Fund Facts  

Inception Date: Apr 22, 2016
CUSIP: 92211A802
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 Mar 31, 2022
Fund/Benchmark Name QtrYTD1-Yr3-Yr5-Yr10-YrSince Inception
MissionSquare Inflation Foc S3   -3.13%-3.13%3.65%5.71%3.89%2.05%N/A
Bloomberg U.S. Treasury Inflation-Linked Bond Indexa,b-3.02%-3.02%4.29%6.22%4.43%2.69%N/A
Morningstar Inflation-Protected Bonda,c-1.92%-1.92%3.99%5.72%4.03%2.27%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 investments.missionsq.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 Expenses0.79%
Net Expenses0.79%

 

a. Certain information including, but not limited to, benchmark performance or other performance and/or fee information, is provided by Morningstar, Inc., © 2022 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 Mar 31, 2022
Period Stars Category Size
Overall 3 Stars203
3-Year 3 Stars203
5-Year 3 Stars184
10-Year 3 Stars126

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 Mar 31, 2022
Fixed Income Stylebox
High Moderate
Allocation of Assets As of Feb 28, 2022
Type of Asset Percent
Equity0%
Fixed Income101%
Cash/Other-1%

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

 
 

Statistics

Duration and Maturity As of May 31, 2022
StatisticValue
Average Effective Duration6.92 years
Average Effective Maturity7.70 years
Portfolio Statistics As of Mar 31, 2022
Statistic3-Year5-Year
Beta1.021.01
Alpha-0.61-0.56
Standard Deviation4.483.93
 
 

Underlying Fund Characteristics

Allocation of Assets As of Feb 28, 2022
Asset ClassPercent
Domestic Stock0.0%
Foreign Stock0.0%
Domestic Bond106.8%
Foreign Bond-5.6%
Preferred0.0%
Convertible0.2%
Cash-1.5%
Other0.1%

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

 

Equity Sector As of Feb 28, 2022
SectorPercent
Financial Services0.0%

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

 
Credit Quality As of May 31, 2022
Quality LevelPercent
AAA91.9%
AA0.5%
A1.4%
BBB4.7%
BB1.2%
B0.3%
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 Feb 28, 2022
SectorPercent
Government93.4%
Securitized5.1%
Corporate3.7%
Municipal0.1%
Derivative-1.1%
Cash & Equivalents-1.3%

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

 
Top Ten Holdings As of May 31, 2022
Underlying Fund Holdings Market Value%
U.S. TREASURY INFLATION PROTECTED SECURITIES FUND$240,677,06423.1%
UNITED STATES OF AMERICA NOTES .125% 07/15/2031$69,666,4176.7%
US 5YR NOTE (CBT) BOND 30/SEP/2022 FVU2 COMDTY$43,6573.6%
US 2YR NOTE (CBT) BOND 30/SEP/2022 TUU2 COMDTY$78,3373.3%
UNITED STATES OF AMERICA NOTES .125% 01/15/2032$32,256,9133.1%
UNITED STATES OF AMERICA NOTES .375% 07/15/2027$31,788,4193.1%
UNITED STATES OF AMERICA NOTES .125% 04/15/2026$27,886,6822.7%
UNITED STATES OF AMERICA NOTES .25% 01/15/2025$25,697,5262.5%
UNITED STATES OF AMERICA NOTES .5% 01/15/2028$24,555,8902.4%
UNITED STATES OF AMERICA NOTES .125% 10/15/2024$20,097,1941.9%
All Holdings As of May 31, 2022
Exchange-Traded Funds
Underlying Fund HoldingsMarket Value%
INVESCO DB AGRICULTURE FUND ETP USD$2,638,8000.3%
INVESCO DB BASE METALS FUND ETP USD$1,424,1400.1%
VANGUARD REAL ESTATE ETF ETP USD 1$1,287,9100.1%
ISHARES GOLD TRUST$627,6600.1%
ISHARES SILVER TRUST ETP USD$496,0000.1%
INVESCO DB OIL FUND ETP USD$350,1000.0%
 
Fixed Income
Underlying Fund HoldingsMarket Value%
UNITED STATES OF AMERICA NOTES .125% 07/15/2031$69,666,4176.7%
UNITED STATES OF AMERICA NOTES .125% 01/15/2032$32,256,9133.1%
UNITED STATES OF AMERICA NOTES .375% 07/15/2027$31,788,4193.1%
UNITED STATES OF AMERICA NOTES .125% 04/15/2026$27,886,6822.7%
UNITED STATES OF AMERICA NOTES .25% 01/15/2025$25,697,5262.5%
UNITED STATES OF AMERICA NOTES .5% 01/15/2028$24,555,8902.4%
UNITED STATES OF AMERICA NOTES .125% 10/15/2024$20,097,1941.9%
UNITED STATES OF AMERICA BOND 2.5% 01/15/2029$19,065,6341.8%
UNITED STATES OF AMERICA NOTES .375% 01/15/2027$18,379,0041.8%
UNITED STATES OF AMERICA NOTES .875% 01/15/2029$17,019,5111.6%
UNITED STATES OF AMERICA NOTES .125% 07/15/2026$16,835,2081.6%
UNITED STATES OF AMERICA BOND 2.125% 02/15/2041$16,661,6861.6%
UNITED STATES OF AMERICA NOTES .5% 04/15/2024$15,883,9411.5%
UNITED STATES OF AMERICA NOTES .375% 07/15/2025$15,611,7821.5%
UNITED STATES OF AMERICA NOTES .125% 04/15/2025$15,369,9981.5%
UNITED STATES OF AMERICA NOTES .75% 07/15/2028$14,967,6351.4%
UNITED STATES OF AMERICA NOTES .125% 04/15/2027$14,910,6621.4%
UNITED STATES OF AMERICA BOND .75% 02/15/2045$14,588,5851.4%
UNITED STATES OF AMERICA NOTES .625% 01/15/2026$14,187,4771.4%
UNITED STATES OF AMERICA NOTES .125% 10/15/2025$13,846,4571.3%
UNITED STATES OF AMERICA NOTES .25% 07/15/2029$13,492,5761.3%
UNITED STATES OF AMERICA BOND .625% 02/15/2043$13,015,6231.3%
UNITED STATES OF AMERICA BOND 1% 02/15/2046$12,152,3261.2%
UNITED STATES OF AMERICA NOTES .125% 01/15/2030$11,705,3581.1%
UNITED STATES OF AMERICA NOTES .125% 07/15/2030$11,428,4741.1%
UNITED STATES OF AMERICA NOTES .125% 07/15/2024$11,339,1021.1%
UNITED STATES OF AMERICA BOND .125% 02/15/2051$10,547,3671.0%
UNITED STATES OF AMERICA NOTES .625% 04/15/2023$9,984,2091.0%
UNITED STATES OF AMERICA BOND .125% 02/15/2052$9,904,4131.0%
UNITED STATES OF AMERICA BOND 1.375% 02/15/2044$7,655,5850.7%
UNITED STATES OF AMERICA BOND .75% 02/15/2042$7,645,9750.7%
UNITED STATES OF AMERICA BOND 2.375% 01/15/2025$7,621,1510.7%
UNITED STATES OF AMERICA NOTES .125% 01/15/2023$7,401,2910.7%
UNITED STATES OF AMERICA NOTES .125% 01/15/2031$7,339,8830.7%
UNITED STATES OF AMERICA BOND .875% 02/15/2047$7,249,9180.7%
UNITED STATES OF AMERICA BOND 1% 02/15/2048$7,004,7670.7%
UNITED STATES OF AMERICA NOTES .625% 01/15/2024$6,341,8190.6%
UNITED STATES OF AMERICA BOND 3.625% 04/15/2028$6,310,1340.6%
UNITED STATES OF AMERICA NOTES .125% 10/15/2026$5,881,2570.6%
UNITED STATES OF AMERICA NOTES .375% 07/15/2023$5,741,1560.6%
UNITED STATES OF AMERICA BOND 3.875% 04/15/2029$5,475,5290.5%
UNITED STATES OF AMERICA BOND 1.75% 01/15/2028$4,526,8000.4%
REPUBLIC OF ITALY BOND 1.402% 05/26/2025$4,190,8600.4%
NYKREDIT REALKREDIT AS 1.5% 10/01/2053$2,933,6660.3%
UNITED STATES OF AMERICA BOND .25% 02/15/2050$2,909,4890.3%
UNITED STATES OF AMERICA BOND 2.125% 02/15/2040$2,689,3380.3%
TBA UMBS SINGLE FAMILY 30YR 3 6/20$2,463,5280.2%
UNITED MEXICAN STATES BOND 4.4% 02/12/2052$2,353,0150.2%
TBA UMBS SINGLE FAMILY 30YR 2.5 6/21$2,182,9810.2%
UNITED STATES OF AMERICA BOND 1% 02/15/2049$2,157,1880.2%
FEDERAL NATIONAL MORTGAGE ASSOCIATION 3% 02/01/2052$1,716,6490.2%
UNITED STATES OF AMERICA BOND 2% 01/15/2026$1,694,2910.2%
REPUBLIC OF ITALY BOND .105% 05/15/2033$1,650,4580.2%
NORDEA KREDIT REALKREDITAKTIESELSKAB 1.5% 10/01/2053$1,482,1700.1%
UNITED MEXICAN STATES BOND 7.5% 06/03/2027$1,354,6970.1%
MORGAN STANLEY 8% 04/25/2023$1,277,2810.1%
UNICREDIT SPA 7.83% 12/04/2023$1,258,6350.1%
REPUBLIC OF ITALY BOND .436% 05/15/2030$1,166,5370.1%
AREIT 2022-CRE6 TRUST 1.715% 11/17/2024$1,061,3290.1%
FEDERAL NATIONAL MORTGAGE ASSOCIATION 2.5% 03/01/2052$901,8530.1%
REGATTA XX FUNDING LTD 2.204% 10/15/2034$892,5890.1%
MAGNETITE XXVI LTD 2.304% 07/25/2034$879,1080.1%
ACM AUTO TRUST 2022-1 3.23% 04/20/2029$835,4160.1%
BFLD TRUST 2.475% 06/15/2038$831,3200.1%
FREDDIE MAC STACR REMIC TRUST 2021-DNA6 2.084% 10/25/2041$762,8690.1%
PRUDENTIAL FINANCIAL INC 5.875% 09/15/2042$756,8480.1%
JAPAN BOND .005% 03/10/2031$755,9580.1%
FREDDIE MAC STRUCTURED AGENCY CREDIT RISK DEBT NOTES 2.384% 11/25/2041$744,7040.1%
CONNECTICUT AVENUE SECURITIES TRUST 2022-R01 2.484% 12/25/2041$743,4300.1%
FRENCH REPUBLIC BOND .107% 07/25/2038$740,4530.1%
SUZANO AUSTRIA GMBH 2.5% 09/15/2028$716,3690.1%
AVANT LOANS FUNDING TRUST 2021-REV1 1.21% 07/15/2030$689,1060.1%
BREX COMMERCIAL CHARGE CARD MASTER TRUST 4.63% 07/15/2025$670,5660.1%
SLM STUDENT LOAN TRUST 2004-10 1.784% 10/25/2029$662,0910.1%
BANK OF AMERICA CORP 4.376% 04/27/2028$621,9730.1%
CITIGROUP INC 4.14% 05/24/2025$612,3980.1%
FEDERATIVE REPUBLIC OF BRAZIL BOND 10% 01/01/2027$606,8890.1%
AVIS BUDGET RENTAL CAR FUNDING AESOP LLC 4.56% 03/20/2024$602,9990.1%
CONNECTICUT AVENUE SECURITIES TRUST 2022-R02 1.784% 01/25/2042$590,2860.1%
BELLEMEADE RE 2021-3 LTD 1.584% 09/25/2031$590,0490.1%
DIAMOND ISSUER 2.305% 11/20/2051$585,9910.1%
MORGAN STANLEY 8% 05/17/2023$584,9940.1%
REPUBLIC OF SOUTH AFRICA BOND 8% 01/31/2030$577,2270.1%
AFFIRM ASSET SECURITIZATION TRUST 2022-X1 1.75% 02/15/2027$576,6870.1%
CONNECTICUT AVENUE SECURITIES TRUST 2022-R03 4.084% 03/25/2042$576,3140.1%
MORGAN STANLEY 8% 06/09/2023$566,0090.1%
JAPAN BOND .102% 03/10/2028$563,1950.1%
FREDDIE MAC STRUCTURED AGENCY CREDIT RISK DEBT NOTES 2.984% 02/25/2042$562,0120.1%
OAKTOWN RE VII LTD 2.184% 04/25/2034$549,4190.1%
CCO HOLDINGS LLC / CCO HOLDINGS CAPITAL CORP 4.75% 02/01/2032$549,0720.1%
NEUBERGER BERMAN LOAN ADVISERS CLO 43 LTD 2.174% 07/17/2035$522,4220.1%
MADISON PARK FUNDING LI LTD 4.094% 07/19/2034$512,7350.1%
FREDDIE MAC STACR REMIC TRUST 2022-DNA4 3.701% 05/25/2042$501,4320.1%
LAS VEGAS SANDS CORP 3.9% 08/08/2029$488,4980.1%
ENBRIDGE ENERGY PARTNERS LP 7.375% 10/15/2045$484,3770.1%
FORD MOTOR CREDIT CO LLC 4.95% 05/28/2027$473,3670.1%
PIKES PEAK CLO 8 4.163% 07/20/2034$471,4020.1%
FREDDIE MAC STACR REMIC TRUST 2021-HQA4 2.934% 12/25/2041$469,8340.1%
CNH INDUSTRIAL CAPITAL LLC 3.95% 05/23/2025$468,7820.1%
BELLEMEADE RE LTD 2.084% 06/25/2031$464,7170.0%
FISERV INC 3.5% 07/01/2029$451,2160.0%
ENTEGRIS ESCROW CORP 4.75% 04/15/2029$447,6260.0%
CPS AUTO RECEIVABLES TRUST 2022-A 2.17% 04/16/2029$445,5540.0%
TENCENT HOLDINGS LTD 2.39% 06/03/2030$444,1760.0%
HERTZ VEHICLE FINANCING III LLC 2.63% 06/25/2026$439,5260.0%
CARNIVAL CORP 4% 08/01/2028$437,6440.0%
SOCIETE GENERALE SA 2.797% 01/19/2028$436,1710.0%
KYNDRYL HOLDINGS INC 2.05% 10/15/2026$432,6680.0%
OCTANE RECEIVABLES TRUST 2021-2 2.02% 09/20/2028$431,6900.0%
WEIBO CORP 3.375% 07/08/2030$430,8120.0%
BBCMS 2020-BID MORTGAGE TRUST 3.015% 10/15/2037$429,5950.0%
NEIGHBORLY ISSUER 2022-1 3.695% 01/30/2052$427,1550.0%
ROCKFORD TOWER CLO 2021-2 LTD 2.223% 07/20/2034$424,3780.0%
CONN'S RECEIVABLES FUNDING 2021-A LLC 1.05% 05/15/2026$413,3940.0%
FREDDIE MAC STRUCTURED AGENCY CREDIT RISK DEBT NOTES 3.656% 12/25/2029$406,9100.0%
AGL CLO 12 LTD 3.913% 07/20/2034$406,5120.0%
ADVANCE AUTO PARTS INC 3.9% 04/15/2030$402,6910.0%
BALLYROCK CLO 16 LTD 3.963% 07/20/2034$402,0920.0%
UNITED STATES OF AMERICA BOND 3.375% 04/15/2032$401,7890.0%
CPS AUTO RECEIVABLES TRUST 2021-C 1.69% 06/15/2027$391,8590.0%
AB ISSUER LLC 3.734% 07/30/2051$391,6410.0%
DISH DBS CORP 5.25% 12/01/2026$390,8930.0%
UPSTART SECURITIZATION TRUST 2021-3 1.66% 07/20/2031$389,7220.0%
BX COMMERCIAL MORTGAGE TRUST 2019-IMC 3.025% 04/15/2034$389,3250.0%
AIRCASTLE LTD 4.25% 06/15/2026$387,5210.0%
FREDDIE MAC STACR REMIC TRUST 2022-DNA1 2.434% 01/25/2042$386,0420.0%
OCHSNER LSU HEALTH SYSTEM OF NORTH LOUISIANA 2.51% 05/15/2031$384,5980.0%
OCP CLO 2020-18 LTD 2.153% 07/20/2032$382,1240.0%
CONTINENTAL RESOURCES INC/OK 2.875% 04/01/2032$377,8990.0%
MOODY'S CORP 4.25% 02/01/2029$374,9740.0%
WESTINGHOUSE AIR BRAKE TECHNOLOGIES CORP 4.4% 03/15/2024$372,7020.0%
TRIANGLE RE 2021-3 LTD 2.484% 02/25/2034$370,2330.0%
LAD AUTO RECEIVABLES TRUST 2021-1 1.3% 08/17/2026$367,9400.0%
CREDIT SUISSE GROUP AG 6.375% CALLABLE$361,0060.0%
BALBOA BAY LOAN FUNDING 2021-1 LTD 2.263% 07/20/2034$356,6960.0%
FLATIRON CLO 21 LTD 3.944% 07/19/2034$353,8730.0%
BAMLL COMMERCIAL MORTGAGE SECURITIES TRUST 2017-SCH 1.875% 11/15/2033$353,7860.0%
CGRBS COMMERCIAL MORTGAGE TRUST 2013-VN05 3.369% 03/13/2035$350,7890.0%
ENA MASTER TRUST 4% 05/19/2048$350,3170.0%
OLEODUCTO CENTRAL SA 4% 07/14/2027$342,8490.0%
CONTINENTAL RESOURCES INC/OK 5.75% 01/15/2031$340,6800.0%
UNIVERSITY OF CALIFORNIA 3.071% 05/15/2051$339,2700.0%
BAT CAPITAL CORP 2.259% 03/25/2028$339,2100.0%
ELMWOOD CLO IX LTD 4.013% 07/20/2034$337,5860.0%
FEDERAL NATIONAL MORTGAGE ASSOCIATION 2.584% 11/25/2041$334,3160.0%
GLP CAPITAL LP / GLP FINANCING II INC 3.25% 01/15/2032$331,8730.0%
AIR LEASE CORP 4.625% 10/01/2028$328,5850.0%
BELLEMEADE RE 2022-1 LTD 2.734% 01/26/2032$324,5010.0%
CREDIT SUISSE GROUP AG 3.091% 05/14/2032$315,7150.0%
STANDARD CHARTERED PLC 3.971% 03/30/2026$313,3870.0%
TOBACCO SETTLEMENT FINANCE AUTHORITY 3% 06/01/2035$308,0580.0%
UBS GROUP AG 4.488% 05/12/2026$307,2560.0%
HSBC HOLDINGS PLC 4.762% 03/29/2033$303,7770.0%
ING BANK NV 2.625% 12/05/2022$300,7630.0%
CEMEX SAB DE CV 3.875% 07/11/2031$300,5140.0%
REALKREDIT DANMARK A/S 1% 10/01/2050$299,4130.0%
MVW 2021-2 LLC 1.83% 05/20/2039$297,8410.0%
CARVANA AUTO RECEIVABLES TRUST 2021-P4 2.61% 09/11/2028$291,9350.0%
GOLDENTREE LOAN MANAGEMENT US CLO 7 LTD 2.133% 04/20/2034$291,8500.0%
COMISION FEDERAL DE ELECTRICIDAD BOND 4.688% 05/15/2029$291,7310.0%
SOCIETE GENERALE SA 8% CALLABLE$290,8280.0%
TSMC ARIZONA CORP 3.875% 04/22/2027$286,9530.0%
CENCOSUD SA 5.15% 02/12/2025$284,0770.0%
TRANSCANADA PIPELINES LTD 6.1% 06/01/2040$282,3260.0%
CARVANA AUTO RECEIVABLES TRUST 2021-N3 1.02% 06/12/2028$278,7310.0%
NATURA COSMETICOS SA 4.125% 05/03/2028$275,7720.0%
AVIS BUDGET RENTAL CAR FUNDING AESOP LLC 3.7% 09/20/2024$270,8210.0%
NXP BV / NXP FUNDING LLC 5.55% 12/01/2028$266,5000.0%
DUKE ENERGY CAROLINAS NC STORM FUNDING LLC 2.617% 07/01/2041$261,6670.0%
DISH DBS CORP 5.75% 12/01/2028$260,9760.0%
FORD CREDIT AUTO OWNER TRUST 2021-REV1 2.31% 10/17/2033$260,1380.0%
ROSS STORES INC 4.7% 04/15/2027$259,6950.0%
NXP BV / NXP FUNDING LLC / NXP USA INC 3.4% 05/01/2030$259,3340.0%
AERCAP IRELAND CAPITAL DAC / AERCAP GLOBAL AVIATION TRUST 6.5% 07/15/2025$258,0570.0%
BALLYROCK CLO 15 LTD 4.144% 04/15/2034$258,0340.0%
BANK OF AMERICA CORP 3.419% 12/20/2028$257,3080.0%
FREDDIE MAC STACR REMIC TRUST 2022-DNA3 3.484% 04/25/2042$255,3240.0%
GSF MORTGAGE CORP 2.435% 08/15/2026$254,4360.0%
GOLDMAN SACHS GROUP INC/THE 7.5% 08/30/2023$252,7860.0%
CREDIT SUISSE GROUP AG 4.194% 04/01/2031$252,2400.0%
AVIS BUDGET RENTAL CAR FUNDING AESOP LLC 4% 03/20/2025$251,9000.0%
CARVANA AUTO RECEIVABLES TRUST 2021-N4 2.3% 09/11/2028$248,6160.0%
EAGLE RE 2021-2 LTD 2.634% 04/25/2034$245,3080.0%
GLOBAL PAYMENTS INC 3.2% 08/15/2029$245,2110.0%
DIAMOND INFRASTRUCTURE FUNDING LLC 2.355% 04/15/2049$243,3060.0%
BERKSHIRE HATHAWAY ENERGY CO 6.125% 04/01/2036$242,6570.0%
ENGIE ENERGIA CHILE SA 3.4% 01/28/2030$242,0320.0%
NEW MOUNTAIN CLO 3 LTD 2.243% 10/20/2034$240,7290.0%
NELNET STUDENT LOAN TRUST 2021-C 2.53% 04/20/2062$240,4810.0%
HFX FUNDING ISSUER LLC 3.622% 03/15/2035$237,6640.0%
DRYDEN 78 CLO LTD 2.994% 04/17/2033$235,2650.0%
SK HYNIX INC 2.375% 01/19/2031$232,4470.0%
CAPITAL ONE FINANCIAL CORP 3.273% 03/01/2030$232,1340.0%
ORACLE CORP 3.6% 04/01/2040$231,9940.0%
ELEVATION CLO 2020-11 LTD 3.244% 04/15/2033$230,7410.0%
MORGAN STANLEY 4.21% 04/20/2028$230,5060.0%
NEUBERGER BERMAN LOAN ADVISERS CLO 42 LTD 3.844% 07/16/2035$229,3880.0%
FOX CORP 4.709% 01/25/2029$228,9480.0%
AIRCASTLE LTD 2.85% 01/26/2028$226,8670.0%
PPM CLO 5 LTD 4.094% 10/18/2034$226,0510.0%
FREDDIE MAC STACR REMIC TRUST 2021-DNA5 2.234% 01/25/2034$226,0310.0%
CONNECTICUT AVENUE SECURITIES TRUST 2021-R03 2.234% 12/25/2041$226,0250.0%
ING GROEP NV 4.017% 03/28/2028$225,4630.0%
ENI SPA 4.25% 05/09/2029$224,5110.0%
FHF TRUST 2021-2 .83% 12/15/2026$223,3280.0%
NATIONWIDE BUILDING SOCIETY 2.972% 02/16/2028$222,3800.0%
NELNET STUDENT LOAN TRUST 2021-D 2.9% 04/20/2062$220,6260.0%
MDC HOLDINGS INC 6% 01/15/2043$219,9820.0%
NUCOR CORP 4.3% 05/23/2027$219,6350.0%
CAPITAL ONE FINANCIAL CORP 4.927% 05/10/2028$219,5840.0%
TRANSCANADA PIPELINES LTD 6.2% 10/15/2037$218,9350.0%
MIZUHO FINANCIAL GROUP INC 2.226% 05/25/2026$218,5930.0%
NYKREDIT REALKREDIT AS 1% 10/01/2053$216,7660.0%
DANSKE BANK A/S 3.875% 09/12/2023$215,9580.0%
GCI FUNDING I LLC 2.38% 06/18/2046$214,4250.0%
GS MORTGAGE SECURITIES TRUST 2011-GC5 5.159% 08/10/2044$211,5430.0%
FREEPORT INDONESIA PT 4.763% 04/14/2027$210,5680.0%
HARLEY-DAVIDSON FINANCIAL SERVICES INC 3.35% 06/08/2025$209,6570.0%
ALPEK SAB DE CV 5.375% 08/08/2023$204,9660.0%
FEDERAL NATIONAL MORTGAGE ASSOCIATION 4% 12/25/2050$203,3350.0%
STATE OF QATAR BOND 3.875% 04/23/2023$202,3350.0%
BELLEMEADE RE LTD 3.534% 03/25/2031$201,7950.0%
BREX COMMERCIAL CHARGE CARD MASTER TRUST 2.09% 07/15/2024$201,2990.0%
NATWEST GROUP PLC 2.516% 06/25/2024$201,2180.0%
FORD MOTOR CREDIT CO LLC 3.55% 10/07/2022$200,2170.0%
UNITED STATES OF AMERICA BOND 1.625% 11/15/2050$200,1020.0%
ANGLO AMERICAN CAPITAL PLC 3.875% 03/16/2029$199,8710.0%
INTESA SANPAOLO SPA 5.017% 06/26/2024$199,2340.0%
PROSUS NV 3.257% 01/19/2027$198,0420.0%
WYNN MACAU LTD 5.625% 08/26/2028$196,8590.0%
NATIONWIDE MUTUAL INSURANCE CO 9.375% 08/15/2039$196,6830.0%
BANCO SANTANDER SA 4.175% 03/24/2028$195,6160.0%
COMISION FEDERAL DE ELECTRICIDAD BOND 3.348% 02/09/2031$195,0010.0%
GS MORTGAGE SECURITIES TRUST 2013-G1 3.557% 04/10/2031$194,6600.0%
DOMINO'S PIZZA MASTER ISSUER LLC 2.662% 04/25/2051$194,0660.0%
ALTRIA GROUP INC 3.4% 05/06/2030$193,4320.0%
VORNADO REALTY LP 3.4% 06/01/2031$193,4260.0%
DOMINICAN REPUBLIC BOND 4.875% 09/23/2032$190,9090.0%
ZF FINANCE GMBH 3.75% 09/21/2028$189,3870.0%
REALKREDIT DANMARK A/S 1.5% 10/01/2053$189,2910.0%
PRUDENTIAL FINANCIAL INC 5.2% 03/15/2044$188,1000.0%
SUMMER BC HOLDCO B SARL 5.75% 10/31/2026$187,7710.0%
DEUTSCHE BANK AG/NEW YORK NY 3.961% 11/26/2025$187,1340.0%
PROSUS NV 3.68% 01/21/2030$186,8470.0%
NH HOTEL GROUP SA 4% 07/02/2026$184,8870.0%
HARLEY-DAVIDSON FINANCIAL SERVICES INC 3.05% 02/14/2027$182,3370.0%
RADNOR RE 2020-1 LTD 1.956% 01/25/2030$181,6960.0%
ADIENT GLOBAL HOLDINGS LTD 3.5% 08/15/2024$181,6640.0%
LORCA TELECOM BONDCO SA 4% 09/18/2027$181,3210.0%
TK ELEVATOR MIDCO GMBH 4.375% 07/15/2027$179,1560.0%
CLNY TRUST 2019-IKPR 2.9% 11/15/2038$178,2800.0%
AFFIRM ASSET SECURITIZATION TRUST 2021-Z2 1.17% 11/16/2026$176,8870.0%
REPUBLIC OF COLOMBIA BOND 3.125% 04/15/2031$175,6530.0%
WELLS FARGO & CO 3.584% 05/22/2028$175,2280.0%
APCOA PARKING HOLDINGS GMBH 4.625% 01/15/2027$172,8890.0%
PMT CREDIT RISK TRANSFER TRUST 2019-2R 3.773% 05/27/2023$172,6480.0%
GLENCORE FUNDING LLC 4% 03/27/2027$171,0490.0%
INTERPUBLIC GROUP OF COS INC/THE 4.65% 10/01/2028$169,9850.0%
STANDARD CHARTERED PLC 2.749% CALLABLE$167,9000.0%
AVIATION CAPITAL GROUP LLC 1.95% 01/30/2026$167,3810.0%
CITIGROUP INC 5.95% CALLABLE$166,4710.0%
ALTICE FINANCING SA 3% 01/15/2028$164,2080.0%
ENERGY TRANSFER LP 6.25% 04/15/2049$163,6370.0%
ALTICE FRANCE SA/FRANCE 3.375% 01/15/2028$162,6720.0%
VZ VENDOR FINANCING II BV 2.875% 01/15/2029$161,0330.0%
COLLEGE AVE STUDENT LOANS 2021-C LLC 2.72% 07/26/2055$159,4410.0%
FEDERAL HOME LOAN MORTGAGE CORP 4.5% 11/25/2050$156,8370.0%
WELLS FARGO COMMERCIAL MORTGAGE TRUST 2016-NXS6 4.393% 11/15/2049$155,9790.0%
AMERICAN TOWER CORP 3.65% 03/15/2027$153,8550.0%
NOBEL BIDCO BV 3.125% 06/15/2028$153,6720.0%
EMBRAER NETHERLANDS FINANCE BV 5.4% 02/01/2027$153,5690.0%
RELX CAPITAL INC 4.75% 05/20/2032$151,4560.0%
PORT AUTHORITY OF NEW YORK & NEW JERSEY 1.086% 07/01/2023$147,6260.0%
EAGLE RE 2020-1 LTD 1.906% 01/25/2030$146,8750.0%
LIMA METRO LINE 2 FINANCE LTD 5.875% 07/05/2034$146,2180.0%
UBS COMMERCIAL MORTGAGE TRUST 3.203% 10/15/2052$146,0990.0%
WELLS FARGO COMMERCIAL MORTGAGE TRUST 2016-LC25 4.34% 12/15/2059$142,0600.0%
CITY OF NEW YORK NY 1.923% 08/01/2031$141,8820.0%
DELTA AIR LINES INC / SKYMILES IP LTD 4.75% 10/20/2028$137,9140.0%
FEDERAL NATIONAL MORTGAGE ASSOCIATION 4.556% 07/25/2029$136,0920.0%
AIRCASTLE LTD 5.25% 08/11/2025$135,7880.0%
SANTANDER HOLDINGS USA INC 2.49% 01/06/2028$135,4600.0%
AVIATION CAPITAL GROUP LLC 5.5% 12/15/2024$135,3510.0%
AMERICAN WATER CAPITAL CORP 3.45% 06/01/2029$135,2430.0%
MISSION LANE CREDIT CARD MASTER TRUST 2.24% 09/15/2026$134,9530.0%
ATALAYA EQUIPMENT LEASING TRUST 21-1 2.08% 02/15/2027$134,2960.0%
ORACLE CORP 3.65% 03/25/2041$129,3520.0%
CAJUN GLOBAL LLC 3.931% 11/20/2051$126,0720.0%
NEIGHBORLY ISSUER LLC 3.584% 04/30/2051$126,0190.0%
INEOS QUATTRO FINANCE 2 PLC 2.5% 01/15/2026$121,4980.0%
LSTAR COMMERCIAL MORTGAGE TRUST 2016-4 2.579% 03/10/2049$120,9690.0%
JPMORGAN CHASE & CO 4.709% CALLABLE$119,8350.0%
HARDEE'S FUNDING LLC 3.981% 12/20/2050$118,6040.0%
DELTA AIR LINES INC / SKYMILES IP LTD 4.5% 10/20/2025$118,5610.0%
NATIXIS COMMERCIAL MORTGAGE SECURITIES TRUST 2019-MILE 2.375% 07/15/2036$118,5320.0%
CITIGROUP INC 4.15% CALLABLE$117,6640.0%
BELLEMEADE RE 2019-3 LTD 2.606% 07/25/2029$116,5610.0%
CLARIOS GLOBAL LP / CLARIOS US FINANCE CO 4.375% 05/15/2026$114,8010.0%
FREDDIE MAC STACR REMIC TRUST 2020-DNA5 3.333% 10/25/2050$114,0550.0%
WORKDAY INC 3.8% 04/01/2032$113,9010.0%
HARDEE'S FUNDING LLC 5.71% 06/20/2048$113,7400.0%
ASHFORD HOSPITALITY TRUST 2018-KEYS 1.875% 06/15/2035$111,4700.0%
GSF MORTGAGE CORP 1.433% 08/15/2026$110,3340.0%
AFFIRM ASSET SECURITIZATION TRUST 2021-Z1 1.07% 08/15/2025$110,0190.0%
JAPAN BOND .101% 03/10/2029$108,7370.0%
AVIATION CAPITAL GROUP LLC 1.95% 09/20/2026$107,9360.0%
PLAYTECH PLC 4.25% 03/07/2026$106,4870.0%
JYSKE REALKREDIT A/S 1.5% 10/01/2053$106,4450.0%
BROADCOM INC 4.15% 04/15/2032$104,0590.0%
NORDEA KREDIT REALKREDITAKTIESELSKAB 1% 10/01/2050$103,5910.0%
FEDERAL HOME LOAN MORTGAGE CORP 3.5% 12/25/2050$101,6930.0%
RADNOR RE 2019-1 LTD 2.956% 02/25/2029$101,3070.0%
DEUTSCHE LUFTHANSA AG 3% 05/29/2026$99,9270.0%
FEDERAL HOME LOAN MORTGAGE CORP 5.094% 06/25/2050$99,2210.0%
ORGANON & CO / ORGANON FOREIGN DEBT CO-ISSUER BV 2.875% 04/30/2028$99,1250.0%
BX COMMERCIAL MORTGAGE TRUST 2019-IMC 2.775% 04/15/2034$96,6470.0%
IQVIA INC 2.25% 03/15/2029$94,2710.0%
FREDDIE MAC STACR TRUST 2019-FTR2 3.156% 11/25/2048$93,8490.0%
S&P GLOBAL INC 4.25% 05/01/2029$93,4770.0%
ORACLE CORP 5.375% 07/15/2040$92,3570.0%
ROYAL CARIBBEAN CRUISES LTD 11.5% 06/01/2025$92,2890.0%
CIGNA CORP 4.375% 10/15/2028$91,4600.0%
CCO HOLDINGS LLC / CCO HOLDINGS CAPITAL CORP 4.5% 06/01/2033$91,3590.0%
FEDERAL HOME LOAN MORTGAGE CORP 4% 09/25/2050$91,2360.0%
INFOR INC 1.75% 07/15/2025$90,7950.0%
VOYA CLO 2019-1 LTD 3.894% 04/15/2031$90,2820.0%
BAMLL COMMERCIAL MORTGAGE SECURITIES TRUST 2013-WBRK 3.652% 03/10/2037$89,2110.0%
WELLS FARGO & CO 3.9% CALLABLE$88,4250.0%
MARATHON PETROLEUM CORP 6.5% 03/01/2041$87,6820.0%
FEDERAL NATIONAL MORTGAGE ASSOCIATION 5.456% 01/25/2029$87,3730.0%
CONNECTICUT AVENUE SECURITIES TRUST 2020-R01 3.056% 01/25/2040$86,7160.0%
BANK OF AMERICA CORP 8.921% 10/09/2024$86,5950.0%
STACR TRUST 2018-DNA3 3.106% 09/25/2048$84,3800.0%
SANTANDER HOLDINGS USA INC 4.4% 07/13/2027$84,2360.0%
FREDDIE MAC STACR 2019-HQA3 2.856% 09/25/2049$83,7420.0%
CITIGROUP INC 4% CALLABLE$82,3150.0%
RADNOR RE 2019-2 LTD 2.756% 06/25/2029$81,9590.0%
BELLEMEADE RE 2019-1 LTD 2.756% 03/25/2029$76,2440.0%
AMERICAN TOWER CORP 4.05% 03/15/2032$74,4970.0%
NYKREDIT REALKREDIT AS 2% 10/01/2053$73,2290.0%
BROADCOM INC 4.926% 05/15/2037$68,1610.0%
PRUDENTIAL FINANCIAL INC 5.375% 05/15/2045$67,4280.0%
JPMBB COMMERCIAL MORTGAGE SECURITIES TRUST 2014-C21 4.341% 08/15/2047$63,4560.0%
FEDERAL NATIONAL MORTGAGE ASSOCIATION 5.044% 04/25/2044$62,4330.0%
CITIGROUP INC 9.542% 09/29/2024$61,2930.0%
BAT CAPITAL CORP 4.906% 04/02/2030$59,1340.0%
JPMORGAN CHASE & CO 4.287% CALLABLE$58,1430.0%
BELLEMEADE RE 2018-3 LTD 2.856% 10/25/2028$57,3210.0%
CONNECTICUT AVENUE SECURITIES TRUST 2020-R02 3.006% 01/25/2040$56,3370.0%
DISCOVERY COMMUNICATIONS LLC 5.2% 09/20/2047$54,1280.0%
AVIATION CAPITAL GROUP LLC 4.875% 10/01/2025$53,8520.0%
AIRCASTLE LTD 4.125% 05/01/2024$53,3810.0%
FEDERAL NATIONAL MORTGAGE ASSOCIATION 5.194% 12/25/2047$53,0270.0%
BROADCOM INC 4.15% 11/15/2030$52,2540.0%
JPMORGAN CHASE & CO 9.792% 12/20/2023$51,5660.0%
ASSET BACKED SECURITIES CORP HOME EQUITY LOAN TRUST SERIES OOMC 2006-HE3 1.336% 03/25/2036$49,0130.0%
FEDERAL NATIONAL MORTGAGE ASSOCIATION 5.194% 10/25/2047$48,3560.0%
ALTRIA GROUP INC 4.8% 02/14/2029$48,0030.0%
FEDERAL HOME LOAN MORTGAGE CORP 5.044% 02/25/2050$47,2900.0%
FREDDIE MAC STACR REMIC TRUST 2020-DNA1 2.706% 01/25/2050$46,9240.0%
WORKDAY INC 3.7% 04/01/2029$45,1700.0%
SUZANO AUSTRIA GMBH 3.75% 01/15/2031$44,3260.0%
FEDERAL HOME LOAN MORTGAGE CORP 5.275% 06/15/2047$43,5150.0%
AVIATION CAPITAL GROUP LLC 4.375% 01/30/2024$42,8020.0%
AVIATION CAPITAL GROUP LLC 3.5% 11/01/2027$42,4380.0%
VOLCAN CIA MINERA SAA 4.375% 02/11/2026$41,2320.0%
FREDDIE MAC MULTIFAMILY STRUCTURED CREDIT RISK 2.584% 01/25/2051$40,5810.0%
ONEOK INC 6.35% 01/15/2031$40,3490.0%
FEDERAL NATIONAL MORTGAGE ASSOCIATION 5.356% 05/25/2029$40,0590.0%
FEDERAL NATIONAL MORTGAGE ASSOCIATION 5.144% 08/25/2047$38,9860.0%
PMT CREDIT RISK TRANSFER TRUST 2020-1R 3.373% 02/27/2023$38,6010.0%
ATALAYA EQUIPMENT LEASING TRUST 21-1 .326% 11/15/2022$36,4130.0%
FEDERAL NATIONAL MORTGAGE ASSOCIATION 5.256% 04/25/2029$34,9180.0%
FEDERAL NATIONAL MORTGAGE ASSOCIATION 5.006% 05/25/2025$34,7370.0%
FEDERAL NATIONAL MORTGAGE ASSOCIATION 4.994% 10/25/2046$32,1760.0%
BROADCOM INC 4% 04/15/2029$30,5500.0%
FEDERAL NATIONAL MORTGAGE ASSOCIATION 5.094% 12/25/2044$30,3840.0%
BROADCOM INC 3.137% 11/15/2035$30,2500.0%
ONEOK PARTNERS LP 6.125% 02/01/2041$30,2320.0%
CCO HOLDINGS LLC / CCO HOLDINGS CAPITAL CORP 4.5% 08/15/2030$28,9420.0%
HOME RE 2020-1 LTD 4.256% 10/25/2030$28,8700.0%
GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 5.273% 09/20/2047$28,6640.0%
CONNECTICUT AVENUE SECURITIES TRUST 2019-R07 3.106% 10/25/2039$28,6600.0%
DISCOVERY COMMUNICATIONS LLC 5.3% 05/15/2049$26,8490.0%
FEDERAL NATIONAL MORTGAGE ASSOCIATION 6.706% 04/25/2028$25,4070.0%
AIR LEASE CORP 2.875% 01/15/2026$24,4970.0%
FEDERAL NATIONAL MORTGAGE ASSOCIATION 5.534% 12/25/2041$23,9460.0%
UPSTART SECURITIZATION TRUST 2020-3 1.702% 11/20/2030$23,8280.0%
GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 5.273% 08/20/2047$23,7710.0%
FREDDIE MAC STACR TRUST 2019-DNA4 2.956% 10/25/2049$22,4850.0%
MARRIOTT INTERNATIONAL INC/MD 5.75% 05/01/2025$21,1160.0%
S&P GLOBAL INC 4.75% 08/01/2028$20,8210.0%
DISCOVERY COMMUNICATIONS LLC 4.65% 05/15/2050$18,5670.0%
FEDERAL NATIONAL MORTGAGE ASSOCIATION 6.006% 07/25/2025$14,3160.0%
ADVANCE AUTO PARTS INC 3.5% 03/15/2032$14,2740.0%
CENOVUS ENERGY INC 4.25% 04/15/2027$14,0580.0%
TERRAFORM GLOBAL OPERATING LLC 6.125% 03/01/2026$13,7680.0%
AIR LEASE CORP 3.625% 04/01/2027$13,2940.0%
FREDDIE MAC STACR TRUST 2019-DNA3 3.056% 07/25/2049$13,0820.0%
REALKREDIT DANMARK A/S 2% 10/01/2053$12,5750.0%
GSF MORTGAGE CORP 2.638% 08/15/2026$11,0010.0%
GUARDIAN LIFE INSURANCE CO OF AMERICA/THE 4.85% 01/24/2077$10,3520.0%
CONNECTICUT AVENUE SECURITIES TRUST 2019-R06 3.106% 09/25/2039$9,9920.0%
EXPEDIA GROUP INC 6.25% 05/01/2025$5,2270.0%
AVIATION CAPITAL GROUP LLC 4.125% 08/01/2025$2,9300.0%
 
Collective Trusts/Mutual Funds
Underlying Fund HoldingsMarket Value%
U.S. TREASURY INFLATION PROTECTED SECURITIES FUND$240,677,06423.1%
 
Short-Term/Cash
Underlying Fund HoldingsMarket Value%
BLACKROCK TEMP FUND - INST SHARES FUND 24$14,406,4791.4%
JPMORGAN PRIME MONEY MARKET FUND FUNDS VARIABLE$14,406,4791.4%
UNITED STATES OF AMERICA BILL ZERO CPN 08/SEP/2022$11,797,3501.1%
UNITED STATES OF AMERICA BILL ZERO CPN 03/NOV/2022$4,482,4550.4%
 
Other
Underlying Fund HoldingsMarket Value%
SWAP/07/15/2026/P:USD 2.79250 /R:USD/USCPI/1M$1,921,5691.9%
SWAP/02/26/2025/P:USD 1.58900 /R:USD/USCPI/1M$1,654,7281.2%
SWAP/05/21/2031/P:USD 1.61650 /R:USD/LIBOR/3M$1,506,5601.4%
SWAP/07/15/2025/P:USD 1.59500 /R:USD/USCPI/1M$1,113,7720.7%
SWAP/01/15/2025/P:USD 2.44000 /R:USD/USCPI/1M$1,108,3581.0%
US DOLLAR$852,0000.1%
SWAP/01/15/2025/P:USD 0.78000 /R:USD/USCPI/1M$780,8730.4%
POUND STERLING$663,9360.1%
SWAP/07/15/2026/P:USD 2.89600 /R:USD/USCPI/1M$654,1540.7%
SWAP/07/15/2026/P:USD 2.90800 /R:USD/USCPI/1M$641,5320.7%
SWAP/01/15/2027/P:USD 2.84250 /R:USD/USCPI/1M$628,1970.7%
CANADIAN DOLLAR$605,7700.1%
EURO-BTP FUTURE BOND 08/JUN/2022 IKM2 COMDTY$526,011-0.4%
SWAP/06/05/2027/P:USD 0.55750 /R:USD/LIBOR/3M$475,3760.4%
SWAP/01/15/2026/P:USD 2.32200 /R:USD/USCPI/1M$449,6140.4%
EURO$447,6560.0%
SWAP/06/24/2022/P:USD 3.52000 /R:USD/USCPI/1M$446,5210.9%
EURO-BUXL 30Y BND BOND 08/JUN/2022 UBM2 COMDTY$444,071-0.2%
US DOLLAR$426,5550.0%
SWAP/07/15/2024/P:USD 1.85500 /R:USD/USCPI/1M$409,1250.3%
SWAP/04/15/2032/P:USD 2.60750 /R:USD/USCPI/1M$378,1140.4%
US DOLLAR$343,6090.0%
MALAYSIAN RINGGIT$327,4030.0%
US DOLLAR$320,2680.0%
SWAP/04/15/2032/P:USD 2.60500 /R:USD/USCPI/1M$318,8720.3%
SWAPTION/EUROPEAN/11/02/2022/11/04/2052/P:EUR 0.19500 /R:EUR/EURIBOR/6M$311,4990.1%
SWAP/01/15/2025/P:USD 1.96750 /R:USD/USCPI/1M$301,0430.2%
SWAP/01/15/2025/P:USD 1.58000 /R:USD/USCPI/1M$300,7970.2%
SWAP/07/15/2026/P:USD 2.40750 /R:USD/USCPI/1M$269,6250.2%
SWAPTION/EUROPEAN/11/02/2022/11/04/2052/P:EUR 0.19000 /R:EUR/EURIBOR/6M$222,8890.1%
CURRENCY CONTRACT - USD$213,302-0.6%
SWAP/03/05/2026/P:USD 2.41875 /R:USD/USCPI/1M$196,5290.2%
SWAP/05/15/2026/P:EUR 1.50000 /R:EUR/HICPXT/1M$156,3540.1%
SWAP/02/26/2026/P:USD 2.31375 /R:USD/USCPI/1M$148,6040.1%
SWAP/05/13/2026/P:USD 2.76750 /R:USD/USCPI/1M$132,9150.1%
POUND STERLING$132,1700.0%
SWAPTION/EUROPEAN/11/04/2022/11/08/2052/P:EUR 0.19700 /R:EUR/EURIBOR/6M$126,1860.0%
SWAP/07/15/2026/P:USD 2.94400 /R:USD/USCPI/1M$118,1870.1%
SWAP/01/15/2024/P:USD 1.59900 /R:USD/USCPI/1M$116,0170.1%
CREDIT INDEX SWAP - CDI$107,364-0.2%
SWAP/02/05/2023/P:USD 2.21000 /R:USD/USCPI/1M$101,9080.1%
SWAP/03/15/2024/P:EUR 1.03000 /R:EUR/FRCPI/1M$93,4940.1%
SWAP/05/13/2027/P:USD 3.26250 /R:USD/USCPI/1M$85,7601.4%
US 2YR NOTE (CBT) BOND 30/SEP/2022 TUU2 COMDTY$78,3373.3%
EURO$72,1220.0%
EURO-BOBL FUTURE BOND 08/JUN/2022 OEM2 COMDTY$71,349-0.7%
SWAP/05/14/2026/P:USD 2.79300 /R:USD/USCPI/1M$69,7910.1%
SWAP/04/15/2032/P:USD 2.51900 /R:USD/USCPI/1M$65,8350.1%
SWAP/11/10/2045/P:USD 2.72100 /R:USD/LIBOR/3M$65,5140.0%
SWAP/10/04/2026/P:USD 1.48700 /R:USD/LIBOR/3M$59,2850.1%
CURRENCY CONTRACT - USD$56,685-0.4%
RAND$53,2200.0%
YEN$51,9910.0%
US ULTRA BOND CBT BOND 21/SEP/2022 WNU2 COMDTY$51,3150.1%
SWAP/05/10/2023/P:USD 2.28100 /R:USD/USCPI/1M$44,1920.1%
US 5YR NOTE (CBT) BOND 30/SEP/2022 FVU2 COMDTY$43,6573.6%
BRAZILIAN REAL$39,1910.0%
CURRENCY CONTRACT - CAD$36,5150.4%
YEN$34,3540.0%
SWAP/11/15/2031/P:GBP 4.25000 /R:GBP/UKRPI/1M$33,9530.0%
SWAP/05/09/2023/P:USD 2.26250 /R:USD/USCPI/1M$28,8890.0%
SWAP/05/20/2029/P:USD 2.39000 /R:USD/LIBOR/3M$25,8370.1%
SWAP/05/20/2029/P:USD 2.36000 /R:USD/LIBOR/3M$24,8280.1%
CURRENCY CONTRACT - JPY$23,2390.3%
SWAPTION/EUROPEAN/01/31/2023/02/02/2033/P:USD/SOFR/1D /R:USD 1.57900$20,3270.1%
YEN$19,9320.0%
SWAP/11/10/2045/P:USD 2.72100 /R:USD/LIBOR/3M$17,3090.0%
SWAP/11/09/2026/P:USD 1.67150 /R:USD/LIBOR/3M$16,8070.0%
US 10YR NOTE (CBT) BOND 21/SEP/2022 TYU2 COMDTY$15,9441.1%
SWAP/03/15/2024/P:GBP 6.29000 /R:GBP/UKRPI/1M$15,1140.1%
CURRENCY CONTRACT - AUD$14,3090.5%
CURRENCY CONTRACTS - ZAR$13,9790.1%
US LONG BOND(CBT) BOND 21/SEP/2022 USU2 COMDTY$13,766-1.0%
SWAP/11/08/2026/P:USD 1.65700 /R:USD/LIBOR/3M$12,7650.0%
SHORT EURO-BTP FU BOND 08/SEP/2022 BTSU2 COMDTY$11,290-0.3%
CURRENCY CONTRACT - USD$10,1300.0%
EURO-BUND FUTURE BOND 08/SEP/2022 RXU2 COMDTY$9,813-0.2%
SELL PROTECTION ON CMBX.NA.BBB-.6.MAY.05/11/2063$9,6850.0%
SELL PROTECTION ON CMBX.NA.BBB-.6.MAY.05/11/2063$9,6080.0%
SWAP/03/15/2024/P:GBP 6.29000 /R:GBP/UKRPI/1M$8,6370.0%
EURO-OAT FUTURE BOND 08/SEP/2022 OATU2 COMDTY$8,160-0.1%
POUND STERLING$8,0500.0%
SELL PROTECTION ON CMBX.NA.BBB-.6.MAY.05/11/2063$7,7590.0%
SWAPTION/EUROPEAN/05/31/2023/06/02/2033/P:USD/SOFR/1D /R:USD 2.35000$7,3120.3%
SWAP/01/15/2032/P:GBP 4.30000 /R:GBP/UKRPI/1M$5,9390.0%
SELL PROTECTION ON CMBX.NA.BBB-.6.MAY.05/11/2063$5,5090.0%
SELL PROTECTION ON CMBX.NA.BBB-.6.MAY.05/11/2063$5,5070.0%
AUSTRALIAN DOLLAR$5,3820.0%
SWAP/05/15/2027/P:EUR 3.00000 /R:EUR/HICPXT/1M$5,3370.0%
SELL PROTECTION ON CMBX.NA.A.6.MAY.05/11/2063$5,2590.0%
SELL PROTECTION ON CMBX.NA.BBB-.6.MAY.05/11/2063$5,2580.0%
SELL PROTECTION ON CMBX.NA.BBB-.6.MAY.05/11/2063$5,1300.0%
SWAP/07/12/2027/P:USD 2.35450 /R:USD/LIBOR/3M$5,0940.0%
SELL PROTECTION ON CMBX.NA.BBB-.6.MAY.05/11/2063$4,8880.0%
EUROPEAN OPTION EXPIRING ON 06/15/2022 TO BUY PROTECTION ON CDX.NA.IG.37-V1.DEC.2026/PAY: USD 0.00$4,6330.3%
SELL PROTECTION ON CMBX.NA.A.6.MAY.05/11/2063$4,4710.0%
SWAP/05/15/2032/P:EUR 2.60000 /R:EUR/HICPXT/1M$4,2920.0%
CURRENCY CONTRACT - EUR$4,0500.1%
SELL PROTECTION ON CMBX.NA.BBB-.6.MAY.05/11/2063$4,0420.0%
SWAP/03/15/2052/P:EUR/HICPXT/1M /R:EUR 2.59000$3,8700.0%
SELL PROTECTION ON CMBX.NA.BBB-.6.MAY.05/11/2063$3,8120.0%
SELL PROTECTION ON CMBX.NA.BBB-.6.MAY.05/11/2063$3,7010.0%
EUROPEAN OPTION EXPIRING ON 06/15/2022 TO BUY PROTECTION ON CDX.NA.IG.37-V1.DEC.2026/PAY: USD 0.00$3,6960.2%
SELL PROTECTION ON CMBX.NA.BBB-.6.MAY.05/11/2063$3,6150.0%
SWAP/03/15/2052/P:EUR/HICPXT/1M /R:EUR 2.58000$3,4610.0%
CURRENCY CONTRACT - EUR$3,4480.0%
SWAP/03/15/2052/P:EUR/HICPXT/1M /R:EUR 2.58000$3,3420.0%
SELL PROTECTION ON CMBX.NA.BBB-.6.MAY.05/11/2063$3,0390.0%
SWAP/05/15/2026/P:EUR 1.50000 /R:EUR/HICPXT/1M$2,915-0.1%
SELL PROTECTION ON CMBX.NA.BBB-.6.MAY.05/11/2063$2,8750.0%
SELL PROTECTION ON CMBX.NA.BBB-.6.MAY.05/11/2063$2,7160.0%
SELL PROTECTION ON CMBX.NA.BBB-.6.MAY.05/11/2063$2,7140.0%
SWAP/06/04/2029/P:USD 2.15000 /R:USD/LIBOR/3M$2,6170.0%
SWAP/03/15/2052/P:EUR/HICPXT/1M /R:EUR 2.59000$2,5940.0%
CURRENCY CONTRACT - EUR$2,5790.0%
SELL PROTECTION ON CMBX.NA.BBB-.6.MAY.05/11/2063$2,4630.0%
CURRENCY CONTRACT - DKK$2,4370.0%
SWAP/03/15/2031/P:EUR/HICPXT/1M /R:EUR 1.38000$2,406-0.1%
SWAP/12/15/2031/P:JPY 0.05000 /R:JPY/TONAR/1D$2,0311.0%
SWAP/05/15/2024/P:GBP 6.44000 /R:GBP/UKRPI/1M$1,9440.0%
SWAP/03/15/2036/P:GBP/UKRPI/1M /R:GBP 3.58000$1,9010.0%
SWAP/03/15/2031/P:EUR/HICPXT/1M /R:EUR 1.38000$1,7410.0%
SWAPTION/EUROPEAN/04/26/2023/04/28/2033/P:USD/SOFR/1D /R:USD 2.35000$1,7250.1%
SWAP/03/15/2036/P:GBP/UKRPI/1M /R:GBP 3.58000$1,6860.0%
SWAP/03/15/2031/P:EUR/HICPXT/1M /R:EUR 1.38000$1,6820.0%
SELL PROTECTION ON CMBX.NA.BBB-.6.MAY.05/11/2063$1,6200.0%
SELL PROTECTION ON CMBX.NA.BBB-.6.MAY.05/11/2063$1,5670.0%
SELL PROTECTION ON GENERAL ELECTRIC COMPANY SENIOR_UNSECURED/RECEIVE: USD 1.00000 MATURING ON 12/20/2023$1,5000.0%
NORWEGIAN KRONE$1,4440.0%
SWAP/03/15/2031/P:EUR/HICPXT/1M /R:EUR 1.38000$1,4410.0%
SELL PROTECTION ON CMBX.NA.BBB-.6.MAY.05/11/2063$1,3040.0%
SELL PROTECTION ON CMBX.NA.BBB-.6.MAY.05/11/2063$1,1880.0%
SELL PROTECTION ON CMBX.NA.BBB-.6.MAY.05/11/2063$1,1590.0%
SELL PROTECTION ON CMBX.NA.BBB-.6.MAY.05/11/2063$1,1190.0%
SELL PROTECTION ON CMBX.NA.BBB-.6.MAY.05/11/2063$1,0830.0%
SELL PROTECTION ON CMBX.NA.BBB-.6.MAY.05/11/2063$9490.0%
SELL PROTECTION ON CMBX.NA.BBB-.6.MAY.05/11/2063$8810.0%
CREDIT DEFAULT SWAP - CDS$8800.0%
SELL PROTECTION ON CMBX.NA.BBB-.6.MAY.05/11/2063$8570.0%
SELL PROTECTION ON CMBX.NA.BBB-.6.MAY.05/11/2063$7800.0%
EURO-SCHATZ FUT BOND 08/SEP/2022 DUU2 COMDTY$728-0.1%
SELL PROTECTION ON CMBX.NA.BBB-.6.MAY.05/11/2063$7120.0%
SELL PROTECTION ON CMBX.NA.BBB-.6.MAY.05/11/2063$7110.0%
SELL PROTECTION ON CMBX.NA.BBB-.6.MAY.05/11/2063$6570.0%
SWAP/05/15/2032/P:EUR 2.60000 /R:EUR/HICPXT/1M$6510.0%
SWAP/05/15/2027/P:EUR 3.13000 /R:EUR/HICPXT/1M$6440.0%
SELL PROTECTION ON CMBX.NA.BBB-.6.MAY.05/11/2063$6070.0%
SWAP/05/15/2024/P:GBP 6.60000 /R:GBP/UKRPI/1M$6030.0%
SWAP/03/15/2031/P:EUR/HICPXT/1M /R:EUR 1.38000$5410.0%
SWAP/03/15/2024/P:GBP 6.29000 /R:GBP/UKRPI/1M$4900.0%
SWAP/05/15/2024/P:GBP 6.60000 /R:GBP/UKRPI/1M$4750.0%
SELL PROTECTION ON CMBX.NA.BBB-.6.MAY.05/11/2063$4710.0%
SWAP/05/15/2024/P:GBP 6.60000 /R:GBP/UKRPI/1M$4560.0%
SELL PROTECTION ON CMBX.NA.BBB-.6.MAY.05/11/2063$4480.0%
SWAP/03/15/2036/P:GBP/UKRPI/1M /R:GBP 3.58000$4330.0%
NEW ZEALAND DOLLAR$3260.0%
EUROPEAN OPTION EXPIRING ON 07/20/2022 TO BUY PROTECTION ON CDX.NA.IG.37-V1.DEC.2026/PAY: USD 0.00$2950.0%
EUROPEAN OPTION EXPIRING ON 08/17/2022 TO BUY PROTECTION ON CDX.NA.IG.38-V1.JUN.2027/PAY: USD 0.00$2870.0%
SWAP/03/15/2024/P:EUR 1.03000 /R:EUR/FRCPI/1M$281-0.1%
SELL PROTECTION ON CMBX.NA.BBB-.6.MAY.05/11/2063$2400.0%
CREDIT DEFAULT SWAP - CDS$2360.0%
SELL PROTECTION ON CMBX.NA.BBB-.6.MAY.05/11/2063$1810.0%
SELL PROTECTION ON CMBX.NA.BBB-.6.MAY.05/11/2063$1700.0%
SELL PROTECTION ON CMBX.NA.BBB-.6.MAY.05/11/2063$1510.0%
SWAP/05/15/2024/P:GBP 6.60000 /R:GBP/UKRPI/1M$1460.0%
EUROPEAN OPTION EXPIRING ON 07/20/2022 TO BUY PROTECTION ON CDX.NA.IG.38-V1.JUN.2027/PAY: USD 0.00$1240.0%
SWAP/03/15/2036/P:GBP/UKRPI/1M /R:GBP 3.58000$1090.0%
DANISH KRONE$950.0%
SWAP/06/24/2022/P:USD 3.52000 /R:USD/USCPI/1M$9-0.9%
SWAP/02/26/2025/P:USD 1.58900 /R:USD/USCPI/1M$5-1.2%
SWAP/07/15/2026/P:USD 2.79250 /R:USD/USCPI/1M$4-1.9%
SWAP/07/15/2025/P:USD 1.59500 /R:USD/USCPI/1M$3-0.7%
SWAP/01/15/2025/P:USD 2.44000 /R:USD/USCPI/1M$3-1.0%
SWAP/01/15/2025/P:USD 0.78000 /R:USD/USCPI/1M$2-0.4%
SWAP/07/15/2024/P:USD 1.85500 /R:USD/USCPI/1M$2-0.3%
SWAP/05/21/2031/P:USD 1.61650 /R:USD/LIBOR/3M$2-1.4%
SWAP/07/15/2026/P:USD 2.40750 /R:USD/USCPI/1M$1-0.2%
SWAP/07/15/2026/P:USD 2.89600 /R:USD/USCPI/1M$1-0.7%
SWAP/07/15/2026/P:USD 2.90800 /R:USD/USCPI/1M$1-0.7%
WON$10.0%
SWAP/01/15/2025/P:USD 1.96750 /R:USD/USCPI/1M$1-0.2%
SWAP/01/15/2024/P:USD 1.59900 /R:USD/USCPI/1M$1-0.1%
SWAP/02/05/2023/P:USD 2.21000 /R:USD/USCPI/1M$1-0.1%
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/01/15/2032/P:GBP 4.30000 /R:GBP/UKRPI/1M$00.0%
SWAP/02/26/2026/P:USD 2.31375 /R:USD/USCPI/1M$0-0.1%
SWAP/03/05/2026/P:USD 2.41875 /R:USD/USCPI/1M$0-0.2%
SWAP/01/15/2025/P:USD 1.58000 /R:USD/USCPI/1M$0-0.2%
SWAP/02/15/2031/P:GBP/UKRPI/1M /R:GBP 3.62400$0-0.1%
SWAP/03/21/2023/P:USD/USCPI/1M /R:USD 5.50000$00.0%
SWAP/03/15/2052/P:EUR/HICPXT/1M /R:EUR 2.58000$00.0%
SWAP/03/15/2052/P:EUR/HICPXT/1M /R:EUR 2.58000$00.0%
SWAP/03/15/2024/P:GBP 6.29000 /R:GBP/UKRPI/1M$0-0.1%
SWAP/03/15/2036/P:GBP/UKRPI/1M /R:GBP 3.56600$00.0%
SWAP/05/15/2027/P:EUR 3.13000 /R:EUR/HICPXT/1M$00.0%
SWAP/05/15/2027/P:EUR 3.00000 /R:EUR/HICPXT/1M$00.0%
SWAP/05/15/2024/P:GBP 6.60000 /R:GBP/UKRPI/1M$00.0%
SWAP/05/15/2024/P:GBP 6.60000 /R:GBP/UKRPI/1M$00.0%
SWAP/05/15/2024/P:GBP 6.44000 /R:GBP/UKRPI/1M$00.0%
SWAP/05/14/2026/P:USD 2.79300 /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$0-0.4%
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/05/10/2023/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/05/13/2027/P:USD 3.26250 /R:USD/USCPI/1M$0-1.4%
SWAP/04/11/2027/P:EUR/EURIBOR/6M /R:EUR 0.70000$00.0%
SWAP/05/13/2027/P:EUR/EURIBOR/6M /R:EUR 1.00000$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%
MEXICAN PESO$00.0%
SWAP/07/15/2026/P:USD 2.94400 /R:USD/USCPI/1M$0-0.1%
SWAP/07/12/2027/P:USD 2.35450 /R:USD/LIBOR/3M$00.0%
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/05/15/2032/P:EUR 2.60000 /R:EUR/HICPXT/1M$00.0%
SWAP/05/15/2032/P:EUR 2.60000 /R:EUR/HICPXT/1M$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/12/15/2031/P:JPY 0.05000 /R:JPY/TONAR/1D$0-1.0%
SWAP/11/15/2034/P:EUR/FRCPI/1M /R:EUR 1.28000$00.0%
SWAP/11/15/2031/P:GBP 4.25000 /R:GBP/UKRPI/1M$00.0%
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/10/04/2026/P:USD 1.48700 /R:USD/LIBOR/3M$0-0.1%
SWAP/05/15/2037/P:EUR/HICPXT/1M /R:EUR 2.48750$0-0.1%
SWAP/08/15/2030/P:GBP/UKRPI/1M /R:GBP 3.47500$0-0.1%
CREDIT DEFAULT SWAP, CMBX - CDSCMBX$-2060.0%
CREDIT DEFAULT SWAP, CMBX - CDSCMBX$-4130.0%
CREDIT DEFAULT SWAP, CMBX - CDSCMBX$-4130.0%
CREDIT DEFAULT SWAP, CMBX - CDSCMBX$-4130.0%
CURRENCY CONTRACT - USD$-5630.0%
CREDIT DEFAULT SWAP, CMBX - CDSCMBX$-8250.0%
CURRENCY CONTRACT - USD$-9840.0%
CREDIT DEFAULT SWAP, CMBX - CDSCMBX$-1,0310.0%
CREDIT DEFAULT SWAP, CMBX - CDSCMBX$-1,0310.0%
CURRENCY CONTRACT - USD$-1,1380.0%
CREDIT DEFAULT SWAP, CMBX - CDSCMBX$-1,2380.0%
JPN 10Y BOND(OSE) BOND 13/JUN/2022 JBM2 COMDTY$-1,321-1.0%
CURRENCY CONTRACT - EUR$-1,4150.1%
CREDIT DEFAULT SWAP, CMBX - CDSCMBX$-1,4440.0%
CREDIT DEFAULT SWAP, CMBX - CDSCMBX$-1,4440.0%
CREDIT DEFAULT SWAP, CMBX - CDSCMBX$-1,4440.0%
CREDIT DEFAULT SWAP, CMBX - CDSCMBX$-1,4440.0%
CREDIT DEFAULT SWAP, CMBX - CDSCMBX$-1,4440.0%
SWAPTION/EUROPEAN/04/26/2023/04/28/2028/P:USD/SOFR/1D /R:USD 2.20000$-1,4510.2%
CREDIT DEFAULT SWAP, CMBX - CDSCMBX$-1,6500.0%
CREDIT DEFAULT SWAP, CMBX - CDSCMBX$-1,6500.0%
CREDIT DEFAULT SWAP, CMBX - CDSCMBX$-1,8570.0%
CURRENCY CONTRACT - USD$-2,157-0.1%
CREDIT DEFAULT SWAP, CMBX - CDSCMBX$-2,2690.0%
CREDIT DEFAULT SWAP, CMBX - CDSCMBX$-2,2690.0%
CREDIT DEFAULT SWAP, CMBX - CDSCMBX$-2,4750.0%
CREDIT DEFAULT SWAP, CMBX - CDSCMBX$-2,8880.0%
CREDIT DEFAULT SWAP, CMBX - CDSCMBX$-3,0940.0%
CREDIT DEFAULT SWAP, CMBX - CDSCMBX$-3,5070.0%
CURRENCY CONTRACT - DKK$-3,7820.0%
SWAP/03/21/2023/P:USD/USCPI/1M /R:USD 5.50000$-4,3230.0%
CURRENCY CONTRACT - AUD$-4,3300.0%
CREDIT DEFAULT SWAP, CMBX - CDSCMBX$-5,1570.0%
CREDIT DEFAULT SWAP, CMBX - CDSCMBX$-5,1570.0%
GOLD 100 OZ FUTR PRECIOUS METAL 29/AUG/2022 GCQ2$-5,477-0.1%
SWAPTION/EUROPEAN/05/31/2023/06/02/2028/P:USD/SOFR/1D /R:USD 2.20000$-6,3450.6%
CREDIT DEFAULT SWAP, CMBX - CDSCMBX$-6,6010.0%
CREDIT DEFAULT SWAP, CMBX - CDSCMBX$-6,8070.0%
CREDIT DEFAULT SWAP, CMBX - CDSCMBX$-7,0140.0%
CURRENCY CONTRACT - CAD$-7,1190.1%
CREDIT DEFAULT SWAP, CMBX - CDSCMBX$-7,4260.0%
CREDIT DEFAULT SWAP, CMBX - CDSCMBX$-8,4580.0%
CREDIT DEFAULT SWAP, CMBX - CDSCMBX$-8,8700.0%
CREDIT DEFAULT SWAP, CMBX - CDSCMBX$-9,0770.0%
CREDIT DEFAULT SWAP, CMBX - CDSCMBX$-9,0770.0%
CURRENCY CONTRACT - USD$-9,189-0.1%
CURRENCY CONTRACT - USD$-9,211-0.4%
CREDIT DEFAULT SWAP, CMBX - CDSCMBX$-9,4890.0%
SWAP/05/15/2037/P:EUR/HICPXT/1M /R:EUR 2.48750$-9,6030.1%
CREDIT DEFAULT SWAP, CMBX - CDSCMBX$-10,3140.0%
CREDIT DEFAULT SWAP, CMBX - CDSCMBX$-10,7270.0%
SWAP/04/11/2027/P:EUR/EURIBOR/6M /R:EUR 0.70000$-11,4980.0%
CURRENCY CONTRACT - USD$-11,6740.0%
CREDIT DEFAULT SWAP, CMBX - CDSCMBX$-12,3770.0%
LONG GILT FUTURE BOND 28/SEP/2022 G U2 COMDTY$-13,2870.1%
CREDIT DEFAULT SWAP, CMBX - CDSCMBX$-14,2340.0%
CREDIT DEFAULT SWAP, CMBX - CDSCMBX$-15,4710.0%
CREDIT DEFAULT SWAP, CMBX - CDSCMBX$-18,9680.0%
SWAP/03/15/2031/P:EUR/HICPXT/1M /R:EUR 1.38000$-20,4170.0%
SWAPTION/EUROPEAN/01/31/2023/02/02/2025/P:USD/SOFR/1D /R:USD 1.42750$-20,9360.5%
SWAP/03/15/2036/P:GBP/UKRPI/1M /R:GBP 3.58000$-21,5400.0%
CURRENCY CONTRACT - USD$-23,276-0.3%
CREDIT DEFAULT SWAP, CMBX - CDSCMBX$-24,1050.0%
SWAP/05/13/2027/P:EUR/EURIBOR/6M /R:EUR 1.00000$-24,8130.1%
SWAP/03/15/2031/P:EUR/HICPXT/1M /R:EUR 1.38000$-40,8500.0%
SWAP/03/15/2031/P:EUR/HICPXT/1M /R:EUR 1.38000$-40,8500.0%
SWAP/03/15/2031/P:EUR/HICPXT/1M /R:EUR 1.38000$-40,8500.0%
SWAP/03/15/2036/P:GBP/UKRPI/1M /R:GBP 3.58000$-43,0790.0%
SWAP/03/15/2036/P:GBP/UKRPI/1M /R:GBP 3.58000$-43,0790.0%
SWAP/03/15/2036/P:GBP/UKRPI/1M /R:GBP 3.58000$-43,0790.0%
SWAP/03/15/2036/P:GBP/UKRPI/1M /R:GBP 3.56600$-43,7270.0%
SWAP/11/15/2034/P:EUR/FRCPI/1M /R:EUR 1.28000$-46,4540.0%
CURRENCY CONTRACT - USD$-49,140-0.3%
CREDIT DEFAULT SWAP, CMBX - CDSCMBX$-56,7440.0%
US 10YR ULTRA FUT BOND 21/SEP/2022 UXYU2 COMDTY$-59,136-1.1%
BUY PROTECTION ON CDX.NA.HY.38-V1.JUN.2027$-61,0350.2%
SWEDISH KRONA$-88,8240.0%
SWAP/03/15/2031/P:EUR/HICPXT/1M /R:EUR 1.38000$-102,0850.1%
CURRENCY CONTRACT - USD$-155,817-0.8%
SWAP/02/15/2031/P:GBP/UKRPI/1M /R:GBP 3.62400$-197,2600.1%
SWAPTION/EUROPEAN/11/04/2022/11/08/2032/P:EUR 0.00000 /R:EUR/EURIBOR/6M$-289,1620.2%
SWAP/08/15/2030/P:GBP/UKRPI/1M /R:GBP 3.47500$-315,4630.1%
SWAPTION/EUROPEAN/11/02/2022/11/04/2032/P:EUR 0.00000 /R:EUR/EURIBOR/6M$-373,9520.2%
SWAPTION/EUROPEAN/11/02/2022/11/04/2032/P:EUR 0.00000 /R:EUR/EURIBOR/6M$-466,1660.2%
US DOLLAR$-871,000-0.1%
EURO$-901,683-0.1%
US DOLLAR$-14,059,181-1.4%
All Holdings As of Apr 30, 2022
Exchange-Traded Funds
Underlying Fund HoldingsMarket Value%
INVESCO DB AGRICULTURE FUND ETP USD$2,648,4000.3%
INVESCO DB BASE METALS FUND ETP USD$1,473,7400.1%
VANGUARD REAL ESTATE ETF ETP USD 1$675,6100.1%
ISHARES GOLD TRUST ETP USD$648,7200.1%
ISHARES SILVER TRUST ETP USD$526,0000.1%
INVESCO DB OIL FUND ETP USD$320,2200.0%
 
Fixed Income
Underlying Fund HoldingsMarket Value%
UNITED STATES OF AMERICA NOTES .125% 07/15/2031$66,398,2166.2%
UNITED STATES OF AMERICA NOTES .125% 01/15/2032$28,040,0642.6%
UNITED STATES OF AMERICA NOTES .125% 04/15/2026$27,843,5172.6%
UNITED STATES OF AMERICA NOTES .25% 01/15/2025$25,617,5332.4%
UNITED STATES OF AMERICA NOTES .5% 01/15/2028$24,630,0652.3%
UNITED STATES OF AMERICA NOTES .375% 07/15/2027$21,020,0532.0%
UNITED STATES OF AMERICA NOTES .125% 10/15/2024$19,984,1551.9%
UNITED STATES OF AMERICA BOND 2.5% 01/15/2029$19,180,0191.8%
UNITED STATES OF AMERICA NOTES .5% 04/15/2024$17,431,9191.6%
UNITED STATES OF AMERICA BOND 2.125% 02/15/2041$17,403,8551.6%
UNITED STATES OF AMERICA NOTES .875% 01/15/2029$17,109,6981.6%
UNITED STATES OF AMERICA NOTES .125% 07/15/2026$16,823,4521.6%
UNITED STATES OF AMERICA NOTES .375% 07/15/2025$15,557,0301.5%
UNITED STATES OF AMERICA BOND .75% 02/15/2045$15,547,4411.5%
UNITED STATES OF AMERICA NOTES .125% 04/15/2025$15,330,3951.4%
UNITED STATES OF AMERICA NOTES .375% 07/15/2023$15,210,1061.4%
UNITED STATES OF AMERICA NOTES .75% 07/15/2028$15,028,8341.4%
UNITED STATES OF AMERICA NOTES .375% 01/15/2027$14,400,8411.4%
UNITED STATES OF AMERICA NOTES .625% 01/15/2026$14,167,5551.3%
UNITED STATES OF AMERICA NOTES .125% 04/15/2027$14,066,1571.3%
UNITED STATES OF AMERICA NOTES .125% 10/15/2025$13,805,5701.3%
UNITED STATES OF AMERICA BOND .625% 02/15/2043$13,766,1111.3%
UNITED STATES OF AMERICA NOTES .25% 07/15/2029$13,570,6481.3%
UNITED STATES OF AMERICA BOND 1% 02/15/2046$12,964,9221.2%
UNITED STATES OF AMERICA NOTES .125% 01/15/2030$11,774,5261.1%
UNITED STATES OF AMERICA BOND .125% 02/15/2051$11,289,1391.1%
UNITED STATES OF AMERICA BOND .125% 02/15/2052$11,078,9271.0%
UNITED STATES OF AMERICA NOTES .125% 01/15/2031$9,707,7080.9%
UNITED STATES OF AMERICA NOTES .125% 07/15/2030$9,022,9880.9%
UNITED STATES OF AMERICA NOTES .125% 01/15/2023$8,843,3390.8%
UNITED STATES OF AMERICA BOND 1.375% 02/15/2044$8,099,9020.8%
UNITED STATES OF AMERICA BOND .75% 02/15/2042$8,058,2910.8%
UNITED STATES OF AMERICA BOND .875% 02/15/2047$7,738,5650.7%
UNITED STATES OF AMERICA BOND 2.375% 01/15/2025$7,604,8520.7%
UNITED STATES OF AMERICA BOND 1% 02/15/2048$7,476,6310.7%
UNITED MEXICAN STATES BOND 4.4% 02/12/2052$7,453,8230.7%
UNITED STATES OF AMERICA NOTES .625% 04/15/2023$6,842,7140.6%
UNITED STATES OF AMERICA BOND 3.625% 04/15/2028$6,343,6320.6%
UNITED STATES OF AMERICA NOTES .625% 01/15/2024$6,300,6270.6%
UNITED STATES OF AMERICA NOTES .125% 10/15/2026$5,868,8450.6%
UNITED STATES OF AMERICA BOND 3.875% 04/15/2029$5,509,3170.5%
UNITED STATES OF AMERICA BOND 1.75% 01/15/2028$4,543,3650.4%
REPUBLIC OF ITALY BOND 1.4% 05/26/2025$4,380,1420.4%
NYKREDIT REALKREDIT AS 1.5% 10/01/2053$2,968,1310.3%
UNITED STATES OF AMERICA BOND 2.125% 02/15/2040$2,802,2670.3%
UNITED STATES OF AMERICA BOND .25% 02/15/2050$2,556,4270.2%
TBA UMBS SINGLE FAMILY 30YR 3 5/20$2,439,3820.2%
REPUBLIC OF ITALY BOND .417% 05/15/2030$2,402,2060.2%
UNITED STATES OF AMERICA BOND 1% 02/15/2049$2,309,2330.2%
TBA UMBS SINGLE FAMILY 30YR 2.5 5/21$2,163,9720.2%
REPUBLIC OF ITALY BOND .102% 05/15/2033$1,741,3110.2%
FEDERAL NATIONAL MORTGAGE ASSOCIATION 3% 02/01/2052$1,715,5670.2%
UNITED STATES OF AMERICA BOND 2% 01/15/2026$1,693,6440.2%
NORDEA KREDIT REALKREDITAKTIESELSKAB 1.5% 10/01/2053$1,500,9220.1%
UNITED MEXICAN STATES BOND 7.5% 06/03/2027$1,287,0950.1%
UNICREDIT SPA 7.83% 12/04/2023$1,261,8550.1%
MORGAN STANLEY 8% 04/25/2023$1,115,4400.1%
AREIT 2022-CRE6 TRUST 1.525% 11/17/2024$1,071,6840.1%
ACM AUTO TRUST 2022-1 3.23% 04/20/2029$939,9870.1%
REGATTA XX FUNDING LTD 2.204% 10/15/2034$910,6170.1%
FEDERAL NATIONAL MORTGAGE ASSOCIATION 2.5% 03/01/2052$900,0250.1%
MAGNETITE XXVI LTD 2.304% 07/25/2034$894,5400.1%
BFLD TRUST 2.155% 06/15/2038$846,7310.1%
FREDDIE MAC STACR REMIC TRUST 2021-DNA6 1.789% 10/25/2041$786,5380.1%
FREDDIE MAC STRUCTURED AGENCY CREDIT RISK DEBT NOTES 2.089% 11/25/2041$770,2980.1%
PRUDENTIAL FINANCIAL INC 5.875% 09/15/2042$757,9560.1%
CONNECTICUT AVENUE SECURITIES TRUST 2022-R01 2.189% 12/25/2041$757,6750.1%
JAPAN BOND .005% 03/10/2031$753,5630.1%
CITIZENS FINANCIAL GROUP INC 4.3% 12/03/2025$716,6370.1%
SUZANO AUSTRIA GMBH 2.5% 09/15/2028$704,9040.1%
AVANT LOANS FUNDING TRUST 2021-REV1 1.21% 07/15/2030$689,5750.1%
BREX COMMERCIAL CHARGE CARD MASTER TRUST 4.63% 07/15/2025$668,5810.1%
SLM STUDENT LOAN TRUST 2004-10 1.784% 10/25/2029$665,1000.1%
AFFIRM ASSET SECURITIZATION TRUST 2022-X1 1.75% 02/15/2027$628,5670.1%
CONNECTICUT AVENUE SECURITIES TRUST 2022-R02 1.489% 01/25/2042$618,3760.1%
BANK OF AMERICA CORP 4.376% 04/27/2028$616,5620.1%
BELLEMEADE RE 2021-3 LTD 1.289% 09/25/2031$595,6910.1%
CONNECTICUT AVENUE SECURITIES TRUST 2022-R03 3.789% 03/25/2042$586,9760.1%
FREDDIE MAC STRUCTURED AGENCY CREDIT RISK DEBT NOTES 2.689% 02/25/2042$582,1760.1%
DIAMOND ISSUER 2.305% 11/20/2051$581,8920.1%
REPUBLIC OF SOUTH AFRICA BOND 8% 01/31/2030$567,2630.1%
MORGAN STANLEY 8% 06/09/2023$565,9060.1%
JAPAN BOND .102% 03/10/2028$557,4220.1%
OAKTOWN RE VII LTD 1.889% 04/25/2034$552,1460.1%
NEUBERGER BERMAN LOAN ADVISERS CLO 43 LTD 2.174% 07/17/2035$531,5390.1%
CCO HOLDINGS LLC / CCO HOLDINGS CAPITAL CORP 4.75% 02/01/2032$530,5050.1%
MADISON PARK FUNDING LI LTD 4.094% 07/19/2034$528,7530.1%
CONN'S RECEIVABLES FUNDING 2021-A LLC 1.05% 05/15/2026$499,8850.1%
MORGAN STANLEY 8% 05/17/2023$498,6550.1%
PIKES PEAK CLO 8 4.163% 07/20/2034$488,0050.1%
ENBRIDGE ENERGY PARTNERS LP 7.375% 10/15/2045$483,0860.1%
LAS VEGAS SANDS CORP 3.9% 08/08/2029$482,3780.1%
FREDDIE MAC STACR REMIC TRUST 2021-HQA4 2.639% 12/25/2041$481,5350.1%
BELLEMEADE RE LTD 1.789% 06/25/2031$471,9340.0%
FORD MOTOR CREDIT CO LLC 4.95% 05/28/2027$463,1630.0%
ENTEGRIS ESCROW CORP 4.75% 04/15/2029$453,6300.0%
FISERV INC 3.5% 07/01/2029$450,7320.0%
OCTANE RECEIVABLES TRUST 2021-2 2.02% 09/20/2028$448,1580.0%
CPS AUTO RECEIVABLES TRUST 2022-A 2.17% 04/16/2029$446,5300.0%
TENCENT HOLDINGS LTD 2.39% 06/03/2030$440,9540.0%
HERTZ VEHICLE FINANCING III LLC 2.63% 06/25/2026$440,5550.0%
PLAINS ALL AMERICAN PIPELINE LP / PAA FINANCE CORP 3.55% 12/15/2029$436,3500.0%
NEIGHBORLY ISSUER 2022-1 3.695% 01/30/2052$434,6740.0%
CARNIVAL CORP 4% 08/01/2028$434,5180.0%
BBCMS 2020-BID MORTGAGE TRUST 2.694% 10/15/2037$434,0510.0%
KYNDRYL HOLDINGS INC 2.05% 10/15/2026$432,5890.0%
ROCKFORD TOWER CLO 2021-2 LTD 2.223% 07/20/2034$431,9800.0%
SOCIETE GENERALE SA 2.797% 01/19/2028$431,2350.0%
AGL CLO 12 LTD 3.913% 07/20/2034$429,6380.0%
WEIBO CORP 3.375% 07/08/2030$429,4310.0%
BALLYROCK CLO 16 LTD 3.963% 07/20/2034$424,4370.0%
DISH DBS CORP 5.25% 12/01/2026$424,1320.0%
AERCAP IRELAND CAPITAL DAC / AERCAP GLOBAL AVIATION TRUST 3.3% 01/30/2032$419,6110.0%
FREDDIE MAC STRUCTURED AGENCY CREDIT RISK DEBT NOTES 3.318% 12/25/2029$414,1130.0%
UNITED STATES OF AMERICA BOND 3.375% 04/15/2032$409,5620.0%
ADVANCE AUTO PARTS INC 3.9% 04/15/2030$407,1250.0%
BX COMMERCIAL MORTGAGE TRUST 2019-IMC 2.704% 04/15/2034$398,3390.0%
FREDDIE MAC STACR REMIC TRUST 2022-DNA1 2.139% 01/25/2042$396,6860.0%
AB ISSUER LLC 3.734% 07/30/2051$396,5480.0%
LAD AUTO RECEIVABLES TRUST 2021-1 1.3% 08/17/2026$394,2340.0%
UPSTART SECURITIZATION TRUST 2021-3 1.66% 07/20/2031$394,0260.0%
AIRCASTLE LTD 4.25% 06/15/2026$392,3280.0%
CPS AUTO RECEIVABLES TRUST 2021-C 1.69% 06/15/2027$392,2920.0%
OCP CLO 2020-18 LTD 2.153% 07/20/2032$385,6260.0%
OCHSNER LSU HEALTH SYSTEM OF NORTH LOUISIANA 2.51% 05/15/2031$384,1750.0%
MAGALLANES INC 4.279% 03/15/2032$381,0930.0%
MOODY'S CORP 4.25% 02/01/2029$374,5460.0%
CONTINENTAL RESOURCES INC/OK 2.875% 04/01/2032$372,5100.0%
NISSAN MOTOR CO LTD 4.345% 09/17/2027$372,1630.0%
TRIANGLE RE 2021-3 LTD 2.189% 02/25/2034$371,4040.0%
WESTINGHOUSE AIR BRAKE TECHNOLOGIES CORP 4.4% 03/15/2024$371,3930.0%
FLATIRON CLO 21 LTD 3.944% 07/19/2034$369,2290.0%
CREDIT SUISSE GROUP AG 6.375% CALLABLE$368,1170.0%
ENA MASTER TRUST 4% 05/19/2048$365,2970.0%
CHARLES SCHWAB CORP/THE 2.9% 03/03/2032$363,6640.0%
BALBOA BAY LOAN FUNDING 2021-1 LTD 2.263% 07/20/2034$362,5320.0%
BAMLL COMMERCIAL MORTGAGE SECURITIES TRUST 2017-SCH 1.555% 11/15/2033$357,0640.0%
UNIVERSITY OF CALIFORNIA 3.071% 05/15/2051$354,9390.0%
ELMWOOD CLO IX LTD 4.013% 07/20/2034$352,1510.0%
CGRBS COMMERCIAL MORTGAGE TRUST 2013-VN05 3.369% 03/13/2035$351,2800.0%
OLEODUCTO CENTRAL SA 4% 07/14/2027$344,3480.0%
FEDERAL NATIONAL MORTGAGE ASSOCIATION 2.289% 11/25/2041$341,2660.0%
CONTINENTAL RESOURCES INC/OK 5.75% 01/15/2031$338,8560.0%
BAT CAPITAL CORP 2.259% 03/25/2028$335,3980.0%
GLP CAPITAL LP / GLP FINANCING II INC 3.25% 01/15/2032$332,9420.0%
BELLEMEADE RE 2022-1 LTD 2.439% 01/26/2032$331,7790.0%
AIR LEASE CORP 4.625% 10/01/2028$330,6350.0%
BNP PARIBAS SA 2.871% 04/19/2032$323,7550.0%
TOBACCO SETTLEMENT FINANCE AUTHORITY 3% 06/01/2035$316,2570.0%
CREDIT SUISSE GROUP AG 3.091% 05/14/2032$314,7730.0%
STANDARD CHARTERED PLC 3.971% 03/30/2026$310,6690.0%
MVW 2021-2 LLC 1.83% 05/20/2039$307,3990.0%
CARVANA AUTO RECEIVABLES TRUST 2021-P4 2.61% 09/11/2028$307,2320.0%
HARLEY-DAVIDSON FINANCIAL SERVICES INC 3.35% 06/08/2025$306,7980.0%
REALKREDIT DANMARK A/S 1% 10/01/2050$302,2170.0%
HSBC HOLDINGS PLC 4.762% 03/29/2033$301,3270.0%
ING BANK NV 2.625% 12/05/2022$300,9110.0%
CEMEX SAB DE CV 3.875% 07/11/2031$300,7940.0%
GOLDENTREE LOAN MANAGEMENT US CLO 7 LTD 2.133% 04/20/2034$295,0160.0%
COMISION FEDERAL DE ELECTRICIDAD BOND 4.688% 05/15/2029$292,8970.0%
SOCIETE GENERALE SA 8% CALLABLE$292,0190.0%
CENCOSUD SA 5.15% 02/12/2025$286,5900.0%
DISH DBS CORP 5.75% 12/01/2028$285,9370.0%
TSMC ARIZONA CORP 3.875% 04/22/2027$282,8790.0%
TRANSCANADA PIPELINES LTD 6.1% 06/01/2040$281,6840.0%
CARVANA AUTO RECEIVABLES TRUST 2021-N3 1.02% 06/12/2028$278,6330.0%
NATURA COSMETICOS SA 4.125% 05/03/2028$273,8960.0%
NXP BV / NXP FUNDING LLC 5.55% 12/01/2028$268,7290.0%
BALLYROCK CLO 15 LTD 4.144% 04/15/2034$267,6380.0%
FREDDIE MAC STACR REMIC TRUST 2022-DNA3 3.151% 04/25/2042$263,9360.0%
FORD CREDIT AUTO OWNER TRUST 2021-REV1 2.31% 10/17/2033$262,4660.0%
DUKE ENERGY CAROLINAS NC STORM FUNDING LLC 2.617% 07/01/2041$260,7670.0%
ROSS STORES INC 4.7% 04/15/2027$259,4460.0%
GSF MORTGAGE CORP 2.435% 08/15/2026$258,9810.0%
MORGAN STANLEY 3.875% 04/29/2024$256,8630.0%
AERCAP IRELAND CAPITAL DAC / AERCAP GLOBAL AVIATION TRUST 6.5% 07/15/2025$256,3800.0%
NXP BV / NXP FUNDING LLC / NXP USA INC 3.4% 05/01/2030$255,6710.0%
BANK OF AMERICA CORP 3.419% 12/20/2028$254,9470.0%
CREDIT SUISSE GROUP AG 4.194% 04/01/2031$252,3830.0%
AVIS BUDGET RENTAL CAR FUNDING AESOP LLC 4% 03/20/2025$251,2240.0%
CARVANA AUTO RECEIVABLES TRUST 2021-N4 2.3% 09/11/2028$249,8560.0%
ENGIE ENERGIA CHILE SA 3.4% 01/28/2030$249,4660.0%
GLOBAL PAYMENTS INC 3.2% 08/15/2029$247,0420.0%
EAGLE RE 2021-2 LTD 2.339% 04/25/2034$246,9110.0%
DRYDEN 78 CLO LTD 2.994% 04/17/2033$246,5820.0%
NEW MOUNTAIN CLO 3 LTD 2.243% 10/20/2034$245,5230.0%
NELNET STUDENT LOAN TRUST 2021-C 2.53% 04/20/2062$245,3240.0%
ELEVATION CLO 2020-11 LTD 3.244% 04/15/2033$243,7450.0%
DIAMOND INFRASTRUCTURE FUNDING LLC 2.355% 04/15/2049$241,5450.0%
NEUBERGER BERMAN LOAN ADVISERS CLO 42 LTD 3.844% 07/16/2035$241,4610.0%
PPM CLO 5 LTD 4.094% 10/18/2034$241,0450.0%
BERKSHIRE HATHAWAY ENERGY CO 6.125% 04/01/2036$238,8890.0%
COLLATERALIZED MTGE OBLIGATION OR GLOBAL CMO 3.629% 03/15/2035$236,9820.0%
SK HYNIX INC 2.375% 01/19/2031$235,4440.0%
FREDDIE MAC STACR REMIC TRUST 2021-DNA5 1.939% 01/25/2034$235,0140.0%
FHF TRUST 2021-2 .83% 12/15/2026$233,9200.0%
CAPITAL ONE FINANCIAL CORP 3.273% 03/01/2030$232,2700.0%
CONNECTICUT AVENUE SECURITIES TRUST 2021-R03 1.939% 12/25/2041$231,6760.0%
ORACLE CORP 3.6% 04/01/2040$231,2290.0%
MORGAN STANLEY 4.21% 04/20/2028$228,4660.0%
AIRCASTLE LTD 2.85% 01/26/2028$228,1980.0%
FOX CORP 4.709% 01/25/2029$227,7890.0%
MDC HOLDINGS INC 6% 01/15/2043$227,6210.0%
NELNET STUDENT LOAN TRUST 2021-D 2.9% 04/20/2062$224,7790.0%
ING GROEP NV 4.017% 03/28/2028$224,0670.0%
ENI SPA 4.25% 05/09/2029$223,4080.0%
NATIONWIDE BUILDING SOCIETY 2.972% 02/16/2028$221,5030.0%
GOLDMAN SACHS GROUP INC/THE 7.5% 08/30/2023$221,3800.0%
NYKREDIT REALKREDIT AS 1% 10/01/2053$218,7690.0%
GCI FUNDING I LLC 2.38% 06/18/2046$217,9880.0%
MIZUHO FINANCIAL GROUP INC 2.226% 05/25/2026$217,6020.0%
TRANSCANADA PIPELINES LTD 6.2% 10/15/2037$216,0930.0%
DANSKE BANK A/S 3.875% 09/12/2023$215,9730.0%
GS MORTGAGE SECURITIES TRUST 2011-GC5 5.209% 08/10/2044$214,3330.0%
FEDERAL NATIONAL MORTGAGE ASSOCIATION 4% 12/25/2050$212,5630.0%
WYNN MACAU LTD 5.625% 08/26/2028$210,0670.0%
CENTENE CORP 2.625% 08/01/2031$209,7220.0%
FREEPORT INDONESIA PT 4.763% 04/14/2027$208,7220.0%
UNICREDIT SPA 3.127% 06/03/2032$206,0410.0%
UNITED STATES OF AMERICA BOND 1.625% 11/15/2050$205,9090.0%
ALPEK SAB DE CV 5.375% 08/08/2023$204,7870.0%
AVIS BUDGET RENTAL CAR FUNDING AESOP LLC 3.7% 09/20/2024$204,6950.0%
BELLEMEADE RE LTD 3.239% 03/25/2031$203,4700.0%
STATE OF QATAR BOND 3.875% 04/23/2023$202,5120.0%
NATWEST GROUP PLC 2.516% 06/25/2024$201,2860.0%
BREX COMMERCIAL CHARGE CARD MASTER TRUST 2.09% 07/15/2024$201,0180.0%
FORD MOTOR CREDIT CO LLC 3.55% 10/07/2022$200,2600.0%
ANGLO AMERICAN CAPITAL PLC 3.875% 03/16/2029$199,4270.0%
PROSUS NV 3.257% 01/19/2027$198,7880.0%
EAGLE RE 2020-1 LTD 1.568% 01/25/2030$198,5480.0%
NATIONWIDE MUTUAL INSURANCE CO 9.375% 08/15/2039$198,1980.0%
INTESA SANPAOLO SPA 5.017% 06/26/2024$195,4170.0%
COMISION FEDERAL DE ELECTRICIDAD BOND 3.348% 02/09/2031$195,3360.0%
DOMINO'S PIZZA MASTER ISSUER LLC 2.662% 04/25/2051$195,2040.0%
EXPEDIA GROUP INC 4.625% 08/01/2027$195,1880.0%
VORNADO REALTY LP 3.4% 06/01/2031$194,7110.0%
GS MORTGAGE SECURITIES TRUST 2013-G1 3.557% 04/10/2031$194,6190.0%
BANCO SANTANDER SA 4.175% 03/24/2028$194,2720.0%
ALTRIA GROUP INC 3.4% 05/06/2030$193,0380.0%
REALKREDIT DANMARK A/S 1.5% 10/01/2053$191,7430.0%
AMGEN INC 3.35% 02/22/2032$190,0990.0%
PROSUS NV 3.68% 01/21/2030$189,2830.0%
ZF FINANCE GMBH 3.75% 09/21/2028$188,0740.0%
SUMMER BC HOLDCO B SARL 5.75% 10/31/2026$187,9800.0%
DEUTSCHE BANK AG/NEW YORK NY 3.961% 11/26/2025$187,4310.0%
PRUDENTIAL FINANCIAL INC 5.2% 03/15/2044$187,0720.0%
AFFIRM ASSET SECURITIZATION TRUST 2021-Z2 1.17% 11/16/2026$186,5300.0%
DOMINICAN REPUBLIC BOND 4.875% 09/23/2032$186,1550.0%
CLNY TRUST 2019-IKPR 2.579% 11/15/2038$185,2790.0%
RADNOR RE 2020-1 LTD 1.618% 01/25/2030$183,8670.0%
NH HOTEL GROUP SA 4% 07/02/2026$183,1300.0%
PMT CREDIT RISK TRANSFER TRUST 2019-2R 3.448% 05/27/2023$180,4040.0%
ADIENT GLOBAL HOLDINGS LTD 3.5% 08/15/2024$179,1910.0%
APCOA PARKING HOLDINGS GMBH 4.625% 01/15/2027$176,1770.0%
TK ELEVATOR MIDCO GMBH 4.375% 07/15/2027$176,1270.0%
LORCA TELECOM BONDCO SA 4% 09/18/2027$174,4960.0%
WELLS FARGO & CO 3.584% 05/22/2028$172,8000.0%
STANDARD CHARTERED PLC 2.749% CALLABLE$171,9090.0%
GLENCORE FUNDING LLC 4% 03/27/2027$170,7450.0%
INTERPUBLIC GROUP OF COS INC/THE 4.65% 10/01/2028$169,8370.0%
REPUBLIC OF COLOMBIA BOND 3.125% 04/15/2031$168,5920.0%
CITIGROUP INC 5.95% CALLABLE$167,4180.0%
AVIATION CAPITAL GROUP LLC 1.95% 01/30/2026$167,2600.0%
ALTICE FRANCE SA/FRANCE 3.375% 01/15/2028$162,7600.0%
COLLEGE AVE STUDENT LOANS 2021-C LLC 2.72% 07/26/2055$162,0750.0%
VZ VENDOR FINANCING II BV 2.875% 01/15/2029$162,0150.0%
ENERGY TRANSFER LP 6.25% 04/15/2049$161,9280.0%
ALTICE FINANCING SA 3% 01/15/2028$160,7850.0%
FEDERAL HOME LOAN MORTGAGE CORP 4.5% 11/25/2050$158,4410.0%
NOBEL BIDCO BV 3.125% 06/15/2028$158,4170.0%
WELLS FARGO COMMERCIAL MORTGAGE TRUST 2016-NXS6 4.54% 11/15/2049$157,6430.0%
AMERICAN TOWER CORP 3.65% 03/15/2027$152,3490.0%
LIMA METRO LINE 2 FINANCE LTD 5.875% 07/05/2034$151,7030.0%
EMBRAER NETHERLANDS FINANCE BV 5.4% 02/01/2027$149,5700.0%
PORT AUTHORITY OF NEW YORK & NEW JERSEY 1.086% 07/01/2023$147,1630.0%
UBS COMMERCIAL MORTGAGE TRUST 3.203% 10/15/2052$146,2480.0%
FEDERAL NATIONAL MORTGAGE ASSOCIATION 4.218% 07/25/2029$143,3180.0%
WELLS FARGO COMMERCIAL MORTGAGE TRUST 2016-LC25 4.485% 12/15/2059$142,3230.0%
CITY OF NEW YORK NY 1.923% 08/01/2031$141,5200.0%
DELTA AIR LINES INC / SKYMILES IP LTD 4.75% 10/20/2028$136,5870.0%
AIRCASTLE LTD 5.25% 08/11/2025$135,8540.0%
MISSION LANE CREDIT CARD MASTER TRUST 2.24% 09/15/2026$135,4460.0%
SANTANDER HOLDINGS USA INC 2.49% 01/06/2028$135,1660.0%
AVIATION CAPITAL GROUP LLC 5.5% 12/15/2024$135,1500.0%
AMERICAN WATER CAPITAL CORP 3.45% 06/01/2029$135,0780.0%
ATALAYA EQUIPMENT LEASING TRUST 21-1 2.08% 02/15/2027$134,5220.0%
BELLEMEADE RE 2019-3 LTD 2.268% 07/25/2029$132,7410.0%
NEIGHBORLY ISSUER LLC 3.584% 04/30/2051$131,0540.0%
CAJUN GLOBAL LLC 3.931% 11/20/2051$128,7940.0%
ORACLE CORP 3.65% 03/25/2041$127,2110.0%
LSTAR COMMERCIAL MORTGAGE TRUST 2016-4 2.579% 03/10/2049$121,5010.0%
FREDDIE MAC STACR REMIC TRUST 2020-DNA5 3.089% 10/25/2050$121,1960.0%
JPMORGAN CHASE & CO 4.709% CALLABLE$120,5520.0%
HARDEE'S FUNDING LLC 3.981% 12/20/2050$120,0500.0%
NATIXIS COMMERCIAL MORTGAGE SECURITIES TRUST 2019-MILE 2.054% 07/15/2036$119,2200.0%
INEOS QUATTRO FINANCE 2 PLC 2.5% 01/15/2026$118,8210.0%
DELTA AIR LINES INC / SKYMILES IP LTD 4.5% 10/20/2025$118,0800.0%
CITIGROUP INC 4.15% CALLABLE$117,9840.0%
AFFIRM ASSET SECURITIZATION TRUST 2021-Z1 1.07% 08/15/2025$117,3190.0%
HARDEE'S FUNDING LLC 5.71% 06/20/2048$117,1560.0%
CLARIOS GLOBAL LP / CLARIOS US FINANCE CO 4.375% 05/15/2026$116,5060.0%
WELLS FARGO & CO 3.35% 03/02/2033$114,6410.0%
WORKDAY INC 3.8% 04/01/2032$114,5710.0%
ASHFORD HOSPITALITY TRUST 2018-KEYS 1.555% 06/15/2035$112,4540.0%
GSF MORTGAGE CORP 1.433% 08/15/2026$112,0120.0%
JAPAN BOND .101% 03/10/2029$107,8150.0%
AVIATION CAPITAL GROUP LLC 1.95% 09/20/2026$107,7930.0%
JYSKE REALKREDIT A/S 1.5% 10/01/2053$107,7320.0%
PLAYTECH PLC 4.25% 03/07/2026$105,2270.0%
NORDEA KREDIT REALKREDITAKTIESELSKAB 1% 10/01/2050$104,4090.0%
BROADCOM INC 4.15% 04/15/2032$103,1220.0%
RADNOR RE 2019-1 LTD 2.618% 02/25/2029$101,5710.0%
FEDERAL HOME LOAN MORTGAGE CORP 5.432% 06/25/2050$98,7990.0%
DEUTSCHE LUFTHANSA AG 3% 05/29/2026$98,0180.0%
BX COMMERCIAL MORTGAGE TRUST 2019-IMC 2.454% 04/15/2034$97,3870.0%
FREDDIE MAC STACR TRUST 2019-FTR2 2.818% 11/25/2048$96,1260.0%
VOYA CLO 2019-1 LTD 3.894% 04/15/2031$95,8930.0%
ORGANON & CO / ORGANON FOREIGN DEBT CO-ISSUER BV 2.875% 04/30/2028$95,3970.0%
FEDERAL NATIONAL MORTGAGE ASSOCIATION 5.118% 01/25/2029$93,0750.0%
RADNOR RE 2019-2 LTD 2.418% 06/25/2029$92,6500.0%
IQVIA INC 2.25% 03/15/2029$92,5330.0%
ROYAL CARIBBEAN CRUISES LTD 11.5% 06/01/2025$92,5100.0%
S&P GLOBAL INC 4.25% 05/01/2029$92,5090.0%
CONNECTICUT AVENUE SECURITIES TRUST 2020-R01 2.718% 01/25/2040$92,2430.0%
FEDERAL HOME LOAN MORTGAGE CORP 4% 09/25/2050$92,2400.0%
ORACLE CORP 5.375% 07/15/2040$92,1090.0%
INFOR INC 1.75% 07/15/2025$90,4730.0%
CIGNA CORP 4.375% 10/15/2028$90,4380.0%
BAMLL COMMERCIAL MORTGAGE SECURITIES TRUST 2013-WBRK 3.534% 03/10/2037$89,8000.0%
BELLEMEADE RE 2019-1 LTD 2.418% 03/25/2029$89,5490.0%
STACR TRUST 2018-DNA3 2.768% 09/25/2048$88,2930.0%
WELLS FARGO & CO 3.9% CALLABLE$87,6550.0%
CCO HOLDINGS LLC / CCO HOLDINGS CAPITAL CORP 4.5% 06/01/2033$86,9200.0%
MARATHON PETROLEUM CORP 6.5% 03/01/2041$86,8820.0%
BANK OF AMERICA CORP 8.53% 10/09/2024$86,1910.0%
FREDDIE MAC STACR 2019-HQA3 2.518% 09/25/2049$84,9680.0%
SANTANDER HOLDINGS USA INC 4.4% 07/13/2027$83,9760.0%
ATALAYA EQUIPMENT LEASING TRUST 21-1 .326% 11/15/2022$82,9750.0%
CITIGROUP INC 4% CALLABLE$82,8100.0%
NYKREDIT REALKREDIT AS 2% 10/01/2053$74,0500.0%
PRUDENTIAL FINANCIAL INC 5.375% 05/15/2045$68,7030.0%
BELLEMEADE RE 2018-3 LTD 2.518% 10/25/2028$67,8650.0%
BROADCOM INC 4.926% 05/15/2037$67,3820.0%
FEDERAL NATIONAL MORTGAGE ASSOCIATION 5.382% 04/25/2044$66,3380.0%
HARLEY-DAVIDSON FINANCIAL SERVICES INC 3.05% 02/14/2027$64,1050.0%
JPMBB COMMERCIAL MORTGAGE SECURITIES TRUST 2014-C21 4.341% 08/15/2047$63,3690.0%
CITIGROUP INC 8.871% 09/29/2024$61,0250.0%
CONNECTICUT AVENUE SECURITIES TRUST 2020-R02 2.668% 01/25/2040$61,0090.0%
AMERICAN TOWER CORP 4.05% 03/15/2032$60,0960.0%
JPMORGAN CHASE & CO 4.287% CALLABLE$59,4000.0%
BAT CAPITAL CORP 4.906% 04/02/2030$58,9330.0%
FEDERAL NATIONAL MORTGAGE ASSOCIATION 5.532% 12/25/2047$54,6600.0%
DISCOVERY COMMUNICATIONS LLC 5.2% 09/20/2047$54,3200.0%
AVIATION CAPITAL GROUP LLC 4.875% 10/01/2025$54,0210.0%
AIRCASTLE LTD 4.125% 05/01/2024$53,7640.0%
ASSET BACKED SECURITIES CORP HOME EQUITY LOAN TRUST SERIES OOMC 2006-HE3 .998% 03/25/2036$52,5020.0%
BROADCOM INC 4.15% 11/15/2030$52,1630.0%
JPMORGAN CHASE & CO 9.121% 12/20/2023$51,4490.0%
FREDDIE MAC STACR REMIC TRUST 2020-DNA1 2.368% 01/25/2050$50,6390.0%
FEDERAL HOME LOAN MORTGAGE CORP 5.382% 02/25/2050$50,4030.0%
FEDERAL NATIONAL MORTGAGE ASSOCIATION 5.532% 10/25/2047$48,9130.0%
ALTRIA GROUP INC 4.8% 02/14/2029$47,6320.0%
WORKDAY INC 3.7% 04/01/2029$44,9680.0%
FEDERAL HOME LOAN MORTGAGE CORP 5.596% 06/15/2047$44,4870.0%
HOME RE 2020-1 LTD 3.918% 10/25/2030$44,2230.0%
SUZANO AUSTRIA GMBH 3.75% 01/15/2031$43,3910.0%
AVIATION CAPITAL GROUP LLC 4.375% 01/30/2024$42,9410.0%
FEDERAL NATIONAL MORTGAGE ASSOCIATION 5.018% 05/25/2029$42,6650.0%
FREDDIE MAC MULTIFAMILY STRUCTURED CREDIT RISK 2.289% 01/25/2051$42,5090.0%
AVIATION CAPITAL GROUP LLC 3.5% 11/01/2027$42,3900.0%
PMT CREDIT RISK TRANSFER TRUST 2020-1R 3.048% 02/27/2023$41,1650.0%
FEDERAL NATIONAL MORTGAGE ASSOCIATION 5.482% 08/25/2047$41,0440.0%
ONEOK INC 6.35% 01/15/2031$40,4600.0%
VOLCAN CIA MINERA SAA 4.375% 02/11/2026$40,3320.0%
FEDERAL NATIONAL MORTGAGE ASSOCIATION 4.918% 04/25/2029$37,3190.0%
FEDERAL NATIONAL MORTGAGE ASSOCIATION 4.668% 05/25/2025$36,6520.0%
CONNECTICUT AVENUE SECURITIES TRUST 2019-R07 2.768% 10/25/2039$33,2140.0%
FEDERAL NATIONAL MORTGAGE ASSOCIATION 5.332% 10/25/2046$33,0190.0%
FEDERAL NATIONAL MORTGAGE ASSOCIATION 5.432% 12/25/2044$30,6580.0%
BROADCOM INC 4% 04/15/2029$30,5580.0%
ONEOK PARTNERS LP 6.125% 02/01/2041$30,5570.0%
BROADCOM INC 3.137% 11/15/2035$29,9220.0%
UPSTART SECURITIZATION TRUST 2020-3 1.702% 11/20/2030$29,5940.0%
GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 5.606% 09/20/2047$29,2360.0%
CCO HOLDINGS LLC / CCO HOLDINGS CAPITAL CORP 4.5% 08/15/2030$27,9730.0%
DISCOVERY COMMUNICATIONS LLC 5.3% 05/15/2049$27,3180.0%
FEDERAL NATIONAL MORTGAGE ASSOCIATION 6.368% 04/25/2028$26,7130.0%
FREDDIE MAC STACR TRUST 2019-DNA4 2.618% 10/25/2049$25,5810.0%
GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 5.606% 08/20/2047$24,4120.0%
AIR LEASE CORP 2.875% 01/15/2026$24,3500.0%
FEDERAL NATIONAL MORTGAGE ASSOCIATION 5.872% 12/25/2041$24,2460.0%
MARRIOTT INTERNATIONAL INC/MD 5.75% 05/01/2025$20,9860.0%
S&P GLOBAL INC 4.75% 08/01/2028$20,7640.0%
DISCOVERY COMMUNICATIONS LLC 4.65% 05/15/2050$18,9620.0%
FEDERAL NATIONAL MORTGAGE ASSOCIATION 5.668% 07/25/2025$15,0160.0%
ADVANCE AUTO PARTS INC 3.5% 03/15/2032$14,3500.0%
CENOVUS ENERGY INC 4.25% 04/15/2027$14,0270.0%
TERRAFORM GLOBAL OPERATING LLC 6.125% 03/01/2026$13,7920.0%
FREDDIE MAC STACR TRUST 2019-DNA3 2.718% 07/25/2049$13,7820.0%
AIR LEASE CORP 3.625% 04/01/2027$13,3130.0%
CONNECTICUT AVENUE SECURITIES TRUST 2019-R06 2.768% 09/25/2039$12,8830.0%
REALKREDIT DANMARK A/S 2% 10/01/2053$12,6550.0%
GSF MORTGAGE CORP 2.638% 08/15/2026$11,2760.0%
GUARDIAN LIFE INSURANCE CO OF AMERICA/THE 4.85% 01/24/2077$10,8210.0%
TRAINGLE RE 2021-1 LTD 3.668% 08/25/2033$9,8050.0%
EXPEDIA GROUP INC 6.25% 05/01/2025$5,2250.0%
CONSUMER LOAN UNDERLYING BOND CLUB CREDIT TRUST 2020-P1 2.92% 03/15/2028$4,7960.0%
AVIATION CAPITAL GROUP LLC 4.125% 08/01/2025$2,9360.0%
FEDERAL HOME LOAN MORTGAGE CORP 3.5% 12/25/2050$2,0380.0%
 
Collective Trusts/Mutual Funds
Underlying Fund HoldingsMarket Value%
U.S. TREASURY INFLATION PROTECTED SECURITIES FUND$247,110,67023.2%
 
Short-Term/Cash
Underlying Fund HoldingsMarket Value%
UNITED STATES OF AMERICA BILL ZERO CPN 03/MAY/2022$23,144,3452.2%
JPMORGAN PRIME MONEY MARKET FUND FUNDS VARIABLE$20,273,0071.9%
BLACKROCK TEMP FUND - INST SHARES FUND 24$20,271,8811.9%
UNITED STATES OF AMERICA BILL ZERO CPN 19/MAY/2022$13,133,8661.2%
UNITED STATES OF AMERICA BILL ZERO CPN 08/SEP/2022$11,789,1101.1%
UNITED STATES OF AMERICA BILL ZERO CPN 03/NOV/2022$4,477,8010.4%
 
Other
Underlying Fund HoldingsMarket Value%
SWAP/07/15/2026/P:USD 2.79250 /R:USD/USCPI/1M$2,008,3721.8%
SWAP/01/15/2023/P:USD 3.35500 /R:USD/USCPI/1M$1,779,9862.5%
SWAP/02/26/2025/P:USD 1.58900 /R:USD/USCPI/1M$1,672,0131.1%
SWAP/05/21/2031/P:USD 1.61650 /R:USD/LIBOR/3M$1,513,9891.4%
US DOLLAR$1,228,5780.1%
SWAP/07/15/2025/P:USD 1.59500 /R:USD/USCPI/1M$1,128,7120.7%
SWAP/01/15/2025/P:USD 2.44000 /R:USD/USCPI/1M$1,122,2591.0%
US LONG BOND(CBT) BOND 21/JUN/2022 USM2 COMDTY$989,460-0.9%
US 10YR ULTRA FUT BOND 21/JUN/2022 UXYM2 COMDTY$869,193-0.9%
SWAP/01/15/2025/P:USD 0.78000 /R:USD/USCPI/1M$784,7980.4%
US DOLLAR$741,0000.1%
SWAP/07/15/2026/P:USD 2.89600 /R:USD/USCPI/1M$686,1730.7%
SWAP/07/15/2026/P:USD 2.90800 /R:USD/USCPI/1M$673,2370.7%
SWAP/01/15/2027/P:USD 2.84250 /R:USD/USCPI/1M$673,1840.7%
CURRENCY CONTRACT - USD$657,473-0.8%
CANADIAN DOLLAR$596,4340.1%
POUND STERLING$582,0080.1%
EURO-BUXL 30Y BND BOND 08/JUN/2022 UBM2 COMDTY$559,016-0.4%
EURO-BTP FUTURE BOND 08/JUN/2022 IKM2 COMDTY$532,798-0.5%
SWAP/06/05/2027/P:USD 0.55750 /R:USD/LIBOR/3M$516,9520.4%
SWAP/01/15/2026/P:USD 2.32200 /R:USD/USCPI/1M$463,8120.4%
SWAP/06/24/2022/P:USD 3.52000 /R:USD/USCPI/1M$447,2680.9%
US DOLLAR$426,5550.0%
SWAP/04/15/2032/P:USD 2.60750 /R:USD/USCPI/1M$413,2730.4%
CURRENCY CONTRACT - USD$407,535-0.3%
SWAP/07/15/2024/P:USD 1.85500 /R:USD/USCPI/1M$405,7390.3%
SWAP/01/15/2023/P:USD 2.31000 /R:USD/USCPI/1M$360,0380.4%
SWAP/07/15/2023/P:USD 2.18750 /R:USD/USCPI/1M$349,4190.3%
SWAP/04/15/2032/P:USD 2.60500 /R:USD/USCPI/1M$347,7320.3%
MALAYSIAN RINGGIT$329,2830.0%
SWAP/07/15/2023/P:USD 3.36875 /R:USD/USCPI/1M$311,1900.4%
CURRENCY CONTRACT - USD$307,285-0.6%
SWAP/01/15/2025/P:USD 1.96750 /R:USD/USCPI/1M$304,3140.2%
SWAP/01/15/2025/P:USD 1.58000 /R:USD/USCPI/1M$302,8780.2%
SWAP/07/15/2023/P:USD 3.33400 /R:USD/USCPI/1M$295,0160.4%
SWAP/07/15/2026/P:USD 2.40750 /R:USD/USCPI/1M$278,9810.2%
SWAPTION/EUROPEAN/11/02/2022/11/04/2052/P:EUR 0.19500 /R:EUR/EURIBOR/6M$267,9150.1%
SWAP/01/15/2023/P:USD 2.18400 /R:USD/USCPI/1M$266,5490.3%
SWAP/07/15/2023/P:USD 2.35300 /R:USD/USCPI/1M$251,5620.3%
CURRENCY CONTRACT - USD$247,411-0.3%
SWAP/07/15/2022/P:USD 1.47900 /R:USD/USCPI/1M$233,8570.3%
SWAP/03/05/2026/P:USD 2.41875 /R:USD/USCPI/1M$203,4890.2%
SWAPTION/EUROPEAN/11/02/2022/11/04/2052/P:EUR 0.19000 /R:EUR/EURIBOR/6M$184,7430.1%
SWAP/07/15/2022/P:USD 1.57500 /R:USD/USCPI/1M$183,3640.2%
SWAP/05/15/2026/P:EUR 1.50000 /R:EUR/HICPXT/1M$161,1040.1%
SWAP/02/26/2026/P:USD 2.31375 /R:USD/USCPI/1M$153,6230.1%
SWAP/07/15/2022/P:USD 1.76000 /R:USD/USCPI/1M$147,1880.2%
EURO$146,8800.0%
SWAP/01/15/2023/P:USD 1.96000 /R:USD/USCPI/1M$142,4370.2%
SWAP/05/13/2026/P:USD 2.76750 /R:USD/USCPI/1M$138,9320.1%
EURO$133,3770.0%
SWAP/01/15/2023/P:USD 1.54300 /R:USD/USCPI/1M$127,5300.1%
CURRENCY CONTRACT - USD$127,278-0.4%
SWAP/07/15/2026/P:USD 2.94400 /R:USD/USCPI/1M$124,2020.1%
SWAP/07/15/2022/P:USD 1.48400 /R:USD/USCPI/1M$118,9260.1%
CREDIT INDEX SWAP - CDI$116,508-0.2%
SWAP/01/15/2024/P:USD 1.59900 /R:USD/USCPI/1M$113,3580.1%
SWAPTION/EUROPEAN/11/04/2022/11/08/2052/P:EUR 0.19700 /R:EUR/EURIBOR/6M$104,4140.0%
SWAP/02/05/2023/P:USD 2.21000 /R:USD/USCPI/1M$93,5220.1%
YEN$89,1500.0%
SWAP/03/15/2024/P:EUR 1.03000 /R:EUR/FRCPI/1M$87,1980.1%
SWAP/07/15/2023/P:USD 1.55100 /R:USD/USCPI/1M$80,6210.1%
SWAP/07/15/2022/P:USD 1.59700 /R:USD/USCPI/1M$80,3760.1%
SWAP/07/15/2023/P:USD 1.54800 /R:USD/USCPI/1M$74,9420.1%
SWAP/05/14/2026/P:USD 2.79300 /R:USD/USCPI/1M$73,0060.1%
SWAP/04/15/2032/P:USD 2.51900 /R:USD/USCPI/1M$71,2530.1%
POUND STERLING$69,5240.0%
SWAP/10/04/2026/P:USD 1.48700 /R:USD/LIBOR/3M$69,4190.1%
SWAP/11/10/2045/P:USD 2.72100 /R:USD/LIBOR/3M$65,7590.0%
SHORT EURO-BTP FU BOND 08/JUN/2022 BTSM2 COMDTY$63,430-0.3%
SWAP/07/15/2022/P:USD 1.90250 /R:USD/USCPI/1M$61,3460.1%
CURRENCY CONTRACT - USD$58,635-0.4%
POUND STERLING$53,8240.0%
RAND$52,6770.0%
CURRENCY CONTRACT - USD$52,560-0.3%
SWAP/09/21/2032/P:GBP 0.75000 /R:GBP/SONIA/1D$51,8930.1%
SWAP/09/21/2032/P:GBP 0.75000 /R:GBP/SONIA/1D$51,4950.1%
CURRENCY CONTRACT - USD$44,959-0.1%
SWAP/05/10/2023/P:USD 2.28100 /R:USD/USCPI/1M$40,8980.1%
CURRENCY CONTRACT - USD$39,274-0.2%
SWAP/11/15/2031/P:GBP 4.25000 /R:GBP/UKRPI/1M$38,8980.0%
CURRENCY CONTRACT - USD$27,474-0.3%
SWAP/05/09/2023/P:USD 2.26250 /R:USD/USCPI/1M$26,7570.0%
SWAP/05/20/2029/P:USD 2.39000 /R:USD/LIBOR/3M$24,8550.1%
CURRENCY CONTRACT - USD$24,7530.0%
SWAP/05/20/2029/P:USD 2.36000 /R:USD/LIBOR/3M$24,0430.1%
GOLD 100 OZ FUTR PRECIOUS METAL 28/JUN/2022 GCM2$20,554-0.2%
YEN$19,7720.0%
SWAPTION/EUROPEAN/01/31/2023/02/02/2033/P:USD/SOFR/1D /R:USD 1.57900$18,8410.1%
EURO-BOBL FUTURE BOND 08/JUN/2022 OEM2 COMDTY$18,605-0.1%
CURRENCY CONTRACT - USD$17,678-0.2%
SWAP/11/09/2026/P:USD 1.67150 /R:USD/LIBOR/3M$17,3730.0%
CURRENCY CONTRACT - USD$16,908-0.1%
CURRENCY CONTRACT - USD$15,8030.0%
JPN 10Y BOND(OSE) BOND 13/JUN/2022 JBM2 COMDTY$14,814-0.2%
SWAP/11/08/2026/P:USD 1.65700 /R:USD/LIBOR/3M$13,1840.0%
CURRENCY CONTRACT - USD$12,4610.0%
CURRENCY CONTRACT - USD$10,2910.0%
SWAP/03/15/2024/P:GBP 6.29000 /R:GBP/UKRPI/1M$9,7480.1%
SELL PROTECTION ON CMBX.NA.BBB-.6.MAY.05/11/2063$9,7060.0%
SELL PROTECTION ON CMBX.NA.BBB-.6.MAY.05/11/2063$9,6290.0%
EURO-SCHATZ FUT BOND 08/JUN/2022 DUM2 COMDTY$8,949-0.1%
CURRENCY CONTRACT - USD$8,757-0.1%
CURRENCY CONTRACT - USD$8,4230.0%
SWAP/07/12/2027/P:USD 2.35450 /R:USD/LIBOR/3M$8,1050.0%
CURRENCY CONTRACT - USD$7,7860.0%
SELL PROTECTION ON CMBX.NA.BBB-.6.MAY.05/11/2063$7,7760.0%
SWAP/01/15/2032/P:GBP 4.30000 /R:GBP/UKRPI/1M$7,2640.0%
SWAP/11/10/2045/P:USD 2.72100 /R:USD/LIBOR/3M$6,9450.0%
CURRENCY CONTRACT - USD$6,6520.0%
SWAP/03/15/2024/P:GBP 6.29000 /R:GBP/UKRPI/1M$5,5700.0%
SELL PROTECTION ON CMBX.NA.BBB-.6.MAY.05/11/2063$5,5200.0%
SELL PROTECTION ON CMBX.NA.BBB-.6.MAY.05/11/2063$5,5190.0%
AUSTRALIAN DOLLAR$5,2990.0%
SELL PROTECTION ON CMBX.NA.A.6.MAY.05/11/2063$5,2710.0%
SELL PROTECTION ON CMBX.NA.BBB-.6.MAY.05/11/2063$5,2690.0%
SELL PROTECTION ON CMBX.NA.BBB-.6.MAY.05/11/2063$5,1410.0%
SELL PROTECTION ON CMBX.NA.BBB-.6.MAY.05/11/2063$4,8990.0%
SELL PROTECTION ON CMBX.NA.A.6.MAY.05/11/2063$4,4810.0%
SELL PROTECTION ON CMBX.NA.BBB-.6.MAY.05/11/2063$4,0500.0%
SELL PROTECTION ON CMBX.NA.BBB-.6.MAY.05/11/2063$3,8200.0%
SELL PROTECTION ON CMBX.NA.BBB-.6.MAY.05/11/2063$3,7090.0%
SELL PROTECTION ON CMBX.NA.BBB-.6.MAY.05/11/2063$3,6230.0%
SWAPTION/EUROPEAN/05/11/2022/05/13/2027/P:EUR/EURIBOR/6M /R:EUR 0.50000$3,5280.1%
SWAP/06/04/2029/P:USD 2.15000 /R:USD/LIBOR/3M$3,2780.0%
SELL PROTECTION ON CMBX.NA.BBB-.6.MAY.05/11/2063$3,0450.0%
SWAP/05/15/2026/P:EUR 1.50000 /R:EUR/HICPXT/1M$2,971-0.1%
SELL PROTECTION ON CMBX.NA.BBB-.6.MAY.05/11/2063$2,8820.0%
SELL PROTECTION ON CMBX.NA.BBB-.6.MAY.05/11/2063$2,7220.0%
SELL PROTECTION ON CMBX.NA.BBB-.6.MAY.05/11/2063$2,7200.0%
SWAP/03/15/2052/P:EUR/HICPXT/1M /R:EUR 2.59000$2,6010.0%
SELL PROTECTION ON CMBX.NA.BBB-.6.MAY.05/11/2063$2,4690.0%
SWAP/03/15/2031/P:EUR/HICPXT/1M /R:EUR 1.38000$2,427-0.1%
SWAP/12/15/2031/P:JPY 0.05000 /R:JPY/TONAR/1D$2,1990.9%
EUROPEAN OPTION EXPIRING ON 06/15/2022 TO BUY PROTECTION ON CDX.NA.IG.37-V1.DEC.2026/PAY: USD 0.00$2,1400.3%
CURRENCY CONTRACT - USD$1,9380.0%
SWAP/03/15/2036/P:GBP/UKRPI/1M /R:GBP 3.58000$1,9110.0%
CURRENCY CONTRACT - USD$1,8500.0%
EUROPEAN OPTION EXPIRING ON 06/15/2022 TO BUY PROTECTION ON CDX.NA.IG.37-V1.DEC.2026/PAY: USD 0.00$1,8110.2%
SWAP/03/15/2031/P:EUR/HICPXT/1M /R:EUR 1.38000$1,7560.0%
SWAP/03/15/2031/P:EUR/HICPXT/1M /R:EUR 1.38000$1,6970.0%
SWAP/03/15/2036/P:GBP/UKRPI/1M /R:GBP 3.58000$1,6960.0%
SELL PROTECTION ON CMBX.NA.BBB-.6.MAY.05/11/2063$1,6240.0%
SELL PROTECTION ON GENERAL ELECTRIC COMPANY SENIOR_UNSECURED/RECEIVE: USD 1.00000 MATURING ON 12/20/2023$1,5840.0%
SELL PROTECTION ON CMBX.NA.BBB-.6.MAY.05/11/2063$1,5700.0%
SWAP/03/15/2031/P:EUR/HICPXT/1M /R:EUR 1.38000$1,4530.0%
NORWEGIAN KRONE$1,4430.0%
SELL PROTECTION ON CMBX.NA.BBB-.6.MAY.05/11/2063$1,3070.0%
CURRENCY CONTRACT - USD$1,235-0.1%
SELL PROTECTION ON CMBX.NA.BBB-.6.MAY.05/11/2063$1,1910.0%
SELL PROTECTION ON CMBX.NA.BBB-.6.MAY.05/11/2063$1,1620.0%
EUROPEAN OPTION EXPIRING ON 05/18/2022 TO BUY PROTECTION ON ITRAXX.EUROPE.MAIN.36-V1.DEC.2026/PAY: EUR 0.00$1,1260.1%
SELL PROTECTION ON CMBX.NA.BBB-.6.MAY.05/11/2063$1,1220.0%
SELL PROTECTION ON CMBX.NA.BBB-.6.MAY.05/11/2063$1,0850.0%
SELL PROTECTION ON CMBX.NA.BBB-.6.MAY.05/11/2063$9510.0%
CREDIT DEFAULT SWAP - CDS$9230.0%
SELL PROTECTION ON CMBX.NA.BBB-.6.MAY.05/11/2063$8830.0%
SELL PROTECTION ON CMBX.NA.BBB-.6.MAY.05/11/2063$8590.0%
SELL PROTECTION ON CMBX.NA.BBB-.6.MAY.05/11/2063$7820.0%
SELL PROTECTION ON CMBX.NA.BBB-.6.MAY.05/11/2063$7140.0%
SELL PROTECTION ON CMBX.NA.BBB-.6.MAY.05/11/2063$7130.0%
SELL PROTECTION ON CMBX.NA.BBB-.6.MAY.05/11/2063$6590.0%
SELL PROTECTION ON CMBX.NA.BBB-.6.MAY.05/11/2063$6090.0%
SWAP/03/15/2031/P:EUR/HICPXT/1M /R:EUR 1.38000$5450.0%
SWAP/03/15/2024/P:GBP 6.29000 /R:GBP/UKRPI/1M$5130.0%
SELL PROTECTION ON CMBX.NA.BBB-.6.MAY.05/11/2063$4720.0%
SELL PROTECTION ON CMBX.NA.BBB-.6.MAY.05/11/2063$4490.0%
SWAP/03/15/2036/P:GBP/UKRPI/1M /R:GBP 3.58000$4360.0%
NEW ZEALAND DOLLAR$3230.0%
SWAP/03/15/2024/P:EUR 1.03000 /R:EUR/FRCPI/1M$289-0.1%
SELL PROTECTION ON CMBX.NA.BBB-.6.MAY.05/11/2063$2410.0%
SELL PROTECTION ON CMBX.NA.BBB-.6.MAY.05/11/2063$1810.0%
SELL PROTECTION ON CMBX.NA.BBB-.6.MAY.05/11/2063$1710.0%
SELL PROTECTION ON CMBX.NA.BBB-.6.MAY.05/11/2063$1510.0%
CREDIT DEFAULT SWAP - CDS$1180.0%
SWAP/03/15/2036/P:GBP/UKRPI/1M /R:GBP 3.58000$1100.0%
DANISH KRONE$930.0%
EUROPEAN OPTION EXPIRING ON 07/20/2022 TO BUY PROTECTION ON CDX.NA.IG.37-V1.DEC.2026/PAY: USD 0.00$310.0%
SWAP/01/15/2023/P:USD 3.35500 /R:USD/USCPI/1M$15-2.5%
SWAP/06/24/2022/P:USD 3.52000 /R:USD/USCPI/1M$8-0.9%
SWAP/02/26/2025/P:USD 1.58900 /R:USD/USCPI/1M$5-1.1%
SWAP/01/15/2025/P:USD 2.44000 /R:USD/USCPI/1M$3-1.0%
SWAP/01/15/2023/P:USD 2.31000 /R:USD/USCPI/1M$3-0.4%
SWAP/07/15/2026/P:USD 2.79250 /R:USD/USCPI/1M$3-1.8%
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/07/15/2023/P:USD 3.33400 /R:USD/USCPI/1M$2-0.4%
SWAP/07/15/2023/P:USD 3.36875 /R:USD/USCPI/1M$2-0.4%
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$2-0.3%
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/01/15/2023/P:USD 2.18400 /R:USD/USCPI/1M$2-0.3%
SWAP/01/15/2025/P:USD 0.78000 /R:USD/USCPI/1M$2-0.4%
SWAP/01/15/2024/P:USD 1.59900 /R:USD/USCPI/1M$1-0.1%
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$1-0.7%
SWAP/02/05/2023/P:USD 2.21000 /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 1.48400 /R:USD/USCPI/1M$1-0.1%
SWAP/05/21/2031/P:USD 1.61650 /R:USD/LIBOR/3M$1-1.4%
SWAP/07/15/2026/P:USD 2.40750 /R:USD/USCPI/1M$1-0.2%
SWAP/07/15/2026/P:USD 2.90800 /R:USD/USCPI/1M$1-0.7%
SWAP/07/15/2026/P:USD 2.89600 /R:USD/USCPI/1M$1-0.7%
WON$10.0%
SWAP/09/21/2032/P:GBP 0.75000 /R:GBP/SONIA/1D$0-0.1%
SWAP/07/15/2026/P:USD 2.94400 /R:USD/USCPI/1M$0-0.1%
SWAP/09/21/2032/P:GBP 0.75000 /R:GBP/SONIA/1D$0-0.1%
SWAP/10/04/2026/P:USD 1.48700 /R:USD/LIBOR/3M$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/08/15/2030/P:GBP/UKRPI/1M /R:GBP 3.47500$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/11/15/2031/P:GBP 4.25000 /R:GBP/UKRPI/1M$00.0%
SWAP/11/15/2034/P:EUR/FRCPI/1M /R:EUR 1.28000$00.0%
SWAP/05/20/2029/P:USD 2.39000 /R:USD/LIBOR/3M$0-0.1%
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/05/20/2029/P:USD 2.36000 /R:USD/LIBOR/3M$0-0.1%
SWAP/05/14/2026/P:USD 2.79300 /R:USD/USCPI/1M$0-0.1%
SWAP/05/13/2026/P:USD 2.76750 /R:USD/USCPI/1M$0-0.1%
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/03/15/2036/P:GBP/UKRPI/1M /R:GBP 3.56600$00.0%
SWAP/03/15/2052/P:EUR/HICPXT/1M /R:EUR 2.58000$00.0%
SWAP/03/15/2052/P:EUR/HICPXT/1M /R:EUR 2.58000$00.0%
SWAP/03/21/2023/P:USD/USCPI/1M /R:USD 5.50000$00.0%
SWAP/04/15/2032/P:USD 2.51900 /R:USD/USCPI/1M$0-0.1%
SWAP/02/15/2031/P:GBP/UKRPI/1M /R:GBP 3.62400$0-0.1%
SWAP/04/11/2027/P:EUR/EURIBOR/6M /R:EUR 0.70000$00.0%
SWAP/05/09/2023/P:USD 2.26250 /R:USD/USCPI/1M$00.0%
SWAP/05/10/2023/P:USD 2.28100 /R:USD/USCPI/1M$0-0.1%
SWAP/04/15/2032/P:USD 2.60500 /R:USD/USCPI/1M$0-0.3%
SWAP/04/15/2032/P:USD 2.60750 /R:USD/USCPI/1M$0-0.4%
SWAP/01/15/2032/P:GBP 4.30000 /R:GBP/UKRPI/1M$00.0%
SWAP/02/26/2026/P:USD 2.31375 /R:USD/USCPI/1M$0-0.1%
SWAP/03/05/2026/P:USD 2.41875 /R:USD/USCPI/1M$0-0.2%
SWAP/03/15/2024/P:GBP 6.29000 /R:GBP/UKRPI/1M$0-0.1%
SWAP/01/15/2023/P:USD 1.96000 /R:USD/USCPI/1M$0-0.2%
SWAP/01/15/2025/P:USD 1.58000 /R:USD/USCPI/1M$0-0.2%
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%
MEXICAN PESO$00.0%
CURRENCY CONTRACT - EUR$-520.0%
CURRENCY CONTRACT - EUR$-810.0%
CREDIT DEFAULT SWAP, CMBX - CDSCMBX$-2280.0%
CURRENCY CONTRACT - EUR$-2620.0%
CREDIT DEFAULT SWAP, CMBX - CDSCMBX$-4560.0%
CREDIT DEFAULT SWAP, CMBX - CDSCMBX$-4560.0%
CREDIT DEFAULT SWAP, CMBX - CDSCMBX$-4560.0%
CREDIT DEFAULT SWAP, CMBX - CDSCMBX$-9130.0%
CREDIT DEFAULT SWAP, CMBX - CDSCMBX$-1,1410.0%
CREDIT DEFAULT SWAP, CMBX - CDSCMBX$-1,1410.0%
CREDIT DEFAULT SWAP, CMBX - CDSCMBX$-1,3690.0%
CREDIT DEFAULT SWAP, CMBX - CDSCMBX$-1,5970.0%
CREDIT DEFAULT SWAP, CMBX - CDSCMBX$-1,5970.0%
CREDIT DEFAULT SWAP, CMBX - CDSCMBX$-1,5970.0%
CREDIT DEFAULT SWAP, CMBX - CDSCMBX$-1,5970.0%
CREDIT DEFAULT SWAP, CMBX - CDSCMBX$-1,5970.0%
SWAP/03/21/2023/P:USD/USCPI/1M /R:USD 5.50000$-1,7700.0%
CREDIT DEFAULT SWAP, CMBX - CDSCMBX$-1,8250.0%
CREDIT DEFAULT SWAP, CMBX - CDSCMBX$-1,8250.0%
CREDIT DEFAULT SWAP, CMBX - CDSCMBX$-2,0530.0%
CREDIT DEFAULT SWAP, CMBX - CDSCMBX$-2,5090.0%
CREDIT DEFAULT SWAP, CMBX - CDSCMBX$-2,5090.0%
CURRENCY CONTRACT - EUR$-2,7350.0%
CREDIT DEFAULT SWAP, CMBX - CDSCMBX$-2,7380.0%
CREDIT DEFAULT SWAP, CMBX - CDSCMBX$-3,1940.0%
CREDIT DEFAULT SWAP, CMBX - CDSCMBX$-3,4220.0%
CREDIT DEFAULT SWAP, CMBX - CDSCMBX$-3,8780.0%
CURRENCY CONTRACT - EUR$-3,9070.0%
CURRENCY CONTRACT - EUR$-4,8190.0%
CURRENCY CONTRACT - EUR$-5,1210.0%
CURRENCY CONTRACT - EUR$-5,5010.0%
CURRENCY CONTRACT - EUR$-5,6840.0%
CREDIT DEFAULT SWAP, CMBX - CDSCMBX$-5,7030.0%
CREDIT DEFAULT SWAP, CMBX - CDSCMBX$-5,7030.0%
CURRENCY CONTRACT - AUD$-6,2020.0%
CURRENCY CONTRACT - DKK$-7,1700.0%
CURRENCY CONTRACT - EUR$-7,2690.0%
CREDIT DEFAULT SWAP, CMBX - CDSCMBX$-7,3000.0%
CREDIT DEFAULT SWAP, CMBX - CDSCMBX$-7,5280.0%
CREDIT DEFAULT SWAP, CMBX - CDSCMBX$-7,7560.0%
YEN$-8,0960.0%
CREDIT DEFAULT SWAP, CMBX - CDSCMBX$-8,2130.0%
CURRENCY CONTRACT - CAD$-9,3040.1%
CREDIT DEFAULT SWAP, CMBX - CDSCMBX$-9,3530.0%
CURRENCY CONTRACT - GBP$-9,4980.0%
CREDIT DEFAULT SWAP, CMBX - CDSCMBX$-9,8100.0%
CREDIT DEFAULT SWAP, CMBX - CDSCMBX$-10,0380.0%
CREDIT DEFAULT SWAP, CMBX - CDSCMBX$-10,0380.0%
CURRENCY CONTRACT - EUR$-10,0740.0%
SWAP/03/15/2052/P:EUR/HICPXT/1M /R:EUR 2.59000$-10,2030.0%
CREDIT DEFAULT SWAP, CMBX - CDSCMBX$-10,4940.0%
SWAP/03/15/2052/P:EUR/HICPXT/1M /R:EUR 2.58000$-10,6380.0%
SWAP/03/15/2052/P:EUR/HICPXT/1M /R:EUR 2.58000$-10,7580.0%
SWAP/04/11/2027/P:EUR/EURIBOR/6M /R:EUR 0.70000$-10,8670.0%
CREDIT DEFAULT SWAP, CMBX - CDSCMBX$-11,4070.0%
CREDIT DEFAULT SWAP, CMBX - CDSCMBX$-11,8630.0%
CREDIT DEFAULT SWAP, CMBX - CDSCMBX$-13,6880.0%
CURRENCY CONTRACT - JPY$-14,9630.0%
CREDIT DEFAULT SWAP, CMBX - CDSCMBX$-15,7410.0%
CREDIT DEFAULT SWAP, CMBX - CDSCMBX$-17,1100.0%
CURRENCY CONTRACT - CAD$-17,8530.1%
CREDIT DEFAULT SWAP, CMBX - CDSCMBX$-18,5980.0%
SWAPTION/EUROPEAN/05/11/2022/05/13/2027/P:EUR 1.00000 /R:EUR/EURIBOR/6M$-19,3530.1%
SWAPTION/EUROPEAN/01/31/2023/02/02/2025/P:USD/SOFR/1D /R:USD 1.42750$-20,2280.4%
CURRENCY CONTRACT - JPY$-20,3630.0%
SWAP/03/15/2031/P:EUR/HICPXT/1M /R:EUR 1.38000$-23,1630.0%
CREDIT DEFAULT SWAP, CMBX - CDSCMBX$-23,6350.0%
CURRENCY CONTRACT - AUD$-23,9640.3%
SWAP/03/15/2036/P:GBP/UKRPI/1M /R:GBP 3.58000$-25,5480.0%
CURRENCY CONTRACT - JPY$-28,2200.0%
CURRENCY CONTRACT - JPY$-36,7800.0%
CURRENCY CONTRACT - USD$-42,208-0.1%
CURRENCY CONTRACTS - ZAR$-43,3020.2%
SWAP/03/15/2031/P:EUR/HICPXT/1M /R:EUR 1.38000$-46,3420.0%
SWAP/03/15/2031/P:EUR/HICPXT/1M /R:EUR 1.38000$-46,3420.0%
SWAP/03/15/2031/P:EUR/HICPXT/1M /R:EUR 1.38000$-46,3420.0%
SWAP/11/15/2034/P:EUR/FRCPI/1M /R:EUR 1.28000$-50,2660.0%
SWAP/03/15/2036/P:GBP/UKRPI/1M /R:GBP 3.58000$-51,0960.0%
SWAP/03/15/2036/P:GBP/UKRPI/1M /R:GBP 3.58000$-51,0960.0%
SWAP/03/15/2036/P:GBP/UKRPI/1M /R:GBP 3.58000$-51,0960.0%
SWAP/03/15/2036/P:GBP/UKRPI/1M /R:GBP 3.56600$-51,7640.0%
BUY PROTECTION ON CDX.NA.HY.38-V1.JUN.2027$-53,1400.2%
CURRENCY CONTRACT - JPY$-61,7450.1%
CREDIT DEFAULT SWAP, CMBX - CDSCMBX$-62,5380.0%
LONG GILT FUTURE BOND 28/JUN/2022 G M2 COMDTY$-66,4990.2%
CURRENCY CONTRACT - EUR$-66,8460.1%
CURRENCY CONTRACTS - ZAR$-74,4820.3%
SWEDISH KRONA$-88,3390.0%
SWAP/03/15/2031/P:EUR/HICPXT/1M /R:EUR 1.38000$-115,8140.1%
SWAP/02/15/2031/P:GBP/UKRPI/1M /R:GBP 3.62400$-208,4030.1%
EURO-BUND FUTURE BOND 08/JUN/2022 RXM2 COMDTY$-224,7300.2%
US ULTRA BOND CBT BOND 21/JUN/2022 WNM2 COMDTY$-231,4290.1%
SWAPTION/EUROPEAN/11/04/2022/11/08/2032/P:EUR 0.00000 /R:EUR/EURIBOR/6M$-268,1160.2%
SWAP/08/15/2030/P:GBP/UKRPI/1M /R:GBP 3.47500$-330,4930.1%
SWAPTION/EUROPEAN/11/02/2022/11/04/2032/P:EUR 0.00000 /R:EUR/EURIBOR/6M$-346,7360.2%
SWAPTION/EUROPEAN/11/02/2022/11/04/2032/P:EUR 0.00000 /R:EUR/EURIBOR/6M$-436,4760.2%
US 10YR NOTE (CBT) BOND 21/JUN/2022 TYM2 COMDTY$-582,6920.8%
US 2YR NOTE (CBT) BOND 30/JUN/2022 TUM2 COMDTY$-721,8605.3%
EURO$-731,392-0.1%
US DOLLAR$-871,000-0.1%
US 5YR NOTE (CBT) BOND 30/JUN/2022 FVM2 COMDTY$-1,130,5353.6%
US DOLLAR$-17,965,668-1.7%
US DOLLAR$-18,389,783-1.7%
All Holdings As of Mar 31, 2022
Exchange-Traded Funds
Underlying Fund HoldingsMarket Value%
INVESCO DB AGRICULTURE FUND ETP USD$2,625,6000.2%
INVESCO DB BASE METALS FUND ETP USD$891,4800.1%
ISHARES GOLD TRUST ETP USD$662,9400.1%
INVESCO DB OIL FUND ETP USD$311,7600.0%
 
Fixed Income
Underlying Fund HoldingsMarket Value%
UNITED STATES OF AMERICA NOTES .125% 07/15/2031$64,884,6076.0%
UNITED STATES OF AMERICA NOTES .125% 10/15/2026$33,324,7163.1%
UNITED STATES OF AMERICA NOTES .125% 01/15/2032$28,988,4382.7%
UNITED STATES OF AMERICA NOTES .25% 01/15/2025$25,615,8932.4%
UNITED STATES OF AMERICA NOTES .5% 01/15/2028$25,009,8662.3%
UNITED STATES OF AMERICA NOTES .125% 10/15/2024$19,984,1561.9%
UNITED STATES OF AMERICA BOND 2.5% 01/15/2029$19,631,4021.8%
UNITED STATES OF AMERICA NOTES .125% 07/15/2026$19,188,1671.8%
UNITED STATES OF AMERICA NOTES .125% 04/15/2025$19,005,1501.8%
UNITED STATES OF AMERICA NOTES .5% 04/15/2024$18,819,9031.7%
UNITED STATES OF AMERICA BOND 2.125% 02/15/2041$18,470,1271.7%
UNITED STATES OF AMERICA NOTES .875% 01/15/2029$17,493,5661.6%
UNITED STATES OF AMERICA BOND .75% 02/15/2045$16,875,5471.6%
UNITED STATES OF AMERICA NOTES .75% 07/15/2028$15,308,0801.4%
UNITED STATES OF AMERICA BOND .625% 02/15/2043$14,843,3321.4%
UNITED STATES OF AMERICA NOTES .375% 07/15/2025$14,595,9861.4%
UNITED STATES OF AMERICA NOTES .375% 01/15/2027$14,552,8691.4%
UNITED STATES OF AMERICA NOTES .625% 01/15/2026$14,246,7061.3%
UNITED STATES OF AMERICA BOND 1% 02/15/2046$14,102,3851.3%
UNITED STATES OF AMERICA NOTES .25% 07/15/2029$13,931,9841.3%
UNITED STATES OF AMERICA BOND .125% 02/15/2051$12,942,8321.2%
UNITED STATES OF AMERICA NOTES .375% 07/15/2027$12,629,4871.2%
UNITED STATES OF AMERICA BOND .125% 02/15/2052$12,364,0821.2%
UNITED STATES OF AMERICA NOTES .125% 01/15/2023$12,179,4801.1%
UNITED STATES OF AMERICA NOTES .125% 01/15/2030$12,138,2001.1%
UNITED STATES OF AMERICA NOTES .125% 10/15/2025$11,588,8631.1%
UNITED STATES OF AMERICA NOTES .125% 01/15/2031$10,040,9740.9%
UNITED STATES OF AMERICA NOTES .125% 07/15/2030$9,321,9410.9%
UNITED STATES OF AMERICA BOND 1.375% 02/15/2044$8,706,8930.8%
UNITED STATES OF AMERICA BOND .75% 02/15/2042$8,651,2930.8%
UNITED STATES OF AMERICA NOTES .625% 04/15/2023$8,645,1960.8%
UNITED STATES OF AMERICA BOND .875% 02/15/2047$8,439,4750.8%
UNITED STATES OF AMERICA BOND 1% 02/15/2048$8,166,1870.8%
UNITED STATES OF AMERICA BOND 2.375% 01/15/2025$7,617,3040.7%
UNITED STATES OF AMERICA NOTES 1.125% 10/31/2026$6,679,4080.6%
UNITED STATES OF AMERICA NOTES .625% 01/15/2024$6,676,1740.6%
UNITED STATES OF AMERICA BOND 3.625% 04/15/2028$6,465,2800.6%
UNITED STATES OF AMERICA BOND 3.875% 04/15/2029$5,656,0160.5%
UNITED STATES OF AMERICA NOTES .125% 07/15/2022$5,388,6480.5%
UNITED STATES OF AMERICA NOTES .125% 04/15/2022$5,060,8970.5%
UNITED STATES OF AMERICA BOND 1.75% 01/15/2028$4,617,7720.4%
REPUBLIC OF ITALY BOND 1.4% 05/26/2025$4,592,8350.4%
UNITED STATES OF AMERICA NOTES .125% 04/15/2026$3,699,3260.3%
NYKREDIT REALKREDIT AS 1.5% 10/01/2053$3,273,5650.3%
UNITED STATES OF AMERICA BOND 2.125% 02/15/2040$2,982,5190.3%
UNITED STATES OF AMERICA BOND .25% 02/15/2050$2,812,7490.3%
UNITED MEXICAN STATES BOND 4.4% 02/12/2052$2,623,6960.2%
REPUBLIC OF ITALY BOND .417% 05/15/2030$2,562,6240.2%
TBA UMBS SINGLE FAMILY 30YR 3 4/22$2,530,5190.2%
UNITED STATES OF AMERICA BOND 1% 02/15/2049$2,518,2480.2%
TBA UMBS SINGLE FAMILY 30YR 2.5 4/22$2,263,2220.2%
REPUBLIC OF ITALY BOND .102% 05/15/2033$1,888,3460.2%
FEDERAL NATIONAL MORTGAGE ASSOCIATION 3% 02/01/2052$1,785,2040.2%
UNITED STATES OF AMERICA BOND 2% 01/15/2026$1,705,2470.2%
NORDEA KREDIT REALKREDITAKTIESELSKAB 1.5% 10/01/2053$1,653,1350.2%
UNITED MEXICAN STATES BOND 7.5% 06/03/2027$1,352,1970.1%
UNICREDIT SPA 7.83% 12/04/2023$1,275,8340.1%
AREIT 2022-CRE6 TRUST 1.3% 11/17/2024$1,072,7650.1%
MORGAN STANLEY 8% 04/25/2023$1,069,6880.1%
REGATTA XX FUNDING LTD 1.401% 10/15/2034$915,1670.1%
MAGNETITE XXVI LTD 1.378% 07/25/2034$893,4800.1%
BFLD TRUST 1.997% 06/15/2038$851,5100.1%
JAPAN BOND .005% 03/10/2031$792,8920.1%
FREDDIE MAC STACR REMIC TRUST 2021-DNA6 1.599% 10/25/2041$776,1150.1%
PRUDENTIAL FINANCIAL INC 5.875% 09/15/2042$766,5900.1%
FREDDIE MAC STRUCTURED AGENCY CREDIT RISK DEBT NOTES 1.899% 11/25/2041$757,2870.1%
CONNECTICUT AVENUE SECURITIES TRUST 2022-R01 1.999% 12/25/2041$749,8630.1%
SUZANO AUSTRIA GMBH 2.5% 09/15/2028$746,9720.1%
AFFIRM ASSET SECURITIZATION TRUST 2022-X1 1.75% 02/15/2027$742,4040.1%
SLM STUDENT LOAN TRUST 2004-10 .858% 10/25/2029$740,0400.1%
CITIZENS FINANCIAL GROUP INC 4.3% 12/03/2025$729,2080.1%
AVANT LOANS FUNDING TRUST 2021-REV1 1.21% 07/15/2030$692,5140.1%
BREX COMMERCIAL CHARGE CARD MASTER TRUST 4.63% 07/15/2025$676,6340.1%
CONNECTICUT AVENUE SECURITIES TRUST 2022-R02 1.299% 01/25/2042$641,0070.1%
CONN'S RECEIVABLES FUNDING 2021-A LLC 1.05% 05/15/2026$607,1450.1%
DIAMOND ISSUER 2.305% 11/20/2051$597,1160.1%
BELLEMEADE RE 2021-3 LTD 1.099% 09/25/2031$595,5020.1%
JAPAN BOND .102% 03/10/2028$590,7080.1%
CONNECTICUT AVENUE SECURITIES TRUST 2022-R03 3.599% 03/25/2042$583,1790.1%
FREDDIE MAC STRUCTURED AGENCY CREDIT RISK DEBT NOTES 2.499% 02/25/2042$576,8950.1%
CCO HOLDINGS LLC / CCO HOLDINGS CAPITAL CORP 4.75% 02/01/2032$574,5560.1%
MORGAN STANLEY 8% 06/09/2023$565,0300.1%
OAKTOWN RE VII LTD 1.699% 04/25/2034$551,8970.1%
ENBRIDGE ENERGY PARTNERS LP 7.375% 10/15/2045$536,3970.1%
NEUBERGER BERMAN LOAN ADVISERS CLO 43 LTD 1.371% 07/17/2035$531,9430.1%
MADISON PARK FUNDING LI LTD 3.298% 07/19/2034$531,1540.1%
LAS VEGAS SANDS CORP 3.9% 08/08/2029$514,2320.1%
PIKES PEAK CLO 8 3.354% 07/20/2034$489,3640.1%
MORGAN STANLEY 8% 05/17/2023$484,6800.0%
FORD MOTOR CREDIT CO LLC 4.95% 05/28/2027$483,5740.0%
FREDDIE MAC STACR REMIC TRUST 2021-HQA4 2.449% 12/25/2041$479,6260.0%
FISERV INC 3.5% 07/01/2029$475,0090.0%
BELLEMEADE RE LTD 1.599% 06/25/2031$471,6410.0%
TENCENT HOLDINGS LTD 2.39% 06/03/2030$462,9320.0%
PLAINS ALL AMERICAN PIPELINE LP / PAA FINANCE CORP 3.55% 12/15/2029$462,5810.0%
AERCAP IRELAND CAPITAL DAC / AERCAP GLOBAL AVIATION TRUST 3.3% 01/30/2032$455,1460.0%
OCTANE RECEIVABLES TRUST 2021-2 2.02% 09/20/2028$453,6160.0%
CPS AUTO RECEIVABLES TRUST 2022-A 2.17% 04/16/2029$450,5950.0%
CARNIVAL CORP 4% 08/01/2028$448,8890.0%
SOCIETE GENERALE SA 2.797% 01/19/2028$448,1210.0%
HERTZ VEHICLE FINANCING III LLC 2.63% 06/25/2026$446,6820.0%
NEIGHBORLY ISSUER 2022-1 3.695% 01/30/2052$446,2520.0%
WEIBO CORP 3.375% 07/08/2030$444,1660.0%
KYNDRYL HOLDINGS INC 2.05% 10/15/2026$442,6540.0%
DISH DBS CORP 5.25% 12/01/2026$439,9670.0%
BAIDU INC 1.625% 02/23/2027$437,0220.0%
ROCKFORD TOWER CLO 2021-2 LTD 1.414% 07/20/2034$434,4540.0%
BBCMS 2020-BID MORTGAGE TRUST 2.537% 10/15/2037$434,3690.0%
AGL CLO 12 LTD 3.104% 07/20/2034$430,4880.0%
ADVANCE AUTO PARTS INC 3.9% 04/15/2030$428,2080.0%
LAD AUTO RECEIVABLES TRUST 2021-1 1.3% 08/17/2026$426,6060.0%
BALLYROCK CLO 16 LTD 3.154% 07/20/2034$426,1160.0%
UNITED STATES OF AMERICA BOND 3.375% 04/15/2032$424,7830.0%
AB ISSUER LLC 3.734% 07/30/2051$415,6130.0%
OCHSNER LSU HEALTH SYSTEM OF NORTH LOUISIANA 2.51% 05/15/2031$414,5610.0%
FREDDIE MAC STRUCTURED AGENCY CREDIT RISK DEBT NOTES 3.107% 12/25/2029$414,4140.0%
MAGALLANES INC 4.279% 03/15/2032$412,3320.0%
ALIBABA GROUP HOLDING LTD 2.125% 02/09/2031$410,1670.0%
BX COMMERCIAL MORTGAGE TRUST 2019-IMC 2.547% 04/15/2034$402,4340.0%
CONTINENTAL RESOURCES INC/OK 2.875% 04/01/2032$401,9850.0%
AIRCASTLE LTD 4.25% 06/15/2026$399,9850.0%
UPSTART SECURITIZATION TRUST 2021-3 1.66% 07/20/2031$396,7760.0%
CPS AUTO RECEIVABLES TRUST 2021-C 1.69% 06/15/2027$395,7490.0%
FREDDIE MAC STACR REMIC TRUST 2022-DNA1 1.949% 01/25/2042$391,5660.0%
CHARLES SCHWAB CORP/THE 2.9% 03/03/2032$391,4470.0%
MOODY'S CORP 4.25% 02/01/2029$390,7560.0%
COMM 2015-CCRE22 MORTGAGE TRUST 3.309% 03/10/2048$388,5080.0%
UNIVERSITY OF CALIFORNIA 3.071% 05/15/2051$388,0760.0%
OCP CLO 2020-18 LTD 1.344% 07/20/2032$386,4040.0%
CREDIT SUISSE GROUP AG 6.375% CALLABLE$385,9320.0%
NISSAN MOTOR CO LTD 4.345% 09/17/2027$385,0190.0%
WESTINGHOUSE AIR BRAKE TECHNOLOGIES CORP 4.4% 03/15/2024$375,0410.0%
TRIANGLE RE 2021-3 LTD 1.999% 02/25/2034$372,4290.0%
FLATIRON CLO 21 LTD 3.148% 07/19/2034$372,0960.0%
ENA MASTER TRUST 4% 05/19/2048$370,9370.0%
BAMLL COMMERCIAL MORTGAGE SECURITIES TRUST 2017-SCH 1.397% 11/15/2033$365,5950.0%
BALBOA BAY LOAN FUNDING 2021-1 LTD 1.454% 07/20/2034$364,5510.0%
CONTINENTAL RESOURCES INC/OK 5.75% 01/15/2031$362,5510.0%
GLP CAPITAL LP / GLP FINANCING II INC 3.25% 01/15/2032$359,0410.0%
OLEODUCTO CENTRAL SA 4% 07/14/2027$358,6170.0%
ELMWOOD CLO IX LTD 3.204% 07/20/2034$353,9070.0%
BAT CAPITAL CORP 2.259% 03/25/2028$352,4270.0%
CGRBS COMMERCIAL MORTGAGE TRUST 2013-VN05 3.369% 03/13/2035$351,2060.0%
BNP PARIBAS SA 2.871% 04/19/2032$347,2670.0%
WELLS FARGO COMMERCIAL MORTGAGE TRUST 2015-SG1 3.789% 09/15/2048$346,8650.0%
AIR LEASE CORP 4.625% 10/01/2028$345,8560.0%
FEDERAL NATIONAL MORTGAGE ASSOCIATION 2.099% 11/25/2041$342,2180.0%
CREDIT SUISSE GROUP AG 3.091% 05/14/2032$339,7240.0%
REALKREDIT DANMARK A/S 1% 10/01/2050$335,5670.0%
BELLEMEADE RE 2022-1 LTD 2.249% 01/26/2032$331,7560.0%
HARLEY-DAVIDSON FINANCIAL SERVICES INC 3.35% 06/08/2025$329,6770.0%
HSBC HOLDINGS PLC 4.762% 03/29/2033$327,1550.0%
CEMEX SAB DE CV 3.875% 07/11/2031$323,6270.0%
MVW 2021-2 LLC 1.83% 05/20/2039$321,3040.0%
TOBACCO SETTLEMENT FINANCE AUTHORITY 3% 06/01/2035$320,1580.0%
ARDAGH METAL PACKAGING FINANCE USA LLC / ARDAGH METAL PACKAGING FINANCE PLC 3.25% 09/01/2028$318,3580.0%
STANDARD CHARTERED PLC 3.971% 03/30/2026$316,2950.0%
CARVANA AUTO RECEIVABLES TRUST 2021-P4 2.61% 09/11/2028$313,7730.0%
COMISION FEDERAL DE ELECTRICIDAD BOND 4.688% 05/15/2029$310,5160.0%
TRANSCANADA PIPELINES LTD 6.1% 06/01/2040$307,9520.0%
SOCIETE GENERALE SA 8% CALLABLE$302,6170.0%
DISH DBS CORP 5.75% 12/01/2028$302,4520.0%
ING BANK NV 2.625% 12/05/2022$301,5120.0%
GOLDENTREE LOAN MANAGEMENT US CLO 7 LTD 1.324% 04/20/2034$295,8160.0%
NATURA COSMETICOS SA 4.125% 05/03/2028$294,2560.0%
CENCOSUD SA 5.15% 02/12/2025$293,0450.0%
NXP BV / NXP FUNDING LLC 5.55% 12/01/2028$281,0230.0%
DUKE ENERGY CAROLINAS NC STORM FUNDING LLC 2.617% 07/01/2041$280,7090.0%
CARVANA AUTO RECEIVABLES TRUST 2021-N3 1.02% 06/12/2028$279,4180.0%
AVIS BUDGET RENTAL CAR FUNDING AESOP LLC 3.7% 09/20/2024$274,2890.0%
NXP BV / NXP FUNDING LLC / NXP USA INC 3.4% 05/01/2030$271,8090.0%
COMM 2014-UBS4 MORTGAGE TRUST 3.694% 08/10/2047$271,0140.0%
BALLYROCK CLO 15 LTD 3.341% 04/15/2034$269,1060.0%
CREDIT SUISSE GROUP AG 4.194% 04/01/2031$268,7980.0%
FORD CREDIT AUTO OWNER TRUST 2021-REV1 2.31% 10/17/2033$266,5820.0%
BANK OF AMERICA CORP 3.419% 12/20/2028$266,4820.0%
ROSS STORES INC 4.7% 04/15/2027$265,5130.0%
AERCAP IRELAND CAPITAL DAC / AERCAP GLOBAL AVIATION TRUST 6.5% 07/15/2025$261,7710.0%
MORGAN STANLEY 3.875% 04/29/2024$260,2410.0%
NELNET STUDENT LOAN TRUST 2021-C 2.53% 04/20/2062$260,0050.0%
BERKSHIRE HATHAWAY ENERGY CO 6.125% 04/01/2036$259,3650.0%
ORACLE CORP 3.6% 04/01/2040$259,1310.0%
ENGIE ENERGIA CHILE SA 3.4% 01/28/2030$259,1280.0%
GLOBAL PAYMENTS INC 3.2% 08/15/2029$257,7950.0%
AVIS BUDGET RENTAL CAR FUNDING AESOP LLC 4% 03/20/2025$254,1300.0%
CARVANA AUTO RECEIVABLES TRUST 2021-N4 2.3% 09/11/2028$253,4490.0%
MDC HOLDINGS INC 6% 01/15/2043$249,0120.0%
DIAMOND INFRASTRUCTURE FUNDING LLC 2.355% 04/15/2049$248,9940.0%
DRYDEN 78 CLO LTD 2.191% 04/17/2033$248,2290.0%
INDONESIA ASAHAN ALUMINIUM PERSERO PT BOND 4.75% 05/15/2025$247,9210.0%
NEW MOUNTAIN CLO 3 LTD 1.311% 10/20/2034$247,6610.0%
EAGLE RE 2021-2 LTD 2.149% 04/25/2034$247,3020.0%
SK HYNIX INC 2.375% 01/19/2031$246,9660.0%
FHF TRUST 2021-2 .83% 12/15/2026$246,8620.0%
CAPITAL ONE FINANCIAL CORP 3.273% 03/01/2030$246,4840.0%
ELEVATION CLO 2020-11 LTD 2.441% 04/15/2033$244,9570.0%
COLLATERALIZED MTGE OBLIGATION OR GLOBAL CMO 3.622% 03/15/2035$243,8320.0%
NYKREDIT REALKREDIT AS 1% 10/01/2053$242,6820.0%
NEUBERGER BERMAN LOAN ADVISERS CLO 42 LTD 3.041% 07/16/2035$242,0850.0%
PPM CLO 5 LTD 3.169% 10/18/2034$241,8420.0%
FOX CORP 4.709% 01/25/2029$241,5430.0%
NELNET STUDENT LOAN TRUST 2021-D 2.9% 04/20/2062$240,0240.0%
TRANSCANADA PIPELINES LTD 6.2% 10/15/2037$235,3860.0%
AIRCASTLE LTD 2.85% 01/26/2028$234,9280.0%
BROADCOM INC 4.15% 11/15/2030$233,4690.0%
FREDDIE MAC STACR REMIC TRUST 2021-DNA5 1.749% 01/25/2034$233,0610.0%
ING GROEP NV 4.017% 03/28/2028$232,5360.0%
ENI SPA 4.25% 05/09/2029$232,2900.0%
UNITED STATES OF AMERICA BOND 1.625% 11/15/2050$229,7970.0%
CONNECTICUT AVENUE SECURITIES TRUST 2021-R03 1.749% 12/25/2041$229,5790.0%
WYNN MACAU LTD 5.625% 08/26/2028$228,9760.0%
KIMBERLY-CLARK DE MEXICO SAB DE CV 2.431% 07/01/2031$227,7770.0%
NATIONWIDE BUILDING SOCIETY 2.972% 02/16/2028$226,7310.0%
GCI FUNDING I LLC 2.38% 06/18/2046$225,8960.0%
CENTENE CORP 2.625% 08/01/2031$224,6880.0%
BHMS 2018-ATLS 1.647% 07/15/2035$220,8710.0%
MIZUHO FINANCIAL GROUP INC 2.226% 05/25/2026$220,7240.0%
UNICREDIT SPA 3.127% 06/03/2032$219,2810.0%
GS MORTGAGE SECURITIES TRUST 2011-GC5 5.163% 08/10/2044$218,8100.0%
DANSKE BANK A/S 3.875% 09/12/2023$217,1080.0%
COMISION FEDERAL DE ELECTRICIDAD BOND 3.348% 02/09/2031$212,8540.0%
REALKREDIT DANMARK A/S 1.5% 10/01/2053$211,7580.0%
NATIONWIDE MUTUAL INSURANCE CO 9.375% 08/15/2039$210,8450.0%
ZF FINANCE GMBH 3.75% 09/21/2028$210,6820.0%
ANGLO AMERICAN CAPITAL PLC 3.875% 03/16/2029$210,3100.0%
VORNADO REALTY LP 3.4% 06/01/2031$208,2440.0%
ALTRIA GROUP INC 3.4% 05/06/2030$207,1760.0%
ALPEK SAB DE CV 5.375% 08/08/2023$206,6010.0%
FEDERAL NATIONAL MORTGAGE ASSOCIATION 4% 12/25/2050$205,1550.0%
AMGEN INC 3.35% 02/22/2032$204,3460.0%
STATE OF QATAR BOND 3.875% 04/23/2023$203,7530.0%
BELLEMEADE RE LTD 3.049% 03/25/2031$203,4570.0%
PROSUS NV 3.257% 01/19/2027$203,1540.0%
SUMMER BC HOLDCO B SARL 5.75% 10/31/2026$202,6430.0%
DOMINO'S PIZZA MASTER ISSUER LLC 2.662% 04/25/2051$202,2330.0%
EXPEDIA GROUP INC 4.625% 08/01/2027$201,8860.0%
NATWEST GROUP PLC 2.516% 06/25/2024$201,8570.0%
BREX COMMERCIAL CHARGE CARD MASTER TRUST 2.09% 07/15/2024$201,7650.0%
INTESA SANPAOLO SPA 5.017% 06/26/2024$201,7280.0%
BANCO SANTANDER SA 4.175% 03/24/2028$201,1490.0%
DOMINICAN REPUBLIC BOND 4.875% 09/23/2032$200,5600.0%
FORD MOTOR CREDIT CO LLC 3.55% 10/07/2022$200,3500.0%
AFFIRM ASSET SECURITIZATION TRUST 2021-Z2 1.17% 11/16/2026$200,1800.0%
MSCG TRUST 2018-SELF 1.297% 10/15/2037$198,7420.0%
EAGLE RE 2020-1 LTD 1.357% 01/25/2030$198,5540.0%
GS MORTGAGE SECURITIES CORP TRUST 2019-BOCA 1.597% 06/15/2038$197,4200.0%
TK ELEVATOR MIDCO GMBH 4.375% 07/15/2027$197,0760.0%
PROSUS NV 3.68% 01/21/2030$196,5060.0%
ADIENT GLOBAL HOLDINGS LTD 3.5% 08/15/2024$195,9670.0%
GOLDMAN SACHS GROUP INC/THE 7.5% 08/30/2023$195,2810.0%
GS MORTGAGE SECURITIES TRUST 2013-G1 3.557% 04/10/2031$194,9210.0%
NH HOTEL GROUP SA 4% 07/02/2026$194,8740.0%
LORCA TELECOM BONDCO SA 4% 09/18/2027$192,4820.0%
PRUDENTIAL FINANCIAL INC 5.2% 03/15/2044$192,2460.0%
DEUTSCHE BANK AG/NEW YORK NY 3.961% 11/26/2025$190,0280.0%
APCOA PARKING HOLDINGS GMBH 4.625% 01/15/2027$187,6470.0%
CLNY TRUST 2019-IKPR 2.422% 11/15/2038$186,2230.0%
PMT CREDIT RISK TRANSFER TRUST 2019-2R 3.195% 05/27/2023$185,1620.0%
ENERGY TRANSFER LP 6.25% 04/15/2049$184,3040.0%
RADNOR RE 2020-1 LTD 1.407% 01/25/2030$183,8500.0%
REPUBLIC OF COLOMBIA BOND 3.125% 04/15/2031$183,1680.0%
GSF MORTGAGE CORP 2.435% 08/15/2026$182,7840.0%
ALTICE FRANCE SA/FRANCE 3.375% 01/15/2028$180,9630.0%
VZ VENDOR FINANCING II BV 2.875% 01/15/2029$180,1900.0%
WELLS FARGO & CO 3.584% 05/22/2028$179,9360.0%
NOBEL BIDCO BV 3.125% 06/15/2028$177,8770.0%
INTERPUBLIC GROUP OF COS INC/THE 4.65% 10/01/2028$176,1300.0%
ALTICE FINANCING SA 3% 01/15/2028$175,9870.0%
JAPAN BOND .101% 03/10/2029$175,6940.0%
GLENCORE FUNDING LLC 4% 03/27/2027$174,7980.0%
STANDARD CHARTERED PLC 1.809% CALLABLE$173,0000.0%
AMERICAN EXPRESS CO 2.55% 03/04/2027$172,3160.0%
AVIATION CAPITAL GROUP LLC 1.95% 01/30/2026$171,9730.0%
CITIGROUP INC 5.95% CALLABLE$169,1880.0%
BX TRUST 2018-EXCL 1.484% 09/15/2037$166,9030.0%
COLLEGE AVE STUDENT LOANS 2021-C LLC 2.72% 07/26/2055$166,3300.0%
WELLS FARGO COMMERCIAL MORTGAGE TRUST 2016-NXS6 4.393% 11/15/2049$161,6800.0%
LIMA METRO LINE 2 FINANCE LTD 5.875% 07/05/2034$159,1270.0%
GS MORTGAGE SECURITIES CORP TRUST 2019-SMP 1.547% 08/15/2032$158,3620.0%
EMBRAER NETHERLANDS FINANCE BV 5.4% 02/01/2027$157,8070.0%
AMERICAN TOWER CORP 3.65% 03/15/2027$157,6840.0%
UBS COMMERCIAL MORTGAGE TRUST 3.203% 10/15/2052$152,8740.0%
BELLEMEADE RE 2019-3 LTD 2.057% 07/25/2029$152,1940.0%
CITY OF NEW YORK NY 1.923% 08/01/2031$149,3200.0%
PORT AUTHORITY OF NEW YORK & NEW JERSEY 1.086% 07/01/2023$148,2330.0%
FEDERAL NATIONAL MORTGAGE ASSOCIATION 4.007% 07/25/2029$146,9720.0%
WELLS FARGO COMMERCIAL MORTGAGE TRUST 2016-LC25 4.34% 12/15/2059$146,0670.0%
ORACLE CORP 3.65% 03/25/2041$143,6830.0%
AMERICAN WATER CAPITAL CORP 3.45% 06/01/2029$141,2850.0%
DELTA AIR LINES INC / SKYMILES IP LTD 4.75% 10/20/2028$139,2980.0%
SANTANDER HOLDINGS USA INC 2.49% 01/06/2028$139,2400.0%
AIRCASTLE LTD 5.25% 08/11/2025$138,6600.0%
BX COMMERCIAL MORTGAGE TRUST 2019-IMC 1.397% 04/15/2034$137,5900.0%
AVIATION CAPITAL GROUP LLC 5.5% 12/15/2024$137,0190.0%
MISSION LANE CREDIT CARD MASTER TRUST 2.24% 09/15/2026$135,9220.0%
ATALAYA EQUIPMENT LEASING TRUST 21-1 2.08% 02/15/2027$135,6730.0%
NEIGHBORLY ISSUER LLC 3.584% 04/30/2051$134,5140.0%
FEDERAL HOME LOAN MORTGAGE CORP 4.5% 11/25/2050$134,3260.0%
ATALAYA EQUIPMENT LEASING TRUST 21-1 .326% 11/15/2022$130,6950.0%
CAJUN GLOBAL LLC 3.931% 11/20/2051$130,2910.0%
FREDDIE MAC STACR REMIC TRUST 2020-DNA5 2.899% 10/25/2050$128,0620.0%
INEOS QUATTRO FINANCE 2 PLC 2.5% 01/15/2026$127,8600.0%
CLARIOS GLOBAL LP / CLARIOS US FINANCE CO 4.375% 05/15/2026$126,2650.0%
AFFIRM ASSET SECURITIZATION TRUST 2021-Z1 1.07% 08/15/2025$125,4190.0%
CITIGROUP INC 4.15% CALLABLE$124,9370.0%
HARDEE'S FUNDING LLC 3.981% 12/20/2050$122,7300.0%
WELLS FARGO & CO 3.35% 03/02/2033$122,5910.0%
LSTAR COMMERCIAL MORTGAGE TRUST 2016-4 2.579% 03/10/2049$122,2680.0%
JPMORGAN CHASE & CO 3.769% CALLABLE$122,0010.0%
HARDEE'S FUNDING LLC 5.71% 06/20/2048$120,2410.0%
DELTA AIR LINES INC / SKYMILES IP LTD 4.5% 10/20/2025$119,5580.0%
NATIXIS COMMERCIAL MORTGAGE SECURITIES TRUST 2019-MILE 1.897% 07/15/2036$119,5000.0%
JYSKE REALKREDIT A/S 1.5% 10/01/2053$118,8690.0%
CITIGROUP COMMERCIAL MORTGAGE TRUST 2017-P8 3.789% 09/15/2050$117,4730.0%
BCP TRUST 2021-330N 1.196% 06/15/2038$116,7490.0%
NORDEA KREDIT REALKREDITAKTIESELSKAB 1% 10/01/2050$116,0290.0%
FEDERAL HOME LOAN MORTGAGE CORP 5.643% 06/25/2050$113,2410.0%
ASHFORD HOSPITALITY TRUST 2018-KEYS 1.397% 06/15/2035$112,4190.0%
AVIATION CAPITAL GROUP LLC 1.95% 09/20/2026$111,4350.0%
PLAYTECH PLC 4.25% 03/07/2026$111,2690.0%
RADNOR RE 2019-2 LTD 2.207% 06/25/2029$110,1130.0%
DBWF 2018-GLKS MORTGAGE TRUST 1.479% 12/19/2030$108,5140.0%
DEUTSCHE LUFTHANSA AG 3% 05/29/2026$106,7880.0%
ORGANON & CO / ORGANON FOREIGN DEBT CO-ISSUER BV 2.875% 04/30/2028$105,6860.0%
INVITATION HOMES 2018-SFR2 TRUST 1.677% 06/17/2037$105,0460.0%
TEVA PHARMACEUTICAL FINANCE NETHERLANDS II BV 3.75% 05/09/2027$104,7530.0%
BELLEMEADE RE 2019-1 LTD 2.207% 03/25/2029$104,2540.0%
RADNOR RE 2019-1 LTD 2.407% 02/25/2029$101,7060.0%
IQVIA INC 2.25% 03/15/2029$101,6200.0%
ORACLE CORP 5.375% 07/15/2040$101,6190.0%
FEDERAL NATIONAL MORTGAGE ASSOCIATION 4.907% 01/25/2029$98,4840.0%
BX COMMERCIAL MORTGAGE TRUST 2019-IMC 2.297% 04/15/2034$97,7520.0%
S&P GLOBAL INC 4.25% 05/01/2029$96,9680.0%
CONNECTICUT AVENUE SECURITIES TRUST 2020-R01 2.507% 01/25/2040$96,7930.0%
VOYA CLO 2019-1 LTD 3.091% 04/15/2031$96,1410.0%
CCO HOLDINGS LLC / CCO HOLDINGS CAPITAL CORP 4.5% 06/01/2033$95,2910.0%
MARATHON PETROLEUM CORP 6.5% 03/01/2041$95,1690.0%
FREDDIE MAC STACR TRUST 2019-FTR2 2.607% 11/25/2048$95,1690.0%
CIGNA CORP 4.375% 10/15/2028$94,8110.0%
ROYAL CARIBBEAN CRUISES LTD 11.5% 06/01/2025$93,4930.0%
STACR TRUST 2018-DNA3 2.557% 09/25/2048$92,0850.0%
WELLS FARGO & CO 3.9% CALLABLE$92,0810.0%
BAMLL COMMERCIAL MORTGAGE SECURITIES TRUST 2013-WBRK 3.534% 03/10/2037$91,6780.0%
INFOR INC 1.75% 07/15/2025$91,3100.0%
FEDERAL HOME LOAN MORTGAGE CORP 4% 09/25/2050$90,2510.0%
GSF MORTGAGE CORP 1.433% 08/15/2026$88,3180.0%
FEDERAL HOME LOAN MORTGAGE CORP 3.5% 12/25/2050$88,2920.0%
CITIGROUP INC 4% CALLABLE$87,5880.0%
SANTANDER HOLDINGS USA INC 4.4% 07/13/2027$86,5980.0%
BANK OF AMERICA CORP 8.147% 10/09/2024$86,1870.0%
FREDDIE MAC STACR 2019-HQA3 2.307% 09/25/2049$85,0490.0%
BELLEMEADE RE 2018-3 LTD 2.307% 10/25/2028$81,6290.0%
NYKREDIT REALKREDIT AS 2% 10/01/2053$80,9370.0%
AFFIRM ASSET SECURITIZATION TRUST 2020-A 2.1% 02/18/2025$80,5530.0%
WORKDAY INC 3.8% 04/01/2032$79,9470.0%
FEDERAL NATIONAL MORTGAGE ASSOCIATION 5.593% 04/25/2044$74,5180.0%
PRUDENTIAL FINANCIAL INC 5.375% 05/15/2045$69,3020.0%
CONNECTICUT AVENUE SECURITIES TRUST 2020-R02 2.457% 01/25/2040$64,5480.0%
JPMBB COMMERCIAL MORTGAGE SECURITIES TRUST 2014-C21 4.341% 08/15/2047$64,3640.0%
BAT CAPITAL CORP 4.906% 04/02/2030$62,9420.0%
HOME RE 2020-1 LTD 3.707% 10/25/2030$62,7420.0%
DISCOVERY COMMUNICATIONS LLC 5.2% 09/20/2047$61,6090.0%
CITIGROUP INC 8.48% 09/29/2024$61,0340.0%
ASSET BACKED SECURITIES CORP HOME EQUITY LOAN TRUST SERIES OOMC 2006-HE3 .787% 03/25/2036$60,6620.0%
JPMORGAN CHASE & CO 3.534% CALLABLE$60,0000.0%
FEDERAL NATIONAL MORTGAGE ASSOCIATION 5.743% 12/25/2047$59,9150.0%
FREDDIE MAC STACR REMIC TRUST 2020-DNA1 2.157% 01/25/2050$55,5500.0%
AVIATION CAPITAL GROUP LLC 4.875% 10/01/2025$54,8520.0%
FEDERAL HOME LOAN MORTGAGE CORP 5.593% 02/25/2050$54,2010.0%
AIRCASTLE LTD 4.125% 05/01/2024$53,9500.0%
JPMORGAN CHASE & CO 8.73% 12/20/2023$51,3260.0%
FEDERAL NATIONAL MORTGAGE ASSOCIATION 5.743% 10/25/2047$50,5230.0%
ALTRIA GROUP INC 4.8% 02/14/2029$50,4000.0%
INVITATION HOMES 2018-SFR3 TRUST 1.741% 07/17/2037$50,3830.0%
FEDERAL HOME LOAN MORTGAGE CORP 5.753% 06/15/2047$48,0910.0%
SUZANO AUSTRIA GMBH 3.75% 01/15/2031$47,1610.0%
FEDERAL NATIONAL MORTGAGE ASSOCIATION 4.807% 05/25/2029$44,7360.0%
FREDDIE MAC MULTIFAMILY STRUCTURED CREDIT RISK 2.099% 01/25/2051$44,4940.0%
AVIATION CAPITAL GROUP LLC 3.5% 11/01/2027$43,6170.0%
FEDERAL NATIONAL MORTGAGE ASSOCIATION 5.693% 08/25/2047$43,4460.0%
VOLCAN CIA MINERA SAA 4.375% 02/11/2026$43,1460.0%
AVIATION CAPITAL GROUP LLC 4.375% 01/30/2024$42,9670.0%
PMT CREDIT RISK TRANSFER TRUST 2020-1R 2.795% 02/27/2023$42,9380.0%
ONEOK INC 6.35% 01/15/2031$42,8690.0%
HARLEY-DAVIDSON FINANCIAL SERVICES INC 3.05% 02/14/2027$41,9310.0%
AMERICAN TOWER CORP 4.05% 03/15/2032$40,1430.0%
FEDERAL NATIONAL MORTGAGE ASSOCIATION 4.707% 04/25/2029$38,9150.0%
FEDERAL NATIONAL MORTGAGE ASSOCIATION 4.457% 05/25/2025$37,6690.0%
CONNECTICUT AVENUE SECURITIES TRUST 2019-R07 2.557% 10/25/2039$37,4110.0%
FEDERAL NATIONAL MORTGAGE ASSOCIATION 5.643% 12/25/2044$37,4080.0%
UPSTART SECURITIZATION TRUST 2020-3 1.702% 11/20/2030$36,0870.0%
FEDERAL NATIONAL MORTGAGE ASSOCIATION 5.543% 10/25/2046$35,2920.0%
TRAINGLE RE 2021-1 LTD 3.457% 08/25/2033$33,4580.0%
ONEOK PARTNERS LP 6.125% 02/01/2041$33,0980.0%
BROADCOM INC 3.137% 11/15/2035$32,6740.0%
GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 5.751% 09/20/2047$30,8250.0%
DISCOVERY COMMUNICATIONS LLC 5.3% 05/15/2049$30,4480.0%
CCO HOLDINGS LLC / CCO HOLDINGS CAPITAL CORP 4.5% 08/15/2030$30,0800.0%
FREDDIE MAC STACR TRUST 2019-DNA4 2.407% 10/25/2049$29,7680.0%
WORKDAY INC 3.7% 04/01/2029$28,0880.0%
FEDERAL NATIONAL MORTGAGE ASSOCIATION 6.157% 04/25/2028$27,5390.0%
GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 5.751% 08/20/2047$25,5770.0%
CONSUMER LOAN UNDERLYING BOND CLUB CREDIT TRUST 2020-P1 2.92% 03/15/2028$25,2760.0%
AIR LEASE CORP 2.875% 01/15/2026$25,1280.0%
FEDERAL NATIONAL MORTGAGE ASSOCIATION 6.083% 12/25/2041$24,9100.0%
S&P GLOBAL INC 4.75% 08/01/2028$21,5040.0%
DISCOVERY COMMUNICATIONS LLC 4.65% 05/15/2050$21,4180.0%
MARRIOTT INTERNATIONAL INC/MD 5.75% 05/01/2025$21,2510.0%
CONNECTICUT AVENUE SECURITIES TRUST 2019-R06 2.557% 09/25/2039$15,5630.0%
FEDERAL NATIONAL MORTGAGE ASSOCIATION 5.457% 07/25/2025$15,5510.0%
ADVANCE AUTO PARTS INC 3.5% 03/15/2032$15,3730.0%
FREDDIE MAC STACR TRUST 2019-DNA3 2.507% 07/25/2049$14,6920.0%
CENOVUS ENERGY INC 4.25% 04/15/2027$14,4700.0%
TERRAFORM GLOBAL OPERATING LLC 6.125% 03/01/2026$14,0080.0%
REALKREDIT DANMARK A/S 2% 10/01/2053$13,8140.0%
AIR LEASE CORP 3.625% 04/01/2027$13,7680.0%
GUARDIAN LIFE INSURANCE CO OF AMERICA/THE 4.85% 01/24/2077$12,6200.0%
GSF MORTGAGE CORP 2.638% 08/15/2026$11,5870.0%
EXPEDIA GROUP INC 6.25% 05/01/2025$5,3500.0%
AVIATION CAPITAL GROUP LLC 4.125% 08/01/2025$2,9800.0%
FIRST INVESTORS AUTO OWNER TRUST 2020-1 1.49% 01/15/2025$2,8810.0%
CONNECTICUT AVENUE SECURITIES TRUST 2019-R04 2.557% 06/25/2039$1,7870.0%
CONNECTICUT AVENUE SECURITIES TRUST 2019-R05 2.457% 07/25/2039$8160.0%
FEDERAL NATIONAL MORTGAGE ASSOCIATION 5.457% 07/25/2025$6270.0%
 
Collective Trusts/Mutual Funds
Underlying Fund HoldingsMarket Value%
U.S. TREASURY INFLATION PROTECTED SECURITIES FUND$252,312,30923.4%
 
Short-Term/Cash
Underlying Fund HoldingsMarket Value%
BLACKROCK TEMP FUND - INST SHARES FUND 24$16,702,1121.6%
JPMORGAN PRIME MONEY MARKET FUND FUNDS VARIABLE$16,702,1121.6%
UNITED STATES OF AMERICA BILL ZERO CPN 21/APR/2022$16,568,4181.5%
UNITED STATES OF AMERICA BILL ZERO CPN 19/MAY/2022$13,130,9241.2%
UNITED STATES OF AMERICA BILL ZERO CPN 08/SEP/2022$11,785,9601.1%
UNITED STATES OF AMERICA BILL ZERO CPN 03/NOV/2022$4,482,5750.4%
 
Other
Underlying Fund HoldingsMarket Value%
US DOLLAR$4,040,4010.4%
SWAP/07/15/2026/P:USD 2.79250 /R:USD/USCPI/1M$1,820,1501.8%
SWAP/01/15/2023/P:USD 3.35500 /R:USD/USCPI/1M$1,643,2932.5%
SWAP/02/26/2025/P:USD 1.58900 /R:USD/USCPI/1M$1,570,2301.1%
SWAP/07/15/2025/P:USD 1.59500 /R:USD/USCPI/1M$1,061,2410.7%
SWAP/01/15/2025/P:USD 2.44000 /R:USD/USCPI/1M$1,030,5311.0%
SWAP/05/21/2031/P:USD 1.61650 /R:USD/LIBOR/3M$858,0321.4%
SWAP/01/15/2025/P:USD 0.78000 /R:USD/USCPI/1M$748,6810.4%
POUND STERLING$737,3200.1%
US DOLLAR$725,0000.1%
SWAP/07/15/2026/P:USD 2.89600 /R:USD/USCPI/1M$616,7910.7%
SWAP/07/15/2026/P:USD 2.90800 /R:USD/USCPI/1M$604,5410.7%
SWAP/01/15/2027/P:USD 2.84250 /R:USD/USCPI/1M$598,6720.7%
CANADIAN DOLLAR$530,6860.1%
US DOLLAR$467,5550.0%
SWAP/06/24/2022/P:USD 3.52000 /R:USD/USCPI/1M$435,1310.9%
SWAP/01/15/2026/P:USD 2.32200 /R:USD/USCPI/1M$428,5920.4%
SWAP/06/05/2027/P:USD 0.55750 /R:USD/LIBOR/3M$414,2540.4%
SWAP/04/15/2032/P:USD 2.60750 /R:USD/USCPI/1M$381,1970.4%
SWAP/07/15/2024/P:USD 1.85500 /R:USD/USCPI/1M$377,9160.3%
US LONG BOND(CBT) BOND 21/JUN/2022 USM2 COMDTY$355,763-1.1%
MALAYSIAN RINGGIT$340,9320.0%
SWAP/01/15/2023/P:USD 2.31000 /R:USD/USCPI/1M$339,2630.4%
SWAP/07/15/2023/P:USD 2.18750 /R:USD/USCPI/1M$327,9090.3%
SWAP/04/15/2032/P:USD 2.60500 /R:USD/USCPI/1M$321,5820.3%
SWAP/07/15/2023/P:USD 3.36875 /R:USD/USCPI/1M$286,9970.4%
SWAP/01/15/2025/P:USD 1.58000 /R:USD/USCPI/1M$286,2020.2%
SWAP/01/15/2025/P:USD 1.96750 /R:USD/USCPI/1M$281,8530.2%
SWAP/07/15/2023/P:USD 3.33400 /R:USD/USCPI/1M$272,5130.4%
SWAP/07/15/2026/P:USD 2.40750 /R:USD/USCPI/1M$258,6400.2%
CURRENCY CONTRACT - USD$257,664-0.8%
SWAP/01/15/2023/P:USD 2.18400 /R:USD/USCPI/1M$251,6190.3%
EURO-BTP FUTURE BOND 08/JUN/2022 IKM2 COMDTY$241,301-0.5%
SWAP/07/15/2023/P:USD 2.35300 /R:USD/USCPI/1M$233,9600.3%
SWAP/07/15/2022/P:USD 1.47900 /R:USD/USCPI/1M$227,2330.3%
YEN$209,7080.0%
SWAPTION/EUROPEAN/11/02/2022/11/04/2052/P:EUR 0.19500 /R:EUR/EURIBOR/6M$200,6580.1%
EURO-BUXL 30Y BND BOND 08/JUN/2022 UBM2 COMDTY$198,946-0.4%
CURRENCY CONTRACT - USD$187,451-0.3%
SWAP/03/05/2026/P:USD 2.41875 /R:USD/USCPI/1M$186,8880.2%
SWAP/07/15/2022/P:USD 1.57500 /R:USD/USCPI/1M$177,9900.2%
CURRENCY CONTRACTS - ZAR$164,3370.3%
CURRENCY CONTRACT - USD$152,380-0.3%
CURRENCY CONTRACTS - ZAR$145,6210.3%
SWAP/07/15/2022/P:USD 1.76000 /R:USD/USCPI/1M$142,5630.2%
SWAP/02/26/2026/P:USD 2.31375 /R:USD/USCPI/1M$141,7440.1%
SWAP/05/15/2026/P:EUR 1.50000 /R:EUR/HICPXT/1M$138,6730.1%
CURRENCY CONTRACT - AUD$134,7420.3%
SWAP/01/15/2023/P:USD 1.96000 /R:USD/USCPI/1M$133,6630.2%
POUND STERLING$130,7950.0%
SWAPTION/EUROPEAN/11/02/2022/11/04/2052/P:EUR 0.19000 /R:EUR/EURIBOR/6M$125,9540.1%
SWAP/05/13/2026/P:USD 2.76750 /R:USD/USCPI/1M$124,7190.1%
SWAP/01/15/2023/P:USD 1.54300 /R:USD/USCPI/1M$121,3050.1%
EURO$119,9430.0%
CREDIT INDEX SWAP - CDI$118,308-0.2%
SWAP/07/15/2022/P:USD 1.48400 /R:USD/USCPI/1M$115,5520.1%
SWAP/07/15/2026/P:USD 2.94400 /R:USD/USCPI/1M$111,1730.1%
EURO-BOBL FUTURE BOND 08/JUN/2022 OEM2 COMDTY$108,9821.1%
SWAP/01/15/2024/P:USD 1.59900 /R:USD/USCPI/1M$107,1950.1%
CURRENCY CONTRACT - USD$102,707-0.3%
EURO$93,5750.0%
SWAP/02/05/2023/P:USD 2.21000 /R:USD/USCPI/1M$87,0260.1%
CANADIAN DOLLAR$82,2120.0%
SWAP/07/15/2022/P:USD 1.59700 /R:USD/USCPI/1M$78,0010.1%
SWAP/07/15/2023/P:USD 1.55100 /R:USD/USCPI/1M$76,8030.1%
SWAP/03/15/2024/P:EUR 1.03000 /R:EUR/FRCPI/1M$74,5190.1%
SWAP/07/15/2023/P:USD 1.54800 /R:USD/USCPI/1M$71,3960.1%
SWAPTION/EUROPEAN/11/04/2022/11/08/2052/P:EUR 0.19700 /R:EUR/EURIBOR/6M$70,8130.0%
SWAP/04/15/2032/P:USD 2.51900 /R:USD/USCPI/1M$66,6350.1%
SWAP/11/10/2045/P:USD 2.72100 /R:USD/LIBOR/3M$65,9810.0%
SWAP/05/14/2026/P:USD 2.79300 /R:USD/USCPI/1M$65,4240.1%
CURRENCY CONTRACT - USD$62,755-0.1%
CURRENCY CONTRACT - USD$61,482-0.1%
SWAP/07/15/2022/P:USD 1.90250 /R:USD/USCPI/1M$59,3690.1%
RAND$57,5330.0%
CURRENCY CONTRACT - AUD$52,9830.2%
POUND STERLING$44,6270.0%
SWAP/10/04/2026/P:USD 1.48700 /R:USD/LIBOR/3M$39,5390.1%
SWAP/09/21/2032/P:GBP 0.75000 /R:GBP/SONIA/1D$39,0210.1%
SWAP/09/21/2032/P:GBP 0.75000 /R:GBP/SONIA/1D$38,6230.1%
SWAP/05/10/2023/P:USD 2.28100 /R:USD/USCPI/1M$38,3230.1%
SWAP/11/15/2031/P:GBP 4.25000 /R:GBP/UKRPI/1M$35,6410.0%
SHORT EURO-BTP FU BOND 08/JUN/2022 BTSM2 COMDTY$35,539-0.3%
SWAP/04/15/2022/P:USD 2.14000 /R:USD/USCPI/1M$29,5790.1%
SWAP/05/09/2023/P:USD 2.26250 /R:USD/USCPI/1M$25,0880.0%
JPN 10Y BOND(OSE) BOND 13/JUN/2022 JBM2 COMDTY$22,633-0.3%
YEN$21,0770.0%
CURRENCY CONTRACT - CAD$13,8250.1%
CURRENCY CONTRACT - USD$11,2450.0%
SWAPTION/EUROPEAN/01/31/2023/02/02/2033/P:USD/SOFR/1D /R:USD 1.57900$10,8480.1%
SWAP/11/09/2026/P:USD 1.67150 /R:USD/LIBOR/3M$10,5290.0%
CURRENCY CONTRACT - AUD$10,1560.0%
SELL PROTECTION ON CMBX.NA.BBB-.6.MAY.05/11/2063$9,7240.0%
SELL PROTECTION ON CMBX.NA.BBB-.6.MAY.05/11/2063$9,6470.0%
CURRENCY CONTRACT - CAD$8,8770.1%
SWAP/11/08/2026/P:USD 1.65700 /R:USD/LIBOR/3M$8,0510.0%
SELL PROTECTION ON CMBX.NA.BBB-.6.MAY.05/11/2063$7,7910.0%
CURRENCY CONTRACT - USD$6,6460.0%
CURRENCY CONTRACT - USD$6,2760.0%
SWAP/01/15/2032/P:GBP 4.30000 /R:GBP/UKRPI/1M$6,2330.0%
CURRENCY CONTRACT - USD$5,9750.0%
AUSTRALIAN DOLLAR$5,6120.0%
SELL PROTECTION ON CMBX.NA.BBB-.6.MAY.05/11/2063$5,5310.0%
SELL PROTECTION ON CMBX.NA.BBB-.6.MAY.05/11/2063$5,5290.0%
SELL PROTECTION ON CMBX.NA.A.6.MAY.05/11/2063$5,2810.0%
SELL PROTECTION ON CMBX.NA.BBB-.6.MAY.05/11/2063$5,2790.0%
SELL PROTECTION ON CMBX.NA.BBB-.6.MAY.05/11/2063$5,1510.0%
SELL PROTECTION ON CMBX.NA.BBB-.6.MAY.05/11/2063$4,9080.0%
EURO-SCHATZ FUT BOND 08/JUN/2022 DUM2 COMDTY$4,816-0.1%
CURRENCY CONTRACT - USD$4,7670.0%
SELL PROTECTION ON CMBX.NA.A.6.MAY.05/11/2063$4,4890.0%
CURRENCY CONTRACT - USD$4,1120.0%
SELL PROTECTION ON CMBX.NA.BBB-.6.MAY.05/11/2063$4,0580.0%
SELL PROTECTION ON CMBX.NA.BBB-.6.MAY.05/11/2063$3,8270.0%
EURO-BOBL CALL EUR 134.5 22/APR/2022 (OEK2C 134.50$3,7960.0%
SELL PROTECTION ON CMBX.NA.BBB-.6.MAY.05/11/2063$3,7160.0%
SELL PROTECTION ON CMBX.NA.BBB-.6.MAY.05/11/2063$3,6300.0%
CURRENCY CONTRACT - USD$3,3700.0%
EUROPEAN OPTION EXPIRING ON 06/15/2022 TO BUY PROTECTION ON CDX.NA.IG.37-V1.DEC.2026/PAY: USD 0.00$3,3290.3%
CURRENCY CONTRACT - USD$3,0790.0%
CURRENCY CONTRACT - USD$3,0740.0%
SELL PROTECTION ON CMBX.NA.BBB-.6.MAY.05/11/2063$3,0510.0%
SWAPTION/EUROPEAN/05/11/2022/05/13/2027/P:EUR/EURIBOR/6M /R:EUR 0.50000$3,0330.1%
SWAP/05/15/2026/P:EUR 1.50000 /R:EUR/HICPXT/1M$3,024-0.1%
SELL PROTECTION ON CMBX.NA.BBB-.6.MAY.05/11/2063$2,8870.0%
EUROPEAN OPTION EXPIRING ON 06/15/2022 TO BUY PROTECTION ON CDX.NA.IG.37-V1.DEC.2026/PAY: USD 0.00$2,8270.2%
CURRENCY CONTRACT - USD$2,7520.0%
CURRENCY CONTRACT - USD$2,7270.0%
SELL PROTECTION ON CMBX.NA.BBB-.6.MAY.05/11/2063$2,7270.0%
SELL PROTECTION ON CMBX.NA.BBB-.6.MAY.05/11/2063$2,7250.0%
SWAP/03/15/2024/P:GBP 6.29000 /R:GBP/UKRPI/1M$2,6340.1%
SWAP/03/15/2052/P:EUR/HICPXT/1M /R:EUR 2.59000$2,6080.0%
SELL PROTECTION ON CMBX.NA.BBB-.6.MAY.05/11/2063$2,4730.0%
SWAP/03/15/2031/P:EUR/HICPXT/1M /R:EUR 1.38000$2,447-0.1%
SWEDISH KRONA$2,3020.0%
EUROPEAN OPTION EXPIRING ON 04/20/2022 TO BUY PROTECTION ON CDX.NA.IG.37-V1.DEC.2026/PAY: USD 0.00$2,1760.2%
CURRENCY CONTRACT - GBP$2,0740.0%
SWAP/03/15/2036/P:GBP/UKRPI/1M /R:GBP 3.58000$1,9220.0%
SWAP/03/15/2031/P:EUR/HICPXT/1M /R:EUR 1.38000$1,7710.0%
SWAP/03/15/2031/P:EUR/HICPXT/1M /R:EUR 1.38000$1,7110.0%
SWAP/03/15/2036/P:GBP/UKRPI/1M /R:GBP 3.58000$1,7050.0%
SELL PROTECTION ON GENERAL ELECTRIC COMPANY SENIOR_UNSECURED/RECEIVE: USD 1.00000 MATURING ON 12/20/2023$1,6610.0%
SELL PROTECTION ON CMBX.NA.BBB-.6.MAY.05/11/2063$1,6270.0%
EUROPEAN OPTION EXPIRING ON 04/20/2022 TO BUY PROTECTION ON CDX.NA.IG.37-V1.DEC.2026/PAY: USD 0.00$1,6240.1%
SELL PROTECTION ON CMBX.NA.BBB-.6.MAY.05/11/2063$1,5730.0%
SWAPTION/EUROPEAN/04/07/2022/04/11/2027/P:EUR/EURIBOR/6M /R:EUR 0.50000$1,5420.0%
NORWEGIAN KRONE$1,5380.0%
SWAP/03/15/2024/P:GBP 6.29000 /R:GBP/UKRPI/1M$1,5050.0%
SWAP/03/15/2031/P:EUR/HICPXT/1M /R:EUR 1.38000$1,4650.0%
SWAP/12/15/2031/P:JPY 0.05000 /R:JPY/TONAR/1D$1,4410.9%
CURRENCY CONTRACT - USD$1,3170.0%
SELL PROTECTION ON CMBX.NA.BBB-.6.MAY.05/11/2063$1,3100.0%
EUROPEAN OPTION EXPIRING ON 04/20/2022 TO BUY PROTECTION ON ITRAXX.EUROPE.MAIN.36-V1.DEC.2026/PAY: EUR 0.00$1,2970.1%
EUROPEAN OPTION EXPIRING ON 05/18/2022 TO BUY PROTECTION ON ITRAXX.EUROPE.MAIN.36-V1.DEC.2026/PAY: EUR 0.00$1,2970.1%
SELL PROTECTION ON CMBX.NA.BBB-.6.MAY.05/11/2063$1,1930.0%
SELL PROTECTION ON CMBX.NA.BBB-.6.MAY.05/11/2063$1,1640.0%
SELL PROTECTION ON CMBX.NA.BBB-.6.MAY.05/11/2063$1,1240.0%
SELL PROTECTION ON CMBX.NA.BBB-.6.MAY.05/11/2063$1,0880.0%
CREDIT DEFAULT SWAP - CDS$1,0810.0%
CURRENCY CONTRACT - USD$9970.0%
SELL PROTECTION ON CMBX.NA.BBB-.6.MAY.05/11/2063$9520.0%
SELL PROTECTION ON CMBX.NA.BBB-.6.MAY.05/11/2063$8840.0%
SELL PROTECTION ON CMBX.NA.BBB-.6.MAY.05/11/2063$8610.0%
SWAP/06/04/2029/P:USD 2.15000 /R:USD/LIBOR/3M$8120.0%
SELL PROTECTION ON CMBX.NA.BBB-.6.MAY.05/11/2063$7830.0%
CURRENCY CONTRACT - EUR$7250.0%
SELL PROTECTION ON CMBX.NA.BBB-.6.MAY.05/11/2063$7150.0%
SELL PROTECTION ON CMBX.NA.BBB-.6.MAY.05/11/2063$7140.0%
CURRENCY CONTRACT - EUR$6990.0%
SELL PROTECTION ON CMBX.NA.BBB-.6.MAY.05/11/2063$6600.0%
SWAP/07/12/2027/P:USD 2.35450 /R:USD/LIBOR/3M$6450.0%
CURRENCY CONTRACT - EUR$6310.0%
SELL PROTECTION ON CMBX.NA.BBB-.6.MAY.05/11/2063$6100.0%
SWAP/03/15/2031/P:EUR/HICPXT/1M /R:EUR 1.38000$5500.0%
SWAP/03/15/2024/P:GBP 6.29000 /R:GBP/UKRPI/1M$5340.0%
CURRENCY CONTRACT - EUR$4950.0%
SELL PROTECTION ON CMBX.NA.BBB-.6.MAY.05/11/2063$4730.0%
SELL PROTECTION ON CMBX.NA.BBB-.6.MAY.05/11/2063$4500.0%
SWAP/03/15/2036/P:GBP/UKRPI/1M /R:GBP 3.58000$4380.0%
EUROPEAN OPTION EXPIRING ON 04/20/2022 TO BUY PROTECTION ON ITRAXX.EUROPE.MAIN.36-V1.DEC.2026/PAY: EUR 0.00$4370.1%
DANISH KRONE$3840.0%
NEW ZEALAND DOLLAR$3470.0%
SWAP/03/15/2052/P:EUR/HICPXT/1M /R:EUR 2.59000$3300.0%
SWAP/03/21/2023/P:USD/USCPI/1M /R:USD 5.50000$3140.0%
SWAP/03/15/2024/P:EUR 1.03000 /R:EUR/FRCPI/1M$296-0.1%
SELL PROTECTION ON CMBX.NA.BBB-.6.MAY.05/11/2063$2410.0%
EUROPEAN OPTION EXPIRING ON 07/20/2022 TO BUY PROTECTION ON CDX.NA.IG.37-V1.DEC.2026/PAY: USD 0.00$2270.0%
SELL PROTECTION ON CMBX.NA.BBB-.6.MAY.05/11/2063$1820.0%
SELL PROTECTION ON CMBX.NA.BBB-.6.MAY.05/11/2063$1710.0%
SELL PROTECTION ON CMBX.NA.BBB-.6.MAY.05/11/2063$1510.0%
CREDIT DEFAULT SWAP - CDS$1340.0%
SWAP/03/15/2036/P:GBP/UKRPI/1M /R:GBP 3.58000$1110.0%
CURRENCY CONTRACT - EUR$300.0%
SWAP/01/15/2023/P:USD 3.35500 /R:USD/USCPI/1M$13-2.5%
SWAP/06/24/2022/P:USD 3.52000 /R:USD/USCPI/1M$7-0.9%
CURRENCY CONTRACT - EUR$70.0%
SWAP/02/26/2025/P:USD 1.58900 /R:USD/USCPI/1M$5-1.1%
SWAP/01/15/2025/P:USD 2.44000 /R:USD/USCPI/1M$3-1.0%
SWAP/07/15/2025/P:USD 1.59500 /R:USD/USCPI/1M$3-0.7%
SWAP/07/15/2026/P:USD 2.79250 /R:USD/USCPI/1M$3-1.8%
SWAP/07/15/2022/P:USD 1.47900 /R:USD/USCPI/1M$2-0.3%
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/07/15/2023/P:USD 3.33400 /R:USD/USCPI/1M$2-0.4%
SWAP/07/15/2023/P:USD 3.36875 /R:USD/USCPI/1M$2-0.4%
SWAP/07/15/2024/P:USD 1.85500 /R:USD/USCPI/1M$2-0.3%
SWAP/01/15/2025/P:USD 0.78000 /R:USD/USCPI/1M$2-0.4%
SWAP/01/15/2023/P:USD 2.18400 /R:USD/USCPI/1M$2-0.3%
SWAP/01/15/2023/P:USD 2.31000 /R:USD/USCPI/1M$2-0.4%
SWAP/01/15/2023/P:USD 1.54300 /R:USD/USCPI/1M$1-0.1%
SWAP/01/15/2024/P:USD 1.59900 /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$1-0.7%
SWAP/02/05/2023/P:USD 2.21000 /R:USD/USCPI/1M$1-0.1%
SWAP/04/15/2022/P:USD 2.14000 /R:USD/USCPI/1M$1-0.1%
SWAP/05/21/2031/P:USD 1.61650 /R:USD/LIBOR/3M$1-1.4%
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/07/15/2026/P:USD 2.89600 /R:USD/USCPI/1M$1-0.7%
SWAP/07/15/2026/P:USD 2.90800 /R:USD/USCPI/1M$1-0.7%
WON$10.0%
SWAP/07/15/2026/P:USD 2.94400 /R:USD/USCPI/1M$0-0.1%
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$0-0.1%
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/11/09/2026/P:USD 1.67150 /R:USD/LIBOR/3M$00.0%
SWAP/08/15/2030/P:GBP/UKRPI/1M /R:GBP 3.47500$0-0.2%
SWAP/11/15/2034/P:EUR/FRCPI/1M /R:EUR 1.28000$00.0%
SWAP/11/08/2026/P:USD 1.65700 /R:USD/LIBOR/3M$00.0%
SWAP/10/04/2026/P:USD 1.48700 /R:USD/LIBOR/3M$0-0.1%
SWAP/11/15/2031/P:GBP 4.25000 /R:GBP/UKRPI/1M$00.0%
SWAP/07/12/2027/P:USD 2.35450 /R:USD/LIBOR/3M$00.0%
SWAP/06/05/2027/P:USD 0.55750 /R:USD/LIBOR/3M$0-0.4%
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/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/02/15/2031/P:GBP/UKRPI/1M /R:GBP 3.62400$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/03/21/2023/P:USD/USCPI/1M /R:USD 5.50000$00.0%
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$0-0.4%
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/01/15/2032/P:GBP 4.30000 /R:GBP/UKRPI/1M$00.0%
SWAP/02/26/2026/P:USD 2.31375 /R:USD/USCPI/1M$0-0.1%
SWAP/03/05/2026/P:USD 2.41875 /R:USD/USCPI/1M$0-0.2%
SWAP/03/15/2024/P:GBP 6.29000 /R:GBP/UKRPI/1M$0-0.1%
SWAP/03/15/2036/P:GBP/UKRPI/1M /R:GBP 3.56600$00.0%
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$0-0.2%
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%
MEXICAN PESO$00.0%
CURRENCY CONTRACT - EUR$-970.0%
CREDIT DEFAULT SWAP, CMBX - CDSCMBX$-2340.0%
CURRENCY CONTRACT - JPY$-3570.0%
CREDIT DEFAULT SWAP, CMBX - CDSCMBX$-4680.0%
CREDIT DEFAULT SWAP, CMBX - CDSCMBX$-4680.0%
CREDIT DEFAULT SWAP, CMBX - CDSCMBX$-4680.0%
CURRENCY CONTRACT - AUD$-5380.0%
CREDIT DEFAULT SWAP, CMBX - CDSCMBX$-9370.0%
CREDIT DEFAULT SWAP, CMBX - CDSCMBX$-1,1710.0%
CREDIT DEFAULT SWAP, CMBX - CDSCMBX$-1,1710.0%
CREDIT DEFAULT SWAP, CMBX - CDSCMBX$-1,4050.0%
CREDIT DEFAULT SWAP, CMBX - CDSCMBX$-1,6390.0%
CREDIT DEFAULT SWAP, CMBX - CDSCMBX$-1,6390.0%
CREDIT DEFAULT SWAP, CMBX - CDSCMBX$-1,6390.0%
CREDIT DEFAULT SWAP, CMBX - CDSCMBX$-1,6390.0%
CREDIT DEFAULT SWAP, CMBX - CDSCMBX$-1,6390.0%
CREDIT DEFAULT SWAP, CMBX - CDSCMBX$-1,8730.0%
CREDIT DEFAULT SWAP, CMBX - CDSCMBX$-1,8730.0%
CURRENCY CONTRACT - JPY$-1,8900.0%
CREDIT DEFAULT SWAP, CMBX - CDSCMBX$-2,1070.0%
CREDIT DEFAULT SWAP, CMBX - CDSCMBX$-2,5760.0%
CREDIT DEFAULT SWAP, CMBX - CDSCMBX$-2,5760.0%
CURRENCY CONTRACT - USD$-2,6080.0%
SWAP/05/20/2029/P:USD 2.36000 /R:USD/LIBOR/3M$-2,7760.1%
CREDIT DEFAULT SWAP, CMBX - CDSCMBX$-2,8100.0%
SWAPTION/EUROPEAN/04/07/2022/04/11/2027/P:EUR 0.70000 /R:EUR/EURIBOR/6M$-3,1560.0%
CREDIT DEFAULT SWAP, CMBX - CDSCMBX$-3,2780.0%
CURRENCY CONTRACT - DKK$-3,4700.0%
CREDIT DEFAULT SWAP, CMBX - CDSCMBX$-3,5120.0%
CURRENCY CONTRACT - DKK$-3,6340.0%
CREDIT DEFAULT SWAP, CMBX - CDSCMBX$-3,9810.0%
SWAPTION/EUROPEAN/05/11/2022/05/13/2027/P:EUR 1.00000 /R:EUR/EURIBOR/6M$-4,2450.1%
CURRENCY CONTRACT - USD$-4,8110.0%
SWAP/05/20/2029/P:USD 2.39000 /R:USD/LIBOR/3M$-4,8130.1%
CREDIT DEFAULT SWAP, CMBX - CDSCMBX$-5,8540.0%
CREDIT DEFAULT SWAP, CMBX - CDSCMBX$-5,8540.0%
LONG GILT FUTURE BOND 28/JUN/2022 G M2 COMDTY$-7,1640.3%
CREDIT DEFAULT SWAP, CMBX - CDSCMBX$-7,4930.0%
CREDIT DEFAULT SWAP, CMBX - CDSCMBX$-7,7270.0%
CREDIT DEFAULT SWAP, CMBX - CDSCMBX$-7,9610.0%
CREDIT DEFAULT SWAP, CMBX - CDSCMBX$-8,4300.0%
CURRENCY CONTRACT - JPY$-9,4300.0%
CREDIT DEFAULT SWAP, CMBX - CDSCMBX$-9,6000.0%
CREDIT DEFAULT SWAP, CMBX - CDSCMBX$-10,0690.0%
CREDIT DEFAULT SWAP, CMBX - CDSCMBX$-10,3030.0%
CREDIT DEFAULT SWAP, CMBX - CDSCMBX$-10,3030.0%
CREDIT DEFAULT SWAP, CMBX - CDSCMBX$-10,7710.0%
CREDIT DEFAULT SWAP, CMBX - CDSCMBX$-11,7080.0%
CREDIT DEFAULT SWAP, CMBX - CDSCMBX$-12,1760.0%
GOLD 100 OZ FUTR PRECIOUS METAL 28/JUN/2022 GCM2$-13,135-0.1%
CREDIT DEFAULT SWAP, CMBX - CDSCMBX$-14,0490.0%
CREDIT DEFAULT SWAP, CMBX - CDSCMBX$-16,1570.0%
YEN$-16,4540.0%
CURRENCY CONTRACT - USD$-16,946-0.1%
SWAPTION/EUROPEAN/01/31/2023/02/02/2025/P:USD/SOFR/1D /R:USD 1.42750$-17,5160.4%
CREDIT DEFAULT SWAP, CMBX - CDSCMBX$-17,5620.0%
CREDIT DEFAULT SWAP, CMBX - CDSCMBX$-18,1300.0%
SWAP/03/15/2031/P:EUR/HICPXT/1M /R:EUR 1.38000$-20,3150.0%
CREDIT DEFAULT SWAP, CMBX - CDSCMBX$-23,0400.0%
EURO-BOBL PUT EUR 131.5 22/APR/2022 (OEK2P 131.50$-25,3920.0%
SWAP/03/15/2036/P:GBP/UKRPI/1M /R:GBP 3.58000$-26,8750.0%
CURRENCY CONTRACT - JPY$-28,8010.1%
SWAP/11/10/2045/P:USD 2.72100 /R:USD/LIBOR/3M$-35,1220.0%
US DOLLAR$-35,2710.0%
SWAP/03/15/2031/P:EUR/HICPXT/1M /R:EUR 1.38000$-40,6480.0%
SWAP/03/15/2031/P:EUR/HICPXT/1M /R:EUR 1.38000$-40,6480.0%
SWAP/03/15/2031/P:EUR/HICPXT/1M /R:EUR 1.38000$-40,6480.0%
US ULTRA BOND CBT BOND 21/JUN/2022 WNM2 COMDTY$-43,8450.3%
SWAP/11/15/2034/P:EUR/FRCPI/1M /R:EUR 1.28000$-44,0870.0%
SWAP/03/15/2036/P:GBP/UKRPI/1M /R:GBP 3.58000$-53,7510.0%
SWAP/03/15/2036/P:GBP/UKRPI/1M /R:GBP 3.58000$-53,7510.0%
SWAP/03/15/2036/P:GBP/UKRPI/1M /R:GBP 3.58000$-53,7510.0%
SWAP/03/15/2036/P:GBP/UKRPI/1M /R:GBP 3.56600$-54,4750.0%
CREDIT DEFAULT SWAP, CMBX - CDSCMBX$-64,1390.0%
CURRENCY CONTRACT - USD$-69,752-0.1%
SWEDISH KRONA$-94,5570.0%
SWAP/03/15/2031/P:EUR/HICPXT/1M /R:EUR 1.38000$-101,5770.1%
CURRENCY CONTRACT - USD$-102,648-0.6%
CURRENCY CONTRACT - USD$-131,231-0.3%
BUY PROTECTION ON CDX.NA.HY.38-V1.JUN.2027$-137,2130.2%
EURO-BUND FUTURE BOND 08/JUN/2022 RXM2 COMDTY$-151,5280.2%
CURRENCY CONTRACT - USD$-171,245-0.3%
CURRENCY CONTRACT - USD$-186,258-0.3%
SWAPTION/EUROPEAN/11/04/2022/11/08/2032/P:EUR 0.00000 /R:EUR/EURIBOR/6M$-194,2480.2%
SWAP/02/15/2031/P:GBP/UKRPI/1M /R:GBP 3.62400$-210,9570.1%
SWAPTION/EUROPEAN/11/02/2022/11/04/2032/P:EUR 0.00000 /R:EUR/EURIBOR/6M$-251,1370.2%
US 10YR ULTRA FUT BOND 21/JUN/2022 UXYM2 COMDTY$-262,0910.0%
SWAPTION/EUROPEAN/11/02/2022/11/04/2032/P:EUR 0.00000 /R:EUR/EURIBOR/6M$-332,1850.2%
EURO$-348,2160.0%
US 10YR NOTE (CBT) BOND 21/JUN/2022 TYM2 COMDTY$-374,8391.0%
CURRENCY CONTRACT - USD$-389,506-0.6%
SWAP/08/15/2030/P:GBP/UKRPI/1M /R:GBP 3.47500$-455,8300.2%
US 2YR NOTE (CBT) BOND 30/JUN/2022 TUM2 COMDTY$-669,3255.1%
US DOLLAR$-1,211,000-0.1%
US 5YR NOTE (CBT) BOND 30/JUN/2022 FVM2 COMDTY$-1,554,9805.6%
US DOLLAR$-17,685,238-1.6%
All Holdings As of Feb 28, 2022
Exchange-Traded Funds
Underlying Fund HoldingsMarket Value%
INVESCO DB AGRICULTURE FUND ETP USD$2,511,6000.2%
INVESCO DB BASE METALS FUND ETP USD$1,465,8000.1%
ISHARES SILVER TRUST ETP USD$678,6000.1%
INVESCO DB OIL FUND ETP USD$284,9400.0%
 
Fixed Income
Underlying Fund HoldingsMarket Value%
UNITED STATES OF AMERICA NOTES .125% 07/15/2031$80,960,3187.2%
UNITED STATES OF AMERICA NOTES .625% 04/15/2023$37,158,8063.3%
UNITED STATES OF AMERICA NOTES .125% 01/15/2032$33,289,0992.9%
UNITED STATES OF AMERICA NOTES .125% 10/15/2026$33,167,3272.9%
UNITED STATES OF AMERICA NOTES .5% 01/15/2028$25,476,6532.3%
UNITED STATES OF AMERICA NOTES .125% 01/15/2031$22,683,7042.0%
UNITED STATES OF AMERICA NOTES .125% 10/15/2024$19,774,8061.8%
UNITED STATES OF AMERICA NOTES .125% 07/15/2026$19,440,4781.7%
UNITED STATES OF AMERICA NOTES .125% 04/15/2025$19,179,5851.7%
UNITED STATES OF AMERICA BOND 2.125% 02/15/2041$19,039,9801.7%
UNITED STATES OF AMERICA NOTES .5% 04/15/2024$18,891,9631.7%
UNITED STATES OF AMERICA NOTES .875% 01/15/2029$17,853,8481.6%
UNITED STATES OF AMERICA BOND .75% 02/15/2045$17,526,7581.6%
UNITED STATES OF AMERICA NOTES .375% 01/15/2027$16,110,9471.4%
UNITED STATES OF AMERICA BOND .625% 02/15/2043$15,424,8671.4%
UNITED STATES OF AMERICA NOTES .75% 07/15/2028$15,095,5371.3%
UNITED STATES OF AMERICA BOND .125% 02/15/2052$14,912,6631.3%
UNITED STATES OF AMERICA BOND 1% 02/15/2046$14,762,8961.3%
UNITED STATES OF AMERICA NOTES .625% 01/15/2026$14,410,2661.3%
UNITED STATES OF AMERICA NOTES .25% 07/15/2029$14,205,6861.3%
UNITED STATES OF AMERICA NOTES .25% 01/15/2025$13,433,0311.2%
UNITED STATES OF AMERICA NOTES .125% 01/15/2030$12,398,1831.1%
UNITED STATES OF AMERICA BOND .125% 02/15/2051$12,305,4991.1%
UNITED STATES OF AMERICA NOTES .125% 01/15/2023$12,115,1481.1%
UNITED STATES OF AMERICA BOND 2.5% 01/15/2029$11,455,0931.0%
UNITED STATES OF AMERICA NOTES .125% 10/15/2025$11,375,6311.0%
UNITED STATES OF AMERICA NOTES .625% 01/15/2024$10,085,3650.9%
UNITED STATES OF AMERICA NOTES .125% 07/15/2030$9,528,0780.8%
UNITED STATES OF AMERICA BOND 1.375% 02/15/2044$9,044,5010.8%
UNITED STATES OF AMERICA BOND .75% 02/15/2042$8,958,1440.8%
UNITED STATES OF AMERICA BOND .875% 02/15/2047$8,755,4540.8%
UNITED STATES OF AMERICA BOND 1% 02/15/2048$8,458,0280.8%
UNITED STATES OF AMERICA BOND 2.375% 01/15/2025$7,687,7760.7%
UNITED STATES OF AMERICA BOND 3.625% 04/15/2028$6,589,7700.6%
UNITED STATES OF AMERICA BOND 3.875% 04/15/2029$5,778,3800.5%
UNITED STATES OF AMERICA NOTES .375% 07/15/2025$5,498,8690.5%
UNITED STATES OF AMERICA NOTES .125% 07/15/2022$5,361,2790.5%
UNITED STATES OF AMERICA NOTES .125% 04/15/2022$5,057,4620.5%
UNITED STATES OF AMERICA BOND 1.75% 01/15/2028$4,703,4970.4%
REPUBLIC OF ITALY BOND 1.4% 05/26/2025$4,589,1150.4%
UNITED STATES OF AMERICA NOTES .375% 07/15/2027$4,380,2820.4%
UNITED STATES OF AMERICA NOTES .125% 04/15/2026$3,744,4990.3%
NYKREDIT REALKREDIT AS 1.5% 10/01/2053$3,370,3290.3%
REPUBLIC OF SOUTH AFRICA BOND 8% 01/31/2030$3,145,6750.3%
UNITED STATES OF AMERICA BOND 2.125% 02/15/2040$3,055,8670.3%
UNITED STATES OF AMERICA BOND .25% 02/15/2050$2,933,2320.3%
UNITED STATES OF AMERICA BOND 1% 02/15/2049$2,615,7900.2%
REPUBLIC OF ITALY BOND .417% 05/15/2030$2,550,1330.2%
TBA UMBS SINGLE FAMILY 30YR 2.5 3/22$2,340,4040.2%
REPUBLIC OF ITALY BOND .102% 05/15/2033$1,860,6740.2%
FEDERAL NATIONAL MORTGAGE ASSOCIATION 3% 02/01/2052$1,853,9550.2%
UNITED STATES OF AMERICA BOND 2% 01/15/2026$1,724,2240.2%
NORDEA KREDIT REALKREDITAKTIESELSKAB 1.5% 10/01/2053$1,702,0270.2%
JAPAN BOND .1% 03/10/2029$1,674,6410.2%
FEDERATIVE REPUBLIC OF BRAZIL BOND 10% 01/01/2027$1,395,1140.1%
TBA UMBS SINGLE FAMILY 30YR 3 3/22$1,308,7570.1%
UNITED MEXICAN STATES BOND 7.5% 06/03/2027$1,301,4110.1%
UNICREDIT SPA 7.83% 12/04/2023$1,298,6980.1%
AREIT 2022-CRE6 TRUST 1.298% 11/17/2024$1,078,5790.1%
MORGAN STANLEY 8% 04/25/2023$1,075,3850.1%
REGATTA XX FUNDING LTD 1.401% 10/15/2034$918,3710.1%
MAGNETITE XXVI LTD 1.378% 07/25/2034$897,0390.1%
BFLD TRUST 1.791% 06/15/2038$849,7320.1%
JAPAN BOND .005% 03/10/2031$828,6490.1%
FREDDIE MAC STACR REMIC TRUST 2021-DNA6 1.549% 10/25/2041$787,6060.1%
PRUDENTIAL FINANCIAL INC 5.875% 09/15/2042$770,3850.1%
CONNECTICUT AVENUE SECURITIES TRUST 2022-R01 1.949% 12/25/2041$769,1500.1%
FREDDIE MAC STRUCTURED AGENCY CREDIT RISK DEBT NOTES 1.849% 11/25/2041$768,2090.1%
SUZANO AUSTRIA GMBH 2.5% 09/15/2028$753,7250.1%
AFFIRM ASSET SECURITIZATION TRUST 2022-X1 1.75% 02/15/2027$750,3710.1%
CITIZENS FINANCIAL GROUP INC 4.3% 12/03/2025$749,5130.1%
SLM STUDENT LOAN TRUST 2004-10 .858% 10/25/2029$743,0590.1%
CONN'S RECEIVABLES FUNDING 2021-A LLC 1.05% 05/15/2026$710,1670.1%
AVANT LOANS FUNDING TRUST 2021-REV1 1.21% 07/15/2030$703,1740.1%
CONNECTICUT AVENUE SECURITIES TRUST 2022-R02 1.249% 01/25/2042$667,0970.1%
DIAMOND ISSUER 2.305% 11/20/2051$621,8700.1%
JAPAN BOND .101% 03/10/2028$615,8920.1%
CCO HOLDINGS LLC / CCO HOLDINGS CAPITAL CORP 4.75% 02/01/2032$600,1160.1%
BELLEMEADE RE 2021-3 LTD 1.049% 09/25/2031$595,2760.1%
FREDDIE MAC STRUCTURED AGENCY CREDIT RISK DEBT NOTES 2.449% 02/25/2042$589,8630.1%
MORGAN STANLEY 8% 06/09/2023$557,5780.1%
OAKTOWN RE VII LTD 1.649% 04/25/2034$554,5030.1%
ENBRIDGE ENERGY PARTNERS LP 7.375% 10/15/2045$546,0880.1%
LAS VEGAS SANDS CORP 3.9% 08/08/2029$537,7340.1%
MADISON PARK FUNDING LI LTD 3.298% 07/19/2034$532,1780.1%
NEUBERGER BERMAN LOAN ADVISERS CLO 43 LTD 1.371% 07/17/2035$531,8950.1%
CITIGROUP COMMERCIAL MORTGAGE TRUST 2015-GC27 3.137% 02/10/2048$527,0900.1%
DIGITAL REALTY TRUST LP 3.6% 07/01/2029$525,0330.1%
FREDDIE MAC STACR REMIC TRUST 2021-HQA4 2.399% 12/25/2041$491,6050.0%
PIKES PEAK CLO 8 3.354% 07/20/2034$490,9330.0%
FISERV INC 3.5% 07/01/2029$488,9400.0%
TENCENT HOLDINGS LTD 2.39% 06/03/2030$483,7480.0%
WEIBO CORP 3.375% 07/08/2030$482,5360.0%
AERCAP IRELAND CAPITAL DAC / AERCAP GLOBAL AVIATION TRUST 3.3% 01/30/2032$478,8560.0%
NEIGHBORLY ISSUER 2022-1 3.695% 01/30/2052$477,4550.0%
BELLEMEADE RE LTD 1.549% 06/25/2031$472,9890.0%
PLAINS ALL AMERICAN PIPELINE LP / PAA FINANCE CORP 3.55% 12/15/2029$472,3190.0%
MORGAN STANLEY 8% 05/17/2023$471,5580.0%
OCTANE RECEIVABLES TRUST 2021-2 2.02% 09/20/2028$469,1740.0%
KYNDRYL HOLDINGS INC 2.05% 10/15/2026$467,2180.0%
SOCIETE GENERALE SA 2.797% 01/19/2028$464,3870.0%
HERTZ VEHICLE FINANCING III LLC 2.63% 06/25/2026$464,2520.0%
CPS AUTO RECEIVABLES TRUST 2022-A 2.17% 04/16/2029$463,0750.0%
CARNIVAL CORP 4% 08/01/2028$462,5710.0%
BAIDU INC 1.625% 02/23/2027$458,6830.0%
LAD AUTO RECEIVABLES TRUST 2021-1 1.3% 08/17/2026$456,1880.0%
DISH DBS CORP 5.25% 12/01/2026$452,7880.0%
WESTERN DIGITAL CORP 3.1% 02/01/2032$446,6500.0%
AB ISSUER LLC 3.734% 07/30/2051$445,8460.0%
ADVANCE AUTO PARTS INC 3.9% 04/15/2030$443,9880.0%
ROCKFORD TOWER CLO 2021-2 LTD 1.414% 07/20/2034$435,5250.0%
AGL CLO 12 LTD 3.104% 07/20/2034$435,0760.0%
UNITED STATES OF AMERICA BOND 3.375% 04/15/2032$434,6280.0%
BBCMS 2020-BID MORTGAGE TRUST 2.331% 10/15/2037$434,5270.0%
BALLYROCK CLO 16 LTD 3.154% 07/20/2034$430,1980.0%
OCHSNER LSU HEALTH SYSTEM OF NORTH LOUISIANA 2.51% 05/15/2031$428,3890.0%
ALIBABA GROUP HOLDING LTD 2.125% 02/09/2031$424,2850.0%
FREDDIE MAC STRUCTURED AGENCY CREDIT RISK DEBT NOTES 2.837% 12/25/2029$422,0510.0%
UNIVERSITY OF CALIFORNIA 3.071% 05/15/2051$421,4470.0%
AIRCASTLE LTD 4.25% 06/15/2026$418,6790.0%
CONTINENTAL RESOURCES INC/OK 2.875% 04/01/2032$412,1010.0%
FREDDIE MAC STACR REMIC TRUST 2022-DNA1 1.899% 01/25/2042$408,8690.0%
CPS AUTO RECEIVABLES TRUST 2021-C 1.69% 06/15/2027$407,8990.0%
UPSTART SECURITIZATION TRUST 2021-3 1.66% 07/20/2031$406,1050.0%
BX COMMERCIAL MORTGAGE TRUST 2019-IMC 2.341% 04/15/2034$402,9210.0%
NISSAN MOTOR CO LTD 4.345% 09/17/2027$401,8200.0%
MOODY'S CORP 4.25% 02/01/2029$400,9070.0%
COMM 2015-CCRE22 MORTGAGE TRUST 3.309% 03/10/2048$398,5470.0%
CREDIT SUISSE GROUP AG 6.375% CALLABLE$393,4130.0%
OCP CLO 2020-18 LTD 1.344% 07/20/2032$388,4460.0%
ENA MASTER TRUST 4% 05/19/2048$381,7470.0%
WESTINGHOUSE AIR BRAKE TECHNOLOGIES CORP 4.4% 03/15/2024$381,4690.0%
FLATIRON CLO 21 LTD 3.148% 07/19/2034$375,7560.0%
HARLEY-DAVIDSON FINANCIAL SERVICES INC 3.35% 06/08/2025$374,1050.0%
TRIANGLE RE 2021-3 LTD 1.949% 02/25/2034$372,3150.0%
GLP CAPITAL LP / GLP FINANCING II INC 3.25% 01/15/2032$371,3530.0%
CONTINENTAL RESOURCES INC/OK 5.75% 01/15/2031$369,6690.0%
BAT CAPITAL CORP 2.259% 03/25/2028$366,2490.0%
BAMLL COMMERCIAL MORTGAGE SECURITIES TRUST 2017-SCH 1.191% 11/15/2033$365,3080.0%
BALBOA BAY LOAN FUNDING 2021-1 LTD 1.454% 07/20/2034$364,9450.0%
COMM 2015-CCRE25 MORTGAGE TRUST 3.759% 08/10/2048$363,5100.0%
BNP PARIBAS SA 2.871% 04/19/2032$362,6050.0%
AIR LEASE CORP 4.625% 10/01/2028$359,9470.0%
OLEODUCTO CENTRAL SA 4% 07/14/2027$358,8000.0%
CREDIT SUISSE GROUP AG 3.091% 05/14/2032$356,7820.0%
ELMWOOD CLO IX LTD 3.204% 07/20/2034$356,2350.0%
WELLS FARGO COMMERCIAL MORTGAGE TRUST 2015-SG1 3.789% 09/15/2048$355,4060.0%
CGRBS COMMERCIAL MORTGAGE TRUST 2013-VN05 3.369% 03/13/2035$353,9600.0%
REALKREDIT DANMARK A/S 1% 10/01/2050$345,2590.0%
FEDERAL NATIONAL MORTGAGE ASSOCIATION 2.049% 11/25/2041$343,1660.0%
MVW 2021-2 LLC 1.83% 05/20/2039$336,9330.0%
BELLEMEADE RE 2022-1 LTD 2.199% 01/26/2032$331,7510.0%
ARDAGH METAL PACKAGING FINANCE USA LLC / ARDAGH METAL PACKAGING FINANCE PLC 3.25% 09/01/2028$329,5600.0%
CARVANA AUTO RECEIVABLES TRUST 2021-P4 2.61% 09/11/2028$325,5910.0%
TOBACCO SETTLEMENT FINANCE AUTHORITY 3% 06/01/2035$322,5040.0%
TRANSCANADA PIPELINES LTD 6.1% 06/01/2040$315,9230.0%
CEMEX SAB DE CV 3.875% 07/11/2031$315,0780.0%
COMISION FEDERAL DE ELECTRICIDAD BOND 4.688% 05/15/2029$313,7640.0%
WFRBS COMMERCIAL MORTGAGE TRUST 2014-C19 4.101% 03/15/2047$309,6310.0%
FEDERATION OF MALAYSIA BOND 3.882% 03/10/2022$305,9820.0%
DISH DBS CORP 5.75% 12/01/2028$305,6420.0%
SOCIETE GENERALE SA 8% CALLABLE$304,5380.0%
ING BANK NV 2.625% 12/05/2022$303,2030.0%
DUKE ENERGY CAROLINAS NC STORM FUNDING LLC 2.617% 07/01/2041$297,4970.0%
GOLDENTREE LOAN MANAGEMENT US CLO 7 LTD 1.324% 04/20/2034$296,8130.0%
ORACLE CORP 3.95% 03/25/2051$296,3420.0%
CENCOSUD SA 5.15% 02/12/2025$293,9540.0%
NXP BV / NXP FUNDING LLC 5.55% 12/01/2028$291,3240.0%
NATURA COSMETICOS SA 4.125% 05/03/2028$290,6220.0%
CARVANA AUTO RECEIVABLES TRUST 2021-N3 1.02% 06/12/2028$282,9860.0%
NXP BV / NXP FUNDING LLC / NXP USA INC 3.4% 05/01/2030$282,8770.0%
CREDIT SUISSE GROUP AG 4.194% 04/01/2031$282,7120.0%
ROSS STORES INC 4.7% 04/15/2027$277,4410.0%
AVIS BUDGET RENTAL CAR FUNDING AESOP LLC 3.7% 09/20/2024$277,3970.0%
COMM 2014-UBS4 MORTGAGE TRUST 3.694% 08/10/2047$277,2810.0%
FORD CREDIT AUTO OWNER TRUST 2021-REV1 2.31% 10/17/2033$275,6070.0%
BANK OF AMERICA CORP 3.419% 12/20/2028$275,2940.0%
AERCAP IRELAND CAPITAL DAC / AERCAP GLOBAL AVIATION TRUST 6.5% 07/15/2025$272,2550.0%
NELNET STUDENT LOAN TRUST 2021-C 2.53% 04/20/2062$270,7130.0%
BALLYROCK CLO 15 LTD 3.341% 04/15/2034$269,1280.0%
GLOBAL PAYMENTS INC 3.2% 08/15/2029$267,8170.0%
BERKSHIRE HATHAWAY ENERGY CO 6.125% 04/01/2036$266,3640.0%
MORGAN STANLEY 3.875% 04/29/2024$263,8410.0%
ENGIE ENERGIA CHILE SA 3.4% 01/28/2030$262,8390.0%
MDC HOLDINGS INC 6% 01/15/2043$262,3490.0%
AVIS BUDGET RENTAL CAR FUNDING AESOP LLC 4% 03/20/2025$259,8540.0%
SK HYNIX INC 2.375% 01/19/2031$259,7480.0%
FHF TRUST 2021-2 .83% 12/15/2026$259,7150.0%
CARVANA AUTO RECEIVABLES TRUST 2021-N4 2.3% 09/11/2028$259,4030.0%
CSAIL 2015-C4 COMMERCIAL MORTGAGE TRUST 3.808% 11/15/2048$259,1350.0%
DIAMOND INFRASTRUCTURE FUNDING LLC 2.355% 04/15/2049$258,5120.0%
COLLATERALIZED MTGE OBLIGATION OR GLOBAL CMO 3.629% 03/15/2035$250,1500.0%
DRYDEN 78 CLO LTD 2.191% 04/17/2033$250,1150.0%
AIRCASTLE LTD 2.85% 01/26/2028$249,4680.0%
NYKREDIT REALKREDIT AS 1% 10/01/2053$249,2760.0%
NELNET STUDENT LOAN TRUST 2021-D 2.9% 04/20/2062$249,1850.0%
EAGLE RE 2021-2 LTD 2.099% 04/25/2034$249,0700.0%
INDONESIA ASAHAN ALUMINIUM PERSERO PT BOND 4.75% 05/15/2025$248,5570.0%
NEW MOUNTAIN CLO 3 LTD 1.311% 10/20/2034$248,4980.0%
ELEVATION CLO 2020-11 LTD 2.441% 04/15/2033$247,0220.0%
FOX CORP 4.709% 01/25/2029$246,9440.0%
UNITED STATES OF AMERICA BOND 1.625% 11/15/2050$245,4160.0%
PARKER-HANNIFIN CORP 3.25% 06/14/2029$244,9150.0%
PPM CLO 5 LTD 3.169% 10/18/2034$244,1740.0%
NEUBERGER BERMAN LOAN ADVISERS CLO 42 LTD 3.041% 07/16/2035$243,3200.0%
BROADCOM INC 4.15% 11/15/2030$241,5260.0%
TRANSCANADA PIPELINES LTD 6.2% 10/15/2037$241,3840.0%
ENI SPA 4.25% 05/09/2029$239,3810.0%
GCI FUNDING I LLC 2.38% 06/18/2046$237,2530.0%
NATIONWIDE BUILDING SOCIETY 2.972% 02/16/2028$237,1060.0%
CONNECTICUT AVENUE SECURITIES TRUST 2021-R03 1.699% 12/25/2041$235,6090.0%
JPMBB COMMERCIAL MORTGAGE SECURITIES TRUST 2014-C21 3.775% 08/15/2047$235,5950.0%
SYNCHRONY FINANCIAL 2.875% 10/28/2031$233,3300.0%
KIMBERLY-CLARK DE MEXICO SAB DE CV 2.431% 07/01/2031$233,0720.0%
FREDDIE MAC STACR REMIC TRUST 2021-DNA5 1.699% 01/25/2034$232,7540.0%
CENTENE CORP 2.625% 08/01/2031$232,7300.0%
GS MORTGAGE SECURITIES TRUST 2014-GC22 3.862% 06/10/2047$230,6140.0%
WYNN MACAU LTD 5.625% 08/26/2028$229,4150.0%
GS MORTGAGE SECURITIES TRUST 2011-GC5 5.158% 08/10/2044$229,4140.0%
JPMBB COMMERCIAL MORTGAGE SECURITIES TRUST 2015-C31 3.801% 08/15/2048$228,9570.0%
UNICREDIT SPA 3.127% 06/03/2032$227,1560.0%
MIZUHO FINANCIAL GROUP INC 2.226% 05/25/2026$227,0980.0%
COMM 2015-DC1 MORTGAGE TRUST 3.35% 02/10/2048$225,0590.0%
NATIONWIDE MUTUAL INSURANCE CO 9.375% 08/15/2039$221,8570.0%
BHMS 2018-ATLS 1.441% 07/15/2035$220,9530.0%
DANSKE BANK A/S 3.875% 09/12/2023$220,2230.0%
ZF FINANCE GMBH 3.75% 09/21/2028$218,0060.0%
REALKREDIT DANMARK A/S 1.5% 10/01/2053$217,6450.0%
VORNADO REALTY LP 3.4% 06/01/2031$216,9830.0%
COMISION FEDERAL DE ELECTRICIDAD BOND 3.348% 02/09/2031$215,8100.0%
AFFIRM ASSET SECURITIZATION TRUST 2021-Z2 1.17% 11/16/2026$213,7380.0%
PROSUS NV 3.257% 01/19/2027$212,8720.0%
UBS COMMERCIAL MORTGAGE TRUST 2018-C8 3.983% 02/15/2051$212,7110.0%
ALTRIA GROUP INC 3.4% 05/06/2030$211,8270.0%
AMGEN INC 3.35% 02/22/2032$211,1520.0%
DOMINO'S PIZZA MASTER ISSUER LLC 2.662% 04/25/2051$209,1240.0%
EXPEDIA GROUP INC 4.625% 08/01/2027$207,8130.0%
ALPEK SAB DE CV 5.375% 08/08/2023$207,7130.0%
INTESA SANPAOLO SPA 5.017% 06/26/2024$205,9910.0%
STATE OF QATAR BOND 3.875% 04/23/2023$205,5070.0%
SUMMER BC HOLDCO B SARL 5.75% 10/31/2026$203,8290.0%
BREX COMMERCIAL CHARGE CARD MASTER TRUST 2.09% 07/15/2024$203,4960.0%
BELLEMEADE RE LTD 2.999% 03/25/2031$203,4430.0%
NATWEST GROUP PLC 1.77% 06/25/2024$202,8130.0%
MORGAN STANLEY CAPITAL I TRUST 2016-UBS12 3.596% 12/15/2049$202,4950.0%
PROSUS NV 3.68% 01/21/2030$202,1190.0%
DOMINICAN REPUBLIC BOND 4.875% 09/23/2032$201,6650.0%
TK ELEVATOR MIDCO GMBH 4.375% 07/15/2027$201,6060.0%
WORLD FINANCIAL NETWORK CREDIT CARD MASTER TRUST 3.04% 04/15/2026$201,3710.0%
FORD MOTOR CREDIT CO LLC 3.55% 10/07/2022$201,3700.0%
ADIENT GLOBAL HOLDINGS LTD 3.5% 08/15/2024$200,0150.0%
PMT CREDIT RISK TRANSFER TRUST 2019-2R 2.858% 05/27/2023$199,7820.0%
MSCG TRUST 2018-SELF 1.091% 10/15/2037$198,6370.0%
EAGLE RE 2020-1 LTD 1.087% 01/25/2030$198,6100.0%
NH HOTEL GROUP SA 4% 07/02/2026$198,5050.0%
GOLDMAN SACHS GROUP INC/THE 8.4% 08/30/2023$196,6560.0%
GS MORTGAGE SECURITIES CORP TRUST 2019-BOCA 1.391% 06/15/2038$195,7850.0%
MICRON TECHNOLOGY INC 4.185% 02/15/2027$194,5950.0%
DEUTSCHE BANK AG/NEW YORK NY 3.961% 11/26/2025$194,3970.0%
GS MORTGAGE SECURITIES TRUST 2013-G1 3.557% 04/10/2031$193,8910.0%
PRUDENTIAL FINANCIAL INC 5.2% 03/15/2044$193,6800.0%
LORCA TELECOM BONDCO SA 4% 09/18/2027$193,6290.0%
APCOA PARKING HOLDINGS GMBH 4.625% 01/15/2027$192,3970.0%
SLM CORP 4.2% 10/29/2025$188,1610.0%
CLNY TRUST 2019-IKPR 2.216% 11/15/2038$186,7030.0%
WELLS FARGO & CO 3.584% 05/22/2028$186,0460.0%
GSF MORTGAGE CORP 2.435% 08/15/2026$185,6650.0%
VZ VENDOR FINANCING II BV 2.875% 01/15/2029$185,3650.0%
ENERGY TRANSFER LP 6.25% 04/15/2049$185,1490.0%
INTERPUBLIC GROUP OF COS INC/THE 4.65% 10/01/2028$184,7260.0%
ALTICE FRANCE SA/FRANCE 3.375% 01/15/2028$184,3890.0%
RADNOR RE 2020-1 LTD 1.137% 01/25/2030$183,8200.0%
REPUBLIC OF COLOMBIA BOND 3.125% 04/15/2031$183,4360.0%
NOBEL BIDCO BV 3.125% 06/15/2028$182,8670.0%
GLENCORE FUNDING LLC 4% 03/27/2027$180,5150.0%
ALTICE FINANCING SA 3% 01/15/2028$180,0790.0%
BX TRUST 2018-EXCL 1.279% 09/15/2037$179,2180.0%
AVIATION CAPITAL GROUP LLC 1.95% 01/30/2026$178,1590.0%
FEDERAL NATIONAL MORTGAGE ASSOCIATION 4% 12/25/2050$176,4670.0%
ATALAYA EQUIPMENT LEASING TRUST 21-1 .326% 11/15/2022$175,2030.0%
STANDARD CHARTERED PLC 1.809% CALLABLE$175,0200.0%
COLLEGE AVE STUDENT LOANS 2021-C LLC 2.72% 07/26/2055$172,1540.0%
BELLEMEADE RE 2019-3 LTD 1.787% 07/25/2029$169,6800.0%
CITIGROUP INC 5.95% CALLABLE$169,0880.0%
WELLS FARGO COMMERCIAL MORTGAGE TRUST 2016-NXS6 4.393% 11/15/2049$166,3000.0%
MORGAN STANLEY 2.943% 01/21/2033$162,7050.0%
LIMA METRO LINE 2 FINANCE LTD 5.875% 07/05/2034$162,3700.0%
UBS COMMERCIAL MORTGAGE TRUST 2018-C10 4.313% 05/15/2051$162,0260.0%
CITY OF NEW YORK NY 1.923% 08/01/2031$160,2560.0%
GS MORTGAGE SECURITIES CORP TRUST 2019-SMP 1.341% 08/15/2032$158,9430.0%
CSAIL 2015-C2 COMMERCIAL MORTGAGE TRUST 3.504% 06/15/2057$158,6840.0%
UBS COMMERCIAL MORTGAGE TRUST 3.203% 10/15/2052$157,8830.0%
CFCRE COMMERCIAL MORTGAGE TRUST 2016-C4 3.283% 05/10/2058$157,4580.0%
EMBRAER NETHERLANDS FINANCE BV 5.4% 02/01/2027$156,6420.0%
FEDERAL NATIONAL MORTGAGE ASSOCIATION 3.737% 07/25/2029$155,3900.0%
WELLS FARGO COMMERCIAL MORTGAGE TRUST 2016-LC25 4.34% 12/15/2059$150,2710.0%
PORT AUTHORITY OF NEW YORK & NEW JERSEY 1.086% 07/01/2023$149,4860.0%
AMERICAN WATER CAPITAL CORP 3.45% 06/01/2029$145,6980.0%
AIRCASTLE LTD 5.25% 08/11/2025$145,2420.0%
SANTANDER HOLDINGS USA INC 2.49% 01/06/2028$144,8230.0%
DELTA AIR LINES INC / SKYMILES IP LTD 4.75% 10/20/2028$144,0480.0%
AVIATION CAPITAL GROUP LLC 5.5% 12/15/2024$141,5500.0%
NEIGHBORLY ISSUER LLC 3.584% 04/30/2051$139,4730.0%
ATALAYA EQUIPMENT LEASING TRUST 21-1 2.08% 02/15/2027$138,9700.0%
BROADCOM INC 4.11% 09/15/2028$137,7720.0%
BX COMMERCIAL MORTGAGE TRUST 2019-IMC 1.191% 04/15/2034$137,5910.0%
MISSION LANE CREDIT CARD MASTER TRUST 2.24% 09/15/2026$137,1720.0%
FREDDIE MAC STACR REMIC TRUST 2020-DNA5 2.849% 10/25/2050$136,2630.0%
CAJUN GLOBAL LLC 3.931% 11/20/2051$135,6220.0%
FEDERAL HOME LOAN MORTGAGE CORP 4.5% 11/25/2050$135,2490.0%
CITIGROUP COMMERCIAL MORTGAGE TRUST 2016-GC36 3.616% 02/10/2049$134,1500.0%
AFFIRM ASSET SECURITIZATION TRUST 2021-Z1 1.07% 08/15/2025$134,1130.0%
COMM 2015-CCRE24 MORTGAGE TRUST 3.696% 08/10/2048$134,0380.0%
FEDERAL HOME LOAN MORTGAGE CORP 5.913% 06/25/2050$131,8460.0%
CITIGROUP INC 3.98% 03/20/2030$131,6590.0%
INEOS QUATTRO FINANCE 2 PLC 2.5% 01/15/2026$130,3630.0%
JPMBB COMMERCIAL MORTGAGE SECURITIES TRUST 2015-C30 3.822% 07/15/2048$129,8130.0%
HARDEE'S FUNDING LLC 3.981% 12/20/2050$128,9030.0%
SYNCHRONY FINANCIAL 4.5% 07/23/2025$128,1380.0%
WELLS FARGO & CO 1% 03/02/2033$127,7160.0%
CITIGROUP INC 4.15% CALLABLE$127,1810.0%
CLARIOS GLOBAL LP / CLARIOS US FINANCE CO 4.375% 05/15/2026$126,7730.0%
HARDEE'S FUNDING LLC 5.71% 06/20/2048$124,8680.0%
LSTAR COMMERCIAL MORTGAGE TRUST 2016-4 2.579% 03/10/2049$123,5070.0%
RADNOR RE 2019-2 LTD 1.937% 06/25/2029$123,3370.0%
JYSKE REALKREDIT A/S 1.5% 10/01/2053$122,3840.0%
DELTA AIR LINES INC / SKYMILES IP LTD 4.5% 10/20/2025$121,9780.0%
JPMORGAN CHASE & CO 3.769% CALLABLE$121,6550.0%
CITIGROUP COMMERCIAL MORTGAGE TRUST 2017-P8 3.789% 09/15/2050$121,0480.0%
BROADCOM INC 3.187% 11/15/2036$120,8600.0%
NORDEA KREDIT REALKREDITAKTIESELSKAB 1% 10/01/2050$119,9410.0%
CSAIL 2015-C3 COMMERCIAL MORTGAGE TRUST 3.718% 08/15/2048$119,8100.0%
NATIXIS COMMERCIAL MORTGAGE SECURITIES TRUST 2019-MILE 1.691% 07/15/2036$119,4790.0%
BELLEMEADE RE 2019-1 LTD 1.937% 03/25/2029$118,9890.0%
BCP TRUST 2021-330N .99% 06/15/2038$117,5050.0%
AVIATION CAPITAL GROUP LLC 1.95% 09/20/2026$116,0060.0%
ASHFORD HOSPITALITY TRUST 2018-KEYS 1.191% 06/15/2035$112,3780.0%
PLAYTECH PLC 4.25% 03/07/2026$112,0110.0%
DELL INTERNATIONAL LLC / EMC CORP 6.02% 06/15/2026$110,5470.0%
AFFIRM ASSET SECURITIZATION TRUST 2020-A 2.1% 02/18/2025$110,0680.0%
DEUTSCHE LUFTHANSA AG 3% 05/29/2026$109,2490.0%
DBWF 2018-GLKS MORTGAGE TRUST 1.192% 12/19/2030$108,4500.0%
CABLE ONE INC 4% 11/15/2030$106,5180.0%
TEVA PHARMACEUTICAL FINANCE NETHERLANDS II BV 3.75% 05/09/2027$105,2570.0%
ORGANON & CO / ORGANON FOREIGN DEBT CO-ISSUER BV 2.875% 04/30/2028$105,0640.0%
INVITATION HOMES 2018-SFR2 TRUST 1.471% 06/17/2037$105,0200.0%
FEDERAL NATIONAL MORTGAGE ASSOCIATION 4.637% 01/25/2029$103,9880.0%
CITIGROUP COMMERCIAL MORTGAGE TRUST 2015-GC35 3.818% 11/10/2048$103,7880.0%
CONNECTICUT AVENUE SECURITIES TRUST 2020-R01 2.237% 01/25/2040$102,3390.0%
IQVIA INC 2.25% 03/15/2029$102,1310.0%
RADNOR RE 2019-1 LTD 2.137% 02/25/2029$101,7050.0%
IHS MARKIT LTD 4.25% 05/01/2029$101,2360.0%
CCO HOLDINGS LLC / CCO HOLDINGS CAPITAL CORP 4.5% 06/01/2033$99,5310.0%
BX COMMERCIAL MORTGAGE TRUST 2019-IMC 2.091% 04/15/2034$98,0160.0%
CIGNA CORP 4.375% 10/15/2028$97,6580.0%
MARATHON PETROLEUM CORP 6.5% 03/01/2041$97,5250.0%
STACR TRUST 2018-DNA3 2.287% 09/25/2048$96,5460.0%
FREDDIE MAC STACR TRUST 2019-FTR2 2.337% 11/25/2048$96,2040.0%
VOYA CLO 2019-1 LTD 3.091% 04/15/2031$95,8450.0%
ROYAL CARIBBEAN CRUISES LTD 11.5% 06/01/2025$93,9990.0%
INFOR INC 1.75% 07/15/2025$93,9570.0%
BAMLL COMMERCIAL MORTGAGE SECURITIES TRUST 2013-WBRK 3.534% 03/10/2037$93,6230.0%
WELLS FARGO & CO 3.9% CALLABLE$92,4600.0%
FEDERAL HOME LOAN MORTGAGE CORP 4% 09/25/2050$90,3240.0%
GSF MORTGAGE CORP 1.433% 08/15/2026$89,7870.0%
SANTANDER HOLDINGS USA INC 4.4% 07/13/2027$89,6040.0%
CITIGROUP INC 4% CALLABLE$88,1430.0%
BANK OF AMERICA CORP 7.859% 10/09/2024$87,6360.0%
FEDERAL HOME LOAN MORTGAGE CORP 3.5% 12/25/2050$85,8600.0%
FREDDIE MAC STACR 2019-HQA3 2.037% 09/25/2049$85,2630.0%
FEDERAL NATIONAL MORTGAGE ASSOCIATION 5.863% 04/25/2044$83,3370.0%
NYKREDIT REALKREDIT AS 2% 10/01/2053$83,1460.0%
BELLEMEADE RE 2018-3 LTD 2.037% 10/25/2028$81,6290.0%
HOME RE 2020-1 LTD 3.437% 10/25/2030$79,3400.0%
PRUDENTIAL FINANCIAL INC 5.375% 05/15/2045$70,8910.0%
BAT CAPITAL CORP 2.726% 03/25/2031$70,6210.0%
TRAINGLE RE 2020-1 LTD 4.087% 10/25/2030$69,0810.0%
CONNECTICUT AVENUE SECURITIES TRUST 2020-R02 2.187% 01/25/2040$68,8250.0%
FEDERAL NATIONAL MORTGAGE ASSOCIATION 6.013% 12/25/2047$68,1800.0%
JPMBB COMMERCIAL MORTGAGE SECURITIES TRUST 2014-C21 4.341% 08/15/2047$65,5600.0%
DISCOVERY COMMUNICATIONS LLC 5.2% 09/20/2047$63,1930.0%
ASSET BACKED SECURITIES CORP HOME EQUITY LOAN TRUST SERIES OOMC 2006-HE3 .517% 03/25/2036$63,0460.0%
CITIGROUP INC 8.036% 09/29/2024$62,0800.0%
FEDERAL HOME LOAN MORTGAGE CORP 5.863% 02/25/2050$61,1920.0%
FREDDIE MAC STACR REMIC TRUST 2020-DNA1 1.887% 01/25/2050$60,6750.0%
JPMORGAN CHASE & CO 3.534% CALLABLE$59,7000.0%
FEDERAL NATIONAL MORTGAGE ASSOCIATION 6.013% 10/25/2047$57,6250.0%
AVIATION CAPITAL GROUP LLC 4.875% 10/01/2025$56,6320.0%
AIRCASTLE LTD 4.125% 05/01/2024$55,2880.0%
TRAINGLE RE 2021-1 LTD 3.187% 08/25/2033$54,7550.0%
FEDERAL HOME LOAN MORTGAGE CORP 5.959% 06/15/2047$54,2140.0%
ALTRIA GROUP INC 4.8% 02/14/2029$51,9120.0%
JPMORGAN CHASE & CO 8.286% 12/20/2023$51,8050.0%
INVITATION HOMES 2018-SFR3 TRUST 1.42% 07/17/2037$50,2580.0%
PMT CREDIT RISK TRANSFER TRUST 2020-1R 2.581% 02/27/2023$47,0970.0%
FEDERAL NATIONAL MORTGAGE ASSOCIATION 5.963% 08/25/2047$47,0100.0%
SUZANO AUSTRIA GMBH 3.75% 01/15/2031$46,9000.0%
GENERAL MOTORS CO 6.125% 10/01/2025$46,4990.0%
AVIATION CAPITAL GROUP LLC 3.5% 11/01/2027$45,4980.0%
FEDERAL NATIONAL MORTGAGE ASSOCIATION 4.537% 05/25/2029$44,8650.0%
AVIATION CAPITAL GROUP LLC 4.375% 01/30/2024$44,0810.0%
FREDDIE MAC MULTIFAMILY STRUCTURED CREDIT RISK 2.049% 01/25/2051$43,9550.0%
ONEOK INC 6.35% 01/15/2031$43,9430.0%
VOLCAN CIA MINERA SAA 4.375% 02/11/2026$43,0490.0%
CONSUMER LOAN UNDERLYING BOND CLUB CREDIT TRUST 2020-P1 2.92% 03/15/2028$42,1610.0%
CONNECTICUT AVENUE SECURITIES TRUST 2019-R07 2.287% 10/25/2039$42,0520.0%
UPSTART SECURITIZATION TRUST 2020-3 1.702% 11/20/2030$41,8590.0%
WESTINGHOUSE AIR BRAKE TECHNOLOGIES CORP 3.2% 06/15/2025$41,4070.0%
FEDERAL NATIONAL MORTGAGE ASSOCIATION 5.913% 12/25/2044$41,3880.0%
FEDERAL NATIONAL MORTGAGE ASSOCIATION 4.437% 04/25/2029$40,4900.0%
FEDERAL NATIONAL MORTGAGE ASSOCIATION 4.187% 05/25/2025$39,7880.0%
FEDERAL NATIONAL MORTGAGE ASSOCIATION 5.813% 10/25/2046$39,2050.0%
AT&T INC 4.3% 12/15/2042$35,6820.0%
GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 6.038% 09/20/2047$35,1030.0%
ONEOK PARTNERS LP 6.125% 02/01/2041$34,9140.0%
BROADCOM INC 3.137% 11/15/2035$34,3050.0%
FREDDIE MAC STACR TRUST 2019-DNA4 2.137% 10/25/2049$33,7660.0%
DISCOVERY COMMUNICATIONS LLC 5.3% 05/15/2049$31,5440.0%
CCO HOLDINGS LLC / CCO HOLDINGS CAPITAL CORP 4.5% 08/15/2030$30,8730.0%
GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 6.038% 08/20/2047$28,8710.0%
FEDERAL NATIONAL MORTGAGE ASSOCIATION 5.887% 04/25/2028$28,1690.0%
FEDERAL NATIONAL MORTGAGE ASSOCIATION 6.353% 12/25/2041$28,1500.0%
AIR LEASE CORP 2.875% 01/15/2026$25,9140.0%
IHS MARKIT LTD 4.75% 08/01/2028$22,5960.0%
DISCOVERY COMMUNICATIONS LLC 4.65% 05/15/2050$22,5370.0%
MARRIOTT INTERNATIONAL INC/MD 5.75% 05/01/2025$21,8990.0%
PLAINS ALL AMERICAN PIPELINE LP / PAA FINANCE CORP 4.5% 12/15/2026$20,2810.0%
CONNECTICUT AVENUE SECURITIES TRUST 2019-R06 2.287% 09/25/2039$18,4340.0%
FEDERAL NATIONAL MORTGAGE ASSOCIATION 5.187% 07/25/2025$16,3070.0%
AT&T INC 5.15% 03/15/2042$15,8710.0%
FREDDIE MAC STACR TRUST 2019-DNA3 2.237% 07/25/2049$15,6480.0%
FLAGSHIP CREDIT AUTO TRUST 2019-3 2.33% 02/15/2024$15,0360.0%
CENOVUS ENERGY INC 4.25% 04/15/2027$14,8170.0%
AIR LEASE CORP 3.625% 04/01/2027$14,3190.0%
REALKREDIT DANMARK A/S 2% 10/01/2053$14,2090.0%
TERRAFORM GLOBAL OPERATING LLC 6.125% 03/01/2026$14,0090.0%
GUARDIAN LIFE INSURANCE CO OF AMERICA/THE 4.85% 01/24/2077$12,7590.0%
GSF MORTGAGE CORP 2.638% 08/15/2026$11,8030.0%
FIRST INVESTORS AUTO OWNER TRUST 2020-1 1.49% 01/15/2025$7,3270.0%
AT&T INC 3.5% 09/15/2053$6,4110.0%
EXPEDIA GROUP INC 6.25% 05/01/2025$5,4930.0%
CONNECTICUT AVENUE SECURITIES TRUST 2019-R04 2.287% 06/25/2039$3,8040.0%
AVIATION CAPITAL GROUP LLC 4.125% 08/01/2025$3,0620.0%
CONNECTICUT AVENUE SECURITIES TRUST 2019-R05 2.187% 07/25/2039$2,2600.0%
FEDERAL NATIONAL MORTGAGE ASSOCIATION 5.187% 07/25/2025$2,1810.0%
FEDERAL NATIONAL MORTGAGE ASSOCIATION 4.187% 05/25/2025$5250.0%
 
Collective Trusts/Mutual Funds
Underlying Fund HoldingsMarket Value%
U.S. TREASURY INFLATION PROTECTED SECURITIES FUND$257,137,56522.7%
 
Short-Term/Cash
Underlying Fund HoldingsMarket Value%
BLACKROCK TEMP FUND - INST SHARES FUND 24$25,507,8762.3%
JPMORGAN PRIME MONEY MARKET FUND FUNDS VARIABLE$24,089,6272.1%
UNITED STATES OF AMERICA BILL ZERO CPN 21/APR/2022$16,565,3921.5%
UNITED STATES OF AMERICA BILL ZERO CPN 19/MAY/2022$13,126,5721.2%
UNITED STATES OF AMERICA BILL ZERO CPN 03/NOV/2022$4,487,9530.4%
UNITED STATES OF AMERICA BILL ZERO CPN 03/MAR/2022$4,145,5980.4%
UNITED STATES OF AMERICA BILL ZERO CPN 31/MAR/2022$1,289,9290.1%
UNITED STATES OF AMERICA BILL ZERO CPN 10/MAR/2022$1,184,9910.1%
 
Other
Underlying Fund HoldingsMarket Value%
SWAP/07/15/2026/P:USD 2.79250 /R:USD/USCPI/1M$1,488,4791.7%
SWAP/02/26/2025/P:USD 1.58900 /R:USD/USCPI/1M$1,402,0471.1%
SWAP/01/15/2023/P:USD 3.35500 /R:USD/USCPI/1M$1,365,3912.4%
US DOLLAR$1,020,2340.1%
SWAP/07/15/2025/P:USD 1.59500 /R:USD/USCPI/1M$950,4220.7%
SWAP/01/15/2025/P:USD 2.44000 /R:USD/USCPI/1M$881,1770.9%
CURRENCY CONTRACT - USD$846,890-0.2%
POUND STERLING$833,8520.1%
BRAZILIAN REAL$712,3180.1%
US DOLLAR$696,0000.1%
SWAP/01/15/2025/P:USD 0.78000 /R:USD/USCPI/1M$691,4800.4%
CANADIAN DOLLAR$523,4220.1%
US DOLLAR$500,5550.0%
SWAP/07/15/2026/P:USD 2.89600 /R:USD/USCPI/1M$494,7170.6%
SWAP/07/15/2026/P:USD 2.90800 /R:USD/USCPI/1M$483,6960.6%
SWAP/01/15/2027/P:USD 2.84250 /R:USD/USCPI/1M$470,9370.6%
US 5YR NOTE (CBT) BOND 30/JUN/2022 FVM2 COMDTY$445,8007.3%
EURO-BUXL 30Y BND BOND 08/MAR/2022 UBH2 COMDTY$422,777-0.5%
SWAP/07/15/2028/P:USD 2.42350 /R:USD/USCPI/1M$381,6380.3%
SWAP/01/15/2026/P:USD 2.32200 /R:USD/USCPI/1M$367,3280.3%
SWAP/01/15/2028/P:USD 2.79850 /R:USD/USCPI/1M$354,5870.5%
SWAP/06/24/2022/P:USD 3.52000 /R:USD/USCPI/1M$347,5760.8%
SWAP/07/15/2024/P:USD 1.85500 /R:USD/USCPI/1M$332,9710.3%
SWAP/01/15/2023/P:USD 2.31000 /R:USD/USCPI/1M$296,9540.4%
SWAP/05/21/2031/P:USD 1.61650 /R:USD/LIBOR/3M$296,8171.3%
SWAP/07/15/2023/P:USD 2.18750 /R:USD/USCPI/1M$285,2650.3%
SWAP/06/05/2027/P:USD 0.55750 /R:USD/LIBOR/3M$283,7280.4%
SWAP/04/15/2032/P:USD 2.60750 /R:USD/USCPI/1M$264,0780.3%
SWAP/01/15/2025/P:USD 1.58000 /R:USD/USCPI/1M$259,5130.2%
SWAP/01/15/2025/P:USD 1.96750 /R:USD/USCPI/1M$245,4180.2%
SWAP/07/15/2023/P:USD 3.36875 /R:USD/USCPI/1M$239,0610.4%
YEN$230,3750.0%
SWAP/07/15/2023/P:USD 3.33400 /R:USD/USCPI/1M$227,8940.4%
SWAP/04/15/2032/P:USD 2.60500 /R:USD/USCPI/1M$225,7830.3%
SWAP/07/15/2026/P:USD 2.40750 /R:USD/USCPI/1M$222,5840.2%
SWAP/01/15/2023/P:USD 2.18400 /R:USD/USCPI/1M$221,2050.3%
SWAP/07/15/2022/P:USD 1.47900 /R:USD/USCPI/1M$200,9860.2%
CREDIT INDEX SWAP - CDI$200,957-0.3%
SWAP/07/15/2023/P:USD 2.35300 /R:USD/USCPI/1M$199,0600.3%
POUND STERLING$174,0530.0%
SWAPTION/EUROPEAN/11/02/2022/11/04/2052/P:EUR 0.19500 /R:EUR/EURIBOR/6M$161,9550.1%
SWAP/03/05/2026/P:USD 2.41875 /R:USD/USCPI/1M$158,4610.2%
SWAP/07/15/2022/P:USD 1.57500 /R:USD/USCPI/1M$156,6930.2%
US 2YR NOTE (CBT) BOND 30/JUN/2022 TUM2 COMDTY$149,1005.1%
CURRENCY CONTRACT - USD$130,054-0.8%
SWAP/07/15/2022/P:USD 1.76000 /R:USD/USCPI/1M$124,2360.2%
SWAP/02/26/2026/P:USD 2.31375 /R:USD/USCPI/1M$121,4520.1%
US 10YR NOTE (CBT) BOND 21/JUN/2022 TYM2 COMDTY$117,9251.6%
SWAP/01/15/2023/P:USD 1.96000 /R:USD/USCPI/1M$115,8020.1%
CURRENCY CONTRACT - USD$110,856-0.3%
SWAP/01/15/2023/P:USD 1.54300 /R:USD/USCPI/1M$108,6100.1%
CURRENCY CONTRACT - USD$106,684-0.3%
EURO$106,1930.0%
SWAP/07/15/2022/P:USD 1.48400 /R:USD/USCPI/1M$102,1810.1%
SWAP/05/13/2026/P:USD 2.76750 /R:USD/USCPI/1M$100,1580.1%
SWAP/05/15/2026/P:EUR 1.50000 /R:EUR/HICPXT/1M$99,5800.1%
SWAP/01/15/2024/P:USD 1.59900 /R:USD/USCPI/1M$96,3400.1%
SWAPTION/EUROPEAN/11/02/2022/11/04/2052/P:EUR 0.19000 /R:EUR/EURIBOR/6M$92,0950.1%
SWAP/07/15/2026/P:USD 2.94400 /R:USD/USCPI/1M$88,2660.1%
CANADIAN DOLLAR$81,0870.0%
EURO-BTP FUTURE BOND 08/MAR/2022 IKH2 COMDTY$78,147-0.5%
SWAP/02/05/2023/P:USD 2.21000 /R:USD/USCPI/1M$75,3580.1%
SWAP/07/15/2023/P:USD 1.55100 /R:USD/USCPI/1M$69,2340.1%
EURO$69,1450.0%
SWAP/07/15/2022/P:USD 1.59700 /R:USD/USCPI/1M$68,5910.1%
SWAP/11/10/2045/P:USD 2.72100 /R:USD/LIBOR/3M$66,2180.0%
SWAP/07/15/2023/P:USD 1.54800 /R:USD/USCPI/1M$64,3690.1%
CURRENCY CONTRACT - USD$56,427-0.3%
RAND$54,6330.0%
SWAP/03/15/2024/P:EUR 1.03000 /R:EUR/FRCPI/1M$53,9500.1%
CURRENCY CONTRACT - AUD$53,1170.2%
SWAP/05/14/2026/P:USD 2.79300 /R:USD/USCPI/1M$52,2870.1%
SWAP/07/15/2022/P:USD 1.90250 /R:USD/USCPI/1M$51,5350.1%
SWAPTION/EUROPEAN/11/04/2022/11/08/2052/P:EUR 0.19700 /R:EUR/EURIBOR/6M$51,4800.0%
SWAP/04/15/2032/P:USD 2.51900 /R:USD/USCPI/1M$48,7600.1%
CURRENCY CONTRACT - USD$45,185-0.1%
CURRENCY CONTRACT - USD$43,879-0.1%
JPN 10Y BOND(OSE) BOND 14/MAR/2022 JBH2 COMDTY$39,807-0.4%
SWAP/05/10/2023/P:USD 2.28100 /R:USD/USCPI/1M$32,8560.1%
POUND STERLING$32,2000.0%
SWAP/11/15/2031/P:GBP 4.25000 /R:GBP/UKRPI/1M$30,6210.0%
MALAYSIAN RINGGIT$29,6800.0%
SWAP/04/15/2022/P:USD 2.14000 /R:USD/USCPI/1M$29,4780.1%
EURO-BUND FUTURE BOND 08/MAR/2022 RXH2 COMDTY$27,1100.2%
SWAP/09/21/2032/P:GBP 0.75000 /R:GBP/SONIA/1D$24,1180.0%
SWAP/09/21/2032/P:GBP 0.75000 /R:GBP/SONIA/1D$23,7210.0%
YEN$22,3190.0%
SWAP/05/09/2023/P:USD 2.26250 /R:USD/USCPI/1M$21,5550.0%
BUY PROTECTION ON CMBX.NA.BBB-.9.SEP.09/17/2058$13,6450.0%
SELL PROTECTION ON CMBX.NA.BBB-.6.MAY.05/11/2063$9,7440.0%
SELL PROTECTION ON CMBX.NA.BBB-.6.MAY.05/11/2063$9,6670.0%
CURRENCY CONTRACT - USD$8,8630.0%
SELL PROTECTION ON CMBX.NA.BBB-.6.MAY.05/11/2063$7,8070.0%
CURRENCY CONTRACT - USD$7,7790.0%
SWAP/10/04/2026/P:USD 1.48700 /R:USD/LIBOR/3M$6,1590.1%
SELL PROTECTION ON CMBX.NA.BBB-.6.MAY.05/11/2063$5,5430.0%
SELL PROTECTION ON CMBX.NA.BBB-.6.MAY.05/11/2063$5,5410.0%
AUSTRALIAN DOLLAR$5,4470.0%
SWAPTION/EUROPEAN/03/08/2022/03/10/2052/P:USD 1.93700 /R:USD/SOFR/1D$5,3220.1%
SELL PROTECTION ON CMBX.NA.A.6.MAY.05/11/2063$5,2920.0%
SELL PROTECTION ON CMBX.NA.BBB-.6.MAY.05/11/2063$5,2900.0%
SELL PROTECTION ON CMBX.NA.BBB-.6.MAY.05/11/2063$5,1620.0%
SELL PROTECTION ON CMBX.NA.BBB-.6.MAY.05/11/2063$4,9180.0%
SWAP/01/15/2032/P:GBP 4.30000 /R:GBP/UKRPI/1M$4,8130.0%
SELL PROTECTION ON CMBX.NA.A.6.MAY.05/11/2063$4,4990.0%
CURRENCY CONTRACT - USD$4,3240.0%
BUY PROTECTION ON CMBX.NA.BBB-.9.SEP.09/17/2058$4,2280.0%
CURRENCY CONTRACT - AUD$4,1360.2%
SELL PROTECTION ON CMBX.NA.BBB-.6.MAY.05/11/2063$4,0660.0%
CURRENCY CONTRACT - USD$4,0200.0%
SELL PROTECTION ON CMBX.NA.BBB-.6.MAY.05/11/2063$3,8350.0%
SELL PROTECTION ON CMBX.NA.BBB-.6.MAY.05/11/2063$3,7230.0%
SELL PROTECTION ON CMBX.NA.BBB-.6.MAY.05/11/2063$3,6370.0%
SWAP/05/15/2026/P:EUR 1.50000 /R:EUR/HICPXT/1M$3,081-0.1%
SELL PROTECTION ON CMBX.NA.BBB-.6.MAY.05/11/2063$3,0570.0%
SELL PROTECTION ON CMBX.NA.BBB-.6.MAY.05/11/2063$2,8930.0%
CURRENCY CONTRACT - CAD$2,7940.1%
CURRENCY CONTRACT - AUD$2,7860.0%
CURRENCY CONTRACT - USD$2,7760.0%
SELL PROTECTION ON CMBX.NA.BBB-.6.MAY.05/11/2063$2,7330.0%
SELL PROTECTION ON CMBX.NA.BBB-.6.MAY.05/11/2063$2,7310.0%
BUY PROTECTION ON CMBX.NA.BBB-.9.SEP.09/17/2058$2,6940.0%
CURRENCY CONTRACTS - ZAR$2,6590.2%
CURRENCY CONTRACT - USD$2,5850.0%
SELL PROTECTION ON CMBX.NA.BBB-.6.MAY.05/11/2063$2,4780.0%
SWAP/03/15/2031/P:EUR/HICPXT/1M /R:EUR 1.38000$2,4690.0%
SWEDISH KRONA$2,2870.0%
SWAP/03/15/2036/P:GBP/UKRPI/1M /R:GBP 3.58000$1,9330.0%
SWAP/03/15/2031/P:EUR/HICPXT/1M /R:EUR 1.38000$1,7860.0%
SELL PROTECTION ON GENERAL ELECTRIC COMPANY SENIOR_UNSECURED/RECEIVE: USD 1.00000 MATURING ON 12/20/2023$1,7430.0%
SWAPTION/EUROPEAN/05/11/2022/05/13/2027/P:EUR 1.00000 /R:EUR/EURIBOR/6M$1,7410.1%
SWAP/03/15/2031/P:EUR/HICPXT/1M /R:EUR 1.38000$1,7260.0%
SWAP/03/15/2036/P:GBP/UKRPI/1M /R:GBP 3.58000$1,7140.0%
CURRENCY CONTRACT - USD$1,6330.0%
SELL PROTECTION ON CMBX.NA.BBB-.6.MAY.05/11/2063$1,6300.0%
SELL PROTECTION ON CMBX.NA.BBB-.6.MAY.05/11/2063$1,5770.0%
NORWEGIAN KRONE$1,5370.0%
SWAP/03/15/2031/P:EUR/HICPXT/1M /R:EUR 1.38000$1,4780.0%
SELL PROTECTION ON CMBX.NA.BBB-.6.MAY.05/11/2063$1,3120.0%
CREDIT DEFAULT SWAP - CDS$1,2990.0%
CURRENCY CONTRACT - USD$1,2650.0%
CURRENCY CONTRACT - USD$1,2460.0%
SHORT EURO-BTP FU BOND 08/MAR/2022 BTSH2 COMDTY$1,221-0.3%
SELL PROTECTION ON CMBX.NA.BBB-.6.MAY.05/11/2063$1,1960.0%
SELL PROTECTION ON CMBX.NA.BBB-.6.MAY.05/11/2063$1,1660.0%
SWAP/12/15/2031/P:JPY 0.05000 /R:JPY/TONAR/1D$1,1640.9%
CURRENCY CONTRACT - USD$1,1360.0%
SELL PROTECTION ON CMBX.NA.BBB-.6.MAY.05/11/2063$1,1260.0%
SELL PROTECTION ON CMBX.NA.BBB-.6.MAY.05/11/2063$1,0900.0%
EUROPEAN OPTION EXPIRING ON 06/15/2022 TO BUY PROTECTION ON CDX.NA.IG.37-V1.DEC.2026/PAY: USD 0.00$1,0450.2%
SELL PROTECTION ON CMBX.NA.BBB-.6.MAY.05/11/2063$9540.0%
SELL PROTECTION ON CMBX.NA.BBB-.6.MAY.05/11/2063$8860.0%
SELL PROTECTION ON CMBX.NA.BBB-.6.MAY.05/11/2063$8620.0%
EUROPEAN OPTION EXPIRING ON 03/16/2022 TO BUY PROTECTION ON CDX.NA.IG.37-V1.DEC.2026/PAY: USD 0.00$8330.1%
CURRENCY CONTRACT - USD$7990.0%
SELL PROTECTION ON CMBX.NA.BBB-.6.MAY.05/11/2063$7850.0%
EUROPEAN OPTION EXPIRING ON 06/15/2022 TO BUY PROTECTION ON CDX.NA.IG.37-V1.DEC.2026/PAY: USD 0.00$7450.3%
SELL PROTECTION ON CMBX.NA.BBB-.6.MAY.05/11/2063$7160.0%
SELL PROTECTION ON CMBX.NA.BBB-.6.MAY.05/11/2063$7160.0%
EUROPEAN OPTION EXPIRING ON 04/20/2022 TO BUY PROTECTION ON CDX.NA.IG.37-V1.DEC.2026/PAY: USD 0.00$6850.1%
SWAPTION/EUROPEAN/04/07/2022/04/11/2027/P:EUR 0.70000 /R:EUR/EURIBOR/6M$6790.0%
EUROPEAN OPTION EXPIRING ON 04/20/2022 TO BUY PROTECTION ON CDX.NA.IG.37-V1.DEC.2026/PAY: USD 0.00$6770.2%
SELL PROTECTION ON CMBX.NA.BBB-.6.MAY.05/11/2063$6610.0%
SELL PROTECTION ON CMBX.NA.BBB-.6.MAY.05/11/2063$6110.0%
SWAP/11/08/2026/P:USD 1.65700 /R:USD/LIBOR/3M$5670.0%
SWAP/03/15/2031/P:EUR/HICPXT/1M /R:EUR 1.38000$5550.0%
SWAP/11/09/2026/P:USD 1.67150 /R:USD/LIBOR/3M$5490.0%
SELL PROTECTION ON CMBX.NA.BBB-.6.MAY.05/11/2063$4740.0%
SELL PROTECTION ON CMBX.NA.BBB-.6.MAY.05/11/2063$4500.0%
SWAP/03/15/2036/P:GBP/UKRPI/1M /R:GBP 3.58000$4400.0%
DANISH KRONE$4170.0%
NEW ZEALAND DOLLAR$3380.0%
CREDIT DEFAULT SWAP - CDS$3250.0%
SWAP/03/15/2024/P:EUR 1.03000 /R:EUR/FRCPI/1M$304-0.1%
SELL PROTECTION ON CMBX.NA.BBB-.6.MAY.05/11/2063$2420.0%
SELL PROTECTION ON CMBX.NA.BBB-.6.MAY.05/11/2063$1820.0%
SELL PROTECTION ON CMBX.NA.BBB-.6.MAY.05/11/2063$1710.0%
SELL PROTECTION ON CMBX.NA.BBB-.6.MAY.05/11/2063$1510.0%
SWAP/03/15/2036/P:GBP/UKRPI/1M /R:GBP 3.58000$1110.0%
SWAP/01/15/2023/P:USD 3.35500 /R:USD/USCPI/1M$12-2.4%
SWAP/02/26/2022/P:USD/USCPI/1M /R:USD 1.44000$9-0.8%
SWAP/06/24/2022/P:USD 3.52000 /R:USD/USCPI/1M$6-0.8%
SWAP/02/26/2025/P:USD 1.58900 /R:USD/USCPI/1M$5-1.1%
SWAP/01/15/2025/P:USD 2.44000 /R:USD/USCPI/1M$3-0.9%
SWAP/07/15/2026/P:USD 2.79250 /R:USD/USCPI/1M$3-1.7%
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/07/15/2023/P:USD 2.35300 /R:USD/USCPI/1M$2-0.3%
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/07/15/2022/P:USD 1.47900 /R:USD/USCPI/1M$2-0.2%
SWAP/01/15/2025/P:USD 0.78000 /R:USD/USCPI/1M$2-0.4%
SWAP/01/15/2023/P:USD 2.18400 /R:USD/USCPI/1M$2-0.3%
SWAP/01/15/2023/P:USD 2.31000 /R:USD/USCPI/1M$2-0.4%
SWAP/01/15/2023/P:USD 1.54300 /R:USD/USCPI/1M$1-0.1%
SWAP/01/15/2024/P:USD 1.59900 /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$1-0.3%
SWAP/01/15/2027/P:USD 2.84250 /R:USD/USCPI/1M$1-0.6%
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/07/15/2022/P:USD 1.59700 /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/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/07/15/2028/P:USD 2.42350 /R:USD/USCPI/1M$1-0.3%
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%
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%
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%
MEXICAN PESO$00.0%
SWAP/07/15/2026/P:USD 2.94400 /R:USD/USCPI/1M$0-0.1%
SWAP/09/21/2032/P:GBP 0.75000 /R:GBP/SONIA/1D$00.0%
SWAP/09/21/2032/P:GBP 0.75000 /R:GBP/SONIA/1D$00.0%
SWAP/08/15/2030/P:GBP/UKRPI/1M /R:GBP 3.47500$0-0.2%
SWAP/07/12/2027/P:USD 2.35450 /R:USD/LIBOR/3M$00.0%
SWAP/08/15/2030/P:GBP/UKRPI/1M /R:GBP 3.47500$0-0.1%
SWAP/11/09/2026/P:USD 1.67150 /R:USD/LIBOR/3M$00.0%
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/11/08/2026/P:USD 1.65700 /R:USD/LIBOR/3M$00.0%
SWAP/10/04/2026/P:USD 1.48700 /R:USD/LIBOR/3M$0-0.1%
SWAP/11/15/2031/P:GBP 4.25000 /R:GBP/UKRPI/1M$00.0%
SWAP/04/15/2032/P:USD 2.51900 /R:USD/USCPI/1M$0-0.1%
SWAP/05/09/2023/P:USD 2.26250 /R:USD/USCPI/1M$00.0%
SWAP/05/10/2023/P:USD 2.28100 /R:USD/USCPI/1M$0-0.1%
SWAP/04/15/2032/P:USD 2.60500 /R:USD/USCPI/1M$0-0.3%
SWAP/04/15/2032/P:USD 2.60750 /R:USD/USCPI/1M$0-0.3%
SWAP/05/20/2029/P:USD 2.39000 /R:USD/LIBOR/3M$0-0.1%
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/05/20/2029/P:USD 2.36000 /R:USD/LIBOR/3M$0-0.1%
SWAP/05/14/2026/P:USD 2.79300 /R:USD/USCPI/1M$0-0.1%
SWAP/05/13/2026/P:USD 2.76750 /R:USD/USCPI/1M$0-0.1%
SWAP/07/15/2023/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/07/15/2022/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/02/15/2031/P:GBP/UKRPI/1M /R:GBP 3.62400$0-0.1%
SWAP/01/15/2032/P:GBP 4.30000 /R:GBP/UKRPI/1M$00.0%
SWAP/02/26/2026/P:USD 2.31375 /R:USD/USCPI/1M$0-0.1%
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/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$0-0.1%
SWAP/02/26/2022/P:USD/USCPI/1M /R:USD 1.44000$-90.8%
CURRENCY CONTRACT - EUR$-450.0%
EUROPEAN OPTION EXPIRING ON 05/18/2022 TO BUY PROTECTION ON ITRAXX.EUROPE.MAIN.36-V1.DEC.2026/PAY: EUR 0.00$-1100.1%
SWAPTION/EUROPEAN/01/31/2023/02/02/2033/P:USD/SOFR/1D /R:USD 1.57900$-1930.1%
CURRENCY CONTRACT - CAD$-2190.1%
CREDIT DEFAULT SWAP, CMBX - CDSCMBX$-2410.0%
EUROPEAN OPTION EXPIRING ON 04/20/2022 TO BUY PROTECTION ON ITRAXX.EUROPE.MAIN.36-V1.DEC.2026/PAY: EUR 0.00$-3070.0%
SWAPTION/EUROPEAN/04/07/2022/04/11/2027/P:EUR/EURIBOR/6M /R:EUR 0.50000$-4020.0%
CREDIT DEFAULT SWAP, CMBX - CDSCMBX$-4830.0%
CREDIT DEFAULT SWAP, CMBX - CDSCMBX$-4830.0%
CREDIT DEFAULT SWAP, CMBX - CDSCMBX$-4830.0%
CURRENCY CONTRACT - USD$-5680.0%
EUROPEAN OPTION EXPIRING ON 04/20/2022 TO BUY PROTECTION ON ITRAXX.EUROPE.MAIN.36-V1.DEC.2026/PAY: EUR 0.00$-7970.1%
CURRENCY CONTRACT - USD$-8200.0%
CREDIT DEFAULT SWAP, CMBX - CDSCMBX$-9660.0%
CREDIT DEFAULT SWAP, CMBX - CDSCMBX$-1,2070.0%
CREDIT DEFAULT SWAP, CMBX - CDSCMBX$-1,2070.0%
CURRENCY CONTRACT - DKK$-1,3220.0%
CREDIT DEFAULT SWAP, CMBX - CDSCMBX$-1,4480.0%
SWAP/06/04/2029/P:USD 2.15000 /R:USD/LIBOR/3M$-1,6570.0%
CREDIT DEFAULT SWAP, CMBX - CDSCMBX$-1,6900.0%
CREDIT DEFAULT SWAP, CMBX - CDSCMBX$-1,6900.0%
CREDIT DEFAULT SWAP, CMBX - CDSCMBX$-1,6900.0%
CREDIT DEFAULT SWAP, CMBX - CDSCMBX$-1,6900.0%
CREDIT DEFAULT SWAP, CMBX - CDSCMBX$-1,6900.0%
CREDIT DEFAULT SWAP, CMBX - CDSCMBX$-1,9310.0%
CREDIT DEFAULT SWAP, CMBX - CDSCMBX$-1,9310.0%
EURO-SCHATZ FUT BOND 08/JUN/2022 DUM2 COMDTY$-2,144-0.1%
CREDIT DEFAULT SWAP, CMBX - CDSCMBX$-2,1720.0%
CREDIT DEFAULT SWAP, CMBX - CDSCMBX$-2,6550.0%
CREDIT DEFAULT SWAP, CMBX - CDSCMBX$-2,6550.0%
CURRENCY CONTRACT - USD$-2,6850.0%
SWAPTION/EUROPEAN/01/31/2023/02/02/2025/P:USD/SOFR/1D /R:USD 1.42750$-2,7500.4%
CREDIT DEFAULT SWAP, CMBX - CDSCMBX$-2,8970.0%
CREDIT DEFAULT SWAP, CMBX - CDSCMBX$-3,3790.0%
CREDIT DEFAULT SWAP, CMBX - CDSCMBX$-3,6210.0%
CREDIT DEFAULT SWAP, CMBX - CDSCMBX$-4,1040.0%
SWAPTION/EUROPEAN/05/11/2022/05/13/2027/P:EUR/EURIBOR/6M /R:EUR 0.50000$-4,2240.1%
EURO-BOBL FUTURE BOND 08/JUN/2022 OEM2 COMDTY$-5,352-0.2%
CREDIT DEFAULT SWAP, CMBX - CDSCMBX$-6,0350.0%
CREDIT DEFAULT SWAP, CMBX - CDSCMBX$-6,0350.0%
CREDIT DEFAULT SWAP, CMBX - CDSCMBX$-7,7240.0%
CREDIT DEFAULT SWAP, CMBX - CDSCMBX$-7,9660.0%
CREDIT DEFAULT SWAP, CMBX - CDSCMBX$-8,2070.0%
BUY PROTECTION ON CMBX.NA.BBB-.9.SEP.09/17/2058$-8,4670.0%
CREDIT DEFAULT SWAP, CMBX - CDSCMBX$-8,6900.0%
CURRENCY CONTRACT - RUB$-8,8660.0%
SWAP/07/12/2027/P:USD 2.35450 /R:USD/LIBOR/3M$-9,3540.0%
CREDIT DEFAULT SWAP, CMBX - CDSCMBX$-9,8970.0%
LONG GILT FUTURE BOND 28/JUN/2022 G M2 COMDTY$-10,038-0.2%
CREDIT DEFAULT SWAP, CMBX - CDSCMBX$-10,3800.0%
CREDIT DEFAULT SWAP, CMBX - CDSCMBX$-10,6210.0%
CREDIT DEFAULT SWAP, CMBX - CDSCMBX$-10,6210.0%
CREDIT DEFAULT SWAP, CMBX - CDSCMBX$-11,1040.0%
CREDIT DEFAULT SWAP, CMBX - CDSCMBX$-12,0690.0%
CREDIT DEFAULT SWAP, CMBX - CDSCMBX$-12,5520.0%
BUY PROTECTION ON CMBX.NA.BBB-.9.SEP.09/17/2058$-13,9670.0%
CREDIT DEFAULT SWAP, CMBX - CDSCMBX$-14,4830.0%
SWAP/03/15/2031/P:EUR/HICPXT/1M /R:EUR 1.38000$-14,7390.0%
CREDIT DEFAULT SWAP, CMBX - CDSCMBX$-16,6560.0%
CREDIT DEFAULT SWAP, CMBX - CDSCMBX$-18,1040.0%
CREDIT DEFAULT SWAP, CMBX - CDSCMBX$-18,6820.0%
CURRENCY CONTRACT - SEK$-19,5240.3%
CURRENCY CONTRACT - USD$-19,873-0.5%
CURRENCY CONTRACT - USD$-23,312-0.3%
CREDIT DEFAULT SWAP, CMBX - CDSCMBX$-23,7410.0%
SWAP/03/15/2036/P:GBP/UKRPI/1M /R:GBP 3.58000$-26,0600.0%
CURRENCY CONTRACT - USD$-28,282-0.2%
SWAP/11/15/2034/P:EUR/FRCPI/1M /R:EUR 1.28000$-29,2970.0%
SWAP/03/15/2031/P:EUR/HICPXT/1M /R:EUR 1.38000$-29,4960.0%
SWAP/03/15/2031/P:EUR/HICPXT/1M /R:EUR 1.38000$-29,4960.0%
SWAP/03/15/2031/P:EUR/HICPXT/1M /R:EUR 1.38000$-29,4960.0%
US ULTRA BOND CBT BOND 21/JUN/2022 WNM2 COMDTY$-30,076-0.4%
SWAP/05/20/2029/P:USD 2.36000 /R:USD/LIBOR/3M$-30,1640.1%
YEN$-31,7980.0%
SWAP/05/20/2029/P:USD 2.39000 /R:USD/LIBOR/3M$-35,1250.1%
CURRENCY CONTRACT - USD$-49,607-0.2%
SWAP/03/15/2036/P:GBP/UKRPI/1M /R:GBP 3.58000$-52,1190.0%
SWAP/03/15/2036/P:GBP/UKRPI/1M /R:GBP 3.58000$-52,1190.0%
SWAP/03/15/2036/P:GBP/UKRPI/1M /R:GBP 3.58000$-52,1190.0%
SWAP/03/15/2036/P:GBP/UKRPI/1M /R:GBP 3.56600$-52,8810.0%
US 10YR ULTRA FUT BOND 21/JUN/2022 UXYM2 COMDTY$-58,356-0.5%
SWAP/11/10/2045/P:USD 2.72100 /R:USD/LIBOR/3M$-64,1370.0%
CREDIT DEFAULT SWAP, CMBX - CDSCMBX$-66,0590.0%
GOLD 100 OZ FUTR PRECIOUS METAL 27/APR/2022 GCJ2$-69,507-0.2%
SWAP/03/15/2031/P:EUR/HICPXT/1M /R:EUR 1.38000$-73,6940.0%
SWEDISH KRONA$-93,8610.0%
SWAPTION/EUROPEAN/11/04/2022/11/08/2032/P:EUR 0.00000 /R:EUR/EURIBOR/6M$-132,0220.2%
SWAP/08/15/2030/P:GBP/UKRPI/1M /R:GBP 3.47500$-149,1280.1%
US LONG BOND(CBT) BOND 21/JUN/2022 USM2 COMDTY$-160,987-1.1%
SWAPTION/EUROPEAN/11/02/2022/11/04/2032/P:EUR 0.00000 /R:EUR/EURIBOR/6M$-170,5840.2%
BUY PROTECTION ON CDX.NA.HY.37-V1.DEC.2026$-192,1400.3%
CURRENCY CONTRACT - USD$-192,555-0.6%
SWAP/02/15/2031/P:GBP/UKRPI/1M /R:GBP 3.62400$-204,1570.1%
SWAPTION/EUROPEAN/11/02/2022/11/04/2032/P:EUR 0.00000 /R:EUR/EURIBOR/6M$-244,3100.2%
SWAP/08/15/2030/P:GBP/UKRPI/1M /R:GBP 3.47500$-443,0570.2%
US DOLLAR$-619,000-0.1%
EURO$-639,042-0.1%
CURRENCY CONTRACT - RUB$-976,8300.2%
US DOLLAR$-1,738,508-0.2%
US DOLLAR$-14,831,120-1.3%

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.

The Fund is an investment option of VantageTrust II Multiple Collective Investment Funds Trust ("VantageTrust II"), a group trust established and maintained by VantageTrust Company, LLC, a wholly owned subsidiary of MissionSquare Retirement. VantageTrust II provides for the commingling of assets of certain trusts and plans as described in its Declaration of Trust and Participation Agreement, 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. It is available at www.icmarc.org for plan administration clients, at investments.missionsq.org for institutions, or upon request by calling 800-669-7400.

2.

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.

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 © 2022 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.