US TREASURY N/B 4.375000% 05/15/2040

NPORT-P false 0000908802 XXXXXXXX S000008370 C000022905 SCHRODER SERIES TRUST 811-07840 0000908802 549300TV3GV0UMR8BD68 ONE FREEDOM VALLEY DRIVE OAKS 19456 8004643108 Schroder Total Return Fixed Income Fund S000008370 IRRNMKFCYVSX3Y3Y4S42 2020-10-31 2020-01-31 N 44362451.82 712243.49 43650208.33 0 0 0 0 0 0 0 0 0 0 0 0 0 1672935.86 USD N United States of America 254900HROIFWPRGM1V77 US TREASURY N/B 4.375000% 05/15/2040 912810QH4 340300.00000000 PA USD 484475.54000000 1.109904301801 Long DBT UST US N 2 2040-05-15 Fixed 4.37500000 N N N N N N United States of America 254900HROIFWPRGM1V77 US TREASURY N/B 2.250000% 08/15/2049 912810SJ8 553000.00000000 PA USD 582162.11000000 1.333698353966 Long DBT UST US N 2 2049-08-15 Fixed 2.25000000 N N N N N N APACHE CORPORATION 72ZZ1XRHOOU9P9X16K08 APACHE CORP 4.375000% 10/15/2028 037411BE4 200000.00000000 PA USD 212003.12000000 0.485686387559 Long DBT CORP US N 2 2028-10-15 Fixed 4.37500000 N N N N N N WELLS FARGO & COMPANY PBLD0EJDB5FWOLXP3B76 WELLS FARGO & CO MTN 2.406000% 10/30/2025 95000U2H5 360000.00000000 PA USD 365596.73000000 0.837560103347 Long DBT CORP US N 2 2025-10-30 Fixed 2.40600000 N N N N N N United States of America N/A US 10YR NOTE FUT MAR20 N/A 22.00000000 NC USD 2896437.50000000 6.635563977387 N/A DIR US N 1 UBS SECURITIES N/A Long U.S. Treasury Futures US 10 Year Treasury Note Future (consolidated) Mar 2020 2020-03-20 2854199.83 USD 42237.67 N N N B.A.T CAPITAL CORPORATION 2138005GYEXN7XRHFA84 BAT CAPITAL CORP 3.557000% 08/15/2027 05526DBB0 65000.00000000 PA USD 67977.75000000 0.155732933703 Long DBT CORP US N 2 2027-08-15 Fixed 3.55700000 N N N N N N Federal National Mortgage Association N/A FANNIE MAE POOL FN MA0214 31417YGY7 26959.88400000 PA USD 29076.56000000 0.066612648856 Long DBT USGA US N 2 2029-10-01 Fixed 5.00000000 N N N N N N MADISON PARK FUNDING, LTD. N/A MADISON PARK FUNDING XXVI LTD MDPK 2017-26A AR 55819YAA8 600000.00000000 PA USD 599796.60000000 1.374097909145 Long ABS-CBDO CORP KY N 2 2030-07-29 Floating 2.97450000 N N N N N N BANK OF IRELAND GROUP PUBLIC LIMITED COMPANY 635400C8EK6DRI12LJ39 BANK OF IRELAND GROUP PLC 144A 4.500000% 11/25/2023 06279JAA7 265000.00000000 PA USD 285031.14000000 0.652989185859 Long DBT NUSS IE Y 2 2023-11-25 Fixed 4.50000000 N N N N N N FORD MOTOR CREDIT COMPANY LLC UDSQCVRUX5BONN0VY111 FORD MOTOR CREDIT CO LLC 4.063000% 11/01/2024 345397ZX4 208000.00000000 PA USD 214661.74000000 0.491777125958 Long DBT CORP US N 2 2024-11-01 Fixed 4.06300000 N N N N N N B.A.T CAPITAL CORPORATION 2138005GYEXN7XRHFA84 BAT CAPITAL CORP 3.222000% 08/15/2024 05526DAZ8 137000.00000000 PA USD 142425.32000000 0.326287835611 Long DBT CORP US N 2 2024-08-15 Fixed 3.22200000 N N N N N N Republica Argentina 549300KPBYGYF7HCHO27 REPUBLIC OF ARGENTINA 5.875000% 01/11/2028 040114HQ6 124000.00000000 PA USD 54250.00000000 0.124283484719 Long DBT NUSS AR N 2 2028-01-11 Fixed 5.87500000 N N N N N N TOWD POINT MORTGAGE TRUST N/A TOWD POINT MORTGAGE TRUST 2017-2 TPMT 2017-2 A1 89173HAA4 116738.09100000 PA USD 117966.42000000 0.270253967880 Long ABS-MBS US N 2 2057-04-25 Floating 2.75000040 N N N N N N BANQUE FEDERATIVE DU CREDIT MUTUEL S.A. VBHFXSYT7OG62HNT8T76 BANQUE FEDERATIVE DU CREDIT MUTUEL SA MTN 2.700000% 07/20/2022 06675FAM9 210000.00000000 PA USD 214476.17000000 0.491351996257 Long DBT NUSS FR Y 2 2022-07-20 Fixed 2.70000000 N N N N N N Freddie Mac N/A FREDDIE MAC GOLD POOL FG G08887 3128MJ6Z8 369766.79800000 PA USD 378795.83000000 0.867798446999 Long DBT USGA US N 2 2049-06-01 Fixed 3.00000000 N N N N N N United States of America N/A US ULTRA BOND (CBT) MAR20 N/A 3.00000000 NC USD 581062.50000000 1.331179213641 N/A DIR US N 1 BARCLAYS CAPITAL INC. N/A Long U.S. Treasury Futures US Ultra T-Bond Futures (Composite) Mar 2020 2020-03-20 566768.81 USD 14293.69 N N N CALIFORNIA HEALTH FACS FING AUTH REV N/A CALIFORNIA ST HLTH FACS FING A CALIFORNIA HEALTH FACILITIES FINANCING AUTHORITY 13032UVH8 70000.00000000 PA USD 72951.90000000 0.167128411961 Long DBT MUN US N 2 2030-06-01 Fixed 2.70400000 N N N N N N United States of America 254900HROIFWPRGM1V77 US TREASURY N/B 2.750000% 11/15/2047 912810RZ3 260000.00000000 PA USD 300371.09000000 0.688132088005 Long DBT UST US N 2 2047-11-15 Fixed 2.75000000 N N N N N N Government National Mortgage Association 2 N/A GINNIE MAE II POOL G2 MA5986 36179UUK6 773714.48500000 PA USD 802151.30000000 1.837680347217 Long DBT USGA US N 2 2049-06-20 Fixed 4.00000000 N N N N N N EQUITABLE HOLDINGS, INC 549300FIBAKMNHPZ4009 EQUITABLE HOLDINGS INC 4.350000% 04/20/2028 054561AJ4 244000.00000000 PA USD 269875.73000000 0.618269053745 Long DBT CORP US N 2 2028-04-20 Fixed 4.35000000 N N N N N N Freddie Mac N/A FREDDIE MAC GOLD POOL FG Q40718 3132WDYQ1 368249.16000000 PA USD 384839.13000000 0.881643283556 Long DBT USGA US N 2 2046-05-01 Fixed 3.50000000 N N N N N N Altria Group, Inc. XSGZFLO9YTNO9VCQV219 ALTRIA GROUP INC 4.400000% 02/14/2026 02209SBC6 98000.00000000 PA USD 108255.57000000 0.248006995021 Long DBT CORP US N 2 2026-02-14 Fixed 4.40000000 N N N N N N IMPAC SECURED ASSETS CORP N/A IMPAC SECURED ASSETS TRUST 2006-1 IMSA 2006-1 2A2 45254TTP9 52362.79400000 PA USD 51460.27000000 0.117892381202 Long ABS-MBS US N 2 2036-05-25 Floating 2.20200120 N N N N N N United States of America 254900HROIFWPRGM1V77 US TREASURY N/B 2.625000% 07/31/2020 912828Y46 1526000.00000000 PA USD 1533749.21000000 3.513727124518 Long DBT UST US N 2 2020-07-31 Fixed 2.62500000 N N N N N N Freddie Mac N/A FREDDIE MAC GOLD POOL FG G61606 31335BYB6 375841.61900000 PA USD 398570.93000000 0.913102010846 Long DBT USGA US N 2 2048-09-01 Fixed 4.50000000 N N N N N N CALIFORNIA HEALTH FACS FING AUTH REV N/A CALIFORNIA ST HLTH FACS FING A CALIFORNIA HEALTH FACILITIES FINANCING AUTHORITY 13032UVG0 45000.00000000 PA USD 46798.20000000 0.107211859439 Long DBT MUN US N 2 2029-06-01 Fixed 2.58400000 N N N N N N Federal National Mortgage Association N/A FANNIE MAE POOL FN AL1886 3138EJCY2 92611.13400000 PA USD 95498.02000000 0.218780215842 Long DBT USGA US N 2 2042-06-01 Floating 3.24100080 N N N N N N Government National Mortgage Association 2 N/A GINNIE MAE II POOL G2 784689 3622AAC28 546274.75100000 PA USD 574331.67000000 1.315759287236 Long DBT USGA US N 2 2043-04-20 Fixed 3.50000000 N N N N N N United States of America N/A US LONG BOND(CBT) MAR20 FINANCIAL COMMODITY FUTURE. N/A 9.00000000 NC USD 1471781.25000000 3.371762257978 N/A DIR US N 1 BARCLAYS CAPITAL INC. N/A Long U.S. Treasury Futures US Long Bond (CBT) Mar 2020 2020-03-23 1438692.13 USD 33089.12 N N N TEXTAINER MARINE CONTAINERS LIMITED N/A TEXTAINER MARINE CONTAINERS V LTD TMCL 2017-1A A 88315FAA9 75211.66600000 PA USD 76208.31000000 0.174588651270 Long ABS-MBS BM N 2 2042-05-20 Fixed 3.72000000 N N N N N N TEXTAINER MARINE CONTAINERS LIMITED N/A TEXTAINER MARINE CONTAINERS V LTD TMCL 2017-2A A 88315FAE1 177097.08800000 PA USD 178459.78000000 0.408840614575 Long ABS-MBS BM N 2 2042-06-20 Fixed 3.52000000 N N N N N N VODAFONE GROUP PUBLIC LIMITED COMPANY 213800TB53ELEUKM7Q61 VODAFONE GROUP PLC VARIABLE RATE 01/16/2024 92857WBN9 260000.00000000 PA USD 263517.80000000 0.603703418796 Long DBT NUSS GB N 2 2024-01-16 Floating 2.83263120 N N N N N N ENGIE ENERGIA CHILE S.A. 5493000FIKCC3ZDWTO77 ENGIE ENERGIA CHILE SA 144A 3.400000% 01/28/2030 29287TAA7 200000.00000000 PA USD 202200.00000000 0.463228029683 Long DBT NUSS CL Y 2 2030-01-28 Fixed 3.40000000 N N N N N N J.P. MORGAN MORTGAGE TRUST N/A JP MORGAN MORTGAGE TRUST 2017-3 JPMMT 2017-3 1A5 46647SAJ9 306298.43900000 PA USD 311842.44000000 0.714412260400 Long ABS-MBS US N 2 2047-08-25 Fixed 3.50000000 N N N N N N CAMDEN PROPERTY TRUST 5493002MYX22OHYJBD89 CAMDEN PROPERTY TRUST 3.150000% 07/01/2029 133131AX0 56000.00000000 PA USD 60104.85000000 0.137696593669 Long DBT CORP US N 2 2029-07-01 Fixed 3.15000000 N N N N N N AIB GROUP PUBLIC LIMITED COMPANY 635400AKJBGNS5WNQL34 AIB GROUP PLC MTN 4.263000% 04/10/2025 00135TAB0 400000.00000000 PA USD 428243.39000000 0.981079830736 Long DBT NUSS IE Y 2 2025-04-10 Fixed 4.26300000 N N N N N N GOLDENTREE LOAN MANAGEMENT US CLO LTD N/A GOLDENTREE LOAN MANAGEMENT US CLO 2 LTD GLM 2017-2A A 38136MAC2 606000.00000000 PA USD 605949.10000000 1.388192916329 Long ABS-CBDO CORP KY N 2 2030-11-28 Floating 2.96912880 N N N N N N PLAINS ALL AMERICAN PIPELINE, L.P. 5521FA2ITF25TVH63740 PLAINS ALL AMERICAN PIPELINE LP / PAA FINANCE CORP 3.550000% 12/15/2029 72650RBM3 235000.00000000 PA USD 233695.94000000 0.535383332499 Long DBT CORP US N 2 2029-12-15 Fixed 3.55000000 N N N N N N Freddie Mac N/A FREDDIE MAC GOLD POOL FG Q14869 3132HRMS6 115795.13400000 PA USD 120917.31000000 0.277014279258 Long DBT USGA US N 2 2043-01-01 Fixed 3.00000000 N N N N N N BOSTON SCIENTIFIC CORPORATION Y6ZDD9FP4P8JSSJMW954 BOSTON SCIENTIFIC CORP 3.450000% 03/01/2024 101137AV9 116000.00000000 PA USD 122655.21000000 0.280995703554 Long DBT CORP US N 2 2024-03-01 Fixed 3.45000000 N N N N N N AMERICAN TOWER CORPORATION 5493006ORUSIL88JOE18 AMERICAN TOWER CORP 3.700000% 10/15/2049 03027XAY6 179000.00000000 PA USD 186593.20000000 0.427473790249 Long DBT CORP US N 2 2049-10-15 Fixed 3.70000000 N N N N N N Freddie Mac N/A FREDDIE MAC REMICS FHR 1196 B 312908LC8 0.00500000 PA USD 0.01000000 0.000000022909 Long DBT USGA US N 2 2022-01-15 Floating 992.20657680 N N N N N N CommonSpirit Health 4SXHN5XW08IBO0UG2V58 COMMONSPIRIT HEALTH 3.347000% 10/01/2029 20268JAB9 95000.00000000 PA USD 98715.82000000 0.226152001964 Long DBT CORP US N 2 2029-10-01 Fixed 3.34700000 N N N N N N Federal National Mortgage Association N/A FANNIE MAE POOL FN BH9392 3140GYNJ4 445597.75300000 PA USD 462649.90000000 1.059903074235 Long DBT USGA US N 2 2047-11-01 Fixed 3.50000000 N N N N N N FIFTH THIRD BANCORP THRNG6BD57P9QWTQLG42 FIFTH THIRD BANCORP 3.650000% 01/25/2024 316773CX6 144000.00000000 PA USD 153206.85000000 0.350987671906 Long DBT CORP US N 2 2024-01-25 Fixed 3.65000000 N N N N N N ANHEUSER-BUSCH INBEV WORLDWIDE INC. 549300CRGMZK3K53BF92 ANHEUSER-BUSCH INBEV WORLDWIDE INC 4.150000% 01/23/2025 03523TBX5 203000.00000000 PA USD 223897.78000000 0.512936337685 Long DBT CORP US N 2 2025-01-23 Fixed 4.15000000 N N N N N N Federal National Mortgage Association N/A FANNIE MAE POOL FN AB9341 31417GLX2 71409.68800000 PA USD 74337.76000000 0.170303333807 Long DBT USGA US N 2 2043-05-01 Fixed 3.00000000 N N N N N N FLAGSTAR MORTGAGE TRUST N/A FLAGSTAR MORTGAGE TRUST 2017-2 FSMT 2017-2 A5 33850RAE2 481691.99300000 PA USD 485747.65000000 1.112818629243 Long ABS-MBS US N 2 2047-10-25 Floating 3.49999920 N N N N N N United States of America 254900HROIFWPRGM1V77 US TREASURY N/B 3.000000% 05/15/2047 912810RX8 200000.00000000 PA USD 241320.31000000 0.552850305262 Long DBT UST US N 2 2047-05-15 Fixed 3.00000000 N N N N N N United States of America 254900HROIFWPRGM1V77 US TREASURY N/B 2.750000% 08/15/2047 912810RY6 90000.00000000 PA USD 103904.30000000 0.238038497352 Long DBT UST US N 2 2047-08-15 Fixed 2.75000000 N N N N N N United States of America 254900HROIFWPRGM1V77 US TREASURY N/B 3.125000% 05/15/2048 912810SC3 231000.00000000 PA USD 286286.60000000 0.655865369153 Long DBT UST US N 2 2048-05-15 Fixed 3.12500000 N N N N N N Freddie Mac N/A FREDDIE MAC GOLD POOL FG J12898 3128PSGF8 12683.51100000 PA USD 13130.43000000 0.030081024816 Long DBT USGA US N 2 2024-10-01 Fixed 4.50000000 N N N N N N ABBVIE INC. FR5LCKFTG8054YNNRU85 ABBVIE INC 144A 3.200000% 11/21/2029 00287YBW8 324000.00000000 PA USD 336469.11000000 0.770830479103 Long DBT CORP US Y 2 2029-11-21 Fixed 3.20000000 N N N N N N CREDIT AGRICOLE S.A. LONDON BRANCH N/A CREDIT AGRICOLE SA/LONDON MTN VARIABLE RATE 04/24/2023 22535WAF4 280000.00000000 PA USD 283544.83000000 0.649584139109 Long DBT NUSS FR Y 2 2023-04-24 Floating 2.82088080 N N N N N N J.P. MORGAN MORTGAGE TRUST N/A JP MORGAN MORTGAGE TRUST 2017-1 JPMMT 2017-1 A4 46648CAD6 78610.18000000 PA USD 79690.16000000 0.182565360049 Long ABS-MBS US N 2 2047-01-25 Floating 3.49999920 N N N N N N Government National Mortgage Association 2 N/A GINNIE MAE II POOL G2 MA5530 36179UEB4 304632.19400000 PA USD 322171.46000000 0.738075423522 Long DBT USGA US N 2 2048-10-20 Fixed 5.00000000 N N N N N N GENERAL MOTORS FINANCIAL COMPANY, INC. 5493008B6JBRUJ90QL97 GENERAL MOTORS FINANCIAL CO INC 3.250000% 01/05/2023 37045XCF1 300000.00000000 PA USD 309009.34000000 0.707921798823 Long DBT CORP US N 2 2023-01-05 Fixed 3.25000000 N N N N N N Federal National Mortgage Association N/A FANNIE MAE POOL FN MA3522 31418C4G6 352682.57200000 PA USD 373740.33000000 0.856216600787 Long DBT USGA US N 2 2048-11-01 Fixed 4.50000000 N N N N N N Federal National Mortgage Association N/A FANNIE MAE POOL FN AR7218 3138W5AU2 224845.16600000 PA USD 234065.00000000 0.536228826745 Long DBT USGA US N 2 2043-06-01 Fixed 3.00000000 N N N N N N OCTAGON INVESTMENT PARTNERS, LTD. N/A OCTAGON INVESTMENT PARTNERS 30 LTD OCT30 2017-1A A1 675920AA0 250000.00000000 PA USD 249867.75000000 0.572431975836 Long ABS-CBDO CORP KY N 2 2030-03-17 Floating 3.13913160 N N N N N N C-BASS MORTGAGE LOAN ASSET-BACKED CERTIFICATES N/A CREDIT-BASED ASSET SERVICING & SECURITIZATION LLC CBASS 2003-CB4 AF1 04542BDP4 19158.16800000 PA USD 19588.04000000 0.044875020645 Long ABS-MBS US N 2 2031-03-25 Fixed 5.00000000 N N N N N N IMPAC SECURED ASSETS CORP N/A IMPAC SECURED ASSETS TRUST 2006-2 IMSA 2006-2 2M1 45256VAS6 130000.00000000 PA USD 130090.29000000 0.298029024321 Long ABS-MBS US N 2 2036-08-25 Floating 2.29200120 N N N N N N Government National Mortgage Association 2 N/A GINNIE MAE II POOL G2 MA5529 36179UEA6 307939.94700000 PA USD 325111.49000000 0.744810855293 Long DBT USGA US N 2 2048-10-20 Fixed 4.50000000 N N N N N N BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 BARCLAYS BANK PLC 144A 10.179000% 06/12/2021 06739FFU0 650000.00000000 PA USD 719284.60000000 1.647837725222 Long DBT NUSS GB Y 2 2021-06-12 Fixed 10.17900000 N N N N N N United States of America 254900HROIFWPRGM1V77 US TREASURY N/B 2.375000% 11/15/2049 912810SK5 80000.00000000 PA USD 86506.25000000 0.198180611982 Long DBT UST US N 2 2049-11-15 Fixed 2.37500000 N N N N N N Government National Mortgage Association N/A GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNR 2012-147 AK 38378B3P2 215297.02800000 PA USD 220729.36000000 0.505677678171 Long DBT USGA US N 2 2054-04-16 Floating 2.59961040 N N N N N N United States of America 254900HROIFWPRGM1V77 US TREASURY N/B 2.500000% 02/28/2021 9128286D7 536000.00000000 PA USD 541653.13000000 1.240894719001 Long DBT UST US N 2 2021-02-28 Fixed 2.50000000 N N N N N N United States of America 254900HROIFWPRGM1V77 US TREASURY N/B 2.875000% 11/15/2046 912810RU4 20000.00000000 PA USD 23541.41000000 0.053931953364 Long DBT UST US N 2 2046-11-15 Fixed 2.87500000 N N N N N N FLY LEASING LIMITED 549300LI58A0MHGHTZ98 FLY LEASING LTD 6.375000% 10/15/2021 34407DAB5 230000.00000000 PA USD 234025.00000000 0.536137189153 Long DBT NUSS BM N 2 2021-10-15 Fixed 6.37500000 N N N N N N SEQUOIA MORTGAGE TRUST N/A SEQUOIA MORTGAGE TRUST 2015-2 SEMT 2015-2 A10 81733YAU3 153109.22500000 PA USD 154945.79000000 0.354971478781 Long ABS-MBS US N 2 2045-05-25 Floating 3.49999920 N N N N N N Federal National Mortgage Association N/A FANNIE MAE POOL FN BN1628 3140JHY23 381028.74500000 PA USD 403006.84000000 0.923264413661 Long DBT USGA US N 2 2048-11-01 Fixed 4.50000000 N N N N N N United States of America 254900HROIFWPRGM1V77 US TREASURY N/B 2.500000% 02/15/2022 9128286C9 206000.00000000 PA USD 210731.56000000 0.482773320133 Long DBT UST US N 2 2022-02-15 Fixed 2.50000000 N N N N N N WELLS FARGO & COMPANY PBLD0EJDB5FWOLXP3B76 WELLS FARGO & CO 3.069000% 01/24/2023 949746SK8 215000.00000000 PA USD 219801.52000000 0.503552052577 Long DBT CORP US N 2 2023-01-24 Fixed 3.06900000 N N N N N N Altria Group, Inc. XSGZFLO9YTNO9VCQV219 ALTRIA GROUP INC 4.800000% 02/14/2029 02209SBD4 146000.00000000 PA USD 165474.24000000 0.379091524028 Long DBT CORP US N 2 2029-02-14 Fixed 4.80000000 N N N N N N Mexico Generadora de Energia, S. de R.L. N/A MEXICO GENERADORA DE ENERGIA S DE RL 144A 5.500000% 12/06/2032 592838AA4 164063.99800000 PA USD 182726.28000000 0.418614909277 Long DBT NUSS MX Y 2 2032-12-06 Fixed 5.50000000 N N N N N N United States of America 254900HROIFWPRGM1V77 US TREASURY N/B 4.625000% 02/15/2040 912810QE1 95900.00000000 PA USD 140553.44000000 0.321999471199 Long DBT UST US N 2 2040-02-15 Fixed 4.62500000 N N N N N N BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 BANK OF AMERICA CORP MTN 2.884000% 10/22/2030 06051GHX0 304000.00000000 PA USD 315390.50000000 0.722540652304 Long DBT CORP US N 2 2030-10-22 Fixed 2.88400000 N N N N N N DEWOLF PARK CLO, LTD. N/A DEWOLF PARK CLO LTD DWOLF 2017-1A A 25211AAA7 500000.00000000 PA USD 499944.00000000 1.145341612622 Long ABS-CBDO CORP KY N 2 2030-10-15 Floating 3.21087960 N N N N N N BX COMMERCIAL MORTGAGE TRUST N/A BX COMMERCIAL MORTGAGE TRUST 2018-IND BX 2018-IND C 056059AJ7 104999.99900000 PA USD 105032.92000000 0.240624097841 Long ABS-MBS US N 2 2035-11-15 Floating 2.83974840 N N N N N N Federal National Mortgage Association N/A FANNIE MAE POOL FN MA3905 31418DKT8 997156.62000000 PA USD 1020042.30000000 2.336855513468 Long DBT USGA US N 2 2050-01-01 Fixed 3.00000000 N N N N N N Government National Mortgage Association N/A GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNR 2012-123 IO 38378BQ77 1834171.61300000 PA USD 85083.55000000 0.194921291914 Long DBT USGA US N 2 2051-12-16 Floating 0.78215040 N N N N N N APPLE INC. HWUPKR0MPOU8FGXBT394 APPLE INC 3.000000% 06/20/2027 037833CX6 315000.00000000 PA USD 336617.04000000 0.771169377830 Long DBT CORP US N 2 2027-06-20 Fixed 3.00000000 N N N N N N THE GOLDMAN SACHS GROUP, INC. 784F5XWPLTWKTBV3E584 GOLDMAN SACHS GROUP INC/THE 2.875000% 02/25/2021 38143U8F1 65000.00000000 PA USD 65688.78000000 0.150489041205 Long DBT CORP US N 2 2021-02-25 Fixed 2.87500000 N N N N N N HEALTHPEAK PROPERTIES, INC. PZ9HF5U52KPF0MH0QN75 HEALTHPEAK PROPERTIES INC 3.250000% 07/15/2026 40414LAQ2 65000.00000000 PA USD 68868.36000000 0.157773267608 Long DBT CORP US N 2 2026-07-15 Fixed 3.25000000 N N N N N N CVS HEALTH CORPORATION 549300EJG376EN5NQE29 CVS HEALTH CORP 4.300000% 03/25/2028 126650CX6 243000.00000000 PA USD 269265.10000000 0.616870137169 Long DBT CORP US N 2 2028-03-25 Fixed 4.30000000 N N N N N N TOWD POINT MORTGAGE TRUST N/A TOWD POINT MORTGAGE TRUST 2017-4 TPMT 2017-4 A1 89173UAA5 123069.86600000 PA USD 125356.28000000 0.287183692348 Long ABS-MBS US N 2 2057-06-25 Floating 2.75000040 N N N N N N THE ROYAL BANK OF SCOTLAND GROUP PUBLIC LIMITED COMPANY 2138005O9XJIJN4JPN90 ROYAL BANK OF SCOTLAND GROUP PLC 6.125000% 12/15/2022 780099CE5 325000.00000000 PA USD 356112.78000000 0.815832944731 Long DBT NUSS GB N 2 2022-12-15 Fixed 6.12500000 N N N N N N GENERAL MOTORS FINANCIAL COMPANY, INC. 5493008B6JBRUJ90QL97 GENERAL MOTORS FINANCIAL CO INC 3.700000% 11/24/2020 37045XBD7 315000.00000000 PA USD 318734.54000000 0.730201646668 Long DBT CORP US N 2 2020-11-24 Fixed 3.70000000 N N N N N N MORGAN STANLEY IGJSJL3JD5P30I6NJZ34 MORGAN STANLEY MTN 3.750000% 02/25/2023 61746BDJ2 300000.00000000 PA USD 316750.32000000 0.725655918077 Long DBT CORP US N 2 2023-02-25 Fixed 3.75000000 N N N N N N Credit Suisse Group AG 549300506SI9CRFV9Z86 CREDIT SUISSE GROUP AG 144A 2.997000% 12/14/2023 225401AD0 265000.00000000 PA USD 271645.30000000 0.622323032106 Long DBT NUSS CH Y 2 2023-12-14 Fixed 2.99700000 N N N N N N CROWN CASTLE INTERNATIONAL CORP. 54930012H97VSM0I2R19 CROWN CASTLE INTERNATIONAL CORP 3.200000% 09/01/2024 22822VAG6 135000.00000000 PA USD 141713.24000000 0.324656503191 Long DBT CORP US N 2 2024-09-01 Fixed 3.20000000 N N N N N N Freddie Mac N/A FREDDIE MAC GOLD POOL FG G61578 31335BXF8 552381.41600000 PA USD 584257.04000000 1.338497712503 Long DBT USGA US N 2 2048-08-01 Fixed 4.50000000 N N N N N N SEQUOIA MORTGAGE TRUST N/A SEQUOIA MORTGAGE TRUST 2015-3 SEMT 2015-3 A4 81746LAD4 191665.02300000 PA USD 193549.09000000 0.443409315567 Long ABS-MBS US N 2 2045-07-25 Fixed 3.50000000 N N N N N N HSBC HOLDINGS PLC MLU0ZO3ML4LN2LL2TL39 HSBC HOLDINGS PLC 2.633000% 11/07/2025 404280CE7 636000.00000000 PA USD 646660.51000000 1.481460306239 Long DBT NUSS GB N 2 2025-11-07 Fixed 2.63300000 N N N N N N CEDAR FUNDING LTD N/A CEDAR FUNDING VI CLO LTD CEDF 2016-6A AR 15032DAH4 645000.00000000 PA USD 645323.79000000 1.478397961176 Long ABS-CBDO CORP KY N 2 2028-10-20 Floating 3.05588160 N N N N N N Republica de Colombia 549300MHDRBVRF6B9117 REPUBLIC OF COLOMBIA 3.000000% 01/30/2030 195325DR3 216000.00000000 PA USD 217836.00000000 0.499049164560 Long DBT NUSS CO N 2 2030-01-30 Fixed 3.00000000 N N N N N N AT&T INC. 549300Z40J86GGSTL398 AT&T INC 3.400000% 05/15/2025 00206RCN0 200000.00000000 PA USD 212209.98000000 0.486160291368 Long DBT CORP US N 2 2025-05-15 Fixed 3.40000000 N N N N N N JPMORGAN CHASE & CO. 8I5DZWZKVSZI1NUHU748 JPMORGAN CHASE & CO 3.220000% 03/01/2025 46647PAH9 360000.00000000 PA USD 378087.15000000 0.866174903775 Long DBT CORP US N 2 2025-03-01 Fixed 3.22000000 N N N N N N United States of America N/A US 2YR NOTE (CBT) MAR20 FINANCIAL COMMODITY FUTURE. N/A 22.00000000 NC USD 4759906.25000000 10.90465872239 N/A DIR US N 1 UBS SECURITIES N/A Long U.S. Treasury Futures US 2-YEAR NOTE (Globex) Mar 2020 2020-04-03 4741330.68 USD 18575.57 N N N United States of America 254900HROIFWPRGM1V77 U.S. TREASURY INFLATION-PROTECTED SECURITIES 0-3/4% 07/15/2028 912828Y38 786400.00000000 PA USD 869033.84000000 1.990904220731 Long DBT USGA XX N 2 2028-07-15 Fixed 0.75000000 N N N N N N BX COMMERCIAL MORTGAGE TRUST N/A BX COMMERCIAL MORTGAGE TRUST 2018-IND BX 2018-IND B 056059AG3 174999.99800000 PA USD 174999.79000000 0.400913985740 Long ABS-MBS US N 2 2035-11-15 Floating 2.63975040 N N N N N N Federal National Mortgage Association N/A FANNIE MAE POOL FN CA2204 3140Q9NW9 361082.58000000 PA USD 383216.43000000 0.877925775526 Long DBT USGA US N 2 2048-08-01 Fixed 4.50000000 N N N N N N ABBVIE INC. FR5LCKFTG8054YNNRU85 ABBVIE INC 144A 4.050000% 11/21/2039 00287YBR9 124000.00000000 PA USD 134922.25000000 0.309098753847 Long DBT CORP US Y 2 2039-11-21 Fixed 4.05000000 N N N N N N TOWD POINT MORTGAGE TRUST N/A TOWD POINT MORTGAGE TRUST 2015-6 TPMT 2015-6 A1 89172RAA3 34855.95800000 PA USD 35427.67000000 0.081162659596 Long ABS-MBS US N 2 2055-04-25 Floating 3.49999920 N N N N N N BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 BANK OF AMERICA CORP MTN 2.456000% 10/22/2025 06051GHW2 40000.00000000 PA USD 40863.40000000 0.093615589852 Long DBT CORP US N 2 2025-10-22 Fixed 2.45600000 N N N N N N CAPITAL ONE, NATIONAL ASSOCIATION 207ALC1P1YM0OVDV0K75 CAPITAL ONE NA 2.150000% 09/06/2022 14042RNW7 250000.00000000 PA USD 251942.48000000 0.577185057389 Long DBT CORP US N 2 2022-09-06 Fixed 2.15000000 N N N N N N EQT CORPORATION 4NT01YGM4X7ZX86ISY52 EQT CORP 7.000000% 02/01/2030 26884LAG4 431000.00000000 PA USD 379413.02000000 0.869212392141 Long DBT CORP US N 2 2030-02-01 Fixed 7.00000000 N N N N N N GE CAPITAL INTERNATIONAL FUNDING COMPANY UNLIMITED COMPANY 549300G6UZOB126GBY72 GE CAPITAL INTERNATIONAL FUNDING CO UNLIMITED CO 3.373000% 11/15/2025 36164Q6M5 347000.00000000 PA USD 368101.97000000 0.843299457398 Long DBT NUSS IE N 2 2025-11-15 Fixed 3.37300000 N N N N N N ONE MARKET PLAZA TRUST N/A ONE MARKET PLAZA TRUST 2017-1MKT OMPT 2017-1MKT E 68245HAJ3 195000.00000000 PA USD 199517.02000000 0.457081483991 Long ABS-MBS US N 2 2032-02-10 Fixed 4.14160000 N N N N N N Credit Suisse Group AG 549300506SI9CRFV9Z86 CREDIT SUISSE GROUP AG 144A 3.869000% 01/12/2029 225401AF5 250000.00000000 PA USD 271977.42000000 0.623083899036 Long DBT NUSS CH Y 2 2029-01-12 Fixed 3.86900000 N N N N N N MADISON PARK FUNDING, LTD. N/A MADISON PARK FUNDING XVIII LTD MDPK 2015-18A A1R 55819BAL4 800000.00000000 PA USD 800223.20000000 1.833263186169 Long ABS-CBDO CORP KY N 2 2030-10-21 Floating 3.00912840 N N N N N N CITIGROUP INC. 6SHGI4ZSSLCXXQSBB395 CITIGROUP INC 3.200000% 10/21/2026 172967KY6 295000.00000000 PA USD 312370.16000000 0.715621235157 Long DBT CORP US N 2 2026-10-21 Fixed 3.20000000 N N N N N N CALIFORNIA HEALTH FACS FING AUTH REV N/A CALIFORNIA ST HLTH FACS FING A CALIFORNIA HEALTH FACILITIES FINANCING AUTHORITY 13032UVJ4 90000.00000000 PA USD 94367.70000000 0.216190720755 Long DBT MUN US N 2 2031-06-01 Fixed 2.86400000 N N N N N N MORGAN STANLEY IGJSJL3JD5P30I6NJZ34 MORGAN STANLEY MTN 3.950000% 04/23/2027 61761JZN2 200000.00000000 PA USD 217908.72000000 0.499215761704 Long DBT CORP US N 2 2027-04-23 Fixed 3.95000000 N N N N N N Federal National Mortgage Association N/A FANNIE MAE POOL FN BM4835 3140J9LR0 658850.87800000 PA USD 679050.46000000 1.555663732155 Long DBT USGA US N 2 2048-11-01 Fixed 3.50000000 N N N N N N United States of America 254900HROIFWPRGM1V77 US TREASURY N/B 3.000000% 02/15/2047 912810RV2 188000.00000000 PA USD 226730.94000000 0.519426936719 Long DBT UST US N 2 2047-02-15 Fixed 3.00000000 N N N N N N Freddie Mac N/A FREDDIE MAC GOLD POOL FG Q59893 3132Y37F5 659797.28800000 PA USD 692701.70000000 1.586937901333 Long DBT USGA US N 2 2048-11-01 Fixed 4.00000000 N N N N N N PHILADELPHIA PA AUTH FOR INDL DEV CITY SVC AGREEMENT REV N/A PHILADELPHIA PA AUTH FOR INDL PHILADELPHIA AUTHORITY FOR INDUSTRIAL DEVELOPMENT 71783DAD7 350000.00000000 PA USD 375263.00000000 0.859704946109 Long DBT MUN US N 2 2026-04-15 Fixed 3.96400000 N N N N N N Freddie Mac N/A FREDDIE MAC POOL FR SD8045 3132DV5E1 1000000.00000000 PA USD 1035851.14000000 2.373072614382 Long DBT USGA US N 2 2050-02-01 Fixed 3.50000000 N N N N N N J.P. MORGAN MORTGAGE TRUST N/A JP MORGAN MORTGAGE TRUST 2016-3 JPMMT 2016-3 1A3 46647EAC5 376047.57400000 PA USD 385434.10000000 0.883006324015 Long ABS-MBS US N 2 2046-10-25 Floating 3.49999920 N N N N N N J.P. MORGAN MORTGAGE TRUST N/A JP MORGAN TRUST 2015-3 JPMMT 2015-3 A5 46644MAU0 63763.75400000 PA USD 64181.68000000 0.147036365817 Long ABS-MBS US N 2 2045-05-25 Fixed 3.50000000 N N N N N N CANADIAN NATURAL RESOURCES LIMITED 549300T15RIMIKZC5Q38 CANADIAN NATURAL RESOURCES LTD 6.250000% 03/15/2038 136385AL5 171000.00000000 PA USD 223062.94000000 0.511023769494 Long DBT NUSS CA N 2 2038-03-15 Fixed 6.25000000 N N N N N N United States of America 254900HROIFWPRGM1V77 US TREASURY N/B 2.750000% 08/31/2025 9128284Z0 100.00000000 PA USD 107.38000000 0.000246001116 Long DBT UST US N 2 2025-08-31 Fixed 2.75000000 N N N N N N Freddie Mac N/A FREDDIE MAC GOLD POOL FG G08853 3128MJ5P1 359801.38300000 PA USD 380549.18000000 0.871815266316 Long DBT USGA US N 2 2048-12-01 Fixed 4.50000000 N N N N N N THE WILLIAMS COMPANIES, INC. D71FAKCBLFS2O0RBPG08 WILLIAMS COS INC/THE 4.300000% 03/04/2024 96950FAM6 200000.00000000 PA USD 214795.21000000 0.492082897694 Long DBT CORP US N 2 2024-03-04 Fixed 4.30000000 N N N N N N Federal National Mortgage Association N/A FANNIE MAE POOL FN AU1628 3138X0Y28 87859.03800000 PA USD 91217.30000000 0.208973343976 Long DBT USGA US N 2 2043-07-01 Fixed 3.00000000 N N N N N N CITIGROUP INC. 6SHGI4ZSSLCXXQSBB395 CITIGROUP INC 4.300000% 11/20/2026 172967JC6 335000.00000000 PA USD 371381.80000000 0.850813350516 Long DBT CORP US N 2 2026-11-20 Fixed 4.30000000 N N N N N N TRANSDIGM INC. 88Q84GB3X55CF5OC7582 TRANSDIGM INC 144A 6.250000% 03/15/2026 893647BE6 160000.00000000 PA USD 172560.00000000 0.395324573700 Long DBT CORP US Y 2 2026-03-15 Fixed 6.25000000 N N N N N N United States of America 254900HROIFWPRGM1V77 US TREASURY N/B 3.125000% 11/15/2028 9128285M8 24000.00000000 PA USD 27212.81000000 0.062342909784 Long DBT UST US N 2 2028-11-15 Fixed 3.12500000 N N N N N N FIFTH THIRD BANCORP THRNG6BD57P9QWTQLG42 FIFTH THIRD BANCORP 2.375000% 01/28/2025 316773CY4 257000.00000000 PA USD 262214.19000000 0.600716926750 Long DBT CORP US N 2 2025-01-28 Fixed 2.37500000 N N N N N N ALBERTSONS COMPANIES, INC. 549300YKWOC0AOR16R51 ALBERTSONS COS INC / SAFEWAY INC / NEW ALBERTSONS 5.875000% 02/15/2028 013092AB7 17000.00000000 PA USD 18147.50000000 0.041574830211 Long DBT CORP US Y 2 2028-02-15 Fixed 5.87500000 N N N N N N VERIZON COMMUNICATIONS INC. 2S72QS2UO2OESLG6Y829 VERIZON COMMUNICATIONS INC VARIABLE RATE 05/15/2025 92343VEP5 150000.00000000 PA USD 154398.00000000 0.353716524862 Long DBT CORP US N 2 2025-05-15 Floating 3.00988080 N N N N N N BENCHMARK MORTGAGE TRUST N/A BENCHMARK 2018-B8 MORTGAGE TRUST BMARK 2018-B8 A5 08162UAW0 360000.00000000 PA USD 417679.81000000 0.956879304772 Long ABS-MBS US N 2 2052-01-15 Fixed 4.23170000 N N N N N N GENERAL ELECTRIC COMPANY 3C7474T6CDKPR9K6YT90 GENERAL ELECTRIC CO MTN 3.100000% 01/09/2023 36962G6S8 65000.00000000 PA USD 67103.88000000 0.153730950131 Long DBT CORP US N 2 2023-01-09 Fixed 3.10000000 N N N N N N Estados Unidos Mexicanos 254900EGTWEU67VP6075 UNITED MEXICAN STATES 3.250000% 04/16/2030 91087BAH3 380000.00000000 PA USD 386650.00000000 0.885791877731 Long DBT NUSS MX N 2 2030-04-16 Fixed 3.25000000 N N N N N N COMCAST CORPORATION 51M0QTTNCGUN7KFCFZ59 COMCAST CORP 3.950000% 10/15/2025 20030NCS8 179000.00000000 PA USD 197900.83000000 0.453378889978 Long DBT CORP US N 2 2025-10-15 Fixed 3.95000000 N N N N N N TOWD POINT MORTGAGE TRUST N/A TOWD POINT MORTGAGE TRUST 2017-3 TPMT 2017-3 A1 89169DAA9 230920.41800000 PA USD 234215.01000000 0.536572490626 Long ABS-MBS US N 2 2057-07-25 Floating 2.75000040 N N N N N N BANK N/A BANK 2020-BNK25 BANK 2020-BN25 A5 06539WBB1 332683.00000000 PA USD 344091.37000000 0.788292617983 Long ABS-MBS US N 2 2063-01-15 Fixed 2.64900000 N N N N N N CARDINAL HEALTH, INC. CCU46N3GJMF4OK4N7U60 CARDINAL HEALTH INC 3.079000% 06/15/2024 14149YBH0 130000.00000000 PA USD 134835.47000000 0.308899946091 Long DBT CORP US N 2 2024-06-15 Fixed 3.07900000 N N N N N N NEW JERSEY ECONOMIC DEV AUTH ST PENSION FDG REV N/A NEW JERSEY ST ECON DEV AUTH LE NEW JERSEY ECONOMIC DEVELOPMENT AUTHORITY 645913AA2 90000.00000000 PA USD 116923.50000000 0.267864700933 Long DBT MUN US N 2 2029-02-15 Fixed 7.42500000 N N N N N N REPUBLIC OF SOUTH AFRICA 378900AAFB4F17004C49 REPUBLIC OF SOUTH AFRICA 4.850000% 09/27/2027 836205AW4 200000.00000000 PA USD 209056.00000000 0.478934713024 Long DBT NUSS ZA N 2 2027-09-27 Fixed 4.85000000 N N N N N N L BRANDS, INC. GR3KVMWVCR54YWQNXU90 L BRANDS INC 6.875000% 11/01/2035 501797AL8 205000.00000000 PA USD 205512.50000000 0.470816767806 Long DBT CORP US N 2 2035-11-01 Fixed 6.87500000 N N N N N N JPMORGAN CHASE & CO. 8I5DZWZKVSZI1NUHU748 JPMORGAN CHASE & CO 2.700000% 05/18/2023 46625HRL6 195000.00000000 PA USD 200430.60000000 0.459174440783 Long DBT CORP US N 2 2023-05-18 Fixed 2.70000000 N N N N N N Shire Acquisitions Investments Ireland DAC 549300XK5HGW68R8K327 SHIRE ACQUISITIONS INVESTMENTS IRELAND DAC 2.400000% 09/23/2021 82481LAB5 195000.00000000 PA USD 196725.04000000 0.450685225859 Long DBT NUSS IE N 2 2021-09-23 Fixed 2.40000000 N N N N N N United States of America N/A US 5YR NOTE (CBT) MAR20 FINANCIAL COMMODITY FUTURE. N/A 32.00000000 NC USD 3850250.00000000 8.820691005393 N/A DIR US N 1 UBS SECURITIES N/A Long U.S. Treasury Futures US 5-Year Note (consolidated) Mar 2020 2020-04-03 3805072.72 USD 45177.28 N N N AMERICAN MUN PWR OHIO INC REV N/A AMERICAN MUNI PWR-OHIO INC OH AMERICAN MUNICIPAL POWER INC 02765UEK6 40000.00000000 PA USD 73289.20000000 0.167901145960 Long DBT MUN US N 2 2050-02-15 Fixed 8.08400000 N N N N N N B.A.T CAPITAL CORPORATION 2138005GYEXN7XRHFA84 BAT CAPITAL CORP 2.764000% 08/15/2022 05526DAV7 317000.00000000 PA USD 323346.15000000 0.740766567608 Long DBT CORP US N 2 2022-08-15 Fixed 2.76400000 N N N N N N ENERGY TRANSFER OPERATING, L.P. 5493008K8W3OKZE54J59 ENERGY TRANSFER OPERATING LP 3.750000% 05/15/2030 29278NAQ6 205000.00000000 PA USD 209017.81000000 0.478847222033 Long DBT CORP US N 2 2030-05-15 Fixed 3.75000000 N N N N N N The Bank of New York Mellon Corporation N/A BANK OF NEW YORK MELLON CORP/THE MTN 1.950000% 08/23/2022 06406RAK3 234000.00000000 PA USD 235926.82000000 0.540494144303 Long DBT CORP US N 2 2022-08-23 Fixed 1.95000000 N N N N N N Federal National Mortgage Association N/A FANNIE MAE POOL FN BM2005 3140J6GP6 587416.33400000 PA USD 618170.96000000 1.416192461961 Long DBT USGA US N 2 2047-12-01 Fixed 4.00000000 N N N N N N UNITED TECHNOLOGIES CORPORATION I07WOS4YJ0N7YRFE7309 UNITED TECHNOLOGIES CORP 3.950000% 08/16/2025 913017DD8 100000.00000000 PA USD 110353.79000000 0.252813890751 Long DBT CORP US N 2 2025-08-16 Fixed 3.95000000 N N N N N N CAL FUNDING LIMITED N/A CAL FUNDING III LTD CAI 2017-1A A 12805PAA4 306308.33100000 PA USD 306472.42000000 0.702109867799 Long ABS-MBS BM N 2 2042-06-25 Fixed 3.62000000 N N N N N N LLOYDS BANKING GROUP PLC 549300PPXHEU2JF0AM85 LLOYDS BANKING GROUP PLC 2.438000% 02/05/2026 539439AV1 205000.00000000 PA USD 206362.04000000 0.472763012812 Long DBT NUSS GB N 2 2026-02-05 Fixed 2.43800000 N N N N N N BAYER US FINANCE II LLC 529900XWNEXYNJ3X6T40 BAYER US FINANCE II LLC 144A 3.875000% 12/15/2023 07274NAE3 225000.00000000 PA USD 240306.18000000 0.550526994472 Long DBT CORP US Y 2 2023-12-15 Fixed 3.87500000 N N N N N N J.P. MORGAN MORTGAGE TRUST N/A JP MORGAN MORTGAGE TRUST 2017-4 JPMMT 2017-4 A5 46648UAE4 272300.79400000 PA USD 277218.82000000 0.635091630959 Long ABS-MBS US N 2 2048-11-25 Floating 3.49999920 N N N N N N Federal National Mortgage Association N/A FANNIE MAE POOL FN CA2491 3140Q9XV0 591369.13900000 PA USD 626658.29000000 1.435636424143 Long DBT USGA US N 2 2048-10-01 Fixed 4.50000000 N N N N N N 2020-01-31 SCHRODER SERIES TRUST David Marshall David Marshall Treasurer and Principal Financial Officer XXXX