NPORT-P
false
0001738072
XXXXXXXX
S000062377
C000202344
C000202345
BlackRock Variable Series Funds II, Inc.
811-23346
0001738072
549300CYYTFFNBNORE26
100 Bellevue Parkway
Wilmington
19809
800-441-7762
BlackRock Total Return V.I. Fund
S000062377
QEYJMZOKY3CA1LFEXI16
2022-12-31
2022-03-31
N
1178255083.16
363258415.16
814996668.00
0.00000000
0.00000000
0.00000000
0.00000000
0.00000000
0.00000000
0.00000000
0.00000000
0.00000000
0.00000000
0.00000000
0.00000000
0.00000000
5669709.11000000
AUD
BRL
CAD
CHF
CLP
CNY
CNY
COP
CZK
EGP
EUR
GBP
HUF
IDR
JPY
MXN
NOK
NZD
PEN
PLN
RUB
SEK
SGD
THB
TRY
USD
ZAR
N
Wynn Las Vegas LLC
N/A
Wynn Las Vegas LLC
983130AV7
162000.00000000
PA
USD
162003.24000000
0.019877779426
Long
DBT
CORP
US
N
2
2025-03-01
Fixed
5.50000000
N
N
N
N
N
N
American Airlines Pass-Through Trust
N/A
American Airlines Pass-Through Trust, Series 2019-1, Class AA
02377LAA2
191688.15000000
PA
USD
180061.25000000
0.022093495233
Long
DBT
CORP
US
N
2
2032-02-15
Fixed
3.15000000
N
N
N
N
N
N
Conseco Finance Securitizations Corp.
N/A
Conseco Finance Securitizations Corp., Series 2000-1, Class A5
20846QBP2
56236.32000000
PA
USD
15590.25000000
0.001912921931
Long
ABS-O
CORP
US
N
2
2029-09-01
Variable
8.06000040
N
N
N
N
N
N
Charter Communications Operating LLC
N/A
Charter Communications Operating LLC
161175BY9
172000.00000000
PA
USD
138281.12000000
0.016967077956
Long
DBT
CORP
US
N
2
2061-04-01
Fixed
3.85000000
N
N
N
N
N
N
HCA, Inc.
L3CJ6J7LJ2DX62FTXD46
HCA, Inc.
404119BT5
439000.00000000
PA
USD
463366.89000000
0.056855065571
Long
DBT
CORP
US
N
2
2026-06-15
Fixed
5.25000000
N
N
N
N
N
N
KAR Auction Services, Inc.
5493004HKD20LBSG7D03
KAR Auction Services, Inc.
48238TAA7
71000.00000000
PA
USD
71887.50000000
0.008820588208
Long
DBT
CORP
US
N
2
2025-06-01
Fixed
5.12500000
N
N
N
N
N
N
Broadcom, Inc.
549300WV6GIDOZJTV909
Broadcom, Inc.
11135FAQ4
372000.00000000
PA
USD
377017.86000000
0.046260049249
Long
DBT
CORP
US
N
2
2030-11-15
Fixed
4.15000000
N
N
N
N
N
N
United States of America
254900HROIFWPRGM1V77
U.S. Treasury Notes
912828ZH6
4593000.00000000
PA
USD
4522490.28000000
0.554909051480
Long
DBT
UST
US
N
2
2023-04-15
Fixed
0.25000000
N
N
N
N
N
N
Ajax Mortgage Loan Trust
N/A
Ajax Mortgage Loan Trust, Series 2019-B, Class C
00970FAC6
297168.47000000
PA
USD
299605.88000000
0.036761607962
Long
ABS-MBS
CORP
US
N
2
2059-01-25
Fixed
0.00000000
N
N
N
N
N
N
JPMorgan Chase & Co.
8I5DZWZKVSZI1NUHU748
JPMorgan Chase & Co.
46647PCP9
476000.00000000
PA
USD
438665.15000000
0.053824164836
Long
DBT
CORP
US
N
2
2027-09-22
Variable
1.46999880
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Uniform Mortgage-Backed Securities
3140X4WD4
4292.82250000
PA
USD
4343.10000000
0.000532897884
Long
ABS-MBS
USGSE
US
N
2
2048-11-01
Fixed
3.50000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Uniform Mortgage-Backed Securities
3138WJEP9
55942.44190000
PA
USD
55428.23000000
0.006801037620
Long
ABS-MBS
USGSE
US
N
2
2031-11-01
Fixed
2.50000000
N
N
N
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
-1744.97000000
-0.00021410762
N/A
DFE
N/A
N
2
Barclays Bank
G5GSEF7VJP5I7OUK5573
430800.30000000
CHF
420000.00000000
EUR
2022-06-15
-1744.97000000
N
N
N
Home Equity Mortgage Loan Asset-Backed Trust
N/A
Home Equity Mortgage Loan Asset-Backed Trust, Series 2004-A, Class M2
456606ER9
16050.04000000
PA
USD
15959.84000000
0.001958270582
Long
ABS-O
CORP
US
N
2
2034-07-25
Floating
2.48157000
N
N
N
N
N
N
Suzano Austria GmbH
254900287ZNSGVP1R341
Suzano Austria GmbH
86964WAJ1
30000.00000000
PA
USD
28095.00000000
0.003447253357
Long
DBT
CORP
AT
N
2
2031-01-15
Fixed
3.75000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Uniform Mortgage-Backed Securities
3138WJQF8
49234.27000000
PA
USD
49423.14000000
0.006064213749
Long
ABS-MBS
USGSE
US
N
2
2036-12-01
Fixed
3.00000000
N
N
N
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
-3206.08000000
-0.00039338565
N/A
DFE
N/A
N
2
Goldman Sachs International
W22LROWP2IHZNBB6K528
405670.40000000
BRL
82000.00000000
USD
2022-04-04
-3206.08000000
N
N
N
AT&T, Inc.
549300Z40J86GGSTL398
AT&T, Inc.
00206RHJ4
505000.00000000
PA
USD
534400.40000000
0.065570869303
Long
DBT
CORP
US
N
2
2029-03-01
Fixed
4.35000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Uniform Mortgage-Backed Securities
3140J7MC6
68198.15770000
PA
USD
66513.50000000
0.008161199009
Long
ABS-MBS
USGSE
US
N
2
2031-11-01
Fixed
2.00000000
N
N
N
N
N
N
JPMorgan Chase & Co.
8I5DZWZKVSZI1NUHU748
JPMorgan Chase & Co.
46625HRY8
527000.00000000
PA
USD
533743.45000000
0.065490261611
Long
DBT
CORP
US
N
2
2028-02-01
Variable
3.78200160
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Government National Mortgage Association
21H032647
2656401.00000000
PA
USD
2670928.20000000
0.327722591376
Long
ABS-MBS
USGA
US
N
2
2052-04-15
Fixed
3.50000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Uniform Mortgage-Backed Securities
3138EQU26
2730.74810000
PA
USD
2702.93000000
0.000331649208
Long
ABS-MBS
USGSE
US
N
2
2030-11-01
Fixed
2.50000000
N
N
N
N
N
N
Redsun Properties Group Ltd.
549300TYWIIKAOK07L47
Redsun Properties Group Ltd.
N/A
200000.00000000
PA
USD
30000.00000000
0.003680996644
Long
DBT
CORP
KY
N
2
2025-01-13
Fixed
7.30000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Uniform Mortgage-Backed Securities
31410K3E2
3105.76000000
PA
USD
3398.40000000
0.000416983299
Long
ABS-MBS
USGSE
US
N
2
2038-10-01
Fixed
6.00000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Uniform Mortgage-Backed Securities
3138WFG26
24275.40000000
PA
USD
24044.08000000
0.002950205926
Long
ABS-MBS
USGSE
US
N
2
2030-08-01
Fixed
2.50000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Uniform Mortgage-Backed Securities
3140QLLD6
123495.24000000
PA
USD
125019.11000000
0.015339830812
Long
ABS-MBS
USGSE
US
N
2
2036-07-01
Fixed
3.00000000
N
N
N
N
N
N
Biogen, Inc.
W8J5WZB5IY3K0NDQT671
Biogen, Inc.
09062XAH6
393000.00000000
PA
USD
353600.10000000
0.043386692717
Long
DBT
CORP
US
N
2
2030-05-01
Fixed
2.25000000
N
N
N
N
N
N
Velocity Commercial Capital Loan Trust
N/A
Velocity Commercial Capital Loan Trust, Series 2017-2, Class M3
92258VAE7
79400.78030000
PA
USD
77113.58000000
0.009461827640
Long
ABS-MBS
CORP
US
N
2
2047-11-25
Variable
4.24000020
N
N
N
N
N
N
Federal Home Loan Mortgage Corp.
S6XOOCT0IEG5ABCC6L87
Uniform Mortgage-Backed Securities
3132DM2T1
355796.65190000
PA
USD
331428.01000000
0.040666179754
Long
ABS-MBS
USGSE
US
N
2
2051-12-01
Fixed
2.00000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Uniform Mortgage-Backed Securities
3138ERA91
25828.98000000
PA
USD
25677.40000000
0.003150614107
Long
ABS-MBS
USGSE
US
N
2
2046-08-01
Fixed
3.00000000
N
N
N
N
N
N
Nexstar Media, Inc.
5493006PK6I4I2OOT688
Nexstar Media, Inc.
65343HAA9
85000.00000000
PA
USD
86037.00000000
0.010556730276
Long
DBT
CORP
US
N
2
2027-07-15
Fixed
5.62500000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Uniform Mortgage-Backed Securities
3138WJC97
76882.60000000
PA
USD
76218.83000000
0.009352041915
Long
ABS-MBS
USGSE
US
N
2
2031-10-01
Fixed
2.50000000
N
N
N
N
N
N
Equinix, Inc.
549300EVUN2BTLJ3GT74
Equinix, Inc.
29444UBQ8
309000.00000000
PA
USD
283472.41000000
0.034782032998
Long
DBT
CORP
US
N
2
2026-05-15
Fixed
1.45000000
N
N
N
N
N
N
Federal Home Loan Mortgage Corp.
S6XOOCT0IEG5ABCC6L87
Uniform Mortgage-Backed Securities
3132DMRG2
741968.10000000
PA
USD
749125.18000000
0.091917575790
Long
ABS-MBS
USGSE
US
N
2
2050-08-01
Fixed
3.50000000
N
N
N
N
N
N
Comcast Corp.
51M0QTTNCGUN7KFCFZ59
Comcast Corp.
20030NDP3
99000.00000000
PA
USD
78524.40000000
0.009634935096
Long
DBT
CORP
US
N
2
2052-08-15
Fixed
2.45000000
N
N
N
N
N
N
Raytheon Technologies Corp.
I07WOS4YJ0N7YRFE7309
Raytheon Technologies Corp.
75513EBY6
45000.00000000
PA
USD
53560.91000000
0.006571917665
Long
DBT
CORP
US
N
2
2027-08-15
Fixed
7.20000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Uniform Mortgage-Backed Securities
3140X83B1
96721.69000000
PA
USD
98270.00000000
0.012057718007
Long
ABS-MBS
USGSE
US
N
2
2048-01-01
Fixed
3.50000000
N
N
N
N
N
N
Banco Santander SA
5493006QMFDDMYWIAM13
Banco Santander SA
05964HAL9
400000.00000000
PA
USD
373864.50000000
0.045873132330
Long
DBT
CORP
ES
N
2
2026-03-25
Fixed
1.84900000
N
N
N
N
N
N
United Airlines Pass-Through Trust
N/A
United Airlines Pass-Through Trust, Series 2015-1, Class AA
90932LAA5
33766.75210000
PA
USD
33345.12000000
0.004091442494
Long
DBT
CORP
US
N
2
2027-12-01
Fixed
3.45000000
N
N
N
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
-2987.19000000
-0.00036652787
N/A
DFE
N/A
N
2
Bank of America
B4TYDEB6GKMZO031MB27
370000.00000000
EUR
310282.00000000
GBP
2022-06-15
-2987.19000000
N
N
N
Oracle Corp.
1Z4GXXU7ZHVWFCD8TV52
Oracle Corp.
68389XBF1
293000.00000000
PA
USD
263120.12000000
0.032284809292
Long
DBT
CORP
US
N
2
2045-05-15
Fixed
4.12500000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Uniform Mortgage-Backed Securities
3138WHFL1
59527.77000000
PA
USD
59177.73000000
0.007261100851
Long
ABS-MBS
USGSE
US
N
2
2046-06-01
Fixed
3.00000000
N
N
N
N
N
N
N/A
N/A
OIS
N/A
282845000.00000000
PA
USD
-215637.63000000
-0.02645871308
N/A
DIR
GB
N
2
LCH Clearnet
549300TXTCI7WVVJS380
Y
2022-09-21
0.00000000
USD
0.00000000
USD
282845000.00000000
USD
-215637.63000000
N
N
N
Litigation Fee Residual Funding LLC
N/A
Litigation Fee Residual Funding LLC, Series 2015-1
53688TAA2
5957.19800000
PA
USD
5846.98000000
0.000717423791
Long
ABS-O
CORP
US
N
3
2027-10-30
Fixed
4.00000000
N
N
N
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
-3139.59000000
-0.00038522734
N/A
DFE
N/A
N
2
Citibank
MBNUM2BPBDO7JBLYG310
1344000.00000000
TRY
84000.00000000
USD
2022-06-08
-3139.59000000
N
N
N
State of California
N/A
State of California, Series 2018
13063DGE2
815000.00000000
PA
USD
868549.91000000
0.106570976803
Long
DBT
MUN
US
N
2
2038-04-01
Fixed
4.60000000
N
N
N
N
N
N
State Street Corp.
549300ZFEEJ2IP5VME73
State Street Corp., Series F
857477AQ6
68000.00000000
PA
USD
67980.49000000
0.008341198518
Long
DBT
CORP
US
N
2
2022-06-15
Floating
4.42299960
N
N
N
N
N
N
Union Pacific Corp.
549300LMMRSZZCZ8CL11
Union Pacific Corp.
907818FW3
43000.00000000
PA
USD
38058.87000000
0.004669819091
Long
DBT
CORP
US
N
2
2052-03-10
Fixed
2.95000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Uniform Mortgage-Backed Securities
3140XFA43
314287.35620000
PA
USD
301959.34000000
0.037050377241
Long
ABS-MBS
USGSE
US
N
2
2051-11-01
Fixed
2.50000000
N
N
N
N
N
N
Alabama Power Co.
0RL818ELFOHP5JHOFU19
Alabama Power Co.
010392FT0
242000.00000000
PA
USD
224503.50000000
0.027546554337
Long
DBT
CORP
US
N
2
2049-10-01
Fixed
3.45000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Uniform Mortgage-Backed Securities
3140QL4T0
227441.61000000
PA
USD
230456.33000000
0.028276965912
Long
ABS-MBS
USGSE
US
N
2
2036-09-01
Fixed
3.00000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Uniform Mortgage-Backed Securities
3140XFFP1
355400.35260000
PA
USD
331057.58000000
0.040620728034
Long
ABS-MBS
USGSE
US
N
2
2052-01-01
Fixed
2.00000000
N
N
N
N
N
N
Raytheon Technologies Corp.
I07WOS4YJ0N7YRFE7309
Raytheon Technologies Corp.
75513ECP4
354000.00000000
PA
USD
310149.38000000
0.038055294233
Long
DBT
CORP
US
N
2
2052-03-15
Fixed
3.03000000
N
N
N
N
N
N
Pakistan Water & Power Development Authority
213800UA74QOTK6IES10
Pakistan Water & Power Development Authority
N/A
200000.00000000
PA
USD
129522.00000000
0.015892334911
Long
DBT
NUSS
PK
N
2
2031-06-04
Fixed
7.50000000
N
N
N
N
N
N
Wells Fargo Commercial Mortgage Trust
N/A
Wells Fargo Commercial Mortgage Trust, Series 2017-C39, Class D
95000XAM9
83000.00000000
PA
USD
74109.22000000
0.009093193004
Long
ABS-MBS
CORP
US
N
2
2050-09-15
Variable
4.34121840
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Uniform Mortgage-Backed Securities
31410G4B6
8921.25000000
PA
USD
9952.63000000
0.001221186587
Long
ABS-MBS
USGSE
US
N
2
2038-02-01
Fixed
6.00000000
N
N
N
N
N
N
General Motors Financial Co., Inc.
5493008B6JBRUJ90QL97
General Motors Financial Co., Inc.
37045XBK1
66000.00000000
PA
USD
66659.02000000
0.008179054297
Long
DBT
CORP
US
N
2
2023-05-09
Fixed
3.70000000
N
N
N
N
N
N
Federal Home Loan Mortgage Corp.
S6XOOCT0IEG5ABCC6L87
Uniform Mortgage-Backed Securities
3133KNCZ4
1522107.76940000
PA
USD
1460982.83000000
0.179262429818
Long
ABS-MBS
USGSE
US
N
2
2051-12-01
Fixed
2.50000000
N
N
N
N
N
N
Verizon Communications, Inc.
2S72QS2UO2OESLG6Y829
Verizon Communications, Inc.
92343VFT6
512000.00000000
PA
USD
435537.08000000
0.053440350997
Long
DBT
CORP
US
N
2
2040-11-20
Fixed
2.65000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Uniform Mortgage-Backed Securities
3140QNFD9
125545.30850000
PA
USD
120933.39000000
0.014838513425
Long
ABS-MBS
USGSE
US
N
2
2052-02-01
Fixed
2.50000000
N
N
N
N
N
N
Lowe's Cos., Inc.
WAFCR4OKGSC504WU3E95
Lowe's Cos., Inc.
548661ED5
220000.00000000
PA
USD
199107.13000000
0.024430422579
Long
DBT
CORP
US
N
2
2028-09-15
Fixed
1.70000000
N
N
N
N
N
N
Tampa Electric Co.
WS423EPRKJIIJUITXD73
Tampa Electric Co.
875127BF8
175000.00000000
PA
USD
187644.32000000
0.023023937074
Long
DBT
CORP
US
N
2
2049-06-15
Fixed
4.45000000
N
N
N
N
N
N
Invitation Homes Operating Partnership LP
549300147YMUQB3GW319
Invitation Homes Operating Partnership LP
46188BAD4
315000.00000000
PA
USD
321699.53000000
0.039472496346
Long
DBT
CORP
US
N
2
2032-04-15
Fixed
4.15000000
N
N
N
N
N
N
Federal Home Loan Mortgage Corp.
S6XOOCT0IEG5ABCC6L87
Uniform Mortgage-Backed Securities
3131Y9E25
232100.14640000
PA
USD
241548.51000000
0.029637975157
Long
ABS-MBS
USGSE
US
N
2
2049-01-01
Fixed
4.50000000
N
N
N
N
N
N
JPMorgan Mortgage Acquisition Trust
N/A
JPMorgan Mortgage Acquisition Trust, Series 2006-CW1, Class M1
46628MAG1
88830.41000000
PA
USD
87497.57000000
0.010735942051
Long
ABS-O
CORP
US
N
2
2036-05-25
Floating
0.86157000
N
N
N
N
N
N
Tenet Healthcare Corp.
0W9AIBT6U6ADJ2I8HK17
Tenet Healthcare Corp.
88033GDA5
23000.00000000
PA
USD
23108.22000000
0.002835376009
Long
DBT
CORP
US
N
2
2027-11-01
Fixed
5.12500000
N
N
N
N
N
N
N/A
N/A
CDSCMBX
N/A
28694.38062000
PA
USD
-4814.15000000
-0.00059069566
N/A
DCR
GB
N
2
Credit Suisse International
E58DKGMJYYYJLN8C3868
Markit CMBX North American BBB- 6
Markit CMBX North American BBB- 6
Y
Payout of notional amount upon default event with regard to the reference instrument
2063-05-11
0.00000000
USD
2174.82000000
USD
28694.00000000
USD
-4814.15000000
N
N
N
Energy Transfer LP
MTLVN9N7JE8MIBIJ1H73
Energy Transfer LP
86765BAU3
132000.00000000
PA
USD
132849.04000000
0.016300562347
Long
DBT
CORP
US
N
2
2027-10-01
Fixed
4.00000000
N
N
N
N
N
N
Entergy Arkansas LLC
549300A0I5ONUIFMLP35
Entergy Arkansas LLC
29366MAC2
117000.00000000
PA
USD
108973.66000000
0.013371055892
Long
DBT
CORP
US
N
2
2052-06-15
Fixed
3.35000000
N
N
N
N
N
N
Federal Home Loan Mortgage Corp.
S6XOOCT0IEG5ABCC6L87
Federal Home Loan Mortgage Corp.
3132KE3D5
23752.05000000
PA
USD
23540.96000000
0.002888473158
Long
ABS-MBS
USGSE
US
N
2
2030-05-01
Fixed
2.50000000
N
N
N
N
N
N
CWABS Asset-Backed Certificates Trust
N/A
CWABS Asset-Backed Certificates Trust, Series 2005-16, Class 1AF
126670NV6
92001.22000000
PA
USD
84948.08000000
0.010423119913
Long
ABS-O
CORP
US
N
2
2036-04-25
Variable
5.69000160
N
N
N
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
-1159.47000000
-0.00014226683
N/A
DFE
N/A
N
2
Deutsche Bank
7LTWFZYICNSX8D621K86
3051791046.00000000
IDR
211489.33000000
USD
2022-04-18
-1159.47000000
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
-2931.42000000
-0.00035968490
N/A
DFE
N/A
N
2
HSBC Bank
MP6I5ZYZBEU3UXPYFY54
176741.00000000
USD
157116.00000000
EUR
2022-04-01
-2931.42000000
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
-8662.74000000
-0.00106291722
N/A
DFE
N/A
N
2
Citibank
MBNUM2BPBDO7JBLYG310
636375.00000000
BRL
125000.00000000
USD
2022-04-04
-8662.74000000
N
N
N
Federal Home Loan Mortgage Corp.
S6XOOCT0IEG5ABCC6L87
Uniform Mortgage-Backed Securities
3132ADQE1
183854.25440000
PA
USD
186072.21000000
0.022831039353
Long
ABS-MBS
USGSE
US
N
2
2048-02-01
Fixed
3.50000000
N
N
N
N
N
N
AT&T, Inc.
549300Z40J86GGSTL398
AT&T, Inc.
00206RLV2
649000.00000000
PA
USD
569129.25000000
0.069832095313
Long
DBT
CORP
US
N
2
2059-09-15
Fixed
3.65000000
N
N
N
N
N
N
Baxter International, Inc.
J5OIVXX3P24RJRW5CK77
Baxter International, Inc.
071813CT4
96000.00000000
PA
USD
82181.15000000
0.010083617912
Long
DBT
CORP
US
N
2
2051-12-01
Fixed
3.13200000
N
N
N
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
-1054.94000000
-0.00012944101
N/A
DFE
N/A
N
2
Citibank
MBNUM2BPBDO7JBLYG310
532812.06000000
MXN
25733.00000000
USD
2022-04-01
-1054.94000000
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Uniform Mortgage-Backed Securities
3138WFG91
19394.94000000
PA
USD
19597.03000000
0.002404553388
Long
ABS-MBS
USGSE
US
N
2
2030-08-01
Fixed
3.00000000
N
N
N
N
N
N
United Mexican States
254900EGTWEU67VP6075
United Mexican States
91087BAM2
598000.00000000
PA
USD
544778.00000000
0.066844199662
Long
DBT
NUSS
MX
N
2
2031-05-24
Fixed
2.65900000
N
N
N
N
N
N
Vistra Operations Co. LLC
549300ZH5GKBTJZ7NM23
Vistra Operations Co. LLC
92840VAB8
93000.00000000
PA
USD
92921.42000000
0.011401447840
Long
DBT
CORP
US
N
2
2027-02-15
Fixed
5.62500000
N
N
N
N
N
N
Post Holdings, Inc.
JM1I5YUAURL6DC8N1468
Post Holdings, Inc.
737446AP9
57000.00000000
PA
USD
54844.26000000
0.006729384567
Long
DBT
CORP
US
N
2
2029-12-15
Fixed
5.50000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Uniform Mortgage-Backed Securities
3140XFGS4
750125.61950000
PA
USD
720000.67000000
0.088344001671
Long
ABS-MBS
USGSE
US
N
2
2052-01-01
Fixed
2.50000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Uniform Mortgage-Backed Securities
3140J7LM5
109923.28590000
PA
USD
109774.53000000
0.013469322551
Long
ABS-MBS
USGSE
US
N
2
2043-07-01
Fixed
3.00000000
N
N
N
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
4195.21000000
0.000514751797
N/A
DFE
N/A
N
2
Deutsche Bank
7LTWFZYICNSX8D621K86
406276.65000000
USD
370000.00000000
EUR
2022-06-15
4195.21000000
N
N
N
AEP Transmission Co. LLC
549300X123Z1I0LA3Y84
AEP Transmission Co. LLC
00115AAK5
155000.00000000
PA
USD
153012.52000000
0.018774619088
Long
DBT
CORP
US
N
2
2049-06-15
Fixed
3.80000000
N
N
N
N
N
N
Broadcom, Inc.
549300WV6GIDOZJTV909
Broadcom, Inc.
11135FAL5
133000.00000000
PA
USD
134579.84000000
0.016512931314
Long
DBT
CORP
US
N
2
2028-09-15
Fixed
4.11000000
N
N
N
N
N
N
AEP Texas, Inc.
5493001L78U618KXNZ75
AEP Texas, Inc., Series H
00108WAK6
91000.00000000
PA
USD
80766.36000000
0.009910023337
Long
DBT
CORP
US
N
2
2050-01-15
Fixed
3.45000000
N
N
N
N
N
N
Charter Communications Operating LLC
N/A
Charter Communications Operating LLC
161175BA1
1329000.00000000
PA
USD
1512911.42000000
0.185634062003
Long
DBT
CORP
US
N
2
2045-10-23
Fixed
6.48400000
N
N
N
N
N
N
SM Energy Co.
84BUTVXV5ODI6BXNMH43
SM Energy Co.
78454LAT7
12000.00000000
PA
USD
13099.92000000
0.001607358718
Long
DBT
CORP
US
N
2
2025-01-15
Fixed
10.00000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Government National Mortgage Association
36180DSX6
31168.83000000
PA
USD
31696.87000000
0.003889202403
Long
ABS-MBS
USGA
US
N
2
2043-04-15
Fixed
3.50000000
N
N
N
N
N
N
New York State Dormitory Authority
549300C8XO7EXTX2XU71
New York State Dormitory Authority, Series 2010H
6499022F9
60000.00000000
PA
USD
70506.42000000
0.008651129847
Long
DBT
MUN
US
N
2
2040-03-15
Fixed
5.38900000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Government National Mortgage Association
36202FM78
25485.00000000
PA
USD
26776.15000000
0.003285430609
Long
ABS-MBS
USGA
US
N
2
2040-12-20
Fixed
4.00000000
N
N
N
N
N
N
Federal Home Loan Mortgage Corp.
S6XOOCT0IEG5ABCC6L87
Uniform Mortgage-Backed Securities
3132D9B86
519548.10020000
PA
USD
526086.44000000
0.064550747341
Long
ABS-MBS
USGSE
US
N
2
2035-05-01
Fixed
3.50000000
N
N
N
N
N
N
N/A
N/A
CDSCMBX
N/A
120000.00000000
PA
USD
3725.44000000
0.000457111071
N/A
DCR
DE
N
2
Deutsche Bank AG
7LTWFZYICNSX8D621K86
Markit CMBX North American A 10
Markit CMBX North American A 10
Y
Payout of notional amount upon default event with regard to the reference instrument
2059-11-17
0.00000000
USD
4734.55000000
USD
120000.00000000
USD
3725.44000000
N
N
N
SG Mortgage Securities Trust
N/A
SG Mortgage Securities Trust, Series 2006-OPT2, Class A3D
78420MAF6
100000.00000000
PA
USD
81226.52000000
0.009966484918
Long
ABS-O
CORP
US
N
2
2036-10-25
Floating
0.66656880
N
N
N
N
N
N
United States of America
254900HROIFWPRGM1V77
U.S. Treasury Bonds
912810RZ3
4920000.00000000
PA
USD
5104884.35000000
0.626368738724
Long
DBT
UST
US
N
2
2047-11-15
Fixed
2.75000000
N
N
N
N
N
N
ConnectWise LLC
N/A
ConnectWise LLC, Term Loan
20786NAC1
156607.50000000
PA
USD
155354.64000000
0.019061996950
Long
LON
CORP
US
N
2
2028-09-29
Variable
4.00000000
N
N
N
N
N
N
Federal Home Loan Mortgage Corp.
S6XOOCT0IEG5ABCC6L87
Uniform Mortgage-Backed Securities
3133KJVE9
203535.08000000
PA
USD
199681.25000000
0.024500867039
Long
ABS-MBS
USGSE
US
N
2
2050-08-01
Fixed
3.00000000
N
N
N
N
N
N
United States of America
254900HROIFWPRGM1V77
U.S. Treasury Bonds
912810RB6
528000.00000000
PA
USD
546603.75000000
0.067068218983
Long
DBT
UST
US
N
2
2043-05-15
Fixed
2.87500000
N
N
N
N
N
N
AbbVie, Inc.
FR5LCKFTG8054YNNRU85
AbbVie, Inc.
00287YAR0
603000.00000000
PA
USD
647197.92000000
0.079411112389
Long
DBT
CORP
US
N
2
2035-05-14
Fixed
4.50000000
N
N
N
N
N
N
Stoneway Capital Corp.
549300CV1RKODDF74O91
Stoneway Capital Corp.
N/A
132837.45000000
PA
USD
36887.30000000
0.004526067583
Long
DBT
CORP
CA
N
2
2027-03-01
Fixed
10.00000000
Y
N
N
N
N
N
Lehman Brothers Holdings, Inc.
N/A
Lehman Brothers Holdings, Inc., Term Loan
N/A
339509.22000000
PA
USD
0.03000000
0.000000003680
Long
LON
CORP
US
N
3
2022-12-31
Variable
0.00000000
Y
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Government National Mortgage Association
36202FLN4
30153.43000000
PA
USD
31681.10000000
0.003887267426
Long
ABS-MBS
USGA
US
N
2
2040-10-20
Fixed
4.00000000
N
N
N
N
N
N
Ajax Mortgage Loan Trust
N/A
Ajax Mortgage Loan Trust, Series 2019-B, Class B
00970FAB8
117000.00000000
PA
USD
115981.60000000
0.014230929346
Long
ABS-MBS
CORP
US
N
2
2059-01-25
Variable
5.24999880
N
N
N
N
N
N
Home Depot, Inc. (The)
QEKMOTMBBKA8I816DO57
Home Depot, Inc. (The)
437076CK6
210000.00000000
PA
USD
180913.48000000
0.022198063759
Long
DBT
CORP
US
N
2
2051-09-15
Fixed
2.75000000
N
N
N
N
N
N
Humana, Inc.
529900YLDW34GJAO4J06
Humana, Inc.
444859BM3
150000.00000000
PA
USD
155317.98000000
0.019057498772
Long
DBT
CORP
US
N
2
2025-04-01
Fixed
4.50000000
N
N
N
N
N
N
Duke Energy Carolinas LLC
MWIUSDMN17TCR56VW396
Duke Energy Carolinas LLC
26442CAT1
104000.00000000
PA
USD
101449.11000000
0.012447794449
Long
DBT
CORP
US
N
2
2047-12-01
Fixed
3.70000000
N
N
N
N
N
N
Anheuser-Busch Cos. LLC
N/A
Anheuser-Busch Cos. LLC
03522AAJ9
195000.00000000
PA
USD
216868.25000000
0.026609710016
Long
DBT
CORP
US
N
2
2046-02-01
Fixed
4.90000000
N
N
N
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
-1586.60000000
-0.00019467564
N/A
DFE
N/A
N
2
Bank of America
B4TYDEB6GKMZO031MB27
630000.00000000
EUR
697324.95000000
USD
2022-06-15
-1586.60000000
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Uniform Mortgage-Backed Securities
31402Q2V2
2725.67000000
PA
USD
2945.09000000
0.000361362213
Long
ABS-MBS
USGSE
US
N
2
2035-03-01
Fixed
5.00000000
N
N
N
N
N
N
Entergy Louisiana LLC
0V5453U14HDZO63CGH17
Entergy Louisiana LLC
29364WBB3
325000.00000000
PA
USD
340388.92000000
0.041765682408
Long
DBT
CORP
US
N
2
2048-09-01
Fixed
4.20000000
N
N
N
N
N
N
Equinix, Inc.
549300EVUN2BTLJ3GT74
Equinix, Inc.
29444UBK1
433000.00000000
PA
USD
397893.06000000
0.048821433954
Long
DBT
CORP
US
N
2
2025-09-15
Fixed
1.00000000
N
N
N
N
N
N
Amgen, Inc.
62QBXGPJ34PQ72Z12S66
Amgen, Inc.
031162DF4
57000.00000000
PA
USD
58949.06000000
0.007233043068
Long
DBT
CORP
US
N
2
2052-02-22
Fixed
4.20000000
N
N
N
N
N
N
Conseco Finance Securitizations Corp.
N/A
Conseco Finance Securitizations Corp., Series 2000-5, Class A7
20846QER5
135675.38000000
PA
USD
54013.26000000
0.006627420960
Long
ABS-O
CORP
US
N
2
2031-05-01
Fixed
8.20000000
N
N
N
N
N
N
Fiserv, Inc.
GI7UBEJLXYLGR2C7GV83
Fiserv, Inc.
337738AU2
884000.00000000
PA
USD
870114.43000000
0.106762943232
Long
DBT
CORP
US
N
2
2029-07-01
Fixed
3.50000000
N
N
N
N
N
N
Consumers Energy Co.
7NKTFWJ1G6MELP9TU740
Consumers Energy Co.
210518DE3
381000.00000000
PA
USD
382738.28000000
0.046961944143
Long
DBT
CORP
US
N
2
2050-02-15
Fixed
3.75000000
N
N
N
N
N
N
Leidos, Inc.
5493006I78VIN6J1BQ95
Leidos, Inc.
52532XAH8
466000.00000000
PA
USD
403952.10000000
0.049564877484
Long
DBT
CORP
US
N
2
2031-02-15
Fixed
2.30000000
N
N
N
N
N
N
ServiceNow, Inc.
549300HJTQM36M0E1G39
ServiceNow, Inc.
81762PAE2
565000.00000000
PA
USD
480179.58000000
0.058917980754
Long
DBT
CORP
US
N
2
2030-09-01
Fixed
1.40000000
N
N
N
N
N
N
United States of America
254900HROIFWPRGM1V77
U.S. Treasury Notes
9128286B1
474000.00000000
PA
USD
479702.81000000
0.058859481128
Long
DBT
UST
US
N
2
2029-02-15
Fixed
2.62500000
N
N
N
N
N
N
N/A
N/A
CDS
N/A
230000.00000000
PA
USD
530.28000000
0.000065065296
N/A
DCR
GB
N
2
Goldman Sachs International
W22LROWP2IHZNBB6K528
United Mexican States
United Mexican States
Y
Receipt of notional amount upon default event with regard to the reference instrument
2027-06-20
0.00000000
USD
495.23000000
USD
230000.00000000
USD
530.28000000
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
-1573.43000000
-0.00019305968
N/A
DFE
N/A
N
2
Royal Bank of Canada
ES7IP3U3RHIGC71XBU11
150000.00000000
EUR
164440.65000000
USD
2022-04-20
-1573.43000000
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Government National Mortgage Association
36179V4W7
1398830.62160000
PA
USD
1388299.26000000
0.170344163910
Long
ABS-MBS
USGA
US
N
2
2051-01-20
Fixed
3.00000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Uniform Mortgage-Backed Securities
3138WEF61
34697.03800000
PA
USD
34377.28000000
0.004218088410
Long
ABS-MBS
USGSE
US
N
2
2030-03-01
Fixed
2.50000000
N
N
N
N
N
N
CHL Mortgage Pass-Through Trust
N/A
CHL Mortgage Pass-Through Trust, Series 2007-15, Class 2A2
17025TBJ9
188414.25000000
PA
USD
96814.59000000
0.011879139363
Long
ABS-MBS
CORP
US
N
2
2037-09-25
Fixed
6.50000000
N
N
N
N
N
N
NBK Tier 1 Ltd.
5493000G4QCCEE8YHF19
NBK Tier 1 Ltd.
62879NAA5
200000.00000000
PA
USD
186875.00000000
0.022929541596
Long
DBT
CORP
AE
N
2
2026-08-24
Variable
3.62499840
N
N
N
N
N
N
Devon Energy Corp.
54930042348RKR3ZPN35
Devon Energy Corp.
25179MAV5
56000.00000000
PA
USD
60605.98000000
0.007436346966
Long
DBT
CORP
US
N
2
2025-12-15
Fixed
5.85000000
N
N
N
N
N
N
Crown Castle International Corp.
54930012H97VSM0I2R19
Crown Castle International Corp.
22822VAR2
466000.00000000
PA
USD
445648.87000000
0.054681066499
Long
DBT
CORP
US
N
2
2030-07-01
Fixed
3.30000000
N
N
N
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
108.96000000
0.000013369379
N/A
DFE
N/A
N
2
HSBC Bank
MP6I5ZYZBEU3UXPYFY54
122000.00000000
USD
152664.83000000
CAD
2022-04-20
108.96000000
N
N
N
Federal Home Loan Mortgage Corp.
S6XOOCT0IEG5ABCC6L87
Federal Home Loan Mortgage Corp.
31335B2J4
203813.22830000
PA
USD
215358.54000000
0.026424468768
Long
ABS-MBS
USGSE
US
N
2
2047-04-01
Fixed
4.50000000
N
N
N
N
N
N
Azul Investments LLP
549300C6XNC8IDH04C74
Azul Investments LLP
05502FAC2
200000.00000000
PA
USD
167250.00000000
0.020521556291
Long
DBT
CORP
US
N
2
2026-06-15
Fixed
7.25000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Uniform Mortgage-Backed Securities
3140HHWE1
93738.68000000
PA
USD
97248.71000000
0.011932405838
Long
ABS-MBS
USGSE
US
N
2
2048-08-01
Fixed
4.00000000
N
N
N
N
N
N
L3Harris Technologies, Inc.
549300UTE50ZMDBG8A20
L3Harris Technologies, Inc.
502431AM1
165000.00000000
PA
USD
171590.49000000
0.021054133929
Long
DBT
CORP
US
N
2
2028-06-15
Fixed
4.40000000
N
N
N
N
N
N
Ajax Mortgage Loan Trust
N/A
Ajax Mortgage Loan Trust, Series 2018-G, Class C
00970DAC1
226422.64000000
PA
USD
224253.22000000
0.027515845009
Long
ABS-MBS
CORP
US
N
2
2057-06-25
Fixed
0.00000000
N
N
N
N
N
N
Bank of America Corp.
9DJT3UXIJIZJI4WXO774
Bank of America Corp.
06051GKJ7
606000.00000000
PA
USD
579022.59000000
0.071046007024
Long
DBT
CORP
US
N
2
2028-02-04
Variable
2.55099960
N
N
N
N
N
N
Federal Home Loan Mortgage Corp.
S6XOOCT0IEG5ABCC6L87
Uniform Mortgage-Backed Securities
3132DMRM9
331338.57000000
PA
USD
345740.71000000
0.042422346443
Long
ABS-MBS
USGSE
US
N
2
2048-08-01
Fixed
4.00000000
N
N
N
N
N
N
Wells Fargo & Co.
PBLD0EJDB5FWOLXP3B76
Wells Fargo & Co.
95000U2L6
179000.00000000
PA
USD
189543.10000000
0.023256917168
Long
DBT
CORP
US
N
2
2031-04-04
Variable
4.47800040
N
N
N
N
N
N
Apple, Inc.
HWUPKR0MPOU8FGXBT394
Apple, Inc.
037833EA4
639000.00000000
PA
USD
523674.34000000
0.064254782941
Long
DBT
CORP
US
N
2
2060-08-20
Fixed
2.55000000
N
N
N
N
N
N
Cox Communications, Inc.
5493001NEDZNIFRP2R92
Cox Communications, Inc.
224044CG0
22000.00000000
PA
USD
21870.28000000
0.002683480909
Long
DBT
CORP
US
N
2
2026-09-15
Fixed
3.35000000
N
N
N
N
N
N
Consumers Energy Co.
7NKTFWJ1G6MELP9TU740
Consumers Energy Co.
210518CZ7
94000.00000000
PA
USD
86387.04000000
0.010599680144
Long
DBT
CORP
US
N
2
2046-08-15
Fixed
3.25000000
N
N
N
N
N
N
CrownRock LP
N/A
CrownRock LP
228701AF5
39000.00000000
PA
USD
39750.17000000
0.004877341412
Long
DBT
CORP
US
N
2
2025-10-15
Fixed
5.62500000
N
N
N
N
N
N
Petroleos Mexicanos
549300CAZKPF4HKMPX17
Petroleos Mexicanos
71643VAB1
2099000.00000000
PA
USD
1994050.00000000
0.244669711950
Long
DBT
NUSS
MX
N
2
2032-02-16
Fixed
6.70000000
N
N
N
N
N
N
Federal Home Loan Mortgage Corp.
S6XOOCT0IEG5ABCC6L87
Uniform Mortgage-Backed Securities
3132DVLH6
188627.38410000
PA
USD
175661.43000000
0.021553637811
Long
ABS-MBS
USGSE
US
N
2
2050-11-01
Fixed
2.00000000
N
N
N
N
N
N
Commonwealth Edison Co.
D8YOXB8L2ZDC8P7Q0771
Commonwealth Edison Co., Series 130
202795JT8
30000.00000000
PA
USD
27192.31000000
0.003336493395
Long
DBT
CORP
US
N
2
2051-03-15
Fixed
3.12500000
N
N
N
N
N
N
VMware, Inc.
549300BUDHS3LRWBE814
VMware, Inc.
928563AK1
445000.00000000
PA
USD
394673.44000000
0.048426386940
Long
DBT
CORP
US
N
2
2028-08-15
Fixed
1.80000000
N
N
N
N
N
N
Sunoco LP
N/A
Sunoco LP
86765LAU1
95000.00000000
PA
USD
87522.08000000
0.010738949425
Long
DBT
CORP
US
N
2
2030-04-30
Fixed
4.50000000
N
N
N
N
N
N
Banc of America Commercial Mortgage Trust
N/A
Banc of America Commercial Mortgage Trust, Series 2017-BNK3, Class XB
06427DAU7
1000000.00000000
PA
USD
27023.30000000
0.003315755887
Long
ABS-MBS
CORP
US
N
2
2050-02-15
Variable
0.59924160
N
N
N
N
N
N
Washington Mutual Mortgage Pass-Through Certificates WMALT Trust
N/A
Washington Mutual Mortgage Pass-Through Certificates WMALT Trust, Series 2006-4, Class 3A1
939344AK3
28036.02000000
PA
USD
26896.02000000
0.003300138645
Long
ABS-MBS
CORP
US
N
2
2036-05-25
Variable
6.99999840
N
N
N
N
N
N
Florida Power & Light Co.
A89MY1K3YLIGJMYWVX50
Florida Power & Light Co.
341081GE1
215000.00000000
PA
USD
192740.92000000
0.023649289324
Long
DBT
CORP
US
N
2
2051-12-04
Fixed
2.87500000
N
N
N
N
N
N
Energy Transfer LP
MTLVN9N7JE8MIBIJ1H73
Energy Transfer LP
29273RAF6
30000.00000000
PA
USD
33757.35000000
0.004142023068
Long
DBT
CORP
US
N
2
2036-10-15
Fixed
6.62500000
N
N
N
N
N
N
N/A
N/A
OIS
N/A
12440000.00000000
PA
-16984.78000000
-0.00208403060
N/A
DIR
GB
N
2
LCH Clearnet
549300TXTCI7WVVJS380
Y
2027-03-20
6610.35000000
USD
0.00000000
USD
12440000.00000000
EUR
-16984.78000000
N
N
N
Bayview Commercial Asset Trust
N/A
Bayview Commercial Asset Trust, Series 2006-3A, Class A2
07324NAB9
9743.36000000
PA
USD
9246.33000000
0.001134523656
Long
ABS-MBS
CORP
US
N
2
2036-10-25
Floating
0.75656880
N
N
N
N
N
N
Lamar Media Corp.
N/A
Lamar Media Corp.
513075BR1
9000.00000000
PA
USD
8545.91000000
0.001048582201
Long
DBT
CORP
US
N
2
2028-02-15
Fixed
3.75000000
N
N
N
N
N
N
Wells Fargo Commercial Mortgage Trust
N/A
Wells Fargo Commercial Mortgage Trust, Series 2017-C41, Class D
95001AAD8
60000.00000000
PA
USD
45006.11000000
0.005522244662
Long
ABS-MBS
CORP
US
N
2
2050-11-15
Variable
2.59999920
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Government National Mortgage Association
36202E7F0
3859.93000000
PA
USD
4055.42000000
0.000497599580
Long
ABS-MBS
USGA
US
N
2
2039-07-20
Fixed
4.00000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Uniform Mortgage-Backed Securities
3138WHNX6
33584.22280000
PA
USD
33282.00000000
0.004083697677
Long
ABS-MBS
USGSE
US
N
2
2031-07-01
Fixed
2.50000000
N
N
N
N
N
N
MGM Growth Properties Operating Partnership LP
N/A
MGM Growth Properties Operating Partnership LP
55303XAB1
44000.00000000
PA
USD
44220.00000000
0.005425789053
Long
DBT
CORP
US
N
2
2026-09-01
Fixed
4.50000000
N
N
N
N
N
N
Cheniere Corpus Christi Holdings LLC
549300I7CIEWU1BBLQ53
Cheniere Corpus Christi Holdings LLC
16412XAG0
1216000.00000000
PA
USD
1296167.58000000
0.159039617079
Long
DBT
CORP
US
N
2
2027-06-30
Fixed
5.12500000
N
N
N
N
N
N
Commercial Mortgage Trust
N/A
Commercial Mortgage Trust, Series 2015-LC21, Class C
12593FBH6
150000.00000000
PA
USD
147611.48000000
0.018111912084
Long
ABS-MBS
CORP
US
N
2
2048-07-10
Variable
4.33374840
N
N
N
N
N
N
Advanced Drainage Systems, Inc.
N/A
Advanced Drainage Systems, Inc., Term Loan
N/A
29777.14000000
PA
USD
29572.57000000
0.003628551031
Long
LON
CORP
US
N
2
2026-07-31
Variable
2.48057000
N
N
N
N
N
N
Charles River Laboratories International, Inc.
549300BSQ0R4UZ5KX287
Charles River Laboratories International, Inc.
159864AE7
7000.00000000
PA
USD
6842.50000000
0.000839573984
Long
DBT
CORP
US
N
2
2028-05-01
Fixed
4.25000000
N
N
N
N
N
N
Otis Worldwide Corp.
549300ZLBKR8VSU25153
Otis Worldwide Corp.
68902VAK3
225000.00000000
PA
USD
210283.27000000
0.025801733707
Long
DBT
CORP
US
N
2
2030-02-15
Fixed
2.56500000
N
N
N
N
N
N
Anthem, Inc.
8MYN82XMYQH89CTMTH67
Anthem, Inc.
036752AD5
132000.00000000
PA
USD
141349.78000000
0.017343602194
Long
DBT
CORP
US
N
2
2047-12-01
Fixed
4.37500000
N
N
N
N
N
N
Lockheed Martin Corp.
DPRBOZP0K5RM2YE8UU08
Lockheed Martin Corp.
539830BB4
34000.00000000
PA
USD
36295.09000000
0.004453403483
Long
DBT
CORP
US
N
2
2042-12-15
Fixed
4.07000000
N
N
N
N
N
N
Federal National Mortgage Association or Federal Home Loan Mortgage Corp.
N/A
Uniform Mortgage-Backed Securities
01F012643
10323000.00000000
PA
USD
9212874.28000000
1.130418643625
Long
ABS-MBS
USGSE
US
N
2
2052-04-25
Fixed
1.50000000
N
N
N
N
N
N
Conseco Finance Securitizations Corp.
N/A
Conseco Finance Securitizations Corp., Series 2000-4, Class A6
20846QDV7
151157.38000000
PA
USD
39630.94000000
0.004862711904
Long
ABS-O
CORP
US
N
2
2032-05-01
Variable
8.30999880
N
N
N
N
N
N
Baltimore Gas & Electric Co.
88V8C2WYSOD1SPSSLH72
Baltimore Gas & Electric Co.
059165EJ5
166000.00000000
PA
USD
163478.90000000
0.020058842743
Long
DBT
CORP
US
N
2
2047-08-15
Fixed
3.75000000
N
N
N
N
N
N
Allegro CLO II-S Ltd.
635400R1GOVCHJ4SNX58
Allegro CLO II-S Ltd., Series 2014-1RA, Class A1
01751EAC2
423470.90000000
PA
USD
421572.82000000
0.051726937857
Long
ABS-CBDO
CORP
KY
N
2
2028-10-21
Floating
1.33513920
N
N
N
N
N
N
Northrop Grumman Corp.
RIMU48P07456QXSO0R61
Northrop Grumman Corp.
666807BN1
836000.00000000
PA
USD
836037.97000000
0.102581765401
Long
DBT
CORP
US
N
2
2028-01-15
Fixed
3.25000000
N
N
N
N
N
N
Discovery Communications LLC
L2Z2MO2EQURH3BREWI15
Discovery Communications LLC
N/A
413000.00000000
PA
447612.05000000
0.054921948466
Long
DBT
CORP
US
N
2
2027-03-19
Fixed
1.90000000
N
N
N
N
N
N
Ajax Mortgage Loan Trust
N/A
Ajax Mortgage Loan Trust, Series 2019-A, Class C
00969LAC6
184224.66000000
PA
USD
150124.68000000
0.018420281443
Long
ABS-MBS
CORP
US
N
3
2057-08-25
Fixed
0.00000000
N
N
N
N
N
N
Valcour Packaging LLC
N/A
Valcour Packaging LLC, 1st Lien Term Loan
91889CAB4
30000.00000000
PA
USD
29250.00000000
0.003588971728
Long
LON
CORP
US
N
3
2028-10-04
Variable
4.25000000
N
N
N
N
N
N
N/A
N/A
CDSCMBX
N/A
47938.01133999
PA
USD
-36.39000000
-0.00000446504
N/A
DCR
DE
N
2
Deutsche Bank AG
7LTWFZYICNSX8D621K86
Markit CMBX North American AAA 6
Markit CMBX North American AAA 6
Y
Receipt of notional amount upon default event with regard to the reference instrument
2063-05-11
0.00000000
USD
4.60000000
USD
47938.00000000
USD
-36.39000000
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Uniform Mortgage-Backed Securities
3138YTMU5
6822.69000000
PA
USD
6759.86000000
0.000829434065
Long
ABS-MBS
USGSE
US
N
2
2030-07-01
Fixed
2.50000000
N
N
N
N
N
N
Oracle Corp.
1Z4GXXU7ZHVWFCD8TV52
Oracle Corp.
68389XBW4
715000.00000000
PA
USD
620252.76000000
0.076104944271
Long
DBT
CORP
US
N
2
2040-04-01
Fixed
3.60000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Uniform Mortgage-Backed Securities
3140J7X91
17211.40760000
PA
USD
17057.21000000
0.002092917759
Long
ABS-MBS
USGSE
US
N
2
2030-02-01
Fixed
2.50000000
N
N
N
N
N
N
Crown Castle International Corp.
54930012H97VSM0I2R19
Crown Castle International Corp.
22822VAW1
469000.00000000
PA
USD
405584.75000000
0.049765203457
Long
DBT
CORP
US
N
2
2031-04-01
Fixed
2.10000000
N
N
N
N
N
N
Federal Home Loan Mortgage Corp.
S6XOOCT0IEG5ABCC6L87
Federal Home Loan Mortgage Corp.
3132L5AD5
41782.54000000
PA
USD
41750.50000000
0.005122781679
Long
ABS-MBS
USGSE
US
N
2
2043-04-01
Fixed
3.00000000
N
N
N
N
N
N
Bank of America Corp.
9DJT3UXIJIZJI4WXO774
Bank of America Corp.
06051GHL6
116000.00000000
PA
USD
117311.35000000
0.014394089522
Long
DBT
CORP
US
N
2
2024-07-23
Variable
3.86399880
N
N
N
N
N
N
Petroleos Mexicanos
549300CAZKPF4HKMPX17
Petroleos Mexicanos, Series 13-2
N/A
22055.00000000
PA
105846.54000000
0.012987358618
Long
DBT
NUSS
MX
N
2
2024-09-12
Fixed
7.18999920
N
N
N
N
N
N
Argentine Republic (The)
549300KPBYGYF7HCHO27
Argentine Republic (The)
040114HT0
421000.00000000
PA
USD
128194.50000000
0.015729450810
Long
DBT
NUSS
AR
N
2
2035-07-09
Variable
1.12500000
N
N
N
N
N
N
United States of America
254900HROIFWPRGM1V77
U.S. Treasury Bonds
912810RD2
528000.00000000
PA
USD
624483.75000000
0.076624086271
Long
DBT
UST
US
N
2
2043-11-15
Fixed
3.75000000
N
N
N
N
N
N
N/A
N/A
USD Currency
N/A
-334000.00000000
PA
USD
-812.99000000
-0.00009975378
N/A
DFE
GB
N
2
Barclays Bank plc
G5GSEF7VJP5I7OUK5573
Call
Written
N/A
USD Currency
1.00000000
855.00000000
USD
2022-05-06
XXXX
3993.27000000
N
N
N
Bayview Commercial Asset Trust
N/A
Bayview Commercial Asset Trust, Series 2007-2A, Class A1
07325XAA8
20399.42000000
PA
USD
19203.91000000
0.002356317608
Long
ABS-MBS
CORP
US
N
2
2037-07-25
Floating
0.72657000
N
N
N
N
N
N
Federal Home Loan Mortgage Corp.
S6XOOCT0IEG5ABCC6L87
Uniform Mortgage-Backed Securities
3132DM7D1
837530.14330000
PA
USD
780225.79000000
0.095733617158
Long
ABS-MBS
USGSE
US
N
2
2052-01-01
Fixed
2.00000000
N
N
N
N
N
N
Federal Home Loan Mortgage Corp.
S6XOOCT0IEG5ABCC6L87
Uniform Mortgage-Backed Securities
3132DMSG1
877357.81000000
PA
USD
866017.76000000
0.106260282281
Long
ABS-MBS
USGSE
US
N
2
2050-08-01
Fixed
3.00000000
N
N
N
N
N
N
N/A
N/A
EUR Currency
N/A
4910000.00000000
PA
8314.30000000
0.001020163679
N/A
DFE
US
N
2
Bank of America NA
B4TYDEB6GKMZO031MB27
Call
Purchased
N/A
EUR Currency
1.00000000
1.18500000
EUR
2022-08-05
XXXX
-34656.06000000
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
-3349.90000000
-0.00041103235
N/A
DFE
N/A
N
2
BNP Paribas
R0MUWSFPU8MPRO8K5P83
440000.00000000
EUR
484778.80000000
USD
2022-06-15
-3349.90000000
N
N
N
Goldman Sachs Group, Inc. (The)
784F5XWPLTWKTBV3E584
Goldman Sachs Group, Inc. (The)
38148LAE6
647000.00000000
PA
USD
656737.67000000
0.080581638647
Long
DBT
CORP
US
N
2
2025-05-22
Fixed
3.75000000
N
N
N
N
N
N
Federal National Mortgage Association or Federal Home Loan Mortgage Corp.
N/A
Uniform Mortgage-Backed Securities
01F030652
-2100000.00000000
PA
USD
-2049258.36000000
-0.25144377154
Short
ABS-MBS
USGSE
US
N
2
2052-05-25
Fixed
3.00000000
N
N
N
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
1426.52000000
0.000175033844
N/A
DFE
N/A
N
2
Citibank
MBNUM2BPBDO7JBLYG310
123000.00000000
USD
470475000.00000000
COP
2022-04-20
1426.52000000
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
16007.75000000
0.001964149134
N/A
DFE
N/A
N
2
HSBC Bank
MP6I5ZYZBEU3UXPYFY54
291012.00000000
USD
6123679.67000000
MXN
2022-04-20
16007.75000000
N
N
N
Ecopetrol SA
254900IDGKCJICKBPA66
Ecopetrol SA
279158AN9
318000.00000000
PA
USD
334218.00000000
0.041008511215
Long
DBT
NUSS
CO
N
2
2030-04-29
Fixed
6.87500000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Uniform Mortgage-Backed Securities
3138WEAC3
193138.28000000
PA
USD
195148.31000000
0.023944675808
Long
ABS-MBS
USGSE
US
N
2
2030-03-01
Fixed
3.00000000
N
N
N
N
N
N
Federal National Mortgage Association or Federal Home Loan Mortgage Corp.
N/A
Uniform Mortgage-Backed Securities
01F020646
-2226800.00000000
PA
USD
-2067009.72000000
-0.25362186143
Short
ABS-MBS
USGSE
US
N
2
2052-04-25
Fixed
2.00000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Uniform Mortgage-Backed Securities
31417TM62
27916.10000000
PA
USD
30618.37000000
0.003756870574
Long
ABS-MBS
USGSE
US
N
2
2039-12-01
Fixed
5.50000000
N
N
N
N
N
N
Goldman Sachs Group, Inc. (The)
784F5XWPLTWKTBV3E584
Goldman Sachs Group, Inc. (The)
38141GXJ8
3281000.00000000
PA
USD
3305469.70000000
0.405580762447
Long
DBT
CORP
US
N
2
2025-04-01
Fixed
3.50000000
N
N
N
N
N
N
Bear Stearns Asset-Backed Securities I Trust
N/A
Bear Stearns Asset-Backed Securities I Trust, Series 2007-HE3, Class 1A4
073852AD7
194673.17000000
PA
USD
192902.03000000
0.023669057503
Long
ABS-O
CORP
US
N
2
2037-04-25
Floating
0.80656920
N
N
N
N
N
N
General Motors Financial Co., Inc.
5493008B6JBRUJ90QL97
General Motors Financial Co., Inc.
37045XDL7
11000.00000000
PA
USD
9685.73000000
0.001188437987
Long
DBT
CORP
US
N
2
2031-06-10
Fixed
2.70000000
N
N
N
N
N
N
COBHAM Ultra U.S. Co.
N/A
COBHAM Ultra U.S. Co., Term Loan
L1802PAC3
42000.00000000
PA
USD
41492.64000000
0.005091142286
Long
LON
CORP
US
N
2
2028-11-17
Variable
0.00000000
N
N
N
N
N
N
Federal National Mortgage Association or Federal Home Loan Mortgage Corp.
N/A
Uniform Mortgage-Backed Securities
01F032641
-5027822.00000000
PA
USD
-5036463.57000000
-0.61797351667
Short
ABS-MBS
USGSE
US
N
2
2052-04-25
Fixed
3.50000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Uniform Mortgage-Backed Securities
3140HP4C8
23523.81880000
PA
USD
24828.29000000
0.003046428405
Long
ABS-MBS
USGSE
US
N
2
2048-09-01
Fixed
5.00000000
N
N
N
N
N
N
Romark WM-R Ltd.
N/A
Romark WM-R Ltd., Series 2018-1A, Class A1
77587AAC0
247404.46000000
PA
USD
245434.08000000
0.030114734162
Long
ABS-CBDO
CORP
KY
N
2
2031-04-20
Floating
1.28400120
N
N
N
N
N
N
AT&T, Inc.
549300Z40J86GGSTL398
AT&T, Inc.
00206RJY9
172000.00000000
PA
USD
161280.77000000
0.019789132438
Long
DBT
CORP
US
N
2
2031-06-01
Fixed
2.75000000
N
N
N
N
N
N
Federal Home Loan Mortgage Corp.
S6XOOCT0IEG5ABCC6L87
Federal Home Loan Mortgage Corp.
3128MAD55
55589.28000000
PA
USD
56739.95000000
0.006961985518
Long
ABS-MBS
USGSE
US
N
2
2045-01-01
Fixed
3.50000000
N
N
N
N
N
N
FirstEnergy Corp.
549300SVYJS666PQJH88
FirstEnergy Corp., Series C
337932AJ6
125000.00000000
PA
USD
130417.50000000
0.016002212661
Long
DBT
CORP
US
N
2
2047-07-15
Fixed
5.34999960
N
N
N
N
N
N
Exelon Corp.
3SOUA6IRML7435B56G12
Exelon Corp.
30161NBF7
17000.00000000
PA
USD
17266.41000000
0.002118586575
Long
DBT
CORP
US
N
2
2052-03-15
Fixed
4.10000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Uniform Mortgage-Backed Securities
3138WFZF6
19666.92000000
PA
USD
19485.45000000
0.002390862535
Long
ABS-MBS
USGSE
US
N
2
2030-11-01
Fixed
2.50000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Government National Mortgage Association Variable Rate Notes, Series 2016-125
38379Y6T0
139153.70400000
PA
USD
5986.42000000
0.000734533064
Long
ABS-MBS
USGA
US
N
2
2057-12-16
Variable
0.82203120
N
N
N
N
N
N
Norfolk Southern Corp.
54930036C8MWP850MI84
Norfolk Southern Corp.
655844CF3
194000.00000000
PA
USD
172806.08000000
0.021203286686
Long
DBT
CORP
US
N
2
2050-05-15
Fixed
3.05000000
N
N
N
N
N
N
Federal National Mortgage Association or Federal Home Loan Mortgage Corp.
N/A
Uniform Mortgage-Backed Securities
01F040644
-8211866.00000000
PA
USD
-8381235.74000000
-1.02837668779
Short
ABS-MBS
USGSE
US
N
2
2052-04-25
Fixed
4.00000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Uniform Mortgage-Backed Securities
31418CA79
44458.35000000
PA
USD
45666.20000000
0.005603237631
Long
ABS-MBS
USGSE
US
N
2
2031-08-01
Fixed
3.50000000
N
N
N
N
N
N
Ajax Mortgage Loan Trust
N/A
Ajax Mortgage Loan Trust, Series 2019-A, Class A
00969LAA0
270190.50000000
PA
USD
269697.97000000
0.033091910751
Long
ABS-MBS
CORP
US
N
2
2057-08-25
Variable
3.75000120
N
N
N
N
N
N
Suzano Austria GmbH
254900287ZNSGVP1R341
Suzano Austria GmbH, Series DM3N
86964WAK8
90000.00000000
PA
USD
79744.50000000
0.009784641229
Long
DBT
CORP
AT
N
2
2032-01-15
Fixed
3.12500000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Uniform Mortgage-Backed Securities
3138LSK41
13213.13000000
PA
USD
13724.38000000
0.001683979890
Long
ABS-MBS
USGSE
US
N
2
2042-05-01
Fixed
4.00000000
N
N
N
N
N
N
Southern California Edison Co.
9R1Z5I36FERIBVKW4P77
Southern California Edison Co., Series 20C
842400GV9
137000.00000000
PA
USD
125989.32000000
0.015458875471
Long
DBT
CORP
US
N
2
2026-02-01
Fixed
1.20000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Uniform Mortgage-Backed Securities
3140XFGB1
554508.04410000
PA
USD
530864.32000000
0.065136992682
Long
ABS-MBS
USGSE
US
N
2
2052-01-01
Fixed
2.50000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Uniform Mortgage-Backed Securities
3138WJDN5
83291.67190000
PA
USD
82541.24000000
0.010127800915
Long
ABS-MBS
USGSE
US
N
2
2031-10-01
Fixed
2.50000000
N
N
N
N
N
N
N/A
N/A
CDS
N/A
223287.00000000
PA
USD
-2494.69000000
-0.00030609818
N/A
DCR
GB
N
2
Morgan Stanley & Co. International plc
4PQUHN3JPFGFNF3BB653
Republic of South Africa
Republic of South Africa
Y
Receipt of notional amount upon default event with regard to the reference instrument
2027-06-20
13837.23000000
USD
0.00000000
USD
223287.00000000
USD
-2494.69000000
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Government National Mortgage Association
36179NBB3
70874.27000000
PA
USD
72769.41000000
0.008928798467
Long
ABS-MBS
USGA
US
N
2
2043-04-20
Fixed
3.50000000
N
N
N
N
N
N
Aramark Services, Inc.
42YMHYH0XMHJEXDUB065
Aramark Services, Inc.
038522AQ1
83000.00000000
PA
USD
80510.00000000
0.009878567994
Long
DBT
CORP
US
N
2
2028-02-01
Fixed
5.00000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Government National Mortgage Association
36179SYT8
299122.33920000
PA
USD
309587.89000000
0.037986399473
Long
ABS-MBS
USGA
US
N
2
2047-03-20
Fixed
4.00000000
N
N
N
N
N
N
Vistra Operations Co. LLC
549300ZH5GKBTJZ7NM23
Vistra Operations Co. LLC
92840VAA0
72000.00000000
PA
USD
72393.84000000
0.008882716070
Long
DBT
CORP
US
N
2
2026-09-01
Fixed
5.50000000
N
N
N
N
N
N
Pacific Gas & Electric Co.
1HNPXZSMMB7HMBMVBS46
Pacific Gas & Electric Co.
694308JN8
272000.00000000
PA
USD
256196.68000000
0.031435303978
Long
DBT
CORP
US
N
2
2050-07-01
Fixed
4.95000000
N
N
N
N
N
N
United States of America
254900HROIFWPRGM1V77
U.S. Treasury Bonds
912810QD3
146000.00000000
PA
USD
185596.80000000
0.022772706599
Long
DBT
UST
US
N
2
2039-11-15
Fixed
4.37500000
N
N
N
N
N
N
Petroleos Mexicanos
549300CAZKPF4HKMPX17
Petroleos Mexicanos
71654QDD1
99000.00000000
PA
USD
86130.00000000
0.010568141365
Long
DBT
NUSS
MX
N
2
2050-01-23
Fixed
7.69000000
N
N
N
N
N
N
Leslie's Poolmart, Inc.
549300MZRH1GJYUMRM83
Leslie's Poolmart, Inc., Term Loan
52706YAJ2
44966.90000000
PA
USD
44311.28000000
0.005436989099
Long
LON
CORP
US
N
2
2028-03-09
Variable
3.01870999
N
N
N
N
N
N
Yuzhou Group Holdings Co. Ltd.
213800MP59KHGJSPHE82
Yuzhou Group Holdings Co. Ltd.
N/A
200000.00000000
PA
USD
28000.00000000
0.003435596867
Long
DBT
CORP
KY
N
2
2023-10-25
Fixed
6.00000000
N
N
N
N
N
N
Federal Republic of Nigeria
549300GSBZD84TNEQ285
Federal Republic of Nigeria
65412JAU7
200000.00000000
PA
USD
200750.00000000
0.024632002544
Long
DBT
NUSS
NG
N
2
2029-03-24
Fixed
8.37500000
N
N
N
N
N
N
Cydsa SAB de CV
4469000001BNTACN9916
Cydsa SAB de CV
232553AA5
200000.00000000
PA
USD
191000.00000000
0.023435678635
Long
DBT
CORP
MX
N
2
2027-10-04
Fixed
6.25000000
N
N
N
N
N
N
Marsh & McLennan Cos., Inc.
549300XMP3KDCKJXIU47
Marsh & McLennan Cos., Inc.
571748BM3
145000.00000000
PA
159509.58000000
0.019571807623
Long
DBT
CORP
US
N
2
2030-03-21
Fixed
1.97900000
N
N
N
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
-3196.60000000
-0.00039222246
N/A
DFE
N/A
N
2
BNP Paribas
R0MUWSFPU8MPRO8K5P83
2119190.00000000
MXN
102375.38000000
USD
2022-05-24
-3196.60000000
N
N
N
Ameren Illinois Co.
RC71E2BZ6UOMFPDJSE79
Ameren Illinois Co.
02361DAS9
120000.00000000
PA
USD
123141.17000000
0.015109407784
Long
DBT
CORP
US
N
2
2028-05-15
Fixed
3.80000000
N
N
N
N
N
N
American Tower Corp.
5493006ORUSIL88JOE18
American Tower Corp.
03027XAD2
16000.00000000
PA
USD
16549.40000000
0.002030609528
Long
DBT
CORP
US
N
2
2024-02-15
Fixed
5.00000000
N
N
N
N
N
N
OZLM Funding IV Ltd.
549300788AI08GTXXH35
OZLM Funding IV Ltd., Series 2013-4A, Class A1R
67108FAN6
382655.32000000
PA
USD
380445.79000000
0.046680655877
Long
ABS-CBDO
CORP
KY
N
2
2030-10-22
Floating
1.50886080
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Uniform Mortgage-Backed Securities
3140QE2C5
151561.31640000
PA
USD
157470.65000000
0.019321631140
Long
ABS-MBS
USGSE
US
N
2
2050-09-01
Fixed
4.00000000
N
N
N
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
-4295.42000000
-0.00052704755
N/A
DFE
N/A
N
2
Citibank
MBNUM2BPBDO7JBLYG310
2175284.29000000
MXN
105070.31000000
USD
2022-04-01
-4295.42000000
N
N
N
Morgan Stanley Bank of America Merrill Lynch Trust
N/A
Morgan Stanley Bank of America Merrill Lynch Trust, Series 2014-C19, Class XF
61764PAJ1
130000.00000000
PA
USD
3671.20000000
0.000450455829
Long
ABS-MBS
CORP
US
N
2
2047-12-15
Variable
1.17666360
N
N
N
N
N
N
Navient Private Education Loan Trust
54930094LU45XF2CP718
Navient Private Education Loan Trust, Series 2014-AA, Class A2B
63939CAC1
70552.92000000
PA
USD
70651.87000000
0.008668976546
Long
ABS-O
CORP
US
N
2
2029-02-15
Floating
1.64657160
N
N
N
N
N
N
Seasoned Credit Risk Transfer Trust
N/A
Seasoned Credit Risk Transfer Trust, Series 2017-3, Class B
35563PCG2
113424.93000000
PA
USD
33356.41000000
0.004092827775
Long
ABS-MBS
CORP
US
N
2
2056-07-25
None
0.00000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Government National Mortgage Association
21H022648
5714000.00000000
PA
USD
5541910.37000000
0.679991782494
Long
ABS-MBS
USGA
US
N
2
2052-04-15
Fixed
2.50000000
N
N
N
N
N
N
Federal Home Loan Mortgage Corp.
S6XOOCT0IEG5ABCC6L87
Uniform Mortgage-Backed Securities
3132DMRF4
559010.21000000
PA
USD
564494.37000000
0.069263396055
Long
ABS-MBS
USGSE
US
N
2
2046-09-01
Fixed
3.50000000
N
N
N
N
N
N
Matador Resources Co.
549300CI3Q2UUK5R4G79
Matador Resources Co.
576485AE6
16000.00000000
PA
USD
16292.80000000
0.001999124737
Long
DBT
CORP
US
N
2
2026-09-15
Fixed
5.87500000
N
N
N
N
N
N
CCO Holdings LLC
N/A
CCO Holdings LLC
1248EPCD3
106000.00000000
PA
USD
101785.44000000
0.012489062102
Long
DBT
CORP
US
N
2
2030-03-01
Fixed
4.75000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Uniform Mortgage-Backed Securities
3140J8F24
13650.68220000
PA
USD
14714.95000000
0.001805522719
Long
ABS-MBS
USGSE
US
N
2
2045-06-01
Fixed
5.00000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Uniform Mortgage-Backed Securities
3140J75N1
46354.23150000
PA
USD
45935.05000000
0.005636225496
Long
ABS-MBS
USGSE
US
N
2
2030-08-01
Fixed
2.50000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Uniform Mortgage-Backed Securities
3138LTFX1
2154.83000000
PA
USD
2194.16000000
0.000269223186
Long
ABS-MBS
USGSE
US
N
2
2042-05-01
Fixed
3.50000000
N
N
N
N
N
N
Union Pacific Corp.
549300LMMRSZZCZ8CL11
Union Pacific Corp.
907818FG8
550000.00000000
PA
USD
551912.25000000
0.067719571339
Long
DBT
CORP
US
N
2
2060-03-20
Fixed
3.83900000
N
N
N
N
N
N
Rogers Communications, Inc.
54930030NVF3Y2OL0A78
Rogers Communications, Inc.
775109CD1
506000.00000000
PA
USD
503044.06000000
0.061723449892
Long
DBT
CORP
CA
N
2
2052-03-15
Fixed
4.55000000
N
N
N
N
N
N
Zurn LLC
N/A
Zurn LLC, 1st Lien Term Loan
76168JAS5
11970.00000000
PA
USD
11890.16000000
0.001458921301
Long
LON
CORP
US
N
2
2028-10-04
Variable
2.75000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Uniform Mortgage-Backed Securities
3138W9F88
42273.88250000
PA
USD
41891.94000000
0.005140136352
Long
ABS-MBS
USGSE
US
N
2
2028-08-01
Fixed
2.50000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Uniform Mortgage-Backed Securities
31418XDE5
2316.70000000
PA
USD
2381.06000000
0.000292155795
Long
ABS-MBS
USGSE
US
N
2
2025-07-01
Fixed
4.50000000
N
N
N
N
N
N
N/A
N/A
USCPI
N/A
3822000.00000000
PA
USD
24923.27000000
0.003058082441
N/A
DO
GB
N
2
LCH Clearnet
549300TXTCI7WVVJS380
Y
2027-03-31
0.00000000
USD
0.00000000
USD
3822000.00000000
USD
24923.27000000
N
N
N
N/A
N/A
IRS
N/A
6232000.00000000
PA
-13642.42000000
-0.00167392340
N/A
DIR
US
N
2
CME Group Inc.
LCZ7XYGSLJUHFXXNXD88
Y
2032-01-23
0.00000000
USD
0.00000000
USD
6232000.00000000
MXN
-13642.42000000
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
12209.39000000
0.001498090787
N/A
DFE
N/A
N
2
Barclays Bank
G5GSEF7VJP5I7OUK5573
975141.85000000
USD
890000.00000000
EUR
2022-06-15
12209.39000000
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Uniform Mortgage-Backed Securities
3140XFM40
876102.15830000
PA
USD
842290.22000000
0.103348915777
Long
ABS-MBS
USGSE
US
N
2
2052-01-01
Fixed
2.50000000
N
N
N
N
N
N
Washington Mutual Bank
N/A
Washington Mutual Escrow Bonds
939MMIBF0
300000.00000000
PA
USD
0.03000000
0.000000003680
Long
DBT
CORP
US
N
3
2009-11-06
Fixed
0.00000000
Y
N
N
N
N
N
EOG Resources, Inc.
XWTZDRYZPBUHIQBKDB46
EOG Resources, Inc.
26875PAP6
62000.00000000
PA
USD
64198.50000000
0.007877148768
Long
DBT
CORP
US
N
2
2026-01-15
Fixed
4.15000000
N
N
N
N
N
N
Federal Home Loan Mortgage Corp.
S6XOOCT0IEG5ABCC6L87
Federal Home Loan Mortgage Corp.
3128MFCX4
120192.79010000
PA
USD
119127.13000000
0.014616885525
Long
ABS-MBS
USGSE
US
N
2
2031-04-01
Fixed
2.50000000
N
N
N
N
N
N
NPC Ukrenergo
8945009LCLS92V4AK321
NPC Ukrenergo
63718LAA2
200000.00000000
PA
USD
75000.00000000
0.009202491610
Long
DBT
NUSS
UA
N
2
2026-11-09
Fixed
6.87500000
N
N
N
N
N
N
Lockheed Martin Corp.
DPRBOZP0K5RM2YE8UU08
Lockheed Martin Corp.
539830BQ1
132000.00000000
PA
USD
115541.83000000
0.014176969616
Long
DBT
CORP
US
N
2
2050-06-15
Fixed
2.80000000
N
N
N
N
N
N
Federal National Mortgage Association or Federal Home Loan Mortgage Corp.
N/A
Uniform Mortgage-Backed Securities
01F022659
7569000.00000000
PA
USD
7206329.85000000
0.884215866511
Long
ABS-MBS
USGSE
US
N
2
2052-05-25
Fixed
2.50000000
N
N
N
N
N
N
Verizon Communications, Inc.
2S72QS2UO2OESLG6Y829
Verizon Communications, Inc.
92343VGM0
794000.00000000
PA
USD
717152.79000000
0.087994567113
Long
DBT
CORP
US
N
2
2032-03-15
Fixed
2.35500000
N
N
N
N
N
N
Enterprise Products Operating LLC
5493004LGN656HWLDA30
Enterprise Products Operating LLC
29379VCB7
120000.00000000
PA
USD
102379.48000000
0.012561950744
Long
DBT
CORP
US
N
2
2053-02-15
Fixed
3.30000000
N
N
N
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
-2067.46000000
-0.00025367711
N/A
DFE
N/A
N
2
Barclays Bank
G5GSEF7VJP5I7OUK5573
1064754.52000000
MXN
51464.69000000
USD
2022-04-01
-2067.46000000
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Government National Mortgage Association
3620A6DC8
5918.02000000
PA
USD
6527.13000000
0.000800878120
Long
ABS-MBS
USGA
US
N
2
2039-07-15
Fixed
5.00000000
N
N
N
N
N
N
Countrywide Asset-Backed Certificates
N/A
Countrywide Asset-Backed Certificates, Series 2006-SPS1, Class A
12666MAA9
48.24000000
PA
USD
292.16000000
0.000035847999
Long
ABS-O
CORP
US
N
2
2025-12-25
Floating
0.67656960
N
N
N
N
N
N
Goldman Sachs Group, Inc. (The)
784F5XWPLTWKTBV3E584
Goldman Sachs Group, Inc. (The)
38141GYB4
316000.00000000
PA
USD
287200.04000000
0.035239412782
Long
DBT
CORP
US
N
2
2032-04-22
Variable
2.61500040
N
N
N
N
N
N
N/A
N/A
CDS
N/A
120000.00000000
PA
USD
-957.16000000
-0.00011744342
N/A
DCR
GB
N
2
Barclays Bank plc
G5GSEF7VJP5I7OUK5573
Federative Republic of Brazil
Federative Republic of Brazil
Y
Receipt of notional amount upon default event with regard to the reference instrument
2024-12-20
1650.54000000
USD
0.00000000
USD
120000.00000000
USD
-957.16000000
N
N
N
United States of America
254900HROIFWPRGM1V77
U.S. Treasury Notes
912828Y87
1995000.00000000
PA
USD
1963828.13000000
0.240961491881
Long
DBT
UST
US
N
2
2024-07-31
Fixed
1.75000000
N
N
N
N
N
N
United States of America
254900HROIFWPRGM1V77
U.S. Treasury Notes
91282CBX8
4447000.00000000
PA
USD
4368482.66000000
0.536012333733
Long
DBT
UST
US
N
2
2023-04-30
Fixed
0.12500000
N
N
N
N
N
N
Clear Channel Outdoor Holdings, Inc.
N/A
Clear Channel Outdoor Holdings, Inc.
18453HAA4
92000.00000000
PA
USD
91005.48000000
0.011166362216
Long
DBT
CORP
US
N
2
2027-08-15
Fixed
5.12500000
N
N
N
N
N
N
Federal Home Loan Mortgage Corp.
S6XOOCT0IEG5ABCC6L87
Uniform Mortgage-Backed Securities
31329KW83
16258.50750000
PA
USD
16317.49000000
0.002002154197
Long
ABS-MBS
USGSE
US
N
2
2037-09-01
Fixed
3.00000000
N
N
N
N
N
N
Operadora de Servicios Mega SA de CV Sofom ER
4469000001BP4DCM0P31
Operadora de Servicios Mega SA de CV Sofom ER
68373NAA3
200000.00000000
PA
USD
149287.50000000
0.018317559551
Long
DBT
CORP
MX
N
2
2025-02-11
Fixed
8.25000000
N
N
N
N
N
N
Bay Area Toll Authority
5493001FUZGUQMIP5D78
Bay Area Toll Authority, Series 2010S-1
072024NV0
290000.00000000
PA
USD
444680.99000000
0.054562307732
Long
DBT
MUN
US
N
2
2050-04-01
Fixed
7.04300000
N
N
N
N
N
N
JPMCC Commercial Mortgage Securities Trust
N/A
JPMCC Commercial Mortgage Securities Trust, Series 2017-JP7, Class B
465968AK1
10000.00000000
PA
USD
9907.09000000
0.001215598834
Long
ABS-MBS
CORP
US
N
2
2050-09-15
Fixed
4.05000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Uniform Mortgage-Backed Securities
3140QEQC9
217310.02540000
PA
USD
219060.01000000
0.026878638723
Long
ABS-MBS
USGSE
US
N
2
2050-08-01
Fixed
3.50000000
N
N
N
N
N
N
Crown Castle International Corp.
54930012H97VSM0I2R19
Crown Castle International Corp.
22822VAN1
583000.00000000
PA
USD
552403.47000000
0.067779843978
Long
DBT
CORP
US
N
2
2029-11-15
Fixed
3.10000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Uniform Mortgage-Backed Securities
3138WD7A3
4829.47180000
PA
USD
4785.04000000
0.000587123872
Long
ABS-MBS
USGSE
US
N
2
2030-02-01
Fixed
2.50000000
N
N
N
N
N
N
Ohio Power Co.
06ZODLC132CY1O2Y7D77
Ohio Power Co., Series R
677415CU3
191000.00000000
PA
USD
158279.42000000
0.019420867129
Long
DBT
CORP
US
N
2
2051-10-01
Fixed
2.90000000
N
N
N
N
N
N
Santander UK Group Holdings plc
549300F5XIFGNNW4CF72
Santander UK Group Holdings plc
80281LAM7
240000.00000000
PA
USD
220616.88000000
0.027069666498
Long
DBT
CORP
GB
N
2
2026-08-21
Variable
1.53200160
N
N
N
N
N
N
Dryden 45 Senior Loan Fund
54930046L20VLJKPVV31
Dryden 45 Senior Loan Fund, Series 2016-45A, Class BR
26244MAQ5
250000.00000000
PA
USD
247932.88000000
0.030421336642
Long
ABS-CBDO
CORP
KY
N
2
2030-10-15
Floating
1.94128920
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Uniform Mortgage-Backed Securities
3140J5JU4
80882.31000000
PA
USD
82200.54000000
0.010085997063
Long
ABS-MBS
USGSE
US
N
2
2047-05-01
Fixed
3.50000000
N
N
N
N
N
N
Federal Home Loan Mortgage Corp.
S6XOOCT0IEG5ABCC6L87
Federal Home Loan Mortgage Corp.
31335AAT5
32955.22000000
PA
USD
35132.69000000
0.004310777133
Long
ABS-MBS
USGSE
US
N
2
2043-12-01
Fixed
4.50000000
N
N
N
N
N
N
NSTAR Electric Co.
54930080R72Y2Z31UR68
NSTAR Electric Co.
67021CAP2
59000.00000000
PA
USD
61241.33000000
0.007514304340
Long
DBT
CORP
US
N
2
2030-04-01
Fixed
3.95000000
N
N
N
N
N
N
Northern States Power Co.
3S1GHB0TEH85KX44SB51
Northern States Power Co.
665772CS6
123000.00000000
PA
USD
104028.24000000
0.012764253411
Long
DBT
CORP
US
N
2
2051-06-01
Fixed
2.60000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Uniform Mortgage-Backed Securities
3138X6T70
288721.27580000
PA
USD
305260.74000000
0.037455458652
Long
ABS-MBS
USGSE
US
N
2
2043-11-01
Fixed
4.50000000
N
N
N
N
N
N
Federal Home Loan Mortgage Corp.
S6XOOCT0IEG5ABCC6L87
Uniform Mortgage-Backed Securities
3132DMRK3
704381.52000000
PA
USD
736362.55000000
0.090351602517
Long
ABS-MBS
USGSE
US
N
2
2045-01-01
Fixed
4.00000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Uniform Mortgage-Backed Securities
3138EQLE0
75321.83000000
PA
USD
80721.30000000
0.009904494480
Long
ABS-MBS
USGSE
US
N
2
2041-07-01
Fixed
5.00000000
N
N
N
N
N
N
First Franklin Mortgage Loan Trust
N/A
First Franklin Mortgage Loan Trust, Series 2006-FFH1, Class M2
32027NZN4
94880.84000000
PA
USD
83538.04000000
0.010250108163
Long
ABS-O
CORP
US
N
2
2036-01-25
Floating
1.05657120
N
N
N
N
N
N
Federal Home Loan Mortgage Corp.
S6XOOCT0IEG5ABCC6L87
Federal Home Loan Mortgage Corp.
31335BCH7
73150.00500000
PA
USD
77200.17000000
0.009472452223
Long
ABS-MBS
USGSE
US
N
2
2047-05-01
Fixed
4.50000000
N
N
N
N
N
N
Gilead Sciences, Inc.
549300WTZWR07K8MNV44
Gilead Sciences, Inc.
375558BD4
549000.00000000
PA
USD
608391.56000000
0.074649576358
Long
DBT
CORP
US
N
2
2046-03-01
Fixed
4.75000000
N
N
N
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
5508.14000000
0.000675848161
N/A
DFE
N/A
N
2
Citibank
MBNUM2BPBDO7JBLYG310
126000.00000000
USD
2615697.00000000
MXN
2022-04-01
5508.14000000
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Uniform Mortgage-Backed Securities
3138EPQP2
10667.59000000
PA
USD
10778.57000000
0.001322529333
Long
ABS-MBS
USGSE
US
N
2
2030-05-01
Fixed
3.00000000
N
N
N
N
N
N
Bank of America Corp.
9DJT3UXIJIZJI4WXO774
Bank of America Corp.
06051GHV4
422000.00000000
PA
USD
408337.53000000
0.050102969255
Long
DBT
CORP
US
N
2
2030-07-23
Variable
3.19399920
N
N
N
N
N
N
United States of America
254900HROIFWPRGM1V77
U.S. Treasury Notes
912828WZ9
1938000.00000000
PA
USD
1940341.14000000
0.238079640836
Long
DBT
UST
US
N
2
2022-04-30
Fixed
1.75000000
N
N
N
N
N
N
Commercial Mortgage Trust
N/A
Commercial Mortgage Trust, Series 2016-667M, Class D
12636GAJ0
100000.00000000
PA
USD
87791.31000000
0.010771983916
Long
ABS-MBS
CORP
US
N
2
2036-10-10
Variable
3.17859840
N
N
N
N
N
N
Federal Home Loan Mortgage Corp.
S6XOOCT0IEG5ABCC6L87
Uniform Mortgage-Backed Securities
3132D9DQ4
318384.73000000
PA
USD
317425.45000000
0.038948067208
Long
ABS-MBS
USGSE
US
N
2
2038-06-01
Fixed
3.00000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Uniform Mortgage-Backed Securities
3140F5BJ1
20237.66520000
PA
USD
19732.20000000
0.002421138732
Long
ABS-MBS
USGSE
US
N
2
2031-11-01
Fixed
2.00000000
N
N
N
N
N
N
Diamondback Energy, Inc.
549300R22LSX6OHWEN64
Diamondback Energy, Inc.
25278XAQ2
350000.00000000
PA
USD
355056.66000000
0.043565412466
Long
DBT
CORP
US
N
2
2051-03-24
Fixed
4.40000000
N
N
N
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
-42484.08000000
-0.00521279186
N/A
DFE
N/A
N
2
BNP Paribas
R0MUWSFPU8MPRO8K5P83
4715000.00000000
EUR
5188258.70000000
USD
2022-06-15
-42484.08000000
N
N
N
Huntington Ingalls Industries, Inc.
5TZLZ6WJTBVJ0QWBG121
Huntington Ingalls Industries, Inc.
446413AT3
339000.00000000
PA
USD
352575.99000000
0.043261034534
Long
DBT
CORP
US
N
2
2030-05-01
Fixed
4.20000000
N
N
N
N
N
N
NXP BV
N/A
NXP BV
62954HAB4
847000.00000000
PA
USD
872833.50000000
0.107096572816
Long
DBT
CORP
US
N
2
2029-06-18
Fixed
4.30000000
N
N
N
N
N
N
United States of America
254900HROIFWPRGM1V77
U.S. Treasury Notes
912828J27
1283000.00000000
PA
USD
1264957.81000000
0.155210181791
Long
DBT
UST
US
N
2
2025-02-15
Fixed
2.00000000
N
N
N
N
N
N
Dell International LLC
N/A
Dell International LLC
24703TAK2
20000.00000000
PA
USD
29227.80000000
0.003586247790
Long
DBT
CORP
US
N
2
2046-07-15
Fixed
8.35000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Uniform Mortgage-Backed Securities
3138ENZJ1
107346.33000000
PA
USD
108462.51000000
0.013308337844
Long
ABS-MBS
USGSE
US
N
2
2030-01-01
Fixed
3.00000000
N
N
N
N
N
N
Federal Home Loan Mortgage Corp.
S6XOOCT0IEG5ABCC6L87
Federal Home Loan Mortgage Corp.
3132XWBS9
22962.65000000
PA
USD
23321.91000000
0.002861595748
Long
ABS-MBS
USGSE
US
N
2
2048-01-01
Fixed
3.50000000
N
N
N
N
N
N
OCP CLO Ltd.
254900U8BS6KLMI9K654
OCP CLO Ltd., Series 2016-12A, Class A1R
67092RAE8
154724.63000000
PA
USD
154479.79000000
0.018954652953
Long
ABS-CBDO
CORP
KY
N
2
2028-10-18
Floating
1.36128960
N
N
N
N
N
N
Federal National Mortgage Association or Federal Home Loan Mortgage Corp.
N/A
Uniform Mortgage-Backed Securities
01F030447
634000.00000000
PA
USD
638358.75000000
0.078326547219
Long
ABS-MBS
USGSE
US
N
2
2037-04-25
Fixed
3.00000000
N
N
N
N
N
N
CWABS, Inc. Asset-Backed Certificates Trust
N/A
CWABS, Inc. Asset-Backed Certificates Trust, Series 2004-5, Class A
1266716J0
77547.68000000
PA
USD
74831.52000000
0.009181819133
Long
ABS-O
CORP
US
N
2
2034-10-25
Floating
1.35657000
N
N
N
N
N
N
Cox Communications, Inc.
5493001NEDZNIFRP2R92
Cox Communications, Inc.
224044CH8
268000.00000000
PA
USD
268439.02000000
0.032937437727
Long
DBT
CORP
US
N
2
2024-08-15
Fixed
3.15000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Uniform Mortgage-Backed Securities
31418CS47
180863.94300000
PA
USD
182581.83000000
0.022402770117
Long
ABS-MBS
USGSE
US
N
2
2048-01-01
Fixed
3.50000000
N
N
N
N
N
N
BXP Trust
N/A
BXP Trust, Series 2017-GM, Class E
056083AN8
50000.00000000
PA
USD
45726.90000000
0.005610685515
Long
ABS-MBS
CORP
US
N
2
2039-06-13
Variable
3.42479880
N
N
N
N
N
N
United States of America
254900HROIFWPRGM1V77
U.S. Treasury Notes
912828YM6
7368000.00000000
PA
USD
7188405.00000000
0.882016489422
Long
DBT
UST
US
N
2
2024-10-31
Fixed
1.50000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Uniform Mortgage-Backed Securities
3138EP4Z4
15003.46000000
PA
USD
15159.75000000
0.001860099629
Long
ABS-MBS
USGSE
US
N
2
2030-07-01
Fixed
3.00000000
N
N
N
N
N
N
Federal National Mortgage Association or Federal Home Loan Mortgage Corp.
N/A
Uniform Mortgage-Backed Securities
01F040644
31273400.00000000
PA
USD
31918413.89000000
3.916385813984
Long
ABS-MBS
USGSE
US
N
2
2052-04-25
Fixed
4.00000000
N
N
N
N
N
N
Intercontinental Exchange, Inc.
5493000F4ZO33MV32P92
Intercontinental Exchange, Inc.
45866FAK0
150000.00000000
PA
USD
136990.35000000
0.016808700621
Long
DBT
CORP
US
N
2
2030-06-15
Fixed
2.10000000
N
N
N
N
N
N
Morgan Stanley Bank of America Merrill Lynch Trust
N/A
Morgan Stanley Bank of America Merrill Lynch Trust, Series 2015-C26, Class D
61690VAE8
15000.00000000
PA
USD
13411.10000000
0.001645540469
Long
ABS-MBS
CORP
US
N
2
2048-10-15
Fixed
3.06000000
N
N
N
N
N
N
N/A
N/A
NDIRS
N/A
688128000.00000000
PA
-69281.42000000
-0.00850082248
N/A
DIR
US
N
2
Bank of America NA
B4TYDEB6GKMZO031MB27
Y
2023-05-28
0.00000000
USD
0.00000000
USD
688128000.00000000
CLP
-69281.42000000
N
N
N
Klabin Austria GmbH
984500578YEA8DD41B09
Klabin Austria GmbH
49836AAC8
200000.00000000
PA
USD
173250.00000000
0.021257755620
Long
DBT
CORP
AT
N
2
2031-01-12
Fixed
3.20000000
N
N
N
N
N
N
Federal Home Loan Mortgage Corp.
S6XOOCT0IEG5ABCC6L87
Federal Home Loan Mortgage Corp.
31335BJX5
100023.52790000
PA
USD
102260.46000000
0.012547347003
Long
ABS-MBS
USGSE
US
N
2
2047-10-01
Fixed
3.50000000
N
N
N
N
N
N
IndyMac INDX Mortgage Loan Trust
N/A
IndyMac INDX Mortgage Loan Trust, Series 2007-FLX5, Class 2A2
45669WAD8
94461.73000000
PA
USD
87692.82000000
0.010759899204
Long
ABS-MBS
CORP
US
N
2
2037-08-25
Floating
0.69657120
N
N
N
N
N
N
Federal Home Loan Mortgage Corp.
S6XOOCT0IEG5ABCC6L87
Federal Home Loan Mortgage Corp.
31307M2W5
29342.82000000
PA
USD
29669.06000000
0.003640390343
Long
ABS-MBS
USGSE
US
N
2
2030-05-01
Fixed
3.00000000
N
N
N
N
N
N
Wynn Resorts Finance LLC
N/A
Wynn Resorts Finance LLC
983133AA7
67000.00000000
PA
USD
63063.75000000
0.007737915070
Long
DBT
CORP
US
N
2
2029-10-01
Fixed
5.12500000
N
N
N
N
N
N
Reperforming Loan REMIC Trust
N/A
Reperforming Loan REMIC Trust, Series 2005-R3, Class AF
126694JG4
3456.84000000
PA
USD
3080.28000000
0.000377950011
Long
ABS-MBS
CORP
US
N
2
2035-09-25
Floating
0.85656960
N
N
N
N
N
N
Marsh & McLennan Cos., Inc.
549300XMP3KDCKJXIU47
Marsh & McLennan Cos., Inc.
571748BL5
160000.00000000
PA
175569.84000000
0.021542399729
Long
DBT
CORP
US
N
2
2026-09-21
Fixed
1.34900000
N
N
N
N
N
N
American Home Mortgage Assets Trust
N/A
American Home Mortgage Assets Trust, Series 2006-5, Class A1
02660KAA0
108058.46000000
PA
USD
38286.08000000
0.004697697733
Long
ABS-MBS
CORP
US
N
2
2046-11-25
Floating
1.06112880
N
N
N
N
N
N
Federal Home Loan Mortgage Corp.
S6XOOCT0IEG5ABCC6L87
Uniform Mortgage-Backed Securities
3132DMRZ0
133969.74000000
PA
USD
139511.03000000
0.017117987775
Long
ABS-MBS
USGSE
US
N
2
2047-07-01
Fixed
4.00000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Uniform Mortgage-Backed Securities
3140Q83N3
972463.90620000
PA
USD
1025275.17000000
0.125801148674
Long
ABS-MBS
USGSE
US
N
2
2048-05-01
Fixed
4.50000000
N
N
N
N
N
N
Galaxy Pipeline Assets Bidco Ltd.
549300L82YB0C6JQIC26
Galaxy Pipeline Assets Bidco Ltd.
36321PAD2
200000.00000000
PA
USD
183750.00000000
0.022546104446
Long
DBT
CORP
JE
N
2
2034-03-31
Fixed
2.16000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Uniform Mortgage-Backed Securities
3138ERQ52
157311.65210000
PA
USD
167226.22000000
0.020518638488
Long
ABS-MBS
USGSE
US
N
2
2045-11-01
Fixed
4.50000000
N
N
N
N
N
N
Moody's Corp.
549300GCEDD8YCF5WU84
Moody's Corp.
615369AX3
203000.00000000
PA
USD
169760.17000000
0.020829553870
Long
DBT
CORP
US
N
2
2061-11-29
Fixed
3.10000000
N
N
N
N
N
N
Energy Transfer LP
MTLVN9N7JE8MIBIJ1H73
Energy Transfer LP
29273RAS8
1323000.00000000
PA
USD
1330623.38000000
0.163267339885
Long
DBT
CORP
US
N
2
2023-02-01
Fixed
3.60000000
N
N
N
N
N
N
Federal National Mortgage Association or Federal Home Loan Mortgage Corp.
N/A
Uniform Mortgage-Backed Securities
01F032443
250000.00000000
PA
USD
255000.00000000
0.031288471476
Long
ABS-MBS
USGSE
US
N
2
2037-04-25
Fixed
3.50000000
N
N
N
N
N
N
N/A
N/A
U.S. Treasury 10 Year Note
N/A
287.00000000
NC
USD
76234.38000000
0.009353949898
N/A
DIR
US
N
1
CME Clearing House
LCZ7XYGSLJUHFXXNXD88
Put
Purchased
N/A
U.S. Treasury 10 Year Note
100000.00000000
119.00000000
USD
2022-05-20
XXXX
57860.64000000
N
N
N
N/A
N/A
OIS
N/A
2907623.00000000
PA
7093.21000000
0.000870336073
N/A
DIR
GB
N
2
Goldman Sachs International
W22LROWP2IHZNBB6K528
Y
2024-01-02
0.00000000
USD
12249.58000000
USD
2907623.00000000
BRL
7093.21000000
N
N
N
Nucor Corp.
549300GGJCRSI2TIEJ46
Nucor Corp.
670346AP0
164000.00000000
PA
USD
167733.48000000
0.020580879233
Long
DBT
CORP
US
N
2
2028-05-01
Fixed
3.95000000
N
N
N
N
N
N
National Retail Properties, Inc.
5493008JKH5SOTI0JS97
National Retail Properties, Inc.
637417AR7
372000.00000000
PA
USD
298295.56000000
0.036600831845
Long
DBT
CORP
US
N
2
2052-04-15
Fixed
3.00000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Uniform Mortgage-Backed Securities
3138EQZA3
37806.79830000
PA
USD
40232.83000000
0.004936563740
Long
ABS-MBS
USGSE
US
N
2
2045-09-01
Fixed
4.50000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Uniform Mortgage-Backed Securities
3138WFK47
15922.44000000
PA
USD
16088.45000000
0.001974051015
Long
ABS-MBS
USGSE
US
N
2
2030-09-01
Fixed
3.00000000
N
N
N
N
N
N
Federal Home Loan Mortgage Corp.
S6XOOCT0IEG5ABCC6L87
Federal Home Loan Mortgage Corp.
31307NV50
3778.62000000
PA
USD
3820.76000000
0.000468806824
Long
ABS-MBS
USGSE
US
N
2
2030-08-01
Fixed
3.00000000
N
N
N
N
N
N
United States of America
254900HROIFWPRGM1V77
U.S. Treasury Notes
91282CBS9
2329000.00000000
PA
USD
2172338.37000000
0.266545675006
Long
DBT
UST
US
N
2
2028-03-31
Fixed
1.25000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Uniform Mortgage-Backed Securities
3140J7W35
46961.49010000
PA
USD
46483.31000000
0.005703496937
Long
ABS-MBS
USGSE
US
N
2
2033-01-01
Fixed
2.50000000
N
N
N
N
N
N
JPMorgan Chase & Co.
8I5DZWZKVSZI1NUHU748
JPMorgan Chase & Co.
46647PAA4
69000.00000000
PA
USD
73739.13000000
0.009047783002
Long
DBT
CORP
US
N
2
2048-02-22
Variable
4.25999880
N
N
N
N
N
N
United States of America
254900HROIFWPRGM1V77
U.S. Treasury Notes
9128284S6
1029000.00000000
PA
USD
1038968.44000000
0.127481311371
Long
DBT
UST
US
N
2
2023-05-31
Fixed
2.75000000
N
N
N
N
N
N
Trans-Allegheny Interstate Line Co.
N/A
Trans-Allegheny Interstate Line Co.
893045AE4
700000.00000000
PA
USD
704768.39000000
0.086475002619
Long
DBT
CORP
US
N
2
2025-06-01
Fixed
3.85000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Uniform Mortgage-Backed Securities
3138WKLB9
30745.68390000
PA
USD
30479.97000000
0.003739888909
Long
ABS-MBS
USGSE
US
N
2
2032-03-01
Fixed
2.50000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Uniform Mortgage-Backed Securities
3138WJEZ7
61280.82710000
PA
USD
59750.63000000
0.007331395617
Long
ABS-MBS
USGSE
US
N
2
2031-11-01
Fixed
2.00000000
N
N
N
N
N
N
United States of America
254900HROIFWPRGM1V77
U.S. Treasury Notes
912828XB1
1124000.00000000
PA
USD
1110301.25000000
0.136233839179
Long
DBT
UST
US
N
2
2025-05-15
Fixed
2.12500000
N
N
N
N
N
N
CWHEQ Home Equity Loan Trust
N/A
CWHEQ Home Equity Loan Trust, Series 2006-S5, Class A5
126683AE1
2400.26000000
PA
USD
3005.77000000
0.000368807642
Long
ABS-O
CORP
US
N
2
2035-06-25
Fixed
6.15500000
N
N
N
N
N
N
BCMSC Trust
N/A
BCMSC Trust, Series 2000-A, Class A4
09774XBQ4
26744.35900000
PA
USD
5660.97000000
0.000694600385
Long
ABS-O
CORP
US
N
2
2030-06-15
Variable
8.29000080
N
N
N
N
N
N
Motorola Solutions, Inc.
6S552MUG6KGJVEBSEC55
Motorola Solutions, Inc.
620076BN8
623000.00000000
PA
USD
647847.03000000
0.079490758114
Long
DBT
CORP
US
N
2
2029-05-23
Fixed
4.60000000
N
N
N
N
N
N
N/A
N/A
CDS
N/A
190000.00000000
PA
USD
301.55000000
0.000037000151
N/A
DCR
GB
N
2
Goldman Sachs International
W22LROWP2IHZNBB6K528
United Mexican States
United Mexican States
Y
Receipt of notional amount upon default event with regard to the reference instrument
2027-06-20
0.00000000
USD
272.60000000
USD
190000.00000000
USD
301.55000000
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
816.05000000
0.000100129243
N/A
DFE
N/A
N
2
Morgan Stanley & Co. International
4PQUHN3JPFGFNF3BB653
542781.82000000
USD
490000.00000000
EUR
2022-06-15
816.05000000
N
N
N
Takeda Pharmaceutical Co. Ltd.
549300ZLMVP4X0OGR454
Takeda Pharmaceutical Co. Ltd.
N/A
380000.00000000
PA
397182.91000000
0.048734298629
Long
DBT
CORP
JP
N
2
2040-07-09
Fixed
2.00000000
N
N
N
N
N
N
Anchorage Capital CLO Ltd.
549300L8BI45FDIJHO17
Anchorage Capital CLO Ltd., Series 2018-1RA, Class A1
03328YAA2
310000.00000000
PA
USD
306833.32000000
0.037648414042
Long
ABS-CBDO
CORP
KY
N
2
2031-04-13
Floating
1.23442920
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Uniform Mortgage-Backed Securities
3138WFLJ3
19489.21000000
PA
USD
19692.29000000
0.002416241780
Long
ABS-MBS
USGSE
US
N
2
2030-09-01
Fixed
3.00000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Uniform Mortgage-Backed Securities
3140EW4R3
12584.10240000
PA
USD
12466.08000000
0.001529586621
Long
ABS-MBS
USGSE
US
N
2
2031-11-01
Fixed
2.50000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Uniform Mortgage-Backed Securities
3138X54U8
21581.93000000
PA
USD
22767.09000000
0.002793519396
Long
ABS-MBS
USGSE
US
N
2
2043-09-01
Fixed
4.50000000
N
N
N
N
N
N
Huntington Ingalls Industries, Inc.
5TZLZ6WJTBVJ0QWBG121
Huntington Ingalls Industries, Inc.
446413AS5
79000.00000000
PA
USD
79843.88000000
0.009796835144
Long
DBT
CORP
US
N
2
2025-05-01
Fixed
3.84400000
N
N
N
N
N
N
Bank of America Corp.
9DJT3UXIJIZJI4WXO774
Bank of America Corp., Series N
06051GJQ3
1751000.00000000
PA
USD
1632233.52000000
0.200274870326
Long
DBT
CORP
US
N
2
2027-03-11
Variable
1.65800160
N
N
N
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
2428.53000000
0.000297980359
N/A
DFE
N/A
N
2
Bank of America
B4TYDEB6GKMZO031MB27
521894.30000000
GBP
620000.00000000
EUR
2022-06-15
2428.53000000
N
N
N
Banco Santander SA
5493006QMFDDMYWIAM13
Banco Santander SA
05971KAC3
400000.00000000
PA
USD
387351.60000000
0.047527997991
Long
DBT
CORP
ES
N
2
2029-06-27
Fixed
3.30600000
N
N
N
N
N
N
Republic Services, Inc.
NKNQHM6BLECKVOQP7O46
Republic Services, Inc.
760759AT7
81000.00000000
PA
USD
83262.23000000
0.010216266307
Long
DBT
CORP
US
N
2
2028-05-15
Fixed
3.95000000
N
N
N
N
N
N
American Tower Corp.
5493006ORUSIL88JOE18
American Tower Corp.
03027XAU4
340000.00000000
PA
USD
340453.68000000
0.041773628453
Long
DBT
CORP
US
N
2
2029-03-15
Fixed
3.95000000
N
N
N
N
N
N
Federal Home Loan Mortgage Corp.
S6XOOCT0IEG5ABCC6L87
Federal Home Loan Mortgage Corp.
3128MFF94
516281.47000000
PA
USD
535045.94000000
0.065650076989
Long
ABS-MBS
USGSE
US
N
2
2032-04-01
Fixed
3.50000000
N
N
N
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
4975.54000000
0.000610498201
N/A
DFE
N/A
N
2
Citibank
MBNUM2BPBDO7JBLYG310
10225.00000000
USD
1137531.25000000
RUB
2022-05-25
4975.54000000
N
N
N
Penske Truck Leasing Co. LP
N/A
Penske Truck Leasing Co. LP
709599BJ2
240000.00000000
PA
USD
242332.03000000
0.029734112974
Long
DBT
CORP
US
N
2
2025-07-15
Fixed
4.00000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Uniform Mortgage-Backed Securities
3138WPHV9
35026.29000000
PA
USD
34892.20000000
0.004281269037
Long
ABS-MBS
USGSE
US
N
2
2043-04-01
Fixed
3.00000000
N
N
N
N
N
N
Ajax Mortgage Loan Trust
N/A
Ajax Mortgage Loan Trust, Series 2018-D, Class B
00968EAB5
109184.22000000
PA
USD
77127.73000000
0.009463563843
Long
ABS-MBS
CORP
US
N
3
2058-08-25
Variable
0.00001080
N
N
N
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
-4295.42000000
-0.00052704755
N/A
DFE
N/A
N
2
Citibank
MBNUM2BPBDO7JBLYG310
2175284.29000000
MXN
105070.31000000
USD
2022-04-01
-4295.42000000
N
N
N
Millicom International Cellular SA
549300CTHC1CP86P2G96
Millicom International Cellular SA
600814AP2
180000.00000000
PA
USD
184027.50000000
0.022580153665
Long
DBT
CORP
LU
N
2
2026-10-15
Fixed
6.62500000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Government National Mortgage Association
36179TLT0
175617.14440000
PA
USD
181859.29000000
0.022314114540
Long
ABS-MBS
USGA
US
N
2
2047-11-20
Fixed
4.00000000
N
N
N
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
-488.50000000
-0.00005993889
N/A
DFE
N/A
N
2
UBS
BFM8T61CT2L1QCEMIK50
126000.00000000
USD
1837767.96000000
ZAR
2022-04-20
-488.50000000
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
3620.67000000
0.000444255804
N/A
DFE
N/A
N
2
Bank of New York
WFLLPEPC7FZXENRZV188
189000.00000000
EUR
4704485.94000000
CZK
2022-04-20
3620.67000000
N
N
N
Oracle Corp.
1Z4GXXU7ZHVWFCD8TV52
Oracle Corp.
68389XCA1
301000.00000000
PA
USD
263138.78000000
0.032287098871
Long
DBT
CORP
US
N
2
2051-03-25
Fixed
3.95000000
N
N
N
N
N
N
CSMC Trust
N/A
CSMC Trust, Series 2009-5R, Class 4A4
12641TCR5
1.69830000
PA
USD
1.45000000
0.000000177914
Long
ABS-MBS
CORP
US
N
3
2036-06-25
Variable
2.96659080
N
N
N
N
N
N
Duke Energy Florida LLC
7MOHLM3DKE63RX2ZCN83
Duke Energy Florida LLC
26444HAH4
550000.00000000
PA
USD
517279.16000000
0.063470095070
Long
DBT
CORP
US
N
2
2029-12-01
Fixed
2.50000000
N
N
N
N
N
N
Raytheon Technologies Corp.
I07WOS4YJ0N7YRFE7309
Raytheon Technologies Corp.
913017CX5
53000.00000000
PA
USD
59895.32000000
0.007349149064
Long
DBT
CORP
US
N
2
2048-11-16
Fixed
4.62500000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Uniform Mortgage-Backed Securities
3138WJXW3
113765.28000000
PA
USD
112911.35000000
0.013854210015
Long
ABS-MBS
USGSE
US
N
2
2047-02-01
Fixed
3.00000000
N
N
N
N
N
N
International Business Machines Corp.
VGRQXHF3J8VDLUA7XE92
International Business Machines Corp.
459200KC4
304000.00000000
PA
USD
323751.73000000
0.039724301056
Long
DBT
CORP
US
N
2
2049-05-15
Fixed
4.25000000
N
N
N
N
N
N
Anchorage Capital CLO 4-R Ltd.
549300MP4QPQUMB6AD63
Anchorage Capital CLO 4-R Ltd., Series 2014-4RA, Class A
03328LAA0
250000.00000000
PA
USD
248348.38000000
0.030472318446
Long
ABS-CBDO
CORP
KY
N
2
2031-01-28
Floating
1.32756840
N
N
N
N
N
N
Banc of America Funding Trust
N/A
Banc of America Funding Trust, Series 2014-R2, Class 1C
05968KAC8
128708.17140000
PA
USD
36840.36000000
0.004520308051
Long
ABS-MBS
CORP
US
N
2
2036-11-26
Variable
0.00001080
N
N
N
N
N
N
Morgan Stanley ABS Capital I, Inc. Trust
N/A
Morgan Stanley ABS Capital I, Inc. Trust, Series 2005-HE5, Class M4
61744CUV6
134898.90520000
PA
USD
133440.59000000
0.016373145466
Long
ABS-O
CORP
US
N
2
2035-09-25
Floating
1.32657120
N
N
N
N
N
N
BAT Capital Corp.
2138005GYEXN7XRHFA84
BAT Capital Corp.
05526DBN4
75000.00000000
PA
USD
77253.62000000
0.009479010532
Long
DBT
CORP
US
N
2
2030-04-02
Fixed
4.90600000
N
N
N
N
N
N
Deutsche Bank AG
7LTWFZYICNSX8D621K86
Deutsche Bank AG
25160PAF4
905000.00000000
PA
USD
848832.48000000
0.104151650347
Long
DBT
CORP
DE
N
2
2026-03-19
Fixed
1.68600000
N
N
N
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
-8662.74000000
-0.00106291722
N/A
DFE
N/A
N
2
Citibank
MBNUM2BPBDO7JBLYG310
636375.00000000
BRL
125000.00000000
USD
2022-04-04
-8662.74000000
N
N
N
Federal Home Loan Mortgage Corp.
S6XOOCT0IEG5ABCC6L87
Federal Home Loan Mortgage Corp.
3132KEYV1
8369.84000000
PA
USD
8463.15000000
0.001038427558
Long
ABS-MBS
USGSE
US
N
2
2030-01-01
Fixed
3.00000000
N
N
N
N
N
N
Autodesk, Inc.
FRKKVKAIQEF3FCSTPG55
Autodesk, Inc.
052769AH9
414000.00000000
PA
USD
369118.03000000
0.045290740992
Long
DBT
CORP
US
N
2
2031-12-15
Fixed
2.40000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Uniform Mortgage-Backed Securities
3138WBCD5
30283.55000000
PA
USD
31082.51000000
0.003813820500
Long
ABS-MBS
USGSE
US
N
2
2029-03-01
Fixed
3.50000000
N
N
N
N
N
N
CSFB Mortgage-Backed Pass-Through Certificates
N/A
CSFB Mortgage-Backed Pass-Through Certificates, Series 2005-10, Class 10A1
225470FK4
42581.15000000
PA
USD
7749.64000000
0.000950879961
Long
ABS-MBS
CORP
US
N
2
2035-11-25
Floating
1.80657000
N
N
N
N
N
N
N/A
N/A
Long Gilt
N/A
-26.00000000
NC
-11326.96000000
-0.00138981672
N/A
DIR
GB
N
1
ICE Clear Europe
5R6J7JCQRIPQR1EEP713
Short
N/A
Long Gilt
2022-06-28
-3151980.00000000
GBP
-11326.96000000
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Uniform Mortgage-Backed Securities
3140XFK67
5064779.71780000
PA
USD
4591386.81000000
0.563362648005
Long
ABS-MBS
USGSE
US
N
2
2041-11-01
Fixed
1.50000000
N
N
N
N
N
N
Credit Suisse Group Funding Guernsey Ltd.
549300PXR5FKNXF0OH19
Credit Suisse Group Funding Guernsey Ltd.
225433AH4
316000.00000000
PA
USD
319255.36000000
0.039172596960
Long
DBT
CORP
GG
N
2
2022-09-15
Fixed
3.80000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Uniform Mortgage-Backed Securities
3138WFG83
18307.91000000
PA
USD
18498.77000000
0.002269797009
Long
ABS-MBS
USGSE
US
N
2
2030-08-01
Fixed
3.00000000
N
N
N
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
25292.59000000
0.003103397963
N/A
DFE
N/A
N
2
JP Morgan Chase Bank
7H6GLXDRUGQFU57RNE97
41000.00000000
USD
4961000.00000000
RUB
2022-05-25
25292.59000000
N
N
N
Bangkok Bank PCL
549300CCL2BKJGMYXV60
Bangkok Bank PCL
N/A
200000.00000000
PA
USD
186475.00000000
0.022880461641
Long
DBT
CORP
TH
N
2
2034-09-25
Variable
3.73299840
N
N
N
N
N
N
Global Payments, Inc.
549300NOMHGVQBX6S778
Global Payments, Inc.
37940XAB8
605000.00000000
PA
USD
574757.83000000
0.070522721449
Long
DBT
CORP
US
N
2
2029-08-15
Fixed
3.20000000
N
N
N
N
N
N
Signal Peak CLO 5 Ltd.
N/A
Signal Peak CLO 5 Ltd., Series 2018-5A, Class A
56844YAA5
250000.00000000
PA
USD
248497.65000000
0.030490633858
Long
ABS-CBDO
CORP
KY
N
2
2031-04-25
Floating
1.36770840
N
N
N
N
N
N
Washington Mutual Bank
N/A
Washington Mutual Escrow Bonds
939MMIBD5
250000.00000000
PA
USD
0.03000000
0.000000003680
Long
DBT
CORP
US
N
3
2017-09-19
None
0.00000000
Y
N
N
N
N
N
UBS Group AG
549300SZJ9VS8SGXAN81
UBS Group AG
90352JAF0
290000.00000000
PA
USD
302559.90000000
0.037124065886
Long
DBT
CORP
CH
N
2
2024-01-31
Variable
6.99999840
N
N
N
N
N
N
FirstEnergy Corp.
549300SVYJS666PQJH88
FirstEnergy Corp.
337932AK3
52000.00000000
PA
USD
49530.00000000
0.006077325459
Long
DBT
CORP
US
N
2
2025-03-01
Fixed
2.05000000
N
N
N
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
-2408.25000000
-0.00029549200
N/A
DFE
N/A
N
2
Citibank
MBNUM2BPBDO7JBLYG310
984407480.10000000
COP
257938.00000000
USD
2022-04-20
-2408.25000000
N
N
N
Ajax Mortgage Loan Trust
N/A
Ajax Mortgage Loan Trust, Series 2019-B, Class A
00970FAA0
503184.65000000
PA
USD
504704.72000000
0.061927212688
Long
ABS-MBS
CORP
US
N
2
2059-01-25
Variable
3.75000120
N
N
N
N
N
N
Shell International Finance BV
213800ITMMKU4Z7I4F78
Shell International Finance BV
822582CD2
84000.00000000
PA
USD
79563.29000000
0.009762406783
Long
DBT
CORP
NL
N
2
2029-11-07
Fixed
2.37500000
N
N
N
N
N
N
Biogen, Inc.
W8J5WZB5IY3K0NDQT671
Biogen, Inc.
09062XAG8
176000.00000000
PA
USD
144125.07000000
0.017684129967
Long
DBT
CORP
US
N
2
2050-05-01
Fixed
3.15000000
N
N
N
N
N
N
Equinix, Inc.
549300EVUN2BTLJ3GT74
Equinix, Inc.
29444UBF2
135000.00000000
PA
USD
125858.85000000
0.015442866816
Long
DBT
CORP
US
N
2
2025-07-15
Fixed
1.25000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Uniform Mortgage-Backed Securities
3140XDY42
221580.77550000
PA
USD
206335.81000000
0.025317380806
Long
ABS-MBS
USGSE
US
N
2
2051-12-01
Fixed
2.00000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Government National Mortgage Association
36202FHX7
1644.53000000
PA
USD
1750.93000000
0.000214838915
Long
ABS-MBS
USGA
US
N
2
2040-07-20
Fixed
4.50000000
N
N
N
N
N
N
JPMorgan Chase & Co.
8I5DZWZKVSZI1NUHU748
JPMorgan Chase & Co.
46647PBF2
137000.00000000
PA
USD
134175.97000000
0.016463376510
Long
DBT
CORP
US
N
2
2025-10-15
Variable
2.30100120
N
N
N
N
N
N
CVS Health Corp.
549300EJG376EN5NQE29
CVS Health Corp.
126650DJ6
1213000.00000000
PA
USD
1234215.03000000
0.151438046124
Long
DBT
CORP
US
N
2
2030-04-01
Fixed
3.75000000
N
N
N
N
N
N
Federal Home Loan Mortgage Corp.
S6XOOCT0IEG5ABCC6L87
Uniform Mortgage-Backed Securities
3132DMY58
319259.53100000
PA
USD
296848.60000000
0.036423290015
Long
ABS-MBS
USGSE
US
N
2
2051-09-01
Fixed
2.00000000
N
N
N
N
N
N
Delta Air Lines Pass-Through Trust
N/A
Delta Air Lines Pass-Through Trust, Series 2019-1, Class AA
24737BAA3
420000.00000000
PA
USD
420357.76000000
0.051577850131
Long
DBT
CORP
US
N
2
2024-04-25
Fixed
3.20400000
N
N
N
N
N
N
Johnson Controls International plc
549300XQ6S1GYKGBL205
Johnson Controls International plc
478375AS7
5000.00000000
PA
USD
5701.05000000
0.000699518197
Long
DBT
CORP
IE
N
2
2045-09-14
Fixed
5.12500000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Uniform Mortgage-Backed Securities
31417F4J4
28954.66000000
PA
USD
28874.20000000
0.003542861110
Long
ABS-MBS
USGSE
US
N
2
2043-04-01
Fixed
3.00000000
N
N
N
N
N
N
JPMorgan Chase & Co.
8I5DZWZKVSZI1NUHU748
JPMorgan Chase & Co.
46647PBR6
234000.00000000
PA
USD
219526.49000000
0.026935875767
Long
DBT
CORP
US
N
2
2028-06-01
Variable
2.18199960
N
N
N
N
N
N
Allied Universal Holdco LLC
98450038B4549046D794
Allied Universal Holdco LLC, Term Loan
01957TAH0
142285.00000000
PA
USD
139921.65000000
0.017168370803
Long
LON
CORP
US
N
2
2028-05-12
Variable
4.25000000
N
N
N
N
N
N
Sumitomo Mitsui Financial Group, Inc.
35380028MYWPB6AUO129
Sumitomo Mitsui Financial Group, Inc.
86562MBV1
644000.00000000
PA
USD
625796.91000000
0.076785210856
Long
DBT
CORP
JP
N
2
2025-01-15
Fixed
2.34800000
N
N
N
N
N
N
Lam Research Corp.
549300I4GMO6D34U1T02
Lam Research Corp.
512807AS7
182000.00000000
PA
USD
187013.84000000
0.022946577249
Long
DBT
CORP
US
N
2
2026-03-15
Fixed
3.75000000
N
N
N
N
N
N
Federal Home Loan Mortgage Corp.
S6XOOCT0IEG5ABCC6L87
Uniform Mortgage-Backed Securities
3132DM2S3
319665.38730000
PA
USD
297672.30000000
0.036524357913
Long
ABS-MBS
USGSE
US
N
2
2051-12-01
Fixed
2.00000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Uniform Mortgage-Backed Securities
3138WF4T0
909.97000000
PA
USD
948.16000000
0.000116339125
Long
ABS-MBS
USGSE
US
N
2
2045-11-01
Fixed
4.50000000
N
N
N
N
N
N
Marathon Petroleum Corp.
3BNYRYQHD39K4LCKQF12
Marathon Petroleum Corp.
56585AAM4
65000.00000000
PA
USD
72297.06000000
0.008870841175
Long
DBT
CORP
US
N
2
2045-12-15
Fixed
5.85000000
N
N
N
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
-931.88000000
-0.00011434157
N/A
DFE
N/A
N
2
Bank of America
B4TYDEB6GKMZO031MB27
245525.96000000
USD
221000.00000000
EUR
2022-04-20
-931.88000000
N
N
N
NRG Energy, Inc.
5E2UPK5SW04M13XY7I38
NRG Energy, Inc.
629377CE0
59000.00000000
PA
USD
59967.90000000
0.007358054622
Long
DBT
CORP
US
N
2
2028-01-15
Fixed
5.75000000
N
N
N
N
N
N
State of Illinois
54930048FV8RWPR02D67
State of Illinois, Series 2003
452151LF8
775000.00000000
PA
USD
823285.96000000
0.101017095201
Long
DBT
MUN
US
N
2
2033-06-01
Fixed
5.10000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Uniform Mortgage-Backed Securities
3140JSAE9
152857.52330000
PA
USD
142349.14000000
0.017466223555
Long
ABS-MBS
USGSE
US
N
2
2051-03-01
Fixed
2.00000000
N
N
N
N
N
N
MGM Growth Properties Operating Partnership LP
N/A
MGM Growth Properties Operating Partnership LP
55303XAJ4
71000.00000000
PA
USD
74993.75000000
0.009201724736
Long
DBT
CORP
US
N
2
2027-02-01
Fixed
5.75000000
N
N
N
N
N
N
GreenPoint Mortgage Funding Trust
N/A
GreenPoint Mortgage Funding Trust, Series 2006-AR2, Class 4A1
39538WGJ1
17381.87000000
PA
USD
17114.73000000
0.002099975456
Long
ABS-MBS
CORP
US
N
2
2036-03-25
Floating
2.14112880
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Government National Mortgage Association
36202FB47
9437.40000000
PA
USD
10350.73000000
0.001270033413
Long
ABS-MBS
USGA
US
N
2
2039-10-20
Fixed
5.00000000
N
N
N
N
N
N
N/A
N/A
CDS
N/A
78000.00000000
PA
USD
-601.73000000
-0.00007383220
N/A
DCR
GB
N
2
Barclays Bank plc
G5GSEF7VJP5I7OUK5573
Federative Republic of Brazil
Federative Republic of Brazil
Y
Receipt of notional amount upon default event with regard to the reference instrument
2024-12-20
1052.43000000
USD
0.00000000
USD
78000.00000000
USD
-601.73000000
N
N
N
Duke Energy Progress LLC
0NIFZ782LS46WOC9QK20
Duke Energy Progress LLC
26442UAK0
250000.00000000
PA
USD
203060.53000000
0.024915504317
Long
DBT
CORP
US
N
2
2050-08-15
Fixed
2.50000000
N
N
N
N
N
N
Lowe's Cos., Inc.
WAFCR4OKGSC504WU3E95
Lowe's Cos., Inc.
548661EJ2
78000.00000000
PA
USD
80678.01000000
0.009899182802
Long
DBT
CORP
US
N
2
2052-04-01
Fixed
4.25000000
N
N
N
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
-2590.25000000
-0.00031782338
N/A
DFE
N/A
N
2
Morgan Stanley & Co. International
4PQUHN3JPFGFNF3BB653
168000.00000000
CAD
131768.84000000
USD
2022-06-15
-2590.25000000
N
N
N
N/A
N/A
CDSCMBX
N/A
89870.61294000
PA
USD
-1637.83000000
-0.00020096155
N/A
DCR
GB
N
2
Morgan Stanley & Co. International plc
4PQUHN3JPFGFNF3BB653
Markit CMBX North American AAA 9
Markit CMBX North American AAA 9
Y
Receipt of notional amount upon default event with regard to the reference instrument
2058-09-17
1102.83000000
USD
0.00000000
USD
89871.00000000
USD
-1637.83000000
N
N
N
YPF SA
5493003N7447U18U5U53
YPF SA
984245AR1
106000.00000000
PA
USD
68025.50000000
0.008346721240
Long
DBT
NUSS
AR
N
2
2047-12-15
Fixed
7.00000000
N
N
N
N
N
N
American Airlines Pass-Through Trust
N/A
American Airlines Pass-Through Trust, Series 2017-1, Class AA
023761AA7
52267.50000000
PA
USD
50623.71000000
0.006211523554
Long
DBT
CORP
US
N
2
2029-02-15
Fixed
3.65000000
N
N
N
N
N
N
Federal Home Loan Mortgage Corp.
S6XOOCT0IEG5ABCC6L87
Federal Home Loan Mortgage Corp.
3128M84A9
55227.49000000
PA
USD
60905.94000000
0.007473152025
Long
ABS-MBS
USGSE
US
N
2
2040-05-01
Fixed
5.50000000
N
N
N
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
-1311.76000000
-0.00016095280
N/A
DFE
N/A
N
2
HSBC Bank
MP6I5ZYZBEU3UXPYFY54
1886047.80000000
CZK
84000.00000000
USD
2022-04-20
-1311.76000000
N
N
N
Aon Corp.
LTS3U8DGK38SETRUWX71
Aon Corp.
037389BC6
602000.00000000
PA
USD
615537.05000000
0.075526327182
Long
DBT
CORP
US
N
2
2029-05-02
Fixed
3.75000000
N
N
N
N
N
N
Intercontinental Exchange, Inc.
5493000F4ZO33MV32P92
Intercontinental Exchange, Inc.
45866FAJ3
121000.00000000
PA
USD
123445.29000000
0.015146723274
Long
DBT
CORP
US
N
2
2028-09-21
Fixed
3.75000000
N
N
N
N
N
N
Equinix, Inc.
549300EVUN2BTLJ3GT74
Equinix, Inc.
29444UBE5
520000.00000000
PA
USD
497638.00000000
0.061060126935
Long
DBT
CORP
US
N
2
2029-11-18
Fixed
3.20000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Government National Mortgage Association
36179SLS4
678640.47070000
PA
USD
690103.71000000
0.084675648023
Long
ABS-MBS
USGA
US
N
2
2046-09-20
Fixed
3.50000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Uniform Mortgage-Backed Securities
31416WLG5
2661.69000000
PA
USD
2831.47000000
0.000347421052
Long
ABS-MBS
USGSE
US
N
2
2040-07-01
Fixed
4.50000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Uniform Mortgage-Backed Securities
3138ERRX0
22226.16380000
PA
USD
23593.52000000
0.002894922264
Long
ABS-MBS
USGSE
US
N
2
2045-11-01
Fixed
4.50000000
N
N
N
N
N
N
CFCRE Commercial Mortgage Trust
N/A
CFCRE Commercial Mortgage Trust, Series 2016-C4, Class XB
12531YAS7
170000.00000000
PA
USD
4527.10000000
0.000555474663
Long
ABS-MBS
CORP
US
N
2
2058-05-10
Variable
0.69999480
N
N
N
N
N
N
Braskem Netherlands Finance BV
2549000TLMHFQ74DS330
Braskem Netherlands Finance BV
10554TAF2
262000.00000000
PA
USD
286562.50000000
0.035161186695
Long
DBT
CORP
NL
N
2
2081-01-23
Variable
8.49999960
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Government National Mortgage Association
36180DVA2
23267.57000000
PA
USD
23676.07000000
0.002905051140
Long
ABS-MBS
USGA
US
N
2
2043-05-15
Fixed
3.50000000
N
N
N
N
N
N
Sasol Financing USA LLC
549300XRB1PFMESFEL85
Sasol Financing USA LLC
80386WAD7
200000.00000000
PA
USD
186500.00000000
0.022883529138
Long
DBT
CORP
US
N
2
2031-03-18
Fixed
5.50000000
N
N
N
N
N
N
Willis North America, Inc.
5493004KVU1HWZCP0C66
Willis North America, Inc.
970648AF8
36000.00000000
PA
USD
36207.30000000
0.004442631659
Long
DBT
CORP
US
N
2
2024-05-15
Fixed
3.60000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Uniform Mortgage-Backed Securities
3138XHBF7
18666.61000000
PA
USD
19886.77000000
0.002440104454
Long
ABS-MBS
USGSE
US
N
2
2044-01-01
Fixed
4.50000000
N
N
N
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
-3844.57000000
-0.00047172830
N/A
DFE
N/A
N
2
HSBC Bank
MP6I5ZYZBEU3UXPYFY54
123000.00000000
USD
14502257.00000000
JPY
2022-04-18
-3844.57000000
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Uniform Mortgage-Backed Securities
3138WB6N0
42991.76000000
PA
USD
43439.07000000
0.005329969030
Long
ABS-MBS
USGSE
US
N
2
2029-06-01
Fixed
3.00000000
N
N
N
N
N
N
N/A
N/A
CDSCMBX
N/A
8000.00000000
PA
USD
391.77000000
0.000048070135
N/A
DCR
GB
N
2
Morgan Stanley & Co. International plc
4PQUHN3JPFGFNF3BB653
Markit CMBX North American BBB- 9
Markit CMBX North American BBB- 9
Y
Receipt of notional amount upon default event with regard to the reference instrument
2058-09-17
420.96000000
USD
0.00000000
USD
8000.00000000
USD
391.77000000
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Uniform Mortgage-Backed Securities
3138YXK95
8235.27000000
PA
USD
8312.94000000
0.001019996808
Long
ABS-MBS
USGSE
US
N
2
2030-09-01
Fixed
3.00000000
N
N
N
N
N
N
CenterPoint Energy Houston Electric LLC
549300S8SEQBOJLKHW63
CenterPoint Energy Houston Electric LLC, Series AE
15189XAV0
120000.00000000
PA
USD
111396.68000000
0.013668360175
Long
DBT
CORP
US
N
2
2031-04-01
Fixed
2.35000000
N
N
N
N
N
N
AT&T, Inc.
549300Z40J86GGSTL398
AT&T, Inc.
00206RKG6
277000.00000000
PA
USD
252376.88000000
0.030966614945
Long
DBT
CORP
US
N
2
2028-02-01
Fixed
1.65000000
N
N
N
N
N
N
Federal Home Loan Mortgage Corp.
S6XOOCT0IEG5ABCC6L87
Uniform Mortgage-Backed Securities
3133KNQV8
110788.19000000
PA
USD
102929.07000000
0.012629385375
Long
ABS-MBS
USGSE
US
N
2
2052-02-01
Fixed
2.00000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Government National Mortgage Association
36179VSF8
1995422.34050000
PA
USD
1905904.20000000
0.233854232150
Long
ABS-MBS
USGA
US
N
2
2050-08-20
Fixed
2.00000000
N
N
N
N
N
N
Penske Truck Leasing Co. LP
N/A
Penske Truck Leasing Co. LP
709599AN4
231000.00000000
PA
USD
234407.22000000
0.028761739673
Long
DBT
CORP
US
N
2
2023-01-17
Fixed
4.25000000
N
N
N
N
N
N
American Tower Corp.
5493006ORUSIL88JOE18
American Tower Corp.
03027XBS8
74000.00000000
PA
USD
64618.58000000
0.007928692537
Long
DBT
CORP
US
N
2
2031-09-15
Fixed
2.30000000
N
N
N
N
N
N
Air Canada Pass-Through Trust
N/A
Air Canada Pass-Through Trust, Series 2017-1, Class B
00908PAC1
657.41820000
PA
USD
627.65000000
0.000077012584
Long
DBT
CORP
CA
N
2
2026-01-15
Fixed
3.70000000
N
N
N
N
N
N
United States of America
254900HROIFWPRGM1V77
U.S. Treasury Notes
91282CDY4
117000.00000000
PA
USD
112356.56000000
0.013786137344
Long
DBT
UST
US
N
2
2032-02-15
Fixed
1.87500000
N
N
N
N
N
N
CFK Trust
N/A
CFK Trust, Series 2019-FAX, Class D
12528XAJ4
126000.00000000
PA
USD
122571.43000000
0.015039500750
Long
ABS-MBS
CORP
US
N
2
2039-01-15
Variable
4.63660560
N
N
N
N
N
N
American Airlines Pass-Through Trust
N/A
American Airlines Pass-Through Trust, Series 2019-1, Class B
02379DAA8
190463.18000000
PA
USD
169103.63000000
0.020748996485
Long
DBT
CORP
US
N
2
2028-02-15
Fixed
3.85000000
N
N
N
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
1788.24000000
0.000219416847
N/A
DFE
N/A
N
2
Royal Bank of Canada
ES7IP3U3RHIGC71XBU11
155901.32000000
CAD
169000.00000000
AUD
2022-04-20
1788.24000000
N
N
N
Bank of East Asia Ltd. (The)
CO6GC26LCGGRTUESIP55
Bank of East Asia Ltd. (The)
N/A
250000.00000000
PA
USD
249031.25000000
0.030556106518
Long
DBT
CORP
HK
N
2
2024-09-19
Variable
5.87499840
N
N
N
N
N
N
SWF Holdings I Corp.
N/A
SWF Holdings I Corp., 1st Lien Term Loan
78489HAB4
79000.00000000
PA
USD
76498.07000000
0.009386304632
Long
LON
CORP
US
N
2
2028-10-06
Variable
4.75000000
N
N
N
N
N
N
Federal Home Loan Mortgage Corp.
S6XOOCT0IEG5ABCC6L87
Uniform Mortgage-Backed Securities
3132DMSH9
616389.32000000
PA
USD
636212.99000000
0.078063262707
Long
ABS-MBS
USGSE
US
N
2
2050-06-01
Fixed
4.00000000
N
N
N
N
N
N
N/A
N/A
IRS
N/A
10481000.00000000
PA
-21841.22000000
-0.00267991525
N/A
DIR
US
N
2
CME Group Inc.
LCZ7XYGSLJUHFXXNXD88
Y
2032-01-12
0.00000000
USD
0.00000000
USD
10481000.00000000
MXN
-21841.22000000
N
N
N
DBUBS Mortgage Trust
N/A
DBUBS Mortgage Trust, Series 2017-BRBK, Class A
23305JAA0
140000.00000000
PA
USD
139266.51000000
0.017087985198
Long
ABS-MBS
CORP
US
N
2
2034-10-10
Fixed
3.45200000
N
N
N
N
N
N
United States of America
254900HROIFWPRGM1V77
U.S. Treasury Bonds
912810QC5
146000.00000000
PA
USD
188448.36000000
0.023122592692
Long
DBT
UST
US
N
2
2039-08-15
Fixed
4.50000000
N
N
N
N
N
N
Lehman Brothers Holdings, Inc.
N/A
Lehman Brothers Holdings, Inc., Term Loan
N/A
339509.22000000
PA
USD
0.03000000
0.000000003680
Long
LON
CORP
US
N
3
2022-12-31
Variable
0.00000000
Y
N
N
N
N
N
Bayview Commercial Asset Trust
N/A
Bayview Commercial Asset Trust, Series 2006-3A, Class A1
07324NAA1
11692.00000000
PA
USD
11075.92000000
0.001359014145
Long
ABS-MBS
CORP
US
N
2
2036-10-25
Floating
0.70656840
N
N
N
N
N
N
N/A
N/A
CDSCMBX
N/A
51.98115000
PA
USD
4.28000000
0.000000525155
N/A
DCR
GB
N
2
Credit Suisse International
E58DKGMJYYYJLN8C3868
Markit CMBX North American AM 3
Markit CMBX North American AM 3
Y
Payout of notional amount upon default event with regard to the reference instrument
2049-12-13
0.00000000
USD
4.28000000
USD
52.00000000
USD
4.28000000
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Uniform Mortgage-Backed Securities
3138EQLB6
128216.56000000
PA
USD
138056.86000000
0.016939561279
Long
ABS-MBS
USGSE
US
N
2
2039-06-01
Fixed
5.00000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Government National Mortgage Association
36176DHP1
13466.48000000
PA
USD
14255.14000000
0.001749104083
Long
ABS-MBS
USGA
US
N
2
2041-03-15
Fixed
4.00000000
N
N
N
N
N
N
Duke Energy Progress LLC
0NIFZ782LS46WOC9QK20
Duke Energy Progress LLC
26442UAM6
86000.00000000
PA
USD
75329.68000000
0.009242943309
Long
DBT
CORP
US
N
2
2051-08-15
Fixed
2.90000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Uniform Mortgage-Backed Securities
3140QNEL2
1196283.47900000
PA
USD
1114052.57000000
0.136694125723
Long
ABS-MBS
USGSE
US
N
2
2052-02-01
Fixed
2.00000000
N
N
N
N
N
N
United States of America
254900HROIFWPRGM1V77
U.S. Treasury Notes
9128285M8
1164000.00000000
PA
USD
1211969.53000000
0.148708525762
Long
DBT
UST
US
N
2
2028-11-15
Fixed
3.12500000
N
N
N
N
N
N
Comcast Corp.
51M0QTTNCGUN7KFCFZ59
Comcast Corp.
20030NDA6
946000.00000000
PA
USD
908058.49000000
0.111418675149
Long
DBT
CORP
US
N
2
2030-02-01
Fixed
2.65000000
N
N
N
N
N
N
Home Equity Asset Trust
N/A
Home Equity Asset Trust, Series 2007-1, Class 2A3
43710LAD6
76187.81000000
PA
USD
61049.12000000
0.007490720195
Long
ABS-O
CORP
US
N
2
2037-05-25
Floating
0.75656880
N
N
N
N
N
N
Newmont Corp.
549300VSP3RIX7FGDZ51
Newmont Corp.
651639AY2
311000.00000000
PA
USD
284232.35000000
0.034875277551
Long
DBT
CORP
US
N
2
2030-10-01
Fixed
2.25000000
N
N
N
N
N
N
N/A
N/A
OIS
N/A
12750000.00000000
PA
11196.32000000
0.001373787211
N/A
DIR
GB
N
2
LCH Clearnet
549300TXTCI7WVVJS380
Y
2027-03-30
0.00000000
USD
0.00000000
USD
12750000.00000000
EUR
11196.32000000
N
N
N
Cheniere Corpus Christi Holdings LLC
549300I7CIEWU1BBLQ53
Cheniere Corpus Christi Holdings LLC
16412XAD7
384000.00000000
PA
USD
408589.98000000
0.050133944842
Long
DBT
CORP
US
N
2
2024-06-30
Fixed
7.00000000
N
N
N
N
N
N
OHA Loan Funding Ltd.
N/A
OHA Loan Funding Ltd., Series 2013-2A, Class AR
67104LAE7
225000.00000000
PA
USD
223207.18000000
0.027387496018
Long
ABS-CBDO
CORP
KY
N
2
2031-05-23
Floating
1.50386040
N
N
N
N
N
N
Federal Home Loan Mortgage Corp.
S6XOOCT0IEG5ABCC6L87
Federal Home Loan Mortgage Corp.
3132M8NA0
500269.83000000
PA
USD
510615.64000000
0.062652481911
Long
ABS-MBS
USGSE
US
N
2
2044-08-01
Fixed
3.50000000
N
N
N
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
2850.12000000
0.000349709405
N/A
DFE
N/A
N
2
UBS
BFM8T61CT2L1QCEMIK50
81404.36000000
USD
1299501.51000000
TRY
2022-06-08
2850.12000000
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Uniform Mortgage-Backed Securities
31419A4H7
3037.91000000
PA
USD
3388.57000000
0.000415777159
Long
ABS-MBS
USGSE
US
N
2
2040-09-01
Fixed
6.00000000
N
N
N
N
N
N
American Airlines Pass-Through Trust
N/A
American Airlines Pass-Through Trust, Series 2016-1, Class B
02376YAA5
145315.83790000
PA
USD
141762.81000000
0.017394280929
Long
DBT
CORP
US
N
2
2024-01-15
Fixed
5.25000000
N
N
N
N
N
N
PFP Ltd.
N/A
PFP Ltd., Series 2019-5, Class AS
69346TAC8
32844.55000000
PA
USD
32475.05000000
0.003984685002
Long
ABS-MBS
CORP
KY
N
2
2036-04-14
Floating
1.85056920
N
N
N
N
N
N
280 Park Avenue Mortgage Trust
N/A
280 Park Avenue Mortgage Trust, Series 2017-280P, Class E
90205FAN0
150000.00000000
PA
USD
147984.35000000
0.018157663191
Long
ABS-MBS
CORP
US
N
2
2034-09-15
Floating
2.42588880
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Uniform Mortgage-Backed Securities
3140EW4P7
5964.75160000
PA
USD
5911.09000000
0.000725290081
Long
ABS-MBS
USGSE
US
N
2
2031-11-01
Fixed
2.50000000
N
N
N
N
N
N
Broadcom, Inc.
549300WV6GIDOZJTV909
Broadcom, Inc.
11135FBA8
633000.00000000
PA
USD
665112.96000000
0.081609285794
Long
DBT
CORP
US
N
2
2029-04-15
Fixed
4.75000000
N
N
N
N
N
N
Cheniere Corpus Christi Holdings LLC
549300I7CIEWU1BBLQ53
Cheniere Corpus Christi Holdings LLC
16412XAJ4
310000.00000000
PA
USD
309032.76000000
0.037918285084
Long
DBT
CORP
US
N
2
2029-11-15
Fixed
3.70000000
N
N
N
N
N
N
Bank of New York Mellon Corp. (The)
WFLLPEPC7FZXENRZV188
Bank of New York Mellon Corp. (The), Series F
064058AF7
310000.00000000
PA
USD
305350.00000000
0.037466410844
Long
DBT
CORP
US
N
2
2026-09-20
Variable
4.62499920
N
N
N
N
N
N
RELX Capital, Inc.
2R15C3RTKJN1RCBOV146
RELX Capital, Inc.
74949LAD4
507000.00000000
PA
USD
484405.11000000
0.059436452812
Long
DBT
CORP
US
N
2
2030-05-22
Fixed
3.00000000
N
N
N
N
N
N
United States of America
254900HROIFWPRGM1V77
U.S. Treasury Notes
91282CCB5
855000.00000000
PA
USD
804969.14000000
0.098769623436
Long
DBT
UST
US
N
2
2031-05-15
Fixed
1.62500000
N
N
N
N
N
N
Crown Castle International Corp.
54930012H97VSM0I2R19
Crown Castle International Corp.
22822VAZ4
148000.00000000
PA
USD
143081.23000000
0.017556050916
Long
DBT
CORP
US
N
2
2027-03-15
Fixed
2.90000000
N
N
N
N
N
N
Apple, Inc.
HWUPKR0MPOU8FGXBT394
Apple, Inc.
037833EG1
159000.00000000
PA
USD
136710.55000000
0.016774369192
Long
DBT
CORP
US
N
2
2061-02-08
Fixed
2.80000000
N
N
N
N
N
N
HP, Inc.
WHKXQACZ14C5XRO8LW03
HP, Inc.
428236BR3
70000.00000000
PA
USD
81579.31000000
0.010009772211
Long
DBT
CORP
US
N
2
2041-09-15
Fixed
6.00000000
N
N
N
N
N
N
City of San Antonio Electric & Gas Systems
5493002G2FEH20Q4GQ04
City of San Antonio Electric & Gas Systems, Series 2010A
796253Y30
215000.00000000
PA
USD
273255.89000000
0.033528467137
Long
DBT
MUN
US
N
2
2041-02-01
Fixed
5.80800000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Uniform Mortgage-Backed Securities
31412QM89
60386.97000000
PA
USD
66533.32000000
0.008163630921
Long
ABS-MBS
USGSE
US
N
2
2039-09-01
Fixed
5.50000000
N
N
N
N
N
N
GE Capital Funding LLC
549300XAGH9TOLX5XM67
GE Capital Funding LLC
36166NAK9
325000.00000000
PA
USD
349009.61000000
0.042823440107
Long
DBT
CORP
US
N
2
2032-05-15
Fixed
4.55000000
N
N
N
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
-1981.36000000
-0.00024311265
N/A
DFE
N/A
N
2
Deutsche Bank
7LTWFZYICNSX8D621K86
370000.00000000
EUR
311047.90000000
GBP
2022-06-15
-1981.36000000
N
N
N
Lowe's Cos., Inc.
WAFCR4OKGSC504WU3E95
Lowe's Cos., Inc.
548661DR5
318000.00000000
PA
USD
323152.71000000
0.039650801369
Long
DBT
CORP
US
N
2
2029-04-05
Fixed
3.65000000
N
N
N
N
N
N
Bank of America Corp.
9DJT3UXIJIZJI4WXO774
Bank of America Corp.
06051GGL7
875000.00000000
PA
USD
880595.84000000
0.108049011066
Long
DBT
CORP
US
N
2
2028-04-24
Variable
3.70500120
N
N
N
N
N
N
Sumitomo Mitsui Financial Group, Inc.
35380028MYWPB6AUO129
Sumitomo Mitsui Financial Group, Inc.
86562MBM1
395000.00000000
PA
USD
391173.86000000
0.047996988866
Long
DBT
CORP
JP
N
2
2024-07-16
Fixed
2.69600000
N
N
N
N
N
N
Federal Home Loan Mortgage Corp.
S6XOOCT0IEG5ABCC6L87
Uniform Mortgage-Backed Securities
3133KYWN5
118953.00000000
PA
USD
111634.77000000
0.013697573791
Long
ABS-MBS
USGSE
US
N
2
2042-04-01
Fixed
2.00000000
N
N
N
N
N
N
NXP BV
N/A
NXP BV
62954HAM0
60000.00000000
PA
USD
50260.20000000
0.006166920918
Long
DBT
CORP
US
N
2
2051-11-30
Fixed
3.25000000
N
N
N
N
N
N
Mozart Debt Merger Sub, Inc.
N/A
Mozart Debt Merger Sub, Inc.
62482BAA0
452000.00000000
PA
USD
418100.00000000
0.051300823232
Long
DBT
CORP
US
N
2
2029-04-01
Fixed
3.87500000
N
N
N
N
N
N
American International Group, Inc.
ODVCVCQG2BP6VHV36M30
American International Group, Inc.
026874DA2
272000.00000000
PA
USD
293511.05000000
0.036013773003
Long
DBT
CORP
US
N
2
2044-07-16
Fixed
4.50000000
N
N
N
N
N
N
Hilong Holding Ltd.
5493007WSRWZ0UF15X65
Hilong Holding Ltd.
N/A
207000.00000000
PA
USD
128340.00000000
0.015747303644
Long
DBT
CORP
KY
N
2
2024-11-18
Fixed
9.75000000
N
N
N
N
N
N
BXP Trust
N/A
BXP Trust, Series 2017-CC, Class E
05607CAN9
110000.00000000
PA
USD
100218.36000000
0.012296781561
Long
ABS-MBS
CORP
US
N
2
2037-08-13
Variable
3.55150080
N
N
N
N
N
N
Merrill Lynch Mortgage Investors Trust
N/A
Merrill Lynch Mortgage Investors Trust, Series 2006-RM3, Class A2B
590217AD7
25098.88000000
PA
USD
6521.85000000
0.000800230265
Long
ABS-O
CORP
US
N
2
2037-06-25
Floating
0.63657000
N
N
N
N
N
N
Federal Home Loan Mortgage Corp.
S6XOOCT0IEG5ABCC6L87
Federal Home Loan Mortgage Corp.
31307QVQ7
4055.24000000
PA
USD
4163.92000000
0.000510912518
Long
ABS-MBS
USGSE
US
N
2
2031-04-01
Fixed
3.50000000
N
N
N
N
N
N
Moody's Corp.
549300GCEDD8YCF5WU84
Moody's Corp.
615369AY1
95000.00000000
PA
USD
93628.94000000
0.011488260464
Long
DBT
CORP
US
N
2
2052-02-25
Fixed
3.75000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Uniform Mortgage-Backed Securities
3140XFGW5
506005.42220000
PA
USD
470720.06000000
0.057757298708
Long
ABS-MBS
USGSE
US
N
2
2051-12-01
Fixed
2.00000000
N
N
N
N
N
N
Hewlett Packard Enterprise Co.
549300BX44RGX6ANDV88
Hewlett Packard Enterprise Co.
42824CAY5
81000.00000000
PA
USD
95369.05000000
0.011701771767
Long
DBT
CORP
US
N
2
2045-10-15
Fixed
6.35000040
N
N
N
N
N
N
Norfolk Southern Corp.
54930036C8MWP850MI84
Norfolk Southern Corp.
655844CA4
6000.00000000
PA
USD
6071.33000000
0.000744951511
Long
DBT
CORP
US
N
2
2025-08-01
Fixed
3.65000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Uniform Mortgage-Backed Securities
31418NYJ3
3405.06000000
PA
USD
3497.82000000
0.000429182122
Long
ABS-MBS
USGSE
US
N
2
2025-02-01
Fixed
4.50000000
N
N
N
N
N
N
Albertsons Cos., Inc.
N/A
Albertsons Cos., Inc.
013092AE1
15000.00000000
PA
USD
14606.25000000
0.001792185241
Long
DBT
CORP
US
N
2
2030-02-15
Fixed
4.87500000
N
N
N
N
N
N
Federal Home Loan Mortgage Corp.
S6XOOCT0IEG5ABCC6L87
Federal Home Loan Mortgage Corp.
31335BJW7
52067.59110000
PA
USD
52054.56000000
0.006387088689
Long
ABS-MBS
USGSE
US
N
2
2043-08-01
Fixed
3.00000000
N
N
N
N
N
N
Atmos Energy Corp.
QVLWEGTD2S8GJMO8D383
Atmos Energy Corp.
049560AQ8
91000.00000000
PA
USD
95823.50000000
0.011757532731
Long
DBT
CORP
US
N
2
2049-03-15
Fixed
4.12500000
N
N
N
N
N
N
Raytheon Technologies Corp.
I07WOS4YJ0N7YRFE7309
Raytheon Technologies Corp.
913017BT5
16000.00000000
PA
USD
17643.11000000
0.002164807623
Long
DBT
CORP
US
N
2
2042-06-01
Fixed
4.50000000
N
N
N
N
N
N
Wynn Las Vegas LLC
N/A
Wynn Las Vegas LLC
983130AX3
81000.00000000
PA
USD
78367.50000000
0.009615683483
Long
DBT
CORP
US
N
2
2027-05-15
Fixed
5.25000000
N
N
N
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
-5072.49000000
-0.00062239395
N/A
DFE
N/A
N
2
Bank of America
B4TYDEB6GKMZO031MB27
490000.00000000
EUR
410063.85000000
GBP
2022-06-15
-5072.49000000
N
N
N
United States of America
254900HROIFWPRGM1V77
U.S. Treasury Notes
912828YB0
1320000.00000000
PA
USD
1251782.81000000
0.153593610765
Long
DBT
UST
US
N
2
2029-08-15
Fixed
1.62500000
N
N
N
N
N
N
Federal Home Loan Mortgage Corp.
S6XOOCT0IEG5ABCC6L87
Uniform Mortgage-Backed Securities
3133KMW84
1061762.38970000
PA
USD
986378.19000000
0.121028493579
Long
ABS-MBS
USGSE
US
N
2
2051-10-01
Fixed
2.00000000
N
N
N
N
N
N
Bank of America Corp.
9DJT3UXIJIZJI4WXO774
Bank of America Corp., Series FF
060505FL3
385000.00000000
PA
USD
388773.00000000
0.047702403612
Long
DBT
CORP
US
N
2
2028-03-15
Variable
5.87499840
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Government National Mortgage Association
36179SGL5
215593.44420000
PA
USD
219409.94000000
0.026921575095
Long
ABS-MBS
USGA
US
N
2
2046-07-20
Fixed
3.50000000
N
N
N
N
N
N
Federal Home Loan Mortgage Corp.
S6XOOCT0IEG5ABCC6L87
Uniform Mortgage-Backed Securities
3132DMRY3
162876.79000000
PA
USD
169920.70000000
0.020849250883
Long
ABS-MBS
USGSE
US
N
2
2048-04-01
Fixed
4.00000000
N
N
N
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
-2931.42000000
-0.00035968490
N/A
DFE
N/A
N
2
HSBC Bank
MP6I5ZYZBEU3UXPYFY54
176741.00000000
USD
157116.00000000
EUR
2022-04-01
-2931.42000000
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Uniform Mortgage-Backed Securities
3138M8YB3
15569.85880000
PA
USD
15425.85000000
0.001892750069
Long
ABS-MBS
USGSE
US
N
2
2027-09-01
Fixed
2.50000000
N
N
N
N
N
N
Federal Home Loan Mortgage Corp.
S6XOOCT0IEG5ABCC6L87
Uniform Mortgage-Backed Securities
3132DMRJ6
465929.95000000
PA
USD
487067.97000000
0.059763185436
Long
ABS-MBS
USGSE
US
N
2
2048-04-01
Fixed
4.00000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Uniform Mortgage-Backed Securities
3140QGS24
57777.12210000
PA
USD
60173.99000000
0.007383341842
Long
ABS-MBS
USGSE
US
N
2
2051-01-01
Fixed
4.00000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Uniform Mortgage-Backed Securities
31416VGJ7
21695.29000000
PA
USD
23905.86000000
0.002933246347
Long
ABS-MBS
USGSE
US
N
2
2039-01-01
Fixed
5.50000000
N
N
N
N
N
N
United States of America
254900HROIFWPRGM1V77
U.S. Treasury Bonds
912810SX7
9000.00000000
PA
USD
8819.30000000
0.001082127123
Long
DBT
UST
US
N
2
2051-05-15
Fixed
2.37500000
N
N
N
N
N
N
Conseco Finance Corp.
N/A
Conseco Finance Corp., Series 1998-8, Class M1
393505P22
103683.92000000
PA
USD
100469.96000000
0.012327652853
Long
ABS-O
CORP
US
N
2
2030-09-01
Variable
6.98000040
N
N
N
N
N
N
General Motors Co.
54930070NSV60J38I987
General Motors Co.
37045VAE0
77000.00000000
PA
USD
79333.33000000
0.009734190716
Long
DBT
CORP
US
N
2
2023-10-02
Fixed
4.87500000
N
N
N
N
N
N
United Airlines Pass-Through Trust
N/A
United Airlines Pass-Through Trust, Series 2018-1, Class AA
909318AA5
33355.86570000
PA
USD
32235.11000000
0.003955244391
Long
DBT
CORP
US
N
2
2030-03-01
Fixed
3.50000000
N
N
N
N
N
N
Morgan Stanley
IGJSJL3JD5P30I6NJZ34
Morgan Stanley
61747YEK7
1604000.00000000
PA
USD
1529129.50000000
0.187624018605
Long
DBT
CORP
US
N
2
2028-01-21
Variable
2.47500000
N
N
N
N
N
N
Realty Income Corp.
549300CUWDAUZSH43859
Realty Income Corp.
756109AX2
174000.00000000
PA
USD
170869.25000000
0.020965637861
Long
DBT
CORP
US
N
2
2031-01-15
Fixed
3.25000000
N
N
N
N
N
N
Structured Asset Mortgage Investments II Trust
N/A
Structured Asset Mortgage Investments II Trust, Series 2006-AR5, Class 2A1
86360JAE1
35044.57000000
PA
USD
24932.83000000
0.003059255452
Long
ABS-MBS
CORP
US
N
2
2046-05-25
Floating
0.87657120
N
N
N
N
N
N
Federal Home Loan Mortgage Corp.
S6XOOCT0IEG5ABCC6L87
Federal Home Loan Mortgage Corp.
3132Y4AU6
606633.76330000
PA
USD
640724.21000000
0.078616788897
Long
ABS-MBS
USGSE
US
N
2
2048-07-01
Fixed
4.50000000
N
N
N
N
N
N
Republic of Indonesia
529900FWX0GRR7WG5W79
Republic of Indonesia
455780CW4
441000.00000000
PA
USD
398602.26000000
0.048908452715
Long
DBT
NUSS
ID
N
2
2051-03-12
Fixed
3.05000000
N
N
N
N
N
N
T-Mobile USA, Inc.
549300V2JRLO5DIFGE82
T-Mobile USA, Inc.
87264ACM5
82000.00000000
PA
USD
69736.09000000
0.008556610442
Long
DBT
CORP
US
N
2
2052-10-15
Fixed
3.40000000
N
N
N
N
N
N
Citigroup, Inc.
6SHGI4ZSSLCXXQSBB395
Citigroup, Inc.
172967MV0
190000.00000000
PA
USD
179075.00000000
0.021972482469
Long
DBT
CORP
US
N
2
2026-02-18
Variable
3.87500040
N
N
N
N
N
N
N/A
N/A
U.S. Treasury 10 Year Note
N/A
174.00000000
NC
USD
188105.07000000
0.023080471048
N/A
DIR
US
N
1
CME Clearing House
LCZ7XYGSLJUHFXXNXD88
Long
N/A
U.S. Treasury 10 Year Note
2022-06-21
21361218.75000000
USD
188105.07000000
N
N
N
Raytheon Technologies Corp.
I07WOS4YJ0N7YRFE7309
Raytheon Technologies Corp.
913017CY3
1381000.00000000
PA
USD
1443562.89000000
0.177125005129
Long
DBT
CORP
US
N
2
2028-11-16
Fixed
4.12500000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Uniform Mortgage-Backed Securities
31418CRC0
298899.79180000
PA
USD
302216.36000000
0.037081913566
Long
ABS-MBS
USGSE
US
N
2
2047-11-01
Fixed
3.50000000
N
N
N
N
N
N
United States of America
254900HROIFWPRGM1V77
U.S. Treasury Notes
9128282A7
1479000.00000000
PA
USD
1417355.74000000
0.173909390755
Long
DBT
UST
US
N
2
2026-08-15
Fixed
1.50000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Government National Mortgage Association
36179MG87
17966.24000000
PA
USD
19714.60000000
0.002418979214
Long
ABS-MBS
USGA
US
N
2
2042-07-20
Fixed
5.00000000
N
N
N
N
N
N
Star Energy Geothermal Darajat II
N/A
Star Energy Geothermal Darajat II
85513LAB0
200000.00000000
PA
USD
198350.00000000
0.024337522813
Long
DBT
CORP
BM
N
2
2038-10-14
Fixed
4.85000000
N
N
N
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
-13803.50000000
-0.00169368790
N/A
DFE
N/A
N
2
Morgan Stanley & Co. International
4PQUHN3JPFGFNF3BB653
850000.00000000
EUR
929172.40000000
USD
2022-06-15
-13803.50000000
N
N
N
Walt Disney Co. (The)
549300GZKULIZ0WOW665
Walt Disney Co. (The)
254687FS0
466000.00000000
PA
USD
540436.78000000
0.066311532454
Long
DBT
CORP
US
N
2
2050-03-23
Fixed
4.70000000
N
N
N
N
N
N
Medtronic Global Holdings SCA
549300JXMTTP8GKYIX14
Medtronic Global Holdings SCA
58507LAQ2
100000.00000000
PA
99177.30000000
0.012169043616
Long
DBT
CORP
LU
N
2
2049-07-02
Fixed
1.75000000
N
N
N
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
-2041.81000000
-0.00025052985
N/A
DFE
N/A
N
2
HSBC Bank
MP6I5ZYZBEU3UXPYFY54
370000.00000000
EUR
408430.05000000
USD
2022-06-15
-2041.81000000
N
N
N
Municipal Electric Authority of Georgia
JA0WNILDDF2KUPS83B16
Municipal Electric Authority of Georgia, Series 2010A
626207YF5
54000.00000000
PA
USD
72082.99000000
0.008844574809
Long
DBT
MUN
US
N
2
2057-04-01
Fixed
6.63700000
N
N
N
N
N
N
Federal Home Loan Mortgage Corp.
S6XOOCT0IEG5ABCC6L87
Uniform Mortgage-Backed Securities
3132DMRE7
258072.53000000
PA
USD
263196.37000000
0.032294165158
Long
ABS-MBS
USGSE
US
N
2
2046-03-01
Fixed
3.50000000
N
N
N
N
N
N
N/A
N/A
EUR Currency
N/A
-148000.00000000
PA
-178.89000000
-0.00002194978
N/A
DFE
CH
N
2
UBS AG
BFM8T61CT2L1QCEMIK50
Call
Written
N/A
EUR Currency
1.00000000
10.80000000
EUR
2022-04-28
XXXX
1030.06000000
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Uniform Mortgage-Backed Securities
3140XBJE1
2858579.81100000
PA
USD
2918038.44000000
0.358042990183
Long
ABS-MBS
USGSE
US
N
2
2051-03-01
Fixed
4.00000000
N
N
N
N
N
N
Prima Capital CRE Securitization Ltd.
N/A
Prima Capital CRE Securitization Ltd., Series 2015-4A, Class C
74165GAB6
100000.00000000
PA
USD
97160.00000000
0.011921521131
Long
ABS-CBDO
CORP
KY
N
3
2049-08-24
Fixed
4.00000000
N
N
N
N
N
N
Select Medical Corp.
549300X05KS0JKR8CB50
Select Medical Corp.
816196AT6
41000.00000000
PA
USD
42444.84000000
0.005207977120
Long
DBT
CORP
US
N
2
2026-08-15
Fixed
6.25000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Government National Mortgage Association
21H050656
1368000.00000000
PA
USD
1426888.12000000
0.175079012715
Long
ABS-MBS
USGA
US
N
2
2052-05-15
Fixed
5.00000000
N
N
N
N
N
N
JPMorgan Chase & Co.
8I5DZWZKVSZI1NUHU748
JPMorgan Chase & Co.
46647PAF3
1765000.00000000
PA
USD
1769618.35000000
0.217131973599
Long
DBT
CORP
US
N
2
2028-05-01
Variable
3.53999880
N
N
N
N
N
N
Federal Home Loan Mortgage Corp.
S6XOOCT0IEG5ABCC6L87
Federal Home Loan Mortgage Corp.
31307NXU3
1346.47000000
PA
USD
1334.23000000
0.000163709871
Long
ABS-MBS
USGSE
US
N
2
2030-07-01
Fixed
2.50000000
N
N
N
N
N
N
Oakwood Mortgage Investors, Inc.
N/A
Oakwood Mortgage Investors, Inc., Series 2002-B, Class M1
67087TDS7
79860.65000000
PA
USD
67120.68000000
0.008235699928
Long
ABS-O
CORP
US
N
2
2032-06-15
Variable
7.62000120
N
N
N
N
N
N
BWAY Mortgage Trust
N/A
BWAY Mortgage Trust, Series 2013-1515, Class A2
05604FAC9
150000.00000000
PA
USD
148887.98000000
0.018268538491
Long
ABS-MBS
CORP
US
N
2
2033-03-10
Fixed
3.45430000
N
N
N
N
N
N
Fantasia Holdings Group Co. Ltd.
5493005JQNLB3I01JW62
Fantasia Holdings Group Co. Ltd.
N/A
200000.00000000
PA
USD
27000.00000000
0.003312896979
Long
DBT
CORP
KY
N
2
2022-04-17
Fixed
11.75000000
Y
N
N
N
N
N
BAMLL Commercial Mortgage Securities Trust
N/A
BAMLL Commercial Mortgage Securities Trust, Series 2017-SCH, Class DL
054966AW6
100000.00000000
PA
USD
82711.00000000
0.010148630448
Long
ABS-MBS
CORP
US
N
2
2032-11-15
Floating
2.39699880
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Uniform Mortgage-Backed Securities
3138YD4N6
6754.58000000
PA
USD
6694.50000000
0.000821414401
Long
ABS-MBS
USGSE
US
N
2
2030-05-01
Fixed
2.50000000
N
N
N
N
N
N
Anthem, Inc.
8MYN82XMYQH89CTMTH67
Anthem, Inc.
036752AS2
155000.00000000
PA
USD
148184.20000000
0.018182184764
Long
DBT
CORP
US
N
2
2051-03-15
Fixed
3.60000000
N
N
N
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
10749.99000000
0.001319022570
N/A
DFE
N/A
N
2
Goldman Sachs International
W22LROWP2IHZNBB6K528
125000.00000000
USD
646312.50000000
BRL
2022-04-04
10749.99000000
N
N
N
Caliber Home Loans
N/A
Caliber Home Loans, Term Loan
N/A
600849.97240000
PA
USD
599347.85000000
0.073539914153
Long
LON
CORP
US
N
3
2025-07-01
Variable
2.98129394
N
N
N
N
N
N
Aon Corp.
LTS3U8DGK38SETRUWX71
Aon Corp.
037389BE2
553000.00000000
PA
USD
526763.31000000
0.064633799214
Long
DBT
CORP
US
N
2
2030-05-15
Fixed
2.80000000
N
N
N
N
N
N
Berkshire Hathaway Finance Corp.
549300RLHFT5RU20WM87
Berkshire Hathaway Finance Corp.
084664DB4
124000.00000000
PA
USD
126798.31000000
0.015558138453
Long
DBT
CORP
US
N
2
2052-03-15
Fixed
3.85000000
N
N
N
N
N
N
N/A
N/A
CDS
N/A
1092000.00000000
PA
USD
-22111.76000000
-0.00271311047
N/A
DCR
GB
N
2
Goldman Sachs International
W22LROWP2IHZNBB6K528
Republic of Indonesia
Republic of Indonesia
Y
Receipt of notional amount upon default event with regard to the reference instrument
2027-06-20
13402.31000000
USD
0.00000000
USD
1092000.00000000
USD
-22111.76000000
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
-1729.02000000
-0.00021215056
N/A
DFE
N/A
N
2
Barclays Bank
G5GSEF7VJP5I7OUK5573
430785.60000000
CHF
420000.00000000
EUR
2022-06-15
-1729.02000000
N
N
N
Alabama Power Co.
0RL818ELFOHP5JHOFU19
Alabama Power Co.
010392FV5
70000.00000000
PA
USD
60865.89000000
0.007468237894
Long
DBT
CORP
US
N
2
2051-07-15
Fixed
3.12500000
N
N
N
N
N
N
Piedmont Natural Gas Co., Inc.
VXB4M3BDPKF3I2AZ3G89
Piedmont Natural Gas Co., Inc.
720186AK1
25000.00000000
PA
USD
22964.47000000
0.002817737900
Long
DBT
CORP
US
N
2
2046-11-01
Fixed
3.64000000
N
N
N
N
N
N
Deutsche Bank AG
7LTWFZYICNSX8D621K86
Deutsche Bank AG
25160PAH0
300000.00000000
PA
USD
276763.00000000
0.033958789141
Long
DBT
CORP
DE
N
2
2028-01-07
Variable
2.55200040
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Uniform Mortgage-Backed Securities
3140XB2F6
270775.86300000
PA
USD
276501.01000000
0.033926642998
Long
ABS-MBS
USGSE
US
N
2
2050-05-01
Fixed
4.00000000
N
N
N
N
N
N
Transcontinental Gas Pipe Line Co. LLC
N/A
Transcontinental Gas Pipe Line Co. LLC
893574AR4
232000.00000000
PA
USD
225594.86000000
0.027680464087
Long
DBT
CORP
US
N
2
2050-05-15
Fixed
3.95000000
N
N
N
N
N
N
United Airlines Pass-Through Trust
N/A
United Airlines Pass-Through Trust, Series 2016-1, Class AA
90931LAA6
10675.77000000
PA
USD
10339.67000000
0.001268676352
Long
DBT
CORP
US
N
2
2028-07-07
Fixed
3.10000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Government National Mortgage Association
36179TAL9
149074.33460000
PA
USD
153589.73000000
0.018845442690
Long
ABS-MBS
USGA
US
N
2
2047-06-20
Fixed
4.00000000
N
N
N
N
N
N
Pacific Gas and Electric Co.
1HNPXZSMMB7HMBMVBS46
Pacific Gas and Electric Co.
694308JG3
28000.00000000
PA
USD
24151.05000000
0.002963331133
Long
DBT
CORP
US
N
2
2031-02-01
Fixed
2.50000000
N
N
N
N
N
N
Devon Energy Corp.
54930042348RKR3ZPN35
Devon Energy Corp.
25179MBB8
114000.00000000
PA
USD
120742.84000000
0.014815132961
Long
DBT
CORP
US
N
2
2023-08-01
Fixed
8.25000000
N
N
N
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
-3139.59000000
-0.00038522734
N/A
DFE
N/A
N
2
Citibank
MBNUM2BPBDO7JBLYG310
1344000.00000000
TRY
84000.00000000
USD
2022-06-08
-3139.59000000
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
83.09000000
0.000010195133
N/A
DFE
N/A
N
2
Barclays Bank
G5GSEF7VJP5I7OUK5573
2595.64000000
USD
41315.53000000
TRY
2022-06-08
83.09000000
N
N
N
Seagate HDD Cayman
529900BD50TRWEG1SF63
Seagate HDD Cayman
81180WBC4
80000.00000000
PA
USD
77604.00000000
0.009522002119
Long
DBT
CORP
KY
N
2
2029-06-01
Fixed
4.09100000
N
N
N
N
N
N
Federal Home Loan Mortgage Corp.
S6XOOCT0IEG5ABCC6L87
Uniform Mortgage-Backed Securities
3132DMRS6
959789.02000000
PA
USD
958789.10000000
0.117643315322
Long
ABS-MBS
USGSE
US
N
2
2043-12-01
Fixed
3.00000000
N
N
N
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
-1538.20000000
-0.00018873696
N/A
DFE
N/A
N
2
Goldman Sachs International
W22LROWP2IHZNBB6K528
700449.75000000
USD
630000.00000000
EUR
2022-06-15
-1538.20000000
N
N
N
APS Resecuritization Trust
N/A
APS Resecuritization Trust, Series 2016-1, Class 1MZ
00192JAB2
270075.58000000
PA
USD
108290.13000000
0.013287186837
Long
ABS-MBS
CORP
US
N
2
2057-07-31
Variable
3.48643080
N
N
N
N
N
N
Discover Financial Services
Z1YLO2USPORE63VVUL20
Discover Financial Services
254709AP3
149000.00000000
PA
USD
153503.89000000
0.018834910132
Long
DBT
CORP
US
N
2
2026-01-30
Fixed
4.50000000
N
N
N
N
N
N
ORIX Corp.
35380016EMHNBOVYE123
ORIX Corp.
686330AH4
155000.00000000
PA
USD
155585.12000000
0.019090276820
Long
DBT
CORP
JP
N
2
2022-07-18
Fixed
2.90000000
N
N
N
N
N
N
CSX Corp.
549300JVQR4N1MMP3Q88
CSX Corp.
126408HT3
90000.00000000
PA
USD
72728.15000000
0.008923735869
Long
DBT
CORP
US
N
2
2051-05-15
Fixed
2.50000000
N
N
N
N
N
N
Energy Transfer LP
MTLVN9N7JE8MIBIJ1H73
Energy Transfer LP
29279FAA7
250000.00000000
PA
USD
286869.08000000
0.035198804027
Long
DBT
CORP
US
N
2
2049-04-15
Fixed
6.25000000
N
N
N
N
N
N
United States of America
254900HROIFWPRGM1V77
U.S. Treasury Notes
912828Z94
1019000.00000000
PA
USD
955312.50000000
0.117216736891
Long
DBT
UST
US
N
2
2030-02-15
Fixed
1.50000000
N
N
N
N
N
N
Federal National Mortgage Association or Federal Home Loan Mortgage Corp.
N/A
Uniform Mortgage-Backed Securities
01F032641
17433000.00000000
PA
USD
17462962.98000000
2.142703604280
Long
ABS-MBS
USGSE
US
N
2
2052-04-25
Fixed
3.50000000
N
N
N
N
N
N
GSAMP Trust
N/A
GSAMP Trust, Series 2007-H1, Class A1B
36245YAW4
22797.43000000
PA
USD
14141.02000000
0.001735101572
Long
ABS-O
CORP
US
N
2
2047-01-25
Floating
0.65657160
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Government National Mortgage Association
36179R4E6
1004923.22230000
PA
USD
1026509.81000000
0.125952638864
Long
ABS-MBS
USGA
US
N
2
2046-03-20
Fixed
3.50000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Uniform Mortgage-Backed Securities
3140X83A3
639147.91000000
PA
USD
627668.91000000
0.077014905047
Long
ABS-MBS
USGSE
US
N
2
2050-08-01
Fixed
3.00000000
N
N
N
N
N
N
Oncor Electric Delivery Co. LLC
549300SP2X2BS1KERD24
Oncor Electric Delivery Co. LLC
68233JBH6
267000.00000000
PA
USD
274621.19000000
0.033695989294
Long
DBT
CORP
US
N
2
2028-11-15
Fixed
3.70000000
N
N
N
N
N
N
N/A
N/A
Euro-Bund
N/A
56.00000000
NC
-38124.52000000
-0.00467787433
N/A
DIR
DE
N
1
Eurex Clearing
529900LN3S50JPU47S06
Long
N/A
EUR Currency
2022-06-08
8884960.00000000
EUR
-38124.52000000
N
N
N
United States of America
254900HROIFWPRGM1V77
U.S. Treasury Bonds
912810SR0
1933000.00000000
PA
USD
1523143.59000000
0.186889548117
Long
DBT
UST
US
N
2
2040-05-15
Fixed
1.12500000
N
N
N
N
N
N
Commercial Metals Co.
549300OQS2LO07ZJ7N73
Commercial Metals Co.
201723AR4
146000.00000000
PA
USD
135597.50000000
0.016637798082
Long
DBT
CORP
US
N
2
2032-03-15
Fixed
4.37500000
N
N
N
N
N
N
Federal Home Loan Mortgage Corp.
S6XOOCT0IEG5ABCC6L87
Federal Home Loan Mortgage Corp.
3128MENS6
38054.34030000
PA
USD
37691.84000000
0.004624784551
Long
ABS-MBS
USGSE
US
N
2
2029-01-01
Fixed
2.50000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Uniform Mortgage-Backed Securities
3138W6SU1
24747.67000000
PA
USD
24696.63000000
0.003030273738
Long
ABS-MBS
USGSE
US
N
2
2043-04-01
Fixed
3.00000000
N
N
N
N
N
N
Citigroup, Inc.
6SHGI4ZSSLCXXQSBB395
Citigroup, Inc.
172967LP4
716000.00000000
PA
USD
716158.40000000
0.087872555572
Long
DBT
CORP
US
N
2
2028-07-24
Variable
3.66800040
N
N
N
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
-426.44000000
-0.00005232414
N/A
DFE
N/A
N
2
BNP Paribas
R0MUWSFPU8MPRO8K5P83
253749.00000000
GBP
300000.00000000
EUR
2022-06-15
-426.44000000
N
N
N
American Airlines Pass-Through Trust
N/A
American Airlines Pass-Through Trust, Series 2016-1, Class AA
02376UAA3
95956.28380000
PA
USD
91169.45000000
0.011186481317
Long
DBT
CORP
US
N
2
2028-01-15
Fixed
3.57500000
N
N
N
N
N
N
Federal Home Loan Mortgage Corp. STACR REMIC Trust
N/A
Federal Home Loan Mortgage Corp. STACR REMIC Trust, Series 2022-DNA1, Class B1
35564KQY8
267215.00000000
PA
USD
242483.50000000
0.029752698326
Long
ABS-MBS
CORP
US
N
2
2042-01-25
Floating
3.49899840
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Uniform Mortgage-Backed Securities
3140XFUY5
102789.24000000
PA
USD
95884.11000000
0.011764969571
Long
ABS-MBS
USGSE
US
N
2
2051-12-01
Fixed
2.00000000
N
N
N
N
N
N
Promigas SA ESP
N/A
Promigas SA ESP
74348DAA5
200000.00000000
PA
USD
180310.00000000
0.022124016830
Long
DBT
CORP
US
N
2
2029-10-16
Fixed
3.75000000
N
N
N
N
N
N
Morgan Stanley
IGJSJL3JD5P30I6NJZ34
Morgan Stanley
61747YED3
890000.00000000
PA
USD
788655.22000000
0.096767907276
Long
DBT
CORP
US
N
2
2032-07-21
Variable
2.23899840
N
N
N
N
N
N
Intel Corp.
KNX4USFCNGPY45LOCE31
Intel Corp.
458140BJ8
248000.00000000
PA
USD
228765.14000000
0.028069457088
Long
DBT
CORP
US
N
2
2049-11-15
Fixed
3.25000000
N
N
N
N
N
N
OQ SAOC
549300YK417GKI6EQ392
OQ SAOC
67624L2A5
200000.00000000
PA
USD
197412.50000000
0.024222491667
Long
DBT
NUSS
OM
N
2
2028-05-06
Fixed
5.12500000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Uniform Mortgage-Backed Securities
3138XQBF7
19141.53000000
PA
USD
19340.29000000
0.002373051419
Long
ABS-MBS
USGSE
US
N
2
2029-04-01
Fixed
3.00000000
N
N
N
N
N
N
AbbVie, Inc.
FR5LCKFTG8054YNNRU85
AbbVie, Inc.
00287YCY3
129000.00000000
PA
USD
138482.25000000
0.016991756584
Long
DBT
CORP
US
N
2
2035-03-15
Fixed
4.55000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Uniform Mortgage-Backed Securities
31418CWS9
5996.28680000
PA
USD
6054.16000000
0.000742844754
Long
ABS-MBS
USGSE
US
N
2
2048-05-01
Fixed
3.50000000
N
N
N
N
N
N
CSAIL Commercial Mortgage Trust
N/A
CSAIL Commercial Mortgage Trust, Series 2017-CX10, Class XB
12595JAQ7
1430000.00000000
PA
USD
18245.94000000
0.002238774797
Long
ABS-MBS
CORP
US
N
2
2050-11-15
Variable
0.13129560
N
N
N
N
N
N
CP Iris Holdco I, Inc.
25490024F0AS5UR7DB02
CP Iris Holdco I, Inc., Delayed Draw 1st Lien Term Loan
12659EAD0
6277.44000000
PA
USD
6116.61000000
0.000750507362
Long
LON
CORP
US
N
2
2028-10-02
Variable
3.50000000
N
N
N
N
N
N
Takeda Pharmaceutical Co. Ltd.
549300ZLMVP4X0OGR454
Takeda Pharmaceutical Co. Ltd.
874060AX4
600000.00000000
PA
USD
541581.36000000
0.066451972291
Long
DBT
CORP
JP
N
2
2030-03-31
Fixed
2.05000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Uniform Mortgage-Backed Securities
3138XDTP5
276427.90000000
PA
USD
287984.06000000
0.035335611948
Long
ABS-MBS
USGSE
US
N
2
2044-01-01
Fixed
4.00000000
N
N
N
N
N
N
N/A
N/A
U.S. Treasury 10 Year Note
N/A
-2.00000000
NC
USD
-781.25000000
-0.00009585928
N/A
DIR
US
N
1
CME Clearing House
LCZ7XYGSLJUHFXXNXD88
Put
Written
N/A
U.S. Treasury 10 Year Note
100000.00000000
121.50000000
USD
2022-04-22
XXXX
1590.71000000
N
N
N
Republic Services, Inc.
NKNQHM6BLECKVOQP7O46
Republic Services, Inc.
760759AR1
131000.00000000
PA
USD
130007.75000000
0.015951936382
Long
DBT
CORP
US
N
2
2026-07-01
Fixed
2.90000000
N
N
N
N
N
N
GSMPS Mortgage Loan Trust
N/A
GSMPS Mortgage Loan Trust, Series 2005-RP2, Class 1AF
36242DT52
40996.45000000
PA
USD
39184.21000000
0.004807898183
Long
ABS-MBS
CORP
US
N
2
2035-03-25
Floating
0.80656920
N
N
N
N
N
N
Federal Home Loan Mortgage Corp.
S6XOOCT0IEG5ABCC6L87
Federal Home Loan Mortgage Corp.
3132XCSC0
988606.38790000
PA
USD
1043265.24000000
0.128008528250
Long
ABS-MBS
USGSE
US
N
2
2048-08-01
Fixed
4.50000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Uniform Mortgage-Backed Securities
3140J57D5
430034.18360000
PA
USD
435370.73000000
0.053419939871
Long
ABS-MBS
USGSE
US
N
2
2032-06-01
Fixed
3.00000000
N
N
N
N
N
N
Republic of Peru
254900STKLK2DBJJZ530
Republic of Peru
715638BU5
231000.00000000
PA
USD
240066.75000000
0.029456163371
Long
DBT
NUSS
PE
N
2
2027-08-25
Fixed
4.12500000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Government National Mortgage Association
36179MAY6
42830.64000000
PA
USD
45001.28000000
0.005521652022
Long
ABS-MBS
USGA
US
N
2
2042-04-20
Fixed
4.00000000
N
N
N
N
N
N
United States of America
254900HROIFWPRGM1V77
U.S. Treasury Bonds
912810TD0
160000.00000000
PA
USD
153450.00000000
0.018828297835
Long
DBT
UST
US
N
2
2052-02-15
Fixed
2.25000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Uniform Mortgage-Backed Securities
3140EW4N2
5390.59390000
PA
USD
5344.07000000
0.000655716791
Long
ABS-MBS
USGSE
US
N
2
2031-11-01
Fixed
2.50000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Uniform Mortgage-Backed Securities
3138YJF68
4312.52000000
PA
USD
4450.13000000
0.000546030453
Long
ABS-MBS
USGSE
US
N
2
2031-08-01
Fixed
4.00000000
N
N
N
N
N
N
ACE Securities Corp. Home Equity Loan Trust
N/A
ACE Securities Corp. Home Equity Loan Trust, Series 2007-HE4, Class A2A
00442LAB5
89377.93000000
PA
USD
20712.23000000
0.002541388304
Long
ABS-O
CORP
US
N
2
2037-05-25
Floating
0.71656920
N
N
N
N
N
N
Intercontinental Exchange, Inc.
5493000F4ZO33MV32P92
Intercontinental Exchange, Inc.
45866FAN4
172000.00000000
PA
USD
148546.60000000
0.018226651203
Long
DBT
CORP
US
N
2
2032-09-15
Fixed
1.85000000
N
N
N
N
N
N
Thermo Fisher Scientific, Inc.
HCHV7422L5HDJZCRFL38
Thermo Fisher Scientific, Inc.
883556CE0
300000.00000000
PA
297525.94000000
0.036506399557
Long
DBT
CORP
US
N
2
2049-10-01
Fixed
1.87500000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Government National Mortgage Association
36179R7J2
1254681.94470000
PA
USD
1278962.00000000
0.156928494338
Long
ABS-MBS
USGA
US
N
2
2046-04-20
Fixed
3.50000000
N
N
N
N
N
N
Federal National Mortgage Association or Federal Home Loan Mortgage Corp.
N/A
Uniform Mortgage-Backed Securities
01F040651
-11208000.00000000
PA
USD
-11396615.73000000
-1.39836347527
Short
ABS-MBS
USGSE
US
N
2
2052-05-25
Fixed
4.00000000
N
N
N
N
N
N
C-BASS Trust
N/A
C-BASS Trust, Series 2006-CB7, Class A4
12479DAD0
40900.12000000
PA
USD
32908.50000000
0.004037869268
Long
ABS-O
CORP
US
N
2
2036-10-25
Floating
0.77657040
N
N
N
N
N
N
CD Mortgage Trust
N/A
CD Mortgage Trust, Series 2017-CD3, Class A4
12515GAD9
30000.00000000
PA
USD
30260.95000000
0.003713015180
Long
ABS-MBS
CORP
US
N
2
2050-02-10
Fixed
3.63100000
N
N
N
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
-3118.52000000
-0.00038264205
N/A
DFE
N/A
N
2
UBS
BFM8T61CT2L1QCEMIK50
1932336.00000000
TRY
126000.00000000
USD
2022-04-29
-3118.52000000
N
N
N
Citigroup, Inc.
6SHGI4ZSSLCXXQSBB395
Citigroup, Inc., Series VAR
172967NG2
1600000.00000000
PA
USD
1558333.97000000
0.191207403807
Long
DBT
CORP
US
N
2
2028-02-24
Variable
3.07000080
N
N
N
N
N
N
Federal Home Loan Mortgage Corp.
S6XOOCT0IEG5ABCC6L87
Uniform Mortgage-Backed Securities
3133KYWE5
115272.91230000
PA
USD
107947.18000000
0.013245106911
Long
ABS-MBS
USGSE
US
N
2
2042-02-01
Fixed
2.00000000
N
N
N
N
N
N
Ameren Illinois Co.
RC71E2BZ6UOMFPDJSE79
Ameren Illinois Co.
02361DAU4
159000.00000000
PA
USD
145584.81000000
0.017863239902
Long
DBT
CORP
US
N
2
2050-03-15
Fixed
3.25000000
N
N
N
N
N
N
Verizon Communications, Inc.
2S72QS2UO2OESLG6Y829
Verizon Communications, Inc.
92343VFL3
1178000.00000000
PA
USD
1022966.01000000
0.125517815000
Long
DBT
CORP
US
N
2
2030-09-18
Fixed
1.50000000
N
N
N
N
N
N
Agilent Technologies, Inc.
QUIX8Y7A2WP0XRMW7G29
Agilent Technologies, Inc.
00846UAN1
113000.00000000
PA
USD
102081.07000000
0.012525335870
Long
DBT
CORP
US
N
2
2031-03-12
Fixed
2.30000000
N
N
N
N
N
N
Origen Manufactured Housing Contract Trust
5493005G5GFEQWMCSY59
Origen Manufactured Housing Contract Trust, Series 2007-B, Class A1
68620KAA0
35566.70000000
PA
USD
34465.48000000
0.004228910540
Long
ABS-O
CORP
US
N
2
2037-10-15
Floating
1.59657120
N
N
N
N
N
N
Credit Suisse AG
549300D0YARF5HYP1809
Credit Suisse AG
22550L2G5
322000.00000000
PA
USD
293630.43000000
0.036028420916
Long
DBT
CORP
CH
N
2
2026-08-07
Fixed
1.25000000
N
N
N
N
N
N
Charter Communications Operating LLC
N/A
Charter Communications Operating LLC
161175BC7
235000.00000000
PA
USD
278631.82000000
0.034188093146
Long
DBT
CORP
US
N
2
2055-10-23
Fixed
6.83400000
N
N
N
N
N
N
AT&T, Inc.
549300Z40J86GGSTL398
AT&T, Inc.
00206RKB7
40000.00000000
PA
USD
35804.51000000
0.004393209371
Long
DBT
CORP
US
N
2
2060-06-01
Fixed
3.85000000
N
N
N
N
N
N
DTE Electric Co.
9N0FWODEJVKHC2DYLO03
DTE Electric Co., Series A
23338VAH9
265000.00000000
PA
USD
279369.43000000
0.034278597811
Long
DBT
CORP
US
N
2
2048-05-15
Fixed
4.05000000
N
N
N
N
N
N
N/A
N/A
IRS
N/A
5588000.00000000
PA
2433.41000000
0.000298579134
N/A
DIR
US
N
2
CME Group Inc.
LCZ7XYGSLJUHFXXNXD88
Y
2032-03-17
0.00000000
USD
0.00000000
USD
5588000.00000000
MXN
2433.41000000
N
N
N
Marriott International, Inc.
225YDZ14ZO8E1TXUSU86
Marriott International, Inc., Series HH
571903BG7
194000.00000000
PA
USD
177062.43000000
0.021725540355
Long
DBT
CORP
US
N
2
2031-04-15
Fixed
2.85000000
N
N
N
N
N
N
GLP Capital LP
N/A
GLP Capital LP
361841AP4
1032000.00000000
PA
USD
1001669.52000000
0.122904738059
Long
DBT
CORP
US
N
2
2030-01-15
Fixed
4.00000000
N
N
N
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
-1269.73000000
-0.00015579572
N/A
DFE
N/A
N
2
Citibank
MBNUM2BPBDO7JBLYG310
466101000.00000000
COP
122000.00000000
USD
2022-04-20
-1269.73000000
N
N
N
Morgan Stanley
IGJSJL3JD5P30I6NJZ34
Morgan Stanley
6174468X0
56000.00000000
PA
USD
48402.97000000
0.005939039004
Long
DBT
CORP
US
N
2
2032-04-28
Variable
1.92800160
N
N
N
N
N
N
BX Commercial Mortgage Trust
N/A
BX Commercial Mortgage Trust, Series 2018-IND, Class H
056059AU2
371000.02000000
PA
USD
366410.23000000
0.044958494235
Long
ABS-MBS
CORP
US
N
2
2035-11-15
Floating
3.39657120
N
N
N
N
N
N
Lehman Brothers Small Balance Commercial Mortgage Trust
N/A
Lehman Brothers Small Balance Commercial Mortgage Trust, Series 2007-1A, Class 1A
52521GAA3
9316.82000000
PA
USD
9265.93000000
0.001136928574
Long
ABS-MBS
CORP
US
N
2
2037-03-25
Floating
0.70656840
N
N
N
N
N
N
Morgan Stanley
IGJSJL3JD5P30I6NJZ34
Morgan Stanley
61747YEL5
221000.00000000
PA
USD
207240.12000000
0.025428339542
Long
DBT
CORP
US
N
2
2033-01-21
Variable
2.94300000
N
N
N
N
N
N
MidAmerican Energy Co.
NINLOILYRTLIMK26MZ18
MidAmerican Energy Co.
595620AT2
460000.00000000
PA
USD
472811.72000000
0.058013945156
Long
DBT
CORP
US
N
2
2029-04-15
Fixed
3.65000000
N
N
N
N
N
N
Federal Home Loan Mortgage Corp.
S6XOOCT0IEG5ABCC6L87
Federal Home Loan Mortgage Corp.
3132QUZX4
6386.77000000
PA
USD
6588.79000000
0.000808443795
Long
ABS-MBS
USGSE
US
N
2
2045-12-01
Fixed
4.00000000
N
N
N
N
N
N
CSMC Trust
N/A
CSMC Trust, Series 2017-TIME, Class A
12652XAA1
100000.00000000
PA
USD
93746.69000000
0.011502708376
Long
ABS-MBS
CORP
US
N
2
2039-11-13
Fixed
3.64630000
N
N
N
N
N
N
Federal Home Loan Mortgage Corp.
S6XOOCT0IEG5ABCC6L87
Federal Home Loan Mortgage Corp.
3132L5FG3
153750.60000000
PA
USD
153600.98000000
0.018846823064
Long
ABS-MBS
USGSE
US
N
2
2043-07-01
Fixed
3.00000000
N
N
N
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
-3514.08000000
-0.00043117722
N/A
DFE
N/A
N
2
Barclays Bank
G5GSEF7VJP5I7OUK5573
630000.00000000
EUR
640552.50000000
CHF
2022-06-15
-3514.08000000
N
N
N
Petroleos Mexicanos
549300CAZKPF4HKMPX17
Petroleos Mexicanos
71654QDF6
40000.00000000
PA
USD
32396.00000000
0.003974985576
Long
DBT
NUSS
MX
N
2
2060-01-28
Fixed
6.95000000
N
N
N
N
N
N
RR 3 Ltd.
549300YH0VOGWM5JZF65
RR 3 Ltd., Series 2018-3A, Class A1R2
74988LAA2
1250000.00000000
PA
USD
1242639.00000000
0.152471666301
Long
ABS-CBDO
CORP
KY
N
2
2030-01-15
Floating
1.33129080
N
N
N
N
N
N
Comcast Corp.
51M0QTTNCGUN7KFCFZ59
Comcast Corp.
20030NDL2
471000.00000000
PA
USD
397178.37000000
0.048733741571
Long
DBT
CORP
US
N
2
2051-01-15
Fixed
2.80000000
N
N
N
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
317.05000000
0.000038901999
N/A
DFE
N/A
N
2
Deutsche Bank
7LTWFZYICNSX8D621K86
164590.27000000
USD
149000.00000000
EUR
2022-04-20
317.05000000
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Uniform Mortgage-Backed Securities
3140JARS9
280914.61850000
PA
USD
297723.07000000
0.036530587386
Long
ABS-MBS
USGSE
US
N
2
2048-05-01
Fixed
4.50000000
N
N
N
N
N
N
Generate CLO 2 Ltd.
N/A
Generate CLO 2 Ltd., Series 2A, Class AR
98625TAJ4
250000.00000000
PA
USD
249007.93000000
0.030553245157
Long
ABS-CBDO
CORP
KY
N
2
2031-01-22
Floating
1.40886000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Uniform Mortgage-Backed Securities
3138WH3T7
76985.03830000
PA
USD
76277.34000000
0.009359221085
Long
ABS-MBS
USGSE
US
N
2
2031-10-01
Fixed
2.50000000
N
N
N
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
80.50000000
0.000009877340
N/A
DFE
N/A
N
2
Citibank
MBNUM2BPBDO7JBLYG310
96197000.00000000
CLP
122000.00000000
USD
2022-04-20
80.50000000
N
N
N
Marsh & McLennan Cos., Inc.
549300XMP3KDCKJXIU47
Marsh & McLennan Cos., Inc.
571748BN1
424000.00000000
PA
USD
387041.51000000
0.047489949983
Long
DBT
CORP
US
N
2
2030-11-15
Fixed
2.25000000
N
N
N
N
N
N
Ares XXXVII CLO Ltd.
635400YF4AHA6NB2CU53
Ares XXXVII CLO Ltd., Series 2015-4A, Class A1R
04015NAG9
250000.00000000
PA
USD
249230.28000000
0.030580527477
Long
ABS-CBDO
CORP
KY
N
2
2030-10-15
Floating
1.41129000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Uniform Mortgage-Backed Securities
3138WTV37
17002.58000000
PA
USD
17178.93000000
0.002107852789
Long
ABS-MBS
USGSE
US
N
2
2028-05-01
Fixed
3.00000000
N
N
N
N
N
N
MGM Resorts International
54930066VBP7DZEGGJ87
MGM Resorts International
552953CE9
10000.00000000
PA
USD
10250.20000000
0.001257698393
Long
DBT
CORP
US
N
2
2025-06-15
Fixed
5.75000000
N
N
N
N
N
N
Federal Home Loan Mortgage Corp.
S6XOOCT0IEG5ABCC6L87
Federal Home Loan Mortgage Corp.
3132J72F8
46868.49000000
PA
USD
46742.20000000
0.005735262711
Long
ABS-MBS
USGSE
US
N
2
2043-03-01
Fixed
3.00000000
N
N
N
N
N
N
United States of America
254900HROIFWPRGM1V77
U.S. Treasury Notes
912828YY0
7368000.00000000
PA
USD
7220064.41000000
0.885901095487
Long
DBT
UST
US
N
2
2024-12-31
Fixed
1.75000000
N
N
N
N
N
N
National Retail Properties, Inc.
5493008JKH5SOTI0JS97
National Retail Properties, Inc.
637417AQ9
368000.00000000
PA
USD
323679.45000000
0.039715432308
Long
DBT
CORP
US
N
2
2051-04-15
Fixed
3.50000000
N
N
N
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
-194.85000000
-0.00002390807
N/A
DFE
N/A
N
2
JP Morgan Chase Bank
7H6GLXDRUGQFU57RNE97
11502.94000000
USD
10222.00000000
EUR
2022-04-01
-194.85000000
N
N
N
NRG Energy, Inc.
5E2UPK5SW04M13XY7I38
NRG Energy, Inc.
629377CP5
842000.00000000
PA
USD
776579.63000000
0.095286233734
Long
DBT
CORP
US
N
2
2027-12-02
Fixed
2.45000000
N
N
N
N
N
N
GSK Consumer Healthcare Capital US LLC
549300N8C3A3L0UVQB07
GSK Consumer Healthcare Capital US LLC
36264FAB7
355000.00000000
PA
USD
354995.34000000
0.043557888509
Long
DBT
CORP
US
N
2
2027-03-24
Fixed
3.37500000
N
N
N
N
N
N
Vedanta Resources Finance II plc
8945002DGA3BBXO3N634
Vedanta Resources Finance II plc
92243XAE1
200000.00000000
PA
USD
194000.00000000
0.023803778299
Long
DBT
CORP
GB
N
2
2025-03-11
Fixed
8.95000000
N
N
N
N
N
N
CSX Corp.
549300JVQR4N1MMP3Q88
CSX Corp.
126408HG1
65000.00000000
PA
USD
67563.49000000
0.008290032665
Long
DBT
CORP
US
N
2
2066-11-01
Fixed
4.25000000
N
N
N
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
-4273.58000000
-0.00052436778
N/A
DFE
N/A
N
2
Citibank
MBNUM2BPBDO7JBLYG310
1863328.85000000
ZAR
123000.00000000
USD
2022-04-19
-4273.58000000
N
N
N
American Municipal Power, Inc.
EARKGGZJJEMVD66XQ486
American Municipal Power, Inc., Series 2010B
02765UEK6
135000.00000000
PA
USD
222948.41000000
0.027355744968
Long
DBT
MUN
US
N
2
2050-02-15
Fixed
8.08400000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Uniform Mortgage-Backed Securities
3138M1YD4
5044.94000000
PA
USD
5145.48000000
0.000631349820
Long
ABS-MBS
USGSE
US
N
2
2042-07-01
Fixed
3.50000000
N
N
N
N
N
N
Norfolk Southern Corp.
54930036C8MWP850MI84
Norfolk Southern Corp.
655844CM8
512000.00000000
PA
USD
498942.01000000
0.061220128816
Long
DBT
CORP
US
N
2
2032-03-15
Fixed
3.00000000
N
N
N
N
N
N
Credit Suisse Mortgage Capital Certificates
N/A
Credit Suisse Mortgage Capital Certificates, Series 2009-12R, Class 3A1
12642MAJ9
280986.67000000
PA
USD
142926.48000000
0.017537063108
Long
ABS-MBS
CORP
US
N
2
2037-10-27
Fixed
6.50000000
N
N
N
N
N
N
Home Loan Mortgage Loan Trust
N/A
Home Loan Mortgage Loan Trust, Series 2005-1, Class A3
43718RAD5
14401.32000000
PA
USD
13680.35000000
0.001678577414
Long
ABS-O
CORP
US
N
2
2036-04-15
Floating
1.11656880
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Uniform Mortgage-Backed Securities
3138WFNC6
14404.55000000
PA
USD
14269.47000000
0.001750862372
Long
ABS-MBS
USGSE
US
N
2
2030-09-01
Fixed
2.50000000
N
N
N
N
N
N
Roche Holdings, Inc.
PVJRP0EQNV6OGDPZGY95
Roche Holdings, Inc.
771196BY7
207000.00000000
PA
USD
179298.71000000
0.021999931661
Long
DBT
CORP
US
N
2
2051-12-13
Fixed
2.60700000
N
N
N
N
N
N
United States of America
254900HROIFWPRGM1V77
U.S. Treasury Notes
91282CDL2
73000.00000000
PA
USD
68762.58000000
0.008437160874
Long
DBT
UST
US
N
2
2028-11-30
Fixed
1.50000000
N
N
N
N
N
N
JPMorgan Chase & Co.
8I5DZWZKVSZI1NUHU748
JPMorgan Chase & Co.
46625HRS1
78000.00000000
PA
USD
78419.43000000
0.009622055289
Long
DBT
CORP
US
N
2
2026-06-15
Fixed
3.20000000
N
N
N
N
N
N
UnitedHealth Group, Inc.
549300GHBMY8T5GXDE41
UnitedHealth Group, Inc.
91324PEF5
97000.00000000
PA
USD
91108.76000000
0.011179034660
Long
DBT
CORP
US
N
2
2051-05-15
Fixed
3.25000000
N
N
N
N
N
N
Cameron LNG LLC
549300C39FLHGVD73K22
Cameron LNG LLC
133434AB6
105000.00000000
PA
USD
98681.59000000
0.012108220054
Long
DBT
CORP
US
N
2
2035-01-15
Fixed
3.30200000
N
N
N
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
13481.13000000
0.001654133143
N/A
DFE
N/A
N
2
HSBC Bank
MP6I5ZYZBEU3UXPYFY54
245012.00000000
USD
5155789.23000000
MXN
2022-04-20
13481.13000000
N
N
N
Aon Corp.
LTS3U8DGK38SETRUWX71
Aon Corp.
037389BB8
83000.00000000
PA
USD
86949.19000000
0.010668655887
Long
DBT
CORP
US
N
2
2028-12-15
Fixed
4.50000000
N
N
N
N
N
N
Federal Home Loan Mortgage Corp.
S6XOOCT0IEG5ABCC6L87
Federal Home Loan Mortgage Corp.
3132WJTW1
44127.74000000
PA
USD
43844.27000000
0.005379687024
Long
ABS-MBS
USGSE
US
N
2
2046-12-01
Fixed
3.00000000
N
N
N
N
N
N
N/A
N/A
CDS
N/A
2392010.00000000
PA
USD
-14794.66000000
-0.00181530312
N/A
DCR
GB
N
2
Morgan Stanley & Co. International plc
4PQUHN3JPFGFNF3BB653
United Mexican States
United Mexican States
Y
Receipt of notional amount upon default event with regard to the reference instrument
2027-06-20
15159.21000000
USD
0.00000000
USD
2392010.00000000
USD
-14794.66000000
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
-931.88000000
-0.00011434157
N/A
DFE
N/A
N
2
Bank of America
B4TYDEB6GKMZO031MB27
245525.96000000
USD
221000.00000000
EUR
2022-04-20
-931.88000000
N
N
N
Magallanes, Inc.
549300DXR29GD4N0A520
Magallanes, Inc.
55903VAC7
324000.00000000
PA
USD
325776.19000000
0.039972702072
Long
DBT
CORP
US
N
2
2024-03-15
Fixed
3.42800000
N
N
N
N
N
N
Duke Energy Carolinas LLC
MWIUSDMN17TCR56VW396
Duke Energy Carolinas LLC
26442CBH6
17000.00000000
PA
USD
16793.56000000
0.002060567933
Long
DBT
CORP
US
N
2
2052-03-15
Fixed
3.55000000
N
N
N
N
N
N
JPMBB Commercial Mortgage Securities Trust
N/A
JPMBB Commercial Mortgage Securities Trust, Series 2014-C23, Class XA
46643ABG7
999857.55930000
PA
USD
12003.89000000
0.001472875960
Long
ABS-MBS
CORP
US
N
2
2047-09-15
Variable
0.59816160
N
N
N
N
N
N
Dell International LLC
N/A
Dell International LLC
24703DBG5
122000.00000000
PA
USD
99111.54000000
0.012160974871
Long
DBT
CORP
US
N
2
2051-12-15
Fixed
3.45000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Government National Mortgage Association
36202FMA1
149246.63000000
PA
USD
156808.16000000
0.019240343691
Long
ABS-MBS
USGA
US
N
2
2040-11-20
Fixed
4.00000000
N
N
N
N
N
N
Bank of New York Mellon Corp. (The)
WFLLPEPC7FZXENRZV188
Bank of New York Mellon Corp. (The), Series H
064058AJ9
180000.00000000
PA
USD
171000.00000000
0.020981680872
Long
DBT
CORP
US
N
2
2026-03-20
Variable
3.70000080
N
N
N
N
N
N
Octagon Investment Partners XVII Ltd.
54930007Y57X4ONHQV20
Octagon Investment Partners XVII Ltd., Series 2013-1A, Class A1R2
67590GBG3
250000.00000000
PA
USD
248092.20000000
0.030440885188
Long
ABS-CBDO
CORP
KY
N
2
2031-01-25
Floating
1.25771040
N
N
N
N
N
N
Agilent Technologies, Inc.
QUIX8Y7A2WP0XRMW7G29
Agilent Technologies, Inc.
00846UAK7
366000.00000000
PA
USD
363438.73000000
0.044593891517
Long
DBT
CORP
US
N
2
2026-09-22
Fixed
3.05000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Uniform Mortgage-Backed Securities
31402RDH9
89140.20000000
PA
USD
98523.22000000
0.012088788073
Long
ABS-MBS
USGSE
US
N
2
2035-04-01
Fixed
6.00000000
N
N
N
N
N
N
S&P Global, Inc.
Y6X4K52KMJMZE7I7MY94
S&P Global, Inc.
78409VBE3
9000.00000000
PA
USD
9257.57000000
0.001135902803
Long
DBT
CORP
US
N
2
2062-03-01
Fixed
3.90000000
N
N
N
N
N
N
N/A
N/A
USD Currency
N/A
-842000.00000000
PA
USD
-11375.85000000
-0.00139581552
N/A
DFE
US
N
2
Citibank NA
E57ODZWZ7FF32TWEFA76
Put
Written
N/A
USD Currency
1.00000000
72.00000000
USD
2022-04-08
XXXX
-7424.76000000
N
N
N
FirstEnergy Corp.
549300SVYJS666PQJH88
FirstEnergy Corp.
337932AL1
158000.00000000
PA
USD
143447.41000000
0.017600981161
Long
DBT
CORP
US
N
2
2030-03-01
Fixed
2.65000000
N
N
N
N
N
N
Alternative Loan Trust
549300EBNJLBIQBKE071
Alternative Loan Trust, Series 2006-OA8, Class 1A1
02147CAA1
8043.45000000
PA
USD
7341.90000000
0.000900850308
Long
ABS-MBS
CORP
US
N
2
2046-07-25
Floating
0.83657160
N
N
N
N
N
N
AT&T, Inc.
549300Z40J86GGSTL398
AT&T, Inc.
00206RAE2
1000000.00000000
PA
USD
983852.16000000
0.120718549980
Long
DBT
CORP
US
N
2
2022-11-27
None
0.00000000
N
N
N
N
N
N
Invitation Homes Trust
N/A
Invitation Homes Trust, Series 2018-SFR3, Class A
46187VAA7
29253.72000000
PA
USD
29253.71000000
0.003589426944
Long
ABS-O
CORP
US
N
2
2037-07-17
Floating
1.44142920
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Uniform Mortgage-Backed Securities
3138WFYN0
14853.07000000
PA
USD
14711.45000000
0.001805093269
Long
ABS-MBS
USGSE
US
N
2
2030-11-01
Fixed
2.50000000
N
N
N
N
N
N
Anglo American Capital plc
TINT358G1SSHR3L3PW36
Anglo American Capital plc
034863AX8
317000.00000000
PA
USD
287340.69000000
0.035256670521
Long
DBT
CORP
GB
N
2
2030-09-10
Fixed
2.62500000
N
N
N
N
N
N
TransCanada PipeLines Ltd.
5BV01I6231JPDAPMGH09
TransCanada PipeLines Ltd.
89352HAM1
123000.00000000
PA
USD
131247.45000000
0.016104047433
Long
DBT
CORP
CA
N
2
2034-03-01
Fixed
4.62500000
N
N
N
N
N
N
BXP Trust
N/A
BXP Trust, Series 2017-CC, Class D
05607CAL3
60000.00000000
PA
USD
56057.09000000
0.006878198672
Long
ABS-MBS
CORP
US
N
2
2037-08-13
Variable
3.55150080
N
N
N
N
N
N
BBCMS Trust
N/A
BBCMS Trust, Series 2015-SRCH, Class XA
05547HAE1
984632.29000000
PA
USD
37475.10000000
0.004598190578
Long
ABS-MBS
CORP
US
N
2
2035-08-10
Variable
0.92922120
N
N
N
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
2850.12000000
0.000349709405
N/A
DFE
N/A
N
2
UBS
BFM8T61CT2L1QCEMIK50
81404.36000000
USD
1299501.51000000
TRY
2022-06-08
2850.12000000
N
N
N
Madison Park Funding XIII Ltd.
N/A
Madison Park Funding XIII Ltd., Series 2014-13A, Class AR2
55818MBA4
568235.01000000
PA
USD
564852.19000000
0.069307300529
Long
ABS-CBDO
CORP
KY
N
2
2030-04-19
Floating
1.19800080
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Uniform Mortgage-Backed Securities
3138WJJ25
65651.33360000
PA
USD
67644.05000000
0.008299917368
Long
ABS-MBS
USGSE
US
N
2
2046-11-01
Fixed
4.00000000
N
N
N
N
N
N
SMB Private Education Loan Trust
549300ZLJ4U248VKSJ66
SMB Private Education Loan Trust, Series 2015-B, Class B
78448QAE8
100000.00000000
PA
USD
96794.43000000
0.011876665733
Long
ABS-O
CORP
US
N
2
2040-12-17
Fixed
3.50000000
N
N
N
N
N
N
BP Capital Markets America, Inc.
5493009NTB34VXE1T760
BP Capital Markets America, Inc.
10373QAD2
308000.00000000
PA
USD
313342.71000000
0.038447115467
Long
DBT
CORP
US
N
2
2024-02-06
Fixed
3.79000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Uniform Mortgage-Backed Securities
31418CPF5
16513.16200000
PA
USD
17013.28000000
0.002087527552
Long
ABS-MBS
USGSE
US
N
2
2047-09-01
Fixed
4.00000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Uniform Mortgage-Backed Securities
31410KXL3
5776.89000000
PA
USD
6369.24000000
0.000781505035
Long
ABS-MBS
USGSE
US
N
2
2038-10-01
Fixed
6.00000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Uniform Mortgage-Backed Securities
3140GYJX8
137959.93160000
PA
USD
139449.61000000
0.017110451548
Long
ABS-MBS
USGSE
US
N
2
2048-02-01
Fixed
3.50000000
N
N
N
N
N
N
GE Capital International Funding Co. Unlimited Co.
549300G6UZOB126GBY72
GE Capital International Funding Co. Unlimited Co.
36164QNA2
603000.00000000
PA
USD
647494.47000000
0.079447499041
Long
DBT
CORP
IE
N
2
2035-11-15
Fixed
4.41800000
N
N
N
N
N
N
NRG Energy, Inc.
5E2UPK5SW04M13XY7I38
NRG Energy, Inc.
629377CH3
53000.00000000
PA
USD
51793.19000000
0.006355018619
Long
DBT
CORP
US
N
2
2029-06-15
Fixed
5.25000000
N
N
N
N
N
N
Waste Management, Inc.
549300YX8JIID70NFS41
Waste Management, Inc.
94106LBN8
370000.00000000
PA
USD
330670.64000000
0.040573250539
Long
DBT
CORP
US
N
2
2028-03-15
Fixed
1.15000000
N
N
N
N
N
N
Goldman Sachs Group, Inc. (The)
784F5XWPLTWKTBV3E584
Goldman Sachs Group, Inc. (The)
38141GWZ3
653000.00000000
PA
USD
668601.35000000
0.082037310856
Long
DBT
CORP
US
N
2
2029-05-01
Variable
4.22300160
N
N
N
N
N
N
Caesars Entertainment, Inc.
549300FA4CTCW903Y781
Caesars Entertainment, Inc.
12769GAA8
48000.00000000
PA
USD
44880.00000000
0.005506770979
Long
DBT
CORP
US
N
2
2029-10-15
Fixed
4.62500000
N
N
N
N
N
N
Morgan Stanley
IGJSJL3JD5P30I6NJZ34
Morgan Stanley
61747YEH4
74000.00000000
PA
USD
66699.07000000
0.008183968428
Long
DBT
CORP
US
N
2
2032-10-20
Variable
2.51100000
N
N
N
N
N
N
Mexico City Airport Trust
N/A
Mexico City Airport Trust
N/A
200000.00000000
PA
USD
176750.00000000
0.021687205229
Long
DBT
CORP
MX
N
2
2047-07-31
Fixed
5.50000000
N
N
N
N
N
N
Federal Home Loan Mortgage Corp.
S6XOOCT0IEG5ABCC6L87
Federal Home Loan Mortgage Corp.
3132KFAJ1
6365.48000000
PA
USD
6436.45000000
0.000789751695
Long
ABS-MBS
USGSE
US
N
2
2030-08-01
Fixed
3.00000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Uniform Mortgage-Backed Securities
3140HBFN3
476696.69700000
PA
USD
501783.26000000
0.061568749873
Long
ABS-MBS
USGSE
US
N
2
2048-05-01
Fixed
4.50000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Uniform Mortgage-Backed Securities
3138EQA51
22330.00000000
PA
USD
22562.61000000
0.002768429723
Long
ABS-MBS
USGSE
US
N
2
2030-08-01
Fixed
3.00000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Uniform Mortgage-Backed Securities
3140QNN99
1175717.32590000
PA
USD
1158265.22000000
0.142119012933
Long
ABS-MBS
USGSE
US
N
2
2052-03-01
Fixed
3.00000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Uniform Mortgage-Backed Securities
3138EPJ62
17996.70000000
PA
USD
18184.13000000
0.002231190716
Long
ABS-MBS
USGSE
US
N
2
2030-04-01
Fixed
3.00000000
N
N
N
N
N
N
Morgan Stanley Capital I Trust
N/A
Morgan Stanley Capital I Trust, Series 2019-L2, Class XA
61768HAX4
381680.10000000
PA
USD
21673.78000000
0.002659370381
Long
ABS-MBS
CORP
US
N
2
2052-03-15
Variable
1.02109680
N
N
N
N
N
N
T-Mobile USA, Inc.
549300V2JRLO5DIFGE82
T-Mobile USA, Inc.
87264ACP8
158000.00000000
PA
USD
143731.42000000
0.017635829156
Long
DBT
CORP
US
N
2
2032-03-15
Fixed
2.70000000
N
N
N
N
N
N
AT&T, Inc.
549300Z40J86GGSTL398
AT&T, Inc.
00206RKD3
230000.00000000
PA
USD
198556.33000000
0.024362839480
Long
DBT
CORP
US
N
2
2043-02-01
Fixed
3.10000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Uniform Mortgage-Backed Securities
31410GH22
133852.69000000
PA
USD
146369.73000000
0.017959549498
Long
ABS-MBS
USGSE
US
N
2
2036-09-01
Fixed
5.50000000
N
N
N
N
N
N
Republic of Indonesia
529900FWX0GRR7WG5W79
Republic of Indonesia
N/A
3484000000.00000000
PA
265863.46000000
0.032621416803
Long
DBT
NUSS
ID
N
2
2034-03-15
Fixed
8.37500000
N
N
N
N
N
N
N/A
N/A
CDSCMBX
N/A
112795.32080000
PA
USD
-11.61000000
-0.00000142454
N/A
DCR
DE
N
2
Deutsche Bank AG
7LTWFZYICNSX8D621K86
Markit CMBX North American AAA 6
Markit CMBX North American AAA 6
Y
Receipt of notional amount upon default event with regard to the reference instrument
2063-05-11
0.00000000
USD
84.84000000
USD
112795.00000000
USD
-11.61000000
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
906.10000000
0.000111178368
N/A
DFE
N/A
N
2
Bank of America
B4TYDEB6GKMZO031MB27
221000.00000000
EUR
245387.35000000
USD
2022-04-01
906.10000000
N
N
N
Oracle Corp.
1Z4GXXU7ZHVWFCD8TV52
Oracle Corp.
68389XAH8
350000.00000000
PA
USD
399364.33000000
0.049001958619
Long
DBT
CORP
US
N
2
2039-07-08
Fixed
6.12500000
N
N
N
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
2501.44000000
0.000306926408
N/A
DFE
N/A
N
2
Goldman Sachs International
W22LROWP2IHZNBB6K528
84000.00000000
USD
1912348.87000000
CZK
2022-04-20
2501.44000000
N
N
N
Sherwin-Williams Co. (The)
Z15BMIOX8DDH0X2OBP21
Sherwin-Williams Co. (The)
824348BL9
352000.00000000
PA
USD
321859.56000000
0.039492132009
Long
DBT
CORP
US
N
2
2030-05-15
Fixed
2.30000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Government National Mortgage Association
36202E4F3
2085.47000000
PA
USD
2191.08000000
0.000268845270
Long
ABS-MBS
USGA
US
N
2
2039-04-20
Fixed
4.00000000
N
N
N
N
N
N
MPLX LP
5493000CZJ19CK4P3G36
MPLX LP
55336VBR0
182000.00000000
PA
USD
170539.34000000
0.020925157941
Long
DBT
CORP
US
N
2
2026-03-01
Fixed
1.75000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Uniform Mortgage-Backed Securities
3140JHYV9
144983.73510000
PA
USD
151962.88000000
0.018645828377
Long
ABS-MBS
USGSE
US
N
2
2048-11-01
Fixed
4.50000000
N
N
N
N
N
N
CWHEQ Revolving Home Equity Loan Trust
N/A
CWHEQ Revolving Home Equity Loan Trust, Series 2006-C, Class 2A
126685DJ2
42823.76780000
PA
USD
41401.00000000
0.005079898068
Long
ABS-O
CORP
US
N
2
2036-05-15
Floating
0.57656880
N
N
N
N
N
N
Duke Energy Progress LLC
0NIFZ782LS46WOC9QK20
Duke Energy Progress LLC
26442UAH7
527000.00000000
PA
USD
528037.40000000
0.064790129914
Long
DBT
CORP
US
N
2
2029-03-15
Fixed
3.45000000
N
N
N
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
4606.59000000
0.000565228077
N/A
DFE
N/A
N
2
Citibank
MBNUM2BPBDO7JBLYG310
125000.00000000
USD
2577875.00000000
MXN
2022-04-01
4606.59000000
N
N
N
Barings CLO Ltd.
549300Y5E22C3P2S6J52
Barings CLO Ltd., Series 2015-2A, Class AR
06759FAB2
260000.00000000
PA
USD
258804.68000000
0.031755305286
Long
ABS-CBDO
CORP
KY
N
2
2030-10-20
Floating
1.44399960
N
N
N
N
N
N
Synchrony Financial
549300RS7EWPM9MA6C78
Synchrony Financial
87165BAL7
91000.00000000
PA
USD
90465.75000000
0.011100137405
Long
DBT
CORP
US
N
2
2026-08-04
Fixed
3.70000000
N
N
N
N
N
N
Southern California Edison Co.
9R1Z5I36FERIBVKW4P77
Southern California Edison Co., Series E
842400GN7
136000.00000000
PA
USD
138259.19000000
0.016964387147
Long
DBT
CORP
US
N
2
2025-08-01
Fixed
3.70000000
N
N
N
N
N
N
Federal Home Loan Mortgage Corp.
S6XOOCT0IEG5ABCC6L87
Federal Home Loan Mortgage Corp.
3128MAFB0
59091.88000000
PA
USD
63936.60000000
0.007845013668
Long
ABS-MBS
USGSE
US
N
2
2041-11-01
Fixed
5.00000000
N
N
N
N
N
N
N/A
N/A
USD Currency
N/A
-252000.00000000
PA
USD
-8138.54000000
-0.00099859794
N/A
DFE
GB
N
2
Goldman Sachs International
W22LROWP2IHZNBB6K528
Call
Written
N/A
USD Currency
1.00000000
15.00000000
USD
2022-04-28
XXXX
4602.58000000
N
N
N
Federal National Mortgage Association or Federal Home Loan Mortgage Corp.
N/A
Uniform Mortgage-Backed Securities
01F042640
740999.00000000
PA
USD
767860.21000000
0.094216361875
Long
ABS-MBS
USGSE
US
N
2
2052-04-25
Fixed
4.50000000
N
N
N
N
N
N
ARI FCP Investments LP
N/A
ARI FCP Investments LP
N/A
601049.16000000
PA
USD
601049.16000000
0.073748664700
Long
ABS-MBS
CORP
CA
N
3
2025-01-06
Floating
2.97788040
N
N
N
N
N
N
CSMC Trust
N/A
CSMC Trust, Series 2014-11R, Class 16A1
12649FEE4
3307.22000000
PA
USD
3320.25000000
0.000407394303
Long
ABS-MBS
CORP
US
N
2
2047-09-27
Variable
2.94438960
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Uniform Mortgage-Backed Securities
31417FL48
6567.22970000
PA
USD
6506.94000000
0.000798400810
Long
ABS-MBS
USGSE
US
N
2
2028-02-01
Fixed
2.50000000
N
N
N
N
N
N
Anchorage Capital CLO Ltd.
5493008PWA7TS1SR9447
Anchorage Capital CLO Ltd., Series 2013-1A, Class A1R
033292AQ6
250000.00000000
PA
USD
249003.43000000
0.030552693008
Long
ABS-CBDO
CORP
KY
N
2
2030-10-13
Floating
1.49442840
N
N
N
N
N
N
BAE Systems plc
8SVCSVKSGDWMW2QHOH83
BAE Systems plc
05523RAD9
737000.00000000
PA
USD
726215.38000000
0.089106545893
Long
DBT
CORP
GB
N
2
2030-04-15
Fixed
3.40000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Government National Mortgage Association
21H040657
1100000.00000000
PA
USD
1117402.34000000
0.137105142128
Long
ABS-MBS
USGA
US
N
2
2052-05-15
Fixed
4.00000000
N
N
N
N
N
N
Georgia-Pacific LLC
L2EVHWFHVAQK72TMH265
Georgia-Pacific LLC
373298BU1
83000.00000000
PA
USD
115953.70000000
0.014227506019
Long
DBT
CORP
US
N
2
2031-05-15
Fixed
8.87500000
N
N
N
N
N
N
Federal Home Loan Mortgage Corp.
S6XOOCT0IEG5ABCC6L87
Federal Home Loan Mortgage Corp.
31307NM68
3952.84000000
PA
USD
3996.90000000
0.000490419182
Long
ABS-MBS
USGSE
US
N
2
2030-07-01
Fixed
3.00000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Uniform Mortgage-Backed Securities
31418MRR5
41983.45000000
PA
USD
45967.51000000
0.005640208335
Long
ABS-MBS
USGSE
US
N
2
2035-02-01
Fixed
5.50000000
N
N
N
N
N
N
Dow Chemical Co. (The)
ZQUIP1CSZO8LXRBSOU78
Dow Chemical Co. (The)
260543DA8
115000.00000000
PA
114511.63000000
0.014050564191
Long
DBT
CORP
US
N
2
2032-03-15
Fixed
1.12500000
N
N
N
N
N
N
Raytheon Technologies Corp.
I07WOS4YJ0N7YRFE7309
Raytheon Technologies Corp.
75513ECN9
167000.00000000
PA
USD
153310.78000000
0.018811215557
Long
DBT
CORP
US
N
2
2032-03-15
Fixed
2.37500000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Uniform Mortgage-Backed Securities
3138ECKY8
4024.57000000
PA
USD
4104.85000000
0.000503664635
Long
ABS-MBS
USGSE
US
N
2
2042-04-01
Fixed
3.50000000
N
N
N
N
N
N
PECO Energy Co.
YH65D4JBECK76IFEJ279
PECO Energy Co.
693304BC0
102000.00000000
PA
USD
88266.05000000
0.010830234461
Long
DBT
CORP
US
N
2
2051-09-15
Fixed
2.85000000
N
N
N
N
N
N
Sabine Pass Liquefaction LLC
549300KJYBG7C6WJYZ11
Sabine Pass Liquefaction LLC
785592AD8
184000.00000000
PA
USD
188259.17000000
0.023099379100
Long
DBT
CORP
US
N
2
2023-04-15
Fixed
5.62500000
N
N
N
N
N
N
LYB International Finance III LLC
N/A
LYB International Finance III LLC
50249AAD5
255000.00000000
PA
USD
251851.18000000
0.030902111614
Long
DBT
CORP
US
N
2
2050-05-01
Fixed
4.20000000
N
N
N
N
N
N
Broadcom Corp.
N/A
Broadcom Corp.
11134LAH2
230000.00000000
PA
USD
231537.54000000
0.028409630258
Long
DBT
CORP
US
N
2
2027-01-15
Fixed
3.87500000
N
N
N
N
N
N
Ryder System, Inc.
ZXJ6Y2OSPZXIVGRILD15
Ryder System, Inc.
78355HKN8
69000.00000000
PA
USD
68096.37000000
0.008355416981
Long
DBT
CORP
US
N
2
2024-09-01
Fixed
2.50000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Government National Mortgage Association
36197MRR1
25418.75000000
PA
USD
27511.91000000
0.003375708279
Long
ABS-MBS
USGA
US
N
2
2047-04-15
Fixed
4.50000000
N
N
N
N
N
N
Federal Home Loan Mortgage Corp.
S6XOOCT0IEG5ABCC6L87
Federal Home Loan Mortgage Corp.
3132J65H3
161771.24000000
PA
USD
164858.04000000
0.020228063067
Long
ABS-MBS
USGSE
US
N
2
2043-02-01
Fixed
3.50000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Uniform Mortgage-Backed Securities
3140H3KJ4
20087.27800000
PA
USD
20824.50000000
0.002555163820
Long
ABS-MBS
USGSE
US
N
2
2033-01-01
Fixed
3.50000000
N
N
N
N
N
N
Tenet Healthcare Corp.
0W9AIBT6U6ADJ2I8HK17
Tenet Healthcare Corp.
88033GCY4
148000.00000000
PA
USD
149295.00000000
0.018318479800
Long
DBT
CORP
US
N
2
2026-01-01
Fixed
4.87500000
N
N
N
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
1420.33000000
0.000174274332
N/A
DFE
N/A
N
2
Deutsche Bank
7LTWFZYICNSX8D621K86
675303.55000000
USD
610000.00000000
EUR
2022-06-15
1420.33000000
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Uniform Mortgage-Backed Securities
3138ELS79
38897.03000000
PA
USD
43417.19000000
0.005327284356
Long
ABS-MBS
USGSE
US
N
2
2040-04-01
Fixed
6.00000000
N
N
N
N
N
N
Chevron USA, Inc.
VA8TZDWPEZYU430RZ444
Chevron USA, Inc.
166756AH9
190000.00000000
PA
USD
153831.21000000
0.018875072259
Long
DBT
CORP
US
N
2
2050-08-12
Fixed
2.34300000
N
N
N
N
N
N
Mattamy Group Corp.
5493008TNY7A82WCXU31
Mattamy Group Corp.
57701RAJ1
7000.00000000
PA
USD
6909.63000000
0.000847810828
Long
DBT
CORP
CA
N
2
2027-12-15
Fixed
5.25000000
N
N
N
N
N
N
Glencore Funding LLC
213800STG1QDNBY87K49
Glencore Funding LLC
378272AY4
573000.00000000
PA
USD
512744.72000000
0.062913719789
Long
DBT
CORP
US
N
2
2030-09-01
Fixed
2.50000000
N
N
N
N
N
N
Argent Mortgage Loan Trust
N/A
Argent Mortgage Loan Trust, Series 2005-W1, Class A2
040104MY4
37575.91000000
PA
USD
34451.80000000
0.004227232006
Long
ABS-O
CORP
US
N
2
2035-05-25
Floating
0.93656880
N
N
N
N
N
N
American Airlines Pass-Through Trust
N/A
American Airlines Pass-Through Trust, Series 2017-1, Class B
02378WAA7
40934.75000000
PA
USD
39240.38000000
0.004814790236
Long
DBT
CORP
US
N
2
2025-02-15
Fixed
4.95000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Uniform Mortgage-Backed Securities
3140EXCP6
4659.03350000
PA
USD
4617.13000000
0.000566521334
Long
ABS-MBS
USGSE
US
N
2
2031-08-01
Fixed
2.50000000
N
N
N
N
N
N
Union Pacific Corp.
549300LMMRSZZCZ8CL11
Union Pacific Corp.
907818EH7
175000.00000000
PA
USD
173878.62000000
0.021334887224
Long
DBT
CORP
US
N
2
2026-03-01
Fixed
2.75000000
N
N
N
N
N
N
Federal Home Loan Mortgage Corp.
S6XOOCT0IEG5ABCC6L87
Federal Home Loan Mortgage Corp.
3132QSGT9
27801.54000000
PA
USD
28948.10000000
0.003551928631
Long
ABS-MBS
USGSE
US
N
2
2045-09-01
Fixed
4.00000000
N
N
N
N
N
N
Federal National Mortgage Association or Federal Home Loan Mortgage Corp.
N/A
Uniform Mortgage-Backed Securities
01F030645
-12872779.00000000
PA
USD
-12591186.96000000
-1.54493723157
Short
ABS-MBS
USGSE
US
N
2
2052-04-25
Fixed
3.00000000
N
N
N
N
N
N
FactSet Research Systems, Inc.
549300ZSJE7NBK6K9P30
FactSet Research Systems, Inc.
303075AB1
262000.00000000
PA
USD
253083.48000000
0.031053314686
Long
DBT
CORP
US
N
2
2032-03-01
Fixed
3.45000000
N
N
N
N
N
N
Nissan Motor Co. Ltd.
353800DRBDH1LUTNAY26
Nissan Motor Co. Ltd.
654744AD3
1159000.00000000
PA
USD
1148980.62000000
0.140979793551
Long
DBT
CORP
JP
N
2
2030-09-17
Fixed
4.81000000
N
N
N
N
N
N
Southern California Edison Co.
9R1Z5I36FERIBVKW4P77
Southern California Edison Co.
842400GU1
445000.00000000
PA
USD
402288.49000000
0.049360752723
Long
DBT
CORP
US
N
2
2030-06-01
Fixed
2.25000000
N
N
N
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
-1573.43000000
-0.00019305968
N/A
DFE
N/A
N
2
Royal Bank of Canada
ES7IP3U3RHIGC71XBU11
150000.00000000
EUR
164440.65000000
USD
2022-04-20
-1573.43000000
N
N
N
Alternative Loan Trust
N/A
Alternative Loan Trust, Series 2006-OC7, Class 2A3
23243VAD2
69161.16000000
PA
USD
66324.57000000
0.008138017320
Long
ABS-MBS
CORP
US
N
2
2046-07-25
Floating
0.95657040
N
N
N
N
N
N
S&P Global, Inc.
Y6X4K52KMJMZE7I7MY94
S&P Global, Inc.
78409VAY0
595000.00000000
PA
USD
639235.99000000
0.078434184469
Long
DBT
CORP
US
N
2
2028-08-01
Fixed
4.75000000
N
N
N
N
N
N
JPMorgan Chase & Co.
8I5DZWZKVSZI1NUHU748
JPMorgan Chase & Co.
46625HKC3
307000.00000000
PA
USD
308584.47000000
0.037863279951
Long
DBT
CORP
US
N
2
2025-01-23
Fixed
3.12500000
N
N
N
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
-194.85000000
-0.00002390807
N/A
DFE
N/A
N
2
JP Morgan Chase Bank
7H6GLXDRUGQFU57RNE97
11502.94000000
USD
10222.00000000
EUR
2022-04-01
-194.85000000
N
N
N
Madison Park Funding XXVI Ltd.
549300FNRP3W5DX0O430
Madison Park Funding XXVI Ltd., Series 2017-26A, Class AR
55819YAA8
270000.00000000
PA
USD
270291.52000000
0.033164739269
Long
ABS-CBDO
CORP
KY
N
2
2030-07-29
Floating
1.49900040
N
N
N
N
N
N
Cenovus Energy, Inc.
549300F4XPHJ7NOSP309
Cenovus Energy, Inc.
15135UAX7
128000.00000000
PA
USD
114468.00000000
0.014045210795
Long
DBT
CORP
CA
N
2
2052-02-15
Fixed
3.75000000
N
N
N
N
N
N
Performance Food Group, Inc.
549300OMUOGBYK0FFO76
Performance Food Group, Inc.
69346VAA7
79000.00000000
PA
USD
78620.80000000
0.009646763365
Long
DBT
CORP
US
N
2
2027-10-15
Fixed
5.50000000
N
N
N
N
N
N
BCMSC Trust
N/A
BCMSC Trust, Series 2000-A, Class A2
09774XBN1
39800.29000000
PA
USD
7697.92000000
0.000944533922
Long
ABS-O
CORP
US
N
2
2030-06-15
Variable
7.57500120
N
N
N
N
N
N
WP Carey, Inc.
54930042CRNE713E3Q67
WP Carey, Inc.
92936UAJ8
150000.00000000
PA
USD
132519.21000000
0.016260092243
Long
DBT
CORP
US
N
2
2032-02-01
Fixed
2.45000000
N
N
N
N
N
N
Textron, Inc.
3PPKBHUG1HD6BO7RNR87
Textron, Inc.
883203CA7
336000.00000000
PA
USD
341930.38000000
0.041954819378
Long
DBT
CORP
US
N
2
2029-09-17
Fixed
3.90000000
N
N
N
N
N
N
N/A
N/A
U.S. Treasury Ultra Bond
N/A
155.00000000
NC
USD
-1061663.96000000
-0.13026604913
N/A
DIR
US
N
1
CME Clearing House
LCZ7XYGSLJUHFXXNXD88
Long
N/A
U.S. Treasury Ultra Bond
2022-06-21
27478593.75000000
USD
-1061663.96000000
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Uniform Mortgage-Backed Securities
3140J5YR4
77745.90000000
PA
USD
80363.95000000
0.009860647675
Long
ABS-MBS
USGSE
US
N
2
2047-08-01
Fixed
4.00000000
N
N
N
N
N
N
salesforce.com, Inc.
RCGZFPDMRW58VJ54VR07
salesforce.com, Inc.
79466LAM6
286000.00000000
PA
USD
250878.40000000
0.030782751617
Long
DBT
CORP
US
N
2
2061-07-15
Fixed
3.05000000
N
N
N
N
N
N
Lloyds Banking Group plc
549300PPXHEU2JF0AM85
Lloyds Banking Group plc
53944YAP8
373000.00000000
PA
USD
342022.97000000
0.041966180161
Long
DBT
CORP
GB
N
2
2027-05-11
Variable
1.62699840
N
N
N
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
-6250.62000000
-0.00076695037
N/A
DFE
N/A
N
2
Bank of America
B4TYDEB6GKMZO031MB27
600000.00000000
EUR
502089.00000000
GBP
2022-06-15
-6250.62000000
N
N
N
CSMC Trust
N/A
CSMC Trust, Series 2017-PFHP, Class A
12595KAA9
60000.00000000
PA
USD
59586.66000000
0.007311276516
Long
ABS-MBS
CORP
US
N
2
2030-12-15
Floating
1.34656920
N
N
N
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
-31639.26000000
-0.00388213366
N/A
DFE
N/A
N
2
Citibank
MBNUM2BPBDO7JBLYG310
11686014.30000000
RUB
124518.00000000
USD
2022-05-25
-31639.26000000
N
N
N
L3Harris Technologies, Inc.
549300UTE50ZMDBG8A20
L3Harris Technologies, Inc.
413875AW5
515000.00000000
PA
USD
535570.31000000
0.065714417129
Long
DBT
CORP
US
N
2
2028-06-15
Fixed
4.40000000
N
N
N
N
N
N
Federal National Mortgage Association or Federal Home Loan Mortgage Corp.
N/A
Uniform Mortgage-Backed Securities
01F012643
-6893600.00000000
PA
USD
-6152268.74000000
-0.75488268621
Short
ABS-MBS
USGSE
US
N
2
2052-04-25
Fixed
1.50000000
N
N
N
N
N
N
Reynolds American, Inc.
02S2RPPVO9RP4NEU2740
Reynolds American, Inc.
761713BB1
260000.00000000
PA
USD
267520.96000000
0.032824791867
Long
DBT
CORP
US
N
2
2045-08-15
Fixed
5.85000000
N
N
N
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
-2226.80000000
-0.00027322811
N/A
DFE
N/A
N
2
Citibank
MBNUM2BPBDO7JBLYG310
121000.00000000
USD
93714500.00000000
CLP
2022-04-20
-2226.80000000
N
N
N
Federal Home Loan Mortgage Corp.
S6XOOCT0IEG5ABCC6L87
Uniform Mortgage-Backed Securities
3132DMRH0
21690.00000000
PA
USD
22348.65000000
0.002742176855
Long
ABS-MBS
USGSE
US
N
2
2049-05-01
Fixed
4.00000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Uniform Mortgage-Backed Securities
3140QNEK4
540783.86110000
PA
USD
503779.63000000
0.061813704249
Long
ABS-MBS
USGSE
US
N
2
2052-02-01
Fixed
2.00000000
N
N
N
N
N
N
Tampa Electric Co.
WS423EPRKJIIJUITXD73
Tampa Electric Co.
875127BE1
30000.00000000
PA
USD
31843.34000000
0.003907174256
Long
DBT
CORP
US
N
2
2048-06-15
Fixed
4.30000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Uniform Mortgage-Backed Securities
31418ECY4
279052.00000000
PA
USD
261884.23000000
0.032133165727
Long
ABS-MBS
USGSE
US
N
2
2042-04-01
Fixed
2.00000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Uniform Mortgage-Backed Securities
31418V3A8
11674.68000000
PA
USD
12357.67000000
0.001516284726
Long
ABS-MBS
USGSE
US
N
2
2040-07-01
Fixed
4.50000000
N
N
N
N
N
N
N/A
N/A
CDSCMBX
N/A
99856.23660000
PA
USD
-1819.81000000
-0.00022329048
N/A
DCR
GB
N
2
Morgan Stanley & Co. International plc
4PQUHN3JPFGFNF3BB653
Markit CMBX North American AAA 9
Markit CMBX North American AAA 9
Y
Receipt of notional amount upon default event with regard to the reference instrument
2058-09-17
1225.37000000
USD
0.00000000
USD
99856.00000000
USD
-1819.81000000
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Government National Mortgage Association
36197MRS9
21035.27000000
PA
USD
22666.55000000
0.002781183149
Long
ABS-MBS
USGA
US
N
2
2047-04-15
Fixed
4.50000000
N
N
N
N
N
N
New Jersey Turnpike Authority
5493005YN67D71KSMI84
New Jersey Turnpike Authority, Series 2009F
646139W35
167000.00000000
PA
USD
244177.90000000
0.029960601016
Long
DBT
MUN
US
N
2
2040-01-01
Fixed
7.41400000
N
N
N
N
N
N
Lockheed Martin Corp.
DPRBOZP0K5RM2YE8UU08
Lockheed Martin Corp.
539830BC2
451000.00000000
PA
USD
455687.85000000
0.055912848222
Long
DBT
CORP
US
N
2
2035-03-01
Fixed
3.60000000
N
N
N
N
N
N
FirstEnergy Transmission LLC
549300AINIIPOLYX2R63
FirstEnergy Transmission LLC
33767BAC3
550000.00000000
PA
USD
525464.20000000
0.064474398562
Long
DBT
CORP
US
N
2
2049-04-01
Fixed
4.55000000
N
N
N
N
N
N
Western Digital Corp.
549300QQXOOYEF89IC56
Western Digital Corp.
958102AQ8
698000.00000000
PA
USD
637685.82000000
0.078243978783
Long
DBT
CORP
US
N
2
2029-02-01
Fixed
2.85000000
N
N
N
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
4606.59000000
0.000565228077
N/A
DFE
N/A
N
2
Citibank
MBNUM2BPBDO7JBLYG310
125000.00000000
USD
2577875.00000000
MXN
2022-04-01
4606.59000000
N
N
N
Silver Creek CLO Ltd.
549300LSJSAR2PPV4U78
Silver Creek CLO Ltd., Series 2014-1A, Class AR
827551AL6
229903.42000000
PA
USD
229235.99000000
0.028127230331
Long
ABS-CBDO
CORP
KY
N
2
2030-07-20
Floating
1.49400000
N
N
N
N
N
N
Morgan Stanley
IGJSJL3JD5P30I6NJZ34
Morgan Stanley
61747YEC5
261000.00000000
PA
USD
239912.13000000
0.029437191514
Long
DBT
CORP
US
N
2
2027-07-20
Variable
1.51200000
N
N
N
N
N
N
Verizon Communications, Inc.
2S72QS2UO2OESLG6Y829
Verizon Communications, Inc.
92343VGC2
424000.00000000
PA
USD
392740.91000000
0.048189265725
Long
DBT
CORP
US
N
2
2061-03-22
Fixed
3.70000000
N
N
N
N
N
N
Conseco Finance Corp.
N/A
Conseco Finance Corp., Series 1999-5, Class A6
3935053Q3
27294.91000000
PA
USD
13292.94000000
0.001631042251
Long
ABS-O
CORP
US
N
2
2030-03-01
Variable
7.49999880
N
N
N
N
N
N
Bear Stearns Mortgage Funding Trust
N/A
Bear Stearns Mortgage Funding Trust, Series 2007-AR3, Class 1A1
07401VAA9
10422.03000000
PA
USD
9816.03000000
0.001204425783
Long
ABS-MBS
CORP
US
N
2
2037-03-25
Floating
0.59657040
N
N
N
N
N
N
Bayview Commercial Asset Trust
N/A
Bayview Commercial Asset Trust, Series 2006-1A, Class A2
07324SDF6
7676.26000000
PA
USD
7178.08000000
0.000880749613
Long
ABS-MBS
CORP
US
N
2
2036-04-25
Floating
0.99657000
N
N
N
N
N
N
NBCUniversal Media LLC
VTBDOQJ6KOGQ6K786R46
NBCUniversal Media LLC
63946BAJ9
101000.00000000
PA
USD
108594.31000000
0.013324509689
Long
DBT
CORP
US
N
2
2043-01-15
Fixed
4.45000000
N
N
N
N
N
N
BNP Paribas SA
R0MUWSFPU8MPRO8K5P83
BNP Paribas SA
09659W2T0
544000.00000000
PA
USD
511960.97000000
0.062817553752
Long
DBT
CORP
FR
N
2
2028-01-20
Variable
2.59099920
N
N
N
N
N
N
Ajax Mortgage Loan Trust
N/A
Ajax Mortgage Loan Trust, Series 2018-G, Class A
00970DAA5
305584.40000000
PA
USD
305795.50000000
0.037521073644
Long
ABS-MBS
CORP
US
N
2
2057-06-25
Variable
4.37500080
N
N
N
N
N
N
AbbVie, Inc.
FR5LCKFTG8054YNNRU85
AbbVie, Inc.
00287YBZ1
1571000.00000000
PA
USD
1560133.41000000
0.191428194894
Long
DBT
CORP
US
N
2
2024-11-21
Fixed
2.60000000
N
N
N
N
N
N
Agilent Technologies, Inc.
QUIX8Y7A2WP0XRMW7G29
Agilent Technologies, Inc.
00846UAM3
88000.00000000
PA
USD
78983.70000000
0.009691291155
Long
DBT
CORP
US
N
2
2030-06-04
Fixed
2.10000000
N
N
N
N
N
N
N/A
N/A
Euro-BTP
N/A
-48.00000000
NC
177850.99000000
0.021822296579
N/A
DIR
DE
N
1
Eurex Clearing
529900LN3S50JPU47S06
Short
N/A
EUR Currency
2022-06-08
-6638880.00000000
EUR
177850.99000000
N
N
N
Bear Stearns Mortgage Funding Trust
N/A
Bear Stearns Mortgage Funding Trust, Series 2007-AR4, Class 2A1
07401YAQ8
11471.33000000
PA
USD
11178.21000000
0.001371565116
Long
ABS-MBS
CORP
US
N
2
2037-06-25
Floating
0.66656880
N
N
N
N
N
N
United States of America
254900HROIFWPRGM1V77
U.S. Treasury Notes
91282CEB3
74000.00000000
PA
USD
71433.13000000
0.008764837060
Long
DBT
UST
US
N
2
2029-02-28
Fixed
1.87500000
N
N
N
N
N
N
Power Finance Corp. Ltd.
3358003Q6D9LIJJZ1614
Power Finance Corp. Ltd.
N/A
200000.00000000
PA
USD
198932.00000000
0.024408934147
Long
DBT
NUSS
IN
N
2
2029-06-18
Fixed
4.50000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Uniform Mortgage-Backed Securities
3140QFZC6
437863.86000000
PA
USD
433732.45000000
0.053218923098
Long
ABS-MBS
USGSE
US
N
2
2035-11-01
Fixed
2.50000000
N
N
N
N
N
N
Yale Mortgage Loan Trust
N/A
Yale Mortgage Loan Trust, Series 2007-1, Class A
984582AA4
80799.71000000
PA
USD
31708.76000000
0.003890661305
Long
ABS-O
CORP
US
N
2
2037-06-25
Floating
0.85656960
N
N
N
N
N
N
Federal Home Loan Mortgage Corp.
S6XOOCT0IEG5ABCC6L87
Uniform Mortgage-Backed Securities
3133B2ME6
336200.28880000
PA
USD
313194.98000000
0.038428989012
Long
ABS-MBS
USGSE
US
N
2
2052-01-01
Fixed
2.00000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Uniform Mortgage-Backed Securities
3138EJCD8
37189.45000000
PA
USD
38200.95000000
0.004687252291
Long
ABS-MBS
USGSE
US
N
2
2026-06-01
Fixed
4.50000000
N
N
N
N
N
N
Energy Transfer LP
MTLVN9N7JE8MIBIJ1H73
Energy Transfer LP
292480AH3
879000.00000000
PA
USD
884193.97000000
0.108490501215
Long
DBT
CORP
US
N
2
2024-05-15
Fixed
3.89999880
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Uniform Mortgage-Backed Securities
3138YJGR1
7573.30000000
PA
USD
7859.34000000
0.000964340138
Long
ABS-MBS
USGSE
US
N
2
2031-08-01
Fixed
4.00000000
N
N
N
N
N
N
American Tower Corp.
5493006ORUSIL88JOE18
American Tower Corp.
03027XBL3
172000.00000000
PA
USD
159417.20000000
0.019560472607
Long
DBT
CORP
US
N
2
2026-04-15
Fixed
1.60000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Uniform Mortgage-Backed Securities
3140J5EJ4
6839.88500000
PA
USD
6776.01000000
0.000831415669
Long
ABS-MBS
USGSE
US
N
2
2032-02-01
Fixed
2.50000000
N
N
N
N
N
N
MidAmerican Energy Co.
NINLOILYRTLIMK26MZ18
MidAmerican Energy Co.
595620AU9
131000.00000000
PA
USD
142930.09000000
0.017537506055
Long
DBT
CORP
US
N
2
2049-07-15
Fixed
4.25000000
N
N
N
N
N
N
Federal Home Loan Mortgage Corp.
S6XOOCT0IEG5ABCC6L87
Uniform Mortgage-Backed Securities
3132DVL60
2654837.72240000
PA
USD
2472371.76000000
0.303359738398
Long
ABS-MBS
USGSE
US
N
2
2052-01-01
Fixed
2.00000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Uniform Mortgage-Backed Securities
3138EEHB8
2449.35000000
PA
USD
2498.21000000
0.000306530087
Long
ABS-MBS
USGSE
US
N
2
2042-06-01
Fixed
3.50000000
N
N
N
N
N
N
Federal Home Loan Mortgage Corp.
S6XOOCT0IEG5ABCC6L87
Federal Home Loan Mortgage Corp. Structured Agency Credit Risk Debt Variable Rate Notes, Series 2017-DNA3, Class B1
3137G0RJ0
250000.00000000
PA
USD
260631.00000000
0.031979394546
Long
ABS-MBS
CORP
US
N
2
2030-03-25
Floating
4.90656960
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Uniform Mortgage-Backed Securities
3140QM4G6
1115702.34470000
PA
USD
1070896.56000000
0.131398888124
Long
ABS-MBS
USGSE
US
N
2
2052-01-01
Fixed
2.50000000
N
N
N
N
N
N
BRF GmbH
5299002S6DY5RA2IOQ11
BRF GmbH
05583BAA7
200000.00000000
PA
USD
194725.00000000
0.023892735718
Long
DBT
CORP
AT
N
2
2026-09-29
Fixed
4.35000000
N
N
N
N
N
N
Carrier Global Corp.
549300JE3W6CWY2NAN77
Carrier Global Corp.
14448CAN4
72000.00000000
PA
USD
70093.26000000
0.008600435161
Long
DBT
CORP
US
N
2
2025-02-15
Fixed
2.24200000
N
N
N
N
N
N
Mortgage Loan Resecuritization Trust
N/A
Mortgage Loan Resecuritization Trust, Series 2009-RS1, Class A85
61914WAA4
270938.80000000
PA
USD
256562.08000000
0.031480138517
Long
ABS-MBS
CORP
US
N
2
2036-04-16
Floating
0.57057120
N
N
N
N
N
N
United Airlines Pass-Through Trust
N/A
United Airlines Pass-Through Trust, Series 2016-2, Class AA
90932EAA1
67828.83030000
PA
USD
64280.31000000
0.007887186846
Long
DBT
CORP
US
N
2
2028-10-07
Fixed
2.87500000
N
N
N
N
N
N
Morgan Stanley
IGJSJL3JD5P30I6NJZ34
Morgan Stanley
61772BAC7
176000.00000000
PA
USD
161904.81000000
0.019865702076
Long
DBT
CORP
US
N
2
2042-04-22
Variable
3.21699960
N
N
N
N
N
N
N/A
N/A
OIS
N/A
6070000.00000000
PA
32117.00000000
0.003940752307
N/A
DIR
GB
N
2
LCH Clearnet
549300TXTCI7WVVJS380
Y
2025-03-27
0.00000000
USD
0.00000000
USD
6070000.00000000
EUR
32117.00000000
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Federal National Mortgage Association
3140FXB27
91110.86000000
PA
USD
98320.16000000
0.012063872634
Long
ABS-MBS
USGSE
US
N
2
2039-07-01
Fixed
6.00000000
N
N
N
N
N
N
KLA Corp.
549300H0BF5JCG96TJ81
KLA Corp.
482480AG5
421000.00000000
PA
USD
441847.92000000
0.054214690359
Long
DBT
CORP
US
N
2
2029-03-15
Fixed
4.10000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Uniform Mortgage-Backed Securities
3138WKK95
53426.25000000
PA
USD
52915.32000000
0.006492703845
Long
ABS-MBS
USGSE
US
N
2
2032-03-01
Fixed
2.50000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Uniform Mortgage-Backed Securities
3138YTRT3
2694.57000000
PA
USD
2716.22000000
0.000333279890
Long
ABS-MBS
USGSE
US
N
2
2030-07-01
Fixed
3.00000000
N
N
N
N
N
N
N/A
N/A
USCPI
N/A
965000.00000000
PA
USD
-31820.09000000
-0.00390432148
N/A
DO
GB
N
2
LCH Clearnet
549300TXTCI7WVVJS380
Y
2031-11-15
0.00000000
USD
0.00000000
USD
965000.00000000
USD
-31820.09000000
N
N
N
AT&T, Inc.
549300Z40J86GGSTL398
AT&T, Inc.
00206RJW3
175000.00000000
PA
199286.18000000
0.024452391994
Long
DBT
CORP
US
N
2
2038-05-19
Fixed
2.60000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Uniform Mortgage-Backed Securities
3138AUPE1
8322.79000000
PA
USD
8858.05000000
0.001086881744
Long
ABS-MBS
USGSE
US
N
2
2041-10-01
Fixed
4.50000000
N
N
N
N
N
N
FirstEnergy Corp.
549300SVYJS666PQJH88
FirstEnergy Corp., Series C
337932AM9
71000.00000000
PA
USD
59802.59000000
0.007337771103
Long
DBT
CORP
US
N
2
2050-03-01
Fixed
3.40000000
N
N
N
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
4470.64000000
0.000548547027
N/A
DFE
N/A
N
2
Deutsche Bank
7LTWFZYICNSX8D621K86
816473.08000000
USD
740000.00000000
EUR
2022-06-15
4470.64000000
N
N
N
IMT Trust
N/A
IMT Trust, Series 2017-APTS, Class EFX
44974ABE6
100000.00000000
PA
USD
95538.92000000
0.011722614797
Long
ABS-MBS
CORP
US
N
2
2034-06-15
Variable
3.49660080
N
N
N
N
N
N
Federal Home Loan Mortgage Corp.
S6XOOCT0IEG5ABCC6L87
Federal Home Loan Mortgage Corp.
3132GVGT3
20412.98000000
PA
USD
20836.22000000
0.002556601863
Long
ABS-MBS
USGSE
US
N
2
2042-08-01
Fixed
3.50000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Uniform Mortgage-Backed Securities
3140J7MK8
109915.62600000
PA
USD
107199.81000000
0.013153404695
Long
ABS-MBS
USGSE
US
N
2
2032-03-01
Fixed
2.00000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Uniform Mortgage-Backed Securities
3140HHV77
123162.52000000
PA
USD
127161.56000000
0.015602709188
Long
ABS-MBS
USGSE
US
N
2
2048-08-01
Fixed
4.00000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Uniform Mortgage-Backed Securities
3138WFZG4
16643.72000000
PA
USD
16487.61000000
0.002023027902
Long
ABS-MBS
USGSE
US
N
2
2030-11-01
Fixed
2.50000000
N
N
N
N
N
N
Bear Stearns Asset-Backed Securities I Trust
N/A
Bear Stearns Asset-Backed Securities I Trust, Series 2007-HE2, Class 23A
07389YAF8
25151.68000000
PA
USD
23839.02000000
0.002925045087
Long
ABS-O
CORP
US
N
2
2037-03-25
Floating
0.59657040
N
N
N
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
906.10000000
0.000111178368
N/A
DFE
N/A
N
2
Bank of America
B4TYDEB6GKMZO031MB27
221000.00000000
EUR
245387.35000000
USD
2022-04-01
906.10000000
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Uniform Mortgage-Backed Securities
3140J55S4
65586.98210000
PA
USD
69850.28000000
0.008570621542
Long
ABS-MBS
USGSE
US
N
2
2045-12-01
Fixed
4.50000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Uniform Mortgage-Backed Securities
3138LQ2K9
11922.14000000
PA
USD
12138.97000000
0.001489450261
Long
ABS-MBS
USGSE
US
N
2
2042-04-01
Fixed
3.50000000
N
N
N
N
N
N
Galaxy Pipeline Assets Bidco Ltd.
549300L82YB0C6JQIC26
Galaxy Pipeline Assets Bidco Ltd.
N/A
200000.00000000
PA
USD
179412.50000000
0.022013893681
Long
DBT
CORP
JE
N
2
2036-03-31
Fixed
2.62500000
N
N
N
N
N
N
BHMS
N/A
BHMS, Series 2018-ATLS, Class A
05549GAA9
140000.00000000
PA
USD
138548.97000000
0.016999943121
Long
ABS-MBS
CORP
US
N
2
2035-07-15
Floating
1.64657160
N
N
N
N
N
N
Lloyds Banking Group plc
549300PPXHEU2JF0AM85
Lloyds Banking Group plc
539439AR0
228000.00000000
PA
USD
232987.43000000
0.028587531599
Long
DBT
CORP
GB
N
2
2028-03-22
Fixed
4.37500000
N
N
N
N
N
N
Verizon Communications, Inc.
2S72QS2UO2OESLG6Y829
Verizon Communications, Inc.
92343VES9
376000.00000000
PA
USD
391167.85000000
0.047996251439
Long
DBT
CORP
US
N
2
2029-02-08
Fixed
3.87500000
N
N
N
N
N
N
Public Service Electric & Gas Co.
549300RUHPVD434XUK18
Public Service Electric & Gas Co.
74456QCE4
128000.00000000
PA
USD
94880.28000000
0.011641799742
Long
DBT
CORP
US
N
2
2050-08-01
Fixed
2.05000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Uniform Mortgage-Backed Securities
3140GUMN4
103303.95090000
PA
USD
108280.65000000
0.013286023642
Long
ABS-MBS
USGSE
US
N
2
2047-11-01
Fixed
4.50000000
N
N
N
N
N
N
MGM Resorts International
54930066VBP7DZEGGJ87
MGM Resorts International
552953CD1
6000.00000000
PA
USD
5910.00000000
0.000725156338
Long
DBT
CORP
US
N
2
2026-09-01
Fixed
4.62500000
N
N
N
N
N
N
American Airlines Pass-Through Trust
N/A
American Airlines Pass-Through Trust, Series 2013-2, Class A
02377UAB0
28524.48990000
PA
USD
28444.96000000
0.003490193410
Long
DBT
CORP
US
N
2
2023-01-15
Fixed
4.95000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Uniform Mortgage-Backed Securities
3140X83C9
116202.14000000
PA
USD
118509.24000000
0.014541070491
Long
ABS-MBS
USGSE
US
N
2
2045-02-01
Fixed
3.50000000
N
N
N
N
N
N
N/A
N/A
CDSCMBX
N/A
29000.00000000
PA
USD
235.97000000
0.000028953492
N/A
DCR
DE
N
2
Deutsche Bank AG
7LTWFZYICNSX8D621K86
Markit CMBX North American BBB- 9
Markit CMBX North American BBB- 9
Y
Payout of notional amount upon default event with regard to the reference instrument
2058-09-17
0.00000000
USD
3182.13000000
USD
29000.00000000
USD
235.97000000
N
N
N
Duke Energy Carolinas LLC
MWIUSDMN17TCR56VW396
Duke Energy Carolinas LLC
26442CAR5
32000.00000000
PA
USD
32153.43000000
0.003945222264
Long
DBT
CORP
US
N
2
2046-03-15
Fixed
3.87500000
N
N
N
N
N
N
Intel Corp.
KNX4USFCNGPY45LOCE31
Intel Corp.
458140BX7
92000.00000000
PA
USD
81359.16000000
0.009982759831
Long
DBT
CORP
US
N
2
2061-08-12
Fixed
3.20000000
N
N
N
N
N
N
Merrill Lynch Alternative Note Asset Trust
N/A
Merrill Lynch Alternative Note Asset Trust, Series 2007-OAR2, Class A2
59024BAB9
119769.66000000
PA
USD
112822.94000000
0.013843362117
Long
ABS-MBS
CORP
US
N
2
2037-04-25
Floating
0.87657120
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Uniform Mortgage-Backed Securities
3140XFKC4
407114.56120000
PA
USD
379258.76000000
0.046535007429
Long
ABS-MBS
USGSE
US
N
2
2052-01-01
Fixed
2.00000000
N
N
N
N
N
N
N/A
N/A
USCPI
N/A
1839000.00000000
PA
USD
-70731.49000000
-0.00867874591
N/A
DO
GB
N
2
LCH Clearnet
549300TXTCI7WVVJS380
Y
2031-11-01
0.00000000
USD
0.00000000
USD
1839000.00000000
USD
-70731.49000000
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Uniform Mortgage-Backed Securities
3140QGJ99
576030.08000000
PA
USD
570161.61000000
0.069958765770
Long
ABS-MBS
USGSE
US
N
2
2035-12-01
Fixed
2.50000000
N
N
N
N
N
N
Ecolab, Inc.
82DYEISM090VG8LTLS26
Ecolab, Inc.
278865BJ8
330000.00000000
PA
USD
272882.41000000
0.033482641183
Long
DBT
CORP
US
N
2
2055-08-18
Fixed
2.75000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Uniform Mortgage-Backed Securities
3140Q9YZ0
53647.55000000
PA
USD
56126.58000000
0.006886725087
Long
ABS-MBS
USGSE
US
N
2
2033-10-01
Fixed
4.00000000
N
N
N
N
N
N
Goldman Sachs Group, Inc. (The)
784F5XWPLTWKTBV3E584
Goldman Sachs Group, Inc. (The)
38141GXD1
300000.00000000
PA
USD
301538.55000000
0.036998746355
Long
DBT
CORP
US
N
2
2026-05-15
Floating
1.67643000
N
N
N
N
N
N
Burlington Northern Santa Fe LLC
N/A
Burlington Northern Santa Fe LLC
12189LAN1
101000.00000000
PA
USD
110452.05000000
0.013552454180
Long
DBT
CORP
US
N
2
2043-03-15
Fixed
4.45000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Uniform Mortgage-Backed Securities
3140FNBD5
29978.69660000
PA
USD
31484.18000000
0.003863105364
Long
ABS-MBS
USGSE
US
N
2
2047-10-01
Fixed
4.50000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Uniform Mortgage-Backed Securities
3138EQUB6
150507.01000000
PA
USD
162843.55000000
0.019980885369
Long
ABS-MBS
USGSE
US
N
2
2043-12-01
Fixed
5.00000000
N
N
N
N
N
N
Piedmont Natural Gas Co., Inc.
VXB4M3BDPKF3I2AZ3G89
Piedmont Natural Gas Co., Inc.
720186AN5
175000.00000000
PA
USD
160674.12000000
0.019714696551
Long
DBT
CORP
US
N
2
2031-03-15
Fixed
2.50000000
N
N
N
N
N
N
American Airlines Pass-Through Trust
N/A
American Airlines Pass-Through Trust, Series 2015-2, Class B
02377BAC0
206368.16000000
PA
USD
200912.18000000
0.024651902012
Long
DBT
CORP
US
N
2
2023-09-22
Fixed
4.40000000
N
N
N
N
N
N
Morgan Stanley
IGJSJL3JD5P30I6NJZ34
Morgan Stanley
61746BEF9
1244000.00000000
PA
USD
1254693.81000000
0.153950790139
Long
DBT
CORP
US
N
2
2027-01-20
Fixed
3.62500000
N
N
N
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
-4554.79000000
-0.00055887222
N/A
DFE
N/A
N
2
Morgan Stanley & Co. International
4PQUHN3JPFGFNF3BB653
637766.10000000
CHF
620000.00000000
EUR
2022-06-15
-4554.79000000
N
N
N
CWHEQ Revolving Home Equity Loan Trust
N/A
CWHEQ Revolving Home Equity Loan Trust, Series 2006-H, Class 1A
126686AA2
25633.98000000
PA
USD
23494.08000000
0.002882720988
Long
ABS-O
CORP
US
N
2
2036-11-15
Floating
0.54657000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Uniform Mortgage-Backed Securities
3138ELS87
10943.37000000
PA
USD
12214.90000000
0.001498766863
Long
ABS-MBS
USGSE
US
N
2
2041-06-01
Fixed
6.00000000
N
N
N
N
N
N
N/A
N/A
OIS
N/A
3110000.00000000
PA
22663.64000000
0.002780826092
N/A
DIR
GB
N
2
LCH Clearnet
549300TXTCI7WVVJS380
Y
2025-03-23
0.00000000
USD
0.00000000
USD
3110000.00000000
EUR
22663.64000000
N
N
N
Energy Transfer LP
MTLVN9N7JE8MIBIJ1H73
Energy Transfer LP
29278NAP8
1387000.00000000
PA
USD
1356695.94000000
0.166466440081
Long
DBT
CORP
US
N
2
2025-05-15
Fixed
2.90000000
N
N
N
N
N
N
Ajax Mortgage Loan Trust
N/A
Ajax Mortgage Loan Trust, Series 2018-B, Class B
00969FAB1
7266.87000000
PA
USD
4337.90000000
0.000532259844
Long
ABS-MBS
CORP
US
N
2
2057-02-26
Fixed
0.00000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Uniform Mortgage-Backed Securities
3140QFBX6
206912.78250000
PA
USD
205570.59000000
0.025223488398
Long
ABS-MBS
USGSE
US
N
2
2035-10-01
Fixed
2.50000000
N
N
N
N
N
N
Altria Group, Inc.
XSGZFLO9YTNO9VCQV219
Altria Group, Inc.
02209SBE2
459000.00000000
PA
USD
494710.99000000
0.060700983135
Long
DBT
CORP
US
N
2
2039-02-14
Fixed
5.80000000
N
N
N
N
N
N
Glencore Funding LLC
213800STG1QDNBY87K49
Glencore Funding LLC
378272BD9
564000.00000000
PA
USD
520837.33000000
0.063906682131
Long
DBT
CORP
US
N
2
2026-04-27
Fixed
1.62500000
N
N
N
N
N
N
Republic Services, Inc.
NKNQHM6BLECKVOQP7O46
Republic Services, Inc.
760759BA7
15000.00000000
PA
USD
13466.60000000
0.001652350313
Long
DBT
CORP
US
N
2
2033-03-15
Fixed
2.37500000
N
N
N
N
N
N
Duke Realty LP
2549009GZDBNY1KE9O81
Duke Realty LP
26441YBF3
518000.00000000
PA
USD
449277.63000000
0.055126314945
Long
DBT
CORP
US
N
2
2031-02-01
Fixed
1.75000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Government National Mortgage Association
36181GFM6
27863.67000000
PA
USD
28593.19000000
0.003508381214
Long
ABS-MBS
USGA
US
N
2
2043-07-15
Fixed
3.50000000
N
N
N
N
N
N
Alternative Loan Trust
N/A
Alternative Loan Trust, Series 2007-3T1, Class 1A1
02149VAA7
9598.54000000
PA
USD
5685.41000000
0.000697599171
Long
ABS-MBS
CORP
US
N
2
2037-04-25
Fixed
6.00000000
N
N
N
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
6509.32000000
0.000798692835
N/A
DFE
N/A
N
2
Bank of America
B4TYDEB6GKMZO031MB27
126000.00000000
USD
1936292.40000000
ZAR
2022-04-01
6509.32000000
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Uniform Mortgage-Backed Securities
3140XEA38
327653.23540000
PA
USD
305212.73000000
0.037449567830
Long
ABS-MBS
USGSE
US
N
2
2051-12-01
Fixed
2.00000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Government National Mortgage Association
36241LVF0
17223.04000000
PA
USD
18995.64000000
0.002330762903
Long
ABS-MBS
USGA
US
N
2
2040-12-15
Fixed
5.00000000
N
N
N
N
N
N
United States of America
254900HROIFWPRGM1V77
U.S. Treasury Notes
91282CDZ1
737000.00000000
PA
USD
716329.45000000
0.087893543388
Long
DBT
UST
US
N
2
2025-02-15
Fixed
1.50000000
N
N
N
N
N
N
Raytheon Technologies Corp.
I07WOS4YJ0N7YRFE7309
Raytheon Technologies Corp.
75513EAB7
155000.00000000
PA
171484.18000000
0.021041089704
Long
DBT
CORP
US
N
2
2030-05-18
Fixed
2.15000000
N
N
N
N
N
N
Federal Home Loan Mortgage Corp.
S6XOOCT0IEG5ABCC6L87
Federal Home Loan Mortgage Corp.
3132KE6X8
25250.82000000
PA
USD
25034.21000000
0.003071694766
Long
ABS-MBS
USGSE
US
N
2
2030-08-01
Fixed
2.50000000
N
N
N
N
N
N
Federal Home Loan Mortgage Corp.
S6XOOCT0IEG5ABCC6L87
Federal Home Loan Mortgage Corp.
31335BEU6
362272.89550000
PA
USD
382320.44000000
0.046910675222
Long
ABS-MBS
USGSE
US
N
2
2047-07-01
Fixed
4.50000000
N
N
N
N
N
N
United Mexican States
254900EGTWEU67VP6075
United Mexican States
91087BAG5
1011000.00000000
PA
USD
954889.50000000
0.117164834838
Long
DBT
NUSS
MX
N
2
2050-01-31
Fixed
4.50000000
N
N
N
N
N
N
MGM Growth Properties Operating Partnership LP
N/A
MGM Growth Properties Operating Partnership LP
55303XAC9
159000.00000000
PA
USD
163687.32000000
0.020084415854
Long
DBT
CORP
US
N
2
2024-05-01
Fixed
5.62500000
N
N
N
N
N
N
NVIDIA Corp.
549300S4KLFTLO7GSQ80
NVIDIA Corp.
67066GAH7
380000.00000000
PA
USD
384031.80000000
0.047120658903
Long
DBT
CORP
US
N
2
2050-04-01
Fixed
3.50000000
N
N
N
N
N
N
N/A
N/A
OIS
N/A
85987000.00000000
PA
USD
-57036.81000000
-0.00699841020
N/A
DIR
GB
N
2
LCH Clearnet
549300TXTCI7WVVJS380
Y
2022-09-21
0.00000000
USD
0.00000000
USD
85987000.00000000
USD
-57036.81000000
N
N
N
Bank of America Corp.
9DJT3UXIJIZJI4WXO774
Bank of America Corp.
06051GJS9
1540000.00000000
PA
USD
1430174.85000000
0.175482294119
Long
DBT
CORP
US
N
2
2027-07-22
Variable
1.73400120
N
N
N
N
N
N
CHL Mortgage Pass-Through Trust
N/A
CHL Mortgage Pass-Through Trust, Series 2006-OA5, Class 3A1
126694N46
18134.74000000
PA
USD
16710.36000000
0.002050359302
Long
ABS-MBS
CORP
US
N
2
2046-04-25
Floating
0.85656960
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Uniform Mortgage-Backed Securities
3138X55B9
26170.57000000
PA
USD
27864.49000000
0.003418969806
Long
ABS-MBS
USGSE
US
N
2
2043-10-01
Fixed
4.50000000
N
N
N
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
626.61000000
0.000076884976
N/A
DFE
N/A
N
2
HSBC Bank
MP6I5ZYZBEU3UXPYFY54
122000.00000000
USD
2445856.00000000
MXN
2022-04-20
626.61000000
N
N
N
Devon Energy Corp.
54930042348RKR3ZPN35
Devon Energy Corp.
25179MAN3
217000.00000000
PA
USD
229307.39000000
0.028135991103
Long
DBT
CORP
US
N
2
2042-05-15
Fixed
4.75000000
N
N
N
N
N
N
OCP CLO Ltd.
25490025Q5WQX513IQ05
OCP CLO Ltd., Series 2017-14A, Class B
67097QAG0
250000.00000000
PA
USD
246488.45000000
0.030244105243
Long
ABS-CBDO
CORP
KY
N
2
2030-11-20
Floating
2.42957160
N
N
N
N
N
N
Banco Votorantim SA
X2EUTZGMHS8RBQFIUS93
Banco Votorantim SA
05967CAD5
200000.00000000
PA
USD
201412.50000000
0.024713291220
Long
DBT
CORP
BR
N
2
2022-09-24
Fixed
4.00000000
N
N
N
N
N
N
Oncor Electric Delivery Co. LLC
549300SP2X2BS1KERD24
Oncor Electric Delivery Co. LLC
68233JBP8
89000.00000000
PA
USD
90780.84000000
0.011138798913
Long
DBT
CORP
US
N
2
2049-06-01
Fixed
3.80000000
N
N
N
N
N
N
Virginia Electric & Power Co.
CQKUMNNZVDJLRYV2PT43
Virginia Electric & Power Co., Series A
927804FB5
66000.00000000
PA
USD
80690.47000000
0.009900711643
Long
DBT
CORP
US
N
2
2037-05-15
Fixed
6.00000000
N
N
N
N
N
N
Federal Home Loan Mortgage Corp.
S6XOOCT0IEG5ABCC6L87
Federal Home Loan Mortgage Corp.
3132GEB41
13603.68000000
PA
USD
14484.87000000
0.001777291928
Long
ABS-MBS
USGSE
US
N
2
2041-05-01
Fixed
4.50000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Uniform Mortgage-Backed Securities
3140E0V36
3545.98000000
PA
USD
3582.96000000
0.000439628791
Long
ABS-MBS
USGSE
US
N
2
2030-08-01
Fixed
3.00000000
N
N
N
N
N
N
Crown Castle International Corp.
54930012H97VSM0I2R19
Crown Castle International Corp.
22822VAY7
106000.00000000
PA
USD
94556.86000000
0.011602116145
Long
DBT
CORP
US
N
2
2031-07-15
Fixed
2.50000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Uniform Mortgage-Backed Securities
31418CR89
298531.59180000
PA
USD
301117.19000000
0.036947045530
Long
ABS-MBS
USGSE
US
N
2
2047-12-01
Fixed
3.50000000
N
N
N
N
N
N
Shriram Transport Finance Co. Ltd.
335800TM2YO24B76XL26
Shriram Transport Finance Co. Ltd.
N/A
200000.00000000
PA
USD
200000.00000000
0.024539977628
Long
DBT
CORP
IN
N
2
2023-07-16
Fixed
5.10000000
N
N
N
N
N
N
Broadcom, Inc.
549300WV6GIDOZJTV909
Broadcom, Inc.
11135FBD2
900000.00000000
PA
USD
956694.23000000
0.117386275007
Long
DBT
CORP
US
N
2
2030-04-15
Fixed
5.00000000
N
N
N
N
N
N
Suncor Energy, Inc.
549300W70ZOQDVLCHY06
Suncor Energy, Inc.
71644EAJ1
96000.00000000
PA
USD
123656.66000000
0.015172658350
Long
DBT
CORP
CA
N
2
2038-05-15
Fixed
6.80000000
N
N
N
N
N
N
CFCRE Commercial Mortgage Trust
N/A
CFCRE Commercial Mortgage Trust, Series 2016-C3, Class A3
12531WBB7
10000.00000000
PA
USD
10154.86000000
0.001246000186
Long
ABS-MBS
CORP
US
N
2
2048-01-10
Fixed
3.86500000
N
N
N
N
N
N
Federal Home Loan Mortgage Corp.
S6XOOCT0IEG5ABCC6L87
Federal Home Loan Mortgage Corp.
3128M7CL8
15632.45000000
PA
USD
16632.74000000
0.002040835337
Long
ABS-MBS
USGSE
US
N
2
2039-02-01
Fixed
4.50000000
N
N
N
N
N
N
United States of America
254900HROIFWPRGM1V77
U.S. Treasury Notes
91282CCY5
269000.00000000
PA
USD
249623.59000000
0.030628786570
Long
DBT
UST
US
N
2
2028-09-30
Fixed
1.25000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Uniform Mortgage-Backed Securities
31418CZN7
23279.42310000
PA
USD
24590.61000000
0.003017265096
Long
ABS-MBS
USGSE
US
N
2
2048-08-01
Fixed
5.00000000
N
N
N
N
N
N
MAF Global Securities Ltd.
54930037VUDNYTS17017
MAF Global Securities Ltd.
N/A
200000.00000000
PA
USD
198600.00000000
0.024368197785
Long
DBT
CORP
KY
N
2
2022-09-07
Variable
5.50000080
N
N
N
N
N
N
CAMB Commercial Mortgage Trust
N/A
CAMB Commercial Mortgage Trust, Series 2019-LIFE, Class D
12482HAL8
100000.00000000
PA
USD
98371.37000000
0.012070156095
Long
ABS-MBS
CORP
US
N
2
2037-12-15
Floating
2.14656840
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Uniform Mortgage-Backed Securities
3140H3H82
31734.42850000
PA
USD
32899.64000000
0.004036782147
Long
ABS-MBS
USGSE
US
N
2
2032-11-01
Fixed
3.50000000
N
N
N
N
N
N
MASTR Resecuritization Trust
N/A
MASTR Resecuritization Trust, Series 2008-3, Class A1
57643EAA0
16700.51000000
PA
USD
9994.71000000
0.001226349799
Long
ABS-MBS
CORP
US
N
2
2037-08-25
Variable
0.62090640
N
N
N
N
N
N
N/A
N/A
OIS
N/A
6150000.00000000
PA
59673.76000000
0.007321963677
N/A
DIR
GB
N
2
LCH Clearnet
549300TXTCI7WVVJS380
Y
2025-03-21
0.00000000
USD
3330.43000000
USD
6150000.00000000
EUR
59673.76000000
N
N
N
American Airlines Pass-Through Trust
N/A
American Airlines Pass-Through Trust, Series 2015-2, Class AA
02377BAB2
36505.14980000
PA
USD
35476.39000000
0.004352949084
Long
DBT
CORP
US
N
2
2027-09-22
Fixed
3.60000000
N
N
N
N
N
N
Leidos, Inc.
5493006I78VIN6J1BQ95
Leidos, Inc.
52532XAF2
607000.00000000
PA
USD
613771.09000000
0.075309644088
Long
DBT
CORP
US
N
2
2030-05-15
Fixed
4.37500000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Uniform Mortgage-Backed Securities
3140QAAJ9
34670.28040000
PA
USD
35679.64000000
0.004377887836
Long
ABS-MBS
USGSE
US
N
2
2048-05-01
Fixed
4.00000000
N
N
N
N
N
N
Benchmark Mortgage Trust
N/A
Benchmark Mortgage Trust, Series 2019-B9, Class XA
08160JAG2
1036998.95000000
PA
USD
59316.13000000
0.007278082516
Long
ABS-MBS
CORP
US
N
2
2052-03-15
Variable
1.03769640
N
N
N
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
-12539.94000000
-0.00153864923
N/A
DFE
N/A
N
2
JP Morgan Chase Bank
7H6GLXDRUGQFU57RNE97
28035000.00000000
RUB
362645.04000000
USD
2022-05-24
-12539.94000000
N
N
N
Public Service Electric & Gas Co.
549300RUHPVD434XUK18
Public Service Electric & Gas Co.
74456QBX3
210000.00000000
PA
USD
213220.15000000
0.026162088554
Long
DBT
CORP
US
N
2
2028-09-01
Fixed
3.65000000
N
N
N
N
N
N
IndyMac INDX Mortgage Loan Trust
N/A
IndyMac INDX Mortgage Loan Trust, Series 2007-AR19, Class 3A1
45669NAT3
71096.14000000
PA
USD
54284.61000000
0.006660715574
Long
ABS-MBS
CORP
US
N
2
2037-09-25
Variable
2.96779320
N
N
N
N
N
N
Alexandria Real Estate Equities, Inc.
MGCJBT4MKTQBVLNUIS88
Alexandria Real Estate Equities, Inc.
015271AY5
213000.00000000
PA
USD
200388.76000000
0.024587678436
Long
DBT
CORP
US
N
2
2034-03-15
Fixed
2.95000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Government National Mortgage Association
3622A2AE2
157285.19000000
PA
USD
169509.37000000
0.020798780738
Long
ABS-MBS
USGA
US
N
2
2042-02-15
Fixed
4.50000000
N
N
N
N
N
N
MGM Resorts International
54930066VBP7DZEGGJ87
MGM Resorts International
552953CF6
10000.00000000
PA
USD
10100.00000000
0.001239268870
Long
DBT
CORP
US
N
2
2027-04-15
Fixed
5.50000000
N
N
N
N
N
N
Republic of Panama
549300SHS4T08CL0LP14
Republic of Panama
698299BF0
347000.00000000
PA
USD
354872.56000000
0.043542823416
Long
DBT
NUSS
PA
N
2
2028-03-17
Fixed
3.87500000
N
N
N
N
N
N
IMT Trust
N/A
IMT Trust, Series 2017-APTS, Class AFX
44974AAS6
100000.00000000
PA
USD
99677.20000000
0.012230381290
Long
ABS-MBS
CORP
US
N
2
2034-06-15
Fixed
3.47800000
N
N
N
N
N
N
Federal Home Loan Mortgage Corp.
S6XOOCT0IEG5ABCC6L87
Uniform Mortgage-Backed Securities
3133KYWH8
225086.05520000
PA
USD
211238.28000000
0.025918913327
Long
ABS-MBS
USGSE
US
N
2
2042-03-01
Fixed
2.00000000
N
N
N
N
N
N
GLP Capital LP
N/A
GLP Capital LP
361841AR0
1005000.00000000
PA
USD
911836.50000000
0.111882236554
Long
DBT
CORP
US
N
2
2032-01-15
Fixed
3.25000000
N
N
N
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
7104.42000000
0.000871711539
N/A
DFE
N/A
N
2
Morgan Stanley & Co. International
4PQUHN3JPFGFNF3BB653
15337.00000000
USD
1679401.50000000
RUB
2022-05-25
7104.42000000
N
N
N
Pacific Gas & Electric Co.
1HNPXZSMMB7HMBMVBS46
Pacific Gas & Electric Co.
694308JT5
184000.00000000
PA
USD
166433.29000000
0.020421346066
Long
DBT
CORP
US
N
2
2031-06-01
Fixed
3.25000000
N
N
N
N
N
N
Global Payments, Inc.
549300NOMHGVQBX6S778
Global Payments, Inc.
37940XAE2
593000.00000000
PA
USD
546313.66000000
0.067032624972
Long
DBT
CORP
US
N
2
2026-03-01
Fixed
1.20000000
N
N
N
N
N
N
Grifols Worldwide Operations Ltd.
N/A
Grifols Worldwide Operations Ltd., Term Loan B
39843PAG8
265963.91000000
PA
USD
261176.56000000
0.032046334697
Long
LON
CORP
US
N
2
2027-11-15
Variable
2.45743000
N
N
N
N
N
N
ICG US CLO Ltd.
254900IL8TH4VLG5DO47
ICG US CLO Ltd., Series 2015-1A, Class A1R
44931AAJ8
200057.48000000
PA
USD
199457.49000000
0.024473411712
Long
ABS-CBDO
CORP
KY
N
2
2028-10-19
Floating
1.38800160
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Uniform Mortgage-Backed Securities
3140HHWM3
14452.78000000
PA
USD
14972.00000000
0.001837062725
Long
ABS-MBS
USGSE
US
N
2
2048-08-01
Fixed
4.00000000
N
N
N
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
-511.76000000
-0.00006279289
N/A
DFE
N/A
N
2
Deutsche Bank
7LTWFZYICNSX8D621K86
266083.70000000
MXN
12866.00000000
USD
2022-04-01
-511.76000000
N
N
N
Bank of America Corp.
9DJT3UXIJIZJI4WXO774
Bank of America Corp.
06051GHQ5
758000.00000000
PA
USD
770234.14000000
0.094507642821
Long
DBT
CORP
US
N
2
2030-02-07
Variable
3.97400040
N
N
N
N
N
N
Mizuho Financial Group, Inc.
353800CI5L6DDAN5XZ33
Mizuho Financial Group, Inc.
60687YAZ2
719000.00000000
PA
USD
704232.74000000
0.086409278424
Long
DBT
CORP
JP
N
2
2025-09-13
Variable
2.55499920
N
N
N
N
N
N
Federal Home Loan Mortgage Corp.
S6XOOCT0IEG5ABCC6L87
Uniform Mortgage-Backed Securities
3132DMRN7
354962.27000000
PA
USD
361112.87000000
0.044308508755
Long
ABS-MBS
USGSE
US
N
2
2048-06-01
Fixed
3.50000000
N
N
N
N
N
N
Federal Home Loan Mortgage Corp.
S6XOOCT0IEG5ABCC6L87
Uniform Mortgage-Backed Securities
3132DMQ73
19707.13000000
PA
USD
20610.92000000
0.002528957578
Long
ABS-MBS
USGSE
US
N
2
2045-01-01
Fixed
4.00000000
N
N
N
N
N
N
CWHEQ Revolving Home Equity Loan Resuritization Trust
N/A
CWHEQ Revolving Home Equity Loan Resuritization Trust, Series 2006-RES, Class 5B1B
23242YBD6
3300.62000000
PA
USD
3219.55000000
0.000395038424
Long
ABS-O
CORP
US
N
2
2035-05-15
Floating
0.58656960
N
N
N
N
N
N
CVS Health Corp.
549300EJG376EN5NQE29
CVS Health Corp.
126650CN8
501000.00000000
PA
USD
565534.05000000
0.069390964675
Long
DBT
CORP
US
N
2
2045-07-20
Fixed
5.12500000
N
N
N
N
N
N
JPMorgan Chase & Co.
8I5DZWZKVSZI1NUHU748
JPMorgan Chase & Co.
46647PCE4
15000.00000000
PA
USD
13865.41000000
0.001701284256
Long
DBT
CORP
US
N
2
2052-04-22
Variable
3.32799840
N
N
N
N
N
N
Vedanta Resources Finance II plc
8945002DGA3BBXO3N634
Vedanta Resources Finance II plc
N/A
200000.00000000
PA
USD
191560.00000000
0.023504390572
Long
DBT
CORP
GB
N
2
2023-04-23
Fixed
8.00000000
N
N
N
N
N
N
Connect Finco SARL
N/A
Connect Finco SARL, Term Loan
L2000DAD6
266604.18720000
PA
USD
264071.45000000
0.032401537376
Long
LON
CORP
US
N
2
2026-12-11
Variable
4.50000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Uniform Mortgage-Backed Securities
3138WFAF3
4683.51230000
PA
USD
4638.18000000
0.000569104167
Long
ABS-MBS
USGSE
US
N
2
2030-07-01
Fixed
2.50000000
N
N
N
N
N
N
Federal Home Loan Mortgage Corp.
S6XOOCT0IEG5ABCC6L87
Federal Home Loan Mortgage Corp.
3132G0B58
22090.15300000
PA
USD
22333.07000000
0.002740265190
Long
ABS-MBS
USGSE
US
N
2
2027-09-01
Fixed
3.00000000
N
N
N
N
N
N
Waste Management, Inc.
549300YX8JIID70NFS41
Waste Management, Inc.
94106LBQ1
101000.00000000
PA
USD
93937.56000000
0.011526128104
Long
DBT
CORP
US
N
2
2029-06-01
Fixed
2.00000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Uniform Mortgage-Backed Securities
3140QKWM6
49197.60000000
PA
USD
49850.12000000
0.006116604147
Long
ABS-MBS
USGSE
US
N
2
2036-05-01
Fixed
3.00000000
N
N
N
N
N
N
Velocity Commercial Capital Loan Trust
N/A
Velocity Commercial Capital Loan Trust, Series 2017-2, Class M4
92258VAF4
40026.57000000
PA
USD
38966.31000000
0.004781161878
Long
ABS-MBS
CORP
US
N
2
2047-11-25
Variable
5.00000040
N
N
N
N
N
N
Alternative Loan Trust
N/A
Alternative Loan Trust, Series 2007-OA3, Class 1A1
02150TAA8
15865.47000000
PA
USD
14278.67000000
0.001751991211
Long
ABS-MBS
CORP
US
N
2
2047-04-25
Floating
0.73657080
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Uniform Mortgage-Backed Securities
31417AYD5
100034.76000000
PA
USD
104653.22000000
0.012840938387
Long
ABS-MBS
USGSE
US
N
2
2042-01-01
Fixed
4.00000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Uniform Mortgage-Backed Securities
3140J5XZ7
26379.11160000
PA
USD
26143.10000000
0.003207755445
Long
ABS-MBS
USGSE
US
N
2
2031-03-01
Fixed
2.50000000
N
N
N
N
N
N
Federal Home Loan Mortgage Corp.
S6XOOCT0IEG5ABCC6L87
Federal Home Loan Mortgage Corp.
3132KE4Z5
57151.93000000
PA
USD
57788.97000000
0.007090700154
Long
ABS-MBS
USGSE
US
N
2
2030-06-01
Fixed
3.00000000
N
N
N
N
N
N
CSC Holdings LLC
N/A
CSC Holdings LLC, Term Loan
64072UAK8
177376.61000000
PA
USD
174006.45000000
0.021350571951
Long
LON
CORP
US
N
2
2027-04-15
Variable
2.89657000
N
N
N
N
N
N
AbbVie, Inc.
FR5LCKFTG8054YNNRU85
AbbVie, Inc.
00287YCB3
226000.00000000
PA
USD
234524.00000000
0.028776068566
Long
DBT
CORP
US
N
2
2049-11-21
Fixed
4.25000000
N
N
N
N
N
N
AT&T, Inc.
549300Z40J86GGSTL398
AT&T, Inc.
00206RMM1
683000.00000000
PA
USD
606807.52000000
0.074455214827
Long
DBT
CORP
US
N
2
2033-12-01
Fixed
2.55000000
N
N
N
N
N
N
Anchorage Capital CLO 5-R Ltd.
549300687XYK5L55VX28
Anchorage Capital CLO 5-R Ltd., Series 2014-5RA, Class C
03329AAG0
250000.00000000
PA
USD
248262.05000000
0.030461725764
Long
ABS-CBDO
CORP
KY
N
2
2030-01-15
Floating
2.09129040
N
N
N
N
N
N
Federal Home Loan Mortgage Corp.
S6XOOCT0IEG5ABCC6L87
Federal Home Loan Mortgage Corp.
3128MEK91
28137.24000000
PA
USD
28400.23000000
0.003484705044
Long
ABS-MBS
USGSE
US
N
2
2030-07-01
Fixed
3.00000000
N
N
N
N
N
N
Autodesk, Inc.
FRKKVKAIQEF3FCSTPG55
Autodesk, Inc.
052769AE6
320000.00000000
PA
USD
321653.65000000
0.039466866875
Long
DBT
CORP
US
N
2
2027-06-15
Fixed
3.50000000
N
N
N
N
N
N
Federal Home Loan Mortgage Corp.
S6XOOCT0IEG5ABCC6L87
Uniform Mortgage-Backed Securities
3132AACD4
136191.52570000
PA
USD
140090.84000000
0.017189130397
Long
ABS-MBS
USGSE
US
N
2
2034-01-01
Fixed
3.50000000
N
N
N
N
N
N
Charles Schwab Corp. (The)
549300VSGCJ7E698NM85
Charles Schwab Corp. (The), Series H
808513BJ3
455000.00000000
PA
USD
408644.60000000
0.050140646709
Long
DBT
CORP
US
N
2
2030-12-01
Variable
3.99999960
N
N
N
N
N
N
Verizon Communications, Inc.
2S72QS2UO2OESLG6Y829
Verizon Communications, Inc.
92343VEU4
326000.00000000
PA
USD
338339.68000000
0.041514240890
Long
DBT
CORP
US
N
2
2029-12-03
Fixed
4.01600000
N
N
N
N
N
N
Embraer Netherlands Finance BV
724500PBR8LR26XBSP67
Embraer Netherlands Finance BV
29082HAA0
68000.00000000
PA
USD
68680.00000000
0.008427028317
Long
DBT
CORP
NL
N
2
2025-06-15
Fixed
5.05000000
N
N
N
N
N
N
Citigroup Mortgage Loan Trust
N/A
Citigroup Mortgage Loan Trust, Series 2007-AHL2, Class A3C
17312TAK9
79785.86000000
PA
USD
63633.21000000
0.007807787749
Long
ABS-O
CORP
US
N
2
2037-05-25
Floating
0.72657000
N
N
N
N
N
N
Hartford Financial Services Group, Inc. (The)
IU7C3FTM7Y3BQM112U94
Hartford Financial Services Group, Inc. (The)
416515BF0
74000.00000000
PA
USD
69389.50000000
0.008514083888
Long
DBT
CORP
US
N
2
2049-08-19
Fixed
3.60000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Uniform Mortgage-Backed Securities
3140X83E5
325181.29000000
PA
USD
338132.67000000
0.041488840786
Long
ABS-MBS
USGSE
US
N
2
2049-01-01
Fixed
4.00000000
N
N
N
N
N
N
Ryder System, Inc.
ZXJ6Y2OSPZXIVGRILD15
Ryder System, Inc.
78355HKQ1
690000.00000000
PA
USD
714267.53000000
0.087640546034
Long
DBT
CORP
US
N
2
2025-06-01
Fixed
4.62500000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Uniform Mortgage-Backed Securities
31418CV35
29258.24750000
PA
USD
29914.43000000
0.003670497214
Long
ABS-MBS
USGSE
US
N
2
2048-04-01
Fixed
4.00000000
N
N
N
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
-1019.84000000
-0.00012513425
N/A
DFE
N/A
N
2
Deutsche Bank
7LTWFZYICNSX8D621K86
60383.43000000
USD
53662.00000000
EUR
2022-04-01
-1019.84000000
N
N
N
American Home Mortgage Assets Trust
N/A
American Home Mortgage Assets Trust, Series 2006-4, Class 1A12
02660LAB6
54233.32000000
PA
USD
33402.01000000
0.004098422890
Long
ABS-MBS
CORP
US
N
2
2046-10-25
Floating
0.66656880
N
N
N
N
N
N
Lamar Media Corp.
N/A
Lamar Media Corp., Term Loan B
513076BB4
19301.78000000
PA
USD
19157.02000000
0.002350564211
Long
LON
CORP
US
N
2
2027-02-05
Variable
1.96757000
N
N
N
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
560.43000000
0.000068764698
N/A
DFE
N/A
N
2
UBS
BFM8T61CT2L1QCEMIK50
1832985.76000000
ZAR
126000.00000000
USD
2022-04-01
560.43000000
N
N
N
Nomura Holdings, Inc.
549300B3CEAHYG7K8164
Nomura Holdings, Inc.
65535HBA6
375000.00000000
PA
USD
345435.72000000
0.042384924204
Long
DBT
CORP
JP
N
2
2032-01-22
Fixed
2.99900000
N
N
N
N
N
N
Comcast Corp.
51M0QTTNCGUN7KFCFZ59
Comcast Corp.
20030NCU3
110000.00000000
PA
USD
117343.74000000
0.014398063772
Long
DBT
CORP
US
N
2
2030-10-15
Fixed
4.25000000
N
N
N
N
N
N
Fidelity National Information Services, Inc.
6WQI0GK1PRFVBA061U48
Fidelity National Information Services, Inc.
31620MBM7
300000.00000000
PA
315988.14000000
0.038771709432
Long
DBT
CORP
US
N
2
2028-12-03
Fixed
1.00000000
N
N
N
N
N
N
Sabine Pass Liquefaction LLC
549300KJYBG7C6WJYZ11
Sabine Pass Liquefaction LLC
785592AS5
185000.00000000
PA
USD
195649.38000000
0.024006157041
Long
DBT
CORP
US
N
2
2027-03-15
Fixed
5.00000000
N
N
N
N
N
N
Gol Finance SA
5299007RH8MA67ZC6J07
Gol Finance SA
36254VAA6
107000.00000000
PA
USD
87606.25000000
0.010749277075
Long
DBT
CORP
LU
N
2
2025-01-31
Fixed
7.00000000
N
N
N
N
N
N
Charter Communications Operating LLC
N/A
Charter Communications Operating LLC
161175CD4
68000.00000000
PA
USD
61191.04000000
0.007508133763
Long
DBT
CORP
US
N
2
2029-01-15
Fixed
2.25000000
N
N
N
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
-4987.53000000
-0.00061196937
N/A
DFE
N/A
N
2
Goldman Sachs International
W22LROWP2IHZNBB6K528
450000.00000000
EUR
494235.00000000
USD
2022-06-15
-4987.53000000
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Uniform Mortgage-Backed Securities
3140H6PA1
140266.30340000
PA
USD
141737.57000000
0.017391183984
Long
ABS-MBS
USGSE
US
N
2
2048-03-01
Fixed
3.50000000
N
N
N
N
N
N
United States of America
254900HROIFWPRGM1V77
U.S. Treasury Bonds
912810SL3
217000.00000000
PA
USD
195461.06000000
0.023983050198
Long
DBT
UST
US
N
2
2050-02-15
Fixed
2.00000000
N
N
N
N
N
N
Virginia Electric & Power Co.
CQKUMNNZVDJLRYV2PT43
Virginia Electric & Power Co.
927804FL3
247000.00000000
PA
USD
251562.82000000
0.030866729874
Long
DBT
CORP
US
N
2
2043-01-15
Fixed
4.00000000
N
N
N
N
N
N
Devon Energy Corp.
54930042348RKR3ZPN35
Devon Energy Corp.
25179MAU7
105000.00000000
PA
USD
114316.59000000
0.014026632805
Long
DBT
CORP
US
N
2
2045-06-15
Fixed
5.00000000
N
N
N
N
N
N
Federal Home Loan Mortgage Corp.
S6XOOCT0IEG5ABCC6L87
Federal Home Loan Mortgage Corp.
3132KEXZ3
6616.90000000
PA
USD
6690.56000000
0.000820930963
Long
ABS-MBS
USGSE
US
N
2
2030-01-01
Fixed
3.00000000
N
N
N
N
N
N
Yango Justice International Ltd.
3003007ELD2HAYCXPT77
Yango Justice International Ltd.
N/A
200000.00000000
PA
USD
10000.00000000
0.001226998881
Long
DBT
CORP
HK
N
2
2023-11-25
Fixed
8.25000000
Y
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Government National Mortgage Association
36179SQW0
229627.61000000
PA
USD
233286.89000000
0.028624275308
Long
ABS-MBS
USGA
US
N
2
2046-11-20
Fixed
3.50000000
N
N
N
N
N
N
Federal Home Loan Mortgage Corp.
S6XOOCT0IEG5ABCC6L87
Federal Home Loan Mortgage Corp.
31335BAA4
17825.89560000
PA
USD
18619.82000000
0.002284649831
Long
ABS-MBS
USGSE
US
N
2
2044-07-01
Fixed
4.00000000
N
N
N
N
N
N
Metropolitan Transportation Authority
5493000TKYODLXADQD60
Metropolitan Transportation Authority, Series 2010A
59259YBY4
75000.00000000
PA
USD
94186.30000000
0.011556648474
Long
DBT
MUN
US
N
2
2039-11-15
Fixed
6.66800000
N
N
N
N
N
N
Federal Home Loan Mortgage Corp.
S6XOOCT0IEG5ABCC6L87
Uniform Mortgage-Backed Securities
3132DMRT4
431639.60000000
PA
USD
431101.03000000
0.052896048159
Long
ABS-MBS
USGSE
US
N
2
2044-06-01
Fixed
3.00000000
N
N
N
N
N
N
Foundation Building Materials, Inc.
549300ZVE6MONHB01I28
Foundation Building Materials, Inc., 1st Lien Term Loan
35039KAB2
228275.00000000
PA
USD
223994.84000000
0.027484141812
Long
LON
CORP
US
N
2
2028-01-31
Variable
3.75000000
N
N
N
N
N
N
Wells Fargo Commercial Mortgage Trust
549300DNBJ7A0SEFVK31
Wells Fargo Commercial Mortgage Trust, Series 2016-BNK1, Class XD
95000GAA2
1000000.00000000
PA
USD
44990.00000000
0.005520267967
Long
ABS-MBS
CORP
US
N
2
2049-08-15
Variable
1.25356680
N
N
N
N
N
N
Federal Home Loan Mortgage Corp.
S6XOOCT0IEG5ABCC6L87
Uniform Mortgage-Backed Securities
3133KJUF7
677588.57700000
PA
USD
667200.54000000
0.081865431626
Long
ABS-MBS
USGSE
US
N
2
2050-08-01
Fixed
3.00000000
N
N
N
N
N
N
Federal Home Loan Mortgage Corp.
S6XOOCT0IEG5ABCC6L87
Federal Home Loan Mortgage Corp.
3132KFAD4
37383.53000000
PA
USD
37051.48000000
0.004546212451
Long
ABS-MBS
USGSE
US
N
2
2030-09-01
Fixed
2.50000000
N
N
N
N
N
N
Broadcom, Inc.
549300WV6GIDOZJTV909
Broadcom, Inc.
11135FBL4
443000.00000000
PA
USD
410276.15000000
0.050340837712
Long
DBT
CORP
US
N
2
2034-04-15
Fixed
3.46900000
N
N
N
N
N
N
Federal Home Loan Mortgage Corp.
S6XOOCT0IEG5ABCC6L87
Uniform Mortgage-Backed Securities
3132DM2Q7
131987.73540000
PA
USD
122906.68000000
0.015080635887
Long
ABS-MBS
USGSE
US
N
2
2051-12-01
Fixed
2.00000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Uniform Mortgage-Backed Securities
3138EGVA9
6220.34000000
PA
USD
6730.22000000
0.000825797241
Long
ABS-MBS
USGSE
US
N
2
2041-08-01
Fixed
5.00000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Government National Mortgage Association
36202FKM7
1817.29000000
PA
USD
1909.36000000
0.000234278258
Long
ABS-MBS
USGA
US
N
2
2040-09-20
Fixed
4.00000000
N
N
N
N
N
N
Union Pacific Corp.
549300LMMRSZZCZ8CL11
Union Pacific Corp.
907818FN3
112000.00000000
PA
USD
94775.47000000
0.011628939567
Long
DBT
CORP
US
N
2
2062-09-16
Fixed
2.97300000
N
N
N
N
N
N
Charter Communications Operating LLC
N/A
Charter Communications Operating LLC
161175BL7
229000.00000000
PA
USD
234471.05000000
0.028769571607
Long
DBT
CORP
US
N
2
2047-05-01
Fixed
5.37500000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Government National Mortgage Association
36196FZH0
34799.63000000
PA
USD
35473.09000000
0.004352544175
Long
ABS-MBS
USGA
US
N
2
2046-10-20
Fixed
3.50000000
N
N
N
N
N
N
Deutsche Alt-A Securities Mortgage Loan Trust
N/A
Deutsche Alt-A Securities Mortgage Loan Trust, Series 2007-OA4, Class A2A
25151XAF8
101301.56000000
PA
USD
111765.47000000
0.013713610667
Long
ABS-MBS
CORP
US
N
2
2047-08-25
Floating
0.62656920
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Uniform Mortgage-Backed Securities
3140Q8D36
241188.41160000
PA
USD
252942.00000000
0.031035955106
Long
ABS-MBS
USGSE
US
N
2
2048-01-01
Fixed
4.50000000
N
N
N
N
N
N
Federal Home Loan Mortgage Corp.
S6XOOCT0IEG5ABCC6L87
Federal Home Loan Mortgage Corp.
3132M4QU2
9346.43000000
PA
USD
9518.36000000
0.001167901707
Long
ABS-MBS
USGSE
US
N
2
2044-01-01
Fixed
3.50000000
N
N
N
N
N
N
Citigroup, Inc.
6SHGI4ZSSLCXXQSBB395
Citigroup, Inc.
17308CC53
1654000.00000000
PA
USD
1568833.21000000
0.192495659381
Long
DBT
CORP
US
N
2
2030-11-05
Variable
2.97600120
N
N
N
N
N
N
JPMorgan Chase Commercial Mortgage Securities Trust
N/A
JPMorgan Chase Commercial Mortgage Securities Trust, Series 2012-CBX, Class A4FL
46637WAJ2
11242.63000000
PA
USD
11247.90000000
0.001380116071
Long
ABS-MBS
CORP
US
N
2
2045-06-15
Floating
1.74143160
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Government National Mortgage Association
3617BFTR3
60403.10000000
PA
USD
63613.15000000
0.007805326389
Long
ABS-MBS
USGA
US
N
2
2048-09-20
Fixed
4.50000000
N
N
N
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
8273.46000000
0.001015152616
N/A
DFE
N/A
N
2
Goldman Sachs International
W22LROWP2IHZNBB6K528
46563.61000000
USD
4097598.00000000
RUB
2022-05-24
8273.46000000
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
4988.27000000
0.000612060171
N/A
DFE
N/A
N
2
Citibank
MBNUM2BPBDO7JBLYG310
14484767.00000000
JPY
124000.00000000
USD
2022-04-18
4988.27000000
N
N
N
CNH Industrial Capital LLC
549300PNSJ5B81UMVO28
CNH Industrial Capital LLC
12592BAJ3
792000.00000000
PA
USD
807723.00000000
0.099107521750
Long
DBT
CORP
US
N
2
2024-01-15
Fixed
4.20000000
N
N
N
N
N
N
Oncor Electric Delivery Co. LLC
549300SP2X2BS1KERD24
Oncor Electric Delivery Co. LLC
68233JBD5
101000.00000000
PA
USD
102012.31000000
0.012516899026
Long
DBT
CORP
US
N
2
2047-09-30
Fixed
3.80000000
N
N
N
N
N
N
Florida Power & Light Co.
A89MY1K3YLIGJMYWVX50
Florida Power & Light Co.
341081FX0
468000.00000000
PA
USD
436225.36000000
0.053524802876
Long
DBT
CORP
US
N
2
2049-10-01
Fixed
3.15000000
N
N
N
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
47509.74000000
0.005829439783
N/A
DFE
N/A
N
2
JP Morgan Chase Bank
7H6GLXDRUGQFU57RNE97
77551.78000000
USD
9344990.00000000
RUB
2022-05-24
47509.74000000
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Uniform Mortgage-Backed Securities
3140X9MV4
22069.53810000
PA
USD
22588.85000000
0.002771649368
Long
ABS-MBS
USGSE
US
N
2
2050-04-01
Fixed
4.00000000
N
N
N
N
N
N
Enterprise Products Operating LLC
5493004LGN656HWLDA30
Enterprise Products Operating LLC
29379VBV4
148000.00000000
PA
USD
145330.69000000
0.017832059406
Long
DBT
CORP
US
N
2
2029-07-31
Fixed
3.12500000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Uniform Mortgage-Backed Securities
3140QLSP2
124912.76210000
PA
USD
130521.27000000
0.016014945229
Long
ABS-MBS
USGSE
US
N
2
2051-08-01
Fixed
4.00000000
N
N
N
N
N
N
Huntington Ingalls Industries, Inc.
5TZLZ6WJTBVJ0QWBG121
Huntington Ingalls Industries, Inc.
446413AX4
179000.00000000
PA
USD
161812.89000000
0.019854423502
Long
DBT
CORP
US
N
2
2028-08-16
Fixed
2.04300000
N
N
N
N
N
N
United Airlines Pass-Through Trust
N/A
United Airlines Pass-Through Trust, Series 2014-1, Class A
90932PAA6
123108.25400000
PA
USD
123555.24000000
0.015160214127
Long
DBT
CORP
US
N
2
2026-04-11
Fixed
4.00000000
N
N
N
N
N
N
Bausch Health Americas, Inc.
KOO0397YRO83WY5MGD97
Bausch Health Americas, Inc.
91911XAW4
120000.00000000
PA
USD
119672.40000000
0.014683790093
Long
DBT
CORP
US
N
2
2027-01-31
Fixed
8.50000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Government National Mortgage Association
36297FRM6
12700.29000000
PA
USD
13721.30000000
0.001683601975
Long
ABS-MBS
USGA
US
N
2
2039-07-15
Fixed
5.00000000
N
N
N
N
N
N
Churchill Downs, Inc.
529900FODTBQC8MIS994
Churchill Downs, Inc.
171484AE8
44000.00000000
PA
USD
42680.00000000
0.005236831225
Long
DBT
CORP
US
N
2
2028-01-15
Fixed
4.75000000
N
N
N
N
N
N
Federal Home Loan Mortgage Corp.
S6XOOCT0IEG5ABCC6L87
Federal Home Loan Mortgage Corp.
31307NN26
4903.39000000
PA
USD
4861.41000000
0.000596494463
Long
ABS-MBS
USGSE
US
N
2
2030-07-01
Fixed
2.50000000
N
N
N
N
N
N
Federal Home Loan Mortgage Corp.
S6XOOCT0IEG5ABCC6L87
Federal Home Loan Mortgage Corp.
3132KFAC6
19950.55000000
PA
USD
19776.40000000
0.002426562067
Long
ABS-MBS
USGSE
US
N
2
2030-09-01
Fixed
2.50000000
N
N
N
N
N
N
Apple, Inc.
HWUPKR0MPOU8FGXBT394
Apple, Inc.
037833AL4
334000.00000000
PA
USD
351314.07000000
0.043106197091
Long
DBT
CORP
US
N
2
2043-05-04
Fixed
3.85000000
N
N
N
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
-195.21000000
-0.00002395224
N/A
DFE
N/A
N
2
BNP Paribas
R0MUWSFPU8MPRO8K5P83
859152.71000000
MXN
43000.00000000
USD
2022-04-01
-195.21000000
N
N
N
Glencore Funding LLC
213800STG1QDNBY87K49
Glencore Funding LLC
378272BE7
819000.00000000
PA
USD
747894.66000000
0.091766591124
Long
DBT
CORP
US
N
2
2031-04-27
Fixed
2.85000000
N
N
N
N
N
N
BPCE SA
9695005MSX1OYEMGDF46
BPCE SA
05578AAN8
491000.00000000
PA
USD
466264.48000000
0.057210599540
Long
DBT
CORP
FR
N
2
2029-10-01
Fixed
2.70000000
N
N
N
N
N
N
Herc Holdings, Inc.
549300TP80QLITMSBP82
Herc Holdings, Inc.
42704LAA2
89000.00000000
PA
USD
90246.00000000
0.011073174105
Long
DBT
CORP
US
N
2
2027-07-15
Fixed
5.50000000
N
N
N
N
N
N
Banc of America Funding Trust
N/A
Banc of America Funding Trust, Series 2016-R2, Class 1A1
05890RAA0
68482.54000000
PA
USD
67103.60000000
0.008233604213
Long
ABS-MBS
CORP
US
N
2
2033-05-01
Variable
4.70000160
N
N
N
N
N
N
Morgan Stanley
IGJSJL3JD5P30I6NJZ34
Morgan Stanley
6174468L6
1655000.00000000
PA
USD
1552996.39000000
0.190552483338
Long
DBT
CORP
US
N
2
2031-01-22
Variable
2.69899920
N
N
N
N
N
N
HCA, Inc.
L3CJ6J7LJ2DX62FTXD46
HCA, Inc.
404119CC1
795000.00000000
PA
USD
710497.16000000
0.087177922057
Long
DBT
CORP
US
N
2
2031-07-15
Fixed
2.37500000
N
N
N
N
N
N
Alternative Loan Trust
N/A
Alternative Loan Trust, Series 2005-22T1, Class A1
12667GGN7
104919.57000000
PA
USD
90300.94000000
0.011079915237
Long
ABS-MBS
CORP
US
N
2
2035-06-25
Floating
0.80656920
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Uniform Mortgage-Backed Securities
3138WJC71
50807.48750000
PA
USD
50340.37000000
0.006176757768
Long
ABS-MBS
USGSE
US
N
2
2031-10-01
Fixed
2.50000000
N
N
N
N
N
N
N/A
N/A
CDS
N/A
200454.00000000
PA
USD
-2239.59000000
-0.00027479744
N/A
DCR
GB
N
2
Morgan Stanley & Co. International plc
4PQUHN3JPFGFNF3BB653
Republic of South Africa
Republic of South Africa
Y
Receipt of notional amount upon default event with regard to the reference instrument
2027-06-20
12422.26000000
USD
0.00000000
USD
200454.00000000
USD
-2239.59000000
N
N
N
Bakelite UK Intermediate Ltd.
N/A
Bakelite UK Intermediate Ltd., Term Loan
N/A
288000.00000000
PA
USD
280080.00000000
0.034365784670
Long
LON
CORP
US
N
3
2029-02-02
Variable
0.00000000
N
N
N
N
N
N
Race Point X CLO Ltd.
N/A
Race Point X CLO Ltd., Series 2016-10A, Class A1R
74983DAN7
246483.82000000
PA
USD
244780.17000000
0.030034499478
Long
ABS-CBDO
CORP
KY
N
2
2031-07-25
Floating
1.35771120
N
N
N
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
904.38000000
0.000110967324
N/A
DFE
N/A
N
2
Barclays Bank
G5GSEF7VJP5I7OUK5573
610000.00000000
EUR
677628.26000000
USD
2022-06-15
904.38000000
N
N
N
BB-UBS Trust
N/A
BB-UBS Trust, Series 2012-SHOW, Class XA
05538UAL7
3475000.00000000
PA
USD
51641.63000000
0.006336422224
Long
ABS-MBS
CORP
US
N
2
2036-11-05
Variable
0.59580000
N
N
N
N
N
N
Federal Home Loan Mortgage Corp.
S6XOOCT0IEG5ABCC6L87
Federal Home Loan Mortgage Corp.
3132QUZV8
7549.71000000
PA
USD
7840.90000000
0.000962077552
Long
ABS-MBS
USGSE
US
N
2
2045-12-01
Fixed
4.00000000
N
N
N
N
N
N
Bayview Commercial Asset Trust
N/A
Bayview Commercial Asset Trust, Series 2005-4A, Class M1
07324SCT7
23037.60000000
PA
USD
21223.40000000
0.002604108806
Long
ABS-MBS
CORP
US
N
2
2036-01-25
Floating
1.13157000
N
N
N
N
N
N
United States of America
254900HROIFWPRGM1V77
U.S. Treasury Notes
912828YS3
545000.00000000
PA
USD
521454.30000000
0.063982384281
Long
DBT
UST
US
N
2
2029-11-15
Fixed
1.75000000
N
N
N
N
N
N
CSX Corp.
549300JVQR4N1MMP3Q88
CSX Corp.
126408HK2
296000.00000000
PA
USD
317997.04000000
0.039018201237
Long
DBT
CORP
US
N
2
2048-03-01
Fixed
4.30000000
N
N
N
N
N
N
United States of America
254900HROIFWPRGM1V77
U.S. Treasury Bonds
912810ST6
1933000.00000000
PA
USD
1580303.00000000
0.193903001331
Long
DBT
UST
US
N
2
2040-11-15
Fixed
1.37500000
N
N
N
N
N
N
RELX Capital, Inc.
2R15C3RTKJN1RCBOV146
RELX Capital, Inc.
74949LAB8
80000.00000000
PA
USD
80685.42000000
0.009900092008
Long
DBT
CORP
US
N
2
2023-03-16
Fixed
3.50000000
N
N
N
N
N
N
DBUBS Mortgage Trust
N/A
DBUBS Mortgage Trust, Series 2017-BRBK, Class E
23305JAL6
210000.00000000
PA
USD
198706.96000000
0.024381321765
Long
ABS-MBS
CORP
US
N
2
2034-10-10
Variable
3.53000160
N
N
N
N
N
N
Federal Home Loan Mortgage Corp.
S6XOOCT0IEG5ABCC6L87
Federal Home Loan Mortgage Corp.
3132Y1WP9
206512.57450000
PA
USD
217916.14000000
0.026738286002
Long
ABS-MBS
USGSE
US
N
2
2048-08-01
Fixed
4.50000000
N
N
N
N
N
N
N/A
N/A
CDSCMBX
N/A
149784.35490000
PA
USD
-2729.71000000
-0.00033493511
N/A
DCR
GB
N
2
Credit Suisse International
E58DKGMJYYYJLN8C3868
Markit CMBX North American AAA 9
Markit CMBX North American AAA 9
Y
Receipt of notional amount upon default event with regard to the reference instrument
2058-09-17
1838.05000000
USD
0.00000000
USD
149784.00000000
USD
-2729.71000000
N
N
N
Bayview Commercial Asset Trust
N/A
Bayview Commercial Asset Trust, Series 2005-4A, Class A1
07324SCR1
31569.96000000
PA
USD
29780.46000000
0.003654059110
Long
ABS-MBS
CORP
US
N
2
2036-01-25
Floating
0.90657000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Uniform Mortgage-Backed Securities
3140XFUZ2
102770.94000000
PA
USD
95723.71000000
0.011745288509
Long
ABS-MBS
USGSE
US
N
2
2051-04-01
Fixed
2.00000000
N
N
N
N
N
N
BCMSC Trust
N/A
BCMSC Trust, Series 2000-A, Class A3
09774XBP6
36957.40000000
PA
USD
7388.69000000
0.000906591436
Long
ABS-O
CORP
US
N
2
2030-06-15
Variable
7.83000000
N
N
N
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
-2530.62000000
-0.00031050679
N/A
DFE
N/A
N
2
JP Morgan Chase Bank
7H6GLXDRUGQFU57RNE97
441742.87000000
CHF
430000.00000000
EUR
2022-06-15
-2530.62000000
N
N
N
Federal Home Loan Mortgage Corp.
S6XOOCT0IEG5ABCC6L87
Uniform Mortgage-Backed Securities
3133A7UC1
42766.67060000
PA
USD
42285.27000000
0.005188397899
Long
ABS-MBS
USGSE
US
N
2
2050-07-01
Fixed
3.00000000
N
N
N
N
N
N
CWABS Revolving Home Equity Loan Trust
N/A
CWABS Revolving Home Equity Loan Trust, Series 2004-U, Class 2A
126673VE9
8957.03000000
PA
USD
8649.68000000
0.001061314768
Long
ABS-O
CORP
US
N
2
2034-03-15
Floating
0.66656880
N
N
N
N
N
N
Bank of America Corp.
9DJT3UXIJIZJI4WXO774
Bank of America Corp.
06051GKD0
486000.00000000
PA
USD
441610.47000000
0.054185555271
Long
DBT
CORP
US
N
2
2032-10-20
Variable
2.57199840
N
N
N
N
N
N
TEGNA, Inc.
549300YC5EDBGX85AO10
TEGNA, Inc.
87901JAH8
17000.00000000
PA
USD
17041.58000000
0.002090999959
Long
DBT
CORP
US
N
2
2029-09-15
Fixed
5.00000000
N
N
N
N
N
N
Diamondback Energy, Inc.
549300R22LSX6OHWEN64
Diamondback Energy, Inc.
25278XAN9
1773000.00000000
PA
USD
1756273.91000000
0.215494612304
Long
DBT
CORP
US
N
2
2029-12-01
Fixed
3.50000000
N
N
N
N
N
N
BBCMS Mortgage Trust
N/A
BBCMS Mortgage Trust, Series 2018-TALL, Class A
05548WAA5
35000.00000000
PA
USD
34139.97000000
0.004188970500
Long
ABS-MBS
CORP
US
N
2
2037-03-15
Floating
1.11857040
N
N
N
N
N
N
First Franklin Mortgage Loan Trust
N/A
First Franklin Mortgage Loan Trust, Series 2004-FFH3, Class M3
32027NLT6
32547.30000000
PA
USD
31563.76000000
0.003872869821
Long
ABS-O
CORP
US
N
2
2034-10-25
Floating
1.50657120
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Uniform Mortgage-Backed Securities
3138W5MS4
16600.44000000
PA
USD
16559.42000000
0.002031838981
Long
ABS-MBS
USGSE
US
N
2
2043-03-01
Fixed
3.00000000
N
N
N
N
N
N
BBCMS Trust
N/A
BBCMS Trust, Series 2015-SRCH, Class A1
05547HAA9
80255.15000000
PA
USD
79281.74000000
0.009727860629
Long
ABS-MBS
CORP
US
N
2
2035-08-10
Fixed
3.31200000
N
N
N
N
N
N
United Airlines Pass-Through Trust
N/A
United Airlines Pass-Through Trust, Series 2016-2, Class B
90933JAA9
9218.76000000
PA
USD
8641.07000000
0.001060258322
Long
DBT
CORP
US
N
2
2025-10-07
Fixed
3.65000000
N
N
N
N
N
N
Global Payments, Inc.
549300NOMHGVQBX6S778
Global Payments, Inc.
37940XAD4
503000.00000000
PA
USD
464240.19000000
0.056962219384
Long
DBT
CORP
US
N
2
2030-05-15
Fixed
2.90000000
N
N
N
N
N
N
Verizon Communications, Inc.
2S72QS2UO2OESLG6Y829
Verizon Communications, Inc.
92343VFE9
1082000.00000000
PA
USD
1064120.34000000
0.130567446688
Long
DBT
CORP
US
N
2
2030-03-22
Fixed
3.15000000
N
N
N
N
N
N
Verizon Communications, Inc.
2S72QS2UO2OESLG6Y829
Verizon Communications, Inc.
92343VGJ7
102000.00000000
PA
USD
94763.10000000
0.011627421770
Long
DBT
CORP
US
N
2
2031-03-21
Fixed
2.55000000
N
N
N
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
-1054.94000000
-0.00012944101
N/A
DFE
N/A
N
2
Citibank
MBNUM2BPBDO7JBLYG310
532812.06000000
MXN
25733.00000000
USD
2022-04-01
-1054.94000000
N
N
N
Federal Home Loan Mortgage Corp.
S6XOOCT0IEG5ABCC6L87
Uniform Mortgage-Backed Securities
3133A7UM9
5010.51430000
PA
USD
4970.94000000
0.000609933781
Long
ABS-MBS
USGSE
US
N
2
2050-07-01
Fixed
3.00000000
N
N
N
N
N
N
JPMorgan Chase & Co.
8I5DZWZKVSZI1NUHU748
JPMorgan Chase & Co.
46647PBA3
988000.00000000
PA
USD
1008464.98000000
0.123738540241
Long
DBT
CORP
US
N
2
2027-01-29
Variable
3.96000000
N
N
N
N
N
N
Diamondback Energy, Inc.
549300R22LSX6OHWEN64
Diamondback Energy, Inc.
25278XAM1
883000.00000000
PA
USD
881688.21000000
0.108183044743
Long
DBT
CORP
US
N
2
2026-12-01
Fixed
3.25000000
N
N
N
N
N
N
MPT Operating Partnership LP
N/A
MPT Operating Partnership LP
55342UAG9
7000.00000000
PA
USD
7164.15000000
0.000879040403
Long
DBT
CORP
US
N
2
2026-08-01
Fixed
5.25000000
N
N
N
N
N
N
Deutsche Bank AG
7LTWFZYICNSX8D621K86
Deutsche Bank AG
251526CG2
584000.00000000
PA
USD
557758.28000000
0.068436878566
Long
DBT
CORP
DE
N
2
2025-04-01
Variable
1.44699840
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Uniform Mortgage-Backed Securities
3140QA4A5
1093547.84220000
PA
USD
1160758.53000000
0.142424941791
Long
ABS-MBS
USGSE
US
N
2
2049-05-01
Fixed
4.50000000
N
N
N
N
N
N
Benchmark Mortgage Trust
N/A
Benchmark Mortgage Trust, Series 2018-B8, Class XA
08162UAY6
4810222.78000000
PA
USD
158743.12000000
0.019477763067
Long
ABS-MBS
CORP
US
N
2
2052-01-15
Variable
0.64248480
N
N
N
N
N
N
HSBC Holdings plc
MLU0ZO3ML4LN2LL2TL39
HSBC Holdings plc
404280BT5
531000.00000000
PA
USD
546347.19000000
0.067036739099
Long
DBT
CORP
GB
N
2
2029-06-19
Variable
4.58300160
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Government National Mortgage Association
36197MQM3
19476.93000000
PA
USD
20909.22000000
0.002565558955
Long
ABS-MBS
USGA
US
N
2
2047-03-15
Fixed
4.50000000
N
N
N
N
N
N
Aetna, Inc.
549300QKBENKLBXQ8968
Aetna, Inc.
00817YAP3
5000.00000000
PA
USD
5441.66000000
0.000667691073
Long
DBT
CORP
US
N
2
2044-03-15
Fixed
4.75000000
N
N
N
N
N
N
Merrill Lynch Mortgage Investors Trust
N/A
Merrill Lynch Mortgage Investors Trust, Series 2006-OPT1, Class M1
59022VAF8
34634.33000000
PA
USD
36326.76000000
0.004457289388
Long
ABS-O
CORP
US
N
2
2037-08-25
Floating
0.71656920
N
N
N
N
N
N
N/A
N/A
USD Currency
N/A
-670000.00000000
PA
USD
-13985.99000000
-0.00171607940
N/A
DFE
GB
N
2
Barclays Bank plc
G5GSEF7VJP5I7OUK5573
Put
Written
N/A
USD Currency
1.00000000
795.00000000
USD
2022-05-06
XXXX
-4324.59000000
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Uniform Mortgage-Backed Securities
3140XAY55
1426808.45990000
PA
USD
1456486.16000000
0.178710688912
Long
ABS-MBS
USGSE
US
N
2
2051-01-01
Fixed
4.00000000
N
N
N
N
N
N
MEGlobal Canada ULC
635400MHHHT7LMKMQL03
MEGlobal Canada ULC
58518N2B7
200000.00000000
PA
USD
205475.00000000
0.025211759516
Long
DBT
CORP
CA
N
2
2025-05-18
Fixed
5.00000000
N
N
N
N
N
N
Penske Truck Leasing Co. LP
N/A
Penske Truck Leasing Co. LP
709599BL7
94000.00000000
PA
USD
86274.17000000
0.010585831008
Long
DBT
CORP
US
N
2
2025-11-15
Fixed
1.20000000
N
N
N
N
N
N
BP Capital Markets America, Inc.
5493009NTB34VXE1T760
BP Capital Markets America, Inc.
10373QBS8
225000.00000000
PA
USD
193824.95000000
0.023782299684
Long
DBT
CORP
US
N
2
2052-03-17
Fixed
3.00100000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Uniform Mortgage-Backed Securities
3138ERM49
32993.13690000
PA
USD
33337.25000000
0.004090476845
Long
ABS-MBS
USGSE
US
N
2
2031-09-01
Fixed
3.00000000
N
N
N
N
N
N
AT&T, Inc.
549300Z40J86GGSTL398
AT&T, Inc.
00206RFU1
294000.00000000
PA
USD
335044.99000000
0.041109982795
Long
DBT
CORP
US
N
2
2050-02-15
Fixed
5.15000000
N
N
N
N
N
N
Wells Fargo & Co.
PBLD0EJDB5FWOLXP3B76
Wells Fargo & Co.
95000U2A0
383000.00000000
PA
USD
382377.38000000
0.046917661754
Long
DBT
CORP
US
N
2
2028-05-22
Variable
3.58400160
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Uniform Mortgage-Backed Securities
3140QETF9
139695.68000000
PA
USD
141397.77000000
0.017349490562
Long
ABS-MBS
USGSE
US
N
2
2035-08-01
Fixed
3.00000000
N
N
N
N
N
N
N/A
N/A
CDS
N/A
123000.00000000
PA
USD
-948.89000000
-0.00011642869
N/A
DCR
GB
N
2
Barclays Bank plc
G5GSEF7VJP5I7OUK5573
Federative Republic of Brazil
Federative Republic of Brazil
Y
Receipt of notional amount upon default event with regard to the reference instrument
2024-12-20
1659.61000000
USD
0.00000000
USD
123000.00000000
USD
-948.89000000
N
N
N
Bank of America Corp.
9DJT3UXIJIZJI4WXO774
Bank of America Corp.
06051GKK4
1220000.00000000
PA
USD
1143131.19000000
0.140262069145
Long
DBT
CORP
US
N
2
2033-02-04
Variable
2.97200160
N
N
N
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
206.34000000
0.000025317894
N/A
DFE
N/A
N
2
Deutsche Bank
7LTWFZYICNSX8D621K86
1152822.08000000
SEK
111000.00000000
EUR
2022-04-20
206.34000000
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Uniform Mortgage-Backed Securities
3140XFGV7
499883.67950000
PA
USD
464714.60000000
0.057020429438
Long
ABS-MBS
USGSE
US
N
2
2051-12-01
Fixed
2.00000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Uniform Mortgage-Backed Securities
31418RQM6
33209.87000000
PA
USD
35941.16000000
0.004409976311
Long
ABS-MBS
USGSE
US
N
2
2040-04-01
Fixed
5.00000000
N
N
N
N
N
N
United States of America
254900HROIFWPRGM1V77
U.S. Treasury Notes
9128282N9
1029000.00000000
PA
USD
1021684.45000000
0.125360567731
Long
DBT
UST
US
N
2
2024-07-31
Fixed
2.12500000
N
N
N
N
N
N
N/A
N/A
USCPI
N/A
3822000.00000000
PA
USD
29089.11000000
0.003569230543
N/A
DO
GB
N
2
LCH Clearnet
549300TXTCI7WVVJS380
Y
2027-03-31
0.00000000
USD
0.00000000
USD
3822000.00000000
USD
29089.11000000
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Uniform Mortgage-Backed Securities
31417F2C1
14704.58830000
PA
USD
14571.78000000
0.001787955776
Long
ABS-MBS
USGSE
US
N
2
2028-04-01
Fixed
2.50000000
N
N
N
N
N
N
Union Pacific Railroad Co. Pass-Through Trust
N/A
Union Pacific Railroad Co. Pass-Through Trust, Series 2014-1
907825AA1
86549.10000000
PA
USD
86360.87000000
0.010596469088
Long
DBT
CORP
US
N
2
2026-05-14
Fixed
3.22700000
N
N
N
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
7274.97000000
0.000892638005
N/A
DFE
N/A
N
2
Bank of America
B4TYDEB6GKMZO031MB27
501309.00000000
GBP
600000.00000000
EUR
2022-06-15
7274.97000000
N
N
N
Exelon Corp.
3SOUA6IRML7435B56G12
Exelon Corp.
30161NAY7
180000.00000000
PA
USD
197959.08000000
0.024289556972
Long
DBT
CORP
US
N
2
2050-04-15
Fixed
4.70000000
N
N
N
N
N
N
Energy Transfer LP
MTLVN9N7JE8MIBIJ1H73
Energy Transfer LP
29273RAR0
197000.00000000
PA
USD
226418.93000000
0.027781577384
Long
DBT
CORP
US
N
2
2042-02-01
Fixed
6.50000000
N
N
N
N
N
N
Goldman Sachs Group, Inc. (The)
784F5XWPLTWKTBV3E584
Goldman Sachs Group, Inc. (The)
38141GWL4
168000.00000000
PA
USD
168192.73000000
0.020637229157
Long
DBT
CORP
US
N
2
2028-06-05
Variable
3.69100080
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Uniform Mortgage-Backed Securities
3140JAUJ5
254746.41480000
PA
USD
269504.84000000
0.033068213721
Long
ABS-MBS
USGSE
US
N
2
2049-05-01
Fixed
5.00000000
N
N
N
N
N
N
Conseco Finance Corp.
N/A
Conseco Finance Corp., Series 1999-5, Class A5
3935053P5
25774.87730000
PA
USD
13035.31000000
0.001599431078
Long
ABS-O
CORP
US
N
2
2030-03-01
Variable
7.85999880
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Uniform Mortgage-Backed Securities
3140QM4E1
609042.90490000
PA
USD
585528.45000000
0.071844275319
Long
ABS-MBS
USGSE
US
N
2
2052-01-01
Fixed
2.50000000
N
N
N
N
N
N
AEP Transmission Co. LLC
549300X123Z1I0LA3Y84
AEP Transmission Co. LLC, Series M
00115AAM1
232000.00000000
PA
USD
223759.44000000
0.027455258258
Long
DBT
CORP
US
N
2
2050-04-01
Fixed
3.65000000
N
N
N
N
N
N
N/A
N/A
EUR Currency
N/A
295000.00000000
PA
4672.82000000
0.000573354491
N/A
DFE
CH
N
2
UBS AG
BFM8T61CT2L1QCEMIK50
Put
Purchased
N/A
EUR Currency
1.00000000
10.50000000
EUR
2022-04-28
XXXX
1980.57000000
N
N
N
Aimbridge Acquisition Co., Inc.
N/A
Aimbridge Acquisition Co., Inc., 1st Lien Term Loan
00900YAD8
152711.02000000
PA
USD
149322.36000000
0.018321836869
Long
LON
CORP
US
N
2
2026-02-02
Variable
4.20743000
N
N
N
N
N
N
Russian Federation
5493004EHVGF71PDBU58
Russian Federation
N/A
34399000.00000000
PA
12701.17000000
0.001558432138
Long
DBT
NUSS
RU
N
2
2035-07-18
Fixed
6.10000000
N
N
N
N
N
N
Northrop Grumman Corp.
RIMU48P07456QXSO0R61
Northrop Grumman Corp.
666807BP6
330000.00000000
PA
USD
347218.33000000
0.042603650251
Long
DBT
CORP
US
N
2
2047-10-15
Fixed
4.03000000
N
N
N
N
N
N
Credit-Based Asset Servicing & Securitization LLC
N/A
Credit-Based Asset Servicing & Securitization LLC, Series 2006-SL1, Class A2
14983AAB5
76859.90000000
PA
USD
4352.91000000
0.000534101570
Long
ABS-O
CORP
US
N
2
2036-09-25
Variable
6.05599920
N
N
N
N
N
N
MPLX LP
5493000CZJ19CK4P3G36
MPLX LP
55336VAG5
331000.00000000
PA
USD
342803.95000000
0.042062006319
Long
DBT
CORP
US
N
2
2024-12-01
Fixed
4.87500000
N
N
N
N
N
N
Petroleos Mexicanos
549300CAZKPF4HKMPX17
Petroleos Mexicanos
71654QDC3
286000.00000000
PA
USD
283855.00000000
0.034828976748
Long
DBT
NUSS
MX
N
2
2030-01-23
Fixed
6.84000000
N
N
N
N
N
N
Ownit Mortgage Loan Trust
N/A
Ownit Mortgage Loan Trust, Series 2006-2, Class A2C
69121PDF7
66508.17000000
PA
USD
61897.30000000
0.007594791786
Long
ABS-O
CORP
US
N
2
2037-01-25
Variable
6.50000160
N
N
N
N
N
N
United States of America
254900HROIFWPRGM1V77
U.S. Treasury Bonds
912810SH2
-803000.00000000
PA
USD
-863538.67000000
-0.10595609821
Short
DBT
UST
US
N
2
2049-05-15
Fixed
2.87500000
N
N
N
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
7339.54000000
0.000900560737
N/A
DFE
N/A
N
2
Goldman Sachs International
W22LROWP2IHZNBB6K528
83012.00000000
USD
430168.18000000
BRL
2022-04-04
7339.54000000
N
N
N
Fremont Home Loan Trust
N/A
Fremont Home Loan Trust, Series 2006-3, Class 1A1
35729MAA5
79066.89020000
PA
USD
64212.34000000
0.007878846935
Long
ABS-O
CORP
US
N
2
2037-02-25
Floating
0.73657080
N
N
N
N
N
N
BankAmerica Manufactured Housing Contract Trust
N/A
BankAmerica Manufactured Housing Contract Trust, Series 1998-2, Class B1
06606TAK7
300000.00000000
PA
USD
96241.35000000
0.011808802879
Long
ABS-O
CORP
US
N
2
2025-12-10
Variable
7.40120400
N
N
N
N
N
N
N/A
N/A
EUR Currency
N/A
296000.00000000
PA
608.22000000
0.000074628525
N/A
DFE
US
N
2
Bank of America NA
B4TYDEB6GKMZO031MB27
Call
Purchased
N/A
EUR Currency
1.00000000
24.85000000
EUR
2022-04-13
XXXX
-1610.92000000
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
-3118.52000000
-0.00038264205
N/A
DFE
N/A
N
2
UBS
BFM8T61CT2L1QCEMIK50
1932336.00000000
TRY
126000.00000000
USD
2022-04-29
-3118.52000000
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Uniform Mortgage-Backed Securities
3138WFEW2
10794.34000000
PA
USD
10693.09000000
0.001312040946
Long
ABS-MBS
USGSE
US
N
2
2030-08-01
Fixed
2.50000000
N
N
N
N
N
N
Federal National Mortgage Association or Federal Home Loan Mortgage Corp.
N/A
Uniform Mortgage-Backed Securities
01F012445
3569000.00000000
PA
USD
3383718.72000000
0.415181908449
Long
ABS-MBS
USGSE
US
N
2
2037-04-25
Fixed
1.50000000
N
N
N
N
N
N
Federal Home Loan Mortgage Corp.
S6XOOCT0IEG5ABCC6L87
Federal Home Loan Mortgage Corp.
3128M96X5
62095.83000000
PA
USD
64867.69000000
0.007959258307
Long
ABS-MBS
USGSE
US
N
2
2044-08-01
Fixed
4.00000000
N
N
N
N
N
N
FirstEnergy Corp.
549300SVYJS666PQJH88
FirstEnergy Corp., Series B
337932AP2
79000.00000000
PA
USD
69915.00000000
0.008578562679
Long
DBT
CORP
US
N
2
2030-09-01
Fixed
2.25000000
N
N
N
N
N
N
Herschend Entertainment Co. LLC
N/A
Herschend Entertainment Co. LLC, Term Loan
42778EAF8
75620.00000000
PA
USD
75052.85000000
0.009208976299
Long
LON
CORP
US
N
2
2028-08-27
Variable
4.25000000
N
N
N
N
N
N
RHP Hotel Properties LP
N/A
RHP Hotel Properties LP
749571AF2
61000.00000000
PA
USD
58699.69000000
0.007202445396
Long
DBT
CORP
US
N
2
2027-10-15
Fixed
4.75000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Uniform Mortgage-Backed Securities
3138EPJ54
22147.83000000
PA
USD
22378.35000000
0.002745821041
Long
ABS-MBS
USGSE
US
N
2
2030-03-01
Fixed
3.00000000
N
N
N
N
N
N
Federal National Mortgage Association or Federal Home Loan Mortgage Corp.
N/A
Uniform Mortgage-Backed Securities
01F020646
21964500.00000000
PA
USD
20388375.59000000
2.501651404297
Long
ABS-MBS
USGSE
US
N
2
2052-04-25
Fixed
2.00000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Uniform Mortgage-Backed Securities
3140J5GJ2
41321.93000000
PA
USD
42145.02000000
0.005171189239
Long
ABS-MBS
USGSE
US
N
2
2045-02-01
Fixed
3.50000000
N
N
N
N
N
N
Republic of Chile
549300FLZTJM5YJF8D34
Republic of Chile
168863DY1
200000.00000000
PA
USD
205400.00000000
0.025202557024
Long
DBT
NUSS
CL
N
2
2042-03-07
Fixed
4.34000000
N
N
N
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
-10878.66000000
-0.00133481036
N/A
DFE
N/A
N
2
JP Morgan Chase Bank
7H6GLXDRUGQFU57RNE97
630000.00000000
EUR
523907.37000000
GBP
2022-06-15
-10878.66000000
N
N
N
Oakwood Mortgage Investors, Inc.
N/A
Oakwood Mortgage Investors, Inc., Series 2001-D, Class A2
67087TCU3
16292.68000000
PA
USD
9808.29000000
0.001203476085
Long
ABS-O
CORP
US
N
2
2031-09-01
Variable
5.25999960
N
N
N
N
N
N
JPMorgan Chase & Co.
8I5DZWZKVSZI1NUHU748
JPMorgan Chase & Co.
46647PAX4
116000.00000000
PA
USD
120914.09000000
0.014836145317
Long
DBT
CORP
US
N
2
2029-12-05
Variable
4.45200120
N
N
N
N
N
N
Verizon Communications, Inc.
2S72QS2UO2OESLG6Y829
Verizon Communications, Inc.
92343VFX7
251000.00000000
PA
USD
218854.13000000
0.026853377270
Long
DBT
CORP
US
N
2
2030-10-30
Fixed
1.68000000
N
N
N
N
N
N
CWABS Asset-Backed Certificates Trust
N/A
CWABS Asset-Backed Certificates Trust, Series 2006-11, Class 3AV2
12666TAJ5
1916.07000000
PA
USD
1907.80000000
0.000234086846
Long
ABS-O
CORP
US
N
2
2046-09-25
Floating
0.61656840
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Uniform Mortgage-Backed Securities
3140J7S63
60364.46110000
PA
USD
60973.83000000
0.007481482120
Long
ABS-MBS
USGSE
US
N
2
2032-09-01
Fixed
3.00000000
N
N
N
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
216.19000000
0.000026526488
N/A
DFE
N/A
N
2
BNP Paribas
R0MUWSFPU8MPRO8K5P83
43000.00000000
USD
861970.97000000
MXN
2022-04-20
216.19000000
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Uniform Mortgage-Backed Securities
3140Q9W74
73009.18370000
PA
USD
74671.03000000
0.009162127028
Long
ABS-MBS
USGSE
US
N
2
2048-10-01
Fixed
4.00000000
N
N
N
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
-1219.62000000
-0.00014964723
N/A
DFE
N/A
N
2
Deutsche Bank
7LTWFZYICNSX8D621K86
401030.97000000
BRL
83012.00000000
USD
2022-04-04
-1219.62000000
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Uniform Mortgage-Backed Securities
31417GQQ2
48656.70000000
PA
USD
48580.73000000
0.005960850136
Long
ABS-MBS
USGSE
US
N
2
2043-05-01
Fixed
3.00000000
N
N
N
N
N
N
Devon Energy Corp.
54930042348RKR3ZPN35
Devon Energy Corp.
25179MBF9
166000.00000000
PA
USD
171301.18000000
0.021018635624
Long
DBT
CORP
US
N
2
2030-01-15
Fixed
4.50000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Uniform Mortgage-Backed Securities
3140QLSR8
164871.48420000
PA
USD
171564.36000000
0.021050927781
Long
ABS-MBS
USGSE
US
N
2
2051-08-01
Fixed
4.00000000
N
N
N
N
N
N
Goldman Sachs Group, Inc. (The)
784F5XWPLTWKTBV3E584
Goldman Sachs Group, Inc. (The)
38141GXS8
933000.00000000
PA
USD
869203.75000000
0.106651202897
Long
DBT
CORP
US
N
2
2026-02-12
Variable
0.85500000
N
N
N
N
N
N
Wells Fargo & Co.
PBLD0EJDB5FWOLXP3B76
Wells Fargo & Co.
95000U2V4
218000.00000000
PA
USD
217562.18000000
0.026694855150
Long
DBT
CORP
US
N
2
2028-03-24
Variable
3.52599840
N
N
N
N
N
N
United States of America
254900HROIFWPRGM1V77
U.S. Treasury Bonds
912810SJ8
1786000.00000000
PA
USD
1698234.85000000
0.208373226134
Long
DBT
UST
US
N
2
2049-08-15
Fixed
2.25000000
N
N
N
N
N
N
ONE Gas, Inc.
549300HXDWI0LATTX840
ONE Gas, Inc.
68235PAH1
80000.00000000
PA
USD
71572.32000000
0.008781915658
Long
DBT
CORP
US
N
2
2030-05-15
Fixed
2.00000000
N
N
N
N
N
N
American Tower Corp.
5493006ORUSIL88JOE18
American Tower Corp.
03027XBC3
53000.00000000
PA
USD
46221.81000000
0.005671410916
Long
DBT
CORP
US
N
2
2030-06-15
Fixed
2.10000000
N
N
N
N
N
N
PECO Energy Co.
YH65D4JBECK76IFEJ279
PECO Energy Co.
693304BA4
231000.00000000
PA
USD
208101.09000000
0.025533980465
Long
DBT
CORP
US
N
2
2051-03-15
Fixed
3.05000000
N
N
N
N
N
N
N/A
N/A
CDSCMBX
N/A
229669.34417999
PA
USD
-4402.19000000
-0.00054014822
N/A
DCR
GB
N
2
Morgan Stanley & Co. International plc
4PQUHN3JPFGFNF3BB653
Markit CMBX North American AAA 9
Markit CMBX North American AAA 9
Y
Receipt of notional amount upon default event with regard to the reference instrument
2058-09-17
3034.98000000
USD
0.00000000
USD
229669.00000000
USD
-4402.19000000
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Uniform Mortgage-Backed Securities
3140JR7K1
279017.28570000
PA
USD
259758.19000000
0.031872300857
Long
ABS-MBS
USGSE
US
N
2
2051-03-01
Fixed
2.00000000
N
N
N
N
N
N
Federal Home Loan Mortgage Corp.
S6XOOCT0IEG5ABCC6L87
Federal Home Loan Mortgage Corp.
3132WJUH2
12582.56000000
PA
USD
12509.42000000
0.001534904434
Long
ABS-MBS
USGSE
US
N
2
2046-12-01
Fixed
3.00000000
N
N
N
N
N
N
Oracle Corp.
1Z4GXXU7ZHVWFCD8TV52
Oracle Corp.
68389XBQ7
507000.00000000
PA
USD
448375.36000000
0.055015606517
Long
DBT
CORP
US
N
2
2047-11-15
Fixed
4.00000000
N
N
N
N
N
N
Los Angeles Unified School District
N/A
Los Angeles Unified School District, Series 2010I
544646ZR6
500000.00000000
PA
USD
634399.68000000
0.077840769773
Long
DBT
MUN
US
N
2
2034-07-01
Fixed
6.75800000
N
N
N
N
N
N
United States of America
254900HROIFWPRGM1V77
U.S. Treasury Notes
912828YU8
1327000.00000000
PA
USD
1277237.50000000
0.156716898381
Long
DBT
UST
US
N
2
2026-11-30
Fixed
1.62500000
N
N
N
N
N
N
Federal National Mortgage Association or Federal Home Loan Mortgage Corp.
N/A
Uniform Mortgage-Backed Securities
01F022444
1816300.00000000
PA
USD
1794944.29000000
0.220239463604
Long
ABS-MBS
USGSE
US
N
2
2037-04-25
Fixed
2.50000000
N
N
N
N
N
N
NGPL PipeCo LLC
549300K3NT1HSQFEM073
NGPL PipeCo LLC
62928CAA0
507000.00000000
PA
USD
473356.09000000
0.058080739294
Long
DBT
CORP
US
N
2
2031-07-15
Fixed
3.25000000
N
N
N
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
-518.99000000
-0.00006368001
N/A
DFE
N/A
N
2
Goldman Sachs International
W22LROWP2IHZNBB6K528
266227.52000000
MXN
12866.00000000
USD
2022-04-01
-518.99000000
N
N
N
Commonwealth Edison Co.
D8YOXB8L2ZDC8P7Q0771
Commonwealth Edison Co., Series 133
202795JV3
76000.00000000
PA
USD
78562.86000000
0.009639654134
Long
DBT
CORP
US
N
2
2052-03-15
Fixed
3.85000000
N
N
N
N
N
N
Ashford Hospitality Trust
N/A
Ashford Hospitality Trust, Series 2018-ASHF, Class D
04410RAL0
19000.00000000
PA
USD
18381.76000000
0.002255439895
Long
ABS-MBS
CORP
US
N
2
2035-04-15
Floating
2.49657120
N
N
N
N
N
N
Carrington Mortgage Loan Trust
N/A
Carrington Mortgage Loan Trust, Series 2006-NC4, Class A3
14453MAC8
40733.18000000
PA
USD
39752.53000000
0.004877630984
Long
ABS-O
CORP
US
N
2
2036-10-25
Floating
0.61656840
N
N
N
N
N
N
United States of America
254900HROIFWPRGM1V77
U.S. Treasury Bonds
912810RK6
4920000.00000000
PA
USD
4792003.15000000
0.587978250482
Long
DBT
UST
US
N
2
2045-02-15
Fixed
2.50000000
N
N
N
N
N
N
JBS USA LUX SA
N/A
JBS USA LUX SA
472141AA8
34000.00000000
PA
USD
35844.50000000
0.004398116140
Long
DBT
CORP
US
N
2
2028-02-15
Fixed
6.75000000
N
N
N
N
N
N
United States of America
254900HROIFWPRGM1V77
U.S. Treasury Notes
91282CBZ3
2329000.00000000
PA
USD
2169609.06000000
0.266210788974
Long
DBT
UST
US
N
2
2028-04-30
Fixed
1.25000000
N
N
N
N
N
N
Lam Research Corp.
549300I4GMO6D34U1T02
Lam Research Corp.
512807AW8
411000.00000000
PA
USD
363550.70000000
0.044607630224
Long
DBT
CORP
US
N
2
2050-06-15
Fixed
2.87500000
N
N
N
N
N
N
Exelon Corp.
3SOUA6IRML7435B56G12
Exelon Corp.
30161NAS0
35000.00000000
PA
USD
38896.61000000
0.004772609696
Long
DBT
CORP
US
N
2
2045-06-15
Fixed
5.10000000
N
N
N
N
N
N
Federal Home Loan Mortgage Corp.
S6XOOCT0IEG5ABCC6L87
Federal Home Loan Mortgage Corp.
3132WJUD1
24191.37000000
PA
USD
24055.74000000
0.002951636607
Long
ABS-MBS
USGSE
US
N
2
2046-12-01
Fixed
3.00000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Government National Mortgage Association
36202FGD2
110.11000000
PA
USD
117.23000000
0.000014384107
Long
ABS-MBS
USGA
US
N
2
2040-05-20
Fixed
4.50000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Uniform Mortgage-Backed Securities
3140KSBC0
96951.74680000
PA
USD
90284.78000000
0.011077932406
Long
ABS-MBS
USGSE
US
N
2
2050-11-01
Fixed
2.00000000
N
N
N
N
N
N
BP Capital Markets America, Inc.
5493009NTB34VXE1T760
BP Capital Markets America, Inc.
10373QBQ2
85000.00000000
PA
USD
75566.72000000
0.009272028091
Long
DBT
CORP
US
N
2
2061-02-08
Fixed
3.37900000
N
N
N
N
N
N
Nomura Asset Acceptance Corp. Alternative Loan Trust
N/A
Nomura Asset Acceptance Corp. Alternative Loan Trust, Series 2007-2, Class A4
655378AE7
11375.21000000
PA
USD
10045.94000000
0.001232635714
Long
ABS-MBS
CORP
US
N
2
2037-06-25
Floating
0.87657120
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Uniform Mortgage-Backed Securities
3140X9EC5
26873.77340000
PA
USD
27458.92000000
0.003369206412
Long
ABS-MBS
USGSE
US
N
2
2050-11-01
Fixed
4.00000000
N
N
N
N
N
N
Navient Corp.
54930067J0ZNOEBRW338
Navient Corp.
63938CAH1
38000.00000000
PA
USD
39038.35000000
0.004790001178
Long
DBT
CORP
US
N
2
2025-06-25
Fixed
6.75000000
N
N
N
N
N
N
Easy Tactic Ltd.
549300WYFMC41MKE6E16
Easy Tactic Ltd.
N/A
200000.00000000
PA
USD
43000.00000000
0.005276095190
Long
DBT
CORP
VG
N
2
2023-08-02
Fixed
11.75000000
N
N
N
N
N
N
UnitedHealth Group, Inc.
549300GHBMY8T5GXDE41
UnitedHealth Group, Inc.
91324PCX8
241000.00000000
PA
USD
260389.86000000
0.031949806695
Long
DBT
CORP
US
N
2
2047-01-15
Fixed
4.20000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Government National Mortgage Association
36202FEH5
1435.86000000
PA
USD
1528.75000000
0.000187577453
Long
ABS-MBS
USGA
US
N
2
2040-02-20
Fixed
4.50000000
N
N
N
N
N
N
Outfront Media Capital LLC
N/A
Outfront Media Capital LLC
69007TAC8
7000.00000000
PA
USD
6588.75000000
0.000808438887
Long
DBT
CORP
US
N
2
2030-03-15
Fixed
4.62500000
N
N
N
N
N
N
JPMDB Commercial Mortgage Securities Trust
N/A
JPMDB Commercial Mortgage Securities Trust, Series 2016-C4, Class XC
46646RAA1
1800000.00000000
PA
USD
51217.74000000
0.006284410968
Long
ABS-MBS
CORP
US
N
2
2049-12-15
Variable
0.74999880
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Uniform Mortgage-Backed Securities
3138WFYM2
16422.78000000
PA
USD
16266.26000000
0.001995868282
Long
ABS-MBS
USGSE
US
N
2
2030-11-01
Fixed
2.50000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Uniform Mortgage-Backed Securities
3140QCLT1
1148414.63050000
PA
USD
1192573.33000000
0.146328614192
Long
ABS-MBS
USGSE
US
N
2
2049-09-01
Fixed
4.50000000
N
N
N
N
N
N
Ohio Power Co.
06ZODLC132CY1O2Y7D77
Ohio Power Co.
677415CR0
125000.00000000
PA
USD
124536.75000000
0.015280645294
Long
DBT
CORP
US
N
2
2049-06-01
Fixed
4.00000000
N
N
N
N
N
N
Intel Corp.
KNX4USFCNGPY45LOCE31
Intel Corp.
458140BG4
398000.00000000
PA
USD
397504.72000000
0.048773784680
Long
DBT
CORP
US
N
2
2047-12-08
Fixed
3.73400000
N
N
N
N
N
N
BAE Systems Holdings, Inc.
MF62XBVMNYTYMC18DL76
BAE Systems Holdings, Inc.
05523UAP5
165000.00000000
PA
USD
165559.64000000
0.020314149308
Long
DBT
CORP
US
N
2
2025-12-15
Fixed
3.85000000
N
N
N
N
N
N
Palmer Square CLO Ltd.
549300EYS8N79JYSXL17
Palmer Square CLO Ltd., Series 2018-2A, Class A1A
69688MAA3
420000.00000000
PA
USD
417111.11000000
0.051179486539
Long
ABS-CBDO
CORP
KY
N
2
2031-07-16
Floating
1.34129160
N
N
N
N
N
N
N/A
N/A
USD Currency
N/A
-253000.00000000
PA
USD
-3418.16000000
-0.00041940784
N/A
DFE
US
N
2
Bank of America NA
B4TYDEB6GKMZO031MB27
Put
Written
N/A
USD Currency
1.00000000
72.00000000
USD
2022-04-08
XXXX
-2195.16000000
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Uniform Mortgage-Backed Securities
3140QNE40
181836.20510000
PA
USD
174818.40000000
0.021450198125
Long
ABS-MBS
USGSE
US
N
2
2052-02-01
Fixed
2.50000000
N
N
N
N
N
N
RKPF Overseas 2020 A Ltd.
254900LKOLISWWIE7W36
RKPF Overseas 2020 A Ltd.
N/A
200000.00000000
PA
USD
154000.00000000
0.018895782773
Long
DBT
CORP
VG
N
2
2026-01-12
Fixed
5.20000000
N
N
N
N
N
N
Republic of Indonesia
529900FWX0GRR7WG5W79
Republic of Indonesia
N/A
3465000000.00000000
PA
247646.48000000
0.030386195394
Long
DBT
NUSS
ID
N
2
2035-06-15
Fixed
7.50000000
N
N
N
N
N
N
New York City Municipal Water Finance Authority
549300Q2EHQ6RJPQKP05
New York City Municipal Water Finance Authority, Series 2010EE
64972FL20
35000.00000000
PA
USD
46662.70000000
0.005725508070
Long
DBT
MUN
US
N
2
2042-06-15
Fixed
6.01100000
N
N
N
N
N
N
Amazon.com, Inc.
ZXTILKJKG63JELOEG630
Amazon.com, Inc.
023135BT2
672000.00000000
PA
USD
561026.72000000
0.068837915788
Long
DBT
CORP
US
N
2
2050-06-03
Fixed
2.50000000
N
N
N
N
N
N
American Airlines Pass-Through Trust
N/A
American Airlines Pass-Through Trust, Series 2016-2, Class AA
023765AA8
67276.00000000
PA
USD
63843.86000000
0.007833634480
Long
DBT
CORP
US
N
2
2028-06-15
Fixed
3.20000000
N
N
N
N
N
N
ReNew Power Synthetic
N/A
ReNew Power Synthetic
N/A
200000.00000000
PA
USD
203037.50000000
0.024912678538
Long
DBT
CORP
IN
N
2
2024-03-12
Fixed
6.67000000
N
N
N
N
N
N
Wells Fargo Commercial Mortgage Trust
N/A
Wells Fargo Commercial Mortgage Trust, Series 2017-HSDB, Class A
95001EAA6
151000.00000000
PA
USD
149170.92000000
0.018303255198
Long
ABS-MBS
CORP
US
N
2
2031-12-13
Floating
1.23699960
N
N
N
N
N
N
APS Resecuritization Trust
N/A
APS Resecuritization Trust, Series 2016-3, Class 3A
00214WAE1
72016.40000000
PA
USD
71879.01000000
0.008819546486
Long
ABS-MBS
CORP
US
N
2
2046-09-27
Floating
3.30657120
N
N
N
N
N
N
Duke Energy Carolinas LLC
MWIUSDMN17TCR56VW396
Duke Energy Carolinas LLC
26442CBC7
213000.00000000
PA
USD
206460.77000000
0.025332713384
Long
DBT
CORP
US
N
2
2051-04-15
Fixed
3.45000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Uniform Mortgage-Backed Securities
3140XFWG2
286291.23000000
PA
USD
266700.76000000
0.032724153419
Long
ABS-MBS
USGSE
US
N
2
2052-02-01
Fixed
2.00000000
N
N
N
N
N
N
Enterprise Products Operating LLC
5493004LGN656HWLDA30
Enterprise Products Operating LLC
29379VAT0
114000.00000000
PA
USD
135148.36000000
0.016582688654
Long
DBT
CORP
US
N
2
2041-02-01
Fixed
5.95000000
N
N
N
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
-9482.04000000
-0.00116344524
N/A
DFE
N/A
N
2
Barclays Bank
G5GSEF7VJP5I7OUK5573
3916532.88000000
ZAR
258000.00000000
USD
2022-04-20
-9482.04000000
N
N
N
Texas Eastern Transmission LP
549300SIOULUXXIDGA69
Texas Eastern Transmission LP
882389CC1
140000.00000000
PA
USD
173979.90000000
0.021347314269
Long
DBT
CORP
US
N
2
2032-07-15
Fixed
7.00000000
N
N
N
N
N
N
United States of America
254900HROIFWPRGM1V77
U.S. Treasury Bonds
912810SL3
-217000.00000000
PA
USD
-195461.06000000
-0.02398305019
Short
DBT
UST
US
N
2
2050-02-15
Fixed
2.00000000
N
N
N
N
N
N
Dell International LLC
N/A
Dell International LLC
24703TAC0
83000.00000000
PA
USD
88588.66000000
0.010869818672
Long
DBT
CORP
US
N
2
2025-07-15
Fixed
5.85000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Uniform Mortgage-Backed Securities
3138WHXT4
151163.95000000
PA
USD
150274.79000000
0.018438699923
Long
ABS-MBS
USGSE
US
N
2
2046-09-01
Fixed
3.00000000
N
N
N
N
N
N
Global Payments, Inc.
549300NOMHGVQBX6S778
Global Payments, Inc.
37940XAG7
60000.00000000
PA
USD
56314.52000000
0.006909785304
Long
DBT
CORP
US
N
2
2027-01-15
Fixed
2.15000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Uniform Mortgage-Backed Securities
3138EH3N0
70589.01000000
PA
USD
77874.21000000
0.009555156856
Long
ABS-MBS
USGSE
US
N
2
2040-05-01
Fixed
6.50000000
N
N
N
N
N
N
RELX Capital, Inc.
2R15C3RTKJN1RCBOV146
RELX Capital, Inc.
74949LAC6
404000.00000000
PA
USD
414400.50000000
0.050846894996
Long
DBT
CORP
US
N
2
2029-03-18
Fixed
4.00000000
N
N
N
N
N
N
N/A
N/A
U.S. Treasury Long Bond
N/A
210.00000000
NC
USD
-846608.74000000
-0.10387879769
N/A
DIR
US
N
1
CME Clearing House
LCZ7XYGSLJUHFXXNXD88
Long
N/A
U.S. Treasury Long Bond
2022-06-21
31552500.00000000
USD
-846608.74000000
N
N
N
Credit-Based Asset Servicing & Securitization LLC
N/A
Credit-Based Asset Servicing & Securitization LLC, Series 2007-CB6, Class A4
1248RHAD9
39741.34000000
PA
USD
30321.83000000
0.003720485149
Long
ABS-O
CORP
US
N
2
2037-07-25
Floating
0.79656840
N
N
N
N
N
N
Bayview Financial Revolving Asset Trust
N/A
Bayview Financial Revolving Asset Trust, Series 2005-E, Class A1
073250BV3
34533.54270000
PA
USD
33692.92000000
0.004134117515
Long
ABS-O
CORP
US
N
2
2040-12-28
Floating
1.44713880
N
N
N
N
N
N
L3Harris Technologies, Inc.
549300UTE50ZMDBG8A20
L3Harris Technologies, Inc.
502431AF6
300000.00000000
PA
USD
288372.83000000
0.035383313984
Long
DBT
CORP
US
N
2
2029-12-15
Fixed
2.90000000
N
N
N
N
N
N
N/A
N/A
NDIRS
N/A
688128000.00000000
PA
65938.87000000
0.008090691973
N/A
DIR
US
N
2
Bank of America NA
B4TYDEB6GKMZO031MB27
Y
2023-04-01
0.00000000
USD
0.00000000
USD
688128000.00000000
CLP
65938.87000000
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Uniform Mortgage-Backed Securities
3140XFGT2
932106.14410000
PA
USD
893516.89000000
0.109634422456
Long
ABS-MBS
USGSE
US
N
2
2052-01-01
Fixed
2.50000000
N
N
N
N
N
N
N/A
N/A
CDS
N/A
1718000.00000000
PA
USD
-18095.06000000
-0.00222026183
N/A
DCR
GB
N
2
Barclays Bank plc
G5GSEF7VJP5I7OUK5573
Federative Republic of Brazil
Federative Republic of Brazil
Y
Receipt of notional amount upon default event with regard to the reference instrument
2027-06-20
104667.03000000
USD
0.00000000
USD
1718000.00000000
USD
-18095.06000000
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Government National Mortgage Association
36179QJV4
5029.76000000
PA
USD
5520.66000000
0.000677384364
Long
ABS-MBS
USGA
US
N
2
2044-07-20
Fixed
5.00000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Uniform Mortgage-Backed Securities
3140QNE57
645918.15150000
PA
USD
620588.15000000
0.076146096587
Long
ABS-MBS
USGSE
US
N
2
2052-02-01
Fixed
2.50000000
N
N
N
N
N
N
Tenet Healthcare Corp.
0W9AIBT6U6ADJ2I8HK17
Tenet Healthcare Corp.
88033GDN7
163000.00000000
PA
USD
156468.59000000
0.019198678490
Long
DBT
CORP
US
N
2
2030-01-15
Fixed
4.37500000
N
N
N
N
N
N
Edison International
549300I7ROF15MAEVP56
Edison International
281020AL1
42000.00000000
PA
USD
42037.23000000
0.005157963418
Long
DBT
CORP
US
N
2
2022-09-15
Fixed
2.40000000
N
N
N
N
N
N
BP Capital Markets America, Inc.
5493009NTB34VXE1T760
BP Capital Markets America, Inc.
10373QAB6
145000.00000000
PA
USD
149395.99000000
0.018330871261
Long
DBT
CORP
US
N
2
2025-09-21
Fixed
3.79600000
N
N
N
N
N
N
Deutsche Telekom International Finance BV
529900ERDFHS6C1M4U58
Deutsche Telekom International Finance BV
25156PBA0
150000.00000000
PA
USD
151414.74000000
0.018578571661
Long
DBT
CORP
NL
N
2
2027-01-19
Fixed
3.60000000
N
N
N
N
N
N
Boardwalk Pipelines LP
549300W6AQ2GHHCGL606
Boardwalk Pipelines LP
096630AG3
53000.00000000
PA
USD
54812.08000000
0.006725436084
Long
DBT
CORP
US
N
2
2029-05-03
Fixed
4.80000000
N
N
N
N
N
N
Morgan Stanley
IGJSJL3JD5P30I6NJZ34
Morgan Stanley
6174468J1
3000.00000000
PA
USD
2969.91000000
0.000364407624
Long
DBT
CORP
US
N
2
2025-07-22
Variable
2.72000160
N
N
N
N
N
N
CCO Holdings LLC
N/A
CCO Holdings LLC
1248EPCB7
92000.00000000
PA
USD
92000.00000000
0.011288389709
Long
DBT
CORP
US
N
2
2029-06-01
Fixed
5.37500000
N
N
N
N
N
N
Bayview Commercial Asset Trust
N/A
Bayview Commercial Asset Trust, Series 2007-4A, Class A1
07326BAA5
100454.06000000
PA
USD
94444.70000000
0.011588354125
Long
ABS-MBS
CORP
US
N
2
2037-09-25
Floating
0.90657000
N
N
N
N
N
N
WP Carey, Inc.
54930042CRNE713E3Q67
WP Carey, Inc.
92936UAG4
283000.00000000
PA
USD
255036.50000000
0.031292950022
Long
DBT
CORP
US
N
2
2031-02-01
Fixed
2.40000000
N
N
N
N
N
N
Federal Home Loan Mortgage Corp.
S6XOOCT0IEG5ABCC6L87
Federal Home Loan Mortgage Corp.
312942H40
28904.14000000
PA
USD
30258.91000000
0.003712764872
Long
ABS-MBS
USGSE
US
N
2
2040-09-01
Fixed
4.00000000
N
N
N
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
6509.32000000
0.000798692835
N/A
DFE
N/A
N
2
Bank of America
B4TYDEB6GKMZO031MB27
126000.00000000
USD
1936292.40000000
ZAR
2022-04-01
6509.32000000
N
N
N
United States of America
254900HROIFWPRGM1V77
U.S. Treasury Bonds
912810RC4
528000.00000000
PA
USD
612562.50000000
0.075161350230
Long
DBT
UST
US
N
2
2043-08-15
Fixed
3.62500000
N
N
N
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
560.43000000
0.000068764698
N/A
DFE
N/A
N
2
UBS
BFM8T61CT2L1QCEMIK50
1832985.76000000
ZAR
126000.00000000
USD
2022-04-01
560.43000000
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Uniform Mortgage-Backed Securities
3140QLSW7
122879.01160000
PA
USD
129000.64000000
0.015828364098
Long
ABS-MBS
USGSE
US
N
2
2051-08-01
Fixed
4.00000000
N
N
N
N
N
N
General Motors Financial Co., Inc.
5493008B6JBRUJ90QL97
General Motors Financial Co., Inc.
37045XDP8
452000.00000000
PA
USD
404496.03000000
0.049631617635
Long
DBT
CORP
US
N
2
2028-10-15
Fixed
2.40000000
N
N
N
N
N
N
N/A
N/A
USCPI
N/A
3480000.00000000
PA
USD
-308484.94000000
-0.03785106763
N/A
DO
GB
N
2
LCH Clearnet
549300TXTCI7WVVJS380
Y
2031-05-21
0.00000000
USD
0.00000000
USD
3480000.00000000
USD
-308484.94000000
N
N
N
Federal Home Loan Mortgage Corp.
S6XOOCT0IEG5ABCC6L87
Uniform Mortgage-Backed Securities
3132DMR49
525072.85000000
PA
USD
549260.05000000
0.067394146696
Long
ABS-MBS
USGSE
US
N
2
2045-09-01
Fixed
4.00000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Uniform Mortgage-Backed Securities
31418CXN9
24207.97270000
PA
USD
24816.67000000
0.003045002633
Long
ABS-MBS
USGSE
US
N
2
2048-06-01
Fixed
4.00000000
N
N
N
N
N
N
United States of America
254900HROIFWPRGM1V77
U.S. Treasury Bonds
912810QE1
432000.00000000
PA
USD
566021.25000000
0.069450744061
Long
DBT
UST
US
N
2
2040-02-15
Fixed
4.62500000
N
N
N
N
N
N
Citigroup, Inc.
6SHGI4ZSSLCXXQSBB395
Citigroup, Inc.
17327CAN3
788000.00000000
PA
USD
758591.01000000
0.093079032072
Long
DBT
CORP
US
N
2
2026-01-25
Variable
2.01399840
N
N
N
N
N
N
Sumitomo Mitsui Financial Group, Inc.
35380028MYWPB6AUO129
Sumitomo Mitsui Financial Group, Inc.
86562MAC4
75000.00000000
PA
USD
75848.03000000
0.009306544796
Long
DBT
CORP
JP
N
2
2026-03-09
Fixed
3.78400000
N
N
N
N
N
N
Capital One Financial Corp.
ZUE8T73ROZOF6FLBAR73
Capital One Financial Corp.
14040HCN3
257000.00000000
PA
USD
248147.75000000
0.030447701167
Long
DBT
CORP
US
N
2
2030-03-01
Variable
3.27300120
N
N
N
N
N
N
BAMLL Commercial Mortgage Securities Trust
N/A
BAMLL Commercial Mortgage Securities Trust, Series 2017-SCH, Class CL
054966AU0
100000.00000000
PA
USD
87691.00000000
0.010759675891
Long
ABS-MBS
CORP
US
N
2
2032-11-15
Floating
1.89699840
N
N
N
N
N
N
General Motors Financial Co., Inc.
5493008B6JBRUJ90QL97
General Motors Financial Co., Inc.
37045XCX2
318000.00000000
PA
USD
308860.37000000
0.037897132850
Long
DBT
CORP
US
N
2
2025-06-20
Fixed
2.75000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Uniform Mortgage-Backed Securities
3140QNEJ7
237664.66420000
PA
USD
221475.60000000
0.027175031346
Long
ABS-MBS
USGSE
US
N
2
2052-02-01
Fixed
2.00000000
N
N
N
N
N
N
AstraZeneca plc
PY6ZZQWO2IZFZC3IOL08
AstraZeneca plc
046353AW8
417000.00000000
PA
USD
363386.89000000
0.044587530755
Long
DBT
CORP
GB
N
2
2030-08-06
Fixed
1.37500000
N
N
N
N
N
N
Federal Home Loan Mortgage Corp.
S6XOOCT0IEG5ABCC6L87
Federal Home Loan Mortgage Corp.
3132WJUE9
24838.17000000
PA
USD
24683.63000000
0.003028678639
Long
ABS-MBS
USGSE
US
N
2
2046-12-01
Fixed
3.00000000
N
N
N
N
N
N
Banco Mercantil del Norte SA
549300QTVYRPFHS0J362
Banco Mercantil del Norte SA
05973KAA5
200000.00000000
PA
USD
184287.50000000
0.022612055636
Long
DBT
CORP
MX
N
2
2027-01-24
Variable
5.87499840
N
N
N
N
N
N
Morgan Stanley
IGJSJL3JD5P30I6NJZ34
Morgan Stanley
6174468P7
130000.00000000
PA
USD
129323.71000000
0.015868004751
Long
DBT
CORP
US
N
2
2031-04-01
Variable
3.62199960
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Uniform Mortgage-Backed Securities
3140GSRR5
20209.62700000
PA
USD
20792.61000000
0.002551250921
Long
ABS-MBS
USGSE
US
N
2
2047-10-01
Fixed
4.00000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Government National Mortgage Association
36196FZJ6
21998.95000000
PA
USD
22384.54000000
0.002746580554
Long
ABS-MBS
USGA
US
N
2
2046-10-20
Fixed
3.50000000
N
N
N
N
N
N
Commonwealth Edison Co.
D8YOXB8L2ZDC8P7Q0771
Commonwealth Edison Co., Series 131
202795JU5
86000.00000000
PA
USD
73069.40000000
0.008965607206
Long
DBT
CORP
US
N
2
2051-09-01
Fixed
2.75000000
N
N
N
N
N
N
United States of America
254900HROIFWPRGM1V77
U.S. Treasury Notes
912828ZL7
7368000.00000000
PA
USD
6899153.46000000
0.846525357819
Long
DBT
UST
US
N
2
2025-04-30
Fixed
0.37500000
N
N
N
N
N
N
N/A
N/A
USD/COP One-touch barrier option; Barrier price USD 4,100.00000
N/A
42000.00000000
PA
USD
4032.28000000
0.000494760304
N/A
DFE
GB
N
2
Morgan Stanley & Co. International plc
4PQUHN3JPFGFNF3BB653
Call
Purchased
N/A
USD/COP One-touch barrier option; Barrier price USD 4,100.00000
1.00000000
4100.00000000
USD
2022-05-19
XXXX
-1238.72000000
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Uniform Mortgage-Backed Securities
3140QE2F8
49651.27640000
PA
USD
50994.63000000
0.006257035396
Long
ABS-MBS
USGSE
US
N
2
2050-09-01
Fixed
4.00000000
N
N
N
N
N
N
Aon Corp.
N/A
Aon Corp.
03740LAE2
21000.00000000
PA
USD
20725.17000000
0.002542976040
Long
DBT
CORP
US
N
2
2052-02-28
Fixed
3.90000000
N
N
N
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
5508.14000000
0.000675848161
N/A
DFE
N/A
N
2
Citibank
MBNUM2BPBDO7JBLYG310
126000.00000000
USD
2615697.00000000
MXN
2022-04-01
5508.14000000
N
N
N
Federal Home Loan Mortgage Corp.
S6XOOCT0IEG5ABCC6L87
Federal Home Loan Mortgage Corp.
3128M9ZF2
14980.56000000
PA
USD
16206.60000000
0.001988548007
Long
ABS-MBS
USGSE
US
N
2
2041-10-01
Fixed
5.00000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Uniform Mortgage-Backed Securities
3140FG5Z8
5803.61000000
PA
USD
5761.34000000
0.000706915773
Long
ABS-MBS
USGSE
US
N
2
2046-11-01
Fixed
3.00000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Uniform Mortgage-Backed Securities
3138WCSJ3
19379.91000000
PA
USD
19581.48000000
0.002402645405
Long
ABS-MBS
USGSE
US
N
2
2029-09-01
Fixed
3.00000000
N
N
N
N
N
N
Citizens Financial Group, Inc.
2138004JDDA4ZQUPFW65
Citizens Financial Group, Inc.
174610AT2
143000.00000000
PA
USD
139759.77000000
0.017148508145
Long
DBT
CORP
US
N
2
2030-04-30
Fixed
3.25000000
N
N
N
N
N
N
N/A
N/A
USD Currency
N/A
588000.00000000
PA
USD
343.12000000
0.000042100785
N/A
DFE
US
N
2
Bank of America NA
B4TYDEB6GKMZO031MB27
Call
Purchased
N/A
USD Currency
1.00000000
15.50000000
USD
2022-04-12
XXXX
-10155.62000000
N
N
N
Devon Energy Corp.
54930042348RKR3ZPN35
Devon Energy Corp.
25179MBE2
17000.00000000
PA
USD
17997.72000000
0.002208318230
Long
DBT
CORP
US
N
2
2028-06-15
Fixed
5.87500000
N
N
N
N
N
N
DBGS Mortgage Trust
N/A
DBGS Mortgage Trust, Series 2019-1735, Class F
23307EAN1
100000.00000000
PA
USD
83117.41000000
0.010198496909
Long
ABS-MBS
CORP
US
N
2
2037-04-10
Variable
4.19455080
N
N
N
N
N
N
Genneia SA
529900YZ70LX0XWS9P67
Genneia SA
372319AB9
36560.00000000
PA
USD
34498.93000000
0.004233014852
Long
DBT
CORP
AR
N
2
2027-09-02
Fixed
8.75000000
N
N
N
N
N
N
General Motors Financial Co., Inc.
5493008B6JBRUJ90QL97
General Motors Financial Co., Inc.
37045XCR5
173000.00000000
PA
USD
178857.95000000
0.021945850458
Long
DBT
CORP
US
N
2
2024-01-17
Fixed
5.10000000
N
N
N
N
N
N
Bank of America Corp.
9DJT3UXIJIZJI4WXO774
Bank of America Corp.
06051GHW2
1943000.00000000
PA
USD
1909192.79000000
0.234257741775
Long
DBT
CORP
US
N
2
2025-10-22
Variable
2.45599920
N
N
N
N
N
N
Agilent Technologies, Inc.
QUIX8Y7A2WP0XRMW7G29
Agilent Technologies, Inc.
00846UAL5
133000.00000000
PA
USD
126833.27000000
0.015562428041
Long
DBT
CORP
US
N
2
2029-09-15
Fixed
2.75000000
N
N
N
N
N
N
AEP Transmission Co. LLC
549300X123Z1I0LA3Y84
AEP Transmission Co. LLC
00115AAL3
222000.00000000
PA
USD
196568.27000000
0.024118904741
Long
DBT
CORP
US
N
2
2049-09-15
Fixed
3.15000000
N
N
N
N
N
N
JPMorgan Chase & Co.
8I5DZWZKVSZI1NUHU748
JPMorgan Chase & Co.
46647PCJ3
80000.00000000
PA
USD
73724.41000000
0.009045976860
Long
DBT
CORP
US
N
2
2029-06-01
Variable
2.06899920
N
N
N
N
N
N
Conseco Finance Corp.
N/A
Conseco Finance Corp., Series 1997-3, Class M1
393505TZ5
27372.63000000
PA
USD
26748.11000000
0.003281990105
Long
ABS-O
CORP
US
N
2
2028-03-15
Variable
7.53000120
N
N
N
N
N
N
Octagon Investment Partners XVI Ltd.
N/A
Octagon Investment Partners XVI Ltd., Series 2013-1A, Class A1R
67590BAQ3
250000.00000000
PA
USD
247904.00000000
0.030417793070
Long
ABS-CBDO
CORP
KY
N
2
2030-07-17
Floating
1.26128880
N
N
N
N
N
N
Wachovia Asset Securitization Issuance II LLC Trust
N/A
Wachovia Asset Securitization Issuance II LLC Trust, Series 2007-HE2A, Class A
92978LAA6
41492.09000000
PA
USD
41048.96000000
0.005036702800
Long
ABS-O
CORP
US
N
2
2037-07-25
Floating
0.58656960
N
N
N
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
-3206.08000000
-0.00039338565
N/A
DFE
N/A
N
2
Goldman Sachs International
W22LROWP2IHZNBB6K528
405670.40000000
BRL
82000.00000000
USD
2022-04-04
-3206.08000000
N
N
N
Citigroup, Inc.
6SHGI4ZSSLCXXQSBB395
Citigroup, Inc., Series W
172967MU2
770000.00000000
PA
USD
739200.00000000
0.090699757314
Long
DBT
CORP
US
N
2
2025-12-10
Variable
3.99999960
N
N
N
N
N
N
AT&T, Inc.
549300Z40J86GGSTL398
AT&T, Inc.
00206RCP5
568000.00000000
PA
USD
601711.20000000
0.073829896934
Long
DBT
CORP
US
N
2
2035-05-15
Fixed
4.50000000
N
N
N
N
N
N
United States of America
254900HROIFWPRGM1V77
U.S. Treasury Bonds
912810SK5
608000.00000000
PA
USD
594747.50000000
0.072975451722
Long
DBT
UST
US
N
2
2049-11-15
Fixed
2.37500000
N
N
N
N
N
N
Vistra Operations Co. LLC
549300ZH5GKBTJZ7NM23
Vistra Operations Co. LLC
92840VAE2
503000.00000000
PA
USD
485514.77000000
0.059572607970
Long
DBT
CORP
US
N
2
2029-07-15
Fixed
4.30000000
N
N
N
N
N
N
HCA, Inc.
L3CJ6J7LJ2DX62FTXD46
HCA, Inc.
404119CG2
200000.00000000
PA
USD
201554.14000000
0.024730670432
Long
DBT
CORP
US
N
2
2052-03-15
Fixed
4.62500000
N
N
N
N
N
N
N/A
N/A
CDSCMBX
N/A
119827.48392000
PA
USD
-2203.29000000
-0.00027034343
N/A
DCR
DE
N
2
Deutsche Bank AG
7LTWFZYICNSX8D621K86
Markit CMBX North American AAA 9
Markit CMBX North American AAA 9
Y
Receipt of notional amount upon default event with regard to the reference instrument
2058-09-17
1489.96000000
USD
0.00000000
USD
119827.00000000
USD
-2203.29000000
N
N
N
N/A
N/A
CDS
N/A
540461.50000000
PA
USD
-6038.35000000
-0.00074090486
N/A
DCR
GB
N
2
Morgan Stanley & Co. International plc
4PQUHN3JPFGFNF3BB653
Republic of South Africa
Republic of South Africa
Y
Receipt of notional amount upon default event with regard to the reference instrument
2027-06-20
33492.74000000
USD
0.00000000
USD
540461.50000000
USD
-6038.35000000
N
N
N
N/A
N/A
CDS
N/A
122000.00000000
PA
USD
-973.11000000
-0.00011940048
N/A
DCR
GB
N
2
Barclays Bank plc
G5GSEF7VJP5I7OUK5573
Federative Republic of Brazil
Federative Republic of Brazil
Y
Receipt of notional amount upon default event with regard to the reference instrument
2024-12-20
1678.05000000
USD
0.00000000
USD
122000.00000000
USD
-973.11000000
N
N
N
Glencore Funding LLC
213800STG1QDNBY87K49
Glencore Funding LLC
378272BG2
186000.00000000
PA
USD
166378.66000000
0.020414642971
Long
DBT
CORP
US
N
2
2031-09-23
Fixed
2.62500000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Uniform Mortgage-Backed Securities
3138WJEN4
42520.12050000
PA
USD
42137.00000000
0.005170205186
Long
ABS-MBS
USGSE
US
N
2
2031-11-01
Fixed
2.50000000
N
N
N
N
N
N
N/A
N/A
Euro-Buxl
N/A
-8.00000000
NC
42932.86000000
0.005267857119
N/A
DIR
DE
N
1
Eurex Clearing
529900LN3S50JPU47S06
Short
N/A
EUR Currency
2022-06-08
-1489600.00000000
EUR
42932.86000000
N
N
N
Federal Home Loan Mortgage Corp.
S6XOOCT0IEG5ABCC6L87
Uniform Mortgage-Backed Securities
3132DMYM1
1130556.53910000
PA
USD
1053832.36000000
0.129305112692
Long
ABS-MBS
USGSE
US
N
2
2051-07-01
Fixed
2.00000000
N
N
N
N
N
N
Texas Eastern Transmission LP
549300SIOULUXXIDGA69
Texas Eastern Transmission LP
882384AD2
504000.00000000
PA
USD
500862.63000000
0.061455788675
Long
DBT
CORP
US
N
2
2028-01-15
Fixed
3.50000000
N
N
N
N
N
N
Federal Home Loan Mortgage Corp.
S6XOOCT0IEG5ABCC6L87
Federal Home Loan Mortgage Corp.
3132KFAE2
1542.71000000
PA
USD
1528.88000000
0.000187593404
Long
ABS-MBS
USGSE
US
N
2
2030-07-01
Fixed
2.50000000
N
N
N
N
N
N
N/A
N/A
OIS
N/A
272740000.00000000
PA
USD
-198645.55000000
-0.02437378676
N/A
DIR
GB
N
2
LCH Clearnet
549300TXTCI7WVVJS380
Y
2022-09-21
0.00000000
USD
0.00000000
USD
272740000.00000000
USD
-198645.55000000
N
N
N
Option One Mortgage Loan Trust
N/A
Option One Mortgage Loan Trust, Series 2007-FXD1, Class 1A1
68402VAA0
75185.71000000
PA
USD
68786.38000000
0.008440081131
Long
ABS-O
CORP
US
N
2
2037-01-25
Variable
5.86599840
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Uniform Mortgage-Backed Securities
3138WQPF3
15678.26000000
PA
USD
15840.95000000
0.001943682793
Long
ABS-MBS
USGSE
US
N
2
2028-04-01
Fixed
3.00000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Uniform Mortgage-Backed Securities
3138WJH35
15218.28000000
PA
USD
15218.97000000
0.001867365916
Long
ABS-MBS
USGSE
US
N
2
2036-11-01
Fixed
3.00000000
N
N
N
N
N
N
Lehman Brothers Holdings, Inc.
549300FDK6ZP3YIHRJ47
Lehman Brothers Holdings, Inc.
N/A
1025000.00000000
PA
USD
0.10000000
0.000000012269
Long
DBT
CORP
US
N
3
2017-11-01
Fixed
6.75000000
Y
N
N
N
N
N
CenterPoint Energy Houston Electric LLC
549300S8SEQBOJLKHW63
CenterPoint Energy Houston Electric LLC, Series AF
15189XAW8
195000.00000000
PA
USD
185687.48000000
0.022783833025
Long
DBT
CORP
US
N
2
2051-04-01
Fixed
3.35000000
N
N
N
N
N
N
Ambac Assurance Corp.
549300RYYRVPPB8NC636
Ambac Assurance Corp.
023138AA8
14845.29410000
PA
USD
16775.18000000
0.002058312709
Long
DBT
CORP
US
N
2
2049-12-31
Fixed
5.10000000
N
N
N
N
N
N
Analog Devices, Inc.
GYVOE5EZ4GDAVTU4CQ61
Analog Devices, Inc.
032654AW5
120000.00000000
PA
USD
107670.49000000
0.013211157079
Long
DBT
CORP
US
N
2
2041-10-01
Fixed
2.80000000
N
N
N
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
-2984.38000000
-0.00036618309
N/A
DFE
N/A
N
2
HSBC Bank
MP6I5ZYZBEU3UXPYFY54
2512828.50000000
MXN
123000.00000000
USD
2022-04-20
-2984.38000000
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Uniform Mortgage-Backed Securities
31417GWY8
55620.23000000
PA
USD
55539.12000000
0.006814643811
Long
ABS-MBS
USGSE
US
N
2
2043-06-01
Fixed
3.00000000
N
N
N
N
N
N
Morgan Stanley Capital I Trust
N/A
Morgan Stanley Capital I Trust, Series 2016-UBS9, Class XD
61766CAM1
1000000.00000000
PA
USD
56540.00000000
0.006937451675
Long
ABS-MBS
CORP
US
N
2
2049-03-15
Variable
1.60665120
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Government National Mortgage Association
21H020642
9583100.00000000
PA
USD
9115923.88000000
1.118522840390
Long
ABS-MBS
USGA
US
N
2
2052-04-15
Fixed
2.00000000
N
N
N
N
N
N
N/A
N/A
OIS
N/A
12670000.00000000
PA
-7388.83000000
-0.00090660861
N/A
DIR
GB
N
2
LCH Clearnet
549300TXTCI7WVVJS380
Y
2027-03-25
0.00000000
USD
0.00000000
USD
12670000.00000000
EUR
-7388.83000000
N
N
N
Bausch Health Cos., Inc.
B3BS7ACMDUWISF18KY76
Bausch Health Cos., Inc.
071734AF4
51000.00000000
PA
USD
43499.43000000
0.005337375195
Long
DBT
CORP
CA
N
2
2029-05-30
Fixed
7.25000000
N
N
N
N
N
N
Anheuser-Busch InBev Worldwide, Inc.
549300CRGMZK3K53BF92
Anheuser-Busch InBev Worldwide, Inc.
035240AL4
1299000.00000000
PA
USD
1345973.15000000
0.165150754947
Long
DBT
CORP
US
N
2
2028-04-13
Fixed
4.00000000
N
N
N
N
N
N
Federal Home Loan Mortgage Corp.
S6XOOCT0IEG5ABCC6L87
Federal Home Loan Mortgage Corp.
31307UV47
21148.90990000
PA
USD
21384.58000000
0.002623885573
Long
ABS-MBS
USGSE
US
N
2
2032-11-01
Fixed
3.00000000
N
N
N
N
N
N
FedEx Corp.
549300E707U7WNPZN687
FedEx Corp.
31428XCD6
69000.00000000
PA
USD
62983.20000000
0.007728031594
Long
DBT
CORP
US
N
2
2031-05-15
Fixed
2.40000000
N
N
N
N
N
N
One Market Plaza Trust
N/A
One Market Plaza Trust, Series 2017-1MKT, Class XNCP
68245HAU8
376000.00000000
PA
USD
376.00000000
0.000046135157
Long
ABS-MBS
CORP
US
N
3
2032-02-10
Variable
0.09016920
N
N
N
N
N
N
Charter Communications Operating LLC
N/A
Charter Communications Operating LLC
161175CA0
154000.00000000
PA
USD
129869.77000000
0.015935006252
Long
DBT
CORP
US
N
2
2052-06-01
Fixed
3.90000000
N
N
N
N
N
N
Lockheed Martin Corp.
DPRBOZP0K5RM2YE8UU08
Lockheed Martin Corp.
539830BD0
112000.00000000
PA
USD
114363.51000000
0.014032389884
Long
DBT
CORP
US
N
2
2045-03-01
Fixed
3.80000000
N
N
N
N
N
N
American Home Mortgage Assets Trust
N/A
American Home Mortgage Assets Trust, Series 2007-1, Class A1
02660BAA0
53171.96000000
PA
USD
26539.69000000
0.003256416994
Long
ABS-MBS
CORP
US
N
2
2047-02-25
Floating
0.84112920
N
N
N
N
N
N
L3Harris Technologies, Inc.
549300UTE50ZMDBG8A20
L3Harris Technologies, Inc.
502431AN9
701000.00000000
PA
USD
609081.15000000
0.074734188974
Long
DBT
CORP
US
N
2
2031-01-15
Fixed
1.80000000
N
N
N
N
N
N
Commercial Mortgage Trust
N/A
Commercial Mortgage Trust, Series 2015-3BP, Class XA
12592TAC9
1916000.00000000
PA
USD
4981.60000000
0.000611241762
Long
ABS-MBS
CORP
US
N
2
2035-02-10
Variable
0.06040080
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Uniform Mortgage-Backed Securities
31410KFF6
9076.21000000
PA
USD
10138.59000000
0.001244003858
Long
ABS-MBS
USGSE
US
N
2
2038-05-01
Fixed
6.00000000
N
N
N
N
N
N
Federal National Mortgage Association or Federal Home Loan Mortgage Corp.
N/A
Uniform Mortgage-Backed Securities
01F040651
16959000.00000000
PA
USD
17244397.42000000
2.115885634516
Long
ABS-MBS
USGSE
US
N
2
2052-05-25
Fixed
4.00000000
N
N
N
N
N
N
Citicorp Mortgage Securities Trust
N/A
Citicorp Mortgage Securities Trust, Series 2007-9, Class 1A1
17313VAA5
45067.15000000
PA
USD
39044.12000000
0.004790709156
Long
ABS-MBS
CORP
US
N
2
2037-12-25
Fixed
6.25000000
N
N
N
N
N
N
Federal Home Loan Mortgage Corp.
S6XOOCT0IEG5ABCC6L87
Uniform Mortgage-Backed Securities
3132DMY33
64233.59070000
PA
USD
59754.56000000
0.007331877827
Long
ABS-MBS
USGSE
US
N
2
2051-09-01
Fixed
2.00000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Uniform Mortgage-Backed Securities
3140QDYC2
400000.08020000
PA
USD
409233.22000000
0.050212870318
Long
ABS-MBS
USGSE
US
N
2
2050-06-01
Fixed
4.00000000
N
N
N
N
N
N
Southern California Edison Co.
9R1Z5I36FERIBVKW4P77
Southern California Edison Co., Series G
842400HD8
227000.00000000
PA
USD
206571.63000000
0.025346315894
Long
DBT
CORP
US
N
2
2031-06-01
Fixed
2.50000000
N
N
N
N
N
N
N/A
N/A
CDS
N/A
170000.00000000
PA
USD
-1311.46000000
-0.00016091599
N/A
DCR
GB
N
2
Barclays Bank plc
G5GSEF7VJP5I7OUK5573
Federative Republic of Brazil
Federative Republic of Brazil
Y
Receipt of notional amount upon default event with regard to the reference instrument
2024-12-20
2293.76000000
USD
0.00000000
USD
170000.00000000
USD
-1311.46000000
N
N
N
Stoneway Capital Corp.
549300CV1RKODDF74O91
Stoneway Capital Corp.
86188PAA5
132837.45000000
PA
USD
36887.30000000
0.004526067583
Long
DBT
CORP
CA
N
2
2027-03-01
Fixed
10.00000000
Y
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Uniform Mortgage-Backed Securities
31418EBJ8
189482.16770000
PA
USD
177062.49000000
0.021725547717
Long
ABS-MBS
USGSE
US
N
2
2042-02-01
Fixed
2.00000000
N
N
N
N
N
N
Paramount Global
5KYC8KF17ROCY24M3H09
Paramount Global
92553PAU6
134000.00000000
PA
USD
154390.99000000
0.018943757203
Long
DBT
CORP
US
N
2
2043-09-01
Fixed
5.85000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Uniform Mortgage-Backed Securities
3140QLSV9
133568.00220000
PA
USD
137252.62000000
0.016840881121
Long
ABS-MBS
USGSE
US
N
2
2051-08-01
Fixed
4.00000000
N
N
N
N
N
N
JPMorgan Chase & Co.
8I5DZWZKVSZI1NUHU748
JPMorgan Chase & Co.
46647PCW4
1424000.00000000
PA
USD
1389647.75000000
0.170509623482
Long
DBT
CORP
US
N
2
2028-02-24
Variable
2.94699960
N
N
N
N
N
N
Lehman Brothers Holdings, Inc.
549300FDK6ZP3YIHRJ47
Lehman Brothers Holdings, Inc.
N/A
185000.00000000
PA
USD
0.02000000
0.000000002453
Long
DBT
CORP
US
N
3
2049-11-01
Fixed
5.85700000
Y
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Uniform Mortgage-Backed Securities
3138ALJW8
10906.13000000
PA
USD
11760.42000000
0.001443002218
Long
ABS-MBS
USGSE
US
N
2
2041-07-01
Fixed
5.00000000
N
N
N
N
N
N
Sabine Pass Liquefaction LLC
549300KJYBG7C6WJYZ11
Sabine Pass Liquefaction LLC
785592AJ5
888000.00000000
PA
USD
929414.54000000
0.114039060095
Long
DBT
CORP
US
N
2
2024-05-15
Fixed
5.75000000
N
N
N
N
N
N
Tenet Healthcare Corp.
0W9AIBT6U6ADJ2I8HK17
Tenet Healthcare Corp.
88033GCX6
220000.00000000
PA
USD
225850.90000000
0.027711880166
Long
DBT
CORP
US
N
2
2027-02-01
Fixed
6.25000000
N
N
N
N
N
N
Amgen, Inc.
62QBXGPJ34PQ72Z12S66
Amgen, Inc.
031162BZ2
472000.00000000
PA
USD
495637.32000000
0.060814643723
Long
DBT
CORP
US
N
2
2045-05-01
Fixed
4.40000000
N
N
N
N
N
N
Republic of Peru
254900STKLK2DBJJZ530
Republic of Peru
715638DT6
356000.00000000
PA
USD
332148.00000000
0.040754522446
Long
DBT
NUSS
PE
N
2
2051-03-10
Fixed
3.55000000
N
N
N
N
N
N
CWHEQ Revolving Home Equity Loan Resuritization Trust
N/A
CWHEQ Revolving Home Equity Loan Resuritization Trust, Series 2006-RES, Class 4Q1B
23242YAT2
8726.00000000
PA
USD
8677.83000000
0.001064768770
Long
ABS-O
CORP
US
N
2
2033-12-15
Floating
0.69657120
N
N
N
N
N
N
Cigna Corp.
549300VIWYMSIGT1U456
Cigna Corp.
125523CB4
402000.00000000
PA
USD
405715.61000000
0.049781259964
Long
DBT
CORP
US
N
2
2027-03-01
Fixed
3.40000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Uniform Mortgage-Backed Securities
3140QGSZ1
87039.21750000
PA
USD
90912.77000000
0.011154986709
Long
ABS-MBS
USGSE
US
N
2
2051-01-01
Fixed
4.00000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Uniform Mortgage-Backed Securities
3140J8GB3
313039.05560000
PA
USD
309849.88000000
0.038018545616
Long
ABS-MBS
USGSE
US
N
2
2033-02-01
Fixed
2.50000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Uniform Mortgage-Backed Securities
31418CYM0
24514.43270000
PA
USD
25072.22000000
0.003076358589
Long
ABS-MBS
USGSE
US
N
2
2048-07-01
Fixed
4.00000000
N
N
N
N
N
N
Federal Home Loan Mortgage Corp.
S6XOOCT0IEG5ABCC6L87
Federal Home Loan Mortgage Corp.
3128M9GP1
27116.41780000
PA
USD
27680.98000000
0.003396453149
Long
ABS-MBS
USGSE
US
N
2
2042-08-01
Fixed
3.50000000
N
N
N
N
N
N
Darling Ingredients, Inc.
L1N0SPPKS7EXZYUMZ898
Darling Ingredients, Inc.
237266AH4
36000.00000000
PA
USD
36720.00000000
0.004505539892
Long
DBT
CORP
US
N
2
2027-04-15
Fixed
5.25000000
N
N
N
N
N
N
Crown Castle International Corp.
54930012H97VSM0I2R19
Crown Castle International Corp.
22822VAJ0
66000.00000000
PA
USD
66445.89000000
0.008152903270
Long
DBT
CORP
US
N
2
2023-07-15
Fixed
3.15000000
N
N
N
N
N
N
Dell International LLC
N/A
Dell International LLC
24703TAE6
128000.00000000
PA
USD
134258.52000000
0.016473505386
Long
DBT
CORP
US
N
2
2026-10-01
Fixed
4.90000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Uniform Mortgage-Backed Securities
3140QLST4
163953.61880000
PA
USD
169487.58000000
0.020796107107
Long
ABS-MBS
USGSE
US
N
2
2051-08-01
Fixed
4.00000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Uniform Mortgage-Backed Securities
3138WJF94
3709.63930000
PA
USD
3616.98000000
0.000443803041
Long
ABS-MBS
USGSE
US
N
2
2031-11-01
Fixed
2.00000000
N
N
N
N
N
N
GS Mortgage Securities Corp. Trust
N/A
GS Mortgage Securities Corp. Trust, Series 2017-GPTX, Class A
36257CAA5
100000.00000000
PA
USD
99712.37000000
0.012234696645
Long
ABS-MBS
CORP
US
N
2
2034-05-10
Fixed
2.85554600
N
N
N
N
N
N
Broadcom, Inc.
549300WV6GIDOZJTV909
Broadcom, Inc.
11135FAS0
211000.00000000
PA
USD
214115.70000000
0.026271972439
Long
DBT
CORP
US
N
2
2032-11-15
Fixed
4.30000000
N
N
N
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
-9151.27000000
-0.00112285980
N/A
DFE
N/A
N
2
Barclays Bank
G5GSEF7VJP5I7OUK5573
3779909.64000000
ZAR
249000.00000000
USD
2022-04-20
-9151.27000000
N
N
N
Seaworld Parks & Entertainment, Inc.
N/A
Seaworld Parks & Entertainment, Inc., Term Loan
N/A
471630.00000000
PA
USD
465380.90000000
0.057102184373
Long
LON
CORP
US
N
2
2022-08-13
Variable
3.50000000
N
N
N
N
N
N
Dollar General Corp.
OPX52SQVOZI8IVSWYU66
Dollar General Corp.
256677AH8
2000.00000000
PA
USD
1995.00000000
0.000244786276
Long
DBT
CORP
US
N
2
2050-04-03
Fixed
4.12500000
N
N
N
N
N
N
CenterPoint Energy Houston Electric LLC
549300S8SEQBOJLKHW63
CenterPoint Energy Houston Electric LLC, Series AH
15189XAY4
34000.00000000
PA
USD
34046.94000000
0.004177555729
Long
DBT
CORP
US
N
2
2052-03-01
Fixed
3.60000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Government National Mortgage Association
21H022655
1500000.00000000
PA
USD
1451601.56000000
0.178111349039
Long
ABS-MBS
USGA
US
N
2
2052-05-15
Fixed
2.50000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Uniform Mortgage-Backed Securities
31418CS54
98633.94200000
PA
USD
101804.26000000
0.012491371314
Long
ABS-MBS
USGSE
US
N
2
2048-01-01
Fixed
4.00000000
N
N
N
N
N
N
United States of America
254900HROIFWPRGM1V77
U.S. Treasury Notes
91282CBU4
4447000.00000000
PA
USD
4377689.32000000
0.537141989886
Long
DBT
UST
US
N
2
2023-03-31
Fixed
0.12500000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Uniform Mortgage-Backed Securities
31418CCL6
12287.03570000
PA
USD
11980.55000000
0.001470012144
Long
ABS-MBS
USGSE
US
N
2
2031-10-01
Fixed
2.00000000
N
N
N
N
N
N
Morgan Stanley
IGJSJL3JD5P30I6NJZ34
Morgan Stanley
6174468G7
961000.00000000
PA
USD
1004806.94000000
0.123289699142
Long
DBT
CORP
US
N
2
2030-01-23
Variable
4.43099880
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Uniform Mortgage-Backed Securities
3140QGS73
91288.31910000
PA
USD
95706.45000000
0.011743170709
Long
ABS-MBS
USGSE
US
N
2
2051-01-01
Fixed
4.00000000
N
N
N
N
N
N
Federal Home Loan Mortgage Corp.
S6XOOCT0IEG5ABCC6L87
Uniform Mortgage-Backed Securities
3132A5H40
182913.81500000
PA
USD
185047.95000000
0.022705362765
Long
ABS-MBS
USGSE
US
N
2
2048-01-01
Fixed
3.50000000
N
N
N
N
N
N
Petroleos Mexicanos
549300CAZKPF4HKMPX17
Petroleos Mexicanos
71654QDH2
124000.00000000
PA
USD
129691.60000000
0.015913144813
Long
DBT
NUSS
MX
N
2
2025-10-16
Fixed
6.87500000
N
N
N
N
N
N
Sabine Pass Liquefaction LLC
549300KJYBG7C6WJYZ11
Sabine Pass Liquefaction LLC
785592AM8
2891000.00000000
PA
USD
3056649.88000000
0.375050598366
Long
DBT
CORP
US
N
2
2025-03-01
Fixed
5.62500000
N
N
N
N
N
N
Option One Mortgage Loan Trust
N/A
Option One Mortgage Loan Trust, Series 2007-FXD1, Class 2A1
68402VAB8
184840.37000000
PA
USD
169940.41000000
0.020851669297
Long
ABS-O
CORP
US
N
2
2037-01-25
Variable
5.86599840
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Uniform Mortgage-Backed Securities
3140X8XE2
425981.33360000
PA
USD
396735.73000000
0.048679429693
Long
ABS-MBS
USGSE
US
N
2
2050-12-01
Fixed
2.00000000
N
N
N
N
N
N
HarborView Mortgage Loan Trust
N/A
HarborView Mortgage Loan Trust, Series 2007-4, Class 2A2
41164YAC5
101213.98000000
PA
USD
92627.41000000
0.011365372845
Long
ABS-MBS
CORP
US
N
2
2047-07-19
Floating
0.69856920
N
N
N
N
N
N
Federal National Mortgage Association or Federal Home Loan Mortgage Corp.
N/A
Uniform Mortgage-Backed Securities
01F020653
14100000.00000000
PA
USD
13062419.22000000
1.602757377162
Long
ABS-MBS
USGSE
US
N
2
2052-05-25
Fixed
2.00000000
N
N
N
N
N
N
Federal Home Loan Mortgage Corp.
S6XOOCT0IEG5ABCC6L87
Federal Home Loan Mortgage Corp.
31335BKV7
110437.50680000
PA
USD
112907.40000000
0.013853725350
Long
ABS-MBS
USGSE
US
N
2
2047-12-01
Fixed
3.50000000
N
N
N
N
N
N
United Airlines Pass-Through Trust
N/A
United Airlines Pass-Through Trust, Series 2020-1, Class A
90931GAA7
695681.33000000
PA
USD
720090.14000000
0.088354979630
Long
DBT
CORP
US
N
2
2027-10-15
Fixed
5.87500000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Government National Mortgage Association
21H040640
-416000.00000000
PA
USD
-424190.00000000
-0.05204806555
Short
ABS-MBS
USGA
US
N
2
2052-04-15
Fixed
4.00000000
N
N
N
N
N
N
RALI Trust
N/A
RALI Trust, Series 2007-QH9, Class A1
749241AA3
24348.29000000
PA
USD
23017.43000000
0.002824236086
Long
ABS-MBS
CORP
US
N
2
2037-11-25
Variable
1.33206480
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Uniform Mortgage-Backed Securities
3140X83Z8
103276.10660000
PA
USD
104425.37000000
0.012812981218
Long
ABS-MBS
USGSE
US
N
2
2049-06-01
Fixed
3.50000000
N
N
N
N
N
N
Comcast Corp.
51M0QTTNCGUN7KFCFZ59
Comcast Corp.
20030NDH1
177000.00000000
PA
USD
178170.51000000
0.021861501647
Long
DBT
CORP
US
N
2
2040-04-01
Fixed
3.75000000
N
N
N
N
N
N
NXP BV
N/A
NXP BV
62954HAD0
357000.00000000
PA
USD
346561.32000000
0.042523035198
Long
DBT
CORP
US
N
2
2030-05-01
Fixed
3.40000000
N
N
N
N
N
N
HP, Inc.
WHKXQACZ14C5XRO8LW03
HP, Inc.
40434LAJ4
112000.00000000
PA
USD
100206.55000000
0.012295332476
Long
DBT
CORP
US
N
2
2031-06-17
Fixed
2.65000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Uniform Mortgage-Backed Securities
3140J76Q3
167211.86310000
PA
USD
165654.63000000
0.020325804571
Long
ABS-MBS
USGSE
US
N
2
2032-08-01
Fixed
2.50000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Uniform Mortgage-Backed Securities
3140J8HY2
125773.73550000
PA
USD
133513.02000000
0.016382032619
Long
ABS-MBS
USGSE
US
N
2
2048-04-01
Fixed
4.50000000
N
N
N
N
N
N
Bank of America Corp.
9DJT3UXIJIZJI4WXO774
Bank of America Corp.
06051GGK9
127000.00000000
PA
USD
127035.96000000
0.015587298082
Long
DBT
CORP
US
N
2
2023-04-24
Variable
2.88100080
N
N
N
N
N
N
GS Mortgage Securities Trust
N/A
GS Mortgage Securities Trust, Series 2017-GS7, Class D
36254CAA8
20000.00000000
PA
USD
17660.01000000
0.002166881251
Long
ABS-MBS
CORP
US
N
2
2050-08-10
Fixed
3.00000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Uniform Mortgage-Backed Securities
3140X83D7
20273.69000000
PA
USD
20663.71000000
0.002535434905
Long
ABS-MBS
USGSE
US
N
2
2048-04-01
Fixed
3.50000000
N
N
N
N
N
N
Republic of Philippines
529900RAHBALMYIJ3T08
Republic of Philippines
718286CC9
516000.00000000
PA
USD
517991.76000000
0.063557531010
Long
DBT
NUSS
PH
N
2
2028-02-01
Fixed
3.00000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Uniform Mortgage-Backed Securities
3138WH3H3
259175.99000000
PA
USD
257603.51000000
0.031607921862
Long
ABS-MBS
USGSE
US
N
2
2046-09-01
Fixed
3.00000000
N
N
N
N
N
N
JPMorgan Chase Commercial Mortgage Securities Trust
N/A
JPMorgan Chase Commercial Mortgage Securities Trust, Series 2016-JP3, Class XC
46590RAM1
900000.00000000
PA
USD
25142.31000000
0.003084958624
Long
ABS-MBS
CORP
US
N
2
2049-08-15
Variable
0.74999880
N
N
N
N
N
N
Federal National Mortgage Association or Federal Home Loan Mortgage Corp.
N/A
Uniform Mortgage-Backed Securities
01F030645
7910000.00000000
PA
USD
7736968.75000000
0.949325200185
Long
ABS-MBS
USGSE
US
N
2
2052-04-25
Fixed
3.00000000
N
N
N
N
N
N
HPS Loan Management Ltd.
549300OYG05TXUTUVD98
HPS Loan Management Ltd., Series 6A-2015, Class A1R
40436KAC9
248303.04000000
PA
USD
246490.75000000
0.030244387453
Long
ABS-CBDO
CORP
KY
N
2
2031-02-05
Floating
1.31500080
N
N
N
N
N
N
NRG Energy, Inc.
5E2UPK5SW04M13XY7I38
NRG Energy, Inc.
629377CL4
70000.00000000
PA
USD
70028.66000000
0.008592508748
Long
DBT
CORP
US
N
2
2029-06-15
Fixed
4.45000000
N
N
N
N
N
N
N/A
N/A
U.S. Treasury 10 Year Ultra Note
N/A
-101.00000000
NC
USD
366101.56000000
0.044920620460
N/A
DIR
US
N
1
CME Clearing House
LCZ7XYGSLJUHFXXNXD88
Short
N/A
U.S. Treasury 10 Year Ultra Note
2022-06-21
-13685500.00000000
USD
366101.56000000
N
N
N
AEP Texas, Inc.
5493001L78U618KXNZ75
AEP Texas, Inc.
00108WAN0
237000.00000000
PA
USD
209923.38000000
0.025757575244
Long
DBT
CORP
US
N
2
2051-05-15
Fixed
3.45000000
N
N
N
N
N
N
Anglo American Capital plc
TINT358G1SSHR3L3PW36
Anglo American Capital plc
034863AU4
354000.00000000
PA
USD
365350.13000000
0.044828420083
Long
DBT
CORP
GB
N
2
2028-03-15
Fixed
4.50000000
N
N
N
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
24380.08000000
0.002991433088
N/A
DFE
N/A
N
2
Goldman Sachs International
W22LROWP2IHZNBB6K528
1054265.10000000
GBP
1270000.00000000
EUR
2022-06-15
24380.08000000
N
N
N
FirstEnergy Transmission LLC
549300AINIIPOLYX2R63
FirstEnergy Transmission LLC
33767BAA7
42000.00000000
PA
USD
45788.44000000
0.005618236466
Long
DBT
CORP
US
N
2
2044-07-15
Fixed
5.45000000
N
N
N
N
N
N
Merck & Co., Inc.
4YV9Y5M8S0BRK1RP0397
Merck & Co., Inc.
58933YBF1
315000.00000000
PA
USD
274377.61000000
0.033666102055
Long
DBT
CORP
US
N
2
2051-12-10
Fixed
2.75000000
N
N
N
N
N
N
Washington Mutual Mortgage Pass-Through Certificates WMALT Trust
N/A
Washington Mutual Mortgage Pass-Through Certificates WMALT Trust, Series 2006-4, Class 1A1
939344AA5
45228.30000000
PA
USD
44811.63000000
0.005498381988
Long
ABS-MBS
CORP
US
N
2
2036-04-25
Fixed
6.00000000
N
N
N
N
N
N
Microsoft Corp.
INR2EJN1ERAN0W5ZP974
Microsoft Corp.
594918CE2
287000.00000000
PA
USD
269317.68000000
0.033045249210
Long
DBT
CORP
US
N
2
2052-03-17
Fixed
2.92100000
N
N
N
N
N
N
Scientific Games Corp.
N/A
Scientific Games Corp., Term Loan
N/A
181000.00000000
PA
USD
179124.84000000
0.021978597831
Long
LON
CORP
US
N
2
2029-02-04
Variable
0.00000000
N
N
N
N
N
N
Anheuser-Busch InBev Worldwide, Inc.
549300CRGMZK3K53BF92
Anheuser-Busch InBev Worldwide, Inc.
035240AN0
507000.00000000
PA
USD
547191.81000000
0.067140373879
Long
DBT
CORP
US
N
2
2048-04-15
Fixed
4.60000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Government National Mortgage Association
36179USV5
199130.87790000
PA
USD
206412.21000000
0.025326755078
Long
ABS-MBS
USGA
US
N
2
2049-05-20
Fixed
4.50000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Uniform Mortgage-Backed Securities
3140QGKB2
176669.86000000
PA
USD
178962.57000000
0.021958687320
Long
ABS-MBS
USGSE
US
N
2
2035-12-01
Fixed
3.00000000
N
N
N
N
N
N
Paramount Global
5KYC8KF17ROCY24M3H09
Paramount Global
92553PAP7
122000.00000000
PA
USD
116113.50000000
0.014247113461
Long
DBT
CORP
US
N
2
2043-03-15
Fixed
4.37500000
N
N
N
N
N
N
Charter Communications Operating LLC
N/A
Charter Communications Operating LLC
161175BN3
117000.00000000
PA
USD
124386.82000000
0.015262248900
Long
DBT
CORP
US
N
2
2048-04-01
Fixed
5.75000000
N
N
N
N
N
N
Energy Transfer LP
MTLVN9N7JE8MIBIJ1H73
Energy Transfer LP
29278NAR4
579000.00000000
PA
USD
585854.80000000
0.071884318427
Long
DBT
CORP
US
N
2
2050-05-15
Fixed
5.00000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Government National Mortgage Association
21H042646
-294000.00000000
PA
USD
-303922.50000000
-0.03729125675
Short
ABS-MBS
USGA
US
N
2
2052-04-15
Fixed
4.50000000
N
N
N
N
N
N
Raytheon Technologies Corp.
I07WOS4YJ0N7YRFE7309
Raytheon Technologies Corp.
75513EBX8
155000.00000000
PA
USD
155678.08000000
0.019101683002
Long
DBT
CORP
US
N
2
2024-12-15
Fixed
3.15000000
N
N
N
N
N
N
GSAA Home Equity Trust
N/A
GSAA Home Equity Trust, Series 2007-2, Class AF3
3622EUAC0
25433.08000000
PA
USD
6721.00000000
0.000824665948
Long
ABS-O
CORP
US
N
2
2037-03-25
Variable
5.91693120
N
N
N
N
N
N
Air Canada Pass-Through Trust
N/A
Air Canada Pass-Through Trust, Series 2017-1, Class AA
00908PAA5
78796.80000000
PA
USD
75164.82000000
0.009222715006
Long
DBT
CORP
CA
N
2
2030-01-15
Fixed
3.30000000
N
N
N
N
N
N
Bank of America Corp.
9DJT3UXIJIZJI4WXO774
Bank of America Corp.
06051GHF9
234000.00000000
PA
USD
235335.97000000
0.028875697194
Long
DBT
CORP
US
N
2
2024-03-05
Variable
3.54999960
N
N
N
N
N
N
AEP Transmission Co. LLC
549300X123Z1I0LA3Y84
AEP Transmission Co. LLC, Series N
00115AAN9
30000.00000000
PA
USD
24575.34000000
0.003015391469
Long
DBT
CORP
US
N
2
2051-08-15
Fixed
2.75000000
N
N
N
N
N
N
NXP BV
N/A
NXP BV
62954HAG3
1203000.00000000
PA
USD
1077406.80000000
0.132197693843
Long
DBT
CORP
US
N
2
2031-05-11
Fixed
2.50000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Uniform Mortgage-Backed Securities
31410KHE7
3185.32000000
PA
USD
3558.14000000
0.000436583379
Long
ABS-MBS
USGSE
US
N
2
2038-03-01
Fixed
6.00000000
N
N
N
N
N
N
BAMLL Commercial Mortgage Securities Trust
5493002AJGYQZUG0NT80
BAMLL Commercial Mortgage Securities Trust, Series 2016-SS1, Class XA
05525JAC7
15000000.00000000
PA
USD
275250.00000000
0.033773144211
Long
ABS-MBS
CORP
US
N
2
2035-12-15
Variable
0.56080080
N
N
N
N
N
N
Citigroup Commercial Mortgage Trust
N/A
Citigroup Commercial Mortgage Trust, Series 2016-GC37, Class C
17290XAX8
20000.00000000
PA
USD
19744.96000000
0.002422704383
Long
ABS-MBS
CORP
US
N
2
2049-04-10
Variable
4.93232400
N
N
N
N
N
N
Alternative Loan Trust
N/A
Alternative Loan Trust, Series 2006-OA14, Class 1A1
02146SAA7
57030.78000000
PA
USD
48365.21000000
0.005934405856
Long
ABS-MBS
CORP
US
N
2
2046-11-25
Floating
1.87112880
N
N
N
N
N
N
Gray Television, Inc.
529900TM5726KDN7UU35
Gray Television, Inc., Term Loan
389376AZ7
231420.00000000
PA
USD
230015.28000000
0.028222849127
Long
LON
CORP
US
N
2
2028-12-01
Variable
3.23057000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Government National Mortgage Association
21H030641
6272746.00000000
PA
USD
6198992.25000000
0.760615655670
Long
ABS-MBS
USGA
US
N
2
2052-04-15
Fixed
3.00000000
N
N
N
N
N
N
Kinder Morgan, Inc.
549300WR7IX8XE0TBO16
Kinder Morgan, Inc.
49456BAG6
13000.00000000
PA
USD
14247.71000000
0.001748192423
Long
DBT
CORP
US
N
2
2034-12-01
Fixed
5.30000000
N
N
N
N
N
N
United States of America
254900HROIFWPRGM1V77
U.S. Treasury Notes
91282CBL4
870000.00000000
PA
USD
785548.83000000
0.096386753571
Long
DBT
UST
US
N
2
2031-02-15
Fixed
1.12500000
N
N
N
N
N
N
HCA, Inc.
L3CJ6J7LJ2DX62FTXD46
HCA, Inc.
404119BQ1
3282000.00000000
PA
USD
3455326.88000000
0.423968221671
Long
DBT
CORP
US
N
2
2025-04-15
Fixed
5.25000000
N
N
N
N
N
N
Global Payments, Inc.
549300NOMHGVQBX6S778
Global Payments, Inc.
891906AC3
475000.00000000
PA
USD
498641.93000000
0.061183309034
Long
DBT
CORP
US
N
2
2026-04-01
Fixed
4.80000000
N
N
N
N
N
N
Port Authority of New York & New Jersey
54930006MR4KZ4W74Z83
Port Authority of New York & New Jersey, Series 2014-181
73358WRP1
195000.00000000
PA
USD
229589.38000000
0.028170591244
Long
DBT
MUN
US
N
2
2046-08-01
Fixed
4.96000000
N
N
N
N
N
N
Energy Transfer LP
MTLVN9N7JE8MIBIJ1H73
Energy Transfer LP
86765BAS8
217000.00000000
PA
USD
232390.97000000
0.028514346024
Long
DBT
CORP
US
N
2
2025-12-01
Fixed
5.95000000
N
N
N
N
N
N
Federal Home Loan Mortgage Corp.
S6XOOCT0IEG5ABCC6L87
Uniform Mortgage-Backed Securities
3133A7UK3
11689.73700000
PA
USD
11621.00000000
0.001425895400
Long
ABS-MBS
USGSE
US
N
2
2050-07-01
Fixed
3.00000000
N
N
N
N
N
N
Anglo American Capital plc
TINT358G1SSHR3L3PW36
Anglo American Capital plc
034863BA7
230000.00000000
PA
USD
210636.88000000
0.025845121614
Long
DBT
CORP
GB
N
2
2031-03-17
Fixed
2.87500000
N
N
N
N
N
N
Empresas Publicas de Medellin ESP
549300SU25TO8EMXB434
Empresas Publicas de Medellin ESP
29246BAE8
200000.00000000
PA
USD
177040.00000000
0.021722788196
Long
DBT
NUSS
CO
N
2
2029-07-18
Fixed
4.25000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Uniform Mortgage-Backed Securities
31416BMP0
41283.74000000
PA
USD
45201.35000000
0.005546200588
Long
ABS-MBS
USGSE
US
N
2
2037-08-01
Fixed
5.50000000
N
N
N
N
N
N
Sabine Pass Liquefaction LLC
549300KJYBG7C6WJYZ11
Sabine Pass Liquefaction LLC
785592AV8
172000.00000000
PA
USD
185944.98000000
0.022815428246
Long
DBT
CORP
US
N
2
2026-06-30
Fixed
5.87500000
N
N
N
N
N
N
Bank of America Corp.
9DJT3UXIJIZJI4WXO774
Bank of America Corp.
06051GJK6
851000.00000000
PA
USD
786480.90000000
0.096501118456
Long
DBT
CORP
US
N
2
2026-10-24
Variable
1.19700000
N
N
N
N
N
N
N/A
N/A
IRS
N/A
9075000.00000000
PA
-17627.52000000
-0.00216289473
N/A
DIR
US
N
2
CME Group Inc.
LCZ7XYGSLJUHFXXNXD88
Y
2032-01-01
0.00000000
USD
0.00000000
USD
9075000.00000000
MXN
-17627.52000000
N
N
N
Federal Home Loan Mortgage Corp.
S6XOOCT0IEG5ABCC6L87
Uniform Mortgage-Backed Securities
3132DMQ81
256212.34000000
PA
USD
258088.97000000
0.031667487749
Long
ABS-MBS
USGSE
US
N
2
2050-06-01
Fixed
3.50000000
N
N
N
N
N
N
First Franklin Mortgage Loan Trust
N/A
First Franklin Mortgage Loan Trust, Series 2006-FF16, Class 2A3
320275AD2
579241.78000000
PA
USD
304936.97000000
0.037415732109
Long
ABS-O
CORP
US
N
2
2036-12-25
Floating
0.73657080
N
N
N
N
N
N
Federal Home Loan Mortgage Corp.
S6XOOCT0IEG5ABCC6L87
Federal Home Loan Mortgage Corp.
31307MSF4
14752.53000000
PA
USD
14626.24000000
0.001794638011
Long
ABS-MBS
USGSE
US
N
2
2030-05-01
Fixed
2.50000000
N
N
N
N
N
N
General Dynamics Corp.
9C1X8XOOTYY2FNYTVH06
General Dynamics Corp.
369550BM9
191000.00000000
PA
USD
196710.51000000
0.024136357573
Long
DBT
CORP
US
N
2
2030-04-01
Fixed
3.62500000
N
N
N
N
N
N
Raytheon Technologies Corp.
I07WOS4YJ0N7YRFE7309
Raytheon Technologies Corp.
913017CJ6
130000.00000000
PA
USD
127814.69000000
0.015682848165
Long
DBT
CORP
US
N
2
2046-11-01
Fixed
3.75000000
N
N
N
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
-366.71000000
-0.00004499527
N/A
DFE
N/A
N
2
Deutsche Bank
7LTWFZYICNSX8D621K86
965193316.00000000
IDR
66887.96000000
USD
2022-04-18
-366.71000000
N
N
N
Citgo Holding, Inc.
549300NYHOALWZ2BSL72
Citgo Holding, Inc.
17302WAB4
75000.00000000
PA
USD
75750.00000000
0.009294516526
Long
DBT
CORP
US
N
2
2024-08-01
Fixed
9.25000000
N
N
N
N
N
N
T-Mobile USA, Inc.
549300V2JRLO5DIFGE82
T-Mobile USA, Inc.
87264ABF1
1989000.00000000
PA
USD
1996636.05000000
0.244987019996
Long
DBT
CORP
US
N
2
2030-04-15
Fixed
3.87500000
N
N
N
N
N
N
HMH Trust
N/A
HMH Trust, Series 2017-NSS, Class A
40390AAA9
110000.00000000
PA
USD
107456.83000000
0.013184941021
Long
ABS-MBS
CORP
US
N
2
2031-07-05
Fixed
3.06220000
N
N
N
N
N
N
BlackRock Liquidity Funds
5493002L9DNZ83RX7V61
T-Fund, Institutional Class
09248U718
135068946.80000000
NS
USD
135068946.80000000
16.57294466386
Long
STIV
RF
US
N
1
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Uniform Mortgage-Backed Securities
3138EQA36
26508.52000000
PA
USD
26784.83000000
0.003286495644
Long
ABS-MBS
USGSE
US
N
2
2030-08-01
Fixed
3.00000000
N
N
N
N
N
N
Federal National Mortgage Association or Federal Home Loan Mortgage Corp.
N/A
Uniform Mortgage-Backed Securities
01F022642
-9397800.00000000
PA
USD
-8966088.56000000
-1.10013806338
Short
ABS-MBS
USGSE
US
N
2
2052-04-25
Fixed
2.50000000
N
N
N
N
N
N
Glencore Funding LLC
213800STG1QDNBY87K49
Glencore Funding LLC
378272BH0
180000.00000000
PA
USD
151346.97000000
0.018570256289
Long
DBT
CORP
US
N
2
2051-09-23
Fixed
3.37500000
N
N
N
N
N
N
Ajax Mortgage Loan Trust
N/A
Ajax Mortgage Loan Trust, Series 2019-A, Class B
00969LAB8
100000.00000000
PA
USD
99129.57000000
0.012163187150
Long
ABS-MBS
CORP
US
N
2
2057-08-25
Variable
5.24999880
N
N
N
N
N
N
Citigroup Mortgage Loan Trust
N/A
Citigroup Mortgage Loan Trust, Series 2007-AHL2, Class A3B
17312TAJ2
175791.64000000
PA
USD
139185.42000000
0.017078035465
Long
ABS-O
CORP
US
N
2
2037-05-25
Floating
0.65657160
N
N
N
N
N
N
N/A
N/A
USD Currency
N/A
490000.00000000
PA
USD
6311.90000000
0.000774469423
N/A
DFE
GB
N
2
Goldman Sachs International
W22LROWP2IHZNBB6K528
Call
Purchased
N/A
USD Currency
1.00000000
20.30000000
USD
2022-05-27
XXXX
-2009.28000000
N
N
N
Digital Dutch Finco BV
549300ONZ5IS6B6IMJ70
Digital Dutch Finco BV
N/A
315000.00000000
PA
320681.85000000
0.039347627124
Long
DBT
CORP
NL
N
2
2030-03-15
Fixed
1.50000000
N
N
N
N
N
N
BlackRock Allocation Target Shares
5493001N6IPQ853IL862
Series A Portfolio
092480706
14408517.73400000
NS
USD
139330366.49000000
17.09582038315
Long
RF
US
N
N/A
N
N
N
Anchorage Capital CLO 4-R Ltd.
549300MP4QPQUMB6AD63
Anchorage Capital CLO 4-R Ltd., Series 2014-4RA, Class C
03328LAE2
250000.00000000
PA
USD
245806.13000000
0.030160384655
Long
ABS-CBDO
CORP
KY
N
2
2031-01-28
Floating
2.12757120
N
N
N
N
N
N
Federal Home Loan Mortgage Corp.
S6XOOCT0IEG5ABCC6L87
Uniform Mortgage-Backed Securities
3133KLUA3
2852174.13840000
PA
USD
2737646.31000000
0.335908896010
Long
ABS-MBS
USGSE
US
N
2
2051-05-01
Fixed
2.50000000
N
N
N
N
N
N
United States of America
254900HROIFWPRGM1V77
U.S. Treasury Notes
91282CCD1
4447000.00000000
PA
USD
4356149.17000000
0.534499015890
Long
DBT
UST
US
N
2
2023-05-31
Fixed
0.12500000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Uniform Mortgage-Backed Securities
31418MGR7
2420.08000000
PA
USD
2703.34000000
0.000331699515
Long
ABS-MBS
USGSE
US
N
2
2038-10-01
Fixed
6.00000000
N
N
N
N
N
N
Federal Home Loan Mortgage Corp.
S6XOOCT0IEG5ABCC6L87
Uniform Mortgage-Backed Securities
3132DM7F6
626528.28160000
PA
USD
584048.91000000
0.071662735926
Long
ABS-MBS
USGSE
US
N
2
2052-01-01
Fixed
2.00000000
N
N
N
N
N
N
QUALCOMM, Inc.
H1J8DDZKZP6H7RWC0H53
QUALCOMM, Inc.
747525AV5
404000.00000000
PA
USD
454614.57000000
0.055781156886
Long
DBT
CORP
US
N
2
2047-05-20
Fixed
4.30000000
N
N
N
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
4988.27000000
0.000612060171
N/A
DFE
N/A
N
2
Citibank
MBNUM2BPBDO7JBLYG310
14484767.00000000
JPY
124000.00000000
USD
2022-04-18
4988.27000000
N
N
N
Country Garden Holdings Co. Ltd.
549300MGHLPT1EFHGF84
Country Garden Holdings Co. Ltd.
N/A
200000.00000000
PA
USD
153000.00000000
0.018773082885
Long
DBT
CORP
KY
N
2
2025-05-27
Fixed
5.40000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Government National Mortgage Association
36179VXX3
1334300.44150000
PA
USD
1275620.04000000
0.156518436220
Long
ABS-MBS
USGA
US
N
2
2050-11-20
Fixed
2.00000000
N
N
N
N
N
N
Waste Pro USA, Inc.
549300BY1QXU5BI3UF28
Waste Pro USA, Inc.
94107JAA1
37000.00000000
PA
USD
34967.96000000
0.004290564780
Long
DBT
CORP
US
N
2
2026-02-15
Fixed
5.50000000
N
N
N
N
N
N
Duke Energy Carolinas LLC
MWIUSDMN17TCR56VW396
Duke Energy Carolinas LLC
26442CAU8
155000.00000000
PA
USD
159021.22000000
0.019511885906
Long
DBT
CORP
US
N
2
2048-03-15
Fixed
3.95000000
N
N
N
N
N
N
Modern Land China Co. Ltd.
549300PDOU6AR9Z9IN08
Modern Land China Co. Ltd.
N/A
200000.00000000
PA
USD
36000.00000000
0.004417195973
Long
DBT
CORP
KY
N
2
2023-04-11
Fixed
9.80000000
Y
N
N
N
N
N
Federal Home Loan Mortgage Corp.
S6XOOCT0IEG5ABCC6L87
Federal Home Loan Mortgage Corp.
312942DD4
45164.29000000
PA
USD
48099.08000000
0.005901751735
Long
ABS-MBS
USGSE
US
N
2
2040-09-01
Fixed
4.50000000
N
N
N
N
N
N
Credit Suisse AG
549300D0YARF5HYP1809
Credit Suisse AG
22546QAP2
263000.00000000
PA
USD
266016.89000000
0.032640242646
Long
DBT
CORP
CH
N
2
2024-09-09
Fixed
3.62500000
N
N
N
N
N
N
KLA Corp.
549300H0BF5JCG96TJ81
KLA Corp.
482480AJ9
549000.00000000
PA
USD
517114.22000000
0.063449856950
Long
DBT
CORP
US
N
2
2050-03-01
Fixed
3.30000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Uniform Mortgage-Backed Securities
3138EKF59
418053.74000000
PA
USD
444501.53000000
0.054540288010
Long
ABS-MBS
USGSE
US
N
2
2041-12-01
Fixed
4.50000000
N
N
N
N
N
N
HCA, Inc.
L3CJ6J7LJ2DX62FTXD46
HCA, Inc.
404119CF4
635000.00000000
PA
USD
622271.30000000
0.076352618904
Long
DBT
CORP
US
N
2
2032-03-15
Fixed
3.62500000
N
N
N
N
N
N
Comcast Corp.
51M0QTTNCGUN7KFCFZ59
Comcast Corp.
20030NCC3
463000.00000000
PA
USD
470366.58000000
0.057713926751
Long
DBT
CORP
US
N
2
2047-11-01
Fixed
3.96900000
N
N
N
N
N
N
Structured Adjustable Rate Mortgage Loan Trust
N/A
Structured Adjustable Rate Mortgage Loan Trust, Series 2006-3, Class 4A
863579Y69
42404.50000000
PA
USD
29901.77000000
0.003668943834
Long
ABS-MBS
CORP
US
N
2
2036-04-25
Variable
3.01961160
N
N
N
N
N
N
Lehman XS Trust
N/A
Lehman XS Trust, Series 2007-20N, Class A1
52525AAA2
17974.69000000
PA
USD
18989.04000000
0.002329953083
Long
ABS-MBS
CORP
US
N
2
2037-12-25
Floating
1.60656840
N
N
N
N
N
N
State Street Corp.
549300ZFEEJ2IP5VME73
State Street Corp., Series H
857477BA0
680000.00000000
PA
USD
671840.00000000
0.082434692849
Long
DBT
CORP
US
N
2
2023-12-15
Variable
5.62500000
N
N
N
N
N
N
Federal Home Loan Mortgage Corp.
S6XOOCT0IEG5ABCC6L87
Uniform Mortgage-Backed Securities
3133A7JB6
4927.76390000
PA
USD
4888.83000000
0.000599858894
Long
ABS-MBS
USGSE
US
N
2
2050-07-01
Fixed
3.00000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Uniform Mortgage-Backed Securities
31418CQB3
79265.89540000
PA
USD
81616.31000000
0.010014312107
Long
ABS-MBS
USGSE
US
N
2
2047-10-01
Fixed
4.00000000
N
N
N
N
N
N
Bausch Health Americas, Inc.
KOO0397YRO83WY5MGD97
Bausch Health Americas, Inc.
91911XAV6
103000.00000000
PA
USD
105488.48000000
0.012943424696
Long
DBT
CORP
US
N
2
2026-04-01
Fixed
9.25000000
N
N
N
N
N
N
Goldman Sachs Group, Inc. (The)
784F5XWPLTWKTBV3E584
Goldman Sachs Group, Inc. (The)
38141GZM9
1678000.00000000
PA
USD
1581661.83000000
0.194069729620
Long
DBT
CORP
US
N
2
2033-02-24
Variable
3.10200120
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Government National Mortgage Association Variable Rate Notes, Series 2015-48
38379KHJ0
39242.27180000
PA
USD
1095.90000000
0.000134466807
Long
ABS-MBS
USGA
US
N
2
2050-02-16
Variable
0.68451840
N
N
N
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
-15473.73000000
-0.00189862494
N/A
DFE
N/A
N
2
Deutsche Bank
7LTWFZYICNSX8D621K86
1270000.00000000
EUR
1061046.90000000
GBP
2022-06-15
-15473.73000000
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Uniform Mortgage-Backed Securities
3140QEUA8
141002.04000000
PA
USD
142826.47000000
0.017524791892
Long
ABS-MBS
USGSE
US
N
2
2035-08-01
Fixed
3.00000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Government National Mortgage Association
3622A24Y5
62054.99750000
PA
USD
61666.88000000
0.007566519278
Long
ABS-MBS
USGA
US
N
2
2045-02-15
Fixed
3.00000000
N
N
N
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
-518.99000000
-0.00006368001
N/A
DFE
N/A
N
2
Goldman Sachs International
W22LROWP2IHZNBB6K528
266227.52000000
MXN
12866.00000000
USD
2022-04-01
-518.99000000
N
N
N
Washington Mutual Asset-Backed CertificatesTrust
N/A
Washington Mutual Asset-Backed CertificatesTrust, Series 2006-HE5, Class 1A
93934XAA1
117843.49290000
PA
USD
98556.98000000
0.012092930421
Long
ABS-O
CORP
US
N
2
2036-10-25
Floating
0.61157160
N
N
N
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
1155.71000000
0.000141805487
N/A
DFE
N/A
N
2
Deutsche Bank
7LTWFZYICNSX8D621K86
490000.00000000
EUR
544753.58000000
USD
2022-06-15
1155.71000000
N
N
N
General Motors Co.
54930070NSV60J38I987
General Motors Co.
37045VAV2
222000.00000000
PA
USD
238321.75000000
0.029242052066
Long
DBT
CORP
US
N
2
2025-10-01
Fixed
6.12500000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Uniform Mortgage-Backed Securities
3138WPHS6
23952.17000000
PA
USD
23860.63000000
0.002927696632
Long
ABS-MBS
USGSE
US
N
2
2043-04-01
Fixed
3.00000000
N
N
N
N
N
N
United States of America
254900HROIFWPRGM1V77
U.S. Treasury Bonds
912810SH2
908000.00000000
PA
USD
976454.68000000
0.119810880012
Long
DBT
UST
US
N
2
2049-05-15
Fixed
2.87500000
N
N
N
N
N
N
GS Mortgage Securities Corp. II
N/A
GS Mortgage Securities Corp. II, Series 2005-ROCK, Class A
36228CUV3
100000.00000000
PA
USD
104502.53000000
0.012822448741
Long
ABS-MBS
CORP
US
N
2
2032-05-03
Fixed
5.36600000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Uniform Mortgage-Backed Securities
31418EAA8
2591967.50850000
PA
USD
2349278.66000000
0.288256228797
Long
ABS-MBS
USGSE
US
N
2
2041-12-01
Fixed
1.50000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Uniform Mortgage-Backed Securities
3140HFE88
62848.45450000
PA
USD
63371.20000000
0.007775639151
Long
ABS-MBS
USGSE
US
N
2
2048-03-01
Fixed
3.50000000
N
N
N
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
-264.92000000
-0.00003250565
N/A
DFE
N/A
N
2
Barclays Bank
G5GSEF7VJP5I7OUK5573
49910.49000000
USD
37802.96000000
GBP
2022-06-15
-264.92000000
N
N
N
N/A
N/A
IRS
N/A
152000.00000000
PA
USD
-8561.26000000
-0.00105046564
N/A
DIR
US
N
2
CME Group Inc.
LCZ7XYGSLJUHFXXNXD88
Y
2028-10-03
0.00000000
USD
0.00000000
USD
152000.00000000
USD
-8561.26000000
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Government National Mortgage Association
36202FLP9
3026.92000000
PA
USD
3222.76000000
0.000395432291
Long
ABS-MBS
USGA
US
N
2
2040-10-20
Fixed
4.50000000
N
N
N
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
482.07000000
0.000059149935
N/A
DFE
N/A
N
2
Bank of America
B4TYDEB6GKMZO031MB27
1826000.00000000
JPY
15510.54000000
USD
2022-06-15
482.07000000
N
N
N
Morgan Stanley
IGJSJL3JD5P30I6NJZ34
Morgan Stanley
61772BAB9
683000.00000000
PA
USD
634562.84000000
0.077860789487
Long
DBT
CORP
US
N
2
2027-05-04
Variable
1.59300000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Uniform Mortgage-Backed Securities
3140J6D46
375496.77760000
PA
USD
399946.87000000
0.049073436211
Long
ABS-MBS
USGSE
US
N
2
2046-07-01
Fixed
4.50000000
N
N
N
N
N
N
General Motors Financial Co., Inc.
5493008B6JBRUJ90QL97
General Motors Financial Co., Inc.
37045XDD5
105000.00000000
PA
USD
96082.08000000
0.011789260468
Long
DBT
CORP
US
N
2
2026-01-08
Fixed
1.25000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Uniform Mortgage-Backed Securities
3140QLSQ0
101544.39480000
PA
USD
105791.25000000
0.012980574541
Long
ABS-MBS
USGSE
US
N
2
2051-08-01
Fixed
4.00000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Uniform Mortgage-Backed Securities
3140QNE65
771031.08150000
PA
USD
740078.74000000
0.090807578614
Long
ABS-MBS
USGSE
US
N
2
2052-02-01
Fixed
2.50000000
N
N
N
N
N
N
One Market Plaza Trust
N/A
One Market Plaza Trust, Series 2017-1MKT, Class XCP
68245HAS3
1880000.00000000
PA
USD
56.40000000
0.000006920273
Long
ABS-MBS
CORP
US
N
2
2032-02-10
Variable
0.00001080
N
N
N
N
N
N
Charter Communications Operating LLC
N/A
Charter Communications Operating LLC
161175CC6
202000.00000000
PA
USD
175835.82000000
0.021575035445
Long
DBT
CORP
US
N
2
2061-12-01
Fixed
4.40000000
N
N
N
N
N
N
Federal Home Loan Mortgage Corp.
S6XOOCT0IEG5ABCC6L87
Uniform Mortgage-Backed Securities
3132DM3L7
68450.21320000
PA
USD
67037.32000000
0.008225471665
Long
ABS-MBS
USGSE
US
N
2
2052-01-01
Fixed
3.00000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Uniform Mortgage-Backed Securities
3140QLSS6
117238.86430000
PA
USD
121313.27000000
0.014885124659
Long
ABS-MBS
USGSE
US
N
2
2051-08-01
Fixed
4.00000000
N
N
N
N
N
N
280 Park Avenue Mortgage Trust
N/A
280 Park Avenue Mortgage Trust, Series 2017-280P, Class D
90205FAL4
100000.00000000
PA
USD
98906.19000000
0.012135778449
Long
ABS-MBS
CORP
US
N
2
2034-09-15
Floating
1.84345200
N
N
N
N
N
N
Washington Mutual Asset-Backed CertificatesTrust
N/A
Washington Mutual Asset-Backed CertificatesTrust, Series 2006-HE4, Class 2A2
93934QAC2
132197.29000000
PA
USD
49034.43000000
0.006016519076
Long
ABS-O
CORP
US
N
2
2036-09-25
Floating
0.81657000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Uniform Mortgage-Backed Securities
3140H1WJ5
94303.65320000
PA
USD
95206.40000000
0.011681814630
Long
ABS-MBS
USGSE
US
N
2
2048-03-01
Fixed
3.50000000
N
N
N
N
N
N
Digital Dutch Finco BV
549300ONZ5IS6B6IMJ70
Digital Dutch Finco BV
N/A
180000.00000000
PA
168243.50000000
0.020643458630
Long
DBT
CORP
NL
N
2
2032-01-15
Fixed
1.00000000
N
N
N
N
N
N
DuPont de Nemours, Inc.
5493004JF0SDFLM8GD76
DuPont de Nemours, Inc.
26078JAC4
515000.00000000
PA
USD
535624.86000000
0.065721110408
Long
DBT
CORP
US
N
2
2025-11-15
Fixed
4.49300000
N
N
N
N
N
N
Post Holdings, Inc.
JM1I5YUAURL6DC8N1468
Post Holdings, Inc.
737446AN4
72000.00000000
PA
USD
70672.68000000
0.008671529930
Long
DBT
CORP
US
N
2
2028-01-15
Fixed
5.62500000
N
N
N
N
N
N
Raytheon Technologies Corp.
I07WOS4YJ0N7YRFE7309
Raytheon Technologies Corp.
75513ECL3
514000.00000000
PA
USD
432269.31000000
0.053039395984
Long
DBT
CORP
US
N
2
2051-09-01
Fixed
2.82000000
N
N
N
N
N
N
People's Republic of China
300300CHN201808MOF68
People's Republic of China
N/A
8800000.00000000
PA
1395727.32000000
0.171255586041
Long
DBT
NUSS
CN
N
2
2027-06-04
Fixed
2.85000000
N
N
N
N
N
N
Standard Chartered plc
U4LOSYZ7YG4W3S5F2G91
Standard Chartered plc
853254CG3
820000.00000000
PA
USD
766615.42000000
0.094063626282
Long
DBT
CORP
GB
N
2
2028-01-12
Variable
2.60799840
N
N
N
N
N
N
Genesee & Wyoming, Inc.
G617XSG94Z7G0RMW3L02
Genesee & Wyoming, Inc., Term Loan
55316HAB1
165620.00000000
PA
USD
163601.09000000
0.020073835442
Long
LON
CORP
US
N
2
2026-12-30
Variable
3.00600000
N
N
N
N
N
N
N/A
N/A
CDS
N/A
753787.00000000
PA
USD
-12023.35000000
-0.00147526370
N/A
DCR
GB
N
2
Goldman Sachs International
W22LROWP2IHZNBB6K528
Republic of the Philippines
Republic of the Philippines
Y
Receipt of notional amount upon default event with regard to the reference instrument
2027-06-20
4056.41000000
USD
0.00000000
USD
753787.00000000
USD
-12023.35000000
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
-996.74000000
-0.00012229988
N/A
DFE
N/A
N
2
Goldman Sachs International
W22LROWP2IHZNBB6K528
121000.00000000
USD
453750000.00000000
COP
2022-04-20
-996.74000000
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
6061.67000000
0.000743766230
N/A
DFE
N/A
N
2
Citibank
MBNUM2BPBDO7JBLYG310
82000.00000000
USD
419266.00000000
BRL
2022-04-04
6061.67000000
N
N
N
Federal Home Loan Mortgage Corp.
S6XOOCT0IEG5ABCC6L87
Federal Home Loan Mortgage Corp.
3132JN7C5
8650.97000000
PA
USD
9209.08000000
0.001129953085
Long
ABS-MBS
USGSE
US
N
2
2043-09-01
Fixed
4.50000000
N
N
N
N
N
N
Federal Home Loan Mortgage Corp.
S6XOOCT0IEG5ABCC6L87
Federal Home Loan Mortgage Corp.
3128MEVG3
198730.50000000
PA
USD
205949.84000000
0.025270022330
Long
ABS-MBS
USGSE
US
N
2
2031-04-01
Fixed
3.50000000
N
N
N
N
N
N
Federal Home Loan Mortgage Corp.
S6XOOCT0IEG5ABCC6L87
Uniform Mortgage-Backed Securities
3132DVL94
3872865.00000000
PA
USD
3712603.33000000
0.455536013307
Long
ABS-MBS
USGSE
US
N
2
2052-01-01
Fixed
2.50000000
N
N
N
N
N
N
Consumers Energy Co.
7NKTFWJ1G6MELP9TU740
Consumers Energy Co.
210518DF0
140000.00000000
PA
USD
128161.08000000
0.015725350180
Long
DBT
CORP
US
N
2
2050-08-15
Fixed
3.10000000
N
N
N
N
N
N
BAT Capital Corp.
2138005GYEXN7XRHFA84
BAT Capital Corp.
05526DBU8
206000.00000000
PA
USD
166939.97000000
0.020483515645
Long
DBT
CORP
US
N
2
2050-09-25
Fixed
3.98400000
N
N
N
N
N
N
Verizon Communications, Inc.
2S72QS2UO2OESLG6Y829
Verizon Communications, Inc.
92343VFU3
723000.00000000
PA
USD
604083.30000000
0.074120953338
Long
DBT
CORP
US
N
2
2050-11-20
Fixed
2.87500000
N
N
N
N
N
N
Goldman Sachs Group, Inc. (The)
784F5XWPLTWKTBV3E584
Goldman Sachs Group, Inc. (The)
38141GWQ3
163000.00000000
PA
USD
163308.54000000
0.020037939590
Long
DBT
CORP
US
N
2
2025-09-29
Variable
3.27200040
N
N
N
N
N
N
Navient Corp.
54930067J0ZNOEBRW338
Navient Corp.
63938CAE8
23000.00000000
PA
USD
23891.25000000
0.002931453702
Long
DBT
CORP
US
N
2
2023-09-25
Fixed
7.25000000
N
N
N
N
N
N
New York City Municipal Water Finance Authority
549300Q2EHQ6RJPQKP05
New York City Municipal Water Finance Authority, Series 2011CC
64972FY34
55000.00000000
PA
USD
72925.27000000
0.008947922471
Long
DBT
MUN
US
N
2
2044-06-15
Fixed
5.88200000
N
N
N
N
N
N
Altria Group, Inc.
XSGZFLO9YTNO9VCQV219
Altria Group, Inc.
02209SBM4
263000.00000000
PA
USD
215829.85000000
0.026482298452
Long
DBT
CORP
US
N
2
2041-02-04
Fixed
3.40000000
N
N
N
N
N
N
Masonite International Corp.
549300H0H07ZFT4JYM32
Masonite International Corp.
575385AD1
36000.00000000
PA
USD
36270.00000000
0.004450324942
Long
DBT
CORP
CA
N
2
2028-02-01
Fixed
5.37500000
N
N
N
N
N
N
MidAmerican Energy Co.
NINLOILYRTLIMK26MZ18
MidAmerican Energy Co.
595620AV7
277000.00000000
PA
USD
254403.12000000
0.031215234367
Long
DBT
CORP
US
N
2
2050-04-15
Fixed
3.15000000
N
N
N
N
N
N
Federal Home Loan Mortgage Corp.
S6XOOCT0IEG5ABCC6L87
Federal Home Loan Mortgage Corp.
3128M6RM2
10642.28000000
PA
USD
11661.39000000
0.001430851248
Long
ABS-MBS
USGSE
US
N
2
2035-02-01
Fixed
5.50000000
N
N
N
N
N
N
Fanatics Commerce Intermediate Holdco LLC
N/A
Fanatics Commerce Intermediate Holdco LLC, Term Loan
30709UAB0
61845.00000000
PA
USD
61226.55000000
0.007512490836
Long
LON
CORP
US
N
2
2028-11-24
Variable
3.75000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Uniform Mortgage-Backed Securities
3138W7G40
23768.07000000
PA
USD
23681.59000000
0.002905728444
Long
ABS-MBS
USGSE
US
N
2
2043-03-01
Fixed
3.00000000
N
N
N
N
N
N
Federal Home Loan Mortgage Corp.
S6XOOCT0IEG5ABCC6L87
Uniform Mortgage-Backed Securities
3132DM2W4
61555.33570000
PA
USD
57377.66000000
0.007040232463
Long
ABS-MBS
USGSE
US
N
2
2051-12-01
Fixed
2.00000000
N
N
N
N
N
N
Federal Home Loan Mortgage Corp.
S6XOOCT0IEG5ABCC6L87
Federal Home Loan Mortgage Corp.
31335BCD6
84628.99000000
PA
USD
85416.89000000
0.010480642848
Long
ABS-MBS
USGSE
US
N
2
2047-03-01
Fixed
3.50000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Uniform Mortgage-Backed Securities
3140HJF71
48942.55800000
PA
USD
51954.09000000
0.006374761031
Long
ABS-MBS
USGSE
US
N
2
2048-07-01
Fixed
4.50000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Government National Mortgage Association
36179TNS0
84906.13660000
PA
USD
87922.41000000
0.010788069872
Long
ABS-MBS
USGA
US
N
2
2047-12-20
Fixed
4.00000000
N
N
N
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
-2226.80000000
-0.00027322811
N/A
DFE
N/A
N
2
Citibank
MBNUM2BPBDO7JBLYG310
121000.00000000
USD
93714500.00000000
CLP
2022-04-20
-2226.80000000
N
N
N
Danske Bank A/S
MAES062Z21O4RZ2U7M96
Danske Bank A/S
23636BAT6
200000.00000000
PA
USD
206207.85000000
0.025301680129
Long
DBT
CORP
DK
N
2
2024-01-12
Fixed
5.37500000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Uniform Mortgage-Backed Securities
3138ARZW7
14124.04000000
PA
USD
15028.28000000
0.001843968274
Long
ABS-MBS
USGSE
US
N
2
2041-09-01
Fixed
4.50000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Uniform Mortgage-Backed Securities
31418CET7
17005.17820000
PA
USD
16580.59000000
0.002034436538
Long
ABS-MBS
USGSE
US
N
2
2031-12-01
Fixed
2.00000000
N
N
N
N
N
N
Goldman Sachs Group, Inc. (The)
784F5XWPLTWKTBV3E584
Goldman Sachs Group, Inc. (The)
38141GZR8
1182000.00000000
PA
USD
1180345.00000000
0.144828199469
Long
DBT
CORP
US
N
2
2028-03-15
Variable
3.61500120
N
N
N
N
N
N
Chase Mortgage Finance Trust
N/A
Chase Mortgage Finance Trust, Series 2007-S6, Class 1A1
161636AA3
680885.35000000
PA
USD
385263.11000000
0.047271740502
Long
ABS-MBS
CORP
US
N
2
2037-12-25
Fixed
6.00000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Government National Mortgage Association
36179N2J6
272783.87100000
PA
USD
280062.26000000
0.034363607974
Long
ABS-MBS
USGA
US
N
2
2044-02-20
Fixed
3.50000000
N
N
N
N
N
N
AEP Texas, Inc.
5493001L78U618KXNZ75
AEP Texas, Inc.
00108WAH3
310000.00000000
PA
USD
316307.39000000
0.038810881371
Long
DBT
CORP
US
N
2
2028-06-01
Fixed
3.95000000
N
N
N
N
N
N
Alternative Loan Trust
N/A
Alternative Loan Trust, Series 2006-11CB, Class 3A1
12668BWF6
50597.19540000
PA
USD
32616.14000000
0.004001996729
Long
ABS-MBS
CORP
US
N
2
2036-05-25
Fixed
6.50000000
N
N
N
N
N
N
Dominican Republic
N/A
Dominican Republic Government Bond
25714PEP9
265000.00000000
PA
USD
261737.19000000
0.032115123935
Long
DBT
NUSS
DO
N
2
2029-02-22
Fixed
5.50000000
N
N
N
N
N
N
Synchrony Financial
549300RS7EWPM9MA6C78
Synchrony Financial
87165BAG8
5000.00000000
PA
USD
5100.29000000
0.000625805012
Long
DBT
CORP
US
N
2
2025-07-23
Fixed
4.50000000
N
N
N
N
N
N
BAMLL Commercial Mortgage Securities Trust
N/A
BAMLL Commercial Mortgage Securities Trust, Series 2018-DSNY, Class D
054967AL8
650000.00000000
PA
USD
634109.84000000
0.077805206437
Long
ABS-MBS
CORP
US
N
2
2034-09-15
Floating
2.09657160
N
N
N
N
N
N
UnitedHealth Group, Inc.
549300GHBMY8T5GXDE41
UnitedHealth Group, Inc.
91324PBU5
397000.00000000
PA
USD
450814.33000000
0.055314867863
Long
DBT
CORP
US
N
2
2041-11-15
Fixed
4.62500000
N
N
N
N
N
N
Voya CLO Ltd.
N/A
Voya CLO Ltd., Series 2017-4A, Class A1
92916QAA0
250000.00000000
PA
USD
248862.35000000
0.030535382507
Long
ABS-CBDO
CORP
KY
N
2
2030-10-15
Floating
1.37129040
N
N
N
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
80.50000000
0.000009877340
N/A
DFE
N/A
N
2
Citibank
MBNUM2BPBDO7JBLYG310
96197000.00000000
CLP
122000.00000000
USD
2022-04-20
80.50000000
N
N
N
Transcontinental Gas Pipe Line Co. LLC
N/A
Transcontinental Gas Pipe Line Co. LLC
893574AH6
724000.00000000
PA
USD
829961.71000000
0.101836208979
Long
DBT
CORP
US
N
2
2026-02-01
Fixed
7.85000000
N
N
N
N
N
N
AbbVie, Inc.
FR5LCKFTG8054YNNRU85
AbbVie, Inc.
00287YDA4
3000.00000000
PA
USD
3325.64000000
0.000408055656
Long
DBT
CORP
US
N
2
2044-06-15
Fixed
4.85000000
N
N
N
N
N
N
JPMorgan Chase & Co.
8I5DZWZKVSZI1NUHU748
JPMorgan Chase & Co.
46647PAY2
395000.00000000
PA
USD
401323.37000000
0.049242332607
Long
DBT
CORP
US
N
2
2024-12-05
Variable
4.02300000
N
N
N
N
N
N
Burlington Northern Santa Fe LLC
N/A
Burlington Northern Santa Fe LLC
12189LBH3
67000.00000000
PA
USD
59352.59000000
0.007282556153
Long
DBT
CORP
US
N
2
2052-06-15
Fixed
2.87500000
N
N
N
N
N
N
BP Capital Markets plc
549300CRVT18MXX0AG93
BP Capital Markets plc
05565QCD8
184000.00000000
PA
USD
184326.69000000
0.022616864244
Long
DBT
CORP
GB
N
2
2023-05-10
Fixed
2.75000000
N
N
N
N
N
N
Raytheon Technologies Corp.
I07WOS4YJ0N7YRFE7309
Raytheon Technologies Corp.
75513EBZ3
360000.00000000
PA
USD
431583.77000000
0.052955280303
Long
DBT
CORP
US
N
2
2028-11-01
Fixed
7.00000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Uniform Mortgage-Backed Securities
3138WJH27
38094.14000000
PA
USD
38128.66000000
0.004678382317
Long
ABS-MBS
USGSE
US
N
2
2036-11-01
Fixed
3.00000000
N
N
N
N
N
N
Federal Home Loan Mortgage Corp.
S6XOOCT0IEG5ABCC6L87
Federal Home Loan Mortgage Corp.
31335CCX0
46709.24390000
PA
USD
49531.88000000
0.006077556135
Long
ABS-MBS
USGSE
US
N
2
2048-11-01
Fixed
5.00000000
N
N
N
N
N
N
Virginia Electric & Power Co.
CQKUMNNZVDJLRYV2PT43
Virginia Electric & Power Co., Series A
927804GB4
69000.00000000
PA
USD
67067.63000000
0.008229190698
Long
DBT
CORP
US
N
2
2029-07-15
Fixed
2.87500000
N
N
N
N
N
N
GSAMP Trust
N/A
GSAMP Trust, Series 2007-HS1, Class M6
362429AG7
40000.00000000
PA
USD
41333.65000000
0.005071634231
Long
ABS-O
CORP
US
N
2
2047-02-25
Floating
3.83157000
N
N
N
N
N
N
Avianca Midco 2 Ltd.
N/A
Avianca Midco 2 Ltd.
05368PAA7
116488.00000000
PA
USD
111559.10000000
0.013688289091
Long
DBT
CORP
GB
N
2
2028-12-01
Fixed
9.00000000
N
N
N
N
N
N
Penske Truck Leasing Co. LP
N/A
Penske Truck Leasing Co. LP
709599AZ7
90000.00000000
PA
USD
90971.03000000
0.011162135205
Long
DBT
CORP
US
N
2
2025-03-10
Fixed
3.95000000
N
N
N
N
N
N
Burlington Northern Santa Fe LLC
N/A
Burlington Northern Santa Fe LLC
12189LBG5
510000.00000000
PA
USD
482273.95000000
0.059174959718
Long
DBT
CORP
US
N
2
2051-09-15
Fixed
3.30000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Federal National Mortgage Association
3138EP6D1
8917.34000000
PA
USD
9307.77000000
0.001142062337
Long
ABS-MBS
USGSE
US
N
2
2041-01-01
Fixed
4.00000000
N
N
N
N
N
N
N/A
N/A
USD Currency
N/A
-840000.00000000
PA
USD
-56.20000000
-0.00000689573
N/A
DFE
US
N
2
Bank of America NA
B4TYDEB6GKMZO031MB27
Call
Written
N/A
USD Currency
1.00000000
16.25000000
USD
2022-04-12
XXXX
5723.00000000
N
N
N
Florida Power & Light Co.
A89MY1K3YLIGJMYWVX50
Florida Power & Light Co.
341081FQ5
331000.00000000
PA
USD
352166.82000000
0.043210829421
Long
DBT
CORP
US
N
2
2048-03-01
Fixed
3.95000000
N
N
N
N
N
N
Baltimore Gas & Electric Co.
88V8C2WYSOD1SPSSLH72
Baltimore Gas & Electric Co.
059165EK2
105000.00000000
PA
USD
111437.96000000
0.013673425226
Long
DBT
CORP
US
N
2
2048-09-15
Fixed
4.25000000
N
N
N
N
N
N
FirstEnergy Corp.
549300SVYJS666PQJH88
FirstEnergy Corp., Series B
337932AH0
349000.00000000
PA
USD
351216.15000000
0.043094182318
Long
DBT
CORP
US
N
2
2027-07-15
Fixed
4.39999920
N
N
N
N
N
N
Comcast Corp.
51M0QTTNCGUN7KFCFZ59
Comcast Corp.
20030NCA7
75000.00000000
PA
USD
74871.29000000
0.009186698908
Long
DBT
CORP
US
N
2
2028-02-15
Fixed
3.15000000
N
N
N
N
N
N
MP CLO III Ltd.
549300FWSFBNCWDD1P18
MP CLO III Ltd., Series 2013-1A, Class AR
553205AC9
250000.00000000
PA
USD
248971.93000000
0.030548827961
Long
ABS-CBDO
CORP
KY
N
2
2030-10-20
Floating
1.50400080
N
N
N
N
N
N
Ajax Mortgage Loan Trust
N/A
Ajax Mortgage Loan Trust, Series 2018-G, Class B
00970DAB3
103000.00000000
PA
USD
101658.98000000
0.012473545474
Long
ABS-MBS
CORP
US
N
2
2057-06-25
Variable
5.24999880
N
N
N
N
N
N
Glencore Funding LLC
213800STG1QDNBY87K49
Glencore Funding LLC
378272AX6
52000.00000000
PA
USD
48621.22000000
0.005965818255
Long
DBT
CORP
US
N
2
2025-09-01
Fixed
1.62500000
N
N
N
N
N
N
Norfolk Southern Corp.
54930036C8MWP850MI84
Norfolk Southern Corp.
655844BS6
241000.00000000
PA
USD
238009.09000000
0.029203688719
Long
DBT
CORP
US
N
2
2026-06-15
Fixed
2.90000000
N
N
N
N
N
N
N/A
N/A
IRS
N/A
125000.00000000
PA
USD
-2245.59000000
-0.00027553364
N/A
DIR
US
N
2
CME Group Inc.
LCZ7XYGSLJUHFXXNXD88
Y
2026-08-23
0.00000000
USD
0.00000000
USD
125000.00000000
USD
-2245.59000000
N
N
N
Ajax Mortgage Loan Trust
N/A
Ajax Mortgage Loan Trust, Series 2018-E, Class C
00969KAC8
4151.53000000
PA
USD
4015.58000000
0.000492711216
Long
ABS-MBS
CORP
US
N
2
2058-06-25
Variable
0.00001080
N
N
N
N
N
N
American Tower Corp.
5493006ORUSIL88JOE18
American Tower Corp.
03027XAW0
953000.00000000
PA
USD
948362.18000000
0.116363933404
Long
DBT
CORP
US
N
2
2029-08-15
Fixed
3.80000000
N
N
N
N
N
N
Federal Home Loan Mortgage Corp.
S6XOOCT0IEG5ABCC6L87
Federal Home Loan Mortgage Corp.
3132HNDN6
2096.68000000
PA
USD
2125.53000000
0.000260802293
Long
ABS-MBS
USGSE
US
N
2
2042-10-01
Fixed
3.50000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Uniform Mortgage-Backed Securities
3138WFKW5
15014.69000000
PA
USD
15548.23000000
0.001907766081
Long
ABS-MBS
USGSE
US
N
2
2030-08-01
Fixed
3.50000000
N
N
N
N
N
N
International Paper Co.
824LMFJDH41EY779Q875
International Paper Co.
460146CH4
42000.00000000
PA
USD
50006.15000000
0.006135749011
Long
DBT
CORP
US
N
2
2041-11-15
Fixed
6.00000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Uniform Mortgage-Backed Securities
3138EM3N9
3338.20000000
PA
USD
3652.92000000
0.000448212875
Long
ABS-MBS
USGSE
US
N
2
2040-03-01
Fixed
5.50000000
N
N
N
N
N
N
N/A
N/A
SOP
N/A
146730000.00000000
PA
USD
303901.18000000
0.037288640792
N/A
DIR
US
N
2
Bank of America NA
B4TYDEB6GKMZO031MB27
Put
Purchased
N/A
Swaption
1.00000000
2.02000000
USD
2022-05-04
XXXX
142498.18000000
N
N
N
AbbVie, Inc.
FR5LCKFTG8054YNNRU85
AbbVie, Inc.
00287YBM0
197000.00000000
PA
USD
197664.14000000
0.024253367867
Long
DBT
CORP
US
N
2
2022-11-21
Fixed
2.30000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Government National Mortgage Association
36179UPB2
331705.63720000
PA
USD
344895.18000000
0.042318600006
Long
ABS-MBS
USGA
US
N
2
2049-03-20
Fixed
4.50000000
N
N
N
N
N
N
JPMBB Commercial Mortgage Securities Trust
N/A
JPMBB Commercial Mortgage Securities Trust, Series 2014-C22, Class XA
46642NBF2
1071593.09140000
PA
USD
16617.84000000
0.002039007109
Long
ABS-MBS
CORP
US
N
2
2047-09-15
Variable
0.81580680
N
N
N
N
N
N
CenterPoint Energy Resources Corp.
2JADVB0458J06WCD4N56
CenterPoint Energy Resources Corp.
15189YAF3
532000.00000000
PA
USD
466380.76000000
0.057224867083
Long
DBT
CORP
US
N
2
2030-10-01
Fixed
1.75000000
N
N
N
N
N
N
Home Depot, Inc. (The)
QEKMOTMBBKA8I816DO57
Home Depot, Inc. (The)
437076BX9
138000.00000000
PA
USD
155038.20000000
0.019023169797
Long
DBT
CORP
US
N
2
2048-12-06
Fixed
4.50000000
N
N
N
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
-934.64000000
-0.00011468022
N/A
DFE
N/A
N
2
State Street Bank and Trust
571474TGEMMWANRLN572
167978.95000000
USD
127197.04000000
GBP
2022-06-15
-934.64000000
N
N
N
Sound Point Euro CLO II Funding DAC
6354002JD5KEK1NGKT05
Sound Point Euro CLO II Funding DAC, Series 2A, Class ER
N/A
250000.00000000
PA
255375.80000000
0.031334582094
Long
ABS-CBDO
CORP
IE
N
2
2036-01-26
Floating
6.33999960
N
N
N
N
N
N
BCPE North Star US Holdco 2, Inc.
N/A
BCPE North Star US Holdco 2, Inc., 1st Lien Term Loan
05552DAD4
192000.00000000
PA
USD
187860.48000000
0.023050459882
Long
LON
CORP
US
N
2
2028-06-09
Variable
4.75000000
N
N
N
N
N
N
Bank of America Corp.
9DJT3UXIJIZJI4WXO774
Bank of America Corp.
06051GGQ6
83000.00000000
PA
USD
83067.77000000
0.010192406087
Long
DBT
CORP
US
N
2
2023-07-21
Variable
2.81599920
N
N
N
N
N
N
Ford Motor Co.
20S05OYHG0MQM4VUIC57
Ford Motor Co.
345370DA5
44000.00000000
PA
USD
39297.72000000
0.004821825848
Long
DBT
CORP
US
N
2
2032-02-12
Fixed
3.25000000
N
N
N
N
N
N
Federal National Mortgage Association or Federal Home Loan Mortgage Corp.
N/A
Uniform Mortgage-Backed Securities
01F020448
11001000.00000000
PA
USD
10684291.55000000
1.310961378065
Long
ABS-MBS
USGSE
US
N
2
2037-04-25
Fixed
2.00000000
N
N
N
N
N
N
AT&T, Inc.
549300Z40J86GGSTL398
AT&T, Inc.
00206RLJ9
763000.00000000
PA
USD
672940.23000000
0.082569690947
Long
DBT
CORP
US
N
2
2055-09-15
Fixed
3.55000000
N
N
N
N
N
N
Southwestern Public Service Co.
OL6FE7QD5EQ3DOYEO258
Southwestern Public Service Co., Series 8
845743BU6
270000.00000000
PA
USD
241733.78000000
0.029660707766
Long
DBT
CORP
US
N
2
2050-05-01
Fixed
3.15000000
N
N
N
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
-511.76000000
-0.00006279289
N/A
DFE
N/A
N
2
Deutsche Bank
7LTWFZYICNSX8D621K86
266083.70000000
MXN
12866.00000000
USD
2022-04-01
-511.76000000
N
N
N
Merck & Co., Inc.
4YV9Y5M8S0BRK1RP0397
Merck & Co., Inc.
58933YBB0
126000.00000000
PA
USD
104749.78000000
0.012852786288
Long
DBT
CORP
US
N
2
2050-06-24
Fixed
2.45000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Uniform Mortgage-Backed Securities
3138EJXL7
14901.01000000
PA
USD
15837.26000000
0.001943230030
Long
ABS-MBS
USGSE
US
N
2
2042-09-01
Fixed
4.50000000
N
N
N
N
N
N
Federal Home Loan Mortgage Corp.
S6XOOCT0IEG5ABCC6L87
Federal Home Loan Mortgage Corp.
31335BFU5
84435.86860000
PA
USD
88789.83000000
0.010894502209
Long
ABS-MBS
USGSE
US
N
2
2047-07-01
Fixed
4.50000000
N
N
N
N
N
N
Federal Home Loan Mortgage Corp.
S6XOOCT0IEG5ABCC6L87
Federal Home Loan Mortgage Corp.
3132JNEF0
33390.49000000
PA
USD
33300.75000000
0.004085998300
Long
ABS-MBS
USGSE
US
N
2
2043-08-01
Fixed
3.00000000
N
N
N
N
N
N
Federal Home Loan Mortgage Corp.
S6XOOCT0IEG5ABCC6L87
Federal Home Loan Mortgage Corp.
3132XCSJ5
117849.98440000
PA
USD
123890.72000000
0.015201377485
Long
ABS-MBS
USGSE
US
N
2
2049-04-01
Fixed
4.50000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Uniform Mortgage-Backed Securities
3138ERHD5
4632.80000000
PA
USD
4629.03000000
0.000567981463
Long
ABS-MBS
USGSE
US
N
2
2036-10-01
Fixed
3.00000000
N
N
N
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
-196.59000000
-0.00002412157
N/A
DFE
N/A
N
2
BNP Paribas
R0MUWSFPU8MPRO8K5P83
859180.23000000
MXN
43000.00000000
USD
2022-04-01
-196.59000000
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Uniform Mortgage-Backed Securities
3140QKWK0
33693.57000000
PA
USD
34213.75000000
0.004198023297
Long
ABS-MBS
USGSE
US
N
2
2036-05-01
Fixed
3.00000000
N
N
N
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
-2342.89000000
-0.00028747234
N/A
DFE
N/A
N
2
Citibank
MBNUM2BPBDO7JBLYG310
957692330.10000000
COP
250938.00000000
USD
2022-04-20
-2342.89000000
N
N
N
CenterPoint Energy Houston Electric LLC
549300S8SEQBOJLKHW63
CenterPoint Energy Houston Electric LLC
15189XAS7
85000.00000000
PA
USD
88333.53000000
0.010838514250
Long
DBT
CORP
US
N
2
2048-03-01
Fixed
3.95000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Uniform Mortgage-Backed Securities
3138M5G37
13143.41000000
PA
USD
13987.28000000
0.001716237691
Long
ABS-MBS
USGSE
US
N
2
2042-08-01
Fixed
4.50000000
N
N
N
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
3161.96000000
0.000387972138
N/A
DFE
N/A
N
2
JP Morgan Chase Bank
7H6GLXDRUGQFU57RNE97
661000.00000000
EUR
736464.39000000
USD
2022-06-15
3161.96000000
N
N
N
AbbVie, Inc.
FR5LCKFTG8054YNNRU85
AbbVie, Inc.
00287YBD0
50000.00000000
PA
USD
56510.54000000
0.006933836936
Long
DBT
CORP
US
N
2
2048-11-14
Fixed
4.87500000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Uniform Mortgage-Backed Securities
3140X83P0
135985.69390000
PA
USD
126648.00000000
0.015539695433
Long
ABS-MBS
USGSE
US
N
2
2050-12-01
Fixed
2.00000000
N
N
N
N
N
N
State of California
N/A
State of California, Series 2009
13063A5G5
65000.00000000
PA
USD
96625.89000000
0.011855985894
Long
DBT
MUN
US
N
2
2039-04-01
Fixed
7.55000000
N
N
N
N
N
N
United States of America
254900HROIFWPRGM1V77
U.S. Treasury Bonds
912810QZ4
528000.00000000
PA
USD
568260.00000000
0.069725438435
Long
DBT
UST
US
N
2
2043-02-15
Fixed
3.12500000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Uniform Mortgage-Backed Securities
3140QKWL8
71673.69000000
PA
USD
72692.88000000
0.008919408244
Long
ABS-MBS
USGSE
US
N
2
2036-05-01
Fixed
3.00000000
N
N
N
N
N
N
Consumers Energy Co.
7NKTFWJ1G6MELP9TU740
Consumers Energy Co.
210518DH6
120000.00000000
PA
USD
117208.65000000
0.014381488244
Long
DBT
CORP
US
N
2
2051-08-01
Fixed
3.50000000
N
N
N
N
N
N
Morgan Stanley
IGJSJL3JD5P30I6NJZ34
Morgan Stanley
6174468U6
86000.00000000
PA
USD
73953.64000000
0.009074103355
Long
DBT
CORP
US
N
2
2032-02-13
Variable
1.79399880
N
N
N
N
N
N
United Airlines Pass-Through Trust
N/A
United Airlines Pass-Through Trust, Series 2014-2, Class B
90932QAB2
13988.20230000
PA
USD
14065.21000000
0.001725799693
Long
DBT
CORP
US
N
2
2022-09-03
Fixed
4.62500000
N
N
N
N
N
N
Citigroup, Inc.
6SHGI4ZSSLCXXQSBB395
Citigroup, Inc.
172967NL1
1585000.00000000
PA
USD
1579651.92000000
0.193823113887
Long
DBT
CORP
US
N
2
2026-03-17
Variable
3.29000040
N
N
N
N
N
N
Tory Burch LLC, Term Loan
N/A
Tory Burch LLC, Term Loan B
89148GAF7
136965.00000000
PA
USD
132856.05000000
0.016301422474
Long
LON
CORP
US
N
2
2028-04-16
Variable
3.50000000
N
N
N
N
N
N
Verizon Communications, Inc.
2S72QS2UO2OESLG6Y829
Verizon Communications, Inc.
92343VGL2
427000.00000000
PA
USD
375867.62000000
0.046118914930
Long
DBT
CORP
US
N
2
2041-09-03
Fixed
2.85000000
N
N
N
N
N
N
Bank of America Corp.
9DJT3UXIJIZJI4WXO774
Bank of America Corp.
06051GGZ6
236000.00000000
PA
USD
236119.11000000
0.028971788385
Long
DBT
CORP
US
N
2
2026-01-23
Variable
3.36600000
N
N
N
N
N
N
Rogers Communications, Inc.
54930030NVF3Y2OL0A78
Rogers Communications, Inc.
775109CC3
628000.00000000
PA
USD
623137.14000000
0.076458857375
Long
DBT
CORP
CA
N
2
2032-03-15
Fixed
3.80000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Uniform Mortgage-Backed Securities
3140QANL0
1191908.27670000
PA
USD
1265161.24000000
0.155235142630
Long
ABS-MBS
USGSE
US
N
2
2049-02-01
Fixed
4.50000000
N
N
N
N
N
N
Equinix, Inc.
549300EVUN2BTLJ3GT74
Equinix, Inc.
29444UBS4
237000.00000000
PA
USD
212547.23000000
0.026079521345
Long
DBT
CORP
US
N
2
2031-05-15
Fixed
2.50000000
N
N
N
N
N
N
Powerlong Real Estate Holdings Ltd.
549300R3K12EPXCGDP22
Powerlong Real Estate Holdings Ltd.
N/A
200000.00000000
PA
USD
98000.00000000
0.012024589037
Long
DBT
CORP
KY
N
2
2022-11-08
Fixed
7.12500000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Government National Mortgage Association
21H030658
1400000.00000000
PA
USD
1379929.68000000
0.169317217380
Long
ABS-MBS
USGA
US
N
2
2052-05-15
Fixed
3.00000000
N
N
N
N
N
N
Federal Home Loan Mortgage Corp.
S6XOOCT0IEG5ABCC6L87
Federal Home Loan Mortgage Corp.
3132GDC67
459.99000000
PA
USD
481.52000000
0.000059082450
Long
ABS-MBS
USGSE
US
N
2
2041-04-01
Fixed
4.00000000
N
N
N
N
N
N
Generacion Mediterranea SA
N/A
Generacion Mediterranea SA
36875KAD3
230538.14000000
PA
USD
184430.51000000
0.022629602947
Long
DBT
CORP
AR
N
2
2027-12-01
Fixed
9.62500000
N
N
N
N
N
N
Embraer Netherlands Finance BV
724500PBR8LR26XBSP67
Embraer Netherlands Finance BV
29082HAB8
36000.00000000
PA
USD
36067.50000000
0.004425478215
Long
DBT
CORP
NL
N
2
2027-02-01
Fixed
5.40000000
N
N
N
N
N
N
Venture XVIII CLO Ltd.
549300MWRVTJN0X3KI79
Venture XVIII CLO Ltd., Series 2014-18A, Class AR
92329FAP2
315000.00000000
PA
USD
314051.19000000
0.038534045883
Long
ABS-CBDO
CORP
KY
N
2
2029-10-15
Floating
1.46129040
N
N
N
N
N
N
Buckeye Partners LP
549300C1PQJLVEIUBK50
Buckeye Partners LP, Term Loan B1
11823LAK1
457703.80000000
PA
USD
453914.01000000
0.055695198253
Long
LON
CORP
US
N
2
2026-11-01
Variable
2.70743000
N
N
N
N
N
N
Northern States Power Co.
3S1GHB0TEH85KX44SB51
Northern States Power Co.
665772CU1
50000.00000000
PA
USD
47045.12000000
0.005772430961
Long
DBT
CORP
US
N
2
2052-04-01
Fixed
3.20000000
N
N
N
N
N
N
Enterprise Products Operating LLC
5493004LGN656HWLDA30
Enterprise Products Operating LLC
29379VBT9
998000.00000000
PA
USD
1037801.64000000
0.127338145141
Long
DBT
CORP
US
N
2
2028-10-16
Fixed
4.15000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Uniform Mortgage-Backed Securities
3140FCTM0
48995.90000000
PA
USD
48626.08000000
0.005966414576
Long
ABS-MBS
USGSE
US
N
2
2047-02-01
Fixed
3.00000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Uniform Mortgage-Backed Securities
3140X7CB3
671745.89840000
PA
USD
686399.12000000
0.084221095245
Long
ABS-MBS
USGSE
US
N
2
2049-09-01
Fixed
4.00000000
N
N
N
N
N
N
iHeartCommunications, Inc.
54930076J6KDZL504O62
iHeartCommunications, Inc.
45174HBC0
59939.00000000
PA
USD
61587.32000000
0.007556757274
Long
DBT
CORP
US
N
2
2026-05-01
Fixed
6.37500000
N
N
N
N
N
N
Southwestern Energy Co.
N/A
Southwestern Energy Co., Term Loan
84546SAU7
160597.50000000
PA
USD
160196.01000000
0.019656032507
Long
LON
CORP
US
N
3
2027-06-22
Variable
3.15112000
N
N
N
N
N
N
Home Equity Mortgage Trust
N/A
Home Equity Mortgage Trust, Series 2006-2, Class 1A1
225470W25
52619.24000000
PA
USD
6922.45000000
0.000849383840
Long
ABS-O
CORP
US
N
2
2036-07-25
Variable
5.86720080
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Uniform Mortgage-Backed Securities
31418CLH5
214452.31620000
PA
USD
220853.88000000
0.027098746371
Long
ABS-MBS
USGSE
US
N
2
2047-06-01
Fixed
4.00000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Uniform Mortgage-Backed Securities
31417C3C7
24486.87720000
PA
USD
24262.21000000
0.002976970453
Long
ABS-MBS
USGSE
US
N
2
2027-09-01
Fixed
2.50000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Uniform Mortgage-Backed Securities
3140QM3K8
451000.38940000
PA
USD
420111.05000000
0.051547578842
Long
ABS-MBS
USGSE
US
N
2
2052-01-01
Fixed
2.00000000
N
N
N
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
83.09000000
0.000010195133
N/A
DFE
N/A
N
2
Barclays Bank
G5GSEF7VJP5I7OUK5573
2595.64000000
USD
41315.53000000
TRY
2022-06-08
83.09000000
N
N
N
United States of America
254900HROIFWPRGM1V77
U.S. Treasury Notes
9128284V9
309000.00000000
PA
USD
316616.37000000
0.038848793183
Long
DBT
UST
US
N
2
2028-08-15
Fixed
2.87500000
N
N
N
N
N
N
N/A
N/A
CDSCMBX
N/A
10000.00000000
PA
USD
-329.23000000
-0.00004039648
N/A
DCR
US
N
2
JPMorgan Securities LLC
ZBUT11V806EZRVTWT807
Markit CMBX North American BBB- 10
Markit CMBX North American BBB- 10
Y
Payout of notional amount upon default event with regard to the reference instrument
2059-11-17
0.00000000
USD
779.91000000
USD
10000.00000000
USD
-329.23000000
N
N
N
Los Angeles Community College District
N/A
Los Angeles Community College District, Series 2010E
54438CNZ1
110000.00000000
PA
USD
155510.77000000
0.019081154083
Long
DBT
MUN
US
N
2
2042-08-01
Fixed
6.60000000
N
N
N
N
N
N
Alternative Loan Trust
N/A
Alternative Loan Trust, Series 2005-72, Class A3
12668A3Q6
45136.51000000
PA
USD
39772.01000000
0.004880021178
Long
ABS-MBS
CORP
US
N
2
2036-01-25
Floating
1.05657120
N
N
N
N
N
N
Anchorage Capital CLO 5-R Ltd.
549300687XYK5L55VX28
Anchorage Capital CLO 5-R Ltd., Series 2014-5RA, Class B
03329AAE5
500000.00000000
PA
USD
496250.00000000
0.060889819490
Long
ABS-CBDO
CORP
KY
N
2
2030-01-15
Floating
1.69129080
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Government National Mortgage Association
36179WTY4
3682630.18900000
PA
USD
3576594.71000000
0.438847770847
Long
ABS-MBS
USGA
US
N
2
2051-12-20
Fixed
2.50000000
N
N
N
N
N
N
Ajax Mortgage Loan Trust
N/A
Ajax Mortgage Loan Trust, Series 2018-D, Class A
00968EAA7
264479.28000000
PA
USD
265031.91000000
0.032519385711
Long
ABS-MBS
CORP
US
N
2
2058-08-25
Variable
3.75000120
N
N
N
N
N
N
Benchmark Mortgage Trust
N/A
Benchmark Mortgage Trust, Series 2019-B10, Class 3CCA
08162VBJ6
148000.00000000
PA
USD
140963.80000000
0.017296242492
Long
ABS-MBS
CORP
US
N
2
2062-03-15
Variable
3.89946960
N
N
N
N
N
N
Santander UK Group Holdings plc
549300F5XIFGNNW4CF72
Santander UK Group Holdings plc
80281LAR6
200000.00000000
PA
USD
186011.43000000
0.022823581654
Long
DBT
CORP
GB
N
2
2028-01-11
Variable
2.46899880
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Uniform Mortgage-Backed Securities
3138XQL58
25889.60000000
PA
USD
26158.50000000
0.003209645023
Long
ABS-MBS
USGSE
US
N
2
2029-05-01
Fixed
3.00000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Uniform Mortgage-Backed Securities
3140XGHK8
3792215.00000000
PA
USD
3875053.28000000
0.475468604001
Long
ABS-MBS
USGSE
US
N
2
2052-05-01
Fixed
4.00000000
N
N
N
N
N
N
JPMorgan Chase & Co.
8I5DZWZKVSZI1NUHU748
JPMorgan Chase & Co.
46647PCU8
927000.00000000
PA
USD
873932.32000000
0.107231397907
Long
DBT
CORP
US
N
2
2033-01-25
Variable
2.96300160
N
N
N
N
N
N
Olaplex, Inc.
N/A
Olaplex, Inc., Term Loan
67936UAB7
469000.00000000
PA
USD
466655.00000000
0.057258516301
Long
LON
CORP
US
N
3
2029-02-23
Variable
4.25000000
N
N
N
N
N
N
Westlake Corp.
GOXNEVUM0LL78B1OS344
Westlake Corp.
960413BA9
216000.00000000
PA
USD
175694.26000000
0.021557666049
Long
DBT
CORP
US
N
2
2061-08-15
Fixed
3.37500000
N
N
N
N
N
N
Federal Home Loan Mortgage Corp.
S6XOOCT0IEG5ABCC6L87
Uniform Mortgage-Backed Securities
3132DVLP8
354617.57170000
PA
USD
340744.61000000
0.041809325532
Long
ABS-MBS
USGSE
US
N
2
2051-02-01
Fixed
2.50000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Government National Mortgage Association
36202FDB9
1436.07000000
PA
USD
1528.97000000
0.000187604447
Long
ABS-MBS
USGA
US
N
2
2039-12-20
Fixed
4.50000000
N
N
N
N
N
N
United Airlines Pass-Through Trust
N/A
United Airlines Pass-Through Trust, Series 2019-2, Class B
90932KAA7
132022.67000000
PA
USD
119274.49000000
0.014634966581
Long
DBT
CORP
US
N
2
2028-05-01
Fixed
3.50000000
N
N
N
N
N
N
JPMorgan Chase & Co.
8I5DZWZKVSZI1NUHU748
JPMorgan Chase & Co.
46647PBH8
1241000.00000000
PA
USD
1196407.63000000
0.146799082373
Long
DBT
CORP
US
N
2
2026-03-13
Variable
2.00499840
N
N
N
N
N
N
Goldman Sachs Group, Inc. (The)
784F5XWPLTWKTBV3E584
Goldman Sachs Group, Inc. (The)
38143U8H7
339000.00000000
PA
USD
344346.58000000
0.042251286848
Long
DBT
CORP
US
N
2
2026-02-25
Fixed
3.75000000
N
N
N
N
N
N
Vistra Operations Co. LLC
549300ZH5GKBTJZ7NM23
Vistra Operations Co. LLC
92840VAF9
93000.00000000
PA
USD
91494.33000000
0.011226344056
Long
DBT
CORP
US
N
2
2027-07-31
Fixed
5.00000000
N
N
N
N
N
N
Federal Home Loan Mortgage Corp.
S6XOOCT0IEG5ABCC6L87
Uniform Mortgage-Backed Securities
3133A8RR0
88005.88000000
PA
USD
81956.43000000
0.010056044793
Long
ABS-MBS
USGSE
US
N
2
2050-08-01
Fixed
2.00000000
N
N
N
N
N
N
Mizuho Financial Group, Inc.
353800CI5L6DDAN5XZ33
Mizuho Financial Group, Inc.
60687YBL2
225000.00000000
PA
USD
196708.43000000
0.024136102357
Long
DBT
CORP
JP
N
2
2031-09-08
Variable
1.97899920
N
N
N
N
N
N
N/A
N/A
CDSCMBX
N/A
28694.38062000
PA
USD
4356.62000000
0.000534556786
N/A
DCR
US
N
2
JPMorgan Securities LLC
ZBUT11V806EZRVTWT807
Markit CMBX North American BBB- 6
Markit CMBX North American BBB- 6
Y
Receipt of notional amount upon default event with regard to the reference instrument
2063-05-11
2632.35000000
USD
0.00000000
USD
28694.00000000
USD
4356.62000000
N
N
N
Outfront Media Capital LLC
N/A
Outfront Media Capital LLC
69007TAB0
97000.00000000
PA
USD
94825.26000000
0.011635048795
Long
DBT
CORP
US
N
2
2027-08-15
Fixed
5.00000000
N
N
N
N
N
N
Textron, Inc.
3PPKBHUG1HD6BO7RNR87
Textron, Inc.
883203CC3
110000.00000000
PA
USD
99589.59000000
0.012219631553
Long
DBT
CORP
US
N
2
2031-03-15
Fixed
2.45000000
N
N
N
N
N
N
Federal Home Loan Mortgage Corp.
S6XOOCT0IEG5ABCC6L87
Federal Home Loan Mortgage Corp.
3132QTAC0
3919.93000000
PA
USD
3994.44000000
0.000490117341
Long
ABS-MBS
USGSE
US
N
2
2045-09-01
Fixed
3.50000000
N
N
N
N
N
N
Norfolk Southern Corp.
54930036C8MWP850MI84
Norfolk Southern Corp.
655844CD8
273000.00000000
PA
USD
254785.31000000
0.031262129037
Long
DBT
CORP
US
N
2
2049-11-01
Fixed
3.40000000
N
N
N
N
N
N
N/A
N/A
USCPI
N/A
1930000.00000000
PA
USD
-96735.17000000
-0.01186939453
N/A
DO
GB
N
2
LCH Clearnet
549300TXTCI7WVVJS380
Y
2031-11-05
0.00000000
USD
0.00000000
USD
1930000.00000000
USD
-96735.17000000
N
N
N
Bank of America Corp.
9DJT3UXIJIZJI4WXO774
Bank of America Corp.
06051GHM4
760000.00000000
PA
USD
784094.37000000
0.096208291492
Long
DBT
CORP
US
N
2
2029-07-23
Variable
4.27100040
N
N
N
N
N
N
N/A
N/A
U.S. Treasury 2 Year Note
N/A
175.00000000
NC
USD
-380671.32000000
-0.04670832838
N/A
DIR
US
N
1
CME Clearing House
LCZ7XYGSLJUHFXXNXD88
Long
N/A
U.S. Treasury 2 Year Note
2022-06-30
37061718.75000000
USD
-380671.32000000
N
N
N
Baltimore Gas & Electric Co.
88V8C2WYSOD1SPSSLH72
Baltimore Gas & Electric Co.
059165EL0
125000.00000000
PA
USD
112687.86000000
0.013826787817
Long
DBT
CORP
US
N
2
2049-09-15
Fixed
3.20000000
N
N
N
N
N
N
Bear Stearns Asset-Backed Securities I Trust
N/A
Bear Stearns Asset-Backed Securities I Trust, Series 2007-FS1, Class 1A3
073855AC2
13687.11000000
PA
USD
13564.58000000
0.001664372448
Long
ABS-O
CORP
US
N
2
2035-05-25
Floating
0.79656840
N
N
N
N
N
N
MidAmerican Energy Co.
NINLOILYRTLIMK26MZ18
MidAmerican Energy Co.
595620AQ8
193000.00000000
PA
USD
192912.32000000
0.023670320085
Long
DBT
CORP
US
N
2
2027-05-01
Fixed
3.10000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Uniform Mortgage-Backed Securities
3138WFAD8
26930.03630000
PA
USD
26677.44000000
0.003273318903
Long
ABS-MBS
USGSE
US
N
2
2030-07-01
Fixed
2.50000000
N
N
N
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
-1079.02000000
-0.00013239563
N/A
DFE
N/A
N
2
Deutsche Bank
7LTWFZYICNSX8D621K86
3677920870.00000000
IDR
255198.51000000
USD
2022-04-18
-1079.02000000
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
-1219.62000000
-0.00014964723
N/A
DFE
N/A
N
2
Deutsche Bank
7LTWFZYICNSX8D621K86
401030.97000000
BRL
83012.00000000
USD
2022-04-04
-1219.62000000
N
N
N
Charter Communications Operating LLC
N/A
Charter Communications Operating LLC
161175CJ1
404000.00000000
PA
USD
402805.13000000
0.049424144394
Long
DBT
CORP
US
N
2
2033-04-01
Fixed
4.40000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Uniform Mortgage-Backed Securities
3140E42P1
3205.39000000
PA
USD
3233.48000000
0.000396747634
Long
ABS-MBS
USGSE
US
N
2
2030-11-01
Fixed
3.00000000
N
N
N
N
N
N
Madison Avenue Manufactured Housing Contract Trust
N/A
Madison Avenue Manufactured Housing Contract Trust, Series 2002-A, Class B2
55660AAG7
14255.85000000
PA
USD
14249.42000000
0.001748402240
Long
ABS-O
CORP
US
N
2
2032-03-25
Floating
3.70657080
N
N
N
N
N
N
Comcast Corp.
51M0QTTNCGUN7KFCFZ59
Comcast Corp.
20030NCZ2
80000.00000000
PA
USD
74842.72000000
0.009183193372
Long
DBT
CORP
US
N
2
2050-02-01
Fixed
3.45000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Government National Mortgage Association Variable Rate Notes, Series 2015-173
38379K7R3
132708.07160000
PA
USD
3968.99000000
0.000486994629
Long
ABS-MBS
USGA
US
N
2
2055-09-16
Variable
0.67047840
N
N
N
N
N
N
United States of America
254900HROIFWPRGM1V77
U.S. Treasury Notes
912828N30
1029000.00000000
PA
USD
1034225.39000000
0.126899339666
Long
DBT
UST
US
N
2
2022-12-31
Fixed
2.12500000
N
N
N
N
N
N
Federal Home Loan Mortgage Corp.
S6XOOCT0IEG5ABCC6L87
Federal Home Loan Mortgage Corp.
3132KFAB8
21565.82000000
PA
USD
21380.75000000
0.002623415633
Long
ABS-MBS
USGSE
US
N
2
2030-08-01
Fixed
2.50000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Uniform Mortgage-Backed Securities
31417F4H8
32122.47000000
PA
USD
32059.41000000
0.003933686020
Long
ABS-MBS
USGSE
US
N
2
2043-04-01
Fixed
3.00000000
N
N
N
N
N
N
N/A
N/A
USCPI
N/A
1123616.00000000
PA
USD
-49368.47000000
-0.00605750574
N/A
DO
GB
N
2
LCH Clearnet
549300TXTCI7WVVJS380
Y
2031-11-10
0.00000000
USD
0.00000000
USD
1123616.00000000
USD
-49368.47000000
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Government National Mortgage Association
36241KXQ6
9654.59000000
PA
USD
10647.49000000
0.001306445831
Long
ABS-MBS
USGA
US
N
2
2038-12-15
Fixed
5.00000000
N
N
N
N
N
N
Bank of America Corp.
9DJT3UXIJIZJI4WXO774
Bank of America Corp.
06051GJE0
536000.00000000
PA
USD
452576.02000000
0.055531027029
Long
DBT
CORP
US
N
2
2041-06-19
Variable
2.67599880
N
N
N
N
N
N
HSBC Holdings plc
MLU0ZO3ML4LN2LL2TL39
HSBC Holdings plc
404280CV9
208000.00000000
PA
USD
187088.82000000
0.022955777286
Long
DBT
CORP
GB
N
2
2029-08-17
Variable
2.20600080
N
N
N
N
N
N
United States of America
254900HROIFWPRGM1V77
U.S. Treasury Notes
9128282R0
3746000.00000000
PA
USD
3705613.44000000
0.454678354586
Long
DBT
UST
US
N
2
2027-08-15
Fixed
2.25000000
N
N
N
N
N
N
Mid-Atlantic Interstate Transmission LLC
N/A
Mid-Atlantic Interstate Transmission LLC
59524QAA3
52000.00000000
PA
USD
52466.33000000
0.006437612822
Long
DBT
CORP
US
N
2
2028-05-15
Fixed
4.10000000
N
N
N
N
N
N
Owens Corning
JO5M6676RDJIZ2U8X907
Owens Corning
690742AJ0
41000.00000000
PA
USD
41727.99000000
0.005120019705
Long
DBT
CORP
US
N
2
2029-08-15
Fixed
3.95000000
N
N
N
N
N
N
BlueMountain CLO Ltd.
549300KGXMRFX2DKIX03
BlueMountain CLO Ltd., Series 2013-2A, Class A1R
09626YAN0
490192.82000000
PA
USD
488975.97000000
0.059997296823
Long
ABS-CBDO
CORP
KY
N
2
2030-10-22
Floating
1.43885880
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Government National Mortgage Association
36179UWA6
6030.77620000
PA
USD
6256.13000000
0.000767626451
Long
ABS-MBS
USGA
US
N
2
2049-07-20
Fixed
4.50000000
N
N
N
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
7339.54000000
0.000900560737
N/A
DFE
N/A
N
2
Goldman Sachs International
W22LROWP2IHZNBB6K528
83012.00000000
USD
430168.18000000
BRL
2022-04-04
7339.54000000
N
N
N
Ajax Mortgage Loan Trust
N/A
Ajax Mortgage Loan Trust, Series 2018-A, Class B
00969EAB4
2535.05000000
PA
USD
2426.85000000
0.000297774223
Long
ABS-MBS
CORP
US
N
2
2058-04-25
Fixed
0.00000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Uniform Mortgage-Backed Securities
3138WHD25
35110.57260000
PA
USD
34794.67000000
0.004269302116
Long
ABS-MBS
USGSE
US
N
2
2031-06-01
Fixed
2.50000000
N
N
N
N
N
N
Wells Fargo & Co.
PBLD0EJDB5FWOLXP3B76
Wells Fargo & Co.
95000U2G7
95000.00000000
PA
USD
90291.67000000
0.011078777809
Long
DBT
CORP
US
N
2
2030-10-30
Variable
2.87899920
N
N
N
N
N
N
JPMorgan Chase Commercial Mortgage Securities Trust
N/A
JPMorgan Chase Commercial Mortgage Securities Trust, Series 2015-JP1, Class D
46590KAL8
50000.00000000
PA
USD
44985.68000000
0.005519737904
Long
ABS-MBS
CORP
US
N
2
2049-01-15
Variable
4.21869240
N
N
N
N
N
N
Goldman Sachs Group, Inc. (The)
784F5XWPLTWKTBV3E584
Goldman Sachs Group, Inc. (The)
38141GYA6
700000.00000000
PA
USD
645050.62000000
0.079147638920
Long
DBT
CORP
US
N
2
2027-03-09
Variable
1.43100000
N
N
N
N
N
N
Verizon Communications, Inc.
2S72QS2UO2OESLG6Y829
Verizon Communications, Inc.
92343VGH1
729000.00000000
PA
USD
679481.76000000
0.083372335946
Long
DBT
CORP
US
N
2
2028-03-22
Fixed
2.10000000
N
N
N
N
N
N
LCM 26 Ltd.
N/A
LCM 26 Ltd., Series 26A, Class A1
50200FAC3
280000.00000000
PA
USD
278217.04000000
0.034137199687
Long
ABS-CBDO
CORP
KY
N
2
2031-01-20
Floating
1.32400080
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Uniform Mortgage-Backed Securities
3140QC6E1
320096.07830000
PA
USD
326893.66000000
0.040109815516
Long
ABS-MBS
USGSE
US
N
2
2050-03-01
Fixed
4.00000000
N
N
N
N
N
N
United States of America
254900HROIFWPRGM1V77
U.S. Treasury Notes
91282CCF6
4768000.00000000
PA
USD
4434612.48000000
0.544126455250
Long
DBT
UST
US
N
2
2026-05-31
Fixed
0.75000000
N
N
N
N
N
N
Mitsubishi UFJ Financial Group, Inc.
353800V2V8PUY9TK3E06
Mitsubishi UFJ Financial Group, Inc.
606822BN3
461000.00000000
PA
USD
445692.14000000
0.054686375723
Long
DBT
CORP
JP
N
2
2025-02-25
Fixed
2.19300000
N
N
N
N
N
N
United States of America
254900HROIFWPRGM1V77
U.S. Treasury Bonds
912810SS8
13000.00000000
PA
USD
10652.89000000
0.001307108411
Long
DBT
UST
US
N
2
2050-11-15
Fixed
1.62500000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Uniform Mortgage-Backed Securities
3140E1RT2
1637.16000000
PA
USD
1653.20000000
0.000202847455
Long
ABS-MBS
USGSE
US
N
2
2030-08-01
Fixed
3.00000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Uniform Mortgage-Backed Securities
3140X9PE9
137931.91260000
PA
USD
141131.64000000
0.017316836441
Long
ABS-MBS
USGSE
US
N
2
2050-04-01
Fixed
4.00000000
N
N
N
N
N
N
Navient Corp.
54930067J0ZNOEBRW338
Navient Corp.
63938CAB4
37000.00000000
PA
USD
37745.18000000
0.004631329363
Long
DBT
CORP
US
N
2
2024-10-25
Fixed
5.87500000
N
N
N
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
1499.68000000
0.000184010568
N/A
DFE
N/A
N
2
JP Morgan Chase Bank
7H6GLXDRUGQFU57RNE97
740000.00000000
EUR
822443.40000000
USD
2022-06-15
1499.68000000
N
N
N
Federal Home Loan Mortgage Corp.
S6XOOCT0IEG5ABCC6L87
Uniform Mortgage-Backed Securities
3132DMR23
45174.58000000
PA
USD
47058.85000000
0.005774115631
Long
ABS-MBS
USGSE
US
N
2
2048-06-01
Fixed
4.00000000
N
N
N
N
N
N
Alternative Loan Trust
N/A
Alternative Loan Trust, Series 2006-OA16, Class A4C
23242GAZ7
142702.37000000
PA
USD
112865.36000000
0.013848567047
Long
ABS-MBS
CORP
US
N
2
2046-10-25
Floating
1.13657040
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Uniform Mortgage-Backed Securities
3140HH6H3
11267.22820000
PA
USD
11879.59000000
0.001457624364
Long
ABS-MBS
USGSE
US
N
2
2048-07-01
Fixed
4.50000000
N
N
N
N
N
N
Anheuser-Busch Cos. LLC
N/A
Anheuser-Busch Cos. LLC
03522AAH3
923000.00000000
PA
USD
989931.90000000
0.121464533398
Long
DBT
CORP
US
N
2
2036-02-01
Fixed
4.70000000
N
N
N
N
N
N
T-Mobile USA, Inc.
549300V2JRLO5DIFGE82
T-Mobile USA, Inc.
87264ABD6
491000.00000000
PA
USD
493870.05000000
0.060597799891
Long
DBT
CORP
US
N
2
2027-04-15
Fixed
3.75000000
N
N
N
N
N
N
United Airlines Pass-Through Trust
N/A
United Airlines Pass-Through Trust, Series 2020-1, Class B
90932VAA3
116640.00000000
PA
USD
115117.46000000
0.014124899465
Long
DBT
CORP
US
N
2
2026-01-15
Fixed
4.87500000
N
N
N
N
N
N
JPMorgan Chase & Co.
8I5DZWZKVSZI1NUHU748
JPMorgan Chase & Co.
46647PBT2
264000.00000000
PA
USD
243744.30000000
0.029907398345
Long
DBT
CORP
US
N
2
2026-11-19
Variable
1.04500080
N
N
N
N
N
N
N/A
N/A
CDS
N/A
1413000.00000000
PA
USD
-17129.45000000
-0.00210178159
N/A
DCR
GB
N
2
Goldman Sachs International
W22LROWP2IHZNBB6K528
Republic of Colombia
Republic of Colombia
Y
Receipt of notional amount upon default event with regard to the reference instrument
2027-06-20
78554.31000000
USD
0.00000000
USD
1413000.00000000
USD
-17129.45000000
N
N
N
Commonwealth Edison Co.
D8YOXB8L2ZDC8P7Q0771
Commonwealth Edison Co., Series 127
202795JQ4
180000.00000000
PA
USD
165322.60000000
0.020285064527
Long
DBT
CORP
US
N
2
2049-11-15
Fixed
3.20000000
N
N
N
N
N
N
BAMLL Commercial Mortgage Securities Trust
549300UQK6PJ8BF5JQ90
BAMLL Commercial Mortgage Securities Trust, Series 2015-200P, Class F
05526QAN6
300000.00000000
PA
USD
281064.30000000
0.034486558170
Long
ABS-MBS
CORP
US
N
2
2033-04-14
Variable
3.59579880
N
N
N
N
N
N
Duke Energy Carolinas LLC
MWIUSDMN17TCR56VW396
Duke Energy Carolinas LLC
26442CAX2
72000.00000000
PA
USD
74752.99000000
0.009172183511
Long
DBT
CORP
US
N
2
2028-11-15
Fixed
3.95000000
N
N
N
N
N
N
Alternative Loan Trust
N/A
Alternative Loan Trust, Series 2006-OC10, Class 2A3
23245FAE3
55582.62000000
PA
USD
53582.93000000
0.006574619517
Long
ABS-MBS
CORP
US
N
2
2036-11-25
Floating
0.91657080
N
N
N
N
N
N
DTE Electric Co.
9N0FWODEJVKHC2DYLO03
DTE Electric Co.
23338VAJ5
121000.00000000
PA
USD
124944.07000000
0.015330623413
Long
DBT
CORP
US
N
2
2049-03-01
Fixed
3.95000000
N
N
N
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
13880.19000000
0.001703097760
N/A
DFE
N/A
N
2
HSBC Bank
MP6I5ZYZBEU3UXPYFY54
829251.20000000
USD
760000.00000000
EUR
2022-06-15
13880.19000000
N
N
N
GSMPS Mortgage Loan Trust
N/A
GSMPS Mortgage Loan Trust, Series 2005-RP1, Class 1AF
36242DXG3
36109.76000000
PA
USD
33898.61000000
0.004159355655
Long
ABS-MBS
CORP
US
N
2
2035-01-25
Floating
0.80656920
N
N
N
N
N
N
Bank of America Corp.
9DJT3UXIJIZJI4WXO774
Bank of America Corp.
06051GKA6
981000.00000000
PA
USD
873104.84000000
0.107129866204
Long
DBT
CORP
US
N
2
2032-07-21
Variable
2.29899960
N
N
N
N
N
N
CWHEQ Revolving Home Equity Loan Trust
N/A
CWHEQ Revolving Home Equity Loan Trust, Series 2005-B, Class 2A
126685AB2
5497.83000000
PA
USD
5408.90000000
0.000663671424
Long
ABS-O
CORP
US
N
2
2035-05-15
Floating
0.57656880
N
N
N
N
N
N
Dryden 53 CLO Ltd.
N/A
Dryden 53 CLO Ltd., Series 2017-53A, Class A
26243EAA9
800000.00000000
PA
USD
795631.60000000
0.097623908322
Long
ABS-CBDO
CORP
KY
N
2
2031-01-15
Floating
1.36128960
N
N
N
N
N
N
United States of America
254900HROIFWPRGM1V77
U.S. Treasury Notes
91282CAZ4
5251000.00000000
PA
USD
4854713.59000000
0.595672814456
Long
DBT
UST
US
N
2
2025-11-30
Fixed
0.37500000
N
N
N
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
10931.55000000
0.001341299962
N/A
DFE
N/A
N
2
Deutsche Bank
7LTWFZYICNSX8D621K86
554853.99000000
USD
510000.00000000
EUR
2022-06-15
10931.55000000
N
N
N
Capex SA
529900C9G66T1U8FMX69
Capex SA
139612AE5
21000.00000000
PA
USD
19816.13000000
0.002431436934
Long
DBT
CORP
AR
N
2
2024-05-15
Fixed
6.87500000
N
N
N
N
N
N
Applied Materials, Inc.
41BNNE1AFPNAZELZ6K07
Applied Materials, Inc.
038222AP0
154000.00000000
PA
USD
136947.40000000
0.016803430661
Long
DBT
CORP
US
N
2
2050-06-01
Fixed
2.75000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Uniform Mortgage-Backed Securities
3138WFCS3
112312.28830000
PA
USD
118550.48000000
0.014546130635
Long
ABS-MBS
USGSE
US
N
2
2045-07-01
Fixed
4.50000000
N
N
N
N
N
N
Soundview Home Loan Trust
N/A
Soundview Home Loan Trust, Series 2004-WMC1, Class M2
83611MBW7
1311.49000000
PA
USD
1190.75000000
0.000146104891
Long
ABS-O
CORP
US
N
2
2035-01-25
Floating
1.25156880
N
N
N
N
N
N
United States of America
254900HROIFWPRGM1V77
U.S. Treasury Notes
91282CCE9
1607000.00000000
PA
USD
1496079.33000000
0.183568766443
Long
DBT
UST
US
N
2
2028-05-31
Fixed
1.25000000
N
N
N
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
-1524.73000000
-0.00018708420
N/A
DFE
N/A
N
2
JP Morgan Chase Bank
7H6GLXDRUGQFU57RNE97
467736.29000000
USD
355000.00000000
GBP
2022-06-15
-1524.73000000
N
N
N
Anthem, Inc.
8MYN82XMYQH89CTMTH67
Anthem, Inc.
036752AG8
231000.00000000
PA
USD
239634.69000000
0.029403149658
Long
DBT
CORP
US
N
2
2028-03-01
Fixed
4.10100000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Uniform Mortgage-Backed Securities
3140QMJZ8
721654.98380000
PA
USD
670673.52000000
0.082291565884
Long
ABS-MBS
USGSE
US
N
2
2051-11-01
Fixed
2.00000000
N
N
N
N
N
N
United States of America
254900HROIFWPRGM1V77
U.S. Treasury Bonds
912810SA7
5129000.00000000
PA
USD
5588005.44000000
0.685647642426
Long
DBT
UST
US
N
2
2048-02-15
Fixed
3.00000000
N
N
N
N
N
N
Federal Home Loan Mortgage Corp.
S6XOOCT0IEG5ABCC6L87
Federal Home Loan Mortgage Corp.
31307QBA4
9118.92000000
PA
USD
9385.85000000
0.001151642745
Long
ABS-MBS
USGSE
US
N
2
2031-02-01
Fixed
3.50000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Uniform Mortgage-Backed Securities
3138WJET1
39457.20000000
PA
USD
39116.39000000
0.004799576677
Long
ABS-MBS
USGSE
US
N
2
2031-11-01
Fixed
2.50000000
N
N
N
N
N
N
Equinix, Inc.
549300EVUN2BTLJ3GT74
Equinix, Inc.
29444UBH8
121000.00000000
PA
USD
105895.17000000
0.012993325513
Long
DBT
CORP
US
N
2
2030-07-15
Fixed
2.15000000
N
N
N
N
N
N
CP Iris Holdco I, Inc.
25490024F0AS5UR7DB02
CP Iris Holdco I, Inc., 1st Lien Term Loan
12659EAC2
31387.36000000
PA
USD
30583.22000000
0.003752557673
Long
LON
CORP
US
N
2
2028-10-02
Variable
4.00000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Uniform Mortgage-Backed Securities
3138ERM23
207931.36000000
PA
USD
209602.35000000
0.025718184899
Long
ABS-MBS
USGSE
US
N
2
2031-08-01
Fixed
3.00000000
N
N
N
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
3620.67000000
0.000444255804
N/A
DFE
N/A
N
2
Bank of New York
WFLLPEPC7FZXENRZV188
189000.00000000
EUR
4704485.94000000
CZK
2022-04-20
3620.67000000
N
N
N
Jack Ohio Finance LLC
N/A
Jack Ohio Finance LLC, Term Loan
46647KAG2
51870.00000000
PA
USD
51221.63000000
0.006284888271
Long
LON
CORP
US
N
3
2028-10-04
Variable
5.50000000
N
N
N
N
N
N
Washington Mutual, Inc.
N/A
Washington Mutual Escrow Bonds
N/A
500000.00000000
PA
USD
0.05000000
0.000000006134
Long
DBT
CORP
US
N
3
2017-09-29
Fixed
0.00010000
Y
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Uniform Mortgage-Backed Securities
31410K3K8
4264.71000000
PA
USD
4763.90000000
0.000584529997
Long
ABS-MBS
USGSE
US
N
2
2038-12-01
Fixed
6.00000000
N
N
N
N
N
N
Apidos CLO XII
549300M5NMLBQJXUO195
Apidos CLO XII, Series 2013-12A, Class AR
03764DAH4
500000.00000000
PA
USD
496544.45000000
0.060925948472
Long
ABS-CBDO
CORP
KY
N
2
2031-04-15
Floating
1.32129000
N
N
N
N
N
N
Verizon Communications, Inc.
2S72QS2UO2OESLG6Y829
Verizon Communications, Inc.
92343VGB4
78000.00000000
PA
USD
73296.35000000
0.008993453946
Long
DBT
CORP
US
N
2
2051-03-22
Fixed
3.55000000
N
N
N
N
N
N
Boston Scientific Corp.
Y6ZDD9FP4P8JSSJMW954
Boston Scientific Corp.
101137BA4
178000.00000000
PA
USD
167020.21000000
0.020493361084
Long
DBT
CORP
US
N
2
2030-06-01
Fixed
2.65000000
N
N
N
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
805.12000000
0.000098788133
N/A
DFE
N/A
N
2
Goldman Sachs International
W22LROWP2IHZNBB6K528
261258.70000000
GBP
310000.00000000
EUR
2022-06-15
805.12000000
N
N
N
Cedar Fair LP
N/A
Cedar Fair LP
150190AB2
73000.00000000
PA
USD
72270.00000000
0.008867520916
Long
DBT
CORP
US
N
2
2027-04-15
Fixed
5.37500000
N
N
N
N
N
N
LCM XX LP
549300VQTTD2PAP2Y421
LCM XX LP, Series 20A, Class AR
50188WAE8
107807.93000000
PA
USD
107380.25000000
0.013175544663
Long
ABS-CBDO
CORP
KY
N
2
2027-10-20
Floating
1.29399840
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Uniform Mortgage-Backed Securities
3140QFBZ1
205570.67520000
PA
USD
203745.06000000
0.024999496071
Long
ABS-MBS
USGSE
US
N
2
2035-10-01
Fixed
2.50000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Uniform Mortgage-Backed Securities
31410KXB5
9182.54000000
PA
USD
9880.06000000
0.001212282256
Long
ABS-MBS
USGSE
US
N
2
2035-09-01
Fixed
5.00000000
N
N
N
N
N
N
Toronto-Dominion Bank (The)
PT3QB789TSUIDF371261
Toronto-Dominion Bank (The)
89114TZV7
175000.00000000
PA
USD
172225.17000000
0.021132009094
Long
DBT
CORP
CA
N
2
2032-03-10
Fixed
3.20000000
N
N
N
N
N
N
Fertitta Entertainment LLC
N/A
Fertitta Entertainment LLC, Term Loan B
31556PAB3
208587.11000000
PA
USD
207283.44000000
0.025433654901
Long
LON
CORP
US
N
2
2029-01-27
Variable
4.50000000
N
N
N
N
N
N
Grupo Aval Ltd.
549300J4FW1ELLQ80113
Grupo Aval Ltd.
40053FAC2
200000.00000000
PA
USD
173196.00000000
0.021251129826
Long
DBT
CORP
KY
N
2
2030-02-04
Fixed
4.37500000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Uniform Mortgage-Backed Securities
31416YVG0
2207.03000000
PA
USD
2347.94000000
0.000288091975
Long
ABS-MBS
USGSE
US
N
2
2041-07-01
Fixed
4.50000000
N
N
N
N
N
N
Federal National Mortgage Association or Federal Home Loan Mortgage Corp.
N/A
Uniform Mortgage-Backed Securities
01F022642
17549600.00000000
PA
USD
16743415.25000000
2.054415178296
Long
ABS-MBS
USGSE
US
N
2
2052-04-25
Fixed
2.50000000
N
N
N
N
N
N
Federal Home Loan Mortgage Corp.
S6XOOCT0IEG5ABCC6L87
Uniform Mortgage-Backed Securities
3132DMRR8
440418.32000000
PA
USD
437841.05000000
0.053723047859
Long
ABS-MBS
USGSE
US
N
2
2047-02-01
Fixed
3.00000000
N
N
N
N
N
N
Capital One Financial Corp.
ZUE8T73ROZOF6FLBAR73
Capital One Financial Corp.
14040HCA1
281000.00000000
PA
USD
285388.98000000
0.035017195923
Long
DBT
CORP
US
N
2
2024-01-29
Fixed
3.90000000
N
N
N
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
1474.95000000
0.000180976200
N/A
DFE
N/A
N
2
BNP Paribas
R0MUWSFPU8MPRO8K5P83
13533790.00000000
CNY
2124487.08000000
USD
2022-05-24
1474.95000000
N
N
N
Commercial Mortgage Trust
N/A
Commercial Mortgage Trust, Series 2015-CR25, Class XA
12593PAX0
185470.79640000
PA
USD
4234.39000000
0.000519559179
Long
ABS-MBS
CORP
US
N
2
2048-08-10
Variable
0.82049040
N
N
N
N
N
N
Zhenro Properties Group Ltd.
549300I66TVJEL841P38
Zhenro Properties Group Ltd.
N/A
200000.00000000
PA
USD
21000.00000000
0.002576697650
Long
DBT
CORP
KY
N
2
2026-01-07
Fixed
6.63000000
N
N
N
N
N
N
N/A
N/A
USD Currency
N/A
670000.00000000
PA
USD
25559.12000000
0.003136101165
N/A
DFE
GB
N
2
Barclays Bank plc
G5GSEF7VJP5I7OUK5573
Put
Purchased
N/A
USD Currency
1.00000000
815.00000000
USD
2022-05-06
XXXX
8092.22000000
N
N
N
Oi SA
254900YEMWCRRAGD4978
Oi SA
N/A
49000.00000000
PA
USD
36933.75000000
0.004531766993
Long
DBT
CORP
BR
N
2
2025-07-27
Fixed
10.00000000
N
N
Y
N
N
N
Kasikornbank PCL
5493004COSQ54937AW41
Kasikornbank PCL
N/A
200000.00000000
PA
USD
187662.50000000
0.023026167758
Long
DBT
CORP
TH
N
2
2031-10-02
Variable
3.34299960
N
N
N
N
N
N
Turkish Airlines Pass-Through Trust
N/A
Turkish Airlines Pass-Through Trust, Series 2015-1, Class A
10010YAA0
25004.53000000
PA
USD
20516.49000000
0.002517371028
Long
DBT
CORP
TR
N
2
2027-03-15
Fixed
4.20000000
N
N
N
N
N
N
Federal Home Loan Mortgage Corp.
S6XOOCT0IEG5ABCC6L87
Federal Home Loan Mortgage Corp.
3132JNVH7
15008.44000000
PA
USD
15847.48000000
0.001944484023
Long
ABS-MBS
USGSE
US
N
2
2043-09-01
Fixed
4.50000000
N
N
N
N
N
N
AT&T, Inc.
549300Z40J86GGSTL398
AT&T, Inc.
00206RMN9
174000.00000000
PA
USD
158747.16000000
0.019478258774
Long
DBT
CORP
US
N
2
2057-12-01
Fixed
3.80000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Uniform Mortgage-Backed Securities
3138ETBX3
33680.14000000
PA
USD
34031.28000000
0.004175634249
Long
ABS-MBS
USGSE
US
N
2
2031-03-01
Fixed
3.00000000
N
N
N
N
N
N
Cheniere Corpus Christi Holdings LLC
549300I7CIEWU1BBLQ53
Cheniere Corpus Christi Holdings LLC
16412XAC9
1332000.00000000
PA
USD
1405836.32000000
0.172495959210
Long
DBT
CORP
US
N
2
2025-03-31
Fixed
5.87500000
N
N
N
N
N
N
BWAY Mortgage Trust
N/A
BWAY Mortgage Trust, Series 2013-1515, Class C
05604FAL9
105000.00000000
PA
USD
100931.40000000
0.012384271490
Long
ABS-MBS
CORP
US
N
2
2033-03-10
Fixed
3.44620000
N
N
N
N
N
N
Aetna, Inc.
549300QKBENKLBXQ8968
Aetna, Inc.
00817YAF5
175000.00000000
PA
USD
220392.22000000
0.027042100741
Long
DBT
CORP
US
N
2
2036-06-15
Fixed
6.62500000
N
N
N
N
N
N
CHL Mortgage Pass-Through Trust
N/A
CHL Mortgage Pass-Through Trust, Series 2006-OA4, Class A1
126694E95
131123.10000000
PA
USD
49171.06000000
0.006033283561
Long
ABS-MBS
CORP
US
N
2
2046-04-25
Floating
1.10112840
N
N
N
N
N
N
Federal Home Loan Mortgage Corp.
S6XOOCT0IEG5ABCC6L87
Federal Home Loan Mortgage Corp.
3132QTHA7
17694.91000000
PA
USD
18748.30000000
0.002300414312
Long
ABS-MBS
USGSE
US
N
2
2045-10-01
Fixed
4.50000000
N
N
N
N
N
N
TEGNA, Inc.
549300YC5EDBGX85AO10
TEGNA, Inc.
87901JAJ4
15000.00000000
PA
USD
14920.80000000
0.001830780490
Long
DBT
CORP
US
N
2
2028-03-15
Fixed
4.62500000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Uniform Mortgage-Backed Securities
3140QKWP9
89872.22000000
PA
USD
91484.59000000
0.011225148959
Long
ABS-MBS
USGSE
US
N
2
2036-05-01
Fixed
3.00000000
N
N
N
N
N
N
Nomura Holdings, Inc.
549300B3CEAHYG7K8164
Nomura Holdings, Inc.
65535HAX7
543000.00000000
PA
USD
488053.41000000
0.059884098814
Long
DBT
CORP
JP
N
2
2031-07-14
Fixed
2.60800000
N
N
N
N
N
N
ACE Securities Corp. Home Equity Loan Trust
N/A
ACE Securities Corp. Home Equity Loan Trust, Series 2003-OP1, Class A2
004427BK5
122036.35000000
PA
USD
113917.04000000
0.013977608065
Long
ABS-O
CORP
US
N
2
2033-12-25
Floating
1.17657000
N
N
N
N
N
N
United Mexican States
254900EGTWEU67VP6075
United Mexican States
91087BAS9
610000.00000000
PA
USD
561505.00000000
0.068896600691
Long
DBT
NUSS
MX
N
2
2052-02-12
Fixed
4.40000000
N
N
N
N
N
N
American Airlines Pass-Through Trust
N/A
American Airlines Pass-Through Trust, Series 2016-3, Class AA
023771R91
324940.70070000
PA
USD
301932.33000000
0.037047063117
Long
DBT
CORP
US
N
2
2028-10-15
Fixed
3.00000000
N
N
N
N
N
N
DBUBS Mortgage Trust
N/A
DBUBS Mortgage Trust, Series 2017-BRBK, Class F
23305JAN2
80000.00000000
PA
USD
74535.08000000
0.009145445978
Long
ABS-MBS
CORP
US
N
2
2034-10-10
Variable
3.53000160
N
N
N
N
N
N
Charter Communications Operating LLC
N/A
Charter Communications Operating LLC
161175CG7
453000.00000000
PA
USD
366323.99000000
0.044947912596
Long
DBT
CORP
US
N
2
2062-06-30
Fixed
3.95000000
N
N
N
N
N
N
Philip Morris International, Inc.
HL3H1H2BGXWVG3BSWR90
Philip Morris International, Inc.
718172CM9
395000.00000000
PA
331886.51000000
0.040722437652
Long
DBT
CORP
US
N
2
2039-08-01
Fixed
1.45000000
N
N
N
N
N
N
BXP Trust
N/A
BXP Trust, Series 2017-GM, Class D
056083AL2
200000.00000000
PA
USD
188677.38000000
0.023150693420
Long
ABS-MBS
CORP
US
N
2
2039-06-13
Variable
3.42479880
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Uniform Mortgage-Backed Securities
3140HHWN1
40999.85000000
PA
USD
42264.31000000
0.005185826109
Long
ABS-MBS
USGSE
US
N
2
2048-08-01
Fixed
4.00000000
N
N
N
N
N
N
Federal Home Loan Mortgage Corp.
S6XOOCT0IEG5ABCC6L87
Uniform Mortgage-Backed Securities
3132DVLW3
332095.22360000
PA
USD
309249.55000000
0.037944885193
Long
ABS-MBS
USGSE
US
N
2
2051-05-01
Fixed
2.00000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Uniform Mortgage-Backed Securities
3140FMDA1
44120.09000000
PA
USD
44084.22000000
0.005409128862
Long
ABS-MBS
USGSE
US
N
2
2036-12-01
Fixed
3.00000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Uniform Mortgage-Backed Securities
3138YGYN6
11336.89000000
PA
USD
11232.53000000
0.001378230174
Long
ABS-MBS
USGSE
US
N
2
2030-04-01
Fixed
2.50000000
N
N
N
N
N
N
Citicorp Mortgage Securities Trust
N/A
Citicorp Mortgage Securities Trust, Series 2008-2, Class 1A1
17314DAA4
61525.51000000
PA
USD
52747.57000000
0.006472120938
Long
ABS-MBS
CORP
US
N
2
2038-06-25
Fixed
6.50000000
N
N
N
N
N
N
HSBC Holdings plc
MLU0ZO3ML4LN2LL2TL39
HSBC Holdings plc
404280CX5
647000.00000000
PA
USD
602833.66000000
0.073967622650
Long
DBT
CORP
GB
N
2
2027-11-22
Variable
2.25100080
N
N
N
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
-2067.46000000
-0.00025367711
N/A
DFE
N/A
N
2
Barclays Bank
G5GSEF7VJP5I7OUK5573
1064754.52000000
MXN
51464.69000000
USD
2022-04-01
-2067.46000000
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
1426.52000000
0.000175033844
N/A
DFE
N/A
N
2
Citibank
MBNUM2BPBDO7JBLYG310
123000.00000000
USD
470475000.00000000
COP
2022-04-20
1426.52000000
N
N
N
Republic of Panama
549300SHS4T08CL0LP14
Republic of Panama
698299BM5
488000.00000000
PA
USD
479246.50000000
0.058803491942
Long
DBT
NUSS
PA
N
2
2056-04-01
Fixed
4.50000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Uniform Mortgage-Backed Securities
3140QEP89
1161928.28500000
PA
USD
1180382.26000000
0.144832771267
Long
ABS-MBS
USGSE
US
N
2
2050-08-01
Fixed
3.50000000
N
N
N
N
N
N
Conseco Finance Corp.
N/A
Conseco Finance Corp., Series 2001-D, Class B1
20847TBM2
26313.03000000
PA
USD
25909.27000000
0.003179064530
Long
ABS-O
CORP
US
N
2
2032-11-15
Floating
2.89657080
N
N
N
N
N
N
Oakwood Mortgage Investors, Inc.
N/A
Oakwood Mortgage Investors, Inc., Series 2001-D, Class A4
67087TCW9
9315.56000000
PA
USD
6525.35000000
0.000800659715
Long
ABS-O
CORP
US
N
2
2031-09-15
Variable
6.93000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Uniform Mortgage-Backed Securities
3138WFGY6
14710.36000000
PA
USD
14574.63000000
0.001788305470
Long
ABS-MBS
USGSE
US
N
2
2030-08-01
Fixed
2.50000000
N
N
N
N
N
N
Lowe's Cos., Inc.
WAFCR4OKGSC504WU3E95
Lowe's Cos., Inc.
548661EE3
375000.00000000
PA
USD
321187.96000000
0.039409726764
Long
DBT
CORP
US
N
2
2041-09-15
Fixed
2.80000000
N
N
N
N
N
N
Juniper Networks, Inc.
AUHIXNGG7U2U7JEHM527
Juniper Networks, Inc.
48203RAP9
156000.00000000
PA
USD
134933.63000000
0.016556341307
Long
DBT
CORP
US
N
2
2030-12-10
Fixed
2.00000000
N
N
N
N
N
N
iHeartCommunications, Inc.
54930076J6KDZL504O62
iHeartCommunications, Inc.
45174HBG1
7000.00000000
PA
USD
6685.00000000
0.000820248752
Long
DBT
CORP
US
N
2
2028-01-15
Fixed
4.75000000
N
N
N
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
6797.00000000
0.000833991139
N/A
DFE
N/A
N
2
JP Morgan Chase Bank
7H6GLXDRUGQFU57RNE97
15337.00000000
USD
1656396.00000000
RUB
2022-05-25
6797.00000000
N
N
N
Roper Technologies, Inc.
54930003T4SXCIWVXY35
Roper Technologies, Inc.
776743AG1
87000.00000000
PA
USD
83858.97000000
0.010289486238
Long
DBT
CORP
US
N
2
2029-09-15
Fixed
2.95000000
N
N
N
N
N
N
Rockford Tower CLO Ltd.
549300V5ZF7112UGSH89
Rockford Tower CLO Ltd., Series 2017-3A, Class A
77341DAA5
250000.00000000
PA
USD
249122.35000000
0.030567284478
Long
ABS-CBDO
CORP
KY
N
2
2030-10-20
Floating
1.44399960
N
N
N
N
N
N
Federal Home Loan Mortgage Corp.
S6XOOCT0IEG5ABCC6L87
Uniform Mortgage-Backed Securities
3133A8S40
35557.06180000
PA
USD
35295.19000000
0.004330715864
Long
ABS-MBS
USGSE
US
N
2
2050-08-01
Fixed
3.00000000
N
N
N
N
N
N
Mitsubishi UFJ Financial Group, Inc.
353800V2V8PUY9TK3E06
Mitsubishi UFJ Financial Group, Inc.
606822BL7
807000.00000000
PA
USD
810131.71000000
0.099403070197
Long
DBT
CORP
JP
N
2
2022-07-18
Fixed
2.62300000
N
N
N
N
N
N
LSF11 A5 Holdco LLC
N/A
LSF11 A5 Holdco LLC, Term Loan
50216YAB6
201000.00000000
PA
USD
197934.75000000
0.024286571684
Long
LON
CORP
US
N
2
2028-10-15
Variable
4.00000000
N
N
N
N
N
N
Agile Group Holdings Ltd.
549300ZRISRT38EEYY07
Agile Group Holdings Ltd.
N/A
200000.00000000
PA
USD
38000.00000000
0.004662595749
Long
DBT
CORP
KY
N
2
2023-12-04
Variable
8.37500040
N
N
N
N
N
N
Norfolk Southern Corp.
54930036C8MWP850MI84
Norfolk Southern Corp.
655844BY3
75000.00000000
PA
USD
78325.81000000
0.009610568125
Long
DBT
CORP
US
N
2
2048-02-28
Fixed
4.15000000
N
N
N
N
N
N
Structured Asset Mortgage Investments II Trust
N/A
Structured Asset Mortgage Investments II Trust, Series 2006-AR4, Class 3A1
86360QAE5
59812.44000000
PA
USD
55368.28000000
0.006793681762
Long
ABS-MBS
CORP
US
N
2
2036-06-25
Floating
0.83657160
N
N
N
N
N
N
Marble Point CLO XI Ltd.
549300DBVCVH5X7MO467
Marble Point CLO XI Ltd., Series 2017-2A, Class A
56607FAA3
250000.00000000
PA
USD
249227.88000000
0.030580232997
Long
ABS-CBDO
CORP
KY
N
2
2030-12-18
Floating
1.42129080
N
N
N
N
N
N
Tricon American Homes Trust
N/A
Tricon American Homes Trust, Series 2018-SFR1, Class E
89613TAE8
100000.00000000
PA
USD
96301.39000000
0.011816169780
Long
ABS-O
CORP
US
N
2
2037-05-17
Fixed
4.56400000
N
N
N
N
N
N
Public Service Electric and Gas Co.
549300RUHPVD434XUK18
Public Service Electric and Gas Co.
74456QCG9
60000.00000000
PA
USD
53111.61000000
0.006516788606
Long
DBT
CORP
US
N
2
2051-03-01
Fixed
3.00000000
N
N
N
N
N
N
Altria Group, Inc.
XSGZFLO9YTNO9VCQV219
Altria Group, Inc.
02209SBC6
62000.00000000
PA
USD
64131.55000000
0.007868934011
Long
DBT
CORP
US
N
2
2026-02-14
Fixed
4.40000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Uniform Mortgage-Backed Securities
31417FR75
113815.82000000
PA
USD
113568.96000000
0.013934898688
Long
ABS-MBS
USGSE
US
N
2
2043-03-01
Fixed
3.00000000
N
N
N
N
N
N
Transcontinental Gas Pipe Line Co. LLC
N/A
Transcontinental Gas Pipe Line Co. LLC
893574AK9
496000.00000000
PA
USD
507359.35000000
0.062252935492
Long
DBT
CORP
US
N
2
2028-03-15
Fixed
4.00000000
N
N
N
N
N
N
N/A
N/A
OIS
N/A
3120000.00000000
PA
18390.92000000
0.002256563826
N/A
DIR
GB
N
2
LCH Clearnet
549300TXTCI7WVVJS380
Y
2025-03-24
0.00000000
USD
0.00000000
USD
3120000.00000000
EUR
18390.92000000
N
N
N
International Business Machines Corp.
VGRQXHF3J8VDLUA7XE92
International Business Machines Corp.
459200KP5
100000.00000000
PA
USD
95265.12000000
0.011689019567
Long
DBT
CORP
US
N
2
2052-02-09
Fixed
3.43000000
N
N
N
N
N
N
United States of America
254900HROIFWPRGM1V77
U.S. Treasury Notes
912828ZD5
4593000.00000000
PA
USD
4542764.06000000
0.557396642019
Long
DBT
UST
US
N
2
2023-03-15
Fixed
0.50000000
N
N
N
N
N
N
Cox Communications, Inc.
5493001NEDZNIFRP2R92
Cox Communications, Inc.
224044CP0
260000.00000000
PA
USD
231349.07000000
0.028386505010
Long
DBT
CORP
US
N
2
2051-06-15
Fixed
3.60000000
N
N
N
N
N
N
First Franklin Mortgage Loan Trust
N/A
First Franklin Mortgage Loan Trust, Series 2006-FF17, Class A5
32028KAE6
375647.30000000
PA
USD
359888.11000000
0.044158230840
Long
ABS-O
CORP
US
N
2
2036-12-25
Floating
0.60657120
N
N
N
N
N
N
Republic of Colombia
549300MHDRBVRF6B9117
Republic of Colombia
195325DP7
327000.00000000
PA
USD
314696.63000000
0.038613241299
Long
DBT
NUSS
CO
N
2
2029-03-15
Fixed
4.50000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Government National Mortgage Association
36196FZG2
12587.38000000
PA
USD
12831.61000000
0.001574437111
Long
ABS-MBS
USGA
US
N
2
2046-10-20
Fixed
3.50000000
N
N
N
N
N
N
Federal National Mortgage Association or Federal Home Loan Mortgage Corp.
N/A
Uniform Mortgage-Backed Securities
01F032658
4300000.00000000
PA
USD
4292560.23000000
0.526696660065
Long
ABS-MBS
USGSE
US
N
2
2052-05-25
Fixed
3.50000000
N
N
N
N
N
N
Select Medical Corp.
549300X05KS0JKR8CB50
Select Medical Corp., Term Loan B
816194AV6
44716.70000000
PA
USD
44130.02000000
0.005414748517
Long
LON
CORP
US
N
2
2025-03-06
Variable
2.71000000
N
N
N
N
N
N
Morgan Stanley Bank of America Merrill Lynch Trust
N/A
Morgan Stanley Bank of America Merrill Lynch Trust, Series 2015-C26, Class XD
61690VAC2
120000.00000000
PA
USD
4971.60000000
0.000610014763
Long
ABS-MBS
CORP
US
N
2
2048-10-15
Variable
1.31564880
N
N
N
N
N
N
N/A
N/A
USCPI
N/A
965000.00000000
PA
USD
-35130.51000000
-0.00431050964
N/A
DO
GB
N
2
LCH Clearnet
549300TXTCI7WVVJS380
Y
2031-11-15
0.00000000
USD
0.00000000
USD
965000.00000000
USD
-35130.51000000
N
N
N
Federal Home Loan Mortgage Corp.
549300P6Y1UBYR0WQ049
Federal Home Loan Mortgage Corp. Variable Rate Notes, Series 2018-SB53, Class A10F
30297DAJ9
38447.80000000
PA
USD
38844.56000000
0.004766223166
Long
ABS-MBS
USGSE
US
N
2
2028-06-25
Variable
3.62482560
N
N
N
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
-6303.53000000
-0.00077344242
N/A
DFE
N/A
N
2
Barclays Bank
G5GSEF7VJP5I7OUK5573
420000.00000000
EUR
459637.50000000
USD
2022-06-15
-6303.53000000
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
-180.28000000
-0.00002212033
N/A
DFE
N/A
N
2
Barclays Bank
G5GSEF7VJP5I7OUK5573
27956.08000000
CHF
27194.78000000
EUR
2022-06-15
-180.28000000
N
N
N
Oncor Electric Delivery Co. LLC
549300SP2X2BS1KERD24
Oncor Electric Delivery Co. LLC
68233JCB8
55000.00000000
PA
USD
47060.37000000
0.005774302134
Long
DBT
CORP
US
N
2
2051-11-15
Fixed
2.70000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Government National Mortgage Association
36179DEK2
30233.38000000
PA
USD
31024.93000000
0.003806755440
Long
ABS-MBS
USGA
US
N
2
2042-12-15
Fixed
3.50000000
N
N
N
N
N
N
N/A
N/A
EUR/SEK One-touch barrier option; Barrier price EUR 9.95000
N/A
52000.00000000
PA
267.60000000
0.000032834490
N/A
DFE
CH
N
2
UBS AG
BFM8T61CT2L1QCEMIK50
Put
Purchased
N/A
EUR/SEK One-touch barrier option; Barrier price EUR 9.95000
1.00000000
9.95000000
EUR
2022-04-11
XXXX
-6440.90000000
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Uniform Mortgage-Backed Securities
3140QGKD8
91292.27000000
PA
USD
92339.55000000
0.011330052456
Long
ABS-MBS
USGSE
US
N
2
2035-12-01
Fixed
3.00000000
N
N
N
N
N
N
Union Pacific Corp.
549300LMMRSZZCZ8CL11
Union Pacific Corp.
907818FL7
180000.00000000
PA
USD
175252.39000000
0.021503448649
Long
DBT
CORP
US
N
2
2070-02-05
Fixed
3.75000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Uniform Mortgage-Backed Securities
3140XBNR7
6868267.12460000
PA
USD
6886508.90000000
0.844973871721
Long
ABS-MBS
USGSE
US
N
2
2051-01-01
Fixed
3.50000000
N
N
N
N
N
N
United States of America
254900HROIFWPRGM1V77
U.S. Treasury Bonds
912810RU4
505000.00000000
PA
USD
530940.43000000
0.065146331371
Long
DBT
UST
US
N
2
2046-11-15
Fixed
2.87500000
N
N
N
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
-2225.42000000
-0.00027305878
N/A
DFE
N/A
N
2
Barclays Bank
G5GSEF7VJP5I7OUK5573
640000.00000000
EUR
651958.40000000
CHF
2022-06-15
-2225.42000000
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Uniform Mortgage-Backed Securities
3140J6DA2
4345.48910000
PA
USD
4305.71000000
0.000528310135
Long
ABS-MBS
USGSE
US
N
2
2031-11-01
Fixed
2.50000000
N
N
N
N
N
N
Oracle Corp.
1Z4GXXU7ZHVWFCD8TV52
Oracle Corp.
68389XBJ3
238000.00000000
PA
USD
211187.54000000
0.025912687535
Long
DBT
CORP
US
N
2
2046-07-15
Fixed
4.00000000
N
N
N
N
N
N
Irwin Home Equity Loan Trust
N/A
Irwin Home Equity Loan Trust, Series 2006-3, Class 2A3
464125AD5
15358.36000000
PA
USD
14718.37000000
0.001805942352
Long
ABS-O
CORP
US
N
2
2037-09-25
Variable
6.53000040
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Uniform Mortgage-Backed Securities
3138WD6X4
3868.70300000
PA
USD
3833.08000000
0.000470318487
Long
ABS-MBS
USGSE
US
N
2
2030-02-01
Fixed
2.50000000
N
N
N
N
N
N
Federal Home Loan Mortgage Corp.
S6XOOCT0IEG5ABCC6L87
Federal Home Loan Mortgage Corp.
31307NNV2
5151.81000000
PA
USD
5106.92000000
0.000626618512
Long
ABS-MBS
USGSE
US
N
2
2030-07-01
Fixed
2.50000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Uniform Mortgage-Backed Securities
3138WJNC8
199948.21000000
PA
USD
198529.98000000
0.024359606338
Long
ABS-MBS
USGSE
US
N
2
2046-12-01
Fixed
3.00000000
N
N
N
N
N
N
University of California
N/A
University of California, Series 2012AD
91412GHA6
25000.00000000
PA
USD
28015.68000000
0.003437520802
Long
DBT
MUN
US
N
2
2112-05-15
Fixed
4.85800000
N
N
N
N
N
N
General Motors Financial Co., Inc.
5493008B6JBRUJ90QL97
General Motors Financial Co., Inc.
37045XAS5
341000.00000000
PA
USD
345190.27000000
0.042354807516
Long
DBT
CORP
US
N
2
2025-01-15
Fixed
4.00000000
N
N
N
N
N
N
Bausch Health Cos., Inc.
B3BS7ACMDUWISF18KY76
Bausch Health Cos., Inc.
071734AD9
49000.00000000
PA
USD
43868.72000000
0.005382687036
Long
DBT
CORP
CA
N
2
2028-01-15
Fixed
7.00000000
N
N
N
N
N
N
Altria Group, Inc.
XSGZFLO9YTNO9VCQV219
Altria Group, Inc.
02209SAZ6
460000.00000000
PA
509000.18000000
0.062454265150
Long
DBT
CORP
US
N
2
2031-06-15
Fixed
3.12500000
N
N
N
N
N
N
Invitation Homes Operating Partnership LP
549300147YMUQB3GW319
Invitation Homes Operating Partnership LP
46188BAB8
130000.00000000
PA
USD
117603.14000000
0.014429892123
Long
DBT
CORP
US
N
2
2028-11-15
Fixed
2.30000000
N
N
N
N
N
N
Federal Home Loan Mortgage Corp.
S6XOOCT0IEG5ABCC6L87
Federal Home Loan Mortgage Corp.
3132M9MM3
15934.29630000
PA
USD
16265.93000000
0.001995827791
Long
ABS-MBS
USGSE
US
N
2
2044-06-01
Fixed
3.50000000
N
N
N
N
N
N
Seasoned Credit Risk Transfer Trust
N/A
Seasoned Credit Risk Transfer Trust, Series 2018-1, Class BX
35563PEX3
18907.87000000
PA
USD
10378.70000000
0.001273465329
Long
ABS-MBS
CORP
US
N
2
2057-05-25
Variable
4.26577680
N
N
N
N
N
N
Interpublic Group of Cos., Inc. (The)
5493008IUOJ5VWTRC333
Interpublic Group of Cos., Inc. (The)
460690BR0
191000.00000000
PA
USD
205069.53000000
0.025162008392
Long
DBT
CORP
US
N
2
2030-03-30
Fixed
4.75000000
N
N
N
N
N
N
United States of America
254900HROIFWPRGM1V77
U.S. Treasury Notes
9128287C8
4593000.00000000
PA
USD
4606994.32000000
0.565277687736
Long
DBT
UST
US
N
2
2022-07-15
Fixed
1.75000000
N
N
N
N
N
N
Federal Home Loan Mortgage Corp.
S6XOOCT0IEG5ABCC6L87
Federal Home Loan Mortgage Corp.
3132XWA84
15003.08000000
PA
USD
15341.28000000
0.001882373339
Long
ABS-MBS
USGSE
US
N
2
2048-01-01
Fixed
3.50000000
N
N
N
N
N
N
Bayview Financial Revolving Asset Trust
N/A
Bayview Financial Revolving Asset Trust, Series 2004-B, Class A1
073250BE1
80150.28000000
PA
USD
67326.24000000
0.008260922117
Long
ABS-O
CORP
US
N
3
2039-05-28
Floating
1.44713880
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Uniform Mortgage-Backed Securities
3138WPHP2
8347.28000000
PA
USD
8319.18000000
0.001020762455
Long
ABS-MBS
USGSE
US
N
2
2043-04-01
Fixed
3.00000000
N
N
N
N
N
N
AEA International Holdings (Luxembourg) SARL
N/A
AEA International Holdings (Luxembourg) SARL, 1st Lien Term Loan
46033XAB7
148727.26000000
PA
USD
148169.53000000
0.018180384757
Long
LON
CORP
US
N
3
2028-09-07
Variable
4.81250000
N
N
N
N
N
N
United States of America
254900HROIFWPRGM1V77
U.S. Treasury Notes
912828X88
1390000.00000000
PA
USD
1384027.34000000
0.169819999803
Long
DBT
UST
US
N
2
2027-05-15
Fixed
2.37500000
N
N
N
N
N
N
Alternative Loan Trust
N/A
Alternative Loan Trust, Series 2006-15CB, Class A1
021467AA3
8175.10000000
PA
USD
5401.68000000
0.000662785531
Long
ABS-MBS
CORP
US
N
2
2036-06-25
Fixed
6.50000000
N
N
N
N
N
N
Ajax Mortgage Loan Trust
N/A
Ajax Mortgage Loan Trust, Series 2018-F, Class C
00969JAE7
12385.05740000
PA
USD
8296.02000000
0.001017920726
Long
ABS-MBS
CORP
US
N
2
2058-11-25
Fixed
0.00000000
N
N
N
N
N
N
BP Capital Markets plc
549300CRVT18MXX0AG93
BP Capital Markets plc
05565QCP1
80000.00000000
PA
USD
81667.93000000
0.010020645875
Long
DBT
CORP
GB
N
2
2024-02-10
Fixed
3.81400000
N
N
N
N
N
N
Mong Duong Finance Holdings BV
549300995KGQFMWSV879
Mong Duong Finance Holdings BV
N/A
250000.00000000
PA
USD
223718.75000000
0.027450265600
Long
DBT
CORP
NL
N
2
2029-05-07
Fixed
5.12500000
N
N
N
N
N
N
Deutsche Alt-B Securities Mortgage Loan Trust
N/A
Deutsche Alt-B Securities Mortgage Loan Trust, Series 2006-AB3, Class A8
25151EAJ2
8282.94000000
PA
USD
7782.24000000
0.000954879977
Long
ABS-MBS
CORP
US
N
2
2036-07-25
Variable
6.36400080
N
N
N
N
N
N
United States of America
254900HROIFWPRGM1V77
U.S. Treasury Notes
9128286T2
474000.00000000
PA
USD
472629.85000000
0.057991629727
Long
DBT
UST
US
N
2
2029-05-15
Fixed
2.37500000
N
N
N
N
N
N
United States of America
254900HROIFWPRGM1V77
U.S. Treasury Notes
91282CBC4
5251000.00000000
PA
USD
4848765.21000000
0.594942948895
Long
DBT
UST
US
N
2
2025-12-31
Fixed
0.37500000
N
N
N
N
N
N
N/A
N/A
U.S. Treasury 10 Year Note
N/A
-5.00000000
NC
USD
-4609.38000000
-0.00056557041
N/A
DIR
US
N
1
CME Clearing House
LCZ7XYGSLJUHFXXNXD88
Put
Written
N/A
U.S. Treasury 10 Year Note
100000.00000000
123.00000000
USD
2022-04-22
XXXX
148.65000000
N
N
N
Federal National Mortgage Association or Federal Home Loan Mortgage Corp.
N/A
Uniform Mortgage-Backed Securities
01F020448
-1477000.00000000
PA
USD
-1434478.56000000
-0.17601035885
Short
ABS-MBS
USGSE
US
N
2
2037-04-25
Fixed
2.00000000
N
N
N
N
N
N
245 Park Avenue Trust
N/A
245 Park Avenue Trust, Series 2017-245P, Class E
90187LAN9
200000.00000000
PA
USD
175070.48000000
0.021481128313
Long
ABS-MBS
CORP
US
N
2
2037-06-05
Variable
3.65739840
N
N
N
N
N
N
Santander UK Group Holdings plc
549300F5XIFGNNW4CF72
Santander UK Group Holdings plc
80281LAN5
606000.00000000
PA
USD
576405.14000000
0.070724846202
Long
DBT
CORP
GB
N
2
2025-03-15
Variable
1.08900000
N
N
N
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
2503.33000000
0.000307158310
N/A
DFE
N/A
N
2
Goldman Sachs International
W22LROWP2IHZNBB6K528
84000.00000000
USD
1912390.70000000
CZK
2022-04-20
2503.33000000
N
N
N
VMware, Inc.
549300BUDHS3LRWBE814
VMware, Inc.
928563AL9
684000.00000000
PA
USD
602216.04000000
0.073891840745
Long
DBT
CORP
US
N
2
2031-08-15
Fixed
2.20000000
N
N
N
N
N
N
AbbVie, Inc.
FR5LCKFTG8054YNNRU85
AbbVie, Inc.
00287YAS8
342000.00000000
PA
USD
371310.00000000
0.045559695466
Long
DBT
CORP
US
N
2
2045-05-14
Fixed
4.70000000
N
N
N
N
N
N
Credit Suisse Group AG
549300506SI9CRFV9Z86
Credit Suisse Group AG
225401AG3
252000.00000000
PA
USD
254244.22000000
0.031195737354
Long
DBT
CORP
CH
N
2
2024-06-12
Variable
4.20699960
N
N
N
N
N
N
Simpar Europe SA
54930068BSUST41D5C30
Simpar Europe SA
82883PAA2
200000.00000000
PA
USD
178500.00000000
0.021901930033
Long
DBT
CORP
LU
N
2
2031-01-26
Fixed
5.20000000
N
N
N
N
N
N
Hyundai Capital Services, Inc.
549300MALMDAGL2ZJJ27
Hyundai Capital Services, Inc.
44920UAK4
250000.00000000
PA
USD
250671.88000000
0.030757411636
Long
DBT
CORP
KR
N
2
2022-08-29
Fixed
3.00000000
N
N
N
N
N
N
FirstEnergy Transmission LLC
549300AINIIPOLYX2R63
FirstEnergy Transmission LLC
33767BAB5
666000.00000000
PA
USD
669208.67000000
0.082111828952
Long
DBT
CORP
US
N
2
2025-01-15
Fixed
4.35000000
N
N
N
N
N
N
Energy Transfer LP
MTLVN9N7JE8MIBIJ1H73
Energy Transfer LP
29278NAH6
1006000.00000000
PA
USD
1029307.97000000
0.126295972783
Long
DBT
CORP
US
N
2
2024-04-15
Fixed
4.50000000
N
N
N
N
N
N
Palmer Square CLO Ltd.
549300A8L0VCZ9626397
Palmer Square CLO Ltd., Series 2018-1A, Class A1
69703PAA7
250000.00000000
PA
USD
248740.18000000
0.030520392262
Long
ABS-CBDO
CORP
KY
N
2
2031-04-18
Floating
1.27128960
N
N
N
N
N
N
N/A
N/A
USCPI
N/A
1979000.00000000
PA
USD
-35253.59000000
-0.00432561154
N/A
DO
GB
N
2
LCH Clearnet
549300TXTCI7WVVJS380
Y
2032-02-28
0.00000000
USD
0.00000000
USD
1979000.00000000
USD
-35253.59000000
N
N
N
Goldman Sachs Group, Inc. (The)
784F5XWPLTWKTBV3E584
Goldman Sachs Group, Inc. (The)
38141GZP2
1659000.00000000
PA
USD
1656897.85000000
0.203301180858
Long
DBT
CORP
US
N
2
2024-03-15
Fixed
3.00000000
N
N
N
N
N
N
Sirius XM Radio, Inc.
WP5O65E6BMU84LNO4227
Sirius XM Radio, Inc.
82967NBC1
90000.00000000
PA
USD
91350.00000000
0.011208634781
Long
DBT
CORP
US
N
2
2029-07-01
Fixed
5.50000000
N
N
N
N
N
N
United States of America
254900HROIFWPRGM1V77
U.S. Treasury Notes
91282CDW8
67000.00000000
PA
USD
64152.50000000
0.007871504574
Long
DBT
UST
US
N
2
2029-01-31
Fixed
1.75000000
N
N
N
N
N
N
Mizuho Financial Group, Inc.
353800CI5L6DDAN5XZ33
Mizuho Financial Group, Inc.
60687YBH1
200000.00000000
PA
USD
177620.58000000
0.021794025297
Long
DBT
CORP
JP
N
2
2031-07-10
Variable
2.20100040
N
N
N
N
N
N
Parker-Hannifin Corp.
5493002CONDB4N2HKI23
Parker-Hannifin Corp.
701094AJ3
99000.00000000
PA
USD
98980.46000000
0.012144891370
Long
DBT
CORP
US
N
2
2027-03-01
Fixed
3.25000000
N
N
N
N
N
N
Oracle Corp.
1Z4GXXU7ZHVWFCD8TV52
Oracle Corp.
68389XBH7
354000.00000000
PA
USD
325840.94000000
0.039980646890
Long
DBT
CORP
US
N
2
2036-07-15
Fixed
3.85000000
N
N
N
N
N
N
Federal Home Loan Mortgage Corp.
S6XOOCT0IEG5ABCC6L87
Federal Home Loan Mortgage Corp.
3132J7RZ7
21882.27000000
PA
USD
21861.05000000
0.002682348389
Long
ABS-MBS
USGSE
US
N
2
2043-03-01
Fixed
3.00000000
N
N
N
N
N
N
Northern States Power Co.
3S1GHB0TEH85KX44SB51
Northern States Power Co.
665772CR8
88000.00000000
PA
USD
77633.14000000
0.009525577594
Long
DBT
CORP
US
N
2
2050-03-01
Fixed
2.90000000
N
N
N
N
N
N
Credit-Based Asset Servicing & Securitization LLC
N/A
Credit-Based Asset Servicing & Securitization LLC, Series 2006-MH1, Class B1
1248P8AK5
100000.00000000
PA
USD
98447.36000000
0.012079480059
Long
ABS-O
CORP
US
N
2
2036-10-25
Variable
6.24999960
N
N
N
N
N
N
N/A
N/A
USCPI
N/A
1930000.00000000
PA
USD
-97238.38000000
-0.01193113834
N/A
DO
GB
N
2
LCH Clearnet
549300TXTCI7WVVJS380
Y
2031-11-05
0.00000000
USD
0.00000000
USD
1930000.00000000
USD
-97238.38000000
N
N
N
CBAM Ltd.
254900JWJFDB3KD6V066
CBAM Ltd., Series 2017-1A, Class A1
12480VAC9
250000.00000000
PA
USD
249180.08000000
0.030574367943
Long
ABS-CBDO
CORP
KY
N
2
2030-07-20
Floating
1.50400080
N
N
N
N
N
N
Cedar Fair LP
N/A
Cedar Fair LP
150190AF3
47000.00000000
PA
USD
48265.01000000
0.005922111328
Long
DBT
CORP
US
N
2
2025-05-01
Fixed
5.50000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Government National Mortgage Association
36196FZE7
14960.46000000
PA
USD
15251.96000000
0.001871413785
Long
ABS-MBS
USGA
US
N
2
2046-10-20
Fixed
3.50000000
N
N
N
N
N
N
United States of America
254900HROIFWPRGM1V77
U.S. Treasury Notes
912828ZS2
2717000.00000000
PA
USD
2458885.00000000
0.301704914454
Long
DBT
UST
US
N
2
2027-05-31
Fixed
0.50000000
N
N
N
N
N
N
Ohio Power Co.
06ZODLC132CY1O2Y7D77
Ohio Power Co., Series Q
677415CT6
122000.00000000
PA
USD
104369.04000000
0.012806069533
Long
DBT
CORP
US
N
2
2031-01-15
Fixed
1.62500000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Government National Mortgage Association
36179RF95
208029.37870000
PA
USD
212852.87000000
0.026117023339
Long
ABS-MBS
USGA
US
N
2
2045-06-20
Fixed
3.50000000
N
N
N
N
N
N
Federal Home Loan Mortgage Corp.
N/A
Federal Home Loan Mortgage Corp. Variable Rate Notes, Series 2018-K732, Class B
30307NAS5
80000.00000000
PA
USD
80640.22000000
0.009894545973
Long
ABS-MBS
USGSE
US
N
2
2025-05-25
Variable
4.05716400
N
N
N
N
N
N
Credit Suisse Mortgage Capital Certificates
N/A
Credit Suisse Mortgage Capital Certificates, Series 2019-ICE4, Class A
12653VAA4
698000.00000000
PA
USD
694231.01000000
0.085182067271
Long
ABS-MBS
CORP
US
N
2
2036-05-15
Floating
1.37657160
N
N
N
N
N
N
Lehman ABS Manufactured Housing Contract Trust
N/A
Lehman ABS Manufactured Housing Contract Trust, Series 2001-B, Class M1
52519SAL7
45219.24000000
PA
USD
45857.14000000
0.005626665948
Long
ABS-O
CORP
US
N
2
2040-04-15
Variable
6.63000120
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Government National Mortgage Association
36202FDW3
1774.51000000
PA
USD
1889.30000000
0.000231816898
Long
ABS-MBS
USGA
US
N
2
2040-01-20
Fixed
4.50000000
N
N
N
N
N
N
Morgan Stanley Capital I Trust
N/A
Morgan Stanley Capital I Trust, Series 2017-H1, Class D
61691JAC8
140000.00000000
PA
USD
111422.89000000
0.013671576139
Long
ABS-MBS
CORP
US
N
2
2050-06-15
Fixed
2.54600000
N
N
N
N
N
N
Moody's Corp.
549300GCEDD8YCF5WU84
Moody's Corp.
615369AM7
225000.00000000
PA
USD
224640.47000000
0.027563360541
Long
DBT
CORP
US
N
2
2028-01-15
Fixed
3.25000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Government National Mortgage Association
36179S5M5
68427.19270000
PA
USD
70746.43000000
0.008680579047
Long
ABS-MBS
USGA
US
N
2
2047-05-20
Fixed
4.00000000
N
N
N
N
N
N
N/A
N/A
USCPI
N/A
1837000.00000000
PA
USD
-68764.58000000
-0.00843740627
N/A
DO
GB
N
2
LCH Clearnet
549300TXTCI7WVVJS380
Y
2031-10-29
0.00000000
USD
0.00000000
USD
1837000.00000000
USD
-68764.58000000
N
N
N
Federal Home Loan Mortgage Corp.
S6XOOCT0IEG5ABCC6L87
Federal Home Loan Mortgage Corp.
3132L8EV5
227261.83000000
PA
USD
225800.80000000
0.027705732902
Long
ABS-MBS
USGSE
US
N
2
2046-12-01
Fixed
3.00000000
N
N
N
N
N
N
Bausch Health Cos., Inc.
B3BS7ACMDUWISF18KY76
Bausch Health Cos., Inc.
91911KAP7
105000.00000000
PA
USD
108787.88000000
0.013348260707
Long
DBT
CORP
CA
N
2
2025-12-15
Fixed
9.00000000
N
N
N
N
N
N
Adani Transmission Ltd.
549300PLH866JQ6LXE52
Adani Transmission Ltd.
N/A
181000.00000000
PA
USD
166124.06000000
0.020383403579
Long
DBT
CORP
IN
N
2
2036-05-21
Fixed
4.25000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Uniform Mortgage-Backed Securities
3140QGKA4
642797.71000000
PA
USD
636731.55000000
0.078126889961
Long
ABS-MBS
USGSE
US
N
2
2035-12-01
Fixed
2.50000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Uniform Mortgage-Backed Securities
31402QYX3
90073.39000000
PA
USD
97337.87000000
0.011943345761
Long
ABS-MBS
USGSE
US
N
2
2035-02-01
Fixed
5.00000000
N
N
N
N
N
N
MASTR Specialized Loan Trust
N/A
MASTR Specialized Loan Trust, Series 2006-3, Class A
57643BAA6
11045.32000000
PA
USD
10649.73000000
0.001306720679
Long
ABS-O
CORP
US
N
2
2046-06-25
Floating
0.71656920
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Government National Mortgage Association
36202FPF7
23033.31000000
PA
USD
24087.59000000
0.002955544598
Long
ABS-MBS
USGA
US
N
2
2041-01-20
Fixed
4.00000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Uniform Mortgage-Backed Securities
3140L6U44
280596.86560000
PA
USD
261079.96000000
0.032034481888
Long
ABS-MBS
USGSE
US
N
2
2051-04-01
Fixed
2.00000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Government National Mortgage Association
36179UQ62
56529.54240000
PA
USD
58786.30000000
0.007213072434
Long
ABS-MBS
USGA
US
N
2
2049-04-20
Fixed
4.50000000
N
N
N
N
N
N
Ovintiv Exploration, Inc.
T8W3X1PFLPW2YE0UIP44
Ovintiv Exploration, Inc.
651290AQ1
408000.00000000
PA
USD
428955.78000000
0.052632826224
Long
DBT
CORP
US
N
2
2024-07-01
Fixed
5.62500000
N
N
N
N
N
N
Goldman Sachs Group, Inc. (The)
784F5XWPLTWKTBV3E584
Goldman Sachs Group, Inc. (The)
38141GYN8
595000.00000000
PA
USD
537917.62000000
0.066002431803
Long
DBT
CORP
US
N
2
2032-10-21
Variable
2.64999960
N
N
N
N
N
N
Northrop Grumman Corp.
RIMU48P07456QXSO0R61
Northrop Grumman Corp.
666807BU5
137000.00000000
PA
USD
170721.71000000
0.020947534720
Long
DBT
CORP
US
N
2
2050-05-01
Fixed
5.25000000
N
N
N
N
N
N
Oracle Corp.
1Z4GXXU7ZHVWFCD8TV52
Oracle Corp.
68389XBX2
316000.00000000
PA
USD
262078.49000000
0.032157001407
Long
DBT
CORP
US
N
2
2050-04-01
Fixed
3.60000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Uniform Mortgage-Backed Securities
3138WHFF4
11409.96000000
PA
USD
11343.18000000
0.001391806917
Long
ABS-MBS
USGSE
US
N
2
2046-06-01
Fixed
3.00000000
N
N
N
N
N
N
Federal Home Loan Mortgage Corp.
S6XOOCT0IEG5ABCC6L87
Federal Home Loan Mortgage Corp.
3132HRMP2
31057.31000000
PA
USD
31046.30000000
0.003809377537
Long
ABS-MBS
USGSE
US
N
2
2043-01-01
Fixed
3.00000000
N
N
N
N
N
N
Brookfield Residential Properties, Inc.
N/A
Brookfield Residential Properties, Inc.
11283YAB6
87000.00000000
PA
USD
85178.66000000
0.010451412054
Long
DBT
CORP
CA
N
2
2027-09-15
Fixed
6.25000000
N
N
N
N
N
N
EIG Pearl Holdings SARL
549300KIMRL45BWA5H76
EIG Pearl Holdings SARL
28249NAB7
326000.00000000
PA
USD
304810.00000000
0.037400152904
Long
DBT
CORP
LU
N
2
2046-11-30
Fixed
4.38700000
N
N
N
N
N
N
Goldman Sachs Group, Inc. (The)
784F5XWPLTWKTBV3E584
Goldman Sachs Group, Inc. (The)
38141GZK3
409000.00000000
PA
USD
391055.87000000
0.047982511506
Long
DBT
CORP
US
N
2
2028-02-24
Variable
2.63999880
N
N
N
N
N
N
AT&T, Inc.
549300Z40J86GGSTL398
AT&T, Inc.
00206RKJ0
403000.00000000
PA
USD
353609.95000000
0.043387901311
Long
DBT
CORP
US
N
2
2053-09-15
Fixed
3.50000000
N
N
N
N
N
N
State of Texas
549300X9CH74QB747L76
State of Texas, Series 2009A
882722KF7
215000.00000000
PA
USD
272389.67000000
0.033422182040
Long
DBT
MUN
US
N
2
2039-04-01
Fixed
5.51700000
N
N
N
N
N
N
Standard Industries, Inc.
54930064UHXCIUWVI755
Standard Industries, Inc.
853496AD9
15000.00000000
PA
USD
14343.75000000
0.001759976520
Long
DBT
CORP
US
N
2
2028-01-15
Fixed
4.75000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Uniform Mortgage-Backed Securities
3140QM4T8
348678.46320000
PA
USD
335864.97000000
0.041210594249
Long
ABS-MBS
USGSE
US
N
2
2052-01-01
Fixed
2.50000000
N
N
N
N
N
N
Cameron LNG LLC
549300C39FLHGVD73K22
Cameron LNG LLC
133434AC4
532000.00000000
PA
USD
495490.29000000
0.060796603158
Long
DBT
CORP
US
N
2
2038-01-15
Fixed
3.40200000
N
N
N
N
N
N
Federal Home Loan Mortgage Corp.
S6XOOCT0IEG5ABCC6L87
Federal Home Loan Mortgage Corp.
31307U5V6
17193.22590000
PA
USD
17380.93000000
0.002132638166
Long
ABS-MBS
USGSE
US
N
2
2032-12-01
Fixed
3.00000000
N
N
N
N
N
N
United States of America
254900HROIFWPRGM1V77
U.S. Treasury Bonds
912810QK7
432000.00000000
PA
USD
516003.75000000
0.063313602406
Long
DBT
UST
US
N
2
2040-08-15
Fixed
3.87500000
N
N
N
N
N
N
Federal Home Loan Mortgage Corp.
S6XOOCT0IEG5ABCC6L87
Federal Home Loan Mortgage Corp.
3132GD3M2
11640.11000000
PA
USD
12363.22000000
0.001516965711
Long
ABS-MBS
USGSE
US
N
2
2041-05-01
Fixed
4.50000000
N
N
N
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
6061.67000000
0.000743766230
N/A
DFE
N/A
N
2
Citibank
MBNUM2BPBDO7JBLYG310
82000.00000000
USD
419266.00000000
BRL
2022-04-04
6061.67000000
N
N
N
Bear Stearns Mortgage Funding Trust
N/A
Bear Stearns Mortgage Funding Trust, Series 2007-AR2, Class A1
07401TAA4
84059.47000000
PA
USD
78824.36000000
0.009671740154
Long
ABS-MBS
CORP
US
N
2
2037-03-25
Floating
0.62656920
N
N
N
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
10749.99000000
0.001319022570
N/A
DFE
N/A
N
2
Goldman Sachs International
W22LROWP2IHZNBB6K528
125000.00000000
USD
646312.50000000
BRL
2022-04-04
10749.99000000
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Uniform Mortgage-Backed Securities
31417GLT1
71818.06000000
PA
USD
71618.46000000
0.008787577030
Long
ABS-MBS
USGSE
US
N
2
2043-05-01
Fixed
3.00000000
N
N
N
N
N
N
Alternative Loan Trust
N/A
Alternative Loan Trust, Series 2005-76, Class 2A1
12668BDE0
15883.76000000
PA
USD
14942.54000000
0.001833447986
Long
ABS-MBS
CORP
US
N
2
2036-02-25
Floating
1.14113160
N
N
N
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
-10920.22000000
-0.00133990977
N/A
DFE
N/A
N
2
HSBC Bank
MP6I5ZYZBEU3UXPYFY54
640000.00000000
EUR
532323.20000000
GBP
2022-06-15
-10920.22000000
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Uniform Mortgage-Backed Securities
31418ECG3
1805295.07610000
PA
USD
1686961.92000000
0.206990038884
Long
ABS-MBS
USGSE
US
N
2
2042-03-01
Fixed
2.00000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Uniform Mortgage-Backed Securities
3140J8ZR7
178783.99630000
PA
USD
188317.30000000
0.023106511645
Long
ABS-MBS
USGSE
US
N
2
2048-08-01
Fixed
4.50000000
N
N
N
N
N
N
Morgan Stanley Capital I Trust
N/A
Morgan Stanley Capital I Trust, Series 2017-H1, Class XD
61691JAA2
110000.00000000
PA
USD
10458.91000000
0.001283307087
Long
ABS-MBS
CORP
US
N
2
2050-06-15
Variable
2.16064080
N
N
N
N
N
N
Crown Castle International Corp.
54930012H97VSM0I2R19
Crown Castle International Corp.
22822VAV3
340000.00000000
PA
USD
307169.04000000
0.037689606848
Long
DBT
CORP
US
N
2
2026-07-15
Fixed
1.05000000
N
N
N
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
-996.74000000
-0.00012229988
N/A
DFE
N/A
N
2
Goldman Sachs International
W22LROWP2IHZNBB6K528
121000.00000000
USD
453750000.00000000
COP
2022-04-20
-996.74000000
N
N
N
SLM Private Credit Student Loan Trust
549300HIOV1ESFZYQ040
SLM Private Credit Student Loan Trust, Series 2004-B, Class A3
78443CBN3
56473.70000000
PA
USD
56213.59000000
0.006897401205
Long
ABS-O
CORP
US
N
2
2024-03-15
Floating
1.15599960
N
N
N
N
N
N
Palmer Square CLO Ltd.
549300UP5H2PFBIITY41
Palmer Square CLO Ltd., Series 2014-1A, Class A1R2
69688XAS0
250000.00000000
PA
USD
248625.00000000
0.030506259689
Long
ABS-CBDO
CORP
KY
N
2
2031-01-17
Floating
1.37129040
N
N
N
N
N
N
Greenko Dutch BV
724500PT585P4JPVRP08
Greenko Dutch BV
N/A
194000.00000000
PA
USD
183087.50000000
0.022464815770
Long
DBT
CORP
NL
N
2
2026-03-29
Fixed
3.85000000
N
N
N
N
N
N
Cedar Fair LP
549300TUVLNQQ6BVKH61
Cedar Fair LP
150190AE6
73000.00000000
PA
USD
71906.46000000
0.008822914598
Long
DBT
CORP
US
N
2
2029-07-15
Fixed
5.25000000
N
N
N
N
N
N
United States of America
254900HROIFWPRGM1V77
U.S. Treasury Bonds
912810TA6
900.00000000
PA
USD
780.05000000
0.000095712047
Long
DBT
UST
US
N
2
2041-08-15
Fixed
1.75000000
N
N
N
N
N
N
Motorola Solutions, Inc.
6S552MUG6KGJVEBSEC55
Motorola Solutions, Inc.
620076BE8
287000.00000000
PA
USD
315582.86000000
0.038721981621
Long
DBT
CORP
US
N
2
2044-09-01
Fixed
5.50000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Uniform Mortgage-Backed Securities
3138XYBY9
17491.10000000
PA
USD
17842.15000000
0.002189229809
Long
ABS-MBS
USGSE
US
N
2
2042-01-01
Fixed
3.50000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Uniform Mortgage-Backed Securities
3138YBX65
3781.16000000
PA
USD
3820.55000000
0.000468781057
Long
ABS-MBS
USGSE
US
N
2
2030-07-01
Fixed
3.00000000
N
N
N
N
N
N
Northern States Power Co.
3S1GHB0TEH85KX44SB51
Northern States Power Co.
665772CP2
27000.00000000
PA
USD
26844.62000000
0.003293831871
Long
DBT
CORP
US
N
2
2046-05-15
Fixed
3.60000000
N
N
N
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
-1311.76000000
-0.00016095280
N/A
DFE
N/A
N
2
HSBC Bank
MP6I5ZYZBEU3UXPYFY54
1886047.80000000
CZK
84000.00000000
USD
2022-04-20
-1311.76000000
N
N
N
Federal Home Loan Mortgage Corp.
S6XOOCT0IEG5ABCC6L87
Federal Home Loan Mortgage Corp.
3132KE2B0
13474.27000000
PA
USD
13363.03000000
0.001639642286
Long
ABS-MBS
USGSE
US
N
2
2030-03-01
Fixed
2.50000000
N
N
N
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
-1019.84000000
-0.00012513425
N/A
DFE
N/A
N
2
Deutsche Bank
7LTWFZYICNSX8D621K86
60383.43000000
USD
53662.00000000
EUR
2022-04-01
-1019.84000000
N
N
N
GSR Mortgage Loan Trust
N/A
GSR Mortgage Loan Trust, Series 2007-1F, Class 2A4
3622MPAN8
3814.48000000
PA
USD
4528.58000000
0.000555656259
Long
ABS-MBS
CORP
US
N
2
2037-01-25
Fixed
5.50000000
N
N
N
N
N
N
Morgan Stanley ABS Capital I, Inc. Trust
N/A
Morgan Stanley ABS Capital I, Inc. Trust, Series 2005-HE1, Class A2MZ
61744CKH8
155480.69000000
PA
USD
138817.34000000
0.017032872090
Long
ABS-O
CORP
US
N
2
2034-12-25
Floating
1.05657120
N
N
N
N
N
N
Danske Bank A/S
MAES062Z21O4RZ2U7M96
Danske Bank A/S
23636AAY7
263000.00000000
PA
USD
259606.90000000
0.031853737590
Long
DBT
CORP
DK
N
2
2023-12-08
Variable
1.17100080
N
N
N
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
626.61000000
0.000076884976
N/A
DFE
N/A
N
2
HSBC Bank
MP6I5ZYZBEU3UXPYFY54
122000.00000000
USD
2445856.00000000
MXN
2022-04-20
626.61000000
N
N
N
Penske Truck Leasing Co. LP
N/A
Penske Truck Leasing Co. LP
709599BM5
290000.00000000
PA
USD
269085.50000000
0.033016760750
Long
DBT
CORP
US
N
2
2026-06-15
Fixed
1.70000000
N
N
N
N
N
N
Port Authority of New York & New Jersey
54930006MR4KZ4W74Z83
Port Authority of New York & New Jersey, Series 2010-165
73358WCX0
120000.00000000
PA
USD
148091.71000000
0.018170836251
Long
DBT
MUN
US
N
2
2040-11-01
Fixed
5.64700000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Government National Mortgage Association
36179WQA9
1964305.33910000
PA
USD
1907746.29000000
0.234080256387
Long
ABS-MBS
USGA
US
N
2
2051-10-20
Fixed
2.50000000
N
N
N
N
N
N
NGPL PipeCo LLC
549300K3NT1HSQFEM073
NGPL PipeCo LLC
62912XAF1
230000.00000000
PA
USD
238730.80000000
0.029292242456
Long
DBT
CORP
US
N
2
2027-08-15
Fixed
4.87500000
N
N
N
N
N
N
ING Groep NV
549300NYKK9MWM7GGW15
ING Groep NV
45685NAA4
202000.00000000
PA
USD
208772.16000000
0.025616320679
Long
DBT
CORP
NL
N
2
2026-01-06
Fixed
4.62500000
N
N
N
N
N
N
Alabama Power Co.
0RL818ELFOHP5JHOFU19
Alabama Power Co.
010392FL7
5000.00000000
PA
USD
5075.76000000
0.000622795184
Long
DBT
CORP
US
N
2
2044-08-15
Fixed
4.15000000
N
N
N
N
N
N
New Residential Mortgage Loan Trust
N/A
New Residential Mortgage Loan Trust, Series 2019-2A, Class A1
64830DAB9
47276.34000000
PA
USD
47865.44000000
0.005873084133
Long
ABS-MBS
CORP
US
N
2
2057-12-25
Variable
4.25000160
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Government National Mortgage Association
21H040640
1480500.00000000
PA
USD
1509647.34000000
0.185233559752
Long
ABS-MBS
USGA
US
N
2
2052-04-15
Fixed
4.00000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Uniform Mortgage-Backed Securities
3140L6BK9
206383.71440000
PA
USD
192266.99000000
0.023591138166
Long
ABS-MBS
USGSE
US
N
2
2051-04-01
Fixed
2.00000000
N
N
N
N
N
N
N/A
N/A
USCPI
N/A
806384.00000000
PA
USD
-37592.12000000
-0.00461254891
N/A
DO
GB
N
2
LCH Clearnet
549300TXTCI7WVVJS380
Y
2031-11-08
0.00000000
USD
0.00000000
USD
806384.00000000
USD
-37592.12000000
N
N
N
N/A
N/A
CDI
N/A
2310000.00000000
PA
-38039.92000000
-0.00466749392
N/A
DCR
US
N
2
ICE Clear US
549300HWWR1D8OTS2G29
iTraxx Europe Crossover37-V1
iTraxx Europe Crossover37-V1
Y
Receipt of notional amount upon default event with regard to the reference instrument
2027-06-20
0.00000000
USD
152189.51000000
USD
2310000.00000000
EUR
-38039.92000000
N
N
N
Morgan Stanley
IGJSJL3JD5P30I6NJZ34
Morgan Stanley
61744YAK4
285000.00000000
PA
USD
285792.58000000
0.035066717597
Long
DBT
CORP
US
N
2
2028-07-22
Variable
3.59100000
N
N
N
N
N
N
Home Equity Mortgage Loan Asset-Backed Trust
N/A
Home Equity Mortgage Loan Asset-Backed Trust, Series 2007-A, Class 2A2
43710BAC0
55874.03870000
PA
USD
41872.69000000
0.005137774379
Long
ABS-O
CORP
US
N
2
2037-04-25
Floating
0.64657080
N
N
N
N
N
N
Bear Stearns Mortgage Funding Trust
N/A
Bear Stearns Mortgage Funding Trust, Series 2006-SL1, Class A1
07400WAA8
20653.53000000
PA
USD
20292.19000000
0.002489849443
Long
ABS-MBS
CORP
US
N
2
2036-08-25
Floating
0.73657080
N
N
N
N
N
N
Atmos Energy Corp.
QVLWEGTD2S8GJMO8D383
Atmos Energy Corp.
049560AS4
14000.00000000
PA
USD
13066.96000000
0.001603314530
Long
DBT
CORP
US
N
2
2049-09-15
Fixed
3.37500000
N
N
N
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
-3844.57000000
-0.00047172830
N/A
DFE
N/A
N
2
HSBC Bank
MP6I5ZYZBEU3UXPYFY54
123000.00000000
USD
14502257.00000000
JPY
2022-04-18
-3844.57000000
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Uniform Mortgage-Backed Securities
3138WC7G2
32716.44900000
PA
USD
33056.94000000
0.004056082840
Long
ABS-MBS
USGSE
US
N
2
2029-10-01
Fixed
3.00000000
N
N
N
N
N
N
Federal Home Loan Mortgage Corp.
S6XOOCT0IEG5ABCC6L87
Federal Home Loan Mortgage Corp.
3129414T1
5606.59000000
PA
USD
5868.80000000
0.000720101103
Long
ABS-MBS
USGSE
US
N
2
2040-08-01
Fixed
4.00000000
N
N
N
N
N
N
Baltimore Gas & Electric Co.
88V8C2WYSOD1SPSSLH72
Baltimore Gas & Electric Co.
059165EM8
100000.00000000
PA
USD
86938.78000000
0.010667378581
Long
DBT
CORP
US
N
2
2050-06-15
Fixed
2.90000000
N
N
N
N
N
N
Humana, Inc.
529900YLDW34GJAO4J06
Humana, Inc.
444859BN1
69000.00000000
PA
USD
74355.22000000
0.009123377176
Long
DBT
CORP
US
N
2
2030-04-01
Fixed
4.87500000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Uniform Mortgage-Backed Securities
3140QM5X8
18690.00020000
PA
USD
18298.50000000
0.002245223903
Long
ABS-MBS
USGSE
US
N
2
2052-01-01
Fixed
3.00000000
N
N
N
N
N
N
United States of America
254900HROIFWPRGM1V77
U.S. Treasury Bonds
912810SQ2
1933000.00000000
PA
USD
1515366.28000000
0.185935273050
Long
DBT
UST
US
N
2
2040-08-15
Fixed
1.12500000
N
N
N
N
N
N
N/A
N/A
USCPI
N/A
4446790.00000000
PA
USD
-477982.09000000
-0.05864834897
N/A
DO
GB
N
2
LCH Clearnet
549300TXTCI7WVVJS380
Y
2031-04-26
0.00000000
USD
0.00000000
USD
4446790.00000000
USD
-477982.09000000
N
N
N
Electronic Arts, Inc.
549300O7A67PUEYKDL45
Electronic Arts, Inc.
285512AE9
470000.00000000
PA
USD
412784.54000000
0.050648616884
Long
DBT
CORP
US
N
2
2031-02-15
Fixed
1.85000000
N
N
N
N
N
N
Arabian Centres Sukuk II Ltd.
549300X92PKHJD8UYG94
Arabian Centres Sukuk II Ltd.
03847QAA1
200000.00000000
PA
USD
189000.00000000
0.023190278858
Long
DBT
CORP
KY
N
2
2026-10-07
Fixed
5.62500000
N
N
N
N
N
N
Morgan Stanley
IGJSJL3JD5P30I6NJZ34
Morgan Stanley
61744YAP3
376000.00000000
PA
USD
378933.99000000
0.046495158186
Long
DBT
CORP
US
N
2
2029-01-24
Variable
3.77200080
N
N
N
N
N
N
JPMBB Commercial Mortgage Securities Trust
N/A
JPMBB Commercial Mortgage Securities Trust, Series 2015-C33, Class D1
46645JBG6
100000.00000000
PA
USD
91190.92000000
0.011189115683
Long
ABS-MBS
CORP
US
N
2
2048-12-15
Variable
4.11110280
N
N
N
N
N
N
New Metro Global Ltd.
549300HJRNTCANEH0D47
New Metro Global Ltd.
N/A
200000.00000000
PA
USD
128000.00000000
0.015705585682
Long
DBT
CORP
VG
N
2
2026-05-02
Fixed
4.50000000
N
N
N
N
N
N
Option One Mortgage Loan Trust
N/A
Option One Mortgage Loan Trust, Series 2007-FXD2, Class 1A1
68403BAA3
97185.02980000
PA
USD
89981.22000000
0.011040685628
Long
ABS-O
CORP
US
N
2
2037-03-25
Variable
5.82000120
N
N
N
N
N
N
United Airlines Pass-Through Trust
N/A
United Airlines Pass-Through Trust, Series 2019-2, Class AA
90932JAA0
121625.19000000
PA
USD
111338.91000000
0.013661271802
Long
DBT
CORP
US
N
2
2032-05-01
Fixed
2.70000000
N
N
N
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
-1269.73000000
-0.00015579572
N/A
DFE
N/A
N
2
Citibank
MBNUM2BPBDO7JBLYG310
466101000.00000000
COP
122000.00000000
USD
2022-04-20
-1269.73000000
N
N
N
iHeartCommunications, Inc.
54930076J6KDZL504O62
iHeartCommunications, Inc.
45174HBE6
54000.00000000
PA
USD
53392.50000000
0.006551253777
Long
DBT
CORP
US
N
2
2027-08-15
Fixed
5.25000000
N
N
N
N
N
N
Credit-Based Asset Servicing & Securitization LLC
N/A
Credit-Based Asset Servicing & Securitization LLC, Series 2006-CB2, Class AF4
12498NAD5
11644.11000000
PA
USD
11323.69000000
0.001389415496
Long
ABS-O
CORP
US
N
2
2036-12-25
Variable
3.00386880
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Government National Mortgage Association
36196FZF4
17573.36000000
PA
USD
17915.03000000
0.002198172177
Long
ABS-MBS
USGA
US
N
2
2046-10-20
Fixed
3.50000000
N
N
N
N
N
N
Conseco Finance Corp.
N/A
Conseco Finance Corp., Series 1997-6, Class M1
393505XH0
17613.43000000
PA
USD
17091.02000000
0.002097066242
Long
ABS-O
CORP
US
N
2
2029-01-15
Variable
7.21000080
N
N
N
N
N
N
Level 3 Financing, Inc.
254900AE5FEFIJOXWL19
Level 3 Financing, Inc.
527298BN2
15000.00000000
PA
USD
14119.95000000
0.001732516285
Long
DBT
CORP
US
N
2
2027-09-15
Fixed
4.62500000
N
N
N
N
N
N
N/A
N/A
USD Currency
N/A
324000.00000000
PA
USD
5178.21000000
0.000635365787
N/A
DFE
US
N
2
Bank of America NA
B4TYDEB6GKMZO031MB27
Call
Purchased
N/A
USD Currency
1.00000000
15.00000000
USD
2022-05-27
XXXX
-582.51000000
N
N
N
Thermo Fisher Scientific, Inc.
HCHV7422L5HDJZCRFL38
Thermo Fisher Scientific, Inc.
883556CM2
180000.00000000
PA
USD
161216.57000000
0.019781255105
Long
DBT
CORP
US
N
2
2041-10-15
Fixed
2.80000000
N
N
N
N
N
N
Federal Home Loan Mortgage Corp.
S6XOOCT0IEG5ABCC6L87
Federal Home Loan Mortgage Corp.
3128M9WN8
41083.59000000
PA
USD
45308.37000000
0.005559331930
Long
ABS-MBS
USGSE
US
N
2
2041-06-01
Fixed
5.50000000
N
N
N
N
N
N
Standard Industries, Inc.
54930064UHXCIUWVI755
Standard Industries, Inc.
853496AC1
35000.00000000
PA
USD
34694.80000000
0.004257048079
Long
DBT
CORP
US
N
2
2027-02-15
Fixed
5.00000000
N
N
N
N
N
N
N/A
N/A
SOP
N/A
-146730000.00000000
PA
USD
-117308.88000000
-0.01439378645
N/A
DIR
US
N
2
Bank of America NA
B4TYDEB6GKMZO031MB27
Put
Written
N/A
Swaption
1.00000000
2.32000000
USD
2022-05-04
XXXX
-58616.88000000
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
317.05000000
0.000038901999
N/A
DFE
N/A
N
2
Deutsche Bank
7LTWFZYICNSX8D621K86
164590.27000000
USD
149000.00000000
EUR
2022-04-20
317.05000000
N
N
N
Oracle Corp.
1Z4GXXU7ZHVWFCD8TV52
Oracle Corp.
68389XBZ7
1458000.00000000
PA
USD
1273469.57000000
0.156254573791
Long
DBT
CORP
US
N
2
2041-03-25
Fixed
3.65000000
N
N
N
N
N
N
Exelon Corp.
3SOUA6IRML7435B56G12
Exelon Corp.
30161NAZ4
48000.00000000
PA
USD
46769.79000000
0.005738648001
Long
DBT
CORP
US
N
2
2027-03-15
Fixed
2.75000000
N
N
N
N
N
N
N/A
N/A
CDS
N/A
120000.00000000
PA
USD
-957.16000000
-0.00011744342
N/A
DCR
GB
N
2
Barclays Bank plc
G5GSEF7VJP5I7OUK5573
Federative Republic of Brazil
Federative Republic of Brazil
Y
Receipt of notional amount upon default event with regard to the reference instrument
2024-12-20
1650.54000000
USD
0.00000000
USD
120000.00000000
USD
-957.16000000
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
-488.50000000
-0.00005993889
N/A
DFE
N/A
N
2
UBS
BFM8T61CT2L1QCEMIK50
126000.00000000
USD
1837767.96000000
ZAR
2022-04-20
-488.50000000
N
N
N
Oriental Republic of Uruguay
549300RDR012H2V82H43
Oriental Republic of Uruguay
760942BB7
178758.00000000
PA
USD
189349.41000000
0.023233151426
Long
DBT
NUSS
UY
N
2
2027-10-27
Fixed
4.37500000
N
N
N
N
N
N
Federal Home Loan Mortgage Corp.
S6XOOCT0IEG5ABCC6L87
Federal Home Loan Mortgage Corp.
3132G5AU3
12767.56930000
PA
USD
12907.86000000
0.001583792978
Long
ABS-MBS
USGSE
US
N
2
2028-07-01
Fixed
3.00000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Government National Mortgage Association
3617ALXR6
14845.86000000
PA
USD
16148.08000000
0.001981367609
Long
ABS-MBS
USGA
US
N
2
2047-05-15
Fixed
4.50000000
N
N
N
N
N
N
Federal Home Loan Mortgage Corp.
S6XOOCT0IEG5ABCC6L87
Uniform Mortgage-Backed Securities
3132DVL52
2546076.98790000
PA
USD
2443877.33000000
0.299863475024
Long
ABS-MBS
USGSE
US
N
2
2051-11-01
Fixed
2.50000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Uniform Mortgage-Backed Securities
3140QM4F8
742317.15150000
PA
USD
713197.39000000
0.087509239976
Long
ABS-MBS
USGSE
US
N
2
2052-01-01
Fixed
2.50000000
N
N
N
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
-450.17000000
-0.00005523580
N/A
DFE
N/A
N
2
Barclays Bank
G5GSEF7VJP5I7OUK5573
100150.93000000
CHF
97600.00000000
EUR
2022-06-15
-450.17000000
N
N
N
Northwest Pipeline LLC
549300FFKMN9OW536A14
Northwest Pipeline LLC
66775VAB1
365000.00000000
PA
USD
374320.59000000
0.045929094522
Long
DBT
CORP
US
N
2
2027-04-01
Fixed
4.00000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Uniform Mortgage-Backed Securities
3138YBX73
19053.44000000
PA
USD
19252.02000000
0.002362220700
Long
ABS-MBS
USGSE
US
N
2
2030-07-01
Fixed
3.00000000
N
N
N
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
214.73000000
0.000026347346
N/A
DFE
N/A
N
2
BNP Paribas
R0MUWSFPU8MPRO8K5P83
43000.00000000
USD
861941.89000000
MXN
2022-04-20
214.73000000
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
14564.30000000
0.001787037980
N/A
DFE
N/A
N
2
BNP Paribas
R0MUWSFPU8MPRO8K5P83
1230000.00000000
EUR
1270337.85000000
CHF
2022-06-15
14564.30000000
N
N
N
InRetail Consumer
N/A
InRetail Consumer
45790TAB1
200000.00000000
PA
USD
187350.00000000
0.022987824043
Long
DBT
CORP
PE
N
2
2028-03-22
Fixed
3.25000000
N
N
N
N
N
N
American Home Mortgage Assets Trust
N/A
American Home Mortgage Assets Trust, Series 2006-3, Class 2A11
02660UAE0
48383.33000000
PA
USD
38731.70000000
0.004752375257
Long
ABS-MBS
CORP
US
N
2
2046-10-25
Floating
1.08113040
N
N
N
N
N
N
JPMorgan Chase & Co.
8I5DZWZKVSZI1NUHU748
JPMorgan Chase & Co.
46647PAK2
470000.00000000
PA
USD
483084.24000000
0.059274382211
Long
DBT
CORP
US
N
2
2048-07-24
Variable
4.03200000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Government National Mortgage Association
36179RD71
53624.53240000
PA
USD
54834.01000000
0.006728126893
Long
ABS-MBS
USGA
US
N
2
2045-05-20
Fixed
3.50000000
N
N
N
N
N
N
Bank of America Corp.
9DJT3UXIJIZJI4WXO774
Bank of America Corp.
06051GHU6
373000.00000000
PA
USD
382976.41000000
0.046991162668
Long
DBT
CORP
US
N
2
2040-04-23
Variable
4.07800080
N
N
N
N
N
N
Diamondback Energy, Inc.
549300R22LSX6OHWEN64
Diamondback Energy, Inc.
25278XAR0
1137000.00000000
PA
USD
1085893.64000000
0.133239028162
Long
DBT
CORP
US
N
2
2031-03-24
Fixed
3.12500000
N
N
N
N
N
N
Option One Mortgage Loan Trust
N/A
Option One Mortgage Loan Trust, Series 2007-CP1, Class 2A3
68402YAD8
90000.00000000
PA
USD
74507.85000000
0.009142104860
Long
ABS-O
CORP
US
N
2
2037-03-25
Floating
0.66656880
N
N
N
N
N
N
Morgan Stanley Capital I Trust
N/A
Morgan Stanley Capital I Trust, Series 2017-CLS, Class F
61691LAQ2
211000.00000000
PA
USD
208357.79000000
0.025565477526
Long
ABS-MBS
CORP
US
N
2
2034-11-15
Floating
2.99657160
N
N
N
N
N
N
Duke Energy Florida LLC
7MOHLM3DKE63RX2ZCN83
Duke Energy Florida LLC
26444HAJ0
88000.00000000
PA
USD
78336.19000000
0.009611841750
Long
DBT
CORP
US
N
2
2030-06-15
Fixed
1.75000000
N
N
N
N
N
N
Service Properties Trust
529900IS770AG1K9QG27
Service Properties Trust
44106MAZ5
37000.00000000
PA
USD
35612.50000000
0.004369649766
Long
DBT
CORP
US
N
2
2024-10-01
Fixed
4.35000000
N
N
N
N
N
N
Federal Home Loan Mortgage Corp.
S6XOOCT0IEG5ABCC6L87
Federal Home Loan Mortgage Corp.
3132J8KH2
52307.73000000
PA
USD
52273.09000000
0.006413902295
Long
ABS-MBS
USGSE
US
N
2
2043-04-01
Fixed
3.00000000
N
N
N
N
N
N
Goldman Sachs Group, Inc. (The)
784F5XWPLTWKTBV3E584
Goldman Sachs Group, Inc. (The)
38141GVM3
1226000.00000000
PA
USD
1251046.26000000
0.153503236162
Long
DBT
CORP
US
N
2
2024-03-03
Fixed
4.00000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Uniform Mortgage-Backed Securities
3140QLSU1
178483.19990000
PA
USD
184092.08000000
0.022588077623
Long
ABS-MBS
USGSE
US
N
2
2051-08-01
Fixed
4.00000000
N
N
N
N
N
N
N/A
N/A
USD Currency
N/A
-734000.00000000
PA
USD
-5599.07000000
-0.00068700526
N/A
DFE
GB
N
2
Goldman Sachs International
W22LROWP2IHZNBB6K528
Call
Written
N/A
USD Currency
1.00000000
20.70000000
USD
2022-05-27
XXXX
2063.31000000
N
N
N
Federal Home Loan Mortgage Corp.
S6XOOCT0IEG5ABCC6L87
Federal Home Loan Mortgage Corp.
312938GD9
4712.30000000
PA
USD
5017.93000000
0.000615699449
Long
ABS-MBS
USGSE
US
N
2
2039-12-01
Fixed
4.50000000
N
N
N
N
N
N
Federal Home Loan Mortgage Corp.
S6XOOCT0IEG5ABCC6L87
Federal Home Loan Mortgage Corp.
31307UR34
15839.83470000
PA
USD
16016.23000000
0.001965189629
Long
ABS-MBS
USGSE
US
N
2
2032-10-01
Fixed
3.00000000
N
N
N
N
N
N
CSAIL Commercial Mortgage Trust
549300D5DIOOMKWXVZ20
CSAIL Commercial Mortgage Trust, Series 2015-C2, Class A4
12634NAT5
50000.00000000
PA
USD
50014.18000000
0.006136734291
Long
ABS-MBS
CORP
US
N
2
2057-06-15
Fixed
3.50400000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Government National Mortgage Association
36189MS74
5118.16000000
PA
USD
5283.05000000
0.000648229644
Long
ABS-MBS
USGA
US
N
2
2046-10-20
Fixed
4.00000000
N
N
N
N
N
N
Massachusetts Housing Finance Agency
549300NLJBK1VP6K2K81
Massachusetts Housing Finance Agency, Series 2015A
57586NXZ9
30000.00000000
PA
USD
30439.81000000
0.003734961282
Long
DBT
MUN
US
N
2
2048-12-01
Fixed
4.50000000
N
N
N
N
N
N
Edison International
549300I7ROF15MAEVP56
Edison International
281020AR8
272000.00000000
PA
USD
278279.80000000
0.034144900332
Long
DBT
CORP
US
N
2
2025-04-15
Fixed
4.95000000
N
N
N
N
N
N
Churchill Downs, Inc.
529900FODTBQC8MIS994
Churchill Downs, Inc.
171484AG3
88000.00000000
PA
USD
88997.92000000
0.010920034828
Long
DBT
CORP
US
N
2
2027-04-01
Fixed
5.50000000
N
N
N
N
N
N
Crown Castle International Corp.
54930012H97VSM0I2R19
Crown Castle International Corp.
22822VAK7
137000.00000000
PA
USD
136861.15000000
0.016792847796
Long
DBT
CORP
US
N
2
2028-02-15
Fixed
3.80000000
N
N
N
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
5522.08000000
0.000677558598
N/A
DFE
N/A
N
2
Citibank
MBNUM2BPBDO7JBLYG310
10225.00000000
USD
1178431.25000000
RUB
2022-05-25
5522.08000000
N
N
N
Diamondback Energy, Inc.
549300R22LSX6OHWEN64
Diamondback Energy, Inc.
25278XAT6
263000.00000000
PA
USD
259934.04000000
0.031893877632
Long
DBT
CORP
US
N
2
2052-03-15
Fixed
4.25000000
N
N
N
N
N
N
Federal Home Loan Mortgage Corp.
S6XOOCT0IEG5ABCC6L87
Federal Home Loan Mortgage Corp.
3132HNMK2
5777.88000000
PA
USD
5897.56000000
0.000723629952
Long
ABS-MBS
USGSE
US
N
2
2042-08-01
Fixed
3.50000000
N
N
N
N
N
N
N/A
N/A
U.S. Treasury 5 Year Note
N/A
236.00000000
NC
USD
-615686.91000000
-0.07554471498
N/A
DIR
US
N
1
CME Clearing House
LCZ7XYGSLJUHFXXNXD88
Long
N/A
U.S. Treasury 5 Year Note
2022-06-30
27033062.50000000
USD
-615686.91000000
N
N
N
1011778 BC ULC
N/A
1011778 BC ULC
68245XAH2
11000.00000000
PA
USD
10422.89000000
0.001278887437
Long
DBT
CORP
CA
N
2
2028-01-15
Fixed
3.87500000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Government National Mortgage Association
36179NDR6
36033.94000000
PA
USD
36987.84000000
0.004538403830
Long
ABS-MBS
USGA
US
N
2
2043-05-20
Fixed
3.50000000
N
N
N
N
N
N
AT&T, Inc.
549300Z40J86GGSTL398
AT&T, Inc.
00206RKF8
90000.00000000
PA
USD
76497.02000000
0.009386175797
Long
DBT
CORP
US
N
2
2061-02-01
Fixed
3.50000000
N
N
N
N
N
N
Federal Home Loan Mortgage Corp.
S6XOOCT0IEG5ABCC6L87
Federal Home Loan Mortgage Corp.
31292LGU3
25933.72000000
PA
USD
26473.75000000
0.003248326163
Long
ABS-MBS
USGSE
US
N
2
2042-04-01
Fixed
3.50000000
N
N
N
N
N
N
N/A
N/A
CDI
N/A
6070000.00000000
PA
-19695.88000000
-0.00241668227
N/A
DCR
US
N
2
ICE Clear US
549300HWWR1D8OTS2G29
iTraxx Europe Main37-V1
iTraxx Europe Main37-V1
Y
Receipt of notional amount upon default event with regard to the reference instrument
2027-06-20
0.00000000
USD
74126.69000000
USD
6070000.00000000
EUR
-19695.88000000
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Uniform Mortgage-Backed Securities
3138WKK87
48133.45000000
PA
USD
47679.18000000
0.005850230052
Long
ABS-MBS
USGSE
US
N
2
2032-03-01
Fixed
2.50000000
N
N
N
N
N
N
American Transmission Systems, Inc.
N/A
American Transmission Systems, Inc.
030288AC8
293000.00000000
PA
USD
270789.72000000
0.033225868354
Long
DBT
CORP
US
N
2
2032-01-15
Fixed
2.65000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Uniform Mortgage-Backed Securities
3138LTL63
1681.96000000
PA
USD
1715.56000000
0.000210499020
Long
ABS-MBS
USGSE
US
N
2
2042-06-01
Fixed
3.50000000
N
N
N
N
N
N
People's Republic of China
300300CHN201808MOF68
People's Republic of China
N/A
4620000.00000000
PA
735537.98000000
0.090250427870
Long
DBT
NUSS
CN
N
2
2028-05-13
Fixed
3.01000000
N
N
N
N
N
N
Federal Home Loan Mortgage Corp.
S6XOOCT0IEG5ABCC6L87
Federal Home Loan Mortgage Corp.
31292LGY5
108583.01000000
PA
USD
110844.07000000
0.013600554990
Long
ABS-MBS
USGSE
US
N
2
2042-03-01
Fixed
3.50000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Uniform Mortgage-Backed Securities
3138LTJF6
47520.82000000
PA
USD
49598.53000000
0.006085734083
Long
ABS-MBS
USGSE
US
N
2
2042-05-01
Fixed
4.00000000
N
N
N
N
N
N
United States of America
254900HROIFWPRGM1V77
U.S. Treasury Bonds
912810QL5
432000.00000000
PA
USD
539898.75000000
0.066245516233
Long
DBT
UST
US
N
2
2040-11-15
Fixed
4.25000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Uniform Mortgage-Backed Securities
3140J9Y96
64841.02310000
PA
USD
68501.31000000
0.008405103074
Long
ABS-MBS
USGSE
US
N
2
2048-09-01
Fixed
5.00000000
N
N
N
N
N
N
Citigroup, Inc.
6SHGI4ZSSLCXXQSBB395
Citigroup, Inc.
17327CAQ6
74000.00000000
PA
USD
69140.68000000
0.008483553702
Long
DBT
CORP
US
N
2
2033-01-25
Variable
3.05700120
N
N
N
N
N
N
Bayview Financial Revolving Asset Trust
N/A
Bayview Financial Revolving Asset Trust, Series 2005-A, Class A1
073250BM3
107052.14000000
PA
USD
102386.87000000
0.012562857496
Long
ABS-O
CORP
US
N
2
2040-02-28
Floating
1.44713880
N
N
N
N
N
N
Apidos CLO XV
549300HXW2GBYSKFE344
Apidos CLO XV, Series 2013-15A, Class A1RR
03764QBC5
500000.00000000
PA
USD
496116.80000000
0.060873475865
Long
ABS-CBDO
CORP
KY
N
2
2031-04-20
Floating
1.26399960
N
N
N
N
N
N
Oncor Electric Delivery Co. LLC
549300SP2X2BS1KERD24
Oncor Electric Delivery Co. LLC
68233JBG8
83000.00000000
PA
USD
87696.49000000
0.010760349513
Long
DBT
CORP
US
N
2
2048-11-15
Fixed
4.10000000
N
N
N
N
N
N
Bank of America Corp.
9DJT3UXIJIZJI4WXO774
Bank of America Corp.
06051GHY8
512000.00000000
PA
USD
492825.23000000
0.060469600594
Long
DBT
CORP
US
N
2
2026-02-13
Variable
2.01499920
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Uniform Mortgage-Backed Securities
3138Y4UY3
4097.58000000
PA
USD
4140.26000000
0.000508009438
Long
ABS-MBS
USGSE
US
N
2
2030-08-01
Fixed
3.00000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Uniform Mortgage-Backed Securities
3138W5M21
30754.59000000
PA
USD
30697.41000000
0.003766568773
Long
ABS-MBS
USGSE
US
N
2
2043-03-01
Fixed
3.00000000
N
N
N
N
N
N
EIG Pearl Holdings SARL
549300KIMRL45BWA5H76
EIG Pearl Holdings SARL
28249NAA9
200000.00000000
PA
USD
191000.00000000
0.023435678635
Long
DBT
CORP
LU
N
2
2036-08-31
Fixed
3.54500000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Uniform Mortgage-Backed Securities
3140EXEK5
37240.98000000
PA
USD
39446.00000000
0.004840019787
Long
ABS-MBS
USGSE
US
N
2
2046-09-01
Fixed
4.50000000
N
N
N
N
N
N
United States of America
254900HROIFWPRGM1V77
U.S. Treasury Bonds
912810QB7
97000.00000000
PA
USD
121465.98000000
0.014903862159
Long
DBT
UST
US
N
2
2039-05-15
Fixed
4.25000000
N
N
N
N
N
N
N/A
N/A
CDSCMBX
N/A
60000.00000000
PA
USD
1908.58000000
0.000234182552
N/A
DCR
DE
N
2
Deutsche Bank AG
7LTWFZYICNSX8D621K86
Markit CMBX North American A 10
Markit CMBX North American A 10
Y
Payout of notional amount upon default event with regard to the reference instrument
2059-11-17
0.00000000
USD
2413.14000000
USD
60000.00000000
USD
1908.58000000
N
N
N
N/A
N/A
3 Month SONIA Index
N/A
-29.00000000
NC
5987.14000000
0.000734621408
N/A
DIR
GB
N
1
ICE Clear Europe
5R6J7JCQRIPQR1EEP713
Short
N/A
3 Month SONIA Index
2023-03-14
-7093762.50000000
GBP
5987.14000000
N
N
N
Federal Home Loan Mortgage Corp.
S6XOOCT0IEG5ABCC6L87
Uniform Mortgage-Backed Securities
3133A04K7
100119.85590000
PA
USD
100990.21000000
0.012391487470
Long
ABS-MBS
USGSE
US
N
2
2050-01-01
Fixed
3.50000000
N
N
N
N
N
N
Federal Home Loan Mortgage Corp.
S6XOOCT0IEG5ABCC6L87
Federal Home Loan Mortgage Corp.
3132JADY8
14388.87000000
PA
USD
14649.73000000
0.001797520232
Long
ABS-MBS
USGSE
US
N
2
2043-06-01
Fixed
3.50000000
N
N
N
N
N
N
Federal Home Loan Mortgage Corp.
S6XOOCT0IEG5ABCC6L87
Federal Home Loan Mortgage Corp.
3132JQEV8
9749.65000000
PA
USD
10296.10000000
0.001263330318
Long
ABS-MBS
USGSE
US
N
2
2043-11-01
Fixed
4.50000000
N
N
N
N
N
N
Olympic Tower Mortgage Trust
N/A
Olympic Tower Mortgage Trust, Series 2017-OT, Class E
68162MAN2
190000.00000000
PA
USD
157864.73000000
0.019369984712
Long
ABS-MBS
CORP
US
N
2
2039-05-10
Variable
3.94524720
N
N
N
N
N
N
Bausch Health Cos., Inc.
B3BS7ACMDUWISF18KY76
Bausch Health Cos., Inc.
071734AC1
31000.00000000
PA
USD
30545.85000000
0.003747972378
Long
DBT
CORP
CA
N
2
2027-08-15
Fixed
5.75000000
N
N
N
N
N
N
Credito Real SAB de CV SOFOM ER
N/A
Credito Real SAB de CV SOFOM ER, Term Loan A
N/A
21000.00000000
PA
USD
4200.00000000
0.000515339530
Long
LON
CORP
US
N
3
2023-02-21
Variable
4.23100000
N
N
N
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
15340.31000000
0.001882254321
N/A
DFE
N/A
N
2
Deutsche Bank
7LTWFZYICNSX8D621K86
1061148.50000000
GBP
1270000.00000000
EUR
2022-06-15
15340.31000000
N
N
N
XPO Logistics, Inc.
54930096DB9LCLPN7H13
XPO Logistics, Inc., Term Loan
98379EAE6
269462.00000000
PA
USD
266710.79000000
0.032725384099
Long
LON
CORP
US
N
2
2025-02-24
Variable
1.99243000
N
N
N
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
262.07000000
0.000032155959
N/A
DFE
N/A
N
2
JP Morgan Chase Bank
7H6GLXDRUGQFU57RNE97
520000.00000000
GBP
683163.52000000
USD
2022-06-15
262.07000000
N
N
N
LSTAR Commercial Mortgage Trust
549300MAI3U5Y4VL8H37
LSTAR Commercial Mortgage Trust, Series 2015-3, Class AS
54910JAN4
11686.79000000
PA
USD
11535.46000000
0.001415399651
Long
ABS-MBS
CORP
US
N
2
2048-04-20
Variable
3.16490760
N
N
N
N
N
N
MGM China Holdings Ltd.
529900VZFN87OS7WJM66
MGM China Holdings Ltd.
N/A
200000.00000000
PA
USD
171000.00000000
0.020981680872
Long
DBT
CORP
KY
N
2
2027-02-01
Fixed
4.75000000
N
N
N
N
N
N
Federal Home Loan Mortgage Corp.
S6XOOCT0IEG5ABCC6L87
Federal Home Loan Mortgage Corp.
3132GSSE0
28017.43990000
PA
USD
28598.07000000
0.003508979990
Long
ABS-MBS
USGSE
US
N
2
2042-04-01
Fixed
3.50000000
N
N
N
N
N
N
American Homes 4 Rent Trust
N/A
American Homes 4 Rent Trust, Series 2014-SFR3, Class A
02665XAA7
172964.61000000
PA
USD
172276.59000000
0.021138318322
Long
ABS-O
CORP
US
N
2
2036-12-17
Fixed
3.67800000
N
N
N
N
N
N
HCA, Inc.
L3CJ6J7LJ2DX62FTXD46
HCA, Inc.
404121AF2
875000.00000000
PA
USD
896843.61000000
0.110042610628
Long
DBT
CORP
US
N
2
2023-05-01
Fixed
4.75000000
N
N
N
N
N
N
GSMPS Mortgage Loan Trust
N/A
GSMPS Mortgage Loan Trust, Series 2006-RP1, Class 1AF1
3623413C1
33607.51000000
PA
USD
28268.77000000
0.003468574916
Long
ABS-MBS
CORP
US
N
2
2036-01-25
Floating
0.80656920
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Uniform Mortgage-Backed Securities
3140XFRT0
628233.48750000
PA
USD
585638.03000000
0.071857720772
Long
ABS-MBS
USGSE
US
N
2
2052-01-01
Fixed
2.00000000
N
N
N
N
N
N
Bally's Corp.
549300NS4D5IK406VT62
Bally's Corp., Facility Term Loan B
05875CAB0
322192.50000000
PA
USD
320178.80000000
0.039285902945
Long
LON
CORP
US
N
2
2028-10-02
Variable
3.75000000
N
N
N
N
N
N
Motorola Solutions, Inc.
6S552MUG6KGJVEBSEC55
Motorola Solutions, Inc.
620076BU2
819000.00000000
PA
USD
741016.06000000
0.090922587673
Long
DBT
CORP
US
N
2
2031-05-24
Fixed
2.75000000
N
N
N
N
N
N
Medline Borrower LP
N/A
Medline Borrower LP, Term Loan
58503UAC7
386000.00000000
PA
USD
381947.00000000
0.046864854176
Long
LON
CORP
US
N
2
2028-10-23
Variable
3.75000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Uniform Mortgage-Backed Securities
3140KKX33
121781.23970000
PA
USD
113466.51000000
0.013922328084
Long
ABS-MBS
USGSE
US
N
2
2050-09-01
Fixed
2.00000000
N
N
N
N
N
N
Buckeye Partners LP
549300C1PQJLVEIUBK50
Buckeye Partners LP
118230AQ4
9000.00000000
PA
USD
8795.16000000
0.001079165148
Long
DBT
CORP
US
N
2
2026-12-01
Fixed
3.95000000
N
N
N
N
N
N
Banco Santander SA
5493006QMFDDMYWIAM13
Banco Santander SA
05971KAD1
200000.00000000
PA
USD
197878.12000000
0.024279623189
Long
DBT
CORP
ES
N
2
2024-06-27
Fixed
2.70600000
N
N
N
N
N
N
Oriental Republic of Uruguay
549300RDR012H2V82H43
Oriental Republic of Uruguay
760942BA9
233785.00000000
PA
USD
276713.77000000
0.033952748626
Long
DBT
NUSS
UY
N
2
2050-06-18
Fixed
5.10000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Uniform Mortgage-Backed Securities
3138WFQ25
18631.73000000
PA
USD
18459.78000000
0.002265012941
Long
ABS-MBS
USGSE
US
N
2
2030-09-01
Fixed
2.50000000
N
N
N
N
N
N
Hungary
5299003F3UFKGCCMAP43
Hungary Government Bond
445545AL0
414000.00000000
PA
USD
433872.00000000
0.053236045868
Long
DBT
NUSS
HU
N
2
2024-03-25
Fixed
5.37500000
N
N
N
N
N
N
American Express Co.
R4PP93JZOLY261QX3811
American Express Co.
025816CS6
419000.00000000
PA
USD
407403.68000000
0.049988385964
Long
DBT
CORP
US
N
2
2027-03-04
Fixed
2.55000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Uniform Mortgage-Backed Securities
31416VXQ2
46885.70000000
PA
USD
49036.21000000
0.006016737481
Long
ABS-MBS
USGSE
US
N
2
2036-01-01
Fixed
4.00000000
N
N
N
N
N
N
United Airlines Pass-Through Trust
N/A
United Airlines Pass-Through Trust, Series 2014-1, Class B
90932PAB4
9881.06000000
PA
USD
9888.12000000
0.001213271217
Long
DBT
CORP
US
N
2
2022-04-11
Fixed
4.75000000
N
N
N
N
N
N
Verizon Communications, Inc.
2S72QS2UO2OESLG6Y829
Verizon Communications, Inc.
92343VGK4
379000.00000000
PA
USD
355280.98000000
0.043592936505
Long
DBT
CORP
US
N
2
2041-03-22
Fixed
3.40000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Uniform Mortgage-Backed Securities
3140J7R64
135461.42420000
PA
USD
142088.01000000
0.017434182933
Long
ABS-MBS
USGSE
US
N
2
2047-11-01
Fixed
4.50000000
N
N
N
N
N
N
Bear Stearns Mortgage Funding Trust
N/A
Bear Stearns Mortgage Funding Trust, Series 2007-AR4, Class 1A1
07401YAA3
37271.95000000
PA
USD
36490.98000000
0.004477439164
Long
ABS-MBS
CORP
US
N
2
2047-09-25
Floating
0.65657160
N
N
N
N
N
N
American International Group, Inc.
ODVCVCQG2BP6VHV36M30
American International Group, Inc.
026874DL8
180000.00000000
PA
USD
206236.97000000
0.025305253149
Long
DBT
CORP
US
N
2
2048-04-01
Fixed
4.75000000
N
N
N
N
N
N
Danske Bank A/S
MAES062Z21O4RZ2U7M96
Danske Bank A/S
23636AAT8
602000.00000000
PA
USD
620685.64000000
0.076158058599
Long
DBT
CORP
DK
N
2
2024-01-12
Fixed
5.37500000
N
N
N
N
N
N
Albertsons Cos., Inc.
N/A
Albertsons Cos., Inc.
013092AB7
68000.00000000
PA
USD
67769.82000000
0.008315349333
Long
DBT
CORP
US
N
2
2028-02-15
Fixed
5.87500000
N
N
N
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
-2945.59000000
-0.00036142356
N/A
DFE
N/A
N
2
HSBC Bank
MP6I5ZYZBEU3UXPYFY54
498538.66000000
CHF
485205.22000000
EUR
2022-06-15
-2945.59000000
N
N
N
Morgan Stanley
IGJSJL3JD5P30I6NJZ34
Morgan Stanley
61746BDZ6
775000.00000000
PA
USD
789742.75000000
0.096901347086
Long
DBT
CORP
US
N
2
2026-01-27
Fixed
3.87500000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Uniform Mortgage-Backed Securities
31418CZ98
159397.71460000
PA
USD
163147.90000000
0.020018229080
Long
ABS-MBS
USGSE
US
N
2
2048-09-01
Fixed
4.00000000
N
N
N
N
N
N
N/A
N/A
USD Currency
N/A
-486000.00000000
PA
USD
-3022.45000000
-0.00037085427
N/A
DFE
US
N
2
Bank of America NA
B4TYDEB6GKMZO031MB27
Call
Written
N/A
USD Currency
1.00000000
15.70000000
USD
2022-05-27
XXXX
476.75000000
N
N
N
Navient Corp.
54930067J0ZNOEBRW338
Navient Corp.
63938CAJ7
37000.00000000
PA
USD
37740.00000000
0.004630693778
Long
DBT
CORP
US
N
2
2026-06-15
Fixed
6.75000000
N
N
N
N
N
N
General Motors Financial Co., Inc.
5493008B6JBRUJ90QL97
General Motors Financial Co., Inc.
37045XCK0
328000.00000000
PA
USD
333590.00000000
0.040931455685
Long
DBT
CORP
US
N
2
2025-04-09
Fixed
4.35000000
N
N
N
N
N
N
Republic of the Philippines
529900RAHBALMYIJ3T08
Republic of Philippines
718286CP0
329000.00000000
PA
USD
295724.94000000
0.036285417058
Long
DBT
NUSS
PH
N
2
2046-07-06
Fixed
3.20000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Government National Mortgage Association
36213FZ22
19990.30000000
PA
USD
20587.68000000
0.002526106033
Long
ABS-MBS
USGA
US
N
2
2042-01-15
Fixed
3.50000000
N
N
N
N
N
N
2022-03-31
BlackRock Variable Series Funds II, Inc.
Ann Frechette
Ann Frechette
Assistant Treasurer
XXXX