0001752724-23-289800.txt : 20231226
0001752724-23-289800.hdr.sgml : 20231226
20231226084007
ACCESSION NUMBER: 0001752724-23-289800
CONFORMED SUBMISSION TYPE: NPORT-P
PUBLIC DOCUMENT COUNT: 1
CONFORMED PERIOD OF REPORT: 20231031
FILED AS OF DATE: 20231226
DATE AS OF CHANGE: 20231226
PERIOD START: 20231031
FILER:
COMPANY DATA:
COMPANY CONFORMED NAME: MFS SERIES TRUST XV
CENTRAL INDEX KEY: 0000764719
ORGANIZATION NAME:
IRS NUMBER: 000000000
STATE OF INCORPORATION: MA
FISCAL YEAR END: 1031
FILING VALUES:
FORM TYPE: NPORT-P
SEC ACT: 1940 Act
SEC FILE NUMBER: 811-04253
FILM NUMBER: 231511439
BUSINESS ADDRESS:
STREET 1: 111 HUNTINGTON AVENUE
STREET 2: 21ST FLOOR
CITY: BOSTON
STATE: MA
ZIP: 02199
BUSINESS PHONE: 18006372929
MAIL ADDRESS:
STREET 1: 111 HUNTINGTON AVENUE
STREET 2: 21ST FLOOR
CITY: BOSTON
STATE: MA
ZIP: 02199
FORMER COMPANY:
FORMER CONFORMED NAME: MFS GOVERNMENT LIMITED MATURITY FUND /MA/
DATE OF NAME CHANGE: 19930623
FORMER COMPANY:
FORMER CONFORMED NAME: MFS GOVERNMENT PREMIUM FUND
DATE OF NAME CHANGE: 19930408
FORMER COMPANY:
FORMER CONFORMED NAME: MFS GOVERNMENT PREMIUM ACCOUNT
DATE OF NAME CHANGE: 19920703
0000764719
S000028958
MFS Commodity Strategy Fund
C000088951
A
MCSAX
C000088952
B
MCSFX
C000088953
C
MCSHX
C000088954
I
MCSIX
C000088955
R1
MCSNX
C000088956
R2
MCSOX
C000088957
R3
MCSQX
C000088958
R4
MCSTX
C000119775
R6
MCSRX
NPORT-P
1
primary_doc.xml
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
2023-10-31
N
782310692.72
8243224.61
774067468.11
0.00000000
143481964.04000000
0.00000000
0.00000000
0.00000000
0.00000000
0.00000000
0.00000000
0.00000000
0.00000000
0.00000000
0.00000000
0.00000000
9863675.63000000
USD
N
Bloomberg Commodity Index
BCOM
Merrill Lynch & Co., Inc.
DWW559HN8WVTCCS4VJ94
Long: TR11431 TRS USD R E TR11431R / Short: TR11431 TRS USD P V 03MTBILL TR11431P/USB3MTA+7.5BPS
000000000
6996669.38000000
OU
Notional Amount
USD
-417189.62000000
-0.05389576970
N/A
DCO
US
N
2
Merrill Lynch & Co., Inc.
DWW559HN8WVTCCS4VJ94
Bloomberg Unleaded Gasoline Subindex Total Return Index
BCOMRBTR INDEX
Y
equity-performance leg
2024-09-06
0.00000000
USD
0.00000000
USD
6996669.38000000
USD
-417189.62000000
N
N
N
ELEMENT FLEET MANAGEMENT
5493000PGBS1C22ELQ16
Element Fleet Management Corp
286181AF9
6310000.00000000
PA
USD
6174311.34000000
0.797645114201
Long
DBT
CORP
CA
Y
2
2024-04-06
Fixed
1.60000000
N
N
N
N
N
N
Goldman Sachs & Co. LLC
FOR8UP27PHTHYVLBNG30
Long: TR11358 TRS USD R E TR11358R / Short: TR11358 TRS USD P V 03MTBILL TR11358P/USB3MTA+10BPS
000000000
11710236.53000000
OU
Notional Amount
USD
1429354.58000000
0.184655038337
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
11710236.53000000
USD
1429354.58000000
N
N
N
NATWEST GROUP PLC
2138005O9XJIJN4JPN90
NatWest Group PLC
780097BK6
2276000.00000000
PA
USD
2253103.19000000
0.291073231058
Long
DBT
CORP
GB
N
2
2025-03-22
Fixed
4.27000000
N
N
N
N
N
N
Shelter Growth CRE
N/A
Shelter Growth CRE Issuer Ltd
822866AG4
2649500.00000000
PA
USD
2507881.84000000
0.323987500226
Long
ABS-CBDO
CORP
KY
Y
2
2036-09-15
Floating
7.60000000
N
N
N
N
N
N
Progress Residential Trust
N/A
Progress Residential 2021-SFR1
74331FAC5
248000.00000000
PA
USD
218885.15000000
0.028277270266
Long
ABS-O
CORP
US
Y
2
2038-04-17
Fixed
1.30000000
N
N
N
N
N
N
GLS Auto Receivables Trust
N/A
GLS Auto Receivables Issuer Trust 2021-3
36263LAC3
200176.62000000
PA
USD
199321.05000000
0.025749829079
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
ACREC 2021-FL1 Ltd
00500RAC9
1812000.00000000
PA
USD
1759563.44000000
0.227313963251
Long
ABS-CBDO
CORP
KY
Y
2
2036-10-16
Floating
6.95000000
N
N
N
N
N
N
Merrill Lynch & Co., Inc.
DWW559HN8WVTCCS4VJ94
Long: TR11413 TRS USD R E TR11413R / Short: TR11413 TRS USD P V 03MTBILL TR11413P/USB3MTA+10BPS
000000000
9348074.90000000
OU
Notional Amount
USD
342002.81000000
0.044182558251
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
9348074.90000000
USD
342002.81000000
N
N
N
GS Mortgage Securities Trust
N/A
GS Mortgage Securities Trust 2020-GC47
36258RBC6
8632804.03000000
PA
USD
475995.55000000
0.061492772866
Long
ABS-MBS
CORP
US
N
2
2053-05-12
Variable
1.13000000
N
N
N
N
N
N
GLENCORE FUNDING LLC
213800STG1QDNBY87K49
Glencore Funding LLC
378272BD9
1675000.00000000
PA
USD
1508709.89000000
0.194906768745
Long
DBT
CORP
US
Y
2
2026-04-27
Fixed
1.63000000
N
N
N
N
N
N
Massachusetts Educational Financing Authority
5493007K5OP7V6CL0Y88
MASSACHUSETTS ST EDUCTNL FING AUTH
57563RQY8
250000.00000000
PA
USD
236678.03000000
0.030575891605
Long
DBT
MUN
US
N
2
2025-07-01
Fixed
2.31000000
N
N
N
N
N
N
HYATT HOTELS CORP
T27JQIMTYSH41TCD5186
Hyatt Hotels Corp
448579AN2
1976000.00000000
PA
USD
1900892.65000000
0.245571959591
Long
DBT
CORP
US
N
2
2024-10-01
Fixed
1.80000000
N
N
N
N
N
N
CNH INDUSTRIAL CAP LLC
549300PNSJ5B81UMVO28
CNH Industrial Capital LLC
12592BAL8
448000.00000000
PA
USD
411140.15000000
0.053114252560
Long
DBT
CORP
US
N
2
2026-01-15
Fixed
1.88000000
N
N
N
N
N
N
REGAL REXNORD CORP
QH78R09VCJGQKPBPYU33
Regal Rexnord Corp
758750AD5
1366000.00000000
PA
USD
1306706.05000000
0.168810356181
Long
DBT
CORP
US
Y
2
2028-04-15
Fixed
6.05000000
N
N
N
N
N
N
MITSUBISHI UFJ FIN GRP
353800V2V8PUY9TK3E06
Mitsubishi UFJ Financial Group Inc
606822CA0
1264000.00000000
PA
USD
1200047.89000000
0.155031433232
Long
DBT
CORP
JP
N
2
2025-10-11
Fixed
0.96000000
N
N
N
N
N
N
WELLS FARGO & COMPANY
PBLD0EJDB5FWOLXP3B76
Wells Fargo & Co
95000U2V4
3868000.00000000
PA
USD
3526744.89000000
0.455612079733
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
Palmer Square Loan Funding 2023-1 Ltd
69703DAC0
2888785.00000000
PA
USD
2881204.83000000
0.372216240663
Long
ABS-CBDO
CORP
KY
Y
2
2031-07-20
Floating
7.76000000
N
N
N
N
N
N
TRANSCANADA PIPELINES
5BV01I6231JPDAPMGH09
TransCanada PipeLines Ltd
89352HBE8
1410000.00000000
PA
USD
1409127.63000000
0.182041965080
Long
DBT
CORP
CA
N
2
2026-03-09
Fixed
6.20000000
N
N
N
N
N
N
ARI Fleet Lease Trust
N/A
ARI Fleet Lease Trust 2023-B
04033GAB3
520918.00000000
PA
USD
520982.07000000
0.067304478157
Long
ABS-O
CORP
US
Y
2
2032-07-15
Fixed
6.05000000
N
N
N
N
N
N
IQVIA INC
549300PLWY28YB00C717
IQVIA Inc
46266TAB4
788000.00000000
PA
USD
756480.00000000
0.097727915351
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
Credit Acceptance Auto Loan Trust 2021-4
22535BAA1
318000.00000000
PA
USD
309523.42000000
0.039986620385
Long
ABS-O
CORP
US
Y
2
2030-10-15
Fixed
1.26000000
N
N
N
N
N
N
HYUNDAI CAPITAL AMERICA
549300RIPPWJB5Z0FK07
Hyundai Capital America
44891ABR7
249000.00000000
PA
USD
246521.30000000
0.031847521069
Long
DBT
CORP
US
Y
2
2024-01-08
Fixed
0.80000000
N
N
N
N
N
N
Merrill Lynch & Co., Inc.
DWW559HN8WVTCCS4VJ94
Long: TR11429 TRS USD R E TR11429R / Short: TR11429 TRS USD P V 03MTBILL TR11429P/USB3MTA+7BPS
000000000
9841633.09000000
OU
Notional Amount
USD
-537087.09000000
-0.06938504873
N/A
DCO
US
N
2
Merrill Lynch & Co., Inc.
DWW559HN8WVTCCS4VJ94
Bloomberg Brent Crude Subindex Total Return Index
BCOMCOT INDEX
Y
equity-performance leg
2024-09-06
0.00000000
USD
0.00000000
USD
9841633.09000000
USD
-537087.09000000
N
N
N
TPG Real Estate Finance
N/A
TRTX 2021-FL4 Issuer Ltd
87276WAE3
2749000.00000000
PA
USD
2653037.91000000
0.342739879829
Long
ABS-CBDO
CORP
KY
Y
2
2038-03-15
Floating
7.30000000
N
N
N
N
N
N
AREIT CRE Trust
N/A
AREIT 2019-CRE3 Trust
00217LAE2
303000.00000000
PA
USD
292016.86000000
0.037724988070
Long
ABS-CBDO
CORP
US
Y
2
2036-09-14
Floating
7.00000000
N
N
N
N
N
N
New Jersey Transportation Trust Fund Authority
549300YUVD5TEXR6L889
NEW JERSEY ST TRANSPRTN TRUST FUND AUTH
6461366Q9
450000.00000000
PA
USD
441575.78000000
0.057046161761
Long
DBT
MUN
US
N
2
2024-06-15
Fixed
2.63000000
N
N
N
N
N
N
BDS Ltd
N/A
BDS 2021-FL10 Ltd
07335YAE6
793500.00000000
PA
USD
767076.21000000
0.099096815407
Long
ABS-CBDO
CORP
KY
Y
2
2036-12-16
Floating
7.40000000
N
N
N
N
N
N
VOLKSWAGEN GROUP AMERICA
5493002SQ1AVQBY41K40
Volkswagen Group of America Finance LLC
928668BE1
2014000.00000000
PA
USD
1931019.88000000
0.249464027304
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
BBCMS Trust 2021-C10
05551VBK8
7318586.92000000
PA
USD
450530.02000000
0.058202939480
Long
ABS-MBS
CORP
US
N
2
2054-07-15
Variable
1.29000000
N
N
N
N
N
N
JPMorgan Securities LLC
ZBUT11V806EZRVTWT807
Long: TR11411 TRS USD R E TR11411R / Short: TR11411 TRS USD P V 03MTBILL TR11411P/USB3MTA+9BPS
000000000
35112640.51000000
OU
Notional Amount
USD
203538.16000000
0.026294627843
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
35112640.51000000
USD
203538.16000000
N
N
N
STELLANTIS FIN US INC
549300QZ0AI8Q7LNON33
Stellantis Finance US Inc
85855CAA8
1276000.00000000
PA
USD
1108173.88000000
0.143162440698
Long
DBT
CORP
US
Y
2
2027-01-29
Fixed
1.71000000
N
N
N
N
N
N
SUMITOMO MITSUI TR BK LT
5493006GGLR4BTEL8O61
Sumitomo Mitsui Trust Bank Ltd
86563VAU3
1334000.00000000
PA
USD
1307084.27000000
0.168859217555
Long
DBT
CORP
JP
Y
2
2024-03-25
Fixed
0.85000000
N
N
N
N
N
N
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
Long: TR11283 TRS USD R V 03MTBILL USBEMTA +2 BPS / Short: TR11283 TRS USD P E P E
000000000
8439062.79000000
OU
Notional Amount
USD
-622828.11000000
-0.08046173436
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
8439062.79000000
USD
-622828.11000000
N
N
N
Commerical Equipment Finance 2021-A, LLC
N/A
Commercial Equipment Finance 2021-A LLC
20166QAA8
349218.90000000
PA
USD
339832.28000000
0.043902152460
Long
ABS-O
CORP
US
Y
2
2027-02-16
Fixed
2.05000000
N
N
N
N
N
N
DAE FUNDING LLC
635400SZTPQL3Y1P2C76
DAE Funding LLC
23371DAJ3
796000.00000000
PA
USD
765452.93000000
0.098887107588
Long
DBT
CORP
US
Y
2
2024-08-01
Fixed
1.55000000
N
N
N
N
N
N
OneMain Financial Issuance Trust
N/A
OneMain Financial Issuance Trust 2022-S1
68267HAA5
1170000.00000000
PA
USD
1114326.14000000
0.143957237050
Long
ABS-O
CORP
US
Y
2
2035-05-14
Fixed
4.13000000
N
N
N
N
N
N
NORDSTROM INC
549300S3IZB5P35KNV16
Nordstrom Inc
655664AX8
832000.00000000
PA
USD
812240.00000000
0.104931421802
Long
DBT
CORP
US
N
2
2024-04-08
Fixed
2.30000000
N
N
N
N
N
N
AIB GROUP PLC
635400AKJBGNS5WNQL34
AIB Group PLC
00135TAC8
2182000.00000000
PA
USD
2208812.29000000
0.285351391319
Long
DBT
CORP
IE
Y
2
2026-10-14
Fixed
7.58000000
N
N
N
N
N
N
GLENCORE FUNDING LLC
213800STG1QDNBY87K49
Glencore Funding LLC
378272AX6
2677000.00000000
PA
USD
2472232.39000000
0.319382029584
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
OSD CLO 2023-27 Ltd
671027AC4
1609161.00000000
PA
USD
1602423.44000000
0.207013407230
Long
ABS-CBDO
CORP
KY
Y
2
2035-04-16
Floating
7.79000000
N
N
N
N
N
N
BARCLAYS PLC
213800LBQA1Y9L22JB70
Barclays PLC
06738EBL8
759000.00000000
PA
USD
715979.70000000
0.092495774528
Long
DBT
CORP
GB
N
2
2026-05-07
Fixed
2.85000000
N
N
N
N
N
N
HSBC HOLDINGS PLC
MLU0ZO3ML4LN2LL2TL39
HSBC Holdings PLC
404280CM9
860000.00000000
PA
USD
757500.55000000
0.097859757864
Long
DBT
CORP
GB
N
2
2027-05-24
Fixed
1.59000000
N
N
N
N
N
N
Massachusetts Educational Financing Authority
5493007K5OP7V6CL0Y88
MASSACHUSETTS ST EDUCTNL FING AUTH
57563RQX0
320000.00000000
PA
USD
312663.14000000
0.040392233607
Long
DBT
MUN
US
N
2
2024-07-01
Fixed
2.16000000
N
N
N
N
N
N
VOLKSWAGEN GROUP AMERICA
5493002SQ1AVQBY41K40
Volkswagen Group of America Finance LLC
928668BA9
878000.00000000
PA
USD
852300.55000000
0.110106752332
Long
DBT
CORP
US
Y
2
2024-09-26
Fixed
2.85000000
N
N
N
N
N
N
Ballyrock Ltd
N/A
Ballyrock CLO 2018-1 Ltd
05875HAE3
579877.00000000
PA
USD
565307.80000000
0.073030817504
Long
ABS-CBDO
CORP
KY
Y
2
2031-04-20
Floating
7.58000000
N
N
N
N
N
N
PFP III
N/A
PFP 2021-7 Ltd
69290LAG2
191490.44000000
PA
USD
185156.32000000
0.023919920113
Long
ABS-CBDO
CORP
KY
Y
2
2038-04-14
Floating
7.10000000
N
N
N
N
N
N
Arbor Realty Collateralized Loan Obligation Ltd
N/A
Arbor Realty Commercial Real Estate Notes 2021-FL4 Ltd
03880RAG4
1014000.00000000
PA
USD
973555.09000000
0.125771348119
Long
ABS-CBDO
CORP
KY
Y
2
2036-11-15
Floating
7.75000000
N
N
N
N
N
N
Michigan Finance Authority
54930022O46HOX5J1D14
MICHIGAN ST FIN AUTH REVENUE
59447TH89
331602.88000000
PA
USD
309027.02000000
0.039922491608
Long
DBT
MUN
US
N
2
2030-06-01
Fixed
2.33000000
N
N
N
N
N
N
EQUINIX INC
549300EVUN2BTLJ3GT74
Equinix Inc
29444UBF2
972000.00000000
PA
USD
896588.71000000
0.115828238097
Long
DBT
CORP
US
N
2
2025-07-15
Fixed
1.25000000
N
N
N
N
N
N
SUMITOMO MITSUI FINL GRP
35380028MYWPB6AUO129
Sumitomo Mitsui Financial Group Inc
86562MCA6
1675000.00000000
PA
USD
1551450.44000000
0.200428322325
Long
DBT
CORP
JP
N
2
2025-07-08
Fixed
1.47000000
N
N
N
N
N
N
MF1 Multifamily Housing Mortgage Loan Trust
N/A
MF1 2022-FL8 Ltd
55284JAG4
941914.00000000
PA
USD
902509.03000000
0.116593070653
Long
ABS-CBDO
CORP
KY
Y
2
2037-02-19
Floating
7.53000000
N
N
N
N
N
N
US BANCORP
N1GZ7BBF3NP8GI976H15
US Bancorp
91159HJP6
2991000.00000000
PA
USD
3013373.16000000
0.389290763937
Long
DBT
CORP
US
N
2
2027-10-26
Fixed
6.79000000
N
N
N
N
N
N
Arbor Realty Collateralized Loan Obligation Ltd
N/A
Arbor Realty Commercial Real Estate Notes 2022-FL1 Ltd
03880XAG1
2695500.00000000
PA
USD
2574555.61000000
0.332600931581
Long
ABS-CBDO
CORP
KY
Y
2
2037-01-15
Floating
7.62000000
N
N
N
N
N
N
AmeriCredit Automobile Receivables Trust
N/A
AmeriCredit Automobile Receivables Trust 2022-2
03065WAB1
570382.05000000
PA
USD
567635.32000000
0.073331504472
Long
ABS-O
CORP
US
N
2
2025-12-18
Fixed
4.20000000
N
N
N
N
N
N
United States Treasury
254900HROIFWPRGM1V77
United States Treasury Note/Bond
91282CEK3
25217000.00000000
PA
USD
24845640.34000000
3.209751263757
Long
DBT
UST
US
N
2
2024-04-30
Fixed
2.50000000
N
N
N
N
N
N
PACIFIC GAS & ELECTRIC
1HNPXZSMMB7HMBMVBS46
Pacific Gas and Electric Co
694308JY4
854000.00000000
PA
USD
852635.10000000
0.110149972079
Long
DBT
CORP
US
N
2
2023-11-15
Fixed
1.70000000
N
N
N
N
N
N
Barclays Commercial Mortgage Securities LLC
N/A
BBCMS Mortgage Trust 2021-C9
05493EAZ5
11289195.99000000
PA
USD
911706.44000000
0.117781262946
Long
ABS-MBS
CORP
US
N
2
2054-02-15
Variable
1.61000000
N
N
N
N
N
N
NextGear Floorplan Master Owner Trust
N/A
NextGear Floorplan Master Owner Trust
65341KBS4
1387000.00000000
PA
USD
1388470.77000000
0.179373352737
Long
ABS-O
CORP
US
Y
2
2027-03-15
Floating
6.37000000
N
N
N
N
N
N
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
Long: TR11370 TRS USD R V 03MTBILL TR11370R/USB3MTA-2BPS / Short: TR11370 TRS USD P E TR11370P
000000000
10113828.64000000
OU
Notional Amount
USD
314125.43000000
0.040581143497
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
10113828.64000000
USD
314125.43000000
N
N
N
Goldman Sachs & Co. LLC
FOR8UP27PHTHYVLBNG30
Long: TR11408 TRS USD R E TR11408R / Short: TR11408 TRS USD P V 03MTBILL TR11408P/USB3MTA+6.5BPS
000000000
30853818.47000000
OU
Notional Amount
USD
97618.53000000
0.012611113891
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
30853818.47000000
USD
97618.53000000
N
N
N
Massachusetts Educational Financing Authority
5493007K5OP7V6CL0Y88
MASSACHUSETTS ST EDUCTNL FING AUTH
57563RQZ5
315000.00000000
PA
USD
290658.25000000
0.037549472361
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
KENTUCKY ST HGR EDU STUDENT LOAN CORP
49130NGL7
2265000.00000000
PA
USD
2040286.41000000
0.263579919587
Long
DBT
MUN
US
N
2
2037-06-01
Fixed
5.95000000
N
N
N
N
N
N
FIRSTENERGY CORP
549300SVYJS666PQJH88
FirstEnergy Corp
337932AN7
734000.00000000
PA
USD
660657.11000000
0.085348776071
Long
DBT
CORP
US
N
2
2026-01-15
Fixed
1.60000000
N
N
N
N
N
N
HUNTINGTON NATIONAL BANK
2WHM8VNJH63UN14OL754
Huntington National Bank/The
44644MAD3
2090000.00000000
PA
USD
2029823.07000000
0.262228184702
Long
DBT
CORP
US
N
2
2025-05-16
Fixed
4.01000000
N
N
N
N
N
N
Arbor Realty Collateralized Loan Obligation Ltd
N/A
Arbor Realty Commercial Real Estate Notes 2021-FL1 Ltd
03881CAE1
375500.00000000
PA
USD
364561.31000000
0.047096839102
Long
ABS-CBDO
CORP
KY
Y
2
2035-12-15
Floating
6.95000000
N
N
N
N
N
N
BSPRT Issuer, Ltd.
N/A
BSPRT 2022-FL8 Issuer Ltd
055983AG5
719500.00000000
PA
USD
688056.70000000
0.088888466231
Long
ABS-CBDO
CORP
KY
Y
2
2037-02-15
Floating
7.62000000
N
N
N
N
N
N
ACREC 2021-FL1 Ltd.
N/A
ACREC 2021-FL1 Ltd
00500RAE5
1406000.00000000
PA
USD
1356532.98000000
0.175247382933
Long
ABS-CBDO
CORP
KY
Y
2
2036-10-16
Floating
7.25000000
N
N
N
N
N
N
GLP CAPITAL LP / FIN II
N/A
GLP Capital LP / GLP Financing II Inc
361841AH2
405000.00000000
PA
USD
388152.77000000
0.050144565685
Long
DBT
CORP
US
N
2
2026-04-15
Fixed
5.38000000
N
N
N
N
N
N
7-ELEVEN INC
549300K23JPL0SS3LB18
7-Eleven Inc
817826AB6
2125000.00000000
PA
USD
2093420.59000000
0.270444202378
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
Credit Acceptance Auto Loan Trust 2021-4
22535BAC7
584000.00000000
PA
USD
549330.02000000
0.070966684769
Long
ABS-O
CORP
US
Y
2
2030-12-16
Fixed
1.74000000
N
N
N
N
N
N
JPMorgan Securities LLC
ZBUT11V806EZRVTWT807
Long: TR11287 TRS USD R E R E / Short: TR11287 TRS USD P V 03MTBILL USB3MTA +7 BPS
000000000
103557405.07000000
OU
Notional Amount
USD
327642.57000000
0.042327391796
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
103557405.07000000
USD
327642.57000000
N
N
N
Brookfield Finance Inc
549300XH8D8K6OYWGD17
Brookfield Finance Inc
11271LAC6
4053000.00000000
PA
USD
3694535.41000000
0.477288551994
Long
DBT
CORP
CA
N
2
2028-01-25
Fixed
3.90000000
N
N
N
N
N
N
JDE PEET'S NV
724500EHG519SE5ZRT89
JDE Peet's NV
47216QAA1
2980000.00000000
PA
USD
2839942.65000000
0.366885674311
Long
DBT
CORP
NL
Y
2
2024-09-24
Fixed
0.80000000
N
N
N
N
N
N
Balboa Bay Loan Funding Ltd
549300MALKZHG9DP8554
Balboa Bay Loan Funding 2020-1 Ltd
05766BAL2
1606204.00000000
PA
USD
1569629.13000000
0.202776785573
Long
ABS-CBDO
CORP
KY
Y
2
2032-01-20
Floating
7.32000000
N
N
N
N
N
N
Jamestown CLO Ltd
N/A
Jamestown CLO XV Ltd
47050EAE9
3069116.00000000
PA
USD
2977687.03000000
0.384680554689
Long
ABS-CBDO
CORP
KY
Y
2
2033-04-15
Floating
8.11000000
N
N
N
N
N
N
CORPORATE OFFICE PROP LP
H0TWO5VRNEP6CQAWPX27
Corporate Office Properties LP
22003BAL0
2617000.00000000
PA
USD
2366490.74000000
0.305721508459
Long
DBT
CORP
US
N
2
2026-03-15
Fixed
2.25000000
N
N
N
N
N
N
Goldman Sachs & Co. LLC
FOR8UP27PHTHYVLBNG30
Long: TR11474 TRS USD R V 03MTBILL TR11474R/USB3MTA-5BPS / Short: TR11474 TRS USD P E TR11474P
000000000
13640507.40000000
OU
Notional Amount
USD
647175.19000000
0.083607077762
N/A
DCO
US
N
2
Goldman Sachs & Co. LLC
FOR8UP27PHTHYVLBNG30
Bloomberg Kansas Wheat Subindex Total Return
BCOMKWT INDEX
Y
equity-performance leg
2024-10-18
0.00000000
USD
0.00000000
USD
13640507.40000000
USD
647175.19000000
N
N
N
DELL INT LLC / EMC CORP
N/A
Dell International LLC / EMC Corp
24703TAB2
1151000.00000000
PA
USD
1134918.34000000
0.146617496117
Long
DBT
CORP
US
N
2
2024-07-15
Fixed
4.00000000
N
N
N
N
N
N
OneMain Financial Issuance Trust
N/A
OneMain Financial Issuance Trust 2020-2
682696AA7
1819000.00000000
PA
USD
1628386.81000000
0.210367555424
Long
ABS-O
CORP
US
Y
2
2035-09-14
Fixed
1.75000000
N
N
N
N
N
N
ENBRIDGE INC
98TPTUM4IVMFCZBCUR27
Enbridge Inc
29250NBL8
1542000.00000000
PA
USD
1474791.24000000
0.190524896182
Long
DBT
CORP
CA
N
2
2025-02-14
Fixed
2.50000000
N
N
N
N
N
N
Bank
N/A
BANK 2019-BNK24
06540VBC8
8995250.87000000
PA
USD
278374.23000000
0.035962528005
Long
ABS-MBS
CORP
US
N
2
2062-11-15
Variable
0.64000000
N
N
N
N
N
N
LPL HOLDINGS INC
549300Z5YF8CCRMYUL26
LPL Holdings Inc
50212YAD6
1416000.00000000
PA
USD
1217570.82000000
0.157295180350
Long
DBT
CORP
US
Y
2
2029-03-15
Fixed
4.00000000
N
N
N
N
N
N
Credit Acceptance Auto Loan Trust
N/A
Credit Acceptance Auto Loan Trust 2021-3
22535GAC6
250000.00000000
PA
USD
234909.50000000
0.030347419272
Long
ABS-O
CORP
US
Y
2
2030-09-16
Fixed
1.63000000
N
N
N
N
N
N
COREBRIDGE FINANCIAL INC
549300XY1661QCIA7J65
Corebridge Financial Inc
21871XAB5
1146000.00000000
PA
USD
1101827.27000000
0.142342536715
Long
DBT
CORP
US
N
2
2025-04-04
Fixed
3.50000000
N
N
N
N
N
N
CNH Equipment Trust
N/A
CNH Equipment Trust 2023-A
12664QAB0
824473.00000000
PA
USD
820036.26000000
0.105938602742
Long
ABS-O
CORP
US
N
2
2026-09-15
Fixed
5.34000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138ERQU7
76717.73000000
PA
USD
71575.72000000
0.009246703026
Long
ABS-MBS
USGSE
US
N
2
2031-12-01
Fixed
3.00000000
N
N
N
N
N
N
UNICREDIT SPA
549300TRUWO2CD2G5692
UniCredit SpA
904678AU3
2522000.00000000
PA
USD
2311490.32000000
0.298616130405
Long
DBT
CORP
IT
Y
2
2026-09-22
Fixed
2.57000000
N
N
N
N
N
N
SK HYNIX INC
988400XAIK6XISWQV045
SK Hynix Inc
78392BAD9
2977000.00000000
PA
USD
2966094.12000000
0.383182893248
Long
DBT
CORP
KR
Y
2
2026-01-17
Fixed
6.25000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31416CC61
568.24000000
PA
USD
560.53000000
0.000072413584
Long
ABS-MBS
USGSE
US
N
2
2024-04-01
Fixed
4.50000000
N
N
N
N
N
N
BNP PARIBAS
R0MUWSFPU8MPRO8K5P83
BNP Paribas SA
09659W2T0
3494000.00000000
PA
USD
3091985.95000000
0.399446569890
Long
DBT
CORP
FR
Y
2
2028-01-20
Fixed
2.59000000
N
N
N
N
N
N
EQUITABLE FINANCIAL LIFE
635400B4JJBON4TCHF02
Equitable Financial Life Global Funding
29449WAA5
1485000.00000000
PA
USD
1368864.40000000
0.176840450786
Long
DBT
CORP
US
Y
2
2025-07-07
Fixed
1.40000000
N
N
N
N
N
N
Oaktree CLO Ltd
549300BJ8TRWJ20BLC43
Oaktree CLO 2019-1 Ltd
67401XAN1
1427638.00000000
PA
USD
1380610.18000000
0.178357861152
Long
ABS-CBDO
CORP
KY
Y
2
2030-04-22
Floating
8.02000000
N
N
N
N
N
N
Southwick Park CLO, Ltd.
N/A
Southwick Park CLO LLC
846031AS1
1528000.00000000
PA
USD
1496867.00000000
0.193376812961
Long
ABS-CBDO
CORP
KY
Y
2
2032-07-20
Floating
7.63000000
N
N
N
N
N
N
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
Long: TR11313 TRS USD R V 03MTBILL USB3MTA -2BPS / Short: TR11313 TRS USD P E PE
000000000
3304775.79000000
OU
Notional Amount
USD
-446591.33000000
-0.05769410915
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
3304775.79000000
USD
-446591.33000000
N
N
N
Southwick Park CLO, Ltd.
N/A
Southwick Park CLO LLC
846031AR3
1123000.00000000
PA
USD
934764.99000000
0.120760144110
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
Arbor Realty Commercial Real Estate Notes 2021-FL1 Ltd
03881CAG6
153500.00000000
PA
USD
148767.29000000
0.019218904827
Long
ABS-CBDO
CORP
KY
Y
2
2035-12-15
Floating
7.45000000
N
N
N
N
N
N
OneMain Financial Issuance Trust
N/A
OneMain Financial Issuance Trust 2023-2
68269HAB1
969000.00000000
PA
USD
944606.88000000
0.122031595295
Long
ABS-O
CORP
US
Y
2
2036-09-15
Fixed
6.17000000
N
N
N
N
N
N
Balboa Bay Loan Funding Ltd
549300MALKZHG9DP8554
Balboa Bay Loan Funding 2020-1 Ltd
05766BAN8
870027.00000000
PA
USD
848319.83000000
0.109592492250
Long
ABS-CBDO
CORP
KY
Y
2
2032-01-20
Floating
7.77000000
N
N
N
N
N
N
GOLDMAN SACHS GROUP INC
784F5XWPLTWKTBV3E584
Goldman Sachs Group Inc/The
38141GXM1
1268000.00000000
PA
USD
1132015.83000000
0.146242527510
Long
DBT
CORP
US
N
2
2026-12-09
Fixed
1.09000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac REMICS
3137BNPS7
424203.71000000
PA
USD
372295.85000000
0.048096046577
Long
ABS-MBS
USGSE
US
N
2
2045-06-15
Fixed
3.00000000
N
N
N
N
N
N
AVOLON HOLDINGS FNDG LTD
635400ZRKEX9L1BKCH30
Avolon Holdings Funding Ltd
05401AAP6
1313000.00000000
PA
USD
1098726.08000000
0.141941901095
Long
DBT
CORP
KY
Y
2
2028-02-21
Fixed
2.75000000
N
N
N
N
N
N
Business Jet Securities, LLC
N/A
Business Jet Securities 2021-1 LLC
12327BAA4
248427.09000000
PA
USD
226449.69000000
0.029254515830
Long
ABS-O
CORP
US
Y
2
2036-04-15
Fixed
2.16000000
N
N
N
N
N
N
Goldman Sachs & Co. LLC
FOR8UP27PHTHYVLBNG30
Long: TR11374 TRS USD R E TR11374R / Short: TR11374 TRS USD P V 03MTBILL TR11374P/USB3MTA+6.50BPS
000000000
37632953.88000000
OU
Notional Amount
USD
119067.44000000
0.015382049356
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
37632953.88000000
USD
119067.44000000
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
3128PRZ51
6080.78000000
PA
USD
5953.62000000
0.000769134506
Long
ABS-MBS
USGSE
US
N
2
2025-07-01
Fixed
4.00000000
N
N
N
N
N
N
QORVO INC
254900YAUJV2EUEVBR11
Qorvo Inc
74739DAA2
909000.00000000
PA
USD
859101.44000000
0.110985343706
Long
DBT
CORP
US
Y
2
2024-12-15
Fixed
1.75000000
N
N
N
N
N
N
Bank
N/A
BANK 2021-BNK31
06541ABM1
10967407.89000000
PA
USD
735475.47000000
0.095014388318
Long
ABS-MBS
CORP
US
N
2
2054-02-15
Variable
1.32000000
N
N
N
N
N
N
ARROW ELECTRONICS INC
549300YNNLBXT8N8R512
Arrow Electronics Inc
04273WAD3
338000.00000000
PA
USD
335499.19000000
0.043342370506
Long
DBT
CORP
US
N
2
2026-03-01
Fixed
6.13000000
N
N
N
N
N
N
PFP III
N/A
PFP 2021-8 Ltd
69357XAE1
617500.00000000
PA
USD
593461.34000000
0.076667908735
Long
ABS-CBDO
CORP
KY
Y
2
2037-08-09
Floating
6.95000000
N
N
N
N
N
N
BENCHMARK Mortgage Trust
N/A
Benchmark 2021-B23 Mortgage Trust
08162RAF4
12522933.44000000
PA
USD
754495.47000000
0.097471538474
Long
ABS-MBS
CORP
US
N
2
2054-02-15
Variable
1.27000000
N
N
N
N
N
N
BANQUE FED CRED MUTUEL
VBHFXSYT7OG62HNT8T76
Banque Federative du Credit Mutuel SA
06675FAV9
2782000.00000000
PA
USD
2734882.82000000
0.353313235947
Long
DBT
CORP
FR
Y
2
2024-02-27
Fixed
0.65000000
N
N
N
N
N
N
Enterprise Fleet Financing LLC
N/A
Enterprise Fleet Financing 2023-2 LLC
29375NAC9
689000.00000000
PA
USD
676049.49000000
0.087337282323
Long
ABS-O
CORP
US
Y
2
2030-04-22
Fixed
5.50000000
N
N
N
N
N
N
Merrill Lynch & Co., Inc.
DWW559HN8WVTCCS4VJ94
Long: TR11447 TRS USD R V 03MTBILL TR11447R+USB3MTA-5.00BPS / Short: TR11447 TRS USD P E TR11447P
000000000
7642575.81000000
OU
Notional Amount
USD
651986.81000000
0.084228679909
N/A
DCO
US
N
2
Merrill Lynch & Co., Inc.
DWW559HN8WVTCCS4VJ94
Bloomberg Heating Oil Subindex Total Return
BCOMHOTR INDEX
Y
equity-performance leg
2024-09-30
0.00000000
USD
0.00000000
USD
7642575.81000000
USD
651986.81000000
N
N
N
SANDS CHINA LTD
549300EVO6UZDGY05787
Sands China Ltd
80007RAK1
1030000.00000000
PA
USD
955438.09000000
0.123430854461
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
Arbor Realty Commercial Real Estate Notes 2021-FL4 Ltd
03880RAC3
1684000.00000000
PA
USD
1652300.22000000
0.213456873989
Long
ABS-CBDO
CORP
KY
Y
2
2036-11-15
Floating
7.15000000
N
N
N
N
N
N
BXMT Ltd
N/A
BXMT 2020-FL2 LTD
12434LAA2
1579709.38000000
PA
USD
1514961.83000000
0.195714442527
Long
ABS-CBDO
CORP
KY
Y
2
2038-02-15
Floating
6.35000000
N
N
N
N
N
N
AMGEN INC
62QBXGPJ34PQ72Z12S66
Amgen Inc
031162DN7
1758000.00000000
PA
USD
1748733.69000000
0.225914892699
Long
DBT
CORP
US
N
2
2026-03-02
Fixed
5.51000000
N
N
N
N
N
N
UBS GROUP AG
549300SZJ9VS8SGXAN81
UBS Group AG
902613AS7
1000000.00000000
PA
USD
952668.63000000
0.123073074279
Long
DBT
CORP
CH
Y
2
2027-08-05
Fixed
4.70000000
N
N
N
N
N
N
AREIT CRE Trust
N/A
AREIT 2022-CRE6 Trust
04002VAJ0
795500.00000000
PA
USD
747938.65000000
0.096624477944
Long
ABS-CBDO
CORP
KY
Y
2
2037-01-20
Floating
8.17000000
N
N
N
N
N
N
BARCLAYS PLC
213800LBQA1Y9L22JB70
Barclays PLC
06738EBU8
2856000.00000000
PA
USD
2500018.31000000
0.322971628830
Long
DBT
CORP
GB
N
2
2027-11-24
Fixed
2.28000000
N
N
N
N
N
N
AIR LEASE CORP
5493004NW4M4P8TMMK63
Air Lease Corp
00914AAR3
1590000.00000000
PA
USD
1393698.23000000
0.180048676299
Long
DBT
CORP
US
N
2
2027-01-15
Fixed
2.20000000
N
N
N
N
N
N
OCP CLO Ltd
254900FZYL5HDKV64882
OCP CLO 2015-10 Ltd
67092DAV1
2250000.00000000
PA
USD
2211009.75000000
0.285635276134
Long
ABS-CBDO
CORP
KY
Y
2
2034-01-26
Floating
7.29000000
N
N
N
N
N
N
AREIT CRE Trust
N/A
AREIT 2019-CRE3 Trust
00217LAG7
250500.00000000
PA
USD
237604.01000000
0.030695516836
Long
ABS-CBDO
CORP
US
Y
2
2036-09-14
Floating
7.35000000
N
N
N
N
N
N
HUNTINGTON INGALLS INDUS
5TZLZ6WJTBVJ0QWBG121
Huntington Ingalls Industries Inc
446413AS5
1273000.00000000
PA
USD
1232049.78000000
0.159165683969
Long
DBT
CORP
US
N
2
2025-05-01
Fixed
3.84000000
N
N
N
N
N
N
Fortress CBO Investments Ltd
N/A
FORT CRE 2022-FL3 Issuer LLC
34706CAA7
1917000.00000000
PA
USD
1865028.21000000
0.240938714884
Long
ABS-CBDO
CORP
US
Y
2
2039-02-23
Floating
7.17000000
N
N
N
N
N
N
DEUTSCHE BANK NY
7LTWFZYICNSX8D621K86
Deutsche Bank AG/New York NY
251526CP2
849000.00000000
PA
USD
734324.85000000
0.094865742361
Long
DBT
CORP
DE
N
2
2027-11-16
Fixed
2.31000000
N
N
N
N
N
N
DEUTSCHE BANK NY
7LTWFZYICNSX8D621K86
Deutsche Bank AG/New York NY
251526CJ6
694000.00000000
PA
USD
674217.20000000
0.087100572983
Long
DBT
CORP
DE
N
2
2024-05-28
Fixed
0.90000000
N
N
N
N
N
N
Merrill Lynch & Co., Inc.
DWW559HN8WVTCCS4VJ94
Long: TR11335 TRS USD R V 03MTBILL TR11335R/USB3MTA-5BPS / Short: TR11335 TRS USD P E TR11335P
000000000
13023870.59000000
OU
Notional Amount
USD
994762.22000000
0.128511048581
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
13023870.59000000
USD
994762.22000000
N
N
N
BANK 2021-BN35
N/A
BANK 2021-BNK35
06540CBL0
6101359.12000000
PA
USD
326657.01000000
0.042200069562
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
Morgan Stanley Capital I Trust 2017-H1
61691JAW4
4033561.59000000
PA
USD
117259.27000000
0.015148456023
Long
ABS-MBS
CORP
US
N
2
2050-06-15
Variable
1.32000000
N
N
N
N
N
N
HALEON US CAPITAL LLC
549300N8C3A3L0UVQB07
Haleon US Capital LLC
36264FAK7
1154000.00000000
PA
USD
1064185.65000000
0.137479702201
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
NextGear Floorplan Master Owner Trust
65345GAA9
956000.00000000
PA
USD
958763.89000000
0.123860506932
Long
ABS-O
CORP
US
Y
2
2028-03-15
Floating
6.42000000
N
N
N
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
Long: SM11481 IRS USD R F 4.96700 SM11481_FIX CCPOIS / Short: SM11481 IRS USD P V 12MSOFR SM11481_FLO CCPOIS
000000000
44600000.00000000
OU
Notional Amount
USD
-5170.48000000
-0.00066796244
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2026-10-02
0.00000000
USD
-3913.20000000
USD
44600000.00000000
USD
-1257.28000000
N
N
N
United States Treasury
254900HROIFWPRGM1V77
United States Treasury Note/Bond
91282CJB8
33859000.00000000
PA
USD
33796836.91000000
4.366135808874
Long
DBT
UST
US
N
2
2025-09-30
Fixed
5.00000000
N
N
N
N
N
N
GLOBAL PAYMENTS INC
549300NOMHGVQBX6S778
Global Payments Inc
37940XAE2
2281000.00000000
PA
USD
2033746.94000000
0.262735100464
Long
DBT
CORP
US
N
2
2026-03-01
Fixed
1.20000000
N
N
N
N
N
N
GENERAL MILLS INC
2TGYMUGI08PO8X8L6150
General Mills Inc
370334CS1
1962000.00000000
PA
USD
1941151.53000000
0.250772911919
Long
DBT
CORP
US
N
2
2025-11-18
Fixed
5.24000000
N
N
N
N
N
N
ROGERS COMMUNICATIONS IN
5493000M6Z4XFIP6PF03
Rogers Communications Inc
775109CG4
3568000.00000000
PA
USD
3243545.17000000
0.419026157748
Long
DBT
CORP
CA
N
2
2027-03-15
Fixed
3.20000000
N
N
N
N
N
N
LAS VEGAS SANDS CORP
549300DUOO1KXOHPM605
Las Vegas Sands Corp
517834AG2
1270000.00000000
PA
USD
1235777.06000000
0.159647202719
Long
DBT
CORP
US
N
2
2024-08-08
Fixed
3.20000000
N
N
N
N
N
N
United States Treasury
254900HROIFWPRGM1V77
United States Treasury Note/Bond
91282CGV7
33495000.00000000
PA
USD
32555569.75000000
4.205779352733
Long
DBT
UST
US
N
2
2026-04-15
Fixed
3.75000000
N
N
N
N
N
N
HSBC HOLDINGS PLC
MLU0ZO3ML4LN2LL2TL39
HSBC Holdings PLC
404280DQ9
646000.00000000
PA
USD
657149.29000000
0.084895608854
Long
DBT
CORP
GB
N
2
2026-11-03
Fixed
7.34000000
N
N
N
N
N
N
Merrill Lynch & Co., Inc.
DWW559HN8WVTCCS4VJ94
Long: TR11432 TRS USD R V 03MTBILL TR11432R/USB3MTA-2BPS / Short: TR11432 TRS USD P E TR11432P
000000000
8375212.87000000
OU
Notional Amount
USD
-269199.07000000
-0.03477721013
N/A
DCO
US
N
2
Merrill Lynch & Co., Inc.
DWW559HN8WVTCCS4VJ94
Bloomberg Wheat Subindex Total Return Index
BCOMWHTR INDEX
Y
equity-performance leg
2024-09-06
0.00000000
USD
0.00000000
USD
8375212.87000000
USD
-269199.07000000
N
N
N
ERAC USA Finance LLC
LTKX5ODQW6Z7BQ2K1V47
ERAC USA Finance LLC
26884TAT9
974000.00000000
PA
USD
974000.00000000
0.125828825021
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
LoanCore 2021-CRE5 Issuer Ltd
53947XAG7
741000.00000000
PA
USD
713335.14000000
0.092154129890
Long
ABS-CBDO
CORP
KY
Y
2
2036-07-15
Floating
7.45000000
N
N
N
N
N
N
MARRIOTT INTERNATIONAL
225YDZ14ZO8E1TXUSU86
Marriott International Inc/MD
571903AP8
459000.00000000
PA
USD
440507.73000000
0.056908182832
Long
DBT
CORP
US
N
2
2025-10-01
Fixed
3.75000000
N
N
N
N
N
N
DAE FUNDING LLC
635400SZTPQL3Y1P2C76
DAE Funding LLC
23371DAF1
1375000.00000000
PA
USD
1291961.00000000
0.166905477006
Long
DBT
CORP
US
Y
2
2025-03-20
Fixed
2.63000000
N
N
N
N
N
N
AMERICAN ELECTRIC POWER
1B4S6S7G0TW5EE83BO58
American Electric Power Co Inc
02557TAD1
1067000.00000000
PA
USD
1058233.74000000
0.136710788606
Long
DBT
CORP
US
N
2
2025-08-15
Fixed
5.70000000
N
N
N
N
N
N
PACIFIC GAS & ELECTRIC
1HNPXZSMMB7HMBMVBS46
Pacific Gas and Electric Co
694308KL0
1552000.00000000
PA
USD
1493242.69000000
0.192908596668
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
Freddie Mac Multifamily Structured Pass Through Certificates
3137BYPS3
81317.54000000
PA
USD
168.42000000
0.000021757793
Long
ABS-MBS
USGSE
US
N
2
2024-04-25
Variable
0.91000000
N
N
N
N
N
N
BOEING CO
RVHJWBXLJ1RFUBSY1F30
Boeing Co/The
097023DE2
3511000.00000000
PA
USD
3466478.45000000
0.447826396640
Long
DBT
CORP
US
N
2
2024-02-04
Fixed
1.43000000
N
N
N
N
N
N
HYUNDAI CAPITAL AMERICA
549300RIPPWJB5Z0FK07
Hyundai Capital America
44891ABK2
2077000.00000000
PA
USD
2069352.53000000
0.267334904934
Long
DBT
CORP
US
Y
2
2025-04-07
Fixed
5.88000000
N
N
N
N
N
N
MACQUARIE GROUP LTD
ACMHD8HWFMFUIQQ8Y590
Macquarie Group Ltd
55608JBA5
2251000.00000000
PA
USD
2141353.65000000
0.276636564410
Long
DBT
CORP
AU
Y
2
2025-10-14
Fixed
1.20000000
N
N
N
N
N
N
BENCHMARK Mortgage Trust
N/A
Benchmark 2021-B28 Mortgage Trust
08163GAZ3
10198947.05000000
PA
USD
664488.94000000
0.085843801396
Long
ABS-MBS
CORP
US
N
2
2054-08-15
Variable
1.28000000
N
N
N
N
N
N
AVOLON HOLDINGS FNDG LTD
635400ZRKEX9L1BKCH30
Avolon Holdings Funding Ltd
05401AAL5
769000.00000000
PA
USD
717767.81000000
0.092726776356
Long
DBT
CORP
KY
Y
2
2026-04-15
Fixed
4.25000000
N
N
N
N
N
N
Fortress CBO Investments Ltd
N/A
FORT CRE 2022-FL3 Issuer LLC
34706CAC3
1785500.00000000
PA
USD
1730567.31000000
0.223568019752
Long
ABS-CBDO
CORP
US
Y
2
2039-02-23
Floating
7.57000000
N
N
N
N
N
N
BXMT Ltd
N/A
BXMT 2020-FL2 LTD
12434LAE4
1492000.00000000
PA
USD
1305134.46000000
0.168607326075
Long
ABS-CBDO
CORP
KY
Y
2
2038-02-15
Floating
6.85000000
N
N
N
N
N
N
BXMT Ltd
N/A
BXMT 2021-FL4 Ltd
05609GAC2
2601000.00000000
PA
USD
2420107.47000000
0.312648130777
Long
ABS-CBDO
CORP
US
Y
2
2038-05-15
Floating
6.75000000
N
N
N
N
N
N
STANDARD CHARTERED PLC
U4LOSYZ7YG4W3S5F2G91
Standard Chartered PLC
853254CB4
812000.00000000
PA
USD
793116.13000000
0.102460852919
Long
DBT
CORP
GB
Y
2
2025-03-23
Fixed
1.21000000
N
N
N
N
N
N
Sales Tax Securitization Corp
N/A
SALES TAX SECURITIZATION CORP IL
79467BDC6
1030000.00000000
PA
USD
1023916.92000000
0.132277477375
Long
DBT
MUN
US
N
2
2024-01-01
Fixed
2.23000000
N
N
N
N
N
N
ACREC 2021-FL1 Ltd.
N/A
ACREC 2021-FL1 Ltd
00500RAG0
1129000.00000000
PA
USD
1079557.93000000
0.139465611781
Long
ABS-CBDO
CORP
KY
Y
2
2036-10-16
Floating
7.60000000
N
N
N
N
N
N
NEXTERA ENERGY CAPITAL
UMI46YPGBLUE4VGNNT48
NextEra Energy Capital Holdings Inc
65339KBP4
1486000.00000000
PA
USD
1485149.16000000
0.191863012099
Long
DBT
CORP
US
N
2
2025-03-01
Fixed
6.05000000
N
N
N
N
N
N
BSPRT Issuer, Ltd.
N/A
BSPRT 2021-FL7 Issuer Ltd
05602CAG9
408500.00000000
PA
USD
397749.51000000
0.051384346505
Long
ABS-CBDO
CORP
KY
Y
2
2038-12-15
Floating
7.75000000
N
N
N
N
N
N
Business Jet Securities, LLC
N/A
Business Jet Securities 2021-1 LLC
12327BAB2
57596.85000000
PA
USD
51319.95000000
0.006629906579
Long
ABS-O
CORP
US
Y
2
2036-04-15
Fixed
2.92000000
N
N
N
N
N
N
BSPRT Issuer, Ltd.
N/A
BSPRT 2022-FL8 Issuer Ltd
055983AE0
445500.00000000
PA
USD
430367.21000000
0.055598152322
Long
ABS-CBDO
CORP
KY
Y
2
2037-02-15
Floating
7.37000000
N
N
N
N
N
N
United States Treasury
254900HROIFWPRGM1V77
United States Treasury Note/Bond
91282CDV0
25867000.00000000
PA
USD
25578016.98000000
3.304365321339
Long
DBT
UST
US
N
2
2024-01-31
Fixed
0.88000000
N
N
N
N
N
N
MICROCHIP TECHNOLOGY INC
5493007PTFULNYZJ1R12
Microchip Technology Inc
595017BC7
3485000.00000000
PA
USD
3339268.73000000
0.431392464813
Long
DBT
CORP
US
N
2
2024-09-01
Fixed
0.98000000
N
N
N
N
N
N
CROWN CASTLE INC
54930012H97VSM0I2R19
Crown Castle Inc
22822VAS0
492000.00000000
PA
USD
453929.88000000
0.058642159592
Long
DBT
CORP
US
N
2
2025-07-15
Fixed
1.35000000
N
N
N
N
N
N
CHARLES SCHWAB CORP
549300VSGCJ7E698NM85
Charles Schwab Corp/The
808513CG8
2177000.00000000
PA
USD
2161939.23000000
0.279295968254
Long
DBT
CORP
US
N
2
2026-08-24
Fixed
5.88000000
N
N
N
N
N
N
PNC FINANCIAL SERVICES
CFGNEKW0P8842LEUIA51
PNC Financial Services Group Inc/The
693475BK0
3959000.00000000
PA
USD
3782377.65000000
0.488636689413
Long
DBT
CORP
US
N
2
2028-12-02
Fixed
5.35000000
N
N
N
N
N
N
DCP MIDSTREAM OPERATING
549300Y6CTBSE0QIPL28
DCP Midstream Operating LP
23311VAJ6
2537000.00000000
PA
USD
2490568.08000000
0.321750775301
Long
DBT
CORP
US
N
2
2027-07-15
Fixed
5.63000000
N
N
N
N
N
N
ENERGY TRANSFER LP
MTLVN9N7JE8MIBIJ1H73
Energy Transfer LP
29278NAP8
846000.00000000
PA
USD
805896.66000000
0.104111940263
Long
DBT
CORP
US
N
2
2025-05-15
Fixed
2.90000000
N
N
N
N
N
N
BOEING CO
RVHJWBXLJ1RFUBSY1F30
Boeing Co/The
097023DG7
2850000.00000000
PA
USD
2618668.46000000
0.338299769449
Long
DBT
CORP
US
N
2
2026-02-04
Fixed
2.20000000
N
N
N
N
N
N
MARRIOTT INTERNATIONAL
225YDZ14ZO8E1TXUSU86
Marriott International Inc/MD
571903BL6
1307000.00000000
PA
USD
1225856.47000000
0.158365584461
Long
DBT
CORP
US
N
2
2029-04-15
Fixed
4.90000000
N
N
N
N
N
N
DAIMLER TRUCK FINAN NA
5493003HSDTSCZRXBA58
Daimler Truck Finance North America LLC
233853AN0
457000.00000000
PA
USD
452957.61000000
0.058516554261
Long
DBT
CORP
US
Y
2
2025-01-17
Fixed
5.20000000
N
N
N
N
N
N
AVOLON HOLDINGS FNDG LTD
635400ZRKEX9L1BKCH30
Avolon Holdings Funding Ltd
05401AAM3
2500000.00000000
PA
USD
2229746.80000000
0.288055872628
Long
DBT
CORP
KY
Y
2
2026-02-21
Fixed
2.13000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
3128PRZ69
3633.71000000
PA
USD
3557.52000000
0.000459587845
Long
ABS-MBS
USGSE
US
N
2
2025-07-01
Fixed
4.00000000
N
N
N
N
N
N
Shackleton CLO LTD
5493000LHXWSIZGUY418
Shackleton 2013-IV-R CLO Ltd
81882HAE5
722762.00000000
PA
USD
692548.38000000
0.089468736063
Long
ABS-CBDO
CORP
KY
Y
2
2031-04-13
Floating
7.56000000
N
N
N
N
N
N
TORONTO-DOMINION BANK
PT3QB789TSUIDF371261
Toronto-Dominion Bank/The
89115A2S0
3664000.00000000
PA
USD
3626081.92000000
0.468445202697
Long
DBT
CORP
CA
N
2
2026-07-17
Fixed
5.53000000
N
N
N
N
N
N
AVOLON HOLDINGS FNDG LTD
635400ZRKEX9L1BKCH30
Avolon Holdings Funding Ltd
05401AAR2
1715000.00000000
PA
USD
1432338.02000000
0.185040462105
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
MF1 2020-FL4 Ltd
58003UAE8
2437000.00000000
PA
USD
2412090.94000000
0.311612493661
Long
ABS-CBDO
CORP
US
Y
2
2035-11-15
Floating
8.20000000
N
N
N
N
N
N
GREAT AMERICA LEASING RECEIVABLES
N/A
GreatAmerica Leasing Receivables
39154TCB2
782000.00000000
PA
USD
775867.87000000
0.100232589788
Long
ABS-O
CORP
US
Y
2
2026-02-16
Fixed
5.35000000
N
N
N
N
N
N
AREIT CRE Trust
N/A
AREIT 2019-CRE3 Trust
00217LAC6
486917.46000000
PA
USD
481774.64000000
0.062239360242
Long
ABS-CBDO
CORP
US
Y
2
2036-09-14
Floating
6.75000000
N
N
N
N
N
N
PHILIP MORRIS INTL INC
HL3H1H2BGXWVG3BSWR90
Philip Morris International Inc
718172CV9
526000.00000000
PA
USD
512725.32000000
0.066237807571
Long
DBT
CORP
US
N
2
2027-11-17
Fixed
5.13000000
N
N
N
N
N
N
VMWARE INC
549300BUDHS3LRWBE814
VMware Inc
928563AJ4
1143000.00000000
PA
USD
1006834.67000000
0.130070660695
Long
DBT
CORP
US
N
2
2026-08-15
Fixed
1.40000000
N
N
N
N
N
N
ENERGY TRANSFER LP
MTLVN9N7JE8MIBIJ1H73
Energy Transfer LP
29273VAP5
755000.00000000
PA
USD
732952.79000000
0.094688489078
Long
DBT
CORP
US
N
2
2028-02-15
Fixed
5.55000000
N
N
N
N
N
N
United States Treasury
254900HROIFWPRGM1V77
United States Treasury Note/Bond
91282CDM0
12515000.00000000
PA
USD
12466649.05000000
1.610537784314
Long
DBT
UST
US
N
2
2023-11-30
Fixed
0.50000000
N
N
N
N
N
N
WARNERMEDIA HOLDINGS INC
549300DXR29GD4N0A520
Warnermedia Holdings Inc
55903VBA0
1062000.00000000
PA
USD
977677.19000000
0.126303872760
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
MF1 2021-FL6 Ltd
55283TAE8
3089144.00000000
PA
USD
2966025.24000000
0.383173994799
Long
ABS-CBDO
CORP
KY
Y
2
2036-07-16
Floating
7.10000000
N
N
N
N
N
N
STANDARD CHARTERED PLC
U4LOSYZ7YG4W3S5F2G91
Standard Chartered PLC
853254CJ7
1077000.00000000
PA
USD
1035223.79000000
0.133738185965
Long
DBT
CORP
GB
Y
2
2026-03-30
Fixed
3.97000000
N
N
N
N
N
N
PHILIP MORRIS INTL INC
HL3H1H2BGXWVG3BSWR90
Philip Morris International Inc
718172CZ0
1262000.00000000
PA
USD
1212747.02000000
0.156672004697
Long
DBT
CORP
US
N
2
2028-02-15
Fixed
4.88000000
N
N
N
N
N
N
BERRY GLOBAL INC
549300AP2Q7ERHX6RI89
Berry Global Inc
08576PAH4
2361000.00000000
PA
USD
2133092.15000000
0.275569280182
Long
DBT
CORP
US
N
2
2026-01-15
Fixed
1.57000000
N
N
N
N
N
N
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
Long: TR11356 TRS USD R V 03MTBILL TR11356R/USB3MTA-3BPS / Short: TR11356 TRS USD P E TR11356P
000000000
9791967.20000000
OU
Notional Amount
USD
186067.39000000
0.024037619156
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
9791967.20000000
USD
186067.39000000
N
N
N
Wells Fargo Commercial Mortgage Trust
N/A
Wells Fargo Commercial Mortgage Trust 2021-C61
95003QBC2
6093341.23000000
PA
USD
405248.63000000
0.052353140610
Long
ABS-MBS
CORP
US
N
2
2054-11-15
Variable
1.36000000
N
N
N
N
N
N
MITSUBISHI UFJ FIN GRP
353800V2V8PUY9TK3E06
Mitsubishi UFJ Financial Group Inc
606822BW3
1997000.00000000
PA
USD
1920786.91000000
0.248142053391
Long
DBT
CORP
JP
N
2
2025-07-19
Fixed
0.95000000
N
N
N
N
N
N
CAPITAL ONE FINANCIAL CO
ZUE8T73ROZOF6FLBAR73
Capital One Financial Corp
14040HCM5
1712000.00000000
PA
USD
1605666.26000000
0.207432339705
Long
DBT
CORP
US
N
2
2026-03-03
Fixed
2.64000000
N
N
N
N
N
N
HALEON UK CAPITAL PLC
5493004B26DRJNN0OV17
Haleon UK Capital PLC
36264NAB0
2654000.00000000
PA
USD
2551082.82000000
0.329568535702
Long
DBT
CORP
GB
N
2
2025-03-24
Fixed
3.13000000
N
N
N
N
N
N
BERRY GLOBAL INC
549300AP2Q7ERHX6RI89
Berry Global Inc
08576PAF8
2847000.00000000
PA
USD
2453290.99000000
0.316935033581
Long
DBT
CORP
US
N
2
2027-01-15
Fixed
1.65000000
N
N
N
N
N
N
HSBC HOLDINGS PLC
MLU0ZO3ML4LN2LL2TL39
HSBC Holdings PLC
404280CG2
728000.00000000
PA
USD
678357.98000000
0.087635510849
Long
DBT
CORP
GB
N
2
2026-06-04
Fixed
2.10000000
N
N
N
N
N
N
ENTERGY LOUISIANA LLC
0V5453U14HDZO63CGH17
Entergy Louisiana LLC
29364WBK3
5399000.00000000
PA
USD
5159848.87000000
0.666589035526
Long
DBT
CORP
US
N
2
2024-10-01
Fixed
0.95000000
N
N
N
N
N
N
BANQUE FED CRED MUTUEL
VBHFXSYT7OG62HNT8T76
Banque Federative du Credit Mutuel SA
06675FBA4
1573000.00000000
PA
USD
1557348.56000000
0.201190286914
Long
DBT
CORP
FR
Y
2
2026-07-13
Fixed
5.90000000
N
N
N
N
N
N
NATWEST MARKETS PLC
RR3QWICWWIPCS8A4S074
NatWest Markets PLC
63906YAG3
2257000.00000000
PA
USD
2177837.62000000
0.281349844777
Long
DBT
CORP
GB
Y
2
2025-03-22
Fixed
3.48000000
N
N
N
N
N
N
Chicago Board of Trade
549300EX04Q2QBFQTQ27
US 2YR NOTE (CBT) DEC23
000000000
266.00000000
NC
USD
-214998.75000000
-0.02777519516
N/A
DIR
US
N
1
Chicago Board of Trade
549300EX04Q2QBFQTQ27
Long
CBOT 2 Year U.S. Treasury Notes Futures
TUZ3 Comdty
2023-12-29
54059217.77000000
USD
-214998.75000000
N
N
N
OneMain Financial Issuance Trust
N/A
OneMain Financial Issuance Trust 2023-2
68269HAC9
2280000.00000000
PA
USD
2221504.78000000
0.286991104977
Long
ABS-O
CORP
US
Y
2
2036-09-15
Fixed
6.74000000
N
N
N
N
N
N
Goldman Sachs & Co. LLC
FOR8UP27PHTHYVLBNG30
Long: TR11288 TRS USD R E R E / Short: TR11288 TRS USD P V 03MTBILL USB3MTA +9 BPS
000000000
49895840.62000000
OU
Notional Amount
USD
157864.37000000
0.020394135718
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
49895840.62000000
USD
157864.37000000
N
N
N
HUNTINGTON BANCSHARES
549300XTVCVV9I7B5T19
Huntington Bancshares Inc/OH
446150BB9
254000.00000000
PA
USD
231993.66000000
0.029970728593
Long
DBT
CORP
US
N
2
2028-08-04
Fixed
4.44000000
N
N
N
N
N
N
LLOYDS BANKING GROUP PLC
549300PPXHEU2JF0AM85
Lloyds Banking Group PLC
53944YAR4
2402000.00000000
PA
USD
2302674.47000000
0.297477230973
Long
DBT
CORP
GB
N
2
2026-03-18
Fixed
3.51000000
N
N
N
N
N
N
3650R Commercial Mortgage Trust
N/A
3650R 2021-PF1 Commercial Mortgage Trust
88581EAF8
19795165.53000000
PA
USD
968062.78000000
0.125061809193
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
Metropolitan Life Global Funding I
59217GGV5
2146000.00000000
PA
USD
2124362.35000000
0.274441497352
Long
DBT
CORP
US
Y
2
2024-01-07
Fixed
0.40000000
N
N
N
N
N
N
MFS Institutional Money Market Portfolio
5L2W638H85N8T1136O07
MFS Institutional Money Market Portfolio
55291X109
83153596.86000000
NS
USD
83161912.22000000
10.74349661316
Long
STIV
RF
US
N
1
N
N
N
Westlake Automobile Receivables Trust
N/A
Westlake Automobile Receivables Trust 2023-1
96042XAC9
480373.94000000
PA
USD
480509.50000000
0.062075919709
Long
ABS-O
CORP
US
Y
2
2026-06-15
Floating
6.17000000
N
N
N
N
N
N
Chesapeake Funding II LLC
5493000HT7H4OFOD6Z12
Chesapeake Funding II LLC
165183CU6
1147652.28000000
PA
USD
1139016.20000000
0.147146889247
Long
ABS-O
CORP
US
Y
2
2035-05-15
Fixed
5.65000000
N
N
N
N
N
N
SUMITOMO MITSUI FINL GRP
35380028MYWPB6AUO129
Sumitomo Mitsui Financial Group Inc
86562MCC2
801000.00000000
PA
USD
792430.96000000
0.102372337379
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
GLP Capital LP / GLP Financing II Inc
361841AJ8
2186000.00000000
PA
USD
2132211.94000000
0.275455567872
Long
DBT
CORP
US
N
2
2025-06-01
Fixed
5.25000000
N
N
N
N
N
N
CF Hippolyta Issuer LLC
N/A
CF Hippolyta Issuer LLC
12530MAA3
358249.93000000
PA
USD
324920.54000000
0.041975738987
Long
ABS-O
CORP
US
Y
2
2060-07-15
Fixed
1.69000000
N
N
N
N
N
N
JBS USA/FOOD/FINANCE
N/A
JBS USA LUX SA / JBS USA Food Co / JBS USA Finance Inc
46590XAN6
2313000.00000000
PA
USD
1904328.29000000
0.246015802039
Long
DBT
CORP
N/A
N
2
2029-02-02
Fixed
3.00000000
N
N
N
N
N
N
ERAC USA Finance LLC
LTKX5ODQW6Z7BQ2K1V47
ERAC USA Finance LLC
26884TAL6
684000.00000000
PA
USD
669151.40000000
0.086446133905
Long
DBT
CORP
US
Y
2
2024-11-15
Fixed
3.85000000
N
N
N
N
N
N
JDE PEET'S NV
724500EHG519SE5ZRT89
JDE Peet's NV
47216QAB9
1050000.00000000
PA
USD
901804.65000000
0.116502073417
Long
DBT
CORP
NL
Y
2
2027-01-15
Fixed
1.38000000
N
N
N
N
N
N
California Municipal Finance Authority
5493000UQOV6R4ZWS346
CALIFORNIA ST MUNI FIN AUTH REVENUE
13048VQB7
305000.00000000
PA
USD
305000.00000000
0.039402250135
Long
DBT
MUN
US
N
2
2023-11-01
Fixed
1.61000000
N
N
N
N
N
N
UBS Commercial Mortgage Trust
N/A
CCUBS Commercial Mortgage Trust 2017-C1
12508GAV8
6057088.30000000
PA
USD
178346.73000000
0.023040204807
Long
ABS-MBS
CORP
US
N
2
2050-11-15
Variable
1.01000000
N
N
N
N
N
N
DAIMLER TRUCK FINAN NA
5493003HSDTSCZRXBA58
Daimler Truck Finance North America LLC
233853AD2
2671000.00000000
PA
USD
2545963.60000000
0.328907195417
Long
DBT
CORP
US
Y
2
2024-12-13
Fixed
1.63000000
N
N
N
N
N
N
Merrill Lynch & Co., Inc.
DWW559HN8WVTCCS4VJ94
Long: TR11275 TRS USD R E R E / Short: TR11275 TRS USD P V 03MTBILL USB3MTA+13 BPS
000000000
122972200.53000000
OU
Notional Amount
USD
364098.77000000
0.047037084621
N/A
DCO
US
N
2
Merrill Lynch & Co., Inc.
DWW559HN8WVTCCS4VJ94
MLCILPRT Custom Index
MLCILPRT
Gold
14655212.00000000
USD
43391.47000000
USD
Brent
2604551.21000000
USD
7711.61000000
USD
Soybean Meal
3856162.26000000
USD
11417.41000000
USD
Zinc
2907431.74000000
USD
8608.39000000
USD
Silver 2
1462754.33000000
USD
4330.95000000
USD
Gasoline RBOB
2693829.02000000
USD
7975.95000000
USD
Kansas Wheat
1238084.12000000
USD
3665.75000000
USD
Wheat 2
696022.66000000
USD
2060.80000000
USD
Corn
3805743.66000000
USD
11268.13000000
USD
Copper Comex
4512710.84000000
USD
13361.33000000
USD
Silver
4082308.14000000
USD
12086.99000000
USD
Aluminum
5018987.39000000
USD
14860.33000000
USD
Copper Comex 2
1624462.77000000
USD
4809.74000000
USD
Cotton
1391307.48000000
USD
4119.41000000
USD
Coffee
2726170.71000000
USD
8071.71000000
USD
Heating Oil
2562002.83000000
USD
7585.63000000
USD
Cotton 2
492011.77000000
USD
1456.76000000
USD
Corn 2
1343840.21000000
USD
3978.87000000
USD
Nickel
2240184.58000000
USD
6632.79000000
USD
Soybean Oil
3280406.42000000
USD
9712.70000000
USD
Natural Gas
11143494.87000000
USD
32993.90000000
USD
Coffee 2
1005789.63000000
USD
2977.96000000
USD
Lean Hogs 2
518696.74000000
USD
1535.77000000
USD
Soybeans
6341676.38000000
USD
18776.57000000
USD
Kansas Wheat 2
441839.12000000
USD
1308.21000000
USD
Live Cattle
3578736.98000000
USD
10596.00000000
USD
Lean Hogs
1488947.40000000
USD
4408.51000000
USD
Live Cattle 2
1293790.52000000
USD
3830.68000000
USD
Lead
1104905.22000000
USD
3271.43000000
USD
Gold 2
5275507.40000000
USD
15619.84000000
USD
Wheat
2013792.76000000
USD
5962.48000000
USD
WTI
10551014.81000000
USD
31239.67000000
USD
Gasoil
3392557.07000000
USD
10044.76000000
USD
Sugar
4560055.14000000
USD
13501.51000000
USD
Brent 2
7067212.36000000
USD
20924.76000000
USD
Y
equity-performance leg
2023-11-17
0.00000000
USD
0.00000000
USD
122972200.53000000
USD
364098.77000000
N
N
N
BSPRT Issuer, Ltd.
N/A
BSPRT 2021-FL7 Issuer Ltd
05602CAE4
339000.00000000
PA
USD
331477.59000000
0.042822829230
Long
ABS-CBDO
CORP
KY
Y
2
2038-12-15
Floating
7.50000000
N
N
N
N
N
N
LAD Auto Receivables Trust
N/A
LAD Auto Receivables Trust 2022-1
501687AA5
565587.98000000
PA
USD
559959.14000000
0.072339836392
Long
ABS-O
CORP
US
Y
2
2027-06-15
Fixed
5.21000000
N
N
N
N
N
N
HOWARD UNIVERSITY
N/A
Howard University
442851AG6
152000.00000000
PA
USD
142127.00000000
0.018361060999
Long
DBT
CORP
US
N
2
2025-10-01
Fixed
2.52000000
N
N
N
N
N
N
CD Commercial Mortgage Trust
N/A
CD 2017-CD4 Mortgage Trust
12515DAS3
9444897.81000000
PA
USD
301440.53000000
0.038942410373
Long
ABS-MBS
CORP
US
N
2
2050-05-10
Variable
1.22000000
N
N
N
N
N
N
VOLKSWAGEN GROUP AMERICA
5493002SQ1AVQBY41K40
Volkswagen Group of America Finance LLC
928668BL5
1359000.00000000
PA
USD
1238243.24000000
0.159965802854
Long
DBT
CORP
US
Y
2
2025-11-24
Fixed
1.25000000
N
N
N
N
N
N
REGAL REXNORD CORP
QH78R09VCJGQKPBPYU33
Regal Rexnord Corp
758750AC7
2249000.00000000
PA
USD
2212127.22000000
0.285779639519
Long
DBT
CORP
US
Y
2
2026-02-15
Fixed
6.05000000
N
N
N
N
N
N
FED HOME LN DISCOUNT NT
2549001DPIFGXC1TOL40
Federal Home Loan Bank Discount Notes
313384NS4
49875000.00000000
PA
USD
49875000.00000000
6.443236804897
Long
STIV
USGSE
US
N
2
2023-11-01
None
0.00000000
N
N
N
N
N
N
ENEL FINANCE INTL NV
0YQH6LCEF474UTUV4B96
Enel Finance International NV
29278GAZ1
889000.00000000
PA
USD
899037.72000000
0.116144620080
Long
DBT
CORP
NL
Y
2
2025-10-14
Fixed
6.80000000
N
N
N
N
N
N
MACQUARIE GROUP LTD
ACMHD8HWFMFUIQQ8Y590
Macquarie Group Ltd
55608JAR9
1904000.00000000
PA
USD
1699844.53000000
0.219599014301
Long
DBT
CORP
AU
Y
2
2027-01-12
Fixed
1.34000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
3128PR3G2
4815.22000000
PA
USD
4714.70000000
0.000609081274
Long
ABS-MBS
USGSE
US
N
2
2025-07-01
Fixed
4.00000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac REMICS
3137B2BP4
2260139.55000000
PA
USD
2048329.22000000
0.264618951756
Long
ABS-MBS
USGSE
US
N
2
2033-04-15
Fixed
3.00000000
N
N
N
N
N
N
LKQ CORP
DS830JTTZQN6GK0I2E41
LKQ Corp
501889AD1
1711000.00000000
PA
USD
1658126.76000000
0.214209591322
Long
DBT
CORP
US
N
2
2028-06-15
Fixed
5.75000000
N
N
N
N
N
N
CAPITAL ONE FINANCIAL CO
ZUE8T73ROZOF6FLBAR73
Capital One Financial Corp
14040HCQ6
2319000.00000000
PA
USD
2272048.76000000
0.293520765773
Long
DBT
CORP
US
N
2
2025-05-09
Fixed
4.17000000
N
N
N
N
N
N
GS Mortgage Securities Trust
N/A
GS Mortgage Securities Trust 2017-GS7
36254CAX8
10792455.20000000
PA
USD
327895.29000000
0.042360040113
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
Madison Park Funding XIII Ltd
55818MBC0
2174539.00000000
PA
USD
2152921.91000000
0.278131041375
Long
ABS-CBDO
CORP
KY
Y
2
2030-04-19
Floating
7.16000000
N
N
N
N
N
N
Arbor Realty Collateralized Loan Obligation Ltd
N/A
Arbor Realty Commercial Real Estate Notes 2021-FL3 Ltd
03880KAG9
332000.00000000
PA
USD
314819.66000000
0.040670829478
Long
ABS-CBDO
CORP
KY
Y
2
2034-08-15
Floating
7.30000000
N
N
N
N
N
N
HUNTINGTON NATIONAL BANK
2WHM8VNJH63UN14OL754
Huntington National Bank/The
44644MAH4
1500000.00000000
PA
USD
1456375.17000000
0.188145766357
Long
DBT
CORP
US
N
2
2025-11-18
Fixed
5.70000000
N
N
N
N
N
N
Goldman Sachs & Co. LLC
FOR8UP27PHTHYVLBNG30
Long: TR11407 TRS USD R E TR11407R / Short: TR11407 TRS USD P V 03MTBILL TR11407P/USB3MTA+9BPS
000000000
15268202.23000000
OU
Notional Amount
USD
88503.72000000
0.011433592502
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
15268202.23000000
USD
88503.72000000
N
N
N
PHILIP MORRIS INTL INC
HL3H1H2BGXWVG3BSWR90
Philip Morris International Inc
718172CT4
1300000.00000000
PA
USD
1291102.27000000
0.166794539648
Long
DBT
CORP
US
N
2
2024-11-15
Fixed
5.13000000
N
N
N
N
N
N
THERMO FISHER SCIENTIFIC
HCHV7422L5HDJZCRFL38
Thermo Fisher Scientific Inc
883556CS9
4014000.00000000
PA
USD
3836771.22000000
0.495663669908
Long
DBT
CORP
US
N
2
2024-10-18
Fixed
1.22000000
N
N
N
N
N
N
TENCENT HOLDINGS LTD
254900N4SLUMW4XUYY11
Tencent Holdings Ltd
88032WAT3
1551000.00000000
PA
USD
1424033.33000000
0.183967598260
Long
DBT
CORP
KY
Y
2
2026-01-26
Fixed
1.81000000
N
N
N
N
N
N
Progress Residential Trust
N/A
Progress Residential 2021-SFR1
74331FAE1
186000.00000000
PA
USD
164426.49000000
0.021241880943
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
Bacardi Ltd / Bacardi-Martini BV
05635JAA8
2239000.00000000
PA
USD
2132551.04000000
0.275499375423
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
Credit Acceptance Auto Loan Trust 2021-2
22537CAA7
121958.70000000
PA
USD
120726.37000000
0.015596362716
Long
ABS-O
CORP
US
Y
2
2030-02-15
Fixed
0.96000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae REMICS
3136APK43
93532.42000000
PA
USD
90136.64000000
0.011644545690
Long
ABS-MBS
USGSE
US
N
2
2044-05-25
Fixed
2.00000000
N
N
N
N
N
N
VISTRA OPERATIONS CO LLC
549300ZH5GKBTJZ7NM23
Vistra Operations Co LLC
92840VAK8
3851000.00000000
PA
USD
3807434.14000000
0.491873679861
Long
DBT
CORP
US
Y
2
2024-05-13
Fixed
4.88000000
N
N
N
N
N
N
PHILIP MORRIS INTL INC
HL3H1H2BGXWVG3BSWR90
Philip Morris International Inc
718172CU1
591000.00000000
PA
USD
583608.95000000
0.075395101078
Long
DBT
CORP
US
N
2
2025-11-17
Fixed
5.00000000
N
N
N
N
N
N
EDISON INTERNATIONAL
549300I7ROF15MAEVP56
Edison International
281020AU1
1686000.00000000
PA
USD
1638098.83000000
0.211622229002
Long
DBT
CORP
US
N
2
2025-08-15
Fixed
4.70000000
N
N
N
N
N
N
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
Long: TR11314 TRS USD R E R E / Short: TR11314 TRS USD P V 03MTBILL USB3MTA + 9 BPS
000000000
7461564.88000000
OU
Notional Amount
USD
800174.80000000
0.103372746299
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
7461564.88000000
USD
800174.80000000
N
N
N
UBS Commercial Mortgage Trust
N/A
UBS Commercial Mortgage Trust 2018-C14
90278KBB6
6512600.36000000
PA
USD
223277.34000000
0.028844687213
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
CF Hippolyta Issuer LLC
12530MAC9
113393.91000000
PA
USD
100096.77000000
0.012931272030
Long
ABS-O
CORP
US
Y
2
2060-07-15
Fixed
2.28000000
N
N
N
N
N
N
AREIT CRE Trust
N/A
AREIT 2022-CRE7 LLC
00217VAE0
2563500.00000000
PA
USD
2539187.77000000
0.328031841487
Long
ABS-CBDO
CORP
US
Y
2
2039-06-17
Floating
8.58000000
N
N
N
N
N
N
Navistar Financial Dealer Note Master Trust
549300S28N49H5RT4J50
Navistar Financial Dealer Note Master Owner Trust II
63938PBR9
2109000.00000000
PA
USD
2111398.14000000
0.272766680810
Long
ABS-O
CORP
US
Y
2
2027-05-25
Floating
6.57000000
N
N
N
N
N
N
WESTINGHOUSE AIR BRAKE
06BTX5UWZD0GQ5N5Y745
Westinghouse Air Brake Technologies Corp
960386AN0
2070000.00000000
PA
USD
2055702.61000000
0.265571503091
Long
DBT
CORP
US
N
2
2024-03-15
Fixed
4.15000000
N
N
N
N
N
N
Morgan Stanley Capital I Trust
N/A
Morgan Stanley Capital I Trust 2021-L6
61692CBK3
8668818.02000000
PA
USD
478288.16000000
0.061788949891
Long
ABS-MBS
CORP
US
N
2
2054-06-15
Variable
1.21000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
3128PR3E7
4998.08000000
PA
USD
4870.86000000
0.000629255226
Long
ABS-MBS
USGSE
US
N
2
2025-07-01
Fixed
4.00000000
N
N
N
N
N
N
NUTRIEN LTD
5493002QQ7GD21OWF963
Nutrien Ltd
67077MBA5
927000.00000000
PA
USD
888020.71000000
0.114721357838
Long
DBT
CORP
CA
N
2
2028-03-27
Fixed
4.90000000
N
N
N
N
N
N
ERAC USA Finance LLC
LTKX5ODQW6Z7BQ2K1V47
ERAC USA Finance LLC
26884TAP7
684000.00000000
PA
USD
656739.91000000
0.084842721992
Long
DBT
CORP
US
Y
2
2025-11-01
Fixed
3.80000000
N
N
N
N
N
N
Allegro CLO Ltd
635400R1GOVCHJ4SNX58
Allegro CLO II-S Ltd
01751EAE8
252269.00000000
PA
USD
251134.04000000
0.032443430365
Long
ABS-CBDO
CORP
KY
Y
2
2028-10-21
Floating
7.27000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138ERQS2
151583.86000000
PA
USD
141409.90000000
0.018268420496
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
Morgan Stanley Capital I Trust 2021-L5
61691YAP6
9469687.71000000
PA
USD
576166.10000000
0.074433576365
Long
ABS-MBS
CORP
US
N
2
2054-05-15
Variable
1.29000000
N
N
N
N
N
N
PFP III
N/A
PFP 2021-7 Ltd
69290LAE7
604469.84000000
PA
USD
587498.74000000
0.075897614123
Long
ABS-CBDO
CORP
KY
Y
2
2038-04-14
Floating
6.85000000
N
N
N
N
N
N
ELEMENT FLEET MANAGEMENT
5493000PGBS1C22ELQ16
Element Fleet Management Corp
286181AH5
2816000.00000000
PA
USD
2800335.10000000
0.361768865811
Long
DBT
CORP
CA
Y
2
2026-06-26
Fixed
6.27000000
N
N
N
N
N
N
DEUTSCHE BANK NY
7LTWFZYICNSX8D621K86
Deutsche Bank AG/New York NY
251526CG2
3247000.00000000
PA
USD
3169130.19000000
0.409412657237
Long
DBT
CORP
DE
N
2
2025-04-01
Fixed
1.45000000
N
N
N
N
N
N
JPMORGAN CHASE & CO
8I5DZWZKVSZI1NUHU748
JPMorgan Chase & Co
46647PBW5
1700000.00000000
PA
USD
1511680.49000000
0.195290533742
Long
DBT
CORP
US
N
2
2027-02-04
Fixed
1.04000000
N
N
N
N
N
N
AERCAP IRELAND CAP/GLOBA
N/A
AerCap Ireland Capital DAC / AerCap Global Aviation Trust
00774MBB0
1571000.00000000
PA
USD
1500042.34000000
0.193787027849
Long
DBT
CORP
IE
N
2
2024-10-29
Fixed
1.75000000
N
N
N
N
N
N
BAT INTL FINANCE PLC
21380041YBGOQDFAC823
BAT International Finance PLC
05530QAQ3
880000.00000000
PA
USD
855719.66000000
0.110548459307
Long
DBT
CORP
GB
N
2
2029-02-02
Fixed
5.93000000
N
N
N
N
N
N
BDS Ltd
N/A
BDS 2021-FL10 Ltd
07335YAG1
577000.00000000
PA
USD
553002.05000000
0.071441065899
Long
ABS-CBDO
CORP
KY
Y
2
2036-12-16
Floating
7.75000000
N
N
N
N
N
N
JP Morgan Chase Commercial Mortgage Sec Trust
N/A
JPMCC Commercial Mortgage Securities Trust 2017-JP7
465968AG0
11518221.90000000
PA
USD
292807.02000000
0.037827067027
Long
ABS-MBS
CORP
US
N
2
2050-09-15
Variable
0.98000000
N
N
N
N
N
N
FIRSTENERGY CORP
549300SVYJS666PQJH88
FirstEnergy Corp
337932AK3
1202000.00000000
PA
USD
1128475.46000000
0.145785155233
Long
DBT
CORP
US
N
2
2025-03-01
Fixed
2.05000000
N
N
N
N
N
N
PNC BANK NA
AD6GFRVSDT01YPT1CS68
PNC Bank NA
05552JAA7
1122000.00000000
PA
USD
1089542.96000000
0.140755554895
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
Credit Acceptance Auto Loan Trust 2021-2
22537CAC3
250000.00000000
PA
USD
243350.20000000
0.031437853937
Long
ABS-O
CORP
US
Y
2
2030-04-15
Fixed
1.26000000
N
N
N
N
N
N
Dryden Senior Loan Fund
549300VCB8LYR1RGV869
Dryden 49 Senior Loan Fund
26244QAQ6
1945990.00000000
PA
USD
1907548.91000000
0.246431866547
Long
ABS-CBDO
CORP
KY
Y
2
2030-07-18
Floating
7.26000000
N
N
N
N
N
N
DT Auto Owner Trust
N/A
DT Auto Owner Trust 2023-2
23346CAA6
1434116.41000000
PA
USD
1430321.16000000
0.184779908590
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
Credit Acceptance Auto Loan Trust 2021-3
22535GAB8
312000.00000000
PA
USD
297991.39000000
0.038496823891
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
LoanCore 2021-CRE5 Issuer Ltd
53947XAE2
1752500.00000000
PA
USD
1718104.56000000
0.221957985677
Long
ABS-CBDO
CORP
KY
Y
2
2036-07-15
Floating
7.20000000
N
N
N
N
N
N
WARNERMEDIA HOLDINGS INC
549300DXR29GD4N0A520
Warnermedia Holdings Inc
55903VBG7
564000.00000000
PA
USD
562847.88000000
0.072713026084
Long
DBT
CORP
US
N
2
2026-03-15
Fixed
6.41000000
N
N
N
N
N
N
Acres PLC
N/A
ACRES Commercial Realty 2021-FL2 Ltd
00500JAE3
1527500.00000000
PA
USD
1483518.23000000
0.191652315995
Long
ABS-CBDO
CORP
KY
Y
2
2037-01-15
Floating
7.70000000
N
N
N
N
N
N
Bank
N/A
BANK 2021-BNK34
06541JAR2
11381058.85000000
PA
USD
564688.31000000
0.072950787013
Long
ABS-MBS
CORP
US
N
2
2063-06-15
Variable
0.97000000
N
N
N
N
N
N
NATIONAL BANK OF CANADA
BSGEFEIOM18Y80CKCV46
National Bank of Canada
63307A2M6
1312000.00000000
PA
USD
1308989.68000000
0.169105373100
Long
DBT
CORP
CA
N
2
2024-11-15
Fixed
0.55000000
N
N
N
N
N
N
NBN CO LTD
2549007CRZ2NT7S96A24
NBN Co Ltd
62878U2F8
2064000.00000000
PA
USD
2064949.44000000
0.266766079840
Long
DBT
CORP
AU
Y
2
2028-10-06
Fixed
5.75000000
N
N
N
N
N
N
Dell Equipment Finance Trust
N/A
Dell Equipment Finance Trust 2023-1
24702HAC7
2617000.00000000
PA
USD
2607561.79000000
0.336864924238
Long
ABS-O
CORP
US
Y
2
2028-09-22
Fixed
5.65000000
N
N
N
N
N
N
AIB GROUP PLC
635400AKJBGNS5WNQL34
AIB Group PLC
00135TAD6
409000.00000000
PA
USD
400020.65000000
0.051677749870
Long
DBT
CORP
IE
Y
2
2029-09-13
Fixed
6.61000000
N
N
N
N
N
N
Merrill Lynch & Co., Inc.
DWW559HN8WVTCCS4VJ94
Long: TR11412 TRS USD R E TR11412R / Short: TR11412 TRS USD P V 03MTBILL TR11412P/USB3MTA+9BPS
000000000
35112640.51000000
OU
Notional Amount
USD
203538.16000000
0.026294627843
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
35112640.51000000
USD
203538.16000000
N
N
N
Cutwater Ltd
N/A
Cutwater 2015-I Ltd
23222LAN7
322437.93000000
PA
USD
322167.40000000
0.041620067148
Long
ABS-CBDO
CORP
KY
Y
2
2029-01-15
Floating
6.88000000
N
N
N
N
N
N
Morgan Stanley Capital I Trust
N/A
Morgan Stanley Capital I Trust 2018-H4
61691RAF3
14851046.05000000
PA
USD
487589.54000000
0.062990573830
Long
ABS-MBS
CORP
US
N
2
2051-12-15
Variable
0.82000000
N
N
N
N
N
N
BSPRT Issuer, Ltd.
N/A
BSPRT 2021-FL6 Issuer Ltd
05601HAG9
485000.00000000
PA
USD
462405.31000000
0.059737080945
Long
ABS-CBDO
CORP
KY
Y
2
2036-03-15
Floating
7.50000000
N
N
N
N
N
N
DEUTSCHE BANK NY
7LTWFZYICNSX8D621K86
Deutsche Bank AG/New York NY
251526CS6
169000.00000000
PA
USD
165880.93000000
0.021429776709
Long
DBT
CORP
DE
N
2
2029-01-18
Fixed
6.72000000
N
N
N
N
N
N
T-MOBILE USA INC
549300V2JRLO5DIFGE82
T-Mobile USA Inc
87264ABB0
2527000.00000000
PA
USD
2441391.53000000
0.315397769649
Long
DBT
CORP
US
N
2
2025-04-15
Fixed
3.50000000
N
N
N
N
N
N
HYATT HOTELS CORP
T27JQIMTYSH41TCD5186
Hyatt Hotels Corp
448579AQ5
1067000.00000000
PA
USD
1054504.78000000
0.136229052820
Long
DBT
CORP
US
N
2
2027-01-30
Fixed
5.75000000
N
N
N
N
N
N
United States Treasury
254900HROIFWPRGM1V77
United States Treasury Note/Bond
9128282U3
17444000.00000000
PA
USD
16932945.23000000
2.187528339273
Long
DBT
UST
US
N
2
2024-08-31
Fixed
1.88000000
N
N
N
N
N
N
NEXTERA ENERGY CAPITAL
UMI46YPGBLUE4VGNNT48
NextEra Energy Capital Holdings Inc
65339KBS8
1681000.00000000
PA
USD
1673097.62000000
0.216143642373
Long
DBT
CORP
US
N
2
2025-09-01
Fixed
5.75000000
N
N
N
N
N
N
CHARLES SCHWAB CORP
549300VSGCJ7E698NM85
Charles Schwab Corp/The
808513CD5
1707000.00000000
PA
USD
1643239.86000000
0.212286386871
Long
DBT
CORP
US
N
2
2029-05-19
Fixed
5.64000000
N
N
N
N
N
N
United States Treasury
254900HROIFWPRGM1V77
United States Treasury Note/Bond
91282CHM6
11726000.00000000
PA
USD
11597746.88000000
1.498286306788
Long
DBT
UST
US
N
2
2026-07-15
Fixed
4.50000000
N
N
N
N
N
N
GENUINE PARTS CO
549300D46DQVEU651W04
Genuine Parts Co
372460AB1
1302000.00000000
PA
USD
1230692.57000000
0.158990349123
Long
DBT
CORP
US
N
2
2025-02-01
Fixed
1.75000000
N
N
N
N
N
N
Credit Acceptance Auto Loan Trust
N/A
Credit Acceptance Auto Loan Trust 2023-3
224936AC8
1292000.00000000
PA
USD
1275408.01000000
0.164767034211
Long
ABS-O
CORP
US
Y
2
2033-10-17
Fixed
7.09000000
N
N
N
N
N
N
HSBC HOLDINGS PLC
MLU0ZO3ML4LN2LL2TL39
HSBC Holdings PLC
404280CX5
2840000.00000000
PA
USD
2489994.91000000
0.321676728784
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
World Omni Select Auto Trust 2023-A
98163UAC4
1598530.20000000
PA
USD
1599009.76000000
0.206572401744
Long
ABS-O
CORP
US
N
2
2027-03-15
Floating
6.17000000
N
N
N
N
N
N
AMERICAN EXPRESS CO
R4PP93JZOLY261QX3811
American Express Co
025816CQ0
859000.00000000
PA
USD
816970.35000000
0.105542524864
Long
DBT
CORP
US
N
2
2025-03-04
Fixed
2.25000000
N
N
N
N
N
N
WELLS FARGO & COMPANY
PBLD0EJDB5FWOLXP3B76
Wells Fargo & Co
95000U2K8
2599000.00000000
PA
USD
2458395.11000000
0.317594423132
Long
DBT
CORP
US
N
2
2026-02-11
Fixed
2.16000000
N
N
N
N
N
N
Glencore Funding LLC
213800STG1QDNBY87K49
Glencore Funding LLC
378272AT5
1146000.00000000
PA
USD
1137494.37000000
0.146950287521
Long
DBT
CORP
US
Y
2
2024-03-12
Fixed
4.13000000
N
N
N
N
N
N
AERCAP IRELAND CAP/GLOBA
N/A
AerCap Ireland Capital DAC / AerCap Global Aviation Trust
00774MAQ8
1243000.00000000
PA
USD
1230809.03000000
0.159005394323
Long
DBT
CORP
IE
N
2
2024-02-15
Fixed
3.15000000
N
N
N
N
N
N
EQT CORP
4NT01YGM4X7ZX86ISY52
EQT Corp
26884LAQ2
778000.00000000
PA
USD
756837.30000000
0.097774074118
Long
DBT
CORP
US
N
2
2028-04-01
Fixed
5.70000000
N
N
N
N
N
N
Goldman Sachs & Co. LLC
FOR8UP27PHTHYVLBNG30
Long: TR11332 TRS USD R V 03MTBILL TR11332R/USB3MTA-4BPS / Short: TR11332 TRS USD P E TR11332P
000000000
2861125.72000000
OU
Notional Amount
USD
-386638.62000000
-0.04994895612
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
2861125.72000000
USD
-386638.62000000
N
N
N
AREIT CRE Trust
N/A
AREIT 2022-CRE6 Trust
04002VAG6
894000.00000000
PA
USD
860207.69000000
0.111128257605
Long
ABS-CBDO
CORP
KY
Y
2
2037-01-20
Floating
7.47000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac REMICS
3137AV5K9
381176.71000000
PA
USD
337595.86000000
0.043613234492
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
TRTX 2021-FL4 Issuer Ltd
87276WAC7
1305000.00000000
PA
USD
1268807.13000000
0.163914281670
Long
ABS-CBDO
CORP
KY
Y
2
2038-03-15
Floating
6.85000000
N
N
N
N
N
N
STANDARD CHARTERED PLC
U4LOSYZ7YG4W3S5F2G91
Standard Chartered PLC
853254CE8
806000.00000000
PA
USD
764071.00000000
0.098708579223
Long
DBT
CORP
GB
Y
2
2025-11-23
Fixed
1.82000000
N
N
N
N
N
N
Business Jet Securities, LLC
N/A
Business Jet Securities 2020-1 LLC
12327FAA5
124045.64000000
PA
USD
116966.36000000
0.015110615652
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
OneMain Financial Issuance Trust 2020-A
68269LAA4
49374.77000000
PA
USD
49321.39000000
0.006371717199
Long
ABS-O
CORP
US
Y
2
2032-05-14
Fixed
3.84000000
N
N
N
N
N
N
Southwick Park CLO, Ltd.
N/A
Southwick Park CLO LLC
846031AQ5
645000.00000000
PA
USD
633231.33000000
0.081805702485
Long
ABS-CBDO
CORP
KY
Y
2
2032-07-20
Floating
7.18000000
N
N
N
N
N
N
United States Treasury
254900HROIFWPRGM1V77
United States Treasury Note/Bond
91282CEQ0
21100000.00000000
PA
USD
20333476.67000000
2.626835193015
Long
DBT
UST
US
N
2
2025-05-15
Fixed
2.75000000
N
N
N
N
N
N
HUNTINGTON BANCSHARES
549300XTVCVV9I7B5T19
Huntington Bancshares Inc/OH
446150BC7
449000.00000000
PA
USD
431619.82000000
0.055759974134
Long
DBT
CORP
US
N
2
2029-08-21
Fixed
6.21000000
N
N
N
N
N
N
CAPITAL ONE FINANCIAL CO
ZUE8T73ROZOF6FLBAR73
Capital One Financial Corp
14040HDB8
1305000.00000000
PA
USD
1305194.28000000
0.168615054083
Long
DBT
CORP
US
N
2
2027-10-29
Fixed
7.15000000
N
N
N
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
Long: SM11480 IRS USD R F 5.01400 SM11480_FIX CCPOIS / Short: SM11480 IRS USD P V 12MSOFR SM11480_FLO CCPOIS
000000000
13800000.00000000
OU
Notional Amount
USD
7307.10000000
0.000943987481
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2025-10-02
0.00000000
USD
-1240.40000000
USD
13800000.00000000
USD
8547.50000000
N
N
N
COREBRIDGE FINANCIAL INC
549300XY1661QCIA7J65
Corebridge Financial Inc
21871XAD1
1613000.00000000
PA
USD
1477205.42000000
0.190836778557
Long
DBT
CORP
US
N
2
2027-04-05
Fixed
3.65000000
N
N
N
N
N
N
Capital Automotive Reit
N/A
CARS-DB4 LP
12510HAD2
562034.64000000
PA
USD
532399.12000000
0.068779420649
Long
ABS-O
US
Y
2
2050-02-15
Fixed
3.19000000
N
N
N
N
N
N
Enterprise Fleet Financing LLC
N/A
Enterprise Fleet Financing 2023-1 LLC
29375CAB5
1340173.00000000
PA
USD
1327776.27000000
0.171532369554
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
BBCMS Mortgage Trust 2021-C11
05493MAG9
7441693.19000000
PA
USD
517177.58000000
0.066812984824
Long
ABS-MBS
CORP
US
N
2
2054-09-15
Variable
1.38000000
N
N
N
N
N
N
CROWN CASTLE INC
54930012H97VSM0I2R19
Crown Castle Inc
22822VAZ4
448000.00000000
PA
USD
402089.52000000
0.051945022438
Long
DBT
CORP
US
N
2
2027-03-15
Fixed
2.90000000
N
N
N
N
N
N
DEUTSCHE BANK NY
7LTWFZYICNSX8D621K86
Deutsche Bank AG/New York NY
25160PAN7
958000.00000000
PA
USD
957338.87000000
0.123676411868
Long
DBT
CORP
DE
N
2
2027-07-13
Fixed
7.15000000
N
N
N
N
N
N
United States Treasury
254900HROIFWPRGM1V77
United States Treasury Note/Bond
91282CHH7
40206000.00000000
PA
USD
39405020.89000000
5.090644228495
Long
DBT
UST
US
N
2
2026-06-15
Fixed
4.13000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31418TKF3
7137.50000000
PA
USD
7121.68000000
0.000920033497
Long
ABS-MBS
USGSE
US
N
2
2025-05-01
Fixed
4.50000000
N
N
N
N
N
N
BSPRT Issuer, Ltd.
N/A
BSPRT 2022-FL8 Issuer Ltd
055983AA8
3217000.00000000
PA
USD
3177898.33000000
0.410545393124
Long
ABS-CBDO
CORP
KY
Y
2
2037-02-15
Floating
6.82000000
N
N
N
N
N
N
FHLMC Multifamily Structured Pass Through Certs.
S6XOOCT0IEG5ABCC6L87
Freddie Mac Multifamily Structured Pass Through Certificates
3137FTG27
6362154.64000000
PA
USD
491675.58000000
0.063518439962
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
World Omni Automobile Lease Securitization Trust 2022-A
98163NAE6
678000.00000000
PA
USD
661964.01000000
0.085517611483
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
MF1 2022-FL9 LLC
55285AAE7
2988000.00000000
PA
USD
2954373.05000000
0.381668675110
Long
ABS-CBDO
CORP
US
Y
2
2037-06-19
Floating
8.48000000
N
N
N
N
N
N
Merrill Lynch & Co., Inc.
DWW559HN8WVTCCS4VJ94
Long: TR11475 TRS USD R E TR11475R / Short: TR11475 TRS USD P V 03MTBILL TR11475P/USB3MTA+14.00BPS
000000000
146328303.48000000
OU
Notional Amount
USD
433251.35000000
0.055970747751
N/A
DCO
US
N
2
Merrill Lynch & Co., Inc.
DWW559HN8WVTCCS4VJ94
MLCILPRT Custom Index
MLCILPRT
Lean Hogs
1771743.10000000
USD
5245.81000000
USD
Coffee
3243952.16000000
USD
9604.75000000
USD
Lean Hogs 2
617212.78000000
USD
1827.45000000
USD
Coffee 2
1196819.19000000
USD
3543.56000000
USD
Gold
17438675.57000000
USD
51632.73000000
USD
Copper Comex 2
1932996.89000000
USD
5723.25000000
USD
Wheat
2396272.30000000
USD
7094.92000000
USD
Sugar
5426146.15000000
USD
16065.83000000
USD
Soybean Meal
4588562.94000000
USD
13585.90000000
USD
Corn
4528568.34000000
USD
13408.26000000
USD
Cotton 2
585459.54000000
USD
1733.44000000
USD
Nickel
2665662.70000000
USD
7892.54000000
USD
Soybean Oil
3903453.82000000
USD
11557.41000000
USD
Gasoline RBOB
3205467.82000000
USD
9490.80000000
USD
Cotton
1655558.43000000
USD
4901.81000000
USD
Silver 2
1740575.17000000
USD
5153.52000000
USD
Gasoil
4036905.24000000
USD
11952.54000000
USD
Copper Comex
5369809.75000000
USD
15899.02000000
USD
Natural Gas
13259978.20000000
USD
39260.37000000
USD
Live Cattle
4258446.29000000
USD
12608.48000000
USD
Kansas Wheat 2
525757.59000000
USD
1556.67000000
USD
Zinc
3459640.08000000
USD
10243.36000000
USD
Gold 2
6277484.22000000
USD
18586.48000000
USD
Brent
3099233.47000000
USD
9176.26000000
USD
Aluminum
5972243.38000000
USD
17682.72000000
USD
Live Cattle 2
1539520.08000000
USD
4558.24000000
USD
Wheat 2
828218.20000000
USD
2452.20000000
USD
Corn 2
1599075.70000000
USD
4734.57000000
USD
Silver
4857660.69000000
USD
14382.65000000
USD
Kansas Wheat
1473233.36000000
USD
4361.97000000
USD
Heating Oil
3048603.87000000
USD
9026.36000000
USD
Soybeans
7546150.61000000
USD
22342.77000000
USD
Lead
1314759.81000000
USD
3892.76000000
USD
WTI
12554968.44000000
USD
37172.97000000
USD
Brent 2
8409487.60000000
USD
24898.96000000
USD
Y
equity-performance leg
2024-10-18
0.00000000
USD
0.00000000
USD
146328303.48000000
USD
433251.35000000
N
N
N
PACIFIC GAS & ELECTRIC
1HNPXZSMMB7HMBMVBS46
Pacific Gas and Electric Co
694308KA4
1838000.00000000
PA
USD
1821919.43000000
0.235369590514
Long
DBT
CORP
US
N
2
2024-02-16
Fixed
3.25000000
N
N
N
N
N
N
JPMorgan Securities LLC
ZBUT11V806EZRVTWT807
Long: TR11448 TRS USD R E TR11448R / Short: TR11448 TRS USD P V 03MTBILL TR11448P/USB3MTA+12.00BPS
000000000
10450532.90000000
OU
Notional Amount
USD
1569290.09000000
0.202732985773
N/A
DCO
US
N
2
JPMorgan Securities LLC
ZBUT11V806EZRVTWT807
Bloomberg Coffee Subindex Total Return Index
BCOMKCTR INDEX
Y
equity-performance leg
2024-09-30
0.00000000
USD
0.00000000
USD
10450532.90000000
USD
1569290.09000000
N
N
N
BARCLAYS PLC
213800LBQA1Y9L22JB70
Barclays PLC
06738EBQ7
781000.00000000
PA
USD
775976.92000000
0.100246677708
Long
DBT
CORP
GB
N
2
2024-12-10
Fixed
1.01000000
N
N
N
N
N
N
APA INFRASTRUCTURE LTD
261700SS8OEHDOCOUJ33
APA Infrastructure Ltd
00205GAB3
3842000.00000000
PA
USD
3739976.19000000
0.483158942092
Long
DBT
CORP
AU
Y
2
2025-03-23
Fixed
4.20000000
N
N
N
N
N
N
SUMITOMO MITSUI FINL GRP
35380028MYWPB6AUO129
Sumitomo Mitsui Financial Group Inc
86562MCM0
2295000.00000000
PA
USD
2031483.44000000
0.262442684093
Long
DBT
CORP
JP
N
2
2027-01-14
Fixed
2.17000000
N
N
N
N
N
N
Oaktree CLO Ltd
549300BJ8TRWJ20BLC43
Oaktree CLO 2019-1 Ltd
67401XAL5
1427638.00000000
PA
USD
1399701.98000000
0.180824286985
Long
ABS-CBDO
CORP
KY
Y
2
2030-04-22
Floating
7.42000000
N
N
N
N
N
N
Goldman Sachs & Co. LLC
FOR8UP27PHTHYVLBNG30
Long: TR11315 TRS USD R E TR11315R / Short: TR11315 TRS USD P V 03MTBILL TR11315P/USB3MTA+6.50BPS
000000000
30228205.13000000
OU
Notional Amount
USD
95637.94000000
0.012355246014
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
30228205.13000000
USD
95637.94000000
N
N
N
Starwood Commercial Mortgage Trust
N/A
STWD 2021-FL2 Ltd
78486BAE4
2295000.00000000
PA
USD
2129824.26000000
0.275147108972
Long
ABS-CBDO
CORP
KY
Y
2
2038-04-18
Floating
7.25000000
N
N
N
N
N
N
GS Mortgage Securities Trust
N/A
GS Mortgage Securities Trust 2017-GS6
36253PAE2
10481538.13000000
PA
USD
298760.52000000
0.038596186031
Long
ABS-MBS
CORP
US
N
2
2050-05-10
Variable
1.01000000
N
N
N
N
N
N
BENCHMARK Mortgage Trust
N/A
Benchmark 2021-B29 Mortgage Trust
08163JAG9
14810002.23000000
PA
USD
739756.65000000
0.095567464139
Long
ABS-MBS
CORP
US
N
2
2054-09-15
Variable
1.03000000
N
N
N
N
N
N
WEC ENERGY GROUP INC
549300IGLYTZUK3PVP70
WEC Energy Group Inc
92939UAF3
1019000.00000000
PA
USD
1000192.28000000
0.129212545573
Long
DBT
CORP
US
N
2
2024-03-15
Fixed
0.80000000
N
N
N
N
N
N
ANGLO AMERICAN CAPITAL
TINT358G1SSHR3L3PW36
Anglo American Capital PLC
034863AR1
2009000.00000000
PA
USD
1921373.97000000
0.248217894325
Long
DBT
CORP
GB
Y
2
2027-04-10
Fixed
4.75000000
N
N
N
N
N
N
Bank
N/A
BANK 2021-BNK32
06542BBN6
10530609.94000000
PA
USD
402939.05000000
0.052054771269
Long
ABS-MBS
CORP
US
N
2
2054-04-15
Variable
0.77000000
N
N
N
N
N
N
EMERA US FINANCE LP
N/A
Emera US Finance LP
29103DAS5
1057000.00000000
PA
USD
1017840.16000000
0.131492434695
Long
DBT
CORP
US
N
2
2024-06-15
Fixed
0.83000000
N
N
N
N
N
N
Chesapeake Funding II LLC
5493000HT7H4OFOD6Z12
Chesapeake Funding II LLC
165183CZ5
1175966.74000000
PA
USD
1173509.91000000
0.151603052491
Long
ABS-O
CORP
US
Y
2
2035-10-15
Fixed
6.16000000
N
N
N
N
N
N
ENBRIDGE INC
98TPTUM4IVMFCZBCUR27
Enbridge Inc
29250NBQ7
737000.00000000
PA
USD
731865.25000000
0.094547992281
Long
DBT
CORP
CA
N
2
2026-03-08
Fixed
5.97000000
N
N
N
N
N
N
Morgan Stanley BAML Trust
N/A
Morgan Stanley Bank of America Merrill Lynch Trust 2017-C33
61767CAW8
8988239.31000000
PA
USD
276760.47000000
0.035754050054
Long
ABS-MBS
CORP
US
N
2
2050-05-15
Variable
1.25000000
N
N
N
N
N
N
JPMorgan Securities LLC
ZBUT11V806EZRVTWT807
Long: TR11334 TRS USD R E TR11334R / Short: TR11334 TRS USD P V 03MTBILL TR11334P/USB3MTA+10BPS
000000000
29719956.55000000
OU
Notional Amount
USD
172280.76000000
0.022256556062
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
29719956.55000000
USD
172280.76000000
N
N
N
Arbor Realty Collateralized Loan Obligation Ltd
N/A
Arbor Realty Commercial Real Estate Notes 2021-FL3 Ltd
03880KAE4
571500.00000000
PA
USD
548208.52000000
0.070821800758
Long
ABS-CBDO
CORP
KY
Y
2
2034-08-15
Floating
7.05000000
N
N
N
N
N
N
LPL HOLDINGS INC
549300Z5YF8CCRMYUL26
LPL Holdings Inc
50212YAC8
898000.00000000
PA
USD
821174.03000000
0.106085588638
Long
DBT
CORP
US
Y
2
2027-11-15
Fixed
4.63000000
N
N
N
N
N
N
NATIONWIDE BLDG SOCIETY
549300XFX12G42QIKN82
Nationwide Building Society
63861VAF4
2445000.00000000
PA
USD
2172518.93000000
0.280662735420
Long
DBT
CORP
GB
Y
2
2028-02-16
Fixed
2.97000000
N
N
N
N
N
N
Goldman Sachs & Co. LLC
FOR8UP27PHTHYVLBNG30
Long: TR11333 TRS USD R E TR11333R / Short: TR11333 TRS USD P V 03MTBILL TR11333P/USB3MTA+9BPS
000000000
29719956.55000000
OU
Notional Amount
USD
172280.76000000
0.022256556062
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
29719956.55000000
USD
172280.76000000
N
N
N
Ballyrock Ltd
N/A
Ballyrock CLO 2018-1 Ltd
05875HAC7
1368365.00000000
PA
USD
1344418.76000000
0.173682374649
Long
ABS-CBDO
CORP
KY
Y
2
2031-04-20
Floating
7.28000000
N
N
N
N
N
N
Goldman Sachs & Co. LLC
FOR8UP27PHTHYVLBNG30
Long: TR11410 TRS USD R E TR11410 R E / Short: TR11410 TRS USD P V 03MTBILL TR11410P/USB3MTA+9BPS
000000000
36115858.81000000
OU
Notional Amount
USD
209354.87000000
0.027046075261
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
36115858.81000000
USD
209354.87000000
N
N
N
AmeriCredit Automobile Receivables Trust
N/A
AmeriCredit Automobile Receivables Trust 2020-1
03067DAF2
369829.29000000
PA
USD
365673.59000000
0.047240532003
Long
ABS-O
CORP
US
N
2
2025-10-20
Fixed
1.59000000
N
N
N
N
N
N
Enterprise Fleet Financing LLC
N/A
Enterprise Fleet Financing 2023-2 LLC
29375NAB1
1135000.00000000
PA
USD
1125092.02000000
0.145348056384
Long
ABS-O
CORP
US
Y
2
2030-04-22
Fixed
5.56000000
N
N
N
N
N
N
BENCHMARK Mortgage Trust
N/A
Benchmark 2021-B27 Mortgage Trust
08163HAG3
14479190.01000000
PA
USD
932839.19000000
0.120511354427
Long
ABS-MBS
CORP
US
N
2
2054-07-15
Variable
1.26000000
N
N
N
N
N
N
VMWARE INC
549300BUDHS3LRWBE814
VMware Inc
928563AH8
1476000.00000000
PA
USD
1417614.67000000
0.183138386303
Long
DBT
CORP
US
N
2
2024-08-15
Fixed
1.00000000
N
N
N
N
N
N
AVOLON HOLDINGS FNDG LTD
635400ZRKEX9L1BKCH30
Avolon Holdings Funding Ltd
05401AAK7
892000.00000000
PA
USD
858862.00000000
0.110954411002
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
BBCMS Mortgage Trust 2018-C2
05491UBE7
19207238.46000000
PA
USD
561606.21000000
0.072552617586
Long
ABS-MBS
CORP
US
Y
2
2051-12-15
Variable
0.75000000
N
N
N
N
N
N
CNH INDUSTRIAL CAP LLC
549300PNSJ5B81UMVO28
CNH Industrial Capital LLC
12592BAJ3
1726000.00000000
PA
USD
1718533.32000000
0.222013376197
Long
DBT
CORP
US
N
2
2024-01-15
Fixed
4.20000000
N
N
N
N
N
N
WARNERMEDIA HOLDINGS INC
549300DXR29GD4N0A520
Warnermedia Holdings Inc
55903VAY9
4233000.00000000
PA
USD
4093276.16000000
0.528800954520
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
Arbor Realty Commercial Real Estate Notes 2021-FL4 Ltd
03880RAE9
1684000.00000000
PA
USD
1640229.98000000
0.211897547381
Long
ABS-CBDO
CORP
KY
Y
2
2036-11-15
Floating
7.45000000
N
N
N
N
N
N
WESTERN MIDSTREAM OPERAT
L6D8A6MLSY454J2JXJ60
Western Midstream Operating LP
958667AB3
1082000.00000000
PA
USD
1039528.90000000
0.134294353247
Long
DBT
CORP
US
N
2
2025-02-01
Fixed
3.10000000
N
N
N
N
N
N
UBS GROUP AG
549300SZJ9VS8SGXAN81
UBS Group AG
902613AU2
1513000.00000000
PA
USD
1488366.36000000
0.192278634785
Long
DBT
CORP
CH
Y
2
2027-01-12
Fixed
5.71000000
N
N
N
N
N
N
Merrill Lynch & Co., Inc.
DWW559HN8WVTCCS4VJ94
Long: TR11394 TRS USD R E TR11394R / Short: TR11394 TRS USD P V 03MTBILL TR11394P/USB3MTA+9BPS
000000000
91444623.08000000
OU
Notional Amount
USD
530076.88000000
0.068479415792
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
91444623.08000000
USD
530076.88000000
N
N
N
ROSS STORES INC
549300ENZFLPGRDFZQ60
Ross Stores Inc
778296AF0
926000.00000000
PA
USD
819864.91000000
0.105916466429
Long
DBT
CORP
US
N
2
2026-04-15
Fixed
0.88000000
N
N
N
N
N
N
2023-11-17
MFS SERIES TRUST XV
Kasey Phillips
Kasey Phillips
Assistant Treasurer