NPORT-P false 0000813383 XXXXXXXX S000001924 C000005073 C000005074 BNY Mellon Variable Investment Fund 811-05125 0000813383 549300WX7KVU2RWH5052 240 Greenwich Street New York 10286 212 495 1784 Quality Bond Portfolio S000001924 54930003RZJPGOAW3J03 2019-12-31 2019-12-31 N 39672173.01 6831097.76 32841075.25 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 3131860.16 0.00 0.00 24111.41 CAD USD SGD GBP NZD MXN RUB INR ZAR EUR AUD BRL PLN KRW CLP JPY HKD UST HUNGARY 5299008DH62LEB10JK83 445545AL0 40000.00 PA USD 45160.84 0.13751328072 Long DBT USGSE HU N 2 2024-03-25 Fixed 5.375 N N N N N N KINDER MORGAN INC/DE 549300WR7IX8XE0TBO16 28368EAE6 160000.00 PA USD 220024.61 0.6699677410836 Long DBT CORP US N 2 2032-01-15 Fixed 7.75 N N N N N N MORGAN STANLEY IGJSJL3JD5P30I6NJZ34 61746BDJ2 65000.00 PA USD 68092.64 0.2073398616873 Long DBT CORP US N 2 2023-02-25 Fixed 3.75 N N N N N N GOLDMAN SACHS GROUP INC/THE 1GAMKCZUEVIL7Z1KAW65 38141EB81 55000.00 PA USD 57004.38 0.1735764726521 Long DBT CORP US N 2 2023-11-29 Variable 3.51375 N N N N N N BANK OF AMERICA CORP 9DJT3UXIJIZJI4WXO774 06051GFF1 122000.00 PA USD 130713.38 0.3980179668447 Long DBT CORP US N 2 2024-04-01 Fixed 4.00 N N N N N N MORGAN STANLEY IGJSJL3JD5P30I6NJZ34 61747WAL3 100000.00 PA USD 105364.98 0.3208329179173 Long DBT CORP US N 2 2021-07-28 Fixed 5.5 N N N N N N AMERISOURCEBERGEN CORP AI8GXW8LG5WK7E9UD086 03073EAM7 95000.00 PA USD 98787.1 0.3008034884606 Long DBT CORP US N 2 2025-03-01 Fixed 3.25 N N N N N N WILLIAMS COS INC/THE D71FAKCBLFS2O0RBPG08 96950FAF1 65000.00 PA USD 80592.97 0.2454029576878 Long DBT CORP US N 2 2040-04-15 Fixed 6.3 N N N N N N WASTE MANAGEMENT INC 549300YX8JIID70NFS41 94106LBC2 110000.00 PA USD 123456.43 0.3759207914485 Long DBT CORP US N 2 2045-03-01 Fixed 4.1 N N N N N N STATE OF CALIFORNIA 549300X618YEC5LGBQ98 13063A7D0 340000.00 PA USD 519771.6 1.5826875217796 Long DBT MUN US N 2 2039-10-01 Fixed 7.3 N N N N N N US TREASURY N/B 254900HROIFWPRGM1V77 912810FT0 380000.00 PA USD 503517.53 1.533194410253 Long DBT UST US N 2 2036-02-15 Fixed 4.5 N N N N N N ERAC USA FINANCE LLC LTKX5ODQW6Z7BQ2K1V47 26884TAL6 60000.00 PA USD 63510.59 0.1933876693029 Long DBT CORP US Y 2 2024-11-15 Fixed 3.85 N N N N N N EXELON GENERATION CO LLC S2PEWKCZFFECR4533P43 30161MAG8 85000.00 PA USD 102512.75 0.3121479708554 Long DBT CORP US N 2 2039-10-01 Fixed 6.25 N N N N N N ENERGY TRANSFER OPERATNG 5493008K8W3OKZE54J59 29273RAT6 65000.00 PA USD 66784.35 0.2033561614277 Long DBT CORP US N 2 2043-02-01 Fixed 5.15 N N N N N N SOUTHERN COPPER CORP 2549007U6NAP46Q9TU15 84265VAJ4 25000.00 PA USD 31341.42 0.0954335988131 Long DBT CORP US N 2 2045-04-23 Fixed 5.875 N N N N N N NEW YORK NY 549300ABYZD2SFD5JB29 64966HTX8 200000.00 PA USD 259938.00 0.7915027081824 Long DBT MUN US N 2 2036-12-01 Fixed 5.985 N N N N N N KRAFT HEINZ FOODS CO 5493003STKEZ2S0RNU91 50076QAR7 10000.00 PA USD 12511.57 0.0380973214328 Long DBT CORP US N 2 2039-01-26 Fixed 6.875 N N N N N N REYNOLDS AMERICAN INC 02S2RPPVO9RP4NEU2740 761713AY2 60000.00 PA USD 65048.85 0.1980716206909 Long DBT CORP US N 2 2023-09-15 Fixed 4.85 N N N N N N WELLS FARGO & CO PBLD0EJDB5FWOLXP3B76 94974BGL8 60000.00 PA USD 65737.92 0.2001698163034 Long DBT CORP US N 2 2027-07-22 Fixed 4.3 N N N N N N RUSSIA GOVT BOND - OFZ 5493004EHVGF71PDBU58 EJ5257898 16305000.00 PA 277480.21 0.8449181638777 Long DBT USGSE RU N 2 2028-01-19 Fixed 7.05 N N N N N N WILLIAMS COS INC/THE D71FAKCBLFS2O0RBPG08 96950FAL8 130000.00 PA USD 139201.1 0.423862796636 Long DBT CORP US N 2 2023-11-15 Fixed 4.5 N N N N N N UNITEDHEALTH GROUP INC 549300GHBMY8T5GXDE41 91324PCR1 115000.00 PA USD 141384.13 0.4305100515854 Long DBT CORP US N 2 2045-07-15 Fixed 4.75 N N N N N N CITIGROUP INC 6SHGI4ZSSLCXXQSBB395 172967JU6 40000.00 PA USD 49619.24 0.1510889628986 Long DBT CORP US N 2 2045-07-30 Fixed 4.65 N N N N N N GOLDMAN SACHS GROUP INC/THE 1GAMKCZUEVIL7Z1KAW65 38141GVP6 105000.00 PA USD 105504.27 0.3212570514115 Long DBT CORP US N 2 2020-09-15 Fixed 2.75 N N N N N N GILEAD SCIENCES INC 549300WTZWR07K8MNV44 375558BD4 30000.00 PA USD 36025.15 0.1096954034719 Long DBT CORP US N 2 2046-03-01 Fixed 4.75 N N N N N N GILEAD SCIENCES INC 549300WTZWR07K8MNV44 375558BF9 55000.00 PA USD 59188.66 0.1802275338107 Long DBT CORP US N 2 2026-03-01 Fixed 3.65 N N N N N N MEDTRONIC INC D56MRZY2INAN94ZONZ37 585055BU9 13000.00 PA USD 16347.14 0.0497765066324 Long DBT CORP US N 2 2045-03-15 Fixed 4.625 N N N N N N FANNIE MAE B1V7KEBTPIMZEU4LTD58 31418AJY5 172489.88 OU Other Units USD 183605.42 0.5590724986996 Long ABS-MBS USGA US N 2 2042-09-01 Fixed 4.00 N N N N N N FANNIE MAE B1V7KEBTPIMZEU4LTD58 31410FYK5 3700.06 OU Other Units USD 3823.15 0.0116413667058 Long ABS-MBS USGA US N 2 2021-03-01 Fixed 5.00 N N N N N N KENTUCKY UTILITIES CO AGX0G2MXE54NFNNICD28 491674BL0 80000.00 PA USD 93049.05 0.2833313138856 Long DBT CORP US N 2 2045-10-01 Fixed 4.375 N N N N N N NEW JERSEY ECONOMIC DEVELOPMENT AUTHORITY 5493006JS6QWDVU4R678 64577BLA0 305000.00 PA USD 308306.2 0.938782295199 Long DBT MUN US N 2 2020-06-15 Fixed 4.447 N N N N N N VISA INC 549300JZ4OKEHW3DPJ59 92826CAD4 75000.00 PA USD 79266.73 0.2413646002653 Long DBT CORP US N 2 2025-12-14 Fixed 3.15 N N N N N N FANNIE MAE B1V7KEBTPIMZEU4LTD58 31371LDG1 200668.4 OU Other Units USD 221286.26 0.6738094240687 Long ABS-MBS USGA US N 2 2033-10-01 Fixed 5.00 N N N N N N BARCLAYS PLC 213800LBQA1Y9L22JB70 06738EAN5 200000.00 PA USD 216668.4 0.6597481914055 Long DBT CORP GB N 2 2026-01-12 Fixed 4.375 N N N N N N CITIGROUP INC 6SHGI4ZSSLCXXQSBB395 172967KN0 205000.00 PA USD 215312.87 0.6556206468909 Long DBT CORP US N 2 2026-05-01 Fixed 3.4 N N N N N N COMCAST CORP 51M0QTTNCGUN7KFCFZ59 20030NBS9 105000.00 PA USD 110059.44 0.3351273950751 Long DBT CORP US N 2 2026-03-01 Fixed 3.15 N N N N N N BANK OF AMERICA CORP 9DJT3UXIJIZJI4WXO774 06051GFX2 125000.00 PA USD 132915.15 0.4047222844812 Long DBT CORP US N 2 2026-04-19 Fixed 3.5 N N N N N N DOW CHEMICAL CO/THE ZQUIP1CSZO8LXRBSOU78 260543CJ0 85000.00 PA USD 89248.35 0.2717583066955 Long DBT CORP US N 2 2024-10-01 Fixed 3.5 N N N N N COMM MORTGAGE TRUST N/A 12629NAF2 170000.00 OU Other Units USD 177185.00 0.5395225297929 Long ABS-MBS CORP US N 2 2048-02-01 Fixed 3.35 N N N N N N DELL INTERNATIONAL LLC / EMC C N/A 25272KAK9 110000.00 PA USD 126606.57 0.3855128647165 Long DBT CORP US Y 2 2026-06-15 Fixed 6.02 N N N N N N ORACLE CORP 529900MIMKY9RU60Z323 68389XBM6 140000.00 PA USD 143182.18 0.4359850550264 Long DBT CORP US N 2 2026-07-15 Fixed 2.65 N N N N N N FHLMC MULTIFAMILY STRUCTURED P N/A 3137B3NA2 25000.00 OU Other Units USD 25897.76 0.0788578321594 Long ABS-MBS USGA US N 2 2023-04-01 Variable 3.25 N N N N N N DOMINION ENERGY INC ILUL7B6Z54MRYCF6H308 25746UCK3 165000.00 PA USD 166691.39 0.5075698305584 Long DBT CORP US N 2 2026-08-15 Fixed 2.85 N N N N N N KRAFT HEINZ FOODS CO 5493003STKEZ2S0RNU91 50077LAK2 50000.00 PA USD 52931.85 0.1611757520028 Long DBT CORP US N 2 2025-07-15 Fixed 3.95 N N N N N N CISCO SYSTEMS INC 8E6NF1YAL0WT6CWXXV93 17275RBL5 35000.00 PA USD 35674.83 0.1086286905298 Long DBT CORP US N 2 2026-09-20 Fixed 2.5 N N N N N N SHIRE ACQ INV IRELAND DA 549300XK5HGW68R8K327 82481LAC3 100000.00 PA USD 101892.12 0.3102581728044 Long DBT CORP IE N 2 2023-09-23 Fixed 2.875 N N N N N N PRINCIPAL FINANCIAL GROUP INC CUMYEZJOAF02RYZ1JJ85 74251VAN2 90000.00 PA USD 101697.5 0.3096655612699 Long DBT CORP US N 2 2046-11-15 Fixed 4.3 N N N N N N FANNIE MAE B1V7KEBTPIMZEU4LTD58 3138YPKW1 95244.09 OU Other Units USD 99244.51 0.3021962869501 Long ABS-MBS USGA US N 2 2030-05-01 Fixed 3.5 N N N N N N CSX CORP 549300JVQR4N1MMP3Q88 126408HE6 75000.00 PA USD 76264.53 0.2322229994585 Long DBT CORP US N 2 2026-11-01 Fixed 2.6 N N N N N N FANNIE MAE B1V7KEBTPIMZEU4LTD58 3138WEKF5 191364.81 OU Other Units USD 201572.42 0.6137814260512 Long ABS-MBS USGA US N 2 2045-04-01 Fixed 3.5 N N N N N N GENERAL ELECTRIC CO 3C7474T6CDKPR9K6YT90 369604BQ5 10000.00 PA USD 9809.8 0.0298705201499 Long DBT CORP US N 2 2168-06-15 Variable 5.00 N N N N N N KEY BANK NA HUX2X73FUCYHUVH1BK78 49327M2Q6 250000.00 PA USD 252827.74 0.7698521990384 Long DBT CORP US N 2 2021-11-22 Fixed 2.5 N N N N N N ABBOTT LABORATORIES HQD377W2YR662HK5JX27 002824BH2 120000.00 PA USD 157663.74 0.4800809315766 Long DBT CORP US N 2 2046-11-30 Fixed 4.9 N N N N N N FHLMC MULTIFAMILY STRUCTURED P N/A 3137B1BS0 30000.00 OU Other Units USD 30421.95 0.0926338427363 Long ABS-MBS USGA US N 2 2022-11-01 Fixed 2.51 N N N N N N WESTERN MIDSTREAM OPERAT L6D8A6MLSY454J2JXJ60 958254AF1 55000.00 PA USD 56310.45 0.1714634784986 Long DBT CORP US N 2 2026-07-01 Fixed 4.65 N N N N N FREDDIE MAC N/A 3128MJY61 262294.5 OU Other Units USD 268714.78 0.8182277162194 Long ABS-MBS USGA US N 2 2046-11-01 Fixed 3.00 N N N N N N NEVADA POWER CO MJZFGXRJ52U8U4MKJ519 641423BU1 150000.00 PA USD 211979.76 0.6454714359573 Long DBT CORP US N 2 2037-07-01 Fixed 6.75 N N N N N N FEDEX CORP 549300E707U7WNPZN687 31428XBN5 125000.00 PA USD 125420.34 0.3819008331647 Long DBT CORP US N 2 2047-01-15 Fixed 4.4 N N N N N N HEWLETT PACKARD ENTERPRISE CO 549300BX44RGX6ANDV88 42824CAN9 75000.00 PA USD 79231.15 0.241256260329 Long DBT CORP US N 2 2022-10-15 Variable 4.4 N N N N N N JAPAN GOVT CPI LINKED 353800WZS8AXZXFUC241 JK7713619 145155392.00 PA 1365319.69 4.1573538004057 Long DBT USGSE JP N 2 2026-03-10 Fixed 0.1 N N N N N N WELLS FARGO & CO PBLD0EJDB5FWOLXP3B76 949746SK8 110000.00 PA USD 112304.76 0.3419643210372 Long DBT CORP US N 2 2023-01-24 Fixed 3.069 N N N N N N BELLSOUTH LLC 549300K521AGBDAYHX03 00206RDQ2 50000.00 PA USD 54903.15 0.1671782960273 Long DBT CORP US N 2 2027-03-01 Fixed 4.25 N N N N N N MPLX LP 5493000CZJ19CK4P3G36 55336VAL4 60000.00 PA USD 64792.13 0.1972899166874 Long DBT CORP US N 2 2047-03-01 Fixed 5.2 N N N N N N MPLX LP 5493000CZJ19CK4P3G36 55336VAK6 70000.00 PA USD 73511.64 0.2238405394476 Long DBT CORP US N 2 2027-03-01 Fixed 4.125 N N N N N N COMM MORTGAGE TRUST N/A 12591UAH6 70000.00 OU Other Units USD 73673.89 0.2243345853908 Long ABS-MBS CORP US N 2 2047-03-01 Fixed 4.199 N N N N N N LOUISVILLE GAS & ELEC KO3GRIB3RPH1XDX50U72 546676AX5 90000.00 PA USD 104119.71 0.3170411114964 Long DBT CORP US N 2 2045-10-01 Fixed 4.375 N N N N N N TSY INFL IX N/B 254900HROIFWPRGM1V77 912810RW0 63965.4 PA USD 68606.91 0.2089057970171 Long DBT UST US N 2 2047-02-15 Fixed 0.875 N N N N N N CD COMMERCIAL MORTGAGE TRUST N/A 12515GAD9 290000.00 OU Other Units USD 310824.2 0.9464495228425 Long ABS-MBS CORP US N 2 2050-02-01 Fixed 3.631 N N N N N N FANNIE MAE B1V7KEBTPIMZEU4LTD58 31419AXV4 458242.67 OU Other Units USD 496852.43 1.5128993987491 Long ABS-MBS USGA US N 2 2040-10-01 Fixed 4.5 N N N N N N FHLMC MULTIFAMILY STRUCTURED P N/A 3137B36J2 85000.00 OU Other Units USD 88190.65 0.2685376447898 Long ABS-MBS USGA US N 2 2023-02-01 Fixed 3.32 N N N N N N GOVERNMENT NATIONAL MORTGAGE A 549300M8ZYFG0OCMTT87 36179RS83 680355.2 OU Other Units USD 702483.1 2.1390380633167 Long ABS-MBS USGA US N 2 2045-11-01 Fixed 3.00 N N N N N N FREDDIE MAC N/A 312940QP7 2069.26 OU Other Units USD 2230.46 0.0067916777481 Long ABS-MBS USGA US N 2 2040-05-01 Fixed 5.5 N N N N N N HOUSTON GALLERIA MALL TRUST N/A 44217NAC0 100000.00 OU Other Units USD 102486.24 0.3120672487725 Long ABS-MBS CORP US Y 2 2037-03-01 Fixed 3.086563 N N N N N N FREDDIE MAC N/A 3132QSLY2 96800.49 OU Other Units USD 102015.48 0.3106337999697 Long ABS-MBS USGA US N 2 2045-08-01 Fixed 3.5 N N N N N N FREDDIE MAC N/A 3132QTUP9 52359.44 OU Other Units USD 54722.88 0.1666293797734 Long ABS-MBS USGA US N 2 2045-08-01 Fixed 3.5 N N N N N N FANNIE MAE B1V7KEBTPIMZEU4LTD58 31383DFQ1 3269.02 OU Other Units USD 3348.69 0.010196651524 Long ABS-MBS USGA US N 2 2029-09-01 Fixed 7.00 N N N N N N FANNIE MAE B1V7KEBTPIMZEU4LTD58 31383EX55 465.69 OU Other Units USD 509.96 0.0015528115206 Long ABS-MBS USGA US N 2 2029-06-01 Fixed 7.00 N N N N N N FANNIE MAE B1V7KEBTPIMZEU4LTD58 31383QFE9 573.59 OU Other Units USD 626.02 0.0019062104247 Long ABS-MBS USGA US N 2 2029-08-01 Fixed 7.00 N N N N N N FANNIE MAE B1V7KEBTPIMZEU4LTD58 31383QXU3 675.06 OU Other Units USD 687.34 0.0020929278191 Long ABS-MBS USGA US N 2 2029-08-01 Fixed 7.00 N N N N N N FANNIE MAE B1V7KEBTPIMZEU4LTD58 31383RF23 99.87 OU Other Units USD 99.98 0.0003044358299 Long ABS-MBS USGA US N 2 2029-08-01 Fixed 7.00 N N N N N N FANNIE MAE B1V7KEBTPIMZEU4LTD58 31411BAD5 8223.68 OU Other Units USD 8497.89 0.0258757971086 Long ABS-MBS USGA US N 2 2021-11-01 Fixed 5.00 N N N N N N FANNIE MAE B1V7KEBTPIMZEU4LTD58 3138ENMW6 877249.76 OU Other Units USD 927875.31 2.8253499708417 Long ABS-MBS USGA US N 2 2044-09-01 Fixed 3.5 N N N N N N DIAMONDBACK ENERGY INC 5299009LINL232255G03 25278XAH2 25000.00 PA USD 26248.53 0.0799259153367 Long DBT CORP US N 2 2025-05-31 Fixed 5.375 N N N N N N FANNIE MAE B1V7KEBTPIMZEU4LTD58 3138WFZU3 277508.6 OU Other Units USD 286064.87 0.8710581727984 Long ABS-MBS USGA US N 2 2030-11-01 Fixed 3.00 N N N N N N NISSAN AUTO RECEIVABLES OWNER 54930039HJHMLGTL9O65 65478GAE0 190000.00 OU Other Units USD 190137.77 0.5789632907954 Long ABS-MBS CORP US N 2 2023-10-16 Fixed 1.95 N N N N N N FANNIE MAE B1V7KEBTPIMZEU4LTD58 3138WF3F1 215346.99 OU Other Units USD 224867.47 0.6847140913877 Long ABS-MBS USGA US N 2 2045-11-01 Fixed 3.5 N N N N N N CHARTER COMM OPT LLC/CAP N/A 161175BL7 50000.00 PA USD 56030.29 0.1706104004618 Long DBT CORP US N 2 2047-05-01 Fixed 5.375 N N N N N N GOLDMAN SACHS GROUP INC/THE 1GAMKCZUEVIL7Z1KAW65 38141GWV2 50000.00 PA USD 53599.22 0.163207871825 Long DBT CORP US N 2 2029-04-23 Variable 3.814 N N N N N N FANNIE MAE B1V7KEBTPIMZEU4LTD58 3138WJN53 164078.71 OU Other Units USD 165919.89 0.5052206382919 Long ABS-MBS USGA US N 2 2031-12-01 Fixed 2.5 N N N N N N CVS HEALTH CORP 549300EJG376EN5NQE29 126650CX6 80000.00 PA USD 87370.04 0.2660389141795 Long DBT CORP US N 2 2028-03-25 Fixed 4.3 N N N N N N GOVERNMENT NATIONAL MORTGAGE A 549300M8ZYFG0OCMTT87 36202C5E9 1711.18 OU Other Units USD 1956.78 0.0059583310994 Long ABS-MBS USGA US N 2 2028-09-01 Fixed 7.00 N N N N N N ANHEUSER-BUSCH INBEV WOR 549300CRGMZK3K53BF92 035240AL4 35000.00 PA USD 38502.53 0.1172389445439 Long DBT CORP US N 2 2028-04-13 Fixed 4.00 N N N N N N DOLLAR TREE INC 549300PMSTQITB1WHR43 256746AH1 25000.00 PA USD 26807.82 0.081628935094 Long DBT CORP US N 2 2028-05-15 Fixed 4.2 N N N N N N GOVERNMENT NATIONAL MORTGAGE A 549300M8ZYFG0OCMTT87 36202DCU3 695.72 OU Other Units USD 801.06 0.0024392014996 Long ABS-MBS USGA US N 2 2029-07-01 Fixed 7.00 N N N N N N VERIZON COMMUNICATIONS INC 2S72QS2UO2OESLG6Y829 92343VEN0 22000.00 PA USD 23295.29 0.0709333961286 Long DBT CORP US N 2 2025-02-15 Fixed 3.376 N N N N N N ENERGY TRANSFER OPERATNG 5493008K8W3OKZE54J59 29278NAA1 10000.00 PA USD 9415.2 0.0286689760561 Long DBT CORP US N 2 2168-02-15 Variable 6.25 N N N N N N GOVERNMENT NATIONAL MORTGAGE A 549300M8ZYFG0OCMTT87 36200KQT7 182657.42 OU Other Units USD 204927.6 0.623997839413 Long ABS-MBS USGA US N 2 2033-04-01 Fixed 5.5 N N N N N N WESTERN MIDSTREAM OPERAT L6D8A6MLSY454J2JXJ60 958254AH7 35000.00 PA USD 34542.51 0.1051808131647 Long DBT CORP US N 2 2028-03-01 Fixed 4.5 N N N N N N ROMANIA 315700IASY927EDWBK92 AR0511139 30000.00 PA 36447.4 0.1109811409113 Long DBT USGSE RO Y 2 2030-02-08 Fixed 2.5 N N N N N N CONCHO RESOURCES INC SYHS7HRDXLL4I0IQ8776 20605PAJ0 30000.00 PA USD 34999.03 0.1065709016333 Long DBT CORP US N 2 2047-10-01 Fixed 4.875 N N N N N N OSCAR US FUNDING TRUST N/A 68784AAD8 31696.8 OU Other Units USD 31739.49 0.0966457089434 Long ABS-MBS CORP JP Y 2 2021-12-10 Fixed 2.45 N N N N N N FANNIE MAE B1V7KEBTPIMZEU4LTD58 3140J5FG9 262568.94 OU Other Units USD 278743.34 0.8487643534144 Long ABS-MBS USGA US N 2 2047-02-01 Fixed 4.00 N N N N N N OSCAR US FUNDING TRUST N/A 68784AAE6 50000.00 OU Other Units USD 50507.81 0.1537946294861 Long ABS-MBS CORP JP Y 2 2024-12-10 Fixed 2.76 N N N N N N AMERICAN INTERNATIONAL GROUP INC ODVCVCQG2BP6VHV36M30 026874DK0 85000.00 PA USD 93524.24 0.2847782518935 Long DBT CORP US N 2 2028-04-01 Fixed 4.2 N N N N N N CORNING INC 549300X2937PB0CJ7I56 219350BF1 40000.00 PA USD 41160.84 0.1253334115483 Long DBT CORP US N 2 2057-11-15 Fixed 4.375 N N N N N N OSCAR US FUNDING TRUST 353800N5RGHXWI4JYR18 68784CAE2 190000.00 OU Other Units USD 195325.78 0.5947606115606 Long ABS-MBS CORP JP Y 2 2025-05-12 Fixed 3.5 N N N N N N BANK OF AMERICA CORP 9DJT3UXIJIZJI4WXO774 06051GHC6 43000.00 PA USD 44057.43 0.1341534333593 Long DBT CORP US N 2 2023-12-20 Variable 3.004 N N N N N N STARWOOD WAYPOINT HOMES TRUST N/A 85572MAA8 178341.46 OU Other Units USD 178166.26 0.5425104343987 Long ABS-MBS CORP US Y 2 2035-01-17 Variable 2.68975 N N N N N N BANK OF AMERICA CORP 9DJT3UXIJIZJI4WXO774 06051GHD4 74000.00 PA USD 77665.44 0.2364887245888 Long DBT CORP US N 2 2028-12-20 Variable 3.419 N N N N N N FANNIE MAE B1V7KEBTPIMZEU4LTD58 31418CTD6 187637.35 OU Other Units USD 192850.49 0.5872234344702 Long ABS-MBS USGA US N 2 2033-01-01 Fixed 3.00 N N N N N N TRICON AMERICAN HOMES N/A 89613FAA6 124646.39 OU Other Units USD 125582.72 0.3823952749537 Long ABS-MBS CORP US Y 2 2036-01-01 Fixed 2.928 N N N N N N AMAZON.COM INC ZXTILKJKG63JELOEG630 023135BJ4 105000.00 PA USD 123348.46 0.3755920263298 Long DBT CORP US N 2 2047-08-22 Fixed 4.05 N N N N N N CARMAX AUTO OWNER TRUST 5493003IB59OF448TR74 14314RAD4 85000.00 OU Other Units USD 85346.65 0.2598777578087 Long ABS-MBS CORP US N 2 2023-05-15 Fixed 2.33 N N N N N N FANNIE MAE B1V7KEBTPIMZEU4LTD58 31418CU69 164908.97 OU Other Units USD 168200.08 0.5121637422635 Long ABS-MBS USGA US N 2 2048-03-01 Fixed 3.00 N N N N N N GOVERNMENT NATIONAL MORTGAGE A 549300M8ZYFG0OCMTT87 36179TQQ1 262794.47 OU Other Units USD 273387.66 0.8324564829831 Long ABS-MBS USGA US N 2 2048-01-01 Fixed 4.00 N N N N N N DELL EQUIPMENT FINANCE TRUST N/A 24702JAD1 37673.37 OU Other Units USD 37681.07 0.1147376257115 Long ABS-MBS CORP US Y 2 2022-10-24 Fixed 2.19 N N N N N N GOVERNMENT NATIONAL MORTGAGE A 549300M8ZYFG0OCMTT87 36179TJY2 130804.35 OU Other Units USD 135965.46 0.4140103786644 Long ABS-MBS USGA US N 2 2047-10-01 Fixed 4.00 N N N N N N ENTERPRISE FLEET FINANCING LLC RKWYUSIDZTWNAX1D9U96 29373EAB3 37472.45 OU Other Units USD 37464.32 0.1140776290508 Long ABS-MBS CORP US Y 2 2023-05-22 Fixed 2.13 N N N N N N OSCAR US FUNDING TRUST N/A 68784XAE6 130000.00 OU Other Units USD 133992.04 0.4080013793092 Long ABS-MBS CORP JP Y 2 2025-09-10 Fixed 3.63 N N N N N N UNITED TECHNOLOGIES CORP 549300JUQ1YDAUW4BB42 913017CY3 75000.00 PA USD 84485.27 0.257254883882 Long DBT CORP US N 2 2028-11-16 Fixed 4.125 N N N N N N CARMAX AUTO OWNER TRUST N/A 14314AAD1 180000.00 OU Other Units USD 182110.46 0.5545203943954 Long ABS-MBS CORP US N 2 2023-06-15 Fixed 2.64 N N N N N N COMCAST CORP 51M0QTTNCGUN7KFCFZ59 20030NCM1 45000.00 PA USD 55467.63 0.1688971191648 Long DBT CORP US N 2 2048-10-15 Fixed 4.7 N N N N N N GOVERNMENT NATIONAL MORTGAGE A 549300M8ZYFG0OCMTT87 36179T4Q5 244423.4 OU Other Units USD 257486.35 0.7840375141188 Long ABS-MBS USGA US N 2 2048-07-01 Fixed 4.5 N N N N N N DELAMARE CARDS 635400IAJKM25WRCSE95 24553LAA2 175000.00 OU Other Units USD 175279.39 0.5337200096699 Long ABS-MBS CORP GB Y 2 2025-11-19 Variable 2.46388 N N N N N N FANNIE MAE B1V7KEBTPIMZEU4LTD58 3140Q7NZ6 442500.95 OU Other Units USD 460030.00 1.4007763037539 Long ABS-MBS USGA US N 2 2047-09-01 Fixed 3.5 N N N N N N US TREASURY FRN 254900HROIFWPRGM1V77 9128285H9 1355000.00 PA USD 1354461.75 4.1242917282374 Long DBT UST US N 2 2020-10-31 Variable 1.570863 N N N N N FANNIE MAE B1V7KEBTPIMZEU4LTD58 31418CWW0 171492.41 OU Other Units USD 178698.59 0.5441313618377 Long ABS-MBS USGA US N 2 2038-05-01 Fixed 3.5 N N N N N N JPMORGAN CHASE & CO 8I5DZWZKVSZI1NUHU748 46647PAX4 150000.00 PA USD 170613.99 0.5195140192615 Long DBT CORP US N 2 2029-12-05 Variable 4.452 N N N N N N ELO40OCLJ0M385UL_1030000_S N/A N/A -970000.00 NC -124475.29 -0.3790231868245 Short DFE HK N 2 JP MORGAN CHASE BANK N/A 970000.00 HKD 124475.29 USD 2020-01-03 184.15 N N N CONAGRA BRANDS INC 54930035UDEIH090K650 205887BZ4 85000.00 PA USD 87714.85 0.2670888493518 Long DBT CORP US N 2 2021-10-22 Fixed 3.8 N N N N N N FANNIE MAE B1V7KEBTPIMZEU4LTD58 3140GUPP6 265237.08 OU Other Units USD 283647.02 0.8636958986292 Long ABS-MBS USGA US N 2 2047-06-01 Fixed 4.00 N N N N N N BELLSOUTH LLC 549300K521AGBDAYHX03 00206RFW7 75000.00 PA USD 86296.74 0.2627707507841 Long DBT CORP US N 2 2037-08-15 Fixed 4.9 N N N N N N SANTANDER HOLDINGS USA INC 5493004SHNXEHHZ58X76 80282KAU0 85000.00 PA USD 88356.41 0.2690423785682 Long DBT CORP US N 2 2021-12-03 Fixed 4.45 N N N N N N NYT MORTGAGE TRUST N/A 62954PAA8 175000.00 OU Other Units USD 175739.06 0.5351196897854 Long ABS-MBS CORP US Y 2 2035-11-15 Variable 2.93975 N N N N N N CORP ANDINA DE FOMENTO UKZ46SXGNYCZK0UOZE76 219868CB0 60000.00 PA USD 61069.2 0.1859537166037 Long DBT CORP XX N 2 2022-02-11 Fixed 3.25 N N N N N N JACKSON NATL LIFE GLOBAL 635400PQXLYXWJI5QD78 46849LTE1 50000.00 PA USD 51410.78 0.1565441436026 Long DBT CORP US Y 2 2022-02-01 Fixed 3.3 N N N N N N DUKE ENERGY PROGRESS LLC 0NIFZ782LS46WOC9QK20 26442UAH7 135000.00 PA USD 144627.19 0.4403850632143 Long DBT CORP US N 2 2029-03-15 Fixed 3.45 N N N N N N PFIZER INC 765LHXWGK1KXCLTFYQ30 717081ES8 15000.00 PA USD 15573.5 0.047420798136 Long DBT CORP US N 2 2024-03-15 Fixed 2.95 N N N N N N US TREASURY N/B 254900HROIFWPRGM1V77 912810SF6 280000.00 PA USD 315607.27 0.9610138145522 Long DBT UST US N 2 2049-02-15 Fixed 3.00 N N N N N N BOEING CO/THE RVHJWBXLJ1RFUBSY1F30 097023CD5 100000.00 PA USD 104236.97 0.3173981643612 Long DBT CORP US N 2 2029-03-01 Fixed 3.2 N N N N N N FANNIE MAE B1V7KEBTPIMZEU4LTD58 3140JGEJ0 267597.75 OU Other Units USD 285497.11 0.8693293621681 Long ABS-MBS USGA US N 2 2048-08-01 Fixed 4.5 N N N N N N MERCK & CO INC 4YV9Y5M8S0BRK1RP0397 58933YAX3 20000.00 PA USD 21655.44 0.0659401065134 Long DBT CORP US N 2 2029-03-07 Fixed 3.4 N N N N N N PFIZER INC 765LHXWGK1KXCLTFYQ30 717081ET6 20000.00 PA USD 21541.41 0.065592888893 Long DBT CORP US N 2 2029-03-15 Fixed 3.45 N N N N N MERCK & CO INC 4YV9Y5M8S0BRK1RP0397 58933YAU9 40000.00 PA USD 41633.12 0.1267714887014 Long DBT CORP US N 2 2024-03-07 Fixed 2.9 N N N N N N TARGET CORP 8WDDFXB5T1Z6J0XC1L66 87612EBH8 90000.00 PA USD 97787.57 0.2977599523024 Long DBT CORP US N 2 2029-04-15 Fixed 3.375 N N N N N N WELLS FARGO COMMERCIAL MORTGAG 5493007CD1Q2V06I4172 94989AAT2 100000.00 OU Other Units USD 103588.8 0.315424507911 Long ABS-MBS CORP US N 2 2047-12-01 Fixed 3.147 N N N N N N NUTRIEN LTD 5493002QQ7GD21OWF963 67077MAT5 25000.00 PA USD 27556.59 0.0839089152539 Long DBT CORP CA N 2 2029-04-01 Fixed 4.2 N N N N N N AMERICAN EXPRESS CO R4PP93JZOLY261QX3811 025816CC1 130000.00 PA USD 135967.55 0.414016742646 Long DBT CORP US N 2 2024-02-22 Fixed 3.4 N N N N N N 0OHL54HGFMLG740O_1030000_S N/A N/A -860000.00 NC -110285.23 -0.3358149182402 Short DFE HK N 2 JP MORGAN CHASE BANK N/A 860000.00 HKD 110285.23 USD 2020-04-14 141.07 N N N HEWLETT PACKARD ENTERPRISE CO 549300BX44RGX6ANDV88 42824CBC2 5000.00 PA USD 5126.00 0.0156085023434 Long DBT CORP US N 2 2021-10-05 Fixed 3.5 N N N N N N NEW YORK LIFE GLOBAL FDG 635400DPNHEAUHB7ZI15 64952WDG5 90000.00 PA USD 92838.67 0.2826907136665 Long DBT CORP US Y 2 2024-04-10 Fixed 2.875 N N N N N N DPL INC 1ELKY8G44MKGCQWG6864 233293AP4 85000.00 PA USD 82004.88 0.2497021774583 Long DBT CORP US Y 2 2029-04-15 Fixed 4.35 N N N N N N GOVERNMENT NATIONAL MORTGAGE A 549300M8ZYFG0OCMTT87 38376REN2 69505.94 OU Other Units USD 69498.57 0.2116208725534 Long ABS-CBDO USGA US N 2 2065-05-01 Fixed 2.5 N N N N N N FANNIE MAE B1V7KEBTPIMZEU4LTD58 3140FXED0 163807.7 OU Other Units USD 172320.82 0.5247112607861 Long ABS-MBS USGA US N 2 2056-08-01 Fixed 3.5 N N N N N N FREDDIE MAC - SCRT N/A 35563PJK6 152593.03 OU Other Units USD 160593.94 0.4890032947383 Long ABS-CBDO CORP US N 2 2058-07-01 Fixed 4.00 N N N N N N WALMART INC Y87794H0US1R65VBXU25 931142EM1 95000.00 PA USD 100171.64 0.3050193674764 Long DBT CORP US N 2 2026-07-08 Fixed 3.05 N N N N N N BRISTOL-MYERS SQUIBB CO HLYYNH7UQUORYSJQCN42 110122CB2 30000.00 PA USD 32086.34 0.0977018558489 Long DBT CORP US Y 2 2029-07-26 Fixed 3.4 N N N N N N FHLMC MULTIFAMILY STRUCTURED P N/A 3137FL6P4 205000.00 OU Other Units USD 222482.52 0.6774519966425 Long ABS-MBS USGA US N 2 2029-01-01 Fixed 3.563 N N N N N N FREDDIE MAC - SCRT N/A 35563PJF7 76432.84 OU Other Units USD 78896.78 0.2402381146153 Long ABS-CBDO CORP US N 2 2058-07-01 Fixed 3.5 N N N N N N BRISTOL-MYERS SQUIBB CO HLYYNH7UQUORYSJQCN42 110122CA4 50000.00 PA USD 52473.65 0.1597805479892 Long DBT CORP US Y 2 2026-06-15 Fixed 3.2 N N N N N N SOUTHERN CAL EDISON 9R1Z5I36FERIBVKW4P77 842400GQ0 85000.00 PA USD 94115.61 0.2865789542015 Long DBT CORP US N 2 2029-03-01 Fixed 4.2 N N N N N N ANHEUSER-BUSCH CO/INBEV N/A 03522AAJ9 90000.00 PA USD 106602.16 0.3246000905527 Long DBT CORP US N 2 2046-02-01 Fixed 4.9 N N N N N N QMQMVLQJOD60R5FG_1030000_S N/A N/A -149350000.00 NC -1376867.61 -4.1925168391068 Short DFE JP N 2 MORGAN STANLEY & COMPANY LLC N/A 149350000.00 JPY 1376867.61 USD 2020-01-31 -10069.77 N N N US TREASURY N/B 254900HROIFWPRGM1V77 912810SH2 420000.00 PA USD 462544.6 1.4084331785086 Long DBT UST US N 2 2049-05-15 Fixed 2.875 N N N N N N TSY INFL IX N/B 254900HROIFWPRGM1V77 9128286N5 377536.9 PA USD 383701.22 1.1683576651467 Long DBT UST US N 2 2024-04-15 Fixed 0.5 N N N N N AJ5DO9BT48GGJPNL_1030000_L N/A N/A 60000.00 NC 67431.6 0.205327016508 Long DFE XX N 2 MORGAN STANLEY & COMPANY LLC N/A 67431.6 USD 60000.00 EUR 2020-01-31 786.95 N N N PFIZER INC 765LHXWGK1KXCLTFYQ30 717081EN9 15000.00 PA USD 15645.23 0.0476392136399 Long DBT CORP US N 2 2023-09-15 Fixed 3.2 N N N N N N KEURIG DR PEPPER INC DYTQ8KRTKO7Y2BVU5K74 49271VAG5 20000.00 PA USD 21092.86 0.0642270688137 Long DBT CORP US N 2 2023-05-25 Fixed 4.057 N N N N N N FANNIE MAE B1V7KEBTPIMZEU4LTD58 3140J8VQ3 72041.13 OU Other Units USD 74157.64 0.2258075883188 Long ABS-MBS USGA US N 2 2044-01-01 Fixed 3.00 N N N N N N BELLSOUTH LLC 549300K521AGBDAYHX03 00206RJJ2 110000.00 PA USD 130548.94 0.397517252423 Long DBT CORP US N 2 2043-12-15 Variable 5.35 N N N N N N EDISON INTERNATIONAL 549300I7ROF15MAEVP56 281020AN7 15000.00 PA USD 16849.32 0.0513056283076 Long DBT CORP US N 2 2027-06-15 Fixed 5.75 N N N N N N SINGAPORE GOVERNMENT 549300ZSV6VOGFH1ER70 AS3039433 120000.00 PA 95640.51 0.2912222248265 Long DBT USGSE SG N 2 2028-05-01 Fixed 2.625 N N N N N N TRUIST FINANCIAL CORP 549300DRQQI75D2JP341 05531FBH5 105000.00 PA USD 106325.93 0.3237589792374 Long DBT CORP US N 2 2024-08-01 Fixed 2.5 N N N N N N US BANCORP N1GZ7BBF3NP8GI976H15 91159HHX1 80000.00 PA USD 81070.96 0.2468584216042 Long DBT CORP US N 2 2024-07-30 Fixed 2.4 N N N N N N FANNIE MAE B1V7KEBTPIMZEU4LTD58 3140JAQP6 247040.27 OU Other Units USD 264113.76 0.8042177608055 Long ABS-MBS USGA US N 2 2047-05-01 Fixed 4.5 N N N N N N ROYAL BANK OF CANADA ES7IP3U3RHIGC71XBU11 78013XZU5 90000.00 PA USD 91362.41 0.2781955502507 Long DBT CORP CA N 2 2024-07-16 Fixed 2.55 N N N N N N FREDDIE MAC - SLST N/A 35564CBC0 60000.00 OU Other Units USD 62419.28 0.1900646660465 Long ABS-CBDO CORP US N 2 2029-05-01 Fixed 3.5 N N N N N N EDISON INTERNATIONAL 549300I7ROF15MAEVP56 281020AM9 25000.00 PA USD 25644.66 0.0780871509376 Long DBT CORP US N 2 2028-03-15 Fixed 4.125 N N N N N N REPUBLIC SERVICES INC NKNQHM6BLECKVOQP7O46 760759AU4 40000.00 PA USD 40465.36 0.1232156976955 Long DBT CORP US N 2 2024-08-15 Fixed 2.5 N N N N N N 49UC2GGL4QAJHE5M_1030000_L N/A N/A 860000.00 NC 110285.23 0.3358149182402 Long DFE HK N 2 CITIBANK N A N/A 110285.23 USD 860000.00 HKD 2020-04-14 222.14 N N N OSCAR US FUNDING TRUST N/A 68784EAD0 145000.00 OU Other Units USD 146209.26 0.4452024146194 Long ABS-MBS CORP JP Y 2 2026-09-10 Fixed 2.68 N N N N N N 0F5NTE27H6A67DR5_1030000_L N/A N/A 970000.00 NC 124475.29 0.3790231868245 Long DFE HK N 2 UBS SECURITIES LLC N/A 124475.29 USD 970000.00 HKD 2020-01-03 377.24 N N N GENERAL ELECTRIC CO 3C7474T6CDKPR9K6YT90 369604BR3 100000.00 PA 112342.57 0.3420794512506 Long DBT CORP US N 2 2022-05-17 Fixed 0.375 N N N N N N TREASURY BILL 254900HROIFWPRGM1V77 912796SD2 2640000.00 OU Other Units USD 2633819.47 8.0198941415598 Long STIV UST US N 2 2020-02-27 Fixed N/A N N N N N N APPLE INC HWUPKR0MPOU8FGXBT394 037833DN7 160000.00 PA USD 158831.4 0.4836364180859 Long DBT CORP US N 2 2026-09-11 Fixed 2.05 N N N N N N FHLMC MULTIFAMILY STRUCTURED P N/A 3137FNAE0 275000.00 OU Other Units USD 283943.94 0.8646000103178 Long ABS-MBS USGA US N 2 2029-06-01 Fixed 2.785 N N N N N N FREDDIE MAC N/A 3132AEE44 228849.57 OU Other Units USD 232310.73 0.7073785746403 Long ABS-MBS USGA US N 2 2049-05-01 Fixed 3.00 N N N N N N PLAINS ALL AMER PIPELINE N/A 72650RBM3 85000.00 PA USD 83835.67 0.2552768731285 Long DBT CORP US N 2 2029-12-15 Fixed 3.55 N N N N N N FHLMC MULTIFAMILY STRUCTURED P N/A 3137FNB82 140000.00 OU Other Units USD 141883.49 0.4320305864528 Long ABS-MBS USGA US N 2 2029-07-01 Fixed 2.519 N N N N N N FANNIE MAE B1V7KEBTPIMZEU4LTD58 3140J96T3 80388.28 OU Other Units USD 82373.85 0.2508256790404 Long ABS-MBS USGA US N 2 2028-06-01 Fixed 3.00 N N N N N N SBA TOWER TRUST N/A 78403DAN0 80000.00 PA USD 80883.18 0.2462866376459 Long DBT CORP US Y 2 2025-01-15 Fixed 2.836 N N N N N N JOHN DEERE CAPITAL CORP E0KSF7PFQ210NWI8Z391 24422EVA4 55000.00 PA USD 55110.12 0.1678085129079 Long DBT CORP US N 2 2022-06-13 Fixed 1.95 N N N N N N VERIZON COMMUNICATIONS INC 2S72QS2UO2OESLG6Y829 92343VEU4 138000.00 PA USD 154270.3 0.4697480177662 Long DBT CORP US N 2 2029-12-03 Fixed 4.016 N N N N N N FANNIE MAE B1V7KEBTPIMZEU4LTD58 3140X4D45 92729.5 OU Other Units USD 95165.33 0.2897753172682 Long ABS-MBS USGA US N 2 2048-02-01 Fixed 3.00 N N N N N N PRICOA GLOBAL FUNDING I 635400IBXEBMD9ADYA79 74153WCL1 150000.00 PA USD 150938.69 0.4596033742835 Long DBT CORP US Y 2 2024-09-23 Fixed 2.4 N N N N N N PAYPAL HOLDINGS INC 5493005X2GO78EFZ3E94 70450YAD5 60000.00 PA USD 60866.12 0.1853353446458 Long DBT CORP US N 2 2026-10-01 Fixed 2.65 N N N N N N MPLX LP 5493000CZJ19CK4P3G36 55336VAY6 40000.00 PA USD 41187.05 0.1254132201411 Long DBT CORP US Y 2 2022-12-01 Fixed 3.5 N N N N N N HPEFS EQUIPMENT TRUST 549300NXXXDG2TJQD265 40438DAC3 100000.00 OU Other Units USD 100185.46 0.3050614489243 Long ABS-MBS CORP US Y 2 2029-09-20 Fixed 2.21 N N N N N N FANNIE MAE B1V7KEBTPIMZEU4LTD58 3140J6DV6 107535.18 OU Other Units USD 110185.32 0.3355106955579 Long ABS-MBS USGA US N 2 2032-06-01 Fixed 3.00 N N N N N N 855214873_1030000_L N/A N/A 158400.00 NC USD 15263.79 0.0464777413157 Long DCR US N 2 MORGAN STANLEY & COMPANY LLC N/A CDX.NA.HY.33.1_ICE 5.0000% N/A CDX.NA.HY.33.1_ICE 5.0000% Y 2024-12-20 9829.04 USD 9829.04 USD 158400.00 USD 5434.75 N N N FREDDIE MAC N/A 3137AELR4 67618.38 OU Other Units USD 68259.33 0.2078474272854 Long ABS-CBDO USGA US N 2 2037-12-01 Fixed 3.00 N N N N N N PETROBRAS GLOBAL FINANCE 549300FNENFFSMO3GT38 71647NBF5 10000.00 PA USD 10727.6 0.0326651911313 Long DBT CORP NL Y 2 2030-01-15 Fixed 5.093 N N N N N N MASSACHUSETTS WATER RESOURCES AUTHORITY 549300GBS2G3YGHOYO19 576051VZ6 95000.00 PA USD 93715.6 0.2853609368347 Long DBT MUN US N 2 2026-08-01 Fixed 2.163 N N N N N N 34HDBH0HETJ4S0G3_1030000_L N/A N/A 800000.00 NC 42224.63 0.1285726173049 Long DFE MX N 2 MORGAN STANLEY & COMPANY LLC N/A 42224.63 USD 800000.00 MXN 2020-01-14 1228.68 N N N HQCH5SHOKO0BSQ88_1030000_L N/A N/A 2800000.00 NC 39174.18 0.1192840968262 Long DFE IN N 2 MORGAN STANLEY & COMPANY LLC N/A 39174.18 USD 2800000.00 INR 2020-01-14 210.07 N N N FREDDIE MAC - SLST N/A 35564CDD6 100000.00 OU Other Units USD 99902.08 0.3041985660929 Long ABS-CBDO CORP US N 2 2029-09-01 Fixed 2.75 N N N N N N CIGNA CORP 549300VIWYMSIGT1U456 125523BS8 60000.00 PA USD 61339.02 0.1867753096786 Long DBT CORP US Y 2 2022-11-30 Fixed 3.05 N N N N N N TREASURY BILL 254900HROIFWPRGM1V77 912796TR0 400000.00 OU Other Units USD 398235.22 1.2126132197818 Long STIV UST US N 2 2020-04-16 Fixed N/A N N N N N N HQCH5SHOKO0BSQ88_1030000_S N/A N/A -2800000.00 NC -39174.18 -0.1192840968262 Short DFE IN N 2 MORGAN STANLEY & COMPANY LLC N/A 2800000.00 INR 39174.18 USD 2020-01-14 162.71 N N N FVH0 COMDTY N/A N/A 2.00 NC USD 237218.76 0.7223233654628 Long DIR US N 1 N/A N/A Long US 5YR US 5YR 2020-03-31 237218.76 USD -987.38 N N N FANNIE MAE B1V7KEBTPIMZEU4LTD58 3140X4TQ9 72931.97 OU Other Units USD 76908.68 0.2341844151403 Long ABS-MBS USGA US N 2 2049-04-01 Fixed 4.5 N N N N N N GCB3HN71PIUDEMIN_1030000_L N/A N/A 175000.00 NC 46128.3 0.1404591647771 Long DFE PL N 2 BANK OF AMERICA N/A 46128.3 USD 175000.00 PLN 2020-01-14 624.71 N N N LGV422PBNUU1UMQV_1030000_L N/A N/A 50000000.00 NC 43250.05 0.1316949876663 Long DFE KR N 2 CITIBANK N A N/A 43250.05 USD 50000000.00 KRW 2020-01-14 763.75 N N N F4FDB4QAGUF4IOV8_1030000_S N/A N/A -18015000.00 NC -289752.95 -0.882288255772 Short DFE RU N 2 JP MORGAN CHASE BANK N/A 18015000.00 RUB 289752.95 USD 2020-01-14 -9101.33 N N N FANNIE MAE B1V7KEBTPIMZEU4LTD58 31418DFT4 38402.32 OU Other Units USD 40537.31 0.1234347830922 Long ABS-MBS USGA US N 2 2049-09-01 Fixed 4.5 N N N N N N GCB3HN71PIUDEMIN_1030000_S N/A N/A -175000.00 NC -46128.3 -0.1404591647771 Short DFE PL N 2 BANK OF AMERICA N/A 175000.00 PLN 46128.3 USD 2020-01-14 -334.31 N N N G71HG9NVSL2HEUC9_1030000_L N/A N/A 15945000.00 NC 256459.1 0.7809095714672 Long DFE RU N 2 HSBC SECURITIES INC N/A 256459.1 USD 15945000.00 RUB 2020-01-14 8642.74 N N N G71HG9NVSL2HEUC9_1030000_S N/A N/A -15720000.00 NC -252840.21 -0.7698901697806 Short DFE RU N 2 HSBC SECURITIES INC N/A 15720000.00 RUB 252840.21 USD 2020-01-14 -8437.82 N N N II232CBCFP3BQ016_1030000_S N/A N/A -130000.00 NC -96665.89 -0.2943444733893 Short DFE SG N 2 JP MORGAN CHASE BANK N/A 130000.00 SGD 96665.89 USD 2020-01-14 -1019.99 N N N MIAMI-DADE CNTY FL WTR & SWR R N/A 59334DLK8 95000.00 PA USD 95390.45 0.2904608003052 Long DBT MUN US N 2 2028-10-01 Fixed 2.551 N N N N N N 13V0HM9R7L4N7254_1030000_L N/A N/A 30000000.00 NC 39904.94 0.1215092371252 Long DFE CL N 2 MORGAN STANLEY & COMPANY LLC N/A 39904.94 USD 30000000.00 CLP 2020-01-14 -1525.8 N N N FANNIE MAE OR FREDDIE MAC B1V7KEBTPIMZEU4LTD58 01F030611 770000.00 OU Other Units USD 780495.24 2.376582478066 Long ABS-MBS USGA US N 2 2050-01-01 Fixed 3.00 N N N N N N DH EUROPE FINANCE 222100KDGL314CKTZ511 23291KAH8 65000.00 PA USD 64804.47 0.1973274915838 Long DBT CORP LU N 2 2029-11-15 Fixed 2.6 N N N N N N 881177616 N/A N/A 80000.00 NC USD 3301.75 0.0100537207593 Long DFE US N 2 MORGAN STANLEY & COMPANY LLC N/A Put Purchased USD PUT / ZAR CALL 202 USD PUT / ZAR CALL 202 1.00 14.6 ZAR 2020-01-27 XXXX 2380.95 N N N 881177612 N/A N/A -80000.00 NC USD -11.25 -0.000034255882 Short DFE US N 2 MORGAN STANLEY & COMPANY LLC N/A Call Written USD CALL / ZAR PUT 20 USD CALL / ZAR PUT 20 1.00 16.00 ZAR 2020-01-27 XXXX 912.75 N N N FANNIE MAE B1V7KEBTPIMZEU4LTD58 3140JPM93 157001.01 OU Other Units USD 161448.2 0.4916044884979 Long ABS-MBS USGA US N 2 2049-06-01 Fixed 3.5 N N N N N N FANNIE MAE B1V7KEBTPIMZEU4LTD58 3140FXLN0 82881.99 OU Other Units USD 85167.36 0.2593318256228 Long ABS-MBS USGA US N 2 2059-01-01 Fixed 3.00 N N N N N N TUH0 COMDTY N/A N/A 12.00 NC USD 2586000.00 7.8742854194458 Long DIR US N 1 N/A N/A Long US 2YR NOTE US 2YR NOTE 2020-03-31 2586000.00 USD -2548.77 N N N COMCAST CORP 51M0QTTNCGUN7KFCFZ59 20030NDA6 145000.00 PA USD 145585.83 0.44330409066 Long DBT CORP US N 2 2030-02-01 Fixed 2.65 N N N N N N 860810083_1030000_L N/A N/A 158400.00 NC USD 15263.79 0.0464777413157 Long DCR US N 2 MORGAN STANLEY & COMPANY LLC N/A CDX.NA.HY.33.1_ICE 5.0000% N/A CDX.NA.HY.33.1_ICE 5.0000% Y 2024-12-20 11453.83 USD 11453.83 USD 158400.00 USD 3809.96 N N N FANNIE MAE B1V7KEBTPIMZEU4LTD58 3140X4R73 157591.44 OU Other Units USD 164480.08 0.5008364639339 Long ABS-MBS USGA US N 2 2034-08-01 Fixed 3.5 N N N N N N FANNIE MAE OR FREDDIE MAC B1V7KEBTPIMZEU4LTD58 01F040610 1100000.00 OU Other Units USD 1143921.98 3.4832050147322 Long ABS-MBS USGA US N 2 2050-01-01 Fixed 4.00 N N N N N N XCEL ENERGY INC LGJNMI9GH8XIDG5RCM61 98389BAW0 95000.00 PA USD 94094.97 0.2865161060766 Long DBT CORP US N 2 2029-12-01 Fixed 2.6 N N N N N N FANNIE MAE B1V7KEBTPIMZEU4LTD58 3140J9UY5 42399.81 OU Other Units USD 46425.1 0.1413629110697 Long ABS-MBS USGA US N 2 2048-12-01 Fixed 5.00 N N N N N N HONOLULU CITY & CNTY HI WSTWTR N/A 438701Y40 10000.00 PA USD 10149.00 0.0309033730556 Long DBT MUN US N 2 2027-07-01 Fixed 2.495 N N N N N N ULJD12U2KTO0TAO5_1030000_S N/A N/A -800000.00 NC -42224.63 -0.1285726173049 Short DFE MX N 2 UBS SECURITIES LLC N/A 800000.00 MXN 42224.63 USD 2020-01-14 -73.8 N N N MASSACHUSETTS SCHOOL BUILDING AUTHORITY N/A 576000XG3 40000.00 PA USD 39848.4 0.1213370746744 Long DBT MUN US N 2 2027-10-15 Fixed 2.436 N N N N N N ABBVIE INC FR5LCKFTG8054YNNRU85 00287YBW8 80000.00 PA USD 81434.73 0.2479660893563 Long DBT CORP US Y 2 2029-11-21 Fixed 3.2 N N N N N N CHENIERE CORP CHRISTI HD 549300I7CIEWU1BBLQ53 16412XAH8 95000.00 PA USD 96994.01 0.2953435880574 Long DBT CORP US Y 2 2029-11-15 Fixed 3.7 N N N N N N 3FFL1IO0HV5CS4NV_1030000_S N/A N/A -175000.00 NC -43457.04 -0.1323252654463 Short DFE BR N 2 MORGAN STANLEY & COMPANY LLC N/A 175000.00 BRL 43457.04 USD 2020-02-04 -490.11 N N N FANNIE MAE OR FREDDIE MAC B1V7KEBTPIMZEU4LTD58 01F032617 600000.00 OU Other Units USD 616937.19 1.8785535653251 Long ABS-MBS USGA US N 2 2050-01-01 Fixed 3.5 N N N N N N ESTEE LAUDER COS INC/THE 549300VFZ8XJ9NUPU221 29736RAP5 40000.00 PA USD 39977.86 0.1217312761402 Long DBT CORP US N 2 2029-12-01 Fixed 2.375 N N N N N N EQUINOR ASA OW6OFBNCKXC4US5C7523 29446MAC6 45000.00 PA USD 45341.48 0.1380633236117 Long DBT CORP NO N 2 2049-11-18 Fixed 3.25 N N N N N N WNH0 COMDTY N/A N/A 7.00 NC USD 1271593.75 3.8719613786092 Long DIR US N 1 N/A N/A Long US ULTRA BOND CBT US ULTRA BOND CBT 2020-03-20 1271593.75 USD -36541.82 N N N FANNIE MAE OR FREDDIE MAC B1V7KEBTPIMZEU4LTD58 01F022410 425000.00 OU Other Units USD 428623.98 1.3051460000536 Long ABS-MBS USGA US N 2 2035-01-01 Fixed 2.5 N N N N N N DIAMONDBACK ENERGY INC 5299009LINL232255G03 25278XAL3 65000.00 PA USD 65741.96 0.2001821179713 Long DBT CORP US N 2 2024-12-01 Fixed 2.875 N N N N N N FANNIE MAE OR FREDDIE MAC B1V7KEBTPIMZEU4LTD58 01F032419 160000.00 OU Other Units USD 165832.1 0.5049533206133 Long ABS-MBS USGA US N 2 2035-01-01 Fixed 3.5 N N N N N N PRPAVHTH5IRQ3GSF_1030000_L N/A N/A 175000.00 NC 43457.04 0.1323252654463 Long DFE BR N 2 CITIBANK N A N/A 43457.04 USD 175000.00 BRL 2020-02-04 1849.32 N N N WALT DISNEY CO/THE 549300GZKULIZ0WOW665 254687CR5 90000.00 PA USD 96483.54 0.2937892236034 Long DBT CORP US N 2 2023-10-01 Fixed 4.00 N N N N N N WALT DISNEY CO/THE 549300GZKULIZ0WOW665 254687FB7 55000.00 PA USD 70180.6 0.2136976315962 Long DBT CORP US N 2 2046-11-15 Fixed 4.75 N N N N N N UXYH0 COMDTY N/A N/A -6.00 NC USD -844218.78 -2.570618573154 Short DIR US N 1 N/A N/A Short US 10YR ULTRA US 10YR ULTRA 2020-03-20 -844218.78 USD 7053.4 N N N CAMERON LNG LLC 549300C39FLHGVD73K22 133434AB6 90000.00 PA USD 90858.87 0.27666228742 Long DBT CORP US Y 2 2035-01-15 Fixed 3.302 N N N N N N STEEL DYNAMICS INC 549300HGGKEL4FYTTQ83 858119BK5 25000.00 PA USD 25312.3 0.0770751256081 Long DBT CORP US N 2 2030-04-15 Fixed 3.45 N N N N N N DJOIK5IFPM71B81L_1030000_S N/A N/A -30000000.00 NC -39904.94 -0.1215092371252 Short DFE CL N 2 CITIBANK N A N/A 30000000.00 CLP 39904.94 USD 2020-01-14 1.94 N N N R9EFPVO7BNK802GE_1030000_L N/A N/A 50000.00 NC 56193.00 0.17110584709 Long DFE XX N 2 UBS SECURITIES LLC N/A 56193.00 USD 50000.00 EUR 2020-01-31 413.65 N N N JBH0 COMDTY N/A N/A -1.00 NC -1400579.82 -4.2647197429992 Short DIR JP N 1 N/A N/A Short JPN 10Y BOND(OSE) JPN 10Y BOND(OSE) 2020-03-13 -152180000.00 JPY 1100.83 N N N HF69UPSC6JH86SRS_1030000_S N/A N/A -50000000.00 NC -43250.05 -0.1316949876663 Short DFE KR N 2 JP MORGAN CHASE BANK N/A 50000000.00 KRW 43250.05 USD 2020-01-14 -251.5 N N N FANNIE MAE B1V7KEBTPIMZEU4LTD58 3140X47H3 147179.68 OU Other Units USD 151466.4 0.4612102339736 Long ABS-MBS USGA US N 2 2048-04-01 Fixed 3.00 N N N N N N FREDDIE MAC - SLST N/A 35564CEJ2 90000.00 OU Other Units USD 91037.89 0.2772073974648 Long ABS-CBDO CORP US N 2 2029-11-01 Fixed 2.75 N N N N N N PO6DVR69K6BMFFF0_1030000_S N/A N/A -249000.00 NC -279841.14 -0.8521071185085 Short DFE XX N 2 CITIBANK N A N/A 249000.00 EUR 279841.14 USD 2020-01-31 -2245.98 N N N FANNIE MAE B1V7KEBTPIMZEU4LTD58 3140QCKE5 164660.95 OU Other Units USD 167124.89 0.5088898238799 Long ABS-MBS USGA US N 2 2049-12-01 Fixed 3.00 N N N N N N CASCADE FUNDING MORTGAGE TRUST N/A 12529BAA0 110000.00 OU Other Units USD 109999.98 0.3349463413199 Long ABS-MBS CORP US Y 2 2029-12-25 Variable 2.3861 N N N N N N FANNIE MAE B1V7KEBTPIMZEU4LTD58 3140X4TL0 160191.55 OU Other Units USD 162024.21 0.4933584201083 Long ABS-MBS USGA US N 2 2028-09-01 Fixed 2.5 N N N N N N FREDDIE MAC N/A 3128MFSN9 72025.69 OU Other Units USD 74546.94 0.2269929940859 Long ABS-MBS USGA US N 2 2031-06-01 Fixed 3.00 N N N N N N DREYFUS INSTITUTIONAL PREFERRED GOVERNMENT MONEY MARKET N/A N/A 535668.59 OU Other Units USD 535668.59 1.6310933363852 Long STIV RF US N 1 2099-12-01 Variable 1.603654 N N N N N N 996130662 N/A 996130662 114207.39 OU Other Units USD 114207.39 0.3477577671577 Long STIV RF US N 1 N N 2020-02-19 BNY Mellon Advantage Funds, Inc. James Windels James Windels Fund Treasurer