NPORT-P/A false 0001752724-21-189836 0000917469 XXXXXXXX S000006641 C000018127 C000125494 C000018128 LOOMIS SAYLES FUNDS I 811-08282 0000917469 549300826G7KS737WZ11 888 BOYLSTON STREET Suite 800 BOSTON 02199-8197 617-449-2822 Loomis Sayles Global Bond Fund S000006641 549300SSY8500EZNEU95 2021-09-30 2021-06-30 N 763960440.00 10078547.18 753881892.82 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 6801000.41000000 0.00000000 0.00000000 16184405.61000000 AUD BRL CAD CNY EUR GBP IDR JPY KRW MXN NOK USD ZAR N UNITED AIRLINES INC K1OQBWM7XEOO08LDNP29 90932LAG2 875000.00000000 PA USD 905782.50000000 0.120149125297 Long DBT CORP US N 2 2026-04-15 Fixed 4.37500000 N N N N N N UBS AG BFM8T61CT2L1QCEMIK50 000000000 1.00000000 NC N/A -9491.62000000 -0.00125903275 N/A DFE CZ N 2 UBS AG BFM8T61CT2L1QCEMIK50 3580550.02000000 EUR 91294000.00000000 CZK 2021-09-15 -9491.62000000 N N N FERGUSON FINANCE PLC 2138003A7ZEU931DZL61 314890AB0 585000.00000000 PA USD 631364.16000000 0.083748418155 Long DBT CORP GB N 2 2030-06-02 Fixed 3.25000000 N N N N N N SIGMA FINANCE NL 549300K5R8C331KIC659 000000000 1175000.00000000 PA USD 1330687.50000000 0.176511402206 Long DBT CORP NL N 2 2028-03-27 Fixed 4.87500000 N N N N N N EDP FINANCE BV 5299007L43AQDFOW5739 000000000 230000.00000000 PA 275388.67000000 0.036529418284 Long DBT CORP NL N 2 2026-09-16 Fixed 0.37500000 N N N N N N NORWEGIAN GOVERNMENT 549300L0BT3FJTN9MX24 000000000 37545000.00000000 PA 4477937.25000000 0.593983924093 Long DBT NUSS NO N 2 2025-03-13 Fixed 1.75000000 N N N N N N United States Treasury 254900HROIFWPRGM1V77 912810SN9 2220000.00000000 PA USD 1812682.04000000 0.240446422346 Long DBT UST US N 2 2050-05-15 Fixed 1.25000000 N N N N N N BOEING CO RVHJWBXLJ1RFUBSY1F30 097023CH6 160000.00000000 PA USD 169145.77000000 0.022436640488 Long DBT CORP US N 2 2026-05-01 Fixed 3.10000000 N N N N N N BRITISH TELECOMMUNICATIO 549300OWFMSO9NYV4H90 000000000 100000.00000000 PA 122036.22000000 0.016187710722 Long DBT CORP GB N 2 2029-09-12 Fixed 1.12500000 N N N N N N BOEING CO RVHJWBXLJ1RFUBSY1F30 097023BY0 120000.00000000 PA USD 123247.98000000 0.016348446775 Long DBT CORP US N 2 2038-03-01 Fixed 3.55000000 N N N N N N KRAFT HEINZ FOODS CO 5493003STKEZ2S0RNU91 50077LAV8 3660000.00000000 PA USD 4015825.20000000 0.532686252083 Long DBT CORP US N 2 2030-04-01 Fixed 3.75000000 N N N N N N Morgan Stanley Capital Services LLC I7331LVCZKQKX5T7XV54 000000000 1.00000000 NC 70622.23000000 0.009367810882 N/A DFE US N 2 Morgan Stanley Capital Services LLC I7331LVCZKQKX5T7XV54 2545000.00000000 GBP 3591707.60000000 USD 2021-09-15 70622.23000000 N N N Ally Financial Inc 549300JBN1OSM8YNAI90 02005NBF6 365000.00000000 PA USD 419077.59000000 0.055589289780 Long DBT CORP US N 2 2025-11-20 Fixed 5.75000000 N N N N N N UniCredit SpA 549300TRUWO2CD2G5692 000000000 340000.00000000 PA 439229.36000000 0.058262357032 Long DBT CORP IT N 2 2029-02-20 Fixed 4.87500000 N N N N N N MANITOBA (PROVINCE OF) 5493003QILFOB3JRKE30 56344ZPH6 1260000.00000000 PA 1150171.83000000 0.152566581178 Long DBT NUSS CA N 2 2025-09-05 Fixed 4.40000000 N N N N N N BRITISH TELECOMMUNICATIO 549300OWFMSO9NYV4H90 111021AL5 1535000.00000000 PA USD 1824936.56000000 0.242071944873 Long DBT CORP GB N 2 2028-12-04 Fixed 5.12500000 N N N N N N BRASS PLC 2138001JRCRN7WGSM347 10554MAA8 880949.40000000 PA USD 884190.41000000 0.117285004245 Long ABS-MBS CORP GB N 2 2066-11-16 Floating 0.85600000 N N N N N N UBS AG BFM8T61CT2L1QCEMIK50 000000000 1.00000000 NC -196481.16000000 -0.02606259174 N/A DFE AU N 2 UBS AG BFM8T61CT2L1QCEMIK50 6239976.20000000 USD 8056000.00000000 AUD 2021-09-15 -196481.16000000 N N N INTESA SANPAOLO SPA 2W8N8UU78PMDQKZENC08 46115HBL0 1250000.00000000 PA USD 1371504.26000000 0.181925613688 Long DBT CORP IT N 2 2029-09-23 Fixed 4.00000000 N N N N N N UniCredit SpA 549300TRUWO2CD2G5692 904678AQ2 605000.00000000 PA USD 727403.60000000 0.096487739913 Long DBT CORP IT N 2 2034-04-02 Fixed 7.29600000 N N N N N N Lanark Master Issuer plc 213800KIOPB5OYXIVY33 000000000 161500.00000000 PA 224607.54000000 0.029793465281 Long ABS-MBS CORP GB N 2 2069-12-22 Floating 0.61900000 N N N N N N BANK OF AMERICA CORP 9DJT3UXIJIZJI4WXO774 06051GHZ5 1690000.00000000 PA USD 1725479.40000000 0.228879273588 Long DBT CORP US N 2 2031-02-13 Fixed 2.49600000 N N N N N N FRAPORT AG 5299001ERX0K10IZUL40 000000000 3385000.00000000 PA 4200002.85000000 0.557116822940 Long DBT CORP DE N 2 2028-03-31 Fixed 1.87500000 N N N N N N Bayview Opportunity Master Fund IVa Trust N/A 07332HAA4 286767.36000000 PA USD 293352.40000000 0.038912249092 Long ABS-O CORP US N 2 2055-04-28 Fixed 4.00000000 N N N N N N Credit Suisse International E58DKGMJYYYJLN8C3868 000000000 1.00000000 NC -93534.00000000 -0.01240698322 N/A DFE CH N 2 Credit Suisse International E58DKGMJYYYJLN8C3868 3621649.86000000 USD 3258000.00000000 CHF 2021-09-15 -93534.00000000 N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 36184EG47 1390194.44000000 PA USD 1512074.73000000 0.200571832856 Long ABS-MBS USGA US N 2 2065-02-20 Variable 4.61100000 N N N N N N CITIGROUP INC 6SHGI4ZSSLCXXQSBB395 172967MP3 1927000.00000000 PA USD 2250095.06000000 0.298467847739 Long DBT CORP US N 2 2031-03-31 Fixed 4.41200000 N N N N N N AKER BP ASA 549300NFTY73920OYK69 00973RAF0 320000.00000000 PA USD 345307.23000000 0.045803889613 Long DBT CORP NO N 2 2030-01-15 Fixed 3.75000000 N N N N N N JAPAN (10 YEAR ISSUE) 353800WZS8AXZXFUC241 000000000 683950000.00000000 PA 6227611.16000000 0.826072521347 Long DBT NUSS JP N 2 2028-03-20 Fixed 0.10000000 N N N N N N ATLANTIA SPA 8156008DEC771409C487 000000000 490000.00000000 PA 595543.00000000 0.078996856891 Long DBT CORP IT N 2 2025-02-03 Fixed 1.62500000 N N N N N N Ally Financial Inc 549300JBN1OSM8YNAI90 02005NBA7 310000.00000000 PA USD 347093.67000000 0.046040855113 Long DBT CORP US N 2 2025-03-30 Fixed 4.62500000 N N N N N N LEGAL & GENERAL GROUP 213800JH9QQWHLO99821 000000000 490000.00000000 PA 737478.44000000 0.097824134924 Long DBT CORP GB N 2 2049-11-26 Fixed 3.75000000 N N N N N N United States Treasury 254900HROIFWPRGM1V77 912810SW9 8510000.00000000 PA USD 8330492.19000000 1.105012903127 Long DBT UST US N 2 2041-02-15 Fixed 1.87500000 N N N N N N NORDIC INVESTMENT BANK 213800HYL1S7VAXG6Z48 000000000 18000000.00000000 PA 2107328.78000000 0.279530361462 Long DBT NUSS XX N 2 2023-01-16 Fixed 0.20000000 N N N N N N WEA FINANCE LLC 3CYEJKBUJZO3UW777J80 92928QAF5 535000.00000000 PA USD 555788.91000000 0.073723605155 Long DBT US N 2 2029-06-15 Fixed 3.50000000 N N N N N N United States Treasury 254900HROIFWPRGM1V77 912796F53 7625000.00000000 PA USD 7624110.39000000 1.011313637137 Long STIV UST US N 2 2021-09-23 None 0.00000000 N N N N N N HSBC Bank USA, National Association 1IE8VN30JCEQV1H4R804 000000000 1.00000000 NC -18928.56000000 -0.00251081239 N/A DFE CA N 2 HSBC Bank USA, National Association 1IE8VN30JCEQV1H4R804 791733.57000000 USD 958000.00000000 CAD 2021-09-15 -18928.56000000 N N N BUNDESREPUB. DEUTSCHLAND 529900AQBND3S6YJLY83 000000000 7730000.00000000 PA 9436497.67000000 1.251720960520 Long DBT NUSS DE N 2 2030-02-15 None 0.00000000 N N N N N N ANHEUSER-BUSCH INBEV WOR 549300CRGMZK3K53BF92 035240AQ3 1150000.00000000 PA USD 1369954.36000000 0.181720024455 Long DBT CORP US N 2 2029-01-23 Fixed 4.75000000 N N N N N N Aflac Inc 549300N0B7DOGLXWPP39 001055AS1 290000000.00000000 PA 2629930.24000000 0.348851758484 Long DBT CORP US N 2 2027-01-25 Fixed 0.93200000 N N N N N N BROADCOM INC 549300WV6GIDOZJTV909 11135FBA8 265000.00000000 PA USD 308263.08000000 0.040890102672 Long DBT CORP US N 2 2029-04-15 Fixed 4.75000000 N N N N N N CHINA GOVERNMENT BOND 300300CHN201808MOF68 000000000 125210000.00000000 PA 18722892.96000000 2.483531324776 Long DBT NUSS CN N 2 2025-04-09 Fixed 1.99000000 N N N N N N Legacy Mortgage Asset Trust 2020-GSL N/A 52474PAA0 2032806.42000000 PA USD 2047427.99000000 0.271584714993 Long ABS-MBS CORP US N 2 2059-10-25 Variable 2.88200000 N N N N N N IRISH TSY 1% 2026 549300KXBEJAOJ9OVF93 000000000 3205000.00000000 PA 4059321.60000000 0.538455909163 Long DBT NUSS IE N 2 2026-05-15 Fixed 1.00000000 N N N N N N UBS AG BFM8T61CT2L1QCEMIK50 000000000 1.00000000 NC 33624.25000000 0.004460148243 N/A DFE US N 2 UBS AG BFM8T61CT2L1QCEMIK50 79373000.00000000 MXN 3978540.65000000 USD 2021-09-15 33624.25000000 N N N LEGAL & GENERAL GROUP 213800JH9QQWHLO99821 000000000 1720000.00000000 PA 2734162.00000000 0.362677765050 Long DBT CORP GB N 2 2050-11-01 Fixed 4.50000000 N N N N N N Vericrest Opportunity Loan Transferee N/A 91835EAA7 1436981.32000000 PA USD 1437254.35000000 0.190647150924 Long ABS-MBS CORP US N 2 2051-04-25 Variable 2.24000000 N N N N N N ANHEUSER-BUSCH INBEV FIN 5493000EYEKDT0FBSQ91 035242AM8 305000.00000000 PA USD 372206.80000000 0.049372030757 Long DBT CORP US N 2 2036-02-01 Fixed 4.70000000 N N N N N N Aflac Inc 549300N0B7DOGLXWPP39 000000000 390000000.00000000 PA 3727528.69000000 0.494444650481 Long DBT CORP US N 2 2047-10-23 Fixed 2.10800000 N N N N N N DELTA AIR LINES/SKYMILES N/A 830867AA5 3680000.00000000 PA USD 3954604.25000000 0.524565490650 Long DBT CORP XX N 2 2025-10-20 Fixed 4.50000000 N N N N N N CEMEX SAB DE CV 549300RIG2CXWN6IV731 000000000 2650000.00000000 PA USD 2693725.00000000 0.357313927507 Long DBT CORP MX N 2 2031-07-11 Fixed 3.87500000 N N N N N N BOEING CO RVHJWBXLJ1RFUBSY1F30 097023CF0 195000.00000000 PA USD 198975.96000000 0.026393518917 Long DBT CORP US N 2 2059-03-01 Fixed 3.82500000 N N N N N N ALLY FINANCIAL INC 549300JBN1OSM8YNAI90 02005NBJ8 280000.00000000 PA USD 325382.87000000 0.043160987563 Long DBT CORP US N 2 2025-05-01 Fixed 5.80000000 N N N N N N BANCO SANTANDER SA 5493006QMFDDMYWIAM13 05964HAM7 400000.00000000 PA USD 412148.00000000 0.054670102031 Long DBT CORP ES N 2 2031-03-25 Fixed 2.95800000 N N N N N N Citibank, National Association E57ODZWZ7FF32TWEFA76 000000000 1.00000000 NC 232209.17000000 0.030801796967 N/A DFE US N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 72730000.00000000 ZAR 5277594.35000000 USD 2021-09-15 232209.17000000 N N N T-MOBILE USA INC 549300V2JRLO5DIFGE82 87264AAX3 840000.00000000 PA USD 984732.00000000 0.130621521670 Long DBT CORP US N 2 2040-04-15 Fixed 4.37500000 N N N N N N Credit Suisse International E58DKGMJYYYJLN8C3868 000000000 1.00000000 NC N/A -19443.01000000 -0.00257905252 N/A DFE PL N 2 Credit Suisse International E58DKGMJYYYJLN8C3868 1231714.02000000 EUR 5502000.00000000 PLN 2021-09-15 -19443.01000000 N N N EMBRAER NETHERLANDS FINA 724500PBR8LR26XBSP67 29082HAB8 530000.00000000 PA USD 564789.20000000 0.074917464576 Long DBT CORP NL N 2 2027-02-01 Fixed 5.40000000 N N N N N N Credit Suisse International E58DKGMJYYYJLN8C3868 000000000 1.00000000 NC 80689.95000000 0.010703261448 N/A DFE US N 2 Credit Suisse International E58DKGMJYYYJLN8C3868 515109000.00000000 JPY 4720249.25000000 USD 2021-09-15 80689.95000000 N N N CHARTER COMM OPT LLC/CAP N/A 161175BU7 400000.00000000 PA USD 408924.60000000 0.054242528424 Long DBT CORP US N 2 2031-04-01 Fixed 2.80000000 N N N N N N BOEING CO RVHJWBXLJ1RFUBSY1F30 097023CR4 560000.00000000 PA USD 585891.24000000 0.077716582077 Long DBT CORP US N 2 2059-08-01 Fixed 3.95000000 N N N N N N Chicago Board of Trade 549300EX04Q2QBFQTQ27 000000000 37.00000000 NC USD 168464.08000000 0.022346216510 N/A DIR US N 1 Chicago Board of Trade 549300EX04Q2QBFQTQ27 Long US Treasury Ultra Long Bond WNU1 Comdty 2021-09-21 6960973.42000000 USD 168464.08000000 N N N FRANCE (GOVT OF) 969500KCGF3SUYJHPV70 000000000 3275000.00000000 PA 3708333.21000000 0.491898432011 Long DBT NUSS FR N 2 2044-06-25 Fixed 0.50000000 N N N N N N Kraft Heinz Foods Co 5493003STKEZ2S0RNU91 50077LAB2 845000.00000000 PA USD 957655.40000000 0.127029898067 Long DBT CORP US N 2 2046-06-01 Fixed 4.37500000 N N N N N N CEMEX SAB DE CV 549300RIG2CXWN6IV731 151290BZ5 680000.00000000 PA USD 691220.00000000 0.091688102152 Long DBT CORP MX N 2 2031-07-11 Fixed 3.87500000 N N N N N N Credit Suisse Mortgage Trust N/A 12597FAC4 1283297.16000000 PA USD 1291940.17000000 0.171371693935 Long ABS-MBS CORP US N 2 2059-12-26 Variable 3.02300000 N N N N N N CK HUTCHISON INTL 19 LTD 254900FPY8WXG61CMU70 12564CAB2 3350000.00000000 PA USD 3709689.50000000 0.492078339502 Long DBT CORP KY N 2 2029-04-11 Fixed 3.62500000 N N N N N N BONOS Y OBLIG DEL ESTADO 9598007A56S18711AH60 000000000 2460000.00000000 PA 3345803.29000000 0.443810008154 Long DBT NUSS ES N 2 2030-07-30 Fixed 1.95000000 N N N N N N INDONESIA GOVERNMENT 529900FWX0GRR7WG5W79 000000000 93413000000.00000000 PA 7173603.02000000 0.951555288477 Long DBT NUSS ID N 2 2029-05-15 Fixed 8.25000000 N N N N N N BROADCOM INC 549300WV6GIDOZJTV909 11135FBL4 158000.00000000 PA USD 167125.22000000 0.022168621052 Long DBT CORP US N 2 2034-04-15 Fixed 3.46900000 N N N N N N INTL BK RECON & DEVELOP ZTMSNXROF84AHWJNKQ93 000000000 37000000000.00000000 PA 2576475.86000000 0.341761207496 Long DBT NUSS XX N 2 2021-10-12 Fixed 8.40000000 N N N N N N UPJOHN FINANCE BV 254900OG32E8F3XO5O83 000000000 1185000.00000000 PA 1496123.13000000 0.198455904598 Long DBT CORP NL N 2 2032-06-23 Fixed 1.90800000 N N N N N N NOTA DO TESOURO NACIONAL 254900ZFY40OYEADAP90 000000000 16075000.00000000 PA 3431546.65000000 0.455183588129 Long DBT NUSS BR N 2 2029-01-01 Fixed 10.00000000 N N N N N N Banco Santander SA 5493006QMFDDMYWIAM13 05964HAB1 400000.00000000 PA USD 451359.60000000 0.059871394219 Long DBT CORP ES N 2 2027-04-11 Fixed 4.25000000 N N N N N N BUNDESREPUB. DEUTSCHLAND 529900AQBND3S6YJLY83 000000000 2345000.00000000 PA 3507389.80000000 0.465243937200 Long DBT NUSS DE N 2 2048-08-15 Fixed 1.25000000 N N N N N N NORDIC INVESTMENT BANK 213800HYL1S7VAXG6Z48 000000000 44510000.00000000 PA 5216408.75000000 0.691939785221 Long DBT NUSS XX N 2 2025-03-13 Fixed 1.50000000 N N N N N N BUNDESREPUB. DEUTSCHLAND 529900AQBND3S6YJLY83 000000000 14150000.00000000 PA 17280842.78000000 2.292248022479 Long DBT NUSS DE N 2 2026-08-15 None 0.00000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 36182MEK7 1172637.96000000 PA USD 1272490.19000000 0.168791716861 Long ABS-MBS USGA US N 2 2064-07-20 Variable 4.63900000 N N N N N N BUNDESREPUB. DEUTSCHLAND 529900AQBND3S6YJLY83 000000000 8945000.00000000 PA 11144551.40000000 1.478288775223 Long DBT NUSS DE N 2 2028-08-15 Fixed 0.25000000 N N N N N N JAPAN (5 YEAR ISSUE) 353800WZS8AXZXFUC241 000000000 3361750000.00000000 PA 30541254.40000000 4.051198827147 Long DBT NUSS JP N 2 2025-12-20 Fixed 0.10000000 N N N N N N FREEPORT-MCMORAN INC 549300IRDTHJQ1PVET45 35671DCF0 2010000.00000000 PA USD 2153212.50000000 0.285616688835 Long DBT CORP US N 2 2030-03-01 Fixed 4.25000000 N N N N N N JAPAN (10 YEAR ISSUE) 353800WZS8AXZXFUC241 000000000 237000000.00000000 PA 2156349.07000000 0.286032744722 Long DBT NUSS JP N 2 2029-03-20 Fixed 0.10000000 N N N N N N BOEING CO RVHJWBXLJ1RFUBSY1F30 097023BZ7 40000.00000000 PA USD 39966.54000000 0.005301432542 Long DBT CORP US N 2 2048-03-01 Fixed 3.62500000 N N N N N N Eurex Deutschland 529900LN3S50JPU47S06 000000000 -29.00000000 NC -114898.87000000 -0.01524096428 N/A DIR DE N 1 Eurex Deutschland 529900LN3S50JPU47S06 Short Euro-Buxl (FGBX) UBU1 Comdty 2021-09-08 -5797060.27000000 EUR -114898.87000000 N N N UK TSY 3.5% 2045 ECTRVYYCEF89VWYS6K36 000000000 3120000.00000000 PA 6321838.02000000 0.838571410218 Long DBT NUSS GB N 2 2045-01-22 Fixed 3.50000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140HJJQ5 2710193.99000000 PA USD 2925764.09000000 0.388093163911 Long ABS-MBS USGSE US N 2 2048-08-01 Fixed 4.50000000 N N N N N N CENTENE CORP 549300Z7JJ4TQSQGT333 15135BAT8 2566000.00000000 PA USD 2822009.82000000 0.374330494852 Long DBT CORP US N 2 2029-12-15 Fixed 4.62500000 N N N N N N AVIVA PLC YF0Y5B0IB8SM0ZFG9G81 000000000 395000.00000000 PA 619113.97000000 0.082123469988 Long DBT CORP GB N 2 2049-09-12 Fixed 4.37500000 N N N N N N MEX BONOS DESARR FIX RT 254900EGTWEU67VP6075 000000000 233821900.00000000 PA 12903956.67000000 1.711668205974 Long DBT NUSS MX N 2 2029-05-31 Fixed 8.50000000 N N N N N N BOEING CO RVHJWBXLJ1RFUBSY1F30 097023BX2 65000.00000000 PA USD 68199.94000000 0.009046501932 Long DBT CORP US N 2 2028-03-01 Fixed 3.25000000 N N N N N N Fixed Income Clearing Corp 549300H47WTHXPU08X20 000000000 10429571.60000000 PA USD 10429571.60000000 1.383449012283 Long RA CORP US N 2 Repurchase N 0.00000000 2021-07-01 10631600.00000000 USD 10638244.75000000 USD UST N N N UBS AG BFM8T61CT2L1QCEMIK50 000000000 1.00000000 NC -59589.06000000 -0.00790429649 N/A DFE KR N 2 UBS AG BFM8T61CT2L1QCEMIK50 6870334.02000000 USD 7672102000.00000000 KRW 2021-09-15 -59589.06000000 N N N ANHEUSER-BUSCH CO/INBEV N/A 03522AAH3 1190000.00000000 PA USD 1460538.71000000 0.193735746130 Long DBT CORP US N 2 2036-02-01 Fixed 4.70000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 36183SVB4 928813.63000000 PA USD 1000089.86000000 0.132658692233 Long ABS-MBS USGA US N 2 2064-11-20 Floating 2.15300000 N N N N N N NATIONAL GRID PLC 8R95QZMKZLJX5Q2XR704 000000000 905000.00000000 PA 1055492.09000000 0.140007619237 Long DBT CORP GB N 2 2028-01-20 Fixed 0.16300000 N N N N N N AVIVA PLC YF0Y5B0IB8SM0ZFG9G81 000000000 2200000.00000000 PA 3386953.54000000 0.449268456008 Long DBT CORP GB N 2 2055-06-03 Fixed 4.00000000 N N N N N N Lanark Master Issuer PLC 213800KIOPB5OYXIVY33 513770BD8 2030000.00000000 PA USD 2069899.65000000 0.274565508166 Long ABS-MBS CORP GB N 2 2069-12-22 Variable 2.71000000 N N N N N N UNICREDIT SPA 549300TRUWO2CD2G5692 904678AS8 200000.00000000 PA USD 218068.33000000 0.028926060179 Long DBT CORP IT N 2 2035-06-30 Fixed 5.45900000 N N N N N N INTER-AMERICAN DEVEL BK VKU1UKDS9E7LYLMACP54 458182CZ3 2665000.00000000 PA 2457299.41000000 0.325952836034 Long DBT NUSS XX N 2 2026-01-26 Fixed 4.40000000 N N N N N N Citibank, National Association E57ODZWZ7FF32TWEFA76 000000000 1.00000000 NC N/A -55980.76000000 -0.00742566714 N/A DFE SE N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 2897402.93000000 GBP 33804000.00000000 SEK 2021-09-15 -55980.76000000 N N N Intesa Sanpaolo SpA 2W8N8UU78PMDQKZENC08 46115HAT4 620000.00000000 PA USD 674660.96000000 0.089491598939 Long DBT CORP IT N 2 2024-06-26 Fixed 5.01700000 N N N N N N BOEING CO RVHJWBXLJ1RFUBSY1F30 097023DB8 2885000.00000000 PA USD 3058358.84000000 0.405681429561 Long DBT CORP US N 2 2028-02-01 Fixed 3.25000000 N N N N N N Banco Santander SA 5493006QMFDDMYWIAM13 05971KAA7 2600000.00000000 PA USD 2974452.00000000 0.394551458037 Long DBT CORP ES N 2 2025-11-19 Fixed 5.17900000 N N N N N N GE CAPITAL FUNDING LLC 549300XAGH9TOLX5XM67 36166NAK9 1415000.00000000 PA USD 1689110.94000000 0.224055114745 Long DBT CORP US N 2 2032-05-15 Fixed 4.55000000 N N N N N N Preston Ridge Partners Mortgage Trust N/A 693577AA6 2301450.59000000 PA USD 2305608.39000000 0.305831511800 Long ABS-MBS CORP US N 2 2026-01-25 Variable 2.11500000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 36183HG41 860002.87000000 PA USD 930626.56000000 0.123444609674 Long ABS-MBS USGA US N 2 2064-11-20 Floating 2.10200000 N N N N N N HEATHROW FUNDING LTD 7TI96JO3DYEIQWZ7Z726 000000000 2360000.00000000 PA 2921235.55000000 0.387492467695 Long DBT CORP JE N 2 2034-03-14 Fixed 1.87500000 N N N N N N Chicago Board of Trade 549300EX04Q2QBFQTQ27 000000000 -142.00000000 NC USD -547247.27000000 -0.07259058417 N/A DIR US N 1 Chicago Board of Trade 549300EX04Q2QBFQTQ27 Short US Treasury Long Bond USU1 Comdty 2021-09-21 -22279252.73000000 USD -547247.27000000 N N N Bayview Opportunity Master Fund Trust N/A 07334KAA5 124370.01000000 PA USD 124815.59000000 0.016556385182 Long ABS-MBS CORP US N 2 2034-10-28 Variable 3.27800000 N N N N N N KFW 549300GDPG70E3MBBU98 000000000 32680000.00000000 PA 3825011.60000000 0.507375443876 Long DBT CORP DE N 2 2023-08-28 Fixed 1.25000000 N N N N N N Bharti Airtel Ltd 335800KQ1FPKOQ84OR26 08860HAA2 3455000.00000000 PA USD 3769154.62000000 0.499966195752 Long DBT CORP IN N 2 2025-06-10 Fixed 4.37500000 N N N N N N Kingdom of Denmark 549300PTO6LS1PTM6607 000000000 33175000.00000000 PA 5795316.09000000 0.768729975503 Long DBT NUSS DK N 2 2025-11-15 Fixed 1.75000000 N N N N N N Ally Financial Inc 549300JBN1OSM8YNAI90 02005NBH2 275000.00000000 PA USD 296323.91000000 0.039306410304 Long DBT CORP US N 2 2024-05-21 Fixed 3.87500000 N N N N N N VOLKSWAGEN FIN SERV AG 529900USFSZYPS075O24 000000000 520000.00000000 PA 733560.90000000 0.097304485886 Long DBT CORP DE N 2 2028-04-06 Fixed 3.37500000 N N N N N N United States Treasury 254900HROIFWPRGM1V77 91282CBL4 19385000.00000000 PA USD 18818594.53000000 2.496225829168 Long DBT UST US N 2 2031-02-15 Fixed 1.12500000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 36181LXU7 1618863.31000000 PA USD 1715406.81000000 0.227543177033 Long ABS-MBS USGA US N 2 2063-10-20 Floating 2.41700000 N N N N N N BANCO DO BRASIL (CAYMAN) QE0Q0253K88YAGNPE356 05959LAF0 1020000.00000000 PA USD 1088340.00000000 0.144364788485 Long DBT CORP BR N 2 2025-01-15 Fixed 4.62500000 N N N N N N EDP Finance BV 5299007L43AQDFOW5739 26835PAF7 1040000.00000000 PA USD 1118069.07000000 0.148308253673 Long DBT CORP NL N 2 2024-07-15 Fixed 3.62500000 N N N N N N BNP Paribas R0MUWSFPU8MPRO8K5P83 000000000 1.00000000 NC N/A -22846.79000000 -0.00303055295 N/A DFE SE N 2 BNP Paribas R0MUWSFPU8MPRO8K5P83 2777254.49000000 EUR 28011000.00000000 SEK 2021-09-15 -22846.79000000 N N N CEMEX SAB DE CV 549300RIG2CXWN6IV731 151290BV4 880000.00000000 PA USD 967560.00000000 0.128343711291 Long DBT CORP MX N 2 2029-11-19 Fixed 5.45000000 N N N N N N SIGMA ALIMENTOS SA 549300FW3RGHPHT21D10 82655AAC7 2165000.00000000 PA USD 2359850.00000000 0.313026486307 Long DBT CORP MX N 2 2026-05-02 Fixed 4.12500000 N N N N N N GRIFOLS SA 959800HSSNXWRKBK4N60 000000000 0.00000000 PA 0.00000000 0.000000 Long DBT CORP ES N 2 2025-02-15 Fixed 1.62500000 N N N N N N Santander Drive Auto Receivables Trust N/A 80286GAF8 1585000.00000000 PA USD 1606833.69000000 0.213141303074 Long ABS-O CORP US N 2 2024-10-15 Fixed 2.90000000 N N N N N N Citigroup Mortgage Loan Trust Inc N/A 17327LAA1 1065138.31000000 PA USD 1066116.85000000 0.141416959361 Long ABS-MBS CORP US N 2 2068-01-25 Variable 4.00000000 N N N N N N ATLANTIA SPA 8156008DEC771409C487 000000000 910000.00000000 PA 1108172.97000000 0.146995567946 Long DBT CORP IT N 2 2028-02-12 Fixed 1.87500000 N N N N N N BONOS Y OBLIG DEL ESTADO 9598007A56S18711AH60 000000000 2835000.00000000 PA 5018198.89000000 0.665647886995 Long DBT NUSS ES N 2 2037-01-31 Fixed 4.20000000 N N N N N N ULTRAPAR INTERNATIONL SA 222100CXHWBP3H3SK244 90401CAC3 1660000.00000000 PA USD 1784500.00000000 0.236708165694 Long DBT CORP LU N 2 2029-06-06 Fixed 5.25000000 N N N N N N ENEL FINANCE INTL NV 0YQH6LCEF474UTUV4B96 29268BAF8 1600000.00000000 PA USD 2237699.52000000 0.296823619364 Long DBT CORP NL N 2 2039-10-07 Fixed 6.00000000 N N N N N N STANDARD CHARTERED PLC U4LOSYZ7YG4W3S5F2G91 853254BS8 225000.00000000 PA USD 263127.40000000 0.034903000391 Long DBT CORP GB N 2 2031-04-01 Fixed 4.64400000 N N N N N N CHANNEL LINK 213800BYHTDDUJYTT475 000000000 1370000.00000000 PA 1620920.07000000 0.215009815919 Long DBT CORP GB N 2 2050-06-30 Fixed 1.76100000 N N N N N N Chicago Board of Trade 549300EX04Q2QBFQTQ27 000000000 457.00000000 NC USD -17537.91000000 -0.00232634715 N/A DIR US N 1 Chicago Board of Trade 549300EX04Q2QBFQTQ27 Long 5 Year US Treasury Note FVU1 Comdty 2021-09-30 56424905.33000000 USD -17537.91000000 N N N ARES CAPITAL CORP WEQ82666OJYSI5GUAB47 04010LBB8 730000.00000000 PA USD 740964.60000000 0.098286562796 Long DBT CORP US N 2 2028-06-15 Fixed 2.87500000 N N N N N N Citigroup Inc 6SHGI4ZSSLCXXQSBB395 172967JS1 2930000.00000000 PA 2570841.00000000 0.341013761503 Long DBT CORP US N 2 2025-06-09 Fixed 4.09000000 N N N N N N UniCredit SpA 549300TRUWO2CD2G5692 904678AJ8 350000.00000000 PA USD 360801.71000000 0.047859182378 Long DBT CORP IT N 2 2022-01-14 Fixed 6.57200000 N N N N N N CHARTER COMM OPT LLC/CAP N/A 161175BS2 905000.00000000 PA USD 1077765.03000000 0.142962052844 Long DBT CORP US N 2 2049-07-01 Fixed 5.12500000 N N N N N N THAILAND GOVERNMENT BOND 254900PHJ6MSKT6C7026 000000000 74870000.00000000 PA 2337311.98000000 0.310036890693 Long DBT NUSS TH N 2 2029-12-17 Fixed 1.60000000 N N N N N N PulteGroup Inc N/A 745867AX9 878000.00000000 PA USD 1026803.44000000 0.136202162404 Long DBT CORP US N 2 2027-01-15 Fixed 5.00000000 N N N N N N DP World PLC 549300M3U2DNF4QVSS04 000000000 800000.00000000 PA USD 998960.00000000 0.132508819950 Long DBT CORP AE N 2 2048-09-25 Fixed 5.62500000 N N N N N N BOEING CO RVHJWBXLJ1RFUBSY1F30 097023DC6 1820000.00000000 PA USD 1957461.20000000 0.259650910658 Long DBT CORP US N 2 2031-02-01 Fixed 3.62500000 N N N N N N PROLOGIS YEN FINANCE 5493000T2SX5D8WRJG02 000000000 530000000.00000000 PA 4901217.88000000 0.650130733564 Long DBT CORP US N 2 2028-09-25 Fixed 0.97200000 N N N N N N NATL GRID ELECT TRANS 5XJXCCYG4SDKFJ5WLB02 000000000 350000.00000000 PA 477268.01000000 0.063308061189 Long DBT CORP GB N 2 2038-09-16 Fixed 2.00000000 N N N N N N CNH Capital Canada Receivables Trust 984500F690CEB062EF31 12614ADF4 635000.00000000 PA 510720.11000000 0.067745374290 Long ABS-O CORP CA N 2 2026-11-16 Fixed 1.00100000 N N N N N N Penarth Master Issuer 213800F8FTNP3LEAW656 70659PAL5 1225000.00000000 PA USD 1225117.60000000 0.162507895688 Long ABS-O CORP GB N 2 2023-07-18 Floating 0.62300000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140GYQS1 212383.95000000 PA USD 229209.84000000 0.030403945522 Long ABS-MBS USGSE US N 2 2047-09-01 Fixed 4.50000000 N N N N N N BOEING CO RVHJWBXLJ1RFUBSY1F30 097023DG7 1730000.00000000 PA USD 1746535.74000000 0.231672329131 Long DBT CORP US N 2 2026-02-04 Fixed 2.19600000 N N N N N N TEVA PHARMACEUTICALS NE 5493004T21MOAFINJP35 88167AAE1 1945000.00000000 PA USD 1850181.25000000 0.245420571527 Long DBT CORP NL N 2 2026-10-01 Fixed 3.15000000 N N N N N N CANADIAN GOVERNMENT 4BFD7AQU0A75QLAHK410 135087H72 4285000.00000000 PA 3582931.99000000 0.475264364899 Long DBT NUSS CA N 2 2051-12-01 Fixed 2.00000000 N N N N N N CHINA GOVERNMENT BOND 300300CHN201808MOF68 000000000 103920000.00000000 PA 16291438.81000000 2.161006779067 Long DBT NUSS CN N 2 2027-12-03 Fixed 3.28000000 N N N N N N XLIT LTD 635400XCGXK8NVDIVE95 98420EAE5 1935000.00000000 PA 2570904.89000000 0.341022236305 Long DBT CORP KY N 2 2047-06-29 Fixed 3.25000000 N N N N N N SUZANO AUSTRIA GMBH 254900287ZNSGVP1R341 86964WAJ1 1460000.00000000 PA USD 1531175.00000000 0.203105422027 Long DBT CORP AT N 2 2031-01-15 Fixed 3.75000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140X7CA5 4378794.12000000 PA USD 4654321.20000000 0.617380685798 Long ABS-MBS USGSE US N 2 2049-03-01 Fixed 4.00000000 N N N N N N CENTENE CORP 549300Z7JJ4TQSQGT333 15135BAX9 2210000.00000000 PA USD 2179612.50000000 0.289118563631 Long DBT CORP US N 2 2031-03-01 Fixed 2.50000000 N N N N N N Ford Auto Securitization Trust 549300UXPSVB9J11GQ87 345213HC9 750000.00000000 PA 619088.82000000 0.082120133922 Long ABS-O CORP CA N 2 2024-09-15 Fixed 2.55200000 N N N N N N AKER BP ASA 549300NFTY73920OYK69 00973RAJ2 2755000.00000000 PA USD 3026049.82000000 0.401395742333 Long DBT CORP NO N 2 2031-01-15 Fixed 4.00000000 N N N N N N AVIVA PLC YF0Y5B0IB8SM0ZFG9G81 000000000 190000.00000000 PA 313684.02000000 0.041609172867 Long DBT CORP GB N 2 2050-06-04 Fixed 5.12500000 N N N N N N Avis Budget Rental Car Funding AESOP LLC IHXLB8SL0QWSSG2VG640 05377RDG6 1290000.00000000 PA USD 1310665.80000000 0.173855588319 Long ABS-O CORP US N 2 2023-03-20 Fixed 3.45000000 N N N N N N HSBC Bank USA, National Association 1IE8VN30JCEQV1H4R804 000000000 1.00000000 NC -12381.90000000 -0.00164241907 N/A DFE CA N 2 HSBC Bank USA, National Association 1IE8VN30JCEQV1H4R804 7636369.51000000 USD 9451000.00000000 CAD 2021-09-15 -12381.90000000 N N N VIATRIS INC 254900ZZTSW7NL773X71 91533BAD2 3240000.00000000 PA USD 3276229.16000000 0.434581224353 Long DBT CORP US N 2 2030-06-22 Fixed 2.70000000 N N N N N N Citigroup Mortgage Loan Trust Inc N/A 17327VAA9 1513145.83000000 PA USD 1525917.54000000 0.202408036926 Long ABS-MBS CORP US N 2 2066-04-25 Variable 3.25800000 N N N N N N NOTA DO TESOURO NACIONAL 254900ZFY40OYEADAP90 000000000 34907000.00000000 PA 7436566.84000000 0.986436590509 Long DBT NUSS BR N 2 2027-01-01 Fixed 10.00000000 N N N N N N Ford Auto Securitization Trust 549300UXPSVB9J11GQ87 345213HK1 439206.85000000 PA 357523.44000000 0.047424330442 Long ABS-O CORP CA N 2 2023-10-15 Fixed 2.32100000 N N N N N N CREDIT SUISSE GROUP AG 549300506SI9CRFV9Z86 000000000 195000.00000000 PA 231110.29000000 0.030656034081 Long DBT CORP CH N 2 2028-01-14 Fixed 0.65000000 N N N N N N BUNDESREPUB. DEUTSCHLAND 529900AQBND3S6YJLY83 000000000 2660000.00000000 PA 2899254.25000000 0.384576719193 Long DBT NUSS DE N 2 2050-08-15 None 0.00000000 N N N N N N Towd Point Asset Funding, LLC N/A 89178AAA4 367947.81000000 PA USD 368546.79000000 0.048886542243 Long ABS-MBS CORP US N 2 2048-04-25 Floating 0.99200000 N N N N N N BANCO BRADESCO (CAYMAN) N/A 05947KAY6 3245000.00000000 PA USD 3311360.25000000 0.439241250060 Long DBT CORP BR N 2 2023-01-27 Fixed 2.85000000 N N N N N N EMBRAER NETHERLANDS FINA 724500PBR8LR26XBSP67 29082HAA0 3045000.00000000 PA USD 3215976.75000000 0.426588936626 Long DBT CORP NL N 2 2025-06-15 Fixed 5.05000000 N N N N N N NATIONAL GRID PLC 8R95QZMKZLJX5Q2XR704 000000000 430000.00000000 PA 508535.67000000 0.067455615374 Long DBT CORP GB N 2 2029-09-18 Fixed 0.55300000 N N N N N N UK TSY 4 3/4% 2030 ECTRVYYCEF89VWYS6K36 000000000 3090000.00000000 PA 5842698.79000000 0.775015137735 Long DBT NUSS GB N 2 2030-12-07 Fixed 4.75000000 N N N N N N NEW S WALES TREASURY CRP TC7LRO17HPNPLTAV0H77 000000000 4845000.00000000 PA 4158661.37000000 0.551633009043 Long DBT NUSS AU N 2 2026-05-20 Fixed 4.00000000 N N N N N N AT&T INC 549300Z40J86GGSTL398 00206RKA9 3385000.00000000 PA USD 3514143.17000000 0.466139749935 Long DBT CORP US N 2 2051-06-01 Fixed 3.65000000 N N N N N N HSBC Bank USA, National Association 1IE8VN30JCEQV1H4R804 000000000 1.00000000 NC 253863.75000000 0.033674207116 N/A DFE US N 2 HSBC Bank USA, National Association 1IE8VN30JCEQV1H4R804 22072575000.00000000 COP 6112932.04000000 USD 2021-09-15 253863.75000000 N N N ICE Futures Europe - Financial Products Division N/A 000000000 105.00000000 NC 195793.73000000 0.025971406378 N/A DIR GB N 1 ICE Futures Europe - Financial Products Division N/A Long United Kingdom Gilt G U1 Comdty 2021-09-28 13308958.95000000 GBP 195793.73000000 N N N CENTENE CORP 549300Z7JJ4TQSQGT333 15135BAV3 1890000.00000000 PA USD 1975654.80000000 0.262064232980 Long DBT CORP US N 2 2030-02-15 Fixed 3.37500000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 36180SQ98 1025390.15000000 PA USD 1075285.84000000 0.142633196292 Long ABS-MBS USGA US N 2 2064-05-20 Floating 1.87700000 N N N N N N Eurex Deutschland 529900LN3S50JPU47S06 000000000 -86.00000000 NC -73881.79000000 -0.00980018099 N/A DIR DE N 1 Eurex Deutschland 529900LN3S50JPU47S06 Short Euro-Bund (FGBL) RXU1 Comdty 2021-09-08 -14782151.94000000 EUR -73881.79000000 N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3138X9FB0 424664.60000000 PA USD 473086.13000000 0.062753348303 Long ABS-MBS USGSE US N 2 2043-11-01 Fixed 4.50000000 N N N N N N BUNDESREPUB. DEUTSCHLAND 529900AQBND3S6YJLY83 000000000 3840000.00000000 PA 4741787.81000000 0.628982849324 Long DBT NUSS DE N 2 2023-05-15 Fixed 1.50000000 N N N N N N Lanark Master Issuer plc 213800KIOPB5OYXIVY33 513770BE6 1070000.00000000 PA USD 1093970.14000000 0.145111608385 Long ABS-MBS CORP GB N 2 2069-12-22 Variable 2.27700000 N N N N N N AES CORP/THE 2NUNNB7D43COUIRE5295 00130HCC7 560000.00000000 PA USD 612360.00000000 0.081227577665 Long DBT CORP US N 2 2030-07-15 Fixed 3.95000000 N N N N N N Quicken Loans Inc 549300FGXN1K3HLB1R50 74840LAB8 975000.00000000 PA USD 1023750.00000000 0.135797133443 Long DBT CORP US N 2 2028-01-15 Fixed 5.25000000 N N N N N N NATL GRID ELECT TRANS 5XJXCCYG4SDKFJ5WLB02 000000000 1480000.00000000 PA 2219071.56000000 0.294352680590 Long DBT CORP GB N 2 2035-02-06 Fixed 2.75000000 N N N N N N QUICKEN LOANS LLC/QUICKN N/A 74841CAB7 3045000.00000000 PA USD 3067807.05000000 0.406934704125 Long DBT CORP US N 2 2031-03-01 Fixed 3.87500000 N N N N N N ULTRAPAR INTERNATIONL SA 222100CXHWBP3H3SK244 000000000 205000.00000000 PA USD 220375.00000000 0.029232032510 Long DBT CORP LU N 2 2029-06-06 Fixed 5.25000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 36176VP80 14298.26000000 PA USD 14766.71000000 0.001958756423 Long ABS-MBS USGA US N 2 2063-01-20 Variable 3.63000000 N N N N N N Preston Ridge Partners Mortgage Trust N/A 69359GAA4 649104.61000000 PA USD 651998.77000000 0.086485532576 Long ABS-O CORP US N 2 2025-02-25 Variable 2.98100000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 36181PFL8 2476665.52000000 PA USD 2669048.44000000 0.354040661464 Long ABS-MBS USGA US N 2 2064-05-20 Variable 4.65700000 N N N N N N SANTANDER HOLDINGS USA 549300SMVCQN2P0O6I58 80282KAZ9 875000.00000000 PA USD 934605.46000000 0.123972397918 Long DBT CORP US N 2 2026-10-05 Fixed 3.24400000 N N N N N N Queensland Treasury Corp 98INKCEEHOU5YJS0HQ88 000000000 8485000.00000000 PA 6948939.86000000 0.921754445382 Long DBT NUSS AU N 2 2027-08-20 Fixed 2.75000000 N N N N N N ANHEUSER-BUSCH INBEV WOR 549300CRGMZK3K53BF92 035240AT7 1645000.00000000 PA USD 2001949.14000000 0.265552092319 Long DBT CORP US N 2 2050-06-01 Fixed 4.50000000 N N N N N N UNITED AIR 2016-1 B PTT N/A 90933HAA3 951111.11000000 PA USD 944380.76000000 0.125269059914 Long DBT CORP US N 2 2026-01-07 Fixed 3.65000000 N N N N N N BUNDESREPUB. DEUTSCHLAND 529900AQBND3S6YJLY83 000000000 555000.00000000 PA 1246192.08000000 0.165303357444 Long DBT NUSS DE N 2 2040-07-04 Fixed 4.75000000 N N N N N N Republic of South Africa 378900AAFB4F17004C49 000000000 132045000.00000000 PA 7932871.53000000 1.052269805861 Long DBT NUSS ZA N 2 2031-02-28 Fixed 7.00000000 N N N N N N ISRAEL FIXED BOND 213800T8ZHTFZIBYPE21 000000000 14660000.00000000 PA 4465698.20000000 0.592360453611 Long DBT NUSS IL N 2 2030-03-31 Fixed 1.00000000 N N N N N N CREDIT SUISSE GROUP AG 549300506SI9CRFV9Z86 000000000 1430000.00000000 PA 1593247.77000000 0.211339174633 Long DBT CORP CH N 2 2033-01-18 Fixed 0.62500000 N N N N N N TEVA PHARM FNC NL II 549300HSQCIKJAOYIT23 000000000 845000.00000000 PA 939336.43000000 0.124599945819 Long DBT CORP NL N 2 2024-10-15 Fixed 1.12500000 N N N N N N CENTENE CORP 549300Z7JJ4TQSQGT333 15135BAW1 4060000.00000000 PA USD 4170756.80000000 0.553237428796 Long DBT CORP US N 2 2030-10-15 Fixed 3.00000000 N N N N N N NEW ZEALAND GOVERNMENT 549300237GPHG2AI7C34 000000000 1045000.00000000 PA 795122.27000000 0.105470402933 Long DBT NUSS NZ N 2 2023-04-15 Fixed 5.50000000 N N N N N N Credit Suisse International E58DKGMJYYYJLN8C3868 000000000 1.00000000 NC N/A -5384.01000000 -0.00071417155 N/A DFE JP N 2 Credit Suisse International E58DKGMJYYYJLN8C3868 21947060000.00000000 IDR 166442135.00000000 JPY 2021-09-15 -5384.01000000 N N N Vericrest Opportunity Loan Transferee N/A 92873CAA2 3141650.97000000 PA USD 3138056.61000000 0.416253081535 Long ABS-MBS CORP US N 2 2051-02-27 Variable 1.89300000 N N N N N N UNITED AIR 2016-2 B PTT N/A 90933JAA9 1144878.47000000 PA USD 1138730.47000000 0.151048921700 Long DBT CORP US N 2 2025-10-07 Fixed 3.65000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31418CZH0 426191.95000000 PA USD 454669.31000000 0.060310416569 Long ABS-MBS USGSE US N 2 2048-08-01 Fixed 4.00000000 N N N N N N INTESA SANPAOLO SPA 2W8N8UU78PMDQKZENC08 000000000 2625000.00000000 PA 4135095.15000000 0.548507026018 Long DBT CORP IT N 2 2030-06-10 Fixed 5.14800000 N N N N N N CREDIT AGRICOLE SA 969500TJ5KRTCJQWXH05 225313AM7 250000.00000000 PA USD 263532.50000000 0.034956735598 Long DBT CORP FR N 2 2030-01-14 Fixed 3.25000000 N N N N N N TITULOS DE TESORERIA 549300MHDRBVRF6B9117 000000000 19798100000.00000000 PA 5585168.45000000 0.740854569289 Long DBT NUSS CO N 2 2026-08-26 Fixed 7.50000000 N N N N N N ENGIE ENERGIA CHILE SA 5493000FIKCC3ZDWTO77 000000000 2235000.00000000 PA USD 2290875.00000000 0.303877175167 Long DBT CORP CL N 2 2030-01-28 Fixed 3.40000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140X7HL6 2540348.23000000 PA USD 2725724.17000000 0.361558514133 Long ABS-MBS USGSE US N 2 2050-02-01 Fixed 4.50000000 N N N N N N BROADCOM CRP / CAYMN FI N/A 11134LAR0 94000.00000000 PA USD 103123.49000000 0.013678998127 Long DBT CORP XX N 2 2028-01-15 Fixed 3.50000000 N N N N N N CVS HEALTH CORP 549300EJG376EN5NQE29 126650DG2 660000.00000000 PA USD 716127.14000000 0.094991953888 Long DBT CORP US N 2 2029-08-15 Fixed 3.25000000 N N N N N N JAPAN GOVT CPI LINKED 353800WZS8AXZXFUC241 000000000 1601400000.00000000 PA 14837780.31000000 1.968183670587 Long DBT NUSS JP N 2 2029-03-10 Fixed 0.10000000 N N N N N N BNP Paribas R0MUWSFPU8MPRO8K5P83 000000000 1.00000000 NC -8414.37000000 -0.00111613902 N/A DFE CN N 2 BNP Paribas R0MUWSFPU8MPRO8K5P83 779453.05000000 USD 5012000.00000000 CNY 2021-09-15 -8414.37000000 N N N MALAYSIA GOVERNMENT 254900GSIL471JOBYY43 000000000 7770000.00000000 PA 1976308.14000000 0.262150896423 Long DBT NUSS MY N 2 2026-07-15 Fixed 3.90600000 N N N N N N United States Treasury 254900HROIFWPRGM1V77 91282CAC5 16950000.00000000 PA USD 16951324.13000000 2.248538437047 Long DBT UST US N 2 2022-07-31 Fixed 0.12500000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3132DMC60 4414955.73000000 PA USD 4846489.22000000 0.642871153446 Long ABS-MBS USGSE US N 2 2049-10-01 Fixed 5.00000000 N N N N N N CHARTER COMM OPT LLC/CAP N/A 161175BR4 3525000.00000000 PA USD 4163698.63000000 0.552301185325 Long DBT CORP US N 2 2029-03-30 Fixed 5.05000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3132DWBB8 5898063.36000000 PA USD 5959203.75000000 0.790469144670 Long ABS-MBS USGSE US N 2 2051-03-01 Fixed 2.00000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140GQCA2 506750.92000000 PA USD 536079.76000000 0.071109250017 Long ABS-MBS USGSE US N 2 2047-09-01 Fixed 3.50000000 N N N N N N AUTOSTRADE PER L'ITALIA 815600149448CEB9B230 000000000 2485000.00000000 PA 3042353.22000000 0.403558335725 Long DBT CORP IT N 2 2030-01-15 Fixed 2.00000000 N N N N N N Chicago Board of Trade 549300EX04Q2QBFQTQ27 000000000 158.00000000 NC USD 10607.78000000 0.001407087781 N/A DIR US N 1 Chicago Board of Trade 549300EX04Q2QBFQTQ27 Long 10 Year US Treasury Note TYU1 Comdty 2021-09-21 20924392.22000000 USD 10607.78000000 N N N DP WORLD PLC 549300M3U2DNF4QVSS04 000000000 1180000.00000000 PA USD 1306850.00000000 0.173349434765 Long DBT CORP AE N 2 2049-09-30 Fixed 4.70000000 N N N N N N DEUTSCHE BANK NY 7LTWFZYICNSX8D621K86 251526CF4 815000.00000000 PA USD 829369.94000000 0.110013245827 Long DBT CORP DE N 2 2032-01-14 Fixed 3.72900000 N N N N N N Standard Chartered Bank RILFO74KP1CM8P6PCT96 000000000 1.00000000 NC -1025047.90000000 -0.13596929568 N/A DFE XX N 2 Standard Chartered Bank RILFO74KP1CM8P6PCT96 37643306.33000000 USD 30835000.00000000 EUR 2021-09-15 -1025047.90000000 N N N BELGIUM KINGDOM 549300SZ25JZFHRHWD76 000000000 2485000.00000000 PA 3557319.28000000 0.471866921580 Long DBT NUSS BE N 2 2050-06-22 Fixed 1.70000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140FMYR1 490252.44000000 PA USD 534993.69000000 0.070965186336 Long ABS-MBS USGSE US N 2 2047-03-01 Fixed 4.50000000 N N N N N N JAPAN (30 YEAR ISSUE) 353800WZS8AXZXFUC241 000000000 468600000.00000000 PA 5272683.24000000 0.699404414699 Long DBT NUSS JP N 2 2043-12-20 Fixed 1.70000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3138YTRF3 944665.93000000 PA USD 1026050.63000000 0.136102304588 Long ABS-MBS USGSE US N 2 2045-06-01 Fixed 3.50000000 N N N N N N DEUTSCHE BANK AG 7LTWFZYICNSX8D621K86 000000000 4300000.00000000 PA 6031792.33000000 0.800097785534 Long DBT CORP DE N 2 2031-05-19 Fixed 5.62500000 N N N N N N Eurex Deutschland 529900LN3S50JPU47S06 000000000 67.00000000 NC 7041.23000000 0.000933996434 N/A DIR DE N 1 Eurex Deutschland 529900LN3S50JPU47S06 Long Euro-Bobl (FGBM) OEU1 Comdty 2021-09-08 8982111.79000000 EUR 7041.23000000 N N N UBS AG BFM8T61CT2L1QCEMIK50 000000000 1.00000000 NC N/A 76647.97000000 0.010167105846 N/A DFE XX N 2 UBS AG BFM8T61CT2L1QCEMIK50 45615000.00000000 ZAR 2729159.01000000 EUR 2021-09-15 76647.97000000 N N N ITAU UNIBANCO HLDG SA/KY 5493002W2IVG62O3ZJ94 46556JAA7 2705000.00000000 PA USD 2762075.50000000 0.366380400737 Long DBT CORP BR N 2 2023-01-24 Fixed 2.90000000 N N N N N N CENTENE CORP 549300Z7JJ4TQSQGT333 15135BAY7 215000.00000000 PA USD 217902.50000000 0.028904063365 Long DBT CORP US N 2 2028-07-15 Fixed 2.45000000 N N N N N N FREEPORT-MCMORAN INC 549300IRDTHJQ1PVET45 35671DCE3 955000.00000000 PA USD 996781.25000000 0.132219815795 Long DBT CORP US N 2 2028-03-01 Fixed 4.12500000 N N N N N N BOEING CO RVHJWBXLJ1RFUBSY1F30 097023CQ6 630000.00000000 PA USD 649876.50000000 0.086204020310 Long DBT CORP US N 2 2050-02-01 Fixed 3.75000000 N N N N N N CHARTER COMM OPT LLC/CAP N/A 161175BV5 805000.00000000 PA USD 796198.59000000 0.105613173307 Long DBT CORP US N 2 2051-04-01 Fixed 3.70000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 36176RA77 5240.94000000 PA USD 5276.46000000 0.000699905389 Long ABS-MBS USGA US N 2 2061-12-20 Variable 4.63000000 N N N N N N DELTA AIR LINES/SKYMILES N/A 830867AB3 1175000.00000000 PA USD 1306315.26000000 0.173278503229 Long DBT CORP XX N 2 2028-10-20 Fixed 4.75000000 N N N N N N Legacy Mortgage Asset Trust N/A 52474MAA7 2260650.16000000 PA USD 2273774.82000000 0.301608891479 Long ABS-MBS CORP US N 2 2059-11-25 Variable 3.25000000 N N N N N N BOEING CO RVHJWBXLJ1RFUBSY1F30 097023CP8 10000.00000000 PA USD 10111.24000000 0.001341223352 Long DBT CORP US N 2 2035-02-01 Fixed 3.25000000 N N N N N N BOEING CO RVHJWBXLJ1RFUBSY1F30 097023BR5 85000.00000000 PA USD 86776.56000000 0.011510630620 Long DBT CORP US N 2 2026-06-15 Fixed 2.25000000 N N N N N N BANCO BILBAO VIZCAYA ARG K8MS7FD7N5Z2WQ51AZ71 000000000 1200000.00000000 PA 1430438.68000000 0.189743074296 Long DBT CORP ES N 2 2030-01-16 Fixed 1.00000000 N N N N N N EDP FINANCE BV 5299007L43AQDFOW5739 26835PAH3 420000.00000000 PA USD 415048.20000000 0.055054804201 Long DBT CORP NL N 2 2028-01-24 Fixed 1.71000000 N N N N N N FREEPORT-MCMORAN INC 549300IRDTHJQ1PVET45 35671DCH6 4550000.00000000 PA USD 4982250.00000000 0.660879382758 Long DBT CORP US N 2 2030-08-01 Fixed 4.62500000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3138WJFS2 348062.18000000 PA USD 366226.01000000 0.048578698266 Long ABS-MBS USGSE US N 2 2046-11-01 Fixed 3.00000000 N N N N N N ORBIA ADVANCE CORP SAB 549300MVHZ20SBIOEQ79 59284BAE8 1025000.00000000 PA USD 1242822.75000000 0.164856426694 Long DBT CORP MX N 2 2044-09-17 Fixed 5.87500000 N N N N N N OSW Structured Asset Trust N/A 67113FAA7 1238111.31000000 PA USD 1247534.20000000 0.165481385331 Long ABS-MBS CORP US N 2 2059-12-26 Variable 3.07200000 N N N N N N CITIGROUP INC 6SHGI4ZSSLCXXQSBB395 172967MS7 750000.00000000 PA USD 771016.69000000 0.102272875544 Long DBT CORP US N 2 2031-06-03 Fixed 2.57200000 N N N N N N WEA FINANCE LLC 3CYEJKBUJZO3UW777J80 92928QAH1 115000.00000000 PA USD 118697.92000000 0.015744896001 Long DBT US N 2 2027-01-15 Fixed 2.87500000 N N N N N N KOREA TREASURY BOND 549300O0QCVSQGPGDT58 000000000 9400000000.00000000 PA 7879005.46000000 1.045124645523 Long DBT NUSS KR N 2 2030-06-10 Fixed 1.37500000 N N N N N N Lennar Corp 529900G61XVRLX5TJX09 526057BV5 55000.00000000 PA USD 61668.75000000 0.008180160657 Long DBT CORP US N 2 2025-05-30 Fixed 4.75000000 N N N N N N Diamond Resorts Owner Trust N/A 252724AA7 272566.10000000 PA USD 283947.02000000 0.037664655790 Long ABS-O CORP US N 2 2031-01-21 Fixed 3.70000000 N N N N N N BOEING CO RVHJWBXLJ1RFUBSY1F30 097023CB9 235000.00000000 PA USD 241154.81000000 0.031988407242 Long DBT CORP US N 2 2048-11-01 Fixed 3.85000000 N N N N N N Leonardo US Holdings Inc 529900WVR776KSXHSA85 583491AB1 850000.00000000 PA USD 1097758.00000000 0.145614055789 Long DBT CORP US N 2 2039-07-15 Fixed 7.37500000 N N N N N N Corning Inc 549300X2937PB0CJ7I56 000000000 600000000.00000000 PA 5305297.27000000 0.703730560519 Long DBT CORP US N 2 2024-08-09 Fixed 0.69800000 N N N N N N HSBC Bank USA, National Association 1IE8VN30JCEQV1H4R804 000000000 1.00000000 NC N/A 58443.54000000 0.007752346959 N/A DFE XX N 2 HSBC Bank USA, National Association 1IE8VN30JCEQV1H4R804 55422000.00000000 NOK 5471124.62000000 EUR 2021-09-15 58443.54000000 N N N ASSICURAZIONI GENERALI 549300X5UKJVE386ZB61 000000000 560000.00000000 PA 817807.12000000 0.108479475072 Long DBT CORP IT N 2 2047-10-27 Fixed 5.50000000 N N N N N N QUICKEN LOANS LLC/QUICKN N/A 74841CAA9 960000.00000000 PA USD 948000.00000000 0.125749140419 Long DBT CORP US N 2 2029-03-01 Fixed 3.62500000 N N N N N N BUNDESREPUB. DEUTSCHLAND 529900AQBND3S6YJLY83 000000000 2330000.00000000 PA 2952707.00000000 0.391667053967 Long DBT NUSS DE N 2 2025-08-15 Fixed 1.00000000 N N N N N N FED REPUBLIC OF BRAZIL 254900ZFY40OYEADAP90 105756BZ2 3525000.00000000 PA USD 3807810.75000000 0.505093806638 Long DBT NUSS BR N 2 2028-01-13 Fixed 4.62500000 N N N N N N FREEPORT-MCMORAN INC 549300IRDTHJQ1PVET45 35671DCC7 125000.00000000 PA USD 132031.25000000 0.017513519194 Long DBT CORP US N 2 2027-09-01 Fixed 5.00000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 36180SRQ9 1368927.79000000 PA USD 1480880.89000000 0.196434070655 Long ABS-MBS USGA US N 2 2064-07-20 Variable 4.65300000 N N N N N N BOEING CO RVHJWBXLJ1RFUBSY1F30 097023CW3 210000.00000000 PA USD 282792.52000000 0.037511515091 Long DBT CORP US N 2 2050-05-01 Fixed 5.80500000 N N N N N N United States Treasury 254900HROIFWPRGM1V77 912810RB6 5040000.00000000 PA USD 5796393.72000000 0.768872919644 Long DBT UST US N 2 2043-05-15 Fixed 2.87500000 N N N N N N UNICREDIT SPA 549300TRUWO2CD2G5692 000000000 300000.00000000 PA 363611.46000000 0.048231886647 Long DBT CORP IT N 2 2032-01-15 Fixed 2.73100000 N N N N N N CHINA GOVERNMENT BOND 300300CHN201808MOF68 000000000 20430000.00000000 PA 3239371.24000000 0.429692140221 Long DBT NUSS CN N 2 2050-09-14 Fixed 3.81000000 N N N N N N IRISH TSY 0% 2031 549300KXBEJAOJ9OVF93 000000000 1310000.00000000 PA 1527221.15000000 0.202580956585 Long DBT NUSS IE N 2 2031-10-18 None 0.00000000 N N N N N N Bank of America, National Association B4TYDEB6GKMZO031MB27 000000000 1.00000000 NC -532573.07000000 -0.07064409890 N/A DFE US N 2 Bank of America, National Association B4TYDEB6GKMZO031MB27 40910000.00000000 BRL 7631466.04000000 USD 2021-09-02 -532573.07000000 N N N CANADIAN GOVERNMENT 4BFD7AQU0A75QLAHK410 135087L44 8660000.00000000 PA 6440647.95000000 0.854331163984 Long DBT NUSS CA N 2 2030-12-01 Fixed 0.50000000 N N N N N N CHINA GOVERNMENT BOND 300300CHN201808MOF68 000000000 92590000.00000000 PA 14506227.13000000 1.924204211317 Long DBT NUSS CN N 2 2030-11-19 Fixed 3.27000000 N N N N N N UMBS, TBA N/A 01F020679 6759000.00000000 PA USD 6824477.88000000 0.905244965424 Long ABS-MBS USGSE US N 2 2051-07-14 Fixed 2.00000000 N N N N N N Chicago Board of Trade 549300EX04Q2QBFQTQ27 000000000 -368.00000000 NC USD -595851.08000000 -0.07903772270 N/A DIR US N 1 Chicago Board of Trade 549300EX04Q2QBFQTQ27 Short US 10 Year Ultra Bond UXYU1 Comdty 2021-09-21 -53574898.92000000 USD -595851.08000000 N N N Gosforth Funding plc 213800GD24WOLHNGMP34 38312RAA1 497331.59000000 PA USD 497761.78000000 0.066026493637 Long ABS-MBS CORP GB N 2 2060-08-25 Floating 0.59700000 N N N N N N BROADCOM INC 549300WV6GIDOZJTV909 11135FAS0 1635000.00000000 PA USD 1861816.23000000 0.246963914073 Long DBT CORP US N 2 2032-11-15 Fixed 4.30000000 N N N N N N CEMEX SAB DE CV 549300RIG2CXWN6IV731 000000000 200000.00000000 PA USD 219900.00000000 0.029169025293 Long DBT CORP MX N 2 2029-11-19 Fixed 5.45000000 N N N N N N JAPAN (30 YEAR ISSUE) 353800WZS8AXZXFUC241 000000000 480200000.00000000 PA 4047261.06000000 0.536856117456 Long DBT NUSS JP N 2 2046-06-20 Fixed 0.30000000 N N N N N N UNICREDIT SPA 549300TRUWO2CD2G5692 000000000 1555000.00000000 PA 1856777.84000000 0.246295587900 Long DBT CORP IT N 2 2029-09-23 Fixed 2.00000000 N N N N N N Citigroup Mortgage Loan Trust Inc N/A 17328DAA8 1543278.37000000 PA USD 1547758.97000000 0.205305232124 Long ABS-MBS CORP US N 2 2070-11-25 Variable 3.22800000 N N N N N N NATL GRID ELECT TRANS 5XJXCCYG4SDKFJ5WLB02 000000000 275000.00000000 PA 371007.73000000 0.049212977992 Long DBT CORP GB N 2 2028-07-07 Fixed 1.12500000 N N N N N N BUNDESREPUB. DEUTSCHLAND 529900AQBND3S6YJLY83 000000000 1750000.00000000 PA 2132097.90000000 0.282815905290 Long DBT NUSS DE N 2 2030-08-15 None 0.00000000 N N N N N N BARCLAYS PLC 213800LBQA1Y9L22JB70 06738EBP9 1050000.00000000 PA USD 1093932.00000000 0.145106549237 Long DBT CORP GB N 2 2035-09-23 Fixed 3.56400000 N N N N N N CHARTER COMM OPT LLC/CAP N/A 161175BT0 580000.00000000 PA USD 666158.36000000 0.088363756490 Long DBT CORP US N 2 2050-03-01 Fixed 4.80000000 N N N N N N UK TSY 0 1/8% 2026 ECTRVYYCEF89VWYS6K36 000000000 3535000.00000000 PA 4842901.93000000 0.642395311006 Long DBT NUSS GB N 2 2026-01-30 Fixed 0.12500000 N N N N N N CEMEX SAB DE CV 549300RIG2CXWN6IV731 151290BX0 405000.00000000 PA USD 445338.00000000 0.059072648413 Long DBT CORP MX N 2 2030-09-17 Fixed 5.20000000 N N N N N N JAPAN (30 YEAR ISSUE) 353800WZS8AXZXFUC241 000000000 493150000.00000000 PA 5874386.64000000 0.779218428768 Long DBT NUSS JP N 2 2037-03-20 Fixed 2.40000000 N N N N N N HSBC Bank USA, National Association 1IE8VN30JCEQV1H4R804 000000000 1.00000000 NC -45622.12000000 -0.00605162697 N/A DFE SG N 2 HSBC Bank USA, National Association 1IE8VN30JCEQV1H4R804 2994948.01000000 USD 3966000.00000000 SGD 2021-09-15 -45622.12000000 N N N SINGAPORE GOVERNMENT 549300ZSV6VOGFH1ER70 000000000 2780000.00000000 PA 2185360.75000000 0.289881050442 Long DBT NUSS SG N 2 2026-06-01 Fixed 2.12500000 N N N N N N BOEING CO RVHJWBXLJ1RFUBSY1F30 097023CK9 390000.00000000 PA USD 410688.27000000 0.054476473557 Long DBT CORP US N 2 2049-05-01 Fixed 3.90000000 N N N N N N T-MOBILE USA INC 549300V2JRLO5DIFGE82 87264ABF1 4110000.00000000 PA USD 4594240.20000000 0.609411135053 Long DBT CORP US N 2 2030-04-15 Fixed 3.87500000 N N N N N N United States Treasury 254900HROIFWPRGM1V77 91282CCB5 2615000.00000000 PA USD 2655042.19000000 0.352182777605 Long DBT UST US N 2 2031-05-15 Fixed 1.62500000 N N N N N N JAPAN (30 YEAR ISSUE) 353800WZS8AXZXFUC241 000000000 724400000.00000000 PA 6279480.91000000 0.832952876280 Long DBT NUSS JP N 2 2049-03-20 Fixed 0.50000000 N N N N N N BROADCOM INC 549300WV6GIDOZJTV909 11135FBD2 1285000.00000000 PA USD 1516006.58000000 0.201093380069 Long DBT CORP US N 2 2030-04-15 Fixed 5.00000000 N N N N N N UK TSY 0 5/8% 2050 ECTRVYYCEF89VWYS6K36 000000000 2600000.00000000 PA 3056028.78000000 0.405372354622 Long DBT NUSS GB N 2 2050-10-22 Fixed 0.62500000 N N N N N N Walmart Inc Y87794H0US1R65VBXU25 931142DR1 570000000.00000000 PA 5125461.70000000 0.679875952561 Long DBT CORP US N 2 2022-07-15 Fixed 0.18300000 N N N N N N NORWEGIAN GOVERNMENT 549300L0BT3FJTN9MX24 000000000 7065000.00000000 PA 841380.40000000 0.111606394584 Long DBT NUSS NO N 2 2023-05-24 Fixed 2.00000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140F7G78 443233.13000000 PA USD 487738.16000000 0.064696892795 Long ABS-MBS USGSE US N 2 2046-07-01 Fixed 4.50000000 N N N N N N UK TSY 1 1/2% 2047 ECTRVYYCEF89VWYS6K36 000000000 435000.00000000 PA 636500.87000000 0.084429786159 Long DBT NUSS GB N 2 2047-07-22 Fixed 1.50000000 N N N N N N Lennar Corp 529900G61XVRLX5TJX09 526057CV4 420000.00000000 PA USD 487380.60000000 0.064649463615 Long DBT CORP US N 2 2027-06-15 Fixed 5.00000000 N N N N N N BUONI POLIENNALI DEL TES 815600DE60799F5A9309 000000000 12585000.00000000 PA 15805311.19000000 2.096523519205 Long DBT NUSS IT N 2 2030-04-01 Fixed 1.35000000 N N N N N N CHANNEL LINK 213800BYHTDDUJYTT475 000000000 1055000.00000000 PA 1276711.27000000 0.169351629500 Long DBT CORP GB N 2 2050-06-30 Fixed 2.70600000 N N N N N N SWEDISH GOVERNMENT ERE94C0BSULG2RM19605 000000000 9900000.00000000 PA 1204667.16000000 0.159795210824 Long DBT NUSS SE N 2 2023-11-13 Fixed 1.50000000 N N N N N N LLOYDS BANKING GROUP PLC 549300PPXHEU2JF0AM85 000000000 600000.00000000 PA 848579.84000000 0.112561377064 Long DBT CORP GB N 2 2035-12-03 Fixed 2.70700000 N N N N N N Atlantia SpA 8156008DEC771409C487 000000000 2045000.00000000 PA 2508531.20000000 0.332748567632 Long DBT CORP IT N 2 2027-07-13 Fixed 1.87500000 N N N N N N United States Treasury 254900HROIFWPRGM1V77 912810SS8 8619000.00000000 PA USD 7740939.38000000 1.026810625606 Long DBT UST US N 2 2050-11-15 Fixed 1.62500000 N N N N N N BRITISH TELECOMMUNICATIO 549300OWFMSO9NYV4H90 11102AAE1 2110000.00000000 PA USD 2240218.59000000 0.297157765869 Long DBT CORP GB N 2 2029-11-08 Fixed 3.25000000 N N N N N N 2021-12-20 LOOMIS SAYLES FUNDS I John Sgroi John Sgroi Assistant Treasurer XXXX