NPORT-P false 0000824036 XXXXXXXX S000006867 C000018549 RUSSELL INVESTMENT FUNDS 811-05371 0000824036 549300SYCXI2ML7BN524 1301 SECOND AVENUE 18TH FLOOR SEATTLE 98101 800-787-7354 Strategic Bond Fund S000006867 D07H1KQBUJ8IJWFT1668 2019-12-31 2019-09-30 N 981353172.15 57663942.26 923689229.89 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 2745912.63000000 0.00000000 0.00000000 28872354.62000000 MXN CAD BRL USD JPY EUR SGD AUD GBP N JP Morgan Mortgage Trust 5493002WZI1ZSAEIE710 46649YAQ8 257582.36000000 PA USD 257756.25000000 0.027905083404 Long ABS-MBS CORP US Y 2 2049-02-25 Variable 4.00000000 N N N N N N JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 000000000 1.00000000 NC 28746.96000000 0.003112189583 N/A DFE US N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 62585000.00000000 MXN 3199637.55000000 USD 2019-10-03 28746.96000000 N N N United States Treasury 254900HROIFWPRGM1V77 912828VF4 6421000.00000000 PA USD 6399178.62000000 0.692784803906 Long DBT UST US N 2 2020-05-31 Fixed 1.38000000 N N N N N N Ecopetrol SA 254900IDGKCJICKBPA66 279158AJ8 350000.00000000 PA USD 411110.00000000 0.044507393471 Long DBT CORP CO N 2 2045-05-28 Fixed 5.88000000 N N N N N N JPMorgan Chase & Co 8I5DZWZKVSZI1NUHU748 46625HJZ4 230000.00000000 PA USD 251243.23000000 0.027199973959 Long DBT CORP US N 2 2026-12-15 Fixed 4.13000000 N N N N N N Waste Management Inc 549300YX8JIID70NFS41 94106LBF5 100000.00000000 PA USD 103401.08000000 0.011194358086 Long DBT CORP US N 2 2024-06-15 Fixed 2.95000000 N N N N N N JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 000000000 1.00000000 NC 1694.77000000 0.000183478376 N/A DFE US N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 543340.00000000 EUR 594579.14000000 USD 2019-10-17 1694.77000000 N N N Kraft Heinz Foods Co 5493003STKEZ2S0RNU91 50077LAL0 702000.00000000 PA USD 748878.62000000 0.081074737667 Long DBT CORP US N 2 2035-07-15 Fixed 5.00000000 N N N N N N Sands China Ltd 549300EVO6UZDGY05787 80007RAF2 400000.00000000 PA USD 439168.00000000 0.047544995198 Long DBT CORP KY N 2 2025-08-08 Fixed 5.13000000 N N N N N N MPLX LP 5493000CZJ19CK4P3G36 55336VAR1 40000.00000000 PA USD 41708.17000000 0.004515389879 Long DBT CORP US N 2 2028-03-15 Fixed 4.00000000 N N N N N N United States Treasury 254900HROIFWPRGM1V77 912796RM3 9120000.00000000 PA USD 9103893.53000000 0.985601351125 Long DBT UST US N 2 2019-11-07 None 0.00000000 N N N N N N Amazon.com Inc ZXTILKJKG63JELOEG630 023135BN5 100000.00000000 PA USD 117623.45000000 0.012734093480 Long DBT CORP US N 2 2025-12-03 Fixed 5.20000000 N N N N N N CVS HEALTH CORP 549300EJG376EN5NQE29 126650DG2 200000.00000000 PA USD 201094.87000000 0.021770836282 Long DBT CORP US N 2 2029-08-15 Fixed 3.25000000 N N N N N N JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 000000000 1.00000000 NC 384.89000000 0.000041668776 N/A DFE US N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 1168000.00000000 AUD 789098.46000000 USD 2019-10-15 384.89000000 N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 01F0304A3 1100000.00000000 PA USD 1124535.16000000 0.121743885671 Long ABS-MBS USGSE US N 2 2034-10-17 Fixed 3.00000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 36179UB92 628582.48000000 PA USD 646673.37000000 0.070009841954 Long ABS-MBS USGA US N 2 2048-09-20 Fixed 3.00000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 21H0326A3 5500000.00000000 PA USD 5698730.46000000 0.616953221450 Long ABS-MBS USGA US N 2 2049-10-21 Fixed 3.50000000 N N N N N N JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 000000000 1.00000000 NC 1423.02000000 0.000154058308 N/A DFE US N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 51269500.00000000 THB 1678325.91000000 USD 2019-10-24 1423.02000000 N N N Bear Stearns Commercial Mortgage Securities Trust 8I5DZWZKVSZI1NUHU748 07388VAG3 72586.83000000 PA USD 72406.81000000 0.007838871306 Long ABS-MBS CORP US N 2 2045-01-12 Variable 5.51000000 N N N N N N United States Treasury 254900HROIFWPRGM1V77 912810PX0 1090000.00000000 PA USD 1537325.78000000 0.166433225618 Long DBT UST US N 2 2038-05-15 Fixed 4.50000000 N N N N N N CANADIAN GOVERNMENT 4BFD7AQU0A75QLAHK410 135087A61 2491000.00000000 PA 1882939.16000000 0.203849855456 Long DBT NUSS CA N 2 2023-06-01 Fixed 1.50000000 N N N N N N State Street Bank and Trust Company 571474TGEMMWANRLN572 000000000 1.00000000 NC 237.01000000 0.000025659062 N/A DFE US N 2 State Street Bank and Trust Company 571474TGEMMWANRLN572 342150.00000000 MYR 81814.92000000 USD 2019-11-22 237.01000000 N N N JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 000000000 1.00000000 NC -5087.45000000 -0.00055077506 N/A DFE PL N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 1551200.63000000 USD 6200000.00000000 PLN 2019-10-03 -5087.45000000 N N N MEX BONOS DESARR FIX RT 254900EGTWEU67VP6075 000000000 740000.00000000 PA 37369.36000000 0.004045663713 Long DBT NUSS MX N 2 2021-06-10 Fixed 6.50000000 N N N N N N Fannie Mae - CAS B1V7KEBTPIMZEU4LTD58 30711XAP9 807362.55000000 PA USD 881219.83000000 0.095402198216 Long ABS-MBS USGSE US N 2 2024-11-25 Floating 6.92000000 N N N N N N Abbott Laboratories HQD377W2YR662HK5JX27 002824BF6 51000.00000000 PA USD 55571.90000000 0.006016298361 Long DBT CORP US N 2 2026-11-30 Fixed 3.75000000 N N N N N N Bank of America, National Association B4TYDEB6GKMZO031MB27 000000000 1.00000000 NC 45998.63000000 0.004979881599 N/A DFE US N 2 Bank of America, National Association B4TYDEB6GKMZO031MB27 6909610.00000000 PLN 1770228.24000000 USD 2019-11-22 45998.63000000 N N N Glencore Funding LLC 213800STG1QDNBY87K49 378272AN8 350000.00000000 PA USD 359825.64000000 0.038955270707 Long DBT CORP US Y 2 2027-03-27 Fixed 4.00000000 N N N N N N Reynolds Group Holdings Inc. 5493002QNV81KCX40V06 76173FAU1 154051.84000000 PA USD 154244.40000000 0.016698733189 Long LON CORP US N 2 2023-02-05 Floating 4.79000000 N N N N N N Western Digital Corporation 549300QQXOOYEF89IC56 95810DAR2 41499.70000000 PA USD 41335.36000000 0.004475028901 Long LON CORP US N 2 2023-04-29 Floating 3.86000000 N N N N N N Teva Pharmaceutical Finance Netherlands III BV 5493004T21MOAFINJP35 88167AAD3 220000.00000000 PA USD 177925.00000000 0.019262430939 Long DBT CORP NL N 2 2023-07-21 Fixed 2.80000000 N N N N N N Horizon Aircraft Finance I Limited N/A 440405AE8 860112.43000000 PA USD 893374.35000000 0.096718065025 Long ABS-O CORP US Y 2 2038-12-15 Fixed 4.46000000 N N N N N N MEX BONOS DESARR FIX RT 254900EGTWEU67VP6075 000000000 15562000.00000000 PA 1003754.52000000 0.108667990003 Long DBT NUSS MX N 2 2036-11-20 Fixed 10.00000000 N N N N N N Bear Stearns Adjustable Rate Mortgage Trust N/A 07384MQ88 124460.76000000 PA USD 126958.87000000 0.013744760238 Long ABS-MBS CORP US N 2 2034-07-25 Variable 4.20000000 N N N N N N Nordea Bank Abp 529900ODI3047E2LIV03 65557FAA4 265000.00000000 PA USD 274222.01000000 0.029687691609 Long DBT CORP SE Y 2 2021-05-13 Fixed 4.88000000 N N N N N N Citigroup Inc 6SHGI4ZSSLCXXQSBB395 172967EW7 550000.00000000 PA USD 898493.30000000 0.097272250333 Long DBT CORP US N 2 2039-07-15 Fixed 8.13000000 N N N N N N Federal Republic of Brazil 254900ZFY40OYEADAP90 105756BW9 350000.00000000 PA USD 362824.00000000 0.039279877718 Long DBT NUSS BR N 2 2045-01-27 Fixed 5.00000000 N N N N N N BP Capital Markets America Inc 5493009NTB34VXE1T760 10373QBA7 250000.00000000 PA USD 253016.52000000 0.027391953030 Long DBT CORP US N 2 2022-09-19 Fixed 2.52000000 N N N N N N Commonwealth Bank of Australia MSFSBD3QN1GSN7Q6C537 000000000 1.00000000 NC 110544.80000000 0.011967748071 N/A DFE US N 2 Commonwealth Bank of Australia MSFSBD3QN1GSN7Q6C537 59385890.00000000 NOK 6640652.01000000 USD 2019-10-23 110544.80000000 N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3137AJYN8 340075.57000000 PA USD 73891.55000000 0.007999611515 Long ABS-MBS USGSE US N 2 2041-12-15 Floating 4.46000000 N N N N N N Gilead Sciences Inc 549300WTZWR07K8MNV44 375558BF9 90000.00000000 PA USD 96440.49000000 0.010440794033 Long DBT CORP US N 2 2026-03-01 Fixed 3.65000000 N N N N N N Citibank, National Association E57ODZWZ7FF32TWEFA76 000000000 1.00000000 NC 3940.67000000 0.000426622923 N/A DFE CA N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 4390250.16000000 USD 5819540.00000000 CAD 2019-10-23 3940.67000000 N N N JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 000000000 1.00000000 NC 30588.28000000 0.003311533685 N/A DFE KR N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 3349713.74000000 USD 4048799000.00000000 KRW 2019-10-07 30588.28000000 N N N Petrobras Global Finance BV 549300FNENFFSMO3GT38 71647NAM1 100000.00000000 PA USD 112250.00000000 0.012152355615 Long DBT CORP NL N 2 2024-03-17 Fixed 6.25000000 N N N N N N Merck & Co Inc 4YV9Y5M8S0BRK1RP0397 58933YAQ8 285000.00000000 PA USD 288523.69000000 0.031236013224 Long DBT CORP US N 2 2022-02-10 Fixed 2.35000000 N N N N N N Bristol-Myers Squibb Co HLYYNH7UQUORYSJQCN42 110122CA4 190000.00000000 PA USD 199201.58000000 0.021565865829 Long DBT CORP US Y 2 2026-06-15 Fixed 3.20000000 N N N N N N VISTRA OPERATIONS CO LLC 549300ZH5GKBTJZ7NM23 92840VAE2 708000.00000000 PA USD 726584.48000000 0.078661140185 Long DBT CORP US Y 2 2029-07-15 Fixed 4.30000000 N N N N N N Williams Companies Inc/The D71FAKCBLFS2O0RBPG08 969457BD1 130000.00000000 PA USD 172505.48000000 0.018675705466 Long DBT CORP US N 2 2031-06-15 Fixed 7.75000000 N N N N N N Mitsubishi UFJ Financial Group Inc 353800V2V8PUY9TK3E06 606822AA2 725000.00000000 PA USD 731950.33000000 0.079242055262 Long DBT CORP JP N 2 2021-03-01 Fixed 2.95000000 N N N N N N CCO Holdings LLC / CCO Holdings Capital Corp 0J0XRGZE3PBRFEZ7MV65 1248EPBT9 20000.00000000 PA USD 20875.00000000 0.002259959229 Long DBT CORP US Y 2 2027-05-01 Fixed 5.13000000 N N N N N N Anheuser-Busch InBev Finance Inc 5493000EYEKDT0FBSQ91 035242AJ5 306000.00000000 PA USD 308892.70000000 0.033441193207 Long DBT CORP US N 2 2021-02-01 Fixed 2.65000000 N N N N N N BXP Trust N/A 056083AA6 818000.00000000 PA USD 875544.17000000 0.094787742637 Long ABS-MBS CORP US Y 2 2039-06-13 Fixed 3.38000000 N N N N N N Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 000000000 3184000.00000000 OU Notional Amount USD -60548.47000000 -0.00655506939 N/A DIR US N 2 Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 ICE Libor USD 3 Months US0003M Index Y 2044-11-15 0.00000000 USD -30363.45000000 USD 3184000.00000000 USD -30185.02000000 N N N One Market Plaza Trust N/A 68245HAE4 217000.00000000 PA USD 223439.52000000 0.024189902054 Long ABS-MBS CORP US Y 2 2032-02-10 Fixed 4.02000000 N N N N N N State Street Bank and Trust Company 571474TGEMMWANRLN572 000000000 1.00000000 NC 124.99000000 0.000013531607 N/A DFE US N 2 State Street Bank and Trust Company 571474TGEMMWANRLN572 24360.00000000 PLN 6203.80000000 USD 2019-11-22 124.99000000 N N N Occidental Petroleum Corp IM7X0T3ECJW4C1T7ON55 674599CM5 360000.00000000 PA USD 357362.95000000 0.038688656144 Long DBT CORP US N 2 2027-02-15 Fixed 3.00000000 N N N N N N Federal Republic of Brazil 254900ZFY40OYEADAP90 105756BZ2 990000.00000000 PA USD 1051884.90000000 0.113878658098 Long DBT NUSS BR N 2 2028-01-13 Fixed 4.63000000 N N N N N N SINGAPORE GOVERNMENT 549300ZSV6VOGFH1ER70 000000000 2077000.00000000 PA 1690121.84000000 0.182975159318 Long DBT NUSS SG N 2 2027-03-01 Fixed 3.50000000 N N N N N N Home Equity Asset Trust N/A 437097AD0 557360.98000000 PA USD 523576.15000000 0.056683149814 Long ABS-MBS CORP US N 2 2036-11-25 Floating 2.17000000 N N N N N N Enbridge Energy Partners LP CZ6VG2MNE1J6YDI02G48 29250RAX4 484000.00000000 PA USD 717039.28000000 0.077627762324 Long DBT CORP US N 2 2045-10-15 Fixed 7.38000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3132WKPD4 79884.94000000 PA USD 82234.48000000 0.008902829798 Long ABS-MBS USGSE US N 2 2047-01-01 Fixed 3.00000000 N N N N N N Bayer US Finance II LLC 529900XWNEXYNJ3X6T40 07274NAA1 713000.00000000 PA USD 727256.33000000 0.078733875687 Long DBT CORP US Y 2 2021-06-25 Fixed 3.50000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3138LFRV2 375000.00000000 PA USD 388554.89000000 0.042065542979 Long ABS-MBS USGSE US N 2 2031-10-01 Fixed 2.60000000 N N N N N N JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 000000000 1.00000000 NC 10219.53000000 0.001106381851 N/A DFE US N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 13108000.00000000 SGD 9502337.89000000 USD 2019-12-16 10219.53000000 N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3138WJWF1 320259.24000000 PA USD 329498.59000000 0.035672018178 Long ABS-MBS USGSE US N 2 2047-02-01 Fixed 3.00000000 N N N N N N ABN AMRO Bank NV BFXS5XCH7N0Y05NIXW11 00084DAQ3 725000.00000000 PA USD 728211.42000000 0.078837275182 Long DBT CORP NL Y 2 2021-01-19 Fixed 2.65000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 31393RJ92 70198.04000000 PA USD 78919.63000000 0.008543959098 Long ABS-MBS USGSE US N 2 2033-06-15 Fixed 5.00000000 N N N N N N Roche Holdings Inc PVJRP0EQNV6OGDPZGY95 771196BB7 241000.00000000 PA USD 245019.87000000 0.026526223546 Long DBT CORP US Y 2 2021-09-29 Fixed 2.88000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140FXFZ0 76930.92000000 PA USD 81728.42000000 0.008848042973 Long ABS-MBS USGSE US N 2 2057-01-01 Fixed 4.00000000 N N N N N N BONOS DE TESORERIA 254900STKLK2DBJJZ530 000000000 6444000.00000000 PA 2130078.59000000 0.230605545790 Long DBT NUSS PE N 2 2024-08-12 Fixed 5.70000000 N N N N N N Home Depot Inc/The QEKMOTMBBKA8I816DO57 437076BV3 525000.00000000 PA USD 543194.84000000 0.058807099013 Long DBT CORP US N 2 2022-03-01 Fixed 3.25000000 N N N N N N Occidental Petroleum Corp IM7X0T3ECJW4C1T7ON55 674599CL7 190000.00000000 PA USD 185066.18000000 0.020035545940 Long DBT CORP US N 2 2047-02-15 Fixed 4.10000000 N N N N N N AMBAC LSNI LLC 5493000UC0RBBNDHI717 02315QAA6 4295769.68000000 PA USD 4338727.38000000 0.469717220857 Long DBT CORP KY Y 2 2023-02-12 Floating 7.10000000 N N N N N N IndyMac INDX Mortgage Loan Trust N/A 45670AAA9 203302.82000000 PA USD 202520.82000000 0.021925211797 Long ABS-MBS CORP US N 2 2037-06-25 Floating 2.26000000 N N N N N N Morgan Stanley Capital I Trust IGJSJL3JD5P30I6NJZ34 61691MAN7 1955000.00000000 PA USD 1954982.99000000 0.211649429996 Long ABS-MBS CORP US Y 2 2035-07-15 Floating 3.98000000 N N N N N N Unilever Capital Corp MYF1DAS6G5WY7PRWCU78 904764AT4 254000.00000000 PA USD 251132.18000000 0.027187951518 Long DBT CORP US N 2 2021-07-28 Fixed 1.38000000 N N N N N N Spectra Energy Partners LP 2HKVXE7U4NF5B6UGSU72 84756NAD1 671000.00000000 PA USD 731629.10000000 0.079207278414 Long DBT CORP US N 2 2024-03-15 Fixed 4.75000000 N N N N N N Bank of America Corp 9DJT3UXIJIZJI4WXO774 06051GHM4 200000.00000000 PA USD 222898.36000000 0.024131315250 Long DBT CORP US N 2 2029-07-23 Variable 4.27000000 N N N N N N Crown Castle International Corp 54930012H97VSM0I2R19 228227BD5 203000.00000000 PA USD 221492.70000000 0.023979136362 Long DBT US N 2 2023-01-15 Fixed 5.25000000 N N N N N N BCAP LLC Trust 213800LBQA1Y9L22JB70 05544EAF8 966526.51000000 PA USD 923266.43000000 0.099954227041 Long ABS-O CORP US Y 2 2036-07-26 Variable 2.34000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3133KGUS5 500000.00000000 PA USD 511631.38000000 0.055389990858 Long ABS-MBS USGSE US N 2 2049-10-01 Fixed 3.00000000 N N N N N N United Technologies Corp I07WOS4YJ0N7YRFE7309 913017CY3 150000.00000000 PA USD 169746.50000000 0.018377014098 Long DBT CORP US N 2 2028-11-16 Fixed 4.13000000 N N N N N N JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 000000000 1.00000000 NC 2063.13000000 0.000223357589 N/A DFE US N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 100401000.00000000 THB 3286287.09000000 USD 2019-10-30 2063.13000000 N N N Charter Communications Operating LLC / Charter Communications Operating Capital 0J0XRGZE3PBRFEZ7MV65 161175AX2 80000.00000000 PA USD 80715.85000000 0.008738420605 Long DBT CORP US N 2 2020-07-23 Fixed 3.58000000 N N N N N N International Business Machines Corp VGRQXHF3J8VDLUA7XE92 459200JY8 220000.00000000 PA USD 227653.07000000 0.024646067382 Long DBT CORP US N 2 2024-05-15 Fixed 3.00000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3133KGP51 238614.45000000 PA USD 243634.57000000 0.026376248863 Long ABS-MBS USGSE US N 2 2049-09-01 Fixed 3.00000000 N N N N N N Verizon Communications Inc 2S72QS2UO2OESLG6Y829 92343VDD3 70000.00000000 PA USD 70908.54000000 0.007676666318 Long DBT CORP US N 2 2026-08-15 Fixed 2.63000000 N N N N N N United Rentals North America Inc NGIZXNT70J2LYT3FBI09 911365BL7 130000.00000000 PA USD 136256.90000000 0.014751379099 Long DBT CORP US N 2 2030-01-15 Fixed 5.25000000 N N N N N N Berkshire Hathaway Finance Corp 549300RLHFT5RU20WM87 084664CR0 130000.00000000 PA USD 154102.09000000 0.016683326492 Long DBT CORP US N 2 2049-01-15 Fixed 4.25000000 N N N N N N Scientific Games International, Inc. RLTHESQ0RNFQJWPBJN60 80875AAP6 233373.93000000 PA USD 231187.22000000 0.025028679832 Long LON CORP US N 2 2024-08-14 Floating 4.90000000 N N N N N N Cintas Corp No 2 549300QVUQTTKMTE0G41 17252MAN0 70000.00000000 PA USD 76342.92000000 0.008265000557 Long DBT CORP US N 2 2027-04-01 Fixed 3.70000000 N N N N N N Republic of Colombia 549300MHDRBVRF6B9117 000000000 4450300000.00000000 PA 1294111.68000000 0.140102497476 Long DBT NUSS CO N 2 2028-04-28 Fixed 6.00000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140JAD39 452994.93000000 PA USD 470298.84000000 0.050915267254 Long ABS-MBS USGSE US N 2 2048-07-01 Fixed 3.50000000 N N N N N N JAPAN (10 YR ISSUE) 353800WZS8AXZXFUC241 000000000 188800000.00000000 PA 1809878.27000000 0.195940172455 Long DBT NUSS JP N 2 2027-09-20 Fixed 0.10000000 N N N N N N Energy Transfer Partners LP / Regency Energy Finance Corp MTLVN9N7JE8MIBIJ1H73 75886AAL2 60000.00000000 PA USD 64184.34000000 0.006948694206 Long DBT CORP US N 2 2022-03-01 Fixed 5.88000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140X4U53 200000.00000000 PA USD 204190.05000000 0.022105925174 Long ABS-MBS USGSE US N 2 2049-09-01 Fixed 3.00000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 36179TZ65 142516.25000000 PA USD 149474.03000000 0.016182285682 Long ABS-MBS USGA US N 2 2048-06-20 Fixed 4.50000000 N N N N N N Celgene Corp 4SIHMF0MOSTTL8CD0X64 151020BB9 380000.00000000 PA USD 417424.83000000 0.045191046565 Long DBT CORP US N 2 2028-02-20 Fixed 3.90000000 N N N N N N Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 000000000 1.00000000 NC -12838.59000000 -0.00138992526 N/A DFE MX N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 1139534.32000000 USD 22290089.00000000 MXN 2019-10-17 -12838.59000000 N N N Royal Bank of Scotland Group PLC 2138005O9XJIJN4JPN90 780097BD2 200000.00000000 PA USD 206400.14000000 0.022345192876 Long DBT CORP GB N 2 2023-09-12 Fixed 3.88000000 N N N N N N Santander Holdings USA Inc 549300SMVCQN2P0O6I58 80282KAU0 350000.00000000 PA USD 365548.61000000 0.039574848138 Long DBT CORP US N 2 2021-12-03 Fixed 4.45000000 N N N N N N Applebees/IHOP Funding LLC N/A 03789XAD0 340000.00000000 PA USD 347772.40000000 0.037650368624 Long ABS-O CORP US Y 2 2049-06-07 Fixed 4.19000000 N N N N N N Freddie Mac STRIP S6XOOCT0IEG5ABCC6L87 31325VKQ6 160776.45000000 PA USD 31833.62000000 0.003446356087 Long ABS-MBS USGSE US N 2 2044-08-15 Floating 4.07000000 N N N N N N JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 000000000 1.00000000 NC 25966.95000000 0.002811221475 N/A DFE US N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 2743000.00000000 CHF 2774566.24000000 USD 2019-10-03 25966.95000000 N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 3617HPBW3 64441.79000000 PA USD 66781.97000000 0.007229917578 Long ABS-MBS USGA US N 2 2048-09-20 Fixed 4.50000000 N N N N N N Benchmark Mortgage Trust N/A 08160BAD6 1987000.00000000 PA USD 2257766.11000000 0.244429190786 Long ABS-MBS CORP US N 2 2051-07-15 Fixed 4.21000000 N N N N N N Total Capital SA 529900QI55ZLJVCMPA71 89152UAB8 230000.00000000 PA USD 241584.46000000 0.026154300838 Long DBT CORP FR N 2 2021-12-15 Fixed 4.25000000 N N N N N N FHLMC Multifamily Structured Pass Through Certificates S6XOOCT0IEG5ABCC6L87 3137FLN91 190000.00000000 PA USD 210612.55000000 0.022801234785 Long ABS-MBS USGSE US N 2 2029-03-25 Fixed 3.51000000 N N N N N N Banc of America Funding Corporation 9DJT3UXIJIZJI4WXO774 05950RBB4 821943.75000000 PA USD 816835.04000000 0.088431802988 Long ABS-MBS CORP US N 2 2036-08-25 Fixed 6.00000000 N N N N N N Walgreen Co E1OI0SEUGJMPPTKRDD35 931422AH2 716000.00000000 PA USD 733455.26000000 0.079404981271 Long DBT CORP US N 2 2022-09-15 Fixed 3.10000000 N N N N N N Amazon.com Inc ZXTILKJKG63JELOEG630 023135AQ9 60000.00000000 PA USD 79569.20000000 0.008614282534 Long DBT CORP US N 2 2044-12-05 Fixed 4.95000000 N N N N N N JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 000000000 1.00000000 NC -424.51000000 -0.00004595809 N/A DFE SG N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 141510.36000000 USD 195000.00000000 SGD 2019-10-03 -424.51000000 N N N Dupont De Nemours Inc 5493004JF0SDFLM8GD76 26078JAE0 589000.00000000 PA USD 719034.81000000 0.077843801435 Long DBT CORP US N 2 2038-11-15 Fixed 5.32000000 N N N N N N Anheuser-Busch InBev Worldwide Inc 549300CRGMZK3K53BF92 03523TBV9 200000.00000000 PA USD 261869.05000000 0.028350341383 Long DBT CORP US N 2 2049-01-23 Fixed 5.55000000 N N N N N N Visa Inc 549300JZ4OKEHW3DPJ59 92826CAG7 277000.00000000 PA USD 279602.56000000 0.030270198130 Long DBT CORP US N 2 2022-09-15 Fixed 2.15000000 N N N N N N Concho Resources Inc SYHS7HRDXLL4I0IQ8776 20605PAK7 90000.00000000 PA USD 97081.87000000 0.010510230806 Long DBT CORP US N 2 2028-08-15 Fixed 4.30000000 N N N N N N GE Capital International Funding Co Unlimited Co 549300G6UZOB126GBY72 36164QMS4 245000.00000000 PA USD 244403.59000000 0.026459504137 Long DBT CORP IE N 2 2020-11-15 Fixed 2.34000000 N N N N N N Bank of America Corp 9DJT3UXIJIZJI4WXO774 06051GFU8 30000.00000000 PA USD 32696.58000000 0.003539781448 Long DBT CORP US N 2 2026-03-03 Fixed 4.45000000 N N N N N N Charter Communications Operating LLC / Charter Communications Operating Capital 0J0XRGZE3PBRFEZ7MV65 161175BM5 80000.00000000 PA USD 89554.90000000 0.009695349594 Long DBT CORP US N 2 2038-04-01 Fixed 5.38000000 N N N N N N United States Treasury 254900HROIFWPRGM1V77 912828VB3 19405000.00000000 PA USD 19519459.23000000 2.113206325067 Long DBT UST US N 2 2023-05-15 Fixed 1.75000000 N N N N N N ABB Treasury Center USA Inc 5493000LKVGOO9PELI61 00038AAB9 220000.00000000 PA USD 226258.42000000 0.024495080453 Long DBT CORP US Y 2 2021-06-15 Fixed 4.00000000 N N N N N N Hilton USA Trust N/A 43289VAA1 226000.00000000 PA USD 225490.87000000 0.024411984323 Long ABS-MBS CORP US Y 2 2035-11-05 Fixed 2.83000000 N N N N N N Panther BF Aggregator 2 LP 549300474L1ZLXZY2P98 000000000 120000.00000000 PA USD 118725.60000000 0.012853413914 Long LON CORP CA N 2 2026-04-30 Floating 5.54000000 N N N N N N Sungard As New Holdings III, LLC N/A 86736LAB9 124599.91000000 PA USD 99679.93000000 0.010791500731 Long LON CORP US N 2 2022-11-03 Floating 6.29000000 N N N N N N Flagstar Mortgage Trust N/A 33851HAD5 299514.90000000 PA USD 304674.64000000 0.032984539620 Long ABS-MBS CORP US Y 2 2048-04-25 Variable 3.50000000 N N N N N N United States Treasury 254900HROIFWPRGM1V77 912828K74 5273000.00000000 PA USD 5390406.61000000 0.583573612809 Long DBT UST US N 2 2025-08-15 Fixed 2.00000000 N N N N N N JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 000000000 1.00000000 NC -11038.61000000 -0.00119505669 N/A DFE SE N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 381134.04000000 USD 3643000.00000000 SEK 2019-10-03 -11038.61000000 N N N Cheniere Corpus Christi Holdings LLC 549300I7CIEWU1BBLQ53 16412XAG0 40000.00000000 PA USD 43800.00000000 0.004741854574 Long DBT CORP US N 2 2027-06-30 Fixed 5.13000000 N N N N N N BAT Capital Corp 2138005GYEXN7XRHFA84 05526DBF1 160000.00000000 PA USD 153611.20000000 0.016630181995 Long DBT CORP US N 2 2047-08-15 Fixed 4.54000000 N N N N N N Barclays Bank PLC G5GSEF7VJP5I7OUK5573 000000000 1.00000000 NC -30289.22000000 -0.00327915699 N/A DFE CA N 2 Barclays Bank PLC G5GSEF7VJP5I7OUK5573 2861740.74000000 USD 3750254.00000000 CAD 2019-10-17 -30289.22000000 N N N Charter Communications Operating LLC / Charter Communications Operating Capital 0J0XRGZE3PBRFEZ7MV65 161175BC7 593000.00000000 PA USD 749736.17000000 0.081167577334 Long DBT CORP US N 2 2055-10-23 Fixed 6.83000000 N N N N N N Microsoft Corp INR2EJN1ERAN0W5ZP974 594918BR4 200000.00000000 PA USD 204028.27000000 0.022088410625 Long DBT CORP US N 2 2026-08-08 Fixed 2.40000000 N N N N N N Range Resources Corp H3Y3WLYCX0BTO1TRW162 75281AAS8 230000.00000000 PA USD 189750.00000000 0.020542623412 Long DBT CORP US N 2 2025-05-15 Fixed 4.88000000 N N N N N N Santander Drive Auto Receivables Trust 5493006QMFDDMYWIAM13 80284BAG9 440344.09000000 PA USD 440502.61000000 0.047689482105 Long ABS-O CORP US N 2 2021-04-15 Fixed 3.02000000 N N N N N N Charter Communications Operating LLC / Charter Communications Operating Capital 0J0XRGZE3PBRFEZ7MV65 161175BN3 350000.00000000 PA USD 398854.83000000 0.043180630139 Long DBT CORP US N 2 2048-04-01 Fixed 5.75000000 N N N N N N Alimentation Couche-Tard Inc 549300OSW32RVX8CCZ87 01626PAH9 702000.00000000 PA USD 729911.01000000 0.079021275379 Long DBT CORP CA Y 2 2027-07-26 Fixed 3.55000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3133KGQD3 399560.66000000 PA USD 406186.55000000 0.043974373290 Long ABS-MBS USGSE US N 2 2049-09-01 Fixed 3.00000000 N N N N N N FHLMC Multifamily Structured Pass Through Certificates S6XOOCT0IEG5ABCC6L87 3137FK4M5 586000.00000000 PA USD 671228.48000000 0.072668215486 Long ABS-MBS USGSE US N 2 2028-10-25 Variable 4.06000000 N N N N N N HSBC Holdings PLC MLU0ZO3ML4LN2LL2TL39 404280BT5 400000.00000000 PA USD 443743.49000000 0.048040344700 Long DBT CORP GB N 2 2029-06-19 Variable 4.58000000 N N N N N N NYT Mortgage Trust N/A 62954PAA8 2451000.00000000 PA USD 2460160.61000000 0.266340726988 Long ABS-MBS CORP US Y 2 2035-11-15 Floating 3.23000000 N N N N N N United States Treasury 254900HROIFWPRGM1V77 912828YB0 90000.00000000 PA USD 89609.77000000 0.009701289903 Long DBT UST US N 2 2029-08-15 Fixed 1.63000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3132WKLT3 311539.78000000 PA USD 320702.70000000 0.034719761757 Long ABS-MBS USGSE US N 2 2047-01-01 Fixed 3.00000000 N N N N N N Northrop Grumman Corp RIMU48P07456QXSO0R61 666807BQ4 717000.00000000 PA USD 726980.86000000 0.078704052886 Long DBT CORP US N 2 2022-10-15 Fixed 2.55000000 N N N N N N MEX BONOS DESARR FIX RT 254900EGTWEU67VP6075 000000000 35397000.00000000 PA 1862225.87000000 0.201607403197 Long DBT NUSS MX N 2 2027-06-03 Fixed 7.50000000 N N N N N N Goldman Sachs Group Inc/The 784F5XWPLTWKTBV3E584 38143U8F1 324000.00000000 PA USD 326876.65000000 0.035388162968 Long DBT CORP US N 2 2021-02-25 Fixed 2.88000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140JQQE6 694527.09000000 PA USD 711542.34000000 0.077032655245 Long ABS-MBS USGSE US N 2 2049-07-01 Fixed 3.00000000 N N N N N N JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 000000000 1.00000000 NC -320269.50000000 -0.03467286286 N/A DFE SE N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 4998426.09000000 USD 46049000.00000000 SEK 2019-10-03 -320269.50000000 N N N Centene Corp 549300Z7JJ4TQSQGT333 15135BAD3 50000.00000000 PA USD 51010.00000000 0.005522420133 Long DBT CORP US N 2 2022-05-15 Fixed 4.75000000 N N N N N N Republic of Argentina 549300KPBYGYF7HCHO27 000000000 4160000.00000000 PA 34846.62000000 0.003772548046 Long DBT NUSS AR N 2 2020-06-21 Floating 79.50000000 N N N N N N New Residential Mortgage Loan N/A 64828EAB1 500000.00000000 PA USD 500033.70000000 0.054134408393 Long ABS-MBS CORP US Y 2 2059-09-25 Variable 2.64000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140X4HS8 2372277.94000000 PA USD 2440654.87000000 0.264229005927 Long ABS-MBS USGSE US N 2 2049-06-01 Fixed 3.00000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3132QVAQ4 317888.97000000 PA USD 335041.25000000 0.036272074974 Long ABS-MBS USGSE US N 2 2045-12-01 Fixed 4.00000000 N N N N N N JP Morgan Mortgage Trust 5493002WZI1ZSAEIE710 46648HAE3 433278.60000000 PA USD 438959.32000000 0.047522403184 Long ABS-MBS CORP US Y 2 2047-05-25 Variable 3.50000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 31398WSD7 143540.65000000 PA USD 156286.87000000 0.016919854096 Long ABS-MBS USGSE US N 2 2040-02-15 Fixed 5.00000000 N N N N N N Avis Budget Rental Car Funding AESOP LLC IHXLB8SL0QWSSG2VG640 05377RDL5 600000.00000000 PA USD 624388.50000000 0.067597248056 Long ABS-O CORP US Y 2 2025-09-22 Fixed 3.35000000 N N N N N N General Electric Co 3C7474T6CDKPR9K6YT90 36962G4J0 10000.00000000 PA USD 10077.65000000 0.001091021706 Long DBT CORP US N 2 2020-01-08 Fixed 5.50000000 N N N N N N United States Treasury 254900HROIFWPRGM1V77 912810FQ6 4104907.60000000 PA USD 5673645.66000000 0.614237502874 Long DBT UST US N 2 2032-04-15 Fixed 3.38000000 N N N N N N Citigroup Inc 6SHGI4ZSSLCXXQSBB395 172967JU6 147000.00000000 PA USD 177102.59000000 0.019173395582 Long DBT CORP US N 2 2045-07-30 Fixed 4.65000000 N N N N N N DELTA AIR LINES 2007-1 A Q2CCMS6R0AS67HJMBN42 247367BH7 32963.37000000 PA USD 36180.59000000 0.003916965666 Long DBT CORP US N 2 2022-08-10 Fixed 6.82000000 N N N N N N General Motors Financial Co Inc 5493008B6JBRUJ90QL97 37045XAQ9 20000.00000000 PA USD 20662.07000000 0.002236907103 Long DBT CORP US N 2 2021-09-25 Fixed 4.38000000 N N N N N N JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 000000000 1.00000000 NC 867.40000000 0.000093906042 N/A DFE BR N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 164874.55000000 USD 690000.00000000 BRL 2019-10-30 867.40000000 N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140HTWQ8 49798.77000000 PA USD 53587.30000000 0.005801442548 Long ABS-MBS USGSE US N 2 2029-05-01 Fixed 3.16000000 N N N N N N Standard Chartered Bank RILFO74KP1CM8P6PCT96 000000000 1.00000000 NC 32172.80000000 0.003483076229 N/A DFE US N 2 Standard Chartered Bank RILFO74KP1CM8P6PCT96 2660000.00000000 AUD 1831928.70000000 USD 2019-12-18 32172.80000000 N N N MPLX LP 5493000CZJ19CK4P3G36 55336VAT7 60000.00000000 PA USD 69891.94000000 0.007566607657 Long DBT CORP US N 2 2049-02-15 Fixed 5.50000000 N N N N N N Schlumberger Holdings Corp 529900IKZG65COT1D505 806851AG6 40000.00000000 PA USD 42651.85000000 0.004617554110 Long DBT CORP US Y 2 2025-12-21 Fixed 4.00000000 N N N N N N Republic of Colombia 549300MHDRBVRF6B9117 000000000 16186200000.00000000 PA 5606313.26000000 0.606947994908 Long DBT NUSS CO N 2 2024-07-24 Fixed 10.00000000 N N N N N N Lukoil International Finance BV 724500LG1GUKJ5TOIW61 549876AH3 682000.00000000 PA USD 719066.70000000 0.077847253895 Long DBT CORP NL Y 2 2023-04-24 Fixed 4.56000000 N N N N N N J.P. Morgan Securities LLC ZBUT11V806EZRVTWT807 000000000 1080700000.00000000 OU Notional Amount -219625.48000000 -0.02377698828 N/A DIR HU N 2 J.P. Morgan Securities LLC ZBUT11V806EZRVTWT807 National Bank of Hungary Budapest Interbank Offer Rate 6 Month BUBOR06M Index Y 2027-04-05 0.00000000 HUF 0.00000000 HUF 1080700000.00000000 HUF -219625.48000000 N N N State Street Bank and Trust Company 571474TGEMMWANRLN572 000000000 1.00000000 NC -43693.17000000 -0.00473028899 N/A DFE US N 2 State Street Bank and Trust Company 571474TGEMMWANRLN572 7628558530.00000000 KRW 6327026.01000000 USD 2019-11-22 -43693.17000000 N N N ESCROW GM CORP SR N/A 000000000 80000.00000000 NS USD 0.00000000 0.000000 Long STIV CORP DE N 3 N N N Goldman Sachs Group Inc/The 784F5XWPLTWKTBV3E584 38141GVR2 310000.00000000 PA USD 332317.34000000 0.035977180337 Long DBT CORP US N 2 2025-10-21 Fixed 4.25000000 N N N N N N JP Morgan Mortgage Trust 5493002WZI1ZSAEIE710 46650HAF5 546787.12000000 PA USD 548898.48000000 0.059424583749 Long ABS-MBS CORP US Y 2 2049-05-25 Variable 4.00000000 N N N N N N Barclays PLC 213800LBQA1Y9L22JB70 06738EAV7 660000.00000000 PA USD 727876.43000000 0.078801008655 Long DBT CORP GB N 2 2047-01-10 Fixed 4.95000000 N N N N N N Deutsche Bank Commercial Mortgage Trust N/A 23312VAF3 240000.00000000 PA USD 248700.46000000 0.026924689814 Long ABS-MBS CORP US N 2 2049-08-10 Fixed 2.89000000 N N N N N N Merrill Lynch, Pierce, Fenner & Smith Incorporated 8NAV47T0Y26Q87Y0QP81 000000000 -21.00000000 NC USD -3445.32000000 -0.00037299557 N/A DIR US N 1 Merrill Lynch, Pierce, Fenner & Smith Incorporated 8NAV47T0Y26Q87Y0QP81 Put Written Chicago Board Of Trade 549300EX04Q2QBFQTQ27 Chicago Board Of Trade 549300EX04Q2QBFQTQ27 N/A 21000.00000000 NC N/A -3445.32000000 0.00000000 DIR US Short 5 Year US Treasury Note FVZ9 Comdty 2019-12-31 21000.00000000 USD 1000.00000000 118.50000000 USD 2019-10-25 XXXX 1604.30000000 N N N 3M COMPANY LUZQVYP4VS22CLWDAR65 88579YBJ9 70000.00000000 PA USD 69459.38000000 0.007519778054 Long DBT CORP US N 2 2029-08-26 Fixed 2.38000000 N N N N N N JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 000000000 1.00000000 NC 11068.19000000 0.001198259072 N/A DFE US N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 1677000.00000000 CAD 1276915.54000000 USD 2019-10-03 11068.19000000 N N N Bank of Montreal NQQ6HPCNCCU6TUTQYE16 000000000 1.00000000 NC 48146.31000000 0.005212392701 N/A DFE US N 2 Bank of Montreal NQQ6HPCNCCU6TUTQYE16 2800000.00000000 NZD 1804572.00000000 USD 2019-12-18 48146.31000000 N N N BP Capital Markets America Inc 5493009NTB34VXE1T760 10373QAL4 513000.00000000 PA USD 524040.23000000 0.056733391820 Long DBT CORP US N 2 2023-05-10 Fixed 2.75000000 N N N N N N Merrill Lynch, Pierce, Fenner & Smith Incorporated 8NAV47T0Y26Q87Y0QP81 000000000 6.00000000 NC USD 18281.25000000 0.001979155911 N/A DIR US N 1 Merrill Lynch, Pierce, Fenner & Smith Incorporated 8NAV47T0Y26Q87Y0QP81 Call Purchased Chicago Board Of Trade 549300EX04Q2QBFQTQ27 Chicago Board Of Trade 549300EX04Q2QBFQTQ27 N/A 6000.00000000 NC N/A 18281.25000000 0.00000000 DIR US Long US Treasury Long Bond USZ9 Comdty 2019-12-19 6000.00000000 USD 1000.00000000 160.00000000 USD 2019-10-25 XXXX 10864.62000000 N N N Johnson & Johnson 549300G0CFPGEF6X2043 478160CD4 725000.00000000 PA USD 733526.83000000 0.079412729548 Long DBT CORP US N 2 2022-03-03 Fixed 2.25000000 N N N N N N Petroleos Mexicanos 549300CAZKPF4HKMPX17 71654QCD2 100000.00000000 PA USD 102900.00000000 0.011140110404 Long DBT CORP MX N 2 2023-09-21 Fixed 4.63000000 N N N N N N United States Treasury 254900HROIFWPRGM1V77 912810RN0 4985000.00000000 PA USD 5748717.55000000 0.622364899792 Long DBT UST US N 2 2045-08-15 Fixed 2.88000000 N N N N N N United States Treasury 254900HROIFWPRGM1V77 912796TE9 27982200.00000000 PA USD 27803943.03000000 3.010097133351 Long DBT UST US N 2 2020-02-06 None 0.00000000 N N N N N N United States Treasury 254900HROIFWPRGM1V77 912810RD2 1820000.00000000 PA USD 2395646.09000000 0.259356286993 Long DBT UST US N 2 2043-11-15 Fixed 3.75000000 N N N N N N DAE Funding LLC 635400SZTPQL3Y1P2C76 23371DAE4 20000.00000000 PA USD 21017.00000000 0.002275332365 Long DBT CORP US Y 2 2023-11-15 Fixed 5.75000000 N N N N N N Level 3 Financing Inc. N/A 52729KAN6 220000.00000000 PA USD 220321.20000000 0.023852307991 Long LON CORP US N 2 2024-02-22 Floating 4.29000000 N N N N N N HSBC Holdings PLC MLU0ZO3ML4LN2LL2TL39 404280BK4 410000.00000000 PA USD 435189.61000000 0.047114288650 Long DBT CORP GB N 2 2028-03-13 Variable 4.04000000 N N N N N N JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 000000000 1.00000000 NC -4607.91000000 -0.00049885934 N/A DFE NO N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 3221767.93000000 USD 29234000.00000000 NOK 2019-12-16 -4607.91000000 N N N Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 000000000 116.00000000 NC USD 28549050.00000000 3.090763546458 N/A DIR US N 1 Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 Long Eurodollar Time Deposit EDM0 Comdty 2020-06-15 28336036.60000000 USD 213013.40000000 N N N SINGAPORE GOVERNMENT 549300ZSV6VOGFH1ER70 000000000 963000.00000000 PA 703772.14000000 0.076191441582 Long DBT NUSS SG N 2 2021-06-01 Fixed 2.25000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3136ATQK3 320593.55000000 PA USD 54533.54000000 0.005903883929 Long ABS-MBS USGSE US N 2 2046-09-25 Floating 4.08000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 36179QGC9 93662.95000000 PA USD 98503.61000000 0.010664150540 Long ABS-MBS USGA US N 2 2044-06-20 Fixed 3.50000000 N N N N N N JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 000000000 1.00000000 NC -653.93000000 -0.00007079545 N/A DFE GB N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 764612.46000000 USD 621000.00000000 GBP 2019-10-15 -653.93000000 N N N Reynolds Group Issuer Inc / Reynolds Group Issuer LLC / Reynolds Group Issuer Lu N/A 761735AP4 81405.05000000 PA USD 81576.00000000 0.008831541752 Long DBT CORP US N 2 2020-10-15 Fixed 5.75000000 N N N N N N Citigroup Global Markets Inc. MBNUM2BPBDO7JBLYG310 000000000 2300000.00000000 OU Notional Amount 17326.50000000 0.001875793225 N/A DIR US N 2 Citigroup Global Markets Inc. MBNUM2BPBDO7JBLYG310 Brazil Cetip DI Interbank Deposit Rate BZDIOVRA Index Y 2020-01-02 2143.25000000 BRL 0.00000000 BRL 2300000.00000000 BRL 16780.93000000 N N N Russian Federation 5493004EHVGF71PDBU58 000000000 8430000.00000000 PA 131746.13000000 0.014263036282 Long DBT NUSS RU N 2 2028-01-19 Fixed 7.05000000 N N N N N N Citibank, National Association E57ODZWZ7FF32TWEFA76 000000000 1.00000000 NC -7552.01000000 -0.00081759208 N/A DFE GB N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 496416.62000000 USD 397352.00000000 GBP 2019-10-17 -7552.01000000 N N N SINGAPORE GOVERNMENT 549300ZSV6VOGFH1ER70 000000000 1199000.00000000 PA 860523.12000000 0.093161540933 Long DBT NUSS SG N 2 2021-10-01 Fixed 1.25000000 N N N N N N AmeriCredit Automobile Receivables Trust 54930070NSV60J38I987 03066GAB5 1241348.01000000 PA USD 1246030.13000000 0.134897115791 Long ABS-O CORP US N 2 2022-06-20 Fixed 2.93000000 N N N N N N JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 000000000 1.00000000 NC -3864.53000000 -0.00041837989 N/A DFE US N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 4603000.00000000 BRL 1101802.43000000 USD 2019-10-30 -3864.53000000 N N N Anthem Inc 8MYN82XMYQH89CTMTH67 036752AF0 80000.00000000 PA USD 81525.18000000 0.008826039901 Long DBT CORP US N 2 2022-12-01 Fixed 2.95000000 N N N N N N COMM Mortgage Trust N/A 12592FAA3 205000.00000000 PA USD 218290.15000000 0.023632423431 Long ABS-MBS CORP US Y 2 2049-08-10 Variable 3.73000000 N N N N N N Chicago Board Of Trade 549300EX04Q2QBFQTQ27 000000000 582.00000000 NC USD 125421000.00000000 13.57826809509 N/A DIR US N 1 Chicago Board Of Trade 549300EX04Q2QBFQTQ27 Long 2 Year US Treasury Note TUZ9 Comdty 2019-12-31 125345664.28000000 USD 75335.72000000 N N N Citibank, National Association E57ODZWZ7FF32TWEFA76 000000000 1.00000000 NC 1087.43000000 0.000117726824 N/A DFE US N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 39894467.00000000 JPY 370413.57000000 USD 2019-10-17 1087.43000000 N N N McDonald's Corp UE2136O97NLB5BYP9H04 58013MEY6 60000.00000000 PA USD 64413.37000000 0.006973489342 Long DBT CORP US N 2 2026-01-30 Fixed 3.70000000 N N N N N N Barclays Bank PLC G5GSEF7VJP5I7OUK5573 000000000 1.00000000 NC 107.43000000 0.000011630535 N/A DFE MX N 2 Barclays Bank PLC G5GSEF7VJP5I7OUK5573 100986.44000000 USD 2000000.00000000 MXN 2019-10-17 107.43000000 N N N Ingersoll-Rand Global Holding Co Ltd 549300UCF0D858BIOV83 45687AAM4 500000.00000000 PA USD 504067.73000000 0.054571138613 Long DBT CORP US N 2 2021-02-21 Fixed 2.90000000 N N N N N N The Bank of New York Mellon HPFHU0OQ28E4N0NFVK49 000000000 1.00000000 NC 12193.20000000 0.001320054365 N/A DFE US N 2 The Bank of New York Mellon HPFHU0OQ28E4N0NFVK49 36200000.00000000 MXN 1824238.18000000 USD 2019-12-18 12193.20000000 N N N Continental Resources Inc/OK XXRTID9RYWOZ0UPIVR53 212015AN1 80000.00000000 PA USD 81532.43000000 0.008826824797 Long DBT CORP US N 2 2024-06-01 Fixed 3.80000000 N N N N N N Eurex Deutschland 529900LN3S50JPU47S06 000000000 -105.00000000 NC -15524435.05000000 -1.68069893505 N/A DIR DE N 1 Eurex Deutschland 529900LN3S50JPU47S06 Short Euro-Bobl (FGBM) OEZ9 Comdty 2019-12-06 -14298843.70000000 EUR 60594.37000000 N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 31307N5N0 53606.23000000 PA USD 55717.02000000 0.006032009272 Long ABS-MBS USGSE US N 2 2030-08-01 Fixed 3.50000000 N N N N N N Lowe's Companies, Inc WAFCR4OKGSC504WU3E95 548661CV7 240000.00000000 PA USD 246819.52000000 0.026721056391 Long DBT CORP US N 2 2021-11-15 Fixed 3.80000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3131YBNX2 97099.38000000 PA USD 98602.49000000 0.010674855439 Long ABS-MBS USGSE US N 2 2049-04-01 Fixed 3.00000000 N N N N N N Microsoft Corp INR2EJN1ERAN0W5ZP974 594918BB9 40000.00000000 PA USD 41519.60000000 0.004494975004 Long DBT CORP US N 2 2025-02-12 Fixed 2.70000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31418AXN3 712581.06000000 PA USD 741414.93000000 0.080266707243 Long ABS-MBS USGSE US N 2 2033-09-01 Fixed 3.50000000 N N N N N N JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 000000000 1.00000000 NC -22.22000000 -0.00000240557 N/A DFE CZ N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 55720.20000000 USD 1318000.00000000 CZK 2019-10-03 -22.22000000 N N N VOC Escrow Ltd N/A 91832VAA2 60000.00000000 PA USD 61956.00000000 0.006707450730 Long DBT CORP BM Y 2 2028-02-15 Fixed 5.00000000 N N N N N N JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 000000000 1.00000000 NC 5411.49000000 0.000585856132 N/A DFE US N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 3256000.00000000 NZD 2044914.52000000 USD 2019-10-15 5411.49000000 N N N Morgan Stanley Mortgage Capital N/A 55375KAA4 8761000.00000000 PA USD 232374.14000000 0.025157177596 Long ABS-MBS CORP US Y 2 2039-09-13 Variable 0.47000000 N N N N N N Freddie Mac - STACR S6XOOCT0IEG5ABCC6L87 3137G0FT1 143965.19000000 PA USD 144651.07000000 0.015660144702 Long ABS-MBS USGSE US N 2 2027-12-25 Floating 4.62000000 N N N N N N GLP Capital LP / GLP Financing II Inc 5493006GWRDBCZYWTM57 361841AF6 80000.00000000 PA USD 86539.20000000 0.009368865328 Long DBT CORP US N 2 2023-11-01 Fixed 5.38000000 N N N N N N Fannie Mae - CAS B1V7KEBTPIMZEU4LTD58 30711XAK0 609871.92000000 PA USD 640325.57000000 0.069322619478 Long ABS-MBS USGSE US N 2 2024-07-25 Floating 5.02000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 31334XYY9 97939.78000000 PA USD 99563.86000000 0.010778934816 Long ABS-MBS USGSE US N 2 2049-08-01 Fixed 3.00000000 N N N N N N Centene Escrow I Corp 549300Z7JJ4TQSQGT333 15137TAA8 10000.00000000 PA USD 10475.00000000 0.001134039421 Long DBT CORP US Y 2 2026-06-01 Fixed 5.38000000 N N N N N N State Street Bank and Trust Company 571474TGEMMWANRLN572 000000000 1.00000000 NC -139.75000000 -0.00001512954 N/A DFE HK N 2 State Street Bank and Trust Company 571474TGEMMWANRLN572 60896.34000000 USD 475860.00000000 HKD 2019-11-22 -139.75000000 N N N VICI Properties 1 LLC 549300XI4XP4JVS3XU20 92565EAB9 26363.64000000 PA USD 26418.48000000 0.002860104799 Long LON CORP US N 2 2024-12-20 Floating 4.05000000 N N N N N N Credit Suisse Mortgage Trust N/A 12651QAS8 600000.00000000 PA USD 599538.00000000 0.064906895154 Long ABS-MBS CORP US Y 2 2032-07-15 Floating 7.65000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140HVFM1 100000.00000000 PA USD 104299.13000000 0.011291582344 Long ABS-MBS USGSE US N 2 2031-08-01 Fixed 2.77000000 N N N N N N Microsoft Corp INR2EJN1ERAN0W5ZP974 594918BX1 180000.00000000 PA USD 187714.36000000 0.020322241932 Long DBT CORP US N 2 2024-02-06 Fixed 2.88000000 N N N N N N Ford Motor Co 20S05OYHG0MQM4VUIC57 345370CQ1 10000.00000000 PA USD 8665.05000000 0.000938091483 Long DBT CORP US N 2 2043-01-15 Fixed 4.75000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 01F0226A8 2900000.00000000 PA USD 2886824.60000000 0.312532019058 Long ABS-MBS USGSE US N 2 2049-10-10 Fixed 2.50000000 N N N N N N Eurex Deutschland 529900LN3S50JPU47S06 000000000 40.00000000 NC 6358334.25000000 0.688362930328 N/A DIR DE N 1 Eurex Deutschland 529900LN3S50JPU47S06 Long Long-Term Euro-BTP (FBTP) IKZ9 Comdty 2019-12-06 5778428.00000000 EUR 60134.74000000 N N N Time Warner Cable LLC 549300U5NFR7S6E3GM41 88732JAN8 600000.00000000 PA USD 765297.84000000 0.082852307381 Long DBT CORP US N 2 2038-07-01 Fixed 7.30000000 N N N N N N Credit Suisse Mortgage Trust N/A 12653QAA5 150421.47000000 PA USD 150422.67000000 0.016284986890 Long ABS-MBS CORP US Y 3 2020-08-15 Variable 5.26000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140JXNY0 100000.00000000 PA USD 101855.21000000 0.011026999850 Long ABS-MBS USGSE US N 2 2049-10-01 Fixed 3.00000000 N N N N N N Chubb INA Holdings Inc CZCBJZWDMLTHWJDXU843 00440EAV9 30000.00000000 PA USD 32044.92000000 0.003469231746 Long DBT CORP US N 2 2026-05-03 Fixed 3.35000000 N N N N N N MPLX LP 5493000CZJ19CK4P3G36 55336VAN0 140000.00000000 PA USD 146236.37000000 0.015831771689 Long DBT CORP US N 2 2048-04-15 Fixed 4.70000000 N N N N N N Domtar Corp XYSIJOU3HNVROZWNA008 257559AK0 656000.00000000 PA USD 735524.18000000 0.079628965695 Long DBT CORP US N 2 2044-02-15 Fixed 6.75000000 N N N N N N CANADIAN GOVERNMENT 4BFD7AQU0A75QLAHK410 135087F82 1968000.00000000 PA 1445032.06000000 0.156441367208 Long DBT NUSS CA N 2 2027-06-01 Fixed 1.00000000 N N N N N N Freddie Mac - STACR S6XOOCT0IEG5ABCC6L87 3137G0HF9 296752.27000000 PA USD 298681.81000000 0.032335746735 Long ABS-MBS USGSE US N 2 2028-05-25 Floating 4.82000000 N N N N N N Visa Inc 549300JZ4OKEHW3DPJ59 92826CAD4 150000.00000000 PA USD 159934.80000000 0.017314784542 Long DBT CORP US N 2 2025-12-14 Fixed 3.15000000 N N N N N N Morgan Stanley IGJSJL3JD5P30I6NJZ34 6174468G7 270000.00000000 PA USD 303385.41000000 0.032844965620 Long DBT CORP US N 2 2030-01-23 Variable 4.43000000 N N N N N N JP Morgan Mortgage Trust 5493002WZI1ZSAEIE710 46650MAE7 1973946.17000000 PA USD 1983044.09000000 0.214687367334 Long ABS-MBS CORP US Y 2 2049-01-25 Variable 4.00000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3132AEJ80 2762476.62000000 PA USD 2865395.53000000 0.310212075368 Long ABS-MBS USGSE US N 2 2049-06-01 Fixed 4.00000000 N N N N N N Waste Management Inc 549300YX8JIID70NFS41 94106LBG3 120000.00000000 PA USD 129427.15000000 0.014011979983 Long DBT CORP US N 2 2029-06-15 Fixed 3.45000000 N N N N N N Energy Transfer Operating LP 5493008K8W3OKZE54J59 29279FAA7 10000.00000000 PA USD 12141.58000000 0.001314465905 Long DBT CORP US N 2 2049-04-15 Fixed 6.25000000 N N N N N N ENTERPRISE PRODUCTS OPER 5493004LGN656HWLDA30 29379VBW2 100000.00000000 PA USD 106929.35000000 0.011576333959 Long DBT CORP US N 2 2050-01-31 Fixed 4.20000000 N N N N N N Enbridge Inc 98TPTUM4IVMFCZBCUR27 29250NAR6 687000.00000000 PA USD 725987.46000000 0.078596505892 Long DBT CORP CA N 2 2027-07-15 Fixed 3.70000000 N N N N N N Russell Investments Trust Company Commingled Employee Benefit Funds Trust-U.S. Cash Management Fund 845SLB3N6EI7ZN7PZ398 000000000 68186874.84000000 NS USD 68200512.21000000 7.383491114010 Long STIV PF US N N/A N N N Standard Chartered PLC U4LOSYZ7YG4W3S5F2G91 853254AN0 600000.00000000 PA USD 736479.73000000 0.079732414990 Long DBT CORP GB Y 2 2044-03-26 Fixed 5.70000000 N N N N N N MidAmerican Energy Co NINLOILYRTLIMK26MZ18 595620AT2 477000.00000000 PA USD 526310.50000000 0.056979174701 Long DBT CORP US N 2 2029-04-15 Fixed 3.65000000 N N N N N N MEX BONOS DESARR FIX RT 254900EGTWEU67VP6075 000000000 11350000.00000000 PA 657706.45000000 0.071204299965 Long DBT NUSS MX N 2 2024-12-05 Fixed 10.00000000 N N N N N N AbbVie Inc FR5LCKFTG8054YNNRU85 00287YAQ2 60000.00000000 PA USD 62391.78000000 0.006754628935 Long DBT CORP US N 2 2025-05-14 Fixed 3.60000000 N N N N N N UNITEDHEALTH GROUP INC 549300GHBMY8T5GXDE41 91324PDV1 30000.00000000 PA USD 31704.85000000 0.003432415251 Long DBT CORP US N 2 2059-08-15 Fixed 3.88000000 N N N N N N Russian Federation 5493004EHVGF71PDBU58 000000000 31660000.00000000 PA 514048.47000000 0.055651668696 Long DBT NUSS RU N 2 2026-09-16 Fixed 7.75000000 N N N N N N AT&T INC 549300Z40J86GGSTL398 00206RHT2 685000.00000000 PA USD 726695.90000000 0.078673202683 Long DBT CORP US N 2 2026-01-15 Fixed 3.88000000 N N N N N N JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 000000000 1.00000000 NC 4246.94000000 0.000459780179 N/A DFE US N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 1754000.00000000 CZK 78370.05000000 USD 2019-10-03 4246.94000000 N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 36179TLT0 515154.84000000 PA USD 537872.35000000 0.058230878156 Long ABS-MBS USGA US N 2 2047-11-20 Fixed 4.00000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3131YDNE0 98813.25000000 PA USD 100342.89000000 0.010863273788 Long ABS-MBS USGSE US N 2 2049-06-01 Fixed 3.00000000 N N N N N N Devon Energy Corp 54930042348RKR3ZPN35 25179MAV5 440000.00000000 PA USD 523049.25000000 0.056626106819 Long DBT CORP US N 2 2025-12-15 Fixed 5.85000000 N N N N N N Legacy Mortgage Asset Trust N/A 52473CAA0 454593.09000000 PA USD 457833.48000000 0.049565748434 Long ABS-O CORP US Y 2 2059-05-25 Variable 3.44000000 N N N N N N Petroleos Mexicanos 549300CAZKPF4HKMPX17 706451BG5 10000.00000000 PA USD 9772.50000000 0.001057985703 Long DBT CORP MX N 2 2035-06-15 Fixed 6.63000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140JVBZ4 97874.57000000 PA USD 100986.67000000 0.010932970390 Long ABS-MBS USGSE US N 2 2049-06-01 Fixed 3.50000000 N N N N N N Trans Union, LLC X8NPN6PWJOM1QCTYFV34 89334GAU8 41854.94000000 PA USD 41971.30000000 0.004543876732 Long LON CORP US N 2 2023-04-10 Floating 4.04000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140QBWJ3 500000.00000000 PA USD 507740.05000000 0.054968709558 Long ABS-MBS USGSE US N 2 2049-09-01 Fixed 3.00000000 N N N N N N JPMorgan Chase & Co 8I5DZWZKVSZI1NUHU748 46625HQJ2 30000.00000000 PA USD 30194.08000000 0.003268856994 Long DBT CORP US N 2 2021-03-01 Fixed 2.55000000 N N N N N N Commonwealth Bank of Australia MSFSBD3QN1GSN7Q6C537 000000000 1.00000000 NC -6710.09000000 -0.00072644454 N/A DFE JP N 2 Commonwealth Bank of Australia MSFSBD3QN1GSN7Q6C537 8451785.31000000 USD 911876640.00000000 JPY 2019-10-23 -6710.09000000 N N N Federal Republic of Brazil 254900ZFY40OYEADAP90 105756BU3 220000.00000000 PA USD 219725.00000000 0.023787762473 Long DBT NUSS BR N 2 2023-01-05 Fixed 2.63000000 N N N N N N Fox Corp 549300DDU6FDRBIELS05 35137LAD7 270000.00000000 PA USD 331650.26000000 0.035904961243 Long DBT CORP US Y 2 2039-01-25 Fixed 5.48000000 N N N N N N Goldman Sachs Group Inc/The 784F5XWPLTWKTBV3E584 38141GWQ3 350000.00000000 PA USD 361248.55000000 0.039109317106 Long DBT CORP US N 2 2025-09-29 Variable 3.27000000 N N N N N N Core Mortgage Trust N/A 21871FAL2 1520000.00000000 PA USD 1521428.80000000 0.164712194401 Long ABS-MBS CORP US Y 2 2031-12-15 Floating 3.68000000 N N N N N N Bank of America Corp 9DJT3UXIJIZJI4WXO774 06051GHC6 42000.00000000 PA USD 42895.02000000 0.004643880063 Long DBT CORP US N 2 2023-12-20 Variable 3.00000000 N N N N N N Citibank, National Association E57ODZWZ7FF32TWEFA76 000000000 1.00000000 NC 32505.30000000 0.003519073184 N/A DFE US N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 2660000.00000000 AUD 1832261.20000000 USD 2019-12-18 32505.30000000 N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140HVFR0 100000.00000000 PA USD 104249.26000000 0.011286183342 Long ABS-MBS USGSE US N 2 2031-08-01 Fixed 2.77000000 N N N N N N Chicago Board Of Trade 549300EX04Q2QBFQTQ27 000000000 -45.00000000 NC USD -9697500.00000000 -1.04986608982 N/A DIR US N 1 Chicago Board Of Trade 549300EX04Q2QBFQTQ27 Short 2 Year US Treasury Note TUZ9 Comdty 2019-12-31 -9706517.11000000 USD 9017.11000000 N N N AT&T Inc 549300Z40J86GGSTL398 00206RDR0 190000.00000000 PA USD 223712.65000000 0.024219471523 Long DBT CORP US N 2 2037-03-01 Fixed 5.25000000 N N N N N N Citigroup Commercial Mortgage Trust N/A 17327XAL1 430000.00000000 PA USD 430605.74000000 0.046618031916 Long ABS-MBS CORP US Y 2 2036-12-15 Floating 4.53000000 N N N N N N CIGNA CORP 549300VIWYMSIGT1U456 125523AH3 460000.00000000 PA USD 504283.26000000 0.054594472218 Long DBT CORP US N 2 2028-10-15 Fixed 4.38000000 N N N N N N NBCUniversal Media LLC VTBDOQJ6KOGQ6K786R46 63946BAH3 524000.00000000 PA USD 538318.84000000 0.058279215842 Long DBT CORP US N 2 2023-01-15 Fixed 2.88000000 N N N N N N First Eagle Investment Management, LLC N/A 05554JAG2 49674.74000000 PA USD 49695.60000000 0.005380121191 Long LON CORP US N 2 2024-12-26 Floating 4.85000000 N N N N N N PacifiCorp SGY07Y7FNYBNLM6Z1M11 695114CD8 543000.00000000 PA USD 728800.64000000 0.078901065035 Long DBT CORP US N 2 2037-04-01 Fixed 5.75000000 N N N N N N Fannie Mae - ACES B1V7KEBTPIMZEU4LTD58 3136B4KB3 150000.00000000 PA USD 163289.54000000 0.017677973794 Long ABS-MBS USGSE US N 2 2029-01-25 Fixed 3.27000000 N N N N N N CENCOSUD SA 549300NLTGCFV7482429 15132HAA9 264000.00000000 PA USD 271262.64000000 0.029367305715 Long DBT CORP CL Y 2 2021-01-20 Fixed 5.50000000 N N N N N N Citigroup Mortgage Loan Trust 549300R1KUK063S4I339 17312BAF9 1490000.00000000 PA USD 1464677.60000000 0.158568223229 Long ABS-O CORP US N 2 2037-03-25 Floating 2.47000000 N N N N N N Philip Morris International Inc HL3H1H2BGXWVG3BSWR90 718172CD9 60000.00000000 PA USD 60627.27000000 0.006563600401 Long DBT CORP US N 2 2022-11-02 Fixed 2.50000000 N N N N N N Exxon Mobil Corp J3WHBG0MTS7O8ZVMDC91 30231GAR3 266000.00000000 PA USD 273314.37000000 0.029589429123 Long DBT CORP US N 2 2023-03-01 Fixed 2.73000000 N N N N N N Wells Fargo & Co PBLD0EJDB5FWOLXP3B76 949746RS2 1129000.00000000 PA USD 1134180.64000000 0.122788119997 Long DBT CORP US N 2 2021-03-04 Fixed 2.50000000 N N N N N N Mars Inc 54930073HKEO6GZBSS03 571676AA3 60000.00000000 PA USD 61572.65000000 0.006665948677 Long DBT CORP US Y 2 2025-04-01 Fixed 2.70000000 N N N N N N Wells Fargo Mortgage Backed Securities Trust N/A 94983KAC3 333815.83000000 PA USD 342995.20000000 0.037133181691 Long ABS-MBS CORP US N 2 2036-03-25 Variable 4.99000000 N N N N N N Virgin Media Bristol LLC N/A G9368PAY0 156889.75000000 PA USD 156889.75000000 0.016985122801 Long LON CORP US N 2 2026-01-15 Floating 4.53000000 N N N N N N Korea Southern Power Co Ltd 9884001B6VSIQS4ZY558 50065AAB0 241000.00000000 PA USD 243277.99000000 0.026337644970 Long DBT CORP KR Y 2 2021-01-29 Fixed 3.00000000 N N N N N N Freddie Mac Reference REMIC S6XOOCT0IEG5ABCC6L87 31396NRF5 223734.10000000 PA USD 258410.09000000 0.027975869116 Long ABS-MBS USGSE US N 2 2036-05-15 Fixed 6.00000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140J5W39 244713.97000000 PA USD 251580.08000000 0.027236441852 Long ABS-MBS USGSE US N 2 2047-04-01 Fixed 3.00000000 N N N N N N Westpac Banking Corp EN5TNI6CI43VEPAMHL14 961214CP6 10000.00000000 PA USD 10018.26000000 0.001084592054 Long DBT CORP AU N 2 2020-05-26 Fixed 2.30000000 N N N N N N TKC Holdings, Inc. N/A 87256FAB0 218864.54000000 PA USD 214642.64000000 0.023237538454 Long LON CORP US N 2 2023-02-01 Floating 5.80000000 N N N N N N Republic of Argentina 549300KPBYGYF7HCHO27 040114HK9 340000.00000000 PA USD 146203.40000000 0.015828202307 Long DBT NUSS AR N 2 2022-01-26 Fixed 5.63000000 N N N N N N BAT Capital Corp 2138005GYEXN7XRHFA84 05526DBB0 445000.00000000 PA USD 447463.68000000 0.048443098124 Long DBT CORP US N 2 2027-08-15 Fixed 3.56000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3132ACYG9 260481.36000000 PA USD 268098.70000000 0.029024772761 Long ABS-MBS USGSE US N 2 2048-10-01 Fixed 3.50000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140J9H46 93847.82000000 PA USD 98592.82000000 0.010673808550 Long ABS-MBS USGSE US N 2 2045-02-01 Fixed 3.50000000 N N N N N N Bank of Montreal NQQ6HPCNCCU6TUTQYE16 000000000 1.00000000 NC -18992.20000000 -0.00205612443 N/A DFE JP N 2 Bank of Montreal NQQ6HPCNCCU6TUTQYE16 1860194.19000000 USD 198000000.00000000 JPY 2019-12-18 -18992.20000000 N N N Midwest Connector Capital Co LLC MTLVN9N7JE8MIBIJ1H73 59833CAB8 267000.00000000 PA USD 273900.08000000 0.029652838978 Long DBT CORP US Y 2 2022-04-01 Fixed 3.63000000 N N N N N N Boston Scientific Corp Y6ZDD9FP4P8JSSJMW954 101137AN7 677000.00000000 PA USD 719637.70000000 0.077909071223 Long DBT CORP US N 2 2023-10-01 Fixed 4.13000000 N N N N N N Altria Group Inc XSGZFLO9YTNO9VCQV219 02209SBF9 100000.00000000 PA USD 117640.41000000 0.012735929595 Long DBT CORP US N 2 2049-02-14 Fixed 5.95000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31418C3K8 226858.33000000 PA USD 243053.79000000 0.026313372737 Long ABS-MBS USGSE US N 2 2048-10-01 Fixed 5.00000000 N N N N N N Citigroup Mortgage Loan Trust 549300R1KUK063S4I339 17323NAW3 157927.22000000 PA USD 158810.51000000 0.017193067198 Long ABS-MBS CORP US Y 2 2047-03-25 Floating 2.40000000 N N N N N N Intel Corp KNX4USFCNGPY45LOCE31 458140AR1 261000.00000000 PA USD 270132.87000000 0.029244995097 Long DBT CORP US N 2 2022-07-29 Fixed 3.10000000 N N N N N N State Street Bank and Trust Company 571474TGEMMWANRLN572 000000000 1.00000000 NC -2929.66000000 -0.00031716944 N/A DFE KR N 2 State Street Bank and Trust Company 571474TGEMMWANRLN572 233240.43000000 USD 275783490.00000000 KRW 2019-11-22 -2929.66000000 N N N DOMINION ENERGY INC ILUL7B6Z54MRYCF6H308 25746UDA4 726000.00000000 PA USD 730740.78000000 0.079111107540 Long DBT CORP US N 2 2021-08-15 Variable 2.72000000 N N N N N N Celgene Corp 4SIHMF0MOSTTL8CD0X64 151020AV6 70000.00000000 PA USD 70001.77000000 0.007578498020 Long DBT CORP US N 2 2021-08-15 Fixed 2.25000000 N N N N N N MEX BONOS DESARR FIX RT 254900EGTWEU67VP6075 000000000 25111000.00000000 PA 1619668.41000000 0.175347763900 Long DBT NUSS MX N 2 2036-11-20 Fixed 10.00000000 N N N N N N Credit Suisse Group Funding Guernsey Ltd 549300PXR5FKNXF0OH19 225433AF8 300000.00000000 PA USD 367436.80000000 0.039779266457 Long DBT CORP GG N 2 2045-05-15 Fixed 4.88000000 N N N N N N Medtronic Inc D56MRZY2INAN94ZONZ37 585055BS4 67000.00000000 PA USD 71926.08000000 0.007786826745 Long DBT CORP US N 2 2025-03-15 Fixed 3.50000000 N N N N N N State Street Bank and Trust Company 571474TGEMMWANRLN572 000000000 1.00000000 NC 186618.13000000 0.020203562406 N/A DFE RU N 2 State Street Bank and Trust Company 571474TGEMMWANRLN572 6041435.77000000 USD 406558420.00000000 RUB 2019-11-22 186618.13000000 N N N Citigroup Global Markets Inc. MBNUM2BPBDO7JBLYG310 000000000 11431000.00000000 OU Notional Amount 86112.70000000 0.009322691789 N/A DIR US N 2 Citigroup Global Markets Inc. MBNUM2BPBDO7JBLYG310 Brazil Cetip DI Interbank Deposit Rate BZDIOVRA Index Y 2020-01-02 0.00000000 BRL 0.00000000 BRL 11431000.00000000 BRL 86112.70000000 N N N Energy Transfer Partners LP / Regency Energy Finance Corp MTLVN9N7JE8MIBIJ1H73 75886AAQ1 516000.00000000 PA USD 547490.81000000 0.059272187255 Long DBT CORP US N 2 2022-10-01 Fixed 5.00000000 N N N N N N General Motors Financial Co Inc 5493008B6JBRUJ90QL97 37045XCK0 505000.00000000 PA USD 526589.93000000 0.057009426218 Long DBT CORP US N 2 2025-04-09 Fixed 4.35000000 N N N N N N Citigroup Global Markets Inc. MBNUM2BPBDO7JBLYG310 000000000 2600000.00000000 OU Notional Amount 19586.47000000 0.002120461012 N/A DIR US N 2 Citigroup Global Markets Inc. MBNUM2BPBDO7JBLYG310 Brazil Cetip DI Interbank Deposit Rate BZDIOVRA Index Y 2020-01-02 983.18000000 BRL 0.00000000 BRL 2600000.00000000 BRL 19409.97000000 N N N Merrill Lynch, Pierce, Fenner & Smith Incorporated 8NAV47T0Y26Q87Y0QP81 000000000 18.00000000 NC USD 20812.50000000 0.002253192884 N/A DIR US N 1 Merrill Lynch, Pierce, Fenner & Smith Incorporated 8NAV47T0Y26Q87Y0QP81 Call Purchased Chicago Board Of Trade 549300EX04Q2QBFQTQ27 Chicago Board Of Trade 549300EX04Q2QBFQTQ27 N/A 18000.00000000 NC N/A 20812.50000000 0.00000000 DIR US Long 10 Year US Treasury Note TYZ9 Comdty 2019-12-19 18000.00000000 USD 1000.00000000 129.50000000 USD 2019-10-25 XXXX 11500.11000000 N N N Concho Resources Inc SYHS7HRDXLL4I0IQ8776 20605PAG6 90000.00000000 PA USD 93289.67000000 0.010099681470 Long DBT CORP US N 2 2025-01-15 Fixed 4.38000000 N N N N N N JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 000000000 1.00000000 NC -37648.05000000 -0.00407583511 N/A DFE JP N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 1700564.17000000 USD 179651000.00000000 JPY 2019-10-15 -37648.05000000 N N N MALAYSIA GOVERNMENT 254900GSIL471JOBYY43 000000000 5725000.00000000 PA 1420556.42000000 0.153791597220 Long DBT NUSS MY N 2 2024-07-15 Fixed 4.18000000 N N N N N N Bank of America Corp 9DJT3UXIJIZJI4WXO774 06051GGR4 260000.00000000 PA USD 274874.04000000 0.029758281368 Long DBT CORP US N 2 2028-07-21 Variable 3.59000000 N N N N N N Towd Point Mortgage Trust N/A 89172YAA8 226361.03000000 PA USD 225441.73000000 0.024406664352 Long ABS-O CORP US Y 2 2056-04-25 Variable 2.25000000 N N N N N N GRACE Mortgage Trust N/A 38406HAA0 393000.00000000 PA USD 399032.20000000 0.043199832485 Long ABS-MBS CORP US Y 2 2028-06-10 Fixed 3.37000000 N N N N N N JP Morgan Mortgage Trust 5493002WZI1ZSAEIE710 46649CAA1 246487.52000000 PA USD 250290.08000000 0.027096784492 Long ABS-MBS CORP US Y 2 2048-10-25 Variable 3.50000000 N N N N N N Anglo American Capital PLC TINT358G1SSHR3L3PW36 034863AS9 200000.00000000 PA USD 206180.45000000 0.022321408903 Long DBT CORP GB Y 2 2024-09-11 Fixed 3.63000000 N N N N N N DigiCert, Inc. N/A 25381EAE5 228782.10000000 PA USD 228210.14000000 0.024706376627 Long LON CORP US N 2 2024-10-31 Floating 6.04000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3138WJJD1 374403.62000000 PA USD 383489.50000000 0.041517156159 Long ABS-MBS USGSE US N 2 2046-11-01 Fixed 3.00000000 N N N N N N Anheuser-Busch InBev Worldwide Inc 549300CRGMZK3K53BF92 035240AQ3 410000.00000000 PA USD 477447.64000000 0.051689207208 Long DBT CORP US N 2 2029-01-23 Fixed 4.75000000 N N N N N N OCCIDENTAL PETROLEUM COR IM7X0T3ECJW4C1T7ON55 674599DK8 125000.00000000 PA USD 127179.03000000 0.013768595095 Long DBT CORP US N 2 2044-07-15 Fixed 4.50000000 N N N N N N Four Seasons Hotels Limited 5493009FUVX8LHYY2202 35100DAR7 49871.79000000 PA USD 50086.74000000 0.005422466602 Long LON CORP CA N 2 2023-11-30 None 0.00000000 N N N N N N MALAYSIA GOVERNMENT 254900GSIL471JOBYY43 000000000 150000.00000000 PA 36468.89000000 0.003948177462 Long DBT NUSS MY N 2 2021-07-15 Fixed 4.16000000 N N N N N N JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 000000000 1.00000000 NC -110.27000000 -0.00001193799 N/A DFE CZ N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 18535.40000000 USD 436000.00000000 CZK 2019-10-03 -110.27000000 N N N United Mexican States 254900EGTWEU67VP6075 91086QBB3 20000.00000000 PA USD 21650.00000000 0.002343861907 Long DBT NUSS MX N 2 2044-03-08 Fixed 4.75000000 N N N N N N United Rentals North America Inc NGIZXNT70J2LYT3FBI09 911365BK9 20000.00000000 PA USD 21790.00000000 0.002359018519 Long DBT CORP US N 2 2026-12-15 Fixed 6.50000000 N N N N N N Berkshire Hathaway Energy Co 549300JD0S5IZJE9LY15 084659AK7 245000.00000000 PA USD 251154.03000000 0.027190317032 Long DBT CORP US N 2 2023-01-15 Fixed 2.80000000 N N N N N N JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 000000000 1.00000000 NC -1916.14000000 -0.00020744422 N/A DFE AU N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 2131712.90000000 USD 3154000.00000000 AUD 2019-10-15 -1916.14000000 N N N Noble Energy Inc 02VFQXG2D1LR5ZH3K186 655044AN5 40000.00000000 PA USD 43686.09000000 0.004729522504 Long DBT CORP US N 2 2047-08-15 Fixed 4.95000000 N N N N N N Newell Brands Inc 549300LWGYFM1TVO1Z12 651229AV8 40000.00000000 PA USD 41246.29000000 0.004465386048 Long DBT CORP US N 2 2023-04-01 Fixed 3.85000000 N N N N N N Royal Bank of Scotland Group PLC 2138005O9XJIJN4JPN90 780099CE5 70000.00000000 PA USD 75742.29000000 0.008199975440 Long DBT CORP GB N 2 2022-12-15 Fixed 6.13000000 N N N N N N Comcast Corp 51M0QTTNCGUN7KFCFZ59 20030NAK7 90000.00000000 PA USD 126075.39000000 0.013649113351 Long DBT CORP US N 2 2035-11-15 Fixed 6.50000000 N N N N N N Kroger Co/The 6CPEOKI6OYJ13Q6O7870 501044DB4 225000.00000000 PA USD 225819.85000000 0.024447600198 Long DBT CORP US N 2 2021-02-01 Fixed 2.60000000 N N N N N N Merrill Lynch, Pierce, Fenner & Smith Incorporated 8NAV47T0Y26Q87Y0QP81 000000000 -5.00000000 NC USD -2343.75000000 -0.00025373793 N/A DIR US N 1 Merrill Lynch, Pierce, Fenner & Smith Incorporated 8NAV47T0Y26Q87Y0QP81 Call Written Chicago Board Of Trade 549300EX04Q2QBFQTQ27 Chicago Board Of Trade 549300EX04Q2QBFQTQ27 N/A 5000.00000000 NC N/A -2343.75000000 0.00000000 DIR US Short US Treasury Long Bond USZ9 Comdty 2019-12-19 5000.00000000 USD 1000.00000000 166.00000000 USD 2019-10-25 XXXX 7022.60000000 N N N Park Place Securities Inc N/A 70069FGE1 1290000.00000000 PA USD 1290912.68000000 0.139756168874 Long ABS-O CORP US N 2 2035-03-25 Floating 3.14000000 N N N N N N UNITEDHEALTH GROUP INC 549300GHBMY8T5GXDE41 91324PDU3 160000.00000000 PA USD 169625.08000000 0.018363868984 Long DBT CORP US N 2 2049-08-15 Fixed 3.70000000 N N N N N N Allergan Funding SCS 222100FLFVOSKCBCAR54 00507UAR2 285000.00000000 PA USD 292096.65000000 0.031622827304 Long DBT CORP LU N 2 2022-03-15 Fixed 3.45000000 N N N N N N Devon Financing Co LLC 54930042348RKR3ZPN35 25179SAD2 150000.00000000 PA USD 213288.59000000 0.023090946943 Long DBT CORP US N 2 2031-09-30 Fixed 7.88000000 N N N N N N NORWEGIAN GOVERNMENT 549300O6E2WAK3IAXE34 000000000 2985000.00000000 PA 333594.62000000 0.036115460612 Long DBT NUSS NO Y 2 2026-02-19 Fixed 1.50000000 N N N N N N JP Morgan Mortgage Trust 5493002WZI1ZSAEIE710 46649TAA4 644269.49000000 PA USD 654466.34000000 0.070853520732 Long ABS-MBS CORP US Y 2 2048-09-25 Variable 3.50000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3138YHU65 674411.32000000 PA USD 705923.45000000 0.076424345673 Long ABS-MBS USGSE US N 2 2045-05-01 Fixed 3.50000000 N N N N N N Residential Asset Mortgage Pro N/A 76112BZ52 960000.00000000 PA USD 934807.10000000 0.101203637516 Long ABS-O CORP US N 2 2036-03-25 Floating 2.59000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 31334XEE5 1578554.03000000 PA USD 1602990.19000000 0.173542154452 Long ABS-MBS USGSE US N 2 2049-07-01 Fixed 3.00000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 38379WWN8 113263.24000000 PA USD 19983.34000000 0.002163426762 Long ABS-MBS USGA US N 2 2046-04-20 Floating 4.01000000 N N N N N N GlaxoSmithKline Capital Inc 5493007Q8VD7Q3ZYZS59 377372AH0 449000.00000000 PA USD 460623.22000000 0.049867769926 Long DBT CORP US N 2 2023-03-18 Fixed 2.80000000 N N N N N N Mitsubishi UFJ Financial Group Inc 353800V2V8PUY9TK3E06 606822AL8 60000.00000000 PA USD 61045.28000000 0.006608854799 Long DBT CORP JP N 2 2022-02-22 Fixed 3.00000000 N N N N N N Sungard As New Holdings III, LLC N/A 86736LAD5 39420.78000000 PA USD 38041.05000000 0.004118381893 Long LON CORP US N 2 2022-02-03 Floating 9.79000000 N N N N N N Danske Bank A/S MAES062Z21O4RZ2U7M96 23636AAT8 862000.00000000 PA USD 946936.82000000 0.102516819440 Long DBT CORP DK Y 2 2024-01-12 Fixed 5.38000000 N N N N N N JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 000000000 1.00000000 NC 12055.68000000 0.001305166240 N/A DFE US N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 66349000.00000000 MXN 3334204.38000000 USD 2019-12-16 12055.68000000 N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3138WHWE8 76625.55000000 PA USD 78505.04000000 0.008499074955 Long ABS-MBS USGSE US N 2 2046-09-01 Fixed 3.00000000 N N N N N N JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 000000000 1.00000000 NC 40513.73000000 0.004386077989 N/A DFE US N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 7737000.00000000 CHF 7843753.48000000 USD 2019-12-16 40513.73000000 N N N Bank of America Corp 9DJT3UXIJIZJI4WXO774 06051GFW4 718000.00000000 PA USD 724655.92000000 0.078452351348 Long DBT CORP US N 2 2021-04-19 Fixed 2.63000000 N N N N N N Lyb Finance Co Bv 549300BBGA3CFHX0KS75 61238QAA6 186000.00000000 PA USD 240544.32000000 0.026041693701 Long DBT CORP NL Y 2 2027-03-15 Fixed 8.10000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 36179T4P7 639657.44000000 PA USD 665806.46000000 0.072081219359 Long ABS-MBS USGA US N 2 2048-07-20 Fixed 4.00000000 N N N N N N Citigroup Mortgage Loan Trust 549300R1KUK063S4I339 17307GW79 5257.45000000 PA USD 5428.05000000 0.000587648943 Long ABS-MBS CORP US N 2 2035-10-25 Floating 4.38000000 N N N N N N Goldman Sachs Group Inc/The 784F5XWPLTWKTBV3E584 38141GGM0 160000.00000000 PA USD 222022.22000000 0.024036463002 Long DBT CORP US N 2 2041-02-01 Fixed 6.25000000 N N N N N N General Electric Co 3C7474T6CDKPR9K6YT90 36962GXZ2 619000.00000000 PA USD 778574.09000000 0.084289614386 Long DBT CORP US N 2 2032-03-15 Fixed 6.75000000 N N N N N N Royal Bank of Canada ES7IP3U3RHIGC71XBU11 000000000 1.00000000 NC 33986.92000000 0.003679475618 N/A DFE US N 2 Royal Bank of Canada ES7IP3U3RHIGC71XBU11 2660000.00000000 AUD 1833742.82000000 USD 2019-12-18 33986.92000000 N N N Sumitomo Mitsui Financial Group Inc 35380028MYWPB6AUO129 86562MAB6 723000.00000000 PA USD 729456.57000000 0.078972077014 Long DBT CORP JP N 2 2021-03-09 Fixed 2.93000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3133KGPZ5 499027.72000000 PA USD 510020.00000000 0.055215540410 Long ABS-MBS USGSE US N 2 2049-09-01 Fixed 3.00000000 N N N N N N Southern Power Co 5LADC78JBG2BMZD5XF57 843646AM2 220000.00000000 PA USD 238359.72000000 0.025805185584 Long DBT CORP US N 2 2025-12-01 Fixed 4.15000000 N N N N N N JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 000000000 1.00000000 NC 27866.23000000 0.003016840415 N/A DFE US N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 1227000.00000000 EUR 1366549.16000000 USD 2019-10-15 27866.23000000 N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31411KLN1 13270.70000000 PA USD 14942.95000000 0.001617746479 Long ABS-MBS USGSE US N 2 2037-03-01 Fixed 5.50000000 N N N N N N Chicago Board Of Trade 549300EX04Q2QBFQTQ27 000000000 895.00000000 NC USD 106637852.00000000 11.54477594295 N/A DIR US N 1 Chicago Board Of Trade 549300EX04Q2QBFQTQ27 Long 5 Year US Treasury Note FVZ9 Comdty 2019-12-31 107019436.12000000 USD -381584.12000000 N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3131YDLL6 195103.84000000 PA USD 198572.81000000 0.021497794233 Long ABS-MBS USGSE US N 2 2049-06-01 Fixed 3.00000000 N N N N N N JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 000000000 1.00000000 NC 3403.28000000 0.000368444265 N/A DFE US N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 4807000.00000000 SGD 3481350.48000000 USD 2019-10-03 3403.28000000 N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3132ACSS0 2802062.85000000 PA USD 2882920.07000000 0.312109308705 Long ABS-MBS USGSE US N 2 2046-10-01 Fixed 3.00000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31394CF98 198442.94000000 PA USD 218951.76000000 0.023704050335 Long ABS-MBS USGSE US N 2 2035-04-25 Fixed 5.00000000 N N N N N N Ares Capital Corp WEQ82666OJYSI5GUAB47 04010LAU7 261000.00000000 PA USD 262649.66000000 0.028434851408 Long DBT CORP US N 2 2023-02-10 Fixed 3.50000000 N N N N N N Anthem Inc 8MYN82XMYQH89CTMTH67 94973VAX5 30000.00000000 PA USD 30688.82000000 0.003322418299 Long DBT CORP US N 2 2022-05-15 Fixed 3.13000000 N N N N N N COMM MORTGAGE TRUST N/A 20048GAA4 1203000.00000000 PA USD 1203372.81000000 0.130278969490 Long ABS-MBS CORP US Y 2 2034-06-15 Floating 2.93000000 N N N N N N Occidental Petroleum Corp IM7X0T3ECJW4C1T7ON55 674599CG8 707000.00000000 PA USD 727143.67000000 0.078721678944 Long DBT CORP US N 2 2025-06-15 Fixed 3.50000000 N N N N N N Bear Stearns Alt-A Trust 8I5DZWZKVSZI1NUHU748 07386HQS3 824453.69000000 PA USD 808439.42000000 0.087522880406 Long ABS-MBS CORP US N 2 2035-03-25 Floating 2.77000000 N N N N N N ARCELORMITTAL 2EULGUTUI56JI9SAL165 03938LBB9 40000.00000000 PA USD 40411.67000000 0.004375028818 Long DBT CORP LU N 2 2024-07-16 Fixed 3.60000000 N N N N N N A10 SECURITIZATION 549300BJAA3I9I9SK397 00215EAX8 961000.00000000 PA USD 953598.38000000 0.103238010051 Long ABS-MBS CORP US Y 2 2036-05-15 None 0.00000000 N N N N N N JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 000000000 1.00000000 NC -8584.91000000 -0.00092941540 N/A DFE NO N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 379237.53000000 USD 3372000.00000000 NOK 2019-10-03 -8584.91000000 N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140JNA26 969768.65000000 PA USD 1000629.16000000 0.108329633779 Long ABS-MBS USGSE US N 2 2049-04-01 Fixed 3.50000000 N N N N N N Towd Point Mortgage Trust N/A 89173HAA4 454898.79000000 PA USD 458348.47000000 0.049621502034 Long ABS-O CORP US Y 2 2057-04-25 Variable 2.75000000 N N N N N N Walmart Inc Y87794H0US1R65VBXU25 931142EA7 250000.00000000 PA USD 250549.32000000 0.027124850208 Long DBT CORP US N 2 2020-12-15 Fixed 1.90000000 N N N N N N Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 000000000 2751000.00000000 OU Notional Amount USD 533797.69000000 0.057789749271 N/A DIR US N 2 Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 ICE Libor USD 3 Months US0003M Index Y 2036-02-15 4380.69000000 USD 0.00000000 USD 2751000.00000000 USD 529417.00000000 N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31419A3V7 42116.47000000 PA USD 48456.65000000 0.005245990581 Long ABS-MBS USGSE US N 2 2039-09-01 Fixed 6.00000000 N N N N N N Bank of America, National Association B4TYDEB6GKMZO031MB27 000000000 1.00000000 NC -132281.71000000 -0.01432101898 N/A DFE HU N 2 Bank of America, National Association B4TYDEB6GKMZO031MB27 2656516.73000000 USD 773305870.00000000 HUF 2019-11-22 -132281.71000000 N N N Hilton USA Trust N/A 43300LAN0 600000.00000000 PA USD 628596.36000000 0.068052797375 Long ABS-MBS CORP US Y 2 2038-11-05 Variable 4.33000000 N N N N N N Deutsche Telekom International Finance BV 529900ERDFHS6C1M4U58 25156PAU7 251000.00000000 PA USD 249330.46000000 0.026992894572 Long DBT CORP NL Y 2 2021-09-19 Fixed 1.95000000 N N N N N N Bunge Ltd Finance Corp 549300QHC068L40NNM71 120568BA7 220000.00000000 PA USD 231755.07000000 0.025090156136 Long DBT CORP US N 2 2024-03-15 Fixed 4.35000000 N N N N N N OCCIDENTAL PETROLEUM COR IM7X0T3ECJW4C1T7ON55 674599DE2 30000.00000000 PA USD 40526.52000000 0.004387462653 Long DBT CORP US N 2 2031-09-15 Fixed 7.88000000 N N N N N N CONTL AIRLINES 2007-1 N/A 21079NAA9 73314.56000000 PA USD 77368.86000000 0.008376070381 Long DBT CORP US N 2 2022-04-19 Fixed 5.98000000 N N N N N N Citigroup Inc 6SHGI4ZSSLCXXQSBB395 172967KA8 730000.00000000 PA USD 796459.18000000 0.086225881414 Long DBT CORP US N 2 2027-09-29 Fixed 4.45000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3133KGP28 199784.71000000 PA USD 204432.31000000 0.022132152609 Long ABS-MBS USGSE US N 2 2049-09-01 Fixed 3.00000000 N N N N N N MALAYSIA GOVERNMENT 254900GSIL471JOBYY43 000000000 3222000.00000000 PA 773633.67000000 0.083754757007 Long DBT NUSS MY N 2 2020-10-15 Fixed 3.66000000 N N N N N N Cooperatieve Rabobank UA DG3RU1DBUFHT4ZF9WN62 21684AAA4 250000.00000000 PA USD 268798.94000000 0.029100581808 Long DBT CORP NL N 2 2023-12-01 Fixed 4.63000000 N N N N N N Berry Global, Inc. 549300AP2Q7ERHX6RI89 08579JAX0 33545.04000000 PA USD 33683.58000000 0.003646635568 Long LON CORP US N 2 2022-10-01 Floating 4.30000000 N N N N N N United States Treasury 254900HROIFWPRGM1V77 912810RP5 1322000.00000000 PA USD 1560476.40000000 0.168939546928 Long DBT UST US N 2 2045-11-15 Fixed 3.00000000 N N N N N N Hilton Domestic Operating Co Inc 5493003EG7H0N1E4XV50 432833AD3 20000.00000000 PA USD 21000.00000000 0.002273491919 Long DBT CORP US N 2 2026-05-01 Fixed 5.13000000 N N N N N N Credit Suisse Mortgage Trust N/A 12653VAJ5 1282000.00000000 PA USD 1285206.28000000 0.139138385336 Long ABS-MBS CORP US Y 2 2036-05-15 Floating 4.18000000 N N N N N N MEG Energy Corp 5493002WXPTG5ZC1T326 552704AC2 100000.00000000 PA USD 96500.00000000 0.010447236676 Long DBT CORP CA Y 2 2024-03-31 Fixed 7.00000000 N N N N N N Toronto-Dominion Bank/The PT3QB789TSUIDF371261 89114QBL1 733000.00000000 PA USD 730928.07000000 0.079131383840 Long DBT CORP CA N 2 2021-07-13 Fixed 1.80000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3138ERVZ0 157951.54000000 PA USD 162509.56000000 0.017593531973 Long ABS-MBS USGSE US N 2 2046-12-01 Fixed 3.00000000 N N N N N N Altria Group Inc XSGZFLO9YTNO9VCQV219 02209SBB8 110000.00000000 PA USD 115001.24000000 0.012450209039 Long DBT CORP US N 2 2024-02-14 Fixed 3.80000000 N N N N N N JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 000000000 1.00000000 NC 1758.89000000 0.000190420104 N/A DFE KR N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 1854518.13000000 USD 2223379000.00000000 KRW 2019-10-07 1758.89000000 N N N Marathon Petroleum Corp 3BNYRYQHD39K4LCKQF12 56585AAJ1 234000.00000000 PA USD 250271.54000000 0.027094777323 Long DBT CORP US N 2 2054-09-15 Fixed 5.00000000 N N N N N N Citigroup Global Markets Inc. MBNUM2BPBDO7JBLYG310 000000000 1189000.00000000 OU Notional Amount 8957.04000000 0.000969702764 N/A DIR US N 2 Citigroup Global Markets Inc. MBNUM2BPBDO7JBLYG310 Brazil Cetip DI Interbank Deposit Rate BZDIOVRA Index Y 2020-01-02 836.04000000 BRL 0.00000000 BRL 1189000.00000000 BRL 8806.04000000 N N N Republic of Poland 259400R9L8QEP0TPXS31 857524AA0 550000.00000000 PA USD 576699.20000000 0.062434331952 Long DBT NUSS PL N 2 2021-04-21 Fixed 5.13000000 N N N N N N COMM Mortgage Trust N/A 12624XAP3 211000.00000000 PA USD 216870.00000000 0.023478675834 Long ABS-MBS CORP US Y 2 2046-03-10 Fixed 3.40000000 N N N N N N Bank of America, National Association B4TYDEB6GKMZO031MB27 000000000 1.00000000 NC -3115.11000000 -0.00033724654 N/A DFE MX N 2 Bank of America, National Association B4TYDEB6GKMZO031MB27 1749514.57000000 USD 34752950.00000000 MXN 2019-11-22 -3115.11000000 N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31410WDG0 2273.54000000 PA USD 2347.15000000 0.000254106026 Long ABS-MBS USGSE US N 2 2037-03-01 Fixed 5.50000000 N N N N N N Citigroup Inc 6SHGI4ZSSLCXXQSBB395 172967HS3 101000.00000000 PA USD 125586.42000000 0.013596176715 Long DBT CORP US N 2 2044-05-06 Fixed 5.30000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31415MM28 20704.42000000 PA USD 23333.13000000 0.002526080119 Long ABS-MBS USGSE US N 2 2038-06-01 Fixed 5.50000000 N N N N N N Newell Brands Inc 549300LWGYFM1TVO1Z12 651229AW6 40000.00000000 PA USD 41785.16000000 0.004523724933 Long DBT CORP US N 2 2026-04-01 Fixed 4.20000000 N N N N N N Athene Holding Ltd 549300H316CT32FQXI76 04686JAA9 630000.00000000 PA USD 647864.91000000 0.070138839886 Long DBT CORP BM N 2 2028-01-12 Fixed 4.13000000 N N N N N N American Express Co R4PP93JZOLY261QX3811 025816BU2 261000.00000000 PA USD 266220.10000000 0.028821392670 Long DBT CORP US N 2 2021-05-17 Fixed 3.38000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 36179TUB9 382990.18000000 PA USD 400422.05000000 0.043350299759 Long ABS-MBS USGA US N 2 2048-03-20 Fixed 4.00000000 N N N N N N MPLX LP 5493000CZJ19CK4P3G36 55336VAJ9 40000.00000000 PA USD 44009.24000000 0.004764507214 Long DBT CORP US N 2 2025-06-01 Fixed 4.88000000 N N N N N N Burlington Northern Santa Fe LLC 5493000C01ZX7D35SD85 12189LAU5 461000.00000000 PA USD 553781.78000000 0.059953257229 Long DBT CORP US N 2 2044-09-01 Fixed 4.55000000 N N N N N N Charter Communications Operating LLC / Charter Communications Operating Capital 0J0XRGZE3PBRFEZ7MV65 161175AY0 420000.00000000 PA USD 461570.69000000 0.049970344469 Long DBT CORP US N 2 2025-07-23 Fixed 4.91000000 N N N N N N OCCIDENTAL PETROLEUM COR IM7X0T3ECJW4C1T7ON55 674599DC6 230000.00000000 PA USD 260061.18000000 0.028154618629 Long DBT CORP US N 2 2026-03-15 Fixed 5.55000000 N N N N N N JP Morgan Mortgage Trust 5493002WZI1ZSAEIE710 46644MAU0 276797.29000000 PA USD 281457.45000000 0.030471011341 Long ABS-MBS CORP US Y 2 2045-05-25 Variable 3.50000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140QBGT9 98972.64000000 PA USD 101275.00000000 0.010964185434 Long ABS-MBS USGSE US N 2 2049-07-01 Fixed 3.00000000 N N N N N N JP Morgan Chase Commercial Mortgage Securities Trust 8I5DZWZKVSZI1NUHU748 46625YCW1 37156.39000000 PA USD 37874.00000000 0.004100296807 Long ABS-MBS CORP US N 2 2041-07-15 Variable 5.86000000 N N N N N N FirstEnergy Corp 549300SVYJS666PQJH88 337932AC1 550000.00000000 PA USD 778404.10000000 0.084271211010 Long DBT CORP US N 2 2031-11-15 Fixed 7.38000000 N N N N N N HSBC USA Inc 549300LBOHZ4QSIWU288 760719BH6 457000.00000000 PA USD 707042.03000000 0.076545444844 Long DBT CORP US N 2 2097-07-15 Fixed 7.20000000 N N N N N N SINGAPORE GOVERNMENT 549300ZSV6VOGFH1ER70 000000000 1016000.00000000 PA 781228.03000000 0.084576933964 Long DBT NUSS SG N 2 2024-09-01 Fixed 3.00000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140F9WR2 236647.78000000 PA USD 242889.63000000 0.026295600526 Long ABS-MBS USGSE US N 2 2047-01-01 Fixed 3.00000000 N N N N N N Occidental Petroleum Corp IM7X0T3ECJW4C1T7ON55 674599CF0 30000.00000000 PA USD 30991.35000000 0.003355170656 Long DBT CORP US N 2 2045-06-15 Fixed 4.63000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 36179UCC4 221730.96000000 PA USD 232993.64000000 0.025224245607 Long ABS-MBS USGA US N 2 2048-09-20 Fixed 4.50000000 N N N N N N Rohm & Haas Co 5493004JF0SDFLM8GD76 775371AU1 540000.00000000 PA USD 723871.91000000 0.078367473234 Long DBT CORP US N 2 2029-07-15 Fixed 7.85000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140HTWS4 49716.99000000 PA USD 53805.05000000 0.005825016494 Long ABS-MBS USGSE US N 2 2029-05-01 Fixed 3.26000000 N N N N N N Bank of America Corp 9DJT3UXIJIZJI4WXO774 06051GFL8 320000.00000000 PA USD 346739.67000000 0.037538563705 Long DBT CORP US N 2 2026-10-22 Fixed 4.25000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3136AHGQ7 111111.57000000 PA USD 20549.48000000 0.002224717939 Long ABS-MBS USGSE US N 2 2043-12-25 Floating 3.93000000 N N N N N N Citibank, National Association E57ODZWZ7FF32TWEFA76 000000000 1.00000000 NC -21911.50000000 -0.00237217229 N/A DFE IN N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 1033438.16000000 USD 71640000.00000000 INR 2019-10-17 -21911.50000000 N N N CVS Health Corp 549300EJG376EN5NQE29 126650BZ2 90000.00000000 PA USD 91104.00000000 0.009863057514 Long DBT CORP US N 2 2022-12-01 Fixed 2.75000000 N N N N N N Goldman Sachs Group Inc/The 784F5XWPLTWKTBV3E584 38141GGQ1 380000.00000000 PA USD 400409.80000000 0.043348973555 Long DBT CORP US N 2 2021-07-27 Fixed 5.25000000 N N N N N N Chevron Corp VA8TZDWPEZYU430RZ444 166764BL3 70000.00000000 PA USD 73213.50000000 0.007926204791 Long DBT CORP US N 2 2026-05-16 Fixed 2.95000000 N N N N N N McDonald's Corp UE2136O97NLB5BYP9H04 58013MFB5 40000.00000000 PA USD 42761.73000000 0.004629449885 Long DBT CORP US N 2 2027-03-01 Fixed 3.50000000 N N N N N N Brookfield Finance LLC C6J3FGIWG6MBDGTE8F80 11271RAA7 618000.00000000 PA USD 657815.77000000 0.071216135114 Long DBT CORP US N 2 2024-04-01 Fixed 4.00000000 N N N N N N CNOOC Finance 2015 USA LLC 549300Q3CTIH31RFPO82 12634MAB6 300000.00000000 PA USD 312695.67000000 0.033852908519 Long DBT CORP US N 2 2025-05-05 Fixed 3.50000000 N N N N N N Verizon Communications Inc 2S72QS2UO2OESLG6Y829 92343VCR3 20000.00000000 PA USD 21151.01000000 0.002289840491 Long DBT CORP US N 2 2024-11-01 Fixed 3.50000000 N N N N N N JPMorgan Chase & Co 8I5DZWZKVSZI1NUHU748 46625HJD3 691000.00000000 PA USD 729540.46000000 0.078981159073 Long DBT CORP US N 2 2022-01-24 Fixed 4.50000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3138WJSM1 79548.65000000 PA USD 81647.46000000 0.008839278120 Long ABS-MBS USGSE US N 2 2047-01-01 Fixed 3.00000000 N N N N N N Southern Co/The 549300FC3G3YU2FBZD92 842587CU9 712000.00000000 PA USD 726733.39000000 0.078677261408 Long DBT CORP US N 2 2023-07-01 Fixed 2.95000000 N N N N N N Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 000000000 5662000.00000000 OU Notional Amount USD 47673.81000000 0.005161239132 N/A DIR US N 2 Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 ICE Libor USD 3 Months US0003M Index Y 2022-04-26 1309.34000000 USD 0.00000000 USD 5662000.00000000 USD 46364.47000000 N N N Hospitality Properties Trust 529900IS770AG1K9QG27 44106MAY8 765000.00000000 PA USD 732172.63000000 0.079266121798 Long DBT US N 2 2030-02-15 Fixed 4.38000000 N N N N N N Goldman Sachs Capital II 784F5XWPLTWKTBV3E584 381427AA1 3000.00000000 PA USD 2532.30000000 0.000274150646 Long DBT CORP US N 2 2019-11-21 Variable 4.00000000 N N N N N N JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 000000000 1.00000000 NC 2418.39000000 0.000261818577 N/A DFE CA N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 1402317.40000000 USD 1861000.00000000 CAD 2019-10-03 2418.39000000 N N N BANCO SANTANDER SA 5493006QMFDDMYWIAM13 05971KAD1 400000.00000000 PA USD 404434.61000000 0.043784705603 Long DBT CORP ES N 2 2024-06-27 Fixed 2.71000000 N N N N N N JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 000000000 1.00000000 NC -46.78000000 -0.00000506447 N/A DFE US N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 811000.00000000 HKD 103507.28000000 USD 2019-12-16 -46.78000000 N N N JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 000000000 1.00000000 NC -7259.76000000 -0.00078595265 N/A DFE JP N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 1565745.52000000 USD 168369000.00000000 JPY 2019-10-15 -7259.76000000 N N N Goldman Sachs Group Inc/The 784F5XWPLTWKTBV3E584 38141EA66 150000.00000000 PA USD 153976.39000000 0.016669718019 Long DBT CORP US N 2 2020-06-15 Fixed 6.00000000 N N N N N N Wells Fargo & Co PBLD0EJDB5FWOLXP3B76 95000U2D4 545000.00000000 PA USD 603497.22000000 0.065335526329 Long DBT CORP US N 2 2029-01-24 Fixed 4.15000000 N N N N N N GoldenTree Loan Management US Ltd 549300UYD6YMBA6XSE43 38136MAC2 1860000.00000000 PA USD 1858279.50000000 0.201180163183 Long ABS-CBDO CORP KY Y 2 2030-11-28 Floating 3.43000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140J9H53 174937.59000000 PA USD 184208.13000000 0.019942652143 Long ABS-MBS USGSE US N 2 2043-03-01 Fixed 3.50000000 N N N N N N LCM Ltd Partnership 549300FY8UGGJMQNCO13 50189PAC6 1124000.00000000 PA USD 1124007.87000000 0.121686800454 Long ABS-CBDO CORP KY Y 2 2030-07-20 Floating 3.49000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 36179USV5 3015979.03000000 PA USD 3164751.52000000 0.342620809855 Long ABS-MBS USGA US N 2 2049-05-20 Fixed 4.50000000 N N N N N N United States Small Business Administration 254900HROIFWPRGM1V77 83162CB51 70000.00000000 PA USD 72963.63000000 0.007899153485 Long ABS-O USGA US N 2 2039-04-01 Fixed 2.98000000 N N N N N N Charter Communications Operating LLC / Charter Communications Operating Capital 0J0XRGZE3PBRFEZ7MV65 161175BR4 360000.00000000 PA USD 402848.83000000 0.043613026650 Long DBT CORP US N 2 2029-03-30 Fixed 5.05000000 N N N N N N XPO Logistics Inc 54930096DB9LCLPN7H13 983793AD2 30000.00000000 PA USD 30525.00000000 0.003304682896 Long DBT CORP US Y 2 2022-06-15 Fixed 6.50000000 N N N N N N Anheuser-Busch Cos LLC / Anheuser-Busch InBev Worldwide Inc 549300CRGMZK3K53BF92 03522AAJ9 70000.00000000 PA USD 83271.84000000 0.009015135968 Long DBT CORP US N 2 2046-02-01 Fixed 4.90000000 N N N N N N Citigroup Inc 6SHGI4ZSSLCXXQSBB395 172967JM4 280000.00000000 PA USD 296455.60000000 0.032094733857 Long DBT CORP US N 2 2025-05-15 Variable 5.95000000 N N N N N N MEX BONOS DESARR FIX RT 254900EGTWEU67VP6075 000000000 4863000.00000000 PA 261094.85000000 0.028266525315 Long DBT NUSS MX N 2 2031-05-29 Fixed 7.75000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3137FGSM8 134933.10000000 PA USD 134850.60000000 0.014599130923 Long ABS-MBS USGSE US N 2 2048-08-15 Fixed 3.00000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31403GRX2 5754.65000000 PA USD 6353.60000000 0.000687850393 Long ABS-MBS USGSE US N 2 2033-11-01 Fixed 5.00000000 N N N N N N BCAP LLC Trust 213800LBQA1Y9L22JB70 05533FDV0 63201.78000000 PA USD 64370.73000000 0.006968873070 Long ABS-MBS CORP US Y 2 2033-10-26 Variable 4.66000000 N N N N N N MALAYSIA GOVERNMENT 254900GSIL471JOBYY43 000000000 230000.00000000 PA 55273.06000000 0.005983945488 Long DBT NUSS MY N 2 2020-07-31 Fixed 3.89000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 38380MJT9 49591.93000000 PA USD 50593.73000000 0.005477354110 Long ABS-MBS USGA US N 2 2059-05-16 Fixed 3.25000000 N N N N N N Amazon.com Inc ZXTILKJKG63JELOEG630 023135BJ4 70000.00000000 PA USD 84254.54000000 0.009121524564 Long DBT CORP US N 2 2047-08-22 Fixed 4.05000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31418AWX2 952773.01000000 PA USD 982524.63000000 0.106369609843 Long ABS-MBS USGSE US N 2 2033-09-01 Fixed 3.00000000 N N N N N N JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 000000000 1.00000000 NC -8463.11000000 -0.00091622915 N/A DFE PE N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 1391940.30000000 USD 4663000.00000000 PEN 2019-10-03 -8463.11000000 N N N BP Capital Markets America Inc 5493009NTB34VXE1T760 10373QAT7 120000.00000000 PA USD 125265.94000000 0.013561481063 Long DBT CORP US N 2 2026-05-04 Fixed 3.12000000 N N N N N N Devon Energy Corp 54930042348RKR3ZPN35 25179MAU7 180000.00000000 PA USD 208563.47000000 0.022579398270 Long DBT CORP US N 2 2045-06-15 Fixed 5.00000000 N N N N N N Schlumberger Norge AS 529900RJQPJOBLX5E526 80685PAA6 70000.00000000 PA USD 71488.05000000 0.007739404952 Long DBT CORP NO Y 2 2021-01-15 Fixed 4.20000000 N N N N N N Teva Pharmaceutical Finance Co BV 549300Q840R30TDKVK53 88165FAG7 10000.00000000 PA USD 8575.00000000 0.000928342533 Long DBT CORP CW N 2 2022-12-18 Fixed 2.95000000 N N N N N N UBS Group Funding Switzerland AG 506700Q800G1L95S7805 90352JAC7 200000.00000000 PA USD 218196.38000000 0.023622271748 Long DBT CORP CH Y 2 2028-03-23 Fixed 4.25000000 N N N N N N Citibank, National Association E57ODZWZ7FF32TWEFA76 000000000 1.00000000 NC 2956.66000000 0.000320092505 N/A DFE US N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 32880736.75000000 RUB 509052.77000000 USD 2019-10-17 2956.66000000 N N N Bayer US Finance LLC 54930093Q75GSEM74I71 07274EAG8 248000.00000000 PA USD 254147.35000000 0.027514378405 Long DBT CORP US Y 2 2024-10-08 Fixed 3.38000000 N N N N N N Bank of America Corp 9DJT3UXIJIZJI4WXO774 06051GFM6 175000.00000000 PA USD 185895.66000000 0.020125346705 Long DBT CORP US N 2 2025-01-22 Fixed 4.00000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140HVCT9 100000.00000000 PA USD 105909.96000000 0.011465973248 Long ABS-MBS USGSE US N 2 2031-08-01 Fixed 2.86000000 N N N N N N NOTA DO TESOURO NACIONAL 254900ZFY40OYEADAP90 000000000 288499.31000000 PA 318983.83000000 0.034533674278 Long DBT NUSS BR N 2 2045-05-15 Fixed 6.00000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3132QV3E9 955187.52000000 PA USD 1009693.83000000 0.109310988731 Long ABS-MBS USGSE US N 2 2046-02-01 Fixed 4.00000000 N N N N N N Santander Holdings USA Inc 549300SMVCQN2P0O6I58 80282KAE6 20000.00000000 PA USD 21458.77000000 0.002323159056 Long DBT CORP US N 2 2025-07-17 Fixed 4.50000000 N N N N N N United States Treasury 254900HROIFWPRGM1V77 912796TH2 10752200.00000000 PA USD 10669256.88000000 1.155069966688 Long DBT UST US N 2 2020-03-05 None 0.00000000 N N N N N N SYNGENTA FINANCE NV 54930042S3BYCEGOCN86 87164KAA2 718000.00000000 PA USD 722022.72000000 0.078167277113 Long DBT CORP NL N 2 2022-03-28 Fixed 3.13000000 N N N N N N Russian Federation 5493004EHVGF71PDBU58 000000000 48740000.00000000 PA 809021.62000000 0.087585910262 Long DBT NUSS RU N 2 2027-02-03 Fixed 8.15000000 N N N N N N Continental Resources Inc/OK XXRTID9RYWOZ0UPIVR53 212015AS0 20000.00000000 PA USD 20665.30000000 0.002237256788 Long DBT CORP US N 2 2028-01-15 Fixed 4.38000000 N N N N N N Republic of Peru 254900STKLK2DBJJZ530 715638AU6 30000.00000000 PA USD 43837.80000000 0.004745946859 Long DBT NUSS PE N 2 2037-03-14 Fixed 6.55000000 N N N N N N Inversiones CMPC SA/Cayman Islands Branch 549300G475ACIABB4385 46131NAD6 214000.00000000 PA USD 222027.14000000 0.024036995649 Long DBT CORP CL Y 2 2022-04-25 Fixed 4.50000000 N N N N N N Home Equity Asset Trust N/A 437084QY5 375022.29000000 PA USD 374342.00000000 0.040526833905 Long ABS-MBS CORP US N 2 2036-04-25 Floating 2.43000000 N N N N N N Michaels Stores, Inc. BV4WJ23XIGNG4UDYEK73 594088AQ9 78048.19000000 PA USD 76136.01000000 0.008242600166 Long LON CORP US N 2 2023-01-30 Floating 4.55000000 N N N N N N MetLife Inc C4BXATY60WC6XEOZDX54 59156RAP3 100000.00000000 PA USD 118590.50000000 0.012838787782 Long DBT CORP US N 2 2036-12-15 Fixed 6.40000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3128MJ6S4 1309002.10000000 PA USD 1329954.59000000 0.143982905393 Long ABS-MBS USGSE US N 2 2049-04-01 Fixed 3.00000000 N N N N N N Freddie Mac - STACR S6XOOCT0IEG5ABCC6L87 3137G0GX1 760000.00000000 PA USD 813676.60000000 0.088089865473 Long ABS-MBS USGSE US N 2 2028-04-25 Floating 5.72000000 N N N N N N JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 000000000 1.00000000 NC -398.23000000 -0.00004311298 N/A DFE US N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 12900000000.00000000 IDR 907811.40000000 USD 2019-10-23 -398.23000000 N N N Bank of Montreal NQQ6HPCNCCU6TUTQYE16 000000000 1.00000000 NC 33236.80000000 0.003598266486 N/A DFE US N 2 Bank of Montreal NQQ6HPCNCCU6TUTQYE16 2660000.00000000 AUD 1832992.70000000 USD 2019-12-18 33236.80000000 N N N JP Morgan Mortgage Trust 5493002WZI1ZSAEIE710 46649CAQ6 698273.79000000 PA USD 705146.69000000 0.076340252455 Long ABS-MBS CORP US Y 2 2048-10-25 Variable 3.50000000 N N N N N N Countrywide Home Loans N/A 12669GTQ4 7235.53000000 PA USD 7069.20000000 0.000765322336 Long ABS-MBS CORP US N 2 2035-04-25 Floating 2.60000000 N N N N N N Targa Resources Partners LP / Targa Resources Partners Finance Corp 5493003QENHHS261UR94 87612BBM3 10000.00000000 PA USD 10925.70000000 0.001182832888 Long DBT CORP US Y 2 2029-01-15 Fixed 6.88000000 N N N N N N AbbVie Inc FR5LCKFTG8054YNNRU85 00287YAU3 220000.00000000 PA USD 220418.88000000 0.023862882977 Long DBT CORP US N 2 2021-05-14 Fixed 2.30000000 N N N N N N General Electric Co 3C7474T6CDKPR9K6YT90 369604BH5 190000.00000000 PA USD 203531.76000000 0.022034657698 Long DBT CORP US N 2 2044-03-11 Fixed 4.50000000 N N N N N N United States Treasury 254900HROIFWPRGM1V77 912810SF6 90000.00000000 PA USD 107395.31000000 0.011626779497 Long DBT UST US N 2 2049-02-15 Fixed 3.00000000 N N N N N N GE Capital International Funding Co Unlimited Co 549300G6UZOB126GBY72 36164QNA2 600000.00000000 PA USD 629346.60000000 0.068134019498 Long DBT CORP IE N 2 2035-11-15 Fixed 4.42000000 N N N N N N Progress Energy Inc 549300FBMTW0JYWMNB26 743263AR6 30000.00000000 PA USD 30706.50000000 0.003324332362 Long DBT CORP US N 2 2021-01-15 Fixed 4.40000000 N N N N N N Royal Bank of Canada ES7IP3U3RHIGC71XBU11 000000000 1.00000000 NC -21012.92000000 -0.00227489065 N/A DFE JP N 2 Royal Bank of Canada ES7IP3U3RHIGC71XBU11 1862214.91000000 USD 198000000.00000000 JPY 2019-12-18 -21012.92000000 N N N Ally Financial Inc 549300JBN1OSM8YNAI90 36186CBY8 100000.00000000 PA USD 138250.00000000 0.014967155134 Long DBT CORP US N 2 2031-11-01 Fixed 8.00000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140FXET5 838149.35000000 PA USD 882421.66000000 0.095532310158 Long ABS-MBS USGSE US N 2 2057-03-01 Fixed 3.50000000 N N N N N N JP Morgan Mortgage Trust 5493002WZI1ZSAEIE710 46650MAQ0 451041.22000000 PA USD 452333.86000000 0.048970351213 Long ABS-MBS CORP US Y 2 2049-01-25 Variable 4.00000000 N N N N N N Oasis Petroleum Inc 529900FA4V2YNIKZ0M71 674215AE8 10000.00000000 PA USD 9150.00000000 0.000990592907 Long DBT CORP US N 2 2023-01-15 Fixed 6.88000000 N N N N N N Citibank, National Association E57ODZWZ7FF32TWEFA76 000000000 1.00000000 NC 15.63000000 0.000001692127 N/A DFE TW N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 10522.08000000 USD 326900.00000000 TWD 2019-10-17 15.63000000 N N N JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 000000000 1.00000000 NC -122100.06000000 -0.01321873808 N/A DFE PL N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 1849008.74000000 USD 6925000.00000000 PLN 2019-10-03 -122100.06000000 N N N Countrywide Alternative Loan Trust N/A 02152AAE9 433217.60000000 PA USD 329969.41000000 0.035722989867 Long ABS-MBS CORP US N 2 2037-08-25 Floating 2.42000000 N N N N N N MALAYSIA GOVERNMENT 254900GSIL471JOBYY43 000000000 3100000.00000000 PA 755372.11000000 0.081777732765 Long DBT NUSS MY N 2 2023-08-17 Fixed 3.80000000 N N N N N N JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 000000000 1.00000000 NC 1529.81000000 0.000165619555 N/A DFE US N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 2794000.00000000 CAD 2110520.57000000 USD 2019-10-03 1529.81000000 N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3128MJ4W7 1290319.78000000 PA USD 1339122.37000000 0.144975423190 Long ABS-MBS USGSE US N 2 2048-09-01 Fixed 4.00000000 N N N N N N Stars Group Holdings B.V. (The) N/A 000000000 9223.14000000 PA USD 9257.72000000 0.001002254838 Long LON CORP NL N 2 2025-07-10 Floating 5.60000000 N N N N N N Microsoft Corp INR2EJN1ERAN0W5ZP974 594918BY9 810000.00000000 PA USD 873160.01000000 0.094529629852 Long DBT CORP US N 2 2027-02-06 Fixed 3.30000000 N N N N N N Volkswagen Group of America Finance LLC 5493002SQ1AVQBY41K40 928668AP7 699000.00000000 PA USD 722388.53000000 0.078206880260 Long DBT CORP US Y 2 2021-11-12 Fixed 4.00000000 N N N N N N COMM Mortgage Trust N/A 12595VAD9 2944000.00000000 PA USD 3337251.57000000 0.361295927462 Long ABS-MBS CORP US N 2 2051-05-10 Fixed 4.23000000 N N N N N N RPI Finance Trust 549300W9M1577I3BNU94 74966UAP5 187843.85000000 PA USD 188783.07000000 0.020437942101 Long LON CORP US N 2 2023-03-27 Floating 4.04000000 N N N N N N MALAYSIA GOVERNMENT 254900GSIL471JOBYY43 000000000 1057000.00000000 PA 254985.16000000 0.027605080989 Long DBT NUSS MY N 2 2024-06-14 Fixed 3.48000000 N N N N N N State Street Bank and Trust Company 571474TGEMMWANRLN572 000000000 1.00000000 NC 3100.30000000 0.000335643190 N/A DFE US N 2 State Street Bank and Trust Company 571474TGEMMWANRLN572 1297070.00000000 ZAR 88180.03000000 USD 2019-11-22 3100.30000000 N N N United Technologies Corp I07WOS4YJ0N7YRFE7309 913017DB2 616000.00000000 PA USD 651586.39000000 0.070541732967 Long DBT CORP US N 2 2023-08-16 Fixed 3.65000000 N N N N N N Walt Disney Co/The 549300GZKULIZ0WOW665 254687EG7 40000.00000000 PA USD 60294.18000000 0.006527539571 Long DBT CORP US Y 2 2037-11-15 Fixed 6.65000000 N N N N N N Citibank, National Association E57ODZWZ7FF32TWEFA76 000000000 1.00000000 NC 5088.23000000 0.000550859513 N/A DFE US N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 200000.00000000 EUR 223325.20000000 USD 2019-10-17 5088.23000000 N N N ArcelorMittal 2EULGUTUI56JI9SAL165 03938LAZ7 170000.00000000 PA USD 191319.97000000 0.020712590751 Long DBT CORP LU N 2 2025-06-01 Fixed 6.13000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3128MEA35 6.07000000 PA USD 6.25000000 0.000000676634 Long ABS-MBS USGSE US N 2 2020-08-01 Fixed 4.50000000 N N N N N N Goldman Sachs Group Inc/The 784F5XWPLTWKTBV3E584 38141EC23 150000.00000000 PA USD 158926.92000000 0.017205669922 Long DBT CORP US N 2 2024-07-08 Fixed 3.85000000 N N N N N N Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 000000000 5040000.00000000 OU Notional Amount USD -5138.99000000 -0.00055635486 N/A DIR US N 2 Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 ICE Libor USD 3 Months US0003M Index Y 2021-06-27 0.00000000 USD 0.00000000 USD 5040000.00000000 USD -5138.99000000 N N N Royal Bank of Canada ES7IP3U3RHIGC71XBU11 000000000 1.00000000 NC 12266.75000000 0.001328016999 N/A DFE US N 2 Royal Bank of Canada ES7IP3U3RHIGC71XBU11 36200000.00000000 MXN 1824311.73000000 USD 2019-12-18 12266.75000000 N N N Chicago Board Of Trade 549300EX04Q2QBFQTQ27 000000000 26.00000000 NC USD 3702562.50000000 0.400845044002 N/A DIR US N 1 Chicago Board Of Trade 549300EX04Q2QBFQTQ27 Long US 10 Year Ultra Bond UXYZ9 Comdty 2019-12-19 3696868.53000000 USD 5693.97000000 N N N CAMB Commercial Mortgage Trust N/A 12482HAQ7 987000.00000000 PA USD 995000.62000000 0.107720279483 Long ABS-MBS CORP US Y 2 2037-12-15 Floating 4.58000000 N N N N N N TJX Cos Inc/The V167QI9I69W364E2DY52 872539AA9 246000.00000000 PA USD 249408.06000000 0.027001295666 Long DBT CORP US N 2 2021-06-15 Fixed 2.75000000 N N N N N N Mars Inc 54930073HKEO6GZBSS03 571676AB1 30000.00000000 PA USD 31745.63000000 0.003436830155 Long DBT CORP US Y 2 2030-04-01 Fixed 3.20000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3128MJ4Q0 88553.20000000 PA USD 91130.04000000 0.009865876644 Long ABS-MBS USGSE US N 2 2048-08-01 Fixed 3.50000000 N N N N N N Continental Resources Inc/OK XXRTID9RYWOZ0UPIVR53 212015AL5 90000.00000000 PA USD 93491.48000000 0.010121529728 Long DBT CORP US N 2 2023-04-15 Fixed 4.50000000 N N N N N N LAS VEGAS SANDS CORP 549300DUOO1KXOHPM605 517834AG2 430000.00000000 PA USD 438061.81000000 0.047425237387 Long DBT CORP US N 2 2024-08-08 Fixed 3.20000000 N N N N N N United States Treasury 254900HROIFWPRGM1V77 912828XB1 2735000.00000000 PA USD 2812669.73000000 0.304503900119 Long DBT UST US N 2 2025-05-15 Fixed 2.13000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3131Y1U65 715397.36000000 PA USD 754294.11000000 0.081661026846 Long ABS-MBS USGSE US N 2 2048-06-01 Fixed 4.50000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140HTW39 90000.00000000 PA USD 97765.62000000 0.010584254621 Long ABS-MBS USGSE US N 2 2029-05-01 Fixed 3.24000000 N N N N N N Global Medical Response, Inc. N/A 00169QAE9 116015.68000000 PA USD 108354.00000000 0.011730568733 Long LON CORP US N 2 2022-04-28 Floating 5.31000000 N N N N N N Huntington Bancshares Inc/OH 549300XTVCVV9I7B5T19 446150AJ3 281000.00000000 PA USD 284773.87000000 0.030830052011 Long DBT CORP US N 2 2021-03-14 Fixed 3.15000000 N N N N N N KUWAIT INTL BOND 549300FSC1YD0D9XX589 501499AB3 210000.00000000 PA USD 226224.60000000 0.024491419048 Long DBT NUSS KW Y 2 2027-03-20 Fixed 3.50000000 N N N N N N United States Treasury 254900HROIFWPRGM1V77 912796RF8 4611000.00000000 PA USD 4608949.07000000 0.498971831743 Long DBT UST US N 2 2019-10-10 None 0.00000000 N N N N N N Residential Accredit Loans, Inc N/A 751150AD5 932533.28000000 PA USD 862274.73000000 0.093351172894 Long ABS-MBS CORP US N 2 2046-09-25 Floating 3.30000000 N N N N N N Lennar Corp 529900G61XVRLX5TJX09 526057BZ6 40000.00000000 PA USD 42140.00000000 0.004562140451 Long DBT CORP US N 2 2024-04-30 Fixed 4.50000000 N N N N N N JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 000000000 1.00000000 NC -7757.55000000 -0.00083984415 N/A DFE US N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 17492000.00000000 PLN 4354276.61000000 USD 2019-10-03 -7757.55000000 N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3128MJ4H0 902514.14000000 PA USD 927766.70000000 0.100441433111 Long ABS-MBS USGSE US N 2 2048-07-01 Fixed 3.50000000 N N N N N N Citibank, National Association E57ODZWZ7FF32TWEFA76 000000000 1.00000000 NC -12516.25000000 -0.00135502824 N/A DFE CA N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 1856600.44000000 USD 2440000.00000000 CAD 2019-12-18 -12516.25000000 N N N Sanofi 549300E9PC51EN656011 80105NAG0 232000.00000000 PA USD 238730.99000000 0.025845379839 Long DBT CORP FR N 2 2021-03-29 Fixed 4.00000000 N N N N N N AT&T INC 549300Z40J86GGSTL398 00206RHW5 80000.00000000 PA USD 84769.75000000 0.009177301981 Long DBT CORP US N 2 2027-02-15 Fixed 3.80000000 N N N N N N United States Treasury 254900HROIFWPRGM1V77 912828S35 480000.00000000 PA USD 476512.50000000 0.051587967530 Long DBT UST US N 2 2023-06-30 Fixed 1.38000000 N N N N N N BOEING CO RVHJWBXLJ1RFUBSY1F30 097023CP8 380000.00000000 PA USD 395747.62000000 0.042844238862 Long DBT CORP US N 2 2035-02-01 Fixed 3.25000000 N N N N N N BX Commercial Mortgage Trust N/A 056057AN2 1575000.00000000 PA USD 1579902.50000000 0.171042646041 Long ABS-MBS CORP US Y 2 2037-03-15 Floating 3.98000000 N N N N N N United States Treasury 254900HROIFWPRGM1V77 912828YG9 3050000.00000000 PA USD 3050595.70000000 0.330262127270 Long DBT UST US N 2 2026-09-30 Fixed 1.63000000 N N N N N N Altria Group Inc XSGZFLO9YTNO9VCQV219 02209SAH6 482000.00000000 PA USD 795803.65000000 0.086154912739 Long DBT CORP US N 2 2039-02-06 Fixed 10.20000000 N N N N N N Shackleton CLO LTD N/A 81882HAA3 930000.00000000 PA USD 919036.23000000 0.099496259159 Long ABS-CBDO CORP KY Y 2 2031-04-13 Floating 3.30000000 N N N N N N Morgan Stanley Mortgage Capital N/A 55375KAJ5 1500000.00000000 PA USD 1559419.35000000 0.168825109088 Long ABS-MBS CORP US Y 2 2039-09-13 Fixed 3.86000000 N N N N N N Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 000000000 11373000.00000000 OU Notional Amount USD -241863.56000000 -0.02618451662 N/A DIR US N 2 Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 ICE Libor USD 3 Months US0003M Index Y 2026-04-30 16577.72000000 USD 0.00000000 USD 11373000.00000000 USD -258441.28000000 N N N Chicago Board Of Trade 549300EX04Q2QBFQTQ27 000000000 -83.00000000 NC USD -11819718.75000000 -1.27962071739 N/A DIR US N 1 Chicago Board Of Trade 549300EX04Q2QBFQTQ27 Short US 10 Year Ultra Bond UXYZ9 Comdty 2019-12-19 -11973904.12000000 USD 154185.37000000 N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31416BL63 145744.08000000 PA USD 164854.27000000 0.017847373842 Long ABS-MBS USGSE US N 2 2038-02-01 Fixed 5.50000000 N N N N N N United Parcel Service Inc D01LMJZU09ULLNCY6Z23 911312AM8 271000.00000000 PA USD 274690.04000000 0.029738361248 Long DBT CORP US N 2 2021-01-15 Fixed 3.13000000 N N N N N N Ziggo Secured Finance Partnership N/A 000000000 46250.00000000 PA USD 46132.53000000 0.004994377817 Long LON CORP US N 2 2025-04-15 Floating 4.53000000 N N N N N N Freeport-McMoRan Inc 549300IRDTHJQ1PVET45 35671DBL8 10000.00000000 PA USD 10248.00000000 0.001109464056 Long DBT CORP US N 2 2024-11-14 Fixed 4.55000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 31334YKB2 99498.66000000 PA USD 101331.58000000 0.010970310870 Long ABS-MBS USGSE US N 2 2049-08-01 Fixed 3.00000000 N N N N N N JP Morgan Mortgage Trust 5493002WZI1ZSAEIE710 46649KAA3 572122.72000000 PA USD 582157.47000000 0.063025252559 Long ABS-MBS CORP US Y 2 2048-10-25 Variable 3.50000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31414EHC1 158367.78000000 PA USD 178498.19000000 0.019324485359 Long ABS-MBS USGSE US N 2 2038-06-01 Fixed 5.50000000 N N N N N N Singapore Exchange Derivatives Clearing Limited 549300ZLWT3FK3F0FW61 000000000 19.00000000 NC 2722645.09000000 0.294757695759 N/A DIR SG N 1 Singapore Exchange Derivatives Clearing Limited 549300ZLWT3FK3F0FW61 Long Mini Japan Government Ten Year Bond BJZ9 Comdty 2019-12-12 295336000.00000000 JPY -8786.13000000 N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140QBSY5 599461.18000000 PA USD 612665.76000000 0.066328126405 Long ABS-MBS USGSE US N 2 2049-09-01 Fixed 3.00000000 N N N N N N Alibaba Group Holding Ltd 5493001NTNQJDH60PM02 01609WAP7 616000.00000000 PA USD 625606.59000000 0.067729120331 Long DBT CORP KY N 2 2021-11-28 Fixed 3.13000000 N N N N N N JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 000000000 1.00000000 NC 4622.24000000 0.000500410728 N/A DFE US N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 29234000.00000000 NOK 3218044.12000000 USD 2019-10-03 4622.24000000 N N N Enel Finance International NV 0YQH6LCEF474UTUV4B96 29278GAF5 706000.00000000 PA USD 723077.79000000 0.078281500595 Long DBT CORP NL Y 2 2028-04-06 Fixed 3.50000000 N N N N N N Fannie Mae - ACES B1V7KEBTPIMZEU4LTD58 3136B4KJ6 170000.00000000 PA USD 188121.34000000 0.020366302205 Long ABS-MBS USGSE US N 2 2029-01-01 Fixed 3.45000000 N N N N N N Reynolds American Inc 02S2RPPVO9RP4NEU2740 761713BB1 70000.00000000 PA USD 77503.38000000 0.008390633720 Long DBT CORP US N 2 2045-08-15 Fixed 5.85000000 N N N N N N Cimarex Energy Co 11KYOFXPU1C4CQL1CL44 171798AD3 110000.00000000 PA USD 112019.68000000 0.012127420822 Long DBT CORP US N 2 2027-05-15 Fixed 3.90000000 N N N N N N BOEING CO RVHJWBXLJ1RFUBSY1F30 097023CM5 40000.00000000 PA USD 40862.53000000 0.004423839607 Long DBT CORP US N 2 2027-02-01 Fixed 2.70000000 N N N N N N Structured Adjustable Rate Mortgage Loan Trust N/A 86360NAN2 1243757.99000000 PA USD 1019135.42000000 0.110333149615 Long ABS-MBS CORP US N 2 2036-06-25 Variable 4.27000000 N N N N N N Bank of America Corp 9DJT3UXIJIZJI4WXO774 06051GGZ6 325000.00000000 PA USD 338823.93000000 0.036681593661 Long DBT CORP US N 2 2026-01-23 Variable 3.37000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3128P75U3 157652.05000000 PA USD 169741.93000000 0.018376519343 Long ABS-MBS USGSE US N 2 2034-04-01 Fixed 4.50000000 N N N N N N Oasis Petroleum Inc 529900FA4V2YNIKZ0M71 674215AG3 80000.00000000 PA USD 74600.00000000 0.008076309389 Long DBT CORP US N 2 2022-03-15 Fixed 6.88000000 N N N N N N Riserva CLO, Ltd. 549300640C8OB2I8SN35 76761RAN9 940000.00000000 PA USD 939574.18000000 0.101719728843 Long ABS-CBDO CORP KY Y 2 2028-10-18 Floating 3.44000000 N N N N N N CVS Health Corp 549300EJG376EN5NQE29 126650CW8 190000.00000000 PA USD 202881.16000000 0.021964222753 Long DBT CORP US N 2 2025-03-25 Fixed 4.10000000 N N N N N N WaMu Mortgage Pass-Through Certificates Series N/A 92922F2G2 558417.02000000 PA USD 557468.66000000 0.060352404462 Long ABS-MBS CORP US N 2 2045-08-25 Floating 2.34000000 N N N N N N Republic of Argentina 549300KPBYGYF7HCHO27 000000000 5600000.00000000 PA 36943.80000000 0.003999591941 Long DBT NUSS AR N 2 2021-10-03 Fixed 18.20000000 N N N N N N Time Warner Entertainment Co LP 0J0XRGZE3PBRFEZ7MV65 88731EAF7 182000.00000000 PA USD 215494.97000000 0.023329812996 Long DBT CORP US N 2 2023-03-15 Fixed 8.38000000 N N N N N N CAMB Commercial Mortgage Trust N/A 12482HAS3 1651000.00000000 PA USD 1665420.82000000 0.180300989348 Long ABS-MBS CORP US Y 2 2037-12-15 Floating 5.28000000 N N N N N N Ford Motor Credit Co LLC UDSQCVRUX5BONN0VY111 345397ZH9 200000.00000000 PA USD 202694.17000000 0.021943978931 Long DBT CORP US N 2 2021-10-12 Fixed 3.81000000 N N N N N N Goldman Sachs & Co. LLC FOR8UP27PHTHYVLBNG30 000000000 -12.00000000 NC USD -4125.00000000 -0.00044657876 N/A DIR US N 1 Goldman Sachs & Co. LLC FOR8UP27PHTHYVLBNG30 Put Written Chicago Board Of Trade 549300EX04Q2QBFQTQ27 Chicago Board Of Trade 549300EX04Q2QBFQTQ27 N/A 12000.00000000 NC N/A -4125.00000000 0.00000000 DIR US Short 10 Year US Treasury Note TYZ9 Comdty 2019-12-19 12000.00000000 USD 1000.00000000 129.50000000 USD 2019-10-25 XXXX 541.74000000 N N N Comcast Corp 51M0QTTNCGUN7KFCFZ59 20030NCT6 350000.00000000 PA USD 392707.89000000 0.042515153072 Long DBT CORP US N 2 2028-10-15 Fixed 4.15000000 N N N N N N Osaka Exchange 3538001249AILNPRUX57 000000000 -5.00000000 NC -7168554.91000000 -0.77607865048 N/A DIR JP N 1 Osaka Exchange 3538001249AILNPRUX57 Short Japan Government Ten Year Bond JBZ9 Comdty 2019-12-13 -777116280.00000000 JPY 18647.68000000 N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 36178DH20 82700.10000000 PA USD 85496.73000000 0.009256005941 Long ABS-MBS USGA US N 2 2042-09-15 Fixed 3.00000000 N N N N N N Humana Inc 529900YLDW34GJAO4J06 444859BG6 10000.00000000 PA USD 11423.98000000 0.001236777438 Long DBT CORP US N 2 2047-03-15 Fixed 4.80000000 N N N N N N United States Treasury 254900HROIFWPRGM1V77 912828M56 2545000.00000000 PA USD 2639443.37000000 0.285750151088 Long DBT UST US N 2 2025-11-15 Fixed 2.25000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3128MJ6B1 174938.62000000 PA USD 180048.35000000 0.019492308037 Long ABS-MBS USGSE US N 2 2049-03-01 Fixed 3.50000000 N N N N N N Boeing Co/The RVHJWBXLJ1RFUBSY1F30 097023AZ8 100000.00000000 PA USD 100960.64000000 0.010930152342 Long DBT CORP US N 2 2020-02-15 Fixed 4.88000000 N N N N N N Citibank, National Association E57ODZWZ7FF32TWEFA76 000000000 1.00000000 NC 8854.24000000 0.000958573480 N/A DFE US N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 280000.00000000 EUR 314385.99000000 USD 2019-10-17 8854.24000000 N N N JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 000000000 1.00000000 NC 13590.35000000 0.001471311947 N/A DFE US N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 32537505000.00000000 IDR 2304355.88000000 USD 2019-10-23 13590.35000000 N N N Hospitality Mortgage Trust N/A 40443RAL5 1479871.58000000 PA USD 1485418.29000000 0.160813641854 Long ABS-MBS CORP US Y 2 2036-11-15 Floating 4.03000000 N N N N N N Myriad International Holdings BV 635400Z5LQ5F9OLVT688 62856RAB1 206000.00000000 PA USD 210979.02000000 0.022840909385 Long DBT CORP NL Y 2 2020-07-18 Fixed 6.00000000 N N N N N N McDonald's Corp UE2136O97NLB5BYP9H04 58013MFF6 200000.00000000 PA USD 219072.38000000 0.023717108840 Long DBT CORP US N 2 2028-04-01 Fixed 3.80000000 N N N N N N Synchrony Financial 549300RS7EWPM9MA6C78 87165BAC7 270000.00000000 PA USD 276285.22000000 0.029911057860 Long DBT CORP US N 2 2021-08-15 Fixed 3.75000000 N N N N N N EMD Finance LLC 529900C8KS5G529A0B76 26867LAL4 272000.00000000 PA USD 278290.46000000 0.030128148190 Long DBT CORP US Y 2 2025-03-19 Fixed 3.25000000 N N N N N N JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 000000000 1.00000000 NC 12103.48000000 0.001310341141 N/A DFE US N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 131631500.00000000 THB 4317910.45000000 USD 2019-10-30 12103.48000000 N N N DIGICERT HOLDINGS INC 2019 TERM LOAN B N/A 000000000 180000.00000000 PA USD 179325.00000000 0.019413997067 Long LON CORP US N 2 2026-08-31 None 0.00000000 N N N N N N BCAP LLC Trust 213800LBQA1Y9L22JB70 05544EAM3 619535.31000000 PA USD 591738.12000000 0.064062468290 Long ABS-O CORP US Y 2 2036-10-26 Variable 2.35000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3132Y1YX0 159927.77000000 PA USD 171661.39000000 0.018584323000 Long ABS-MBS USGSE US N 2 2048-08-01 Fixed 5.00000000 N N N N N N JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 000000000 1.00000000 NC 157676.36000000 0.017070282395 N/A DFE US N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 4661000.00000000 EUR 5242925.85000000 USD 2019-10-15 157676.36000000 N N N Ford Motor Credit Co LLC UDSQCVRUX5BONN0VY111 345397XZ1 436000.00000000 PA USD 427957.49000000 0.046331328346 Long DBT CORP US N 2 2023-05-04 Fixed 3.10000000 N N N N N N Residential Asset Securitization Trust N/A 45660NWT8 19618.22000000 PA USD 17728.77000000 0.001919343587 Long ABS-MBS CORP US N 2 2034-02-25 Floating 2.47000000 N N N N N N SPECTRUM BRANDS INC 549300VU3EH2E73C1Q04 84762LAV7 10000.00000000 PA USD 10175.00000000 0.001101560965 Long DBT CORP US Y 2 2029-10-01 Fixed 5.00000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140HVEF7 100000.00000000 PA USD 104727.38000000 0.011337945340 Long ABS-MBS USGSE US N 2 2031-08-01 Fixed 2.81000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140QBQ84 99842.34000000 PA USD 101387.91000000 0.010976409242 Long ABS-MBS USGSE US N 2 2049-09-01 Fixed 3.00000000 N N N N N N HSBC Holdings PLC MLU0ZO3ML4LN2LL2TL39 404280CC1 200000.00000000 PA USD 213590.24000000 0.023123604031 Long DBT CORP GB N 2 2030-05-22 Variable 3.97000000 N N N N N N Phillips 66 5493005JBO5YSIGK1814 718546AH7 204000.00000000 PA USD 269170.32000000 0.029140787971 Long DBT CORP US N 2 2042-05-01 Fixed 5.88000000 N N N N N N HSBC Bank PLC MP6I5ZYZBEU3UXPYFY54 597433AC5 375000.00000000 PA USD 450525.16000000 0.048774538602 Long DBT CORP GB N 2 2025-05-01 Fixed 7.65000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 21H0306A7 5700000.00000000 PA USD 5849736.32000000 0.633301345377 Long ABS-MBS USGA US N 2 2049-10-21 Fixed 3.00000000 N N N N N N Long Beach Mortgage Loan Trust N/A 542514EU4 333509.24000000 PA USD 332212.56000000 0.035965836695 Long ABS-O CORP US N 2 2034-02-25 Floating 2.77000000 N N N N N N BAC Capital Trust XIV 549300QO5OB3VGJT6S64 05518VAA3 70000.00000000 PA USD 61215.00000000 0.006627228944 Long DBT CORP US N 2 2019-10-16 Variable 4.00000000 N N N N N N JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 000000000 1.00000000 NC -61.50000000 -0.00000665808 N/A DFE ID N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 74224.42000000 USD 1053393000.00000000 IDR 2019-10-23 -61.50000000 N N N General Motors Co 54930070NSV60J38I987 37045VAF7 110000.00000000 PA USD 120187.04000000 0.013011631630 Long DBT CORP US N 2 2043-10-02 Fixed 6.25000000 N N N N N N Citigroup Commercial Mortgage Trust N/A 17320QAA7 170000.00000000 PA USD 176232.49000000 0.019079197234 Long ABS-MBS CORP US Y 2 2035-05-10 Fixed 3.25000000 N N N N N N JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 000000000 1.00000000 NC 6463.73000000 0.000699773234 N/A DFE US N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 10752000.00000000 NOK 1188331.15000000 USD 2019-10-03 6463.73000000 N N N Dominion Energy Inc ILUL7B6Z54MRYCF6H308 25746UBD0 20000.00000000 PA USD 28022.65000000 0.003033774682 Long DBT CORP US N 2 2038-06-15 Fixed 7.00000000 N N N N N N Telefonica Emisiones SAU 549300Y5MFC4SW5Z3K71 87938WAP8 231000.00000000 PA USD 241130.71000000 0.026105177174 Long DBT CORP ES N 2 2021-02-16 Fixed 5.46000000 N N N N N N Allied Universal Holdco LLC N/A 000000000 8108.10000000 PA USD 8111.91000000 0.000878207706 Long LON CORP US N 2 2026-07-10 Fixed 2.13000000 N N N N N N JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 000000000 1.00000000 NC 26644.42000000 0.002884565407 N/A DFE US N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 1882000.00000000 NZD 1205497.22000000 USD 2019-10-15 26644.42000000 N N N Deutsche Bank AG/New York NY 7LTWFZYICNSX8D621K86 251526BU2 242000.00000000 PA USD 241899.87000000 0.026188447604 Long DBT CORP DE N 2 2020-08-20 Fixed 2.95000000 N N N N N N Anthem Inc 8MYN82XMYQH89CTMTH67 036752AB9 110000.00000000 PA USD 115761.11000000 0.012532473721 Long DBT CORP US N 2 2027-12-01 Fixed 3.65000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 31398VWE2 224423.19000000 PA USD 241411.85000000 0.026135613817 Long ABS-MBS USGSE US N 2 2030-04-15 Fixed 4.50000000 N N N N N N HSBC Holdings PLC MLU0ZO3ML4LN2LL2TL39 404280BP3 200000.00000000 PA USD 209190.00000000 0.022647227360 Long DBT CORP GB N 2 2028-03-23 Variable 6.50000000 N N N N N N FHLMC Multifamily Structured Pass Through Certificates S6XOOCT0IEG5ABCC6L87 3137BMTX4 1110000.00000000 PA USD 1178540.28000000 0.127590562048 Long ABS-MBS USGSE US N 2 2025-11-25 Fixed 3.15000000 N N N N N N JP Morgan Mortgage Trust 5493002WZI1ZSAEIE710 46650JAD6 1720672.04000000 PA USD 1738030.35000000 0.188161807430 Long ABS-MBS CORP US Y 2 2048-12-25 Variable 3.50000000 N N N N N N JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 000000000 1.00000000 NC 105605.34000000 0.011432994624 N/A DFE US N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 3516000.00000000 CHF 3628782.56000000 USD 2019-10-03 105605.34000000 N N N TWDC Enterprises 18 Corp 7260JQNI6SCF9FIV2392 25468PCW4 240000.00000000 PA USD 243479.54000000 0.026359465079 Long DBT CORP US N 2 2022-12-01 Fixed 2.35000000 N N N N N N Citibank, National Association E57ODZWZ7FF32TWEFA76 000000000 1.00000000 NC 47138.31000000 0.005103265089 N/A DFE US N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 2800000.00000000 NZD 1803564.00000000 USD 2019-12-18 47138.31000000 N N N Eurex Deutschland 529900LN3S50JPU47S06 000000000 -45.00000000 NC -8353324.84000000 -0.90434364391 N/A DIR DE N 1 Eurex Deutschland 529900LN3S50JPU47S06 Short Euro-OAT OATZ9 Comdty 2019-12-06 -7738594.50000000 EUR 81358.80000000 N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3128M6R34 306594.70000000 PA USD 349000.18000000 0.037783289953 Long ABS-MBS USGSE US N 2 2038-09-01 Fixed 5.50000000 N N N N N N Diamond Sports Group, LLC N/A 000000000 50000.00000000 PA USD 50250.00000000 0.005440141378 Long LON CORP US N 2 2026-08-24 Floating 5.30000000 N N N N N N Brown & Brown Inc 549300PC8KTJ71XKFY89 115236AA9 693000.00000000 PA USD 733336.56000000 0.079392130628 Long DBT CORP US N 2 2024-09-15 Fixed 4.20000000 N N N N N N Apache Corp 72ZZ1XRHOOU9P9X16K08 037411BC8 120000.00000000 PA USD 107015.78000000 0.011585691002 Long DBT CORP US N 2 2044-01-15 Fixed 4.25000000 N N N N N N United States Treasury 254900HROIFWPRGM1V77 912810SJ8 7540000.00000000 PA USD 7762371.11000000 0.840366094874 Long DBT UST US N 2 2049-08-15 Fixed 2.25000000 N N N N N N Range Resources Corp H3Y3WLYCX0BTO1TRW162 75281AAU3 30000.00000000 PA USD 28725.00000000 0.003109812160 Long DBT CORP US N 2 2022-07-01 Fixed 5.88000000 N N N N N N Bristol-Myers Squibb Co HLYYNH7UQUORYSJQCN42 110122BY3 90000.00000000 PA USD 91353.90000000 0.009890112068 Long DBT CORP US Y 2 2022-05-16 Fixed 2.60000000 N N N N N N Walgreens Boots Alliance Inc 549300RPTUOIXG4LIH86 931427AF5 707000.00000000 PA USD 723637.42000000 0.078342086990 Long DBT CORP US N 2 2021-11-18 Fixed 3.30000000 N N N N N N CVS Health Corp 549300EJG376EN5NQE29 126650CV0 260000.00000000 PA USD 270614.89000000 0.029297179315 Long DBT CORP US N 2 2023-03-09 Fixed 3.70000000 N N N N N N CC Holdings GS V LLC / Crown Castle GS III Corp 54930012H97VSM0I2R19 14987BAE3 242000.00000000 PA USD 254164.34000000 0.027516217768 Long DBT US N 2 2023-04-15 Fixed 3.85000000 N N N N N N Roche Holdings Inc PVJRP0EQNV6OGDPZGY95 771196BN1 509000.00000000 PA USD 533372.69000000 0.057743738125 Long DBT CORP US Y 2 2023-09-17 Fixed 3.25000000 N N N N N N Shell International Finance BV 213800ITMMKU4Z7I4F78 822582BF8 320000.00000000 PA USD 386933.08000000 0.041889963364 Long DBT CORP NL N 2 2045-05-11 Fixed 4.38000000 N N N N N N SMB Private Education Loan Tru N/A 83192CAC1 190000.00000000 PA USD 190237.80000000 0.020595433382 Long ABS-O CORP US Y 2 2037-06-15 Floating 3.03000000 N N N N N N State Street Bank and Trust Company 571474TGEMMWANRLN572 000000000 1.00000000 NC -12328.80000000 -0.00133473462 N/A DFE US N 2 State Street Bank and Trust Company 571474TGEMMWANRLN572 56181200.00000000 TWD 1804438.73000000 USD 2019-11-22 -12328.80000000 N N N DBGS Mortgage Trust N/A 23307EAJ0 985000.00000000 PA USD 1072815.61000000 0.116144648577 Long ABS-MBS CORP US Y 2 2037-04-10 Variable 4.33000000 N N N N N N PSEG Power LLC PUSS41EMO3E6XXNV3U28 69362BAJ1 170000.00000000 PA USD 240289.13000000 0.026014066444 Long DBT CORP US N 2 2031-04-15 Fixed 8.63000000 N N N N N N Antero Resources Corp APVBKPOULHUX7YZLKU17 03674PAL7 40000.00000000 PA USD 38700.00000000 0.004189720822 Long DBT CORP US N 2 2021-11-01 Fixed 5.38000000 N N N N N N Total Capital International SA 549300U37G2I8G4RUG09 89153VAP4 718000.00000000 PA USD 727626.71000000 0.078773973589 Long DBT CORP FR N 2 2021-06-19 Fixed 2.75000000 N N N N N N EQM Midstream Partners LP 549300NELT611CL6XM83 26885BAD2 260000.00000000 PA USD 260978.99000000 0.028253982135 Long DBT CORP US N 2 2023-07-15 Fixed 4.75000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3133KGGL6 197390.38000000 PA USD 201677.81000000 0.021833946253 Long ABS-MBS USGSE US N 2 2049-07-01 Fixed 3.00000000 N N N N N N JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 000000000 1.00000000 NC 15218.52000000 0.001647580106 N/A DFE US N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 683000.00000000 EUR 760385.95000000 USD 2019-10-15 15218.52000000 N N N United States Treasury 254900HROIFWPRGM1V77 912810RY6 1180000.00000000 PA USD 1336626.57000000 0.144705224089 Long DBT UST US N 2 2047-08-15 Fixed 2.75000000 N N N N N N United States Treasury 254900HROIFWPRGM1V77 912828S92 4330000.00000000 PA USD 4278073.81000000 0.463150773178 Long DBT UST US N 2 2023-07-31 Fixed 1.25000000 N N N N N N Triton Container Finance LLC N/A 89679HAJ4 210800.00000000 PA USD 215540.01000000 0.023334689095 Long ABS-O CORP US Y 2 2043-03-20 Fixed 3.95000000 N N N N N N salesforce.com Inc RCGZFPDMRW58VJ54VR07 79466LAE4 70000.00000000 PA USD 73029.35000000 0.007906268432 Long DBT CORP US N 2 2023-04-11 Fixed 3.25000000 N N N N N N United Technologies Corp I07WOS4YJ0N7YRFE7309 913017DD8 30000.00000000 PA USD 32841.88000000 0.003555511847 Long DBT CORP US N 2 2025-08-16 Fixed 3.95000000 N N N N N N SLM Student Loan Trust 549300I2YWZ9E1B0EY33 78443CCL6 205537.04000000 PA USD 201129.46000000 0.021774581048 Long ABS-O CORP US N 2 2039-06-15 Floating 2.41000000 N N N N N N Party City Holdings Inc. 5493005PYM1JS6EZN307 70215EAN3 64414.15000000 PA USD 63797.06000000 0.006906766684 Long LON CORP US N 2 2022-08-19 Floating 4.55000000 N N N N N N Lennar Corp 529900G61XVRLX5TJX09 526057CV4 10000.00000000 PA USD 10700.00000000 0.001158398263 Long DBT CORP US N 2 2027-06-15 Fixed 5.00000000 N N N N N N AstraZeneca PLC PY6ZZQWO2IZFZC3IOL08 046353AK4 275000.00000000 PA USD 276120.37000000 0.029893210948 Long DBT CORP GB N 2 2020-11-16 Fixed 2.38000000 N N N N N N Williams Partners LP WUURD1P1N0874ONXXO03 96950FAD6 40000.00000000 PA USD 40520.87000000 0.004386850976 Long DBT CORP US N 2 2020-03-15 Fixed 5.25000000 N N N N N N Citibank, National Association E57ODZWZ7FF32TWEFA76 000000000 1.00000000 NC -28406.45000000 -0.00307532545 N/A DFE US N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 15043750.00000000 PEN 4426064.31000000 USD 2019-11-22 -28406.45000000 N N N Sempra Energy PBBKGKLRK5S5C0Y4T545 816851AV1 252000.00000000 PA USD 262773.57000000 0.028448266093 Long DBT CORP US N 2 2024-06-15 Fixed 3.55000000 N N N N N N Asx - Trade24 549300USWUR0S7VMM868 000000000 110.00000000 NC 10939876.79000000 1.184367689477 N/A DIR AU N 1 Asx - Trade24 549300USWUR0S7VMM868 Long 10 Year Commonwealth Treasury Bond XMZ9 Comdty 2019-12-16 16058818.60000000 AUD 100975.51000000 N N N Siemens Financieringsmaatschappij NV TAFO772JB70PDRN5VS48 82620KAJ2 250000.00000000 PA USD 248213.33000000 0.026871952380 Long DBT CORP NL Y 2 2021-09-15 Fixed 1.70000000 N N N N N N Southern Copper Corp 2549007U6NAP46Q9TU15 84265VAG0 590000.00000000 PA USD 666440.00000000 0.072149807363 Long DBT CORP US N 2 2042-11-08 Fixed 5.25000000 N N N N N N REPUBLIC SERVICES INC NKNQHM6BLECKVOQP7O46 760759AU4 60000.00000000 PA USD 60660.90000000 0.006567241236 Long DBT CORP US N 2 2024-08-15 Fixed 2.50000000 N N N N N N Waste Management Inc 549300YX8JIID70NFS41 94106LBH1 100000.00000000 PA USD 105499.74000000 0.011421562207 Long DBT CORP US N 2 2026-06-15 Fixed 3.20000000 N N N N N N Walmart Inc Y87794H0US1R65VBXU25 931142EE9 230000.00000000 PA USD 255138.64000000 0.027621696967 Long DBT CORP US N 2 2028-06-26 Fixed 3.70000000 N N N N N N Teva Pharmaceutical Finance IV BV 549300P1YOE2RRPSGG38 88166JAA1 20000.00000000 PA USD 18450.00000000 0.001997425043 Long DBT CORP CW N 2 2021-11-10 Fixed 3.65000000 N N N N N N New Century Home Equity Loan Trust N/A 64352VNK3 690000.00000000 PA USD 671968.37000000 0.072748317102 Long ABS-MBS CORP US N 2 2035-10-25 Floating 2.50000000 N N N N N N Telefonica Emisiones SAU 549300Y5MFC4SW5Z3K71 87938WAU7 150000.00000000 PA USD 174735.37000000 0.018917116747 Long DBT CORP ES N 2 2047-03-08 Fixed 5.21000000 N N N N N N Banco de Bogota SA 549300LYHE7LWSKDZT53 059514AE9 686000.00000000 PA USD 729739.36000000 0.079002692289 Long DBT CORP CO Y 2 2027-08-03 Fixed 4.38000000 N N N N N N Wells Fargo Bank NA KB1H1DSPRFMYMCUFXT09 94988J5N3 725000.00000000 PA USD 730133.94000000 0.079045410119 Long DBT CORP US N 2 2021-01-15 Fixed 2.60000000 N N N N N N Precision Castparts Corp 0XOOAY5P5J7Q734SEC89 740189AG0 240000.00000000 PA USD 244187.84000000 0.026436146714 Long DBT CORP US N 2 2023-01-15 Fixed 2.50000000 N N N N N N Occidental Petroleum Corp IM7X0T3ECJW4C1T7ON55 674599CN3 70000.00000000 PA USD 69432.40000000 0.007516857158 Long DBT CORP US N 2 2048-03-15 Fixed 4.20000000 N N N N N N Freddie Mac - STACR S6XOOCT0IEG5ABCC6L87 3137G0PR4 510000.00000000 PA USD 587909.08000000 0.063647930599 Long ABS-MBS USGSE US N 2 2029-10-25 Floating 7.17000000 N N N N N N Costco Wholesale Corp 29DX7H14B9S6O3FD6V18 22160KAJ4 244000.00000000 PA USD 245104.65000000 0.026535401958 Long DBT CORP US N 2 2021-05-18 Fixed 2.15000000 N N N N N N Sprint Corp 549300ZTTY7CXOLJ6539 85207UAE5 50000.00000000 PA USD 53355.00000000 0.005776293397 Long DBT CORP US N 2 2021-09-15 Fixed 7.25000000 N N N N N N Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 000000000 5781000.00000000 OU Notional Amount USD -49709.72000000 -0.00538164984 N/A DIR US N 2 Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 ICE Libor USD 3 Months US0003M Index Y 2023-04-26 390.13000000 USD 0.00000000 USD 5781000.00000000 USD -50099.85000000 N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140JVKT8 98749.51000000 PA USD 100278.16000000 0.010856266020 Long ABS-MBS USGSE US N 2 2049-06-01 Fixed 3.00000000 N N N N N N Freeport-McMoRan Inc 549300IRDTHJQ1PVET45 35671DAU9 10000.00000000 PA USD 10025.00000000 0.001085321737 Long DBT CORP US N 2 2022-03-01 Fixed 3.55000000 N N N N N N FedEx Corp 549300E707U7WNPZN687 31428XBD7 226000.00000000 PA USD 212993.52000000 0.023059002217 Long DBT CORP US N 2 2065-02-01 Fixed 4.50000000 N N N N N N State Street Bank and Trust Company 571474TGEMMWANRLN572 000000000 1.00000000 NC 262.86000000 0.000028457623 N/A DFE TR N 2 State Street Bank and Trust Company 571474TGEMMWANRLN572 15183.06000000 USD 88740.00000000 TRY 2019-11-22 262.86000000 N N N Royal Bank of Canada ES7IP3U3RHIGC71XBU11 78013GKN4 70000.00000000 PA USD 70122.91000000 0.007591612820 Long DBT CORP CA N 2 2020-10-26 Fixed 2.15000000 N N N N N N BNP Paribas SA R0MUWSFPU8MPRO8K5P83 05567LT31 262000.00000000 PA USD 271823.90000000 0.029428068575 Long DBT CORP FR N 2 2021-01-15 Fixed 5.00000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 31334WHS3 195598.01000000 PA USD 199120.96000000 0.021557137785 Long ABS-MBS USGSE US N 2 2049-06-01 Fixed 3.00000000 N N N N N N OCCIDENTAL PETROLEUM COR IM7X0T3ECJW4C1T7ON55 674599CZ6 80000.00000000 PA USD 82717.60000000 0.008955133103 Long DBT CORP US N 2 2021-03-15 Fixed 4.85000000 N N N N N N Freddie Mac - STACR S6XOOCT0IEG5ABCC6L87 3137G0NX3 440000.00000000 PA USD 464185.83000000 0.050253463500 Long ABS-MBS USGSE US N 2 2029-10-25 Floating 5.47000000 N N N N N N CME Group Inc LCZ7XYGSLJUHFXXNXD88 12572QAF2 30000.00000000 PA USD 40627.65000000 0.004398411141 Long DBT CORP US N 2 2043-09-15 Fixed 5.30000000 N N N N N N PepsiCo Inc FJSUNZKFNQ5YPJ5OT455 713448BY3 224000.00000000 PA USD 229427.52000000 0.024838172036 Long DBT CORP US N 2 2022-03-05 Fixed 2.75000000 N N N N N N BP Capital Markets America Inc 5493009NTB34VXE1T760 10373QBE9 200000.00000000 PA USD 211451.01000000 0.022892007740 Long DBT CORP US N 2 2026-02-11 Fixed 3.41000000 N N N N N N State Street Bank and Trust Company 571474TGEMMWANRLN572 000000000 1.00000000 NC 73979.26000000 0.008009107133 N/A DFE ID N 2 State Street Bank and Trust Company 571474TGEMMWANRLN572 6191499.76000000 USD 89368107530.00000000 IDR 2019-11-22 73979.26000000 N N N Credit Suisse Mortgage Trust N/A 12653TAB7 1127818.36000000 PA USD 1130858.73000000 0.122428484971 Long ABS-MBS CORP US Y 2 2048-02-25 Variable 3.50000000 N N N N N N Daimler Finance North America LLC 549300423Z16BB673J12 233851BE3 320000.00000000 PA USD 322610.47000000 0.034926299837 Long DBT CORP US Y 2 2021-03-10 Fixed 2.88000000 N N N N N N Alcoa Nederland Holding BV 5493000UL1QLQLT1VQ42 013822AA9 200000.00000000 PA USD 210250.00000000 0.022761984571 Long DBT CORP NL Y 2 2024-09-30 Fixed 6.75000000 N N N N N N Aon Corp LTS3U8DGK38SETRUWX71 037389AK9 172000.00000000 PA USD 218440.00000000 0.023648646420 Long DBT CORP US N 2 2027-01-01 Fixed 8.21000000 N N N N N N Masco Corp 5GCSNMQXHEYA1JO8QN11 574599BJ4 238000.00000000 PA USD 257806.88000000 0.027910564685 Long DBT CORP US N 2 2025-04-01 Fixed 4.45000000 N N N N N N Cott Holdings Inc 5493005TMUI9D3MY9I37 221644AA5 60000.00000000 PA USD 62251.80000000 0.006739474488 Long DBT CORP US Y 2 2025-04-01 Fixed 5.50000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31404EGE0 16121.63000000 PA USD 18218.81000000 0.001972396062 Long ABS-MBS USGSE US N 2 2034-02-01 Fixed 5.50000000 N N N N N N HCA INC L3CJ6J7LJ2DX62FTXD46 404119BX6 269000.00000000 PA USD 281659.92000000 0.030492931051 Long DBT CORP US N 2 2029-06-15 Fixed 4.13000000 N N N N N N 1011778 B.C. Unlimited Liability Company 549300RHSHNRWI5LLA86 000000000 44527.64000000 PA USD 44661.22000000 0.004835091560 Long LON CORP CA N 2 2024-02-16 Floating 4.29000000 N N N N N N Lockheed Martin Corp DPRBOZP0K5RM2YE8UU08 539830BH1 90000.00000000 PA USD 96507.25000000 0.010448021572 Long DBT CORP US N 2 2026-01-15 Fixed 3.55000000 N N N N N N ONEOK Inc 2T3D6M0JSY48PSZI1Q41 682680AR4 204000.00000000 PA USD 238708.44000000 0.025842938542 Long DBT CORP US N 2 2023-09-01 Fixed 7.50000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 36179UPB2 192218.45000000 PA USD 201091.62000000 0.021770484432 Long ABS-MBS USGA US N 2 2049-03-20 Fixed 4.50000000 N N N N N N Deutsche Mortgage Securities Inc Mortgage Loan Trust 7LTWFZYICNSX8D621K86 25157TAA2 442626.73000000 PA USD 454538.30000000 0.049209007238 Long ABS-MBS CORP US Y 2 2037-06-27 Variable 3.81000000 N N N N N N United States Treasury 254900HROIFWPRGM1V77 912828R77 8665000.00000000 PA USD 8616259.38000000 0.932809336861 Long DBT UST US N 2 2021-05-31 Fixed 1.38000000 N N N N N N BMW US Capital LLC KK5MZM9DIXLXZL9DZL15 05565EAF2 724000.00000000 PA USD 723014.93000000 0.078274695276 Long DBT CORP US Y 2 2021-04-11 Fixed 2.00000000 N N N N N N United States Treasury 254900HROIFWPRGM1V77 912828X88 1935000.00000000 PA USD 2038930.67000000 0.220737733430 Long DBT UST US N 2 2027-05-15 Fixed 2.38000000 N N N N N N US Bancorp N1GZ7BBF3NP8GI976H15 91159HHL7 728000.00000000 PA USD 731483.76000000 0.079191543684 Long DBT CORP US N 2 2021-01-29 Fixed 2.35000000 N N N N N N Boeing Co/The RVHJWBXLJ1RFUBSY1F30 097023BT1 272000.00000000 PA USD 272535.71000000 0.029505130208 Long DBT CORP US N 2 2022-03-01 Fixed 2.13000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3128P8F48 87973.67000000 PA USD 90180.37000000 0.009763063926 Long ABS-MBS USGSE US N 2 2038-04-01 Fixed 3.00000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3138WGV84 1542267.06000000 PA USD 1632760.80000000 0.176765165941 Long ABS-MBS USGSE US N 2 2046-04-01 Fixed 4.00000000 N N N N N N Citibank, National Association E57ODZWZ7FF32TWEFA76 000000000 1.00000000 NC -42498.37000000 -0.00460093813 N/A DFE BR N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 484452.02000000 USD 1838228.00000000 BRL 2019-10-17 -42498.37000000 N N N FHLMC Multifamily Structured Pass Through Certificates S6XOOCT0IEG5ABCC6L87 3137BSP98 4106330.28000000 PA USD 225908.94000000 0.024457245217 Long ABS-MBS USGSE US N 2 2026-08-25 Variable 1.06000000 N N N N N N ONEOK Inc 2T3D6M0JSY48PSZI1Q41 682680AW3 506000.00000000 PA USD 541415.09000000 0.058614420573 Long DBT CORP US N 2 2029-03-15 Fixed 4.35000000 N N N N N N JPMorgan Chase & Co 8I5DZWZKVSZI1NUHU748 46647PAV8 200000.00000000 PA USD 222210.31000000 0.024056825911 Long DBT CORP US N 2 2029-07-23 Variable 4.20000000 N N N N N N Blackstone CQP Holdco LP N/A 000000000 39900.00000000 PA USD 40049.63000000 0.004335833817 Long LON CORP US N 2 2024-09-30 Floating 5.66000000 N N N N N N LYB International Finance BV 549300J6QSW38QNOJK61 50247VAA7 214000.00000000 PA USD 226299.62000000 0.024499540827 Long DBT CORP NL N 2 2023-07-15 Fixed 4.00000000 N N N N N N Bank of Nova Scotia/The L3I9ZG2KFGXZ61BMYR72 064159KT2 725000.00000000 PA USD 729210.36000000 0.078945421945 Long DBT CORP CA N 2 2021-01-08 Fixed 2.50000000 N N N N N N New Cingular Wireless Services Inc 549300Z40J86GGSTL398 00209AAF3 170000.00000000 PA USD 240804.67000000 0.026069879588 Long DBT CORP US N 2 2031-03-01 Fixed 8.75000000 N N N N N N Goldman Sachs Group Inc/The 784F5XWPLTWKTBV3E584 38148LAF3 200000.00000000 PA USD 237879.74000000 0.025753222220 Long DBT CORP US N 2 2045-05-22 Fixed 5.15000000 N N N N N N Avnet Inc XJI53DCPL7QABOWK4Z75 053807AR4 410000.00000000 PA USD 436380.29000000 0.047243193476 Long DBT CORP US N 2 2022-12-01 Fixed 4.88000000 N N N N N N Sprint Communications, Inc. 549300JKU50UT08ZWD77 85208EAB6 16658.32000000 PA USD 16528.22000000 0.001789370219 Long LON CORP US N 2 2024-02-02 Floating 4.56000000 N N N N N N JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 000000000 1.00000000 NC -3388.26000000 -0.00036681817 N/A DFE US N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 1039000.00000000 SGD 748346.11000000 USD 2019-10-03 -3388.26000000 N N N Toronto-Dominion Bank/The PT3QB789TSUIDF371261 89114QBZ0 90000.00000000 PA USD 91889.06000000 0.009948049303 Long DBT CORP CA N 2 2021-06-11 Fixed 3.25000000 N N N N N N Verizon Communications Inc 2S72QS2UO2OESLG6Y829 92343VEN0 178000.00000000 PA USD 187999.11000000 0.020353069400 Long DBT CORP US N 2 2025-02-15 Fixed 3.38000000 N N N N N N Freddie Mac - STACR S6XOOCT0IEG5ABCC6L87 3137G0DW6 664737.61000000 PA USD 689447.37000000 0.074640620209 Long ABS-MBS USGSE US N 2 2025-01-25 Floating 6.17000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3128M6P77 77197.21000000 PA USD 88909.28000000 0.009625453791 Long ABS-MBS USGSE US N 2 2038-08-01 Fixed 6.00000000 N N N N N N Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 000000000 6084000.00000000 OU Notional Amount USD -1888.05000000 -0.00020440316 N/A DIR US N 2 Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 US Federal Funds Effective Rate FEDL01 Index Y 2026-06-30 0.00000000 USD -6481.48000000 USD 6084000.00000000 USD 4593.43000000 N N N ICE Futures Europe 549300UF4R84F48NCH34 000000000 -74.00000000 NC -12214049.82000000 -1.32231159839 N/A DIR GB N 1 ICE Futures Europe 549300UF4R84F48NCH34 Short United Kingdom Gilt G Z9 Comdty 2019-12-27 -9892468.60000000 GBP -50769.82000000 N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140HTUD9 100000.00000000 PA USD 107631.61000000 0.011652361694 Long ABS-MBS USGSE US N 2 2029-05-01 Fixed 3.09000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 3617B8HH4 172072.64000000 PA USD 179209.50000000 0.019401492861 Long ABS-MBS USGA US N 2 2047-10-20 Fixed 3.50000000 N N N N N N Nelnet Student Loan Trust N/A 64032LAD3 281294.87000000 PA USD 280977.48000000 0.030419049059 Long ABS-O CORP US N 2 2024-11-25 Floating 3.78000000 N N N N N N BB&T Corp 549300DRQQI75D2JP341 05531FAV5 728000.00000000 PA USD 727516.72000000 0.078762065904 Long DBT CORP US N 2 2021-05-10 Fixed 2.05000000 N N N N N N Hilton USA Trust N/A 43300LAL4 1240000.00000000 PA USD 1322980.18000000 0.143227845165 Long ABS-MBS CORP US Y 2 2038-11-05 Variable 4.33000000 N N N N N N Bank of Montreal NQQ6HPCNCCU6TUTQYE16 000000000 1.00000000 NC -12530.38000000 -0.00135655798 N/A DFE CA N 2 Bank of Montreal NQQ6HPCNCCU6TUTQYE16 1856614.57000000 USD 2440000.00000000 CAD 2019-12-18 -12530.38000000 N N N Chevron Corp VA8TZDWPEZYU430RZ444 166764BG4 302000.00000000 PA USD 303156.90000000 0.032820226780 Long DBT CORP US N 2 2021-05-16 Fixed 2.10000000 N N N N N N International Paper Co 824LMFJDH41EY779Q875 460146CN1 188000.00000000 PA USD 211887.19000000 0.022939229249 Long DBT CORP US N 2 2046-05-15 Fixed 5.15000000 N N N N N N The Montreal Exchange / Bourse De Montreal N/A 000000000 206.00000000 NC 22172774.28000000 2.400458245317 N/A DIR CA N 1 The Montreal Exchange / Bourse De Montreal N/A Long Canadian Government Bond CNZ9 Comdty 2019-12-18 29625684.00000000 CAD -188764.01000000 N N N LCM Ltd Partnership N/A 52111PAA9 1020000.00000000 PA USD 1023045.72000000 0.110756484637 Long ABS-CBDO CORP KY Y 2 2029-10-20 Floating 3.68000000 N N N N N N Altria Group Inc XSGZFLO9YTNO9VCQV219 02209SBG7 20000.00000000 PA USD 23643.48000000 0.002559679081 Long DBT CORP US N 2 2059-02-14 Fixed 6.20000000 N N N N N N Dell International LLC / EMC Corp 549300TJB5YBRUPOG437 25272KAD5 430000.00000000 PA USD 443362.50000000 0.047999098143 Long DBT CORP US Y 2 2021-06-15 Fixed 4.42000000 N N N N N N Lloyds Banking Group PLC 549300PPXHEU2JF0AM85 539439AM1 688000.00000000 PA USD 722663.44000000 0.078236642435 Long DBT CORP GB N 2 2025-12-10 Fixed 4.58000000 N N N N N N American International Group Inc ODVCVCQG2BP6VHV36M30 026874DD6 110000.00000000 PA USD 116177.81000000 0.012577586296 Long DBT CORP US N 2 2025-07-10 Fixed 3.75000000 N N N N N N Citigroup Global Markets Inc. MBNUM2BPBDO7JBLYG310 000000000 2400000.00000000 OU Notional Amount 8082.58000000 0.000875032396 N/A DIR US N 2 Citigroup Global Markets Inc. MBNUM2BPBDO7JBLYG310 Brazil Cetip DI Interbank Deposit Rate BZDIOVRA Index Y 2027-01-04 4611.45000000 BRL 0.00000000 BRL 2400000.00000000 BRL 6843.39000000 N N N Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 000000000 40840000.00000000 OU Notional Amount 100550.21000000 0.010885718567 N/A DIR US N 2 Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 Mexican Interbank Equilibrium Interest Rate MXIBTIIE Index Y 2029-07-18 331490.36000000 MXN 0.00000000 MXN 40840000.00000000 MXN 83598.33000000 N N N United States Treasury 254900HROIFWPRGM1V77 912828G38 1040000.00000000 PA USD 1074287.50000000 0.116303997625 Long DBT UST US N 2 2024-11-15 Fixed 2.25000000 N N N N N N Lloyds Banking Group PLC 549300PPXHEU2JF0AM85 539439AT6 400000.00000000 PA USD 440199.99000000 0.047656720004 Long DBT CORP GB N 2 2028-08-16 Fixed 4.55000000 N N N N N N Exelon Corp 3SOUA6IRML7435B56G12 30161NAN1 489000.00000000 PA USD 524394.91000000 0.056771790016 Long DBT CORP US N 2 2025-06-15 Fixed 3.95000000 N N N N N N State Street Bank and Trust Company 571474TGEMMWANRLN572 000000000 1.00000000 NC 347.88000000 0.000037662017 N/A DFE US N 2 State Street Bank and Trust Company 571474TGEMMWANRLN572 463160.00000000 MXN 23622.52000000 USD 2019-11-22 347.88000000 N N N State Street Bank and Trust Company 571474TGEMMWANRLN572 000000000 1.00000000 NC -116.96000000 -0.00001266226 N/A DFE TH N 2 State Street Bank and Trust Company 571474TGEMMWANRLN572 45487.47000000 USD 1386390.00000000 THB 2019-11-22 -116.96000000 N N N Banco Santander S.A. 5493006QMFDDMYWIAM13 05964HAJ4 200000.00000000 PA USD 218633.56000000 0.023669601520 Long DBT CORP ES N 2 2028-04-12 Fixed 4.38000000 N N N N N N United States Treasury 254900HROIFWPRGM1V77 912796RN1 9126700.00000000 PA USD 9097347.16000000 0.984892631159 Long DBT UST US N 2 2019-12-05 None 0.00000000 N N N N N N BMW US Capital LLC KK5MZM9DIXLXZL9DZL15 05565EAL9 20000.00000000 PA USD 19908.23000000 0.002155295239 Long DBT CORP US Y 2 2021-09-15 Fixed 1.85000000 N N N N N N Celulosa Arauco y Constitucion SA 549300QEKV8G0AMNQD28 151191BB8 705000.00000000 PA USD 719988.30000000 0.077947027712 Long DBT CORP CL N 2 2027-11-02 Fixed 3.88000000 N N N N N N JP Morgan Mortgage Trust 5493002WZI1ZSAEIE710 46649HAE2 351661.66000000 PA USD 356026.13000000 0.038543929979 Long ABS-MBS CORP US Y 2 2048-12-25 Variable 3.50000000 N N N N N N JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 000000000 1.00000000 NC -3002.10000000 -0.00032501190 N/A DFE US N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 5281000.00000000 AUD 3563090.70000000 USD 2019-10-15 -3002.10000000 N N N Honeywell International Inc ISRPG12PN4EIEOEMW547 438516BM7 730000.00000000 PA USD 729673.67000000 0.078995580590 Long DBT CORP US N 2 2021-11-01 Fixed 1.85000000 N N N N N N FirstEnergy Corp 549300SVYJS666PQJH88 337932AF4 100000.00000000 PA USD 105778.04000000 0.011451691388 Long DBT CORP US N 2 2023-03-15 Fixed 4.25000000 N N N N N N Altria Group Inc XSGZFLO9YTNO9VCQV219 02209SBA0 40000.00000000 PA USD 41029.86000000 0.004441955007 Long DBT CORP US N 2 2022-02-14 Fixed 3.49000000 N N N N N N HCA Inc L3CJ6J7LJ2DX62FTXD46 404119BU2 40000.00000000 PA USD 42894.98000000 0.004643875733 Long DBT CORP US N 2 2027-02-15 Fixed 4.50000000 N N N N N N Eaton Corp 0NZWDMRCE180888QQE14 278062AE4 40000.00000000 PA USD 44270.49000000 0.004792790536 Long DBT CORP US N 2 2042-11-02 Fixed 4.15000000 N N N N N N Tyson Foods Inc WD6L6041MNRW1JE49D58 902494AX1 237000.00000000 PA USD 253840.51000000 0.027481159440 Long DBT CORP US N 2 2024-08-15 Fixed 3.95000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31418DCY6 9691052.80000000 PA USD 9961279.47000000 1.078423256183 Long ABS-MBS USGSE US N 2 2049-06-01 Fixed 3.50000000 N N N N N N Shell International Finance BV 213800ITMMKU4Z7I4F78 822582AM4 10000.00000000 PA USD 10113.95000000 0.001094951599 Long DBT CORP NL N 2 2020-03-25 Fixed 4.38000000 N N N N N N United States Treasury 254900HROIFWPRGM1V77 912810RZ3 2735000.00000000 PA USD 3100272.07000000 0.335640166592 Long DBT UST US N 2 2047-11-15 Fixed 2.75000000 N N N N N N JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 000000000 1.00000000 NC 24261.72000000 0.002626610684 N/A DFE US N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 3842000.00000000 EUR 4215964.91000000 USD 2019-10-15 24261.72000000 N N N CNH Industrial Capital LLC 549300PNSJ5B81UMVO28 12592BAG9 250000.00000000 PA USD 256480.00000000 0.027766914639 Long DBT CORP US N 2 2021-10-15 Fixed 3.88000000 N N N N N N Goldman Sachs Group Inc/The 784F5XWPLTWKTBV3E584 38141GWT7 70000.00000000 PA USD 71893.20000000 0.007783267106 Long DBT CORP US N 2 2023-02-23 Fixed 3.20000000 N N N N N N CAL Funding III Ltd 549300XR4I3ZRKKVBZ43 12805PAA4 613025.00000000 PA USD 621637.69000000 0.067299441184 Long ABS-O CORP BM Y 2 2042-06-25 Fixed 3.62000000 N N N N N N CIT Group Inc N8O96ZZJQRFYQUJY7K79 125581GY8 50000.00000000 PA USD 52875.00000000 0.005724327867 Long DBT CORP US N 2 2024-02-16 Fixed 4.75000000 N N N N N N OCCIDENTAL PETROLEUM COR IM7X0T3ECJW4C1T7ON55 674599CS2 200000.00000000 PA USD 203068.52000000 0.021984506631 Long DBT CORP US N 2 2029-08-15 Fixed 3.50000000 N N N N N N Sprint Spectrum Co LLC / Sprint Spectrum Co II LLC / Sprint Spectrum Co III LLC 5493003BZYYYCDIO0R13 85208NAA8 100000.00000000 PA USD 100375.00000000 0.010866750066 Long DBT CORP US Y 2 2021-09-20 Fixed 3.36000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3138EHGN6 142998.57000000 PA USD 161740.02000000 0.017510220403 Long ABS-MBS USGSE US N 2 2038-02-01 Fixed 5.50000000 N N N N N N Bank of Montreal NQQ6HPCNCCU6TUTQYE16 000000000 1.00000000 NC 61970.41000000 0.006709010779 N/A DFE US N 2 Bank of Montreal NQQ6HPCNCCU6TUTQYE16 15299620.00000000 CHF 15419428.96000000 USD 2019-10-23 61970.41000000 N N N Santander UK PLC PTCQB104N23FMNK2RZ28 80283LAN3 40000.00000000 PA USD 40030.22000000 0.004333732461 Long DBT CORP GB N 2 2020-03-16 Fixed 2.38000000 N N N N N N BONOS DE TESORERIA 254900STKLK2DBJJZ530 000000000 3424000.00000000 PA 1242104.34000000 0.134472103799 Long DBT NUSS PE N 2 2037-08-12 Fixed 6.90000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 3617BFM90 165570.25000000 PA USD 173357.38000000 0.018767933455 Long ABS-MBS USGA US N 2 2047-10-20 Fixed 3.50000000 N N N N N N ML-CFC Commercial Mortgage Trust 9DJT3UXIJIZJI4WXO774 55312YAH5 185172.24000000 PA USD 113510.77000000 0.012288848492 Long ABS-MBS CORP US N 2 2048-08-12 Variable 5.45000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140FE6B5 225740.93000000 PA USD 236783.15000000 0.025634503720 Long ABS-MBS USGSE US N 2 2047-04-01 Fixed 4.00000000 N N N N N N United States Treasury 254900HROIFWPRGM1V77 912810RF7 1739295.60000000 PA USD 2085092.99000000 0.225735336358 Long DBT UST US N 2 2044-02-15 Fixed 1.38000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3138YV6H7 72331.26000000 PA USD 75109.40000000 0.008131457807 Long ABS-MBS USGSE US N 2 2030-07-01 Fixed 3.50000000 N N N N N N United States Small Business Administration 254900HROIFWPRGM1V77 831641FH3 205783.07000000 PA USD 210428.68000000 0.022781328740 Long ABS-O USGA US N 2 2027-03-10 Fixed 2.85000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140GQ4H6 623161.17000000 PA USD 652864.58000000 0.070680111759 Long ABS-MBS USGSE US N 2 2047-08-01 Fixed 4.00000000 N N N N N N BHARTI AIRTEL INTERNATIO 724500ULW6PWKDAI7I46 08861JAA7 693000.00000000 PA USD 729193.81000000 0.078943630217 Long DBT CORP NL Y 2 2023-03-11 Fixed 5.13000000 N N N N N N HCA Inc. L3CJ6J7LJ2DX62FTXD46 000000000 47426.07000000 PA USD 47538.94000000 0.005146637901 Long LON CORP US N 2 2025-03-13 Floating 4.04000000 N N N N N N Freeport-McMoRan Inc 549300IRDTHJQ1PVET45 35671DBC8 230000.00000000 PA USD 207087.40000000 0.022419596688 Long DBT CORP US N 2 2043-03-15 Fixed 5.45000000 N N N N N N COMM MORTGAGE TRUST N/A 20048GAJ5 899000.00000000 PA USD 899279.50000000 0.097357365540 Long ABS-MBS CORP US Y 2 2034-06-15 Floating 3.58000000 N N N N N N Medtronic Inc D56MRZY2INAN94ZONZ37 585055BR6 254000.00000000 PA USD 261884.94000000 0.028352061659 Long DBT CORP US N 2 2022-03-15 Fixed 3.15000000 N N N N N N Citibank, National Association E57ODZWZ7FF32TWEFA76 000000000 1.00000000 NC 1641.09000000 0.000177666897 N/A DFE US N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 11647111.00000000 RUB 180911.94000000 USD 2019-10-17 1641.09000000 N N N Wells Fargo & Co PBLD0EJDB5FWOLXP3B76 94974BGU8 530000.00000000 PA USD 627445.95000000 0.067928252240 Long DBT CORP US N 2 2046-12-07 Fixed 4.75000000 N N N N N N GLP Capital LP / GLP Financing II Inc 5493006GWRDBCZYWTM57 361841AH2 653000.00000000 PA USD 719116.25000000 0.077852618254 Long DBT CORP US N 2 2026-04-15 Fixed 5.38000000 N N N N N N Flagstar Mortgage Trust N/A 33850RAE2 802814.05000000 PA USD 815828.47000000 0.088322830190 Long ABS-MBS CORP US Y 2 2047-10-25 Variable 3.50000000 N N N N N N Intercontinental Exchange, Inc. 5493000F4ZO33MV32P92 000000000 574200.00000000 OU Notional Amount USD 40953.09000000 0.004433643770 N/A DCR US N 2 Intercontinental Exchange, Inc. 5493000F4ZO33MV32P92 Markit CDX.NA.HY.32.V1 2I65BRRT9 RED Code Y sell protection 2024-06-20 25463.15000000 USD 0.00000000 USD 574200.00000000 USD 15489.94000000 N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3132AEB88 90247.33000000 PA USD 92671.38000000 0.010032744455 Long ABS-MBS USGSE US N 2 2049-04-01 Fixed 3.50000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140JSTQ2 98845.66000000 PA USD 100392.89000000 0.010868686864 Long ABS-MBS USGSE US N 2 2049-07-01 Fixed 3.00000000 N N N N N N Provincia de Buenos Aires/Argentina 549300L6AYROPOTQ4L07 000000000 140000.00000000 PA USD 49000.00000000 0.005304814478 Long DBT NUSS AR Y 2 2023-02-15 Fixed 6.50000000 N N N N N N Apache Corp 72ZZ1XRHOOU9P9X16K08 037411BE4 20000.00000000 PA USD 20512.88000000 0.002220755567 Long DBT CORP US N 2 2028-10-15 Fixed 4.38000000 N N N N N N JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 000000000 1.00000000 NC -11110.78000000 -0.00120286993 N/A DFE SE N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 379987.12000000 USD 3631000.00000000 SEK 2019-10-03 -11110.78000000 N N N KEURIG DR PEPPER INC DYTQ8KRTKO7Y2BVU5K74 49271VAG5 222000.00000000 PA USD 234902.07000000 0.025430855140 Long DBT CORP US N 2 2023-05-25 Fixed 4.06000000 N N N N N N JPMorgan Chase & Co 8I5DZWZKVSZI1NUHU748 46625HJC5 130000.00000000 PA USD 135357.08000000 0.014653963218 Long DBT CORP US N 2 2021-08-15 Fixed 4.35000000 N N N N N N Prime Security Services Borrower LLC / Prime Finance Inc 54930054P2G7ZJB0KM79 74166MAA4 35000.00000000 PA USD 36795.50000000 0.003983536757 Long DBT CORP US Y 2 2023-05-15 Fixed 9.25000000 N N N N N N United States Treasury 254900HROIFWPRGM1V77 9128286T2 875000.00000000 PA USD 929448.24000000 0.100623479187 Long DBT UST US N 2 2029-05-15 Fixed 2.38000000 N N N N N N Merrill Lynch, Pierce, Fenner & Smith Incorporated 8NAV47T0Y26Q87Y0QP81 000000000 -36.00000000 NC USD -14850.00000000 -0.00160768357 N/A DIR US N 1 Merrill Lynch, Pierce, Fenner & Smith Incorporated 8NAV47T0Y26Q87Y0QP81 Call Written ICE Futures Europe 549300UF4R84F48NCH34 ICE Futures Europe 549300UF4R84F48NCH34 N/A 90000.00000000 NC N/A -14850.00000000 0.00000000 DIR US Short Eurodollar Time Deposit EDZ0 Comdty 2020-12-14 90000.00000000 USD 2500.00000000 98.50000000 USD 2019-12-13 XXXX -10425.60000000 N N N NXP BV / NXP Funding LLC 724500M9BY5293JDF951 62947QAT5 693000.00000000 PA USD 725870.60000000 0.078583854451 Long DBT CORP NL Y 2 2022-06-15 Fixed 4.63000000 N N N N N N Magnetite CLO Ltd 549300BDVLRWS2SODX97 55953TAJ6 1488000.00000000 PA USD 1488861.55000000 0.161186414415 Long ABS-CBDO CORP KY Y 2 2028-11-15 Floating 3.24000000 N N N N N N United States Treasury 254900HROIFWPRGM1V77 912810RW0 2933383.20000000 PA USD 3188443.33000000 0.345185721217 Long DBT UST US N 2 2047-02-15 Fixed 0.88000000 N N N N N N CVS Health Corp 549300EJG376EN5NQE29 126650CN8 140000.00000000 PA USD 159529.35000000 0.017270889909 Long DBT CORP US N 2 2045-07-20 Fixed 5.13000000 N N N N N N Standard Chartered Bank RILFO74KP1CM8P6PCT96 000000000 1.00000000 NC -18992.20000000 -0.00205612443 N/A DFE JP N 2 Standard Chartered Bank RILFO74KP1CM8P6PCT96 1860194.19000000 USD 198000000.00000000 JPY 2019-12-18 -18992.20000000 N N N Duke Energy Carolinas LLC MWIUSDMN17TCR56VW396 26442CAH7 30000.00000000 PA USD 38912.19000000 0.004212692834 Long DBT CORP US N 2 2040-02-15 Fixed 5.30000000 N N N N N N Athenahealth, Inc. N/A 04685YAK5 169150.00000000 PA USD 168515.69000000 0.018243764736 Long LON CORP US N 2 2026-02-11 Floating 6.68000000 N N N N N N AT&T MOBILITY LLC 549300Z40J86GGSTL398 17248RAJ5 204000.00000000 PA USD 269110.76000000 0.029134339915 Long DBT CORP US N 2 2031-12-15 Fixed 7.13000000 N N N N N N Plains All American Pipeline LP / PAA Finance Corp 5521FA2ITF25TVH63740 72650RBF8 705000.00000000 PA USD 721882.46000000 0.078152092353 Long DBT CORP US N 2 2024-11-01 Fixed 3.60000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3128P8FW6 86687.19000000 PA USD 88793.88000000 0.009612960412 Long ABS-MBS USGSE US N 2 2038-02-01 Fixed 3.00000000 N N N N N N Madison Park Funding Ltd 549300FNRP3W5DX0O430 55819YAA8 780000.00000000 PA USD 780142.74000000 0.084459438819 Long ABS-CBDO CORP KY Y 2 2030-07-29 Floating 3.46000000 N N N N N N Morgan Stanley Capital I Trust IGJSJL3JD5P30I6NJZ34 61768FAN0 1732000.00000000 PA USD 1732001.56000000 0.187509121461 Long ABS-MBS CORP US Y 2 2035-06-15 Floating 3.98000000 N N N N N N Ace Securities Corp. N/A 004421ND1 251046.34000000 PA USD 251218.88000000 0.027197337791 Long ABS-MBS CORP US N 2 2035-05-25 Floating 2.69000000 N N N N N N Hilton Worldwide Finance, LLC 549300406TN7EY0NPH20 000000000 94793.48000000 PA USD 95330.96000000 0.010320674628 Long LON CORP US N 2 2026-06-22 Floating 3.77000000 N N N N N N Sunoco Logistics Partners Operations LP 5493006LL0CKP8WQW329 86765BAN9 269000.00000000 PA USD 283324.08000000 0.030673095542 Long DBT CORP US N 2 2024-04-01 Fixed 4.25000000 N N N N N N Russian Federation 5493004EHVGF71PDBU58 000000000 19710000.00000000 PA 303911.76000000 0.032901949071 Long DBT NUSS RU N 2 2029-05-23 Fixed 6.90000000 N N N N N N BCAP LLC Trust 213800LBQA1Y9L22JB70 05533FFR7 8648.00000000 PA USD 8664.86000000 0.000938070913 Long ABS-MBS CORP US Y 2 2035-03-26 Variable 4.87000000 N N N N N N Occidental Petroleum Corp IM7X0T3ECJW4C1T7ON55 674599CC7 30000.00000000 PA USD 30443.95000000 0.003295908300 Long DBT CORP US N 2 2022-02-15 Fixed 3.13000000 N N N N N N JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 000000000 1.00000000 NC -306.82000000 -0.00003321679 N/A DFE CA N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 1970409.14000000 USD 2610000.00000000 CAD 2019-10-03 -306.82000000 N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140FXF98 80331.97000000 PA USD 85323.84000000 0.009237288607 Long ABS-MBS USGSE US N 2 2057-06-01 Fixed 4.00000000 N N N N N N Vale Overseas Ltd 254900BA3U6G5DNV5V04 91911TAH6 180000.00000000 PA USD 228060.00000000 0.024690122242 Long DBT CORP KY N 2 2036-11-21 Fixed 6.88000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 36179UZT2 700000.00000000 PA USD 726414.38000000 0.078642724900 Long ABS-MBS USGA US N 2 2049-09-20 Fixed 3.50000000 N N N N N N Citigroup Inc 6SHGI4ZSSLCXXQSBB395 172967MD0 95000.00000000 PA USD 116265.96000000 0.012587129549 Long DBT CORP US N 2 2048-07-23 Fixed 4.65000000 N N N N N N Worldwide Plaza Trust N/A 98162JAA4 452000.00000000 PA USD 487036.24000000 0.052727283618 Long ABS-MBS CORP US Y 2 2036-11-10 Fixed 3.53000000 N N N N N N Intesa Sanpaolo SpA 2W8N8UU78PMDQKZENC08 46115HAZ0 400000.00000000 PA USD 401564.90000000 0.043474026437 Long DBT CORP IT Y 2 2022-07-14 Fixed 3.13000000 N N N N N N Humana Inc 529900YLDW34GJAO4J06 444859BA9 10000.00000000 PA USD 10237.20000000 0.001108294832 Long DBT CORP US N 2 2022-12-01 Fixed 3.15000000 N N N N N N Harman International Industries Inc 1VWDHRIRERCQ5D5M5681 413086AH2 233000.00000000 PA USD 246286.83000000 0.026663386562 Long DBT CORP US N 2 2025-05-15 Fixed 4.15000000 N N N N N N CVS Health Corp 549300EJG376EN5NQE29 126650CY4 70000.00000000 PA USD 77168.13000000 0.008354339046 Long DBT CORP US N 2 2038-03-25 Fixed 4.78000000 N N N N N N Glencore Funding LLC 213800STG1QDNBY87K49 378272AT5 430000.00000000 PA USD 451966.22000000 0.048930549948 Long DBT CORP US Y 2 2024-03-12 Fixed 4.13000000 N N N N N N Ford Motor Credit Co LLC UDSQCVRUX5BONN0VY111 345397VU4 200000.00000000 PA USD 209482.71000000 0.022678916590 Long DBT CORP US N 2 2021-08-02 Fixed 5.88000000 N N N N N N United States Treasury 254900HROIFWPRGM1V77 9128286V7 1650000.00000000 PA USD 1661150.39000000 0.179838666106 Long DBT UST US N 2 2021-05-31 Fixed 2.13000000 N N N N N N NATIXIS COMMERCIAL MORTGAGE 08/24 1 N/A 63873VAA1 440000.00000000 PA USD 449626.67000000 0.048677266709 Long ABS-MBS CORP US Y 2 2034-08-15 Variable 3.05000000 N N N N N N Option One Mortgage Loan Trust N/A 68389FFT6 510625.11000000 PA USD 510822.26000000 0.055302394297 Long ABS-MBS CORP US N 2 2034-11-25 Floating 2.80000000 N N N N N N Verizon Communications Inc 2S72QS2UO2OESLG6Y829 92344GAM8 100000.00000000 PA USD 144505.29000000 0.015644362337 Long DBT CORP US N 2 2030-12-01 Fixed 7.75000000 N N N N N N Targa Resources Partners LP / Targa Resources Partners Finance Corp 5493003QENHHS261UR94 87612BBK7 30000.00000000 PA USD 32732.70000000 0.003543691854 Long DBT CORP US Y 2 2027-07-15 Fixed 6.50000000 N N N N N N Republic of Argentina 549300KPBYGYF7HCHO27 040114HR4 210000.00000000 PA USD 88202.10000000 0.009548893409 Long DBT NUSS AR N 2 2048-01-11 Fixed 6.88000000 N N N N N N Duke Energy Carolinas LLC MWIUSDMN17TCR56VW396 26442CAN4 100000.00000000 PA USD 111965.34000000 0.012121537891 Long DBT CORP US N 2 2042-09-30 Fixed 4.00000000 N N N N N N One Market Plaza Trust N/A 68245HAJ3 595000.00000000 PA USD 600586.40000000 0.065020396532 Long ABS-MBS CORP US Y 2 2032-02-10 Fixed 4.14000000 N N N N N N Comcast Cable Communications Holdings Inc 549300PBDHO6M483PB82 00209TAB1 583000.00000000 PA USD 713909.12000000 0.077288886445 Long DBT CORP US N 2 2022-11-15 Fixed 9.46000000 N N N N N N Nomura Resecuritization Trust N/A 65540WAP4 1290000.00000000 PA USD 973528.56000000 0.105395681631 Long ABS-MBS CORP US Y 2 2047-03-26 Floating 2.44000000 N N N N N N SUNGARD AVAILABILITY SERVICES COMMON STOCK N/A 000000000 1760.00000000 NS USD 56320.00000000 0.006097288804 Long EC CORP US N 3 N N N Altria Group Inc XSGZFLO9YTNO9VCQV219 02209SAN3 170000.00000000 PA USD 172008.12000000 0.018621860516 Long DBT CORP US N 2 2022-08-09 Fixed 2.85000000 N N N N N N BankUnited Inc 96OVUWEW5D4YX6PFXD91 06652KAA1 661000.00000000 PA USD 721710.13000000 0.078133435645 Long DBT CORP US N 2 2025-11-17 Fixed 4.88000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 36179UKY7 856655.50000000 PA USD 896200.33000000 0.097024009915 Long ABS-MBS USGA US N 2 2049-01-20 Fixed 4.50000000 N N N N N N Triton Container Finance LLC 549300OMF3OYQS47M552 89679HAE5 529510.76000000 PA USD 535225.19000000 0.057944292591 Long ABS-O CORP US Y 2 2042-08-20 Fixed 3.62000000 N N N N N N GlaxoSmithKline Capital PLC 549300U0LV41VX7LEP38 377373AJ4 510000.00000000 PA USD 521068.25000000 0.056411640748 Long DBT CORP GB N 2 2022-06-01 Fixed 2.88000000 N N N N N N Broadcom Corp / Broadcom Cayman Finance Ltd 549300WV6GIDOZJTV909 11134LAP4 70000.00000000 PA USD 69500.31000000 0.007524209198 Long DBT CORP US N 2 2025-01-15 Fixed 3.13000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3128MJ4M9 2268496.26000000 PA USD 2386264.22000000 0.258340591487 Long ABS-MBS USGSE US N 2 2048-07-01 Fixed 4.50000000 N N N N N N UnitedHealth Group Inc 549300GHBMY8T5GXDE41 91324PCM2 70000.00000000 PA USD 70393.83000000 0.007620943031 Long DBT CORP US N 2 2020-07-15 Fixed 2.70000000 N N N N N N DISH DBS Corp N/A 25470XAW5 220000.00000000 PA USD 218075.00000000 0.023609130965 Long DBT CORP US N 2 2024-11-15 Fixed 5.88000000 N N N N N N Education Loan Asset-Backed Trust 5493000CKEJUMJ3IL355 28140DAD5 580000.00000000 PA USD 575722.50000000 0.062328592926 Long ABS-O CORP US Y 2 2032-04-26 Floating 2.82000000 N N N N N N Morgan Stanley Capital I Trust 3IFG42XD94UUZ7FL2766 61691XAA1 1613000.00000000 PA USD 1611988.65000000 0.174516341409 Long ABS-MBS CORP US Y 2 2036-05-15 Floating 3.03000000 N N N N N N Teva Pharmaceutical Finance Netherlands III BV 5493004T21MOAFINJP35 88167AAC5 210000.00000000 PA USD 191887.50000000 0.020774032411 Long DBT CORP NL N 2 2021-07-21 Fixed 2.20000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3128MJX96 361501.58000000 PA USD 381007.04000000 0.041248401266 Long ABS-MBS USGSE US N 2 2046-04-01 Fixed 4.00000000 N N N N N N Bank of America, National Association B4TYDEB6GKMZO031MB27 000000000 1.00000000 NC 20195.13000000 0.002186355469 N/A DFE ZA N 2 Bank of America, National Association B4TYDEB6GKMZO031MB27 1754323.42000000 USD 27053150.00000000 ZAR 2019-11-22 20195.13000000 N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3128M96Y3 549473.50000000 PA USD 587139.33000000 0.063564596295 Long ABS-MBS USGSE US N 2 2044-08-01 Fixed 4.00000000 N N N N N N Morgan Stanley Capital I Trust 3IFG42XD94UUZ7FL2766 61769GAA5 350000.00000000 PA USD 349776.56000000 0.037867342032 Long ABS-MBS CORP US Y 2 2036-05-15 Floating 3.43000000 N N N N N N BOEING CO RVHJWBXLJ1RFUBSY1F30 097023CQ6 40000.00000000 PA USD 43302.06000000 0.004687946833 Long DBT CORP US N 2 2050-02-01 Fixed 3.75000000 N N N N N N Apache Corp 72ZZ1XRHOOU9P9X16K08 037411AW5 140000.00000000 PA USD 139593.59000000 0.015112614230 Long DBT CORP US N 2 2040-09-01 Fixed 5.10000000 N N N N N N BrightView Landscapes, LLC 549300OSAEQC89PVOW06 10801XAG2 39500.00000000 PA USD 39598.75000000 0.004287020863 Long LON CORP US N 2 2025-08-15 Floating 4.94000000 N N N N N N Bank of America Credit Card Trust 5493006DQ60M1CRKHH19 05522RCX4 1474000.00000000 PA USD 1472530.72000000 0.159418413937 Long ABS-O CORP US N 2 2023-01-17 Fixed 1.84000000 N N N N N N United States Treasury 254900HROIFWPRGM1V77 912810QY7 1190000.00000000 PA USD 1336286.33000000 0.144668389189 Long DBT UST US N 2 2042-11-15 Fixed 2.75000000 N N N N N N Woori Bank 549300VUVMRL6RE7R376 98105FAB0 681000.00000000 PA USD 711019.30000000 0.076976030139 Long DBT CORP KR Y 2 2021-04-13 Fixed 5.88000000 N N N N N N State Street Bank and Trust Company 571474TGEMMWANRLN572 000000000 1.00000000 NC 1103.29000000 0.000119443852 N/A DFE US N 2 State Street Bank and Trust Company 571474TGEMMWANRLN572 5966610.00000000 RUB 92505.58000000 USD 2019-11-22 1103.29000000 N N N JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 000000000 1.00000000 NC 45207.59000000 0.004894242407 N/A DFE US N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 1047802.00000000 EUR 1188553.24000000 USD 2019-10-17 45207.59000000 N N N KKR Group Finance Co II LLC 549300JOHU21WRN2Z451 48249DAA9 10000.00000000 PA USD 12164.66000000 0.001316964581 Long DBT CORP US Y 2 2043-02-01 Fixed 5.50000000 N N N N N N Royal Bank of Scotland Group PLC 2138005O9XJIJN4JPN90 780097AW1 180000.00000000 PA USD 180393.78000000 0.019529704814 Long DBT CORP GB N 2 2019-10-21 Fixed 6.40000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3138XJ6J1 955843.62000000 PA USD 1035371.73000000 0.112090917215 Long ABS-MBS USGSE US N 2 2044-04-01 Fixed 4.00000000 N N N N N N Glencore Funding LLC 213800STG1QDNBY87K49 378272AQ1 60000.00000000 PA USD 61086.00000000 0.006613263208 Long DBT CORP US Y 2 2027-10-27 Fixed 3.88000000 N N N N N N Teachers Insurance & Annuity Association of America O06XD7BJ4EPXNABVFN69 878091BD8 340000.00000000 PA USD 422945.43000000 0.045788715112 Long DBT CORP US Y 2 2044-09-15 Fixed 4.90000000 N N N N N N Morgan Stanley Capital I Trust 3IFG42XD94UUZ7FL2766 61766CAE9 205000.00000000 PA USD 219560.27000000 0.023769928553 Long ABS-MBS CORP US N 2 2049-03-15 Fixed 3.59000000 N N N N N N JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 000000000 1.00000000 NC 27.05000000 0.000002928474 N/A DFE US N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 1318000.00000000 CZK 55795.68000000 USD 2019-12-16 27.05000000 N N N The Bank of New York Mellon HPFHU0OQ28E4N0NFVK49 000000000 1.00000000 NC 46306.71000000 0.005013234809 N/A DFE US N 2 The Bank of New York Mellon HPFHU0OQ28E4N0NFVK49 2800000.00000000 NZD 1802732.40000000 USD 2019-12-18 46306.71000000 N N N Dividend Solar Loans LLC N/A 255388AA8 380166.03000000 PA USD 383387.14000000 0.041506074510 Long ABS-O CORP US Y 2 2039-08-22 Fixed 3.67000000 N N N N N N SoFi Professional Loan Program LLC N/A 83401BAB2 353000.00000000 PA USD 358075.26000000 0.038765771908 Long ABS-O CORP US Y 2 2041-01-25 Fixed 2.84000000 N N N N N N Goldman Sachs Group Inc/The 784F5XWPLTWKTBV3E584 38141GVS0 250000.00000000 PA USD 300639.28000000 0.032547665412 Long DBT CORP US N 2 2045-10-21 Fixed 4.75000000 N N N N N N United States Treasury 254900HROIFWPRGM1V77 9128286L9 1065000.00000000 PA USD 1106643.16000000 0.119806870556 Long DBT UST US N 2 2026-03-31 Fixed 2.25000000 N N N N N N Washington Mutual Mortgage Pass-Through CTFS N/A 93934FGJ5 840174.04000000 PA USD 790087.32000000 0.085536054165 Long ABS-MBS CORP US N 2 2035-11-25 Fixed 6.00000000 N N N N N N General Motors Financial Co Inc 5493008B6JBRUJ90QL97 37045XCB0 30000.00000000 PA USD 29984.84000000 0.003246204354 Long DBT CORP US N 2 2020-11-06 Fixed 2.45000000 N N N N N N FirstEnergy Corp 549300SVYJS666PQJH88 337932AH0 370000.00000000 PA USD 394283.27000000 0.042685706105 Long DBT CORP US N 2 2027-07-15 Fixed 3.90000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140JM7A4 5939238.75000000 PA USD 6164573.23000000 0.667386067794 Long ABS-MBS USGSE US N 2 2049-04-01 Fixed 4.00000000 N N N N N N MPH Acquisition Holdings LLC 5493002WXOPRPTXWTU06 55328HAE1 196788.32000000 PA USD 187153.56000000 0.020261528871 Long LON CORP US N 2 2023-06-07 Floating 4.85000000 N N N N N N Southern California Edison Co 9R1Z5I36FERIBVKW4P77 842400FR9 226000.00000000 PA USD 231120.73000000 0.025021481524 Long DBT CORP US N 2 2021-06-01 Fixed 3.88000000 N N N N N N Sysco Corp 5RGWIFLMGH3YS7KWI652 871829BA4 225000.00000000 PA USD 226407.95000000 0.024511268798 Long DBT CORP US N 2 2021-07-15 Fixed 2.50000000 N N N N N N GS Mortgage Securities Trust 5493005BBCF84ICNQ550 36255TAA0 490000.00000000 PA USD 489589.67000000 0.053003721831 Long ABS-MBS CORP US Y 2 2031-09-15 Floating 3.33000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3132AEEY8 2771604.40000000 PA USD 2847171.72000000 0.308239137998 Long ABS-MBS USGSE US N 2 2049-05-01 Fixed 3.50000000 N N N N N N TRUST F/1401 N/A 898324AC2 685000.00000000 PA USD 730381.25000000 0.079072184276 Long DBT MX Y 2 2026-01-30 Fixed 5.25000000 N N N N N N JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 000000000 1.00000000 NC -0.85000000 -0.00000009202 N/A DFE US N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 287000.00000000 HKD 36617.04000000 USD 2019-10-03 -0.85000000 N N N Intesa Sanpaolo SpA 2W8N8UU78PMDQKZENC08 46115HBD8 287000.00000000 PA USD 285624.46000000 0.030922138177 Long DBT CORP IT Y 2 2028-01-12 Fixed 3.88000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3132WDKD5 226067.36000000 PA USD 242222.80000000 0.026223408497 Long ABS-MBS USGSE US N 2 2046-04-01 Fixed 4.50000000 N N N N N N Eurex Deutschland 529900LN3S50JPU47S06 000000000 -192.00000000 NC -36465378.27000000 -3.94779727748 N/A DIR DE N 1 Eurex Deutschland 529900LN3S50JPU47S06 Short Euro-Bund (FGBL) RXZ9 Comdty 2019-12-06 -33849723.80000000 EUR 429139.39000000 N N N HSI Asset Securitization Corp Trust N/A 40431JAA1 256242.38000000 PA USD 228548.91000000 0.024743052382 Long ABS-O CORP US N 2 2036-12-25 Floating 2.29000000 N N N N N N Union Pacific Corp 549300LMMRSZZCZ8CL11 907818ES3 60000.00000000 PA USD 64628.66000000 0.006996796964 Long DBT CORP US N 2 2025-07-15 Fixed 3.75000000 N N N N N N Chicago Board Of Trade 549300EX04Q2QBFQTQ27 000000000 32.00000000 NC USD 13148385.12000000 1.423464158130 N/A DIR US N 1 Chicago Board Of Trade 549300EX04Q2QBFQTQ27 Long 30 Day Federal Funds Futures FFK0 Comdty 2020-05-29 13154133.88000000 USD -5748.76000000 N N N ArcelorMittal 2EULGUTUI56JI9SAL165 03938LAX2 110000.00000000 PA USD 118991.40000000 0.012882189826 Long DBT CORP LU N 2 2022-02-25 Fixed 6.25000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3136A53L8 700000.00000000 PA USD 738077.90000000 0.079905435304 Long ABS-MBS USGSE US N 2 2042-05-25 Fixed 3.50000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31418A6J2 147347.14000000 PA USD 153322.48000000 0.016598924729 Long ABS-MBS USGSE US N 2 2034-02-01 Fixed 3.50000000 N N N N N N Ball Corp 0BGI85ALH27ZJP15DY16 058498AT3 110000.00000000 PA USD 121687.50000000 0.013174073710 Long DBT CORP US N 2 2025-07-01 Fixed 5.25000000 N N N N N N MALAYSIA GOVERNMENT 254900GSIL471JOBYY43 000000000 220000.00000000 PA 52567.90000000 0.005691080755 Long DBT NUSS MY N 2 2019-11-29 Fixed 4.38000000 N N N N N N US Bank NA/Cincinnati OH 6BYL5QZYBDK8S7L73M02 90331HNP4 250000.00000000 PA USD 254082.66000000 0.027507374967 Long DBT CORP US N 2 2021-04-26 Fixed 3.15000000 N N N N N N Greenpoint Manufactured Housing N/A 395383AW2 875000.00000000 PA USD 866562.46000000 0.093815369061 Long ABS-O CORP US N 2 2031-08-21 Floating 4.05000000 N N N N N N NOTA DO TESOURO NACIONAL 254900ZFY40OYEADAP90 EJ0602940 3316800.00000000 PA 908020.61000000 0.098303691395 Long DBT NUSS BR N 2 2023-01-01 Fixed 10.00000000 N N N N N N JP Morgan Mortgage Trust 5493002WZI1ZSAEIE710 46647SAJ9 734966.38000000 PA USD 743206.09000000 0.080460620948 Long ABS-MBS CORP US Y 2 2047-08-25 Variable 3.50000000 N N N N N N Celgene Corp 4SIHMF0MOSTTL8CD0X64 151020AR5 30000.00000000 PA USD 31169.08000000 0.003374411976 Long DBT CORP US N 2 2022-08-15 Fixed 3.55000000 N N N N N N Svenska Handelsbanken AB NHBDILHZTYCNBV5UYZ31 86960BAT9 250000.00000000 PA USD 255025.07000000 0.027609401706 Long DBT CORP SE N 2 2021-05-24 Fixed 3.35000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 36179TSG1 337095.11000000 PA USD 349501.97000000 0.037837614501 Long ABS-MBS USGA US N 2 2048-02-20 Fixed 3.50000000 N N N N N N Banc of America Funding Corporation 9DJT3UXIJIZJI4WXO774 06051GDM8 301450.50000000 PA USD 308515.44000000 0.033400350466 Long ABS-MBS CORP US N 2 2035-05-25 Variable 4.81000000 N N N N N N Republic of Indonesia 529900FWX0GRR7WG5W79 000000000 18935000000.00000000 PA 1423733.25000000 0.154135525664 Long DBT NUSS ID N 2 2029-05-15 Fixed 8.25000000 N N N N N N Sherwin-Williams Co/The Z15BMIOX8DDH0X2OBP21 824348AV8 704000.00000000 PA USD 727254.00000000 0.078733623438 Long DBT CORP US N 2 2024-06-01 Fixed 3.13000000 N N N N N N Edelman Financial Center, LLC N/A 27943UAJ5 69475.00000000 PA USD 69524.33000000 0.007526809640 Long LON CORP US N 2 2025-07-21 Floating 5.31000000 N N N N N N DISH DBS Corp N/A 25470XAY1 30000.00000000 PA USD 30570.00000000 0.003309554665 Long DBT CORP US N 2 2026-07-01 Fixed 7.75000000 N N N N N N Swedbank AB M312WZV08Y7LYUC71685 87020PAG2 252000.00000000 PA USD 252854.36000000 0.027374397342 Long DBT CORP SE Y 2 2021-03-10 Fixed 2.65000000 N N N N N N FHLMC Multifamily Structured Pass Through Certificates S6XOOCT0IEG5ABCC6L87 3137BHXJ1 1020000.00000000 PA USD 1068937.76000000 0.115724826641 Long ABS-MBS USGSE US N 2 2025-01-25 Fixed 3.02000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3128MJ6T2 1905658.68000000 PA USD 1956553.49000000 0.211819454713 Long ABS-MBS USGSE US N 2 2049-06-01 Fixed 3.50000000 N N N N N N United States Treasury 254900HROIFWPRGM1V77 912828YE4 6655000.00000000 PA USD 6562713.85000000 0.710489376473 Long DBT UST US N 2 2024-08-31 Fixed 1.25000000 N N N N N N BCAP LLC Trust 213800LBQA1Y9L22JB70 05533DBJ4 800551.16000000 PA USD 743415.66000000 0.080483309314 Long ABS-MBS CORP US Y 2 2035-08-26 Variable 4.04000000 N N N N N N AT&T Inc 549300Z40J86GGSTL398 00206RBD3 40000.00000000 PA USD 40818.79000000 0.004419104248 Long DBT CORP US N 2 2022-02-15 Fixed 3.00000000 N N N N N N Novartis Capital Corp 5493002KF87V5RSRQS84 66989HAM0 719000.00000000 PA USD 729747.99000000 0.079003626586 Long DBT CORP US N 2 2022-05-17 Fixed 2.40000000 N N N N N N Bangkok Bank PCL/Hong Kong 549300CCL2BKJGMYXV60 059895AN2 219000.00000000 PA USD 227142.42000000 0.024590783636 Long DBT CORP TH Y 2 2022-09-27 Fixed 3.88000000 N N N N N N GS Mortgage Securities Trust 549300ITVQSU1IHX4H03 36198FAM4 235000.00000000 PA USD 253065.84000000 0.027397292488 Long ABS-MBS CORP US Y 2 2046-08-10 Fixed 4.51000000 N N N N N N Express Scripts Holding Co 5493003UA6VMND084504 30219GAR9 278000.00000000 PA USD 279205.65000000 0.030227228050 Long DBT CORP US N 2 2020-11-30 Fixed 2.60000000 N N N N N N Change Healthcare Holdings LLC N/A 15911AAC7 108205.59000000 PA USD 107637.51000000 0.011653000437 Long LON CORP US N 2 2024-03-01 Floating 4.54000000 N N N N N N Energy Transfer Operating LP 5493008K8W3OKZE54J59 29278NAM5 653000.00000000 PA USD 726035.29000000 0.078601684041 Long DBT CORP US N 2 2024-01-15 Fixed 5.88000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 38378BT58 1730093.40000000 PA USD 61848.94000000 0.006695860252 Long ABS-MBS USGA US N 2 2053-01-16 Variable 0.57000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3132Y1A81 505330.09000000 PA USD 526735.03000000 0.057025134964 Long ABS-MBS USGSE US N 2 2048-07-01 Fixed 4.00000000 N N N N N N United Mexican States 254900EGTWEU67VP6075 91086QAV0 30000.00000000 PA USD 37762.80000000 0.004088258126 Long DBT NUSS MX N 2 2040-01-11 Fixed 6.05000000 N N N N N N Becton Dickinson and Co ICE2EP6D98PQUILVRZ91 075887BG3 8000.00000000 PA USD 9237.91000000 0.001000110177 Long DBT CORP US N 2 2044-12-15 Fixed 4.69000000 N N N N N N NCL Corp Ltd UNZWILHE4KMRP9K2L524 62886HAN1 24000.00000000 PA USD 24443.04000000 0.002646240662 Long DBT CORP BM Y 2 2021-12-15 Fixed 4.75000000 N N N N N N Winwater Mortgage Loan Trust 5493002CYMIHYUBDIR84 97652PAA9 600688.45000000 PA USD 616198.23000000 0.066710556977 Long ABS-MBS CORP US Y 2 2044-06-20 Variable 3.87000000 N N N N N N Royal Bank of Scotland Group PLC 2138005O9XJIJN4JPN90 780097BJ9 200000.00000000 PA USD 210344.57000000 0.022772222863 Long DBT CORP GB N 2 2024-06-25 Variable 4.52000000 N N N N N N Williams Partners LP WUURD1P1N0874ONXXO03 96950FAK0 155000.00000000 PA USD 180148.87000000 0.019503190485 Long DBT CORP US N 2 2043-11-15 Fixed 5.80000000 N N N N N N GS Mortgage Securities Trust 784F5XWPLTWKTBV3E584 36252TAR6 1342000.00000000 PA USD 1400720.28000000 0.151644106553 Long ABS-MBS CORP US N 2 2049-05-10 Fixed 3.05000000 N N N N N N Fresenius Medical Care US Finance II Inc 5493008GJ5TVVTY4UM62 35802XAJ2 110000.00000000 PA USD 118478.34000000 0.012826645170 Long DBT CORP US Y 2 2024-10-15 Fixed 4.75000000 N N N N N N Dryden Senior Loan Fund 5493008NBEE3C4AF3K95 262431AB5 1230000.00000000 PA USD 1227675.30000000 0.132909993997 Long ABS-CBDO CORP KY Y 2 2030-07-15 Floating 3.52000000 N N N N N N General Electric Co 3C7474T6CDKPR9K6YT90 369622SM8 130000.00000000 PA USD 134313.32000000 0.014540964174 Long DBT CORP US N 2 2021-02-11 Fixed 5.30000000 N N N N N N Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 000000000 9581000.00000000 OU Notional Amount USD -572758.89000000 -0.06200774800 N/A DIR US N 2 Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 ICE Libor USD 3 Months US0003M Index Y 2026-01-31 0.00000000 USD -127136.59000000 USD 9581000.00000000 USD -445622.30000000 N N N Union Pacific Corp 549300LMMRSZZCZ8CL11 907818EY0 400000.00000000 PA USD 441620.57000000 0.047810514154 Long DBT CORP US N 2 2028-09-10 Fixed 3.95000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3138EQHT2 295230.21000000 PA USD 307522.69000000 0.033292873842 Long ABS-MBS USGSE US N 2 2045-10-01 Fixed 3.50000000 N N N N N N Blue Racer Midstream LLC / Blue Racer Finance Corp N/A 095796AA6 30000.00000000 PA USD 30159.00000000 0.003265059180 Long DBT CORP US Y 2 2022-11-15 Fixed 6.13000000 N N N N N N Avolon TLB Borrower 1 (US) LLC 635400O84AGITYFZQB55 05400KAE0 109946.79000000 PA USD 110285.43000000 0.011939668281 Long LON CORP US N 2 2025-01-15 Floating 3.79000000 N N N N N N NOTA DO TESOURO NACIONAL 254900ZFY40OYEADAP90 000000000 4005000.00000000 PA 1043339.60000000 0.112953530932 Long DBT NUSS BR N 2 2021-01-01 Fixed 10.00000000 N N N N N N Intesa Sanpaolo SpA 2W8N8UU78PMDQKZENC08 46115HBC0 200000.00000000 PA USD 201668.63000000 0.021832952412 Long DBT CORP IT Y 2 2023-01-12 Fixed 3.38000000 N N N N N N Bank of America, National Association B4TYDEB6GKMZO031MB27 000000000 1.00000000 NC 15549.20000000 0.001683380026 N/A DFE TR N 2 Bank of America, National Association B4TYDEB6GKMZO031MB27 6057496.23000000 USD 34890890.00000000 TRY 2019-11-22 15549.20000000 N N N Bank of America, National Association B4TYDEB6GKMZO031MB27 000000000 1.00000000 NC -6449.93000000 -0.00069827922 N/A DFE US N 2 Bank of America, National Association B4TYDEB6GKMZO031MB27 34984070.00000000 HKD 4460226.96000000 USD 2019-11-22 -6449.93000000 N N N Home Depot Inc/The QEKMOTMBBKA8I816DO57 437076BG6 243000.00000000 PA USD 248626.58000000 0.026916691453 Long DBT CORP US N 2 2022-06-01 Fixed 2.63000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140HU5A0 300000.00000000 PA USD 315265.40000000 0.034131111395 Long ABS-MBS USGSE US N 2 2029-08-01 Fixed 2.79000000 N N N N N N AerCap Ireland Capital DAC / AerCap Global Aviation Trust 549300SZYINBBLJQU475 00772BAM3 652000.00000000 PA USD 685513.79000000 0.074214764859 Long DBT CORP IE N 2 2021-10-01 Fixed 5.00000000 N N N N N N Occidental Petroleum Corp IM7X0T3ECJW4C1T7ON55 674599CH6 50000.00000000 PA USD 50786.57000000 0.005498231261 Long DBT CORP US N 2 2026-04-15 Fixed 3.40000000 N N N N N N Celgene Corp 4SIHMF0MOSTTL8CD0X64 151020AU8 80000.00000000 PA USD 100375.85000000 0.010866842088 Long DBT CORP US N 2 2045-08-15 Fixed 5.00000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140FXG89 248818.01000000 PA USD 269528.40000000 0.029179554256 Long ABS-MBS USGSE US N 2 2057-09-01 Fixed 4.50000000 N N N N N N Comcast Corp 51M0QTTNCGUN7KFCFZ59 20030NCS8 200000.00000000 PA USD 217759.63000000 0.023574988530 Long DBT CORP US N 2 2025-10-15 Fixed 3.95000000 N N N N N N Asurion LLC 549300KNQVXGIOXWK278 04649VAT7 126628.95000000 PA USD 127081.02000000 0.013757984383 Long LON CORP US N 2 2022-08-04 Floating 5.04000000 N N N N N N Noble Energy Inc 02VFQXG2D1LR5ZH3K186 655044AH8 250000.00000000 PA USD 262106.78000000 0.028376078395 Long DBT CORP US N 2 2024-11-15 Fixed 3.90000000 N N N N N N Regions Financial Corp CW05CS5KW59QTC0DG824 7591EPAK6 722000.00000000 PA USD 730891.86000000 0.079127463691 Long DBT CORP US N 2 2021-02-08 Fixed 3.20000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 01F0326A7 500000.00000000 PA USD 512988.28000000 0.055536890915 Long ABS-MBS USGSE US N 2 2049-10-10 Fixed 3.50000000 N N N N N N Apache Corp 72ZZ1XRHOOU9P9X16K08 037411AZ8 16000.00000000 PA USD 16288.99000000 0.001763470816 Long DBT CORP US N 2 2022-04-15 Fixed 3.25000000 N N N N N N Citibank, National Association E57ODZWZ7FF32TWEFA76 000000000 1.00000000 NC -72199.31000000 -0.00781640704 N/A DFE BR N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 843959.51000000 USD 3210000.00000000 BRL 2019-10-17 -72199.31000000 N N N FHLMC Multifamily Structured Pass Through Certificates S6XOOCT0IEG5ABCC6L87 3137BN6G4 390000.00000000 PA USD 411018.97000000 0.044497538425 Long ABS-MBS USGSE US N 2 2025-12-25 Fixed 3.00000000 N N N N N N Royal Bank of Canada ES7IP3U3RHIGC71XBU11 000000000 1.00000000 NC 48174.31000000 0.005215424023 N/A DFE US N 2 Royal Bank of Canada ES7IP3U3RHIGC71XBU11 2800000.00000000 NZD 1804600.00000000 USD 2019-12-18 48174.31000000 N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 31334WP62 196385.86000000 PA USD 199425.93000000 0.021590154301 Long ABS-MBS USGSE US N 2 2049-06-01 Fixed 3.00000000 N N N N N N HCA Inc L3CJ6J7LJ2DX62FTXD46 404119BN8 50000.00000000 PA USD 54602.79000000 0.005911381039 Long DBT CORP US N 2 2024-03-15 Fixed 5.00000000 N N N N N N JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 000000000 1.00000000 NC 18216.46000000 0.001972141647 N/A DFE US N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 737000.00000000 CHF 756720.90000000 USD 2019-10-03 18216.46000000 N N N Santander UK PLC PTCQB104N23FMNK2RZ28 80283LAA1 676000.00000000 PA USD 717817.46000000 0.077712009274 Long DBT CORP GB Y 2 2023-11-07 Fixed 5.00000000 N N N N N N UnitedHealth Group Inc 549300GHBMY8T5GXDE41 91324PBM3 10000.00000000 PA USD 10145.10000000 0.001098323946 Long DBT CORP US N 2 2020-10-15 Fixed 3.88000000 N N N N N N UBS GROUP AG 549300SZJ9VS8SGXAN81 902613AA6 200000.00000000 PA USD 201417.47000000 0.021805761449 Long DBT CORP CH Y 2 2030-08-13 Variable 3.13000000 N N N N N N JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 000000000 1.00000000 NC 12315.45000000 0.001333289336 N/A DFE US N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 583402000.00000000 HUF 1911499.26000000 USD 2019-10-03 12315.45000000 N N N Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 000000000 2295000.00000000 OU Notional Amount USD -493003.22000000 -0.05337327794 N/A DIR US N 2 Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 ICE Libor USD 3 Months US0003M Index Y 2044-08-15 0.00000000 USD -10114.10000000 USD 2295000.00000000 USD -482889.12000000 N N N CANADIAN GOVERNMENT 4BFD7AQU0A75QLAHK410 135087F58 1578000.00000000 PA 1172628.43000000 0.126950536181 Long DBT NUSS CA N 2 2021-09-01 Fixed 0.75000000 N N N N N N BNC Mortgage Loan Trust 2007-1 N/A 05569GAD8 884812.35000000 PA USD 847223.22000000 0.091721673543 Long ABS-MBS CORP US N 2 2037-03-25 Floating 2.18000000 N N N N N N Jane Street Group, LLC N/A 47077DAC4 89547.74000000 PA USD 89211.94000000 0.009658220223 Long LON CORP US N 2 2022-08-25 Floating 5.04000000 N N N N N N NOTA DO TESOURO NACIONAL 254900ZFY40OYEADAP90 EK0169285 5766000.00000000 PA 1626301.80000000 0.176065904784 Long DBT NUSS BR N 2 2025-01-01 Fixed 10.00000000 N N N N N N Verizon Communications Inc 2S72QS2UO2OESLG6Y829 92343VES9 120000.00000000 PA USD 131788.97000000 0.014267674206 Long DBT CORP US N 2 2029-02-08 Fixed 3.88000000 N N N N N N Starbucks Corp OQSJ1DU9TAOC51A47K68 855244AQ2 220000.00000000 PA USD 238087.92000000 0.025775760103 Long DBT CORP US N 2 2025-08-15 Fixed 3.80000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3128MJ5S5 264277.79000000 PA USD 271749.43000000 0.029420006340 Long ABS-MBS USGSE US N 2 2049-01-01 Fixed 3.50000000 N N N N N N SINGAPORE GOVERNMENT 549300ZSV6VOGFH1ER70 000000000 1437000.00000000 PA 1078672.72000000 0.116778748208 Long DBT NUSS SG N 2 2025-06-01 Fixed 2.38000000 N N N N N N Northrop Grumman Corp RIMU48P07456QXSO0R61 666807BN1 310000.00000000 PA USD 325415.68000000 0.035229996136 Long DBT CORP US N 2 2028-01-15 Fixed 3.25000000 N N N N N N Citigroup Inc 6SHGI4ZSSLCXXQSBB395 172967KR1 220000.00000000 PA USD 256385.04000000 0.027756634125 Long DBT CORP US N 2 2046-05-18 Fixed 4.75000000 N N N N N N Intel Corp KNX4USFCNGPY45LOCE31 458140BG4 10000.00000000 PA USD 11175.57000000 0.001209884194 Long DBT CORP US N 2 2047-12-08 Fixed 3.73000000 N N N N N N Towd Point Mortgage Trust N/A 89173UAA5 606321.99000000 PA USD 610998.61000000 0.066147638212 Long ABS-O CORP US Y 2 2057-06-25 Variable 2.75000000 N N N N N N United Technologies Corp I07WOS4YJ0N7YRFE7309 913017BV0 100000.00000000 PA USD 102951.26000000 0.011145659889 Long DBT CORP US N 2 2022-06-01 Fixed 3.10000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 31292KZ67 220912.82000000 PA USD 244308.03000000 0.026449158666 Long ABS-MBS USGSE US N 2 2040-04-01 Fixed 5.00000000 N N N N N N Merrill Lynch, Pierce, Fenner & Smith Incorporated 8NAV47T0Y26Q87Y0QP81 000000000 -11.00000000 NC USD -2406.25000000 -0.00026050428 N/A DIR US N 1 Merrill Lynch, Pierce, Fenner & Smith Incorporated 8NAV47T0Y26Q87Y0QP81 Put Written Chicago Board Of Trade 549300EX04Q2QBFQTQ27 Chicago Board Of Trade 549300EX04Q2QBFQTQ27 N/A 11000.00000000 NC N/A -2406.25000000 0.00000000 DIR US Short 10 Year US Treasury Note TYZ9 Comdty 2019-12-19 11000.00000000 USD 1000.00000000 129.00000000 USD 2019-10-25 XXXX 2730.97000000 N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140EXDX8 149365.49000000 PA USD 153324.83000000 0.016599179143 Long ABS-MBS USGSE US N 2 2046-09-01 Fixed 3.00000000 N N N N N N Anthem Inc 8MYN82XMYQH89CTMTH67 036752AE3 278000.00000000 PA USD 278950.47000000 0.030199601876 Long DBT CORP US N 2 2020-11-21 Fixed 2.50000000 N N N N N N HCA Inc L3CJ6J7LJ2DX62FTXD46 404121AJ4 100000.00000000 PA USD 111430.00000000 0.012063581169 Long DBT CORP US N 2 2028-09-01 Fixed 5.63000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 36178WDM8 186236.53000000 PA USD 191728.61000000 0.020756830738 Long ABS-MBS USGA US N 2 2042-10-15 Fixed 3.00000000 N N N N N N Towd Point Mortgage Trust N/A 89173FAA8 1002963.64000000 PA USD 1012100.34000000 0.109571521161 Long ABS-O CORP US Y 2 2056-10-25 Variable 2.75000000 N N N N N N Santander UK Group Holdings PLC 549300F5XIFGNNW4CF72 80281LAA3 701000.00000000 PA USD 730672.20000000 0.079103682965 Long DBT CORP GB Y 2 2025-09-15 Fixed 4.75000000 N N N N N N IndyMac INDX Mortgage Loan Trust N/A 45661EAB0 544863.31000000 PA USD 514340.56000000 0.055683290803 Long ABS-MBS CORP US N 2 2046-04-25 Floating 2.23000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140FXEP3 268447.73000000 PA USD 294486.18000000 0.031881521454 Long ABS-MBS USGSE US N 2 2056-09-01 Fixed 5.50000000 N N N N N N Humana Inc 529900YLDW34GJAO4J06 444859BF8 200000.00000000 PA USD 212411.52000000 0.022995994012 Long DBT CORP US N 2 2027-03-15 Fixed 3.95000000 N N N N N N Goldman Sachs Group Inc/The 784F5XWPLTWKTBV3E584 38141GWL4 200000.00000000 PA USD 209971.43000000 0.022731826160 Long DBT CORP US N 2 2028-06-05 Variable 3.69000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3128MJXL9 458412.44000000 PA USD 483821.00000000 0.052379196849 Long ABS-MBS USGSE US N 2 2045-12-01 Fixed 4.00000000 N N N N N N United States Treasury 254900HROIFWPRGM1V77 912828J27 3790000.00000000 PA USD 3870241.43000000 0.418998219829 Long DBT UST US N 2 2025-02-15 Fixed 2.00000000 N N N N N N UnitedHealth Group Inc 549300GHBMY8T5GXDE41 91324PCQ3 100000.00000000 PA USD 121200.69000000 0.013121370919 Long DBT CORP US N 2 2035-07-15 Fixed 4.63000000 N N N N N N JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 000000000 1.00000000 NC 1614.02000000 0.000174736258 N/A DFE US N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 3739933.00000000 CNY 528127.23000000 USD 2019-10-17 1614.02000000 N N N FDIC Trust N/A 30250RAA2 13442.86000000 PA USD 13425.48000000 0.001453462871 Long ABS-MBS USGA US Y 2 2050-05-25 Fixed 2.18000000 N N N N N N Lloyds Bank PLC H7FNTJ4851HG0EXQ1Z70 53947NAA2 228000.00000000 PA USD 236024.98000000 0.025552423083 Long DBT CORP GB Y 2 2020-09-14 Fixed 6.50000000 N N N N N N American Airlines, Inc. IWUQB36BXD6OWD6X4T14 02377UAB0 99321.83000000 PA USD 104109.14000000 0.011271013738 Long DBT CORP US N 2 2023-01-15 Fixed 4.95000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3133KGNJ3 198973.89000000 PA USD 204708.94000000 0.022162100994 Long ABS-MBS USGSE US N 2 2049-09-01 Fixed 3.00000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 36179TNS0 223948.86000000 PA USD 233711.32000000 0.025301942735 Long ABS-MBS USGA US N 2 2047-12-20 Fixed 4.00000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 36179TAL9 771681.76000000 PA USD 808048.38000000 0.087480545821 Long ABS-MBS USGA US N 2 2047-06-20 Fixed 4.00000000 N N N N N N United Mexican States 254900EGTWEU67VP6075 91087BAB6 500000.00000000 PA USD 516205.00000000 0.055885137911 Long DBT NUSS MX N 2 2047-01-15 Fixed 4.35000000 N N N N N N United States Treasury 254900HROIFWPRGM1V77 912810RH3 920000.00000000 PA USD 1103137.50000000 0.119427342476 Long DBT UST US N 2 2044-08-15 Fixed 3.13000000 N N N N N N API GROUP DE INC TERM LOAN B N/A 000000000 100000.00000000 PA USD 100250.00000000 0.010853217376 Long LON CORP US N 2 2026-10-01 None 0.00000000 N N N N N N United States Small Business Administration 254900HROIFWPRGM1V77 83162CC68 70000.00000000 PA USD 72268.66000000 0.007823914977 Long ABS-O USGA US N 2 2044-07-01 Fixed 2.69000000 N N N N N N OCCIDENTAL PETROLEUM COR IM7X0T3ECJW4C1T7ON55 674599DB8 10000.00000000 PA USD 11732.35000000 0.001270162043 Long DBT CORP US N 2 2024-07-01 Fixed 6.95000000 N N N N N N Structured Asset Investment Loan Trust N/A 86358EWX0 617282.21000000 PA USD 616128.02000000 0.066702955936 Long ABS-O CORP US N 2 2035-09-25 Floating 2.74000000 N N N N N N JPMorgan Chase & Co 8I5DZWZKVSZI1NUHU748 46625HNJ5 30000.00000000 PA USD 32975.35000000 0.003569961512 Long DBT CORP US N 2 2027-10-01 Fixed 4.25000000 N N N N N N CVS HEALTH CORP 549300EJG376EN5NQE29 126650DE7 200000.00000000 PA USD 200690.35000000 0.021727042332 Long DBT CORP US N 2 2024-08-15 Fixed 2.63000000 N N N N N N COMM Mortgage Trust 549300NMFC2YLCA2NF13 12625XAA5 195000.00000000 PA USD 208891.76000000 0.022614939445 Long ABS-MBS CORP US Y 2 2030-08-10 Fixed 4.35000000 N N N N N N JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 000000000 1.00000000 NC 50927.24000000 0.005513460409 N/A DFE US N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 10521234.00000000 CNY 1532121.86000000 USD 2019-10-17 50927.24000000 N N N Lennar Corp 529900G61XVRLX5TJX09 526057CD4 100000.00000000 PA USD 107250.00000000 0.011611048015 Long DBT CORP US N 2 2027-11-29 Fixed 4.75000000 N N N N N N Anheuser-Busch InBev Worldwide Inc 549300CRGMZK3K53BF92 035240AL4 20000.00000000 PA USD 22079.53000000 0.002390363477 Long DBT CORP US N 2 2028-04-13 Fixed 4.00000000 N N N N N N UnitedHealth Group Inc 549300GHBMY8T5GXDE41 91324PCH3 40000.00000000 PA USD 40775.81000000 0.004414451168 Long DBT CORP US N 2 2021-12-15 Fixed 2.88000000 N N N N N N MALAYSIA GOVERNMENT 254900GSIL471JOBYY43 000000000 3921000.00000000 PA 953111.10000000 0.103185256378 Long DBT NUSS MY N 2 2022-03-10 Fixed 3.88000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 21H0406A6 500000.00000000 PA USD 519990.24000000 0.056294933747 Long ABS-MBS USGA US N 2 2049-10-21 Fixed 4.00000000 N N N N N N GlaxoSmithKline Capital PLC 549300U0LV41VX7LEP38 377373AD7 256000.00000000 PA USD 261364.78000000 0.028295748347 Long DBT CORP GB N 2 2022-05-08 Fixed 2.85000000 N N N N N N Republic of Peru 254900STKLK2DBJJZ530 715638BM3 160000.00000000 PA USD 234401.60000000 0.025376673497 Long DBT NUSS PE N 2 2050-11-18 Fixed 5.63000000 N N N N N N Wells Fargo & Co PBLD0EJDB5FWOLXP3B76 949746SJ1 200000.00000000 PA USD 203021.49000000 0.021979415092 Long DBT CORP US N 2 2023-10-31 Floating 3.49000000 N N N N N N Dow Chemical Co/The ZQUIP1CSZO8LXRBSOU78 260543CJ0 694000.00000000 PA USD 724166.24000000 0.078399337847 Long DBT CORP US N 2 2024-10-01 Fixed 3.50000000 N N N N N N JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 000000000 1.00000000 NC -24696.31000000 -0.00267366005 N/A DFE GB N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 3388082.16000000 USD 2734000.00000000 GBP 2019-10-15 -24696.31000000 N N N JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 000000000 1.00000000 NC -34882.26000000 -0.00377640648 N/A DFE SE N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 3011189.10000000 USD 29297000.00000000 SEK 2019-10-03 -34882.26000000 N N N JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 000000000 1.00000000 NC 2288.28000000 0.000247732670 N/A DFE GB N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 1015092.88000000 USD 827000.00000000 GBP 2019-10-15 2288.28000000 N N N FHLMC Multifamily Structured Pass Through Certificates S6XOOCT0IEG5ABCC6L87 3137FCJK1 329000.00000000 PA USD 356468.11000000 0.038591779406 Long ABS-MBS USGSE US N 2 2027-11-25 Variable 3.30000000 N N N N N N Occidental Petroleum Corp IM7X0T3ECJW4C1T7ON55 674599CJ2 20000.00000000 PA USD 20350.15000000 0.002203138170 Long DBT CORP US N 2 2046-04-15 Fixed 4.40000000 N N N N N N Sprint Capital Corp 549300L17W0GQBR1PO80 852060AT9 370000.00000000 PA USD 456376.50000000 0.049408013564 Long DBT CORP US N 2 2032-03-15 Fixed 8.75000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140X4P34 99694.54000000 PA USD 101459.39000000 0.010984147775 Long ABS-MBS USGSE US N 2 2049-08-01 Fixed 3.00000000 N N N N N N Charter Communications Operating LLC / Charter Communications Operating Capital 0J0XRGZE3PBRFEZ7MV65 161175AZ7 40000.00000000 PA USD 48453.77000000 0.005245678788 Long DBT CORP US N 2 2035-10-23 Fixed 6.38000000 N N N N N N Charter Communications Operating, LLC 549300TPZNMN50BJ3745 16117LBS7 157455.56000000 PA USD 158321.57000000 0.017140133810 Long LON CORP US N 2 2025-04-30 Floating 4.05000000 N N N N N N Albertsons, LLC 549300MBYHQDK18CKL60 01310TAX7 19215.76000000 PA USD 19324.71000000 0.002092122477 Long LON CORP US N 2 2025-11-17 Floating 4.79000000 N N N N N N PMT Credit Risk Transfer Trust N/A 73021CAA3 404059.29000000 PA USD 403908.13000000 0.043727708078 Long ABS-MBS CORP US Y 2 2024-03-27 Floating 4.14000000 N N N N N N Telefonica Emisiones SAU 549300Y5MFC4SW5Z3K71 87938WAM5 40000.00000000 PA USD 40639.88000000 0.004399735179 Long DBT CORP ES N 2 2020-04-27 Fixed 5.13000000 N N N N N N Intelsat Jackson Holdings S.A. 8XJ8KF85PBKK1TLMFN29 L5137LAF2 90000.00000000 PA USD 90197.10000000 0.009764875142 Long LON CORP LU N 2 2023-11-27 Floating 5.80000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31417WUF6 50134.71000000 PA USD 55913.23000000 0.006053251265 Long ABS-MBS USGSE US N 2 2040-01-01 Fixed 5.50000000 N N N N N N Teva Pharmaceutical Finance Co BV 549300Q840R30TDKVK53 88165FAF9 10000.00000000 PA USD 9250.00000000 0.001001419059 Long DBT CORP CW N 2 2021-11-10 Fixed 3.65000000 N N N N N N Hanesbrands Inc GX5LWVWZLL5S4W1L2F20 410345AJ1 10000.00000000 PA USD 10537.60000000 0.001140816592 Long DBT CORP US Y 2 2024-05-15 Fixed 4.63000000 N N N N N N JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 000000000 1.00000000 NC 3647.63000000 0.000394897968 N/A DFE US N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 4172000.00000000 BRL 1005785.92000000 USD 2019-10-30 3647.63000000 N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31418RHG9 129450.58000000 PA USD 138113.29000000 0.014952354702 Long ABS-MBS USGSE US N 2 2025-04-01 Fixed 4.50000000 N N N N N N Altria Group Inc XSGZFLO9YTNO9VCQV219 02209SBD4 380000.00000000 PA USD 416718.61000000 0.045114590114 Long DBT CORP US N 2 2029-02-14 Fixed 4.80000000 N N N N N N United States Small Business Administration 254900HROIFWPRGM1V77 831641FM2 197856.80000000 PA USD 207598.89000000 0.022474971373 Long ABS-O USGA US N 2 2029-03-10 Fixed 3.11000000 N N N N N N Waste Management Inc 549300YX8JIID70NFS41 94106LBK4 40000.00000000 PA USD 46760.52000000 0.005062364969 Long DBT CORP US N 2 2049-07-15 Fixed 4.15000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 01F0506A9 200000.00000000 PA USD 214242.19000000 0.023194185129 Long ABS-MBS USGSE US N 2 2049-10-10 Fixed 5.00000000 N N N N N N Cimarex Energy Co 11KYOFXPU1C4CQL1CL44 171798AC5 10000.00000000 PA USD 10508.70000000 0.001137687834 Long DBT CORP US N 2 2024-06-01 Fixed 4.38000000 N N N N N N Chicago Board Of Trade 549300EX04Q2QBFQTQ27 000000000 243.00000000 NC USD 46633218.75000000 5.048583142574 N/A DIR US N 1 Chicago Board Of Trade 549300EX04Q2QBFQTQ27 Long US Treasury Ultra Long Bond WNZ9 Comdty 2019-12-19 46879408.49000000 USD -246189.74000000 N N N Andeavor CMTK1YBYNLPLIS3QLI53 03349MAD7 225000.00000000 PA USD 242027.96000000 0.026202314822 Long DBT CORP US N 2 2026-12-15 Fixed 5.13000000 N N N N N N Visa Inc 549300JZ4OKEHW3DPJ59 92826CAF9 590000.00000000 PA USD 731619.68000000 0.079206258590 Long DBT CORP US N 2 2045-12-14 Fixed 4.30000000 N N N N N N JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 000000000 1.00000000 NC -14243.86000000 -0.00154206193 N/A DFE NO N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 2363139.40000000 USD 21369000.00000000 NOK 2019-10-03 -14243.86000000 N N N Danske Bank A/S MAES062Z21O4RZ2U7M96 23636AAS0 400000.00000000 PA USD 420552.00000000 0.045529598742 Long DBT CORP DK Y 2 2022-01-12 Fixed 5.00000000 N N N N N N Option One Mortgage Loan Trust N/A 68402VAF9 837990.36000000 PA USD 840184.30000000 0.090959629365 Long ABS-MBS CORP US N 2 2037-01-25 Variable 5.86000000 N N N N N N Republic of Indonesia 529900FWX0GRR7WG5W79 000000000 430000.00000000 PA USD 443329.11000000 0.047995483291 Long DBT NUSS ID Y 2 2022-04-25 Fixed 3.75000000 N N N N N N Standard Chartered Bank RILFO74KP1CM8P6PCT96 000000000 1.00000000 NC -12685.79000000 -0.00137338290 N/A DFE CA N 2 Standard Chartered Bank RILFO74KP1CM8P6PCT96 1856769.98000000 USD 2440000.00000000 CAD 2019-12-18 -12685.79000000 N N N Allergan Sales LLC 254900TUPGX2F5Y3AU71 345838AA4 687000.00000000 PA USD 721726.94000000 0.078135255521 Long DBT CORP US Y 2 2021-12-15 Fixed 5.00000000 N N N N N N JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 000000000 1.00000000 NC 250.52000000 0.000027121675 N/A DFE US N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 524000.00000000 HKD 67106.87000000 USD 2019-10-03 250.52000000 N N N AstraZeneca PLC PY6ZZQWO2IZFZC3IOL08 046353AQ1 403000.00000000 PA USD 405971.30000000 0.043951069998 Long DBT CORP GB N 2 2022-06-12 Fixed 2.38000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140HSLE9 370000.00000000 PA USD 409831.05000000 0.044368932400 Long ABS-MBS USGSE US N 2 2029-01-01 Fixed 3.54000000 N N N N N N Dell International LLC N/A 24702NBE9 47020.93000000 PA USD 47226.88000000 0.005112853811 Long LON CORP US N 2 2025-09-19 Floating 4.05000000 N N N N N N Northrop Grumman Corp RIMU48P07456QXSO0R61 666807BM3 80000.00000000 PA USD 82477.04000000 0.008929089712 Long DBT CORP US N 2 2025-01-15 Fixed 2.93000000 N N N N N N NORWEGIAN GOVERNMENT 549300O6E2WAK3IAXE34 000000000 3345000.00000000 PA 390414.54000000 0.042266871515 Long DBT NUSS NO Y 2 2028-04-26 Fixed 2.00000000 N N N N N N Philip Morris International Inc HL3H1H2BGXWVG3BSWR90 718172AT6 90000.00000000 PA USD 90912.78000000 0.009842355746 Long DBT CORP US N 2 2022-08-22 Fixed 2.50000000 N N N N N N United States Treasury 254900HROIFWPRGM1V77 912828S27 12245000.00000000 PA USD 12123506.58000000 1.312509249614 Long DBT UST US N 2 2021-06-30 Fixed 1.13000000 N N N N N N JPMorgan Chase & Co 8I5DZWZKVSZI1NUHU748 46625HJY7 100000.00000000 PA USD 106540.14000000 0.011534197493 Long DBT CORP US N 2 2024-09-10 Fixed 3.88000000 N N N N N N Banco Santander S.A. 5493006QMFDDMYWIAM13 05964HAG0 200000.00000000 PA USD 208435.14000000 0.022565505069 Long DBT CORP ES N 2 2023-04-12 Fixed 3.85000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 36178NF95 122251.69000000 PA USD 125856.67000000 0.013625434391 Long ABS-MBS USGA US N 2 2042-09-15 Fixed 3.00000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140HN5B4 1032165.46000000 PA USD 1088675.78000000 0.117861694688 Long ABS-MBS USGSE US N 2 2048-08-01 Fixed 4.50000000 N N N N N N Duke Energy Corp I1BZKREC126H0VB1BL91 26441CAN5 682000.00000000 PA USD 723093.93000000 0.078283247936 Long DBT CORP US N 2 2024-04-15 Fixed 3.75000000 N N N N N N Madison Park Funding Ltd N/A 55819BAL4 872000.00000000 PA USD 872007.85000000 0.094404895259 Long ABS-CBDO CORP KY Y 2 2030-10-21 Floating 3.47000000 N N N N N N JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 000000000 1.00000000 NC -93514.90000000 -0.01012406521 N/A DFE NO N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 1397724.06000000 USD 11865000.00000000 NOK 2019-10-03 -93514.90000000 N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3133KGP44 199653.38000000 PA USD 204051.19000000 0.022090891979 Long ABS-MBS USGSE US N 2 2049-09-01 Fixed 3.00000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3128M8MJ0 1204475.27000000 PA USD 1299998.87000000 0.140739853614 Long ABS-MBS USGSE US N 2 2041-03-01 Fixed 4.00000000 N N N N N N Diageo Investment Corp S4G8DPIPDVCF6CB81Z61 25245BAB3 90000.00000000 PA USD 92057.40000000 0.009966274047 Long DBT CORP US N 2 2022-05-11 Fixed 2.88000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3132QLSG9 21159.67000000 PA USD 22360.17000000 0.002420745990 Long ABS-MBS USGSE US N 2 2044-12-01 Fixed 4.00000000 N N N N N N Park Aerospace Holdings Ltd 635400CPI3EOIFF6OC33 70014LAA8 50000.00000000 PA USD 52695.00000000 0.005704840794 Long DBT CORP KY Y 2 2022-08-15 Fixed 5.25000000 N N N N N N JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 000000000 1.00000000 NC 17655.81000000 0.001911444826 N/A DFE US N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 741000.00000000 CHF 760168.41000000 USD 2019-10-03 17655.81000000 N N N Aetna Inc 549300QKBENKLBXQ8968 00817YAV0 30000.00000000 PA USD 30381.76000000 0.003289175516 Long DBT CORP US N 2 2023-06-15 Fixed 2.80000000 N N N N N N Goldman Sachs Group Inc/The 784F5XWPLTWKTBV3E584 38141GWZ3 50000.00000000 PA USD 54545.75000000 0.005905205802 Long DBT CORP US N 2 2029-05-01 Variable 4.22000000 N N N N N N Harris Corp 549300UTE50ZMDBG8A20 413875AT2 40000.00000000 PA USD 50219.29000000 0.005436816666 Long DBT CORP US N 2 2045-04-27 Fixed 5.05000000 N N N N N N Diamondback Energy Inc 549300R22LSX6OHWEN64 25278XAH2 30000.00000000 PA USD 31306.80000000 0.003389321753 Long DBT CORP US N 2 2025-05-31 Fixed 5.38000000 N N N N N N Blackbird Capital Aircraft Lease Securitization Ltd N/A 09228YAA0 852000.00000000 PA USD 848586.72000000 0.091869288126 Long ABS-O CORP KY Y 2 2041-12-16 Variable 2.49000000 N N N N N N BP Capital Markets America Inc 5493009NTB34VXE1T760 10373QAJ9 10000.00000000 PA USD 10297.15000000 0.001114785110 Long DBT CORP US N 2 2022-05-06 Fixed 3.25000000 N N N N N N Merrill Lynch, Pierce, Fenner & Smith Incorporated 8NAV47T0Y26Q87Y0QP81 000000000 72.00000000 NC USD 96300.00000000 0.010425584372 N/A DIR US N 1 Merrill Lynch, Pierce, Fenner & Smith Incorporated 8NAV47T0Y26Q87Y0QP81 Call Purchased ICE Futures Europe 549300UF4R84F48NCH34 ICE Futures Europe 549300UF4R84F48NCH34 N/A 180000.00000000 NC N/A 96300.00000000 0.01000000 DIR US Long Eurodollar Time Deposit EDZ0 Comdty 2020-12-14 180000.00000000 USD 2500.00000000 98.00000000 USD 2019-12-13 XXXX 67348.80000000 N N N Citigroup Global Markets Inc. MBNUM2BPBDO7JBLYG310 000000000 4000000.00000000 OU Notional Amount 30133.04000000 0.003262248711 N/A DIR US N 2 Citigroup Global Markets Inc. MBNUM2BPBDO7JBLYG310 Brazil Cetip DI Interbank Deposit Rate BZDIOVRA Index Y 2020-01-02 2425.37000000 BRL 0.00000000 BRL 4000000.00000000 BRL 29710.62000000 N N N Danone SA 969500KMUQ2B6CBAF162 23636TAC4 890000.00000000 PA USD 888656.92000000 0.096207348883 Long DBT CORP FR Y 2 2021-11-02 Fixed 2.08000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3133KGQG6 699130.69000000 PA USD 710724.24000000 0.076944086495 Long ABS-MBS USGSE US N 2 2049-09-01 Fixed 3.00000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140JPKH7 3617490.09000000 PA USD 3720720.96000000 0.402810906482 Long ABS-MBS USGSE US N 2 2049-05-01 Fixed 3.50000000 N N N N N N Apple Inc HWUPKR0MPOU8FGXBT394 037833BX7 100000.00000000 PA USD 125923.77000000 0.013632698739 Long DBT CORP US N 2 2046-02-23 Fixed 4.65000000 N N N N N N Delhaize America LLC 9VB3APGHFWSQ4ECW4316 246688AF2 154000.00000000 PA USD 231805.07000000 0.025095569212 Long DBT CORP US N 2 2031-04-15 Fixed 9.00000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3136AYSU8 70289.44000000 PA USD 11679.67000000 0.001264458826 Long ABS-MBS USGSE US N 2 2047-11-25 Floating 4.18000000 N N N N N N Westpac Banking Corp EN5TNI6CI43VEPAMHL14 961214CS0 80000.00000000 PA USD 80515.90000000 0.008716773715 Long DBT CORP AU N 2 2020-11-23 Fixed 2.60000000 N N N N N N Towd Point Mortgage Trust N/A 89169DAA9 480925.47000000 PA USD 482268.02000000 0.052211068874 Long ABS-O CORP US Y 2 2057-07-25 Variable 2.75000000 N N N N N N Time Warner Cable LLC 549300U5NFR7S6E3GM41 88732JAY4 120000.00000000 PA USD 134273.28000000 0.014536629383 Long DBT CORP US N 2 2040-11-15 Fixed 5.88000000 N N N N N N Chicago Board Of Trade 549300EX04Q2QBFQTQ27 000000000 -4.00000000 NC USD -767625.00000000 -0.08310424926 N/A DIR US N 1 Chicago Board Of Trade 549300EX04Q2QBFQTQ27 Short US Treasury Ultra Long Bond WNZ9 Comdty 2019-12-19 -744115.84000000 USD -23509.16000000 N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3132Y33H5 76417.48000000 PA USD 81926.77000000 0.008869516645 Long ABS-MBS USGSE US N 2 2048-11-01 Fixed 5.00000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31405JNS9 2123.26000000 PA USD 2341.60000000 0.000253505175 Long ABS-MBS USGSE US N 2 2034-09-01 Fixed 5.50000000 N N N N N N Caesars Entertainment Operating Company N/A 12768PAB7 94633.87000000 PA USD 94569.52000000 0.010238239977 Long LON CORP US N 2 2024-10-06 Floating 4.04000000 N N N N N N SINGAPORE GOVERNMENT 549300ZSV6VOGFH1ER70 000000000 1670000.00000000 PA 1255384.73000000 0.135909859006 Long DBT NUSS SG N 2 2023-07-01 Fixed 2.75000000 N N N N N N Anthem Inc 8MYN82XMYQH89CTMTH67 94973VAW7 40000.00000000 PA USD 40939.53000000 0.004432175744 Long DBT CORP US N 2 2021-08-15 Fixed 3.70000000 N N N N N N Lockheed Martin Corp DPRBOZP0K5RM2YE8UU08 539830BK4 10000.00000000 PA USD 11979.75000000 0.001296945943 Long DBT CORP US N 2 2036-05-15 Fixed 4.50000000 N N N N N N Fannie Mae - ACES B1V7KEBTPIMZEU4LTD58 3136B35Z9 90000.00000000 PA USD 100514.34000000 0.010881835226 Long ABS-MBS USGSE US N 2 2031-02-25 Fixed 3.61000000 N N N N N N FHLMC Multifamily Structured Pass Through Certificates S6XOOCT0IEG5ABCC6L87 3137BJP64 400000.00000000 PA USD 423771.40000000 0.045878135880 Long ABS-MBS USGSE US N 2 2025-03-25 Fixed 3.21000000 N N N N N N Citibank, National Association E57ODZWZ7FF32TWEFA76 000000000 1.00000000 NC 11755.44000000 0.001272661802 N/A DFE US N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 472800.00000000 BRL 125427.78000000 USD 2019-10-17 11755.44000000 N N N The Bank of New York Mellon HPFHU0OQ28E4N0NFVK49 000000000 1.00000000 NC 31906.80000000 0.003454278665 N/A DFE US N 2 The Bank of New York Mellon HPFHU0OQ28E4N0NFVK49 2660000.00000000 AUD 1831662.70000000 USD 2019-12-18 31906.80000000 N N N HSBC Holdings PLC MLU0ZO3ML4LN2LL2TL39 404280BF5 721000.00000000 PA USD 726173.90000000 0.078616690170 Long DBT CORP GB N 2 2022-01-05 Fixed 2.65000000 N N N N N N Republic of Argentina 549300KPBYGYF7HCHO27 040114GX2 170000.00000000 PA USD 74801.70000000 0.008098145737 Long DBT NUSS AR N 2 2026-04-22 Fixed 7.50000000 N N N N N N Navient Student Loan Trust N/A 63939FAB6 179325.04000000 PA USD 177360.14000000 0.019201278336 Long ABS-O CORP US N 2 2040-04-25 Floating 2.62000000 N N N N N N Bank of America Corp 9DJT3UXIJIZJI4WXO774 060505EN0 50000.00000000 PA USD 54625.00000000 0.005913785527 Long DBT CORP US N 2 2025-03-17 Variable 6.10000000 N N N N N N NORWEGIAN GOVERNMENT 549300O6E2WAK3IAXE34 000000000 902000.00000000 PA 102774.05000000 0.011126474865 Long DBT NUSS NO Y 2 2027-02-17 Fixed 1.75000000 N N N N N N Toll Brothers Finance Corp N/A 88947EAN0 30000.00000000 PA USD 31425.00000000 0.003402118264 Long DBT CORP US N 2 2023-04-15 Fixed 4.38000000 N N N N N N Targa Resources Partners LP / Targa Resources Partners Finance Corp 5493003QENHHS261UR94 87612BAP7 20000.00000000 PA USD 20150.00000000 0.002181469627 Long DBT CORP US N 2 2023-11-15 Fixed 4.25000000 N N N N N N BP Capital Markets America Inc 5493009NTB34VXE1T760 10373QAW0 290000.00000000 PA USD 301157.72000000 0.032603792515 Long DBT CORP US N 2 2023-11-28 Fixed 3.22000000 N N N N N N International Lease Finance Corp 549300SZYINBBLJQU475 459745GK5 50000.00000000 PA USD 56750.83000000 0.006143931114 Long DBT CORP US N 2 2022-01-15 Fixed 8.63000000 N N N N N N Focus Financial Partners, LLC N/A 34416DAS7 29840.81000000 PA USD 29936.60000000 0.003240981818 Long LON CORP US N 2 2024-07-03 Floating 4.54000000 N N N N N N Aramark Services, Inc. 42YMHYH0XMHJEXDUB065 03852JAL5 48068.00000000 PA USD 48088.19000000 0.005206100541 Long LON CORP US N 2 2025-03-11 Floating 3.79000000 N N N N N N Bristol-Myers Squibb Co HLYYNH7UQUORYSJQCN42 110122BZ0 290000.00000000 PA USD 299241.81000000 0.032396373186 Long DBT CORP US Y 2 2024-07-26 Fixed 2.90000000 N N N N N N 1011778 BC ULC / New Red Finance Inc N/A 68245XAC3 120000.00000000 PA USD 123445.20000000 0.013364364983 Long DBT CORP CA Y 2 2024-05-15 Fixed 4.25000000 N N N N N N Benchmark Mortgage Trust N/A 08162TBB8 1567000.00000000 PA USD 1823575.25000000 0.197423028329 Long ABS-MBS CORP US N 2 2053-05-15 Fixed 4.51000000 N N N N N N Exelon Generation Co LLC S2PEWKCZFFECR4533P43 30161MAN3 615000.00000000 PA USD 731823.48000000 0.079228322288 Long DBT CORP US N 2 2042-06-15 Fixed 5.60000000 N N N N N N WaMu Mortgage Pass-Through Certificates Series N/A 92922FPT9 487020.37000000 PA USD 494902.60000000 0.053578907708 Long ABS-MBS CORP US N 2 2034-06-25 Variable 4.50000000 N N N N N N iHeartCommunications, Inc. 54930076J6KDZL504O62 45175AAB7 96729.35000000 PA USD 97301.02000000 0.010533956319 Long LON CORP US N 2 2026-05-01 Floating 6.10000000 N N N N N N FannieMae Whole Loan B1V7KEBTPIMZEU4LTD58 31393YKM6 160722.56000000 PA USD 185684.03000000 0.020102435320 Long ABS-MBS USGSE US N 2 2047-02-25 Fixed 6.00000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31371L2J7 2742.10000000 PA USD 2882.57000000 0.000312071409 Long ABS-MBS USGSE US N 2 2024-12-01 Fixed 4.50000000 N N N N N N SINGAPORE GOVERNMENT 549300ZSV6VOGFH1ER70 000000000 569000.00000000 PA 428967.91000000 0.046440717951 Long DBT NUSS SG N 2 2022-09-01 Fixed 3.13000000 N N N N N N SINGAPORE GOVERNMENT 549300ZSV6VOGFH1ER70 000000000 3616000.00000000 PA 2685543.54000000 0.290741025563 Long DBT NUSS SG N 2 2026-06-01 Fixed 2.13000000 N N N N N N Bank of America Corp 9DJT3UXIJIZJI4WXO774 06051GHS1 30000.00000000 PA USD 35443.97000000 0.003837218065 Long DBT CORP US N 2 2050-03-15 Variable 4.33000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140X4TQ9 400000.00000000 PA USD 422150.51000000 0.045702655865 Long ABS-MBS USGSE US N 2 2049-04-01 Fixed 4.50000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31416VBR4 414170.61000000 PA USD 446195.12000000 0.048305761890 Long ABS-MBS USGSE US N 2 2035-04-01 Fixed 4.50000000 N N N N N N LSTAR Securities Investment Ltd N/A 54912JAA0 444554.78000000 PA USD 445079.93000000 0.048185029726 Long ABS-MBS CORP US Y 2 2024-05-01 Floating 3.59000000 N N N N N N Amazon.com Inc ZXTILKJKG63JELOEG630 023135BC9 220000.00000000 PA USD 233814.90000000 0.025313156463 Long DBT CORP US N 2 2027-08-22 Fixed 3.15000000 N N N N N N Merrill Lynch, Pierce, Fenner & Smith Incorporated 8NAV47T0Y26Q87Y0QP81 000000000 -36.00000000 NC USD -69750.00000000 -0.00755124101 N/A DIR US N 1 Merrill Lynch, Pierce, Fenner & Smith Incorporated 8NAV47T0Y26Q87Y0QP81 Call Written ICE Futures Europe 549300UF4R84F48NCH34 ICE Futures Europe 549300UF4R84F48NCH34 N/A 90000.00000000 NC N/A -69750.00000000 -0.01000000 DIR US Short Eurodollar Time Deposit EDZ0 Comdty 2020-12-14 90000.00000000 USD 2500.00000000 97.75000000 USD 2019-12-13 XXXX -46425.60000000 N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3133KGTS7 490000.00000000 PA USD 499965.00000000 0.054126970827 Long ABS-MBS USGSE US N 2 2049-10-01 Fixed 3.00000000 N N N N N N Comcast Corp 51M0QTTNCGUN7KFCFZ59 20030NBV2 290000.00000000 PA USD 288886.47000000 0.031275288338 Long DBT CORP US N 2 2022-01-15 Fixed 1.63000000 N N N N N N JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 000000000 1.00000000 NC 8655.51000000 0.000937058668 N/A DFE US N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 5510000.00000000 PEN 1642080.17000000 USD 2019-10-25 8655.51000000 N N N ML-CFC Commercial Mortgage Trust 9DJT3UXIJIZJI4WXO774 55312YAR3 184676.33000000 PA USD 113206.59000000 0.012255917503 Long ABS-MBS CORP US Y 2 2048-08-12 Variable 5.45000000 N N N N N N Caesars Resort Collection, LLC 549300V3UCT773B1KR38 12769LAB5 138996.89000000 PA USD 138023.91000000 0.014942678287 Long LON CORP US N 2 2024-12-22 Floating 4.79000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140HSQV6 490000.00000000 PA USD 551592.39000000 0.059716230540 Long ABS-MBS USGSE US N 2 2029-01-01 Fixed 3.83000000 N N N N N N Hanesbrands Inc GX5LWVWZLL5S4W1L2F20 410345AL6 70000.00000000 PA USD 73955.00000000 0.008006480708 Long DBT CORP US Y 2 2026-05-15 Fixed 4.88000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3132XCRW7 298886.70000000 PA USD 307679.45000000 0.033309844917 Long ABS-MBS USGSE US N 2 2046-10-01 Fixed 3.00000000 N N N N N N FHLMC Multifamily Structured Pass Through Certificates S6XOOCT0IEG5ABCC6L87 3137AXHP1 1530000.00000000 PA USD 1554796.40000000 0.168324621494 Long ABS-MBS USGSE US N 2 2022-09-25 Fixed 2.57000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140HVBS2 100000.00000000 PA USD 105112.69000000 0.011379659586 Long ABS-MBS USGSE US N 2 2031-08-01 Fixed 2.85000000 N N N N N N JPMorgan Chase & Co 8I5DZWZKVSZI1NUHU748 46625HLL2 100000.00000000 PA USD 124144.65000000 0.013440088504 Long DBT CORP US N 2 2045-06-01 Fixed 4.95000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3128MJ2D1 369688.72000000 PA USD 388019.44000000 0.042007574349 Long ABS-MBS USGSE US N 2 2047-07-01 Fixed 4.00000000 N N N N N N JPMorgan Chase & Co 8I5DZWZKVSZI1NUHU748 46625HHU7 300000.00000000 PA USD 306775.73000000 0.033212006817 Long DBT CORP US N 2 2020-10-15 Fixed 4.25000000 N N N N N N American Tower Corp 5493006ORUSIL88JOE18 03027XAL4 230000.00000000 PA USD 230259.94000000 0.024928291090 Long DBT US N 2 2022-01-15 Fixed 2.25000000 N N N N N N Becton Dickinson and Co ICE2EP6D98PQUILVRZ91 075887BF5 706000.00000000 PA USD 747112.99000000 0.080883587880 Long DBT CORP US N 2 2024-12-15 Fixed 3.73000000 N N N N N N Comcast Corp 51M0QTTNCGUN7KFCFZ59 20030NCR0 260000.00000000 PA USD 277217.47000000 0.030011984662 Long DBT CORP US N 2 2024-04-15 Fixed 3.70000000 N N N N N N JP Morgan Mortgage Trust 5493002WZI1ZSAEIE710 46651DAC0 1026000.00000000 PA USD 1036873.14000000 0.112253462143 Long ABS-MBS CORP US Y 2 2050-02-25 Variable 3.50000000 N N N N N N Popular ABS Mortgage Pass-Through Trust 5493008HBHIV1FF22L18 73316QAC2 1349326.72000000 PA USD 1332523.28000000 0.144260995676 Long ABS-O CORP US N 2 2036-11-25 Floating 2.28000000 N N N N N N Citibank, National Association E57ODZWZ7FF32TWEFA76 000000000 1.00000000 NC -18794.74000000 -0.00203474711 N/A DFE JP N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 1859996.73000000 USD 198000000.00000000 JPY 2019-12-18 -18794.74000000 N N N United States Treasury 254900HROIFWPRGM1V77 912796RT8 10731600.00000000 PA USD 10681517.88000000 1.156397361185 Long DBT UST US N 2 2020-01-02 None 0.00000000 N N N N N N Valero Energy Corp 549300XTO5VR8SKV1V74 91913YAP5 151000.00000000 PA USD 255656.01000000 0.027677708229 Long DBT CORP US N 2 2039-03-15 Fixed 10.50000000 N N N N N N Renaissance Home Equity Loan Trust N/A 759950GY8 96482.98000000 PA USD 64047.99000000 0.006933932747 Long ABS-O CORP US N 2 2036-05-25 Variable 5.75000000 N N N N N N Sumitomo Mitsui Financial Group Inc 35380028MYWPB6AUO129 86562MAE0 90000.00000000 PA USD 89727.60000000 0.009714046358 Long DBT CORP JP N 2 2021-07-14 Fixed 2.06000000 N N N N N N Allied Universal Holdco LLC N/A 000000000 81891.90000000 PA USD 81930.39000000 0.008869908552 Long LON CORP US N 2 2026-07-10 Floating 6.51000000 N N N N N N Home Equity Asset Trust N/A 437084VN3 591809.99000000 PA USD 589802.69000000 0.063852935696 Long ABS-O CORP US N 2 2036-08-25 Floating 2.30000000 N N N N N N Citibank, National Association E57ODZWZ7FF32TWEFA76 000000000 1.00000000 NC 13112.96000000 0.001419628980 N/A DFE US N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 36200000.00000000 MXN 1825157.94000000 USD 2019-12-18 13112.96000000 N N N Standard Chartered Bank RILFO74KP1CM8P6PCT96 000000000 1.00000000 NC 10897.91000000 0.001179824301 N/A DFE US N 2 Standard Chartered Bank RILFO74KP1CM8P6PCT96 36200000.00000000 MXN 1822942.89000000 USD 2019-12-18 10897.91000000 N N N CityCenter Holdings, LLC N/A 17875LAL3 31997.98000000 PA USD 32047.90000000 0.003469554365 Long LON CORP US N 2 2024-04-18 Floating 4.29000000 N N N N N N Cooperatieve Rabobank UA DG3RU1DBUFHT4ZF9WN62 21684AAC0 900000.00000000 PA USD 971533.13000000 0.105179653346 Long DBT CORP NL N 2 2025-08-04 Fixed 4.38000000 N N N N N N Enterprise Products Operating LLC 5493004LGN656HWLDA30 29379VBS1 708000.00000000 PA USD 731082.39000000 0.079148090758 Long DBT CORP US N 2 2022-02-01 Fixed 3.50000000 N N N N N N Citibank, National Association E57ODZWZ7FF32TWEFA76 000000000 1.00000000 NC 1373.94000000 0.000148744832 N/A DFE CA N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 1004657.21000000 USD 1332487.00000000 CAD 2019-10-17 1373.94000000 N N N JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 000000000 1.00000000 NC 5497.24000000 0.000595139557 N/A DFE US N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 4262000.00000000 PEN 1268452.38000000 USD 2019-11-06 5497.24000000 N N N Harris Corp 549300UTE50ZMDBG8A20 413875AS4 40000.00000000 PA USD 47375.83000000 0.005128979365 Long DBT CORP US N 2 2035-04-27 Fixed 4.85000000 N N N N N N United States Treasury 254900HROIFWPRGM1V77 912828XL9 4520011.08000000 PA USD 4582330.37000000 0.496090050822 Long DBT UST US N 2 2025-07-15 Fixed 0.38000000 N N N N N N Chubb INA Holdings Inc CZCBJZWDMLTHWJDXU843 00440EAT4 20000.00000000 PA USD 20064.20000000 0.002172180788 Long DBT CORP US N 2 2020-11-03 Fixed 2.30000000 N N N N N N Univision Communications Inc. 549300YQDE2JSGTL8V47 914908AX6 145269.19000000 PA USD 141062.19000000 0.015271607098 Long LON CORP US N 2 2024-03-15 Floating 4.79000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3136AETS6 100041.74000000 PA USD 20859.02000000 0.002258229210 Long ABS-MBS USGSE US N 2 2043-06-25 Floating 4.13000000 N N N N N N Eaton Corp 0NZWDMRCE180888QQE14 278062AC8 150000.00000000 PA USD 152637.23000000 0.016524738522 Long DBT CORP US N 2 2022-11-02 Fixed 2.75000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3132QUBT9 428334.09000000 PA USD 452508.12000000 0.048989216866 Long ABS-MBS USGSE US N 2 2045-11-01 Fixed 3.50000000 N N N N N N Abbott Laboratories HQD377W2YR662HK5JX27 002824BG4 60000.00000000 PA USD 73739.88000000 0.007983191490 Long DBT CORP US N 2 2036-11-30 Fixed 4.75000000 N N N N N N Republic of Indonesia 529900FWX0GRR7WG5W79 000000000 13960000000.00000000 PA 1039107.85000000 0.112495395244 Long DBT NUSS ID N 2 2024-05-15 Fixed 8.13000000 N N N N N N UnitedHealth Group Inc 549300GHBMY8T5GXDE41 91324PBV3 720000.00000000 PA USD 733327.52000000 0.079391151944 Long DBT CORP US N 2 2022-03-15 Fixed 2.88000000 N N N N N N Western Gas Partners LP L6D8A6MLSY454J2JXJ60 958254AF1 40000.00000000 PA USD 39529.28000000 0.004279499935 Long DBT CORP US N 2 2026-07-01 Fixed 4.65000000 N N N N N N Royal Bank of Canada ES7IP3U3RHIGC71XBU11 78012KKU0 228000.00000000 PA USD 229520.65000000 0.024848254431 Long DBT CORP CA N 2 2021-01-19 Fixed 2.50000000 N N N N N N One Market Plaza Trust N/A 68245HAG9 500000.00000000 PA USD 513785.70000000 0.055623220816 Long ABS-MBS CORP US Y 2 2032-02-10 Fixed 4.15000000 N N N N N N Wells Fargo & Co PBLD0EJDB5FWOLXP3B76 94974BGQ7 250000.00000000 PA USD 299250.50000000 0.032397313979 Long DBT CORP US N 2 2045-11-17 Fixed 4.90000000 N N N N N N JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 000000000 1.00000000 NC 8103.11000000 0.000877255005 N/A DFE US N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 8771014000.00000000 COP 2524759.36000000 USD 2019-11-06 8103.11000000 N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3136A5LM6 22571.52000000 PA USD 3718.64000000 0.000402585618 Long ABS-MBS USGSE US N 2 2042-04-25 Floating 4.48000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140HTNT2 20000.00000000 PA USD 21886.02000000 0.002369413791 Long ABS-MBS USGSE US N 2 2029-05-01 Fixed 3.35000000 N N N N N N Benchmark Mortgage Trust N/A 08162UAW0 2315000.00000000 PA USD 2643593.65000000 0.286199466709 Long ABS-MBS CORP US N 2 2052-01-15 Fixed 4.23000000 N N N N N N Halliburton Co ENYF8GB5SMQZ25S06U51 406216BJ9 130000.00000000 PA USD 144300.11000000 0.015622149239 Long DBT CORP US N 2 2035-11-15 Fixed 4.85000000 N N N N N N NBCUniversal Media LLC VTBDOQJ6KOGQ6K786R46 63946BAE0 368000.00000000 PA USD 381023.50000000 0.041250183251 Long DBT CORP US N 2 2021-04-01 Fixed 4.38000000 N N N N N N Eni SpA BUCRF72VH5RBN7X3VL35 26874RAJ7 658000.00000000 PA USD 719476.28000000 0.077891595649 Long DBT CORP IT Y 2 2029-05-09 Fixed 4.25000000 N N N N N N Nutrien Ltd 5493002QQ7GD21OWF963 67077MAC2 264000.00000000 PA USD 276558.75000000 0.029940670633 Long DBT CORP CA N 2 2024-03-15 Fixed 3.63000000 N N N N N N Intercontinental Exchange Inc 5493000F4ZO33MV32P92 45866FAC8 274000.00000000 PA USD 276070.59000000 0.029887821690 Long DBT CORP US N 2 2020-12-01 Fixed 2.75000000 N N N N N N RBS Commercial Funding Inc Trust N/A 74932QAA8 200000.00000000 PA USD 211660.54000000 0.022914691776 Long ABS-MBS CORP US Y 2 2032-01-15 Variable 3.96000000 N N N N N N Morgan Stanley Bank of America Merrill Lynch Trust N/A 61766RAU0 218496.82000000 PA USD 216941.56000000 0.023486423028 Long ABS-MBS CORP US N 2 2049-11-15 Fixed 1.51000000 N N N N N N CIGNA CORP 549300VIWYMSIGT1U456 125523AG5 130000.00000000 PA USD 139982.25000000 0.015154691152 Long DBT CORP US N 2 2025-11-15 Fixed 4.13000000 N N N N N N Wells Fargo Mortgage Backed Securities Trust N/A 94983RAA2 1147232.19000000 PA USD 1175550.35000000 0.127266867682 Long ABS-MBS CORP US N 2 2036-04-25 Variable 5.19000000 N N N N N N Kroger Co/The 6CPEOKI6OYJ13Q6O7870 501044CT6 20000.00000000 PA USD 22087.47000000 0.002391223074 Long DBT CORP US N 2 2043-08-01 Fixed 5.15000000 N N N N N N Exxon Mobil Corp J3WHBG0MTS7O8ZVMDC91 30231GAT9 60000.00000000 PA USD 62953.63000000 0.006815455670 Long DBT CORP US N 2 2026-03-01 Fixed 3.04000000 N N N N N N Danone SA 969500KMUQ2B6CBAF162 23636TAD2 718000.00000000 PA USD 727914.87000000 0.078805170228 Long DBT CORP FR Y 2 2023-11-02 Fixed 2.59000000 N N N N N N COMM Mortgage Trust N/A 12594JAA3 140000.00000000 PA USD 140765.62000000 0.015239499979 Long ABS-MBS CORP US Y 2 2029-08-10 Fixed 2.68000000 N N N N N N Vericrest Opportunity Loan Transferee N/A 92872FAA6 2029144.61000000 PA USD 2030272.61000000 0.219800398694 Long ABS-O CORP US Y 2 2047-09-25 Variable 3.13000000 N N N N N N Prime Security Services Borrower LLC / Prime Finance Inc 54930054P2G7ZJB0KM79 74166MAB2 70000.00000000 PA USD 71858.50000000 0.007779510432 Long DBT CORP US Y 2 2024-04-15 Fixed 5.25000000 N N N N N N Prime Security Services Borrower, LLC 549300O6QPZVWXV2DC15 000000000 155708.32000000 PA USD 153981.51000000 0.016670272318 Long LON CORP US N 2 2026-09-23 Floating 5.21000000 N N N N N N Wells Fargo & Co PBLD0EJDB5FWOLXP3B76 94974BEV8 220000.00000000 PA USD 227999.79000000 0.024683603816 Long DBT CORP US N 2 2021-04-01 Fixed 4.60000000 N N N N N N Asx - Trade24 549300USWUR0S7VMM868 000000000 -107.00000000 NC -10641516.52000000 -1.15206675315 N/A DIR AU N 1 Asx - Trade24 549300USWUR0S7VMM868 Short 10 Year Commonwealth Treasury Bond XMZ9 Comdty 2019-12-16 -15594889.41000000 AUD -115744.28000000 N N N COMM Mortgage Trust N/A 200474BC7 1438000.00000000 PA USD 1502597.69000000 0.162673509810 Long ABS-MBS CORP US N 2 2048-02-10 Fixed 3.18000000 N N N N N N Humana Inc 529900YLDW34GJAO4J06 444859BB7 20000.00000000 PA USD 21936.69000000 0.002374899402 Long DBT CORP US N 2 2042-12-01 Fixed 4.63000000 N N N N N N Comcast Corp 51M0QTTNCGUN7KFCFZ59 20030NCU3 120000.00000000 PA USD 136584.99000000 0.014786898621 Long DBT CORP US N 2 2030-10-15 Fixed 4.25000000 N N N N N N Marsh & McLennan Companies Inc 549300XMP3KDCKJXIU47 571748BE1 274000.00000000 PA USD 278368.89000000 0.030136639141 Long DBT CORP US N 2 2020-12-29 Fixed 3.50000000 N N N N N N Citibank, National Association E57ODZWZ7FF32TWEFA76 000000000 1.00000000 NC -9664.58000000 -0.00104630212 N/A DFE AR N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 44930.00000000 USD 2129682.20000000 ARS 2019-10-15 -9664.58000000 N N N Morgan Stanley IGJSJL3JD5P30I6NJZ34 61744YAQ1 170000.00000000 PA USD 177532.88000000 0.019219979431 Long DBT CORP US N 2 2024-04-24 Variable 3.74000000 N N N N N N Centene Corp 549300Z7JJ4TQSQGT333 15135BAH4 50000.00000000 PA USD 52135.00000000 0.005644214343 Long DBT CORP US N 2 2024-02-15 Fixed 6.13000000 N N N N N N Phoenix Guarantor Inc N/A 71913BAB8 123636.37000000 PA USD 123764.95000000 0.013398981604 Long LON CORP US N 2 2026-03-05 Floating 6.57000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 31334YVU8 200000.00000000 PA USD 203957.61000000 0.022080760866 Long ABS-MBS USGSE US N 2 2049-09-01 Fixed 3.00000000 N N N N N N Cisco Systems Inc 8E6NF1YAL0WT6CWXXV93 17275RBD3 220000.00000000 PA USD 221127.59000000 0.023939608998 Long DBT CORP US N 2 2021-02-28 Fixed 2.20000000 N N N N N N Vodafone Group PLC 213800TB53ELEUKM7Q61 92857WBK5 220000.00000000 PA USD 243026.21000000 0.026310386885 Long DBT CORP GB N 2 2028-05-30 Fixed 4.38000000 N N N N N N GS MORTGAGE SECURITIES TRUST N/A 36257XAA9 630000.00000000 PA USD 630587.73000000 0.068268386118 Long ABS-MBS CORP US Y 2 2036-06-15 Floating 2.93000000 N N N N N N MEX BONOS DESARR FIX RT 254900EGTWEU67VP6075 000000000 4880000.00000000 PA 266107.63000000 0.028809216497 Long DBT NUSS MX N 2 2047-11-07 Fixed 8.00000000 N N N N N N WaMu Mortgage Pass-Through Certificates Series N/A 92922FU48 296310.52000000 PA USD 294004.63000000 0.031829388119 Long ABS-MBS CORP US N 2 2045-07-25 Floating 2.66000000 N N N N N N Waste Management Inc 549300YX8JIID70NFS41 94106LAZ2 190000.00000000 PA USD 200075.12000000 0.021660436597 Long DBT CORP US N 2 2024-05-15 Fixed 3.50000000 N N N N N N Berkshire Hathaway Energy Co 549300JD0S5IZJE9LY15 084659AP6 491000.00000000 PA USD 532320.39000000 0.057629814527 Long DBT CORP US N 2 2048-07-15 Fixed 3.80000000 N N N N N N Freddie Mac - STACR S6XOOCT0IEG5ABCC6L87 3137G0GW3 1330000.00000000 PA USD 1467362.53000000 0.158858897832 Long ABS-MBS USGSE US N 2 2028-04-25 Floating 6.72000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 01F0306A1 7200000.00000000 PA USD 7309687.46000000 0.791357874863 Long ABS-MBS USGSE US N 2 2049-10-10 Fixed 3.00000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 38378MVC6 742942.81000000 PA USD 94719.86000000 0.010254516014 Long ABS-MBS USGA US N 2 2043-04-20 Fixed 3.50000000 N N N N N N OCCIDENTAL PETROLEUM COR IM7X0T3ECJW4C1T7ON55 674599DF9 277000.00000000 PA USD 342829.98000000 0.037115294723 Long DBT CORP US N 2 2036-09-15 Fixed 6.45000000 N N N N N N IndyMac INDX Mortgage Loan Trust N/A 45661EAA2 725635.72000000 PA USD 685959.85000000 0.074263055993 Long ABS-MBS CORP US N 2 2046-04-25 Floating 2.24000000 N N N N N N Morgan Stanley Capital I Trust 3IFG42XD94UUZ7FL2766 61760RBB7 81615.47000000 PA USD 83594.33000000 0.009050049225 Long ABS-MBS CORP US N 2 2049-07-15 Fixed 4.12000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140JAVG0 2149179.13000000 PA USD 2249063.97000000 0.243487083882 Long ABS-MBS USGSE US N 2 2047-02-01 Fixed 3.50000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31416XAD2 286257.44000000 PA USD 309435.69000000 0.033499978129 Long ABS-MBS USGSE US N 2 2040-11-01 Fixed 4.00000000 N N N N N N PNC Bank NA AD6GFRVSDT01YPT1CS68 69353REW4 724000.00000000 PA USD 725145.86000000 0.078505392997 Long DBT CORP US N 2 2021-04-29 Fixed 2.15000000 N N N N N N Johnson & Johnson 549300G0CFPGEF6X2043 478160CF9 70000.00000000 PA USD 78074.34000000 0.008452446718 Long DBT CORP US N 2 2037-03-03 Fixed 3.63000000 N N N N N N BX Commercial Mortgage Trust N/A 056059AS7 149202.95000000 PA USD 149669.34000000 0.016203430240 Long ABS-MBS CORP US Y 2 2035-11-15 Floating 4.08000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140QBG36 2206365.78000000 PA USD 2271883.46000000 0.245957556555 Long ABS-MBS USGSE US N 2 2049-07-01 Fixed 3.50000000 N N N N N N Ecopetrol SA 254900IDGKCJICKBPA66 279158AL3 60000.00000000 PA USD 67356.00000000 0.007292062938 Long DBT CORP CO N 2 2026-06-26 Fixed 5.38000000 N N N N N N Allergan Funding SCS 222100FLFVOSKCBCAR54 00507UAT8 10000.00000000 PA USD 10622.58000000 0.001150016656 Long DBT CORP LU N 2 2035-03-15 Fixed 4.55000000 N N N N N N Embotelladora Andina SA 254900NNPKP1J9XTSA53 29081PAE5 264000.00000000 PA USD 283340.39000000 0.030674861287 Long DBT CORP CL Y 2 2023-10-01 Fixed 5.00000000 N N N N N N South Carolina Electric & Gas Co 3QRVFYR22IUIEOORTK28 837004CM0 260000.00000000 PA USD 295889.80000000 0.032033479489 Long DBT CORP US N 2 2028-08-15 Fixed 4.25000000 N N N N N N Jaguar Holding Company II N/A 47009YAK3 46548.03000000 PA USD 46563.86000000 0.005041074258 Long LON CORP US N 2 2022-08-18 Floating 4.54000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3128M6AX6 36696.47000000 PA USD 41424.00000000 0.004484625202 Long ABS-MBS USGSE US N 2 2038-04-01 Fixed 5.50000000 N N N N N N BNP Paribas SA R0MUWSFPU8MPRO8K5P83 09659W2H6 800000.00000000 PA USD 936484.15000000 0.101385197498 Long DBT CORP FR Y 2 2030-01-10 Variable 5.20000000 N N N N N N JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 000000000 1.00000000 NC -44557.95000000 -0.00482391139 N/A DFE CH N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 7797351.50000000 USD 7737000.00000000 CHF 2019-10-03 -44557.95000000 N N N JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 000000000 1.00000000 NC 14580.69000000 0.001578527661 N/A DFE US N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 664000.00000000 EUR 739018.72000000 USD 2019-10-15 14580.69000000 N N N BX Commercial Mortgage Trust N/A 056057AL6 790000.00000000 PA USD 791972.71000000 0.085740169352 Long ABS-MBS CORP US Y 2 2037-03-15 Floating 3.35000000 N N N N N N General Motors Co 54930070NSV60J38I987 37045VAE0 671000.00000000 PA USD 720300.30000000 0.077980805306 Long DBT CORP US N 2 2023-10-02 Fixed 4.88000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31418DEU2 3955799.40000000 PA USD 4110330.21000000 0.444990596078 Long ABS-MBS USGSE US N 2 2049-08-01 Fixed 4.00000000 N N N N N N Air Liquide Finance SA 549300YGXL5Z3R14K812 00913RAB2 733000.00000000 PA USD 728428.47000000 0.078860773345 Long DBT CORP FR Y 2 2021-09-27 Fixed 1.75000000 N N N N N N Exxon Mobil Corp J3WHBG0MTS7O8ZVMDC91 30231GAW2 40000.00000000 PA USD 47522.79000000 0.005144889478 Long DBT CORP US N 2 2046-03-01 Fixed 4.11000000 N N N N N N Fieldstone Mortgage Investment 549300VDVZHMT2SH4W85 31659TCD5 378362.70000000 PA USD 380423.53000000 0.041185229586 Long ABS-O CORP US N 2 2035-10-25 Floating 3.97000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140JSZ28 574095.26000000 PA USD 590674.61000000 0.063947331081 Long ABS-MBS USGSE US N 2 2049-05-01 Fixed 3.50000000 N N N N N N Shell International Finance BV 213800ITMMKU4Z7I4F78 822582BQ4 80000.00000000 PA USD 92553.50000000 0.010019982587 Long DBT CORP NL N 2 2046-05-10 Fixed 4.00000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31418CXP4 3065083.64000000 PA USD 3231678.75000000 0.349866453502 Long ABS-MBS USGSE US N 2 2048-06-01 Fixed 4.50000000 N N N N N N Federal Home Loan Banks 2549001DPIFGXC1TOL40 3130ADN32 70000.00000000 PA USD 70051.33000000 0.007583863461 Long DBT USGSE US N 2 2020-02-11 Fixed 2.13000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31416VXB5 628.75000000 PA USD 653.64000000 0.000070764059 Long ABS-MBS USGSE US N 2 2020-01-01 Fixed 4.00000000 N N N N N N Reliance Standard Life Global Funding II N/A 75951AAB4 30000.00000000 PA USD 30022.23000000 0.003250252252 Long DBT CORP US Y 2 2020-01-15 Fixed 2.50000000 N N N N N N Bausch Health Companies Inc. B3BS7ACMDUWISF18KY76 C9413PAZ6 88343.39000000 PA USD 88665.84000000 0.009599098607 Long LON CORP CA N 2 2025-06-02 Floating 5.04000000 N N N N N N Abbott Laboratories HQD377W2YR662HK5JX27 002824BH2 80000.00000000 PA USD 103216.41000000 0.011174365431 Long DBT CORP US N 2 2046-11-30 Fixed 4.90000000 N N N N N N Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 000000000 15.00000000 NC USD 3697687.50000000 0.400317269092 N/A DIR US N 1 Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 Long Eurodollar Time Deposit EDH1 Comdty 2021-03-15 3658365.70000000 USD 39321.80000000 N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 000000000 99245.85000000 PA USD 100782.18000000 0.010910831991 Long ABS-MBS USGSE US N 2 2049-08-01 Fixed 3.00000000 N N N N N N Royal Bank of Canada ES7IP3U3RHIGC71XBU11 78012KZG5 500000.00000000 PA USD 509008.77000000 0.055106063113 Long DBT CORP CA N 2 2022-02-01 Fixed 2.75000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140FXEF5 1087868.42000000 PA USD 1155711.34000000 0.125119066305 Long ABS-MBS USGSE US N 2 2056-08-01 Fixed 4.00000000 N N N N N N Boeing Co/The RVHJWBXLJ1RFUBSY1F30 097023CD5 120000.00000000 PA USD 126010.50000000 0.013642088261 Long DBT CORP US N 2 2029-03-01 Fixed 3.20000000 N N N N N N Gilead Sciences Inc 549300WTZWR07K8MNV44 375558BD4 100000.00000000 PA USD 120088.63000000 0.013000977613 Long DBT CORP US N 2 2046-03-01 Fixed 4.75000000 N N N N N N United States Treasury 254900HROIFWPRGM1V77 912810SA7 4435000.00000000 PA USD 5270027.35000000 0.570541171149 Long DBT UST US N 2 2048-02-15 Fixed 3.00000000 N N N N N N Microsoft Corp INR2EJN1ERAN0W5ZP974 594918BD5 100000.00000000 PA USD 114602.58000000 0.012407049502 Long DBT CORP US N 2 2045-02-12 Fixed 3.75000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3132XYA72 86164.64000000 PA USD 89625.44000000 0.009702986361 Long ABS-MBS USGSE US N 2 2048-04-01 Fixed 4.00000000 N N N N N N Coca-Cola Co/The UWJKFUJFZ02DKWI3RY53 191216AV2 281000.00000000 PA USD 288748.06000000 0.031260303861 Long DBT CORP US N 2 2021-09-01 Fixed 3.30000000 N N N N N N Sabal Trail Transmission LLC 5493002DWITGSZFUI977 78516FAA7 663000.00000000 PA USD 723833.01000000 0.078363261860 Long DBT CORP US Y 2 2028-05-01 Fixed 4.25000000 N N N N N N JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 000000000 1.00000000 NC 12289.44000000 0.001330473453 N/A DFE US N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 6124500.00000000 PEN 1827990.69000000 USD 2019-10-23 12289.44000000 N N N United States Treasury 254900HROIFWPRGM1V77 912810RR1 1006976.10000000 PA USD 1123075.83000000 0.121585896387 Long DBT UST US N 2 2046-02-15 Fixed 1.00000000 N N N N N N Toyota Motor Credit Corp Z2VZBHUMB7PWWJ63I008 89236TFQ3 271000.00000000 PA USD 275062.68000000 0.029778703821 Long DBT CORP US N 2 2021-01-08 Fixed 3.05000000 N N N N N N Russian Federation 5493004EHVGF71PDBU58 000000000 1960000.00000000 PA 30517.43000000 0.003303863357 Long DBT NUSS RU N 2 2034-05-10 Fixed 7.25000000 N N N N N N Textainer Marine Containers Limited N/A 88315FAA9 780947.62000000 PA USD 781073.74000000 0.084560230294 Long ABS-O CORP BM Y 2 2042-05-20 Fixed 3.72000000 N N N N N N 3M Co LUZQVYP4VS22CLWDAR65 88579YBF7 305000.00000000 PA USD 312476.26000000 0.033829154859 Long DBT CORP US N 2 2022-03-01 Fixed 2.75000000 N N N N N N Anheuser-Busch Cos LLC / Anheuser-Busch InBev Worldwide Inc 549300CRGMZK3K53BF92 03522AAG5 470000.00000000 PA USD 503592.53000000 0.054519692739 Long DBT CORP US N 2 2026-02-01 Fixed 3.65000000 N N N N N N Altice France S.A. 5493001ZMCICV4N02J21 000000000 85866.03000000 PA USD 85168.80000000 0.009220503741 Long LON CORP FR N 2 2026-01-31 Floating 5.72000000 N N N N N N MEX BONOS DESARR FIX RT 254900EGTWEU67VP6075 000000000 9100000.00000000 PA 519341.90000000 0.056224743473 Long DBT NUSS MX N 2 2038-11-18 Fixed 8.50000000 N N N N N N Ford Motor Co 20S05OYHG0MQM4VUIC57 345370BR0 230000.00000000 PA USD 260611.58000000 0.028214205770 Long DBT CORP US N 2 2046-11-01 Fixed 7.40000000 N N N N N N Burlington Northern Santa Fe LLC 5493000C01ZX7D35SD85 12189LAW1 100000.00000000 PA USD 115121.63000000 0.012463242644 Long DBT CORP US N 2 2045-04-01 Fixed 4.15000000 N N N N N N HP Inc WHKXQACZ14C5XRO8LW03 428236BF9 274000.00000000 PA USD 278489.61000000 0.030149708472 Long DBT CORP US N 2 2020-12-01 Fixed 3.75000000 N N N N N N MALAYSIA GOVERNMENT 254900GSIL471JOBYY43 000000000 4616000.00000000 PA 1122151.65000000 0.121485843256 Long DBT NUSS MY N 2 2023-04-20 Fixed 3.76000000 N N N N N N Goldman Sachs Group Inc/The 784F5XWPLTWKTBV3E584 38141GXA7 100000.00000000 PA USD 112847.42000000 0.012217033212 Long DBT CORP US N 2 2039-04-23 Variable 4.41000000 N N N N N N Western Gas Partners LP L6D8A6MLSY454J2JXJ60 958254AJ3 845000.00000000 PA USD 734000.86000000 0.079464048756 Long DBT CORP US N 2 2048-03-01 Fixed 5.30000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 36179T7K5 319185.66000000 PA USD 332420.63000000 0.035988362670 Long ABS-MBS USGA US N 2 2048-08-20 Fixed 4.00000000 N N N N N N JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 000000000 1.00000000 NC -457.00000000 -0.00004947551 N/A DFE US N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 5687000000.00000000 IDR 399929.68000000 USD 2019-10-23 -457.00000000 N N N Morgan Stanley IGJSJL3JD5P30I6NJZ34 61744YAP3 70000.00000000 PA USD 74811.04000000 0.008099156900 Long DBT CORP US N 2 2029-01-24 Variable 3.77000000 N N N N N N HSBC Holdings PLC MLU0ZO3ML4LN2LL2TL39 404280BN8 200000.00000000 PA USD 206700.00000000 0.022377656176 Long DBT CORP GB N 2 2023-03-23 Variable 6.25000000 N N N N N N JPMorgan Chase & Co 8I5DZWZKVSZI1NUHU748 46647PAX4 260000.00000000 PA USD 294100.63000000 0.031839781225 Long DBT CORP US N 2 2029-12-05 Variable 4.45000000 N N N N N N Standard Chartered Bank RILFO74KP1CM8P6PCT96 000000000 1.00000000 NC 46326.31000000 0.005015356734 N/A DFE US N 2 Standard Chartered Bank RILFO74KP1CM8P6PCT96 2800000.00000000 NZD 1802752.00000000 USD 2019-12-18 46326.31000000 N N N International Business Machines Corp VGRQXHF3J8VDLUA7XE92 459200KA8 215000.00000000 PA USD 230835.46000000 0.024990597760 Long DBT CORP US N 2 2029-05-15 Fixed 3.50000000 N N N N N N Chicago Board Of Trade 549300EX04Q2QBFQTQ27 000000000 -202.00000000 NC USD -82696156.83000000 -8.95281163339 N/A DIR US N 1 Chicago Board Of Trade 549300EX04Q2QBFQTQ27 Short 30 Day Federal Funds Futures FFX9 Comdty 2019-11-29 -82744026.93000000 USD 47870.10000000 N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3128M8VM3 223923.93000000 PA USD 243312.17000000 0.026341345349 Long ABS-MBS USGSE US N 2 2041-07-01 Fixed 4.50000000 N N N N N N Fox Corp 549300DDU6FDRBIELS05 35137LAC9 30000.00000000 PA USD 34243.51000000 0.003707254441 Long DBT CORP US Y 2 2029-01-25 Fixed 4.71000000 N N N N N N BX Commercial Mortgage Trust N/A 05606JAJ4 1650000.00000000 PA USD 1647924.80000000 0.178406843630 Long ABS-MBS CORP US Y 2 2030-05-15 Floating 3.25000000 N N N N N N HSBC Holdings PLC MLU0ZO3ML4LN2LL2TL39 404280BB4 220000.00000000 PA USD 233315.46000000 0.025259086330 Long DBT CORP GB N 2 2026-05-25 Fixed 3.90000000 N N N N N N FHLMC Multifamily Structured Pass Through Certificates S6XOOCT0IEG5ABCC6L87 3137B36J2 1450000.00000000 PA USD 1510231.55000000 0.163499963096 Long ABS-MBS USGSE US N 2 2023-02-25 Variable 3.32000000 N N N N N N UniCredit SpA 549300TRUWO2CD2G5692 904678AJ8 1042000.00000000 PA USD 1117757.17000000 0.121010090172 Long DBT CORP IT Y 2 2022-01-14 Fixed 6.57000000 N N N N N N Nevada Power Co MJZFGXRJ52U8U4MKJ519 641423CA4 208000.00000000 PA USD 263051.78000000 0.028478385531 Long DBT CORP US N 2 2041-05-15 Fixed 5.45000000 N N N N N N JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 000000000 1.00000000 NC -11246.97000000 -0.00121761406 N/A DFE SG N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 9495110.47000000 USD 13108000.00000000 SGD 2019-10-03 -11246.97000000 N N N Royal Bank of Canada ES7IP3U3RHIGC71XBU11 78013XKG2 70000.00000000 PA USD 71314.54000000 0.007720620495 Long DBT CORP CA N 2 2021-04-30 Fixed 3.20000000 N N N N N N Prime Security Services Borrower LLC / Prime Finance Inc 54930054P2G7ZJB0KM79 74166MAC0 60000.00000000 PA USD 62478.00000000 0.006763963244 Long DBT CORP US Y 2 2026-04-15 Fixed 5.75000000 N N N N N N Morgan Stanley Capital I Trust 3IFG42XD94UUZ7FL2766 61765DAU2 200000.00000000 PA USD 215146.42000000 0.023292078443 Long ABS-MBS CORP US N 2 2048-05-15 Variable 3.78000000 N N N N N N NOTA DO TESOURO NACIONAL 254900ZFY40OYEADAP90 000000000 165000.00000000 PA 47578.97000000 0.005150971610 Long DBT NUSS BR N 2 2027-01-01 Fixed 10.00000000 N N N N N N Kinder Morgan Inc/DE 549300WR7IX8XE0TBO16 49456BAP6 130000.00000000 PA USD 141286.00000000 0.015295837109 Long DBT CORP US N 2 2028-03-01 Fixed 4.30000000 N N N N N N Barclays Bank PLC G5GSEF7VJP5I7OUK5573 000000000 1.00000000 NC -7380.18000000 -0.00079898950 N/A DFE GB N 2 Barclays Bank PLC G5GSEF7VJP5I7OUK5573 349838.36000000 USD 278352.00000000 GBP 2019-10-17 -7380.18000000 N N N Abbott Laboratories HQD377W2YR662HK5JX27 002824BD1 224000.00000000 PA USD 228040.75000000 0.024688038208 Long DBT CORP US N 2 2021-11-30 Fixed 2.90000000 N N N N N N Apple Inc HWUPKR0MPOU8FGXBT394 037833BZ2 110000.00000000 PA USD 111642.99000000 0.012086639790 Long DBT CORP US N 2 2026-08-04 Fixed 2.45000000 N N N N N N Philip Morris International Inc HL3H1H2BGXWVG3BSWR90 718172AP4 40000.00000000 PA USD 44517.68000000 0.004819551701 Long DBT CORP US N 2 2042-03-20 Fixed 4.50000000 N N N N N N Golden Nugget, Inc. 91D14OD6M4H1RVBN7R43 51508PAG9 256085.55000000 PA USD 255632.28000000 0.027675139184 Long LON CORP US N 2 2023-10-04 Floating 4.81000000 N N N N N N Republic of Ecuador 5299003Y2U5XK0A35H71 000000000 200000.00000000 PA USD 189502.00000000 0.020515774555 Long DBT NUSS EC Y 2 2028-01-23 Fixed 7.88000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3128MJ6P0 369996.82000000 PA USD 383792.41000000 0.041549949656 Long ABS-MBS USGSE US N 2 2049-05-01 Fixed 4.00000000 N N N N N N International Business Machines Corp VGRQXHF3J8VDLUA7XE92 459200JF9 270000.00000000 PA USD 271406.06000000 0.029382832582 Long DBT CORP US N 2 2021-02-19 Fixed 2.25000000 N N N N N N United States Treasury 254900HROIFWPRGM1V77 912810SC3 1755000.00000000 PA USD 2134861.52000000 0.231123353062 Long DBT UST US N 2 2048-05-15 Fixed 3.13000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140E24F5 560798.42000000 PA USD 584229.14000000 0.063249534702 Long ABS-MBS USGSE US N 2 2045-09-01 Fixed 3.50000000 N N N N N N UBS Group Funding Switzerland AG 506700Q800G1L95S7805 90352JAA1 270000.00000000 PA USD 277173.33000000 0.030007205998 Long DBT CORP CH Y 2 2023-05-23 Fixed 3.49000000 N N N N N N Citigroup Commercial Mortgage Trust N/A 17320QAL3 1418000.00000000 PA USD 1440726.00000000 0.155975186608 Long ABS-MBS CORP US Y 2 2035-05-10 Variable 3.63000000 N N N N N N Canadian Imperial Bank of Commerce 2IGI19DL77OX0HC3ZE78 136069TY7 718000.00000000 PA USD 729795.43000000 0.079008762512 Long DBT CORP CA N 2 2022-06-16 Fixed 2.55000000 N N N N N N Goldman Sachs Group Inc/The 784F5XWPLTWKTBV3E584 38145GAH3 90000.00000000 PA USD 93618.24000000 0.010135252958 Long DBT CORP US N 2 2026-11-16 Fixed 3.50000000 N N N N N N Bank of America, National Association B4TYDEB6GKMZO031MB27 000000000 1.00000000 NC -8690.67000000 -0.00094086514 N/A DFE US N 2 Bank of America, National Association B4TYDEB6GKMZO031MB27 6169220.00000000 SGD 4457428.87000000 USD 2019-11-22 -8690.67000000 N N N Noble Energy Inc 02VFQXG2D1LR5ZH3K186 655044AG0 10000.00000000 PA USD 11144.40000000 0.001206509683 Long DBT CORP US N 2 2043-11-15 Fixed 5.25000000 N N N N N N Celgene Corp 4SIHMF0MOSTTL8CD0X64 151020AS3 200000.00000000 PA USD 215906.71000000 0.023374388594 Long DBT CORP US N 2 2025-08-15 Fixed 3.88000000 N N N N N N John Deere Capital Corp E0KSF7PFQ210NWI8Z391 24422ETF6 274000.00000000 PA USD 275905.59000000 0.029869958539 Long DBT CORP US N 2 2021-01-08 Fixed 2.55000000 N N N N N N JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 000000000 1.00000000 NC 30393.93000000 0.003290493059 N/A DFE US N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 47171000.00000000 MXN 2420328.90000000 USD 2019-10-03 30393.93000000 N N N LyondellBasell Industries NV BN6WCCZ8OVP3ITUUVN49 552081AK7 198000.00000000 PA USD 223576.20000000 0.024204699239 Long DBT CORP NL N 2 2024-04-15 Fixed 5.75000000 N N N N N N Enterprise Products Operating LLC 5493004LGN656HWLDA30 29379VBT9 160000.00000000 PA USD 177230.53000000 0.019187246561 Long DBT CORP US N 2 2028-10-16 Fixed 4.15000000 N N N N N N Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 000000000 1.00000000 NC 14312.69000000 0.001549513574 N/A DFE US N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 570000.00000000 BRL 151354.22000000 USD 2019-10-17 14312.69000000 N N N UBS Group Funding Switzerland AG 506700Q800G1L95S7805 90352JAF0 660000.00000000 PA USD 700920.00000000 0.075882664571 Long DBT CORP CH Y 2 2024-01-31 Variable 7.00000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140J9NP2 272372.45000000 PA USD 286144.40000000 0.030978427672 Long ABS-MBS USGSE US N 2 2046-12-01 Variable 3.50000000 N N N N N N JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 000000000 1.00000000 NC 15272.87000000 0.001653464120 N/A DFE US N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 7256500.00000000 PEN 2166442.75000000 USD 2019-10-25 15272.87000000 N N N Berkshire Hathaway Inc 5493000C01ZX7D35SD85 084670BS6 694000.00000000 PA USD 733261.67000000 0.079384022923 Long DBT CORP US N 2 2026-03-15 Fixed 3.13000000 N N N N N N Procter & Gamble Co/The 2572IBTT8CCZW6AU4141 742718EU9 270000.00000000 PA USD 273339.37000000 0.029592135661 Long DBT CORP US N 2 2022-08-11 Fixed 2.15000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140FXDJ8 72914.05000000 PA USD 77460.99000000 0.008386044515 Long ABS-MBS USGSE US N 2 2056-02-01 Fixed 4.00000000 N N N N N N Wells Fargo Mortgage Backed Securities Trust N/A 94980MAB4 88886.76000000 PA USD 92337.45000000 0.009996592686 Long ABS-MBS CORP US N 2 2034-09-25 Variable 4.86000000 N N N N N N CIT Group Inc N8O96ZZJQRFYQUJY7K79 125581GW2 30000.00000000 PA USD 32736.00000000 0.003544049117 Long DBT CORP US N 2 2025-03-07 Fixed 5.25000000 N N N N N N Chicago Board Of Trade 549300EX04Q2QBFQTQ27 000000000 937.00000000 NC USD 122102812.50000000 13.21903607282 N/A DIR US N 1 Chicago Board Of Trade 549300EX04Q2QBFQTQ27 Long 10 Year US Treasury Note TYZ9 Comdty 2019-12-19 122941026.50000000 USD -838214.00000000 N N N JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 000000000 1.00000000 NC 1993.48000000 0.000215817174 N/A DFE US N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 3912988000.00000000 COP 1126363.85000000 USD 2019-10-03 1993.48000000 N N N Structured Asset Securities Corporation N/A 86363WAH2 1422000.00000000 PA USD 1194143.98000000 0.129279842327 Long ABS-O CORP US N 2 2047-05-25 Floating 2.28000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140FPDN6 582091.73000000 PA USD 616018.74000000 0.066691125117 Long ABS-MBS USGSE US N 2 2047-06-01 Fixed 4.50000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3132DVKR5 893661.02000000 PA USD 927697.74000000 0.100433967397 Long ABS-MBS USGSE US N 2 2049-08-01 Fixed 3.50000000 N N N N N N Goldman Sachs Group Inc/The 784F5XWPLTWKTBV3E584 38141GFD1 410000.00000000 PA USD 553034.22000000 0.059872325247 Long DBT CORP US N 2 2037-10-01 Fixed 6.75000000 N N N N N N JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 000000000 1.00000000 NC 7689.38000000 0.000832463966 N/A DFE PL N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 4359051.04000000 USD 17492000.00000000 PLN 2019-12-16 7689.38000000 N N N Citibank, National Association E57ODZWZ7FF32TWEFA76 000000000 1.00000000 NC -266.50000000 -0.00002885169 N/A DFE BR N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 477159.97000000 USD 1983554.00000000 BRL 2019-10-17 -266.50000000 N N N Eli Lilly & Co FRDRIPF3EKNDJ2CQJL29 532457BP2 10000.00000000 PA USD 10517.65000000 0.001138656775 Long DBT CORP US N 2 2027-05-15 Fixed 3.10000000 N N N N N N JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 000000000 1.00000000 NC -4807.09000000 -0.00052042286 N/A DFE CO N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 170628.95000000 USD 577579000.00000000 COP 2019-10-23 -4807.09000000 N N N Sprint Spectrum Co LLC / Sprint Spectrum Co II LLC / Sprint Spectrum Co III LLC 5493003BZYYYCDIO0R13 85208NAD2 240000.00000000 PA USD 255122.40000000 0.027619938800 Long DBT CORP US Y 2 2025-03-20 Fixed 4.74000000 N N N N N N Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 000000000 384000.00000000 OU Notional Amount USD -91794.68000000 -0.00993783158 N/A DIR US N 2 Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 ICE Libor USD 3 Months US0003M Index Y 2044-05-15 513.61000000 USD 0.00000000 USD 384000.00000000 USD -92308.29000000 N N N Royal Bank of Scotland Group PLC 2138005O9XJIJN4JPN90 780097BK6 200000.00000000 PA USD 209170.02000000 0.022645064295 Long DBT CORP GB N 2 2025-03-22 Variable 4.27000000 N N N N N N Citigroup Global Markets Inc. MBNUM2BPBDO7JBLYG310 000000000 2631000.00000000 OU Notional Amount 8860.53000000 0.000959254445 N/A DIR US N 2 Citigroup Global Markets Inc. MBNUM2BPBDO7JBLYG310 Brazil Cetip DI Interbank Deposit Rate BZDIOVRA Index Y 2027-01-04 5881.08000000 BRL 0.00000000 BRL 2631000.00000000 BRL 7288.12000000 N N N Schneider Electric SE 969500A1YF1XUYYXS284 80687PAA4 200000.00000000 PA USD 204405.01000000 0.022129197070 Long DBT CORP FR Y 2 2022-09-27 Fixed 2.95000000 N N N N N N MASTR Asset Backed Securities Trust N/A 57643LGZ3 484777.44000000 PA USD 486217.47000000 0.052638642334 Long ABS-MBS CORP US N 2 2035-03-25 Floating 2.96000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140HU5X0 100000.00000000 PA USD 104512.88000000 0.011314723244 Long ABS-MBS USGSE US N 2 2029-08-01 Fixed 2.74000000 N N N N N N Exelon Corp 3SOUA6IRML7435B56G12 30161NAW1 245000.00000000 PA USD 251408.89000000 0.027217908563 Long DBT CORP US N 2 2022-06-01 Fixed 3.50000000 N N N N N N OCCIDENTAL PETROLEUM COR IM7X0T3ECJW4C1T7ON55 674599CU7 60000.00000000 PA USD 60388.63000000 0.006537764872 Long DBT CORP US N 2 2021-08-13 Fixed 2.60000000 N N N N N N Markel Corp 549300SCNO12JLWIK605 570535AS3 699000.00000000 PA USD 724190.51000000 0.078401965354 Long DBT CORP US N 2 2047-11-01 Fixed 4.30000000 N N N N N N The Bank of New York Mellon HPFHU0OQ28E4N0NFVK49 000000000 1.00000000 NC -12824.27000000 -0.00138837496 N/A DFE CA N 2 The Bank of New York Mellon HPFHU0OQ28E4N0NFVK49 1856908.46000000 USD 2440000.00000000 CAD 2019-12-18 -12824.27000000 N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3138EG5M2 125238.79000000 PA USD 144164.54000000 0.015607472224 Long ABS-MBS USGSE US N 2 2040-10-01 Fixed 6.00000000 N N N N N N SINGAPORE GOVERNMENT 549300ZSV6VOGFH1ER70 000000000 464000.00000000 PA 336511.17000000 0.036431210748 Long DBT NUSS SG N 2 2020-07-01 Fixed 2.00000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3132A5H81 85740.64000000 PA USD 88712.83000000 0.009604185815 Long ABS-MBS USGSE US N 2 2048-02-01 Fixed 3.50000000 N N N N N N Freddie Mac STRIP S6XOOCT0IEG5ABCC6L87 31325WSM5 73640.62000000 PA USD 12566.49000000 0.001360467307 Long ABS-MBS USGSE US N 2 2046-12-15 Floating 3.97000000 N N N N N N Allergan Funding SCS 222100FLFVOSKCBCAR54 00507UAS0 60000.00000000 PA USD 62834.99000000 0.006802611524 Long DBT CORP LU N 2 2025-03-15 Fixed 3.80000000 N N N N N N Chicago Board Of Trade 549300EX04Q2QBFQTQ27 000000000 32.00000000 NC USD 13155719.04000000 1.424258139457 N/A DIR US N 1 Chicago Board Of Trade 549300EX04Q2QBFQTQ27 Long 30 Day Federal Funds Futures FFN0 Comdty 2020-07-31 13171281.08000000 USD -15562.04000000 N N N HSBC Bank USA NA 1IE8VN30JCEQV1H4R804 4042Q1AA5 475000.00000000 PA USD 610439.26000000 0.066087082131 Long DBT CORP US N 2 2034-11-01 Fixed 5.88000000 N N N N N N Chicago Board Of Trade 549300EX04Q2QBFQTQ27 000000000 -16.00000000 NC USD -1906375.01000000 -0.20638705619 N/A DIR US N 1 Chicago Board Of Trade 549300EX04Q2QBFQTQ27 Short 5 Year US Treasury Note FVZ9 Comdty 2019-12-31 -1899482.86000000 USD -6892.15000000 N N N Bancolombia SA 54930052NWJRPNMP1W58 05968LAG7 684000.00000000 PA USD 719910.00000000 0.077938550835 Long DBT CORP CO N 2 2021-06-03 Fixed 5.95000000 N N N N N N Anheuser-Busch InBev Worldwide Inc 549300CRGMZK3K53BF92 035240AF7 207000.00000000 PA USD 260550.23000000 0.028207563926 Long DBT CORP US N 2 2035-06-15 Fixed 5.88000000 N N N N N N Fannie Mae - CAS B1V7KEBTPIMZEU4LTD58 30711XAF1 847850.24000000 PA USD 884019.53000000 0.095705297993 Long ABS-MBS USGSE US N 2 2024-05-25 Floating 4.62000000 N N N N N N Fairfax Financial Holdings Ltd GLS7OQD0WOEDI8YAP031 303901BB7 226000.00000000 PA USD 244532.93000000 0.026473506682 Long DBT CORP CA N 2 2028-04-17 Fixed 4.85000000 N N N N N N Nestle Holdings Inc 549300EAEU8YV8MQXP30 641062AJ3 718000.00000000 PA USD 733052.10000000 0.079361334557 Long DBT CORP US Y 2 2021-09-24 Fixed 3.10000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 36179Q6P1 36784.51000000 PA USD 38481.31000000 0.004166045110 Long ABS-MBS USGA US N 2 2045-03-20 Fixed 3.50000000 N N N N N N Citigroup Global Markets Inc. MBNUM2BPBDO7JBLYG310 000000000 -9.00000000 NC USD -4781.25000000 -0.00051762539 N/A DIR US N 1 Citigroup Global Markets Inc. MBNUM2BPBDO7JBLYG310 Put Written Chicago Board Of Trade 549300EX04Q2QBFQTQ27 Chicago Board Of Trade 549300EX04Q2QBFQTQ27 N/A 9000.00000000 NC N/A -4781.25000000 0.00000000 DIR US Short 10 Year US Treasury Note TYZ9 Comdty 2019-12-19 9000.00000000 USD 1000.00000000 130.00000000 USD 2019-10-25 XXXX -156.19000000 N N N Royal Bank of Scotland Group PLC 2138005O9XJIJN4JPN90 780099CH8 420000.00000000 PA USD 447727.65000000 0.048471675917 Long DBT CORP GB N 2 2024-05-28 Fixed 5.13000000 N N N N N N State Street Bank and Trust Company 571474TGEMMWANRLN572 000000000 1.00000000 NC -952.16000000 -0.00010308228 N/A DFE CL N 2 State Street Bank and Trust Company 571474TGEMMWANRLN572 32245.41000000 USD 22794280.00000000 CLP 2019-11-22 -952.16000000 N N N Bayview Commercial Asset Trust N/A 07325XAA8 979280.12000000 PA USD 933154.56000000 0.101024731024 Long ABS-MBS CORP US Y 2 2037-07-25 Floating 2.29000000 N N N N N N JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 000000000 1.00000000 NC 3102.69000000 0.000335901935 N/A DFE US N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 71699000.00000000 JPY 666775.16000000 USD 2019-10-15 3102.69000000 N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140EUKQ1 515502.21000000 PA USD 566363.64000000 0.061315388517 Long ABS-MBS USGSE US N 2 2046-03-01 Fixed 4.50000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 01F0406A0 400000.00000000 PA USD 415125.00000000 0.044942063474 Long ABS-MBS USGSE US N 2 2049-10-10 Fixed 4.00000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3128MJ5V8 396169.59000000 PA USD 424153.52000000 0.045919504772 Long ABS-MBS USGSE US N 2 2049-01-01 Fixed 5.00000000 N N N N N N SoFi Professional Loan Program LLC N/A 83404RAA6 446488.00000000 PA USD 447558.23000000 0.048453334251 Long ABS-O CORP US Y 2 2047-08-25 Fixed 2.64000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140HVNL4 100000.00000000 PA USD 103966.25000000 0.011255544249 Long ABS-MBS USGSE US N 2 2031-09-01 Fixed 2.67000000 N N N N N N Wells Fargo & Co PBLD0EJDB5FWOLXP3B76 94974BFP0 200000.00000000 PA USD 252555.92000000 0.027342087774 Long DBT CORP US N 2 2043-11-02 Fixed 5.38000000 N N N N N N United States Treasury 254900HROIFWPRGM1V77 912810SG4 1988142.00000000 PA USD 2249705.58000000 0.243556545556 Long DBT UST US N 2 2049-02-15 Fixed 1.00000000 N N N N N N Nexstar Broadcasting, Inc. 5493006PK6I4I2OOT688 65336RAW8 120000.00000000 PA USD 120487.20000000 0.013044127407 Long LON CORP US N 2 2026-09-18 None 0.00000000 N N N N N N Apache Corp 72ZZ1XRHOOU9P9X16K08 037411BA2 130000.00000000 PA USD 124876.88000000 0.013519360836 Long DBT CORP US N 2 2043-04-15 Fixed 4.75000000 N N N N N N Georgia Power Co D981X4Z4RWS7PDMJUZ03 373334JX0 250000.00000000 PA USD 254501.69000000 0.027552739792 Long DBT CORP US N 2 2022-05-15 Fixed 2.85000000 N N N N N N JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 000000000 1.00000000 NC 73734.26000000 0.007982583060 N/A DFE US N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 4052000.00000000 NZD 2611838.16000000 USD 2019-10-15 73734.26000000 N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140HTWT2 30000.00000000 PA USD 32590.01000000 0.003528244018 Long ABS-MBS USGSE US N 2 2029-05-01 Fixed 3.26000000 N N N N N N VISTRA OPERATIONS CO LLC 549300ZH5GKBTJZ7NM23 92840VAD4 370000.00000000 PA USD 372495.01000000 0.040326875960 Long DBT CORP US Y 2 2024-07-15 Fixed 3.55000000 N N N N N N Microsoft Corp INR2EJN1ERAN0W5ZP974 594918BW3 721000.00000000 PA USD 731088.79000000 0.079148783632 Long DBT CORP US N 2 2022-02-06 Fixed 2.40000000 N N N N N N Halliburton Co ENYF8GB5SMQZ25S06U51 406216BG5 70000.00000000 PA USD 74234.38000000 0.008036726812 Long DBT CORP US N 2 2025-11-15 Fixed 3.80000000 N N N N N N State Street Bank and Trust Company 571474TGEMMWANRLN572 000000000 1.00000000 NC -1442.23000000 -0.00015613801 N/A DFE PE N 2 State Street Bank and Trust Company 571474TGEMMWANRLN572 99963.95000000 USD 332730.00000000 PEN 2019-11-22 -1442.23000000 N N N Viacom Inc X0ST5BPF0CZG9FE5OV61 92553PAX0 20000.00000000 PA USD 21047.62000000 0.002278647332 Long DBT CORP US N 2 2024-04-01 Fixed 3.88000000 N N N N N N Wells Fargo & Co PBLD0EJDB5FWOLXP3B76 95000U2C6 535000.00000000 PA USD 566591.63000000 0.061340071061 Long DBT CORP US N 2 2024-01-24 Fixed 3.75000000 N N N N N N Fannie Mae - CAS B1V7KEBTPIMZEU4LTD58 30711XDA9 50000.00000000 PA USD 52811.30000000 0.005717431609 Long ABS-MBS USGSE US N 2 2029-01-25 Floating 6.27000000 N N N N N N Jefferies Group LLC NY9Q8VBNB6D1L6YV0J84 472319AM4 635000.00000000 PA USD 732040.62000000 0.079251830194 Long DBT CORP US N 2 2043-01-20 Fixed 6.50000000 N N N N N N Triton Container Finance LLC 549300GTUDI4TJ0XZQ86 89679HAA3 589459.93000000 PA USD 595593.20000000 0.064479825110 Long ABS-O CORP US Y 2 2042-06-20 Fixed 3.52000000 N N N N N N Buckeye Partners LP 549300C1PQJLVEIUBK50 118230AQ4 814000.00000000 PA USD 716807.80000000 0.077602701948 Long DBT CORP US N 2 2026-12-01 Fixed 3.95000000 N N N N N N Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 000000000 972000.00000000 OU Notional Amount USD -26657.12000000 -0.00288594032 N/A DIR US N 2 Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 ICE Libor USD 3 Months US0003M Index Y 2044-11-15 2670.93000000 USD 0.00000000 USD 972000.00000000 USD -29328.05000000 N N N MALAYSIA GOVERNMENT 254900GSIL471JOBYY43 000000000 1275000.00000000 PA 310084.49000000 0.033570218203 Long DBT NUSS MY N 2 2022-09-30 Fixed 3.80000000 N N N N N N JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 000000000 1.00000000 NC -12006.60000000 -0.00129985276 N/A DFE US N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 4663000.00000000 PEN 1371470.59000000 USD 2019-10-03 -12006.60000000 N N N Benchmark Mortgage Trust N/A 08160BAC8 1977000.00000000 PA USD 2205013.54000000 0.238718117376 Long ABS-MBS CORP US N 2 2051-07-15 Fixed 3.94000000 N N N N N N Freddie Mac - STACR S6XOOCT0IEG5ABCC6L87 3137G0CH0 522000.00000000 PA USD 565191.22000000 0.061188460546 Long ABS-MBS USGSE US N 2 2024-09-25 Floating 5.77000000 N N N N N N Ace Securities Corp. N/A 00083BAB1 544280.57000000 PA USD 516684.51000000 0.055937050393 Long ABS-MBS CORP US Y 2 2038-02-25 Variable 6.34000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3138EGEX8 483986.80000000 PA USD 517168.56000000 0.055989454381 Long ABS-MBS USGSE US N 2 2041-02-01 Fixed 4.00000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3136AX4N2 359261.22000000 PA USD 70460.65000000 0.007628177066 Long ABS-MBS USGSE US N 2 2057-10-25 Floating 4.08000000 N N N N N N United States Treasury 254900HROIFWPRGM1V77 912828R36 3005000.00000000 PA USD 3006525.97000000 0.325491071316 Long DBT UST US N 2 2026-05-15 Fixed 1.63000000 N N N N N N Edison International 549300I7ROF15MAEVP56 281020AM9 718000.00000000 PA USD 735948.79000000 0.079674934619 Long DBT CORP US N 2 2028-03-15 Fixed 4.13000000 N N N N N N United States Treasury 254900HROIFWPRGM1V77 912810RB6 1200000.00000000 PA USD 1376765.63000000 0.149050739734 Long DBT UST US N 2 2043-05-15 Fixed 2.88000000 N N N N N N Berkshire Hathaway Finance Corp 549300RLHFT5RU20WM87 084664CQ2 621000.00000000 PA USD 727697.15000000 0.078781599530 Long DBT CORP US N 2 2048-08-15 Fixed 4.20000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3132JMFT1 520189.58000000 PA USD 551675.60000000 0.059725238981 Long ABS-MBS USGSE US N 2 2043-07-01 Fixed 3.50000000 N N N N N N General Electric Co 3C7474T6CDKPR9K6YT90 36962G4B7 511000.00000000 PA USD 676344.57000000 0.073222091165 Long DBT CORP US N 2 2039-01-10 Fixed 6.88000000 N N N N N N Citibank, National Association E57ODZWZ7FF32TWEFA76 000000000 1.00000000 NC -36257.45000000 -0.00392528664 N/A DFE BR N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 418531.19000000 USD 1590000.00000000 BRL 2019-10-17 -36257.45000000 N N N JP Morgan Mortgage Trust 5493002WZI1ZSAEIE710 46648HAF0 2298744.98000000 PA USD 2307871.00000000 0.249853622335 Long ABS-MBS CORP US Y 2 2047-05-25 Variable 3.00000000 N N N N N N Philip Morris International Inc HL3H1H2BGXWVG3BSWR90 718172CA5 938000.00000000 PA USD 944576.10000000 0.102261244305 Long DBT CORP US N 2 2022-08-17 Fixed 2.38000000 N N N N N N United States Treasury 254900HROIFWPRGM1V77 912810RG5 1400000.00000000 PA USD 1745132.82000000 0.188930731627 Long DBT UST US N 2 2044-05-15 Fixed 3.38000000 N N N N N N Kraft Heinz Foods Co 5493003STKEZ2S0RNU91 50077LAD8 60000.00000000 PA USD 59364.82000000 0.006426925645 Long DBT CORP US N 2 2026-06-01 Fixed 3.00000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 31335B4Y9 186183.37000000 PA USD 191649.28000000 0.020748242352 Long ABS-MBS USGSE US N 2 2048-09-01 Fixed 3.00000000 N N N N N N Cedar Funding Ltd 635400NWFWJ92O7QGD64 15032AAN7 1600000.00000000 PA USD 1592307.20000000 0.172385597717 Long ABS-CBDO CORP KY Y 2 2031-07-17 Floating 3.40000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31410FYQ2 14061.23000000 PA USD 15869.05000000 0.001718007473 Long ABS-MBS USGSE US N 2 2037-03-01 Fixed 5.50000000 N N N N N N Kinder Morgan Inc/DE 549300WR7IX8XE0TBO16 28368EAD8 176000.00000000 PA USD 238906.38000000 0.025864367827 Long DBT CORP US N 2 2031-08-01 Fixed 7.80000000 N N N N N N Intercontinental Exchange, Inc. 5493000F4ZO33MV32P92 000000000 8811000.00000000 OU Notional Amount USD 628418.14000000 0.068033503007 N/A DCR AU N 2 Intercontinental Exchange, Inc. 5493000F4ZO33MV32P92 Markit CDX.NA.HY.32.V1 2I65BRRT9 RED Code Y sell protection 2024-06-20 374806.16000000 USD 0.00000000 USD 8811000.00000000 USD 253611.98000000 N N N Bank of America Corp 9DJT3UXIJIZJI4WXO774 06051GHQ5 500000.00000000 PA USD 547377.21000000 0.059259888746 Long DBT CORP US N 2 2030-02-07 Variable 3.97000000 N N N N N N MPLX LP 5493000CZJ19CK4P3G36 55336VAM2 80000.00000000 PA USD 82966.80000000 0.008982111874 Long DBT CORP US N 2 2038-04-15 Fixed 4.50000000 N N N N N N Myriad International Holdings BV 635400Z5LQ5F9OLVT688 62856RAD7 250000.00000000 PA USD 275826.50000000 0.029861396135 Long DBT CORP NL Y 2 2027-07-06 Fixed 4.85000000 N N N N N N JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 000000000 1.00000000 NC 6745.32000000 0.000730258595 N/A DFE US N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 2198000.00000000 BRL 534975.42000000 USD 2019-10-23 6745.32000000 N N N Amgen Inc 62QBXGPJ34PQ72Z12S66 031162CP3 274000.00000000 PA USD 277561.02000000 0.030049177907 Long DBT CORP US N 2 2022-05-11 Fixed 2.65000000 N N N N N N Wells Fargo & Co PBLD0EJDB5FWOLXP3B76 94974BGE4 10000.00000000 PA USD 11562.33000000 0.001251755420 Long DBT CORP US N 2 2044-11-04 Fixed 4.65000000 N N N N N N State Street Bank and Trust Company 571474TGEMMWANRLN572 000000000 1.00000000 NC 969.94000000 0.000105007178 N/A DFE US N 2 State Street Bank and Trust Company 571474TGEMMWANRLN572 2995612620.00000000 IDR 210988.35000000 USD 2019-11-22 969.94000000 N N N Southern Co Gas Capital Corp E8CD46SWUD2TSN8PA636 001192AD5 196000.00000000 PA USD 254785.38000000 0.027583452502 Long DBT CORP US N 2 2034-10-01 Fixed 6.00000000 N N N N N N Hawaii Hotel Trust N/A 41975AAE2 940000.00000000 PA USD 940877.87000000 0.101860868304 Long ABS-MBS CORP US Y 2 2038-05-15 Floating 3.68000000 N N N N N N Noble Energy Inc 02VFQXG2D1LR5ZH3K186 655044AP0 80000.00000000 PA USD 83038.73000000 0.008989899125 Long DBT CORP US N 2 2028-01-15 Fixed 3.85000000 N N N N N N NORWEGIAN GOVERNMENT 549300O6E2WAK3IAXE34 000000000 11435000.00000000 PA 1350503.58000000 0.146207570284 Long DBT NUSS NO Y 2 2024-03-14 Fixed 3.00000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140X4MB9 3128879.91000000 PA USD 3205499.73000000 0.347032273006 Long ABS-MBS USGSE US N 2 2047-12-01 Fixed 3.00000000 N N N N N N MGM Growth Properties Operating Partnership LP 549300U6G4UOCMLQK204 55303KAC7 125441.68000000 PA USD 125633.61000000 0.013601285576 Long LON CORP US N 2 2025-03-21 Floating 4.04000000 N N N N N N Credit Suisse Mortgage Trust N/A 12653VAA4 940000.00000000 PA USD 939998.50000000 0.101765666371 Long ABS-MBS CORP US Y 2 2036-05-15 Floating 3.01000000 N N N N N N KazMunayGas National Co JSC 2138001H1M69RFJCSH88 48667QAQ8 200000.00000000 PA USD 224750.00000000 0.024331776611 Long DBT CORP KZ Y 2 2030-04-24 Fixed 5.38000000 N N N N N N MEX BONOS DESARR FIX RT 254900EGTWEU67VP6075 000000000 6020000.00000000 PA 339592.79000000 0.036764831613 Long DBT NUSS MX N 2 2029-05-31 Fixed 8.50000000 N N N N N N OCCIDENTAL PETROLEUM COR IM7X0T3ECJW4C1T7ON55 674599CP8 80000.00000000 PA USD 80700.07000000 0.008736712239 Long DBT CORP US N 2 2022-08-15 Fixed 2.70000000 N N N N N N Danske Bank A/S MAES062Z21O4RZ2U7M96 23636AAP6 200000.00000000 PA USD 207367.68000000 0.022449940227 Long DBT CORP DK Y 2 2023-09-12 Fixed 3.88000000 N N N N N N CNO Financial Group, Inc. 11XPYHB76MPM4Y4P2897 393505B27 1394424.70000000 PA USD 1356257.76000000 0.146830526557 Long ABS-O CORP US N 2 2028-12-01 Variable 6.94000000 N N N N N N Targa Resources Partners LP / Targa Resources Partners Finance Corp 5493003QENHHS261UR94 87612BBJ0 20000.00000000 PA USD 21125.00000000 0.002287024609 Long DBT CORP US N 2 2026-04-15 Fixed 5.88000000 N N N N N N Delta Air Lines Inc Q2CCMS6R0AS67HJMBN42 247361ZJ0 223000.00000000 PA USD 229081.79000000 0.024800742780 Long DBT CORP US N 2 2022-03-15 Fixed 3.63000000 N N N N N N Emirate of Abu Dhabi 213800FER4348CINTA77 29135LAC4 200000.00000000 PA USD 202000.00000000 0.021868827032 Long DBT NUSS AE Y 2 2022-10-11 Fixed 2.50000000 N N N N N N Altria Group Inc XSGZFLO9YTNO9VCQV219 02209SBC6 350000.00000000 PA USD 374147.56000000 0.040505783535 Long DBT CORP US N 2 2026-02-14 Fixed 4.40000000 N N N N N N IBM Credit LLC 549300ZNLJL43AQTG067 44932HAB9 492000.00000000 PA USD 491065.12000000 0.053163456291 Long DBT CORP US N 2 2021-01-20 Fixed 1.80000000 N N N N N N Thermo Fisher Scientific Inc HCHV7422L5HDJZCRFL38 883556BN1 706000.00000000 PA USD 726583.43000000 0.078661026510 Long DBT CORP US N 2 2023-04-15 Fixed 3.00000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 31307PBS7 58713.77000000 PA USD 61302.51000000 0.006636702910 Long ABS-MBS USGSE US N 2 2030-09-01 Fixed 3.50000000 N N N N N N United States Treasury 254900HROIFWPRGM1V77 9128282R0 850000.00000000 PA USD 888648.44000000 0.096206430825 Long DBT UST US N 2 2027-08-15 Fixed 2.25000000 N N N N N N Republic of Colombia 549300MHDRBVRF6B9117 195325BR5 270000.00000000 PA USD 337502.70000000 0.036538555293 Long DBT NUSS CO N 2 2044-02-26 Fixed 5.63000000 N N N N N N State Street Bank and Trust Company 571474TGEMMWANRLN572 000000000 1.00000000 NC -17783.48000000 -0.00192526657 N/A DFE MY N 2 State Street Bank and Trust Company 571474TGEMMWANRLN572 4479674.45000000 USD 18713840.00000000 MYR 2019-11-22 -17783.48000000 N N N CIGNA CORP 549300VIWYMSIGT1U456 125523AE0 60000.00000000 PA USD 61360.88000000 0.006643022134 Long DBT CORP US N 2 2021-09-17 Fixed 3.40000000 N N N N N N CIGNA CORP 549300VIWYMSIGT1U456 125523AF7 150000.00000000 PA USD 156868.49000000 0.016982821161 Long DBT CORP US N 2 2023-07-15 Fixed 3.75000000 N N N N N N JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 000000000 1.00000000 NC -12025.84000000 -0.00130193571 N/A DFE MX N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 3373620.79000000 USD 66349000.00000000 MXN 2019-10-03 -12025.84000000 N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3132WKPM4 81789.89000000 PA USD 83993.12000000 0.009093222837 Long ABS-MBS USGSE US N 2 2047-01-01 Fixed 3.00000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140QBPB8 397023.60000000 PA USD 403607.34000000 0.043695144096 Long ABS-MBS USGSE US N 2 2049-08-01 Fixed 3.00000000 N N N N N N United States Treasury 254900HROIFWPRGM1V77 912828SA9 634776.80000000 PA USD 628748.21000000 0.068069236887 Long DBT UST US N 2 2022-01-15 Fixed 0.13000000 N N N N N N JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 000000000 1.00000000 NC -3144.01000000 -0.00034037530 N/A DFE HU N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 5068634.65000000 USD 1556046000.00000000 HUF 2019-10-03 -3144.01000000 N N N AEP Texas Central Transition F N/A 00115BAB3 989000.00000000 PA USD 990105.70000000 0.107190348004 Long ABS-O CORP US N 2 2031-08-01 Fixed 2.29000000 N N N N N N Wells Fargo & Co PBLD0EJDB5FWOLXP3B76 94974BGT1 230000.00000000 PA USD 258432.98000000 0.027978347222 Long DBT CORP US N 2 2046-06-14 Fixed 4.40000000 N N N N N N Ford Motor Co 20S05OYHG0MQM4VUIC57 345370CA6 446000.00000000 PA USD 511691.51000000 0.055396500624 Long DBT CORP US N 2 2031-07-16 Fixed 7.45000000 N N N N N N Charter Communications Operating LLC / Charter Communications Operating Capital 0J0XRGZE3PBRFEZ7MV65 161175BA1 60000.00000000 PA USD 73109.73000000 0.007914970493 Long DBT CORP US N 2 2045-10-23 Fixed 6.48000000 N N N N N N JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 000000000 1.00000000 NC 1521.62000000 0.000164732894 N/A DFE IN N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 357599.52000000 USD 25434266.00000000 INR 2019-10-17 1521.62000000 N N N United States Treasury 254900HROIFWPRGM1V77 912810SE9 480000.00000000 PA USD 612075.00000000 0.066264169830 Long DBT UST US N 2 2048-11-15 Fixed 3.38000000 N N N N N N Southern Copper Corp 2549007U6NAP46Q9TU15 84265VAE5 10000.00000000 PA USD 12960.27000000 0.001403098529 Long DBT CORP US N 2 2040-04-16 Fixed 6.75000000 N N N N N N Kinder Morgan Energy Partners LP 549300PDHUGWPWGOT525 494550BT2 30000.00000000 PA USD 30452.82000000 0.003296868580 Long DBT CORP US N 2 2021-03-01 Fixed 3.50000000 N N N N N N J.P. Morgan Chase Commercial Mortgage Securities Trust 8I5DZWZKVSZI1NUHU748 46646GAA5 394000.00000000 PA USD 406309.86000000 0.043987723018 Long ABS-MBS CORP US Y 2 2038-10-06 Variable 2.95000000 N N N N N N JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 000000000 1.00000000 NC -21591.46000000 -0.00233752427 N/A DFE SE N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 8457365.13000000 USD 82620000.00000000 SEK 2019-12-16 -21591.46000000 N N N Anthem Inc 8MYN82XMYQH89CTMTH67 036752AC7 30000.00000000 PA USD 31196.77000000 0.003377409738 Long DBT CORP US N 2 2024-12-01 Fixed 3.35000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3138YXZY4 30787.32000000 PA USD 31845.33000000 0.003447623829 Long ABS-MBS USGSE US N 2 2030-09-01 Fixed 3.50000000 N N N N N N Countrywide Asset-Backed Certificates N/A 12668WAD9 1572339.76000000 PA USD 1654076.58000000 0.179072844683 Long ABS-O CORP US N 2 2047-04-25 Fixed 4.66000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140Q95N9 325490.94000000 PA USD 349274.00000000 0.037812934123 Long ABS-MBS USGSE US N 2 2048-11-01 Fixed 5.00000000 N N N N N N WaMu Mortgage Pass-Through Certificates Series N/A 92925CCE0 369947.10000000 PA USD 378811.48000000 0.041010706603 Long ABS-MBS CORP US N 2 2046-01-25 Floating 3.52000000 N N N N N N Citibank, National Association E57ODZWZ7FF32TWEFA76 000000000 1.00000000 NC -161004.59000000 -0.01743060163 N/A DFE SE N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 10998473.16000000 USD 106538360.00000000 SEK 2019-10-23 -161004.59000000 N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 21H0426A2 100000.00000000 PA USD 104515.63000000 0.011315020963 Long ABS-MBS USGA US N 2 2049-10-21 Fixed 4.50000000 N N N N N N UBS AG BFM8T61CT2L1QCEMIK50 000000000 1.00000000 NC 126777.91000000 0.013725169234 N/A DFE US N 2 UBS AG BFM8T61CT2L1QCEMIK50 8995310.00000000 EUR 9946743.94000000 USD 2019-10-23 126777.91000000 N N N MALAYSIA GOVERNMENT 254900GSIL471JOBYY43 000000000 432000.00000000 PA 103605.16000000 0.011216452097 Long DBT NUSS MY N 2 2021-02-15 Fixed 3.44000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140FXEW8 286118.33000000 PA USD 309988.25000000 0.033559799115 Long ABS-MBS USGSE US N 2 2056-04-01 Fixed 4.50000000 N N N N N N Credit Suisse Group Funding Guernsey Ltd 549300PXR5FKNXF0OH19 225433AM3 709000.00000000 PA USD 720658.54000000 0.078019588913 Long DBT CORP GG N 2 2021-04-16 Fixed 3.45000000 N N N N N N SoFi Professional Loan Program LLC 5493002WMPR84WZ75V46 83406EAB1 168549.31000000 PA USD 168816.38000000 0.018276317893 Long ABS-O CORP US Y 2 2042-02-25 Fixed 2.39000000 N N N N N N FREDDIE MAC S6XOOCT0IEG5ABCC6L87 3134GT6K4 290000.00000000 PA USD 289943.64000000 0.031389739169 Long DBT USGSE US N 2 2020-09-10 Floating 1.86000000 N N N N N N FHLMC Multifamily Structured Pass Through Certificates S6XOOCT0IEG5ABCC6L87 3137F4D41 3204000.00000000 PA USD 3539824.70000000 0.383226802419 Long ABS-MBS USGSE US N 2 2028-01-25 Fixed 3.60000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31381QTL0 395000.00000000 PA USD 405019.77000000 0.043848055914 Long ABS-MBS USGSE US N 2 2021-04-01 Fixed 4.25000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3138ENN88 499031.65000000 PA USD 563277.56000000 0.060981284805 Long ABS-MBS USGSE US N 2 2040-07-01 Fixed 5.50000000 N N N N N N JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 000000000 1.00000000 NC -8556.25000000 -0.00092631263 N/A DFE NO N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 380088.23000000 USD 3380000.00000000 NOK 2019-10-03 -8556.25000000 N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 31335ACW6 232802.91000000 PA USD 262744.92000000 0.028445164401 Long ABS-MBS USGSE US N 2 2041-06-01 Fixed 5.50000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31359XFT1 9495.54000000 PA USD 10578.15000000 0.001145206597 Long ABS-MBS USGSE US N 2 2029-12-18 Fixed 7.00000000 N N N N N N Brighthouse Financial Inc 5493003T8SZSHOGGAW52 10922NAF0 859000.00000000 PA USD 766777.60000000 0.083012508448 Long DBT CORP US N 2 2047-06-22 Fixed 4.70000000 N N N N N N Progress Energy Inc 549300FBMTW0JYWMNB26 743263AG0 173000.00000000 PA USD 238510.58000000 0.025821517917 Long DBT CORP US N 2 2031-10-30 Fixed 7.00000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 38379VHX5 236084.08000000 PA USD 41027.35000000 0.004441683270 Long ABS-MBS USGA US N 2 2046-02-20 Floating 4.11000000 N N N N N N JPMorgan Chase & Co 8I5DZWZKVSZI1NUHU748 46647PAY2 220000.00000000 PA USD 234679.82000000 0.025406794017 Long DBT CORP US N 2 2024-12-05 Variable 4.02000000 N N N N N N United States Treasury 254900HROIFWPRGM1V77 9128282A7 3540000.00000000 PA USD 3511790.63000000 0.380191791390 Long DBT UST US N 2 2026-08-15 Fixed 1.50000000 N N N N N N SLM Student Loan Trust 549300FE2YWO5PJ3Q820 78443CCB8 204197.01000000 PA USD 200430.11000000 0.021698868354 Long ABS-O CORP US N 2 2039-06-15 Floating 2.45000000 N N N N N N Anheuser-Busch InBev Finance Inc 5493000EYEKDT0FBSQ91 035242AL0 180000.00000000 PA USD 187119.18000000 0.020257806840 Long DBT CORP US N 2 2023-02-01 Fixed 3.30000000 N N N N N N Allergan Finance LLC 2549006TBOV0H6GV7T12 942683AF0 706000.00000000 PA USD 721291.96000000 0.078088163925 Long DBT CORP US N 2 2022-10-01 Fixed 3.25000000 N N N N N N Reynolds American Inc 02S2RPPVO9RP4NEU2740 761713BE5 40000.00000000 PA USD 40252.92000000 0.004357842302 Long DBT CORP US N 2 2020-06-12 Fixed 3.25000000 N N N N N N Gilead Sciences Inc 549300WTZWR07K8MNV44 375558BB8 120000.00000000 PA USD 120577.14000000 0.013053864449 Long DBT CORP US N 2 2020-09-01 Fixed 2.55000000 N N N N N N Lloyds Banking Group PLC 549300PPXHEU2JF0AM85 539439AR0 200000.00000000 PA USD 217220.60000000 0.023516632322 Long DBT CORP GB N 2 2028-03-22 Fixed 4.38000000 N N N N N N JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 000000000 1.00000000 NC 23863.97000000 0.002583549664 N/A DFE US N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 82620000.00000000 SEK 8417299.17000000 USD 2019-10-03 23863.97000000 N N N LB-UBS Commercial Mortgage Trust N/A 52108MAP8 227718.32000000 PA USD 229832.41000000 0.024882006043 Long ABS-MBS CORP US N 2 2040-11-15 Variable 5.35000000 N N N N N N Citibank, National Association E57ODZWZ7FF32TWEFA76 000000000 1.00000000 NC -37.67000000 -0.00000407821 N/A DFE US N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 600000.00000000 MXN 30290.49000000 USD 2019-10-17 -37.67000000 N N N Banistmo SA 549300E94AMW3HSSMU17 06034LAA8 729000.00000000 PA USD 732652.29000000 0.079318050518 Long DBT CORP PA Y 2 2022-09-19 Fixed 3.65000000 N N N N N N Caterpillar Financial Services Corp EDBQKYOPJUCJKLOJDE72 14913Q2W8 276000.00000000 PA USD 278982.35000000 0.030203053253 Long DBT CORP US N 2 2021-05-17 Fixed 2.65000000 N N N N N N State Street Bank and Trust Company 571474TGEMMWANRLN572 000000000 1.00000000 NC -404.52000000 -0.00004379395 N/A DFE SG N 2 State Street Bank and Trust Company 571474TGEMMWANRLN572 78437.57000000 USD 107790.00000000 SGD 2019-11-22 -404.52000000 N N N JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 000000000 1.00000000 NC 9186.72000000 0.000994568270 N/A DFE US N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 3912988000.00000000 COP 1131935.55000000 USD 2019-11-06 9186.72000000 N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31410GPA5 80665.30000000 PA USD 91238.59000000 0.009877628432 Long ABS-MBS USGSE US N 2 2037-08-01 Fixed 5.50000000 N N N N N N Cintas Corp No 2 549300QVUQTTKMTE0G41 17252MAM2 60000.00000000 PA USD 61313.59000000 0.006637902447 Long DBT CORP US N 2 2022-04-01 Fixed 2.90000000 N N N N N N JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 000000000 1.00000000 NC -21962.75000000 -0.00237772069 N/A DFE CO N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 2150093.25000000 USD 7412554000.00000000 COP 2019-10-23 -21962.75000000 N N N Shell International Finance BV 213800ITMMKU4Z7I4F78 822582BT8 40000.00000000 PA USD 41697.64000000 0.004514249885 Long DBT CORP NL N 2 2026-05-10 Fixed 2.88000000 N N N N N N Bank of Montreal NQQ6HPCNCCU6TUTQYE16 06368BGS1 20000.00000000 PA USD 20742.60000000 0.002245625403 Long DBT CORP CA N 2 2032-12-15 Variable 3.80000000 N N N N N N Boeing Co/The RVHJWBXLJ1RFUBSY1F30 097023CH6 20000.00000000 PA USD 20984.67000000 0.002271832270 Long DBT CORP US N 2 2026-05-01 Fixed 3.10000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3132XYUX3 425218.12000000 PA USD 444063.26000000 0.048074963486 Long ABS-MBS USGSE US N 2 2048-05-01 Fixed 4.00000000 N N N N N N Petrobras Global Finance BV 549300FNENFFSMO3GT38 71647NAV1 2205000.00000000 PA USD 2406757.50000000 0.260559225128 Long DBT CORP NL N 2 2025-01-27 Fixed 5.30000000 N N N N N N Boyd Gaming Corporation 254900787YGRYS2A1Z35 10330JAU2 28894.86000000 PA USD 28963.92000000 0.003135678003 Long LON CORP US N 2 2023-09-15 Floating 4.17000000 N N N N N N VFH Parent LLC 549300FRO9M476YHHY64 91820UAQ3 20000.00000000 PA USD 20025.00000000 0.002167936937 Long LON CORP US N 2 2026-03-01 None 0.00000000 N N N N N N Fresenius Medical Care US Finance II Inc 5493008GJ5TVVTY4UM62 35802XAF0 236000.00000000 PA USD 251830.11000000 0.027263510480 Long DBT CORP US Y 2 2022-01-31 Fixed 5.88000000 N N N N N N Adani Abbot Point Terminal Pty Ltd 213800QDQZHS7LJ9UA09 00653GAB0 253000.00000000 PA USD 252114.50000000 0.027294298974 Long DBT CORP AU Y 2 2022-12-15 Fixed 4.45000000 N N N N N N United Rentals North America Inc NGIZXNT70J2LYT3FBI09 911365BG8 30000.00000000 PA USD 31200.00000000 0.003377759422 Long DBT CORP US N 2 2028-01-15 Fixed 4.88000000 N N N N N N Altria Group Inc XSGZFLO9YTNO9VCQV219 02209SAS2 690000.00000000 PA USD 727505.63000000 0.078760865284 Long DBT CORP US N 2 2024-01-31 Fixed 4.00000000 N N N N N N Citigroup Mortgage Loan Trust 549300R1KUK063S4I339 17307GQZ4 272849.34000000 PA USD 282754.26000000 0.030611405963 Long ABS-MBS CORP US N 2 2035-05-25 Variable 4.93000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140HRNX7 100000.00000000 PA USD 110771.88000000 0.011992332097 Long ABS-MBS USGSE US N 2 2028-11-01 Fixed 3.64000000 N N N N N N Ambac Assurance Corp 549300RYYRVPPB8NC636 023138AA8 881.41000000 PA USD 1280.25000000 0.000138601810 Long DBT CORP US Y 2 2020-06-07 Fixed 5.10000000 N N N N N N Sequoia Mortgage Trust N/A 81744YAC0 1485966.55000000 PA USD 1427908.05000000 0.154587495858 Long ABS-MBS CORP US N 2 2043-04-25 Variable 1.55000000 N N N N N N Glencore Funding LLC 213800STG1QDNBY87K49 378272AK4 20000.00000000 PA USD 20067.56000000 0.002172544547 Long DBT CORP US Y 2 2020-04-16 Fixed 2.88000000 N N N N N N CVS Health Corp 549300EJG376EN5NQE29 126650CX6 590000.00000000 PA USD 638151.33000000 0.069087232951 Long DBT CORP US N 2 2028-03-25 Fixed 4.30000000 N N N N N N LPL Holdings, Inc. 549300Z5YF8CCRMYUL26 50212XAW6 19848.11000000 PA USD 19935.04000000 0.002158197730 Long LON CORP US N 2 2024-09-23 Floating 4.30000000 N N N N N N General Dynamics Corp 9C1X8XOOTYY2FNYTVH06 369550BE7 713000.00000000 PA USD 725462.51000000 0.078539674007 Long DBT CORP US N 2 2021-05-11 Fixed 3.00000000 N N N N N N Gazprom OAO Via Gaz Capital SA 213800568PRHV2JR9650 368266AF9 672000.00000000 PA USD 730410.24000000 0.079075322777 Long DBT CORP LU Y 2 2022-03-07 Fixed 6.51000000 N N N N N N Bank of America Corp 9DJT3UXIJIZJI4WXO774 06051GEU9 460000.00000000 PA USD 475554.80000000 0.051484285473 Long DBT CORP US N 2 2023-01-11 Fixed 3.30000000 N N N N N N BNP Paribas SA R0MUWSFPU8MPRO8K5P83 09659W2F0 200000.00000000 PA USD 220816.81000000 0.023905963483 Long DBT CORP FR Y 2 2028-08-14 Fixed 4.40000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3138EKW35 134028.79000000 PA USD 154281.46000000 0.016702745361 Long ABS-MBS USGSE US N 2 2041-05-01 Fixed 6.00000000 N N N N N N Spectrum Brands Inc 549300VU3EH2E73C1Q04 84762LAU9 40000.00000000 PA USD 41739.60000000 0.004518792538 Long DBT CORP US N 2 2025-07-15 Fixed 5.75000000 N N N N N N BP Capital Markets PLC 549300CRVT18MXX0AG93 05565QBZ0 222000.00000000 PA USD 227623.68000000 0.024642885576 Long DBT CORP GB N 2 2022-05-06 Fixed 3.25000000 N N N N N N BHP Billiton Finance USA Ltd 5493003NUVITP3TMY274 055451AQ1 5000.00000000 PA USD 5114.16000000 0.000553666734 Long DBT CORP AU N 2 2022-02-24 Fixed 2.88000000 N N N N N N Barclays PLC 213800LBQA1Y9L22JB70 06738EBD6 400000.00000000 PA USD 439009.62000000 0.047527848738 Long DBT CORP GB N 2 2029-05-16 Variable 4.97000000 N N N N N N Wells Fargo & Co PBLD0EJDB5FWOLXP3B76 949746SH5 260000.00000000 PA USD 266643.94000000 0.028867278232 Long DBT CORP US N 2 2026-10-23 Fixed 3.00000000 N N N N N N Apple Inc HWUPKR0MPOU8FGXBT394 037833DJ6 80000.00000000 PA USD 80166.11000000 0.008678904918 Long DBT CORP US N 2 2020-11-13 Fixed 2.00000000 N N N N N N Verizon Communications Inc 2S72QS2UO2OESLG6Y829 92343VER1 123000.00000000 PA USD 139520.78000000 0.015104731709 Long DBT CORP US N 2 2028-09-21 Fixed 4.33000000 N N N N N N NORWEGIAN GOVERNMENT 549300O6E2WAK3IAXE34 000000000 10613000.00000000 PA 1195502.80000000 0.129426950246 Long DBT NUSS NO Y 2 2023-05-24 Fixed 2.00000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3138LFDS4 370000.00000000 PA USD 380707.22000000 0.041215942297 Long ABS-MBS USGSE US N 2 2028-10-01 Fixed 2.56000000 N N N N N N Bank of Montreal NQQ6HPCNCCU6TUTQYE16 000000000 1.00000000 NC 8514.26000000 0.000921766728 N/A DFE US N 2 Bank of Montreal NQQ6HPCNCCU6TUTQYE16 36200000.00000000 MXN 1820559.24000000 USD 2019-12-18 8514.26000000 N N N United States Treasury 254900HROIFWPRGM1V77 9128283W8 530000.00000000 PA USD 575505.47000000 0.062305096928 Long DBT UST US N 2 2028-02-15 Fixed 2.75000000 N N N N N N JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 000000000 1.00000000 NC 2279.03000000 0.000246731251 N/A DFE US N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 1556046000.00000000 HUF 5090269.47000000 USD 2019-12-16 2279.03000000 N N N Amazon.com Inc ZXTILKJKG63JELOEG630 023135BF2 50000.00000000 PA USD 57448.40000000 0.006219451103 Long DBT CORP US N 2 2037-08-22 Fixed 3.88000000 N N N N N N JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 000000000 1.00000000 NC -9500.39000000 -0.00102852666 N/A DFE CO N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 1133870.76000000 USD 3912988000.00000000 COP 2019-10-03 -9500.39000000 N N N United States Treasury 254900HROIFWPRGM1V77 912810SH2 130000.00000000 PA USD 151744.53000000 0.016428093463 Long DBT UST US N 2 2049-05-15 Fixed 2.88000000 N N N N N N Amgen Inc 62QBXGPJ34PQ72Z12S66 031162BZ2 100000.00000000 PA USD 112533.97000000 0.012183098639 Long DBT CORP US N 2 2045-05-01 Fixed 4.40000000 N N N N N N Anheuser-Busch InBev Worldwide Inc 549300CRGMZK3K53BF92 03523TBX5 450000.00000000 PA USD 491643.29000000 0.053226049854 Long DBT CORP US N 2 2025-01-23 Fixed 4.15000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31418DFQ0 5183239.26000000 PA USD 5263476.27000000 0.569831941271 Long ABS-MBS USGSE US N 2 2049-09-01 Fixed 3.00000000 N N N N N N Sequoia Mortgage Trust 5493007E0SBYHIR7SU85 81745QAA0 568558.12000000 PA USD 575683.29000000 0.062324347991 Long ABS-MBS CORP US Y 2 2045-01-25 Variable 3.50000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3137AMTT4 116570.02000000 PA USD 120349.29000000 0.013029197061 Long ABS-MBS USGSE US N 2 2042-01-15 Fixed 3.00000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 31335BCW4 474819.14000000 PA USD 488343.79000000 0.052868840969 Long ABS-MBS USGSE US N 2 2047-05-01 Fixed 3.00000000 N N N N N N Marks & Spencer PLC 213800CN1RI3UCIZWB95 57069PAA0 623000.00000000 PA USD 709680.77000000 0.076831118847 Long DBT CORP GB Y 2 2037-12-01 Fixed 7.13000000 N N N N N N Republic of Argentina 549300KPBYGYF7HCHO27 040114GK0 160000.00000000 PA USD 62801.60000000 0.006798996672 Long DBT NUSS AR N 2 2038-12-31 Variable 3.75000000 N N N N N N Union Pacific Corp 549300LMMRSZZCZ8CL11 907818DM7 269000.00000000 PA USD 275524.69000000 0.029828721726 Long DBT CORP US N 2 2023-01-15 Fixed 2.95000000 N N N N N N United States Treasury 254900HROIFWPRGM1V77 912828Q60 6841336.80000000 PA USD 6768106.93000000 0.732725543504 Long DBT UST US N 2 2021-04-15 Fixed 0.13000000 N N N N N N United States Treasury 254900HROIFWPRGM1V77 912828P46 4303000.00000000 PA USD 4304848.96000000 0.466049491614 Long DBT UST US N 2 2026-02-15 Fixed 1.63000000 N N N N N N RUSSIA GOVT BOND - OFZ 5493004EHVGF71PDBU58 000000000 37350000.00000000 PA 604700.85000000 0.065465833143 Long DBT NUSS RU N 2 2030-04-10 Fixed 7.65000000 N N N N N N Bank of America Corp 9DJT3UXIJIZJI4WXO774 06051GHF9 130000.00000000 PA USD 135194.50000000 0.014636362060 Long DBT CORP US N 2 2024-03-05 Variable 3.55000000 N N N N N N Williams Companies Inc/The D71FAKCBLFS2O0RBPG08 969457BB5 80000.00000000 PA USD 105207.60000000 0.011389934687 Long DBT CORP US N 2 2031-01-15 Fixed 7.50000000 N N N N N N DELTA AIR LINES 2002-1G1 Q2CCMS6R0AS67HJMBN42 247367AX3 71959.18000000 PA USD 76377.47000000 0.008268740993 Long DBT CORP US N 2 2023-01-02 Fixed 6.72000000 N N N N N N JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 000000000 1.00000000 NC -192.27000000 -0.00002081544 N/A DFE US N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 2610000.00000000 CAD 1972283.75000000 USD 2019-12-16 -192.27000000 N N N Fannie Mae - ACES B1V7KEBTPIMZEU4LTD58 3136B3XY1 70000.00000000 PA USD 77385.67000000 0.008377890257 Long ABS-MBS USGSE US N 2 2028-09-25 Variable 3.67000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3136ARUS5 374569.69000000 PA USD 79430.84000000 0.008599303470 Long ABS-MBS USGSE US N 2 2045-11-25 Floating 3.98000000 N N N N N N Boeing Co/The RVHJWBXLJ1RFUBSY1F30 097023BU8 30000.00000000 PA USD 30674.77000000 0.003320897224 Long DBT CORP US N 2 2027-03-01 Fixed 2.80000000 N N N N N N Verizon Communications Inc 2S72QS2UO2OESLG6Y829 92343VDQ4 717000.00000000 PA USD 734186.91000000 0.079484190812 Long DBT CORP US N 2 2022-03-15 Fixed 2.95000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3132LA2Q4 191886.98000000 PA USD 199307.61000000 0.021577344798 Long ABS-MBS USGSE US N 2 2049-03-01 Fixed 3.50000000 N N N N N N Associated Bank NA/Green Bay WI ZF85QS7OXKPBG52R7N18 04550KAA9 365000.00000000 PA USD 371768.82000000 0.040248257527 Long DBT CORP US N 2 2021-08-13 Fixed 3.50000000 N N N N N N Lamb Weston Holdings Inc 5493005SMYID1D2OY946 513272AB0 60000.00000000 PA USD 62850.00000000 0.006804236529 Long DBT CORP US Y 2 2026-11-01 Fixed 4.88000000 N N N N N N Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 000000000 2072000.00000000 OU Notional Amount USD -548869.88000000 -0.05942148746 N/A DIR US N 2 Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 ICE Libor USD 3 Months US0003M Index Y 2044-05-15 0.00000000 USD -2260.41000000 USD 2072000.00000000 USD -546609.47000000 N N N JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 000000000 1.00000000 NC -1208.40000000 -0.00013082322 N/A DFE GB N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 297078.58000000 USD 240485.00000000 GBP 2019-10-17 -1208.40000000 N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140H3ZJ8 84467.53000000 PA USD 86885.49000000 0.009406355210 Long ABS-MBS USGSE US N 2 2037-12-01 Fixed 3.00000000 N N N N N N HCA Inc L3CJ6J7LJ2DX62FTXD46 404119BV0 20000.00000000 PA USD 22611.23000000 0.002447926128 Long DBT CORP US N 2 2047-06-15 Fixed 5.50000000 N N N N N N United States Treasury 254900HROIFWPRGM1V77 912810QF8 1649930.00000000 PA USD 2195646.10000000 0.237703984083 Long DBT UST US N 2 2040-02-15 Fixed 2.13000000 N N N N N N Asurion LLC 549300KNQVXGIOXWK278 04649VAW0 109320.84000000 PA USD 109655.36000000 0.011871455945 Long LON CORP US N 2 2024-11-03 Floating 5.04000000 N N N N N N Wind River CLO Ltd N/A 88432AAW0 1016000.00000000 PA USD 1012929.65000000 0.109661303523 Long ABS-CBDO CORP KY Y 2 2030-10-18 Floating 3.53000000 N N N N N N EOG Resources Inc XWTZDRYZPBUHIQBKDB46 26875PAP6 30000.00000000 PA USD 33184.23000000 0.003592575178 Long DBT CORP US N 2 2026-01-15 Fixed 4.15000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31418AWG9 1095751.47000000 PA USD 1148493.55000000 0.124337657389 Long ABS-MBS USGSE US N 2 2043-08-01 Fixed 3.50000000 N N N N N N NGPL PipeCo LLC 549300K3NT1HSQFEM073 62912XAC8 553000.00000000 PA USD 716610.74000000 0.077581367933 Long DBT CORP US Y 2 2037-12-15 Fixed 7.77000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3132JMTA7 405709.12000000 PA USD 425843.83000000 0.046102500302 Long ABS-MBS USGSE US N 2 2043-07-01 Fixed 3.50000000 N N N N N N Verizon Communications Inc 2S72QS2UO2OESLG6Y829 92343VDV3 10000.00000000 PA USD 13206.65000000 0.001429772002 Long DBT CORP US N 2 2047-03-16 Fixed 5.50000000 N N N N N N CCO Holdings LLC / CCO Holdings Capital Corp 0J0XRGZE3PBRFEZ7MV65 1248EPBF9 50000.00000000 PA USD 51237.00000000 0.005546995498 Long DBT CORP US Y 2 2023-05-01 Fixed 5.13000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 01F0324A9 3200000.00000000 PA USD 3309749.98000000 0.358318563527 Long ABS-MBS USGSE US N 2 2034-10-17 Fixed 3.50000000 N N N N N N Petroleos Mexicanos 549300CAZKPF4HKMPX17 71654QCB6 220000.00000000 PA USD 236500.00000000 0.025603849470 Long DBT CORP MX N 2 2026-08-04 Fixed 6.88000000 N N N N N N Albertsons, LLC 549300MBYHQDK18CKL60 000000000 88319.19000000 PA USD 88839.39000000 0.009617887393 Long LON CORP US N 2 2026-08-17 Floating 4.79000000 N N N N N N Philip Morris International Inc HL3H1H2BGXWVG3BSWR90 718172CC1 170000.00000000 PA USD 169965.57000000 0.018400730949 Long DBT CORP US N 2 2019-11-01 Fixed 1.88000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 36179UMK5 189788.99000000 PA USD 196710.79000000 0.021296209118 Long ABS-MBS USGA US N 2 2049-02-20 Fixed 3.50000000 N N N N N N Ameriquest Mortgage Securities N/A 03072SYB5 830000.00000000 PA USD 840027.23000000 0.090942624728 Long ABS-O CORP US N 2 2035-03-25 Floating 3.13000000 N N N N N N The Bank of New York Mellon HPFHU0OQ28E4N0NFVK49 000000000 1.00000000 NC -19189.71000000 -0.00207750717 N/A DFE JP N 2 The Bank of New York Mellon HPFHU0OQ28E4N0NFVK49 1860391.70000000 USD 198000000.00000000 JPY 2019-12-18 -19189.71000000 N N N Barrick North America Finance LLC 0O4KBQCJZX82UKGCBV73 06849RAG7 130000.00000000 PA USD 163469.60000000 0.017697467363 Long DBT CORP US N 2 2041-05-30 Fixed 5.70000000 N N N N N N MALAYSIA GOVERNMENT 254900GSIL471JOBYY43 000000000 610000.00000000 PA 148314.91000000 0.016056797589 Long DBT NUSS MY N 2 2021-09-30 Fixed 4.05000000 N N N N N N British Telecommunications PLC 549300OWFMSO9NYV4H90 111021AE1 30000.00000000 PA USD 45750.35000000 0.004953002429 Long DBT CORP GB N 2 2030-12-15 Fixed 9.63000000 N N N N N N Citigroup Global Markets Inc. MBNUM2BPBDO7JBLYG310 000000000 2100000.00000000 OU Notional Amount 7072.26000000 0.000765653617 N/A DIR US N 2 Citigroup Global Markets Inc. MBNUM2BPBDO7JBLYG310 Brazil Cetip DI Interbank Deposit Rate BZDIOVRA Index Y 2027-01-04 0.00000000 BRL 0.00000000 BRL 2100000.00000000 BRL 7072.26000000 N N N United Technologies Corp I07WOS4YJ0N7YRFE7309 913017CG2 232000.00000000 PA USD 231802.77000000 0.025095320211 Long DBT CORP US N 2 2021-11-01 Fixed 1.95000000 N N N N N N Bristol-Myers Squibb Co HLYYNH7UQUORYSJQCN42 110122CB2 170000.00000000 PA USD 181766.70000000 0.019678339220 Long DBT CORP US Y 2 2029-07-26 Fixed 3.40000000 N N N N N N Merrill Lynch, Pierce, Fenner & Smith Incorporated 8NAV47T0Y26Q87Y0QP81 000000000 -11.00000000 NC USD -6531.25000000 -0.00070708305 N/A DIR US N 1 Merrill Lynch, Pierce, Fenner & Smith Incorporated 8NAV47T0Y26Q87Y0QP81 Call Written Chicago Board Of Trade 549300EX04Q2QBFQTQ27 Chicago Board Of Trade 549300EX04Q2QBFQTQ27 N/A 11000.00000000 NC N/A -6531.25000000 0.00000000 DIR US Short 10 Year US Treasury Note TYZ9 Comdty 2019-12-19 11000.00000000 USD 1000.00000000 130.50000000 USD 2019-10-25 XXXX 324.72000000 N N N Constellation Brands Inc 5493005GKEG8QCVY7037 21036PAN8 40000.00000000 PA USD 44208.90000000 0.004786122709 Long DBT CORP US N 2 2024-11-15 Fixed 4.75000000 N N N N N N LIFE TECHNOLOGIES CORP ZX5LQJBHZ3NFEMZ34U07 53217VAE9 385000.00000000 PA USD 396320.68000000 0.042906279208 Long DBT CORP US N 2 2021-01-15 Fixed 5.00000000 N N N N N N MEX BONOS DESARR FIX RT 254900EGTWEU67VP6075 000000000 92493000.00000000 PA 4903010.15000000 0.530807331225 Long DBT NUSS MX N 2 2042-11-13 Fixed 7.75000000 N N N N N N Chicago Board Of Trade 549300EX04Q2QBFQTQ27 000000000 -85.00000000 NC USD -13796562.50000000 -1.49363682649 N/A DIR US N 1 Chicago Board Of Trade 549300EX04Q2QBFQTQ27 Short US Treasury Long Bond USZ9 Comdty 2019-12-19 -13986441.03000000 USD 189878.53000000 N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3138NJAD0 385557.59000000 PA USD 396643.90000000 0.042941271497 Long ABS-MBS USGSE US N 2 2021-01-01 Fixed 4.28000000 N N N N N N Netflix Inc 549300Y7VHGU0I7CE873 64110LAE6 60000.00000000 PA USD 61860.00000000 0.006697057624 Long DBT CORP US N 2 2021-02-01 Fixed 5.38000000 N N N N N N Lockheed Martin Corp DPRBOZP0K5RM2YE8UU08 539830BF5 274000.00000000 PA USD 275201.87000000 0.029793772742 Long DBT CORP US N 2 2020-11-23 Fixed 2.50000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 3622A3CG3 85383.72000000 PA USD 89719.42000000 0.009713160779 Long ABS-MBS USGA US N 2 2048-06-15 Fixed 3.50000000 N N N N N N JP Morgan Mortgage Trust 5493002WZI1ZSAEIE710 46647JAE0 569504.42000000 PA USD 578736.66000000 0.062654910469 Long ABS-MBS CORP US Y 2 2046-10-25 Variable 3.50000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 01F0426A6 800000.00000000 PA USD 842437.50000000 0.091203564222 Long ABS-MBS USGSE US N 2 2049-10-10 Fixed 4.50000000 N N N N N N MSCG TRUST N/A 55352NAC1 255000.00000000 PA USD 265897.48000000 0.028786465338 Long ABS-MBS CORP US Y 2 2035-06-07 Variable 3.58000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 31335B4L7 452184.31000000 PA USD 470836.85000000 0.050973513034 Long ABS-MBS USGSE US N 2 2048-11-01 Fixed 4.00000000 N N N N N N JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 000000000 1700000.00000000 OU Notional Amount 6099.88000000 0.000660382280 N/A DIR US N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 Brazil Cetip DI Interbank Deposit Rate BZDIOVRA Index Y 2027-01-04 0.00000000 BRL 0.00000000 BRL 1700000.00000000 BRL 6099.88000000 N N N HMH Trust N/A 40390AAJ0 1170000.00000000 PA USD 1229102.20000000 0.133064472360 Long ABS-MBS CORP US Y 2 2031-07-05 Fixed 6.29000000 N N N N N N United States Treasury 254900HROIFWPRGM1V77 912810RX8 1225000.00000000 PA USD 1452677.74000000 0.157269100146 Long DBT UST US N 2 2047-05-15 Fixed 3.00000000 N N N N N N ArcelorMittal 2EULGUTUI56JI9SAL165 03938LBA1 50000.00000000 PA USD 52313.44000000 0.005663532528 Long DBT CORP LU N 2 2026-03-11 Fixed 4.55000000 N N N N N N SoFi Professional Loan Program LLC N/A 83404KAB9 174914.63000000 PA USD 174400.38000000 0.018880850220 Long ABS-O CORP US Y 2 2040-11-26 Fixed 1.86000000 N N N N N N AT&T Inc 549300Z40J86GGSTL398 00206RBK7 100000.00000000 PA USD 105498.83000000 0.011421463689 Long DBT CORP US N 2 2045-06-15 Fixed 4.35000000 N N N N N N Republic of Indonesia 529900FWX0GRR7WG5W79 455780CE4 240000.00000000 PA USD 264617.44000000 0.028647886262 Long DBT NUSS ID N 2 2048-01-11 Fixed 4.35000000 N N N N N N UnitedHealth Group Inc 549300GHBMY8T5GXDE41 91324PBN1 60000.00000000 PA USD 79383.73000000 0.008594203270 Long DBT CORP US N 2 2040-10-15 Fixed 5.70000000 N N N N N N Intercontinental Exchange, Inc. 5493000F4ZO33MV32P92 000000000 9390000.00000000 OU Notional Amount USD 186673.20000000 0.020209524368 N/A DCR US N 2 Intercontinental Exchange, Inc. 5493000F4ZO33MV32P92 Markit CDX.NA.IG.S33.V1 2I65BYDV4 RED Code Y sell protection 2024-12-20 185551.02000000 USD 0.00000000 USD 9390000.00000000 USD 1122.18000000 N N N General Motors Financial Co Inc 5493008B6JBRUJ90QL97 37045XAL0 10000.00000000 PA USD 10442.38000000 0.001130507930 Long DBT CORP US N 2 2023-05-15 Fixed 4.25000000 N N N N N N Energy Transfer Partners LP MTLVN9N7JE8MIBIJ1H73 29278NAF0 20000.00000000 PA USD 21984.88000000 0.002380116524 Long DBT CORP US N 2 2028-06-15 Fixed 4.95000000 N N N N N N Comcast Corp 51M0QTTNCGUN7KFCFZ59 20030NBS9 30000.00000000 PA USD 31422.18000000 0.003401812967 Long DBT CORP US N 2 2026-03-01 Fixed 3.15000000 N N N N N N American Express Credit Corp 9ET6B8VCXWW51H8Z3M54 0258M0DT3 80000.00000000 PA USD 80104.17000000 0.008672199199 Long DBT CORP US N 2 2020-05-26 Fixed 2.38000000 N N N N N N State Street Bank and Trust Company 571474TGEMMWANRLN572 000000000 1.00000000 NC 124919.25000000 0.013523947877 N/A DFE US N 2 State Street Bank and Trust Company 571474TGEMMWANRLN572 3156586490.00000000 CLP 4458455.49000000 USD 2019-11-22 124919.25000000 N N N Bank of Montreal NQQ6HPCNCCU6TUTQYE16 06367WJM6 270000.00000000 PA USD 275256.06000000 0.029799639434 Long DBT CORP CA N 2 2022-03-26 Fixed 2.90000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3132QSX78 422220.38000000 PA USD 447194.46000000 0.048413951957 Long ABS-MBS USGSE US N 2 2045-09-01 Fixed 4.00000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140QBSK5 798265.54000000 PA USD 815849.18000000 0.088325072286 Long ABS-MBS USGSE US N 2 2049-09-01 Fixed 3.00000000 N N N N N N General Motors Financial Co Inc 5493008B6JBRUJ90QL97 37045XCP9 335000.00000000 PA USD 345600.57000000 0.037415243007 Long DBT CORP US N 2 2021-11-06 Fixed 4.20000000 N N N N N N Commonwealth Bank of Australia MSFSBD3QN1GSN7Q6C537 2027A0DJ5 30000.00000000 PA USD 30032.67000000 0.003251382502 Long DBT CORP AU Y 2 2019-10-15 Fixed 5.00000000 N N N N N N ICICI Bank Ltd/Dubai R7RX8ER1V4666J8D1I38 45112EAG4 252000.00000000 PA USD 262818.43000000 0.028453122705 Long DBT CORP IN Y 2 2026-03-18 Fixed 4.00000000 N N N N N N Kraft Heinz Foods Co 5493003STKEZ2S0RNU91 423074AS2 28000.00000000 PA USD 28825.61000000 0.003120704352 Long DBT CORP US Y 2 2025-02-15 Fixed 4.88000000 N N N N N N Alterra Mountain Company 549300C5O4FSVNUEI843 46124CAB3 139065.01000000 PA USD 139238.84000000 0.015074208456 Long LON CORP US N 2 2024-07-31 Floating 5.04000000 N N N N N N CANADIAN GOVERNMENT 4BFD7AQU0A75QLAHK410 135087D50 1778000.00000000 PA 1404376.42000000 0.152039925827 Long DBT NUSS CA N 2 2025-06-01 Fixed 2.25000000 N N N N N N Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 000000000 4216000.00000000 OU Notional Amount USD -186706.91000000 -0.02021317386 N/A DIR US N 2 Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 ICE Libor USD 3 Months US0003M Index Y 2025-12-31 21752.03000000 USD 0.00000000 USD 4216000.00000000 USD -208458.94000000 N N N State Street Bank and Trust Company 571474TGEMMWANRLN572 000000000 1.00000000 NC -374.12000000 -0.00004050279 N/A DFE TW N 2 State Street Bank and Trust Company 571474TGEMMWANRLN572 46515.73000000 USD 1426870.00000000 TWD 2019-11-22 -374.12000000 N N N Western Union Co/The 28ID94QU1140NC23S047 959802AH2 635000.00000000 PA USD 721024.26000000 0.078059182316 Long DBT CORP US N 2 2036-11-17 Fixed 6.20000000 N N N N N N Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 000000000 82.00000000 NC USD 20098200.00000000 2.175861680491 N/A DIR US N 1 Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 Long Eurodollar Time Deposit EDZ9 Comdty 2019-12-16 20036897.20000000 USD 61302.80000000 N N N Asset Backed Securities Corp H N/A 04544RAC9 490947.83000000 PA USD 475333.38000000 0.051460314207 Long ABS-MBS CORP US N 2 2036-12-25 Floating 2.16000000 N N N N N N Amgen Inc 62QBXGPJ34PQ72Z12S66 031162BV1 10000.00000000 PA USD 10595.21000000 0.001147053538 Long DBT CORP US N 2 2024-05-22 Fixed 3.63000000 N N N N N N JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 000000000 1.00000000 NC 116188.24000000 0.012578715464 N/A DFE US N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 7457000.00000000 SGD 5511456.02000000 USD 2019-10-03 116188.24000000 N N N Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 000000000 1951000.00000000 OU Notional Amount USD -644618.87000000 -0.06978741866 N/A DIR US N 2 Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 ICE Libor USD 3 Months US0003M Index Y 2044-02-15 0.00000000 USD -100.31000000 USD 1951000.00000000 USD -644518.56000000 N N N Owens Corning JO5M6676RDJIZ2U8X907 690742AB7 95000.00000000 PA USD 116555.99000000 0.012618528638 Long DBT CORP US N 2 2036-12-01 Fixed 7.00000000 N N N N N N Transcontinental Gas Pipe Line Co LLC D71FAKCBLFS2O0RBPG08 893574AH6 220000.00000000 PA USD 278547.49000000 0.030155974648 Long DBT CORP US N 2 2026-02-01 Fixed 7.85000000 N N N N N N JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 000000000 1.00000000 NC -19559.91000000 -0.00211758558 N/A DFE MX N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 2218790.52000000 USD 43407000.00000000 MXN 2019-10-03 -19559.91000000 N N N Energy Transfer Operating LP 5493008K8W3OKZE54J59 29278NAH6 100000.00000000 PA USD 106557.59000000 0.011536086656 Long DBT CORP US N 2 2024-04-15 Fixed 4.50000000 N N N N N N Morgan Stanley Mortgage Capital N/A 55375KAC0 5418000.00000000 PA USD 38234.28000000 0.004139301267 Long ABS-MBS CORP US Y 2 2039-09-13 Variable 0.17000000 N N N N N N JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 000000000 1.00000000 NC 266061.70000000 0.028804244045 N/A DFE US N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 972644000.00000000 HUF 3432368.53000000 USD 2019-10-03 266061.70000000 N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3131YDM76 99429.85000000 PA USD 100969.03000000 0.010931060656 Long ABS-MBS USGSE US N 2 2049-06-01 Fixed 3.00000000 N N N N N N International Lease Finance Corp 549300SZYINBBLJQU475 459745GN9 410000.00000000 PA USD 449215.97000000 0.048632803703 Long DBT CORP US N 2 2022-08-15 Fixed 5.88000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 36179UKZ4 441902.34000000 PA USD 466376.64000000 0.050490643920 Long ABS-MBS USGA US N 2 2049-01-20 Fixed 5.00000000 N N N N N N CWGS Group, LLC N/A 12670UAB3 48126.28000000 PA USD 40855.84000000 0.004423115337 Long LON CORP US N 2 2023-11-08 Floating 4.85000000 N N N N N N United Technologies Corp I07WOS4YJ0N7YRFE7309 913017BT5 20000.00000000 PA USD 23993.15000000 0.002597534887 Long DBT CORP US N 2 2042-06-01 Fixed 4.50000000 N N N N N N American International Group Inc ODVCVCQG2BP6VHV36M30 026874BW6 725000.00000000 PA USD 762046.04000000 0.082500262571 Long DBT CORP US N 2 2020-12-15 Fixed 6.40000000 N N N N N N Intel Corp KNX4USFCNGPY45LOCE31 458140AS9 20000.00000000 PA USD 21674.44000000 0.002346507818 Long DBT CORP US N 2 2025-07-29 Fixed 3.70000000 N N N N N N Verizon Communications Inc 2S72QS2UO2OESLG6Y829 92343VDY7 40000.00000000 PA USD 44147.41000000 0.004779465708 Long DBT CORP US N 2 2027-03-16 Fixed 4.13000000 N N N N N N JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 000000000 1.00000000 NC 43869.00000000 0.004749324619 N/A DFE GB N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 4201575.25000000 USD 3451000.00000000 GBP 2019-10-15 43869.00000000 N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 36179TSF3 67857.23000000 PA USD 69729.67000000 0.007549040060 Long ABS-MBS USGA US N 2 2048-02-20 Fixed 3.00000000 N N N N N N Federal Republic of Brazil 254900ZFY40OYEADAP90 105756BR0 170000.00000000 PA USD 190189.20000000 0.020590171872 Long DBT NUSS BR N 2 2041-01-07 Fixed 5.63000000 N N N N N N J.P. Morgan Securities LLC ZBUT11V806EZRVTWT807 000000000 640150000.00000000 OU Notional Amount 10790.39000000 0.001168184022 N/A DIR US N 2 J.P. Morgan Securities LLC ZBUT11V806EZRVTWT807 National Bank of Hungary Budapest Interbank Offer Rate 6 Month BUBOR06M Index Y 2027-04-05 0.00000000 HUF 0.00000000 HUF 640150000.00000000 HUF 10790.39000000 N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140EVVB0 75261.13000000 PA USD 77084.60000000 0.008345295961 Long ABS-MBS USGSE US N 2 2046-08-01 Fixed 3.00000000 N N N N N N Wells Fargo Commercial Mortgage Trust 5493002S7XBI8CVRR075 95000TBV7 1961130.71000000 PA USD 153793.05000000 0.016649869352 Long ABS-MBS CORP US N 2 2050-03-15 Variable 1.43000000 N N N N N N American Home Mortgage Investment Trust N/A 02660TCS0 12896.18000000 PA USD 12959.16000000 0.001402978359 Long ABS-MBS CORP US N 2 2045-02-25 Floating 4.03000000 N N N N N N Equate Petrochemical BV 635400Y3Z5R4NJSMQ630 29441WAC9 200000.00000000 PA USD 215152.00000000 0.023292682542 Long DBT CORP NL Y 2 2026-11-03 Fixed 4.25000000 N N N N N N Jefferies Group LLC / Jefferies Group Capital Finance Inc NY9Q8VBNB6D1L6YV0J84 47233JBH0 732000.00000000 PA USD 731353.56000000 0.079177448034 Long DBT CORP US N 2 2030-01-23 Fixed 4.15000000 N N N N N N OCCIDENTAL PETROLEUM COR IM7X0T3ECJW4C1T7ON55 674599DL6 90000.00000000 PA USD 117285.55000000 0.012697511912 Long DBT CORP US N 2 2046-03-15 Fixed 6.60000000 N N N N N N Microsoft Corp INR2EJN1ERAN0W5ZP974 594918BZ6 200000.00000000 PA USD 237213.36000000 0.025681078908 Long DBT CORP US N 2 2037-02-06 Fixed 4.10000000 N N N N N N Shell International Finance BV 213800ITMMKU4Z7I4F78 822582AS1 269000.00000000 PA USD 273001.84000000 0.029555594150 Long DBT CORP NL N 2 2022-08-21 Fixed 2.38000000 N N N N N N JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 000000000 1.00000000 NC 7461.59000000 0.000807803074 N/A DFE US N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 4663000.00000000 PEN 1389244.75000000 USD 2019-11-06 7461.59000000 N N N JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 000000000 1.00000000 NC 33.37000000 0.000003612686 N/A DFE HK N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 103440.86000000 USD 811000.00000000 HKD 2019-10-03 33.37000000 N N N Wells Fargo Commercial Mortgage Trust 5493002S7XBI8CVRR075 94989HAQ3 1864000.00000000 PA USD 1945802.39000000 0.210655524286 Long ABS-MBS CORP US N 2 2048-05-15 Fixed 3.15000000 N N N N N N Pernod Ricard SA 52990097YFPX9J0H5D87 714264AD0 150000.00000000 PA USD 157368.48000000 0.017036950838 Long DBT CORP FR Y 2 2022-01-15 Fixed 4.45000000 N N N N N N MPLX LP 5493000CZJ19CK4P3G36 55336VAS9 170000.00000000 PA USD 187853.38000000 0.020337292448 Long DBT CORP US N 2 2029-02-15 Fixed 4.80000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3138EPBN3 105308.35000000 PA USD 113027.01000000 0.012236475899 Long ABS-MBS USGSE US N 2 2031-02-01 Fixed 5.00000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 01F0224A0 1100000.00000000 PA USD 1109474.61000000 0.120113407637 Long ABS-MBS USGSE US N 2 2034-10-17 Fixed 2.50000000 N N N N N N Wells Fargo & Co PBLD0EJDB5FWOLXP3B76 949746RW3 400000.00000000 PA USD 410223.92000000 0.044411465103 Long DBT CORP US N 2 2026-04-22 Fixed 3.00000000 N N N N N N Royal Bank of Canada ES7IP3U3RHIGC71XBU11 000000000 1.00000000 NC -13138.04000000 -0.00142234417 N/A DFE CA N 2 Royal Bank of Canada ES7IP3U3RHIGC71XBU11 1857222.23000000 USD 2440000.00000000 CAD 2019-12-18 -13138.04000000 N N N Long Beach Mortgage Loan Trust N/A 542514HT4 677245.17000000 PA USD 677149.48000000 0.073309231945 Long ABS-O CORP US N 2 2034-10-25 Floating 2.92000000 N N N N N N Comcast Corp 51M0QTTNCGUN7KFCFZ59 20030NAY7 200000.00000000 PA USD 288505.91000000 0.031234088334 Long DBT CORP US N 2 2039-07-01 Fixed 6.55000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31418CR89 592221.71000000 PA USD 613894.45000000 0.066461146252 Long ABS-MBS USGSE US N 2 2047-12-01 Fixed 3.50000000 N N N N N N CCO Holdings LLC / CCO Holdings Capital Corp 0J0XRGZE3PBRFEZ7MV65 1248EPBG7 110000.00000000 PA USD 114125.00000000 0.012355345965 Long DBT CORP US Y 2 2025-05-01 Fixed 5.38000000 N N N N N N MPLX LP 5493000CZJ19CK4P3G36 55336VAE0 100000.00000000 PA USD 106538.23000000 0.011533990713 Long DBT CORP US N 2 2023-07-15 Fixed 4.50000000 N N N N N N HC Group Holdings II, Inc. N/A 000000000 100000.00000000 PA USD 99625.00000000 0.010785553926 Long LON CORP US N 2 2026-08-06 Floating 6.54000000 N N N N N N Burlington Northern Santa Fe LLC 5493000C01ZX7D35SD85 12189LAT8 220000.00000000 PA USD 233188.91000000 0.025245385834 Long DBT CORP US N 2 2024-09-01 Fixed 3.40000000 N N N N N N United States Treasury 254900HROIFWPRGM1V77 912828VM9 8992603.08000000 PA USD 9048241.48000000 0.979576375603 Long DBT UST US N 2 2023-07-15 Fixed 0.38000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3138ERNP1 77529.06000000 PA USD 79430.73000000 0.008599291561 Long ABS-MBS USGSE US N 2 2046-10-01 Fixed 3.00000000 N N N N N N Total Capital Canada Ltd 5299005IX98ZZ9LSGK46 89153UAF8 770000.00000000 PA USD 791363.00000000 0.085674161221 Long DBT CORP CA N 2 2023-07-15 Fixed 2.75000000 N N N N N N Bank of America Corp 9DJT3UXIJIZJI4WXO774 06051GHD4 482000.00000000 PA USD 502926.63000000 0.054447601392 Long DBT CORP US N 2 2028-12-20 Variable 3.42000000 N N N N N N United States Treasury 254900HROIFWPRGM1V77 9128285J5 685000.00000000 PA USD 740040.82000000 0.080117944006 Long DBT UST US N 2 2025-10-31 Fixed 3.00000000 N N N N N N MidAmerican Energy Co NINLOILYRTLIMK26MZ18 595620AK1 237000.00000000 PA USD 250171.72000000 0.027083970658 Long DBT CORP US N 2 2023-09-15 Fixed 3.70000000 N N N N N N BHP Billiton Finance USA Ltd 5493003NUVITP3TMY274 055451AV0 170000.00000000 PA USD 219439.94000000 0.023756901444 Long DBT CORP AU N 2 2043-09-30 Fixed 5.00000000 N N N N N N Popular ABS Mortgage Pass-Through Trust 5493000XG3O6HY7E1142 73316MAD9 439621.78000000 PA USD 438101.66000000 0.047429551609 Long ABS-O CORP US N 2 2036-07-25 Floating 2.27000000 N N N N N N BNP Paribas SA R0MUWSFPU8MPRO8K5P83 09659W2G8 260000.00000000 PA USD 281075.17000000 0.030429625127 Long DBT CORP FR Y 2 2025-01-10 Variable 4.71000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3132WKFA1 163026.80000000 PA USD 167418.46000000 0.018124976949 Long ABS-MBS USGSE US N 2 2047-01-01 Fixed 3.00000000 N N N N N N Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 000000000 13606000.00000000 OU Notional Amount USD -50952.57000000 -0.00551620267 N/A DIR US N 2 Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 ICE Libor USD 3 Months US0003M Index Y 2026-06-30 0.00000000 USD -19428.71000000 USD 13606000.00000000 USD -31523.86000000 N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140QBR83 697801.69000000 PA USD 714034.56000000 0.077302466770 Long ABS-MBS USGSE US N 2 2049-09-01 Fixed 3.00000000 N N N N N N LCM Ltd Partnership N/A 50189GAB8 1133000.00000000 PA USD 1133576.70000000 0.122722736534 Long ABS-CBDO CORP KY Y 2 2028-10-20 Floating 3.76000000 N N N N N N JPMorgan Chase & Co 8I5DZWZKVSZI1NUHU748 06423AAJ2 280000.00000000 PA USD 416897.43000000 0.045133949439 Long DBT CORP US N 2 2030-09-01 Fixed 8.75000000 N N N N N N Seattle Spinco, Inc. 213800AAQDP1DDU8BK05 81271EAB7 25817.26000000 PA USD 25451.43000000 0.002755410496 Long LON CORP US N 2 2024-06-21 Floating 4.54000000 N N N N N N Amgen Inc 62QBXGPJ34PQ72Z12S66 031162BW9 20000.00000000 PA USD 19992.55000000 0.002164423850 Long DBT CORP US N 2 2020-05-01 Fixed 2.13000000 N N N N N N Citadel Securities LP 549300NV5RXBUS3X7L47 17288YAB8 49874.69000000 PA USD 49999.38000000 0.005413008875 Long LON CORP US N 2 2026-02-27 None 0.00000000 N N N N N N Altria Group Inc XSGZFLO9YTNO9VCQV219 02209SBE2 100000.00000000 PA USD 115959.73000000 0.012553976624 Long DBT CORP US N 2 2039-02-14 Fixed 5.80000000 N N N N N N Tharaldson Hotel Portfolio Trust N/A 88327HAA1 243024.08000000 PA USD 242983.03000000 0.026305712152 Long ABS-MBS CORP US Y 2 2034-11-11 Floating 2.79000000 N N N N N N WaMu Mortgage Pass-Through Certificates Series N/A 9292276K7 55537.03000000 PA USD 56738.83000000 0.006142631976 Long ABS-MBS CORP US N 2 2033-08-25 Variable 4.40000000 N N N N N N CVS Health Corp 549300EJG376EN5NQE29 126650CZ1 265000.00000000 PA USD 301366.60000000 0.032626406181 Long DBT CORP US N 2 2048-03-25 Fixed 5.05000000 N N N N N N salesforce.com Inc RCGZFPDMRW58VJ54VR07 79466LAF1 30000.00000000 PA USD 32935.17000000 0.003565611564 Long DBT CORP US N 2 2028-04-11 Fixed 3.70000000 N N N N N N Verizon Communications Inc 2S72QS2UO2OESLG6Y829 92343VDU5 80000.00000000 PA USD 99429.95000000 0.010764437516 Long DBT CORP US N 2 2037-03-16 Fixed 5.25000000 N N N N N N Amazon.com Inc ZXTILKJKG63JELOEG630 023135AJ5 715000.00000000 PA USD 727454.06000000 0.078755282237 Long DBT CORP US N 2 2022-11-29 Fixed 2.50000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3138WK4R3 851462.52000000 PA USD 892466.18000000 0.096619745161 Long ABS-MBS USGSE US N 2 2047-06-01 Fixed 4.00000000 N N N N N N Concho Resources Inc SYHS7HRDXLL4I0IQ8776 20605PAH4 110000.00000000 PA USD 114352.99000000 0.012380028509 Long DBT CORP US N 2 2027-10-01 Fixed 3.75000000 N N N N N N American Express Credit Corp 9ET6B8VCXWW51H8Z3M54 0258M0EB1 723000.00000000 PA USD 725570.65000000 0.078551381408 Long DBT CORP US N 2 2021-05-05 Fixed 2.25000000 N N N N N N Humana Inc 529900YLDW34GJAO4J06 444859BE1 20000.00000000 PA USD 23028.16000000 0.002493063603 Long DBT CORP US N 2 2044-10-01 Fixed 4.95000000 N N N N N N Chicago Board Of Trade 549300EX04Q2QBFQTQ27 000000000 259.00000000 NC USD 42038937.50000000 4.551199271318 N/A DIR US N 1 Chicago Board Of Trade 549300EX04Q2QBFQTQ27 Long US Treasury Long Bond USZ9 Comdty 2019-12-19 42093037.23000000 USD -54099.73000000 N N N Pfizer Inc 765LHXWGK1KXCLTFYQ30 717081DX8 728000.00000000 PA USD 728875.71000000 0.078909192227 Long DBT CORP US N 2 2021-06-03 Fixed 1.95000000 N N N N N N Union Pacific Corp 549300LMMRSZZCZ8CL11 907818EW4 140000.00000000 PA USD 166555.80000000 0.018031584066 Long DBT CORP US N 2 2048-09-10 Fixed 4.50000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31402Q6N6 20231.77000000 PA USD 23236.12000000 0.002515577669 Long ABS-MBS USGSE US N 2 2032-08-01 Fixed 6.00000000 N N N N N N Atlantic Aviation FBO Inc. 549300IFVVFYQ4SH7939 000000000 19850.00000000 PA USD 19974.06000000 0.002162422095 Long LON CORP US N 2 2025-12-06 Floating 5.80000000 N N N N N N Dell International LLC / EMC Corp 549300TJB5YBRUPOG437 25272KAW3 100000.00000000 PA USD 105550.00000000 0.011427003431 Long DBT CORP US Y 2 2024-06-15 Fixed 7.13000000 N N N N N N Time Warner Cable LLC 549300U5NFR7S6E3GM41 88732JAX6 150000.00000000 PA USD 152697.98000000 0.016531315409 Long DBT CORP US N 2 2021-02-15 Fixed 4.13000000 N N N N N N PCI Gaming Authority 549300KPXAJ1LRW5LP59 000000000 89775.00000000 PA USD 90223.88000000 0.009767774385 Long LON CORP US N 2 2026-05-29 Floating 5.04000000 N N N N N N Glencore Funding LLC 213800STG1QDNBY87K49 378272AH1 40000.00000000 PA USD 42740.40000000 0.004627140667 Long DBT CORP US Y 2 2024-04-29 Fixed 4.63000000 N N N N N N McAfee, LLC N/A 57906PAG4 109774.37000000 PA USD 109974.16000000 0.011905969718 Long LON CORP US N 2 2024-09-30 Floating 5.79000000 N N N N N N Apple Inc HWUPKR0MPOU8FGXBT394 037833AK6 716000.00000000 PA USD 727398.71000000 0.078749289962 Long DBT CORP US N 2 2023-05-03 Fixed 2.40000000 N N N N N N ABB Finance USA Inc 5493002Y01YAFV45F528 00037BAB8 274000.00000000 PA USD 280013.99000000 0.030314740167 Long DBT CORP US N 2 2022-05-08 Fixed 2.88000000 N N N N N N Northern Natural Gas Co 5493007M02M6CT9EXE41 665501AL6 631000.00000000 PA USD 734862.15000000 0.079557293321 Long DBT CORP US Y 2 2049-01-15 Fixed 4.30000000 N N N N N N Becton Dickinson and Co ICE2EP6D98PQUILVRZ91 075887BV0 180000.00000000 PA USD 187762.04000000 0.020327403841 Long DBT CORP US N 2 2024-06-06 Fixed 3.36000000 N N N N N N Centene Corp 549300Z7JJ4TQSQGT333 15135BAF8 30000.00000000 PA USD 30426.30000000 0.003293997484 Long DBT CORP US N 2 2021-02-15 Fixed 5.63000000 N N N N N N BBVA Bancomer SA/Texas 549300WIWQK5Q9MCUN92 05533UAB4 695000.00000000 PA USD 724544.45000000 0.078440283436 Long DBT CORP MX Y 2 2021-03-10 Fixed 6.50000000 N N N N N N Merrill Lynch Mortgage Investors Trust Series 9DJT3UXIJIZJI4WXO774 59023WAD0 790000.00000000 PA USD 787918.59000000 0.085301264159 Long ABS-MBS CORP US N 2 2036-08-25 Floating 2.39000000 N N N N N N Ecolab Inc 82DYEISM090VG8LTLS26 278865AL4 462000.00000000 PA USD 484193.63000000 0.052419538339 Long DBT CORP US N 2 2021-12-08 Fixed 4.35000000 N N N N N N Voya CLO Ltd 549300L8S87K3SMP0R77 92912VAN5 1428000.00000000 PA USD 1428265.61000000 0.154626205847 Long ABS-CBDO CORP KY Y 2 2030-04-17 Floating 3.55000000 N N N N N N JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 000000000 1.00000000 NC -14381.26000000 -0.00155693706 N/A DFE PL N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 1103393.56000000 USD 4367000.00000000 PLN 2019-10-03 -14381.26000000 N N N State Street Bank and Trust Company 571474TGEMMWANRLN572 000000000 1.00000000 NC -1416.47000000 -0.00015334919 N/A DFE HU N 2 State Street Bank and Trust Company 571474TGEMMWANRLN572 78087.84000000 USD 23488470.00000000 HUF 2019-11-22 -1416.47000000 N N N Republic of Indonesia 529900FWX0GRR7WG5W79 000000000 14844000000.00000000 PA 1105744.67000000 0.119709598663 Long DBT NUSS ID N 2 2034-03-15 Fixed 8.38000000 N N N N N N MA FinanceCo., LLC N/A 55280FAG6 3822.92000000 PA USD 3768.75000000 0.000408010603 Long LON CORP US N 2 2024-06-21 Floating 4.54000000 N N N N N N RegionalCare Hospital Partners Holdings, Inc. N/A 000000000 208848.12000000 PA USD 208881.54000000 0.022613833012 Long LON CORP US N 2 2025-11-17 Floating 6.55000000 N N N N N N Bank of America Corp 9DJT3UXIJIZJI4WXO774 06051GFX2 790000.00000000 PA USD 840188.58000000 0.090960092725 Long DBT CORP US N 2 2026-04-19 Fixed 3.50000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31418CXM1 439172.52000000 PA USD 453027.07000000 0.049045399181 Long ABS-MBS USGSE US N 2 2048-06-01 Fixed 3.50000000 N N N N N N Mondelez International Inc 549300DV9GIB88LZ5P30 609207AQ8 689000.00000000 PA USD 720934.78000000 0.078049495075 Long DBT CORP US N 2 2023-05-07 Fixed 3.63000000 N N N N N N Sierra Pacific Power Co QB888G5GSVGE1LD1WV84 826418BM6 718000.00000000 PA USD 729569.23000000 0.078984273756 Long DBT CORP US N 2 2026-05-01 Fixed 2.60000000 N N N N N N OCCIDENTAL PETROLEUM COR IM7X0T3ECJW4C1T7ON55 674599CW3 370000.00000000 PA USD 372809.46000000 0.040360918795 Long DBT CORP US N 2 2024-08-15 Fixed 2.90000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3133KGK80 2533626.85000000 PA USD 2616004.79000000 0.283212654792 Long ABS-MBS USGSE US N 2 2049-08-01 Fixed 3.50000000 N N N N N N Verizon Communications Inc 2S72QS2UO2OESLG6Y829 92343VEA8 260000.00000000 PA USD 302553.88000000 0.032754942919 Long DBT CORP US N 2 2033-08-10 Fixed 4.50000000 N N N N N N Suncor Energy Inc 549300W70ZOQDVLCHY06 867224AA5 688000.00000000 PA USD 725355.68000000 0.078528108429 Long DBT CORP CA N 2 2024-12-01 Fixed 3.60000000 N N N N N N ECAF I Ltd N/A 26827EAA3 294279.50000000 PA USD 293409.23000000 0.031764929210 Long ABS-O CORP KY Y 2 2040-06-15 Fixed 3.47000000 N N N N N N Citibank, National Association E57ODZWZ7FF32TWEFA76 000000000 1.00000000 NC -1858.74000000 -0.00020123001 N/A DFE MX N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 427130.90000000 USD 8413411.00000000 MXN 2019-10-17 -1858.74000000 N N N United States Treasury 254900HROIFWPRGM1V77 9128286R6 30000.00000000 PA USD 30908.20000000 0.003346168711 Long DBT UST US N 2 2024-04-30 Fixed 2.25000000 N N N N N N UFC Holdings, LLC 549300JEOTH7UMZ3C491 000000000 109435.90000000 PA USD 109633.98000000 0.011869141314 Long LON CORP US N 2 2026-04-29 Floating 5.30000000 N N N N N N Oracle Corp 1Z4GXXU7ZHVWFCD8TV52 68389XBR5 719000.00000000 PA USD 732715.33000000 0.079324875324 Long DBT CORP US N 2 2023-02-15 Fixed 2.63000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3128MAD55 1161495.54000000 PA USD 1223669.27000000 0.132476295100 Long ABS-MBS USGSE US N 2 2045-01-01 Fixed 3.50000000 N N N N N N Bank of America, National Association B4TYDEB6GKMZO031MB27 000000000 1.00000000 NC -23713.57000000 -0.00256726713 N/A DFE US N 2 Bank of America, National Association B4TYDEB6GKMZO031MB27 54971210.00000000 THB 1775254.96000000 USD 2019-11-22 -23713.57000000 N N N 2019-10-29 RUSSELL INVESTMENT FUNDS Mark Swanson Mark Swanson Treasurer XXXX