Fund Facts  

Inception Date: Oct 11, 2013
CUSIP: 92210F851
Morningstar Category:Inflation-Protected Bond

Documents for Fund or Underlying Fund(s)  

Description

Objective  

Inflation protection and income.

Principal Investment Strategies  

Under normal conditions, this Fund seeks exposure to a combination of inflation-indexed fixed income instruments, other fixed income instruments and inflation-linked derivatives. To the extent this Fund invests in fixed income instruments that are not inflation-indexed, it may use inflation-linked derivatives in connection with such investments to seek to achieve the Fund's investment objective. The Fund generally invests in investment grade fixed income securities and securities denominated in U.S. dollars.  
 
This Fund may use pooled investment vehicles to gain its desired exposure.  It may also invest in cash and cash equivalents, and other derivative instruments. 
 
This Fund uses multiple managers. Each manager independently selects and maintains a portfolio for this Fund.
 

Principal Investment Risks  

There is no guarantee that the Fund will achieve its investment objective. You may lose money by investing in the Fund. The Fund’s principal investment risks include: Inflation-Adjusted Securities Risk, Interest Rate Risk, Credit Risk, Foreign Securities Risk, Foreign Currency Risk, U.S. Government Agency Securities Risk, Derivative Instruments Risk, Call Risk, Mortgage-Backed Securities Risk, Asset-Backed Securities Risk, Municipal Securities Risk, Multi-Manager Risk, Large Investor Risk.
Please see the Disclosure Memorandum for additional information about the Fund’s risks.

 

Performance & Expenses

Standard Performance As of Dec 31, 2021
Fund/Benchmark Name QtrYTD1-Yr3-Yr5-Yr10-YrSince Inception
MissionSquare Inflation Foc R7   2.24%5.72%5.72%8.26%5.13%2.79%N/A
Bloomberg U.S. Treasury Inflation-Linked Bond Indexa,b2.36%5.96%5.96%8.44%5.34%3.09%N/A
Morningstar Inflation-Protected Bonda,c1.80%5.61%5.61%7.77%4.84%2.61%N/A

Fund past performance, as shown, is no guarantee of how the Fund will perform in the future. The performance shown has been annualized for periods greater than one year. Investment returns and principal value will fluctuate, so that an investor's shares, when redeemed, may be worth more or less than their original cost. For current performance, participants or plan sponsors in a MissionSquare Retirement administered account can log in at www.icmarc.org, or institutions can go to www.vantagepointfunds.org.

Performance information for this class prior to its inception date is the performance of the Fund adjusted to reflect the estimated fees and expenses of this class.

Fund performance is shown comparing it to a "benchmark" which may be a (i) broad-based securities market index (ii) a group of mutual funds with similar investment objectives, or (iii) a short term government backed debt obligation such as a U.S. Treasury Bill. An index is not available for direct investment, is unmanaged, and does not reflect the costs of portfolio management or trading. A fund's portfolio may differ from the securities held in an index.

Total Expenses  
Gross Expenses0.50%
Net Expenses0.50%

 

a. Certain information including, but not limited to, benchmark performance or other performance and/or fee information, is provided by Morningstar, Inc., © 2021 All rights reserved. This information: (1) is proprietary to Morningstar and/or its content providers; (2) may not be copied or distributed; and (3) is not warranted to be accurate, complete or timely. Neither Morningstar nor its content providers are responsible for any damages or losses arising from any use of information. Morningstar is a registered trademark of Morningstar, Inc.

b. The Bloomberg U.S. Treasury Inflation-Linked Bond Index, consists of all U.S. Treasury inflation protected securities rated investment grade or better, having at least one year to final maturity and at least $250 million par amount outstanding.

c. The Morningstar category average return represents the average return for a category of funds with similar investment objectives and strategies. The average is calculated and funds are assigned to a category by Morningstar.

Morningstar Information

Morningstar RatingTM   As of Dec 31, 2021
Period Stars Category Size
Overall 3 Stars202
3-Year 3 Stars202
5-Year 3 Stars179
10-Year 3 Stars124

The Morningstar Rating™ for funds, or “star rating”, is calculated for managed products (including mutual funds, variable annuity and variable life subaccounts, exchange–traded funds, closed–end funds, and separate accounts) with at least a three–year history. Exchange–traded funds and open–ended mutual funds are considered a single population for comparative purposes. It is calculated based on a Morningstar Risk–Adjusted Return measure that accounts for variation in a managed product′s monthly excess performance, placing more emphasis on downward variations and rewarding consistent performance. The top 10% of products in each product category receive 5 stars, the next 22.5% receive 4 stars, the next 35% receive 3 stars, the next 22.5% receive 2 stars, and the bottom 10% receive 1 star. The Overall Morningstar Rating for a managed product is derived from a weighted average of the performance figures associated with its three–, five–, and 10–year (if applicable) Morningstar Rating metrics. The weights are: 100% three–year rating for 36–59 months of total returns, 60% five–year rating/40% three–year rating for 60–119 months of total returns, and 50% 10–year rating/30% five–year rating/20% three-year rating for 120 or more months of total returns. While the 10-year overall star rating formula seems to give the most weight to the 10-year period, the most recent three-year period actually has the greatest impact because it is included in all three rating periods.

Morningstar Stylebox As of Dec 31, 2021
Fixed Income Stylebox
High Moderate
Allocation of Assets As of Nov 30, 2021
Type of Asset Percent
Equity0%
Fixed Income99%
Cash/Other1%

Due to rounding, percentages shown may not add up to 100%.

 
 

Statistics

Duration and Maturity As of Dec 31, 2021
StatisticValue
Average Effective Duration7.82 years
Average Effective Maturity8.33 years
Portfolio Statistics As of Dec 31, 2021
Statistic3-Year5-Year
Beta1.041.02
Alpha-0.45-0.29
Standard Deviation4.093.66
 
 

Underlying Fund Characteristics

Allocation of Assets As of Nov 30, 2021
Asset ClassPercent
Domestic Stock0.1%
Foreign Stock0.0%
Domestic Bond107.6%
Foreign Bond-8.6%
Preferred0.0%
Convertible0.2%
Cash0.2%
Other0.6%

Due to rounding, percentages shown may not add up to 100%.

 

Equity Sector As of Nov 30, 2021
SectorPercent
Real Estate0.1%
Financial Services0.0%

Exposure reflects equity securities only and will sum to the equity exposure of the fund.

 
Credit Quality As of Dec 31, 2021
Quality LevelPercent
AAA91.9%
AA0.4%
A1.4%
BBB5.0%
BB1.1%
B0.2%
Below B0.1%
Not Rated0.0%

Due to rounding, percentages shown may not add up to 100%. Exposure reflects fixed income securities only.

 
Fixed Income Sector As of Nov 30, 2021
SectorPercent
Government92.8%
Securitized4.8%
Corporate4.1%
Cash & Equivalents0.2%
Municipal0.1%
Derivative-2.6%

Exposure reflects fixed income securities only and will sum to the fixed income exposure of the fund.

 
Top Ten Holdings As of Dec 31, 2021
Underlying Fund Holdings Market Value%
U.S. TREASURY INFLATION PROTECTED SECURITIES FUND$260,041,08323.1%
US 5YR NOTE (CBT) BOND 31/MAR/2022 FVH2 COMDTY-$24,9906.8%
UNITED STATES OF AMERICA NOTES .125% 07/15/2031$69,759,7156.2%
SWAP/08/30/2024/P:SEK/STIBOR/3M /R:SEK -0.16500-$75,8543.8%
UNITED STATES OF AMERICA NOTES .125% 01/15/2031$36,388,4943.2%
UNITED STATES OF AMERICA NOTES .625% 04/15/2023$35,926,3083.2%
UNITED STATES OF AMERICA NOTES .125% 10/15/2026$31,868,9622.8%
US 2YR NOTE (CBT) BOND 31/MAR/2022 TUH2 COMDTY-$27,6632.7%
UNITED STATES OF AMERICA NOTES .375% 01/15/2027$29,925,9282.7%
SWAP/01/15/2023/P:USD 3.35500 /R:USD/USCPI/1M$865,4692.4%
All Holdings As of Dec 31, 2021
Exchange-Traded Funds
Underlying Fund HoldingsMarket Value%
INVESCO DB AGRICULTURE FUND ETP USD$2,370,0000.2%
VANGUARD REAL ESTATE ETF ETP USD 1$2,204,1900.2%
INVESCO DB OIL FUND ETP USD$1,842,8000.2%
INVESCO DB BASE METALS FUND ETP USD$1,335,6000.1%
UNITED STATES NATURAL GAS FUND LP ETP USD$324,7400.0%
 
Fixed Income
Underlying Fund HoldingsMarket Value%
UNITED STATES OF AMERICA NOTES .125% 07/15/2031$69,759,7156.2%
UNITED STATES OF AMERICA NOTES .125% 01/15/2031$36,388,4943.2%
UNITED STATES OF AMERICA NOTES .625% 04/15/2023$35,926,3083.2%
UNITED STATES OF AMERICA NOTES .125% 10/15/2026$31,868,9622.8%
UNITED STATES OF AMERICA NOTES .375% 01/15/2027$29,925,9282.7%
UNITED STATES OF AMERICA BOND .125% 02/15/2051$26,342,5322.3%
UNITED STATES OF AMERICA NOTES .5% 01/15/2028$25,736,8052.3%
UNITED STATES OF AMERICA NOTES .5% 04/15/2024$21,466,9281.9%
UNITED STATES OF AMERICA BOND 2.125% 02/15/2041$19,908,1171.8%
UNITED STATES OF AMERICA NOTES .125% 10/15/2024$19,694,3991.8%
UNITED STATES OF AMERICA NOTES .125% 04/15/2025$19,134,0861.7%
UNITED STATES OF AMERICA BOND .75% 02/15/2045$18,624,4131.7%
UNITED STATES OF AMERICA NOTES .875% 01/15/2029$18,025,2091.6%
UNITED STATES OF AMERICA BOND .625% 02/15/2043$16,274,5781.5%
UNITED STATES OF AMERICA BOND 1% 02/15/2046$15,750,0251.4%
UNITED STATES OF AMERICA NOTES .75% 07/15/2028$15,264,8461.4%
UNITED STATES OF AMERICA NOTES .125% 07/15/2026$15,154,2841.4%
UNITED STATES OF AMERICA BOND 2.5% 01/15/2029$14,889,7871.3%
UNITED STATES OF AMERICA NOTES .25% 07/15/2029$14,386,2261.3%
UNITED STATES OF AMERICA NOTES .125% 04/15/2022$14,033,2861.3%
UNITED STATES OF AMERICA NOTES .625% 01/15/2024$13,424,4841.2%
UNITED STATES OF AMERICA NOTES .25% 01/15/2025$13,389,9951.2%
UNITED STATES OF AMERICA NOTES .125% 01/15/2030$12,556,3761.1%
UNITED STATES OF AMERICA BOND 1.375% 02/15/2044$12,423,4501.1%
UNITED STATES OF AMERICA NOTES .125% 10/15/2025$11,380,3701.0%
UNITED STATES OF AMERICA BOND 3.625% 04/15/2028$11,365,4251.0%
UNITED STATES OF AMERICA NOTES .125% 07/15/2030$10,400,1190.9%
UNITED STATES OF AMERICA BOND .875% 02/15/2047$9,372,1970.8%
UNITED STATES OF AMERICA BOND 1% 02/15/2048$9,080,2920.8%
UNITED STATES OF AMERICA NOTES .125% 01/15/2023$8,367,7720.7%
UNITED STATES OF AMERICA BOND .75% 02/15/2042$8,344,4970.7%
UNITED STATES OF AMERICA NOTES .625% 01/15/2026$8,044,0450.7%
UNITED STATES OF AMERICA BOND 2.375% 01/15/2025$7,688,4830.7%
UNITED STATES OF AMERICA BOND 2.375% 01/15/2027$5,914,5920.5%
UNITED STATES OF AMERICA BOND 3.875% 04/15/2029$5,861,6220.5%
TBA UMBS SINGLE FAMILY 30YR 2.5 1/22$5,660,7200.5%
UNITED STATES OF AMERICA NOTES .375% 07/15/2025$5,497,0110.5%
REPUBLIC OF ITALY BOND .417% 05/15/2030$5,215,2100.5%
UNITED STATES OF AMERICA BOND 1.75% 01/15/2028$4,760,2870.4%
REPUBLIC OF ITALY BOND 1.4% 05/26/2025$4,598,0020.4%
UNITED STATES OF AMERICA NOTES .375% 07/15/2027$4,411,5750.4%
UNITED STATES OF AMERICA NOTES .125% 07/15/2022$4,178,1290.4%
UNITED STATES OF AMERICA NOTES .125% 04/15/2026$3,757,4560.3%
NYKREDIT REALKREDIT AS 1.5% 10/01/2053$3,672,8680.3%
UNITED STATES OF AMERICA BOND 2.125% 02/15/2040$3,176,7720.3%
UNITED STATES OF AMERICA BOND 1% 02/15/2049$2,813,7200.3%
UNITED STATES OF AMERICA BOND .25% 02/15/2050$2,452,6780.2%
NORDEA KREDIT REALKREDITAKTIESELSKAB 1.5% 10/01/2053$1,855,2990.2%
UNITED STATES OF AMERICA BOND 2% 01/15/2026$1,732,3690.2%
JAPAN BOND .1% 03/10/2029$1,665,0240.2%
JAPAN BOND .101% 03/10/2028$1,523,3890.1%
JAPAN BOND .005% 03/10/2031$1,460,0820.1%
UNICREDIT SPA 7.83% 12/04/2023$1,338,5150.1%
UNITED MEXICAN STATES BOND 7.5% 06/03/2027$1,323,2910.1%
REPUBLIC OF SOUTH AFRICA BOND 8% 01/31/2030$1,216,6420.1%
MORGAN STANLEY 7.39% 04/25/2023$1,024,1330.1%
REGATTA XX FUNDING LTD 1.244% 10/15/2034$922,9610.1%
CONN'S RECEIVABLES FUNDING 2021-A LLC 1.05% 05/15/2026$910,4450.1%
MAGNETITE XXVI LTD 1.21% 07/25/2034$901,8730.1%
BFLD TRUST 1.71% 06/15/2038$858,0830.1%
SLM STUDENT LOAN TRUST 2004-10 .724% 10/25/2029$820,9700.1%
FREDDIE MAC STACR REMIC TRUST 2021-DNA6 1.55% 10/25/2041$815,4240.1%
CANADIAN GOVERNMENT REAL RETURN BOND BOND .55% 12/01/2050$814,4820.1%
SUZANO AUSTRIA GMBH 2.5% 09/15/2028$798,1230.1%
FREDDIE MAC STRUCTURED AGENCY CREDIT RISK DEBT NOTES 1.85% 11/25/2041$798,0240.1%
PRUDENTIAL FINANCIAL INC 5.875% 09/15/2042$775,8200.1%
CITIZENS FINANCIAL GROUP INC 4.3% 12/03/2025$773,2900.1%
AVANT LOANS FUNDING TRUST 2021-REV1 1.21% 07/15/2030$710,7360.1%
DIAMOND ISSUER 2.305% 11/20/2051$641,1500.1%
ENBRIDGE ENERGY PARTNERS LP 7.375% 10/15/2045$602,5520.1%
BELLEMEADE RE 2021-3 LTD 1.05% 09/25/2031$598,3550.1%
LAS VEGAS SANDS CORP 3.9% 08/08/2029$564,4660.1%
MORGAN STANLEY 7.39% 06/09/2023$561,1580.1%
OAKTOWN RE VII LTD 1.65% 04/25/2034$558,6340.1%
TRANSCANADA PIPELINES LTD 6.1% 06/01/2040$556,0690.1%
DIGITAL REALTY TRUST LP 3.6% 07/01/2029$551,4750.1%
CITIGROUP COMMERCIAL MORTGAGE TRUST 2015-GC27 3.137% 02/10/2048$541,9430.1%
MADISON PARK FUNDING LI LTD 3.196% 07/19/2034$536,5480.1%
NEUBERGER BERMAN LOAN ADVISERS CLO 43 LTD 1.241% 07/17/2035$534,8970.1%
FISERV INC 3.5% 07/01/2029$518,8710.1%
WEIBO CORP 3.375% 07/08/2030$515,4630.1%
LAD AUTO RECEIVABLES TRUST 2021-1 1.3% 08/17/2026$515,3130.1%
AERCAP IRELAND CAPITAL DAC / AERCAP GLOBAL AVIATION TRUST 3.3% 01/30/2032$513,8840.1%
FREDDIE MAC STACR REMIC TRUST 2021-HQA4 2.4% 12/25/2041$511,2540.1%
TENCENT HOLDINGS LTD 2.39% 06/03/2030$510,0220.1%
PIKES PEAK CLO 8 3.247% 07/20/2034$495,9620.0%
PLAINS ALL AMERICAN PIPELINE LP / PAA FINANCE CORP 3.55% 12/15/2029$495,6940.0%
KYNDRYL HOLDINGS INC 2.05% 10/15/2026$482,2530.0%
BELLEMEADE RE LTD 1.55% 06/25/2031$482,2510.0%
CARNIVAL CORP 4% 08/01/2028$479,3660.0%
OCTANE RECEIVABLES TRUST 2021-2 2.02% 09/20/2028$479,0940.0%
BAIDU INC 1.625% 02/23/2027$473,4890.0%
DISH DBS CORP 5.25% 12/01/2026$469,1410.0%
ADVANCE AUTO PARTS INC 3.9% 04/15/2030$468,5750.0%
OCHSNER LSU HEALTH SYSTEM OF NORTH LOUISIANA 2.51% 05/15/2031$460,2870.0%
AB ISSUER LLC 3.734% 07/30/2051$459,8510.0%
ALIBABA GROUP HOLDING LTD 2.125% 02/09/2031$455,1990.0%
UNIVERSITY OF CALIFORNIA 3.071% 05/15/2051$449,1100.0%
CONTINENTAL RESOURCES INC/OK 2.875% 04/01/2032$440,8610.0%
UNITED STATES OF AMERICA BOND 3.375% 04/15/2032$440,7130.0%
ROCKFORD TOWER CLO 2021-2 LTD 1.273% 07/20/2034$437,6270.0%
AGL CLO 12 LTD 2.98% 07/20/2034$437,5390.0%
BALLYROCK CLO 16 LTD 3.035% 07/20/2034$436,3860.0%
BBCMS 2020-BID MORTGAGE TRUST 2.25% 10/15/2037$436,0220.0%
AIRCASTLE LTD 4.25% 06/15/2026$435,3290.0%
NISSAN MOTOR CO LTD 4.345% 09/17/2027$421,3420.0%
CREDIT SUISSE GROUP AG 6.375% CALLABLE$421,3170.0%
MOODY'S CORP 4.25% 02/01/2029$420,1230.0%
FREDDIE MAC STRUCTURED AGENCY CREDIT RISK DEBT NOTES 2.753% 12/25/2029$416,6540.0%
UPSTART SECURITIZATION TRUST 2021-3 1.66% 07/20/2031$415,7950.0%
CPS AUTO RECEIVABLES TRUST 2021-C 1.69% 06/15/2027$415,0960.0%
SIRIUS XM RADIO INC 4% 07/15/2028$410,9870.0%
COMM 2015-CCRE22 MORTGAGE TRUST 3.309% 03/10/2048$410,2030.0%
BX COMMERCIAL MORTGAGE TRUST 2019-IMC 2.26% 04/15/2034$407,2280.0%
MORGAN STANLEY 7.39% 05/17/2023$403,5490.0%
GLP CAPITAL LP / GLP FINANCING II INC 3.25% 01/15/2032$397,7710.0%
ENA MASTER TRUST 4% 05/19/2048$396,4330.0%
ALPEK SAB DE CV 3.25% 02/25/2031$394,5790.0%
OCP CLO 2020-18 LTD 1.222% 07/20/2032$391,4210.0%
CONTINENTAL RESOURCES INC/OK 5.75% 01/15/2031$390,3480.0%
WESTINGHOUSE AIR BRAKE TECHNOLOGIES CORP 4.4% 03/15/2024$389,4800.0%
HARLEY-DAVIDSON FINANCIAL SERVICES INC 3.35% 06/08/2025$387,9390.0%
BNP PARIBAS SA 2.871% 04/19/2032$386,7040.0%
CORP FINANCIERA DE DESARROLLO SA BOND 2.4% 09/28/2027$385,1820.0%
CREDIT SUISSE GROUP AG 3.091% 05/14/2032$382,9960.0%
BAT CAPITAL CORP 2.259% 03/25/2028$382,3150.0%
REALKREDIT DANMARK A/S 1% 10/01/2050$380,2350.0%
OLEODUCTO CENTRAL SA 4% 07/14/2027$378,2900.0%
TRIANGLE RE 2021-3 LTD 1.95% 02/25/2034$374,5670.0%
BAMLL COMMERCIAL MORTGAGE SECURITIES TRUST 2017-SCH 1.11% 11/15/2033$374,3530.0%
AIR LEASE CORP 4.625% 10/01/2028$374,3460.0%
COMM 2015-CCRE25 MORTGAGE TRUST 3.759% 08/10/2048$374,3200.0%
FLATIRON CLO 21 LTD 3.051% 07/19/2034$373,6460.0%
MVW 2021-2 LLC 1.83% 05/20/2039$367,2360.0%
BALBOA BAY LOAN FUNDING 2021-1 LTD 1.334% 07/20/2034$367,0740.0%
WELLS FARGO COMMERCIAL MORTGAGE TRUST 2015-SG1 3.789% 09/15/2048$363,9280.0%
FEDERAL NATIONAL MORTGAGE ASSOCIATION 2.05% 11/25/2041$359,3390.0%
ELMWOOD CLO IX LTD 3.085% 07/20/2034$359,1750.0%
CGRBS COMMERCIAL MORTGAGE TRUST 2013-VN05 3.369% 03/13/2035$356,8280.0%
CEMEX SAB DE CV 3.875% 07/11/2031$353,2620.0%
ARDAGH METAL PACKAGING FINANCE USA LLC / ARDAGH METAL PACKAGING FINANCE PLC 3.25% 09/01/2028$346,5740.0%
ORACLE CORP 3.95% 03/25/2051$335,8820.0%
CARVANA AUTO RECEIVABLES TRUST 2021-P4 2.61% 09/11/2028$334,7300.0%
SOCIETE GENERALE SA 8% CALLABLE$323,8300.0%
TOBACCO SETTLEMENT FINANCE AUTHORITY 3% 06/01/2035$322,9560.0%
DISH DBS CORP 5.75% 12/01/2028$322,7880.0%
WFRBS COMMERCIAL MORTGAGE TRUST 2014-C19 4.101% 03/15/2047$315,5860.0%
DUKE ENERGY CAROLINAS NC STORM FUNDING LLC 2.617% 07/01/2041$311,7330.0%
FEDERATION OF MALAYSIA BOND 3.882% 03/10/2022$309,2880.0%
NXP BV / NXP FUNDING LLC 5.55% 12/01/2028$306,9420.0%
MDC HOLDINGS INC 6% 01/15/2043$306,4820.0%
ING BANK NV 2.625% 12/05/2022$305,5890.0%
CENCOSUD SA 5.15% 02/12/2025$304,8520.0%
CREDIT SUISSE GROUP AG 4.194% 04/01/2031$300,2940.0%
NATURA COSMETICOS SA 4.125% 05/03/2028$299,7750.0%
NXP BV / NXP FUNDING LLC / NXP USA INC 3.4% 05/01/2030$298,7300.0%
GOLDENTREE LOAN MANAGEMENT US CLO 7 LTD 1.202% 04/20/2034$298,0600.0%
FLAGSHIP CREDIT AUTO TRUST 2019-3 2.33% 02/15/2024$288,1270.0%
BANK OF AMERICA CORP 3.419% 12/20/2028$287,3850.0%
BERKSHIRE HATHAWAY ENERGY CO 6.125% 04/01/2036$286,2640.0%
CARVANA AUTO RECEIVABLES TRUST 2021-N3 1.02% 06/12/2028$285,3490.0%
ROSS STORES INC 4.7% 04/15/2027$285,0430.0%
ENGIE ENERGIA CHILE SA 3.4% 01/28/2030$284,9160.0%
COMM 2014-UBS4 MORTGAGE TRUST 3.694% 08/10/2047$283,6170.0%
NELNET STUDENT LOAN TRUST 2021-C 2.53% 04/20/2062$283,1050.0%
FORD CREDIT AUTO OWNER TRUST 2021-REV1 2.31% 10/17/2033$282,7690.0%
GLOBAL PAYMENTS INC 3.2% 08/15/2029$282,5460.0%
AERCAP IRELAND CAPITAL DAC / AERCAP GLOBAL AVIATION TRUST 6.5% 07/15/2025$282,4540.0%
AVIS BUDGET RENTAL CAR FUNDING AESOP LLC 3.7% 09/20/2024$280,2370.0%
INDUSTRIAS PENOLES SAB DE CV 4.75% 08/06/2050$279,3360.0%
ARAB REPUBLIC OF EGYPT BOND 5.875% 02/16/2031$279,1210.0%
FHF TRUST 2021-2 .83% 12/15/2026$278,3190.0%
INRETAIL CONSUMER 3.25% 03/22/2028$275,6220.0%
NYKREDIT REALKREDIT AS 1% 10/01/2053$274,5150.0%
BALLYROCK CLO 15 LTD 3.224% 04/15/2034$272,8320.0%
SK HYNIX INC 2.375% 01/19/2031$272,6920.0%
MORGAN STANLEY 3.875% 04/29/2024$270,4760.0%
CSAIL 2015-C4 COMMERCIAL MORTGAGE TRUST 3.808% 11/15/2048$267,7310.0%
DIAMOND INFRASTRUCTURE FUNDING LLC 2.355% 04/15/2049$265,6100.0%
CARVANA AUTO RECEIVABLES TRUST 2021-N4 2.3% 09/11/2028$264,1370.0%
AVIS BUDGET RENTAL CAR FUNDING AESOP LLC 4% 03/20/2025$263,7480.0%
AIRCASTLE LTD 2.85% 01/26/2028$262,6990.0%
ATALAYA EQUIPMENT LEASING TRUST 21-1 .326% 11/15/2022$261,6020.0%
UNITED STATES OF AMERICA BOND 1.625% 11/15/2050$260,9580.0%
NELNET STUDENT LOAN TRUST 2021-D 2.9% 04/20/2062$258,7360.0%
INDONESIA ASAHAN ALUMINIUM PERSERO PT BOND 4.75% 05/15/2025$258,6950.0%
FOX CORP 4.709% 01/25/2029$258,1890.0%
COLLATERALIZED MTGE OBLIGATION OR GLOBAL CMO 3.647% 03/15/2035$256,5810.0%
BROADCOM INC 4.15% 11/15/2030$255,2880.0%
PARKER-HANNIFIN CORP 3.25% 06/14/2029$254,6020.0%
ENI SPA 4.25% 05/09/2029$253,3140.0%
EAGLE RE 2021-2 LTD 2.1% 04/25/2034$251,3150.0%
SYNCHRONY FINANCIAL 2.875% 10/28/2031$250,7580.0%
DRYDEN 78 CLO LTD 2.072% 04/17/2033$250,2880.0%
TRAINGLE RE 2020-1 LTD 4.002% 10/25/2030$249,9140.0%
NEW MOUNTAIN CLO 3 LTD 1.311% 10/20/2034$249,8950.0%
PPM CLO 5 LTD 3.169% 10/18/2034$248,5090.0%
KIMBERLY-CLARK DE MEXICO SAB DE CV 2.431% 07/01/2031$248,4010.0%
CENTENE CORP 2.625% 08/01/2031$247,3800.0%
AFFIRM ASSET SECURITIZATION TRUST 2021-Z2 1.17% 11/16/2026$247,1050.0%
UNICREDIT SPA 3.127% 06/03/2032$246,3300.0%
NEUBERGER BERMAN LOAN ADVISERS CLO 42 LTD 2.922% 07/16/2035$246,2110.0%
ZF FINANCE GMBH 3.75% 09/21/2028$246,0320.0%
WESTERN DIGITAL CORP 3.1% 02/01/2032$245,2340.0%
GCI FUNDING I LLC 2.38% 06/18/2046$244,9120.0%
WYNN MACAU LTD 5.625% 08/26/2028$243,9330.0%
ELEVATION CLO 2020-11 LTD 2.324% 04/15/2033$243,4920.0%
CONNECTICUT AVENUE SECURITIES TRUST 2021-R03 1.7% 12/25/2041$242,8070.0%
JPMBB COMMERCIAL MORTGAGE SECURITIES TRUST 2014-C21 3.775% 08/15/2047$241,2110.0%
JPMBB COMMERCIAL MORTGAGE SECURITIES TRUST 2015-C31 3.801% 08/15/2048$239,8650.0%
NATIONWIDE MUTUAL INSURANCE CO 9.375% 08/15/2039$239,0010.0%
FREDDIE MAC STACR REMIC TRUST 2021-DNA5 1.7% 01/25/2034$237,9390.0%
COMISION FEDERAL DE ELECTRICIDAD BOND 3.348% 02/09/2031$237,7090.0%
REALKREDIT DANMARK A/S 1.5% 10/01/2053$237,4550.0%
1011778 BC ULC / NEW RED FINANCE INC 3.5% 02/15/2029$236,8810.0%
GS MORTGAGE SECURITIES TRUST 2014-GC22 3.862% 06/10/2047$235,8470.0%
MIZUHO FINANCIAL GROUP INC 2.226% 05/25/2026$233,5910.0%
GS MORTGAGE SECURITIES TRUST 2011-GC5 5.158% 08/10/2044$232,3540.0%
PROSUS NV 3.68% 01/21/2030$230,7700.0%
COMM 2015-DC1 MORTGAGE TRUST 3.35% 02/10/2048$230,7150.0%
VORNADO REALTY LP 3.4% 06/01/2031$226,2470.0%
DOMINICAN REPUBLIC BOND 4.875% 09/23/2032$225,1440.0%
DANSKE BANK A/S 3.875% 09/12/2023$223,7190.0%
BHMS 2018-ATLS 1.36% 07/15/2035$223,0570.0%
ALTRIA GROUP INC 3.4% 05/06/2030$222,6780.0%
LUMEN TECHNOLOGIES INC 4.5% 01/15/2029$221,9160.0%
UBS COMMERCIAL MORTGAGE TRUST 2018-C8 3.983% 02/15/2051$221,6660.0%
DOMINO'S PIZZA MASTER ISSUER LLC 2.662% 04/25/2051$219,6430.0%
OMAN GOVERNMENT INTERNATIONAL BOND BOND 6.25% 01/25/2031$219,0330.0%
SLM CORP 4.2% 10/29/2025$217,5790.0%
EXPEDIA GROUP INC 4.625% 08/01/2027$216,1650.0%
INTESA SANPAOLO SPA 5.017% 06/26/2024$214,4350.0%
CSC HOLDINGS LLC 6.5% 02/01/2029$214,4060.0%
SUMMER BC HOLDCO B SARL 5.75% 10/31/2026$214,0090.0%
BELLEMEADE RE 2019-3 LTD 1.702% 07/25/2029$213,4300.0%
TK ELEVATOR MIDCO GMBH 4.375% 07/15/2027$212,4190.0%
ALPEK SAB DE CV 5.375% 08/08/2023$211,2350.0%
BELLEMEADE RE LTD 3% 03/25/2031$209,8480.0%
MORGAN STANLEY CAPITAL I TRUST 2016-UBS12 3.596% 12/15/2049$209,5160.0%
ENERGY TRANSFER LP 6.25% 04/15/2049$209,4020.0%
LORCA TELECOM BONDCO SA 4% 09/18/2027$208,7810.0%
OMAN GOVERNMENT INTERNATIONAL BOND BOND 4.875% 02/01/2025$208,6290.0%
STATE OF QATAR BOND 3.875% 04/23/2023$208,0800.0%
ADIENT GLOBAL HOLDINGS LTD 3.5% 08/15/2024$208,0000.0%
PMT CREDIT RISK TRANSFER TRUST 2019-2R 2.852% 05/27/2023$207,5340.0%
BREX COMMERCIAL CHARGE CARD MASTER TRUST 2.09% 07/15/2024$204,8060.0%
CSN RESOURCES SA 4.625% 06/10/2031$203,9280.0%
FORD MOTOR CREDIT CO LLC 3.55% 10/07/2022$203,2600.0%
NATWEST GROUP PLC 1.77% 06/25/2024$203,2360.0%
WORLD FINANCIAL NETWORK CREDIT CARD MASTER TRUST 3.04% 04/15/2026$202,3000.0%
MICRON TECHNOLOGY INC 4.185% 02/15/2027$201,7400.0%
NOBEL BIDCO BV 3.125% 06/15/2028$200,9590.0%
DEUTSCHE BANK AG/NEW YORK NY 3.961% 11/26/2025$200,7720.0%
MITSUBISHI HC CAPITAL INC 3.406% 02/28/2022$200,3640.0%
MSCG TRUST 2018-SELF 1.01% 10/15/2037$200,2030.0%
PRUDENTIAL FINANCIAL INC 5.2% 03/15/2044$200,0700.0%
ALTICE FRANCE SA/FRANCE 3.375% 01/15/2028$199,8520.0%
EAGLE RE 2020-1 LTD 1.002% 01/25/2030$198,9740.0%
VZ VENDOR FINANCING II BV 2.875% 01/15/2029$198,7560.0%
GOLDMAN SACHS GROUP INC/THE 7.5% 08/30/2023$198,0530.0%
GS MORTGAGE SECURITIES CORP TRUST 2019-BOCA 1.31% 06/15/2038$197,4450.0%
ALTICE FINANCING SA 3% 01/15/2028$194,8420.0%
GS MORTGAGE SECURITIES TRUST 2013-G1 3.557% 04/10/2031$194,7700.0%
REPUBLIC OF COLOMBIA BOND 3.125% 04/15/2031$194,0440.0%
STANDARD CHARTERED PLC 1.639% CALLABLE$193,7500.0%
WELLS FARGO & CO 3.584% 05/22/2028$193,6470.0%
INTERPUBLIC GROUP OF COS INC/THE 4.65% 10/01/2028$192,8130.0%
AXALTA COATING SYSTEMS LLC 3.375% 02/15/2029$189,9190.0%
ALBERTSONS COS INC / SAFEWAY INC / NEW ALBERTSONS LP / ALBERTSONS LLC 3.5% 03/15/2029$189,6970.0%
CLNY TRUST 2019-IKPR 2.135% 11/15/2038$189,0530.0%
GSF MORTGAGE CORP 2.435% 08/15/2026$188,3870.0%
GLENCORE FUNDING LLC 4% 03/27/2027$187,8540.0%
RADNOR RE 2020-1 LTD 1.052% 01/25/2030$183,8490.0%
AVIATION CAPITAL GROUP LLC 1.95% 01/30/2026$182,5810.0%
FEDERAL NATIONAL MORTGAGE ASSOCIATION 4% 12/25/2050$181,5300.0%
BX TRUST 2018-EXCL 1.197% 09/15/2037$180,6380.0%
COLLEGE AVE STUDENT LOANS 2021-C LLC 2.72% 07/26/2055$177,8020.0%
WELLS FARGO COMMERCIAL MORTGAGE TRUST 2016-NXS6 4.392% 11/15/2049$173,0390.0%
LIMA METRO LINE 2 FINANCE LTD 5.875% 07/05/2034$172,7320.0%
CITIGROUP INC 5.95% CALLABLE$172,4280.0%
UBS COMMERCIAL MORTGAGE TRUST 2018-C10 4.313% 05/15/2051$168,3920.0%
CITY OF NEW YORK NY 1.923% 08/01/2031$166,6680.0%
UBS COMMERCIAL MORTGAGE TRUST 3.203% 10/15/2052$166,5060.0%
FEDERAL NATIONAL MORTGAGE ASSOCIATION 3.653% 07/25/2029$164,8510.0%
CSAIL 2015-C2 COMMERCIAL MORTGAGE TRUST 3.504% 06/15/2057$163,4600.0%
CFCRE COMMERCIAL MORTGAGE TRUST 2016-C4 3.283% 05/10/2058$163,0220.0%
INGEVITY CORP 3.875% 11/01/2028$162,8690.0%
GFL ENVIRONMENTAL INC 3.5% 09/01/2028$162,7930.0%
EMBRAER NETHERLANDS FINANCE BV 5.4% 02/01/2027$161,5670.0%
GS MORTGAGE SECURITIES CORP TRUST 2019-SMP 1.26% 08/15/2032$159,9670.0%
LEVI STRAUSS & CO 3.5% 03/01/2031$159,2860.0%
FREDDIE MAC STACR REMIC TRUST 2020-DNA5 2.85% 10/25/2050$157,1790.0%
WELLS FARGO COMMERCIAL MORTGAGE TRUST 2016-LC25 4.341% 12/15/2059$156,2640.0%
AMERICAN WATER CAPITAL CORP 3.45% 06/01/2029$152,1360.0%
AFFIRM ASSET SECURITIZATION TRUST 2021-Z1 1.07% 08/15/2025$151,9870.0%
RADNOR RE 2019-2 LTD 1.852% 06/25/2029$151,7040.0%
BELLEMEADE RE 2019-1 LTD 1.852% 03/25/2029$150,8420.0%
PORT AUTHORITY OF NEW YORK & NEW JERSEY 1.086% 07/01/2023$150,8220.0%
DELTA AIR LINES INC / SKYMILES IP LTD 4.75% 10/20/2028$150,8040.0%
AIRCASTLE LTD 5.25% 08/11/2025$149,6730.0%
AVIATION CAPITAL GROUP LLC 5.5% 12/15/2024$145,6140.0%
NEIGHBORLY ISSUER LLC 3.584% 04/30/2051$144,4980.0%
BROADCOM INC 4.11% 09/15/2028$143,7410.0%
ATALAYA EQUIPMENT LEASING TRUST 21-1 2.08% 02/15/2027$141,0310.0%
FEDERAL HOME LOAN MORTGAGE CORP 4.5% 11/25/2050$140,8700.0%
FEDERAL HOME LOAN MORTGAGE CORP 5.998% 06/25/2050$140,6170.0%
BX COMMERCIAL MORTGAGE TRUST 2019-IMC 1.11% 04/15/2034$138,9420.0%
CITIGROUP COMMERCIAL MORTGAGE TRUST 2016-GC36 3.616% 02/10/2049$138,7250.0%
INEOS QUATTRO FINANCE 2 PLC 2.5% 01/15/2026$138,3720.0%
MISSION LANE CREDIT CARD MASTER TRUST 2.24% 09/15/2026$138,3580.0%
COMM 2015-CCRE24 MORTGAGE TRUST 3.696% 08/10/2048$138,3340.0%
CITIGROUP INC 3.98% 03/20/2030$138,1120.0%
CAJUN GLOBAL LLC 3.931% 11/20/2051$137,8250.0%
CITIGROUP INC 4.15% CALLABLE$135,4940.0%
CLARIOS GLOBAL LP / CLARIOS US FINANCE CO 4.375% 05/15/2026$134,6570.0%
JPMBB COMMERCIAL MORTGAGE SECURITIES TRUST 2015-C30 3.822% 07/15/2048$134,0020.0%
JYSKE REALKREDIT A/S 1.5% 10/01/2053$133,4260.0%
HARDEE'S FUNDING LLC 3.981% 12/20/2050$133,2150.0%
SYNCHRONY FINANCIAL 4.5% 07/23/2025$131,9230.0%
T-MOBILE USA INC 2.875% 02/15/2031$131,5810.0%
NORDEA KREDIT REALKREDITAKTIESELSKAB 1% 10/01/2050$131,4380.0%
BROADCOM INC 3.187% 11/15/2036$129,9700.0%
CIT GROUP INC 5.25% 03/07/2025$129,0260.0%
HARDEE'S FUNDING LLC 5.71% 06/20/2048$128,5670.0%
CITIGROUP COMMERCIAL MORTGAGE TRUST 2017-P8 3.789% 09/15/2050$125,8320.0%
LSTAR COMMERCIAL MORTGAGE TRUST 2016-4 2.579% 03/10/2049$125,2010.0%
DELTA AIR LINES INC / SKYMILES IP LTD 4.5% 10/20/2025$124,9070.0%
CSAIL 2015-C3 COMMERCIAL MORTGAGE TRUST 3.718% 08/15/2048$123,7320.0%
JPMORGAN CHASE & CO 3.599% CALLABLE$122,6110.0%
HOME RE 2020-1 LTD 3.352% 10/25/2030$121,7980.0%
NEWELL BRANDS INC 4.7% 04/01/2026$121,1880.0%
NATIXIS COMMERCIAL MORTGAGE SECURITIES TRUST 2019-MILE 1.61% 07/15/2036$120,1260.0%
AVIATION CAPITAL GROUP LLC 1.95% 09/20/2026$119,5950.0%
CONNECTICUT AVENUE SECURITIES TRUST 2020-R01 2.153% 01/25/2040$118,3620.0%
BCP TRUST 2021-330N .909% 06/15/2038$118,0170.0%
PLAYTECH PLC 4.25% 03/07/2026$116,6350.0%
ORGANON & CO / ORGANON FOREIGN DEBT CO-ISSUER BV 2.875% 04/30/2028$115,0150.0%
DELL INTERNATIONAL LLC / EMC CORP 6.02% 06/15/2026$114,5430.0%
DEUTSCHE LUFTHANSA AG 3% 05/29/2026$114,0630.0%
IQVIA INC 2.25% 03/15/2029$113,6760.0%
ASHFORD HOSPITALITY TRUST 2018-KEYS 1.11% 06/15/2035$113,5050.0%
TEVA PHARMACEUTICAL FINANCE NETHERLANDS II BV 3.75% 05/09/2027$113,4940.0%
CABLE ONE INC 4% 11/15/2030$112,8740.0%
AFFIRM ASSET SECURITIZATION TRUST 2020-A 2.1% 02/18/2025$110,2840.0%
DBWF 2018-GLKS MORTGAGE TRUST 1.134% 12/19/2030$109,2750.0%
CCO HOLDINGS LLC / CCO HOLDINGS CAPITAL CORP 4.5% 06/01/2033$108,3120.0%
CITIGROUP COMMERCIAL MORTGAGE TRUST 2015-GC35 3.818% 11/10/2048$107,2770.0%
MARATHON PETROLEUM CORP 6.5% 03/01/2041$106,0690.0%
INVITATION HOMES 2018-SFR2 TRUST 1.389% 06/17/2037$105,9270.0%
MATTEL INC 3.75% 04/01/2029$105,8440.0%
FEDERAL NATIONAL MORTGAGE ASSOCIATION 4.553% 01/25/2029$105,1070.0%
IHS MARKIT LTD 4.25% 05/01/2029$104,9550.0%
TRAINGLE RE 2021-1 LTD 3.102% 08/25/2033$103,4590.0%
JPMORGAN CHASE & CO 3.932% CALLABLE$102,6680.0%
CIGNA CORP 4.375% 10/15/2028$102,3540.0%
RADNOR RE 2019-1 LTD 2.053% 02/25/2029$101,5720.0%
STACR TRUST 2018-DNA3 2.203% 09/25/2048$100,6100.0%
BX COMMERCIAL MORTGAGE TRUST 2019-IMC 2.01% 04/15/2034$98,9220.0%
WELLS FARGO & CO 3.9% CALLABLE$98,7000.0%
FREDDIE MAC STACR TRUST 2019-FTR2 2.253% 11/25/2048$97,8950.0%
VOYA CLO 2019-1 LTD 2.974% 04/15/2031$97,3160.0%
FEDERAL HOME LOAN MORTGAGE CORP 4% 09/25/2050$96,9410.0%
INFOR INC 1.75% 07/15/2025$96,4290.0%
ROYAL CARIBBEAN CRUISES LTD 11.5% 06/01/2025$95,3080.0%
SANTANDER HOLDINGS USA INC 4.4% 07/13/2027$93,2570.0%
CITIGROUP INC 4% CALLABLE$91,9100.0%
BAMLL COMMERCIAL MORTGAGE SECURITIES TRUST 2013-WBRK 3.534% 03/10/2037$91,4180.0%
GSF MORTGAGE CORP 1.433% 08/15/2026$91,2030.0%
FEDERAL NATIONAL MORTGAGE ASSOCIATION 5.948% 04/25/2044$91,0580.0%
NYKREDIT REALKREDIT AS 2% 10/01/2053$90,5510.0%
BANK OF AMERICA CORP 6.44% 10/09/2024$88,5840.0%
TRANSDIGM INC 6.25% 03/15/2026$87,4140.0%
FEDERAL HOME LOAN MORTGAGE CORP 3.5% 12/25/2050$85,6350.0%
FREDDIE MAC STACR 2019-HQA3 1.953% 09/25/2049$85,3970.0%
ASSET BACKED SECURITIES CORP HOME EQUITY LOAN TRUST SERIES OOMC 2006-HE3 .432% 03/25/2036$83,4820.0%
BELLEMEADE RE 2018-3 LTD 1.953% 10/25/2028$81,9000.0%
CONNECTICUT AVENUE SECURITIES TRUST 2020-R02 2.103% 01/25/2040$81,3170.0%
CONSUMER LOAN UNDERLYING BOND CLUB CREDIT TRUST 2020-P1 2.92% 03/15/2028$77,8500.0%
BAT CAPITAL CORP 2.726% 03/25/2031$74,8150.0%
FEDERAL NATIONAL MORTGAGE ASSOCIATION 6.098% 12/25/2047$73,9110.0%
PRUDENTIAL FINANCIAL INC 5.375% 05/15/2045$73,6760.0%
DISCOVERY COMMUNICATIONS LLC 5.2% 09/20/2047$73,3050.0%
FREDDIE MAC STACR REMIC TRUST 2020-DNA1 1.803% 01/25/2050$72,9580.0%
PETROLEOS MEXICANOS BOND 6.75% 09/21/2047$71,1580.0%
TRANSOCEAN POSEIDON LTD 6.875% 02/01/2027$69,6450.0%
FEDERAL HOME LOAN MORTGAGE CORP 5.948% 02/25/2050$67,6290.0%
JPMBB COMMERCIAL MORTGAGE SECURITIES TRUST 2014-C21 4.341% 08/15/2047$67,2440.0%
CITIGROUP INC 7.222% 09/29/2024$62,7710.0%
FEDERAL NATIONAL MORTGAGE ASSOCIATION 6.098% 10/25/2047$61,7130.0%
JPMORGAN CHASE & CO 3.534% CALLABLE$60,2240.0%
AVIATION CAPITAL GROUP LLC 4.875% 10/01/2025$58,4400.0%
FEDERAL HOME LOAN MORTGAGE CORP 6.04% 06/15/2047$58,2890.0%
AIRCASTLE LTD 4.125% 05/01/2024$56,4140.0%
UPSTART SECURITIZATION TRUST 2020-3 1.702% 11/20/2030$54,7950.0%
CONNECTICUT AVENUE SECURITIES TRUST 2019-R07 2.203% 10/25/2039$54,3380.0%
ALTRIA GROUP INC 4.8% 02/14/2029$54,1870.0%
FREDDIE MAC MULTIFAMILY STRUCTURED CREDIT RISK 2.05% 01/25/2051$53,7510.0%
JPMORGAN CHASE & CO 7.472% 12/20/2023$52,2120.0%
SUZANO AUSTRIA GMBH 3.75% 01/15/2031$50,9000.0%
INVITATION HOMES 2018-SFR3 TRUST 1.409% 07/17/2037$50,6430.0%
FEDERAL NATIONAL MORTGAGE ASSOCIATION 6.048% 08/25/2047$50,0700.0%
PMT CREDIT RISK TRANSFER TRUST 2020-1R 2.452% 02/27/2023$49,7010.0%
GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 6.096% 09/20/2047$49,1280.0%
GENERAL MOTORS CO 6.125% 10/01/2025$48,2880.0%
AVIATION CAPITAL GROUP LLC 3.5% 11/01/2027$47,2310.0%
ONEOK INC 6.35% 01/15/2031$46,5060.0%
FEDERAL NATIONAL MORTGAGE ASSOCIATION 4.353% 04/25/2029$45,3300.0%
AVIATION CAPITAL GROUP LLC 4.375% 01/30/2024$45,1260.0%
FEDERAL NATIONAL MORTGAGE ASSOCIATION 4.453% 05/25/2029$45,0690.0%
FEDERAL NATIONAL MORTGAGE ASSOCIATION 5.998% 12/25/2044$44,2140.0%
FREDDIE MAC STACR TRUST 2019-DNA4 2.053% 10/25/2049$43,7410.0%
FEDERAL NATIONAL MORTGAGE ASSOCIATION 4.103% 05/25/2025$43,4190.0%
VOLCAN CIA MINERA SAA 4.375% 02/11/2026$43,4180.0%
FEDERAL NATIONAL MORTGAGE ASSOCIATION 5.898% 10/25/2046$42,9210.0%
WESTINGHOUSE AIR BRAKE TECHNOLOGIES CORP 3.2% 06/15/2025$42,7060.0%
GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 6.096% 08/20/2047$41,2520.0%
AT&T INC 4.3% 12/15/2042$39,6030.0%
ONEOK PARTNERS LP 6.125% 02/01/2041$37,9300.0%
BROADCOM INC 3.137% 11/15/2035$37,2600.0%
DISCOVERY COMMUNICATIONS LLC 5.3% 05/15/2049$36,3980.0%
RADNOR RE 2020-2 LTD 4.702% 10/25/2030$32,9830.0%
CCO HOLDINGS LLC / CCO HOLDINGS CAPITAL CORP 4.5% 08/15/2030$32,8080.0%
MORGAN STANLEY 3.734% CALLABLE$31,0160.0%
FEDERAL NATIONAL MORTGAGE ASSOCIATION 5.803% 04/25/2028$30,6530.0%
FEDERAL NATIONAL MORTGAGE ASSOCIATION 6.438% 12/25/2041$30,1360.0%
AIR LEASE CORP 2.875% 01/15/2026$26,8430.0%
CONNECTICUT AVENUE SECURITIES TRUST 2019-R06 2.202% 09/25/2039$26,5250.0%
DISCOVERY COMMUNICATIONS LLC 4.65% 05/15/2050$25,8750.0%
IHS MARKIT LTD 4.75% 08/01/2028$23,2530.0%
AT&T INC 3.5% 09/15/2053$23,2480.0%
MARRIOTT INTERNATIONAL INC/MD 5.75% 05/01/2025$22,5300.0%
PLAINS ALL AMERICAN PIPELINE LP / PAA FINANCE CORP 4.5% 12/15/2026$20,8720.0%
FREDDIE MAC STACR TRUST 2019-DNA3 2.153% 07/25/2049$17,8650.0%
FEDERAL NATIONAL MORTGAGE ASSOCIATION 5.103% 07/25/2025$17,8160.0%
FIRST INVESTORS AUTO OWNER TRUST 2020-1 1.49% 01/15/2025$17,2200.0%
REALKREDIT DANMARK A/S 2% 10/01/2053$15,3980.0%
CENOVUS ENERGY INC 4.25% 04/15/2027$15,2710.0%
AIR LEASE CORP 3.625% 04/01/2027$14,6950.0%
GUARDIAN LIFE INSURANCE CO OF AMERICA/THE 4.85% 01/24/2077$14,4110.0%
TERRAFORM GLOBAL OPERATING LLC 6.125% 03/01/2026$14,3170.0%
GSF MORTGAGE CORP 2.638% 08/15/2026$12,0730.0%
CONNECTICUT AVENUE SECURITIES TRUST 2019-R04 2.202% 06/25/2039$9,5120.0%
BELLEMEADE RE 2020-4 LTD 2.702% 06/25/2030$7,3590.0%
FEDERAL NATIONAL MORTGAGE ASSOCIATION 5.103% 07/25/2025$6,3480.0%
CONNECTICUT AVENUE SECURITIES TRUST 2019-R05 2.103% 07/25/2039$6,0950.0%
EXPEDIA GROUP INC 6.25% 05/01/2025$5,6450.0%
FEDERAL NATIONAL MORTGAGE ASSOCIATION 4.103% 05/25/2025$3,6310.0%
AVIATION CAPITAL GROUP LLC 4.125% 08/01/2025$3,1670.0%
 
Collective Trusts/Mutual Funds
Underlying Fund HoldingsMarket Value%
U.S. TREASURY INFLATION PROTECTED SECURITIES FUND$260,041,08323.1%
 
Short-Term/Cash
Underlying Fund HoldingsMarket Value%
UNITED STATES OF AMERICA BILL ZERO CPN 19/MAY/2022$13,130,5981.2%
BLACKROCK TEMP FUND - INST SHARES FUND 24$11,866,8141.1%
JPMORGAN PRIME MONEY MARKET FUND FUNDS VARIABLE$11,866,8141.1%
UNITED STATES OF AMERICA BILL ZERO CPN 21/APR/2022$8,627,7200.8%
UNITED STATES OF AMERICA BILL ZERO CPN 03/MAR/2022$4,772,4680.4%
UNITED STATES OF AMERICA BILL ZERO CPN 17/FEB/2022$4,504,8590.4%
UNITED STATES OF AMERICA BILL ZERO CPN 03/NOV/2022$4,500,1230.4%
UNITED STATES OF AMERICA BILL ZERO CPN 06/JAN/2022$3,335,0000.3%
UNITED STATES OF AMERICA BILL ZERO CPN 13/JAN/2022$3,334,9910.3%
UNITED STATES OF AMERICA BILL ZERO CPN 20/JAN/2022$3,334,9880.3%
UNITED STATES OF AMERICA BILL ZERO CPN 27/JAN/2022$3,334,9500.3%
UNITED STATES OF AMERICA BILL ZERO CPN 10/MAR/2022$1,184,9190.1%
 
Other
Underlying Fund HoldingsMarket Value%
SWAP/02/26/2025/P:USD 1.58900 /R:USD/USCPI/1M$1,150,3141.1%
SWAP/07/15/2026/P:USD 2.79250 /R:USD/USCPI/1M$1,071,8851.7%
POUND STERLING$967,4060.1%
SWAP/01/15/2023/P:USD 3.35500 /R:USD/USCPI/1M$865,4692.4%
US DOLLAR$837,5870.1%
SWAP/07/15/2025/P:USD 1.59500 /R:USD/USCPI/1M$794,7590.7%
SWAP/01/15/2025/P:USD 2.44000 /R:USD/USCPI/1M$660,4740.9%
SWAP/01/15/2025/P:USD 0.78000 /R:USD/USCPI/1M$601,5770.4%
US DOLLAR$593,0000.1%
US DOLLAR$575,5550.1%
CANADIAN DOLLAR$516,2440.1%
SWAP/07/15/2026/P:USD 2.89600 /R:USD/USCPI/1M$342,1580.6%
SWAP/07/15/2026/P:USD 2.90800 /R:USD/USCPI/1M$332,7600.6%
SWAP/01/15/2027/P:USD 2.84250 /R:USD/USCPI/1M$318,1360.6%
SWAP/07/15/2028/P:USD 2.42350 /R:USD/USCPI/1M$305,0320.3%
SWAP/01/15/2026/P:USD 2.32200 /R:USD/USCPI/1M$287,8430.4%
SWAP/07/15/2024/P:USD 1.85500 /R:USD/USCPI/1M$260,4290.3%
SWAP/06/24/2022/P:USD 3.52000 /R:USD/USCPI/1M$256,9960.8%
SWAP/01/15/2028/P:USD 2.79850 /R:USD/USCPI/1M$241,9280.5%
EURO-BUXL 30Y BND BOND 08/MAR/2022 UBH2 COMDTY$229,955-0.4%
SWAP/01/15/2023/P:USD 2.31000 /R:USD/USCPI/1M$220,5410.4%
SWAP/01/15/2025/P:USD 1.58000 /R:USD/USCPI/1M$218,5240.2%
EURO$209,2850.0%
SWAP/04/15/2032/P:USD 2.60750 /R:USD/USCPI/1M$204,8200.3%
SWAP/07/15/2023/P:USD 2.18750 /R:USD/USCPI/1M$202,9730.3%
SWAP/06/05/2027/P:USD 0.55750 /R:USD/LIBOR/3M$193,5030.4%
SWAP/01/15/2025/P:USD 1.96750 /R:USD/USCPI/1M$191,1160.2%
POUND STERLING$182,2400.0%
SWAP/04/15/2032/P:USD 2.60500 /R:USD/USCPI/1M$177,4250.3%
SWAP/07/15/2026/P:USD 2.40750 /R:USD/USCPI/1M$176,4130.2%
SWAP/07/15/2022/P:USD 1.47900 /R:USD/USCPI/1M$171,9680.2%
SWAP/01/15/2023/P:USD 2.18400 /R:USD/USCPI/1M$166,2500.3%
SWAP/09/07/2031/P:USD 2.51900 /R:USD/USCPI/1M$161,0950.4%
SWAP/07/15/2023/P:USD 3.36875 /R:USD/USCPI/1M$147,3310.4%
SWAP/07/15/2023/P:USD 3.33400 /R:USD/USCPI/1M$142,4660.4%
SWAP/07/15/2022/P:USD 1.57500 /R:USD/USCPI/1M$133,1460.2%
SWAP/07/15/2023/P:USD 2.35300 /R:USD/USCPI/1M$132,0420.3%
SWAP/03/05/2026/P:USD 2.41875 /R:USD/USCPI/1M$121,2950.2%
SWAPTION/EUROPEAN/11/02/2022/11/04/2052/P:EUR 0.19500 /R:EUR/EURIBOR/6M$113,7270.1%
SWAP/07/15/2022/P:USD 1.76000 /R:USD/USCPI/1M$103,9660.2%
CURRENCY CONTRACT - USD$100,097-0.6%
CURRENCY CONTRACT - USD$98,686-0.3%
RUSSIAN RUBLE$96,5320.0%
SWAP/02/26/2026/P:USD 2.31375 /R:USD/USCPI/1M$94,6940.1%
EURO$93,6560.0%
SWAP/07/15/2022/P:USD 1.48400 /R:USD/USCPI/1M$87,3980.1%
SWAP/01/15/2023/P:USD 1.54300 /R:USD/USCPI/1M$85,6180.1%
SWAP/01/15/2023/P:USD 1.96000 /R:USD/USCPI/1M$83,5760.1%
CANADIAN DOLLAR$81,2500.0%
SWAP/01/15/2024/P:USD 1.59900 /R:USD/USCPI/1M$76,6080.1%
SWAP/05/13/2026/P:USD 2.76750 /R:USD/USCPI/1M$68,7410.1%
SWAP/11/10/2045/P:USD 2.72100 /R:USD/LIBOR/3M$66,6700.0%
US 10YR NOTE (CBT) BOND 22/MAR/2022 TYH2 COMDTY$60,9501.1%
SWAP/07/15/2026/P:USD 2.94400 /R:USD/USCPI/1M$59,7050.1%
SWAP/07/15/2022/P:USD 1.59700 /R:USD/USCPI/1M$58,1860.1%
CURRENCY CONTRACT - USD$57,459-0.3%
CURRENCY CONTRACT - AUD$56,1870.2%
EURO-BTP FUTURE BOND 08/MAR/2022 IKH2 COMDTY$55,225-0.2%
SWAP/05/15/2026/P:EUR 1.50000 /R:EUR/HICPXT/1M$55,0460.1%
SWAP/07/15/2023/P:USD 1.55100 /R:USD/USCPI/1M$54,4500.1%
SWAP/02/05/2023/P:USD 2.21000 /R:USD/USCPI/1M$51,8560.1%
CURRENCY CONTRACT - AUD$50,8940.2%
SWAP/07/15/2023/P:USD 1.54800 /R:USD/USCPI/1M$50,6410.1%
SWAPTION/EUROPEAN/11/02/2022/11/04/2052/P:EUR 0.19000 /R:EUR/EURIBOR/6M$49,7820.1%
EURO-BOBL FUTURE BOND 08/MAR/2022 OEH2 COMDTY$48,967-0.6%
POUND STERLING$43,3100.0%
SWAP/07/15/2022/P:USD 1.90250 /R:USD/USCPI/1M$42,8690.1%
SWAP/04/15/2032/P:USD 2.51900 /R:USD/USCPI/1M$39,8110.1%
SWAP/05/14/2026/P:USD 2.79300 /R:USD/USCPI/1M$35,5120.1%
CURRENCY CONTRACT - USD$34,232-0.4%
CURRENCY CONTRACT - USD$34,158-0.6%
MALAYSIAN RINGGIT$29,9120.0%
SWAPTION/EUROPEAN/11/04/2022/11/08/2052/P:EUR 0.19700 /R:EUR/EURIBOR/6M$27,4120.0%
YEN$26,5920.0%
CURRENCY CONTRACT - USD$26,259-0.1%
SWAP/04/15/2022/P:USD 2.14000 /R:USD/USCPI/1M$26,2540.1%
CURRENCY CONTRACT - USD$24,916-0.1%
SWAP/03/15/2024/P:EUR 1.03000 /R:EUR/FRCPI/1M$24,8790.1%
CURRENCY CONTRACT - USD$24,088-0.1%
YEN$24,0100.0%
YEN$22,3070.0%
SWAP/05/10/2023/P:USD 2.28100 /R:USD/USCPI/1M$21,7440.1%
SWAPTION/EUROPEAN/11/17/2022/11/21/2023/P:EUR/EURIBOR/3M /R:EUR -0.52600$20,9641.5%
EURO-SCHATZ FUT BOND 08/MAR/2022 DUH2 COMDTY$19,359-0.8%
SWEDISH KRONA$14,7200.0%
JPN 10Y BOND(OSE) BOND 14/MAR/2022 JBH2 COMDTY$14,549-0.5%
SWAP/05/09/2023/P:USD 2.26250 /R:USD/USCPI/1M$14,3660.0%
SELL PROTECTION ON CMBX.NA.BBB-.6.MAY.05/11/2063$9,7830.0%
SELL PROTECTION ON CMBX.NA.BBB-.6.MAY.05/11/2063$9,7050.0%
BUY PROTECTION ON CMBX.NA.BBB-.9.SEP.09/17/2058$8,8270.0%
SELL PROTECTION ON CMBX.NA.BBB-.6.MAY.05/11/2063$7,8380.0%
CURRENCY CONTRACT - USD$6,6310.0%
BUY PROTECTION ON CMBX.NA.BBB-.9.SEP.09/17/2058$6,5500.0%
BUY PROTECTION ON CMBX.NA.BBB-.9.SEP.09/17/2058$5,6560.0%
SELL PROTECTION ON CMBX.NA.BBB-.6.MAY.05/11/2063$5,5640.0%
SELL PROTECTION ON CMBX.NA.BBB-.6.MAY.05/11/2063$5,5620.0%
AUSTRALIAN DOLLAR$5,4570.0%
SELL PROTECTION ON CMBX.NA.A.6.MAY.05/11/2063$5,3130.0%
SELL PROTECTION ON CMBX.NA.BBB-.6.MAY.05/11/2063$5,3110.0%
SELL PROTECTION ON CMBX.NA.BBB-.6.MAY.05/11/2063$5,1820.0%
CURRENCY CONTRACT - GBP$5,0110.0%
SELL PROTECTION ON CMBX.NA.BBB-.6.MAY.05/11/2063$4,9380.0%
SELL PROTECTION ON CMBX.NA.A.6.MAY.05/11/2063$4,5160.0%
SHORT EURO-BTP FU BOND 08/MAR/2022 BTSH2 COMDTY$4,124-0.1%
SELL PROTECTION ON CMBX.NA.BBB-.6.MAY.05/11/2063$4,0820.0%
CURRENCY CONTRACT - USD$4,0440.0%
SELL PROTECTION ON CMBX.NA.BBB-.6.MAY.05/11/2063$3,8500.0%
SELL PROTECTION ON CMBX.NA.BBB-.6.MAY.05/11/2063$3,7380.0%
SELL PROTECTION ON CMBX.NA.BBB-.6.MAY.05/11/2063$3,6520.0%
SWAP/05/15/2026/P:EUR 1.50000 /R:EUR/HICPXT/1M$3,192-0.1%
SELL PROTECTION ON CMBX.NA.BBB-.6.MAY.05/11/2063$3,0690.0%
SELL PROTECTION ON CMBX.NA.BBB-.6.MAY.05/11/2063$2,9040.0%
CURRENCY CONTRACT - CAD$2,7560.5%
SELL PROTECTION ON CMBX.NA.BBB-.6.MAY.05/11/2063$2,7430.0%
SELL PROTECTION ON CMBX.NA.BBB-.6.MAY.05/11/2063$2,7410.0%
SWEDISH KRONA$2,5210.0%
SWAP/03/15/2031/P:EUR/HICPXT/1M /R:EUR 1.38000$2,5110.0%
SELL PROTECTION ON CMBX.NA.BBB-.6.MAY.05/11/2063$2,4880.0%
BUY PROTECTION ON CMBX.NA.BBB-.9.SEP.09/17/2058$2,2730.0%
CURRENCY CONTRACT - USD$2,2210.0%
SWAP/03/15/2036/P:GBP/UKRPI/1M /R:GBP 3.58000$1,9540.0%
SELL PROTECTION ON GENERAL ELECTRIC COMPANY SENIOR_UNSECURED/RECEIVE: USD 1.00000 MATURING ON 12/20/2023$1,8990.0%
SWAP/03/15/2031/P:EUR/HICPXT/1M /R:EUR 1.38000$1,8170.0%
BUY PROTECTION ON CMBX.NA.BBB-.9.SEP.09/17/2058$1,7750.0%
SWAP/03/15/2031/P:EUR/HICPXT/1M /R:EUR 1.38000$1,7560.0%
SWAP/03/15/2036/P:GBP/UKRPI/1M /R:GBP 3.58000$1,7330.0%
SELL PROTECTION ON CMBX.NA.BBB-.6.MAY.05/11/2063$1,6370.0%
SELL PROTECTION ON CMBX.NA.BBB-.6.MAY.05/11/2063$1,5830.0%
NORWEGIAN KRONE$1,5400.0%
CURRENCY CONTRACT - EUR$1,5400.0%
SWAP/03/15/2031/P:EUR/HICPXT/1M /R:EUR 1.38000$1,5030.0%
EUROPEAN OPTION EXPIRING ON 04/20/2022 TO BUY PROTECTION ON CDX.NA.IG.37-V1.DEC.2026/PAY: USD 0.00$1,4200.2%
CREDIT DEFAULT SWAP - CDS$1,4070.0%
CURRENCY CONTRACT - USD$1,3380.0%
SELL PROTECTION ON CMBX.NA.BBB-.6.MAY.05/11/2063$1,3170.0%
EUROPEAN OPTION EXPIRING ON 04/20/2022 TO BUY PROTECTION ON CDX.NA.IG.37-V1.DEC.2026/PAY: USD 0.00$1,2020.1%
SELL PROTECTION ON CMBX.NA.BBB-.6.MAY.05/11/2063$1,2000.0%
SELL PROTECTION ON CMBX.NA.BBB-.6.MAY.05/11/2063$1,1710.0%
SELL PROTECTION ON CMBX.NA.BBB-.6.MAY.05/11/2063$1,1300.0%
SELL PROTECTION ON CMBX.NA.BBB-.6.MAY.05/11/2063$1,0940.0%
SELL PROTECTION ON CMBX.NA.BBB-.6.MAY.05/11/2063$9580.0%
LONG GILT FUTURE BOND 29/MAR/2022 G H2 COMDTY$937-0.2%
SELL PROTECTION ON CMBX.NA.BBB-.6.MAY.05/11/2063$8900.0%
SELL PROTECTION ON CMBX.NA.BBB-.6.MAY.05/11/2063$8660.0%
CURRENCY CONTRACT - EUR$7920.0%
SELL PROTECTION ON CMBX.NA.BBB-.6.MAY.05/11/2063$7880.0%
EUROPEAN OPTION EXPIRING ON 04/20/2022 TO BUY PROTECTION ON ITRAXX.EUROPE.MAIN.36-V1.DEC.2026/PAY: EUR 0.00$7520.1%
EUROPEAN OPTION EXPIRING ON 03/16/2022 TO BUY PROTECTION ON CDX.NA.IG.37-V1.DEC.2026/PAY: USD 0.00$7220.1%
SELL PROTECTION ON CMBX.NA.BBB-.6.MAY.05/11/2063$7190.0%
SELL PROTECTION ON CMBX.NA.BBB-.6.MAY.05/11/2063$7190.0%
SELL PROTECTION ON CMBX.NA.BBB-.6.MAY.05/11/2063$6640.0%
SELL PROTECTION ON CMBX.NA.BBB-.6.MAY.05/11/2063$6140.0%
CURRENCY CONTRACT - EUR$5680.0%
SWAP/03/15/2031/P:EUR/HICPXT/1M /R:EUR 1.38000$5640.0%
CURRENCY CONTRACT - EUR$5530.0%
DANISH KRONE$4950.0%
SELL PROTECTION ON CMBX.NA.BBB-.6.MAY.05/11/2063$4760.0%
SELL PROTECTION ON CMBX.NA.BBB-.6.MAY.05/11/2063$4520.0%
SWAP/03/15/2036/P:GBP/UKRPI/1M /R:GBP 3.58000$4450.0%
SWAP/04/15/2031/P:GBP/UKRPI/1M /R:GBP 3.75000$4220.0%
NEW ZEALAND DOLLAR$3420.0%
CURRENCY CONTRACT - USD$3380.0%
SWAP/03/15/2024/P:EUR 1.03000 /R:EUR/FRCPI/1M$319-0.1%
CREDIT DEFAULT SWAP - CDS$2450.0%
SELL PROTECTION ON CMBX.NA.BBB-.6.MAY.05/11/2063$2430.0%
EUROPEAN OPTION EXPIRING ON 04/20/2022 TO BUY PROTECTION ON ITRAXX.EUROPE.MAIN.36-V1.DEC.2026/PAY: EUR 0.00$2020.0%
SELL PROTECTION ON CMBX.NA.BBB-.6.MAY.05/11/2063$1830.0%
SELL PROTECTION ON CMBX.NA.BBB-.6.MAY.05/11/2063$1720.0%
SELL PROTECTION ON CMBX.NA.BBB-.6.MAY.05/11/2063$1520.0%
SWAP/03/15/2036/P:GBP/UKRPI/1M /R:GBP 3.58000$1130.0%
SWAP/12/15/2031/P:JPY 0.05000 /R:JPY/TONAR/1D$650.9%
SWAP/01/15/2023/P:USD 3.35500 /R:USD/USCPI/1M$9-2.4%
CURRENCY CONTRACT - EUR$90.0%
SWAP/02/26/2022/P:USD/USCPI/1M /R:USD 1.44000$8-0.8%
SWAP/06/24/2022/P:USD 3.52000 /R:USD/USCPI/1M$5-0.8%
SWAP/02/26/2025/P:USD 1.58900 /R:USD/USCPI/1M$4-1.1%
SWAP/07/15/2025/P:USD 1.59500 /R:USD/USCPI/1M$3-0.7%
SWAP/07/15/2024/P:USD 1.85500 /R:USD/USCPI/1M$2-0.3%
SWAP/07/15/2026/P:USD 2.79250 /R:USD/USCPI/1M$2-1.7%
SWAP/07/15/2022/P:USD 1.76000 /R:USD/USCPI/1M$2-0.2%
SWAP/07/15/2022/P:USD 1.57500 /R:USD/USCPI/1M$2-0.2%
SWAP/07/15/2023/P:USD 2.35300 /R:USD/USCPI/1M$2-0.3%
SWAP/07/15/2022/P:USD 1.47900 /R:USD/USCPI/1M$2-0.2%
SWAP/01/19/2022/P:USD/USCPI/1M /R:USD 2.16500$2-0.1%
SWAP/01/19/2022/P:USD/USCPI/1M /R:USD 2.18000$2-0.1%
SWAP/01/15/2025/P:USD 0.78000 /R:USD/USCPI/1M$2-0.4%
SWAP/01/15/2025/P:USD 2.44000 /R:USD/USCPI/1M$2-0.9%
SWAP/01/15/2023/P:USD 2.31000 /R:USD/USCPI/1M$2-0.4%
RAND$20.0%
SWAP/01/15/2023/P:USD 2.18400 /R:USD/USCPI/1M$1-0.3%
SWAP/01/15/2023/P:USD 1.54300 /R:USD/USCPI/1M$1-0.1%
SWAP/01/15/2025/P:USD 1.96750 /R:USD/USCPI/1M$1-0.2%
SWAP/01/15/2026/P:USD 2.32200 /R:USD/USCPI/1M$1-0.4%
SWAP/01/15/2027/P:USD 2.84250 /R:USD/USCPI/1M$1-0.6%
SWAP/01/21/2022/P:USD/USCPI/1M /R:USD 2.20000$1-0.1%
SWAP/01/15/2028/P:USD 2.79850 /R:USD/USCPI/1M$1-0.5%
SWAP/02/05/2023/P:USD 2.21000 /R:USD/USCPI/1M$1-0.1%
SWAP/07/15/2022/P:USD 1.48400 /R:USD/USCPI/1M$1-0.1%
SWAP/05/21/2031/P:USD 1.61650 /R:USD/LIBOR/3M$1-1.3%
SWAP/04/15/2022/P:USD 2.14000 /R:USD/USCPI/1M$1-0.1%
SWAP/07/15/2022/P:USD 1.59700 /R:USD/USCPI/1M$1-0.1%
SWAP/07/15/2026/P:USD 2.90800 /R:USD/USCPI/1M$1-0.6%
SWAP/07/15/2026/P:USD 2.89600 /R:USD/USCPI/1M$1-0.6%
SWAP/07/15/2023/P:USD 3.33400 /R:USD/USCPI/1M$1-0.4%
SWAP/07/15/2023/P:USD 3.36875 /R:USD/USCPI/1M$1-0.4%
WON$10.0%
SWAP/11/15/2034/P:EUR/FRCPI/1M /R:EUR 1.28000$00.0%
SWAP/07/15/2026/P:USD 2.40750 /R:USD/USCPI/1M$0-0.2%
SWAP/07/15/2022/P:USD 1.90250 /R:USD/USCPI/1M$0-0.1%
SWAP/07/15/2023/P:USD 2.18750 /R:USD/USCPI/1M$0-0.3%
SWAP/07/15/2023/P:USD 1.54800 /R:USD/USCPI/1M$0-0.1%
SWAP/07/15/2023/P:USD 1.55100 /R:USD/USCPI/1M$0-0.1%
SWAP/12/15/2031/P:JPY 0.05000 /R:JPY/TONAR/1D$0-0.9%
SWAP/11/15/2031/P:GBP 4.25000 /R:GBP/UKRPI/1M$00.0%
SWAP/11/09/2026/P:USD 1.67150 /R:USD/LIBOR/3M$00.0%
SWAP/09/21/2032/P:GBP 0.75000 /R:GBP/SONIA/1D$00.0%
SWAP/10/04/2026/P:USD 1.48700 /R:USD/LIBOR/3M$0-0.1%
SWAP/10/15/2031/P:GBP 4.14000 /R:GBP/UKRPI/1M$0-0.1%
SWAP/11/08/2026/P:USD 1.65700 /R:USD/LIBOR/3M$00.0%
SWAP/07/15/2026/P:USD 2.94400 /R:USD/USCPI/1M$0-0.1%
SWAP/07/15/2028/P:USD 2.42350 /R:USD/USCPI/1M$0-0.3%
SWAP/08/15/2030/P:GBP/UKRPI/1M /R:GBP 3.47500$0-0.2%
SWAP/08/15/2030/P:GBP/UKRPI/1M /R:GBP 3.47500$0-0.1%
SWAP/09/07/2031/P:USD 2.51900 /R:USD/USCPI/1M$0-0.4%
SWAP/07/12/2027/P:USD 2.35450 /R:USD/LIBOR/3M$00.0%
SWAP/08/30/2024/P:SEK/STIBOR/3M /R:SEK -0.16500$0-3.8%
SWAP/09/21/2032/P:GBP 0.75000 /R:GBP/SONIA/1D$0-0.1%
SWAP/09/21/2032/P:GBP 0.75000 /R:GBP/SONIA/1D$00.0%
SWAP/04/15/2031/P:GBP/UKRPI/1M /R:GBP 3.75000$0-0.1%
SWAP/03/04/2051/P:CAD 2.33250 /R:CAD/BA/3M$0-0.1%
SWAP/03/15/2036/P:GBP/UKRPI/1M /R:GBP 3.56600$00.0%
SWAP/03/05/2026/P:USD 2.41875 /R:USD/USCPI/1M$0-0.2%
SWAP/02/26/2026/P:USD 2.31375 /R:USD/USCPI/1M$0-0.1%
SWAP/03/03/2051/P:CAD 2.29700 /R:CAD/BA/3M$00.0%
SWAP/06/04/2029/P:USD 2.15000 /R:USD/LIBOR/3M$00.0%
SWAP/05/20/2029/P:USD 2.36000 /R:USD/LIBOR/3M$0-0.1%
SWAP/05/20/2029/P:USD 2.39000 /R:USD/LIBOR/3M$0-0.1%
SWAP/06/05/2027/P:USD 0.55750 /R:USD/LIBOR/3M$0-0.4%
SWAP/05/14/2026/P:USD 2.79300 /R:USD/USCPI/1M$0-0.1%
SWAP/05/10/2023/P:USD 2.28100 /R:USD/USCPI/1M$0-0.1%
SWAP/05/13/2026/P:USD 2.76750 /R:USD/USCPI/1M$0-0.1%
SWAP/05/09/2023/P:USD 2.26250 /R:USD/USCPI/1M$00.0%
SWAP/04/15/2032/P:USD 2.60750 /R:USD/USCPI/1M$0-0.3%
SWAP/04/15/2032/P:USD 2.51900 /R:USD/USCPI/1M$0-0.1%
SWAP/04/15/2032/P:USD 2.60500 /R:USD/USCPI/1M$0-0.3%
SWAP/02/15/2031/P:GBP/UKRPI/1M /R:GBP 3.62400$0-0.1%
SWAP/02/01/2022/P:USD/USCPI/1M /R:USD 2.17000$00.0%
SWAP/01/15/2025/P:USD 1.58000 /R:USD/USCPI/1M$0-0.2%
SWAP/01/15/2024/P:USD 1.59900 /R:USD/USCPI/1M$0-0.1%
SWAP/01/15/2023/P:USD 1.96000 /R:USD/USCPI/1M$0-0.1%
SELL PROTECTION ON CMBX.NA.BBB-.6.MAY.05/11/2063$00.0%
SELL PROTECTION ON BARCLAYS BANK PLC SENIOR_UNSECURED/RECEIVE: EUR 1.00000 MATURING ON 12/20/2022$00.0%
CREDIT DEFAULT SWAP, CMBX - CDSCMBX$00.0%
CREDIT DEFAULT SWAP, CMBX - CDSCMBX$00.0%
CREDIT DEFAULT SWAP, CMBX - CDSCMBX$00.0%
CREDIT DEFAULT SWAP, CMBX - CDSCMBX$00.0%
CREDIT DEFAULT SWAP, CMBX - CDSCMBX$00.0%
CREDIT DEFAULT SWAP, CMBX - CDSCMBX$00.0%
CREDIT DEFAULT SWAP, CMBX - CDSCMBX$00.0%
CREDIT DEFAULT SWAP, CMBX - CDSCMBX$-2790.0%
CURRENCY CONTRACT - USD$-3500.0%
CURRENCY CONTRACT - USD$-4810.0%
CREDIT DEFAULT SWAP, CMBX - CDSCMBX$-5580.0%
CREDIT DEFAULT SWAP, CMBX - CDSCMBX$-5580.0%
CREDIT DEFAULT SWAP, CMBX - CDSCMBX$-5580.0%
CURRENCY CONTRACT - USD$-7920.0%
CURRENCY CONTRACT - USD$-896-0.9%
CURRENCY CONTRACT - USD$-9550.0%
SWAP/09/21/2032/P:GBP 0.75000 /R:GBP/SONIA/1D$-1,0350.1%
CREDIT DEFAULT SWAP, CMBX - CDSCMBX$-1,1170.0%
CURRENCY CONTRACT - USD$-1,3040.0%
CURRENCY CONTRACT - USD$-1,3060.0%
CREDIT DEFAULT SWAP, CMBX - CDSCMBX$-1,3960.0%
CREDIT DEFAULT SWAP, CMBX - CDSCMBX$-1,3960.0%
CREDIT DEFAULT SWAP, CMBX - CDSCMBX$-1,6750.0%
CURRENCY CONTRACT - USD$-1,7910.0%
CURRENCY CONTRACT - USD$-1,8220.0%
SWAP/09/21/2032/P:GBP 0.75000 /R:GBP/SONIA/1D$-1,9410.0%
CREDIT DEFAULT SWAP, CMBX - CDSCMBX$-1,9550.0%
CREDIT DEFAULT SWAP, CMBX - CDSCMBX$-1,9550.0%
CREDIT DEFAULT SWAP, CMBX - CDSCMBX$-1,9550.0%
CREDIT DEFAULT SWAP, CMBX - CDSCMBX$-1,9550.0%
CREDIT DEFAULT SWAP, CMBX - CDSCMBX$-1,9550.0%
CREDIT DEFAULT SWAP, CMBX - CDSCMBX$-2,2340.0%
CREDIT DEFAULT SWAP, CMBX - CDSCMBX$-2,2340.0%
CURRENCY CONTRACTS - ZAR$-2,2430.1%
SWAP/09/21/2032/P:GBP 0.75000 /R:GBP/SONIA/1D$-2,3390.0%
SWAP/11/15/2031/P:GBP 4.25000 /R:GBP/UKRPI/1M$-2,4900.0%
CREDIT DEFAULT SWAP, CMBX - CDSCMBX$-2,5130.0%
CURRENCY CONTRACT - USD$-3,0440.0%
CREDIT DEFAULT SWAP, CMBX - CDSCMBX$-3,0720.0%
CREDIT DEFAULT SWAP, CMBX - CDSCMBX$-3,0720.0%
CREDIT DEFAULT SWAP, CMBX - CDSCMBX$-3,3510.0%
SWAP/06/04/2029/P:USD 2.15000 /R:USD/LIBOR/3M$-3,4230.0%
CREDIT DEFAULT SWAP, CMBX - CDSCMBX$-3,9090.0%
CURRENCY CONTRACT - USD$-4,0550.0%
CREDIT DEFAULT SWAP, CMBX - CDSCMBX$-4,1890.0%
SWAP/11/08/2026/P:USD 1.65700 /R:USD/LIBOR/3M$-4,3220.0%
CREDIT DEFAULT SWAP, CMBX - CDSCMBX$-4,7470.0%
SWAP/11/09/2026/P:USD 1.67150 /R:USD/LIBOR/3M$-5,9910.0%
CREDIT DEFAULT SWAP, CMBX - CDSCMBX$-6,9810.0%
CREDIT DEFAULT SWAP, CMBX - CDSCMBX$-6,9810.0%
CURRENCY CONTRACT - RUB$-7,4800.2%
CREDIT DEFAULT SWAP, CMBX - CDSCMBX$-8,9360.0%
CREDIT DEFAULT SWAP, CMBX - CDSCMBX$-9,2150.0%
CREDIT DEFAULT SWAP, CMBX - CDSCMBX$-9,4940.0%
SWAP/03/03/2051/P:CAD 2.29700 /R:CAD/BA/3M$-9,9760.0%
CREDIT DEFAULT SWAP, CMBX - CDSCMBX$-10,0530.0%
BUY PROTECTION ON CMBX.NA.BBB-.9.SEP.09/17/2058$-10,8800.0%
SWAP/03/15/2031/P:EUR/HICPXT/1M /R:EUR 1.38000$-11,2290.0%
CREDIT DEFAULT SWAP, CMBX - CDSCMBX$-11,4490.0%
CREDIT DEFAULT SWAP, CMBX - CDSCMBX$-12,0080.0%
CREDIT DEFAULT SWAP, CMBX - CDSCMBX$-12,2870.0%
CREDIT DEFAULT SWAP, CMBX - CDSCMBX$-12,2870.0%
CREDIT DEFAULT SWAP, CMBX - CDSCMBX$-12,8450.0%
SWAP/02/01/2022/P:USD/USCPI/1M /R:USD 2.17000$-13,9170.0%
CREDIT DEFAULT SWAP, CMBX - CDSCMBX$-13,9620.0%
CREDIT DEFAULT SWAP, CMBX - CDSCMBX$-14,5210.0%
SWAP/10/04/2026/P:USD 1.48700 /R:USD/LIBOR/3M$-15,5930.1%
SWAP/03/15/2036/P:GBP/UKRPI/1M /R:GBP 3.58000$-16,4440.0%
BUY PROTECTION ON CMBX.NA.BBB-.9.SEP.09/17/2058$-16,5480.0%
CREDIT DEFAULT SWAP, CMBX - CDSCMBX$-16,7550.0%
SWAP/04/15/2031/P:GBP/UKRPI/1M /R:GBP 3.75000$-19,2270.0%
CREDIT DEFAULT SWAP, CMBX - CDSCMBX$-19,2680.0%
SWAP/07/12/2027/P:USD 2.35450 /R:USD/LIBOR/3M$-19,7590.0%
CREDIT DEFAULT SWAP, CMBX - CDSCMBX$-20,9440.0%
SWAP/10/15/2031/P:GBP 4.14000 /R:GBP/UKRPI/1M$-21,0140.1%
SWAP/03/15/2031/P:EUR/HICPXT/1M /R:EUR 1.38000$-22,4770.0%
SWAP/03/15/2031/P:EUR/HICPXT/1M /R:EUR 1.38000$-22,4770.0%
SWAP/03/15/2031/P:EUR/HICPXT/1M /R:EUR 1.38000$-22,4770.0%
CREDIT DEFAULT SWAP, CMBX - CDSCMBX$-23,2830.0%
CURRENCY CONTRACT - USD$-24,026-0.2%
US 5YR NOTE (CBT) BOND 31/MAR/2022 FVH2 COMDTY$-24,9906.8%
US ULTRA BOND CBT BOND 22/MAR/2022 WNH2 COMDTY$-26,067-0.4%
CURRENCY CONTRACT - USD$-26,478-0.2%
US 2YR NOTE (CBT) BOND 31/MAR/2022 TUH2 COMDTY$-27,6632.7%
SWAP/11/15/2034/P:EUR/FRCPI/1M /R:EUR 1.28000$-28,0320.0%
CREDIT DEFAULT SWAP, CMBX - CDSCMBX$-29,5880.0%
SWAP/01/19/2022/P:USD/USCPI/1M /R:USD 2.18000$-30,6790.1%
CURRENCY CONTRACT - USD$-32,573-0.1%
SWAP/03/15/2036/P:GBP/UKRPI/1M /R:GBP 3.58000$-32,8880.0%
SWAP/03/15/2036/P:GBP/UKRPI/1M /R:GBP 3.58000$-32,8880.0%
SWAP/03/15/2036/P:GBP/UKRPI/1M /R:GBP 3.58000$-32,8880.0%
SWAP/03/15/2036/P:GBP/UKRPI/1M /R:GBP 3.56600$-33,7040.0%
CURRENCY CONTRACT - USD$-35,381-0.2%
SWAP/03/04/2051/P:CAD 2.33250 /R:CAD/BA/3M$-37,5660.1%
US LONG BOND(CBT) BOND 22/MAR/2022 USH2 COMDTY$-41,122-1.3%
EURO-BUND FUTURE BOND 08/MAR/2022 RXH2 COMDTY$-41,6160.2%
CURRENCY CONTRACT - USD$-43,062-0.2%
CURRENCY CONTRACT - USD$-45,315-0.4%
SWAP/01/21/2022/P:USD/USCPI/1M /R:USD 2.20000$-48,4060.1%
SWAP/05/20/2029/P:USD 2.36000 /R:USD/LIBOR/3M$-49,2050.1%
SWAPTION/EUROPEAN/11/04/2022/11/08/2032/P:EUR 0.00000 /R:EUR/EURIBOR/6M$-53,9120.2%
CURRENCY CONTRACT - RUB$-54,9820.3%
SWAP/03/15/2031/P:EUR/HICPXT/1M /R:EUR 1.38000$-56,1450.0%
SWAP/05/20/2029/P:USD 2.39000 /R:USD/LIBOR/3M$-56,1970.1%
SWAPTION/EUROPEAN/11/02/2022/11/04/2032/P:EUR 0.00000 /R:EUR/EURIBOR/6M$-69,4930.2%
SWAP/01/19/2022/P:USD/USCPI/1M /R:USD 2.16500$-70,3630.1%
SWAP/08/30/2024/P:SEK/STIBOR/3M /R:SEK -0.16500$-75,8543.8%
CREDIT DEFAULT SWAP, CMBX - CDSCMBX$-76,1000.0%
SWAP/11/10/2045/P:USD 2.72100 /R:USD/LIBOR/3M$-86,2260.0%
CURRENCY CONTRACT - USD$-92,719-0.3%
US 10YR ULTRA FUT BOND 22/MAR/2022 UXYH2 COMDTY$-94,5900.5%
SWAP/08/15/2030/P:GBP/UKRPI/1M /R:GBP 3.47500$-100,6440.1%
CURRENCY CONTRACT - NOK$-102,8900.3%
SWAP/05/21/2031/P:USD 1.61650 /R:USD/LIBOR/3M$-107,8641.3%
SWAPTION/EUROPEAN/11/02/2022/11/04/2032/P:EUR 0.00000 /R:EUR/EURIBOR/6M$-134,0280.2%
SWAP/04/15/2031/P:GBP/UKRPI/1M /R:GBP 3.75000$-167,7240.1%
EURO$-217,7700.0%
SWAP/02/15/2031/P:GBP/UKRPI/1M /R:GBP 3.62400$-239,1820.1%
US DOLLAR$-292,0670.0%
SWAP/08/15/2030/P:GBP/UKRPI/1M /R:GBP 3.47500$-297,5180.2%
SWAP/02/26/2022/P:USD/USCPI/1M /R:USD 1.44000$-492,3110.8%
US DOLLAR$-598,000-0.1%
US DOLLAR$-10,123,485-0.9%
All Holdings As of Nov 30, 2021
Exchange-Traded Funds
Underlying Fund HoldingsMarket Value%
INVESCO DB AGRICULTURE FUND ETP USD$2,323,2000.2%
SPDR GOLD SHARES ETP USD$1,897,4580.2%
INVESCO DB OIL FUND ETP USD$1,672,8000.2%
INVESCO DB BASE METALS FUND ETP USD$1,254,0000.1%
ISHARES SILVER TRUST ETP USD$1,187,7840.1%
VANGUARD REAL ESTATE ETF ETP USD 1$640,4400.1%
 
Fixed Income
Underlying Fund HoldingsMarket Value%
UNITED STATES OF AMERICA NOTES .125% 07/15/2031$51,917,4084.7%
UNITED STATES OF AMERICA NOTES .125% 10/15/2026$44,005,5684.0%
UNITED STATES OF AMERICA NOTES .125% 01/15/2031$36,048,2933.3%
UNITED STATES OF AMERICA NOTES .375% 01/15/2027$29,831,7072.7%
UNITED STATES OF AMERICA NOTES .5% 01/15/2028$25,667,9152.3%
UNITED STATES OF AMERICA BOND .125% 02/15/2051$24,565,1092.2%
UNITED STATES OF AMERICA NOTES .625% 04/15/2023$22,092,9482.0%
UNITED STATES OF AMERICA NOTES .5% 04/15/2024$21,436,5761.9%
UNITED STATES OF AMERICA BOND 2.125% 02/15/2041$20,032,8081.8%
UNITED STATES OF AMERICA NOTES .125% 10/15/2024$19,643,8211.8%
UNITED STATES OF AMERICA NOTES .125% 04/15/2025$19,085,1941.7%
UNITED STATES OF AMERICA BOND .75% 02/15/2045$18,741,7891.7%
UNITED STATES OF AMERICA NOTES .875% 01/15/2029$17,995,4031.6%
UNITED STATES OF AMERICA BOND .625% 02/15/2043$16,396,4301.5%
UNITED STATES OF AMERICA BOND 1% 02/15/2046$15,829,4471.4%
UNITED STATES OF AMERICA NOTES .75% 07/15/2028$15,239,3111.4%
UNITED STATES OF AMERICA BOND 2.5% 01/15/2029$14,872,0231.3%
UNITED STATES OF AMERICA NOTES .125% 04/15/2022$14,854,6451.3%
UNITED STATES OF AMERICA NOTES .25% 07/15/2029$14,312,2891.3%
UNITED STATES OF AMERICA NOTES .625% 01/15/2024$13,414,0581.2%
UNITED STATES OF AMERICA NOTES .25% 01/15/2025$13,359,3511.2%
UNITED STATES OF AMERICA BOND 1.375% 02/15/2044$12,506,3601.1%
UNITED STATES OF AMERICA NOTES .125% 01/15/2030$12,488,9641.1%
UNITED STATES OF AMERICA NOTES .125% 07/15/2026$11,576,8331.1%
UNITED STATES OF AMERICA BOND 3.625% 04/15/2028$11,373,3121.0%
UNITED STATES OF AMERICA NOTES .125% 10/15/2025$11,341,8331.0%
UNITED STATES OF AMERICA NOTES .125% 07/15/2030$11,044,7671.0%
UNITED STATES OF AMERICA BOND .875% 02/15/2047$9,424,3260.9%
UNITED STATES OF AMERICA BOND 1% 02/15/2048$9,124,6760.8%
UNITED STATES OF AMERICA BOND .75% 02/15/2042$8,401,9110.8%
UNITED STATES OF AMERICA NOTES .125% 01/15/2023$8,370,7390.8%
UNITED STATES OF AMERICA NOTES .625% 01/15/2026$8,024,4140.7%
UNITED STATES OF AMERICA BOND 2.375% 01/15/2025$7,687,1660.7%
UNITED STATES OF AMERICA BOND 2.375% 01/15/2027$7,207,4980.7%
UNITED STATES OF AMERICA BOND 3.875% 04/15/2029$5,854,5710.5%
TBA UMBS SINGLE FAMILY 30YR 2.5 12/18$5,688,0000.5%
UNITED STATES OF AMERICA NOTES .375% 07/15/2025$5,482,9680.5%
CANADIAN GOVERNMENT REAL RETURN BOND BOND 4% 12/01/2031$5,462,2960.5%
REPUBLIC OF ITALY BOND .417% 05/15/2030$5,203,3020.5%
UNITED STATES OF AMERICA BOND 1.75% 01/15/2028$4,752,5920.4%
REPUBLIC OF ITALY BOND 1.4% 05/26/2025$4,587,1180.4%
UNITED STATES OF AMERICA NOTES .375% 07/15/2027$4,399,6450.4%
UNITED STATES OF AMERICA BOND 2% 01/15/2026$4,144,7070.4%
UNITED STATES OF AMERICA NOTES .125% 07/15/2022$4,069,7920.4%
NYKREDIT REALKREDIT AS 1.5% 10/01/2053$3,657,6390.3%
UNITED STATES OF AMERICA BOND 2.125% 02/15/2040$3,192,8440.3%
UNITED STATES OF AMERICA BOND 1% 02/15/2049$2,828,8520.3%
UNITED STATES OF AMERICA NOTES .125% 04/15/2026$2,609,6780.2%
RUSSIAN FEDERATION BOND 7.65% 04/10/2030$2,473,1380.2%
UNITED STATES OF AMERICA BOND .25% 02/15/2050$2,464,2060.2%
NORDEA KREDIT REALKREDITAKTIESELSKAB 1.5% 10/01/2053$1,845,1860.2%
JAPAN BOND .1% 03/10/2029$1,688,9090.2%
GENERAL ELECTRIC CO 0% 12/21/2046$1,584,3540.1%
JAPAN BOND .101% 03/10/2028$1,546,7310.1%
JAPAN BOND .005% 03/10/2031$1,479,8880.1%
UNICREDIT SPA 7.83% 12/04/2023$1,352,6820.1%
REPUBLIC OF SOUTH AFRICA BOND 8% 01/31/2030$1,192,4440.1%
CONN'S RECEIVABLES FUNDING 2021-A LLC 1.05% 05/15/2026$1,019,7350.1%
REGATTA XX FUNDING LTD 1.244% 10/15/2034$924,2190.1%
MORGAN STANLEY 7.251% 04/25/2023$913,6510.1%
MAGNETITE XXVI LTD 1.21% 07/25/2034$905,8500.1%
BFLD TRUST 1.689% 06/15/2038$858,3710.1%
SLM STUDENT LOAN TRUST 2004-10 .724% 10/25/2029$821,0910.1%
FREDDIE MAC STACR REMIC TRUST 2021-DNA6 1.55% 10/25/2041$817,0970.1%
FREDDIE MAC STRUCTURED AGENCY CREDIT RISK DEBT NOTES 1.848% 11/25/2041$797,5370.1%
CITIZENS FINANCIAL GROUP INC 4.3% 12/03/2025$777,8760.1%
PRUDENTIAL FINANCIAL INC 5.875% 09/15/2042$775,0640.1%
SUZANO AUSTRIA GMBH 2.5% 09/15/2028$771,4920.1%
CANADIAN GOVERNMENT REAL RETURN BOND BOND .55% 12/01/2050$760,4100.1%
AVANT LOANS FUNDING TRUST 2021-REV1 1.21% 07/15/2030$712,1120.1%
DIAMOND ISSUER 2.305% 11/20/2051$639,8430.1%
ENBRIDGE ENERGY PARTNERS LP 7.375% 10/15/2045$613,1980.1%
BELLEMEADE RE 2021-3 LTD 1.05% 09/25/2031$602,2290.1%
LAD AUTO RECEIVABLES TRUST 2021-1 1.3% 08/17/2026$569,4530.1%
LAS VEGAS SANDS CORP 3.9% 08/08/2029$566,4510.1%
OAKTOWN RE VII LTD 1.65% 04/25/2034$558,3110.1%
DIGITAL REALTY TRUST LP 3.6% 07/01/2029$556,5900.1%
TRANSCANADA PIPELINES LTD 6.1% 06/01/2040$545,2100.1%
CITIGROUP COMMERCIAL MORTGAGE TRUST 2015-GC27 3.137% 02/10/2048$543,8580.1%
MADISON PARK FUNDING LI LTD 3.196% 07/19/2034$536,7960.1%
NEUBERGER BERMAN LOAN ADVISERS CLO 43 LTD 1.241% 07/17/2035$535,1820.1%
WEIBO CORP 3.375% 07/08/2030$516,8360.1%
FISERV INC 3.5% 07/01/2029$514,1850.1%
TENCENT HOLDINGS LTD 2.39% 06/03/2030$509,3930.1%
AERCAP IRELAND CAPITAL DAC / AERCAP GLOBAL AVIATION TRUST 3.3% 01/30/2032$508,2320.1%
PIKES PEAK CLO 8 3.247% 07/20/2034$496,2030.0%
PLAINS ALL AMERICAN PIPELINE LP / PAA FINANCE CORP 3.55% 12/15/2029$495,9610.0%
BELLEMEADE RE LTD 1.55% 06/25/2031$483,2670.0%
KYNDRYL HOLDINGS INC 2.05% 10/15/2026$483,2480.0%
OCTANE RECEIVABLES TRUST 2021-2 2.02% 09/20/2028$480,3040.0%
BAIDU INC 1.625% 02/23/2027$475,9210.0%
ADVANCE AUTO PARTS INC 3.9% 04/15/2030$471,4220.0%
CARNIVAL CORP 4% 08/01/2028$469,5570.0%
AB ISSUER LLC 3.734% 07/30/2051$464,0820.0%
OCHSNER LSU HEALTH SYSTEM OF NORTH LOUISIANA 2.51% 05/15/2031$461,1550.0%
ALIBABA GROUP HOLDING LTD 2.125% 02/09/2031$458,0380.0%
DISH DBS CORP 5.25% 12/01/2026$457,4430.0%
UNIVERSITY OF CALIFORNIA 3.071% 05/15/2051$456,8120.0%
FLAGSHIP CREDIT AUTO TRUST 2019-3 2.33% 02/15/2024$443,1880.0%
AIRCASTLE LTD 4.25% 06/15/2026$438,0500.0%
ROCKFORD TOWER CLO 2021-2 LTD 1.273% 07/20/2034$437,9500.0%
AGL CLO 12 LTD 2.98% 07/20/2034$437,7290.0%
UNITED STATES OF AMERICA BOND 3.375% 04/15/2032$436,7150.0%
BALLYROCK CLO 16 LTD 3.035% 07/20/2034$436,6040.0%
CONTINENTAL RESOURCES INC/OK 2.875% 04/01/2032$436,5070.0%
BBCMS 2020-BID MORTGAGE TRUST 2.229% 10/15/2037$434,9810.0%
MOODY'S CORP 4.25% 02/01/2029$426,1380.0%
NISSAN MOTOR CO LTD 4.345% 09/17/2027$420,6210.0%
UPSTART SECURITIZATION TRUST 2021-3 1.66% 07/20/2031$416,7400.0%
CPS AUTO RECEIVABLES TRUST 2021-C 1.69% 06/15/2027$416,2330.0%
FREDDIE MAC STRUCTURED AGENCY CREDIT RISK DEBT NOTES 2.742% 12/25/2029$416,0930.0%
CREDIT SUISSE GROUP AG 6.375% CALLABLE$415,8380.0%
COMM 2015-CCRE22 MORTGAGE TRUST 3.309% 03/10/2048$411,1030.0%
BX COMMERCIAL MORTGAGE TRUST 2019-IMC 2.239% 04/15/2034$405,7370.0%
SIRIUS XM RADIO INC 4% 07/15/2028$404,1730.0%
CENOVUS ENERGY INC 4.4% 04/15/2029$402,4490.0%
ENA MASTER TRUST 4% 05/19/2048$397,1070.0%
WESTINGHOUSE AIR BRAKE TECHNOLOGIES CORP 4.4% 03/15/2024$391,9620.0%
OCP CLO 2020-18 LTD 1.222% 07/20/2032$391,5310.0%
ALPEK SAB DE CV 3.25% 02/25/2031$391,0820.0%
HARLEY-DAVIDSON FINANCIAL SERVICES INC 3.35% 06/08/2025$389,4910.0%
BNP PARIBAS SA 2.871% 04/19/2032$386,5240.0%
CORP FINANCIERA DE DESARROLLO SA BOND 2.4% 09/28/2027$386,4190.0%
CONTINENTAL RESOURCES INC/OK 5.75% 01/15/2031$386,1990.0%
BAT CAPITAL CORP 2.259% 03/25/2028$383,2740.0%
CREDIT SUISSE GROUP AG 3.091% 05/14/2032$381,3240.0%
OLEODUCTO CENTRAL SA 4% 07/14/2027$379,3220.0%
NETFLIX INC 5.875% 11/15/2028$378,7070.0%
AIR LEASE CORP 4.625% 10/01/2028$378,0070.0%
COMM 2015-CCRE25 MORTGAGE TRUST 3.759% 08/10/2048$375,4080.0%
BAMLL COMMERCIAL MORTGAGE SECURITIES TRUST 2017-SCH 1.089% 11/15/2033$374,6230.0%
TRIANGLE RE 2021-3 LTD 1.95% 02/25/2034$374,4130.0%
FLATIRON CLO 21 LTD 3.047% 07/19/2034$373,7840.0%
TRAINGLE RE 2020-1 LTD 3.992% 10/25/2030$371,0480.0%
MVW 2021-2 LLC 1.83% 05/20/2039$367,8090.0%
BALBOA BAY LOAN FUNDING 2021-1 LTD 1.334% 07/20/2034$367,0210.0%
WELLS FARGO COMMERCIAL MORTGAGE TRUST 2015-SG1 3.789% 09/15/2048$366,4130.0%
FEDERAL NATIONAL MORTGAGE ASSOCIATION 2.05% 11/25/2041$359,8940.0%
ELMWOOD CLO IX LTD 3.085% 07/20/2034$359,3650.0%
ATALAYA EQUIPMENT LEASING TRUST 21-1 .326% 11/15/2022$359,1540.0%
CGRBS COMMERCIAL MORTGAGE TRUST 2013-VN05 3.369% 03/13/2035$357,9740.0%
MORGAN STANLEY 7.251% 05/17/2023$355,6470.0%
ORACLE CORP 3.95% 03/25/2051$348,6100.0%
CEMEX SAB DE CV 3.875% 07/11/2031$345,1430.0%
ARDAGH METAL PACKAGING FINANCE USA LLC / ARDAGH METAL PACKAGING FINANCE PLC 3.25% 09/01/2028$338,4030.0%
VISTRA OPERATIONS CO LLC 4.375% 05/01/2029$324,4150.0%
TOBACCO SETTLEMENT FINANCE AUTHORITY 3% 06/01/2035$324,3460.0%
SOCIETE GENERALE SA 8% CALLABLE$322,7880.0%
WFRBS COMMERCIAL MORTGAGE TRUST 2014-C19 4.101% 03/15/2047$317,2720.0%
DISH DBS CORP 5.75% 12/01/2028$314,9180.0%
DUKE ENERGY CAROLINAS NC STORM FUNDING LLC 2.617% 07/01/2041$310,4280.0%
NXP BV / NXP FUNDING LLC 5.55% 12/01/2028$308,7070.0%
ING BANK NV 2.625% 12/05/2022$306,6490.0%
FEDERATION OF MALAYSIA BOND 3.882% 03/10/2022$306,6270.0%
CENCOSUD SA 5.15% 02/12/2025$306,1790.0%
MDC HOLDINGS INC 6% 01/15/2043$304,9250.0%
GOLDENTREE LOAN MANAGEMENT US CLO 7 LTD 1.202% 04/20/2034$299,4860.0%
CREDIT SUISSE GROUP AG 4.194% 04/01/2031$299,3440.0%
NXP BV / NXP FUNDING LLC / NXP USA INC 3.4% 05/01/2030$299,0140.0%
NATURA COSMETICOS SA 4.125% 05/03/2028$290,9520.0%
BERKSHIRE HATHAWAY ENERGY CO 6.125% 04/01/2036$287,3300.0%
BANK OF AMERICA CORP 3.419% 12/20/2028$286,8870.0%
CARVANA AUTO RECEIVABLES TRUST 2021-N3 1.02% 06/12/2028$286,8760.0%
ROSS STORES INC 4.7% 04/15/2027$285,7560.0%
FHF TRUST 2021-2 .83% 12/15/2026$285,0890.0%
NELNET STUDENT LOAN TRUST 2021-C 2.53% 04/20/2062$284,8130.0%
COMM 2014-UBS4 MORTGAGE TRUST 3.694% 08/10/2047$284,1580.0%
FORD CREDIT AUTO OWNER TRUST 2021-REV1 2.31% 10/17/2033$283,6610.0%
AERCAP IRELAND CAPITAL DAC / AERCAP GLOBAL AVIATION TRUST 6.5% 07/15/2025$282,7430.0%
ENGIE ENERGIA CHILE SA 3.4% 01/28/2030$281,9980.0%
AVIS BUDGET RENTAL CAR FUNDING AESOP LLC 3.7% 09/20/2024$281,9960.0%
GLOBAL PAYMENTS INC 3.2% 08/15/2029$280,9370.0%
SK HYNIX INC 2.375% 01/19/2031$274,3950.0%
BALLYROCK CLO 15 LTD 3.224% 04/15/2034$272,9550.0%
INDUSTRIAS PENOLES SAB DE CV 4.75% 08/06/2050$272,8600.0%
INRETAIL CONSUMER 3.25% 03/22/2028$272,8490.0%
MORGAN STANLEY 3.875% 04/29/2024$270,9330.0%
CSAIL 2015-C4 COMMERCIAL MORTGAGE TRUST 3.808% 11/15/2048$269,4800.0%
ALLISON TRANSMISSION INC 3.75% 01/30/2031$269,0580.0%
UNITED STATES OF AMERICA BOND 1.625% 11/15/2050$268,5700.0%
ARAB REPUBLIC OF EGYPT BOND 5.875% 02/16/2031$266,5640.0%
AVIS BUDGET RENTAL CAR FUNDING AESOP LLC 4% 03/20/2025$264,7350.0%
DIAMOND INFRASTRUCTURE FUNDING LLC 2.355% 04/15/2049$264,0870.0%
AIRCASTLE LTD 2.85% 01/26/2028$262,5560.0%
GFL ENVIRONMENTAL INC 3.5% 09/01/2028$260,9970.0%
NELNET STUDENT LOAN TRUST 2021-D 2.9% 04/20/2062$260,0300.0%
INDONESIA ASAHAN ALUMINIUM PERSERO PT BOND 4.75% 05/15/2025$259,1720.0%
FOX CORP 4.709% 01/25/2029$258,5520.0%
COLLATERALIZED MTGE OBLIGATION OR GLOBAL CMO 3.647% 03/15/2035$257,6150.0%
PARKER-HANNIFIN CORP 3.25% 06/14/2029$255,5550.0%
ENI SPA 4.25% 05/09/2029$254,6960.0%
BROADCOM INC 4.15% 11/15/2030$251,6820.0%
EAGLE RE 2021-2 LTD 2.1% 04/25/2034$251,4780.0%
DRYDEN 78 CLO LTD 2.072% 04/17/2033$250,3440.0%
NEW MOUNTAIN CLO 3 LTD 1.311% 10/20/2034$249,7040.0%
KIMBERLY-CLARK DE MEXICO SAB DE CV 2.431% 07/01/2031$249,5960.0%
GCI FUNDING I LLC 2.38% 06/18/2046$249,1660.0%
AFFIRM ASSET SECURITIZATION TRUST 2021-Z2 1.17% 11/16/2026$248,2040.0%
PPM CLO 5 LTD 3.169% 10/18/2034$247,4620.0%
UNICREDIT SPA 3.127% 06/03/2032$246,8220.0%
NEUBERGER BERMAN LOAN ADVISERS CLO 42 LTD 2.922% 07/16/2035$246,3160.0%
ELEVATION CLO 2020-11 LTD 2.324% 04/15/2033$243,7120.0%
NATIONWIDE MUTUAL INSURANCE CO 9.375% 08/15/2039$243,6470.0%
CENTENE CORP 2.625% 08/01/2031$243,4030.0%
WYNN MACAU LTD 5.625% 08/26/2028$242,5730.0%
JPMBB COMMERCIAL MORTGAGE SECURITIES TRUST 2014-C21 3.775% 08/15/2047$242,1020.0%
JPMBB COMMERCIAL MORTGAGE SECURITIES TRUST 2015-C31 3.801% 08/15/2048$240,5180.0%
FREDDIE MAC STACR REMIC TRUST 2021-DNA5 1.7% 01/25/2034$238,1430.0%
BELLEMEADE RE 2019-3 LTD 1.692% 07/25/2029$237,1890.0%
GS MORTGAGE SECURITIES TRUST 2014-GC22 3.862% 06/10/2047$237,1490.0%
REALKREDIT DANMARK A/S 1.5% 10/01/2053$236,1810.0%
MIZUHO FINANCIAL GROUP INC 2.226% 05/25/2026$233,8820.0%
GS MORTGAGE SECURITIES TRUST 2011-GC5 5.209% 08/10/2044$233,7250.0%
COMISION FEDERAL DE ELECTRICIDAD BOND 3.348% 02/09/2031$231,9620.0%
COMM 2015-DC1 MORTGAGE TRUST 3.35% 02/10/2048$231,6870.0%
1011778 BC ULC / NEW RED FINANCE INC 3.5% 02/15/2029$230,1700.0%
PROSUS NV 3.68% 01/21/2030$228,5730.0%
VORNADO REALTY LP 3.4% 06/01/2031$228,1370.0%
PMT CREDIT RISK TRANSFER TRUST 2019-2R 2.84% 05/27/2023$226,2290.0%
DANSKE BANK A/S 3.875% 09/12/2023$224,9530.0%
BHMS 2018-ATLS 1.339% 07/15/2035$223,2800.0%
ALTRIA GROUP INC 3.4% 05/06/2030$222,5370.0%
UBS COMMERCIAL MORTGAGE TRUST 2018-C8 3.983% 02/15/2051$222,1290.0%
DOMINICAN REPUBLIC BOND 4.875% 09/23/2032$220,4500.0%
DOMINO'S PIZZA MASTER ISSUER LLC 2.662% 04/25/2051$220,0450.0%
SLM CORP 4.2% 10/29/2025$217,2140.0%
EXPEDIA GROUP INC 4.625% 08/01/2027$216,9010.0%
LUMEN TECHNOLOGIES INC 4.5% 01/15/2029$215,7110.0%
INTESA SANPAOLO SPA 5.017% 06/26/2024$213,7210.0%
ALPEK SAB DE CV 5.375% 08/08/2023$212,3300.0%
CSC HOLDINGS LLC 6.5% 02/01/2029$211,7240.0%
BELLEMEADE RE LTD 3% 03/25/2031$211,2900.0%
MORGAN STANLEY CAPITAL I TRUST 2016-UBS12 3.596% 12/15/2049$210,0540.0%
OMAN GOVERNMENT INTERNATIONAL BOND BOND 6.25% 01/25/2031$209,9960.0%
STATE OF QATAR BOND 3.875% 04/23/2023$208,6440.0%
ENERGY TRANSFER LP 6.25% 04/15/2049$208,0330.0%
OMAN GOVERNMENT INTERNATIONAL BOND BOND 4.875% 02/01/2025$206,2300.0%
BREX COMMERCIAL CHARGE CARD MASTER TRUST 2.09% 07/15/2024$205,2470.0%
SYNCHRONY FINANCIAL 2.875% 10/28/2031$204,1520.0%
JAZZ SECURITIES DAC 4.375% 01/15/2029$204,1410.0%
NATWEST GROUP PLC 1.682% 06/25/2024$203,6210.0%
WORLD FINANCIAL NETWORK CREDIT CARD MASTER TRUST 3.04% 04/15/2026$202,7900.0%
FORD MOTOR CREDIT CO LLC 3.55% 10/07/2022$202,7200.0%
MICRON TECHNOLOGY INC 4.185% 02/15/2027$201,6890.0%
DEUTSCHE BANK AG/NEW YORK NY 3.961% 11/26/2025$201,6200.0%
GENERAL ELECTRIC CO 3.45% 05/01/2027$201,5950.0%
MITSUBISHI HC CAPITAL INC 3.406% 02/28/2022$200,9020.0%
GOLDMAN SACHS GROUP INC/THE 6.79% 08/30/2023$200,2640.0%
MSCG TRUST 2018-SELF .989% 10/15/2037$200,0920.0%
PRUDENTIAL FINANCIAL INC 5.2% 03/15/2044$199,1820.0%
EAGLE RE 2020-1 LTD .992% 01/25/2030$198,1230.0%
GS MORTGAGE SECURITIES CORP TRUST 2019-BOCA 1.289% 06/15/2038$197,4520.0%
GS MORTGAGE SECURITIES TRUST 2013-G1 3.557% 04/10/2031$196,3670.0%
INTERPUBLIC GROUP OF COS INC/THE 4.65% 10/01/2028$194,0680.0%
STANDARD CHARTERED PLC 1.639% CALLABLE$194,0000.0%
WELLS FARGO & CO 3.584% 05/22/2028$193,9280.0%
CSN RESOURCES SA 4.625% 06/10/2031$193,7490.0%
REPUBLIC OF COLOMBIA BOND 3.125% 04/15/2031$193,6350.0%
CLNY TRUST 2019-IKPR 2.114% 11/15/2038$188,8310.0%
ALBERTSONS COS INC / SAFEWAY INC / NEW ALBERTSONS LP / ALBERTSONS LLC 3.5% 03/15/2029$187,5980.0%
GLENCORE FUNDING LLC 4% 03/27/2027$187,5140.0%
AXALTA COATING SYSTEMS LLC 3.375% 02/15/2029$186,4740.0%
FEDERAL NATIONAL MORTGAGE ASSOCIATION 4% 12/25/2050$184,3210.0%
RADNOR RE 2020-1 LTD 1.042% 01/25/2030$183,9250.0%
AVIATION CAPITAL GROUP LLC 1.95% 01/30/2026$183,6350.0%
BX TRUST 2018-EXCL 1.177% 09/15/2037$180,7400.0%
COLLEGE AVE STUDENT LOANS 2021-C LLC 2.72% 07/26/2055$179,7020.0%
WELLS FARGO COMMERCIAL MORTGAGE TRUST 2016-NXS6 4.441% 11/15/2049$174,1320.0%
BELLEMEADE RE 2019-1 LTD 1.842% 03/25/2029$172,8250.0%
LIMA METRO LINE 2 FINANCE LTD 5.875% 07/05/2034$171,4360.0%
CITIGROUP INC 5.95% CALLABLE$171,1630.0%
FREDDIE MAC STACR REMIC TRUST 2020-DNA5 2.85% 10/25/2050$170,3720.0%
UBS COMMERCIAL MORTGAGE TRUST 2018-C10 4.313% 05/15/2051$169,2930.0%
RADNOR RE 2019-2 LTD 1.842% 06/25/2029$168,9730.0%
UBS COMMERCIAL MORTGAGE TRUST 3.203% 10/15/2052$167,8820.0%
CITY OF NEW YORK NY 1.923% 08/01/2031$167,6960.0%
FEDERAL NATIONAL MORTGAGE ASSOCIATION 3.642% 07/25/2029$165,6560.0%
CSAIL 2015-C2 COMMERCIAL MORTGAGE TRUST 3.504% 06/15/2057$164,1680.0%
CFCRE COMMERCIAL MORTGAGE TRUST 2016-C4 3.283% 05/10/2058$163,7700.0%
AFFIRM ASSET SECURITIZATION TRUST 2021-Z1 1.07% 08/15/2025$160,6380.0%
INGEVITY CORP 3.875% 11/01/2028$160,2480.0%
GS MORTGAGE SECURITIES CORP TRUST 2019-SMP 1.239% 08/15/2032$159,9730.0%
EMBRAER NETHERLANDS FINANCE BV 5.4% 02/01/2027$159,0600.0%
LEVI STRAUSS & CO 3.5% 03/01/2031$158,8310.0%
MATTEL INC 3.75% 04/01/2029$158,7540.0%
MATTEL INC 3.375% 04/01/2026$158,6430.0%
WELLS FARGO COMMERCIAL MORTGAGE TRUST 2016-LC25 4.498% 12/15/2059$157,2490.0%
AMERICAN WATER CAPITAL CORP 3.45% 06/01/2029$153,8890.0%
DELTA AIR LINES INC / SKYMILES IP LTD 4.75% 10/20/2028$151,3600.0%
PORT AUTHORITY OF NEW YORK & NEW JERSEY 1.086% 07/01/2023$151,1880.0%
AIRCASTLE LTD 5.25% 08/11/2025$150,0580.0%
NEWELL BRANDS INC 4.7% 04/01/2026$146,9330.0%
HOME RE 2020-1 LTD 3.342% 10/25/2030$146,6250.0%
GSF MORTGAGE CORP 2.435% 08/15/2026$146,6140.0%
AVIATION CAPITAL GROUP LLC 5.5% 12/15/2024$146,5070.0%
FEDERAL HOME LOAN MORTGAGE CORP 6.008% 06/25/2050$145,9800.0%
NEIGHBORLY ISSUER LLC 3.584% 04/30/2051$145,6720.0%
SYNCHRONY FINANCIAL 4.5% 07/23/2025$144,4680.0%
FEDERAL HOME LOAN MORTGAGE CORP 4.5% 11/25/2050$143,5760.0%
BROADCOM INC 4.11% 09/15/2028$143,4410.0%
ATALAYA EQUIPMENT LEASING TRUST 21-1 2.08% 02/15/2027$141,6340.0%
GE CAPITAL EUROPEAN FUNDING UNLIMITED CO 4.625% 02/22/2027$139,9280.0%
CITIGROUP COMMERCIAL MORTGAGE TRUST 2016-GC36 3.616% 02/10/2049$139,4430.0%
CAJUN GLOBAL LLC 3.931% 11/20/2051$139,1580.0%
COMM 2015-CCRE24 MORTGAGE TRUST 3.696% 08/10/2048$138,9460.0%
BX COMMERCIAL MORTGAGE TRUST 2019-IMC 1.089% 04/15/2034$138,9040.0%
MISSION LANE CREDIT CARD MASTER TRUST 2.24% 09/15/2026$138,6230.0%
CITIGROUP INC 3.98% 03/20/2030$138,5700.0%
INEOS QUATTRO FINANCE 2 PLC 2.5% 01/15/2026$136,6120.0%
VENTURE GLOBAL CALCASIEU PASS LLC 4.125% 08/15/2031$136,2450.0%
JPMBB COMMERCIAL MORTGAGE SECURITIES TRUST 2015-C30 3.822% 07/15/2048$134,4390.0%
CLARIOS GLOBAL LP / CLARIOS US FINANCE CO 4.375% 05/15/2026$133,3930.0%
HARDEE'S FUNDING LLC 3.981% 12/20/2050$133,2250.0%
TRAINGLE RE 2021-1 LTD 3.092% 08/25/2033$133,1050.0%
JYSKE REALKREDIT A/S 1.5% 10/01/2053$132,8860.0%
VENTURE GLOBAL CALCASIEU PASS LLC 3.875% 08/15/2029$131,7630.0%
CITIGROUP INC 4.15% CALLABLE$131,2540.0%
HARDEE'S FUNDING LLC 5.71% 06/20/2048$129,3460.0%
T-MOBILE USA INC 2.875% 02/15/2031$128,9280.0%
BROADCOM INC 3.187% 11/15/2036$128,1370.0%
CONNECTICUT AVENUE SECURITIES TRUST 2020-R01 2.142% 01/25/2040$128,0740.0%
CIT GROUP INC 5.25% 03/07/2025$127,8050.0%
CITIGROUP COMMERCIAL MORTGAGE TRUST 2017-P8 3.789% 09/15/2050$126,5360.0%
LSTAR COMMERCIAL MORTGAGE TRUST 2016-4 2.579% 03/10/2049$125,9100.0%
DELTA AIR LINES INC / SKYMILES IP LTD 4.5% 10/20/2025$124,5740.0%
CSAIL 2015-C3 COMMERCIAL MORTGAGE TRUST 3.718% 08/15/2048$124,2440.0%
JPMORGAN CHASE & CO 3.599% CALLABLE$122,1490.0%
AVIATION CAPITAL GROUP LLC 1.95% 09/20/2026$120,3360.0%
NATIXIS COMMERCIAL MORTGAGE SECURITIES TRUST 2019-MILE 1.589% 07/15/2036$120,1660.0%
BCP TRUST 2021-330N .889% 06/15/2038$118,0970.0%
DELL INTERNATIONAL LLC / EMC CORP 6.02% 06/15/2026$115,3200.0%
ASHFORD HOSPITALITY TRUST 2018-KEYS 1.089% 06/15/2035$113,5000.0%
CABLE ONE INC 4% 11/15/2030$110,8620.0%
AFFIRM ASSET SECURITIZATION TRUST 2020-A 2.1% 02/18/2025$110,3840.0%
HESS MIDSTREAM OPERATIONS LP 5.625% 02/15/2026$109,5720.0%
DBWF 2018-GLKS MORTGAGE TRUST 1.119% 12/19/2030$109,5420.0%
CITIGROUP COMMERCIAL MORTGAGE TRUST 2015-GC35 3.818% 11/10/2048$107,7970.0%
MARATHON PETROLEUM CORP 6.5% 03/01/2041$106,6960.0%
INVITATION HOMES 2018-SFR2 TRUST 1.371% 06/17/2037$106,1120.0%
FEDERAL NATIONAL MORTGAGE ASSOCIATION 4.542% 01/25/2029$105,6390.0%
CCO HOLDINGS LLC / CCO HOLDINGS CAPITAL CORP 4.5% 06/01/2033$104,6150.0%
IHS MARKIT LTD 4.25% 05/01/2029$104,1990.0%
JPMORGAN CHASE & CO 3.932% CALLABLE$102,2910.0%
CIGNA CORP 4.375% 10/15/2028$102,0830.0%
REALKREDIT DANMARK A/S 1% 10/01/2050$101,8030.0%
RADNOR RE 2019-1 LTD 2.042% 02/25/2029$101,6030.0%
STACR TRUST 2018-DNA3 2.192% 09/25/2048$100,7570.0%
CONSUMER LOAN UNDERLYING BOND CLUB CREDIT TRUST 2020-P1 2.92% 03/15/2028$99,5820.0%
BX COMMERCIAL MORTGAGE TRUST 2019-IMC 1.989% 04/15/2034$98,8050.0%
FEDERAL HOME LOAN MORTGAGE CORP 4% 09/25/2050$98,3430.0%
FREDDIE MAC STACR TRUST 2019-FTR2 2.242% 11/25/2048$97,9000.0%
INFOR INC 1.75% 07/15/2025$97,4310.0%
VOYA CLO 2019-1 LTD 2.974% 04/15/2031$97,3480.0%
WELLS FARGO & CO 3.9% CALLABLE$96,6360.0%
ROYAL CARIBBEAN CRUISES LTD 11.5% 06/01/2025$95,0160.0%
FEDERAL NATIONAL MORTGAGE ASSOCIATION 6.108% 12/25/2047$94,6730.0%
FEDERAL NATIONAL MORTGAGE ASSOCIATION 5.958% 04/25/2044$93,8750.0%
SANTANDER HOLDINGS USA INC 4.4% 07/13/2027$93,8150.0%
BANK OF AMERICA CORP 6.415% 10/09/2024$91,7400.0%
BAMLL COMMERCIAL MORTGAGE SECURITIES TRUST 2013-WBRK 3.652% 03/10/2037$91,6070.0%
CITIGROUP INC 4% CALLABLE$91,0000.0%
ROYAL CARIBBEAN CRUISES LTD 10.875% 06/01/2023$90,3810.0%
NYKREDIT REALKREDIT AS 2% 10/01/2053$90,1000.0%
CONNECTICUT AVENUE SECURITIES TRUST 2020-R02 2.092% 01/25/2040$89,0050.0%
ASSET BACKED SECURITIES CORP HOME EQUITY LOAN TRUST SERIES OOMC 2006-HE3 .422% 03/25/2036$87,9350.0%
TRANSDIGM INC 6.25% 03/15/2026$87,2710.0%
FEDERAL HOME LOAN MORTGAGE CORP 3.5% 12/25/2050$86,2330.0%
T-MOBILE USA INC 2.625% 04/15/2026$86,1610.0%
FREDDIE MAC STACR 2019-HQA3 1.942% 09/25/2049$85,3980.0%
PETROLEOS MEXICANOS BOND 6.75% 09/21/2047$82,3320.0%
BELLEMEADE RE 2018-3 LTD 1.942% 10/25/2028$81,8780.0%
FREDDIE MAC STACR REMIC TRUST 2020-DNA1 1.792% 01/25/2050$80,3650.0%
BAT CAPITAL CORP 2.726% 03/25/2031$74,5780.0%
FEDERAL HOME LOAN MORTGAGE CORP 6.061% 06/15/2047$73,8960.0%
PRUDENTIAL FINANCIAL INC 5.375% 05/15/2045$73,8870.0%
DISCOVERY COMMUNICATIONS LLC 5.2% 09/20/2047$73,8260.0%
FEDERAL HOME LOAN MORTGAGE CORP 5.958% 02/25/2050$71,2500.0%
GSF MORTGAGE CORP 1.433% 08/15/2026$71,2250.0%
TRANSOCEAN POSEIDON LTD 6.875% 02/01/2027$68,5570.0%
JPMBB COMMERCIAL MORTGAGE SECURITIES TRUST 2014-C21 4.341% 08/15/2047$67,5920.0%
RADNOR RE 2020-2 LTD 4.692% 10/25/2030$65,6420.0%
FEDERAL NATIONAL MORTGAGE ASSOCIATION 6.108% 10/25/2047$63,9600.0%
CITIGROUP INC 6.39% 09/29/2024$63,4870.0%
UPSTART SECURITIZATION TRUST 2020-3 1.702% 11/20/2030$61,3930.0%
CONNECTICUT AVENUE SECURITIES TRUST 2019-R07 2.192% 10/25/2039$61,1640.0%
FEDERAL NATIONAL MORTGAGE ASSOCIATION 6.058% 08/25/2047$60,7610.0%
JPMORGAN CHASE & CO 3.451% CALLABLE$59,5390.0%
AVIATION CAPITAL GROUP LLC 4.875% 10/01/2025$58,7980.0%
AIRCASTLE LTD 4.125% 05/01/2024$56,7540.0%
FREDDIE MAC MULTIFAMILY STRUCTURED CREDIT RISK 2.05% 01/25/2051$54,7110.0%
ALTRIA GROUP INC 4.8% 02/14/2029$54,4010.0%
T-MOBILE USA INC 2.625% 02/15/2029$54,1120.0%
JPMORGAN CHASE & CO 6.64% 12/20/2023$52,7150.0%
PMT CREDIT RISK TRANSFER TRUST 2020-1R 2.44% 02/27/2023$52,4560.0%
GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 6.109% 09/20/2047$50,9760.0%
INVITATION HOMES 2018-SFR3 TRUST 1.391% 07/17/2037$50,7510.0%
FREDDIE MAC STACR TRUST 2019-DNA4 2.042% 10/25/2049$49,6170.0%
SUZANO AUSTRIA GMBH 3.75% 01/15/2031$48,8760.0%
GENERAL MOTORS CO 6.125% 10/01/2025$48,4830.0%
FEDERAL NATIONAL MORTGAGE ASSOCIATION 5.908% 10/25/2046$48,3670.0%
FEDERAL NATIONAL MORTGAGE ASSOCIATION 4.342% 04/25/2029$48,3580.0%
AVIATION CAPITAL GROUP LLC 3.5% 11/01/2027$47,8530.0%
CENTENE CORP 4.625% 12/15/2029$47,1440.0%
ONEOK INC 6.35% 01/15/2031$46,5590.0%
FEDERAL NATIONAL MORTGAGE ASSOCIATION 6.008% 12/25/2044$46,2320.0%
FEDERAL NATIONAL MORTGAGE ASSOCIATION 4.092% 05/25/2025$45,4910.0%
AVIATION CAPITAL GROUP LLC 4.375% 01/30/2024$45,3980.0%
FEDERAL NATIONAL MORTGAGE ASSOCIATION 4.442% 05/25/2029$45,3020.0%
VOLCAN CIA MINERA SAA 4.375% 02/11/2026$43,0870.0%
WESTINGHOUSE AIR BRAKE TECHNOLOGIES CORP 3.2% 06/15/2025$43,0210.0%
GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 6.109% 08/20/2047$42,8130.0%
ONEOK PARTNERS LP 6.125% 02/01/2041$38,2520.0%
DISCOVERY COMMUNICATIONS LLC 5.3% 05/15/2049$36,9680.0%
NEWELL BRANDS INC 4.875% 06/01/2025$36,7880.0%
BROADCOM INC 3.137% 11/15/2035$36,4070.0%
AT&T INC 4.3% 12/15/2042$36,2630.0%
T-MOBILE USA INC 3.375% 04/15/2029$33,2550.0%
CCO HOLDINGS LLC / CCO HOLDINGS CAPITAL CORP 4.5% 08/15/2030$32,3100.0%
CONNECTICUT AVENUE SECURITIES TRUST 2019-R06 2.192% 09/25/2039$31,3410.0%
MORGAN STANLEY 3.734% CALLABLE$31,0760.0%
FEDERAL NATIONAL MORTGAGE ASSOCIATION 6.448% 12/25/2041$30,9590.0%
FEDERAL NATIONAL MORTGAGE ASSOCIATION 5.792% 04/25/2028$30,7590.0%
AT&T INC 3.5% 09/15/2053$27,3220.0%
AIR LEASE CORP 2.875% 01/15/2026$26,7000.0%
DISCOVERY COMMUNICATIONS LLC 4.65% 05/15/2050$26,1370.0%
BELLEMEADE RE 2020-4 LTD 2.692% 06/25/2030$25,8650.0%
IHS MARKIT LTD 4.75% 08/01/2028$23,1860.0%
FIRST INVESTORS AUTO OWNER TRUST 2020-1 1.49% 01/15/2025$22,7600.0%
MARRIOTT INTERNATIONAL INC/MD 5.75% 05/01/2025$22,5870.0%
PLAINS ALL AMERICAN PIPELINE LP / PAA FINANCE CORP 4.5% 12/15/2026$20,7880.0%
BELLEMEADE RE 2020-2 LTD 3.292% 08/26/2030$20,3770.0%
FEDERAL NATIONAL MORTGAGE ASSOCIATION 5.092% 07/25/2025$18,6270.0%
FREDDIE MAC STACR TRUST 2019-DNA3 2.142% 07/25/2049$17,8550.0%
CENOVUS ENERGY INC 4.25% 04/15/2027$15,2670.0%
AIR LEASE CORP 3.625% 04/01/2027$14,8530.0%
GUARDIAN LIFE INSURANCE CO OF AMERICA/THE 4.85% 01/24/2077$14,7520.0%
TERRAFORM GLOBAL OPERATING LLC 6.125% 03/01/2026$14,3250.0%
CONNECTICUT AVENUE SECURITIES TRUST 2019-R04 2.192% 06/25/2039$13,1610.0%
GSF MORTGAGE CORP 2.638% 08/15/2026$12,1100.0%
SPECTRUM BRANDS INC 5.75% 07/15/2025$10,1970.0%
FEDERAL NATIONAL MORTGAGE ASSOCIATION 5.092% 07/25/2025$8,7630.0%
CONNECTICUT AVENUE SECURITIES TRUST 2019-R05 2.092% 07/25/2039$8,2680.0%
EXPEDIA GROUP INC 6.25% 05/01/2025$5,6790.0%
FEDERAL NATIONAL MORTGAGE ASSOCIATION 4.092% 05/25/2025$5,0880.0%
AVIATION CAPITAL GROUP LLC 4.125% 08/01/2025$3,1990.0%
 
Collective Trusts/Mutual Funds
Underlying Fund HoldingsMarket Value%
U.S. TREASURY INFLATION PROTECTED SECURITIES FUND$259,324,16523.4%
 
Short-Term/Cash
Underlying Fund HoldingsMarket Value%
UNITED STATES OF AMERICA BILL ZERO CPN 19/MAY/2022$13,130,0621.2%
UNITED STATES OF AMERICA BILL ZERO CPN 21/APR/2022$8,627,2190.8%
BLACKROCK TEMP FUND - INST SHARES FUND 24$7,935,8070.7%
JPMORGAN PRIME MONEY MARKET FUND FUNDS VARIABLE$7,935,8060.7%
UNITED STATES OF AMERICA BILL ZERO CPN 09/DEC/2021$6,931,0610.6%
UNITED STATES OF AMERICA BILL ZERO CPN 02/DEC/2021$4,789,9970.4%
UNITED STATES OF AMERICA BILL ZERO CPN 17/FEB/2022$4,504,5340.4%
UNITED STATES OF AMERICA BILL ZERO CPN 03/NOV/2022$4,501,1690.4%
UNITED STATES OF AMERICA BILL ZERO CPN 13/JAN/2022$3,334,8900.3%
UNITED STATES OF AMERICA BILL ZERO CPN 06/JAN/2022$3,334,8610.3%
UNITED STATES OF AMERICA BILL ZERO CPN 20/JAN/2022$3,334,7920.3%
UNITED STATES OF AMERICA BILL ZERO CPN 27/JAN/2022$3,334,7760.3%
 
Other
Underlying Fund HoldingsMarket Value%
POUND STERLING$1,122,5440.1%
SWAP/02/26/2025/P:USD 1.58900 /R:USD/USCPI/1M$1,090,1471.1%
SWAP/07/15/2026/P:USD 2.79250 /R:USD/USCPI/1M$936,8221.8%
SWAP/01/15/2023/P:USD 3.35500 /R:USD/USCPI/1M$817,5362.4%
SWAP/07/15/2025/P:USD 1.59500 /R:USD/USCPI/1M$752,0570.7%
SWAP/01/15/2025/P:USD 2.44000 /R:USD/USCPI/1M$611,2030.9%
US DOLLAR$593,0000.1%
SWAP/01/15/2025/P:USD 0.78000 /R:USD/USCPI/1M$581,3630.4%
US DOLLAR$575,5550.1%
CANADIAN DOLLAR$511,1890.1%
US DOLLAR$430,5350.0%
SWAP/07/15/2026/P:USD 2.89600 /R:USD/USCPI/1M$292,8400.6%
EURO$288,9130.0%
SWAP/07/15/2026/P:USD 2.90800 /R:USD/USCPI/1M$283,9840.6%
SWAP/07/15/2028/P:USD 2.42350 /R:USD/USCPI/1M$276,1110.3%
US 5YR NOTE (CBT) BOND 31/MAR/2022 FVH2 COMDTY$270,6917.1%
SWAP/01/15/2027/P:USD 2.84250 /R:USD/USCPI/1M$265,0630.7%
SWAP/01/15/2026/P:USD 2.32200 /R:USD/USCPI/1M$262,6280.4%
SWAP/06/24/2022/P:USD 3.52000 /R:USD/USCPI/1M$255,4130.8%
SWAP/07/15/2024/P:USD 1.85500 /R:USD/USCPI/1M$247,0030.3%
CURRENCY CONTRACT - USD$222,628-0.6%
SWAP/01/15/2023/P:USD 2.31000 /R:USD/USCPI/1M$213,3160.4%
SWAP/01/15/2025/P:USD 1.58000 /R:USD/USCPI/1M$209,3320.2%
SWAP/01/15/2028/P:USD 2.79850 /R:USD/USCPI/1M$197,5650.5%
SWAP/07/15/2023/P:USD 2.18750 /R:USD/USCPI/1M$192,7830.3%
SWAP/01/15/2025/P:USD 1.96750 /R:USD/USCPI/1M$178,9810.2%
SWAP/06/05/2027/P:USD 0.55750 /R:USD/LIBOR/3M$171,7310.4%
SWAP/07/15/2022/P:USD 1.47900 /R:USD/USCPI/1M$170,7650.2%
SWAP/07/15/2026/P:USD 2.40750 /R:USD/USCPI/1M$161,2810.2%
SWAP/01/15/2023/P:USD 2.18400 /R:USD/USCPI/1M$161,0630.3%
SWAP/04/15/2032/P:USD 2.60750 /R:USD/USCPI/1M$143,5130.3%
EURO$140,1590.0%
SWAP/07/15/2023/P:USD 3.36875 /R:USD/USCPI/1M$135,8370.4%
SWAP/07/15/2022/P:USD 1.57500 /R:USD/USCPI/1M$132,1670.2%
SWAP/07/15/2023/P:USD 3.33400 /R:USD/USCPI/1M$131,7960.4%
SWAP/04/15/2032/P:USD 2.60500 /R:USD/USCPI/1M$127,2980.3%
SWAP/07/15/2023/P:USD 2.35300 /R:USD/USCPI/1M$123,6990.3%
SWAP/09/07/2031/P:USD 2.51900 /R:USD/USCPI/1M$109,5310.4%
SWAP/03/05/2026/P:USD 2.41875 /R:USD/USCPI/1M$109,2920.2%
SWAP/07/15/2022/P:USD 1.76000 /R:USD/USCPI/1M$103,1200.2%
RUSSIAN RUBLE$97,9070.0%
CURRENCY CONTRACT - USD$97,381-0.6%
US 10YR NOTE (CBT) BOND 22/MAR/2022 TYH2 COMDTY$94,0281.1%
EURO$93,9810.0%
CURRENCY CONTRACT - USD$86,855-0.3%
SWAP/07/15/2022/P:USD 1.48400 /R:USD/USCPI/1M$86,7850.1%
SWAP/02/26/2026/P:USD 2.31375 /R:USD/USCPI/1M$86,1020.1%
SWAP/01/15/2023/P:USD 1.54300 /R:USD/USCPI/1M$83,4660.1%
SWAP/01/15/2023/P:USD 1.96000 /R:USD/USCPI/1M$80,5190.1%
SWAPTION/EUROPEAN/11/02/2022/11/04/2052/P:EUR 0.19500 /R:EUR/EURIBOR/6M$78,3800.1%
SWAP/01/15/2024/P:USD 1.59900 /R:USD/USCPI/1M$73,6920.1%
YEN$72,3550.0%
SWAP/11/10/2045/P:USD 2.72100 /R:USD/LIBOR/3M$66,9070.0%
CURRENCY CONTRACT - USD$65,182-0.3%
SWAP/05/13/2026/P:USD 2.76750 /R:USD/USCPI/1M$58,5470.1%
SWAP/07/15/2022/P:USD 1.59700 /R:USD/USCPI/1M$57,7530.1%
SWAP/07/15/2023/P:USD 1.55100 /R:USD/USCPI/1M$52,6430.1%
SWAP/07/15/2026/P:USD 2.94400 /R:USD/USCPI/1M$50,4840.1%
SWAP/02/05/2023/P:USD 2.21000 /R:USD/USCPI/1M$49,6110.1%
SWAP/07/15/2023/P:USD 1.54800 /R:USD/USCPI/1M$48,9640.1%
US 2YR NOTE (CBT) BOND 31/MAR/2022 TUH2 COMDTY$44,9532.1%
SWAP/07/15/2022/P:USD 1.90250 /R:USD/USCPI/1M$42,5070.1%
SWAP/05/15/2026/P:EUR 1.50000 /R:EUR/HICPXT/1M$40,7320.1%
CURRENCY CONTRACT - USD$38,370-0.1%
EURO-BTP FUTURE BOND 08/DEC/2021 IKZ1 COMDTY$34,599-0.2%
POUND STERLING$31,0520.0%
SWAP/04/15/2032/P:USD 2.51900 /R:USD/USCPI/1M$30,3670.1%
SWAP/05/14/2026/P:USD 2.79300 /R:USD/USCPI/1M$30,0740.1%
MALAYSIAN RINGGIT$29,5890.0%
CURRENCY CONTRACT - USD$29,229-0.1%
CURRENCY CONTRACT - USD$27,891-0.1%
SWAP/04/15/2022/P:USD 2.14000 /R:USD/USCPI/1M$26,5820.1%
CURRENCY CONTRACT - USD$22,542-0.9%
SWAP/05/10/2023/P:USD 2.28100 /R:USD/USCPI/1M$20,4340.1%
SWAPTION/EUROPEAN/11/17/2022/11/21/2023/P:EUR/EURIBOR/3M /R:EUR -0.52600$18,7751.5%
SWAPTION/EUROPEAN/11/02/2022/11/04/2052/P:EUR 0.19000 /R:EUR/EURIBOR/6M$18,6760.1%
POUND STERLING$18,3960.0%
SWAP/03/15/2024/P:EUR 1.03000 /R:EUR/FRCPI/1M$15,3060.1%
SWEDISH KRONA$14,7570.0%
SWAP/10/15/2031/P:GBP 4.14000 /R:GBP/UKRPI/1M$13,6290.1%
SWAP/05/09/2023/P:USD 2.26250 /R:USD/USCPI/1M$13,5190.0%
YEN$10,3560.0%
SELL PROTECTION ON CMBX.NA.BBB-.6.MAY.05/11/2063$9,8030.0%
SWAPTION/EUROPEAN/11/04/2022/11/08/2052/P:EUR 0.19700 /R:EUR/EURIBOR/6M$9,7800.0%
SELL PROTECTION ON CMBX.NA.BBB-.6.MAY.05/11/2063$9,7250.0%
BUY PROTECTION ON CMBX.NA.BBB-.9.SEP.09/17/2058$7,9990.0%
SELL PROTECTION ON CMBX.NA.BBB-.6.MAY.05/11/2063$7,8540.0%
CURRENCY CONTRACT - USD$7,6060.0%
BUY PROTECTION ON CMBX.NA.BBB-.9.SEP.09/17/2058$5,8780.0%
SELL PROTECTION ON CMBX.NA.BBB-.6.MAY.05/11/2063$5,5760.0%
SELL PROTECTION ON CMBX.NA.BBB-.6.MAY.05/11/2063$5,5740.0%
AUSTRALIAN DOLLAR$5,3460.0%
SELL PROTECTION ON CMBX.NA.A.6.MAY.05/11/2063$5,3230.0%
SELL PROTECTION ON CMBX.NA.BBB-.6.MAY.05/11/2063$5,3220.0%
CANADIAN DOLLAR$5,2940.0%
SELL PROTECTION ON CMBX.NA.BBB-.6.MAY.05/11/2063$5,1920.0%
BUY PROTECTION ON CMBX.NA.BBB-.9.SEP.09/17/2058$4,9800.0%
SELL PROTECTION ON CMBX.NA.BBB-.6.MAY.05/11/2063$4,9480.0%
CURRENCY CONTRACT - USD$4,6300.0%
CURRENCY CONTRACT - USD$4,5290.0%
SELL PROTECTION ON CMBX.NA.A.6.MAY.05/11/2063$4,5260.0%
SELL PROTECTION ON CMBX.NA.BBB-.6.MAY.05/11/2063$4,0910.0%
SELL PROTECTION ON CMBX.NA.BBB-.6.MAY.05/11/2063$3,8580.0%
SELL PROTECTION ON CMBX.NA.BBB-.6.MAY.05/11/2063$3,7460.0%
SELL PROTECTION ON CMBX.NA.BBB-.6.MAY.05/11/2063$3,6590.0%
CURRENCY CONTRACT - USD$3,6500.0%
SWAP/05/15/2026/P:EUR 1.50000 /R:EUR/HICPXT/1M$3,251-0.1%
EUROPEAN OPTION EXPIRING ON 12/15/2021 TO BUY PROTECTION ON CDX.NA.IG.36-V1.JUN.2026/PAY: USD 0.00$3,0900.3%
SELL PROTECTION ON CMBX.NA.BBB-.6.MAY.05/11/2063$3,0760.0%
SELL PROTECTION ON CMBX.NA.BBB-.6.MAY.05/11/2063$2,9100.0%
SELL PROTECTION ON CMBX.NA.BBB-.6.MAY.05/11/2063$2,7490.0%
SELL PROTECTION ON CMBX.NA.BBB-.6.MAY.05/11/2063$2,7470.0%
CURRENCY CONTRACT - USD$2,5510.0%
SWAP/03/15/2031/P:EUR/HICPXT/1M /R:EUR 1.38000$2,533-0.1%
SELL PROTECTION ON CMBX.NA.BBB-.6.MAY.05/11/2063$2,4930.0%
SWEDISH KRONA$2,4080.0%
SELL PROTECTION ON GENERAL ELECTRIC COMPANY SENIOR_UNSECURED/RECEIVE: USD 1.00000 MATURING ON 12/20/2023$1,9810.0%
SWAP/03/15/2036/P:GBP/UKRPI/1M /R:GBP 3.58000$1,9650.0%
BUY PROTECTION ON CMBX.NA.BBB-.9.SEP.09/17/2058$1,9350.0%
SWAP/03/15/2031/P:EUR/HICPXT/1M /R:EUR 1.38000$1,8330.0%
SWAP/03/15/2031/P:EUR/HICPXT/1M /R:EUR 1.38000$1,7710.0%
SWAP/03/15/2036/P:GBP/UKRPI/1M /R:GBP 3.58000$1,7430.0%
CREDIT DEFAULT SWAP - CDS$1,6440.0%
SELL PROTECTION ON CMBX.NA.BBB-.6.MAY.05/11/2063$1,6400.0%
BUY PROTECTION ON CMBX.NA.BBB-.9.SEP.09/17/2058$1,6170.0%
SELL PROTECTION ON CMBX.NA.BBB-.6.MAY.05/11/2063$1,5860.0%
CURRENCY CONTRACT - USD$1,5640.0%
SWAP/03/15/2031/P:EUR/HICPXT/1M /R:EUR 1.38000$1,5170.0%
NORWEGIAN KRONE$1,5000.0%
CURRENCY CONTRACT - USD$1,3750.0%
SELL PROTECTION ON CMBX.NA.BBB-.6.MAY.05/11/2063$1,3200.0%
SELL PROTECTION ON CMBX.NA.BBB-.6.MAY.05/11/2063$1,2030.0%
SELL PROTECTION ON CMBX.NA.BBB-.6.MAY.05/11/2063$1,1730.0%
SELL PROTECTION ON CMBX.NA.BBB-.6.MAY.05/11/2063$1,1330.0%
SELL PROTECTION ON CMBX.NA.BBB-.6.MAY.05/11/2063$1,0960.0%
SELL PROTECTION ON CMBX.NA.BBB-.6.MAY.05/11/2063$9600.0%
SELL PROTECTION ON CMBX.NA.BBB-.6.MAY.05/11/2063$8920.0%
SELL PROTECTION ON CMBX.NA.BBB-.6.MAY.05/11/2063$8670.0%
EUROPEAN OPTION EXPIRING ON 12/15/2021 TO BUY PROTECTION ON CDX.NA.IG.36-V1.JUN.2026/PAY: USD 0.00$8260.1%
SELL PROTECTION ON CMBX.NA.BBB-.6.MAY.05/11/2063$7890.0%
SELL PROTECTION ON CMBX.NA.BBB-.6.MAY.05/11/2063$7210.0%
SELL PROTECTION ON CMBX.NA.BBB-.6.MAY.05/11/2063$7200.0%
SELL PROTECTION ON CMBX.NA.BBB-.6.MAY.05/11/2063$6650.0%
CURRENCY CONTRACT - USD$6580.0%
SELL PROTECTION ON CMBX.NA.BBB-.6.MAY.05/11/2063$6150.0%
SWAP/03/15/2031/P:EUR/HICPXT/1M /R:EUR 1.38000$5690.0%
SELL PROTECTION ON CMBX.NA.BBB-.6.MAY.05/11/2063$4770.0%
SELL PROTECTION ON CMBX.NA.BBB-.6.MAY.05/11/2063$4530.0%
SWAP/03/15/2036/P:GBP/UKRPI/1M /R:GBP 3.58000$4480.0%
EUROPEAN OPTION EXPIRING ON 12/15/2021 TO BUY PROTECTION ON CDX.NA.IG.36-V1.JUN.2026/PAY: USD 0.00$4450.1%
SWAP/04/15/2031/P:GBP/UKRPI/1M /R:GBP 3.75000$4260.0%
NEW ZEALAND DOLLAR$3410.0%
SWAP/03/15/2024/P:EUR 1.03000 /R:EUR/FRCPI/1M$327-0.1%
SELL PROTECTION ON CMBX.NA.BBB-.6.MAY.05/11/2063$2430.0%
DANISH KRONE$2130.0%
SELL PROTECTION ON CMBX.NA.BBB-.6.MAY.05/11/2063$1830.0%
SELL PROTECTION ON CMBX.NA.BBB-.6.MAY.05/11/2063$1720.0%
SELL PROTECTION ON CMBX.NA.BBB-.6.MAY.05/11/2063$1520.0%
SWAP/03/15/2036/P:GBP/UKRPI/1M /R:GBP 3.58000$1130.0%
SHORT EURO-BTP FU BOND 08/DEC/2021 BTSZ1 COMDTY$1110.0%
SWAP/01/15/2023/P:USD 3.35500 /R:USD/USCPI/1M$8-2.4%
SWAP/02/26/2022/P:USD/USCPI/1M /R:USD 1.44000$8-0.8%
SWAP/01/19/2022/P:USD/USCPI/1M /R:USD 2.18000$5-0.1%
SWAP/02/26/2025/P:USD 1.58900 /R:USD/USCPI/1M$4-1.1%
SWAP/06/24/2022/P:USD 3.52000 /R:USD/USCPI/1M$4-0.8%
CURRENCY CONTRACT - EUR$20.0%
SWAP/07/15/2022/P:USD 1.57500 /R:USD/USCPI/1M$2-0.2%
SWAP/07/15/2022/P:USD 1.47900 /R:USD/USCPI/1M$2-0.2%
SWAP/07/15/2023/P:USD 2.35300 /R:USD/USCPI/1M$2-0.3%
SWAP/07/15/2026/P:USD 2.79250 /R:USD/USCPI/1M$2-1.8%
SWAP/07/15/2024/P:USD 1.85500 /R:USD/USCPI/1M$2-0.3%
SWAP/07/15/2025/P:USD 1.59500 /R:USD/USCPI/1M$2-0.7%
SWAP/01/15/2025/P:USD 2.44000 /R:USD/USCPI/1M$2-0.9%
SWAP/01/15/2023/P:USD 2.31000 /R:USD/USCPI/1M$2-0.4%
RAND$20.0%
SWAP/01/15/2025/P:USD 0.78000 /R:USD/USCPI/1M$1-0.4%
SWAP/01/15/2023/P:USD 1.54300 /R:USD/USCPI/1M$1-0.1%
SWAP/01/15/2023/P:USD 2.18400 /R:USD/USCPI/1M$1-0.3%
SWAP/01/15/2026/P:USD 2.32200 /R:USD/USCPI/1M$1-0.4%
SWAP/01/15/2025/P:USD 1.96750 /R:USD/USCPI/1M$1-0.2%
SWAP/01/19/2022/P:USD/USCPI/1M /R:USD 2.16500$1-0.1%
SWAP/01/15/2027/P:USD 2.84250 /R:USD/USCPI/1M$1-0.7%
SWAP/02/05/2023/P:USD 2.21000 /R:USD/USCPI/1M$1-0.1%
SWAP/01/21/2022/P:USD/USCPI/1M /R:USD 2.20000$1-0.1%
SWAP/04/15/2022/P:USD 2.14000 /R:USD/USCPI/1M$1-0.1%
SWAP/07/15/2026/P:USD 2.90800 /R:USD/USCPI/1M$1-0.6%
SWAP/07/15/2026/P:USD 2.89600 /R:USD/USCPI/1M$1-0.6%
SWAP/07/15/2023/P:USD 3.33400 /R:USD/USCPI/1M$1-0.4%
SWAP/07/15/2023/P:USD 3.36875 /R:USD/USCPI/1M$1-0.4%
SWAP/07/15/2022/P:USD 1.76000 /R:USD/USCPI/1M$1-0.2%
SWAP/07/15/2022/P:USD 1.48400 /R:USD/USCPI/1M$1-0.1%
SWAP/07/15/2022/P:USD 1.59700 /R:USD/USCPI/1M$1-0.1%
SWAP/05/21/2031/P:USD 1.61650 /R:USD/LIBOR/3M$1-1.3%
WON$10.0%
CREDIT DEFAULT SWAP, CMBX - CDSCMBX$00.0%
CREDIT DEFAULT SWAP, CMBX - CDSCMBX$00.0%
CREDIT DEFAULT SWAP, CMBX - CDSCMBX$00.0%
CREDIT DEFAULT SWAP, CMBX - CDSCMBX$00.0%
CREDIT DEFAULT SWAP, CMBX - CDSCMBX$00.0%
CREDIT DEFAULT SWAP, CMBX - CDSCMBX$00.0%
CREDIT DEFAULT SWAP, CMBX - CDSCMBX$00.0%
SWAP/06/05/2027/P:USD 0.55750 /R:USD/LIBOR/3M$0-0.4%
SWAP/06/04/2029/P:USD 2.15000 /R:USD/LIBOR/3M$00.0%
SWAP/07/12/2027/P:USD 2.35450 /R:USD/LIBOR/3M$00.0%
SWAP/05/14/2026/P:USD 2.79300 /R:USD/USCPI/1M$0-0.1%
SWAP/05/20/2029/P:USD 2.36000 /R:USD/LIBOR/3M$0-0.1%
SWAP/05/20/2029/P:USD 2.39000 /R:USD/LIBOR/3M$0-0.1%
SWAP/05/09/2023/P:USD 2.26250 /R:USD/USCPI/1M$00.0%
SWAP/04/15/2032/P:USD 2.60750 /R:USD/USCPI/1M$0-0.3%
SWAP/05/10/2023/P:USD 2.28100 /R:USD/USCPI/1M$0-0.1%
SWAP/05/13/2026/P:USD 2.76750 /R:USD/USCPI/1M$0-0.1%
SWAP/07/15/2022/P:USD 1.90250 /R:USD/USCPI/1M$0-0.1%
SWAP/07/15/2023/P:USD 1.54800 /R:USD/USCPI/1M$0-0.1%
SWAP/07/15/2023/P:USD 1.55100 /R:USD/USCPI/1M$0-0.1%
SWAP/07/15/2023/P:USD 2.18750 /R:USD/USCPI/1M$0-0.3%
SWAP/07/15/2026/P:USD 2.94400 /R:USD/USCPI/1M$0-0.1%
SWAP/07/15/2028/P:USD 2.42350 /R:USD/USCPI/1M$0-0.3%
SWAP/07/15/2026/P:USD 2.40750 /R:USD/USCPI/1M$0-0.2%
SWAP/12/15/2031/P:JPY 0.05000 /R:JPY/TONAR/1D$0-0.9%
SWAP/11/15/2034/P:EUR/FRCPI/1M /R:EUR 1.28000$00.0%
SWAP/10/15/2031/P:GBP 4.14000 /R:GBP/UKRPI/1M$0-0.1%
SWAP/09/07/2026/P:USD/USCPI/1M /R:USD 2.67000$0-0.4%
SWAP/10/04/2026/P:USD 1.48700 /R:USD/LIBOR/3M$0-0.1%
SWAP/11/08/2026/P:USD 1.65700 /R:USD/LIBOR/3M$00.0%
SWAP/11/09/2026/P:USD 1.67150 /R:USD/LIBOR/3M$00.0%
SWAP/09/07/2031/P:USD 2.51900 /R:USD/USCPI/1M$0-0.4%
SWAP/08/30/2024/P:SEK/STIBOR/3M /R:SEK -0.16500$0-3.8%
SWAP/08/15/2030/P:GBP/UKRPI/1M /R:GBP 3.47500$0-0.2%
SWAP/08/15/2030/P:GBP/UKRPI/1M /R:GBP 3.47500$0-0.1%
SWAP/04/15/2031/P:GBP/UKRPI/1M /R:GBP 3.75000$0-0.1%
SWAP/04/15/2032/P:USD 2.51900 /R:USD/USCPI/1M$0-0.1%
SWAP/04/15/2032/P:USD 2.60500 /R:USD/USCPI/1M$0-0.3%
SWAP/03/05/2026/P:USD 2.41875 /R:USD/USCPI/1M$0-0.2%
SWAP/03/15/2036/P:GBP/UKRPI/1M /R:GBP 3.56600$00.0%
SWAP/02/01/2022/P:USD/USCPI/1M /R:USD 2.17000$00.0%
SWAP/02/15/2031/P:GBP/UKRPI/1M /R:GBP 3.62400$0-0.1%
SWAP/02/26/2026/P:USD 2.31375 /R:USD/USCPI/1M$0-0.1%
SWAP/03/04/2051/P:CAD 2.33250 /R:CAD/BA/3M$0-0.1%
SWAP/03/03/2051/P:CAD 2.29700 /R:CAD/BA/3M$00.0%
SWAP/01/15/2028/P:USD 2.79850 /R:USD/USCPI/1M$0-0.5%
SWAP/01/15/2025/P:USD 1.58000 /R:USD/USCPI/1M$0-0.2%
SWAP/01/15/2023/P:USD 1.96000 /R:USD/USCPI/1M$0-0.1%
SWAP/01/15/2024/P:USD 1.59900 /R:USD/USCPI/1M$0-0.1%
SELL PROTECTION ON CMBX.NA.BBB-.6.MAY.05/11/2063$00.0%
CURRENCY CONTRACT - USD$-990.0%
YEN$-1590.0%
SHORT EURO-BTP FU BOND 08/MAR/2022 BTSH2 COMDTY$-211-0.1%
SWAP/12/15/2031/P:JPY 0.05000 /R:JPY/TONAR/1D$-2340.9%
CREDIT DEFAULT SWAP, CMBX - CDSCMBX$-2710.0%
CREDIT DEFAULT SWAP, CMBX - CDSCMBX$-5430.0%
CREDIT DEFAULT SWAP, CMBX - CDSCMBX$-5430.0%
CREDIT DEFAULT SWAP, CMBX - CDSCMBX$-5430.0%
CREDIT DEFAULT SWAP, CMBX - CDSCMBX$-1,0850.0%
CREDIT DEFAULT SWAP, CMBX - CDSCMBX$-1,3560.0%
CREDIT DEFAULT SWAP, CMBX - CDSCMBX$-1,3560.0%
CREDIT DEFAULT SWAP, CMBX - CDSCMBX$-1,6280.0%
EURO-BOBL FUTURE BOND 08/MAR/2022 OEH2 COMDTY$-1,713-0.6%
CURRENCY CONTRACT - USD$-1,7660.0%
CREDIT DEFAULT SWAP, CMBX - CDSCMBX$-1,8990.0%
CREDIT DEFAULT SWAP, CMBX - CDSCMBX$-1,8990.0%
CREDIT DEFAULT SWAP, CMBX - CDSCMBX$-1,8990.0%
CREDIT DEFAULT SWAP, CMBX - CDSCMBX$-1,8990.0%
CREDIT DEFAULT SWAP, CMBX - CDSCMBX$-1,8990.0%
CREDIT DEFAULT SWAP, CMBX - CDSCMBX$-2,1700.0%
CREDIT DEFAULT SWAP, CMBX - CDSCMBX$-2,1700.0%
CREDIT DEFAULT SWAP, CMBX - CDSCMBX$-2,4420.0%
EURO-BUND FUTURE BOND 08/DEC/2021 RXZ1 COMDTY$-2,5790.3%
CREDIT DEFAULT SWAP, CMBX - CDSCMBX$-2,9840.0%
CREDIT DEFAULT SWAP, CMBX - CDSCMBX$-2,9840.0%
GOLD 100 OZ FUTR PRECIOUS METAL 24/FEB/2022 GCG2$-3,1690.1%
CREDIT DEFAULT SWAP, CMBX - CDSCMBX$-3,2560.0%
CREDIT DEFAULT SWAP, CMBX - CDSCMBX$-3,7980.0%
CREDIT DEFAULT SWAP, CMBX - CDSCMBX$-4,0690.0%
SWAP/06/04/2029/P:USD 2.15000 /R:USD/LIBOR/3M$-4,3540.0%
JPN 10Y BOND(OSE) BOND 13/DEC/2021 JBZ1 COMDTY$-4,433-0.5%
CREDIT DEFAULT SWAP, CMBX - CDSCMBX$-4,6120.0%
SWAP/11/08/2026/P:USD 1.65700 /R:USD/LIBOR/3M$-4,9820.0%
US 10YR ULTRA FUT BOND 22/MAR/2022 UXYH2 COMDTY$-6,1720.0%
CREDIT DEFAULT SWAP, CMBX - CDSCMBX$-6,7820.0%
CREDIT DEFAULT SWAP, CMBX - CDSCMBX$-6,7820.0%
SWAP/03/03/2051/P:CAD 2.29700 /R:CAD/BA/3M$-6,8120.0%
SWAP/11/09/2026/P:USD 1.67150 /R:USD/LIBOR/3M$-6,8720.0%
CURRENCY CONTRACT - USD$-7,130-0.4%
CREDIT DEFAULT SWAP, CMBX - CDSCMBX$-8,6810.0%
CREDIT DEFAULT SWAP, CMBX - CDSCMBX$-8,9530.0%
SWAP/03/15/2031/P:EUR/HICPXT/1M /R:EUR 1.38000$-9,0950.0%
CREDIT DEFAULT SWAP, CMBX - CDSCMBX$-9,2240.0%
CREDIT DEFAULT SWAP, CMBX - CDSCMBX$-9,7670.0%
EURO-SCHATZ FUT BOND 08/DEC/2021 DUZ1 COMDTY$-10,248-0.8%
CREDIT DEFAULT SWAP, CMBX - CDSCMBX$-11,1230.0%
BUY PROTECTION ON CMBX.NA.BBB-.9.SEP.09/17/2058$-11,3180.0%
CREDIT DEFAULT SWAP, CMBX - CDSCMBX$-11,6660.0%
CREDIT DEFAULT SWAP, CMBX - CDSCMBX$-11,9370.0%
CREDIT DEFAULT SWAP, CMBX - CDSCMBX$-11,9370.0%
CREDIT DEFAULT SWAP, CMBX - CDSCMBX$-12,4800.0%
CREDIT DEFAULT SWAP, CMBX - CDSCMBX$-13,5650.0%
CREDIT DEFAULT SWAP, CMBX - CDSCMBX$-14,1070.0%
SWAP/02/01/2022/P:USD/USCPI/1M /R:USD 2.17000$-14,2110.0%
CURRENCY CONTRACT - USD$-14,884-0.3%
CREDIT DEFAULT SWAP, CMBX - CDSCMBX$-16,2780.0%
BUY PROTECTION ON CMBX.NA.BBB-.9.SEP.09/17/2058$-17,0250.0%
LONG GILT FUTURE BOND 29/MAR/2022 G H2 COMDTY$-17,433-0.2%
SWAP/03/15/2031/P:EUR/HICPXT/1M /R:EUR 1.38000$-18,2100.0%
SWAP/03/15/2031/P:EUR/HICPXT/1M /R:EUR 1.38000$-18,2100.0%
SWAP/03/15/2031/P:EUR/HICPXT/1M /R:EUR 1.38000$-18,2100.0%
SWAP/10/04/2026/P:USD 1.48700 /R:USD/LIBOR/3M$-18,5990.1%
CREDIT DEFAULT SWAP, CMBX - CDSCMBX$-18,7190.0%
SWAP/11/15/2034/P:EUR/FRCPI/1M /R:EUR 1.28000$-18,7880.0%
CREDIT DEFAULT SWAP, CMBX - CDSCMBX$-20,3470.0%
SWAP/07/12/2027/P:USD 2.35450 /R:USD/LIBOR/3M$-20,5670.0%
SWAP/03/15/2036/P:GBP/UKRPI/1M /R:GBP 3.58000$-20,9830.0%
CREDIT DEFAULT SWAP, CMBX - CDSCMBX$-23,3710.0%
SWAP/04/15/2031/P:GBP/UKRPI/1M /R:GBP 3.75000$-24,9490.0%
CURRENCY CONTRACT - RUB$-25,2930.3%
SWAP/03/04/2051/P:CAD 2.33250 /R:CAD/BA/3M$-27,1600.1%
CURRENCY CONTRACT - USD$-29,379-0.1%
SWAPTION/EUROPEAN/11/04/2022/11/08/2032/P:EUR 0.00000 /R:EUR/EURIBOR/6M$-29,6440.2%
CREDIT DEFAULT SWAP, CMBX - CDSCMBX$-29,7000.0%
SWAP/01/19/2022/P:USD/USCPI/1M /R:USD 2.18000$-31,1240.1%
SWAPTION/EUROPEAN/11/02/2022/11/04/2032/P:EUR 0.00000 /R:EUR/EURIBOR/6M$-38,1270.2%
SWAP/03/15/2036/P:GBP/UKRPI/1M /R:GBP 3.58000$-41,9660.0%
SWAP/03/15/2036/P:GBP/UKRPI/1M /R:GBP 3.58000$-41,9660.0%
SWAP/03/15/2036/P:GBP/UKRPI/1M /R:GBP 3.58000$-41,9660.0%
SWAP/03/15/2036/P:GBP/UKRPI/1M /R:GBP 3.56600$-42,7860.0%
SWAP/03/15/2031/P:EUR/HICPXT/1M /R:EUR 1.38000$-45,4760.1%
SWAP/01/21/2022/P:USD/USCPI/1M /R:USD 2.20000$-49,1830.1%
CURRENCY CONTRACT - USD$-49,447-0.4%
SWAP/05/20/2029/P:USD 2.36000 /R:USD/LIBOR/3M$-51,2960.1%
CURRENCY CONTRACT - USD$-54,574-0.2%
SWAP/05/20/2029/P:USD 2.39000 /R:USD/LIBOR/3M$-58,5120.1%
SWAP/08/30/2024/P:SEK/STIBOR/3M /R:SEK -0.16500$-65,5953.8%
SWAP/01/19/2022/P:USD/USCPI/1M /R:USD 2.16500$-71,3800.1%
CREDIT DEFAULT SWAP, CMBX - CDSCMBX$-73,9970.0%
SWAP/09/07/2026/P:USD/USCPI/1M /R:USD 2.67000$-87,3230.4%
SWAP/11/10/2045/P:USD 2.72100 /R:USD/LIBOR/3M$-94,1600.0%
SWAPTION/EUROPEAN/11/02/2022/11/04/2032/P:EUR 0.00000 /R:EUR/EURIBOR/6M$-99,8110.2%
US ULTRA BOND CBT BOND 22/MAR/2022 WNH2 COMDTY$-103,733-0.3%
SWAP/08/15/2030/P:GBP/UKRPI/1M /R:GBP 3.47500$-124,5700.1%
SWAP/05/21/2031/P:USD 1.61650 /R:USD/LIBOR/3M$-164,2061.3%
CURRENCY CONTRACT - NOK$-180,7250.3%
US LONG BOND(CBT) BOND 22/MAR/2022 USH2 COMDTY$-192,997-1.3%
SWAP/04/15/2031/P:GBP/UKRPI/1M /R:GBP 3.75000$-217,3190.1%
US DOLLAR$-226,1000.0%
EURO-BUXL 30Y BND BOND 08/DEC/2021 UBZ1 COMDTY$-266,058-0.5%
SWAP/02/15/2031/P:GBP/UKRPI/1M /R:GBP 3.62400$-298,9740.1%
SWAP/08/15/2030/P:GBP/UKRPI/1M /R:GBP 3.47500$-369,2530.2%
SWAP/02/26/2022/P:USD/USCPI/1M /R:USD 1.44000$-498,9570.8%
US DOLLAR$-598,000-0.1%
US DOLLAR$-9,517,039-0.9%
All Holdings As of Oct 31, 2021
Exchange-Traded Funds
Underlying Fund HoldingsMarket Value%
INVESCO DB OIL FUND ETP USD$3,510,1600.3%
INVESCO DB AGRICULTURE FUND ETP USD$2,314,8000.2%
UNITED STATES COPPER INDEX FUND ETP USD$1,231,4190.1%
 
Fixed Income
Underlying Fund HoldingsMarket Value%
UNITED STATES OF AMERICA NOTES .125% 07/15/2031$52,674,2884.8%
UNITED STATES OF AMERICA NOTES .125% 10/15/2026$41,743,0303.8%
UNITED STATES OF AMERICA NOTES .125% 01/15/2031$38,564,3713.5%
UNITED STATES OF AMERICA NOTES .375% 01/15/2027$29,840,4722.7%
UNITED STATES OF AMERICA NOTES .5% 01/15/2028$25,580,0732.3%
UNITED STATES OF AMERICA NOTES .125% 01/15/2030$24,768,1392.2%
UNITED STATES OF AMERICA NOTES .5% 04/15/2024$22,640,0422.0%
UNITED STATES OF AMERICA BOND .125% 02/15/2051$21,394,7341.9%
UNITED STATES OF AMERICA BOND 2.125% 02/15/2041$19,455,3241.8%
UNITED STATES OF AMERICA NOTES .125% 10/15/2024$19,135,6711.7%
UNITED STATES OF AMERICA NOTES .125% 04/15/2025$19,063,2111.7%
UNITED STATES OF AMERICA NOTES .125% 04/15/2022$18,408,5941.7%
UNITED STATES OF AMERICA NOTES .875% 01/15/2029$17,895,5761.6%
UNITED STATES OF AMERICA BOND .75% 02/15/2045$17,826,5751.6%
UNITED STATES OF AMERICA BOND 1% 02/15/2046$16,327,5721.5%
UNITED STATES OF AMERICA BOND .625% 02/15/2043$15,743,1901.4%
UNITED STATES OF AMERICA NOTES .25% 07/15/2029$15,288,8181.4%
UNITED STATES OF AMERICA NOTES .75% 07/15/2028$15,158,1221.4%
UNITED STATES OF AMERICA BOND 2.5% 01/15/2029$14,802,8721.3%
UNITED STATES OF AMERICA NOTES .625% 01/15/2024$13,355,7491.2%
UNITED STATES OF AMERICA NOTES .25% 01/15/2025$13,334,7871.2%
UNITED STATES OF AMERICA BOND 1.375% 02/15/2044$12,010,5291.1%
UNITED STATES OF AMERICA NOTES .125% 07/15/2026$11,595,1761.1%
UNITED STATES OF AMERICA NOTES .125% 10/15/2025$11,344,1371.0%
UNITED STATES OF AMERICA BOND 3.625% 04/15/2028$11,322,0601.0%
UNITED STATES OF AMERICA NOTES .625% 04/15/2023$11,083,3991.0%
UNITED STATES OF AMERICA NOTES .125% 07/15/2030$10,941,8891.0%
UNITED STATES OF AMERICA BOND .875% 02/15/2047$8,869,7130.8%
UNITED STATES OF AMERICA BOND 1% 02/15/2048$8,716,4570.8%
UNITED STATES OF AMERICA NOTES .125% 01/15/2023$8,320,6190.8%
UNITED STATES OF AMERICA BOND .75% 02/15/2042$8,114,2190.7%
UNITED STATES OF AMERICA NOTES .625% 01/15/2026$8,024,4110.7%
UNITED STATES OF AMERICA BOND 2.375% 01/15/2025$7,682,7530.7%
UNITED STATES OF AMERICA BOND 2.375% 01/15/2027$7,209,2610.7%
UNITED STATES OF AMERICA NOTES .125% 04/15/2026$5,906,8720.5%
UNITED STATES OF AMERICA NOTES .375% 07/15/2027$5,827,4370.5%
UNITED STATES OF AMERICA BOND 3.875% 04/15/2029$5,825,4840.5%
TBA UMBS SINGLE FAMILY 30YR 2.5 11/20$5,698,2940.5%
CANADIAN GOVERNMENT REAL RETURN BOND BOND 4% 12/01/2031$5,520,9430.5%
UNITED STATES OF AMERICA NOTES .375% 07/15/2025$5,482,7670.5%
REPUBLIC OF ITALY BOND .408% 05/15/2030$5,223,8460.5%
UNITED STATES OF AMERICA BOND 1.75% 01/15/2028$4,737,1070.4%
REPUBLIC OF ITALY BOND 1.4% 05/26/2025$4,721,2830.4%
UNITED STATES OF AMERICA BOND 2% 01/15/2026$4,148,9410.4%
NYKREDIT REALKREDIT AS 1.5% 10/01/2053$3,687,7020.3%
UNITED STATES OF AMERICA NOTES .125% 07/15/2022$3,301,9500.3%
UNITED STATES OF AMERICA BOND 2.125% 02/15/2040$3,099,2200.3%
UNITED STATES OF AMERICA BOND 1% 02/15/2049$2,699,9460.2%
RUSSIAN FEDERATION BOND 7.65% 04/10/2030$2,617,9390.2%
UNITED STATES OF AMERICA BOND .25% 02/15/2050$2,334,8880.2%
NORDEA KREDIT REALKREDITAKTIESELSKAB 1.5% 10/01/2053$1,857,4740.2%
JAPAN BOND .1% 03/10/2029$1,672,7190.2%
GENERAL ELECTRIC CO 0% 12/21/2046$1,598,0400.1%
JAPAN BOND .005% 03/10/2031$1,468,9580.1%
JAPAN BOND .101% 03/10/2028$1,442,2600.1%
UNICREDIT SPA 7.83% 12/04/2023$1,362,0020.1%
REGATTA XX FUNDING LTD 1.244% 10/15/2034$924,6540.1%
MAGNETITE XXVI LTD 1.21% 07/25/2034$906,2600.1%
BFLD TRUST 1.691% 06/15/2038$858,4020.1%
SLM STUDENT LOAN TRUST 2004-10 .724% 10/25/2029$822,2960.1%
FREDDIE MAC STACR REMIC TRUST 2021-DNA6 1.548% 10/25/2041$818,3970.1%
MORGAN STANLEY 3.772% 01/24/2029$815,3530.1%
PRUDENTIAL FINANCIAL INC 5.875% 09/15/2042$785,8820.1%
SUZANO AUSTRIA GMBH 2.5% 09/15/2028$782,6350.1%
CITIZENS FINANCIAL GROUP INC 4.3% 12/03/2025$781,7810.1%
CANADIAN GOVERNMENT REAL RETURN BOND BOND .537% 12/01/2050$725,6360.1%
AVANT LOANS FUNDING TRUST 2021-REV1 1.21% 07/15/2030$713,2160.1%
BANK OF AMERICA CORP 2.299% 07/21/2032$658,9580.1%
UNITED STATES OF AMERICA NOTES .125% 01/15/2022$658,4520.1%
FLAGSHIP CREDIT AUTO TRUST 2019-3 2.33% 02/15/2024$627,9770.1%
ENBRIDGE ENERGY PARTNERS LP 7.375% 10/15/2045$619,8380.1%
BELLEMEADE RE 2021-3 LTD 1.05% 09/25/2031$602,8580.1%
LAS VEGAS SANDS CORP 3.9% 08/08/2029$570,2260.1%
CHARLES SCHWAB CORP/THE 4% CALLABLE$568,7810.1%
OAKTOWN RE VII LTD 1.65% 04/25/2034$558,6830.1%
DIGITAL REALTY TRUST LP 3.6% 07/01/2029$554,4660.1%
TRANSCANADA PIPELINES LTD 6.1% 06/01/2040$549,6150.1%
YAMANA GOLD INC 2.63% 08/15/2031$548,0310.1%
CITIGROUP COMMERCIAL MORTGAGE TRUST 2015-GC27 3.137% 02/10/2048$545,9000.1%
MADISON PARK FUNDING LI LTD 3.196% 07/19/2034$540,3180.1%
NEUBERGER BERMAN LOAN ADVISERS CLO 43 LTD 1.241% 07/17/2035$535,3700.1%
FISERV INC 3.5% 07/01/2029$520,5140.1%
WEIBO CORP 3.375% 07/08/2030$514,0710.1%
AERCAP IRELAND CAPITAL DAC / AERCAP GLOBAL AVIATION TRUST 3.3% 01/30/2032$513,4070.1%
TENCENT HOLDINGS LTD 2.39% 06/03/2030$507,6480.1%
PIKES PEAK CLO 8 3.247% 07/20/2034$500,2940.1%
PLAINS ALL AMERICAN PIPELINE LP / PAA FINANCE CORP 3.55% 12/15/2029$499,0540.1%
KYNDRYL HOLDINGS INC 2.05% 10/15/2026$489,8900.0%
BELLEMEADE RE LTD 1.549% 06/25/2031$483,7830.0%
CARNIVAL CORP 4% 08/01/2028$482,6030.0%
OCTANE RECEIVABLES TRUST 2021-2 2.02% 09/20/2028$481,0700.0%
BP CAPITAL MARKETS AMERICA INC 2.939% 06/04/2051$479,9570.0%
BAIDU INC 1.625% 02/23/2027$474,4520.0%
ADVANCE AUTO PARTS INC 3.9% 04/15/2030$473,7260.0%
AB ISSUER LLC 3.734% 07/30/2051$463,9940.0%
OCHSNER LSU HEALTH SYSTEM OF NORTH LOUISIANA 2.51% 05/15/2031$457,9760.0%
UNIVERSITY OF CALIFORNIA 3.071% 05/15/2051$454,9080.0%
ALIBABA GROUP HOLDING LTD 2.125% 02/09/2031$452,1530.0%
AGL CLO 12 LTD 2.98% 07/20/2034$441,3120.0%
AIRCASTLE LTD 4.25% 06/15/2026$440,5560.0%
BALLYROCK CLO 16 LTD 3.035% 07/20/2034$440,2600.0%
ROCKFORD TOWER CLO 2021-2 LTD 1.273% 07/20/2034$438,1120.0%
BBCMS 2020-BID MORTGAGE TRUST 2.23% 10/15/2037$436,7430.0%
UNITED STATES OF AMERICA BOND 3.375% 04/15/2032$432,5290.0%
CREDIT SUISSE GROUP AG 6.375% CALLABLE$425,5880.0%
MOODY'S CORP 4.25% 02/01/2029$424,8420.0%
NISSAN MOTOR CO LTD 4.345% 09/17/2027$423,1890.0%
CPS AUTO RECEIVABLES TRUST 2021-C 1.69% 06/15/2027$417,4740.0%
UPSTART SECURITIZATION TRUST 2021-3 1.66% 07/20/2031$416,6470.0%
FREDDIE MAC STRUCTURED AGENCY CREDIT RISK DEBT NOTES 2.739% 12/25/2029$415,6600.0%
COMM 2015-CCRE22 MORTGAGE TRUST 3.309% 03/10/2048$412,8350.0%
SIRIUS XM RADIO INC 4% 07/15/2028$411,4480.0%
BX COMMERCIAL MORTGAGE TRUST 2019-IMC 2.24% 04/15/2034$409,7980.0%
CENOVUS ENERGY INC 4.4% 04/15/2029$409,5200.0%
ENA MASTER TRUST 4% 05/19/2048$401,5670.0%
WESTINGHOUSE AIR BRAKE TECHNOLOGIES CORP 4.4% 03/15/2024$393,2210.0%
OCP CLO 2020-18 LTD 1.222% 07/20/2032$391,6530.0%
ALPEK SAB DE CV 3.25% 02/25/2031$391,6030.0%
HARLEY-DAVIDSON FINANCIAL SERVICES INC 3.35% 06/08/2025$390,7270.0%
OLEODUCTO CENTRAL SA 4% 07/14/2027$389,2280.0%
CORP FINANCIERA DE DESARROLLO SA BOND 2.4% 09/28/2027$388,8810.0%
BNP PARIBAS SA 2.871% 04/19/2032$387,8650.0%
JPMORGAN CHASE & CO 2.58% 04/22/2032$385,2050.0%
BAT CAPITAL CORP 2.259% 03/25/2028$385,1110.0%
NETFLIX INC 5.875% 11/15/2028$385,0400.0%
GOLDMAN SACHS GROUP INC/THE 2.615% 04/22/2032$383,8430.0%
CREDIT SUISSE GROUP AG 3.091% 05/14/2032$383,1170.0%
AIR LEASE CORP 4.625% 10/01/2028$380,8190.0%
COMM 2015-CCRE25 MORTGAGE TRUST 3.759% 08/10/2048$378,2050.0%
TRAINGLE RE 2020-1 LTD 3.989% 10/25/2030$377,1410.0%
FLATIRON CLO 21 LTD 3.047% 07/19/2034$376,8140.0%
BAMLL COMMERCIAL MORTGAGE SECURITIES TRUST 2017-SCH 1.09% 11/15/2033$374,7070.0%
TRIANGLE RE 2021-3 LTD 1.949% 02/25/2034$374,6190.0%
GOLDMAN SACHS GROUP INC/THE 2.383% 07/21/2032$371,8270.0%
MORGAN STANLEY 7.365% 04/25/2023$369,9080.0%
WELLS FARGO COMMERCIAL MORTGAGE TRUST 2015-SG1 3.789% 09/15/2048$367,7130.0%
BALBOA BAY LOAN FUNDING 2021-1 LTD 1.334% 07/20/2034$367,1530.0%
ELMWOOD CLO IX LTD 3.085% 07/20/2034$361,7410.0%
CGRBS COMMERCIAL MORTGAGE TRUST 2013-VN05 3.369% 03/13/2035$358,8630.0%
CEMEX SAB DE CV 3.875% 07/11/2031$355,7520.0%
ORACLE CORP 3.95% 03/25/2051$351,0080.0%
ARDAGH METAL PACKAGING FINANCE USA LLC / ARDAGH METAL PACKAGING FINANCE PLC 3.25% 09/01/2028$343,0000.0%
VISTRA OPERATIONS CO LLC 4.375% 05/01/2029$327,1130.0%
SOCIETE GENERALE SA 8% CALLABLE$326,4810.0%
TOBACCO SETTLEMENT FINANCE AUTHORITY 3% 06/01/2035$323,9500.0%
MORGAN STANLEY 7.365% 05/17/2023$321,3020.0%
WFRBS COMMERCIAL MORTGAGE TRUST 2014-C19 4.101% 03/15/2047$318,6980.0%
FEDERATION OF MALAYSIA BOND 3.882% 03/10/2022$312,3360.0%
CENCOSUD SA 5.15% 02/12/2025$310,5530.0%
NXP BV / NXP FUNDING LLC 5.55% 12/01/2028$309,3050.0%
ING BANK NV 2.625% 12/05/2022$307,2500.0%
MDC HOLDINGS INC 6% 01/15/2043$306,8060.0%
NATURA COSMETICOS SA 4.125% 05/03/2028$302,2700.0%
CREDIT SUISSE GROUP AG 4.194% 04/01/2031$301,1600.0%
NXP BV / NXP FUNDING LLC / NXP USA INC 3.4% 05/01/2030$301,1420.0%
GOLDENTREE LOAN MANAGEMENT US CLO 7 LTD 1.202% 04/20/2034$299,2480.0%
FHF TRUST 2021-2 .83% 12/15/2026$292,3230.0%
BERKSHIRE HATHAWAY ENERGY CO 6.125% 04/01/2036$289,0070.0%
MPLX LP 2.65% 08/15/2030$287,8800.0%
BANK OF AMERICA CORP 3.419% 12/20/2028$287,7990.0%
CARVANA AUTO RECEIVABLES TRUST 2021-N3 1.02% 06/12/2028$287,3940.0%
NELNET STUDENT LOAN TRUST 2021-C 2.53% 04/20/2062$286,3700.0%
ROSS STORES INC 4.7% 04/15/2027$286,3300.0%
AERCAP IRELAND CAPITAL DAC / AERCAP GLOBAL AVIATION TRUST 6.5% 07/15/2025$286,2700.0%
COMM 2014-UBS4 MORTGAGE TRUST 3.694% 08/10/2047$285,4970.0%
ARAB REPUBLIC OF EGYPT BOND 5.875% 02/16/2031$284,4060.0%
FORD CREDIT AUTO OWNER TRUST 2021-REV1 2.31% 10/17/2033$284,1770.0%
GLOBAL PAYMENTS INC 3.2% 08/15/2029$283,5580.0%
AVIS BUDGET RENTAL CAR FUNDING AESOP LLC 3.7% 09/20/2024$283,0030.0%
ENGIE ENERGIA CHILE SA 3.4% 01/28/2030$282,7600.0%
INDUSTRIAS PENOLES SAB DE CV 4.75% 08/06/2050$277,0590.0%
LOWE'S COS INC 3.65% 04/05/2029$276,2170.0%
BALLYROCK CLO 15 LTD 3.224% 04/15/2034$275,1810.0%
INRETAIL CONSUMER 3.25% 03/22/2028$273,5530.0%
MORGAN STANLEY 3.875% 04/29/2024$272,3760.0%
SK HYNIX INC 2.375% 01/19/2031$272,1120.0%
CSAIL 2015-C4 COMMERCIAL MORTGAGE TRUST 3.808% 11/15/2048$270,9610.0%
ALLISON TRANSMISSION INC 3.75% 01/30/2031$270,4750.0%
GFL ENVIRONMENTAL INC 3.5% 09/01/2028$267,9910.0%
AVIS BUDGET RENTAL CAR FUNDING AESOP LLC 4% 03/20/2025$265,9270.0%
DIAMOND INFRASTRUCTURE FUNDING LLC 2.355% 04/15/2049$264,7680.0%
AIRCASTLE LTD 2.85% 01/26/2028$262,9690.0%
INDONESIA ASAHAN ALUMINIUM PERSERO PT BOND 4.75% 05/15/2025$261,2860.0%
FOX CORP 4.709% 01/25/2029$261,2540.0%
UNITED STATES OF AMERICA BOND 1.625% 11/15/2050$259,8480.0%
NELNET STUDENT LOAN TRUST 2021-D 2.9% 04/20/2062$259,6590.0%
COLLATERALIZED MTGE OBLIGATION OR GLOBAL CMO 3.647% 03/15/2035$258,0670.0%
PARKER-HANNIFIN CORP 3.25% 06/14/2029$257,3310.0%
ENI SPA 4.25% 05/09/2029$255,1450.0%
GCI FUNDING I LLC 2.38% 06/18/2046$253,2250.0%
BROADCOM INC 4.15% 11/15/2030$253,0070.0%
BELLEMEADE RE 2019-3 LTD 1.689% 07/25/2029$250,7790.0%
DRYDEN 78 CLO LTD 2.072% 04/17/2033$250,4670.0%
NEW MOUNTAIN CLO 3 LTD 1.311% 10/20/2034$250,1630.0%
PRUDENTIAL PLC 3.169% 10/18/2034$250,1620.0%
KIMBERLY-CLARK DE MEXICO SAB DE CV 2.431% 07/01/2031$249,2390.0%
ENERGY TRANSFER LP 4.75% 01/15/2026$249,1930.0%
CENTENE CORP 2.625% 08/01/2031$248,2160.0%
UNICREDIT SPA 3.127% 06/03/2032$248,0390.0%
NEUBERGER BERMAN LOAN ADVISERS CLO 42 LTD 2.922% 07/16/2035$247,9120.0%
WYNN MACAU LTD 5.625% 08/26/2028$245,9920.0%
ELEVATION CLO 2020-11 LTD 2.324% 04/15/2033$245,5900.0%
JPMBB COMMERCIAL MORTGAGE SECURITIES TRUST 2014-C21 3.775% 08/15/2047$243,4160.0%
JPMBB COMMERCIAL MORTGAGE SECURITIES TRUST 2015-C31 3.801% 08/15/2048$242,2640.0%
NATIONWIDE MUTUAL INSURANCE CO 9.375% 08/15/2039$240,3130.0%
SYNCHRONY FINANCIAL 4.5% 07/23/2025$239,6810.0%
GS MORTGAGE SECURITIES TRUST 2014-GC22 3.862% 06/10/2047$238,3760.0%
FREDDIE MAC STACR REMIC TRUST 2021-DNA5 1.699% 01/25/2034$238,2810.0%
REALKREDIT DANMARK A/S 1.5% 10/01/2053$238,0570.0%
GS MORTGAGE SECURITIES TRUST 2011-GC5 5.159% 08/10/2044$235,0130.0%
MIZUHO FINANCIAL GROUP INC 2.226% 05/25/2026$234,8320.0%
COMISION FEDERAL DE ELECTRICIDAD BOND 3.348% 02/09/2031$233,5370.0%
COMM 2015-DC1 MORTGAGE TRUST 3.35% 02/10/2048$232,7350.0%
1011778 BC ULC / NEW RED FINANCE INC 3.5% 02/15/2029$232,1290.0%
PROSUS NV 3.68% 01/21/2030$230,4920.0%
VORNADO REALTY LP 3.4% 06/01/2031$226,9640.0%
DANSKE BANK A/S 3.875% 09/12/2023$226,2140.0%
PMT CREDIT RISK TRANSFER TRUST 2019-2R 2.838% 05/27/2023$226,1770.0%
ALTRIA GROUP INC 3.4% 05/06/2030$225,2570.0%
DOMINICAN REPUBLIC BOND 4.875% 09/23/2032$224,8700.0%
DOMINO'S PIZZA MASTER ISSUER LLC 2.662% 04/25/2051$223,7480.0%
FEDERAL NATIONAL MORTGAGE ASSOCIATION 3.739% 09/25/2029$223,3050.0%
BHMS 2018-ATLS 1.34% 07/15/2035$223,2840.0%
UBS COMMERCIAL MORTGAGE TRUST 2018-C8 3.983% 02/15/2051$222,5940.0%
LUMEN TECHNOLOGIES INC 4.5% 01/15/2029$221,5580.0%
SLM CORP 4.2% 10/29/2025$220,1320.0%
EXPEDIA GROUP INC 4.625% 08/01/2027$217,3000.0%
OMAN GOVERNMENT INTERNATIONAL BOND BOND 6.25% 01/25/2031$216,8750.0%
STANDARD CHARTERED PLC 4.3% 02/19/2027$215,2640.0%
CSC HOLDINGS LLC 6.5% 02/01/2029$214,7500.0%
INTESA SANPAOLO SPA 5.017% 06/26/2024$214,5260.0%
ENERGY TRANSFER LP 6.25% 04/15/2049$212,8330.0%
ALPEK SAB DE CV 5.375% 08/08/2023$212,7500.0%
MORGAN STANLEY CAPITAL I TRUST 2016-UBS12 3.596% 12/15/2049$211,8390.0%
BELLEMEADE RE LTD 2.999% 03/25/2031$211,6900.0%
CSN RESOURCES SA 4.625% 06/10/2031$210,7370.0%
STATE OF QATAR BOND 3.875% 04/23/2023$209,6110.0%
OMAN GOVERNMENT INTERNATIONAL BOND BOND 4.875% 02/01/2025$209,0060.0%
JAZZ SECURITIES DAC 4.375% 01/15/2029$205,7500.0%
BREX COMMERCIAL CHARGE CARD MASTER TRUST 2.09% 07/15/2024$205,6080.0%
NATWEST GROUP PLC 1.682% 06/25/2024$204,1310.0%
DEUTSCHE BANK AG/NEW YORK NY 3.961% 11/26/2025$203,2480.0%
FORD MOTOR CREDIT CO LLC 3.55% 10/07/2022$203,2380.0%
PRUDENTIAL FINANCIAL INC 5.2% 03/15/2044$203,2370.0%
WORLD FINANCIAL NETWORK CREDIT CARD MASTER TRUST 3.04% 04/15/2026$203,2170.0%
CITIGROUP INC 4.075% 04/23/2029$203,0860.0%
MICRON TECHNOLOGY INC 4.185% 02/15/2027$203,0640.0%
INVITATION HOMES 2018-SFR3 TRUST 1.386% 07/17/2037$202,8460.0%
REPUBLIC OF COLOMBIA BOND 3.125% 04/15/2031$202,6680.0%
GENERAL ELECTRIC CO 3.45% 05/01/2027$201,7760.0%
MITSUBISHI HC CAPITAL INC 3.406% 02/28/2022$201,3600.0%
MSCG TRUST 2018-SELF .99% 10/15/2037$200,2740.0%
EAGLE RE 2020-1 LTD .989% 01/25/2030$198,1110.0%
GS MORTGAGE SECURITIES CORP TRUST 2019-BOCA 1.29% 06/15/2038$197,8950.0%
GS MORTGAGE SECURITIES TRUST 2013-G1 3.557% 04/10/2031$196,5760.0%
INTERPUBLIC GROUP OF COS INC/THE 4.65% 10/01/2028$195,4530.0%
WELLS FARGO & CO 3.584% 05/22/2028$194,2280.0%
STANDARD CHARTERED PLC 1.639% CALLABLE$193,5000.0%
FLOWSERVE CORP 2.8% 01/15/2032$192,8970.0%
FEDERAL NATIONAL MORTGAGE ASSOCIATION 4% 12/25/2050$190,1400.0%
BELLEMEADE RE 2019-1 LTD 1.839% 03/25/2029$190,1080.0%
CLNY TRUST 2019-IKPR 2.115% 11/15/2038$189,5370.0%
FREDDIE MAC STACR REMIC TRUST 2020-DNA5 2.849% 10/25/2050$188,1550.0%
GLENCORE FUNDING LLC 4% 03/27/2027$188,1400.0%
AXALTA COATING SYSTEMS LLC 3.375% 02/15/2029$186,9170.0%
ALBERTSONS COS INC / SAFEWAY INC / NEW ALBERTSONS LP / ALBERTSONS LLC 3.5% 03/15/2029$186,5310.0%
STATE OF CALIFORNIA 5.7% 11/01/2021$185,0000.0%
AVIATION CAPITAL GROUP LLC 1.95% 01/30/2026$184,6670.0%
RADNOR RE 2020-1 LTD 1.039% 01/25/2030$183,8300.0%
BX TRUST 2018-EXCL 1.178% 09/15/2037$180,7130.0%
RADNOR RE 2019-2 LTD 1.839% 06/25/2029$180,1220.0%
GOLDMAN SACHS GROUP INC/THE 6.651% 08/30/2023$178,1020.0%
WELLS FARGO COMMERCIAL MORTGAGE TRUST 2016-NXS6 4.297% 11/15/2049$175,0820.0%
LIMA METRO LINE 2 FINANCE LTD 5.875% 07/05/2034$174,9650.0%
HOME RE 2020-1 LTD 3.339% 10/25/2030$174,5530.0%
CITIGROUP INC 5.95% CALLABLE$173,2630.0%
UBS COMMERCIAL MORTGAGE TRUST 2018-C10 4.313% 05/15/2051$169,9870.0%
AFFIRM ASSET SECURITIZATION TRUST 2021-Z1 1.07% 08/15/2025$169,9790.0%
UBS COMMERCIAL MORTGAGE TRUST 3.203% 10/15/2052$168,2500.0%
FEDERAL NATIONAL MORTGAGE ASSOCIATION 3.639% 07/25/2029$167,3030.0%
CITY OF NEW YORK NY 1.923% 08/01/2031$165,3930.0%
CSAIL 2015-C2 COMMERCIAL MORTGAGE TRUST 3.504% 06/15/2057$164,8830.0%
CFCRE COMMERCIAL MORTGAGE TRUST 2016-C4 3.283% 05/10/2058$164,5380.0%
TRAINGLE RE 2021-1 LTD 3.089% 08/25/2033$164,4760.0%
INGEVITY CORP 3.875% 11/01/2028$164,2780.0%
EMBRAER NETHERLANDS FINANCE BV 5.4% 02/01/2027$162,3300.0%
MATTEL INC 3.75% 04/01/2029$161,2080.0%
MATTEL INC 3.375% 04/01/2026$160,6770.0%
GS MORTGAGE SECURITIES CORP TRUST 2019-SMP 1.24% 08/15/2032$160,2940.0%
WELLS FARGO COMMERCIAL MORTGAGE TRUST 2016-LC25 4.352% 12/15/2059$158,0770.0%
LEVI STRAUSS & CO 3.5% 03/01/2031$156,9750.0%
DELTA AIR LINES INC / SKYMILES IP LTD 4.75% 10/20/2028$153,3110.0%
AMERICAN WATER CAPITAL CORP 3.45% 06/01/2029$152,9900.0%
PORT AUTHORITY OF NEW YORK & NEW JERSEY 1.086% 07/01/2023$151,4080.0%
FEDERAL HOME LOAN MORTGAGE CORP 6.011% 06/25/2050$151,0410.0%
AIRCASTLE LTD 5.25% 08/11/2025$150,3530.0%
NEWELL BRANDS INC 4.7% 04/01/2026$150,2050.0%
NEIGHBORLY ISSUER LLC 3.584% 04/30/2051$147,7570.0%
AVIATION CAPITAL GROUP LLC 5.5% 12/15/2024$147,6780.0%
FEDERAL HOME LOAN MORTGAGE CORP 4.5% 11/25/2050$147,2190.0%
BROADCOM INC 4.11% 09/15/2028$144,4870.0%
INEOS QUATTRO FINANCE 2 PLC 2.5% 01/15/2026$140,9700.0%
GE CAPITAL EUROPEAN FUNDING UNLIMITED CO 4.625% 02/22/2027$140,4980.0%
CITIGROUP COMMERCIAL MORTGAGE TRUST 2016-GC36 3.616% 02/10/2049$140,1920.0%
COMM 2015-CCRE24 MORTGAGE TRUST 3.696% 08/10/2048$139,7740.0%
CONNECTICUT AVENUE SECURITIES TRUST 2020-R01 2.139% 01/25/2040$139,5420.0%
CITIGROUP INC 3.98% 03/20/2030$139,4760.0%
BX COMMERCIAL MORTGAGE TRUST 2019-IMC 1.09% 04/15/2034$139,1260.0%
MISSION LANE CREDIT CARD MASTER TRUST 2.24% 09/15/2026$138,8160.0%
VENTURE GLOBAL CALCASIEU PASS LLC 4.125% 08/15/2031$137,8150.0%
CLARIOS GLOBAL LP / CLARIOS US FINANCE CO 4.375% 05/15/2026$136,2790.0%
JPMBB COMMERCIAL MORTGAGE SECURITIES TRUST 2015-C30 3.822% 07/15/2048$135,3650.0%
HARDEE'S FUNDING LLC 3.981% 12/20/2050$135,0490.0%
JYSKE REALKREDIT A/S 1.5% 10/01/2053$133,8550.0%
CITIGROUP INC 4.15% CALLABLE$133,7980.0%
VENTURE GLOBAL CALCASIEU PASS LLC 3.875% 08/15/2029$133,4560.0%
T-MOBILE USA INC 2.875% 02/15/2031$132,3350.0%
HARDEE'S FUNDING LLC 5.71% 06/20/2048$129,9010.0%
CIT GROUP INC 5.25% 03/07/2025$128,5690.0%
BROADCOM INC 3.187% 11/15/2036$127,9420.0%
CITIGROUP COMMERCIAL MORTGAGE TRUST 2017-P8 3.789% 09/15/2050$126,9700.0%
DELTA AIR LINES INC / SKYMILES IP LTD 4.5% 10/20/2025$126,7560.0%
LSTAR COMMERCIAL MORTGAGE TRUST 2016-4 2.579% 03/10/2049$126,3720.0%
CSAIL 2015-C3 COMMERCIAL MORTGAGE TRUST 3.718% 08/15/2048$124,8620.0%
JPMORGAN CHASE & CO 3.599% CALLABLE$122,3040.0%
AVIATION CAPITAL GROUP LLC 1.95% 09/20/2026$120,6830.0%
NATIXIS COMMERCIAL MORTGAGE SECURITIES TRUST 2019-MILE 1.59% 07/15/2036$120,1720.0%
BCP TRUST 2021-330N .889% 06/15/2038$118,4870.0%
DELL INTERNATIONAL LLC / EMC CORP 6.02% 06/15/2026$116,6950.0%
ASHFORD HOSPITALITY TRUST 2018-KEYS 1.09% 06/15/2035$113,4940.0%
RADNOR RE 2020-2 LTD 4.689% 10/25/2030$113,3550.0%
CABLE ONE INC 4% 11/15/2030$113,1180.0%
HESS MIDSTREAM OPERATIONS LP 5.625% 02/15/2026$111,0130.0%
AFFIRM ASSET SECURITIZATION TRUST 2020-A 2.1% 02/18/2025$110,4870.0%
DBWF 2018-GLKS MORTGAGE TRUST 1.11% 12/19/2030$109,4070.0%
CITIGROUP COMMERCIAL MORTGAGE TRUST 2015-GC35 3.818% 11/10/2048$108,3000.0%
MARATHON PETROLEUM CORP 6.5% 03/01/2041$107,1300.0%
FEDERAL NATIONAL MORTGAGE ASSOCIATION 4.539% 01/25/2029$106,4040.0%
INVITATION HOMES 2018-SFR2 TRUST 1.366% 06/17/2037$106,0830.0%
CCO HOLDINGS LLC / CCO HOLDINGS CAPITAL CORP 4.5% 06/01/2033$105,8710.0%
IHS MARKIT LTD 4.25% 05/01/2029$104,8770.0%
CIGNA CORP 4.375% 10/15/2028$103,2230.0%
JPMORGAN CHASE & CO 3.932% CALLABLE$102,6610.0%
GSF MORTGAGE CORP 2.435% 08/15/2026$102,0510.0%
RADNOR RE 2019-1 LTD 2.039% 02/25/2029$101,6380.0%
FEDERAL HOME LOAN MORTGAGE CORP 4% 09/25/2050$101,1670.0%
STACR TRUST 2018-DNA3 2.189% 09/25/2048$100,8200.0%
CONSUMER LOAN UNDERLYING BOND CLUB CREDIT TRUST 2020-P1 2.92% 03/15/2028$100,7150.0%
BX COMMERCIAL MORTGAGE TRUST 2019-IMC 1.99% 04/15/2034$99,6680.0%
VOYA CLO 2019-1 LTD 2.974% 04/15/2031$98,4760.0%
FREDDIE MAC STACR TRUST 2019-FTR2 2.239% 11/25/2048$98,2950.0%
WELLS FARGO & CO 3.9% CALLABLE$97,8600.0%
INFOR INC 1.75% 07/15/2025$97,8020.0%
CONNECTICUT AVENUE SECURITIES TRUST 2020-R02 2.089% 01/25/2040$97,7970.0%
FEDERAL NATIONAL MORTGAGE ASSOCIATION 6.111% 12/25/2047$96,9390.0%
ROYAL CARIBBEAN CRUISES LTD 11.5% 06/01/2025$96,8470.0%
FEDERAL NATIONAL MORTGAGE ASSOCIATION 5.961% 04/25/2044$94,7970.0%
SANTANDER HOLDINGS USA INC 4.4% 07/13/2027$94,6090.0%
CITIGROUP INC 4% CALLABLE$93,1610.0%
ROYAL CARIBBEAN CRUISES LTD 10.875% 06/01/2023$92,9600.0%
BAMLL COMMERCIAL MORTGAGE SECURITIES TRUST 2013-WBRK 3.534% 03/10/2037$91,7830.0%
NYKREDIT REALKREDIT AS 2% 10/01/2053$91,7220.0%
ASSET BACKED SECURITIES CORP HOME EQUITY LOAN TRUST SERIES OOMC 2006-HE3 .419% 03/25/2036$91,5280.0%
BANK OF AMERICA CORP 6.415% 10/09/2024$91,2940.0%
FREDDIE MAC STACR REMIC TRUST 2020-DNA1 1.789% 01/25/2050$89,2110.0%
FEDERAL HOME LOAN MORTGAGE CORP 3.5% 12/25/2050$88,7540.0%
PETROLEOS MEXICANOS BOND 6.75% 09/21/2047$88,6560.0%
TRANSDIGM INC 6.25% 03/15/2026$87,7800.0%
T-MOBILE USA INC 2.625% 04/15/2026$87,4090.0%
FREDDIE MAC STACR 2019-HQA3 1.939% 09/25/2049$85,5440.0%
BELLEMEADE RE 2018-3 LTD 1.939% 10/25/2028$81,9010.0%
FEDERAL NATIONAL MORTGAGE ASSOCIATION 6.111% 10/25/2047$78,0690.0%
FEDERAL HOME LOAN MORTGAGE CORP 6.06% 06/15/2047$75,7260.0%
BAT CAPITAL CORP 2.726% 03/25/2031$75,2450.0%
PRUDENTIAL FINANCIAL INC 5.375% 05/15/2045$75,1590.0%
MARATHON PETROLEUM CORP 5.125% 12/15/2026$74,8180.0%
DISCOVERY COMMUNICATIONS LLC 5.2% 09/20/2047$73,9470.0%
FEDERAL HOME LOAN MORTGAGE CORP 5.961% 02/25/2050$73,9300.0%
TRANSOCEAN POSEIDON LTD 6.875% 02/01/2027$71,9290.0%
CONNECTICUT AVENUE SECURITIES TRUST 2019-R07 2.189% 10/25/2039$68,7710.0%
UPSTART SECURITIZATION TRUST 2020-3 1.702% 11/20/2030$68,1470.0%
JPMBB COMMERCIAL MORTGAGE SECURITIES TRUST 2014-C21 4.341% 08/15/2047$68,1170.0%
CITIGROUP INC 6.251% 09/29/2024$63,7870.0%
FEDERAL NATIONAL MORTGAGE ASSOCIATION 6.061% 08/25/2047$62,5540.0%
JPMORGAN CHASE & CO 3.451% CALLABLE$60,0300.0%
AVIATION CAPITAL GROUP LLC 4.875% 10/01/2025$59,0760.0%
AIRCASTLE LTD 4.125% 05/01/2024$56,9500.0%
FREDDIE MAC STACR TRUST 2019-DNA4 2.039% 10/25/2049$56,2270.0%
T-MOBILE USA INC 2.625% 02/15/2029$55,5800.0%
PMT CREDIT RISK TRANSFER TRUST 2020-1R 2.438% 02/27/2023$55,4080.0%
FREDDIE MAC MULTIFAMILY STRUCTURED CREDIT RISK 2.049% 01/25/2051$55,0820.0%
ALTRIA GROUP INC 4.8% 02/14/2029$54,7190.0%
JPMORGAN CHASE & CO 6.501% 12/20/2023$52,7380.0%
GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 6.114% 09/20/2047$52,5750.0%
SUZANO AUSTRIA GMBH 3.75% 01/15/2031$50,1360.0%
GSF MORTGAGE CORP 1.433% 08/15/2026$50,0950.0%
FEDERAL NATIONAL MORTGAGE ASSOCIATION 5.911% 10/25/2046$49,7170.0%
GENERAL MOTORS CO 6.125% 10/01/2025$48,7630.0%
FEDERAL NATIONAL MORTGAGE ASSOCIATION 6.011% 12/25/2044$48,6650.0%
FEDERAL NATIONAL MORTGAGE ASSOCIATION 4.339% 04/25/2029$48,5850.0%
BELLEMEADE RE 2020-2 LTD 3.289% 08/26/2030$48,4140.0%
AVIATION CAPITAL GROUP LLC 3.5% 11/01/2027$48,0720.0%
FEDERAL NATIONAL MORTGAGE ASSOCIATION 4.089% 05/25/2025$48,0220.0%
CENTENE CORP 4.625% 12/15/2029$47,5200.0%
ONEOK INC 6.35% 01/15/2031$47,0510.0%
BELLEMEADE RE 2020-4 LTD 2.689% 06/25/2030$46,0210.0%
AVIATION CAPITAL GROUP LLC 4.375% 01/30/2024$45,6130.0%
FEDERAL NATIONAL MORTGAGE ASSOCIATION 4.439% 05/25/2029$45,5560.0%
AT&T INC 3.5% 09/15/2053$44,7820.0%
GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 6.114% 08/20/2047$44,5580.0%
VOLCAN CIA MINERA SAA 4.375% 02/11/2026$43,9310.0%
WESTINGHOUSE AIR BRAKE TECHNOLOGIES CORP 3.2% 06/15/2025$43,4080.0%
ONEOK PARTNERS LP 6.125% 02/01/2041$38,8820.0%
NEWELL BRANDS INC 4.875% 06/01/2025$37,2840.0%
DISCOVERY COMMUNICATIONS LLC 5.3% 05/15/2049$37,0260.0%
CONNECTICUT AVENUE SECURITIES TRUST 2019-R06 2.189% 09/25/2039$36,7670.0%
BROADCOM INC 3.137% 11/15/2035$36,4060.0%
FEDERAL NATIONAL MORTGAGE ASSOCIATION 6.451% 12/25/2041$34,4720.0%
T-MOBILE USA INC 3.375% 04/15/2029$33,9490.0%
CCO HOLDINGS LLC / CCO HOLDINGS CAPITAL CORP 4.5% 08/15/2030$32,6120.0%
MORGAN STANLEY 3.734% CALLABLE$31,1600.0%
FEDERAL NATIONAL MORTGAGE ASSOCIATION 5.789% 04/25/2028$30,9670.0%
FIRST INVESTORS AUTO OWNER TRUST 2020-1 1.49% 01/15/2025$28,9170.0%
AIR LEASE CORP 2.875% 01/15/2026$26,8840.0%
DISCOVERY COMMUNICATIONS LLC 4.65% 05/15/2050$25,9680.0%
AMERICAN EXPRESS CO 3.553% CALLABLE$25,0000.0%
IHS MARKIT LTD 4.75% 08/01/2028$23,3530.0%
MARRIOTT INTERNATIONAL INC/MD 5.75% 05/01/2025$22,6750.0%
PLAINS ALL AMERICAN PIPELINE LP / PAA FINANCE CORP 4.5% 12/15/2026$20,9580.0%
AT&T INC 4.3% 12/15/2042$20,4050.0%
FEDERAL NATIONAL MORTGAGE ASSOCIATION 5.089% 07/25/2025$19,5990.0%
FREDDIE MAC STACR TRUST 2019-DNA3 2.139% 07/25/2049$17,8940.0%
CONNECTICUT AVENUE SECURITIES TRUST 2019-R04 2.189% 06/25/2039$16,9500.0%
CENOVUS ENERGY INC 4.25% 04/15/2027$15,3490.0%
AIR LEASE CORP 3.625% 04/01/2027$14,9510.0%
GUARDIAN LIFE INSURANCE CO OF AMERICA/THE 4.85% 01/24/2077$14,7930.0%
TERRAFORM GLOBAL OPERATING LLC 6.125% 03/01/2026$14,3710.0%
GSF MORTGAGE CORP 2.638% 08/15/2026$12,2180.0%
FEDERAL NATIONAL MORTGAGE ASSOCIATION 5.089% 07/25/2025$11,5880.0%
CONNECTICUT AVENUE SECURITIES TRUST 2019-R05 2.089% 07/25/2039$10,4540.0%
SPECTRUM BRANDS INC 5.75% 07/15/2025$10,2380.0%
FEDERAL NATIONAL MORTGAGE ASSOCIATION 4.089% 05/25/2025$6,9410.0%
EXPEDIA GROUP INC 6.25% 05/01/2025$5,7120.0%
AVIATION CAPITAL GROUP LLC 4.125% 08/01/2025$3,2070.0%
SOFI CONSUMER LOAN PROGRAM 2019-3 TRUST 2.9% 05/25/2028$1860.0%
 
Collective Trusts/Mutual Funds
Underlying Fund HoldingsMarket Value%
U.S. TREASURY INFLATION PROTECTED SECURITIES FUND$257,037,99323.2%
 
Short-Term/Cash
Underlying Fund HoldingsMarket Value%
BLACKROCK TEMP FUND - INST SHARES FUND 24$30,334,8572.7%
JPMORGAN PRIME MONEY MARKET FUND FUNDS VARIABLE$27,877,8512.5%
UNITED STATES OF AMERICA BILL ZERO CPN 18/NOV/2021$13,224,5191.2%
UNITED STATES OF AMERICA BILL ZERO CPN 21/APR/2022$8,627,1430.8%
UNITED STATES OF AMERICA BILL ZERO CPN 19/MAY/2022$8,626,9800.8%
UNITED STATES OF AMERICA BILL ZERO CPN 09/DEC/2021$6,930,6550.6%
UNITED STATES OF AMERICA BILL ZERO CPN 02/DEC/2021$4,789,7630.4%
 
Other
Underlying Fund HoldingsMarket Value%
US DOLLAR$1,215,1570.1%
SWAP/02/26/2025/P:USD 1.58900 /R:USD/USCPI/1M$1,086,0361.1%
POUND STERLING$1,030,2870.1%
SWAP/07/15/2026/P:USD 2.79250 /R:USD/USCPI/1M$974,7551.8%
SWAP/07/15/2025/P:USD 1.59500 /R:USD/USCPI/1M$753,6230.7%
SWAP/01/15/2023/P:USD 3.35500 /R:USD/USCPI/1M$692,7242.4%
SWAP/01/15/2025/P:USD 2.44000 /R:USD/USCPI/1M$603,9680.9%
US DOLLAR$593,0000.1%
SWAP/01/15/2025/P:USD 0.78000 /R:USD/USCPI/1M$578,4950.4%
US DOLLAR$575,5550.1%
CANADIAN DOLLAR$527,6490.1%
SWAP/07/15/2026/P:USD 2.89600 /R:USD/USCPI/1M$306,6220.6%
SWAP/07/15/2026/P:USD 2.90800 /R:USD/USCPI/1M$297,6070.6%
SWAP/07/15/2028/P:USD 2.42350 /R:USD/USCPI/1M$285,8950.3%
SWAP/01/15/2027/P:USD 2.84250 /R:USD/USCPI/1M$280,9920.7%
SWAP/01/15/2026/P:USD 2.32200 /R:USD/USCPI/1M$266,0970.4%
SWAP/07/15/2024/P:USD 1.85500 /R:USD/USCPI/1M$242,3100.3%
EURO$239,6860.0%
US LONG BOND(CBT) BOND 21/DEC/2021 USZ1 COMDTY$238,632-1.3%
SWAP/01/15/2028/P:USD 2.79850 /R:USD/USCPI/1M$211,2130.5%
SWAP/01/15/2025/P:USD 1.58000 /R:USD/USCPI/1M$207,8270.2%
CURRENCY CONTRACT - USD$204,657-0.9%
CURRENCY CONTRACT - USD$199,697-0.4%
SWAP/01/15/2023/P:USD 2.31000 /R:USD/USCPI/1M$194,1560.4%
SWAP/07/15/2023/P:USD 2.18750 /R:USD/USCPI/1M$179,7160.3%
SWAP/01/15/2025/P:USD 1.96750 /R:USD/USCPI/1M$177,2080.2%
SWAP/06/24/2022/P:USD 3.52000 /R:USD/USCPI/1M$176,5980.8%
SWAP/06/05/2027/P:USD 0.55750 /R:USD/LIBOR/3M$172,3580.4%
SWAP/07/15/2026/P:USD 2.40750 /R:USD/USCPI/1M$165,6100.2%
US 10YR ULTRA FUT BOND 21/DEC/2021 UXYZ1 COMDTY$159,7860.0%
SWAP/04/15/2032/P:USD 2.60750 /R:USD/USCPI/1M$150,3490.3%
SWAP/07/15/2022/P:USD 1.47900 /R:USD/USCPI/1M$147,6380.2%
SWAP/01/15/2023/P:USD 2.18400 /R:USD/USCPI/1M$147,2770.3%
SWAP/04/15/2032/P:USD 2.60500 /R:USD/USCPI/1M$132,9630.3%
SWAP/07/15/2023/P:USD 3.36875 /R:USD/USCPI/1M$121,4300.4%
EURO$119,1070.0%
SWAP/07/15/2023/P:USD 3.33400 /R:USD/USCPI/1M$118,4020.4%
SWAP/09/07/2031/P:USD 2.51900 /R:USD/USCPI/1M$115,5510.4%
SWAP/07/15/2022/P:USD 1.57500 /R:USD/USCPI/1M$113,4040.2%
SWAP/07/15/2023/P:USD 2.35300 /R:USD/USCPI/1M$113,1660.3%
SWAP/03/05/2026/P:USD 2.41875 /R:USD/USCPI/1M$111,5210.2%
RUSSIAN RUBLE$102,2260.0%
CURRENCY CONTRACT - RUB$95,6030.3%
SWAPTION/EUROPEAN/11/02/2022/11/04/2052/P:EUR 0.19500 /R:EUR/EURIBOR/6M$93,9920.1%
SWAP/02/26/2026/P:USD 2.31375 /R:USD/USCPI/1M$87,6810.1%
SWAP/07/15/2022/P:USD 1.76000 /R:USD/USCPI/1M$86,9750.2%
EURO-BTP FUTURE BOND 08/DEC/2021 IKZ1 COMDTY$85,460-0.2%
YEN$83,9000.0%
SWAP/01/15/2023/P:USD 1.54300 /R:USD/USCPI/1M$77,6830.1%
SWAP/07/15/2022/P:USD 1.48400 /R:USD/USCPI/1M$75,0030.1%
EURO-BOBL FUTURE BOND 08/DEC/2021 OEZ1 COMDTY$74,450-0.6%
SWAP/01/15/2023/P:USD 1.96000 /R:USD/USCPI/1M$72,4210.1%
SWAP/01/15/2024/P:USD 1.59900 /R:USD/USCPI/1M$71,6440.1%
CURRENCY CONTRACT - NOK$67,5950.1%
SWAP/11/10/2045/P:USD 2.72100 /R:USD/LIBOR/3M$67,1520.0%
SWAP/05/13/2026/P:USD 2.76750 /R:USD/USCPI/1M$61,0230.1%
POUND STERLING$53,2820.0%
SWAP/07/15/2026/P:USD 2.94400 /R:USD/USCPI/1M$53,0550.1%
SWAP/07/15/2023/P:USD 1.55100 /R:USD/USCPI/1M$50,2890.1%
SWAP/07/15/2022/P:USD 1.59700 /R:USD/USCPI/1M$49,4620.1%
CURRENCY CONTRACT - USD$47,750-0.3%
SWAP/07/15/2023/P:USD 1.54800 /R:USD/USCPI/1M$46,7780.1%
SWAP/02/05/2023/P:USD 2.21000 /R:USD/USCPI/1M$44,2370.1%
SWAP/05/15/2026/P:EUR 1.50000 /R:EUR/HICPXT/1M$42,8350.1%
SWAP/07/15/2022/P:USD 1.90250 /R:USD/USCPI/1M$35,5990.1%
CURRENCY CONTRACT - NOK$35,1030.1%
LONG GILT FUTURE BOND 29/DEC/2021 G Z1 COMDTY$34,668-0.2%
SWAPTION/EUROPEAN/11/02/2022/11/04/2052/P:EUR 0.19000 /R:EUR/EURIBOR/6M$32,3780.1%
SWAP/05/14/2026/P:USD 2.79300 /R:USD/USCPI/1M$31,3930.1%
SWAP/04/15/2032/P:USD 2.51900 /R:USD/USCPI/1M$31,3890.1%
CURRENCY CONTRACT - USD$31,079-0.2%
MALAYSIAN RINGGIT$30,0920.0%
CURRENCY CONTRACT - USD$28,703-0.2%
CURRENCY CONTRACT - CAD$27,8480.1%
EURO-SCHATZ FUT BOND 08/DEC/2021 DUZ1 COMDTY$26,246-0.8%
CURRENCY CONTRACT - NOK$26,1940.1%
SWAP/04/15/2022/P:USD 2.14000 /R:USD/USCPI/1M$21,1930.1%
CURRENCY CONTRACT - USD$20,875-0.1%
SWAP/05/10/2023/P:USD 2.28100 /R:USD/USCPI/1M$18,3820.1%
SWAPTION/EUROPEAN/11/04/2022/11/08/2052/P:EUR 0.19700 /R:EUR/EURIBOR/6M$17,5730.0%
JPN 10Y BOND(OSE) BOND 13/DEC/2021 JBZ1 COMDTY$17,362-0.5%
CREDIT INDEX SWAP - CDI$17,1780.8%
SWAPTION/EUROPEAN/11/17/2022/11/21/2023/P:EUR/EURIBOR/3M /R:EUR -0.52600$16,7761.5%
SWEDISH KRONA$15,3690.0%
CURRENCY CONTRACT - AUD$15,2360.1%
SWAP/03/15/2024/P:EUR 1.03000 /R:EUR/FRCPI/1M$15,1230.1%
SWAP/05/09/2023/P:USD 2.26250 /R:USD/USCPI/1M$12,1900.0%
CURRENCY CONTRACT - USD$11,9740.0%
YEN$10,2710.0%
SELL PROTECTION ON CMBX.NA.BBB-.6.MAY.05/11/2063$9,8230.0%
SELL PROTECTION ON CMBX.NA.BBB-.6.MAY.05/11/2063$9,7460.0%
CURRENCY CONTRACT - CAD$8,8470.1%
CURRENCY CONTRACT - AUD$8,5450.0%
SELL PROTECTION ON CMBX.NA.BBB-.6.MAY.05/11/2063$7,8700.0%
SHORT EURO-BTP FU BOND 08/DEC/2021 BTSZ1 COMDTY$7,158-0.1%
CURRENCY CONTRACT - USD$6,7680.0%
CURRENCY CONTRACT - USD$5,749-0.1%
SELL PROTECTION ON CMBX.NA.BBB-.6.MAY.05/11/2063$5,5870.0%
SELL PROTECTION ON CMBX.NA.BBB-.6.MAY.05/11/2063$5,5860.0%
BUY PROTECTION ON CMBX.NA.BBB-.9.SEP.09/17/2058$5,4590.0%
SELL PROTECTION ON CMBX.NA.A.6.MAY.05/11/2063$5,3350.0%
SELL PROTECTION ON CMBX.NA.BBB-.6.MAY.05/11/2063$5,3330.0%
SWAP/03/04/2051/P:CAD 2.33250 /R:CAD/BA/3M$5,2460.1%
SELL PROTECTION ON CMBX.NA.BBB-.6.MAY.05/11/2063$5,2030.0%
SELL PROTECTION ON CMBX.NA.BBB-.6.MAY.05/11/2063$4,9580.0%
CURRENCY CONTRACT - SEK$4,6080.1%
SELL PROTECTION ON CMBX.NA.A.6.MAY.05/11/2063$4,5350.0%
CURRENCY CONTRACT - USD$4,367-0.1%
CURRENCY CONTRACT - USD$4,115-0.3%
SELL PROTECTION ON CMBX.NA.BBB-.6.MAY.05/11/2063$4,0990.0%
SELL PROTECTION ON CMBX.NA.BBB-.6.MAY.05/11/2063$3,8660.0%
BUY PROTECTION ON CMBX.NA.BBB-.9.SEP.09/17/2058$3,8220.0%
SELL PROTECTION ON CMBX.NA.BBB-.6.MAY.05/11/2063$3,7540.0%
SELL PROTECTION ON CMBX.NA.BBB-.6.MAY.05/11/2063$3,6670.0%
SWAP/05/15/2026/P:EUR 1.50000 /R:EUR/HICPXT/1M$3,312-0.1%
SWAP/03/03/2051/P:CAD 2.29700 /R:CAD/BA/3M$3,0870.0%
SELL PROTECTION ON CMBX.NA.BBB-.6.MAY.05/11/2063$3,0820.0%
SELL PROTECTION ON CMBX.NA.BBB-.6.MAY.05/11/2063$2,9170.0%
BUY PROTECTION ON CMBX.NA.BBB-.9.SEP.09/17/2058$2,9130.0%
SELL PROTECTION ON CMBX.NA.BBB-.6.MAY.05/11/2063$2,7550.0%
SELL PROTECTION ON CMBX.NA.BBB-.6.MAY.05/11/2063$2,7530.0%
EUROPEAN OPTION EXPIRING ON 11/17/2021 TO BUY PROTECTION ON CDX.NA.IG.36-V1.JUN.2026/PAY: USD 0.00$2,6440.2%
EUROPEAN OPTION EXPIRING ON 12/15/2021 TO BUY PROTECTION ON CDX.NA.IG.36-V1.JUN.2026/PAY: USD 0.00$2,6060.3%
SWAP/03/15/2031/P:EUR/HICPXT/1M /R:EUR 1.38000$2,556-0.1%
SELL PROTECTION ON CMBX.NA.BBB-.6.MAY.05/11/2063$2,4990.0%
SELL PROTECTION ON GENERAL ELECTRIC COMPANY SENIOR_UNSECURED/RECEIVE: USD 1.00000 MATURING ON 12/20/2023$2,0650.0%
SWAP/03/15/2036/P:GBP/UKRPI/1M /R:GBP 3.58000$1,9770.0%
SWAP/03/15/2031/P:EUR/HICPXT/1M /R:EUR 1.38000$1,8500.0%
SWAP/03/15/2031/P:EUR/HICPXT/1M /R:EUR 1.38000$1,7870.0%
SWAP/03/15/2036/P:GBP/UKRPI/1M /R:GBP 3.58000$1,7540.0%
CURRENCY CONTRACT - USD$1,6800.0%
SELL PROTECTION ON CMBX.NA.BBB-.6.MAY.05/11/2063$1,6440.0%
CREDIT DEFAULT SWAP - CDS$1,6360.0%
SELL PROTECTION ON CMBX.NA.BBB-.6.MAY.05/11/2063$1,5890.0%
SWAP/03/15/2031/P:EUR/HICPXT/1M /R:EUR 1.38000$1,5310.0%
SELL PROTECTION ON CMBX.NA.BBB-.6.MAY.05/11/2063$1,3230.0%
SELL PROTECTION ON CMBX.NA.BBB-.6.MAY.05/11/2063$1,2050.0%
SELL PROTECTION ON CMBX.NA.BBB-.6.MAY.05/11/2063$1,1760.0%
SELL PROTECTION ON CMBX.NA.BBB-.6.MAY.05/11/2063$1,1350.0%
BUY PROTECTION ON CMBX.NA.BBB-.9.SEP.09/17/2058$1,1330.0%
SELL PROTECTION ON CMBX.NA.BBB-.6.MAY.05/11/2063$1,0990.0%
SELL PROTECTION ON CMBX.NA.BBB-.6.MAY.05/11/2063$9620.0%
BUY PROTECTION ON CMBX.NA.BBB-.9.SEP.09/17/2058$9050.0%
SELL PROTECTION ON CMBX.NA.BBB-.6.MAY.05/11/2063$8930.0%
SELL PROTECTION ON CMBX.NA.BBB-.6.MAY.05/11/2063$8690.0%
SELL PROTECTION ON CMBX.NA.BBB-.6.MAY.05/11/2063$7910.0%
SELL PROTECTION ON CMBX.NA.BBB-.6.MAY.05/11/2063$7220.0%
SELL PROTECTION ON CMBX.NA.BBB-.6.MAY.05/11/2063$7220.0%
EUROPEAN OPTION EXPIRING ON 12/15/2021 TO BUY PROTECTION ON CDX.NA.IG.36-V1.JUN.2026/PAY: USD 0.00$7050.1%
SELL PROTECTION ON CMBX.NA.BBB-.6.MAY.05/11/2063$6670.0%
SELL PROTECTION ON CMBX.NA.BBB-.6.MAY.05/11/2063$6160.0%
CANADIAN DOLLAR$6160.0%
SWAP/03/15/2031/P:EUR/HICPXT/1M /R:EUR 1.38000$5740.0%
CURRENCY CONTRACT - USD$5630.0%
EUROPEAN OPTION EXPIRING ON 11/17/2021 TO BUY PROTECTION ON CDX.NA.IG.36-V1.JUN.2026/PAY: USD 0.00$4840.1%
SELL PROTECTION ON CMBX.NA.BBB-.6.MAY.05/11/2063$4780.0%
SELL PROTECTION ON CMBX.NA.BBB-.6.MAY.05/11/2063$4540.0%
SWAP/03/15/2036/P:GBP/UKRPI/1M /R:GBP 3.58000$4500.0%
SWAP/04/15/2031/P:GBP/UKRPI/1M /R:GBP 3.75000$4290.0%
NORWEGIAN KRONE$4220.0%
EUROPEAN OPTION EXPIRING ON 12/15/2021 TO BUY PROTECTION ON CDX.NA.IG.36-V1.JUN.2026/PAY: USD 0.00$3850.1%
AUSTRALIAN DOLLAR$3760.0%
NEW ZEALAND DOLLAR$3580.0%
SWAP/03/15/2024/P:EUR 1.03000 /R:EUR/FRCPI/1M$336-0.1%
SELL PROTECTION ON CMBX.NA.BBB-.6.MAY.05/11/2063$2440.0%
SWEDISH KRONA$1990.0%
SELL PROTECTION ON CMBX.NA.BBB-.6.MAY.05/11/2063$1830.0%
SELL PROTECTION ON CMBX.NA.BBB-.6.MAY.05/11/2063$1730.0%
CURRENCY CONTRACT - USD$1660.0%
SELL PROTECTION ON CMBX.NA.BBB-.6.MAY.05/11/2063$1530.0%
SWAP/03/15/2036/P:GBP/UKRPI/1M /R:GBP 3.58000$1140.0%
SWAP/02/26/2022/P:USD/USCPI/1M /R:USD 1.44000$8-0.8%
SWAP/01/19/2022/P:USD/USCPI/1M /R:USD 2.18000$8-0.1%
SWAP/01/15/2023/P:USD 3.35500 /R:USD/USCPI/1M$6-2.4%
SWAP/02/26/2025/P:USD 1.58900 /R:USD/USCPI/1M$4-1.1%
SWAP/06/24/2022/P:USD 3.52000 /R:USD/USCPI/1M$3-0.8%
SWAP/11/05/2021/P:USD/USCPI/1M /R:USD 1.29000$3-0.1%
SWAP/11/04/2021/P:USD/USCPI/1M /R:USD 1.23000$2-0.1%
SWAP/07/15/2023/P:USD 2.35300 /R:USD/USCPI/1M$2-0.3%
SWAP/07/15/2024/P:USD 1.85500 /R:USD/USCPI/1M$2-0.3%
SWAP/07/15/2025/P:USD 1.59500 /R:USD/USCPI/1M$2-0.7%
SWAP/07/15/2022/P:USD 1.47900 /R:USD/USCPI/1M$2-0.2%
SWAP/07/15/2022/P:USD 1.57500 /R:USD/USCPI/1M$2-0.2%
SWAP/01/15/2025/P:USD 2.44000 /R:USD/USCPI/1M$2-0.9%
RAND$20.0%
SWAP/01/15/2026/P:USD 2.32200 /R:USD/USCPI/1M$1-0.4%
SWAP/01/15/2027/P:USD 2.84250 /R:USD/USCPI/1M$1-0.7%
SWAP/01/19/2022/P:USD/USCPI/1M /R:USD 2.16500$1-0.1%
SWAP/02/05/2023/P:USD 2.21000 /R:USD/USCPI/1M$1-0.1%
SWAP/01/21/2022/P:USD/USCPI/1M /R:USD 2.20000$1-0.1%
SWAP/01/15/2023/P:USD 2.31000 /R:USD/USCPI/1M$1-0.4%
SWAP/01/15/2023/P:USD 2.18400 /R:USD/USCPI/1M$1-0.3%
SWAP/01/15/2025/P:USD 0.78000 /R:USD/USCPI/1M$1-0.4%
SWAP/01/15/2025/P:USD 1.96750 /R:USD/USCPI/1M$1-0.2%
SWAP/01/15/2023/P:USD 1.54300 /R:USD/USCPI/1M$1-0.1%
SWAP/07/15/2022/P:USD 1.59700 /R:USD/USCPI/1M$1-0.1%
SWAP/07/15/2022/P:USD 1.76000 /R:USD/USCPI/1M$1-0.2%
SWAP/07/15/2022/P:USD 1.48400 /R:USD/USCPI/1M$1-0.1%
SWAP/05/21/2031/P:USD 1.61650 /R:USD/LIBOR/3M$1-1.3%
SWAP/04/15/2022/P:USD 2.14000 /R:USD/USCPI/1M$1-0.1%
SWAP/07/15/2023/P:USD 3.33400 /R:USD/USCPI/1M$1-0.4%
SWAP/07/15/2023/P:USD 3.36875 /R:USD/USCPI/1M$1-0.4%
SWAP/07/15/2026/P:USD 2.79250 /R:USD/USCPI/1M$1-1.8%
SWAP/07/15/2026/P:USD 2.90800 /R:USD/USCPI/1M$1-0.6%
SWAP/07/15/2026/P:USD 2.89600 /R:USD/USCPI/1M$1-0.6%
SWAP/11/05/2021/P:USD/USCPI/1M /R:USD 1.29000$1-0.1%
SWAP/11/02/2021/P:USD/USCPI/1M /R:USD 1.28000$1-0.1%
SWAP/11/04/2021/P:USD/USCPI/1M /R:USD 1.23000$1-0.1%
WON$10.0%
SWAP/09/07/2031/P:USD 2.51900 /R:USD/USCPI/1M$0-0.4%
SWAP/08/30/2024/P:SEK/STIBOR/3M /R:SEK -0.16500$0-3.8%
SWAP/10/04/2026/P:USD 1.48700 /R:USD/LIBOR/3M$0-0.1%
SWAP/10/15/2031/P:GBP 4.14000 /R:GBP/UKRPI/1M$0-0.1%
SWAP/11/08/2026/P:USD 1.65700 /R:USD/LIBOR/3M$00.0%
SWAP/11/09/2026/P:USD 1.67150 /R:USD/LIBOR/3M$00.0%
SWAP/11/15/2034/P:EUR/FRCPI/1M /R:EUR 1.28000$00.0%
SWAP/09/07/2026/P:USD/USCPI/1M /R:USD 2.67000$0-0.4%
SWAP/07/15/2026/P:USD 2.40750 /R:USD/USCPI/1M$0-0.2%
SWAP/07/15/2026/P:USD 2.94400 /R:USD/USCPI/1M$0-0.1%
SWAP/07/15/2028/P:USD 2.42350 /R:USD/USCPI/1M$0-0.3%
SWAP/08/15/2030/P:GBP/UKRPI/1M /R:GBP 3.47500$0-0.2%
SWAP/08/15/2030/P:GBP/UKRPI/1M /R:GBP 3.47500$0-0.1%
SWAP/07/15/2023/P:USD 2.18750 /R:USD/USCPI/1M$0-0.3%
SWAP/07/15/2023/P:USD 1.54800 /R:USD/USCPI/1M$0-0.1%
SWAP/07/15/2023/P:USD 1.55100 /R:USD/USCPI/1M$0-0.1%
SWAP/04/15/2031/P:GBP/UKRPI/1M /R:GBP 3.75000$0-0.1%
SWAP/05/09/2023/P:USD 2.26250 /R:USD/USCPI/1M$00.0%
SWAP/04/15/2032/P:USD 2.60750 /R:USD/USCPI/1M$0-0.3%
SWAP/04/15/2032/P:USD 2.51900 /R:USD/USCPI/1M$0-0.1%
SWAP/04/15/2032/P:USD 2.60500 /R:USD/USCPI/1M$0-0.3%
SWAP/03/15/2036/P:GBP/UKRPI/1M /R:GBP 3.56600$00.0%
SWAP/06/05/2027/P:USD 0.55750 /R:USD/LIBOR/3M$0-0.4%
SWAP/05/20/2029/P:USD 2.36000 /R:USD/LIBOR/3M$0-0.1%
SWAP/05/20/2029/P:USD 2.39000 /R:USD/LIBOR/3M$0-0.1%
SWAP/05/14/2026/P:USD 2.79300 /R:USD/USCPI/1M$0-0.1%
SWAP/05/10/2023/P:USD 2.28100 /R:USD/USCPI/1M$0-0.1%
SWAP/05/13/2026/P:USD 2.76750 /R:USD/USCPI/1M$0-0.1%
SWAP/06/04/2029/P:USD 2.15000 /R:USD/LIBOR/3M$00.0%
SWAP/07/12/2027/P:USD 2.35450 /R:USD/LIBOR/3M$00.0%
SWAP/07/15/2022/P:USD 1.90250 /R:USD/USCPI/1M$0-0.1%
SWAP/01/15/2025/P:USD 1.58000 /R:USD/USCPI/1M$0-0.2%
SWAP/01/15/2024/P:USD 1.59900 /R:USD/USCPI/1M$0-0.1%
SWAP/01/15/2023/P:USD 1.96000 /R:USD/USCPI/1M$0-0.1%
SWAP/01/15/2028/P:USD 2.79850 /R:USD/USCPI/1M$0-0.5%
SWAP/02/26/2026/P:USD 2.31375 /R:USD/USCPI/1M$0-0.1%
SWAP/02/01/2022/P:USD/USCPI/1M /R:USD 2.17000$00.0%
SWAP/02/15/2031/P:GBP/UKRPI/1M /R:GBP 3.62400$0-0.1%
SWAP/03/05/2026/P:USD 2.41875 /R:USD/USCPI/1M$0-0.2%
SWAP/03/03/2051/P:CAD 2.29700 /R:CAD/BA/3M$00.0%
SWAP/03/04/2051/P:CAD 2.33250 /R:CAD/BA/3M$0-0.1%
SELL PROTECTION ON CDX.NA.IG.37-V1.DEC.2026$0-0.8%
SELL PROTECTION ON CMBX.NA.BBB-.6.MAY.05/11/2063$00.0%
CREDIT DEFAULT SWAP, CMBX - CDSCMBX$00.0%
CREDIT DEFAULT SWAP, CMBX - CDSCMBX$00.0%
CREDIT DEFAULT SWAP, CMBX - CDSCMBX$00.0%
CREDIT DEFAULT SWAP, CMBX - CDSCMBX$00.0%
CREDIT DEFAULT SWAP, CMBX - CDSCMBX$00.0%
CREDIT DEFAULT SWAP, CMBX - CDSCMBX$00.0%
CREDIT DEFAULT SWAP, CMBX - CDSCMBX$00.0%
CURRENCY CONTRACT - USD$-30.0%
CURRENCY CONTRACT - USD$-580.0%
CURRENCY CONTRACT - USD$-2200.0%
CREDIT DEFAULT SWAP, CMBX - CDSCMBX$-2780.0%
CREDIT DEFAULT SWAP, CMBX - CDSCMBX$-5560.0%
CREDIT DEFAULT SWAP, CMBX - CDSCMBX$-5560.0%
CREDIT DEFAULT SWAP, CMBX - CDSCMBX$-5560.0%
CURRENCY CONTRACT - USD$-6290.0%
CURRENCY CONTRACT - USD$-6440.0%
CURRENCY CONTRACT - CAD$-8020.1%
CREDIT DEFAULT SWAP, CMBX - CDSCMBX$-1,1110.0%
CREDIT DEFAULT SWAP, CMBX - CDSCMBX$-1,3890.0%
CREDIT DEFAULT SWAP, CMBX - CDSCMBX$-1,3890.0%
CREDIT DEFAULT SWAP, CMBX - CDSCMBX$-1,6670.0%
DANISH KRONE$-1,6980.0%
CREDIT DEFAULT SWAP, CMBX - CDSCMBX$-1,9450.0%
CREDIT DEFAULT SWAP, CMBX - CDSCMBX$-1,9450.0%
CREDIT DEFAULT SWAP, CMBX - CDSCMBX$-1,9450.0%
CREDIT DEFAULT SWAP, CMBX - CDSCMBX$-1,9450.0%
CREDIT DEFAULT SWAP, CMBX - CDSCMBX$-1,9450.0%
CREDIT DEFAULT SWAP, CMBX - CDSCMBX$-2,2220.0%
CREDIT DEFAULT SWAP, CMBX - CDSCMBX$-2,2220.0%
GOLD 100 OZ FUTR PRECIOUS METAL 29/DEC/2021 GCZ1$-2,4690.1%
CREDIT DEFAULT SWAP, CMBX - CDSCMBX$-2,5000.0%
CREDIT DEFAULT SWAP, CMBX - CDSCMBX$-3,0560.0%
CREDIT DEFAULT SWAP, CMBX - CDSCMBX$-3,0560.0%
CREDIT DEFAULT SWAP, CMBX - CDSCMBX$-3,3340.0%
CURRENCY CONTRACT - EUR$-3,4410.0%
CREDIT DEFAULT SWAP, CMBX - CDSCMBX$-3,8890.0%
SWAP/06/04/2029/P:USD 2.15000 /R:USD/LIBOR/3M$-4,1480.0%
CREDIT DEFAULT SWAP, CMBX - CDSCMBX$-4,1670.0%
US ULTRA BOND CBT BOND 21/DEC/2021 WNZ1 COMDTY$-4,624-0.2%
CREDIT DEFAULT SWAP, CMBX - CDSCMBX$-4,7220.0%
CREDIT DEFAULT SWAP, CMBX - CDSCMBX$-6,9450.0%
CREDIT DEFAULT SWAP, CMBX - CDSCMBX$-6,9450.0%
CURRENCY CONTRACT - USD$-6,9580.0%
SWAP/11/08/2026/P:USD 1.65700 /R:USD/LIBOR/3M$-7,1230.0%
CREDIT DEFAULT SWAP, CMBX - CDSCMBX$-8,8890.0%
CREDIT DEFAULT SWAP, CMBX - CDSCMBX$-9,1670.0%
CREDIT DEFAULT SWAP, CMBX - CDSCMBX$-9,4450.0%
SWAP/11/09/2026/P:USD 1.67150 /R:USD/LIBOR/3M$-9,7630.0%
SWAP/03/15/2031/P:EUR/HICPXT/1M /R:EUR 1.38000$-9,7640.0%
CREDIT DEFAULT SWAP, CMBX - CDSCMBX$-10,0010.0%
CREDIT DEFAULT SWAP, CMBX - CDSCMBX$-11,3890.0%
CURRENCY CONTRACT - USD$-11,643-0.1%
CREDIT DEFAULT SWAP, CMBX - CDSCMBX$-11,9450.0%
CREDIT DEFAULT SWAP, CMBX - CDSCMBX$-12,2230.0%
CREDIT DEFAULT SWAP, CMBX - CDSCMBX$-12,2230.0%
SWAP/02/01/2022/P:USD/USCPI/1M /R:USD 2.17000$-12,4740.0%
BUY PROTECTION ON CMBX.NA.BBB-.9.SEP.09/17/2058$-12,5900.0%
CREDIT DEFAULT SWAP, CMBX - CDSCMBX$-12,7780.0%
CREDIT DEFAULT SWAP, CMBX - CDSCMBX$-13,8900.0%
CURRENCY CONTRACT - USD$-13,910-0.1%
CREDIT DEFAULT SWAP, CMBX - CDSCMBX$-14,4450.0%
SWAP/03/15/2036/P:GBP/UKRPI/1M /R:GBP 3.58000$-14,8570.0%
CURRENCY CONTRACT - USD$-15,450-0.1%
CREDIT DEFAULT SWAP, CMBX - CDSCMBX$-16,6680.0%
SWAP/04/15/2031/P:GBP/UKRPI/1M /R:GBP 3.75000$-16,7530.0%
BUY PROTECTION ON CMBX.NA.BBB-.9.SEP.09/17/2058$-18,3870.0%
CREDIT DEFAULT SWAP, CMBX - CDSCMBX$-19,1680.0%
SWAP/10/04/2026/P:USD 1.48700 /R:USD/LIBOR/3M$-19,3990.1%
SWAP/03/15/2031/P:EUR/HICPXT/1M /R:EUR 1.38000$-19,5480.0%
SWAP/03/15/2031/P:EUR/HICPXT/1M /R:EUR 1.38000$-19,5480.0%
SWAP/03/15/2031/P:EUR/HICPXT/1M /R:EUR 1.38000$-19,5480.0%
CURRENCY CONTRACT - USD$-19,736-0.1%
SWAP/07/12/2027/P:USD 2.35450 /R:USD/LIBOR/3M$-20,5030.0%
CREDIT DEFAULT SWAP, CMBX - CDSCMBX$-20,8340.0%
CURRENCY CONTRACT - USD$-20,960-0.1%
CURRENCY CONTRACTS - ZAR$-21,0330.2%
SWAP/11/15/2034/P:EUR/FRCPI/1M /R:EUR 1.28000$-21,9440.0%
SWAP/11/02/2021/P:USD/USCPI/1M /R:USD 1.28000$-23,8560.1%
CREDIT DEFAULT SWAP, CMBX - CDSCMBX$-24,0590.0%
SWAP/11/04/2021/P:USD/USCPI/1M /R:USD 1.23000$-26,2290.1%
SWAP/11/04/2021/P:USD/USCPI/1M /R:USD 1.23000$-26,2290.1%
SWAP/01/19/2022/P:USD/USCPI/1M /R:USD 2.18000$-27,9390.1%
SWAP/03/15/2036/P:GBP/UKRPI/1M /R:GBP 3.58000$-29,7140.0%
SWAP/03/15/2036/P:GBP/UKRPI/1M /R:GBP 3.58000$-29,7140.0%
SWAP/03/15/2036/P:GBP/UKRPI/1M /R:GBP 3.58000$-29,7140.0%
POUND STERLING$-30,1610.0%
SWAP/03/15/2036/P:GBP/UKRPI/1M /R:GBP 3.56600$-30,5350.0%
CREDIT DEFAULT SWAP, CMBX - CDSCMBX$-30,5750.0%
SWAP/10/15/2031/P:GBP 4.14000 /R:GBP/UKRPI/1M$-36,2640.1%
SWAP/01/21/2022/P:USD/USCPI/1M /R:USD 2.20000$-44,0140.1%
CURRENCY CONTRACT - USD$-45,160-0.3%
SWAP/03/15/2031/P:EUR/HICPXT/1M /R:EUR 1.38000$-48,8220.1%
SWAP/11/05/2021/P:USD/USCPI/1M /R:USD 1.29000$-51,7390.1%
SWAP/11/05/2021/P:USD/USCPI/1M /R:USD 1.29000$-55,7190.1%
EURO$-57,2250.0%
SWAP/05/20/2029/P:USD 2.36000 /R:USD/LIBOR/3M$-57,9070.1%
SWAPTION/EUROPEAN/11/04/2022/11/08/2032/P:EUR 0.00000 /R:EUR/EURIBOR/6M$-58,0730.2%
EURO-BUXL 30Y BND BOND 08/DEC/2021 UBZ1 COMDTY$-59,879-0.4%
CURRENCY CONTRACT - USD$-61,633-0.3%
SWAP/01/19/2022/P:USD/USCPI/1M /R:USD 2.16500$-64,1010.1%
US 2YR NOTE (CBT) BOND 31/DEC/2021 TUZ1 COMDTY$-64,2001.3%
SWAP/05/20/2029/P:USD 2.39000 /R:USD/LIBOR/3M$-65,9450.1%
SWAPTION/EUROPEAN/11/02/2022/11/04/2032/P:EUR 0.00000 /R:EUR/EURIBOR/6M$-74,9490.2%
CREDIT DEFAULT SWAP, CMBX - CDSCMBX$-75,7230.0%
EURO-BUND FUTURE BOND 08/DEC/2021 RXZ1 COMDTY$-76,3240.3%
CURRENCY CONTRACT - EUR$-76,8350.3%
CURRENCY CONTRACT - MXN$-76,9270.3%
SWAP/11/10/2045/P:USD 2.72100 /R:USD/LIBOR/3M$-91,1230.0%
SWAP/08/15/2030/P:GBP/UKRPI/1M /R:GBP 3.47500$-93,6190.1%
SWAP/09/07/2026/P:USD/USCPI/1M /R:USD 2.67000$-95,8260.4%
SWAP/08/30/2024/P:SEK/STIBOR/3M /R:SEK -0.16500$-99,4093.8%
SWAPTION/EUROPEAN/11/02/2022/11/04/2032/P:EUR 0.00000 /R:EUR/EURIBOR/6M$-139,9800.2%
SWAP/04/15/2031/P:GBP/UKRPI/1M /R:GBP 3.75000$-146,2960.1%
US 10YR NOTE (CBT) BOND 21/DEC/2021 TYZ1 COMDTY$-183,1200.9%
SWAP/05/21/2031/P:USD 1.61650 /R:USD/LIBOR/3M$-188,7431.3%
CURRENCY CONTRACT - USD$-196,072-0.6%
SWAP/02/15/2031/P:GBP/UKRPI/1M /R:GBP 3.62400$-213,2060.1%
SWAP/08/15/2030/P:GBP/UKRPI/1M /R:GBP 3.47500$-276,3540.2%
CURRENCY CONTRACT - USD$-279,574-0.6%
SWAP/02/26/2022/P:USD/USCPI/1M /R:USD 1.44000$-433,6750.8%
US DOLLAR$-668,000-0.1%
US 5YR NOTE (CBT) BOND 31/DEC/2021 FVZ1 COMDTY$-1,050,4106.6%
US DOLLAR$-9,483,366-0.9%
US DOLLAR$-24,712,207-2.2%
All Holdings As of Sep 30, 2021
Exchange-Traded Funds
Underlying Fund HoldingsMarket Value%
INVESCO DB AGRICULTURE FUND ETP USD$4,512,3200.4%
VANGUARD REAL ESTATE ETF ETP USD 1$3,694,6140.3%
UNITED STATES COPPER INDEX FUND ETP USD$3,529,0440.3%
INVESCO DB OIL FUND ETP USD$3,183,0400.3%
ISHARES SILVER TRUST ETP USD$1,026,0000.1%
 
Fixed Income
Underlying Fund HoldingsMarket Value%
UNITED STATES OF AMERICA NOTES .125% 04/15/2026$51,607,2234.3%
UNITED STATES OF AMERICA NOTES .125% 01/15/2031$41,861,6583.5%
UNITED STATES OF AMERICA NOTES .125% 07/15/2031$37,684,6873.1%
UNITED STATES OF AMERICA NOTES .125% 01/15/2030$33,045,7702.7%
UNITED STATES OF AMERICA NOTES .625% 04/15/2023$32,895,8742.7%
UNITED STATES OF AMERICA NOTES .375% 01/15/2027$29,650,0272.5%
UNITED STATES OF AMERICA NOTES .5% 04/15/2024$27,126,2272.2%
UNITED STATES OF AMERICA NOTES .5% 01/15/2028$26,336,3322.2%
UNITED STATES OF AMERICA BOND .125% 02/15/2051$24,632,7002.0%
UNITED STATES OF AMERICA NOTES .125% 10/15/2024$21,258,6821.8%
UNITED STATES OF AMERICA BOND 2.125% 02/15/2041$20,240,3491.7%
UNITED STATES OF AMERICA NOTES .125% 04/15/2022$19,875,8781.6%
UNITED STATES OF AMERICA BOND .75% 02/15/2045$19,277,9171.6%
UNITED STATES OF AMERICA NOTES .125% 04/15/2025$18,941,8091.6%
UNITED STATES OF AMERICA NOTES .875% 01/15/2029$17,777,0391.5%
UNITED STATES OF AMERICA NOTES .25% 01/15/2025$16,970,3411.4%
UNITED STATES OF AMERICA NOTES .25% 07/15/2029$16,475,8801.4%
UNITED STATES OF AMERICA BOND 1% 02/15/2046$15,930,8711.3%
UNITED STATES OF AMERICA NOTES .125% 01/15/2023$15,769,2161.3%
UNITED STATES OF AMERICA BOND .625% 02/15/2043$15,394,6291.3%
UNITED STATES OF AMERICA NOTES .125% 07/15/2026$15,251,5661.3%
UNITED STATES OF AMERICA NOTES .75% 07/15/2028$15,064,7811.2%
UNITED STATES OF AMERICA BOND 2.5% 01/15/2029$14,725,7021.2%
UNITED STATES OF AMERICA NOTES .625% 01/15/2024$13,285,1971.1%
UNITED STATES OF AMERICA BOND 1.375% 02/15/2044$11,797,9311.0%
UNITED STATES OF AMERICA BOND 3.625% 04/15/2028$11,289,5910.9%
UNITED STATES OF AMERICA NOTES .125% 10/15/2025$11,275,3030.9%
UNITED STATES OF AMERICA NOTES .125% 07/15/2030$10,823,9720.9%
UNITED STATES OF AMERICA BOND .75% 02/15/2042$10,475,9450.9%
UNITED STATES OF AMERICA NOTES .625% 01/15/2026$9,455,6390.8%
UNITED STATES OF AMERICA NOTES .375% 07/15/2027$9,420,7040.8%
UNITED STATES OF AMERICA BOND .875% 02/15/2047$8,631,7050.7%
UNITED STATES OF AMERICA BOND 1% 02/15/2048$8,479,4880.7%
UNITED STATES OF AMERICA BOND 2.375% 01/15/2027$7,811,6420.6%
UNITED STATES OF AMERICA BOND 2.375% 01/15/2025$7,649,9380.6%
UNITED STATES OF AMERICA BOND 3.875% 04/15/2029$5,794,6180.5%
TBA UMBS SINGLE FAMILY 30YR 2.5 10/21$5,720,7250.5%
UNITED STATES OF AMERICA NOTES .375% 07/15/2025$5,451,2650.5%
REPUBLIC OF ITALY BOND .408% 05/15/2030$5,311,8250.4%
REPUBLIC OF ITALY BOND 1.4% 05/26/2025$4,744,5120.4%
UNITED STATES OF AMERICA BOND 1.75% 01/15/2028$4,713,0040.4%
UNITED STATES OF AMERICA BOND 2.125% 02/15/2040$4,178,2720.3%
UNITED STATES OF AMERICA BOND 2% 01/15/2026$4,130,4790.3%
UNITED STATES OF AMERICA BOND 1% 02/15/2049$3,495,0250.3%
UNITED STATES OF AMERICA BOND 3.375% 04/15/2032$3,158,3420.3%
UNITED STATES OF AMERICA BOND .25% 02/15/2050$2,972,9490.3%
CANADIAN GOVERNMENT REAL RETURN BOND BOND 4% 12/01/2031$2,900,1660.2%
UNITED MEXICAN STATES BOND 7.5% 06/03/2027$2,758,6370.2%
UNITED STATES OF AMERICA NOTES .125% 07/15/2024$2,235,6890.2%
REPUBLIC OF SOUTH AFRICA BOND 8% 01/31/2030$2,100,0120.2%
NORDEA KREDIT REALKREDITAKTIESELSKAB 1.5% 10/01/2053$1,870,0590.2%
JAPAN BOND .1% 03/10/2029$1,703,3800.1%
GENERAL ELECTRIC CO 0% 12/21/2046$1,596,8510.1%
JAPAN BOND .005% 03/10/2031$1,481,9660.1%
JAPAN BOND .101% 03/10/2028$1,467,9600.1%
RUSSIAN FEDERATION BOND 7.65% 04/10/2030$1,417,1210.1%
UNICREDIT SPA 7.83% 12/04/2023$1,373,7140.1%
NYKREDIT REALKREDIT AS 1.5% 10/01/2053$1,284,4200.1%
REGATTA XX FUNDING LTD 1.244% 10/15/2034$923,6090.1%
MAGNETITE XXVI LTD 1.21% 07/25/2034$903,0590.1%
SLM STUDENT LOAN TRUST 2004-10 .725% 10/25/2029$869,4410.1%
BFLD TRUST 1.684% 06/15/2038$859,2030.1%
MORGAN STANLEY 3.772% 01/24/2029$821,5920.1%
SUZANO AUSTRIA GMBH 2.5% 09/15/2028$804,3180.1%
FLAGSHIP CREDIT AUTO TRUST 2019-3 2.33% 02/15/2024$803,2080.1%
CITIZENS FINANCIAL GROUP INC 4.3% 12/03/2025$788,8290.1%
CANADIAN GOVERNMENT REAL RETURN BOND BOND .537% 12/01/2050$723,7320.1%
AVANT LOANS FUNDING TRUST 2021-REV1 1.21% 07/15/2030$716,9880.1%
BANK OF AMERICA CORP 2.299% 07/21/2032$663,8510.1%
UNITED STATES OF AMERICA NOTES .125% 01/15/2022$656,1110.1%
ENBRIDGE ENERGY PARTNERS LP 7.375% 10/15/2045$610,3090.1%
BELLEMEADE RE 2021-3 LTD 1.05% 09/25/2031$606,8350.1%
CHARLES SCHWAB CORP/THE 4% CALLABLE$576,8400.1%
LAS VEGAS SANDS CORP 3.9% 08/08/2029$571,2400.1%
DIGITAL REALTY TRUST LP 3.6% 07/01/2029$557,2250.1%
CITIGROUP COMMERCIAL MORTGAGE TRUST 2015-GC27 3.137% 02/10/2048$552,2800.1%
YAMANA GOLD INC 2.63% 08/15/2031$548,7340.1%
TRANSCANADA PIPELINES LTD 6.1% 06/01/2040$544,0950.0%
MADISON PARK FUNDING LI LTD 3.196% 07/19/2034$540,3210.0%
NEUBERGER BERMAN LOAN ADVISERS CLO 43 LTD 1.241% 07/17/2035$535,3830.0%
FISERV INC 3.5% 07/01/2029$525,1650.0%
WEIBO CORP 3.375% 07/08/2030$519,7170.0%
TENCENT HOLDINGS LTD 2.39% 06/03/2030$511,5740.0%
PLAINS ALL AMERICAN PIPELINE LP / PAA FINANCE CORP 3.55% 12/15/2029$503,2090.0%
PIKES PEAK CLO 8 3.247% 07/20/2034$500,2970.0%
CARNIVAL CORP 4% 08/01/2028$487,4230.0%
BELLEMEADE RE LTD 1.55% 06/25/2031$483,8070.0%
BAIDU INC 1.625% 02/23/2027$480,3080.0%
ADVANCE AUTO PARTS INC 3.9% 04/15/2030$468,5340.0%
AB ISSUER LLC 3.734% 07/30/2051$467,7680.0%
BP CAPITAL MARKETS AMERICA INC 2.939% 06/04/2051$465,0620.0%
OCHSNER LSU HEALTH SYSTEM OF NORTH LOUISIANA 2.51% 05/15/2031$460,9620.0%
ALIBABA GROUP HOLDING LTD 2.125% 02/09/2031$453,0120.0%
UNIVERSITY OF CALIFORNIA 3.071% 05/15/2051$451,3220.0%
AIRCASTLE LTD 4.25% 06/15/2026$444,0290.0%
AGL CLO 12 LTD 2.98% 07/20/2034$441,2960.0%
BALLYROCK CLO 16 LTD 3.035% 07/20/2034$440,2610.0%
ROCKFORD TOWER CLO 2021-2 LTD 1.273% 07/20/2034$438,1300.0%
BBCMS 2020-BID MORTGAGE TRUST 2.224% 10/15/2037$437,4040.0%
CREDIT SUISSE GROUP AG 6.375% CALLABLE$429,0000.0%
NISSAN MOTOR CO LTD 4.345% 09/17/2027$428,7260.0%
UPSTART SECURITIZATION TRUST 2021-3 1.66% 07/20/2031$419,8620.0%
CPS AUTO RECEIVABLES TRUST 2021-C 1.69% 06/15/2027$418,3940.0%
COMM 2015-CCRE22 MORTGAGE TRUST 3.309% 03/10/2048$417,8830.0%
FREDDIE MAC STRUCTURED AGENCY CREDIT RISK DEBT NOTES 2.736% 12/25/2029$415,6270.0%
SIRIUS XM RADIO INC 4% 07/15/2028$415,3950.0%
BX COMMERCIAL MORTGAGE TRUST 2019-IMC 2.234% 04/15/2034$411,7230.0%
CENOVUS ENERGY INC/CA 4.4% 04/15/2029$410,6660.0%
ENA MASTER TRUST 4% 05/19/2048$404,7290.0%
DEUTSCHE BANK AG/NEW YORK NY 4.25% 10/14/2021$400,4330.0%
ALPEK SAB DE CV 3.25% 02/25/2031$399,6830.0%
WESTINGHOUSE AIR BRAKE TECHNOLOGIES CORP 4.4% 03/15/2024$395,7170.0%
HARLEY-DAVIDSON FINANCIAL SERVICES INC 3.35% 06/08/2025$393,0440.0%
CORP FINANCIERA DE DESARROLLO SA BOND 2.4% 09/28/2027$392,5960.0%
OLEODUCTO CENTRAL SA 4% 07/14/2027$391,8750.0%
OCP CLO 2020-18 LTD 1.224% 07/20/2032$391,7290.0%
BAT CAPITAL CORP 2.259% 03/25/2028$389,3320.0%
BNP PARIBAS SA 2.871% 04/19/2032$389,3310.0%
NETFLIX INC 5.875% 11/15/2028$387,6210.0%
JPMORGAN CHASE & CO 2.58% 04/22/2032$387,5820.0%
GOLDMAN SACHS GROUP INC/THE 2.615% 04/22/2032$386,8670.0%
CREDIT SUISSE GROUP AG 3.091% 05/14/2032$384,7550.0%
COMM 2015-CCRE25 MORTGAGE TRUST 3.759% 08/10/2048$382,0530.0%
AIR LEASE CORP 4.625% 10/01/2028$381,1360.0%
TRAINGLE RE 2020-1 LTD 3.986% 10/25/2030$377,9580.0%
FLATIRON CLO 21 LTD 3.047% 07/19/2034$376,7710.0%
MORTGAGE INSURANCE-LINKED NOTES 1.95% 02/25/2034$375,5450.0%
GOLDMAN SACHS GROUP INC/THE 2.383% 07/21/2032$374,4970.0%
WELLS FARGO COMMERCIAL MORTGAGE TRUST 2015-SG1 3.789% 09/15/2048$370,6310.0%
BAMLL COMMERCIAL MORTGAGE SECURITIES TRUST 2017-SCH 1.084% 11/15/2033$367,9780.0%
BALBOA BAY LOAN FUNDING 2021-1 LTD 1.334% 07/20/2034$367,1640.0%
ELMWOOD CLO IX LTD 3.085% 07/20/2034$361,7490.0%
CGRBS COMMERCIAL MORTGAGE TRUST 2013-VN05 3.369% 03/13/2035$360,0320.0%
CEMEX SAB DE CV 3.875% 07/11/2031$354,6550.0%
ARDAGH METAL PACKAGING FINANCE USA LLC / ARDAGH METAL PACKAGING FINANCE PLC 3.25% 09/01/2028$349,5630.0%
ORACLE CORP 3.95% 03/25/2051$341,2840.0%
MORGAN STANLEY 7.391% 04/25/2023$336,9970.0%
VISTRA OPERATIONS CO LLC 4.375% 05/01/2029$332,4350.0%
SOCIETE GENERALE SA 8% CALLABLE$328,0210.0%
TOBACCO SETTLEMENT FINANCE AUTHORITY 3% 06/01/2035$324,1680.0%
WFRBS COMMERCIAL MORTGAGE TRUST 2014-C19 4.101% 03/15/2047$322,4380.0%
MORGAN STANLEY 7.391% 05/17/2023$319,1430.0%
NATIXIS COMMERCIAL MORTGAGE SECURITIES TRUST 2018-850T .867% 07/15/2033$318,8230.0%
CHEVRON USA INC 5.25% 11/15/2043$315,8470.0%
NXP BV / NXP FUNDING LLC 5.55% 12/01/2028$310,8170.0%
CENCOSUD SA 5.15% 02/12/2025$310,5530.0%
FEDERATION OF MALAYSIA BOND 3.882% 03/10/2022$309,5120.0%
NATURA COSMETICOS SA 4.125% 05/03/2028$309,1180.0%
ING BANK NV 2.625% 12/05/2022$308,3540.0%
MDC HOLDINGS INC 6% 01/15/2043$305,1410.0%
CREDIT SUISSE GROUP AG 4.194% 04/01/2031$304,8140.0%
FHF TRUST 2021-2 .83% 12/15/2026$300,0480.0%
GOLDENTREE LOAN MANAGEMENT US CLO 7 LTD 1.204% 04/20/2034$299,2570.0%
BANK OF AMERICA CORP 3.419% 12/20/2028$291,7450.0%
BERKSHIRE HATHAWAY ENERGY CO 6.125% 04/01/2036$290,9980.0%
MPLX LP 2.65% 08/15/2030$290,2080.0%
ROSS STORES INC 4.7% 04/15/2027$289,6130.0%
ARAB REPUBLIC OF EGYPT BOND 5.875% 02/16/2031$289,4410.0%
ENGIE ENERGIA CHILE SA 3.4% 01/28/2030$289,0790.0%
CARVANA AUTO RECEIVABLES TRUST 2021-N3 1.02% 06/12/2028$288,9390.0%
COMM 2014-UBS4 MORTGAGE TRUST 3.694% 08/10/2047$288,2410.0%
AERCAP IRELAND CAPITAL DAC / AERCAP GLOBAL AVIATION TRUST 6.5% 07/15/2025$286,5020.0%
FORD CREDIT AUTO OWNER TRUST 2021-REV1 2.31% 10/17/2033$286,5010.0%
AVIS BUDGET RENTAL CAR FUNDING AESOP LLC 3.7% 09/20/2024$284,7700.0%
NELNET STUDENT LOAN TRUST 2021-C 2.53% 04/20/2062$283,0780.0%
INDUSTRIAS PENOLES SAB DE CV 4.75% 08/06/2050$282,4130.0%
INRETAIL CONSUMER 3.25% 03/22/2028$279,0430.0%
LOWE'S COS INC 3.65% 04/05/2029$276,9930.0%
MORGAN STANLEY 3.875% 04/29/2024$275,2310.0%
BALLYROCK CLO 15 LTD 3.266% 04/15/2034$275,1800.0%
SK HYNIX INC 2.375% 01/19/2031$274,9220.0%
ALLISON TRANSMISSION INC 3.75% 01/30/2031$273,6240.0%
CSAIL 2015-C4 COMMERCIAL MORTGAGE TRUST 3.808% 11/15/2048$273,5960.0%
GFL ENVIRONMENTAL INC 3.5% 09/01/2028$271,0180.0%
BROADCOM INC 4.15% 11/15/2030$268,2820.0%
AVIS BUDGET RENTAL CAR FUNDING AESOP LLC 4% 03/20/2025$268,1510.0%
DIAMOND INFRASTRUCTURE FUNDING LLC 2.355% 04/15/2049$266,6780.0%
INDONESIA ASAHAN ALUMINIUM PERSERO PT BOND 4.75% 05/15/2025$264,5780.0%
AIRCASTLE LTD 2.85% 01/26/2028$264,5110.0%
FOX CORP 4.709% 01/25/2029$263,4490.0%
COLLATERALIZED MTGE OBLIGATION OR GLOBAL CMO 3.647% 03/15/2035$259,9920.0%
PARKER-HANNIFIN CORP 3.25% 06/14/2029$258,2930.0%
ENI SPA 4.25% 05/09/2029$257,3420.0%
GCI FUNDING I LLC 2.38% 06/18/2046$256,3350.0%
UNICREDIT SPA 3.127% 06/03/2032$252,5060.0%
UNITED STATES OF AMERICA BOND 1.625% 11/15/2050$251,6390.0%
ENERGY TRANSFER LP 4.75% 01/15/2026$251,5940.0%
BELLEMEADE RE 2019-3 LTD 1.686% 07/25/2029$250,9120.0%
WYNN MACAU LTD 5.625% 08/26/2028$250,7540.0%
CENTENE CORP 2.625% 08/01/2031$250,6110.0%
DRYDEN 78 CLO LTD 2.084% 04/17/2033$250,5240.0%
KIMBERLY-CLARK DE MEXICO SAB DE CV 2.431% 07/01/2031$250,4850.0%
NEW MOUNTAIN CLO 3 LTD 1.311% 10/20/2034$250,1310.0%
PRUDENTIAL PLC 0% 10/18/2034$250,1120.0%
NEUBERGER BERMAN LOAN ADVISERS CLO 42 LTD 2.941% 07/16/2035$247,8790.0%
JPMBB COMMERCIAL MORTGAGE SECURITIES TRUST 2014-C21 3.775% 08/15/2047$245,6790.0%
ELEVATION CLO 2020-11 LTD 2.326% 04/15/2033$245,5250.0%
JPMBB COMMERCIAL MORTGAGE SECURITIES TRUST 2015-C31 3.801% 08/15/2048$244,7710.0%
SYNCHRONY FINANCIAL 4.5% 07/23/2025$241,9390.0%
NATIONWIDE MUTUAL INSURANCE CO 9.375% 08/15/2039$241,3090.0%
GS MORTGAGE SECURITIES TRUST 2014-GC22 3.862% 06/10/2047$240,5780.0%
PMT CREDIT RISK TRANSFER TRUST 2019-2R 2.837% 05/27/2023$240,0070.0%
FREDDIE MAC STACR REMIC TRUST 2021-DNA5 1.7% 01/25/2034$238,8840.0%
COMISION FEDERAL DE ELECTRICIDAD BOND 3.348% 02/09/2031$238,2720.0%
MIZUHO FINANCIAL GROUP INC 2.226% 05/25/2026$237,1880.0%
1011778 BC ULC / NEW RED FINANCE INC 3.5% 02/15/2029$236,9090.0%
GS MORTGAGE SECURITIES TRUST 2011-GC5 5.209% 08/10/2044$236,3440.0%
COMM 2015-DC1 MORTGAGE TRUST 3.35% 02/10/2048$235,4290.0%
PROSUS NV 3.68% 01/21/2030$232,5370.0%
ALTRIA GROUP INC 3.4% 05/06/2030$227,6320.0%
DANSKE BANK A/S 3.875% 09/12/2023$227,5490.0%
BANCO SANTANDER SA 5.179% 11/19/2025$227,3100.0%
DOMINICAN REPUBLIC BOND 4.875% 09/23/2032$225,9750.0%
DOMINO'S PIZZA MASTER ISSUER LLC 2.662% 04/25/2051$225,5370.0%
UBS COMMERCIAL MORTGAGE TRUST 2018-C8 3.983% 02/15/2051$224,3810.0%
BHMS 2018-ATLS 1.334% 07/15/2035$223,8060.0%
FEDERAL NATIONAL MORTGAGE ASSOCIATION 3.736% 09/25/2029$223,3050.0%
SLM CORP 4.2% 10/29/2025$223,2570.0%
LUMEN TECHNOLOGIES INC 4.5% 01/15/2029$222,1830.0%
EXPEDIA GROUP INC 4.625% 08/01/2027$220,0580.0%
STANDARD CHARTERED PLC 4.3% 02/19/2027$218,0410.0%
CSC HOLDINGS LLC 6.5% 02/01/2029$216,8400.0%
INTESA SANPAOLO SPA 5.017% 06/26/2024$216,0030.0%
ALPEK SAB DE CV 5.375% 08/08/2023$214,9520.0%
OMAN GOVERNMENT INTERNATIONAL BOND BOND 6.25% 01/25/2031$214,3810.0%
MORGAN STANLEY CAPITAL I TRUST 2016-UBS12 3.596% 12/15/2049$213,6680.0%
BELLEMEADE RE LTD 3% 03/25/2031$213,1850.0%
ANHEUSER-BUSCH INBEV WORLDWIDE INC 5.55% 01/23/2049$212,9950.0%
CSN RESOURCES SA 4.625% 06/10/2031$211,5930.0%
STATE OF QATAR BOND 3.875% 04/23/2023$210,6270.0%
ENERGY TRANSFER LP 6.25% 04/15/2049$210,5720.0%
OMAN GOVERNMENT INTERNATIONAL BOND BOND 4.875% 02/01/2025$208,3190.0%
FREDDIE MAC STACR REMIC TRUST 2020-DNA5 2.85% 10/25/2050$207,9160.0%
JAZZ SECURITIES DAC 4.375% 01/15/2029$207,5100.0%
MICRON TECHNOLOGY INC 4.185% 02/15/2027$207,1190.0%
BREX COMMERCIAL CHARGE CARD MASTER TRUST 2.09% 07/15/2024$206,2480.0%
PRUDENTIAL FINANCIAL INC 5.2% 03/15/2044$205,5930.0%
DEUTSCHE BANK AG/NEW YORK NY 3.961% 11/26/2025$205,5760.0%
NATWEST GROUP PLC 1.682% 06/25/2024$204,2250.0%
FORD MOTOR CREDIT CO LLC 3.55% 10/07/2022$204,1060.0%
CITIGROUP INC 4.075% 04/23/2029$204,1010.0%
WORLD FINANCIAL NETWORK CREDIT CARD MASTER TRUST 3.04% 04/15/2026$203,3020.0%
GENERAL ELECTRIC CO 3.45% 05/01/2027$203,0160.0%
INVITATION HOMES 2018-SFR3 TRUST 1.384% 07/17/2037$202,8600.0%
REPUBLIC OF COLOMBIA BOND 3.125% 04/15/2031$202,5600.0%
MITSUBISHI HC CAPITAL INC 3.406% 02/28/2022$201,8860.0%
MSCG TRUST 2018-SELF .984% 10/15/2037$200,3360.0%
EAGLE RE 2020-1 LTD .986% 01/25/2030$199,2630.0%
GS MORTGAGE SECURITIES CORP TRUST 2019-BOCA 1.284% 06/15/2038$197,7670.0%
WELLS FARGO & CO 3.584% 05/22/2028$197,2010.0%
GS MORTGAGE SECURITIES TRUST 2013-G1 3.557% 04/10/2031$196,3280.0%
FEDERAL NATIONAL MORTGAGE ASSOCIATION 4% 12/25/2050$195,9930.0%
STANDARD CHARTERED PLC 1.639% CALLABLE$195,9930.0%
INTERPUBLIC GROUP OF COS INC/THE 4.65% 10/01/2028$195,9330.0%
FLOWSERVE CORP 2.8% 01/15/2032$195,1660.0%
GLENCORE FUNDING LLC 4% 03/27/2027$191,4660.0%
AXALTA COATING SYSTEMS LLC 3.375% 02/15/2029$190,8550.0%
CLNY TRUST 2019-IKPR 2.109% 11/15/2038$190,1870.0%
BELLEMEADE RE 2019-1 LTD 1.836% 03/25/2029$190,1200.0%
ALBERTSONS COS INC / SAFEWAY INC / NEW ALBERTSONS LP / ALBERTSONS LLC 3.5% 03/15/2029$188,8540.0%
BROADCOM INC 4.11% 09/15/2028$187,0440.0%
FEDERAL HOME LOAN MORTGAGE CORP 6.014% 06/25/2050$186,8540.0%
AVIATION CAPITAL GROUP LLC 1.95% 01/30/2026$186,4140.0%
STATE OF CALIFORNIA 5.7% 11/01/2021$185,7790.0%
RADNOR RE 2020-1 LTD 1.036% 01/25/2030$184,7540.0%
VORNADO REALTY LP 3.4% 06/01/2031$181,3060.0%
BX TRUST 2018-EXCL 1.171% 09/15/2037$181,1580.0%
RADNOR RE 2019-2 LTD 1.836% 06/25/2029$180,4840.0%
AFFIRM ASSET SECURITIZATION TRUST 2021-Z1 1.07% 08/15/2025$179,5740.0%
LIMA METRO LINE 2 FINANCE LTD 5.875% 07/05/2034$178,1840.0%
WELLS FARGO COMMERCIAL MORTGAGE TRUST 2016-NXS6 4.453% 11/15/2049$176,5330.0%
HOME RE 2020-1 LTD 3.336% 10/25/2030$176,2520.0%
TRAINGLE RE 2021-1 LTD 3.086% 08/25/2033$175,4390.0%
CITIGROUP INC 5.95% CALLABLE$174,2020.0%
UBS COMMERCIAL MORTGAGE TRUST 2018-C10 4.313% 05/15/2051$171,1340.0%
UBS COMMERCIAL MORTGAGE TRUST 3.203% 10/15/2052$169,1530.0%
FEDERAL NATIONAL MORTGAGE ASSOCIATION 3.636% 07/25/2029$167,5830.0%
CITY OF NEW YORK NY 1.923% 08/01/2031$167,1440.0%
INGEVITY CORP 3.875% 11/01/2028$166,7910.0%
CSAIL 2015-C2 COMMERCIAL MORTGAGE TRUST 3.504% 06/15/2057$166,4930.0%
CFCRE COMMERCIAL MORTGAGE TRUST 2016-C4 3.283% 05/10/2058$166,1670.0%
EMBRAER NETHERLANDS FINANCE BV 5.4% 02/01/2027$165,0770.0%
MATTEL INC 3.75% 04/01/2029$161,7810.0%
MATTEL INC 3.375% 04/01/2026$161,0470.0%
GS MORTGAGE SECURITIES CORP TRUST 2019-SMP 1.234% 08/15/2032$160,1730.0%
WELLS FARGO COMMERCIAL MORTGAGE TRUST 2016-LC25 4.562% 12/15/2059$159,3490.0%
LEVI STRAUSS & CO 3.5% 03/01/2031$157,7550.0%
AMERICAN WATER CAPITAL CORP 3.45% 06/01/2029$155,5260.0%
DELTA AIR LINES INC / SKYMILES IP LTD 4.75% 10/20/2028$153,9550.0%
AIRCASTLE LTD 5.25% 08/11/2025$152,1100.0%
PORT AUTHORITY OF NEW YORK & NEW JERSEY 1.086% 07/01/2023$151,9560.0%
CONNECTICUT AVENUE SECURITIES TRUST 2020-R01 2.136% 01/25/2040$151,6960.0%
FEDERAL HOME LOAN MORTGAGE CORP 4.5% 11/25/2050$151,2250.0%
NEWELL BRANDS INC 4.7% 04/01/2026$151,2180.0%
RADNOR RE 2020-2 LTD 4.686% 10/25/2030$150,9080.0%
AVIATION CAPITAL GROUP LLC 5.5% 12/15/2024$149,1130.0%
NEIGHBORLY ISSUER LLC 3.584% 04/30/2051$148,7800.0%
GOLDMAN SACHS GROUP INC/THE 6.765% 08/30/2023$146,3490.0%
INEOS QUATTRO FINANCE 2 PLC 2.5% 01/15/2026$142,8800.0%
GE CAPITAL EUROPEAN FUNDING UNLIMITED CO 4.625% 02/22/2027$142,3190.0%
CITIGROUP COMMERCIAL MORTGAGE TRUST 2016-GC36 3.616% 02/10/2049$141,7340.0%
COMM 2015-CCRE24 MORTGAGE TRUST 3.696% 08/10/2048$141,1840.0%
CITIGROUP INC 3.98% 03/20/2030$140,4540.0%
MISSION LANE CREDIT CARD MASTER TRUST 2.24% 09/15/2026$139,3800.0%
BX COMMERCIAL MORTGAGE TRUST 2019-IMC 1.084% 04/15/2034$139,2130.0%
MOODY'S CORP 4.25% 02/01/2029$138,9410.0%
VENTURE GLOBAL CALCASIEU PASS LLC 4.125% 08/15/2031$138,8190.0%
CLARIOS GLOBAL LP / CLARIOS US FINANCE CO 4.375% 05/15/2026$138,0190.0%
JPMBB COMMERCIAL MORTGAGE SECURITIES TRUST 2015-C30 3.822% 07/15/2048$135,7280.0%
HARDEE'S FUNDING LLC 3.981% 12/20/2050$135,2360.0%
VENTURE GLOBAL CALCASIEU PASS LLC 3.875% 08/15/2029$135,1000.0%
T-MOBILE USA INC 2.875% 02/15/2031$134,2970.0%
HARDEE'S FUNDING LLC 5.71% 06/20/2048$130,7060.0%
CIT GROUP INC 5.25% 03/07/2025$130,4550.0%
CITIGROUP COMMERCIAL MORTGAGE TRUST 2017-P8 3.789% 09/15/2050$127,9380.0%
DELTA AIR LINES INC / SKYMILES IP LTD 4.5% 10/20/2025$127,1230.0%
LSTAR COMMERCIAL MORTGAGE TRUST 2016-4 2.579% 03/10/2049$126,6170.0%
CSAIL 2015-C3 COMMERCIAL MORTGAGE TRUST 3.718% 08/15/2048$126,0820.0%
JPMORGAN CHASE & CO 3.598% CALLABLE$122,6690.0%
AVIATION CAPITAL GROUP LLC 1.95% 09/20/2026$121,7480.0%
NATIXIS COMMERCIAL MORTGAGE SECURITIES TRUST 2019-MILE 1.584% 07/15/2036$120,1040.0%
BCP TRUST 2021-330N .883% 06/15/2038$118,4730.0%
DELL INTERNATIONAL LLC / EMC CORP 6.02% 06/15/2026$117,8440.0%
CABLE ONE INC 4% 11/15/2030$114,7130.0%
ASHFORD HOSPITALITY TRUST 2018-KEYS 1.084% 06/15/2035$113,4580.0%
HESS MIDSTREAM OPERATIONS LP 5.625% 02/15/2026$111,1460.0%
AFFIRM ASSET SECURITIZATION TRUST 2020-A 2.1% 02/18/2025$110,5820.0%
DBWF 2018-GLKS MORTGAGE TRUST 1.117% 12/19/2030$109,6770.0%
CITIGROUP COMMERCIAL MORTGAGE TRUST 2015-GC35 3.818% 11/10/2048$109,6690.0%
FEDERAL HOME LOAN MORTGAGE CORP 4% 09/25/2050$109,3890.0%
CCO HOLDINGS LLC / CCO HOLDINGS CAPITAL CORP 4.5% 06/01/2033$108,0110.0%
CONNECTICUT AVENUE SECURITIES TRUST 2020-R02 2.086% 01/25/2040$107,8530.0%
MARATHON PETROLEUM CORP 6.5% 03/01/2041$106,7150.0%
FEDERAL NATIONAL MORTGAGE ASSOCIATION 4.536% 01/25/2029$106,4330.0%
INVITATION HOMES 2018-SFR2 TRUST 1.364% 06/17/2037$106,1810.0%
FEDERAL NATIONAL MORTGAGE ASSOCIATION 5.964% 04/25/2044$105,9150.0%
IHS MARKIT LTD 4.25% 05/01/2029$104,9600.0%
CIGNA CORP 4.375% 10/15/2028$104,0860.0%
JPMORGAN CHASE & CO 3.926% CALLABLE$102,1190.0%
RADNOR RE 2019-1 LTD 2.036% 02/25/2029$101,9700.0%
STACR TRUST 2018-DNA3 2.186% 09/25/2048$101,0070.0%
CONSUMER LOAN UNDERLYING BOND CLUB CREDIT TRUST 2020-P1 2.92% 03/15/2028$100,8940.0%
FEDERAL NATIONAL MORTGAGE ASSOCIATION 6.114% 12/25/2047$100,8040.0%
BX COMMERCIAL MORTGAGE TRUST 2019-IMC 1.984% 04/15/2034$99,9200.0%
VOYA CLO 2019-1 LTD 2.976% 04/15/2031$99,8220.0%
ASSET BACKED SECURITIES CORP HOME EQUITY LOAN TRUST SERIES OOMC 2006-HE3 .416% 03/25/2036$99,1730.0%
WELLS FARGO & CO 3.9% CALLABLE$99,0600.0%
FREDDIE MAC STACR REMIC TRUST 2020-DNA1 1.786% 01/25/2050$98,5050.0%
INFOR INC 1.75% 07/15/2025$98,3010.0%
FREDDIE MAC STACR TRUST 2019-FTR2 2.236% 11/25/2048$98,2980.0%
ROYAL CARIBBEAN CRUISES LTD 11.5% 06/01/2025$97,0910.0%
GSF MORTGAGE CORP 2.435% 08/15/2026$95,5780.0%
SANTANDER HOLDINGS USA INC 4.4% 07/13/2027$95,5570.0%
CITIGROUP INC 4% CALLABLE$94,5220.0%
ROYAL CARIBBEAN CRUISES LTD 10.875% 06/01/2023$93,0640.0%
BAMLL COMMERCIAL MORTGAGE SECURITIES TRUST 2013-WBRK 3.652% 03/10/2037$92,3830.0%
FEDERAL HOME LOAN MORTGAGE CORP 3.5% 12/25/2050$91,5980.0%
T-MOBILE USA INC 2.625% 04/15/2026$88,0430.0%
TRANSDIGM INC 6.25% 03/15/2026$87,6750.0%
PETROLEOS MEXICANOS BOND 6.75% 09/21/2047$87,3700.0%
FREDDIE MAC STACR 2019-HQA3 1.936% 09/25/2049$85,5560.0%
BROADCOM INC 5% 04/15/2030$84,1270.0%
BELLEMEADE RE 2020-2 LTD 3.286% 08/26/2030$83,1730.0%
BELLEMEADE RE 2018-3 LTD 1.936% 10/25/2028$82,1420.0%
FEDERAL NATIONAL MORTGAGE ASSOCIATION 6.114% 10/25/2047$81,7260.0%
BANK OF AMERICA CORP 6.441% 10/09/2024$79,7630.0%
FEDERAL HOME LOAN MORTGAGE CORP 5.964% 02/25/2050$78,9330.0%
FEDERAL HOME LOAN MORTGAGE CORP 6.066% 06/15/2047$78,5170.0%
CONNECTICUT AVENUE SECURITIES TRUST 2019-R07 2.186% 10/25/2039$77,7060.0%
PRUDENTIAL FINANCIAL INC 5.375% 05/15/2045$76,1650.0%
BAT CAPITAL CORP 2.726% 03/25/2031$75,8890.0%
MARATHON PETROLEUM CORP 5.125% 12/15/2026$75,6200.0%
UPSTART SECURITIZATION TRUST 2020-3 1.702% 11/20/2030$75,2800.0%
DISCOVERY COMMUNICATIONS LLC 5.2% 09/20/2047$73,6420.0%
GENERAL MOTORS CO 6.8% 10/01/2027$72,4790.0%
TRANSOCEAN POSEIDON LTD 6.875% 02/01/2027$71,7520.0%
BELLEMEADE RE 2020-4 LTD 2.686% 06/25/2030$69,7390.0%
JPMBB COMMERCIAL MORTGAGE SECURITIES TRUST 2014-C21 4.341% 08/15/2047$68,7290.0%
AT&T INC 3.5% 09/15/2053$68,4260.0%
FEDERAL NATIONAL MORTGAGE ASSOCIATION 6.064% 08/25/2047$65,6380.0%
FREDDIE MAC STACR TRUST 2019-DNA4 2.036% 10/25/2049$63,6790.0%
CITIGROUP INC 6.365% 09/29/2024$63,3680.0%
JPMORGAN CHASE & CO 3.451% CALLABLE$60,2260.0%
AVIATION CAPITAL GROUP LLC 4.875% 10/01/2025$59,5830.0%
PMT CREDIT RISK TRANSFER TRUST 2020-1R 2.437% 02/27/2023$58,9250.0%
AIRCASTLE LTD 4.125% 05/01/2024$57,4630.0%
T-MOBILE USA INC 2.625% 02/15/2029$56,6610.0%
ALTRIA GROUP INC 4.8% 02/14/2029$55,2040.0%
FREDDIE MAC MULTIFAMILY STRUCTURED CREDIT RISK 2.05% 01/25/2051$55,1130.0%
GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 6.113% 09/20/2047$54,9520.0%
JPMORGAN CHASE & CO 6.615% 12/20/2023$52,8420.0%
FEDERAL NATIONAL MORTGAGE ASSOCIATION 5.914% 10/25/2046$52,5070.0%
SUZANO AUSTRIA GMBH 3.75% 01/15/2031$51,4250.0%
FLAGSHIP CREDIT AUTO TRUST 2016-4 3.89% 11/15/2022$51,2220.0%
FEDERAL NATIONAL MORTGAGE ASSOCIATION 4.086% 05/25/2025$50,3680.0%
BROADCOM CORP / BROADCOM CAYMAN FINANCE LTD 3.5% 01/15/2028$50,0090.0%
FEDERAL NATIONAL MORTGAGE ASSOCIATION 6.014% 12/25/2044$49,8330.0%
GENERAL MOTORS CO 6.125% 10/01/2025$49,2280.0%
FEDERAL NATIONAL MORTGAGE ASSOCIATION 4.336% 04/25/2029$48,6250.0%
AVIATION CAPITAL GROUP LLC 3.5% 11/01/2027$48,5370.0%
CENTENE CORP 4.625% 12/15/2029$48,0060.0%
GSF MORTGAGE CORP 1.433% 08/15/2026$47,5490.0%
ONEOK INC 6.35% 01/15/2031$47,4190.0%
GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 6.113% 08/20/2047$47,1910.0%
AVIATION CAPITAL GROUP LLC 4.375% 01/30/2024$45,9280.0%
FEDERAL NATIONAL MORTGAGE ASSOCIATION 4.436% 05/25/2029$45,6850.0%
VOLCAN CIA MINERA SAA 4.375% 02/11/2026$43,8700.0%
WESTINGHOUSE AIR BRAKE TECHNOLOGIES CORP 3.2% 06/15/2025$43,5290.0%
CONNECTICUT AVENUE SECURITIES TRUST 2019-R06 2.186% 09/25/2039$42,8690.0%
NEWELL BRANDS INC 4.875% 06/01/2025$37,5680.0%
DISCOVERY COMMUNICATIONS LLC 5.3% 05/15/2049$36,2900.0%
FEDERAL NATIONAL MORTGAGE ASSOCIATION 6.454% 12/25/2041$35,9470.0%
FIRST INVESTORS AUTO OWNER TRUST 2020-1 1.49% 01/15/2025$35,2720.0%
T-MOBILE USA INC 3.375% 04/15/2029$34,4690.0%
CCO HOLDINGS LLC / CCO HOLDINGS CAPITAL CORP 4.5% 08/15/2030$33,0550.0%
MORGAN STANLEY 3.736% CALLABLE$31,2800.0%
FEDERAL NATIONAL MORTGAGE ASSOCIATION 5.786% 04/25/2028$30,9830.0%
AIR LEASE CORP 2.875% 01/15/2026$27,1800.0%
DISCOVERY COMMUNICATIONS LLC 4.65% 05/15/2050$25,5450.0%
AMERICAN EXPRESS CO 3.553% CALLABLE$25,0310.0%
IHS MARKIT LTD 4.75% 08/01/2028$23,4420.0%
ONEOK INC 5.2% 07/15/2048$23,0450.0%
MARRIOTT INTERNATIONAL INC/MD 5.75% 05/01/2025$22,8820.0%
PLAINS ALL AMERICAN PIPELINE LP / PAA FINANCE CORP 4.5% 12/15/2026$21,2560.0%
CONNECTICUT AVENUE SECURITIES TRUST 2019-R04 2.186% 06/25/2039$21,2380.0%
FEDERAL NATIONAL MORTGAGE ASSOCIATION 5.086% 07/25/2025$20,6100.0%
FREDDIE MAC STACR TRUST 2019-DNA3 2.136% 07/25/2049$17,9480.0%
CENOVUS ENERGY INC/CA 4.25% 04/15/2027$15,5700.0%
AIR LEASE CORP 3.625% 04/01/2027$15,0560.0%
FEDERAL NATIONAL MORTGAGE ASSOCIATION 5.086% 07/25/2025$14,8340.0%
TERRAFORM GLOBAL OPERATING LLC 6.125% 03/01/2026$14,4510.0%
GUARDIAN LIFE INSURANCE CO OF AMERICA/THE 4.85% 01/24/2077$14,2890.0%
ONEOK PARTNERS LP 6.125% 02/01/2041$14,1630.0%
CONNECTICUT AVENUE SECURITIES TRUST 2019-R05 2.086% 07/25/2039$13,0370.0%
GSF MORTGAGE CORP 2.638% 08/15/2026$12,3070.0%
SPECTRUM BRANDS INC 5.75% 07/15/2025$10,2630.0%
FEDERAL NATIONAL MORTGAGE ASSOCIATION 4.086% 05/25/2025$9,1540.0%
CHARTER COMMUNICATIONS OPERATING LLC / CHARTER COMMUNICATIONS OPERATING CAPITAL 4.2% 03/15/2028$7,8240.0%
EXPEDIA GROUP INC 6.25% 05/01/2025$5,7660.0%
SOFI CONSUMER LOAN PROGRAM 2019-3 TRUST 2.9% 05/25/2028$5,3800.0%
AVIATION CAPITAL GROUP LLC 4.125% 08/01/2025$3,2310.0%
 
Collective Trusts/Mutual Funds
Underlying Fund HoldingsMarket Value%
U.S. TREASURY INFLATION PROTECTED SECURITIES FUND$300,907,31324.8%
 
Short-Term/Cash
Underlying Fund HoldingsMarket Value%
UNITED STATES OF AMERICA BILL ZERO CPN 18/NOV/2021$14,379,2451.2%
UNITED STATES OF AMERICA BILL ZERO CPN 19/MAY/2022$8,627,5810.7%
UNITED STATES OF AMERICA BILL ZERO CPN 21/APR/2022$8,627,3210.7%
BLACKROCK TEMP FUND - INST SHARES FUND 24$7,550,4250.6%
JPMORGAN PRIME MONEY MARKET FUND FUNDS VARIABLE$7,550,4240.6%
UNITED STATES OF AMERICA BILL ZERO CPN 09/DEC/2021$6,930,7900.6%
UNITED STATES OF AMERICA BILL ZERO CPN 12/OCT/2021$5,994,9560.5%
UNITED STATES OF AMERICA BILL ZERO CPN 02/DEC/2021$4,789,7370.4%
UNITED STATES OF AMERICA BILL ZERO CPN 05/OCT/2021$1,637,8970.1%
 
Other
Underlying Fund HoldingsMarket Value%
SWAP/02/26/2025/P:USD 1.58900 /R:USD/USCPI/1M$895,3161.0%
POUND STERLING$793,2520.1%
US DOLLAR$775,3660.1%
SWAP/07/15/2025/P:USD 1.59500 /R:USD/USCPI/1M$626,1560.6%
SWAP/07/15/2026/P:USD 2.79250 /R:USD/USCPI/1M$604,4591.6%
US DOLLAR$593,0000.1%
US DOLLAR$575,5550.1%
CANADIAN DOLLAR$515,5690.0%
SWAP/01/15/2025/P:USD 0.78000 /R:USD/USCPI/1M$510,5780.4%
SWAP/01/15/2023/P:USD 3.35500 /R:USD/USCPI/1M$468,1442.2%
SWAP/01/15/2025/P:USD 2.44000 /R:USD/USCPI/1M$439,6900.9%
US LONG BOND(CBT) BOND 21/DEC/2021 USZ1 COMDTY$384,882-1.2%
EURO$250,9590.0%
SWAP/07/15/2028/P:USD 2.42350 /R:USD/USCPI/1M$212,5010.3%
SWAP/01/15/2026/P:USD 2.32200 /R:USD/USCPI/1M$197,2330.3%
SWAP/07/15/2024/P:USD 1.85500 /R:USD/USCPI/1M$193,1160.3%
CURRENCY CONTRACT - USD$178,241-0.8%
SWAP/01/15/2025/P:USD 1.58000 /R:USD/USCPI/1M$177,0690.2%
SWAP/07/15/2026/P:USD 2.89600 /R:USD/USCPI/1M$171,5230.6%
SWAP/07/15/2026/P:USD 2.90800 /R:USD/USCPI/1M$164,0030.6%
SWAP/01/15/2023/P:USD 2.31000 /R:USD/USCPI/1M$159,8280.3%
SWAP/06/05/2027/P:USD 0.55750 /R:USD/LIBOR/3M$143,6920.4%
SWAP/01/15/2027/P:USD 2.84250 /R:USD/USCPI/1M$142,2400.6%
SWAP/07/15/2023/P:USD 2.18750 /R:USD/USCPI/1M$136,9970.3%
SWAP/01/15/2025/P:USD 1.96750 /R:USD/USCPI/1M$136,7030.2%
SWAP/07/15/2022/P:USD 1.47900 /R:USD/USCPI/1M$129,6390.2%
SWAP/07/15/2026/P:USD 2.40750 /R:USD/USCPI/1M$123,9920.2%
SWAP/01/15/2023/P:USD 2.18400 /R:USD/USCPI/1M$122,5890.2%
SWAP/06/24/2022/P:USD 3.52000 /R:USD/USCPI/1M$115,2200.8%
SWAPTION/EUROPEAN/11/02/2022/11/04/2052/P:EUR 0.19500 /R:EUR/EURIBOR/6M$113,2340.1%
SWAP/01/15/2028/P:USD 2.79850 /R:USD/USCPI/1M$106,5480.5%
SWAP/07/15/2022/P:USD 1.57500 /R:USD/USCPI/1M$98,7990.2%
EURO-BUXL 30Y BND BOND 08/DEC/2021 UBZ1 COMDTY$96,937-0.3%
EURO$91,2120.0%
CURRENCY CONTRACT - USD$90,937-0.3%
CURRENCY CONTRACT - USD$87,793-0.4%
US 10YR ULTRA FUT BOND 21/DEC/2021 UXYZ1 COMDTY$83,583-0.2%
SWAP/03/05/2026/P:USD 2.41875 /R:USD/USCPI/1M$79,3540.2%
SWAP/04/15/2032/P:USD 2.60750 /R:USD/USCPI/1M$78,6130.3%
SWAP/07/15/2023/P:USD 2.35300 /R:USD/USCPI/1M$78,3700.3%
SWAP/07/15/2022/P:USD 1.76000 /R:USD/USCPI/1M$74,4050.2%
SWAP/04/15/2032/P:USD 2.60500 /R:USD/USCPI/1M$74,2830.3%
SWAP/07/15/2023/P:USD 3.33400 /R:USD/USCPI/1M$74,0480.3%
SWAP/07/15/2023/P:USD 3.36875 /R:USD/USCPI/1M$73,8070.4%
CURRENCY CONTRACT - USD$67,395-0.2%
SWAP/11/10/2045/P:USD 2.72100 /R:USD/LIBOR/3M$67,3730.0%
SWAP/01/15/2023/P:USD 1.54300 /R:USD/USCPI/1M$67,3530.1%
SWAP/07/15/2022/P:USD 1.48400 /R:USD/USCPI/1M$65,8340.1%
SWAP/02/26/2026/P:USD 2.31375 /R:USD/USCPI/1M$64,4890.1%
SWAP/01/15/2024/P:USD 1.59900 /R:USD/USCPI/1M$59,8490.1%
SWAP/01/15/2023/P:USD 1.96000 /R:USD/USCPI/1M$57,9480.1%
YEN$55,2460.0%
POUND STERLING$53,6600.0%
SWAPTION/EUROPEAN/11/02/2022/11/04/2052/P:EUR 0.19000 /R:EUR/EURIBOR/6M$49,4210.1%
CURRENCY CONTRACT - USD$49,414-0.2%
US ULTRA BOND CBT BOND 21/DEC/2021 WNZ1 COMDTY$48,753-0.1%
SWAP/07/15/2022/P:USD 1.59700 /R:USD/USCPI/1M$43,0090.1%
SWAP/07/15/2023/P:USD 1.55100 /R:USD/USCPI/1M$42,6110.1%
SWAP/09/07/2031/P:USD 2.51900 /R:USD/USCPI/1M$42,5500.3%
EURO-BTP FUTURE BOND 08/DEC/2021 IKZ1 COMDTY$41,588-0.3%
YEN$41,2140.0%
SWAP/07/15/2023/P:USD 1.54800 /R:USD/USCPI/1M$39,6490.1%
SWAP/02/05/2023/P:USD 2.21000 /R:USD/USCPI/1M$33,9310.1%
SWAP/05/15/2026/P:EUR 1.50000 /R:EUR/HICPXT/1M$33,7410.1%
SWAP/05/13/2026/P:USD 2.76750 /R:USD/USCPI/1M$33,5680.1%
LONG GILT FUTURE BOND 29/DEC/2021 G Z1 COMDTY$31,033-0.1%
SWAP/07/15/2022/P:USD 1.90250 /R:USD/USCPI/1M$30,2270.1%
MALAYSIAN RINGGIT$29,7650.0%
EURO-BOBL FUTURE BOND 08/DEC/2021 OEZ1 COMDTY$27,967-0.4%
SWAP/07/15/2026/P:USD 2.94400 /R:USD/USCPI/1M$27,8060.1%
SWAPTION/EUROPEAN/11/04/2022/11/08/2052/P:EUR 0.19700 /R:EUR/EURIBOR/6M$27,2340.0%
POUND STERLING$26,9290.0%
CURRENCY CONTRACT - USD$26,773-0.1%
CURRENCY CONTRACT - USD$24,083-0.2%
SWAPTION/EUROPEAN/11/17/2022/11/21/2023/P:EUR/EURIBOR/3M /R:EUR -0.52600$20,8921.4%
SWAP/04/15/2032/P:USD 2.51900 /R:USD/USCPI/1M$20,2790.1%
CURRENCY CONTRACT - USD$16,961-0.1%
SWAP/05/14/2026/P:USD 2.79300 /R:USD/USCPI/1M$16,7450.1%
SWAP/04/15/2022/P:USD 2.14000 /R:USD/USCPI/1M$16,2330.1%
JPN 10Y BOND(OSE) BOND 13/DEC/2021 JBZ1 COMDTY$15,983-0.5%
CURRENCY CONTRACT - NOK$15,4770.1%
SWEDISH KRONA$15,0800.0%
EURO-SCHATZ FUT BOND 08/DEC/2021 DUZ1 COMDTY$13,498-1.5%
SWAP/05/10/2023/P:USD 2.28100 /R:USD/USCPI/1M$13,1250.0%
SWAP/03/15/2024/P:EUR 1.03000 /R:EUR/FRCPI/1M$12,3750.1%
CURRENCY CONTRACT - USD$10,8640.0%
SELL PROTECTION ON CMBX.NA.BBB-.6.MAY.05/11/2063$9,8420.0%
SELL PROTECTION ON CMBX.NA.BBB-.6.MAY.05/11/2063$9,7640.0%
SWAP/05/09/2023/P:USD 2.26250 /R:USD/USCPI/1M$8,7950.0%
SELL PROTECTION ON CMBX.NA.BBB-.6.MAY.05/11/2063$7,8850.0%
US DOLLAR$7,2660.0%
CREDIT INDEX SWAP - CDI$7,1930.7%
CURRENCY CONTRACT - USD$7,170-0.2%
CURRENCY CONTRACT - USD$6,0470.0%
CURRENCY CONTRACT - NOK$6,0450.1%
SWAP/03/04/2051/P:CAD 2.33250 /R:CAD/BA/3M$5,9710.1%
SELL PROTECTION ON CMBX.NA.BBB-.6.MAY.05/11/2063$5,5980.0%
SELL PROTECTION ON CMBX.NA.BBB-.6.MAY.05/11/2063$5,5960.0%
SELL PROTECTION ON CMBX.NA.A.6.MAY.05/11/2063$5,3450.0%
SELL PROTECTION ON CMBX.NA.BBB-.6.MAY.05/11/2063$5,3430.0%
SELL PROTECTION ON CMBX.NA.BBB-.6.MAY.05/11/2063$5,2130.0%
SELL PROTECTION ON CMBX.NA.BBB-.6.MAY.05/11/2063$4,9680.0%
SELL PROTECTION ON CMBX.NA.A.6.MAY.05/11/2063$4,5440.0%
CURRENCY CONTRACT - USD$4,3120.0%
SELL PROTECTION ON CMBX.NA.BBB-.6.MAY.05/11/2063$4,1070.0%
SELL PROTECTION ON CMBX.NA.BBB-.6.MAY.05/11/2063$3,8740.0%
SELL PROTECTION ON CMBX.NA.BBB-.6.MAY.05/11/2063$3,7610.0%
SELL PROTECTION ON CMBX.NA.BBB-.6.MAY.05/11/2063$3,6740.0%
CURRENCY CONTRACT - USD$3,6020.0%
CURRENCY CONTRACT - USD$3,4770.0%
SWAP/05/15/2026/P:EUR 1.50000 /R:EUR/HICPXT/1M$3,368-0.1%
BUY PROTECTION ON CMBX.NA.BBB-.9.SEP.09/17/2058$3,3490.0%
SWAP/03/03/2051/P:CAD 2.29700 /R:CAD/BA/3M$3,2970.0%
SELL PROTECTION ON CMBX.NA.BBB-.6.MAY.05/11/2063$3,0880.0%
SELL PROTECTION ON CMBX.NA.BBB-.6.MAY.05/11/2063$2,9220.0%
SELL PROTECTION ON CMBX.NA.BBB-.6.MAY.05/11/2063$2,7600.0%
SELL PROTECTION ON CMBX.NA.BBB-.6.MAY.05/11/2063$2,7580.0%
SWAP/03/15/2031/P:EUR/HICPXT/1M /R:EUR 1.38000$2,5770.0%
SELL PROTECTION ON CMBX.NA.BBB-.6.MAY.05/11/2063$2,5030.0%
SELL PROTECTION ON GENERAL ELECTRIC COMPANY SENIOR_UNSECURED/RECEIVE: USD 1.00000 MATURING ON 12/20/2023$2,1420.0%
BUY PROTECTION ON CMBX.NA.BBB-.9.SEP.09/17/2058$2,1130.0%
SWAP/03/15/2036/P:GBP/UKRPI/1M /R:GBP 3.58000$1,9880.0%
SWAP/03/15/2031/P:EUR/HICPXT/1M /R:EUR 1.38000$1,8650.0%
EUROPEAN OPTION EXPIRING ON 11/17/2021 TO BUY PROTECTION ON CDX.NA.IG.36-V1.JUN.2026/PAY: USD 0.00$1,8240.2%
SWAP/03/15/2031/P:EUR/HICPXT/1M /R:EUR 1.38000$1,8020.0%
SWAP/03/15/2036/P:GBP/UKRPI/1M /R:GBP 3.58000$1,7630.0%
SELL PROTECTION ON CMBX.NA.BBB-.6.MAY.05/11/2063$1,6470.0%
SELL PROTECTION ON CMBX.NA.BBB-.6.MAY.05/11/2063$1,5920.0%
CURRENCY CONTRACT - USD$1,5770.0%
SWAP/03/15/2031/P:EUR/HICPXT/1M /R:EUR 1.38000$1,5430.0%
CREDIT DEFAULT SWAP - CDS$1,4770.0%
SELL PROTECTION ON CMBX.NA.BBB-.6.MAY.05/11/2063$1,3250.0%
SELL PROTECTION ON CMBX.NA.BBB-.6.MAY.05/11/2063$1,2080.0%
BUY PROTECTION ON CMBX.NA.BBB-.9.SEP.09/17/2058$1,1940.0%
SELL PROTECTION ON CMBX.NA.BBB-.6.MAY.05/11/2063$1,1780.0%
SELL PROTECTION ON CMBX.NA.BBB-.6.MAY.05/11/2063$1,1370.0%
SELL PROTECTION ON CMBX.NA.BBB-.6.MAY.05/11/2063$1,1010.0%
SHORT EURO-BTP FU BOND 08/DEC/2021 BTSZ1 COMDTY$1,057-0.1%
EUROPEAN OPTION EXPIRING ON 12/15/2021 TO BUY PROTECTION ON CDX.NA.IG.36-V1.JUN.2026/PAY: USD 0.00$1,0320.3%
CURRENCY CONTRACT - USD$1,0150.0%
SELL PROTECTION ON CMBX.NA.BBB-.6.MAY.05/11/2063$9640.0%
CURRENCY CONTRACT - USD$9400.0%
SELL PROTECTION ON CMBX.NA.BBB-.6.MAY.05/11/2063$8950.0%
SELL PROTECTION ON CMBX.NA.BBB-.6.MAY.05/11/2063$8710.0%
CURRENCY CONTRACT - USD$8210.0%
SELL PROTECTION ON CMBX.NA.BBB-.6.MAY.05/11/2063$7930.0%
BUY PROTECTION ON CMBX.NA.BBB-.9.SEP.09/17/2058$7310.0%
SELL PROTECTION ON CMBX.NA.BBB-.6.MAY.05/11/2063$7240.0%
SELL PROTECTION ON CMBX.NA.BBB-.6.MAY.05/11/2063$7230.0%
SELL PROTECTION ON CMBX.NA.BBB-.6.MAY.05/11/2063$6680.0%
SELL PROTECTION ON CMBX.NA.BBB-.6.MAY.05/11/2063$6170.0%
SWAP/03/15/2031/P:EUR/HICPXT/1M /R:EUR 1.38000$5790.0%
CURRENCY CONTRACTS - ZAR$5000.2%
SWEDISH KRONA$4960.0%
SELL PROTECTION ON CMBX.NA.BBB-.6.MAY.05/11/2063$4790.0%
SELL PROTECTION ON CMBX.NA.BBB-.6.MAY.05/11/2063$4550.0%
SWAP/03/15/2036/P:GBP/UKRPI/1M /R:GBP 3.58000$4530.0%
SWAP/04/15/2031/P:GBP/UKRPI/1M /R:GBP 3.75000$4330.0%
NORWEGIAN KRONE$3820.0%
AUSTRALIAN DOLLAR$3610.0%
NEW ZEALAND DOLLAR$3450.0%
SWAP/03/15/2024/P:EUR 1.03000 /R:EUR/FRCPI/1M$344-0.1%
EUROPEAN OPTION EXPIRING ON 11/17/2021 TO BUY PROTECTION ON CDX.NA.IG.36-V1.JUN.2026/PAY: USD 0.00$3320.0%
EUROPEAN OPTION EXPIRING ON 12/15/2021 TO BUY PROTECTION ON CDX.NA.IG.36-V1.JUN.2026/PAY: USD 0.00$3110.1%
DANISH KRONE$2880.0%
RAND$2580.0%
SELL PROTECTION ON CMBX.NA.BBB-.6.MAY.05/11/2063$2440.0%
CANADIAN DOLLAR$1900.0%
EUROPEAN OPTION EXPIRING ON 12/15/2021 TO BUY PROTECTION ON CDX.NA.IG.36-V1.JUN.2026/PAY: USD 0.00$1900.0%
SELL PROTECTION ON CMBX.NA.BBB-.6.MAY.05/11/2063$1840.0%
SELL PROTECTION ON CMBX.NA.BBB-.6.MAY.05/11/2063$1730.0%
SELL PROTECTION ON CMBX.NA.BBB-.6.MAY.05/11/2063$1530.0%
SWAP/03/15/2036/P:GBP/UKRPI/1M /R:GBP 3.58000$1140.0%
BUY PROTECTION ON CMBX.NA.BBB-.9.SEP.09/17/2058$480.0%
CURRENCY CONTRACT - USD$410.0%
MEXICAN PESO$160.0%
SWAP/11/05/2021/P:USD/USCPI/1M /R:USD 1.29000$14-0.1%
SWAP/11/04/2021/P:USD/USCPI/1M /R:USD 1.23000$13-0.1%
SWAP/01/19/2022/P:USD/USCPI/1M /R:USD 2.18000$11-0.1%
SWAP/02/26/2022/P:USD/USCPI/1M /R:USD 1.44000$7-0.7%
SWAP/01/15/2023/P:USD 3.35500 /R:USD/USCPI/1M$5-2.2%
SWAP/02/26/2025/P:USD 1.58900 /R:USD/USCPI/1M$4-1.0%
SWAP/06/24/2022/P:USD 3.52000 /R:USD/USCPI/1M$3-0.8%
SWAP/07/15/2022/P:USD 1.57500 /R:USD/USCPI/1M$2-0.2%
SWAP/07/15/2022/P:USD 1.47900 /R:USD/USCPI/1M$2-0.2%
SWAP/07/15/2023/P:USD 2.35300 /R:USD/USCPI/1M$2-0.3%
SWAP/07/15/2024/P:USD 1.85500 /R:USD/USCPI/1M$2-0.3%
SWAP/07/15/2025/P:USD 1.59500 /R:USD/USCPI/1M$2-0.6%
SWAP/01/15/2025/P:USD 2.44000 /R:USD/USCPI/1M$2-0.9%
SWAP/01/15/2025/P:USD 1.96750 /R:USD/USCPI/1M$1-0.2%
SWAP/01/15/2023/P:USD 2.31000 /R:USD/USCPI/1M$1-0.3%
SWAP/01/15/2025/P:USD 0.78000 /R:USD/USCPI/1M$1-0.4%
SWAP/01/15/2023/P:USD 1.54300 /R:USD/USCPI/1M$1-0.1%
SWAP/01/15/2023/P:USD 2.18400 /R:USD/USCPI/1M$1-0.2%
SWAP/07/15/2026/P:USD 2.79250 /R:USD/USCPI/1M$1-1.6%
SWAP/07/15/2023/P:USD 3.36875 /R:USD/USCPI/1M$1-0.4%
SWAP/07/15/2023/P:USD 3.33400 /R:USD/USCPI/1M$1-0.3%
SWAP/07/15/2022/P:USD 1.48400 /R:USD/USCPI/1M$1-0.1%
SWAP/07/15/2022/P:USD 1.59700 /R:USD/USCPI/1M$1-0.1%
SWAP/07/15/2022/P:USD 1.76000 /R:USD/USCPI/1M$1-0.2%
SWAP/05/21/2031/P:USD 1.61650 /R:USD/LIBOR/3M$1-1.2%
SWAP/01/19/2022/P:USD/USCPI/1M /R:USD 2.16500$1-0.1%
SWAP/02/05/2023/P:USD 2.21000 /R:USD/USCPI/1M$1-0.1%
SWAP/01/21/2022/P:USD/USCPI/1M /R:USD 2.20000$1-0.1%
SWAP/04/15/2022/P:USD 2.14000 /R:USD/USCPI/1M$1-0.1%
SWAP/11/05/2021/P:USD/USCPI/1M /R:USD 1.29000$1-0.1%
SWAP/11/02/2021/P:USD/USCPI/1M /R:USD 1.28000$1-0.1%
SWAP/11/04/2021/P:USD/USCPI/1M /R:USD 1.23000$1-0.1%
WON$10.0%
CREDIT DEFAULT SWAP, CMBX - CDSCMBX$00.0%
CREDIT DEFAULT SWAP, CMBX - CDSCMBX$00.0%
CREDIT DEFAULT SWAP, CMBX - CDSCMBX$00.0%
CREDIT DEFAULT SWAP, CMBX - CDSCMBX$00.0%
CREDIT DEFAULT SWAP, CMBX - CDSCMBX$00.0%
CREDIT DEFAULT SWAP, CMBX - CDSCMBX$00.0%
CREDIT DEFAULT SWAP, CMBX - CDSCMBX$00.0%
SWAP/09/07/2031/P:USD 2.51900 /R:USD/USCPI/1M$0-0.3%
SWAP/10/04/2026/P:USD 1.48700 /R:USD/LIBOR/3M$0-0.1%
SWAP/11/08/2026/P:USD 1.65700 /R:USD/LIBOR/3M$00.0%
SWAP/11/15/2034/P:EUR/FRCPI/1M /R:EUR 1.28000$00.0%
SWAP/11/09/2026/P:USD 1.67150 /R:USD/LIBOR/3M$00.0%
SWAP/04/15/2031/P:GBP/UKRPI/1M /R:GBP 3.75000$0-0.1%
SWAP/04/15/2032/P:USD 2.51900 /R:USD/USCPI/1M$0-0.1%
SWAP/04/15/2032/P:USD 2.60500 /R:USD/USCPI/1M$0-0.3%
SWAP/05/09/2023/P:USD 2.26250 /R:USD/USCPI/1M$00.0%
SWAP/04/15/2032/P:USD 2.60750 /R:USD/USCPI/1M$0-0.3%
SWAP/05/10/2023/P:USD 2.28100 /R:USD/USCPI/1M$00.0%
SWAP/05/13/2026/P:USD 2.76750 /R:USD/USCPI/1M$0-0.1%
SWAP/03/15/2036/P:GBP/UKRPI/1M /R:GBP 3.56600$00.0%
SWAP/02/01/2022/P:USD/USCPI/1M /R:USD 2.17000$00.0%
SWAP/02/15/2031/P:GBP/UKRPI/1M /R:GBP 3.62400$0-0.1%
SWAP/01/15/2028/P:USD 2.79850 /R:USD/USCPI/1M$0-0.5%
SWAP/01/15/2027/P:USD 2.84250 /R:USD/USCPI/1M$0-0.6%
SWAP/02/26/2026/P:USD 2.31375 /R:USD/USCPI/1M$0-0.1%
SWAP/03/03/2051/P:CAD 2.29700 /R:CAD/BA/3M$00.0%
SWAP/03/04/2051/P:CAD 2.33250 /R:CAD/BA/3M$0-0.1%
SWAP/03/05/2026/P:USD 2.41875 /R:USD/USCPI/1M$0-0.2%
SWAP/06/04/2029/P:USD 2.15000 /R:USD/LIBOR/3M$00.0%
SWAP/06/05/2027/P:USD 0.55750 /R:USD/LIBOR/3M$0-0.4%
SWAP/05/14/2026/P:USD 2.79300 /R:USD/USCPI/1M$0-0.1%
SWAP/05/20/2029/P:USD 2.36000 /R:USD/LIBOR/3M$0-0.1%
SWAP/05/20/2029/P:USD 2.39000 /R:USD/LIBOR/3M$0-0.1%
SWAP/07/15/2022/P:USD 1.90250 /R:USD/USCPI/1M$0-0.1%
SWAP/07/15/2023/P:USD 1.54800 /R:USD/USCPI/1M$0-0.1%
SWAP/07/15/2023/P:USD 1.55100 /R:USD/USCPI/1M$0-0.1%
SWAP/07/15/2023/P:USD 2.18750 /R:USD/USCPI/1M$0-0.3%
SWAP/07/15/2026/P:USD 2.40750 /R:USD/USCPI/1M$0-0.2%
SWAP/07/15/2026/P:USD 2.94400 /R:USD/USCPI/1M$0-0.1%
SWAP/07/15/2028/P:USD 2.42350 /R:USD/USCPI/1M$0-0.3%
SWAP/07/15/2026/P:USD 2.90800 /R:USD/USCPI/1M$0-0.6%
SWAP/07/15/2026/P:USD 2.89600 /R:USD/USCPI/1M$0-0.6%
SWAP/08/15/2030/P:GBP/UKRPI/1M /R:GBP 3.47500$0-0.2%
SWAP/08/15/2030/P:GBP/UKRPI/1M /R:GBP 3.47500$0-0.1%
SWAP/08/30/2024/P:SEK/STIBOR/3M /R:SEK -0.16500$0-3.5%
SWAP/07/12/2027/P:USD 2.35450 /R:USD/LIBOR/3M$00.0%
SWAP/09/07/2026/P:USD/USCPI/1M /R:USD 2.67000$0-0.3%
SWAP/01/15/2023/P:USD 1.96000 /R:USD/USCPI/1M$0-0.1%
SWAP/01/15/2024/P:USD 1.59900 /R:USD/USCPI/1M$0-0.1%
SWAP/01/15/2025/P:USD 1.58000 /R:USD/USCPI/1M$0-0.2%
SWAP/01/15/2026/P:USD 2.32200 /R:USD/USCPI/1M$0-0.3%
SELL PROTECTION ON CMBX.NA.BBB-.6.MAY.05/11/2063$00.0%
SELL PROTECTION ON CDX.NA.IG.37-V1.DEC.2026$0-0.7%
CREDIT DEFAULT SWAP, CMBX - CDSCMBX$-2850.0%
CREDIT DEFAULT SWAP, CMBX - CDSCMBX$-5700.0%
CREDIT DEFAULT SWAP, CMBX - CDSCMBX$-5700.0%
CREDIT DEFAULT SWAP, CMBX - CDSCMBX$-5700.0%
CREDIT DEFAULT SWAP, CMBX - CDSCMBX$-1,1410.0%
CREDIT DEFAULT SWAP, CMBX - CDSCMBX$-1,4260.0%
CREDIT DEFAULT SWAP, CMBX - CDSCMBX$-1,4260.0%
CREDIT DEFAULT SWAP, CMBX - CDSCMBX$-1,7110.0%
CREDIT DEFAULT SWAP, CMBX - CDSCMBX$-1,9960.0%
CREDIT DEFAULT SWAP, CMBX - CDSCMBX$-1,9960.0%
CREDIT DEFAULT SWAP, CMBX - CDSCMBX$-1,9960.0%
CREDIT DEFAULT SWAP, CMBX - CDSCMBX$-1,9960.0%
CREDIT DEFAULT SWAP, CMBX - CDSCMBX$-1,9960.0%
CREDIT DEFAULT SWAP, CMBX - CDSCMBX$-2,2820.0%
CREDIT DEFAULT SWAP, CMBX - CDSCMBX$-2,2820.0%
CREDIT DEFAULT SWAP, CMBX - CDSCMBX$-2,5670.0%
CURRENCY CONTRACT - EUR$-3,0580.0%
CREDIT DEFAULT SWAP, CMBX - CDSCMBX$-3,1370.0%
CREDIT DEFAULT SWAP, CMBX - CDSCMBX$-3,1370.0%
CREDIT DEFAULT SWAP, CMBX - CDSCMBX$-3,4230.0%
CREDIT DEFAULT SWAP, CMBX - CDSCMBX$-3,9930.0%
CREDIT DEFAULT SWAP, CMBX - CDSCMBX$-4,2780.0%
SWAP/06/04/2029/P:USD 2.15000 /R:USD/LIBOR/3M$-4,5000.0%
CREDIT DEFAULT SWAP, CMBX - CDSCMBX$-4,8490.0%
CURRENCY CONTRACT - CAD$-4,8740.1%
CURRENCY CONTRACT - RUB$-5,5320.3%
CURRENCY CONTRACT - CAD$-6,4490.1%
CURRENCY CONTRACT - SEK$-6,7180.1%
CREDIT DEFAULT SWAP, CMBX - CDSCMBX$-7,1300.0%
CREDIT DEFAULT SWAP, CMBX - CDSCMBX$-7,1300.0%
CURRENCY CONTRACT - AUD$-7,8130.1%
SWAP/03/15/2031/P:EUR/HICPXT/1M /R:EUR 1.38000$-7,9630.0%
SWAP/11/08/2026/P:USD 1.65700 /R:USD/LIBOR/3M$-8,9800.0%
CREDIT DEFAULT SWAP, CMBX - CDSCMBX$-9,1270.0%
CREDIT DEFAULT SWAP, CMBX - CDSCMBX$-9,4120.0%
CREDIT DEFAULT SWAP, CMBX - CDSCMBX$-9,6970.0%
CREDIT DEFAULT SWAP, CMBX - CDSCMBX$-10,2680.0%
SWAP/02/01/2022/P:USD/USCPI/1M /R:USD 2.17000$-10,5970.0%
US 2YR NOTE (CBT) BOND 31/DEC/2021 TUZ1 COMDTY$-10,9281.1%
SWAP/03/15/2036/P:GBP/UKRPI/1M /R:GBP 3.58000$-11,6110.0%
SWAP/04/15/2031/P:GBP/UKRPI/1M /R:GBP 3.75000$-11,6900.0%
CREDIT DEFAULT SWAP, CMBX - CDSCMBX$-11,6940.0%
SWAP/11/09/2026/P:USD 1.67150 /R:USD/LIBOR/3M$-12,2390.0%
CREDIT DEFAULT SWAP, CMBX - CDSCMBX$-12,2640.0%
CREDIT DEFAULT SWAP, CMBX - CDSCMBX$-12,5490.0%
CREDIT DEFAULT SWAP, CMBX - CDSCMBX$-12,5490.0%
CREDIT DEFAULT SWAP, CMBX - CDSCMBX$-13,1200.0%
EURO$-13,5530.0%
BUY PROTECTION ON CMBX.NA.BBB-.9.SEP.09/17/2058$-13,6510.0%
CREDIT DEFAULT SWAP, CMBX - CDSCMBX$-14,2600.0%
CREDIT DEFAULT SWAP, CMBX - CDSCMBX$-14,8310.0%
SWAP/03/15/2031/P:EUR/HICPXT/1M /R:EUR 1.38000$-15,9460.0%
SWAP/03/15/2031/P:EUR/HICPXT/1M /R:EUR 1.38000$-15,9460.0%
SWAP/03/15/2031/P:EUR/HICPXT/1M /R:EUR 1.38000$-15,9460.0%
SWAP/11/15/2034/P:EUR/FRCPI/1M /R:EUR 1.28000$-16,1060.0%
CURRENCY CONTRACT - NOK$-17,0150.1%
CREDIT DEFAULT SWAP, CMBX - CDSCMBX$-17,1130.0%
BUY PROTECTION ON CMBX.NA.BBB-.9.SEP.09/17/2058$-19,5220.0%
CREDIT DEFAULT SWAP, CMBX - CDSCMBX$-19,6790.0%
CURRENCY CONTRACT - USD$-21,322-0.5%
CREDIT DEFAULT SWAP, CMBX - CDSCMBX$-21,3910.0%
SWAP/07/12/2027/P:USD 2.35450 /R:USD/LIBOR/3M$-22,5430.0%
SWAP/09/07/2026/P:USD/USCPI/1M /R:USD 2.67000$-23,1540.3%
SWAP/03/15/2036/P:GBP/UKRPI/1M /R:GBP 3.58000$-23,2220.0%
SWAP/03/15/2036/P:GBP/UKRPI/1M /R:GBP 3.58000$-23,2220.0%
SWAP/03/15/2036/P:GBP/UKRPI/1M /R:GBP 3.58000$-23,2220.0%
SWAP/11/02/2021/P:USD/USCPI/1M /R:USD 1.28000$-23,8430.1%
SWAP/03/15/2036/P:GBP/UKRPI/1M /R:GBP 3.56600$-24,0220.0%
SWAP/01/19/2022/P:USD/USCPI/1M /R:USD 2.18000$-24,2790.1%
CREDIT DEFAULT SWAP, CMBX - CDSCMBX$-24,9830.0%
SWAP/11/04/2021/P:USD/USCPI/1M /R:USD 1.23000$-26,1900.1%
SWAP/11/04/2021/P:USD/USCPI/1M /R:USD 1.23000$-26,1900.1%
CREDIT DEFAULT SWAP, CMBX - CDSCMBX$-31,7500.0%
SWAP/10/04/2026/P:USD 1.48700 /R:USD/LIBOR/3M$-35,8660.1%
CURRENCY CONTRACT - USD$-36,416-0.6%
SWAPTION/EUROPEAN/11/04/2022/11/08/2032/P:EUR 0.00000 /R:EUR/EURIBOR/6M$-36,7510.1%
SWAP/01/21/2022/P:USD/USCPI/1M /R:USD 2.20000$-38,0250.1%
SWAP/03/15/2031/P:EUR/HICPXT/1M /R:EUR 1.38000$-39,8150.0%
SWAPTION/EUROPEAN/11/02/2022/11/04/2032/P:EUR 0.00000 /R:EUR/EURIBOR/6M$-46,9840.2%
SWAP/11/05/2021/P:USD/USCPI/1M /R:USD 1.29000$-51,6350.1%
GOLD 100 OZ FUTR PRECIOUS METAL 29/DEC/2021 GCZ1$-52,7130.2%
SWAP/11/05/2021/P:USD/USCPI/1M /R:USD 1.29000$-55,6060.1%
SWAP/01/19/2022/P:USD/USCPI/1M /R:USD 2.16500$-55,7340.1%
SWAP/08/30/2024/P:SEK/STIBOR/3M /R:SEK -0.16500$-58,1493.5%
SWAP/05/20/2029/P:USD 2.36000 /R:USD/LIBOR/3M$-61,8080.1%
CURRENCY CONTRACT - EUR$-68,6150.3%
SWAP/05/20/2029/P:USD 2.39000 /R:USD/LIBOR/3M$-70,2660.1%
SWAP/08/15/2030/P:GBP/UKRPI/1M /R:GBP 3.47500$-73,4910.1%
CREDIT DEFAULT SWAP, CMBX - CDSCMBX$-77,6930.0%
SWAP/11/10/2045/P:USD 2.72100 /R:USD/LIBOR/3M$-83,0010.0%
CURRENCY CONTRACT - MXN$-96,5720.2%
SWAP/04/15/2031/P:GBP/UKRPI/1M /R:GBP 3.75000$-102,4270.1%
SWAPTION/EUROPEAN/11/02/2022/11/04/2032/P:EUR 0.00000 /R:EUR/EURIBOR/6M$-109,4740.2%
US 10YR NOTE (CBT) BOND 21/DEC/2021 TYZ1 COMDTY$-111,4700.6%
EURO-BUND FUTURE BOND 08/DEC/2021 RXZ1 COMDTY$-112,8860.6%
SWAP/02/15/2031/P:GBP/UKRPI/1M /R:GBP 3.62400$-159,1990.1%
SWAP/08/15/2030/P:GBP/UKRPI/1M /R:GBP 3.47500$-215,9290.2%
SWAP/05/21/2031/P:USD 1.61650 /R:USD/LIBOR/3M$-226,8781.2%
SWAP/02/26/2022/P:USD/USCPI/1M /R:USD 1.44000$-372,5420.7%
US 5YR NOTE (CBT) BOND 31/DEC/2021 FVZ1 COMDTY$-501,5256.7%
US DOLLAR$-668,000-0.1%
US DOLLAR$-6,395,860-0.5%

Management

Management  

Investment Advisor: MissionSquare Investments

Portfolio Manager NameTitleAccreditationStrategy Start Date
Wayne WickerSenior Vice President and Chief Investment OfficerCFAManaged Fund Since 2004
Karen Chong-WulffManaging Vice PresidentCFA, CAIAManaged Fund Since 2007
Oliver MengDirector, Senior Fund ManagerCFA, CAIA, FRMManaged Fund Since 2017
Manager NameTargetRangeManager Strategy
Inception Date
Manager Style
AllianceBernstein L.P.25.00%+/- 10.00%05/2015Multi-Sector Inflation Strategy
BlackRock Financial Management, Inc.30.00%+/- 10.00%10/2017TIPS-Focused Inflation-Linked
New Century Advisors, LLC25.00%+/- 10.00%06/2021Broad-Based Inflation-Linked
Pacific Investment Management Company, LLC20.00%+/- 10.00%05/2007Broad-Based Inflation-Linked

Footnotes

1.

Before investing in the Fund you should carefully consider your investment goals, tolerance for risk, investment time horizon, and personal circumstances. There is no guarantee that the Fund will meet its investment objective and you can lose money.

2.

The Fund is an investment option of VantageTrust, a group trust established and maintained by VantageTrust Company, LLC, a wholly owned subsidiary of MissionSquare Retirement. VantageTrust provides for the commingling of assets of certain trusts and plans as described in its Declaration of Trust, and is only available for investment by such eligible trusts and plans. The Fund is not a mutual fund. Its units are not deposits of VantageTrust Company and are not insured by the Federal Deposit Insurance Corporation or any other agency. The Fund is a security that has not been registered under the Securities Act of 1933 and is exempt from investment company registration under the Investment Company Act of 1940. For additional information regarding the Fund, including a description of the principal risks, please consult the Funds Disclosure Memorandum, which is available when plan administration clients log in at www.icmarc.org, at www.vantagepointfunds.org for institutions, or upon request by calling 800-669-7400.

3.

When Funds are marketed to institutional clients, the Funds are offered by MissionSquare Investment Services, an SEC registered broker-dealer and FINRA member firm. MissionSquare Investment Services is a wholly-owned subsidiary of MissionSquare Retirement and is an affiliate of VantageTrust Company, LLC and MissionSquare Investments.

4.

Effective September 10, 2021, the Vantagepoint Funds are now known as the MissionSquare Funds.

The source for this information is Morningstar, Inc. Copyright © 2021 Morningstar, Inc.™ All Rights Reserved. The information contained herein: (1) is proprietary to Morningstar and/or its content providers; (2) may not be copied or distributed; and (3) is not warranted to be accurate, complete or timely. Neither Morningstar nor its content providers are responsible for any damages or losses arising from any use of this information. Morningstar, Inc. is a global investment research firm that is not affiliated with MissionSquare Retirement or its affiliates. MissionSquare Retirement does not independently verify Morningstar data.

Morningstar places funds in certain categories based on the fund's historical portfolio holdings. Placement of a fund in a particular Morningstar category does not mean that the fund will remain in that category or that it will invest primarily in securities consistent with its Morningstar category. A fund's investment strategy and portfolio holdings are governed by its prospectus, guidelines or other governing documents, not its Morningstar category.