NPORT-P
false
0000809707
XXXXXXXX
S000006857
C000018530
C000018528
C000128883
C000018526
C000018529
Franklin Investors Securities Trust
811-04986
0000809707
549300XUGIR9DEQFV548
One Franklin Parkway
San Mateo
94403-1906
650-312-2000
Franklin Total Return Fund
S000006857
BOFI5JCJJYCPA6G3SW76
2021-10-31
2021-07-31
N
5877269564.33
599584106.25
5277685458.08
0.00000000
0.00000000
0.00000000
0.00000000
0.00000000
0.00000000
0.00000000
0.00000000
0.00000000
0.00000000
572807640.91999996
0.00000000
0.00000000
22251638.52000000
AUD
CAD
CNY
DOP
EUR
IDR
JPY
KRW
SGD
TRY
USD
UYU
ZAR
UST
United States of America
254900HROIFWPRGM1V77
U.S. Treasury Inflation Linked Bonds
912810FD5
6000000.00000000
PA
USD
13740329.70000000
0.260347643093
Long
DBT
UST
US
N
2
2028-04-15
Fixed
3.62500000
N
N
N
N
N
N
Voya CLO Ltd.
N/A
Voya CLO Ltd., Series 2018-2A, Class C1
92917JAJ6
700000.00000000
PA
USD
694003.09000000
0.013149762249
Long
ABS-CBDO
CORP
KY
N
2
2031-07-15
Floating
1.97613000
N
N
N
N
N
N
Towd Point Mortgage Trust
N/A
Towd Point Mortgage Trust, Series 2017-2, Class A1
89173HAA4
1619566.93000000
PA
USD
1643103.45000000
0.031133031004
Long
ABS-O
CORP
US
N
2
2057-04-25
Variable
2.75000040
N
N
N
N
N
N
Prosper Pass-Thru Trust III
N/A
Prosper Pass-Thru Trust III, Series 2020-PT2, Class A
74360NAB4
3118727.84000000
PA
USD
3064149.48000000
0.058058584664
Long
ABS-O
CORP
US
N
2
2026-04-15
Variable
9.44421840
N
N
N
N
N
N
Oriental Republic of Uruguay
549300RDR012H2V82H43
Oriental Republic of Uruguay
760942AV4
449880512.49900000
PA
11569319.88000000
0.219212000637
Long
DBT
NUSS
UY
N
2
2037-06-26
Fixed
3.70000000
N
N
N
N
N
N
FHLMC Structured Agency Credit Risk Debt Notes
S6XOOCT0IEG5ABCC6L87
FHLMC Structured Agency Credit Risk Debt Notes, Series 2015-DNA3, Class M3
3137G0GW3
2676049.90000000
PA
USD
2769843.31000000
0.052482159689
Long
ABS-MBS
CORP
US
N
2
2028-04-25
Floating
4.78924920
N
N
N
N
N
N
STERIS Irish FinCo. UnLtd Co.
N/A
STERIS Irish FinCo. UnLtd Co.
85917PAA5
5900000.00000000
PA
USD
6133265.94000000
0.116211282175
Long
DBT
CORP
IE
N
2
2031-03-15
Fixed
2.70000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, 30 Year
31390N6W7
9867.97000000
PA
USD
11107.01000000
0.000210452291
Long
ABS-MBS
USGSE
US
N
2
2032-08-01
Fixed
6.50000000
N
N
N
N
N
N
TCI-Flatiron CLO Ltd.
N/A
TCI-Flatiron CLO Ltd., Series 2017-1A, Class C
87231BAG8
2800000.00000000
PA
USD
2802193.67000000
0.053095124600
Long
ABS-CBDO
CORP
KY
N
2
2030-11-18
Floating
2.00588040
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, 30 Year
31413BJ77
9160.77000000
PA
USD
10239.85000000
0.000194021604
Long
ABS-MBS
USGSE
US
N
2
2037-06-01
Fixed
5.50000000
N
N
N
N
N
N
Suzano Austria GmbH
254900287ZNSGVP1R341
Suzano Austria GmbH
86964WAJ1
5000000.00000000
PA
USD
5215250.00000000
0.098816991679
Long
DBT
CORP
AT
N
2
2031-01-15
Fixed
3.75000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, 30 Year
31407PYK8
305674.96000000
PA
USD
349053.57000000
0.006613762278
Long
ABS-MBS
USGSE
US
N
2
2035-10-01
Fixed
5.50000000
N
N
N
N
N
N
Consumer Loan Underlying Bond Certificate Issuer Trust I
N/A
Consumer Loan Underlying Bond Certificate Issuer Trust I, Series 2019-S1, Class PT
21053KAA5
1374257.05000000
PA
USD
1351191.66000000
0.025601974023
Long
ABS-O
CORP
US
N
2
2044-04-15
Variable
18.46472400
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, Series 2016-C04, Class 1M2
30711XDA9
20974007.18300000
PA
USD
21933456.85000000
0.415588557222
Long
ABS-MBS
CORP
US
N
2
2029-01-25
Floating
4.33924920
N
N
N
N
N
N
GNMA
549300M8ZYFG0OCMTT87
GNMA I, 30 Year
36208PKW7
2527.46000000
PA
USD
2568.97000000
0.000048676072
Long
ABS-MBS
USGA
US
N
2
2028-03-15
Fixed
7.00000000
N
N
N
N
N
N
FHLMC Structured Agency Credit Risk Debt Notes
S6XOOCT0IEG5ABCC6L87
FHLMC Structured Agency Credit Risk Debt Notes, Series 2017-DNA3, Class M2
3137G0QQ5
13500000.00000000
PA
USD
13805255.25000000
0.261577832927
Long
ABS-MBS
CORP
US
N
2
2030-03-25
Floating
2.58924960
N
N
N
N
N
N
Upstart, Inc.
N/A
Upstart, Inc., Marketplace Loan
N/A
199361.85000000
PA
USD
199268.93000000
0.003775687876
Long
LON
CORP
US
N
3
2025-07-09
Fixed
22.39459614
N
N
N
N
N
N
Occidental Petroleum Corp.
IM7X0T3ECJW4C1T7ON55
Occidental Petroleum Corp.
674599EF8
1800000.00000000
PA
USD
2128860.00000000
0.040337000317
Long
DBT
CORP
US
N
2
2031-01-01
Fixed
6.12500000
N
N
N
N
N
N
Mill City Mortgage Loan Trust
N/A
Mill City Mortgage Loan Trust, Series 2018-4, Class A1B
59980YAB1
10232664.49000000
PA
USD
10684972.82000000
0.202455657974
Long
ABS-O
CORP
US
N
2
2066-04-25
Variable
3.49999920
N
N
N
N
N
N
Electricite de France SA
549300X3UK4GG3FNMO06
Electricite de France SA
268317AF1
24000000.00000000
PA
USD
25248000.00000000
0.478391525992
Long
DBT
NUSS
FR
N
2
2023-01-29
Variable
5.25000000
N
N
N
N
N
N
FHLMC Pool
S6XOOCT0IEG5ABCC6L87
FHLMC Pool, 30 Year
3133KLJ57
1338748.66000000
PA
USD
1409911.37000000
0.026714577463
Long
ABS-MBS
USGSE
US
N
2
2051-03-01
Fixed
2.50000000
N
N
N
N
N
N
N/A
N/A
CDIT
N/A
12600000.00000000
PA
USD
-633335.14000000
-0.01200024414
N/A
DCR
US
N
2
CITIBANK NA
E57ODZWZ7FF32TWEFA76
Citi 697946 Dec 2022
Citi 697946 Dec 2022
Y
Payout of notional amount upon default event with regard to the reference instrument
2022-12-20
0.00000000
USD
2414366.56000000
USD
12600000.00000000
USD
-633335.14000000
N
N
N
N/A
N/A
U.S. Treasury 5 Year Notes
N/A
4536.00000000
NC
USD
2848508.90000000
0.053972691677
N/A
DIR
US
N
1
CME Clearing House
LCZ7XYGSLJUHFXXNXD88
Long
United States of America
U.S. Treasury 5 Year Notes
2021-09-30
564483939.77000000
USD
2848508.90000000
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
-16474.93000000
-0.00031216202
N/A
DFE
N/A
N
2
Deutsche Bank
7LTWFZYICNSX8D621K86
6660548.51000000
USD
97144100000.00000000
IDR
2021-11-17
-16474.93000000
N
N
N
CCO Holdings LLC / CCO Holdings Capital Corp.
N/A
CCO Holdings LLC / CCO Holdings Capital Corp.
1248EPBX0
1500000.00000000
PA
USD
1574625.00000000
0.029835521887
Long
DBT
CORP
US
N
2
2028-02-01
Fixed
5.00000000
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC Gold Pools, 30 Year
312928QX5
23409.00000000
PA
USD
26346.98000000
0.000499214669
Long
ABS-MBS
USGSE
US
N
2
2038-10-01
Fixed
6.50000000
N
N
N
N
N
N
Ashton Woods USA LLC / Ashton Woods Finance Co.
N/A
Ashton Woods USA LLC / Ashton Woods Finance Co.
045086AF2
3000000.00000000
PA
USD
3101250.00000000
0.058761554181
Long
DBT
CORP
US
N
2
2025-08-01
Fixed
6.75000000
N
N
N
N
N
N
Royalty Pharma plc
549300FGFN7VOK8BZR03
Royalty Pharma plc
78081BAN3
8000000.00000000
PA
USD
7889579.84000000
0.149489390807
Long
DBT
CORP
GB
N
2
2031-09-02
Fixed
2.15000000
N
N
N
N
N
N
MPLX LP
5493000CZJ19CK4P3G36
MPLX LP
55336VAJ9
4500000.00000000
PA
USD
5099571.59000000
0.096625151887
Long
DBT
CORP
US
N
2
2025-06-01
Fixed
4.87500000
N
N
N
N
N
N
Voya CLO Ltd.
5493007ASGBOUR3XJY69
Voya CLO Ltd., Series 2013-2A, Class CR
92916WAJ8
1650000.00000000
PA
USD
1604869.67000000
0.030408588816
Long
ABS-CBDO
CORP
KY
N
2
2031-04-25
Floating
2.87525160
N
N
N
N
N
N
California State University
N/A
California State University
13077DRW4
7185000.00000000
PA
USD
7203205.35000000
0.136484172981
Long
DBT
MUN
US
N
2
2052-11-01
Fixed
2.71900000
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC Gold Pools, 30 Year
3128M4LK7
797233.71000000
PA
USD
900664.28000000
0.017065516449
Long
ABS-MBS
USGSE
US
N
2
2037-01-01
Fixed
5.00000000
N
N
N
N
N
N
Towd Point Mortgage Trust
N/A
Towd Point Mortgage Trust, Series 2017-1, Class A1
89173FAA8
3470925.48800000
PA
USD
3524583.22000000
0.066782744974
Long
ABS-O
CORP
US
N
2
2056-10-25
Variable
2.75000040
N
N
N
N
N
N
Octagon Investment Partners XVII Ltd.
54930007Y57X4ONHQV20
Octagon Investment Partners XVII Ltd., Series 2013-1A, Class CR2
67590GBN8
5250000.00000000
PA
USD
5198307.52000000
0.098495970653
Long
ABS-CBDO
CORP
KY
N
2
2031-01-25
Floating
1.82525040
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, Series 2017-C03, Class 1M2
30711XJX3
24584892.07000000
PA
USD
25278726.89000000
0.478973729881
Long
ABS-MBS
CORP
US
N
2
2029-10-25
Floating
3.08925000
N
N
N
N
N
N
Flex Ltd.
549300EAQH74YHD07T53
Flex Ltd.
33938XAB1
16700000.00000000
PA
USD
19543652.45000000
0.370307260734
Long
DBT
CORP
SG
N
2
2030-05-12
Fixed
4.87500000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, 15 Year
31416BTJ7
12.23000000
PA
USD
12.41000000
0.000000235140
Long
ABS-MBS
USGSE
US
N
2
2023-12-01
Fixed
5.50000000
N
N
N
N
N
N
FHLMC Structured Agency Credit Risk Debt Notes
S6XOOCT0IEG5ABCC6L87
FHLMC Structured Agency Credit Risk Debt Notes, Series 2016-HQA2, Class M3
3137G0KE8
22610908.24000000
PA
USD
23452757.58000000
0.444375811447
Long
ABS-MBS
CORP
US
N
2
2028-11-25
Floating
5.23924920
N
N
N
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
218123.92000000
0.004132946567
N/A
DFE
N/A
N
2
JP Morgan Chase Bank
7H6GLXDRUGQFU57RNE97
17865919.92000000
USD
1981000000.00000000
JPY
2021-12-29
218123.92000000
N
N
N
Republic of Peru
254900STKLK2DBJJZ530
Republic of Peru
715638DF6
8000000.00000000
PA
USD
8051120.00000000
0.152550205273
Long
DBT
NUSS
PE
N
2
2031-01-23
Fixed
2.78300000
N
N
N
N
N
N
Kazakhstan Temir Zholy Finance BV
N/A
Kazakhstan Temir Zholy Finance BV
48667DAD6
7500000.00000000
PA
USD
10462500.00000000
0.198240309755
Long
DBT
CORP
NL
N
2
2042-07-10
Fixed
6.95000000
N
N
N
N
N
N
Consumer Loan Underlying Bond Certificate Issuer Trust I
N/A
Consumer Loan Underlying Bond Certificate Issuer Trust I, Series 2019-S7, Class PT
21050KAA8
2287026.30000000
PA
USD
2259550.65000000
0.042813287528
Long
ABS-O
CORP
US
N
2
2044-12-15
Variable
11.25439560
N
N
N
N
N
N
Westinghouse Air Brake Technologies Corp.
06BTX5UWZD0GQ5N5Y745
Westinghouse Air Brake Technologies Corp.
960386AQ3
2300000.00000000
PA
USD
2455909.64000000
0.046533838734
Long
DBT
CORP
US
N
2
2025-06-15
Fixed
3.20000000
N
N
N
N
N
N
United States of America
254900HROIFWPRGM1V77
U.S. Treasury Notes
91282CAD3
22200000.00000000
PA
USD
21583429.63000000
0.408956346516
Long
DBT
UST
US
N
2
2027-07-31
Fixed
0.37500000
N
N
N
N
N
N
Lending Club Corp. LCX PM
549300YC50YO7Y1OJR92
Lending Club Corp. LCX PM, Marketplace Loan
N/A
3255116.06000000
PA
USD
3138346.81000000
0.059464453403
Long
LON
CORP
US
N
3
2024-12-08
Fixed
14.49857146
N
N
N
N
N
N
LCM XXII Ltd.
N/A
LCM XXII Ltd., Series 22A, Class A2R
50189GAG7
1000000.00000000
PA
USD
1002018.63000000
0.018985948252
Long
ABS-CBDO
CORP
KY
N
2
2028-10-20
Floating
1.58424840
N
N
N
N
N
N
Berkshire Hathaway Energy Co.
549300JD0S5IZJE9LY15
Berkshire Hathaway Energy Co.
59562VAM9
2700000.00000000
PA
USD
3873794.90000000
0.073399503073
Long
DBT
CORP
US
N
2
2036-04-01
Fixed
6.12500000
N
N
N
N
N
N
Voya CLO Ltd.
549300001G5S0D8B8343
Voya CLO Ltd., Series 2016-3A, Class CR
92915HAU7
2547170.00000000
PA
USD
2467891.18000000
0.046760861358
Long
ABS-CBDO
CORP
KY
N
2
2031-10-18
Floating
3.38388120
N
N
N
N
N
N
United States of America
254900HROIFWPRGM1V77
U.S. Treasury Bonds
912810RZ3
25500000.00000000
PA
USD
30066093.75000000
0.569683320251
Long
DBT
UST
US
N
2
2047-11-15
Fixed
2.75000000
N
N
N
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
-14351.08000000
-0.00027191995
N/A
DFE
N/A
N
2
JP Morgan Chase Bank
7H6GLXDRUGQFU57RNE97
7300000.00000000
EUR
8669553.00000000
USD
2021-12-14
-14351.08000000
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC Gold Pools, 15 Year
3128PHBA8
1896.27000000
PA
USD
1910.78000000
0.000036204885
Long
ABS-MBS
USGSE
US
N
2
2022-08-01
Fixed
6.00000000
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.
03522AAJ9
3400000.00000000
PA
USD
4367075.74000000
0.082746040374
Long
DBT
CORP
US
N
2
2046-02-01
Fixed
4.90000000
N
N
N
N
N
N
Fiserv, Inc.
GI7UBEJLXYLGR2C7GV83
Fiserv, Inc.
337738AU2
1800000.00000000
PA
USD
2012332.00000000
0.038129062748
Long
DBT
CORP
US
N
2
2029-07-01
Fixed
3.50000000
N
N
N
N
N
N
National Retail Properties, Inc.
5493008JKH5SOTI0JS97
National Retail Properties, Inc.
637417AL0
9700000.00000000
PA
USD
11207510.47000000
0.212356544531
Long
DBT
CORP
US
N
2
2028-10-15
Fixed
4.30000000
N
N
N
N
N
N
Highbridge Loan Management Ltd.
N/A
Highbridge Loan Management Ltd., Series 2013-2A, Class BR
44330DAJ9
700000.00000000
PA
USD
698950.00000000
0.013243494815
Long
ABS-CBDO
CORP
KY
N
2
2029-10-20
Floating
2.03424840
N
N
N
N
N
N
Allison Transmission, Inc.
MWKQ3I0U1GXP2YDSZW75
Allison Transmission, Inc.
019736AF4
2500000.00000000
PA
USD
2738737.50000000
0.051892776137
Long
DBT
CORP
US
N
2
2029-06-01
Fixed
5.87500000
N
N
N
N
N
N
Murphy Oil USA, Inc.
N32S6DTR2ZZ5222WHV58
Murphy Oil USA, Inc.
626738AE8
2700000.00000000
PA
USD
2870653.50000000
0.054392280911
Long
DBT
CORP
US
N
2
2029-09-15
Fixed
4.75000000
N
N
N
N
N
N
Blackrock European CLO IX DAC
549300CTNII509TFCV23
Blackrock European CLO IX DAC, Series 9A, Class B
N/A
5250000.00000000
PA
6237644.85000000
0.118189022433
Long
ABS-CBDO
CORP
IE
N
2
2032-12-15
Floating
1.55000160
N
N
N
N
N
N
Altria Group, Inc.
XSGZFLO9YTNO9VCQV219
Altria Group, Inc.
02209SBJ1
15100000.00000000
PA
USD
16272114.55000000
0.308319142534
Long
DBT
CORP
US
N
2
2030-05-06
Fixed
3.40000000
N
N
N
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
-17332.96000000
-0.00032841972
N/A
DFE
N/A
N
2
JP Morgan Chase Bank
7H6GLXDRUGQFU57RNE97
6309580.96000000
USD
92000000000.00000000
IDR
2021-11-17
-17332.96000000
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, 30 Year
31390RFA6
424.40000000
PA
USD
477.26000000
0.000009042979
Long
ABS-MBS
USGSE
US
N
2
2032-08-01
Fixed
6.50000000
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC Gold Pools, 30 Year
3128M5GZ7
194946.84000000
PA
USD
224778.02000000
0.004259026457
Long
ABS-MBS
USGSE
US
N
2
2037-11-01
Fixed
5.50000000
N
N
N
N
N
N
Mohawk Industries, Inc.
549300JI1115MG3Q6322
Mohawk Industries, Inc.
608190AL8
10400000.00000000
PA
USD
11642044.34000000
0.220589961877
Long
DBT
CORP
US
N
2
2030-05-15
Fixed
3.62500000
N
N
N
N
N
N
FR Franklin LLC
N/A
FFRMT- Franklin Floating Rate Income Fund
N/A
24116233.72310000
NS
USD
190759408.75000000
3.614452021917
Long
RF
US
N
1
N
N
N
Enable Midstream Partners LP
549300TLGDBYE711G509
Enable Midstream Partners LP
292480AJ9
1200000.00000000
PA
USD
1328680.24000000
0.025175434393
Long
DBT
CORP
US
N
2
2044-05-15
Fixed
5.00000000
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC Gold Pools, 30 Year
31296LSU6
34174.29000000
PA
USD
38954.04000000
0.000738089458
Long
ABS-MBS
USGSE
US
N
2
2033-08-01
Fixed
5.00000000
N
N
N
N
N
N
GNMA
549300M8ZYFG0OCMTT87
GNMA I, 30 Year
36201LTN4
480.91000000
PA
USD
543.45000000
0.000010297127
Long
ABS-MBS
USGA
US
N
2
2032-04-15
Fixed
6.50000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, Series 2017-C04, Class 2M2
30711XLT9
5183113.28000000
PA
USD
5317985.14000000
0.100763586277
Long
ABS-MBS
CORP
US
N
2
2029-11-25
Floating
2.93924880
N
N
N
N
N
N
Greenville City School District
N/A
Greenville City School District
396352GY6
16585000.00000000
PA
USD
17215001.13000000
0.326184674451
Long
DBT
MUN
US
N
2
2051-01-01
Fixed
3.54100000
N
N
N
N
N
N
Octagon Investment Partners 18-R Ltd.
N/A
Octagon Investment Partners 18-R Ltd., Series 2018-18A, Class C
67576FAJ8
9050000.00000000
PA
USD
8891323.98000000
0.168470138105
Long
ABS-CBDO
CORP
KY
N
2
2031-04-16
Floating
2.82638160
N
N
N
N
N
N
GNMA
549300M8ZYFG0OCMTT87
GNMA II, 30 Year
36202DV65
9380.71000000
PA
USD
9819.92000000
0.000186064896
Long
ABS-MBS
USGA
US
N
2
2033-01-20
Fixed
7.50000000
N
N
N
N
N
N
AMMC CLO XI Ltd.
5493004OOK6VXHQ8DQ60
AMMC CLO XI Ltd., Series 2012-11A, Class CR2
00176ABC8
2750000.00000000
PA
USD
2740984.97000000
0.051935360524
Long
ABS-CBDO
CORP
KY
N
2
2031-04-30
Floating
2.02849920
N
N
N
N
N
N
CLUB Certificate Issuer Trust 1
N/A
CLUB Certificate Issuer Trust 1, Series 2018-14, Class PT
21052DAA2
138824.74000000
PA
USD
134240.61000000
0.002543550786
Long
ABS-O
CORP
US
N
2
2041-09-16
Variable
7.89344640
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, 30 Year
31418DYD8
26673863.77000000
PA
USD
28138264.49000000
0.533155390056
Long
ABS-MBS
USGSE
US
N
2
2051-04-01
Fixed
3.00000000
N
N
N
N
N
N
Millennium Laboratories Ltd.
N/A
Millennium Laboratories Ltd.
N/A
73753.32000000
NS
USD
0.00000000
0.000000
Long
EC
CORP
IN
N
3
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, 30 Year
31371LFW4
33115.55000000
PA
USD
39369.32000000
0.000745958058
Long
ABS-MBS
USGSE
US
N
2
2033-11-01
Fixed
6.00000000
N
N
N
N
N
N
Presidio Holdings, Inc.
N/A
Presidio Holdings, Inc.
74101XAF7
3000000.00000000
PA
USD
3270090.00000000
0.061960683825
Long
DBT
CORP
US
N
2
2028-02-01
Fixed
8.25000000
N
N
N
N
N
N
Long Point Park CLO Ltd.
549300639DPKTBUSCC77
Long Point Park CLO Ltd., Series 2017-1A, Class A2
542798AE3
5800000.00000000
PA
USD
5794361.15000000
0.109789815933
Long
ABS-CBDO
CORP
KY
N
2
2030-01-17
Floating
1.50887880
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, 30 Year
31409U5B7
1056.01000000
PA
USD
1177.43000000
0.000022309590
Long
ABS-MBS
USGSE
US
N
2
2036-03-01
Fixed
5.50000000
N
N
N
N
N
N
CIM Trust
N/A
CIM Trust, Series 2019-INV1, Class A1
12555DAA3
2599436.85000000
PA
USD
2640716.95000000
0.050035512176
Long
ABS-MBS
CORP
US
N
2
2049-02-25
Variable
3.99999960
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, 30 Year
31411XZL2
82088.09000000
PA
USD
94981.21000000
0.001799675459
Long
ABS-MBS
USGSE
US
N
2
2037-05-01
Fixed
5.50000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, 30 Year
31403YSK0
21914.66000000
PA
USD
24488.32000000
0.000463997337
Long
ABS-MBS
USGSE
US
N
2
2034-04-01
Fixed
5.50000000
N
N
N
N
N
N
Ukraine
6354001WLTJXOMEXPY07
Ukraine Government Bond
903724BM3
12400000.00000000
PA
USD
12934192.00000000
0.245073187910
Long
DBT
NUSS
UA
N
2
2032-09-25
Fixed
7.37500000
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC Gold Pools, 30 Year
3128M5Q52
373484.55000000
PA
USD
443197.47000000
0.008397572638
Long
ABS-MBS
USGSE
US
N
2
2038-01-01
Fixed
6.00000000
N
N
N
N
N
N
Comcast Corp.
51M0QTTNCGUN7KFCFZ59
Comcast Corp.
20030NCG4
2000000.00000000
PA
USD
2424848.66000000
0.045945304608
Long
DBT
CORP
US
N
2
2052-11-01
Fixed
4.04900000
N
N
N
N
N
N
Provident Funding Mortgage Trust
N/A
Provident Funding Mortgage Trust, Series 2019-1, Class A2
74387LAC5
2960528.30000000
PA
USD
2996761.91000000
0.056781745213
Long
ABS-MBS
CORP
US
N
2
2049-12-25
Variable
2.99999880
N
N
N
N
N
N
Suzano Austria GmbH
254900287ZNSGVP1R341
Suzano Austria GmbH
86964WAK8
7300000.00000000
PA
USD
7243425.00000000
0.137246242837
Long
DBT
CORP
AT
N
2
2032-01-15
Fixed
3.12500000
N
N
N
N
N
N
BCC Middle Market CLO LLC
N/A
BCC Middle Market CLO LLC, Series 2018-1A, Class A2
055328AC2
5100000.00000000
PA
USD
5046144.64000000
0.095612834074
Long
ABS-CBDO
CORP
US
N
2
2030-10-20
Floating
2.28425040
N
N
N
N
N
N
FHLMC Stacr Remic Trust
5493003FQV7GR462GO02
FHLMC Stacr Remic Trust, Series 2020-DNA1, Class M2
35565HAH8
6553297.21000000
PA
USD
6579646.71000000
0.124669171026
Long
ABS-MBS
CORP
US
N
2
2050-01-25
Floating
1.78925040
N
N
N
N
N
N
Franklin Liberty Senior Loan ETF
549300I3TND36ZL4CK30
Franklin Liberty Senior Loan ETF
35473P595
1737400.00000000
NS
USD
43229291.84000000
0.819095646820
Long
RF
US
N
1
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, 30 Year
31384VZD7
3415.55000000
PA
USD
4143.61000000
0.000078511878
Long
ABS-MBS
USGSE
US
N
2
2030-08-01
Fixed
8.50000000
N
N
N
N
N
N
AMMC CLO 21 Ltd.
549300DYK366J47FIO80
AMMC CLO 21 Ltd., Series 2017-21A, Class C
00178LAD1
1000000.00000000
PA
USD
988468.99000000
0.018729213740
Long
ABS-CBDO
CORP
KY
N
2
2030-11-02
Floating
2.27562840
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, 30 Year
31400WGZ7
16997.56000000
PA
USD
18987.86000000
0.000359776272
Long
ABS-MBS
USGSE
US
N
2
2033-06-01
Fixed
5.50000000
N
N
N
N
N
N
LCM 26 Ltd.
N/A
LCM 26 Ltd., Series 26A, Class B
50200FAE9
2000000.00000000
PA
USD
1995000.00000000
0.037800661214
Long
ABS-CBDO
CORP
KY
N
2
2031-01-20
Floating
1.53425160
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC Gold Pools, 30 Year
31292GYH3
3975.44000000
PA
USD
4510.33000000
0.000085460379
Long
ABS-MBS
USGSE
US
N
2
2029-02-01
Fixed
6.50000000
N
N
N
N
N
N
GNMA
549300M8ZYFG0OCMTT87
GNMA II, 30 Year
36179WFG8
2436482.77800000
PA
USD
2534412.14000000
0.048021280542
Long
ABS-MBS
USGA
US
N
2
2051-05-20
Fixed
2.50000000
N
N
N
N
N
N
Galaxy XXVII CLO Ltd.
549300GJYHKO4BDEN716
Galaxy XXVII CLO Ltd., Series 2018-27A, Class A
36320UAC4
1000000.00000000
PA
USD
1000200.00000000
0.018951489397
Long
ABS-CBDO
CORP
KY
N
2
2031-05-16
Floating
1.17587880
N
N
N
N
N
N
Banque Centrale de Tunisie International Bond
254900B5LFB16S9T2T11
Banque Centrale de Tunisie
066716AH4
8000000.00000000
PA
USD
6795240.00000000
0.128754167977
Long
DBT
NUSS
TN
N
2
2025-01-30
Fixed
5.75000000
N
N
N
N
N
N
United States of America
254900HROIFWPRGM1V77
U.S. Treasury Notes
91282CAB7
90000000.00000000
PA
USD
88955859.60000000
1.685508928233
Long
DBT
UST
US
N
2
2025-07-31
Fixed
0.25000000
N
N
N
N
N
N
N/A
N/A
CDS
N/A
7800000.00000000
PA
USD
71102.81000000
0.001347234702
N/A
DCR
US
N
2
CITIBANK NA
E57ODZWZ7FF32TWEFA76
Carnival Corp.
Carnival Corp.
Y
Payout of notional amount upon default event with regard to the reference instrument
2025-12-20
0.00000000
USD
1070177.81000000
USD
7800000.00000000
USD
71102.81000000
N
N
N
Consumer Loan Underlying Bond Certificate Issuer Trust I
N/A
Consumer Loan Underlying Bond Certificate Issuer Trust I, Series 2019-52, Class PT
21056JAA5
4180657.75000000
PA
USD
4215113.06000000
0.079866697124
Long
ABS-O
CORP
US
N
2
2045-01-15
Variable
16.62692400
N
N
N
N
N
N
JBS Finance Luxembourg Sarl
N/A
JBS Finance Luxembourg Sarl
46592QAA7
2500000.00000000
PA
USD
2520000.00000000
0.047748203639
Long
DBT
CORP
LU
N
2
2032-01-15
Fixed
3.62500000
N
N
N
N
N
N
Cencosud SA
549300NLTGCFV7482429
Cencosud SA
15132HAH4
9700000.00000000
PA
USD
10642646.00000000
0.201653662093
Long
DBT
CORP
CL
N
2
2027-07-17
Fixed
4.37500000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, 30 Year
3140XA2W1
2452015.16000000
PA
USD
2582365.05000000
0.048929877888
Long
ABS-MBS
USGSE
US
N
2
2051-05-01
Fixed
2.50000000
N
N
N
N
N
N
Prosper Pass-Thru Trust III
N/A
Prosper Pass-Thru Trust III, Series 2020-PT3, Class A
74360NAC2
1050723.50540000
PA
USD
1054210.44000000
0.019974863003
Long
ABS-O
CORP
US
N
2
2026-05-15
Variable
7.18293960
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC Gold Pools, 30 Year
31296X6Z3
9466.18100000
PA
USD
10773.15000000
0.000204126412
Long
ABS-MBS
USGSE
US
N
2
2034-05-01
Fixed
5.00000000
N
N
N
N
N
N
Citigroup Capital XIII
N/A
Citigroup Capital XIII
173080201
93000.00000000
NS
USD
2577960.00000000
0.048846412323
Long
EP
CORP
US
N
1
N
N
N
FHLMC Structured Agency Credit Risk Debt Notes
S6XOOCT0IEG5ABCC6L87
FHLMC Structured Agency Credit Risk Debt Notes, Series 2014-HQ1, Class M3
3137G0BW8
471818.97100000
PA
USD
475118.02000000
0.009002393639
Long
ABS-MBS
CORP
US
N
2
2024-08-25
Floating
4.18925160
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, 30 Year
31404DXV5
11908.27000000
PA
USD
13292.91000000
0.000251870068
Long
ABS-MBS
USGSE
US
N
2
2034-02-01
Fixed
5.50000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, 30 Year
31387QLL2
2368.57000000
PA
USD
2663.34000000
0.000050464166
Long
ABS-MBS
USGSE
US
N
2
2031-08-01
Fixed
6.50000000
N
N
N
N
N
N
Citigroup, Inc.
6SHGI4ZSSLCXXQSBB395
Citigroup, Inc.
172967MD0
3700000.00000000
PA
USD
4914552.71000000
0.093119469681
Long
DBT
CORP
US
N
2
2048-07-23
Fixed
4.65000000
N
N
N
N
N
N
N/A
N/A
CDS
N/A
3150000.00000000
PA
USD
19913.59000000
0.000377316726
N/A
DCR
US
N
2
CITIBANK NA
E57ODZWZ7FF32TWEFA76
Nabors Industries, Inc.
Nabors Industries, Inc.
Y
Receipt of notional amount upon default event with regard to the reference instrument
2021-12-20
23246.15000000
USD
0.00000000
USD
3150000.00000000
USD
19913.59000000
N
N
N
Federal Republic of Nigeria
549300GSBZD84TNEQ285
Federal Republic of Nigeria
65412JAL7
3600000.00000000
PA
USD
4145871.60000000
0.078554730722
Long
DBT
NUSS
NG
N
2
2049-01-21
Fixed
9.24800000
N
N
N
N
N
N
Baker Hughes a GE Co. LLC / Baker Hughes Co-Obligor, Inc.
N/A
Baker Hughes a GE Co. LLC / Baker Hughes Co-Obligor, Inc.
05724BAA7
800000.00000000
PA
USD
957253.63000000
0.018137754468
Long
DBT
CORP
US
N
2
2030-05-01
Fixed
4.48600000
N
N
N
N
N
N
BlueMountain CLO Ltd.
N/A
BlueMountain CLO Ltd., Series 2018-1A, Class B
09629TAG3
272725.00000000
PA
USD
273400.44000000
0.005180309477
Long
ABS-CBDO
CORP
KY
N
2
2030-07-30
Floating
1.82850120
N
N
N
N
N
N
N/A
N/A
CES
N/A
46050000.00000000
PA
-3460857.69000000
-0.06557529275
N/A
DFE
US
N
2
CITIBANK NA
E57ODZWZ7FF32TWEFA76
51115500.00000000
USD
46050000.00000000
EUR
2021-12-10
-3460857.69000000
N
N
N
GNMA
549300M8ZYFG0OCMTT87
GNMA I, 30 Year
36224KEB1
1106.16000000
PA
USD
1110.39000000
0.000021039336
Long
ABS-MBS
USGA
US
N
2
2022-08-15
Fixed
7.50000000
N
N
N
N
N
N
Halcyon Loan Advisors Funding Ltd.
N/A
Halcyon Loan Advisors Funding Ltd., Series 2018-1A, Class A2
40538TAC7
4500000.00000000
PA
USD
4491572.72000000
0.085104971784
Long
ABS-CBDO
CORP
KY
N
2
2031-07-21
Floating
1.93425120
N
N
N
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
-63124.13000000
-0.00119605706
N/A
DFE
N/A
N
2
JP Morgan Chase Bank
7H6GLXDRUGQFU57RNE97
12547972.00000000
USD
17000000.00000000
AUD
2022-01-19
-63124.13000000
N
N
N
United States of America
254900HROIFWPRGM1V77
U.S. Treasury Bonds
912810SC3
16500000.00000000
PA
USD
20826093.75000000
0.394606573571
Long
DBT
UST
US
N
2
2048-05-15
Fixed
3.12500000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, 30 Year
31375BE45
2052.18000000
PA
USD
2059.35000000
0.000039019945
Long
ABS-MBS
USGSE
US
N
2
2025-11-01
Fixed
7.00000000
N
N
N
N
N
N
Gilroy Unified School District
N/A
Gilroy Unified School District
376087GM8
7220000.00000000
PA
USD
7538718.24000000
0.142841370518
Long
DBT
MUN
US
N
2
2047-08-01
Fixed
3.36400000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, Series 2014-C04, Class 2M2
30711XAR5
1137904.43300000
PA
USD
1166933.85000000
0.022110712342
Long
ABS-MBS
CORP
US
N
2
2024-11-25
Floating
5.08925160
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, 30 Year
31414TCN9
183292.12000000
PA
USD
213644.01000000
0.004048062577
Long
ABS-MBS
USGSE
US
N
2
2038-06-01
Fixed
6.00000000
N
N
N
N
N
N
Exelon Corp.
3SOUA6IRML7435B56G12
Exelon Corp.
30161NAX9
16900000.00000000
PA
USD
19547707.62000000
0.370384096878
Long
DBT
CORP
US
N
2
2030-04-15
Fixed
4.05000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, 30 Year
31407FN97
124270.25000000
PA
USD
139250.41000000
0.002638474973
Long
ABS-MBS
USGSE
US
N
2
2035-12-01
Fixed
5.50000000
N
N
N
N
N
N
Dominion Energy, Inc.
ILUL7B6Z54MRYCF6H308
Dominion Energy, Inc.
25746UCY3
10000000.00000000
PA
USD
11653841.20000000
0.220813485240
Long
DBT
CORP
US
N
2
2028-06-01
Fixed
4.25000000
N
N
N
N
N
N
Octagon Investment Partners 35 Ltd.
549300EBYXJ9QVMC7X31
Octagon Investment Partners 35 Ltd., Series 2018-1A, Class A1B
67591TAC4
3325000.00000000
PA
USD
3306664.35000000
0.062653683632
Long
ABS-CBDO
CORP
KY
N
2
2031-01-20
Floating
1.23424920
N
N
N
N
N
N
Centene Corp.
549300Z7JJ4TQSQGT333
Centene Corp.
15135BAR2
2000000.00000000
PA
USD
2112500.00000000
0.040027015948
Long
DBT
CORP
US
N
2
2027-12-15
Fixed
4.25000000
N
N
N
N
N
N
Capital One Financial Corp.
ZUE8T73ROZOF6FLBAR73
Capital One Financial Corp.
14040HBW4
3700000.00000000
PA
USD
4184213.56000000
0.079281222672
Long
DBT
CORP
US
N
2
2028-01-31
Fixed
3.80000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, 30 Year
31389YAA9
1193.17000000
PA
USD
1348.34000000
0.000025547941
Long
ABS-MBS
USGSE
US
N
2
2032-07-01
Fixed
6.50000000
N
N
N
N
N
N
Georgia Power Co.
D981X4Z4RWS7PDMJUZ03
Georgia Power Co.
373334JW2
9000000.00000000
PA
USD
10791799.56000000
0.204479778981
Long
DBT
CORP
US
N
2
2042-03-15
Fixed
4.30000000
N
N
N
N
N
N
Galaxy XXVII CLO Ltd.
549300GJYHKO4BDEN716
Galaxy XXVII CLO Ltd., Series 2018-27A, Class C
36320UAG5
4000000.00000000
PA
USD
3999997.62000000
0.075790754332
Long
ABS-CBDO
CORP
KY
N
2
2031-05-16
Floating
1.95588000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, Series 2017-C05, Class 1M2
30711XNX8
20224896.74100000
PA
USD
20657754.03000000
0.391416923082
Long
ABS-MBS
CORP
US
N
2
2030-01-25
Floating
2.28925080
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, 15 Year
31413Q5T1
13126.47000000
PA
USD
13225.77000000
0.000250597920
Long
ABS-MBS
USGSE
US
N
2
2022-09-01
Fixed
6.00000000
N
N
N
N
N
N
Credit Suisse First Boston Mortgage Securities Corp.
N/A
Credit Suisse First Boston Mortgage Securities Corp., Series 2004-6, Class 3A1
2254W0HE8
112411.55500000
PA
USD
96598.04000000
0.001830310668
Long
ABS-MBS
CORP
US
N
2
2026-05-25
Fixed
5.00000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, 30 Year
31405G5R7
1525.04000000
PA
USD
1715.96000000
0.000032513495
Long
ABS-MBS
USGSE
US
N
2
2034-07-01
Fixed
5.50000000
N
N
N
N
N
N
N/A
N/A
SOP
N/A
129100000.00000000
PA
USD
34556.46000000
0.000654765432
N/A
DIR
DE
N
2
DEUTSCHE BANK AG
7LTWFZYICNSX8D621K86
Put
Purchased
N/A
Swaption
1.00000000
2.09000000
USD
2021-09-27
XXXX
-1450093.54000000
N
N
N
Plastipak Holdings, Inc.
N/A
Plastipak Holdings, Inc.
727610AN7
3000000.00000000
PA
USD
3071580.00000000
0.058199375927
Long
DBT
CORP
US
N
2
2025-10-15
Fixed
6.25000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, 30 Year
31413FGN6
579730.65000000
PA
USD
688238.94000000
0.013040544865
Long
ABS-MBS
USGSE
US
N
2
2037-08-01
Fixed
6.00000000
N
N
N
N
N
N
Commonwealth Edison Co.
D8YOXB8L2ZDC8P7Q0771
Commonwealth Edison Co.
202795HT0
700000.00000000
PA
USD
1049547.37000000
0.019886508552
Long
DBT
CORP
US
N
2
2038-01-15
Fixed
6.45000000
N
N
N
N
N
N
FHLMC Structured Agency Credit Risk Debt Notes
S6XOOCT0IEG5ABCC6L87
FHLMC Structured Agency Credit Risk Debt Notes, Series 2014-DN3, Class M3
3137G0BK4
5467050.36700000
PA
USD
5580627.24000000
0.105740049958
Long
ABS-MBS
CORP
US
N
2
2024-08-25
Floating
4.08925080
N
N
N
N
N
N
City of New Orleans LA Water System Revenue
N/A
City of New Orleans
647753MF6
1400000.00000000
PA
USD
1397801.44000000
0.026485122144
Long
DBT
MUN
US
N
2
2030-12-01
Fixed
1.84100000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, 15 Year
3140JACA4
2289570.25000000
PA
USD
2422443.70000000
0.045899736148
Long
ABS-MBS
USGSE
US
N
2
2033-02-01
Fixed
3.00000000
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC Gold Pools, 15 Year
3128M1TW9
3.96000000
PA
USD
3.96000000
0.000000075032
Long
ABS-MBS
USGSE
US
N
2
2021-10-01
Fixed
6.00000000
N
N
N
N
N
N
Prosper Pass-Thru Trust III
N/A
Prosper Pass-Thru Trust III, Series 2020-PT1, Class A
74360NAA6
2575949.96000000
PA
USD
2554698.37000000
0.048405657940
Long
ABS-O
CORP
US
N
2
2026-03-15
Variable
8.79567120
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, 30 Year
31371ND44
29305.32000000
PA
USD
34930.59000000
0.000661854335
Long
ABS-MBS
USGSE
US
N
2
2037-05-01
Fixed
6.50000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, 30 Year
31410YXV1
6721.48000000
PA
USD
7510.46000000
0.000142305941
Long
ABS-MBS
USGSE
US
N
2
2036-10-01
Fixed
5.50000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA
31402DJH4
6454.96000000
PA
USD
6484.80000000
0.000122872044
Long
ABS-MBS
USGSE
US
N
2
2031-11-01
Variable
2.11299840
N
N
N
N
N
N
CHS/Community Health Systems, Inc.
5493007X5NC5XI1BB106
CHS/Community Health Systems, Inc.
12543DBG4
800000.00000000
PA
USD
848036.00000000
0.016068331596
Long
DBT
CORP
US
N
2
2027-03-15
Fixed
5.62500000
N
N
N
N
N
N
Amgen, Inc.
62QBXGPJ34PQ72Z12S66
Amgen, Inc.
031162CU2
10000000.00000000
PA
USD
10479238.00000000
0.198557456355
Long
DBT
CORP
US
N
2
2030-02-21
Fixed
2.45000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, 30 Year
31406XQ47
12653.58000000
PA
USD
14213.25000000
0.000269308394
Long
ABS-MBS
USGSE
US
N
2
2035-05-01
Fixed
6.00000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, Series 2016-C05, Class 2M2
30711XDK7
10691385.74100000
PA
USD
11203308.53000000
0.212276927433
Long
ABS-MBS
CORP
US
N
2
2029-01-25
Floating
4.53925080
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, 30 Year
31410X2W5
7165.09000000
PA
USD
8310.55000000
0.000157465807
Long
ABS-MBS
USGSE
US
N
2
2037-01-01
Fixed
5.50000000
N
N
N
N
N
N
Calpine Corp.
43R4VPJBXTU2O15HEF41
Calpine Corp.
131347CN4
2500000.00000000
PA
USD
2534537.50000000
0.048023655826
Long
DBT
CORP
US
N
2
2028-03-15
Fixed
5.12500000
N
N
N
N
N
N
N/A
N/A
CES
N/A
50450000.00000000
PA
-4018241.74000000
-0.07613643844
N/A
DFE
US
N
2
CITIBANK NA
E57ODZWZ7FF32TWEFA76
55747250.00000000
USD
50450000.00000000
EUR
2021-11-22
-4018241.74000000
N
N
N
State of Illinois
54930048FV8RWPR02D67
State of Illinois
452151LF8
8900000.00000000
PA
USD
10682152.02000000
0.202402210303
Long
DBT
MUN
US
N
2
2033-06-01
Fixed
5.10000000
N
N
N
N
N
N
GNMA
549300M8ZYFG0OCMTT87
GNMA I, 30 Year
36218S4U1
1309.70000000
PA
USD
1314.04000000
0.000024898035
Long
ABS-MBS
USGA
US
N
2
2022-02-15
Fixed
7.50000000
N
N
N
N
N
N
N/A
N/A
CDS
N/A
2350000.00000000
PA
USD
-173777.43000000
-0.00329268258
N/A
DCR
US
N
2
CITIBANK NA
E57ODZWZ7FF32TWEFA76
Nabors Industries, Inc.
Nabors Industries, Inc.
Y
Payout of notional amount upon default event with regard to the reference instrument
2023-12-20
0.00000000
USD
154597.63000000
USD
2350000.00000000
USD
-173777.43000000
N
N
N
Equinix, Inc.
549300EVUN2BTLJ3GT74
Equinix, Inc.
29444UBE5
3500000.00000000
PA
USD
3813950.21000000
0.072265583849
Long
DBT
CORP
US
N
2
2029-11-18
Fixed
3.20000000
N
N
N
N
N
N
Dryden 45 Senior Loan Fund
54930046L20VLJKPVV31
Dryden 45 Senior Loan Fund, Series 2016-45A, Class CR
26244MAS1
1250000.00000000
PA
USD
1252067.99000000
0.023723808475
Long
ABS-CBDO
CORP
KY
N
2
2030-10-15
Floating
2.32612920
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, 30 Year
31409CE76
474924.34000000
PA
USD
564304.64000000
0.010692274946
Long
ABS-MBS
USGSE
US
N
2
2036-02-01
Fixed
6.00000000
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC Gold Pools, 30 Year
3128MJJJ0
140520.60000000
PA
USD
166391.54000000
0.003152736958
Long
ABS-MBS
USGSE
US
N
2
2038-04-01
Fixed
6.00000000
N
N
N
N
N
N
Southern Co. (The)
549300FC3G3YU2FBZD92
Southern Co. (The)
842587CX3
2000000.00000000
PA
USD
2415845.48000000
0.045774715056
Long
DBT
CORP
US
N
2
2046-07-01
Fixed
4.40000000
N
N
N
N
N
N
Sunoco LP / Sunoco Finance Corp.
N/A
Sunoco LP / Sunoco Finance Corp.
86765LAT4
1400000.00000000
PA
USD
1435000.00000000
0.027189949294
Long
DBT
CORP
US
N
2
2029-05-15
Fixed
4.50000000
N
N
N
N
N
N
State Grid Overseas Investment 2016 Ltd.
3003006V8BHG5158QO96
State Grid Overseas Investment 2016 Ltd.
857006AG5
10700000.00000000
PA
USD
11908454.36000000
0.225637818975
Long
DBT
CORP
VG
N
2
2027-05-04
Fixed
3.50000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, 30 Year
31400PWD3
6523.82000000
PA
USD
6548.80000000
0.000124084696
Long
ABS-MBS
USGSE
US
N
2
2027-05-01
Fixed
9.00000000
N
N
N
N
N
N
United States of America
254900HROIFWPRGM1V77
U.S. Treasury Bonds
912810SN9
24000000.00000000
PA
USD
20436562.56000000
0.387225853498
Long
DBT
UST
US
N
2
2050-05-15
Fixed
1.25000000
N
N
N
N
N
N
Lending Club Corp. LCX
549300YC50YO7Y1OJR92
Lending Club Corp. LCX, Marketplace Loan
N/A
3011519.14000000
PA
USD
2780030.88000000
0.052675190707
Long
LON
CORP
US
N
3
2023-12-07
Fixed
12.47954725
N
N
N
N
N
N
Ukraine
6354001WLTJXOMEXPY07
Ukraine Government Bond
903724AU6
229000.00000000
PA
USD
251296.81000000
0.004761496530
Long
DBT
NUSS
UA
N
2
2027-09-01
Fixed
7.75000000
N
N
N
N
N
N
Enel Finance International NV
0YQH6LCEF474UTUV4B96
Enel Finance International NV
29268BAC5
3000000.00000000
PA
USD
4544377.05000000
0.086105492380
Long
DBT
CORP
NL
N
2
2037-09-15
Fixed
6.80000000
N
N
N
N
N
N
Fox Corp.
549300DDU6FDRBIELS05
Fox Corp.
35137LAJ4
3000000.00000000
PA
USD
3934179.90000000
0.074543659929
Long
DBT
CORP
US
N
2
2039-01-25
Fixed
5.47600000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, 30 Year
31407YGF0
69345.71000000
PA
USD
79078.31000000
0.001498352083
Long
ABS-MBS
USGSE
US
N
2
2035-11-01
Fixed
6.00000000
N
N
N
N
N
N
CARLYLE US CLO Ltd.
N/A
CARLYLE US CLO Ltd., Series 2017-4A, Class C
14315BAG1
545000.00000000
PA
USD
525576.49000000
0.009958465584
Long
ABS-CBDO
CORP
KY
N
2
2030-01-15
Floating
2.92613040
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, Series 2016-C07, Class 2M2
30711XEC4
7687722.69600000
PA
USD
8064977.70000000
0.152812776813
Long
ABS-MBS
CORP
US
N
2
2029-05-25
Floating
4.43925000
N
N
N
N
N
N
Octagon Investment Partners XVII Ltd.
54930007Y57X4ONHQV20
Octagon Investment Partners XVII Ltd., Series 2013-1A, Class BR2
67590GBL2
4020000.00000000
PA
USD
4016985.00000000
0.076112626110
Long
ABS-CBDO
CORP
KY
N
2
2031-01-25
Floating
1.52525160
N
N
N
N
N
N
City of New Orleans LA Sewerage Service Revenue
N/A
City of New Orleans
647719QE6
1300000.00000000
PA
USD
1302521.74000000
0.024679790986
Long
DBT
MUN
US
N
2
2030-06-01
Fixed
1.79100000
N
N
N
N
N
N
GNMA
549300M8ZYFG0OCMTT87
GNMA II, 30 Year
36202DPF2
3280.53000000
PA
USD
3779.89000000
0.000071620221
Long
ABS-MBS
USGA
US
N
2
2031-08-20
Fixed
7.50000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, 30 Year
31417YCC9
697522.20000000
PA
USD
798098.08000000
0.015122122876
Long
ABS-MBS
USGSE
US
N
2
2039-05-01
Fixed
5.00000000
N
N
N
N
N
N
N/A
N/A
CDS
N/A
6300000.00000000
PA
USD
2947.44000000
0.000055847208
N/A
DCR
FR
N
2
BNP PARIBAS NY BRANCH
549300QVEGJN81E8T563
Nordstrom, Inc.
Nordstrom, Inc.
Y
Payout of notional amount upon default event with regard to the reference instrument
2026-06-20
0.00000000
USD
400324.70000000
USD
6300000.00000000
USD
2947.44000000
N
N
N
Consumer Loan Underlying Bond Certificate Issuer Trust I
N/A
Consumer Loan Underlying Bond Certificate Issuer Trust I, Series 2019-S3, Class PT
21055RAA8
1740283.81000000
PA
USD
1733820.74000000
0.032851914987
Long
ABS-O
CORP
US
N
2
2044-06-15
Variable
15.16564080
N
N
N
N
N
N
Towd Point Mortgage Trust
N/A
Towd Point Mortgage Trust, Series 2017-4, Class A1
89173UAA5
0.00600000
PA
USD
0.01000000
0.000000000189
Long
ABS-O
CORP
US
N
2
2057-06-25
Variable
2.75000040
N
N
N
N
N
N
Adagio CLO VIII DAC
635400GXSZ7DMJYBSH11
Adagio CLO VIII DAC, Series VIII-A, Class B1
N/A
2050000.00000000
PA
2444321.58000000
0.046314271652
Long
ABS-CBDO
CORP
IE
N
2
2032-04-15
Floating
1.64999880
N
N
N
N
N
N
Prestige Brands, Inc.
549300JBVP4J6D42I235
Prestige Brands, Inc.
74112BAM7
800000.00000000
PA
USD
792648.00000000
0.015018856396
Long
DBT
CORP
US
N
2
2031-04-01
Fixed
3.75000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, 30 Year
31412YQC9
8419.38000000
PA
USD
9402.20000000
0.000178150063
Long
ABS-MBS
USGSE
US
N
2
2037-06-01
Fixed
5.50000000
N
N
N
N
N
N
N/A
N/A
CDIT
N/A
8300000.00000000
PA
USD
2863.90000000
0.000054264317
N/A
DCR
US
N
2
MORGAN STANLEY CAPITAL
I7331LVCZKQKX5T7XV54
MS 693413 Dec 2021
MS 693413 Dec 2021
Y
Payout of notional amount upon default event with regard to the reference instrument
2021-12-20
0.00000000
USD
0.00000000
USD
8300000.00000000
USD
2863.90000000
N
N
N
Tullow Oil plc
2138003EYHWO75RKS857
Tullow Oil plc
899415AE3
600000.00000000
PA
USD
521280.00000000
0.009877056981
Long
DBT
CORP
GB
N
2
2025-03-01
Fixed
7.00000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, 30 Year
3140XA6A5
2081824.04000000
PA
USD
2241470.74000000
0.042470714820
Long
ABS-MBS
USGSE
US
N
2
2049-05-01
Fixed
4.50000000
N
N
N
N
N
N
EDP Finance BV
5299007L43AQDFOW5739
EDP Finance BV
26835PAH3
10500000.00000000
PA
USD
10477362.74000000
0.198521924491
Long
DBT
CORP
NL
N
2
2028-01-24
Fixed
1.71000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, 30 Year
31409CVM4
124668.96000000
PA
USD
143305.83000000
0.002715315854
Long
ABS-MBS
USGSE
US
N
2
2036-05-01
Fixed
5.50000000
N
N
N
N
N
N
United States of America
254900HROIFWPRGM1V77
U.S. Treasury Bonds
912810SX7
14200000.00000000
PA
USD
15756453.20000000
0.298548546046
Long
DBT
UST
US
N
2
2051-05-15
Fixed
2.37500000
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC Gold Pools, 30 Year
31296MF53
5553.95000000
PA
USD
6304.46000000
0.000119455015
Long
ABS-MBS
USGSE
US
N
2
2033-08-01
Fixed
5.00000000
N
N
N
N
N
N
FedEx Corp.
549300E707U7WNPZN687
FedEx Corp.
31428XBQ8
2000000.00000000
PA
USD
2337737.14000000
0.044294741673
Long
DBT
CORP
US
N
2
2048-02-15
Fixed
4.05000000
N
N
N
N
N
N
Ares XLVIII CLO Ltd.
5493005WFBSWHJ1WGQ35
Ares XLVIII CLO Ltd., Series 2018-48A, Class D
04017FAJ8
2000000.00000000
PA
USD
1955447.24000000
0.037051227389
Long
ABS-CBDO
CORP
KY
N
2
2030-07-20
Floating
2.83425120
N
N
N
N
N
N
GNMA
549300M8ZYFG0OCMTT87
GNMA II, 30 Year
36202EUV9
109361.75000000
PA
USD
133897.50000000
0.002537049641
Long
ABS-MBS
USGA
US
N
2
2038-07-20
Fixed
6.50000000
N
N
N
N
N
N
TransCanada PipeLines Ltd.
5BV01I6231JPDAPMGH09
TransCanada PipeLines Ltd.
89352HAW9
3400000.00000000
PA
USD
3934720.72000000
0.074553907224
Long
DBT
CORP
CA
N
2
2028-05-15
Fixed
4.25000000
N
N
N
N
N
N
Millennium Ltd.
N/A
Millennium Ltd.
N/A
73753.32000000
NS
USD
0.00000000
0.000000
Long
EC
CORP
AU
N
3
N
N
N
Oriflame Investment Holding plc
549300LGP4VBCHWQTD80
Oriflame Investment Holding plc
68621CAA7
2600000.00000000
PA
USD
2676700.00000000
0.050717308207
Long
DBT
CORP
JE
N
2
2026-05-04
Fixed
5.12500000
N
N
N
N
N
N
B&G Foods, Inc.
549300TRW1LZMDJZAQ78
B&G Foods, Inc.
05508WAB1
3000000.00000000
PA
USD
3127500.00000000
0.059258931303
Long
DBT
CORP
US
N
2
2027-09-15
Fixed
5.25000000
N
N
N
N
N
N
Battalion Oil Corp.
3XHTN2NNIMMPORDAMJ28
Battalion Oil Corp.
07134L131
4100.00000000
NS
USD
240.35000000
0.000004554079
Long
CORP
US
N
3
N
N
N
FHLMC Structured Agency Credit Risk Debt Notes
S6XOOCT0IEG5ABCC6L87
FHLMC Structured Agency Credit Risk Debt Notes, Series 2016-HQA3, Class M2
3137G0KX6
85103.77000000
PA
USD
85079.23000000
0.001612055714
Long
ABS-MBS
CORP
US
N
2
2029-03-25
Floating
1.43925120
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC Gold Pools, 30 Year
3132FCBN4
3986766.20000000
PA
USD
4555791.96000000
0.086321778669
Long
ABS-MBS
USGSE
US
N
2
2039-02-01
Fixed
5.00000000
N
N
N
N
N
N
Energy Transfer LP
MTLVN9N7JE8MIBIJ1H73
Energy Transfer LP
29273RBG3
4500000.00000000
PA
USD
5079431.52000000
0.096243543885
Long
DBT
CORP
US
N
2
2026-01-15
Fixed
4.75000000
N
N
N
N
N
N
HSBC Holdings plc
MLU0ZO3ML4LN2LL2TL39
HSBC Holdings plc
404280CL1
3400000.00000000
PA
USD
3444519.53000000
0.065265722206
Long
DBT
CORP
GB
N
2
2028-09-22
Variable
2.01300000
N
N
N
N
N
N
CommScope Technologies LLC
M4TWC4QDOKW45N7T6Y12
CommScope Technologies LLC
20338HAB9
3000000.00000000
PA
USD
3039150.00000000
0.057584902020
Long
DBT
CORP
US
N
2
2027-03-15
Fixed
5.00000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, 30 Year
3140L6UX0
1681477.95300000
PA
USD
1753425.07000000
0.033223371948
Long
ABS-MBS
USGSE
US
N
2
2051-04-01
Fixed
2.50000000
N
N
N
N
N
N
Pikes Peak CLO 6
635400BKNXKWEO3G2J74
Pikes Peak CLO 6, Series 2020-6A, Class AR2
72132YAL9
4500000.00000000
PA
USD
4500047.17000000
0.085265543120
Long
ABS-CBDO
CORP
KY
N
2
2034-05-18
Floating
1.32513120
N
N
N
N
N
N
Gabonese Republic
N/A
Gabonese Republic
362420AD3
5000000.00000000
PA
USD
5026500.00000000
0.095240613331
Long
DBT
NUSS
GA
N
2
2031-02-06
Fixed
6.62500000
N
N
N
N
N
N
William Morris Endeavor Entertainment LLC / IMG Worldwide Holdings LLC
5493008R7J9HEQ30DZ33
William Morris Endeavor Entertainment LLC / IMG Worldwide Holdings LLC, First Lien Term Loan B1
96925HAF9
6468353.44000000
PA
USD
6302052.07000000
0.119409391106
Long
LON
CORP
US
N
2
2025-05-18
Variable
2.85000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, 30 Year
31401MAU5
16063.70000000
PA
USD
17940.93000000
0.000339939356
Long
ABS-MBS
USGSE
US
N
2
2033-09-01
Fixed
5.50000000
N
N
N
N
N
N
United States of America
254900HROIFWPRGM1V77
U.S. Treasury Notes
91282CAM3
150000000.00000000
PA
USD
148001953.50000000
2.804296593185
Long
DBT
UST
US
N
2
2025-09-30
Fixed
0.25000000
N
N
N
N
N
N
United States of America
254900HROIFWPRGM1V77
U.S. Treasury Bonds
912810SR0
25000000.00000000
PA
USD
22344726.50000000
0.423381171111
Long
DBT
UST
US
N
2
2040-05-15
Fixed
1.12500000
N
N
N
N
N
N
Mauser Packaging Solutions Holding Co.
549300DNGHXL0OMHW304
Mauser Packaging Solutions Holding Co.
12429TAE4
3000000.00000000
PA
USD
2934555.00000000
0.055603067354
Long
DBT
CORP
US
N
2
2025-04-15
Fixed
7.25000000
N
N
N
N
N
N
Talen Energy Supply LLC
K5K33XN0PQAU1XF7NN66
Talen Energy Supply LLC
87422VAF5
3000000.00000000
PA
USD
2740740.00000000
0.051930718906
Long
DBT
CORP
US
N
2
2027-05-15
Fixed
7.25000000
N
N
N
N
N
N
APCOA Parking Holdings GmbH
529900H8FIYAOV5FUW68
APCOA Parking Holdings GmbH
N/A
2300000.00000000
PA
2752001.32000000
0.052144095017
Long
DBT
CORP
DE
N
2
2027-01-15
Fixed
4.62500000
N
N
N
N
N
N
GNMA
549300M8ZYFG0OCMTT87
GNMA II, 30 Year
36179WG28
47051798.63000000
PA
USD
48252654.16000000
0.914276808333
Long
ABS-MBS
USGA
US
N
2
2051-06-20
Fixed
2.00000000
N
N
N
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
35018.13000000
0.000663513016
N/A
DFE
N/A
N
2
JP Morgan Chase Bank
7H6GLXDRUGQFU57RNE97
377239.20000000
USD
3580000.00000000
TRY
2021-09-28
35018.13000000
N
N
N
Kaiser Foundation Hospitals
DW4Z57L3G4IRMHYZYK62
Kaiser Foundation Hospitals, Series 2019
48305QAE3
11270000.00000000
PA
USD
12627167.89000000
0.239255787225
Long
DBT
CORP
US
N
2
2049-11-01
Fixed
3.26600000
N
N
N
N
N
N
Consumer Loan Underlying Bond Certificate Issuer Trust I
N/A
Consumer Loan Underlying Bond Certificate Issuer Trust I, Series 2019-31, Class PT
21055FAA4
2451574.44000000
PA
USD
2433113.10000000
0.046101896737
Long
ABS-O
CORP
US
N
2
2044-09-15
Variable
22.41570960
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, 15 Year
3140X9ZB4
900157.80000000
PA
USD
954388.17000000
0.018083460592
Long
ABS-MBS
USGSE
US
N
2
2031-01-01
Fixed
3.00000000
N
N
N
N
N
N
Nielsen Finance LLC / Nielsen Finance Co.
N/A
Nielsen Finance LLC / Nielsen Finance Co.
65409QBK7
3100000.00000000
PA
USD
3130628.00000000
0.059318199708
Long
DBT
CORP
US
N
2
2031-07-15
Fixed
4.75000000
N
N
N
N
N
N
Takeda Pharmaceutical Co. Ltd.
549300ZLMVP4X0OGR454
Takeda Pharmaceutical Co. Ltd.
874060AX4
6400000.00000000
PA
USD
6450335.55000000
0.122219021979
Long
DBT
CORP
JP
N
2
2030-03-31
Fixed
2.05000000
N
N
N
N
N
N
GNMA
549300M8ZYFG0OCMTT87
GNMA II
36202K7C3
4573.57000000
PA
USD
4704.72000000
0.000089143622
Long
ABS-MBS
USGA
US
N
2
2026-10-20
Variable
2.12500080
N
N
N
N
N
N
JPMorgan Chase & Co.
8I5DZWZKVSZI1NUHU748
JPMorgan Chase & Co.
46625HLL2
1600000.00000000
PA
USD
2151826.75000000
0.040772167403
Long
DBT
CORP
US
N
2
2045-06-01
Fixed
4.95000000
N
N
N
N
N
N
Novelis Corp.
549300G5F3W3B52WYL23
Novelis Corp.
670001AE6
2500000.00000000
PA
USD
2665387.50000000
0.050502962352
Long
DBT
CORP
US
N
2
2030-01-30
Fixed
4.75000000
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC Gold Pools, 30 Year
31283HPA7
5996.54000000
PA
USD
6899.90000000
0.000130737234
Long
ABS-MBS
USGSE
US
N
2
2031-10-01
Fixed
7.00000000
N
N
N
N
N
N
California Health Facilities Financing Authority
5493007RI8BUDOGHZ546
California Health Facilities Financing Authority
13032UVL9
5870000.00000000
PA
USD
6371616.74000000
0.120727481594
Long
DBT
MUN
US
N
2
2033-06-01
Fixed
2.98400000
N
N
N
N
N
N
Hayfin US XII Ltd.
N/A
Hayfin US XII Ltd., Series 2018-9A, Class BR
42086QAC5
14500000.00000000
PA
USD
14510875.00000000
0.274947704164
Long
ABS-CBDO
CORP
KY
N
2
2031-04-28
Floating
1.93163040
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, 30 Year
31412AQB3
147562.29000000
PA
USD
174392.44000000
0.003304335610
Long
ABS-MBS
USGSE
US
N
2
2038-06-01
Fixed
6.00000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, 30 Year
31413APT4
442.52000000
PA
USD
494.22000000
0.000009364332
Long
ABS-MBS
USGSE
US
N
2
2037-06-01
Fixed
5.50000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA
31385HJW3
9369.29000000
PA
USD
9343.63000000
0.000177040296
Long
ABS-MBS
USGSE
US
N
2
2027-12-01
Variable
2.03799960
N
N
N
N
N
N
Citigroup Mortgage Loan Trust
N/A
Citigroup Mortgage Loan Trust, Series 2013-A, Class A
17320XAA2
268036.65000000
PA
USD
268767.34000000
0.005092522889
Long
ABS-MBS
CORP
US
N
2
2042-05-25
Variable
2.99999880
N
N
N
N
N
N
N/A
N/A
CDS
N/A
2780000.00000000
PA
87666.25000000
0.001661073792
N/A
DCR
US
N
2
JP MORGAN CHASE BANK NA
7H6GLXDRUGQFU57RNE97
Air France-KLM
Air France-KLM
Y
Payout of notional amount upon default event with regard to the reference instrument
2026-06-20
47690.81000000
USD
0.00000000
USD
2780000.00000000
EUR
87666.25000000
N
N
N
Sound Point CLO V-R Ltd.
549300UPX3H8ENJXHI23
Sound Point CLO V-R Ltd., Series 2014-1RA, Class D
83607EAG7
5780000.00000000
PA
USD
5565536.75000000
0.105454119882
Long
ABS-CBDO
CORP
KY
N
2
2031-07-18
Floating
3.23388000
N
N
N
N
N
N
N/A
N/A
SOP
N/A
129100000.00000000
PA
USD
13081.43000000
0.000247863009
N/A
DIR
US
N
2
CITIBANK NA
E57ODZWZ7FF32TWEFA76
Put
Purchased
N/A
Swaption
1.00000000
1.94000000
USD
2021-09-03
XXXX
-1419928.57000000
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, 30 Year
3140XBCU2
2723981.49000000
PA
USD
2843461.20000000
0.053877049372
Long
ABS-MBS
USGSE
US
N
2
2051-03-01
Fixed
2.50000000
N
N
N
N
N
N
LCM 26 Ltd.
N/A
LCM 26 Ltd., Series 26A, Class D
50200FAJ8
600000.00000000
PA
USD
561793.29000000
0.010644690640
Long
ABS-CBDO
CORP
KY
N
2
2031-01-20
Floating
2.63424960
N
N
N
N
N
N
N/A
N/A
CDIT
N/A
1100000.00000000
PA
USD
15921.96000000
0.000301684519
N/A
DCR
US
N
2
CITIBANK NA
E57ODZWZ7FF32TWEFA76
Citi 697320 Dec 2021
Citi 697320 Dec 2021
Y
Payout of notional amount upon default event with regard to the reference instrument
2021-12-20
0.00000000
USD
0.00000000
USD
1100000.00000000
USD
15921.96000000
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, 30 Year
31407X4T5
314655.65000000
PA
USD
361012.47000000
0.006840355926
Long
ABS-MBS
USGSE
US
N
2
2035-11-01
Fixed
5.50000000
N
N
N
N
N
N
Edwards Lifesciences Corp.
YA13X31F3V31L8TMPR58
Edwards Lifesciences Corp.
28176EAD0
1700000.00000000
PA
USD
1986953.57000000
0.037648199874
Long
DBT
CORP
US
N
2
2028-06-15
Fixed
4.30000000
N
N
N
N
N
N
N/A
N/A
CDIT
N/A
30000000.00000000
PA
USD
410046.23000000
0.007769432893
N/A
DCR
US
N
2
CITIBANK NA
E57ODZWZ7FF32TWEFA76
Citi 697800 Jun 2022
Citi 697800 Jun 2022
Y
Payout of notional amount upon default event with regard to the reference instrument
2022-06-20
0.00000000
USD
0.00000000
USD
30000000.00000000
USD
410046.23000000
N
N
N
DAE Funding LLC
635400SZTPQL3Y1P2C76
DAE Funding LLC
23371DAJ3
3300000.00000000
PA
USD
3304174.50000000
0.062606506701
Long
DBT
CORP
US
N
2
2024-08-01
Fixed
1.55000000
N
N
N
N
N
N
GNMA
549300M8ZYFG0OCMTT87
GNMA I, 30 Year
36224JF98
241.79000000
PA
USD
242.41000000
0.000004593111
Long
ABS-MBS
USGA
US
N
2
2022-07-15
Fixed
7.50000000
N
N
N
N
N
N
Federative Republic of Brazil
254900ZFY40OYEADAP90
Federative Republic of Brazil
105756BY5
6500000.00000000
PA
USD
7030627.50000000
0.133214219677
Long
DBT
NUSS
BR
N
2
2047-02-21
Fixed
5.62500000
N
N
N
N
N
N
TCI-Flatiron CLO Ltd.
N/A
TCI-Flatiron CLO Ltd., Series 2017-1A, Class B
87231BAE3
3500000.00000000
PA
USD
3503250.52000000
0.066378539377
Long
ABS-CBDO
CORP
KY
N
2
2030-11-18
Floating
1.71587880
N
N
N
N
N
N
Bimbo Bakeries USA, Inc.
549300HOXXHHT7926W92
Bimbo Bakeries USA, Inc.
09031WAA1
2700000.00000000
PA
USD
3012804.53000000
0.057085715962
Long
DBT
CORP
US
N
2
2051-05-17
Fixed
4.00000000
N
N
N
N
N
N
N/A
N/A
CDIT
N/A
10500000.00000000
PA
USD
20608.81000000
0.000390489546
N/A
DCR
US
N
2
CITIBANK NA
E57ODZWZ7FF32TWEFA76
Citi 698285 Dec 2022
Citi 698285 Dec 2022
Y
Payout of notional amount upon default event with regard to the reference instrument
2022-12-20
0.00000000
USD
0.00000000
USD
10500000.00000000
USD
20608.81000000
N
N
N
San Jose Redevelopment Agency Successor Agency
N/A
San Jose Redevelopment Agency Successor Agency
798170AK2
6150000.00000000
PA
USD
6862742.57000000
0.130033186413
Long
DBT
MUN
US
N
2
2027-08-01
Fixed
3.22600000
N
N
N
N
N
N
GNMA
549300M8ZYFG0OCMTT87
GNMA II, 30 Year
36179WBY3
2436859.55800000
PA
USD
2534554.28000000
0.048023973769
Long
ABS-MBS
USGA
US
N
2
2051-03-20
Fixed
2.50000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, Series 2015-C01, Class 2M2
30711XAV6
345586.45600000
PA
USD
346193.31000000
0.006559566930
Long
ABS-MBS
CORP
US
N
2
2025-02-25
Floating
4.63925160
N
N
N
N
N
N
KUEHG Corp. / KC MergerSub, Inc.
549300YNT566T1NYJX62
KUEHG Corp (fka KC MergerSub, Inc.), Term Loan B3
48244EAJ3
6592683.75000000
PA
USD
6469532.42000000
0.122582758510
Long
LON
CORP
US
N
2
2025-02-21
Variable
4.75000000
N
N
N
N
N
N
Towd Point Mortgage Trust
N/A
Towd Point Mortgage Trust, Series 2017-1, Class A2
89173FAB6
8862000.00000000
PA
USD
9314438.78000000
0.176487190340
Long
ABS-O
CORP
US
N
2
2056-10-25
Variable
3.49999920
N
N
N
N
N
N
GNMA
549300M8ZYFG0OCMTT87
GNMA II, 30 Year
36179V7F1
769909.82000000
PA
USD
806727.29000000
0.015285626557
Long
ABS-MBS
USGA
US
N
2
2051-02-20
Fixed
3.00000000
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC Gold Pools, 15 Year
3128PHC41
7663.77000000
PA
USD
7724.63000000
0.000146363970
Long
ABS-MBS
USGSE
US
N
2
2022-09-01
Fixed
6.00000000
N
N
N
N
N
N
FHLMC Structured Agency Credit Risk Debt Notes
S6XOOCT0IEG5ABCC6L87
FHLMC Structured Agency Credit Risk Debt Notes, Series 2016-DNA2, Class M3
3137G0JU4
20399076.64100000
PA
USD
21321914.55000000
0.404001237272
Long
ABS-MBS
CORP
US
N
2
2028-10-25
Floating
4.73924880
N
N
N
N
N
N
Shell International Finance BV
213800ITMMKU4Z7I4F78
Shell International Finance BV
822582AY8
1700000.00000000
PA
USD
2160112.26000000
0.040929158760
Long
DBT
CORP
NL
N
2
2043-08-12
Fixed
4.55000000
N
N
N
N
N
N
Octagon Investment Partners 37 Ltd.
N/A
Octagon Investment Partners 37 Ltd., Series 2018-2A, Class C
67591VAJ4
2000000.00000000
PA
USD
1985000.00000000
0.037611184216
Long
ABS-CBDO
CORP
KY
N
2
2030-07-25
Floating
2.97524880
N
N
N
N
N
N
Madison Park Funding XLII LTD.
549300BF3YFW8EHN6F75
Madison Park Funding XLII LTD., Series 13A, Class C
04966HAG1
3753500.00000000
PA
USD
3719840.87000000
0.070482428321
Long
ABS-CBDO
CORP
KY
N
2
2030-11-21
Floating
1.93788000
N
N
N
N
N
N
Akbank T.A.S.
789000TUMN63Z28TJ497
Akbank T.A.S.
00971YAF7
5600000.00000000
PA
USD
5663280.00000000
0.107306129646
Long
DBT
CORP
TR
N
2
2025-03-31
Fixed
5.12500000
N
N
N
N
N
N
Orange SA
969500MCOONR8990S771
Orange SA
35177PAL1
1300000.00000000
PA
USD
2065726.48000000
0.039140765329
Long
DBT
CORP
FR
N
2
2031-03-01
Fixed
9.00000000
N
N
N
N
N
N
Voya CLO Ltd.
N/A
Voya CLO Ltd., Series 2018-2A, Class A2
92917JAC1
1500000.00000000
PA
USD
1493437.50000000
0.028297205505
Long
ABS-CBDO
CORP
KY
N
2
2031-07-15
Floating
1.37612880
N
N
N
N
N
N
N/A
N/A
CDI
N/A
2325000.00000000
PA
USD
18213.99000000
0.000345113215
N/A
DCR
US
N
2
CITIBANK NA
E57ODZWZ7FF32TWEFA76
MCDX North American MAIN Index Series 31-V1
5A79DPBT3
Y
Payout of notional amount upon default event with regard to the reference instrument
2023-12-20
11232.39000000
USD
0.00000000
USD
2325000.00000000
USD
18213.99000000
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
711122.32000000
0.013474132281
N/A
DFE
N/A
N
2
JP Morgan Chase Bank
7H6GLXDRUGQFU57RNE97
7660695.47000000
USD
72700000.00000000
TRY
2021-09-28
711122.32000000
N
N
N
GNMA
549300M8ZYFG0OCMTT87
GNMA I, 30 Year
36296QN54
70602.44000000
PA
USD
82782.46000000
0.001568537205
Long
ABS-MBS
USGA
US
N
2
2039-01-15
Fixed
6.00000000
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC Gold Pools, 15 Year
3128PHHN4
9315.05000000
PA
USD
9435.36000000
0.000178778369
Long
ABS-MBS
USGSE
US
N
2
2022-09-01
Fixed
6.00000000
N
N
N
N
N
N
Union Pacific Railroad Co. Pass-Through Trust
N/A
Union Pacific Railroad Co. Pass-Through Trust, Series 2005
90783VAA3
69358.11000000
PA
USD
77858.13000000
0.001475232478
Long
ABS-O
CORP
US
N
2
2029-01-02
Fixed
5.08200000
N
N
N
N
N
N
Goldman Sachs Group, Inc. (The)
784F5XWPLTWKTBV3E584
Goldman Sachs Group, Inc. (The)
38141GGM0
2800000.00000000
PA
USD
4197496.97000000
0.079532912738
Long
DBT
CORP
US
N
2
2041-02-01
Fixed
6.25000000
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC Gold Pools, 30 Year
31292GMR4
1793.94000000
PA
USD
1924.01000000
0.000036455564
Long
ABS-MBS
USGSE
US
N
2
2024-10-01
Fixed
8.50000000
N
N
N
N
N
N
HSBC Holdings plc
MLU0ZO3ML4LN2LL2TL39
HSBC Holdings plc
404280CH0
10600000.00000000
PA
USD
11184910.76000000
0.211928332009
Long
DBT
CORP
GB
N
2
2031-06-04
Variable
2.84800000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, 30 Year
31413D6B8
2006.95000000
PA
USD
2246.46000000
0.000042565249
Long
ABS-MBS
USGSE
US
N
2
2037-08-01
Fixed
5.50000000
N
N
N
N
N
N
Post Holdings, Inc.
JM1I5YUAURL6DC8N1468
Post Holdings, Inc.
737446AR5
3000000.00000000
PA
USD
3039870.00000000
0.057598544364
Long
DBT
CORP
US
N
2
2031-09-15
Fixed
4.50000000
N
N
N
N
N
N
CVS Health Corp.
549300EJG376EN5NQE29
CVS Health Corp.
126650CY4
3200000.00000000
PA
USD
4023267.42000000
0.076231663519
Long
DBT
CORP
US
N
2
2038-03-25
Fixed
4.78000000
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC Gold Pools, 30 Year
31287SZT7
3133.90000000
PA
USD
3246.42000000
0.000061512191
Long
ABS-MBS
USGSE
US
N
2
2032-05-01
Fixed
7.00000000
N
N
N
N
N
N
African Export-Import Bank (The)
21380068LJCDYA42GJ76
African Export-Import Bank (The)
00831TAA9
1400000.00000000
PA
USD
1488550.00000000
0.028204598622
Long
DBT
NUSS
US
N
2
2029-09-21
Fixed
3.99400000
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC Gold Pools, 30 Year
31298Q5G9
4822.30000000
PA
USD
5107.57000000
0.000096776703
Long
ABS-MBS
USGSE
US
N
2
2031-07-01
Fixed
7.00000000
N
N
N
N
N
N
BlueMountain CLO Ltd.
635400IYPG2G6NM3OV52
BlueMountain CLO Ltd., Series 5A, Class B
N/A
6250000.00000000
PA
7425482.33000000
0.140695810483
Long
ABS-CBDO
CORP
IE
N
2
2033-01-15
Floating
1.55000160
N
N
N
N
N
N
GNMA
549300M8ZYFG0OCMTT87
GNMA II, 30 Year
36202EQN2
102685.89000000
PA
USD
122703.20000000
0.002324943405
Long
ABS-MBS
USGA
US
N
2
2037-12-20
Fixed
6.50000000
N
N
N
N
N
N
GNMA
549300M8ZYFG0OCMTT87
GNMA II, 30 Year
36179WG36
45560450.56200000
PA
USD
47387307.54000000
0.897880480305
Long
ABS-MBS
USGA
US
N
2
2051-06-20
Fixed
2.50000000
N
N
N
N
N
N
FHLMC Structured Agency Credit Risk Debt Notes
S6XOOCT0IEG5ABCC6L87
FHLMC Structured Agency Credit Risk Debt Notes, Series 2014-DN4, Class M3
3137G0CU1
2702890.82900000
PA
USD
2743781.24000000
0.051988343409
Long
ABS-MBS
CORP
US
N
2
2024-10-25
Floating
4.63925160
N
N
N
N
N
N
Magnetite VII Ltd.
549300B54XJTQC6DWJ15
Magnetite VII Ltd., Series 2012-7A, Class CR2
55951PBG1
2000000.00000000
PA
USD
1967674.50000000
0.037282905842
Long
ABS-CBDO
CORP
KY
N
2
2028-01-15
Floating
2.17613160
N
N
N
N
N
N
Consumer Loan Underlying Bond Credit Trust
N/A
Consumer Loan Underlying Bond Credit Trust, Series 2019-S5, Class PT
21055CAA1
2200709.39000000
PA
USD
2200894.25000000
0.041701883666
Long
ABS-O
CORP
US
N
2
2044-09-15
Variable
13.92915960
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, 30 Year
31404PKD2
29406.09000000
PA
USD
32956.41000000
0.000624448165
Long
ABS-MBS
USGSE
US
N
2
2034-04-01
Fixed
5.50000000
N
N
N
N
N
N
N/A
N/A
CDS
N/A
3150000.00000000
PA
USD
-182755.59000000
-0.00346279806
N/A
DCR
US
N
2
CITIBANK NA
E57ODZWZ7FF32TWEFA76
Nabors Industries, Inc.
Nabors Industries, Inc.
Y
Payout of notional amount upon default event with regard to the reference instrument
2023-12-20
0.00000000
USD
257406.72000000
USD
3150000.00000000
USD
-182755.59000000
N
N
N
Madison Park Funding XXXI Ltd.
N/A
Madison Park Funding XXXI Ltd., Series 2018-31A, Class B
55819DAG1
1500000.00000000
PA
USD
1501125.00000000
0.028442865948
Long
ABS-CBDO
CORP
KY
N
2
2031-01-23
Floating
1.83787920
N
N
N
N
N
N
Race Point X CLO Ltd.
N/A
Race Point X CLO Ltd., Series 2016-10A, Class B1R
74983DAS6
3600000.00000000
PA
USD
3595694.89000000
0.068130147553
Long
ABS-CBDO
CORP
KY
N
2
2031-07-25
Floating
1.77525000
N
N
N
N
N
N
Gilbert Park CLO Ltd.
N/A
Gilbert Park CLO Ltd., Series 2017-1A, Class B
375415AC0
1000000.00000000
PA
USD
1002302.09000000
0.018991319167
Long
ABS-CBDO
CORP
KY
N
2
2030-10-15
Floating
1.72613160
N
N
N
N
N
N
Energy Transfer LP
MTLVN9N7JE8MIBIJ1H73
Energy Transfer LP
29273RAT6
6000000.00000000
PA
USD
6974974.14000000
0.132159716515
Long
DBT
CORP
US
N
2
2043-02-01
Fixed
5.15000000
N
N
N
N
N
N
United States of America
254900HROIFWPRGM1V77
U.S. Treasury Notes
91282CAJ0
74000000.00000000
PA
USD
73066327.94000000
1.384438851469
Long
DBT
UST
US
N
2
2025-08-31
Fixed
0.25000000
N
N
N
N
N
N
Party City Holdings, Inc.
5493005PYM1JS6EZN307
Party City Holdings, Inc.
N/A
1110015.00000000
PA
USD
1053470.84000000
0.019960849284
Long
DBT
CORP
US
N
2
2025-07-15
Floating
5.74999920
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, Series 2014-C02, Class 1M2
30711XAF1
12081710.76000000
PA
USD
12170926.94000000
0.230611070642
Long
ABS-MBS
CORP
US
N
2
2024-05-25
Floating
2.68925040
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, 30 Year
3140QEX23
2699016.58000000
PA
USD
2819585.54000000
0.053424660533
Long
ABS-MBS
USGSE
US
N
2
2050-09-01
Fixed
2.50000000
N
N
N
N
N
N
N/A
N/A
CDS
N/A
4494000.00000000
PA
204996.20000000
0.003884206469
N/A
DCR
GB
N
2
MORGAN STANLEY INTL PLC
4PQUHN3JPFGFNF3BB653
Air France-KLM
Air France-KLM
Y
Payout of notional amount upon default event with regard to the reference instrument
2025-12-20
11873.17000000
USD
0.00000000
USD
4494000.00000000
EUR
204996.20000000
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, 30 Year
31390HKZ7
1490.70000000
PA
USD
1686.90000000
0.000031962874
Long
ABS-MBS
USGSE
US
N
2
2032-07-01
Fixed
6.50000000
N
N
N
N
N
N
Dominion Energy, Inc.
ILUL7B6Z54MRYCF6H308
Dominion Energy, Inc., Series C
25746UDG1
4351000.00000000
PA
USD
4829595.47000000
0.091509725396
Long
DBT
CORP
US
N
2
2030-04-01
Fixed
3.37500000
N
N
N
N
N
N
FirstKey Homes Trust
N/A
FirstKey Homes Trust, Series 2020-SFR2, Class A
33767JAA0
11584375.48000000
PA
USD
11638819.73000000
0.220528862935
Long
ABS-O
CORP
US
N
2
2037-10-19
Fixed
1.26600000
N
N
N
N
N
N
HPS Loan Management Ltd.
N/A
HPS Loan Management Ltd., Series 13A-18, Class C
40437LAJ1
3000000.00000000
PA
USD
3002536.61000000
0.056891162496
Long
ABS-CBDO
CORP
KY
N
2
2030-10-15
Floating
2.27612880
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC Gold Pools, 30 Year
31292HQE7
8663.28000000
PA
USD
10318.28000000
0.000195507672
Long
ABS-MBS
USGSE
US
N
2
2032-03-01
Fixed
7.50000000
N
N
N
N
N
N
Air Canada
N/A
Air Canada, Term Loan
N/A
12101551.47000000
PA
USD
12136888.00000000
0.229966111023
Long
LON
CORP
CA
N
2
2028-07-27
Variable
0.00000000
N
N
N
N
N
N
FHLMC Structured Agency Credit Risk Debt Notes
S6XOOCT0IEG5ABCC6L87
FHLMC Structured Agency Credit Risk Debt Notes, Series 2017-DNA1, Class M2
3137G0MD8
13867525.44000000
PA
USD
14253866.38000000
0.270077981971
Long
ABS-MBS
CORP
US
N
2
2029-07-25
Floating
3.33924840
N
N
N
N
N
N
Octagon Investment Partners 33 Ltd.
549300IDWDG12HO3TO90
Octagon Investment Partners 33 Ltd., Series 2017-1A, Class A2
675711AC9
400000.00000000
PA
USD
400721.80000000
0.007592756392
Long
ABS-CBDO
CORP
KY
N
2
2031-01-20
Floating
1.63424880
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, 30 Year
31415VBZ7
27329.92000000
PA
USD
30723.63000000
0.000582142119
Long
ABS-MBS
USGSE
US
N
2
2038-09-01
Fixed
6.00000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, 30 Year
31390NW81
3978.19000000
PA
USD
4478.14000000
0.000084850452
Long
ABS-MBS
USGSE
US
N
2
2032-07-01
Fixed
6.50000000
N
N
N
N
N
N
Comcast Corp.
51M0QTTNCGUN7KFCFZ59
Comcast Corp.
20030NBM2
1700000.00000000
PA
USD
2040891.65000000
0.038670202425
Long
DBT
CORP
US
N
2
2034-08-15
Fixed
4.20000000
N
N
N
N
N
N
Goldman Sachs Group, Inc. (The)
784F5XWPLTWKTBV3E584
Goldman Sachs Group, Inc. (The)
38141GXR0
5000000.00000000
PA
USD
4932992.25000000
0.093468856550
Long
DBT
CORP
US
N
2
2032-01-27
Variable
1.99200000
N
N
N
N
N
N
MPLX LP
5493000CZJ19CK4P3G36
MPLX LP
55336VAN0
2000000.00000000
PA
USD
2354850.20000000
0.044618994798
Long
DBT
CORP
US
N
2
2048-04-15
Fixed
4.70000000
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC Gold Pools, 15 Year
3128M1TY5
1614.52000000
PA
USD
1619.86000000
0.000030692621
Long
ABS-MBS
USGSE
US
N
2
2021-11-01
Fixed
6.00000000
N
N
N
N
N
N
Exxon Mobil Corp.
J3WHBG0MTS7O8ZVMDC91
Exxon Mobil Corp.
30231GBN1
6100000.00000000
PA
USD
6547422.80000000
0.124058602052
Long
DBT
CORP
US
N
2
2030-10-15
Fixed
2.61000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, Series 2016-C03, Class 1M2
30711XCL6
1176548.72100000
PA
USD
1236733.42000000
0.023433253645
Long
ABS-MBS
CORP
US
N
2
2028-10-25
Floating
5.38925040
N
N
N
N
N
N
GNMA
549300M8ZYFG0OCMTT87
GNMA II, 30 Year
36179V7E4
2434501.10000000
PA
USD
2535659.76000000
0.048044920072
Long
ABS-MBS
USGA
US
N
2
2051-02-20
Fixed
2.50000000
N
N
N
N
N
N
Dollar Tree, Inc.
549300PMSTQITB1WHR43
Dollar Tree, Inc.
256746AH1
11700000.00000000
PA
USD
13427305.40000000
0.254416552609
Long
DBT
CORP
US
N
2
2028-05-15
Fixed
4.20000000
N
N
N
N
N
N
Anagram International, Inc. / Anagram Holdings LLC
N/A
Anagram International, Inc. / Anagram Holdings LLC
03254TAC7
616265.00000000
PA
USD
607021.03000000
0.011501652283
Long
DBT
CORP
US
N
2
2026-08-15
Fixed
10.00000000
N
N
Y
N
N
N
State of Minnesota
N/A
State of Minnesota
604129Q74
5760000.00000000
PA
USD
6241594.18000000
0.118263853152
Long
DBT
MUN
US
N
2
2024-10-01
Fixed
4.00000000
N
N
N
N
N
N
Enable Midstream Partners LP
549300TLGDBYE711G509
Enable Midstream Partners LP
292480AH3
3600000.00000000
PA
USD
3847541.98000000
0.072902070624
Long
DBT
CORP
US
N
2
2024-05-15
Fixed
3.90000000
N
N
N
N
N
N
Madison Park Funding XXXI Ltd.
N/A
Madison Park Funding XXXI Ltd., Series 2018-31A, Class C
55819DAJ5
650000.00000000
PA
USD
651787.50000000
0.012349873920
Long
ABS-CBDO
CORP
KY
N
2
2031-01-23
Floating
2.28787920
N
N
N
N
N
N
N/A
N/A
CDS
N/A
6300000.00000000
PA
USD
-90175.36000000
-0.00170861565
N/A
DCR
US
N
2
JP MORGAN CHASE BANK NA
7H6GLXDRUGQFU57RNE97
Nordstrom, Inc.
Nordstrom, Inc.
Y
Payout of notional amount upon default event with regard to the reference instrument
2026-06-20
0.00000000
USD
307201.90000000
USD
6300000.00000000
USD
-90175.36000000
N
N
N
N/A
N/A
USCPI
N/A
45100000.00000000
PA
USD
3277288.57000000
0.062097080169
N/A
DIR
GB
N
2
LCH Clearnet
549300TXTCI7WVVJS380
Y
2029-01-15
0.00000000
USD
0.00000000
USD
45100000.00000000
USD
3277288.57000000
N
N
N
N/A
N/A
CES
N/A
5600000.00000000
PA
-481262.35000000
-0.00911881456
N/A
DFE
US
N
2
CITIBANK NA
E57ODZWZ7FF32TWEFA76
6160000.00000000
USD
5600000.00000000
EUR
2021-10-15
-481262.35000000
N
N
N
Vivion Investments SARL
529900SJ7X71ESJK9N76
Vivion Investments SARL
N/A
1700000.00000000
PA
2013947.05000000
0.038159664231
Long
DBT
CORP
LU
N
2
2024-08-08
Fixed
3.00000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, 30 Year
31412XYJ7
7386.75000000
PA
USD
8261.08000000
0.000156528464
Long
ABS-MBS
USGSE
US
N
2
2037-07-01
Fixed
5.50000000
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC Gold Pools, 15 Year
3128PJCQ8
4941.87000000
PA
USD
4973.71000000
0.000094240364
Long
ABS-MBS
USGSE
US
N
2
2022-11-01
Fixed
5.50000000
N
N
N
N
N
N
Madison Park Funding XXIX Ltd.
N/A
Madison Park Funding XXIX Ltd., Series 2018-29A, Class C
55820CAJ4
1072581.00000000
PA
USD
1074033.00000000
0.020350454920
Long
ABS-CBDO
CORP
KY
N
2
2030-10-18
Floating
2.33388000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, 30 Year
31385PZ64
3180.60000000
PA
USD
3378.68000000
0.000064018214
Long
ABS-MBS
USGSE
US
N
2
2030-07-01
Fixed
8.50000000
N
N
N
N
N
N
K2016470219 South Africa Ltd.
378900DECAC8CFA88345
K2016470219 South Africa Ltd., Class A
N/A
28762824.00000000
NS
0.00000000
0.000000
Long
EC
CORP
ZA
Y
3
N
N
N
N/A
N/A
CDS
N/A
2350000.00000000
PA
USD
21076.50000000
0.000399351196
N/A
DCR
US
N
2
CITIBANK NA
E57ODZWZ7FF32TWEFA76
Nabors Industries, Inc.
Nabors Industries, Inc.
Y
Receipt of notional amount upon default event with regard to the reference instrument
2021-12-20
11122.04000000
USD
0.00000000
USD
2350000.00000000
USD
21076.50000000
N
N
N
Fiserv, Inc.
GI7UBEJLXYLGR2C7GV83
Fiserv, Inc.
337738BC1
8600000.00000000
PA
USD
9056385.66000000
0.171597677276
Long
DBT
CORP
US
N
2
2030-06-01
Fixed
2.65000000
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC Gold Pools, 30 Year
31335GNC5
863.09000000
PA
USD
971.62000000
0.000018409964
Long
ABS-MBS
USGSE
US
N
2
2026-04-01
Fixed
6.50000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA
31373KHT9
917970.14000000
PA
USD
944674.48000000
0.017899408509
Long
ABS-MBS
USGSE
US
N
2
2034-09-01
Variable
1.65399840
N
N
N
N
N
N
United States of America
254900HROIFWPRGM1V77
U.S. Treasury Notes
91282CAG6
25000000.00000000
PA
USD
25009765.50000000
0.473877530191
Long
DBT
UST
US
N
2
2022-08-31
Fixed
0.12500000
N
N
N
N
N
N
N/A
N/A
USCPI
N/A
37900000.00000000
PA
USD
2864484.65000000
0.054275395393
N/A
DIR
GB
N
2
LCH Clearnet
549300TXTCI7WVVJS380
Y
2029-01-14
0.00000000
USD
0.00000000
USD
37900000.00000000
USD
2864484.65000000
N
N
N
Bank of America Corp.
9DJT3UXIJIZJI4WXO774
Bank of America Corp.
59022CAJ2
2800000.00000000
PA
USD
3896160.63000000
0.073823282212
Long
DBT
CORP
US
N
2
2037-01-29
Fixed
6.11000000
N
N
N
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
44287.18000000
0.000839140194
N/A
DFE
N/A
N
2
JP Morgan Chase Bank
7H6GLXDRUGQFU57RNE97
12869255.72000000
USD
17500000.00000000
SGD
2022-01-19
44287.18000000
N
N
N
Avon Products, Inc.
5493007RY69UEB1F1B45
Avon Products, Inc.
054303BA9
8800000.00000000
PA
USD
9383000.00000000
0.177786267759
Long
DBT
CORP
US
N
2
2023-03-15
Fixed
6.50000160
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, 30 Year
31371H6S2
6961.98000000
PA
USD
8217.87000000
0.000155709734
Long
ABS-MBS
USGSE
US
N
2
2030-01-01
Fixed
7.50000000
N
N
N
N
N
N
Ukraine
6354001WLTJXOMEXPY07
Ukraine Government Bond
903724AT9
229000.00000000
PA
USD
251183.23000000
0.004759344451
Long
DBT
NUSS
UA
N
2
2026-09-01
Fixed
7.75000000
N
N
N
N
N
N
CHS/Community Health Systems, Inc.
5493007X5NC5XI1BB106
CHS/Community Health Systems, Inc.
12543DBH2
600000.00000000
PA
USD
639066.00000000
0.012108830756
Long
DBT
CORP
US
N
2
2029-01-15
Fixed
6.00000000
N
N
N
N
N
N
GNMA
549300M8ZYFG0OCMTT87
GNMA II, 30 Year
36202CZ48
1130.61000000
PA
USD
1271.97000000
0.000024100905
Long
ABS-MBS
USGA
US
N
2
2028-03-20
Fixed
6.50000000
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC Gold Pools, 30 Year
31292HEG5
1002.50000000
PA
USD
1165.22000000
0.000022078238
Long
ABS-MBS
USGSE
US
N
2
2030-08-01
Fixed
8.50000000
N
N
N
N
N
N
GNMA
549300M8ZYFG0OCMTT87
GNMA I, 30 Year
36224LAL1
2778.70000000
PA
USD
2789.02000000
0.000052845513
Long
ABS-MBS
USGA
US
N
2
2022-08-15
Fixed
7.50000000
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC Gold Pools, 30 Year
31297DT32
13851.65000000
PA
USD
15585.73000000
0.000295313734
Long
ABS-MBS
USGSE
US
N
2
2034-08-01
Fixed
6.00000000
N
N
N
N
N
N
Madison Park Euro Funding VIII DAC
635400Y8CTGVSWYFMB36
Madison Park Euro Funding VIII DAC, Series 8A, Class BRN
N/A
4600000.00000000
PA
5470324.14000000
0.103650059925
Long
ABS-CBDO
CORP
IE
N
2
2032-04-15
Floating
1.69999920
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, 30 Year
31411F4V3
2474.42000000
PA
USD
2761.36000000
0.000052321420
Long
ABS-MBS
USGSE
US
N
2
2036-12-01
Fixed
5.50000000
N
N
N
N
N
N
GNMA
549300M8ZYFG0OCMTT87
GNMA II, 30 Year
36202DMR9
1182.35000000
PA
USD
1383.62000000
0.000026216416
Long
ABS-MBS
USGA
US
N
2
2031-04-20
Fixed
6.50000000
N
N
N
N
N
N
Institutional Fiduciary Trust Money Market Portfolio
N/A
Institutional Fiduciary Trust Money Market Portfolio
457756500
12280000.00000000
NS
USD
12280000.00000000
0.232677754245
Long
STIV
RF
US
N
1
N
N
Ukraine
6354001WLTJXOMEXPY07
Ukraine Government Bond
903724AN2
229000.00000000
PA
USD
230348.81000000
0.004364580114
Long
DBT
NUSS
UA
N
2
2021-09-01
Fixed
7.75000000
N
N
N
N
N
N
Carlyle Global Market Strategies CLO Ltd.
N/A
Carlyle Global Market Strategies CLO Ltd., Series 2014-1A, Class A1R2
14310MAW7
722802.40000000
PA
USD
723139.12000000
0.013701823000
Long
ABS-CBDO
CORP
KY
N
2
2031-04-17
Floating
1.10387880
N
N
N
N
N
N
FHLMC Pool
S6XOOCT0IEG5ABCC6L87
FHLMC Pool, 30 Year
3132DVLF0
0.01000000
PA
USD
0.01000000
0.000000000189
Long
ABS-MBS
USGSE
US
N
2
2050-10-01
Fixed
2.50000000
N
N
N
N
N
N
Exxon Mobil Corp.
J3WHBG0MTS7O8ZVMDC91
Exxon Mobil Corp.
30231GBM3
2000000.00000000
PA
USD
2240202.64000000
0.042446687241
Long
DBT
CORP
US
N
2
2051-04-15
Fixed
3.45200000
N
N
N
N
N
N
Consumer Loan Underlying Bond Certificate Issuer Trust I
N/A
Consumer Loan Underlying Bond Certificate Issuer Trust I, Series 2019-42, Class PT
21055YAA3
3300028.42000000
PA
USD
3300828.02000000
0.062543098602
Long
ABS-O
CORP
US
N
2
2044-11-15
Variable
21.20388840
N
N
N
N
N
N
BlueMountain Fuji US CLO III Ltd.
549300EY8WEC9D18YD37
BlueMountain Fuji US CLO III Ltd., Series 2017-3A, Class D
09628FAJ8
1600000.00000000
PA
USD
1502754.90000000
0.028473748804
Long
ABS-CBDO
CORP
KY
N
2
2030-01-15
Floating
2.52613080
N
N
N
N
N
N
Russian Federation
5493004EHVGF71PDBU58
Russian Federation
78307ADG5
11600000.00000000
PA
USD
12610684.80000000
0.238943470583
Long
DBT
NUSS
RU
N
2
2023-09-16
Fixed
4.87500000
N
N
N
N
N
N
GNMA
549300M8ZYFG0OCMTT87
GNMA II, 30 Year
36202DJA0
13388.87000000
PA
USD
16165.28000000
0.000306294873
Long
ABS-MBS
USGA
US
N
2
2030-08-20
Fixed
7.50000000
N
N
N
N
N
N
Consumer Loan Underlying Bond Certificate Issuer Trust I
N/A
Consumer Loan Underlying Bond Certificate Issuer Trust I, Series 2019-26, Class PT
21055TAA4
2742628.00000000
PA
USD
2744564.30000000
0.052003180594
Long
ABS-O
CORP
US
N
2
2044-08-15
Variable
20.75277240
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, 30 Year
31390LDJ2
2573.29000000
PA
USD
2893.21000000
0.000054819674
Long
ABS-MBS
USGSE
US
N
2
2032-06-01
Fixed
6.50000000
N
N
N
N
N
N
N/A
N/A
U.S. Treasury Ultra Bonds
N/A
650.00000000
NC
USD
9222036.37000000
0.174736377210
N/A
DIR
US
N
1
CME Clearing House
LCZ7XYGSLJUHFXXNXD88
Long
United States of America
U.S. Treasury Ultra Bonds
2021-09-21
129695312.50000000
USD
9222036.37000000
N
N
N
FHLMC Structured Agency Credit Risk Debt Notes
S6XOOCT0IEG5ABCC6L87
FHLMC Structured Agency Credit Risk Debt Notes, Series 2015-DNA2, Class M3
3137G0FW4
13826025.21000000
PA
USD
13992305.28000000
0.265122000754
Long
ABS-MBS
CORP
US
N
2
2027-12-25
Floating
3.98925000
N
N
N
N
N
N
BRAVO Residential Funding Trust
N/A
BRAVO Residential Funding Trust, Series 2019-1, Class A1C
10568GAD9
6696908.95400000
PA
USD
6861739.97000000
0.130014189449
Long
ABS-MBS
CORP
US
N
2
2058-03-25
Fixed
3.50000000
N
N
N
N
N
N
Boyd Gaming Corp.
254900787YGRYS2A1Z35
Boyd Gaming Corp.
103304BV2
2400000.00000000
PA
USD
2486051.52000000
0.047104958030
Long
DBT
CORP
US
N
2
2031-06-15
Fixed
4.75000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, 15 Year
3140J9VA6
2259519.55000000
PA
USD
2390020.27000000
0.045285386728
Long
ABS-MBS
USGSE
US
N
2
2033-02-01
Fixed
3.00000000
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC Gold Pools, 30 Year
3128MJBG4
40930.07000000
PA
USD
48820.55000000
0.000925037128
Long
ABS-MBS
USGSE
US
N
2
2035-01-01
Fixed
6.50000000
N
N
N
N
N
N
Massachusetts State College Building Authority
N/A
Massachusetts State College Building Authority
575831FJ6
5900000.00000000
PA
USD
6238942.61000000
0.118213612000
Long
DBT
MUN
US
N
2
2043-05-01
Fixed
3.37300000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, Series 2015-C03, Class 1M2
30711XBB9
4258441.70400000
PA
USD
4374184.02000000
0.082880725930
Long
ABS-MBS
CORP
US
N
2
2025-07-25
Floating
5.08925160
N
N
N
N
N
N
New Jersey Transportation Trust Fund Authority
549300YUVD5TEXR6L889
New Jersey Transportation Trust Fund Authority
6461366S5
4060000.00000000
PA
USD
4720647.26000000
0.089445407413
Long
DBT
MUN
US
N
2
2042-06-15
Fixed
4.13100000
N
N
N
N
N
N
Continental Resources, Inc.
XXRTID9RYWOZ0UPIVR53
Continental Resources, Inc.
212015AT8
15500000.00000000
PA
USD
18706097.50000000
0.354437520928
Long
DBT
CORP
US
N
2
2031-01-15
Fixed
5.75000000
N
N
N
N
N
N
FHLMC Structured Agency Credit Risk Debt Notes
S6XOOCT0IEG5ABCC6L87
FHLMC Structured Agency Credit Risk Debt Notes, Series 2015-HQ2, Class M3
3137G0FJ3
2467432.67000000
PA
USD
2505615.70000000
0.047475654240
Long
ABS-MBS
CORP
US
N
2
2025-05-25
Floating
3.33924840
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, 30 Year
31405RRN8
29297.40000000
PA
USD
33852.12000000
0.000641419809
Long
ABS-MBS
USGSE
US
N
2
2034-10-01
Fixed
6.00000000
N
N
N
N
N
N
United Airlines Pass-Through Trust
N/A
United Airlines Pass-Through Trust, Series 2020-1, Class B
N/A
1401375.00000000
PA
USD
1472511.32000000
0.027900702527
Long
DBT
CORP
US
N
2
2027-07-15
Fixed
4.87500000
N
N
N
N
N
N
Las Vegas Sands Corp.
549300DUOO1KXOHPM605
Las Vegas Sands Corp.
517834AF4
8500000.00000000
PA
USD
9057012.57000000
0.171609555778
Long
DBT
CORP
US
N
2
2029-08-08
Fixed
3.90000000
N
N
N
N
N
N
Holland Park CLO DAC
549300DH041IB658HY57
Holland Park CLO DAC, Series 1A, Class A1RR
N/A
50450000.00000000
PA
59912372.39000000
1.135201649773
Long
ABS-CBDO
CORP
IE
N
2
2032-11-14
Floating
0.92000160
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC Gold Pools, 30 Year
31292GT71
5613.44000000
PA
USD
6342.87000000
0.000120182796
Long
ABS-MBS
USGSE
US
N
2
2028-01-01
Fixed
7.00000000
N
N
N
N
N
N
Enterprise Products Operating LLC
5493004LGN656HWLDA30
Enterprise Products Operating LLC
29379VBV4
2000000.00000000
PA
USD
2182381.24000000
0.041351104709
Long
DBT
CORP
US
N
2
2029-07-31
Fixed
3.12500000
N
N
N
N
N
N
Reynolds Group Issuer, Inc. / Reynolds Group Issuer LLC / Reynolds Group Issuer Lu
N/A
Reynolds Group Issuer, Inc. / Reynolds Group Issuer LLC / Reynolds Group Issuer Lu
76174LAA1
2300000.00000000
PA
USD
2300000.00000000
0.043579709671
Long
DBT
CORP
US
N
2
2027-10-15
Fixed
4.00000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, 30 Year
31390REP4
1958.76000000
PA
USD
2204.90000000
0.000041777783
Long
ABS-MBS
USGSE
US
N
2
2032-07-01
Fixed
6.50000000
N
N
N
N
N
N
BlueMountain CLO Ltd.
549300NUS8PQQUZMPR50
BlueMountain CLO Ltd., Series 2014-2A, Class CR2
09626QBE6
4700000.00000000
PA
USD
4711311.76000000
0.089268521161
Long
ABS-CBDO
CORP
KY
N
2
2030-10-20
Floating
2.33425080
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, 30 Year
31402EXP8
31171.94000000
PA
USD
35763.55000000
0.000677637011
Long
ABS-MBS
USGSE
US
N
2
2033-08-01
Fixed
5.50000000
N
N
N
N
N
N
Republic of South Africa
378900AAFB4F17004C49
Republic of South Africa
836205AY0
9500000.00000000
PA
USD
10806250.00000000
0.204753581581
Long
DBT
NUSS
ZA
N
2
2030-06-22
Fixed
5.87500000
N
N
N
N
N
Consumer Loan Underlying Bond Club Certificate Issuer Trust I
N/A
Consumer Loan Underlying Bond Club Certificate Issuer Trust I, Series 2020-7, Class PT
21056VAA8
2653524.58000000
PA
USD
2630233.00000000
0.049836865438
Long
ABS-O
CORP
US
N
2
2045-04-17
Variable
16.99255800
N
N
N
N
N
N
N/A
N/A
CDS
N/A
1936000.00000000
PA
98541.45000000
0.001867133818
N/A
DCR
GB
N
2
MORGAN STANLEY INTL PLC
4PQUHN3JPFGFNF3BB653
Air France-KLM
Air France-KLM
Y
Payout of notional amount upon default event with regard to the reference instrument
2025-12-20
0.00000000
USD
5114.86000000
USD
1936000.00000000
EUR
98541.45000000
N
N
N
N/A
N/A
CES
N/A
2550000.00000000
PA
-191602.55000000
-0.00363042760
N/A
DFE
US
N
2
CITIBANK NA
E57ODZWZ7FF32TWEFA76
2830500.00000000
USD
2550000.00000000
EUR
2021-09-17
-191602.55000000
N
N
N
Voya CLO Ltd.
549300ITL5IR423IJ183
Voya CLO Ltd., Series 2014-1A, Class BR2
92915PAP0
1000000.00000000
PA
USD
989724.26000000
0.018752998219
Long
ABS-CBDO
CORP
KY
N
2
2031-04-18
Floating
2.03388120
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC Gold Pools, 30 Year
31296QKC3
8675.96000000
PA
USD
9956.98000000
0.000188661868
Long
ABS-MBS
USGSE
US
N
2
2033-11-01
Fixed
6.00000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, 15 Year
31414GD22
23876.89000000
PA
USD
24387.41000000
0.000462085324
Long
ABS-MBS
USGSE
US
N
2
2022-12-01
Fixed
5.50000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, 30 Year
31390QN35
15585.95000000
PA
USD
17525.63000000
0.000332070377
Long
ABS-MBS
USGSE
US
N
2
2032-07-01
Fixed
6.50000000
N
N
N
N
N
N
Anthem, Inc.
8MYN82XMYQH89CTMTH67
Anthem, Inc.
94973VBB2
3100000.00000000
PA
USD
3961696.00000000
0.075065026733
Long
DBT
CORP
US
N
2
2043-01-15
Fixed
4.65000000
N
N
N
N
N
N
GNMA
549300M8ZYFG0OCMTT87
GNMA II, 30 Year
36179VVX5
0.01000000
PA
USD
0.01000000
0.000000000189
Long
ABS-MBS
USGA
US
N
2
2050-10-20
Fixed
2.00000000
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC Gold Pools, 30 Year
3128L04F6
185366.40000000
PA
USD
216273.46000000
0.004097884607
Long
ABS-MBS
USGSE
US
N
2
2037-12-01
Fixed
5.50000000
N
N
N
N
N
N
Dryden 55 CLO Ltd.
N/A
Dryden 55 CLO Ltd., Series 2018-55A, Class D
26245MAL5
2000000.00000000
PA
USD
1980000.00000000
0.037516445717
Long
ABS-CBDO
CORP
KY
N
2
2031-04-15
Floating
2.97613080
N
N
N
N
N
N
Virginia Electric & Power Co.
CQKUMNNZVDJLRYV2PT43
Virginia Electric & Power Co.
927804FE9
520000.00000000
PA
USD
770111.12000000
0.014591834358
Long
DBT
CORP
US
N
2
2037-11-30
Fixed
6.35000000
N
N
N
N
N
N
GNMA
549300M8ZYFG0OCMTT87
GNMA II, 30 Year
36179WDR6
2455097.88000000
PA
USD
2557078.15000000
0.048450749297
Long
ABS-MBS
USGA
US
N
2
2051-04-20
Fixed
2.50000000
N
N
N
N
N
N
Harsco Corp.
KAO98FK89NPNNPQGUZ43
Harsco Corp.
415864AM9
800000.00000000
PA
USD
832752.00000000
0.015778734951
Long
DBT
CORP
US
N
2
2027-07-31
Fixed
5.75000000
N
N
N
N
N
N
Centene Corp.
549300Z7JJ4TQSQGT333
Centene Corp.
15135BAW1
12300000.00000000
PA
USD
12800118.00000000
0.242532793999
Long
DBT
CORP
US
N
2
2030-10-15
Fixed
3.00000000
N
N
N
N
N
N
Verizon Communications, Inc.
2S72QS2UO2OESLG6Y829
Verizon Communications, Inc.
92343VGJ7
7500000.00000000
PA
USD
7804145.48000000
0.147870606196
Long
DBT
CORP
US
N
2
2031-03-21
Fixed
2.55000000
N
N
N
N
N
N
Five Point Operating Co. LP / Five Point Capital Corp.
N/A
Five Point Operating Co. LP / Five Point Capital Corp.
33834YAA6
600000.00000000
PA
USD
629292.00000000
0.011923635938
Long
DBT
CORP
US
N
2
2025-11-15
Fixed
7.87500000
N
N
N
N
N
N
GNMA
549300M8ZYFG0OCMTT87
GNMA II, 30 Year
36202DM40
1935.13000000
PA
USD
2196.20000000
0.000041612938
Long
ABS-MBS
USGA
US
N
2
2031-05-20
Fixed
6.00000000
N
N
N
N
N
N
N/A
N/A
CDS
N/A
5200000.00000000
PA
USD
131872.19000000
0.002498674675
N/A
DCR
GB
N
2
GOLDMAN SACHS INTL
784F5XWPLTWKTBV3E584
American Airlines Group, Inc.
American Airlines Group, Inc.
Y
Payout of notional amount upon default event with regard to the reference instrument
2022-06-20
0.00000000
USD
43239.13000000
USD
5200000.00000000
USD
131872.19000000
N
N
N
Providence St Joseph Health Obligated Group
N/A
Providence St Joseph Health Obligated Group, Series H
743756AB4
8875000.00000000
PA
USD
9549445.51000000
0.180940027325
Long
DBT
CORP
US
N
2
2026-10-01
Fixed
2.74600000
N
N
N
N
N
N
FHLMC Structured Agency Credit Risk Debt Notes
S6XOOCT0IEG5ABCC6L87
FHLMC Structured Agency Credit Risk Debt Notes, Series 2016-DNA4, Class M3
3137G0LJ6
8869073.80100000
PA
USD
9192021.61000000
0.174167666546
Long
ABS-MBS
CORP
US
N
2
2029-03-25
Floating
3.88924920
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, Series 2017-C02, Class 2M2
30711XGP3
7854152.76000000
PA
USD
8117100.37000000
0.153800381520
Long
ABS-MBS
CORP
US
N
2
2029-09-25
Floating
3.73925160
N
N
N
N
N
N
Octagon Investment Partners 33 Ltd.
549300IDWDG12HO3TO90
Octagon Investment Partners 33 Ltd., Series 2017-1A, Class C
675711AG0
2800000.00000000
PA
USD
2781137.23000000
0.052696153495
Long
ABS-CBDO
CORP
KY
N
2
2031-01-20
Floating
2.88425160
N
N
N
N
N
N
FHLMC Structured Agency Credit Risk Debt Notes
S6XOOCT0IEG5ABCC6L87
FHLMC Structured Agency Credit Risk Debt Notes, Series 2017-HQA3, Class M2
3137G0RL5
7085852.63400000
PA
USD
7259090.39000000
0.137543065945
Long
ABS-MBS
CORP
US
N
2
2030-04-25
Floating
2.43924840
N
N
N
N
N
N
Delta Air Lines, Inc. / SkyMiles IP Ltd.
N/A
Delta Air Lines, Inc. / SkyMiles IP Ltd.
830867AA5
10500000.00000000
PA
USD
11293519.97000000
0.213986226721
Long
DBT
CORP
US
N
2
2025-10-20
Fixed
4.50000000
N
N
N
N
N
N
FHLMC Structured Agency Credit Risk Debt Notes
S6XOOCT0IEG5ABCC6L87
FHLMC Structured Agency Credit Risk Debt Notes, Series 2017-HQA2, Class M2
3137G0PU7
7046787.60000000
PA
USD
7166664.73000000
0.135791812280
Long
ABS-MBS
CORP
US
N
2
2029-12-25
Floating
2.73925080
N
N
N
N
N
N
GNMA
549300M8ZYFG0OCMTT87
GNMA II, 30 Year
36179WBX5
2499950.82000000
PA
USD
2562847.98000000
0.048560074304
Long
ABS-MBS
USGA
US
N
2
2051-03-20
Fixed
2.00000000
N
N
N
N
N
N
Liberty Mutual Group, Inc.
QUR0DG15Z6FFGYCHH861
Liberty Mutual Group, Inc.
53079EBG8
12000000.00000000
PA
USD
14169307.08000000
0.268475777735
Long
DBT
CORP
US
N
2
2029-02-01
Fixed
4.56900000
N
N
N
N
N
N
Burnham Park CLO Ltd.
549300BOEG5O4MSO7220
Burnham Park CLO Ltd., Series 2016-1A, Class BR
12232KAJ9
1488189.00000000
PA
USD
1484083.09000000
0.028119960952
Long
ABS-CBDO
CORP
KY
N
2
2029-10-20
Floating
1.63424880
N
N
N
N
N
N
Sinclair Television Group, Inc.
N/A
Sinclair Television Group, Inc., Term Loan B
829229AQ6
0.02000000
PA
USD
0.02000000
0.000000000378
Long
LON
CORP
US
N
2
2024-01-03
Variable
2.35000000
N
N
N
N
N
N
Republic of Panama
549300SHS4T08CL0LP14
Republic of Panama
698299BJ2
5700000.00000000
PA
USD
6179940.00000000
0.117095648255
Long
DBT
NUSS
PA
N
2
2026-04-17
Fixed
3.75000000
N
N
N
N
N
N
EnLink Midstream LLC
54930000GY1H533OBE23
EnLink Midstream LLC
29336TAA8
400000.00000000
PA
USD
416604.00000000
0.007893687551
Long
DBT
CORP
US
N
2
2029-06-01
Fixed
5.37500000
N
N
N
N
N
N
United States of America
254900HROIFWPRGM1V77
U.S. Treasury Notes
91282CAX9
50000000.00000000
PA
USD
50015625.00000000
0.947681050666
Long
DBT
UST
US
N
2
2022-11-30
Fixed
0.12500000
N
N
N
N
N
N
Madison Park Funding XIII Ltd.
N/A
Madison Park Funding XIII Ltd., Series 2014-13A, Class DR2
55818MBG1
1973000.00000000
PA
USD
1955736.25000000
0.037056703464
Long
ABS-CBDO
CORP
KY
N
2
2030-04-19
Floating
2.98388160
N
N
N
N
N
N
Ahern Rentals, Inc.
N/A
Ahern Rentals, Inc.
008674AH6
400000.00000000
PA
USD
363816.00000000
0.006893476371
Long
DBT
CORP
US
N
2
2023-05-15
Fixed
7.37500000
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC Gold Pools, 30 Year
31298P7A2
2830.27000000
PA
USD
3185.12000000
0.000060350697
Long
ABS-MBS
USGSE
US
N
2
2031-06-01
Fixed
6.50000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, 30 Year
31390UUE4
2920.56000000
PA
USD
3284.14000000
0.000062226899
Long
ABS-MBS
USGSE
US
N
2
2032-08-01
Fixed
6.50000000
N
N
N
N
N
N
LCM 26 Ltd.
N/A
LCM 26 Ltd., Series 26A, Class C
50200FAG4
9600000.00000000
PA
USD
9560216.54000000
0.181144113569
Long
ABS-CBDO
CORP
KY
N
2
2031-01-20
Floating
1.93425120
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA
31412DNF1
36967.20000000
PA
USD
37126.80000000
0.000703467463
Long
ABS-MBS
USGSE
US
N
2
2037-03-01
Variable
1.72000080
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, 30 Year
3140XA5R9
1580983.88000000
PA
USD
1665028.10000000
0.031548452692
Long
ABS-MBS
USGSE
US
N
2
2051-05-01
Fixed
2.50000000
N
N
N
N
N
N
Endo Luxembourg Finance Co. I SARL / Endo US, Inc.
N/A
Endo Luxembourg Finance Co. I SARL / Endo US, Inc.
29280BAA3
4000000.00000000
PA
USD
3980980.00000000
0.075430414177
Long
DBT
CORP
LU
N
2
2029-04-01
Fixed
6.12500000
N
N
N
N
N
N
Weatherford International Ltd.
549300A2JKMG5PGOGF82
Weatherford International Ltd.
947075AP2
1032000.00000000
PA
USD
1069838.28000000
0.020270974625
Long
DBT
CORP
BM
N
2
2024-12-01
Fixed
11.00000000
N
N
N
N
N
N
Massachusetts School Building Authority
N/A
Massachusetts School Building Authority
576000XQ1
6760000.00000000
PA
USD
7351247.85000000
0.139289237837
Long
DBT
MUN
US
N
2
2040-10-15
Fixed
3.39500000
N
N
N
N
N
N
CWABS Asset-Backed Certificates Trust
N/A
CWABS Asset-Backed Certificates Trust, Series 2004-1, Class M1
126671Z25
245348.55000000
PA
USD
244906.70000000
0.004640418644
Long
ABS-O
CORP
US
N
2
2034-03-25
Floating
0.83925000
N
N
N
N
N
N
Republic of Colombia
549300MHDRBVRF6B9117
Republic of Colombia
195325CU7
8800000.00000000
PA
USD
9233224.00000000
0.174948357065
Long
DBT
NUSS
CO
N
2
2045-06-15
Fixed
5.00000000
N
N
N
N
N
N
Charter Communications Operating LLC / Charter Communications Operating Capital
N/A
Charter Communications Operating LLC / Charter Communications Operating Capital
161175BU7
18200000.00000000
PA
USD
18894679.08000000
0.358010708104
Long
DBT
CORP
US
N
2
2031-04-01
Fixed
2.80000000
N
N
N
N
N
N
Ares European CLO VIII DAC
635400YZA9JLL9KZ2M47
Ares European CLO VIII DAC, Series 8A, Class BR
N/A
2900000.00000000
PA
3417908.15000000
0.064761497765
Long
ABS-CBDO
CORP
IE
N
2
2032-04-17
Floating
1.59999840
N
N
N
N
N
N
T-Mobile USA, Inc.
549300V2JRLO5DIFGE82
T-Mobile USA, Inc.
87264ABN4
5700000.00000000
PA
USD
5820127.50000000
0.110278029000
Long
DBT
CORP
US
N
2
2051-02-15
Fixed
3.30000000
N
N
N
N
N
N
Ashton Woods USA LLC / Ashton Woods Finance Co.
N/A
Ashton Woods USA LLC / Ashton Woods Finance Co.
045086AM7
3000000.00000000
PA
USD
3012060.00000000
0.057071608831
Long
DBT
CORP
US
N
2
2029-08-01
Fixed
4.62500000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, 30 Year
31412BW24
115615.52000000
PA
USD
131342.94000000
0.002488646605
Long
ABS-MBS
USGSE
US
N
2
2037-02-01
Fixed
5.50000000
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC Gold Pools, 30 Year
3128M7NJ1
20071.79000000
PA
USD
22928.64000000
0.000434444988
Long
ABS-MBS
USGSE
US
N
2
2039-03-01
Fixed
6.50000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, 30 Year
31384WKZ2
3659.10000000
PA
USD
4119.12000000
0.000078047849
Long
ABS-MBS
USGSE
US
N
2
2031-05-01
Fixed
6.50000000
N
N
N
N
N
N
United States of America
254900HROIFWPRGM1V77
U.S. Treasury Bonds
912810SJ8
39000000.00000000
PA
USD
41946328.32000000
0.794786439115
Long
DBT
UST
US
N
2
2049-08-15
Fixed
2.25000000
N
N
N
N
N
N
Dynasty Acquisition Co., Inc.
N/A
Dynasty Acquisition Co., Inc., Term Loan B1
26812CAE6
5151767.27000000
PA
USD
4990774.54000000
0.094563698038
Long
LON
CORP
US
N
2
2026-04-06
Variable
3.64725000
N
N
N
N
N
N
N/A
N/A
CDS
N/A
4725000.00000000
PA
USD
-341842.31000000
-0.00647712548
N/A
DCR
US
N
2
CITIBANK NA
E57ODZWZ7FF32TWEFA76
Nabors Industries, Inc.
Nabors Industries, Inc.
Y
Payout of notional amount upon default event with regard to the reference instrument
2023-12-20
0.00000000
USD
318401.16000000
USD
4725000.00000000
USD
-341842.31000000
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC Gold Pools, 30 Year
3128MJF96
147606.89000000
PA
USD
168253.36000000
0.003188014165
Long
ABS-MBS
USGSE
US
N
2
2037-04-01
Fixed
5.00000000
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC Gold Pools, 30 Year
31296RH68
4834.07000000
PA
USD
5440.25000000
0.000103080224
Long
ABS-MBS
USGSE
US
N
2
2033-12-01
Fixed
6.00000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, 30 Year
31407YDC0
212577.07000000
PA
USD
239274.25000000
0.004533696672
Long
ABS-MBS
USGSE
US
N
2
2035-11-01
Fixed
5.50000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA
31385NVP1
4902.23000000
PA
USD
4908.81000000
0.000093010658
Long
ABS-MBS
USGSE
US
N
2
2025-05-01
Variable
2.99800080
N
N
N
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
191376.47000000
0.003626143913
N/A
DFE
N/A
N
2
JP Morgan Chase Bank
7H6GLXDRUGQFU57RNE97
12750842.47000000
USD
84000000.00000000
CNY
2021-09-17
191376.47000000
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
170738.69000000
0.003235105452
N/A
DFE
N/A
N
2
JP Morgan Chase Bank
7H6GLXDRUGQFU57RNE97
16300000.00000000
CAD
13233258.51000000
USD
2021-12-16
170738.69000000
N
N
N
DBCG Mortgage Trust
N/A
DBCG Mortgage Trust, Series 2017-BBG, Class A
233062AA6
9840000.00000000
PA
USD
9859790.21000000
0.186820345553
Long
ABS-MBS
CORP
US
N
2
2034-06-15
Floating
0.79313040
N
N
N
N
N
N
United States of America
254900HROIFWPRGM1V77
U.S. Treasury Bonds
912810RS9
9000000.00000000
PA
USD
10100390.58000000
0.191379169149
Long
DBT
UST
US
N
2
2046-05-15
Fixed
2.50000000
N
N
N
N
N
N
GNMA
549300M8ZYFG0OCMTT87
GNMA I, 30 Year
36224RL69
138.74000000
PA
USD
139.25000000
0.000002638467
Long
ABS-MBS
USGA
US
N
2
2023-05-15
Fixed
7.50000000
N
N
N
N
N
N
GNMA
549300M8ZYFG0OCMTT87
GNMA I, 30 Year
36206ANH2
27.06000000
PA
USD
27.18000000
0.000000514998
Long
ABS-MBS
USGA
US
N
2
2025-09-15
Fixed
9.00000000
N
N
N
N
N
N
Crestwood Midstream Partners LP / Crestwood Midstream Finance Corp.
N/A
Crestwood Midstream Partners LP / Crestwood Midstream Finance Corp.
226373AR9
4000000.00000000
PA
USD
4165500.00000000
0.078926643754
Long
DBT
CORP
US
N
2
2029-02-01
Fixed
6.00000000
N
N
N
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
5506.58000000
0.000104337025
N/A
DFE
N/A
N
2
JP Morgan Chase Bank
7H6GLXDRUGQFU57RNE97
12630194.82000000
USD
14600000000.00000000
KRW
2022-01-19
5506.58000000
N
N
N
Wynn Macau Ltd.
254900NMDQ8ENTHU1I31
Wynn Macau Ltd.
98313RAH9
1500000.00000000
PA
USD
1539600.00000000
0.029171878700
Long
DBT
CORP
KY
N
2
2028-08-26
Fixed
5.62500000
N
N
N
N
N
N
Colbun SA
5493003VQJLE2QB8IF36
Colbun SA
192714AD5
4400000.00000000
PA
USD
4594634.00000000
0.087057745985
Long
DBT
CORP
CL
N
2
2030-03-06
Fixed
3.15000000
N
N
N
N
N
N
N/A
N/A
U.S. Treasury 10 Year Notes
N/A
-1196.00000000
NC
USD
-963741.49000000
-0.01826068449
N/A
DIR
US
N
1
CME Clearing House
LCZ7XYGSLJUHFXXNXD88
Short
United States of America
U.S. Treasury 10 Year Notes
2021-09-21
-160805937.50000000
USD
-963741.49000000
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA
31376JNW5
25563.73000000
PA
USD
25765.73000000
0.000488201318
Long
ABS-MBS
USGSE
US
N
2
2036-10-01
Variable
2.32400160
N
N
N
N
N
N
Vodafone Group plc
213800TB53ELEUKM7Q61
Vodafone Group plc
92857WAQ3
16000000.00000000
PA
USD
22440154.56000000
0.425189313350
Long
DBT
CORP
GB
N
2
2037-02-27
Fixed
6.15000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, Series 2014-C04, Class 1M2
30711XAP9
10304045.22900000
PA
USD
10659400.84000000
0.201971127773
Long
ABS-MBS
CORP
US
N
2
2024-11-25
Floating
4.98925080
N
N
N
N
N
N
Madison Park Funding XXII Ltd.
254900YXXBTCF4NGD347
Madison Park Funding XXII Ltd., Series 2016-22A, Class CR
55819XBE1
7790000.00000000
PA
USD
7791947.50000000
0.147639482532
Long
ABS-CBDO
CORP
KY
N
2
2033-01-15
Floating
2.12613120
N
N
N
N
N
N
GNMA
549300M8ZYFG0OCMTT87
GNMA I, 30 Year
36223TDH1
180.64000000
PA
USD
181.16000000
0.000003432565
Long
ABS-MBS
USGA
US
N
2
2022-04-15
Fixed
7.50000000
N
N
N
N
N
N
GNMA
549300M8ZYFG0OCMTT87
GNMA I, 30 Year
36206B2C4
1284.61000000
PA
USD
1384.12000000
0.000026225890
Long
ABS-MBS
USGA
US
N
2
2025-11-15
Fixed
7.50000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, 30 Year
31390UA97
4037.90000000
PA
USD
4603.17000000
0.000087219483
Long
ABS-MBS
USGSE
US
N
2
2032-08-01
Fixed
6.50000000
N
N
N
N
N
N
United States of America
254900HROIFWPRGM1V77
U.S. Treasury Notes
912828ZC7
50000000.00000000
PA
USD
51169922.00000000
0.969552323768
Long
DBT
UST
US
N
2
2025-02-28
Fixed
1.12500000
N
N
N
N
N
N
Organon & Co. / Organon Foreign Debt Co-Issuer BV
N/A
Organon & Co. / Organon Foreign Debt Co-Issuer BV
68622TAA9
2500000.00000000
PA
USD
2566787.50000000
0.048634719147
Long
DBT
CORP
US
N
2
2028-04-30
Fixed
4.12500000
N
N
N
N
N
N
K2016470219 South Africa Ltd.
378900DECAC8CFA88345
K2016470219 South Africa Ltd., Class B
N/A
2862311.00000000
NS
0.00000000
0.000000
Long
EC
CORP
ZA
Y
3
N
N
N
CIM Trust
N/A
CIM Trust, Series 2019-INV2, Class A3
12554TAC5
5274639.37000000
PA
USD
5379608.91000000
0.101931214975
Long
ABS-MBS
CORP
US
N
2
2049-05-25
Variable
3.99999960
N
N
N
N
N
N
GNMA
549300M8ZYFG0OCMTT87
GNMA I, 30 Year
36225AWL0
1280.91000000
PA
USD
1450.94000000
0.000027491975
Long
ABS-MBS
USGA
US
N
2
2027-10-15
Fixed
7.00000000
N
N
N
N
N
N
Banco Santander SA
5493006QMFDDMYWIAM13
Banco Santander SA
05971KAG4
3600000.00000000
PA
USD
3635930.05000000
0.068892511288
Long
DBT
CORP
ES
N
2
2030-12-03
Fixed
2.74900000
N
N
N
N
N
N
Long Point Park CLO Ltd.
549300639DPKTBUSCC77
Long Point Park CLO Ltd., Series 2017-1A, Class B
542798AG8
2700000.00000000
PA
USD
2686795.91000000
0.050908602480
Long
ABS-CBDO
CORP
KY
N
2
2030-01-17
Floating
1.83387960
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, 30 Year
3140JAF37
44093185.57000000
PA
USD
46746590.02000000
0.885740357042
Long
ABS-MBS
USGSE
US
N
2
2048-11-01
Fixed
3.00000000
N
N
N
N
N
N
United States of America
254900HROIFWPRGM1V77
U.S. Treasury Notes
91282CBG5
75000000.00000000
PA
USD
75000000.00000000
1.421077489284
Long
DBT
UST
US
N
2
2023-01-31
Fixed
0.12500000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, Series 2015-C01, Class 1M2
30711XAT1
1214643.05100000
PA
USD
1244494.36000000
0.023580305607
Long
ABS-MBS
CORP
US
N
2
2025-02-25
Floating
4.38924960
N
N
N
N
N
N
GNMA
549300M8ZYFG0OCMTT87
GNMA I, 30 Year
36208NZC0
3379.85000000
PA
USD
3497.91000000
0.000066277348
Long
ABS-MBS
USGA
US
N
2
2028-04-15
Fixed
7.00000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, 30 Year
31411BGL1
18548.77000000
PA
USD
21224.49000000
0.000402155266
Long
ABS-MBS
USGSE
US
N
2
2036-12-01
Fixed
5.50000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, 30 Year
31407YAR0
398946.24000000
PA
USD
462355.38000000
0.008760570967
Long
ABS-MBS
USGSE
US
N
2
2035-11-01
Fixed
5.50000000
N
N
N
N
N
N
Port Authority of New York & New Jersey
54930006MR4KZ4W74Z83
Port Authority of New York & New Jersey
73358WXQ2
5000000.00000000
PA
USD
7151555.00000000
0.135505517651
Long
DBT
MUN
US
N
2
2065-10-15
Fixed
4.81000000
N
N
N
N
N
N
United Airlines, Inc.
K1OQBWM7XEOO08LDNP29
United Airlines, Inc.
90932LAG2
2200000.00000000
PA
USD
2266286.00000000
0.042940906918
Long
DBT
CORP
US
N
2
2026-04-15
Fixed
4.37500000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA
31378RVH9
4074.12000000
PA
USD
4080.36000000
0.000077313436
Long
ABS-MBS
USGSE
US
N
2
2024-12-01
Variable
2.62000080
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC Gold Pools, 30 Year
3128L3WM4
67697.21000000
PA
USD
74176.77000000
0.001405479174
Long
ABS-MBS
USGSE
US
N
2
2038-01-01
Fixed
5.00000000
N
N
N
N
N
N
United States of America
254900HROIFWPRGM1V77
U.S. Treasury Bonds
912810SD1
17000000.00000000
PA
USD
21014921.96000000
0.398184433818
Long
DBT
UST
US
N
2
2048-08-15
Fixed
3.00000000
N
N
N
N
N
N
WESCO Distribution, Inc.
549300I2CEZJG9N4AH67
WESCO Distribution, Inc.
95081QAN4
1100000.00000000
PA
USD
1183869.50000000
0.022431603956
Long
DBT
CORP
US
N
2
2025-06-15
Fixed
7.12500000
N
N
N
N
N
N
New York State Dormitory Authority
549300C8XO7EXTX2XU71
New York State Dormitory Authority
64990GWW8
3605000.00000000
PA
USD
3823299.33000000
0.072442728168
Long
DBT
MUN
US
N
2
2043-07-01
Fixed
3.14200000
N
N
N
N
N
N
BlueMountain CLO Ltd.
549300EYIDIF4X8MHI21
BlueMountain CLO Ltd., Series 2016-3A, Class CR
09628VAS3
500000.00000000
PA
USD
501265.96000000
0.009497836958
Long
ABS-CBDO
CORP
KY
N
2
2030-11-15
Floating
2.35587960
N
N
N
N
N
N
BlueMountain Fuji US CLO III Ltd.
549300EY8WEC9D18YD37
BlueMountain Fuji US CLO III Ltd., Series 2017-3A, Class C
09628FAG4
2300000.00000000
PA
USD
2283564.43000000
0.043268293424
Long
ABS-CBDO
CORP
KY
N
2
2030-01-15
Floating
1.82612880
N
N
N
N
N
N
Alibaba Group Holding Ltd.
5493001NTNQJDH60PM02
Alibaba Group Holding Ltd.
01609WAX0
7400000.00000000
PA
USD
7327841.86000000
0.138845748163
Long
DBT
CORP
KY
N
2
2031-02-09
Fixed
2.12500000
N
N
N
N
N
N
Riviera Resources, Inc.
N/A
Riviera Resources, Inc.
76964R104
12605.00000000
NS
USD
3255.87000000
0.000061691247
Long
EC
CORP
US
N
3
N
N
N
N/A
N/A
CDS
N/A
7800000.00000000
PA
USD
603888.82000000
0.011442304108
N/A
DCR
GB
N
2
BARCLAYS BANK PLC
G5GSEF7VJP5I7OUK5573
Royal Caribbean Cruises Ltd.
Royal Caribbean Cruises Ltd.
Y
Payout of notional amount upon default event with regard to the reference instrument
2025-12-20
0.00000000
USD
203843.39000000
USD
7800000.00000000
USD
603888.82000000
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, 30 Year
31384VVZ2
3206.89000000
PA
USD
3794.91000000
0.000071904815
Long
ABS-MBS
USGSE
US
N
2
2030-04-01
Fixed
8.50000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, Series 2014-C02, Class 2M2
30711XAH7
3469825.92400000
PA
USD
3506225.79000000
0.066434913900
Long
ABS-MBS
CORP
US
N
2
2024-05-25
Floating
2.68925040
N
N
N
N
N
N
K2016470260 South Africa Ltd.
3789003E1C22310B3356
K2016470260 South Africa Ltd.
N/A
867574.61500000
PA
USD
0.00000000
0.000000
Long
DBT
CORP
ZA
N
3
2022-12-31
Fixed
25.00000000
N
N
Y
N
N
N
Burlington Northern Santa Fe LLC
N/A
Burlington Northern Santa Fe LLC
12189LAS0
1600000.00000000
PA
USD
2181907.65000000
0.041342131268
Long
DBT
CORP
US
N
2
2044-04-01
Fixed
4.90000000
N
N
N
N
N
N
Neuberger Berman CLO XVI-S Ltd.
549300UHUHCR3388B324
Neuberger Berman CLO XVI-S Ltd., Series 2017-16SA, Class DR
64131TAU8
650000.00000000
PA
USD
650028.78000000
0.012316550221
Long
ABS-CBDO
CORP
KY
N
2
2034-04-15
Floating
3.02613120
N
N
N
N
N
N
AT&T, Inc.
549300Z40J86GGSTL398
AT&T, Inc.
00206RJZ6
8000000.00000000
PA
USD
8509687.68000000
0.161239008038
Long
DBT
CORP
US
N
2
2041-06-01
Fixed
3.50000000
N
N
N
N
N
N
Party City Holdco, Inc.
549300BUAG9YASF5Q703
Party City Holdco, Inc.
702149105
0.31000000
NS
USD
2.65000000
0.000000050211
Long
EC
CORP
US
N
1
N
N
N
Duke Energy Corp.
I1BZKREC126H0VB1BL91
Duke Energy Corp.
26441CAT2
2000000.00000000
PA
USD
2203228.20000000
0.041746106650
Long
DBT
CORP
US
N
2
2046-09-01
Fixed
3.75000000
N
N
N
N
N
N
N/A
N/A
CDIT
N/A
8300000.00000000
PA
USD
7888.47000000
0.000149468361
N/A
DCR
US
N
2
MORGAN STANLEY CAPITAL
I7331LVCZKQKX5T7XV54
MS 693108 Dec 2021
MS 693108 Dec 2021
Y
Payout of notional amount upon default event with regard to the reference instrument
2021-12-20
0.00000000
USD
0.00000000
USD
8300000.00000000
USD
7888.47000000
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC Gold Pools, 30 Year
31292HAX2
10552.32000000
PA
USD
12041.42000000
0.000228157212
Long
ABS-MBS
USGSE
US
N
2
2030-02-01
Fixed
8.00000000
N
N
N
N
N
N
SK Hynix, Inc.
988400XAIK6XISWQV045
SK Hynix, Inc.
78392BAC1
14800000.00000000
PA
USD
14703341.20000000
0.278594495954
Long
DBT
CORP
KR
N
2
2031-01-19
Fixed
2.37500000
N
N
N
N
N
N
United Mexican States
254900EGTWEU67VP6075
United Mexican States
91087BAF7
9500000.00000000
PA
USD
10833372.50000000
0.205267490570
Long
DBT
NUSS
MX
N
2
2029-04-22
Fixed
4.50000000
N
N
N
N
N
N
Webster Park CLO Ltd.
N/A
Webster Park CLO Ltd., Series 2015-1A, Class BR
948214AU5
2000000.00000000
PA
USD
1995073.36000000
0.037802051218
Long
ABS-CBDO
CORP
KY
N
2
2030-07-20
Floating
1.93425120
N
N
N
N
N
N
Buttermilk Park CLO Ltd.
N/A
Buttermilk Park CLO Ltd., Series 2018-1A, Class C
124166AJ8
1452380.00000000
PA
USD
1456443.71000000
0.027596258275
Long
ABS-CBDO
CORP
KY
N
2
2031-10-15
Floating
2.22612840
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, 30 Year
31385JPY8
21112.12000000
PA
USD
25441.74000000
0.000482062453
Long
ABS-MBS
USGSE
US
N
2
2032-05-01
Fixed
8.50000000
N
N
N
N
N
N
Harvest Operations Corp.
B1EEF6ML54YDWRC6ZK53
Harvest Operations Corp.
41754WAS0
3800000.00000000
PA
USD
4039938.92000000
0.076547550097
Long
DBT
CORP
CA
N
2
2023-06-01
Fixed
4.20000000
N
N
N
N
N
N
N/A
N/A
CDIT
N/A
35331905.78000000
PA
USD
2114734.57000000
0.040069355909
N/A
DCR
GB
N
2
MORGAN STANLEY INTL PLC
4PQUHN3JPFGFNF3BB653
MS 698208 Dec 2021
MS 698208 Dec 2021
Y
Payout of notional amount upon default event with regard to the reference instrument
2021-12-20
4881495.54000000
USD
0.00000000
USD
35331905.78000000
USD
2114734.57000000
N
N
N
Aker BP ASA
549300NFTY73920OYK69
Aker BP ASA
00973RAJ2
10400000.00000000
PA
USD
11581769.89000000
0.219447899689
Long
DBT
CORP
NO
N
2
2031-01-15
Fixed
4.00000000
N
N
N
N
N
N
Kraft Heinz Foods Co.
5493003STKEZ2S0RNU91
Kraft Heinz Foods Co.
50077LAD8
3100000.00000000
PA
USD
3301629.64000000
0.062558287458
Long
DBT
CORP
US
N
2
2026-06-01
Fixed
3.00000000
N
N
N
N
N
N
Duke Energy Florida LLC
7MOHLM3DKE63RX2ZCN83
Duke Energy Florida LLC
341099CL1
1300000.00000000
PA
USD
1955708.95000000
0.037056186192
Long
DBT
CORP
US
N
2
2038-06-15
Fixed
6.40000000
N
N
N
N
N
N
First Student Bidco, Inc. / First Transit Parent, Inc.
N/A
First Student Bidco, Inc. / First Transit Parent, Inc.
337120AA7
3100000.00000000
PA
USD
3107750.00000000
0.058884714230
Long
DBT
CORP
US
N
2
2029-07-31
Fixed
4.00000000
N
N
N
N
N
N
Franklin Liberty Investment Grade Corporate ETF
549300AGICP0BF7KSG70
Franklin Liberty Investment Grade Corporate ETF
35473P603
18335000.00000000
NS
USD
485144100.00000000
9.192364794253
Long
RF
US
N
1
N
N
N
N/A
N/A
CDS
N/A
7800000.00000000
PA
USD
372327.70000000
0.007054753508
N/A
DCR
US
N
2
CITIBANK NA
E57ODZWZ7FF32TWEFA76
American Airlines Group, Inc.
American Airlines Group, Inc.
Y
Payout of notional amount upon default event with regard to the reference instrument
2021-12-20
0.00000000
USD
202062.97000000
USD
7800000.00000000
USD
372327.70000000
N
N
N
TUI Cruises GmbH
529900SVD83QUUIZYY18
TUI Cruises GmbH
N/A
2100000.00000000
PA
2558637.63000000
0.048480297856
Long
DBT
CORP
DE
N
2
2026-05-15
Fixed
6.50000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA
31406AGW6
64526.28000000
PA
USD
65927.42000000
0.001249172966
Long
ABS-MBS
USGSE
US
N
2
2034-12-01
Variable
2.33100000
N
N
N
N
N
N
Commercial Mortgage Trust
N/A
Commercial Mortgage Trust, Series 2006-GG7, Class AJ
20173MAH3
1576924.86000000
PA
USD
1419626.61000000
0.026898658915
Long
ABS-MBS
CORP
US
N
2
2038-07-10
Variable
6.01241040
N
N
N
N
N
N
Carlyle Global Market Strategies CLO Ltd.
N/A
Carlyle Global Market Strategies CLO Ltd., Series 2014-1A, Class A2R2
14310MAY3
6300000.00000000
PA
USD
6258908.34000000
0.118591916659
Long
ABS-CBDO
CORP
KY
N
2
2031-04-17
Floating
1.26388080
N
N
N
N
N
N
Sanchez Energy Corp.
N/A
Sanchez Energy Corp.
799ESCAJ7
3000000.00000000
PA
USD
82500.00000000
0.001563185238
Long
DBT
CORP
US
N
2
2023-01-15
Fixed
6.12500000
Y
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC Gold Pools, 30 Year
3128M4YH0
134420.33000000
PA
USD
155845.64000000
0.002952916410
Long
ABS-MBS
USGSE
US
N
2
2037-06-01
Fixed
6.50000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, 30 Year
31386UL91
2198.11000000
PA
USD
2512.40000000
0.000047604201
Long
ABS-MBS
USGSE
US
N
2
2031-02-01
Fixed
8.50000000
N
N
N
N
N
N
GNMA
549300M8ZYFG0OCMTT87
GNMA II
36202K7A7
8266.06000000
PA
USD
8500.95000000
0.000161073449
Long
ABS-MBS
USGA
US
N
2
2026-10-20
Variable
2.12500080
N
N
N
N
N
N
Consumer Loan Underlying Bond Certificate Issuer Trust I
N/A
Consumer Loan Underlying Bond Certificate Issuer Trust I, Series 2019-S6, Class PT
21056AAA4
2120333.72000000
PA
USD
2084764.27000000
0.039501487660
Long
ABS-O
CORP
US
N
2
2044-10-17
Variable
12.46649760
N
N
N
N
N
N
City of Austin TX Electric Utility Revenue
N/A
City of Austin
052414JQ3
12790000.00000000
PA
USD
16212252.28000000
0.307184890209
Long
DBT
MUN
US
N
2
2032-11-15
Fixed
6.26200000
N
N
N
N
N
N
University of California
N/A
University of California
91412GXY6
10750000.00000000
PA
USD
13102277.38000000
0.248258019241
Long
DBT
MUN
US
N
2
2045-05-15
Fixed
4.13100000
N
N
N
N
N
N
Comcast Corp.
51M0QTTNCGUN7KFCFZ59
Comcast Corp.
20030NBH3
10000000.00000000
PA
USD
12063176.50000000
0.228569447645
Long
DBT
CORP
US
N
2
2033-01-15
Fixed
4.25000000
N
N
N
N
N
N
Teledyne FLIR LLC
5493000HDPX16EHNN346
Teledyne FLIR LLC
302445AE1
3000000.00000000
PA
USD
3094655.13000000
0.058636596564
Long
DBT
CORP
US
N
2
2030-08-01
Fixed
2.50000000
N
N
N
N
N
N
Diamondback Energy, Inc.
549300R22LSX6OHWEN64
Diamondback Energy, Inc.
25278XAH2
5500000.00000000
PA
USD
5651348.40000000
0.107080053271
Long
DBT
CORP
US
N
2
2025-05-31
Fixed
5.37500000
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC Gold Pools, 30 Year
31296JLK0
45221.99000000
PA
USD
50958.87000000
0.000965553373
Long
ABS-MBS
USGSE
US
N
2
2033-05-01
Fixed
6.00000000
N
N
N
N
N
N
Octagon Investment Partners 35 Ltd.
549300EBYXJ9QVMC7X31
Octagon Investment Partners 35 Ltd., Series 2018-1A, Class B
67591TAG5
450000.00000000
PA
USD
445901.89000000
0.008448815177
Long
ABS-CBDO
CORP
KY
N
2
2031-01-20
Floating
1.83425040
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, 15 Year
3140J9VB4
2272848.43000000
PA
USD
2405000.54000000
0.045569228388
Long
ABS-MBS
USGSE
US
N
2
2032-12-01
Fixed
3.00000000
N
N
N
N
N
N
County of Broward FL Airport System Revenue
N/A
County of Broward
114894ZW1
7145000.00000000
PA
USD
7592569.23000000
0.143861722914
Long
DBT
MUN
US
N
2
2043-10-01
Fixed
3.47700000
N
N
N
N
N
N
United States of America
254900HROIFWPRGM1V77
U.S. Treasury Bonds
912810QT8
14500000.00000000
PA
USD
17812910.12000000
0.337513674535
Long
DBT
UST
US
N
2
2041-11-15
Fixed
3.12500000
N
N
N
N
N
N
Consumer Loan Underlying Bond Certificate Issuer Trust I
N/A
Consumer Loan Underlying Bond Certificate Issuer Trust I, Series 2019-51, Class PT
21055HAA0
4154104.32000000
PA
USD
4156658.26000000
0.078759113119
Long
ABS-O
CORP
US
N
2
2045-01-15
Variable
17.22463560
N
N
N
N
N
N
Netflix, Inc.
549300Y7VHGU0I7CE873
Netflix, Inc.
64110LAV8
12800000.00000000
PA
USD
15438528.00000000
0.292524594779
Long
DBT
CORP
US
N
2
2030-06-15
Fixed
4.87500000
N
N
N
N
N
N
Arab Republic of Egypt
529900GFIVH4086NMH82
Arab Republic of Egypt
03846JX62
4500000.00000000
PA
USD
4804875.00000000
0.091041329350
Long
DBT
NUSS
EG
N
2
2050-05-29
Fixed
8.87500000
N
N
N
N
N
N
Neuberger Berman Loan Advisers CLO 27 Ltd.
549300IWMW28G8CR9G28
Neuberger Berman Loan Advisers CLO 27 Ltd., Series 2018-27A, Class C
64131WAG2
4900000.00000000
PA
USD
4885248.97000000
0.092564231210
Long
ABS-CBDO
CORP
KY
N
2
2030-01-15
Floating
1.82612880
N
N
N
N
N
N
T-Mobile USA, Inc.
549300V2JRLO5DIFGE82
T-Mobile USA, Inc.
87264ABF1
10000000.00000000
PA
USD
11325200.00000000
0.214586490421
Long
DBT
CORP
US
N
2
2030-04-15
Fixed
3.87500000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA
31385HJQ6
44887.52000000
PA
USD
45135.00000000
0.000855204433
Long
ABS-MBS
USGSE
US
N
2
2033-03-01
Variable
2.15399880
N
N
N
N
N
N
Burlington Northern Santa Fe LLC
N/A
Burlington Northern Santa Fe LLC
12189LAZ4
5000000.00000000
PA
USD
5990682.80000000
0.113509659633
Long
DBT
CORP
US
N
2
2046-08-01
Fixed
3.90000000
N
N
N
N
N
N
Hawaiian Brand Intellectual Property Ltd. / HawaiianMiles Loyalty Ltd.
N/A
Hawaiian Brand Intellectual Property Ltd. / HawaiianMiles Loyalty Ltd.
41984LAA5
12200000.00000000
PA
USD
12803778.00000000
0.242602142581
Long
DBT
CORP
KY
N
2
2026-01-20
Fixed
5.75000000
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC Gold Pools, 30 Year
31283HRL1
9863.33000000
PA
USD
11427.61000000
0.000216526924
Long
ABS-MBS
USGSE
US
N
2
2032-04-01
Fixed
7.00000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, 30 Year
31384WLN8
514.18000000
PA
USD
582.32000000
0.000011033624
Long
ABS-MBS
USGSE
US
N
2
2031-05-01
Fixed
6.50000000
N
N
N
N
N
N
CF Industries, Inc.
5FVKT86LAD2F40NPC183
CF Industries, Inc.
12527GAF0
1000000.00000000
PA
USD
1243115.00000000
0.023554169907
Long
DBT
CORP
US
N
2
2034-03-15
Fixed
5.15000000
N
N
N
N
N
N
Boeing Co. (The)
RVHJWBXLJ1RFUBSY1F30
Boeing Co. (The)
097023DG7
9500000.00000000
PA
USD
9588083.81000000
0.181672134236
Long
DBT
CORP
US
N
2
2026-02-04
Fixed
2.19600000
N
N
N
N
N
N
LCM XVIII LP
549300PYL1KC7BYM8G75
LCM XVIII LP, Series 18A, Class CR
50188GAV5
2000000.00000000
PA
USD
1981412.85000000
0.037543215974
Long
ABS-CBDO
CORP
KY
N
2
2031-04-20
Floating
1.98425160
N
N
N
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
30096.85000000
0.000570266080
N/A
DFE
N/A
N
2
JP Morgan Chase Bank
7H6GLXDRUGQFU57RNE97
3500000.00000000
EUR
4193612.50000000
USD
2021-12-14
30096.85000000
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, 30 Year
31416VS21
2030946.20000000
PA
USD
2412030.87000000
0.045702436970
Long
ABS-MBS
USGSE
US
N
2
2037-02-01
Fixed
6.00000000
N
N
N
N
N
N
Ukraine
6354001WLTJXOMEXPY07
Ukraine Government Bond
903724AP7
229000.00000000
PA
USD
239784.53000000
0.004543365304
Long
DBT
NUSS
UA
N
2
2022-09-01
Fixed
7.75000000
N
N
N
N
N
N
State of Ohio
5493005LEB5E170OMX59
State of Ohio
677561LN0
2265000.00000000
PA
USD
2521381.69000000
0.047774383487
Long
DBT
MUN
US
N
2
2042-01-01
Fixed
3.27600000
N
N
N
N
N
N
Univision Communications, Inc.
549300YQDE2JSGTL8V47
Univision Communications, Inc.
914906AV4
400000.00000000
PA
USD
401488.00000000
0.007607274120
Long
DBT
CORP
US
N
2
2029-05-01
Fixed
4.50000000
N
N
N
N
N
N
K2016470219 South Africa Ltd.
378900DECAC8CFA88345
K2016470219 South Africa Ltd.
N/A
2419519.56800000
PA
USD
0.00000000
0.000000
Long
DBT
CORP
ZA
N
3
2022-12-31
Fixed
3.00000000
N
N
Y
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC Gold Pools, 30 Year
3128M4UE1
21645.25000000
PA
USD
25750.28000000
0.000487908576
Long
ABS-MBS
USGSE
US
N
2
2037-06-01
Fixed
6.00000000
N
N
N
N
N
N
Consumer Loan Underlying Bond Certificate Issuer Trust I
N/A
Consumer Loan Underlying Bond Certificate Issuer Trust I, Series 2019-37, Class PT
21054QAA1
2780284.20000000
PA
USD
2744773.85000000
0.052007151085
Long
ABS-O
CORP
US
N
2
2044-10-17
Variable
22.44256560
N
N
N
N
N
N
Cent CLO 21 Ltd.
5493002BI0SI5QMH0P08
Cent CLO 21 Ltd., Series 2014-21A, Class CR2
15137EBJ1
3123000.00000000
PA
USD
3100818.62000000
0.058753380523
Long
ABS-CBDO
CORP
KY
N
2
2030-07-27
Floating
3.32888040
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, Series 2015-C02, Class 1M2
30711XAX2
6233963.13200000
PA
USD
6362389.01000000
0.120552637335
Long
ABS-MBS
CORP
US
N
2
2025-05-25
Floating
4.08925080
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, 30 Year
31403DJR1
42878.77000000
PA
USD
48835.05000000
0.000925311869
Long
ABS-MBS
USGSE
US
N
2
2036-06-01
Fixed
5.00000000
N
N
N
N
N
N
Coty, Inc.
549300BO9IWPF3S48F93
Coty, Inc., Term Loan B
22207EBG8
7425446.11000000
PA
USD
7153637.66000000
0.135544979268
Long
LON
CORP
US
N
2
2025-04-07
Variable
2.35213000
N
N
N
N
N
N
Armada Euro CLO IV DAC
549300DE6MWQ8YQI0O46
Armada Euro CLO IV DAC, Series 4A, Class B
N/A
5100000.00000000
PA
6062230.09000000
0.114865316210
Long
ABS-CBDO
CORP
IE
N
2
2033-07-15
Floating
1.69999920
N
N
N
N
N
N
Metropolitan Transportation Authority
5493000TKYODLXADQD60
Metropolitan Transportation Authority
59261AJ99
6715000.00000000
PA
USD
7878600.72000000
0.149281361736
Long
DBT
MUN
US
N
2
2045-11-15
Fixed
4.00000000
N
N
N
N
N
N
United States of America
254900HROIFWPRGM1V77
U.S. Treasury Bonds
912810SH2
14000000.00000000
PA
USD
16988671.84000000
0.321896254995
Long
DBT
UST
US
N
2
2049-05-15
Fixed
2.87500000
N
N
N
N
N
N
Ellington CLO III Ltd.
254900V20GCNJI0I7591
Ellington CLO III Ltd., Series 2018-3A, Class A1
28852LAA1
5123961.76000000
PA
USD
5120894.73000000
0.097029176343
Long
ABS-CBDO
CORP
US
N
2
2030-07-20
Floating
1.78425000
N
N
N
N
N
N
Republic of Turkey
5493000PCHOG3B6S3Q85
Republic of Turkey
900123CY4
10000000.00000000
PA
USD
9615750.00000000
0.182196344901
Long
DBT
NUSS
TR
N
2
2030-03-13
Fixed
5.25000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, 15 Year
3140XA7M8
2293057.58000000
PA
USD
2423844.99000000
0.045926287370
Long
ABS-MBS
USGSE
US
N
2
2035-02-01
Fixed
3.00000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, 30 Year
31411WYZ4
130585.37000000
PA
USD
151575.94000000
0.002872015416
Long
ABS-MBS
USGSE
US
N
2
2037-04-01
Fixed
5.50000000
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC Gold Pools, 30 Year
3128M4J53
58702.39000000
PA
USD
68577.34000000
0.001299382855
Long
ABS-MBS
USGSE
US
N
2
2037-02-01
Fixed
6.50000000
N
N
N
N
N
N
Petroleos Mexicanos
549300CAZKPF4HKMPX17
Petroleos Mexicanos
706451BG5
6000000.00000000
PA
USD
5807370.00000000
0.110036303719
Long
DBT
NUSS
MX
N
2
2035-06-15
Fixed
6.62500000
N
N
N
N
N
N
Republic of Belarus
635400CVCOWYLHF4ZB08
Republic of Belarus
07737JAA1
13300000.00000000
PA
USD
13093517.50000000
0.248092039663
Long
DBT
NUSS
BY
N
2
2027-06-29
Fixed
7.62500000
N
N
N
N
N
N
Tencent Holdings Ltd.
254900N4SLUMW4XUYY11
Tencent Holdings Ltd.
88032WAU0
15000000.00000000
PA
USD
15103874.25000000
0.286183675968
Long
DBT
CORP
KY
N
2
2030-06-03
Fixed
2.39000000
N
N
N
N
N
N
GNMA
549300M8ZYFG0OCMTT87
GNMA I, 30 Year
36225BNR5
11129.06000000
PA
USD
13256.35000000
0.000251177341
Long
ABS-MBS
USGA
US
N
2
2031-06-15
Fixed
7.00000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, Series 2017-C01, Class 1M2
30711XEP5
11265325.20400000
PA
USD
11674107.81000000
0.221197490883
Long
ABS-MBS
CORP
US
N
2
2029-07-25
Floating
3.63925080
N
N
N
N
N
N
Foothill-Eastern Transportation Corridor Agency
N/A
Foothill-Eastern Transportation Corridor Agency
345105JE1
3470000.00000000
PA
USD
3716837.76000000
0.070425526294
Long
DBT
MUN
US
N
2
2049-01-15
Fixed
4.09400000
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC
3128JRH82
804723.58000000
PA
USD
808108.83000000
0.015311803562
Long
ABS-MBS
USGSE
US
N
2
2027-11-01
Variable
1.59300000
N
Y
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC Gold Pools, 30 Year
31283HTE5
2376.49000000
PA
USD
2740.47000000
0.000051925603
Long
ABS-MBS
USGSE
US
N
2
2032-07-01
Fixed
7.00000000
N
N
N
N
N
N
N/A
N/A
U.S. Treasury 2 Year Notes
N/A
1321.00000000
NC
USD
-53212.52000000
-0.00100825485
N/A
DIR
US
N
1
CME Clearing House
LCZ7XYGSLJUHFXXNXD88
Long
United States of America
U.S. Treasury 2 Year Notes
2021-09-30
291486906.25000000
USD
-53212.52000000
N
N
N
Cenovus Energy, Inc.
549300EIRQ0Z2B9C1W06
Cenovus Energy, Inc.
15135UAF6
1500000.00000000
PA
USD
2049018.87000000
0.038824194550
Long
DBT
CORP
CA
N
2
2039-11-15
Fixed
6.75000000
N
N
N
N
N
N
Baker Hughes a GE Co. LLC / Baker Hughes Co-Obligor, Inc.
N/A
Baker Hughes a GE Co. LLC / Baker Hughes Co-Obligor, Inc.
05723KAF7
1200000.00000000
PA
USD
1386387.34000000
0.026268851204
Long
DBT
CORP
US
N
2
2047-12-15
Fixed
4.08000000
N
N
N
N
N
N
Societe Generale SA
O2RNE8IBXP4R0TD8PU41
Societe Generale SA
83368RBC5
7500000.00000000
PA
USD
7535041.28000000
0.142771700584
Long
DBT
CORP
FR
N
2
2027-06-09
Variable
1.79200000
N
N
N
N
N
N
AbbVie, Inc.
FR5LCKFTG8054YNNRU85
AbbVie, Inc.
00287YBX6
18000000.00000000
PA
USD
19781434.08000000
0.374812675691
Long
DBT
CORP
US
N
2
2029-11-21
Fixed
3.20000000
N
N
N
N
N
N
N/A
N/A
CDS
N/A
650000.00000000
PA
USD
34067.08000000
0.000645492806
N/A
DCR
GB
N
2
CREDIT SUISSE INTERNATIONAL
E58DKGMJYYYJLN8C3868
United Airlines Holdings, Inc.
United Airlines Holdings, Inc.
Y
Payout of notional amount upon default event with regard to the reference instrument
2025-12-20
0.00000000
USD
0.01000000
USD
650000.00000000
USD
34067.08000000
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, 30 Year
31404TQ55
71934.52000000
PA
USD
80351.98000000
0.001522485199
Long
ABS-MBS
USGSE
US
N
2
2034-05-01
Fixed
5.50000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, 30 Year
31411HN97
1517.78000000
PA
USD
1705.39000000
0.000032313217
Long
ABS-MBS
USGSE
US
N
2
2037-02-01
Fixed
5.50000000
N
N
N
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
-13905.57000000
-0.00026347856
N/A
DFE
N/A
N
2
JP Morgan Chase Bank
7H6GLXDRUGQFU57RNE97
2300000.00000000
EUR
2722119.00000000
USD
2021-12-14
-13905.57000000
N
N
N
HSBC Holdings plc
MLU0ZO3ML4LN2LL2TL39
HSBC Holdings plc
404280CK3
3800000.00000000
PA
USD
3850035.17000000
0.072949310840
Long
DBT
CORP
GB
N
2
2031-08-18
Variable
2.35700000
N
N
N
N
N
N
Ukraine
6354001WLTJXOMEXPY07
Ukraine Government Bond
903724AQ5
229000.00000000
PA
USD
245880.51000000
0.004658870104
Long
DBT
NUSS
UA
N
2
2023-09-01
Fixed
7.75000000
N
N
N
N
N
N
Voya CLO Ltd.
549300ITL5IR423IJ183
Voya CLO Ltd., Series 2014-1A, Class CR2
92915PAR6
3750000.00000000
PA
USD
3626955.17000000
0.068722457956
Long
ABS-CBDO
CORP
KY
N
2
2031-04-18
Floating
2.93388120
N
N
N
N
N
N
California Municipal Finance Authority
5493000UQOV6R4ZWS346
California Municipal Finance Authority
13049GAA8
9935000.00000000
PA
USD
9934691.02000000
0.188239543620
Long
DBT
MUN
US
N
2
2035-10-01
Fixed
2.51900000
N
N
N
N
N
N
United States of America
254900HROIFWPRGM1V77
U.S. Treasury Notes
912828ZW3
145000000.00000000
PA
USD
143436718.75000000
2.717795895365
Long
DBT
UST
US
N
2
2025-06-30
Fixed
0.25000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, Series 2014-C03, Class 1M2
30711XAK0
13965993.09500000
PA
USD
14082349.37000000
0.266828129145
Long
ABS-MBS
CORP
US
N
2
2024-07-25
Floating
3.08925000
N
N
N
N
N
N
Regeneron Pharmaceuticals, Inc.
549300RCBFWIRX3HYQ56
Regeneron Pharmaceuticals, Inc.
75886FAE7
1400000.00000000
PA
USD
1355125.90000000
0.025676518821
Long
DBT
CORP
US
N
2
2030-09-15
Fixed
1.75000000
N
N
N
N
N
N
TotalEnergies Capital International SA
549300U37G2I8G4RUG09
TotalEnergies Capital International SA
89153VAQ2
1800000.00000000
PA
USD
2031047.95000000
0.038483686952
Long
DBT
CORP
FR
N
2
2029-02-19
Fixed
3.45500000
N
N
N
N
N
N
Chicago Transit Authority
N/A
Chicago Transit Authority Sales & Transfer Tax Receipts
167725AC4
800000.00000000
PA
USD
1161884.32000000
0.022015035364
Long
DBT
MUN
US
N
2
2040-12-01
Fixed
6.89900000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, 30 Year
31410FFF7
99533.19000000
PA
USD
109650.24000000
0.002077619836
Long
ABS-MBS
USGSE
US
N
2
2036-08-01
Fixed
5.00000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, 30 Year
31390LWE2
5999.95000000
PA
USD
6895.55000000
0.000130654811
Long
ABS-MBS
USGSE
US
N
2
2032-07-01
Fixed
6.50000000
N
N
N
N
N
N
Ukraine
6354001WLTJXOMEXPY07
Ukraine Government Bond
903724AW2
474000.00000000
PA
USD
553629.63000000
0.010490008061
N/A
DO
NUSS
UA
N
2
N/A
N/A
2040-05-31
XXXX
366399.63000000
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, Series 2015-C02, Class 2M2
30711XAZ7
685326.62700000
PA
USD
691770.21000000
0.013107454309
Long
ABS-MBS
CORP
US
N
2
2025-05-25
Floating
4.08925080
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, 30 Year
31403AN35
20242.94000000
PA
USD
22611.30000000
0.000428432125
Long
ABS-MBS
USGSE
US
N
2
2033-10-01
Fixed
5.50000000
N
N
N
N
N
N
GNMA
549300M8ZYFG0OCMTT87
GNMA I, 30 Year
36213VMK1
6192.75000000
PA
USD
6968.93000000
0.000132045193
Long
ABS-MBS
USGA
US
N
2
2031-10-15
Fixed
6.50000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, 30 Year
31407ERW5
721892.68000000
PA
USD
836710.97000000
0.015853748326
Long
ABS-MBS
USGSE
US
N
2
2035-09-01
Fixed
5.50000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, 30 Year
31411KE74
2561.37000000
PA
USD
2868.76000000
0.000054356403
Long
ABS-MBS
USGSE
US
N
2
2037-03-01
Fixed
5.50000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, 30 Year
31412LB74
19318.83000000
PA
USD
22454.78000000
0.000425466431
Long
ABS-MBS
USGSE
US
N
2
2037-02-01
Fixed
5.50000000
N
N
N
N
N
N
Provident Funding Mortgage Trust
N/A
Provident Funding Mortgage Trust, Series 2020-1, Class A3
743874AE9
1355134.63000000
PA
USD
1358585.07000000
0.025742062136
Long
ABS-MBS
CORP
US
N
2
2050-02-25
Variable
2.99999880
N
N
N
N
N
N
Port Authority of New York & New Jersey
54930006MR4KZ4W74Z83
Port Authority of New York & New Jersey
73358WXP4
4570000.00000000
PA
USD
5219991.56000000
0.098906833335
Long
DBT
MUN
US
N
2
2045-06-01
Fixed
4.82300000
N
N
N
N
N
N
GNMA
549300M8ZYFG0OCMTT87
GNMA I, 30 Year
36295QGR5
7819.67000000
PA
USD
8828.05000000
0.000167271241
Long
ABS-MBS
USGA
US
N
2
2038-07-15
Fixed
6.50000000
N
N
N
N
N
N
GNMA
549300M8ZYFG0OCMTT87
GNMA I, 30 Year
36206JHF4
2979.81000000
PA
USD
3176.04000000
0.000060178652
Long
ABS-MBS
USGA
US
N
2
2025-12-15
Fixed
7.50000000
N
N
N
N
N
N
Consumer Loan Underlying Bond Certificate Issuer Trust I
N/A
Consumer Loan Underlying Bond Certificate Issuer Trust I, Series 2020-2, Class PT
21056TAA3
4130184.61000000
PA
USD
4144214.02000000
0.078523323394
Long
ABS-O
CORP
US
N
2
2045-03-15
Variable
17.11177200
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA
31391XH93
60001.74000000
PA
USD
60438.14000000
0.001145163736
Long
ABS-MBS
USGSE
US
N
2
2032-10-01
Variable
1.57299840
N
N
N
N
N
N
FHLMC Structured Agency Credit Risk Debt Notes
S6XOOCT0IEG5ABCC6L87
FHLMC Structured Agency Credit Risk Debt Notes, Series 2017-DNA2, Class M2
3137G0NX3
26327007.00000000
PA
USD
27303133.44000000
0.517331577580
Long
ABS-MBS
CORP
US
N
2
2029-10-25
Floating
3.53925000
N
N
N
N
N
N
Republic of Iraq
N/A
Republic of Iraq
462652AA6
13243750.00000000
PA
USD
12701087.34000000
0.240656390777
Long
DBT
NUSS
IQ
N
2
2028-01-15
Fixed
5.80000000
N
N
N
N
N
N
LCM XVIII LP
549300PYL1KC7BYM8G75
LCM XVIII LP, Series 18A, Class BR
50188GAU7
1090000.00000000
PA
USD
1084542.34000000
0.020549582740
Long
ABS-CBDO
CORP
KY
N
2
2031-04-20
Floating
1.73424960
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, 30 Year
31403FNF7
25157.80000000
PA
USD
28155.56000000
0.000533483100
Long
ABS-MBS
USGSE
US
N
2
2033-10-01
Fixed
5.50000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, 30 Year
31407NRE5
174155.76000000
PA
USD
194599.32000000
0.003687209507
Long
ABS-MBS
USGSE
US
N
2
2035-09-01
Fixed
5.50000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, 30 Year
31413DD61
24292.78000000
PA
USD
27811.61000000
0.000526966038
Long
ABS-MBS
USGSE
US
N
2
2037-07-01
Fixed
5.50000000
N
N
N
N
N
N
FHLMC Structured Agency Credit Risk Debt Notes
S6XOOCT0IEG5ABCC6L87
FHLMC Structured Agency Credit Risk Debt Notes, Series 2017-HQA1, Class M2
3137G0NE5
23557778.89700000
PA
USD
24360300.55000000
0.461571663250
Long
ABS-MBS
CORP
US
N
2
2029-08-25
Floating
3.63925080
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, 30 Year
31412XSX3
28039.91000000
PA
USD
31353.64000000
0.000594079360
Long
ABS-MBS
USGSE
US
N
2
2037-07-01
Fixed
5.50000000
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC Gold Pools, 30 Year
3128F2HB4
1007.11000000
PA
USD
1132.81000000
0.000021464143
Long
ABS-MBS
USGSE
US
N
2
2025-08-01
Fixed
6.50000000
N
N
N
N
N
N
Franklin Liberty High Yield Corporate ETF
5493002F67QK4VNO5Q54
Franklin Liberty High Yield Corporate ETF
35473P629
5830000.00000000
NS
USD
154699050.00000000
2.931191167581
Long
RF
US
N
1
N
N
Yara International ASA
213800WKOUWXWFJ5Z514
Yara International ASA
984851AG0
1700000.00000000
PA
USD
1848373.62000000
0.035022428575
Long
DBT
CORP
NO
N
2
2030-06-04
Fixed
3.14800000
N
N
N
N
N
N
United States of America
254900HROIFWPRGM1V77
U.S. Treasury Notes
91282CCF6
35000000.00000000
PA
USD
35123046.70000000
0.665500946939
Long
DBT
UST
US
N
2
2026-05-31
Fixed
0.75000000
N
N
N
N
N
N
N/A
N/A
CDS
N/A
4400000.00000000
PA
USD
-84428.86000000
-0.00159973269
N/A
DCR
US
N
2
CITIBANK NA
E57ODZWZ7FF32TWEFA76
Avon Products, Inc.
Avon Products, Inc.
Y
Receipt of notional amount upon default event with regard to the reference instrument
2023-03-20
0.00000000
USD
209057.07000000
USD
4400000.00000000
USD
-84428.86000000
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, 15 Year
3140X8AT4
2439991.26300000
PA
USD
2535950.65000000
0.048050431768
Long
ABS-MBS
USGSE
US
N
2
2035-10-01
Fixed
2.00000000
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.
03522AAH3
1800000.00000000
PA
USD
2241730.94000000
0.042475645011
Long
DBT
CORP
US
N
2
2036-02-01
Fixed
4.70000000
N
N
N
N
N
N
Upgrade, Inc.
N/A
Upgrade, Inc., Marketplace Loan
N/A
1712359.24000000
PA
USD
1533610.97000000
0.029058400357
Long
LON
CORP
US
N
3
2023-12-01
Fixed
25.52064957
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, 30 Year
31407YEJ4
211103.71000000
PA
USD
238835.91000000
0.004525391137
Long
ABS-MBS
USGSE
US
N
2
2035-11-01
Fixed
5.50000000
N
N
N
N
N
N
GNMA
549300M8ZYFG0OCMTT87
GNMA II
36202KA88
1299.08000000
PA
USD
1309.10000000
0.000024804433
Long
ABS-MBS
USGA
US
N
2
2023-01-20
Variable
2.00000160
N
N
N
N
N
N
United States of America
254900HROIFWPRGM1V77
U.S. Treasury Notes
91282CAZ4
128000000.00000000
PA
USD
126795000.32000000
2.402473609447
Long
DBT
UST
US
N
2
2025-11-30
Fixed
0.37500000
N
N
N
N
N
N
Netflix, Inc.
549300Y7VHGU0I7CE873
Netflix, Inc.
64110LAU0
3000000.00000000
PA
USD
3710505.00000000
0.070305535058
Long
DBT
CORP
US
N
2
2029-11-15
Fixed
5.37500000
N
N
N
N
N
N
WRKCo, Inc.
549300JEB576INN13W07
WRKCo, Inc.
92940PAG9
4700000.00000000
PA
USD
5039849.25000000
0.095493550914
Long
DBT
CORP
US
N
2
2033-06-15
Fixed
3.00000000
N
N
N
N
N
N
California Health Facilities Financing Authority
5493007RI8BUDOGHZ546
California Health Facilities Financing Authority
13032UVK1
6810000.00000000
PA
USD
7411167.05000000
0.140424568854
Long
DBT
MUN
US
N
2
2032-06-01
Fixed
2.93400000
N
N
N
N
N
N
Eleven Madison Mortgage Trust
N/A
Eleven Madison Mortgage Trust, Series 2015-11MD, Class A
556227AA4
3255000.00000000
PA
USD
3551887.90000000
0.067300105855
Long
ABS-MBS
CORP
US
N
2
2035-09-10
Variable
3.55479840
N
N
N
N
N
N
Genting New York LLC / GENNY Capital, Inc.
N/A
Genting New York LLC / GENNY Capital, Inc.
37255JAA0
2100000.00000000
PA
USD
2116189.89000000
0.040096930876
Long
DBT
CORP
US
N
2
2026-02-15
Fixed
3.30000000
N
N
N
N
N
N
Bank of America Corp.
9DJT3UXIJIZJI4WXO774
Bank of America Corp.
06051GJB6
6700000.00000000
PA
USD
6951400.48000000
0.131713049881
Long
DBT
CORP
US
N
2
2031-04-29
Variable
2.59200000
N
N
N
N
N
N
Upgrade Master Pass-Thru Trust
54930089533DCF1JSH22
Upgrade Master Pass-Thru Trust, Series 2019-PT2, Class A
91531XAB0
2235692.28000000
PA
USD
2258787.20000000
0.042798821906
Long
ABS-O
CORP
US
N
2
2026-02-15
Variable
13.97681280
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC Gold Pools, 30 Year
31298YYH8
69905.97000000
PA
USD
78761.07000000
0.001492341114
Long
ABS-MBS
USGSE
US
N
2
2031-11-01
Fixed
6.50000000
N
N
N
N
N
N
Madison Park Funding XLII LTD.
549300BF3YFW8EHN6F75
Madison Park Funding XLII LTD., Series 13A, Class B
04966HAE6
2700000.00000000
PA
USD
2701260.71000000
0.051182677168
Long
ABS-CBDO
CORP
KY
N
2
2030-11-21
Floating
1.63788120
N
N
N
N
N
N
Utah Transit Authority
N/A
Utah Transit Authority
917567EX3
4510000.00000000
PA
USD
4821532.31000000
0.091356947061
Long
DBT
MUN
US
N
2
2042-12-15
Fixed
3.44300000
N
N
N
N
N
N
TICP CLO VI Ltd.
254900JG2DPAYUCW8T83
TICP CLO VI Ltd., Series 2016-6A, Class AR2
87246MAS1
9200000.00000000
PA
USD
9202299.59000000
0.174362410626
Long
ABS-CBDO
CORP
KY
N
2
2034-01-15
Floating
1.24612920
N
N
N
N
N
N
Strata CLO I Ltd.
N/A
Strata CLO I Ltd., Series 2018-1A, Class B
86268HAC2
11000000.00000000
PA
USD
10981203.18000000
0.208068541924
Long
ABS-CBDO
CORP
KY
N
2
2031-01-15
Floating
2.32612920
N
N
N
N
N
N
Alibaba Group Holding Ltd.
5493001NTNQJDH60PM02
Alibaba Group Holding Ltd.
01609WAT9
14700000.00000000
PA
USD
16096265.09000000
0.304987199745
Long
DBT
CORP
KY
N
2
2027-12-06
Fixed
3.40000000
N
N
N
N
N
N
Madison Park Funding XXVII Ltd.
N/A
Madison Park Funding XXVII Ltd., Series 2018-27A, Class C
55820YAE7
2125000.00000000
PA
USD
2082615.85000000
0.039460780043
Long
ABS-CBDO
CORP
KY
N
2
2030-04-20
Floating
2.73425040
N
N
N
N
N
N
DaVita, Inc.
M2XHYMU3TZNEZURC6H66
DaVita, Inc.
23918KAS7
1900000.00000000
PA
USD
1966500.00000000
0.037260651769
Long
DBT
CORP
US
N
2
2030-06-01
Fixed
4.62500000
N
N
N
N
N
N
Ukraine
6354001WLTJXOMEXPY07
Ukraine Government Bond
903724AR3
229000.00000000
PA
USD
249159.33000000
0.004720996201
Long
DBT
NUSS
UA
N
2
2024-09-01
Fixed
7.75000000
N
N
N
N
N
N
BRAVO Residential Funding Trust
N/A
BRAVO Residential Funding Trust, Series 2019-2, Class A3
10568LAL0
7417797.59000000
PA
USD
7748114.34000000
0.146808944972
Long
ABS-MBS
CORP
US
N
2
2044-10-25
Variable
3.49999920
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, 30 Year
31379MEJ4
6553.13000000
PA
USD
7374.94000000
0.000139738149
Long
ABS-MBS
USGSE
US
N
2
2028-08-01
Fixed
6.50000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, 30 Year
31413B4V0
33630.11000000
PA
USD
39137.04000000
0.000741556887
Long
ABS-MBS
USGSE
US
N
2
2037-07-01
Fixed
5.50000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, 30 Year
31383JQK9
7743.98000000
PA
USD
8753.20000000
0.000165853006
Long
ABS-MBS
USGSE
US
N
2
2029-07-01
Fixed
6.50000000
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC Gold Pools, 30 Year
3128KVRB3
7157.16000000
PA
USD
8056.82000000
0.000152658207
Long
ABS-MBS
USGSE
US
N
2
2037-08-01
Fixed
6.50000000
N
N
N
N
N
N
Cheniere Corpus Christi Holdings LLC
549300I7CIEWU1BBLQ53
Cheniere Corpus Christi Holdings LLC
16412XAC9
1600000.00000000
PA
USD
1829687.06000000
0.034668361245
Long
DBT
CORP
US
N
2
2025-03-31
Fixed
5.87500000
N
N
N
N
N
N
Palmer Square CLO Ltd.
N/A
Palmer Square CLO Ltd., Series 2021-2A, Class A
69701XAA2
1000000.00000000
PA
USD
1000908.76000000
0.018964918768
Long
ABS-CBDO
CORP
KY
N
2
2034-07-15
Floating
1.25575920
N
N
N
N
N
N
N/A
N/A
SOP
N/A
385900000.00000000
PA
USD
2496789.36000000
0.047308415399
N/A
DIR
US
N
2
CITIBANK NA
E57ODZWZ7FF32TWEFA76
Call
Purchased
N/A
Swaption
1.00000000
0.90000000
USD
2021-09-16
XXXX
461166.86000000
N
N
N
N/A
N/A
CDS
N/A
1170000.00000000
PA
33991.41000000
0.000644059034
N/A
DCR
US
N
2
BANK OF AMERICA NA
B4TYDEB6GKMZO031MB27
Air France-KLM
Air France-KLM
Y
Payout of notional amount upon default event with regard to the reference instrument
2026-06-20
22975.41000000
USD
0.00000000
USD
1170000.00000000
EUR
33991.41000000
N
N
N
GNMA
549300M8ZYFG0OCMTT87
GNMA I, 30 Year
36204RRQ3
583.99000000
PA
USD
632.76000000
0.000011989346
Long
ABS-MBS
USGA
US
N
2
2026-02-15
Fixed
7.50000000
N
N
N
N
N
N
San Bernardino Community College District
549300Y4FPTEP3EQZ007
San Bernardino Community College District
796720PN4
19690000.00000000
PA
USD
19818049.98000000
0.375506462774
Long
DBT
MUN
US
N
2
2041-08-01
Fixed
2.68600000
N
N
N
N
N
N
Southern Co. (The)
549300FC3G3YU2FBZD92
Southern Co. (The), Series A
842587DE4
13900000.00000000
PA
USD
15662051.57000000
0.296759852295
Long
DBT
CORP
US
N
2
2030-04-30
Fixed
3.70000000
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC Gold Pools, 30 Year
3128M4YJ6
145664.10000000
PA
USD
166579.53000000
0.003156298936
Long
ABS-MBS
USGSE
US
N
2
2037-08-01
Fixed
6.50000000
N
N
N
N
N
N
Upgrade Master Pass-Thru Trust
N/A
Upgrade Master Pass-Thru Trust, Series 2019-PT1, Class A
91531XAA2
950052.70000000
PA
USD
851690.13000000
0.016137568954
Long
ABS-O
CORP
US
N
2
2025-06-15
Variable
15.56667000
N
N
N
N
N
N
Altice France SA
5493001ZMCICV4N02J21
Altice France SA
02156LAC5
3000000.00000000
PA
USD
3079095.00000000
0.058341767891
Long
DBT
CORP
FR
N
2
2028-01-15
Fixed
5.50000000
N
N
N
N
N
N
Univision Communications, Inc.
549300YQDE2JSGTL8V47
Univision Communications, Inc.
914906AS1
3000000.00000000
PA
USD
3052320.00000000
0.057834443227
Long
DBT
CORP
US
N
2
2025-02-15
Fixed
5.12500000
N
N
N
N
N
N
NCL Corp. Ltd.
UNZWILHE4KMRP9K2L524
NCL Corp. Ltd.
62886HBA8
15300000.00000000
PA
USD
15433875.00000000
0.292436431132
Long
DBT
CORP
BM
N
2
2026-03-15
Fixed
5.87500000
N
N
N
N
N
N
Martin Midstream Partners LP / Martin Midstream Finance Corp.
N/A
Martin Midstream Partners LP / Martin Midstream Finance Corp.
573334AH2
689984.00000000
PA
USD
715089.07000000
0.013549293069
Long
DBT
CORP
US
N
2
2025-02-28
Fixed
11.50000000
N
N
N
N
N
N
AMMC CLO XI Ltd.
5493004OOK6VXHQ8DQ60
AMMC CLO XI Ltd., Series 2012-11A, Class BR2
00176ABB0
5050000.00000000
PA
USD
5053151.96000000
0.095745606670
Long
ABS-CBDO
CORP
KY
N
2
2031-04-30
Floating
1.72850040
N
N
N
N
N
N
Amcor Flexibles North America, Inc.
PTVU09TE3QPJPL7K4E13
Amcor Flexibles North America, Inc.
081437AT2
2800000.00000000
PA
USD
2921624.22000000
0.055358058815
Long
DBT
CORP
US
N
2
2030-06-19
Fixed
2.63000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, Series 2015-C03, Class 2M2
30711XBD5
732265.92000000
PA
USD
741196.93000000
0.014043976964
Long
ABS-MBS
CORP
US
N
2
2025-07-25
Floating
5.08925160
N
N
N
N
N
N
Texas State University System
N/A
Texas State University System
88278PZK3
2655000.00000000
PA
USD
2866292.60000000
0.054309651887
Long
DBT
MUN
US
N
2
2033-03-15
Fixed
2.93800000
N
N
N
N
N
N
FHLMC Structured Agency Credit Risk Debt Notes
S6XOOCT0IEG5ABCC6L87
FHLMC Structured Agency Credit Risk Debt Notes, Series 2016-DNA1, Class M3
3137G0HW2
16466753.32200000
PA
USD
17255579.97000000
0.326953550132
Long
ABS-MBS
CORP
US
N
2
2028-07-25
Floating
5.63924880
N
N
N
N
N
N
Merrill Lynch Mortgage Investors Trust
N/A
Merrill Lynch Mortgage Investors Trust, Series 2003-A, Class 1A
589929F94
348926.28300000
PA
USD
349949.58000000
0.006630739606
Long
ABS-MBS
CORP
US
N
2
2028-03-25
Floating
0.82924920
N
N
N
N
N
N
BlueMountain CLO Ltd.
N/A
BlueMountain CLO Ltd., Series 2018-3A, Class C
09630AAJ5
1071430.00000000
PA
USD
1070093.53000000
0.020275811025
Long
ABS-CBDO
CORP
KY
N
2
2030-10-25
Floating
2.32525080
N
N
N
N
N
N
Invesco Senior Loan ETF
549300SIHU6DQELRNG59
Invesco Senior Loan ETF
46138G508
3570000.00000000
NS
USD
78647100.00000000
1.490181645433
Long
RF
US
N
1
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, 30 Year
31404WVM5
21768.73000000
PA
USD
24361.97000000
0.000461603295
Long
ABS-MBS
USGSE
US
N
2
2034-05-01
Fixed
5.50000000
N
N
N
N
N
N
California Health Facilities Financing Authority
5493007RI8BUDOGHZ546
California Health Facilities Financing Authority
13032UVM7
4445000.00000000
PA
USD
4818952.07000000
0.091308057448
Long
DBT
MUN
US
N
2
2034-06-01
Fixed
3.03400000
N
N
N
N
N
N
InterGen NV
549300E3XRGX2JMPEC79
InterGen NV
45867XAG9
3300000.00000000
PA
USD
3279094.50000000
0.062131298389
Long
DBT
CORP
NL
N
2
2023-06-30
Fixed
7.00000000
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC Gold Pools, 15 Year
3128PJAW7
15126.84000000
PA
USD
15234.21000000
0.000288653238
Long
ABS-MBS
USGSE
US
N
2
2022-11-01
Fixed
5.50000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, 30 Year
31402RDF3
100238.50000000
PA
USD
116204.68000000
0.002201811398
Long
ABS-MBS
USGSE
US
N
2
2035-04-01
Fixed
6.00000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, REMIC, Series 2005-122, Class FN
31394VEX4
380187.78000000
PA
USD
368045.80000000
0.006973621352
Long
ABS-MBS
USGSE
US
N
2
2036-01-25
Floating
0.43925040
N
N
N
N
N
N
Metropolitan Life Global Funding I
635400MMSOCXNNNZDZ82
Metropolitan Life Global Funding I
59217GEG0
8200000.00000000
PA
USD
8913159.00000000
0.168883861510
Long
DBT
CORP
US
N
2
2030-04-09
Fixed
2.95000000
N
N
N
N
N
N
Hercules Achievement, Inc. / Varsity Brands Holding Co., Inc.
549300YOKDS0ZSYJRX81
Hercules Achievement, Inc. / Varsity Brands Holding Co., Inc., First Lien Term Loan
42703UAG0
7570931.26000000
PA
USD
7383777.84000000
0.139905606323
Long
LON
CORP
US
N
2
2024-12-16
Variable
4.50000000
N
N
N
N
N
N
Studio City Finance Ltd.
254900D6R731QAUIG324
Studio City Finance Ltd.
86389QAG7
13000000.00000000
PA
USD
12826580.00000000
0.243034188033
Long
DBT
CORP
VG
N
2
2029-01-15
Fixed
5.00000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA
31385HJ45
46483.84000000
PA
USD
46712.67000000
0.000885097650
Long
ABS-MBS
USGSE
US
N
2
2033-06-01
Variable
2.03799960
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC Gold Pools, 30 Year
31283HSW6
9492.40000000
PA
USD
10775.82000000
0.000204177003
Long
ABS-MBS
USGSE
US
N
2
2032-07-01
Fixed
6.50000000
N
N
N
N
N
N
Republic of Indonesia
529900FWX0GRR7WG5W79
Republic of Indonesia
455780BX3
9100000.00000000
PA
USD
10344688.26000000
0.196008048265
Long
DBT
NUSS
ID
N
2
2027-01-08
Fixed
4.35000000
N
N
N
N
N
N
Diamond Sports Group LLC
5493002K6DHWNZH8YA34
Diamond Sports Group LLC, Term Loan
25277BAB4
4802247.72000000
PA
USD
2655426.89000000
0.050314231704
Long
LON
CORP
US
N
2
2026-08-24
Variable
3.35000000
N
N
N
N
N
N
OneMain Finance Corp.
5493008I795YYBFWFU90
OneMain Finance Corp.
85172FAR0
2000000.00000000
PA
USD
2201140.00000000
0.041706540063
Long
DBT
CORP
US
N
2
2029-11-15
Fixed
5.37500000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, 30 Year
31411EL96
190808.78000000
PA
USD
217246.08000000
0.004116313518
Long
ABS-MBS
USGSE
US
N
2
2037-01-01
Fixed
5.00000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA
31406C6X1
627476.89000000
PA
USD
696254.81000000
0.013192427163
Long
ABS-MBS
USGSE
US
N
2
2033-08-01
Variable
4.10500080
N
N
N
N
N
N
Banque Ouest Africaine de Developpement
529900LIZJABE4JJS826
Banque Ouest Africaine de Developpement
06675QAB9
10700000.00000000
PA
USD
11944538.40000000
0.226321528535
Long
DBT
NUSS
US
N
2
2027-07-27
Fixed
5.00000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA
31406M3E4
237267.93000000
PA
USD
238754.54000000
0.004523849363
Long
ABS-MBS
USGSE
US
N
2
2035-04-01
Variable
1.81800000
N
N
N
N
N
N
United States of America
254900HROIFWPRGM1V77
U.S. Treasury Notes
91282CBC4
124000000.00000000
PA
USD
122716406.56000000
2.325193639043
Long
DBT
UST
US
N
2
2025-12-31
Fixed
0.37500000
N
N
N
N
N
N
Madison Park Euro Funding VIII DAC
635400Y8CTGVSWYFMB36
Madison Park Euro Funding VIII DAC, Series 8A, Class ARN
N/A
41450000.00000000
PA
49283984.10000000
0.933818138489
Long
ABS-CBDO
CORP
IE
N
2
2032-04-15
Floating
0.95000040
N
N
N
N
N
N
AbbVie, Inc.
FR5LCKFTG8054YNNRU85
AbbVie, Inc.
00287YAS8
3200000.00000000
PA
USD
4066236.00000000
0.077045819276
Long
DBT
CORP
US
N
2
2045-05-14
Fixed
4.70000000
N
N
N
N
N
N
Carlyle GMS Finance MM CLO LLC
N/A
Carlyle GMS Finance MM CLO LLC, Series 2015-1A, Class A2R
14310QAG3
10000000.00000000
PA
USD
9828179.26000000
0.186221390760
Long
ABS-CBDO
CORP
US
N
2
2031-10-15
Floating
2.32612920
N
N
N
N
N
N
WESCO Distribution, Inc.
549300I2CEZJG9N4AH67
WESCO Distribution, Inc.
95081QAP9
1900000.00000000
PA
USD
2117407.50000000
0.040120001785
Long
DBT
CORP
US
N
2
2028-06-15
Fixed
7.25000000
N
N
N
N
N
N
Ellington CLO III Ltd.
254900V20GCNJI0I7591
Ellington CLO III Ltd., Series 2018-3A, Class A2R
28852LAN3
9488818.05000000
PA
USD
9483025.13000000
0.179681513900
Long
ABS-CBDO
CORP
US
N
2
2030-07-20
Floating
1.88425080
N
N
N
N
N
N
Battalion Oil Corp.
3XHTN2NNIMMPORDAMJ28
Battalion Oil Corp.
07134L115
3189.00000000
NS
USD
416.28000000
0.000007887548
Long
CORP
US
N
3
N
N
N
T-Mobile USA, Inc.
549300V2JRLO5DIFGE82
T-Mobile USA, Inc.
87264AAX3
3400000.00000000
PA
USD
4033913.00000000
0.076433372773
Long
DBT
CORP
US
N
2
2040-04-15
Fixed
4.37500000
N
N
N
N
N
N
Institutional Fiduciary Trust - Money Market Portfolio
549300M4TP89K77LG374
Institutional Fiduciary Trust - Money Market Portfolio
457756500
212045152.82100000
NS
USD
212045152.82000000
4.017767911791
Long
STIV
RF
US
N
1
N
N
N
BlueMountain CLO Ltd.
549300WSX4P5CXVKVR97
BlueMountain CLO Ltd., Series 2012-2A, Class DR2
09626RBC8
1753000.00000000
PA
USD
1732401.49000000
0.032825023464
Long
ABS-CBDO
CORP
KY
N
2
2028-11-20
Floating
3.05525160
N
N
N
N
N
N
Vistra Operations Co. LLC
549300ZH5GKBTJZ7NM23
Vistra Operations Co. LLC
92840VAH5
3100000.00000000
PA
USD
3184754.00000000
0.060343762910
Long
DBT
CORP
US
N
2
2029-05-01
Fixed
4.37500000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, 15 Year
3138WJEC8
1503198.94000000
PA
USD
1580235.74000000
0.029941832505
Long
ABS-MBS
USGSE
US
N
2
2031-10-01
Fixed
2.50000000
N
N
N
N
N
N
AutoNation, Inc.
N/A
AutoNation, Inc.
05329WAQ5
2400000.00000000
PA
USD
2872543.85000000
0.054428098696
Long
DBT
CORP
US
N
2
2030-06-01
Fixed
4.75000000
N
N
N
N
N
N
Neuberger Berman CLO XVI-S Ltd.
549300UHUHCR3388B324
Neuberger Berman CLO XVI-S Ltd., Series 2017-16SA, Class CR
64131TAS3
2350000.00000000
PA
USD
2350135.90000000
0.044529669656
Long
ABS-CBDO
CORP
KY
N
2
2034-04-15
Floating
2.02613040
N
N
N
N
N
N
Weatherford International plc
529900LPBDSCQDJKHQ39
Weatherford International plc
N/A
34108.00000000
NS
USD
594843.52000000
0.011270916478
Long
EC
CORP
IE
N
1
N
N
N
Braskem Netherlands Finance BV
N/A
Braskem Netherlands Finance BV
10554TAD7
11800000.00000000
PA
USD
12471538.00000000
0.236306958780
Long
DBT
CORP
NL
N
2
2030-01-31
Fixed
4.50000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, Series 2014-C03, Class 2M2
30711XAM6
1119198.52600000
PA
USD
1134640.78000000
0.021498832945
Long
ABS-MBS
CORP
US
N
2
2024-07-25
Floating
2.98924920
N
N
N
N
N
N
Cheniere Energy, Inc.
MIHC87W9WTYSYZWV1J40
Cheniere Energy, Inc.
16411RAK5
1700000.00000000
PA
USD
1796917.00000000
0.034047443984
Long
DBT
CORP
US
N
2
2028-10-15
Fixed
4.62500000
N
N
N
N
N
N
Citigroup, Inc.
6SHGI4ZSSLCXXQSBB395
Citigroup, Inc.
172967MS7
10500000.00000000
PA
USD
10883865.51000000
0.206224216968
Long
DBT
CORP
US
N
2
2031-06-03
Variable
2.57200000
N
N
N
N
N
N
N/A
N/A
SOP
N/A
-385900000.00000000
PA
USD
-64714.14000000
-0.00122618410
N/A
DIR
US
N
2
CITIBANK NA
E57ODZWZ7FF32TWEFA76
Put
Written
N/A
Swaption
1.00000000
1.39000000
USD
2021-09-16
XXXX
1932318.36000000
N
N
N
University of Pittsburgh-of the Commonwealth System of Higher Education
5493002C83QSGL8ETT42
University of Pittsburgh-of the Commonwealth System of Higher Education
91335VKU9
6315000.00000000
PA
USD
6798382.31000000
0.128813707523
Long
DBT
MUN
US
N
2
2041-09-15
Fixed
3.00500000
N
N
N
N
N
N
Battalion Oil Corp.
3XHTN2NNIMMPORDAMJ28
Battalion Oil Corp.
07134L123
2551.00000000
NS
USD
602.73000000
0.000011420347
Long
CORP
US
N
3
N
N
N
Blackrock European CLO IX DAC
549300CTNII509TFCV23
Blackrock European CLO IX DAC, Series 9A, Class A
N/A
17350000.00000000
PA
20602485.27000000
0.390369707206
Long
ABS-CBDO
CORP
IE
N
2
2032-12-15
Floating
0.90000000
N
N
N
N
N
N
N/A
N/A
U.S. Treasury 10 Year Ultra Bonds
N/A
-375.00000000
NC
USD
-1855791.75000000
-0.03516298507
N/A
DIR
US
N
1
CME Clearing House
LCZ7XYGSLJUHFXXNXD88
Short
United States of America
U.S. Treasury 10 Year Ultra Bonds
2021-09-21
-56343750.00000000
USD
-1855791.75000000
N
N
N
United States of America
254900HROIFWPRGM1V77
U.S. Treasury Bonds
912810RT7
28800000.00000000
PA
USD
30870000.00000000
0.584915494589
Long
DBT
UST
US
N
2
2046-08-15
Fixed
2.25000000
N
N
N
N
N
N
N/A
N/A
CDIT
N/A
7800000.00000000
PA
USD
94994.50000000
0.001799927274
N/A
DCR
US
N
2
CITIBANK NA
E57ODZWZ7FF32TWEFA76
Citi 693003 Dec 2021
Citi 693003 Dec 2021
Y
Payout of notional amount upon default event with regard to the reference instrument
2021-12-20
0.00000000
USD
0.00000000
USD
7800000.00000000
USD
94994.50000000
N
N
N
Northrop Grumman Corp.
RIMU48P07456QXSO0R61
Northrop Grumman Corp.
666807BU5
3500000.00000000
PA
USD
5046181.25000000
0.095613527749
Long
DBT
CORP
US
N
2
2050-05-01
Fixed
5.25000000
N
N
N
N
N
N
Bain Capital Credit CLO
N/A
Bain Capital Credit CLO, Series 2018-1A, Class A2
05683LAC0
5100000.00000000
PA
USD
5103818.93000000
0.096705629210
Long
ABS-CBDO
CORP
KY
N
2
2031-04-23
Floating
1.28787840
N
N
N
N
N
N
AMMC CLO 15 Ltd.
549300D0GYBG49KJD582
AMMC CLO 15 Ltd., Series 2014-15A, Class BRR
00175MBH2
922984.00000000
PA
USD
921635.87000000
0.017462879842
Long
ABS-CBDO
CORP
KY
N
2
2032-01-15
Floating
1.92612960
N
N
N
N
N
N
Ukraine
6354001WLTJXOMEXPY07
Ukraine Government Bond
903724AS1
229000.00000000
PA
USD
249460.23000000
0.004726697564
Long
DBT
NUSS
UA
N
2
2025-09-01
Fixed
7.75000000
N
N
N
N
N
N
Comerica, Inc.
I9Q57JVPWHHZ3ZGBW498
Comerica, Inc.
200340AU1
3800000.00000000
PA
USD
4237000.00000000
0.080281404294
Long
DBT
CORP
US
N
2
2025-07-01
Variable
5.62500000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA
31404JLV5
155662.48000000
PA
USD
164271.29000000
0.003112563098
Long
ABS-MBS
USGSE
US
N
2
2034-02-01
Variable
2.10800160
N
N
N
N
N
N
GNMA
549300M8ZYFG0OCMTT87
GNMA I, 30 Year
36206FRH7
130.75000000
PA
USD
134.77000000
0.000002553581
Long
ABS-MBS
USGA
US
N
2
2025-08-15
Fixed
7.50000000
N
N
N
N
N
N
Rattler Midstream LP
549300I45NRVEEN9M219
Rattler Midstream LP
75419TAA1
900000.00000000
PA
USD
940608.00000000
0.017822358067
Long
DBT
CORP
US
N
2
2025-07-15
Fixed
5.62500000
N
N
N
N
N
N
FHLMC Pool
S6XOOCT0IEG5ABCC6L87
FHLMC Pool, 15 Year
3133GAJK3
2290866.19000000
PA
USD
2379591.62000000
0.045087787798
Long
ABS-MBS
USGSE
US
N
2
2035-10-01
Fixed
2.00000000
N
N
N
N
N
N
Diamond Sports Group LLC / Diamond Sports Finance Co.
N/A
Diamond Sports Group LLC / Diamond Sports Finance Co.
25277LAA4
3200000.00000000
PA
USD
1860000.00000000
0.035242721734
Long
DBT
CORP
US
N
2
2026-08-15
Fixed
5.37500000
N
N
N
N
N
N
CARLYLE US CLO Ltd.
N/A
CARLYLE US CLO Ltd., Series 2017-5A, Class B
14316AAG2
7000000.00000000
PA
USD
6905260.31000000
0.130838799789
Long
ABS-CBDO
CORP
KY
N
2
2030-01-20
Floating
1.93425120
N
N
N
N
N
N
Cook Park CLO Ltd.
N/A
Cook Park CLO Ltd., Series 2018-1A, Class A2
21623PAC1
6000000.00000000
PA
USD
5970279.06000000
0.113123055692
Long
ABS-CBDO
CORP
KY
N
2
2030-04-17
Floating
1.25388000
N
N
N
N
N
N
Long Point Park CLO Ltd.
549300639DPKTBUSCC77
Long Point Park CLO Ltd., Series 2017-1A, Class C
542798AJ2
3100000.00000000
PA
USD
3033546.09000000
0.057478720816
Long
ABS-CBDO
CORP
KY
N
2
2030-01-17
Floating
2.53388160
N
N
N
N
N
N
Bain Capital Credit CLO Ltd.
N/A
Bain Capital Credit CLO Ltd., Series 2020-4A, Class B
05684KAN7
8350000.00000000
PA
USD
8362182.85000000
0.158444130792
Long
ABS-CBDO
CORP
KY
N
2
2033-10-20
Floating
2.08424880
N
N
N
N
N
N
Republic of Peru
254900STKLK2DBJJZ530
Republic of Peru
715638AU6
2900000.00000000
PA
USD
3952859.50000000
0.074897595383
Long
DBT
NUSS
PE
N
2
2037-03-14
Fixed
6.55000000
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC Gold Pools, 30 Year
312931PG7
792722.76000000
PA
USD
886507.80000000
0.016797283715
Long
ABS-MBS
USGSE
US
N
2
2039-03-01
Fixed
4.50000000
N
N
N
N
N
N
N/A
N/A
U.S. Treasury Long Bonds
N/A
-375.00000000
NC
USD
-82563.75000000
-0.00156439315
N/A
DIR
US
N
1
CME Clearing House
LCZ7XYGSLJUHFXXNXD88
Short
United States of America
U.S. Treasury Long Bonds
2021-09-21
-61769531.25000000
USD
-82563.75000000
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, 30 Year
31402YRF3
22100.28000000
PA
USD
24691.96000000
0.000467855846
Long
ABS-MBS
USGSE
US
N
2
2033-09-01
Fixed
5.50000000
N
N
N
N
N
N
Dominican Republic
N/A
Dominican Republic Government Bond
25714PDX3
610400000.00000000
PA
11299770.61000000
0.214104661972
Long
DBT
NUSS
DO
N
2
2023-02-15
Fixed
8.90000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, 30 Year
31407NQ22
435.02000000
PA
USD
502.48000000
0.000009520840
Long
ABS-MBS
USGSE
US
N
2
2035-08-01
Fixed
5.50000000
N
N
N
N
N
N
San Bernardino Community College District
549300Y4FPTEP3EQZ007
San Bernardino Community College District
796720PQ7
11465000.00000000
PA
USD
11521890.48000000
0.218313322601
Long
DBT
MUN
US
N
2
2049-08-01
Fixed
2.85600000
N
N
N
N
N
N
Weyerhaeuser Mortgage Co. of Texas
N/A
Weyerhaeuser Mortgage Co. of Texas
N/A
5996.28000000
PA
USD
5996.28000000
0.000113615713
Long
ABS-MBS
CORP
US
N
3
2024-01-01
Fixed
7.43000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, 30 Year
31411NL54
18282.23000000
PA
USD
20458.67000000
0.000387644738
Long
ABS-MBS
USGSE
US
N
2
2037-03-01
Fixed
5.50000000
N
N
N
N
N
N
Salt Lake City Corp.
549300CRGKV67DRSGT85
Salt Lake City Corp.
79560TEF5
3155000.00000000
PA
USD
3376458.60000000
0.063976124132
Long
DBT
MUN
US
N
2
2038-04-01
Fixed
3.10200000
N
N
N
N
N
N
FNMA or FHLMC
N/A
FNMA or FHLMC, Single Family, 15 Year
01F020489
145190000.00000000
PA
USD
150685669.45000000
2.855146837508
Long
ABS-MBS
USGSE
US
N
2
2036-08-25
Fixed
2.00000000
N
N
N
N
N
N
Texas State University System
N/A
Texas State University System
88278PZM9
2255000.00000000
PA
USD
2378100.00000000
0.045059525030
Long
DBT
MUN
US
N
2
2040-03-15
Fixed
3.28900000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, 30 Year
31410YZQ0
1092.82000000
PA
USD
1244.31000000
0.000023576812
Long
ABS-MBS
USGSE
US
N
2
2036-12-01
Fixed
5.50000000
N
N
N
N
N
N
Israel Electric Corp. Ltd.
254900JW7GE35YNJGJ55
Israel Electric Corp. Ltd.
465077AL9
6700000.00000000
PA
USD
7524435.00000000
0.142570735974
Long
DBT
NUSS
IL
N
2
2028-08-14
Fixed
4.25000000
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC Gold Pools, 30 Year
31283HJ48
3177.98000000
PA
USD
3622.16000000
0.000068631600
Long
ABS-MBS
USGSE
US
N
2
2031-02-01
Fixed
7.00000000
N
N
N
N
N
N
Verso Corp.
549300FODXCTQ8DGT594
Verso Corp.
92531L116
732.00000000
NS
USD
2854.80000000
0.000054091893
Long
CORP
US
N
1
N
N
N
Dynasty Acquisition Co., Inc.
549300WM2IKMXZ5LGL49
Dynasty Acquisition Co., Inc., Term Loan B2
26812CAF3
2769767.39000000
PA
USD
2683212.16000000
0.050840698660
Long
LON
CORP
CA
N
2
2026-04-06
Variable
3.64725000
N
N
N
N
N
N
Williams Cos., Inc. (The)
D71FAKCBLFS2O0RBPG08
Williams Cos., Inc. (The)
969457BX7
3200000.00000000
PA
USD
3539176.45000000
0.067059253115
Long
DBT
CORP
US
N
2
2030-11-15
Fixed
3.50000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, 30 Year
31407SQM7
6756.48000000
PA
USD
7581.76000000
0.000143656912
Long
ABS-MBS
USGSE
US
N
2
2032-09-01
Fixed
6.00000000
N
N
N
N
N
N
United States of America
254900HROIFWPRGM1V77
U.S. Treasury Bonds
912810SQ2
34000000.00000000
PA
USD
30283906.08000000
0.573810362905
Long
DBT
UST
US
N
2
2040-08-15
Fixed
1.12500000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, 30 Year
31388LQM5
21832.03000000
PA
USD
24575.73000000
0.000465653555
Long
ABS-MBS
USGSE
US
N
2
2031-09-01
Fixed
6.50000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, Series 2013-C01, Class M2
30711XAB0
4595862.29400000
PA
USD
4804963.92000000
0.091043014180
Long
ABS-MBS
CORP
US
N
2
2023-10-25
Floating
5.33925000
N
N
N
N
N
N
N/A
N/A
CDIT
N/A
14000000.00000000
PA
USD
42225.92000000
0.000800084058
N/A
DCR
US
N
2
CITIBANK NA
E57ODZWZ7FF32TWEFA76
Citi 698286 Dec 2022
Citi 698286 Dec 2022
Y
Payout of notional amount upon default event with regard to the reference instrument
2022-12-20
0.00000000
USD
0.00000000
USD
14000000.00000000
USD
42225.92000000
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC Gold Pools, 30 Year
3128KFUZ1
1690.31000000
PA
USD
1934.18000000
0.000036648262
Long
ABS-MBS
USGSE
US
N
2
2036-10-01
Fixed
6.50000000
N
N
N
N
N
N
JPMorgan Chase & Co.
8I5DZWZKVSZI1NUHU748
JPMorgan Chase & Co.
46647PBJ4
17100000.00000000
PA
USD
20469954.29000000
0.387858549975
Long
DBT
CORP
US
N
2
2031-03-24
Variable
4.49300000
N
N
N
N
N
N
LCM XXII Ltd.
N/A
LCM XXII Ltd., Series 22A, Class CR
50189GAJ1
1000000.00000000
PA
USD
983151.65000000
0.018628462378
Long
ABS-CBDO
CORP
KY
N
2
2028-10-20
Floating
2.93424840
N
N
N
N
N
N
Orlando Health Obligated Group
N/A
Orlando Health Obligated Group
686514AE0
2810000.00000000
PA
USD
3183268.88000000
0.060315623302
Long
DBT
CORP
US
N
2
2028-10-01
Fixed
3.77700000
N
N
N
N
N
N
Consumer Loan Underlying Bond Certificate Issuer Trust I
N/A
Consumer Loan Underlying Bond Certificate Issuer Trust I, Series 2019-S2, Class PT
21050HAA5
1178723.09000000
PA
USD
1173620.99000000
0.022237418264
Long
ABS-O
CORP
US
N
2
2044-05-16
Variable
15.05105280
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC Gold Pools, 30 Year
31283HJM8
3607.33000000
PA
USD
4123.85000000
0.000078137472
Long
ABS-MBS
USGSE
US
N
2
2031-01-01
Fixed
7.00000000
N
N
N
N
N
N
N/A
N/A
CES
N/A
24200000.00000000
PA
-1824706.41000000
-0.03457398938
N/A
DFE
US
N
2
CITIBANK NA
E57ODZWZ7FF32TWEFA76
26862000.00000000
USD
24200000.00000000
EUR
2021-12-12
-1824706.41000000
N
N
N
Westlake Chemical Corp.
GOXNEVUM0LL78B1OS344
Westlake Chemical Corp.
960413AW2
3500000.00000000
PA
USD
3833957.26000000
0.072644671427
Long
DBT
CORP
US
N
2
2030-06-15
Fixed
3.37500000
N
N
N
N
N
N
Octagon Loan Funding Ltd.
549300HJJWTCMWFILG24
Octagon Loan Funding Ltd., Series 2014-1A, Class CRR
67590RBE4
750000.00000000
PA
USD
748311.74000000
0.014178786249
Long
ABS-CBDO
CORP
KY
N
2
2031-11-18
Floating
2.35513080
N
N
N
N
N
N
Alpek SAB de CV
549300PWKJTP62D4IQ66
Alpek SAB de CV
020564AE0
5800000.00000000
PA
USD
5900775.00000000
0.111806113624
Long
DBT
CORP
MX
N
2
2031-02-25
Fixed
3.25000000
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC Gold Pools, 30 Year
3128L0SJ2
33454.87000000
PA
USD
39034.75000000
0.000739618726
Long
ABS-MBS
USGSE
US
N
2
2037-11-01
Fixed
5.50000000
N
N
N
N
N
N
American Airlines Inc/AAdvantage Loyalty IP Ltd.
N/A
American Airlines Inc/AAdvantage Loyalty IP Ltd.
00253XAB7
2600000.00000000
PA
USD
2807818.00000000
0.053201692717
Long
DBT
CORP
US
N
2
2029-04-20
Fixed
5.75000000
N
N
N
N
N
N
Consumer Loan Underlying Bond Club Certificate Issuer Trust I
N/A
Consumer Loan Underlying Bond Club Certificate Issuer Trust I, Series 2019-S8, Class PT
21057BAA1
3016386.45000000
PA
USD
2971231.75000000
0.056298007404
Long
ABS-O
CORP
US
N
2
2045-01-15
Variable
11.97810360
N
N
N
N
N
N
Octagon Investment Partners 38 Ltd.
N/A
Octagon Investment Partners 38 Ltd., Series 2018-1A, Class C
67591YAL3
4000000.00000000
PA
USD
3900247.86000000
0.073900725819
Long
ABS-CBDO
CORP
KY
N
2
2030-07-20
Floating
3.08424960
N
N
N
N
N
N
Neuberger Berman CLO XVIII Ltd.
549300FCSYYS3J0RKL34
Neuberger Berman CLO XVIII Ltd., Series 2014-18A, Class A1BR
64128QAS4
1700000.00000000
PA
USD
1703134.42000000
0.032270479806
Long
ABS-CBDO
CORP
KY
N
2
2030-10-21
Floating
1.53425160
N
N
N
N
N
N
Consumer Loan Underlying Bond Certificate Issuer Trust I
N/A
Consumer Loan Underlying Bond Certificate Issuer Trust I, Series 2018-29, Class PT
21052UAA4
579664.92000000
PA
USD
577700.67000000
0.010946098902
Long
ABS-O
CORP
US
N
3
2043-12-15
Variable
30.89093400
N
N
N
N
N
N
Freedom Marketplace, Inc.
N/A
Freedom Marketplace, Inc., Marketplace Loan
N/A
18316797.57000000
PA
USD
18187715.22000000
0.344615369075
Long
LON
CORP
US
N
3
2024-12-22
Fixed
17.83947532
N
N
N
N
N
N
Consumer Loan Underlying Bond Credit Trust
N/A
Consumer Loan Underlying Bond Credit Trust, Series 2019-S4, Class PT
21054GAA3
2028705.65000000
PA
USD
2030320.50000000
0.038469903447
Long
ABS-O
CORP
US
N
2
2044-08-15
Variable
14.23972440
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, 30 Year
3140JADM7
18001976.02000000
PA
USD
19071068.55000000
0.361352882840
Long
ABS-MBS
USGSE
US
N
2
2048-09-01
Fixed
3.00000000
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC Gold Pools, 30 Year
31283H6F7
8038.86000000
PA
USD
9337.99000000
0.000176933431
Long
ABS-MBS
USGSE
US
N
2
2035-01-01
Fixed
5.50000000
N
N
N
N
N
N
BOFA SECURITIES INC .
549300HN4UKV1E2R3U73
BOFA SECURITIES INC .
N/A
3070129.00000000
PA
USD
3070129.00000000
0.058171882814
Long
RA
CORP
US
N
2
Repurchase
Y
0.05000000
2021-08-02
3070129.00000000
USD
3131533.59335828
USD
UST
N
N
Organon & Co. / Organon Foreign Debt Co-Issuer BV
N/A
Organon & Co. / Organon Foreign Debt Co-Issuer BV
68622TAB7
1500000.00000000
PA
USD
1546875.00000000
0.029309723216
Long
DBT
CORP
US
N
2
2031-04-30
Fixed
5.12500000
N
N
N
N
N
N
Commonwealth Financing Authority
N/A
Commonwealth Financing Authority
20281PNE8
25050000.00000000
PA
USD
26325733.88000000
0.498812104076
Long
DBT
MUN
US
N
2
2042-06-01
Fixed
2.99100000
N
N
N
N
N
N
CDW LLC / CDW Finance Corp.
N/A
CDW LLC / CDW Finance Corp.
12513GBF5
3000000.00000000
PA
USD
3018299.70000000
0.057189836794
Long
DBT
CORP
US
N
2
2029-02-15
Fixed
3.25000000
N
N
N
N
N
N
Bain Capital Credit CLO
N/A
Bain Capital Credit CLO, Series 2018-1A, Class A1
05683LAA4
12000000.00000000
PA
USD
12002989.57000000
0.227429043760
Long
ABS-CBDO
CORP
KY
N
2
2031-04-23
Floating
1.09788120
N
N
N
N
N
N
GNMA
549300M8ZYFG0OCMTT87
GNMA I, 30 Year
36206FAB8
324.04000000
PA
USD
330.49000000
0.000006262025
Long
ABS-MBS
USGA
US
N
2
2025-09-15
Fixed
7.50000000
N
N
N
N
N
N
N/A
N/A
CDS
N/A
4400000.00000000
PA
USD
-84195.84000000
-0.00159531750
N/A
DCR
US
N
2
CITIBANK NA
E57ODZWZ7FF32TWEFA76
Avon Products, Inc.
Avon Products, Inc.
Y
Receipt of notional amount upon default event with regard to the reference instrument
2023-03-20
0.00000000
USD
209290.09000000
USD
4400000.00000000
USD
-84195.84000000
N
N
N
Valaris Ltd.
N/A
Valaris Ltd.
N/A
2435.00000000
NS
USD
65988.50000000
0.001250330292
Long
EC
CORP
BM
N
1
N
N
UniCredit SpA
549300TRUWO2CD2G5692
UniCredit SpA
904678AW9
7300000.00000000
PA
USD
7322300.33000000
0.138740748916
Long
DBT
CORP
IT
N
2
2027-06-03
Variable
1.98200000
N
N
N
N
N
N
CIM Trust
N/A
CIM Trust, Series 2018-INV1, Class A4
12553XAD5
2904870.24000000
PA
USD
2962679.48000000
0.056135961559
Long
ABS-MBS
CORP
US
N
2
2048-08-25
Variable
3.99999960
N
N
N
N
N
N
N/A
N/A
CDS
N/A
4725000.00000000
PA
USD
41577.55000000
0.000787798938
N/A
DCR
US
N
2
CITIBANK NA
E57ODZWZ7FF32TWEFA76
Nabors Industries, Inc.
Nabors Industries, Inc.
Y
Receipt of notional amount upon default event with regard to the reference instrument
2021-12-20
23162.06000000
USD
0.00000000
USD
4725000.00000000
USD
41577.55000000
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, 30 Year
31371JPX6
1804.79000000
PA
USD
2046.86000000
0.000038783288
Long
ABS-MBS
USGSE
US
N
2
2030-09-01
Fixed
8.50000000
N
N
N
N
N
N
Martin Midstream Partners LP / Martin Midstream Finance Corp.
N/A
Martin Midstream Partners LP / Martin Midstream Finance Corp.
573334AF6
151936.00000000
PA
USD
156304.16000000
0.002961604310
Long
DBT
CORP
US
N
2
2024-02-29
Fixed
10.00000000
N
N
N
N
N
N
Radian Group, Inc.
54930005OUP720S5U385
Radian Group, Inc.
750236AW1
16800000.00000000
PA
USD
18295620.00000000
0.346659916459
Long
DBT
CORP
US
N
2
2027-03-15
Fixed
4.87500000
N
N
N
N
N
N
Antares CLO Ltd.
N/A
Antares CLO Ltd., Series 2018-1A, Class B
03665MAC5
12900000.00000000
PA
USD
12722625.00000000
0.241064479894
Long
ABS-CBDO
CORP
KY
N
2
2031-04-20
Floating
1.78425000
N
N
N
N
N
N
Octagon Investment Partners 36 Ltd.
549300S890TBOLY1D042
Octagon Investment Partners 36 Ltd., Series 2018-1A, Class A1
67591UAC1
18000000.00000000
PA
USD
17995984.42000000
0.340982511423
Long
ABS-CBDO
CORP
KY
N
2
2031-04-15
Floating
1.09613160
N
N
N
N
N
N
FNMA or FHLMC
N/A
FNMA or FHLMC, Single Family, 30 Year
01F022683
357349000.00000000
PA
USD
372271108.07000000
7.053681221188
Long
ABS-MBS
USGSE
US
N
2
2051-08-25
Fixed
2.50000000
N
N
N
N
N
N
CARLYLE US CLO Ltd.
N/A
CARLYLE US CLO Ltd., Series 2017-5A, Class A2
14316AAE7
2740000.00000000
PA
USD
2735348.77000000
0.051828567498
Long
ABS-CBDO
CORP
KY
N
2
2030-01-20
Floating
1.53425160
N
N
N
N
N
N
Octagon Investment Partners 36 Ltd.
549300S890TBOLY1D042
Octagon Investment Partners 36 Ltd., Series 2018-1A, Class A2
67591UAE7
8500000.00000000
PA
USD
8440192.27000000
0.159922229868
Long
ABS-CBDO
CORP
KY
N
2
2031-04-15
Floating
1.32612840
N
N
N
N
N
N
Carlyle Global Market Strategies CLO Ltd.
N/A
Carlyle Global Market Strategies CLO Ltd., Series 2014-1A, Class DR
14310MBE6
3175000.00000000
PA
USD
3058272.67000000
0.057947232632
Long
ABS-CBDO
CORP
KY
N
2
2031-04-17
Floating
2.73387960
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, 30 Year
3140XAZ47
1910280.01000000
PA
USD
1999839.97000000
0.037892367513
Long
ABS-MBS
USGSE
US
N
2
2051-01-01
Fixed
2.50000000
N
N
N
N
N
N
Logan CLO I Ltd.
N/A
Logan CLO I Ltd., Series 2021-1A, Class A
540543AA3
4750000.00000000
PA
USD
4752964.08000000
0.090057736819
Long
ABS-CBDO
CORP
KY
N
2
2034-07-20
Floating
1.31244840
N
N
N
N
N
N
N/A
N/A
CDS
N/A
7800000.00000000
PA
USD
614458.23000000
0.011642570116
N/A
DCR
US
N
2
JP MORGAN CHASE BANK NA
7H6GLXDRUGQFU57RNE97
Macy's Retail Holdings LLC
Macy's Retail Holdings LLC
Y
Payout of notional amount upon default event with regard to the reference instrument
2025-12-20
0.00000000
USD
1274714.36000000
USD
7800000.00000000
USD
614458.23000000
N
N
N
2021-08-30
Franklin Investors Securities Trust
Robert Kubilis
Robert Kubilis
Chief Financial Officer, Chief Accounting Officer and Treasurer
XXXX