NPORT-P false 0000764719 XXXXXXXX S000028958 C000088953 C000088955 C000119775 C000088958 C000088954 C000088956 C000088957 C000088952 C000088951 MFS SERIES TRUST XV 811-04253 0000764719 549300YI4S4U2N712160 111 HUNTINGTON AVENUE BOSTON 02199 617-954-5000 MFS Commodity Strategy Fund S000028958 T0OEQ8I3F6DXUJCOV412 2023-10-31 2023-07-31 N 860209354.47 8613104.60 851596249.87 0.00000000 153752438.58000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 4417229.31000000 USD N Bloomberg Commodity Index BCOM ELEMENT FLEET MANAGEMENT 5493000PGBS1C22ELQ16 286181AF9 6310000.00000000 PA USD 6107924.52000000 0.717232435080 Long DBT CORP CA Y 2 2024-04-06 Fixed 1.60000000 N N N N N N Goldman Sachs & Co. LLC FOR8UP27PHTHYVLBNG30 000000000 11500161.41000000 OU Notional Amount USD 724154.51000000 0.085034957599 N/A DCO US N 2 Goldman Sachs & Co. LLC FOR8UP27PHTHYVLBNG30 S&P GSCI Total Return Index SPGCCCTR Index Y equity-performance leg 2024-05-28 0.00000000 USD 0.00000000 USD 11500161.41000000 USD 724154.51000000 N N N NATWEST GROUP PLC 2138005O9XJIJN4JPN90 780097BK6 2276000.00000000 PA USD 2248046.40000000 0.263980307609 Long DBT CORP GB N 2 2025-03-22 Fixed 4.27000000 N N N N N N Shelter Growth CRE N/A 822866AG4 2649500.00000000 PA USD 2488648.06000000 0.292233327751 Long ABS-CBDO CORP KY Y 2 2036-09-15 Floating 7.49000000 N N N N N N Progress Residential Trust N/A 74331FAC5 248000.00000000 PA USD 218100.28000000 0.025610760971 Long ABS-O CORP US Y 2 2038-04-17 Fixed 1.30000000 N N N N N N CARRIER GLOBAL CORP 549300JE3W6CWY2NAN77 14448CAN4 289000.00000000 PA USD 274539.32000000 0.032238202087 Long DBT CORP US N 2 2025-02-15 Fixed 2.24000000 N N N N N N GLS Auto Receivables Trust N/A 36263LAC3 500140.52000000 PA USD 495214.44000000 0.058151317608 Long ABS-O CORP US Y 2 2025-11-17 Fixed 0.78000000 N N N N N N ACREC 2021-FL1 Ltd. N/A 00500RAC9 1812000.00000000 PA USD 1753222.53000000 0.205874853284 Long ABS-CBDO CORP KY Y 2 2036-10-16 Floating 6.84000000 N N N N N N Merrill Lynch & Co., Inc. DWW559HN8WVTCCS4VJ94 000000000 10000000.00000000 OU Notional Amount USD -226363.20000000 -0.02658104706 N/A DCO US N 2 Merrill Lynch & Co., Inc. DWW559HN8WVTCCS4VJ94 Bloomberg Platinum Subindex Total Return Index BCOMPLTR INDEX Y equity-performance leg 2024-08-16 0.00000000 USD 0.00000000 USD 10000000.00000000 USD -226363.20000000 N N N GS Mortgage Securities Trust N/A 36258RBC6 8636575.91000000 PA USD 503700.65000000 0.059147823875 Long ABS-MBS CORP US N 2 2053-05-12 Variable 1.13000000 N N N N N N GLENCORE FUNDING LLC 213800STG1QDNBY87K49 378272BD9 1675000.00000000 PA USD 1516117.61000000 0.178032443218 Long DBT CORP US Y 2 2026-04-27 Fixed 1.63000000 N N N N N N Massachusetts Educational Financing Authority 5493007K5OP7V6CL0Y88 57563RQY8 250000.00000000 PA USD 235120.78000000 0.027609419374 Long DBT MUN US N 2 2025-07-01 Fixed 2.31000000 N N N N N N HYATT HOTELS CORP T27JQIMTYSH41TCD5186 448579AN2 1976000.00000000 PA USD 1892428.50000000 0.222221328509 Long DBT CORP US N 2 2024-10-01 Fixed 1.80000000 N N N N N N CNH INDUSTRIAL CAP LLC 549300PNSJ5B81UMVO28 12592BAL8 448000.00000000 PA USD 410567.70000000 0.048211543916 Long DBT CORP US N 2 2026-01-15 Fixed 1.88000000 N N N N N N REGAL REXNORD CORP QH78R09VCJGQKPBPYU33 758750AD5 1366000.00000000 PA USD 1357662.18000000 0.159425570533 Long DBT CORP US Y 2 2028-04-15 Fixed 6.05000000 N N N N N N MITSUBISHI UFJ FIN GRP 353800V2V8PUY9TK3E06 606822CA0 1264000.00000000 PA USD 1186270.27000000 0.139299611779 Long DBT CORP JP N 2 2025-10-11 Fixed 0.96000000 N N N N N N WELLS FARGO & COMPANY PBLD0EJDB5FWOLXP3B76 95000U2V4 3868000.00000000 PA USD 3615854.75000000 0.424597307767 Long DBT CORP US N 2 2028-03-24 Fixed 3.53000000 N N N N N N Palmer Square Loan Funding Ltd N/A 69703DAC0 2888785.00000000 PA USD 2889131.65000000 0.339260729534 Long ABS-CBDO CORP KY Y 2 2031-07-20 Floating 7.76000000 N N N N N N TRANSCANADA PIPELINES 5BV01I6231JPDAPMGH09 89352HBE8 3367000.00000000 PA USD 3371804.34000000 0.395939312850 Long DBT CORP CA N 2 2026-03-09 Fixed 6.20000000 N N N N N N IQVIA INC 549300PLWY28YB00C717 46266TAB4 788000.00000000 PA USD 783176.79000000 0.091965739647 Long DBT CORP US Y 2 2028-05-15 Fixed 5.70000000 N N N N N N Credit Acceptance Auto Loan Trust N/A 22535BAA1 318000.00000000 PA USD 305439.67000000 0.035866723232 Long ABS-O CORP US Y 2 2030-10-15 Fixed 1.26000000 N N N N N N HYUNDAI CAPITAL AMERICA 549300RIPPWJB5Z0FK07 44891ABR7 249000.00000000 PA USD 243478.45000000 0.028590831633 Long DBT CORP US Y 2 2024-01-08 Fixed 0.80000000 N N N N N N TPG Real Estate Finance N/A 87276WAE3 2749000.00000000 PA USD 2661246.42000000 0.312500955752 Long ABS-CBDO CORP KY Y 2 2038-03-15 Floating 7.19000000 N N N N N N AREIT CRE Trust N/A 00217LAE2 303000.00000000 PA USD 287405.80000000 0.033749068298 Long ABS-CBDO CORP US Y 2 2036-09-14 Floating 6.97000000 N N N N N N New Jersey Transportation Trust Fund Authority 549300YUVD5TEXR6L889 6461366Q9 450000.00000000 PA USD 438720.98000000 0.051517486140 Long DBT MUN US N 2 2024-06-15 Fixed 2.63000000 N N N N N N JBS USA/FOOD/FINANCE N/A 46590XAF3 2313000.00000000 PA USD 1983322.33000000 0.232894676356 Long DBT CORP N/A Y 2 2029-02-02 Fixed 3.00000000 N N N N N N STANDARD CHARTERED PLC U4LOSYZ7YG4W3S5F2G91 853254BY5 1408000.00000000 PA USD 1371110.40000000 0.161004748460 Long DBT CORP GB Y 2 2025-01-12 Fixed 0.99000000 N N N N N N BDS Ltd N/A 07335YAE6 793500.00000000 PA USD 763991.00000000 0.089712818735 Long ABS-CBDO CORP KY Y 2 2036-12-16 Floating 7.29000000 N N N N N N VOLKSWAGEN GROUP AMERICA 5493002SQ1AVQBY41K40 928668BE1 2014000.00000000 PA USD 1935429.35000000 0.227270769486 Long DBT CORP US Y 2 2025-05-13 Fixed 3.35000000 N N N N N N Barclays Commercial Mortgage Securities LLC N/A 05551VBK8 7333680.22000000 PA USD 476940.03000000 0.056005416894 Long ABS-MBS CORP US N 2 2054-07-15 Variable 1.29000000 N N N N N N JPMorgan Securities LLC ZBUT11V806EZRVTWT807 000000000 35000000.00000000 OU Notional Amount USD 860048.71000000 0.100992543136 N/A DCO US N 2 JPMorgan Securities LLC ZBUT11V806EZRVTWT807 Bloomberg Commodity Index 3 Month Forward Total Return Index BCOMF3T INDEX Y equity-performance leg 2024-08-16 0.00000000 USD 0.00000000 USD 35000000.00000000 USD 860048.71000000 N N N STELLANTIS FIN US INC 549300QZ0AI8Q7LNON33 85855CAA8 1276000.00000000 PA USD 1120924.80000000 0.131626319417 Long DBT CORP US Y 2 2027-01-29 Fixed 1.71000000 N N N N N N SUMITOMO MITSUI TR BK LT 5493006GGLR4BTEL8O61 86563VAU3 1334000.00000000 PA USD 1291424.27000000 0.151647482031 Long DBT CORP JP Y 2 2024-03-25 Fixed 0.85000000 N N N N N N Morgan Stanley & Co. LLC 9R7GPTSO7KV3UQJZQ078 000000000 8779284.04000000 OU Notional Amount USD -226230.01000000 -0.02656540702 N/A DCO US N 2 Morgan Stanley & Co. LLC 9R7GPTSO7KV3UQJZQ078 Bloomberg Gold Subindex Total Return Index BCOMGCTR INDEX Y equity-performance leg 2023-12-29 0.00000000 USD 0.00000000 USD 8779284.04000000 USD -226230.01000000 N N N Commerical Equipment Finance 2021-A, LLC N/A 20166QAA8 437731.18000000 PA USD 424065.21000000 0.049796509797 Long ABS-O CORP US Y 2 2027-02-16 Fixed 2.05000000 N N N N N N DAE FUNDING LLC 635400SZTPQL3Y1P2C76 23371DAJ3 796000.00000000 PA USD 758851.36000000 0.089109288599 Long DBT CORP US Y 2 2024-08-01 Fixed 1.55000000 N N N N N N OneMain Financial Issuance Trust N/A 68267HAA5 1170000.00000000 PA USD 1120402.41000000 0.131564976967 Long ABS-O CORP US Y 2 2035-05-14 Fixed 4.13000000 N N N N N N NORDSTROM INC 549300S3IZB5P35KNV16 655664AX8 832000.00000000 PA USD 803487.36000000 0.094350739581 Long DBT CORP US N 2 2024-04-08 Fixed 2.30000000 N N N N N N AIB GROUP PLC 635400AKJBGNS5WNQL34 00135TAC8 2182000.00000000 PA USD 2235797.19000000 0.262541925277 Long DBT CORP IE Y 2 2026-10-14 Fixed 7.58000000 N N N N N N GLENCORE FUNDING LLC 213800STG1QDNBY87K49 378272AX6 2677000.00000000 PA USD 2474784.45000000 0.290605372014 Long DBT CORP US Y 2 2025-09-01 Fixed 1.63000000 N N N N N N OSD CLO 2023-27, Ltd. N/A 671027AC4 1609161.00000000 PA USD 1606388.42000000 0.188632631983 Long ABS-CBDO CORP KY Y 2 2035-04-16 Floating 7.45000000 N N N N N N BARCLAYS PLC 213800LBQA1Y9L22JB70 06738EBL8 759000.00000000 PA USD 716094.22000000 0.084088465644 Long DBT CORP GB N 2 2026-05-07 Fixed 2.85000000 N N N N N N HSBC HOLDINGS PLC MLU0ZO3ML4LN2LL2TL39 404280CM9 860000.00000000 PA USD 765729.46000000 0.089916960075 Long DBT CORP GB N 2 2027-05-24 Fixed 1.59000000 N N N N N N Massachusetts Educational Financing Authority 5493007K5OP7V6CL0Y88 57563RQX0 320000.00000000 PA USD 309410.98000000 0.036333060420 Long DBT MUN US N 2 2024-07-01 Fixed 2.16000000 N N N N N N VOLKSWAGEN GROUP AMERICA 5493002SQ1AVQBY41K40 928668BA9 878000.00000000 PA USD 848502.94000000 0.099636763328 Long DBT CORP US Y 2 2024-09-26 Fixed 2.85000000 N N N N N N LoanCore 2018-CRE1 Issuer, Ltd. N/A 53946MAG2 577000.00000000 PA USD 562339.01000000 0.066033523525 Long ABS-CBDO CORP KY Y 2 2028-05-15 Floating 7.89000000 N N N N N N Ballyrock Ltd N/A 05875HAE3 579877.00000000 PA USD 567063.81000000 0.066588340435 Long ABS-CBDO CORP KY Y 2 2031-04-20 Floating 7.49000000 N N N N N N PFP III N/A 69290LAG2 191490.44000000 PA USD 177958.39000000 0.020897037771 Long ABS-CBDO CORP KY Y 2 2038-04-14 Floating 6.97000000 N N N N N N ROYAL BANK OF CANADA ES7IP3U3RHIGC71XBU11 78015K7J7 3123000.00000000 PA USD 3085638.02000000 0.362335792398 Long DBT CORP CA N 2 2023-10-26 Fixed 0.50000000 N N N N N N LCH Limited F226TOH6YD6XJB17KS62 000000000 13800000.00000000 OU Notional Amount USD -80725.03000000 -0.00947926086 N/A DIR US N 2 LCH Limited F226TOH6YD6XJB17KS62 N/A N/A Y 2025-06-16 0.00000000 USD 0.00000000 USD 13800000.00000000 USD -80725.03000000 N N N Arbor Realty Collateralized Loan Obligation Ltd N/A 03880RAG4 1014000.00000000 PA USD 968180.08000000 0.113690035641 Long ABS-CBDO CORP KY Y 2 2036-11-15 Floating 7.64000000 N N N N N N Michigan Finance Authority 54930022O46HOX5J1D14 59447TH89 331602.88000000 PA USD 312685.53000000 0.036717579492 Long DBT MUN US N 2 2030-06-01 Fixed 2.33000000 N N N N N N EQUINIX INC 549300EVUN2BTLJ3GT74 29444UBF2 972000.00000000 PA USD 890886.98000000 0.104613774442 Long DBT CORP US N 2 2025-07-15 Fixed 1.25000000 N N N N N N SUMITOMO MITSUI FINL GRP 35380028MYWPB6AUO129 86562MCA6 1675000.00000000 PA USD 1546315.11000000 0.181578431121 Long DBT CORP JP N 2 2025-07-08 Fixed 1.47000000 N N N N N N MITSUBISHI UFJ FIN GRP 353800V2V8PUY9TK3E06 606822BV5 2789000.00000000 PA USD 2769720.87000000 0.325238734954 Long DBT CORP JP N 2 2024-09-15 Fixed 0.85000000 N N N N N N MF1 Multifamily Housing Mortgage Loan Trust N/A 55284JAG4 941914.00000000 PA USD 901116.88000000 0.105815036190 Long ABS-CBDO CORP KY Y 2 2037-02-19 Floating 7.27000000 N N N N N N Baidu Inc 254900AL64IANZYI1E02 056752AK4 2225000.00000000 PA USD 2216812.00000000 0.260312560129 Long DBT CORP KY N 2 2023-09-29 Fixed 3.88000000 N N N N N N Arbor Realty Collateralized Loan Obligation Ltd N/A 03880XAG1 2695500.00000000 PA USD 2565223.52000000 0.301225318969 Long ABS-CBDO CORP KY Y 2 2037-01-15 Floating 7.37000000 N N N N N N VALERO ENERGY CORP 549300XTO5VR8SKV1V74 91913YBA7 1252000.00000000 PA USD 1215838.66000000 0.142771725472 Long DBT CORP US N 2 2024-03-15 Fixed 1.20000000 N N N N N N AmeriCredit Automobile Receivables Trust N/A 03065WAB1 854695.48000000 PA USD 848336.29000000 0.099617194196 Long ABS-O CORP US N 2 2025-12-18 Fixed 4.20000000 N N N N N N United States Treasury 254900HROIFWPRGM1V77 91282CEK3 25217000.00000000 PA USD 24677198.59000000 2.897758015464 Long DBT UST US N 2 2024-04-30 Fixed 2.50000000 N N N N N N PACIFIC GAS & ELECTRIC 1HNPXZSMMB7HMBMVBS46 694308JY4 854000.00000000 PA USD 843148.10000000 0.099007963002 Long DBT CORP US N 2 2023-11-15 Fixed 1.70000000 N N N N N N ABU DHABI GOVT INT'L 213800FER4348CINTA77 29135LAL4 1671000.00000000 PA USD 1661796.13000000 0.195138967586 Long DBT NUSS AE Y 2 2023-09-02 Fixed 0.75000000 N N N N N N Barclays Commercial Mortgage Securities LLC N/A 05493EAZ5 11315122.16000000 PA USD 966042.13000000 0.113438983573 Long ABS-MBS CORP US N 2 2054-02-15 Variable 1.62000000 N N N N N N Goldman Sachs & Co. LLC FOR8UP27PHTHYVLBNG30 000000000 10932042.44000000 OU Notional Amount USD -44235.65000000 -0.00519443926 N/A DCO US N 2 Goldman Sachs & Co. LLC FOR8UP27PHTHYVLBNG30 Bloomberg Soybeans Subindex Total Return Index BCOMSYTR INDEX Y equity-performance leg 2024-01-16 0.00000000 USD 0.00000000 USD 10932042.44000000 USD -44235.65000000 N N N NextGear Floorplan Master Owner Trust N/A 65341KBS4 1387000.00000000 PA USD 1388947.07000000 0.163099246880 Long ABS-O CORP US Y 2 2027-03-15 Floating 6.12000000 N N N N N N Morgan Stanley & Co. LLC 9R7GPTSO7KV3UQJZQ078 000000000 11106342.51000000 OU Notional Amount USD -971362.80000000 -0.11406377143 N/A DCO US N 2 Morgan Stanley & Co. LLC 9R7GPTSO7KV3UQJZQ078 Bloomberg Nickel Subindex Total Return Index BCOMNITR INDEX Y equity-performance leg 2024-06-14 0.00000000 USD 0.00000000 USD 11106342.51000000 USD -971362.80000000 N N N Goldman Sachs & Co. LLC FOR8UP27PHTHYVLBNG30 000000000 30000000.00000000 OU Notional Amount USD 1325292.20000000 0.155624475824 N/A DCO US N 2 Goldman Sachs & Co. LLC FOR8UP27PHTHYVLBNG30 Bloomberg Commodity Index Total Return Index BCOMTR INDEX Y equity-performance leg 2024-08-16 0.00000000 USD 0.00000000 USD 30000000.00000000 USD 1325292.20000000 N N N Massachusetts Educational Financing Authority 5493007K5OP7V6CL0Y88 57563RQZ5 315000.00000000 PA USD 291555.15000000 0.034236312107 Long DBT MUN US N 2 2026-07-01 Fixed 2.56000000 N N N N N N Kentucky Higher Education Student Loan Corp N/A 49130NGL7 2265000.00000000 PA USD 2198268.57000000 0.258135069328 Long DBT MUN US N 2 2037-06-01 Fixed 5.95000000 N N N N N N FIRSTENERGY CORP 549300SVYJS666PQJH88 337932AN7 734000.00000000 PA USD 665930.65000000 0.078197931249 Long DBT CORP US N 2 2026-01-15 Fixed 1.60000000 N N N N N N HUNTINGTON NATIONAL BANK 2WHM8VNJH63UN14OL754 44644MAD3 2090000.00000000 PA USD 2028114.26000000 0.238154437658 Long DBT CORP US N 2 2025-05-16 Fixed 4.01000000 N N N N N N BAT Capital Corp 2138005GYEXN7XRHFA84 05526DAZ8 1459000.00000000 PA USD 1419940.80000000 0.166738733316 Long DBT CORP US N 2 2024-08-15 Fixed 3.22000000 N N N N N N Arbor Realty Collateralized Loan Obligation Ltd N/A 03881CAE1 375500.00000000 PA USD 365911.61000000 0.042967733835 Long ABS-CBDO CORP KY Y 2 2035-12-15 Floating 6.84000000 N N N N N N JPMorgan Securities LLC ZBUT11V806EZRVTWT807 000000000 12735914.55000000 OU Notional Amount USD 796803.94000000 0.093565928704 N/A DCO US N 2 JPMorgan Securities LLC ZBUT11V806EZRVTWT807 Bloomberg Commodity Index Total Return Index BCOMTR Index Y equity-performance leg 2023-09-25 0.00000000 USD 0.00000000 USD 12735914.55000000 USD 796803.94000000 N N N AERCAP IRELAND CAP/GLOBA N/A 00774MAK1 1755000.00000000 PA USD 1744492.41000000 0.204849705510 Long DBT CORP IE N 2 2024-01-16 Fixed 4.88000000 N N N N N N BSPRT Issuer, Ltd. N/A 055983AG5 719500.00000000 PA USD 685836.39000000 0.080535393398 Long ABS-CBDO CORP KY Y 2 2037-02-15 Floating 7.37000000 N N N N N N ACREC 2021-FL1 Ltd. N/A 00500RAE5 1406000.00000000 PA USD 1350639.73000000 0.158600948537 Long ABS-CBDO CORP KY Y 2 2036-10-16 Floating 7.14000000 N N N N N N GLP CAPITAL LP / FIN II N/A 361841AH2 405000.00000000 PA USD 397451.37000000 0.046671338684 Long DBT CORP US N 2 2026-04-15 Fixed 5.38000000 N N N N N N 7-ELEVEN INC 549300K23JPL0SS3LB18 817826AB6 2125000.00000000 PA USD 2067637.50000000 0.242795514930 Long DBT CORP US Y 2 2024-02-10 Fixed 0.80000000 N N N N N N Credit Acceptance Auto Loan Trust N/A 22535BAC7 584000.00000000 PA USD 543604.66000000 0.063833613650 Long ABS-O CORP US Y 2 2030-12-16 Fixed 1.74000000 N N N N N N JPMorgan Securities LLC ZBUT11V806EZRVTWT807 000000000 98949230.08000000 OU Notional Amount USD 6190620.84000000 0.726943177702 N/A DCO US N 2 JPMorgan Securities LLC ZBUT11V806EZRVTWT807 Bloomberg Commodity Index Total Return Index BCOMTR INDEX Y equity-performance leg 2023-12-29 0.00000000 USD 0.00000000 USD 98949230.08000000 USD 6190620.84000000 N N N Brookfield Finance Inc 549300XH8D8K6OYWGD17 11271LAC6 4053000.00000000 PA USD 3787777.52000000 0.444785603574 Long DBT CORP CA N 2 2028-01-25 Fixed 3.90000000 N N N N N N JDE PEET'S NV 724500EHG519SE5ZRT89 47216QAA1 2980000.00000000 PA USD 2795026.87000000 0.328210330943 Long DBT CORP NL Y 2 2024-09-24 Fixed 0.80000000 N N N N N N ROYALTY PHARMA PLC 549300FGFN7VOK8BZR03 78081BAG8 2204000.00000000 PA USD 2194296.87000000 0.257668686344 Long DBT CORP GB N 2 2023-09-02 Fixed 0.75000000 N N N N N N Balboa Bay Loan Funding Ltd 549300MALKZHG9DP8554 05766BAL2 1606204.00000000 PA USD 1573307.34000000 0.184748035262 Long ABS-CBDO CORP KY Y 2 2032-01-20 Floating 7.25000000 N N N N N N Jamestown CLO Ltd N/A 47050EAE9 3069116.00000000 PA USD 2973648.08000000 0.349185201373 Long ABS-CBDO CORP KY Y 2 2033-04-15 Floating 8.02000000 N N N N N N CORPORATE OFFICE PROP LP H0TWO5VRNEP6CQAWPX27 22003BAL0 2617000.00000000 PA USD 2329731.75000000 0.273572335523 Long DBT CORP US N 2 2026-03-15 Fixed 2.25000000 N N N N N N DELL INT LLC / EMC CORP N/A 24703TAB2 1151000.00000000 PA USD 1130640.57000000 0.132767208659 Long DBT CORP US N 2 2024-07-15 Fixed 4.00000000 N N N N N N OneMain Financial Issuance Trust N/A 682696AA7 1819000.00000000 PA USD 1634689.83000000 0.191955968600 Long ABS-O CORP US Y 2 2035-09-14 Fixed 1.75000000 N N N N N N ENBRIDGE INC 98TPTUM4IVMFCZBCUR27 29250NBL8 1542000.00000000 PA USD 1470941.17000000 0.172727530238 Long DBT CORP CA N 2 2025-02-14 Fixed 2.50000000 N N N N N N Bank N/A 06540VBC8 9005760.54000000 PA USD 294718.02000000 0.034607716983 Long ABS-MBS CORP US N 2 2062-11-15 Variable 0.64000000 N N N N N N LPL HOLDINGS INC 549300Z5YF8CCRMYUL26 50212YAD6 1416000.00000000 PA USD 1269257.51000000 0.149044516130 Long DBT CORP US Y 2 2029-03-15 Fixed 4.00000000 N N N N N N LoanCore 2018-CRE1 Issuer, Ltd. N/A 53947DAC0 281055.11000000 PA USD 279806.10000000 0.032856661832 Long ABS-CBDO CORP KY Y 2 2034-04-15 Floating 6.71000000 N N N N N N Credit Acceptance Auto Loan Trust N/A 22535GAC6 250000.00000000 PA USD 231929.40000000 0.027234666666 Long ABS-O CORP US Y 2 2030-09-16 Fixed 1.63000000 N N N N N N COREBRIDGE FINANCIAL INC 549300XY1661QCIA7J65 21871XAB5 1146000.00000000 PA USD 1099776.79000000 0.129142981802 Long DBT CORP US N 2 2025-04-04 Fixed 3.50000000 N N N N N N CNH Equipment Trust N/A 12664QAB0 824473.00000000 PA USD 820866.26000000 0.096391483654 Long ABS-O CORP US N 2 2026-09-15 Fixed 5.34000000 N N N N N N MIZUHO FINANCIAL GROUP 353800CI5L6DDAN5XZ33 60687YBJ7 2411000.00000000 PA USD 2396754.08000000 0.281442535751 Long DBT CORP JP N 2 2024-09-08 Fixed 0.85000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3138ERQU7 81230.66000000 PA USD 76269.76000000 0.008956093924 Long ABS-MBS USGSE US N 2 2031-12-01 Fixed 3.00000000 N N N N N N UNICREDIT SPA 549300TRUWO2CD2G5692 904678AU3 2522000.00000000 PA USD 2308341.08000000 0.271060503184 Long DBT CORP IT Y 2 2026-09-22 Fixed 2.57000000 N N N N N N SK HYNIX INC 988400XAIK6XISWQV045 78392BAD9 2977000.00000000 PA USD 2985387.19000000 0.350563684428 Long DBT CORP KR Y 2 2026-01-17 Fixed 6.25000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31416CC61 1317.80000000 PA USD 1299.02000000 0.000152539422 Long ABS-MBS USGSE US N 2 2024-04-01 Fixed 4.50000000 N N N N N N BNP PARIBAS R0MUWSFPU8MPRO8K5P83 09659W2T0 3494000.00000000 PA USD 3142890.74000000 0.369058781139 Long DBT CORP FR Y 2 2028-01-20 Fixed 2.59000000 N N N N N N EQUITABLE FINANCIAL LIFE 635400B4JJBON4TCHF02 29449WAA5 1485000.00000000 PA USD 1358430.14000000 0.159515749418 Long DBT CORP US Y 2 2025-07-07 Fixed 1.40000000 N N N N N N Oaktree CLO Ltd 549300BJ8TRWJ20BLC43 67401XAN1 1427638.00000000 PA USD 1386776.15000000 0.162844323259 Long ABS-CBDO CORP KY Y 2 2030-04-22 Floating 7.96000000 N N N N N N Southwick Park CLO, Ltd. N/A 846031AS1 1528000.00000000 PA USD 1493817.11000000 0.175413772691 Long ABS-CBDO CORP KY Y 2 2032-07-20 Floating 7.54000000 N N N N N N Morgan Stanley & Co. LLC 9R7GPTSO7KV3UQJZQ078 000000000 3638352.17000000 OU Notional Amount USD 167699.60000000 0.019692383570 N/A DCO US N 2 Morgan Stanley & Co. LLC 9R7GPTSO7KV3UQJZQ078 Bloomberg Natural Gas TR Index BCOMNGTR Index Y equity-performance leg 2024-02-26 0.00000000 USD 0.00000000 USD 3638352.17000000 USD 167699.60000000 N N N Southwick Park CLO, Ltd. N/A 846031AR3 1123000.00000000 PA USD 950595.92000000 0.111625188596 Long ABS-CBDO CORP KY Y 2 2032-07-20 Fixed 2.46000000 N N N N N N Arbor Realty Collateralized Loan Obligation Ltd N/A 03881CAG6 153500.00000000 PA USD 148274.09000000 0.017411313168 Long ABS-CBDO CORP KY Y 2 2035-12-15 Floating 7.34000000 N N N N N N Balboa Bay Loan Funding Ltd 549300MALKZHG9DP8554 05766BAN8 870027.00000000 PA USD 851593.74000000 0.099999705274 Long ABS-CBDO CORP KY Y 2 2032-01-20 Floating 7.70000000 N N N N N N GOLDMAN SACHS GROUP INC 784F5XWPLTWKTBV3E584 38141GXM1 1268000.00000000 PA USD 1139737.46000000 0.133835424965 Long DBT CORP US N 2 2026-12-09 Fixed 1.09000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3137BNPS7 439423.43000000 PA USD 401251.07000000 0.047117524303 Long ABS-MBS USGSE US N 2 2045-06-15 Fixed 3.00000000 N N N N N N AVOLON HOLDINGS FNDG LTD 635400ZRKEX9L1BKCH30 05401AAP6 1313000.00000000 PA USD 1125363.71000000 0.132147565254 Long DBT CORP KY Y 2 2028-02-21 Fixed 2.75000000 N N N N N N Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 000000000 295.00000000 NC USD -728106.02000000 -0.08549896974 N/A DIR US N 1 Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 Long CBOT 2 Year U.S. Treasury Notes Futures TUU3 Comdty 2023-09-29 60622324.77000000 USD -728106.02000000 N N N Business Jet Securities, LLC N/A 12327BAA4 271497.11000000 PA USD 247746.54000000 0.029092018669 Long ABS-O CORP US Y 2 2036-04-15 Fixed 2.16000000 N N N N N N Goldman Sachs & Co. LLC FOR8UP27PHTHYVLBNG30 000000000 35982534.71000000 OU Notional Amount USD 2225484.47000000 0.261330938263 N/A DCO US N 2 Goldman Sachs & Co. LLC FOR8UP27PHTHYVLBNG30 Bloomberg Commodity Index Total Return Index BCOMTR INDEX Y equity-performance leg 2024-06-25 0.00000000 USD 0.00000000 USD 35982534.71000000 USD 2225484.47000000 N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3128PRZ51 7102.87000000 PA USD 7009.44000000 0.000823094277 Long ABS-MBS USGSE US N 2 2025-07-01 Fixed 4.00000000 N N N N N N QORVO INC 254900YAUJV2EUEVBR11 74739DAA2 909000.00000000 PA USD 851172.42000000 0.099950231125 Long DBT CORP US Y 2 2024-12-15 Fixed 1.75000000 N N N N N N Bank N/A 06541ABM1 10988055.84000000 PA USD 778669.68000000 0.091436485320 Long ABS-MBS CORP US N 2 2054-02-15 Variable 1.32000000 N N N N N N ARROW ELECTRONICS INC 549300YNNLBXT8N8R512 04273WAD3 338000.00000000 PA USD 337395.67000000 0.039619205703 Long DBT CORP US N 2 2026-03-01 Fixed 6.13000000 N N N N N N PFP III N/A 69357XAE1 617500.00000000 PA USD 583024.98000000 0.068462605382 Long ABS-CBDO CORP KY Y 2 2037-08-09 Floating 6.82000000 N N N N N N BENCHMARK Mortgage Trust N/A 08162RAF4 12534995.46000000 PA USD 800982.45000000 0.094056596670 Long ABS-MBS CORP US N 2 2054-02-15 Variable 1.27000000 N N N N N N BANQUE FED CRED MUTUEL VBHFXSYT7OG62HNT8T76 06675FAV9 2782000.00000000 PA USD 2699332.87000000 0.316973315748 Long DBT CORP FR Y 2 2024-02-27 Fixed 0.65000000 N N N N N N Enterprise Fleet Financing LLC N/A 29375NAC9 689000.00000000 PA USD 680439.93000000 0.079901705779 Long ABS-O CORP US Y 2 2030-04-22 Fixed 5.50000000 N N N N N N SANDS CHINA LTD 549300EVO6UZDGY05787 80007RAK1 1030000.00000000 PA USD 981405.91000000 0.115243099080 Long DBT CORP KY N 2 2026-01-08 Fixed 4.30000000 N N N N N N Arbor Realty Collateralized Loan Obligation Ltd N/A 03880RAC3 1684000.00000000 PA USD 1649976.30000000 0.193751005861 Long ABS-CBDO CORP KY Y 2 2036-11-15 Floating 7.04000000 N N N N N N BXMT Ltd N/A 12434LAA2 1776335.07000000 PA USD 1696664.67000000 0.199233459548 Long ABS-CBDO CORP KY Y 2 2038-02-15 Floating 6.24000000 N N N N N N AMGEN INC 62QBXGPJ34PQ72Z12S66 031162DN7 1758000.00000000 PA USD 1758040.01000000 0.206440553286 Long DBT CORP US N 2 2026-03-02 Fixed 5.51000000 N N N N N N UBS GROUP AG 549300SZJ9VS8SGXAN81 902613AS7 1000000.00000000 PA USD 968549.07000000 0.113733364860 Long DBT CORP CH Y 2 2027-08-05 Fixed 4.70000000 N N N N N N AREIT CRE Trust N/A 04002VAJ0 795500.00000000 PA USD 725484.86000000 0.085191175995 Long ABS-CBDO CORP KY Y 2 2037-01-20 Floating 7.92000000 N N N N N N BARCLAYS PLC 213800LBQA1Y9L22JB70 06738EBU8 2856000.00000000 PA USD 2541196.03000000 0.298403853984 Long DBT CORP GB N 2 2027-11-24 Fixed 2.28000000 N N N N N N AIR LEASE CORP 5493004NW4M4P8TMMK63 00914AAR3 1590000.00000000 PA USD 1424751.57000000 0.167303645385 Long DBT CORP US N 2 2027-01-15 Fixed 2.20000000 N N N N N N United States Treasury 254900HROIFWPRGM1V77 91282CGE5 34365000.00000000 PA USD 33713944.42000000 3.958911799476 Long DBT UST US N 2 2026-01-15 Fixed 3.88000000 N N N N N N LKQ CORP DS830JTTZQN6GK0I2E41 501889AC3 1178000.00000000 PA USD 1171571.85000000 0.137573627194 Long DBT CORP US Y 2 2028-06-15 Fixed 5.75000000 N N N N N N Goldman Sachs & Co. LLC FOR8UP27PHTHYVLBNG30 000000000 12140908.79000000 OU Notional Amount USD 761592.92000000 0.089431220501 N/A DCO US N 2 Goldman Sachs & Co. LLC FOR8UP27PHTHYVLBNG30 Bloomberg Commodity Index Total Return Index BCOMTR INDEX Y equity-performance leg 2024-03-22 0.00000000 USD 0.00000000 USD 12140908.79000000 USD 761592.92000000 N N N OCP CLO Ltd 254900FZYL5HDKV64882 67092DAV1 2250000.00000000 PA USD 2203314.75000000 0.258727624779 Long ABS-CBDO CORP KY Y 2 2034-01-26 Floating 7.26000000 N N N N N N AREIT CRE Trust N/A 00217LAG7 250500.00000000 PA USD 233084.74000000 0.027370334244 Long ABS-CBDO CORP US Y 2 2036-09-14 Floating 7.32000000 N N N N N N HUNTINGTON INGALLS INDUS 5TZLZ6WJTBVJ0QWBG121 446413AS5 1273000.00000000 PA USD 1230874.32000000 0.144537310983 Long DBT CORP US N 2 2025-05-01 Fixed 3.84000000 N N N N N N Fortress CBO Investments Ltd N/A 34706CAA7 1917000.00000000 PA USD 1852726.82000000 0.217559297646 Long ABS-CBDO CORP US Y 2 2039-02-23 Floating 6.92000000 N N N N N N DEUTSCHE BANK NY 7LTWFZYICNSX8D621K86 251526CP2 849000.00000000 PA USD 745839.52000000 0.087581353266 Long DBT CORP DE N 2 2027-11-16 Fixed 2.31000000 N N N N N N DEUTSCHE BANK NY 7LTWFZYICNSX8D621K86 251526CJ6 694000.00000000 PA USD 664856.16000000 0.078071757608 Long DBT CORP DE N 2 2024-05-28 Fixed 0.90000000 N N N N N N Morgan Stanley & Co. LLC 9R7GPTSO7KV3UQJZQ078 000000000 6462091.26000000 OU Notional Amount USD -579785.28000000 -0.06808217862 N/A DCO US N 2 Morgan Stanley & Co. LLC 9R7GPTSO7KV3UQJZQ078 Bloomberg Silver Subindex Total Return Index BCOMSITR Index Y equity-performance leg 2023-09-29 0.00000000 USD 0.00000000 USD 6462091.26000000 USD -579785.28000000 N N N Merrill Lynch & Co., Inc. DWW559HN8WVTCCS4VJ94 000000000 12615822.33000000 OU Notional Amount USD -12695.44000000 -0.00149078157 N/A DCO US N 2 Merrill Lynch & Co., Inc. DWW559HN8WVTCCS4VJ94 Bloomberg Feeder Cattle Subindex Total Return Index BCOMFCT INDEX Y equity-performance leg 2024-05-06 0.00000000 USD 0.00000000 USD 12615822.33000000 USD -12695.44000000 N N N BANK 2021-BN35 N/A 06540CBL0 6108669.47000000 PA USD 346613.24000000 0.040701593043 Long ABS-MBS CORP US N 2 2064-06-15 Variable 1.04000000 N N N N N N Morgan Stanley Capital I Trust N/A 61691JAW4 4052147.20000000 PA USD 128672.29000000 0.015109541642 Long ABS-MBS CORP US N 2 2050-06-15 Variable 1.32000000 N N N N N N HALEON US CAPITAL LLC 549300N8C3A3L0UVQB07 36264FAK7 1154000.00000000 PA USD 1086059.73000000 0.127532234925 Long DBT CORP US N 2 2027-03-24 Fixed 3.38000000 N N N N N N NextGear Floorplan Master Owner Trust N/A 65345GAA9 956000.00000000 PA USD 959270.48000000 0.112643812152 Long ABS-O CORP US Y 2 2028-03-15 Floating 6.17000000 N N N N N N LCH Limited F226TOH6YD6XJB17KS62 000000000 44600000.00000000 OU Notional Amount USD -362150.66000000 -0.04252609849 N/A DIR US N 2 LCH Limited F226TOH6YD6XJB17KS62 N/A N/A Y 2026-06-16 0.00000000 USD 0.00000000 USD 44600000.00000000 USD -362150.66000000 N N N GLOBAL PAYMENTS INC 549300NOMHGVQBX6S778 37940XAE2 2281000.00000000 PA USD 2039248.63000000 0.239461908188 Long DBT CORP US N 2 2026-03-01 Fixed 1.20000000 N N N N N N GENERAL MILLS INC 2TGYMUGI08PO8X8L6150 370334CS1 1962000.00000000 PA USD 1952970.39000000 0.229330553099 Long DBT CORP US N 2 2025-11-18 Fixed 5.24000000 N N N N N N ROGERS COMMUNICATIONS IN 54930030NVF3Y2OL0A78 775109CG4 3568000.00000000 PA USD 3309963.27000000 0.388677530050 Long DBT CORP CA N 2 2027-03-15 Fixed 3.20000000 N N N N N N LAS VEGAS SANDS CORP 549300DUOO1KXOHPM605 517834AG2 1270000.00000000 PA USD 1232786.46000000 0.144761846965 Long DBT CORP US N 2 2024-08-08 Fixed 3.20000000 N N N N N N United States Treasury 254900HROIFWPRGM1V77 91282CGV7 33495000.00000000 PA USD 32777997.66000000 3.849006811033 Long DBT UST US N 2 2026-04-15 Fixed 3.75000000 N N N N N N HSBC HOLDINGS PLC MLU0ZO3ML4LN2LL2TL39 404280DQ9 646000.00000000 PA USD 668032.92000000 0.078444793539 Long DBT CORP GB N 2 2026-11-03 Fixed 7.34000000 N N N N N N ERAC USA Finance LLC LTKX5ODQW6Z7BQ2K1V47 26884TAT9 974000.00000000 PA USD 965998.13000000 0.113433816805 Long DBT CORP US Y 2 2023-11-01 Fixed 2.70000000 N N N N N N LoanCore 2021-CRE5 Issuer, Ltd N/A 53947XAG7 741000.00000000 PA USD 705802.50000000 0.082879944587 Long ABS-CBDO CORP KY Y 2 2036-07-15 Floating 7.34000000 N N N N N N MARRIOTT INTERNATIONAL 225YDZ14ZO8E1TXUSU86 571903AP8 459000.00000000 PA USD 443360.02000000 0.052062232550 Long DBT CORP US N 2 2025-10-01 Fixed 3.75000000 N N N N N N DAE FUNDING LLC 635400SZTPQL3Y1P2C76 23371DAF1 1375000.00000000 PA USD 1292500.00000000 0.151773801281 Long DBT CORP US Y 2 2025-03-20 Fixed 2.63000000 N N N N N N AMERICAN ELECTRIC POWER 1B4S6S7G0TW5EE83BO58 02557TAD1 1387000.00000000 PA USD 1388635.87000000 0.163062703741 Long DBT CORP US N 2 2025-08-15 Fixed 5.70000000 N N N N N N PACIFIC GAS & ELECTRIC 1HNPXZSMMB7HMBMVBS46 694308KL0 1552000.00000000 PA USD 1543060.90000000 0.181196300504 Long DBT CORP US N 2 2029-01-15 Fixed 6.10000000 N N N N N N FHLMC Multifamily Structured Pass Through Certs. S6XOOCT0IEG5ABCC6L87 3137BYPS3 83468.43000000 PA USD 338.96000000 0.000039802899 Long ABS-MBS USGSE US N 2 2024-04-25 Variable 0.90000000 N N N N N N BOEING CO RVHJWBXLJ1RFUBSY1F30 097023DE2 3511000.00000000 PA USD 3430359.60000000 0.402815254356 Long DBT CORP US N 2 2024-02-04 Fixed 1.43000000 N N N N N N HYUNDAI CAPITAL AMERICA 549300RIPPWJB5Z0FK07 44891ABK2 2077000.00000000 PA USD 2081445.15000000 0.244416899477 Long DBT CORP US Y 2 2025-04-07 Fixed 5.88000000 N N N N N N MACQUARIE GROUP LTD ACMHD8HWFMFUIQQ8Y590 55608JBA5 2251000.00000000 PA USD 2120232.63000000 0.248971578999 Long DBT CORP AU Y 2 2025-10-14 Fixed 1.20000000 N N N N N N BENCHMARK Mortgage Trust N/A 08163GAZ3 10215597.05000000 PA USD 705200.03000000 0.082809198620 Long ABS-MBS CORP US N 2 2054-08-15 Variable 1.28000000 N N N N N N AVOLON HOLDINGS FNDG LTD 635400ZRKEX9L1BKCH30 05401AAL5 769000.00000000 PA USD 722742.84000000 0.084869190078 Long DBT CORP KY Y 2 2026-04-15 Fixed 4.25000000 N N N N N N Fortress CBO Investments Ltd N/A 34706CAC3 1785500.00000000 PA USD 1732386.73000000 0.203428177409 Long ABS-CBDO CORP US Y 2 2039-02-23 Floating 7.32000000 N N N N N N BXMT Ltd N/A 12434LAE4 1492000.00000000 PA USD 1296865.80000000 0.152286462064 Long ABS-CBDO CORP KY Y 2 2038-02-15 Floating 6.74000000 N N N N N N BXMT Ltd N/A 05609GAC2 2601000.00000000 PA USD 2324812.82000000 0.272994722599 Long ABS-CBDO CORP US Y 2 2038-05-15 Floating 6.64000000 N N N N N N STANDARD CHARTERED PLC U4LOSYZ7YG4W3S5F2G91 853254CB4 812000.00000000 PA USD 781816.51000000 0.091806006675 Long DBT CORP GB Y 2 2025-03-23 Fixed 1.21000000 N N N N N N Sales Tax Securitization Corp N/A 79467BDC6 1030000.00000000 PA USD 1014673.50000000 0.119149597024 Long DBT MUN US N 2 2024-01-01 Fixed 2.23000000 N N N N N N ACREC 2021-FL1 Ltd. N/A 00500RAG0 1129000.00000000 PA USD 1074074.49000000 0.126124849676 Long ABS-CBDO CORP KY Y 2 2036-10-16 Floating 7.49000000 N N N N N N NEXTERA ENERGY CAPITAL UMI46YPGBLUE4VGNNT48 65339KBP4 1486000.00000000 PA USD 1496777.07000000 0.175761350549 Long DBT CORP US N 2 2025-03-01 Fixed 6.05000000 N N N N N N Goldman Sachs & Co. LLC FOR8UP27PHTHYVLBNG30 000000000 6203715.59000000 OU Notional Amount USD -127558.28000000 -0.01497872730 N/A DCO US N 2 Goldman Sachs & Co. LLC FOR8UP27PHTHYVLBNG30 Bloomberg Kansas Wheat Subindex Total Return BCOMKWT INDEX Y equity-performance leg 2024-05-28 0.00000000 USD 0.00000000 USD 6203715.59000000 USD -127558.28000000 N N N BSPRT Issuer, Ltd. N/A 05602CAG9 408500.00000000 PA USD 388747.39000000 0.045649260439 Long ABS-CBDO CORP KY Y 2 2038-12-15 Floating 7.64000000 N N N N N N Business Jet Securities, LLC N/A 12327BAB2 61539.65000000 PA USD 54562.28000000 0.006407059684 Long ABS-O CORP US Y 2 2036-04-15 Fixed 2.92000000 N N N N N N AVOLON HOLDINGS FNDG LTD 635400ZRKEX9L1BKCH30 05401AAF8 1013000.00000000 PA USD 985532.02000000 0.115727613895 Long DBT CORP KY Y 2 2024-07-01 Fixed 3.95000000 N N N N N N BSPRT Issuer, Ltd. N/A 055983AE0 445500.00000000 PA USD 429287.94000000 0.050409796903 Long ABS-CBDO CORP KY Y 2 2037-02-15 Floating 7.12000000 N N N N N N NATIONAL SECS CLEARING 549300RYC9NELN2ICA34 637639AC9 1724000.00000000 PA USD 1693467.67000000 0.198858046904 Long DBT CORP US Y 2 2023-12-07 Fixed 0.40000000 N N N N N N United States Treasury 254900HROIFWPRGM1V77 91282CDV0 25867000.00000000 PA USD 25297117.66000000 2.970552966134 Long DBT UST US N 2 2024-01-31 Fixed 0.88000000 N N N N N N MICROCHIP TECHNOLOGY INC 5493007PTFULNYZJ1R12 595017BC7 3485000.00000000 PA USD 3307683.97000000 0.388409879741 Long DBT CORP US N 2 2024-09-01 Fixed 0.98000000 N N N N N N NATIONAL SECS CLEARING 549300RYC9NELN2ICA34 637639AK1 611000.00000000 PA USD 609505.38000000 0.071572107098 Long DBT CORP US Y 2 2028-05-30 Fixed 5.00000000 N N N N N N CROWN CASTLE INC 54930012H97VSM0I2R19 22822VAS0 492000.00000000 PA USD 453639.42000000 0.053269306912 Long DBT CORP US N 2 2025-07-15 Fixed 1.35000000 N N N N N N Merrill Lynch & Co., Inc. DWW559HN8WVTCCS4VJ94 000000000 110543353.41000000 OU Notional Amount USD 6758256.10000000 0.793598621533 N/A DCO US N 2 Merrill Lynch & Co., Inc. DWW559HN8WVTCCS4VJ94 MLCILPRT Custom Index MLCILPRT Natural Gas 2 5974739.17000000 USD 365275.85000000 USD Coffee 877952.46000000 USD 53675.12000000 USD Copper Comex 1582666.48000000 USD 96759.01000000 USD Nickel 649960.56000000 USD 39736.44000000 USD Heating Oil 2 1694175.95000000 USD 103576.33000000 USD WTI 2535939.81000000 USD 155039.00000000 USD Soybeans 5716168.30000000 USD 349467.68000000 USD Soybean Oil 3433991.49000000 USD 209942.91000000 USD Lean Hogs 2068424.62000000 USD 126456.66000000 USD Wheat 738889.77000000 USD 45173.28000000 USD Gold 17678335.98000000 USD 1080795.15000000 USD Silver 2 3938565.07000000 USD 240790.88000000 USD Gasoil 2 2192206.58000000 USD 134024.28000000 USD Lead 2 740774.04000000 USD 45288.48000000 USD Cotton 1707245.58000000 USD 104375.36000000 USD Silver 1411684.83000000 USD 86305.75000000 USD Corn 1254881.42000000 USD 76719.31000000 USD Aluminum 1196423.10000000 USD 73145.36000000 USD Natural Gas 1820780.72000000 USD 111316.53000000 USD Kansas Wheat 506149.23000000 USD 30944.29000000 USD Zinc 2 2000272.93000000 USD 122290.09000000 USD WTI 2 6891989.97000000 USD 421353.54000000 USD Gasoline RBOB 2 1987714.38000000 USD 121522.30000000 USD Coffee 2 2412902.89000000 USD 147516.92000000 USD Heating Oil 633440.91000000 USD 38726.49000000 USD Gasoil 824241.40000000 USD 50391.40000000 USD Corn 2 3512547.54000000 USD 214745.57000000 USD Wheat 2 2111301.90000000 USD 129078.03000000 USD Soybean Meal 3239509.97000000 USD 198052.95000000 USD Nickel 2 1799145.39000000 USD 109993.82000000 USD Copper Comex 2 4370793.33000000 USD 267215.89000000 USD Sugar 3599792.95000000 USD 220079.47000000 USD Live Cattle 4209069.64000000 USD 257328.63000000 USD Lead 270030.22000000 USD 16508.76000000 USD Kansas Wheat 2 1420596.33000000 USD 86850.57000000 USD Aluminum 2 3323166.56000000 USD 203167.44000000 USD Brent 8655963.60000000 USD 529197.06000000 USD Gasoline RBOB 834183.32000000 USD 50999.22000000 USD Zinc 726734.57000000 USD 44430.15000000 USD Y equity-performance leg 2023-09-25 0.00000000 USD 0.00000000 USD 110543353.41000000 USD 6758256.10000000 N N N PNC FINANCIAL SERVICES CFGNEKW0P8842LEUIA51 693475BK0 3959000.00000000 PA USD 3935769.50000000 0.462163789542 Long DBT CORP US N 2 2028-12-02 Fixed 5.35000000 N N N N N N DCP MIDSTREAM OPERATING 549300Y6CTBSE0QIPL28 23311VAJ6 896000.00000000 PA USD 898962.20000000 0.105562019576 Long DBT CORP US N 2 2027-07-15 Fixed 5.63000000 N N N N N N ENERGY TRANSFER LP MTLVN9N7JE8MIBIJ1H73 29278NAP8 846000.00000000 PA USD 806110.80000000 0.094658801060 Long DBT CORP US N 2 2025-05-15 Fixed 2.90000000 N N N N N N BOEING CO RVHJWBXLJ1RFUBSY1F30 097023DG7 2850000.00000000 PA USD 2630173.69000000 0.308852192620 Long DBT CORP US N 2 2026-02-04 Fixed 2.20000000 N N N N N N MARRIOTT INTERNATIONAL 225YDZ14ZO8E1TXUSU86 571903BL6 1307000.00000000 PA USD 1281856.51000000 0.150523973091 Long DBT CORP US N 2 2029-04-15 Fixed 4.90000000 N N N N N N DAIMLER TRUCK FINAN NA 5493003HSDTSCZRXBA58 233853AN0 457000.00000000 PA USD 454114.90000000 0.053325140883 Long DBT CORP US Y 2 2025-01-17 Fixed 5.20000000 N N N N N N AVOLON HOLDINGS FNDG LTD 635400ZRKEX9L1BKCH30 05401AAM3 2500000.00000000 PA USD 2242110.88000000 0.263283320040 Long DBT CORP KY Y 2 2026-02-21 Fixed 2.13000000 N N N N N N Merrill Lynch & Co., Inc. DWW559HN8WVTCCS4VJ94 000000000 6868329.11000000 OU Notional Amount USD 975204.72000000 0.114514914802 N/A DCO US N 2 Merrill Lynch & Co., Inc. DWW559HN8WVTCCS4VJ94 Bloomberg Brent Crude Subindex Total Return Index BCOMCOT Index Y equity-performance leg 2023-08-07 0.00000000 USD 0.00000000 USD 6868329.11000000 USD 975204.72000000 N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3128PRZ69 4194.21000000 PA USD 4134.13000000 0.000485456576 Long ABS-MBS USGSE US N 2 2025-07-01 Fixed 4.00000000 N N N N N N Shackleton CLO LTD 5493000LHXWSIZGUY418 81882HAE5 722762.00000000 PA USD 692278.07000000 0.081291817584 Long ABS-CBDO CORP KY Y 2 2031-04-13 Floating 7.46000000 N N N N N N TORONTO-DOMINION BANK PT3QB789TSUIDF371261 89115A2S0 3664000.00000000 PA USD 3680547.91000000 0.432194001624 Long DBT CORP CA N 2 2026-07-17 Fixed 5.53000000 N N N N N N AVOLON HOLDINGS FNDG LTD 635400ZRKEX9L1BKCH30 05401AAR2 1715000.00000000 PA USD 1470199.53000000 0.172640442019 Long DBT CORP KY Y 2 2027-11-18 Fixed 2.53000000 N N N N N N MF1 Multifamily Housing Mortgage Loan Trust N/A 58003UAE8 2437000.00000000 PA USD 2403418.38000000 0.282225101433 Long ABS-CBDO CORP US Y 2 2035-11-15 Floating 8.09000000 N N N N N N GREAT AMERICA LEASING RECEIVABLES N/A 39154TCB2 782000.00000000 PA USD 775295.52000000 0.091040269390 Long ABS-O CORP US Y 2 2026-02-16 Fixed 5.35000000 N N N N N N AREIT CRE Trust N/A 00217LAC6 534243.39000000 PA USD 525530.95000000 0.061711280443 Long ABS-CBDO CORP US Y 2 2036-09-14 Floating 6.62000000 N N N N N N PHILIP MORRIS INTL INC HL3H1H2BGXWVG3BSWR90 718172CV9 526000.00000000 PA USD 527185.56000000 0.061905575568 Long DBT CORP US N 2 2027-11-17 Fixed 5.13000000 N N N N N N VMWARE INC 549300BUDHS3LRWBE814 928563AJ4 1143000.00000000 PA USD 1012676.40000000 0.118915084484 Long DBT CORP US N 2 2026-08-15 Fixed 1.40000000 N N N N N N ENERGY TRANSFER LP MTLVN9N7JE8MIBIJ1H73 29273VAP5 755000.00000000 PA USD 757924.87000000 0.089000494085 Long DBT CORP US N 2 2028-02-15 Fixed 5.55000000 N N N N N N NATIONAL SECS CLEARING 549300RYC9NELN2ICA34 637639AB1 250000.00000000 PA USD 234270.11000000 0.027509528140 Long DBT CORP US Y 2 2025-04-23 Fixed 1.50000000 N N N N N N United States Treasury 254900HROIFWPRGM1V77 91282CDM0 12515000.00000000 PA USD 12314564.52000000 1.446056687295 Long DBT UST US N 2 2023-11-30 Fixed 0.50000000 N N N N N N WARNERMEDIA HOLDINGS INC 549300DXR29GD4N0A520 55903VBA0 1062000.00000000 PA USD 994063.74000000 0.116729464244 Long DBT CORP US N 2 2027-03-15 Fixed 3.76000000 N N N N N N MF1 Multifamily Housing Mortgage Loan Trust N/A 55283TAE8 3089144.00000000 PA USD 2971916.85000000 0.348981909027 Long ABS-CBDO CORP KY Y 2 2036-07-16 Floating 6.99000000 N N N N N N STANDARD CHARTERED PLC U4LOSYZ7YG4W3S5F2G91 853254CJ7 1077000.00000000 PA USD 1036417.29000000 0.121702895023 Long DBT CORP GB Y 2 2026-03-30 Fixed 3.97000000 N N N N N N PHILIP MORRIS INTL INC HL3H1H2BGXWVG3BSWR90 718172CZ0 1262000.00000000 PA USD 1249454.62000000 0.146719131300 Long DBT CORP US N 2 2028-02-15 Fixed 4.88000000 N N N N N N BERRY GLOBAL INC 549300AP2Q7ERHX6RI89 08576PAH4 2361000.00000000 PA USD 2140639.82000000 0.251367924685 Long DBT CORP US N 2 2026-01-15 Fixed 1.57000000 N N N N N N Citibank N.A. E57ODZWZ7FF32TWEFA76 000000000 13493076.83000000 OU Notional Amount USD 844175.13000000 0.099128563580 N/A DCO US N 2 Citibank N.A. E57ODZWZ7FF32TWEFA76 Bloomberg Commodity Index Total Return Index BCOMTR INDEX Y equity-performance leg 2023-12-29 0.00000000 USD 0.00000000 USD 13493076.83000000 USD 844175.13000000 N N N Morgan Stanley & Co. LLC 9R7GPTSO7KV3UQJZQ078 000000000 9800730.85000000 OU Notional Amount USD -695279.39000000 -0.08164425220 N/A DCO US N 2 Morgan Stanley & Co. LLC 9R7GPTSO7KV3UQJZQ078 Bloomberg Copper Subindex Total Return BCOMHGTR INDEX Y equity-performance leg 2024-05-28 0.00000000 USD 0.00000000 USD 9800730.85000000 USD -695279.39000000 N N N Wells Fargo Commercial Mortgage Trust N/A 95003QBC2 6103883.42000000 PA USD 430075.35000000 0.050502259734 Long ABS-MBS CORP US N 2 2054-11-15 Variable 1.36000000 N N N N N N MITSUBISHI UFJ FIN GRP 353800V2V8PUY9TK3E06 606822BW3 1997000.00000000 PA USD 1899243.73000000 0.223021617379 Long DBT CORP JP N 2 2025-07-19 Fixed 0.95000000 N N N N N N CAPITAL ONE FINANCIAL CO ZUE8T73ROZOF6FLBAR73 14040HCM5 1712000.00000000 PA USD 1609777.76000000 0.189030630447 Long DBT CORP US N 2 2026-03-03 Fixed 2.64000000 N N N N N N HALEON UK CAPITAL PLC 5493004B26DRJNN0OV17 36264NAB0 2654000.00000000 PA USD 2547126.10000000 0.299100201578 Long DBT CORP GB N 2 2025-03-24 Fixed 3.13000000 N N N N N N Goldman Sachs & Co. LLC FOR8UP27PHTHYVLBNG30 000000000 18193492.51000000 OU Notional Amount USD 1125249.11000000 0.132134108172 N/A DCO US N 2 Goldman Sachs & Co. LLC FOR8UP27PHTHYVLBNG30 Bloomberg Commodity Index Total Return Index BCOMTR INDEX Y equity-performance leg 2024-06-14 0.00000000 USD 0.00000000 USD 18193492.51000000 USD 1125249.11000000 N N N BERRY GLOBAL INC 549300AP2Q7ERHX6RI89 08576PAF8 2847000.00000000 PA USD 2470776.75000000 0.290134761675 Long DBT CORP US N 2 2027-01-15 Fixed 1.65000000 N N N N N N HSBC HOLDINGS PLC MLU0ZO3ML4LN2LL2TL39 404280CG2 728000.00000000 PA USD 677767.53000000 0.079587895097 Long DBT CORP GB N 2 2026-06-04 Fixed 2.10000000 N N N N N N ENTERGY LOUISIANA LLC 0V5453U14HDZO63CGH17 29364WBK3 5399000.00000000 PA USD 5122772.04000000 0.601549389253 Long DBT CORP US N 2 2024-10-01 Fixed 0.95000000 N N N N N N BANQUE FED CRED MUTUEL VBHFXSYT7OG62HNT8T76 06675FBA4 1573000.00000000 PA USD 1579089.48000000 0.185427011948 Long DBT CORP FR Y 2 2026-07-13 Fixed 5.90000000 N N N N N N NATWEST MARKETS PLC RR3QWICWWIPCS8A4S074 63906YAG3 2257000.00000000 PA USD 2176706.25000000 0.255603080724 Long DBT CORP GB Y 2 2025-03-22 Fixed 3.48000000 N N N N N N Goldman Sachs & Co. LLC FOR8UP27PHTHYVLBNG30 000000000 47707624.10000000 OU Notional Amount USD 2950667.93000000 0.346486721900 N/A DCO US N 2 Goldman Sachs & Co. LLC FOR8UP27PHTHYVLBNG30 Bloomberg Commodity Index Total Return Index BCOMTR INDEX Y equity-performance leg 2023-12-29 0.00000000 USD 0.00000000 USD 47707624.10000000 USD 2950667.93000000 N N N HUNTINGTON BANCSHARES 549300XTVCVV9I7B5T19 446150BB9 254000.00000000 PA USD 240526.57000000 0.028244202582 Long DBT CORP US N 2 2028-08-04 Fixed 4.44000000 N N N N N N LLOYDS BANKING GROUP PLC 549300PPXHEU2JF0AM85 53944YAR4 2402000.00000000 PA USD 2303154.51000000 0.270451462221 Long DBT CORP GB N 2 2026-03-18 Fixed 3.51000000 N N N N N N 3650R Commercial Mortgage Trust N/A 88581EAF8 19833260.70000000 PA USD 1025101.91000000 0.120374169115 Long ABS-MBS CORP US N 2 2054-11-15 Variable 1.02000000 N N N N N N MET LIFE GLOB FUNDING I 635400MMSOCXNNNZDZ82 59217GGV5 2146000.00000000 PA USD 2097022.12000000 0.246246049148 Long DBT CORP US Y 2 2024-01-07 Fixed 0.40000000 N N N N N N MFS Institutional Money Market Portfolio 5L2W638H85N8T1136O07 55291X109 141338099.95000000 NS USD 141338099.95000000 16.59684386486 Long STIV RF US N 1 N N N Westlake Automobile Receivables Trust N/A 96042XAC9 588000.00000000 PA USD 587626.86000000 0.069002988222 Long ABS-O CORP US Y 2 2026-06-15 Floating 5.92000000 N N N N N N Chesapeake Funding II LLC 5493000HT7H4OFOD6Z12 165183CU6 1238360.74000000 PA USD 1228478.00000000 0.144255919420 Long ABS-O CORP US Y 2 2035-05-15 Fixed 5.65000000 N N N N N N SUMITOMO MITSUI FINL GRP 35380028MYWPB6AUO129 86562MCC2 801000.00000000 PA USD 781284.43000000 0.091743526362 Long DBT CORP JP N 2 2024-01-12 Fixed 0.51000000 N N N N N N GLP CAPITAL LP / FIN II N/A 361841AJ8 2186000.00000000 PA USD 2151375.51000000 0.252628579603 Long DBT CORP US N 2 2025-06-01 Fixed 5.25000000 N N N N N N CF Hippolyta Issuer LLC N/A 12530MAA3 358249.93000000 PA USD 322663.96000000 0.037889311989 Long ABS-O CORP US Y 2 2060-07-15 Fixed 1.69000000 N N N N N N ERAC USA Finance LLC LTKX5ODQW6Z7BQ2K1V47 26884TAL6 684000.00000000 PA USD 668423.14000000 0.078490615723 Long DBT CORP US Y 2 2024-11-15 Fixed 3.85000000 N N N N N N JDE PEET'S NV 724500EHG519SE5ZRT89 47216QAB9 1050000.00000000 PA USD 915182.99000000 0.107466770801 Long DBT CORP NL Y 2 2027-01-15 Fixed 1.38000000 N N N N N N California Municipal Finance Authority 5493000UQOV6R4ZWS346 13048VQB7 305000.00000000 PA USD 301834.83000000 0.035443419348 Long DBT MUN US N 2 2023-11-01 Fixed 1.61000000 N N N N N N UBS Commercial Mortgage Trust N/A 12508GAV8 6071536.19000000 PA USD 191756.11000000 0.022517256273 Long ABS-MBS CORP US N 2 2050-11-15 Variable 1.01000000 N N N N N N DAIMLER TRUCK FINAN NA 5493003HSDTSCZRXBA58 233853AD2 2671000.00000000 PA USD 2526898.64000000 0.296724960964 Long DBT CORP US Y 2 2024-12-13 Fixed 1.63000000 N N N N N N PLAINS ALL AMER PIPELINE N/A 72650RBD3 673000.00000000 PA USD 669893.23000000 0.078663243303 Long DBT CORP US N 2 2023-10-15 Fixed 3.85000000 N N N N N N Merrill Lynch & Co., Inc. DWW559HN8WVTCCS4VJ94 000000000 117835284.89000000 OU Notional Amount USD 7204061.78000000 0.845948039472 N/A DCO US N 2 Merrill Lynch & Co., Inc. DWW559HN8WVTCCS4VJ94 MLCILPRT Custom Index MLCILPRT WTI 2 7346616.33000000 USD 449147.97000000 USD Gasoline RBOB 2 2118832.87000000 USD 129538.48000000 USD Gold 18844477.77000000 USD 1152089.43000000 USD Brent 9226949.52000000 USD 564105.36000000 USD Soybean Meal 3453202.48000000 USD 211117.45000000 USD Zinc 2 2132219.85000000 USD 130356.91000000 USD Zinc 774673.22000000 USD 47360.97000000 USD Silver 2 4198370.37000000 USD 256674.56000000 USD Aluminum 2 3542377.43000000 USD 216569.31000000 USD Gasoline RBOB 889209.77000000 USD 54363.36000000 USD Kansas Wheat 539537.09000000 USD 32985.52000000 USD Nickel 2 1917825.04000000 USD 117249.52000000 USD Wheat 2 2250572.77000000 USD 137592.62000000 USD Corn 1337658.99000000 USD 81780.07000000 USD Copper Comex 1687066.22000000 USD 103141.68000000 USD Silver 1504805.85000000 USD 91998.88000000 USD Aluminum 1275344.50000000 USD 77970.37000000 USD Copper Comex 2 4659110.33000000 USD 284842.69000000 USD Cotton 1819863.11000000 USD 111260.45000000 USD Natural Gas 2 6368859.58000000 USD 389371.14000000 USD Coffee 935866.11000000 USD 57215.78000000 USD Heating Oil 675225.49000000 USD 41281.07000000 USD Lead 2 789638.80000000 USD 48275.92000000 USD Corn 2 3744250.83000000 USD 228911.19000000 USD Nickel 692834.85000000 USD 42357.65000000 USD Soybean Oil 3660512.87000000 USD 223791.72000000 USD Natural Gas 1940887.53000000 USD 118659.48000000 USD Coffee 2 2572068.72000000 USD 157247.83000000 USD Soybeans 6093232.22000000 USD 372520.19000000 USD Heating Oil 2 1805931.34000000 USD 110408.71000000 USD Kansas Wheat 2 1514305.19000000 USD 92579.64000000 USD Live Cattle 4486718.62000000 USD 274303.23000000 USD Lean Hogs 2204867.12000000 USD 134798.33000000 USD Lead 287842.62000000 USD 17597.75000000 USD Wheat 787630.23000000 USD 48153.12000000 USD WTI 2703221.70000000 USD 165266.09000000 USD Gasoil 878612.04000000 USD 53715.45000000 USD Sugar 3837251.33000000 USD 234596.93000000 USD Gasoil 2 2336814.30000000 USD 142865.14000000 USD Y equity-performance leg 2023-11-17 0.00000000 USD 0.00000000 USD 117835284.89000000 USD 7204061.78000000 N N N BSPRT Issuer, Ltd. N/A 05602CAE4 339000.00000000 PA USD 331594.55000000 0.038938000261 Long ABS-CBDO CORP KY Y 2 2038-12-15 Floating 7.39000000 N N N N N N BPCE SA 9695005MSX1OYEMGDF46 05583JAD4 943000.00000000 PA USD 943663.87000000 0.110811181959 Long DBT CORP FR Y 2 2023-09-12 Floating 6.78000000 N N N N N N United States Treasury 254900HROIFWPRGM1V77 91282CCU3 12453000.00000000 PA USD 12399621.71000000 1.456044658709 Long DBT UST US N 2 2023-08-31 Fixed 0.13000000 N N N N N N LAD Auto Receivables Trust N/A 501687AA5 663402.71000000 PA USD 656191.79000000 0.077054330629 Long ABS-O CORP US Y 2 2027-06-15 Fixed 5.21000000 N N N N N N HOWARD UNIVERSITY N/A 442851AG6 152000.00000000 PA USD 142335.15000000 0.016713924001 Long DBT CORP US N 2 2025-10-01 Fixed 2.52000000 N N N N N N CD Commercial Mortgage Trust N/A 12515DAS3 9491317.10000000 PA USD 329197.79000000 0.038656557030 Long ABS-MBS CORP US N 2 2050-05-10 Variable 1.22000000 N N N N N N VOLKSWAGEN GROUP AMERICA 5493002SQ1AVQBY41K40 928668BL5 1359000.00000000 PA USD 1234755.68000000 0.144993085653 Long DBT CORP US Y 2 2025-11-24 Fixed 1.25000000 N N N N N N REGAL REXNORD CORP QH78R09VCJGQKPBPYU33 758750AC7 2249000.00000000 PA USD 2248282.82000000 0.264008069592 Long DBT CORP US Y 2 2026-02-15 Fixed 6.05000000 N N N N N N ENEL FINANCE INTL NV 0YQH6LCEF474UTUV4B96 29278GAZ1 889000.00000000 PA USD 907849.62000000 0.106605638545 Long DBT CORP NL Y 2 2025-10-14 Fixed 6.80000000 N N N N N N MACQUARIE GROUP LTD ACMHD8HWFMFUIQQ8Y590 55608JAR9 1904000.00000000 PA USD 1704477.27000000 0.200150866124 Long DBT CORP AU Y 2 2027-01-12 Fixed 1.34000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3128PR3G2 5625.85000000 PA USD 5498.04000000 0.000645615806 Long ABS-MBS USGSE US N 2 2025-07-01 Fixed 4.00000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3137B2BP4 2260139.55000000 PA USD 2082616.21000000 0.244554413000 Long ABS-MBS USGSE US N 2 2033-04-15 Fixed 3.00000000 N N N N N N CAPITAL ONE FINANCIAL CO ZUE8T73ROZOF6FLBAR73 14040HCQ6 2319000.00000000 PA USD 2268729.76000000 0.266409082983 Long DBT CORP US N 2 2025-05-09 Fixed 4.17000000 N N N N N N GS Mortgage Securities Trust N/A 36254CAX8 10813496.28000000 PA USD 355905.68000000 0.041792772109 Long ABS-MBS CORP US N 2 2050-08-10 Variable 1.08000000 N N N N N N Madison Park Funding Ltd N/A 55818MBC0 2174539.00000000 PA USD 2154698.51000000 0.253018787991 Long ABS-CBDO CORP KY Y 2 2030-04-19 Floating 7.08000000 N N N N N N Arbor Realty Collateralized Loan Obligation Ltd N/A 03880KAG9 332000.00000000 PA USD 313157.01000000 0.036772943756 Long ABS-CBDO CORP KY Y 2 2034-08-15 Floating 7.19000000 N N N N N N HUNTINGTON NATIONAL BANK 2WHM8VNJH63UN14OL754 44644MAH4 1500000.00000000 PA USD 1468610.31000000 0.172453825415 Long DBT CORP US N 2 2025-11-18 Fixed 5.70000000 N N N N N N Goldman Sachs & Co. LLC FOR8UP27PHTHYVLBNG30 000000000 15000000.00000000 OU Notional Amount USD 593199.61000000 0.069657376965 N/A DCO US N 2 Goldman Sachs & Co. LLC FOR8UP27PHTHYVLBNG30 Bloomberg Commodity Index 3 Month Forward Total Return BCOM3FT INDEX Y equity-performance leg 2024-08-16 0.00000000 USD 0.00000000 USD 15000000.00000000 USD 593199.61000000 N N N PHILIP MORRIS INTL INC HL3H1H2BGXWVG3BSWR90 718172CT4 1300000.00000000 PA USD 1295735.49000000 0.152153733673 Long DBT CORP US N 2 2024-11-15 Fixed 5.13000000 N N N N N N THERMO FISHER SCIENTIFIC HCHV7422L5HDJZCRFL38 883556CS9 4014000.00000000 PA USD 3810586.01000000 0.447463925608 Long DBT CORP US N 2 2024-10-18 Fixed 1.22000000 N N N N N N TENCENT HOLDINGS LTD 254900N4SLUMW4XUYY11 88032WAT3 1551000.00000000 PA USD 1417904.86000000 0.166499659928 Long DBT CORP KY Y 2 2026-01-26 Fixed 1.81000000 N N N N N N Progress Residential Trust N/A 74331FAE1 186000.00000000 PA USD 163468.44000000 0.019195533097 Long ABS-O CORP US Y 2 2038-04-17 Fixed 1.56000000 N N N N N N BACARDI LTD / MARTINI BV N/A 05635JAA8 2239000.00000000 PA USD 2220330.05000000 0.260725672563 Long DBT CORP N/A Y 2 2029-01-15 Fixed 5.25000000 N N N N N N Credit Acceptance Auto Loan Trust N/A 22537CAA7 233091.06000000 PA USD 229095.23000000 0.026901859893 Long ABS-O CORP US Y 2 2030-02-15 Fixed 0.96000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3136APK43 112454.07000000 PA USD 108237.51000000 0.012709956157 Long ABS-MBS USGSE US N 2 2044-05-25 Fixed 2.00000000 N N N N N N VISTRA OPERATIONS CO LLC 549300ZH5GKBTJZ7NM23 92840VAK8 3851000.00000000 PA USD 3792562.23000000 0.445347455508 Long DBT CORP US Y 2 2024-05-13 Fixed 4.88000000 N N N N N N PHILIP MORRIS INTL INC HL3H1H2BGXWVG3BSWR90 718172CU1 591000.00000000 PA USD 589502.12000000 0.069223193513 Long DBT CORP US N 2 2025-11-17 Fixed 5.00000000 N N N N N N EDISON INTERNATIONAL 549300I7ROF15MAEVP56 281020AU1 1686000.00000000 PA USD 1650723.30000000 0.193838723485 Long DBT CORP US N 2 2025-08-15 Fixed 4.70000000 N N N N N N Morgan Stanley & Co. LLC 9R7GPTSO7KV3UQJZQ078 000000000 7672791.79000000 OU Notional Amount USD 7790.47000000 0.000914807927 N/A DCO US N 2 Morgan Stanley & Co. LLC 9R7GPTSO7KV3UQJZQ078 Bloomberg Natural Soybean Meal Subindex Total Return Index BCOMSMT INDEX Y equity-performance leg 2024-02-26 0.00000000 USD 0.00000000 USD 7672791.79000000 USD 7790.47000000 N N N LoanCore 2018-CRE1 Issuer, Ltd. N/A 53946MAC1 273944.50000000 PA USD 273265.67000000 0.032088641776 Long ABS-CBDO CORP KY Y 2 2028-05-15 Floating 6.84000000 N N N N N N UBS Commercial Mortgage Trust N/A 90278KBB6 6537115.66000000 PA USD 237728.09000000 0.027915586762 Long ABS-MBS CORP US N 2 2051-12-15 Variable 0.88000000 N N N N N N CF Hippolyta Issuer LLC N/A 12530MAC9 113393.91000000 PA USD 101660.34000000 0.011937621850 Long ABS-O CORP US Y 2 2060-07-15 Fixed 2.28000000 N N N N N N AREIT CRE Trust N/A 00217VAE0 2563500.00000000 PA USD 2538013.68000000 0.298030161639 Long ABS-CBDO CORP US Y 2 2039-06-17 Floating 8.47000000 N N N N N N Navistar Financial Dealer Note Master Trust 549300S28N49H5RT4J50 63938PBR9 2109000.00000000 PA USD 2112975.89000000 0.248119445138 Long ABS-O CORP US Y 2 2027-05-25 Floating 6.32000000 N N N N N N WESTINGHOUSE AIR BRAKE 06BTX5UWZD0GQ5N5Y745 960386AN0 2070000.00000000 PA USD 2047094.19000000 0.240383185143 Long DBT CORP US N 2 2024-03-15 Fixed 4.40000000 N N N N N N Morgan Stanley Capital I Trust N/A 61692CBK3 8690237.34000000 PA USD 509332.20000000 0.059809117299 Long ABS-MBS CORP US N 2 2054-06-15 Variable 1.21000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3128PR3E7 6512.90000000 PA USD 6427.47000000 0.000754755554 Long ABS-MBS USGSE US N 2 2025-07-01 Fixed 4.00000000 N N N N N N NUTRIEN LTD 5493002QQ7GD21OWF963 67077MBA5 927000.00000000 PA USD 912964.48000000 0.107206258850 Long DBT CORP CA N 2 2028-03-27 Fixed 4.90000000 N N N N N N FED HOME LN DISCOUNT NT 2549001DPIFGXC1TOL40 313384JW0 34106000.00000000 PA USD 34106000.00000000 4.004949529217 Long STIV USGSE US N 2 2023-08-01 None 0.00000000 N N N N N N ERAC USA Finance LLC LTKX5ODQW6Z7BQ2K1V47 26884TAP7 684000.00000000 PA USD 658937.42000000 0.077376740456 Long DBT CORP US Y 2 2025-11-01 Fixed 3.80000000 N N N N N N Allegro CLO Ltd 635400R1GOVCHJ4SNX58 01751EAE8 252269.00000000 PA USD 251695.09000000 0.029555683228 Long ABS-CBDO CORP KY Y 2 2028-10-21 Floating 7.20000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3138ERQS2 158582.55000000 PA USD 148900.59000000 0.017484880895 Long ABS-MBS USGSE US N 2 2031-12-01 Fixed 3.00000000 N N N N N N Morgan Stanley Capital I Trust N/A 61691YAP6 9477118.06000000 PA USD 611718.59000000 0.071831996687 Long ABS-MBS CORP US N 2 2054-05-15 Variable 1.29000000 N N N N N N PFP III N/A 69290LAE7 604469.84000000 PA USD 572888.71000000 0.067272338280 Long ABS-CBDO CORP KY Y 2 2038-04-14 Floating 6.72000000 N N N N N N ELEMENT FLEET MANAGEMENT 5493000PGBS1C22ELQ16 286181AH5 2816000.00000000 PA USD 2829181.72000000 0.332221016759 Long DBT CORP CA Y 2 2026-06-26 Fixed 6.27000000 N N N N N N DEUTSCHE BANK NY 7LTWFZYICNSX8D621K86 251526CG2 3247000.00000000 PA USD 3122878.88000000 0.366708857686 Long DBT CORP DE N 2 2025-04-01 Fixed 1.45000000 N N N N N N JPMORGAN CHASE & CO 8I5DZWZKVSZI1NUHU748 46647PBW5 1700000.00000000 PA USD 1516876.63000000 0.178121572309 Long DBT CORP US N 2 2027-02-04 Fixed 1.04000000 N N N N N N Indian Oil Corp Ltd 335800J8OBWE4VFUDG88 000000000 858000.00000000 PA USD 858000.00000000 0.100751970212 Long DBT CORP IN N 2 2023-08-01 Fixed 5.75000000 N N N N N N AERCAP IRELAND CAP/GLOBA N/A 00774MBB0 1571000.00000000 PA USD 1485447.77000000 0.174430990064 Long DBT CORP IE N 2 2024-10-29 Fixed 1.75000000 N N N N N N BDS Ltd N/A 07335YAG1 577000.00000000 PA USD 550453.33000000 0.064637829262 Long ABS-CBDO CORP KY Y 2 2036-12-16 Floating 7.64000000 N N N N N N JP Morgan Chase Commercial Mortgage Sec Trust N/A 465968AG0 11601964.52000000 PA USD 319724.62000000 0.037544155466 Long ABS-MBS CORP US N 2 2050-09-15 Variable 0.98000000 N N N N N N FIRSTENERGY CORP 549300SVYJS666PQJH88 337932AK3 1202000.00000000 PA USD 1130961.80000000 0.132804929586 Long DBT CORP US N 2 2025-03-01 Fixed 2.05000000 N N N N N N PNC BANK NA AD6GFRVSDT01YPT1CS68 05552JAA7 1122000.00000000 PA USD 1083841.60000000 0.127271767597 Long DBT CORP US N 2 2024-08-27 Fixed 2.50000000 N N N N N N Credit Acceptance Auto Loan Trust N/A 22537CAC3 250000.00000000 PA USD 239292.38000000 0.028099275922 Long ABS-O CORP US Y 2 2030-04-15 Fixed 1.26000000 N N N N N N Dryden Senior Loan Fund 549300VCB8LYR1RGV869 26244QAQ6 1945990.00000000 PA USD 1908000.38000000 0.224049880479 Long ABS-CBDO CORP KY Y 2 2030-07-18 Floating 7.17000000 N N N N N N DT Auto Owner Trust N/A 23346CAA6 1763149.48000000 PA USD 1757691.83000000 0.206399667714 Long ABS-O CORP US Y 2 2027-04-15 Fixed 5.88000000 N N N N N N Credit Acceptance Auto Loan Trust N/A 22535GAB8 312000.00000000 PA USD 294879.44000000 0.034626671975 Long ABS-O CORP US Y 2 2030-07-15 Fixed 1.38000000 N N N N N N LoanCore 2021-CRE5 Issuer, Ltd N/A 53947XAE2 1752500.00000000 PA USD 1699998.61000000 0.199624952582 Long ABS-CBDO CORP KY Y 2 2036-07-15 Floating 7.09000000 N N N N N N WARNERMEDIA HOLDINGS INC 549300DXR29GD4N0A520 55903VBG7 564000.00000000 PA USD 564953.80000000 0.066340569264 Long DBT CORP US N 2 2026-03-15 Fixed 6.41000000 N N N N N N Acres PLC N/A 00500JAE3 1527500.00000000 PA USD 1483383.36000000 0.174188573543 Long ABS-CBDO CORP KY Y 2 2037-01-15 Floating 7.59000000 N N N N N N Bank N/A 06541JAR2 11384727.08000000 PA USD 598879.91000000 0.070324394933 Long ABS-MBS CORP US N 2 2063-06-15 Variable 0.98000000 N N N N N N NATIONAL BANK OF CANADA BSGEFEIOM18Y80CKCV46 63307A2M6 1312000.00000000 PA USD 1290548.60000000 0.151544655134 Long DBT CORP CA N 2 2024-11-15 Fixed 0.55000000 N N N N N N Dell Equipment Finance Trust N/A 24702HAC7 2617000.00000000 PA USD 2603131.21000000 0.305676687796 Long ABS-O CORP US Y 2 2028-09-22 Fixed 5.65000000 N N N N N N Merrill Lynch & Co., Inc. DWW559HN8WVTCCS4VJ94 000000000 35000000.00000000 OU Notional Amount USD 860048.71000000 0.100992543136 N/A DCO US N 2 Merrill Lynch & Co., Inc. DWW559HN8WVTCCS4VJ94 Bloomberg Commodity Index 3 Month Forward Total Return Index BCOMF3T INDEX Y equity-performance leg 2024-08-16 0.00000000 USD 0.00000000 USD 35000000.00000000 USD 860048.71000000 N N N Cutwater Ltd N/A 23222LAN7 449946.09000000 PA USD 449244.17000000 0.052753187918 Long ABS-CBDO CORP KY Y 2 2029-01-15 Floating 6.79000000 N N N N N N Morgan Stanley Capital I Trust N/A 61691RAF3 15617404.16000000 PA USD 519045.99000000 0.060949774036 Long ABS-MBS CORP US N 2 2051-12-15 Variable 0.83000000 N N N N N N BSPRT Issuer, Ltd. N/A 05601HAG9 485000.00000000 PA USD 451804.18000000 0.053053801031 Long ABS-CBDO CORP KY Y 2 2036-03-15 Floating 7.39000000 N N N N N N DEUTSCHE BANK NY 7LTWFZYICNSX8D621K86 251526CS6 169000.00000000 PA USD 172086.94000000 0.020207573721 Long DBT CORP DE N 2 2029-01-18 Fixed 6.72000000 N N N N N N T-MOBILE USA INC 549300V2JRLO5DIFGE82 87264ABB0 2527000.00000000 PA USD 2441610.24000000 0.286709839360 Long DBT CORP US N 2 2025-04-15 Fixed 3.50000000 N N N N N N HYATT HOTELS CORP T27JQIMTYSH41TCD5186 448579AQ5 1067000.00000000 PA USD 1071518.23000000 0.125824676912 Long DBT CORP US N 2 2027-01-30 Fixed 5.75000000 N N N N N N AMGEN INC 62QBXGPJ34PQ72Z12S66 031162DP2 842000.00000000 PA USD 842554.84000000 0.098938298533 Long DBT CORP US N 2 2028-03-02 Fixed 5.15000000 N N N N N N CHARLES SCHWAB CORP 549300VSGCJ7E698NM85 808513CD5 1707000.00000000 PA USD 1721933.98000000 0.202200747157 Long DBT CORP US N 2 2029-05-19 Fixed 5.64000000 N N N N N N GENUINE PARTS CO 549300D46DQVEU651W04 372460AB1 1302000.00000000 PA USD 1228869.58000000 0.144301901304 Long DBT CORP US N 2 2025-02-01 Fixed 1.75000000 N N N N N N HSBC HOLDINGS PLC MLU0ZO3ML4LN2LL2TL39 404280CX5 2840000.00000000 PA USD 2539756.22000000 0.298234782079 Long DBT CORP GB N 2 2027-11-22 Fixed 2.25000000 N N N N N N World OMNI Select Auto Trust N/A 98163UAC4 1808000.00000000 PA USD 1810740.39000000 0.212628976498 Long ABS-O CORP US N 2 2027-03-15 Floating 5.92000000 N N N N N N AMERICAN EXPRESS CO R4PP93JZOLY261QX3811 025816CQ0 859000.00000000 PA USD 815865.80000000 0.095804296945 Long DBT CORP US N 2 2025-03-04 Fixed 2.25000000 N N N N N N WELLS FARGO & COMPANY PBLD0EJDB5FWOLXP3B76 95000U2K8 2599000.00000000 PA USD 2456288.31000000 0.288433434315 Long DBT CORP US N 2 2026-02-11 Fixed 2.16000000 N N N N N N Glencore Funding LLC 213800STG1QDNBY87K49 378272AT5 1146000.00000000 PA USD 1130969.14000000 0.132805791497 Long DBT CORP US Y 2 2024-03-12 Fixed 4.13000000 N N N N N N AERCAP IRELAND CAP/GLOBA N/A 00774MAQ8 1243000.00000000 PA USD 1223336.91000000 0.143652219016 Long DBT CORP IE N 2 2024-02-15 Fixed 3.15000000 N N N N N N Morgan Stanley & Co. LLC 9R7GPTSO7KV3UQJZQ078 000000000 10303235.44000000 OU Notional Amount USD -627616.58000000 -0.07369884262 N/A DCO US N 2 Morgan Stanley & Co. LLC 9R7GPTSO7KV3UQJZQ078 Bloomberg Aluminum Subindex Total Return Index BCOMALTR Index Y equity-performance leg 2023-10-16 0.00000000 USD 0.00000000 USD 10303235.44000000 USD -627616.58000000 N N N EQT CORP 4NT01YGM4X7ZX86ISY52 26884LAQ2 778000.00000000 PA USD 778084.72000000 0.091367795492 Long DBT CORP US N 2 2028-04-01 Fixed 5.70000000 N N N N N N Eni SpA BUCRF72VH5RBN7X3VL35 26874RAG3 1523000.00000000 PA USD 1518675.96000000 0.178332861403 Long DBT CORP IT Y 2 2023-09-12 Fixed 4.00000000 N N N N N N Goldman Sachs & Co. LLC FOR8UP27PHTHYVLBNG30 000000000 3149921.09000000 OU Notional Amount USD 145186.74000000 0.017048776344 N/A DCO US N 2 Goldman Sachs & Co. LLC FOR8UP27PHTHYVLBNG30 Bloomberg Commodity Index Total Return Index BCOMTR INDEX Y equity-performance leg 2024-05-07 0.00000000 USD 0.00000000 USD 3149921.09000000 USD 145186.74000000 N N N JPMorgan Securities LLC ZBUT11V806EZRVTWT807 000000000 19704807.91000000 OU Notional Amount USD 1232804.07000000 0.144763914846 N/A DCO US N 2 JPMorgan Securities LLC ZBUT11V806EZRVTWT807 Bloomberg Commodity Index Total Return Index BCOMTR INDEX Y equity-performance leg 2023-11-18 0.00000000 USD 0.00000000 USD 19704807.91000000 USD 1232804.07000000 N N N AREIT CRE Trust N/A 04002VAG6 894000.00000000 PA USD 862642.95000000 0.101297175760 Long ABS-CBDO CORP KY Y 2 2037-01-20 Floating 7.22000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3137AV5K9 399474.91000000 PA USD 360301.20000000 0.042308922808 Long ABS-MBS USGSE US N 2 2042-07-15 Fixed 2.00000000 N N N N N N TPG Real Estate Finance N/A 87276WAC7 1305000.00000000 PA USD 1264830.80000000 0.148524702896 Long ABS-CBDO CORP KY Y 2 2038-03-15 Floating 6.74000000 N N N N N N STANDARD CHARTERED PLC U4LOSYZ7YG4W3S5F2G91 853254CE8 806000.00000000 PA USD 758687.21000000 0.089090013033 Long DBT CORP GB Y 2 2025-11-23 Fixed 1.82000000 N N N N N N Business Jet Securities, LLC N/A 12327FAA5 131216.78000000 PA USD 122689.00000000 0.014406944607 Long ABS-O CORP US Y 2 2035-11-15 Fixed 2.98000000 N N N N N N OneMain Financial Issuance Trust N/A 68269LAA4 222535.19000000 PA USD 221791.30000000 0.026044184674 Long ABS-O CORP US Y 2 2032-05-14 Fixed 3.84000000 N N N N N N HYATT HOTELS CORP T27JQIMTYSH41TCD5186 448579AL6 2305000.00000000 PA USD 2287565.23000000 0.268620867030 Long DBT CORP US N 2 2023-10-01 Fixed 1.30000000 N N N N N N Southwick Park CLO, Ltd. N/A 846031AQ5 645000.00000000 PA USD 631631.09000000 0.074170252639 Long ABS-CBDO CORP KY Y 2 2032-07-20 Floating 7.09000000 N N N N N N United States Treasury 254900HROIFWPRGM1V77 91282CEQ0 21100000.00000000 PA USD 20288968.75000000 2.382463374292 Long DBT UST US N 2 2025-05-15 Fixed 2.75000000 N N N N N N COREBRIDGE FINANCIAL INC 549300XY1661QCIA7J65 21871XAD1 1613000.00000000 PA USD 1518693.70000000 0.178334944550 Long DBT CORP US N 2 2027-04-05 Fixed 3.65000000 N N N N N N Capital Automotive Reit N/A 12510HAD2 562745.63000000 PA USD 526011.40000000 0.061767698023 Long ABS-O US Y 2 2050-02-15 Fixed 3.19000000 N N N N N N Enterprise Fleet Financing LLC N/A 29375CAB5 1340173.00000000 PA USD 1331879.47000000 0.156397996139 Long ABS-O CORP US Y 2 2029-01-22 Fixed 5.51000000 N N N N N N Barclays Commercial Mortgage Securities LLC N/A 05493MAG9 7453890.00000000 PA USD 548478.10000000 0.064405884840 Long ABS-MBS CORP US N 2 2054-09-15 Variable 1.38000000 N N N N N N CROWN CASTLE INC 54930012H97VSM0I2R19 22822VAZ4 448000.00000000 PA USD 411400.93000000 0.048309387231 Long DBT CORP US N 2 2027-03-15 Fixed 2.90000000 N N N N N N DEUTSCHE BANK NY 7LTWFZYICNSX8D621K86 25160PAN7 958000.00000000 PA USD 977033.85000000 0.114729703207 Long DBT CORP DE N 2 2027-07-13 Fixed 7.15000000 N N N N N N United States Treasury 254900HROIFWPRGM1V77 91282CHH7 40206000.00000000 PA USD 39775670.36000000 4.670719295214 Long DBT UST US N 2 2026-06-15 Fixed 4.13000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31418TKF3 8925.41000000 PA USD 8800.10000000 0.001033365283 Long ABS-MBS USGSE US N 2 2025-05-01 Fixed 4.50000000 N N N N N N BSPRT Issuer, Ltd. N/A 055983AA8 3217000.00000000 PA USD 3179643.87000000 0.373374573982 Long ABS-CBDO CORP KY Y 2 2037-02-15 Floating 6.57000000 N N N N N N FHLMC Multifamily Structured Pass Through Certs. S6XOOCT0IEG5ABCC6L87 3137FTG27 6371063.35000000 PA USD 519913.17000000 0.061051603982 Long ABS-MBS USGSE US N 2 2030-04-25 Variable 1.58000000 N N N N N N World Omni Automobile Lease Securitization Trust N/A 98163NAE6 678000.00000000 PA USD 659705.87000000 0.077466976880 Long ABS-O CORP US N 2 2027-06-15 Fixed 3.67000000 N N N N N N MF1 Multifamily Housing Mortgage Loan Trust N/A 55285AAE7 2988000.00000000 PA USD 2915729.24000000 0.342383992466 Long ABS-CBDO CORP US Y 2 2037-06-19 Floating 8.40000000 N N N N N N PACIFIC GAS & ELECTRIC 1HNPXZSMMB7HMBMVBS46 694308KA4 1838000.00000000 PA USD 1808752.68000000 0.212395566593 Long DBT CORP US N 2 2024-02-16 Fixed 3.25000000 N N N N N N Morgan Stanley & Co. LLC 9R7GPTSO7KV3UQJZQ078 000000000 9845795.49000000 OU Notional Amount USD 358599.75000000 0.042109127424 N/A DCO US N 2 Morgan Stanley & Co. LLC 9R7GPTSO7KV3UQJZQ078 Bloomberg Corn Subindex Total Return Index BCOMCNTR Index Y equity-performance leg 2023-09-29 0.00000000 USD 0.00000000 USD 9845795.49000000 USD 358599.75000000 N N N BARCLAYS PLC 213800LBQA1Y9L22JB70 06738EBQ7 781000.00000000 PA USD 766207.91000000 0.089973142802 Long DBT CORP GB N 2 2024-12-10 Fixed 1.01000000 N N N N N N APA INFRASTRUCTURE LTD 261700SS8OEHDOCOUJ33 00205GAB3 3842000.00000000 PA USD 3739782.86000000 0.439149756773 Long DBT CORP AU Y 2 2025-03-23 Fixed 4.20000000 N N N N N N SUMITOMO MITSUI FINL GRP 35380028MYWPB6AUO129 86562MCM0 2295000.00000000 PA USD 2054973.71000000 0.241308449903 Long DBT CORP JP N 2 2027-01-14 Fixed 2.17000000 N N N N N N Oaktree CLO Ltd 549300BJ8TRWJ20BLC43 67401XAL5 1427638.00000000 PA USD 1402086.14000000 0.164642122392 Long ABS-CBDO CORP KY Y 2 2030-04-22 Floating 7.36000000 N N N N N N Goldman Sachs & Co. LLC FOR8UP27PHTHYVLBNG30 000000000 28902526.33000000 OU Notional Amount USD 1787591.38000000 0.209910668379 N/A DCO US N 2 Goldman Sachs & Co. LLC FOR8UP27PHTHYVLBNG30 Bloomberg Commodity Index Total Return Index BCOMTR INDEX Y equity-performance leg 2024-03-15 0.00000000 USD 0.00000000 USD 28902526.33000000 USD 1787591.38000000 N N N Starwood Commercial Mortgage Trust N/A 78486BAE4 2295000.00000000 PA USD 2113491.43000000 0.248179983216 Long ABS-CBDO CORP KY Y 2 2038-04-18 Floating 7.14000000 N N N N N N GS Mortgage Securities Trust N/A 36253PAE2 10505572.19000000 PA USD 325092.83000000 0.038174525786 Long ABS-MBS CORP US N 2 2050-05-10 Variable 1.01000000 N N N N N N BENCHMARK Mortgage Trust N/A 08163JAG9 14828536.70000000 PA USD 786066.66000000 0.092305087078 Long ABS-MBS CORP US N 2 2054-09-15 Variable 1.04000000 N N N N N N WEC ENERGY GROUP INC 549300IGLYTZUK3PVP70 92939UAF3 1019000.00000000 PA USD 988546.47000000 0.116081590325 Long DBT CORP US N 2 2024-03-15 Fixed 0.80000000 N N N N N N ANGLO AMERICAN CAPITAL TINT358G1SSHR3L3PW36 034863AR1 911000.00000000 PA USD 886923.89000000 0.104148402501 Long DBT CORP GB Y 2 2027-04-10 Fixed 4.75000000 N N N N N N Bank N/A 06542BBN6 10538257.09000000 PA USD 427840.59000000 0.050239839603 Long ABS-MBS CORP US N 2 2054-04-15 Variable 0.78000000 N N N N N N EMERA US FINANCE LP N/A 29103DAS5 1057000.00000000 PA USD 1001175.48000000 0.117564571256 Long DBT CORP US N 2 2024-06-15 Fixed 0.83000000 N N N N N N ENBRIDGE INC 98TPTUM4IVMFCZBCUR27 29250NBQ7 737000.00000000 PA USD 738134.52000000 0.086676581785 Long DBT CORP CA N 2 2026-03-08 Fixed 5.97000000 N N N N N N GRAY OAK PIPELINE LLC N/A 38937LAA9 1453000.00000000 PA USD 1444239.70000000 0.169592069037 Long DBT CORP US Y 2 2023-09-15 Fixed 2.00000000 N N N N N N Morgan Stanley BAML Trust N/A 61767CAW8 9048448.53000000 PA USD 303383.62000000 0.035625288397 Long ABS-MBS CORP US N 2 2050-05-15 Variable 1.25000000 N N N N N N JPMorgan Securities LLC ZBUT11V806EZRVTWT807 000000000 28701650.17000000 OU Notional Amount USD 1650928.35000000 0.193862801797 N/A DCO US N 2 JPMorgan Securities LLC ZBUT11V806EZRVTWT807 Bloomberg Commodity Index 3 Month Forward Total Return Index BCOMF3T INDEX Y equity-performance leg 2024-05-07 0.00000000 USD 0.00000000 USD 28701650.17000000 USD 1650928.35000000 N N N CNH Industrial NV 549300WGC2HZ5J67V817 12594KAA0 962000.00000000 PA USD 961363.66000000 0.112889607034 Long DBT CORP NL N 2 2023-08-15 Fixed 4.50000000 N N N N N N Arbor Realty Collateralized Loan Obligation Ltd N/A 03880KAE4 571500.00000000 PA USD 546208.27000000 0.064139346560 Long ABS-CBDO CORP KY Y 2 2034-08-15 Floating 6.94000000 N N N N N N Merrill Lynch & Co., Inc. DWW559HN8WVTCCS4VJ94 000000000 9830982.57000000 OU Notional Amount USD 579217.72000000 0.068015532018 N/A DCO US N 2 Merrill Lynch & Co., Inc. DWW559HN8WVTCCS4VJ94 Bloomberg Cotton Subindex Total Return Index BCOMCTTR INDEX Y equity-performance leg 2024-07-08 0.00000000 USD 0.00000000 USD 9830982.57000000 USD 579217.72000000 N N N NATIONWIDE BLDG SOCIETY 549300XFX12G42QIKN82 63861VAF4 2445000.00000000 PA USD 2213459.94000000 0.259918939325 Long DBT CORP GB Y 2 2028-02-16 Fixed 2.97000000 N N N N N N Goldman Sachs & Co. LLC FOR8UP27PHTHYVLBNG30 000000000 28720772.18000000 OU Notional Amount USD 1631806.34000000 0.191617370349 N/A DCO US N 2 Goldman Sachs & Co. LLC FOR8UP27PHTHYVLBNG30 Bloomberg Commodity Index 3 Month Forward Total Return Index BCOMF3T INDEX Y equity-performance leg 2024-05-07 0.00000000 USD 0.00000000 USD 28720772.18000000 USD 1631806.34000000 N N N Ballyrock Ltd N/A 05875HAC7 1368365.00000000 PA USD 1341744.32000000 0.157556391330 Long ABS-CBDO CORP KY Y 2 2031-04-20 Floating 7.19000000 N N N N N N Goldman Sachs & Co. LLC FOR8UP27PHTHYVLBNG30 000000000 36000000.00000000 OU Notional Amount USD 884622.89000000 0.103878204035 N/A DCO US N 2 Goldman Sachs & Co. LLC FOR8UP27PHTHYVLBNG30 Bloomberg Commodity Index 3 Month Forward Total Return Index BCOMF3T INDEX Y equity-performance leg 2024-08-16 0.00000000 USD 0.00000000 USD 36000000.00000000 USD 884622.89000000 N N N AmeriCredit Automobile Receivables Trust N/A 03067DAF2 552662.18000000 PA USD 543329.37000000 0.063801287298 Long ABS-O CORP US N 2 2025-10-20 Fixed 1.59000000 N N N N N N BPCE SA 9695005MSX1OYEMGDF46 05583JAF9 943000.00000000 PA USD 940172.89000000 0.110401248260 Long DBT CORP FR Y 2 2023-09-12 Fixed 4.00000000 N N N N N N Enterprise Fleet Financing LLC N/A 29375NAB1 1135000.00000000 PA USD 1130451.60000000 0.132745018566 Long ABS-O CORP US Y 2 2030-04-22 Fixed 5.56000000 N N N N N N BENCHMARK Mortgage Trust N/A 08163HAG3 14497422.79000000 PA USD 989636.12000000 0.116209544153 Long ABS-MBS CORP US N 2 2054-07-15 Variable 1.26000000 N N N N N N VMWARE INC 549300BUDHS3LRWBE814 928563AH8 1476000.00000000 PA USD 1404085.80000000 0.164876935544 Long DBT CORP US N 2 2024-08-15 Fixed 1.00000000 N N N N N N AVOLON HOLDINGS FNDG LTD 635400ZRKEX9L1BKCH30 05401AAK7 892000.00000000 PA USD 869288.09000000 0.102077491549 Long DBT CORP KY Y 2 2026-01-15 Fixed 5.50000000 N N N N N N Barclays Commercial Mortgage Securities LLC N/A 05491UBE7 19248625.79000000 PA USD 599409.91000000 0.070386630999 Long ABS-MBS CORP US Y 2 2051-12-15 Variable 0.75000000 N N N N N N CNH INDUSTRIAL CAP LLC 549300PNSJ5B81UMVO28 12592BAJ3 1726000.00000000 PA USD 1712079.88000000 0.201043614302 Long DBT CORP US N 2 2024-01-15 Fixed 4.20000000 N N N N N N HOWARD UNIVERSITY N/A 442851AF8 123000.00000000 PA USD 118258.27000000 0.013886659319 Long DBT CORP US N 2 2024-10-01 Fixed 2.42000000 N N N N N N WARNERMEDIA HOLDINGS INC 549300DXR29GD4N0A520 55903VAY9 4233000.00000000 PA USD 4089286.22000000 0.480190726605 Long DBT CORP US N 2 2025-03-15 Fixed 3.79000000 N N N N N N Arbor Realty Collateralized Loan Obligation Ltd N/A 03880RAE9 1684000.00000000 PA USD 1636703.01000000 0.192192369359 Long ABS-CBDO CORP KY Y 2 2036-11-15 Floating 7.34000000 N N N N N N WESTERN MIDSTREAM OPERAT L6D8A6MLSY454J2JXJ60 958667AB3 1082000.00000000 PA USD 1034235.11000000 0.121446649178 Long DBT CORP US N 2 2025-02-01 Fixed 3.10000000 N N N N N N Merrill Lynch & Co., Inc. DWW559HN8WVTCCS4VJ94 000000000 4168080.25000000 OU Notional Amount USD 970295.27000000 0.113938415082 N/A DCO US N 2 Merrill Lynch & Co., Inc. DWW559HN8WVTCCS4VJ94 Bloomberg Commodity Index BCOM Index Y equity-performance leg 2023-08-08 0.00000000 USD 0.00000000 USD 4168080.25000000 USD 970295.27000000 N N N UBS GROUP AG 549300SZJ9VS8SGXAN81 902613AU2 1513000.00000000 PA USD 1510577.91000000 0.177381935421 Long DBT CORP CH Y 2 2027-01-12 Fixed 5.71000000 N N N N N N Merrill Lynch & Co., Inc. DWW559HN8WVTCCS4VJ94 000000000 88370256.60000000 OU Notional Amount USD 5020856.06000000 0.589581748483 N/A DCO US N 2 Merrill Lynch & Co., Inc. DWW559HN8WVTCCS4VJ94 Bloomberg Commodity Index 3 Month Forward Total Return Index BCOMF3T INDEX Y equity-performance leg 2024-07-15 0.00000000 USD 0.00000000 USD 88370256.60000000 USD 5020856.06000000 N N N ROSS STORES INC 549300ENZFLPGRDFZQ60 778296AF0 926000.00000000 PA USD 821599.71000000 0.096477610149 Long DBT CORP US N 2 2026-04-15 Fixed 0.88000000 N N N N N N 2023-08-21 MFS SERIES TRUST XV Kasey Phillips Kasey Phillips Assistant Treasurer XXXX