0001752724-21-188192.txt : 20210827
0001752724-21-188192.hdr.sgml : 20210827
20210827091443
ACCESSION NUMBER: 0001752724-21-188192
CONFORMED SUBMISSION TYPE: NPORT-P
PUBLIC DOCUMENT COUNT: 1
CONFORMED PERIOD OF REPORT: 20210630
FILED AS OF DATE: 20210827
PERIOD START: 20211231
FILER:
COMPANY DATA:
COMPANY CONFORMED NAME: Six Circles Trust
CENTRAL INDEX KEY: 0001724826
IRS NUMBER: 000000000
STATE OF INCORPORATION: DE
FISCAL YEAR END: 1231
FILING VALUES:
FORM TYPE: NPORT-P
SEC ACT: 1940 Act
SEC FILE NUMBER: 811-23325
FILM NUMBER: 211214423
BUSINESS ADDRESS:
STREET 1: C/O J.P. MORGAN PRIVATE INVESTMENTS INC.
STREET 2: 383 MADISON AVENUE
CITY: NEW YORK
STATE: NY
ZIP: 10179
BUSINESS PHONE: 212-270-6000
MAIL ADDRESS:
STREET 1: C/O J.P. MORGAN PRIVATE INVESTMENTS INC.
STREET 2: 277 PARK AVENUE
CITY: NEW YORK
STATE: NY
ZIP: 10172
FORMER COMPANY:
FORMER CONFORMED NAME: 23Wall Trust
DATE OF NAME CHANGE: 20171208
0001724826
S000061648
Six Circles Tax Aware Ultra Short Duration Fund
C000199640
Six Circles Tax Aware Ultra Short Duration Fund
CUTAX
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1
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0001724826
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S000061648
C000199640
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811-23325
0001724826
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NY
10179
212-464-2070
Six Circles Tax Aware Ultra Short Duration Fund
S000061648
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2021-12-31
2021-06-30
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0.00000000
0.00000000
0.00000000
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0.00000000
0.00000000
0.00000000
0.00000000
4833205.29000000
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CAD
JPY
USD
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N/A
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302154CX5
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USD
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0.167081060098
Long
DBT
USGA
KR
N
2
2022-06-25
Variable
0.67225000
N
N
N
N
N
N
GSMBS 2021-RPL1 V/R 12/25/60
N/A
GS MORTGAGE-BACKED SECURITIES CORP TRUST 2021 SER 2021-RPL1 CL A1 V/R REGD 144A P/P 1.75000000
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380779.02000000
NS
USD
386463.33000000
0.064353590583
Long
ABS-CBDO
CORP
US
Y
2
2060-12-25
Variable
1.75000000
N
N
N
N
N
N
JAPAN TREASU ZCP 08/10/21/JPY/
N/A
JAPAN TREASURY DISC BILL /JPY/ REGD ZCP SER 992 0.00000000
J2S39LMZ4
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PA
6778741.87000000
1.128791129989
Long
STIV
USGA
JP
N
2
2021-08-10
Fixed
0.00000000
N
N
N
N
N
N
DOMINION ENERGY I V/R 09/15/23
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25746UDH9
800000.00000000
NS
USD
800311.85000000
0.133267342942
Long
DBT
CORP
US
N
2
2023-09-15
Variable
0.64888000
N
N
N
N
N
N
OSCAR 2019-2A 2.68% 08/12/24
N/A
OSCAR US FUNDING XI LLC SER 2019-2A CL A4 REGD 144A P/P 2.68000000
68784EAD0
350000.00000000
NS
USD
364150.12000000
0.060638011200
Long
ABS-CBDO
CORP
JP
Y
2
2026-09-10
Fixed
2.68000000
N
N
N
N
N
N
NATWEST MARKETS P V/R 09/29/22
N/A
NATWEST MARKETS PLC REGD V/R 144A P/P 1.71161300
63906AAB6
2360000.00000000
NS
USD
2403129.50000000
0.400167363773
Long
DBT
CORP
GB
Y
2
2022-09-29
Variable
1.71161300
N
N
N
N
N
N
MISSOURI ST HLTH V/R 06/01/36
549300IWTBCMX5JB3277
MISSOURI ST HLTH & EDUCTNL FAC REGD V/R B/E 0.01000000
60637AMU3
2635000.00000000
NS
USD
2635000.00000000
0.438778269561
Long
DBT
MUN
US
N
2
2036-06-01
Variable
0.01000000
N
N
N
N
N
N
HARRIS CNTY TX 5% 10/01/22
549300G9BRP25M0W1S40
HARRIS CNTY TX REGD N/C B/E 5.00000000
414005A40
1660000.00000000
NS
USD
1760943.77000000
0.293231066487
Long
DBT
MUN
US
N
2
2022-10-01
Fixed
5.00000000
N
N
N
N
N
N
LOS ANGELES CNTY C 4% 06/30/22
254900NGUPWO7FB6II89
LOS ANGELES CNTY CA REGD N/C B/E 4.00000000
544657HY8
1000000.00000000
PA
USD
1038665.50000000
0.172957818118
Long
STIV
MUN
US
N
2
2022-06-30
Fixed
4.00000000
N
N
N
N
N
N
PHOENIXVILLE PA AR 4% 11/15/22
N/A
PHOENIXVILLE PA AREA SCH DIST REGD N/C B/E ST AID 4.00000000
719189A28
1000000.00000000
NS
USD
1051456.90000000
0.175087832675
Long
DBT
MUN
US
N
2
2022-11-15
Fixed
4.00000000
N
N
N
N
N
N
VIRGINIA ST PORT A 5% 07/01/21
N/A
VIRGINIA ST PORT AUTH PORT FAC REGD N/C B/E AMT 5.00000000
928077HW9
1405000.00000000
NS
USD
1405000.00000000
0.233959570677
Long
DBT
MUN
US
N
2
2021-07-01
Fixed
5.00000000
N
N
N
N
N
N
QNB FINANCE LTD V/R 05/02/22
N/A
QNB FINANCE LTD REGD V/R EMTN 1.17563000
G7302VHR8
1100000.00000000
NS
USD
1103552.75000000
0.183762795451
Long
DBT
CORP
KY
N
2
2022-05-02
Variable
1.17563000
N
N
N
N
N
N
CASH COLLATERAL CME CDS SAL USD
N/A
CASH COLLATERAL CME CDS SAL USD 0.00000000
N/A
57000.00000000
NS
USD
57000.00000000
0.009491598240
Long
STIV
CORP
US
N
2
2049-12-31
Floating
0.00000000
N
N
N
N
N
N
NEW HAMPSHIRE ST V/R 07/01/33
549300CNCK7OT82W5653
NEW HAMPSHIRE ST HLTH & EDU FA REGD V/R B/E 0.01000000
644614XP9
3420000.00000000
NS
USD
3420000.00000000
0.569495894459
Long
DBT
MUN
US
N
2
2033-07-01
Variable
0.01000000
N
N
N
N
N
N
TEXAS ST 4% 08/26/21
549300X9CH74QB747L76
TEXAS ST REGD N/C B/E 4.00000000
882724SY4
11900000.00000000
PA
USD
11971448.79000000
1.993476882057
Long
STIV
MUN
US
N
2
2021-08-26
Fixed
4.00000000
N
N
N
N
N
N
BOEING CO 1.167% 02/04/23
RVHJWBXLJ1RFUBSY1F30
BOEING CO REGD 1.16700000
097023DD4
800000.00000000
NS
USD
803701.86000000
0.133831844923
Long
DBT
CORP
US
N
2
2023-02-04
Fixed
1.16700000
N
N
N
N
N
N
NEW YORK CITY NY T 5% 11/01/23
N/A
NEW YORK CITY NY TRANSITIONAL REGD N/C B/E 5.00000000
64971XYW2
1000000.00000000
NS
USD
1111253.70000000
0.185045152003
Long
DBT
MUN
US
N
2
2023-11-01
Fixed
5.00000000
N
N
N
N
N
N
INDIANAPOLIS IN LO 5% 01/01/22
549300LX8ESJHDSESB87
INDIANAPOLIS IN LOCAL PUBLIC I REGD N/C B/E AMT 5.00000000
45528UD24
3085000.00000000
NS
USD
3155750.77000000
0.525493306272
Long
DBT
MUN
US
N
2
2022-01-01
Fixed
5.00000000
N
N
N
N
N
N
NRZT 2018-3A A1 V/R 05/25/58
N/A
NEW RESIDENTIAL MORTGAGE LOAN TRUST 2018-3 SER 2018-3A CL A1 V/R REGD 144A P/P 4.50000000
64830KAA5
170314.95000000
NS
USD
184746.43000000
0.030763840175
Long
ABS-CBDO
CORP
US
Y
2
2058-05-25
Variable
4.50000000
N
N
N
N
N
N
CALIFORNIA ST 5% 10/01/22
N/A
CALIFORNIA ST REGD N/C B/E 5.00000000
13063B5B4
1000000.00000000
NS
USD
1060679.50000000
0.176623573271
Long
DBT
MUN
US
N
2
2022-10-01
Fixed
5.00000000
N
N
N
N
N
N
SK BROADBAND C 3.875% 08/13/23
N/A
SK BROADBAND CO LTD REGD REG S 3.87500000
Y8065GAU6
200000.00000000
NS
USD
212642.10000000
0.035409006707
Long
DBT
CORP
KR
N
2
2023-08-13
Fixed
3.87500000
N
N
N
N
N
N
F/C US 5YR NOTE (CBT) SEP21
N/A
FUTURE CONTRACT ON US 5YR NOTE (CBT) SEP21 0.00000000
N/A
-176.00000000
NC
USD
-21723625.09000000
-3.61740213495
N/A
DIR
CORP
US
N
1
CITIGROUP GLOBAL MARKETS INC
MBNUM2BPBDO7JBLYG310
CITIGROUP GLOBAL MARKETS INC
MBNUM2BPBDO7JBLYG310
Short
F/C US 5YR NOTE (CBT) SEP21
US 5YR NOTE (CBT) SEP21
2021-09-30
21765724.78000000
USD
42099.69000000
N
N
N
DANSKE BANK A/S V/R 09/12/23
MAES062Z21O4RZ2U7M96
DANSKE BANK A/S REGD V/R REG S EMTN 1.17900000
23636BAP4
600000.00000000
NS
USD
606616.24000000
0.101013291869
Long
DBT
CORP
DK
N
2
2023-09-12
Variable
1.17900000
N
N
N
N
N
N
NEW HAMPSHIRE ST V/R 07/01/33
549300CNCK7OT82W5653
NEW HAMPSHIRE ST HLTH & EDU FA REGD V/R B/E 0.01000000
644614N88
3680000.00000000
NS
USD
3680000.00000000
0.612790903979
Long
DBT
MUN
US
N
2
2033-07-01
Variable
0.01000000
N
N
N
N
N
N
LEE MEMORIAL HLTH 5% 04/01/22
54930018FIX4OVLGH070
LEE MEMORIAL HLTH SYS FL HOSP REGD N/C B/E 5.00000000
52385LCX5
1000000.00000000
NS
USD
1035287.30000000
0.172395282729
Long
DBT
MUN
US
N
2
2022-04-01
Fixed
5.00000000
N
N
N
N
N
N
CONNECTICUT ST HLT 3% 07/01/21
549300ZOQJ5U8YBS5Q35
CONNECTICUT ST HLTH & EDUCTNL REGD N/C B/E 3.00000000
20775DJW3
350000.00000000
PA
USD
350000.00000000
0.058281743585
Long
STIV
MUN
US
N
2
2021-07-01
Fixed
3.00000000
N
N
N
N
N
N
CASH COLL ISDA V/R 12/31/49
N/A
CASH COLLATERAL ISDA BSP USD 0.00000000
N/A
241000.00000000
NS
USD
241000.00000000
0.040131143439
Long
STIV
CORP
US
N
2
2049-12-31
Floating
0.00000000
N
N
N
N
N
N
BROOKHAVEN DEV AUT 5% 07/01/22
N/A
BROOKHAVEN DEV AUTH GA REGD N/C B/E 5.00000000
113073AC4
1040000.00000000
NS
USD
1090358.05000000
0.181565623674
Long
DBT
MUN
US
N
2
2022-07-01
Fixed
5.00000000
N
N
N
N
N
N
BARCLAYS PLC V/R 05/16/24
213800LBQA1Y9L22JB70
BARCLAYS PLC REGD V/R MTN 1.53588000
06738EBC8
1000000.00000000
NS
USD
1018191.65000000
0.169548527616
Long
DBT
CORP
GB
N
2
2024-05-16
Variable
1.53588000
N
N
N
N
N
N
CONNECTICUT ST SPL 4% 05/01/23
N/A
CONNECTICUT ST SPL TAX OBLIG R REGD N/C B/E 4.00000000
207758B36
1530000.00000000
NS
USD
1637574.30000000
0.272687672725
Long
DBT
MUN
US
N
2
2023-05-01
Fixed
4.00000000
N
N
N
N
N
N
NEW YORK CITY NY T 5% 02/01/22
N/A
NEW YORK CITY NY TRANSITIONAL REGD N/C B/E 5.00000000
64971QTL7
2490000.00000000
NS
USD
2560512.07000000
0.426374594028
Long
DBT
MUN
US
N
2
2022-02-01
Fixed
5.00000000
N
N
N
N
N
N
FORDF 2020-1 A1 0.7% 09/15/23
N/A
FORD CREDIT FLOORPLAN MASTER OWNER TRUST A SER 2020-1 CL A1 REGD 0.70000000
34528QHK3
1700000.00000000
NS
USD
1708326.43000000
0.284469265579
Long
ABS-CBDO
CORP
US
N
2
2025-09-15
Fixed
0.70000000
N
N
N
N
N
N
BAYER US FINANCE V/R 12/15/23
N/A
BAYER US FINANCE II LLC REGD V/R 144A P/P 1.12888000
07274NAG8
3500000.00000000
NS
USD
3548513.33000000
0.590895840020
Long
DBT
CORP
US
Y
2
2023-12-15
Variable
1.12888000
N
N
N
N
N
N
GNR 2021-H09 FG V/R 06/20/71
N/A
GOVERNMENT NATIONAL MORTGAGE ASSOCIATION SER 2021-H09 CL FG V/R 1.51000000
38380Q4V1
1700000.00000000
NS
USD
1850609.38000000
0.308162118174
Long
ABS-CBDO
CORP
US
N
3
2071-06-20
Variable
1.51000000
N
N
N
N
N
N
INDIANA ST FIN AU V/R 11/01/37
N/A
INDIANA ST FIN AUTH HLTH SYS R REGD V/R B/E 0.01000000
45470YBL4
800000.00000000
NS
USD
800000.00000000
0.133215413908
Long
DBT
MUN
US
N
2
2037-11-01
Variable
0.01000000
N
N
N
N
N
N
NEW YORK NY V/R 04/01/42
549300ABYZD2SFD5JB29
NEW YORK NY REGD V/R B/E 0.02000000
64966JE77
315000.00000000
NS
USD
315000.00000000
0.052453569226
Long
DBT
MUN
US
N
2
2042-04-01
Variable
0.02000000
N
N
N
N
N
N
CITIGROUP INC V/R 07/24/23
6SHGI4ZSSLCXXQSBB395
CITIGROUP INC REGD V/R 1.12575000
172967LN9
850000.00000000
NS
USD
856659.27000000
0.142650274039
Long
DBT
CORP
US
N
2
2023-07-24
Variable
1.12575000
N
N
N
N
N
N
LONG BEACH CA HARB 4% 05/15/22
N/A
LONG BEACH CA HARBOR REVENUE REGD N/C B/E AMT 4.00000000
542424WE2
3000000.00000000
NS
USD
3094989.60000000
0.515375400758
Long
DBT
MUN
US
N
2
2022-05-15
Fixed
4.00000000
N
N
N
N
N
N
MET TRANSPRTN AUTH 5% 03/01/22
5493000TKYODLXADQD60
MET TRANSPRTN AUTH NY DEDICATE REGD N/C B/E 5.00000000
59260XAA6
2000000.00000000
NS
USD
2063107.40000000
0.343547132786
Long
DBT
MUN
US
N
2
2022-03-01
Fixed
5.00000000
N
N
N
N
N
N
NEW YORK NY 5% 08/01/22
549300ABYZD2SFD5JB29
NEW YORK NY REGD B/E 5.00000000
64966JUZ7
1125000.00000000
NS
USD
1156766.18000000
0.192623856830
Long
DBT
MUN
US
N
2
2022-08-01
Fixed
5.00000000
N
N
N
N
N
N
MASSACHUSETTS ST V/R 07/01/46
549300UZSVMFXJK08K70
MASSACHUSETTS ST DEV FIN AGY R REGD V/R B/E 0.02000000
57583R6H3
5700000.00000000
NS
USD
5700000.00000000
0.949159824099
Long
DBT
MUN
US
N
2
2046-07-01
Variable
0.02000000
N
N
N
N
N
N
BG ENERGY CAPITAL 4% 10/15/21
N/A
BG ENERGY CAPITAL PLC REGD P/P 4.00000000
05541VAE6
1045000.00000000
NS
USD
1055844.18000000
0.175818399327
Long
DBT
CORP
GB
Y
2
2021-10-15
Fixed
4.00000000
N
N
N
N
N
N
WILLIAMSON CNTY TX 4% 02/15/22
N/A
WILLIAMSON CNTY TX REGD N/C B/E 4.00000000
9698875Y0
3190000.00000000
NS
USD
3266231.75000000
0.543890518122
Long
DBT
MUN
US
N
2
2022-02-15
Fixed
4.00000000
N
N
N
N
N
N
HUTCH WHAMPOA I 3.25% 11/08/22
N/A
HUTCH WHAMPOA INT 12 II REGD REG S 3.25000000
G4690AAB3
1225000.00000000
NS
USD
1270447.50000000
0.211553986952
Long
DBT
CORP
KY
N
2
2022-11-08
Fixed
3.25000000
N
N
N
N
N
N
NEW YORK NY V/R 08/01/44
549300ABYZD2SFD5JB29
NEW YORK NY REGD V/R B/E 0.03000000
64966MFY0
390000.00000000
NS
USD
390000.00000000
0.064942514280
Long
DBT
MUN
US
N
2
2044-08-01
Variable
0.03000000
N
N
N
N
N
N
ALLY FINANCIAL 4.625% 05/19/22
549300JBN1OSM8YNAI90
ALLY FINANCIAL INC REGD 4.62500000
02005NBC3
200000.00000000
NS
USD
207129.30000000
0.034491019290
Long
DBT
CORP
US
N
2
2022-05-19
Fixed
4.62500000
N
N
N
N
N
N
PENNSYLVANIA ST EC 4% 10/15/23
N/A
PENNSYLVANIA ST ECON DEV FING REGD N/C B/E 4.00000000
70870JCN6
700000.00000000
NS
USD
759504.41000000
0.126472117929
Long
DBT
MUN
US
N
2
2023-10-15
Fixed
4.00000000
N
N
N
N
N
N
BARCLAYS PLC V/R 06/15/23/AUD/
213800LBQA1Y9L22JB70
BARCLAYS PLC /AUD/ REGD V/R REG S 1.82430000
Q1298KAB2
750000.00000000
NS
574377.50000000
0.095644920502
Long
DBT
CORP
GB
N
2
2023-06-15
Variable
1.82430000
N
N
N
N
N
N
MITSUBISHI HC 2.652% 09/19/22
353800MZ3QX9RLMH7B09
MITSUBISHI HC CAPITAL REGD 144A P/P 2.65200000
60682LAA0
1700000.00000000
NS
USD
1738507.41000000
0.289494980257
Long
DBT
CORP
JP
Y
2
2022-09-19
Fixed
2.65200000
N
N
N
N
N
N
WISCONSIN ST 5% 05/01/22
549300VTAT608CNZ5827
WISCONSIN ST REGD N/C B/E 5.00000000
97705L7V3
4815000.00000000
NS
USD
5010443.74000000
0.834335420862
Long
DBT
MUN
US
N
2
2022-05-01
Fixed
5.00000000
N
N
N
N
N
N
ISRAEL ELECTRIC CO 5% 11/12/24
254900JW7GE35YNJGJ55
ISRAEL ELECTRIC CORP LTD REGD SER 6 5.00000000
M60170AV5
300000.00000000
NS
USD
335253.00000000
0.055826083948
Long
DBT
CORP
IL
Y
2
2024-11-12
Fixed
5.00000000
N
N
N
N
N
N
LWMC 2017-F V/R 11/15/49 /GBP/
N/A
LONDON WALL MORTGAGE CAPITAL PLC SER 2017-FL1 CL A V/R REGD REG S /GBP/ 0.93588000
G56926AL5
77239.64000000
NS
107077.65000000
0.017830491831
Long
ABS-CBDO
CORP
GB
N
2
2049-11-15
Variable
0.93588000
N
N
N
N
N
N
N/A
N/A
CDX 2I65BYDX0 01.000 SP 12/20/2025 SBNYUS33XXX FLOAT
N/A
1.00000000
NC
USD
-29385.36000000
-0.00489322861
N/A
DCR
US
N
2
CITIGROUP GLOBAL MARKETS INC.
MBNUM2BPBDO7JBLYG310
CDX.NA.IG.35
CDX.NA.IG.35
Y
2025-12-20
-919193.72000000
USD
900000.00000000
USD
900000.00000000
USD
-3666.64000000
N
N
N
CNTRL VLY WTR RECL 5% 03/01/24
N/A
CNTRL VLY WTR RECLAMATION FAC REGD N/C B/E 5.00000000
155796AX3
500000.00000000
NS
USD
562662.70000000
0.093694180589
Long
DBT
MUN
US
N
2
2024-03-01
Fixed
5.00000000
N
N
N
N
N
N
GCOLT 20 0.641% 03/20/24 /CAD/
549300KHZQ7YBTEOJU80
GMF CANADA LEASING TRUST SER 2021-1A CL A2 REGD 144A P/P /CAD/ 0.64100000
36252MCE8
800000.00000000
NS
644582.12000000
0.107335342392
Long
ABS-CBDO
CORP
CA
Y
2
2024-03-20
Fixed
0.64100000
N
N
N
N
N
N
ALLEN TX INDEP SCH 5% 02/15/23
N/A
ALLEN TX INDEP SCH DIST REGD N/C B/E PSF-GTD 5.00000000
018106TV6
1205000.00000000
NS
USD
1299613.35000000
0.216410662926
Long
DBT
MUN
US
N
2
2023-02-15
Fixed
5.00000000
N
N
N
N
N
N
NEW YORK ST DORM A 4% 10/01/23
549300C8XO7EXTX2XU71
NEW YORK ST DORM AUTH REVENUES REGD N/C B/E 4.00000000
64990G6M9
2805000.00000000
NS
USD
3035041.98000000
0.505392966994
Long
DBT
MUN
US
N
2
2023-10-01
Fixed
4.00000000
N
N
N
N
N
N
WILLIAMSON CNTY TX 4% 02/15/23
N/A
WILLIAMSON CNTY TX REGD N/C B/E 4.00000000
9698875Z7
2315000.00000000
NS
USD
2456997.93000000
0.409137495272
Long
DBT
MUN
US
N
2
2023-02-15
Fixed
4.00000000
N
N
N
N
N
N
PORT AUTH OF NEW Y 5% 10/01/21
54930006MR4KZ4W74Z83
PORT AUTH OF NEW YORK & NEW JE REGD N/C B/E AMT 5.00000000
73358WZU1
1600000.00000000
NS
USD
1618891.52000000
0.269576629887
Long
DBT
MUN
US
N
2
2021-10-01
Fixed
5.00000000
N
N
N
N
N
N
AVIATION CAPIT 2.875% 01/20/22
N/A
AVIATION CAPITAL GROUP REGD 144A P/P 2.87500000
05367AAJ2
1600000.00000000
NS
USD
1616233.30000000
0.269133985040
Long
DBT
CORP
US
Y
2
2022-01-20
Fixed
2.87500000
N
N
N
N
N
N
CSMC 2021-RPL4 A V/R 12/27/60
N/A
CSMC 2021-RPL4 TRUST SER 2021-RPL4 CL A1 V/R REGD 144A P/P 1.79561000
12662GAC2
394156.93000000
NS
USD
394705.79000000
0.065726118983
Long
ABS-CBDO
CORP
US
Y
2
2060-12-27
Variable
1.79561000
N
N
N
N
N
N
PHILADELPHIA PA SC 5% 09/01/21
254900HSKDHZKBZCUL90
PHILADELPHIA PA SCH DIST REGD N/C B/E ST AID 5.00000000
717883SW3
1500000.00000000
NS
USD
1511640.15000000
0.251717210328
Long
DBT
MUN
US
N
2
2021-09-01
Fixed
5.00000000
N
N
N
N
N
N
CONNECTICUT ST HL V/R 07/01/33
549300ZOQJ5U8YBS5Q35
CONNECTICUT ST HLTH & EDUCTNL REGD V/R B/E 2.00000000
20774Y7K7
1300000.00000000
NS
USD
1314268.02000000
0.218850947838
Long
DBT
MUN
US
N
2
2033-07-01
Variable
2.00000000
N
N
N
N
N
N
CONNECTICUT ST HS V/R 11/15/48
5493003DXX0NRJKSH186
CONNECTICUT ST HSG FIN AUTH HS REGD V/R B/E 0.03000000
20775CZK3
680000.00000000
NS
USD
680000.00000000
0.113233101822
Long
DBT
MUN
US
N
2
2048-11-15
Variable
0.03000000
N
N
N
N
N
N
SMB 2015-B A2A V/R 05/15/23
N/A
SMB PRIVATE EDUCATION LOAN TRUST 2015-B SER 2015-B CL A2A V/R REGD 144A P/P 2.98000000
78448QAB4
470728.98000000
NS
USD
476000.91000000
0.079263322808
Long
ABS-CBDO
CORP
US
Y
2
2027-07-15
Fixed
2.98000000
N
N
N
N
N
N
NORDEA BANK ABP V/R 08/30/23
529900ODI3047E2LIV03
NORDEA BANK ABP REGD V/R 144A P/P 1.07500000
65557CAZ6
200000.00000000
NS
USD
202272.74000000
0.033682308476
Long
DBT
CORP
FI
Y
2
2023-08-30
Variable
1.07500000
N
N
N
N
N
N
FRISCO TX INDEP SC 5% 08/15/22
N/A
FRISCO TX INDEP SCH DIST REGD N/C B/E PSF-GTD 5.00000000
35880CQF4
1240000.00000000
NS
USD
1307756.08000000
0.217766584360
Long
DBT
MUN
US
N
2
2022-08-15
Fixed
5.00000000
N
N
N
N
N
N
PACIFIC GAS & E 3.25% 06/15/23
N/A
PACIFIC GAS & ELECTRIC REGD 3.25000000
694308HC4
200000.00000000
NS
USD
206730.67000000
0.034424639714
Long
DBT
CORP
US
N
2
2023-06-15
Fixed
3.25000000
N
N
N
N
N
N
N/A
N/A
IRS RUS3MPUS1M 01/13/23 SBNYUS33 FLOAT
N/A
1.00000000
NC
USD
-4752.65000000
-0.00079140779
N/A
DIR
US
N
2
CITIBANK
N/A
N/A
N/A
Y
2023-01-13
-10800000.00000000
USD
10800000.00000000
USD
10800000.00000000
USD
-4752.65000000
N
N
N
PPSI 2005-WCW2 M V/R 07/25/35
N/A
PARK PLACE SECURITIES INC ASSET-BACKED PASS-THROUG SER 2005-WCW2 CL M2 V/R REGD 0.88650000
70069FLH8
1712211.14000000
NS
USD
1711604.33000000
0.285015099085
Long
ABS-CBDO
CORP
US
N
2
2035-07-25
Variable
0.88650000
N
N
N
N
N
N
GNR 2015-H04 FA V/R 12/20/64
N/A
GOVERNMENT NATIONAL MORTGAGE ASSOCIATION SER 2015-H04 CL FA V/R 0.75725000
38378U8L4
1643353.40000000
NS
USD
1662510.96000000
0.276840107080
Long
ABS-CBDO
CORP
US
N
2
2064-12-20
Variable
0.75725000
N
N
N
N
N
N
FKH 2020-SFR2 1.266% 11/17/25
N/A
FIRSTKEY HOMES 2020-SFR2 TRUST SER 2020-SFR2 CL A REGD 144A P/P 1.26600000
33767JAA0
898013.62000000
NS
USD
896966.72000000
0.149362241083
Long
ABS-CBDO
CORP
US
Y
2
2037-10-19
Fixed
1.26600000
N
N
N
N
N
N
IMPERIAL BRANDS 3.75% 07/21/22
N/A
IMPERIAL BRANDS FIN PLC REGD P/P 3.75000000
453140AE5
3100000.00000000
NS
USD
3180770.22000000
0.529659526756
Long
DBT
CORP
GB
Y
2
2022-07-21
Fixed
3.75000000
N
N
N
N
N
N
NISSAN MOTOR ACCE V/R 09/28/22
N/A
NISSAN MOTOR ACCEPTANCE REGD V/R 144A P/P MTN 0.83600000
654740BE8
1620000.00000000
NS
USD
1621823.42000000
0.270064847727
Long
DBT
CORP
US
Y
2
2022-09-28
Variable
0.83600000
N
N
N
N
N
N
INDIANA ST FIN A 6.5% 09/15/30
N/A
PREREF INDIANA ST FIN AUTH REVENUE REGD B/E PREREFUNDED 09/15/21 @ 100 6.50000000
455057N21
3000000.00000000
NS
USD
3038411.40000000
0.505954040344
Long
DBT
MUN
US
N
2
2030-09-15
Fixed
6.50000000
N
N
N
N
N
N
JEFFERSON LA SALES 5% 12/01/21
N/A
JEFFERSON LA SALES TAX DIST SP REGD N/C B/E AGM 5.00000000
474176KP8
2325000.00000000
NS
USD
2369973.87000000
0.394646312555
Long
DBT
MUN
US
N
2
2021-12-01
Fixed
5.00000000
N
N
N
N
N
N
BNP PARIBAS V/R 12/16/22/AUD/
R0MUWSFPU8MPRO8K5P83
BNP PARIBAS /AUD/ REGD V/R EMTN 1.77210000
F105CCKK6
700000.00000000
NS
533577.48000000
0.088850931063
Long
DBT
CORP
FR
N
2
2022-12-16
Variable
1.77210000
N
N
N
N
N
N
CALIFORNIA ST STW V/R 08/01/23
549300KTNI2GCJNX2U48
CALIFORNIA ST STWD CMNTYS DEV REGD V/R B/E HUD SEC 0.22000000
13079PYL1
2250000.00000000
NS
USD
2247753.83000000
0.374294321035
Long
DBT
MUN
US
N
2
2023-08-01
Variable
0.22000000
N
N
N
N
N
N
COLLIN CNTY TX CMN 5% 08/15/22
N/A
COLLIN CNTY TX CMNTY CLG DIST REGD N/C B/E 5.00000000
194741HB3
1310000.00000000
NS
USD
1381581.02000000
0.230059859284
Long
DBT
MUN
US
N
2
2022-08-15
Fixed
5.00000000
N
N
N
N
N
N
CITM 2007-1 1A V/R 08/25/24
N/A
CIT MORTGAGE LOAN TRUST 2007-1 SER 2007-1 CL 1A V/R REGD 144A P/P 1.44150000
12559QAA0
385676.83000000
NS
USD
389445.12000000
0.064850116069
Long
ABS-CBDO
CORP
US
Y
2
2037-10-25
Variable
1.44150000
N
N
N
N
N
N
N/A
N/A
AUD/USD FWD 20210803 000006038 USD
N/A
1.00000000
NC
N/A
9843.97000000
0.001639210672
N/A
DFE
N/A
N
2
BANK OF AMERICA, N.A.
N/A
-3247023.00000000
AUD
2445340.16000000
USD
2021-08-03
9843.97000000
N
N
N
FORT BEND TX INDEP 5% 08/15/21
N/A
FORT BEND TX INDEP SCH DIST REGD N/C B/E PSF-GTD 5.00000000
346843QY4
1000000.00000000
NS
USD
1005814.80000000
0.167487543621
Long
DBT
MUN
US
N
2
2021-08-15
Fixed
5.00000000
N
N
N
N
N
N
ALASKA ST HSG FIN V/R 12/01/40
549300HJ8NOJNYW6ER36
ALASKA ST HSG FIN CORP HOME MT REGD V/R B/E 0.03000000
01170PDX1
2400000.00000000
NS
USD
2400000.00000000
0.399646241725
Long
DBT
MUN
US
N
2
2040-12-01
Variable
0.03000000
N
N
N
N
N
N
FRANKLIN CNTY OH V/R 07/01/29
549300VCBUC1RZE7KL42
FRANKLIN CNTY OH HOSP REVENUE REGD V/R B/E 0.02000000
3531863Q0
2500000.00000000
NS
USD
2500000.00000000
0.416298168464
Long
DBT
MUN
US
N
2
2029-07-01
Variable
0.02000000
N
N
N
N
N
N
AREIT 2019-CRE3 V/R 01/14/22
N/A
AREIT 2019-CRE3 TRUST SER 2019-CRE3 CL A V/R REGD 144A P/P 1.14448000
00217LAA0
500000.00000000
NS
USD
499718.05000000
0.083212683585
Long
ABS-CBDO
CORP
US
Y
2
2036-09-14
Variable
1.14448000
N
N
N
N
N
N
MSBAM 2013-C11 A V/R 04/15/23
N/A
MORGAN STANLEY BANK OF AMERICA MERRILL LYNCH TRUS SER 2013-C11 CL AAB V/R REGD 3.84500000
61762TAC0
451021.31000000
NS
USD
465870.92000000
0.077576484294
Long
ABS-CBDO
CORP
US
N
2
2046-08-15
Fixed
3.84500000
N
N
N
N
N
N
NEW YORK ST DORM A 5% 10/01/23
549300C8XO7EXTX2XU71
NEW YORK ST DORM AUTH REVENUES REGD N/C B/E ST AID 5.00000000
64990GAK8
1245000.00000000
NS
USD
1376139.59000000
0.229153756347
Long
DBT
MUN
US
N
2
2023-10-01
Fixed
5.00000000
N
N
N
N
N
N
VOLKSWAGEN GROUP V/R 09/24/21
N/A
VOLKSWAGEN GROUP AMERICA REGD V/R 144A P/P 0.99375000
928668AW2
1000000.00000000
NS
USD
1001842.28000000
0.166826042501
Long
DBT
CORP
US
Y
2
2021-09-24
Variable
0.99375000
N
N
N
N
N
N
SEACOAST FL UTILIT 5% 03/01/23
N/A
SEACOAST FL UTILITY AUTH REGD N/C B/E 5.00000000
81170TEA4
2215000.00000000
NS
USD
2392073.52000000
0.398326330083
Long
DBT
MUN
US
N
2
2023-03-01
Fixed
5.00000000
N
N
N
N
N
N
CASH COLLATERAL V/R 12/31/49
N/A
CASH COLLATERAL USD 0.00000000
N/A
-350000.00000000
NS
USD
-350000.00000000
-0.05828174358
Short
STIV
CORP
US
N
2
2049-12-31
Floating
0.00000000
N
N
N
N
N
N
CFCRE 2016-C4 3.091% 09/10/25
N/A
CFCRE COMMERCIAL MORTGAGE TRUST 2016-C4 SER 2016-C4 CL ASB REGD 3.09100000
12531YAL2
983214.74000000
NS
USD
1031680.54000000
0.171794687696
Long
ABS-CBDO
CORP
US
N
2
2058-05-10
Fixed
3.09100000
N
N
N
N
N
N
CINCINNATI OH 5% 12/01/32
N/A
PREREF CINCINNATI OH REGD B/E PREREFUNDED 06/01/22 @ 100 5.00000000
172217SM4
1700000.00000000
NS
USD
1775589.48000000
0.295669859387
Long
DBT
MUN
US
N
2
2032-12-01
Fixed
5.00000000
N
N
N
N
N
N
GATX CORP V/R 11/05/21
549300IHYHCQP2PIR591
GATX CORP REGD V/R 0.89638000
361448BB8
500000.00000000
NS
USD
500935.59000000
0.083415427454
Long
DBT
CORP
US
N
2
2021-11-05
Variable
0.89638000
N
N
N
N
N
N
NEW YORK NY V/R 04/01/36
549300ABYZD2SFD5JB29
NEW YORK NY REGD V/R B/E 0.02000000
64966FA87
2000000.00000000
NS
USD
2000000.00000000
0.333038534771
Long
DBT
MUN
US
N
2
2036-04-01
Variable
0.02000000
N
N
N
N
N
N
INDIANA ST MUNI P V/R 01/01/42
AX0ZCCVOQ71Z4RXBL233
INDIANA ST MUNI PWR AGY REGD V/R B/E 0.02000000
454898XD4
1300000.00000000
NS
USD
1300000.00000000
0.216475047601
Long
DBT
MUN
US
N
2
2042-01-01
Variable
0.02000000
N
N
N
N
N
N
N/A
N/A
CDX 2I65BYDY8 01.000 BP 06/20/2026 SBNYUS33XXX FLOAT
N/A
1.00000000
NC
USD
-383845.99000000
-0.06391775304
N/A
DCR
US
N
2
CITIGROUP GLOBAL MARKETS INC.
MBNUM2BPBDO7JBLYG310
CDX.NA.IG.36
CDX.NA.IG.36
Y
2026-06-20
-14111350.29000000
USD
13800000.00000000
USD
13800000.00000000
USD
-41423.48000000
N
N
N
PFP 2019-5 A V/R 03/14/22
N/A
PFP 2019-5 LTD SER 2019-5 CL A V/R REGD 144A P/P 1.04463000
69346TAA2
542558.68000000
NS
USD
542253.06000000
0.090295582288
Long
ABS-CBDO
CORP
KY
Y
2
2036-04-14
Variable
1.04463000
N
N
N
N
N
N
LAS VEGAS VLY NV W 5% 06/01/22
N/A
LAS VEGAS VLY NV WTR DIST REGD N/C B/E 5.00000000
517845EF6
2000000.00000000
NS
USD
2088944.60000000
0.347849524401
Long
DBT
MUN
US
N
2
2022-06-01
Fixed
5.00000000
N
N
N
N
N
N
AERCAP IRELAND 4.45% 12/16/21
N/A
AERCAP IRELAND CAP/GLOBA REGD 4.45000000
00774MAH8
700000.00000000
NS
USD
710623.93000000
0.118332576210
Long
DBT
CORP
IE
N
2
2021-12-16
Fixed
4.45000000
N
N
N
N
N
N
ORIX CORP 2.9% 07/18/22
35380016EMHNBOVYE123
ORIX CORP REGD 2.90000000
686330AH4
688000.00000000
NS
USD
705830.29000000
0.117534342789
Long
DBT
CORP
JP
N
2
2022-07-18
Fixed
2.90000000
N
N
N
N
N
N
NEW YORK CITY NY V/R 06/15/49
N/A
NEW YORK CITY NY MUNI WTR FIN REGD V/R B/E 0.01000000
64972GMJ0
1000000.00000000
NS
USD
1000000.00000000
0.166519267385
Long
DBT
MUN
US
N
2
2049-06-15
Variable
0.01000000
N
N
N
N
N
N
CHICAGO IL O'HARE 5% 01/01/22
N/A
CHICAGO IL O'HARE INTERNATIONA REGD N/C B/E AMT ETM 5.00000000
167593MK5
2000000.00000000
NS
USD
2046567.20000000
0.340792870799
Long
DBT
MUN
US
N
2
2022-01-01
Fixed
5.00000000
N
N
N
N
N
N
TEXAS ST WTR DEV B 3% 04/15/22
N/A
TEXAS ST WTR DEV BRD REGD N/C B/E 3.00000000
8828543Q3
1000000.00000000
NS
USD
1022628.80000000
0.170287398583
Long
DBT
MUN
US
N
2
2022-04-15
Fixed
3.00000000
N
N
N
N
N
N
VIRGINIA ST CLG BL 5% 02/01/24
N/A
VIRGINIA ST CLG BLDG AUTH EDUC REGD N/C B/E 5.00000000
927781QV9
1285000.00000000
NS
USD
1440962.25000000
0.239947978200
Long
DBT
MUN
US
N
2
2024-02-01
Fixed
5.00000000
N
N
N
N
N
N
LONG BEACH CA HARB 4% 07/15/21
N/A
LONG BEACH CA HARBOR REVENUE REGD N/C B/E 4.00000000
542424WH5
2000000.00000000
NS
USD
2002832.60000000
0.333510217248
Long
DBT
MUN
US
N
2
2021-07-15
Fixed
4.00000000
N
N
N
N
N
N
FIRST ABU DHABI B V/R 04/16/22
2138002Y3WMK6RZS8H90
FIRST ABU DHABI BANK PJS REGD V/R EMTN 1.13363000
M4289C3U5
1800000.00000000
NS
USD
1806300.00000000
0.300783752678
Long
DBT
CORP
AE
N
2
2022-04-16
Variable
1.13363000
N
N
N
N
N
N
RHODE ISLAND COMME 5% 06/15/22
N/A
RHODE ISLAND COMMERCE CORP REV REGD N/C B/E 5.00000000
762232AE6
1550000.00000000
NS
USD
1621099.12000000
0.269944237822
Long
DBT
MUN
US
N
2
2022-06-15
Fixed
5.00000000
N
N
N
N
N
N
WOSAT 2020-A A 0.47% 08/15/22
N/A
WORLD OMNI SELECT AUTO TRUST 2020-A SER 2020-A CL A2 REGD 0.47000000
98163DAB4
399745.22000000
NS
USD
400057.14000000
0.066617221865
Long
ABS-CBDO
CORP
US
N
2
2024-06-17
Fixed
0.47000000
N
N
N
N
N
N
BANCO SANTANDER C V/R 11/28/21
N/A
BANCO SANTANDER CHILE REGD V/R EMTN 1.33500000
P1506AUV7
3200000.00000000
NS
USD
3208108.64000000
0.534211900426
Long
DBT
CORP
CL
N
2
2021-11-28
Variable
1.33500000
N
N
N
N
N
N
MORGAN STANLEY V/R 01/20/23
IGJSJL3JD5P30I6NJZ34
MORGAN STANLEY REGD V/R MTN SER GMTN 0.72522000
6174468K8
1594000.00000000
NS
USD
1598526.96000000
0.266185538275
Long
DBT
CORP
US
N
2
2023-01-20
Variable
0.72522000
N
N
N
N
N
N
PHOENIX AZ CIVIC I 5% 07/01/21
N/A
PHOENIX AZ CIVIC IMPT CORP ARP REGD N/C B/E AMT 5.00000000
71883MNA8
1750000.00000000
NS
USD
1750000.00000000
0.291408717925
Long
DBT
MUN
US
N
2
2021-07-01
Fixed
5.00000000
N
N
N
N
N
N
FORT BEND TX INDEP 5% 08/15/22
N/A
FORT BEND TX INDEP SCH DIST REGD N/C B/E PSF-GTD 5.00000000
346843QZ1
1000000.00000000
NS
USD
1054409.30000000
0.175579464160
Long
DBT
MUN
US
N
2
2022-08-15
Fixed
5.00000000
N
N
N
N
N
N
SAN ANTONIO TX 5% 08/01/21
N/A
SAN ANTONIO TX REGD N/C B/E 5.00000000
79623PFA8
1550000.00000000
PA
USD
1556091.35000000
0.259119191587
Long
STIV
MUN
US
N
2
2021-08-01
Fixed
5.00000000
N
N
N
N
N
N
MET TRANSPRTN AUTH 4% 02/01/22
5493000TKYODLXADQD60
MET TRANSPRTN AUTH NY REVENUE REGD N/C B/E 4.00000000
59261AE86
12000000.00000000
NS
USD
12259110.00000000
2.041378016001
Long
DBT
MUN
US
N
2
2022-02-01
Fixed
4.00000000
N
N
N
N
N
N
NEW YORK CITY NY V/R 06/15/33
N/A
NEW YORK CITY NY MUNI WTR FIN REGD V/R B/E 0.01000000
64970KRM1
8700000.00000000
NS
USD
8700000.00000000
1.448717626256
Long
DBT
MUN
US
N
2
2033-06-15
Variable
0.01000000
N
N
N
N
N
N
N/A
N/A
AUD/USD FWD 20210702 000006038 USD
N/A
1.00000000
NC
N/A
107559.36000000
0.017910705827
N/A
DFE
N/A
N
2
BANK OF AMERICA, N.A.
N/A
-2403500.00000000
AUD
1910064.49000000
USD
2021-07-02
107559.36000000
N
N
N
DENVER CITY & CNTY 5% 11/15/21
N/A
DENVER CITY & CNTY CO ARPT REV REGD N/C B/E AMT 5.00000000
249182KF2
2000000.00000000
NS
USD
2035515.60000000
0.338952566464
Long
DBT
MUN
US
N
2
2021-11-15
Fixed
5.00000000
N
N
N
N
N
N
MARICOPA CNTY AZ H 5% 07/01/22
N/A
MARICOPA CNTY AZ HIGH SCH DIST REGD N/C B/E 5.00000000
567505PJ5
1000000.00000000
NS
USD
1048731.00000000
0.174633917804
Long
DBT
MUN
US
N
2
2022-07-01
Fixed
5.00000000
N
N
N
N
N
N
CONNECTICUT ST HLT 4% 07/01/23
549300ZOQJ5U8YBS5Q35
CONNECTICUT ST HLTH & EDUCTNL REGD N/C B/E 4.00000000
20775DJY9
550000.00000000
NS
USD
589132.23000000
0.098101867332
Long
DBT
MUN
US
N
2
2023-07-01
Fixed
4.00000000
N
N
N
N
N
N
SGSHR 1A A V/R 11/17/25 /GBP/
N/A
SAGE AR FUNDING NO 1 PLC SER 1A CL A V/R REGD 144A P/P /GBP/ 1.29982000
G7770JAA2
800000.00000000
NS
1108997.12000000
0.184669387955
Long
ABS-CBDO
CORP
GB
Y
2
2030-11-17
Variable
1.29982000
N
N
N
N
N
N
OHIO ST MENTAL HLT 5% 02/01/24
5493005LEB5E170OMX59
OHIO ST MENTAL HLTH CAPITAL FA REGD N/C B/E 5.00000000
677587DL8
500000.00000000
NS
USD
560823.55000000
0.093387926678
Long
DBT
MUN
US
N
2
2024-02-01
Fixed
5.00000000
N
N
N
N
N
N
VMC 2021-FL4 A V/R 06/16/36
N/A
VMC FINANCE 2021-FL4 LLC SER 2021-FL4 CL A V/R REGD 144A P/P 1.18250000
91835RAA8
600000.00000000
NS
USD
600189.84000000
0.099943172449
Long
ABS-CBDO
CORP
US
Y
2
2036-06-16
Variable
1.18250000
N
N
N
N
N
N
LOWER AL GAS DIST 4% 12/01/22
549300YTI1NTDG2OVU42
LOWER AL GAS DIST GAS PROJ REV REGD N/C B/E 4.00000000
547804AH7
550000.00000000
NS
USD
578081.08000000
0.096261637931
Long
DBT
MUN
US
N
2
2022-12-01
Fixed
4.00000000
N
N
N
N
N
N
MIAMI-DADE CNTY FL 5% 07/01/22
549300QG0NBD9HULR263
MIAMI-DADE CNTY FL REGD N/C B/E 5.00000000
59333FWU0
6000000.00000000
NS
USD
6288669.60000000
1.047184654623
Long
DBT
MUN
US
N
2
2022-07-01
Fixed
5.00000000
N
N
N
N
N
N
NOMURA HOLDING 1.851% 07/16/25
549300B3CEAHYG7K8164
NOMURA HOLDINGS INC REGD 1.85100000
65535HAR0
2300000.00000000
NS
USD
2351929.45000000
0.391641568957
Long
DBT
CORP
JP
N
2
2025-07-16
Fixed
1.85100000
N
N
N
N
N
N
OREGON ST DEPT OF 5% 04/01/24
N/A
OREGON ST DEPT OF ADMIN SVCS L REGD N/C B/E 5.00000000
68607V2E4
1100000.00000000
NS
USD
1241887.02000000
0.206798116746
Long
DBT
MUN
US
N
2
2024-04-01
Fixed
5.00000000
N
N
N
N
N
N
MASSACHUSETTS ST S 5% 08/15/22
N/A
MASSACHUSETTS ST SCH BLDG AUTH REGD N/C B/E ETM 5.00000000
576000XV0
150000.00000000
NS
USD
158064.06000000
0.026320711471
Long
DBT
MUN
US
N
2
2022-08-15
Fixed
5.00000000
N
N
N
N
N
N
NEW JERSEY ST HGR 5% 12/01/23
5493007OOYUHTF8GSL63
NEW JERSEY ST HGR EDU ASSISTAN REGD N/C B/E AMT 5.00000000
646080VQ1
300000.00000000
NS
USD
332349.48000000
0.055342591925
Long
DBT
MUN
US
N
2
2023-12-01
Fixed
5.00000000
N
N
N
N
N
N
FREDERICK MD 3% 12/01/22
N/A
FREDERICK MD REGD N/C B/E 3.00000000
355748UP7
1000000.00000000
NS
USD
1040589.10000000
0.173278134581
Long
DBT
MUN
US
N
2
2022-12-01
Fixed
3.00000000
N
N
N
N
N
N
SHINHAN BANK 2.875% 03/28/22
N/A
SHINHAN BANK REGD 144A 2.87500000
82460EAK6
2100000.00000000
NS
USD
2134104.00000000
0.355369434605
Long
DBT
CORP
KR
Y
2
2022-03-28
Fixed
2.87500000
N
N
N
N
N
N
GNR 2019-54 KF V/R 05/20/44
N/A
GOVERNMENT NATIONAL MORTGAGE ASSOCIATION SER 2019-54 CL KF V/R 0.50588000
38381R7J2
766885.11000000
NS
USD
767289.18000000
0.127768432126
Long
ABS-CBDO
CORP
US
N
2
2044-05-20
Variable
0.50588000
N
N
N
N
N
N
ALBEMARLE CNTY VA V/R 10/01/48
N/A
ALBEMARLE CNTY VA ECON DEV AUT REGD V/R B/E 0.01000000
012663AM2
1350000.00000000
NS
USD
1350000.00000000
0.224801010970
Long
DBT
MUN
US
N
2
2048-10-01
Variable
0.01000000
N
N
N
N
N
N
CLARK CNTY NV ARPT 5% 07/01/21
N/A
CLARK CNTY NV ARPT REVENUE REGD N/C B/E AMT 5.00000000
18085PQX5
5000000.00000000
NS
USD
5000000.00000000
0.832596336928
Long
DBT
MUN
US
N
2
2021-07-01
Fixed
5.00000000
N
N
N
N
N
N
SNOHOMISH CNTY WA 5% 12/01/23
N/A
SNOHOMISH CNTY WA SCH DIST #6M REGD N/C B/E SCH BD 5.00000000
833136QL1
1000000.00000000
NS
USD
1115010.80000000
0.185670781543
Long
DBT
MUN
US
N
2
2023-12-01
Fixed
5.00000000
N
N
N
N
N
N
FHLMC 0.65% 10/27/25
N/A
FEDERAL HOME LOAN MORTGAGE CORP 0.65000000
3134GW5R3
3600000.00000000
NS
USD
3569336.50000000
0.594363299033
Long
ABS-MBS
USGA
US
N
2
2025-10-27
Fixed
0.65000000
N
N
N
N
N
N
FHLB 0.96% 03/05/26
N/A
FEDERAL HOME LOAN BANKS 0.96000000
3130ALHH0
3400000.00000000
NS
USD
3399890.89000000
0.566147340194
Long
ABS-MBS
USGA
US
N
2
2026-03-05
Fixed
0.96000000
N
N
N
N
N
N
TEXAS ST WTR DEV B 3% 10/15/21
N/A
TEXAS ST WTR DEV BRD REGD N/C B/E 3.00000000
8828543P5
1750000.00000000
NS
USD
1764417.55000000
0.293809517788
Long
DBT
MUN
US
N
2
2021-10-15
Fixed
3.00000000
N
N
N
N
N
N
BAT CAPITAL CORP V/R 08/15/22
N/A
BAT CAPITAL CORP REGD V/R 1.03588000
05526DAX3
3500000.00000000
NS
USD
3522114.54000000
0.586499932849
Long
DBT
CORP
US
N
2
2022-08-15
Variable
1.03588000
N
N
N
N
N
N
COOK CNTY IL 5% 11/15/23
5493004UMR7OX4YITE10
COOK CNTY IL REGD N/C B/E 5.00000000
213185LQ2
2250000.00000000
NS
USD
2498014.35000000
0.415967519481
Long
DBT
MUN
US
N
2
2023-11-15
Fixed
5.00000000
N
N
N
N
N
N
GEARY CNTY KS UNIF 5% 09/01/22
N/A
GEARY CNTY KS UNIF SCH DIST #4 REGD N/C B/E 5.00000000
368347CF5
1275000.00000000
NS
USD
1347097.43000000
0.224317677140
Long
DBT
MUN
US
N
2
2022-09-01
Fixed
5.00000000
N
N
N
N
N
N
HSBC HOLDINGS PLC V/R 05/18/24
MLU0ZO3ML4LN2LL2TL39
HSBC HOLDINGS PLC REGD V/R 1.15513000
404280BR9
800000.00000000
NS
USD
810305.40000000
0.134931461566
Long
DBT
CORP
GB
N
2
2024-05-18
Variable
1.15513000
N
N
N
N
N
N
STAR 2020-3 A1 V/R 04/25/65
N/A
STARWOOD MORTGAGE RESIDENTIAL TRUST 2020-3 SER 2020-3 CL A1 V/R REGD 144A P/P 1.48600000
85573MAA7
760166.79000000
NS
USD
766788.45000000
0.127685050933
Long
ABS-CBDO
CORP
US
Y
2
2065-04-25
Variable
1.48600000
N
N
N
N
N
N
UNIV OF MICHIGAN V/R 12/01/24
N/A
UNIV OF MICHIGAN MI REGD V/R B/E 0.01000000
914455MB3
3675000.00000000
NS
USD
3675000.00000000
0.611958307642
Long
DBT
MUN
US
N
2
2024-12-01
Variable
0.01000000
N
N
N
N
N
N
ROUND ROCK TX INDE 5% 08/01/22
N/A
ROUND ROCK TX INDEP SCH DIST REGD N/C B/E PSF-GTD 5.00000000
779240NJ5
1280000.00000000
NS
USD
1346818.94000000
0.224271303190
Long
DBT
MUN
US
N
2
2022-08-01
Fixed
5.00000000
N
N
N
N
N
N
NISSAN MOTOR ACCE V/R 09/21/21
N/A
NISSAN MOTOR ACCEPTANCE REGD V/R REG S 0.76450000
U65478BR6
400000.00000000
NS
USD
400219.86000000
0.066644317880
Long
DBT
CORP
US
N
2
2021-09-21
Variable
0.76450000
N
N
N
N
N
N
HEAT 2005-8 M1 V/R 02/25/36
N/A
HOME EQUITY ASSET TRUST 2005-8 SER 2005-8 CL M1 V/R REGD 0.52150000
437084PZ3
419473.74000000
NS
USD
419265.68000000
0.069815813873
Long
ABS-CBDO
CORP
US
N
2
2036-02-25
Variable
0.52150000
N
N
N
N
N
N
UBS AG AUSTR V/R 07/30/25/AUD/
N/A
UBS AG AUSTRALIA /AUD/ REGD V/R REG S SER . 0.91000000
Q9T799BR8
2200000.00000000
NS
1672410.93000000
0.278488642831
Long
DBT
CORP
CH
N
2
2025-07-30
Variable
0.91000000
N
N
N
N
N
N
DENVER CITY & CNTY 5% 12/01/22
N/A
DENVER CITY & CNTY CO SCH DIST REGD N/C B/E ST AID 5.00000000
249174XH1
3000000.00000000
NS
USD
3207384.90000000
0.534091383772
Long
DBT
MUN
US
N
2
2022-12-01
Fixed
5.00000000
N
N
N
N
N
N
FSQ 2020-2A V/R 06/16/70 /GBP/
N/A
FINSBURY SQUARE 2020-2 PLC SER 2020-2A CL A V/R REGD 144A P/P /GBP/ 1.35006000
G345AHAA1
442975.88000000
NS
619263.25000000
0.103119262708
Long
ABS-CBDO
CORP
GB
Y
2
2070-06-16
Variable
1.35006000
N
N
N
N
N
N
US CASH MGMT BILL ZCP 09/28/21
N/A
UNITED STATES CASH MANAGEMENT BILL ZCP 0.00000000
912796L56
1800000.00000000
PA
USD
1799804.20000000
0.299702076821
Long
STIV
UST
US
N
2
2021-09-28
Fixed
0.00000000
N
N
N
N
N
N
FASTR 20 2.321% 09/15/22 /CAD/
N/A
FORD AUTO SECURITIZATION TRUST SER 2019-BA CL A2 REGD 144A P/P /CAD/ 2.32100000
345213HK1
577903.74000000
NS
470426.98000000
0.078335156068
Long
ABS-CBDO
CORP
CA
Y
2
2023-10-15
Fixed
2.32100000
N
N
N
N
N
N
HIGHLANDS CNTY FL V/R 11/15/37
N/A
HIGHLANDS CNTY FL HLTH FACS AU REGD V/R B/E 0.03000000
431022KG6
4000000.00000000
NS
USD
4000000.00000000
0.666077069543
Long
DBT
MUN
US
N
2
2037-11-15
Variable
0.03000000
N
N
N
N
N
N
FNR 2020-29 FC V/R 05/25/50
N/A
FANNIE MAE REMICS SER 2020-29 CL FC V/R 0.91013000
3136B9TM9
2676631.66000000
NS
USD
2699716.81000000
0.449554865350
Long
ABS-CBDO
CORP
US
N
2
2050-05-25
Variable
0.91013000
N
N
N
N
N
N
CONNECTICUT ST HLT 4% 07/01/22
549300ZOQJ5U8YBS5Q35
CONNECTICUT ST HLTH & EDUCTNL REGD N/C B/E 4.00000000
20775DJX1
500000.00000000
NS
USD
518206.25000000
0.086291325104
Long
DBT
MUN
US
N
2
2022-07-01
Fixed
4.00000000
N
N
N
N
N
N
MARICOPA CNTY AZ U 5% 07/01/22
N/A
MARICOPA CNTY AZ UNIF SCH DIST REGD N/C B/E 5.00000000
567389UY5
1310000.00000000
NS
USD
1373972.93000000
0.228792965711
Long
DBT
MUN
US
N
2
2022-07-01
Fixed
5.00000000
N
N
N
N
N
N
FSQ 2019-3 V/R 12/16/69 /GBP/
N/A
FINSBURY SQUARE 2019-3 PLC SER 2019-3 CL A V/R REGD REG S /GBP/ 1.06006000
G345AEAA8
335238.83000000
NS
466633.75000000
0.077703510187
Long
ABS-CBDO
CORP
GB
N
2
2069-12-16
Variable
1.06006000
N
N
N
N
N
N
ILLINOIS ST HSG D V/R 10/01/22
54930053Z6M9JVHBQZ16
ILLINOIS ST HSG DEV AUTH MF HS REGD V/R B/E 1.90000000
45203LCW1
3000000.00000000
NS
USD
3012529.80000000
0.501644255273
Long
DBT
MUN
US
N
2
2022-10-01
Variable
1.90000000
N
N
N
N
N
N
DTAOT 2020-3A 0.54% 05/16/22
N/A
DT AUTO OWNER TRUST 2020-3 SER 2020-3A CL A REGD 144A P/P 0.54000000
26253AAA4
1203362.05000000
NS
USD
1204869.02000000
0.200633906506
Long
ABS-CBDO
CORP
US
Y
2
2024-04-15
Fixed
0.54000000
N
N
N
N
N
N
AMERICAN ELECTRIC V/R 11/01/23
1B4S6S7G0TW5EE83BO58
AMERICAN ELECTRIC POWER REGD V/R SER A 0.65563000
025537AS0
1300000.00000000
NS
USD
1301027.78000000
0.216646192774
Long
DBT
CORP
US
N
2
2023-11-01
Variable
0.65563000
N
N
N
N
N
N
SACRAMENTO CNTY CA 5% 12/01/22
549300MSDPX3EYMUYV38
SACRAMENTO CNTY CA SANTN DISTS REGD N/C B/E 5.00000000
786134WK8
2000000.00000000
NS
USD
2137665.00000000
0.355962409716
Long
DBT
MUN
US
N
2
2022-12-01
Fixed
5.00000000
N
N
N
N
N
N
INDIANAPOLIS IN LO 5% 06/01/22
549300LX8ESJHDSESB87
INDIANAPOLIS IN LOCAL PUBLIC I REGD N/C B/E 5.00000000
45528UR45
400000.00000000
NS
USD
417297.80000000
0.069488123937
Long
DBT
MUN
US
N
2
2022-06-01
Fixed
5.00000000
N
N
N
N
N
N
CIT GROUP INC 5% 08/15/22
N8O96ZZJQRFYQUJY7K79
CIT GROUP INC REGD 5.00000000
125581GQ5
500000.00000000
NS
USD
522500.00000000
0.087006317209
Long
DBT
CORP
US
N
2
2022-08-15
Fixed
5.00000000
N
N
N
N
N
N
PRET 2021-RN1 A1 V/R 07/25/24
N/A
PRETIUM MORTGAGE CREDIT PARTNERS LLC SER 2021-RN1 CL A1 V/R REGD 144A P/P 1.99170000
74140QAA6
400000.00000000
NS
USD
399613.20000000
0.066543297301
Long
ABS-CBDO
CORP
US
Y
2
2061-02-25
Fixed
1.99170000
N
N
N
N
N
N
F/C US 2YR NOTE (CBT) SEP21
N/A
FUTURE CONTRACT ON US 2YR NOTE (CBT) SEP21 0.00000000
N/A
213.00000000
NC
USD
46928226.46000000
7.814453889833
N/A
DIR
CORP
US
N
1
CITIGROUP GLOBAL MARKETS INC
MBNUM2BPBDO7JBLYG310
Long
F/C US 2YR NOTE (CBT) SEP21
US 2YR NOTE (CBT) SEP21
2021-09-30
47012737.45000000
USD
-84510.99000000
N
N
N
MASSACHUSETTS ST D 5% 12/01/21
549300UZSVMFXJK08K70
MASSACHUSETTS ST DEV FIN AGY R REGD N/C B/E 5.00000000
57584YUN7
1000000.00000000
NS
USD
1019809.30000000
0.169817897509
Long
DBT
MUN
US
N
2
2021-12-01
Fixed
5.00000000
N
N
N
N
N
N
SHELBY CNTY TN HL V/R 06/01/42
N/A
SHELBY CNTY TN HLTH EDUCTNL &H REGD V/R B/E AGM 0.02000000
821697L23
2775000.00000000
NS
USD
2775000.00000000
0.462090966995
Long
DBT
MUN
US
N
2
2042-06-01
Variable
0.02000000
N
N
N
N
N
N
FLORIDA ST GULF C V/R 02/01/39
N/A
FLORIDA ST GULF COAST UNIV FIN REGD V/R B/E 0.03000000
34073XCL0
3455000.00000000
NS
USD
3455000.00000000
0.575324068817
Long
DBT
MUN
US
N
2
2039-02-01
Variable
0.03000000
N
N
N
N
N
N
ALLEN TX INDEP SCH 5% 02/15/22
N/A
ALLEN TX INDEP SCH DIST REGD N/C B/E PSF-GTD 5.00000000
018106TU8
3000000.00000000
NS
USD
3091023.60000000
0.514714985344
Long
DBT
MUN
US
N
2
2022-02-15
Fixed
5.00000000
N
N
N
N
N
N
PACIFIC GAS & E 3.85% 11/15/23
N/A
PACIFIC GAS & ELECTRIC REGD 3.85000000
694308HE0
400000.00000000
NS
USD
419258.36000000
0.069814594952
Long
DBT
CORP
US
N
2
2023-11-15
Fixed
3.85000000
N
N
N
N
N
N
GENERAL MILLS I 6.41% 10/15/22
2TGYMUGI08PO8X8L6150
GENERAL MILLS INC REGD MTN 6.41000000
37033LGD2
600000.00000000
NS
USD
642857.29000000
0.107048124964
Long
DBT
CORP
US
N
2
2022-10-15
Fixed
6.41000000
N
N
N
N
N
N
LANCASTER PA HGR E 5% 10/01/23
N/A
LANCASTER PA HGR EDU AUTH REGD N/C B/E BAM 5.00000000
514328HK2
600000.00000000
NS
USD
663342.90000000
0.110459373733
Long
DBT
MUN
US
N
2
2023-10-01
Fixed
5.00000000
N
N
N
N
N
N
BURBANK GLENDALE P 5% 07/01/22
N/A
BURBANK GLENDALE PASADENA CA A REGD N/C B/E AMT 5.00000000
120827DK3
1430000.00000000
NS
USD
1496735.67000000
0.249235327238
Long
DBT
MUN
US
N
2
2022-07-01
Fixed
5.00000000
N
N
N
N
N
N
PHILADELPHIA PA AU 5% 10/01/21
549300DIY68KQZEW7M79
PHILADELPHIA PA AUTH FOR INDL REGD N/C B/E 5.00000000
71781QEV6
4000000.00000000
NS
USD
4045710.40000000
0.673688731863
Long
DBT
MUN
US
N
2
2021-10-01
Fixed
5.00000000
N
N
N
N
N
N
FLORIDA ST BRD OF 5% 06/01/22
5493004G5XFOOUT0LQ57
FLORIDA ST BRD OF EDU PUBLIC E REGD N/C B/E 5.00000000
34153P6T0
2500000.00000000
NS
USD
2611653.50000000
0.434890627485
Long
DBT
MUN
US
N
2
2022-06-01
Fixed
5.00000000
N
N
N
N
N
N
MASSACHUSETTS ST D 5% 10/01/22
549300UZSVMFXJK08K70
MASSACHUSETTS ST DEV FIN AGY R REGD N/C B/E 5.00000000
57584YZQ5
2350000.00000000
NS
USD
2490459.03000000
0.414709413129
Long
DBT
MUN
US
N
2
2022-10-01
Fixed
5.00000000
N
N
N
N
N
N
FHLB D/N 07/16/21
N/A
FEDERAL HOME LOAN BANK DISCOUNT NOTES 0.00000000
313385JE7
900000.00000000
PA
USD
899988.75000000
0.149865467305
Long
STIV
USGA
US
N
2
2021-07-16
Fixed
0.00000000
N
N
N
N
N
N
CHARTER COMM OPT V/R 02/01/24
N/A
CHARTER COMM OPT LLC/CAP REGD V/R 1.82563000
161175BP8
1100000.00000000
NS
USD
1130712.00000000
0.188285333864
Long
DBT
CORP
US
N
2
2024-02-01
Variable
1.82563000
N
N
N
N
N
N
GENERAL ELE 4.6% 01/26/22/CAD/
N/A
GENERAL ELEC CAP CANADA /CAD/ REGD MTN 4.60000000
36158ZBV7
800000.00000000
NS
660040.01000000
0.109909378910
Long
DBT
CORP
CA
N
2
2022-01-26
Fixed
4.60000000
N
N
N
N
N
N
HYUNDAI CAPITAL 0.8% 04/03/23
N/A
HYUNDAI CAPITAL AMERICA REGD 144A P/P MTN 0.80000000
44891ABU0
1200000.00000000
NS
USD
1199763.55000000
0.199783747382
Long
DBT
CORP
US
Y
2
2023-04-03
Fixed
0.80000000
N
N
N
N
N
N
KOREA DEVELOPMENT V/R 10/30/22
N/A
KOREA DEVELOPMENT BANK REGD V/R REG S EMTN SER GMTN 0.97713000
Y4S21XMA2
500000.00000000
NS
USD
503725.00000000
0.083879917963
Long
DBT
USGA
KR
N
2
2022-10-30
Variable
0.97713000
N
N
N
N
N
N
ORLANDO FL UTILIT V/R 10/01/33
549300EJR7JVMRXL5D66
ORLANDO FL UTILITIES COMMISSIO REGD V/R B/E 0.03000000
686507DZ4
6785000.00000000
NS
USD
6785000.00000000
1.129833229212
Long
DBT
MUN
US
N
2
2033-10-01
Variable
0.03000000
N
N
N
N
N
N
N TX TOLLWAY AUTH 5% 01/01/22
PQGZGRE0F2WPMYQQ1B78
N TX TOLLWAY AUTH REVENUE REGD N/C B/E 5.00000000
66285WC53
1120000.00000000
NS
USD
1146824.22000000
0.190968328934
Long
DBT
MUN
US
N
2
2022-01-01
Fixed
5.00000000
N
N
N
N
N
N
MITSUBISHI UFJ FI V/R 07/26/23
353800V2V8PUY9TK3E06
MITSUBISHI UFJ FIN GRP REGD V/R 1.03575000
606822AZ7
2500000.00000000
NS
USD
2533496.40000000
0.421875964452
Long
DBT
CORP
JP
N
2
2023-07-26
Variable
1.03575000
N
N
N
N
N
N
MORGAN STANL V/R 02/03/23/CAD/
IGJSJL3JD5P30I6NJZ34
MORGAN STANLEY /CAD/ REGD V/R P/P MTN SER MPLE 0.73500000
6174468M4
2000000.00000000
NS
1615298.48000000
0.268978319498
Long
DBT
CORP
US
N
2
2023-02-03
Variable
0.73500000
N
N
N
N
N
N
MARICOPA CNTY AZ I 5% 09/01/21
N/A
MARICOPA CNTY AZ INDL DEV AUTH REGD N/C B/E 5.00000000
56678PAC1
725000.00000000
NS
USD
730735.62000000
0.121681560095
Long
DBT
MUN
US
N
2
2021-09-01
Fixed
5.00000000
N
N
N
N
N
N
BANK OF AMER V/R 03/15/23/CAD/
N/A
BANK OF AMERICA CORP /CAD/ REGD V/R MTN SER MPLE 2.60400000
060505EZ3
1200000.00000000
NS
982117.13000000
0.163541424974
Long
DBT
CORP
US
N
2
2023-03-15
Variable
2.60400000
N
N
N
N
N
N
MCDONALD'S C V/R 03/08/24/AUD/
UE2136O97NLB5BYP9H04
MCDONALD'S CORP /AUD/ REGD V/R MTN 1.15490000
U58013CW8
600000.00000000
NS
455481.92000000
0.075846515625
Long
DBT
CORP
US
N
2
2024-03-08
Variable
1.15490000
N
N
N
N
N
N
OSCAR 2021-1A A 0.4% 02/10/23
N/A
OSCAR US FUNDING XII LLC SER 2021-1A CL A2 REGD 144A P/P 0.40000000
68785AAB1
1700000.00000000
NS
USD
1698722.28000000
0.282869989557
Long
ABS-CBDO
CORP
JP
Y
2
2024-03-11
Fixed
0.40000000
N
N
N
N
N
N
MIAMI-DADE CNTY FL 5% 10/01/21
N/A
MIAMI-DADE CNTY FL AVIATION RE REGD N/C B/E 5.00000000
59333P4T2
1650000.00000000
NS
USD
1669607.12000000
0.278021754444
Long
DBT
MUN
US
N
2
2021-10-01
Fixed
5.00000000
N
N
N
N
N
N
FORT LAUDERDALE FL 5% 07/01/22
N/A
FORT LAUDERDALE FL REGD N/C B/E 5.00000000
347550NV3
1215000.00000000
NS
USD
1274082.66000000
0.212159311132
Long
DBT
MUN
US
N
2
2022-07-01
Fixed
5.00000000
N
N
N
N
N
N
WASHOE CNTY NV SCH 5% 10/01/21
N/A
WASHOE CNTY NV SCH DIST REGD N/C B/E 5.00000000
940859AV3
1250000.00000000
NS
USD
1265107.13000000
0.210664712452
Long
DBT
MUN
US
N
2
2021-10-01
Fixed
5.00000000
N
N
N
N
N
N
MASSACHUSETTS ST E 5% 07/01/22
5493007K5OP7V6CL0Y88
MASSACHUSETTS ST EDUCTNL FING REGD N/C B/E AMT 5.00000000
57563RPS2
2000000.00000000
NS
USD
2095191.60000000
0.348889770264
Long
DBT
MUN
US
N
2
2022-07-01
Fixed
5.00000000
N
N
N
N
N
N
SMI 2019-1A 1A V/R 01/21/70
N/A
SILVERSTONE MASTER ISSUER PLC SER 2019-1A CL 1A V/R REGD 144A P/P 0.75600000
82846GAV2
127000.00000000
NS
USD
127240.21000000
0.021187946551
Long
ABS-CBDO
CORP
GB
Y
2
2070-01-21
Variable
0.75600000
N
N
N
N
N
N
KOREA NATIONAL OI V/R 07/16/23
N/A
KOREA NATIONAL OIL CORP REGD V/R REG S EMTN SER GMTN 1.05863000
Y48216AB4
500000.00000000
NS
USD
505105.00000000
0.084109714552
Long
DBT
USGA
KR
N
2
2023-07-16
Variable
1.05863000
N
N
N
N
N
N
SMB 2020-PTA A2 1.6% 09/15/54
N/A
SMB PRIVATE EDUCATION LOAN TRUST 2020-PT-A SER 2020-PTA CL A2A REGD 144A P/P 1.60000000
78449VAB2
800000.00000000
NS
USD
808035.60000000
0.134553496133
Long
ABS-CBDO
CORP
US
Y
2
2054-09-15
Fixed
1.60000000
N
N
N
N
N
N
SAN ANTONIO TX MUN 5% 02/01/23
N/A
SAN ANTONIO TX MUNI DRAIN UTIL REGD N/C B/E 5.00000000
796311CR7
1000000.00000000
NS
USD
1076331.90000000
0.179229999451
Long
DBT
MUN
US
N
2
2023-02-01
Fixed
5.00000000
N
N
N
N
N
N
VERIZON COMMUNICA V/R 05/15/25
2S72QS2UO2OESLG6Y829
VERIZON COMMUNICATIONS REGD V/R 1.25588000
92343VEP5
200000.00000000
NS
USD
206154.04000000
0.034328619709
Long
DBT
CORP
US
N
2
2025-05-15
Variable
1.25588000
N
N
N
N
N
N
LOS ANGELES CA DE V/R 07/01/35
N/A
LOS ANGELES CA DEPT OF WTR & P REGD V/R B/E 0.01000000
544525DD7
500000.00000000
NS
USD
500000.00000000
0.083259633692
Long
DBT
MUN
US
N
2
2035-07-01
Variable
0.01000000
N
N
N
N
N
N
ORANGE CNTY FL HL V/R 01/01/39
N/A
ORANGE CNTY FL HLTH FACS AUTH REGD V/R B/E 0.02000000
6845036V2
900000.00000000
NS
USD
900000.00000000
0.149867340647
Long
DBT
MUN
US
N
2
2039-01-01
Variable
0.02000000
N
N
N
N
N
N
MCCT 2021-1A A 0.53% 05/21/24
N/A
MASTER CREDIT CARD TRUST SER 2021-1A CL A REGD 144A P/P 0.53000000
576339CJ2
900000.00000000
NS
USD
897475.41000000
0.149446947769
Long
ABS-CBDO
CORP
CA
Y
2
2025-11-21
Fixed
0.53000000
N
N
N
N
N
N
TENNESSEE ST EN 5.25% 09/01/21
549300OJ2Z8PGEY46K92
TENNESSEE ST ENERGY ACQUISITIO REGD N/C B/E 5.25000000
880443BN5
2040000.00000000
NS
USD
2056665.37000000
0.342474410670
Long
DBT
MUN
US
N
2
2021-09-01
Fixed
5.25000000
N
N
N
N
N
N
CANBY 1 A2 V/R 05/16/56 /GBP/
N/A
CANTERBURY FINANCE NO 1 PLC SER 1 CL A2 V/R REGD REG S /GBP/ 1.39980000
G1825MAF2
1000000.00000000
NS
1397733.32000000
0.232749528447
Long
ABS-CBDO
CORP
GB
N
2
2056-05-16
Variable
1.39980000
N
N
N
N
N
N
N/A
N/A
AUD/USD FWD 20210702 000016440 USD
N/A
1.00000000
NC
N/A
-15516.93000000
-0.00258386781
N/A
DFE
N/A
N
2
MORGAN STANLEY AND CO. INTERNA
N/A
-1818022.06000000
USD
2403500.00000000
AUD
2021-07-02
-15516.93000000
N
N
N
SMB 2020-PTA A1 V/R 09/15/54
N/A
SMB PRIVATE EDUCATION LOAN TRUST 2020-PT-A SER 2020-PTA CL A1 V/R REGD 144A P/P 0.39150000
78449VAA4
90320.96000000
NS
USD
90312.66000000
0.015038797978
Long
ABS-CBDO
CORP
US
Y
2
2054-09-15
Variable
0.39150000
N
N
N
N
N
N
INDIANA ST FIN AUT 5% 02/01/22
N/A
INDIANA ST FIN AUTH REVENUE REGD N/C B/E 5.00000000
45506DPS8
950000.00000000
NS
USD
976902.20000000
0.162673038651
Long
DBT
MUN
US
N
2
2022-02-01
Fixed
5.00000000
N
N
N
N
N
N
HOUSTON TX ARPT SY 5% 07/01/21
N/A
HOUSTON TX ARPT SYS REVENUE REGD N/C B/E 5.00000000
442349CL8
1150000.00000000
NS
USD
1150000.00000000
0.191497157493
Long
DBT
MUN
US
N
2
2021-07-01
Fixed
5.00000000
N
N
N
N
N
N
GNR 2017-121 PE 3% 07/20/46
N/A
GOVERNMENT NATIONAL MORTGAGE ASSOCIATION SER 2017-121 CL PE 3.00000000
38380TV37
667289.72000000
NS
USD
682332.37000000
0.113621486366
Long
ABS-CBDO
CORP
US
N
2
2046-07-20
Fixed
3.00000000
N
N
N
N
N
N
MASSACHUSETTS ST D 4% 07/01/21
549300UZSVMFXJK08K70
MASSACHUSETTS ST DEV FIN AGY R REGD N/C B/E 4.00000000
57584YSQ3
720000.00000000
NS
USD
720000.00000000
0.119893872517
Long
DBT
MUN
US
N
2
2021-07-01
Fixed
4.00000000
N
N
N
N
N
N
MAINE HLTH & HGR E 5% 07/01/23
N/A
MAINE HLTH & HGR EDUCTNL FACS REGD N/C B/E AGM 5.00000000
56042RF49
550000.00000000
NS
USD
602259.52000000
0.100287814046
Long
DBT
MUN
US
N
2
2023-07-01
Fixed
5.00000000
N
N
N
N
N
N
OYSTER BAY NY 2% 03/01/22
N/A
OYSTER BAY NY REGD N/C B/E 2.00000000
692160SL9
900000.00000000
NS
USD
908940.06000000
0.151356032888
Long
DBT
MUN
US
N
2
2022-03-01
Fixed
2.00000000
N
N
N
N
N
N
PENNSYLVANIA ST EC 4% 10/15/22
N/A
PENNSYLVANIA ST ECON DEV FING REGD N/C B/E 4.00000000
70870JCM8
600000.00000000
NS
USD
629741.94000000
0.104864166490
Long
DBT
MUN
US
N
2
2022-10-15
Fixed
4.00000000
N
N
N
N
N
N
GAINESVILLE FL UT V/R 10/01/38
N/A
GAINESVILLE FL UTILITIES SYS R REGD V/R B/E 0.03000000
362848PV9
5415000.00000000
NS
USD
5415000.00000000
0.901701832894
Long
DBT
MUN
US
N
2
2038-10-01
Variable
0.03000000
N
N
N
N
N
N
EQUIFAX INC V/R 08/15/21
5493004MCF8JDC86VS77
EQUIFAX INC REGD V/R SER FRN 1.02588000
294429AP0
3090000.00000000
NS
USD
3092745.19000000
0.515001663249
Long
DBT
CORP
US
N
2
2021-08-15
Variable
1.02588000
N
N
N
N
N
N
TEXAS ST WTR DEV B 3% 10/15/22
N/A
TEXAS ST WTR DEV BRD REGD N/C B/E 3.00000000
8828543R1
2000000.00000000
NS
USD
2073714.40000000
0.345313402655
Long
DBT
MUN
US
N
2
2022-10-15
Fixed
3.00000000
N
N
N
N
N
N
AREIT 2020-CRE4 V/R 12/15/22
N/A
AREIT 2020-CRE4 TRUST SER 2020-CRE4 CL A V/R REGD 2.74448000
04002RAA8
740902.19000000
NS
USD
744899.51000000
0.124040120681
Long
ABS-CBDO
CORP
KY
Y
2
2037-04-15
Variable
2.74448000
N
N
N
N
N
N
TRIBOROUGH NY BRI V/R 01/01/32
54930020ZN4LQF7K3456
TRIBOROUGH NY BRIDGE & TUNNEL REGD V/R B/E 0.01000000
89602REB7
1430000.00000000
NS
USD
1430000.00000000
0.238122552361
Long
DBT
MUN
US
N
2
2032-01-01
Variable
0.01000000
N
N
N
N
N
N
MASSACHUSETTS ST 5% 07/01/23
5493001N1YCXNI1O7K10
MASSACHUSETTS ST REGD N/C B/E 5.00000000
57582RJS6
4650000.00000000
NS
USD
5096738.99000000
0.848705242671
Long
DBT
MUN
US
N
2
2023-07-01
Fixed
5.00000000
N
N
N
N
N
N
LMAT 2021-GS3 A1 V/R 07/25/61
N/A
LEGACY MORTGAGE ASSET TRUST 2021-GS3 SER 2021-GS3 CL A1 V/R REGD 144A P/P 1.75000000
52474XAA3
1600000.00000000
NS
USD
1596027.68000000
0.265769360001
Long
ABS-CBDO
CORP
US
Y
2
2061-07-25
Variable
1.75000000
N
N
N
N
N
N
NEW YORK ST DORM A 5% 07/01/23
549300C8XO7EXTX2XU71
NEW YORK ST DORM AUTH REVENUES REGD N/C B/E 5.00000000
65000BAB4
500000.00000000
NS
USD
548036.45000000
0.091258628154
Long
DBT
MUN
US
N
2
2023-07-01
Fixed
5.00000000
N
N
N
N
N
N
N/A
N/A
CAD/USD FWD 20210702 000006038 USD
N/A
1.00000000
NC
N/A
134481.97000000
0.022393839120
N/A
DFE
N/A
N
2
BANK OF AMERICA, N.A.
N/A
-6528000.00000000
CAD
5400696.88000000
USD
2021-07-02
134481.97000000
N
N
N
GOLDMAN SACHS GRO V/R 02/23/23
784F5XWPLTWKTBV3E584
GOLDMAN SACHS GROUP INC REGD V/R 0.90013000
38141GWU4
200000.00000000
NS
USD
201772.72000000
0.033599045512
Long
DBT
CORP
US
N
2
2023-02-23
Variable
0.90013000
N
N
N
N
N
N
HYUNDAI CAPITAL AM 3% 06/20/22
N/A
HYUNDAI CAPITAL AMERICA REGD 144A P/P 3.00000000
44891ABA4
174000.00000000
NS
USD
177971.74000000
0.029635723760
Long
DBT
CORP
US
Y
2
2022-06-20
Fixed
3.00000000
N
N
N
N
N
N
SLMA 2004-10 A7B V/R 10/25/29
N/A
SLM STUDENT LOAN TRUST 2004-10 SER 2004-10 CL A7B V/R 0.77575000
78442GNK8
1680053.88000000
NS
USD
1682279.62000000
0.280131969860
Long
ABS-CBDO
CORP
US
Y
2
2029-10-25
Variable
0.77575000
N
N
N
N
N
N
NATWEST GROUP PLC V/R 06/25/24
N/A
NATWEST GROUP PLC REGD V/R 1.69725000
780097BH3
700000.00000000
NS
USD
715865.43000000
0.119205386950
Long
DBT
CORP
GB
N
2
2024-06-25
Variable
1.69725000
N
N
N
N
N
N
ORLANDO FL CAPITAL 5% 10/01/21
G8GZFWRIKS3AFD6AWU52
ORLANDO FL CAPITAL IMPT SPL RE REGD N/C B/E 5.00000000
68641HMR2
775000.00000000
NS
USD
784366.42000000
0.130612121620
Long
DBT
MUN
US
N
2
2021-10-01
Fixed
5.00000000
N
N
N
N
N
N
PORT AUTH OF NEW Y 5% 09/01/21
54930006MR4KZ4W74Z83
PORT AUTH OF NEW YORK & NEW JE REGD N/C B/E AMT 5.00000000
73358WTK0
3060000.00000000
NS
USD
3083951.54000000
0.513537351094
Long
DBT
MUN
US
N
2
2021-09-01
Fixed
5.00000000
N
N
N
N
N
N
GCAT 2020-3 A1 V/R 09/25/23
N/A
GCAT 2020-3 LLC SER 2020-3 CL A1 V/R REGD 144A P/P 2.98140000
36168CAA3
1016416.88000000
NS
USD
1026010.53000000
0.170850521785
Long
ABS-CBDO
CORP
US
Y
2
2025-09-25
Variable
2.98140000
N
N
N
N
N
N
NISSAN MOTOR ACCE V/R 07/13/22
N/A
NISSAN MOTOR ACCEPTANCE REGD V/R 144A P/P MTN 0.83750000
654740BA6
700000.00000000
NS
USD
701302.20000000
0.116780328560
Long
DBT
CORP
US
Y
2
2022-07-13
Variable
0.83750000
N
N
N
N
N
N
PENNSYLVANIA ST 5% 08/15/21
N/A
PENNSYLVANIA ST REGD N/C B/E 5.00000000
70914PYM8
7210000.00000000
NS
USD
7251659.38000000
1.207541007288
Long
DBT
MUN
US
N
2
2021-08-15
Fixed
5.00000000
N
N
N
N
N
N
NEW YORK CITY NY T 4% 11/01/22
N/A
NEW YORK CITY NY TRANSITIONAL REGD N/C B/E 4.00000000
64971XMQ8
1800000.00000000
NS
USD
1892512.62000000
0.315139815000
Long
DBT
MUN
US
N
2
2022-11-01
Fixed
4.00000000
N
N
N
N
N
N
OHIO ST UNIV V/R 12/01/44
JFC10ZULKO4X2E3HBY86
OHIO ST UNIV REGD V/R B/E 0.02000000
677632E56
6725000.00000000
NS
USD
6725000.00000000
1.119842073169
Long
DBT
MUN
US
N
2
2044-12-01
Variable
0.02000000
N
N
N
N
N
N
NEW YORK CITY NY V/R 11/01/29
N/A
NEW YORK CITY NY TRANSITIONAL REGD V/R B/E 0.02000000
64971QPQ0
3500000.00000000
NS
USD
3500000.00000000
0.582817435850
Long
DBT
MUN
US
N
2
2029-11-01
Variable
0.02000000
N
N
N
N
N
N
SAN ANTONIO TX IND 5% 02/15/22
N/A
SAN ANTONIO TX INDEP SCH DIST REGD N/C B/E PSF-GTD 5.00000000
796269VK1
6560000.00000000
NS
USD
6759038.27000000
1.125510100952
Long
DBT
MUN
US
N
2
2022-02-15
Fixed
5.00000000
N
N
N
N
N
N
ARIZONA BRD OF RG V/R 07/01/34
254900BLZ1MCZ5JLK411
ARIZONA BRD OF RGTS ST UNIV SY REGD V/R B/E 0.03000000
04048RAA4
1900000.00000000
NS
USD
1900000.00000000
0.316386608033
Long
DBT
MUN
US
N
2
2034-07-01
Variable
0.03000000
N
N
N
N
N
N
COLT 2020-1R A1 V/R 09/25/65
N/A
COLT 2020-1R MORTGAGE LOAN TRUST SER 2020-1R CL A1 V/R REGD 144A P/P 1.25500000
12597VAA3
284796.32000000
NS
USD
285817.43000000
0.047594109049
Long
ABS-CBDO
CORP
US
Y
2
2065-09-25
Variable
1.25500000
N
N
N
N
N
N
LMAT 2019-GS3 A1 V/R 04/25/59
N/A
LEGACY MORTGAGE ASSET TRUST 2019-GS3 SER 2019-GS3 CL A1 V/R REGD 144A P/P 3.75000000
52474WAA5
226167.24000000
NS
USD
228048.34000000
0.037974442505
Long
ABS-CBDO
CORP
US
Y
2
2059-04-25
Variable
3.75000000
N
N
N
N
N
N
BRASS 8A A1 V/R 11/16/66
N/A
BRASS NO 8 PLC SER 8A CL A1 V/R REGD 144A P/P 0.85588000
10554MAA8
132142.41000000
NS
USD
132683.11000000
0.022094294271
Long
ABS-CBDO
CORP
GB
Y
2
2066-11-16
Variable
0.85588000
N
N
N
N
N
N
US T BILL ZCP 07/13/21
N/A
UNITED STATES TREASURY BILL ZCP 0.00000000
912796H93
1800000.00000000
PA
USD
1799973.76000000
0.299730311828
Long
STIV
UST
US
N
2
2021-07-13
Fixed
0.00000000
N
N
N
N
N
N
CENTRL FL EXPRESSW 5% 07/01/22
N/A
CENTRL FL EXPRESSWAY AUTH SR L REGD N/C B/E AGM 5.00000000
153476GF7
1100000.00000000
NS
USD
1153376.95000000
0.192059484733
Long
DBT
MUN
US
N
2
2022-07-01
Fixed
5.00000000
N
N
N
N
N
N
NSLT 2019-2A A V/R 09/25/32
N/A
NELNET STUDENT LOAN TRUST 2019-2 SER 2019-2A CL A V/R 144A P/P 0.99150000
64034NAA3
1331227.05000000
NS
USD
1350353.72000000
0.224859912166
Long
ABS-CBDO
CORP
US
Y
2
2067-06-27
Variable
0.99150000
N
N
N
N
N
N
NEW YORK CITY NY V/R 08/01/42
N/A
NEW YORK CITY NY TRANSITIONAL REGD V/R B/E 0.02000000
64971XHV3
1000000.00000000
NS
USD
1000000.00000000
0.166519267385
Long
DBT
MUN
US
N
2
2042-08-01
Variable
0.02000000
N
N
N
N
N
N
NEW JERSEY ST SPOR 5% 09/01/21
N/A
NEW JERSEY ST SPORTS & EXPOSIT REGD N/C B/E 5.00000000
64603RWP8
4000000.00000000
NS
USD
4029027.20000000
0.670910657621
Long
DBT
MUN
US
N
2
2021-09-01
Fixed
5.00000000
N
N
N
N
N
N
N TX TOLLWAY AUTH 5% 01/01/22
PQGZGRE0F2WPMYQQ1B78
N TX TOLLWAY AUTH REVENUE REGD N/C B/E ETM 5.00000000
66285WC46
880000.00000000
NS
USD
900936.96000000
0.150023362539
Long
DBT
MUN
US
N
2
2022-01-01
Fixed
5.00000000
N
N
N
N
N
N
CASH COLLATERAL SAL USD
N/A
CASH COLLATERAL SAL USD 0.00000000
N/A
335000.00000000
NS
USD
335000.00000000
0.055783954574
Long
STIV
CORP
US
N
2
2049-12-31
Floating
0.00000000
N
N
N
N
N
N
DALLAS TX 5% 02/15/22
N/A
DALLAS TX REGD N/C B/E 5.00000000
235219MQ2
3000000.00000000
NS
USD
3090641.40000000
0.514651341680
Long
DBT
MUN
US
N
2
2022-02-15
Fixed
5.00000000
N
N
N
N
N
N
N/A
N/A
AUD/USD FWD 20210803 000016440 USD
N/A
1.00000000
NC
N/A
15482.13000000
0.002578072945
N/A
DFE
N/A
N
2
MORGAN STANLEY AND CO. INTERNA
N/A
-2403500.00000000
AUD
1818276.59000000
USD
2021-08-03
15482.13000000
N
N
N
CHELAN CNTY WA PU V/R 07/01/32
5493004E8FN9GU2SU067
CHELAN CNTY WA PUBLIC UTILITYD REGD V/R B/E 0.02000000
163103UP7
4000000.00000000
NS
USD
4000000.00000000
0.666077069543
Long
DBT
MUN
US
N
2
2032-07-01
Variable
0.02000000
N
N
N
N
N
N
BX 2018-IND A V/R 10/15/20
N/A
BX COMMERCIAL MORTGAGE TRUST 2018-IND SER 2018-IND CL A V/R REGD 144A P/P 0.82300000
056059AA6
1084581.84000000
NS
USD
1084936.82000000
0.180662884426
Long
ABS-CBDO
CORP
US
Y
2
2035-11-15
Variable
0.82300000
N
N
N
N
N
N
DALLAS-FORT WORTH 5% 11/01/22
N/A
DALLAS-FORT WORTH TX INTERNATI REGD N/C B/E 5.00000000
2350365P1
3000000.00000000
NS
USD
3191138.70000000
0.531386078450
Long
DBT
MUN
US
N
2
2022-11-01
Fixed
5.00000000
N
N
N
N
N
N
AMERICAN EXPRES 2.75% 05/20/22
R4PP93JZOLY261QX3811
AMERICAN EXPRESS CO REGD SER FXD 2.75000000
025816CD9
3700000.00000000
NS
USD
3772908.94000000
0.628262032602
Long
DBT
CORP
US
N
2
2022-05-20
Fixed
2.75000000
N
N
N
N
N
N
MEMPHIS-SHELBY CNT 5% 07/01/21
N/A
MEMPHIS-SHELBY CNTY TN ARPT AU REGD N/C B/E AMT 5.00000000
586111NT9
1100000.00000000
PA
USD
1100000.00000000
0.183171194124
Long
STIV
MUN
US
N
2
2021-07-01
Fixed
5.00000000
N
N
N
N
N
N
DANSKE BANK A/S V/R 09/20/22
MAES062Z21O4RZ2U7M96
DANSKE BANK A/S REGD V/R 3.00100000
23636AAU5
1200000.00000000
NS
USD
1205855.92000000
0.200798244371
Long
DBT
CORP
DK
Y
2
2022-09-20
Variable
3.00100000
N
N
N
N
N
N
FORDF 2019-3 A2 V/R 09/15/22
N/A
FORD CREDIT FLOORPLAN MASTER OWNER TRUST A SER 2019-3 CL A2 V/R REGD 0.67288000
34528QHB3
600000.00000000
NS
USD
604009.32000000
0.100579189460
Long
ABS-CBDO
CORP
US
N
2
2024-09-15
Variable
0.67288000
N
N
N
N
N
N
N/A
N/A
GBP/USD FWD 20210702 000006038 USD
N/A
1.00000000
NC
N/A
185382.59000000
0.030869773072
N/A
DFE
N/A
N
2
BANK OF AMERICA, N.A.
N/A
-5248000.00000000
GBP
7444940.85000000
USD
2021-07-02
185382.59000000
N
N
N
AIRCASTLE LTD 5.5% 02/15/22
N/A
AIRCASTLE LTD REGD 5.50000000
00928QAN1
1450000.00000000
NS
USD
1492918.51000000
0.248599696551
Long
DBT
CORP
BM
N
2
2022-02-15
Fixed
5.50000000
N
N
N
N
N
N
FHLMC 0.6% 10/20/25
N/A
FEDERAL HOME LOAN MORTGAGE CORP 0.60000000
3134GWZG4
4600000.00000000
NS
USD
4554599.75000000
0.758428613605
Long
ABS-MBS
USGA
US
N
2
2025-10-20
Fixed
0.60000000
N
N
N
N
N
N
MASSACHUSETTS ST S 5% 08/15/22
N/A
MASSACHUSETTS ST SCH BLDG AUTH REGD N/C B/E 5.00000000
576000YE7
2560000.00000000
NS
USD
2699287.81000000
0.449483428584
Long
DBT
MUN
US
N
2
2022-08-15
Fixed
5.00000000
N
N
N
N
N
N
ILLINOIS ST HSG D V/R 10/01/22
54930053Z6M9JVHBQZ16
ILLINOIS ST HSG DEV AUTH MF HS REGD V/R B/E GNMA CO 1.90000000
45203LCV3
1500000.00000000
NS
USD
1506264.90000000
0.250822127636
Long
DBT
MUN
US
N
2
2022-10-01
Variable
1.90000000
N
N
N
N
N
N
NXP BV/NXP FUN 3.875% 09/01/22
N/A
NXP BV/NXP FUNDING LLC REGD P/P 3.87500000
62947QAW8
400000.00000000
NS
USD
414727.82000000
0.069060172750
Long
DBT
CORP
N/A
Y
2
2022-09-01
Fixed
3.87500000
N
N
N
N
N
N
PACIFIC GAS & E 3.75% 02/15/24
N/A
PACIFIC GAS & ELECTRIC REGD 3.75000000
694308HG5
100000.00000000
NS
USD
104850.63000000
0.017459650092
Long
DBT
CORP
US
N
2
2024-02-15
Fixed
3.75000000
N
N
N
N
N
N
PENNSYLVANIA ST 2.15% 11/01/21
N/A
PENNSYLVANIA ST ECON DEV FING REGD N/C B/E 2.15000000
708692AK4
1375000.00000000
NS
USD
1383492.55000000
0.230378165859
Long
DBT
MUN
US
N
2
2021-11-01
Fixed
2.15000000
N
N
N
N
N
N
HANA BANK V/R 10/02/22
N/A
HANA BANK REGD V/R 144A P/P MTN 0.89425000
482466AF6
500000.00000000
NS
USD
502000.05000000
0.083592680553
Long
DBT
CORP
KR
Y
2
2022-10-02
Variable
0.89425000
N
N
N
N
N
N
BMWC 202 1.956% 10/20/21 /CAD/
N/A
BMW CANADA AUTO TRUST SER 2020-1A CL A1 REGD 144A P/P /CAD/ 1.95600000
05570XBK1
765058.21000000
NS
618836.80000000
0.103048250567
Long
ABS-CBDO
CORP
CA
Y
2
2022-09-20
Fixed
1.95600000
N
N
N
N
N
N
MEMPHIS-SHELBY CNT 5% 07/01/22
N/A
MEMPHIS-SHELBY CNTY TN ARPT AU REGD N/C B/E AMT 5.00000000
586111NU6
1750000.00000000
NS
USD
1833112.05000000
0.305248475602
Long
DBT
MUN
US
N
2
2022-07-01
Fixed
5.00000000
N
N
N
N
N
N
DIST OF COLUMBIA V/R 04/01/41
549300HWFOZXPKGOX654
DIST OF COLUMBIA UNIV REVENUE REGD V/R B/E 0.03000000
25484JAQ3
1000000.00000000
NS
USD
1000000.00000000
0.166519267385
Long
DBT
MUN
US
N
2
2041-04-01
Variable
0.03000000
N
N
N
N
N
N
MFRA 2021-RPL1 A V/R 07/25/60
N/A
MFA 2021-RPL1 TRUST SER 2021-RPL1 CL A1 V/R REGD 144A P/P 1.13130000
55283QAA2
685970.12000000
NS
USD
683785.03000000
0.113863382244
Long
ABS-CBDO
CORP
US
Y
2
2060-07-25
Variable
1.13130000
N
N
N
N
N
N
PACIFIC GAS & E 4.25% 08/01/23
N/A
PACIFIC GAS & ELECTRIC REGD 4.25000000
694308JB4
800000.00000000
NS
USD
847722.10000000
0.141162063038
Long
DBT
CORP
US
N
2
2023-08-01
Fixed
4.25000000
N
N
N
N
N
N
LAN 2019-1A 1A1 V/R 08/22/21
N/A
LANARK MASTER ISSUER PLC SER 2019-1A CL 1A1 V/R REGD 144A P/P 0.92013000
513770BB2
750000.00000000
NS
USD
750848.63000000
0.125030763785
Long
ABS-CBDO
CORP
GB
Y
2
2069-12-22
Variable
0.92013000
N
N
N
N
N
N
CFII 2019-1A A 2.94% 11/15/22
N/A
CHESAPEAKE FUNDING II LLC SER 2019-1A CL A1 REGD 144A P/P 2.94000000
165183BY9
620416.78000000
NS
USD
625799.70000000
0.104207707574
Long
ABS-CBDO
CORP
US
Y
2
2031-04-15
Fixed
2.94000000
N
N
N
N
N
N
HINGHAM MA 5% 02/15/22
N/A
HINGHAM MA REGD N/C B/E 5.00000000
433344VE5
650000.00000000
NS
USD
669721.78000000
0.111521580157
Long
DBT
MUN
US
N
2
2022-02-15
Fixed
5.00000000
N
N
N
N
N
N
F/C BANK ACCEPT FUTR DEC22
N/A
FUTURE CONTRACT ON BANK ACCEPT FUTR DEC22 /CAD/ 0.00000000
N/A
80.00000000
NC
15939819.30000000
2.654287032097
N/A
DIR
CORP
CA
N
1
CITIGROUP GLOBAL MARKETS INC
MBNUM2BPBDO7JBLYG310
Long
F/C BANK ACCEPT FUTR DEC22
BANK ACCEPT FUTR DEC22 /CAD/
2022-12-19
15951214.10000000
CAD
-11394.80000000
N
N
N
CALIFORNIA ST 5% 11/01/22
N/A
CALIFORNIA ST REGD N/C B/E 5.00000000
13063DWE4
1000000.00000000
NS
USD
1064685.00000000
0.177290566196
Long
DBT
MUN
US
N
2
2022-11-01
Fixed
5.00000000
N
N
N
N
N
N
WELD CNTY CO SCH D 5% 12/01/22
N/A
WELD CNTY CO SCH DIST #6 GREEL REGD N/C B/E ST AID 5.00000000
949289PC0
1850000.00000000
NS
USD
1977613.74000000
0.329310791156
Long
DBT
MUN
US
N
2
2022-12-01
Fixed
5.00000000
N
N
N
N
N
N
SCLP 2019-3 A 2.9% 08/25/22
N/A
SOFI CONSUMER LOAN PROGRAM 2019-3 TRUST SER 2019-3 CL A REGD 144A P/P 2.90000000
83405TAA1
103735.32000000
NS
USD
104276.67000000
0.017364074693
Long
ABS-CBDO
CORP
US
Y
2
2028-05-25
Fixed
2.90000000
N
N
N
N
N
N
MASSACHUSETTS ST V/R 07/01/26
549300D2U0XBUXGX8P68
MASSACHUSETTS ST BAY TRANSPRTN REGD V/R B/E 0.02000000
575579E78
5130000.00000000
NS
USD
5130000.00000000
0.854243841689
Long
DBT
MUN
US
N
2
2026-07-01
Variable
0.02000000
N
N
N
N
N
N
PORT OF SEATTLE WA 5% 04/01/22
549300T9UCDUJ3GZL429
PORT OF SEATTLE WA REVENUE REGD N/C B/E AMT 5.00000000
735389F86
2000000.00000000
NS
USD
2070882.40000000
0.344841820090
Long
DBT
MUN
US
N
2
2022-04-01
Fixed
5.00000000
N
N
N
N
N
N
INDIANA ST FIN AU V/R 11/01/37
N/A
INDIANA ST FIN AUTH HLTH SYS R REGD V/R B/E 0.01000000
45470YBN0
1000000.00000000
NS
USD
1000000.00000000
0.166519267385
Long
DBT
MUN
US
N
2
2037-11-01
Variable
0.01000000
N
N
N
N
N
N
MAINE HLTH & HGR E 5% 07/01/22
N/A
MAINE HLTH & HGR EDUCTNL FACS REGD N/C B/E AGM 5.00000000
56042RF31
500000.00000000
NS
USD
524417.15000000
0.087325559622
Long
DBT
MUN
US
N
2
2022-07-01
Fixed
5.00000000
N
N
N
N
N
N
DURHAM CNTY NC 5% 04/01/22
N/A
DURHAM CNTY NC REGD N/C B/E 5.00000000
266705J29
1135000.00000000
NS
USD
1176537.37000000
0.195916140904
Long
DBT
MUN
US
N
2
2022-04-01
Fixed
5.00000000
N
N
N
N
N
N
N/A
N/A
IRS RUS3MPUS1M 01/13/23 SBNYUS33 FLOAT
N/A
1.00000000
NC
USD
-6177.00000000
-0.00102858951
N/A
DIR
US
N
2
CITIBANK
N/A
N/A
N/A
Y
2023-01-13
-14200000.00000000
USD
14200000.00000000
USD
14200000.00000000
USD
-6177.00000000
N
N
N
FLORIDA ST ATLANTI 5% 07/01/21
N/A
FLORIDA ST ATLANTIC UNIV FIN C REGD N/C B/E 5.00000000
31200CBQ8
880000.00000000
NS
USD
880000.00000000
0.146536955299
Long
DBT
MUN
US
N
2
2021-07-01
Fixed
5.00000000
N
N
N
N
N
N
HARRIS CNTY TX TOL 5% 08/15/22
N/A
HARRIS CNTY TX TOLL ROAD REVEN REGD N/C B/E 5.00000000
41423PBF3
2100000.00000000
NS
USD
2214748.20000000
0.368798247707
Long
DBT
MUN
US
N
2
2022-08-15
Fixed
5.00000000
N
N
N
N
N
N
CORPUS CHRISTI TX 5% 07/15/21
N/A
CORPUS CHRISTI TX UTILITY SYSR REGD N/C B/E 5.00000000
220245SW5
3635000.00000000
NS
USD
3641352.89000000
0.606355415535
Long
DBT
MUN
US
N
2
2021-07-15
Fixed
5.00000000
N
N
N
N
N
N
ANNE ARUNDEL CNTY 5% 04/01/22
549300L8Q6EFVTZGWW41
ANNE ARUNDEL CNTY MD REGD N/C B/E 5.00000000
03588HKC9
1165000.00000000
NS
USD
1207455.63000000
0.201064626908
Long
DBT
MUN
US
N
2
2022-04-01
Fixed
5.00000000
N
N
N
N
N
N
MESQUITE TX 3% 02/15/23
N/A
MESQUITE TX REGD N/C B/E 3.00000000
59074PFP1
1000000.00000000
NS
USD
1045512.10000000
0.174097908934
Long
DBT
MUN
US
N
2
2023-02-15
Fixed
3.00000000
N
N
N
N
N
N
WILLIAMSON CNTY TX 5% 02/15/22
N/A
WILLIAMSON CNTY TX REGD N/C B/E 5.00000000
9698876V5
1000000.00000000
NS
USD
1030086.40000000
0.171529232672
Long
DBT
MUN
US
N
2
2022-02-15
Fixed
5.00000000
N
N
N
N
N
N
ILLINOIS ST FIN A V/R 08/15/42
549300ZG6UBPNNNRN315
ILLINOIS ST FIN AUTH REVENUE REGD V/R B/E 0.02000000
45200FBY4
2675000.00000000
NS
USD
2675000.00000000
0.445439040256
Long
DBT
MUN
US
N
2
2042-08-15
Variable
0.02000000
N
N
N
N
N
N
ILLINOIS ST 5% 03/01/22
54930048FV8RWPR02D67
ILLINOIS ST REGD N/C B/E 5.00000000
452153AA7
500000.00000000
PA
USD
515862.20000000
0.085900995616
Long
STIV
MUN
US
N
2
2022-03-01
Fixed
5.00000000
N
N
N
N
N
N
GNR 2018-H18 FC V/R 08/20/65
N/A
GOVERNMENT NATIONAL MORTGAGE ASSOCIATION SER 2018-H18 CL FC V/R 0.45725000
38380LMV2
2193038.61000000
NS
USD
2196210.84000000
0.365711420101
Long
ABS-CBDO
CORP
US
N
2
2065-08-20
Variable
0.45725000
N
N
N
N
N
N
CENTRL FL EXPRESSW 5% 07/01/23
N/A
CENTRL FL EXPRESSWAY AUTH SR L REGD N/C B/E AGM 5.00000000
153476GG5
1000000.00000000
NS
USD
1093962.90000000
0.182165900655
Long
DBT
MUN
US
N
2
2023-07-01
Fixed
5.00000000
N
N
N
N
N
N
COLORADO ST HSG 1.35% 02/01/22
5493005GIROYQAWBMC18
COLORADO ST HSG & FIN AUTH REGD B/E 1.35000000
196480CT2
5000000.00000000
NS
USD
5003942.00000000
0.833252755880
Long
DBT
MUN
US
N
2
2022-02-01
Fixed
1.35000000
N
N
N
N
N
N
STRA 2021-2 V/R 07/20/60 /GBP/
N/A
STRATTON MORTGAGE FUNDING SER 2021-2A CL A V/R REGD 144A P/P /GBP/ 0.94950000
N/A
194487.38000000
NS
269646.44000000
0.044901327641
Long
ABS-CBDO
CORP
GB
Y
2
2060-07-20
Variable
0.94950000
N
N
N
N
N
N
N/A
N/A
GBP/USD FWD 20210702 000016440 USD
N/A
1.00000000
NC
N/A
-835.95000000
-0.00013920178
N/A
DFE
N/A
N
2
MORGAN STANLEY AND CO. INTERNA
N/A
-195881.25000000
USD
141000.00000000
GBP
2021-07-02
-835.95000000
N
N
N
STANDARD CHARTERE V/R 05/21/25
U4LOSYZ7YG4W3S5F2G91
STANDARD CHARTERED PLC REGD V/R 144A P/P 3.78500000
853254BN9
1700000.00000000
NS
USD
1827602.00000000
0.304330946112
Long
DBT
CORP
GB
Y
2
2025-05-21
Variable
3.78500000
N
N
N
N
N
N
JT INTL FIN SERV 3.5% 09/28/23
N/A
JT INTL FIN SERVICES BV REGD REG S EMTN 3.50000000
N484BNCP1
1200000.00000000
NS
USD
1272824.16000000
0.211949746634
Long
DBT
CORP
NL
N
2
2023-09-28
Fixed
3.50000000
N
N
N
N
N
N
OHIO ST HGR EDUCT V/R 01/01/39
5493007MQT6NGNN6BR81
OHIO ST HGR EDUCTNL FAC COMMIS REGD V/R B/E 0.02000000
67756DBB1
3800000.00000000
NS
USD
3800000.00000000
0.632773216066
Long
DBT
MUN
US
N
2
2039-01-01
Variable
0.02000000
N
N
N
N
N
N
PACIFIC GAS & E 1.75% 06/16/22
N/A
PACIFIC GAS & ELECTRIC REGD 1.75000000
694308JE8
600000.00000000
NS
USD
599650.81000000
0.099853413568
Long
DBT
CORP
US
N
2
2022-06-16
Fixed
1.75000000
N
N
N
N
N
N
PIERCE CNTY WA SCH 4% 12/01/21
N/A
PIERCE CNTY WA SCH DIST #403 B REGD N/C B/E SCH BD 4.00000000
720611YL0
850000.00000000
NS
USD
863681.86000000
0.143819670581
Long
DBT
MUN
US
N
2
2021-12-01
Fixed
4.00000000
N
N
N
N
N
N
F/C BANK ACCEPT FUTR MAR23
N/A
FUTURE CONTRACT ON BANK ACCEPT FUTR MAR23 /CAD/ 0.00000000
N/A
157.00000000
NC
31220151.66000000
5.198756782096
N/A
DIR
CORP
CA
N
1
CITIGROUP GLOBAL MARKETS INC
MBNUM2BPBDO7JBLYG310
Long
F/C BANK ACCEPT FUTR MAR23
BANK ACCEPT FUTR MAR23 /CAD/
2023-03-13
31449862.86000000
CAD
-229711.20000000
N
N
N
SAUDI INTERNAT 2.375% 10/26/21
N/A
SAUDI INTERNATIONAL BOND REGD REG S EMTN 2.37500000
M6320UAB5
1300000.00000000
NS
USD
1307800.00000000
0.217773897887
Long
DBT
USGA
SA
N
2
2021-10-26
Fixed
2.37500000
N
N
N
N
N
N
GEISINGER PA AUTH 5% 04/01/22
N/A
GEISINGER PA AUTH HLTH SYS REV REGD N/C B/E 5.00000000
368497JR5
2400000.00000000
NS
USD
2486722.32000000
0.414087178918
Long
DBT
MUN
US
N
2
2022-04-01
Fixed
5.00000000
N
N
N
N
N
N
BOEING CO 4.508% 05/01/23
RVHJWBXLJ1RFUBSY1F30
BOEING CO REGD 4.50800000
097023CS2
1400000.00000000
NS
USD
1492383.34000000
0.248510580435
Long
DBT
CORP
US
N
2
2023-05-01
Fixed
4.50800000
N
N
N
N
N
N
CONNECTICUT ST HS V/R 05/15/40
5493003DXX0NRJKSH186
CONNECTICUT ST HSG FIN AUTH HS REGD V/R B/E 0.03000000
20775CWS9
10000000.00000000
NS
USD
10000000.00000000
1.665192673857
Long
DBT
MUN
US
N
2
2040-05-15
Variable
0.03000000
N
N
N
N
N
N
COLORADO ST HLTH F 5% 01/01/22
5493002JB6DRFRZPEQ21
COLORADO ST HLTH FACS AUTH HOS REGD N/C B/E 5.00000000
19648FKW3
2500000.00000000
NS
USD
2560002.75000000
0.426289782435
Long
DBT
MUN
US
N
2
2022-01-01
Fixed
5.00000000
N
N
N
N
N
N
HAWAII ST 5% 12/01/21
N/A
HAWAII ST REGD N/C B/E 5.00000000
419791E38
1075000.00000000
NS
USD
1096841.53000000
0.182645248013
Long
DBT
MUN
US
N
2
2021-12-01
Fixed
5.00000000
N
N
N
N
N
N
CHICAGO IL O'HARE 5% 01/01/22
N/A
CHICAGO IL O'HARE INTERNATIONA REGD N/C B/E 5.00000000
167593B68
3670000.00000000
NS
USD
3757150.76000000
0.625637992013
Long
DBT
MUN
US
N
2
2022-01-01
Fixed
5.00000000
N
N
N
N
N
N
HSBC HOLDINGS PLC V/R 03/11/25
MLU0ZO3ML4LN2LL2TL39
HSBC HOLDINGS PLC REGD V/R 1.35475000
404280CA5
1000000.00000000
NS
USD
1020339.91000000
0.169906254297
Long
DBT
CORP
GB
N
2
2025-03-11
Variable
1.35475000
N
N
N
N
N
N
VERIZON COMM V/R 02/17/23/AUD/
2S72QS2UO2OESLG6Y829
VERIZON COMMUNICATIONS /AUD/ REGD V/R MTN 1.25940000
U9221ABH0
1400000.00000000
NS
1058964.58000000
0.176338006049
Long
DBT
CORP
US
N
2
2023-02-17
Variable
1.25940000
N
N
N
N
N
N
STAR 2021-2 A1 V/R 05/25/65
N/A
STARWOOD MORTGAGE RESIDENTIAL TRUST 2021-2 SER 2021-2 CL A1 V/R REGD 144A P/P 0.94300000
85573HAA8
815964.94000000
NS
USD
815585.19000000
0.135810648329
Long
ABS-CBDO
CORP
US
Y
2
2065-05-25
Variable
0.94300000
N
N
N
N
N
N
SYNCHRONY FINAN 2.85% 07/25/22
549300RS7EWPM9MA6C78
SYNCHRONY FINANCIAL REGD 2.85000000
87165BAQ6
600000.00000000
NS
USD
614143.19000000
0.102266674068
Long
DBT
CORP
US
N
2
2022-07-25
Fixed
2.85000000
N
N
N
N
N
N
FSQ 2018-2 V/R 09/12/68 /GBP/
N/A
FINSBURY SQUARE 2018-2 PLC SER 2018-2 CL A V/R REGD REG S /GBP/ 1.03425000
G345ABAA4
637598.60000000
NS
884569.07000000
0.147297793488
Long
ABS-CBDO
CORP
GB
N
2
2068-09-12
Variable
1.03425000
N
N
N
N
N
N
FRISCO TX INDEP SC 5% 02/15/22
N/A
FRISCO TX INDEP SCH DIST REGD N/C B/E PSF-GTD 5.00000000
35880CA46
2000000.00000000
NS
USD
2060555.00000000
0.343122109008
Long
DBT
MUN
US
N
2
2022-02-15
Fixed
5.00000000
N
N
N
N
N
N
SOFI 2020-A A1 2.06% 04/15/23
N/A
SOFI PROFESSIONAL LOAN PROGRAM 2020-ATRUST SER 2020-A CL A1FX REGD 144A P/P 2.06000000
83406TAA0
317576.64000000
NS
USD
318809.60000000
0.053087941027
Long
ABS-CBDO
CORP
US
Y
2
2046-05-15
Fixed
2.06000000
N
N
N
N
N
N
NORTH CAROLINA ST 5% 02/01/24
549300FCT1PN0GJGQ240
NORTH CAROLINA ST TURNPIKE AUT REGD N/C B/E 5.00000000
65830RCW7
3000000.00000000
NS
USD
3355855.80000000
0.558814649268
Long
DBT
MUN
US
N
2
2024-02-01
Fixed
5.00000000
N
N
N
N
N
N
GENERAL MOTORS 3.45% 04/10/22
N/A
GENERAL MOTORS FINL CO REGD 3.45000000
37045XAW6
1500000.00000000
NS
USD
1527588.48000000
0.254372914556
Long
DBT
CORP
US
N
2
2022-04-10
Fixed
3.45000000
N
N
N
N
N
N
ILLINOIS ST 5% 03/01/23
54930048FV8RWPR02D67
ILLINOIS ST REGD N/C B/E 5.00000000
452153AB5
500000.00000000
NS
USD
538455.55000000
0.089663223705
Long
DBT
MUN
US
N
2
2023-03-01
Fixed
5.00000000
N
N
N
N
N
N
IBRD 0.65% 02/10/26
N/A
INTERNATIONAL BANK FOR RECONSTRUCTION & DEVELOPMENT MTN SER GDIF 0.65000000
459058JS3
3400000.00000000
NS
USD
3363674.16000000
0.560116556847
Long
DBT
USGA
N/A
N
2
2026-02-10
Fixed
0.65000000
N
N
N
N
N
N
TULSA CNTY OK INDE 2% 03/01/23
N/A
TULSA CNTY OK INDEP SCH DIST # REGD N/C B/E 2.00000000
899525UC1
2130000.00000000
NS
USD
2194172.43000000
0.365371985561
Long
DBT
MUN
US
N
2
2023-03-01
Fixed
2.00000000
N
N
N
N
N
N
DIST OF COLUMBIA V/R 04/01/41
549300HWFOZXPKGOX654
DIST OF COLUMBIA UNIV REVENUE REGD V/R B/E 0.03000000
25484JAP5
1555000.00000000
NS
USD
1555000.00000000
0.258937460784
Long
DBT
MUN
US
N
2
2041-04-01
Variable
0.03000000
N
N
N
N
N
N
RINGGOLD PA SCH DI 3% 09/01/22
N/A
RINGGOLD PA SCH DIST REGD N/C B/E BAM ST 3.00000000
766809TH0
2325000.00000000
NS
USD
2399923.36000000
0.399633479689
Long
DBT
MUN
US
N
2
2022-09-01
Fixed
3.00000000
N
N
N
N
N
N
FORDF 2018-3 A2 V/R 10/15/21
N/A
FORD CREDIT FLOORPLAN MASTER OWNER TRUST A SER 2018-3 CL A2 V/R REGD 0.47288000
34528QGJ7
2900000.00000000
NS
USD
2903016.00000000
0.483408097529
Long
ABS-CBDO
CORP
US
N
2
2023-10-15
Variable
0.47288000
N
N
N
N
N
N
PHILADELPHIA PA SC 5% 09/01/21
254900HSKDHZKBZCUL90
PHILADELPHIA PA SCH DIST REGD N/C B/E ST AID 5.00000000
717883VP4
1600000.00000000
NS
USD
1612416.16000000
0.268498357684
Long
DBT
MUN
US
N
2
2021-09-01
Fixed
5.00000000
N
N
N
N
N
N
NATWEST GROUP PLC V/R 05/15/23
N/A
NATWEST GROUP PLC REGD V/R 1.62588000
780097BF7
700000.00000000
NS
USD
707399.00000000
0.117795563229
Long
DBT
CORP
GB
N
2
2023-05-15
Variable
1.62588000
N
N
N
N
N
N
TALNT 2020-1A 1.35% 05/27/25
N/A
TOYOTA AUTO LOAN EXTENDED NOTE TRUST 2020-1 SER 2020-1A CL A REGD 144A P/P 1.35000000
89237JAA4
1800000.00000000
NS
USD
1830555.72000000
0.304822797403
Long
ABS-CBDO
CORP
US
Y
2
2033-05-25
Fixed
1.35000000
N
N
N
N
N
N
NEW MEXICO ST MUNI 4% 11/01/21
549300KZGG2YNDKKCE92
NEW MEXICO ST MUNI ENERGY ACQU REGD N/C B/E 4.00000000
647207AT6
625000.00000000
NS
USD
632782.19000000
0.105370426693
Long
DBT
MUN
US
N
2
2021-11-01
Fixed
4.00000000
N
N
N
N
N
N
STANDARD CHARTERE V/R 09/10/22
U4LOSYZ7YG4W3S5F2G91
STANDARD CHARTERED PLC REGD V/R REG S 1.32800000
G84228DT2
500000.00000000
NS
USD
500900.00000000
0.083409501033
Long
DBT
CORP
GB
N
2
2022-09-10
Variable
1.32800000
N
N
N
N
N
N
MASSACHUSETTS ST E 5% 07/01/21
5493007K5OP7V6CL0Y88
MASSACHUSETTS ST EDUCTNL FING REGD N/C B/E AMT 5.00000000
57563RPR4
900000.00000000
NS
USD
900000.00000000
0.149867340647
Long
DBT
MUN
US
N
2
2021-07-01
Fixed
5.00000000
N
N
N
N
N
N
GAINESVILLE FL UTI 5% 10/01/21
N/A
GAINESVILLE FL UTILITIES SYS R REGD N/C B/E 5.00000000
362848TT0
1400000.00000000
NS
USD
1416742.74000000
0.235914963138
Long
DBT
MUN
US
N
2
2021-10-01
Fixed
5.00000000
N
N
N
N
N
N
NORFOLK VA ECON D V/R 11/01/34
N/A
NORFOLK VA ECON DEV AUTH HOSPF REGD V/R B/E 0.02000000
65588TAQ2
9400000.00000000
NS
USD
9400000.00000000
1.565281113426
Long
DBT
MUN
US
N
2
2034-11-01
Variable
0.02000000
N
N
N
N
N
N
CASH COLLATERAL ISDA BRC
N/A
CASH COLLATERAL ISDA BRC 0.00000000
N/A
-116000.00000000
NS
USD
-116000.00000000
-0.01931623501
Short
STIV
CORP
US
N
2
2049-12-31
Floating
0.00000000
N
N
N
N
N
N
RIPON 1X A1 V/R 02/20/22 /GBP/
N/A
RIPON MORTGAGES PLC SER 1X CL A1 V/R REGD REG S /GBP/ 0.88138000
G7575SAP6
243981.85000000
NS
338056.96000000
0.056292997313
Long
ABS-CBDO
CORP
GB
N
2
2056-08-20
Variable
0.88138000
N
N
N
N
N
N
HOUSTON TX 5% 03/01/22
549300C64URYS0WQQY42
HOUSTON TX REGD N/C B/E 5.00000000
442331T61
2505000.00000000
NS
USD
2585770.47000000
0.430580604292
Long
DBT
MUN
US
N
2
2022-03-01
Fixed
5.00000000
N
N
N
N
N
N
STHRN CA PUBLIC PW 5% 07/01/21
5493003B5TD5FWUKMD34
STHRN CA PUBLIC PWR AUTH REVEN REGD N/C B/E 5.00000000
84247PLG4
1250000.00000000
NS
USD
1250000.00000000
0.208149084232
Long
DBT
MUN
US
N
2
2021-07-01
Fixed
5.00000000
N
N
N
N
N
N
US T BILL ZCP 07/27/21
N/A
UNITED STATES TREASURY BILL ZCP 0.00000000
912796J34
1600000.00000000
PA
USD
1599953.78000000
0.266423131296
Long
STIV
UST
US
N
2
2021-07-27
Fixed
0.00000000
N
N
N
N
N
N
HARRIS CNTY TX TOL 5% 08/15/23
N/A
HARRIS CNTY TX TOLL ROAD REVEN REGD N/C B/E 5.00000000
41423PBG1
1600000.00000000
NS
USD
1761584.32000000
0.293337730404
Long
DBT
MUN
US
N
2
2023-08-15
Fixed
5.00000000
N
N
N
N
N
N
N/A
N/A
JPY/USD FWD 20210810 000000973 USD
N/A
1.00000000
NC
N/A
124626.16000000
0.020752656860
N/A
DFE
N/A
N
2
BARCLAYS BANK PLC
N/A
-753000000.00000000
JPY
6904848.80000000
USD
2021-08-10
124626.16000000
N
N
N
MIZUHO FINANCIAL V/R 05/25/24
353800CI5L6DDAN5XZ33
MIZUHO FINANCIAL GROUP REGD V/R 0.77700000
60687YBC2
3400000.00000000
NS
USD
3419901.12000000
0.569479429034
Long
DBT
CORP
JP
N
2
2024-05-25
Variable
0.77700000
N
N
N
N
N
N
TPMF 2019-A V/R 07/20/45 /GBP/
N/A
TOWD POINT MORTGAGE FUNDING SER 2019-A13A CL A1 V/R REGD 144A P/P /GBP/ 0.94810000
N/A
776421.00000000
NS
1076965.97000000
0.179335584323
Long
ABS-CBDO
CORP
GB
Y
2
2045-07-20
Variable
0.94810000
N
N
N
N
N
N
HARTFORD CNTY CT M 5% 07/15/22
549300CEZQKAR15IFS62
HARTFORD CNTY CT MET DIST REGD N/C B/E 5.00000000
416489VG4
1200000.00000000
NS
USD
1260606.48000000
0.209915267511
Long
DBT
MUN
US
N
2
2022-07-15
Fixed
5.00000000
N
N
N
N
N
N
TEXAS ST UNIV SYS 5% 03/15/22
N/A
TEXAS ST UNIV SYS FING REVENUE REGD N/C B/E 5.00000000
88278PZQ0
2200000.00000000
NS
USD
2275407.42000000
0.378899176582
Long
DBT
MUN
US
N
2
2022-03-15
Fixed
5.00000000
N
N
N
N
N
N
PLRS 2019-1 V/R 04/27/57 /GBP/
N/A
POLARIS RMBS SER 2019-1 CL A V/R REGD REG S /GBP/ 1.30000000
G7152LAA5
559167.87000000
NS
776555.31000000
0.129311421305
Long
ABS-CBDO
CORP
GB
N
2
2057-04-27
Variable
1.30000000
N
N
N
N
N
N
NEW YORK ST DORM A 4% 10/01/23
549300C8XO7EXTX2XU71
NEW YORK ST DORM AUTH REVENUES REGD N/C B/E AGM 4.00000000
64990G5P3
1150000.00000000
NS
USD
1248104.66000000
0.207833473603
Long
DBT
MUN
US
N
2
2023-10-01
Fixed
4.00000000
N
N
N
N
N
N
BOC AVIATION L 2.375% 09/15/21
N/A
BOC AVIATION LTD REGD REG S EMTN 2.37500000
09681MAC2
2500000.00000000
NS
USD
2503650.00000000
0.416905963790
Long
DBT
CORP
SG
N
2
2021-09-15
Fixed
2.37500000
N
N
N
N
N
N
DOLPHIN ENERGY L 5.5% 12/15/21
N/A
DOLPHIN ENERGY LTD REGD 5.50000000
M28368AB0
1600000.00000000
NS
USD
1634016.00000000
0.272095147216
Long
DBT
CORP
AE
N
2
2021-12-15
Fixed
5.50000000
N
N
N
N
N
N
US T BILL ZCP 08/26/21
N/A
UNITED STATES TREASURY BILL ZCP 0.00000000
912796D55
2400000.00000000
PA
USD
2399841.34000000
0.399619821778
Long
STIV
UST
US
N
2
2021-08-26
Fixed
0.00000000
N
N
N
N
N
N
SOUTHERN CAL EDIS V/R 04/03/23
N/A
SOUTHERN CAL EDISON REGD V/R 0.65000000
842400HA4
1700000.00000000
NS
USD
1704119.02000000
0.283768650748
Long
DBT
CORP
US
N
2
2023-04-03
Variable
0.65000000
N
N
N
N
N
N
MSC 2019-PLND A V/R 05/15/21
N/A
MORGAN STANLEY CAPITAL I TRUST 2019-PLND SER 2019-PLND CL A V/R REGD 144A P/P 1.07300000
61691XAA1
700000.00000000
NS
USD
696512.39000000
0.115982732907
Long
ABS-CBDO
CORP
US
Y
2
2036-05-15
Variable
1.07300000
N
N
N
N
N
N
BAMLL 2019-RLJ A V/R 04/15/36
N/A
BAMLL COMMERCIAL MORTGAGE SECURITIES TRUS SER 2019-RLJ CL A V/R REGD 144A P/P 1.12300000
05492HAA4
400000.00000000
NS
USD
399087.56000000
0.066455768113
Long
ABS-CBDO
CORP
US
Y
2
2036-04-15
Variable
1.12300000
N
N
N
N
N
N
IDAHO ST HLTH FAC V/R 03/01/48
549300X43KY1C2WW0J97
IDAHO ST HLTH FACS AUTH REVENU REGD V/R B/E 0.02000000
451295ZZ5
4500000.00000000
NS
USD
4500000.00000000
0.749336703236
Long
DBT
MUN
US
N
2
2048-03-01
Variable
0.02000000
N
N
N
N
N
N
GARLAND TX INDEP S 5% 02/15/23
N/A
GARLAND TX INDEP SCH DIST REGD N/C B/E PSF-GTD 5.00000000
366155H36
1160000.00000000
NS
USD
1249896.75000000
0.208131891117
Long
DBT
MUN
US
N
2
2023-02-15
Fixed
5.00000000
N
N
N
N
N
N
F/C US 10YR ULTRA FUT SEP21
N/A
FUTURE CONTRACT ON US 10YR ULTRA FUT SEP21 0.00000000
N/A
-55.00000000
NC
USD
-8096171.88000000
-1.34816861008
N/A
DIR
CORP
US
N
1
CITIGROUP GLOBAL MARKETS INC
MBNUM2BPBDO7JBLYG310
Short
F/C US 10YR ULTRA FUT SEP21
US 10YR ULTRA FUT SEP21
2021-09-21
7954375.00000000
USD
-141796.88000000
N
N
N
SMB 2016-C A2A 2.34% 08/15/25
N/A
SMB PRIVATE EDUCATION LOAN TRUST 2016-C SER 2016-C CL A2A REGD 144A P/P 2.34000000
78449KAB6
800246.33000000
NS
USD
817904.41000000
0.136196843144
Long
ABS-CBDO
CORP
US
Y
2
2034-09-15
Fixed
2.34000000
N
N
N
N
N
N
NEWARK NJ 5% 10/01/22
5493008RBPM01QHRYX34
NEWARK NJ REGD N/C B/E ST AID 5.00000000
650367PJ8
700000.00000000
NS
USD
735333.69000000
0.122447227342
Long
DBT
MUN
US
N
2
2022-10-01
Fixed
5.00000000
N
N
N
N
N
N
NRZT 2021-NQ2R A V/R 09/25/58
N/A
NEW RESIDENTIAL MORTGAGE LOAN TRUST 2021- SER 2021-NQ2R CL A1 V/R REGD 144A P/P 0.94054000
64831EAA8
1566830.77000000
NS
USD
1566678.63000000
0.260882177696
Long
ABS-CBDO
CORP
US
Y
2
2058-09-25
Variable
0.94054000
N
N
N
N
N
N
ROYAL BANK OF CAN V/R 01/19/24
ES7IP3U3RHIGC71XBU11
ROYAL BANK OF CANADA REGD V/R MTN SER GMTN 0.32956000
78015K7M0
400000.00000000
NS
USD
400412.00000000
0.066676312892
Long
DBT
CORP
CA
N
2
2024-01-19
Variable
0.32956000
N
N
N
N
N
N
NEW YORK ST URBAN 5% 03/15/22
54930039Y2EMGXN6LM88
NEW YORK ST URBAN DEV CORP SAL REGD N/C B/E 5.00000000
64985TAC5
8575000.00000000
NS
USD
8868917.56000000
1.476845654596
Long
DBT
MUN
US
N
2
2022-03-15
Fixed
5.00000000
N
N
N
N
N
N
2021-07-30
Six Circles Trust
Gregory McNeil
Gregory McNeil
Treasurer/Principal Financial Officer