NPORT-P false 0000756913 XXXXXXXX S000008320 C000022740 C000022741 C000022739 John Hancock Variable Insurance Trust 811-04146 0000756913 Z5DUWKEPW78QKD87GA06 200 Berkeley Street Boston 02116 617-663-4497 Strategic Income Opportunities Trust S000008320 GHVLU4RL6XOLROKM7S50 2020-12-31 2020-03-31 N 421174539.280000000000 1594626.530000000000 419579912.750000000000 0.000000000000 0.000000000000 0.000000000000 0.000000000000 0.000000000000 0.000000000000 0.000000000000 0.000000000000 0.000000000000 0.000000000000 0.000000000000 0.000000000000 0.000000000000 2227112.350000000000 NOK JPY MYR NZD EUR INR CAD USD GBP AUD IDR BRL PHP SGD MXN KRW N Aker BP ASA 549300NFTY73920OYK69 00973RAD5 700000 PA USD 587325.35 0.1399793775 Long DBT CORP NO N 2 2024-06-15 Fixed 4.750000000000 N N N N N N Aker BP ASA 549300NFTY73920OYK69 00973RAF0 985000 PA USD 737253.13 0.1757122082 Long DBT CORP NO N 2 2030-01-15 Fixed 3.750000000000 N N N N N N Allergan Funding SCS 222100FLFVOSKCBCAR54 018489AB0 520000 PA 573892.1 0.1367777824 Long DBT CORP LU N 2 2024-06-01 Fixed 1.250000000000 N N N N N N Allergan Funding SCS 222100FLFVOSKCBCAR54 018489AG9 300000 PA 341732.86 0.0814464300 Long DBT CORP LU N 2 2028-11-15 Fixed 2.625000000000 N N N N N N Altice Financing S.A. 549300DIYGW8HVDF7Q17 02154CAE3 1785000 PA USD 1735912.5 0.4137263123 Long DBT CORP LU N 2 2026-05-15 Fixed 7.500000000000 N N N N N N American Airlines Group Inc. N/A 02376RAC6 625000 PA USD 503125 0.1199116032 Long DBT CORP US N 2 2022-06-01 Fixed 5.000000000000 N N N N N N American International Group Inc. ODVCVCQG2BP6VHV36M30 026874BS5 2045000 PA USD 2392650 0.5702489388 Long DBT CORP US N 2 2058-05-15 Variable 8.175000000000 N N N N N N American Tower Corporation 5493006ORUSIL88JOE18 03027XAS9 305000 PA 341925.76 0.0814924046 Long DBT CORP US N 2 2026-05-22 Fixed 1.950000000000 N N N N N N Apple Inc. HWUPKR0MPOU8FGXBT394 037833CV0 630000 PA 701227.53 0.1671260965 Long DBT CORP US N 2 2025-05-24 Fixed 0.875000000000 N N N N N N ARDAGH PACKAGING FINANCE PLC / COMPANY GUAR 144A 08/27 5.25 N/A 03969AAP5 380000 PA USD 389500 0.0928309455 Long DBT CORP IE N 2 2027-08-15 Fixed 5.250000000000 N N N N N N CROWN AMERICAS LLC / CROWN AME COMPANY GUAR 01/23 4.5 N/A 228189AB2 915000 PA USD 936969.15 0.2233112505 Long DBT CORP US N 2 2023-01-15 Fixed 4.500000000000 N N N N N N Crown Castle International Corp. 54930012H97VSM0I2R19 22822VAK7 865000 PA USD 866468.64 0.2065086087 Long DBT CORP US N 2 2028-02-15 Fixed 3.800000000000 N N N N N N Crown Cork and Seal Company Inc. 7HLDMDH0ZXNUH6PT7Z42 228255AH8 1021000 PA USD 1046525 0.2494220930 Long DBT CORP US N 2 2026-12-15 Fixed 7.375000000000 N N N N N N DH EUROPE FINANCE II SARL COMPANY GUAR 03/28 0.45 N/A 23291KAB1 1630000 PA 1607981.14 0.3832359680 Long DBT CORP LU N 2 2028-03-18 Fixed 0.450000000000 N N N N N N DCP Midstream Operating LP 549300Y6CTBSE0QIPL28 23311VAG2 1274000 PA USD 863135 0.2057140902 Long DBT CORP US N 2 2025-07-15 Fixed 5.375000000000 N N N N N N DELL INTERNATIONAL LLC / EMC C SR SECURED 144A 10/29 5.3 N/A 24703DBA8 1310000 PA USD 1274212.57 0.3036876960 Long DBT CORP US N 2 2029-10-01 Fixed 5.300000000000 N N N N N N Delta Air Lines Inc. Q2CCMS6R0AS67HJMBN42 247361ZU5 320000 PA USD 256124.22 0.0610430128 Long DBT CORP US N 2 2024-10-28 Fixed 2.900000000000 N N N N N N DELTA AIR LINES 2020-1 CLASS A PASS THRU CE 12/29 2 N/A 247361ZV3 550000 PA USD 500376.73 0.1192565980 Long DBT CORP US N 2 2028-06-10 Fixed 2.000000000000 N N N N N N DELTA AIR LINES 2020-1 CLASS A PASS THRU CE 12/29 2.5 N/A 247361ZW1 540000 PA USD 489475.05 0.1166583612 Long DBT CORP US N 2 2028-06-10 Fixed 2.500000000000 N N N N N N Deutsche Bank AG 7LTWFZYICNSX8D621K86 251525AX9 1800000 PA USD 1205100 0.2872158469 Long DBT CORP DE N 2 2025-10-30 Variable 6.000000000000 N N N N N N DISH Network Corporation N/A 25470MAB5 430000 PA USD 349096.15 0.0832013496 Long DBT CORP US N 2 2026-08-15 Fixed 3.375000000000 N N N N Y DISH Network Corp. USD XXXX N N N BOUGHT EUR/SOLD USD N/A N/A 1 NC 4056.63 0.0009668313 N/A DFE CORP DE N 2 STATE STREET BANK AND TRUST COMPANY N/A 408770.240000000000 USD 373226.060000000000 EUR 2020-06-17 4056.630000000000 N N N Fiserv Inc. GI7UBEJLXYLGR2C7GV83 337738AU2 1780000 PA USD 1883543.21 0.4489116740 Long DBT CORP US N 2 2029-07-01 Fixed 3.500000000000 N N N N N N Fiserv Inc. GI7UBEJLXYLGR2C7GV83 337738AX6 290000 PA 306137.93 0.0729629615 Long DBT CORP US N 2 2027-07-01 Fixed 1.125000000000 N N N N N N GCI Liberty Inc. N/A 36164VAA5 1150000 PA USD 1447583.19 0.3450077437 Long DBT CORP US N 2 2046-09-30 Fixed 1.750000000000 N N N N Y GCI Liberty, Inc. USD XXXX N N N GCI LLC N/A 36166TAA8 1665000 PA USD 1648350 0.3928572246 Long DBT CORP US N 2 2024-06-15 Fixed 6.625000000000 N N N N N N The Goldman Sachs Group Inc. 784F5XWPLTWKTBV3E584 38141GXJ8 960000 PA USD 973480 0.2320130136 Long DBT CORP US N 2 2025-04-01 Fixed 3.500000000000 N N N N N N CSC Holdings LLC 3HG2WD2W22M120IUNG49 126307AS6 1135000 PA USD 1157700 0.2759188333 Long DBT CORP US N 2 2028-02-01 Fixed 5.375000000000 N N N N N N CSC Holdings LLC 3HG2WD2W22M120IUNG49 126307AY3 1130000 PA USD 1203924.6 0.2869357096 Long DBT CORP US N 2 2028-04-01 Fixed 7.500000000000 N N N N N N Graham Holdings Company N/A 384637AA2 865000 PA USD 847700 0.2020354107 Long DBT CORP US N 2 2026-06-01 Fixed 5.750000000000 N N N N N N Greenko Dutch B.V. N/A 39530LAB6 975000 PA USD 777465 0.1852960488 Long DBT CORP NL N 2 2024-07-24 Fixed 5.250000000000 N N N N N N Greenko Solar (Mauritius) Limited N/A 39530VAA6 430000 PA USD 356907.25 0.0850629973 Long DBT CORP MU N 2 2025-01-29 Fixed 5.550000000000 N N N N N N HCA Inc. L3CJ6J7LJ2DX62FTXD46 404119BR9 1725000 PA USD 1755170.25 0.4183160816 Long DBT CORP US N 2 2025-02-01 Fixed 5.375000000000 N N N N N N HCA Inc. L3CJ6J7LJ2DX62FTXD46 404119BX6 1515000 PA USD 1525825.46 0.3636555072 Long DBT CORP US N 2 2029-06-15 Fixed 4.125000000000 N N N N N N HCA Inc. L3CJ6J7LJ2DX62FTXD46 404119CA5 2498000 PA USD 2267887.89 0.5405139334 Long DBT CORP US N 2 2030-09-01 Fixed 3.500000000000 N N N N N N HC2 Holdings Inc. 549300S6O246JWQQ1K58 404139AD9 695000 PA USD 646350 0.1540469361 Long DBT CORP US N 2 2021-12-01 Fixed 11.500000000000 N N N N N N Lennar Corporation N/A 526057104 33695 NS USD 1287149 0.3067708822 Long EC CORP US N 1 N N N CSC Holdings LLC 3HG2WD2W22M120IUNG49 126307BA4 1410000 PA USD 1421928.6 0.3388933924 Long DBT CORP US N 2 2030-01-15 Fixed 5.750000000000 N N N N N N CVS Health Corporation 549300EJG376EN5NQE29 126650DH0 575000 PA USD 589243.64 0.1404365705 Long DBT CORP US N 2 2027-04-01 Fixed 3.625000000000 N N N N N N Vertis Holdings Inc. N/A 92599V931 8371 NS USD 0.01 0.0000000024 Long EC CORP US N 3 N N N JH COLLATERAL N/A N/A 359844.4 NS USD 3597544.39 0.8574157820 Long EC RF US N 1 N N Cablevision Systems Corporation N/A 12686CBB4 770000 PA USD 777700 0.1853520572 Long DBT CORP US N 2 2022-09-15 Fixed 5.875000000000 N N N N N N Camelot Finance S.A. N/A 13323AAB6 385000 PA USD 373450 0.0890056908 Long DBT CORP LU N 2 2026-11-01 Fixed 4.500000000000 N N N N N N Centene Corporation 549300Z7JJ4TQSQGT333 15135BAU5 135000 PA USD 125550 0.0299227861 Long DBT CORP US N 2 2030-02-15 Fixed 3.375000000000 N N N N N N Charter Communications Operating LLC/Charter Communications Operating Capital C N/A 161175BN3 790000 PA USD 896833.41 0.2137455542 Long DBT CORP US N 2 2048-04-01 Fixed 5.750000000000 N N N N N N Citigroup Inc. 6SHGI4ZSSLCXXQSBB395 AR7577182 920000 PA 950445.1 0.2265230225 Long DBT CORP US N 2 2023-03-21 Floating 0.107000000000 N N N N N N Nordea Eiendomskreditt AS N/A AR7595333 7000000 PA 671280.1 0.1599886171 Long DBT CORP NO N 2 2023-06-21 Floating 1.670000000000 N N N N N N Charter Communications Operating LLC/Charter Communications Operating Capital C N/A 161175BS2 1790000 PA USD 1904051.05 0.4537993817 Long DBT CORP US N 2 2049-07-01 Fixed 5.125000000000 N N N N N N Cimpress PLC N/A 17186HAC6 975000 PA USD 858000 0.2044902470 Long DBT CORP IE N 2 2026-06-15 Fixed 7.000000000000 N N N N N N Citigroup Inc. 6SHGI4ZSSLCXXQSBB395 172967KP5 1487000 PA 906501.86 0.2160498709 Long DBT CORP US N 2 2021-05-04 Floating 2.405500000000 N N N N N N Citigroup Inc. 6SHGI4ZSSLCXXQSBB395 172967KU4 670000 PA USD 687580.79 0.1638736196 Long DBT CORP US N 2 2028-07-25 Fixed 4.125000000000 N N N N N N BOUGHT SGD/SOLD USD N/A N/A 1 NC -59053.36 -0.0140744011 N/A DFE CORP SG N 2 AUSTRALIA AND NEW ZEALAND BANKING GROUP N/A 1721691.360000000000 USD 2360438.850000000000 SGD 2020-06-17 -59053.360000000000 N N N BOUGHT EUR/SOLD USD N/A N/A 1 NC 3568.85 0.0008505769 N/A DFE CORP DE N 2 STATE STREET BANK AND TRUST COMPANY N/A 355914.980000000000 USD 325000.000000000000 EUR 2020-06-17 3568.850000000000 N N N BOUGHT EUR/SOLD USD N/A N/A 1 NC -137611.55 -0.0327974590 N/A DFE CORP DE N 2 GOLDMAN SACHS BANK USA N/A 4671000.150000000000 USD 4098519.010000000000 EUR 2020-06-17 -137611.550000000000 N N N BOUGHT EUR/SOLD USD N/A N/A 1 NC -92692.3 -0.0220916915 N/A DFE CORP DE N 2 CITIBANK N.A. N/A 6879921.080000000000 USD 6136157.440000000000 EUR 2020-06-17 -92692.300000000000 N N N CREDIT SUISSE MORTGAGE CAPITAL CSMC 2019 ICE4 D 144A N/A 12653VAG1 835000 PA USD 743013.06 0.1770849932 Long ABS-MBS CORP US N 2 2036-05-15 Floating 2.304630000000 N N N N N N BOUGHT EUR/SOLD USD N/A N/A 1 NC -20120.81 -0.0047954655 N/A DFE CORP DE N 2 JPMORGAN CHASE BANK N.A N/A 4297513.740000000000 USD 3867079.970000000000 EUR 2020-06-17 -20120.810000000000 N N N BOUGHT EUR/SOLD USD N/A N/A 1 NC -21601.71 -0.0051484138 N/A DFE CORP DE N 2 U.S. BANK N/A 4589391.290000000000 USD 4129620.040000000000 EUR 2020-06-17 -21601.710000000000 N N N The Goldman Sachs Group Inc. 784F5XWPLTWKTBV3E584 AT7436534 395000 PA 424680.62 0.1012156700 Long DBT CORP US N 2 2028-11-01 Fixed 2.000000000000 N N N N N N BMW Finance N.V. N/A AV5771762 410000 PA 437032.57 0.1041595550 Long DBT CORP NL N 2 2024-11-14 Fixed 1.000000000000 N N N N N N BOUGHT EUR/SOLD USD N/A N/A 1 NC 84095.57 0.0200428017 N/A DFE CORP DE N 2 UBS AG N/A 4194763.400000000000 USD 3868405.380000000000 EUR 2020-06-17 84095.570000000000 N N N BOUGHT EUR/SOLD USD N/A N/A 1 NC 44763.72 0.0106686995 N/A DFE CORP DE N 2 GOLDMAN SACHS BANK USA N/A 2207267.320000000000 USD 2036002.830000000000 EUR 2020-06-17 44763.720000000000 N N N CSMC SERIES 2019-NQM1 CSMC 2019 NQM1 A1 144A N/A 12655VAA2 647310.42 PA USD 623071.88 0.1484989774 Long ABS-MBS CORP US N 2 2059-10-25 Variable 2.656000000000 N N N N N N BOUGHT GBP/SOLD CAD N/A N/A 1 NC 28033.92 0.0066814257 N/A DFE CORP GB N 2 CANADIAN IMPERIAL BANK OF COMMERCE N/A 5382680.040000000000 CAD 3100000.000000000000 GBP 2020-06-17 28033.920000000000 N N N BOUGHT AUD/SOLD CAD N/A N/A 1 NC -129391.78 -0.0308384115 N/A DFE CORP AU N 2 AUSTRALIA AND NEW ZEALAND BANKING GROUP N/A 5303810.880000000000 CAD 5920000.000000000000 AUD 2020-06-17 -129391.780000000000 N N N BOUGHT GBP/SOLD CAD N/A N/A 1 NC 37112.57 0.0088451732 N/A DFE CORP GB N 2 CANADIAN IMPERIAL BANK OF COMMERCE N/A 5286832.320000000000 CAD 3052500.000000000000 GBP 2020-06-17 37112.570000000000 N N N Credit Agricole S.A. N/A 225313AD7 200000 PA USD 191920.04 0.0457409981 Long DBT CORP FR N 2 2024-01-23 Variable 7.875000000000 N N N N N N BOUGHT EUR/SOLD USD N/A N/A 1 NC 96767.47 0.0230629415 N/A DFE CORP DE N 2 STATE STREET BANK AND TRUST COMPANY N/A 4407294.620000000000 USD 4072005.670000000000 EUR 2020-06-17 96767.470000000000 N N N First Maryland Capital II N/A 32082CAC1 1220000 PA USD 1049200 0.2500596354 Long DBT CORP US N 2 2027-02-01 Floating 2.613250000000 N N N N N N J.P. Morgan Chase Commercial Mortgage Securities Corp. N/A 46649XAL1 270000 PA USD 256316.94 0.0610889445 Long ABS-MBS CORP US N 2 2031-07-05 Variable 4.613200000000 N N N N N N J.P. MORGAN CHASE COMMERCIAL M JPMCC 2018 PHH C 144A N/A 46650FAJ1 265000 PA USD 225592.09 0.0537661797 Long ABS-MBS CORP US N 2 2035-06-15 Floating 2.064630000000 N N N N N N OLYMPIC TOWER 2017-OT MORTGAGE OT 2017 OT A 144A N/A 68162MAA0 595000 PA USD 485376.9 0.1156816342 Long ABS-MBS CORP US N 2 2039-05-10 Fixed 3.566000000000 N N N N N N ONE BRYANT PARK TRUST 2019-OBP OBP 2019 OBP A 144A N/A 68236JAA9 1175000 PA USD 1170468.73 0.2789620510 Long ABS-MBS CORP US N 2 2054-09-15 Fixed 2.516410000000 N N N N N N VNDO TRUST 2016-350P VNDO 2016 350P D 144A N/A 91831UAF4 449000 PA USD 448149.46 0.1068090837 Long ABS-MBS CORP US N 2 2035-01-10 Variable 3.902630000000 N N N N N N Zions Bancorporation N.A. N/A 989701BD8 320000 PA USD 310400 0.0739787560 Long DBT CORP US N 2 2023-06-15 Variable 5.800000000000 N N N N N N Sony Corporation N/A AF1421037 84000000 PA 1006583.51 0.2399026930 Long DBT CORP JP N 2 2022-09-30 None 0.000000000000 N N N N N Sony Corp. JPY XXXX N N N The Goldman Sachs Group Inc. 784F5XWPLTWKTBV3E584 AN5498158 983000 PA 1063111.8 0.2533752851 Long DBT CORP US N 2 2024-05-15 Fixed 1.375000000000 N N N N N N DB Insurance Co. Ltd. N/A AN6293640 1000000000 PA 859759.53 0.2049096022 Long DBT CORP KR N 2 2024-05-25 Fixed 3.512000000000 N N N N N N DB Insurance Co. Ltd. N/A AN6293699 1000000000 PA 891723 0.2125275717 Long DBT CORP KR N 2 2027-05-25 Fixed 3.865000000000 N N N N N N BNG Bank N.V. N/A JK1081534 635000 PA 710221.16 0.1692695809 Long DBT CORP NL N 2 2023-02-22 Fixed 0.250000000000 N N N N N N 3585888 MFC GLOBAL FXVANILLAOPTION---20200604 N/A N/A 12780000 PA 8631.35 0.0020571409 N/A DFE CORP AU N 2 Goldman Sachs N/A Call Purchased USD CALL AUD PUT USD CALL AUD PUT 1 AUD 0.685000000000 AUD 2020-06-04 XXXX -69938.200000000000 N N N BOUGHT AUD/SOLD USD N/A N/A 1 NC -11648.4 -0.0027762054 N/A DFE CORP AU N 2 STATE STREET BANK AND TRUST COMPANY N/A 183911.390000000000 USD 280000.000000000000 AUD 2020-06-17 -11648.400000000000 N N N Israel Electric Corporation Ltd N/A 46507MAE2 390000 PA USD 428072.29 0.1020240190 Long DBT CORP IL N 2 2023-06-21 Fixed 6.875000000000 N N N N N N JSL Europe SA N/A 46590PAB9 360000 PA USD 259664.4 0.0618867568 Long DBT CORP LU N 2 2024-07-26 Fixed 7.750000000000 N N N N N N JPMorgan Chase and Co. 8I5DZWZKVSZI1NUHU748 46625HRX0 705000 PA USD 747549.13 0.1781660912 Long DBT CORP US N 2 2027-12-01 Fixed 3.625000000000 N N N N N N JPMorgan Chase and Co. 8I5DZWZKVSZI1NUHU748 46647PBH8 1610000 PA USD 1590068.47 0.3789667765 Long DBT CORP US N 2 2026-03-13 Variable 2.005000000000 N N N N N N JBS Investments II GmbH N/A 46650CAA7 400000 PA USD 398632 0.0950074081 Long DBT CORP AT N 2 2026-01-15 Fixed 7.000000000000 N N N N N N 1011778 B.C. Unlimited Liability Company / New Red Finance Inc. N/A 68245XAC3 1470000 PA USD 1466310.3 0.3494710436 Long DBT CORP CA N 2 2024-05-15 Fixed 4.250000000000 N N N N N N American Electric Power Company Inc. 1B4S6S7G0TW5EE83BO58 025537127 32600 NS USD 1572950 0.3748868695 Long EP CORP US N 1 N N N 1011778 B.C. Unlimited Liability Company / New Red Finance Inc. N/A 68245XAE9 1685000 PA USD 1609158.15 0.3835164890 Long DBT CORP CA N 2 2025-10-15 Fixed 5.000000000000 N N N N N N 1011778 B.C. Unlimited Liability Company / New Red Finance Inc. N/A 68245XAH2 1425000 PA USD 1353750 0.3226441397 Long DBT CORP CA N 2 2028-01-15 Fixed 3.875000000000 N N N N N N Bausch Health Companies Inc. B3BS7ACMDUWISF18KY76 071734AH0 1595000 PA USD 1509986.5 0.3598805505 Long DBT CORP US N 2 2028-01-30 Fixed 5.000000000000 N N N N N N Bausch Health Companies Inc. B3BS7ACMDUWISF18KY76 071734AJ6 2615000 PA USD 2445025 0.5827316622 Long DBT CORP US N 2 2030-01-30 Fixed 5.250000000000 N N N N N N Petrobras Global Finance B.V. 549300FNENFFSMO3GT38 71647NBD0 1110000 PA USD 1082139 0.2579101065 Long DBT CORP NL N 2 2049-03-19 Fixed 6.900000000000 N N N N N N Petrobras Global Finance B.V. 549300FNENFFSMO3GT38 71647NBF5 2425000 PA USD 2212812.5 0.5273876162 Long DBT CORP NL N 2 2030-01-15 Fixed 5.093000000000 N N N N N N Petroleos del Peru SA - Petroperu S.A. N/A 716564AB5 697000 PA USD 631663.22 0.1505465826 Long DBT CORP PE N 2 2047-06-19 Fixed 5.625000000000 N N N N N N Popular Inc. N/A 733174AK2 1625000 PA USD 1503125 0.3582452244 Long DBT CORP PR N 2 2023-09-14 Fixed 6.125000000000 N N N N N N Becton Dickinson Euro Finance Sarl N/A 07589LAC1 745000 PA 795350.45 0.1895587529 Long DBT CORP LU N 2 2026-06-04 Fixed 1.208000000000 N N N N N N Berry Global Inc. 549300AP2Q7ERHX6RI89 085770AB1 675000 PA USD 697356 0.1662033808 Long DBT CORP US N 2 2027-07-15 Fixed 5.625000000000 N N N N N N BOC Aviation Limited N/A 09681LAD2 990000 PA USD 1018719.9 0.2427952028 Long DBT CORP SG N 2 2022-09-18 Fixed 2.750000000000 N N N N N N BOC Aviation Limited N/A 09681LAG5 285000 PA USD 285302.1 0.0679970826 Long DBT CORP SG N 2 2021-05-02 Floating 2.813250000000 N N N N N N Post Holdings Inc. JM1I5YUAURL6DC8N1468 737446AK0 1795000 PA USD 1847324.25 0.4402794781 Long DBT CORP US N 2 2026-08-15 Fixed 5.000000000000 N N N N N N Post Holdings Inc. JM1I5YUAURL6DC8N1468 737446AM6 2120000 PA USD 2172385.2 0.5177524314 Long DBT CORP US N 2 2027-03-01 Fixed 5.750000000000 N N N N N N Braskem Netherlands Finance B.V. N/A 10554TAB1 350000 PA USD 276941 0.0660043514 Long DBT CORP NL N 2 2028-01-10 Fixed 4.500000000000 N N N N N N DBGS 2018-BIOD MORTGAGE TRUST DBGS 2018 BIOD B 144A N/A 23306GAC1 863169.21 PA USD 750427.83 0.1788521822 Long ABS-MBS CORP US N 2 2035-05-15 Floating 1.592538000000 N N N N N N DIAMOND SPORTS GROUP LLC / DIA COMPANY GUAR 144A 08/27 6.625 N/A 25277LAC0 2006000 PA USD 1341512.5 0.3197275320 Long DBT CORP US N 2 2027-08-15 Fixed 6.625000000000 N N N N N The Williams Companies Inc. D71FAKCBLFS2O0RBPG08 969457BW9 1385000 PA USD 1262074.45 0.3007947739 Long DBT CORP US N 2 2024-06-24 Fixed 4.550000000000 N N N N N N Post Holdings Inc. JM1I5YUAURL6DC8N1468 737446AN4 1255000 PA USD 1276962.5 0.3043430968 Long DBT CORP US N 2 2028-01-15 Fixed 5.625000000000 N N N N N N USB Capital IX N/A 91731KAA8 2081000 PA USD 1550345 0.3694993380 Long DBT CORP US N 2 2020-05-04 Variable 3.500000000000 N N N N N N Verizon Owner Trust 2020-A N/A 92348TAA2 680000 PA USD 663347.75 0.1580980714 Long ABS-O CORP US N 2 2024-07-22 Fixed 1.850000000000 N N N N N N WORLDWIDE PLAZA TRUST 2017-WWP WPT 2017 WWP D 144A N/A 98162JAL0 645000 PA USD 525536.91 0.1252531148 Long ABS-MBS CORP US N 2 2036-11-10 Variable 3.595543000000 N N N N N N The Williams Companies Inc. D71FAKCBLFS2O0RBPG08 96950FAM6 330000 PA USD 299851.46 0.0714646843 Long DBT CORP US N 2 2024-03-04 Fixed 4.300000000000 N N N N N N YUM! Brands Inc. 549300JE8XHZZ7OHN517 988498AL5 2173000 PA USD 2023932.2 0.4823710903 Long DBT CORP US N 2 2030-01-15 Fixed 4.750000000000 N N N N N N AECOM 0EEB8GF0W0NPCIHZX097 00766TAD2 1140000 PA USD 1114350 0.2655870708 Long DBT CORP US N 2 2024-10-15 Fixed 5.875000000000 N N N N N N AECOM 0EEB8GF0W0NPCIHZX097 00774CAB3 1005000 PA USD 904500 0.2155727604 Long DBT CORP US N 2 2027-03-15 Fixed 5.125000000000 N N N N N N US 10YR NOTE CBT 0620 N/A ADI1FRQ80 89 NC USD -55368.59 -0.0131961966 N/A DIR CORP US N 1 CBT N/A Short US 10yr 6% US 10yr 6% 2020-06-19 -12303115.790000000000 USD -55368.590000000000 N N N Aker BP ASA 549300NFTY73920OYK69 00973RAC7 155000 PA USD 137173.65 0.0326930927 Long DBT CORP NO N 2 2025-03-31 Fixed 5.875000000000 N N N N N N DELL INTERNATIONAL LLC / EMC C SR SECURED 144A 07/46 8.35 N/A 25272KAR4 1733000 PA USD 2036316.92 0.4853227855 Long DBT CORP US N 2 2046-07-15 Fixed 8.350000000000 N N N N N N DIAMOND SPORTS GROUP LLC / DIA SR SECURED 144A 08/26 5.375 N/A 25277LAA4 1715000 PA USD 1393471.8 0.3321111802 Long DBT CORP US N 2 2026-08-15 Fixed 5.375000000000 N N N N N N TransCanada Pipelines Limited 5BV01I6231JPDAPMGH09 89352HAW9 445000 PA USD 454568.13 0.1083388685 Long DBT CORP CA N 2 2028-05-15 Fixed 4.250000000000 N N N N N N BANCO ACTINVER SA / GRUPO GICS SR SECURED 144A 12/34 4.8 N/A 89835RAA2 215000 PA USD 189737.5 0.0452208255 Long DBT CORP MX N 2 2032-12-18 Fixed 4.800000000000 N N N N N N Bausch Health Companies Inc. B3BS7ACMDUWISF18KY76 91831AAB7 118000 PA USD 116820 0.0278421336 Long DBT CORP US N 2 2023-05-15 Fixed 5.875000000000 N N N N N N Bausch Health Companies Inc. B3BS7ACMDUWISF18KY76 91831AAC5 245000 PA USD 241325 0.0575158611 Long DBT CORP US N 2 2025-04-15 Fixed 6.125000000000 N N N N N N Deutsche Bank AG 7LTWFZYICNSX8D621K86 D18190898 240473 NS USD 1543836.66 0.3679481818 Long EC CORP DE N 1 N N N BRAVO MORTGAGE ASSET TRUST BMAT 2006 1A A2 144A N/A 105667AB5 277825.84 PA USD 270989.32 0.0645858659 Long ABS-MBS CORP US N 2 2036-07-25 Floating 1.186630000000 N N N N N N CARS-DB4 L.P. N/A 12510HAJ9 795000 PA USD 667800 0.1591591923 Long ABS-O CORP US N 2 2050-02-15 Fixed 4.950000000000 N N N N N N Vericast Corp. 549300J73P7FL8TVF308 412690AF6 350000 PA USD 269937.5 0.0643351819 Long DBT CORP US N 2 2022-08-15 Fixed 8.375000000000 N N N N N N IAC Financeco 2 Inc. N/A 44932FAA5 1155000 PA USD 1062682.39 0.2532729422 Long DBT CORP US N 2 2026-06-15 Fixed 0.875000000000 N N N N N IAC/ InterActiveCorp USD XXXX N N N Intelsat Jackson Holdings S.A. 8XJ8KF85PBKK1TLMFN29 45824TBA2 1575000 PA USD 991777.5 0.2363739230 Long DBT CORP LU N 2 2024-10-15 Fixed 8.500000000000 N N N N N Israel Electric Corporation Ltd N/A 465077AK1 625000 PA USD 650787.5 0.1551045415 Long DBT CORP IL N 2 2024-11-12 Fixed 5.000000000000 N N N N N N United States Treasury Note/Bond N/A 912810PW2 3920000 PA USD 6115659.38 1.4575672462 Long DBT UST US N 2 2038-02-15 Fixed 4.375000000000 N N N N N N United States Treasury Note/Bond N/A 912810QY7 5385000 PA USD 6956326.2 1.6579264137 Long DBT UST US N 2 2042-11-15 Fixed 2.750000000000 N N N N N N United States Treasury Note/Bond N/A 912810QZ4 3562600 PA USD 4872412.16 1.1612596342 Long DBT UST US N 2 2043-02-15 Fixed 3.125000000000 N N N N N N United States Treasury Note/Bond N/A 912810SF6 6200000 PA USD 8645851.58 2.0605971157 Long DBT UST US N 2 2049-02-15 Fixed 3.000000000000 N N N N N N CANADIAN GOVERNMENT BOND BONDS 03/24 2.25 N/A 135087J54 3768000 PA 2849521.55 0.6791367898 Long DBT NUSS CA N 2 2024-03-01 Fixed 2.250000000000 N N N N N N CANADIAN GOVERNMENT BOND BONDS 09/24 1.5 N/A 135087J96 220000 PA 162429.19 0.0387123370 Long DBT NUSS CA N 2 2024-09-01 Fixed 1.500000000000 N N N N N N United States Treasury Note/Bond N/A 9128286B1 1910000 PA USD 2233357.04 0.5322840708 Long DBT UST US N 2 2029-02-15 Fixed 2.625000000000 N N N N N N United States Treasury Note/Bond N/A 9128286G0 2925000 PA USD 3160028.31 0.7531409903 Long DBT UST US N 2 2024-02-29 Fixed 2.375000000000 N N N N N N United States Treasury Note/Bond N/A 9128286S4 1185000 PA USD 1317757.03 0.3140658049 Long DBT UST US N 2 2026-04-30 Fixed 2.375000000000 N N N N N N United States Treasury Note/Bond N/A 9128286T2 4350000 PA USD 5005898.44 1.1930739027 Long DBT UST US N 2 2029-05-15 Fixed 2.375000000000 N N N N N N United States Treasury Note/Bond N/A 912828U24 2990000 PA USD 3273582.81 0.7802048455 Long DBT UST US N 2 2026-11-15 Fixed 2.000000000000 N N N N N N UNITED STATES TREASURY INFLATI 01/30 0.125 N/A 912828Z37 2205610 PA USD 2275162.15 0.5422476341 Long DBT UST US N 2 2030-01-15 Fixed 0.125000000000 N N N N N N Canada Housing Trust No. 1 549300M44WH89JG50067 13509PGM9 1900000 PA 1413989.91 0.3370013356 Long DBT NUSS CA N 2 2023-06-15 Fixed 2.350000000000 N N N N N N Colombia Government International Bond N/A 195325BQ7 1480000 PA USD 1497626.8 0.3569348185 Long DBT NUSS CO N 2 2024-02-26 Fixed 4.000000000000 N N N N N N United States Treasury Note/Bond N/A 912828ZA1 4450000 PA USD 4524919.93 1.0784405527 Long DBT UST US N 2 2022-02-28 Fixed 1.125000000000 N N N N N N Bausch Health Companies Inc. B3BS7ACMDUWISF18KY76 91911KAN2 480000 PA USD 484944 0.1155784596 Long DBT CORP US N 2 2025-11-01 Fixed 5.500000000000 N N N N N N Bausch Health Companies Inc. B3BS7ACMDUWISF18KY76 91911KAP7 510000 PA USD 537642 0.1281381648 Long DBT CORP US N 2 2025-12-15 Fixed 9.000000000000 N N N N N N BOUGHT AUD/SOLD USD N/A N/A 1 NC -110343.44 -0.0262985516 N/A DFE CORP AU N 2 MORGAN STANLEY CAPITAL SERVICES INC N/A 1191196.460000000000 USD 1756841.940000000000 AUD 2020-06-17 -110343.440000000000 N N N BOUGHT AUD/SOLD USD N/A N/A 1 NC -17094.55 -0.0040742060 N/A DFE CORP AU N 2 BANK OF NEW YORK N/A 269336.790000000000 USD 410000.000000000000 AUD 2020-06-17 -17094.550000000000 N N N BOUGHT CAD/SOLD USD N/A N/A 1 NC 142048.76 0.0338549954 N/A DFE CORP CA N 2 MORGAN STANLEY CAPITAL SERVICES INC N/A 4987650.000000000000 USD 7213782.840000000000 CAD 2020-06-17 142048.760000000000 N N N BOUGHT CAD/SOLD USD N/A N/A 1 NC 94843.54 0.0226044043 N/A DFE CORP CA N 2 MORGAN STANLEY CAPITAL SERVICES INC N/A 3075000.000000000000 USD 4457681.440000000000 CAD 2020-06-17 94843.540000000000 N N N BOUGHT CAD/SOLD USD N/A N/A 1 NC 87780.31 0.0209209992 N/A DFE CORP CA N 2 JPMORGAN CHASE BANK N.A N/A 3075000.000000000000 USD 4447748.570000000000 CAD 2020-06-17 87780.310000000000 N N N BOUGHT CAD/SOLD USD N/A N/A 1 NC 51671.95 0.0123151630 N/A DFE CORP CA N 2 CITIBANK N.A. N/A 3075000.000000000000 USD 4396970.180000000000 CAD 2020-06-17 51671.950000000000 N N N BOUGHT CAD/SOLD USD N/A N/A 1 NC 62056.22 0.0147900836 N/A DFE CORP CA N 2 MORGAN STANLEY CAPITAL SERVICES INC N/A 3075000.000000000000 USD 4411573.350000000000 CAD 2020-06-17 62056.220000000000 N N N BOUGHT CAD/SOLD USD N/A N/A 1 NC 80001.39 0.0190670210 N/A DFE CORP CA N 2 MORGAN STANLEY CAPITAL SERVICES INC N/A 3080000.000000000000 USD 4443840.630000000000 CAD 2020-06-17 80001.390000000000 N N N BOUGHT CAD/SOLD USD N/A N/A 1 NC 204119.98 0.0486486540 N/A DFE CORP CA N 2 GOLDMAN SACHS BANK USA N/A 6160000.000000000000 USD 8949722.320000000000 CAD 2020-06-17 204119.980000000000 N N N BOUGHT CAD/SOLD USD N/A N/A 1 NC 93587.72 0.0223051002 N/A DFE CORP CA N 2 GOLDMAN SACHS BANK USA N/A 3050000.000000000000 USD 4420758.450000000000 CAD 2020-06-17 93587.720000000000 N N N Crown Castle International Corp. 54930012H97VSM0I2R19 22822V309 1010 NS USD 1305771.85 0.3112093335 Long EP CORP US N 2 N N N DTE Energy Company 549300IX8SD6XXD71I78 233331842 30150 NS USD 1135449 0.2706156719 Long EP CORP US N 1 N N N First Horizon Bank COOWI3L2W9TPYR3WJX37 337158208 2315 NS USD 1504750 0.3586325165 Long EP CORP US N 2 N N N Fortive Corporation 549300MU9YQJYHDQEF63 34959J207 2450 NS USD 1768900 0.4215883426 Long EP CORP US N 2 N N N NextEra Energy Inc. N/A 65339F770 37350 NS USD 1646761.5 0.3924786316 Long EP CORP US N 1 N N N NextEra Energy Inc. N/A 65339F796 41250 NS USD 1952775 0.4654119372 Long EP CORP US N 1 N N N KFC HOLDING CO/PIZZA HUT HOLDI COMPANY GUAR 144A 06/24 5 N/A 48250NAA3 660000 PA USD 646800 0.1541541862 Long DBT CORP US N 2 2024-06-01 Fixed 5.000000000000 N N N N N N The Boeing Company RVHJWBXLJ1RFUBSY1F30 097023105 8684 NS USD 1295131.76 0.3086734423 Long EC CORP US N 1 N N N KFC HOLDING CO/PIZZA HUT HOLDI COMPANY GUAR 144A 06/26 5.25 N/A 48250NAB1 1661000 PA USD 1658674.6 0.3953179239 Long DBT CORP US N 2 2026-06-01 Fixed 5.250000000000 N N N N N N Kinder Morgan Inc. 549300WR7IX8XE0TBO16 49456BAF8 450000 PA USD 459282.39 0.1094624352 Long DBT CORP US N 2 2025-06-01 Fixed 4.300000000000 N N N N N N Lcpr Senior Secured Financing Designated Activity Company N/A 50201DAA1 1395000 PA USD 1374075 0.3274882706 Long DBT CORP IE N 2 2027-10-15 Fixed 6.750000000000 N N N N N N Lennar Corporation N/A 526057BZ6 375000 PA USD 366765 0.0874124306 Long DBT CORP US N 2 2024-04-30 Fixed 4.500000000000 N N N N N N Lennar Corporation N/A 526057CD4 1905000 PA USD 1900237.5 0.4528904846 Long DBT CORP US N 2 2027-11-29 Fixed 4.750000000000 N N N N N N Lennar Corporation N/A 526057CR3 285000 PA USD 288277.5 0.0687062205 Long DBT CORP US N 2 2024-11-15 Fixed 5.875000000000 N N N N N N MGIC Investment Corporation N/A 552848AF0 580000 PA USD 536975.6 0.1279793393 Long DBT CORP US N 2 2023-08-15 Fixed 5.750000000000 N N N N N N MILL CITY MORTGAGE TRUST 08/58 1 N/A 59980XAC1 1517290.68 PA USD 1544185.42 0.3680313030 Long ABS-MBS CORP US N 2 2058-08-25 Variable 3.500000000000 N N N N N N MVW OWNER TRUST 2018-1 MVWOT 2018 1A A 144A N/A 62848BAA9 429940.49 PA USD 413135.36 0.0984640464 Long ABS-O CORP US N 2 2036-01-21 Fixed 3.450000000000 N N N N N N Rede D'Or Finance Sarl N/A 75735GAA6 700000 PA USD 607250 0.1447280915 Long DBT CORP LU N 2 2030-01-22 Fixed 4.500000000000 N N N N N N SBA Communications Corporation N/A 78388JAV8 87000 PA USD 88196.25 0.0210201316 Long DBT CORP US N 2 2024-09-01 Fixed 4.875000000000 N N N N N N SBA Tower Trust N/A 78403DAN0 520000 PA USD 502267.95 0.1197073393 Long DBT CORP US N 2 2025-01-15 Fixed 2.836000000000 N N N N N N BOUGHT AUD/SOLD USD N/A N/A 1 NC -1076.19 -0.0002564923 N/A DFE CORP AU N 2 MORGAN STANLEY CAPITAL SERVICES INC N/A 538825.220000000000 USD 874068.940000000000 AUD 2020-06-17 -1076.190000000000 N N N BOUGHT BRL/SOLD USD N/A N/A 1 NC -15363.9 -0.0036617339 N/A DFE CORP BR N 2 CITIBANK N.A. N/A 242221.270000000000 USD 1184462.020000000000 BRL 2020-06-17 -15363.900000000000 N N N SBA Communications Corporation N/A 78410GAC8 1210000 PA USD 1213025 0.2891046409 Long DBT CORP US N 2 2027-02-15 Fixed 3.875000000000 N N N N N N SSandC Technologies Inc. N/A 78466CAC0 1305000 PA USD 1345781.25 0.3207449187 Long DBT CORP US N 2 2027-09-30 Fixed 5.500000000000 N N N N N N Dominion Energy Inc. ILUL7B6Z54MRYCF6H308 25746U133 18000 NS USD 1656180 0.3947233768 Long EP CORP US N 1 N N N Fidelity National Information Services Inc. 6WQI0GK1PRFVBA061U48 31620MBD7 820000 PA 878046.72 0.2092680544 Long DBT CORP US N 2 2027-05-21 Fixed 1.500000000000 N N N N N N Fidelity National Information Services Inc. 6WQI0GK1PRFVBA061U48 31620MBM7 425000 PA 432211.79 0.1030106010 Long DBT CORP US N 2 2028-12-03 Fixed 1.000000000000 N N N N N N Indian Railway Finance Corporation Limited N/A 45434L2A1 645000 PA USD 569751.08 0.1357908381 Long DBT CORP IN N 2 2030-02-13 Fixed 3.249000000000 N N N N N N St. Marys Cement Inc. (Canada) N/A 78478EAA6 415000 PA USD 394669.15 0.0940629277 Long DBT CORP CA N 2 2027-01-28 Fixed 5.750000000000 N N N N N Saudi Arabian Oil Co. N/A 80414L2D6 985000 PA USD 973650.82 0.2320537257 Long DBT CORP SA N 2 2029-04-16 Fixed 3.500000000000 N N N N N N Saudi Arabian Oil Co. N/A 80414L2E4 1140000 PA USD 1129892.73 0.2692914259 Long DBT CORP SA N 2 2039-04-16 Fixed 4.250000000000 N N N N N N Saudi Arabian Oil Co. N/A 80414L2F1 675000 PA USD 670689.75 0.1598479168 Long DBT CORP SA N 2 2049-04-16 Fixed 4.375000000000 N N N N N N Indika Energy Capital III Pte. Ltd. N/A 45569FAA2 1025000 PA USD 676818.59 0.1613086255 Long DBT CORP SG N 2 2024-11-09 Fixed 5.875000000000 N N N N N International Bank for Reconstruction and Development ZTMSNXROF84AHWJNKQ93 459058HS5 1390000 PA 1022000.14 0.2435769943 Long DBT NUSS US N 2 2025-01-16 Fixed 1.900000000000 N N N N N N Nordic Investment Bank N/A 65562QAY1 5340000 PA 513035.67 0.1222736490 Long DBT NUSS FI N 2 2020-07-15 Fixed 1.375000000000 N N N N N N Province of Ontario C7PVKCRGLG18EBQGZV36 68323ACC6 1060000 PA 872389.11 0.2079196557 Long DBT NUSS CA N 2 2045-06-02 Fixed 3.450000000000 N N N N N N FIXED INC CLEARING CORP.REPO N/A 85748R009 5016000 PA USD 5016000 1.1954814441 Long RA CORP US N 2 Repurchase N 0.000000000000000 2020-04-01 4870000 USD 5120098.85 USD UST N N N Province of Ontario C7PVKCRGLG18EBQGZV36 68333ZAC1 1185000 PA 912171.29 0.2174010867 Long DBT NUSS CA N 2 2028-06-02 Fixed 2.900000000000 N N N N N N Perusahaan Penerbit SBSN Indonesia III N/A 71567PAH3 940000 PA USD 939802.6 0.2239865569 Long DBT NUSS ID N 2 2027-03-29 Fixed 4.150000000000 N N N N N N Philippines Government International Bond N/A 718286BM8 43000000 PA 1057845.49 0.2521201463 Long DBT NUSS PH N 2 2036-01-14 Fixed 6.250000000000 N N N N N N Vistra Operations Company LLC 549300ZH5GKBTJZ7NM23 92840VAB8 65000 PA USD 67031.25 0.0159758005 Long DBT CORP US N 2 2027-02-15 Fixed 5.625000000000 N N N N N N Vistra Operations Company LLC 549300ZH5GKBTJZ7NM23 92840VAD4 1050000 PA USD 986980.6 0.2352306605 Long DBT CORP US N 2 2024-07-15 Fixed 3.550000000000 N N N N N N WMG Acquisition Corp. 549300NAS11NXI33CP80 92933BAP9 1585000 PA USD 1549337.5 0.3692592169 Long DBT CORP US N 2 2026-04-15 Fixed 5.500000000000 N N N N N N Wachovia Capital Trust III N/A 92978AAA0 1942000 PA USD 1892401.32 0.4510228594 Long DBT CORP US N 2 2020-05-04 Variable 5.569750000000 N N N N N N Walnut Bidco PLC N/A 93266WAA1 475000 PA USD 365648.72 0.0871463835 Long DBT CORP CH N 2 2024-08-01 Fixed 9.125000000000 N N N N N N Wells Fargo and Company PBLD0EJDB5FWOLXP3B76 949746SD4 935000 PA 571290.5 0.1361577336 Long DBT CORP US N 2 2021-07-27 Floating 2.204100000000 N N N N N N Wells Fargo and Company PBLD0EJDB5FWOLXP3B76 949746SS1 1120000 PA 716017.09 0.1706509459 Long DBT CORP US N 2 2022-04-27 Fixed 3.250000000000 N N N N N N AMSR 2019-SFR1 TRUST AMSR 2019 SFR1 A 144A N/A 00178XAA1 1665000 PA USD 1577064.02 0.3758673788 Long ABS-O CORP US N 2 2039-01-19 Fixed 2.774000000000 N N N N N N CCO Holdings LLC/CCO Holdings Capital Corp. N/A 1248EPBM4 405000 PA USD 409212 0.0975289778 Long DBT CORP US N 2 2026-02-15 Fixed 5.750000000000 N N N N N N CCO Holdings LLC/CCO Holdings Capital Corp. N/A 1248EPBT9 1845000 PA USD 1856937.15 0.4425705554 Long DBT CORP US N 2 2027-05-01 Fixed 5.125000000000 N N N N N N CCO Holdings LLC/CCO Holdings Capital Corp. N/A 1248EPCD3 690000 PA USD 688275 0.1640390732 Long DBT CORP US N 2 2030-03-01 Fixed 4.750000000000 N N N N N N CCO Holdings LLC/CCO Holdings Capital Corp. N/A 1248EPCE1 820000 PA USD 803600 0.1915248980 Long DBT CORP US N 2 2030-08-15 Fixed 4.500000000000 N N N N N N CONNECT FINCO SARL / CONNECT U SR SECURED 144A 10/26 6.75 N/A 20752TAA2 440000 PA USD 363550 0.0866461880 Long DBT CORP LU N 2 2026-10-01 Fixed 6.750000000000 N N N N N N DB Master Finance LLC N/A 233046AE1 508300 PA USD 489015.1 0.1165487396 Long ABS-O CORP US N 2 2047-11-20 Fixed 3.629000000000 N N N N N N DB Master Finance LLC N/A 233046AJ0 893250 PA USD 863317.19 0.2057575122 Long ABS-O CORP US N 2 2049-05-20 Fixed 3.787000000000 N N N N N N DB Master Finance LLC N/A 233046AK7 481362.5 PA USD 461034.56 0.1098800362 Long ABS-O CORP US N 2 2049-05-20 Fixed 4.021000000000 N N N N N N Discover Card Execution Note Trust 549300CKCX1QE4RUW216 254683CK9 295000 PA USD 303951.3 0.0724418140 Long ABS-O CORP US N 2 2024-07-15 Fixed 3.040000000000 N N N N N N Domino's Pizza Master Issuer LLC N/A 25755TAE0 873325 PA USD 847570.65 0.2020045823 Long ABS-O CORP US N 2 2045-10-25 Fixed 4.474000000000 N N N N N N Domino's Pizza Master Issuer LLC N/A 25755TAF7 1177887.5 PA USD 1102349.57 0.2627269649 Long ABS-O CORP US N 2 2047-07-25 Floating 3.044130000000 N N N N N N DRIVEN BRANDS FUNDING LLC HONK 2015 1A A2 144A N/A 26208LAA6 557265 PA USD 555292.28 0.1323448199 Long ABS-O CORP US N 2 2045-07-20 Fixed 5.216000000000 N N N N N N SOLD GBP/BOUGHT USD N/A N/A 1 NC USD 34142.13 0.0081372175 N/A DFE CORP GB N 2 CITIBANK N.A. N/A 552552.800000000000 GBP 721382.550000000000 USD 2020-06-17 34142.130000000000 N N N FOCUS BRANDS FUNDING LLC FOCUS 2017 1A A2II 144A N/A 34417MAB3 593225 PA USD 489220.79 0.1165977625 Long ABS-O CORP US N 2 2047-04-30 Fixed 5.093000000000 N N N N N N GSAA Home Equity Trust 2005-MTR1 N/A 362341UC1 154384.93 PA USD 143597.07 0.0342240097 Long ABS-MBS CORP US N 2 2035-10-25 Floating 1.316630000000 N N N N N N SOLD GBP/BOUGHT USD N/A N/A 1 NC USD 3327.98 0.0007931695 N/A DFE CORP GB N 2 HSBC BANK USA N/A 52470.540000000000 GBP 68588.490000000000 USD 2020-06-17 3327.980000000000 N N N SOLD JPY/BOUGHT USD N/A N/A 1 NC USD -68299.54 -0.0162780767 N/A DFE CORP JP N 2 CITIBANK N.A. N/A 335925370.000000000000 JPY 3066000.000000000000 USD 2020-06-17 -68299.540000000000 N N N Match Group Inc. 549300BIJKT86CPCKK96 57665RAL0 705000 PA USD 630093.75 0.1501725252 Long DBT CORP US N 2 2030-08-01 Fixed 4.125000000000 N N N N N N Verizon Communications Inc. 2S72QS2UO2OESLG6Y829 92343VER1 1800000 PA USD 2074318.99 0.4943799565 Long DBT CORP US N 2 2028-09-21 Fixed 4.329000000000 N N N N N N Verizon Communications Inc. 2S72QS2UO2OESLG6Y829 92343VEU4 1290000 PA USD 1454381.71 0.3466280596 Long DBT CORP US N 2 2029-12-03 Fixed 4.016000000000 N N N N N N VICI Properties LP / VICI Note Co Inc N/A 92564RAB1 385000 PA USD 350350 0.0835001842 Long DBT CORP US N 2 2029-12-01 Fixed 4.625000000000 N N N N N N VICI Properties LP / VICI Note Co Inc N/A 92564RAE5 795000 PA USD 753262.5 0.1795277794 Long DBT CORP US N 2 2030-08-15 Fixed 4.125000000000 N N N N N N European Financial Stability Facility N/A EJ6800415 1020000 PA 1203541.31 0.2868443587 Long DBT NUSS LU N 2 2023-05-23 Fixed 1.875000000000 N N N N N N Kreditanstalt Fuer Wiederaufbau 549300GDPG70E3MBBU98 EJ8071593 1745000 PA 2082658.19 0.4963674682 Long DBT NUSS DE N 2 2023-08-15 Fixed 2.125000000000 N N N N N N New South Wales Treasury Corporation TC7LRO17HPNPLTAV0H77 EJ9128467 650000 PA 414100.04 0.0986939621 Long DBT NUSS AU N 2 2021-04-08 Fixed 4.000000000000 N N N N N N Philippines Government International Bond N/A ZS5626230 1465000 PA 1481178.32 0.3530145927 Long DBT NUSS PH N 2 2027-05-17 Fixed 0.875000000000 N N N N N N SOLD JPY/BOUGHT USD N/A N/A 1 NC USD -65715.47 -0.0156622059 N/A DFE CORP JP N 2 CITIBANK N.A. N/A 323215865.000000000000 JPY 2950000.000000000000 USD 2020-06-17 -65715.470000000000 N N N SOLD GBP/BOUGHT USD N/A N/A 1 NC USD 74227.35 0.0176908731 N/A DFE CORP GB N 2 CITIBANK N.A. N/A 1470000.000000000000 GBP 1902547.500000000000 USD 2020-06-17 74227.350000000000 N N N SOLD GBP/BOUGHT USD N/A N/A 1 NC USD 71787.15 0.0171092914 N/A DFE CORP GB N 2 UBS AG N/A 1470000.000000000000 GBP 1900107.300000000000 USD 2020-06-17 71787.150000000000 N N N SOLD JPY/BOUGHT USD N/A N/A 1 NC USD -3486.47 -0.0008309430 N/A DFE CORP JP N 2 GOLDMAN SACHS BANK USA N/A 311252387.000000000000 JPY 2900605.630000000000 USD 2020-06-17 -3486.470000000000 N N N SOLD GBP/BOUGHT USD N/A N/A 1 NC USD 59961.17 0.0142907628 N/A DFE CORP GB N 2 HSBC BANK USA N/A 1525000.000000000000 GBP 1956687.850000000000 USD 2020-06-17 59961.170000000000 N N N First Maryland Capital I N/A 320808AD0 1046000 PA USD 910020 0.2168883620 Long DBT CORP US N 2 2027-01-15 Floating 2.831250000000 N N N N N N Indonesia Government International Bond N/A 455780BQ8 535000 PA USD 580580.51 0.1383718554 Long DBT NUSS ID N 2 2024-01-15 Fixed 5.875000000000 N N N N N N South Jersey Industries Inc. 549300DJYWYT5VXLFA46 838518116 17400 NS USD 723666 0.1724739383 Long EP CORP US N 1 N N N The Southern Company 549300FC3G3YU2FBZD92 842587602 33300 NS USD 1478520 0.3523810257 Long EP CORP US N 1 N N N U.S. Bancorp N1GZ7BBF3NP8GI976H15 902973759 40750 NS USD 1015490 0.2420254090 Long EP CORP US N 1 N N N U.S. Bancorp N1GZ7BBF3NP8GI976H15 902973866 1304 NS USD 918029.04 0.2187971855 Long EP CORP US N 1 N N N Valley National Bancorp 549300ET52S1UBIB9762 919794305 22825 NS USD 472705.75 0.1126616732 Long EP CORP US N 1 N N N Wells Fargo and Company PBLD0EJDB5FWOLXP3B76 949746556 27605 NS USD 672181.75 0.1602035106 Long EP CORP US N 1 N N N Zions Bancorporation N.A. N/A 989701818 21167 NS USD 553728.72 0.1319721710 Long EP CORP US N 1 N N N BOUGHT CAD/SOLD USD N/A N/A 1 NC -70068.37 -0.0166996484 N/A DFE CORP CA N 2 CANADIAN IMPERIAL BANK OF COMMERCE N/A 1193578.760000000000 USD 1579968.020000000000 CAD 2020-06-17 -70068.370000000000 N N N BOUGHT GBP/SOLD USD N/A N/A 1 NC -187871.29 -0.0447760449 N/A DFE CORP GB N 2 UBS AG N/A 3844511.580000000000 USD 2940000.000000000000 GBP 2020-06-17 -187871.290000000000 N N N BOUGHT JPY/SOLD USD N/A N/A 1 NC 36836.75 0.0087794360 N/A DFE CORP JP N 2 GOLDMAN SACHS BANK USA N/A 2950000.000000000000 USD 320120725.000000000000 JPY 2020-06-17 36836.750000000000 N N N BOUGHT JPY/SOLD USD N/A N/A 1 NC 41904.01 0.0099871344 N/A DFE CORP JP N 2 AUSTRALIA AND NEW ZEALAND BANKING GROUP N/A 3066000.000000000000 USD 333096372.000000000000 JPY 2020-06-17 41904.010000000000 N N N BOUGHT NZD/SOLD USD N/A N/A 1 NC -46808.63 -0.0111560703 N/A DFE CORP NZ N 2 STATE STREET BANK AND TRUST COMPANY N/A 566849.320000000000 USD 872054.010000000000 NZD 2020-06-17 -46808.630000000000 N N N BOUGHT MXN/SOLD USD N/A N/A 1 NC -196214.37 -0.0467644813 N/A DFE CORP MX N 2 GOLDMAN SACHS BANK USA N/A 969090.820000000000 USD 18541808.480000000000 MXN 2020-06-17 -196214.370000000000 N N N BOUGHT CAD/SOLD USD N/A N/A 1 NC -160428.26 -0.0382354482 N/A DFE CORP CA N 2 ROYAL BANK OF CANADA N/A 2638025.530000000000 USD 3484190.690000000000 CAD 2020-06-17 -160428.260000000000 N N N BOUGHT CAD/SOLD USD N/A N/A 1 NC -25998.72 -0.0061963691 N/A DFE CORP CA N 2 CANADIAN IMPERIAL BANK OF COMMERCE N/A 466529.920000000000 USD 619509.370000000000 CAD 2020-06-17 -25998.720000000000 N N N BOUGHT GBP/SOLD USD N/A N/A 1 NC -54190.57 -0.0129154348 N/A DFE CORP GB N 2 GOLDMAN SACHS BANK USA N/A 1950917.250000000000 USD 1525000.000000000000 GBP 2020-06-17 -54190.570000000000 N N N BOUGHT CAD/SOLD USD N/A N/A 1 NC -53786.65 -0.0128191671 N/A DFE CORP CA N 2 ROYAL BANK OF CANADA N/A 1168006.170000000000 USD 1566902.470000000000 CAD 2020-06-17 -53786.650000000000 N N N BOUGHT MXN/SOLD USD N/A N/A 1 NC -474051.42 -0.1129823916 N/A DFE CORP MX N 2 STATE STREET BANK AND TRUST COMPANY N/A 2992855.970000000000 USD 60427758.270000000000 MXN 2020-06-17 -474051.420000000000 N N N SOLD EUR/BOUGHT USD N/A N/A 1 NC USD 161318.5 0.0384476223 N/A DFE CORP DE N 2 CITIBANK N.A. N/A 3999078.260000000000 EUR 4584715.280000000000 USD 2020-06-17 161318.500000000000 N N N BOUGHT MXN/SOLD USD N/A N/A 1 NC -136968.85 -0.0326442820 N/A DFE CORP MX N 2 GOLDMAN SACHS BANK USA N/A 1338922.620000000000 USD 28835652.110000000000 MXN 2020-06-17 -136968.850000000000 N N N BOUGHT MXN/SOLD USD N/A N/A 1 NC -29138.04 -0.0069445746 N/A DFE CORP MX N 2 CITIBANK N.A. N/A 285471.810000000000 USD 6149613.810000000000 MXN 2020-06-17 -29138.040000000000 N N N BOUGHT MXN/SOLD USD N/A N/A 1 NC -5613.1 -0.0013377904 N/A DFE CORP MX N 2 GOLDMAN SACHS BANK USA N/A 74070.740000000000 USD 1642343.200000000000 MXN 2020-06-17 -5613.100000000000 N N N BOUGHT JPY/SOLD USD N/A N/A 1 NC -24075.59 -0.0057380225 N/A DFE CORP JP N 2 GOLDMAN SACHS BANK USA N/A 3045833.340000000000 USD 323863459.000000000000 JPY 2020-06-17 -24075.590000000000 N N N BOUGHT CAD/SOLD USD N/A N/A 1 NC 42849.4 0.0102124527 N/A DFE CORP CA N 2 MORGAN STANLEY CAPITAL SERVICES INC N/A 4554305.390000000000 USD 6464877.940000000000 CAD 2020-06-17 42849.400000000000 N N N BOUGHT JPY/SOLD USD N/A N/A 1 NC 21604.89 0.0051491717 N/A DFE CORP JP N 2 CANADIAN IMPERIAL BANK OF COMMERCE N/A 1386786.130000000000 USD 150947371.000000000000 JPY 2020-06-17 21604.890000000000 N N N ARROYO MORTGAGE TRUST 2018-1 ARRW 2018 1 A1 144A N/A 042856AA2 815787.14 PA USD 794039.07 0.1892462069 Long ABS-MBS CORP US N 2 2048-04-25 Variable 3.763000000000 N N N N N N BOUGHT MXN/SOLD USD N/A N/A 1 NC 1793.22 0.0004273846 N/A DFE CORP MX N 2 STATE STREET BANK AND TRUST COMPANY N/A 64499.560000000000 USD 1590406.920000000000 MXN 2020-06-17 1793.220000000000 N N N BOUGHT NZD/SOLD USD N/A N/A 1 NC 32203.08 0.0076750767 N/A DFE CORP NZ N 2 GOLDMAN SACHS BANK USA N/A 715120.930000000000 USD 1253184.440000000000 NZD 2020-06-17 32203.080000000000 N N N ARROYO MORTGAGE TRUST 2019-2 ARRW 2019 2 A1 144A N/A 042858AA8 1371393.58 PA USD 1303110.66 0.3105750825 Long ABS-MBS CORP US N 2 2049-04-25 Variable 3.347000000000 N N N N N N ARROYO MORTGAGE TRUST 01/49 1 N/A 042859AA6 931338.35 PA USD 904418.11 0.2155532433 Long ABS-MBS CORP US N 2 2049-01-25 Variable 3.805000000000 N N N N N N BOUGHT NZD/SOLD USD N/A N/A 1 NC 31966.93 0.0076187942 N/A DFE CORP NZ N 2 NATIONAL AUSTRALIA BANK LIMITED N/A 1005664.670000000000 USD 1740000.000000000000 NZD 2020-06-17 31966.930000000000 N N N BOUGHT JPY/SOLD USD N/A N/A 1 NC 100398.21 0.0239282690 N/A DFE CORP JP N 2 HSBC BANK USA N/A 3045833.330000000000 USD 337204208.000000000000 JPY 2020-06-17 100398.210000000000 N N N ARROYO MORTGAGE TRUST 2019-3 10/48 1 N/A 04285AAA3 783265.78 PA USD 734231.54 0.1749920617 Long ABS-MBS CORP US N 2 2048-10-25 Variable 2.962000000000 N N N N N N Avaya Holdings Corp. N/A 05351XAB7 1055000 PA USD 844177.36 0.2011958472 Long DBT CORP US N 2 2023-06-15 Fixed 2.250000000000 N N N N Y Avaya Holdings Corp. USD XXXX N N N BAMLL COMMERCIAL MORTGAGE SECU 11/32 1 N/A 05492PAL2 670000 PA USD 532226.69 0.1268475143 Long ABS-MBS CORP US N 2 2032-11-05 Variable 3.842500000000 N N N N N N Truist Financial Corporation 549300DRQQI75D2JP341 05531GAB7 670000 PA USD 679590.67 0.1619693053 Long DBT CORP US N 2 2029-03-19 Fixed 3.875000000000 N N N N N N BBCMS 2018-TALL MORTGAGE TRUST BBCMS 2018 TALL E 144A N/A 05548WAJ6 815000 PA USD 652232.6 0.1554489574 Long ABS-MBS CORP US N 2 2037-03-15 Floating 3.141630000000 N N N N N N BHMS 2018-ATLS BHMS 2018 ATLS C 144A N/A 05549GAJ0 665000 PA USD 464854.29 0.1107904063 Long ABS-MBS CORP US N 2 2035-07-15 Floating 2.604630000000 N N N N N N BX COMMERCIAL MORTGAGE TRUST 2 BX 2019 XL A 144A N/A 056054AA7 1633734.93 PA USD 1553983.51 0.3703665173 Long ABS-MBS CORP US N 2 2036-10-15 Floating 1.624630000000 N N N N N N BX COMMERCIAL MORTGAGE TRUST 2 BX 2018 BIOA E 144A N/A 056057AN2 1040000 PA USD 831776.09 0.1982402076 Long ABS-MBS CORP US N 2 2037-03-15 Floating 2.655680000000 N N N N N N BXP TRUST 2017-CC BXP 2017 CC C 144A N/A 05607CAJ8 565000 PA USD 503151.65 0.1199179548 Long ABS-MBS CORP US N 2 2037-08-13 Variable 3.551500000000 N N N N N N BX COMMERCIAL MORTGAGE TRUST 2 BX 2020 BXLP A 144A N/A 05607QAA6 690000 PA USD 639909.59 0.1525119698 Long ABS-MBS CORP US N 2 2036-12-15 Floating 1.504630000000 N N N N N N BXP TRUST 2017-GM BXP 2017 GM D 144A N/A 056083AL2 1220000 PA USD 1164169.87 0.2774608208 Long ABS-MBS CORP US N 2 2039-06-13 Variable 3.424800000000 N N N N N N Ball Corporation 0BGI85ALH27ZJP15DY16 058498AS5 1845000 PA USD 1858837.5 0.4430234726 Long DBT CORP US N 2 2023-11-15 Fixed 4.000000000000 N N N N N N Ball Corporation 0BGI85ALH27ZJP15DY16 058498AT3 1460000 PA USD 1587458 0.3783446137 Long DBT CORP US N 2 2025-07-01 Fixed 5.250000000000 N N N N N N Ball Corporation 0BGI85ALH27ZJP15DY16 058498AV8 1120000 PA USD 1163400 0.2772773349 Long DBT CORP US N 2 2026-03-15 Fixed 4.875000000000 N N N N N N Banff Merger Sub Inc. N/A 05988LAA6 870000 PA USD 765600 0.1824682204 Long DBT CORP US N 2 2026-09-01 Fixed 9.750000000000 N N N N N N Bank of America Corporation 9DJT3UXIJIZJI4WXO774 06051GHD4 686000 PA USD 708310.46 0.1688141969 Long DBT CORP US N 2 2028-12-20 Variable 3.419000000000 N N N N N N Bank of America Corporation 9DJT3UXIJIZJI4WXO774 06051GHQ5 440000 PA USD 475106.75 0.1132339122 Long DBT CORP US N 2 2030-02-07 Variable 3.974000000000 N N N N N N The Bank of New York Mellon Corporation WFLLPEPC7FZXENRZV188 064058100 24596 NS USD 828393.28 0.1974339702 Long EC CORP US N 1 N N N BOUGHT SGD/SOLD USD N/A N/A 1 NC -36256.95 -0.0086412502 N/A DFE CORP SG N 2 STANDARD CHARTERED BANK N/A 815387.880000000000 USD 1106128.290000000000 SGD 2020-06-17 -36256.950000000000 N N N SOLD CAD/BOUGHT USD N/A N/A 1 NC USD 772831.81 0.1841918039 N/A DFE CORP CA N 2 MORGAN STANLEY CAPITAL SERVICES INC N/A 18229499.430000000000 CAD 13735772.710000000000 USD 2020-06-17 772831.810000000000 N N N SOLD CAD/BOUGHT USD N/A N/A 1 NC USD 20830.82 0.0049646848 N/A DFE CORP CA N 2 TORONTO DOMINION BANK N/A 1390401.640000000000 CAD 1009541.140000000000 USD 2020-06-17 20830.820000000000 N N N SOLD CAD/BOUGHT USD N/A N/A 1 NC USD -157533.82 -0.0375456058 N/A DFE CORP CA N 2 ROYAL BANK OF CANADA N/A 8867802.650000000000 CAD 6148333.330000000000 USD 2020-06-17 -157533.820000000000 N N N SOLD CAD/BOUGHT USD N/A N/A 1 NC USD -86371.55 -0.0205852443 N/A DFE CORP CA N 2 U.S. BANK N/A 4459830.250000000000 CAD 3085000.000000000000 USD 2020-06-17 -86371.550000000000 N N N SOLD CAD/BOUGHT USD N/A N/A 1 NC USD -16242.29 -0.0038710838 N/A DFE CORP CA N 2 STATE STREET BANK AND TRUST COMPANY N/A 2188509.400000000000 CAD 1540000.000000000000 USD 2020-06-17 -16242.290000000000 N N N SOLD CAD/BOUGHT USD N/A N/A 1 NC USD -16847.98 -0.0040154401 N/A DFE CORP CA N 2 JPMORGAN CHASE BANK N.A N/A 2189361.160000000000 CAD 1540000.000000000000 USD 2020-06-17 -16847.980000000000 N N N SOLD CAD/BOUGHT USD N/A N/A 1 NC USD 3303.22 0.0007872684 N/A DFE CORP CA N 2 CITIBANK N.A. N/A 2166296.520000000000 CAD 1543750.000000000000 USD 2020-06-17 3303.220000000000 N N N SOLD CAD/BOUGHT USD N/A N/A 1 NC USD 4608.45 0.0010983486 N/A DFE CORP CA N 2 MORGAN STANLEY CAPITAL SERVICES INC N/A 2164461.000000000000 CAD 1543750.000000000000 USD 2020-06-17 4608.450000000000 N N N SOLD CAD/BOUGHT USD N/A N/A 1 NC USD 3938.97 0.0009387890 N/A DFE CORP CA N 2 JPMORGAN CHASE BANK N.A N/A 2165402.470000000000 CAD 1543750.000000000000 USD 2020-06-17 3938.970000000000 N N N SOLD CAD/BOUGHT USD N/A N/A 1 NC USD 4591.98 0.0010944232 N/A DFE CORP CA N 2 STATE STREET BANK AND TRUST COMPANY N/A 2164484.160000000000 CAD 1543750.000000000000 USD 2020-06-17 4591.980000000000 N N N SOLD CAD/BOUGHT USD N/A N/A 1 NC USD -384.08 -0.0000915392 N/A DFE CORP CA N 2 CITIBANK N.A. N/A 4342423.640000000000 CAD 3087500.000000000000 USD 2020-06-17 -384.080000000000 N N N SOLD CAD/BOUGHT USD N/A N/A 1 NC USD 4675.7 0.0011143765 N/A DFE CORP CA N 2 MORGAN STANLEY CAPITAL SERVICES INC N/A 4335308.190000000000 CAD 3087500.000000000000 USD 2020-06-17 4675.700000000000 N N N JACK IN THE BOX FUNDING LLC JACK 2019 1A A2II 144A N/A 466365AB9 593512.5 PA USD 517893.07 0.1234313308 Long ABS-O CORP US N 2 2049-08-25 Fixed 4.476000000000 N N N N N N MSCI Inc. 549300HTIN2PD78UB763 55354GAK6 40000 PA USD 37950 0.0090447609 Long DBT CORP US N 2 2030-09-01 Fixed 3.625000000000 N N N N N N Marathon Oil Corporation 1FRVQX2CRLGC1XLP5727 565849AP1 2049000 PA USD 1367984.57 0.3260367164 Long DBT CORP US N 2 2027-07-15 Fixed 4.400000000000 N N N N N N Americold Realty Trust N/A 03064D108 29850 NS USD 1016094 0.2421693625 Long EC CORP US N 1 N N N BOUGHT GBP/SOLD EUR N/A N/A 1 NC 88979.46 0.0212067969 N/A DFE CORP GB N 2 JPMORGAN CHASE BANK N.A N/A 1530000.000000000000 EUR 1432210.050000000000 GBP 2020-06-17 88979.460000000000 N N N BOUGHT EUR/SOLD GBP N/A N/A 1 NC -57632.1 -0.0137356671 N/A DFE CORP DE N 2 HSBC BANK USA N/A 1449249.250000000000 GBP 1577500.000000000000 EUR 2020-06-17 -57632.100000000000 N N N SOLD NZD/BOUGHT USD N/A N/A 1 NC USD 146196.98 0.0348436557 N/A DFE CORP NZ N 2 AUSTRALIA AND NEW ZEALAND BANKING GROUP N/A 2869871.210000000000 NZD 1857615.980000000000 USD 2020-06-17 146196.980000000000 N N N SOLD SGD/BOUGHT USD N/A N/A 1 NC USD 191467.51 0.0456331450 N/A DFE CORP SG N 2 HSBC BANK USA N/A 7402615.380000000000 SGD 5405696.890000000000 USD 2020-06-17 191467.510000000000 N N N BOUGHT GBP/SOLD CAD N/A N/A 1 NC 25650.98 0.0061134910 N/A DFE CORP GB N 2 MORGAN STANLEY CAPITAL SERVICES INC N/A 2633439.060000000000 CAD 1526250.000000000000 GBP 2020-06-17 25650.980000000000 N N N BOUGHT EUR/SOLD GBP N/A N/A 1 NC -71432.98 -0.0170248808 N/A DFE CORP DE N 2 GOLDMAN SACHS BANK USA N/A 1460345.390000000000 GBP 1577500.000000000000 EUR 2020-06-17 -71432.980000000000 N N N BOUGHT GBP/SOLD EUR N/A N/A 1 NC 60716.72 0.0144708357 N/A DFE CORP GB N 2 HSBC BANK USA N/A 1541250.000000000000 EUR 1419491.250000000000 GBP 2020-06-17 60716.720000000000 N N N BOUGHT GBP/SOLD EUR N/A N/A 1 NC 50278.99 0.0119831738 N/A DFE CORP GB N 2 HSBC BANK USA N/A 1541250.000000000000 EUR 1411099.140000000000 GBP 2020-06-17 50278.990000000000 N N N BOUGHT GBP/SOLD EUR N/A N/A 1 NC 52790.18 0.0125816748 N/A DFE CORP GB N 2 STATE STREET BANK AND TRUST COMPANY N/A 1541250.000000000000 EUR 1413118.180000000000 GBP 2020-06-17 52790.180000000000 N N N NEXTGEAR FLOORPLAN MASTER OWNE NFMOT 2018 2A A2 144A N/A 65341KBD7 875000 PA USD 829612.35 0.1977245156 Long ABS-O CORP US N 2 2023-10-15 Fixed 3.690000000000 N N N N N N OUTFRONT MEDIA CAPITAL LLC COMPANY GUAR 144A 08/27 5 N/A 69007TAB0 1020000 PA USD 938400 0.2236522702 Long DBT CORP US N 2 2027-08-15 Fixed 5.000000000000 N N N N N N Owens Corning JO5M6676RDJIZ2U8X907 690742AJ0 530000 PA USD 500849.76 0.1193693370 Long DBT CORP US N 2 2029-08-15 Fixed 3.950000000000 N N N N N PBF HOLDING CO LLC / PBF FINAN COMPANY GUAR 06/25 7.25 N/A 69318FAG3 680000 PA USD 455804 0.1086334179 Long DBT CORP US N 2 2025-06-15 Fixed 7.250000000000 N N N N N N BOUGHT EUR/SOLD GBP N/A N/A 1 NC -33016.97 -0.0078690540 N/A DFE CORP DE N 2 HSBC BANK USA N/A 1397220.190000000000 GBP 1541250.000000000000 EUR 2020-06-17 -33016.970000000000 N N N BOUGHT EUR/SOLD GBP N/A N/A 1 NC -6026.49 -0.0014363152 N/A DFE CORP DE N 2 HSBC BANK USA N/A 1375519.390000000000 GBP 1541250.000000000000 EUR 2020-06-17 -6026.490000000000 N N N BOUGHT GBP/SOLD CAD N/A N/A 1 NC 20355.74 0.0048514572 N/A DFE CORP GB N 2 STANDARD CHARTERED BANK N/A 2640885.640000000000 CAD 1526250.000000000000 GBP 2020-06-17 20355.740000000000 N N N BOUGHT GBP/SOLD CAD N/A N/A 1 NC 30635.99 0.0073015864 N/A DFE CORP GB N 2 GOLDMAN SACHS BANK USA N/A 2635174.060000000000 CAD 1531250.000000000000 GBP 2020-06-17 30635.990000000000 N N N DISH DBS Corporation N/A 25470XAJ4 1260000 PA USD 1227013.2 0.2924384992 Long DBT CORP US N 2 2022-07-15 Fixed 5.875000000000 N N N N N N BOUGHT CAD/SOLD GBP N/A N/A 1 NC -20431.71 -0.0048695634 N/A DFE CORP CA N 2 STANDARD CHARTERED BANK N/A 1526250.000000000000 GBP 2640778.800000000000 CAD 2020-06-17 -20431.710000000000 N N N BOUGHT CAD/SOLD GBP N/A N/A 1 NC -21669.17 -0.0051644918 N/A DFE CORP CA N 2 STANDARD CHARTERED BANK N/A 1531250.000000000000 GBP 2647783.910000000000 CAD 2020-06-17 -21669.170000000000 N N N PBF HOLDING CO LLC / PBF FINAN COMPANY GUAR 144A 02/28 6 N/A 69318FAH1 88000 PA USD 59180 0.0141045837 Long DBT CORP US N 2 2028-02-15 Fixed 6.000000000000 N N N N N N PT Pertamina (Persero) N/A 69369EAE9 805000 PA USD 800127.44 0.1906972702 Long DBT CORP ID N 2 2023-05-20 Fixed 4.300000000000 N N N N N N PT Jasa Marga (Persero) Tbk N/A 69369TAA4 9120000000 PA 554726.2 0.1322099040 Long DBT CORP ID N 2 2020-12-11 Fixed 7.500000000000 N N N N N N PT Pelabuhan Indonesia II N/A 69370NAB2 920000 PA USD 899300 0.2143334256 Long DBT CORP ID N 2 2025-05-05 Fixed 4.250000000000 N N N N N N BOUGHT NZD/SOLD CAD N/A N/A 1 NC -30833.6 -0.0073486835 N/A DFE CORP NZ N 2 ROYAL BANK OF CANADA N/A 2609537.400000000000 CAD 3060000.000000000000 NZD 2020-06-17 -30833.600000000000 N N N BOUGHT CAD/SOLD NZD N/A N/A 1 NC 44422.45 0.0105873634 N/A DFE CORP CA N 2 ROYAL BANK OF CANADA N/A 3060000.000000000000 NZD 2628647.100000000000 CAD 2020-06-17 44422.450000000000 N N N PT Pertamina (Persero) N/A 69370PAD3 295000 PA USD 271392.7 0.0646820050 Long DBT CORP ID N 2 2029-07-30 Fixed 3.650000000000 N N N N N Perusahaan Listrik Negara PT N/A 71568PAC3 1440000 PA USD 1387605.6 0.3307130675 Long DBT CORP ID N 2 2027-05-15 Fixed 4.125000000000 N N N N N N Petrobras Global Finance B.V. 549300FNENFFSMO3GT38 71647NAY5 255000 PA USD 246967.5 0.0588606586 Long DBT CORP NL N 2 2028-01-27 Fixed 5.999000000000 N N N N N N Petrobras Global Finance B.V. 549300FNENFFSMO3GT38 71647NAZ2 500000 PA USD 471650 0.1124100525 Long DBT CORP NL N 2 2029-02-01 Fixed 5.750000000000 N N N N N N BOUGHT CAD/SOLD GBP N/A N/A 1 NC -14283.42 -0.0034042192 N/A DFE CORP CA N 2 CITIBANK N.A. N/A 1526250.000000000000 GBP 2649425.010000000000 CAD 2020-06-17 -14283.420000000000 N N N BOUGHT CAD/SOLD GBP N/A N/A 1 NC -19289.96 -0.0045974460 N/A DFE CORP CA N 2 ROYAL BANK OF CANADA N/A 1526250.000000000000 GBP 2642384.420000000000 CAD 2020-06-17 -19289.960000000000 N N N BOUGHT NZD/SOLD CAD N/A N/A 1 NC -15325.15 -0.0036524985 N/A DFE CORP NZ N 2 STANDARD CHARTERED BANK N/A 2577245.460000000000 CAD 3047500.000000000000 NZD 2020-06-17 -15325.150000000000 N N N BOUGHT NZD/SOLD CAD N/A N/A 1 NC -15267.29 -0.0036387085 N/A DFE CORP NZ N 2 AUSTRALIA AND NEW ZEALAND BANKING GROUP N/A 2577164.090000000000 CAD 3047500.000000000000 NZD 2020-06-17 -15267.290000000000 N N N Select Medical Corporation N/A 816196AT6 1785000 PA USD 1785000 0.4254255139 Long DBT CORP US N 2 2026-08-15 Fixed 6.250000000000 N N N N N N Sirius XM Radio Inc. WP5O65E6BMU84LNO4227 82967NAL2 175000 PA USD 173248.25 0.0412908828 Long DBT CORP US N 2 2023-05-15 Fixed 4.625000000000 N N N N N N Sirius XM Radio Inc. WP5O65E6BMU84LNO4227 82967NAW8 565000 PA USD 571893 0.1363013296 Long DBT CORP US N 2 2026-07-15 Fixed 5.375000000000 N N N N N N Societe Generale SA O2RNE8IBXP4R0TD8PU41 83368JFA3 460000 PA USD 420900 0.1003146212 Long DBT CORP FR N 2 2025-09-29 Variable 8.000000000000 N N N N N N BOUGHT NZD/SOLD CAD N/A N/A 1 NC -15053.05 -0.0035876479 N/A DFE CORP NZ N 2 NATIONAL AUSTRALIA BANK LIMITED N/A 2577280.430000000000 CAD 3047998.000000000000 NZD 2020-06-17 -15053.050000000000 N N N BOUGHT GBP/SOLD CAD N/A N/A 1 NC 36963.4 0.0088096210 N/A DFE CORP GB N 2 CITIBANK N.A. N/A 2626275.970000000000 CAD 1531250.000000000000 GBP 2020-06-17 36963.400000000000 N N N American Tire Distributors Inc. N/A 03021BAJ3 33102.94 PA USD 30785.73 0.0073372745 Long LON CORP US N 2 2023-09-01 Floating 7.2 N N N N N N Becton Dickinson and Company ICE2EP6D98PQUILVRZ91 075887208 16245 NS USD 849288.6 0.2024140275 Long EP CORP US N 1 N N N BOUGHT GBP/SOLD CAD N/A N/A 1 NC 31306.73 0.0074614463 N/A DFE CORP GB N 2 MORGAN STANLEY CAPITAL SERVICES INC N/A 2634230.810000000000 CAD 1531250.000000000000 GBP 2020-06-17 31306.730000000000 N N N BOUGHT NZD/SOLD CAD N/A N/A 1 NC -16420.84 -0.0039136383 N/A DFE CORP NZ N 2 CANADIAN IMPERIAL BANK OF COMMERCE N/A 2580882.860000000000 CAD 3050000.000000000000 NZD 2020-06-17 -16420.840000000000 N N N Broadcom Inc. N/A 11135F200 1340 NS USD 1252042.4 0.2984037991 Long EP CORP US N 1 N N N CSC Holdings LLC 3HG2WD2W22M120IUNG49 126307AQ0 1470000 PA USD 1521303 0.3625776530 Long DBT CORP US N 2 2027-04-15 Fixed 5.500000000000 N N N N N N BOUGHT CAD/SOLD GBP N/A N/A 1 NC -118669.48 -0.0282829269 N/A DFE CORP CA N 2 GOLDMAN SACHS BANK USA N/A 4625000.000000000000 GBP 7922546.380000000000 CAD 2020-06-17 -118669.480000000000 N N N BOUGHT CAD/SOLD AUD N/A N/A 1 NC 31199.36 0.0074358564 N/A DFE CORP CA N 2 HSBC BANK USA N/A 2960000.000000000000 AUD 2604800.000000000000 CAD 2020-06-17 31199.360000000000 N N N BOUGHT CAD/SOLD NZD N/A N/A 1 NC -3365.17 -0.0008020332 N/A DFE CORP CA N 2 ROYAL BANK OF CANADA N/A 3047500.000000000000 NZD 2550961.680000000000 CAD 2020-06-17 -3365.170000000000 N N N BOUGHT CAD/SOLD NZD N/A N/A 1 NC -1864.92 -0.0004444731 N/A DFE CORP CA N 2 ROYAL BANK OF CANADA N/A 3050000.000000000000 NZD 2555168.000000000000 CAD 2020-06-17 -1864.920000000000 N N N BOUGHT CAD/SOLD USD N/A N/A 1 NC 34006.44 0.0081048780 N/A DFE CORP CA N 2 JPMORGAN CHASE BANK N.A N/A 1162350.000000000000 USD 1682409.820000000000 CAD 2020-06-17 34006.440000000000 N N N HC2 Holdings Inc. 549300S6O246JWQQ1K58 404139107 88710 NS USD 137500.5 0.0327709921 Long EC CORP US N 1 N N Valero Energy Corporation 549300XTO5VR8SKV1V74 91913YAU4 470000 PA USD 421731.05 0.1005126883 Long DBT CORP US N 2 2026-09-15 Fixed 3.400000000000 N N N N N N Berkshire Hathaway Inc. 5493000C01ZX7D35SD85 BG5374981 975000 PA 1020655.03 0.2432564093 Long DBT CORP US N 2 2025-03-12 Fixed 0.000000000000 N N N N N N Chubb INA Holdings Inc. CZCBJZWDMLTHWJDXU843 ZQ8770583 875000 PA 899564.5 0.2143964648 Long DBT CORP US N 2 2024-12-15 Fixed 0.300000000000 N N N N N N BOUGHT CAD/SOLD GBP N/A N/A 1 NC -28045.59 -0.0066842070 N/A DFE CORP CA N 2 ROYAL BANK OF CANADA N/A 1532500.000000000000 GBP 2641003.230000000000 CAD 2020-06-17 -28045.590000000000 N N N BOUGHT CAD/SOLD GBP N/A N/A 1 NC -21643.28 -0.0051583213 N/A DFE CORP CA N 2 ROYAL BANK OF CANADA N/A 1532500.000000000000 GBP 2650006.660000000000 CAD 2020-06-17 -21643.280000000000 N N N BOUGHT CAD/SOLD NZD N/A N/A 1 NC 8104.98 0.0019316892 N/A DFE CORP CA N 2 AUSTRALIA AND NEW ZEALAND BANKING GROUP N/A 1523750.000000000000 NZD 1289244.880000000000 CAD 2020-06-17 8104.980000000000 N N N BOUGHT CAD/SOLD NZD N/A N/A 1 NC 5341.97 0.0012731711 N/A DFE CORP CA N 2 AUSTRALIA AND NEW ZEALAND BANKING GROUP N/A 1523750.000000000000 NZD 1285359.310000000000 CAD 2020-06-17 5341.970000000000 N N N BOUGHT GBP/SOLD CAD N/A N/A 1 NC 60791.94 0.0144887632 N/A DFE CORP GB N 2 HSBC BANK USA N/A 5240414.550000000000 CAD 3045000.000000000000 GBP 2020-06-17 60791.940000000000 N N N BOUGHT CAD/SOLD NZD N/A N/A 1 NC 9553.78 0.0022769870 N/A DFE CORP CA N 2 UBS AG N/A 1521525.000000000000 NZD 1289416.360000000000 CAD 2020-06-17 9553.780000000000 N N N BOUGHT CAD/SOLD GBP N/A N/A 1 NC -38781.77 -0.0092429997 N/A DFE CORP CA N 2 ROYAL BANK OF CANADA N/A 3045000.000000000000 GBP 5271366.980000000000 CAD 2020-06-17 -38781.770000000000 N N N BOUGHT CAD/SOLD NZD N/A N/A 1 NC 9905.81 0.0023608876 N/A DFE CORP CA N 2 CITIBANK N.A. N/A 1523750.000000000000 NZD 1291777.350000000000 CAD 2020-06-17 9905.810000000000 N N N BOUGHT GBP/SOLD NZD N/A N/A 1 NC 26169.22 0.0062370050 N/A DFE CORP GB N 2 GOLDMAN SACHS BANK USA N/A 3136729.800000000000 NZD 1525000.000000000000 GBP 2020-06-17 26169.220000000000 N N N SOLD NZD/BOUGHT USD N/A N/A 1 NC USD 160849.28 0.0383357914 N/A DFE CORP NZ N 2 AUSTRALIA AND NEW ZEALAND BANKING GROUP N/A 3560187.930000000000 NZD 2283931.760000000000 USD 2020-06-17 160849.280000000000 N N N BOUGHT NZD/SOLD GBP N/A N/A 1 NC -14530.49 -0.0034631043 N/A DFE CORP NZ N 2 CITIBANK N.A. N/A 1525000.000000000000 GBP 3156246.750000000000 NZD 2020-06-17 -14530.490000000000 N N N BOUGHT CAD/SOLD GBP N/A N/A 1 NC 46894.06 0.0111764311 N/A DFE CORP CA N 2 HSBC BANK USA N/A 1522500.000000000000 GBP 2728898.550000000000 CAD 2020-06-17 46894.060000000000 N N N BOUGHT GBP/SOLD CAD N/A N/A 1 NC -34862.63 -0.0083089369 N/A DFE CORP GB N 2 CITIBANK N.A. N/A 2711979.010000000000 CAD 1522500.000000000000 GBP 2020-06-17 -34862.630000000000 N N N BOUGHT CAD/SOLD GBP N/A N/A 1 NC 43967.03 0.0104788215 N/A DFE CORP CA N 2 CANADIAN IMPERIAL BANK OF COMMERCE N/A 1522500.000000000000 GBP 2724782.320000000000 CAD 2020-06-17 43967.030000000000 N N N BOUGHT GBP/SOLD CAD N/A N/A 1 NC -36381.58 -0.0086709537 N/A DFE CORP GB N 2 HSBC BANK USA N/A 2714115.080000000000 CAD 1522500.000000000000 GBP 2020-06-17 -36381.580000000000 N N N BOUGHT GBP/SOLD CAD N/A N/A 1 NC -36798.4 -0.0087702959 N/A DFE CORP GB N 2 GOLDMAN SACHS BANK USA N/A 2714701.240000000000 CAD 1522500.000000000000 GBP 2020-06-17 -36798.400000000000 N N N BOUGHT GBP/SOLD CAD N/A N/A 1 NC -27590.51 -0.0065757462 N/A DFE CORP GB N 2 MORGAN STANLEY CAPITAL SERVICES INC N/A 2701752.380000000000 CAD 1522500.000000000000 GBP 2020-06-17 -27590.510000000000 N N N BOUGHT CAD/SOLD GBP N/A N/A 1 NC 30037.28 0.0071588937 N/A DFE CORP CA N 2 HSBC BANK USA N/A 1522500.000000000000 GBP 2705193.230000000000 CAD 2020-06-17 30037.280000000000 N N N BOUGHT GBP/SOLD CAD N/A N/A 1 NC 11039.65 0.0026311198 N/A DFE CORP GB N 2 CITIBANK N.A. N/A 2662731.970000000000 CAD 1531250.000000000000 GBP 2020-06-17 11039.650000000000 N N N BOUGHT CAD/SOLD GBP N/A N/A 1 NC -10031.41 -0.0023908223 N/A DFE CORP CA N 2 CITIBANK N.A. N/A 1522500.000000000000 GBP 2648845.500000000000 CAD 2020-06-17 -10031.410000000000 N N N BOUGHT CAD/SOLD GBP N/A N/A 1 NC -16075.55 -0.0038313440 N/A DFE CORP CA N 2 CITIBANK N.A. N/A 1531250.000000000000 GBP 2655650.090000000000 CAD 2020-06-17 -16075.550000000000 N N N BOUGHT CAD/SOLD AUD N/A N/A 1 NC -33644.66 -0.0080186537 N/A DFE CORP CA N 2 ROYAL BANK OF CANADA N/A 2960000.000000000000 AUD 2513611.280000000000 CAD 2020-06-17 -33644.660000000000 N N N BOUGHT GBP/SOLD EUR N/A N/A 1 NC 56509.5 0.0134681138 N/A DFE CORP GB N 2 JPMORGAN CHASE BANK N.A N/A 1530000.000000000000 EUR 1406103.660000000000 GBP 2020-06-17 56509.500000000000 N N N Southern Gas Networks PLC 549300SPX8573VZ2SK79 EF1253279 80000 PA 101446.31 0.0241780664 Long DBT CORP GB N 2 2020-12-21 Fixed 4.875000000000 N N N N N N BANCO ACTINVER SA / GRUPO GICS SR SECURED 144A 12/34 9.5 N/A ZP0440690 12100000 PA 469259.14 0.1118402301 Long DBT CORP MX N 2 2032-12-18 Fixed 9.500000000000 N N N N N N Thermo Fisher Scientific Inc. HCHV7422L5HDJZCRFL38 ZR7668885 650000 PA 648016.2 0.1544440476 Long DBT CORP US N 2 2028-03-01 Fixed 0.500000000000 N N N N N N BOUGHT CAD/SOLD USD N/A N/A 1 NC -45721.23 -0.0108969063 N/A DFE CORP CA N 2 JPMORGAN CHASE BANK N.A N/A 4438831.630000000000 USD 6177934.790000000000 CAD 2020-06-17 -45721.230000000000 N N N ADANI GREEN ENERGY UP LTD / PR SR SECURED 144A 12/24 6.25 N/A 00654AAA4 460000 PA USD 405030 0.0965322666 Long DBT CORP IN N 2 2024-12-10 Fixed 6.250000000000 N N N N N N Broadcom Inc. N/A 11135FAB7 1628000 PA USD 1653540.15 0.3940942118 Long DBT CORP US N 2 2029-04-15 Fixed 4.750000000000 N N N N N N HarborView Mortgage Loan Trust 2005-9 N/A 41161PSK0 238480.53 PA USD 219135.78 0.0522274240 Long ABS-MBS CORP US N 2 2035-06-20 Floating 1.112880000000 N N N N N N HarborView Mortgage Loan Trust 2005-9 N/A 41161PSM6 161971.42 PA USD 149914.54 0.0357296752 Long ABS-MBS CORP US N 2 2035-06-20 Floating 1.222880000000 N N N N N N HarborView Mortgage Loan Trust 2007-3 N/A 41164UAR0 5683420 PA USD 71058.1 0.0169355343 Long ABS-MBS CORP US N 2 2047-05-19 Variable 0.000000000000 N N N N N N HarborView Mortgage Loan Trust 2007-6 N/A 41165BAS9 5321064.86 PA USD 86613.63 0.0206429401 Long ABS-MBS CORP US N 2 2037-08-19 Variable 0.000000000000 N N N N N N PORTUGAL GOVERNMENT INTERNATIO SR UNSECURED 144A 10/24 5.125 N/A 737271AE6 1905000 PA USD 2134099.11 0.5086275689 Long DBT NUSS PT N 2 2024-10-15 Fixed 5.125000000000 N N N N N N Indonesia Government International Bond N/A AO3129357 740000 PA 800252.98 0.1907271906 Long DBT NUSS ID N 2 2024-07-18 Fixed 2.150000000000 N N N N N N European Financial Stability Facility N/A AP5031350 1315000 PA 1470190.05 0.3503957185 Long DBT NUSS LU N 2 2023-10-17 Fixed 0.125000000000 N N N N N N PORTUGAL OBRIGACOES DO TESOURO SR UNSECURED 144A REGS 10/28 2 N/A AQ7031943 1960000 PA 2397501.48 0.5714052096 Long DBT NUSS PT N 2 2028-10-17 Fixed 2.125000000000 N N N N N N CIT Group Inc. N8O96ZZJQRFYQUJY7K79 125581GU6 185000 PA USD 160950 0.0383597963 Long DBT CORP US N 2 2022-06-15 Variable 5.800000000000 N N N N N CONNECTICUT AVENUE SECURITIES CAS 2019 R04 2M2 144A N/A 20753TAB9 945000 PA USD 768550.92 0.1831715239 Long ABS-MBS USGSE US N 2 2039-06-25 Floating 3.046630000000 N N N N N N Sweden Government International Bond N/A AQ7883210 1880000 PA 2105663.51 0.5018504094 Long DBT NUSS SE N 2 2023-04-24 Fixed 0.125000000000 N N N N N N Nordea Eiendomskreditt AS N/A AX3200455 7000000 PA 666506.36 0.1588508743 Long DBT CORP NO N 2 2024-06-19 Floating 1.660000000000 N N N N N N CONNECTICUT AVENUE SECURITIES CAS 2019 R06 2M2 144A N/A 20754JAB0 1270000 PA USD 981877.39 0.2340143940 Long ABS-MBS USGSE US N 2 2039-09-25 Floating 3.046630000000 N N N N N N SOLD MXN/BOUGHT USD N/A N/A 1 NC USD 1124869.02 0.2680941069 N/A DFE CORP MX N 2 CITIBANK N.A. N/A 104321489.580000000000 MXN 5473291.830000000000 USD 2020-06-17 1124869.020000000000 N N N SOLD AUD/BOUGHT USD N/A N/A 1 NC USD 352862.19 0.0840989235 N/A DFE CORP AU N 2 AUSTRALIA AND NEW ZEALAND BANKING GROUP N/A 5921894.190000000000 AUD 3996159.340000000000 USD 2020-06-17 352862.190000000000 N N N SOLD NOK/BOUGHT USD N/A N/A 1 NC USD 787709.19 0.1877375837 N/A DFE CORP NO N 2 HSBC BANK USA N/A 64457784.160000000000 NOK 6989490.910000000000 USD 2020-06-17 787709.190000000000 N N N SOLD BRL/BOUGHT USD N/A N/A 1 NC USD 117465.26 0.0279959208 N/A DFE CORP BR N 2 CITIBANK N.A. N/A 3082762.020000000000 BRL 707899.790000000000 USD 2020-06-17 117465.260000000000 N N N SOLD MXN/BOUGHT USD N/A N/A 1 NC USD 203075.71 0.0483997693 N/A DFE CORP MX N 2 STATE STREET BANK AND TRUST COMPANY N/A 23440739.980000000000 MXN 1180153.860000000000 USD 2020-06-17 203075.710000000000 N N N Berkshire Hathaway Finance Corporation N/A AZ1286980 610000 PA 752287.14 0.1792953183 Long DBT CORP US N 2 2039-06-19 Fixed 2.375000000000 N N N N N N Walnut Bidco PLC N/A AZ8511992 500000 PA 403523.21 0.0961731479 Long DBT CORP CH N 2 2024-08-01 Fixed 6.750000000000 N N N N N N The United Kingdom N/A EI2705073 1075000 PA 1355113.29 0.3229690576 Long DBT NUSS GB N 2 2020-09-07 Fixed 3.750000000000 N N N N N N Indonesia Treasury Bond N/A EI3160807 1207000000 PA 76354.18 0.0181977682 Long DBT NUSS ID N 2 2021-07-15 Fixed 8.250000000000 N N N N N N SOLD BRL/BOUGHT USD N/A N/A 1 NC USD 171188.66 0.0408000133 N/A DFE CORP BR N 2 CITIBANK N.A. N/A 7400000.000000000000 BRL 1588494.150000000000 USD 2020-06-17 171188.660000000000 N N N SOLD NOK/BOUGHT USD N/A N/A 1 NC USD 176018.4 0.0419511027 N/A DFE CORP NO N 2 UBS AG N/A 15782250.210000000000 NOK 1694501.730000000000 USD 2020-06-17 176018.400000000000 N N N SOLD MXN/BOUGHT USD N/A N/A 1 NC USD 281552.28 0.0671033745 N/A DFE CORP MX N 2 CITIBANK N.A. N/A 40988634.520000000000 MXN 1990077.660000000000 USD 2020-06-17 281552.280000000000 N N N BOUGHT MXN/SOLD USD N/A N/A 1 NC -96911.6 -0.0230972926 N/A DFE CORP MX N 2 CITIBANK N.A. N/A 956373.290000000000 USD 20619044.710000000000 MXN 2020-06-17 -96911.600000000000 N N N SOLD EUR/BOUGHT USD N/A N/A 1 NC USD 175158.58 0.0417461787 N/A DFE CORP DE N 2 UBS AG N/A 22353290.080000000000 EUR 24900223.950000000000 USD 2020-06-17 175158.580000000000 N N N BOUGHT SGD/SOLD USD N/A N/A 1 NC -54230.71 -0.0129250015 N/A DFE CORP SG N 2 AUSTRALIA AND NEW ZEALAND BANKING GROUP N/A 1803280.560000000000 USD 2483117.330000000000 SGD 2020-06-17 -54230.710000000000 N N N BOUGHT SGD/SOLD USD N/A N/A 1 NC -27481.38 -0.0065497368 N/A DFE CORP SG N 2 AUSTRALIA AND NEW ZEALAND BANKING GROUP N/A 970164.940000000000 USD 1338323.130000000000 SGD 2020-06-17 -27481.380000000000 N N N SOLD SGD/BOUGHT USD N/A N/A 1 NC USD 27517.02 0.0065582310 N/A DFE CORP SG N 2 HSBC BANK USA N/A 2297827.300000000000 SGD 1646052.900000000000 USD 2020-06-17 27517.020000000000 N N N Expedia Group Inc. CI7MUJI4USF3V0NJ1H64 30212PAP0 1335000 PA USD 1155010.36 0.2752778017 Long DBT CORP US N 2 2028-02-15 Fixed 3.800000000000 N N N N N N Expedia Group Inc. CI7MUJI4USF3V0NJ1H64 30212PAR6 715000 PA USD 582845.15 0.1389115952 Long DBT CORP US N 2 2030-02-15 Fixed 3.250000000000 N N N N N N FREDDIE MAC STRUCTURED AGENCY STACR 2014 DN2 M2 N/A 3137G0AX7 46350.05 PA USD 45511.9 0.0108470159 Long ABS-MBS USGSE US N 2 2024-04-25 Floating 2.596630000000 N N N N N N FREDDIE MAC STRUCTURED AGENCY STACR 2015 DNA1 M2 N/A 3137G0ET2 133906.04 PA USD 130423.69 0.0310843503 Long ABS-MBS USGSE US N 2 2027-10-25 Floating 2.796630000000 N N N N N N FREDDIE MAC STRUCTURED AGENCY STACR 2017 DNA2 M1 N/A 3137G0NW5 420612.1 PA USD 409542.05 0.0976076398 Long ABS-MBS USGSE US N 2 2029-10-25 Floating 2.146630000000 N N N N N N FREDDIE MAC STRUCTURED AGENCY STACR 2017 DNA3 M1 N/A 3137G0QP7 587468.13 PA USD 577867.67 0.1377252944 Long ABS-MBS USGSE US N 2 2030-03-25 Floating 1.696630000000 N N N N N N SOLD EUR/BOUGHT USD N/A N/A 1 NC USD -2707.04 -0.0006451786 N/A DFE CORP DE N 2 CITIBANK N.A. N/A 1228192.600000000000 EUR 1355801.810000000000 USD 2020-06-17 -2707.040000000000 N N N SOLD EUR/BOUGHT USD N/A N/A 1 NC USD -516.35 -0.0001230636 N/A DFE CORP DE N 2 MORGAN STANLEY CAPITAL SERVICES INC N/A 2805045.650000000000 EUR 3102156.090000000000 USD 2020-06-17 -516.350000000000 N N N SOLD EUR/BOUGHT USD N/A N/A 1 NC USD -729.06 -0.0001737595 N/A DFE CORP DE N 2 CITIBANK N.A. N/A 4093975.340000000000 EUR 4527633.770000000000 USD 2020-06-17 -729.060000000000 N N N SOLD EUR/BOUGHT USD N/A N/A 1 NC USD 9039.76 0.0021544787 N/A DFE CORP DE N 2 GOLDMAN SACHS BANK USA N/A 1999539.130000000000 EUR 2220738.150000000000 USD 2020-06-17 9039.760000000000 N N N SOLD EUR/BOUGHT USD N/A N/A 1 NC USD 36133.51 0.0086118303 N/A DFE CORP DE N 2 STATE STREET BANK AND TRUST COMPANY N/A 1999539.130000000000 EUR 2247831.900000000000 USD 2020-06-17 36133.510000000000 N N N SOLD EUR/BOUGHT USD N/A N/A 1 NC USD 20061.3 0.0047812823 N/A DFE CORP DE N 2 HSBC BANK USA N/A 999769.570000000000 EUR 1125910.500000000000 USD 2020-06-17 20061.300000000000 N N N Fannie Mae Pool B1V7KEBTPIMZEU4LTD58 3140QCMJ2 2586752.49 PA USD 2717577.24 0.6476900246 Long ABS-MBS USGSE US N 2 2049-12-01 Fixed 3.000000000000 N N N N N N Fannie Mae Pool B1V7KEBTPIMZEU4LTD58 3140X3A81 1318614.33 PA USD 1387363.45 0.3306553550 Long ABS-MBS USGSE US N 2 2049-02-01 Fixed 3.000000000000 N N N N N N Fannie Mae Pool B1V7KEBTPIMZEU4LTD58 3140X4QW9 2183612.77 PA USD 2311108.24 0.5508147959 Long ABS-MBS USGSE US N 2 2046-11-01 Fixed 3.000000000000 N N N N N N Fannie Mae Pool B1V7KEBTPIMZEU4LTD58 3140X4QY5 1426289.18 PA USD 1509566.5 0.3597804504 Long ABS-MBS USGSE US N 2 2046-04-01 Fixed 3.000000000000 N N N N N N BOUGHT SGD/SOLD USD N/A N/A 1 NC -2449.89 -0.0005838912 N/A DFE CORP SG N 2 HSBC BANK USA N/A 108106.390000000000 USD 150000.000000000000 SGD 2020-06-17 -2449.890000000000 N N N SOLD EUR/BOUGHT USD N/A N/A 1 NC USD 5787.88 0.0013794464 N/A DFE CORP DE N 2 MORGAN STANLEY CAPITAL SERVICES INC N/A 440095.950000000000 EUR 492579.810000000000 USD 2020-06-17 5787.880000000000 N N N SOLD EUR/BOUGHT USD N/A N/A 1 NC USD 4920.65 0.0011727563 N/A DFE CORP DE N 2 HSBC BANK USA N/A 166050.010000000000 EUR 188589.240000000000 USD 2020-06-17 4920.650000000000 N N N SOLD EUR/BOUGHT USD N/A N/A 1 NC USD 4614.43 0.0010997738 N/A DFE CORP DE N 2 HSBC BANK USA N/A 216735.380000000000 EUR 244346.320000000000 USD 2020-06-17 4614.430000000000 N N N Medco Oak Tree Pte. Ltd. N/A 58405FAA3 1100000 PA USD 693636.75 0.1653169584 Long DBT CORP SG N 2 2026-05-14 Fixed 7.375000000000 N N N N N N Molson Coors Beverage Company 54930073LBBH6ZCBE225 60871RAJ9 755000 PA 820564.84 0.1955681898 Long DBT CORP US N 2 2024-07-15 Fixed 1.250000000000 N N N N N N Fibria Overseas Finance Ltd. N/A 31572UAF3 355000 PA USD 341581 0.0814102367 Long DBT CORP BR N 2 2027-01-17 Fixed 5.500000000000 N N N N N N GS MORTGAGE SECURITIES CORP TR GSMS 2018 TWR A 144A N/A 36251SAA6 895000 PA USD 758317.84 0.1807326368 Long ABS-MBS CORP US N 2 2031-07-15 Floating 1.604630000000 N N N N N N NRG Energy Inc. 5E2UPK5SW04M13XY7I38 629377CC4 1023000 PA USD 1063920 0.2535679063 Long DBT CORP US N 2 2027-01-15 Fixed 6.625000000000 N N N N N N NRG Energy Inc. 5E2UPK5SW04M13XY7I38 629377CG5 1020000 PA USD 971550 0.2315530297 Long DBT CORP US N 2 2048-06-01 Fixed 2.750000000000 N N N N Y NRG Energy, Inc. USD XXXX N N NXP BV / NXP FUNDING LLC / NXP COMPANY GUAR 144A 06/26 3.875 N/A 62954HAA6 1380000 PA USD 1342208.31 0.3198933670 Long DBT CORP NL N 2 2026-06-18 Fixed 3.875000000000 N N N N N N National Bank of Canada BSGEFEIOM18Y80CKCV46 63307CAG6 690000 PA USD 683649.01 0.1629365442 Long DBT CORP CA N 2 2022-10-07 Fixed 2.150000000000 N N N N N N HarborView Mortgage Loan Trust 2004-7 N/A 41161PGM9 196239.4 PA USD 177515.94 0.0423080168 Long ABS-MBS CORP US N 2 2034-11-19 Variable 4.168152000000 N N N N N N HarborView Mortgage Loan Trust 2007-4 N/A 41164YAQ4 5958322.27 PA USD 70029.35 0.0166903486 Long ABS-MBS CORP US N 2 2047-07-19 Variable 0.000000000000 N N N N N N HOME PARTNERS OF AMERICA 2018- HPA 2018 1 D 144A N/A 43730WAG1 590000 PA USD 523382.33 0.1247396060 Long ABS-O CORP US N 2 2037-07-17 Floating 2.250130000000 N N N N N N HOME PARTNERS OF AMERICA 2019- HPA 2019 1 B 144A N/A 43731QAC2 415949.36 PA USD 398607.18 0.0950014927 Long ABS-O CORP US N 2 2039-09-17 Fixed 3.157000000000 N N N N N N Nationstar Mortgage Holdings Inc. N/A 63861CAA7 1220000 PA USD 1037000 0.2471519652 Long DBT CORP US N 2 2027-01-15 Fixed 6.000000000000 N N N N N N Natura Cosmeticos S.A. N/A 63883KAA3 210000 PA USD 193727.1 0.0461716813 Long DBT CORP BR N 2 2023-02-01 Fixed 5.375000000000 N N N N N CSC Holdings LLC 3HG2WD2W22M120IUNG49 64072TAA3 555000 PA USD 598012.5 0.1425264847 Long DBT CORP US N 2 2025-10-15 Fixed 10.875000000000 N N N N N N Netflix Inc. 549300Y7VHGU0I7CE873 64110LAU0 1110000 PA USD 1159950 0.2764550839 Long DBT CORP US N 2 2029-11-15 Fixed 5.375000000000 N N N N N N Merrill Lynch Mortgage Investors Trust Series MLMI 2005-A2 N/A 59020USJ5 144191.22 PA USD 125563.33 0.0299259631 Long ABS-MBS CORP US N 2 2035-02-25 Variable 3.732266000000 N N N N N N Morgan Stanley Mortgage Loan Trust 2004-8AR N/A 61748HEF4 185770.01 PA USD 175023.55 0.0417139965 Long ABS-MBS CORP US N 2 2034-10-25 Variable 3.997403000000 N N N N N N Altice France 5493001ZMCICV4N02J21 67054KAA7 535000 PA USD 540350 0.1287835722 Long DBT CORP FR N 2 2026-05-01 Fixed 7.375000000000 N N N N N N Structured Asset Investment Loan Trust 2005-2 N/A 86358ERB4 395125.32 PA USD 380362.81 0.0906532459 Long ABS-MBS CORP US N 2 2035-03-25 Floating 1.681630000000 N N N N N N Morgan Stanley Mortgage Loan Trust 2004-9 N/A 61748HFT3 122103.06 PA USD 122434.58 0.0291802768 Long ABS-MBS CORP US N 2 2034-11-25 Variable 5.388950000000 N N N N N N Post Holdings Inc. JM1I5YUAURL6DC8N1468 737446AP9 285000 PA USD 295630.5 0.0704586876 Long DBT CORP US N 2 2029-12-15 Fixed 5.500000000000 N N N N N N Taco Bell Funding LLC N/A 87342RAC8 1517100 PA USD 1450848.24 0.3457859149 Long ABS-O CORP US N 2 2046-05-25 Fixed 4.970000000000 N N N N N N TOWD POINT MORTGAGE TRUST 2018 TPMT 2018 3 A1 144A N/A 89175MAA1 560122.38 PA USD 559493.14 0.1333460261 Long ABS-MBS CORP US N 2 2058-05-25 Variable 3.750000000000 N N N N N N TOWD POINT MORTGAGE TRUST 2018 TPMT 2018 4 A1 144A N/A 89175TAA6 353027.12 PA USD 346283.53 0.0825310077 Long ABS-MBS CORP US N 2 2058-06-25 Variable 3.000000000000 N N N N N N TOWD POINT MORTGAGE TRUST 2019 TPMT 2019 1 A1 144A N/A 89177BAA3 815947.29 PA USD 837646.43 0.1996393070 Long ABS-MBS CORP US N 2 2058-03-25 Variable 3.750000000000 N N N N N N Swiss Insured Brazil Power Finance S.a r.l. N/A 870880AA9 8690000 PA 1756028.56 0.4185206457 Long DBT CORP LU N 2 2032-07-16 Fixed 9.850000000000 N N N N N N Synovus Financial Corp. 549300EIUS8UN5JTLE54 87161CAK1 1500000 PA USD 1410000 0.3360504059 Long DBT CORP US N 2 2025-12-15 Variable 5.750000000000 N N N N N N U.S. Bancorp N1GZ7BBF3NP8GI976H15 902973304 23237 NS USD 800514.65 0.1907895554 Long EC CORP US N 1 N N N T-Mobile USA Inc. 549300V2JRLO5DIFGE82 87264AAP0 795000 PA USD 834750 0.1989489903 Long DBT CORP US N 2 2026-01-15 Fixed 6.500000000000 N N N N N N T-Mobile USA Inc. 549300V2JRLO5DIFGE82 87264AAU9 400000 PA USD 407000 0.0970017838 Long DBT CORP US N 2 2026-02-01 Fixed 4.500000000000 N N N N N N Targa Resources Partners LP / Targa Resources Partners Finance Corp N/A 87612BBJ0 815000 PA USD 678487.5 0.1617063828 Long DBT CORP US N 2 2026-04-15 Fixed 5.875000000000 N N N N N N Thermo Fisher Scientific Inc. HCHV7422L5HDJZCRFL38 883556BP6 282000 PA 305164.92 0.0727310605 Long DBT CORP US N 2 2024-09-12 Fixed 0.750000000000 N N N N N N Thermo Fisher Scientific Inc. HCHV7422L5HDJZCRFL38 883556BU5 468000 PA 510473.36 0.1216629644 Long DBT CORP US N 2 2026-01-23 Fixed 1.400000000000 N N N N N N Twitter Inc. 549300I8RX485XMK6836 90184LAG7 201000 PA USD 193336.88 0.0460786787 Long DBT CORP US N 2 2027-12-15 Fixed 3.875000000000 N N N N N N U.S. Bancorp N1GZ7BBF3NP8GI976H15 902973BB1 3025000 PA 3211202.11 0.7653374274 Long DBT CORP US N 2 2024-06-07 Fixed 0.850000000000 N N N N N N U.S. Bank National Association 6BYL5QZYBDK8S7L73M02 90331HMS9 544000 PA USD 561194.78 0.1337515841 Long DBT CORP US N 2 2025-01-27 Fixed 2.800000000000 N N N N N N U.S. Bank National Association 6BYL5QZYBDK8S7L73M02 90331HPC1 1045000 PA USD 1061303.87 0.2529443946 Long DBT CORP US N 2 2022-05-23 Fixed 2.650000000000 N N N N N N Uber Technologies Inc N/A 90353TAC4 1320000 PA USD 1301605.8 0.3102164237 Long DBT CORP US N 2 2026-11-01 Fixed 8.000000000000 N N N N N N United Rentals (North America) Inc. NGIZXNT70J2LYT3FBI09 911365BG8 575000 PA USD 557750 0.1329305772 Long DBT CORP US N 2 2028-01-15 Fixed 4.875000000000 N N N N N N United Rentals (North America) Inc. NGIZXNT70J2LYT3FBI09 911365BN3 40000 PA USD 35800 0.0085323436 Long DBT CORP US N 2 2030-07-15 Fixed 4.000000000000 N N N N N N U.S. Bancorp N1GZ7BBF3NP8GI976H15 91159HHK9 467000 PA USD 479437.79 0.1142661446 Long DBT CORP US N 2 2024-09-11 Fixed 3.600000000000 N N N N N N U.S. Bancorp N1GZ7BBF3NP8GI976H15 91159HHR4 915000 PA USD 950544.27 0.2265466580 Long DBT CORP US N 2 2027-04-27 Fixed 3.150000000000 N N N N N N U.S. Bancorp N1GZ7BBF3NP8GI976H15 91159HHV5 508000 PA USD 539490.54 0.1285787340 Long DBT CORP US N 2 2024-02-05 Fixed 3.375000000000 N N N N N N BNG Bank N.V. N/A LW2835434 825000 PA 926730.97 0.2208711480 Long DBT CORP NL N 2 2024-06-07 Fixed 0.250000000000 N N N N N N SOLD JPY/BOUGHT USD N/A N/A 1 NC USD -832.53 -0.0001984199 N/A DFE CORP JP N 2 JPMORGAN CHASE BANK N.A N/A 326533041.000000000000 JPY 3045833.340000000000 USD 2020-06-17 -832.530000000000 N N N SOLD JPY/BOUGHT USD N/A N/A 1 NC USD -81300.86 -0.0193767284 N/A DFE CORP JP N 2 CITIBANK N.A. N/A 335157408.000000000000 JPY 3045833.330000000000 USD 2020-06-17 -81300.860000000000 N N N EOG Resources Inc. XWTZDRYZPBUHIQBKDB46 26875PAP6 435000 PA USD 445326.51 0.1061362798 Long DBT CORP US N 2 2026-01-15 Fixed 4.150000000000 N N N N N N ESH Hospitality Inc. 54930042FMK7X7SQ2896 26907YAA2 820000 PA USD 688800 0.1641641983 Long DBT CORP US N 2 2025-05-01 Fixed 5.250000000000 N N N N N N Ecolab Inc. 82DYEISM090VG8LTLS26 278865AX8 330000 PA 363267.26 0.0865788015 Long DBT CORP US N 2 2024-01-15 Fixed 1.000000000000 N N N N N N Enbridge Inc. 98TPTUM4IVMFCZBCUR27 29250NAL9 1720000 PA USD 1751776.66 0.4175072750 Long DBT CORP CA N 2 2026-12-01 Fixed 4.250000000000 N N N N N N Energy Transfer Operating L.P. 5493008K8W3OKZE54J59 29278NAN3 430000 PA USD 375939.39 0.0895989962 Long DBT CORP US N 2 2027-06-01 Fixed 5.500000000000 N N N N N N Enterprise Products Operating LLC 5493004LGN656HWLDA30 29379VBV4 2385000 PA USD 2197152.06 0.5236552068 Long DBT CORP US N 2 2029-07-31 Fixed 3.125000000000 N N N N N N Equinix Inc. 549300EVUN2BTLJ3GT74 29444UBE5 555000 PA USD 513935.55 0.1224881207 Long DBT CORP US N 2 2029-11-18 Fixed 3.200000000000 N N N N N N Expedia Group Inc. CI7MUJI4USF3V0NJ1H64 30212PAM7 1305000 PA USD 1179144.9 0.2810298740 Long DBT CORP US N 2 2026-02-15 Fixed 5.000000000000 N N N N N N Lions Gate Capital Holdings LLC N/A 53627NAA9 381000 PA USD 324539.61 0.0773487005 Long DBT CORP US N 2 2024-11-01 Fixed 5.875000000000 N N N N N N Lions Gate Capital Holdings LLC N/A 53627NAC5 1335000 PA USD 1174800 0.2799943382 Long DBT CORP US N 2 2024-02-01 Fixed 6.375000000000 N N N N N N Live Nation Entertainment Inc. 5493007B9BM9ZXJINO78 538034AR0 710000 PA USD 635450 0.1514490996 Long DBT CORP US N 2 2027-10-15 Fixed 4.750000000000 N N N N N N Lloyds Banking Group plc 549300PPXHEU2JF0AM85 539439AU3 769000 PA USD 691177.2 0.1647307650 Long DBT CORP GB N 2 2025-09-27 Variable 7.500000000000 N N N N N N NextEra Energy Capital Holdings Inc. UMI46YPGBLUE4VGNNT48 65339KAS9 905000 PA USD 903443.5 0.2153209609 Long DBT CORP US N 2 2021-09-01 Fixed 2.403000000000 N N N N N N QATAR GOVERNMENT INTERNATIONAL SR UNSECURED 144A 03/29 4 N/A 74727PBA8 875000 PA USD 935620 0.2229897027 Long DBT NUSS QA N 2 2029-03-14 Fixed 4.000000000000 N N N N N N QATAR GOVERNMENT INTERNATIONAL SR UNSECURED 144A 03/49 4.817 N/A 74727PBB6 395000 PA USD 465237.32 0.1108816952 Long DBT NUSS QA N 2 2049-03-14 Fixed 4.817000000000 N N N N N N Province of Quebec Canada 549300WN65YFEQH74Y36 74814ZEP4 650000 PA 489534.57 0.1166725468 Long DBT NUSS CA N 2 2023-09-01 Fixed 3.000000000000 N N N N N N Province of Quebec Canada 549300WN65YFEQH74Y36 74814ZES8 1400000 PA 1095298.8 0.2610465293 Long DBT NUSS CA N 2 2024-09-01 Fixed 3.750000000000 N N N N N N VERUS SECURITIZATION TRUST 201 VERUS 2018 1 A1 144A N/A 92536FAA4 206215.32 PA USD 195827.14 0.0466721914 Long ABS-MBS CORP US N 2 2048-02-25 Variable 2.929000000000 N N N N N N WaMu Mortgage Pass-Through Certificates Series 2005-AR2 Trust N/A 92922FD70 189854.77 PA USD 168892.75 0.0402528207 Long ABS-MBS CORP US N 2 2045-01-25 Floating 1.326630000000 N N N N N N WaMu Mortgage Pass-Through Certificates Series 2005-AR8 N/A 92922FR91 227533.73 PA USD 186761.05 0.0445114374 Long ABS-MBS CORP US N 2 2045-07-25 Floating 2.46675 N N N N N N Indonesia Treasury Bond N/A AL1453656 1030000000 PA 58334.28 0.0139030202 Long DBT NUSS ID N 2 2032-08-15 Fixed 7.500000000000 N N N N N N International Bank for Reconstruction and Development ZTMSNXROF84AHWJNKQ93 AM2027846 1327000 PA 825561.73 0.1967591167 Long DBT NUSS US N 2 2022-01-25 Fixed 3.375000000000 N N N N N N SINGAPORE GOVERNMENT BOND BONDS 04/22 1.75 N/A AM9627416 2290000 PA 1643395.46 0.3916763911 Long DBT NUSS SG N 2 2022-04-01 Fixed 1.750000000000 N N N N N N Malaysia Government Bond N/A AN0398643 3895000 PA 939537.33 0.2239233341 Long DBT NUSS MY N 2 2024-09-30 Fixed 4.059000000000 N N N N N N Malaysia Government Bond N/A AN5746564 3370000 PA 804843.39 0.1918212397 Long DBT NUSS MY N 2 2027-11-16 Fixed 3.899000000000 N N N N N N Indonesia Treasury Bond N/A AO6754680 5584000000 PA 310291.84 0.0739529779 Long DBT NUSS ID N 2 2038-05-15 Fixed 7.500000000000 N N N N N N Philippine Government Bond N/A AR5451166 22160000 PA 446577.8 0.1064345042 Long DBT NUSS PH N 2 2023-03-08 Fixed 5.500000000000 N N N N N N Malaysia Government Bond N/A AR6908263 2835000 PA 677127.92 0.1613823492 Long DBT NUSS MY N 2 2025-03-14 Fixed 3.882000000000 N N N N N N European Investment Bank 5493006YXS1U5GIHE750 AT1557434 550000 PA 683119.61 0.1628103704 Long DBT NUSS LU N 2 2023-06-29 Floating 0.4215 N N N N N N International Bank for Reconstruction and Development ZTMSNXROF84AHWJNKQ93 AT9080637 15855000000 PA 980365.88 0.2336541503 Long DBT NUSS US N 2 2021-08-20 Fixed 7.450000000000 N N N N N N FINLAND GOVERNMENT BOND SR UNSECURED 144A REGS 09/28 0 N/A AU2568502 1060000 PA 1228889.62 0.2928857132 Long DBT NUSS FI N 2 2028-09-15 Fixed 0.500000000000 N N N N N N Indonesia Treasury Bond N/A AU6526563 4891000000 PA 304217.7 0.0725053061 Long DBT NUSS ID N 2 2029-05-15 Fixed 8.250000000000 N N N N N N Philippine Government Bond N/A AW5666747 41600000 PA 935353.94 0.2229262916 Long DBT NUSS PH N 2 2029-01-10 Fixed 6.875000000000 N N N N N N JAPAN GOVERNMENT FIVE YEAR BON BONDS 12/23 0.1 N/A AW7449555 533450000 PA 5000522 1.1917925163 Long DBT NUSS JP N 2 2023-12-20 Fixed 0.100000000000 N N N N N N Nordic Investment Bank N/A AW7712192 5000000 PA 486071.68 0.1158472237 Long DBT NUSS FI N 2 2022-01-24 Fixed 1.500000000000 N N N N N N REPUBLIC OF AUSTRIA GOVERNMENT SR UNSECURED 144A REGS 02/29 0 N/A AW9459495 1105000 PA 1277024.01 0.3043577567 Long DBT NUSS AT N 2 2029-02-20 Fixed 0.500000000000 N N N N N N Philippine Government Bond N/A AX4115884 38175000 PA 797710.53 0.1901212393 Long DBT NUSS PH N 2 2024-03-12 Fixed 6.250000000000 N N N N N N Indonesia Treasury Bond N/A AZ4598522 5250000000 PA 301393.78 0.0718322710 Long DBT NUSS ID N 2 2035-06-15 Fixed 7.500000000000 N N N N N N Malaysia Government Bond N/A AZ4602308 1965000 PA 460749.89 0.1098121898 Long DBT NUSS MY N 2 2034-07-05 Fixed 3.828000000000 N N N N N N Indonesia Treasury Bond N/A AZ8693832 7705000000 PA 457648.46 0.1090730147 Long DBT NUSS ID N 2 2025-06-15 Fixed 6.500000000000 N N N N N N Indonesia Treasury Bond N/A AZ8693857 10151000000 PA 581924.28 0.1386921209 Long DBT NUSS ID N 2 2030-09-15 Fixed 7.000000000000 N N N N N N SINGAPORE GOVERNMENT BOND BONDS 03/50 1.875 N/A BG1645533 2311000 PA 1723896.9 0.4108625908 Long DBT NUSS SG N 2 2050-03-01 Fixed 1.875000000000 N N N N N N PORTUGAL OBRIGACOES DO TESOURO SR UNSECURED 144A REGS 04/21 3 N/A ED8226158 1915000 PA 2200692.89 0.5244991057 Long DBT NUSS PT N 2 2021-04-15 Fixed 3.850000000000 N N N N N N SINGAPORE GOVERNMENT BOND SR UNSECURED 09/20 3.25 N/A EF0696973 2505000 PA 1781039.98 0.4244817080 Long DBT NUSS SG N 2 2020-09-01 Fixed 3.250000000000 N N N N N N NORWAY GOVERNMENT BOND BONDS 144A REGS 05/21 3.75 N/A EI2488605 28565000 PA 2855732.6 0.6806170918 Long DBT NUSS NO N 2 2021-05-25 Fixed 3.750000000000 N N N N N N Kreditanstalt Fuer Wiederaufbau 549300GDPG70E3MBBU98 EI3508419 2275000 PA 1426935.41 0.3400866835 Long DBT NUSS DE N 2 2020-08-20 Fixed 6.000000000000 N N N N N N Indonesia Treasury Bond N/A EI4133860 12897000000 PA 815145.73 0.1942766337 Long DBT NUSS ID N 2 2026-09-15 Fixed 8.375000000000 N N N N N N Malaysia Government Bond N/A EI5326737 7083000 PA 1672997.78 0.3987316192 Long DBT NUSS MY N 2 2021-07-15 Fixed 4.160000000000 N N N N N N Philippine Government Bond N/A EI5878695 59600000 PA 1205086.07 0.2872125270 Long DBT NUSS PH N 2 2021-03-03 Fixed 7.375000000000 N N N N N N Philippine Government Bond N/A EI6537308 18460000 PA 371615.96 0.0885685775 Long DBT NUSS PH N 2 2021-04-28 Fixed 6.500000000000 N N N N N N Philippine Government Bond N/A EI7512466 46905000 PA 1156885.32 0.2757246677 Long DBT NUSS PH N 2 2031-07-19 Fixed 8.000000000000 N N N N N N MEXICAN BONOS BONDS 05/31 7.75 N/A EI8047355 20710000 PA 895124.22 0.2133381968 Long DBT NUSS MX N 2 2031-05-29 Fixed 7.750000000000 N N N N N N Indonesia Treasury Bond N/A EI8133205 12025000000 PA 702844.57 0.1675114915 Long DBT NUSS ID N 2 2027-05-15 Fixed 7.000000000000 N N N N N N Indonesia Treasury Bond N/A EI8296564 3600000000 PA 224564.07 0.0535211680 Long DBT NUSS ID N 2 2022-05-15 Fixed 7.000000000000 N N N N N N Asian Development Bank 549300X0MVH42CY8Q105 EJ0489538 940000 PA 624607.86 0.1488650531 Long DBT NUSS PH N 2 2022-03-09 Fixed 5.000000000000 N N N N N N NORWAY GOVERNMENT BOND BONDS 144A REGS 05/23 2 N/A EJ2026312 17125000 PA 1727583.45 0.4117412196 Long DBT NUSS NO N 2 2023-05-24 Fixed 2.000000000000 N N N N N N Indonesia Treasury Bond N/A EJ3146127 1500000000 PA 89192.19 0.0212574976 Long DBT NUSS ID N 2 2023-05-15 Fixed 5.625000000000 N N N N N N Indonesia Treasury Bond N/A EJ3146325 15016000000 PA 810224.32 0.1931036962 Long DBT NUSS ID N 2 2028-05-15 Fixed 6.125000000000 N N N N N N Indonesia Treasury Bond N/A EJ3390386 6431000000 PA 338945.2 0.0807820369 Long DBT NUSS ID N 2 2033-05-15 Fixed 6.625000000000 N N N N N N Ireland Government Bonds N/A EJ5918945 1820000 PA 2259374.68 0.5384849492 Long DBT NUSS IE N 2 2023-03-20 Fixed 3.900000000000 N N N N N N Malaysia Government Bond N/A EJ6316693 4313000 PA 1017327.97 0.2424634591 Long DBT NUSS MY N 2 2033-04-15 Fixed 3.844000000000 N N N N N N Malaysia Government Bond N/A EJ7152766 1930000 PA 454765.55 0.1083859203 Long DBT NUSS MY N 2 2028-06-15 Fixed 3.733000000000 N N N N N N Indonesia Treasury Bond N/A EJ8078150 10555000000 PA 673178.02 0.1604409552 Long DBT NUSS ID N 2 2024-03-15 Fixed 8.375000000000 N N N N N N Indonesia Treasury Bond N/A EJ8243903 6709000000 PA 433678.11 0.1033600744 Long DBT NUSS ID N 2 2029-03-15 Fixed 9.000000000000 N N N N N N Ireland Government Bonds N/A EK0113978 2732000 PA 3442539.83 0.8204729839 Long DBT NUSS IE N 2 2024-03-18 Fixed 3.400000000000 N N N N N N Philippine Government Bond N/A EK1344572 13200000 PA 257473.35 0.0613645559 Long DBT NUSS PH N 2 2021-03-20 Fixed 3.500000000000 N N N N N N International Bank for Reconstruction and Development ZTMSNXROF84AHWJNKQ93 EK5159315 1310000 PA 825001.75 0.1966256546 Long DBT NUSS US N 2 2021-10-06 Fixed 4.625000000000 N N N N N N European Investment Bank 5493006YXS1U5GIHE750 EK8861875 9790000 PA 959164.29 0.2286010986 Long DBT NUSS LU N 2 2022-05-12 Fixed 1.500000000000 N N N N N N Philippine Government Bond N/A JK8415560 60790000 PA 1154261.8 0.2750993946 Long DBT NUSS PH N 2 2023-04-21 Fixed 3.500000000000 N N N N N N International Bank for Reconstruction and Development ZTMSNXROF84AHWJNKQ93 JV5008638 1185000 PA 739903.02 0.1763437661 Long DBT NUSS US N 2 2021-01-13 Fixed 2.800000000000 N N N N N N Kreditanstalt Fuer Wiederaufbau 549300GDPG70E3MBBU98 JV5400322 845000 PA 950739.67 0.2265932284 Long DBT NUSS DE N 2 2023-03-15 Fixed 0.375000000000 N N N N N N International Bank for Reconstruction and Development ZTMSNXROF84AHWJNKQ93 JV6344453 1130000 PA 688302.21 0.1640455582 Long DBT NUSS US N 2 2021-01-22 Fixed 3.500000000000 N N N N N N Export Development Canada Z6MHCSLXHKYG4B6PHW02 LW2394226 430000 PA 269261.95 0.0641741756 Long DBT NUSS CA N 2 2021-06-07 Fixed 2.400000000000 N N N N N N Indonesia Government International Bond N/A LW3759161 850000 PA 939261.88 0.2238576851 Long DBT NUSS ID N 2 2023-06-14 Fixed 2.625000000000 N N N N N N The United Kingdom N/A QZ0321229 920000 PA 1152311.97 0.2746346846 Long DBT NUSS GB N 2 2022-07-22 Fixed 0.500000000000 N N N N N N Kreditanstalt Fuer Wiederaufbau 549300GDPG70E3MBBU98 QZ6129279 415000 PA 462193.81 0.1101563244 Long DBT NUSS DE N 2 2023-09-15 Fixed 0.000000000000 N N N N N N Indonesia Treasury Bond N/A UV4168299 17423000000 PA 1089947.66 0.2597711728 Long DBT NUSS ID N 2 2031-05-15 Fixed 8.750000000000 N N N N N N Philippine Government Bond N/A UV5456297 7490000 PA 146828.69 0.0349942134 Long DBT NUSS PH N 2 2020-08-20 Fixed 3.375000000000 N N N N N N Philippine Government Bond N/A UV6887458 4368000 PA 77251.26 0.0184115725 Long DBT NUSS PH N 2 2040-09-09 Fixed 4.625000000000 N N N N N N INDIA GOVERNMENT BOND BONDS 10/29 6.45 N/A ZR8860481 33000000 PA 446700.72 0.1064638002 Long DBT NUSS IN N 2 2029-10-07 Fixed 6.450000000000 N N N N N N 2020-04-30 John Hancock Variable Insurance Trust /s/Salvatore Schiavone Salvatore Schiavone Treasurer XXXX