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
2019-12-31
N
962773744.55
44928501.69
917845242.86
0
0
0
0
0
0
0
0
0
0
24303695.72
0
0
20627509.48
BRL
SGD
MXN
CAD
EUR
JPY
USD
AUD
GBP
N
Bangkok Bank PCL/Hong Kong
549300CCL2BKJGMYXV60
Bangkok Bank PCL/Hong Kong
059895AN2
219000.00000000
PA
USD
227286.02000000
0.024763000273
Long
DBT
CORP
TH
Y
2
2022-09-27
Fixed
3.88000000
N
N
N
N
N
N
Fairfax Financial Holdings Ltd
GLS7OQD0WOEDI8YAP031
Fairfax Financial Holdings Ltd
303901BB7
226000.00000000
PA
USD
245965.57000000
0.026798152729
Long
DBT
CORP
CA
N
2
2028-04-17
Fixed
4.85000000
N
N
N
N
N
N
FedEx Corp
549300E707U7WNPZN687
FedEx Corp
31428XBD7
226000.00000000
PA
USD
201823.83000000
0.021988873567
Long
DBT
CORP
US
N
2
2065-02-01
Fixed
4.50000000
N
N
N
N
N
N
BXP Trust
N/A
BXP Trust 2017-GM
056083AA6
818000.00000000
PA
USD
856898.35000000
0.093359785504
Long
ABS-MBS
CORP
US
Y
2
2039-06-13
Fixed
3.38000000
N
N
N
N
N
N
Freddie Mac
N/A
Freddie Mac Pool
3133KGK80
2460851.97000000
PA
USD
2540189.79000000
0.276755783151
Long
ABS-MBS
USGSE
US
N
2
2049-08-01
Fixed
3.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140QBJE9
485314.89000000
PA
USD
506962.01000000
0.055233931203
Long
ABS-MBS
USGSE
US
N
2
2049-07-01
Fixed
3.50000000
N
N
N
N
N
N
Westpac Banking Corp
EN5TNI6CI43VEPAMHL14
Westpac Banking Corp
961214CS0
80000.00000000
PA
USD
80429.98000000
0.008762912988
Long
DBT
CORP
AU
N
2
2020-11-23
Fixed
2.60000000
N
N
N
N
N
N
Bank of Montreal
NQQ6HPCNCCU6TUTQYE16
Bank of Montreal
06368BGS1
20000.00000000
PA
USD
20859.00000000
0.002272605339
Long
DBT
CORP
CA
N
2
2032-12-15
Variable
3.80000000
N
N
N
N
N
N
GS Mortgage Securities Trust
549300ITVQSU1IHX4H03
GS Mortgage Securities Trust 2013-GCJ14
36198FAM4
235000.00000000
PA
USD
250993.91000000
0.027345994540
Long
ABS-MBS
CORP
US
Y
2
2046-08-10
Fixed
4.51000000
N
N
N
N
N
N
Microsoft Corp
INR2EJN1ERAN0W5ZP974
Microsoft Corp
594918BY9
810000.00000000
PA
USD
865103.64000000
0.094253758651
Long
DBT
CORP
US
N
2
2027-02-06
Fixed
3.30000000
N
N
N
N
N
N
Hasbro Inc
549300NUB6D2R1ITYR45
Hasbro Inc
418056AU1
480000.00000000
PA
USD
476130.06000000
0.051874764695
Long
DBT
CORP
US
N
2
2044-05-15
Fixed
5.10000000
N
N
N
N
N
N
Altria Group Inc
XSGZFLO9YTNO9VCQV219
Altria Group Inc
02209SAS2
690000.00000000
PA
USD
731534.27000000
0.079701265076
Long
DBT
CORP
US
N
2
2024-01-31
Fixed
4.00000000
N
N
N
N
N
N
State Street Bank and Trust Company
571474TGEMMWANRLN572
PURCHASED USD / SOLD MXN
000000000
1.00000000
NC
-1642.61000000
-0.00017896372
N/A
DFE
US
N
2
State Street Bank and Trust Company
571474TGEMMWANRLN572
6292440.00000000
MXN
328493.80000000
USD
2020-02-26
-1642.61
N
N
N
JP Morgan Mortgage Trust 2018-3
5493002WZI1ZSAEIE710
JP Morgan Mortgage Trust 2018-3
46649TAA4
600825.38000000
PA
USD
611578.35000000
0.066631968162
Long
ABS-MBS
CORP
US
Y
2
2048-09-25
Variable
3.50000000
N
N
N
N
N
N
Republic of Argentina
549300KPBYGYF7HCHO27
Argentine Republic Government International Bond
040114HR4
210000.00000000
PA
USD
100537.50000000
0.010953643959
Long
DBT
NUSS
AR
N
2
2048-01-11
Fixed
6.88000000
N
N
N
N
N
N
Alterra Mountain Company
549300C5O4FSVNUEI843
Alterra Mountain Company Term Loan B1
46124CAB3
138711.15000000
PA
USD
139751.48000000
0.015226039584
Long
LON
CORP
US
N
2
2024-07-31
Floating
4.55000000
N
N
N
N
N
N
Kinder Morgan Inc/DE
549300WR7IX8XE0TBO16
Kinder Morgan Inc/DE
49456BAH4
80000.00000000
PA
USD
95632.20000000
0.010419207458
Long
DBT
CORP
US
N
2
2045-06-01
Fixed
5.55000000
N
N
N
N
N
N
Credit Suisse Group Funding Guernsey Ltd
549300PXR5FKNXF0OH19
Credit Suisse Group Funding Guernsey Ltd
225433AF8
300000.00000000
PA
USD
377654.25000000
0.041145743570
Long
DBT
CORP
GG
N
2
2045-05-15
Fixed
4.88000000
N
N
N
N
N
N
Cisco Systems Inc
8E6NF1YAL0WT6CWXXV93
Cisco Systems Inc
17275RBD3
220000.00000000
PA
USD
221262.11000000
0.024106690285
Long
DBT
CORP
US
N
2
2021-02-28
Fixed
2.20000000
N
N
N
N
N
N
Glencore Funding LLC
213800STG1QDNBY87K49
Glencore Funding LLC
378272AQ1
60000.00000000
PA
USD
61966.80000000
0.006751334223
Long
DBT
CORP
US
Y
2
2027-10-27
Fixed
3.88000000
N
N
N
N
N
N
Republic of Indonesia
529900FWX0GRR7WG5W79
Indonesia Treasury Bond
000000000
22837000000.00000000
PA
1773332.32000000
0.193206026156
Long
DBT
NUSS
ID
N
2
2029-05-15
Fixed
8.25000000
N
N
N
N
N
N
HCA Inc
L3CJ6J7LJ2DX62FTXD46
HCA Inc
404119BX6
269000.00000000
PA
USD
285040.41000000
0.031055388935
Long
DBT
CORP
US
N
2
2029-06-15
Fixed
4.13000000
N
N
N
N
N
N
Freddie Mac
N/A
Freddie Mac Pool
3132CWBD5
1015427.02000000
PA
USD
1045178.76000000
0.113873092237
Long
ABS-MBS
USGSE
US
N
2
2033-04-01
Fixed
3.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138ERVZ0
152526.85000000
PA
USD
156919.54000000
0.017096513951
Long
ABS-MBS
USGSE
US
N
2
2046-12-01
Fixed
3.00000000
N
N
N
N
N
N
State Street Bank and Trust Company
571474TGEMMWANRLN572
PURCHASED USD / SOLD IDR
000000000
1.00000000
NC
-4217.97000000
-0.00045955132
N/A
DFE
US
N
2
State Street Bank and Trust Company
571474TGEMMWANRLN572
4237219020.00000000
IDR
300810.66000000
USD
2020-02-26
-4217.97
N
N
N
General Motors Financial Co Inc
5493008B6JBRUJ90QL97
General Motors Financial Co Inc
37045XCB0
30000.00000000
PA
USD
30070.83000000
0.003276241853
Long
DBT
CORP
US
N
2
2020-11-06
Fixed
2.45000000
N
N
N
N
N
N
Teva Pharmaceutical Finance IV BV
549300P1YOE2RRPSGG38
Teva Pharmaceutical Finance IV BV
88166JAA1
20000.00000000
PA
USD
19575.00000000
0.002132712475
Long
DBT
CORP
CW
N
2
2021-11-10
Fixed
3.65000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138YXZY4
30203.56000000
PA
USD
31462.70000000
0.003427887244
Long
ABS-MBS
USGSE
US
N
2
2030-09-01
Fixed
3.50000000
N
N
N
N
N
N
Sungard As New Holdings III, LLC
N/A
Sungard As New Holdings III, LLC PIK Exit Delayed Draw Term Loan
86736LAD5
39420.78000000
PA
USD
36070.01000000
0.003929857487
Long
LON
CORP
US
N
2
2022-02-03
Floating
9.39000000
N
N
N
N
N
N
Freddie Mac
N/A
Freddie Mac Gold Pool
3132JMTA7
398571.85000000
PA
USD
419971.85000000
0.045756281166
Long
ABS-MBS
USGSE
US
N
2
2043-07-01
Fixed
3.50000000
N
N
N
N
N
N
Freddie Mac
N/A
Freddie Mac Gold Pool
3132JMFT1
512932.83000000
PA
USD
549868.84000000
0.059908665897
Long
ABS-MBS
USGSE
US
N
2
2043-07-01
Fixed
3.50000000
N
N
N
N
N
N
Morgan Stanley Capital I Trust
N/A
Morgan Stanley Capital I Trust 2011-C3
61760RBB7
80251.50000000
PA
USD
81652.03000000
0.008896056348
Long
ABS-MBS
CORP
US
N
2
2049-07-15
Fixed
4.12000000
N
N
N
N
N
N
Medtronic Inc
D56MRZY2INAN94ZONZ37
Medtronic Inc
585055BS4
67000.00000000
PA
USD
71752.03000000
0.007817443142
Long
DBT
CORP
US
N
2
2025-03-15
Fixed
3.50000000
N
N
N
N
N
N
Morgan Stanley Mortgage Capital Holdings LLC
N/A
MSSG Trust 2017-237P
55375KAC0
5418000.00000000
PA
USD
36408.96000000
0.003966786370
Long
ABS-MBS
CORP
US
Y
2
2039-09-13
Variable
0.05000000
N
N
N
N
N
N
JPMorgan Chase Bank, National Association
7H6GLXDRUGQFU57RNE97
PURCHASED KRW / SOLD USD
000000000
1.00000000
NC
141359.73000000
0.015401259754
N/A
DFE
KR
N
2
JPMorgan Chase Bank, National Association
7H6GLXDRUGQFU57RNE97
5288960.28000000
USD
6272178000.00000000
KRW
2020-01-15
141359.73
N
N
N
Devon Energy Corp
54930042348RKR3ZPN35
Devon Energy Corp
25179SAD2
150000.00000000
PA
USD
208713.72000000
0.022739532794
Long
DBT
CORP
US
N
2
2031-09-30
Fixed
7.88000000
N
N
N
N
N
N
Change Healthcare Holdings LLC
N/A
Change Healthcare Holdings LLC 2017 Term Loan B
15911AAC7
323127.95000000
PA
USD
323987.47000000
0.035298703405
Long
LON
CORP
US
N
2
2024-03-01
Floating
4.30000000
N
N
N
N
N
N
Citibank, National Association
E57ODZWZ7FF32TWEFA76
PURCHASED USD / SOLD GBP
000000000
1.00000000
NC
11977.54000000
0.001304962911
N/A
DFE
US
N
2
Citibank, National Association
E57ODZWZ7FF32TWEFA76
518353.00000000
GBP
698865.29000000
USD
2020-01-17
11977.54
N
N
N
Starbucks Corp
OQSJ1DU9TAOC51A47K68
Starbucks Corp
855244AQ2
220000.00000000
PA
USD
236827.58000000
0.025802561144
Long
DBT
CORP
US
N
2
2025-08-15
Fixed
3.80000000
N
N
N
N
N
N
Schneider Electric SE
969500A1YF1XUYYXS284
Schneider Electric SE
80687PAA4
200000.00000000
PA
USD
204596.30000000
0.022290936472
Long
DBT
CORP
FR
Y
2
2022-09-27
Fixed
2.95000000
N
N
N
N
N
N
Sands China Ltd
549300EVO6UZDGY05787
Sands China Ltd
80007RAF2
400000.00000000
PA
USD
438936.00000000
0.047822441028
Long
DBT
CORP
KY
N
2
2025-08-08
Fixed
5.13000000
N
N
N
N
N
N
Fanniemae-Aces
N/A
Fannie Mae-Aces
3136AC7M7
89232.37000000
PA
USD
93650.77000000
0.010203329017
Long
ABS-MBS
USGSE
US
N
2
2043-02-25
Variable
3.51000000
N
N
N
N
N
N
Nevada Power Co
MJZFGXRJ52U8U4MKJ519
Nevada Power Co
641423CA4
208000.00000000
PA
USD
265252.65000000
0.028899496082
Long
DBT
CORP
US
N
2
2041-05-15
Fixed
5.45000000
N
N
N
N
N
N
Altria Group Inc
XSGZFLO9YTNO9VCQV219
Altria Group Inc
02209SBA0
40000.00000000
PA
USD
41146.18000000
0.004482910416
Long
DBT
CORP
US
N
2
2022-02-14
Fixed
3.49000000
N
N
N
N
N
N
Intel Corp
KNX4USFCNGPY45LOCE31
Intel Corp
458140BG4
10000.00000000
PA
USD
11021.59000000
0.001200811366
Long
DBT
CORP
US
N
2
2047-12-08
Fixed
3.73000000
N
N
N
N
N
N
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
Long: BWS032003 IRS USD R V 03MLIBOR 1 CCPVANILLA / Short: BWS032003 IRS USD P F 1.85000 2 CCPVANILLA
000000000
5708000.00000000
OU
Notional Amount
USD
274420.60000000
0.029898351833
N/A
DIR
US
N
2
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
ICE Libor USD 3 Months
US0003M Index
Y
2044-11-15
11907.05
USD
0
USD
5708000
USD
262513.55
N
N
N
Russian Federation
5493004EHVGF71PDBU58
Russian Federal Bond - OFZ
000000000
31660000.00000000
PA
555891.78000000
0.060564870202
Long
DBT
NUSS
RU
N
2
2026-09-16
Fixed
7.75000000
N
N
N
N
N
N
BrightView Landscapes, LLC
549300OSAEQC89PVOW06
BrightView Landscapes, LLC 2018 1st Lien Term Loan B
10801XAG2
39400.00000000
PA
USD
39646.25000000
0.004319491799
Long
LON
CORP
US
N
2
2025-08-15
Floating
4.31000000
N
N
N
N
N
N
Eaton Corp
0NZWDMRCE180888QQE14
Eaton Corp
278062AC8
150000.00000000
PA
USD
152976.53000000
0.016666919743
Long
DBT
CORP
US
N
2
2022-11-02
Fixed
2.75000000
N
N
N
N
N
N
Federal Home Loan Banks
2549001DPIFGXC1TOL40
Federal Home Loan Banks
3130AHAP8
660000.00000000
PA
USD
659781.16000000
0.071883704266
Long
DBT
USGSE
US
N
2
2020-10-07
Floating
1.66000000
N
N
N
N
N
N
Occidental Petroleum Corp
IM7X0T3ECJW4C1T7ON55
Occidental Petroleum Corp
674599CJ2
20000.00000000
PA
USD
20195.80000000
0.002200349150
Long
DBT
CORP
US
N
2
2046-04-15
Fixed
4.40000000
N
N
N
N
N
N
Mondelez International Inc
549300DV9GIB88LZ5P30
Mondelez International Inc
609207AQ8
689000.00000000
PA
USD
721982.92000000
0.078660637576
Long
DBT
CORP
US
N
2
2023-05-07
Fixed
3.63000000
N
N
N
N
N
N
Freddie Mac
N/A
Freddie Mac Gold Pool
3132QSX78
401750.40000000
PA
USD
430354.81000000
0.046887513265
Long
ABS-MBS
USGSE
US
N
2
2045-09-01
Fixed
4.00000000
N
N
N
N
N
N
Textainer Marine Containers V Ltd
N/A
Textainer Marine Containers V Ltd
88315FAA9
759235.71000000
PA
USD
761708.09000000
0.082988727775
Long
ABS-O
CORP
BM
Y
2
2042-05-20
Fixed
3.72000000
N
N
N
N
N
N
FirstEnergy Corp
549300SVYJS666PQJH88
FirstEnergy Corp
337932AF4
100000.00000000
PA
USD
105370.54000000
0.011480207673
Long
DBT
CORP
US
N
2
2023-03-15
Fixed
4.25000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140Q95N9
287444.56000000
PA
USD
307277.31000000
0.033478117622
Long
ABS-MBS
USGSE
US
N
2
2048-11-01
Fixed
5.00000000
N
N
N
N
N
N
Abbott Laboratories
HQD377W2YR662HK5JX27
Abbott Laboratories
002824BH2
80000.00000000
PA
USD
104963.36000000
0.011435845074
Long
DBT
CORP
US
N
2
2046-11-30
Fixed
4.90000000
N
N
N
N
N
N
United States Treasury
254900HROIFWPRGM1V77
United States Treasury Note/Bond
912828YS3
320000.00000000
PA
USD
314918.75000000
0.034310658844
Long
DBT
UST
US
N
2
2029-11-15
Fixed
1.75000000
N
N
N
N
N
N
Energy Transfer Partners LP / Regency Energy Finance Corp
N/A
Energy Transfer Partners LP / Regency Energy Finance Corp
75886AAQ1
516000.00000000
PA
USD
547090.08000000
0.059605917692
Long
DBT
CORP
US
N
2
2022-10-01
Fixed
5.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140FXDJ8
69598.23000000
PA
USD
74581.13000000
0.008125675932
Long
ABS-MBS
USGSE
US
N
2
2056-02-01
Fixed
4.00000000
N
N
N
N
N
N
JPMorgan Chase & Co
8I5DZWZKVSZI1NUHU748
JPMorgan Chase & Co
46647PAY2
220000.00000000
PA
USD
234477.83000000
0.025546553934
Long
DBT
CORP
US
N
2
2024-12-05
Variable
4.02000000
N
N
N
N
N
N
Altria Group Inc
XSGZFLO9YTNO9VCQV219
Altria Group Inc
02209SBC6
350000.00000000
PA
USD
379953.68000000
0.041396268374
Long
DBT
CORP
US
N
2
2026-02-14
Fixed
4.40000000
N
N
N
N
N
N
Countrywide Asset-Backed Certificates
N/A
Countrywide Asset-Backed Certificates
12668WAD9
1564740.40000000
PA
USD
1631551.06000000
0.177758840359
Long
ABS-O
CORP
US
N
2
2047-04-25
Fixed
4.66000000
N
N
N
N
N
N
Small Business Administration Participation Certs
254900HROIFWPRGM1V77
United States Small Business Administration
83162CB51
68050.43000000
PA
USD
69755.10000000
0.007599875964
Long
ABS-O
USGA
US
N
2
2039-04-01
Fixed
2.98000000
N
N
N
N
N
N
Small Business Administration
254900HROIFWPRGM1V77
SBA Small Business Investment Cos
831641FM2
197856.80000000
PA
USD
205088.82000000
0.022344596934
Long
ABS-O
USGA
US
N
2
2029-03-10
Fixed
3.11000000
N
N
N
N
N
N
Charter Communications Operating LLC / Charter Communications Operating Capital
N/A
Charter Communications Operating LLC / Charter Communications Operating Capital
161175BM5
80000.00000000
PA
USD
91532.95000000
0.009972590773
Long
DBT
CORP
US
N
2
2038-04-01
Fixed
5.38000000
N
N
N
N
N
N
Bristol-Myers Squibb Co
HLYYNH7UQUORYSJQCN42
Bristol-Myers Squibb Co
110122BZ0
290000.00000000
PA
USD
299200.40000000
0.032598131583
Long
DBT
CORP
US
Y
2
2024-07-26
Fixed
2.90000000
N
N
N
N
N
N
Amazon.com Inc
ZXTILKJKG63JELOEG630
Amazon.com Inc
023135AQ9
60000.00000000
PA
USD
78405.84000000
0.008542381257
Long
DBT
CORP
US
N
2
2044-12-05
Fixed
4.95000000
N
N
N
N
N
N
United Rentals North America Inc
NGIZXNT70J2LYT3FBI09
United Rentals North America Inc
911365BL7
130000.00000000
PA
USD
139919.00000000
0.015244291027
Long
DBT
CORP
US
N
2
2030-01-15
Fixed
5.25000000
N
N
N
N
N
N
Freddie Mac
N/A
Freddie Mac Pool
3131Y1U65
646908.75000000
PA
USD
681539.88000000
0.074254334845
Long
ABS-MBS
USGSE
US
N
2
2048-06-01
Fixed
4.50000000
N
N
N
N
N
N
Asurion LLC
549300KNQVXGIOXWK278
Asurion LLC 2018 Term Loan B7
04649VAW0
188841.55000000
PA
USD
189819.75000000
0.020681019101
Long
LON
CORP
US
N
2
2024-11-03
Floating
4.80000000
N
N
N
N
N
N
Banco de Bogota SA
549300LYHE7LWSKDZT53
Banco de Bogota SA
059514AE9
686000.00000000
PA
USD
726309.36000000
0.079132006800
Long
DBT
CORP
CO
Y
2
2027-08-03
Fixed
4.38000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140FXFZ0
73479.01000000
PA
USD
78739.98000000
0.008578786087
Long
ABS-MBS
USGSE
US
N
2
2057-01-01
Fixed
4.00000000
N
N
N
N
N
N
Dupont De Nemours Inc
5493004JF0SDFLM8GD76
DuPont de Nemours Inc
26078JAE0
589000.00000000
PA
USD
701447.43000000
0.076423278919
Long
DBT
CORP
US
N
2
2038-11-15
Fixed
5.32000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140X5FC2
199718.72000000
PA
USD
207034.22000000
0.022556549877
Long
ABS-MBS
USGSE
US
N
2
2049-11-01
Fixed
3.50000000
N
N
N
N
N
N
Alimentation Couche-Tard Inc
549300OSW32RVX8CCZ87
Alimentation Couche-Tard Inc
01626PAH9
702000.00000000
PA
USD
721270.87000000
0.078583059138
Long
DBT
CORP
CA
Y
2
2027-07-26
Fixed
3.55000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138WK4R3
762424.28000000
PA
USD
800658.73000000
0.087232432289
Long
ABS-MBS
USGSE
US
N
2
2047-06-01
Fixed
4.00000000
N
N
N
N
N
N
Vericrest Opportunity Loan Transferee
N/A
VOLT LXII LLC
92872FAA6
1807733.76000000
PA
USD
1809430.14000000
0.197138913566
Long
ABS-O
CORP
US
Y
2
2047-09-25
Variable
3.13000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140HU4G8
20000.00000000
PA
USD
20151.09000000
0.002195477958
Long
ABS-MBS
USGSE
US
N
2
2029-10-01
Fixed
2.52000000
N
N
N
N
N
N
Federal Republic of Brazil
254900ZFY40OYEADAP90
Brazilian Government International Bond
105756BW9
350000.00000000
PA
USD
363580.00000000
0.039612342366
Long
DBT
NUSS
BR
N
2
2045-01-27
Fixed
5.00000000
N
N
N
N
N
N
Microsoft Corp
INR2EJN1ERAN0W5ZP974
Microsoft Corp
594918BB9
40000.00000000
PA
USD
41314.66000000
0.004501266452
Long
DBT
CORP
US
N
2
2025-02-12
Fixed
2.70000000
N
N
N
N
N
N
Procter & Gamble Co/The
2572IBTT8CCZW6AU4141
Procter & Gamble Co/The
742718EU9
270000.00000000
PA
USD
272975.03000000
0.029740855784
Long
DBT
CORP
US
N
2
2022-08-11
Fixed
2.15000000
N
N
N
N
N
N
United States Treasury
254900HROIFWPRGM1V77
United States Treasury Inflation Indexed Bonds
912810RW0
2942187.60000000
PA
USD
3151853.89000000
0.343397093847
Long
DBT
UST
US
N
2
2047-02-15
Fixed
0.88000000
N
N
N
N
N
N
Bank of America Corp
9DJT3UXIJIZJI4WXO774
Bank of America Corp
06051GGR4
260000.00000000
PA
USD
275307.32000000
0.029994960712
Long
DBT
CORP
US
N
2
2028-07-21
Variable
3.59000000
N
N
N
N
N
N
Dryden 50 Senior Loan Fund
5493008NBEE3C4AF3K95
Dryden 50 Senior Loan Fund
262431AB5
1230000.00000000
PA
USD
1226490.81000000
0.133627190372
Long
ABS-CBDO
CORP
KY
Y
2
2030-07-15
Floating
3.22000000
N
N
N
N
N
N
Rohm & Haas Co
N/A
Rohm & Haas Co
775371AU1
540000.00000000
PA
USD
721258.14000000
0.078581672194
Long
DBT
CORP
US
N
2
2029-07-15
Fixed
7.85000000
N
N
N
N
N
N
Chevron Corp
N/A
Chevron Corp
166764AB6
436000.00000000
PA
USD
441875.69000000
0.048142722690
Long
DBT
CORP
US
N
2
2022-12-05
Fixed
2.36000000
N
N
N
N
N
N
Fannie Mae
N/A
Fannie Mae REMICS
31394CF98
187050.34000000
PA
USD
204987.03000000
0.022333506829
Long
ABS-MBS
USGSE
US
N
2
2035-04-25
Fixed
5.00000000
N
N
N
N
N
N
Citigroup Inc
6SHGI4ZSSLCXXQSBB395
Citigroup Inc
172967HS3
101000.00000000
PA
USD
128743.16000000
0.014026673995
Long
DBT
CORP
US
N
2
2044-05-06
Fixed
5.30000000
N
N
N
N
N
N
3M Co
LUZQVYP4VS22CLWDAR65
3M Co
88579YBF7
305000.00000000
PA
USD
310402.25000000
0.033818582426
Long
DBT
CORP
US
N
2
2022-03-01
Fixed
2.75000000
N
N
N
N
N
N
Wells Fargo & Co
PBLD0EJDB5FWOLXP3B76
Wells Fargo & Co
95000U2C6
535000.00000000
PA
USD
565073.07000000
0.061565179358
Long
DBT
CORP
US
N
2
2024-01-24
Fixed
3.75000000
N
N
N
N
N
N
Occidental Petroleum Corp
IM7X0T3ECJW4C1T7ON55
Occidental Petroleum Corp
674599CZ6
80000.00000000
PA
USD
82394.69000000
0.008976969771
Long
DBT
CORP
US
N
2
2021-03-15
Fixed
4.85000000
N
N
N
N
N
N
Flatiron CLO Ltd
549300ZUHE1G4KLVKW25
Flatiron Clo 17 Ltd
33882GAA6
1000000.00000000
PA
USD
999982.00000000
0.108948867772
Long
ABS-CBDO
CORP
KY
Y
2
2030-05-15
Floating
3.16000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140HRNX7
100000.00000000
PA
USD
107826.70000000
0.011747808341
Long
ABS-MBS
USGSE
US
N
2
2028-11-01
Fixed
3.64000000
N
N
N
N
N
N
Brazil Notas do Tesouro Nacional
254900ZFY40OYEADAP90
Brazil Notas do Tesouro Nacional Serie F
000000000
4026000.00000000
PA
1112211.32000000
0.121176345212
Long
DBT
NUSS
BR
N
2
2023-01-01
Fixed
10.00000000
N
N
N
N
N
N
Lennar Corp
529900G61XVRLX5TJX09
Lennar Corp
526057CV4
10000.00000000
PA
USD
10850.00000000
0.001182116493
Long
DBT
CORP
US
N
2
2027-06-15
Fixed
5.00000000
N
N
N
N
N
N
LYB International Finance BV
549300J6QSW38QNOJK61
LYB International Finance BV
50247VAA7
214000.00000000
PA
USD
226216.41000000
0.024646465377
Long
DBT
CORP
NL
N
2
2023-07-15
Fixed
4.00000000
N
N
N
N
N
N
Time Warner Cable LLC
549300U5NFR7S6E3GM41
Time Warner Cable LLC
88732JAN8
600000.00000000
PA
USD
781079.26000000
0.085099232803
Long
DBT
CORP
US
N
2
2038-07-01
Fixed
7.30000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140JVKT8
98153.21000000
PA
USD
99627.44000000
0.010854492167
Long
ABS-MBS
USGSE
US
N
2
2049-06-01
Fixed
3.00000000
N
N
N
N
N
N
HSBC Holdings PLC
MLU0ZO3ML4LN2LL2TL39
HSBC Holdings PLC
404280CC1
200000.00000000
PA
USD
215370.59000000
0.023464804298
Long
DBT
CORP
GB
N
2
2030-05-22
Variable
3.97000000
N
N
N
N
N
N
General Motors Co
54930070NSV60J38I987
General Motors Co
37045VAF7
110000.00000000
PA
USD
123288.18000000
0.013432349403
Long
DBT
CORP
US
N
2
2043-10-02
Fixed
6.25000000
N
N
N
N
N
N
PROVINCIA DE BUENOS AIRE
549300L6AYROPOTQ4L07
Provincia de Buenos Aires/Government Bonds
000000000
140000.00000000
PA
USD
58100.00000000
0.006330043158
Long
DBT
NUSS
AR
Y
2
2023-02-15
Fixed
6.50000000
N
N
N
N
N
N
Continental Resources Inc/OK
XXRTID9RYWOZ0UPIVR53
Continental Resources Inc/OK
212015AN1
80000.00000000
PA
USD
82677.02000000
0.009007729858
Long
DBT
CORP
US
N
2
2024-06-01
Fixed
3.80000000
N
N
N
N
N
N
Toronto-Dominion Bank/The
PT3QB789TSUIDF371261
Toronto-Dominion Bank/The
89114QBZ0
90000.00000000
PA
USD
91896.53000000
0.010012203115
Long
DBT
CORP
CA
N
2
2021-06-11
Fixed
3.25000000
N
N
N
N
N
N
Bear Stearns Alt-A Trust
N/A
Bear Stearns ALT-A Trust 2005-2
07386HQS3
735592.40000000
PA
USD
723784.67000000
0.078856939732
Long
ABS-MBS
CORP
US
N
2
2035-03-25
Floating
2.54000000
N
N
N
N
N
N
JPMorgan Chase Bank, National Association
7H6GLXDRUGQFU57RNE97
PURCHASED USD / SOLD AUD
000000000
1.00000000
NC
-41564.17000000
-0.00452845077
N/A
DFE
US
N
2
JPMorgan Chase Bank, National Association
7H6GLXDRUGQFU57RNE97
3295000.00000000
AUD
2273349.01000000
USD
2020-02-18
-41564.17
N
N
N
Burlington Northern Santa Fe LLC
N/A
Burlington Northern Santa Fe LLC
12189LAU5
461000.00000000
PA
USD
548058.20000000
0.059711395168
Long
DBT
CORP
US
N
2
2044-09-01
Fixed
4.55000000
N
N
N
N
N
N
Goldman Sachs Group Inc/The
784F5XWPLTWKTBV3E584
Goldman Sachs Group Inc/The
38141GVR2
310000.00000000
PA
USD
336350.36000000
0.036645650518
Long
DBT
CORP
US
N
2
2025-10-21
Fixed
4.25000000
N
N
N
N
N
N
Continental Resources Inc/OK
XXRTID9RYWOZ0UPIVR53
Continental Resources Inc/OK
212015AS0
130000.00000000
PA
USD
138076.76000000
0.015043577452
Long
DBT
CORP
US
N
2
2028-01-15
Fixed
4.38000000
N
N
N
N
N
N
Exxon Mobil Corp
J3WHBG0MTS7O8ZVMDC91
Exxon Mobil Corp
30231GAR3
778000.00000000
PA
USD
796005.55000000
0.086725464471
Long
DBT
CORP
US
N
2
2023-03-01
Fixed
2.73000000
N
N
N
N
N
N
Republic of Indonesia
529900FWX0GRR7WG5W79
Indonesia Treasury Bond
000000000
14844000000.00000000
PA
1144108.05000000
0.124651520384
Long
DBT
NUSS
ID
N
2
2034-03-15
Fixed
8.38000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140EXDX8
143554.14000000
PA
USD
147218.46000000
0.016039573244
Long
ABS-MBS
USGSE
US
N
2
2046-09-01
Fixed
3.00000000
N
N
N
N
N
N
FHLMC Multifamily Structured Pass Through Certs.
N/A
Freddie Mac Multifamily Structured Pass Through Certificates
3137BHXJ1
1020000.00000000
PA
USD
1060288.37000000
0.115519296771
Long
ABS-MBS
USGSE
US
N
2
2025-01-25
Fixed
3.02000000
N
N
N
N
N
N
Russian Federation
5493004EHVGF71PDBU58
Russian Federal Bond - OFZ
000000000
55230000.00000000
PA
980629.77000000
0.106840426273
Long
DBT
NUSS
RU
N
2
2030-04-10
Fixed
7.65000000
N
N
N
N
N
N
Citigroup Mortgage Loan Trust Inc
549300R1KUK063S4I339
Citigroup Mortgage Loan Trust Inc
17307GQZ4
245947.61000000
PA
USD
254141.85000000
0.027688965212
Long
ABS-MBS
CORP
US
N
2
2035-05-25
Variable
4.64000000
N
N
N
N
N
N
Korea Southern Power Co Ltd
9884001B6VSIQS4ZY558
Korea Southern Power Co Ltd
50065AAB0
241000.00000000
PA
USD
243213.18000000
0.026498277557
Long
DBT
CORP
KR
Y
2
2021-01-29
Fixed
3.00000000
N
N
N
N
N
N
Mexican Bonos
254900EGTWEU67VP6075
Mexican Bonos
000000000
33020000.00000000
PA
1943792.18000000
0.211777769195
Long
DBT
NUSS
MX
N
2
2029-05-31
Fixed
8.50000000
N
N
N
N
N
N
Walgreens Boots Alliance Inc
549300RPTUOIXG4LIH86
Walgreens Boots Alliance Inc
931427AF5
707000.00000000
PA
USD
720213.58000000
0.078467866516
Long
DBT
CORP
US
N
2
2021-11-18
Fixed
3.30000000
N
N
N
N
N
N
Freddie Mac
N/A
Freddie Mac Pool
3133KGP44
197598.75000000
PA
USD
201517.70000000
0.021955520450
Long
ABS-MBS
USGSE
US
N
2
2049-09-01
Fixed
3.00000000
N
N
N
N
N
N
Republic of Peru
254900STKLK2DBJJZ530
Peruvian Government International Bond
715638AU6
30000.00000000
PA
USD
43875.00000000
0.004780217617
Long
DBT
NUSS
PE
N
2
2037-03-14
Fixed
6.55000000
N
N
N
N
N
N
Fannie Mae
N/A
Fannie Mae REMICS
3136ARUS5
358204.41000000
PA
USD
75443.87000000
0.008219672170
Long
ABS-MBS
USGSE
US
N
2
2045-11-25
Floating
4.21000000
N
N
N
N
N
N
UnitedHealth Group Inc
549300GHBMY8T5GXDE41
UnitedHealth Group Inc
91324PCQ3
100000.00000000
PA
USD
121216.15000000
0.013206600017
Long
DBT
CORP
US
N
2
2035-07-15
Fixed
4.63000000
N
N
N
N
N
N
Atlantic Aviation FBO Inc.
549300IFVVFYQ4SH7939
Atlantic Aviation FBO Inc. 2018 Term Loan B
04822DAJ8
19800.00000000
PA
USD
20010.47000000
0.002180157292
Long
LON
CORP
US
N
2
2025-12-06
Floating
5.55000000
N
N
N
N
N
N
Freddie Mac
N/A
Freddie Mac Gold Pool
3128MJXL9
426516.30000000
PA
USD
452145.84000000
0.049261664046
Long
ABS-MBS
USGSE
US
N
2
2045-12-01
Fixed
4.00000000
N
N
N
N
N
N
Wells Fargo Commercial Mortgage Trust
5493002S7XBI8CVRR075
Wells Fargo Commercial Mortgage Trust 2015-NXS1
94989HAQ3
1864000.00000000
PA
USD
1931144.82000000
0.210399828840
Long
ABS-MBS
CORP
US
N
2
2048-05-15
Fixed
3.15000000
N
N
N
N
N
N
Microsoft Corp
INR2EJN1ERAN0W5ZP974
Microsoft Corp
594918BZ6
200000.00000000
PA
USD
235935.08000000
0.025705322529
Long
DBT
CORP
US
N
2
2037-02-06
Fixed
4.10000000
N
N
N
N
N
N
SLM Student Loan Trust
549300FE2YWO5PJ3Q820
SLM Private Credit Student Loan Trust 2005-B
78443CCB8
193855.49000000
PA
USD
189695.66000000
0.020667499393
Long
ABS-O
CORP
US
N
2
2039-06-15
Floating
2.22000000
N
N
N
N
N
N
Burlington Northern Santa Fe LLC
N/A
Burlington Northern Santa Fe LLC
12189LAW1
100000.00000000
PA
USD
113175.02000000
0.012330512238
Long
DBT
CORP
US
N
2
2045-04-01
Fixed
4.15000000
N
N
N
N
N
N
MPLX LP
5493000CZJ19CK4P3G36
MPLX LP
55336VAM2
80000.00000000
PA
USD
81219.14000000
0.008848892624
Long
DBT
CORP
US
N
2
2038-04-15
Fixed
4.50000000
N
N
N
N
N
N
United States Treasury
254900HROIFWPRGM1V77
United States Treasury Inflation Indexed Bonds
912810RR1
1009998.60000000
PA
USD
1110385.68000000
0.120977440220
Long
DBT
UST
US
N
2
2046-02-15
Fixed
1.00000000
N
N
N
N
N
N
Freddie Mac
N/A
Freddie Mac Gold Pool
3132LA2Q4
180832.15000000
PA
USD
188236.18000000
0.020508487837
Long
ABS-MBS
USGSE
US
N
2
2049-03-01
Fixed
3.50000000
N
N
N
N
N
N
Verizon Communications Inc
2S72QS2UO2OESLG6Y829
Verizon Communications Inc
92343VDQ4
717000.00000000
PA
USD
732729.11000000
0.079831443884
Long
DBT
CORP
US
N
2
2022-03-15
Fixed
2.95000000
N
N
N
N
N
N
Panther BF Aggregator 2 L P
549300474L1ZLXZY2P98
Panther BF Aggregator 2 LP USD Term Loan B
000000000
319200.00000000
PA
USD
319800.10000000
0.034842485973
Long
LON
CORP
CA
N
2
2026-04-30
Floating
5.30000000
N
N
N
N
N
N
Allergan Finance LLC
2549006TBOV0H6GV7T12
Allergan Finance LLC
942683AF0
706000.00000000
PA
USD
721252.13000000
0.078581017400
Long
DBT
CORP
US
N
2
2022-10-01
Fixed
3.25000000
N
N
N
N
N
N
Microsoft Corp
INR2EJN1ERAN0W5ZP974
Microsoft Corp
594918BW3
721000.00000000
PA
USD
730903.53000000
0.079632545430
Long
DBT
CORP
US
N
2
2022-02-06
Fixed
2.40000000
N
N
N
N
N
N
FHLMC Multifamily Structured Pass Through Certs.
N/A
Freddie Mac Multifamily Structured Pass Through Certificates
3137BMTX4
1110000.00000000
PA
USD
1164797.26000000
0.126905626962
Long
ABS-MBS
USGSE
US
N
2
2025-11-25
Fixed
3.15000000
N
N
N
N
N
N
Fannie Mae
N/A
Fannie Mae REMICS
31359XFT1
9124.93000000
PA
USD
10129.15000000
0.001103579288
Long
ABS-MBS
USGSE
US
N
2
2029-12-18
Fixed
7.00000000
N
N
N
N
N
N
Masco Corp
5GCSNMQXHEYA1JO8QN11
Masco Corp
574599BJ4
238000.00000000
PA
USD
259034.78000000
0.028222053991
Long
DBT
CORP
US
N
2
2025-04-01
Fixed
4.45000000
N
N
N
N
N
N
Towd Point Mortgage Trust 2017-4
N/A
Towd Point Mortgage Trust 2017-4
89173UAA5
572991.45000000
PA
USD
576139.69000000
0.062770896780
Long
ABS-MBS
CORP
US
Y
2
2057-06-25
Variable
2.75000000
N
N
N
N
N
N
Hilton USA Trust
N/A
Hilton USA Trust 2016-SFP
43289VAA1
226000.00000000
PA
USD
225851.54000000
0.024606712488
Long
ABS-MBS
CORP
US
Y
2
2035-11-05
Fixed
2.83000000
N
N
N
N
N
N
Riserva CLO, Ltd.
549300640C8OB2I8SN35
Riserva Clo Ltd
76761RAN9
940000.00000000
PA
USD
940134.42000000
0.102428424324
Long
ABS-CBDO
CORP
KY
Y
2
2028-10-18
Floating
3.14000000
N
N
N
N
N
N
DNB Bank ASA
549300GKFG0RYRRQ1414
DNB Bank ASA
23341CAA1
550000.00000000
PA
USD
553543.50000000
0.060309023150
Long
DBT
CORP
NO
Y
2
2021-06-02
Fixed
2.38000000
N
N
N
N
N
N
Banco de Credito del Peru
549300EQYQ8SCQZ4BY14
Banco de Credito del Peru
05990GAA3
693000.00000000
PA
USD
730248.75000000
0.079561206606
Long
DBT
CORP
PE
Y
2
2023-04-01
Fixed
4.25000000
N
N
N
N
N
N
State Street Bank and Trust Company
571474TGEMMWANRLN572
PURCHASED USD / SOLD TWD
000000000
1.00000000
NC
-24492.76000000
-0.00266850650
N/A
DFE
US
N
2
State Street Bank and Trust Company
571474TGEMMWANRLN572
53662800.00000000
TWD
1776972.75000000
USD
2020-02-26
-24492.76
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140HTW39
90000.00000000
PA
USD
95422.43000000
0.010396352842
Long
ABS-MBS
USGSE
US
N
2
2029-05-01
Fixed
3.24000000
N
N
N
N
N
N
ArcelorMittal
2EULGUTUI56JI9SAL165
ArcelorMittal SA
03938LAX2
110000.00000000
PA
USD
118568.62000000
0.012918149429
Long
DBT
CORP
LU
N
2
2022-02-25
Fixed
6.25000000
N
N
N
N
N
N
Waste Management Inc
549300YX8JIID70NFS41
Waste Management Inc
94106LBG3
120000.00000000
PA
USD
128333.71000000
0.013982064078
Long
DBT
CORP
US
N
2
2029-06-15
Fixed
3.45000000
N
N
N
N
N
N
Lennar Corp
529900G61XVRLX5TJX09
Lennar Corp
526057BZ6
40000.00000000
PA
USD
42250.00000000
0.004603172520
Long
DBT
CORP
US
N
2
2024-04-30
Fixed
4.50000000
N
N
N
N
N
N
JPMorgan Chase Bank, National Association
7H6GLXDRUGQFU57RNE97
PURCHASED USD / SOLD IDR
000000000
1.00000000
NC
-47017.09000000
-0.00512255092
N/A
DFE
US
N
2
JPMorgan Chase Bank, National Association
7H6GLXDRUGQFU57RNE97
25035556000.00000000
IDR
1762694.92000000
USD
2020-01-10
-47017.09
N
N
N
International Business Machines Corp
VGRQXHF3J8VDLUA7XE92
International Business Machines Corp
459200JY8
220000.00000000
PA
USD
227808.98000000
0.024819977199
Long
DBT
CORP
US
N
2
2024-05-15
Fixed
3.00000000
N
N
N
N
N
N
Newell Brands Inc
549300LWGYFM1TVO1Z12
Newell Brands Inc
651229AW6
40000.00000000
PA
USD
41670.90000000
0.004540079095
Long
DBT
CORP
US
N
2
2026-04-01
Fixed
4.20000000
N
N
N
N
N
N
Verizon Communications Inc
2S72QS2UO2OESLG6Y829
Verizon Communications Inc
92343VEA8
450000.00000000
PA
USD
525082.00000000
0.057208119133
Long
DBT
CORP
US
N
2
2033-08-10
Fixed
4.50000000
N
N
N
N
N
N
Dell International LLC / EMC Corp
N/A
Dell International LLC / EMC Corp
25272KAD5
430000.00000000
PA
USD
442422.30000000
0.048202276303
Long
DBT
CORP
US
Y
2
2021-06-15
Fixed
4.42000000
N
N
N
N
N
N
Exxon Mobil Corp
J3WHBG0MTS7O8ZVMDC91
Exxon Mobil Corp
30231GAT9
60000.00000000
PA
USD
62888.62000000
0.006851767276
Long
DBT
CORP
US
N
2
2026-03-01
Fixed
3.04000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
3617K1ZG1
399447.17000000
PA
USD
421833.35000000
0.045959093134
Long
ABS-MBS
USGA
US
N
2
2049-11-20
Fixed
4.00000000
N
N
N
N
N
N
JPMorgan Chase & Co
8I5DZWZKVSZI1NUHU748
JPMorgan Chase & Co
06423AAJ2
280000.00000000
PA
USD
407905.17000000
0.044441606378
Long
DBT
CORP
US
N
2
2030-09-01
Fixed
8.75000000
N
N
N
N
N
N
Heineken NV
724500K5PTPSST86UQ23
Heineken NV
423012AA1
710000.00000000
PA
USD
730746.68000000
0.079615456492
Long
DBT
CORP
NL
Y
2
2022-04-01
Fixed
3.40000000
N
N
N
N
N
N
Danone SA
969500KMUQ2B6CBAF162
Danone SA
23636TAD2
718000.00000000
PA
USD
728857.11000000
0.079409586275
Long
DBT
CORP
FR
Y
2
2023-11-02
Fixed
2.59000000
N
N
N
N
N
N
Enterprise Products Operating LLC
5493004LGN656HWLDA30
Enterprise Products Operating LLC
29379VBS1
708000.00000000
PA
USD
729906.41000000
0.079523908379
Long
DBT
CORP
US
N
2
2022-02-01
Fixed
3.50000000
N
N
N
N
N
N
JP Morgan Mortgage Trust
5493002WZI1ZSAEIE710
JP MORGAN MORTGAGE TRUST 2018-5
46649KAA3
535966.12000000
PA
USD
546476.15000000
0.059539029509
Long
ABS-MBS
CORP
US
Y
2
2048-10-25
Variable
3.50000000
N
N
N
N
N
N
United States Treasury
254900HROIFWPRGM1V77
United States Treasury Note/Bond
912810RZ3
1775000.00000000
PA
USD
1901182.05000000
0.207135360213
Long
DBT
UST
US
N
2
2047-11-15
Fixed
2.75000000
N
N
N
N
N
N
Anthem Inc
8MYN82XMYQH89CTMTH67
Anthem Inc
036752AC7
30000.00000000
PA
USD
31287.17000000
0.003408763105
Long
DBT
CORP
US
N
2
2024-12-01
Fixed
3.35000000
N
N
N
N
N
N
Marks & Spencer PLC
213800CN1RI3UCIZWB95
Marks & Spencer PLC
57069PAA0
623000.00000000
PA
USD
703730.82000000
0.076672056152
Long
DBT
CORP
GB
Y
2
2037-12-01
Fixed
7.13000000
N
N
N
N
N
N
Precision Castparts Corp
0XOOAY5P5J7Q734SEC89
Precision Castparts Corp
740189AH8
457000.00000000
PA
USD
493889.11000000
0.053809627912
Long
DBT
CORP
US
N
2
2043-01-15
Fixed
3.90000000
N
N
N
N
N
N
Noble Energy Inc
02VFQXG2D1LR5ZH3K186
Noble Energy Inc
655044AP0
80000.00000000
PA
USD
84434.35000000
0.009199192419
Long
DBT
CORP
US
N
2
2028-01-15
Fixed
3.85000000
N
N
N
N
N
N
TJX Cos Inc/The
V167QI9I69W364E2DY52
TJX Cos Inc/The
872539AA9
246000.00000000
PA
USD
248977.34000000
0.027126287567
Long
DBT
CORP
US
N
2
2021-06-15
Fixed
2.75000000
N
N
N
N
N
N
Citibank, National Association
E57ODZWZ7FF32TWEFA76
PURCHASED USD / SOLD RUB
000000000
1.00000000
NC
-30815.54000000
-0.00335737862
N/A
DFE
US
N
2
Citibank, National Association
E57ODZWZ7FF32TWEFA76
44527847.75000000
RUB
685919.68000000
USD
2020-01-17
-30815.54
N
N
N
Apple Inc
HWUPKR0MPOU8FGXBT394
Apple Inc
037833AK6
716000.00000000
PA
USD
727733.90000000
0.079287211614
Long
DBT
CORP
US
N
2
2023-05-03
Fixed
2.40000000
N
N
N
N
N
N
Sysco Corp
5RGWIFLMGH3YS7KWI652
Sysco Corp
871829BA4
225000.00000000
PA
USD
226848.18000000
0.024715297242
Long
DBT
CORP
US
N
2
2021-07-15
Fixed
2.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140HTWT2
30000.00000000
PA
USD
31830.71000000
0.003467982238
Long
ABS-MBS
USGSE
US
N
2
2029-05-01
Fixed
3.26000000
N
N
N
N
N
N
Focus Financial Partners, LLC
5493007L0E0VKRC2CP39
Focus Financial Partners, LLC 2018 Incremental Term Loan
34416DAS7
129545.31000000
PA
USD
130331.65000000
0.014199741297
Long
LON
CORP
US
N
2
2024-07-03
Floating
4.30000000
N
N
N
N
N
N
Towd Point Mortgage Trust
N/A
Towd Point Mortgage Trust 2016-3
89172YAA8
205101.86000000
PA
USD
204570.65000000
0.022288141883
Long
ABS-O
CORP
US
Y
2
2056-04-25
Variable
2.25000000
N
N
N
N
N
N
ECAF I Ltd
N/A
ECAF I Ltd
26827EAA3
267526.80000000
PA
USD
267487.47000000
0.029142981573
Long
ABS-O
CORP
KY
Y
2
2040-06-15
Fixed
3.47000000
N
N
N
N
N
N
HSBC Holdings PLC
MLU0ZO3ML4LN2LL2TL39
HSBC Holdings PLC
404280BB4
220000.00000000
PA
USD
234441.98000000
0.025542648047
Long
DBT
CORP
GB
N
2
2026-05-25
Fixed
3.90000000
N
N
N
N
N
N
Comcast Corp
51M0QTTNCGUN7KFCFZ59
Comcast Corp
20030NCS8
200000.00000000
PA
USD
218114.70000000
0.023763777357
Long
DBT
CORP
US
N
2
2025-10-15
Fixed
3.95000000
N
N
N
N
N
N
Ford Motor Credit Co LLC
UDSQCVRUX5BONN0VY111
Ford Motor Credit Co LLC
345397XZ1
739000.00000000
PA
USD
737974.52000000
0.080402935651
Long
DBT
CORP
US
N
2
2023-05-04
Fixed
3.10000000
N
N
N
N
N
N
Becton Dickinson and Co
ICE2EP6D98PQUILVRZ91
Becton Dickinson and Co
075887BF5
706000.00000000
PA
USD
747813.16000000
0.081474863634
Long
DBT
CORP
US
N
2
2024-12-15
Fixed
3.73000000
N
N
N
N
N
N
Republic of Argentina
549300KPBYGYF7HCHO27
Argentina POM Politica Monetaria
000000000
6310000.00000000
PA
57913.70000000
0.006309745618
Long
DBT
NUSS
AR
N
2
2020-06-21
Floating
56.59000000
N
N
N
N
N
N
A10 SECURITIZATION
549300BJAA3I9I9SK397
A10 Bridge Asset Financing 2015-A LLC
00215EAX8
961000.00000000
PA
USD
955049.78000000
0.104053465159
Long
ABS-MBS
CORP
US
Y
2
2036-05-15
None
0.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138LFDS4
370000.00000000
PA
USD
374507.81000000
0.040802936324
Long
ABS-MBS
USGSE
US
N
2
2028-10-01
Fixed
2.56000000
N
N
N
N
N
N
Daimler Finance North America LLC
549300423Z16BB673J12
Daimler Finance North America LLC
233851BE3
320000.00000000
PA
USD
322727.64000000
0.035161443882
Long
DBT
CORP
US
Y
2
2021-03-10
Fixed
2.88000000
N
N
N
N
N
N
ArcelorMittal
2EULGUTUI56JI9SAL165
ArcelorMittal SA
03938LAZ7
170000.00000000
PA
USD
195138.34000000
0.021260483890
Long
DBT
CORP
LU
N
2
2025-06-01
Fixed
6.13000000
N
N
N
N
N
N
Chicago Board of Trade
549300EX04Q2QBFQTQ27
US 10YR ULTRA FUT MAR20 XCBT 20200320
000000000
-74.00000000
NC
USD
147935.19000000
0.016117661572
N/A
DIR
US
N
1
Chicago Board of Trade
549300EX04Q2QBFQTQ27
Short
US 10 Year Ultra Bond
UXYH0 Comdty
2020-03-20
-10559966.44
USD
147935.19
N
N
N
Verizon Communications Inc
2S72QS2UO2OESLG6Y829
Verizon Communications Inc
92343VDV3
10000.00000000
PA
USD
13538.10000000
0.001474987216
Long
DBT
CORP
US
N
2
2047-03-16
Fixed
5.50000000
N
N
N
N
N
N
Ford Holdings LLC
N/A
Ford Holdings LLC
345277AE7
564000.00000000
PA
USD
713767.36000000
0.077765545504
Long
DBT
CORP
US
N
2
2030-03-01
Fixed
9.30000000
N
N
N
N
N
N
Washington Mutual Mortgage Pass-Through CTFS
N/A
Washington Mutual Mortgage Pass-Through Certificates WMALT Series 2005-10 Trust
93934FGJ5
803179.98000000
PA
USD
750111.23000000
0.081725240266
Long
ABS-MBS
CORP
US
N
2
2035-11-25
Fixed
6.00000000
N
N
N
N
N
N
General Electric Co
3C7474T6CDKPR9K6YT90
General Electric Co
36962GXZ2
619000.00000000
PA
USD
793988.63000000
0.086505719365
Long
DBT
CORP
US
N
2
2032-03-15
Fixed
6.75000000
N
N
N
N
N
N
SUNGARD AVAILABILITY SERVICES COMMON STOCK
N/A
SUNGARD AVAILABILITY SERVICES COMMON STOCK
000000000
1760.00000000
NS
USD
35200.00000000
0.003835069176
Long
EC
CORP
US
N
3
N
N
N
Johnson & Johnson
549300G0CFPGEF6X2043
Johnson & Johnson
478160CF9
70000.00000000
PA
USD
77127.46000000
0.008403100696
Long
DBT
CORP
US
N
2
2037-03-03
Fixed
3.63000000
N
N
N
N
N
N
Walgreen Co
E1OI0SEUGJMPPTKRDD35
Walgreen Co
931422AH2
716000.00000000
PA
USD
730394.36000000
0.079577070936
Long
DBT
CORP
US
N
2
2022-09-15
Fixed
3.10000000
N
N
N
N
N
N
Russian Federation
5493004EHVGF71PDBU58
Russian Federal Bond - OFZ
000000000
42470000.00000000
PA
774599.15000000
0.084393219448
Long
DBT
NUSS
RU
N
2
2039-03-16
Fixed
7.70000000
N
N
N
N
N
N
Mexican Bonos
254900EGTWEU67VP6075
Mexican Bonos
000000000
4863000.00000000
PA
274367.59000000
0.029892576350
Long
DBT
NUSS
MX
N
2
2031-05-29
Fixed
7.75000000
N
N
N
N
N
N
Synchrony Financial
549300RS7EWPM9MA6C78
Synchrony Financial
87165BAC7
270000.00000000
PA
USD
276066.67000000
0.030077692524
Long
DBT
CORP
US
N
2
2021-08-15
Fixed
3.75000000
N
N
N
N
N
N
Home Depot Inc/The
QEKMOTMBBKA8I816DO57
Home Depot Inc/The
437076BV3
525000.00000000
PA
USD
542206.89000000
0.059073890093
Long
DBT
CORP
US
N
2
2022-03-01
Fixed
3.25000000
N
N
N
N
N
N
Goldman Sachs Group Inc/The
784F5XWPLTWKTBV3E584
Goldman Sachs Group Inc/The
38141GWT7
70000.00000000
PA
USD
71937.85000000
0.007837688385
Long
DBT
CORP
US
N
2
2023-02-23
Fixed
3.20000000
N
N
N
N
N
N
JPMorgan Chase Bank, National Association
7H6GLXDRUGQFU57RNE97
PURCHASED USD / SOLD SGD
000000000
1.00000000
NC
-104061.87000000
-0.01133762699
N/A
DFE
US
N
2
JPMorgan Chase Bank, National Association
7H6GLXDRUGQFU57RNE97
13040000.00000000
SGD
9598186.35000000
USD
2020-03-16
-104061.87
N
N
N
Cooperatieve Rabobank UA
DG3RU1DBUFHT4ZF9WN62
Cooperatieve Rabobank UA
21684AAA4
250000.00000000
PA
USD
271115.26000000
0.029538232301
Long
DBT
CORP
NL
N
2
2023-12-01
Fixed
4.63000000
N
N
N
N
N
N
Nexstar Broadcasting, Inc.
5493006PK6I4I2OOT688
Nexstar Broadcasting, Inc. 2019 Term Loan B4
65336RAW8
350000.00000000
PA
USD
351631.00000000
0.038310488912
Long
LON
CORP
US
N
2
2026-09-18
Floating
4.45000000
N
N
N
N
N
N
State Street Bank and Trust Company
571474TGEMMWANRLN572
PURCHASED USD / SOLD HUF
000000000
1.00000000
NC
-138.61000000
-0.00001510167
N/A
DFE
US
N
2
State Street Bank and Trust Company
571474TGEMMWANRLN572
151622900.00000000
HUF
515120.20000000
USD
2020-02-26
-138.61
N
N
N
McDonald's Corp
UE2136O97NLB5BYP9H04
McDonald's Corp
58013MEY6
60000.00000000
PA
USD
64678.67000000
0.007046794707
Long
DBT
CORP
US
N
2
2026-01-30
Fixed
3.70000000
N
N
N
N
N
N
One Market Plaza Trust
N/A
One Market Plaza Trust 2017-1MKT
68245HAG9
500000.00000000
PA
USD
509439.50000000
0.055503855793
Long
ABS-MBS
CORP
US
Y
2
2032-02-10
Fixed
4.15000000
N
N
N
N
N
N
United States Treasury
254900HROIFWPRGM1V77
United States Treasury Note/Bond
912810RX8
1225000.00000000
PA
USD
1374667.33000000
0.149771145047
Long
DBT
UST
US
N
2
2047-05-15
Fixed
3.00000000
N
N
N
N
N
N
Bank of Montreal
NQQ6HPCNCCU6TUTQYE16
PURCHASED USD / SOLD GBP
000000000
1.00000000
NC
-8994.39000000
-0.00097994624
N/A
DFE
US
N
2
Bank of Montreal
NQQ6HPCNCCU6TUTQYE16
1850000.00000000
GBP
2446569.50000000
USD
2020-03-18
-8994.39
N
N
N
Barrick North America Finance LLC
N/A
Barrick North America Finance LLC
06849RAG7
130000.00000000
PA
USD
159957.59000000
0.017427512017
Long
DBT
CORP
US
N
2
2041-05-30
Fixed
5.70000000
N
N
N
N
N
N
Oasis Petroleum Inc
529900FA4V2YNIKZ0M71
Oasis Petroleum Inc
674215AE8
10000.00000000
PA
USD
9775.00000000
0.001064994352
Long
DBT
CORP
US
N
2
2023-01-15
Fixed
6.88000000
N
N
N
N
N
N
Brazil Notas do Tesouro Nacional
254900ZFY40OYEADAP90
Brazil Notas do Tesouro Nacional Serie B
000000000
400999.31000000
PA
461018.10000000
0.050228304127
Long
DBT
NUSS
BR
N
2
2045-05-15
Fixed
6.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138EHGN6
137324.72000000
PA
USD
154525.81000000
0.016835715084
Long
ABS-MBS
USGSE
US
N
2
2038-02-01
Fixed
5.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31418RHG9
117006.35000000
PA
USD
124305.18000000
0.013543152396
Long
ABS-MBS
USGSE
US
N
2
2025-04-01
Fixed
4.50000000
N
N
N
N
N
N
Fannie Mae
N/A
Fannie Mae REMICS
3136AYSU8
67858.57000000
PA
USD
11054.39000000
0.001204384953
Long
ABS-MBS
USGSE
US
N
2
2047-11-25
Floating
4.41000000
N
N
N
N
N
N
Microsoft Corp
INR2EJN1ERAN0W5ZP974
Microsoft Corp
594918BR4
200000.00000000
PA
USD
202428.10000000
0.022054709285
Long
DBT
CORP
US
N
2
2026-08-08
Fixed
2.40000000
N
N
N
N
N
N
Range Resources Corp
H3Y3WLYCX0BTO1TRW162
Range Resources Corp
75281AAU3
30000.00000000
PA
USD
29775.00000000
0.003244010930
Long
DBT
CORP
US
N
2
2022-07-01
Fixed
5.88000000
N
N
N
N
N
N
DELTA AIR LINES 2007-1 A
N/A
Delta Air Lines 2007-1 Class A Pass Through Trust
247367BH7
32963.37000000
PA
USD
35774.47000000
0.003897658159
Long
DBT
CORP
US
N
2
2022-08-10
Fixed
6.82000000
N
N
N
N
N
N
BHP Billiton Finance USA Ltd
5493003NUVITP3TMY274
BHP Billiton Finance USA Ltd
055451AQ1
5000.00000000
PA
USD
5095.11000000
0.000555116457
Long
DBT
CORP
AU
N
2
2022-02-24
Fixed
2.88000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36179TNS0
198157.98000000
PA
USD
206900.62000000
0.022541994046
Long
ABS-MBS
USGA
US
N
2
2047-12-20
Fixed
4.00000000
N
N
N
N
N
N
Freddie Mac
N/A
Freddie Mac Pool
3131YBNX2
87337.19000000
PA
USD
88656.99000000
0.009659252547
Long
ABS-MBS
USGSE
US
N
2
2049-04-01
Fixed
3.00000000
N
N
N
N
N
N
Citigroup Global Markets Inc.
MBNUM2BPBDO7JBLYG310
Long: 0WP292832 IRS BRL R F 8.41000 2 NDFPREDISWAP / Short: 0WP292832 IRS BRL P V 00MBRCDI 1 NDFPREDISWAP
000000000
11431000.00000000
OU
Notional Amount
90408.39000000
0.009850069028
N/A
DIR
US
N
2
Citigroup Global Markets Inc.
MBNUM2BPBDO7JBLYG310
Brazil Cetip DI Interbank Deposit Rate
BZDIOVRA Index
Y
2020-01-02
0
BRL
0
BRL
11431000
BRL
90408.39
N
N
N
Sherwin-Williams Co/The
Z15BMIOX8DDH0X2OBP21
Sherwin-Williams Co/The
824348AV8
704000.00000000
PA
USD
727212.43000000
0.079230397025
Long
DBT
CORP
US
N
2
2024-06-01
Fixed
3.13000000
N
N
N
N
N
N
Pfizer Inc
765LHXWGK1KXCLTFYQ30
Pfizer Inc
717081DX8
728000.00000000
PA
USD
731215.74000000
0.079666560968
Long
DBT
CORP
US
N
2
2021-06-03
Fixed
1.95000000
N
N
N
N
N
N
Humana Inc
529900YLDW34GJAO4J06
Humana Inc
444859BG6
10000.00000000
PA
USD
11685.87000000
0.001273185222
Long
DBT
CORP
US
N
2
2047-03-15
Fixed
4.80000000
N
N
N
N
N
N
Plains All American Pipeline LP / PAA Finance Corp
N/A
Plains All American Pipeline LP / PAA Finance Corp
72650RBF8
705000.00000000
PA
USD
724904.72000000
0.078978970108
Long
DBT
CORP
US
N
2
2024-11-01
Fixed
3.60000000
N
N
N
N
N
N
State Street Bank and Trust Company
571474TGEMMWANRLN572
PURCHASED USD / SOLD ZAR
000000000
1.00000000
NC
-9895.75000000
-0.00107815016
N/A
DFE
US
N
2
State Street Bank and Trust Company
571474TGEMMWANRLN572
5003550.00000000
ZAR
344812.45000000
USD
2020-02-26
-9895.75
N
N
N
Citigroup Mortgage Loan Trust Inc
549300R1KUK063S4I339
Citigroup Mortgage Loan Trust 2007-WFHE2
17312BAF9
1490000.00000000
PA
USD
1460497.26000000
0.159122387064
Long
ABS-O
CORP
US
N
2
2037-03-25
Floating
2.24000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140JPKH7
3299390.11000000
PA
USD
3398553.41000000
0.370275211037
Long
ABS-MBS
USGSE
US
N
2
2049-05-01
Fixed
3.50000000
N
N
N
N
N
N
GS Mortgage Securities Trust
5493005BBCF84ICNQ550
GS Mortgage Securities Corp II
36255TAA0
490000.00000000
PA
USD
489878.92000000
0.053372714388
Long
ABS-MBS
CORP
US
Y
2
2031-09-15
Floating
3.04000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138ERNP1
75000.84000000
PA
USD
76766.99000000
0.008363827191
Long
ABS-MBS
USGSE
US
N
2
2046-10-01
Fixed
3.00000000
N
N
N
N
N
N
Altice France S.A.
5493001ZMCICV4N02J21
Altice France S.A. USD Term Loan B12
000000000
85647.54000000
PA
USD
85647.54000000
0.009331370475
Long
LON
CORP
FR
N
2
2026-01-31
Floating
5.43000000
N
N
N
N
N
N
Madison Park Funding Ltd
N/A
Madison Park Funding XIII Ltd
55818MBA4
574000.00000000
PA
USD
573994.26000000
0.062537150403
Long
ABS-CBDO
CORP
KY
Y
2
2030-04-19
Floating
2.92000000
N
N
N
N
N
N
Vale Overseas Ltd
254900BA3U6G5DNV5V04
Vale Overseas Ltd
91911TAH6
180000.00000000
PA
USD
234000.00000000
0.025494493959
Long
DBT
CORP
KY
N
2
2036-11-21
Fixed
6.88000000
N
N
N
N
N
N
Occidental Petroleum Corp
IM7X0T3ECJW4C1T7ON55
Occidental Petroleum Corp
674599CL7
190000.00000000
PA
USD
184148.52000000
0.020063133892
Long
DBT
CORP
US
N
2
2047-02-15
Fixed
4.10000000
N
N
N
N
N
N
Canadian Government
4BFD7AQU0A75QLAHK410
Canadian Government Bond
135087A61
2491000.00000000
PA
1906918.00000000
0.207760296720
Long
DBT
NUSS
CA
N
2
2023-06-01
Fixed
1.50000000
N
N
N
N
N
N
Kraft Heinz Foods Co
5493003STKEZ2S0RNU91
Kraft Heinz Foods Co
423074AS2
28000.00000000
PA
USD
28768.53000000
0.003134355189
Long
DBT
CORP
US
Y
2
2025-02-15
Fixed
4.88000000
N
N
N
N
N
N
Enterprise Products Operating LLC
5493004LGN656HWLDA30
Enterprise Products Operating LLC
29379VBW2
160000.00000000
PA
USD
171146.73000000
0.018646578094
Long
DBT
CORP
US
N
2
2050-01-31
Fixed
4.20000000
N
N
N
N
N
N
BP Capital Markets PLC
549300CRVT18MXX0AG93
BP Capital Markets PLC
05565QBZ0
222000.00000000
PA
USD
227942.86000000
0.024834563535
Long
DBT
CORP
GB
N
2
2022-05-06
Fixed
3.25000000
N
N
N
N
N
N
Amazon.com Inc
ZXTILKJKG63JELOEG630
Amazon.com Inc
023135BJ4
70000.00000000
PA
USD
82111.45000000
0.008946110538
Long
DBT
CORP
US
N
2
2047-08-22
Fixed
4.05000000
N
N
N
N
N
N
Wells Fargo & Co
PBLD0EJDB5FWOLXP3B76
Wells Fargo & Co
94974BGT1
230000.00000000
PA
USD
263272.82000000
0.028683791962
Long
DBT
CORP
US
N
2
2046-06-14
Fixed
4.40000000
N
N
N
N
N
N
Fanniemae-Aces
N/A
Fannie Mae-Aces
3136B3XY1
70000.00000000
PA
USD
75619.95000000
0.008238856232
Long
ABS-MBS
USGSE
US
N
2
2028-09-25
Variable
3.55000000
N
N
N
N
N
N
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
Long: BWS032920 IRS USD R V 03MLIBOR 1 CCPVANILLA / Short: BWS032920 IRS USD P F 1.52000 2 CCPVANILLA
000000000
12827000.00000000
OU
Notional Amount
USD
206294.72000000
0.022475980739
N/A
DIR
US
N
2
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
ICE Libor USD 3 Months
US0003M Index
Y
2026-07-31
47416.04
USD
0
USD
12827000
USD
158878.68
N
N
N
Telefonica Emisiones SAU
549300Y5MFC4SW5Z3K71
Telefonica Emisiones SA
87938WAU7
150000.00000000
PA
USD
177529.36000000
0.019341970923
Long
DBT
CORP
ES
N
2
2047-03-08
Fixed
5.21000000
N
N
N
N
N
N
Goldman Sachs Group Inc/The
784F5XWPLTWKTBV3E584
Goldman Sachs Group Inc/The
38143U8F1
324000.00000000
PA
USD
327189.78000000
0.035647597734
Long
DBT
CORP
US
N
2
2021-02-25
Fixed
2.88000000
N
N
N
N
N
N
American Airlines, Inc.
IWUQB36BXD6OWD6X4T14
American Airlines, Inc. 2017 Incremental Term Loan
02376CBA2
69285.71000000
PA
USD
69488.02000000
0.007570777376
Long
LON
CORP
US
N
2
2023-12-14
Floating
3.74000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31418DGM8
1868392.96000000
PA
USD
1921943.48000000
0.209397335220
Long
ABS-MBS
USGSE
US
N
2
2049-10-01
Fixed
3.50000000
N
N
N
N
N
N
Freddie Mac
N/A
Freddie Mac Pool
3133KGGL6
194214.50000000
PA
USD
198246.70000000
0.021599142289
Long
ABS-MBS
USGSE
US
N
2
2049-07-01
Fixed
3.00000000
N
N
N
N
N
N
Golden Nugget, Inc.
91D14OD6M4H1RVBN7R43
Golden Nugget, Inc. 2017 Incremental Term Loan B
51508PAG9
268275.65000000
PA
USD
268946.34000000
0.029301926669
Long
LON
CORP
US
N
2
2023-10-04
Floating
4.72000000
N
N
N
N
N
N
Osaka Exchange
3538001249AILNPRUX57
JPN 10Y BOND(OSE) MAR20 XOSE 20200313
000000000
-2.00000000
NC
18577.26000000
0.002024007875
N/A
DIR
JP
N
1
Osaka Exchange
3538001249AILNPRUX57
Short
Japan Government Ten Year Bond
JBH0 Comdty
2020-03-13
-306378512
JPY
18577.26
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36179UKY7
612770.51000000
PA
USD
643370.22000000
0.070095718750
Long
ABS-MBS
USGA
US
N
2
2049-01-20
Fixed
4.50000000
N
N
N
N
N
N
Waste Management Inc
549300YX8JIID70NFS41
Waste Management Inc
94106LBK4
40000.00000000
PA
USD
45629.05000000
0.004971322818
Long
DBT
CORP
US
N
2
2049-07-15
Fixed
4.15000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31418DJQ6
999900.80000000
PA
USD
988295.05000000
0.107675564882
Long
ABS-MBS
USGSE
US
N
2
2049-12-01
Fixed
2.50000000
N
N
N
N
N
N
Freddie Mac
N/A
Freddie Mac Gold Pool
3128M6AX6
35247.56000000
PA
USD
39584.52000000
0.004312766265
Long
ABS-MBS
USGSE
US
N
2
2038-04-01
Fixed
5.50000000
N
N
N
N
N
N
Freddie Mac
N/A
Freddie Mac Gold Pool
31307N5N0
49891.79000000
PA
USD
52005.36000000
0.005666027078
Long
ABS-MBS
USGSE
US
N
2
2030-08-01
Fixed
3.50000000
N
N
N
N
N
N
CVS Health Corp
549300EJG376EN5NQE29
CVS Health Corp
126650CN8
140000.00000000
PA
USD
165616.64000000
0.018044070205
Long
DBT
CORP
US
N
2
2045-07-20
Fixed
5.13000000
N
N
N
N
N
N
Flagstar Mortgage Trust
N/A
Flagstar Mortgage Trust 2018-2
33851HAD5
269915.64000000
PA
USD
275124.20000000
0.029975009636
Long
ABS-MBS
CORP
US
Y
2
2048-04-25
Variable
3.50000000
N
N
N
N
N
N
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
Long: BWS032300 IRS USD R V 03MLIBOR 1 CCPVANILLA / Short: BWS032300 IRS USD P F 1.55000 2 CCPVANILLA
000000000
44496000.00000000
OU
Notional Amount
USD
622804.73000000
0.067855091568
N/A
DIR
US
N
2
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
ICE Libor USD 3 Months
US0003M Index
Y
2026-06-30
72492.41
USD
0
USD
44496000
USD
550312.32
N
N
N
Freddie Mac
N/A
Freddie Mac Pool
3132AEJ80
2428000.27000000
PA
USD
2522154.09000000
0.274790778687
Long
ABS-MBS
USGSE
US
N
2
2049-06-01
Fixed
4.00000000
N
N
N
N
N
N
Freddie Mac
N/A
Freddie Mac Pool
3132AECC8
1164124.93000000
PA
USD
1181343.42000000
0.128708344809
Long
ABS-MBS
USGSE
US
N
2
2049-04-01
Fixed
3.00000000
N
N
N
N
N
N
JPMorgan Chase Bank, National Association
7H6GLXDRUGQFU57RNE97
PURCHASED USD / SOLD PEN
000000000
1.00000000
NC
-19737.84000000
-0.00215045402
N/A
DFE
US
N
2
JPMorgan Chase Bank, National Association
7H6GLXDRUGQFU57RNE97
2661321.45000000
PEN
783282.99000000
USD
2020-01-13
-19737.84
N
N
N
Berry Global, Inc.
549300AP2Q7ERHX6RI89
Berry Global, Inc. Term Loan W
08579JBD3
133545.04000000
PA
USD
133914.96000000
0.014590145892
Long
LON
CORP
US
N
2
2022-10-01
Floating
3.72000000
N
N
N
N
N
N
Goldman Sachs Group Inc/The
784F5XWPLTWKTBV3E584
Goldman Sachs Group Inc/The
38141GVS0
250000.00000000
PA
USD
304301.64000000
0.033153915909
Long
DBT
CORP
US
N
2
2045-10-21
Fixed
4.75000000
N
N
N
N
N
N
Southern Co Gas Capital Corp
E8CD46SWUD2TSN8PA636
Southern Co Gas Capital Corp
001192AD5
196000.00000000
PA
USD
247041.10000000
0.026915332614
Long
DBT
CORP
US
N
2
2034-10-01
Fixed
6.00000000
N
N
N
N
N
N
Intesa Sanpaolo SpA
2W8N8UU78PMDQKZENC08
Intesa Sanpaolo SpA
46115HBC0
200000.00000000
PA
USD
203253.77000000
0.022144666715
Long
DBT
CORP
IT
Y
2
2023-01-12
Fixed
3.38000000
N
N
N
N
N
N
JPMorgan Chase Bank, National Association
7H6GLXDRUGQFU57RNE97
PURCHASED USD / SOLD THB
000000000
1.00000000
NC
-15556.37000000
-0.00169487940
N/A
DFE
US
N
2
JPMorgan Chase Bank, National Association
7H6GLXDRUGQFU57RNE97
51269500.00000000
THB
1696542.03000000
USD
2020-01-14
-15556.37
N
N
N
Jane Street Group, LLC
5493002N1IVX6KHGYO08
Jane Street Group, LLC 2018 Term Loan B
47077DAC4
318740.80000000
PA
USD
317943.95000000
0.034640256892
Long
LON
CORP
US
N
2
2022-08-25
Floating
4.80000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140FXG89
236675.69000000
PA
USD
256599.88000000
0.027956769618
Long
ABS-MBS
USGSE
US
N
2
2057-09-01
Fixed
4.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140X5CD3
1289068.44000000
PA
USD
1308462.94000000
0.142558121881
Long
ABS-MBS
USGSE
US
N
2
2049-11-01
Fixed
3.00000000
N
N
N
N
N
N
BHP Billiton Finance USA Ltd
5493003NUVITP3TMY274
BHP Billiton Finance USA Ltd
055451AV0
170000.00000000
PA
USD
217102.82000000
0.023653532192
Long
DBT
CORP
AU
N
2
2043-09-30
Fixed
5.00000000
N
N
N
N
N
N
HSBC Holdings PLC
MLU0ZO3ML4LN2LL2TL39
HSBC Holdings PLC
404280BF5
721000.00000000
PA
USD
728668.28000000
0.079389013089
Long
DBT
CORP
GB
N
2
2022-01-05
Fixed
2.65000000
N
N
N
N
N
N
Southern Copper Corp
2549007U6NAP46Q9TU15
Southern Copper Corp
84265VAG0
590000.00000000
PA
USD
677308.74000000
0.073793348635
Long
DBT
CORP
US
N
2
2042-11-08
Fixed
5.25000000
N
N
N
N
N
N
WPX Energy Inc
ZXZE9GCS2BB547GJW219
WPX Energy Inc
98212BAJ2
10000.00000000
PA
USD
10550.00000000
0.001149431244
Long
DBT
CORP
US
N
2
2027-10-15
Fixed
5.25000000
N
N
N
N
N
N
Benchmark Mortgage Trust
N/A
Benchmark 2018-B5 Mortgage Trust
08160BAD6
1987000.00000000
PA
USD
2220902.09000000
0.241969123583
Long
ABS-MBS
CORP
US
N
2
2051-07-15
Fixed
4.21000000
N
N
N
N
N
N
United States Treasury
254900HROIFWPRGM1V77
United States Treasury Note/Bond
912828J27
3790000.00000000
PA
USD
3840950.26000000
0.418474714542
Long
DBT
UST
US
N
2
2025-02-15
Fixed
2.00000000
N
N
N
N
N
N
Continental Airlines 2007-1 Class A Pass Through Trust
N/A
Continental Airlines 2007-1 Class A Pass Through Trust
21079NAA9
71193.04000000
PA
USD
74877.44000000
0.008157959152
Long
DBT
CORP
US
N
2
2022-04-19
Fixed
5.98000000
N
N
N
N
N
N
JPMorgan Chase Bank, National Association
7H6GLXDRUGQFU57RNE97
PURCHASED USD / SOLD CAD
000000000
1.00000000
NC
-35999.88000000
-0.00392221676
N/A
DFE
US
N
2
JPMorgan Chase Bank, National Association
7H6GLXDRUGQFU57RNE97
2562000.00000000
CAD
1937486.20000000
USD
2020-03-16
-35999.88
N
N
N
Citigroup Mortgage Loan Trust Inc
549300R1KUK063S4I339
Citigroup Mortgage Loan Trust 2015-2
17323NAW3
141647.52000000
PA
USD
142506.67000000
0.015526219818
Long
ABS-MBS
CORP
US
Y
2
2047-03-25
Floating
1.96000000
N
N
N
N
N
N
COMM Mortgage Trust
N/A
COMM 2013-CCRE6 Mortgage Trust
12624XAP3
211000.00000000
PA
USD
215337.89000000
0.023461241606
Long
ABS-MBS
CORP
US
Y
2
2046-03-10
Fixed
3.40000000
N
N
N
N
N
N
Freddie Mac
N/A
Freddie Mac Gold Pool
3132WKPD4
77221.39000000
PA
USD
79491.81000000
0.008660698589
Long
ABS-MBS
USGSE
US
N
2
2047-01-01
Fixed
3.00000000
N
N
N
N
N
N
DCP Midstream Operating LP
549300Y6CTBSE0QIPL28
DCP Midstream Operating LP
26439XAH6
30000.00000000
PA
USD
31500.00000000
0.003431951109
Long
DBT
CORP
US
Y
2
2036-11-03
Fixed
6.45000000
N
N
N
N
N
N
Danske Bank A/S
MAES062Z21O4RZ2U7M96
Danske Bank A/S
23636AAS0
400000.00000000
PA
USD
419847.82000000
0.045742767995
Long
DBT
CORP
DK
Y
2
2022-01-12
Fixed
5.00000000
N
N
N
N
N
N
United States Treasury
254900HROIFWPRGM1V77
United States Treasury Inflation Indexed Bonds
912810QF8
1654878.40000000
PA
USD
2162511.94000000
0.235607468342
Long
DBT
UST
US
N
2
2040-02-15
Fixed
2.13000000
N
N
N
N
N
N
Waste Management Inc
549300YX8JIID70NFS41
Waste Management Inc
94106LBF5
100000.00000000
PA
USD
103259.28000000
0.011250184146
Long
DBT
CORP
US
N
2
2024-06-15
Fixed
2.95000000
N
N
N
N
N
N
Reynolds American Inc
02S2RPPVO9RP4NEU2740
Reynolds American Inc
761713BB1
70000.00000000
PA
USD
80128.73000000
0.008730091551
Long
DBT
CORP
US
N
2
2045-08-15
Fixed
5.85000000
N
N
N
N
N
N
Teachers Insurance & Annuity Association of America
O06XD7BJ4EPXNABVFN69
Teachers Insurance & Annuity Association of America
878091BD8
340000.00000000
PA
USD
416959.14000000
0.045428043915
Long
DBT
CORP
US
Y
2
2044-09-15
Fixed
4.90000000
N
N
N
N
N
N
UnitedHealth Group Inc
549300GHBMY8T5GXDE41
UnitedHealth Group Inc
91324PCM2
70000.00000000
PA
USD
70290.02000000
0.007658155941
Long
DBT
CORP
US
N
2
2020-07-15
Fixed
2.70000000
N
N
N
N
N
N
Comcast Corp
51M0QTTNCGUN7KFCFZ59
Comcast Corp
20030NCT6
350000.00000000
PA
USD
393710.02000000
0.042895033020
Long
DBT
CORP
US
N
2
2028-10-15
Fixed
4.15000000
N
N
N
N
N
N
MPLX LP
5493000CZJ19CK4P3G36
MPLX LP
55336VAN0
140000.00000000
PA
USD
142243.66000000
0.015497564660
Long
DBT
CORP
US
N
2
2048-04-15
Fixed
4.70000000
N
N
N
N
N
N
JPMorgan Chase & Co
8I5DZWZKVSZI1NUHU748
JPMorgan Chase & Co
46625HHU7
300000.00000000
PA
USD
305317.33000000
0.033264576177
Long
DBT
CORP
US
N
2
2020-10-15
Fixed
4.25000000
N
N
N
N
N
N
Freddie Mac
N/A
Freddie Mac Pool
31334XYY9
95755.81000000
PA
USD
97258.19000000
0.010596360416
Long
ABS-MBS
USGSE
US
N
2
2049-08-01
Fixed
3.00000000
N
N
N
N
N
N
Noble Energy Inc
02VFQXG2D1LR5ZH3K186
Noble Energy Inc
655044AH8
250000.00000000
PA
USD
264053.09000000
0.028768803025
Long
DBT
CORP
US
N
2
2024-11-15
Fixed
3.90000000
N
N
N
N
N
N
United States Treasury
254900HROIFWPRGM1V77
United States Treasury Bill
912796TM1
7167200.00000000
PA
USD
7139571.45000000
0.777862227378
Long
STIV
UST
US
N
2
2020-04-02
None
0.00000000
N
N
N
N
N
N
WESTERN MIDSTREAM OPERAT
L6D8A6MLSY454J2JXJ60
Western Midstream Operating LP
958254AJ3
845000.00000000
PA
USD
737016.98000000
0.080298610875
Long
DBT
CORP
US
N
2
2048-03-01
Fixed
5.30000000
N
N
N
N
N
N
Total Capital International SA
549300U37G2I8G4RUG09
Total Capital International SA
89153VAP4
718000.00000000
PA
USD
727464.80000000
0.079257892946
Long
DBT
CORP
FR
N
2
2021-06-19
Fixed
2.75000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31418CMJ0
66665.98000000
PA
USD
68403.53000000
0.007452621292
Long
ABS-MBS
USGSE
US
N
2
2032-07-01
Fixed
3.00000000
N
N
N
N
N
N
Sumitomo Mitsui Financial Group Inc
35380028MYWPB6AUO129
Sumitomo Mitsui Financial Group Inc
86562MAE0
90000.00000000
PA
USD
90108.59000000
0.009817405570
Long
DBT
CORP
JP
N
2
2021-07-14
Fixed
2.06000000
N
N
N
N
N
N
FHLMC Multifamily Structured Pass Through Certs.
N/A
Freddie Mac Multifamily Structured Pass Through Certificates
3137F4D41
3204000.00000000
PA
USD
3472065.54000000
0.378284418534
Long
ABS-MBS
USGSE
US
N
2
2028-01-25
Fixed
3.60000000
N
N
N
N
N
N
GS Mortgage Securities Trust
N/A
GS Mortgage Securities Trust 2016-GS2
36252TAR6
1342000.00000000
PA
USD
1385573.40000000
0.150959370414
Long
ABS-MBS
CORP
US
N
2
2049-05-10
Fixed
3.05000000
N
N
N
N
N
N
Freddie Mac
N/A
Freddie Mac Pool
3133KGTS7
482400.83000000
PA
USD
491152.96000000
0.053511522102
Long
ABS-MBS
USGSE
US
N
2
2049-10-01
Fixed
3.00000000
N
N
N
N
N
N
Occidental Petroleum Corp
IM7X0T3ECJW4C1T7ON55
Occidental Petroleum Corp
674599CW3
480000.00000000
PA
USD
487414.12000000
0.053104172385
Long
DBT
CORP
US
N
2
2024-08-15
Fixed
2.90000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38379VHX5
227063.79000000
PA
USD
38625.34000000
0.004208262809
Long
ABS-MBS
USGA
US
N
2
2046-02-20
Floating
4.39000000
N
N
N
N
N
N
Aetna Inc
549300QKBENKLBXQ8968
Aetna Inc
00817YAV0
30000.00000000
PA
USD
30467.79000000
0.003319490974
Long
DBT
CORP
US
N
2
2023-06-15
Fixed
2.80000000
N
N
N
N
N
N
Freddie Mac
N/A
Freddie Mac Pool
3132DVKR5
872842.49000000
PA
USD
907989.21000000
0.098926177050
Long
ABS-MBS
USGSE
US
N
2
2049-08-01
Fixed
3.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31418DGK2
1099891.01000000
PA
USD
1088137.93000000
0.118553529417
Long
ABS-MBS
USGSE
US
N
2
2049-10-01
Fixed
2.50000000
N
N
N
N
N
N
Blackbird Capital Aircraft Lease Securitization Ltd
N/A
Blackbird Capital Aircraft Lease Securitization Ltd 2016-1
09228YAA0
812062.50000000
PA
USD
806417.53000000
0.087859858322
Long
ABS-O
CORP
KY
Y
2
2041-12-16
Variable
2.49000000
N
N
N
N
N
N
JPMorgan Chase Bank, National Association
7H6GLXDRUGQFU57RNE97
PURCHASED MXN / SOLD USD
000000000
1.00000000
NC
80268.31000000
0.008745298907
N/A
DFE
MX
N
2
JPMorgan Chase Bank, National Association
7H6GLXDRUGQFU57RNE97
1614255.19000000
USD
32103500.00000000
MXN
2020-01-17
80268.31
N
N
N
Chicago Board of Trade
549300EX04Q2QBFQTQ27
US 10YR FUT OPTN Feb20C 129.5
000000000
-15.00000000
NC
USD
-2109.38000000
-0.00022981869
N/A
DIR
US
N
1
Chicago Board of Trade
549300EX04Q2QBFQTQ27
Call
Written
Chicago Board of Trade
549300EX04Q2QBFQTQ27
Chicago Board of Trade
549300EX04Q2QBFQTQ27
10 Year US Treasury Note Future
N/A
15000.00000000
NC
N/A
-2109.38000000
0.00000000
DIR
US
Short
10 Year US Treasury Note
TYH0 Comdty
2020-03-20
15000.00000000
USD
1000.00000000
129.5
USD
2020-01-24
XXXX
4630.3
N
N
N
Duke Energy Corp
I1BZKREC126H0VB1BL91
Duke Energy Corp
26441CAN5
682000.00000000
PA
USD
722298.89000000
0.078695062769
Long
DBT
CORP
US
N
2
2024-04-15
Fixed
3.75000000
N
N
N
N
N
N
Sequoia Mortgage Trust
5493007E0SBYHIR7SU85
Sequoia Mortgage Trust 2015-1
81745QAA0
523841.78000000
PA
USD
532097.58000000
0.057972472390
Long
ABS-MBS
CORP
US
Y
2
2045-01-25
Variable
3.50000000
N
N
N
N
N
N
FirstEnergy Corp
549300SVYJS666PQJH88
FirstEnergy Corp
337932AH0
370000.00000000
PA
USD
395331.37000000
0.043071680446
Long
DBT
CORP
US
N
2
2027-07-15
Fixed
3.90000000
N
N
N
N
N
N
Freddie Mac
N/A
Freddie Mac Pool
3133KHFV3
700000.00000000
PA
USD
713883.18000000
0.077778164189
Long
ABS-MBS
USGSE
US
N
2
2050-01-01
Fixed
3.00000000
N
N
N
N
N
N
CVS Health Corp
549300EJG376EN5NQE29
CVS Health Corp
126650BZ2
90000.00000000
PA
USD
91414.63000000
0.009959699710
Long
DBT
CORP
US
N
2
2022-12-01
Fixed
2.75000000
N
N
N
N
N
N
salesforce.com Inc
RCGZFPDMRW58VJ54VR07
salesforce.com Inc
79466LAF1
30000.00000000
PA
USD
32871.48000000
0.003581374992
Long
DBT
CORP
US
N
2
2028-04-11
Fixed
3.70000000
N
N
N
N
N
N
United States Treasury
254900HROIFWPRGM1V77
United States Treasury Note/Bond
912810SD1
440000.00000000
PA
USD
494950.86000000
0.053925306455
Long
DBT
UST
US
N
2
2048-08-15
Fixed
3.00000000
N
N
N
N
N
N
Boeing Co/The
RVHJWBXLJ1RFUBSY1F30
Boeing Co/The
097023CH6
20000.00000000
PA
USD
20621.46000000
0.002246725159
Long
DBT
CORP
US
N
2
2026-05-01
Fixed
3.10000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38378MVC6
708303.75000000
PA
USD
100130.63000000
0.010909315135
Long
ABS-MBS
USGA
US
N
2
2043-04-20
Fixed
3.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140HVCT9
100000.00000000
PA
USD
102610.80000000
0.011179531712
Long
ABS-MBS
USGSE
US
N
2
2031-08-01
Fixed
2.86000000
N
N
N
N
N
N
United Technologies Corp
I07WOS4YJ0N7YRFE7309
United Technologies Corp
913017DD8
30000.00000000
PA
USD
32700.79000000
0.003562778175
Long
DBT
CORP
US
N
2
2025-08-16
Fixed
3.95000000
N
N
N
N
N
N
Humana Inc
529900YLDW34GJAO4J06
Humana Inc
444859BA9
10000.00000000
PA
USD
10257.73000000
0.001117588186
Long
DBT
CORP
US
N
2
2022-12-01
Fixed
3.15000000
N
N
N
N
N
N
Freddie Mac
N/A
Freddie Mac Pool
3131YDNE0
96733.21000000
PA
USD
98193.65000000
0.010698279558
Long
ABS-MBS
USGSE
US
N
2
2049-06-01
Fixed
3.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140QBTF5
2573346.77000000
PA
USD
2636332.24000000
0.287230582770
Long
ABS-MBS
USGSE
US
N
2
2049-09-01
Fixed
3.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31418DFQ0
2547534.56000000
PA
USD
2582718.38000000
0.281389308283
Long
ABS-MBS
USGSE
US
N
2
2049-09-01
Fixed
3.00000000
N
N
N
N
N
N
Legacy Mortgage Asset Trust
N/A
Legacy Mortgage Asset Trust 2019-GS4
52473CAA0
442775.06000000
PA
USD
444655.13000000
0.048445544982
Long
ABS-O
CORP
US
Y
2
2059-05-25
Variable
3.44000000
N
N
N
N
N
N
United States Small Business Administration
254900HROIFWPRGM1V77
United States Small Business Administration
83162CC68
70000.00000000
PA
USD
70866.53000000
0.007720967183
Long
ABS-O
USGA
US
N
2
2044-07-01
Fixed
2.69000000
N
N
N
N
N
N
Aon Corp
LTS3U8DGK38SETRUWX71
Aon Corp
037389AK9
172000.00000000
PA
USD
220590.00000000
0.024033463344
Long
DBT
CORP
US
N
2
2027-01-01
Fixed
8.21000000
N
N
N
N
N
N
NGPL PipeCo LLC
549300K3NT1HSQFEM073
NGPL PipeCo LLC
62912XAC8
553000.00000000
PA
USD
712664.14000000
0.077645348771
Long
DBT
CORP
US
Y
2
2037-12-15
Fixed
7.77000000
N
N
N
N
N
N
General Electric Co
3C7474T6CDKPR9K6YT90
General Electric Co
36962G4B7
511000.00000000
PA
USD
679780.19000000
0.074062615161
Long
DBT
CORP
US
N
2
2039-01-10
Fixed
6.88000000
N
N
N
N
N
N
Walt Disney Co/The
549300GZKULIZ0WOW665
Walt Disney Co/The
254687EH5
40000.00000000
PA
USD
59296.50000000
0.006460402825
Long
DBT
CORP
US
N
2
2037-11-15
Fixed
6.65000000
N
N
N
N
N
N
salesforce.com Inc
RCGZFPDMRW58VJ54VR07
salesforce.com Inc
79466LAE4
70000.00000000
PA
USD
72769.91000000
0.007928342012
Long
DBT
CORP
US
N
2
2023-04-11
Fixed
3.25000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31418AXN3
676136.76000000
PA
USD
708010.37000000
0.077138316672
Long
ABS-MBS
USGSE
US
N
2
2033-09-01
Fixed
3.50000000
N
N
N
N
N
N
Canadian Government
4BFD7AQU0A75QLAHK410
Canadian Government Bond
135087F58
1578000.00000000
PA
1196317.34000000
0.130339765805
Long
DBT
NUSS
CA
N
2
2021-09-01
Fixed
0.75000000
N
N
N
N
N
N
United States Treasury
254900HROIFWPRGM1V77
United States Treasury Note/Bond
912828YY0
2830000.00000000
PA
USD
2836143.82000000
0.309000220033
Long
DBT
UST
US
N
2
2024-12-31
Fixed
1.75000000
N
N
N
N
N
N
FHLMC Multifamily Structured Pass Through Certs.
N/A
Freddie Mac Multifamily Structured Pass Through Certificates
3137BN6G4
390000.00000000
PA
USD
406446.89000000
0.044282725564
Long
ABS-MBS
USGSE
US
N
2
2025-12-25
Fixed
3.00000000
N
N
N
N
N
N
Freddie Mac
N/A
Freddie Mac REMICS
3137FGSM8
108058.98000000
PA
USD
107987.30000000
0.011765305844
Long
ABS-MBS
USGSE
US
N
2
2048-08-15
Fixed
3.00000000
N
N
N
N
N
N
UnitedHealth Group Inc
549300GHBMY8T5GXDE41
UnitedHealth Group Inc
91324PDU3
160000.00000000
PA
USD
171392.09000000
0.018673310270
Long
DBT
CORP
US
N
2
2049-08-15
Fixed
3.70000000
N
N
N
N
N
N
Freddie Mac
N/A
Freddie Mac Gold Pool
3132QLSG9
20047.90000000
PA
USD
21252.89000000
0.002315519981
Long
ABS-MBS
USGSE
US
N
2
2044-12-01
Fixed
4.00000000
N
N
N
N
N
N
JP Morgan Mortgage Trust 2017-6
5493002WZI1ZSAEIE710
JP Morgan Mortgage Trust 2017-6
46649HAE2
306106.91000000
PA
USD
309928.96000000
0.033767017088
Long
ABS-MBS
CORP
US
Y
2
2048-12-25
Variable
3.50000000
N
N
N
N
N
N
Freddie Mac
N/A
Freddie Mac Gold Pool
3128MJ4H0
785084.77000000
PA
USD
809061.14000000
0.088147881823
Long
ABS-MBS
USGSE
US
N
2
2048-07-01
Fixed
3.50000000
N
N
N
N
N
N
Republic of Ecuador
5299003Y2U5XK0A35H71
Ecuador Government International Bond
000000000
200000.00000000
PA
USD
177752.00000000
0.019366227736
Long
DBT
NUSS
EC
Y
2
2028-01-23
Fixed
7.88000000
N
N
N
N
N
N
International Paper Co
824LMFJDH41EY779Q875
International Paper Co
460146CN1
188000.00000000
PA
USD
215712.99000000
0.023502109062
Long
DBT
CORP
US
N
2
2046-05-15
Fixed
5.15000000
N
N
N
N
N
N
Newell Brands Inc
549300LWGYFM1TVO1Z12
Newell Brands Inc
651229AV8
40000.00000000
PA
USD
41543.39000000
0.004526186775
Long
DBT
CORP
US
N
2
2023-04-01
Fixed
3.85000000
N
N
N
N
N
N
United States Treasury
254900HROIFWPRGM1V77
United States Treasury Note/Bond
9128286T2
875000.00000000
PA
USD
908753.69000000
0.099009467780
Long
DBT
UST
US
N
2
2029-05-15
Fixed
2.38000000
N
N
N
N
N
N
Mitsubishi UFJ Financial Group Inc
353800V2V8PUY9TK3E06
Mitsubishi UFJ Financial Group Inc
606822AL8
60000.00000000
PA
USD
61124.83000000
0.006659600894
Long
DBT
CORP
JP
N
2
2022-02-22
Fixed
3.00000000
N
N
N
N
N
N
BX Commercial Mortgage Trust
N/A
BX Trust 2018-BILT
05606JAJ4
1650000.00000000
PA
USD
1640814.62000000
0.178768112899
Long
ABS-MBS
CORP
US
Y
2
2030-05-15
Floating
2.96000000
N
N
N
N
N
N
Northern Natural Gas Co
5493007M02M6CT9EXE41
Northern Natural Gas Co
665501AL6
631000.00000000
PA
USD
709482.04000000
0.077298656338
Long
DBT
CORP
US
Y
2
2049-01-15
Fixed
4.30000000
N
N
N
N
N
N
Noble Energy Inc
02VFQXG2D1LR5ZH3K186
Noble Energy Inc
655044AG0
10000.00000000
PA
USD
11238.10000000
0.001224400310
Long
DBT
CORP
US
N
2
2043-11-15
Fixed
5.25000000
N
N
N
N
N
N
JPMorgan Chase & Co
8I5DZWZKVSZI1NUHU748
JPMorgan Chase & Co
46625HJY7
100000.00000000
PA
USD
106977.85000000
0.011655325430
Long
DBT
CORP
US
N
2
2024-09-10
Fixed
3.88000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138NJAD0
383297.08000000
PA
USD
392036.47000000
0.042712698360
Long
ABS-MBS
USGSE
US
N
2
2021-01-01
Fixed
4.28000000
N
N
N
N
N
N
Toronto-Dominion Bank/The
PT3QB789TSUIDF371261
Toronto-Dominion Bank/The
89114QBL1
733000.00000000
PA
USD
733333.51000000
0.079897293765
Long
DBT
CORP
CA
N
2
2021-07-13
Fixed
1.80000000
N
N
N
N
N
N
CVS Health Corp
549300EJG376EN5NQE29
CVS Health Corp
126650DE7
200000.00000000
PA
USD
201540.45000000
0.021957999081
Long
DBT
CORP
US
N
2
2024-08-15
Fixed
2.63000000
N
N
N
N
N
N
Singapore Government
549300ZSV6VOGFH1ER70
Singapore Government Bond
000000000
569000.00000000
PA
440533.89000000
0.047996532468
Long
DBT
NUSS
SG
N
2
2022-09-01
Fixed
3.13000000
N
N
N
N
N
N
Broadcom Inc
549300WV6GIDOZJTV909
Broadcom Inc
11135FAA9
712000.00000000
PA
USD
720496.45000000
0.078498685437
Long
DBT
CORP
US
Y
2
2021-04-15
Fixed
3.13000000
N
N
N
N
N
N
Harman International Industries Inc
1VWDHRIRERCQ5D5M5681
Harman International Industries Inc
413086AH2
233000.00000000
PA
USD
248203.65000000
0.027041993400
Long
DBT
CORP
US
N
2
2025-05-15
Fixed
4.15000000
N
N
N
N
N
N
Kinder Morgan Energy Partners LP
549300PDHUGWPWGOT525
Kinder Morgan Energy Partners LP
494550BF2
600000.00000000
PA
USD
764877.94000000
0.083334085560
Long
DBT
CORP
US
N
2
2040-09-15
Fixed
6.55000000
N
N
N
N
N
N
Citigroup Global Markets Inc.
MBNUM2BPBDO7JBLYG310
Long: 0WP296635 IRS BRL R F 7.02400 2 NDFPREDISWAP / Short: 0WP296635 IRS BRL P V 00MBRCDI 1 NDFPREDISWAP
000000000
2400000.00000000
OU
Notional Amount
14875.26000000
0.001620671906
N/A
DIR
US
N
2
Citigroup Global Markets Inc.
MBNUM2BPBDO7JBLYG310
Brazil Cetip DI Interbank Deposit Rate
BZDIOVRA Index
Y
2027-01-04
4451.48
BRL
0
BRL
2400000
BRL
13674.9
N
N
N
Royal Bank of Canada
ES7IP3U3RHIGC71XBU11
PURCHASED USD / SOLD CHF
000000000
1.00000000
NC
-150994.13000000
-0.01645093562
N/A
DFE
US
N
2
Royal Bank of Canada
ES7IP3U3RHIGC71XBU11
12642810.00000000
CHF
12927340.77000000
USD
2020-01-22
-150994.13
N
N
N
Citigroup Inc
6SHGI4ZSSLCXXQSBB395
Citigroup Inc
172967EW7
550000.00000000
PA
USD
919238.85000000
0.100151834653
Long
DBT
CORP
US
N
2
2039-07-15
Fixed
8.13000000
N
N
N
N
N
N
GFL Environmental Inc.
5493008HF9XC5H29ZX61
GFL Environmental Inc. 2018 USD Term Loan B
000000000
39898.74000000
PA
USD
39927.07000000
0.004350087371
Long
LON
CORP
CA
N
2
2025-05-30
Floating
4.80000000
N
N
N
N
N
N
Osaka Exchange
3538001249AILNPRUX57
JPN 10Y BOND(OSE) MAR20 XOSE 20200313
000000000
6.00000000
NC
-6968.85000000
-0.00075926198
N/A
DIR
JP
N
1
Osaka Exchange
3538001249AILNPRUX57
Long
Japan Government Ten Year Bond
JBH0 Comdty
2020-03-13
913837200
JPY
-6968.85
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140HU5X0
100000.00000000
PA
USD
102551.11000000
0.011173028437
Long
ABS-MBS
USGSE
US
N
2
2029-08-01
Fixed
2.74000000
N
N
N
N
N
N
United States Treasury
254900HROIFWPRGM1V77
United States Treasury Note/Bond
912828S92
4330000.00000000
PA
USD
4268790.17000000
0.465088227368
Long
DBT
UST
US
N
2
2023-07-31
Fixed
1.25000000
N
N
N
N
N
N
Avolon TLB Borrower 1 (US) LLC
635400O84AGITYFZQB55
Avolon TLB Borrower 1 (US) LLC Term Loan B3
05400KAE0
159946.79000000
PA
USD
160879.28000000
0.017527930906
Long
LON
CORP
US
N
2
2025-01-15
Floating
3.51000000
N
N
N
N
N
N
Credit Suisse Mortgage Trust
N/A
Credit Suisse Mortgage Capital Certificates 2019-ICE4
12653VAA4
800000.00000000
PA
USD
801671.92000000
0.087342820179
Long
ABS-MBS
CORP
US
Y
2
2036-05-15
Floating
2.72000000
N
N
N
N
N
N
Mexican Bonos
254900EGTWEU67VP6075
Mexican Bonos
000000000
9100000.00000000
PA
548781.86000000
0.059790238525
Long
DBT
NUSS
MX
N
2
2038-11-18
Fixed
8.50000000
N
N
N
N
N
N
United States Treasury
254900HROIFWPRGM1V77
United States Treasury Note/Bond
912828YG9
450000.00000000
PA
USD
444105.00000000
0.048385607863
Long
DBT
UST
US
N
2
2026-09-30
Fixed
1.63000000
N
N
N
N
N
N
Targa Resources Partners LP / Targa Resources Partners Finance Corp
N/A
Targa Resources Partners LP / Targa Resources Partners Finance Corp
87612BBJ0
10000.00000000
PA
USD
10625.00000000
0.001157602556
Long
DBT
CORP
US
N
2
2026-04-15
Fixed
5.88000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140GQ4H6
582122.66000000
PA
USD
612517.46000000
0.066734284975
Long
ABS-MBS
USGSE
US
N
2
2047-08-01
Fixed
4.00000000
N
N
N
N
N
N
Petrobras Global Finance BV
549300FNENFFSMO3GT38
Petrobras Global Finance BV
71647NAV1
2205000.00000000
PA
USD
2404574.55000000
0.261980390344
Long
DBT
CORP
NL
N
2
2025-01-27
Fixed
5.30000000
N
N
N
N
N
N
Republic of Argentina
549300KPBYGYF7HCHO27
Argentine Bonos del Tesoro
000000000
5600000.00000000
PA
32986.30000000
0.003593884726
Long
DBT
NUSS
AR
N
2
2021-10-03
Fixed
18.20000000
N
N
N
N
N
N
Union Pacific Corp
549300LMMRSZZCZ8CL11
Union Pacific Corp
907818ES3
60000.00000000
PA
USD
64273.70000000
0.007002672890
Long
DBT
CORP
US
N
2
2025-07-15
Fixed
3.75000000
N
N
N
N
N
N
Fox Corp
549300DDU6FDRBIELS05
Fox Corp
35137LAD7
270000.00000000
PA
USD
329604.18000000
0.035910648615
Long
DBT
CORP
US
Y
2
2039-01-25
Fixed
5.48000000
N
N
N
N
N
N
JPMorgan Chase Bank, National Association
7H6GLXDRUGQFU57RNE97
PURCHASED USD / SOLD CHF
000000000
1.00000000
NC
-129685.54000000
-0.01412934707
N/A
DFE
US
N
2
JPMorgan Chase Bank, National Association
7H6GLXDRUGQFU57RNE97
7737000.00000000
CHF
7904415.52000000
USD
2020-03-16
-129685.54
N
N
N
Freddie Mac
N/A
Freddie Mac Pool
3132ACYG9
226776.17000000
PA
USD
233267.78000000
0.025414717983
Long
ABS-MBS
USGSE
US
N
2
2048-10-01
Fixed
3.50000000
N
N
N
N
N
N
Structured Asset Investment Loan Trust
N/A
Structured Asset Investment Loan Trust 2005-HE3
86358EWX0
578324.17000000
PA
USD
576856.38000000
0.062848980750
Long
ABS-O
CORP
US
N
2
2035-09-25
Floating
2.51000000
N
N
N
N
N
N
Continental Resources Inc/OK
XXRTID9RYWOZ0UPIVR53
Continental Resources Inc/OK
212015AL5
110000.00000000
PA
USD
114865.28000000
0.012514667466
Long
DBT
CORP
US
N
2
2023-04-15
Fixed
4.50000000
N
N
N
N
N
N
United States Treasury
254900HROIFWPRGM1V77
United States Treasury Note/Bond
9128285J5
685000.00000000
PA
USD
731365.77000000
0.079682906861
Long
DBT
UST
US
N
2
2025-10-31
Fixed
3.00000000
N
N
N
N
N
N
Allied Universal Holdco LLC
N/A
Allied Universal Holdco LLC 2019 Term Loan B
01957TAC1
295030.60000000
PA
USD
296505.75000000
0.032304547232
Long
LON
CORP
US
N
2
2026-07-10
Floating
6.05000000
N
N
N
N
N
N
Kroger Co/The
6CPEOKI6OYJ13Q6O7870
Kroger Co/The
501044CT6
20000.00000000
PA
USD
22900.17000000
0.002494992503
Long
DBT
CORP
US
N
2
2043-08-01
Fixed
5.15000000
N
N
N
N
N
N
AbbVie Inc
FR5LCKFTG8054YNNRU85
AbbVie Inc
00287YAU3
745000.00000000
PA
USD
748185.52000000
0.081515432565
Long
DBT
CORP
US
N
2
2021-05-14
Fixed
2.30000000
N
N
N
N
N
N
Freddie Mac
N/A
Freddie Mac Gold Pool
3128P8FW6
83796.67000000
PA
USD
85602.49000000
0.009326462240
Long
ABS-MBS
USGSE
US
N
2
2038-02-01
Fixed
3.00000000
N
N
N
N
N
N
Bank of America, National Association
B4TYDEB6GKMZO031MB27
PURCHASED USD / SOLD HKD
000000000
1.00000000
NC
-23914.18000000
-0.00260546973
N/A
DFE
US
N
2
Bank of America, National Association
B4TYDEB6GKMZO031MB27
34445610.00000000
HKD
4394382.21000000
USD
2020-02-26
-23914.18
N
N
N
Freddie Mac
N/A
Freddie Mac Pool
3133KGQG6
685919.00000000
PA
USD
696663.19000000
0.075902032005
Long
ABS-MBS
USGSE
US
N
2
2049-09-01
Fixed
3.00000000
N
N
N
N
N
N
Fanniemae-Aces
N/A
Fannie Mae-Aces
3136B6XU2
199992.73000000
PA
USD
200688.88000000
0.021865219824
Long
ABS-MBS
USGSE
US
N
2
2031-10-25
Variable
2.72000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138YV6H7
70546.91000000
PA
USD
73397.87000000
0.007996758775
Long
ABS-MBS
USGSE
US
N
2
2030-07-01
Fixed
3.50000000
N
N
N
N
N
N
Bear Stearns Adjustable Rate Mortgage Trust
N/A
Bear Stearns ARM Trust 2004-3
07384MQ88
122704.36000000
PA
USD
124923.68000000
0.013610538483
Long
ABS-MBS
CORP
US
N
2
2034-07-25
Variable
4.20000000
N
N
N
N
N
N
Singapore Government
549300ZSV6VOGFH1ER70
Singapore Government Bond
000000000
3616000.00000000
PA
2770676.98000000
0.301867553550
Long
DBT
NUSS
SG
N
2
2026-06-01
Fixed
2.13000000
N
N
N
N
N
N
JPMorgan Chase & Co
8I5DZWZKVSZI1NUHU748
JPMorgan Chase & Co
46625HNJ5
30000.00000000
PA
USD
33175.47000000
0.003614494955
Long
DBT
CORP
US
N
2
2027-10-01
Fixed
4.25000000
N
N
N
N
N
N
Malaysia Government Bond
254900GSIL471JOBYY43
Malaysia Government Bond
000000000
5725000.00000000
PA
1458274.44000000
0.158880208983
Long
DBT
NUSS
MY
N
2
2024-07-15
Fixed
4.18000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31371L2J7
2430.02000000
PA
USD
2553.78000000
0.000278236447
Long
ABS-MBS
USGSE
US
N
2
2024-12-01
Fixed
4.50000000
N
N
N
N
N
N
United Technologies Corp
I07WOS4YJ0N7YRFE7309
United Technologies Corp
913017DB2
616000.00000000
PA
USD
648913.51000000
0.070699664790
Long
DBT
CORP
US
N
2
2023-08-16
Fixed
3.65000000
N
N
N
N
N
N
Verizon Communications Inc
2S72QS2UO2OESLG6Y829
Verizon Communications Inc
92343VDD3
70000.00000000
PA
USD
71015.12000000
0.007737156187
Long
DBT
CORP
US
N
2
2026-08-15
Fixed
2.63000000
N
N
N
N
N
N
Avis Budget Rental Car Funding AESOP LLC
IHXLB8SL0QWSSG2VG640
Avis Budget Rental Car Funding AESOP LLC
05377RDL5
600000.00000000
PA
USD
618472.20000000
0.067383058833
Long
ABS-O
CORP
US
Y
2
2025-09-22
Fixed
3.35000000
N
N
N
N
N
N
Freddie Mac - STACR
N/A
Freddie Mac Structured Agency Credit Risk Debt Notes
3137G0FT1
68426.63000000
PA
USD
68622.66000000
0.007476495687
Long
ABS-MBS
USGSE
US
N
2
2027-12-25
Floating
4.39000000
N
N
N
N
N
N
Comcast Corp
51M0QTTNCGUN7KFCFZ59
Comcast Corp
20030NCU3
120000.00000000
PA
USD
137003.27000000
0.014926619826
Long
DBT
CORP
US
N
2
2030-10-15
Fixed
4.25000000
N
N
N
N
N
N
Kroger Co/The
6CPEOKI6OYJ13Q6O7870
Kroger Co/The
501044DB4
225000.00000000
PA
USD
226354.08000000
0.024661464638
Long
DBT
CORP
US
N
2
2021-02-01
Fixed
2.60000000
N
N
N
N
N
N
Long Beach Mortgage Loan Trust
N/A
Long Beach Mortgage Loan Trust 2004-4
542514HT4
645248.58000000
PA
USD
644048.74000000
0.070169644066
Long
ABS-O
CORP
US
N
2
2034-10-25
Floating
2.69000000
N
N
N
N
N
N
Time Warner Cable LLC
549300U5NFR7S6E3GM41
Time Warner Cable LLC
88732JAU2
20000.00000000
PA
USD
25343.14000000
0.002761156109
Long
DBT
CORP
US
N
2
2039-06-15
Fixed
6.75000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138EG5M2
120572.73000000
PA
USD
138320.29000000
0.015070110247
Long
ABS-MBS
USGSE
US
N
2
2040-10-01
Fixed
6.00000000
N
N
N
N
N
N
JPMorgan Chase Bank, National Association
7H6GLXDRUGQFU57RNE97
PURCHASED USD / SOLD PEN
000000000
1.00000000
NC
-69948.03000000
-0.00762089584
N/A
DFE
US
N
2
JPMorgan Chase Bank, National Association
7H6GLXDRUGQFU57RNE97
8925000.00000000
PEN
2622146.49000000
USD
2020-01-23
-69948.03
N
N
N
Diamond Sports Group, LLC
N/A
Diamond Sports Group, LLC Term Loan
25277BAB4
39900.00000000
PA
USD
39817.01000000
0.004338096243
Long
LON
CORP
US
N
2
2026-08-24
Floating
5.03000000
N
N
N
N
N
N
State Street Bank and Trust Company
571474TGEMMWANRLN572
PURCHASED MYR / SOLD USD
000000000
1.00000000
NC
73600.06000000
0.008018787543
N/A
DFE
MY
N
2
State Street Bank and Trust Company
571474TGEMMWANRLN572
4401888.70000000
USD
18272240.00000000
MYR
2020-02-26
73600.06
N
N
N
Lloyds Banking Group PLC
549300PPXHEU2JF0AM85
Lloyds Banking Group PLC
539439AR0
200000.00000000
PA
USD
220283.05000000
0.024000020887
Long
DBT
CORP
GB
N
2
2028-03-22
Fixed
4.38000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38382AKD6
100000.00000000
PA
USD
101816.28000000
0.011092968100
Long
ABS-MBS
USGA
US
N
2
2049-10-20
Fixed
3.00000000
N
N
N
N
N
N
Shackleton CLO LTD
N/A
Shackleton 2013-IV-R CLO Ltd
81882HAA3
930000.00000000
PA
USD
917077.65000000
0.099916370121
Long
ABS-CBDO
CORP
KY
Y
2
2031-04-13
Floating
3.00000000
N
N
N
N
N
N
Fanniemae-Aces
N/A
Fannie Mae-Aces
3136B7GA3
299853.85000000
PA
USD
296305.98000000
0.032282782125
Long
ABS-MBS
USGSE
US
N
2
2027-02-25
Fixed
2.23000000
N
N
N
N
N
N
Freddie Mac
N/A
Freddie Mac Gold Pool
31335BCW4
458402.83000000
PA
USD
471455.64000000
0.051365482761
Long
ABS-MBS
USGSE
US
N
2
2047-05-01
Fixed
3.00000000
N
N
N
N
N
N
Goldman Sachs Bank USA
KD3XUN7C6T14HNAYLU02
PURCHASED BRL / SOLD USD
000000000
1.00000000
NC
37076.94000000
0.004039563345
N/A
DFE
BR
N
2
Goldman Sachs Bank USA
KD3XUN7C6T14HNAYLU02
1846100.75000000
USD
7578982.00000000
BRL
2020-01-17
37076.94
N
N
N
Federal Republic of Brazil
254900ZFY40OYEADAP90
Brazilian Government International Bond
105756BR0
170000.00000000
PA
USD
190400.00000000
0.020744237820
Long
DBT
NUSS
BR
N
2
2041-01-07
Fixed
5.63000000
N
N
N
N
N
N
GoldenTree Loan Management US CLO1, LTD
549300UYD6YMBA6XSE43
Goldentree Loan Management US Clo 2 Ltd
38136MAC2
1860000.00000000
PA
USD
1858073.04000000
0.202438597841
Long
ABS-CBDO
CORP
KY
Y
2
2030-11-28
Floating
3.12000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140X4MB9
3043792.30000000
PA
USD
3115394.80000000
0.339424845771
Long
ABS-MBS
USGSE
US
N
2
2047-12-01
Fixed
3.00000000
N
N
N
N
N
N
Jaguar Holding Company II
N/A
Jaguar Holding Company II 2018 Term Loan
47009YAK3
186060.96000000
PA
USD
186928.00000000
0.020365960542
Long
LON
CORP
US
N
2
2022-08-18
Floating
4.30000000
N
N
N
N
N
N
Danske Bank A/S
MAES062Z21O4RZ2U7M96
Danske Bank A/S
23636AAT8
862000.00000000
PA
USD
945940.06000000
0.103060953614
Long
DBT
CORP
DK
Y
2
2024-01-12
Fixed
5.38000000
N
N
N
N
N
N
Freddie Mac
N/A
Freddie Mac Pool
3132A5KC8
197248.63000000
PA
USD
207816.36000000
0.022641764678
Long
ABS-MBS
USGSE
US
N
2
2048-09-01
Fixed
4.50000000
N
N
N
N
N
N
Banc of America Funding Corporation
N/A
Banc of America Funding 2006-6 Trust
05950RBB4
783208.57000000
PA
USD
771451.83000000
0.084050316325
Long
ABS-MBS
CORP
US
N
2
2036-08-25
Fixed
6.00000000
N
N
N
N
N
N
Reliance Standard Life Global Funding II
N/A
Reliance Standard Life Global Funding II
75951AAB4
30000.00000000
PA
USD
30001.51000000
0.003268689382
Long
DBT
CORP
US
Y
2
2020-01-15
Fixed
2.50000000
N
N
N
N
N
N
Royal Bank of Canada
ES7IP3U3RHIGC71XBU11
Royal Bank of Canada
78013GKN4
70000.00000000
PA
USD
70130.30000000
0.007640754315
Long
DBT
CORP
CA
N
2
2020-10-26
Fixed
2.15000000
N
N
N
N
N
N
RBS Commercial Funding Inc Trust
N/A
RBS Commercial Funding Inc 2013-GSP Trust
74932QAA8
200000.00000000
PA
USD
208508.36000000
0.022717158651
Long
ABS-MBS
CORP
US
Y
2
2032-01-15
Variable
3.83000000
N
N
N
N
N
N
Towd Point Mortgage Trust
N/A
Towd Point Mortgage Trust 2017-3
89169DAA9
450726.25000000
PA
USD
452383.57000000
0.049287564926
Long
ABS-O
CORP
US
Y
2
2057-07-25
Variable
2.75000000
N
N
N
N
N
N
United States Treasury
254900HROIFWPRGM1V77
United States Treasury Bill
912796WN5
1415000.00000000
PA
USD
1414307.82000000
0.154090009291
Long
STIV
UST
US
N
2
2020-01-14
None
0.00000000
N
N
N
N
N
N
Citibank, National Association
E57ODZWZ7FF32TWEFA76
PURCHASED JPY / SOLD USD
000000000
1.00000000
NC
-9503.17000000
-0.00103537824
N/A
DFE
JP
N
2
Citibank, National Association
E57ODZWZ7FF32TWEFA76
4550883.79000000
USD
491500000.00000000
JPY
2020-03-18
-9503.17
N
N
N
State Street Bank and Trust Company
571474TGEMMWANRLN572
PURCHASED TWD / SOLD USD
000000000
1.00000000
NC
586.91000000
0.000063944330
N/A
DFE
TW
N
2
State Street Bank and Trust Company
571474TGEMMWANRLN572
308964.32000000
USD
9221040.00000000
TWD
2020-02-26
586.91
N
N
N
Unilever Capital Corp
MYF1DAS6G5WY7PRWCU78
Unilever Capital Corp
904764AT4
254000.00000000
PA
USD
252366.50000000
0.027495539358
Long
DBT
CORP
US
N
2
2021-07-28
Fixed
1.38000000
N
N
N
N
N
N
Occidental Petroleum Corp
IM7X0T3ECJW4C1T7ON55
Occidental Petroleum Corp
674599DC6
230000.00000000
PA
USD
261006.98000000
0.028436926816
Long
DBT
CORP
US
N
2
2026-03-15
Fixed
5.55000000
N
N
N
N
N
N
WAMU Mortgage Pass-Through Certificates
N/A
WaMu Mortgage Pass-Through Certificates Series 2005-AR11 Trust
92922F2G2
519226.73000000
PA
USD
516843.48000000
0.056310525551
Long
ABS-MBS
CORP
US
N
2
2045-08-25
Floating
2.11000000
N
N
N
N
N
N
PacifiCorp
SGY07Y7FNYBNLM6Z1M11
PacifiCorp
695114CD8
543000.00000000
PA
USD
717039.46000000
0.078122043512
Long
DBT
CORP
US
N
2
2037-04-01
Fixed
5.75000000
N
N
N
N
N
N
Bausch Health Companies Inc.
B3BS7ACMDUWISF18KY76
Bausch Health Companies Inc. 2018 Term Loan B
000000000
86939.12000000
PA
USD
87373.82000000
0.009519450112
Long
LON
CORP
CA
N
2
2025-06-02
Floating
4.74000000
N
N
N
N
N
N
Chevron Corp
N/A
Chevron Corp
166764BG4
302000.00000000
PA
USD
303379.85000000
0.033053486125
Long
DBT
CORP
US
N
2
2021-05-16
Fixed
2.10000000
N
N
N
N
N
N
JP Morgan Mortgage Trust
5493002WZI1ZSAEIE710
JP Morgan Mortgage Trust 2016-4
46647JAE0
502970.02000000
PA
USD
512066.74000000
0.055790095768
Long
ABS-MBS
CORP
US
Y
2
2046-10-25
Variable
3.50000000
N
N
N
N
N
N
Philip Morris International Inc
HL3H1H2BGXWVG3BSWR90
Philip Morris International Inc
718172CA5
938000.00000000
PA
USD
947627.13000000
0.103244761289
Long
DBT
CORP
US
N
2
2022-08-17
Fixed
2.38000000
N
N
N
N
N
N
CSC Holdings, LLC
3HG2WD2W22M120IUNG49
CSC Holdings, LLC 2019 Term Loan B5
64072UAK8
50000.00000000
PA
USD
50166.50000000
0.005465681757
Long
LON
CORP
US
N
2
2027-04-15
Floating
4.24000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31416BL63
139153.75000000
PA
USD
156549.61000000
0.017056209771
Long
ABS-MBS
USGSE
US
N
2
2038-02-01
Fixed
5.50000000
N
N
N
N
N
N
Freddie Mac
N/A
Freddie Mac Gold Pool
3128MJX96
332231.94000000
PA
USD
351507.89000000
0.038297075975
Long
ABS-MBS
USGSE
US
N
2
2046-04-01
Fixed
4.00000000
N
N
N
N
N
N
American International Group Inc
ODVCVCQG2BP6VHV36M30
American International Group Inc
026874DD6
110000.00000000
PA
USD
117620.89000000
0.012814893459
Long
DBT
CORP
US
N
2
2025-07-10
Fixed
3.75000000
N
N
N
N
N
N
Northrop Grumman Corp
RIMU48P07456QXSO0R61
Northrop Grumman Corp
666807BN1
310000.00000000
PA
USD
323130.34000000
0.035205318381
Long
DBT
CORP
US
N
2
2028-01-15
Fixed
3.25000000
N
N
N
N
N
N
J.P. Morgan Securities LLC
ZBUT11V806EZRVTWT807
Long: 5845 IRS HUF R V 06MBUBOR 5845 IRS HUF R V 06BUBOR / Short: 5845 IRS HUF P F 1.84750 5845 IRS HUF P F 1.8475
000000000
1080700000.00000000
OU
Notional Amount
-161104.22000000
-0.01755243830
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
HUF
0
HUF
1080700000
HUF
-161104.22
N
N
N
Freddie Mac
N/A
Freddie Mac Pool
31334WP62
191126.07000000
PA
USD
194011.67000000
0.021137732260
Long
ABS-MBS
USGSE
US
N
2
2049-06-01
Fixed
3.00000000
N
N
N
N
N
N
Benchmark Mortgage Trust
N/A
Benchmark 2018-B5 Mortgage Trust
08160BAC8
1977000.00000000
PA
USD
2166995.04000000
0.236095905802
Long
ABS-MBS
CORP
US
N
2
2051-07-15
Fixed
3.94000000
N
N
N
N
N
N
JPMorgan Chase Bank, National Association
7H6GLXDRUGQFU57RNE97
PURCHASED USD / SOLD EUR
000000000
1.00000000
NC
-68663.43000000
-0.00748093761
N/A
DFE
US
N
2
JPMorgan Chase Bank, National Association
7H6GLXDRUGQFU57RNE97
9975500.00000000
EUR
11152918.24000000
USD
2020-02-18
-68663.43
N
N
N
United States Small Business Administration
N/A
SBA Small Business Investment Cos
831641FH3
205783.07000000
PA
USD
209294.24000000
0.022802780929
Long
ABS-O
USGA
US
N
2
2027-03-10
Fixed
2.85000000
N
N
N
N
N
N
AT&T Inc
549300Z40J86GGSTL398
AT&T Inc
00206RDR0
190000.00000000
PA
USD
226514.20000000
0.024678909844
Long
DBT
CORP
US
N
2
2037-03-01
Fixed
5.25000000
N
N
N
N
N
N
General Dynamics Corp
9C1X8XOOTYY2FNYTVH06
General Dynamics Corp
369550BE7
713000.00000000
PA
USD
724842.28000000
0.078972167218
Long
DBT
CORP
US
N
2
2021-05-11
Fixed
3.00000000
N
N
N
N
N
N
Ingersoll-Rand Global Holding Co Ltd
549300UCF0D858BIOV83
Ingersoll-Rand Global Holding Co Ltd
45687AAM4
500000.00000000
PA
USD
504502.70000000
0.054965987340
Long
DBT
CORP
US
N
2
2021-02-21
Fixed
2.90000000
N
N
N
N
N
N
Freddie Mac
N/A
Freddie Mac Pool
31334YVU8
197123.25000000
PA
USD
200842.61000000
0.021881968835
Long
ABS-MBS
USGSE
US
N
2
2049-09-01
Fixed
3.00000000
N
N
N
N
N
N
United States Treasury
254900HROIFWPRGM1V77
United States Treasury Bill
912796RT8
10731600.00000000
PA
USD
10731600.00000000
1.169216715288
Long
STIV
UST
US
N
2
2020-01-02
None
0.00000000
N
N
N
N
N
N
Bank of America Corp
9DJT3UXIJIZJI4WXO774
Bank of America Corp
060505EN0
10000.00000000
PA
USD
11138.00000000
0.001213494332
Long
DBT
CORP
US
N
2
2025-03-17
Variable
6.10000000
N
N
N
N
N
N
Nordea Bank Abp
529900ODI3047E2LIV03
Nordea Bank Abp
65557FAA4
265000.00000000
PA
USD
274716.36000000
0.029930575130
Long
DBT
CORP
FI
Y
2
2021-05-13
Fixed
4.88000000
N
N
N
N
N
N
Prime Security Services Borrower LLC / Prime Finance Inc
N/A
Prime Security Services Borrower LLC / Prime Finance Inc
74166MAA4
35000.00000000
PA
USD
36706.25000000
0.003999176362
Long
DBT
CORP
US
Y
2
2023-05-15
Fixed
9.25000000
N
N
N
N
N
N
Lockheed Martin Corp
DPRBOZP0K5RM2YE8UU08
Lockheed Martin Corp
539830BH1
90000.00000000
PA
USD
96467.09000000
0.010510169415
Long
DBT
CORP
US
N
2
2026-01-15
Fixed
3.55000000
N
N
N
N
N
N
UBS AG
BFM8T61CT2L1QCEMIK50
PURCHASED USD / SOLD EUR
000000000
1.00000000
NC
-35148.43000000
-0.00382945058
N/A
DFE
US
N
2
UBS AG
BFM8T61CT2L1QCEMIK50
7406470.00000000
EUR
8282497.64000000
USD
2020-01-22
-35148.43
N
N
N
Towd Point Mortgage Trust
N/A
Towd Point Mortgage Trust 2018-4
89175TAA6
1103965.48000000
PA
USD
1119572.02000000
0.121978299578
Long
ABS-MBS
CORP
US
Y
2
2058-06-25
Variable
3.00000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36179TSG1
308015.46000000
PA
USD
319867.44000000
0.034849822722
Long
ABS-MBS
USGA
US
N
2
2048-02-20
Fixed
3.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140QAE55
71349.60000000
PA
USD
75281.93000000
0.008202028673
Long
ABS-MBS
USGSE
US
N
2
2048-12-01
Fixed
4.50000000
N
N
N
N
N
N
Mitsubishi UFJ Financial Group Inc
353800V2V8PUY9TK3E06
Mitsubishi UFJ Financial Group Inc
606822AA2
725000.00000000
PA
USD
732717.56000000
0.079830185502
Long
DBT
CORP
JP
N
2
2021-03-01
Fixed
2.95000000
N
N
N
N
N
N
Freddie Mac
N/A
Freddie Mac Gold Pool
3128MJ5S5
227394.37000000
PA
USD
233838.84000000
0.025476935444
Long
ABS-MBS
USGSE
US
N
2
2049-01-01
Fixed
3.50000000
N
N
N
N
N
N
PepsiCo Inc
FJSUNZKFNQ5YPJ5OT455
PepsiCo Inc
713448BY3
224000.00000000
PA
USD
228569.04000000
0.024902786366
Long
DBT
CORP
US
N
2
2022-03-05
Fixed
2.75000000
N
N
N
N
N
N
Energy Transfer Operating LP
5493008K8W3OKZE54J59
Energy Transfer Operating LP
29278NAH6
100000.00000000
PA
USD
106379.56000000
0.011590141238
Long
DBT
CORP
US
N
2
2024-04-15
Fixed
4.50000000
N
N
N
N
N
N
JPMorgan Chase Bank, National Association
7H6GLXDRUGQFU57RNE97
PURCHASED GBP / SOLD USD
000000000
1.00000000
NC
32948.19000000
0.003589732610
N/A
DFE
GB
N
2
JPMorgan Chase Bank, National Association
7H6GLXDRUGQFU57RNE97
6377227.12000000
USD
4833100.00000000
GBP
2020-02-18
32948.19
N
N
N
Freddie Mac
N/A
Freddie Mac Pool
3133KGNJ3
195759.69000000
PA
USD
201395.36000000
0.021942191406
Long
ABS-MBS
USGSE
US
N
2
2049-09-01
Fixed
3.00000000
N
N
N
N
N
N
Freddie Mac
N/A
Freddie Mac Pool
3131YDLL6
188662.57000000
PA
USD
191967.41000000
0.020915008438
Long
ABS-MBS
USGSE
US
N
2
2049-06-01
Fixed
3.00000000
N
N
N
N
N
N
Shell International Finance BV
213800ITMMKU4Z7I4F78
Shell International Finance BV
822582BF8
320000.00000000
PA
USD
382145.21000000
0.041635037384
Long
DBT
CORP
NL
N
2
2045-05-11
Fixed
4.38000000
N
N
N
N
N
N
Bank of America Corp
9DJT3UXIJIZJI4WXO774
Bank of America Corp
06051GFM6
175000.00000000
PA
USD
186574.59000000
0.020327456229
Long
DBT
CORP
US
N
2
2025-01-22
Fixed
4.00000000
N
N
N
N
N
N
Countrywide Home Loans
N/A
CHL Mortgage Pass-Through Trust 2005-3
12669GTQ4
6995.84000000
PA
USD
6642.44000000
0.000723699343
Long
ABS-MBS
CORP
US
N
2
2035-04-25
Floating
2.37000000
N
N
N
N
N
N
JPMorgan Chase Bank, National Association
7H6GLXDRUGQFU57RNE97
PURCHASED COP / SOLD USD
000000000
1.00000000
NC
116066.50000000
0.012645541381
N/A
DFE
CO
N
2
JPMorgan Chase Bank, National Association
7H6GLXDRUGQFU57RNE97
2313800.91000000
USD
7990133000.00000000
COP
2020-01-10
116066.5
N
N
N
United States Treasury
254900HROIFWPRGM1V77
United States Treasury Inflation Indexed Bonds
912828Q60
6861876.80000000
PA
USD
6847582.55000000
0.746049794697
Long
DBT
UST
US
N
2
2021-04-15
Fixed
0.13000000
N
N
N
N
N
N
Freeport-McMoRan Inc
549300IRDTHJQ1PVET45
Freeport-McMoRan Inc
35671DAU9
10000.00000000
PA
USD
10125.00000000
0.001103127142
Long
DBT
CORP
US
N
2
2022-03-01
Fixed
3.55000000
N
N
N
N
N
N
Comcast Corp
51M0QTTNCGUN7KFCFZ59
Comcast Corp
20030NAK7
90000.00000000
PA
USD
127342.58000000
0.013874079643
Long
DBT
CORP
US
N
2
2035-11-15
Fixed
6.50000000
N
N
N
N
N
N
Hanesbrands Inc
GX5LWVWZLL5S4W1L2F20
Hanesbrands Inc
410345AL6
70000.00000000
PA
USD
74112.50000000
0.008074618305
Long
DBT
CORP
US
Y
2
2026-05-15
Fixed
4.88000000
N
N
N
N
N
N
JP Morgan Chase Commercial Mortgage Sec Trust
N/A
JP Morgan Chase Commercial Mortgage Securities Trust 2004-LN2
46625YCW1
19438.06000000
PA
USD
19697.87000000
0.002146099263
Long
ABS-MBS
CORP
US
N
2
2041-07-15
Variable
5.49000000
N
N
N
N
N
N
Bank of America Corp
9DJT3UXIJIZJI4WXO774
Bank of America Corp
06051GHQ5
500000.00000000
PA
USD
549269.18000000
0.059843332443
Long
DBT
CORP
US
N
2
2030-02-07
Variable
3.97000000
N
N
N
N
N
N
Univision Communications Inc.
549300YQDE2JSGTL8V47
Univision Communications Inc. Term Loan C5
914908AX6
145269.19000000
PA
USD
143238.33000000
0.015605934781
Long
LON
CORP
US
N
2
2024-03-15
Floating
4.55000000
N
N
N
N
N
N
Structured Asset Securities Corporation
N/A
Structured Asset Securities Corp Mortgage Loan Trust 2007-BC3
86363WAH2
1422000.00000000
PA
USD
1200291.00000000
0.130772699356
Long
ABS-O
CORP
US
N
2
2047-05-25
Floating
2.05000000
N
N
N
N
N
N
Progress Energy Inc
549300FBMTW0JYWMNB26
Progress Energy Inc
743263AR6
30000.00000000
PA
USD
30581.28000000
0.003331855804
Long
DBT
CORP
US
N
2
2021-01-15
Fixed
4.40000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140F9WR2
227880.81000000
PA
USD
233736.72000000
0.025465809385
Long
ABS-MBS
USGSE
US
N
2
2047-01-01
Fixed
3.00000000
N
N
N
N
N
N
Russian Federation
5493004EHVGF71PDBU58
Russian Federal Bond - OFZ
000000000
8430000.00000000
PA
143401.51000000
0.015623713378
Long
DBT
NUSS
RU
N
2
2028-01-19
Fixed
7.05000000
N
N
N
N
N
N
Freddie Mac
N/A
Freddie Mac Gold Pool
31335ACW6
219014.62000000
PA
USD
245985.82000000
0.026800358983
Long
ABS-MBS
USGSE
US
N
2
2041-06-01
Fixed
5.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31418DHM7
2280088.05000000
PA
USD
2348235.00000000
0.255842149672
Long
ABS-MBS
USGSE
US
N
2
2049-11-01
Fixed
3.50000000
N
N
N
N
N
N
Phillips 66
5493005JBO5YSIGK1814
Phillips 66
718546AC8
498000.00000000
PA
USD
522546.83000000
0.056931910261
Long
DBT
CORP
US
N
2
2022-04-01
Fixed
4.30000000
N
N
N
N
N
N
Citibank, National Association
E57ODZWZ7FF32TWEFA76
PURCHASED GBP / SOLD USD
000000000
1.00000000
NC
90244.71000000
0.009832235957
N/A
DFE
GB
N
2
Citibank, National Association
E57ODZWZ7FF32TWEFA76
1123829.49000000
USD
916189.00000000
GBP
2020-01-17
90244.71
N
N
N
Morgan Stanley Capital I Trust
N/A
Morgan Stanley Capital I Trust 2019-PLND
61691XAA1
1613000.00000000
PA
USD
1610473.88000000
0.175462464127
Long
ABS-MBS
CORP
US
Y
2
2036-05-15
Floating
2.74000000
N
N
N
N
N
N
Anheuser-Busch InBev Worldwide Inc
549300CRGMZK3K53BF92
Anheuser-Busch InBev Worldwide Inc
03523TBX5
360000.00000000
PA
USD
391658.48000000
0.042671516036
Long
DBT
CORP
US
N
2
2025-01-23
Fixed
4.15000000
N
N
N
N
N
N
Standard Chartered Bank
RILFO74KP1CM8P6PCT96
PURCHASED JPY / SOLD USD
000000000
1.00000000
NC
-8618.45000000
-0.00093898727
N/A
DFE
JP
N
2
Standard Chartered Bank
RILFO74KP1CM8P6PCT96
4549999.07000000
USD
491500000.00000000
JPY
2020-03-18
-8618.45
N
N
N
Wells Fargo & Co
PBLD0EJDB5FWOLXP3B76
Wells Fargo & Co
949746SH5
260000.00000000
PA
USD
266217.08000000
0.029004571529
Long
DBT
CORP
US
N
2
2026-10-23
Fixed
3.00000000
N
N
N
N
N
N
US Bancorp
N1GZ7BBF3NP8GI976H15
US Bancorp
91159HHL7
728000.00000000
PA
USD
731899.00000000
0.079741002711
Long
DBT
CORP
US
N
2
2021-01-29
Fixed
2.35000000
N
N
N
N
N
N
Anheuser-Busch Cos LLC / Anheuser-Busch InBev Worldwide Inc
N/A
Anheuser-Busch Cos LLC / Anheuser-Busch InBev Worldwide Inc
03522AAG5
470000.00000000
PA
USD
500664.21000000
0.054547780673
Long
DBT
CORP
US
N
2
2026-02-01
Fixed
3.65000000
N
N
N
N
N
N
JPMorgan Chase Bank, National Association
7H6GLXDRUGQFU57RNE97
PURCHASED USD / SOLD PEN
000000000
1.00000000
NC
-15029.93000000
-0.00163752333
N/A
DFE
US
N
2
JPMorgan Chase Bank, National Association
7H6GLXDRUGQFU57RNE97
2661321.44000000
PEN
788072.68000000
USD
2020-01-10
-15029.93
N
N
N
Union Pacific Corp
549300LMMRSZZCZ8CL11
Union Pacific Corp
907818DM7
269000.00000000
PA
USD
275576.64000000
0.030024303350
Long
DBT
CORP
US
N
2
2023-01-15
Fixed
2.95000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36179UMK5
152847.73000000
PA
USD
157661.33000000
0.017177332586
Long
ABS-MBS
USGA
US
N
2
2049-02-20
Fixed
3.50000000
N
N
N
N
N
N
Charter Communications Operating, LLC
549300TPZNMN50BJ3745
Charter Communications Operating, LLC 2019 Term Loan B1
16117LBW8
326622.33000000
PA
USD
328715.98000000
0.035813878489
Long
LON
CORP
US
N
2
2025-04-30
Floating
3.55000000
N
N
N
N
N
N
Occidental Petroleum Corp
IM7X0T3ECJW4C1T7ON55
Occidental Petroleum Corp
674599CC7
30000.00000000
PA
USD
30523.83000000
0.003325596579
Long
DBT
CORP
US
N
2
2022-02-15
Fixed
3.13000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31416VXB5
101.77000000
PA
USD
106.15000000
0.000011565130
Long
ABS-MBS
USGSE
US
N
2
2020-01-01
Fixed
4.00000000
N
N
N
N
N
N
Philip Morris International Inc
HL3H1H2BGXWVG3BSWR90
Philip Morris International Inc
718172AP4
40000.00000000
PA
USD
45293.18000000
0.004934729503
Long
DBT
CORP
US
N
2
2042-03-20
Fixed
4.50000000
N
N
N
N
N
N
JPMorgan Chase Bank, National Association
7H6GLXDRUGQFU57RNE97
PURCHASED USD / SOLD HKD
000000000
1.00000000
NC
-469.38000000
-0.00005113934
N/A
DFE
US
N
2
JPMorgan Chase Bank, National Association
7H6GLXDRUGQFU57RNE97
811000.00000000
HKD
103546.45000000
USD
2020-03-16
-469.38
N
N
N
Carlyle Global Market Strategies
635400XFOCOSFVGDN267
Carlyle Global Market Strategies CLO 2013-2 Ltd
14310DAU1
761000.00000000
PA
USD
757588.44000000
0.082539888493
Long
ABS-CBDO
CORP
KY
Y
2
2029-01-18
Floating
2.89000000
N
N
N
N
N
N
Apple Inc
HWUPKR0MPOU8FGXBT394
Apple Inc
037833BX7
100000.00000000
PA
USD
125094.57000000
0.013629157090
Long
DBT
CORP
US
N
2
2046-02-23
Fixed
4.65000000
N
N
N
N
N
N
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
90DAY EUR FUTR JUN20 XCME 20200615
000000000
116.00000000
NC
USD
173863.40000000
0.018942561543
N/A
DIR
US
N
1
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
Long
Eurodollar Time Deposit
EDM0 Comdty
2020-06-15
28336036.6
USD
173863.4
N
N
N
Targa Resources Partners LP / Targa Resources Partners Finance Corp
N/A
Targa Resources Partners LP / Targa Resources Partners Finance Corp
87612BAP7
20000.00000000
PA
USD
20200.00000000
0.002200806743
Long
DBT
CORP
US
N
2
2023-11-15
Fixed
4.25000000
N
N
N
N
N
N
Fannie Mae
N/A
Fannie Mae REMICS
3136AETS6
95623.04000000
PA
USD
19814.62000000
0.002158819273
Long
ABS-MBS
USGSE
US
N
2
2043-06-25
Floating
4.36000000
N
N
N
N
N
N
Morgan Stanley Capital I Trust
N/A
Morgan Stanley Capital I Trust 2019-NUGS
61692AAN2
1970000.00000000
PA
USD
1962606.20000000
0.213827572269
Long
ABS-MBS
CORP
US
Y
2
2036-12-15
Floating
3.99000000
N
N
N
N
N
N
IndyMac INDX Mortgage Loan Trust
N/A
IndyMac INDX Mortgage Loan Trust 2007-FLX3
45670AAA9
195221.09000000
PA
USD
187261.50000000
0.020402295643
Long
ABS-MBS
CORP
US
N
2
2037-06-25
Floating
1.95000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36179UPB2
148314.82000000
PA
USD
154932.11000000
0.016879981805
Long
ABS-MBS
USGA
US
N
2
2049-03-20
Fixed
4.50000000
N
N
N
N
N
N
United States Treasury
254900HROIFWPRGM1V77
United States Treasury Note/Bond
912810SC3
2665000.00000000
PA
USD
3065072.71000000
0.333942212354
Long
DBT
UST
US
N
2
2048-05-15
Fixed
3.13000000
N
N
N
N
N
N
Flagstar Mortgage Trust
N/A
Flagstar Mortgage Trust 2017-2
33850RAE2
670900.20000000
PA
USD
674124.48000000
0.073446420869
Long
ABS-MBS
CORP
US
Y
2
2047-10-25
Variable
3.50000000
N
N
N
N
N
N
Republic of Peru
254900STKLK2DBJJZ530
Peruvian Government International Bond
715638BM3
160000.00000000
PA
USD
233801.60000000
0.025472878115
Long
DBT
NUSS
PE
N
2
2050-11-18
Fixed
5.63000000
N
N
N
N
N
N
Chicago Board of Trade
549300EX04Q2QBFQTQ27
US 10YR ULTRA FUT MAR20 XCBT 20200320
000000000
36.00000000
NC
USD
-60182.84000000
-0.00655697030
N/A
DIR
US
N
1
Chicago Board of Trade
549300EX04Q2QBFQTQ27
Long
US 10 Year Ultra Bond
UXYH0 Comdty
2020-03-20
5125495.35
USD
-60182.84
N
N
N
Freddie Mac
N/A
Freddie Mac REMICS
3137AMTT4
115149.79000000
PA
USD
118077.10000000
0.012864597917
Long
ABS-MBS
USGSE
US
N
2
2042-01-15
Fixed
3.00000000
N
N
N
N
N
N
Chicago Board of Trade
549300EX04Q2QBFQTQ27
US ULTRA BOND CBT MAR20 XCBT 20200320
000000000
220.00000000
NC
USD
-1252274.22000000
-0.13643631426
N/A
DIR
US
N
1
Chicago Board of Trade
549300EX04Q2QBFQTQ27
Long
US Treasury Ultra Long Bond
WNH0 Comdty
2020-03-20
41216649.22
USD
-1252274.22
N
N
N
ONEOK Inc
2T3D6M0JSY48PSZI1Q41
ONEOK Inc
682680AW3
506000.00000000
PA
USD
547365.06000000
0.059635876991
Long
DBT
CORP
US
N
2
2029-03-15
Fixed
4.35000000
N
N
N
N
N
N
CVS Health Corp
549300EJG376EN5NQE29
CVS Health Corp
126650CW8
190000.00000000
PA
USD
203801.95000000
0.022204391381
Long
DBT
CORP
US
N
2
2025-03-25
Fixed
4.10000000
N
N
N
N
N
N
Sprint Communications, Inc.
549300JKU50UT08ZWD77
Sprint Communications, Inc. 1st Lien Term Loan B
85208EAB6
46538.68000000
PA
USD
46084.93000000
0.005020991322
Long
LON
CORP
US
N
2
2024-02-02
Floating
4.31000000
N
N
N
N
N
N
Malaysia Government Bond
254900GSIL471JOBYY43
Malaysia Government Bond
000000000
1057000.00000000
PA
261357.17000000
0.028475080307
Long
DBT
NUSS
MY
N
2
2024-06-14
Fixed
3.48000000
N
N
N
N
N
N
Santander UK Group Holdings PLC
549300F5XIFGNNW4CF72
Santander UK Group Holdings PLC
80281LAA3
701000.00000000
PA
USD
752343.99000000
0.081968501318
Long
DBT
CORP
GB
Y
2
2025-09-15
Fixed
4.75000000
N
N
N
N
N
N
Citigroup Global Markets Inc.
MBNUM2BPBDO7JBLYG310
Long: 0WP296759 IRS BRL R F 7.02400 2 NDFPREDISWAP / Short: 0WP296759 IRS BRL P V 00MBRCDI 1 NDFPREDISWAP
000000000
2631000.00000000
OU
Notional Amount
16307.00000000
0.001776661166
N/A
DIR
US
N
2
Citigroup Global Markets Inc.
MBNUM2BPBDO7JBLYG310
Brazil Cetip DI Interbank Deposit Rate
BZDIOVRA Index
Y
2027-01-04
5677.06
BRL
0
BRL
2631000
BRL
14784.15
N
N
N
BNP Paribas
R0MUWSFPU8MPRO8K5P83
BNP Paribas SA
09659W2G8
260000.00000000
PA
USD
281427.33000000
0.030661740875
Long
DBT
CORP
FR
Y
2
2025-01-10
Variable
4.71000000
N
N
N
N
N
N
TKC Holdings, Inc.
N/A
TKC Holdings, Inc. 2017 1st Lien Term Loan
87256FAB0
218296.81000000
PA
USD
201439.93000000
0.021947047344
Long
LON
CORP
US
N
2
2023-02-01
Floating
5.55000000
N
N
N
N
N
N
Freddie Mac
N/A
Freddie Mac Pool
3132DV3M5
96933.82000000
PA
USD
98276.12000000
0.010707264733
Long
ABS-MBS
USGSE
US
N
2
2049-08-01
Fixed
3.00000000
N
N
N
N
N
N
DELTA AIR LINES 2002-1G1
N/A
Delta Air Lines 2002-1 Class G-1 Pass Through Trust
247367AX3
71959.18000000
PA
USD
75629.17000000
0.008239860759
Long
DBT
CORP
US
N
2
2023-01-02
Fixed
6.72000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36179UB92
593146.66000000
PA
USD
610357.21000000
0.066498923946
Long
ABS-MBS
USGA
US
N
2
2048-09-20
Fixed
3.00000000
N
N
N
N
N
N
Royal Bank of Canada
ES7IP3U3RHIGC71XBU11
PURCHASED GBP / SOLD USD
000000000
1.00000000
NC
110288.37000000
0.012016009328
N/A
DFE
GB
N
2
Royal Bank of Canada
ES7IP3U3RHIGC71XBU11
9711967.20000000
USD
7400000.00000000
GBP
2020-03-18
110288.37
N
N
N
International Business Machines Corp
VGRQXHF3J8VDLUA7XE92
International Business Machines Corp
459200JF9
270000.00000000
PA
USD
270934.30000000
0.029518516559
Long
DBT
CORP
US
N
2
2021-02-19
Fixed
2.25000000
N
N
N
N
N
N
Chicago Board of Trade
549300EX04Q2QBFQTQ27
FED FUND 30DAY MAY20 XCBT 20200529
000000000
32.00000000
NC
USD
-24416.92000000
-0.00266024367
N/A
DIR
US
N
1
Chicago Board of Trade
549300EX04Q2QBFQTQ27
Long
30 Day Federal Funds Futures
FFK0 Comdty
2020-05-29
13154133.88
USD
-24416.92
N
N
N
Philip Morris International Inc
HL3H1H2BGXWVG3BSWR90
Philip Morris International Inc
718172CD9
60000.00000000
PA
USD
60855.84000000
0.006630294210
Long
DBT
CORP
US
N
2
2022-11-02
Fixed
2.50000000
N
N
N
N
N
N
Intesa Sanpaolo SpA
2W8N8UU78PMDQKZENC08
Intesa Sanpaolo SpA
46115HAZ0
400000.00000000
PA
USD
405159.38000000
0.044142450282
Long
DBT
CORP
IT
Y
2
2022-07-14
Fixed
3.13000000
N
N
N
N
N
N
BNP Paribas
R0MUWSFPU8MPRO8K5P83
BNP Paribas SA
09659W2F0
200000.00000000
PA
USD
221968.25000000
0.024183624824
Long
DBT
CORP
FR
Y
2
2028-08-14
Fixed
4.40000000
N
N
N
N
N
N
PMT Credit Risk Transfer Trust
N/A
PMT Credit Risk Transfer Trust 2019-3R
69349MAA4
709663.91000000
PA
USD
712982.44000000
0.077680027820
Long
ABS-MBS
CORP
US
Y
2
2022-10-27
Floating
4.61000000
N
N
N
N
N
N
Concho Resources Inc
SYHS7HRDXLL4I0IQ8776
Concho Resources Inc
20605PAG6
90000.00000000
PA
USD
92937.43000000
0.010125610033
Long
DBT
CORP
US
N
2
2025-01-15
Fixed
4.38000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138ENN88
474932.02000000
PA
USD
533347.77000000
0.058108681626
Long
ABS-MBS
USGSE
US
N
2
2040-07-01
Fixed
5.50000000
N
N
N
N
N
N
Citibank, National Association
E57ODZWZ7FF32TWEFA76
PURCHASED USD / SOLD GBP
000000000
1.00000000
NC
-9682.59000000
-0.00105492620
N/A
DFE
US
N
2
Citibank, National Association
E57ODZWZ7FF32TWEFA76
1850000.00000000
GBP
2445881.30000000
USD
2020-03-18
-9682.59
N
N
N
United States Treasury
254900HROIFWPRGM1V77
United States Treasury Note/Bond
912810RY6
1180000.00000000
PA
USD
1263904.86000000
0.137703482131
Long
DBT
UST
US
N
2
2047-08-15
Fixed
2.75000000
N
N
N
N
N
N
MSCG Trust
N/A
MSCG Trust 2015-ALDR
55352NAC1
255000.00000000
PA
USD
260401.13000000
0.028370918956
Long
ABS-MBS
CORP
US
Y
2
2035-06-07
Variable
3.46000000
N
N
N
N
N
N
Intercontinental Exchange, Inc.
5493000F4ZO33MV32P92
Long: SWS032706 CDS USD R F 5.00000 2 CCPCDX / Short: SWS032706 CDS USD P V 03MEVENT 1 CCPCDX
000000000
574200.00000000
OU
Notional Amount
USD
55331.24000000
0.006028384461
N/A
DCR
US
N
2
Intercontinental Exchange, Inc.
5493000F4ZO33MV32P92
Markit CDX.NA.HY.S33.V1
2I65BRSB7 RED Code
Y
sell protection
2024-12-20
40956.35
USD
0
USD
574200
USD
14374.89
N
N
N
Anthem Inc
8MYN82XMYQH89CTMTH67
Anthem Inc
94973VAW7
40000.00000000
PA
USD
40918.49000000
0.004458103402
Long
DBT
CORP
US
N
2
2021-08-15
Fixed
3.70000000
N
N
N
N
N
N
CAL Funding III Ltd
54930028MHWK34KZT715
CAL Funding II Ltd
12805PAJ5
259000.00000000
PA
USD
263088.68000000
0.028663729756
Long
ABS-O
CORP
BM
Y
2
2043-09-25
Fixed
4.34000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140QBG36
2097708.55000000
PA
USD
2170300.55000000
0.236456043857
Long
ABS-MBS
USGSE
US
N
2
2049-07-01
Fixed
3.50000000
N
N
N
N
N
N
Republic of Argentina
549300KPBYGYF7HCHO27
Argentine Republic Government International Bond
040114HK9
340000.00000000
PA
USD
175950.00000000
0.019169898342
Long
DBT
NUSS
AR
N
2
2022-01-26
Fixed
5.63000000
N
N
N
N
N
N
DCert Buyer, Inc.
N/A
DCert Buyer, Inc. 2019 Term Loan B
24022KAB5
330000.00000000
PA
USD
330742.50000000
0.036034669523
Long
LON
CORP
US
N
2
2026-10-16
Floating
5.80000000
N
N
N
N
N
N
AMC Entertainment Holdings, Inc.
549300ZO77UNR6NRBR11
AMC Entertainment Holdings, Inc. 2019 Term Loan B
00164DAQ6
39899.50000000
PA
USD
40177.20000000
0.004377339242
Long
LON
CORP
US
N
2
2026-04-22
Floating
4.80000000
N
N
N
N
N
N
Fresenius Medical Care US Finance II Inc
5493008GJ5TVVTY4UM62
Fresenius Medical Care US Finance II Inc
35802XAF0
236000.00000000
PA
USD
252443.68000000
0.027503948183
Long
DBT
CORP
US
Y
2
2022-01-31
Fixed
5.88000000
N
N
N
N
N
N
Ford Motor Co
20S05OYHG0MQM4VUIC57
Ford Motor Co
345370CA6
446000.00000000
PA
USD
529074.42000000
0.057643096602
Long
DBT
CORP
US
N
2
2031-07-16
Fixed
7.45000000
N
N
N
N
N
N
LCM Ltd Partnership
N/A
LCM XXIII Ltd
52111PAA9
1020000.00000000
PA
USD
1020004.08000000
0.111130289984
Long
ABS-CBDO
CORP
KY
Y
2
2029-10-20
Floating
3.37000000
N
N
N
N
N
N
athenahealth, Inc.
549300Z86PUW4ENZCD61
Athenahealth, Inc. 2019 Term Loan B
04685YAK5
318348.12000000
PA
USD
319541.93000000
0.034814358137
Long
LON
CORP
US
N
2
2026-02-11
Floating
6.40000000
N
N
N
N
N
N
Citigroup Inc
6SHGI4ZSSLCXXQSBB395
Citigroup Inc
172967KA8
610000.00000000
PA
USD
671288.57000000
0.073137446124
Long
DBT
CORP
US
N
2
2027-09-29
Fixed
4.45000000
N
N
N
N
N
N
Freddie Mac
N/A
Freddie Mac Gold Pool
3128M8MJ0
1163781.09000000
PA
USD
1263149.25000000
0.137621157796
Long
ABS-MBS
USGSE
US
N
2
2041-03-01
Fixed
4.00000000
N
N
N
N
N
N
Royal Bank of Canada
ES7IP3U3RHIGC71XBU11
PURCHASED CAD / SOLD USD
000000000
1.00000000
NC
49791.23000000
0.005424795779
N/A
DFE
CA
N
2
Royal Bank of Canada
ES7IP3U3RHIGC71XBU11
3668295.05000000
USD
4827590.00000000
CAD
2020-01-22
49791.23
N
N
N
Kinder Morgan Energy Partners LP
549300PDHUGWPWGOT525
Kinder Morgan Energy Partners LP
494550BU9
20000.00000000
PA
USD
23351.12000000
0.002544123879
Long
DBT
CORP
US
N
2
2044-03-01
Fixed
5.50000000
N
N
N
N
N
N
ABBVIE INC
FR5LCKFTG8054YNNRU85
AbbVie Inc
00287YBL2
440000.00000000
PA
USD
442087.05000000
0.048165750537
Long
DBT
CORP
US
Y
2
2022-11-21
Fixed
2.30000000
N
N
N
N
N
N
BNC Mortgage Loan Trust
N/A
BNC Mortgage Loan Trust 2007-1
05569GAD8
850685.39000000
PA
USD
813711.37000000
0.088654528236
Long
ABS-MBS
CORP
US
N
2
2037-03-25
Floating
1.95000000
N
N
N
N
N
N
GRACE Mortgage Trust
N/A
GRACE 2014-GRCE Mortgage Trust
38406HAA0
393000.00000000
PA
USD
397175.39000000
0.043272587954
Long
ABS-MBS
CORP
US
Y
2
2028-06-10
Fixed
3.37000000
N
N
N
N
N
N
Prime Security Services Borrower LLC / Prime Finance Inc
N/A
Prime Security Services Borrower LLC / Prime Finance Inc
74166MAB2
70000.00000000
PA
USD
74060.00000000
0.008068898387
Long
DBT
CORP
US
Y
2
2024-04-15
Fixed
5.25000000
N
N
N
N
N
N
Santander UK PLC
PTCQB104N23FMNK2RZ28
Santander UK PLC
80283LAA1
676000.00000000
PA
USD
726878.46000000
0.079194010717
Long
DBT
CORP
GB
Y
2
2023-11-07
Fixed
5.00000000
N
N
N
N
N
N
Bank of America Corp
9DJT3UXIJIZJI4WXO774
Bank of America Corp
06051GHD4
482000.00000000
PA
USD
505469.52000000
0.055071323181
Long
DBT
CORP
US
N
2
2028-12-20
Variable
3.42000000
N
N
N
N
N
N
JP Morgan Mortgage Trust
5493002WZI1ZSAEIE710
JP Morgan Mortgage Trust 2018-6
46650JAD6
1181499.07000000
PA
USD
1187676.07000000
0.129398292276
Long
ABS-MBS
CORP
US
Y
2
2048-12-25
Variable
3.50000000
N
N
N
N
N
N
CVS Health Corp
549300EJG376EN5NQE29
CVS Health Corp
126650CX6
590000.00000000
PA
USD
643828.87000000
0.070145689048
Long
DBT
CORP
US
N
2
2028-03-25
Fixed
4.30000000
N
N
N
N
N
N
Wells Fargo & Co
PBLD0EJDB5FWOLXP3B76
Wells Fargo & Co
949746RS2
1129000.00000000
PA
USD
1136899.49000000
0.123866141797
Long
DBT
CORP
US
N
2
2021-03-04
Fixed
2.50000000
N
N
N
N
N
N
Apache Corp
72ZZ1XRHOOU9P9X16K08
Apache Corp
037411BE4
70000.00000000
PA
USD
73080.62000000
0.007962194124
Long
DBT
CORP
US
N
2
2028-10-15
Fixed
4.38000000
N
N
N
N
N
N
Cimarex Energy Co
11KYOFXPU1C4CQL1CL44
Cimarex Energy Co
171798AC5
10000.00000000
PA
USD
10555.39000000
0.001150018489
Long
DBT
CORP
US
N
2
2024-06-01
Fixed
4.38000000
N
N
N
N
N
N
Fidelity National Information Services Inc
6WQI0GK1PRFVBA061U48
Fidelity National Information Services Inc
31620MBJ4
675000.00000000
PA
USD
737978.61000000
0.080403381260
Long
DBT
CORP
US
N
2
2029-05-21
Fixed
3.75000000
N
N
N
N
N
N
Kuwait International Government Bond
549300FSC1YD0D9XX589
Kuwait International Government Bond
501499AB3
210000.00000000
PA
USD
225674.40000000
0.024587412938
Long
DBT
NUSS
KW
Y
2
2027-03-20
Fixed
3.50000000
N
N
N
N
N
N
MA FinanceCo., LLC
N/A
MA FinanceCo., LLC USD Term Loan B3
55280FAG6
3822.92000000
PA
USD
3824.53000000
0.000416685713
Long
LON
CORP
US
N
2
2024-06-21
Floating
4.30000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36179Q6P1
34399.54000000
PA
USD
35857.73000000
0.003906729405
Long
ABS-MBS
USGA
US
N
2
2045-03-20
Fixed
3.50000000
N
N
N
N
N
N
CNOOC Finance 2015 USA LLC
549300Q3CTIH31RFPO82
CNOOC Finance 2015 USA LLC
12634MAB6
550000.00000000
PA
USD
574519.64000000
0.062594390990
Long
DBT
CORP
US
N
2
2025-05-05
Fixed
3.50000000
N
N
N
N
N
N
Cigna Corp
549300VIWYMSIGT1U456
Cigna Corp
125523AH3
460000.00000000
PA
USD
508976.21000000
0.055453379963
Long
DBT
CORP
US
N
2
2028-10-15
Fixed
4.38000000
N
N
N
N
N
N
Hilton Worldwide Finance, LLC
549300406TN7EY0NPH20
Hilton Worldwide Finance, LLC 2019 Term Loan B2
43289DAH6
284793.48000000
PA
USD
286573.44000000
0.031222413825
Long
LON
CORP
US
N
2
2026-06-22
Floating
3.54000000
N
N
N
N
N
N
Morgan Stanley Capital I Trust
N/A
Morgan Stanley Capital I Trust 2019-BPR
61769GAA5
350000.00000000
PA
USD
349337.59000000
0.038060619992
Long
ABS-MBS
CORP
US
Y
2
2036-05-15
Floating
3.14000000
N
N
N
N
N
N
Charter Communications Operating LLC / Charter Communications Operating Capital
N/A
Charter Communications Operating LLC / Charter Communications Operating Capital
161175BA1
60000.00000000
PA
USD
74824.82000000
0.008152226160
Long
DBT
CORP
US
N
2
2045-10-23
Fixed
6.48000000
N
N
N
N
N
N
United States Treasury
254900HROIFWPRGM1V77
United States Treasury Note/Bond
9128286L9
1065000.00000000
PA
USD
1093153.75000000
0.119100007163
Long
DBT
UST
US
N
2
2026-03-31
Fixed
2.25000000
N
N
N
N
N
N
Republic of Indonesia
529900FWX0GRR7WG5W79
Indonesia Government International Bond
455780CN4
540000.00000000
PA
USD
554196.14000000
0.060380128819
Long
DBT
NUSS
ID
N
2
2049-10-30
Fixed
3.70000000
N
N
N
N
N
N
Novartis Capital Corp
5493002KF87V5RSRQS84
Novartis Capital Corp
66989HAM0
719000.00000000
PA
USD
728933.11000000
0.079417866538
Long
DBT
CORP
US
N
2
2022-05-17
Fixed
2.40000000
N
N
N
N
N
N
Trans Union, LLC
X8NPN6PWJOM1QCTYFV34
Trans Union, LLC 2019 Term Loan B5
89334GAX2
98916.79000000
PA
USD
99254.10000000
0.010813816465
Long
LON
CORP
US
N
2
2026-11-16
Floating
3.55000000
N
N
N
N
N
N
Freddie Mac
N/A
Freddie Mac Pool
31334XEE5
1538494.76000000
PA
USD
1561702.32000000
0.170148762239
Long
ABS-MBS
USGSE
US
N
2
2049-07-01
Fixed
3.00000000
N
N
N
N
N
N
PROSUS NV
635400Z5LQ5F9OLVT688
Prosus NV
62856RAB1
206000.00000000
PA
USD
209314.95000000
0.022805037301
Long
DBT
CORP
NL
Y
2
2020-07-18
Fixed
6.00000000
N
N
N
N
N
N
JPMorgan Chase Bank, National Association
7H6GLXDRUGQFU57RNE97
PURCHASED JPY / SOLD USD
000000000
1.00000000
NC
-10446.79000000
-0.00113818642
N/A
DFE
JP
N
2
JPMorgan Chase Bank, National Association
7H6GLXDRUGQFU57RNE97
4337371.46000000
USD
469062000.00000000
JPY
2020-02-18
-10446.79
N
N
N
DBGS Mortgage Trust
N/A
DBGS 2019-1735 Mortgage Trust
23307EAJ0
985000.00000000
PA
USD
1046184.75000000
0.113982695681
Long
ABS-MBS
CORP
US
Y
2
2037-04-10
Variable
4.19000000
N
N
N
N
N
N
Freddie Mac
N/A
Freddie Mac Pool
3133KGWZ7
497585.98000000
PA
USD
492580.77000000
0.053667083185
Long
ABS-MBS
USGSE
US
N
2
2049-10-01
Fixed
2.50000000
N
N
N
N
N
N
Spectra Energy Partners LP
2HKVXE7U4NF5B6UGSU72
Spectra Energy Partners LP
84756NAD1
671000.00000000
PA
USD
730123.19000000
0.079547526740
Long
DBT
CORP
US
N
2
2024-03-15
Fixed
4.75000000
N
N
N
N
N
N
Citigroup Inc
6SHGI4ZSSLCXXQSBB395
Citigroup Inc
172967KR1
220000.00000000
PA
USD
263618.07000000
0.028721407236
Long
DBT
CORP
US
N
2
2046-05-18
Fixed
4.75000000
N
N
N
N
N
N
Barclays Bank PLC
G5GSEF7VJP5I7OUK5573
PURCHASED CAD / SOLD USD
000000000
1.00000000
NC
95624.90000000
0.010418412117
N/A
DFE
CA
N
2
Barclays Bank PLC
G5GSEF7VJP5I7OUK5573
3818887.74000000
USD
5082741.00000000
CAD
2020-01-17
95624.9
N
N
N
Verizon Communications Inc
2S72QS2UO2OESLG6Y829
Verizon Communications Inc
92344GAM8
100000.00000000
PA
USD
142804.74000000
0.015558694792
Long
DBT
CORP
US
N
2
2030-12-01
Fixed
7.75000000
N
N
N
N
N
N
JPMorgan Chase Bank, National Association
7H6GLXDRUGQFU57RNE97
PURCHASED USD / SOLD PEN
000000000
1.00000000
NC
-23956.53000000
-0.00261008380
N/A
DFE
US
N
2
JPMorgan Chase Bank, National Association
7H6GLXDRUGQFU57RNE97
4144471.08000000
PEN
1226501.46000000
USD
2020-01-15
-23956.53
N
N
N
Caesars Entertainment Operating Company
N/A
Caesars Entertainment Operating Company Exit Term Loan
12768PAB7
134221.31000000
PA
USD
134916.58000000
0.014699273221
Long
LON
CORP
US
N
2
2024-10-07
Floating
3.80000000
N
N
N
N
N
N
Telefonica Emisiones SAU
549300Y5MFC4SW5Z3K71
Telefonica Emisiones SA
87938WAM5
40000.00000000
PA
USD
40378.60000000
0.004399281939
Long
DBT
CORP
ES
N
2
2020-04-27
Fixed
5.13000000
N
N
N
N
N
N
Home Equity Asset Trust
N/A
Home Equity Asset Trust 2005-9
437084QY5
359411.32000000
PA
USD
358435.95000000
0.039051893855
Long
ABS-MBS
CORP
US
N
2
2036-04-25
Floating
2.20000000
N
N
N
N
N
N
Social Professional Loan Program LLC
N/A
Sofi Professional Loan Program 2019-A LLC
78471HAB4
730000.00000000
PA
USD
753884.58000000
0.082136349876
Long
ABS-O
CORP
US
Y
2
2048-06-15
Fixed
3.69000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140HU5A0
300000.00000000
PA
USD
308965.01000000
0.033661993936
Long
ABS-MBS
USGSE
US
N
2
2029-08-01
Fixed
2.79000000
N
N
N
N
N
N
Freddie Mac
N/A
Freddie Mac Pool
3132DV4N2
999900.13000000
PA
USD
988294.26000000
0.107675478811
Long
ABS-MBS
USGSE
US
N
2
2049-12-01
Fixed
2.50000000
N
N
N
N
N
N
JPMorgan Chase Bank, National Association
7H6GLXDRUGQFU57RNE97
PURCHASED USD / SOLD BRL
000000000
1.00000000
NC
-10976.35000000
-0.00119588243
N/A
DFE
US
N
2
JPMorgan Chase Bank, National Association
7H6GLXDRUGQFU57RNE97
1099000.00000000
BRL
262122.26000000
USD
2020-01-13
-10976.35
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140QBPB8
393829.51000000
PA
USD
400003.43000000
0.043580705256
Long
ABS-MBS
USGSE
US
N
2
2049-08-01
Fixed
3.00000000
N
N
N
N
N
N
MGM Growth Properties Operating Partnership LP
549300U6G4UOCMLQK204
MGM Growth Properties Operating Partnership LP 2016 Term Loan B
55303KAC7
91670.26000000
PA
USD
91975.52000000
0.010020809141
Long
LON
CORP
US
N
2
2025-03-21
Floating
3.80000000
N
N
N
N
N
N
JPMorgan Chase Bank, National Association
7H6GLXDRUGQFU57RNE97
PURCHASED USD / SOLD RUB
000000000
1.00000000
NC
-12438.62000000
-0.00135519795
N/A
DFE
US
N
2
JPMorgan Chase Bank, National Association
7H6GLXDRUGQFU57RNE97
24276812.70000000
RUB
378329.13000000
USD
2020-01-17
-12438.62
N
N
N
Benchmark Mortgage Trust
N/A
Benchmark 2018-B8 Mortgage Trust
08162UAW0
2315000.00000000
PA
USD
2598678.48000000
0.283128174407
Long
ABS-MBS
CORP
US
N
2
2052-01-15
Fixed
4.23000000
N
N
N
N
N
N
Freddie Mac
N/A
Freddie Mac Gold Pool
3132Y33H5
68932.39000000
PA
USD
73787.15000000
0.008039171153
Long
ABS-MBS
USGSE
US
N
2
2048-11-01
Fixed
5.00000000
N
N
N
N
N
N
WAMU Mortgage Pass-Through Certificates
N/A
WaMu Mortgage Pass-Through Certificates Series 2005-AR9 Trust
92922FU48
278280.81000000
PA
USD
275737.24000000
0.030041800853
Long
ABS-MBS
CORP
US
N
2
2045-07-25
Floating
2.43000000
N
N
N
N
N
N
Freddie Mac
N/A
Freddie Mac REMICS
31393RJ92
66427.02000000
PA
USD
74194.27000000
0.008083527215
Long
ABS-MBS
USGSE
US
N
2
2033-06-15
Fixed
5.00000000
N
N
N
N
N
N
United States Treasury
254900HROIFWPRGM1V77
United States Treasury Note/Bond
912810RD2
1510000.00000000
PA
USD
1886054.84000000
0.205487238145
Long
DBT
UST
US
N
2
2043-11-15
Fixed
3.75000000
N
N
N
N
N
N
BCAP LLC Trust
N/A
BCAP LLC 2014-RR3 Trust
05544EAM3
579368.49000000
PA
USD
553037.00000000
0.060253839555
Long
ABS-O
CORP
US
Y
2
2036-10-26
Variable
1.92000000
N
N
N
N
N
N
BP Capital Markets America Inc
5493009NTB34VXE1T760
BP Capital Markets America Inc
10373QAJ9
10000.00000000
PA
USD
10317.54000000
0.001124104535
Long
DBT
CORP
US
N
2
2022-05-06
Fixed
3.25000000
N
N
N
N
N
N
Charter Communications Operating LLC / Charter Communications Operating Capital
N/A
Charter Communications Operating LLC / Charter Communications Operating Capital
161175BR4
360000.00000000
PA
USD
407942.88000000
0.044445714914
Long
DBT
CORP
US
N
2
2029-03-30
Fixed
5.05000000
N
N
N
N
N
N
Singapore Government
549300ZSV6VOGFH1ER70
Singapore Government Bond
000000000
1016000.00000000
PA
804142.90000000
0.087612035498
Long
DBT
NUSS
SG
N
2
2024-09-01
Fixed
3.00000000
N
N
N
N
N
N
Wells Fargo & Co
PBLD0EJDB5FWOLXP3B76
Wells Fargo & Co
94974BGU8
530000.00000000
PA
USD
634565.87000000
0.069136477520
Long
DBT
CORP
US
N
2
2046-12-07
Fixed
4.75000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31418C3K8
197974.28000000
PA
USD
211568.35000000
0.023050547098
Long
ABS-MBS
USGSE
US
N
2
2048-10-01
Fixed
5.00000000
N
N
N
N
N
N
HSI Asset Securitization Corporation Trust
N/A
HSI Asset Securitization Corp Trust 2007-OPT1
40431JAA1
248090.32000000
PA
USD
218590.82000000
0.023815651026
Long
ABS-O
CORP
US
N
2
2036-12-25
Floating
1.93000000
N
N
N
N
N
N
JPMorgan Chase Bank, National Association
7H6GLXDRUGQFU57RNE97
PURCHASED USD / SOLD THB
000000000
1.00000000
NC
-75651.52000000
-0.00824229581
N/A
DFE
US
N
2
JPMorgan Chase Bank, National Association
7H6GLXDRUGQFU57RNE97
232032500.00000000
THB
7673413.03000000
USD
2020-01-17
-75651.52
N
N
N
BAT Capital Corp
2138005GYEXN7XRHFA84
BAT Capital Corp
05526DBB0
445000.00000000
PA
USD
453809.18000000
0.049442886317
Long
DBT
CORP
US
N
2
2027-08-15
Fixed
3.56000000
N
N
N
N
N
N
Bank of America Corp
9DJT3UXIJIZJI4WXO774
Bank of America Corp
06051GHM4
200000.00000000
PA
USD
222016.53000000
0.024188884970
Long
DBT
CORP
US
N
2
2029-07-23
Variable
4.27000000
N
N
N
N
N
N
Mars Inc
54930073HKEO6GZBSS03
Mars Inc
571676AB1
30000.00000000
PA
USD
31728.26000000
0.003456820226
Long
DBT
CORP
US
Y
2
2030-04-01
Fixed
3.20000000
N
N
N
N
N
N
Peru Government Bond
254900STKLK2DBJJZ530
Peru Government Bond
000000000
6444000.00000000
PA
2172121.97000000
0.236654489076
Long
DBT
NUSS
PE
N
2
2024-08-12
Fixed
5.70000000
N
N
N
N
N
N
Deutsche Telekom International Finance BV
529900ERDFHS6C1M4U58
Deutsche Telekom International Finance BV
25156PAU7
251000.00000000
PA
USD
250940.04000000
0.027340125359
Long
DBT
CORP
NL
Y
2
2021-09-19
Fixed
1.95000000
N
N
N
N
N
N
JPMorgan Chase Bank, National Association
7H6GLXDRUGQFU57RNE97
PURCHASED PLN / SOLD USD
000000000
1.00000000
NC
90508.92000000
0.009861021855
N/A
DFE
PL
N
2
JPMorgan Chase Bank, National Association
7H6GLXDRUGQFU57RNE97
4520889.60000000
USD
17492000.00000000
PLN
2020-03-16
90508.92
N
N
N
AT&T Inc
549300Z40J86GGSTL398
AT&T Inc
00206RBD3
40000.00000000
PA
USD
40785.14000000
0.004443574809
Long
DBT
CORP
US
N
2
2022-02-15
Fixed
3.00000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36179UQ62
89896.61000000
PA
USD
93887.62000000
0.010229134021
Long
ABS-MBS
USGA
US
N
2
2049-04-20
Fixed
4.50000000
N
N
N
N
N
N
Freddie Mac
N/A
Freddie Mac Pool
31334WHS3
185970.60000000
PA
USD
189273.61000000
0.020621516696
Long
ABS-MBS
USGSE
US
N
2
2049-06-01
Fixed
3.00000000
N
N
N
N
N
N
Charter Communications Operating LLC / Charter Communications Operating Capital
N/A
Charter Communications Operating LLC / Charter Communications Operating Capital
161175AZ7
20000.00000000
PA
USD
25190.29000000
0.002744502975
Long
DBT
CORP
US
N
2
2035-10-23
Fixed
6.38000000
N
N
N
N
N
N
Wells Fargo & Co
PBLD0EJDB5FWOLXP3B76
Wells Fargo & Co
94974BGE4
10000.00000000
PA
USD
11727.11000000
0.001277678354
Long
DBT
CORP
US
N
2
2044-11-04
Fixed
4.65000000
N
N
N
N
N
N
Goldman Sachs Group Inc/The
784F5XWPLTWKTBV3E584
Goldman Sachs Group Inc/The
38141GXA7
100000.00000000
PA
USD
113680.51000000
0.012385585792
Long
DBT
CORP
US
N
2
2039-04-23
Variable
4.41000000
N
N
N
N
N
N
Northrop Grumman Corp
RIMU48P07456QXSO0R61
Northrop Grumman Corp
666807BM3
80000.00000000
PA
USD
82418.40000000
0.008979552995
Long
DBT
CORP
US
N
2
2025-01-15
Fixed
2.93000000
N
N
N
N
N
N
Russian Federation
5493004EHVGF71PDBU58
Russian Federal Bond - OFZ
000000000
1960000.00000000
PA
34042.33000000
0.003708940070
Long
DBT
NUSS
RU
N
2
2034-05-10
Fixed
7.25000000
N
N
N
N
N
N
Apple Inc
HWUPKR0MPOU8FGXBT394
Apple Inc
037833BZ2
110000.00000000
PA
USD
111454.69000000
0.012143080858
Long
DBT
CORP
US
N
2
2026-08-04
Fixed
2.45000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31418DEU2
3814222.48000000
PA
USD
3967884.27000000
0.432304280145
Long
ABS-MBS
USGSE
US
N
2
2049-08-01
Fixed
4.00000000
N
N
N
N
N
N
Citigroup Global Markets Inc.
MBNUM2BPBDO7JBLYG310
Long: 0WP293038 IRS BRL R F 8.41000 / Short: 0WP293038 IRS BRL P V 00MBRCDI
000000000
4000000.00000000
OU
Notional Amount
31636.22000000
0.003446792391
N/A
DIR
US
N
2
Citigroup Global Markets Inc.
MBNUM2BPBDO7JBLYG310
Brazil Cetip DI Interbank Deposit Rate
BZDIOVRA Index
Y
2020-01-02
26.08
BRL
0
BRL
4000000
BRL
31796.41
N
N
N
Hilton USA Trust
N/A
Hilton USA Trust 2016-HHV
43300LAL4
1240000.00000000
PA
USD
1289715.07000000
0.140515525905
Long
ABS-MBS
CORP
US
Y
2
2038-11-05
Variable
4.19000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140JM7A4
5264482.80000000
PA
USD
5475909.96000000
0.596604929055
Long
ABS-MBS
USGSE
US
N
2
2049-04-01
Fixed
4.00000000
N
N
N
N
N
N
Nevada Power Co
MJZFGXRJ52U8U4MKJ519
Nevada Power Co
641423BU1
362000.00000000
PA
USD
510990.66000000
0.055672855960
Long
DBT
CORP
US
N
2
2037-07-01
Fixed
6.75000000
N
N
N
N
N
N
Home Equity Asset Trust
N/A
Home Equity Asset Trust 2006-4
437084VN3
573774.61000000
PA
USD
571206.85000000
0.062233459773
Long
ABS-O
CORP
US
N
2
2036-08-25
Floating
2.07000000
N
N
N
N
N
N
HSBC Holdings PLC
MLU0ZO3ML4LN2LL2TL39
HSBC Holdings PLC
404280BP3
200000.00000000
PA
USD
220000.00000000
0.023969182355
Long
DBT
CORP
GB
N
2
2028-03-23
Variable
6.50000000
N
N
N
N
N
N
Banco Santander SA
5493006QMFDDMYWIAM13
Banco Santander SA
05964HAG0
200000.00000000
PA
USD
208509.52000000
0.022717285034
Long
DBT
CORP
ES
N
2
2023-04-12
Fixed
3.85000000
N
N
N
N
N
N
JPMorgan Chase Bank, National Association
7H6GLXDRUGQFU57RNE97
PURCHASED NOK / SOLD USD
000000000
1.00000000
NC
216277.14000000
0.023563573672
N/A
DFE
NO
N
2
JPMorgan Chase Bank, National Association
7H6GLXDRUGQFU57RNE97
4657862.36000000
USD
42782000.00000000
NOK
2020-03-16
216277.14
N
N
N
Grifols Worldwide Operations USA, Inc.
N/A
Grifols Worldwide Operations USA, Inc. USD 2019 Term Loan B
39843PAG8
180000.00000000
PA
USD
181405.80000000
0.019764312274
Long
LON
CORP
US
N
2
2027-11-08
None
0.00000000
N
N
N
N
N
N
State Street Bank and Trust Company
571474TGEMMWANRLN572
PURCHASED PEN / SOLD USD
000000000
1.00000000
NC
9730.59000000
0.001060155846
N/A
DFE
PE
N
2
State Street Bank and Trust Company
571474TGEMMWANRLN572
745846.84000000
USD
2507910.00000000
PEN
2020-02-26
9730.59
N
N
N
Bank of America, National Association
B4TYDEB6GKMZO031MB27
PURCHASED ZAR / SOLD USD
000000000
1.00000000
NC
112151.62000000
0.012219011960
N/A
DFE
ZA
N
2
Bank of America, National Association
B4TYDEB6GKMZO031MB27
1750759.94000000
USD
26278420.00000000
ZAR
2020-02-26
112151.62
N
N
N
CC Holdings GS V LLC / Crown Castle GS III Corp
N/A
CC Holdings GS V LLC / Crown Castle GS III Corp
14987BAE3
242000.00000000
PA
USD
253545.60000000
0.027624003280
Long
DBT
US
N
2
2023-04-15
Fixed
3.85000000
N
N
N
N
N
N
United Technologies Corp
I07WOS4YJ0N7YRFE7309
United Technologies Corp
913017BV0
100000.00000000
PA
USD
102516.87000000
0.011169297961
Long
DBT
CORP
US
N
2
2022-06-01
Fixed
3.10000000
N
N
N
N
N
N
Danone SA
969500KMUQ2B6CBAF162
Danone SA
23636TAC4
890000.00000000
PA
USD
890679.20000000
0.097040237112
Long
DBT
CORP
FR
Y
2
2021-11-02
Fixed
2.08000000
N
N
N
N
N
N
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
Long: BWS032268 IRS USD R V 00MFEDL 1 CCPOIS / Short: BWS032268 IRS USD P F 1.35000 2 CCPOIS
000000000
7584000.00000000
OU
Notional Amount
USD
14368.34000000
0.001565442552
N/A
DIR
US
N
2
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
US Federal Funds Effective Rate
FEDL01 Index
Y
2021-09-15
0
USD
-1442.39
USD
7584000
USD
15810.73
N
N
N
Bank of America, National Association
B4TYDEB6GKMZO031MB27
PURCHASED USD / SOLD TRY
000000000
1.00000000
NC
12481.12000000
0.001359828369
N/A
DFE
US
N
2
Bank of America, National Association
B4TYDEB6GKMZO031MB27
5768060.00000000
TRY
968845.10000000
USD
2020-02-26
12481.12
N
N
N
Freddie Mac - STACR
N/A
Freddie Mac Structured Agency Credit Risk Debt Notes
3137G0GW3
1330000.00000000
PA
USD
1473369.61000000
0.160524840267
Long
ABS-MBS
USGSE
US
N
2
2028-04-25
Floating
6.49000000
N
N
N
N
N
N
AmeriCredit Automobile Receivables Trust
N/A
Americredit Automobile Receivables Trust 2019-1
03066GAB5
904943.01000000
PA
USD
908018.73000000
0.098929393278
Long
ABS-O
CORP
US
N
2
2022-06-20
Fixed
2.93000000
N
N
N
N
N
N
CME Group Inc
LCZ7XYGSLJUHFXXNXD88
CME Group Inc
12572QAF2
30000.00000000
PA
USD
40087.69000000
0.004367587053
Long
DBT
CORP
US
N
2
2043-09-15
Fixed
5.30000000
N
N
N
N
N
N
Syngenta Finance NV
54930042S3BYCEGOCN86
Syngenta Finance NV
87164KAA2
718000.00000000
PA
USD
724563.17000000
0.078941757952
Long
DBT
CORP
NL
N
2
2022-03-28
Fixed
3.13000000
N
N
N
N
N
N
Microsoft Corp
INR2EJN1ERAN0W5ZP974
Microsoft Corp
594918BD5
100000.00000000
PA
USD
113376.53000000
0.012352466919
Long
DBT
CORP
US
N
2
2045-02-12
Fixed
3.75000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140JXFE3
198075.54000000
PA
USD
201055.86000000
0.021905202599
Long
ABS-MBS
USGSE
US
N
2
2049-10-01
Fixed
3.00000000
N
N
N
N
N
N
Freddie Mac
N/A
Freddie Mac Gold Pool
3132WKLT3
302211.77000000
PA
USD
311097.10000000
0.033894286909
Long
ABS-MBS
USGSE
US
N
2
2047-01-01
Fixed
3.00000000
N
N
N
N
N
N
Four Seasons Hotels Limited
5493009FUVX8LHYY2202
Four Seasons Hotels Limited New 1st Lien Term Loan
000000000
99615.06000000
PA
USD
100250.60000000
0.010922385966
Long
LON
CORP
CA
N
2
2023-11-30
None
0.00000000
N
N
N
N
N
N
Fannie Mae
N/A
Fannie Mae REMICS
3136AHGQ7
106802.88000000
PA
USD
19591.04000000
0.002134460046
Long
ABS-MBS
USGSE
US
N
2
2043-12-25
Floating
4.16000000
N
N
N
N
N
N
Fresenius Medical Care US Finance II Inc
5493008GJ5TVVTY4UM62
Fresenius Medical Care US Finance II Inc
35802XAJ2
110000.00000000
PA
USD
118805.25000000
0.012943930463
Long
DBT
CORP
US
Y
2
2024-10-15
Fixed
4.75000000
N
N
N
N
N
N
Jefferies Group LLC / Jefferies Group Capital Finance Inc
N/A
Jefferies Group LLC / Jefferies Group Capital Finance Inc
47233JBH0
732000.00000000
PA
USD
775132.03000000
0.084451277165
Long
DBT
CORP
US
N
2
2030-01-23
Fixed
4.15000000
N
N
N
N
N
N
Cimarex Energy Co
11KYOFXPU1C4CQL1CL44
Cimarex Energy Co
171798AD3
210000.00000000
PA
USD
217057.47000000
0.023648591272
Long
DBT
CORP
US
N
2
2027-05-15
Fixed
3.90000000
N
N
N
N
N
N
Kraft Heinz Foods Co
5493003STKEZ2S0RNU91
Kraft Heinz Foods Co
50077LAD8
60000.00000000
PA
USD
59951.79000000
0.006531797213
Long
DBT
CORP
US
N
2
2026-06-01
Fixed
3.00000000
N
N
N
N
N
N
Triton Container Finance V LLC
N/A
Triton Container Finance V LLC
89679HAJ4
204600.00000000
PA
USD
205517.43000000
0.022391294349
Long
ABS-O
CORP
US
Y
2
2043-03-20
Fixed
3.95000000
N
N
N
N
N
N
JPMorgan Chase Bank, National Association
7H6GLXDRUGQFU57RNE97
PURCHASED USD / SOLD PEN
000000000
1.00000000
NC
-6075.46000000
-0.00066192640
N/A
DFE
US
N
2
JPMorgan Chase Bank, National Association
7H6GLXDRUGQFU57RNE97
801857.11000000
PEN
235875.01000000
USD
2020-01-13
-6075.46
N
N
N
JPMorgan Chase & Co
8I5DZWZKVSZI1NUHU748
JPMorgan Chase & Co
46625HJC5
130000.00000000
PA
USD
134972.65000000
0.014705382094
Long
DBT
CORP
US
N
2
2021-08-15
Fixed
4.35000000
N
N
N
N
N
N
Fanniemae-Aces
N/A
Fannie Mae-Aces
3136B35Z9
90000.00000000
PA
USD
97689.45000000
0.010643346551
Long
ABS-MBS
USGSE
US
N
2
2031-02-25
Fixed
3.61000000
N
N
N
N
N
N
Republic Services Inc
NKNQHM6BLECKVOQP7O46
Republic Services Inc
760759AU4
60000.00000000
PA
USD
60633.32000000
0.006606050472
Long
DBT
CORP
US
N
2
2024-08-15
Fixed
2.50000000
N
N
N
N
N
N
Citibank, National Association
E57ODZWZ7FF32TWEFA76
PURCHASED USD / SOLD RUB
000000000
1.00000000
NC
-8692.79000000
-0.00094708667
N/A
DFE
US
N
2
Citibank, National Association
E57ODZWZ7FF32TWEFA76
14914537.60000000
RUB
231376.63000000
USD
2020-01-17
-8692.79
N
N
N
JPMorgan Chase Bank, National Association
7H6GLXDRUGQFU57RNE97
PURCHASED USD / SOLD IDR
000000000
1.00000000
NC
-4347.64000000
-0.00047367898
N/A
DFE
US
N
2
JPMorgan Chase Bank, National Association
7H6GLXDRUGQFU57RNE97
4231000000.00000000
IDR
301396.21000000
USD
2020-01-13
-4347.64
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140HVFR0
100000.00000000
PA
USD
101660.18000000
0.011075960875
Long
ABS-MBS
USGSE
US
N
2
2031-08-01
Fixed
2.77000000
N
N
N
N
N
N
AbbVie Inc
FR5LCKFTG8054YNNRU85
AbbVie Inc
00287YAQ2
60000.00000000
PA
USD
63279.22000000
0.006894323470
Long
DBT
CORP
US
N
2
2025-05-14
Fixed
3.60000000
N
N
N
N
N
N
United States Treasury
254900HROIFWPRGM1V77
United States Treasury Note/Bond
912828YE4
435000.00000000
PA
USD
426280.19000000
0.046443580038
Long
DBT
UST
US
N
2
2024-08-31
Fixed
1.25000000
N
N
N
N
N
N
PMT Credit Risk Transfer Trust
N/A
PMT Credit Risk Transfer Trust 2019-1R
73021CAA3
380452.62000000
PA
USD
380105.95000000
0.041412858317
Long
ABS-MBS
CORP
US
Y
2
2024-03-27
Floating
3.70000000
N
N
N
N
N
N
HCA Inc
L3CJ6J7LJ2DX62FTXD46
HCA Inc
404119BV0
463000.00000000
PA
USD
530731.99000000
0.057823690227
Long
DBT
CORP
US
N
2
2047-06-15
Fixed
5.50000000
N
N
N
N
N
N
Halliburton Co
ENYF8GB5SMQZ25S06U51
Halliburton Co
406216BG5
70000.00000000
PA
USD
74657.82000000
0.008134031371
Long
DBT
CORP
US
N
2
2025-11-15
Fixed
3.80000000
N
N
N
N
N
N
Bank of America Corp
9DJT3UXIJIZJI4WXO774
Bank of America Corp
06051GHS1
30000.00000000
PA
USD
35912.54000000
0.003912701000
Long
DBT
CORP
US
N
2
2050-03-15
Variable
4.33000000
N
N
N
N
N
N
Morgan Stanley Mortgage Capital Holdings LLC
N/A
MSSG Trust 2017-237P
55375KAA4
8761000.00000000
PA
USD
222847.42000000
0.024279411124
Long
ABS-MBS
CORP
US
Y
2
2039-09-13
Variable
0.34000000
N
N
N
N
N
N
Berkshire Hathaway Finance Corp
549300RLHFT5RU20WM87
Berkshire Hathaway Finance Corp
084664CQ2
621000.00000000
PA
USD
732802.34000000
0.079839422353
Long
DBT
CORP
US
N
2
2048-08-15
Fixed
4.20000000
N
N
N
N
N
N
Teva Pharmaceutical Finance Netherlands III BV
5493004T21MOAFINJP35
Teva Pharmaceutical Finance Netherlands III BV
88167AAD3
220000.00000000
PA
USD
204050.00000000
0.022231416634
Long
DBT
CORP
NL
N
2
2023-07-21
Fixed
2.80000000
N
N
N
N
N
N
WILLIAMS COS INC
D71FAKCBLFS2O0RBPG08
Williams Cos Inc/The
969457BM1
517000.00000000
PA
USD
742511.68000000
0.080897262994
Long
DBT
CORP
US
N
2
2032-03-15
Fixed
8.75000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31418DCY6
8817958.70000000
PA
USD
9059142.30000000
0.987001062594
Long
ABS-MBS
USGSE
US
N
2
2049-06-01
Fixed
3.50000000
N
N
N
N
N
N
Intelsat Jackson Holdings S.A.
8XJ8KF85PBKK1TLMFN29
Intelsat Jackson Holdings S.A. 2017 Term Loan B3
000000000
90000.00000000
PA
USD
90080.10000000
0.009814301561
Long
LON
CORP
LU
N
2
2023-11-27
Floating
5.68000000
N
N
N
N
N
N
Westpac Banking Corp
EN5TNI6CI43VEPAMHL14
Westpac Banking Corp
961214CP6
10000.00000000
PA
USD
10013.29000000
0.001090956245
Long
DBT
CORP
AU
N
2
2020-05-26
Fixed
2.30000000
N
N
N
N
N
N
Banistmo SA
549300E94AMW3HSSMU17
Banistmo SA
06034LAA8
729000.00000000
PA
USD
736297.29000000
0.080220200053
Long
DBT
CORP
PA
Y
2
2022-09-19
Fixed
3.65000000
N
N
N
N
N
N
JPMorgan Chase Bank, National Association
7H6GLXDRUGQFU57RNE97
PURCHASED BRL / SOLD USD
000000000
1.00000000
NC
22728.96000000
0.002476339031
N/A
DFE
BR
N
2
JPMorgan Chase Bank, National Association
7H6GLXDRUGQFU57RNE97
587770.92000000
USD
2457000.00000000
BRL
2020-01-17
22728.96
N
N
N
United States Treasury
254900HROIFWPRGM1V77
United States Treasury Inflation Indexed Bonds
912810SB5
761762.30000000
PA
USD
842645.78000000
0.091806956189
Long
DBT
UST
US
N
2
2048-02-15
Fixed
1.00000000
N
N
N
N
N
N
McAfee, LLC
N/A
McAfee, LLC 2018 USD Term Loan B
57906PAG4
329497.86000000
PA
USD
330733.48000000
0.036033686786
Long
LON
CORP
US
N
2
2024-09-30
Floating
5.55000000
N
N
N
N
N
N
Goldman Sachs Group Inc/The
784F5XWPLTWKTBV3E584
Goldman Sachs Group Inc/The
38141GFD1
410000.00000000
PA
USD
568309.92000000
0.061917836848
Long
DBT
CORP
US
N
2
2037-10-01
Fixed
6.75000000
N
N
N
N
N
N
ICICI Bank Ltd/Dubai
R7RX8ER1V4666J8D1I38
ICICI Bank Ltd/Dubai
45112EAG4
252000.00000000
PA
USD
261774.25000000
0.028520521518
Long
DBT
CORP
IN
Y
2
2026-03-18
Fixed
4.00000000
N
N
N
N
N
N
Fannie Mae - CAS
N/A
Connecticut Avenue Securities Trust 2019-R07
20753WAF3
670000.00000000
PA
USD
676294.92000000
0.073682892106
Long
ABS-MBS
USGSE
US
Y
2
2039-10-25
Floating
3.89000000
N
N
N
N
N
N
Lamb Weston Holdings Inc
5493005SMYID1D2OY946
Lamb Weston Holdings Inc
513272AB0
60000.00000000
PA
USD
63600.00000000
0.006929272717
Long
DBT
CORP
US
Y
2
2026-11-01
Fixed
4.88000000
N
N
N
N
N
N
Freddie Mac
N/A
Freddie Mac Pool
3132A8Y52
228292.85000000
PA
USD
235290.61000000
0.025635106988
Long
ABS-MBS
USGSE
US
N
2
2032-12-01
Fixed
3.00000000
N
N
N
N
N
N
Humana Inc
529900YLDW34GJAO4J06
Humana Inc
444859BF8
200000.00000000
PA
USD
215003.78000000
0.023424840044
Long
DBT
CORP
US
N
2
2027-03-15
Fixed
3.95000000
N
N
N
N
N
N
Visa Inc
549300JZ4OKEHW3DPJ59
Visa Inc
92826CAG7
277000.00000000
PA
USD
280003.61000000
0.030506625400
Long
DBT
CORP
US
N
2
2022-09-15
Fixed
2.15000000
N
N
N
N
N
N
UniCredit SpA
549300TRUWO2CD2G5692
UniCredit SpA
904678AJ8
1042000.00000000
PA
USD
1118704.52000000
0.121883784734
Long
DBT
CORP
IT
Y
2
2022-01-14
Fixed
6.57000000
N
N
N
N
N
N
Visa Inc
549300JZ4OKEHW3DPJ59
Visa Inc
92826CAF9
590000.00000000
PA
USD
725564.93000000
0.079050900535
Long
DBT
CORP
US
N
2
2045-12-14
Fixed
4.30000000
N
N
N
N
N
N
Fannie Mae - CAS
N/A
Fannie Mae Connecticut Avenue Securities
30711XAK0
1545304.34000000
PA
USD
1625491.57000000
0.177098653901
Long
ABS-MBS
USGSE
US
N
2
2024-07-25
Floating
4.79000000
N
N
N
N
N
N
Sunoco Logistics Partners Operations LP
5493006LL0CKP8WQW329
Sunoco Logistics Partners Operations LP
86765BAL3
420000.00000000
PA
USD
426928.25000000
0.046514186712
Long
DBT
CORP
US
N
2
2023-01-15
Fixed
3.45000000
N
N
N
N
N
N
Freddie Mac
N/A
Freddie Mac Gold Pool
3128M6P77
76246.17000000
PA
USD
87522.86000000
0.009535688143
Long
ABS-MBS
USGSE
US
N
2
2038-08-01
Fixed
6.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140JAVG0
2042209.63000000
PA
USD
2149715.73000000
0.234213310655
Long
ABS-MBS
USGSE
US
N
2
2047-02-01
Fixed
3.50000000
N
N
N
N
N
N
General Electric Co
3C7474T6CDKPR9K6YT90
General Electric Co
36962G4J0
10000.00000000
PA
USD
10003.61000000
0.001089901601
Long
DBT
CORP
US
N
2
2020-01-08
Fixed
5.50000000
N
N
N
N
N
N
Edison International
549300I7ROF15MAEVP56
Edison International
281020AM9
718000.00000000
PA
USD
735868.73000000
0.080173508085
Long
DBT
CORP
US
N
2
2028-03-15
Fixed
4.13000000
N
N
N
N
N
N
Lukoil International Finance BV
724500LG1GUKJ5TOIW61
Lukoil International Finance BV
549876AH3
682000.00000000
PA
USD
722920.00000000
0.078762733219
Long
DBT
CORP
NL
Y
2
2023-04-24
Fixed
4.56000000
N
N
N
N
N
N
Citigroup Global Markets Inc.
MBNUM2BPBDO7JBLYG310
Long: 0WP293178 IRS BRL R F 8.41000 2 NDFPREDISWAP / Short: 0WP293178 IRS BRL P V 00MBRCDI 1 NDFPREDISWAP
000000000
1189000.00000000
OU
Notional Amount
9403.86000000
0.001024558341
N/A
DIR
US
N
2
Citigroup Global Markets Inc.
MBNUM2BPBDO7JBLYG310
Brazil Cetip DI Interbank Deposit Rate
BZDIOVRA Index
Y
2020-01-02
8.99
BRL
0
BRL
1189000
BRL
9453.7
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36179TAL9
699632.63000000
PA
USD
731786.65000000
0.079728762086
Long
ABS-MBS
USGA
US
N
2
2047-06-20
Fixed
4.00000000
N
N
N
N
N
N
United States Treasury
254900HROIFWPRGM1V77
United States Treasury Bill
912796TH2
10752200.00000000
PA
USD
10723928.38000000
1.168380885930
Long
STIV
UST
US
N
2
2020-03-05
None
0.00000000
N
N
N
N
N
N
Citibank, National Association
E57ODZWZ7FF32TWEFA76
PURCHASED IDR / SOLD USD
000000000
1.00000000
NC
45756.89000000
0.004985251092
N/A
DFE
ID
N
2
Citibank, National Association
E57ODZWZ7FF32TWEFA76
1737219.80000000
USD
24767716470.00000000
IDR
2020-02-26
45756.89
N
N
N
J.P. Morgan Securities LLC
ZBUT11V806EZRVTWT807
Long: 6341 IRS HUF R V 06MBUBOR 6341_FLO VANILLA / Short: 6341 IRS HUF P F .93000 6341_FIX VANILLA
000000000
640150000.00000000
OU
Notional Amount
45862.86000000
0.004996796612
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
HUF
0
HUF
640150000
HUF
45862.86
N
N
N
Enel Finance International NV
0YQH6LCEF474UTUV4B96
Enel Finance International NV
29278GAF5
706000.00000000
PA
USD
721832.33000000
0.078644230671
Long
DBT
CORP
NL
Y
2
2028-04-06
Fixed
3.50000000
N
N
N
N
N
N
Malaysia Government Bond
254900GSIL471JOBYY43
Malaysia Government Bond
000000000
3222000.00000000
PA
792320.21000000
0.086323943623
Long
DBT
NUSS
MY
N
2
2020-10-15
Fixed
3.66000000
N
N
N
N
N
N
Bancolombia SA
54930052NWJRPNMP1W58
Bancolombia SA
05968LAG7
684000.00000000
PA
USD
718200.00000000
0.078248485306
Long
DBT
CORP
CO
N
2
2021-06-03
Fixed
5.95000000
N
N
N
N
N
N
Fannie Mae
N/A
Fannie Mae REMICS
3136ATQK3
305147.06000000
PA
USD
48447.77000000
0.005278424699
Long
ABS-MBS
USGSE
US
N
2
2046-09-25
Floating
4.31000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36179U4C3
2193503.18000000
PA
USD
2267724.24000000
0.247070435636
Long
ABS-MBS
USGA
US
N
2
2049-10-20
Fixed
3.50000000
N
N
N
N
N
N
Santander Holdings USA Inc
549300SMVCQN2P0O6I58
Santander Holdings USA Inc
80282KAY2
350000.00000000
PA
USD
353470.52000000
0.038510906141
Long
DBT
CORP
US
Y
2
2026-10-05
Fixed
3.24000000
N
N
N
N
N
N
Norwegian Government
549300O6E2WAK3IAXE34
Norway Government Bond
000000000
4687000.00000000
PA
553998.46000000
0.060358591419
Long
DBT
NUSS
NO
Y
2
2028-04-26
Fixed
2.00000000
N
N
N
N
N
N
Boeing Co/The
RVHJWBXLJ1RFUBSY1F30
Boeing Co/The
097023AZ8
100000.00000000
PA
USD
100298.69000000
0.010927625411
Long
DBT
CORP
US
N
2
2020-02-15
Fixed
4.88000000
N
N
N
N
N
N
Ford Motor Credit Co LLC
UDSQCVRUX5BONN0VY111
Ford Motor Credit Co LLC
345397ZH9
200000.00000000
PA
USD
203650.54000000
0.022187895136
Long
DBT
CORP
US
N
2
2021-10-12
Fixed
3.81000000
N
N
N
N
N
N
ONEOK Partners LP
T4DHW82NMF6BXJT50795
ONEOK Partners LP
68268NAG8
614000.00000000
PA
USD
737639.65000000
0.080366451287
Long
DBT
CORP
US
N
2
2041-02-01
Fixed
6.13000000
N
N
N
N
N
N
Bank of America Corp
9DJT3UXIJIZJI4WXO774
Bank of America Corp
06051GFW4
718000.00000000
PA
USD
724712.48000000
0.078958025401
Long
DBT
CORP
US
N
2
2021-04-19
Fixed
2.63000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140HTNT2
20000.00000000
PA
USD
21304.52000000
0.002321145113
Long
ABS-MBS
USGSE
US
N
2
2029-05-01
Fixed
3.35000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36178DH20
78538.94000000
PA
USD
80975.51000000
0.008822348934
Long
ABS-MBS
USGA
US
N
2
2042-09-15
Fixed
3.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140FXEP3
256822.25000000
PA
USD
280265.92000000
0.030535204292
Long
ABS-MBS
USGSE
US
N
2
2056-09-01
Fixed
5.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140FXEW8
275684.53000000
PA
USD
298963.54000000
0.032572325490
Long
ABS-MBS
USGSE
US
N
2
2056-04-01
Fixed
4.50000000
N
N
N
N
N
N
Blue Racer Midstream LLC / Blue Racer Finance Corp
N/A
Blue Racer Midstream LLC / Blue Racer Finance Corp
095796AA6
30000.00000000
PA
USD
29400.00000000
0.003203154369
Long
DBT
CORP
US
Y
2
2022-11-15
Fixed
6.13000000
N
N
N
N
N
N
Wells Fargo & Co
PBLD0EJDB5FWOLXP3B76
Wells Fargo & Co
95000U2D4
545000.00000000
PA
USD
606325.97000000
0.066059717007
Long
DBT
CORP
US
N
2
2029-01-24
Fixed
4.15000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae
21H022614
3500000.00000000
PA
USD
3514902.34000000
0.382951523401
Long
ABS-MBS
USGA
US
N
2
2050-01-21
Fixed
2.50000000
N
N
N
N
N
N
Anheuser-Busch InBev Worldwide Inc
549300CRGMZK3K53BF92
Anheuser-Busch InBev Worldwide Inc
03523TBV9
160000.00000000
PA
USD
207265.16000000
0.022581710981
Long
DBT
CORP
US
N
2
2049-01-23
Fixed
5.55000000
N
N
N
N
N
N
Dominion Energy Inc
ILUL7B6Z54MRYCF6H308
Dominion Energy Inc
25746UDA4
726000.00000000
PA
USD
731332.20000000
0.079679249382
Long
DBT
CORP
US
N
2
2021-08-15
Variable
2.72000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36179UKZ4
316175.67000000
PA
USD
333988.59000000
0.036388333719
Long
ABS-MBS
USGA
US
N
2
2049-01-20
Fixed
5.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140J9NP2
261047.78000000
PA
USD
274974.74000000
0.029958725846
Long
ABS-MBS
USGSE
US
N
2
2046-12-01
Variable
3.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140QBR83
690321.05000000
PA
USD
705717.60000000
0.076888517480
Long
ABS-MBS
USGSE
US
N
2
2049-09-01
Fixed
3.00000000
N
N
N
N
N
N
Blackstone CQP Holdco LP
N/A
Blackstone CQP Holdco LP Term Loan B
09259HAB7
39800.00000000
PA
USD
39955.62000000
0.004353197917
Long
LON
CORP
US
N
2
2024-09-30
Floating
5.41000000
N
N
N
N
N
N
L3Harris Technologies Inc
549300UTE50ZMDBG8A20
L3Harris Technologies Inc
413875AT2
40000.00000000
PA
USD
49209.73000000
0.005361440872
Long
DBT
CORP
US
N
2
2045-04-27
Fixed
5.05000000
N
N
N
N
N
N
Freddie Mac
N/A
Freddie Mac Pool
3132CWC77
192575.50000000
PA
USD
198251.39000000
0.021599653268
Long
ABS-MBS
USGSE
US
N
2
2033-06-01
Fixed
3.00000000
N
N
N
N
N
N
JPMorgan Chase & Co
8I5DZWZKVSZI1NUHU748
JPMorgan Chase & Co
46625HLL2
100000.00000000
PA
USD
127056.43000000
0.013842903363
Long
DBT
CORP
US
N
2
2045-06-01
Fixed
4.95000000
N
N
N
N
N
N
Long Beach Mortgage Loan Trust
N/A
Long Beach Mortgage Loan Trust 2004-1
542514EU4
951047.92000000
PA
USD
942222.57000000
0.102655929997
Long
ABS-O
CORP
US
N
2
2034-02-25
Floating
2.54000000
N
N
N
N
N
N
Stars Group Holdings B.V. (The)
549300RNFXC8F8RT6R13
Stars Group Holdings B.V. (The) 2018 USD Incremental Term Loan
000000000
8907.21000000
PA
USD
8977.40000000
0.000978095171
Long
LON
CORP
NL
N
2
2025-07-10
Floating
5.44000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
3617HPBW3
33001.35000000
PA
USD
34224.40000000
0.003728776748
Long
ABS-MBS
USGA
US
N
2
2048-09-20
Fixed
4.50000000
N
N
N
N
N
N
UnitedHealth Group Inc
549300GHBMY8T5GXDE41
UnitedHealth Group Inc
91324PBN1
60000.00000000
PA
USD
79037.32000000
0.008611181527
Long
DBT
CORP
US
N
2
2040-10-15
Fixed
5.70000000
N
N
N
N
N
N
UFC Holdings, LLC
549300JEOTH7UMZ3C491
UFC Holdings, LLC 2019 Term Loan
90266UAF0
218870.34000000
PA
USD
220146.35000000
0.023985127309
Long
LON
CORP
US
N
2
2026-04-29
Floating
5.05000000
N
N
N
N
N
N
Cimarex Energy Co
11KYOFXPU1C4CQL1CL44
Cimarex Energy Co
171798AE1
80000.00000000
PA
USD
84605.22000000
0.009217808847
Long
DBT
CORP
US
N
2
2029-03-15
Fixed
4.38000000
N
N
N
N
N
N
Boeing Co/The
RVHJWBXLJ1RFUBSY1F30
Boeing Co/The
097023BU8
30000.00000000
PA
USD
30451.66000000
0.003317733597
Long
DBT
CORP
US
N
2
2027-03-01
Fixed
2.80000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138EGEX8
456656.25000000
PA
USD
489845.23000000
0.053369043835
Long
ABS-MBS
USGSE
US
N
2
2041-02-01
Fixed
4.00000000
N
N
N
N
N
N
BNP Paribas
R0MUWSFPU8MPRO8K5P83
BNP Paribas SA
09659W2H6
570000.00000000
PA
USD
669471.79000000
0.072939506437
Long
DBT
CORP
FR
Y
2
2030-01-10
Variable
5.20000000
N
N
N
N
N
N
Targa Resources Partners LP / Targa Resources Partners Finance Corp
N/A
Targa Resources Partners LP / Targa Resources Partners Finance Corp
87612BBP6
30000.00000000
PA
USD
30825.00000000
0.003358409300
Long
DBT
CORP
US
Y
2
2030-03-01
Fixed
5.50000000
N
N
N
N
N
N
HSBC Bank USA, National Association
1IE8VN30JCEQV1H4R804
PURCHASED GBP / SOLD USD
000000000
1.00000000
NC
132278.54000000
0.014411856577
N/A
DFE
GB
N
2
HSBC Bank USA, National Association
1IE8VN30JCEQV1H4R804
19892740.75000000
USD
15109520.00000000
GBP
2020-01-22
132278.54
N
N
N
UMBS, TBA
N/A
Uniform Mortgage-Backed Security, TBA
01F030611
3800000.00000000
PA
USD
3851497.79000000
0.419623876678
Long
ABS-MBS
USGSE
US
N
2
2050-01-15
Fixed
3.00000000
N
N
N
N
N
N
Fannie Mae - CAS
N/A
Fannie Mae Connecticut Avenue Securities
30711XDA9
50000.00000000
PA
USD
53161.34000000
0.005791972057
Long
ABS-MBS
USGSE
US
N
2
2029-01-25
Floating
6.04000000
N
N
N
N
N
N
Freddie Mac
N/A
Freddie Mac Gold Pool
3132XCRW7
288885.35000000
PA
USD
297382.74000000
0.032400096019
Long
ABS-MBS
USGSE
US
N
2
2046-10-01
Fixed
3.00000000
N
N
N
N
N
N
Lennar Corp
529900G61XVRLX5TJX09
Lennar Corp
526057CD4
100000.00000000
PA
USD
107750.00000000
0.011739451812
Long
DBT
CORP
US
N
2
2027-11-29
Fixed
4.75000000
N
N
N
N
N
N
Freddie Mac
N/A
Freddie Mac Pool
3132ADXZ6
342601.68000000
PA
USD
365982.56000000
0.039874103270
Long
ABS-MBS
USGSE
US
N
2
2049-01-01
Fixed
5.00000000
N
N
N
N
N
N
Chicago Board of Trade
549300EX04Q2QBFQTQ27
US LONG BOND(CBT) MAR20 XCBT 20200320
000000000
-122.00000000
NC
USD
470457.36000000
0.051256719328
N/A
DIR
US
N
1
Chicago Board of Trade
549300EX04Q2QBFQTQ27
Short
US Treasury Long Bond
USH0 Comdty
2020-03-20
-19491019.86
USD
470457.36
N
N
N
JP Morgan Mortgage Trust
5493002WZI1ZSAEIE710
JP Morgan Mortgage Trust 2017-3
46647SAJ9
618639.41000000
PA
USD
625188.33000000
0.068114786764
Long
ABS-MBS
CORP
US
Y
2
2047-08-25
Variable
3.50000000
N
N
N
N
N
N
Sierra Pacific Power Co
QB888G5GSVGE1LD1WV84
Sierra Pacific Power Co
826418BM6
718000.00000000
PA
USD
721323.23000000
0.078588763804
Long
DBT
CORP
US
N
2
2026-05-01
Fixed
2.60000000
N
N
N
N
N
N
Occidental Petroleum Corp
IM7X0T3ECJW4C1T7ON55
Occidental Petroleum Corp
674599CU7
60000.00000000
PA
USD
60433.20000000
0.006584247232
Long
DBT
CORP
US
N
2
2021-08-13
Fixed
2.60000000
N
N
N
N
N
N
Residential Asset Mortgage Products, INC.
N/A
RAMP Series 2006-RZ1 Trust
76112BZ52
960000.00000000
PA
USD
932497.25000000
0.101596348322
Long
ABS-O
CORP
US
N
2
2036-03-25
Floating
2.36000000
N
N
N
N
N
N
Anthem Inc
8MYN82XMYQH89CTMTH67
Anthem Inc
94973VAX5
30000.00000000
PA
USD
30740.11000000
0.003349160464
Long
DBT
CORP
US
N
2
2022-05-15
Fixed
3.13000000
N
N
N
N
N
N
One Market Plaza Trust
N/A
One Market Plaza Trust 2017-1MKT
68245HAJ3
595000.00000000
PA
USD
595856.32000000
0.064919039961
Long
ABS-MBS
CORP
US
Y
2
2032-02-10
Fixed
4.14000000
N
N
N
N
N
N
JP Morgan Chase Commercial Mortgage Securities Trust
N/A
J.P. Morgan Chase Commercial Mortgage Securities Trust 2016-NINE
46646GAA5
394000.00000000
PA
USD
399726.83000000
0.043550569457
Long
ABS-MBS
CORP
US
Y
2
2038-09-06
Variable
2.85000000
N
N
N
N
N
N
Petroleos Mexicanos
549300CAZKPF4HKMPX17
Petroleos Mexicanos
71654QCD2
100000.00000000
PA
USD
104350.00000000
0.011369018994
Long
DBT
CORP
MX
N
2
2023-09-21
Fixed
4.63000000
N
N
N
N
N
N
Republic of Colombia
549300MHDRBVRF6B9117
Colombia Government International Bond
195325BR5
270000.00000000
PA
USD
335475.00000000
0.036550279321
Long
DBT
NUSS
CO
N
2
2044-02-26
Fixed
5.63000000
N
N
N
N
N
N
Russian Federation
5493004EHVGF71PDBU58
Russian Federal Bond - OFZ
000000000
56020000.00000000
PA
951350.54000000
0.103650429895
Long
DBT
NUSS
RU
N
2
2029-05-23
Fixed
6.90000000
N
N
N
N
N
N
JPMorgan Chase & Co
8I5DZWZKVSZI1NUHU748
JPMorgan Chase & Co
46625HJZ4
230000.00000000
PA
USD
251700.76000000
0.027423006433
Long
DBT
CORP
US
N
2
2026-12-15
Fixed
4.13000000
N
N
N
N
N
N
Goldman Sachs & Co. LLC
FOR8UP27PHTHYVLBNG30
9WP028104 SWAPTION PAYER FEB20 1.77 PUT
000000000
-980000.00000000
OU
Notional Amount
USD
-2227.93000000
-0.00024273482
N/A
DIR
US
N
2
Goldman Sachs & Co. LLC
FOR8UP27PHTHYVLBNG30
Put
Written
Goldman Sachs & Co. LLC
FOR8UP27PHTHYVLBNG30
Goldman Sachs & Co. LLC
FOR8UP27PHTHYVLBNG30
IRS Swap
N/A
980000.00000000
OU
Notional Amount
N/A
-2227.93000000
0.00000000
DIR
US
ICE Libor USD 3 Months
US0003M Index
2025-02-06
0.00000000
N/A
0.00000000
N/A
980000.00000000
USD
1.00000000
1.77
USD
2020-02-04
XXXX
99.57
N
N
N
United States Treasury
254900HROIFWPRGM1V77
United States Treasury Inflation Indexed Bonds
912828SA9
636680.80000000
PA
USD
636321.71000000
0.069327777743
Long
DBT
UST
US
N
2
2022-01-15
Fixed
0.13000000
N
N
N
N
N
N
Wells Fargo & Co
PBLD0EJDB5FWOLXP3B76
Wells Fargo & Co
94974BFP0
200000.00000000
PA
USD
256137.13000000
0.027906352622
Long
DBT
CORP
US
N
2
2043-11-02
Fixed
5.38000000
N
N
N
N
N
N
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
Long: BWS032045 IRS USD R V 03MLIBOR 1 CCPVANILLA / Short: BWS032045 IRS USD P F 1.81000 2 CCPVANILLA
000000000
3184000.00000000
OU
Notional Amount
USD
178558.34000000
0.019454079147
N/A
DIR
US
N
2
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
ICE Libor USD 3 Months
US0003M Index
Y
2044-11-15
0
USD
-30059.05
USD
3184000
USD
208617.39
N
N
N
DISH DBS Corp
N/A
DISH DBS Corp
25470XAY1
30000.00000000
PA
USD
31781.70000000
0.003462642558
Long
DBT
CORP
US
N
2
2026-07-01
Fixed
7.75000000
N
N
N
N
N
N
Lowe's Companies, Inc
WAFCR4OKGSC504WU3E95
Lowe's Cos Inc
548661CV7
240000.00000000
PA
USD
247152.36000000
0.026927454483
Long
DBT
CORP
US
N
2
2021-11-15
Fixed
3.80000000
N
N
N
N
N
N
Navient Student Loan Trust
N/A
Navient Student Loan Trust 2015-1
63939FAB6
174894.97000000
PA
USD
171388.36000000
0.018672903883
Long
ABS-O
CORP
US
N
2
2040-04-25
Floating
2.39000000
N
N
N
N
N
N
Fanniemae-Aces
N/A
Fannie Mae-Aces
3136B2HC9
200000.00000000
PA
USD
209628.50000000
0.022839198833
Long
ABS-MBS
USGSE
US
N
2
2028-04-25
Variable
3.12000000
N
N
N
N
N
N
Berkshire Hathaway Energy Co
549300JD0S5IZJE9LY15
Berkshire Hathaway Energy Co
084659AP6
491000.00000000
PA
USD
526725.53000000
0.057387183089
Long
DBT
CORP
US
N
2
2048-07-15
Fixed
3.80000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140X4U53
197836.66000000
PA
USD
201547.33000000
0.021958748663
Long
ABS-MBS
USGSE
US
N
2
2049-09-01
Fixed
3.00000000
N
N
N
N
N
N
HCA Inc
L3CJ6J7LJ2DX62FTXD46
HCA Inc
404121AJ4
100000.00000000
PA
USD
113960.00000000
0.012416036460
Long
DBT
CORP
US
N
2
2028-09-01
Fixed
5.63000000
N
N
N
N
N
N
United States Treasury
254900HROIFWPRGM1V77
United States Treasury Note/Bond
912810RH3
920000.00000000
PA
USD
1045258.90000000
0.113881823556
Long
DBT
UST
US
N
2
2044-08-15
Fixed
3.13000000
N
N
N
N
N
N
UBS AG
BFM8T61CT2L1QCEMIK50
PURCHASED USD / SOLD KRW
000000000
1.00000000
NC
-47665.35000000
-0.00519317939
N/A
DFE
US
N
2
UBS AG
BFM8T61CT2L1QCEMIK50
7192712040.00000000
KRW
6181536.33000000
USD
2020-02-26
-47665.35
N
N
N
Exelon Corp
3SOUA6IRML7435B56G12
Exelon Corp
30161NAN1
489000.00000000
PA
USD
525433.70000000
0.057246437140
Long
DBT
CORP
US
N
2
2025-06-15
Fixed
3.95000000
N
N
N
N
N
N
Banco Santander SA
5493006QMFDDMYWIAM13
Banco Santander SA
05964HAJ4
200000.00000000
PA
USD
218696.01000000
0.023827111563
Long
DBT
CORP
ES
N
2
2028-04-12
Fixed
4.38000000
N
N
N
N
N
N
Popular ABS Mortgage Pass-Through Trust
5493000XG3O6HY7E1142
Popular ABS Mortgage Pass-Through Trust 2006-C
73316MAD9
388629.40000000
PA
USD
387443.69000000
0.042212311172
Long
ABS-O
CORP
US
N
2
2036-07-25
Floating
2.04000000
N
N
N
N
N
N
Freddie Mac
N/A
Freddie Mac Gold Pool
3128MEA35
2.85000000
PA
USD
2.94000000
0.000000320315
Long
ABS-MBS
USGSE
US
N
2
2020-08-01
Fixed
4.50000000
N
N
N
N
N
N
Societe Generale SA
O2RNE8IBXP4R0TD8PU41
Societe Generale SA
83367TBG3
700000.00000000
PA
USD
754398.04000000
0.082192291769
Long
DBT
CORP
FR
Y
2
2024-01-17
Fixed
5.00000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36178NF95
116755.67000000
PA
USD
120377.60000000
0.013115239299
Long
ABS-MBS
USGA
US
N
2
2042-09-15
Fixed
3.00000000
N
N
N
N
N
N
BP Capital Markets America Inc
5493009NTB34VXE1T760
BP Capital Markets America Inc
10373QAL4
513000.00000000
PA
USD
524514.05000000
0.057146240510
Long
DBT
CORP
US
N
2
2023-05-10
Fixed
2.75000000
N
N
N
N
N
N
Apache Corp
72ZZ1XRHOOU9P9X16K08
Apache Corp
037411BC8
120000.00000000
PA
USD
110391.92000000
0.012027291186
Long
DBT
CORP
US
N
2
2044-01-15
Fixed
4.25000000
N
N
N
N
N
N
Barclays Bank PLC
G5GSEF7VJP5I7OUK5573
PURCHASED USD / SOLD EUR
000000000
1.00000000
NC
-20941.94000000
-0.00228164172
N/A
DFE
US
N
2
Barclays Bank PLC
G5GSEF7VJP5I7OUK5573
1400000.00000000
EUR
1550805.20000000
USD
2020-01-17
-20941.94
N
N
N
Malaysia Government Bond
254900GSIL471JOBYY43
Malaysia Government Bond
000000000
150000.00000000
PA
37304.82000000
0.004064391060
Long
DBT
NUSS
MY
N
2
2021-07-15
Fixed
4.16000000
N
N
N
N
N
N
Russell Investments Trust Company Commingled Employee Benefit Funds Trust-U.S. Cash Management Fund
845SLB3N6EI7ZN7PZ398
U.S. Cash Management Fund
000000000
16798810.73000000
NS
USD
16803850.38000000
1.830793427401
Long
STIV
PF
US
N
N/A
N
N
N
Morgan Stanley Capital I Trust
N/A
Morgan Stanley Capital I Trust 2018-BOP
61768FAN0
1732000.00000000
PA
USD
1732001.56000000
0.188703005596
Long
ABS-MBS
CORP
US
Y
2
2035-06-15
Floating
3.69000000
N
N
N
N
N
N
Oasis Petroleum Inc
529900FA4V2YNIKZ0M71
Oasis Petroleum Inc
674215AG3
80000.00000000
PA
USD
77000.00000000
0.008389213824
Long
DBT
CORP
US
N
2
2022-03-15
Fixed
6.88000000
N
N
N
N
N
N
United States Treasury
254900HROIFWPRGM1V77
United States Treasury Inflation Indexed Bonds
912810SG4
2178180.60000000
PA
USD
2419616.43000000
0.263619215638
Long
DBT
UST
US
N
2
2049-02-15
Fixed
1.00000000
N
N
N
N
N
N
Goldman Sachs Group Inc/The
784F5XWPLTWKTBV3E584
Goldman Sachs Group Inc/The
38141GWQ3
350000.00000000
PA
USD
362027.95000000
0.039443245232
Long
DBT
CORP
US
N
2
2025-09-29
Variable
3.27000000
N
N
N
N
N
N
JP Morgan Mortgage Trust
5493002WZI1ZSAEIE710
JP Morgan Mortgage Trust 2017-2
46648HAF0
2069530.35000000
PA
USD
2082435.94000000
0.226883121768
Long
ABS-MBS
CORP
US
Y
2
2047-05-25
Variable
3.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31410WDG0
2253.95000000
PA
USD
2361.91000000
0.000257332052
Long
ABS-MBS
USGSE
US
N
2
2037-03-01
Fixed
5.50000000
N
N
N
N
N
N
Apache Corp
72ZZ1XRHOOU9P9X16K08
Apache Corp
037411AZ8
16000.00000000
PA
USD
16297.19000000
0.001775592359
Long
DBT
CORP
US
N
2
2022-04-15
Fixed
3.25000000
N
N
N
N
N
N
Royal Bank of Canada
ES7IP3U3RHIGC71XBU11
PURCHASED USD / SOLD GBP
000000000
1.00000000
NC
-9197.89000000
-0.00100211773
N/A
DFE
US
N
2
Royal Bank of Canada
ES7IP3U3RHIGC71XBU11
1850000.00000000
GBP
2446366.00000000
USD
2020-03-18
-9197.89
N
N
N
United States Treasury
254900HROIFWPRGM1V77
United States Treasury Bill
912796SR1
9037000.00000000
PA
USD
8983361.61000000
0.978744693605
Long
STIV
UST
US
N
2
2020-05-21
None
0.00000000
N
N
N
N
N
N
Johnson & Johnson
549300G0CFPGEF6X2043
Johnson & Johnson
478160CD4
725000.00000000
PA
USD
732758.34000000
0.079834628517
Long
DBT
CORP
US
N
2
2022-03-03
Fixed
2.25000000
N
N
N
N
N
N
Ford Motor Co
20S05OYHG0MQM4VUIC57
Ford Motor Co
345370BR0
230000.00000000
PA
USD
262093.72000000
0.028555328040
Long
DBT
CORP
US
N
2
2046-11-01
Fixed
7.40000000
N
N
N
N
N
N
Republic of Indonesia
529900FWX0GRR7WG5W79
Indonesia Government International Bond
000000000
430000.00000000
PA
USD
443962.05000000
0.048370033342
Long
DBT
NUSS
ID
Y
2
2022-04-25
Fixed
3.75000000
N
N
N
N
N
N
Covidien International Finance SA
549300938QUWMPITJ642
Covidien International Finance SA
22303QAN0
703000.00000000
PA
USD
721923.66000000
0.078654181150
Long
DBT
CORP
LU
N
2
2022-06-15
Fixed
3.20000000
N
N
N
N
N
N
Concho Resources Inc
SYHS7HRDXLL4I0IQ8776
Concho Resources Inc
20605PAH4
110000.00000000
PA
USD
115555.06000000
0.012589819569
Long
DBT
CORP
US
N
2
2027-10-01
Fixed
3.75000000
N
N
N
N
N
N
Home Depot Inc/The
QEKMOTMBBKA8I816DO57
Home Depot Inc/The
437076BG6
243000.00000000
PA
USD
247823.45000000
0.027000570295
Long
DBT
CORP
US
N
2
2022-06-01
Fixed
2.63000000
N
N
N
N
N
N
Citibank, National Association
E57ODZWZ7FF32TWEFA76
PURCHASED USD / SOLD RUB
000000000
1.00000000
NC
-9196.81000000
-0.00100200007
N/A
DFE
US
N
2
Citibank, National Association
E57ODZWZ7FF32TWEFA76
16898532.00000000
RUB
262807.65000000
USD
2020-01-17
-9196.81
N
N
N
Freddie Mac
N/A
Freddie Mac Gold Pool
3132WKFA1
161185.01000000
PA
USD
165426.32000000
0.018023334683
Long
ABS-MBS
USGSE
US
N
2
2047-01-01
Fixed
3.00000000
N
N
N
N
N
N
Avnet Inc
XJI53DCPL7QABOWK4Z75
Avnet Inc
053807AR4
410000.00000000
PA
USD
434075.66000000
0.047292902956
Long
DBT
CORP
US
N
2
2022-12-01
Fixed
4.88000000
N
N
N
N
N
N
Cedar Funding Ltd
635400NWFWJ92O7QGD64
Cedar Funding V CLO Ltd
15032AAN7
1600000.00000000
PA
USD
1597785.60000000
0.174080065504
Long
ABS-CBDO
CORP
KY
Y
2
2031-07-17
Floating
3.10000000
N
N
N
N
N
N
Freddie Mac
N/A
Freddie Mac Pool
3132AEEZ5
313829.50000000
PA
USD
325973.05000000
0.035515033992
Long
ABS-MBS
USGSE
US
N
2
2049-05-01
Fixed
4.00000000
N
N
N
N
N
N
Occidental Petroleum Corp
IM7X0T3ECJW4C1T7ON55
Occidental Petroleum Corp
674599DL6
90000.00000000
PA
USD
115698.67000000
0.012605465997
Long
DBT
CORP
US
N
2
2046-03-15
Fixed
6.60000000
N
N
N
N
N
N
HSBC USA Inc
549300LBOHZ4QSIWU288
HSBC USA Inc
760719BH6
457000.00000000
PA
USD
693841.26000000
0.075594580393
Long
DBT
CORP
US
N
2
2097-07-15
Fixed
7.20000000
N
N
N
N
N
N
Amgen Inc
62QBXGPJ34PQ72Z12S66
Amgen Inc
031162BW9
20000.00000000
PA
USD
20007.47000000
0.002179830440
Long
DBT
CORP
US
N
2
2020-05-01
Fixed
2.13000000
N
N
N
N
N
N
HMH Trust
N/A
HMH Trust 2017-NSS
40390AAJ0
1170000.00000000
PA
USD
1220652.34000000
0.132991084226
Long
ABS-MBS
CORP
US
Y
2
2031-07-05
Fixed
6.29000000
N
N
N
N
N
N
ABBVIE INC
FR5LCKFTG8054YNNRU85
AbbVie Inc
00287YBU2
100000.00000000
PA
USD
101495.41000000
0.011058009047
Long
DBT
CORP
US
Y
2
2026-11-21
Fixed
2.95000000
N
N
N
N
N
N
Royal Bank of Canada
ES7IP3U3RHIGC71XBU11
Royal Bank of Canada
78013XKG2
70000.00000000
PA
USD
71235.25000000
0.007761139533
Long
DBT
CORP
CA
N
2
2021-04-30
Fixed
3.20000000
N
N
N
N
N
N
Bank of America Corp
9DJT3UXIJIZJI4WXO774
Bank of America Corp
06051GFL8
320000.00000000
PA
USD
348723.71000000
0.037993737257
Long
DBT
CORP
US
N
2
2026-10-22
Fixed
4.25000000
N
N
N
N
N
N
General Motors Financial Co Inc
5493008B6JBRUJ90QL97
General Motors Financial Co Inc
37045XAL0
10000.00000000
PA
USD
10530.40000000
0.001147295808
Long
DBT
CORP
US
N
2
2023-05-15
Fixed
4.25000000
N
N
N
N
N
N
HCA Inc
L3CJ6J7LJ2DX62FTXD46
HCA Inc
404119BN8
50000.00000000
PA
USD
54615.07000000
0.005950357146
Long
DBT
CORP
US
N
2
2024-03-15
Fixed
5.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140J5W39
237709.31000000
PA
USD
244363.81000000
0.026623639649
Long
ABS-MBS
USGSE
US
N
2
2047-04-01
Fixed
3.00000000
N
N
N
N
N
N
EMD Finance LLC
529900C8KS5G529A0B76
EMD Finance LLC
26867LAL4
272000.00000000
PA
USD
279890.92000000
0.030494347732
Long
DBT
CORP
US
Y
2
2025-03-19
Fixed
3.25000000
N
N
N
N
N
N
Caterpillar Financial Services Corp
EDBQKYOPJUCJKLOJDE72
Caterpillar Financial Services Corp
14913Q2W8
276000.00000000
PA
USD
279114.24000000
0.030409727802
Long
DBT
CORP
US
N
2
2021-05-17
Fixed
2.65000000
N
N
N
N
N
N
Comcast Corp
51M0QTTNCGUN7KFCFZ59
Comcast Corp
20030NBV2
290000.00000000
PA
USD
289218.76000000
0.031510623631
Long
DBT
CORP
US
N
2
2022-01-15
Fixed
1.63000000
N
N
N
N
N
N
Fanniemae-Aces
N/A
Fannie Mae-Aces
3136B57A7
538961.03000000
PA
USD
540467.05000000
0.058884333083
Long
ABS-MBS
USGSE
US
N
2
2029-09-25
Fixed
2.56000000
N
N
N
N
N
N
Freddie Mac
N/A
Freddie Mac Gold Pool
31335B4L7
402099.59000000
PA
USD
420001.45000000
0.045759506111
Long
ABS-MBS
USGSE
US
N
2
2048-11-01
Fixed
4.00000000
N
N
N
N
N
N
Walmart Inc
Y87794H0US1R65VBXU25
Walmart Inc
931142EE9
230000.00000000
PA
USD
253426.09000000
0.027610982567
Long
DBT
CORP
US
N
2
2028-06-26
Fixed
3.70000000
N
N
N
N
N
N
AT&T Inc
549300Z40J86GGSTL398
AT&T Inc
00206RHW5
80000.00000000
PA
USD
85190.67000000
0.009281594109
Long
DBT
CORP
US
N
2
2027-02-15
Fixed
3.80000000
N
N
N
N
N
N
LCM Ltd Partnership
549300FY8UGGJMQNCO13
LCM XXV Ltd
50189PAC6
1124000.00000000
PA
USD
1120092.98000000
0.122035058602
Long
ABS-CBDO
CORP
KY
Y
2
2030-07-20
Floating
3.18000000
N
N
N
N
N
N
Ace Securities Corp.
N/A
ACE Securities Corp Home Equity Loan Trust Series 2005-HE3
004421ND1
173811.30000000
PA
USD
173883.22000000
0.018944720948
Long
ABS-MBS
CORP
US
N
2
2035-05-25
Floating
2.47000000
N
N
N
N
N
N
Malaysia Government Bond
254900GSIL471JOBYY43
Malaysia Government Bond
000000000
1275000.00000000
PA
317528.32000000
0.034594973659
Long
DBT
NUSS
MY
N
2
2022-09-30
Fixed
3.80000000
N
N
N
N
N
N
Altria Group Inc
XSGZFLO9YTNO9VCQV219
Altria Group Inc
02209SBB8
110000.00000000
PA
USD
115691.99000000
0.012604738206
Long
DBT
CORP
US
N
2
2024-02-14
Fixed
3.80000000
N
N
N
N
N
N
Alcoa Nederland Holding BV
5493000UL1QLQLT1VQ42
Alcoa Nederland Holding BV
013822AA9
200000.00000000
PA
USD
210418.00000000
0.022925215512
Long
DBT
CORP
NL
Y
2
2024-09-30
Fixed
6.75000000
N
N
N
N
N
N
Goldman Sachs Group Inc/The
784F5XWPLTWKTBV3E584
Goldman Sachs Group Inc/The
38141GGM0
160000.00000000
PA
USD
223472.33000000
0.024347495586
Long
DBT
CORP
US
N
2
2041-02-01
Fixed
6.25000000
N
N
N
N
N
N
Devon Energy Corp
54930042348RKR3ZPN35
Devon Energy Corp
25179MAV5
440000.00000000
PA
USD
521241.64000000
0.056789708728
Long
DBT
CORP
US
N
2
2025-12-15
Fixed
5.85000000
N
N
N
N
N
N
Enterprise Products Operating LLC
5493004LGN656HWLDA30
Enterprise Products Operating LLC
29379VBT9
310000.00000000
PA
USD
342130.61000000
0.037275413547
Long
DBT
CORP
US
N
2
2028-10-16
Fixed
4.15000000
N
N
N
N
N
N
Cigna Corp
549300VIWYMSIGT1U456
Cigna Corp
125523AF7
150000.00000000
PA
USD
157211.39000000
0.017128311251
Long
DBT
CORP
US
N
2
2023-07-15
Fixed
3.75000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140K1AQ9
696965.55000000
PA
USD
712359.27000000
0.077612132932
Long
ABS-MBS
USGSE
US
N
2
2049-10-01
Fixed
3.00000000
N
N
N
N
N
N
Republic of Indonesia
529900FWX0GRR7WG5W79
Indonesia Government International Bond
455780CD6
210000.00000000
PA
USD
219196.12000000
0.023881598962
Long
DBT
NUSS
ID
N
2
2028-01-11
Fixed
3.50000000
N
N
N
N
N
N
Eurex Deutschland
529900LN3S50JPU47S06
EURO-BTP FUTURE MAR20 XEUR 20200306
000000000
38.00000000
NC
9124.36000000
0.000994106585
N/A
DIR
DE
N
1
Eurex Deutschland
529900LN3S50JPU47S06
Long
Long-Term Euro-BTP (FBTP)
IKH0 Comdty
2020-03-06
5405345.6
EUR
9124.36
N
N
N
Greenpoint Manufactured Housing
N/A
Greenpoint Manufactured Housing
395383AW2
850000.00000000
PA
USD
825918.25000000
0.089984477930
Long
ABS-O
CORP
US
N
2
2031-08-21
Floating
3.79000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
3622A3CG3
80834.57000000
PA
USD
84913.71000000
0.009251419088
Long
ABS-MBS
USGA
US
N
2
2048-06-15
Fixed
3.50000000
N
N
N
N
N
N
AstraZeneca PLC
PY6ZZQWO2IZFZC3IOL08
AstraZeneca PLC
046353AQ1
403000.00000000
PA
USD
407485.99000000
0.044395936370
Long
DBT
CORP
GB
N
2
2022-06-12
Fixed
2.38000000
N
N
N
N
N
N
CAMB Commercial Mortgage Trust
N/A
CAMB Commercial Mortgage Trust 2019-LIFE
12482HAS3
1651000.00000000
PA
USD
1660733.97000000
0.180938342593
Long
ABS-MBS
CORP
US
Y
2
2037-12-15
Floating
4.99000000
N
N
N
N
N
N
United States Treasury
254900HROIFWPRGM1V77
United States Treasury Note/Bond
912810SJ8
6550000.00000000
PA
USD
6346335.61000000
0.691438525107
Long
DBT
UST
US
N
2
2049-08-15
Fixed
2.25000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31418CR89
552012.96000000
PA
USD
573574.34000000
0.062491399771
Long
ABS-MBS
USGSE
US
N
2
2047-12-01
Fixed
3.50000000
N
N
N
N
N
N
Option One Mortgage Loan Trust
N/A
Option One Mortgage Loan Trust 2004-3
68389FFT6
455642.74000000
PA
USD
455344.89000000
0.049610203195
Long
ABS-MBS
CORP
US
N
2
2034-11-25
Floating
2.57000000
N
N
N
N
N
N
JP Morgan Mortgage Trust
5493002WZI1ZSAEIE710
JP Morgan Mortgage Trust 2018-8
46650MAE7
1482181.59000000
PA
USD
1494787.54000000
0.162858341493
Long
ABS-MBS
CORP
US
Y
2
2049-01-25
Variable
4.00000000
N
N
N
N
N
N
Freddie Mac
N/A
Freddie Mac Gold Pool
3132Y1A81
446014.87000000
PA
USD
464706.02000000
0.050630106067
Long
ABS-MBS
USGSE
US
N
2
2048-07-01
Fixed
4.00000000
N
N
N
N
N
N
Garda World Security Corporation
N/A
Garda World Security Corporation 2019 1st Lien Term Loan B
000000000
100000.00000000
PA
USD
100563.00000000
0.010956422205
Long
LON
CORP
CA
N
2
2026-10-30
Floating
6.66000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31418DHL9
4965517.05000000
PA
USD
5034095.01000000
0.548468824037
Long
ABS-MBS
USGSE
US
N
2
2049-11-01
Fixed
3.00000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36179UCC4
183730.87000000
PA
USD
193196.29000000
0.021048895933
Long
ABS-MBS
USGA
US
N
2
2048-09-20
Fixed
4.50000000
N
N
N
N
N
N
American Express Credit Corp
9ET6B8VCXWW51H8Z3M54
American Express Credit Corp
0258M0EB1
723000.00000000
PA
USD
726328.80000000
0.079134124804
Long
DBT
CORP
US
N
2
2021-05-05
Fixed
2.25000000
N
N
N
N
N
N
Chicago Board of Trade
549300EX04Q2QBFQTQ27
US 2YR NOTE (CBT) MAR20 XCBT 20200331
000000000
565.00000000
NC
USD
-75755.42000000
-0.00825361580
N/A
DIR
US
N
1
Chicago Board of Trade
549300EX04Q2QBFQTQ27
Long
2 Year US Treasury Note
TUH0 Comdty
2020-03-31
121833255.42
USD
-75755.42
N
N
N
AEP Texas Central Transition Funding
N/A
AEP Texas Restoration Funding LLC
00115BAB3
989000.00000000
PA
USD
973876.51000000
0.106104652998
Long
ABS-O
CORP
US
N
2
2031-08-01
Fixed
2.29000000
N
N
N
N
N
N
DAE Funding LLC
635400SZTPQL3Y1P2C76
DAE Funding LLC
23371DAE4
20000.00000000
PA
USD
20975.00000000
0.002285243635
Long
DBT
CORP
US
Y
2
2023-11-15
Fixed
5.75000000
N
N
N
N
N
N
BMW US Capital LLC
KK5MZM9DIXLXZL9DZL15
BMW US Capital LLC
05565EAF2
724000.00000000
PA
USD
724862.51000000
0.078974371293
Long
DBT
CORP
US
Y
2
2021-04-11
Fixed
2.00000000
N
N
N
N
N
N
Dow Chemical Co/The
ZQUIP1CSZO8LXRBSOU78
Dow Chemical Co/The
260543CJ0
694000.00000000
PA
USD
728247.30000000
0.079343146970
Long
DBT
CORP
US
N
2
2024-10-01
Fixed
3.50000000
N
N
N
N
N
N
United States Treasury
254900HROIFWPRGM1V77
United States Treasury Note/Bond
912810SA7
4435000.00000000
PA
USD
4979891.33000000
0.542563288172
Long
DBT
UST
US
N
2
2048-02-15
Fixed
3.00000000
N
N
N
N
N
N
Continental Resources Inc/OK
XXRTID9RYWOZ0UPIVR53
Continental Resources Inc/OK
212015AQ4
10000.00000000
PA
USD
10589.02000000
0.001153682506
Long
DBT
CORP
US
N
2
2044-06-01
Fixed
4.90000000
N
N
N
N
N
N
BCAP LLC Trust
N/A
BCAP LLC 2014-RR3 Trust
05544EAF8
909181.39000000
PA
USD
868079.03000000
0.094577929858
Long
ABS-O
CORP
US
Y
2
2036-07-26
Variable
1.91000000
N
N
N
N
N
N
Eurex Deutschland
529900LN3S50JPU47S06
EURO-BUND FUTURE MAR20 XEUR 20200306
000000000
-192.00000000
NC
399762.32000000
0.043554436121
N/A
DIR
DE
N
1
Eurex Deutschland
529900LN3S50JPU47S06
Short
Euro-Bund (FGBL)
RXH0 Comdty
2020-03-06
-33090469.71
EUR
399762.32
N
N
N
GLP Capital LP / GLP Financing II Inc
N/A
GLP Capital LP / GLP Financing II Inc
361841AF6
80000.00000000
PA
USD
87046.40000000
0.009483777431
Long
DBT
CORP
US
N
2
2023-11-01
Fixed
5.38000000
N
N
N
N
N
N
MPLX LP
5493000CZJ19CK4P3G36
MPLX LP
55336VAT7
60000.00000000
PA
USD
67970.30000000
0.007405420524
Long
DBT
CORP
US
N
2
2049-02-15
Fixed
5.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140JAD39
419948.51000000
PA
USD
436777.33000000
0.047587252142
Long
ABS-MBS
USGSE
US
N
2
2048-07-01
Fixed
3.50000000
N
N
N
N
N
N
Lockheed Martin Corp
DPRBOZP0K5RM2YE8UU08
Lockheed Martin Corp
539830BK4
10000.00000000
PA
USD
11834.68000000
0.001289398195
Long
DBT
CORP
US
N
2
2036-05-15
Fixed
4.50000000
N
N
N
N
N
N
Republic of Argentina
549300KPBYGYF7HCHO27
Argentine Republic Government International Bond
040114GX2
170000.00000000
PA
USD
88400.00000000
0.009631253273
Long
DBT
NUSS
AR
N
2
2026-04-22
Fixed
7.50000000
N
N
N
N
N
N
UnitedHealth Group Inc
549300GHBMY8T5GXDE41
UnitedHealth Group Inc
91324PDV1
30000.00000000
PA
USD
32274.90000000
0.003516377107
Long
DBT
CORP
US
N
2
2059-08-15
Fixed
3.88000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138WJJD1
355018.46000000
PA
USD
363210.29000000
0.039572062155
Long
ABS-MBS
USGSE
US
N
2
2046-11-01
Fixed
3.00000000
N
N
N
N
N
N
Wind River CLO Ltd
N/A
THL Credit Wind River 2013-2 CLO Ltd
88432AAW0
1016000.00000000
PA
USD
1012224.54000000
0.110282702653
Long
ABS-CBDO
CORP
KY
Y
2
2030-10-18
Floating
3.23000000
N
N
N
N
N
N
Santander UK PLC
PTCQB104N23FMNK2RZ28
Santander UK PLC
80283LAN3
40000.00000000
PA
USD
40021.10000000
0.004360332017
Long
DBT
CORP
GB
N
2
2020-03-16
Fixed
2.38000000
N
N
N
N
N
N
Lloyds Banking Group PLC
549300PPXHEU2JF0AM85
Lloyds Banking Group PLC
539439AM1
688000.00000000
PA
USD
744356.63000000
0.081098271826
Long
DBT
CORP
GB
N
2
2025-12-10
Fixed
4.58000000
N
N
N
N
N
N
Hospitality Mortgage Trust
N/A
HPLY Trust 2019-HIT
40443RAL5
1392532.80000000
PA
USD
1392963.09000000
0.151764483265
Long
ABS-MBS
CORP
US
Y
2
2036-11-15
Floating
3.74000000
N
N
N
N
N
N
Citibank, National Association
E57ODZWZ7FF32TWEFA76
PURCHASED RUB / SOLD USD
000000000
1.00000000
NC
5778.86000000
0.000629611587
N/A
DFE
RU
N
2
Citibank, National Association
E57ODZWZ7FF32TWEFA76
160701.62000000
USD
10342756.00000000
RUB
2020-01-17
5778.86
N
N
N
Bank of Montreal
NQQ6HPCNCCU6TUTQYE16
Bank of Montreal
06367T4W7
519000.00000000
PA
USD
527369.09000000
0.057457299485
Long
DBT
CORP
CA
N
2
2021-04-13
Fixed
3.10000000
N
N
N
N
N
N
Goldman Sachs Group Inc/The
784F5XWPLTWKTBV3E584
Goldman Sachs Group Inc/The
38145GAH3
90000.00000000
PA
USD
94589.53000000
0.010305607697
Long
DBT
CORP
US
N
2
2026-11-16
Fixed
3.50000000
N
N
N
N
N
N
Reynolds Group Holdings Inc.
5493002QNV81KCX40V06
Reynolds Group Holdings Inc. USD 2017 Term Loan
76173FAU1
323218.80000000
PA
USD
323978.36000000
0.035297710863
Long
LON
CORP
US
N
2
2023-02-05
Floating
4.55000000
N
N
N
N
N
N
Union Pacific Corp
549300LMMRSZZCZ8CL11
Union Pacific Corp
907818EY0
400000.00000000
PA
USD
441396.49000000
0.048090513453
Long
DBT
CORP
US
N
2
2028-09-10
Fixed
3.95000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138WJSM1
77805.10000000
PA
USD
79805.55000000
0.008694880822
Long
ABS-MBS
USGSE
US
N
2
2047-01-01
Fixed
3.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140X4TQ9
364659.87000000
PA
USD
384372.48000000
0.041877700297
Long
ABS-MBS
USGSE
US
N
2
2049-04-01
Fixed
4.50000000
N
N
N
N
N
N
Noble Energy Inc
02VFQXG2D1LR5ZH3K186
Noble Energy Inc
655044AN5
40000.00000000
PA
USD
44216.98000000
0.004817476621
Long
DBT
CORP
US
N
2
2047-08-15
Fixed
4.95000000
N
N
N
N
N
N
Keurig Dr Pepper Inc
DYTQ8KRTKO7Y2BVU5K74
Keurig Dr Pepper Inc
49271VAG5
222000.00000000
PA
USD
233992.84000000
0.025493713871
Long
DBT
CORP
US
N
2
2023-05-25
Fixed
4.06000000
N
N
N
N
N
N
Enbridge Inc
98TPTUM4IVMFCZBCUR27
Enbridge Inc
29250NAR6
687000.00000000
PA
USD
726872.92000000
0.079193407129
Long
DBT
CORP
CA
N
2
2027-07-15
Fixed
3.70000000
N
N
N
N
N
N
Santander Holdings USA Inc
549300SMVCQN2P0O6I58
Santander Holdings USA Inc
80282KAE6
20000.00000000
PA
USD
21569.72000000
0.002350038872
Long
DBT
CORP
US
N
2
2025-07-17
Fixed
4.50000000
N
N
N
N
N
N
Natixis Commercial Mortgage Securities
N/A
Natixis Commercial Mortgage Securities Trust 2019-FAME
63873VAA1
440000.00000000
PA
USD
444250.22000000
0.048401429702
Long
ABS-MBS
CORP
US
Y
2
2034-08-15
Fixed
3.05000000
N
N
N
N
N
N
Bristol-Myers Squibb Co
HLYYNH7UQUORYSJQCN42
Bristol-Myers Squibb Co
110122CA4
190000.00000000
PA
USD
199246.74000000
0.021708097476
Long
DBT
CORP
US
Y
2
2026-06-15
Fixed
3.20000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140EUKQ1
494125.96000000
PA
USD
547714.58000000
0.059673957484
Long
ABS-MBS
USGSE
US
N
2
2046-03-01
Fixed
4.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31418AWG9
1050461.36000000
PA
USD
1103729.71000000
0.120252266772
Long
ABS-MBS
USGSE
US
N
2
2043-08-01
Fixed
3.50000000
N
N
N
N
N
N
Freddie Mac
N/A
Freddie Mac Pool
3132A5KB0
1088006.18000000
PA
USD
1132896.72000000
0.123430036687
Long
ABS-MBS
USGSE
US
N
2
2048-09-01
Fixed
4.00000000
N
N
N
N
N
N
Freddie Mac
N/A
Freddie Mac Pool
31334YKB2
98687.89000000
PA
USD
100415.17000000
0.010940316004
Long
ABS-MBS
USGSE
US
N
2
2049-08-01
Fixed
3.00000000
N
N
N
N
N
N
Range Resources Corp
H3Y3WLYCX0BTO1TRW162
Range Resources Corp
75281AAS8
230000.00000000
PA
USD
196650.00000000
0.021425180500
Long
DBT
CORP
US
N
2
2025-05-15
Fixed
4.88000000
N
N
N
N
N
N
Markel Corp
549300SCNO12JLWIK605
Markel Corp
570535AS3
699000.00000000
PA
USD
728306.48000000
0.079349594680
Long
DBT
CORP
US
N
2
2047-11-01
Fixed
4.30000000
N
N
N
N
N
N
Prime Security Services Borrower LLC / Prime Finance Inc
N/A
Prime Security Services Borrower LLC / Prime Finance Inc
74166MAC0
60000.00000000
PA
USD
65212.80000000
0.007104988614
Long
DBT
CORP
US
Y
2
2026-04-15
Fixed
5.75000000
N
N
N
N
N
N
Virgin Media Bristol LLC
N/A
Virgin Media Bristol LLC USD Term Loan N
000000000
196889.75000000
PA
USD
197998.24000000
0.021572072366
Long
LON
CORP
US
N
2
2028-01-31
Floating
4.24000000
N
N
N
N
N
N
United States Treasury
254900HROIFWPRGM1V77
United States Treasury Note/Bond
912810QY7
1190000.00000000
PA
USD
1268414.26000000
0.138194784999
Long
DBT
UST
US
N
2
2042-11-15
Fixed
2.75000000
N
N
N
N
N
N
Park Place Securities Inc
N/A
Park Place Securities Inc Asset-Backed Pass-Through Ctfs Ser 2005-WHQ1
70069FGE1
1290000.00000000
PA
USD
1285578.40000000
0.140064832279
Long
ABS-O
CORP
US
N
2
2035-03-25
Floating
2.92000000
N
N
N
N
N
N
United States Treasury
254900HROIFWPRGM1V77
United States Treasury Note/Bond
9128282A7
3540000.00000000
PA
USD
3467403.74000000
0.377776511560
Long
DBT
UST
US
N
2
2026-08-15
Fixed
1.50000000
N
N
N
N
N
N
SLM Student Loan Trust
549300I2YWZ9E1B0EY33
SLM Private Credit Student Loan Trust 2006-A
78443CCL6
195578.55000000
PA
USD
190519.99000000
0.020757310830
Long
ABS-O
CORP
US
N
2
2039-06-15
Floating
2.18000000
N
N
N
N
N
N
PSEG Power LLC
N/A
PSEG Power LLC
69362BAJ1
170000.00000000
PA
USD
237212.67000000
0.025844517019
Long
DBT
CORP
US
N
2
2031-04-15
Fixed
8.63000000
N
N
N
N
N
N
Becton Dickinson and Co
ICE2EP6D98PQUILVRZ91
Becton Dickinson and Co
075887BV0
180000.00000000
PA
USD
187388.74000000
0.020416158547
Long
DBT
CORP
US
N
2
2024-06-06
Fixed
3.36000000
N
N
N
N
N
N
COMM Mortgage Trust
N/A
COMM 2019-521F Mortgage Trust
20048GAA4
1203000.00000000
PA
USD
1201869.18000000
0.130944643375
Long
ABS-MBS
CORP
US
Y
2
2034-06-15
Floating
2.64000000
N
N
N
N
N
N
Allergan Funding SCS
222100FLFVOSKCBCAR54
Allergan Funding SCS
00507UAR2
285000.00000000
PA
USD
291429.60000000
0.031751496482
Long
DBT
CORP
LU
N
2
2022-03-15
Fixed
3.45000000
N
N
N
N
N
N
Republic of Colombia
549300MHDRBVRF6B9117
Colombian TES
000000000
4450300000.00000000
PA
1347412.95000000
0.146801757756
Long
DBT
NUSS
CO
N
2
2028-04-28
Fixed
6.00000000
N
N
N
N
N
N
Humana Inc
529900YLDW34GJAO4J06
Humana Inc
444859BE1
20000.00000000
PA
USD
23561.16000000
0.002567007911
Long
DBT
CORP
US
N
2
2044-10-01
Fixed
4.95000000
N
N
N
N
N
N
Bank of America, National Association
B4TYDEB6GKMZO031MB27
PURCHASED USD / SOLD THB
000000000
1.00000000
NC
-16335.92000000
-0.00177981202
N/A
DFE
US
N
2
Bank of America, National Association
B4TYDEB6GKMZO031MB27
53186810.00000000
THB
1761619.30000000
USD
2020-02-26
-16335.92
N
N
N
Occidental Petroleum Corp
IM7X0T3ECJW4C1T7ON55
Occidental Petroleum Corp
674599DB8
10000.00000000
PA
USD
11777.76000000
0.001283196714
Long
DBT
CORP
US
N
2
2024-07-01
Fixed
6.95000000
N
N
N
N
N
N
Kinder Morgan Inc/DE
549300WR7IX8XE0TBO16
Kinder Morgan Inc/DE
49456BAP6
170000.00000000
PA
USD
185250.84000000
0.020183232570
Long
DBT
CORP
US
N
2
2028-03-01
Fixed
4.30000000
N
N
N
N
N
N
HSBC Holdings PLC
MLU0ZO3ML4LN2LL2TL39
HSBC Holdings PLC
404280BT5
400000.00000000
PA
USD
446731.94000000
0.048671815153
Long
DBT
CORP
GB
N
2
2029-06-19
Variable
4.58000000
N
N
N
N
N
N
Citigroup Commercial Mortgage Trust
N/A
Citigroup Commercial Mortgage Trust 2013-375P
17320QAL3
1418000.00000000
PA
USD
1427976.91000000
0.155579267976
Long
ABS-MBS
CORP
US
Y
2
2035-05-10
Variable
3.52000000
N
N
N
N
N
N
Singapore Government
549300ZSV6VOGFH1ER70
Singapore Government Bond
000000000
2077000.00000000
PA
1735961.22000000
0.189134413835
Long
DBT
NUSS
SG
N
2
2027-03-01
Fixed
3.50000000
N
N
N
N
N
N
International Business Machines Corp
VGRQXHF3J8VDLUA7XE92
International Business Machines Corp
459200KA8
215000.00000000
PA
USD
230989.79000000
0.025166529085
Long
DBT
CORP
US
N
2
2029-05-15
Fixed
3.50000000
N
N
N
N
N
N
Citibank, National Association
E57ODZWZ7FF32TWEFA76
PURCHASED USD / SOLD EUR
000000000
1.00000000
NC
-8705.74000000
-0.00094849758
N/A
DFE
US
N
2
Citibank, National Association
E57ODZWZ7FF32TWEFA76
671142.00000000
EUR
744769.63000000
USD
2020-01-17
-8705.74
N
N
N
United States Treasury
254900HROIFWPRGM1V77
United States Treasury Inflation Indexed Bonds
912828XL9
4533589.58000000
PA
USD
4625608.12000000
0.503963838782
Long
DBT
UST
US
N
2
2025-07-15
Fixed
0.38000000
N
N
N
N
N
N
Party City Holdings Inc.
5493005PYM1JS6EZN307
Party City Holdings Inc. 2018 Term Loan B
70215EAN3
64142.46000000
PA
USD
59428.63000000
0.006474798498
Long
LON
CORP
US
N
2
2022-08-19
Floating
4.30000000
N
N
N
N
N
N
Waste Management Inc
549300YX8JIID70NFS41
Waste Management Inc
94106LAZ2
190000.00000000
PA
USD
199730.33000000
0.021760785007
Long
DBT
CORP
US
N
2
2024-05-15
Fixed
3.50000000
N
N
N
N
N
N
Athene Holding Ltd
549300H316CT32FQXI76
Athene Holding Ltd
04686JAA9
630000.00000000
PA
USD
651564.21000000
0.070988460752
Long
DBT
CORP
BM
N
2
2028-01-12
Fixed
4.13000000
N
N
N
N
N
N
United States Treasury
254900HROIFWPRGM1V77
United States Treasury Note/Bond
9128283W8
530000.00000000
PA
USD
564320.29000000
0.061483163353
Long
DBT
UST
US
N
2
2028-02-15
Fixed
2.75000000
N
N
N
N
N
N
Royal Bank of Canada
ES7IP3U3RHIGC71XBU11
Royal Bank of Canada
78012KZG5
500000.00000000
PA
USD
508841.05000000
0.055438654169
Long
DBT
CORP
CA
N
2
2022-02-01
Fixed
2.75000000
N
N
N
N
N
N
1011778 BC ULC / New Red Finance Inc
N/A
1011778 BC ULC / New Red Finance Inc
68245XAC3
120000.00000000
PA
USD
123000.00000000
0.013400951953
Long
DBT
CORP
CA
Y
2
2024-05-15
Fixed
4.25000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138EKW35
127998.77000000
PA
USD
146808.74000000
0.015994933910
Long
ABS-MBS
USGSE
US
N
2
2041-05-01
Fixed
6.00000000
N
N
N
N
N
N
United States Treasury
254900HROIFWPRGM1V77
United States Treasury Inflation Indexed Bonds
912810RF7
1744525.40000000
PA
USD
2056736.50000000
0.224083146478
Long
DBT
UST
US
N
2
2044-02-15
Fixed
1.38000000
N
N
N
N
N
N
COMM Mortgage Trust
N/A
COMM 2018-COR3 Mortgage Trust
12595VAD9
2944000.00000000
PA
USD
3278172.26000000
0.357159584962
Long
ABS-MBS
CORP
US
N
2
2051-05-10
Fixed
4.23000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140X4HS8
2340773.52000000
PA
USD
2408161.81000000
0.262371225294
Long
ABS-MBS
USGSE
US
N
2
2049-06-01
Fixed
3.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138LFRV2
375000.00000000
PA
USD
373774.39000000
0.040723029607
Long
ABS-MBS
USGSE
US
N
2
2031-10-01
Fixed
2.60000000
N
N
N
N
N
N
JPMorgan Chase & Co
8I5DZWZKVSZI1NUHU748
JPMorgan Chase & Co
46647PAV8
200000.00000000
PA
USD
222961.94000000
0.024291888173
Long
DBT
CORP
US
N
2
2029-07-23
Variable
4.20000000
N
N
N
N
N
N
L3Harris Technologies Inc
549300UTE50ZMDBG8A20
L3Harris Technologies Inc
413875AS4
40000.00000000
PA
USD
47127.63000000
0.005134594352
Long
DBT
CORP
US
N
2
2035-04-27
Fixed
4.85000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138WHWE8
71964.40000000
PA
USD
73659.06000000
0.008025215642
Long
ABS-MBS
USGSE
US
N
2
2046-09-01
Fixed
3.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140K44S6
100000.00000000
PA
USD
102424.93000000
0.011159281022
Long
ABS-MBS
USGSE
US
N
2
2050-01-01
Fixed
3.00000000
N
N
N
N
N
N
Sunrun Callisto Issuer LLC
N/A
Sunrun Atlas Issuer 2019-2 LLC
86772FAA9
600000.00000000
PA
USD
595888.20000000
0.064922513314
Long
ABS-O
CORP
US
Y
3
2055-02-01
Fixed
3.61000000
N
N
N
N
N
N
RPI Finance Trust
549300W9M1577I3BNU94
RPI Finance Trust Term Loan B6
74966UAP5
245698.53000000
PA
USD
247580.58000000
0.026974109407
Long
LON
CORP
US
N
2
2023-03-27
Floating
3.80000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140QBSY5
591432.36000000
PA
USD
603162.26000000
0.065715028180
Long
ABS-MBS
USGSE
US
N
2
2049-09-01
Fixed
3.00000000
N
N
N
N
N
N
State Street Bank and Trust Company
571474TGEMMWANRLN572
PURCHASED USD / SOLD MYR
000000000
1.00000000
NC
-11310.55000000
-0.00123229379
N/A
DFE
US
N
2
State Street Bank and Trust Company
571474TGEMMWANRLN572
3050020.00000000
MYR
735742.37000000
USD
2020-02-26
-11310.55
N
N
N
Kinder Morgan Inc/DE
549300WR7IX8XE0TBO16
Kinder Morgan Inc/DE
28368EAD8
176000.00000000
PA
USD
241933.20000000
0.026358822675
Long
DBT
CORP
US
N
2
2031-08-01
Fixed
7.80000000
N
N
N
N
N
N
Cameron LNG LLC
549300C39FLHGVD73K22
Cameron LNG LLC
133434AA8
40000.00000000
PA
USD
40025.13000000
0.004360771089
Long
DBT
CORP
US
Y
2
2031-07-15
Fixed
2.90000000
N
N
N
N
N
N
Russian Federation
5493004EHVGF71PDBU58
Russian Federal Bond - OFZ
000000000
48740000.00000000
PA
877875.59000000
0.095645273190
Long
DBT
NUSS
RU
N
2
2027-02-03
Fixed
8.15000000
N
N
N
N
N
N
United States Treasury
254900HROIFWPRGM1V77
United States Treasury Note/Bond
912810SF6
90000.00000000
PA
USD
101415.45000000
0.011049297339
Long
DBT
UST
US
N
2
2049-02-15
Fixed
3.00000000
N
N
N
N
N
N
JP Morgan Mortgage Trust
5493002WZI1ZSAEIE710
JP Morgan Mortgage Trust 2018-8
46650MAQ0
292403.60000000
PA
USD
292379.71000000
0.031855011754
Long
ABS-MBS
CORP
US
Y
2
2049-01-25
Variable
4.00000000
N
N
N
N
N
N
Malaysia Government Bond
254900GSIL471JOBYY43
Malaysia Government Bond
000000000
230000.00000000
PA
56546.93000000
0.006160834894
Long
DBT
NUSS
MY
N
2
2020-07-31
Fixed
3.89000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36179TZ65
120537.16000000
PA
USD
126971.55000000
0.013833655617
Long
ABS-MBS
USGA
US
N
2
2048-06-20
Fixed
4.50000000
N
N
N
N
N
N
United States Treasury
254900HROIFWPRGM1V77
United States Treasury Note/Bond
912828P46
4303000.00000000
PA
USD
4260358.91000000
0.464169634602
Long
DBT
UST
US
N
2
2026-02-15
Fixed
1.63000000
N
N
N
N
N
N
Freddie Mac
N/A
Freddie Mac REMICS
31398VWE2
213332.85000000
PA
USD
229161.25000000
0.024967308136
Long
ABS-MBS
USGSE
US
N
2
2030-04-15
Fixed
4.50000000
N
N
N
N
N
N
United States Treasury
254900HROIFWPRGM1V77
United States Treasury Inflation Indexed Bonds
912828VM9
9019602.75000000
PA
USD
9143771.56000000
0.996221490619
Long
DBT
UST
US
N
2
2023-07-15
Fixed
0.38000000
N
N
N
N
N
N
Intercontinental Exchange, Inc.
5493000F4ZO33MV32P92
Long: SSP9U31ZZ CDS USD R F 5.00000 COSP9U31ZZ_FEE CCPCDX / Short: SSP9U31ZZ CDS USD P V 03MEVENT COSP9U31ZZ_PRO CCPCDX
000000000
17721000.00000000
OU
Notional Amount
USD
1707152.54000000
0.185995684270
N/A
DCR
US
N
2
Intercontinental Exchange, Inc.
5493000F4ZO33MV32P92
Markit CDX.NA.HY.S33.V1
2I65BRSB7 RED Code
Y
sell protection
2024-12-20
1222728.33
USD
0
USD
17721000
USD
484424.21
N
N
N
Morgan Stanley Capital I Trust
N/A
Morgan Stanley Capital I Trust 2016-UBS9
61766CAE9
205000.00000000
PA
USD
217072.31000000
0.023650208103
Long
ABS-MBS
CORP
US
N
2
2049-03-15
Fixed
3.59000000
N
N
N
N
N
N
JP Morgan Mortgage Trust
5493002WZI1ZSAEIE710
JP Morgan Mortgage Trust 2018-4
46649CAQ6
601605.14000000
PA
USD
605833.70000000
0.066006083782
Long
ABS-MBS
CORP
US
Y
2
2048-10-25
Variable
3.50000000
N
N
N
N
N
N
Altria Group Inc
XSGZFLO9YTNO9VCQV219
Altria Group Inc
02209SAN3
170000.00000000
PA
USD
173195.52000000
0.018869795463
Long
DBT
CORP
US
N
2
2022-08-09
Fixed
2.85000000
N
N
N
N
N
N
COMM Mortgage Trust
N/A
COMM 2015-LC19 Mortgage Trust
200474BC7
1438000.00000000
PA
USD
1490300.06000000
0.162369426828
Long
ABS-MBS
CORP
US
N
2
2048-02-10
Fixed
3.18000000
N
N
N
N
N
N
Anglo American Capital PLC
TINT358G1SSHR3L3PW36
Anglo American Capital PLC
034863AQ3
368000.00000000
PA
USD
377568.11000000
0.041136358545
Long
DBT
CORP
GB
Y
2
2022-04-10
Fixed
3.75000000
N
N
N
N
N
N
AMBAC LSNI LLC
N/A
Ambac LSNI LLC
02315QAA6
4280549.64000000
PA
USD
4334056.51000000
0.472199049209
Long
DBT
CORP
KY
Y
2
2023-02-12
Floating
6.94000000
N
N
N
N
N
N
Intesa Sanpaolo SpA
2W8N8UU78PMDQKZENC08
Intesa Sanpaolo SpA
46115HBD8
287000.00000000
PA
USD
287918.72000000
0.031368983196
Long
DBT
CORP
IT
Y
2
2028-01-12
Fixed
3.88000000
N
N
N
N
N
N
Bristol-Myers Squibb Co
HLYYNH7UQUORYSJQCN42
Bristol-Myers Squibb Co
110122BU1
80000.00000000
PA
USD
102328.52000000
0.011148777072
Long
DBT
CORP
US
Y
2
2045-08-15
Fixed
5.00000000
N
N
N
N
N
N
SMB Private Education Loan Trust
N/A
SMB Private Education Loan Trust 2019-B
83192CAC1
190000.00000000
PA
USD
189577.23000000
0.020654596346
Long
ABS-O
CORP
US
Y
2
2037-06-15
Floating
2.74000000
N
N
N
N
N
N
Renaissance Home Equity Loan Trust
N/A
Renaissance Home Equity Loan Trust 2006-1
759950GY8
95338.32000000
PA
USD
62622.78000000
0.006822803788
Long
ABS-O
CORP
US
N
2
2036-05-25
Variable
5.75000000
N
N
N
N
N
N
Amazon.com Inc
ZXTILKJKG63JELOEG630
Amazon.com Inc
023135BC9
220000.00000000
PA
USD
232617.33000000
0.025343850917
Long
DBT
CORP
US
N
2
2027-08-22
Fixed
3.15000000
N
N
N
N
N
N
HCA Inc.
L3CJ6J7LJ2DX62FTXD46
HCA Inc Term Loan B12
404122BA0
47307.50000000
PA
USD
47532.21000000
0.005178673678
Long
LON
CORP
US
N
2
2025-03-13
Floating
3.55000000
N
N
N
N
N
N
UBS Group AG
549300SZJ9VS8SGXAN81
UBS Group AG
90352JAF0
660000.00000000
PA
USD
721050.00000000
0.078558995169
Long
DBT
CORP
CH
Y
2
2024-01-31
Variable
7.00000000
N
N
N
N
N
N
KKR Group Finance Co II LLC
N/A
KKR Group Finance Co II LLC
48249DAA9
10000.00000000
PA
USD
12199.13000000
0.001329105325
Long
DBT
CORP
US
Y
2
2043-02-01
Fixed
5.50000000
N
N
N
N
N
N
Shell International Finance BV
213800ITMMKU4Z7I4F78
Shell International Finance BV
822582AS1
269000.00000000
PA
USD
272506.79000000
0.029689840647
Long
DBT
CORP
NL
N
2
2022-08-21
Fixed
2.38000000
N
N
N
N
N
N
Freddie Mac
N/A
Freddie Mac Gold Pool
3128P8F48
82069.01000000
PA
USD
83901.80000000
0.009141170655
Long
ABS-MBS
USGSE
US
N
2
2038-04-01
Fixed
3.00000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
3617BFM90
157237.34000000
PA
USD
163260.07000000
0.017787319950
Long
ABS-MBS
USGA
US
N
2
2047-10-20
Fixed
3.50000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
3617K1Y72
99719.99000000
PA
USD
104767.65000000
0.011414522308
Long
ABS-MBS
USGA
US
N
2
2049-10-20
Fixed
4.00000000
N
N
N
N
N
N
Albertsons, LLC
549300MBYHQDK18CKL60
Albertsons, LLC 2019 Term Loan B8
01310TAW9
88098.39000000
PA
USD
88805.82000000
0.009675467699
Long
LON
CORP
US
N
2
2026-08-17
Floating
4.55000000
N
N
N
N
N
N
Peru Government Bond
254900STKLK2DBJJZ530
Peru Government Bond
000000000
3424000.00000000
PA
1245211.13000000
0.135666784753
Long
DBT
NUSS
PE
N
2
2037-08-12
Fixed
6.90000000
N
N
N
N
N
N
Sungard As New Holdings III, LLC
N/A
Sungard As New Holdings III, LLC 3rd Lien PIK Takeback Term Loan
86736LAB9
125395.97000000
PA
USD
73983.62000000
0.008060576723
Long
LON
CORP
US
N
2
2022-11-03
Floating
5.89000000
N
N
N
N
N
N
Glencore Funding LLC
213800STG1QDNBY87K49
Glencore Funding LLC
378272AH1
40000.00000000
PA
USD
42408.00000000
0.004620386751
Long
DBT
CORP
US
Y
2
2024-04-29
Fixed
4.63000000
N
N
N
N
N
N
Republic of Argentina
549300KPBYGYF7HCHO27
Argentine Republic Government International Bond
040114GK0
160000.00000000
PA
USD
78001.60000000
0.008498338974
Long
DBT
NUSS
AR
N
2
2038-12-31
Variable
3.75000000
N
N
N
N
N
N
Freddie Mac
N/A
Freddie Mac Gold Pool
3132QVAQ4
316308.63000000
PA
USD
334642.76000000
0.036459606083
Long
ABS-MBS
USGSE
US
N
2
2045-12-01
Fixed
4.00000000
N
N
N
N
N
N
Deutsche Mortgage Securities, Inc.
N/A
Deutsche Mortgage Securities Inc Re-REMIC Trust Certificates Series 2007-WM1
25157TAA2
424732.04000000
PA
USD
435262.21000000
0.047422178562
Long
ABS-MBS
CORP
US
Y
2
2037-06-27
Variable
3.80000000
N
N
N
N
N
N
ASX - Trade24
549300USWUR0S7VMM868
AUST 10Y BOND FUT MAR20 XSFE 20200316
000000000
-67.00000000
NC
118671.06000000
0.012929310351
N/A
DIR
AU
N
1
ASX - Trade24
549300USWUR0S7VMM868
Short
10 Year Commonwealth Treasury Bond
XMH0 Comdty
2020-03-16
-9747302.71
AUD
118671.06
N
N
N
Residential Accredit Loans, Inc.
N/A
RALI Series 2006-QO7 Trust
751150AD5
908572.90000000
PA
USD
838116.98000000
0.091313539675
Long
ABS-MBS
CORP
US
N
2
2046-09-25
Floating
3.09000000
N
N
N
N
N
N
Amgen Inc
62QBXGPJ34PQ72Z12S66
Amgen Inc
031162BZ2
100000.00000000
PA
USD
112255.95000000
0.012230378800
Long
DBT
CORP
US
N
2
2045-05-01
Fixed
4.40000000
N
N
N
N
N
N
Hilton USA Trust
N/A
Hilton USA Trust 2016-HHV
43300LAN0
600000.00000000
PA
USD
611383.62000000
0.066610752167
Long
ABS-MBS
CORP
US
Y
2
2038-11-05
Variable
4.19000000
N
N
N
N
N
N
Mexican Bonos
254900EGTWEU67VP6075
Mexican Bonos
000000000
15562000.00000000
PA
1062816.90000000
0.115794782210
Long
DBT
NUSS
MX
N
2
2036-11-20
Fixed
10.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140HVNL4
100000.00000000
PA
USD
101226.42000000
0.011028702364
Long
ABS-MBS
USGSE
US
N
2
2031-09-01
Fixed
2.67000000
N
N
N
N
N
N
AT&T Inc
549300Z40J86GGSTL398
AT&T Inc
00206RBK7
100000.00000000
PA
USD
107646.05000000
0.011728126373
Long
DBT
CORP
US
N
2
2045-06-15
Fixed
4.35000000
N
N
N
N
N
N
CarMax Auto Owner Trust
N/A
CarMax Auto Owner Trust 2017-3
14314WAD3
743761.00000000
PA
USD
743800.72000000
0.081037704971
Long
ABS-O
CORP
US
N
2
2022-04-15
Fixed
1.97000000
N
N
N
N
N
N
Swedbank AB
M312WZV08Y7LYUC71685
Swedbank AB
87020PAG2
797000.00000000
PA
USD
801713.62000000
0.087347363429
Long
DBT
CORP
SE
Y
2
2021-03-10
Fixed
2.65000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138YHU65
646178.47000000
PA
USD
680403.26000000
0.074130499154
Long
ABS-MBS
USGSE
US
N
2
2045-05-01
Fixed
3.50000000
N
N
N
N
N
N
United States Treasury
254900HROIFWPRGM1V77
United States Treasury Note/Bond
912828S35
480000.00000000
PA
USD
475475.23000000
0.051803420423
Long
DBT
UST
US
N
2
2023-06-30
Fixed
1.38000000
N
N
N
N
N
N
PNC Bank NA
AD6GFRVSDT01YPT1CS68
PNC Bank NA
69353REW4
724000.00000000
PA
USD
726230.32000000
0.079123395327
Long
DBT
CORP
US
N
2
2021-04-29
Fixed
2.15000000
N
N
N
N
N
N
Freddie Mac
N/A
Freddie Mac Gold Pool
3132WDKD5
224592.34000000
PA
USD
241101.39000000
0.026268196286
Long
ABS-MBS
USGSE
US
N
2
2046-04-01
Fixed
4.50000000
N
N
N
N
N
N
Occidental Petroleum Corp
IM7X0T3ECJW4C1T7ON55
Occidental Petroleum Corp
674599CN3
70000.00000000
PA
USD
69325.30000000
0.007553048897
Long
DBT
CORP
US
N
2
2048-03-15
Fixed
4.20000000
N
N
N
N
N
N
Sequoia Mortgage Trust
N/A
Sequoia Mortgage Trust 2013-4
81744YAC0
1385624.85000000
PA
USD
1348493.01000000
0.146919431188
Long
ABS-MBS
CORP
US
N
2
2043-04-25
Variable
1.55000000
N
N
N
N
N
N
VIACOMCBS INC
5KYC8KF17ROCY24M3H09
ViacomCBS Inc
92553PAX0
20000.00000000
PA
USD
21163.54000000
0.002305785225
Long
DBT
CORP
US
N
2
2024-04-01
Fixed
3.88000000
N
N
N
N
N
N
Allergan Funding SCS
222100FLFVOSKCBCAR54
Allergan Funding SCS
00507UAS0
60000.00000000
PA
USD
62995.37000000
0.006863397777
Long
DBT
CORP
LU
N
2
2025-03-15
Fixed
3.80000000
N
N
N
N
N
N
Valero Energy Corp
549300XTO5VR8SKV1V74
Valero Energy Corp
91913YAP5
151000.00000000
PA
USD
254397.50000000
0.027716818491
Long
DBT
CORP
US
N
2
2039-03-15
Fixed
10.50000000
N
N
N
N
N
N
ESCROW GM CORP SR
N/A
ESCROW GM CORP SR
000000000
80000.00000000
NS
USD
0.00000000
0.000000
Long
STIV
CORP
DE
N
3
N
N
N
HSBC Bank PLC
MP6I5ZYZBEU3UXPYFY54
HSBC Bank PLC
597433AC5
375000.00000000
PA
USD
453442.85000000
0.049402974360
Long
DBT
CORP
GB
N
2
2025-05-01
Fixed
7.65000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36179UZT2
724708.73000000
PA
USD
750732.09000000
0.081792883477
Long
ABS-MBS
USGA
US
N
2
2049-09-20
Fixed
3.50000000
N
N
N
N
N
N
Towd Point Mortgage Trust
N/A
Towd Point Mortgage Trust 2017-1
89173FAA8
938991.88000000
PA
USD
945160.59000000
0.102976029712
Long
ABS-O
CORP
US
Y
2
2056-10-25
Variable
2.75000000
N
N
N
N
N
N
Berkshire Hathaway Inc
5493000C01ZX7D35SD85
Berkshire Hathaway Inc
084670BS6
694000.00000000
PA
USD
730775.15000000
0.079618558322
Long
DBT
CORP
US
N
2
2026-03-15
Fixed
3.13000000
N
N
N
N
N
N
Petroleos Mexicanos
549300CAZKPF4HKMPX17
Petroleos Mexicanos
706451BG5
10000.00000000
PA
USD
10245.00000000
0.001116201241
Long
DBT
CORP
MX
N
2
2035-06-15
Fixed
6.63000000
N
N
N
N
N
N
Citigroup Global Markets Inc.
MBNUM2BPBDO7JBLYG310
Long: 0WP292956 IRS BRL R F 8.41000 / Short: 0WP292956 IRS BRL P V 00MBRCDI
000000000
2300000.00000000
OU
Notional Amount
18190.82000000
0.001981904917
N/A
DIR
US
N
2
Citigroup Global Markets Inc.
MBNUM2BPBDO7JBLYG310
Brazil Cetip DI Interbank Deposit Rate
BZDIOVRA Index
Y
2020-01-02
2143.25
BRL
0
BRL
2300000
BRL
17645.25
N
N
N
Bayer US Finance LLC
54930093Q75GSEM74I71
Bayer US Finance LLC
07274EAG8
726000.00000000
PA
USD
747700.50000000
0.081462589234
Long
DBT
CORP
US
Y
2
2024-10-08
Fixed
3.38000000
N
N
N
N
N
N
Royal Bank of Scotland Group PLC
2138005O9XJIJN4JPN90
Royal Bank of Scotland Group PLC
780097BD2
200000.00000000
PA
USD
209456.93000000
0.022820506139
Long
DBT
CORP
GB
N
2
2023-09-12
Fixed
3.88000000
N
N
N
N
N
N
United States Treasury
254900HROIFWPRGM1V77
United States Treasury Note/Bond
912810RB6
1200000.00000000
PA
USD
1305721.00000000
0.142259385245
Long
DBT
UST
US
N
2
2043-05-15
Fixed
2.88000000
N
N
N
N
N
N
Vodafone Group PLC
213800TB53ELEUKM7Q61
Vodafone Group PLC
92857WBK5
220000.00000000
PA
USD
243618.30000000
0.026542415717
Long
DBT
CORP
GB
N
2
2028-05-30
Fixed
4.38000000
N
N
N
N
N
N
BP Capital Markets America Inc
5493009NTB34VXE1T760
BP Capital Markets America Inc
10373QBE9
200000.00000000
PA
USD
212886.65000000
0.023194176976
Long
DBT
CORP
US
N
2
2026-02-11
Fixed
3.41000000
N
N
N
N
N
N
Bristol-Myers Squibb Co
HLYYNH7UQUORYSJQCN42
Bristol-Myers Squibb Co
110122BY3
90000.00000000
PA
USD
91456.85000000
0.009964299614
Long
DBT
CORP
US
Y
2
2022-05-16
Fixed
2.60000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31418DKT8
1700000.00000000
PA
USD
1723226.61000000
0.187746967520
Long
ABS-MBS
USGSE
US
N
2
2050-01-01
Fixed
3.00000000
N
N
N
N
N
N
Citigroup Mortgage Loan Trust Inc
549300R1KUK063S4I339
Citigroup Mortgage Loan Trust 2005-11
17307GW79
4882.07000000
PA
USD
5027.43000000
0.000547742665
Long
ABS-MBS
CORP
US
N
2
2035-10-25
Floating
4.38000000
N
N
N
N
N
N
HSBC Holdings PLC
MLU0ZO3ML4LN2LL2TL39
HSBC Holdings PLC
404280BK4
410000.00000000
PA
USD
438198.00000000
0.047742035316
Long
DBT
CORP
GB
N
2
2028-03-13
Variable
4.04000000
N
N
N
N
N
N
NBCUniversal Media LLC
VTBDOQJ6KOGQ6K786R46
NBCUniversal Media LLC
63946BAH3
524000.00000000
PA
USD
538334.25000000
0.058651962756
Long
DBT
CORP
US
N
2
2023-01-15
Fixed
2.88000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140J9H53
168060.97000000
PA
USD
177233.93000000
0.019309783580
Long
ABS-MBS
USGSE
US
N
2
2043-03-01
Fixed
3.50000000
N
N
N
N
N
N
Celulosa Arauco y Constitucion SA
549300QEKV8G0AMNQD28
Celulosa Arauco y Constitucion SA
151191BB8
705000.00000000
PA
USD
707650.80000000
0.077099141222
Long
DBT
CORP
CL
N
2
2027-11-02
Fixed
3.88000000
N
N
N
N
N
N
Horizon Aircraft Finance I Limited
N/A
Horizon Aircraft Finance I Ltd
440405AE8
840028.18000000
PA
USD
861907.55000000
0.093905541996
Long
ABS-O
CORP
US
Y
2
2038-12-15
Fixed
4.46000000
N
N
N
N
N
N
State of Qatar
52990074F6OJOAXK4P65
Qatar Government International Bond
74727PBB6
410000.00000000
PA
USD
507375.00000000
0.055278926806
Long
DBT
NUSS
QA
Y
2
2049-03-14
Fixed
4.82000000
N
N
N
N
N
N
International Lease Finance Corp
N/A
International Lease Finance Corp
459745GK5
50000.00000000
PA
USD
56240.31000000
0.006127428391
Long
DBT
CORP
US
N
2
2022-01-15
Fixed
8.63000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
3617B8HH4
166340.25000000
PA
USD
172615.76000000
0.018806630131
Long
ABS-MBS
USGA
US
N
2
2047-10-20
Fixed
3.50000000
N
N
N
N
N
N
State Street Bank and Trust Company
571474TGEMMWANRLN572
PURCHASED USD / SOLD COP
000000000
1.00000000
NC
-19313.73000000
-0.00210424689
N/A
DFE
US
N
2
State Street Bank and Trust Company
571474TGEMMWANRLN572
2797322670.00000000
COP
829819.84000000
USD
2020-02-26
-19313.73
N
N
N
Sanofi
549300E9PC51EN656011
Sanofi
80105NAG0
232000.00000000
PA
USD
238231.15000000
0.025955481259
Long
DBT
CORP
FR
N
2
2021-03-29
Fixed
4.00000000
N
N
N
N
N
N
Verizon Communications Inc
2S72QS2UO2OESLG6Y829
Verizon Communications Inc
92343VEN0
178000.00000000
PA
USD
188360.39000000
0.020522020620
Long
DBT
CORP
US
N
2
2025-02-15
Fixed
3.38000000
N
N
N
N
N
N
Georgia Power Co
D981X4Z4RWS7PDMJUZ03
Georgia Power Co
373334JX0
250000.00000000
PA
USD
254344.31000000
0.027711023397
Long
DBT
CORP
US
N
2
2022-05-15
Fixed
2.85000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31410GPA5
76752.11000000
PA
USD
86363.95000000
0.009409423938
Long
ABS-MBS
USGSE
US
N
2
2037-08-01
Fixed
5.50000000
N
N
N
N
N
N
Bristol-Myers Squibb Co
HLYYNH7UQUORYSJQCN42
Bristol-Myers Squibb Co
110122BH0
30000.00000000
PA
USD
31163.31000000
0.003395268455
Long
DBT
CORP
US
Y
2
2022-08-15
Fixed
3.55000000
N
N
N
N
N
N
American Tower Corp
5493006ORUSIL88JOE18
American Tower Corp
03027XAL4
230000.00000000
PA
USD
230655.75000000
0.025130135150
Long
DBT
US
N
2
2022-01-15
Fixed
2.25000000
N
N
N
N
N
N
Enterprise Products Operating LLC
5493004LGN656HWLDA30
Enterprise Products Operating LLC
29379VBB8
30000.00000000
PA
USD
31835.34000000
0.003468486680
Long
DBT
CORP
US
N
2
2024-02-15
Fixed
3.90000000
N
N
N
N
N
N
Asurion LLC
549300KNQVXGIOXWK278
Asurion LLC 2017 Term Loan B4
04649VAT7
126227.84000000
PA
USD
126885.49000000
0.013824279309
Long
LON
CORP
US
N
2
2022-08-04
Floating
4.80000000
N
N
N
N
N
N
Occidental Petroleum Corp
IM7X0T3ECJW4C1T7ON55
Occidental Petroleum Corp
674599CP8
80000.00000000
PA
USD
80812.40000000
0.008804577964
Long
DBT
CORP
US
N
2
2022-08-15
Fixed
2.70000000
N
N
N
N
N
N
Malaysia Government Bond
254900GSIL471JOBYY43
Malaysia Government Bond
000000000
3921000.00000000
PA
976295.93000000
0.106368250812
Long
DBT
NUSS
MY
N
2
2022-03-10
Fixed
3.88000000
N
N
N
N
N
N
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
Long: BWS029702 IRS USD R V 03MLIBOR 1 CCPVANILLA / Short: BWS029702 IRS USD P F 2.87500 2 CCPVANILLA
000000000
384000.00000000
OU
Notional Amount
USD
-59464.86000000
-0.00647874578
N/A
DIR
US
N
2
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
ICE Libor USD 3 Months
US0003M Index
Y
2044-05-15
508.35
USD
0
USD
384000
USD
-59973.21
N
N
N
General Electric Co
3C7474T6CDKPR9K6YT90
General Electric Co
369622SM8
130000.00000000
PA
USD
134062.42000000
0.014606211781
Long
DBT
CORP
US
N
2
2021-02-11
Fixed
5.30000000
N
N
N
N
N
N
US Bank NA/Cincinnati OH
6BYL5QZYBDK8S7L73M02
US Bank NA/Cincinnati OH
90331HNP4
250000.00000000
PA
USD
253939.67000000
0.027666937533
Long
DBT
CORP
US
N
2
2021-04-26
Fixed
3.15000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140QBGT9
96723.81000000
PA
USD
98875.88000000
0.010772609082
Long
ABS-MBS
USGSE
US
N
2
2049-07-01
Fixed
3.00000000
N
N
N
N
N
N
United States Treasury
254900HROIFWPRGM1V77
United States Treasury Note/Bond
9128286R6
30000.00000000
PA
USD
30695.20000000
0.003344267482
Long
DBT
UST
US
N
2
2024-04-30
Fixed
2.25000000
N
N
N
N
N
N
Goldman Sachs Capital II
N/A
Goldman Sachs Capital II
381427AA1
3000.00000000
PA
USD
2625.00000000
0.000285995925
Long
DBT
CORP
US
N
2
2020-01-31
Variable
4.00000000
N
N
N
N
N
N
Bank of Montreal
NQQ6HPCNCCU6TUTQYE16
Bank of Montreal
06367WJM6
270000.00000000
PA
USD
275168.02000000
0.029979783862
Long
DBT
CORP
CA
N
2
2022-03-26
Fixed
2.90000000
N
N
N
N
N
N
Republic of Colombia
549300MHDRBVRF6B9117
Colombian TES
000000000
16186200000.00000000
PA
5828826.59000000
0.635055488421
Long
DBT
NUSS
CO
N
2
2024-07-24
Fixed
10.00000000
N
N
N
N
N
N
Shell International Finance BV
213800ITMMKU4Z7I4F78
Shell International Finance BV
822582AM4
10000.00000000
PA
USD
10052.78000000
0.001095258713
Long
DBT
CORP
NL
N
2
2020-03-25
Fixed
4.38000000
N
N
N
N
N
N
Wells Fargo & Co
PBLD0EJDB5FWOLXP3B76
Wells Fargo & Co
949746SJ1
200000.00000000
PA
USD
203558.00000000
0.022177812826
Long
DBT
CORP
US
N
2
2023-10-31
Floating
3.16000000
N
N
N
N
N
N
Energy Transfer Partners LP / Regency Energy Finance Corp
N/A
Energy Transfer Partners LP / Regency Energy Finance Corp
75886AAL2
60000.00000000
PA
USD
63658.46000000
0.006935641982
Long
DBT
CORP
US
N
2
2022-03-01
Fixed
5.88000000
N
N
N
N
N
N
Ameriquest Mortgage Securities Inc.
N/A
Ameriquest Mortgage Securities Inc Asset-Backed Pass-Through Ctfs Ser 2005-R1
03072SYB5
830000.00000000
PA
USD
828342.24000000
0.090248573650
Long
ABS-O
CORP
US
N
2
2035-03-25
Floating
2.90000000
N
N
N
N
N
N
Citibank, National Association
E57ODZWZ7FF32TWEFA76
PURCHASED USD / SOLD CNY
000000000
1.00000000
NC
-52306.51000000
-0.00569883762
N/A
DFE
US
N
2
Citibank, National Association
E57ODZWZ7FF32TWEFA76
14261167.00000000
CNY
1995126.89000000
USD
2020-01-17
-52306.51
N
N
N
JPMorgan Chase Bank, National Association
7H6GLXDRUGQFU57RNE97
PURCHASED SEK / SOLD USD
000000000
1.00000000
NC
139775.29000000
0.015228633703
N/A
DFE
SE
N
2
JPMorgan Chase Bank, National Association
7H6GLXDRUGQFU57RNE97
9337295.35000000
USD
88455000.00000000
SEK
2020-03-16
139775.29
N
N
N
Kraft Heinz Foods Co
5493003STKEZ2S0RNU91
Kraft Heinz Foods Co
50077LAL0
702000.00000000
PA
USD
778380.75000000
0.084805227902
Long
DBT
CORP
US
N
2
2035-07-15
Fixed
5.00000000
N
N
N
N
N
N
Malaysia Government Bond
254900GSIL471JOBYY43
Malaysia Government Bond
000000000
3100000.00000000
PA
775317.13000000
0.084471443964
Long
DBT
NUSS
MY
N
2
2023-08-17
Fixed
3.80000000
N
N
N
N
N
N
HCA Inc
L3CJ6J7LJ2DX62FTXD46
HCA Inc
404119BU2
40000.00000000
PA
USD
43095.51000000
0.004695291535
Long
DBT
CORP
US
N
2
2027-02-15
Fixed
4.50000000
N
N
N
N
N
N
Bank of America Corp
9DJT3UXIJIZJI4WXO774
Bank of America Corp
06051GFX2
790000.00000000
PA
USD
839358.58000000
0.091448813024
Long
DBT
CORP
US
N
2
2026-04-19
Fixed
3.50000000
N
N
N
N
N
N
Freddie Mac
N/A
Freddie Mac Gold Pool
3132XYA72
79673.21000000
PA
USD
83105.14000000
0.009054373887
Long
ABS-MBS
USGSE
US
N
2
2048-04-01
Fixed
4.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140JXNY0
97876.74000000
PA
USD
99663.03000000
0.010858369727
Long
ABS-MBS
USGSE
US
N
2
2049-10-01
Fixed
3.00000000
N
N
N
N
N
N
New Residential Mortgage Loan Trust
N/A
New Residential Mortgage Loan Trust 2019-NQM4
64828EAB1
477221.19000000
PA
USD
474880.85000000
0.051738662230
Long
ABS-MBS
CORP
US
Y
2
2059-09-25
Variable
2.64000000
N
N
N
N
N
N
Global Medical Response, Inc.
N/A
Global Medical Response, Inc. 2018 Term Loan B1
00169QAE9
116015.68000000
PA
USD
113386.76000000
0.012353581486
Long
LON
CORP
US
N
2
2022-04-28
Floating
5.04000000
N
N
N
N
N
N
Fieldstone Mortgage Investment Corp.
549300VDVZHMT2SH4W85
Fieldstone Mortgage Investment Trust Series 2004-4
31659TCD5
349447.87000000
PA
USD
351066.62000000
0.038248999243
Long
ABS-O
CORP
US
N
2
2035-10-25
Floating
3.74000000
N
N
N
N
N
N
Air Lease Corp
5493004NW4M4P8TMMK63
Air Lease Corp
00912XAM6
714000.00000000
PA
USD
728508.74000000
0.079371631074
Long
DBT
CORP
US
N
2
2021-04-01
Fixed
3.88000000
N
N
N
N
N
N
Freddie Mac
N/A
Freddie Mac Pool
3133KGQD3
393660.17000000
PA
USD
399826.44000000
0.043561422049
Long
ABS-MBS
USGSE
US
N
2
2049-09-01
Fixed
3.00000000
N
N
N
N
N
N
Boeing Co/The
RVHJWBXLJ1RFUBSY1F30
Boeing Co/The
097023BT1
272000.00000000
PA
USD
272621.67000000
0.029702356919
Long
DBT
CORP
US
N
2
2022-03-01
Fixed
2.13000000
N
N
N
N
N
N
State Street Bank and Trust Company
571474TGEMMWANRLN572
PURCHASED SGD / SOLD USD
000000000
1.00000000
NC
5075.48000000
0.000552977753
N/A
DFE
SG
N
2
State Street Bank and Trust Company
571474TGEMMWANRLN572
764459.42000000
USD
1034520.00000000
SGD
2020-02-26
5075.48
N
N
N
IndyMac INDX Mortgage Loan Trust
N/A
IndyMac INDX Mortgage Loan Trust 2006-AR2
45661EAB0
523442.52000000
PA
USD
493261.98000000
0.053741301579
Long
ABS-MBS
CORP
US
N
2
2046-04-25
Floating
2.00000000
N
N
N
N
N
N
Volkswagen Group of America Finance LLC
5493002SQ1AVQBY41K40
Volkswagen Group of America Finance LLC
928668AP7
699000.00000000
PA
USD
722765.97000000
0.078745951523
Long
DBT
CORP
US
Y
2
2021-11-12
Fixed
4.00000000
N
N
N
N
N
N
Brazil Notas do Tesouro Nacional
254900ZFY40OYEADAP90
Brazil Notas do Tesouro Nacional Serie F
000000000
4005000.00000000
PA
1046565.15000000
0.114024140577
Long
DBT
NUSS
BR
N
2
2021-01-01
Fixed
10.00000000
N
N
N
N
N
N
DP World PLC
549300M3U2DNF4QVSS04
DP World PLC
23330JAB7
200000.00000000
PA
USD
230920.00000000
0.025158925406
Long
DBT
CORP
AE
Y
2
2048-09-25
Fixed
5.63000000
N
N
N
N
N
N
Bear Stearns Commercial Mortgage Securities Trust
N/A
Bear Stearns Commercial Mortgage Securities Trust 2007-TOP26
07388VAG3
72092.23000000
PA
USD
71531.49000000
0.007793415127
Long
ABS-MBS
CORP
US
N
2
2045-01-12
Variable
5.45000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36178WDM8
179085.14000000
PA
USD
184640.86000000
0.020116774743
Long
ABS-MBS
USGA
US
N
2
2042-10-15
Fixed
3.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31405JNS9
2097.52000000
PA
USD
2301.14000000
0.000250711110
Long
ABS-MBS
USGSE
US
N
2
2034-09-01
Fixed
5.50000000
N
N
N
N
N
N
Park Aerospace Holdings Ltd
635400CPI3EOIFF6OC33
Park Aerospace Holdings Ltd
70014LAA8
50000.00000000
PA
USD
53270.00000000
0.005803810654
Long
DBT
CORP
KY
Y
2
2022-08-15
Fixed
5.25000000
N
N
N
N
N
N
Freddie Mac
N/A
Freddie Mac Gold Pool
3132XYUX3
383484.52000000
PA
USD
400700.96000000
0.043656701727
Long
ABS-MBS
USGSE
US
N
2
2048-05-01
Fixed
4.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140J9H46
89284.41000000
PA
USD
94047.53000000
0.010246556348
Long
ABS-MBS
USGSE
US
N
2
2045-02-01
Fixed
3.50000000
N
N
N
N
N
N
United States Treasury
254900HROIFWPRGM1V77
United States Treasury Note/Bond
912828X88
1935000.00000000
PA
USD
2004721.38000000
0.218416056039
Long
DBT
UST
US
N
2
2027-05-15
Fixed
2.38000000
N
N
N
N
N
N
Danske Bank A/S
MAES062Z21O4RZ2U7M96
Danske Bank A/S
23636AAP6
200000.00000000
PA
USD
207547.65000000
0.022612488501
Long
DBT
CORP
DK
Y
2
2023-09-12
Fixed
3.88000000
N
N
N
N
N
N
Cigna Corp
549300VIWYMSIGT1U456
Cigna Corp
125523AG5
130000.00000000
PA
USD
140932.14000000
0.015354673469
Long
DBT
CORP
US
N
2
2025-11-15
Fixed
4.13000000
N
N
N
N
N
N
Altria Group Inc
XSGZFLO9YTNO9VCQV219
Altria Group Inc
02209SAH6
482000.00000000
PA
USD
775022.41000000
0.084439333975
Long
DBT
CORP
US
N
2
2039-02-06
Fixed
10.20000000
N
N
N
N
N
N
3M Co
LUZQVYP4VS22CLWDAR65
3M Co
88579YBJ9
70000.00000000
PA
USD
68964.35000000
0.007513723096
Long
DBT
CORP
US
N
2
2029-08-26
Fixed
2.38000000
N
N
N
N
N
N
GS Mortgage Securities Trust
N/A
GS Mortgage Securities Corp Trust 2019-SOHO
36257XAA9
630000.00000000
PA
USD
630023.75000000
0.068641609781
Long
ABS-MBS
CORP
US
Y
2
2036-06-15
Floating
2.64000000
N
N
N
N
N
N
Tharaldson Hotel Portfolio Trust
N/A
Tharaldson Hotel Portfolio Trust 2018-THPT
88327HAA1
243024.08000000
PA
USD
242764.48000000
0.026449391320
Long
ABS-MBS
CORP
US
Y
2
2034-11-11
Floating
2.46000000
N
N
N
N
N
N
Chicago Board of Trade
549300EX04Q2QBFQTQ27
US 2YR NOTE (CBT) MAR20 XCBT 20200331
000000000
-76.00000000
NC
USD
7986.24000000
0.000870107467
N/A
DIR
US
N
1
Chicago Board of Trade
549300EX04Q2QBFQTQ27
Short
2 Year US Treasury Note
TUH0 Comdty
2020-03-31
-16385986.24
USD
7986.24
N
N
N
Wells Fargo Mortgage Backed Securities Trust
N/A
Wells Fargo Mortgage Backed Securities 2006-AR5 Trust
94983RAA2
1079917.44000000
PA
USD
1017895.41000000
0.110900548640
Long
ABS-MBS
CORP
US
N
2
2036-04-25
Variable
5.17000000
N
N
N
N
N
N
CNH Industrial Capital LLC
549300PNSJ5B81UMVO28
CNH Industrial Capital LLC
12592BAG9
250000.00000000
PA
USD
256535.14000000
0.027949716141
Long
DBT
CORP
US
N
2
2021-10-15
Fixed
3.88000000
N
N
N
N
N
N
Bank of America, National Association
B4TYDEB6GKMZO031MB27
PURCHASED TRY / SOLD USD
000000000
1.00000000
NC
-153424.10000000
-0.01671568286
N/A
DFE
TR
N
2
Bank of America, National Association
B4TYDEB6GKMZO031MB27
6014954.10000000
USD
35352290.00000000
TRY
2020-02-26
-153424.1
N
N
N
Triton Container Finance VI LLC
N/A
Triton Container Finance VI LLC
89679HAA3
570445.09000000
PA
USD
567968.62000000
0.061880651931
Long
ABS-O
CORP
US
Y
2
2042-06-20
Fixed
3.52000000
N
N
N
N
N
N
American Airlines, Inc.
IWUQB36BXD6OWD6X4T14
American Airlines 2013-2 Class A Pass Through Trust
02377UAB0
99321.83000000
PA
USD
103509.17000000
0.011277409868
Long
DBT
CORP
US
N
2
2023-01-15
Fixed
4.95000000
N
N
N
N
N
N
Anglo American Capital PLC
TINT358G1SSHR3L3PW36
Anglo American Capital PLC
034863AS9
200000.00000000
PA
USD
207304.08000000
0.022585951347
Long
DBT
CORP
GB
Y
2
2024-09-11
Fixed
3.63000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140JWQJ2
1586858.16000000
PA
USD
1618329.95000000
0.176318389465
Long
ABS-MBS
USGSE
US
N
2
2049-10-01
Fixed
3.00000000
N
N
N
N
N
N
Ace Securities Corp.
N/A
ACE Securities Corp Mortgage Loan Trust Series 2007-D1
00083BAB1
543257.62000000
PA
USD
515537.85000000
0.056168276080
Long
ABS-MBS
CORP
US
Y
2
2038-02-25
Variable
6.34000000
N
N
N
N
N
N
American Express Co
R4PP93JZOLY261QX3811
American Express Co
025816BU2
261000.00000000
PA
USD
265936.34000000
0.028973984674
Long
DBT
CORP
US
N
2
2021-05-17
Fixed
3.38000000
N
N
N
N
N
N
Countrywide Alternative Loan Trust
N/A
Alternative Loan Trust 2007-16CB
02152AAE9
415633.13000000
PA
USD
315210.18000000
0.034342410384
Long
ABS-MBS
CORP
US
N
2
2037-08-25
Floating
2.19000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140JWQE3
297462.71000000
PA
USD
310146.65000000
0.033790734594
Long
ABS-MBS
USGSE
US
N
2
2049-10-01
Fixed
3.50000000
N
N
N
N
N
N
Fanniemae-Aces
N/A
Fannie Mae-Aces
3136B7GR6
100000.00000000
PA
USD
97956.92000000
0.010672487629
Long
ABS-MBS
USGSE
US
N
2
2040-11-25
Fixed
2.70000000
N
N
N
N
N
N
Bank of America Corp
9DJT3UXIJIZJI4WXO774
Bank of America Corp
06051GHF9
130000.00000000
PA
USD
134917.60000000
0.014699384351
Long
DBT
CORP
US
N
2
2024-03-05
Variable
3.55000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31404EGE0
15153.70000000
PA
USD
17039.08000000
0.001856421889
Long
ABS-MBS
USGSE
US
N
2
2034-02-01
Fixed
5.50000000
N
N
N
N
N
N
KazMunayGas National Co JSC
2138001H1M69RFJCSH88
KazMunayGas National Co JSC
48667QAQ8
200000.00000000
PA
USD
231540.00000000
0.025226474920
Long
DBT
CORP
KZ
Y
2
2030-04-24
Fixed
5.38000000
N
N
N
N
N
N
Domtar Corp
XYSIJOU3HNVROZWNA008
Domtar Corp
257559AK0
656000.00000000
PA
USD
760215.87000000
0.082826149169
Long
DBT
CORP
US
N
2
2044-02-15
Fixed
6.75000000
N
N
N
N
N
N
JPMorgan Chase Bank, National Association
7H6GLXDRUGQFU57RNE97
PURCHASED USD / SOLD PEN
000000000
1.00000000
NC
-32521.91000000
-0.00354328905
N/A
DFE
US
N
2
JPMorgan Chase Bank, National Association
7H6GLXDRUGQFU57RNE97
4477557.85000000
PEN
1318479.93000000
USD
2020-01-14
-32521.91
N
N
N
Anheuser-Busch Cos LLC / Anheuser-Busch InBev Worldwide Inc
N/A
Anheuser-Busch Cos LLC / Anheuser-Busch InBev Worldwide Inc
03522AAJ9
70000.00000000
PA
USD
82784.68000000
0.009019459505
Long
DBT
CORP
US
N
2
2046-02-01
Fixed
4.90000000
N
N
N
N
N
N
Goldman Sachs Group Inc/The
784F5XWPLTWKTBV3E584
Goldman Sachs Group Inc/The
38141GWL4
200000.00000000
PA
USD
212307.82000000
0.023131112968
Long
DBT
CORP
US
N
2
2028-06-05
Variable
3.69000000
N
N
N
N
N
N
JPMorgan Chase & Co
8I5DZWZKVSZI1NUHU748
JPMorgan Chase & Co
46625HJD3
691000.00000000
PA
USD
725327.17000000
0.079024996386
Long
DBT
CORP
US
N
2
2022-01-24
Fixed
4.50000000
N
N
N
N
N
N
Chicago Board of Trade
549300EX04Q2QBFQTQ27
US LONG BOND(CBT) MAR20 XCBT 20200320
000000000
242.00000000
NC
USD
-763928.98000000
-0.08323069558
N/A
DIR
US
N
1
Chicago Board of Trade
549300EX04Q2QBFQTQ27
Long
US Treasury Long Bond
USH0 Comdty
2020-03-20
38493241.48
USD
-763928.98
N
N
N
Brighthouse Financial Inc
5493003T8SZSHOGGAW52
Brighthouse Financial Inc
10922NAF0
859000.00000000
PA
USD
794747.37000000
0.086588384717
Long
DBT
CORP
US
N
2
2047-06-22
Fixed
4.70000000
N
N
N
N
N
N
Freddie Mac STRIP
S6XOOCT0IEG5ABCC6L87
Freddie Mac Strips
31325WSM5
71870.45000000
PA
USD
12327.93000000
0.001343138191
Long
ABS-MBS
USGSE
US
N
2
2046-12-15
Floating
4.26000000
N
N
N
N
N
N
Aramark Services, Inc.
42YMHYH0XMHJEXDUB065
Aramark Services, Inc. 2018 Term Loan B3
03852JAL5
48068.00000000
PA
USD
48233.35000000
0.005255063462
Long
LON
CORP
US
N
2
2025-03-11
Floating
3.55000000
N
N
N
N
N
N
Standard Chartered PLC
U4LOSYZ7YG4W3S5F2G91
Standard Chartered PLC
853254AN0
600000.00000000
PA
USD
769730.40000000
0.083862765099
Long
DBT
CORP
GB
Y
2
2044-03-26
Fixed
5.70000000
N
N
N
N
N
N
1011778 B.C. Unlimited Liability Company
549300RHSHNRWI5LLA86
1011778 B.C. Unlimited Liability Company Term Loan B4
000000000
362301.26000000
PA
USD
362659.94000000
0.039512101067
Long
LON
CORP
CA
N
2
2026-11-19
Floating
3.55000000
N
N
N
N
N
N
Dell International LLC
N/A
Dell International LLC 2019 Term Loan B
24702NBE9
227020.93000000
PA
USD
228412.57000000
0.024885738829
Long
LON
CORP
US
N
2
2025-09-19
Floating
3.80000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31418CXM1
397009.64000000
PA
USD
411571.52000000
0.044841058250
Long
ABS-MBS
USGSE
US
N
2
2048-06-01
Fixed
3.50000000
N
N
N
N
N
N
FHLMC Multifamily Structured Pass Through Certs.
N/A
Freddie Mac Multifamily Structured Pass Through Certificates
3137FHPJ6
3081000.00000000
PA
USD
3411569.12000000
0.371693283430
Long
ABS-MBS
USGSE
US
N
2
2028-07-25
Variable
3.93000000
N
N
N
N
N
N
Duke Energy Carolinas LLC
MWIUSDMN17TCR56VW396
Duke Energy Carolinas LLC
26442CAN4
100000.00000000
PA
USD
111302.21000000
0.012126468036
Long
DBT
CORP
US
N
2
2042-09-30
Fixed
4.00000000
N
N
N
N
N
N
Freddie Mac
N/A
Freddie Mac Gold Pool
3128P75U3
151227.59000000
PA
USD
162786.76000000
0.017735752433
Long
ABS-MBS
USGSE
US
N
2
2034-04-01
Fixed
4.50000000
N
N
N
N
N
N
United States Treasury
254900HROIFWPRGM1V77
United States Treasury Note/Bond
912828R36
3005000.00000000
PA
USD
2971149.07000000
0.323709153924
Long
DBT
UST
US
N
2
2026-05-15
Fixed
1.63000000
N
N
N
N
N
N
JPMorgan Chase Bank, National Association
7H6GLXDRUGQFU57RNE97
PURCHASED USD / SOLD HUF
000000000
1.00000000
NC
-72580.59000000
-0.00790771544
N/A
DFE
US
N
2
JPMorgan Chase Bank, National Association
7H6GLXDRUGQFU57RNE97
1554603000.00000000
HUF
5215416.48000000
USD
2020-03-16
-72580.59
N
N
N
JPMorgan Chase Bank, National Association
7H6GLXDRUGQFU57RNE97
Long: 0WP296593 IRS BRL R F 7.04400 2 NDFPREDISWAP / Short: 0WP296593 IRS BRL P V 00MBRCDI 1 NDFPREDISWAP
000000000
1700000.00000000
OU
Notional Amount
10921.46000000
0.001189902119
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
BRL
0
BRL
1700000
BRL
10921.46
N
N
N
FHLMC Multifamily Structured Pass Through Certs.
N/A
Freddie Mac Multifamily Structured Pass Through Certificates
3137BSP98
4098393.03000000
PA
USD
215779.57000000
0.023509363008
Long
ABS-MBS
USGSE
US
N
2
2026-08-25
Variable
0.93000000
N
N
N
N
N
N
CVS Health Corp
549300EJG376EN5NQE29
CVS Health Corp
126650CV0
260000.00000000
PA
USD
270666.38000000
0.029489326452
Long
DBT
CORP
US
N
2
2023-03-09
Fixed
3.70000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140JVBZ4
97449.00000000
PA
USD
100533.41000000
0.010953198350
Long
ABS-MBS
USGSE
US
N
2
2049-06-01
Fixed
3.50000000
N
N
N
N
N
N
Total Capital Canada Ltd
5299005IX98ZZ9LSGK46
Total Capital Canada Ltd
89153UAF8
770000.00000000
PA
USD
789314.40000000
0.085996458132
Long
DBT
CORP
CA
N
2
2023-07-15
Fixed
2.75000000
N
N
N
N
N
N
JPMorgan Chase Bank, National Association
7H6GLXDRUGQFU57RNE97
PURCHASED USD / SOLD JPY
000000000
1.00000000
NC
7183.09000000
0.000782603609
N/A
DFE
US
N
2
JPMorgan Chase Bank, National Association
7H6GLXDRUGQFU57RNE97
39894467.00000000
JPY
374560.76000000
USD
2020-01-17
7183.09
N
N
N
Thermo Fisher Scientific Inc
HCHV7422L5HDJZCRFL38
Thermo Fisher Scientific Inc
883556BN1
706000.00000000
PA
USD
725453.55000000
0.079038765591
Long
DBT
CORP
US
N
2
2023-04-15
Fixed
3.00000000
N
N
N
N
N
N
Morgan Stanley BAML Trust
N/A
Morgan Stanley Bank of America Merrill Lynch Trust 2016-C31
61766RAU0
194698.92000000
PA
USD
193434.97000000
0.021074900317
Long
ABS-MBS
CORP
US
N
2
2049-11-15
Fixed
1.51000000
N
N
N
N
N
N
Cameron LNG LLC
549300C39FLHGVD73K22
Cameron LNG LLC
133434AB6
140000.00000000
PA
USD
141090.47000000
0.015371923654
Long
DBT
CORP
US
Y
2
2035-01-15
Fixed
3.30000000
N
N
N
N
N
N
Kinder Morgan Energy Partners LP
549300PDHUGWPWGOT525
Kinder Morgan Energy Partners LP
494550BT2
30000.00000000
PA
USD
30410.66000000
0.003313266614
Long
DBT
CORP
US
N
2
2021-03-01
Fixed
3.50000000
N
N
N
N
N
N
Freddie Mac - STACR
N/A
Freddie Mac Structured Agency Credit Risk Debt Notes
3137G0HF9
190449.08000000
PA
USD
191440.48000000
0.020857598978
Long
ABS-MBS
USGSE
US
N
2
2028-05-25
Floating
4.59000000
N
N
N
N
N
N
UBS AG
BFM8T61CT2L1QCEMIK50
PURCHASED USD / SOLD CLP
000000000
1.00000000
NC
-55921.18000000
-0.00609265891
N/A
DFE
US
N
2
UBS AG
BFM8T61CT2L1QCEMIK50
1403533270.00000000
CLP
1811735.37000000
USD
2020-02-26
-55921.18
N
N
N
Freddie Mac
N/A
Freddie Mac Pool
3132AEB88
74973.28000000
PA
USD
77031.65000000
0.008392662118
Long
ABS-MBS
USGSE
US
N
2
2049-04-01
Fixed
3.50000000
N
N
N
N
N
N
Canadian Imperial Bank of Commerce
2IGI19DL77OX0HC3ZE78
Canadian Imperial Bank of Commerce
136069TY7
718000.00000000
PA
USD
728383.36000000
0.079357970819
Long
DBT
CORP
CA
N
2
2022-06-16
Fixed
2.55000000
N
N
N
N
N
N
Brookfield Finance Inc
N/A
Brookfield Finance Inc
11271RAA7
618000.00000000
PA
USD
662332.50000000
0.072161674874
Long
DBT
CORP
CA
N
2
2024-04-01
Fixed
4.00000000
N
N
N
N
N
N
Apache Corp
72ZZ1XRHOOU9P9X16K08
Apache Corp
037411BA2
130000.00000000
PA
USD
125283.68000000
0.013649760782
Long
DBT
CORP
US
N
2
2043-04-15
Fixed
4.75000000
N
N
N
N
N
N
Citibank, National Association
E57ODZWZ7FF32TWEFA76
PURCHASED INR / SOLD USD
000000000
1.00000000
NC
15019.17000000
0.001636351020
N/A
DFE
IN
N
2
Citibank, National Association
E57ODZWZ7FF32TWEFA76
1346383.72000000
USD
97074266.00000000
INR
2020-01-17
15019.17
N
N
N
Deutsche Bank Commercial Mortgage Trust
N/A
DBJPM 16-C3 Mortgage Trust
23312VAF3
240000.00000000
PA
USD
245347.25000000
0.026730786252
Long
ABS-MBS
CORP
US
N
2
2049-08-10
Fixed
2.89000000
N
N
N
N
N
N
Charter Communications Operating LLC / Charter Communications Operating Capital
N/A
Charter Communications Operating LLC / Charter Communications Operating Capital
161175BC7
593000.00000000
PA
USD
772929.70000000
0.084211331486
Long
DBT
CORP
US
N
2
2055-10-23
Fixed
6.83000000
N
N
N
N
N
N
United Mexican States
254900EGTWEU67VP6075
Mexico Government International Bond
91086QAV0
30000.00000000
PA
USD
39000.00000000
0.004249082326
Long
DBT
NUSS
MX
N
2
2040-01-11
Fixed
6.05000000
N
N
N
N
N
N
GAZPROM (GAZ CAPITAL SA)
213800568PRHV2JR9650
Gazprom PJSC Via Gaz Capital SA
368266AF9
672000.00000000
PA
USD
729120.00000000
0.079438228358
Long
DBT
CORP
LU
Y
2
2022-03-07
Fixed
6.51000000
N
N
N
N
N
N
Regionalcare Hospital Partners Holdings, Inc.
N/A
RegionalCare Hospital Partners Holdings, Inc. 2018 Term Loan B
75915TAD4
338848.12000000
PA
USD
341304.77000000
0.037185437594
Long
LON
CORP
US
N
2
2025-11-17
Floating
8.25000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140FXF98
76092.67000000
PA
USD
81523.55000000
0.008882058346
Long
ABS-MBS
USGSE
US
N
2
2057-06-01
Fixed
4.00000000
N
N
N
N
N
N
Diageo Investment Corp
S4G8DPIPDVCF6CB81Z61
Diageo Investment Corp
25245BAB3
90000.00000000
PA
USD
91776.72000000
0.009999149716
Long
DBT
CORP
US
N
2
2022-05-11
Fixed
2.88000000
N
N
N
N
N
N
Mexican Bonos
254900EGTWEU67VP6075
Mexican Bonos
000000000
11350000.00000000
PA
681324.16000000
0.074230831973
Long
DBT
NUSS
MX
N
2
2024-12-05
Fixed
10.00000000
N
N
N
N
N
N
Occidental Petroleum Corp
IM7X0T3ECJW4C1T7ON55
Occidental Petroleum Corp
674599CS2
200000.00000000
PA
USD
203885.05000000
0.022213445195
Long
DBT
CORP
US
N
2
2029-08-15
Fixed
3.50000000
N
N
N
N
N
N
Lloyds Banking Group PLC
549300PPXHEU2JF0AM85
Lloyds Banking Group PLC
539439AT6
400000.00000000
PA
USD
447570.12000000
0.048763135559
Long
DBT
CORP
GB
N
2
2028-08-16
Fixed
4.55000000
N
N
N
N
N
N
Chicago Board of Trade
549300EX04Q2QBFQTQ27
US 10YR FUT OPTN Mar20P 128
000000000
-12.00000000
NC
USD
-6937.50000000
-0.00075584637
N/A
DIR
US
N
1
Chicago Board of Trade
549300EX04Q2QBFQTQ27
Put
Written
Chicago Board Of Trade
549300EX04Q2QBFQTQ27
Chicago Board Of Trade
549300EX04Q2QBFQTQ27
10 Year US Treasury Note Future
N/A
12000.00000000
NC
N/A
-6937.50000000
0.00000000
DIR
US
Short
10 Year US Treasury Note
TYH0 Comdty
2020-03-20
12000.00000000
USD
1000.00000000
128
USD
2020-02-21
XXXX
-1708.26
N
N
N
Republic of Poland
259400R9L8QEP0TPXS31
Republic of Poland Government International Bond
857524AA0
550000.00000000
PA
USD
572803.00000000
0.062407361639
Long
DBT
NUSS
PL
N
2
2021-04-21
Fixed
5.13000000
N
N
N
N
N
N
Alibaba Group Holding Ltd
5493001NTNQJDH60PM02
Alibaba Group Holding Ltd
01609WAP7
616000.00000000
PA
USD
628178.01000000
0.068440514878
Long
DBT
CORP
KY
N
2
2021-11-28
Fixed
3.13000000
N
N
N
N
N
N
State Street Bank and Trust Company
571474TGEMMWANRLN572
PURCHASED USD / SOLD RUB
000000000
1.00000000
NC
-10508.07000000
-0.00114486293
N/A
DFE
US
N
2
State Street Bank and Trust Company
571474TGEMMWANRLN572
74624520.00000000
RUB
1184892.35000000
USD
2020-02-26
-10508.07
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138EQHT2
293386.50000000
PA
USD
306080.37000000
0.033347710017
Long
ABS-MBS
USGSE
US
N
2
2045-10-01
Fixed
3.50000000
N
N
N
N
N
N
United States Treasury
254900HROIFWPRGM1V77
United States Treasury Bill
912796WM7
500000.00000000
PA
USD
499905.21000000
0.054465086994
Long
STIV
UST
US
N
2
2020-01-07
None
0.00000000
N
N
N
N
N
N
Verizon Communications Inc
2S72QS2UO2OESLG6Y829
Verizon Communications Inc
92343VDY7
40000.00000000
PA
USD
44359.85000000
0.004833042426
Long
DBT
CORP
US
N
2
2027-03-16
Fixed
4.13000000
N
N
N
N
N
N
General Motors Financial Co Inc
5493008B6JBRUJ90QL97
General Motors Financial Co Inc
37045XAQ9
20000.00000000
PA
USD
20719.85000000
0.002257444831
Long
DBT
CORP
US
N
2
2021-09-25
Fixed
4.38000000
N
N
N
N
N
N
The Montreal Exchange / Bourse De Montreal
N/A
CAN 10YR BOND FUT MAR20 XMOD 20200320
000000000
206.00000000
NC
-397230.76000000
-0.04327862056
N/A
DIR
CA
N
1
The Montreal Exchange / Bourse De Montreal
N/A
Long
Canadian Government Bond
CNH0 Comdty
2020-03-20
28836704
CAD
-397230.76
N
N
N
Boeing Co/The
RVHJWBXLJ1RFUBSY1F30
Boeing Co/The
097023CQ6
40000.00000000
PA
USD
42395.54000000
0.004619029224
Long
DBT
CORP
US
N
2
2050-02-01
Fixed
3.75000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140JNA26
921437.42000000
PA
USD
950905.95000000
0.103601991446
Long
ABS-MBS
USGSE
US
N
2
2049-04-01
Fixed
3.50000000
N
N
N
N
N
N
Cencosud SA
549300NLTGCFV7482429
Cencosud SA
15132HAA9
264000.00000000
PA
USD
269925.28000000
0.029408582993
Long
DBT
CORP
CL
Y
2
2021-01-20
Fixed
5.50000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Federal Home Loan Mortgage Corp
3134GT6K4
290000.00000000
PA
USD
289918.72000000
0.031586884853
Long
DBT
USGSE
US
N
2
2020-09-10
Floating
1.58000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140X5JV6
900000.00000000
PA
USD
920072.98000000
0.100242713807
Long
ABS-MBS
USGSE
US
N
2
2049-12-01
Fixed
3.00000000
N
N
N
N
N
N
Allergan Funding SCS
222100FLFVOSKCBCAR54
Allergan Funding SCS
00507UAT8
10000.00000000
PA
USD
10908.02000000
0.001188437820
Long
DBT
CORP
LU
N
2
2035-03-15
Fixed
4.55000000
N
N
N
N
N
N
Altria Group Inc
XSGZFLO9YTNO9VCQV219
Altria Group Inc
02209SBF9
100000.00000000
PA
USD
120905.02000000
0.013172702145
Long
DBT
CORP
US
N
2
2049-02-14
Fixed
5.95000000
N
N
N
N
N
N
McDonald's Corp
UE2136O97NLB5BYP9H04
McDonald's Corp
58013MFB5
40000.00000000
PA
USD
42686.21000000
0.004650697961
Long
DBT
CORP
US
N
2
2027-03-01
Fixed
3.50000000
N
N
N
N
N
N
Sprint Capital Corp
549300L17W0GQBR1PO80
Sprint Capital Corp
852060AT9
260000.00000000
PA
USD
315575.00000000
0.034382157826
Long
DBT
CORP
US
N
2
2032-03-15
Fixed
8.75000000
N
N
N
N
N
N
Occidental Petroleum Corp
IM7X0T3ECJW4C1T7ON55
Occidental Petroleum Corp
674599DE2
30000.00000000
PA
USD
40222.18000000
0.004382239850
Long
DBT
CORP
US
N
2
2031-09-15
Fixed
7.88000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36179T4P7
550071.73000000
PA
USD
571425.37000000
0.062257267708
Long
ABS-MBS
USGA
US
N
2
2048-07-20
Fixed
4.00000000
N
N
N
N
N
N
Reynolds American Inc
02S2RPPVO9RP4NEU2740
Reynolds American Inc
761713BE5
40000.00000000
PA
USD
40181.94000000
0.004377855669
Long
DBT
CORP
US
N
2
2020-06-12
Fixed
3.25000000
N
N
N
N
N
N
Bristol-Myers Squibb Co
HLYYNH7UQUORYSJQCN42
Bristol-Myers Squibb Co
110122BF4
70000.00000000
PA
USD
70415.24000000
0.007671798764
Long
DBT
CORP
US
Y
2
2021-08-15
Fixed
2.25000000
N
N
N
N
N
N
Merrill Lynch Mortgage Investors Trust
N/A
Merrill Lynch Mortgage Investors Trust Series 2006-FF1
59023WAD0
790000.00000000
PA
USD
788259.00000000
0.085881471427
Long
ABS-MBS
CORP
US
N
2
2036-08-25
Floating
2.16000000
N
N
N
N
N
N
United Technologies Corp
I07WOS4YJ0N7YRFE7309
United Technologies Corp
913017CY3
150000.00000000
PA
USD
168834.21000000
0.018394627124
Long
DBT
CORP
US
N
2
2028-11-16
Fixed
4.13000000
N
N
N
N
N
N
JPMorgan Chase Bank, National Association
7H6GLXDRUGQFU57RNE97
PURCHASED CZK / SOLD USD
000000000
1.00000000
NC
775.72000000
0.000084515336
N/A
DFE
CZ
N
2
JPMorgan Chase Bank, National Association
7H6GLXDRUGQFU57RNE97
53490.84000000
USD
1230000.00000000
CZK
2020-03-16
775.72
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140QBQ84
98743.79000000
PA
USD
100229.52000000
0.010920089282
Long
ABS-MBS
USGSE
US
N
2
2049-09-01
Fixed
3.00000000
N
N
N
N
N
N
Berkshire Hathaway Energy Co
549300JD0S5IZJE9LY15
Berkshire Hathaway Energy Co
084659AK7
245000.00000000
PA
USD
250598.77000000
0.027302943709
Long
DBT
CORP
US
N
2
2023-01-15
Fixed
2.80000000
N
N
N
N
N
N
Singapore Government
549300ZSV6VOGFH1ER70
Singapore Government Bond
000000000
1199000.00000000
PA
887114.69000000
0.096651880793
Long
DBT
NUSS
SG
N
2
2021-10-01
Fixed
1.25000000
N
N
N
N
N
N
Bank of America, National Association
B4TYDEB6GKMZO031MB27
PURCHASED USD / SOLD SGD
000000000
1.00000000
NC
-48831.03000000
-0.00532018119
N/A
DFE
US
N
2
Bank of America, National Association
B4TYDEB6GKMZO031MB27
5995510.00000000
SGD
4410970.81000000
USD
2020-02-26
-48831.03
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31418A6J2
139723.68000000
PA
USD
146211.32000000
0.015929844506
Long
ABS-MBS
USGSE
US
N
2
2034-02-01
Fixed
3.50000000
N
N
N
N
N
N
Morgan Stanley Capital I Trust
N/A
Morgan Stanley Capital I Trust 2015-MS1
61765DAU2
200000.00000000
PA
USD
213082.64000000
0.023215530249
Long
ABS-MBS
CORP
US
N
2
2048-05-15
Variable
3.78000000
N
N
N
N
N
N
Citibank, National Association
E57ODZWZ7FF32TWEFA76
PURCHASED USD / SOLD NOK
000000000
1.00000000
NC
-145841.84000000
-0.01588958935
N/A
DFE
US
N
2
Citibank, National Association
E57ODZWZ7FF32TWEFA76
49956580.00000000
NOK
5544945.88000000
USD
2020-01-22
-145841.84
N
N
N
Freeport-McMoRan Inc
549300IRDTHJQ1PVET45
Freeport-McMoRan Inc
35671DBL8
10000.00000000
PA
USD
10570.80000000
0.001151697422
Long
DBT
CORP
US
N
2
2024-11-14
Fixed
4.55000000
N
N
N
N
N
N
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
90DAY EUR FUTR DEC20 XCME 20201214
000000000
143.00000000
NC
USD
11929.15000000
0.001299690780
N/A
DIR
US
N
1
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
Long
Eurodollar Time Deposit
EDZ0 Comdty
2020-12-14
35158920.85
USD
11929.15
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140JSZ28
506992.33000000
PA
USD
522361.61000000
0.056911730388
Long
ABS-MBS
USGSE
US
N
2
2049-05-01
Fixed
3.50000000
N
N
N
N
N
N
Verizon Communications Inc
2S72QS2UO2OESLG6Y829
Verizon Communications Inc
92343VES9
120000.00000000
PA
USD
132329.44000000
0.014417402174
Long
DBT
CORP
US
N
2
2029-02-08
Fixed
3.88000000
N
N
N
N
N
N
Bank of Montreal
NQQ6HPCNCCU6TUTQYE16
PURCHASED JPY / SOLD USD
000000000
1.00000000
NC
-8639.51000000
-0.00094128177
N/A
DFE
JP
N
2
Bank of Montreal
NQQ6HPCNCCU6TUTQYE16
4550020.13000000
USD
491500000.00000000
JPY
2020-03-18
-8639.51
N
N
N
Mexican Bonos
254900EGTWEU67VP6075
Mexican Bonos
000000000
35397000.00000000
PA
1944246.80000000
0.211827300421
Long
DBT
NUSS
MX
N
2
2027-06-03
Fixed
7.50000000
N
N
N
N
N
N
Asset Backed Securities Corp Home Equity Ln Trst
N/A
Asset Backed Securities Corp Home Equity Loan Trust Series RFC 2007-HE1
04544RAC9
464065.71000000
PA
USD
449092.58000000
0.048929008838
Long
ABS-MBS
CORP
US
N
2
2036-12-25
Floating
1.93000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31410FYQ2
13314.07000000
PA
USD
14956.14000000
0.001629483849
Long
ABS-MBS
USGSE
US
N
2
2037-03-01
Fixed
5.50000000
N
N
N
N
N
N
ERP Operating LP
DX5HQV5MLU50FEWZ5072
ERP Operating LP
26884AAZ6
686000.00000000
PA
USD
716547.58000000
0.078068452778
Long
DBT
US
N
2
2021-12-15
Fixed
4.63000000
N
N
N
N
N
N
Kinder Morgan Inc/DE
549300WR7IX8XE0TBO16
Kinder Morgan Inc/DE
49456BAJ0
30000.00000000
PA
USD
33715.76000000
0.003673359998
Long
DBT
CORP
US
N
2
2046-02-15
Fixed
5.05000000
N
N
N
N
N
N
Canadian Government
4BFD7AQU0A75QLAHK410
Canadian Government Bond
135087F82
1968000.00000000
PA
1439668.80000000
0.156853109083
Long
DBT
NUSS
CA
N
2
2027-06-01
Fixed
1.00000000
N
N
N
N
N
N
WAMU Mortgage Pass-Through Certificates
N/A
WaMu Mortgage Pass-Through Certificates Series 2006-AR1 Trust
92925CCE0
345291.88000000
PA
USD
350472.57000000
0.038184277003
Long
ABS-MBS
CORP
US
N
2
2046-01-25
Floating
3.31000000
N
N
N
N
N
N
COMM Mortgage Trust
N/A
COMM 2016-GCT Mortgage Trust
12594JAA3
140000.00000000
PA
USD
140295.18000000
0.015285276149
Long
ABS-MBS
CORP
US
Y
2
2029-08-10
Fixed
2.68000000
N
N
N
N
N
N
WILLIAMS COS INC
D71FAKCBLFS2O0RBPG08
Williams Cos Inc/The
969457BD1
130000.00000000
PA
USD
173119.72000000
0.018861536990
Long
DBT
CORP
US
N
2
2031-06-15
Fixed
7.75000000
N
N
N
N
N
N
Exelon Generation Co LLC
S2PEWKCZFFECR4533P43
Exelon Generation Co LLC
30161MAN3
615000.00000000
PA
USD
702874.74000000
0.076578785527
Long
DBT
CORP
US
N
2
2042-06-15
Fixed
5.60000000
N
N
N
N
N
N
Delhaize America LLC
9VB3APGHFWSQ4ECW4316
Delhaize America LLC
246688AF2
154000.00000000
PA
USD
227922.08000000
0.024832299537
Long
DBT
CORP
US
N
2
2031-04-15
Fixed
9.00000000
N
N
N
N
N
N
FHLMC Multifamily Structured Pass Through Certs.
N/A
Freddie Mac Multifamily Structured Pass Through Certificates
3137FCJK1
329000.00000000
PA
USD
350006.42000000
0.038133489574
Long
ABS-MBS
USGSE
US
N
2
2027-11-25
Variable
3.30000000
N
N
N
N
N
N
ABBVIE INC
FR5LCKFTG8054YNNRU85
AbbVie Inc
00287YBW8
380000.00000000
PA
USD
386336.27000000
0.042091656845
Long
DBT
CORP
US
Y
2
2029-11-21
Fixed
3.20000000
N
N
N
N
N
N
Bank of America Corp
9DJT3UXIJIZJI4WXO774
Bank of America Corp
06051GEU9
460000.00000000
PA
USD
475464.29000000
0.051802228501
Long
DBT
CORP
US
N
2
2023-01-11
Fixed
3.30000000
N
N
N
N
N
N
Devon Energy Corp
54930042348RKR3ZPN35
Devon Energy Corp
25179MAU7
180000.00000000
PA
USD
208332.66000000
0.022698015991
Long
DBT
CORP
US
N
2
2045-06-15
Fixed
5.00000000
N
N
N
N
N
N
Woori Bank
549300VUVMRL6RE7R376
Woori Bank
98105FAB0
681000.00000000
PA
USD
709980.46000000
0.077352959610
Long
DBT
CORP
KR
Y
2
2021-04-13
Fixed
5.88000000
N
N
N
N
N
N
Enterprise Products Operating LLC
5493004LGN656HWLDA30
Enterprise Products Operating LLC
29379VAM5
20000.00000000
PA
USD
28946.06000000
0.003153697230
Long
DBT
CORP
US
N
2
2038-04-15
Fixed
7.55000000
N
N
N
N
N
N
Precision Castparts Corp
0XOOAY5P5J7Q734SEC89
Precision Castparts Corp
740189AG0
240000.00000000
PA
USD
244203.57000000
0.026606181368
Long
DBT
CORP
US
N
2
2023-01-15
Fixed
2.50000000
N
N
N
N
N
N
Citigroup Global Markets Inc.
MBNUM2BPBDO7JBLYG310
Long: 0WP296510 IRS BRL R F 7.02400 2 NDFPREDISWAP / Short: 0WP296510 IRS BRL P V 00MBRCDI 1 NDFPREDISWAP
000000000
2100000.00000000
OU
Notional Amount
13015.85000000
0.001418087646
N/A
DIR
US
N
2
Citigroup Global Markets Inc.
MBNUM2BPBDO7JBLYG310
Brazil Cetip DI Interbank Deposit Rate
BZDIOVRA Index
Y
2027-01-04
0
BRL
0
BRL
2100000
BRL
13015.85
N
N
N
Petroleos Mexicanos
549300CAZKPF4HKMPX17
Petroleos Mexicanos
71654QCB6
220000.00000000
PA
USD
241571.00000000
0.026319360685
Long
DBT
CORP
MX
N
2
2026-08-04
Fixed
6.88000000
N
N
N
N
N
N
Time Warner Cable LLC
549300U5NFR7S6E3GM41
Time Warner Cable LLC
88732JAX6
150000.00000000
PA
USD
152400.49000000
0.016604159708
Long
DBT
CORP
US
N
2
2021-02-15
Fixed
4.13000000
N
N
N
N
N
N
Wells Fargo & Co
PBLD0EJDB5FWOLXP3B76
Wells Fargo & Co
95000U2G7
260000.00000000
PA
USD
261410.27000000
0.028480865596
Long
DBT
CORP
US
N
2
2030-10-30
Variable
2.88000000
N
N
N
N
N
N
GLP Capital LP / GLP Financing II Inc
N/A
GLP Capital LP / GLP Financing II Inc
361841AH2
653000.00000000
PA
USD
721826.20000000
0.078643562802
Long
DBT
CORP
US
N
2
2026-04-15
Fixed
5.38000000
N
N
N
N
N
N
Citibank, National Association
E57ODZWZ7FF32TWEFA76
PURCHASED USD / SOLD PHP
000000000
1.00000000
NC
-1431.83000000
-0.00015599906
N/A
DFE
US
N
2
Citibank, National Association
E57ODZWZ7FF32TWEFA76
223591340.00000000
PHP
4401837.58000000
USD
2020-02-26
-1431.83
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140K5G35
200000.00000000
PA
USD
203009.37000000
0.022118039133
Long
ABS-MBS
USGSE
US
N
2
2049-12-01
Fixed
3.00000000
N
N
N
N
N
N
Diamondback Energy Inc
549300R22LSX6OHWEN64
Diamondback Energy Inc
25278XAH2
30000.00000000
PA
USD
31495.05000000
0.003431411803
Long
DBT
CORP
US
N
2
2025-05-31
Fixed
5.38000000
N
N
N
N
N
N
Cintas Corp No 2
549300QVUQTTKMTE0G41
Cintas Corp No 2
17252MAN0
70000.00000000
PA
USD
75859.27000000
0.008264930345
Long
DBT
CORP
US
N
2
2027-04-01
Fixed
3.70000000
N
N
N
N
N
N
Freddie Mac
N/A
Freddie Mac Gold Pool
31307PBS7
53751.55000000
PA
USD
55896.01000000
0.006089916621
Long
ABS-MBS
USGSE
US
N
2
2030-09-01
Fixed
3.50000000
N
N
N
N
N
N
BAT Capital Corp
2138005GYEXN7XRHFA84
BAT Capital Corp
05526DBF1
160000.00000000
PA
USD
160446.02000000
0.017480726870
Long
DBT
CORP
US
N
2
2047-08-15
Fixed
4.54000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140HVEF7
100000.00000000
PA
USD
102096.31000000
0.011123477600
Long
ABS-MBS
USGSE
US
N
2
2031-08-01
Fixed
2.81000000
N
N
N
N
N
N
Freddie Mac - STACR
N/A
Freddie Mac Structured Agency Credit Risk Debt Notes
3137G0PR4
510000.00000000
PA
USD
588646.39000000
0.064133512112
Long
ABS-MBS
USGSE
US
N
2
2029-10-25
Floating
6.94000000
N
N
N
N
N
N
Wells Fargo & Co
PBLD0EJDB5FWOLXP3B76
Wells Fargo & Co
94974BGQ7
250000.00000000
PA
USD
304916.66000000
0.033220922848
Long
DBT
CORP
US
N
2
2045-11-17
Fixed
4.90000000
N
N
N
N
N
N
Intel Corp
KNX4USFCNGPY45LOCE31
Intel Corp
458140AS9
20000.00000000
PA
USD
21612.53000000
0.002354703057
Long
DBT
CORP
US
N
2
2025-07-29
Fixed
3.70000000
N
N
N
N
N
N
Abbott Laboratories
HQD377W2YR662HK5JX27
Abbott Laboratories
002824BF6
51000.00000000
PA
USD
55688.70000000
0.006067330024
Long
DBT
CORP
US
N
2
2026-11-30
Fixed
3.75000000
N
N
N
N
N
N
Goldman Sachs Group Inc/The
784F5XWPLTWKTBV3E584
Goldman Sachs Group Inc/The
38141GGQ1
380000.00000000
PA
USD
398709.67000000
0.043439749031
Long
DBT
CORP
US
N
2
2021-07-27
Fixed
5.25000000
N
N
N
N
N
N
Fannie Mae - CAS
N/A
Fannie Mae Connecticut Avenue Securities
30711XAP9
766511.68000000
PA
USD
841849.81000000
0.091720234598
Long
ABS-MBS
USGSE
US
N
2
2024-11-25
Floating
6.69000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140FXEF5
1042514.09000000
PA
USD
1117265.25000000
0.121726975074
Long
ABS-MBS
USGSE
US
N
2
2056-08-01
Fixed
4.00000000
N
N
N
N
N
N
Bank of America, National Association
B4TYDEB6GKMZO031MB27
PURCHASED MXN / SOLD USD
000000000
1.00000000
NC
44399.83000000
0.004837398280
N/A
DFE
MX
N
2
Bank of America, National Association
B4TYDEB6GKMZO031MB27
1750691.04000000
USD
34214650.00000000
MXN
2020-02-26
44399.83
N
N
N
Credit Suisse Mortgage Trust
N/A
Credit Suisse Mortgage Capital Certificates 2019-ICE4
12653VAJ5
1282000.00000000
PA
USD
1284007.87000000
0.139893721734
Long
ABS-MBS
CORP
US
Y
2
2036-05-15
Floating
3.89000000
N
N
N
N
N
N
Freddie Mac STRIP
S6XOOCT0IEG5ABCC6L87
Freddie Mac Strips
31325VKQ6
154791.08000000
PA
USD
30593.42000000
0.003333178467
Long
ABS-MBS
USGSE
US
N
2
2044-08-15
Floating
4.36000000
N
N
N
N
N
N
State Street Bank and Trust Company
571474TGEMMWANRLN572
PURCHASED KRW / SOLD USD
000000000
1.00000000
NC
9515.40000000
0.001036710717
N/A
DFE
KR
N
2
State Street Bank and Trust Company
571474TGEMMWANRLN572
953451.71000000
USD
1111915380.00000000
KRW
2020-02-26
9515.4
N
N
N
JPMorgan Chase Bank, National Association
7H6GLXDRUGQFU57RNE97
PURCHASED USD / SOLD RUB
000000000
1.00000000
NC
-13076.11000000
-0.00142465302
N/A
DFE
US
N
2
JPMorgan Chase Bank, National Association
7H6GLXDRUGQFU57RNE97
22966714.40000000
RUB
356603.85000000
USD
2020-01-17
-13076.11
N
N
N
Anheuser-Busch InBev Finance Inc
5493000EYEKDT0FBSQ91
Anheuser-Busch InBev Finance Inc
035242AL0
180000.00000000
PA
USD
186352.12000000
0.020303217938
Long
DBT
CORP
US
N
2
2023-02-01
Fixed
3.30000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140JGLX1
182981.66000000
PA
USD
195461.65000000
0.021295708783
Long
ABS-MBS
USGSE
US
N
2
2048-12-01
Fixed
5.00000000
N
N
N
N
N
N
Freddie Mac
N/A
Freddie Mac Gold Pool
3128M6R34
294422.96000000
PA
USD
333069.14000000
0.036288158879
Long
ABS-MBS
USGSE
US
N
2
2038-09-01
Fixed
5.50000000
N
N
N
N
N
N
Fanniemae-Aces
N/A
Fannie Mae-Aces
3136B4KB3
150000.00000000
PA
USD
158720.22000000
0.017292699530
Long
ABS-MBS
USGSE
US
N
2
2029-01-25
Fixed
3.27000000
N
N
N
N
N
N
Boardwalk Pipelines LP
549300W6AQ2GHHCGL606
Boardwalk Pipelines LP
096630AG3
710000.00000000
PA
USD
758465.77000000
0.082635474324
Long
DBT
CORP
US
N
2
2029-05-03
Fixed
4.80000000
N
N
N
N
N
N
United States Treasury
254900HROIFWPRGM1V77
United States Treasury Note/Bond
912828G38
390000.00000000
PA
USD
399842.11000000
0.043563129308
Long
DBT
UST
US
N
2
2024-11-15
Fixed
2.25000000
N
N
N
N
N
N
Ford Motor Credit Co LLC
UDSQCVRUX5BONN0VY111
Ford Motor Credit Co LLC
345397VU4
200000.00000000
PA
USD
209333.54000000
0.022807062696
Long
DBT
CORP
US
N
2
2021-08-02
Fixed
5.88000000
N
N
N
N
N
N
Comcast Corp
51M0QTTNCGUN7KFCFZ59
Comcast Corp
20030NCR0
260000.00000000
PA
USD
277014.38000000
0.030180946314
Long
DBT
CORP
US
N
2
2024-04-15
Fixed
3.70000000
N
N
N
N
N
N
Enterprise Products Operating LLC
5493004LGN656HWLDA30
Enterprise Products Operating LLC
29379VBA0
20000.00000000
PA
USD
23197.55000000
0.002527392300
Long
DBT
CORP
US
N
2
2044-03-15
Fixed
4.85000000
N
N
N
N
N
N
FHLMC Multifamily Structured Pass Through Certs.
N/A
Freddie Mac Multifamily Structured Pass Through Certificates
3137FK4M5
586000.00000000
PA
USD
654835.90000000
0.071344914090
Long
ABS-MBS
USGSE
US
N
2
2028-10-25
Variable
4.06000000
N
N
N
N
N
N
LyondellBasell Industries NV
BN6WCCZ8OVP3ITUUVN49
LyondellBasell Industries NV
552081AK7
198000.00000000
PA
USD
223268.48000000
0.024325285960
Long
DBT
CORP
NL
N
2
2024-04-15
Fixed
5.75000000
N
N
N
N
N
N
Verizon Communications Inc
2S72QS2UO2OESLG6Y829
Verizon Communications Inc
92343VDU5
80000.00000000
PA
USD
100247.60000000
0.010922059113
Long
DBT
CORP
US
N
2
2037-03-16
Fixed
5.25000000
N
N
N
N
N
N
United States Treasury
254900HROIFWPRGM1V77
United States Treasury Note/Bond
912810SE9
480000.00000000
PA
USD
578525.55000000
0.063030838205
Long
DBT
UST
US
N
2
2048-11-15
Fixed
3.38000000
N
N
N
N
N
N
Wells Fargo Commercial Mortgage Trust
N/A
Wells Fargo Commercial Mortgage Trust 2017-RB1
95000TBV7
1958514.40000000
PA
USD
146981.41000000
0.016013746450
Long
ABS-MBS
CORP
US
N
2
2050-03-15
Variable
1.27000000
N
N
N
N
N
N
Royal Bank of Canada
ES7IP3U3RHIGC71XBU11
PURCHASED JPY / SOLD USD
000000000
1.00000000
NC
-9376.76000000
-0.00102160577
N/A
DFE
JP
N
2
Royal Bank of Canada
ES7IP3U3RHIGC71XBU11
4550757.38000000
USD
491500000.00000000
JPY
2020-03-18
-9376.76
N
N
N
CNO Financial Group, Inc.
N/A
CNO Financial Group, Inc.
393505B27
1389469.34000000
PA
USD
1341104.14000000
0.146114407677
Long
ABS-O
CORP
US
N
2
2028-12-01
Variable
6.94000000
N
N
N
N
N
N
SERVICE PROPERTIES TRUST
529900IS770AG1K9QG27
Service Properties Trust
44106MAY8
765000.00000000
PA
USD
749963.08000000
0.081709099200
Long
DBT
US
N
2
2030-02-15
Fixed
4.38000000
N
N
N
N
N
N
United States Treasury
254900HROIFWPRGM1V77
United States Treasury Note/Bond
912828VF4
6121000.00000000
PA
USD
6113826.92000000
0.666106510608
Long
DBT
UST
US
N
2
2020-05-31
Fixed
1.38000000
N
N
N
N
N
N
United States Treasury
254900HROIFWPRGM1V77
United States Treasury Note/Bond
912828YU8
1340000.00000000
PA
USD
1321430.16000000
0.143970911248
Long
DBT
UST
US
N
2
2026-11-30
Fixed
1.63000000
N
N
N
N
N
N
Federal Home Loan Banks
2549001DPIFGXC1TOL40
Federal Home Loan Banks
3130ADN32
70000.00000000
PA
USD
70036.87000000
0.007630575039
Long
DBT
USGSE
US
N
2
2020-02-11
Fixed
2.13000000
N
N
N
N
N
N
Morgan Stanley Capital I Trust
IGJSJL3JD5P30I6NJZ34
Morgan Stanley Capital I Trust 2018-SUN
61691MAN7
1955000.00000000
PA
USD
1954979.86000000
0.212996676205
Long
ABS-MBS
CORP
US
Y
2
2035-07-15
Floating
3.69000000
N
N
N
N
N
N
Apache Corp
72ZZ1XRHOOU9P9X16K08
Apache Corp
037411AW5
140000.00000000
PA
USD
142197.39000000
0.015492523506
Long
DBT
CORP
US
N
2
2040-09-01
Fixed
5.10000000
N
N
N
N
N
N
Boyd Gaming Corporation
254900787YGRYS2A1Z35
Boyd Gaming Corporation Term Loan B3
10330JAU2
6493.56000000
PA
USD
6532.33000000
0.000711702768
Long
LON
CORP
US
N
2
2023-09-15
Floating
3.85000000
N
N
N
N
N
N
Teva Pharmaceutical Finance Co BV
549300Q840R30TDKVK53
Teva Pharmaceutical Finance Co BV
88165FAG7
10000.00000000
PA
USD
9550.00000000
0.001040480415
Long
DBT
CORP
CW
N
2
2022-12-18
Fixed
2.95000000
N
N
N
N
N
N
Freddie Mac
N/A
Freddie Mac Pool
3132A5HC2
335465.67000000
PA
USD
352761.83000000
0.038433693778
Long
ABS-MBS
USGSE
US
N
2
2047-07-01
Fixed
4.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140HTWQ8
49639.02000000
PA
USD
52258.26000000
0.005693580743
Long
ABS-MBS
USGSE
US
N
2
2029-05-01
Fixed
3.16000000
N
N
N
N
N
N
Unilever Capital Corp
MYF1DAS6G5WY7PRWCU78
Unilever Capital Corp
904764AW7
504000.00000000
PA
USD
507441.36000000
0.055286156783
Long
DBT
CORP
US
N
2
2022-05-05
Fixed
2.20000000
N
N
N
N
N
N
Republic of Indonesia
529900FWX0GRR7WG5W79
Indonesia Treasury Bond
000000000
13960000000.00000000
PA
1071951.02000000
0.116789952155
Long
DBT
NUSS
ID
N
2
2024-05-15
Fixed
8.13000000
N
N
N
N
N
N
CAMB Commercial Mortgage Trust
N/A
CAMB Commercial Mortgage Trust 2019-LIFE
12482HAQ7
987000.00000000
PA
USD
991637.81000000
0.108039761355
Long
ABS-MBS
CORP
US
Y
2
2037-12-15
Floating
4.29000000
N
N
N
N
N
N
FHLMC Multifamily Structured Pass Through Certs.
N/A
Freddie Mac Multifamily Structured Pass Through Certificates
3137BJP64
400000.00000000
PA
USD
419642.68000000
0.045720417822
Long
ABS-MBS
USGSE
US
N
2
2025-03-25
Fixed
3.21000000
N
N
N
N
N
N
Duke Energy Carolinas LLC
MWIUSDMN17TCR56VW396
Duke Energy Carolinas LLC
26442CAH7
30000.00000000
PA
USD
38760.63000000
0.004223002766
Long
DBT
CORP
US
N
2
2040-02-15
Fixed
5.30000000
N
N
N
N
N
N
Freddie Mac
N/A
Freddie Mac Pool
3133KGTR9
296887.87000000
PA
USD
302775.97000000
0.032987692898
Long
ABS-MBS
USGSE
US
N
2
2049-10-01
Fixed
3.00000000
N
N
N
N
N
N
Citigroup Inc
6SHGI4ZSSLCXXQSBB395
Citigroup Inc
172967JM4
280000.00000000
PA
USD
305550.00000000
0.033289925766
Long
DBT
CORP
US
N
2
2025-05-15
Variable
5.95000000
N
N
N
N
N
N
Credit Suisse Mortgage Trust
N/A
CSMC Trust 2018-J1
12653TAB7
1079959.45000000
PA
USD
1100961.42000000
0.119950659282
Long
ABS-MBS
CORP
US
Y
2
2048-02-25
Variable
3.50000000
N
N
N
N
N
N
Norwegian Government
549300O6E2WAK3IAXE34
Norway Government Bond
000000000
2270000.00000000
PA
263454.76000000
0.028703614476
Long
DBT
NUSS
NO
Y
2
2027-02-17
Fixed
1.75000000
N
N
N
N
N
N
Edelman Financial Center, LLC
N/A
Edelman Financial Center, LLC 2018 1st Lien Term Loan
27943UAJ5
69300.00000000
PA
USD
69631.95000000
0.007586458669
Long
LON
CORP
US
N
2
2025-07-21
Floating
5.04000000
N
N
N
N
N
N
Teva Pharmaceutical Finance Netherlands III BV
5493004T21MOAFINJP35
Teva Pharmaceutical Finance Netherlands III BV
88167AAC5
210000.00000000
PA
USD
203374.50000000
0.022157820349
Long
DBT
CORP
NL
N
2
2021-07-21
Fixed
2.20000000
N
N
N
N
N
N
Malaysia Government Bond
254900GSIL471JOBYY43
Malaysia Government Bond
000000000
4616000.00000000
PA
1151825.75000000
0.125492370196
Long
DBT
NUSS
MY
N
2
2023-04-20
Fixed
3.76000000
N
N
N
N
N
N
Fannie Mae
N/A
Fannie Mae REMICS
3136A53L8
667897.81000000
PA
USD
690237.12000000
0.075201906352
Long
ABS-MBS
USGSE
US
N
2
2042-05-25
Fixed
3.50000000
N
N
N
N
N
N
United States Treasury
254900HROIFWPRGM1V77
United States Treasury Note/Bond
912810RN0
4765000.00000000
PA
USD
5202488.18000000
0.566815399488
Long
DBT
UST
US
N
2
2045-08-15
Fixed
2.88000000
N
N
N
N
N
N
HC Group Holdings II, Inc.
549300DI3Q5ACSYJRI17
HC Group Holdings II, Inc. Term Loan B
09071FAK7
320000.00000000
PA
USD
318400.00000000
0.034689943917
Long
LON
CORP
US
N
2
2026-08-06
Floating
6.30000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138WJWF1
310226.68000000
PA
USD
319156.61000000
0.034772377204
Long
ABS-MBS
USGSE
US
N
2
2047-02-01
Fixed
3.00000000
N
N
N
N
N
N
General Motors Financial Co Inc
5493008B6JBRUJ90QL97
General Motors Financial Co Inc
37045XCK0
505000.00000000
PA
USD
540801.19000000
0.058920737913
Long
DBT
CORP
US
N
2
2025-04-09
Fixed
4.35000000
N
N
N
N
N
N
Associated Bank NA/Green Bay WI
ZF85QS7OXKPBG52R7N18
Associated Bank NA/Green Bay WI
04550KAA9
365000.00000000
PA
USD
371639.63000000
0.040490445735
Long
DBT
CORP
US
N
2
2021-08-13
Fixed
3.50000000
N
N
N
N
N
N
Freddie Mac
N/A
Freddie Mac Pool
3133KGUS5
495526.32000000
PA
USD
506578.22000000
0.055192116965
Long
ABS-MBS
USGSE
US
N
2
2049-10-01
Fixed
3.00000000
N
N
N
N
N
N
Level 3 Financing Inc.
N/A
Level 3 Financing Inc. 2019 Term Loan B
52729KAP1
148424.26000000
PA
USD
148888.83000000
0.016221561440
Long
LON
CORP
US
N
2
2027-03-01
Floating
3.55000000
N
N
N
N
N
N
Freddie Mac
N/A
Freddie Mac Gold Pool
31335B4Y9
178478.13000000
PA
USD
183718.79000000
0.020016314452
Long
ABS-MBS
USGSE
US
N
2
2048-09-01
Fixed
3.00000000
N
N
N
N
N
N
Madison Park Funding Ltd
549300FNRP3W5DX0O430
Madison Park Funding XXVI Ltd
55819YAA8
780000.00000000
PA
USD
780032.76000000
0.084985215761
Long
ABS-CBDO
CORP
KY
Y
2
2030-07-29
Floating
3.13000000
N
N
N
N
N
N
Shell International Finance BV
213800ITMMKU4Z7I4F78
Shell International Finance BV
822582BQ4
80000.00000000
PA
USD
91022.71000000
0.009916999702
Long
DBT
CORP
NL
N
2
2046-05-10
Fixed
4.00000000
N
N
N
N
N
N
NBK SPC Ltd
549300P1ANDK86KWB419
NBK SPC Ltd
62877PAA2
714000.00000000
PA
USD
718763.81000000
0.078309912873
Long
DBT
CORP
AE
Y
2
2022-05-30
Fixed
2.75000000
N
N
N
N
N
N
Marathon Petroleum Corp
3BNYRYQHD39K4LCKQF12
Marathon Petroleum Corp
56585AAJ1
234000.00000000
PA
USD
251977.55000000
0.027453162933
Long
DBT
CORP
US
N
2
2054-09-15
Fixed
5.00000000
N
N
N
N
N
N
MPLX LP
5493000CZJ19CK4P3G36
MPLX LP
55336VAR1
40000.00000000
PA
USD
41378.77000000
0.004508251289
Long
DBT
CORP
US
N
2
2028-03-15
Fixed
4.00000000
N
N
N
N
N
N
Freeport-McMoRan Inc
549300IRDTHJQ1PVET45
Freeport-McMoRan Inc
35671DBC8
230000.00000000
PA
USD
238050.00000000
0.025935744816
Long
DBT
CORP
US
N
2
2043-03-15
Fixed
5.45000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31416VBR4
395315.58000000
PA
USD
426040.98000000
0.046417517911
Long
ABS-MBS
USGSE
US
N
2
2035-04-01
Fixed
4.50000000
N
N
N
N
N
N
BX Commercial Mortgage Trust
N/A
BX Commercial Mortgage Trust 2018-BIOA
056057AL6
790000.00000000
PA
USD
790516.74000000
0.086127454072
Long
ABS-MBS
CORP
US
Y
2
2037-03-15
Floating
3.06000000
N
N
N
N
N
N
MASTR Asset Backed Securities Trust
N/A
Mastr Asset Backed Securities Trust 2005-WMC1
57643LGZ3
429015.06000000
PA
USD
430561.70000000
0.046910054102
Long
ABS-MBS
CORP
US
N
2
2035-03-25
Floating
2.74000000
N
N
N
N
N
N
Pernod Ricard SA
52990097YFPX9J0H5D87
Pernod Ricard SA
714264AD0
150000.00000000
PA
USD
156863.96000000
0.017090458464
Long
DBT
CORP
FR
Y
2
2022-01-15
Fixed
4.45000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140FPDN6
537664.15000000
PA
USD
568749.11000000
0.061965686963
Long
ABS-MBS
USGSE
US
N
2
2047-06-01
Fixed
4.50000000
N
N
N
N
N
N
ML-CFC Commercial Mortgage Trust
N/A
ML-CFC Commercial Mortgage Trust 2007-5
55312YAH5
175942.27000000
PA
USD
107729.63000000
0.011737232484
Long
ABS-MBS
CORP
US
N
2
2048-08-12
Variable
5.45000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31415MM28
19680.09000000
PA
USD
22062.80000000
0.002403760347
Long
ABS-MBS
USGSE
US
N
2
2038-06-01
Fixed
5.50000000
N
N
N
N
N
N
State Street Bank and Trust Company
571474TGEMMWANRLN572
PURCHASED USD / SOLD PEN
000000000
1.00000000
NC
-81184.83000000
-0.00884515452
N/A
DFE
US
N
2
State Street Bank and Trust Company
571474TGEMMWANRLN572
14931240.00000000
PEN
4417265.25000000
USD
2020-02-26
-81184.83
N
N
N
International Lease Finance Corp
N/A
International Lease Finance Corp
459745GN9
410000.00000000
PA
USD
446478.33000000
0.048644184133
Long
DBT
CORP
US
N
2
2022-08-15
Fixed
5.88000000
N
N
N
N
N
N
BBVA Bancomer SA/Texas
549300WIWQK5Q9MCUN92
BBVA Bancomer SA/Texas
05533UAB4
695000.00000000
PA
USD
724544.45000000
0.078939718393
Long
DBT
CORP
MX
Y
2
2021-03-10
Fixed
6.50000000
N
N
N
N
N
N
Royal Bank of Scotland Group PLC
2138005O9XJIJN4JPN90
Royal Bank of Scotland Group PLC
780099CH8
420000.00000000
PA
USD
454714.06000000
0.049541473743
Long
DBT
CORP
GB
N
2
2024-05-28
Fixed
5.13000000
N
N
N
N
N
N
ArcelorMittal
2EULGUTUI56JI9SAL165
ArcelorMittal SA
03938LBA1
50000.00000000
PA
USD
53043.54000000
0.005779137650
Long
DBT
CORP
LU
N
2
2026-03-11
Fixed
4.55000000
N
N
N
N
N
N
ABN AMRO Bank NV
BFXS5XCH7N0Y05NIXW11
ABN AMRO Bank NV
00084DAQ3
725000.00000000
PA
USD
729350.00000000
0.079463287049
Long
DBT
CORP
NL
Y
2
2021-01-19
Fixed
2.65000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140E24F5
514841.01000000
PA
USD
537186.00000000
0.058526859966
Long
ABS-MBS
USGSE
US
N
2
2045-09-01
Fixed
3.50000000
N
N
N
N
N
N
JPMorgan Chase Bank, National Association
7H6GLXDRUGQFU57RNE97
PURCHASED USD / SOLD BRL
000000000
1.00000000
NC
-10745.55000000
-0.00117073657
N/A
DFE
US
N
2
JPMorgan Chase Bank, National Association
7H6GLXDRUGQFU57RNE97
1099000.00000000
BRL
262372.57000000
USD
2020-01-10
-10745.55
N
N
N
Worldwide Plaza Trust
N/A
Worldwide Plaza Trust 2017-WWP
98162JAA4
452000.00000000
PA
USD
475361.62000000
0.051791042520
Long
ABS-MBS
CORP
US
Y
2
2036-11-10
Fixed
3.53000000
N
N
N
N
N
N
Home Equity Asset Trust
N/A
Home Equity Asset Trust 2006-6
437097AD0
535567.12000000
PA
USD
503130.87000000
0.054816525325
Long
ABS-MBS
CORP
US
N
2
2036-11-25
Floating
1.94000000
N
N
N
N
N
N
GlaxoSmithKline Capital PLC
549300U0LV41VX7LEP38
GlaxoSmithKline Capital PLC
377373AD7
256000.00000000
PA
USD
261522.18000000
0.028493058283
Long
DBT
CORP
GB
N
2
2022-05-08
Fixed
2.85000000
N
N
N
N
N
N
Sprint Spectrum Co LLC / Sprint Spectrum Co II LLC / Sprint Spectrum Co III LLC
N/A
Sprint Spectrum Co LLC / Sprint Spectrum Co II LLC / Sprint Spectrum Co III LLC
85208NAA8
87500.00000000
PA
USD
88278.75000000
0.009618042985
Long
DBT
CORP
US
Y
2
2021-09-20
Fixed
3.36000000
N
N
N
N
N
N
United Rentals North America Inc
NGIZXNT70J2LYT3FBI09
United Rentals North America Inc
911365BK9
20000.00000000
PA
USD
21981.25000000
0.002394875407
Long
DBT
CORP
US
N
2
2026-12-15
Fixed
6.50000000
N
N
N
N
N
N
Fannie Mae
N/A
Fannie Mae REMICS
3136A5LM6
21671.21000000
PA
USD
3643.88000000
0.000397003746
Long
ABS-MBS
USGSE
US
N
2
2042-04-25
Floating
4.71000000
N
N
N
N
N
N
Allergan Sales LLC
254900TUPGX2F5Y3AU71
Allergan Sales LLC
345838AA4
687000.00000000
PA
USD
718362.37000000
0.078266175653
Long
DBT
CORP
US
Y
2
2021-12-15
Fixed
5.00000000
N
N
N
N
N
N
Chicago Board of Trade
549300EX04Q2QBFQTQ27
US 5YR NOTE (CBT) MAR20 XCBT 20200331
000000000
971.00000000
NC
USD
-302743.86000000
-0.03298419448
N/A
DIR
US
N
1
Chicago Board of Trade
549300EX04Q2QBFQTQ27
Long
5 Year US Treasury Note
FVH0 Comdty
2020-03-31
115472447
USD
-302743.86
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140FXET5
803264.66000000
PA
USD
844759.39000000
0.092037235750
Long
ABS-MBS
USGSE
US
N
2
2057-03-01
Fixed
3.50000000
N
N
N
N
N
N
Boeing Co/The
RVHJWBXLJ1RFUBSY1F30
Boeing Co/The
097023CD5
120000.00000000
PA
USD
124977.82000000
0.013616437081
Long
DBT
CORP
US
N
2
2029-03-01
Fixed
3.20000000
N
N
N
N
N
N
TWDC Enterprises 18 Corp
7260JQNI6SCF9FIV2392
TWDC Enterprises 18 Corp
25468PCW4
240000.00000000
PA
USD
243442.80000000
0.026523294846
Long
DBT
CORP
US
N
2
2022-12-01
Fixed
2.35000000
N
N
N
N
N
N
Credit Suisse Group Funding Guernsey Ltd
549300PXR5FKNXF0OH19
Credit Suisse Group Funding Guernsey Ltd
225433AM3
709000.00000000
PA
USD
720996.88000000
0.078553207701
Long
DBT
CORP
GG
N
2
2021-04-16
Fixed
3.45000000
N
N
N
N
N
N
VICI Properties 1 LLC
549300XI4XP4JVS3XU20
VICI Properties 1 LLC Replacement Term Loan B
92565EAB9
116363.64000000
PA
USD
116844.22000000
0.012730274619
Long
LON
CORP
US
N
2
2024-12-20
Floating
3.79000000
N
N
N
N
N
N
BX Commercial Mortgage Trust
N/A
BX Commercial Mortgage Trust 2019-XL
056054AA7
1100000.00000000
PA
USD
1100881.65000000
0.119941968274
Long
ABS-MBS
CORP
US
Y
2
2036-10-15
Floating
2.66000000
N
N
N
N
N
N
Goldman Sachs Group Inc/The
784F5XWPLTWKTBV3E584
Goldman Sachs Group Inc/The
38148LAF3
200000.00000000
PA
USD
245166.27000000
0.026711068331
Long
DBT
CORP
US
N
2
2045-05-22
Fixed
5.15000000
N
N
N
N
N
N
Brazil Notas do Tesouro Nacional
254900ZFY40OYEADAP90
Brazil Notas do Tesouro Nacional Serie F
000000000
3706000.00000000
PA
1058543.64000000
0.115329206991
Long
DBT
NUSS
BR
N
2
2025-01-01
Fixed
10.00000000
N
N
N
N
N
N
Morgan Stanley
IGJSJL3JD5P30I6NJZ34
Morgan Stanley
6174468G7
10000.00000000
PA
USD
11295.53000000
0.001230657356
Long
DBT
CORP
US
N
2
2030-01-23
Variable
4.43000000
N
N
N
N
N
N
VOC Escrow Ltd
N/A
VOC Escrow Ltd
91832VAA2
60000.00000000
PA
USD
62850.00000000
0.006847559595
Long
DBT
CORP
BM
Y
2
2028-02-15
Fixed
5.00000000
N
N
N
N
N
N
Towd Point Mortgage Trust
N/A
Towd Point Mortgage Trust 2019-4
89178BAA2
1775309.28000000
PA
USD
1784446.44000000
0.194416918743
Long
ABS-MBS
CORP
US
Y
2
2059-10-25
Variable
2.90000000
N
N
N
N
N
N
Freddie Mac
N/A
Freddie Mac Gold Pool
3128M96Y3
519954.46000000
PA
USD
558940.87000000
0.060897071085
Long
ABS-MBS
USGSE
US
N
2
2044-08-01
Fixed
4.00000000
N
N
N
N
N
N
Citigroup Commercial Mortgage Trust
N/A
Citigroup Commercial Mortgage Trust 2013-375P
17320QAA7
170000.00000000
PA
USD
174608.38000000
0.019023727731
Long
ABS-MBS
CORP
US
Y
2
2035-05-10
Fixed
3.25000000
N
N
N
N
N
N
MidAmerican Energy Co
NINLOILYRTLIMK26MZ18
MidAmerican Energy Co
595620AK1
237000.00000000
PA
USD
249086.05000000
0.027138131611
Long
DBT
CORP
US
N
2
2023-09-15
Fixed
3.70000000
N
N
N
N
N
N
UBS GROUP AG
549300SZJ9VS8SGXAN81
UBS Group AG
90352JAA1
270000.00000000
PA
USD
277739.36000000
0.030259933486
Long
DBT
CORP
CH
Y
2
2023-05-23
Fixed
3.49000000
N
N
N
N
N
N
CAL Funding III Ltd
N/A
CAL Funding III Ltd
12805PAA4
593250.00000000
PA
USD
593183.91000000
0.064627878677
Long
ABS-O
CORP
BM
Y
2
2042-06-25
Fixed
3.62000000
N
N
N
N
N
N
Freddie Mac - STACR
N/A
Freddie Mac Structured Agency Credit Risk Debt Notes
3137G0GX1
760000.00000000
PA
USD
807834.86000000
0.088014277601
Long
ABS-MBS
USGSE
US
N
2
2028-04-25
Floating
5.49000000
N
N
N
N
N
N
Shell International Finance BV
213800ITMMKU4Z7I4F78
Shell International Finance BV
822582BS0
524000.00000000
PA
USD
524381.23000000
0.057131769661
Long
DBT
CORP
NL
N
2
2021-05-10
Fixed
1.88000000
N
N
N
N
N
N
Chicago Board of Trade
549300EX04Q2QBFQTQ27
US 5YR FUTR OPTN Feb20C 118.5
000000000
56.00000000
NC
USD
19250.00000000
0.002097303456
N/A
DIR
US
N
1
Chicago Board of Trade
549300EX04Q2QBFQTQ27
Call
Purchased
Chicago Board of Trade
549300EX04Q2QBFQTQ27
Chicago Board of Trade
549300EX04Q2QBFQTQ27
5 Year US Treasury Note Future
N/A
56000.00000000
NC
N/A
19250.00000000
0.00000000
DIR
US
Long
5 Year US Treasury Note
FVH0 Comdty
2020-03-31
56000.00000000
USD
1000.00000000
118.5
USD
2020-01-24
XXXX
3199.97
N
N
N
Popular ABS Mortgage Pass-Through Trust
5493008HBHIV1FF22L18
Popular ABS Mortgage Pass-Through Trust 2006-D
73316QAC2
1295830.84000000
PA
USD
1278804.66000000
0.139326827692
Long
ABS-O
CORP
US
N
2
2036-11-25
Floating
2.05000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138EPBN3
100114.39000000
PA
USD
107262.44000000
0.011686331746
Long
ABS-MBS
USGSE
US
N
2
2031-02-01
Fixed
5.00000000
N
N
N
N
N
N
JP Morgan Mortgage Trust
5493002WZI1ZSAEIE710
JP Morgan Mortgage Trust 2019-INV2
46651DAC0
967007.02000000
PA
USD
980832.32000000
0.106862494263
Long
ABS-MBS
CORP
US
Y
2
2050-02-25
Variable
3.50000000
N
N
N
N
N
N
State Street Bank and Trust Company
571474TGEMMWANRLN572
PURCHASED COP / SOLD USD
000000000
1.00000000
NC
189480.29000000
0.020644034653
N/A
DFE
CO
N
2
State Street Bank and Trust Company
571474TGEMMWANRLN572
4405954.53000000
USD
15138859760.00000000
COP
2020-02-26
189480.29
N
N
N
Citibank, National Association
E57ODZWZ7FF32TWEFA76
PURCHASED GBP / SOLD USD
000000000
1.00000000
NC
18346.34000000
0.001998848950
N/A
DFE
GB
N
2
Citibank, National Association
E57ODZWZ7FF32TWEFA76
676024.45000000
USD
524000.00000000
GBP
2020-01-17
18346.34
N
N
N
Lloyds Bank PLC
H7FNTJ4851HG0EXQ1Z70
Lloyds Bank PLC
53947NAA2
228000.00000000
PA
USD
234266.44000000
0.025523522818
Long
DBT
CORP
GB
Y
2
2020-09-14
Fixed
6.50000000
N
N
N
N
N
N
Federal Republic of Brazil
254900ZFY40OYEADAP90
Brazilian Government International Bond
105756BU3
220000.00000000
PA
USD
220000.00000000
0.023969182355
Long
DBT
NUSS
BR
N
2
2023-01-05
Fixed
2.63000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140EVVB0
72788.04000000
PA
USD
74480.30000000
0.008114690420
Long
ABS-MBS
USGSE
US
N
2
2046-08-01
Fixed
3.00000000
N
N
N
N
N
N
Wells Fargo & Co
PBLD0EJDB5FWOLXP3B76
Wells Fargo & Co
94974BEV8
220000.00000000
PA
USD
227134.07000000
0.024746445195
Long
DBT
CORP
US
N
2
2021-04-01
Fixed
4.60000000
N
N
N
N
N
N
United Technologies Corp
I07WOS4YJ0N7YRFE7309
United Technologies Corp
913017CG2
232000.00000000
PA
USD
232326.48000000
0.025312162568
Long
DBT
CORP
US
N
2
2021-11-01
Fixed
1.95000000
N
N
N
N
N
N
Singapore Government
549300ZSV6VOGFH1ER70
Singapore Government Bond
000000000
464000.00000000
PA
345511.73000000
0.037643789373
Long
DBT
NUSS
SG
N
2
2020-07-01
Fixed
2.00000000
N
N
N
N
N
N
United States Treasury
254900HROIFWPRGM1V77
United States Treasury Bill
912796SZ3
9216000.00000000
PA
USD
9138917.10000000
0.995692593178
Long
STIV
UST
US
N
2
2020-07-16
None
0.00000000
N
N
N
N
N
N
ABBVIE INC
FR5LCKFTG8054YNNRU85
AbbVie Inc
00287YBQ1
390000.00000000
PA
USD
392232.71000000
0.042734078871
Long
DBT
CORP
US
Y
2
2024-11-21
Fixed
2.60000000
N
N
N
N
N
N
AT&T Inc
549300Z40J86GGSTL398
AT&T Inc
00206RHT2
685000.00000000
PA
USD
733055.77000000
0.079867033762
Long
DBT
CORP
US
N
2
2026-01-15
Fixed
3.88000000
N
N
N
N
N
N
Svenska Handelsbanken AB
NHBDILHZTYCNBV5UYZ31
Svenska Handelsbanken AB
86960BAT9
250000.00000000
PA
USD
254877.49000000
0.027769113800
Long
DBT
CORP
SE
N
2
2021-05-24
Fixed
3.35000000
N
N
N
N
N
N
General Motors Co
54930070NSV60J38I987
General Motors Co
37045VAE0
671000.00000000
PA
USD
719824.83000000
0.078425511882
Long
DBT
CORP
US
N
2
2023-10-02
Fixed
4.88000000
N
N
N
N
N
N
Boeing Co/The
RVHJWBXLJ1RFUBSY1F30
Boeing Co/The
097023CP8
380000.00000000
PA
USD
388096.29000000
0.042283412483
Long
DBT
CORP
US
N
2
2035-02-01
Fixed
3.25000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36179USV5
2868725.64000000
PA
USD
2997142.68000000
0.326541179279
Long
ABS-MBS
USGA
US
N
2
2049-05-20
Fixed
4.50000000
N
N
N
N
N
N
Verizon Communications Inc
2S72QS2UO2OESLG6Y829
Verizon Communications Inc
92343VER1
123000.00000000
PA
USD
139411.81000000
0.015189032256
Long
DBT
CORP
US
N
2
2028-09-21
Fixed
4.33000000
N
N
N
N
N
N
Malaysia Government Bond
254900GSIL471JOBYY43
Malaysia Government Bond
000000000
215000.00000000
PA
54387.83000000
0.005925599159
Long
DBT
NUSS
MY
N
2
2026-07-15
Fixed
3.91000000
N
N
N
N
N
N
Chicago Board of Trade
549300EX04Q2QBFQTQ27
US 10YR FUT OPTN Mar20C 131
000000000
-12.00000000
NC
USD
-1500.00000000
-0.00016342624
N/A
DIR
US
N
1
Chicago Board of Trade
549300EX04Q2QBFQTQ27
Call
Written
Chicago Board Of Trade
549300EX04Q2QBFQTQ27
Chicago Board Of Trade
549300EX04Q2QBFQTQ27
10 Year US Treasury Note Future
N/A
12000.00000000
NC
N/A
-1500.00000000
0.00000000
DIR
US
Short
10 Year US Treasury Note
TYH0 Comdty
2020-03-20
12000.00000000
USD
1000.00000000
131
USD
2020-02-21
XXXX
5041.74
N
N
N
Glencore Funding LLC
213800STG1QDNBY87K49
Glencore Funding LLC
378272AK4
20000.00000000
PA
USD
20026.54000000
0.002181908132
Long
DBT
CORP
US
Y
2
2020-04-16
Fixed
2.88000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31419A3V7
40657.02000000
PA
USD
46641.13000000
0.005081589773
Long
ABS-MBS
USGSE
US
N
2
2039-09-01
Fixed
6.00000000
N
N
N
N
N
N
Bayview Commercial Asset Trust
N/A
Bayview Commercial Asset Trust 2007-2
07325XAA8
952275.22000000
PA
USD
904743.26000000
0.098572528107
Long
ABS-MBS
CORP
US
Y
2
2037-07-25
Floating
2.06000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31416XAD2
275541.78000000
PA
USD
299479.99000000
0.032628593145
Long
ABS-MBS
USGSE
US
N
2
2040-11-01
Fixed
4.00000000
N
N
N
N
N
N
Adani Abbot Point Terminal Pty Ltd
213800QDQZHS7LJ9UA09
Adani Abbot Point Terminal Pty Ltd
00653GAB0
253000.00000000
PA
USD
256543.49000000
0.027950625881
Long
DBT
CORP
AU
Y
2
2022-12-15
Fixed
4.45000000
N
N
N
N
N
N
Freddie Mac - STACR
N/A
Freddie Mac Structured Agency Credit Risk Debt Notes
3137G0NX3
440000.00000000
PA
USD
468665.96000000
0.051061544813
Long
ABS-MBS
USGSE
US
N
2
2029-10-25
Floating
5.24000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140X5KD4
200000.00000000
PA
USD
208897.19000000
0.022759522002
Long
ABS-MBS
USGSE
US
N
2
2049-12-01
Fixed
3.50000000
N
N
N
N
N
N
Sempra Energy
PBBKGKLRK5S5C0Y4T545
Sempra Energy
816851AV1
252000.00000000
PA
USD
263830.88000000
0.028744593062
Long
DBT
CORP
US
N
2
2024-06-15
Fixed
3.55000000
N
N
N
N
N
N
JPMorgan Chase Bank, National Association
7H6GLXDRUGQFU57RNE97
PURCHASED USD / SOLD COP
000000000
1.00000000
NC
-244326.16000000
-0.02661953765
N/A
DFE
US
N
2
JPMorgan Chase Bank, National Association
7H6GLXDRUGQFU57RNE97
12684002000.00000000
COP
3611360.81000000
USD
2020-01-23
-244326.16
N
N
N
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
Long: BWS033688 IRS USD R V 00MFEDL 1 CCPOIS / Short: BWS033688 IRS USD P F 1.55000 2 CCPOIS
000000000
5994000.00000000
OU
Notional Amount
USD
3985.47000000
0.000434220260
N/A
DIR
US
N
2
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
US Federal Funds Effective Rate
FEDL01 Index
Y
2026-11-15
7762.3
USD
0
USD
5994000
USD
-3776.83
N
N
N
Malaysia Government Bond
254900GSIL471JOBYY43
Malaysia Government Bond
000000000
432000.00000000
PA
106188.07000000
0.011569278244
Long
DBT
NUSS
MY
N
2
2021-02-15
Fixed
3.44000000
N
N
N
N
N
N
UnitedHealth Group Inc
549300GHBMY8T5GXDE41
UnitedHealth Group Inc
91324PBV3
720000.00000000
PA
USD
733777.88000000
0.079945708245
Long
DBT
CORP
US
N
2
2022-03-15
Fixed
2.88000000
N
N
N
N
N
N
NBCUniversal Media LLC
VTBDOQJ6KOGQ6K786R46
NBCUniversal Media LLC
63946BAE0
368000.00000000
PA
USD
379466.62000000
0.041343202784
Long
DBT
CORP
US
N
2
2021-04-01
Fixed
4.38000000
N
N
N
N
N
N
Crown Castle International Corp
54930012H97VSM0I2R19
Crown Castle International Corp
228227BD5
203000.00000000
PA
USD
220421.76000000
0.024015133456
Long
DBT
US
N
2
2023-01-15
Fixed
5.25000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31403GRX2
5463.22000000
PA
USD
6021.27000000
0.000656022357
Long
ABS-MBS
USGSE
US
N
2
2033-11-01
Fixed
5.00000000
N
N
N
N
N
N
Amazon.com Inc
ZXTILKJKG63JELOEG630
Amazon.com Inc
023135BN5
100000.00000000
PA
USD
116496.49000000
0.012692389147
Long
DBT
CORP
US
N
2
2025-12-03
Fixed
5.20000000
N
N
N
N
N
N
Exelon Corp
3SOUA6IRML7435B56G12
Exelon Corp
30161NAW1
245000.00000000
PA
USD
251510.08000000
0.027402231689
Long
DBT
CORP
US
N
2
2022-06-01
Fixed
3.50000000
N
N
N
N
N
N
Bank of America Corp
9DJT3UXIJIZJI4WXO774
Bank of America Corp
06051GFU8
30000.00000000
PA
USD
32922.61000000
0.003586945648
Long
DBT
CORP
US
N
2
2026-03-03
Fixed
4.45000000
N
N
N
N
N
N
BP Capital Markets America Inc
5493009NTB34VXE1T760
BP Capital Markets America Inc
10373QAT7
120000.00000000
PA
USD
125265.99000000
0.013647833441
Long
DBT
CORP
US
N
2
2026-05-04
Fixed
3.12000000
N
N
N
N
N
N
Vistra Operations Co LLC
549300ZH5GKBTJZ7NM23
Vistra Operations Co LLC
92840VAE2
708000.00000000
PA
USD
721313.61000000
0.078587715697
Long
DBT
CORP
US
Y
2
2029-07-15
Fixed
4.30000000
N
N
N
N
N
N
MPLX LP
5493000CZJ19CK4P3G36
MPLX LP
55336VAJ9
40000.00000000
PA
USD
43656.01000000
0.004756358475
Long
DBT
CORP
US
N
2
2025-06-01
Fixed
4.88000000
N
N
N
N
N
N
Citibank, National Association
E57ODZWZ7FF32TWEFA76
PURCHASED SEK / SOLD USD
000000000
1.00000000
NC
-5857.55000000
-0.00063818492
N/A
DFE
SE
N
2
Citibank, National Association
E57ODZWZ7FF32TWEFA76
9196700.03000000
USD
86003860.00000000
SEK
2020-01-22
-5857.55
N
N
N
Total Capital International SA
549300U37G2I8G4RUG09
Total Capital International SA
89153VAE9
713000.00000000
PA
USD
728163.36000000
0.079334001637
Long
DBT
CORP
FR
N
2
2023-01-25
Fixed
2.70000000
N
N
N
N
N
N
Cigna Corp
549300VIWYMSIGT1U456
Cigna Corp
125523AE0
60000.00000000
PA
USD
61403.05000000
0.006689913193
Long
DBT
CORP
US
N
2
2021-09-17
Fixed
3.40000000
N
N
N
N
N
N
Midwest Connector Capital Co LLC
N/A
Midwest Connector Capital Co LLC
59833CAB8
267000.00000000
PA
USD
273670.02000000
0.029816575520
Long
DBT
CORP
US
Y
2
2022-04-01
Fixed
3.63000000
N
N
N
N
N
N
Morgan Stanley
IGJSJL3JD5P30I6NJZ34
Morgan Stanley
61744YAQ1
170000.00000000
PA
USD
177584.67000000
0.019347996994
Long
DBT
CORP
US
N
2
2024-04-24
Variable
3.74000000
N
N
N
N
N
N
Intercontinental Exchange, Inc.
5493000F4ZO33MV32P92
Long: SWS032441 CDS USD R F 1.00000 2 CCPCDX / Short: SWS032441 CDS USD P V 03MEVENT 1 CCPCDX
000000000
6280000.00000000
OU
Notional Amount
USD
162815.28000000
0.017738859711
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
117415.3
USD
0
USD
6280000
USD
45399.98
N
N
N
Western Digital Corporation
549300QQXOOYEF89IC56
Western Digital Corporation 2018 Term Loan B4
95810DAR2
37115.46000000
PA
USD
37262.44000000
0.004059773724
Long
LON
CORP
US
N
2
2023-04-29
Floating
3.45000000
N
N
N
N
N
N
ABB Treasury Center USA Inc
N/A
ABB Treasury Center USA Inc
00038AAB9
220000.00000000
PA
USD
226903.68000000
0.024721344013
Long
DBT
CORP
US
Y
2
2021-06-15
Fixed
4.00000000
N
N
N
N
N
N
Michaels Stores, Inc.
BV4WJ23XIGNG4UDYEK73
Michaels Stores, Inc. 2018 Term Loan B
594088AQ9
77826.85000000
PA
USD
75180.74000000
0.008191003939
Long
LON
CORP
US
N
2
2023-01-30
Floating
4.30000000
N
N
N
N
N
N
Lyb Finance Co Bv
549300BBGA3CFHX0KS75
LYB Finance Co BV
61238QAA6
186000.00000000
PA
USD
237727.15000000
0.025900570041
Long
DBT
CORP
NL
Y
2
2027-03-15
Fixed
8.10000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38380MJT9
43495.85000000
PA
USD
44202.01000000
0.004815845627
Long
ABS-MBS
USGA
US
N
2
2059-05-16
Fixed
3.25000000
N
N
N
N
N
N
ICE Futures Europe - Financial Products Division
5R6J7JCQRIPQR1EEP713
LONG GILT FUTURE MAR20 IFLL 20200327
000000000
-131.00000000
NC
191631.17000000
0.020878374812
N/A
DIR
GB
N
1
ICE Futures Europe - Financial Products Division
5R6J7JCQRIPQR1EEP713
Short
United Kingdom Gilt
G H0 Comdty
2020-03-27
-17355450.99
GBP
191631.17
N
N
N
Hanesbrands Inc
GX5LWVWZLL5S4W1L2F20
Hanesbrands Inc
410345AJ1
10000.00000000
PA
USD
10545.80000000
0.001148973651
Long
DBT
CORP
US
Y
2
2024-05-15
Fixed
4.63000000
N
N
N
N
N
N
United Mexican States
254900EGTWEU67VP6075
Mexico Government International Bond
91087BAB6
810000.00000000
PA
USD
854550.00000000
0.093103930825
Long
DBT
NUSS
MX
N
2
2047-01-15
Fixed
4.35000000
N
N
N
N
N
N
UnitedHealth Group Inc
549300GHBMY8T5GXDE41
UnitedHealth Group Inc
91324PBM3
10000.00000000
PA
USD
10101.23000000
0.001100537381
Long
DBT
CORP
US
N
2
2020-10-15
Fixed
3.88000000
N
N
N
N
N
N
Las Vegas Sands Corp
549300DUOO1KXOHPM605
Las Vegas Sands Corp
517834AG2
430000.00000000
PA
USD
443424.91000000
0.048311511493
Long
DBT
CORP
US
N
2
2024-08-08
Fixed
3.20000000
N
N
N
N
N
N
MidAmerican Energy Co
NINLOILYRTLIMK26MZ18
MidAmerican Energy Co
595620AT2
477000.00000000
PA
USD
520908.89000000
0.056753455340
Long
DBT
CORP
US
N
2
2029-04-15
Fixed
3.65000000
N
N
N
N
N
N
Freddie Mac
N/A
Freddie Mac Gold Pool
3128MJ4M9
1960601.43000000
PA
USD
2063691.70000000
0.224840921283
Long
ABS-MBS
USGSE
US
N
2
2048-07-01
Fixed
4.50000000
N
N
N
N
N
N
Chevron Corp
N/A
Chevron Corp
166764BL3
70000.00000000
PA
USD
73111.00000000
0.007965504050
Long
DBT
CORP
US
N
2
2026-05-16
Fixed
2.95000000
N
N
N
N
N
N
Amazon.com Inc
ZXTILKJKG63JELOEG630
Amazon.com Inc
023135BF2
50000.00000000
PA
USD
56692.40000000
0.006176683971
Long
DBT
CORP
US
N
2
2037-08-22
Fixed
3.88000000
N
N
N
N
N
N
Shell International Finance BV
213800ITMMKU4Z7I4F78
Shell International Finance BV
822582BT8
40000.00000000
PA
USD
41409.31000000
0.004511578648
Long
DBT
CORP
NL
N
2
2026-05-10
Fixed
2.88000000
N
N
N
N
N
N
JPMorgan Chase Bank, National Association
7H6GLXDRUGQFU57RNE97
PURCHASED USD / SOLD PEN
000000000
1.00000000
NC
-23115.05000000
-0.00251840385
N/A
DFE
US
N
2
JPMorgan Chase Bank, National Association
7H6GLXDRUGQFU57RNE97
4144471.07000000
PEN
1227300.50000000
USD
2020-01-16
-23115.05
N
N
N
Freddie Mac
N/A
Freddie Mac Gold Pool
3132Y1YX0
144263.31000000
PA
USD
154501.51000000
0.016833067578
Long
ABS-MBS
USGSE
US
N
2
2048-08-01
Fixed
5.00000000
N
N
N
N
N
N
Occidental Petroleum Corp
IM7X0T3ECJW4C1T7ON55
Occidental Petroleum Corp
674599CM5
360000.00000000
PA
USD
360545.71000000
0.039281753956
Long
DBT
CORP
US
N
2
2027-02-15
Fixed
3.00000000
N
N
N
N
N
N
Mexican Bonos
254900EGTWEU67VP6075
Mexican Bonos
000000000
92493000.00000000
PA
5187777.42000000
0.565212649992
Long
DBT
NUSS
MX
N
2
2042-11-13
Fixed
7.75000000
N
N
N
N
N
N
PROSUS NV
635400Z5LQ5F9OLVT688
Prosus NV
62856RAD7
250000.00000000
PA
USD
272349.50000000
0.029672703772
Long
DBT
CORP
NL
Y
2
2027-07-06
Fixed
4.85000000
N
N
N
N
N
N
Occidental Petroleum Corp
IM7X0T3ECJW4C1T7ON55
Occidental Petroleum Corp
674599DK8
125000.00000000
PA
USD
125897.53000000
0.013716640248
Long
DBT
CORP
US
N
2
2044-07-15
Fixed
4.50000000
N
N
N
N
N
N
Chubb INA Holdings Inc
CZCBJZWDMLTHWJDXU843
Chubb INA Holdings Inc
00440EAV9
30000.00000000
PA
USD
31874.49000000
0.003472752105
Long
DBT
CORP
US
N
2
2026-05-03
Fixed
3.35000000
N
N
N
N
N
N
JPMorgan Chase Bank, National Association
7H6GLXDRUGQFU57RNE97
PURCHASED USD / SOLD BRL
000000000
1.00000000
NC
-96115.30000000
-0.01047184160
N/A
DFE
US
N
2
JPMorgan Chase Bank, National Association
7H6GLXDRUGQFU57RNE97
8085000.00000000
BRL
1912794.55000000
USD
2020-01-17
-96115.3
N
N
N
Sprint Corp
549300ZTTY7CXOLJ6539
Sprint Corp
85207UAE5
50000.00000000
PA
USD
52875.00000000
0.005760775077
Long
DBT
CORP
US
N
2
2021-09-15
Fixed
7.25000000
N
N
N
N
N
N
COMM Mortgage Trust
549300NMFC2YLCA2NF13
COMM 2013-300P Mortgage Trust
12625XAA5
195000.00000000
PA
USD
206296.97000000
0.022476225878
Long
ABS-MBS
CORP
US
Y
2
2030-08-10
Fixed
4.35000000
N
N
N
N
N
N
Eni SpA
BUCRF72VH5RBN7X3VL35
Eni SpA
26874RAJ7
658000.00000000
PA
USD
721625.55000000
0.078621701818
Long
DBT
CORP
IT
Y
2
2029-05-09
Fixed
4.25000000
N
N
N
N
N
N
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
90DAY EUR FUTR MAR20 XCME 20200316
000000000
-316.00000000
NC
USD
14273.90000000
0.001555153236
N/A
DIR
US
N
1
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
Short
Eurodollar Time Deposit
EDH0 Comdty
2020-03-16
-77643623.9
USD
14273.9
N
N
N
Wells Fargo & Co
PBLD0EJDB5FWOLXP3B76
Wells Fargo & Co
949746RW3
400000.00000000
PA
USD
410891.80000000
0.044767002193
Long
DBT
CORP
US
N
2
2026-04-22
Fixed
3.00000000
N
N
N
N
N
N
Phoenix Guarantor Inc
N/A
Phoenix Guarantor Inc Term Loan B
71913BAB8
123327.28000000
PA
USD
123883.49000000
0.013497208920
Long
LON
CORP
US
N
2
2026-03-05
Floating
6.21000000
N
N
N
N
N
N
Mondelez International Holdings Netherlands BV
549300CW356R8I7N8D33
Mondelez International Holdings Netherlands BV
60920LAC8
726000.00000000
PA
USD
725873.73000000
0.079084544551
Long
DBT
CORP
NL
Y
2
2021-10-28
Fixed
2.00000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36179QGC9
88648.36000000
PA
USD
92714.57000000
0.010101329251
Long
ABS-MBS
USGA
US
N
2
2044-06-20
Fixed
3.50000000
N
N
N
N
N
N
Petrobras Global Finance BV
549300FNENFFSMO3GT38
Petrobras Global Finance BV
71647NAM1
100000.00000000
PA
USD
112064.00000000
0.012209465688
Long
DBT
CORP
NL
N
2
2024-03-17
Fixed
6.25000000
N
N
N
N
N
N
Sabal Trail Transmission LLC
5493002DWITGSZFUI977
Sabal Trail Transmission LLC
78516FAA7
663000.00000000
PA
USD
722519.64000000
0.078719113665
Long
DBT
CORP
US
Y
2
2028-05-01
Fixed
4.25000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140X4XG6
772185.94000000
PA
USD
805670.25000000
0.087778441547
Long
ABS-MBS
USGSE
US
N
2
2034-09-01
Fixed
3.50000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36179TSF3
64170.00000000
PA
USD
65965.82000000
0.007187030767
Long
ABS-MBS
USGA
US
N
2
2048-02-20
Fixed
3.00000000
N
N
N
N
N
N
Royal Bank of Scotland Group PLC
2138005O9XJIJN4JPN90
Royal Bank of Scotland Group PLC
780097BK6
200000.00000000
PA
USD
212326.41000000
0.023133138364
Long
DBT
CORP
GB
N
2
2025-03-22
Variable
4.27000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138WGV84
1416605.53000000
PA
USD
1516656.17000000
0.165240946858
Long
ABS-MBS
USGSE
US
N
2
2046-04-01
Fixed
4.00000000
N
N
N
N
N
N
GlaxoSmithKline Capital Inc
5493007Q8VD7Q3ZYZS59
GlaxoSmithKline Capital Inc
377372AH0
449000.00000000
PA
USD
459875.90000000
0.050103860490
Long
DBT
CORP
US
N
2
2023-03-18
Fixed
2.80000000
N
N
N
N
N
N
Mexican Bonos
254900EGTWEU67VP6075
Mexican Bonos
000000000
28620000.00000000
PA
1657621.36000000
0.180599221153
Long
DBT
NUSS
MX
N
2
2047-11-07
Fixed
8.00000000
N
N
N
N
N
N
Gilead Sciences Inc
549300WTZWR07K8MNV44
Gilead Sciences Inc
375558BB8
120000.00000000
PA
USD
120508.90000000
0.013129544543
Long
DBT
CORP
US
N
2
2020-09-01
Fixed
2.55000000
N
N
N
N
N
N
Honeywell International Inc
ISRPG12PN4EIEOEMW547
Honeywell International Inc
438516BM7
730000.00000000
PA
USD
731478.03000000
0.079695137681
Long
DBT
CORP
US
N
2
2021-11-01
Fixed
1.85000000
N
N
N
N
N
N
Suncor Energy Inc
549300W70ZOQDVLCHY06
Suncor Energy Inc
867224AA5
688000.00000000
PA
USD
729554.64000000
0.079485582746
Long
DBT
CORP
CA
N
2
2024-12-01
Fixed
3.60000000
N
N
N
N
N
N
Visa Inc
549300JZ4OKEHW3DPJ59
Visa Inc
92826CAD4
150000.00000000
PA
USD
158417.66000000
0.017259735367
Long
DBT
CORP
US
N
2
2025-12-14
Fixed
3.15000000
N
N
N
N
N
N
Anthem Inc
8MYN82XMYQH89CTMTH67
Anthem Inc
036752AF0
80000.00000000
PA
USD
81797.04000000
0.008911855308
Long
DBT
CORP
US
N
2
2022-12-01
Fixed
2.95000000
N
N
N
N
N
N
United States Treasury
254900HROIFWPRGM1V77
United States Treasury Note/Bond
912828K74
5273000.00000000
PA
USD
5339654.73000000
0.581759808806
Long
DBT
UST
US
N
2
2025-08-15
Fixed
2.00000000
N
N
N
N
N
N
United States Treasury
254900HROIFWPRGM1V77
United States Treasury Note/Bond
912810PX0
1090000.00000000
PA
USD
1471204.41000000
0.160288939932
Long
DBT
UST
US
N
2
2038-05-15
Fixed
4.50000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
3622AAHA5
299118.25000000
PA
USD
303126.89000000
0.033025925923
Long
ABS-MBS
USGA
US
N
2
2049-10-20
Fixed
3.50000000
N
N
N
N
N
N
Royal Bank of Scotland Group PLC
2138005O9XJIJN4JPN90
Royal Bank of Scotland Group PLC
780099CE5
70000.00000000
PA
USD
76579.64000000
0.008343415253
Long
DBT
CORP
GB
N
2
2022-12-15
Fixed
6.13000000
N
N
N
N
N
N
Freddie Mac - STACR
N/A
Freddie Mac Structured Agency Credit Risk Debt Notes
3137G0CH0
522000.00000000
PA
USD
563778.27000000
0.061424109825
Long
ABS-MBS
USGSE
US
N
2
2024-09-25
Floating
5.54000000
N
N
N
N
N
N
JP Morgan Mortgage Trust
5493002WZI1ZSAEIE710
JP Morgan Mortgage Trust 2018-9
46649YAQ8
172055.96000000
PA
USD
171688.29000000
0.018705581505
Long
ABS-MBS
CORP
US
Y
2
2049-02-25
Variable
4.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31411KLN1
12147.55000000
PA
USD
13609.73000000
0.001482791364
Long
ABS-MBS
USGSE
US
N
2
2037-03-01
Fixed
5.50000000
N
N
N
N
N
N
Bristol-Myers Squibb Co
HLYYNH7UQUORYSJQCN42
Bristol-Myers Squibb Co
110122BN7
200000.00000000
PA
USD
216202.86000000
0.023555480804
Long
DBT
CORP
US
Y
2
2025-08-15
Fixed
3.88000000
N
N
N
N
N
N
Cooperatieve Rabobank UA
DG3RU1DBUFHT4ZF9WN62
Cooperatieve Rabobank UA
21684AAC0
900000.00000000
PA
USD
975727.79000000
0.106306351489
Long
DBT
CORP
NL
N
2
2025-08-04
Fixed
4.38000000
N
N
N
N
N
N
MPH Acquisition Holdings LLC
5493002WXOPRPTXWTU06
MPH Acquisition Holdings LLC 2016 Term Loan B
55328HAE1
196788.32000000
PA
USD
193730.23000000
0.021107069139
Long
LON
CORP
US
N
2
2023-06-07
Floating
4.69000000
N
N
N
N
N
N
Freddie Mac
N/A
Freddie Mac REMICS
31398WSD7
134785.89000000
PA
USD
146207.46000000
0.015929423956
Long
ABS-MBS
USGSE
US
N
2
2040-02-15
Fixed
5.00000000
N
N
N
N
N
N
WILLIAMS COMPANIES INC
D71FAKCBLFS2O0RBPG08
Williams Cos Inc/The
969457BB5
80000.00000000
PA
USD
104252.46000000
0.011358391930
Long
DBT
CORP
US
N
2
2031-01-15
Fixed
7.50000000
N
N
N
N
N
N
COMM Mortgage Trust
N/A
COMM 2014-277P Mortgage Trust
12592FAA3
205000.00000000
PA
USD
215828.20000000
0.023514661287
Long
ABS-MBS
CORP
US
Y
2
2049-08-10
Variable
3.61000000
N
N
N
N
N
N
Canadian Government
4BFD7AQU0A75QLAHK410
Canadian Government Bond
135087D50
1778000.00000000
PA
1408666.73000000
0.153475407859
Long
DBT
NUSS
CA
N
2
2025-06-01
Fixed
2.25000000
N
N
N
N
N
N
General Motors Financial Co Inc
5493008B6JBRUJ90QL97
General Motors Financial Co Inc
37045XCP9
335000.00000000
PA
USD
347257.89000000
0.037834034953
Long
DBT
CORP
US
N
2
2021-11-06
Fixed
4.20000000
N
N
N
N
N
N
Netflix Inc
549300Y7VHGU0I7CE873
Netflix Inc
64110LAE6
60000.00000000
PA
USD
61875.00000000
0.006741332537
Long
DBT
CORP
US
N
2
2021-02-01
Fixed
5.38000000
N
N
N
N
N
N
Freddie Mac Reference REMIC
N/A
Freddie Mac Reference REMIC
31396NRF5
214199.78000000
PA
USD
245415.71000000
0.026738245026
Long
ABS-MBS
USGSE
US
N
2
2036-05-15
Fixed
6.00000000
N
N
N
N
N
N
Occidental Petroleum Corp
IM7X0T3ECJW4C1T7ON55
Occidental Petroleum Corp
674599CG8
707000.00000000
PA
USD
729907.25000000
0.079523999898
Long
DBT
CORP
US
N
2
2025-06-15
Fixed
3.50000000
N
N
N
N
N
N
Ziggo Secured Finance Partnership
N/A
Ziggo Secured Finance Partnership USD Term Loan E
000000000
46250.00000000
PA
USD
46371.64000000
0.005052228614
Long
LON
CORP
US
N
2
2025-04-15
Floating
4.24000000
N
N
N
N
N
N
Union Pacific Corp
549300LMMRSZZCZ8CL11
Union Pacific Corp
907818FF0
140000.00000000
PA
USD
141500.02000000
0.015416544466
Long
DBT
CORP
US
Y
2
2060-03-20
Fixed
3.84000000
N
N
N
N
N
N
Time Warner Entertainment Co LP
N/A
Time Warner Entertainment Co LP
88731EAF7
182000.00000000
PA
USD
214723.49000000
0.023394302217
Long
DBT
CORP
US
N
2
2023-03-15
Fixed
8.38000000
N
N
N
N
N
N
Allied Universal Holdco LLC
N/A
Allied Universal Holdco LLC 2019 Delayed Draw Term Loan
01957TAD9
29210.94000000
PA
USD
29356.99000000
0.003198468394
Long
LON
CORP
US
N
2
2026-07-10
Floating
6.05000000
N
N
N
N
N
N
Sotera Health Holdings, LLC
549300OVT7MBXFLOFU20
Sotera Health Holdings, LLC 2019 Term Loan
83600VAD3
340000.00000000
PA
USD
340744.60000000
0.037124406608
Long
LON
CORP
US
N
2
2026-12-11
Floating
6.29000000
N
N
N
N
N
N
FHLMC Multifamily Structured Pass Through Certs.
N/A
Freddie Mac Multifamily Structured Pass Through Certificates
3137AXHP1
1530000.00000000
PA
USD
1552366.92000000
0.169131662671
Long
ABS-MBS
USGSE
US
N
2
2022-09-25
Fixed
2.57000000
N
N
N
N
N
N
Bunge Ltd Finance Corp
549300QHC068L40NNM71
Bunge Ltd Finance Corp
120568BA7
220000.00000000
PA
USD
230940.05000000
0.025161109870
Long
DBT
CORP
US
N
2
2024-03-15
Fixed
4.35000000
N
N
N
N
N
N
VFH Parent LLC
549300FRO9M476YHHY64
VFH Parent LLC 2019 Term Loan B
91820UAQ3
321645.57000000
PA
USD
322610.51000000
0.035148682472
Long
LON
CORP
US
N
2
2026-03-01
Floating
5.20000000
N
N
N
N
N
N
Amazon.com Inc
ZXTILKJKG63JELOEG630
Amazon.com Inc
023135AJ5
715000.00000000
PA
USD
728851.08000000
0.079408929301
Long
DBT
CORP
US
N
2
2022-11-29
Fixed
2.50000000
N
N
N
N
N
N
Equate Petrochemical BV
635400Y3Z5R4NJSMQ630
Equate Petrochemical BV
29441WAC9
200000.00000000
PA
USD
213748.40000000
0.023288065353
Long
DBT
CORP
NL
Y
2
2026-11-03
Fixed
4.25000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140QBWJ3
491648.36000000
PA
USD
499045.80000000
0.054371453562
Long
ABS-MBS
USGSE
US
N
2
2049-09-01
Fixed
3.00000000
N
N
N
N
N
N
CVS Health Corp
549300EJG376EN5NQE29
CVS Health Corp
126650CZ1
265000.00000000
PA
USD
313092.49000000
0.034111686303
Long
DBT
CORP
US
N
2
2048-03-25
Fixed
5.05000000
N
N
N
N
N
N
Gilead Sciences Inc
549300WTZWR07K8MNV44
Gilead Sciences Inc
375558BD4
100000.00000000
PA
USD
119903.93000000
0.013063632560
Long
DBT
CORP
US
N
2
2046-03-01
Fixed
4.75000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138XJ6J1
929468.01000000
PA
USD
1012827.96000000
0.110348445762
Long
ABS-MBS
USGSE
US
N
2
2044-04-01
Fixed
4.00000000
N
N
N
N
N
N
Mexican Bonos
254900EGTWEU67VP6075
Mexican Bonos
000000000
740000.00000000
PA
38986.05000000
0.004247562462
Long
DBT
NUSS
MX
N
2
2021-06-10
Fixed
6.50000000
N
N
N
N
N
N
TRUST F/1401
N/A
Trust F/1401
898324AC2
685000.00000000
PA
USD
735525.60000000
0.080136123787
Long
DBT
MX
Y
2
2026-01-30
Fixed
5.25000000
N
N
N
N
N
N
Occidental Petroleum Corp
IM7X0T3ECJW4C1T7ON55
Occidental Petroleum Corp
674599CH6
50000.00000000
PA
USD
51291.20000000
0.005588218754
Long
DBT
CORP
US
N
2
2026-04-15
Fixed
3.40000000
N
N
N
N
N
N
ENERGY TRANSFER OPERATNG
5493008K8W3OKZE54J59
Energy Transfer Operating LP
29278NAF0
20000.00000000
PA
USD
21889.81000000
0.002384912943
Long
DBT
CORP
US
N
2
2028-06-15
Fixed
4.95000000
N
N
N
N
N
N
Albertson's LLC
549300MBYHQDK18CKL60
Albertsons, LLC 2019 Term Loan B7
01310TAX7
79309.39000000
PA
USD
79957.35000000
0.008711419558
Long
LON
CORP
US
N
2
2025-11-17
Floating
4.55000000
N
N
N
N
N
N
Ecopetrol SA
254900IDGKCJICKBPA66
Ecopetrol SA
279158AL3
60000.00000000
PA
USD
67200.60000000
0.007321561071
Long
DBT
CORP
CO
N
2
2026-06-26
Fixed
5.38000000
N
N
N
N
N
N
Dominion Energy Inc
ILUL7B6Z54MRYCF6H308
Dominion Energy Inc
25746UBD0
20000.00000000
PA
USD
27623.76000000
0.003009631548
Long
DBT
CORP
US
N
2
2038-06-15
Fixed
7.00000000
N
N
N
N
N
N
Eurex Deutschland
529900LN3S50JPU47S06
EURO-BOBL FUTURE MAR20 XEUR 20200306
000000000
-105.00000000
NC
102602.90000000
0.011178671001
N/A
DIR
DE
N
1
Eurex Deutschland
529900LN3S50JPU47S06
Short
Euro-Bobl (FGBM)
OEH0 Comdty
2020-03-06
-14122620.9
EUR
102602.9
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36179U5A6
98929.42000000
PA
USD
97769.60000000
0.010652078959
Long
ABS-MBS
USGA
US
N
2
2049-09-20
Fixed
2.50000000
N
N
N
N
N
N
Scientific Games International, Inc.
RLTHESQ0RNFQJWPBJN60
Scientific Games International, Inc. 2018 Term Loan B5
80875AAP6
312578.56000000
PA
USD
313100.57000000
0.034112566626
Long
LON
CORP
US
N
2
2024-08-14
Floating
4.59000000
N
N
N
N
N
N
Citigroup Commercial Mortgage Trust
N/A
Citigroup Commercial Mortgage Trust 2019-SST2
17327XAL1
430000.00000000
PA
USD
430800.49000000
0.046936070470
Long
ABS-MBS
CORP
US
Y
2
2036-12-15
Floating
4.24000000
N
N
N
N
N
N
Freddie Mac
N/A
Freddie Mac REMICS
3137AJYN8
325091.44000000
PA
USD
68484.41000000
0.007461433235
Long
ABS-MBS
USGSE
US
N
2
2041-12-15
Floating
4.75000000
N
N
N
N
N
N
Prime Security Services Borrower, LLC
549300O6QPZVWXV2DC15
Prime Security Services Borrower, LLC 2019 Term Loan B1
03765VAJ9
255708.32000000
PA
USD
256219.74000000
0.027915353050
Long
LON
CORP
US
N
2
2026-09-23
Floating
4.94000000
N
N
N
N
N
N
Bayer US Finance II LLC
529900XWNEXYNJ3X6T40
Bayer US Finance II LLC
07274NAA1
713000.00000000
PA
USD
725846.45000000
0.079081572372
Long
DBT
CORP
US
Y
2
2021-06-25
Fixed
3.50000000
N
N
N
N
N
N
Sasol Financing International Ltd
N/A
Sasol Financing International Ltd
803865AA2
698000.00000000
PA
USD
719638.00000000
0.078405156598
Long
DBT
CORP
IM
N
2
2022-11-14
Fixed
4.50000000
N
N
N
N
N
N
Apple Inc
HWUPKR0MPOU8FGXBT394
Apple Inc
037833DJ6
80000.00000000
PA
USD
80200.14000000
0.008737871729
Long
DBT
CORP
US
N
2
2020-11-13
Fixed
2.00000000
N
N
N
N
N
N
Amgen Inc
62QBXGPJ34PQ72Z12S66
Amgen Inc
031162BV1
10000.00000000
PA
USD
10562.65000000
0.001150809472
Long
DBT
CORP
US
N
2
2024-05-22
Fixed
3.63000000
N
N
N
N
N
N
Mexican Bonos
254900EGTWEU67VP6075
Mexican Bonos
000000000
25111000.00000000
PA
1714972.06000000
0.186847627455
Long
DBT
NUSS
MX
N
2
2036-11-20
Fixed
10.00000000
N
N
N
N
N
N
Chicago Board of Trade
549300EX04Q2QBFQTQ27
US 10YR FUT OPTN Feb20C 128.5
000000000
21.00000000
NC
USD
9843.75000000
0.001072484721
N/A
DIR
US
N
1
Chicago Board of Trade
549300EX04Q2QBFQTQ27
Call
Purchased
Chicago Board of Trade
549300EX04Q2QBFQTQ27
Chicago Board of Trade
549300EX04Q2QBFQTQ27
10 Year US Treasury Note Future
N/A
21000.00000000
NC
N/A
9843.75000000
0.00000000
DIR
US
Long
10 Year US Treasury Note
TYH0 Comdty
2020-03-20
21000.00000000
USD
1000.00000000
128.5
USD
2020-01-24
XXXX
635.54
N
N
N
Fanniemae-Aces
N/A
Fannie Mae-Aces
3136B4KJ6
170000.00000000
PA
USD
182259.38000000
0.019857310523
Long
ABS-MBS
USGSE
US
N
2
2029-01-01
Fixed
3.45000000
N
N
N
N
N
N
TRUIST FIN CORP
549300DRQQI75D2JP341
Truist Financial Corp
05531FAV5
728000.00000000
PA
USD
729660.01000000
0.079497062895
Long
DBT
CORP
US
N
2
2021-05-10
Fixed
2.05000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36179TLT0
461418.80000000
PA
USD
481751.75000000
0.052487252480
Long
ABS-MBS
USGA
US
N
2
2047-11-20
Fixed
4.00000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38378BT58
1719119.55000000
PA
USD
54651.15000000
0.005954288092
Long
ABS-MBS
USGA
US
N
2
2053-01-16
Variable
0.57000000
N
N
N
N
N
N
Brazil Notas do Tesouro Nacional
254900ZFY40OYEADAP90
Brazil Notas do Tesouro Nacional Serie F
000000000
165000.00000000
PA
48226.16000000
0.005254280106
Long
DBT
NUSS
BR
N
2
2027-01-01
Fixed
10.00000000
N
N
N
N
N
N
Humana Inc
529900YLDW34GJAO4J06
Humana Inc
444859BB7
20000.00000000
PA
USD
22454.47000000
0.002446433118
Long
DBT
CORP
US
N
2
2042-12-01
Fixed
4.63000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140X4P34
97097.61000000
PA
USD
98732.22000000
0.010756957206
Long
ABS-MBS
USGSE
US
N
2
2049-08-01
Fixed
3.00000000
N
N
N
N
N
N
MetLife Inc
C4BXATY60WC6XEOZDX54
MetLife Inc
59156RAP3
100000.00000000
PA
USD
122500.00000000
0.013346476538
Long
DBT
CORP
US
N
2
2036-12-15
Fixed
6.40000000
N
N
N
N
N
N
Freddie Mac
N/A
Freddie Mac Pool
3133KGP28
197432.76000000
PA
USD
201836.23000000
0.021990224558
Long
ABS-MBS
USGSE
US
N
2
2049-09-01
Fixed
3.00000000
N
N
N
N
N
N
LSTAR Securities Investment Ltd
N/A
LSTAR Securities Investment Ltd 2019-4
54912JAA0
427485.10000000
PA
USD
426986.87000000
0.046520573410
Long
ABS-MBS
CORP
US
Y
2
2024-05-01
Floating
3.21000000
N
N
N
N
N
N
Coca-Cola Co/The
UWJKFUJFZ02DKWI3RY53
Coca-Cola Co/The
191216AV2
281000.00000000
PA
USD
287900.07000000
0.031366951263
Long
DBT
CORP
US
N
2
2021-09-01
Fixed
3.30000000
N
N
N
N
N
N
Enbridge Energy Partners LP
CZ6VG2MNE1J6YDI02G48
Enbridge Energy Partners LP
29250RAX4
484000.00000000
PA
USD
721200.09000000
0.078575347599
Long
DBT
CORP
US
N
2
2045-10-15
Fixed
7.38000000
N
N
N
N
N
N
Malaysia Government Bond
254900GSIL471JOBYY43
Malaysia Government Bond
000000000
610000.00000000
PA
151707.63000000
0.016528672037
Long
DBT
NUSS
MY
N
2
2021-09-30
Fixed
4.05000000
N
N
N
N
N
N
JPMorgan Chase & Co
8I5DZWZKVSZI1NUHU748
JPMorgan Chase & Co
46625HQJ2
30000.00000000
PA
USD
30226.36000000
0.003293186976
Long
DBT
CORP
US
N
2
2021-03-01
Fixed
2.55000000
N
N
N
N
N
N
Sumitomo Mitsui Financial Group Inc
35380028MYWPB6AUO129
Sumitomo Mitsui Financial Group Inc
86562MAB6
723000.00000000
PA
USD
731271.71000000
0.079672658946
Long
DBT
CORP
JP
N
2
2021-03-09
Fixed
2.93000000
N
N
N
N
N
N
BMW US Capital LLC
KK5MZM9DIXLXZL9DZL15
BMW US Capital LLC
05565EAL9
20000.00000000
PA
USD
19952.22000000
0.002173810907
Long
DBT
CORP
US
Y
2
2021-09-15
Fixed
1.85000000
N
N
N
N
N
N
Federal Republic of Brazil
254900ZFY40OYEADAP90
Brazilian Government International Bond
105756BZ2
990000.00000000
PA
USD
1063260.00000000
0.115843058322
Long
DBT
NUSS
BR
N
2
2028-01-13
Fixed
4.63000000
N
N
N
N
N
N
Brown & Brown Inc
549300PC8KTJ71XKFY89
Brown & Brown Inc
115236AA9
693000.00000000
PA
USD
736612.43000000
0.080254534817
Long
DBT
CORP
US
N
2
2024-09-15
Fixed
4.20000000
N
N
N
N
N
N
IndyMac INDX Mortgage Loan Trust
N/A
IndyMac INDX Mortgage Loan Trust 2006-AR2
45661EAA2
697108.03000000
PA
USD
657954.47000000
0.071684684876
Long
ABS-MBS
CORP
US
N
2
2046-04-25
Floating
2.01000000
N
N
N
N
N
N
Genesee & Wyoming Inc. (New)
G617XSG94Z7G0RMW3L02
Genesee & Wyoming Inc. (New) Term Loan
000000000
250000.00000000
PA
USD
252142.50000000
0.027471134372
Long
LON
CORP
US
N
2
2026-11-06
None
0.00000000
N
N
N
N
N
N
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
Long: BWS031245 IRS USD R V 03MLIBOR 1 CCPVANILLA / Short: BWS031245 IRS USD P F 1.73200 2 CCPVANILLA
000000000
5040000.00000000
OU
Notional Amount
USD
-1428.69000000
-0.00015565695
N/A
DIR
US
N
2
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
ICE Libor USD 3 Months
US0003M Index
Y
2021-06-27
0
USD
0
USD
5040000
USD
-1428.69
N
N
N
Bunge Ltd Finance Corp
549300QHC068L40NNM71
Bunge Ltd Finance Corp
120568AY6
531000.00000000
PA
USD
538328.88000000
0.058651377690
Long
DBT
CORP
US
N
2
2022-09-25
Fixed
3.00000000
N
N
N
N
N
N
Bank of America, National Association
B4TYDEB6GKMZO031MB27
PURCHASED THB / SOLD USD
000000000
1.00000000
NC
2943.46000000
0.000320692406
N/A
DFE
TH
N
2
Bank of America, National Association
B4TYDEB6GKMZO031MB27
298174.11000000
USD
9007810.00000000
THB
2020-02-26
2943.46
N
N
N
McDonald's Corp
UE2136O97NLB5BYP9H04
McDonald's Corp
58013MFF6
200000.00000000
PA
USD
218453.78000000
0.023800720404
Long
DBT
CORP
US
N
2
2028-04-01
Fixed
3.80000000
N
N
N
N
N
N
GlaxoSmithKline Capital PLC
549300U0LV41VX7LEP38
GlaxoSmithKline Capital PLC
377373AJ4
510000.00000000
PA
USD
520891.55000000
0.056751566132
Long
DBT
CORP
GB
N
2
2022-06-01
Fixed
2.88000000
N
N
N
N
N
N
New Century Home Equity Loan Trust
N/A
New Century Home Equity Loan Trust Series 2005-B
64352VNK3
690000.00000000
PA
USD
671633.72000000
0.073175050502
Long
ABS-MBS
CORP
US
N
2
2035-10-25
Floating
2.27000000
N
N
N
N
N
N
One Market Plaza Trust
N/A
One Market Plaza Trust 2017-1MKT
68245HAE4
217000.00000000
PA
USD
221354.89000000
0.024116798743
Long
ABS-MBS
CORP
US
Y
2
2032-02-10
Fixed
4.02000000
N
N
N
N
N
N
Reliance Holding USA Inc
LW0V2CUWFIITRBI06W51
Reliance Holding USA Inc
759468AC5
684000.00000000
PA
USD
722915.83000000
0.078762278894
Long
DBT
CORP
US
Y
2
2022-02-14
Fixed
5.40000000
N
N
N
N
N
N
LB-UBS Commercial Mortgage Trust
N/A
LB-UBS Commercial Mortgage Trust 2005-C7
52108MAP8
223791.06000000
PA
USD
225187.78000000
0.024534395286
Long
ABS-MBS
CORP
US
N
2
2040-11-15
Variable
5.35000000
N
N
N
N
N
N
Freddie Mac
N/A
Freddie Mac Gold Pool
3128MAD55
1110231.23000000
PA
USD
1174628.44000000
0.127976742172
Long
ABS-MBS
USGSE
US
N
2
2045-01-01
Fixed
3.50000000
N
N
N
N
N
N
Fox Corp
549300DDU6FDRBIELS05
Fox Corp
35137LAC9
30000.00000000
PA
USD
34166.89000000
0.003722510986
Long
DBT
CORP
US
Y
2
2029-01-25
Fixed
4.71000000
N
N
N
N
N
N
Singapore Government
549300ZSV6VOGFH1ER70
Singapore Government Bond
000000000
1670000.00000000
PA
1291920.15000000
0.140755771198
Long
DBT
NUSS
SG
N
2
2023-07-01
Fixed
2.75000000
N
N
N
N
N
N
Norwegian Government
549300O6E2WAK3IAXE34
Norway Government Bond
000000000
11435000.00000000
PA
1386767.11000000
0.151089426108
Long
DBT
NUSS
NO
Y
2
2024-03-14
Fixed
3.00000000
N
N
N
N
N
N
Occidental Petroleum Corp
IM7X0T3ECJW4C1T7ON55
Occidental Petroleum Corp
674599DF9
110000.00000000
PA
USD
134898.03000000
0.014697252183
Long
DBT
CORP
US
N
2
2036-09-15
Fixed
6.45000000
N
N
N
N
N
N
UMBS, TBA
N/A
Uniform Mortgage-Backed Security, TBA
01F032617
200000.00000000
PA
USD
205630.11000000
0.022403570928
Long
ABS-MBS
USGSE
US
N
2
2050-01-15
Fixed
3.50000000
N
N
N
N
N
N
Bristol-Myers Squibb Co
HLYYNH7UQUORYSJQCN42
Bristol-Myers Squibb Co
110122BQ0
380000.00000000
PA
USD
418360.45000000
0.045580717801
Long
DBT
CORP
US
Y
2
2028-02-20
Fixed
3.90000000
N
N
N
N
N
N
Waste Management Inc
549300YX8JIID70NFS41
Waste Management Inc
94106LBH1
100000.00000000
PA
USD
104657.40000000
0.011402510479
Long
DBT
CORP
US
N
2
2026-06-15
Fixed
3.20000000
N
N
N
N
N
N
Ally Auto Receivables Trust
N/A
Ally Auto Receivables Trust 2019-2
02008QAB6
1700000.00000000
PA
USD
1703031.95000000
0.185546742574
Long
ABS-O
CORP
US
N
2
2022-06-15
Fixed
2.34000000
N
N
N
N
N
N
FirstEnergy Corp
549300SVYJS666PQJH88
FirstEnergy Corp
337932AC1
550000.00000000
PA
USD
775464.18000000
0.084487465183
Long
DBT
CORP
US
N
2
2031-11-15
Fixed
7.38000000
N
N
N
N
N
N
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
90DAY EUR FUTR MAR21 XCME 20210315
000000000
133.00000000
NC
USD
50499.00000000
0.005501907907
N/A
DIR
US
N
1
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
Long
Eurodollar Time Deposit
EDH1 Comdty
2021-03-15
32680801
USD
50499
N
N
N
Lockheed Martin Corp
DPRBOZP0K5RM2YE8UU08
Lockheed Martin Corp
539830BG3
702000.00000000
PA
USD
723801.09000000
0.078858728705
Long
DBT
CORP
US
N
2
2023-01-15
Fixed
3.10000000
N
N
N
N
N
N
Targa Resources Partners LP / Targa Resources Partners Finance Corp
N/A
Targa Resources Partners LP / Targa Resources Partners Finance Corp
87612BBE1
10000.00000000
PA
USD
10375.00000000
0.001130364849
Long
DBT
CORP
US
N
2
2027-02-01
Fixed
5.38000000
N
N
N
N
N
N
Seattle Spinco, Inc.
213800AAQDP1DDU8BK05
Seattle Spinco, Inc. USD Term Loan B3
81271EAB7
25817.26000000
PA
USD
25828.10000000
0.002813992903
Long
LON
CORP
US
N
2
2024-06-21
Floating
4.30000000
N
N
N
N
N
N
State Street Bank and Trust Company
571474TGEMMWANRLN572
PURCHASED PHP / SOLD USD
000000000
1.00000000
NC
-1010.21000000
-0.00011006321
N/A
DFE
PH
N
2
State Street Bank and Trust Company
571474TGEMMWANRLN572
749049.30000000
USD
37984290.00000000
PHP
2020-02-26
-1010.21
N
N
N
Norwegian Government
549300O6E2WAK3IAXE34
Norway Government Bond
000000000
10613000.00000000
PA
1232173.25000000
0.134246296920
Long
DBT
NUSS
NO
Y
2
2023-05-24
Fixed
2.00000000
N
N
N
N
N
N
LPL Holdings, Inc.
549300Z5YF8CCRMYUL26
LPL Holdings, Inc. 2019 Term Loan B1
50212XAX4
14447.27000000
PA
USD
14501.45000000
0.001579944997
Long
LON
CORP
US
N
2
2026-11-12
Floating
3.54000000
N
N
N
N
N
N
Bank of America Corp
9DJT3UXIJIZJI4WXO774
Bank of America Corp
06051GGZ6
325000.00000000
PA
USD
339780.70000000
0.037019388904
Long
DBT
CORP
US
N
2
2026-01-23
Variable
3.37000000
N
N
N
N
N
N
United States Treasury
254900HROIFWPRGM1V77
United States Treasury Bill
912796TE9
19842200.00000000
PA
USD
19813456.40000000
2.158692497905
Long
STIV
UST
US
N
2
2020-02-06
None
0.00000000
N
N
N
N
N
N
CVS Health Corp
549300EJG376EN5NQE29
CVS Health Corp
126650CY4
70000.00000000
PA
USD
79342.00000000
0.008644376665
Long
DBT
CORP
US
N
2
2038-03-25
Fixed
4.78000000
N
N
N
N
N
N
Southern Copper Corp
2549007U6NAP46Q9TU15
Southern Copper Corp
84265VAE5
10000.00000000
PA
USD
13323.47000000
0.001451603100
Long
DBT
CORP
US
N
2
2040-04-16
Fixed
6.75000000
N
N
N
N
N
N
NYT Mortgage Trust
N/A
BF 2019-NYT Mortgage Trust
62954PAA8
2451000.00000000
PA
USD
2457147.84000000
0.267708293867
Long
ABS-MBS
CORP
US
Y
2
2035-11-15
Floating
2.94000000
N
N
N
N
N
N
Wells Fargo Bank NA
KB1H1DSPRFMYMCUFXT09
Wells Fargo Bank NA
94988J5N3
725000.00000000
PA
USD
730074.34000000
0.079542204492
Long
DBT
CORP
US
N
2
2021-01-15
Fixed
2.60000000
N
N
N
N
N
N
JP Morgan Mortgage Trust
5493002WZI1ZSAEIE710
JP Morgan Trust 2015-3
46644MAU0
241313.32000000
PA
USD
242424.40000000
0.026412339322
Long
ABS-MBS
CORP
US
Y
2
2045-05-25
Variable
3.50000000
N
N
N
N
N
N
Tyson Foods Inc
WD6L6041MNRW1JE49D58
Tyson Foods Inc
902494AT0
518000.00000000
PA
USD
545200.03000000
0.059399995177
Long
DBT
CORP
US
N
2
2022-06-15
Fixed
4.50000000
N
N
N
N
N
N
Morgan Stanley Mortgage Capital Holdings LLC
N/A
MSSG Trust 2017-237P
55375KAJ5
1500000.00000000
PA
USD
1519208.70000000
0.165519047118
Long
ABS-MBS
CORP
US
Y
2
2039-09-13
Fixed
3.86000000
N
N
N
N
N
N
Embotelladora Andina SA
254900NNPKP1J9XTSA53
Embotelladora Andina SA
29081PAE5
264000.00000000
PA
USD
281614.42000000
0.030682124485
Long
DBT
CORP
CL
Y
2
2023-10-01
Fixed
5.00000000
N
N
N
N
N
N
Magnetite CLO Ltd
549300BDVLRWS2SODX97
Magnetite XVIII Ltd
55953TAJ6
1488000.00000000
PA
USD
1486561.10000000
0.161962064036
Long
ABS-CBDO
CORP
KY
Y
2
2028-11-15
Floating
2.99000000
N
N
N
N
N
N
Chicago Board of Trade
549300EX04Q2QBFQTQ27
US 5YR FUTR OPTN Feb20C 119
000000000
-25.00000000
NC
USD
-3320.33000000
-0.00036175270
N/A
DIR
US
N
1
Chicago Board of Trade
549300EX04Q2QBFQTQ27
Call
Written
Chicago Board of Trade
549300EX04Q2QBFQTQ27
Chicago Board of Trade
549300EX04Q2QBFQTQ27
5 Year US Treasury Note Future
N/A
25000.00000000
NC
N/A
-3320.33000000
0.00000000
DIR
US
Short
5 Year US Treasury Note
FVH0 Comdty
2020-03-31
25000.00000000
USD
1000.00000000
119
USD
2020-01-24
XXXX
1323.92
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36179TUB9
333129.50000000
PA
USD
347858.08000000
0.037899426151
Long
ABS-MBS
USGA
US
N
2
2048-03-20
Fixed
4.00000000
N
N
N
N
N
N
Arcelormittal
2EULGUTUI56JI9SAL165
ArcelorMittal SA
03938LBB9
110000.00000000
PA
USD
112821.03000000
0.012291944734
Long
DBT
CORP
LU
N
2
2024-07-16
Fixed
3.60000000
N
N
N
N
N
N
Freddie Mac
N/A
Freddie Mac Pool
3131YDM76
93456.52000000
PA
USD
94867.52000000
0.010335894938
Long
ABS-MBS
USGSE
US
N
2
2049-06-01
Fixed
3.00000000
N
N
N
N
N
N
Citibank, National Association
E57ODZWZ7FF32TWEFA76
PURCHASED RUB / SOLD USD
000000000
1.00000000
NC
213579.83000000
0.023269699512
N/A
DFE
RU
N
2
Citibank, National Association
E57ODZWZ7FF32TWEFA76
6131191.47000000
USD
396081100.00000000
RUB
2020-02-26
213579.83
N
N
N
JPMorgan Chase Bank, National Association
7H6GLXDRUGQFU57RNE97
PURCHASED USD / SOLD IDR
000000000
1.00000000
NC
-42713.04000000
-0.00465362111
N/A
DFE
US
N
2
JPMorgan Chase Bank, National Association
7H6GLXDRUGQFU57RNE97
25035556000.00000000
IDR
1766426.02000000
USD
2020-01-13
-42713.04
N
N
N
JP Morgan Mortgage Trust
5493002WZI1ZSAEIE710
JP Morgan Mortgage Trust 2018-4
46649CAA1
228677.70000000
PA
USD
232678.87000000
0.025350555751
Long
ABS-MBS
CORP
US
Y
2
2048-10-25
Variable
3.50000000
N
N
N
N
N
N
Republic of Indonesia
529900FWX0GRR7WG5W79
Indonesia Government International Bond
455780CE4
240000.00000000
PA
USD
264259.53000000
0.028791294834
Long
DBT
NUSS
ID
N
2
2048-01-11
Fixed
4.35000000
N
N
N
N
N
N
WAMU Mortgage Pass-Through Certificates
N/A
WaMu Mortgage Pass-Through Certificates Series 2004-AR4 Trust
92922FPT9
438476.26000000
PA
USD
440270.29000000
0.047967813030
Long
ABS-MBS
CORP
US
N
2
2034-06-25
Variable
4.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140X4ZB5
469045.30000000
PA
USD
503064.74000000
0.054809320407
Long
ABS-MBS
USGSE
US
N
2
2049-05-01
Fixed
4.50000000
N
N
N
N
N
N
Freddie Mac
N/A
Freddie Mac Pool
31346YVM2
200000.00000000
PA
USD
206222.98000000
0.022468164606
Long
ABS-MBS
USGSE
US
N
2
2049-11-01
Fixed
3.50000000
N
N
N
N
N
N
United States Treasury
254900HROIFWPRGM1V77
United States Treasury Note/Bond
912810RP5
1322000.00000000
PA
USD
1477146.72000000
0.160936359532
Long
DBT
UST
US
N
2
2045-11-15
Fixed
3.00000000
N
N
N
N
N
N
FHLMC Multifamily Structured Pass Through Certs.
N/A
Freddie Mac Multifamily Structured Pass Through Certificates
3137B36J2
1450000.00000000
PA
USD
1503338.98000000
0.163790027969
Long
ABS-MBS
USGSE
US
N
2
2023-02-25
Variable
3.32000000
N
N
N
N
N
N
Dividend Solar Loans LLC
N/A
Dividend Solar Loans 2019-1 LLC
255388AA8
370376.48000000
PA
USD
371054.23000000
0.040426665920
Long
ABS-O
CORP
US
Y
2
2039-08-22
Fixed
3.67000000
N
N
N
N
N
N
Hawaii Hotel Trust 2019-MAUI
N/A
Hawaii Hotel Trust 2019-MAUI
41975AAE2
940000.00000000
PA
USD
938871.62000000
0.102290841217
Long
ABS-MBS
CORP
US
Y
2
2038-05-15
Floating
3.39000000
N
N
N
N
N
N
Barclays PLC
213800LBQA1Y9L22JB70
Barclays PLC
06738EBD6
400000.00000000
PA
USD
450487.16000000
0.049080949485
Long
DBT
CORP
GB
N
2
2029-05-16
Variable
4.97000000
N
N
N
N
N
N
Oracle Corp
1Z4GXXU7ZHVWFCD8TV52
Oracle Corp
68389XBR5
719000.00000000
PA
USD
733835.83000000
0.079952021945
Long
DBT
CORP
US
N
2
2023-02-15
Fixed
2.63000000
N
N
N
N
N
N
DISH DBS Corp
N/A
DISH DBS Corp
25470XAW5
220000.00000000
PA
USD
224812.50000000
0.024493508219
Long
DBT
CORP
US
N
2
2024-11-15
Fixed
5.88000000
N
N
N
N
N
N
Burlington Northern Santa Fe LLC
N/A
Burlington Northern Santa Fe LLC
12189LAT8
220000.00000000
PA
USD
232510.94000000
0.025332259638
Long
DBT
CORP
US
N
2
2024-09-01
Fixed
3.40000000
N
N
N
N
N
N
Ares Capital Corp
WEQ82666OJYSI5GUAB47
Ares Capital Corp
04010LAU7
261000.00000000
PA
USD
264765.49000000
0.028846419596
Long
DBT
CORP
US
N
2
2023-02-10
Fixed
3.50000000
N
N
N
N
N
N
Nomura Resecuritization Trust
N/A
Nomura Resecuritization Trust 2015-4R
65540WAP4
1236546.13000000
PA
USD
1048834.84000000
0.114271425184
Long
ABS-MBS
CORP
US
Y
2
2047-03-26
Floating
1.85000000
N
N
N
N
N
N
United States Treasury
254900HROIFWPRGM1V77
United States Treasury Note/Bond
912828YV6
140000.00000000
PA
USD
138730.64000000
0.015114818220
Long
DBT
UST
US
N
2
2024-11-30
Fixed
1.50000000
N
N
N
N
N
N
Toll Brothers Finance Corp
N/A
Toll Brothers Finance Corp
88947EAN0
30000.00000000
PA
USD
31425.00000000
0.003423779797
Long
DBT
CORP
US
N
2
2023-04-15
Fixed
4.38000000
N
N
N
N
N
N
Citigroup Inc
6SHGI4ZSSLCXXQSBB395
Citigroup Inc
172967JU6
147000.00000000
PA
USD
182087.17000000
0.019838548101
Long
DBT
CORP
US
N
2
2045-07-30
Fixed
4.65000000
N
N
N
N
N
N
Winwater Mortgage Loan Trust
5493002CYMIHYUBDIR84
WinWater Mortgage Loan Trust 2014-1
97652PAA9
539298.12000000
PA
USD
548776.61000000
0.059789666533
Long
ABS-MBS
CORP
US
Y
2
2044-06-20
Variable
3.84000000
N
N
N
N
N
N
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
Long: SWS031724 IRS MXN R F 7.45000 2 CCPVANILLA / Short: SWS031724 IRS MXN P V 01MTIIE 1 CCPVANILLA
000000000
40840000.00000000
OU
Notional Amount
102554.12000000
0.011173356379
N/A
DIR
US
N
2
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
Mexican Interbank Equilibrium Interest Rate
MXIBTIIE Index
Y
2029-07-18
322966.85
MXN
0
MXN
40840000
MXN
86044.93
N
N
N
Verizon Communications Inc
2S72QS2UO2OESLG6Y829
Verizon Communications Inc
92343VCR3
20000.00000000
PA
USD
21190.77000000
0.002308751956
Long
DBT
CORP
US
N
2
2024-11-01
Fixed
3.50000000
N
N
N
N
N
N
Exxon Mobil Corp
J3WHBG0MTS7O8ZVMDC91
Exxon Mobil Corp
30231GAW2
40000.00000000
PA
USD
46857.37000000
0.005105149300
Long
DBT
CORP
US
N
2
2046-03-01
Fixed
4.11000000
N
N
N
N
N
N
CVS Health Corp
549300EJG376EN5NQE29
CVS Health Corp
126650DG2
200000.00000000
PA
USD
202977.27000000
0.022114541811
Long
DBT
CORP
US
N
2
2029-08-15
Fixed
3.25000000
N
N
N
N
N
N
Anheuser-Busch InBev Worldwide Inc
549300CRGMZK3K53BF92
Anheuser-Busch InBev Worldwide Inc
035240AQ3
90000.00000000
PA
USD
104189.16000000
0.011351495343
Long
DBT
CORP
US
N
2
2029-01-23
Fixed
4.75000000
N
N
N
N
N
N
Huntington Bancshares Inc/OH
549300XTVCVV9I7B5T19
Huntington Bancshares Inc/OH
446150AJ3
281000.00000000
PA
USD
284436.46000000
0.030989588082
Long
DBT
CORP
US
N
2
2021-03-14
Fixed
3.15000000
N
N
N
N
N
N
Freddie Mac
N/A
Freddie Mac Gold Pool
3128MJ4Q0
76816.83000000
PA
USD
78994.81000000
0.008606550027
Long
ABS-MBS
USGSE
US
N
2
2048-08-01
Fixed
3.50000000
N
N
N
N
N
N
NXP BV / NXP Funding LLC
N/A
NXP BV / NXP Funding LLC
62947QAT5
693000.00000000
PA
USD
730112.73000000
0.079546387114
Long
DBT
CORP
NL
Y
2
2022-06-15
Fixed
4.63000000
N
N
N
N
N
N
Structured Adjustable Rate Mortgage Loan Trust
N/A
Structured Adjustable Rate Mortgage Loan Trust
86360NAN2
1174222.51000000
PA
USD
954721.46000000
0.104017694423
Long
ABS-MBS
CORP
US
N
2
2036-06-25
Variable
4.08000000
N
N
N
N
N
N
Core Mortgage Trust
N/A
CORE 2019-CORE Mortgage Trust
21871FAL2
1520000.00000000
PA
USD
1519090.58000000
0.165506177846
Long
ABS-MBS
CORP
US
Y
2
2031-12-15
Floating
3.39000000
N
N
N
N
N
N
WILLIAMS COMPANIES INC
D71FAKCBLFS2O0RBPG08
Williams Cos Inc/The
96950FAK0
155000.00000000
PA
USD
184144.45000000
0.020062690462
Long
DBT
CORP
US
N
2
2043-11-15
Fixed
5.80000000
N
N
N
N
N
N
Voya CLO Ltd
549300L8S87K3SMP0R77
Voya CLO 2014-2 Ltd
92912VAN5
1964000.00000000
PA
USD
1959182.31000000
0.213454536616
Long
ABS-CBDO
CORP
KY
Y
2
2030-04-17
Floating
3.25000000
N
N
N
N
N
N
Anheuser-Busch InBev Worldwide Inc
549300CRGMZK3K53BF92
Anheuser-Busch InBev Worldwide Inc
035240AL4
20000.00000000
PA
USD
21983.96000000
0.002395170664
Long
DBT
CORP
US
N
2
2028-04-13
Fixed
4.00000000
N
N
N
N
N
N
Cintas Corp No 2
549300QVUQTTKMTE0G41
Cintas Corp No 2
17252MAM2
60000.00000000
PA
USD
61182.03000000
0.006665832881
Long
DBT
CORP
US
N
2
2022-04-01
Fixed
2.90000000
N
N
N
N
N
N
Freddie Mac
N/A
Freddie Mac Pool
3132AEEY8
2385067.15000000
PA
USD
2450363.63000000
0.266969148564
Long
ABS-MBS
USGSE
US
N
2
2049-05-01
Fixed
3.50000000
N
N
N
N
N
N
ONEOK Inc
2T3D6M0JSY48PSZI1Q41
ONEOK Inc
682680AR4
204000.00000000
PA
USD
237987.30000000
0.025928913599
Long
DBT
CORP
US
N
2
2023-09-01
Fixed
7.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140HN5B4
876577.98000000
PA
USD
923094.27000000
0.100571885857
Long
ABS-MBS
USGSE
US
N
2
2048-08-01
Fixed
4.50000000
N
N
N
N
N
N
Goldman Sachs Group Inc/The
784F5XWPLTWKTBV3E584
Goldman Sachs Group Inc/The
38141EA66
150000.00000000
PA
USD
152647.01000000
0.016631018266
Long
DBT
CORP
US
N
2
2020-06-15
Fixed
6.00000000
N
N
N
N
N
N
Standard Chartered Bank
RILFO74KP1CM8P6PCT96
PURCHASED USD / SOLD GBP
000000000
1.00000000
NC
-8328.39000000
-0.00090738499
N/A
DFE
US
N
2
Standard Chartered Bank
RILFO74KP1CM8P6PCT96
1850000.00000000
GBP
2447235.50000000
USD
2020-03-18
-8328.39
N
N
N
American Express Credit Corp
9ET6B8VCXWW51H8Z3M54
American Express Credit Corp
0258M0DT3
80000.00000000
PA
USD
80096.45000000
0.008726574618
Long
DBT
CORP
US
N
2
2020-05-26
Fixed
2.38000000
N
N
N
N
N
N
COMM Mortgage Trust
N/A
COMM 2019-521F Mortgage Trust
20048GAJ5
899000.00000000
PA
USD
898741.99000000
0.097918684766
Long
ABS-MBS
CORP
US
Y
2
2034-06-15
Floating
3.29000000
N
N
N
N
N
N
Constellation Brands Inc
5493005GKEG8QCVY7037
Constellation Brands Inc
21036PAN8
40000.00000000
PA
USD
44305.47000000
0.004827117680
Long
DBT
CORP
US
N
2
2024-11-15
Fixed
4.75000000
N
N
N
N
N
N
United States Treasury
254900HROIFWPRGM1V77
United States Treasury Note/Bond
912828XB1
2735000.00000000
PA
USD
2788561.56000000
0.303816093365
Long
DBT
UST
US
N
2
2025-05-15
Fixed
2.13000000
N
N
N
N
N
N
Freddie Mac
N/A
Freddie Mac Gold Pool
31292KZ67
207634.91000000
PA
USD
229221.27000000
0.024973847365
Long
ABS-MBS
USGSE
US
N
2
2040-04-01
Fixed
5.00000000
N
N
N
N
N
N
MPLX LP
5493000CZJ19CK4P3G36
MPLX LP
55336VAS9
170000.00000000
PA
USD
186350.28000000
0.020303017469
Long
DBT
CORP
US
N
2
2029-02-15
Fixed
4.80000000
N
N
N
N
N
N
Berkshire Hathaway Finance Corp
549300RLHFT5RU20WM87
Berkshire Hathaway Finance Corp
084664CR0
130000.00000000
PA
USD
153734.42000000
0.016749492487
Long
DBT
CORP
US
N
2
2049-01-15
Fixed
4.25000000
N
N
N
N
N
N
Freddie Mac
N/A
Freddie Mac Pool
3132DV4K8
589456.59000000
PA
USD
614240.14000000
0.066921972388
Long
ABS-MBS
USGSE
US
N
2
2049-11-01
Fixed
4.00000000
N
N
N
N
N
N
Anthem Inc
8MYN82XMYQH89CTMTH67
Anthem Inc
036752AB9
110000.00000000
PA
USD
116350.19000000
0.012676449641
Long
DBT
CORP
US
N
2
2027-12-01
Fixed
3.65000000
N
N
N
N
N
N
Mars Inc
54930073HKEO6GZBSS03
Mars Inc
571676AA3
60000.00000000
PA
USD
61340.02000000
0.006683046022
Long
DBT
CORP
US
Y
2
2025-04-01
Fixed
2.70000000
N
N
N
N
N
N
Freddie Mac
N/A
Freddie Mac Gold Pool
3132QV3E9
919095.85000000
PA
USD
984558.69000000
0.107268485363
Long
ABS-MBS
USGSE
US
N
2
2046-02-01
Fixed
4.00000000
N
N
N
N
N
N
Goldman Sachs Group Inc/The
784F5XWPLTWKTBV3E584
Goldman Sachs Group Inc/The
38141EC23
150000.00000000
PA
USD
158521.21000000
0.017271017225
Long
DBT
CORP
US
N
2
2024-07-08
Fixed
3.85000000
N
N
N
N
N
N
Freddie Mac
N/A
Freddie Mac Gold Pool
3132WKPM4
79080.75000000
PA
USD
81161.58000000
0.008842621414
Long
ABS-MBS
USGSE
US
N
2
2047-01-01
Fixed
3.00000000
N
N
N
N
N
N
Freddie Mac
N/A
Freddie Mac Pool
3132A5H81
79763.53000000
PA
USD
82930.71000000
0.009035369594
Long
ABS-MBS
USGSE
US
N
2
2048-02-01
Fixed
3.50000000
N
N
N
N
N
N
Chubb INA Holdings Inc
CZCBJZWDMLTHWJDXU843
Chubb INA Holdings Inc
00440EAT4
20000.00000000
PA
USD
20069.92000000
0.002186634419
Long
DBT
CORP
US
N
2
2020-11-03
Fixed
2.30000000
N
N
N
N
N
N
Air Liquide Finance SA
549300YGXL5Z3R14K812
Air Liquide Finance SA
00913RAB2
733000.00000000
PA
USD
730379.51000000
0.079575453016
Long
DBT
CORP
FR
Y
2
2021-09-27
Fixed
1.75000000
N
N
N
N
N
N
Chicago Board of Trade
549300EX04Q2QBFQTQ27
FED FUND 30DAY JUL20 XCBT 20200731
000000000
32.00000000
NC
USD
-37563.80000000
-0.00409260714
N/A
DIR
US
N
1
Chicago Board of Trade
549300EX04Q2QBFQTQ27
Long
30 Day Federal Funds Futures
FFN0 Comdty
2020-07-31
13171281.08
USD
-37563.8
N
N
N
Freddie Mac - STACR
N/A
Freddie Mac Structured Agency Credit Risk Debt Notes
3137G0DW6
588192.27000000
PA
USD
614013.44000000
0.066897273236
Long
ABS-MBS
USGSE
US
N
2
2025-01-25
Floating
5.94000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31418DGN6
392798.08000000
PA
USD
410028.25000000
0.044672917704
Long
ABS-MBS
USGSE
US
N
2
2049-10-01
Fixed
4.00000000
N
N
N
N
N
N
Ecopetrol SA
254900IDGKCJICKBPA66
Ecopetrol SA
279158AJ8
350000.00000000
PA
USD
412562.50000000
0.044949026342
Long
DBT
CORP
CO
N
2
2045-05-28
Fixed
5.88000000
N
N
N
N
N
N
Residential Asset Securitization Trust
N/A
Residential Asset Securitization Trust 2003-A15
45660NWT8
18716.03000000
PA
USD
17011.10000000
0.001853373445
Long
ABS-MBS
CORP
US
N
2
2034-02-25
Floating
2.24000000
N
N
N
N
N
N
FannieMae Whole Loan
N/A
Fannie Mae REMIC Trust 2004-W5
31393YKM6
155166.92000000
PA
USD
177742.00000000
0.019365138228
Long
ABS-MBS
USGSE
US
N
2
2047-02-25
Fixed
6.00000000
N
N
N
N
N
N
Ambac Assurance Corp
549300RYYRVPPB8NC636
Ambac Assurance Corp
023138AA8
881.41000000
PA
USD
1304.49000000
0.000142125266
Long
DBT
CORP
US
Y
2
2020-06-07
Fixed
5.10000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140FE6B5
208722.02000000
PA
USD
219536.83000000
0.023918719599
Long
ABS-MBS
USGSE
US
N
2
2047-04-01
Fixed
4.00000000
N
N
N
N
N
N
British Telecommunications PLC
549300OWFMSO9NYV4H90
British Telecommunications PLC
111021AE1
30000.00000000
PA
USD
46075.16000000
0.005019926873
Long
DBT
CORP
GB
N
2
2030-12-15
Fixed
9.63000000
N
N
N
N
N
N
BankUnited Inc
96OVUWEW5D4YX6PFXD91
BankUnited Inc
06652KAA1
661000.00000000
PA
USD
720439.75000000
0.078492507925
Long
DBT
CORP
US
N
2
2025-11-17
Fixed
4.88000000
N
N
N
N
N
N
WESTERN MIDSTREAM OPERAT
L6D8A6MLSY454J2JXJ60
Western Midstream Operating LP
958254AF1
40000.00000000
PA
USD
40921.08000000
0.004458385584
Long
DBT
CORP
US
N
2
2026-07-01
Fixed
4.65000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31418AWX2
910356.46000000
PA
USD
937339.87000000
0.102123955785
Long
ABS-MBS
USGSE
US
N
2
2033-09-01
Fixed
3.00000000
N
N
N
N
N
N
Charter Communications Operating LLC / Charter Communications Operating Capital
N/A
Charter Communications Operating LLC / Charter Communications Operating Capital
161175BN3
350000.00000000
PA
USD
407635.23000000
0.044412196192
Long
DBT
CORP
US
N
2
2048-04-01
Fixed
5.75000000
N
N
N
N
N
N
Anthem Inc
8MYN82XMYQH89CTMTH67
Anthem Inc
036752AH6
675000.00000000
PA
USD
761563.38000000
0.082972961501
Long
DBT
CORP
US
N
2
2048-03-01
Fixed
4.55000000
N
N
N
N
N
N
Freddie Mac
N/A
Freddie Mac Gold Pool
3132QUBT9
413726.05000000
PA
USD
440527.41000000
0.047995826467
Long
ABS-MBS
USGSE
US
N
2
2045-11-01
Fixed
3.50000000
N
N
N
N
N
N
Singapore Government
549300ZSV6VOGFH1ER70
Singapore Government Bond
000000000
1437000.00000000
PA
1113599.74000000
0.121327614721
Long
DBT
NUSS
SG
N
2
2025-06-01
Fixed
2.38000000
N
N
N
N
N
N
Nestle Holdings Inc
549300EAEU8YV8MQXP30
Nestle Holdings Inc
641062AJ3
718000.00000000
PA
USD
733911.95000000
0.079960315282
Long
DBT
CORP
US
Y
2
2021-09-24
Fixed
3.10000000
N
N
N
N
N
N
Philip Morris International Inc
HL3H1H2BGXWVG3BSWR90
Philip Morris International Inc
718172AT6
90000.00000000
PA
USD
91112.17000000
0.009926746443
Long
DBT
CORP
US
N
2
2022-08-22
Fixed
2.50000000
N
N
N
N
N
N
Occidental Petroleum Corp
IM7X0T3ECJW4C1T7ON55
Occidental Petroleum Corp
674599CF0
30000.00000000
PA
USD
30952.17000000
0.003372264577
Long
DBT
CORP
US
N
2
2045-06-15
Fixed
4.63000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36179VBF6
1600000.00000000
PA
USD
1643140.85000000
0.179021557586
Long
ABS-MBS
USGA
US
N
2
2049-12-20
Fixed
3.00000000
N
N
N
N
N
N
ML-CFC Commercial Mortgage Trust
N/A
ML-CFC Commercial Mortgage Trust 2007-5
55312YAR3
175471.08000000
PA
USD
107440.94000000
0.011705779469
Long
ABS-MBS
CORP
US
Y
2
2048-08-12
Variable
5.45000000
N
N
N
N
N
N
FHLMC Multifamily Structured Pass Through Certs.
N/A
Freddie Mac Multifamily Structured Pass Through Certificates
3137FLN91
170000.00000000
PA
USD
183745.10000000
0.020019180949
Long
ABS-MBS
USGSE
US
N
2
2029-03-25
Fixed
3.51000000
N
N
N
N
N
N
Education Loan Asset-Backed Trust
5493000CKEJUMJ3IL355
Education Loan Asset-Backed Trust I
28140DAD5
580000.00000000
PA
USD
575418.70000000
0.062692344322
Long
ABS-O
CORP
US
Y
2
2032-04-26
Floating
2.59000000
N
N
N
N
N
N
Comcast Corp
51M0QTTNCGUN7KFCFZ59
Comcast Corp
20030NBS9
30000.00000000
PA
USD
31421.83000000
0.003423434423
Long
DBT
CORP
US
N
2
2026-03-01
Fixed
3.15000000
N
N
N
N
N
N
iHeartCommunications, Inc.
54930076J6KDZL504O62
iHeartCommunications, Inc. Exit Term Loan
45175AAB7
259296.65000000
PA
USD
261132.47000000
0.028450599055
Long
LON
CORP
US
N
2
2026-05-01
Floating
5.69000000
N
N
N
N
N
N
Freddie Mac Multiclass Certificates
N/A
Freddie Mac Multifamily PC REMIC Trust 2019-RR01
3137FQ3M3
2500000.00000000
PA
USD
271750.00000000
0.029607387750
Long
ABS-MBS
USGSE
US
N
2
2048-06-25
Variable
1.53000000
N
N
N
N
N
N
ASX - Trade24
549300USWUR0S7VMM868
AUST 10Y BOND FUT MAR20 XSFE 20200316
000000000
110.00000000
NC
-199907.72000000
-0.02178011179
N/A
DIR
AU
N
1
ASX - Trade24
549300USWUR0S7VMM868
Long
10 Year Commonwealth Treasury Bond
XMH0 Comdty
2020-03-16
16010265.7
AUD
-199907.72
N
N
N
Bank of America Credit Card Trust
5493006DQ60M1CRKHH19
BA Credit Card Trust
05522RCX4
1474000.00000000
PA
USD
1473844.35000000
0.160576563583
Long
ABS-O
CORP
US
N
2
2023-01-17
Fixed
1.84000000
N
N
N
N
N
N
CSMC 2019 RIO 12/22 1
N/A
CSMC 2019 RIO 12/22 1
12597HAA4
680000.00000000
PA
USD
680064.67000000
0.074093609493
Long
ABS-MBS
CORP
US
N
2
2022-12-15
Variable
4.76000000
N
N
N
N
N
N
Southern Co/The
549300FC3G3YU2FBZD92
Southern Co/The
842587CU9
712000.00000000
PA
USD
729896.40000000
0.079522817781
Long
DBT
CORP
US
N
2
2023-07-01
Fixed
2.95000000
N
N
N
N
N
N
Norwegian Government
549300O6E2WAK3IAXE34
Norway Government Bond
000000000
2985000.00000000
PA
341874.35000000
0.037247493807
Long
DBT
NUSS
NO
Y
2
2026-02-19
Fixed
1.50000000
N
N
N
N
N
N
Freddie Mac
N/A
Freddie Mac Pool
3133KHFW1
300000.00000000
PA
USD
305949.91000000
0.033333496292
Long
ABS-MBS
USGSE
US
N
2
2050-01-01
Fixed
3.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140HVBS2
100000.00000000
PA
USD
102500.17000000
0.011167478482
Long
ABS-MBS
USGSE
US
N
2
2031-08-01
Fixed
2.85000000
N
N
N
N
N
N
Chicago Board of Trade
549300EX04Q2QBFQTQ27
US 10YR FUT OPTN Feb20C 129.25
000000000
-14.00000000
NC
USD
-2843.75000000
-0.00030982891
N/A
DIR
US
N
1
Chicago Board of Trade
549300EX04Q2QBFQTQ27
Call
Written
Chicago Board of Trade
549300EX04Q2QBFQTQ27
Chicago Board of Trade
549300EX04Q2QBFQTQ27
10 Year US Treasury Note Future
N/A
14000.00000000
NC
N/A
-2843.75000000
0.00000000
DIR
US
Short
10 Year US Treasury Note
TYH0 Comdty
2020-03-20
14000.00000000
USD
1000.00000000
129.25
USD
2020-01-24
XXXX
-242.97
N
N
N
Amgen Inc
62QBXGPJ34PQ72Z12S66
Amgen Inc
031162CP3
274000.00000000
PA
USD
278069.18000000
0.030295867649
Long
DBT
CORP
US
N
2
2022-05-11
Fixed
2.65000000
N
N
N
N
N
N
Comcast Corp
51M0QTTNCGUN7KFCFZ59
Comcast Corp
20030NAY7
200000.00000000
PA
USD
284335.53000000
0.030978591675
Long
DBT
CORP
US
N
2
2039-07-01
Fixed
6.55000000
N
N
N
N
N
N
JP Morgan Mortgage Trust
5493002WZI1ZSAEIE710
JP Morgan Mortgage Trust 2019-1
46650HAF5
304532.78000000
PA
USD
303922.47000000
0.033112605024
Long
ABS-MBS
CORP
US
Y
2
2049-05-25
Variable
4.00000000
N
N
N
N
N
N
United States Treasury
254900HROIFWPRGM1V77
United States Treasury Note/Bond
912810SH2
290000.00000000
PA
USD
319285.84000000
0.034786456920
Long
DBT
UST
US
N
2
2049-05-15
Fixed
2.88000000
N
N
N
N
N
N
Tyson Foods Inc
WD6L6041MNRW1JE49D58
Tyson Foods Inc
902494AX1
237000.00000000
PA
USD
253933.05000000
0.027666216279
Long
DBT
CORP
US
N
2
2024-08-15
Fixed
3.95000000
N
N
N
N
N
N
Gilead Sciences Inc
549300WTZWR07K8MNV44
Gilead Sciences Inc
375558BF9
90000.00000000
PA
USD
96781.89000000
0.010544467136
Long
DBT
CORP
US
N
2
2026-03-01
Fixed
3.65000000
N
N
N
N
N
N
Fannie Mae - CAS
N/A
Fannie Mae Connecticut Avenue Securities
30711XAF1
811741.82000000
PA
USD
845280.31000000
0.092093990416
Long
ABS-MBS
USGSE
US
N
2
2024-05-25
Floating
4.39000000
N
N
N
N
N
N
Teva Pharmaceutical Finance Co BV
549300Q840R30TDKVK53
Teva Pharmaceutical Finance Co BV
88165FAF9
10000.00000000
PA
USD
9787.50000000
0.001066356237
Long
DBT
CORP
CW
N
2
2021-11-10
Fixed
3.65000000
N
N
N
N
N
N
United States Treasury
254900HROIFWPRGM1V77
United States Treasury Note/Bond
912828R77
8665000.00000000
PA
USD
8637151.82000000
0.941024850015
Long
DBT
UST
US
N
2
2021-05-31
Fixed
1.38000000
N
N
N
N
N
N
Andeavor LLC
N/A
Andeavor LLC
03349MAD7
225000.00000000
PA
USD
239633.59000000
0.026108278259
Long
DBT
CORP
US
N
2
2026-12-15
Fixed
5.13000000
N
N
N
N
N
N
MPLX LP
5493000CZJ19CK4P3G36
MPLX LP
55336VAE0
100000.00000000
PA
USD
106208.55000000
0.011571509557
Long
DBT
CORP
US
N
2
2023-07-15
Fixed
4.50000000
N
N
N
N
N
N
United States Treasury
254900HROIFWPRGM1V77
United States Treasury Note/Bond
912828S27
12245000.00000000
PA
USD
12156953.43000000
1.324510152944
Long
DBT
UST
US
N
2
2021-06-30
Fixed
1.13000000
N
N
N
N
N
N
Glencore Funding LLC
213800STG1QDNBY87K49
Glencore Funding LLC
378272AN8
350000.00000000
PA
USD
363396.18000000
0.039592315025
Long
DBT
CORP
US
Y
2
2027-03-27
Fixed
4.00000000
N
N
N
N
N
N
UBS GROUP AG
549300SZJ9VS8SGXAN81
UBS Group AG
90352JAC7
200000.00000000
PA
USD
218477.69000000
0.023803325418
Long
DBT
CORP
CH
Y
2
2028-03-23
Fixed
4.25000000
N
N
N
N
N
N
Sprint Spectrum Co LLC / Sprint Spectrum Co II LLC / Sprint Spectrum Co III LLC
5493003BZYYYCDIO0R13
Sprint Spectrum Co LLC / Sprint Spectrum Co II LLC / Sprint Spectrum Co III LLC
85208NAD2
240000.00000000
PA
USD
254155.20000000
0.027690419706
Long
DBT
CORP
US
Y
2
2025-03-20
Fixed
4.74000000
N
N
N
N
N
N
Credit Suisse Mortgage Trust
N/A
CSMC Trust 2017-CHOP
12651QAS8
600000.00000000
PA
USD
599676.00000000
0.065335197263
Long
ABS-MBS
CORP
US
Y
2
2032-07-15
Floating
7.36000000
N
N
N
N
N
N
State Street Bank and Trust Company
571474TGEMMWANRLN572
PURCHASED HKD / SOLD USD
000000000
1.00000000
NC
528.69000000
0.000057601213
N/A
DFE
HK
N
2
State Street Bank and Trust Company
571474TGEMMWANRLN572
753836.68000000
USD
5881130.00000000
HKD
2020-02-26
528.69
N
N
N
Freddie Mac
N/A
Freddie Mac Pool
3133KGPZ5
492610.58000000
PA
USD
502380.53000000
0.054734775160
Long
ABS-MBS
USGSE
US
N
2
2049-09-01
Fixed
3.00000000
N
N
N
N
N
N
Jefferies Group LLC
NY9Q8VBNB6D1L6YV0J84
Jefferies Group LLC
472319AM4
635000.00000000
PA
USD
754957.53000000
0.082253248668
Long
DBT
CORP
US
N
2
2043-01-20
Fixed
6.50000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38379WWN8
108591.32000000
PA
USD
19098.02000000
0.002080745109
Long
ABS-MBS
USGA
US
N
2
2046-04-20
Floating
4.29000000
N
N
N
N
N
N
Ford Motor Co
20S05OYHG0MQM4VUIC57
Ford Motor Co
345370CQ1
10000.00000000
PA
USD
8844.47000000
0.000963612337
Long
DBT
CORP
US
N
2
2043-01-15
Fixed
4.75000000
N
N
N
N
N
N
Chicago Board of Trade
549300EX04Q2QBFQTQ27
US 10YR NOTE (CBT)MAR20 XCBT 20200320
000000000
1302.00000000
NC
USD
-1562996.88000000
-0.17028980562
N/A
DIR
US
N
1
Chicago Board of Trade
549300EX04Q2QBFQTQ27
Long
10 Year US Treasury Note
TYH0 Comdty
2020-03-20
168768278.15
USD
-1562996.88
N
N
N
Energy Transfer Operating LP
5493008K8W3OKZE54J59
Energy Transfer Operating LP
29278NAM5
653000.00000000
PA
USD
722436.04000000
0.078710005376
Long
DBT
CORP
US
N
2
2024-01-15
Fixed
5.88000000
N
N
N
N
N
N
Energy Transfer Operating LP
5493008K8W3OKZE54J59
Energy Transfer Operating LP
29279FAA7
10000.00000000
PA
USD
12034.99000000
0.001311222136
Long
DBT
CORP
US
N
2
2049-04-15
Fixed
6.25000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140JSTQ2
92810.16000000
PA
USD
94230.97000000
0.010266542288
Long
ABS-MBS
USGSE
US
N
2
2049-07-01
Fixed
3.00000000
N
N
N
N
N
N
State Street Bank and Trust Company
571474TGEMMWANRLN572
PURCHASED CLP / SOLD USD
000000000
1.00000000
NC
4493.26000000
0.000489544401
N/A
DFE
CL
N
2
State Street Bank and Trust Company
571474TGEMMWANRLN572
366801.09000000
USD
279025590.00000000
CLP
2020-02-26
4493.26
N
N
N
Towd Point Mortgage Trust
N/A
Towd Point Mortgage Trust 2019-1
89177BAA3
1303749.75000000
PA
USD
1352810.90000000
0.147389868882
Long
ABS-MBS
CORP
US
Y
2
2058-03-25
Variable
3.75000000
N
N
N
N
N
N
Siemens Financieringsmaatschappij NV
TAFO772JB70PDRN5VS48
Siemens Financieringsmaatschappij NV
82620KAJ2
250000.00000000
PA
USD
249566.27000000
0.027190451978
Long
DBT
CORP
NL
Y
2
2021-09-15
Fixed
1.70000000
N
N
N
N
N
N
Microsoft Corp
INR2EJN1ERAN0W5ZP974
Microsoft Corp
594918BX1
180000.00000000
PA
USD
186634.82000000
0.020334018338
Long
DBT
CORP
US
N
2
2024-02-06
Fixed
2.88000000
N
N
N
N
N
N
Chicago Board of Trade
549300EX04Q2QBFQTQ27
US 5YR NOTE (CBT) MAR20 XCBT 20200331
000000000
-14.00000000
NC
USD
5105.90000000
0.000556292037
N/A
DIR
US
N
1
Chicago Board of Trade
549300EX04Q2QBFQTQ27
Short
5 Year US Treasury Note
FVH0 Comdty
2020-03-31
-1665637.15
USD
5105.9
N
N
N
Freddie Mac
N/A
Freddie Mac Pool
3132ACSS0
2708300.26000000
PA
USD
2786295.65000000
0.303569220592
Long
ABS-MBS
USGSE
US
N
2
2046-10-01
Fixed
3.00000000
N
N
N
N
N
N
Wynn Resorts Limited Term Loan A
N/A
WYNN RESORTS LIMITED TERM LOAN A
98313DAC1
360000.00000000
PA
USD
360151.20000000
0.039238771764
Long
LON
CORP
US
N
2
2024-09-20
None
0.00000000
N
N
N
N
N
N
Eurex Deutschland
529900LN3S50JPU47S06
EURO-OAT FUTURE MAR20 XEUR 20200306
000000000
-45.00000000
NC
132681.51000000
0.014455760492
N/A
DIR
DE
N
1
Eurex Deutschland
529900LN3S50JPU47S06
Short
Euro-OAT
OATH0 Comdty
2020-03-06
-7442936.1
EUR
132681.51
N
N
N
Banco Santander SA
5493006QMFDDMYWIAM13
Banco Santander SA
05971KAD1
400000.00000000
PA
USD
405341.99000000
0.044162345793
Long
DBT
CORP
ES
N
2
2024-06-27
Fixed
2.71000000
N
N
N
N
N
N
Freddie Mac
N/A
Freddie Mac Pool
3133KGP51
235435.83000000
PA
USD
239872.51000000
0.026134308791
Long
ABS-MBS
USGSE
US
N
2
2049-09-01
Fixed
3.00000000
N
N
N
N
N
N
United Technologies Corp
I07WOS4YJ0N7YRFE7309
United Technologies Corp
913017BT5
20000.00000000
PA
USD
23911.50000000
0.002605177744
Long
DBT
CORP
US
N
2
2042-06-01
Fixed
4.50000000
N
N
N
N
N
N
Abbott Laboratories
HQD377W2YR662HK5JX27
Abbott Laboratories
002824BG4
60000.00000000
PA
USD
74882.00000000
0.008158455968
Long
DBT
CORP
US
N
2
2036-11-30
Fixed
4.75000000
N
N
N
N
N
N
Charter Communications Operating LLC / Charter Communications Operating Capital
N/A
Charter Communications Operating LLC / Charter Communications Operating Capital
161175AY0
420000.00000000
PA
USD
462317.95000000
0.050369923862
Long
DBT
CORP
US
N
2
2025-07-23
Fixed
4.91000000
N
N
N
N
N
N
Delta Air Lines Inc
Q2CCMS6R0AS67HJMBN42
Delta Air Lines Inc
247361ZJ0
223000.00000000
PA
USD
228287.62000000
0.024872125423
Long
DBT
CORP
US
N
2
2022-03-15
Fixed
3.63000000
N
N
N
N
N
N
Boeing Co/The
RVHJWBXLJ1RFUBSY1F30
Boeing Co/The
097023CM5
40000.00000000
PA
USD
40511.00000000
0.004413707029
Long
DBT
CORP
US
N
2
2027-02-01
Fixed
2.70000000
N
N
N
N
N
N
BAC Capital Trust XIV
549300QO5OB3VGJT6S64
BAC Capital Trust XIV
05518VAA3
70000.00000000
PA
USD
64050.00000000
0.006978300590
Long
DBT
CORP
US
N
2
2020-01-16
Variable
4.00000000
N
N
N
N
N
N
Progress Energy Inc
549300FBMTW0JYWMNB26
Progress Energy Inc
743263AG0
173000.00000000
PA
USD
236044.33000000
0.025717225407
Long
DBT
CORP
US
N
2
2031-10-30
Fixed
7.00000000
N
N
N
N
N
N
Triton Container Finance LLC
549300OMF3OYQS47M552
Triton Container Finance IV LLC
89679HAE5
513961.10000000
PA
USD
512929.53000000
0.055884097454
Long
ABS-O
CORP
US
Y
2
2042-08-20
Fixed
3.62000000
N
N
N
N
N
N
WAMU Mortgage Pass-Through Certificates
N/A
WaMu Mortgage Pass-Through Certificates Series 2003-AR7 Trust
9292276K7
50533.61000000
PA
USD
51025.14000000
0.005559231297
Long
ABS-MBS
CORP
US
N
2
2033-08-25
Variable
4.43000000
N
N
N
N
N
N
BX Commercial Mortgage Trust
N/A
BX Commercial Mortgage Trust 2018-IND
056059AS7
133000.00000000
PA
USD
133331.00000000
0.014526522966
Long
ABS-MBS
CORP
US
Y
2
2035-11-15
Floating
3.79000000
N
N
N
N
N
N
WILLIAMS COMPANIES INC
D71FAKCBLFS2O0RBPG08
Williams Cos Inc/The
96950FAD6
40000.00000000
PA
USD
40234.88000000
0.004383623526
Long
DBT
CORP
US
N
2
2020-03-15
Fixed
5.25000000
N
N
N
N
N
N
Becton Dickinson and Co
ICE2EP6D98PQUILVRZ91
Becton Dickinson and Co
075887BG3
8000.00000000
PA
USD
9335.57000000
0.001017118089
Long
DBT
CORP
US
N
2
2044-12-15
Fixed
4.69000000
N
N
N
N
N
N
Caesars Resort Collection, LLC
549300V3UCT773B1KR38
Caesars Resort Collection, LLC 2017 1st Lien Term Loan B
12769LAB5
138643.21000000
PA
USD
138787.40000000
0.015121002269
Long
LON
CORP
US
N
2
2024-12-23
Floating
4.55000000
N
N
N
N
N
N
JPMorgan Chase Bank, National Association
7H6GLXDRUGQFU57RNE97
PURCHASED USD / SOLD NZD
000000000
1.00000000
NC
-132242.44000000
-0.01440792345
N/A
DFE
US
N
2
JPMorgan Chase Bank, National Association
7H6GLXDRUGQFU57RNE97
9190000.00000000
NZD
6058323.70000000
USD
2020-02-18
-132242.44
N
N
N
BCAP LLC Trust
N/A
BCAP LLC 2010-RR7 Trust
05533DBJ4
760739.27000000
PA
USD
704334.03000000
0.076737776382
Long
ABS-MBS
CORP
US
Y
2
2035-08-26
Variable
3.84000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31381QTL0
395000.00000000
PA
USD
402641.60000000
0.043868136064
Long
ABS-MBS
USGSE
US
N
2
2021-04-01
Fixed
4.25000000
N
N
N
N
N
N
JPMorgan Chase & Co
8I5DZWZKVSZI1NUHU748
JPMorgan Chase & Co
46647PAX4
260000.00000000
PA
USD
295510.15000000
0.032196075787
Long
DBT
CORP
US
N
2
2029-12-05
Variable
4.45000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31417WUF6
49782.03000000
PA
USD
55240.01000000
0.006018444877
Long
ABS-MBS
USGSE
US
N
2
2040-01-01
Fixed
5.50000000
N
N
N
N
N
N
Halliburton Co
ENYF8GB5SMQZ25S06U51
Halliburton Co
406216BJ9
130000.00000000
PA
USD
146783.42000000
0.015992175275
Long
DBT
CORP
US
N
2
2035-11-15
Fixed
4.85000000
N
N
N
N
N
N
Barclays PLC
213800LBQA1Y9L22JB70
Barclays PLC
06738EAV7
660000.00000000
PA
USD
775324.59000000
0.084472256737
Long
DBT
CORP
GB
N
2
2047-01-10
Fixed
4.95000000
N
N
N
N
N
N
Kinder Morgan Inc/DE
549300WR7IX8XE0TBO16
Kinder Morgan Inc/DE
49456BAF8
80000.00000000
PA
USD
86723.81000000
0.009448630983
Long
DBT
CORP
US
N
2
2025-06-01
Fixed
4.30000000
N
N
N
N
N
N
BP Capital Markets America Inc
5493009NTB34VXE1T760
BP Capital Markets America Inc
10373QBA7
250000.00000000
PA
USD
253171.29000000
0.027583221896
Long
DBT
CORP
US
N
2
2022-09-19
Fixed
2.52000000
N
N
N
N
N
N
Charter Communications Operating LLC / Charter Communications Operating Capital
N/A
Charter Communications Operating LLC / Charter Communications Operating Capital
161175AX2
80000.00000000
PA
USD
80508.68000000
0.008771487418
Long
DBT
CORP
US
N
2
2020-07-23
Fixed
3.58000000
N
N
N
N
N
N
Chicago Board of Trade
549300EX04Q2QBFQTQ27
US 5YR FUTR OPTN Feb20P 118
000000000
-25.00000000
NC
USD
-1953.13000000
-0.00021279513
N/A
DIR
US
N
1
Chicago Board of Trade
549300EX04Q2QBFQTQ27
Put
Written
Chicago Board of Trade
549300EX04Q2QBFQTQ27
Chicago Board of Trade
549300EX04Q2QBFQTQ27
5 Year US Treasury Note Future
N/A
25000.00000000
NC
N/A
-1953.13000000
0.00000000
DIR
US
Long
5 Year US Treasury Note
FVH0 Comdty
2020-03-31
25000.00000000
USD
1000.00000000
118
USD
2020-01-24
XXXX
4253.62
N
N
N
EQM Midstream Partners LP
549300NELT611CL6XM83
EQM Midstream Partners LP
26885BAD2
260000.00000000
PA
USD
260659.05000000
0.028399019554
Long
DBT
CORP
US
N
2
2023-07-15
Fixed
4.75000000
N
N
N
N
N
N
Crown Castle International Corp
54930012H97VSM0I2R19
Crown Castle International Corp
228227BE3
299000.00000000
PA
USD
316625.85000000
0.034496648804
Long
DBT
US
N
2
2022-04-15
Fixed
4.88000000
N
N
N
N
N
N
Singapore Government
549300ZSV6VOGFH1ER70
Singapore Government Bond
000000000
963000.00000000
PA
723163.14000000
0.078789223523
Long
DBT
NUSS
SG
N
2
2021-06-01
Fixed
2.25000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31418CXP4
2712374.68000000
PA
USD
2864741.87000000
0.312116001285
Long
ABS-MBS
USGSE
US
N
2
2048-06-01
Fixed
4.50000000
N
N
N
N
N
N
GE Capital International Funding Co Unlimited Co
549300G6UZOB126GBY72
GE Capital International Funding Co Unlimited Co
36164QNA2
600000.00000000
PA
USD
638865.52000000
0.069604927951
Long
DBT
CORP
IE
N
2
2035-11-15
Fixed
4.42000000
N
N
N
N
N
N
Morgan Stanley
IGJSJL3JD5P30I6NJZ34
Morgan Stanley
61744YAP3
20000.00000000
PA
USD
21502.31000000
0.002342694497
Long
DBT
CORP
US
N
2
2029-01-24
Variable
3.77000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31414EHC1
157008.33000000
PA
USD
176071.04000000
0.019183085751
Long
ABS-MBS
USGSE
US
N
2
2038-06-01
Fixed
5.50000000
N
N
N
N
N
N
CityCenter Holdings, LLC
N/A
CityCenter Holdings, LLC 2017 Term Loan B
17875LAL3
31916.14000000
PA
USD
32025.61000000
0.003489216755
Long
LON
CORP
US
N
2
2024-04-18
Floating
4.05000000
N
N
N
N
N
N
American Home Mortgage Investment Trust
N/A
American Home Mortgage Investment Trust 2004-4
02660TCS0
11361.00000000
PA
USD
11425.19000000
0.001244783920
Long
ABS-MBS
CORP
US
N
2
2045-02-25
Floating
3.91000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38378NWU3
82781.23000000
PA
USD
84733.82000000
0.009231819923
Long
ABS-MBS
USGA
US
N
2
2048-06-16
Variable
2.55000000
N
N
N
N
N
N
Chicago Board of Trade
549300EX04Q2QBFQTQ27
US 5YR FUTR OPTN Feb20P 118.25
000000000
-21.00000000
NC
USD
-2953.13000000
-0.00032174596
N/A
DIR
US
N
1
Chicago Board of Trade
549300EX04Q2QBFQTQ27
Put
Written
Chicago Board of Trade
549300EX04Q2QBFQTQ27
Chicago Board of Trade
549300EX04Q2QBFQTQ27
5 Year US Treasury Note Future
N/A
21000.00000000
NC
N/A
-2953.13000000
0.00000000
DIR
US
Long
5 Year US Treasury Note
FVH0 Comdty
2020-03-31
21000.00000000
USD
1000.00000000
118.25
USD
2020-01-24
XXXX
2916.79
N
N
N
Fannie Mae
N/A
Fannie Mae REMICS
3136AX4N2
340833.51000000
PA
USD
68452.66000000
0.007457974046
Long
ABS-MBS
USGSE
US
N
2
2057-10-25
Floating
4.31000000
N
N
N
N
N
N
Royal Bank of Scotland Group PLC
2138005O9XJIJN4JPN90
Royal Bank of Scotland Group PLC
780097BJ9
200000.00000000
PA
USD
212332.18000000
0.023133767010
Long
DBT
CORP
GB
N
2
2024-06-25
Variable
4.52000000
N
N
N
N
N
N
Bank of Nova Scotia/The
L3I9ZG2KFGXZ61BMYR72
Bank of Nova Scotia/The
064159HM1
724000.00000000
PA
USD
729716.20000000
0.079503184842
Long
DBT
CORP
CA
N
2
2021-03-22
Fixed
2.45000000
N
N
N
N
N
N
United States Treasury
254900HROIFWPRGM1V77
United States Treasury Note/Bond
912828M56
2545000.00000000
PA
USD
2611493.80000000
0.284524414144
Long
DBT
UST
US
N
2
2025-11-15
Fixed
2.25000000
N
N
N
N
N
N
Comcast Cable Communications Holdings Inc
N/A
Comcast Cable Communications Holdings Inc
00209TAB1
583000.00000000
PA
USD
704198.80000000
0.076723042961
Long
DBT
CORP
US
N
2
2022-11-15
Fixed
9.46000000
N
N
N
N
N
N
BX Commercial Mortgage Trust
N/A
BX Commercial Mortgage Trust 2018-BIOA
056057AN2
1575000.00000000
PA
USD
1573615.10000000
0.171446669494
Long
ABS-MBS
CORP
US
Y
2
2037-03-15
Floating
3.69000000
N
N
N
N
N
N
United States Treasury
254900HROIFWPRGM1V77
United States Treasury Note/Bond
912828VB3
19405000.00000000
PA
USD
19466837.53000000
2.120928084710
Long
DBT
UST
US
N
2
2023-05-15
Fixed
1.75000000
N
N
N
N
N
N
United Rentals North America Inc
NGIZXNT70J2LYT3FBI09
United Rentals North America Inc
911365BG8
30000.00000000
PA
USD
31236.90000000
0.003403286146
Long
DBT
CORP
US
N
2
2028-01-15
Fixed
4.88000000
N
N
N
N
N
N
APi Group DE, Inc.
549300XP4G7B4QYA0G83
APi Group DE, Inc. Term Loan B
00186XAB9
320000.00000000
PA
USD
322265.60000000
0.035111104241
Long
LON
CORP
US
N
2
2026-10-01
Floating
4.30000000
N
N
N
N
N
N
Schlumberger Holdings Corp
529900IKZG65COT1D505
Schlumberger Holdings Corp
806851AG6
40000.00000000
PA
USD
43036.07000000
0.004688815498
Long
DBT
CORP
US
Y
2
2025-12-21
Fixed
4.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140JQQE6
681729.23000000
PA
USD
697756.92000000
0.076021194795
Long
ABS-MBS
USGSE
US
N
2
2049-07-01
Fixed
3.00000000
N
N
N
N
N
N
Citigroup Inc
6SHGI4ZSSLCXXQSBB395
Citigroup Inc
172967MD0
55000.00000000
PA
USD
68574.31000000
0.007471227914
Long
DBT
CORP
US
N
2
2048-07-23
Fixed
4.65000000
N
N
N
N
N
N
Bank of America Corp
9DJT3UXIJIZJI4WXO774
Bank of America Corp
06051GHC6
42000.00000000
PA
USD
43012.14000000
0.004686208305
Long
DBT
CORP
US
N
2
2023-12-20
Variable
3.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140QBSK5
785212.80000000
PA
USD
800786.00000000
0.087246298461
Long
ABS-MBS
USGSE
US
N
2
2049-09-01
Fixed
3.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140H3ZJ8
81169.31000000
PA
USD
83266.08000000
0.009071908434
Long
ABS-MBS
USGSE
US
N
2
2037-12-01
Fixed
3.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31402Q6N6
19693.65000000
PA
USD
22586.14000000
0.002460778674
Long
ABS-MBS
USGSE
US
N
2
2032-08-01
Fixed
6.00000000
N
N
N
N
N
N
Freddie Mac
N/A
Freddie Mac Gold Pool
3128M8VM3
211094.01000000
PA
USD
229860.95000000
0.025043541031
Long
ABS-MBS
USGSE
US
N
2
2041-07-01
Fixed
4.50000000
N
N
N
N
N
N
Sunoco Logistics Partners Operations LP
5493006LL0CKP8WQW329
Sunoco Logistics Partners Operations LP
86765BAN9
269000.00000000
PA
USD
282678.35000000
0.030798040541
Long
DBT
CORP
US
N
2
2024-04-01
Fixed
4.25000000
N
N
N
N
N
N
UBS AG
BFM8T61CT2L1QCEMIK50
PURCHASED USD / SOLD JPY
000000000
1.00000000
NC
-34383.24000000
-0.00374608249
N/A
DFE
US
N
2
UBS AG
BFM8T61CT2L1QCEMIK50
566608560.00000000
JPY
5184758.54000000
USD
2020-01-22
-34383.24
N
N
N
UBS Group AG
549300SZJ9VS8SGXAN81
UBS Group AG
902613AA6
200000.00000000
PA
USD
203455.26000000
0.022166619218
Long
DBT
CORP
CH
Y
2
2030-08-13
Variable
3.13000000
N
N
N
N
N
N
Northrop Grumman Corp
RIMU48P07456QXSO0R61
Northrop Grumman Corp
666807BQ4
717000.00000000
PA
USD
727487.67000000
0.079260384651
Long
DBT
CORP
US
N
2
2022-10-15
Fixed
2.55000000
N
N
N
N
N
N
Goldman Sachs & Co. LLC
FOR8UP27PHTHYVLBNG30
9WR019648 SWAPTION RECEIVER FEB20 1.37 CALL
000000000
-980000.00000000
OU
Notional Amount
USD
-229.42000000
-0.00002499549
N/A
DIR
US
N
2
Goldman Sachs & Co. LLC
FOR8UP27PHTHYVLBNG30
Call
Written
Goldman Sachs & Co. LLC
FOR8UP27PHTHYVLBNG30
Goldman Sachs & Co. LLC
FOR8UP27PHTHYVLBNG30
IRS Swap
N/A
980000.00000000
OU
Notional Amount
N/A
-229.42000000
0.00000000
DIR
US
ICE Libor USD 3 Months
US0003M Index
2025-02-06
0.00000000
N/A
0.00000000
N/A
980000.00000000
USD
1.00000000
1.37
USD
2020-02-04
XXXX
2502.33
N
N
N
Keurig Dr Pepper Inc
DYTQ8KRTKO7Y2BVU5K74
Keurig Dr Pepper Inc
49271VAE0
608000.00000000
PA
USD
620848.71000000
0.067641981568
Long
DBT
CORP
US
N
2
2021-05-25
Fixed
3.55000000
N
N
N
N
N
N
Transcontinental Gas Pipe Line Co LLC
N/A
Transcontinental Gas Pipe Line Co LLC
893574AH6
220000.00000000
PA
USD
279369.16000000
0.030437501547
Long
DBT
CORP
US
N
2
2026-02-01
Fixed
7.85000000
N
N
N
N
N
N
Option One Mortgage Loan Trust
N/A
Option One Mortgage Loan Trust 2007-FXD1
68402VAF9
790111.56000000
PA
USD
788690.07000000
0.085928436861
Long
ABS-MBS
CORP
US
N
2
2037-01-25
Variable
5.86000000
N
N
N
N
N
N
PCI Gaming Authority
549300KPXAJ1LRW5LP59
PCI Gaming Authority Term Loan
70455DAG9
81467.31000000
PA
USD
81942.26000000
0.008927677147
Long
LON
CORP
US
N
2
2026-05-29
Floating
4.30000000
N
N
N
N
N
N
United States Treasury
254900HROIFWPRGM1V77
United States Treasury Inflation Indexed Bonds
912810FQ6
4117233.20000000
PA
USD
5651816.10000000
0.615770048814
Long
DBT
UST
US
N
2
2032-04-15
Fixed
3.38000000
N
N
N
N
N
N
Madison Park Funding Ltd
N/A
Madison Park Funding XVIII Ltd
55819BAL4
872000.00000000
PA
USD
872105.51000000
0.095016618191
Long
ABS-CBDO
CORP
KY
Y
2
2030-10-21
Floating
3.16000000
N
N
N
N
N
N
Emirate of Abu Dhabi
213800FER4348CINTA77
Abu Dhabi Government International Bond
29135LAC4
200000.00000000
PA
USD
202454.00000000
0.022057531111
Long
DBT
NUSS
AE
Y
2
2022-10-11
Fixed
2.50000000
N
N
N
N
N
N
Credit Suisse Mortgage Trust
N/A
CSMC Trust 2018-PLUM
12653QAA5
33102.60000000
PA
USD
33120.30000000
0.003608484138
Long
ABS-MBS
CORP
US
Y
2
2020-08-15
Variable
4.97000000
N
N
N
N
N
N
Goldman Sachs Group Inc/The
784F5XWPLTWKTBV3E584
Goldman Sachs Group Inc/The
38141GWZ3
50000.00000000
PA
USD
55059.47000000
0.005998774894
Long
DBT
CORP
US
N
2
2029-05-01
Variable
4.22000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae
21H030617
4500000.00000000
PA
USD
4619333.79000000
0.503280245328
Long
ABS-MBS
USGA
US
N
2
2050-01-21
Fixed
3.00000000
N
N
N
N
N
N
Banc of America Funding Corporation
N/A
Banc of America Funding 2005-D Trust
06051GDM8
259512.42000000
PA
USD
264571.69000000
0.028825304925
Long
ABS-MBS
CORP
US
N
2
2035-05-25
Variable
4.67000000
N
N
N
N
N
N
Applebees/IHOP Funding LLC
N/A
Applebee's Funding LLC / IHOP Funding LLC
03789XAD0
340000.00000000
PA
USD
344678.40000000
0.037552997379
Long
ABS-O
CORP
US
Y
2
2049-06-07
Fixed
4.19000000
N
N
N
N
N
N
Bharti Airtel International Netherlands BV
724500ULW6PWKDAI7I46
Bharti Airtel International Netherlands BV
08861JAA7
693000.00000000
PA
USD
727479.25000000
0.079259467285
Long
DBT
CORP
NL
Y
2
2023-03-11
Fixed
5.13000000
N
N
N
N
N
N
BP Capital Markets America Inc
5493009NTB34VXE1T760
BP Capital Markets America Inc
10373QAW0
290000.00000000
PA
USD
301938.44000000
0.032896443310
Long
DBT
CORP
US
N
2
2023-11-28
Fixed
3.22000000
N
N
N
N
N
N
Medtronic Inc
D56MRZY2INAN94ZONZ37
Medtronic Inc
585055BR6
254000.00000000
PA
USD
261131.57000000
0.028450501000
Long
DBT
CORP
US
N
2
2022-03-15
Fixed
3.15000000
N
N
N
N
N
N
UnitedHealth Group Inc
549300GHBMY8T5GXDE41
UnitedHealth Group Inc
91324PCH3
40000.00000000
PA
USD
40787.68000000
0.004443851544
Long
DBT
CORP
US
N
2
2021-12-15
Fixed
2.88000000
N
N
N
N
N
N
Citigroup Global Markets Inc.
MBNUM2BPBDO7JBLYG310
Long: 0WP293095 IRS BRL R F 8.41000 2 NDFPREDISWAP / Short: 0WP293095 IRS BRL P V 00MBRCDI 1 NDFPREDISWAP
000000000
2600000.00000000
OU
Notional Amount
20563.53000000
0.002240413638
N/A
DIR
US
N
2
Citigroup Global Markets Inc.
MBNUM2BPBDO7JBLYG310
Brazil Cetip DI Interbank Deposit Rate
BZDIOVRA Index
Y
2020-01-02
10.57
BRL
0
BRL
2600000
BRL
20623.19
N
N
N
EOG Resources Inc
XWTZDRYZPBUHIQBKDB46
EOG Resources Inc
26875PAP6
30000.00000000
PA
USD
32947.34000000
0.003589640002
Long
DBT
CORP
US
N
2
2026-01-15
Fixed
4.15000000
N
N
N
N
N
N
Inversiones CMPC SA/Cayman Islands Branch
549300G475ACIABB4385
Inversiones CMPC SA/Cayman Islands Branch
46131NAD6
214000.00000000
PA
USD
220904.93000000
0.024067775228
Long
DBT
CORP
CL
Y
2
2022-04-25
Fixed
4.50000000
N
N
N
N
N
N
Bank of America, National Association
B4TYDEB6GKMZO031MB27
PURCHASED HUF / SOLD USD
000000000
1.00000000
NC
66211.15000000
0.007213759674
N/A
DFE
HU
N
2
Bank of America, National Association
B4TYDEB6GKMZO031MB27
2659926.67000000
USD
802208350.00000000
HUF
2020-02-26
66211.15
N
N
N
Bristol-Myers Squibb Co
HLYYNH7UQUORYSJQCN42
Bristol-Myers Squibb Co
110122CB2
170000.00000000
PA
USD
181669.79000000
0.019793074204
Long
DBT
CORP
US
Y
2
2029-07-26
Fixed
3.40000000
N
N
N
N
N
N
AerCap Ireland Capital DAC / AerCap Global Aviation Trust
N/A
AerCap Ireland Capital DAC / AerCap Global Aviation Trust
00772BAM3
652000.00000000
PA
USD
683457.46000000
0.074463256776
Long
DBT
CORP
IE
N
2
2021-10-01
Fixed
5.00000000
N
N
N
N
N
N
Benchmark Mortgage Trust
N/A
BENCHMARK 2018-B7 Mortgage Trust
08162TBB8
1567000.00000000
PA
USD
1792214.10000000
0.195263211738
Long
ABS-MBS
CORP
US
N
2
2053-05-15
Variable
4.51000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140X4XH4
478536.46000000
PA
USD
498510.05000000
0.054313083156
Long
ABS-MBS
USGSE
US
N
2
2034-10-01
Fixed
3.50000000
N
N
N
N
N
N
Eaton Corp
0NZWDMRCE180888QQE14
Eaton Corp
278062AE4
40000.00000000
PA
USD
44632.98000000
0.004862800166
Long
DBT
CORP
US
N
2
2042-11-02
Fixed
4.15000000
N
N
N
N
N
N
HSBC Holdings PLC
MLU0ZO3ML4LN2LL2TL39
HSBC Holdings PLC
404280BN8
200000.00000000
PA
USD
212250.00000000
0.023124813431
Long
DBT
CORP
GB
N
2
2023-03-23
Variable
6.25000000
N
N
N
N
N
N
Express Scripts Holding Co
5493003UA6VMND084504
Express Scripts Holding Co
30219GAR9
278000.00000000
PA
USD
279545.20000000
0.030456681251
Long
DBT
CORP
US
N
2
2020-11-30
Fixed
2.60000000
N
N
N
N
N
N
Anheuser-Busch InBev Worldwide Inc
549300CRGMZK3K53BF92
Anheuser-Busch InBev Worldwide Inc
035240AF7
207000.00000000
PA
USD
255329.53000000
0.027818363932
Long
DBT
CORP
US
N
2
2035-06-15
Fixed
5.88000000
N
N
N
N
N
N
Total Capital SA
529900QI55ZLJVCMPA71
Total Capital SA
89152UAB8
230000.00000000
PA
USD
240307.31000000
0.026181680612
Long
DBT
CORP
FR
N
2
2021-12-15
Fixed
4.25000000
N
N
N
N
N
N
First Eagle Investment Management, LLC
549300ZKYR56QRODD510
First Eagle Investment Management, LLC 2018 Term Loan B
05554JAG2
49549.61000000
PA
USD
49776.55000000
0.005423196381
Long
LON
CORP
US
N
2
2024-12-02
Floating
4.69000000
N
N
N
N
N
N
United Mexican States
254900EGTWEU67VP6075
Mexico Government International Bond
91086QBB3
20000.00000000
PA
USD
22100.00000000
0.002407813318
Long
DBT
NUSS
MX
N
2
2044-03-08
Fixed
4.75000000
N
N
N
N
N
N
Glencore Funding LLC
213800STG1QDNBY87K49
Glencore Funding LLC
378272AT5
430000.00000000
PA
USD
450027.04000000
0.049030819029
Long
DBT
CORP
US
Y
2
2024-03-12
Fixed
4.13000000
N
N
N
N
N
N
Nutrien Ltd
5493002QQ7GD21OWF963
Nutrien Ltd
67077MAC2
264000.00000000
PA
USD
275555.89000000
0.030022042620
Long
DBT
CORP
CA
N
2
2024-03-15
Fixed
3.63000000
N
N
N
N
N
N
JPMorgan Chase Bank, National Association
7H6GLXDRUGQFU57RNE97
PURCHASED USD / SOLD MXN
000000000
1.00000000
NC
-65471.13000000
-0.00713313388
N/A
DFE
US
N
2
JPMorgan Chase Bank, National Association
7H6GLXDRUGQFU57RNE97
66349000.00000000
MXN
3405359.35000000
USD
2020-03-17
-65471.13
N
N
N
Concho Resources Inc
SYHS7HRDXLL4I0IQ8776
Concho Resources Inc
20605PAK7
90000.00000000
PA
USD
98009.80000000
0.010678248949
Long
DBT
CORP
US
N
2
2028-08-15
Fixed
4.30000000
N
N
N
N
N
N
Freddie Mac
N/A
Freddie Mac Pool
3132AD6M5
146075.06000000
PA
USD
150132.50000000
0.016357060317
Long
ABS-MBS
USGSE
US
N
2
2049-03-01
Fixed
3.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140HVFM1
100000.00000000
PA
USD
101710.27000000
0.011081418222
Long
ABS-MBS
USGSE
US
N
2
2031-08-01
Fixed
2.77000000
N
N
N
N
N
N
Citadel Securities LP
549300NV5RXBUS3X7L47
Citadel Securities LP Term Loan B
17288YAB8
269196.61000000
PA
USD
269702.70000000
0.029384332718
Long
LON
CORP
US
N
2
2026-02-27
Floating
5.30000000
N
N
N
N
N
N
2020-02-03
RUSSELL INVESTMENT FUNDS
Mark Swanson
Mark Swanson
Treasurer