00000000
N
N
N
N
N
LVMH Moet Hennessy Louis Vuitton SE
LVMH Moet Hennessy Louis Vuitton SE
EUR
XXXX
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
233.05000000
0.000025567477
N/A
DFE
N/A
N
2
Merrill Lynch International
AHYI0DDQ2LCHPGHJC422
5209651.00000000
JPY
48498.86000000
USD
2020-07-29
233.05000000
N
N
N
Level 3 Financing, Inc.
N/A
Level 3 Financing, Inc.
527298BN2
85000.00000000
PA
USD
85637.50000000
0.009395129053
Long
DBT
CORP
US
Y
2
2027-09-15
Fixed
4.62500000
N
N
N
N
N
N
Smiths Group plc
213800MJL6IPZS3ASA11
Smiths Group plc
N/A
1355.00000000
NS
23688.00000000
0.002598765926
Long
EC
CORP
GB
N
2
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
-124.19000000
-0.00001362465
N/A
DFE
N/A
N
2
State Street Bank and Trust
571474TGEMMWANRLN572
267853.25000000
SEK
28631.05000000
USD
2020-07-29
-124.19000000
N
N
N
Ocado Group plc
213800LO8F61YB8MBC74
Ocado Group plc
N/A
1552.00000000
NS
39002.32000000
0.004278871169
Long
EC
CORP
GB
N
2
N
N
N
Otis Worldwide Corp.
549300ZLBKR8VSU25153
Otis Worldwide Corp.
68902V107
3732.00000000
NS
USD
212201.52000000
0.023280229638
Long
EC
CORP
US
N
1
N
N
N
Seibu Holdings, Inc.
353800JY9TYV9WTCN620
Seibu Holdings, Inc.
N/A
800.00000000
NS
8713.75000000
0.000955969123
Long
EC
CORP
JP
N
2
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
-6605.19000000
-0.00072464297
N/A
DFE
N/A
N
2
Citibank
MBNUM2BPBDO7JBLYG310
793301.24000000
GBP
976374.38000000
USD
2020-07-02
-6605.19000000
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
-8547.22000000
-0.00093769943
N/A
DFE
N/A
N
2
BNP Paribas
R0MUWSFPU8MPRO8K5P83
1666836.95000000
USD
6560251.84000000
PLN
2020-07-22
-8547.22000000
N
N
N
Hangzhou Robam Appliances Co. Ltd.
N/A
Hangzhou Robam Appliances Co. Ltd., Class A
N/A
12400.00000000
NS
54802.71000000
0.006012302238
Long
EC
CORP
CN
N
2
N
N
N
Swiss Prime Site AG
506700XI9H64OPR34158
Swiss Prime Site AG (Registered)
N/A
259.00000000
NS
24026.23000000
0.002635872503
Long
EC
CORP
CH
N
2
N
N
N
Tenet Healthcare Corp.
0W9AIBT6U6ADJ2I8HK17
Tenet Healthcare Corp.
88033GCY4
602000.00000000
PA
USD
589634.92000000
0.064687738055
Long
DBT
CORP
US
Y
2
2026-01-01
Fixed
4.87500000
N
N
N
N
N
N
Chesapeake Energy Corp.
X2MT1W32SPAZ9WSKLE78
Chesapeake Energy Corp.
165167DD6
107000.00000000
PA
USD
11235.00000000
0.001232570718
Long
DBT
CORP
US
Y
2
2025-01-01
Fixed
11.50000000
N
N
N
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
-131.73000000
-0.00001445185
N/A
DFE
N/A
N
2
State Street Bank and Trust
571474TGEMMWANRLN572
448956.35000000
USD
650294.67000000
AUD
2020-07-22
-131.73000000
N
N
N
Asahi Intecc Co. Ltd.
N/A
Asahi Intecc Co. Ltd.
N/A
600.00000000
NS
17124.21000000
0.001878664870
Long
EC
CORP
JP
N
2
N
N
N
Neiman Marcus Group Ltd. LLC
N/A
Neiman Marcus Group Ltd. LLC, Term Loan
64021SAE9
39755.29000000
PA
USD
8050.45000000
0.000883199727
Long
LON
CORP
US
N
2
2023-10-25
Variable
10.75000000
N
N
N
N
N
N
Ayala Land, Inc.
254900EWT10TQ6DKTV34
Ayala Land, Inc.
N/A
54250.00000000
NS
37000.87000000
0.004059295854
Long
EC
CORP
PH
N
2
N
N
N
Swiss Re AG
529900PS9YW3YY29F326
Swiss Re AG
N/A
1007.00000000
NS
78077.28000000
0.008565711536
Long
EC
CORP
CH
N
2
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
20.40000000
0.000002238045
N/A
DFE
N/A
N
2
State Street Bank and Trust
571474TGEMMWANRLN572
164731.74000000
SEK
17705.09000000
USD
2020-07-29
20.40000000
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
263.88000000
0.000028949778
N/A
DFE
N/A
N
2
State Street Bank and Trust
571474TGEMMWANRLN572
130025.04000000
EUR
146437.92000000
USD
2020-07-29
263.88000000
N
N
N
T-Mobile US, Inc.
549300QHIJYOHPACPG31
T-Mobile US, Inc.
872590112
2327.00000000
NS
USD
390.94000000
0.000042889292
Long
CORP
US
N
1
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
-145.66000000
-0.00001598008
N/A
DFE
N/A
N
2
State Street Bank and Trust
571474TGEMMWANRLN572
1418358.79000000
USD
1261531.95000000
EUR
2020-07-29
-145.66000000
N
N
N
AutoZone, Inc.
GA3JGKJ41LJKXDN23E90
AutoZone, Inc.
053332102
768.00000000
NS
USD
866396.16000000
0.095050693147
Long
EC
CORP
US
N
1
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
-948.25000000
-0.00010403072
N/A
DFE
N/A
N
2
Merrill Lynch International
AHYI0DDQ2LCHPGHJC422
234330.21000000
USD
25190474.00000000
JPY
2020-07-29
-948.25000000
N
N
N
Volkswagen AG
529900NNUPAGGOMPXZ31
Volkswagen AG (Preference)
N/A
6728.00000000
NS
1022656.97000000
0.112193772708
Long
EC
CORP
DE
N
2
N
N
N
Allegheny Technologies, Inc.
ZW1LRE7C3H17O2ZN9B45
Allegheny Technologies, Inc.
01741RAF9
15000.00000000
PA
USD
15356.25000000
0.001684705304
Long
DBT
CORP
US
N
2
2023-08-15
Fixed
7.87500000
N
N
N
N
N
N
Electrolux AB
549300Y3HHZB1ZGFPJ93
Electrolux AB, Series B
N/A
823.00000000
NS
13846.90000000
0.001519117354
Long
EC
CORP
SE
N
2
N
N
N
Blackstone Group, Inc. (The)
5299004LW4QWGZUB8Y96
Blackstone Group, Inc. (The), Class A
09260D107
5332.00000000
NS
USD
302111.12000000
0.033144042747
Long
EC
CORP
US
N
1
N
N
N
Snap-on, Inc.
HHWAT5TDOYZMM26KKQ73
Snap-on, Inc.
833034101
2220.00000000
NS
USD
307492.20000000
0.033734390913
Long
EC
CORP
US
N
1
N
N
N
TeamViewer AG
3912000FZ0R0KEK9JS42
TeamViewer AG
N/A
445.00000000
NS
24297.93000000
0.002665680199
Long
EC
CORP
DE
N
1
N
N
N
LEG Immobilien AG
391200SO40AKONBO0Z96
LEG Immobilien AG
N/A
236.00000000
NS
29933.24000000
0.003283919460
Long
EC
CORP
DE
N
2
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
-6.91000000
-0.00000075808
N/A
DFE
N/A
N
2
Toronto Dominion Bank
PT3QB789TSUIDF371261
1397462.82000000
USD
10830982.03000000
HKD
2020-07-02
-6.91000000
N
N
N
Ashtead Group plc
2138007UTBN8X9K1A235
Ashtead Group plc
N/A
1558.00000000
NS
52556.09000000
0.005765829783
Long
EC
CORP
GB
N
2
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
14239.70000000
0.001562210704
N/A
DFE
N/A
N
2
Barclays Capital
AC28XWWI3WIBK2824319
40941014.88000000
RUB
587931.40000000
USD
2020-07-22
14239.70000000
N
N
N
N/A
N/A
Euro-Bund
N/A
-304.00000000
NC
-461179.24000000
-0.05059510700
N/A
DIR
DE
N
1
Eurex Clearing
529900LN3S50JPU47S06
Short
Federal Republic of Germany
Euro-Bund
2020-09-08
-53555680.00000000
EUR
-461179.24000000
N
N
N
CLP Holdings Ltd.
25490002BUTSMP94GO68
CLP Holdings Ltd.
N/A
5500.00000000
NS
54016.83000000
0.005926084821
Long
EC
CORP
HK
N
2
N
N
N
ITC Ltd.
335800WLOU3OFWFTMP43
ITC Ltd.
N/A
195085.00000000
NS
503727.46000000
0.055262992198
Long
EC
CORP
IN
N
2
N
N
N
Gulfport Energy Corp.
549300FJX18IDUFPHD40
Gulfport Energy Corp.
402635AE6
55000.00000000
PA
USD
32725.00000000
0.003590198199
Long
DBT
CORP
US
N
2
2023-05-01
Fixed
6.62500000
N
N
N
N
N
N
Red Electrica Corp. SA
5493009HMD0C90GUV498
Red Electrica Corp. SA
N/A
1481.00000000
NS
27708.84000000
0.003039884720
Long
EC
CORP
ES
N
2
N
N
N
LB-UBS Commercial Mortgage Trust
N/A
LB-UBS Commercial Mortgage Trust, Series 2007-C6, Class AJ
52109PAH8
132896.11000000
PA
USD
127792.90000000
0.014019918699
Long
ABS-MBS
CORP
US
N
2
2040-07-15
Variable
6.46271600
N
N
N
N
N
N
AMP Ltd.
5299000D93LTLU0UJR35
AMP Ltd.
N/A
12228.00000000
NS
15822.12000000
0.001735815026
Long
EC
CORP
AU
N
2
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
-126.02000000
-0.00001382541
N/A
DFE
N/A
N
2
Barclays Capital
AC28XWWI3WIBK2824319
545631.35000000
USD
447881497.00000000
CLP
2020-07-22
-126.02000000
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC, Multi-Family Structured Pass-Through Certificates, Series KC04, Class X1
3137FMCG5
3359849.58000000
PA
USD
196698.70000000
0.021579444415
Long
ABS-MBS
USGSE
US
N
2
2026-12-25
Variable
1.40506200
N
N
N
N
N
N
Trend Micro, Inc.
3538005O5UJ5RNAGVE16
Trend Micro, Inc.
N/A
500.00000000
NS
27942.25000000
0.003065491692
Long
EC
CORP
JP
N
2
N
N
N
Atlassian, Inc.
549300IXZ6QFOQGTMA56
Atlassian, Inc.
04947PAB8
460000.00000000
PA
USD
1023713.15000000
0.112309644229
Long
DBT
CORP
US
N
2
2023-05-01
Fixed
0.62500000
N
N
N
N
Y
Atlassian Corp. plc
Atlassian Corp. plc
USD
XXXX
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
-9057.13000000
-0.00099364069
N/A
DFE
N/A
N
2
State Street Bank and Trust
571474TGEMMWANRLN572
212827.43000000
EUR
230203.28000000
USD
2020-07-29
-9057.13000000
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
-720.42000000
-0.00007903592
N/A
DFE
N/A
N
2
State Street Bank and Trust
571474TGEMMWANRLN572
17898.67000000
EUR
19401.25000000
USD
2020-07-29
-720.42000000
N
N
N
N/A
N/A
TOPIX Index
N/A
11.00000000
NC
-75796.70000000
-0.00831551339
N/A
DE
JP
N
1
Japan Securities Clearing
549300JHM7D8P3TS4S86
Long
TOPIX Index
JP9010100007
2020-09-10
171270000.00000000
JPY
-75796.70000000
N
N
N
KT&G Corp.
988400ZJV6ISYBLQX875
KT&G Corp.
N/A
1147.00000000
NS
74906.44000000
0.008217844644
Long
EC
CORP
KR
N
2
N
N
N
SSE plc
549300KI75VYLLMSK856
SSE plc
N/A
3539.00000000
NS
59926.31000000
0.006574402757
Long
EC
CORP
GB
N
2
N
N
N
Ovintiv, Inc.
N/A
Ovintiv, Inc.
292505AE4
35000.00000000
PA
USD
29836.38000000
0.003273293131
Long
DBT
CORP
US
N
2
2037-08-15
Fixed
6.62500000
N
N
N
N
N
N
Parsley Energy LLC
N/A
Parsley Energy LLC
701885AD7
210000.00000000
PA
USD
204031.80000000
0.022383945023
Long
DBT
CORP
US
Y
2
2025-01-15
Fixed
5.37500000
N
N
N
N
N
N
Bausch Health Americas, Inc.
KOO0397YRO83WY5MGD97
Bausch Health Americas, Inc.
91911XAW4
238000.00000000
PA
USD
252577.50000000
0.027709802463
Long
DBT
CORP
US
Y
2
2027-01-31
Fixed
8.50000000
N
N
N
N
N
N
Zhongsheng Group Holdings Ltd.
3003005VYMEBAJNJ2Y26
Zhongsheng Group Holdings Ltd.
N/A
3000000.00000000
PA
572108.43000000
0.062764939801
Long
DBT
CORP
KY
Y
2
2023-05-23
None
0.00000000
N
N
N
N
N
Zhongsheng Group Holdings Ltd.
Zhongsheng Group Holdings Ltd.
HKD
XXXX
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
-3012.15000000
-0.00033045731
N/A
DFE
N/A
N
2
Merrill Lynch International
AHYI0DDQ2LCHPGHJC422
111581.52000000
EUR
122349.69000000
USD
2020-07-02
-3012.15000000
N
N
N
DCP Midstream Operating LP
549300Y6CTBSE0QIPL28
DCP Midstream Operating LP
23311RAA4
60000.00000000
PA
USD
53837.40000000
0.005906399893
Long
DBT
CORP
US
Y
2
2037-09-15
Fixed
6.75000000
N
N
N
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
-6755.68000000
-0.00074115294
N/A
DFE
N/A
N
2
Citibank
MBNUM2BPBDO7JBLYG310
1011924.17000000
USD
3976481.52000000
PLN
2020-07-22
-6755.68000000
N
N
N
STMicroelectronics NV
213800Z8NOHIKRI42W10
STMicroelectronics NV, Series A
N/A
400000.00000000
PA
USD
538888.00000000
0.059120388909
Long
DBT
CORP
NL
Y
2
2022-07-03
None
0.00000000
N
N
N
N
Y
STMicroelectronics NV
STMicroelectronics NV
EUR
XXXX
N
N
N
Northern Trust Corp.
549300GLF98S992BC502
Northern Trust Corp.
665859104
6123.00000000
NS
USD
485798.82000000
0.053296074824
Long
EC
CORP
US
N
1
N
N
N
AGL Energy Ltd.
549300QAZ8A74DEDXO80
AGL Energy Ltd.
N/A
2081.00000000
NS
24618.57000000
0.002700857010
Long
EC
CORP
AU
N
2
N
N
N
Symrise AG
529900D82I6R9601CF26
Symrise AG
N/A
4338.00000000
NS
506880.92000000
0.055608952363
Long
EC
CORP
DE
N
2
N
N
N
Matador Resources Co.
549300CI3Q2UUK5R4G79
Matador Resources Co.
576485AE6
31000.00000000
PA
USD
22940.00000000
0.002516704253
Long
DBT
CORP
US
N
2
2026-09-15
Fixed
5.87500000
N
N
N
N
N
N
Kintetsu Group Holdings Co. Ltd.
N/A
Kintetsu Group Holdings Co. Ltd.
N/A
600.00000000
NS
26921.69000000
0.002953527974
Long
EC
CORP
JP
N
2
N
N
N
Slack Technologies, Inc.
549300VIZRB02KN4IJ45
Slack Technologies, Inc.
83088VAA0
200000.00000000
PA
USD
246250.00000000
0.027015624339
Long
DBT
CORP
US
Y
2
2025-04-15
Fixed
0.50000000
N
N
N
N
Y
Slack Technologies, Inc.
Slack Technologies, Inc.
USD
XXXX
N
N
N
East West Bancorp, Inc.
N/A
East West Bancorp, Inc.
27579R104
5836.00000000
NS
USD
211496.64000000
0.023202898579
Long
EC
CORP
US
N
1
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
-72989.64000000
-0.00800755612
N/A
DFE
N/A
N
2
Toronto Dominion Bank
PT3QB789TSUIDF371261
25112943.80000000
NZD
14353452.37000000
EUR
2020-07-22
-72989.64000000
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
3520.29000000
0.000386204394
N/A
DFE
N/A
N
2
State Street Bank and Trust
571474TGEMMWANRLN572
155502.45000000
USD
1054115.37000000
DKK
2020-07-29
3520.29000000
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
-46.00000000
-0.00000504657
N/A
DFE
N/A
N
2
BNP Paribas
R0MUWSFPU8MPRO8K5P83
21525.28000000
GBP
26630.98000000
USD
2020-07-29
-46.00000000
N
N
N
FUJIFILM Holdings Corp.
529900UBKMFM0ST6H474
FUJIFILM Holdings Corp.
N/A
1300.00000000
NS
55642.22000000
0.006104403301
Long
EC
CORP
JP
N
2
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
-1032.73000000
-0.00011329886
N/A
DFE
N/A
N
2
Merrill Lynch International
AHYI0DDQ2LCHPGHJC422
510522.42000000
NZD
292193.44000000
EUR
2020-07-22
-1032.73000000
N
N
N
Bank of America Corp.
9DJT3UXIJIZJI4WXO774
Bank of America Corp.
060505104
109124.00000000
NS
USD
2591695.00000000
0.284329983846
Long
EC
CORP
US
N
1
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
135020.46000000
0.014812840712
N/A
DFE
N/A
N
2
Merrill Lynch International
AHYI0DDQ2LCHPGHJC422
1628304.45000000
USD
2554740.05000000
AUD
2020-07-29
135020.46000000
N
N
N
Service Corp. International
549300RKVM2ME20JHZ15
Service Corp. International
817565CD4
165000.00000000
PA
USD
171187.50000000
0.018780658646
Long
DBT
CORP
US
N
2
2027-12-15
Fixed
4.62500000
N
N
N
N
N
N
China Resources Land Ltd.
5299001HL0TU7X15HK51
China Resources Land Ltd.
N/A
24000.00000000
NS
91732.69000000
0.010063820883
Long
EC
CORP
KY
N
2
N
N
N
Singapore Exchange Ltd.
549300IQ650PPXM76X03
Singapore Exchange Ltd.
N/A
2800.00000000
NS
16849.45000000
0.001848521468
Long
EC
CORP
SG
N
2
N
N
N
Six Flags Entertainment Corp.
549300JYTDUAA4JQ3717
Six Flags Entertainment Corp.
83001AAB8
227000.00000000
PA
USD
202883.52000000
0.022257969384
Long
DBT
CORP
US
Y
2
2024-07-31
Fixed
4.87500000
N
N
N
N
N
N
Bear Stearns ALT-A Trust
N/A
Bear Stearns ALT-A Trust, Series 2005-7, Class 12A3
07386HVL2
17610.97000000
PA
USD
17485.26000000
0.001918274987
Long
ABS-MBS
CORP
US
N
2
2035-08-25
Floating
0.86450000
N
N
N
N
N
N
CyberArk Software Ltd.
529900YEXNDM894PWS93
CyberArk Software Ltd.
N/A
138.00000000
NS
USD
13699.26000000
0.001502920048
Long
EC
CORP
IL
N
1
N
N
N
Amadeus IT Group SA
9598004A3FTY3TEHHN09
Amadeus IT Group SA
N/A
600000.00000000
PA
814427.40000000
0.089349298233
Long
DBT
CORP
ES
Y
2
2025-04-09
Fixed
1.50000000
N
N
N
N
N
Amadeus IT Group SA
Amadeus IT Group SA
EUR
XXXX
N
N
N
Bosch Ltd.
3358008TVK7S8BSVVW82
Bosch Ltd.
N/A
14.00000000
NS
2119.61000000
0.000232538426
Long
EC
CORP
IN
N
2
N
N
N
Nibe Industrier AB
549300ZQH0FIF1P0MX67
Nibe Industrier AB, Class B
N/A
1066.00000000
NS
23643.69000000
0.002593904759
Long
EC
CORP
SE
N
2
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
3168.85000000
0.000347648573
N/A
DFE
N/A
N
2
BNP Paribas
R0MUWSFPU8MPRO8K5P83
159917.98000000
USD
145069.34000000
EUR
2020-07-29
3168.85000000
N
N
N
Koninklijke Ahold Delhaize NV
724500C9GNBV20UYRX36
Koninklijke Ahold Delhaize NV
N/A
3765.00000000
NS
102611.57000000
0.011257322347
Long
EC
CORP
NL
N
2
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
-702.94000000
-0.00007711822
N/A
DFE
N/A
N
2
BNP Paribas
R0MUWSFPU8MPRO8K5P83
3814486.49000000
NZD
3340776.86000000
CAD
2020-07-22
-702.94000000
N
N
N
Banc of America Alternative Loan Trust
N/A
Banc of America Alternative Loan Trust, Series 2004-6, Class 4A1
05948KSN0
9918.20000000
PA
USD
10238.35000000
0.001123230121
Long
ABS-MBS
CORP
US
N
2
2019-07-25
Fixed
5.00000000
N
N
N
N
N
N
Aurizon Holdings Ltd.
5299005PC1O6NOWL3H48
Aurizon Holdings Ltd.
N/A
6681.00000000
NS
22734.61000000
0.002494171302
Long
EC
CORP
AU
N
2
N
N
N
GNMA
549300M8ZYFG0OCMTT87
GNMA I, 30 Year
36205VMH8
0.17000000
PA
USD
0.17000000
0.000000018650
Long
ABS-MBS
USGA
US
N
2
2025-06-15
Fixed
7.50000000
N
N
N
N
N
N
Lion Corp.
529900MPGS2GM7VPG855
Lion Corp.
N/A
800.00000000
NS
19241.31000000
0.002110927929
Long
EC
CORP
JP
N
2
N
N
N
Umicore SA
529900F3AIQECS8ZSV61
Umicore SA
N/A
675.00000000
NS
31862.77000000
0.003495604567
Long
EC
CORP
BE
N
2
N
N
N
Japan Airport Terminal Co. Ltd.
353800W9WEQSGUY2EO26
Japan Airport Terminal Co. Ltd.
N/A
200.00000000
NS
8534.40000000
0.000936292972
Long
EC
CORP
JP
N
2
N
N
N
Genesis Energy LP
N/A
Genesis Energy LP
37185LAK8
135000.00000000
PA
USD
115813.80000000
0.012705714168
Long
DBT
CORP
US
N
2
2026-05-15
Fixed
6.25000000
N
N
N
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
77.88000000
0.000008544068
N/A
DFE
N/A
N
2
State Street Bank and Trust
571474TGEMMWANRLN572
96273.12000000
USD
85706.35000000
EUR
2020-07-29
77.88000000
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
-2710.48000000
-0.00029736166
N/A
DFE
N/A
N
2
BNP Paribas
R0MUWSFPU8MPRO8K5P83
4484046.37000000
CAD
3300407.89000000
USD
2020-07-22
-2710.48000000
N
N
N
N/A
N/A
DJ US Real Estate Index
N/A
762.00000000
NC
USD
-410920.12000000
-0.04508127348
N/A
DE
US
N
1
CME Clearing House
LCZ7XYGSLJUHFXXNXD88
Long
DJ US Real Estate Index
XC0006882473
2020-09-18
23591520.00000000
USD
-410920.12000000
N
N
N
LKQ Corp.
DS830JTTZQN6GK0I2E41
LKQ Corp.
501889208
9210.00000000
NS
USD
241302.00000000
0.026472788565
Long
EC
CORP
US
N
1
N
N
N
Kinnevik AB
2138006PZH76JOS6MN27
Kinnevik AB, Class B
N/A
828.00000000
NS
21856.97000000
0.002397887068
Long
EC
CORP
SE
N
2
N
N
N
Intuitive Surgical, Inc.
54930052SRG011710797
Intuitive Surgical, Inc.
46120E602
1989.00000000
NS
USD
1133391.87000000
0.124342290311
Long
EC
CORP
US
N
1
N
N
N
Saxon Asset Securities Trust
N/A
Saxon Asset Securities Trust, Series 2000-2, Class MF2
805564GA3
58588.63000000
PA
USD
50760.93000000
0.005568886156
Long
ABS-O
CORP
US
N
3
2030-07-25
Variable
8.66400100
N
N
N
N
N
N
Telenet Group Holding NV
213800FA3K4S56INQI67
Telenet Group Holding NV
N/A
195.00000000
NS
8034.62000000
0.000881463048
Long
EC
CORP
BE
N
2
N
N
N
Svenska Cellulosa AB SCA
549300FW5JDRV1IJ0M67
Svenska Cellulosa AB SCA, Class B
N/A
2073.00000000
NS
24795.52000000
0.002720269862
Long
EC
CORP
SE
N
2
N
N
N
Barry Callebaut AG
213800Y5RWKLDPUTT265
Barry Callebaut AG (Registered)
N/A
13.00000000
NS
24814.88000000
0.002722393811
Long
EC
CORP
CH
N
2
N
N
N
AmerisourceBergen Corp.
AI8GXW8LG5WK7E9UD086
AmerisourceBergen Corp.
03073E105
5574.00000000
NS
USD
561691.98000000
0.061622170664
Long
EC
CORP
US
N
1
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
-126051.01000000
-0.01382881922
N/A
DFE
N/A
N
2
Goldman Sachs International
W22LROWP2IHZNBB6K528
5888348.19000000
USD
132816109.72000000
MXN
2020-07-22
-126051.01000000
N
N
N
United States of America
254900HROIFWPRGM1V77
U.S. Treasury Bonds
912810QY7
400000.00000000
PA
USD
512218.75000000
0.056194555653
Long
DBT
UST
US
N
2
2042-11-15
Fixed
2.75000000
N
N
N
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
-1688.58000000
-0.00018525093
N/A
DFE
N/A
N
2
Merrill Lynch International
AHYI0DDQ2LCHPGHJC422
225852.88000000
USD
24195551.00000000
JPY
2020-07-29
-1688.58000000
N
N
N
Ageas SA
5493005DJBML6LY3RV36
Ageas SA
N/A
610.00000000
NS
21618.25000000
0.002371697546
Long
EC
CORP
BE
N
2
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
-5398.12000000
-0.00059221759
N/A
DFE
N/A
N
2
Barclays Bank
G5GSEF7VJP5I7OUK5573
379368.58000000
USD
8619704.91000000
MXN
2020-07-22
-5398.12000000
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
20212.62000000
0.002217488523
N/A
DFE
N/A
N
2
Goldman Sachs
FOR8UP27PHTHYVLBNG30
2197888.33000000
USD
167940647.07000000
INR
2020-07-22
20212.62000000
N
N
N
GNMA
549300M8ZYFG0OCMTT87
GNMA, Series 2008-26, Class JP
38374DB40
1074.41000000
PA
USD
1225.63000000
0.000134461562
Long
ABS-MBS
USGA
US
N
2
2038-03-20
Fixed
5.25000000
N
N
N
N
N
N
Anheuser-Busch InBev Finance, Inc.
5493000EYEKDT0FBSQ91
Anheuser-Busch InBev Finance, Inc.
035242AM8
55000.00000000
PA
USD
63458.99000000
0.006961966435
Long
DBT
CORP
US
N
2
2036-02-01
Fixed
4.70000000
N
N
N
N
N
N
Eagle RE Ltd.
254900L82OLW9QTLJ788
Eagle RE Ltd., Series 2019-1, Class M2
269822AC6
350000.00000000
PA
USD
333300.10000000
0.036565727081
Long
ABS-MBS
CORP
BM
Y
3
2029-04-25
Floating
3.48450100
N
N
N
N
N
N
Bank of Kyoto Ltd. (The)
549300LRPVT8N6FNFC04
Bank of Kyoto Ltd. (The)
N/A
200.00000000
NS
7105.98000000
0.000779583700
Long
EC
CORP
JP
N
2
N
N
N
Auckland International Airport Ltd.
549300HFZIZDJWB7AK60
Auckland International Airport Ltd.
N/A
4158.00000000
NS
17682.99000000
0.001939967573
Long
EC
CORP
NZ
N
2
N
N
N
Uniti Group LP
N/A
Uniti Group LP
20341WAA3
80000.00000000
PA
USD
78000.00000000
0.008557233293
Long
DBT
CORP
US
Y
2
2023-04-15
Fixed
6.00000000
N
N
N
N
N
N
Givaudan SA
213800SVRMQA1TD91D41
Givaudan SA (Registered)
N/A
32.00000000
NS
119615.05000000
0.013122742156
Long
EC
CORP
CH
N
2
N
N
N
Tenet Healthcare Corp.
0W9AIBT6U6ADJ2I8HK17
Tenet Healthcare Corp.
88033GCX6
510000.00000000
PA
USD
506175.00000000
0.055531507207
Long
DBT
CORP
US
Y
2
2027-02-01
Fixed
6.25000000
N
N
N
N
N
N
BlackRock, Inc.
549300LRIF3NWCU26A80
BlackRock, Inc.
09247X101
3516.00000000
NS
USD
1913020.44000000
0.209873874357
Long
EC
CORP
US
N
1
N
N
N
Adyen NV
724500973ODKK3IFQ447
Adyen NV
N/A
62.00000000
NS
90240.64000000
0.009900130884
Long
EC
CORP
NL
Y
1
N
N
N
SAP SE
529900D6BF99LW9R2E68
SAP SE
N/A
12470.00000000
NS
1743175.31000000
0.191240484599
Long
EC
CORP
DE
N
2
N
N
N
Lotte Chemical Corp.
988400TPNFJZDPI94Y56
Lotte Chemical Corp.
N/A
318.00000000
NS
44442.73000000
0.004875728317
Long
EC
CORP
KR
N
2
N
N
N
Sberbank of Russia PJSC
549300WE6TAF5EEWQS81
Sberbank of Russia PJSC
80585Y308
2504.00000000
NS
USD
28395.36000000
0.003115201538
Long
EC
CORP
RU
N
1
N
N
N
Ocado Group plc
213800LO8F61YB8MBC74
Ocado Group plc
N/A
300000.00000000
PA
486422.36000000
0.053364482225
Long
DBT
CORP
GB
Y
2
2025-12-09
Fixed
0.87500000
N
N
N
N
N
Ocado Group plc
Ocado Group plc
GBP
XXXX
N
N
N
Country Garden Services Holdings Co. Ltd.
N/A
Country Garden Services Holdings Co. Ltd.
N/A
13000.00000000
NS
60688.66000000
0.006658038741
Long
EC
CORP
KY
N
2
N
N
N
Tatneft PJSC
253400PAT768SVJMV121
Tatneft PJSC
876629205
1452.00000000
NS
USD
68377.58000000
0.007501575693
Long
EC
CORP
RU
N
1
N
N
N
Martin Marietta Materials, Inc.
5299005MZ4WZECVATV08
Martin Marietta Materials, Inc.
573284106
4145.00000000
NS
USD
856232.65000000
0.093935673581
Long
EC
CORP
US
N
1
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
12588.61000000
0.001381072725
N/A
DFE
N/A
N
2
Goldman Sachs International
W22LROWP2IHZNBB6K528
12040124842.00000000
IDR
838974.62000000
USD
2020-07-22
12588.61000000
N
N
N
Intelsat Jackson Holdings SA
8XJ8KF85PBKK1TLMFN29
Intelsat Jackson Holdings SA
45824TAR6
250000.00000000
PA
USD
253545.00000000
0.027815945068
Long
DBT
CORP
LU
Y
2
2024-02-15
Fixed
8.00000000
N
N
N
N
N
N
Ardagh Packaging Finance plc
N/A
Ardagh Packaging Finance plc
03969AAL4
200000.00000000
PA
USD
204750.00000000
0.022462737394
Long
DBT
CORP
US
Y
2
2025-02-15
Fixed
6.00000000
N
N
N
N
N
N
Deutsche Telekom AG
549300V9QSIG4WX4GJ96
Deutsche Telekom AG (Registered)
N/A
11399.00000000
NS
191266.57000000
0.020983495649
Long
EC
CORP
DE
N
2
N
N
N
Comcast Corp.
51M0QTTNCGUN7KFCFZ59
Comcast Corp., Class A
20030N101
28653.00000000
NS
USD
1116893.94000000
0.122532333441
Long
EC
CORP
US
N
1
N
N
N
Axalta Coating Systems Ltd.
529900AGLPA40GV6H619
Axalta Coating Systems Ltd.
N/A
12350.00000000
NS
USD
278492.50000000
0.030552888370
Long
EC
CORP
BM
N
1
N
N
N
Sekisui House Ltd.
529900GMNDOYQSAJAE76
Sekisui House Ltd.
N/A
2200.00000000
NS
42002.76000000
0.004608043798
Long
EC
CORP
JP
N
2
N
N
N
S-Oil Corp.
988400QTUXYDN8W3MZ32
S-Oil Corp.
N/A
951.00000000
NS
50699.21000000
0.005562114971
Long
EC
CORP
KR
N
2
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
21747.50000000
0.002385877321
N/A
DFE
N/A
N
2
Barclays Capital
AC28XWWI3WIBK2824319
76399475.94000000
RUB
1092305.85000000
USD
2020-07-22
21747.50000000
N
N
N
CenturyLink, Inc.
8M3THTGWLTYZVE6BBY25
CenturyLink, Inc., Series G
156686AM9
49000.00000000
PA
USD
52121.30000000
0.005718129790
Long
DBT
CORP
US
N
2
2028-01-15
Fixed
6.87500000
N
N
N
N
N
N
American Credit Acceptance Receivables Trust
N/A
American Credit Acceptance Receivables Trust, Series 2019-1, Class E
02528CAJ1
445000.00000000
PA
USD
448666.89000000
0.049222400624
Long
ABS-O
CORP
US
Y
2
2025-04-14
Fixed
4.84000000
N
N
N
N
N
N
BT Group plc
213800LRO7NS5CYQMN21
BT Group plc
N/A
28725.00000000
NS
40624.34000000
0.004456819932
Long
EC
CORP
GB
N
2
N
N
N
Airbus SE
MINO79WLOO247M1IL051
Airbus SE
N/A
11570.00000000
NS
829034.77000000
0.090951845322
Long
EC
CORP
NL
N
2
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
-8707.65000000
-0.00095529990
N/A
DFE
N/A
N
2
Goldman Sachs International
W22LROWP2IHZNBB6K528
311989.15000000
CHF
320863.27000000
USD
2020-07-29
-8707.65000000
N
N
N
TIS, Inc.
N/A
TIS, Inc.
N/A
700.00000000
NS
14820.83000000
0.001625965383
Long
EC
CORP
JP
N
2
N
N
N
HSBC Holdings plc
MLU0ZO3ML4LN2LL2TL39
HSBC Holdings plc
N/A
69465.00000000
NS
322844.77000000
0.035418692492
Long
EC
CORP
GB
N
2
N
N
N
Intercontinental Exchange, Inc.
5493000F4ZO33MV32P92
Intercontinental Exchange, Inc.
45866F104
8051.00000000
NS
USD
737471.60000000
0.080906622158
Long
EC
CORP
US
N
1
N
N
N
Hakuhodo DY Holdings, Inc.
N/A
Hakuhodo DY Holdings, Inc.
N/A
900.00000000
NS
10741.45000000
0.001178424276
Long
EC
CORP
JP
N
2
N
N
N
Sberbank of Russia PJSC
549300WE6TAF5EEWQS81
Sberbank of Russia PJSC
N/A
174538.00000000
NS
498992.95000000
0.054743578010
Long
EC
CORP
RU
N
2
N
N
N
GNMA
549300M8ZYFG0OCMTT87
GNMA I, 30 Year
36204PV74
0.14000000
PA
USD
0.14000000
0.000000015359
Long
ABS-MBS
USGA
US
N
2
2024-04-15
Fixed
8.00000000
N
N
N
N
N
N
CCO Holdings LLC
N/A
CCO Holdings LLC
1248EPBT9
735000.00000000
PA
USD
760431.00000000
0.083425454749
Long
DBT
CORP
US
Y
2
2027-05-01
Fixed
5.12500000
N
N
N
N
N
N
Sony Financial Holdings, Inc.
353800O7BDSU41WOZA60
Sony Financial Holdings, Inc.
N/A
600.00000000
NS
14486.96000000
0.001589337133
Long
EC
CORP
JP
N
2
N
N
N
RLI Corp.
529900AMTJE5ECN9PS55
RLI Corp.
749607107
6585.00000000
NS
USD
540628.50000000
0.059311335890
Long
EC
CORP
US
N
1
N
N
N
Coupa Software, Inc.
549300Q95ICR2GFL2K37
Coupa Software, Inc.
22266LAC0
710000.00000000
PA
USD
1290635.50000000
0.141593193206
Long
DBT
CORP
US
N
2
2025-06-15
Fixed
0.12500000
N
N
N
N
Y
Coupa Software, Inc.
Coupa Software, Inc.
USD
XXXX
N
N
N
International Game Technology plc
549300UQ6KHRCZDRGZ76
International Game Technology plc
460599AD5
200000.00000000
PA
USD
204000.00000000
0.022380456305
Long
DBT
CORP
GB
Y
2
2027-01-15
Fixed
6.25000000
N
N
N
N
N
N
US Bancorp
N1GZ7BBF3NP8GI976H15
US Bancorp
902973304
18116.00000000
NS
USD
667031.12000000
0.073178729586
Long
EC
CORP
US
N
1
N
N
N
HCA, Inc.
L3CJ6J7LJ2DX62FTXD46
HCA, Inc.
404121AG0
195000.00000000
PA
USD
211087.50000000
0.023158012599
Long
DBT
CORP
US
N
2
2023-05-01
Fixed
5.87500000
N
N
N
N
N
N
MS&AD Insurance Group Holdings, Inc.
529900CXROT5S2HMMP26
MS&AD Insurance Group Holdings, Inc.
N/A
1600.00000000
NS
44061.93000000
0.004833951466
Long
EC
CORP
JP
N
2
N
N
N
Apple, Inc.
HWUPKR0MPOU8FGXBT394
Apple, Inc.
037833100
26150.00000000
NS
USD
9539520.00000000
1.046562796740
Long
EC
CORP
US
N
1
N
N
N
HDFC Life Insurance Co. Ltd.
335800RQI8GAFHIRGZ37
HDFC Life Insurance Co. Ltd.
N/A
61272.00000000
NS
447539.91000000
0.049098761768
Long
EC
CORP
IN
Y
2
N
N
N
RingCentral, Inc.
549300C8EH0H1614VE84
RingCentral, Inc.
76680RAE7
90000.00000000
PA
USD
96362.19000000
0.010571714621
Long
DBT
CORP
US
Y
2
2025-03-01
None
0.00000000
N
N
N
N
Y
RingCentral, Inc.
RingCentral, Inc.
USD
XXXX
N
N
N
Miura Co. Ltd.
N/A
Miura Co. Ltd.
N/A
400.00000000
NS
16668.07000000
0.001828622609
Long
EC
CORP
JP
N
2
N
N
N
AptarGroup, Inc.
VNPEQDQFAA7IY1T2PX43
AptarGroup, Inc.
038336103
5934.00000000
NS
USD
664489.32000000
0.072899873488
Long
EC
CORP
US
N
1
N
N
N
SUMCO Corp.
353800SUSRUOM0V6KU92
SUMCO Corp.
N/A
900.00000000
NS
13836.72000000
0.001518000526
Long
EC
CORP
JP
N
2
N
N
N
M3, Inc.
N/A
M3, Inc.
N/A
1500.00000000
NS
63721.70000000
0.006990787855
Long
EC
CORP
JP
N
2
N
N
N
Prudential plc
5493001Z3ZE83NGK8Y12
Prudential plc
N/A
50874.00000000
NS
766572.78000000
0.084099257881
Long
EC
CORP
GB
N
2
N
N
N
CarMax, Inc.
N/A
CarMax, Inc.
143130102
5979.00000000
NS
USD
535419.45000000
0.058739860812
Long
EC
CORP
US
N
1
N
N
N
American Home Mortgage Investment Trust
N/A
American Home Mortgage Investment Trust, Series 2006-3, Class 22A1
026929AJ8
1480638.70000000
PA
USD
1292476.76000000
0.141795194377
Long
ABS-MBS
CORP
US
N
2
2036-12-25
Floating
2.26500100
N
N
N
N
N
N
Tenet Healthcare Corp.
0W9AIBT6U6ADJ2I8HK17
Tenet Healthcare Corp.
88033GCU2
131000.00000000
PA
USD
126442.51000000
0.013871769952
Long
DBT
CORP
US
N
2
2025-05-01
Fixed
5.12500000
N
N
N
N
N
N
Trinity Health Corp.
TWSRHFGEDJDX0GKMGJ67
Trinity Health Corp., Series 2019
896517AA7
30000.00000000
PA
USD
32664.77000000
0.003583590478
Long
DBT
CORP
US
N
2
2048-12-01
Fixed
3.43400000
N
N
N
N
N
N
Solvay SA
549300MMVL80RTBP3O28
Solvay SA
N/A
271.00000000
NS
21741.21000000
0.002385187257
Long
EC
CORP
BE
N
2
N
N
N
Novozymes A/S
529900T6WNZXD2R3JW38
Novozymes A/S, Class B
N/A
731.00000000
NS
42380.39000000
0.004649472875
Long
EC
CORP
DK
N
2
N
N
N
JPMorgan Emerging Markets Equity Fund
YGO3SVACG8PL3FXK2G86
JPMorgan Emerging Markets Equity Fund, Class R6
48121L122
0.00100000
NS
USD
0.03000000
0.000000003291
Long
RF
US
N
1
N
N
N
American Woodmark Corp.
N/A
American Woodmark Corp.
030506AA7
140000.00000000
PA
USD
136203.20000000
0.014942596893
Long
DBT
CORP
US
Y
2
2026-03-15
Fixed
4.87500000
N
N
N
N
N
N
Park Place Securities, Inc. Asset-Backed Pass-Through Certificates
N/A
Park Place Securities, Inc. Asset-Backed Pass-Through Certificates, Series 2004-WWF1, Class M4
70069FDM6
863767.90000000
PA
USD
871280.09000000
0.095586499921
Long
ABS-O
CORP
US
N
3
2034-12-25
Floating
1.83449900
N
N
N
N
N
N
Yum! Brands, Inc.
549300JE8XHZZ7OHN517
Yum! Brands, Inc.
988498101
6238.00000000
NS
USD
542144.58000000
0.059477662176
Long
EC
CORP
US
N
1
N
N
N
MASTR Alternative Loan Trust
N/A
MASTR Alternative Loan Trust, Series 2005-6, Class 1A2
576434V68
256528.96000000
PA
USD
231766.32000000
0.025426647048
Long
ABS-MBS
CORP
US
N
2
2035-12-25
Fixed
5.50000000
N
N
N
N
N
N
Antofagasta plc
213800MY6QVH4FVLD628
Antofagasta plc
N/A
1350.00000000
NS
15625.39000000
0.001714232147
Long
EC
CORP
GB
N
2
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
-709.16000000
-0.00007780060
N/A
DFE
N/A
N
2
BNP Paribas
R0MUWSFPU8MPRO8K5P83
10079807.14000000
SEK
962000.00000000
EUR
2020-07-22
-709.16000000
N
N
N
EastGroup Properties, Inc.
31TIGQQZC4P6JMHKSW85
EastGroup Properties, Inc.
277276101
6257.00000000
NS
USD
742142.77000000
0.081419087433
Long
EC
CORP
US
N
1
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC, Multi-Family Structured Pass-Through Certificates, Series K068, Class X3
3137FBC20
5100000.00000000
PA
USD
616817.97000000
0.067669939343
Long
ABS-MBS
USGSE
US
N
2
2044-10-25
Variable
2.12964800
N
N
N
N
N
N
Thai Oil PCL
549300HG5527UPZLTT69
Thai Oil PCL
N/A
30800.00000000
NS
44699.66000000
0.004903915624
Long
EC
CORP
TH
N
1
N
N
N
N/A
N/A
S&P 500 E-Mini Index
N/A
290.00000000
NC
USD
793936.30000000
0.087101258193
N/A
DE
US
N
1
CME Clearing House
LCZ7XYGSLJUHFXXNXD88
Long
S&P 500 E-Mini Index
US78378X1072
2020-09-18
44721625.00000000
USD
793936.30000000
N
N
N
Structured Asset Investment Loan Trust
N/A
Structured Asset Investment Loan Trust, Series 2004-7, Class M1
86358EKL9
40025.01000000
PA
USD
39686.74000000
0.004353957600
Long
ABS-O
CORP
US
N
3
2034-08-25
Floating
1.23450100
N
N
N
N
N
N
Discovery, Inc.
5493006ZCRFWKF6B1K26
Discovery, Inc., Class A
25470F104
25994.00000000
NS
USD
548473.40000000
0.060171985114
Long
EC
CORP
US
N
1
N
N
N
Atmos Energy Corp.
QVLWEGTD2S8GJMO8D383
Atmos Energy Corp.
049560105
3200.00000000
NS
USD
318656.00000000
0.034959150414
Long
EC
CORP
US
N
1
N
N
N
TOTAL SA
529900S21EQ1BO4ESM68
TOTAL SA
N/A
27697.00000000
NS
1067952.79000000
0.117163091925
Long
EC
CORP
FR
N
2
N
N
N
EnLink Midstream Partners LP
88CPW63VL7KHJWS0NY83
EnLink Midstream Partners LP
29336UAB3
32000.00000000
PA
USD
26576.00000000
0.002915602974
Long
DBT
CORP
US
N
2
2024-04-01
Fixed
4.40000000
N
N
N
N
N
N
Oversea-Chinese Banking Corp. Ltd.
5493007O3QFXCPOGWK22
Oversea-Chinese Banking Corp. Ltd.
N/A
11300.00000000
NS
73651.05000000
0.008080118168
Long
EC
CORP
SG
N
2
N
N
N
American Electric Power Co., Inc.
1B4S6S7G0TW5EE83BO58
American Electric Power Co., Inc.
025537101
12677.00000000
NS
USD
1009596.28000000
0.110760908974
Long
EC
CORP
US
N
1
N
N
N
Clearway Energy Operating LLC
549300Z3NFMM54NWBB87
Clearway Energy Operating LLC
18539UAB1
5000.00000000
PA
USD
5192.00000000
0.000569604554
Long
DBT
CORP
US
N
2
2025-10-15
Fixed
5.75000000
N
N
N
N
N
N
Residential Asset Securitization Trust
N/A
Residential Asset Securitization Trust, Series 2006-A8, Class 3A1
761119AP1
388322.79920000
PA
USD
281052.86000000
0.030833780650
Long
ABS-MBS
CORP
US
N
2
2036-08-25
Fixed
6.00000000
N
N
N
N
N
N
Intuit, Inc.
VI90HBPH7XSFMB9E4M29
Intuit, Inc.
461202103
2501.00000000
NS
USD
740771.19000000
0.081268613971
Long
EC
CORP
US
N
1
N
N
N
Automatic Data Processing, Inc.
HGBOLILQXWER4SAL2I23
Automatic Data Processing, Inc.
053015103
4114.00000000
NS
USD
612533.46000000
0.067199893809
Long
EC
CORP
US
N
1
N
N
N
BAE Systems plc
8SVCSVKSGDWMW2QHOH83
BAE Systems plc
N/A
10960.00000000
NS
65534.90000000
0.007189710617
Long
EC
CORP
GB
N
2
N
N
N
MonotaRO Co. Ltd.
N/A
MonotaRO Co. Ltd.
N/A
400.00000000
NS
16071.38000000
0.001763160871
Long
EC
CORP
JP
N
2
N
N
N
Broadridge Financial Solutions, Inc.
N/A
Broadridge Financial Solutions, Inc.
11133T103
3790.00000000
NS
USD
478260.10000000
0.052469016032
Long
EC
CORP
US
N
1
N
N
N
Daifuku Co. Ltd.
N/A
Daifuku Co. Ltd.
N/A
300.00000000
NS
26289.63000000
0.002884185860
Long
EC
CORP
JP
N
2
N
N
N
ABB Ltd.
5493000LKVGOO9PELI61
ABB Ltd. (Registered)
N/A
6302.00000000
NS
142947.86000000
0.015682540856
Long
EC
CORP
CH
N
2
N
N
N
Chubb Ltd.
E0JAN6VLUDI1HITHT809
Chubb Ltd.
N/A
111.00000000
NS
USD
14054.82000000
0.001541927867
Long
EC
CORP
CH
N
1
N
N
N
Groupe Bruxelles Lambert SA
549300KV0ZEHT2KVU152
Groupe Bruxelles Lambert SA
N/A
364.00000000
NS
30488.68000000
0.003344855737
Long
EC
CORP
BE
N
2
N
N
N
CBRE Group, Inc.
52990016II9MJ2OSWA10
CBRE Group, Inc., Class A
12504L109
13031.00000000
NS
USD
589261.82000000
0.064646805955
Long
EC
CORP
US
N
1
N
N
N
Alstom SA
96950032TUYMW11FB530
Alstom SA
N/A
12320.00000000
NS
574123.56000000
0.062986015924
Long
EC
CORP
FR
N
2
N
N
N
Encompass Health Corp.
549300FVRPM9DRQZRG64
Encompass Health Corp.
29261AAA8
295000.00000000
PA
USD
282940.40000000
0.031040859113
Long
DBT
CORP
US
N
2
2028-02-01
Fixed
4.50000000
N
N
N
N
N
N
Alexion Pharmaceuticals, Inc.
M1YXUUZR0EIMU8T0EM75
Alexion Pharmaceuticals, Inc.
015351109
6145.00000000
NS
USD
689714.80000000
0.075667313454
Long
EC
CORP
US
N
1
N
N
N
Cie de Saint-Gobain
NFONVGN05Z0FMN5PEC35
Cie de Saint-Gobain
N/A
1683.00000000
NS
60724.28000000
0.006661946545
Long
EC
CORP
FR
N
2
N
N
N
CNP Assurances
969500QKVPV2H8UXM738
CNP Assurances
N/A
399.00000000
NS
4627.78000000
0.000507705039
Long
EC
CORP
FR
N
2
N
N
N
DiaSorin SpA
8156002878BDF0EE4348
DiaSorin SpA
N/A
86.00000000
NS
16515.92000000
0.001811930519
Long
EC
CORP
IT
N
2
N
N
N
MercadoLibre, Inc.
549300DKPDN9M5S8GB14
MercadoLibre, Inc.
58733R102
1574.00000000
NS
USD
1551601.98000000
0.170223334886
Long
EC
CORP
US
N
1
N
N
N
Kinder Morgan, Inc.
549300WR7IX8XE0TBO16
Kinder Morgan, Inc.
49456B101
39284.00000000
NS
USD
595938.28000000
0.065379267824
Long
EC
CORP
US
N
1
N
N
N
DexCom, Inc.
549300YSK3QDSFR5EU59
DexCom, Inc.
252131AJ6
197000.00000000
PA
USD
201676.63000000
0.022125563752
Long
DBT
CORP
US
Y
2
2025-11-15
Fixed
0.25000000
N
N
N
N
Y
DexCom, Inc.
DexCom, Inc.
USD
XXXX
N
N
N
Sprint Capital Corp.
549300L17W0GQBR1PO80
Sprint Capital Corp.
852060AT9
891000.00000000
PA
USD
1273675.59000000
0.139732553379
Long
DBT
CORP
US
N
2
2032-03-15
Fixed
8.75000000
N
N
N
N
N
N
United States of America
254900HROIFWPRGM1V77
U.S. Treasury Notes
9128284V9
1000000.00000000
PA
USD
1184140.62000000
0.129909840222
Long
DBT
UST
US
N
2
2028-08-15
Fixed
2.87500000
N
N
N
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
28.85000000
0.000003165079
N/A
DFE
N/A
N
2
BNP Paribas
R0MUWSFPU8MPRO8K5P83
8126.21000000
GBP
10099.93000000
USD
2020-07-29
28.85000000
N
N
N
Intercept Pharmaceuticals, Inc.
N/A
Intercept Pharmaceuticals, Inc.
45845P108
2144.00000000
NS
USD
102719.04000000
0.011269112678
Long
EC
CORP
US
N
1
N
N
N
Westpac Banking Corp.
EN5TNI6CI43VEPAMHL14
Westpac Banking Corp.
N/A
12206.00000000
NS
152982.56000000
0.016783428919
Long
EC
CORP
AU
N
2
N
N
N
Pirelli & C SpA
815600A0C9AFC1F2A709
Pirelli & C SpA
N/A
1468.00000000
NS
6245.38000000
0.000685168893
Long
EC
CORP
IT
Y
2
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
-7088.28000000
-0.00077764186
N/A
DFE
N/A
N
2
Barclays Bank
G5GSEF7VJP5I7OUK5573
4418875.72000000
USD
4177382.84000000
CHF
2020-07-22
-7088.28000000
N
N
N
CDC Mortgage Capital Trust
N/A
CDC Mortgage Capital Trust, Series 2003-HE1, Class M1
12506YAY5
158909.77000000
PA
USD
157653.38000000
0.017295855796
Long
ABS-O
CORP
US
N
2
2033-08-25
Floating
1.53450000
N
N
N
N
N
N
Johnson & Johnson
549300G0CFPGEF6X2043
Johnson & Johnson
478160104
9711.00000000
NS
USD
1365657.93000000
0.149823762894
Long
EC
CORP
US
N
1
N
N
N
Hilcorp Energy I LP
N/A
Hilcorp Energy I LP
431318AQ7
57000.00000000
PA
USD
48450.00000000
0.005315358372
Long
DBT
CORP
US
Y
2
2025-10-01
Fixed
5.75000000
N
N
N
N
N
N
Nexstar Broadcasting, Inc.
5493006PK6I4I2OOT688
Nexstar Broadcasting, Inc.
65343HAA9
270000.00000000
PA
USD
270016.20000000
0.029622969440
Long
DBT
CORP
US
Y
2
2027-07-15
Fixed
5.62500000
N
N
N
N
N
N
Amgen, Inc.
62QBXGPJ34PQ72Z12S66
Amgen, Inc.
031162100
7634.00000000
NS
USD
1800555.24000000
0.197535528796
Long
EC
CORP
US
N
1
N
N
N
Ovintiv, Inc.
N/A
Ovintiv, Inc.
012873AK1
50000.00000000
PA
USD
46481.90000000
0.005099441823
Long
DBT
CORP
US
N
2
2031-11-01
Fixed
7.37500000
N
N
N
N
N
N
SK Hynix, Inc.
988400XAIK6XISWQV045
SK Hynix, Inc.
N/A
3127.00000000
NS
223263.15000000
0.024493780260
Long
EC
CORP
KR
N
2
N
N
N
Henkel AG & Co. KGaA
549300VZCL1HTH4O4Y49
Henkel AG & Co. KGaA
N/A
356.00000000
NS
29783.10000000
0.003267447883
Long
EC
CORP
DE
N
2
N
N
N
Avaya, Inc.
J6LB5QIFSP2MFEFG4U76
Avaya, Inc., 1st Lien Term Loan B
05349UBC5
179405.98000000
PA
USD
165143.20000000
0.018117549861
Long
LON
CORP
US
N
2
2024-12-15
Variable
4.43475000
N
N
N
N
N
N
CRH plc
549300MIDJNNTH068E74
CRH plc
N/A
2687.00000000
NS
92487.27000000
0.010146604436
Long
EC
CORP
IE
N
2
N
N
N
Staples, Inc.
XQM2JINI1UL7642TU573
Staples, Inc.
855030AN2
335000.00000000
PA
USD
263226.25000000
0.028878056796
Long
DBT
CORP
US
Y
2
2026-04-15
Fixed
7.50000000
N
N
N
N
N
N
Cooper-Standard Automotive, Inc.
ITCH5B3Q4RTX2PH9UN62
Cooper-Standard Automotive, Inc.
216762AF1
245000.00000000
PA
USD
156800.00000000
0.017202233081
Long
DBT
CORP
US
Y
2
2026-11-15
Fixed
5.62500000
N
N
N
N
N
N
CHL Mortgage Pass-Through Trust
N/A
CHL Mortgage Pass-Through Trust, Series 2006-21, Class A14
12543PAP8
71166.61000000
PA
USD
55971.24000000
0.006140499466
Long
ABS-MBS
CORP
US
N
2
2037-02-25
Fixed
6.00000000
N
N
N
N
N
N
ICL Group Ltd.
529900FQVQD88SHIGM04
ICL Group Ltd.
N/A
2187.00000000
NS
6514.43000000
0.000714685862
Long
EC
CORP
IL
N
2
N
N
N
Howmet Aerospace, Inc.
549300HO5WFZUT5N2T22
Howmet Aerospace, Inc.
013817AJ0
153000.00000000
PA
USD
162218.25000000
0.017796659098
Long
DBT
CORP
US
N
2
2027-02-01
Fixed
5.90000000
N
N
N
N
N
N
Shoprite Holdings Ltd.
529900Q4O1EYP6NH5150
Shoprite Holdings Ltd.
N/A
3044.00000000
NS
18708.69000000
0.002052495191
Long
EC
CORP
ZA
N
1
N
N
N
Structured Asset Investment Loan Trust
N/A
Structured Asset Investment Loan Trust, Series 2003-BC11, Class M1
86358EEM4
146806.64000000
PA
USD
145774.41000000
0.015992636340
Long
ABS-O
CORP
US
N
3
2033-10-25
Floating
1.15949900
N
N
N
N
N
N
Comstock Resources, Inc.
I03QQGEA4SS774AURI46
Comstock Resources, Inc.
22304LAA8
95000.00000000
PA
USD
86093.75000000
0.009445183382
Long
DBT
CORP
US
Y
2
2025-05-15
Fixed
7.50000000
N
N
N
N
N
N
Unilever plc
549300MKFYEKVRWML317
Unilever plc
N/A
3998.00000000
NS
215656.40000000
0.023659258025
Long
EC
CORP
GB
N
2
N
N
N
Keio Corp.
N/A
Keio Corp.
N/A
300.00000000
NS
17169.04000000
0.001883583085
Long
EC
CORP
JP
N
2
N
N
N
Aisin Seiki Co. Ltd.
3538004IOK08PDY6I723
Aisin Seiki Co. Ltd.
N/A
600.00000000
NS
17587.16000000
0.001929454244
Long
EC
CORP
JP
N
2
N
N
N
Newell Brands, Inc.
549300LWGYFM1TVO1Z12
Newell Brands, Inc.
651229106
25656.00000000
NS
USD
407417.28000000
0.044696983495
Long
EC
CORP
US
N
1
N
N
N
Coca-Cola European Partners plc
549300LTH67W4GWMRF57
Coca-Cola European Partners plc
N/A
703.00000000
NS
USD
26545.28000000
0.002912232740
Long
EC
CORP
GB
N
1
N
N
N
Teladoc Health, Inc.
549300I2PVFBC9MFAC61
Teladoc Health, Inc.
87918A105
4183.00000000
NS
USD
798283.72000000
0.087578205464
Long
EC
CORP
US
N
1
N
N
N
Intertek Group plc
2138003GAT25WW1RN369
Intertek Group plc
N/A
551.00000000
NS
37110.43000000
0.004071315475
Long
EC
CORP
GB
N
2
N
N
N
Bank of America Corp.
9DJT3UXIJIZJI4WXO774
Bank of America Corp., Series L
060505682
212.00000000
NS
USD
284546.40000000
0.031217050353
Long
EP
CORP
US
N
1
N
N
N
Goodyear Tire & Rubber Co. (The)
5493002BI0S2ZQUY3437
Goodyear Tire & Rubber Co. (The)
382550BF7
56000.00000000
PA
USD
52164.00000000
0.005722814327
Long
DBT
CORP
US
N
2
2026-05-31
Fixed
5.00000000
N
N
N
N
N
N
Ally Financial, Inc.
549300JBN1OSM8YNAI90
Ally Financial, Inc.
02005NBC3
225000.00000000
PA
USD
234159.41000000
0.025689188451
Long
DBT
CORP
US
N
2
2022-05-19
Fixed
4.62500000
N
N
N
N
N
N
Targa Resources Partners LP
N/A
Targa Resources Partners LP
87612BAM4
25000.00000000
PA
USD
24619.75000000
0.002700986466
Long
DBT
CORP
US
N
2
2023-05-01
Fixed
5.25000000
N
N
N
N
N
N
Constellation Brands, Inc.
5493005GKEG8QCVY7037
Constellation Brands, Inc., Class A
21036P108
10747.00000000
NS
USD
1880187.65000000
0.206271850720
Long
EC
CORP
US
N
1
N
N
N
Morningstar, Inc.
529900YGNQPOVAXQ7F29
Morningstar, Inc.
617700109
2979.00000000
NS
USD
419949.63000000
0.046071884042
Long
EC
CORP
US
N
1
N
N
N
Fresenius SE & Co. KGaA
XDFJ0CYCOO1FXRFTQS51
Fresenius SE & Co. KGaA
N/A
1430.00000000
NS
71075.14000000
0.007797519927
Long
EC
CORP
DE
N
2
N
N
N
Yum China Holdings, Inc.
529900DO9BYZ7VA3K502
Yum China Holdings, Inc.
98850P109
12737.00000000
NS
USD
612267.59000000
0.067170725711
Long
EC
CORP
US
N
1
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
-357.05000000
-0.00003917128
N/A
DFE
N/A
N
2
Toronto Dominion Bank
PT3QB789TSUIDF371261
1486032.03000000
HKD
191376.65000000
USD
2020-07-02
-357.05000000
N
N
N
Power Assets Holdings Ltd.
254900JOWYUW1ZX4DF47
Power Assets Holdings Ltd.
N/A
4500.00000000
NS
24588.29000000
0.002697535048
Long
EC
CORP
HK
N
2
N
N
N
ACC Trust
N/A
ACC Trust, Series 2019-1, Class A
00085MAA7
218688.01000000
PA
USD
220291.96000000
0.024167816594
Long
ABS-O
CORP
US
Y
2
2022-05-20
Fixed
3.75000000
N
N
N
N
N
N
Sofina SA
5493000GMVR38VUO5D39
Sofina SA
N/A
52.00000000
NS
13730.77000000
0.001506376951
Long
EC
CORP
BE
N
2
N
N
N
Centene Corp.
549300Z7JJ4TQSQGT333
Centene Corp.
15135B101
7955.00000000
NS
USD
505540.25000000
0.055461869979
Long
EC
CORP
US
N
1
N
N
N
Nice Ltd.
254900YTY4EF5Z4W0A51
Nice Ltd.
N/A
212.00000000
NS
39962.46000000
0.004384206322
Long
EC
CORP
IL
N
2
N
N
N
Merrill Lynch Mortgage Investors Trust
N/A
Merrill Lynch Mortgage Investors Trust, Series 2004-HE1, Class M2
59020UFK6
232770.57000000
PA
USD
209156.46000000
0.022946161833
Long
ABS-O
CORP
US
N
3
2035-04-25
Floating
2.43450000
N
N
N
N
N
N
Crown Holdings, Inc.
NYLWZIOY8PUNIT4JOE22
Crown Holdings, Inc.
228368106
15462.00000000
NS
USD
1007040.06000000
0.110480470885
Long
EC
CORP
US
N
1
N
N
N
Tyson Foods, Inc.
WD6L6041MNRW1JE49D58
Tyson Foods, Inc.
902494AY9
50000.00000000
PA
USD
61932.95000000
0.006794547457
Long
DBT
CORP
US
N
2
2044-08-15
Fixed
5.15000000
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC, REMIC, Series 3077, Class TO
31396FZ71
0.35000000
PA
USD
0.34000000
0.000000037300
Long
ABS-MBS
USGSE
US
N
2
2035-04-15
None
0.00000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, REMIC, Series 2008-65, Class CD
31397MME4
74.55000000
PA
USD
74.64000000
0.000008188614
Long
ABS-MBS
USGSE
US
N
2
2023-08-25
Fixed
4.50000000
N
N
N
N
N
N
TEGNA, Inc.
549300YC5EDBGX85AO10
TEGNA, Inc.
87901JAE5
60000.00000000
PA
USD
55200.00000000
0.006055888176
Long
DBT
CORP
US
Y
2
2028-03-15
Fixed
4.62500000
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC, Multi-Family Structured Pass-Through Certificates, Series K092, Class X3
3137FLYY4
570000.00000000
PA
USD
89729.69000000
0.009844075521
Long
ABS-MBS
CORP
US
N
2
2047-05-25
Variable
2.32321300
N
N
N
N
N
N
FTI Consulting, Inc.
549300K17GM8EQD0FQ48
FTI Consulting, Inc.
302941109
5667.00000000
NS
USD
649154.85000000
0.071217557626
Long
EC
CORP
US
N
1
N
N
N
AngloGold Ashanti Ltd.
378900EF3BA9A5F42A59
AngloGold Ashanti Ltd.
035128206
1536.00000000
NS
USD
45296.64000000
0.004969409177
Long
EC
CORP
ZA
N
1
N
N
N
United Urban Investment Corp.
353800GYZWBD7BDCN841
United Urban Investment Corp.
N/A
10.00000000
NS
10770.49000000
0.001181610200
Long
EC
CORP
JP
N
2
N
N
N
Pioneer Natural Resources Co.
FY8JBF7CCL2VE4F1B628
Pioneer Natural Resources Co.
723787107
11305.00000000
NS
USD
1104498.50000000
0.121172453032
Long
EC
CORP
US
N
1
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC, Multi-Family Structured Pass-Through Certificates, Series K075, Class X3
3137F4XA5
2250000.00000000
PA
USD
300086.78000000
0.032921956213
Long
ABS-MBS
USGSE
US
N
2
2028-05-25
Variable
2.20224600
N
N
N
N
N
N
Bunge Ltd.
5493007M0RIN8HY3MM77
Bunge Ltd.
N/A
4285.00000000
NS
USD
394177.15000000
0.043244433736
Long
EP
CORP
BM
N
1
N
N
N
Performance Food Group, Inc.
549300OMUOGBYK0FFO76
Performance Food Group, Inc.
69346VAA7
115000.00000000
PA
USD
110975.00000000
0.012174858522
Long
DBT
CORP
US
Y
2
2027-10-15
Fixed
5.50000000
N
N
N
N
N
N
Exelixis, Inc.
N/A
Exelixis, Inc.
30161Q104
21412.00000000
NS
USD
508320.88000000
0.055766927666
Long
EC
CORP
US
N
1
N
N
N
Oriental Land Co. Ltd.
353800PIFKBZ6KTU5994
Oriental Land Co. Ltd.
N/A
700.00000000
NS
92502.29000000
0.010148252252
Long
EC
CORP
JP
N
2
N
N
N
STACR Trust
549300L8K4CLYS7FCQ06
STACR Trust, Series 2018-DNA2, Class M2
35563TAB7
1500000.00000000
PA
USD
1441729.80000000
0.158169464672
Long
ABS-MBS
CORP
US
Y
3
2030-12-25
Floating
2.33449900
N
N
N
N
N
N
Teijin Ltd.
3538000RF6UCIMPKCO54
Teijin Ltd.
N/A
500.00000000
NS
7960.82000000
0.000873366589
Long
EC
CORP
JP
N
2
N
N
N
Chemours Co. (The)
549300M1BOLNXL8DOV14
Chemours Co. (The)
163851AD0
320000.00000000
PA
USD
306182.40000000
0.033590695219
Long
DBT
CORP
US
N
2
2025-05-15
Fixed
7.00000000
N
N
N
N
N
N
Aspen Technology, Inc.
529900B0MZWTVFG7CB96
Aspen Technology, Inc.
045327103
4517.00000000
NS
USD
468006.37000000
0.051344098600
Long
EC
CORP
US
N
1
N
N
N
Freeport-McMoRan, Inc.
549300IRDTHJQ1PVET45
Freeport-McMoRan, Inc.
35671DAZ8
454000.00000000
PA
USD
454590.20000000
0.049872235823
Long
DBT
CORP
US
N
2
2023-03-15
Fixed
3.87500000
N
N
N
N
N
N
Brunswick Corp.
YM4O38W15AX4YLLQKU27
Brunswick Corp.
117043109
8079.00000000
NS
USD
517136.79000000
0.056734104571
Long
EC
CORP
US
N
1
N
N
N
Olympus Corp.
5299000Y52IFDI1I2A21
Olympus Corp.
N/A
4000.00000000
NS
77009.98000000
0.008448620061
Long
EC
CORP
JP
N
2
N
N
N
Neiman Marcus Group Ltd. LLC
N/A
Neiman Marcus Group Ltd. LLC
64021VAC6
169433.00000000
PA
USD
6777.32000000
0.000743527030
Long
DBT
CORP
US
Y
2
2024-10-25
Fixed
8.75000000
Y
N
N
N
N
N
Kansai Paint Co. Ltd.
549300ERRV6FTKH9NN70
Kansai Paint Co. Ltd.
N/A
600.00000000
NS
12679.05000000
0.001390994728
Long
EC
CORP
JP
N
2
N
N
N
AbbVie, Inc.
FR5LCKFTG8054YNNRU85
AbbVie, Inc.
00287YCH0
80000.00000000
PA
USD
83014.01000000
0.009107310899
Long
DBT
CORP
US
Y
2
2023-03-15
Fixed
2.80000000
N
N
N
N
N
N
Eurazeo SE
969500C656AA39O94N60
Eurazeo SE
N/A
81.00000000
NS
4162.26000000
0.000456633715
Long
EC
CORP
FR
N
2
N
N
N
Sino Biopharmaceutical Ltd.
529900LPR4ADFEJAR786
Sino Biopharmaceutical Ltd.
N/A
15000.00000000
NS
28271.94000000
0.003101661361
Long
EC
CORP
KY
N
2
N
N
N
Spectrum Brands, Inc.
549300VU3EH2E73C1Q04
Spectrum Brands, Inc.
84762LAS4
59000.00000000
PA
USD
60622.50000000
0.006650780452
Long
DBT
CORP
US
N
2
2024-12-15
Fixed
6.12500000
N
N
N
N
N
N
Altice USA, Inc.
54930064K3612MGCER95
Altice USA, Inc., Class A
02156K103
14128.00000000
NS
USD
318445.12000000
0.034936015165
Long
EC
CORP
US
N
1
N
N
N
Halma plc
2138007FRGLUR9KGBT40
Halma plc
N/A
1385.00000000
NS
39458.93000000
0.004328964993
Long
EC
CORP
GB
N
2
N
N
N
Dun & Bradstreet Corp. (The)
RI37BMPWE56BCJ747E14
Dun & Bradstreet Corp. (The)
26483EAJ9
85000.00000000
PA
USD
90100.00000000
0.009884701534
Long
DBT
CORP
US
Y
2
2026-08-15
Fixed
6.87500000
N
N
N
N
N
N
GNMA
549300M8ZYFG0OCMTT87
GNMA, Series 2007-33, Class LE
38375KEX6
1550.27000000
PA
USD
1771.28000000
0.000194323797
Long
ABS-MBS
USGA
US
N
2
2037-06-20
Fixed
5.50000000
N
N
N
N
N
N
Cognex Corp.
549300JQTYZCLC43S226
Cognex Corp.
192422103
6260.00000000
NS
USD
373847.20000000
0.041014073159
Long
EC
CORP
US
N
1
N
N
N
Ayala Corp.
254900QJ68UH8GKNGI69
Ayala Corp.
N/A
2320.00000000
NS
36415.91000000
0.003995120993
Long
EC
CORP
PH
N
2
N
N
N
Japan Prime Realty Investment Corp.
353800NJOQJAY1ODEX72
Japan Prime Realty Investment Corp.
N/A
2.00000000
NS
5867.24000000
0.000643683864
Long
EC
CORP
JP
N
2
N
N
N
Ferrari NV
549300RIVY5EX8RCON76
Ferrari NV
N/A
428.00000000
NS
73314.43000000
0.008043188221
Long
EC
CORP
NL
N
2
N
N
N
TDK Corp.
3538005O8WNU39U8NX03
TDK Corp.
N/A
400.00000000
NS
39820.57000000
0.004368639837
Long
EC
CORP
JP
N
2
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
3762.15000000
0.000412738400
N/A
DFE
N/A
N
2
Citibank
MBNUM2BPBDO7JBLYG310
3250793.87000000
USD
11267943.97000000
ILS
2020-07-22
3762.15000000
N
N
N
Standard Chartered plc
U4LOSYZ7YG4W3S5F2G91
Standard Chartered plc
N/A
9291.00000000
NS
50364.61000000
0.005525406634
Long
EC
CORP
GB
N
2
N
N
N
Mitsubishi Materials Corp.
35380076QOBOSOUBRT89
Mitsubishi Materials Corp.
N/A
300.00000000
NS
6334.64000000
0.000694961439
Long
EC
CORP
JP
N
2
N
N
N
Splunk, Inc.
549300XGDSGBP6UEI867
Splunk, Inc.
848637AC8
347000.00000000
PA
USD
499237.75000000
0.054770434558
Long
DBT
CORP
US
N
2
2023-09-15
Fixed
0.50000000
N
N
N
N
Y
Splunk, Inc.
Splunk, Inc.
USD
XXXX
N
N
N
American Credit Acceptance Receivables Trust
N/A
American Credit Acceptance Receivables Trust, Series 2018-4, Class C
02529MAE9
855000.00000000
PA
USD
868361.09000000
0.095266261922
Long
ABS-O
CORP
US
Y
2
2025-01-13
Fixed
3.97000000
N
N
N
N
N
N
Arista Networks, Inc.
635400H1WKBLOQERUU95
Arista Networks, Inc.
040413106
1620.00000000
NS
USD
340248.60000000
0.037328033947
Long
EC
CORP
US
N
1
N
N
N
Taisei Corp.
529900TF7XJKIOWMLQ79
Taisei Corp.
N/A
600.00000000
NS
21867.66000000
0.002399059848
Long
EC
CORP
JP
N
2
N
N
N
Trivium Packaging Finance BV
724500GMZWW3PVYET548
Trivium Packaging Finance BV
89686QAA4
200000.00000000
PA
USD
201750.00000000
0.022133613037
Long
DBT
CORP
NL
Y
2
2026-08-15
Fixed
5.50000000
N
Y
N
N
N
N
CoreLogic, Inc.
54930086CD8K2UIL0516
CoreLogic, Inc.
21871D103
4710.00000000
NS
USD
316606.20000000
0.034734270711
Long
EC
CORP
US
N
1
N
N
N
Pernod Ricard SA
52990097YFPX9J0H5D87
Pernod Ricard SA
N/A
4736.00000000
NS
745760.97000000
0.081816033350
Long
EC
CORP
FR
N
2
N
N
N
Dr Reddy's Laboratories Ltd.
335800OVDPY3DVZR2798
Dr Reddy's Laboratories Ltd.
256135203
727.00000000
NS
USD
38538.27000000
0.004227961116
Long
EC
CORP
IN
N
1
N
N
N
Al Rajhi Bank
558600BQZS4Y1DTU8589
Al Rajhi Bank
N/A
9419.00000000
NS
142419.40000000
0.015624564503
Long
EC
CORP
SA
N
2
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
-2174.35000000
-0.00023854384
N/A
DFE
N/A
N
2
Goldman Sachs International
W22LROWP2IHZNBB6K528
547679.08000000
USD
447881000.00000000
CLP
2020-07-22
-2174.35000000
N
N
N
Citigroup, Inc.
6SHGI4ZSSLCXXQSBB395
Citigroup, Inc., Series P
172967JM4
140000.00000000
PA
USD
139020.00000000
0.015251622723
Long
DBT
CORP
US
N
2
2025-05-15
Variable
5.95000100
N
N
N
N
N
N
Mitsubishi Gas Chemical Co., Inc.
529900G5O4J27ZPLJJ89
Mitsubishi Gas Chemical Co., Inc.
N/A
500.00000000
NS
7604.72000000
0.000834299527
Long
EC
CORP
JP
N
2
N
N
N
JD.com, Inc.
549300HVTWB0GJZ16V92
JD.com, Inc.
47215P106
17032.00000000
NS
USD
1024985.76000000
0.112449259879
Long
EC
CORP
KY
N
1
N
N
N
China Lesso Group Holdings Ltd.
N/A
China Lesso Group Holdings Ltd.
N/A
29000.00000000
NS
38064.87000000
0.004176025293
Long
EC
CORP
KY
N
2
N
N
N
New Albertsons LP
N/A
New Albertsons LP
013104AL8
29000.00000000
PA
USD
32480.00000000
0.003563319709
Long
DBT
CORP
US
N
2
2031-05-01
Fixed
8.00000000
N
N
N
N
N
N
Melrose Industries plc
213800RGNXXZY2M7TR85
Melrose Industries plc
N/A
16622.00000000
NS
23429.42000000
0.002570397600
Long
EC
CORP
GB
N
2
N
N
N
Shinsei Bank Ltd.
549300PZYOQ2NW83V760
Shinsei Bank Ltd.
N/A
500.00000000
NS
6047.60000000
0.000663470821
Long
EC
CORP
JP
N
2
N
N
N
Dentsu Group, Inc.
5299007PBBE83ZLJZG91
Dentsu Group, Inc.
N/A
700.00000000
NS
16605.13000000
0.001821717580
Long
EC
CORP
JP
N
2
N
N
N
Zillow Group, Inc.
2549002XEELQDIR6FU05
Zillow Group, Inc.
98954MAF8
332000.00000000
PA
USD
478959.40000000
0.052545734920
Long
DBT
CORP
US
Y
2
2026-09-01
Fixed
1.37500000
N
N
N
N
Y
Zillow Group, Inc.
Zillow Group, Inc.
USD
XXXX
N
N
N
Ford Motor Co.
20S05OYHG0MQM4VUIC57
Ford Motor Co.
345370CW8
70000.00000000
PA
USD
75687.50000000
0.008303533267
Long
DBT
CORP
US
N
2
2025-04-22
Fixed
9.00000000
N
N
N
N
N
N
DBGS Mortgage Trust
N/A
DBGS Mortgage Trust, Series 2018-5BP, Class B
33830CAC4
750000.00000000
PA
USD
715022.03000000
0.078443722058
Long
ABS-MBS
CORP
US
Y
3
2033-06-15
Floating
1.01475000
N
N
N
N
N
N
Scout24 AG
5493007EIKM2ENQS7U66
Scout24 AG
N/A
369.00000000
NS
28548.71000000
0.003132025278
Long
EC
CORP
DE
Y
2
N
N
N
Amundi SA
96950010FL2T1TJKR531
Amundi SA
N/A
221.00000000
NS
17373.57000000
0.001906021687
Long
EC
CORP
FR
Y
2
N
N
N
Ingersoll Rand, Inc.
5299004C02FMZCUOIR50
Ingersoll Rand, Inc.
45687V106
9605.00000000
NS
USD
270092.60000000
0.029631351140
Long
EC
CORP
US
N
1
N
N
N
Delta Electronics, Inc.
529900UVZWNWGDLJSM52
Delta Electronics, Inc.
N/A
108000.00000000
NS
616290.79000000
0.067612103416
Long
EC
CORP
TW
N
2
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
-28501.74000000
-0.00312687228
N/A
DFE
N/A
N
2
Barclays Bank
G5GSEF7VJP5I7OUK5573
1101420.86000000
USD
18661373.64000000
ZAR
2020-07-22
-28501.74000000
N
N
N
ANTA Sports Products Ltd.
529900291XG0CTK4LF95
ANTA Sports Products Ltd.
N/A
3000.00000000
NS
26691.24000000
0.002928245738
Long
EC
CORP
KY
N
2
N
N
N
Sumitomo Corp.
V82KK8NH1P0JS71FJC05
Sumitomo Corp.
N/A
4000.00000000
NS
46005.74000000
0.005047203205
Long
EC
CORP
JP
N
2
N
N
N
Telefonica Deutschland Holding AG
391200ECRPJ3SWQJUM30
Telefonica Deutschland Holding AG
N/A
3562.00000000
NS
10505.01000000
0.001152484888
Long
EC
CORP
DE
N
2
N
N
N
Diageo plc
213800ZVIELEA55JMJ32
Diageo plc
N/A
55649.00000000
NS
1849625.41000000
0.202918924852
Long
EC
CORP
GB
N
2
N
N
N
Freeport-McMoRan, Inc.
549300IRDTHJQ1PVET45
Freeport-McMoRan, Inc.
35671DBL8
190000.00000000
PA
USD
193087.50000000
0.021183266455
Long
DBT
CORP
US
N
2
2024-11-14
Fixed
4.55000000
N
N
N
N
N
N
PICC Property & Casualty Co. Ltd.
300300F1000311000017
PICC Property & Casualty Co. Ltd., Class H
N/A
70000.00000000
NS
58174.62000000
0.006382228142
Long
EC
CORP
CN
N
2
N
N
N
BANK
N/A
BANK, Series 2020-BN25, Class XA
06539WBC9
7054333.62000000
PA
USD
457711.27000000
0.050214642542
Long
ABS-MBS
CORP
US
N
2
2063-01-15
Variable
0.88775300
N
N
N
N
N
N
Sonic Healthcare Ltd.
549300NQQ5L2NONWR862
Sonic Healthcare Ltd.
N/A
1391.00000000
NS
29373.49000000
0.003222510340
Long
EC
CORP
AU
N
2
N
N
N
Moran Foods LLC
N/A
Moran Foods LLC, 1st Lien Term Loan B2
N/A
58180.27000000
PA
USD
45572.61000000
0.004999685327
Long
LON
CORP
US
N
3
2025-04-01
Variable
0.00000000
N
N
N
N
N
N
Avantor, Inc.
5493003VM0XB4U8YD238
Avantor, Inc.
05352AAA8
355000.00000000
PA
USD
370975.00000000
0.040698969499
Long
DBT
CORP
US
Y
2
2024-10-01
Fixed
6.00000000
N
N
N
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
21284.74000000
0.002335108791
N/A
DFE
N/A
N
2
Citibank
MBNUM2BPBDO7JBLYG310
1953600.34000000
EUR
20654634.95000000
SEK
2020-07-22
21284.74000000
N
N
N
Chemed Corp.
54930020031IDJT2IM79
Chemed Corp.
16359R103
590.00000000
NS
USD
266131.30000000
0.029196764368
Long
EC
CORP
US
N
1
N
N
N
MEG Energy Corp.
5493002WXPTG5ZC1T326
MEG Energy Corp.
552704AD0
284000.00000000
PA
USD
264830.00000000
0.029054001193
Long
DBT
CORP
CA
Y
2
2025-01-15
Fixed
6.50000000
N
N
N
N
N
N
Santander Drive Auto Receivables Trust
N/A
Santander Drive Auto Receivables Trust, Series 2019-1, Class C
80285HAF7
374000.00000000
PA
USD
381420.83000000
0.041844961861
Long
ABS-O
CORP
US
N
2
2025-04-15
Fixed
3.42000000
N
N
N
N
N
N
Catalent, Inc.
N/A
Catalent, Inc.
148806102
18215.00000000
NS
USD
1335159.50000000
0.146477837502
Long
EC
CORP
US
N
1
N
N
N
CNH Equipment Trust
N/A
CNH Equipment Trust, Series 2017-A, Class A3
12636WAD8
4894.03000000
PA
USD
4917.01000000
0.000539435918
Long
ABS-O
CORP
US
N
2
2022-05-16
Fixed
2.07000000
N
N
N
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
-7292.67000000
-0.00080006510
N/A
DFE
N/A
N
2
State Street Bank and Trust
571474TGEMMWANRLN572
914827.48000000
USD
97956296.00000000
JPY
2020-07-29
-7292.67000000
N
N
N
BJ's Wholesale Club Holdings, Inc.
549300UCIWH1C93V0J03
BJ's Wholesale Club Holdings, Inc.
05550J101
15560.00000000
NS
USD
579921.20000000
0.063622064103
Long
EC
CORP
US
N
1
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
-837.42000000
-0.00009187177
N/A
DFE
N/A
N
2
BNP Paribas
R0MUWSFPU8MPRO8K5P83
96373569.36000000
THB
3117120.38000000
USD
2020-07-22
-837.42000000
N
N
N
DT Auto Owner Trust
N/A
DT Auto Owner Trust, Series 2017-2A, Class E
23341TAJ5
480000.00000000
PA
USD
495478.66000000
0.054358031864
Long
ABS-O
CORP
US
Y
2
2024-01-15
Fixed
6.03000000
N
N
N
N
N
N
WuXi AppTec Co. Ltd.
254900OEPQLZSPLN9175
WuXi AppTec Co. Ltd., Class H
N/A
2520.00000000
NS
32910.36000000
0.003610533695
Long
EC
CORP
CN
Y
2
N
N
N
AerCap Global Aviation Trust
635400FBSV8LXXNRV758
AerCap Global Aviation Trust
00773HAA5
200000.00000000
PA
USD
148700.00000000
0.016313597316
Long
DBT
CORP
US
Y
2
2045-06-15
Variable
6.50000200
N
N
N
N
N
N
Centene Corp.
549300Z7JJ4TQSQGT333
Centene Corp.
15135BAV3
280000.00000000
PA
USD
282718.80000000
0.031016547794
Long
DBT
CORP
US
N
2
2030-02-15
Fixed
3.37500000
N
N
N
N
N
N
Bausch Health Cos., Inc.
B3BS7ACMDUWISF18KY76
Bausch Health Cos., Inc.
91911KAP7
475000.00000000
PA
USD
511674.75000000
0.056134874436
Long
DBT
CORP
CA
Y
2
2025-12-15
Fixed
9.00000000
N
N
N
N
N
N
Sinclair Television Group, Inc.
549300CQGEN0CH65UD62
Sinclair Television Group, Inc.
829259AR1
243000.00000000
PA
USD
233280.00000000
0.025592710034
Long
DBT
CORP
US
Y
2
2024-08-01
Fixed
5.62500000
N
N
N
N
N
N
VICI Properties LP
N/A
VICI Properties LP
92564RAA3
405000.00000000
PA
USD
388633.95000000
0.042636299690
Long
DBT
CORP
US
Y
2
2026-12-01
Fixed
4.25000000
N
N
N
N
N
N
Frontier Communications Corp.
549300ZCZ76HYCS0H445
Frontier Communications Corp.
35906AAN8
25000.00000000
PA
USD
8250.00000000
0.000905091982
Long
DBT
CORP
US
N
2
2024-04-15
Fixed
7.62500000
Y
N
N
N
N
N
Noble Holding International Ltd.
549300GNEZBJHMST9U32
Noble Holding International Ltd.
65504LAD9
38000.00000000
PA
USD
543.40000000
0.000059615391
Long
DBT
CORP
KY
N
2
2040-08-01
Fixed
6.20000000
N
N
N
N
N
N
JPMorgan Core Plus Bond Fund
JW89OQCNJOLWVS3KT374
JPMorgan Core Plus Bond Fund, Class R6
4812C0134
0.00100000
NS
USD
0.01000000
0.000000001097
Long
RF
US
N
1
N
N
N
Targa Resources Partners LP
N/A
Targa Resources Partners LP
87612BBL5
127000.00000000
PA
USD
127317.50000000
0.013967763459
Long
DBT
CORP
US
N
2
2027-07-15
Fixed
6.50000000
N
N
N
N
N
N
Husqvarna AB
549300GYQIIJ3UXB7655
Husqvarna AB, Class B
N/A
1524.00000000
NS
12542.56000000
0.001376020666
Long
EC
CORP
SE
N
2
N
N
N
Federal Realty Investment Trust
549300LI6XZ51GOCJ427
Federal Realty Investment Trust
313747206
3778.00000000
NS
USD
321923.38000000
0.035317608528
Long
EC
CORP
US
N
1
N
N
N
Allison Transmission, Inc.
MWKQ3I0U1GXP2YDSZW75
Allison Transmission, Inc.
019736AF4
235000.00000000
PA
USD
244400.00000000
0.026812664318
Long
DBT
CORP
US
Y
2
2029-06-01
Fixed
5.87500000
N
N
N
N
N
N
Concordia Financial Group Ltd.
N/A
Concordia Financial Group Ltd.
N/A
3700.00000000
NS
11895.73000000
0.001305058164
Long
EC
CORP
JP
N
2
N
N
N
Roche Holding AG
549300U41AUUVOAAOB37
Roche Holding AG
N/A
8095.00000000
NS
2804509.01000000
0.307677408610
Long
EC
CORP
CH
N
2
N
N
N
Essity AB
549300G8E6YUVJ1DA153
Essity AB, Class B
N/A
2075.00000000
NS
67274.41000000
0.007380548987
Long
EC
CORP
SE
N
2
N
N
N
London Stock Exchange Group plc
213800QAUUUP6I445N30
London Stock Exchange Group plc
N/A
6600.00000000
NS
686368.31000000
0.075300176330
Long
EC
CORP
GB
N
2
N
N
N
AstraZeneca plc
PY6ZZQWO2IZFZC3IOL08
AstraZeneca plc
N/A
4487.00000000
NS
466981.79000000
0.051231693855
Long
EC
CORP
GB
N
2
N
N
N
Bandai Namco Holdings, Inc.
N/A
Bandai Namco Holdings, Inc.
N/A
700.00000000
NS
36846.65000000
0.004042376668
Long
EC
CORP
JP
N
2
N
N
N
Alnylam Pharmaceuticals, Inc.
529900S3ZI14OWRJII50
Alnylam Pharmaceuticals, Inc.
02043Q107
2566.00000000
NS
USD
380050.26000000
0.041694599204
Long
EC
CORP
US
N
1
N
N
N
Clear Channel Worldwide Holdings, Inc.
N/A
Clear Channel Worldwide Holdings, Inc.
18451QAP3
497000.00000000
PA
USD
461032.11000000
0.050578965653
Long
DBT
CORP
US
N
2
2024-02-15
Fixed
9.25000000
N
N
N
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
-165879.94000000
-0.01819837622
N/A
DFE
N/A
N
2
Goldman Sachs International
W22LROWP2IHZNBB6K528
15981256.62000000
CHF
14868304.55000000
EUR
2020-07-22
-165879.94000000
N
N
N
Reckitt Benckiser Group plc
5493003JFSMOJG48V108
Reckitt Benckiser Group plc
N/A
2427.00000000
NS
223280.20000000
0.024495650784
Long
EC
CORP
GB
N
2
N
N
N
Fairfax Financial Holdings Ltd.
GLS7OQD0WOEDI8YAP031
Fairfax Financial Holdings Ltd.
303901102
1346.00000000
NS
USD
415698.64000000
0.045605515925
Long
EC
CORP
CA
N
1
N
N
N
MTU Aero Engines AG
529900807L67JY81RD65
MTU Aero Engines AG, Series MTX
N/A
200000.00000000
PA
285438.66000000
0.031314938519
Long
DBT
CORP
DE
Y
2
2023-05-17
Fixed
0.12500000
N
N
N
N
N
MTU Aero Engines AG
MTU Aero Engines AG
EUR
XXXX
N
N
N
China Conch Venture Holdings International Ltd.
30030033WV20E49PWI57
China Conch Venture Holdings International Ltd.
N/A
4000000.00000000
PA
557224.38000000
0.061132038671
Long
DBT
CORP
VG
Y
2
2023-09-05
None
0.00000000
N
N
N
N
N
China Conch Venture Holdings Ltd.
China Conch Venture Holdings Ltd.
HKD
XXXX
N
N
N
Whitbread plc
21380099VMZKRMN3EX36
Whitbread plc
N/A
732.00000000
NS
20139.15000000
0.002209428267
Long
EC
CORP
GB
N
2
N
N
N
Western Alliance Bancorp
5493003VJXZ5JXT9S762
Western Alliance Bancorp
957638109
8652.00000000
NS
USD
327651.24000000
0.035946001275
Long
EC
CORP
US
N
1
N
N
N
United Internet AG
3VEKWPJHTD4NKMBVG947
United Internet AG (Registered)
N/A
373.00000000
NS
15847.68000000
0.001738619165
Long
EC
CORP
DE
N
2
N
N
N
Severstal PAO
213800OKDPTV6K4ONO53
Severstal PAO
818150302
5479.00000000
NS
USD
66304.52000000
0.007274144179
Long
EC
CORP
RU
Y
2
N
N
N
Targa Resources Partners LP
N/A
Targa Resources Partners LP
87612BAP7
100000.00000000
PA
USD
95729.00000000
0.010502248537
Long
DBT
CORP
US
N
2
2023-11-15
Fixed
4.25000000
N
N
N
N
N
N
Coca-Cola Co. (The)
UWJKFUJFZ02DKWI3RY53
Coca-Cola Co. (The)
191216100
45187.00000000
NS
USD
2018955.16000000
0.221495773240
Long
EC
CORP
US
N
1
N
N
N
Prosus NV
635400Z5LQ5F9OLVT688
Prosus NV
N/A
5066.00000000
NS
470927.21000000
0.051664538463
Long
EC
CORP
NL
N
1
N
N
N
Carlisle Cos., Inc.
XR64VGX1ZPX6G7ZN7Z11
Carlisle Cos., Inc.
142339100
3124.00000000
NS
USD
373849.08000000
0.041014279410
Long
EC
CORP
US
N
1
N
N
N
Mouwasat Medical Services Co.
N/A
Mouwasat Medical Services Co.
N/A
1611.00000000
NS
38883.00000000
0.004265780796
Long
EC
CORP
SA
N
2
N
N
N
Fortune Brands Home & Security, Inc.
54930032LHW54PQUJD44
Fortune Brands Home & Security, Inc.
34964C106
13971.00000000
NS
USD
893166.03000000
0.097987565235
Long
EC
CORP
US
N
1
N
N
N
BeiGene Ltd.
549300JFUK6FRD5MH739
BeiGene Ltd.
07725L102
259.00000000
NS
USD
48795.60000000
0.005353273498
Long
EC
CORP
KY
N
1
N
N
N
Targa Resources Partners LP
N/A
Targa Resources Partners LP
87612BBG6
50000.00000000
PA
USD
47019.00000000
0.005158366054
Long
DBT
CORP
US
N
2
2028-01-15
Fixed
5.00000000
N
N
N
N
N
N
Yangzijiang Shipbuilding Holdings Ltd.
254900Z3JEM14YIGLM66
Yangzijiang Shipbuilding Holdings Ltd.
N/A
9800.00000000
NS
6597.30000000
0.000723777374
Long
EC
CORP
SG
N
2
N
N
N
Albertsons Cos., Inc.
N/A
Albertsons Cos., Inc.
013092AC5
85000.00000000
PA
USD
85000.00000000
0.009325190127
Long
DBT
CORP
US
Y
2
2027-01-15
Fixed
4.62500000
N
N
N
N
N
N
Dongfeng Motor Group Co. Ltd.
3003002JNYOYPX54GE50
Dongfeng Motor Group Co. Ltd., Class H
N/A
76000.00000000
NS
45835.12000000
0.005028484805
Long
EC
CORP
CN
N
2
N
N
N
Bright Horizons Family Solutions, Inc.
N/A
Bright Horizons Family Solutions, Inc.
109194100
3980.00000000
NS
USD
466456.00000000
0.051174010423
Long
EC
CORP
US
N
1
N
N
N
Virgin Media Secured Finance plc
213800X3RLP4NOTPY579
Virgin Media Secured Finance plc
92769XAP0
200000.00000000
PA
USD
210778.00000000
0.023124057937
Long
DBT
CORP
GB
Y
2
2029-05-15
Fixed
5.50000000
N
N
N
N
N
N
Iliad SA
969500FZ9BTRZS3JNB97
Iliad SA
N/A
54.00000000
NS
10541.34000000
0.001156470584
Long
EC
CORP
FR
N
2
N
N
N
Spectrum Brands, Inc.
549300VU3EH2E73C1Q04
Spectrum Brands, Inc.
84762LAV7
76000.00000000
PA
USD
75050.00000000
0.008233594341
Long
DBT
CORP
US
Y
2
2029-10-01
Fixed
5.00000000
N
N
N
N
N
N
Ford Motor Credit Co. LLC
UDSQCVRUX5BONN0VY111
Ford Motor Credit Co. LLC
345397YZ0
200000.00000000
PA
USD
195500.00000000
0.021447937292
Long
DBT
CORP
US
N
2
2021-04-05
Fixed
3.47000000
N
N
N
N
N
N
Oasis Petroleum, Inc.
529900FA4V2YNIKZ0M71
Oasis Petroleum, Inc.
674215AE8
60000.00000000
PA
USD
10012.50000000
0.001098452542
Long
DBT
CORP
US
N
2
2023-01-15
Fixed
6.87500000
N
N
N
N
N
N
NorthWestern Corp.
3BPWMBHR1R9SHUN7J795
NorthWestern Corp.
668074305
4787.00000000
NS
USD
260987.24000000
0.028632419221
Long
EC
CORP
US
N
1
N
N
N
Jointown Pharmaceutical Group Co. Ltd.
300300875YINDA6F8T86
Jointown Pharmaceutical Group Co. Ltd., Class A
N/A
11900.00000000
NS
31352.85000000
0.003439662203
Long
EC
CORP
CN
N
2
N
N
N
Tractor Supply Co.
549300OJ9VZHZRO6I137
Tractor Supply Co.
892356106
8985.00000000
NS
USD
1184133.15000000
0.129909020703
Long
EC
CORP
US
N
1
N
N
N
Lam Research Corp.
549300I4GMO6D34U1T02
Lam Research Corp.
512807108
2378.00000000
NS
USD
769187.88000000
0.084386155583
Long
EC
CORP
US
N
1
N
N
N
Nestle SA
KY37LUS27QQX7BB93L28
Nestle SA (Registered)
N/A
44293.00000000
NS
4910792.61000000
0.538753820751
Long
EC
CORP
CH
N
2
N
N
N
CDW LLC
N/A
CDW LLC
12513GBC2
165000.00000000
PA
USD
169743.75000000
0.018622267549
Long
DBT
CORP
US
N
2
2025-09-01
Fixed
5.00000000
N
N
N
N
N
N
DexCom, Inc.
549300YSK3QDSFR5EU59
DexCom, Inc.
252131107
1747.00000000
NS
USD
708233.80000000
0.077698998112
Long
EC
CORP
US
N
1
N
N
N
Procter & Gamble Co. (The)
2572IBTT8CCZW6AU4141
Procter & Gamble Co. (The)
742718109
9875.00000000
NS
USD
1180753.75000000
0.129538273085
Long
EC
CORP
US
N
1
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
-696.72000000
-0.00007643584
N/A
DFE
N/A
N
2
State Street Bank and Trust
571474TGEMMWANRLN572
17135.23000000
EUR
18566.69000000
USD
2020-07-29
-696.72000000
N
N
N
Adecco Group AG
NI14Y5UMU60O7JE9P611
Adecco Group AG (Registered)
N/A
565.00000000
NS
26631.61000000
0.002921703842
Long
EC
CORP
CH
N
2
N
N
N
Gerdau SA
254900YDV6SEQQPZVG24
Gerdau SA (Preference)
N/A
18759.00000000
NS
55365.28000000
0.006074020734
Long
EC
CORP
BR
N
1
N
N
N
Centene Corp.
549300Z7JJ4TQSQGT333
Centene Corp.
15137TAA8
99000.00000000
PA
USD
102629.34000000
0.011259271860
Long
DBT
CORP
US
Y
2
2026-06-01
Fixed
5.37500000
N
N
N
N
N
N
United Rentals North America, Inc.
NGIZXNT70J2LYT3FBI09
United Rentals North America, Inc.
911365BF0
90000.00000000
PA
USD
92700.00000000
0.010169942644
Long
DBT
CORP
US
N
2
2027-05-15
Fixed
5.50000000
N
N
N
N
N
N
Sumitomo Realty & Development Co. Ltd.
N/A
Sumitomo Realty & Development Co. Ltd.
N/A
1100.00000000
NS
30362.95000000
0.003331062136
Long
EC
CORP
JP
N
2
N
N
N
Smurfit Kappa Group plc
635400CPLP8H5ITDVT56
Smurfit Kappa Group plc
N/A
773.00000000
NS
25977.23000000
0.002849913043
Long
EC
CORP
IE
N
2
N
N
N
Crestwood Midstream Partners LP
N/A
Crestwood Midstream Partners LP
226373AQ1
65000.00000000
PA
USD
54189.85000000
0.005945066520
Long
DBT
CORP
US
Y
2
2027-05-01
Fixed
5.62500000
N
N
N
N
N
N
Sumitomo Heavy Industries Ltd.
353800VSTEIRMBC3S374
Sumitomo Heavy Industries Ltd.
N/A
400.00000000
NS
8748.42000000
0.000959772703
Long
EC
CORP
JP
N
2
N
N
N
AECOM
0EEB8GF0W0NPCIHZX097
AECOM
00774CAB3
64000.00000000
PA
USD
68800.00000000
0.007547918597
Long
DBT
CORP
US
N
2
2027-03-15
Fixed
5.12500000
N
N
N
N
N
N
Globalwafers Co. Ltd.
529900V6RTNF3U5EGX67
Globalwafers Co. Ltd.
N/A
4000.00000000
NS
55092.75000000
0.006044121980
Long
EC
CORP
TW
N
2
N
N
N
Patrick Industries, Inc.
549300FZ5ZTCCJ3Z5W14
Patrick Industries, Inc.
703343103
4540.00000000
NS
USD
278075.00000000
0.030507085231
Long
EC
CORP
US
N
1
N
N
N
Entegris, Inc.
IYX6OWO7BT5DKO3BYG52
Entegris, Inc.
29362U104
8647.00000000
NS
USD
510605.35000000
0.056017552573
Long
EC
CORP
US
N
1
N
N
N
Yum! Brands, Inc.
549300JE8XHZZ7OHN517
Yum! Brands, Inc.
988498AM3
120000.00000000
PA
USD
129450.00000000
0.014201716023
Long
DBT
CORP
US
Y
2
2025-04-01
Fixed
7.75000000
N
N
N
N
N
N
Daiichi Sankyo Co. Ltd.
353800XGIU2IHQGC9504
Daiichi Sankyo Co. Ltd.
N/A
1900.00000000
NS
155404.07000000
0.017049088227
Long
EC
CORP
JP
N
2
N
N
N
Whiting Petroleum Corp.
52990028CHK9KUB1B293
Whiting Petroleum Corp.
966387AH5
20000.00000000
PA
USD
3850.00000000
0.000422376258
Long
DBT
CORP
US
N
2
2021-03-15
Fixed
5.75000000
Y
N
N
N
N
N
Banc of America Alternative Loan Trust
N/A
Banc of America Alternative Loan Trust, Series 2006-5, Class 3A1
05950BBG8
30702.90000000
PA
USD
30214.43000000
0.003314768286
Long
ABS-MBS
CORP
US
N
2
2046-06-25
Fixed
6.00000000
N
N
N
N
N
N
salesforce.com, Inc.
RCGZFPDMRW58VJ54VR07
salesforce.com, Inc.
79466L302
13085.00000000
NS
USD
2451213.05000000
0.268917973337
Long
EC
CORP
US
N
1
N
N
N
CHL Mortgage Pass-Through Trust
N/A
CHL Mortgage Pass-Through Trust, Series 2006-HYB2, Class 2A1B
126694D21
450342.50000000
PA
USD
400102.47000000
0.043894489448
Long
ABS-MBS
CORP
US
N
2
2036-04-20
Variable
3.53061000
N
N
N
N
N
N
Nippon Paint Holdings Co. Ltd.
529900RYRJUN78A7PL87
Nippon Paint Holdings Co. Ltd.
N/A
500.00000000
NS
36468.42000000
0.004000881766
Long
EC
CORP
JP
N
2
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
940.32000000
0.000103160738
N/A
DFE
N/A
N
2
Merrill Lynch International
AHYI0DDQ2LCHPGHJC422
6694524.00000000
JPY
62963.02000000
USD
2020-07-29
940.32000000
N
N
N
Wesfarmers Ltd.
5493003L32ZX9557ST85
Wesfarmers Ltd.
N/A
3877.00000000
NS
120544.46000000
0.013224705979
Long
EC
CORP
AU
N
2
N
N
N
Advanced Micro Devices, Inc.
R2I72C950HOYXII45366
Advanced Micro Devices, Inc.
007903107
23477.00000000
NS
USD
1235124.97000000
0.135503237367
Long
EC
CORP
US
N
1
N
N
N
Sunny Optical Technology Group Co. Ltd.
3003004QIVP0DFVVWM94
Sunny Optical Technology Group Co. Ltd.
N/A
6500.00000000
NS
104614.17000000
0.011477023826
Long
EC
CORP
KY
N
2
N
N
N
Mapletree Commercial Trust
549300BF18K4IC5LZ208
Mapletree Commercial Trust
N/A
8000.00000000
NS
11193.65000000
0.001228034287
Long
EC
CORP
SG
N
2
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
-914.93000000
-0.00010037524
N/A
DFE
N/A
N
2
State Street Bank and Trust
571474TGEMMWANRLN572
65473.64000000
USD
52091.51000000
GBP
2020-07-29
-914.93000000
N
N
N
Sberbank of Russia PJSC
549300WE6TAF5EEWQS81
Sberbank of Russia PJSC
80585Y308
13986.00000000
NS
USD
158989.32000000
0.017442419261
Long
EC
CORP
RU
N
2
N
N
N
SACO I, Inc.
N/A
SACO I, Inc., Series 1997-2, Class 1A5
073919AK8
27170.63000000
PA
USD
27191.64000000
0.002983143680
Long
ABS-MBS
CORP
US
Y
2
2036-08-25
Fixed
7.00000000
N
N
N
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
154480.05000000
0.016947715730
N/A
DFE
N/A
N
2
Citibank
MBNUM2BPBDO7JBLYG310
7688835.13000000
GBP
8614700.01000000
EUR
2020-07-22
154480.05000000
N
N
N
Volvo AB
549300HGV012CNC8JD22
Volvo AB, Class B
928856301
5082.00000000
NS
79964.72000000
0.008772779029
Long
EC
CORP
SE
N
2
N
N
N
CDK Global, Inc.
5493000L10CYRTHIJ385
CDK Global, Inc.
12508EAG6
35000.00000000
PA
USD
36351.70000000
0.003988076634
Long
DBT
CORP
US
N
2
2026-06-15
Fixed
5.87500000
N
N
N
N
N
N
Tenet Healthcare Corp.
0W9AIBT6U6ADJ2I8HK17
Tenet Healthcare Corp.
88033GDC1
26000.00000000
PA
USD
25415.00000000
0.002788231848
Long
DBT
CORP
US
Y
2
2024-09-01
Fixed
4.62500000
N
N
N
N
N
N
Nexon Co. Ltd.
5299005SFO0GAJFLKN43
Nexon Co. Ltd.
N/A
1700.00000000
NS
38345.93000000
0.004206859857
Long
EC
CORP
JP
N
2
N
N
N
Puma SE
529900GRZ2BQY5ZM9N49
Puma SE
N/A
284.00000000
NS
22019.94000000
0.002415766201
Long
EC
CORP
DE
N
2
N
N
N
Verbund AG
5299006UDSEJCTTEJS30
Verbund AG
N/A
227.00000000
NS
10195.08000000
0.001118483051
Long
EC
CORP
AT
N
2
N
N
N
Envestnet, Inc.
549300HLWZ5OKIDM8737
Envestnet, Inc.
29404KAB2
352000.00000000
PA
USD
433001.99000000
0.047503833908
Long
DBT
CORP
US
N
2
2023-06-01
Fixed
1.75000000
N
N
N
N
Y
Envestnet, Inc.
Envestnet, Inc.
USD
XXXX
N
N
N
MMC Norilsk Nickel PJSC
253400JPTEEW143W3E47
MMC Norilsk Nickel PJSC
55315J102
1457.00000000
NS
USD
38083.89000000
0.004178111941
Long
EC
CORP
RU
N
2
N
N
N
Brixmor Property Group, Inc.
5299007UXW6Y0W2EGZ95
Brixmor Property Group, Inc.
11120U105
28800.00000000
NS
USD
369216.00000000
0.040505992918
Long
EC
CORP
US
N
1
N
N
N
SK Holdings Co. Ltd.
988400GMME8AOAFMDK34
SK Holdings Co. Ltd.
N/A
212.00000000
NS
51558.89000000
0.005656428847
Long
EC
CORP
KR
N
2
N
N
N
Centene Corp.
549300Z7JJ4TQSQGT333
Centene Corp.
15135BAJ0
57000.00000000
PA
USD
58349.19000000
0.006401379888
Long
DBT
CORP
US
N
2
2025-01-15
Fixed
4.75000000
N
N
N
N
N
N
HCA, Inc.
L3CJ6J7LJ2DX62FTXD46
HCA, Inc.
404119CA5
175000.00000000
PA
USD
168514.28000000
0.018487384707
Long
DBT
CORP
US
N
2
2030-09-01
Fixed
3.50000000
N
N
N
N
N
N
AbbVie, Inc.
FR5LCKFTG8054YNNRU85
AbbVie, Inc.
00287Y109
38326.00000000
NS
USD
3762846.68000000
0.412814831891
Long
EC
CORP
US
N
1
N
N
N
Frontier Communications Corp.
549300ZCZ76HYCS0H445
Frontier Communications Corp.
35906AAM0
55000.00000000
PA
USD
16293.75000000
0.001787556666
Long
DBT
CORP
US
N
2
2023-01-15
Fixed
7.12500000
Y
N
N
N
N
N
PNMAC FMSR Issuer Trust
N/A
PNMAC FMSR Issuer Trust, Series 2018-FT1, Class A
69346MAA7
100000.00000000
PA
USD
96259.30000000
0.010560426753
Long
ABS-O
CORP
US
Y
2
2023-04-25
Floating
2.53450100
N
N
N
N
N
N
Vodacom Group Ltd.
37890012A8DC24B8D663
Vodacom Group Ltd.
N/A
5896.00000000
NS
41835.48000000
0.004589691824
Long
EC
CORP
ZA
N
2
N
N
N
CK Infrastructure Holdings Ltd.
5299005U11RQ1C27MR12
CK Infrastructure Holdings Ltd.
N/A
2000.00000000
NS
10338.52000000
0.001134219583
Long
EC
CORP
BM
N
2
N
N
N
Sprint Corp.
549300ZTTY7CXOLJ6539
Sprint Corp.
85207UAK1
248000.00000000
PA
USD
292731.76000000
0.032115050803
Long
DBT
CORP
US
N
2
2026-03-01
Fixed
7.62500000
N
N
N
N
N
N
GN Store Nord A/S
5493008U3H3W0NKPFL10
GN Store Nord A/S
N/A
439.00000000
NS
23499.85000000
0.002578124343
Long
EC
CORP
DK
N
2
N
N
N
Ecopetrol SA
254900IDGKCJICKBPA66
Ecopetrol SA
279158109
4367.00000000
NS
USD
48604.71000000
0.005332331315
Long
EC
CORP
CO
N
1
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
229.90000000
0.000025221896
N/A
DFE
N/A
N
2
State Street Bank and Trust
571474TGEMMWANRLN572
198425.71000000
USD
1316830.12000000
DKK
2020-07-29
229.90000000
N
N
N
Banco Bilbao Vizcaya Argentaria SA
K8MS7FD7N5Z2WQ51AZ71
Banco Bilbao Vizcaya Argentaria SA
N/A
22803.00000000
NS
78509.98000000
0.008613182239
Long
EC
CORP
ES
N
2
N
N
N
Emaar Properties PJSC
N/A
Emaar Properties PJSC
N/A
40267.00000000
NS
30421.74000000
0.003337511876
Long
EC
CORP
AE
N
2
N
N
N
Antero Resources Corp.
APVBKPOULHUX7YZLKU17
Antero Resources Corp.
03674XAF3
206000.00000000
PA
USD
131840.00000000
0.014463918428
Long
DBT
CORP
US
N
2
2023-06-01
Fixed
5.62500000
N
N
N
N
N
N
Eaton Vance Corp.
4JJ8ORNW1AFZPSV8GJ79
Eaton Vance Corp.
278265103
7654.00000000
NS
USD
295444.40000000
0.032412649435
Long
EC
CORP
US
N
1
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
1798.66000000
0.000197327605
N/A
DFE
N/A
N
2
State Street Bank and Trust
571474TGEMMWANRLN572
122025.15000000
EUR
138979.23000000
USD
2020-07-29
1798.66000000
N
N
N
EPAM Systems, Inc.
549300XCR4R530HJP604
EPAM Systems, Inc.
29414B104
1899.00000000
NS
USD
478566.99000000
0.052502684357
Long
EC
CORP
US
N
1
N
N
N
China Molybdenum Co. Ltd.
2549008KG3638J59U652
China Molybdenum Co. Ltd., Class H
N/A
114000.00000000
NS
37638.30000000
0.004129227100
Long
EC
CORP
CN
N
2
N
N
N
CDC Mortgage Capital Trust
N/A
CDC Mortgage Capital Trust, Series 2003-HE3, Class M2
12506YBP3
1946.75000000
PA
USD
1953.05000000
0.000214265442
Long
ABS-O
CORP
US
N
3
2033-11-25
Floating
2.80950100
N
N
N
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
-6379.33000000
-0.00069986429
N/A
DFE
N/A
N
2
Barclays Capital
AC28XWWI3WIBK2824319
570576.06000000
USD
463227877.00000000
CLP
2020-07-22
-6379.33000000
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
35251.21000000
0.003867343946
N/A
DFE
N/A
N
2
Barclays Bank
G5GSEF7VJP5I7OUK5573
1435754.07000000
GBP
1814536.29000000
USD
2020-07-22
35251.21000000
N
N
N
Pfizer, Inc.
765LHXWGK1KXCLTFYQ30
Pfizer, Inc.
717081103
30862.00000000
NS
USD
1009187.40000000
0.110716051518
Long
EC
CORP
US
N
1
N
N
N
ConocoPhillips
WPTL2Z3FIYTHSP5V2253
ConocoPhillips
20825C104
20204.00000000
NS
USD
848972.08000000
0.093139130102
Long
EC
CORP
US
N
1
N
N
N
T-Mobile USA, Inc.
549300V2JRLO5DIFGE82
T-Mobile USA, Inc.
87264ABC8
95000.00000000
PA
USD
105402.50000000
0.011563510028
Long
DBT
CORP
US
Y
2
2027-04-15
Fixed
3.75000000
N
N
N
N
N
N
CNH Equipment Trust
N/A
CNH Equipment Trust, Series 2017-B, Class A3
12637BAD3
7070.68000000
PA
USD
7107.04000000
0.000779699991
Long
ABS-O
CORP
US
N
2
2022-09-15
Fixed
1.86000000
N
N
N
N
N
N
NRG Energy, Inc.
5E2UPK5SW04M13XY7I38
NRG Energy, Inc.
629377CC4
72000.00000000
PA
USD
75240.00000000
0.008254438884
Long
DBT
CORP
US
N
2
2027-01-15
Fixed
6.62500000
N
N
N
N
N
N
Alinma Bank
558600HPAUTN6XSVBK93
Alinma Bank
N/A
15263.00000000
NS
59300.41000000
0.006505736445
Long
EC
CORP
SA
N
2
N
N
N
Booz Allen Hamilton Holding Corp.
529900JPV47PIUWMA015
Booz Allen Hamilton Holding Corp.
099502106
11673.00000000
NS
USD
908042.67000000
0.099619653428
Long
EC
CORP
US
N
1
N
N
N
Chocoladefabriken Lindt & Spruengli AG
529900JYJNNOKKAGK736
Chocoladefabriken Lindt & Spruengli AG
N/A
4.00000000
NS
33037.37000000
0.003624467724
Long
EC
CORP
CH
N
2
N
N
N
ESH Hospitality, Inc.
54930042FMK7X7SQ2896
ESH Hospitality, Inc.
26907YAB0
89000.00000000
PA
USD
83660.00000000
0.009178181247
Long
DBT
CORP
US
Y
2
2027-10-01
Fixed
4.62500000
N
N
N
N
N
N
Neste OYJ
5493009GY1X8GQ66AM14
Neste OYJ
N/A
1446.00000000
NS
56793.23000000
0.006230678443
Long
EC
CORP
FI
N
2
N
N
N
Toray Industries, Inc.
35380099TCYR5FHT0A11
Toray Industries, Inc.
N/A
4800.00000000
NS
22656.13000000
0.002485561409
Long
EC
CORP
JP
N
2
N
N
N
Flagship Credit Auto Trust
549300A2KXZJ0K08VV65
Flagship Credit Auto Trust, Series 2018-2, Class A
33844NAA8
3366.63000000
PA
USD
3386.60000000
0.000371537516
Long
ABS-O
CORP
US
Y
2
2022-10-17
Fixed
2.97000000
N
N
N
N
N
N
Chewy, Inc.
N/A
Chewy, Inc., Class A
16679L109
6440.00000000
NS
USD
287803.60000000
0.031574391638
Long
EC
CORP
US
N
1
N
N
N
Post Holdings, Inc.
JM1I5YUAURL6DC8N1468
Post Holdings, Inc.
737446AN4
40000.00000000
PA
USD
41400.00000000
0.004541916132
Long
DBT
CORP
US
Y
2
2028-01-15
Fixed
5.62500000
N
N
N
N
N
N
Telefonica SA
549300EEJH4FEPDBBR25
Telefonica SA
N/A
15981.00000000
NS
3143.86000000
0.000344906967
Long
CORP
ES
N
1
N
N
N
Post Holdings, Inc.
JM1I5YUAURL6DC8N1468
Post Holdings, Inc.
737446AP9
36000.00000000
PA
USD
37228.32000000
0.004084248966
Long
DBT
CORP
US
Y
2
2029-12-15
Fixed
5.50000000
N
N
N
N
N
N
Far East Horizon Ltd.
549300S9XRGO1ZPUHE62
Far East Horizon Ltd.
N/A
28000.00000000
NS
23902.99000000
0.002622352074
Long
EC
CORP
HK
N
2
N
N
N
Central Garden & Pet Co.
5493004DVZLD37DJ0H83
Central Garden & Pet Co.
153527AL0
55000.00000000
PA
USD
56100.00000000
0.006154625484
Long
DBT
CORP
US
N
2
2023-11-15
Fixed
6.12500000
N
N
N
N
N
N
Battalion Oil Corp.
3XHTN2NNIMMPORDAMJ28
Battalion Oil Corp.
07134L107
515.00000000
NS
USD
4892.50000000
0.000536746972
Long
EC
CORP
US
N
1
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
849.84000000
0.000093234347
N/A
DFE
N/A
N
2
BNP Paribas
R0MUWSFPU8MPRO8K5P83
33449.18000000
USD
32469.25000000
CHF
2020-07-29
849.84000000
N
N
N
Sprint Corp.
549300ZTTY7CXOLJ6539
Sprint Corp.
85207UAE5
86000.00000000
PA
USD
90158.10000000
0.009891075576
Long
DBT
CORP
US
N
2
2021-09-15
Fixed
7.25000000
N
N
N
N
N
N
L Brands, Inc.
GR3KVMWVCR54YWQNXU90
L Brands, Inc.
532716AU1
220000.00000000
PA
USD
215050.00000000
0.023592731022
Long
DBT
CORP
US
N
2
2022-02-15
Fixed
5.62500000
N
N
N
N
N
N
Lululemon Athletica, Inc.
549300D9GZ4BMLDW5T40
Lululemon Athletica, Inc.
550021109
1729.00000000
NS
USD
539465.29000000
0.059183722309
Long
EC
CORP
US
N
1
N
N
N
Structured Asset Mortgage Investments II Trust
N/A
Structured Asset Mortgage Investments II Trust, Series 2005-AR2, Class 2A1
86359LJA8
89843.11000000
PA
USD
84035.35000000
0.009219360190
Long
ABS-MBS
CORP
US
N
2
2045-05-25
Floating
0.64450100
N
N
N
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
-22074.93000000
-0.00242179905
N/A
DFE
N/A
N
2
Citibank
MBNUM2BPBDO7JBLYG310
4917020.88000000
USD
4356872.20000000
EUR
2020-07-02
-22074.93000000
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
155.97000000
0.000017111175
N/A
DFE
N/A
N
2
State Street Bank and Trust
571474TGEMMWANRLN572
326533.79000000
DKK
49416.51000000
USD
2020-07-29
155.97000000
N
N
N
Conn's Receivables Funding LLC
N/A
Conn's Receivables Funding LLC, Series 2019-A, Class C
20827DAC4
541495.30000000
PA
USD
508827.97000000
0.055822559556
Long
ABS-O
CORP
US
Y
2
2023-10-16
Fixed
5.29000000
N
N
N
N
N
N
Macy's, Inc.
529900NZQ81TIOW3CW52
Macy's, Inc.
55616PAA2
135000.00000000
PA
USD
134325.00000000
0.014736543104
Long
DBT
CORP
US
Y
2
2025-06-15
Fixed
8.37500000
N
N
N
N
N
N
AmeriGas Partners LP
N/A
AmeriGas Partners LP
030981AJ3
25000.00000000
PA
USD
26375.00000000
0.002893551642
Long
DBT
CORP
US
N
2
2026-08-20
Fixed
5.87500000
N
N
N
N
N
N
NH Foods Ltd.
353800NLDBIOUQILWU82
NH Foods Ltd.
N/A
300.00000000
NS
12072.17000000
0.001324415064
Long
EC
CORP
JP
N
2
N
N
N
Advanced Micro Devices, Inc.
R2I72C950HOYXII45366
Advanced Micro Devices, Inc.
007903BD8
67000.00000000
PA
USD
437070.06000000
0.047950134216
Long
DBT
CORP
US
N
2
2026-09-01
Fixed
2.12500000
N
N
N
N
Y
Advanced Micro Devices, Inc.
Advanced Micro Devices, Inc.
USD
XXXX
N
N
N
Mizrahi Tefahot Bank Ltd.
YZO9YEGEO4VYDZMDWF93
Mizrahi Tefahot Bank Ltd.
N/A
516.00000000
NS
9695.71000000
0.001063698107
Long
EC
CORP
IL
N
2
N
N
N
Starwood Mortgage Residential Trust
N/A
Starwood Mortgage Residential Trust, Series 2019-INV1, Class M1
85572JAD9
1721000.00000000
PA
USD
1557311.56000000
0.170849722169
Long
ABS-MBS
CORP
US
Y
3
2049-09-27
Variable
3.05600000
N
N
N
N
N
N
UFC Holdings LLC
549300JEOTH7UMZ3C491
UFC Holdings LLC, 1st Lien Term Loan
90266UAF0
53045.30000000
PA
USD
50569.68000000
0.005547904478
Long
LON
CORP
US
N
2
2026-04-29
Variable
4.25000000
N
N
N
N
N
N
Biogen, Inc.
W8J5WZB5IY3K0NDQT671
Biogen, Inc.
09062X103
673.00000000
NS
USD
180061.15000000
0.019754170097
Long
EC
CORP
US
N
1
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
-685.37000000
-0.00007519065
N/A
DFE
N/A
N
2
State Street Bank and Trust
571474TGEMMWANRLN572
133869.01000000
USD
14375400.00000000
JPY
2020-07-29
-685.37000000
N
N
N
Springleaf Finance Corp.
5493008I795YYBFWFU90
Springleaf Finance Corp.
85172FAM1
40000.00000000
PA
USD
41037.50000000
0.004502146939
Long
DBT
CORP
US
N
2
2025-03-15
Fixed
6.87500000
N
N
N
N
N
N
Countrywide Asset-Backed Certificates
N/A
Countrywide Asset-Backed Certificates, Series 2005-12, Class M2
126670EL8
637446.07000000
PA
USD
632042.63000000
0.069340208156
Long
ABS-O
CORP
US
N
3
2036-02-25
Floating
0.67450000
N
N
N
N
N
N
CDW LLC
N/A
CDW LLC
12513GBA6
45000.00000000
PA
USD
48928.05000000
0.005367804338
Long
DBT
CORP
US
N
2
2024-12-01
Fixed
5.50000000
N
N
N
N
N
N
Standard Industries, Inc.
54930064UHXCIUWVI755
Standard Industries, Inc.
853496AC1
118000.00000000
PA
USD
119475.00000000
0.013107377534
Long
DBT
CORP
US
Y
2
2027-02-15
Fixed
5.00000000
N
N
N
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
-2092.96000000
-0.00022961470
N/A
DFE
N/A
N
2
State Street Bank and Trust
571474TGEMMWANRLN572
581635.29000000
DKK
85651.93000000
USD
2020-07-29
-2092.96000000
N
N
N
Alleghany Corp.
549300DCJE6AYX159479
Alleghany Corp.
017175100
661.00000000
NS
USD
323321.54000000
0.035470998032
Long
EC
CORP
US
N
1
N
N
N
Cloudflare, Inc.
5493007DY18BGNLDWU14
Cloudflare, Inc.
18915MAA5
183000.00000000
PA
USD
220515.00000000
0.024192285893
Long
DBT
CORP
US
Y
2
2025-05-15
Fixed
0.75000000
N
N
N
N
Y
Cloudflare, Inc.
Cloudflare, Inc.
USD
XXXX
N
N
N
Carl Zeiss Meditec AG
529900GRL4MZ8NMOOK95
Carl Zeiss Meditec AG
N/A
147.00000000
NS
14313.73000000
0.001570332396
Long
EC
CORP
DE
N
2
N
N
N
China Mobile Ltd.
529900U2JJ7GK68NI589
China Mobile Ltd.
N/A
30500.00000000
NS
205937.85000000
0.022593054184
Long
EC
CORP
HK
N
2
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC, Multi-Family Structured Pass-Through Certificates, Series K088, Class X3
3137FL6H2
3610000.00000000
PA
USD
583337.01000000
0.063996806194
Long
ABS-MBS
USGSE
US
N
2
2047-02-25
Variable
2.42434100
N
N
N
N
N
N
Unibail-Rodamco-Westfield
N/A
Unibail-Rodamco-Westfield
N/A
474.00000000
NS
26717.88000000
0.002931168362
Long
EC
CORP
FR
N
2
N
N
N
Porsche Automobil Holding SE
52990053Z17ZYM1KFV27
Porsche Automobil Holding SE (Preference)
N/A
523.00000000
NS
30291.52000000
0.003323225685
Long
EC
CORP
DE
N
2
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
534.77000000
0.000058668610
N/A
DFE
N/A
N
2
State Street Bank and Trust
571474TGEMMWANRLN572
9230300.00000000
JPY
86050.65000000
USD
2020-07-29
534.77000000
N
N
N
Option One Mortgage Loan Trust
N/A
Option One Mortgage Loan Trust, Series 2004-2, Class M2
68389FFH2
492655.60000000
PA
USD
480413.35000000
0.052705245040
Long
ABS-O
CORP
US
N
3
2034-05-25
Floating
1.75950000
N
N
N
N
N
N
GNMA
549300M8ZYFG0OCMTT87
GNMA, Series 2013-80
38378KSD2
3014857.57000000
PA
USD
90340.21000000
0.009911054522
Long
ABS-MBS
USGA
US
N
2
2052-03-16
Variable
0.89606200
N
N
N
N
N
N
Safran SA
969500UIC89GT3UL7L24
Safran SA
N/A
16193.00000000
NS
1628875.25000000
0.178700839998
Long
EC
CORP
FR
N
2
N
N
N
Swiss Life Holding AG
5493000KUC3Z24U77V93
Swiss Life Holding AG (Registered)
N/A
114.00000000
NS
42410.14000000
0.004652736692
Long
EC
CORP
CH
N
2
N
N
N
Ross Stores, Inc.
549300ENZFLPGRDFZQ60
Ross Stores, Inc.
778296103
11242.00000000
NS
USD
958268.08000000
0.105129788692
Long
EC
CORP
US
N
1
N
N
N
Public Storage
549300LMZF40TKJ6DM64
Public Storage
74460D109
3779.00000000
NS
USD
725152.31000000
0.079555096023
Long
EC
CORP
US
N
1
N
N
N
NGK Insulators Ltd.
353800701BNCL25VYY16
NGK Insulators Ltd.
N/A
900.00000000
NS
12470.03000000
0.001368063536
Long
EC
CORP
JP
N
2
N
N
N
Raytheon Technologies Corp.
I07WOS4YJ0N7YRFE7309
Raytheon Technologies Corp.
75513E101
11353.00000000
NS
USD
699571.86000000
0.076748712966
Long
EC
CORP
US
N
1
N
N
N
Dunkin' Brands Group, Inc.
549300311IRV47UCTO62
Dunkin' Brands Group, Inc.
265504100
2910.00000000
NS
USD
189819.30000000
0.020824718380
Long
EC
CORP
US
N
1
N
N
N
QEP Resources, Inc.
Q6JQDZPXKEDQKVK58165
QEP Resources, Inc.
74733VAD2
49000.00000000
PA
USD
31115.00000000
0.003413568127
Long
DBT
CORP
US
N
2
2026-03-01
Fixed
5.62500000
N
N
N
N
N
N
KDDI Corp.
5299003FU7V4I45FU310
KDDI Corp.
N/A
5600.00000000
NS
167088.02000000
0.018330912405
Long
EC
CORP
JP
N
2
N
N
N
Singapore Telecommunications Ltd.
2549003XJKIQO8YDYD89
Singapore Telecommunications Ltd.
N/A
28000.00000000
NS
49809.14000000
0.005464467065
Long
EC
CORP
SG
N
2
N
N
N
Tallgrass Energy Partners LP
N/A
Tallgrass Energy Partners LP
87470LAD3
60000.00000000
PA
USD
51900.00000000
0.005693851383
Long
DBT
CORP
US
Y
2
2028-01-15
Fixed
5.50000000
N
N
N
N
N
N
Casio Computer Co. Ltd.
353800JRMIABSXKHV344
Casio Computer Co. Ltd.
N/A
700.00000000
NS
12211.92000000
0.001339746774
Long
EC
CORP
JP
N
2
N
N
N
Legal & General Group plc
213800JH9QQWHLO99821
Legal & General Group plc
N/A
257555.00000000
NS
702158.18000000
0.077032453269
Long
EC
CORP
GB
N
2
N
N
N
CIM Trust
N/A
CIM Trust, Series 2019-INV1, Class A2
12555DAB1
793422.65000000
PA
USD
791944.03000000
0.086882689998
Long
ABS-MBS
CORP
US
Y
2
2049-02-25
Floating
1.18450100
N
N
N
N
N
N
EQM Midstream Partners LP
549300NELT611CL6XM83
EQM Midstream Partners LP
26885BAF7
25000.00000000
PA
USD
25250.00000000
0.002770130008
Long
DBT
CORP
US
Y
2
2025-07-01
Fixed
6.00000000
N
N
N
N
N
N
Sea Ltd.
529900OM6JLLW44YKI15
Sea Ltd.
81141R100
8256.00000000
NS
USD
885373.44000000
0.097132654842
Long
EC
CORP
KY
N
1
N
N
N
DaVita, Inc.
M2XHYMU3TZNEZURC6H66
DaVita, Inc.
23918KAQ1
135000.00000000
PA
USD
137362.50000000
0.015069781515
Long
DBT
CORP
US
N
2
2024-07-15
Fixed
5.12500000
N
N
N
N
N
N
United Airlines Holdings, Inc.
98450079DA0B78DD6764
United Airlines Holdings, Inc.
910047AH2
69000.00000000
PA
USD
56148.75000000
0.006159973754
Long
DBT
CORP
US
N
2
2024-02-01
Fixed
5.00000000
N
N
N
N
N
N
President Chain Store Corp.
N/A
President Chain Store Corp.
N/A
59000.00000000
NS
593520.73000000
0.065114042961
Long
EC
CORP
TW
N
2
N
N
N
Alternative Loan Trust
N/A
Alternative Loan Trust, Series 2004-27CB, Class A1
12667FWU5
251901.61000000
PA
USD
248636.44000000
0.027277436183
Long
ABS-MBS
CORP
US
N
2
2034-12-25
Fixed
6.00000000
N
N
N
N
N
N
Elbit Systems Ltd.
529900Q9CB1REUMZSS32
Elbit Systems Ltd.
N/A
91.00000000
NS
12505.46000000
0.001371950495
Long
EC
CORP
IL
N
2
N
N
N
Cigna Corp.
549300VIWYMSIGT1U456
Cigna Corp.
125523100
10181.00000000
NS
USD
1910464.65000000
0.209593483443
Long
EC
CORP
US
N
1
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
1282.91000000
0.000140745643
N/A
DFE
N/A
N
2
Citibank
MBNUM2BPBDO7JBLYG310
68857.20000000
USD
66398.31000000
CHF
2020-07-29
1282.91000000
N
N
N
Sempra Energy
PBBKGKLRK5S5C0Y4T545
Sempra Energy, Series B
816851505
3926.00000000
NS
USD
385768.76000000
0.042321965084
Long
EP
CORP
US
N
1
N
N
N
Cisco Systems, Inc.
8E6NF1YAL0WT6CWXXV93
Cisco Systems, Inc.
17275R102
13085.00000000
NS
USD
610284.40000000
0.066953153667
Long
EC
CORP
US
N
1
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
-552.39000000
-0.00006060166
N/A
DFE
N/A
N
2
Goldman Sachs International
W22LROWP2IHZNBB6K528
9846084.41000000
SEK
114031934.00000000
JPY
2020-07-22
-552.39000000
N
N
N
SM Energy Co.
84BUTVXV5ODI6BXNMH43
SM Energy Co.
78454LAH3
55000.00000000
PA
USD
29700.00000000
0.003258331138
Long
DBT
CORP
US
N
2
2024-01-15
Fixed
5.00000000
N
N
N
N
N
N
Spirit AeroSystems, Inc.
ZD2NBKV6GCC3UMGBM518
Spirit AeroSystems, Inc.
85205TAL4
90000.00000000
PA
USD
88762.50000000
0.009737966925
Long
DBT
CORP
US
Y
2
2025-04-15
Fixed
7.50000000
N
N
N
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
1814.99000000
0.000199119139
N/A
DFE
N/A
N
2
Citibank
MBNUM2BPBDO7JBLYG310
198634.83000000
EUR
224981.22000000
USD
2020-07-02
1814.99000000
N
N
N
Orion OYJ
74370029VAHCXDR7B745
Orion OYJ, Class B
N/A
359.00000000
NS
17409.49000000
0.001909962403
Long
EC
CORP
FI
N
2
N
N
N
Sinopharm Group Co. Ltd.
529900N54X78YH9JYK92
Sinopharm Group Co. Ltd., Class H
N/A
13200.00000000
NS
33936.65000000
0.003723126041
Long
EC
CORP
CN
N
2
N
N
N
AMC Networks, Inc.
549300VGG9K75226LR46
AMC Networks, Inc.
00164VAE3
50000.00000000
PA
USD
49125.00000000
0.005389411352
Long
DBT
CORP
US
N
2
2025-08-01
Fixed
4.75000000
N
N
N
N
N
N
BP plc
213800LH1BZH3DI6G760
BP plc
N/A
313133.00000000
NS
1199626.05000000
0.131608717622
Long
EC
CORP
GB
N
2
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
87360.82000000
0.009584191249
N/A
DFE
N/A
N
2
Citibank
MBNUM2BPBDO7JBLYG310
15007725.10000000
NZD
14159166.27000000
AUD
2020-07-22
87360.82000000
N
N
N
Progressive Corp. (The)
529900TACNVLY9DCR586
Progressive Corp. (The)
743315103
14892.00000000
NS
USD
1192998.12000000
0.130881579888
Long
EC
CORP
US
N
1
N
N
N
Repsol SA
BSYCX13Y0NOTV14V9N85
Repsol SA
N/A
4844.00000000
NS
42801.50000000
0.004695672061
Long
EC
CORP
ES
N
2
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
-144415.71000000
-0.01584357591
N/A
DFE
N/A
N
2
Merrill Lynch International
AHYI0DDQ2LCHPGHJC422
22477027.44000000
USD
2410746606.00000000
JPY
2020-07-22
-144415.71000000
N
N
N
Telecom Italia Capital SA
549300777DJZOR5C4L39
Telecom Italia Capital SA
87927VAF5
240000.00000000
PA
USD
270300.00000000
0.029654104604
Long
DBT
CORP
LU
N
2
2033-11-15
Fixed
6.37500000
N
N
N
N
N
N
Dana Financing Luxembourg SARL
222100DKCE3D036DQU13
Dana Financing Luxembourg SARL
235822AA1
290000.00000000
PA
USD
300150.00000000
0.032928891961
Long
DBT
CORP
LU
Y
2
2026-06-01
Fixed
6.50000000
N
N
N
N
N
N
Xinyangfeng Agricultural Technology Co. Ltd.
3003005L5KIOE9PUI970
Xinyangfeng Agricultural Technology Co. Ltd., Class A
N/A
30000.00000000
NS
37637.19000000
0.004129105324
Long
EC
CORP
CN
N
2
N
N
N
Sysmex Corp.
5299001ZO4CKWACMZI55
Sysmex Corp.
N/A
600.00000000
NS
46057.01000000
0.005052827940
Long
EC
CORP
JP
N
2
N
N
N
Pola Orbis Holdings, Inc.
353800E8OIV0XYBABS79
Pola Orbis Holdings, Inc.
N/A
200.00000000
NS
3491.72000000
0.000383070033
Long
EC
CORP
JP
N
2
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
330.31000000
0.000036237688
N/A
DFE
N/A
N
2
Goldman Sachs International
W22LROWP2IHZNBB6K528
194130.09000000
SGD
139637.42000000
USD
2020-07-22
330.31000000
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
7969.57000000
0.000874326535
N/A
DFE
N/A
N
2
Citibank
MBNUM2BPBDO7JBLYG310
1246650.44000000
EUR
1913039.95000000
CAD
2020-07-22
7969.57000000
N
N
N
China Yangtze Power Co. Ltd.
3003008VX8JFJXA6QP74
China Yangtze Power Co. Ltd., Class A
N/A
24800.00000000
NS
66622.72000000
0.007309053303
Long
EC
CORP
CN
N
2
N
N
N
ON Semiconductor Corp.
ZV20P4CNJVT8V1ZGJ064
ON Semiconductor Corp.
682189AP0
324000.00000000
PA
USD
393177.24000000
0.043134735490
Long
DBT
CORP
US
N
2
2023-10-15
Fixed
1.62500000
N
N
N
N
Y
ON Semiconductor Corp.
ON Semiconductor Corp.
USD
XXXX
N
N
N
Aeon Co. Ltd.
5299009MXFL34SA71416
Aeon Co. Ltd.
N/A
2300.00000000
NS
53508.40000000
0.005870305922
Long
EC
CORP
JP
N
2
N
N
N
Jeronimo Martins SGPS SA
259400A8SZP10GB5IB19
Jeronimo Martins SGPS SA
N/A
919.00000000
NS
16082.46000000
0.001764376437
Long
EC
CORP
PT
N
2
N
N
N
Xcel Energy, Inc.
LGJNMI9GH8XIDG5RCM61
Xcel Energy, Inc.
98389B100
42201.00000000
NS
USD
2637562.50000000
0.289362021000
Long
EC
CORP
US
N
1
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
-1185.03000000
-0.00013000741
N/A
DFE
N/A
N
2
Citibank
MBNUM2BPBDO7JBLYG310
9344950.00000000
HKD
1204537.18000000
USD
2020-07-02
-1185.03000000
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
-5146.48000000
-0.00056461064
N/A
DFE
N/A
N
2
Citibank
MBNUM2BPBDO7JBLYG310
30307151.00000000
TWD
1029472.34000000
USD
2020-07-22
-5146.48000000
N
N
N
Allison Transmission, Inc.
MWKQ3I0U1GXP2YDSZW75
Allison Transmission, Inc.
019736AE7
20000.00000000
PA
USD
19850.00000000
0.002177706165
Long
DBT
CORP
US
Y
2
2027-10-01
Fixed
4.75000000
N
N
N
N
N
N
Deutsche Wohnen SE
529900QE24Q67I3FWZ10
Deutsche Wohnen SE
N/A
1169.00000000
NS
52529.74000000
0.005762938974
Long
EC
CORP
DE
N
2
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
545.65000000
0.000059862235
N/A
DFE
N/A
N
2
BNP Paribas
R0MUWSFPU8MPRO8K5P83
229301.57000000
GBP
284726.56000000
USD
2020-07-29
545.65000000
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
-243.09000000
-0.00002666894
N/A
DFE
N/A
N
2
State Street Bank and Trust
571474TGEMMWANRLN572
6020.84000000
EUR
6525.53000000
USD
2020-07-29
-243.09000000
N
N
N
Alcon, Inc.
549300LDT5AP8S0NBM78
Alcon, Inc.
N/A
1683.00000000
NS
96703.88000000
0.010609200788
Long
EC
CORP
CH
N
2
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
-46404.95000000
-0.00509099978
N/A
DFE
N/A
N
2
Citibank
MBNUM2BPBDO7JBLYG310
6564818.66000000
USD
9444423.34000000
AUD
2020-07-22
-46404.95000000
N
N
N
Danske Bank A/S
MAES062Z21O4RZ2U7M96
Danske Bank A/S
N/A
2359.00000000
NS
31536.17000000
0.003459773895
Long
EC
CORP
DK
N
2
N
N
N
FREED ABS Trust
N/A
FREED ABS Trust, Series 2019-1, Class A
30308XAA1
72029.66000000
PA
USD
72163.07000000
0.007916874681
Long
ABS-O
CORP
US
Y
2
2026-06-18
Fixed
3.42000000
N
N
N
N
N
N
Clariant AG
529900VSEKBY7TMPP349
Clariant AG (Registered)
N/A
817.00000000
NS
16079.28000000
0.001764027565
Long
EC
CORP
CH
N
2
N
N
N
Q2 Holdings, Inc.
549300M9RKR9DZXWS696
Q2 Holdings, Inc.
74736L109
5327.00000000
NS
USD
457003.33000000
0.050136975777
Long
EC
CORP
US
N
1
N
N
N
BioMerieux
549300AK8Y0LBIQ4T071
BioMerieux
N/A
141.00000000
NS
19364.16000000
0.002124405572
Long
EC
CORP
FR
N
2
N
N
N
Severn Trent plc
213800RPBXRETY4A4C59
Severn Trent plc
N/A
814.00000000
NS
24911.49000000
0.002732992712
Long
EC
CORP
GB
N
2
N
N
N
BANK
N/A
BANK, Series 2019-BN20, Class XA
06540AAE1
791.67000000
PA
USD
50.24000000
0.000005511735
Long
ABS-MBS
CORP
US
N
2
2062-09-15
Variable
0.96343200
N
N
N
N
N
N
Wm Morrison Supermarkets plc
213800IN6LSRGTZSOS29
Wm Morrison Supermarkets plc
N/A
8221.00000000
NS
19366.50000000
0.002124662289
Long
EC
CORP
GB
N
2
N
N
N
Admiral Group plc
213800FGVM7Z9EJB2685
Admiral Group plc
N/A
652.00000000
NS
18490.04000000
0.002028507511
Long
EC
CORP
GB
N
2
N
N
N
Triumph Group, Inc.
5493007L6S47Q14SL582
Triumph Group, Inc.
896818AQ4
15000.00000000
PA
USD
12750.00000000
0.001398778519
Long
DBT
CORP
US
Y
2
2024-09-15
Fixed
6.25000000
N
N
N
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
82006.81000000
0.008996812882
N/A
DFE
N/A
N
2
HSBC Bank
MP6I5ZYZBEU3UXPYFY54
84349621.72000000
ZAR
4931613.49000000
USD
2020-07-22
82006.81000000
N
N
N
Vista Outdoor, Inc.
549300QI2D33ESTJLN81
Vista Outdoor, Inc.
928377AB6
210000.00000000
PA
USD
205275.00000000
0.022520334157
Long
DBT
CORP
US
N
2
2023-10-01
Fixed
5.87500000
N
N
N
N
N
N
Facebook, Inc.
BQ4BKCS1HXDV9HN80Z93
Facebook, Inc., Class A
30303M102
6663.00000000
NS
USD
1512967.41000000
0.165984808877
Long
EC
CORP
US
N
1
N
N
N
ACE Cash Express, Inc.
N/A
ACE Cash Express, Inc.
004403AG6
81000.00000000
PA
USD
57915.00000000
0.006353745720
Long
DBT
CORP
US
Y
2
2022-12-15
Fixed
12.00000000
N
N
N
N
N
N
Option One Mortgage Acceptance Corp. Asset-Backed Certificates
N/A
Option One Mortgage Acceptance Corp. Asset-Backed Certificates, Series 2003-4, Class M1
68389FDU5
482916.47000000
PA
USD
475329.37000000
0.052147491156
Long
ABS-O
CORP
US
N
3
2033-07-25
Floating
1.20449900
N
N
N
N
N
N
Sino Land Co. Ltd.
529900G5P51053HJVZ92
Sino Land Co. Ltd.
N/A
12000.00000000
NS
15182.40000000
0.001665632548
Long
EC
CORP
HK
N
2
N
N
N
Bank Central Asia Tbk. PT
254900BR956G2OHVOM21
Bank Central Asia Tbk. PT
N/A
302800.00000000
NS
605842.61000000
0.066465853240
Long
EC
CORP
ID
N
2
N
N
N
Taiyo Nippon Sanso Corp.
353800F1K6653B4VPY57
Taiyo Nippon Sanso Corp.
N/A
500.00000000
NS
8361.43000000
0.000917316758
Long
EC
CORP
JP
N
2
N
N
N
Allied Universal Holdco LLC
N/A
Allied Universal Holdco LLC
019576AB3
22000.00000000
PA
USD
23182.50000000
0.002543308472
Long
DBT
CORP
US
Y
2
2027-07-15
Fixed
9.75000000
N
N
N
N
N
N
Station Casinos LLC
5493004E7Q60TX54WL62
Station Casinos LLC
857691AG4
15000.00000000
PA
USD
12600.00000000
0.001382322301
Long
DBT
CORP
US
Y
2
2028-02-15
Fixed
4.50000000
N
N
N
N
N
N
Atos SE
5493001EZOOA66PTBR68
Atos SE
N/A
337.00000000
NS
28892.07000000
0.003169694657
Long
EC
CORP
FR
N
2
N
N
N
Ferrovial SA
95980020140005757903
Ferrovial SA
N/A
1717.00000000
NS
45895.40000000
0.005035098011
Long
EC
CORP
ES
N
2
N
N
N
TransUnion
549300ZS772LUNUMRB03
TransUnion
89400J107
4885.00000000
NS
USD
425190.40000000
0.046646839062
Long
EC
CORP
US
N
1
N
N
N
GNMA
549300M8ZYFG0OCMTT87
GNMA I, 30 Year
36206NKD6
0.10000000
PA
USD
0.11000000
0.000000012067
Long
ABS-MBS
USGA
US
N
2
2026-04-15
Fixed
6.50000000
N
N
N
N
N
N
Associated British Foods plc
GBQKSY6W7G0OHCQ8OQ72
Associated British Foods plc
N/A
1300.00000000
NS
30737.44000000
0.003372146729
Long
EC
CORP
GB
N
2
N
N
N
ACC Trust
N/A
ACC Trust, Series 2019-1, Class C
00085MAC3
500000.00000000
PA
USD
453309.75000000
0.049731760062
Long
ABS-O
CORP
US
Y
2
2024-02-20
Fixed
6.41000000
N
N
N
N
N
N
Bureau Veritas SA
969500TPU5T3HA5D1F11
Bureau Veritas SA
N/A
1005.00000000
NS
21315.50000000
0.002338483413
Long
EC
CORP
FR
N
2
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
-244827.02000000
-0.02685951187
N/A
DFE
N/A
N
2
Goldman Sachs International
W22LROWP2IHZNBB6K528
1817949606.00000000
JPY
16596247.27000000
USD
2020-07-22
-244827.02000000
N
N
N
CVS Pass-Through Trust
N/A
CVS Pass-Through Trust, Series 2009
126659AA9
141794.74000000
PA
USD
183209.78000000
0.020099600372
Long
ABS-MBS
CORP
US
Y
2
2031-07-10
Fixed
8.35300000
N
N
N
N
N
N
Stanley Black & Decker, Inc.
549300DJ09SMTO561131
Stanley Black & Decker, Inc., Series C
854502853
354.00000000
NS
USD
403209.43000000
0.044235348186
Long
EP
CORP
US
N
1
N
N
N
Transocean Guardian Ltd.
N/A
Transocean Guardian Ltd.
893800AA0
175349.99160000
PA
USD
152508.90000000
0.016731464571
Long
DBT
CORP
KY
Y
2
2024-01-15
Fixed
5.87500000
N
N
N
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
47.22000000
0.000005180417
N/A
DFE
N/A
N
2
BNP Paribas
R0MUWSFPU8MPRO8K5P83
126804.87000000
SEK
13660.29000000
USD
2020-07-29
47.22000000
N
N
N
PHH Mortgage Trust
N/A
PHH Mortgage Trust, Series 2008-CIM2, Class 5A1
69338AAJ4
1168.26000000
PA
USD
1225.50000000
0.000134447300
Long
ABS-MBS
CORP
US
N
2
2038-07-25
Fixed
6.00000000
N
N
N
N
N
N
Hong Kong & China Gas Co. Ltd.
254900P7BETXGC7YU827
Hong Kong & China Gas Co. Ltd.
N/A
36645.00000000
NS
56952.50000000
0.006248151655
Long
EC
CORP
HK
N
2
N
N
N
HCA, Inc.
L3CJ6J7LJ2DX62FTXD46
HCA, Inc.
404119BS7
1168000.00000000
PA
USD
1281880.00000000
0.140632643768
Long
DBT
CORP
US
N
2
2026-02-15
Fixed
5.87500000
N
N
N
N
N
N
Tesla, Inc.
54930043XZGB27CTOV49
Tesla, Inc.
88160R101
2405.00000000
NS
USD
2596943.05000000
0.284905737540
Long
EC
CORP
US
N
1
N
N
N
Reliance Industries Ltd.
5493003UOETFYRONLG31
Reliance Industries Ltd.
N/A
405.00000000
NS
4278.30000000
0.000469364246
Long
EC
CORP
IN
N
1
N
N
N
Grupo Aeroportuario del Pacifico SAB de CV
4469000001BZ368XFI90
Grupo Aeroportuario del Pacifico SAB de CV, Class B
N/A
5182.00000000
NS
37407.71000000
0.004103929505
Long
EC
CORP
MX
N
1
N
N
N
International Container Terminal Services, Inc.
254900FU1MWK0I0Q4J61
International Container Terminal Services, Inc.
N/A
13890.00000000
NS
28582.13000000
0.003135691723
Long
EC
CORP
PH
N
2
N
N
N
GNMA
549300M8ZYFG0OCMTT87
GNMA, Series 2015-33
38379KFF0
3290997.36000000
PA
USD
134954.59000000
0.014805614238
Long
ABS-MBS
USGA
US
N
2
2056-02-16
Variable
0.72333000
N
N
N
N
N
N
JBS USA LUX SA
N/A
JBS USA LUX SA
46590XAA4
24000.00000000
PA
USD
25470.00000000
0.002794265794
Long
DBT
CORP
US
Y
2
2029-04-15
Fixed
6.50000000
N
N
N
N
N
N
Tokyo Gas Co. Ltd.
353800678EIJLOQSWZ83
Tokyo Gas Co. Ltd.
N/A
1300.00000000
NS
31127.99000000
0.003414993235
Long
EC
CORP
JP
N
2
N
N
N
Mapfre SA
95980020140005693107
Mapfre SA
N/A
1872.00000000
NS
3342.81000000
0.000366733397
Long
EC
CORP
ES
N
2
N
N
N
Saudi Basic Industries Corp.
213800ZCTFZZZJSK8645
Saudi Basic Industries Corp.
N/A
3704.00000000
NS
87231.44000000
0.009569997212
Long
EC
CORP
SA
N
2
N
N
N
Japan Post Bank Co. Ltd.
5493006JVO6N2HC2XZ76
Japan Post Bank Co. Ltd.
N/A
1700.00000000
NS
12643.28000000
0.001387070468
Long
EC
CORP
JP
N
2
N
N
N
MPH Acquisition Holdings LLC
5493002WXOPRPTXWTU06
MPH Acquisition Holdings LLC
553283AB8
235000.00000000
PA
USD
218550.00000000
0.023976709439
Long
DBT
CORP
US
Y
2
2024-06-01
Fixed
7.12500000
N
N
N
N
N
N
Sirius XM Radio, Inc.
WP5O65E6BMU84LNO4227
Sirius XM Radio, Inc.
82967NAU2
291000.00000000
PA
USD
298857.00000000
0.032787039363
Long
DBT
CORP
US
Y
2
2025-04-15
Fixed
5.37500000
N
N
N
N
N
N
Rentokil Initial plc
549300VN4WV7Z6T14K68
Rentokil Initial plc
N/A
6324.00000000
NS
39987.73000000
0.004386978647
Long
EC
CORP
GB
N
2
N
N
N
Exact Sciences Corp.
549300VM3X1FYD4N9Z14
Exact Sciences Corp.
30063P105
5879.00000000
NS
USD
511120.26000000
0.056074042381
Long
EC
CORP
US
N
1
N
N
N
Unicharm Corp.
353800UQ4BZIJTAQEG85
Unicharm Corp.
N/A
1400.00000000
NS
57417.52000000
0.006299168125
Long
EC
CORP
JP
N
2
N
N
N
Live Nation Entertainment, Inc.
5493007B9BM9ZXJINO78
Live Nation Entertainment, Inc.
538034AN9
59000.00000000
PA
USD
53690.00000000
0.005890228916
Long
DBT
CORP
US
Y
2
2026-03-15
Fixed
5.62500000
N
N
N
N
N
N
DT Auto Owner Trust
549300XVMF0FUK76JG97
DT Auto Owner Trust, Series 2019-1A, Class E
23343GAJ1
425000.00000000
PA
USD
428118.82000000
0.046968110512
Long
ABS-O
CORP
US
Y
2
2026-02-17
Fixed
4.94000000
N
N
N
N
N
N
JFE Holdings, Inc.
N/A
JFE Holdings, Inc.
N/A
1700.00000000
NS
12290.18000000
0.001348332531
Long
EC
CORP
JP
N
2
N
N
N
Shimizu Corp.
353800BRAE0QFP3ZLY22
Shimizu Corp.
N/A
1900.00000000
NS
15652.37000000
0.001717192072
Long
EC
CORP
JP
N
2
N
N
N
Ubisoft Entertainment SA
969500I7C8V1LBIMSM05
Ubisoft Entertainment SA
N/A
331.00000000
NS
27410.28000000
0.003007130264
Long
EC
CORP
FR
N
2
N
N
N
AMC Networks, Inc.
549300VGG9K75226LR46
AMC Networks, Inc.
00164VAD5
125000.00000000
PA
USD
123750.00000000
0.013576379744
Long
DBT
CORP
US
N
2
2024-04-01
Fixed
5.00000000
N
N
N
N
N
N
CWABS, Inc. Asset-Backed Certificates Trust
N/A
CWABS, Inc. Asset-Backed Certificates Trust, Series 2004-5, Class M3
1266716M3
258128.16000000
PA
USD
254727.06000000
0.027945626647
Long
ABS-O
CORP
US
N
3
2034-07-25
Floating
1.90950100
N
N
N
N
N
N
Transocean Proteus Ltd.
5493000CTMQ2LH21VM89
Transocean Proteus Ltd.
893829AA9
66950.00000000
PA
USD
60924.50000000
0.006683912304
Long
DBT
CORP
KY
Y
2
2024-12-01
Fixed
6.25000000
N
N
N
N
N
N
L E Lundbergforetagen AB
529900BPSFZS6O3A9R04
L E Lundbergforetagen AB, Class B
N/A
261.00000000
NS
11897.34000000
0.001305234794
Long
EC
CORP
SE
N
2
N
N
N
Kobayashi Pharmaceutical Co. Ltd.
529900WBSL04KD6TKP95
Kobayashi Pharmaceutical Co. Ltd.
N/A
200.00000000
NS
17584.89000000
0.001929205207
Long
EC
CORP
JP
N
2
N
N
N
APA Group
549300T9RBSX164T8H40
APA Group
N/A
4059.00000000
NS
31385.49000000
0.003443243076
Long
EC
CORP
AU
N
2
N
N
N
XPO Logistics, Inc.
54930096DB9LCLPN7H13
XPO Logistics, Inc.
983793AF7
157000.00000000
PA
USD
158962.50000000
0.017439476889
Long
DBT
CORP
US
Y
2
2023-09-01
Fixed
6.12500000
N
N
N
N
N
N
Vericrest Opportunity Loan Trust
N/A
Vericrest Opportunity Loan Trust, Series 2019-NPL7, Class A1A
92870DAA3
1362025.45000000
PA
USD
1348930.53000000
0.147988631302
Long
ABS-O
CORP
US
Y
3
2049-10-25
Variable
3.17890100
N
N
N
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
-289.77000000
-0.00003179012
N/A
DFE
N/A
N
2
Merrill Lynch International
AHYI0DDQ2LCHPGHJC422
30397.89000000
GBP
37383.33000000
USD
2020-07-29
-289.77000000
N
N
N
NRG Energy, Inc.
5E2UPK5SW04M13XY7I38
NRG Energy, Inc.
629377CH3
10000.00000000
PA
USD
10522.90000000
0.001154447566
Long
DBT
CORP
US
Y
2
2029-06-15
Fixed
5.25000000
N
N
N
N
N
N
Leidos Holdings, Inc.
549300IUTGTP6EJP8124
Leidos Holdings, Inc.
525327102
8463.00000000
NS
USD
792729.21000000
0.086968830619
Long
EC
CORP
US
N
1
N
N
N
China Shenhua Energy Co. Ltd.
529900N9JOX4C108MA40
China Shenhua Energy Co. Ltd., Class H
N/A
42000.00000000
NS
65182.99000000
0.007151103233
Long
EC
CORP
CN
N
2
N
N
N
Moran Foods LLC
N/A
Moran Foods LLC, 1st Lien Term Loan B
N/A
43539.62000000
PA
USD
43539.62000000
0.004776649818
Long
LON
CORP
US
N
3
2024-04-01
Variable
7.00000000
N
N
N
N
N
N
Liberty Interactive LLC
549300SZUIU7Z32Q0664
Liberty Interactive LLC
530610AD6
299000.00000000
PA
USD
451666.07000000
0.049551435021
Long
DBT
CORP
US
Y
2
2046-09-30
Fixed
1.75000000
N
N
N
N
N
Charter Communications, Inc.
Charter Communications, Inc.
USD
XXXX
N
N
N
NCR Corp.
549300YKTY8JX1DV2R67
NCR Corp.
62886EAV0
295000.00000000
PA
USD
296442.55000000
0.032522154594
Long
DBT
CORP
US
Y
2
2029-09-01
Fixed
6.12500000
N
N
N
N
N
N
Quest Diagnostics, Inc.
8MCWUBXQ0WE04KMXBX50
Quest Diagnostics, Inc.
74834L100
4890.00000000
NS
USD
557264.40000000
0.061136429190
Long
EC
CORP
US
N
1
N
N
N
Dai Nippon Printing Co. Ltd.
529900S7NFNQ4FT6OP83
Dai Nippon Printing Co. Ltd.
N/A
900.00000000
NS
20691.34000000
0.002270007993
Long
EC
CORP
JP
N
2
N
N
N
Wynn Macau Ltd.
254900NMDQ8ENTHU1I31
Wynn Macau Ltd.
N/A
6400.00000000
NS
11100.38000000
0.001217801811
Long
EC
CORP
KY
N
2
N
N
N
Tenet Healthcare Corp.
0W9AIBT6U6ADJ2I8HK17
Tenet Healthcare Corp.
88033GCS7
94000.00000000
PA
USD
92113.42000000
0.010105590056
Long
DBT
CORP
US
N
2
2024-07-15
Fixed
4.62500000
N
N
N
N
N
N
Oasis Petroleum, Inc.
529900FA4V2YNIKZ0M71
Oasis Petroleum, Inc.
674215AK4
265000.00000000
PA
USD
43725.00000000
0.004796987509
Long
DBT
CORP
US
Y
2
2026-05-01
Fixed
6.25000000
N
N
N
N
N
N
Schindler Holding AG
5299007DRLI319H7Q933
Schindler Holding AG (Registered)
N/A
81.00000000
NS
19202.80000000
0.002106703070
Long
EC
CORP
CH
N
2
N
N
N
Iron Mountain, Inc.
SQL3F6CKNNBM3SQGHX24
Iron Mountain, Inc.
46284VAF8
165000.00000000
PA
USD
160462.50000000
0.017604039068
Long
DBT
CORP
US
Y
2
2029-09-15
Fixed
4.87500000
N
N
N
N
N
N
Fresenius Medical Care AG & Co. KGaA
549300CP8NY40UP89Q40
Fresenius Medical Care AG & Co. KGaA
N/A
729.00000000
NS
62715.78000000
0.006880430264
Long
EC
CORP
DE
N
2
N
N
N
X5 Retail Group NV
213800J17UJJJDGUVF56
X5 Retail Group NV
98387E205
2173.00000000
NS
USD
77071.10000000
0.008455325421
Long
EC
CORP
NL
Y
2
N
N
N
Ameriquest Mortgage Securities, Inc. Asset-Backed Securities
N/A
Ameriquest Mortgage Securities, Inc. Asset-Backed Securities, Series 2004-R1, Class M1
03072SNS0
175938.75000000
PA
USD
166359.59000000
0.018250997720
Long
ABS-O
CORP
US
N
3
2034-02-25
Floating
0.97949900
N
N
N
N
N
N
Tempur Sealy International, Inc.
549300HFEKVR3US71V91
Tempur Sealy International, Inc.
88023UAD3
319000.00000000
PA
USD
322190.00000000
0.035346858907
Long
DBT
CORP
US
N
2
2023-10-15
Fixed
5.62500000
N
N
N
N
N
N
United States of America
254900HROIFWPRGM1V77
U.S. Treasury Bonds
912810QX9
1900000.00000000
PA
USD
2435339.84000000
0.267176553323
Long
DBT
UST
US
N
2
2042-08-15
Fixed
2.75000000
N
N
N
N
N
N
Altice Europe NV
724500354ATKLCM6EW21
Altice Europe NV
N/A
2131.00000000
NS
8241.72000000
0.000904183599
Long
EC
CORP
NL
N
2
N
N
N
IQVIA, Inc.
549300PLWY28YB00C717
IQVIA, Inc.
46266TAA6
200000.00000000
PA
USD
204588.00000000
0.022444964679
Long
DBT
CORP
US
Y
2
2027-05-15
Fixed
5.00000000
N
N
N
N
N
N
Iida Group Holdings Co. Ltd.
35380051BV8PV1I4S949
Iida Group Holdings Co. Ltd.
N/A
300.00000000
NS
4610.50000000
0.000505809283
Long
EC
CORP
JP
N
2
N
N
N
Novelis Corp.
549300G5F3W3B52WYL23
Novelis Corp.
670001AE6
165000.00000000
PA
USD
157575.00000000
0.017287256874
Long
DBT
CORP
US
Y
2
2030-01-30
Fixed
4.75000000
N
N
N
N
N
N
New Century Home Equity Loan Trust
N/A
New Century Home Equity Loan Trust, Series 2004-4, Class M1
64352VJJ1
457389.67000000
PA
USD
435704.37000000
0.047800306935
Long
ABS-O
CORP
US
N
3
2035-02-25
Floating
0.94950000
N
N
N
N
N
N
Rolls-Royce Holdings plc
213800EC7997ZBLZJH69
Rolls-Royce Holdings plc
N/A
6302.00000000
NS
22249.92000000
0.002440996874
Long
EC
CORP
GB
N
2
N
N
N
Synopsys, Inc.
QG7T915N9S0NY5UKNE63
Synopsys, Inc.
871607107
3350.00000000
NS
USD
653250.00000000
0.071666828831
Long
EC
CORP
US
N
1
N
N
N
Sumitomo Electric Industries Ltd.
5493005SP87FL5TOS202
Sumitomo Electric Industries Ltd.
N/A
2600.00000000
NS
29992.83000000
0.003290456967
Long
EC
CORP
JP
N
2
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
-35870.09000000
-0.00393524010
N/A
DFE
N/A
N
2
Barclays Bank
G5GSEF7VJP5I7OUK5573
1112109.32000000
USD
24806410.22000000
MXN
2020-07-22
-35870.09000000
N
N
N
Sage Group plc (The)
2138005RN5XYLTF8G138
Sage Group plc (The)
N/A
3970.00000000
NS
32954.71000000
0.003615399251
Long
EC
CORP
GB
N
2
N
N
N
American Express Co.
R4PP93JZOLY261QX3811
American Express Co.
025816109
13778.00000000
NS
USD
1311665.60000000
0.143900365922
Long
EC
CORP
US
N
1
N
N
N
Kamigumi Co. Ltd.
N/A
Kamigumi Co. Ltd.
N/A
300.00000000
NS
5899.95000000
0.000647272417
Long
EC
CORP
JP
N
2
N
N
N
Long Beach Mortgage Loan Trust
N/A
Long Beach Mortgage Loan Trust, Series 2003-4, Class M2
542514EJ9
22422.35000000
PA
USD
22786.24000000
0.002499835532
Long
ABS-O
CORP
US
N
3
2033-08-25
Floating
2.80950100
N
N
N
N
N
N
GNMA
549300M8ZYFG0OCMTT87
GNMA, Series 2015-86
38379KRY6
2122657.89000000
PA
USD
81960.49000000
0.008991731202
Long
ABS-MBS
USGA
US
N
2
2052-05-16
Variable
0.68829800
N
N
N
N
N
N
Royal Bank of Scotland Group plc
2138005O9XJIJN4JPN90
Royal Bank of Scotland Group plc
N/A
16551.00000000
NS
24847.11000000
0.002725929704
Long
EC
CORP
GB
N
2
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
6868.73000000
0.000753555449
N/A
DFE
N/A
N
2
Citibank
MBNUM2BPBDO7JBLYG310
1072307.96000000
USD
1294458001.00000000
KRW
2020-07-22
6868.73000000
N
N
N
CGN Power Co. Ltd.
529900D2UINCGWQYBK45
CGN Power Co. Ltd., Class H
N/A
204000.00000000
NS
42295.79000000
0.004640191568
Long
EC
CORP
CN
Y
2
N
N
N
Credit Suisse Group AG
549300506SI9CRFV9Z86
Credit Suisse Group AG (Registered)
N/A
8307.00000000
NS
86433.27000000
0.009482431483
Long
EC
CORP
CH
N
2
N
N
N
CDW LLC
N/A
CDW LLC
12513GBD0
163000.00000000
PA
USD
166106.78000000
0.018223262410
Long
DBT
CORP
US
N
2
2028-04-01
Fixed
4.25000000
N
N
N
N
N
N
Centene Corp.
549300Z7JJ4TQSQGT333
Centene Corp.
15135BAT8
320000.00000000
PA
USD
338806.40000000
0.037169812898
Long
DBT
CORP
US
N
2
2029-12-15
Fixed
4.62500000
N
N
N
N
N
N
Nordea Bank Abp
529900ODI3047E2LIV03
Nordea Bank Abp
N/A
11081.00000000
NS
76850.13000000
0.008431083218
Long
EC
CORP
FI
N
2
N
N
N
Amadeus IT Group SA
9598004A3FTY3TEHHN09
Amadeus IT Group SA
N/A
1474.00000000
NS
77388.19000000
0.008490112768
Long
EC
CORP
ES
N
2
N
N
N
Middleby Corp. (The)
JDFO86U9VQRBKW5KYA35
Middleby Corp. (The)
596278101
4702.00000000
NS
USD
371175.88000000
0.040721007666
Long
EC
CORP
US
N
1
N
N
N
Frontier Communications Corp.
549300ZCZ76HYCS0H445
Frontier Communications Corp.
35906AAQ1
14000.00000000
PA
USD
4167.94000000
0.000457256858
Long
DBT
CORP
US
N
2
2025-01-15
Fixed
6.87500000
Y
N
N
N
N
N
Amphenol Corp.
549300D3L3G0R4U4VT04
Amphenol Corp., Class A
032095101
4327.00000000
NS
USD
414569.87000000
0.045481680691
Long
EC
CORP
US
N
1
N
N
N
Sinclair Television Group, Inc.
549300CQGEN0CH65UD62
Sinclair Television Group, Inc.
829259AU4
12000.00000000
PA
USD
11820.00000000
0.001296749968
Long
DBT
CORP
US
Y
2
2026-03-15
Fixed
5.87500000
N
N
N
N
N
N
Infosys Ltd.
335800TYLGG93MM7PR89
Infosys Ltd.
456788108
20979.00000000
NS
USD
202657.14000000
0.022233133660
Long
EC
CORP
IN
N
1
N
N
N
Mebuki Financial Group, Inc.
353800K1RXV3E3JAE812
Mebuki Financial Group, Inc.
N/A
3300.00000000
NS
7687.21000000
0.000843349350
Long
EC
CORP
JP
N
2
N
N
N
BX Commercial Mortgage Trust
N/A
BX Commercial Mortgage Trust, Series 2018-BIOA, Class D
056057AL6
500000.00000000
PA
USD
477027.00000000
0.052333734951
Long
ABS-MBS
CORP
US
Y
3
2037-03-15
Floating
1.50580100
N
N
N
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
4920.46000000
0.000539814411
N/A
DFE
N/A
N
2
BNP Paribas
R0MUWSFPU8MPRO8K5P83
51996766.99000000
CZK
1954596.67000000
EUR
2020-07-22
4920.46000000
N
N
N
Kingspan Group plc
635400HM7V74SUB9OG75
Kingspan Group plc
N/A
526.00000000
NS
33956.63000000
0.003725318009
Long
EC
CORP
IE
N
2
N
N
N
Netflix, Inc.
549300Y7VHGU0I7CE873
Netflix, Inc.
64110LAT3
142000.00000000
PA
USD
161496.60000000
0.017717488234
Long
DBT
CORP
US
N
2
2028-11-15
Fixed
5.87500000
N
N
N
N
N
N
Kuraray Co. Ltd.
549300W9JPTOE739QZ31
Kuraray Co. Ltd.
N/A
1200.00000000
NS
12557.67000000
0.001377678356
Long
EC
CORP
JP
N
2
N
N
N
O'Reilly Automotive, Inc.
549300K2RLMQL149Q332
O'Reilly Automotive, Inc.
67103H107
7886.00000000
NS
USD
3325289.62000000
0.364811269820
Long
EC
CORP
US
N
1
N
N
N
Focus Financial Partners, Inc.
5493006FFJCGLZ246V12
Focus Financial Partners, Inc., Class A
34417P100
8387.00000000
NS
USD
277190.35000000
0.030410031943
Long
EC
CORP
US
N
1
N
N
N
3i Group plc
35GDVHRBMFE7NWATNM84
3i Group plc
N/A
3328.00000000
NS
34268.40000000
0.003759521710
Long
EC
CORP
GB
N
2
N
N
N
Southwest Airlines Co.
UDTZ87G0STFETI6HGH41
Southwest Airlines Co.
844741BG2
233000.00000000
PA
USD
279840.22000000
0.030700744197
Long
DBT
CORP
US
N
2
2025-05-01
Fixed
1.25000000
N
N
N
N
Y
Southwest Airlines Co.
Southwest Airlines Co.
USD
XXXX
N
N
N
Japan Post Insurance Co. Ltd.
54930042SK2Z708BA841
Japan Post Insurance Co. Ltd.
N/A
800.00000000
NS
10541.11000000
0.001156445351
Long
EC
CORP
JP
N
2
N
N
N
Splunk, Inc.
549300XGDSGBP6UEI867
Splunk, Inc.
848637104
5596.00000000
NS
USD
1111925.20000000
0.121987222321
Long
EC
CORP
US
N
1
N
N
N
Diamondback Energy, Inc.
549300R22LSX6OHWEN64
Diamondback Energy, Inc.
25278X109
10130.00000000
NS
USD
423636.60000000
0.046476374586
Long
EC
CORP
US
N
1
N
N
N
POSCO
988400E5HRVX81AYLM04
POSCO
N/A
657.00000000
NS
95696.37000000
0.010498668761
Long
EC
CORP
KR
N
2
N
N
N
GNMA
549300M8ZYFG0OCMTT87
GNMA, Series 2006-1, Class LE
38374MWR6
1122.24000000
PA
USD
1297.18000000
0.000142311177
Long
ABS-MBS
USGA
US
N
2
2035-06-20
Fixed
5.50000000
N
N
N
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
580.68000000
0.000063705310
N/A
DFE
N/A
N
2
State Street Bank and Trust
571474TGEMMWANRLN572
686450.63000000
SEK
74274.21000000
USD
2020-07-29
580.68000000
N
N
N
SPAR Group Ltd. (The)
N/A
SPAR Group Ltd. (The)
N/A
5687.00000000
NS
56265.80000000
0.006172815090
Long
EC
CORP
ZA
N
2
N
N
N
ACCO Brands Corp.
JCT8P4Y190IH4I1NX328
ACCO Brands Corp.
00081TAJ7
163000.00000000
PA
USD
165037.50000000
0.018105953713
Long
DBT
CORP
US
Y
2
2024-12-15
Fixed
5.25000000
N
N
N
N
N
N
NTT Data Corp.
353800SZGJGSLJRRWB43
NTT Data Corp.
N/A
2400.00000000
NS
26832.92000000
0.002943789184
Long
EC
CORP
JP
N
2
N
N
N
Marriott Ownership Resorts, Inc.
N/A
Marriott Ownership Resorts, Inc.
57165PAB1
225000.00000000
PA
USD
226687.50000000
0.024869459258
Long
DBT
CORP
US
N
2
2026-09-15
Fixed
6.50000000
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC Gold Pools, 30 Year
3128KDJV8
115.74000000
PA
USD
130.86000000
0.000014356404
Long
ABS-MBS
USGSE
US
N
2
2036-08-01
Fixed
6.00000000
N
N
N
N
N
N
Kurita Water Industries Ltd.
52990086GS2ON69UMX34
Kurita Water Industries Ltd.
N/A
400.00000000
NS
11127.25000000
0.001220749668
Long
EC
CORP
JP
N
2
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
-1693.24000000
-0.00018576217
N/A
DFE
N/A
N
2
Goldman Sachs International
W22LROWP2IHZNBB6K528
409412.70000000
USD
328983.08000000
GBP
2020-07-29
-1693.24000000
N
N
N
Ashtead Capital, Inc.
213800J1134IW58IC398
Ashtead Capital, Inc.
045054AJ2
200000.00000000
PA
USD
199000.00000000
0.021831915709
Long
DBT
CORP
US
Y
2
2028-05-01
Fixed
4.00000000
N
N
N
N
N
N
LINE Corp.
353800SE9WIPQJH4RB92
LINE Corp.
N/A
200.00000000
NS
10065.86000000
0.001104306568
Long
EC
CORP
JP
N
2
N
N
N
Morgan Stanley ABS Capital I, Inc. Trust
N/A
Morgan Stanley ABS Capital I, Inc. Trust, Series 2003-NC8, Class M1
61746RDM0
1110489.08000000
PA
USD
1076884.01000000
0.118142919273
Long
ABS-O
CORP
US
N
3
2033-09-25
Floating
1.23450100
N
N
N
N
N
N
ABN AMRO Bank NV
BFXS5XCH7N0Y05NIXW11
ABN AMRO Bank NV
N/A
1543.00000000
NS
13278.52000000
0.001456761454
Long
EC
CORP
NL
Y
2
N
N
N
Hang Lung Properties Ltd.
529900CIVTNMXQT59E61
Hang Lung Properties Ltd.
N/A
6000.00000000
NS
14263.67000000
0.001564840407
Long
EC
CORP
HK
N
2
N
N
N
Central Garden & Pet Co.
5493004DVZLD37DJ0H83
Central Garden & Pet Co.
153527AM8
195000.00000000
PA
USD
202603.05000000
0.022227199548
Long
DBT
CORP
US
N
2
2028-02-01
Fixed
5.12500000
N
N
N
N
N
N
ACS Actividades de Construccion y Servicios SA
95980020140005558665
ACS Actividades de Construccion y Servicios SA
N/A
874.00000000
NS
1363.42000000
0.000149578243
Long
CORP
ES
N
1
N
N
N
N/A
N/A
MSCI Emerging Markets E-Mini Index
N/A
270.00000000
NC
USD
375115.60000000
0.041153226937
N/A
DE
US
N
1
ICE Clear US
549300HWWR1D8OTS2G29
Long
MSCI Emerging Markets E-Mini Index
MXEF Index
2020-09-18
13289400.00000000
USD
375115.60000000
N
N
N
California Resources Corp.
N/A
California Resources Corp., Senior Secured First Out
N/A
320200.00000000
PA
USD
109268.25000000
0.011987614189
Long
LON
CORP
US
N
2
2022-12-31
Variable
5.75000000
N
N
N
N
N
N
Toyo Suisan Kaisha Ltd.
N/A
Toyo Suisan Kaisha Ltd.
892306101
300.00000000
NS
16762.17000000
0.001838946143
Long
EC
CORP
JP
N
2
N
N
N
St James's Place plc
213800M993ICXOMBCP87
St James's Place plc
N/A
1831.00000000
NS
21529.75000000
0.002361988378
Long
EC
CORP
GB
N
2
N
N
N
Moncler SpA
815600EBD7FB00525B20
Moncler SpA
N/A
658.00000000
NS
25302.44000000
0.002775883102
Long
EC
CORP
IT
N
2
N
N
N
CommScope, Inc.
549300Z6K4JXMFE8QY54
CommScope, Inc.
20338QAD5
570000.00000000
PA
USD
584250.00000000
0.064096968610
Long
DBT
CORP
US
Y
2
2026-03-01
Fixed
6.00000000
N
N
N
N
N
N
Shenzhou International Group Holdings Ltd.
529900B4W41TCUKJFM73
Shenzhou International Group Holdings Ltd.
N/A
7000.00000000
NS
85100.50000000
0.009336215793
Long
EC
CORP
KY
N
2
N
N
N
Sequoia Mortgage Trust
N/A
Sequoia Mortgage Trust, Series 2007-3, Class 1A1
81744MAA0
205462.82000000
PA
USD
191636.32000000
0.021024060226
Long
ABS-MBS
CORP
US
N
2
2036-07-20
Floating
0.38999900
N
N
N
N
N
N
Mitsubishi UFJ Lease & Finance Co. Ltd.
353800MZ3QX9RLMH7B09
Mitsubishi UFJ Lease & Finance Co. Ltd.
N/A
1700.00000000
NS
8112.15000000
0.000889968718
Long
EC
CORP
JP
N
2
N
N
N
Deephaven Residential Mortgage Trust
N/A
Deephaven Residential Mortgage Trust, Series 2018-3A, Class B2
24381KAF1
300000.00000000
PA
USD
288645.75000000
0.031666782331
Long
ABS-MBS
CORP
US
Y
3
2058-08-25
Variable
5.91300000
N
N
N
N
N
N
British Land Co. plc (The)
RV5B68J2GV3QGMRPW209
British Land Co. plc (The)
N/A
3011.00000000
NS
14403.01000000
0.001580127137
Long
EC
CORP
GB
N
2
N
N
N
Booking Holdings, Inc.
FXM8FAOHMYDIPD38UZ17
Booking Holdings, Inc.
09857L108
1294.00000000
NS
USD
2060487.96000000
0.226052258611
Long
EC
CORP
US
N
1
N
N
N
M&G plc
254900TWUJUQ44TQJY84
M&G plc
N/A
8896.00000000
NS
18472.06000000
0.002026534959
Long
EC
CORP
GB
N
2
N
N
N
Woolworths Group Ltd.
QNWEWQBS7HP85QHXQL92
Woolworths Group Ltd.
N/A
4313.00000000
NS
111175.25000000
0.012196827572
Long
EC
CORP
AU
N
2
N
N
N
Cushman & Wakefield plc
N/A
Cushman & Wakefield plc
N/A
28900.00000000
NS
USD
360094.00000000
0.039505235455
Long
EC
CORP
GB
N
1
N
N
N
Take-Two Interactive Software, Inc.
BOMSTHHJK882EWYX3334
Take-Two Interactive Software, Inc.
874054109
3562.00000000
NS
USD
497148.34000000
0.054541209317
Long
EC
CORP
US
N
1
N
N
N
Thales SA
529900FNDVTQJOVVPZ19
Thales SA
N/A
365.00000000
NS
29541.46000000
0.003240938013
Long
EC
CORP
FR
N
2
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
2404.79000000
0.000263824987
N/A
DFE
N/A
N
2
Goldman Sachs International
W22LROWP2IHZNBB6K528
339524948.00000000
HUF
1079398.98000000
USD
2020-07-22
2404.79000000
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
-4719.07000000
-0.00051772029
N/A
DFE
N/A
N
2
State Street Bank and Trust
571474TGEMMWANRLN572
130092.10000000
EUR
141530.36000000
USD
2020-07-29
-4719.07000000
N
N
N
Chevron Corp.
N/A
Chevron Corp.
166764100
27188.00000000
NS
USD
2425985.24000000
0.266150277752
Long
EC
CORP
US
N
1
N
N
N
Chailease Holding Co. Ltd.
529900L76E6T0JCM3J27
Chailease Holding Co. Ltd.
N/A
21704.00000000
NS
92526.53000000
0.010150911577
Long
EC
CORP
KY
N
2
N
N
N
SoftBank Group Corp.
5493003BZYYYCDIO0R13
SoftBank Group Corp.
N/A
5400.00000000
NS
272309.42000000
0.029874554293
Long
EC
CORP
JP
N
2
N
N
N
CIT Group, Inc.
N8O96ZZJQRFYQUJY7K79
CIT Group, Inc.
125581GY8
115000.00000000
PA
USD
116641.05000000
0.012796470210
Long
DBT
CORP
US
N
2
2024-02-16
Fixed
4.75000000
N
N
N
N
N
N
Chubb Ltd.
E0JAN6VLUDI1HITHT809
Chubb Ltd.
N/A
14614.00000000
NS
USD
1850424.68000000
0.203006611261
Long
EC
CORP
CH
N
1
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC, Multi-Family Structured Pass-Through Certificates, Series K089, Class X3
3137FL6S8
3131826.00000000
PA
USD
491565.77000000
0.053928756062
Long
ABS-MBS
USGSE
US
N
2
2046-01-25
Variable
2.37457400
N
N
N
N
N
N
West Japan Railway Co.
353800QGUXHZ7EBCR121
West Japan Railway Co.
N/A
500.00000000
NS
28044.48000000
0.003076707153
Long
EC
CORP
JP
N
2
N
N
N
Partners Group Holding AG
549300I3IVVWZWDHI788
Partners Group Holding AG
N/A
63.00000000
NS
57373.65000000
0.006294355229
Long
EC
CORP
CH
N
2
N
N
N
Iron Mountain, Inc.
SQL3F6CKNNBM3SQGHX24
Iron Mountain, Inc.
46284VAC5
124000.00000000
PA
USD
120799.56000000
0.013252692521
Long
DBT
CORP
US
Y
2
2027-09-15
Fixed
4.87500000
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC, Multi-Family Structured Pass-Through Certificates, Series K729, Class X3
3137FCM76
4529999.99000000
PA
USD
336148.65000000
0.036878236144
Long
ABS-MBS
USGSE
US
N
2
2044-11-25
Variable
2.03562400
N
N
N
N
N
N
British American Tobacco plc
213800FKA5MF17RJKT63
British American Tobacco plc
N/A
7844.00000000
NS
300839.48000000
0.033004533515
Long
EC
CORP
GB
N
2
N
N
N
Grupo Financiero Banorte SAB de CV
N/A
Grupo Financiero Banorte SAB de CV, Class O
N/A
97447.00000000
NS
337182.01000000
0.036991604126
Long
EC
CORP
MX
N
1
N
N
N
WESCO Distribution, Inc.
549300I2CEZJG9N4AH67
WESCO Distribution, Inc.
95081QAN4
120000.00000000
PA
USD
126564.00000000
0.013885098391
Long
DBT
CORP
US
Y
2
2025-06-15
Fixed
7.12500000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, Other
31381NT60
86767.83000000
PA
USD
86767.83000000
0.009519135431
Long
ABS-MBS
USGSE
US
N
2
2020-10-01
Fixed
3.59000000
N
N
N
N
N
N
Coty, Inc.
549300BO9IWPF3S48F93
Coty, Inc., Class A
222070203
40047.00000000
NS
USD
179010.09000000
0.019638860281
Long
EC
CORP
US
N
1
N
N
N
Barclays Bank plc
G5GSEF7VJP5I7OUK5573
Barclays Bank plc, Series VUN
06739GCF4
569000.00000000
PA
USD
577762.60000000
0.063385248157
Long
DBT
CORP
GB
N
2
2025-02-18
None
0.00000000
N
N
N
N
N
Visa, Inc.
Visa, Inc.
USD
XXXX
N
N
N
S&P Global, Inc.
Y6X4K52KMJMZE7I7MY94
S&P Global, Inc.
78409V104
2113.00000000
NS
USD
696191.24000000
0.076377831505
Long
EC
CORP
US
N
1
N
N
N
ADT Security Corp. (The)
5493009JEEDYLVRA0J13
ADT Security Corp. (The)
74166NAA2
75000.00000000
PA
USD
68250.00000000
0.007487579131
Long
DBT
CORP
US
Y
2
2032-07-15
Fixed
4.87500000
N
N
N
N
N
N
Formosa Plastics Corp.
254900KM6G17UTG1QN82
Formosa Plastics Corp.
N/A
23000.00000000
NS
68481.90000000
0.007513020444
Long
EC
CORP
TW
N
2
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
-7451.21000000
-0.00081745823
N/A
DFE
N/A
N
2
Citibank
MBNUM2BPBDO7JBLYG310
8920769.43000000
CAD
9510364.48000000
AUD
2020-07-22
-7451.21000000
N
N
N
Crestwood Midstream Partners LP
N/A
Crestwood Midstream Partners LP
226373AL2
153000.00000000
PA
USD
136170.00000000
0.014938954583
Long
DBT
CORP
US
N
2
2023-04-01
Fixed
6.25000000
N
N
N
N
N
N
Sumitomo Metal Mining Co. Ltd.
353800CF81IXL9974H84
Sumitomo Metal Mining Co. Ltd.
N/A
800.00000000
NS
22535.83000000
0.002472363522
Long
EC
CORP
JP
N
2
N
N
N
American Campus Communities, Inc.
529900MR3ZXRO3W6UX26
American Campus Communities, Inc.
024835100
4340.00000000
NS
USD
151726.40000000
0.016645617968
Long
EC
CORP
US
N
1
N
N
N
China Merchants Bank Co. Ltd.
549300MKO5B60FFIHF58
China Merchants Bank Co. Ltd., Class H
N/A
18517.00000000
NS
85810.43000000
0.009414100878
Long
EC
CORP
CN
N
2
N
N
N
Intesa Sanpaolo SpA
2W8N8UU78PMDQKZENC08
Intesa Sanpaolo SpA
N/A
50898.00000000
NS
97810.20000000
0.010730573075
Long
EC
CORP
IT
N
2
N
N
N
McDonald's Corp.
UE2136O97NLB5BYP9H04
McDonald's Corp.
58013MEK6
50000.00000000
PA
USD
62889.84000000
0.006899526059
Long
DBT
CORP
US
N
2
2040-07-15
Fixed
4.87500000
N
N
N
N
N
N
ANA Holdings, Inc.
5493008IRKIY0G3TE305
ANA Holdings, Inc.
N/A
400.00000000
NS
9141.19000000
0.001002862761
Long
EC
CORP
JP
N
2
N
N
N
WPX Energy, Inc.
ZXZE9GCS2BB547GJW219
WPX Energy, Inc.
98212BAH6
204000.00000000
PA
USD
197880.00000000
0.021709042616
Long
DBT
CORP
US
N
2
2026-06-01
Fixed
5.75000000
N
N
N
N
N
N
Chase Funding Loan Acquisition Trust
N/A
Chase Funding Loan Acquisition Trust, Series 2004-OPT1, Class M2
161542EA9
98621.66000000
PA
USD
95871.33000000
0.010517863294
Long
ABS-O
CORP
US
N
3
2034-06-25
Floating
1.66825100
N
N
N
N
N
N
America Movil SAB de CV
5493000FNR3UCEAONM59
America Movil SAB de CV, Series L
N/A
166958.00000000
NS
107288.38000000
0.011770406375
Long
EC
CORP
MX
N
1
N
N
N
Nippon Shinyaku Co. Ltd.
N/A
Nippon Shinyaku Co. Ltd.
N/A
200.00000000
NS
16324.52000000
0.001790932385
Long
EC
CORP
JP
N
2
N
N
N
FactSet Research Systems, Inc.
549300ZSJE7NBK6K9P30
FactSet Research Systems, Inc.
303075105
1075.00000000
NS
USD
353105.25000000
0.038738512837
Long
EC
CORP
US
N
1
N
N
N
Seven Bank Ltd.
N/A
Seven Bank Ltd.
N/A
2400.00000000
NS
6577.99000000
0.000721658910
Long
EC
CORP
JP
N
2
N
N
N
Home Equity Asset Trust
N/A
Home Equity Asset Trust, Series 2002-1, Class M2
22541NAH2
307522.90000000
PA
USD
277327.29000000
0.030425055373
Long
ABS-O
CORP
US
N
3
2032-11-25
Floating
2.08450100
N
N
N
N
N
N
HKT Trust & HKT Ltd.
N/A
HKT Trust & HKT Ltd.
N/A
13000.00000000
NS
19077.09000000
0.002092911662
Long
EC
CORP
HK
N
2
N
N
N
Next plc
213800WQD8ECPZP9PH98
Next plc
N/A
455.00000000
NS
27547.96000000
0.003022234877
Long
EC
CORP
GB
N
2
N
N
N
Moran Foods Backstop Equity
N/A
Moran Foods Backstop Equity
N/A
3265.76000000
NS
USD
3265.76000000
0.000358280387
Long
EC
CORP
US
N
3
N
N
N
Benesse Holdings, Inc.
549300XOPEJA8L2IV934
Benesse Holdings, Inc.
N/A
200.00000000
NS
5363.92000000
0.000588465574
Long
EC
CORP
JP
N
2
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
-4649.26000000
-0.00051006157
N/A
DFE
N/A
N
2
Barclays Capital
AC28XWWI3WIBK2824319
506288.02000000
USD
411865301.00000000
CLP
2020-07-22
-4649.26000000
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
-589.50000000
-0.00006467293
N/A
DFE
N/A
N
2
BNP Paribas
R0MUWSFPU8MPRO8K5P83
80300.55000000
USD
8603746.00000000
JPY
2020-07-29
-589.50000000
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, REMIC, Series 2019-65, Class PA
3136B7AE1
1982.85000000
PA
USD
2066.82000000
0.000226746934
Long
ABS-MBS
USGSE
US
N
2
2048-05-25
Fixed
2.50000000
N
N
N
N
N
N
SS&C Technologies Holdings, Inc.
529900POY8H7NPPNKK71
SS&C Technologies Holdings, Inc.
78467J100
13120.00000000
NS
USD
741017.60000000
0.081295647148
Long
EC
CORP
US
N
1
N
N
N
CommScope Technologies LLC
M4TWC4QDOKW45N7T6Y12
CommScope Technologies LLC
20337YAA5
274000.00000000
PA
USD
264601.80000000
0.029028965800
Long
DBT
CORP
US
Y
2
2025-06-15
Fixed
6.00000000
N
N
N
N
N
N
Baxter International, Inc.
J5OIVXX3P24RJRW5CK77
Baxter International, Inc.
071813109
6676.00000000
NS
USD
574803.60000000
0.063060621833
Long
EC
CORP
US
N
1
N
N
N
Electricite de France SA
549300X3UK4GG3FNMO06
Electricite de France SA
N/A
2225.00000000
NS
20685.99000000
0.002269421055
Long
EC
CORP
FR
N
2
N
N
N
Boston Properties, Inc.
549300OF70FSEUQBT254
Boston Properties, Inc.
101121101
2154.00000000
NS
USD
194678.52000000
0.021357814267
Long
EC
CORP
US
N
1
N
N
N
Suzuki Motor Corp.
353800D83H0V3ZV1SV24
Suzuki Motor Corp.
N/A
1300.00000000
NS
44389.94000000
0.004869936826
Long
EC
CORP
JP
N
2
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
-1624.73000000
-0.00017824607
N/A
DFE
N/A
N
2
BNP Paribas
R0MUWSFPU8MPRO8K5P83
10081420.04000000
SEK
961339.48000000
EUR
2020-07-22
-1624.73000000
N
N
N
Dell International LLC
N/A
Dell International LLC
25272KAW3
165000.00000000
PA
USD
170929.69000000
0.018752374795
Long
DBT
CORP
US
Y
2
2024-06-15
Fixed
7.12500000
N
N
N
N
N
N
CCO Holdings LLC
N/A
CCO Holdings LLC
1248EPBM4
1060000.00000000
PA
USD
1096400.40000000
0.120284025713
Long
DBT
CORP
US
Y
2
2026-02-15
Fixed
5.75000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, REMIC, Series 1990-106, Class J
31358E7X4
122.09000000
PA
USD
122.56000000
0.000013445827
Long
ABS-MBS
USGSE
US
N
2
2020-09-25
Fixed
8.50000000
N
N
N
N
N
N
Persimmon plc
213800XI72Y57UWN6F31
Persimmon plc
N/A
20607.00000000
NS
583210.11000000
0.063982884234
Long
EC
CORP
GB
N
2
N
N
N
Lloyds Banking Group plc
549300PPXHEU2JF0AM85
Lloyds Banking Group plc
N/A
239538.00000000
NS
92404.26000000
0.010137497565
Long
EC
CORP
GB
N
2
N
N
N
Jiangsu Hengrui Medicine Co. Ltd.
N/A
Jiangsu Hengrui Medicine Co. Ltd., Class A
N/A
6120.00000000
NS
80021.54000000
0.008779012644
Long
EC
CORP
CN
N
2
N
N
N
Tyler Technologies, Inc.
N/A
Tyler Technologies, Inc.
902252105
1554.00000000
NS
USD
539051.52000000
0.059138328381
Long
EC
CORP
US
N
1
N
N
N
DocuSign, Inc.
549300Q7PVDWRZ39JG09
DocuSign, Inc.
256163AB2
361000.00000000
PA
USD
877520.49000000
0.096271122468
Long
DBT
CORP
US
N
2
2023-09-15
Fixed
0.50000000
N
N
N
N
Y
DocuSign, Inc.
DocuSign, Inc.
USD
XXXX
N
N
N
Berkshire Hathaway, Inc.
5493000C01ZX7D35SD85
Berkshire Hathaway, Inc., Class B
084670702
8269.00000000
NS
USD
1476099.19000000
0.161940065805
Long
EC
CORP
US
N
1
N
N
N
Tabcorp Holdings Ltd.
213800OCCFUN67NEY278
Tabcorp Holdings Ltd.
N/A
6930.00000000
NS
16345.49000000
0.001793232964
Long
EC
CORP
AU
N
2
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
-3061.50000000
-0.00033587140
N/A
DFE
N/A
N
2
BNP Paribas
R0MUWSFPU8MPRO8K5P83
1059234.17000000
CHF
1115609.25000000
USD
2020-07-22
-3061.50000000
N
N
N
Dana Financing Luxembourg SARL
222100DKCE3D036DQU13
Dana Financing Luxembourg SARL
235822AB9
170000.00000000
PA
USD
172550.00000000
0.018930135958
Long
DBT
CORP
LU
Y
2
2025-04-15
Fixed
5.75000000
N
N
N
N
N
N
Arrow Electronics, Inc.
549300YNNLBXT8N8R512
Arrow Electronics, Inc.
042735100
5595.00000000
NS
USD
384320.55000000
0.042163084689
Long
EC
CORP
US
N
1
N
N
N
DCC plc
213800UPS1QEE4TD3T45
DCC plc
N/A
337.00000000
NS
28120.52000000
0.003085049358
Long
EC
CORP
IE
N
2
N
N
N
Baozun, Inc.
549300IF0HZ7T4762633
Baozun, Inc.
06684LAB9
190000.00000000
PA
USD
183209.61000000
0.020099581722
Long
DBT
CORP
KY
N
2
2024-05-01
Fixed
1.62500000
N
N
N
N
N
Baozun, Inc.
Baozun, Inc.
USD
XXXX
N
N
N
Itausa - Investimentos Itau SA
N/A
Itausa - Investimentos Itau SA (Preference)
N/A
27604.00000000
NS
49034.52000000
0.005379484962
Long
EC
CORP
BR
N
1
N
N
N
Aozora Bank Ltd.
X0XUGKC9FD2CYUQNC010
Aozora Bank Ltd.
N/A
100.00000000
NS
1743.72000000
0.000191300241
Long
EC
CORP
JP
N
2
N
N
N
Albertsons Cos., Inc.
N/A
Albertsons Cos., Inc.
013092AA9
115000.00000000
PA
USD
124574.90000000
0.013666877971
Long
DBT
CORP
US
Y
2
2026-03-15
Fixed
7.50000000
N
N
N
N
N
N
VICI Properties LP
N/A
VICI Properties LP
92564RAD7
275000.00000000
PA
USD
258500.00000000
0.028359548798
Long
DBT
CORP
US
Y
2
2027-02-15
Fixed
3.75000000
N
N
N
N
N
N
Applied Industrial Technologies, Inc.
549300NU173IJRC6PO38
Applied Industrial Technologies, Inc.
03820C105
1038.00000000
NS
USD
64760.82000000
0.007104787756
Long
EC
CORP
US
N
1
N
N
N
Suez SA
549300JQIZM6CL7POC81
Suez SA
N/A
1182.00000000
NS
13892.76000000
0.001524148569
Long
EC
CORP
FR
N
2
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, REMIC, Series 2009-37, Class KI
31396QAF6
16.84000000
PA
USD
2.90000000
0.000000318153
Long
ABS-MBS
USGSE
US
N
2
2039-06-25
Floating
5.81550100
N
N
N
N
N
N
AmeriCredit Automobile Receivables Trust
N/A
AmeriCredit Automobile Receivables Trust, Series 2019-1, Class C
03066GAF6
165000.00000000
PA
USD
171469.98000000
0.018811648995
Long
ABS-O
CORP
US
N
2
2025-02-18
Fixed
3.36000000
N
N
N
N
N
N
Lamb Weston Holdings, Inc.
5493005SMYID1D2OY946
Lamb Weston Holdings, Inc.
513272AB0
200000.00000000
PA
USD
207000.00000000
0.022709580662
Long
DBT
CORP
US
Y
2
2026-11-01
Fixed
4.87500000
N
N
N
N
N
N
United Rentals North America, Inc.
NGIZXNT70J2LYT3FBI09
United Rentals North America, Inc.
911365BK9
438000.00000000
PA
USD
459900.00000000
0.050454763994
Long
DBT
CORP
US
N
2
2026-12-15
Fixed
6.50000000
N
N
N
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
1391.52000000
0.000152661041
N/A
DFE
N/A
N
2
Citibank
MBNUM2BPBDO7JBLYG310
566924.42000000
CHF
600357.87000000
USD
2020-08-03
1391.52000000
N
N
N
Bausch Health Cos., Inc.
B3BS7ACMDUWISF18KY76
Bausch Health Cos., Inc.
071734AD9
151000.00000000
PA
USD
155530.00000000
0.017062903770
Long
DBT
CORP
CA
Y
2
2028-01-15
Fixed
7.00000000
N
N
N
N
N
N
CapitaLand Commercial Trust
5493006N1HMMKB2HAT92
CapitaLand Commercial Trust
N/A
9200.00000000
NS
11259.53000000
0.001235261858
Long
EC
CORP
SG
N
2
N
N
N
Adient US LLC
213800SOTRCDGZUHL712
Adient US LLC
00688JAA5
345000.00000000
PA
USD
357075.00000000
0.039174026643
Long
DBT
CORP
US
Y
2
2026-05-15
Fixed
7.00000000
N
N
N
N
N
N
Asian Paints Ltd.
335800HEHXGYRUNERD75
Asian Paints Ltd.
N/A
18155.00000000
NS
405894.76000000
0.044529950690
Long
EC
CORP
IN
N
2
N
N
N
Standard Industries, Inc.
54930064UHXCIUWVI755
Standard Industries, Inc.
120111BN8
50000.00000000
PA
USD
51463.50000000
0.005645963789
Long
DBT
CORP
US
Y
2
2025-10-15
Fixed
6.00000000
N
N
N
N
N
N
Norsk Hydro ASA
549300N1SDN71ZZ8BO45
Norsk Hydro ASA
N/A
4905.00000000
NS
13684.39000000
0.001501288688
Long
EC
CORP
NO
N
2
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, REMIC, Series 2011-113, Class MC
3136A2GH0
3161.58000000
PA
USD
3204.73000000
0.000351584900
Long
ABS-MBS
USGSE
US
N
2
2040-12-25
Fixed
4.00000000
N
N
N
N
N
N
Datadog, Inc.
549300F6JNO0KRPO1K63
Datadog, Inc.
23804LAA1
175000.00000000
PA
USD
206596.79000000
0.022665345252
Long
DBT
CORP
US
Y
2
2025-06-15
Fixed
0.12500000
N
N
N
N
Y
Datadog, Inc.
Datadog, Inc.
USD
XXXX
N
N
N
Svenska Handelsbanken AB
NHBDILHZTYCNBV5UYZ31
Svenska Handelsbanken AB, Class A
N/A
74389.00000000
NS
706347.59000000
0.077492065561
Long
EC
CORP
SE
N
2
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
1132.68000000
0.000124264192
N/A
DFE
N/A
N
2
State Street Bank and Trust
571474TGEMMWANRLN572
63863.97000000
USD
52444.88000000
GBP
2020-07-29
1132.68000000
N
N
N
Industria de Diseno Textil SA
549300TTCXZOGZM2EY83
Industria de Diseno Textil SA
N/A
40270.00000000
NS
1068502.54000000
0.117223403964
Long
EC
CORP
ES
N
2
N
N
N
Mauser Packaging Solutions Holding Co.
549300DNGHXL0OMHW304
Mauser Packaging Solutions Holding Co.
12429TAD6
510000.00000000
PA
USD
500915.63000000
0.054954511617
Long
DBT
CORP
US
Y
2
2024-04-15
Fixed
5.50000000
N
N
N
N
N
N
Equitrans Midstream Corp.
549300RH0NLJNZ5SXU64
Equitrans Midstream Corp.
294600101
43275.00000000
NS
USD
359615.25000000
0.039452712693
Long
EC
CORP
US
N
1
N
N
N
Innovent Biologics, Inc.
25490058ONL9SCIE1R22
Innovent Biologics, Inc.
N/A
15000.00000000
NS
111640.47000000
0.012247865984
Long
EC
CORP
KY
Y
2
N
N
N
PetSmart, Inc.
N/A
PetSmart, Inc.
04021LAA8
190000.00000000
PA
USD
187355.20000000
0.020554386603
Long
DBT
CORP
US
Y
2
2023-03-15
Fixed
7.12500000
N
N
N
N
N
N
Fiat Chrysler Automobiles NV
549300LKT9PW7ZIBDF31
Fiat Chrysler Automobiles NV
N/A
3753.00000000
NS
37973.27000000
0.004165976029
Long
EC
CORP
NL
N
2
N
N
N
Temenos AG
5067007NW6550481FH64
Temenos AG (Registered)
N/A
223.00000000
NS
34659.54000000
0.003802432943
Long
EC
CORP
CH
N
2
N
N
N
Brinker International, Inc.
52990067JY6PBGJNTG76
Brinker International, Inc.
109641100
4114.00000000
NS
USD
98736.00000000
0.010832140851
Long
EC
CORP
US
N
1
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
-106242.26000000
-0.01165563851
N/A
DFE
N/A
N
2
Citibank
MBNUM2BPBDO7JBLYG310
3882426.85000000
EUR
4255664.34000000
USD
2020-07-02
-106242.26000000
N
N
N
Duke Energy Corp.
I1BZKREC126H0VB1BL91
Duke Energy Corp.
26441C204
5785.00000000
NS
USD
462163.65000000
0.050703104778
Long
EC
CORP
US
N
1
N
N
N
Dover Corp.
549300FMC2ALGA7N9E80
Dover Corp.
260003108
8648.00000000
NS
USD
835050.88000000
0.091611861434
Long
EC
CORP
US
N
1
N
N
N
Julius Baer Group Ltd.
5299007MF0604ZGJER92
Julius Baer Group Ltd.
N/A
816.00000000
NS
34270.04000000
0.003759701631
Long
EC
CORP
CH
N
2
N
N
N
Newell Brands, Inc.
549300LWGYFM1TVO1Z12
Newell Brands, Inc.
651229AX4
80000.00000000
PA
USD
85300.00000000
0.009358102563
Long
DBT
CORP
US
N
2
2036-04-01
Fixed
5.87499800
N
N
N
N
N
N
Exact Sciences Corp.
549300VM3X1FYD4N9Z14
Exact Sciences Corp.
30063PAA3
227000.00000000
PA
USD
309841.67000000
0.033992146848
Long
DBT
CORP
US
N
2
2025-01-15
Fixed
1.00000000
N
N
N
N
Y
Exact Sciences Corp.
Exact Sciences Corp.
USD
XXXX
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
-112012.28000000
-0.01228865655
N/A
DFE
N/A
N
2
Goldman Sachs International
W22LROWP2IHZNBB6K528
16001710.11000000
USD
14136610.54000000
EUR
2020-07-22
-112012.28000000
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
21649.17000000
0.002375089721
N/A
DFE
N/A
N
2
State Street Bank and Trust
571474TGEMMWANRLN572
1207536.32000000
USD
1163611.58000000
CHF
2020-07-29
21649.17000000
N
N
N
Calbee, Inc.
529900CIHZID6O8LJH81
Calbee, Inc.
N/A
300.00000000
NS
8291.89000000
0.000909687656
Long
EC
CORP
JP
N
2
N
N
N
American International Group, Inc.
ODVCVCQG2BP6VHV36M30
American International Group, Inc.
026874784
11668.00000000
NS
USD
363808.24000000
0.039912717739
Long
EC
CORP
US
N
1
N
N
N
British Airways Pass-Through Trust
N/A
British Airways Pass-Through Trust, Series 2018-1, Class AA
11042TAA1
107531.32000000
PA
USD
102119.01000000
0.011203284515
Long
ABS-O
CORP
US
Y
2
2031-09-20
Fixed
3.80000000
N
N
N
N
N
N
Centene Corp.
549300Z7JJ4TQSQGT333
Centene Corp.
15135BAL5
106000.00000000
PA
USD
109148.20000000
0.011974443730
Long
DBT
CORP
US
Y
2
2025-04-01
Fixed
5.25000000
N
N
N
N
N
N
NovaStar Mortgage Funding Trust
N/A
NovaStar Mortgage Funding Trust, Series 2003-2, Class M2
66987WAS6
371633.83000000
PA
USD
375452.07000000
0.041190140428
Long
ABS-O
CORP
US
N
3
2033-09-25
Floating
2.95949900
N
N
N
N
N
N
Sands China Ltd.
549300EVO6UZDGY05787
Sands China Ltd.
N/A
230000.00000000
NS
906024.83000000
0.099398279997
Long
EC
CORP
KY
N
2
N
N
N
Solera LLC
N/A
Solera LLC
83422AAA1
54000.00000000
PA
USD
55080.00000000
0.006042723202
Long
DBT
CORP
US
Y
2
2024-03-01
Fixed
10.50000000
N
N
N
N
N
N
American Axle & Manufacturing, Inc.
N/A
American Axle & Manufacturing, Inc., 1st Lien Term Loan B
02406MAP2
5107.18000000
PA
USD
4839.05000000
0.000530883073
Long
LON
CORP
US
N
2
2024-04-06
Variable
3.00000000
N
N
N
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
-21169.48000000
-0.00232246383
N/A
DFE
N/A
N
2
Merrill Lynch International
AHYI0DDQ2LCHPGHJC422
4494587.14000000
USD
482845856.00000000
JPY
2020-07-29
-21169.48000000
N
N
N
Oasis Petroleum, Inc.
529900FA4V2YNIKZ0M71
Oasis Petroleum, Inc.
674215AG3
71000.00000000
PA
USD
11715.00000000
0.001285230615
Long
DBT
CORP
US
N
2
2022-03-15
Fixed
6.87500000
N
N
N
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
-14247.17000000
-0.00156303022
N/A
DFE
N/A
N
2
Citibank
MBNUM2BPBDO7JBLYG310
658443.42000000
CHF
680716.60000000
USD
2020-07-02
-14247.17000000
N
N
N
Nomura Research Institute Ltd.
5299005F1HCVF4M4QN79
Nomura Research Institute Ltd.
N/A
1100.00000000
NS
30044.01000000
0.003296071828
Long
EC
CORP
JP
N
2
N
N
N
Square, Inc.
549300OHIIUWSTIZME52
Square, Inc.
852234AD5
409000.00000000
PA
USD
607797.33000000
0.066680301895
Long
DBT
CORP
US
N
2
2023-05-15
Fixed
0.50000000
N
N
N
N
Y
Square, Inc.
Square, Inc.
USD
XXXX
N
N
N
LIXIL Group Corp.
353800KB8G4F9WUJJ886
LIXIL Group Corp.
N/A
1000.00000000
NS
14044.28000000
0.001540771543
Long
EC
CORP
JP
N
2
N
N
N
Aramark Services, Inc.
42YMHYH0XMHJEXDUB065
Aramark Services, Inc.
038522AP3
130000.00000000
PA
USD
128050.00000000
0.014048124656
Long
DBT
CORP
US
Y
2
2025-04-01
Fixed
5.00000000
N
N
N
N
N
N
Wells Fargo & Co.
PBLD0EJDB5FWOLXP3B76
Wells Fargo & Co., Series L
949746804
377.00000000
NS
USD
488969.00000000
0.053643869309
Long
EP
CORP
US
N
1
N
N
N
Banco Santander Chile
3YJP8HORPAEXJ80D6368
Banco Santander Chile
05965X109
12090.00000000
NS
USD
198276.00000000
0.021752487031
Long
EC
CORP
CL
N
1
N
N
N
Zscaler, Inc.
529900MZ0RTK1BWRNF46
Zscaler, Inc.
98980G102
5725.00000000
NS
USD
626887.50000000
0.068774648540
Long
EC
CORP
US
N
1
N
N
N
Spectrum Brands, Inc.
549300VU3EH2E73C1Q04
Spectrum Brands, Inc.
84762LAU9
273000.00000000
PA
USD
280171.71000000
0.030737111341
Long
DBT
CORP
US
N
2
2025-07-15
Fixed
5.75000000
N
N
N
N
N
N
Prime Security Services Borrower LLC
N/A
Prime Security Services Borrower LLC
74166MAC0
150000.00000000
PA
USD
155437.50000000
0.017052755769
Long
DBT
CORP
US
Y
2
2026-04-15
Fixed
5.75000000
N
N
N
N
N
N
Prestige Brands, Inc.
549300JBVP4J6D42I235
Prestige Brands, Inc.
74112BAL9
80000.00000000
PA
USD
78800.00000000
0.008644999788
Long
DBT
CORP
US
Y
2
2028-01-15
Fixed
5.12500000
N
N
N
N
N
N
SM Energy Co.
84BUTVXV5ODI6BXNMH43
SM Energy Co.
78454LAL4
45000.00000000
PA
USD
23850.00000000
0.002616538641
Long
DBT
CORP
US
N
2
2025-06-01
Fixed
5.62500000
N
N
N
N
N
N
Westlake Automobile Receivables Trust
5493000EWZKZ6H2PNY04
Westlake Automobile Receivables Trust, Series 2018-3A, Class F
96042GAQ5
1000000.00000000
PA
USD
973223.20000000
0.106770486779
Long
ABS-O
CORP
US
Y
2
2025-02-18
Fixed
6.02000000
N
N
N
N
N
N
Bausch Health Cos., Inc.
B3BS7ACMDUWISF18KY76
Bausch Health Cos., Inc.
071734AC1
54000.00000000
PA
USD
57240.00000000
0.006279692739
Long
DBT
CORP
CA
Y
2
2027-08-15
Fixed
5.75000000
N
N
N
N
N
N
Zebra Technologies Corp.
PO0I32GKZ3HZMMDPZZ08
Zebra Technologies Corp., Class A
989207105
2707.00000000
NS
USD
692856.65000000
0.076011999908
Long
EC
CORP
US
N
1
N
N
N
PRPM LLC
N/A
PRPM LLC, Series 2019-1A, Class A1
69359AAA7
625321.76000000
PA
USD
627994.95000000
0.068896144796
Long
ABS-MBS
CORP
US
Y
2
2024-01-25
Variable
4.50000000
N
N
N
N
N
N
1011778 BC ULC
N/A
1011778 BC ULC
68245XAH2
30000.00000000
PA
USD
29105.10000000
0.003193065778
Long
DBT
CORP
CA
Y
2
2028-01-15
Fixed
3.87500000
N
N
N
N
N
N
Springleaf Finance Corp.
5493008I795YYBFWFU90
Springleaf Finance Corp.
85172FAF6
100000.00000000
PA
USD
107000.00000000
0.011738768748
Long
DBT
CORP
US
N
2
2023-10-01
Fixed
8.25000000
N
N
N
N
N
N
Sprint Corp.
549300ZTTY7CXOLJ6539
Sprint Corp.
85207UAJ4
550000.00000000
PA
USD
634562.50000000
0.069616658354
Long
DBT
CORP
US
N
2
2025-02-15
Fixed
7.62500000
N
N
N
N
N
N
Telecom Italia SpA
549300W384M3RI3VXU42
Telecom Italia SpA
N/A
15649.00000000
NS
6090.62000000
0.000668190464
Long
EC
CORP
IT
N
2
N
N
N
RAMP Trust
N/A
RAMP Trust, Series 2005-RS6, Class M4
76112BTV2
500000.00000000
PA
USD
490648.00000000
0.053828069241
Long
ABS-O
CORP
US
N
3
2035-06-25
Floating
1.15949900
N
N
N
N
N
N
Global Unichip Corp.
N/A
Global Unichip Corp.
N/A
4000.00000000
NS
34491.09000000
0.003783952611
Long
EC
CORP
TW
N
2
N
N
N
Deutsche Boerse AG
529900G3SW56SHYNPR95
Deutsche Boerse AG
N/A
4248.00000000
NS
768789.39000000
0.084342437995
Long
EC
CORP
DE
N
2
N
N
N
Alphabet, Inc.
5493006MHB84DD0ZWV18
Alphabet, Inc., Class A
02079K305
1597.00000000
NS
USD
2264625.85000000
0.248447842569
Long
EC
CORP
US
N
1
N
N
N
Raytheon Technologies Corp.
I07WOS4YJ0N7YRFE7309
Raytheon Technologies Corp.
913017BJ7
40000.00000000
PA
USD
53998.74000000
0.005924100201
Long
DBT
CORP
US
N
2
2035-05-01
Fixed
5.40000000
N
N
N
N
N
N
Sika AG
549300R3N69ECGYPU434
Sika AG
N/A
180000.00000000
PA
222185.87000000
0.024375593898
Long
DBT
CORP
CH
Y
2
2025-06-05
Fixed
0.15000000
N
N
N
N
N
Sika AG
Sika AG
CHF
XXXX
N
N
N
WillScot Corp.
549300HJ4VIXF476Q166
WillScot Corp.
971375126
20495.00000000
NS
USD
251883.55000000
0.027633670513
Long
EC
CORP
US
N
1
N
N
N
PNC Financial Services Group, Inc. (The)
CFGNEKW0P8842LEUIA51
PNC Financial Services Group, Inc. (The)
693475105
13407.00000000
NS
USD
1410550.47000000
0.154748839021
Long
EC
CORP
US
N
1
N
N
N
Credicorp Ltd.
529900UYAEYQCQ2BKB17
Credicorp Ltd.
N/A
6571.00000000
NS
USD
878345.57000000
0.096361640443
Long
EC
CORP
BM
N
1
N
N
N
Sirius XM Radio, Inc.
WP5O65E6BMU84LNO4227
Sirius XM Radio, Inc.
82967NBA5
295000.00000000
PA
USD
302616.90000000
0.033199530920
Long
DBT
CORP
US
Y
2
2027-08-01
Fixed
5.00000000
N
N
N
N
N
N
CIMIC Group Ltd.
529900Q5XXSXHRQERC81
CIMIC Group Ltd.
N/A
399.00000000
NS
6705.04000000
0.000735597327
Long
EC
CORP
AU
N
2
N
N
N
Boston Scientific Corp.
Y6ZDD9FP4P8JSSJMW954
Boston Scientific Corp.
101137107
70688.00000000
NS
USD
2481855.68000000
0.272279718640
Long
EC
CORP
US
N
1
N
N
N
Alfresa Holdings Corp.
N/A
Alfresa Holdings Corp.
N/A
600.00000000
NS
12576.82000000
0.001379779267
Long
EC
CORP
JP
N
2
N
N
N
Analog Devices, Inc.
GYVOE5EZ4GDAVTU4CQ61
Analog Devices, Inc.
032654105
12957.00000000
NS
USD
1589046.48000000
0.174331300553
Long
EC
CORP
US
N
1
N
N
N
Grupo Aeroportuario del Sureste SAB de CV
5299001W7JIDXCUOUC82
Grupo Aeroportuario del Sureste SAB de CV, Class B
N/A
3977.00000000
NS
44555.13000000
0.004888059510
Long
EC
CORP
MX
N
1
N
N
N
KIWOOM Securities Co. Ltd.
988400O27CNGJA2QWJ18
KIWOOM Securities Co. Ltd.
N/A
367.00000000
NS
26831.91000000
0.002943678379
Long
EC
CORP
KR
N
2
N
N
N
Heineken Holding NV
724500M1WJLFM9TYBS04
Heineken Holding NV
N/A
421.00000000
NS
34457.58000000
0.003780276292
Long
EC
CORP
NL
N
1
N
N
N
APT Pipelines Ltd.
261700SS8OEHDOCOUJ33
APT Pipelines Ltd.
00205GAD9
61000.00000000
PA
USD
68085.57000000
0.007469539825
Long
DBT
CORP
AU
Y
2
2027-07-15
Fixed
4.25000000
N
N
N
N
N
N
Whiting Petroleum Corp.
52990028CHK9KUB1B293
Whiting Petroleum Corp.
966387BG6
215000.00000000
PA
USD
38162.50000000
0.004186736096
Long
DBT
CORP
US
N
2
2026-01-15
Fixed
6.62500000
Y
N
N
N
N
N
Lamar Media Corp.
N/A
Lamar Media Corp.
513075BS9
30000.00000000
PA
USD
28716.00000000
0.003150378349
Long
DBT
CORP
US
Y
2
2030-02-15
Fixed
4.00000000
N
N
N
N
N
N
UPL Ltd.
335800RJSM1SLHO4UA95
UPL Ltd.
N/A
9468.00000000
NS
53415.34000000
0.005860096484
Long
EC
CORP
IN
N
2
N
N
N
Shimadzu Corp.
N/A
Shimadzu Corp.
N/A
800.00000000
NS
21357.75000000
0.002343118581
Long
EC
CORP
JP
N
2
N
N
N
Novelis Corp.
549300G5F3W3B52WYL23
Novelis Corp.
670001AC0
110000.00000000
PA
USD
109740.40000000
0.012039412878
Long
DBT
CORP
US
Y
2
2026-09-30
Fixed
5.87500000
N
N
N
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
-50943.28000000
-0.00558889143
N/A
DFE
N/A
N
2
Barclays Bank
G5GSEF7VJP5I7OUK5573
7675997.23000000
GBP
9461679.82000000
USD
2020-07-22
-50943.28000000
N
N
N
Crowdstrike Holdings, Inc.
549300YBY08K9KM4HX32
Crowdstrike Holdings, Inc., Class A
22788C105
5367.00000000
NS
USD
538256.43000000
0.059051100552
Long
EC
CORP
US
N
1
N
N
N
Glencore plc
2138002658CPO9NBH955
Glencore plc
N/A
34189.00000000
NS
72829.58000000
0.007989996239
Long
EC
CORP
JE
N
2
N
N
N
Edenred
9695006LOD5B2D7Y0N70
Edenred
N/A
833.00000000
NS
36533.85000000
0.004008059968
Long
EC
CORP
FR
N
2
N
N
N
Becton Dickinson and Co.
ICE2EP6D98PQUILVRZ91
Becton Dickinson and Co., Series B
075887406
3798.00000000
NS
USD
202053.60000000
0.022166920422
Long
EP
CORP
US
N
1
N
N
N
Demant A/S
213800RM6L9LN78BVA56
Demant A/S
N/A
377.00000000
NS
9990.92000000
0.001096085041
Long
EC
CORP
DK
N
2
N
N
N
Freeport-McMoRan, Inc.
549300IRDTHJQ1PVET45
Freeport-McMoRan, Inc.
35671DBJ3
45000.00000000
PA
USD
44479.69000000
0.004879783130
Long
DBT
CORP
US
N
2
2034-11-14
Fixed
5.40000000
N
N
N
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
-189.63000000
-0.00002080395
N/A
DFE
N/A
N
2
State Street Bank and Trust
571474TGEMMWANRLN572
324347.79000000
SEK
34630.55000000
USD
2020-07-29
-189.63000000
N
N
N
FleetCor Technologies, Inc.
549300DG6RR0NQSFLN74
FleetCor Technologies, Inc.
339041105
2682.00000000
NS
USD
674603.46000000
0.074009476764
Long
EC
CORP
US
N
1
N
N
N
CubeSmart
N/A
CubeSmart
229663109
12690.00000000
NS
USD
342503.10000000
0.037575370902
Long
EC
CORP
US
N
1
N
N
N
Westlake Automobile Receivables Trust
N/A
Westlake Automobile Receivables Trust, Series 2019-1A, Class D
96042JAL0
2025000.00000000
PA
USD
2084610.33000000
0.228698678453
Long
ABS-O
CORP
US
Y
2
2024-03-15
Fixed
3.67000000
N
N
N
N
N
N
adidas AG
549300JSX0Z4CW0V5023
adidas AG
N/A
6334.00000000
NS
1669970.70000000
0.183209344523
Long
EC
CORP
DE
N
2
N
N
N
GlaxoSmithKline plc
5493000HZTVUYLO1D793
GlaxoSmithKline plc
N/A
78412.00000000
NS
1583898.23000000
0.173766495729
Long
EC
CORP
GB
N
2
N
N
N
WPX Energy, Inc.
ZXZE9GCS2BB547GJW219
WPX Energy, Inc.
98212BAJ2
95000.00000000
PA
USD
88747.81000000
0.009736355313
Long
DBT
CORP
US
N
2
2027-10-15
Fixed
5.25000000
N
N
N
N
N
N
Columbia Sportswear Co.
549300OTMCIEUXAH5Z60
Columbia Sportswear Co.
198516106
5345.00000000
NS
USD
430700.10000000
0.047251297886
Long
EC
CORP
US
N
1
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
1404.19000000
0.000154051043
N/A
DFE
N/A
N
2
State Street Bank and Trust
571474TGEMMWANRLN572
830411.88000000
DKK
126679.25000000
USD
2020-07-29
1404.19000000
N
N
N
Cabot Oil & Gas Corp.
FCNMH6O7VWU7LHXMK351
Cabot Oil & Gas Corp.
127097103
15712.00000000
NS
USD
269932.16000000
0.029613749570
Long
EC
CORP
US
N
1
N
N
N
Archer Obligations SA
9695004P3VIN4H10XX33
Archer Obligations SA, Series KER
N/A
600000.00000000
PA
848840.21000000
0.093124662893
Long
DBT
CORP
FR
Y
2
2023-03-31
None
0.00000000
N
N
N
N
N
Kering SA
Kering SA
EUR
XXXX
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
5100.37000000
0.000559551999
N/A
DFE
N/A
N
2
Goldman Sachs International
W22LROWP2IHZNBB6K528
1427130.63000000
EUR
1609479.39000000
USD
2020-07-29
5100.37000000
N
N
N
Connecticut Avenue Securities Trust
B1V7KEBTPIMZEU4LTD58
Connecticut Avenue Securities Trust, Series 2019-R05, Class 1B1
20754HAD0
500000.00000000
PA
USD
446218.50000000
0.048953792362
Long
ABS-MBS
CORP
US
Y
2
2039-07-25
Floating
4.28450000
N
N
N
N
N
N
Verus Securitization Trust
N/A
Verus Securitization Trust, Series 2019-INV1, Class B1
92537FAE5
100000.00000000
PA
USD
88977.78000000
0.009761584889
Long
ABS-MBS
CORP
US
Y
3
2059-12-25
Fixed
4.99100000
N
N
N
N
N
N
Targa Resources Partners LP
N/A
Targa Resources Partners LP
87612BBN1
85000.00000000
PA
USD
89037.50000000
0.009768136658
Long
DBT
CORP
US
N
2
2029-01-15
Fixed
6.87500000
N
N
N
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
-2743.14000000
-0.00030094472
N/A
DFE
N/A
N
2
Barclays Bank
G5GSEF7VJP5I7OUK5573
34657399.29000000
THB
1118521.84000000
USD
2020-07-22
-2743.14000000
N
N
N
Container Corp. of India Ltd.
335800T2XH4HLGGQSJ32
Container Corp. of India Ltd.
N/A
5112.00000000
NS
28267.43000000
0.003101166578
Long
EC
CORP
IN
N
2
N
N
N
China Overseas Land & Investment Ltd.
529900I6W35GYKRIZ151
China Overseas Land & Investment Ltd.
N/A
24000.00000000
NS
73282.51000000
0.008039686338
Long
EC
CORP
HK
N
2
N
N
N
Keppel Corp. Ltd.
254900SQ7IPDOY6IDW33
Keppel Corp. Ltd.
N/A
5000.00000000
NS
21534.63000000
0.002362523753
Long
EC
CORP
SG
N
2
N
N
N
Southwestern Energy Co.
EFWMP121W54QV9MGOP87
Southwestern Energy Co.
845467AL3
212000.00000000
PA
USD
181525.00000000
0.019914766327
Long
DBT
CORP
US
N
2
2025-01-23
Fixed
6.19999900
N
N
N
N
N
N
Panther BF Aggregator 2 LP
N/A
Panther BF Aggregator 2 LP
69867DAA6
196000.00000000
PA
USD
202125.00000000
0.022174753582
Long
DBT
CORP
US
Y
2
2026-05-15
Fixed
6.25000000
N
N
N
N
N
N
Verus Securitization Trust
N/A
Verus Securitization Trust, Series 2019-4, Class B1
92537KAE4
1100000.00000000
PA
USD
980371.81000000
0.107554747337
Long
ABS-MBS
CORP
US
Y
3
2059-11-25
Variable
3.85999900
N
N
N
N
N
N
Sumitomo Mitsui Trust Holdings, Inc.
353800P843RLCDBLNT17
Sumitomo Mitsui Trust Holdings, Inc.
N/A
1200.00000000
NS
33816.44000000
0.003709938028
Long
EC
CORP
JP
N
2
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
-285.16000000
-0.00003128436
N/A
DFE
N/A
N
2
Merrill Lynch International
AHYI0DDQ2LCHPGHJC422
214213.68000000
DKK
32030.89000000
USD
2020-07-29
-285.16000000
N
N
N
Aier Eye Hospital Group Co. Ltd.
N/A
Aier Eye Hospital Group Co. Ltd., Class A
N/A
4940.00000000
NS
30424.06000000
0.003337766399
Long
EC
CORP
CN
N
2
N
N
N
Sirius XM Radio, Inc.
WP5O65E6BMU84LNO4227
Sirius XM Radio, Inc.
82967NAW8
230000.00000000
PA
USD
237530.20000000
0.026058991482
Long
DBT
CORP
US
Y
2
2026-07-15
Fixed
5.37500000
N
N
N
N
N
N
Kweichow Moutai Co. Ltd.
N/A
Kweichow Moutai Co. Ltd., Class A
N/A
3782.00000000
NS
785782.41000000
0.086206710257
Long
EC
CORP
CN
N
2
N
N
N
Kingdee International Software Group Co. Ltd.
529900SWRZN94C5SZO63
Kingdee International Software Group Co. Ltd.
N/A
43000.00000000
NS
100614.99000000
0.011038281310
Long
EC
CORP
KY
N
2
N
N
N
Anheuser-Busch InBev SA/NV
5493008H3828EMEXB082
Anheuser-Busch InBev SA/NV
N/A
2606.00000000
NS
128466.54000000
0.014093822476
Long
EC
CORP
BE
N
2
N
N
N
Leonardo SpA
529900X4EEX1U9LN3U39
Leonardo SpA
N/A
1477.00000000
NS
9846.20000000
0.001080208082
Long
EC
CORP
IT
N
2
N
N
N
T-Mobile USA, Inc.
549300V2JRLO5DIFGE82
T-Mobile USA, Inc.
87264ABE4
95000.00000000
PA
USD
105884.15000000
0.011616350943
Long
DBT
CORP
US
Y
2
2030-04-15
Fixed
3.87500000
N
N
N
N
N
N
Tempur Sealy International, Inc.
549300HFEKVR3US71V91
Tempur Sealy International, Inc.
88023UAG6
203000.00000000
PA
USD
205030.00000000
0.022493455668
Long
DBT
CORP
US
N
2
2026-06-15
Fixed
5.50000000
N
N
N
N
N
N
B3 SA - Brasil Bolsa Balcao
4GTK5S46E6H318LMDS44
B3 SA - Brasil Bolsa Balcao
N/A
56772.00000000
NS
581385.54000000
0.063782714091
Long
EC
CORP
BR
N
1
N
N
N
iHeartCommunications, Inc.
54930076J6KDZL504O62
iHeartCommunications, Inc.
45174HBE6
225000.00000000
PA
USD
215437.50000000
0.023635242918
Long
DBT
CORP
US
Y
2
2027-08-15
Fixed
5.25000000
N
N
N
N
N
N
Chemours Co. (The)
549300M1BOLNXL8DOV14
Chemours Co. (The)
163851AB4
150000.00000000
PA
USD
144000.00000000
0.015797969156
Long
DBT
CORP
US
N
2
2023-05-15
Fixed
6.62500000
N
N
N
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
2309.84000000
0.000253408201
N/A
DFE
N/A
N
2
Toronto Dominion Bank
PT3QB789TSUIDF371261
1199728.48000000
DKK
183299.62000000
USD
2020-07-29
2309.84000000
N
N
N
Treasury Wine Estates Ltd.
529900LVOPJGAX6ILK66
Treasury Wine Estates Ltd.
N/A
2625.00000000
NS
19099.17000000
0.002095334017
Long
EC
CORP
AU
N
2
N
N
N
Teleflex, Inc.
UUL85LWXB4NGSWWXIQ25
Teleflex, Inc.
879369AE6
32000.00000000
PA
USD
33020.80000000
0.003622649860
Long
DBT
CORP
US
N
2
2026-06-01
Fixed
4.87500000
N
N
N
N
N
N
Axis Bank Ltd.
549300HVNWMJPOFVNI41
Axis Bank Ltd.
N/A
15522.00000000
NS
83970.41000000
0.009212235744
Long
EC
CORP
IN
N
2
N
N
N
Sodexo SA
969500LCBOG12HXPYM84
Sodexo SA
N/A
303.00000000
NS
20545.80000000
0.002254041074
Long
EC
CORP
FR
N
2
N
N
N
Taylor Wimpey plc
21380089BTRXTD8S3R66
Taylor Wimpey plc
N/A
394132.00000000
NS
695646.43000000
0.076318061424
Long
EC
CORP
GB
N
2
N
N
N
BWX Technologies, Inc.
549300NP85N265KWMS58
BWX Technologies, Inc.
05605HAA8
40000.00000000
PA
USD
41215.20000000
0.004521642072
Long
DBT
CORP
US
Y
2
2026-07-15
Fixed
5.37500000
N
N
N
N
N
N
Brookfield Property REIT, Inc.
N/A
Brookfield Property REIT, Inc.
11284DAA3
80000.00000000
PA
USD
67600.00000000
0.007416268854
Long
DBT
CORP
US
Y
2
2026-05-15
Fixed
5.75000000
N
N
N
N
N
N
ACE Securities Corp. Home Equity Loan Trust
N/A
ACE Securities Corp. Home Equity Loan Trust, Series 2004-HE3, Class M3
004421HS5
67157.92000000
PA
USD
67519.14000000
0.007407397855
Long
ABS-O
CORP
US
N
3
2034-11-25
Floating
1.26450000
N
N
N
N
N
N
Capital One Financial Corp.
ZUE8T73ROZOF6FLBAR73
Capital One Financial Corp.
14040H105
17598.00000000
NS
USD
1101458.82000000
0.120838975457
Long
EC
CORP
US
N
1
N
N
N
iHeartCommunications, Inc.
54930076J6KDZL504O62
iHeartCommunications, Inc.
45174HBD8
113934.00000000
PA
USD
104405.70000000
0.011454152974
Long
DBT
CORP
US
N
2
2027-05-01
Fixed
8.37500000
N
N
N
N
N
N
BioMarin Pharmaceutical, Inc.
NSLL8ITTRR0J5HEMR848
BioMarin Pharmaceutical, Inc.
09061GAH4
309000.00000000
PA
USD
377616.22000000
0.041427565254
Long
DBT
CORP
US
N
2
2024-08-01
Fixed
0.59900000
N
N
N
N
N
BioMarin Pharmaceutical, Inc.
BioMarin Pharmaceutical, Inc.
USD
XXXX
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
127698.85000000
0.014009600650
N/A
DFE
N/A
N
2
HSBC Bank
MP6I5ZYZBEU3UXPYFY54
6095496.88000000
GBP
7681657.33000000
USD
2020-07-22
127698.85000000
N
N
N
South32 Ltd.
213800LAZNPXSBKVHR17
South32 Ltd.
N/A
16764.00000000
NS
23733.22000000
0.002603726927
Long
EC
CORP
AU
N
2
N
N
N
Meituan Dianping
21380033K525E5JLIA77
Meituan Dianping, Class B
N/A
12700.00000000
NS
283798.98000000
0.031135052310
Long
EC
CORP
KY
Y
2
N
N
N
NEC Corp.
5493000QYMPFRTEY4K28
NEC Corp.
N/A
800.00000000
NS
38436.55000000
0.004216801606
Long
EC
CORP
JP
N
2
N
N
N
Level 3 Financing, Inc.
N/A
Level 3 Financing, Inc.
527298BK8
240000.00000000
PA
USD
241800.00000000
0.026527423209
Long
DBT
CORP
US
N
2
2024-01-15
Fixed
5.37500000
N
N
N
N
N
N
DISH DBS Corp.
N/A
DISH DBS Corp.
25470XAJ4
200000.00000000
PA
USD
203360.00000000
0.022310243109
Long
DBT
CORP
US
N
2
2022-07-15
Fixed
5.87500000
N
N
N
N
N
N
Toorak Mortgage Corp. Ltd.
N/A
Toorak Mortgage Corp. Ltd., Series 2019-1, Class A1
89052KAA3
1300000.00000000
PA
USD
1303226.60000000
0.142974539104
Long
ABS-MBS
CORP
US
Y
2
2022-03-25
Variable
4.45830100
N
N
N
N
N
N
PBF Holding Co. LLC
N/A
PBF Holding Co. LLC
69318FAH1
125000.00000000
PA
USD
103750.00000000
0.011382217361
Long
DBT
CORP
US
Y
2
2028-02-15
Fixed
6.00000000
N
N
N
N
N
N
Lennar Corp.
529900G61XVRLX5TJX09
Lennar Corp.
526057CV4
125000.00000000
PA
USD
135000.00000000
0.014810596084
Long
DBT
CORP
US
N
2
2027-06-15
Fixed
5.00000000
N
N
N
N
N
N
Mitsubishi Estate Co. Ltd.
353800KOFMRGOXSJ5Z65
Mitsubishi Estate Co. Ltd.
N/A
4100.00000000
NS
61097.45000000
0.006702886324
Long
EC
CORP
JP
N
2
N
N
N
Evraz plc
5493005B7DAN39RXLK23
Evraz plc
N/A
1744.00000000
NS
6179.14000000
0.000677901827
Long
EC
CORP
GB
N
2
N
N
N
Tosoh Corp.
529900YSLFVJF2MDBX02
Tosoh Corp.
N/A
900.00000000
NS
12363.22000000
0.001356345612
Long
EC
CORP
JP
N
2
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
-113334.17000000
-0.01243367862
N/A
DFE
N/A
N
2
Toronto Dominion Bank
PT3QB789TSUIDF371261
22067776.63000000
CAD
16142625.82000000
USD
2020-07-22
-113334.17000000
N
N
N
Nintendo Co. Ltd.
353800FEEXU6I9M0ZF27
Nintendo Co. Ltd.
N/A
400.00000000
NS
178827.54000000
0.019618833064
Long
EC
CORP
JP
N
2
N
N
N
FREMF Mortgage Trust
N/A
FREMF Mortgage Trust, Series 2019-K736, Class C
30298MAC3
165000.00000000
PA
USD
167578.09000000
0.018384677063
Long
ABS-MBS
USGSE
US
Y
2
2026-07-25
Variable
3.88377400
N
N
N
N
N
N
DISH DBS Corp.
N/A
DISH DBS Corp.
25470XAE5
60000.00000000
PA
USD
61125.00000000
0.006705908782
Long
DBT
CORP
US
N
2
2021-06-01
Fixed
6.75000000
N
N
N
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
-5710.29000000
-0.00062646517
N/A
DFE
N/A
N
2
Credit Suisse International
E58DKGMJYYYJLN8C3868
1002915.42000000
CHF
850083.21000000
GBP
2020-07-22
-5710.29000000
N
N
N
Otsuka Holdings Co. Ltd.
N/A
Otsuka Holdings Co. Ltd.
N/A
1300.00000000
NS
56656.54000000
0.006215682440
Long
EC
CORP
JP
N
2
N
N
N
ACS Actividades de Construccion y Servicios SA
95980020140005558665
ACS Actividades de Construccion y Servicios SA
N/A
874.00000000
NS
22460.88000000
0.002464140899
Long
EC
CORP
ES
N
2
N
N
N
Trip.com Group Ltd.
2549004RMYDSRQL4KW41
Trip.com Group Ltd.
89677Q107
2576.00000000
NS
USD
66769.92000000
0.007325202338
Long
EC
CORP
KY
N
1
N
N
N
Ford Motor Credit Co. LLC
UDSQCVRUX5BONN0VY111
Ford Motor Credit Co. LLC
345397A45
200000.00000000
PA
USD
187000.00000000
0.020515418280
Long
DBT
CORP
US
N
2
2027-01-09
Fixed
4.27100000
N
N
N
N
N
N
Coca-Cola HBC AG
549300EFP3TNG7JGVE49
Coca-Cola HBC AG
N/A
728.00000000
NS
18224.10000000
0.001999331734
Long
EC
CORP
CH
N
2
N
N
N
CDK Global, Inc.
5493000L10CYRTHIJ385
CDK Global, Inc.
12508EAJ0
156000.00000000
PA
USD
161993.52000000
0.017772004392
Long
DBT
CORP
US
Y
2
2029-05-15
Fixed
5.25000000
N
N
N
N
N
N
Coloplast A/S
529900NN7SOJ5QG82X67
Coloplast A/S, Class B
N/A
407.00000000
NS
63438.27000000
0.006959693283
Long
EC
CORP
DK
N
2
N
N
N
Legrand SA
969500XXRPGD7HCAFA90
Legrand SA
N/A
9204.00000000
NS
699342.89000000
0.076723593098
Long
EC
CORP
FR
N
2
N
N
N
Netflix, Inc.
549300Y7VHGU0I7CE873
Netflix, Inc.
64110LAL0
22000.00000000
PA
USD
24468.18000000
0.002684358006
Long
DBT
CORP
US
N
2
2025-02-15
Fixed
5.87500000
N
N
N
N
N
N
Ajinomoto Co., Inc.
353800UT0TLROREPIC92
Ajinomoto Co., Inc.
N/A
1600.00000000
NS
26551.94000000
0.002912963397
Long
EC
CORP
JP
N
2
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
23527.44000000
0.002581151190
N/A
DFE
N/A
N
2
BNP Paribas
R0MUWSFPU8MPRO8K5P83
346201955.00000000
HUF
1121701.51000000
USD
2020-07-22
23527.44000000
N
N
N
Vifor Pharma AG
529900KO6CN2D9OE1F19
Vifor Pharma AG
N/A
165.00000000
NS
24962.35000000
0.002738572467
Long
EC
CORP
CH
N
2
N
N
N
Rinnai Corp.
N/A
Rinnai Corp.
N/A
100.00000000
NS
8374.32000000
0.000918730896
Long
EC
CORP
JP
N
2
N
N
N
MGM Resorts International
54930066VBP7DZEGGJ87
MGM Resorts International
552953CF6
79000.00000000
PA
USD
76378.78000000
0.008379372296
Long
DBT
CORP
US
N
2
2027-04-15
Fixed
5.50000000
N
N
N
N
N
N
Bid Corp. Ltd.
N/A
Bid Corp. Ltd.
N/A
33567.00000000
NS
551197.77000000
0.060470870623
Long
EC
CORP
ZA
N
2
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
-4840.26000000
-0.00053101582
N/A
DFE
N/A
N
2
Merrill Lynch International
AHYI0DDQ2LCHPGHJC422
358601.67000000
GBP
439586.48000000
USD
2020-07-29
-4840.26000000
N
N
N
Ford Otomotiv Sanayi A/S
7890006XJG6ZE2H34671
Ford Otomotiv Sanayi A/S
N/A
2738.00000000
NS
28412.16000000
0.003117044634
Long
EC
CORP
TR
N
2
N
N
N
Nihon M&A Center, Inc.
N/A
Nihon M&A Center, Inc.
N/A
500.00000000
NS
22738.99000000
0.002494651824
Long
EC
CORP
JP
N
2
N
N
N
CHL Mortgage Pass-Through Trust
N/A
CHL Mortgage Pass-Through Trust, Series 2006-HYB1, Class 2A2C
126694WL8
487222.32450000
PA
USD
451823.09000000
0.049568661389
Long
ABS-MBS
CORP
US
N
2
2036-03-20
Variable
3.31276000
N
N
N
N
N
N
Yokogawa Electric Corp.
529900MV0U7C9WWF4L22
Yokogawa Electric Corp.
N/A
900.00000000
NS
14101.82000000
0.001547084148
Long
EC
CORP
JP
N
2
N
N
N
Hannover Rueck SE
529900KIN5BE45V5KB18
Hannover Rueck SE
N/A
207.00000000
NS
35774.60000000
0.003924764079
Long
EC
CORP
DE
N
2
N
N
N
Marathon Petroleum Corp.
3BNYRYQHD39K4LCKQF12
Marathon Petroleum Corp.
56585A102
14010.00000000
NS
USD
523693.80000000
0.057453461805
Long
EC
CORP
US
N
1
N
N
N
Lamar Media Corp.
N/A
Lamar Media Corp.
513075BQ3
30000.00000000
PA
USD
28284.00000000
0.003102984441
Long
DBT
CORP
US
Y
2
2028-02-15
Fixed
3.75000000
N
N
N
N
N
N
Skandinaviska Enskilda Banken AB
F3JS33DEI6XQ4ZBPTN86
Skandinaviska Enskilda Banken AB, Class A
N/A
5565.00000000
NS
48307.25000000
0.005299697538
Long
EC
CORP
SE
N
2
N
N
N
Sirius XM Radio, Inc.
WP5O65E6BMU84LNO4227
Sirius XM Radio, Inc.
82967NBC1
12000.00000000
PA
USD
12693.24000000
0.001392551486
Long
DBT
CORP
US
Y
2
2029-07-01
Fixed
5.50000000
N
N
N
N
N
N
Schneider Electric SE
969500A1YF1XUYYXS284
Schneider Electric SE
N/A
24315.00000000
NS
2704721.45000000
0.296729903089
Long
EC
CORP
FR
N
2
N
N
N
Tenaga Nasional Bhd.
549300FV8X6UID6I1413
Tenaga Nasional Bhd.
N/A
20200.00000000
NS
54926.08000000
0.006025836928
Long
EC
CORP
MY
N
2
N
N
N
PG&E Corp.
8YQ2GSDWYZXO2EDN3511
PG&E Corp.
69331CAH1
120000.00000000
PA
USD
119550.00000000
0.013115605643
Long
DBT
CORP
US
N
2
2028-07-01
Fixed
5.00000000
N
N
N
N
N
N
NRG Energy, Inc.
5E2UPK5SW04M13XY7I38
NRG Energy, Inc.
629377CE0
124000.00000000
PA
USD
130820.00000000
0.014352016146
Long
DBT
CORP
US
N
2
2028-01-15
Fixed
5.75000000
N
N
N
N
N
N
United Rentals North America, Inc.
NGIZXNT70J2LYT3FBI09
United Rentals North America, Inc.
911365BE3
80000.00000000
PA
USD
83840.00000000
0.009197928709
Long
DBT
CORP
US
N
2
2026-09-15
Fixed
5.87500000
N
N
N
N
N
N
Terna Rete Elettrica Nazionale SpA
8156009E94ED54DE7C31
Terna Rete Elettrica Nazionale SpA
N/A
4813.00000000
NS
33197.93000000
0.003642082459
Long
EC
CORP
IT
N
2
N
N
N
DCP Midstream Operating LP
549300Y6CTBSE0QIPL28
DCP Midstream Operating LP
23311VAB3
20000.00000000
PA
USD
20109.40000000
0.002206164451
Long
DBT
CORP
US
N
2
2022-04-01
Fixed
4.95000000
N
N
N
N
N
N
IDEXX Laboratories, Inc.
OGMTXK0LUU1HKV2P0J84
IDEXX Laboratories, Inc.
45168D104
2170.00000000
NS
USD
716447.20000000
0.078600074778
Long
EC
CORP
US
N
1
N
N
N
Six Flags Entertainment Corp.
549300JYTDUAA4JQ3717
Six Flags Entertainment Corp.
83001AAC6
65000.00000000
PA
USD
58093.75000000
0.006373356046
Long
DBT
CORP
US
Y
2
2027-04-15
Fixed
5.50000000
N
N
N
N
N
N
CNA Financial Corp.
549300YX2GSZD7YG1R84
CNA Financial Corp.
126117100
2798.00000000
NS
USD
89955.70000000
0.009868870653
Long
EC
CORP
US
N
1
N
N
N
Telstra Corp. Ltd.
PCTXNQGRJVR3OG33JG65
Telstra Corp. Ltd.
N/A
15182.00000000
NS
32954.50000000
0.003615376212
Long
EC
CORP
AU
N
2
N
N
N
Garmin Ltd.
2549001E0HIPIJQ0W046
Garmin Ltd.
N/A
9608.00000000
NS
USD
936780.00000000
0.102772371852
Long
EC
CORP
CH
N
1
N
N
N
Suntory Beverage & Food Ltd.
549300FONLMVK7YYYH41
Suntory Beverage & Food Ltd.
N/A
500.00000000
NS
19509.12000000
0.002140308861
Long
EC
CORP
JP
N
2
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
-8207.81000000
-0.00090046339
N/A
DFE
N/A
N
2
Citibank
MBNUM2BPBDO7JBLYG310
991187.38000000
USD
793301.24000000
GBP
2020-07-02
-8207.81000000
N
N
N
Zhejiang Chint Electrics Co. Ltd.
N/A
Zhejiang Chint Electrics Co. Ltd., Class A
N/A
11999.00000000
NS
44876.15000000
0.004923278010
Long
EC
CORP
CN
N
2
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
64.70000000
0.000007098115
N/A
DFE
N/A
N
2
Citibank
MBNUM2BPBDO7JBLYG310
117329.50000000
SEK
12660.54000000
USD
2020-07-29
64.70000000
N
N
N
Industrial & Commercial Bank of China Ltd.
5493002ERZU2K9PZDL40
Industrial & Commercial Bank of China Ltd., Class H
N/A
294000.00000000
NS
177743.10000000
0.019499861191
Long
EC
CORP
CN
N
2
N
N
N
Johnson Matthey plc
2138001AVBSD1HSC6Z10
Johnson Matthey plc
N/A
663.00000000
NS
17267.12000000
0.001894343258
Long
EC
CORP
GB
N
2
N
N
N
National Commercial Bank
5586006ZEFQ542K7CY16
National Commercial Bank
N/A
7864.00000000
NS
78423.35000000
0.008603678225
Long
EC
CORP
SA
N
2
N
N
N
Tuas Ltd.
N/A
Tuas Ltd.
N/A
741.00000000
NS
345.17000000
0.000037867951
Long
EC
CORP
AU
N
1
N
N
N
Morgan Stanley ABS Capital I, Inc. Trust
N/A
Morgan Stanley ABS Capital I, Inc. Trust, Series 2005-HE1, Class M4
61744CKR6
165145.56000000
PA
USD
149864.24000000
0.016441323897
Long
ABS-O
CORP
US
N
3
2034-12-25
Floating
1.26450000
N
N
N
N
N
N
Prosper Marketplace Issuance Trust
549300TGOSXMW5LM7I70
Prosper Marketplace Issuance Trust, Series 2019-2A, Class B
74361PAB8
100000.00000000
PA
USD
99673.54000000
0.010934996601
Long
ABS-O
CORP
US
Y
3
2025-09-15
Fixed
3.69000000
N
N
N
N
N
N
JPMorgan Emerging Markets Strategic Debt Fund
VC31EK6DBMYN3TDYHO32
JPMorgan Emerging Markets Strategic Debt Fund, Class R6
46637K778
122682.01700000
NS
USD
937290.61000000
0.102828389914
Long
RF
US
N
1
N
N
N
United Rentals North America, Inc.
NGIZXNT70J2LYT3FBI09
United Rentals North America, Inc.
911365BH6
350000.00000000
PA
USD
351750.00000000
0.038589830909
Long
DBT
CORP
US
N
2
2025-10-15
Fixed
4.62500000
N
N
N
N
N
N
SKF AB
549300B6HWYEE57O8J84
SKF AB, Class B
N/A
48424.00000000
NS
905215.36000000
0.099309474566
Long
EC
CORP
SE
N
2
N
N
N
Telia Co. AB
213800FSR9RNDUOTXO25
Telia Co. AB
N/A
8641.00000000
NS
32327.72000000
0.003546613357
Long
EC
CORP
SE
N
2
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
7342.81000000
0.000805565874
N/A
DFE
N/A
N
2
Goldman Sachs International
W22LROWP2IHZNBB6K528
2049094000.00000000
COP
551635.45000000
USD
2020-07-22
7342.81000000
N
N
N
BOE Technology Group Co. Ltd.
N/A
BOE Technology Group Co. Ltd., Class A
N/A
100800.00000000
NS
67063.46000000
0.007357406059
Long
EC
CORP
CN
N
2
N
N
N
Xerox Corp.
4KF48RN45X1OO8UBLY20
Xerox Corp.
984121CQ4
64000.00000000
PA
USD
63904.00000000
0.007010787645
Long
DBT
CORP
US
N
2
2023-03-15
Fixed
4.12499900
N
N
N
N
N
N
Credit Acceptance Auto Loan Trust
N/A
Credit Acceptance Auto Loan Trust, Series 2019-1A, Class B
22535AAC9
534000.00000000
PA
USD
550039.28000000
0.060343774864
Long
ABS-O
CORP
US
Y
2
2028-04-17
Fixed
3.75000000
N
N
N
N
N
N
Calpine Corp.
43R4VPJBXTU2O15HEF41
Calpine Corp.
131347CK0
135000.00000000
PA
USD
136310.85000000
0.014954406972
Long
DBT
CORP
US
Y
2
2026-06-01
Fixed
5.25000000
N
N
N
N
N
N
CenturyLink, Inc.
8M3THTGWLTYZVE6BBY25
CenturyLink, Inc., Series Y
156700BA3
75000.00000000
PA
USD
82411.50000000
0.009041210660
Long
DBT
CORP
US
N
2
2024-04-01
Fixed
7.50000000
N
N
N
N
N
N
World Omni Auto Receivables Trust
N/A
World Omni Auto Receivables Trust, Series 2017-B, Class A3
98161TAD7
3918.50000000
PA
USD
3953.60000000
0.000433742019
Long
ABS-O
CORP
US
N
2
2023-02-15
Fixed
1.95000000
N
N
N
N
N
N
PetSmart, Inc.
N/A
PetSmart, Inc.
716768AD8
40000.00000000
PA
USD
39998.40000000
0.004388149232
Long
DBT
CORP
US
Y
2
2025-06-01
Fixed
8.87500000
N
N
N
N
N
N
Showa Denko KK
5493006AIPA1V92YPP18
Showa Denko KK
N/A
400.00000000
NS
9028.57000000
0.000990507433
Long
EC
CORP
JP
N
2
N
N
N
Mitsui & Co. Ltd.
2NRSB4GOU9DD6CNW5R48
Mitsui & Co. Ltd.
N/A
5700.00000000
NS
84454.74000000
0.009265370678
Long
EC
CORP
JP
N
2
N
N
N
Ping An Bank Co. Ltd.
549300W9MKNIVWXFM679
Ping An Bank Co. Ltd., Class A
N/A
35300.00000000
NS
64155.45000000
0.007038373752
Long
EC
CORP
CN
N
2
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
782.17000000
0.000085810399
N/A
DFE
N/A
N
2
Barclays Capital
AC28XWWI3WIBK2824319
1154578.81000000
USD
87476663.45000000
INR
2020-07-22
782.17000000
N
N
N
MTN Group Ltd.
2549009JD6Q6XHZS5E05
MTN Group Ltd.
N/A
12275.00000000
NS
37593.90000000
0.004124356060
Long
EC
CORP
ZA
N
2
N
N
N
Crown Resorts Ltd.
549300D88XW2GD6R0Y98
Crown Resorts Ltd.
N/A
1127.00000000
NS
7592.00000000
0.000832904040
Long
EC
CORP
AU
N
2
N
N
N
China Merchants Bank Co. Ltd.
549300MKO5B60FFIHF58
China Merchants Bank Co. Ltd., Class H
N/A
19500.00000000
NS
90365.80000000
0.009913861952
Long
EC
CORP
CN
N
2
N
N
N
Morgan Stanley ABS Capital I, Inc. Trust
N/A
Morgan Stanley ABS Capital I, Inc. Trust, Series 2005-HE1, Class M3
61744CKQ8
270522.80000000
PA
USD
240121.26000000
0.026343251801
Long
ABS-O
CORP
US
N
3
2034-12-25
Floating
0.96450100
N
N
N
N
N
N
Telecom Italia SpA
549300W384M3RI3VXU42
Telecom Italia SpA
N/A
28608.00000000
NS
11281.16000000
0.001237634845
Long
EC
CORP
IT
N
2
N
N
N
ServiceNow, Inc.
549300HJTQM36M0E1G39
ServiceNow, Inc.
81762P102
1750.00000000
NS
USD
708855.00000000
0.077767148796
Long
EC
CORP
US
N
1
N
N
N
Netflix, Inc.
549300Y7VHGU0I7CE873
Netflix, Inc.
64110LAU0
85000.00000000
PA
USD
93358.90000000
0.010242229324
Long
DBT
CORP
US
Y
2
2029-11-15
Fixed
5.37500000
N
N
N
N
N
N
Ambu A/S
5299008W2A69WX355710
Ambu A/S, Class B
N/A
559.00000000
NS
17671.27000000
0.001938681794
Long
EC
CORP
DK
N
2
N
N
N
Computershare Ltd.
N/A
Computershare Ltd.
N/A
1665.00000000
NS
15417.02000000
0.001691372267
Long
EC
CORP
AU
N
2
N
N
N
Trane Technologies plc
549300BURLR9SLYY2705
Trane Technologies plc
N/A
14720.00000000
NS
USD
1309785.60000000
0.143694114658
Long
EC
CORP
IE
N
1
N
N
N
Marriott International, Inc.
225YDZ14ZO8E1TXUSU86
Marriott International, Inc., Series EE
571903BD4
100000.00000000
PA
USD
108982.07000000
0.011956217920
Long
DBT
CORP
US
N
2
2025-05-01
Fixed
5.75000000
N
N
N
N
N
N
BIM Birlesik Magazalar A/S
7890001GCDJQD8DJKE29
BIM Birlesik Magazalar A/S
N/A
7831.00000000
NS
77641.05000000
0.008517853563
Long
EC
CORP
TR
N
2
N
N
N
Mondi plc
213800LOZA69QFDC9N34
Mondi plc
N/A
1041.00000000
NS
19535.40000000
0.002143191990
Long
EC
CORP
GB
N
2
N
N
N
2020-07-30
JPMorgan Trust I
Timothy J. Clemens
Timothy J. Clemens
Treasurer and Principal Financial Officer