NPORT-P false 0001601445 XXXXXXXX S000045496 C000141590 Guggenheim Strategy Funds Trust 811-22946 0001601445 5493007THUTJ3GMETL84 702 King Farm Blvd., Suite 200 Rockville 20850 301-296-5100 Guggenheim Strategy Fund II S000045496 549300MHRGBLZPUQ5G89 2020-09-30 2020-09-30 N 413667898.18 85517295.51 328150602.67 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 0.00000000 BRL MXN GBP USD JPY CAD EUR N SAMSONITE INTERNATIONAL SA N/A N/A 798000.00000000 PA USD 777052.50000000 0.236797523355 Long LON CORP LU N 2 2025-04-25 Variable 5.50000000 N N N N N N JPMorgan Chase Bank, N.A. 7H6GLXDRUGQFU57RNE97 N/A -12500000.00000000 NC 788670.55000000 0.240337986151 N/A DFE US N 2 JPMorgan Chase Bank, N.A. 7H6GLXDRUGQFU57RNE97 12500000.00000000 BRL 2995088.06000000 USD 2021-07-01 788670.55000000 N N N TEXTRON INC 3PPKBHUG1HD6BO7RNR87 883203BZ3 650000.00000000 PA USD 650017.28000000 0.198085048362 Long DBT CORP US N 2 2020-11-10 Floating 0.79330000 N N N N N N Wind River CLO Ltd 2549008107XSHXNMJI27 88432GAN7 868295.88850000 PA USD 864124.42000000 0.263331657162 Long ABS-O CORP KY N 2 2027-10-15 Floating 1.14500000 N N N N N N MARATHON PETROLEUM CORP 3BNYRYQHD39K4LCKQF12 56585AAD4 120000.00000000 PA USD 122085.55000000 0.037204121829 Long DBT CORP US N 2 2021-03-01 Fixed 5.12500000 N N N N N N AVIATION CAPITAL GROUP 549300ODEK8HY3445C77 05367AAJ2 1300000.00000000 PA USD 1290151.95000000 0.393158488664 Long DBT CORP US N 2 2022-01-20 Fixed 2.87500000 N N N N N N ONTARIO T-BILL C7PVKCRGLG18EBQGZV36 6832Z5EP1 1930000.00000000 PA 1449699.99000000 0.441778859525 Long DBT NUSS CA N 2 2020-10-07 None 0.00000000 N N N N N N Goldman Sachs International W22LROWP2IHZNBB6K528 N/A 5777200.00000000 NC 85706.30000000 0.026117977325 N/A DFE US N 2 Goldman Sachs International W22LROWP2IHZNBB6K528 1611312.55000000 USD 5777200.00000000 ILS 2021-04-30 85706.30000000 N N N SPRINT SPECTRUM / SPEC I N/A 85208NAA8 50000.00000000 PA USD 50560.00000000 0.015407559696 Long DBT CORP US N 2 2021-09-20 Fixed 3.36000000 N N N N N N FIRSTKEY REVOLVING TRUST FKRT_20-C2 N/A N/A 3123940.58150000 PA USD 3152056.05000000 0.960551656572 Long ABS-MBS CORP US Y 3 2023-07-03 Fixed 5.47000000 N N N N N N Marathon CLO LTD 635400LRBGQZIPTCBI09 56576QAN8 3927990.68270000 PA USD 3895618.15000000 1.187143378163 Long ABS-O CORP KY N 2 2027-11-21 Floating 1.11700000 N N N N N N Goldman Sachs International W22LROWP2IHZNBB6K528 N/A -96900000.00000000 NC 41950.35000000 0.012783871081 N/A DFE US N 2 Goldman Sachs International W22LROWP2IHZNBB6K528 96900000.00000000 MXN 4402704.32000000 USD 2020-11-05 41950.35000000 N N N BXMT Ltd N/A 12434LAC8 2500000.00000000 PA USD 2450173.25000000 0.746661206794 Long ABS-O CORP US N 2 2037-02-16 Floating 1.30100000 N N N N N N Soundview Home Equity Loan Tru N/A 83612CAA7 3130693.39480000 PA USD 3034027.29000000 0.924583793329 Long ABS-MBS CORP US N 2 2036-07-25 Floating 0.28800000 N N N N N N Castlelake Aircraft Structured N/A 14856CAA7 2356750.15830000 PA USD 2200190.07000000 0.670481800764 Long ABS-O CORP US N 2 2043-06-15 Fixed 4.12500000 N N N N N N LoanCore 2018-CRE1 Issuer, Ltd N/A 53946MAA5 894471.80030000 PA USD 890023.23000000 0.271224012011 Long ABS-O CORP KY N 2 2028-05-15 Floating 1.28200000 N N N N N N Goldman Sachs International W22LROWP2IHZNBB6K528 N/A -703509.59000000 NC -1266.40000000 -0.00038592036 N/A DFE US N 2 Goldman Sachs International W22LROWP2IHZNBB6K528 703509.59000000 ILS 204895.76000000 USD 2021-02-01 -1266.40000000 N N N JPMorgan Chase Bank, N.A. 7H6GLXDRUGQFU57RNE97 N/A -2135900.00000000 NC -57399.47000000 -0.01749180697 N/A DFE US N 2 JPMorgan Chase Bank, N.A. 7H6GLXDRUGQFU57RNE97 2135900.00000000 EUR 2465191.70000000 USD 2021-07-30 -57399.47000000 N N N Countrywide Alternative Loan T 549300QTQ6MX6ER06N64 126680AB3 1165538.44800000 PA USD 1064910.64000000 0.324518873753 Long ABS-MBS CORP US N 2 2047-05-25 Floating 0.28810000 N N N N N N Morgan Stanley Capital Inc N/A 61744CYB6 2718650.72400000 PA USD 2684993.83000000 0.818219990502 Long ABS-MBS CORP US N 2 2035-12-25 Floating 0.52810000 N N N N N N Textainer Marine Containers Li 549300X48KLHDDGPK024 88315LAE8 495795.89110000 PA USD 506740.19000000 0.154423056327 Long ABS-O CORP US N 2 2045-08-21 Fixed 2.73000000 N N N N N N GreenPoint Mortgage Funding Tr N/A 39539KAA1 1.41150000 PA USD 1.41000000 0.000000429680 Long ABS-MBS CORP US N 3 2047-02-25 Floating 0.22800000 N N N N N N Barclays Bank plc G5GSEF7VJP5I7OUK5573 N/A -518259000.00000000 NC 162217.62000000 0.049433893669 N/A DFE US N 2 BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 518259000.00000000 JPY 5095457.67000000 USD 2021-07-01 162217.62000000 N N N WELLS FARGO & COMPANY PBLD0EJDB5FWOLXP3B76 949746SP7 3150000.00000000 PA USD 3157745.54000000 0.962285461098 Long DBT CORP US N 2 2022-02-11 Floating 1.18250000 N N N N N N iShares iBoxx High Yield Corpo N/A 464288513 36400.00000000 NS USD 3053960.00000000 0.930658050039 Long EC RF US N 1 N N N CIT Mortgage Loan Trust N/A 12559QAD4 683908.29520000 PA USD 687310.88000000 0.209449830171 Long ABS-MBS CORP US N 2 2037-10-25 Floating 1.59810000 N N N N N N Fortress Credit Opportunities 254900FRBH7KBHJT7O18 34961WAC9 2500000.00000000 PA USD 2431796.00000000 0.741060958052 Long ABS-O CORP KY N 2 2031-04-15 Floating 1.57500000 N N N N N N Goldman Sachs International W22LROWP2IHZNBB6K528 N/A 4543825.00000000 NC 152416.55000000 0.046447133956 N/A DFE US N 2 Goldman Sachs International W22LROWP2IHZNBB6K528 5214039.19000000 USD 4543825.00000000 EUR 2021-07-30 152416.55000000 N N N Goldman Sachs International W22LROWP2IHZNBB6K528 N/A -2637500.00000000 NC 1455.97000000 0.000443689570 N/A DFE US N 2 Goldman Sachs International W22LROWP2IHZNBB6K528 2637500.00000000 ILS 781921.67000000 USD 2022-01-31 1455.97000000 N N N UNITED KINGDOM OF GREAT BRITAIN AND NORTHERN IRELAND (GOVERNMENT) N/A N/A 7559000.00000000 PA 9753776.01000000 2.972347431526 Long DBT NUSS GB N 2 2020-10-05 Fixed 0.00000000 N N N N N N TICP CLO Ltd N/A 87248BAQ7 851709.94850000 PA USD 846772.42000000 0.258043841184 Long ABS-O CORP KY N 2 2027-07-20 Floating 1.07180000 N N N N N N ASSURANT INC H3F39CAXWQRVWURFXL38 04621XAL2 234000.00000000 PA USD 233917.38000000 0.071283544231 Long DBT CORP US N 2 2021-03-26 Floating 1.48300000 N N N N N N BSPRT 2018-FL3 Issuer, Ltd N/A 05585JAA8 338210.15510000 PA USD 336309.01000000 0.102486177768 Long ABS-O CORP KY N 2 2028-03-15 Floating 1.20200000 N N N N N N Goldman Sachs International W22LROWP2IHZNBB6K528 N/A 9145624.67000000 NC 112626.95000000 0.034321725781 N/A DFE US N 2 Goldman Sachs International W22LROWP2IHZNBB6K528 2567481.17000000 USD 9145624.67000000 ILS 2021-02-01 112626.95000000 N N N ONTARIO T-BILL C7PVKCRGLG18EBQGZV36 6832Z5E71 4110000.00000000 PA 3084776.87000000 0.940049125279 Long DBT NUSS CA N 2 2021-01-27 None 0.00000000 N N N N N N Goldman Sachs International W22LROWP2IHZNBB6K528 N/A -17587739.75000000 NC -13243.92000000 -0.00403592737 N/A DFE US N 2 Goldman Sachs International W22LROWP2IHZNBB6K528 17587739.75000000 ILS 5140810.17000000 USD 2021-02-01 -13243.92000000 N N N Goldman Sachs International W22LROWP2IHZNBB6K528 N/A -4600000.00000000 NC 34756.45000000 0.010591615470 N/A DFE US N 2 Goldman Sachs International W22LROWP2IHZNBB6K528 4600000.00000000 CAD 3490581.50000000 USD 2020-11-12 34756.45000000 N N N Verus Securitization Trust N/A 92536PAA2 2530511.77870000 PA USD 2584193.30000000 0.787502225799 Long ABS-MBS CORP US N 2 2060-01-25 Variable 2.41700000 N N N N N N Legacy Mortgage Asset Trust N/A 52474LAA9 1750858.05350000 PA USD 1764428.95000000 0.537688773277 Long ABS-MBS CORP US N 2 2058-06-25 Variable 4.00000000 N N N N N N GSAMP Trust N/A 362341G45 412462.30380000 PA USD 412722.90000000 0.125772403476 Long ABS-MBS CORP US N 2 2035-11-25 Floating 0.58810000 N N N N N N Structured Asset Securities Co N/A 86365DAA7 2570624.31680000 PA USD 2506305.75000000 0.763766919703 Long ABS-MBS CORP US N 2 2037-11-25 Floating 0.77800000 N N N N N N Structured Asset Investment Lo N/A 86358EQJ8 369457.02160000 PA USD 367373.82000000 0.111952809780 Long ABS-MBS CORP US N 2 2035-02-25 Floating 0.86810000 N N N N N N Morgan Stanley Capital Services LLC I7331LVCZKQKX5T7XV54 N/A -40700000.00000000 NC 17267.20000000 0.005261974184 N/A DFE US N 2 Morgan Stanley Capital Services LLC I7331LVCZKQKX5T7XV54 40700000.00000000 MXN 1848873.87000000 USD 2020-11-05 17267.20000000 N N N Venture CDO Ltd 5493002O60L75PP6F022 92328GBA3 2000000.00000000 PA USD 1982039.00000000 0.604002852310 Long ABS-O CORP KY N 2 2029-08-28 Floating 1.28600000 N N N N N N Bank of America, N.A. B4TYDEB6GKMZO031MB27 N/A -16500.00000000 NC -14.25000000 -0.00000434251 N/A DFE US N 2 Bank of America, N.A. B4TYDEB6GKMZO031MB27 16500.00000000 ILS 4821.04000000 USD 2021-02-01 -14.25000000 N N N Credit Suisse Mortgage Trust N/A 12648WAU6 665908.52250000 PA USD 653785.39000000 0.199233335145 Long ABS-MBS CORP US N 2 2036-10-27 Variable 0.32200000 N N N N N N Dreyfus Treasury Securities Ca 549300U78VESCW509025 N/A 16314492.37000000 NS USD 16314492.37000000 4.971647846219 Long STIV RF US N 1 N N N JPMorgan Chase Bank, N.A. 7H6GLXDRUGQFU57RNE97 N/A -850000.00000000 NC 6521.81000000 0.001987444163 N/A DFE US N 2 JPMorgan Chase Bank, N.A. 7H6GLXDRUGQFU57RNE97 850000.00000000 EUR 1003622.20000000 USD 2020-10-09 6521.81000000 N N N MidOcean Credit CLO 5493004MLF21SFT7F415 59801WAM8 3000000.00000000 PA USD 2973241.80000000 0.906060136964 Long ABS-O CORP KY N 2 2029-07-15 Floating 1.31500000 N N N N N N LoanCore 2018-CRE1 Issuer, Ltd N/A 53946MAC1 1000000.00000000 PA USD 991299.10000000 0.302086630935 Long ABS-O CORP KY N 2 2028-05-15 Floating 1.65200000 N N N N N N MP Clo VIII, LTD 549300D60LKSR31DKI65 62481WAA5 4756050.70770000 PA USD 4732583.88000000 1.442198747006 Long ABS-O CORP KY N 2 2027-10-28 Floating 1.15700000 N N N N N N Goldman Sachs International W22LROWP2IHZNBB6K528 N/A -137876.75000000 NC -136.78000000 -0.00004168208 N/A DFE US N 2 Goldman Sachs International W22LROWP2IHZNBB6K528 137876.75000000 ILS 40267.74000000 USD 2021-02-01 -136.78000000 N N N SVENSKA HANDELSBANKEN AB NHBDILHZTYCNBV5UYZ31 86960BAT9 594000.00000000 PA USD 605962.86000000 0.184659986929 Long DBT CORP SE N 2 2021-05-24 Fixed 3.35000000 N N N N N N Bear Stearns Asset Backed Secu N/A 07389MAD9 1150046.30280000 PA USD 1101384.85000000 0.335633956189 Long ABS-MBS CORP US N 2 2036-11-25 Floating 0.28810000 N N N N N N Oaktree CLO Ltd 635400SBDDFQR1OHEJ54 67389XAM9 1250000.00000000 PA USD 1218656.13000000 0.371370986396 Long ABS-O CORP KY N 2 2027-10-20 Floating 1.62180000 N N N N N N INTERCONTINENTALEXCHANGE 5493000F4ZO33MV32P92 45866FAR5 1450000.00000000 PA USD 1453384.30000000 0.442901609253 Long DBT CORP US N 2 2023-06-15 Floating 0.90300000 N N N N N N GE-WMC Mortgage Securities LLC N/A 367910AU0 425823.40640000 PA USD 420232.81000000 0.128060959382 Long ABS-MBS CORP US N 2 2035-12-25 Floating 0.64810000 N N N N N N JPMorgan Chase Bank, N.A. 7H6GLXDRUGQFU57RNE97 N/A -4110000.00000000 NC 64924.67000000 0.019785022325 N/A DFE US N 2 JPMorgan Chase Bank, N.A. 7H6GLXDRUGQFU57RNE97 4110000.00000000 CAD 3153981.04000000 USD 2021-01-27 64924.67000000 N N N Wellfleet CLO Ltd N/A 94951MAJ2 1250000.00000000 PA USD 1233495.00000000 0.375892955845 Long ABS-O CORP KY N 2 2029-10-20 Floating 1.33200000 N N N N N N ESSEX PORTFOLIO LP 5493003GN3O58H286O74 29717PAJ6 300000.00000000 PA USD 302624.83000000 0.092221323848 Long DBT CORP US N 2 2021-03-15 Fixed 5.20000000 N N N N N N VIACOMCBS INC 5KYC8KF17ROCY24M3H09 92556HAA5 810000.00000000 PA USD 930603.22000000 0.283590282153 Long DBT CORP US N 2 2025-05-15 Fixed 4.75000000 N N N N N N QUEBEC T-BILL 549300WN65YFEQH74Y36 0985ZUX93 6645000.00000000 PA 4991274.65000000 1.521031687703 Long DBT NUSS CA N 2 2020-10-09 None 0.00000000 N N N N N N iShares iBoxx $ Investment Gra 549300FYCXFXG8POR355 464287242 63000.00000000 NS USD 8486730.00000000 2.586230203738 Long EC RF US N 1 N N N Citibank N.A., New York E57ODZWZ7FF32TWEFA76 N/A -559279500.00000000 NC 183287.15000000 0.055854582776 N/A DFE US N 2 Citibank N.A., New York E57ODZWZ7FF32TWEFA76 559279500.00000000 JPY 5506996.00000000 USD 2021-07-01 183287.15000000 N N N ROLLS-ROYCE PLC X57JK1U580XATGR67572 77578JAA6 1100000.00000000 PA USD 1097250.00000000 0.334373909745 Long DBT CORP GB N 2 2020-10-14 Fixed 2.37500000 N N N N N N ADT SEC CORP 5493009JEEDYLVRA0J13 00101JAF3 200000.00000000 PA USD 203000.00000000 0.061861839761 Long DBT CORP US N 2 2022-07-15 Fixed 3.50000000 N N N N N N Cascade Funding Mortgage Trust 549300HU3WTU5KNK1B36 147271AA8 433365.94200000 PA USD 434226.13000000 0.132325257508 Long ABS-MBS CORP US Y 2 2069-06-25 Variable 2.80000000 N N N N N N JAPAN (GOVERNMENT OF) N/A N/A 686000000.00000000 PA 6504199.56000000 1.982077590922 Long DBT NUSS JP N 2 2020-11-09 None 0.00000000 N N N N N N Starwood Mortgage Residential N/A 85571KAA3 653095.34840000 PA USD 663590.39000000 0.202221292479 Long ABS-MBS CORP US N 2 2049-06-25 Variable 2.94100000 N N N N N N Soundview Home Equity Loan Tru N/A 83611MKY3 624113.48310000 PA USD 618363.96000000 0.188439074915 Long ABS-MBS CORP US N 2 2036-02-25 Floating 0.44810000 N N N N N N Shackleton CLO LTD 5493006EKWGOE6JAPH26 81881GAC2 1471193.33960000 PA USD 1467140.94000000 0.447093781959 Long ABS-O CORP KY N 2 2028-07-17 Floating 1.29300000 N N N N N N Ameriquest Mortgage Securities N/A 03072SS71 1936348.24830000 PA USD 1926857.24000000 0.587186866128 Long ABS-MBS CORP US N 2 2036-01-25 Floating 0.57810000 N N N N N N JPMorgan Chase Bank, N.A. 7H6GLXDRUGQFU57RNE97 N/A 7588000.00000000 NC -131158.95000000 -0.03996913274 N/A DFE US N 2 JPMorgan Chase Bank, N.A. 7H6GLXDRUGQFU57RNE97 1470542.64000000 USD 7588000.00000000 BRL 2021-07-01 -131158.95000000 N N N Citibank N.A., New York E57ODZWZ7FF32TWEFA76 N/A -279500.00000000 NC 73.80000000 0.000022489673 N/A DFE US N 2 Citibank N.A., New York E57ODZWZ7FF32TWEFA76 279500.00000000 JPY 2727.56000000 USD 2021-01-04 73.80000000 N N N Cent CLO LP 549300TP4B0QBDWSY710 12518XAA5 543370.93920000 PA USD 543205.16000000 0.165535322982 Long ABS-O CORP KY N 2 2025-10-29 Floating 1.59960000 N N N N N N BOEING CO RVHJWBXLJ1RFUBSY1F30 097023CS2 3300000.00000000 PA USD 3479322.00000000 1.060282069175 Long DBT CORP US N 2 2023-05-01 Fixed 4.50800000 N N N N N N Goldman Sachs International W22LROWP2IHZNBB6K528 N/A -16545.21000000 NC -20.36000000 -0.00000620446 N/A DFE US N 2 Goldman Sachs International W22LROWP2IHZNBB6K528 16545.21000000 ILS 4828.18000000 USD 2021-02-01 -20.36000000 N N N Acis CLO LTD 549300NKJE41Z1IPW197 00100FAA3 155604.52490000 PA USD 155614.08000000 0.047421543259 Long ABS-O CORP KY N 2 2026-02-01 Floating 1.76100000 N N N N N N Fortress Credit Opportunities 2549008RD44HDM6DNP14 34961JAC8 1750000.00000000 PA USD 1734766.60000000 0.528649524299 Long ABS-O CORP KY N 2 2029-11-15 Floating 1.83000000 N N N N N N JPMorgan Chase Bank, N.A. 7H6GLXDRUGQFU57RNE97 N/A -8470000.00000000 NC 69302.39000000 0.021119080518 N/A DFE US N 2 JPMorgan Chase Bank, N.A. 7H6GLXDRUGQFU57RNE97 8470000.00000000 EUR 10004687.77000000 USD 2020-10-07 69302.39000000 N N N UBS GROUP AG 549300SZJ9VS8SGXAN81 90351DAE7 1875000.00000000 PA USD 1891303.58000000 0.576352310375 Long DBT CORP CH N 2 2021-04-14 Floating 2.04810000 N N N N N N Nationstar Home Equity Loan Tr N/A 63860LAA8 698130.79440000 PA USD 688586.09000000 0.209838435278 Long ABS-MBS CORP US N 2 2037-04-25 Floating 0.36810000 N N N N N N RYDER SYSTEM INC ZXJ6Y2OSPZXIVGRILD15 78355HKG3 500000.00000000 PA USD 530394.46000000 0.161631414260 Long DBT CORP US N 2 2023-03-01 Fixed 3.40000000 N N N N N N Credit Suisse Mortgage Trust N/A 126401AA6 3350000.00000000 PA USD 3349945.06000000 1.020855982814 Long ABS-MBS CORP US N 2 2065-05-25 Variable 1.20800000 N N N N N N Bank of America, N.A. B4TYDEB6GKMZO031MB27 N/A -353500.00000000 NC -1032.11000000 -0.00031452326 N/A DFE US N 2 Bank of America, N.A. B4TYDEB6GKMZO031MB27 353500.00000000 ILS 102806.46000000 USD 2021-04-30 -1032.11000000 N N N Golub Capital Partners CLO Ltd N/A 38175BAA2 3000000.00000000 PA USD 2943322.20000000 0.896942494102 Long ABS-O CORP KY N 2 2031-02-05 Floating 1.54900000 N N N N N N Station Place Securitization T N/A 85771BAA1 6600000.00000000 PA USD 6600000.00000000 2.011271637564 Long ABS-O CORP US Y 3 2022-05-24 Floating 1.17900000 N N N N N N Encore Credit Receivables Trus N/A 29256PAX2 572293.12600000 PA USD 571639.91000000 0.174200475436 Long ABS-MBS CORP US N 2 2036-01-25 Floating 0.80810000 N N N N N N SIEMENS FINANCIERINGSMAT TAFO772JB70PDRN5VS48 82620KAQ6 2160000.00000000 PA USD 2171513.06000000 0.661742822451 Long DBT CORP NL N 2 2022-03-16 Floating 0.84730000 N N N N N N NEWFOUNDLAND T-BILL 549300CLWWW48GTPOJ49 6513ZAY58 3300000.00000000 PA 2478141.92000000 0.755184326902 Long DBT NUSS CA N 2 2020-11-05 None 0.00000000 N N N N N N MEXICO (UNITED MEXICAN STATES) (GOVERNMENT) N/A N/A 137600000.00000000 PA 6191301.13000000 1.886725509453 Long DBT NUSS MX N 2 2020-11-05 None 0.00000000 N N N N N N Newfleet CLO, Ltd. 5493003RFBB86V8THH68 65130PAN0 1402744.19990000 PA USD 1393363.07000000 0.424610852048 Long ABS-O CORP KY N 2 2028-04-20 Floating 1.22200000 N N N N N N Citibank N.A., New York E57ODZWZ7FF32TWEFA76 N/A -890000.00000000 NC 48199.25000000 0.014688149163 N/A DFE US N 2 Citibank N.A., New York E57ODZWZ7FF32TWEFA76 890000.00000000 BRL 205296.18000000 USD 2021-07-01 48199.25000000 N N N MITSUBISHI UFJ FIN GRP 353800V2V8PUY9TK3E06 606822AB0 336000.00000000 PA USD 338500.15000000 0.103153901667 Long DBT CORP JP N 2 2021-03-01 Floating 2.12600000 N N N N N N Halcyon Loan Advisors Funding 549300Q8TB5ELPAK8181 40538MAJ7 1497087.78120000 PA USD 1487825.60000000 0.453397186503 Long ABS-O CORP KY N 2 2027-10-18 Floating 1.17200000 N N N N N N Banc of America Funding Corpor N/A 05990TAG2 1600000.00000000 PA USD 1542962.24000000 0.470199422900 Long ABS-MBS CORP US N 2 2037-04-29 Floating 0.40810000 N N N N N N QUEST DIAGNOSTICS INC 8MCWUBXQ0WE04KMXBX50 74834LAS9 378000.00000000 PA USD 385865.62000000 0.117587966275 Long DBT CORP US N 2 2021-04-01 Fixed 4.70000000 N N N N N N MICROCHIP TECHNOLOGY INC 5493007PTFULNYZJ1R12 595017AQ7 1640000.00000000 PA USD 1697454.15000000 0.517278998176 Long DBT CORP US N 2 2023-09-01 Fixed 2.67000000 N N N N N N UNIFORM MBS N/A N/A 16730000.00000000 PA USD 17236868.81000000 5.252731114845 Long ABS-MBS CORP US N 2 2021-12-14 Fixed 2.00000000 N N N N N N Homeward Opportunities Fund I N/A 43789VAA6 617439.83060000 PA USD 623708.20000000 0.190067668602 Long ABS-MBS CORP US N 2 2059-09-25 Variable 2.70200000 N N N N N N Citibank N.A., New York E57ODZWZ7FF32TWEFA76 N/A 7475000.00000000 NC -100908.91000000 -0.03075079222 N/A DFE US N 2 Citibank N.A., New York E57ODZWZ7FF32TWEFA76 1420346.58000000 USD 7475000.00000000 BRL 2021-07-01 -100908.91000000 N N N Goldman Sachs International W22LROWP2IHZNBB6K528 N/A -860000.00000000 NC 49674.41000000 0.015137686658 N/A DFE US N 2 Goldman Sachs International W22LROWP2IHZNBB6K528 860000.00000000 BRL 201475.93000000 USD 2021-07-01 49674.41000000 N N N Goldman Sachs International W22LROWP2IHZNBB6K528 N/A -16545.21000000 NC -54.22000000 -0.00001652290 N/A DFE US N 2 Goldman Sachs International W22LROWP2IHZNBB6K528 16545.21000000 ILS 4794.32000000 USD 2021-02-01 -54.22000000 N N N Palmer Square Loan Funding Ltd 549300KJI7MJ3X7YQQ90 69700KAA1 1774313.02170000 PA USD 1770667.70000000 0.539589958267 Long ABS-O CORP KY N 2 2026-11-15 Floating 1.18000000 N N N N N N QUEBEC T-BILL 549300WN65YFEQH74Y36 0985ZUX28 1050000.00000000 PA 788712.66000000 0.240350818673 Long DBT NUSS CA N 2 2020-10-02 None 0.00000000 N N N N N N AASET 2018-2 Trust N/A 04546KAA6 1826042.91780000 PA USD 1698344.08000000 0.517550193777 Long ABS-O CORP US N 2 2038-11-18 Fixed 4.45400000 N N N N N N Citigroup Commercial Mortgage N/A 17327GAU8 48955647.83280000 PA USD 2585949.92000000 0.788037534887 Long ABS-MBS CORP US N 2 2051-11-10 Variable 0.95180000 N N N N N N Barclays Bank plc G5GSEF7VJP5I7OUK5573 N/A -259000.00000000 NC 64.08000000 0.000019527619 N/A DFE US N 2 BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 259000.00000000 JPY 2523.20000000 USD 2021-01-04 64.08000000 N N N MARSH & MCLENNAN COS INC 549300XMP3KDCKJXIU47 571748AR3 200000.00000000 PA USD 205068.05000000 0.062492053444 Long DBT CORP US N 2 2021-07-15 Fixed 4.80000000 N N N N N N Goldman Sachs International W22LROWP2IHZNBB6K528 N/A -333300.00000000 NC -434.54000000 -0.00013242090 N/A DFE US N 2 Goldman Sachs International W22LROWP2IHZNBB6K528 333300.00000000 ILS 97470.39000000 USD 2021-04-30 -434.54000000 N N N Marathon CLO LTD 635400LRBGQZIPTCBI09 56576QAQ1 1618482.00000000 PA USD 1590102.57000000 0.484564878766 Long ABS-O CORP KY N 2 2027-11-21 Floating 1.69700000 N N N N N N Goldman Sachs International W22LROWP2IHZNBB6K528 N/A 9145624.67000000 NC 119742.87000000 0.036490217913 N/A DFE US N 2 Goldman Sachs International W22LROWP2IHZNBB6K528 2560365.25000000 USD 9145624.67000000 ILS 2021-02-01 119742.87000000 N N N JPMorgan Chase Bank, N.A. 7H6GLXDRUGQFU57RNE97 N/A -3300000.00000000 NC -11125.37000000 -0.00339032441 N/A DFE US N 2 JPMorgan Chase Bank, N.A. 7H6GLXDRUGQFU57RNE97 3300000.00000000 CAD 2468013.06000000 USD 2020-11-05 -11125.37000000 N N N New Residential Mortgage Loan N/A 64830TAD0 1884689.59180000 PA USD 2015503.45000000 0.614200746121 Long ABS-MBS CORP US N 2 2059-10-25 Variable 3.50000000 N N N N N N PHILLIPS 66 5493005JBO5YSIGK1814 718546AS3 1100000.00000000 PA USD 1100118.05000000 0.335247913930 Long DBT CORP US N 2 2021-02-26 Floating 0.83380000 N N N N N N Residential Mortgage Loan Trus N/A 76119CAA9 2023161.30590000 PA USD 2052530.53000000 0.625484309125 Long ABS-MBS CORP US N 2 2024-02-25 Variable 2.37600000 N N N N N N Towd Point Mortgage Trust N/A 89175VAA1 1680348.42270000 PA USD 1759238.76000000 0.536107124498 Long ABS-MBS CORP US N 2 2058-03-25 Variable 3.25000000 N N N N N N Bank of America, N.A. B4TYDEB6GKMZO031MB27 N/A -4343000.00000000 NC 12228.72000000 0.003726557227 N/A DFE US N 2 Bank of America, N.A. B4TYDEB6GKMZO031MB27 4343000.00000000 ILS 1287959.67000000 USD 2021-04-30 12228.72000000 N N N SANTANDER UK PLC PTCQB104N23FMNK2RZ28 80283LAU7 1790000.00000000 PA USD 1795778.76000000 0.547242255655 Long DBT CORP GB N 2 2021-06-01 Floating 0.86600000 N N N N N N CVS HEALTH CORP 549300EJG376EN5NQE29 126650DD9 1500000.00000000 PA USD 1503750.00000000 0.458249958331 Long DBT CORP US N 2 2021-03-09 Floating 0.96180000 N N N N N N INFOR INC 549300Q3IIYBYI4RHD64 45674CAB9 780000.00000000 PA USD 790724.24000000 0.240963823795 Long DBT CORP US N 2 2023-07-15 Fixed 1.45000000 N N N N N N JPMorgan Chase Bank, N.A. 7H6GLXDRUGQFU57RNE97 N/A -36400.00000000 NC USD 45500.00000000 0.013865584774 N/A DIR US N 2 JPMorgan Chase Bank, N.A. 7H6GLXDRUGQFU57RNE97 iShares iBoxx $ High Yield Corporate Bond ETF HYG Y iShares iBoxx $ High Yield Corporate Bond ETF-Tenor Quarterly 2020-12-01 0.00000000 USD 0.00000000 USD -3053960.00000000 USD 45500.00000000 N N N ONTARIO T-BILL C7PVKCRGLG18EBQGZV36 6832Z5EU0 4600000.00000000 PA 3454345.10000000 1.052670655453 Long DBT NUSS CA N 2 2020-11-12 None 0.00000000 N N N N N N Owl Rock CLO Ltd N/A 691200AA7 1750000.00000000 PA USD 1747827.38000000 0.532629641932 Long ABS-O CORP US N 2 2029-05-20 Floating 3.17000000 N N N N N N JPMorgan Chase Bank, N.A. 7H6GLXDRUGQFU57RNE97 N/A -400000.00000000 NC 24417.80000000 0.007441034635 N/A DFE US N 2 JPMorgan Chase Bank, N.A. 7H6GLXDRUGQFU57RNE97 400000.00000000 BRL 95023.16000000 USD 2021-07-01 24417.80000000 N N N ZIMMER BIOMET HOLDINGS 2P2YLDVPES3BXQ1FRB91 98956PAP7 2000000.00000000 PA USD 2000351.70000000 0.609583430206 Long DBT CORP US N 2 2021-03-19 Floating 0.97740000 N N N N N N Venture CDO Ltd 549300C7PSULF5Z6ZE61 92329JAY5 1771150.70850000 PA USD 1757975.83000000 0.535722261576 Long ABS-O CORP KY N 2 2026-02-28 Floating 1.05600000 N N N N N N BRAZIL FEDERATIVE REPUBLIC OF (GOVERNMENT) N/A N/A 16800000.00000000 PA 2960811.29000000 0.902272086630 Long DBT NUSS BR N 2 2021-04-01 None 0.00000000 N N N N N N BUNGE LTD FINANCE CORP 549300QHC068L40NNM71 120568AY6 450000.00000000 PA USD 467787.14000000 0.142552576833 Long DBT CORP US N 2 2022-09-25 Fixed 3.00000000 N N N N N N Citigroup Mortgage Loan Trust N/A 17312BAE2 850957.15540000 PA USD 844535.75000000 0.257362242558 Long ABS-MBS CORP US N 2 2037-03-25 Floating 0.54810000 N N N N N N Countrywide Asset-Backed Certi N/A 126670ZH4 1919393.73400000 PA USD 1897202.47000000 0.578149927065 Long ABS-MBS CORP US N 2 2036-09-25 Floating 0.31810000 N N N N N N Morgan Stanley Home Equity Loa N/A 61744CYP5 1017809.76070000 PA USD 1004046.02000000 0.305971103459 Long ABS-MBS CORP US N 2 2036-02-25 Floating 0.42810000 N N N N N N GOLDMAN SACHS GROUP INC 784F5XWPLTWKTBV3E584 38143U8G9 1000000.00000000 PA USD 1006944.40000000 0.306854350352 Long DBT CORP US N 2 2021-02-25 Floating 2.02000000 N N N N N N HarborView Mortgage Loan Trust N/A 41162NAC1 950653.20700000 PA USD 849960.87000000 0.259015483465 Long ABS-MBS CORP US N 2 2047-01-25 Floating 0.30600000 N N N N N N Grand Avenue CRE 2020-FL2 Ltd. N/A 38522HAA9 1000000.00000000 PA USD 1007965.70000000 0.307165579401 Long ABS-O CORP KY N 2 2035-03-15 Floating 2.60240000 N N N N N N GPMT Ltd. N/A 36259BAA5 3000000.00000000 PA USD 2973895.20000000 0.906259252856 Long ABS-O CORP KY N 2 2036-02-22 Floating 1.45600000 N N N N N N Madison Avenue Secured Funding N/A 55661HAA4 800000.00000000 PA USD 800000.00000000 0.243790501523 Long ABS-O CORP US Y 3 2020-11-11 Floating 1.65130000 N N N N N N Cascade Funding Mortgage Trust N/A 14727QAA3 1362802.32410000 PA USD 1413637.17000000 0.430789143307 Long ABS-MBS CORP US Y 2 2068-10-25 Variable 4.00000000 N N N N N N Citibank N.A., New York E57ODZWZ7FF32TWEFA76 N/A -400000.00000000 NC 23099.98000000 0.007039444636 N/A DFE US N 2 Citibank N.A., New York E57ODZWZ7FF32TWEFA76 400000.00000000 BRL 93705.34000000 USD 2021-07-01 23099.98000000 N N N SUMITOMO MITSUI FINL GRP 35380028MYWPB6AUO129 86562MAD2 2158000.00000000 PA USD 2172802.37000000 0.662135724365 Long DBT CORP JP N 2 2021-03-09 Floating 1.92180000 N N N N N N Wind River CLO Ltd 54930043UF2EELTNOD60 87244ABL3 314338.21420000 PA USD 313775.05000000 0.095619221006 Long ABS-O CORP KY N 2 2026-01-15 Floating 1.15500000 N N N N N N FBR Securitization Trust N/A 30246QAH6 616185.73580000 PA USD 613873.81000000 0.187070755014 Long ABS-MBS CORP US N 2 2035-09-25 Floating 0.89810000 N N N N N N CNH INDUSTRIAL CAP LLC 549300PNSJ5B81UMVO28 12592BAK0 1520000.00000000 PA USD 1548497.93000000 0.471886358702 Long DBT CORP US N 2 2023-07-02 Fixed 1.95000000 N N N N N N New Residential Advance Receiv 549300RNWDDBV4LFKJ17 62942QCW1 2550000.00000000 PA USD 2554106.01000000 0.778333481401 Long ABS-MBS CORP US N 2 2053-09-15 Fixed 1.47540000 N N N N N N BENCHMARK Mortgage Trust N/A 08162YAK8 24925995.22230000 PA USD 1299307.38000000 0.395948497253 Long ABS-MBS CORP US N 2 2062-12-15 Variable 0.91500000 N N N N N N VIACOMCBS INC 5KYC8KF17ROCY24M3H09 92553PAT9 850000.00000000 PA USD 925972.83000000 0.282179225777 Long DBT CORP US N 2 2023-09-01 Fixed 4.25000000 N N N N N N Palmer Square Loan Funding Ltd N/A 69689LAA4 783171.28150000 PA USD 781625.85000000 0.238191197468 Long ABS-O CORP KY N 2 2027-08-20 Floating 1.10300000 N N N N N N Wind River CLO Ltd 2549008107XSHXNMJI27 88432GAL1 1215614.24400000 PA USD 1207722.96000000 0.368039232649 Long ABS-O CORP KY N 2 2027-10-15 Floating 1.14500000 N N N N N N Goldman Sachs International W22LROWP2IHZNBB6K528 N/A -316500.00000000 NC 113.56000000 0.000034606061 N/A DFE US N 2 Goldman Sachs International W22LROWP2IHZNBB6K528 316500.00000000 ILS 93769.44000000 USD 2022-01-31 113.56000000 N N N MARRIOTT INTERNATIONAL 225YDZ14ZO8E1TXUSU86 571900BA6 600000.00000000 PA USD 597564.89000000 0.182100805282 Long DBT CORP US N 2 2021-03-08 Floating 0.89800000 N N N N N N VB-S1 Issuer LLC N/A 91823AAN1 3300000.00000000 PA USD 3439526.97000000 1.048155006272 Long ABS-O CORP US N 2 2050-06-15 Fixed 3.03100000 N N N N N N SIRIUS XM RADIO INC WP5O65E6BMU84LNO4227 82967NAY4 400000.00000000 PA USD 404250.00000000 0.123190387800 Long DBT CORP US N 2 2022-08-01 Fixed 3.87500000 N N N N N N Cronos Containers Program LTD 549300MPYH4CSGCW6113 227170AE7 775000.00000000 PA USD 774647.69000000 0.236064686060 Long ABS-O CORP BM N 2 2028-04-18 Fixed 3.08000000 N N N N N N 610 Funding CLO 3 Ltd 549300JEA0UEC1002Z71 36656AAE8 2550000.00000000 PA USD 2543973.84000000 0.775245822893 Long ABS-O CORP KY N 2 2028-07-17 Floating 1.52300000 N N N N N N FRANCE (REPUBLIC OF) N/A N/A 8470000.00000000 PA 9935118.86000000 3.027609511962 Long DBT NUSS FR N 2 2020-10-07 None 0.00000000 N N N N N N Barclays Bank plc G5GSEF7VJP5I7OUK5573 N/A -22500.00000000 NC USD 38025.00000000 0.011587667275 N/A DIR GB N 2 BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 iShares iBoxx $ Investment Grade Corporate Bond ETF LQD Y iShares iBoxx $ Investment Grade Corporate Bond ETF-Tenor Monthly 2020-10-06 0.00000000 USD 0.00000000 USD -3030975.00000000 USD 38025.00000000 N N N MARATHON PETROLEUM CORP 3BNYRYQHD39K4LCKQF12 56585AAL6 170000.00000000 PA USD 170529.18000000 0.051966742895 Long DBT CORP US N 2 2020-12-15 Fixed 3.40000000 N N N N N N CAPITAL ONE FINANCIAL CO ZUE8T73ROZOF6FLBAR73 14040HBS3 2525000.00000000 PA USD 2525000.00000000 0.769463770432 Long DBT CORP US N 2 2020-10-30 Floating 0.71800000 N N N N N N JPMorgan Chase Bank, N.A. 7H6GLXDRUGQFU57RNE97 N/A -1930000.00000000 NC -7615.70000000 -0.00232079415 N/A DFE US N 2 JPMorgan Chase Bank, N.A. 7H6GLXDRUGQFU57RNE97 1930000.00000000 CAD 1442155.01000000 USD 2020-10-07 -7615.70000000 N N N AUST & NZ BANKING GROUP JHE42UYNWWTJB8YTTU19 05252ACL3 3675000.00000000 PA USD 3696888.89000000 1.126582995709 Long DBT CORP AU N 2 2021-06-01 Floating 1.23600000 N N N N N N Global SC Finance SRL N/A 37952UAD5 2683333.33330000 PA USD 2727523.81000000 0.831180496944 Long ABS-O CORP BB N 2 2029-07-17 Fixed 3.19000000 N N N N N N Bank of America, N.A. B4TYDEB6GKMZO031MB27 N/A -316500.00000000 NC 177.50000000 0.000054091017 N/A DFE US N 2 Bank of America, N.A. B4TYDEB6GKMZO031MB27 316500.00000000 ILS 93833.38000000 USD 2022-01-31 177.50000000 N N N Mountain View CLO Ltd 549300XBX1AOMDRAHZ12 62431XAU0 2390856.97720000 PA USD 2375916.99000000 0.724032493211 Long ABS-O CORP KY N 2 2026-10-15 Floating 1.07500000 N N N N N N Citibank N.A., New York E57ODZWZ7FF32TWEFA76 N/A 7587000.00000000 NC -128950.81000000 -0.03929622830 N/A DFE US N 2 Citibank N.A., New York E57ODZWZ7FF32TWEFA76 1468157.98000000 USD 7587000.00000000 BRL 2021-07-01 -128950.81000000 N N N Avery Point CLO Ltd 549300V091GOUE8M6G49 05363XAP2 3000000.00000000 PA USD 2974429.50000000 0.906422074437 Long ABS-O CORP KY N 2 2026-07-17 Floating 1.77290000 N N N N N N Goldman Sachs International W22LROWP2IHZNBB6K528 N/A -1393800.00000000 NC -621.69000000 -0.00018945264 N/A DFE US N 2 Goldman Sachs International W22LROWP2IHZNBB6K528 1393800.00000000 ILS 408798.94000000 USD 2021-04-30 -621.69000000 N N N TYCO ELECTRONICS GROUP S C33G1C5SYE2YM95EE712 902133AK3 40000.00000000 PA USD 40481.34000000 0.012336207726 Long DBT CORP LU N 2 2021-01-15 Fixed 4.87500000 N N N N N N NewStar Clarendon Fund CLO LLC 549300HC3VVP80NTKX35 32010AAA6 1113728.96970000 PA USD 1108716.86000000 0.337868299183 Long ABS-O CORP US N 2 2027-01-25 Floating 1.54500000 N N N N N N Golub Capital Partners CLO Ltd N/A 38175JAA5 300000.00000000 PA USD 296781.81000000 0.090440732878 Long ABS-O CORP KY N 2 2030-10-25 Floating 1.89500000 N N N N N N JPMorgan Chase Bank, N.A. 7H6GLXDRUGQFU57RNE97 N/A -7559000.00000000 NC 104238.38000000 0.031765408672 N/A DFE US N 2 JPMorgan Chase Bank, N.A. 7H6GLXDRUGQFU57RNE97 7559000.00000000 GBP 9858198.35000000 USD 2020-10-05 104238.38000000 N N N Starwood Mortgage Residential N/A 85573AAA3 1233782.65370000 PA USD 1256362.85000000 0.382861661620 Long ABS-MBS CORP US N 2 2050-02-25 Variable 2.27500000 N N N N N N BRAVO Residential Funding Trus N/A 10568HAA3 1003032.74340000 PA USD 1023572.85000000 0.311921673058 Long ABS-MBS CORP US N 2 2059-07-25 Variable 2.66600000 N N N N N N New Residential Advance Receiv N/A 62942QCL5 2500000.00000000 PA USD 2489650.25000000 0.758691353830 Long ABS-MBS CORP US N 2 2051-10-15 Fixed 2.42500000 N N N N N N CITIGROUP INC 6SHGI4ZSSLCXXQSBB395 172967KL4 750000.00000000 PA USD 754676.98000000 0.229978849302 Long DBT CORP US N 2 2021-03-30 Floating 1.60040000 N N N N N N JPMorgan Chase Bank, N.A. 7H6GLXDRUGQFU57RNE97 N/A -1050000.00000000 NC 14276.69000000 0.004350651768 N/A DFE US N 2 JPMorgan Chase Bank, N.A. 7H6GLXDRUGQFU57RNE97 1050000.00000000 CAD 802997.24000000 USD 2020-10-02 14276.69000000 N N N Citibank N.A., New York E57ODZWZ7FF32TWEFA76 N/A -6645000.00000000 NC -20119.21000000 -0.00613109037 N/A DFE US N 2 Citibank N.A., New York E57ODZWZ7FF32TWEFA76 6645000.00000000 CAD 4971486.34000000 USD 2020-10-09 -20119.21000000 N N N Goldman Sachs International W22LROWP2IHZNBB6K528 N/A -16800000.00000000 NC 173311.66000000 0.052814670638 N/A DFE US N 2 Goldman Sachs International W22LROWP2IHZNBB6K528 16800000.00000000 BRL 3152857.28000000 USD 2021-04-01 173311.66000000 N N N JAPAN (GOVERNMENT OF) N/A N/A 1044000000.00000000 PA 9897708.48000000 3.016209142834 Long DBT NUSS JP N 2 2020-10-19 None 0.00000000 N N N N N N DENALI CAPITAL CLO XI LTD 254900ENG873HFQYVK56 24823DAS5 5000000.00000000 PA USD 4974420.00000000 1.515895433232 Long ABS-O CORP KY N 2 2028-10-20 Floating 1.40200000 N N N N N N Citibank N.A., New York E57ODZWZ7FF32TWEFA76 N/A -45.21000000 NC -0.43000000 -0.00000013103 N/A DFE US N 2 Citibank N.A., New York E57ODZWZ7FF32TWEFA76 45.21000000 ILS 12.82000000 USD 2021-02-01 -0.43000000 N N N Deephaven Residential Mortgage N/A 24381NAA6 585663.68820000 PA USD 593699.99000000 0.180923022895 Long ABS-MBS CORP US N 2 2059-07-25 Variable 2.96400000 N N N N N N JPMorgan Chase Bank, N.A. 7H6GLXDRUGQFU57RNE97 N/A 5777200.00000000 NC 69180.02000000 0.021081789713 N/A DFE US N 2 JPMorgan Chase Bank, N.A. 7H6GLXDRUGQFU57RNE97 1627838.83000000 USD 5777200.00000000 ILS 2021-04-30 69180.02000000 N N N Towd Point Mortgage Trust N/A 89169EAA7 1587045.66790000 PA USD 1584108.36000000 0.482738214439 Long ABS-MBS CORP US N 2 2057-02-25 Floating 0.74810000 N N N N N N Carlyle Global Market Strategi 549300ZZB4XZS815E007 14311FAN1 1985207.96200000 PA USD 1970483.48000000 0.600481444790 Long ABS-O CORP KY N 2 2027-04-27 Floating 1.02500000 N N N N N N GLOBAL PAYMENTS INC 549300NOMHGVQBX6S778 891906AD1 1100000.00000000 PA USD 1114658.49000000 0.339678940379 Long DBT CORP US N 2 2021-04-01 Fixed 3.80000000 N N N N N N Goldman Sachs International W22LROWP2IHZNBB6K528 N/A -686000000.00000000 NC 3800.33000000 0.001158105445 N/A DFE US N 2 Goldman Sachs International W22LROWP2IHZNBB6K528 686000000.00000000 JPY 6509940.95000000 USD 2020-11-09 3800.33000000 N N N CIT Mortgage Loan Trust N/A 12559QAA0 952415.74540000 PA USD 955124.32000000 0.291062796237 Long ABS-MBS CORP US N 2 2037-10-25 Floating 1.49810000 N N N N N N Credit Suisse Mortgage Trust N/A 12648ELS9 926157.32600000 PA USD 905761.30000000 0.276020001983 Long ABS-MBS CORP US N 2 2046-02-27 Floating 0.37510000 N N N N N N BofA Securities, Inc. 549300HN4UKV1E2R3U73 N/A -15400000.00000000 OU Notional Amount USD 911.83000000 0.000277869366 N/A DIR US N 2 BOFA SECURITIES, INC. 549300HN4UKV1E2R3U73 ICE LIBOR USD 3 Month US0003M Y 2023-09-22 335.41000000 USD 0.00000000 USD -15400000.00000000 USD 576.42000000 N N N BNP Paribas R0MUWSFPU8MPRO8K5P83 N/A -40500.00000000 NC USD 102870.00000000 0.031348411114 N/A DIR FR N 2 BNP Paribas R0MUWSFPU8MPRO8K5P83 iShares iBoxx $ Investment Grade Corporate Bond ETF LQD Y iShares iBoxx $ Investment Grade Corporate Bond ETF-Tenor Semi Annually 2021-02-17 0.00000000 USD 0.00000000 USD -5455755.00000000 USD 102870.00000000 N N N Citigroup Mortgage Loan Trust N/A 17328BAA2 640534.68630000 PA USD 651250.90000000 0.198460979410 Long ABS-MBS CORP US N 2 2049-07-25 Variable 2.72000000 N N N N N N SPAIN (KINGDOM OF) N/A N/A 850000.00000000 PA 997075.89000000 0.303847039099 Long DBT NUSS ES N 2 2020-10-09 None 0.00000000 N N N N N N VALERO ENERGY CORP 549300XTO5VR8SKV1V74 91913YBA7 1650000.00000000 PA USD 1643009.94000000 0.500687771599 Long DBT CORP US N 2 2024-03-15 Fixed 1.20000000 N N N N N N Goldman Sachs International W22LROWP2IHZNBB6K528 N/A 187512.38000000 NC 3101.02000000 0.000944999026 N/A DFE US N 2 Goldman Sachs International W22LROWP2IHZNBB6K528 51849.13000000 USD 187512.38000000 ILS 2021-02-01 3101.02000000 N N N Sapphire Aviation Finance I Li N/A 80307AAA7 916572.05310000 PA USD 826476.04000000 0.251858760360 Long ABS-O CORP US N 2 2040-03-15 Fixed 3.22800000 N N N N N N Nationstar HECM Loan Trust N/A 63862UAA6 520181.91840000 PA USD 521523.99000000 0.158928243847 Long ABS-MBS CORP US Y 2 2029-11-26 Variable 2.27200000 N N N N N N Acis CLO LTD 549300KBPN4VDPV9ZF83 00452PAA5 681304.13830000 PA USD 680663.51000000 0.207424123089 Long ABS-O CORP KY N 2 2027-05-01 Floating 1.84100000 N N N N N N JPMorgan Chase Bank, N.A. 7H6GLXDRUGQFU57RNE97 N/A 538500.00000000 NC -115.52000000 -0.00003520334 N/A DFE US N 2 JPMorgan Chase Bank, N.A. 7H6GLXDRUGQFU57RNE97 5228.41000000 USD 538500.00000000 JPY 2021-01-04 -115.52000000 N N N Structured Asset Securities Co N/A 86360PAD9 15208.94160000 PA USD 15191.09000000 0.004629304312 Long ABS-MBS CORP US N 2 2036-05-25 Floating 0.29810000 N N N N N N CIM Trust N/A 17181FAA9 3594250.07340000 PA USD 3712179.22000000 1.131242542233 Long ABS-MBS CORP US N 2 2057-12-26 Variable 4.07000000 N N N N N N BDS Ltd N/A 05549VAA6 468976.21330000 PA USD 466050.27000000 0.142023286322 Long ABS-O CORP US N 2 2035-08-15 Floating 1.10100000 N N N N N N New Residential Mortgage Loan 549300U1MV4J7YQZG974 64828CAG4 2214069.72050000 PA USD 2338562.88000000 0.712649271697 Long ABS-MBS CORP US N 2 2058-02-25 Variable 3.50000000 N N N N N N Structured Asset Investment Lo N/A 86358ERB4 464510.19500000 PA USD 463007.69000000 0.141096096192 Long ABS-MBS CORP US N 2 2035-03-25 Floating 0.88310000 N N N N N N Goldman Sachs International W22LROWP2IHZNBB6K528 N/A -2407925.00000000 NC -46758.69000000 -0.01424915560 N/A DFE US N 2 Goldman Sachs International W22LROWP2IHZNBB6K528 2407925.00000000 EUR 2797105.88000000 USD 2021-07-30 -46758.69000000 N N N EXPRESS SCRIPTS HOLDING 5493003UA6VMND084504 30219GAS7 3825000.00000000 PA USD 3825851.60000000 1.165882850395 Long DBT CORP US N 2 2020-11-30 Floating 1.00590000 N N N N N N UNIFORM MBS N/A N/A 2450000.00000000 PA USD 2506847.35000000 0.763931965872 Long ABS-MBS CORP US N 2 2021-10-19 Fixed 1.50000000 N N N N N N LEVEL 3 FINANCING INC N/A 527298BK8 800000.00000000 PA USD 804204.00000000 0.245071620608 Long DBT CORP US N 2 2024-01-15 Fixed 5.37500000 N N N N N N Citibank N.A., New York E57ODZWZ7FF32TWEFA76 N/A -3800000.00000000 NC 281415.26000000 0.085757959214 N/A DFE US N 2 Citibank N.A., New York E57ODZWZ7FF32TWEFA76 3800000.00000000 BRL 952166.18000000 USD 2021-07-01 281415.26000000 N N N Flagship CLO N/A 338422AU2 5100000.00000000 PA USD 4945289.46000000 1.507018247037 Long ABS-O CORP KY N 2 2026-01-16 Floating 2.07100000 N N N N N N Goldman Sachs International W22LROWP2IHZNBB6K528 N/A 3587000.00000000 NC 66150.33000000 0.020158527658 N/A DFE US N 2 Goldman Sachs International W22LROWP2IHZNBB6K528 995283.02000000 USD 3587000.00000000 ILS 2022-01-31 66150.33000000 N N N Goldman Sachs International W22LROWP2IHZNBB6K528 N/A -316500.00000000 NC -731.63000000 -0.00022295555 N/A DFE US N 2 Goldman Sachs International W22LROWP2IHZNBB6K528 316500.00000000 ILS 92924.25000000 USD 2022-01-31 -731.63000000 N N N Novastar Home Equity Loan N/A 66989EAA3 2400630.98560000 PA USD 2290074.97000000 0.697873156827 Long ABS-MBS CORP US N 2 2037-09-25 Floating 0.34800000 N N N N N N Ocwen Master Advance Receivabl 549300THGK42AVJMPW70 67575NBW2 2800000.00000000 PA USD 2810508.40000000 0.856469065463 Long ABS-MBS CORP US N 2 2052-08-15 Fixed 1.27750000 N N N N N N MidOcean Credit CLO 54930034HUS73O8CWR90 59801QAJ8 540555.68980000 PA USD 537768.75000000 0.163878641582 Long ABS-O CORP KY N 2 2027-04-15 Floating 1.07500000 N N N N N N Morgan Stanley Capital Services LLC I7331LVCZKQKX5T7XV54 N/A -1044000000.00000000 NC -7713.05000000 -0.00235046040 N/A DFE US N 2 Morgan Stanley Capital Services LLC I7331LVCZKQKX5T7XV54 1044000000.00000000 JPY 9891374.89000000 USD 2020-10-19 -7713.05000000 N N N SYSCO CORPORATION 5RGWIFLMGH3YS7KWI652 871829BP1 2450000.00000000 PA USD 2897376.17000000 0.882940986981 Long DBT CORP US N 2 2025-04-01 Fixed 5.65000000 N N N N N N GoldenTree Loan Management US N/A 38136FAU7 1500000.00000000 PA USD 1494864.15000000 0.455542101046 Long ABS-O CORP KY N 2 2029-04-20 Floating 1.22200000 N N N N N N Citibank N.A., New York E57ODZWZ7FF32TWEFA76 N/A -3800000.00000000 NC 235046.18000000 0.071627532629 N/A DFE US N 2 Citibank N.A., New York E57ODZWZ7FF32TWEFA76 3800000.00000000 BRL 905797.10000000 USD 2021-07-01 235046.18000000 N N N New Residential Advance Receiv N/A 62942QCF8 3000000.00000000 PA USD 3021534.00000000 0.920776611536 Long ABS-MBS CORP US N 2 2051-10-15 Fixed 2.32900000 N N N N N N ABBVIE INC FR5LCKFTG8054YNNRU85 00287YBT5 1150000.00000000 PA USD 1151139.65000000 0.350796140745 Long DBT CORP US N 2 2021-05-21 Floating 0.59690000 N N N N N N Verus Securitization Trust N/A 92537KAB0 880097.39150000 PA USD 899900.20000000 0.274233901348 Long ABS-MBS CORP US N 2 2059-11-25 Variable 2.84600000 N N N N N N Citibank N.A., New York E57ODZWZ7FF32TWEFA76 N/A -5130800.00000000 NC 12554.09000000 0.003825709871 N/A DFE US N 2 Citibank N.A., New York E57ODZWZ7FF32TWEFA76 5130800.00000000 ILS 1519696.70000000 USD 2021-04-30 12554.09000000 N N N Telos CLO Ltd 549300S94NIRW4K03T89 87970UAS5 3285138.79740000 PA USD 3281617.46000000 1.000033957975 Long ABS-O CORP KY N 2 2027-01-17 Floating 1.54300000 N N N N N N Babson CLO Ltd 549300SCEOLR3BTPYX35 05618DAJ3 56303.49190000 PA USD 56302.17000000 0.017157417826 Long ABS-O CORP KY N 2 2025-07-20 Floating 1.42180000 N N N N N N Homeward Opportunities Fund I N/A 43800KAA5 1233555.60710000 PA USD 1251117.00000000 0.381263051117 Long ABS-MBS CORP US N 2 2059-11-25 Variable 2.67500000 N N N N N N Shackleton CLO LTD 549300VJPG28RMYCYW83 81882EAN2 4501161.02210000 PA USD 4456835.39000000 1.358167668667 Long ABS-O CORP KY N 2 2027-10-20 Floating 1.19180000 N N N N N N Verus Securitization Trust N/A 92537KAA2 1662761.77770000 PA USD 1695396.47000000 0.516651944627 Long ABS-MBS CORP US N 2 2059-11-25 Variable 2.64200000 N N N N N N JPMorgan Chase Bank, N.A. 7H6GLXDRUGQFU57RNE97 N/A 1077538500.00000000 NC -264346.81000000 -0.08055655173 N/A DFE US N 2 JPMorgan Chase Bank, N.A. 7H6GLXDRUGQFU57RNE97 10521295.71000000 USD 1077538500.00000000 JPY 2021-07-01 -264346.81000000 N N N Home Equity Loan Trust N/A 43710XAA6 2989698.18480000 PA USD 2805271.48000000 0.854873176271 Long ABS-MBS CORP US N 2 2037-04-25 Floating 0.33800000 N N N N N N GENERAL MILLS INC 2TGYMUGI08PO8X8L6150 370334CB8 3650000.00000000 PA USD 3656599.78000000 1.114305367793 Long DBT CORP US N 2 2021-04-16 Floating 0.81090000 N N N N N N Mountain Hawk CLO Ltd 549300X4VFRMZJ7T1U89 62405TAU1 1070197.41870000 PA USD 1067345.34000000 0.325260819671 Long ABS-O CORP KY N 2 2024-07-20 Floating 1.87180000 N N N N N N JPMDB Commercial Mortgage Secu N/A 46591ABC8 49639656.93630000 PA USD 1725742.53000000 0.525899546110 Long ABS-MBS CORP US N 2 2051-06-15 Variable 0.80120000 N N N N N N West CLO Ltd 2549008FQ6ZWGP8NJZ96 951680AJ6 882418.37460000 PA USD 881951.49000000 0.268764245082 Long ABS-O CORP KY N 2 2026-07-18 Floating 1.19180000 N N N N N N 2020-10-30 Guggenheim Strategy Funds Trust John Sullivan John Sullivan CFO