Fund Facts  

Inception Date: Mar 1, 1999
CUSIP: 92210F869
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 Jun 30, 2022
Fund/Benchmark Name QtrYTD1-Yr3-Yr5-Yr10-YrSince Inception
MissionSquare Inflation Foc R5   -6.56%-9.40%-5.89%2.65%2.78%1.27%N/A
Bloomberg U.S. Treasury Inflation-Linked Bond Indexa,b-6.08%-8.92%-5.14%3.04%3.21%1.73%N/A
Morningstar Inflation-Protected Bonda,c-5.12%-6.81%-3.79%2.82%2.85%1.39%N/A

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

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 Expenses0.60%
Net Expenses0.60%

 

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 Jun 30, 2022
Period Stars Category Size
Overall 3 Stars198
3-Year 2 Stars198
5-Year 3 Stars185
10-Year 3 Stars125

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 Jun 30, 2022
Fixed Income Stylebox
High Moderate
Allocation of Assets As of May 31, 2022
Type of Asset Percent
Equity0%
Fixed Income115%
Cash/Other-15%

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

 
 

Statistics

Duration and Maturity As of Aug 31, 2022
StatisticValue
Average Effective Duration6.96 years
Average Effective Maturity7.69 years
Portfolio Statistics As of Jun 30, 2022
Statistic3-Year5-Year
Beta1.041.03
Alpha-0.47-0.48
Standard Deviation5.264.44
 
 

Underlying Fund Characteristics

Allocation of Assets As of May 31, 2022
Asset ClassPercent
Domestic Stock0.1%
Foreign Stock0.0%
Domestic Bond114.5%
Foreign Bond-0.1%
Preferred0.0%
Convertible0.2%
Cash-14.9%
Other0.2%

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

 

Equity Sector As of May 31, 2022
SectorPercent
Real Estate0.1%
Financial Services0.0%

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

 
Credit Quality As of Aug 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 May 31, 2022
SectorPercent
Government106.3%
Securitized5.0%
Corporate3.7%
Municipal0.1%
Derivative-0.5%
Cash & Equivalents-14.9%

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

 
Top Ten Holdings As of Aug 31, 2022
Underlying Fund Holdings Market Value%
U.S. TREASURY INFLATION PROTECTED SECURITIES FUND$259,559,03726.5%
US 5YR NOTE (CBT) BOND 30/DEC/2022 FVZ2 COMDTY-$273,3727.2%
UNITED STATES OF AMERICA NOTES .125% 07/15/2031$64,930,9806.6%
UNITED STATES OF AMERICA NOTES .125% 01/15/2032$36,536,3273.7%
UNITED STATES OF AMERICA NOTES .125% 04/15/2026$27,557,7302.8%
UNITED STATES OF AMERICA NOTES .125% 10/15/2024$26,814,7102.7%
SWAP/07/15/2026/P:USD 2.79250 /R:USD/USCPI/1M$1,979,5242.0%
UNITED STATES OF AMERICA BOND 2.5% 01/15/2029$18,780,6041.9%
UNITED STATES OF AMERICA NOTES .375% 07/15/2027$18,397,2781.9%
UNITED STATES OF AMERICA NOTES .25% 01/15/2025$16,961,2511.7%
All Holdings As of Aug 31, 2022
Exchange-Traded Funds
Underlying Fund HoldingsMarket Value%
INVESCO DB AGRICULTURE FUND ETP USD$1,856,7000.2%
INVESCO DB BASE METALS FUND ETP USD$643,8300.1%
 
Fixed Income
Underlying Fund HoldingsMarket Value%
UNITED STATES OF AMERICA NOTES .125% 07/15/2031$64,930,9806.6%
UNITED STATES OF AMERICA NOTES .125% 01/15/2032$36,536,3273.7%
UNITED STATES OF AMERICA NOTES .125% 04/15/2026$27,557,7302.8%
UNITED STATES OF AMERICA NOTES .125% 10/15/2024$26,814,7102.7%
UNITED STATES OF AMERICA BOND 2.5% 01/15/2029$18,780,6041.9%
UNITED STATES OF AMERICA NOTES .375% 07/15/2027$18,397,2781.9%
UNITED STATES OF AMERICA NOTES .25% 01/15/2025$16,961,2511.7%
UNITED STATES OF AMERICA BOND 2.125% 02/15/2041$16,229,4251.7%
UNITED STATES OF AMERICA NOTES .875% 01/15/2029$15,469,3231.6%
UNITED STATES OF AMERICA NOTES .375% 07/15/2025$15,348,5491.6%
UNITED STATES OF AMERICA NOTES .125% 04/15/2025$15,154,4261.6%
UNITED STATES OF AMERICA NOTES .75% 07/15/2028$14,802,8651.5%
UNITED STATES OF AMERICA NOTES .5% 04/15/2024$14,135,5021.4%
UNITED STATES OF AMERICA NOTES .625% 01/15/2026$13,995,9261.4%
UNITED STATES OF AMERICA NOTES .5% 01/15/2028$13,775,8681.4%
UNITED STATES OF AMERICA BOND .75% 02/15/2045$13,749,5151.4%
UNITED STATES OF AMERICA NOTES .125% 10/15/2025$13,660,4111.4%
UNITED STATES OF AMERICA NOTES .625% 04/15/2023$12,585,2121.3%
UNITED STATES OF AMERICA BOND .625% 02/15/2043$12,566,6171.3%
UNITED STATES OF AMERICA NOTES .125% 07/15/2026$11,995,0951.2%
UNITED STATES OF AMERICA BOND .125% 02/15/2052$11,338,4621.2%
UNITED STATES OF AMERICA BOND 1% 02/15/2046$10,064,1051.0%
UNITED STATES OF AMERICA NOTES .125% 04/15/2027$9,521,7641.0%
UNITED STATES OF AMERICA NOTES .125% 07/15/2030$8,716,6690.9%
UNITED STATES OF AMERICA NOTES .25% 07/15/2029$8,598,9010.9%
UNITED STATES OF AMERICA BOND 2.375% 01/15/2025$7,470,6210.8%
UNITED STATES OF AMERICA BOND .75% 02/15/2042$7,450,9490.8%
UNITED STATES OF AMERICA NOTES .125% 01/15/2023$7,329,5050.8%
UNITED STATES OF AMERICA BOND .875% 02/15/2047$7,052,0410.7%
UNITED STATES OF AMERICA BOND 1.375% 02/15/2044$6,891,3230.7%
UNITED STATES OF AMERICA NOTES .375% 01/15/2027$6,792,4910.7%
UNITED STATES OF AMERICA BOND 1% 02/15/2048$6,702,8790.7%
UNITED STATES OF AMERICA NOTES .125% 01/15/2030$6,502,8220.7%
UNITED STATES OF AMERICA BOND .25% 02/15/2050$6,329,7150.7%
UNITED STATES OF AMERICA BOND 3.625% 04/15/2028$6,203,8070.6%
UNITED STATES OF AMERICA NOTES .125% 10/15/2026$5,810,1150.6%
UNITED STATES OF AMERICA NOTES .625% 07/15/2032$5,584,1640.6%
UNITED STATES OF AMERICA BOND 3.875% 04/15/2029$5,395,5130.6%
UNITED STATES OF AMERICA NOTES .375% 07/15/2023$5,297,1790.5%
UNITED STATES OF AMERICA NOTES .125% 01/15/2031$5,036,1050.5%
UNITED STATES OF AMERICA BOND 1.75% 01/15/2028$4,462,3750.5%
REPUBLIC OF ITALY BOND 1.402% 05/26/2025$3,937,3920.4%
UNITED STATES OF AMERICA NOTES .125% 07/15/2024$2,679,4080.3%
UNITED STATES OF AMERICA BOND 2.125% 02/15/2040$2,632,6930.3%
NYKREDIT REALKREDIT AS 1.5% 10/01/2053$2,557,1320.3%
TBA UMBS SINGLE FAMILY 30YR 3 9/21$2,395,3240.2%
REPUBLIC OF SOUTH AFRICA BOND 8% 01/31/2030$2,249,6100.2%
TBA UMBS SINGLE FAMILY 30YR 2.5 09/22$2,118,8630.2%
UNITED STATES OF AMERICA BOND 2% 01/15/2026$1,664,0350.2%
FEDERAL NATIONAL MORTGAGE ASSOCIATION 3% 02/01/2052$1,645,8250.2%
MORGAN STANLEY 8% 04/25/2023$1,394,1460.1%
UNITED STATES OF AMERICA BOND .125% 02/15/2051$1,383,8720.1%
UNITED MEXICAN STATES BOND 7.5% 06/03/2027$1,303,8030.1%
NORDEA KREDIT REALKREDITAKTIESELSKAB 1.5% 10/01/2053$1,295,9600.1%
UNITED STATES OF AMERICA BOND 1% 02/15/2049$1,255,0530.1%
UNICREDIT SPA 7.83% 12/04/2023$1,226,7370.1%
AREIT 2022-CRE6 TRUST 3.258% 01/16/2037$1,048,7080.1%
FREDDIE MAC STACR REMIC TRUST 2022-DNA5 6.683% 06/25/2042$907,0280.1%
REGATTA XX FUNDING LTD 3.672% 10/15/2034$889,8290.1%
MAGNETITE XXVI LTD 3.903% 07/25/2034$881,8370.1%
FEDERAL NATIONAL MORTGAGE ASSOCIATION 2.5% 03/01/2052$864,4630.1%
BFLD TRUST 3.992% 06/15/2038$831,7200.1%
FREDDIE MAC STACR REMIC TRUST 2021-DNA6 3.683% 10/25/2041$771,3250.1%
PRUDENTIAL FINANCIAL INC 5.875% 09/15/2042$761,6450.1%
FREDDIE MAC STACR REMIC TRUST 2021-DNA7 3.983% 11/25/2041$748,6350.1%
CONNECTICUT AVENUE SECURITIES TRUST 2022-R01 4.083% 12/25/2041$733,8610.1%
MORGAN STANLEY 8% 05/17/2023$715,1250.1%
EI DU PONT DE NEMOURS AND CO 2.585% 02/15/2038$712,1680.1%
JAPAN BOND .005% 03/10/2031$710,1960.1%
SUZANO AUSTRIA GMBH 2.5% 09/15/2028$699,2170.1%
AVANT LOANS FUNDING TRUST 2021-REV1 1.21% 07/15/2030$674,0370.1%
BREX COMMERCIAL CHARGE CARD MASTER TRUST 4.63% 07/15/2025$663,0130.1%
FRENCH REPUBLIC BOND .108% 07/25/2038$659,5300.1%
MORGAN STANLEY 8% 06/09/2023$655,1340.1%
REPUBLIC OF ITALY BOND .436% 05/15/2030$632,9290.1%
BANK OF AMERICA CORP 9.832% 08/21/2026$622,2230.1%
AVIS BUDGET RENTAL CAR FUNDING AESOP LLC 4.56% 03/20/2024$600,2090.1%
SLM STUDENT LOAN TRUST 2004-10 3.383% 10/25/2029$588,5060.1%
CONNECTICUT AVENUE SECURITIES TRUST 2022-R03 5.683% 03/25/2042$584,7270.1%
BELLEMEADE RE 2021-3 LTD 3.183% 09/25/2031$583,5230.1%
FREDDIE MAC STACR REMIC TRUST 2022-DNA2 4.583% 02/25/2042$578,0780.1%
DIAMOND ISSUER 2.305% 11/20/2051$563,2410.1%
OAKTOWN RE VII LTD 3.783% 04/25/2034$551,8370.1%
ACM AUTO TRUST 2022-1 3.23% 04/20/2029$537,7920.1%
LAD AUTO RECEIVABLES TRUST 2022-1 5.21% 06/15/2027$536,9170.1%
CONNECTICUT AVENUE SECURITIES TRUST 2022-R02 3.383% 01/25/2042$534,6100.1%
JAPAN BOND .102% 03/10/2028$525,3300.1%
NEUBERGER BERMAN LOAN ADVISERS CLO 43 LTD 3.87% 07/17/2035$523,9140.1%
UNITED AUTO CREDIT SECURITIZATION TRUST 2022-2 4.39% 04/10/2025$519,7540.1%
CCO HOLDINGS LLC / CCO HOLDINGS CAPITAL CORP 4.75% 02/01/2032$510,6460.1%
MADISON PARK FUNDING LI LTD 5.788% 07/19/2034$508,0300.1%
FREDDIE MAC STACR REMIC TRUST 2022-DNA4 5.533% 05/25/2042$506,0490.1%
LAS VEGAS SANDS CORP 3.9% 08/08/2029$477,3090.1%
BELLEMEADE RE LTD 3.683% 06/25/2031$471,3240.1%
FREDDIE MAC STACR REMIC TRUST 2021-HQA4 4.533% 12/25/2041$465,2700.1%
PIKES PEAK CLO 8 5.81% 07/20/2034$455,3000.1%
CPS AUTO RECEIVABLES TRUST 2022-A 2.17% 04/16/2029$439,0950.0%
OCTANE RECEIVABLES TRUST 2021-2 2.02% 09/20/2028$438,3550.0%
AFFIRM ASSET SECURITIZATION TRUST 2022-X1 1.75% 02/15/2027$434,1960.0%
TENCENT HOLDINGS LTD 2.39% 06/03/2030$433,0760.0%
ENTEGRIS ESCROW CORP 4.75% 04/15/2029$432,9030.0%
HERTZ VEHICLE FINANCING III LLC 2.63% 06/25/2026$429,2390.0%
BBCMS 2020-BID MORTGAGE TRUST 4.531% 10/15/2037$428,9160.0%
ROCKFORD TOWER CLO 2021-2 LTD 3.87% 07/20/2034$425,6880.0%
SOCIETE GENERALE SA 2.797% 01/19/2028$421,4210.0%
HP INC 5.5% 01/15/2033$419,9530.0%
WEIBO CORP 3.375% 07/08/2030$411,9650.0%
KYNDRYL HOLDINGS INC 2.05% 10/15/2026$410,8700.0%
NEIGHBORLY ISSUER 2022-1 3.695% 01/30/2052$404,9730.0%
CARNIVAL CORP 4% 08/01/2028$402,4700.0%
FREDDIE MAC STACR REMIC TRUST 2022-DNA1 4.033% 01/25/2042$398,1240.0%
AGL CLO 12 LTD 5.56% 07/20/2034$396,3360.0%
CREDIT SUISSE GROUP AG 6.373% 07/15/2026$394,3200.0%
BALLYROCK CLO 16 LTD 5.61% 07/20/2034$393,4880.0%
UNITED STATES OF AMERICA BOND 3.375% 04/15/2032$392,9450.0%
BX COMMERCIAL MORTGAGE TRUST 2019-IMC 4.541% 04/15/2034$387,2360.0%
AB ISSUER LLC 3.734% 07/30/2051$386,8290.0%
CPS AUTO RECEIVABLES TRUST 2021-C 1.69% 06/15/2027$386,3180.0%
UPSTART SECURITIZATION TRUST 2021-3 1.66% 07/20/2031$385,8060.0%
OCP CLO 2020-18 LTD 3.8% 07/20/2032$382,9700.0%
DISH DBS CORP 5.25% 12/01/2026$381,4780.0%
OCHSNER LSU HEALTH SYSTEM OF NORTH LOUISIANA 2.51% 05/15/2031$377,2530.0%
AIRCASTLE LTD 4.25% 06/15/2026$375,7120.0%
TRIANGLE RE 2021-3 LTD 4.083% 02/25/2034$372,9710.0%
BALBOA BAY LOAN FUNDING 2021-1 LTD 3.91% 07/20/2034$357,9050.0%
BAMLL COMMERCIAL MORTGAGE SECURITIES TRUST 2017-SCH 3.391% 11/15/2033$354,9730.0%
CONTINENTAL RESOURCES INC/OK 2.875% 04/01/2032$351,8170.0%
CGRBS COMMERCIAL MORTGAGE TRUST 2013-VN05 3.369% 03/13/2035$349,5900.0%
FLATIRON CLO 21 LTD 5.638% 07/19/2034$341,8780.0%
GO MORTGAGE LLC/DE 2.435% 08/15/2026$338,9840.0%
FEDERAL NATIONAL MORTGAGE ASSOCIATION 4.183% 11/25/2041$338,2160.0%
ELMWOOD CLO IX LTD 5.66% 07/20/2034$337,8560.0%
OLEODUCTO CENTRAL SA 4% 07/14/2027$330,0690.0%
BELLEMEADE RE 2022-1 LTD 4.333% 01/26/2032$329,1130.0%
UNIVERSITY OF CALIFORNIA 3.071% 05/15/2051$327,2120.0%
GLP CAPITAL LP / GLP FINANCING II INC 3.25% 01/15/2032$320,3330.0%
CONTINENTAL RESOURCES INC/OK 5.75% 01/15/2031$317,2300.0%
CITIGROUP INC 10.06% 09/29/2024$312,5090.0%
CREDIT SUISSE GROUP AG 6.375% CALLABLE$305,9550.0%
ENA MASTER TRUST 4% 05/19/2048$301,0750.0%
ING BANK NV 2.625% 12/05/2022$299,3810.0%
LAD AUTO RECEIVABLES TRUST 2021-1 1.3% 08/17/2026$297,1460.0%
GOLDENTREE LOAN MANAGEMENT US CLO 7 LTD 3.78% 04/20/2034$291,2640.0%
COMISION FEDERAL DE ELECTRICIDAD BOND 4.688% 05/15/2029$287,9630.0%
CARVANA AUTO RECEIVABLES TRUST 2021-P4 2.61% 09/11/2028$283,3570.0%
SOCIETE GENERALE SA 8% CALLABLE$282,9220.0%
TSMC ARIZONA CORP 3.875% 04/22/2027$279,3380.0%
CARVANA AUTO RECEIVABLES TRUST 2021-N3 1.02% 06/12/2028$277,8340.0%
MVW 2021-2 LLC 1.83% 05/20/2039$270,2980.0%
AVIS BUDGET RENTAL CAR FUNDING AESOP LLC 3.7% 09/20/2024$268,7300.0%
BARCLAYS PLC 5.304% 08/09/2026$266,1590.0%
REALKREDIT DANMARK A/S 1% 10/01/2050$262,8620.0%
FREDDIE MAC STACR REMIC TRUST 2022-DNA3 5.083% 04/25/2042$262,2010.0%
ASHTEAD CAPITAL INC 5.5% 08/11/2032$261,3170.0%
NXP BV / NXP FUNDING LLC 5.55% 12/01/2028$260,7440.0%
DEUTSCHE BANK AG/NEW YORK NY 6.119% 07/14/2026$260,0450.0%
GOLDMAN SACHS GROUP INC/THE 7.5% 08/30/2023$260,0440.0%
INTEL CORP 5.05% 08/05/2062$259,2130.0%
BARCLAYS BANK PLC 7% 06/28/2023$255,4690.0%
FORD CREDIT AUTO OWNER TRUST 2021-REV1 2.31% 10/17/2033$254,4400.0%
HSBC HOLDINGS PLC 5.402% 08/11/2033$253,3850.0%
ROSS STORES INC 4.7% 04/15/2027$252,9090.0%
NATURA COSMETICOS SA 4.125% 05/03/2028$252,4700.0%
FEDERATION DES CAISSES DESJARDINS DU QUEBEC 4.55% 08/23/2027$252,2520.0%
BALLYROCK CLO 15 LTD 5.612% 04/15/2034$250,9120.0%
FORD MOTOR CO 6.1% 08/19/2032$250,6160.0%
DUKE ENERGY CAROLINAS NC STORM FUNDING LLC 2.617% 07/01/2043$249,4050.0%
EAGLE RE 2021-2 LTD 4.233% 04/25/2034$248,9310.0%
WELLS FARGO & CO 9.432% 12/11/2023$248,5010.0%
NXP BV / NXP FUNDING LLC / NXP USA INC 3.4% 05/01/2030$248,2870.0%
AVIS BUDGET RENTAL CAR FUNDING AESOP LLC 4% 03/20/2025$248,1910.0%
CARVANA AUTO RECEIVABLES TRUST 2021-N4 2.3% 09/11/2028$246,1840.0%
DISH DBS CORP 5.75% 12/01/2028$245,5480.0%
NEW MOUNTAIN CLO 3 LTD 3.89% 10/20/2034$241,4570.0%
HFX FUNDING ISSUER LLC 3.622% 03/15/2035$238,4530.0%
DRYDEN 78 CLO LTD 4.69% 04/17/2033$236,2830.0%
ELEVATION CLO 2020-11 LTD 4.712% 04/15/2033$231,2490.0%
NEUBERGER BERMAN LOAN ADVISERS CLO 42 LTD 5.54% 07/16/2035$230,4820.0%
ENGIE ENERGIA CHILE SA 3.4% 01/28/2030$230,3060.0%
DIAMOND INFRASTRUCTURE FUNDING LLC 2.355% 04/15/2049$229,9100.0%
NELNET STUDENT LOAN TRUST 2021-C 2.53% 04/20/2062$229,7290.0%
CONNECTICUT AVENUE SECURITIES TRUST 2021-R03 3.833% 12/25/2041$227,9750.0%
CREDIT SUISSE GROUP AG 9.75% CALLABLE$227,8130.0%
SK HYNIX INC 2.375% 01/19/2031$223,0490.0%
PPM CLO 5 LTD 5.79% 10/18/2034$221,4210.0%
ORACLE CORP 3.6% 04/01/2040$216,9990.0%
NELNET STUDENT LOAN TRUST 2021-D 2.9% 04/20/2062$215,4610.0%
NATIONWIDE BUILDING SOCIETY 2.972% 02/16/2028$214,5730.0%
GLOBAL PAYMENTS INC 5.4% 08/15/2032$213,8900.0%
AIRCASTLE LTD 2.85% 01/26/2028$213,6390.0%
MIZUHO FINANCIAL GROUP INC 2.226% 05/25/2026$213,5590.0%
FREDDIE MAC STACR REMIC TRUST 2021-DNA5 3.833% 01/25/2034$210,7240.0%
CONN'S RECEIVABLES FUNDING 2021-A LLC 1.05% 05/15/2026$210,4140.0%
GCI FUNDING I LLC 2.38% 06/18/2046$206,8240.0%
TRANSCANADA PIPELINES LTD 6.2% 10/15/2037$206,4820.0%
FREEPORT INDONESIA PT 4.763% 04/14/2027$203,9840.0%
GS MORTGAGE SECURITIES TRUST 2011-GC5 5.209% 08/10/2044$203,4960.0%
BELLEMEADE RE LTD 5.133% 03/25/2031$200,4600.0%
STATE OF QATAR BOND 3.875% 04/23/2023$200,3520.0%
BREX COMMERCIAL CHARGE CARD MASTER TRUST 2.09% 07/15/2024$200,1960.0%
NATWEST GROUP PLC 3.747% 06/25/2024$200,0260.0%
FORD MOTOR CREDIT CO LLC 3.55% 10/07/2022$199,9610.0%
GENERAL ELECTRIC CO 3.512% 04/15/2023$199,4880.0%
MDC HOLDINGS INC 6% 01/15/2043$198,1890.0%
FEDERAL NATIONAL MORTGAGE ASSOCIATION 4% 12/25/2050$196,3730.0%
PROSUS NV 3.257% 01/19/2027$192,2930.0%
COMISION FEDERAL DE ELECTRICIDAD BOND 3.348% 02/09/2031$192,2870.0%
UNITED STATES OF AMERICA BOND 1.625% 11/15/2050$191,7180.0%
INTESA SANPAOLO SPA 5.017% 06/26/2024$191,5940.0%
ANGLO AMERICAN CAPITAL PLC 3.875% 03/16/2029$190,4260.0%
FHF TRUST 2021-2 .83% 12/15/2026$190,3570.0%
NYKREDIT REALKREDIT AS 1% 10/01/2053$190,2900.0%
NATIONWIDE MUTUAL INSURANCE CO 9.375% 08/15/2039$187,9240.0%
BANCO SANTANDER SA 4.175% 03/24/2028$187,7930.0%
PRUDENTIAL FINANCIAL INC 5.2% 03/15/2044$186,8680.0%
DOMINO'S PIZZA MASTER ISSUER LLC 2.662% 04/25/2051$186,2510.0%
WYNN MACAU LTD 5.625% 08/26/2028$184,5000.0%
DEUTSCHE BANK AG/NEW YORK NY 3.961% 11/26/2025$182,2100.0%
PROSUS NV 3.68% 01/21/2030$180,4630.0%
DOMINICAN REPUBLIC BOND 4.875% 09/23/2032$179,1530.0%
CLNY TRUST 2019-IKPR 4.416% 11/15/2038$178,8450.0%
SANTANDER HOLDINGS USA INC 4.26% 06/09/2025$174,6730.0%
ADIENT GLOBAL HOLDINGS LTD 3.5% 08/15/2024$169,0530.0%
NH HOTEL GROUP SA 4% 07/02/2026$168,4620.0%
SUMMER BC HOLDCO B SARL 5.75% 10/31/2026$167,8570.0%
CITIGROUP INC 5.95% CALLABLE$165,7480.0%
REALKREDIT DANMARK A/S 1.5% 10/01/2053$165,2690.0%
ZF FINANCE GMBH 3.75% 09/21/2028$163,3710.0%
REPUBLIC OF COLOMBIA BOND 3.125% 04/15/2031$163,2450.0%
LORCA TELECOM BONDCO SA 4% 09/18/2027$161,7200.0%
PMT CREDIT RISK TRANSFER TRUST 2019-2R 5.243% 05/27/2023$161,6300.0%
AVIATION CAPITAL GROUP LLC 1.95% 01/30/2026$161,4730.0%
STANDARD CHARTERED PLC 4.316% CALLABLE$159,8220.0%
TK ELEVATOR MIDCO GMBH 4.375% 07/15/2027$159,6360.0%
ENERGY TRANSFER LP 6.25% 04/15/2049$157,1090.0%
COLLEGE AVE STUDENT LOANS 2021-C LLC 2.72% 07/26/2055$155,7550.0%
WELLS FARGO COMMERCIAL MORTGAGE TRUST 2016-NXS6 4.531% 11/15/2049$152,7240.0%
FEDERAL HOME LOAN MORTGAGE CORP 4.5% 11/25/2050$151,0090.0%
AMERICAN TOWER CORP 3.65% 03/15/2027$150,4650.0%
EMBRAER NETHERLANDS FINANCE BV 5.4% 02/01/2027$150,2610.0%
APCOA PARKING HOLDINGS GMBH 4.625% 01/15/2027$148,8460.0%
PORT AUTHORITY OF NEW YORK & NEW JERSEY 1.086% 07/01/2023$146,8220.0%
AFFIRM ASSET SECURITIZATION TRUST 2021-Z2 1.17% 11/16/2026$145,8660.0%
ALTICE FINANCING SA 3% 01/15/2028$145,1070.0%
ALTICE FRANCE SA/FRANCE 3.375% 01/15/2028$144,9450.0%
LIMA METRO LINE 2 FINANCE LTD 5.875% 07/05/2034$142,9280.0%
VZ VENDOR FINANCING II BV 2.875% 01/15/2029$141,8850.0%
UBS COMMERCIAL MORTGAGE TRUST 3.203% 10/15/2052$141,1970.0%
CITY OF NEW YORK NY 1.923% 08/01/2031$139,2390.0%
WELLS FARGO COMMERCIAL MORTGAGE TRUST 2016-LC25 4.484% 12/15/2059$136,3060.0%
MISSION LANE CREDIT CARD MASTER TRUST 2.24% 09/15/2026$134,3010.0%
TOBACCO SETTLEMENT FINANCE AUTHORITY 3% 06/01/2035$133,2860.0%
ATALAYA EQUIPMENT LEASING TRUST 21-1 2.08% 02/15/2027$133,1360.0%
AMERICAN WATER CAPITAL CORP 3.45% 06/01/2029$132,4140.0%
DELTA AIR LINES INC / SKYMILES IP LTD 4.75% 10/20/2028$131,9120.0%
AIRCASTLE LTD 5.25% 08/11/2025$130,9070.0%
AVIATION CAPITAL GROUP LLC 5.5% 12/15/2024$130,3000.0%
NOBEL BIDCO BV 3.125% 06/15/2028$129,1650.0%
NEIGHBORLY ISSUER LLC 3.584% 04/30/2051$123,3990.0%
GO MORTGAGE LLC/DE 1.433% 08/15/2026$122,4860.0%
ORACLE CORP 3.65% 03/25/2041$120,4840.0%
CAJUN GLOBAL LLC 3.931% 11/20/2051$120,1360.0%
RADNOR RE 2020-1 LTD 3.394% 01/25/2030$119,3180.0%
NATIXIS COMMERCIAL MORTGAGE SECURITIES TRUST 2019-MILE 3.891% 07/15/2036$118,3980.0%
DELTA AIR LINES INC / SKYMILES IP LTD 4.5% 10/20/2025$116,4130.0%
CITIGROUP INC 4.15% CALLABLE$113,0230.0%
HARDEE'S FUNDING LLC 3.981% 12/20/2050$112,7690.0%
HARDEE'S FUNDING LLC 5.71% 06/20/2048$111,5710.0%
ASHFORD HOSPITALITY TRUST 2018-KEYS 3.391% 06/15/2035$110,4480.0%
INEOS QUATTRO FINANCE 2 PLC 2.5% 01/15/2026$109,2700.0%
CLARIOS GLOBAL LP / CLARIOS US FINANCE CO 4.375% 05/15/2026$107,4650.0%
GS MORTGAGE SECURITIES TRUST 2013-G1 3.557% 04/10/2031$104,2560.0%
AVIATION CAPITAL GROUP LLC 1.95% 09/20/2026$103,2400.0%
JAPAN BOND .101% 03/10/2029$101,5610.0%
RADNOR RE 2019-1 LTD 4.394% 02/25/2029$100,7350.0%
FREDDIE MAC STACR REMIC TRUST 2020-DNA5 4.983% 10/25/2050$99,4670.0%
BX COMMERCIAL MORTGAGE TRUST 2019-IMC 4.291% 04/15/2034$95,4230.0%
PLAYTECH PLC 4.25% 03/07/2026$95,1160.0%
FREDDIE MAC STACR TRUST 2019-FTR2 4.594% 11/25/2048$95,0810.0%
JYSKE REALKREDIT A/S 1.5% 10/01/2053$92,8500.0%
FEDERAL HOME LOAN MORTGAGE CORP 4% 09/25/2050$92,3600.0%
NORDEA KREDIT REALKREDITAKTIESELSKAB 1% 10/01/2050$91,0790.0%
S&P GLOBAL INC 4.25% 05/01/2029$90,8970.0%
VOYA CLO 2019-1 LTD 5.362% 04/15/2031$90,6000.0%
ROYAL CARIBBEAN CRUISES LTD 11.5% 06/01/2025$90,3230.0%
AFFIRM ASSET SECURITIZATION TRUST 2021-Z1 1.07% 08/15/2025$89,8190.0%
ORGANON & CO / ORGANON FOREIGN DEBT CO-ISSUER BV 2.875% 04/30/2028$89,5110.0%
INFOR INC 1.75% 07/15/2025$89,2910.0%
JPMORGAN CHASE & CO 6.276% CALLABLE$88,5730.0%
BAMLL COMMERCIAL MORTGAGE SECURITIES TRUST 2013-WBRK 3.652% 03/10/2037$87,3590.0%
DEUTSCHE LUFTHANSA AG 3% 05/29/2026$87,3400.0%
ORACLE CORP 5.375% 07/15/2040$86,5570.0%
BANK OF AMERICA CORP 9.632% 10/09/2024$85,4970.0%
FREDDIE MAC STACR 2019-HQA3 4.294% 09/25/2049$85,0980.0%
WELLS FARGO & CO 3.9% CALLABLE$84,6600.0%
IQVIA INC 2.25% 03/15/2029$83,8170.0%
CCO HOLDINGS LLC / CCO HOLDINGS CAPITAL CORP 4.5% 06/01/2033$83,3470.0%
FEDERAL HOME LOAN MORTGAGE CORP 3.656% 06/25/2050$81,1030.0%
CITIGROUP INC 4% CALLABLE$80,0800.0%
GLOBAL PAYMENTS INC 2.9% 11/15/2031$77,8450.0%
CONNECTICUT AVENUE SECURITIES TRUST 2020-R01 4.494% 01/25/2040$76,4160.0%
BELLEMEADE RE 2019-3 LTD 4.044% 07/25/2029$73,8230.0%
AMERICAN TOWER CORP 4.05% 03/15/2032$72,5890.0%
PRUDENTIAL FINANCIAL INC 5.375% 05/15/2045$67,9000.0%
NYKREDIT REALKREDIT AS 2% 10/01/2053$64,7190.0%
JPMBB COMMERCIAL MORTGAGE SECURITIES TRUST 2014-C21 4.341% 08/15/2047$62,3400.0%
AIRCASTLE LTD 4.125% 05/01/2024$52,6800.0%
AVIATION CAPITAL GROUP LLC 4.875% 10/01/2025$51,5680.0%
JPMORGAN CHASE & CO 10.31% 12/20/2023$51,0680.0%
CONNECTICUT AVENUE SECURITIES TRUST 2020-R02 4.444% 01/25/2040$50,6500.0%
RADNOR RE 2019-2 LTD 4.194% 06/25/2029$49,5720.0%
FEDERAL NATIONAL MORTGAGE ASSOCIATION 3.606% 04/25/2044$49,2940.0%
ASSET BACKED SECURITIES CORP HOME EQUITY LOAN TRUST SERIES OOMC 2006-HE3 2.774% 03/25/2036$45,6970.0%
FEDERAL NATIONAL MORTGAGE ASSOCIATION 3.756% 12/25/2047$44,7120.0%
LSTAR COMMERCIAL MORTGAGE TRUST 2016-4 2.579% 03/10/2049$42,3230.0%
SUZANO AUSTRIA GMBH 3.75% 01/15/2031$42,3190.0%
AVIATION CAPITAL GROUP LLC 4.375% 01/30/2024$41,8980.0%
FREDDIE MAC STACR REMIC TRUST 2020-DNA1 4.144% 01/25/2050$39,5590.0%
AVIATION CAPITAL GROUP LLC 3.5% 11/01/2027$39,3900.0%
BELLEMEADE RE 2019-1 LTD 4.194% 03/25/2029$39,0210.0%
FEDERAL NATIONAL MORTGAGE ASSOCIATION 3.756% 10/25/2047$36,9810.0%
FEDERAL HOME LOAN MORTGAGE CORP 3.606% 02/25/2050$35,8670.0%
FEDERAL HOME LOAN MORTGAGE CORP 3.759% 06/15/2047$35,7650.0%
PMT CREDIT RISK TRANSFER TRUST 2020-1R 4.843% 02/27/2023$35,3980.0%
EAGLE RE 2020-1 LTD 3.344% 01/25/2030$34,5750.0%
FEDERAL NATIONAL MORTGAGE ASSOCIATION 6.444% 05/25/2025$32,4040.0%
FEDERAL NATIONAL MORTGAGE ASSOCIATION 3.706% 08/25/2047$31,6830.0%
FREDDIE MAC MULTIFAMILY STRUCTURED CREDIT RISK 4.183% 01/25/2051$29,9890.0%
ONEOK PARTNERS LP 6.125% 02/01/2041$29,0280.0%
BROADCOM INC 3.137% 11/15/2035$28,0670.0%
CCO HOLDINGS LLC / CCO HOLDINGS CAPITAL CORP 4.5% 08/15/2030$26,9500.0%
FEDERAL NATIONAL MORTGAGE ASSOCIATION 3.556% 10/25/2046$25,7480.0%
DISCOVERY COMMUNICATIONS LLC 5.3% 05/15/2049$24,0910.0%
FEDERAL NATIONAL MORTGAGE ASSOCIATION 3.656% 12/25/2044$23,6210.0%
GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 3.832% 09/20/2047$23,5280.0%
FEDERAL NATIONAL MORTGAGE ASSOCIATION 8.144% 04/25/2028$23,3230.0%
CONNECTICUT AVENUE SECURITIES TRUST 2019-R07 4.544% 10/25/2039$21,3110.0%
S&P GLOBAL INC 4.75% 08/01/2028$20,5130.0%
GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 3.832% 08/20/2047$19,4120.0%
VOLCAN CIA MINERA SAA 4.375% 02/11/2026$19,1730.0%
FEDERAL NATIONAL MORTGAGE ASSOCIATION 4.096% 12/25/2041$19,1580.0%
FREDDIE MAC STACR TRUST 2019-DNA4 4.394% 10/25/2049$16,4030.0%
ADVANCE AUTO PARTS INC 3.5% 03/15/2032$13,5980.0%
TERRAFORM GLOBAL OPERATING LP 6.125% 03/01/2026$13,2530.0%
FEDERAL NATIONAL MORTGAGE ASSOCIATION 7.444% 07/25/2025$13,0820.0%
FREDDIE MAC STACR TRUST 2019-DNA3 4.494% 07/25/2049$11,8650.0%
GO MORTGAGE LLC/DE 2.638% 08/15/2026$11,4000.0%
REALKREDIT DANMARK A/S 2% 10/01/2053$11,1540.0%
GUARDIAN LIFE INSURANCE CO OF AMERICA/THE 4.85% 01/24/2077$10,0050.0%
UPSTART SECURITIZATION TRUST 2020-3 1.702% 11/20/2030$8,9420.0%
EXPEDIA GROUP INC 6.25% 05/01/2025$5,1340.0%
CONNECTICUT AVENUE SECURITIES TRUST 2019-R06 4.544% 09/25/2039$5,0460.0%
JPMORGAN CHASE & CO 5.597% CALLABLE$4,9560.0%
AVIATION CAPITAL GROUP LLC 4.125% 08/01/2025$2,8170.0%
 
Collective Trusts/Mutual Funds
Underlying Fund HoldingsMarket Value%
U.S. TREASURY INFLATION PROTECTED SECURITIES FUND$259,559,03726.5%
 
Short-Term/Cash
Underlying Fund HoldingsMarket Value%
UNITED STATES OF AMERICA BILL ZERO CPN 08/SEP/2022$11,829,2171.2%
UNITED STATES OF AMERICA BILL ZERO CPN 13/JUL/2023$10,698,8271.1%
UNITED STATES OF AMERICA BILL ZERO CPN 27/OCT/2022$10,609,2161.1%
UNITED STATES OF AMERICA BILL ZERO CPN 26/JAN/2023$10,607,7401.1%
BLACKROCK TEMP FUND - INST SHARES FUND 24$10,372,7311.1%
JPMORGAN PRIME MONEY MARKET FUND FUNDS VARIABLE$10,372,7291.1%
UNITED STATES OF AMERICA BILL ZERO CPN 03/NOV/2022$4,489,2810.5%
WELLS FARGO BANK NA CERTIFICATE OF DEPOSIT$244,8630.0%
 
Other
Underlying Fund HoldingsMarket Value%
SWAP/07/15/2026/P:USD 2.79250 /R:USD/USCPI/1M$1,979,5242.0%
US DOLLAR$1,846,4500.2%
SWAP/05/21/2031/P:USD 1.61650 /R:USD/LIBOR/3M$1,767,1541.5%
SWAP/02/26/2025/P:USD 1.58900 /R:USD/USCPI/1M$1,643,4291.2%
US DOLLAR$1,312,1070.1%
SWAP/07/15/2025/P:USD 1.59500 /R:USD/USCPI/1M$1,112,7570.8%
SWAP/01/15/2025/P:USD 2.44000 /R:USD/USCPI/1M$1,100,9061.1%
US DOLLAR$898,0000.1%
SWAP/01/15/2025/P:USD 0.78000 /R:USD/USCPI/1M$773,7250.5%
SWAP/07/15/2026/P:USD 2.89600 /R:USD/USCPI/1M$675,9960.7%
SWAP/07/15/2026/P:USD 2.90800 /R:USD/USCPI/1M$663,2120.7%
SWAP/01/15/2027/P:USD 2.84250 /R:USD/USCPI/1M$655,9340.7%
SWAP/06/05/2027/P:USD 0.55750 /R:USD/LIBOR/3M$569,7150.5%
POUND STERLING$539,0760.1%
YEN$487,9550.1%
SWAP/01/15/2026/P:USD 2.32200 /R:USD/USCPI/1M$456,9430.4%
US DOLLAR$387,9250.0%
SWAP/04/15/2032/P:USD 2.60750 /R:USD/USCPI/1M$366,4760.4%
SWAPTION/EUROPEAN/11/02/2022/11/04/2052/P:EUR 0.19500 /R:EUR/EURIBOR/6M$330,3580.1%
YEN$316,5970.0%
SWAP/04/15/2032/P:USD 2.60500 /R:USD/USCPI/1M$309,1110.3%
SWAP/01/15/2025/P:USD 1.96750 /R:USD/USCPI/1M$298,8560.3%
SWAP/01/15/2025/P:USD 1.58000 /R:USD/USCPI/1M$298,2280.2%
SWAPTION/EUROPEAN/11/02/2022/11/04/2052/P:EUR 0.19000 /R:EUR/EURIBOR/6M$239,3080.1%
SWAP/03/05/2026/P:USD 2.41875 /R:USD/USCPI/1M$200,2630.2%
SWAP/07/08/2027/P:USD 2.77000 /R:USD/USCPI/1M$165,4700.7%
SWAP/05/15/2026/P:EUR 1.50000 /R:EUR/HICPXT/1M$165,0170.1%
SWAP/07/08/2027/P:USD 2.77750 /R:USD/USCPI/1M$163,0570.7%
SWAP/05/13/2027/P:USD 3.26250 /R:USD/USCPI/1M$153,1551.5%
SWAP/02/26/2026/P:USD 2.31375 /R:USD/USCPI/1M$151,2590.1%
SWAP/05/13/2026/P:USD 2.76750 /R:USD/USCPI/1M$136,6890.2%
SWAPTION/EUROPEAN/11/04/2022/11/08/2052/P:EUR 0.19700 /R:EUR/EURIBOR/6M$135,5940.0%
SWAP/07/15/2026/P:USD 2.94400 /R:USD/USCPI/1M$122,3300.1%
SWAP/02/05/2023/P:USD 2.21000 /R:USD/USCPI/1M$94,3200.1%
CURRENCY CONTRACT - USD$94,236-0.5%
SWAP/03/15/2024/P:EUR 1.03000 /R:EUR/FRCPI/1M$83,2220.1%
SWAP/10/04/2026/P:USD 1.48700 /R:USD/LIBOR/3M$79,7610.1%
CANADIAN DOLLAR$78,2560.0%
SWAP/05/14/2026/P:USD 2.79300 /R:USD/USCPI/1M$71,8350.1%
SWAP/11/10/2045/P:USD 2.72100 /R:USD/LIBOR/3M$64,8100.0%
BRAZILIAN REAL$63,9490.0%
CURRENCY CONTRACT - USD$56,651-0.1%
SWAP/03/15/2024/P:GBP 6.29000 /R:GBP/UKRPI/1M$53,3220.1%
SWAP/11/15/2031/P:GBP 4.25000 /R:GBP/UKRPI/1M$53,0840.0%
MEXICAN PESO$52,6970.0%
SWAP/06/15/2024/P:GBP 5.20000 /R:GBP/UKRPI/1M$50,7900.1%
EURO-BUXL 30Y BND BOND 08/SEP/2022 UBU2 COMDTY$47,386-0.1%
SWAP/05/15/2024/P:GBP 6.60000 /R:GBP/UKRPI/1M$43,3160.1%
EURO-OAT FUTURE BOND 08/SEP/2022 OATU2 COMDTY$42,551-0.1%
SWAP/05/10/2023/P:USD 2.28100 /R:USD/USCPI/1M$42,2710.1%
EURO$42,2510.0%
SWAP/05/20/2029/P:USD 2.39000 /R:USD/LIBOR/3M$41,0670.1%
SWAP/05/20/2029/P:USD 2.36000 /R:USD/LIBOR/3M$38,5890.1%
EURO-BTP FUTURE BOND 08/SEP/2022 IKU2 COMDTY$38,480-0.1%
CURRENCY CONTRACT - USD$33,313-0.1%
CURRENCY CONTRACT - USD$31,484-0.3%
SWAP/03/15/2024/P:GBP 6.29000 /R:GBP/UKRPI/1M$30,4700.0%
CURRENCY CONTRACT - DKK$29,1580.5%
SWAP/05/09/2023/P:USD 2.26250 /R:USD/USCPI/1M$27,6430.0%
SWAP/11/10/2045/P:USD 2.72100 /R:USD/LIBOR/3M$27,4620.0%
POUND STERLING$26,6290.0%
CURRENCY CONTRACT - USD$26,238-0.1%
SWAPTION/EUROPEAN/05/31/2023/06/02/2033/P:USD/SOFR/1D /R:USD 2.35000$25,2930.4%
CURRENCY CONTRACT - USD$24,700-0.2%
EURO-BUND FUTURE BOND 08/SEP/2022 RXU2 COMDTY$24,2980.2%
CURRENCY CONTRACT - USD$23,459-0.2%
SWAP/11/09/2026/P:USD 1.67150 /R:USD/LIBOR/3M$22,5390.0%
SWAPTION/EUROPEAN/01/31/2023/02/02/2033/P:USD/SOFR/1D /R:USD 1.57900$21,9730.1%
CURRENCY CONTRACT - USD$20,745-0.1%
SWAP/05/15/2024/P:GBP 6.44000 /R:GBP/UKRPI/1M$18,5320.0%
US 10YR ULTRA FUT BOND 20/DEC/2022 UXYZ2 COMDTY$18,528-0.7%
YEN$18,4700.0%
CURRENCY CONTRACT - USD$17,570-0.1%
SWAP/11/08/2026/P:USD 1.65700 /R:USD/LIBOR/3M$17,0810.0%
US LONG BOND(CBT) BOND 20/DEC/2022 USZ2 COMDTY$16,682-1.1%
US ULTRA BOND CBT BOND 20/DEC/2022 WNZ2 COMDTY$16,2530.2%
SWAP/06/15/2024/P:GBP 5.33000 /R:GBP/UKRPI/1M$16,0400.0%
SWAP/07/12/2027/P:USD 2.35450 /R:USD/LIBOR/3M$14,7450.0%
CURRENCY CONTRACT - USD$13,429-0.1%
SWAP/08/15/2030/P:EUR 2.35900 /R:EUR/HICPXT/1M$11,5230.0%
SWAP/05/15/2027/P:EUR 3.00000 /R:EUR/HICPXT/1M$11,4330.0%
SHORT EURO-BTP FU BOND 08/SEP/2022 BTSU2 COMDTY$11,357-0.1%
SWAP/01/15/2032/P:GBP 4.30000 /R:GBP/UKRPI/1M$11,0380.0%
SELL PROTECTION ON CMBX.NA.BBB-.6.MAY.05/11/2063$9,6250.0%
SELL PROTECTION ON CMBX.NA.BBB-.6.MAY.05/11/2063$9,5490.0%
SWAP/05/15/2032/P:EUR 2.60000 /R:EUR/HICPXT/1M$9,3030.0%
SWAP/07/15/2032/P:EUR 2.47000 /R:EUR/HICPXT/1M$8,5270.0%
SWAPTION/EUROPEAN/04/26/2023/04/28/2033/P:USD/SOFR/1D /R:USD 2.35000$8,3230.1%
SELL PROTECTION ON CMBX.NA.BBB-.6.MAY.05/11/2063$7,7120.0%
EURO-SCHATZ FUT BOND 08/SEP/2022 DUU2 COMDTY$6,204-0.1%
SWAP/05/15/2032/P:EUR 2.60000 /R:EUR/HICPXT/1M$5,7510.0%
CURRENCY CONTRACT - USD$5,6640.0%
SHORT EURO-BTP FU BOND 08/DEC/2022 BTSZ2 COMDTY$5,562-0.2%
SELL PROTECTION ON CMBX.NA.BBB-.6.MAY.05/11/2063$5,4750.0%
SELL PROTECTION ON CMBX.NA.BBB-.6.MAY.05/11/2063$5,4730.0%
EURO$5,4160.0%
SELL PROTECTION ON CMBX.NA.BBB-.6.MAY.05/11/2063$5,2250.0%
POUND STERLING$5,1370.0%
AUSTRALIAN DOLLAR$5,1320.0%
SELL PROTECTION ON CMBX.NA.BBB-.6.MAY.05/11/2063$5,0980.0%
SELL PROTECTION ON CMBX.NA.BBB-.6.MAY.05/11/2063$4,8580.0%
SWAP/06/04/2029/P:USD 2.15000 /R:USD/LIBOR/3M$4,7820.0%
SWAP/06/15/2032/P:EUR 2.72000 /R:EUR/HICPXT/1M$4,715-0.1%
CURRENCY CONTRACT - USD$4,672-0.1%
SELL PROTECTION ON CMBX.NA.BBB-.6.MAY.05/11/2063$4,0170.0%
SELL PROTECTION ON CMBX.NA.BBB-.6.MAY.05/11/2063$3,7880.0%
EURO-BOBL FUTURE BOND 08/SEP/2022 OEU2 COMDTY$3,7570.0%
SELL PROTECTION ON CMBX.NA.BBB-.6.MAY.05/11/2063$3,6780.0%
SELL PROTECTION ON CMBX.NA.BBB-.6.MAY.05/11/2063$3,5930.0%
CURRENCY CONTRACT - USD$3,5650.0%
SELL PROTECTION ON CMBX.NA.BBB-.6.MAY.05/11/2063$3,0200.0%
SELL PROTECTION ON CMBX.NA.BBB-.6.MAY.05/11/2063$2,8580.0%
SWAP/05/15/2026/P:EUR 1.50000 /R:EUR/HICPXT/1M$2,757-0.1%
SELL PROTECTION ON CMBX.NA.BBB-.6.MAY.05/11/2063$2,6990.0%
SELL PROTECTION ON CMBX.NA.BBB-.6.MAY.05/11/2063$2,6970.0%
SWAP/03/15/2052/P:EUR/HICPXT/1M /R:EUR 2.59000$2,5740.0%
SELL PROTECTION ON CMBX.NA.BBB-.6.MAY.05/11/2063$2,4480.0%
SWAP/03/15/2031/P:EUR/HICPXT/1M /R:EUR 1.38000$2,346-0.1%
SWAP/05/15/2027/P:EUR 3.13000 /R:EUR/HICPXT/1M$2,2330.0%
SWAP/12/15/2031/P:JPY 0.05000 /R:JPY/TONAR/1D$2,0261.0%
SWEDISH KRONA$2,0220.0%
SWAP/03/15/2036/P:GBP/UKRPI/1M /R:GBP 3.58000$1,8710.0%
CURRENCY CONTRACT - EUR$1,8570.0%
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$1,6590.0%
SWAP/03/15/2031/P:EUR/HICPXT/1M /R:EUR 1.38000$1,6400.0%
CURRENCY CONTRACT - USD$1,6400.0%
SELL PROTECTION ON CMBX.NA.BBB-.6.MAY.05/11/2063$1,6100.0%
SELL PROTECTION ON CMBX.NA.BBB-.6.MAY.05/11/2063$1,5570.0%
SWAP/03/15/2031/P:EUR/HICPXT/1M /R:EUR 1.38000$1,4050.0%
NORWEGIAN KRONE$1,3600.0%
SELL PROTECTION ON CMBX.NA.BBB-.6.MAY.05/11/2063$1,2960.0%
SELL PROTECTION ON GENERAL ELECTRIC COMPANY SENIOR_UNSECURED/RECEIVE: USD 1.00000 MATURING ON 12/20/2023$1,2560.0%
SELL PROTECTION ON CMBX.NA.BBB-.6.MAY.05/11/2063$1,1810.0%
SELL PROTECTION ON CMBX.NA.BBB-.6.MAY.05/11/2063$1,1520.0%
SELL PROTECTION ON CMBX.NA.BBB-.6.MAY.05/11/2063$1,1120.0%
SELL PROTECTION ON CMBX.NA.BBB-.6.MAY.05/11/2063$1,0760.0%
CURRENCY CONTRACT - EUR$1,0120.0%
SELL PROTECTION ON CMBX.NA.BBB-.6.MAY.05/11/2063$9430.0%
SELL PROTECTION ON CMBX.NA.BBB-.6.MAY.05/11/2063$8750.0%
SELL PROTECTION ON CMBX.NA.BBB-.6.MAY.05/11/2063$8520.0%
SELL PROTECTION ON CMBX.NA.BBB-.6.MAY.05/11/2063$7750.0%
SELL PROTECTION ON CMBX.NA.BBB-.6.MAY.05/11/2063$7080.0%
SELL PROTECTION ON CMBX.NA.BBB-.6.MAY.05/11/2063$7070.0%
CREDIT DEFAULT SWAP - CDS$6800.0%
SELL PROTECTION ON CMBX.NA.BBB-.6.MAY.05/11/2063$6530.0%
SELL PROTECTION ON CMBX.NA.BBB-.6.MAY.05/11/2063$6040.0%
CURRENCY CONTRACT - EUR$5580.0%
SWAP/03/15/2031/P:EUR/HICPXT/1M /R:EUR 1.38000$5270.0%
SELL PROTECTION ON CMBX.NA.BBB-.6.MAY.05/11/2063$4680.0%
SELL PROTECTION ON CMBX.NA.BBB-.6.MAY.05/11/2063$4450.0%
SWAP/03/15/2024/P:GBP 6.29000 /R:GBP/UKRPI/1M$4270.0%
SWAP/03/15/2036/P:GBP/UKRPI/1M /R:GBP 3.58000$4260.0%
NEW ZEALAND DOLLAR$3060.0%
SWAP/03/15/2024/P:EUR 1.03000 /R:EUR/FRCPI/1M$259-0.1%
SELL PROTECTION ON CMBX.NA.BBB-.6.MAY.05/11/2063$2390.0%
SELL PROTECTION ON CMBX.NA.BBB-.6.MAY.05/11/2063$1800.0%
SELL PROTECTION ON CMBX.NA.BBB-.6.MAY.05/11/2063$1690.0%
SELL PROTECTION ON CMBX.NA.BBB-.6.MAY.05/11/2063$1500.0%
CURRENCY CONTRACT - EUR$1470.0%
SWAP/03/15/2036/P:GBP/UKRPI/1M /R:GBP 3.58000$1080.0%
CREDIT DEFAULT SWAP - CDS$830.0%
DANISH KRONE$730.0%
SWAP/02/26/2025/P:USD 1.58900 /R:USD/USCPI/1M$6-1.2%
SWAP/07/15/2026/P:USD 2.79250 /R:USD/USCPI/1M$5-2.0%
SWAP/07/15/2025/P:USD 1.59500 /R:USD/USCPI/1M$4-0.8%
SWAP/01/15/2025/P:USD 2.44000 /R:USD/USCPI/1M$4-1.1%
SWAP/01/15/2025/P:USD 0.78000 /R:USD/USCPI/1M$2-0.5%
SWAP/07/15/2026/P:USD 2.90800 /R:USD/USCPI/1M$2-0.7%
SWAP/07/15/2026/P:USD 2.89600 /R:USD/USCPI/1M$2-0.7%
SWAP/05/21/2031/P:USD 1.61650 /R:USD/LIBOR/3M$2-1.5%
SWAP/01/15/2027/P:USD 2.84250 /R:USD/USCPI/1M$2-0.7%
SWAP/01/15/2026/P:USD 2.32200 /R:USD/USCPI/1M$1-0.4%
SWAP/02/05/2023/P:USD 2.21000 /R:USD/USCPI/1M$1-0.1%
SWAP/03/05/2026/P:USD 2.41875 /R:USD/USCPI/1M$1-0.2%
SWAP/05/13/2027/P:USD 3.26250 /R:USD/USCPI/1M$1-1.5%
SWAP/01/15/2025/P:USD 1.96750 /R:USD/USCPI/1M$1-0.3%
WON$10.0%
SWAP/11/15/2034/P:EUR/FRCPI/1M /R:EUR 1.28000$00.0%
SWAP/01/15/2025/P:USD 1.58000 /R:USD/USCPI/1M$0-0.2%
SELL PROTECTION ON BARCLAYS BANK PLC SENIOR_UNSECURED/RECEIVE: EUR 1.00000 MATURING ON 12/20/2022$00.0%
SELL PROTECTION ON CMBX.NA.BBB-.6.MAY.05/11/2063$00.0%
SWAP/05/13/2026/P:USD 2.76750 /R:USD/USCPI/1M$0-0.2%
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/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/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/02/26/2026/P:USD 2.31375 /R:USD/USCPI/1M$0-0.1%
SWAP/01/15/2032/P:GBP 4.30000 /R:GBP/UKRPI/1M$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/06/04/2029/P:USD 2.15000 /R:USD/LIBOR/3M$00.0%
SWAP/06/15/2024/P:GBP 5.20000 /R:GBP/UKRPI/1M$0-0.1%
SWAP/06/05/2027/P:USD 0.55750 /R:USD/LIBOR/3M$0-0.5%
SWAP/06/15/2024/P:GBP 5.33000 /R:GBP/UKRPI/1M$00.0%
SWAP/07/08/2027/P:USD 2.77000 /R:USD/USCPI/1M$0-0.7%
SWAP/05/15/2037/P:EUR/HICPXT/1M /R:EUR 2.48750$0-0.1%
SWAP/06/15/2032/P:EUR 2.72000 /R:EUR/HICPXT/1M$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$0-0.1%
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/07/15/2032/P:EUR 2.47000 /R:EUR/HICPXT/1M$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/07/08/2027/P:USD 2.77750 /R:USD/USCPI/1M$0-0.7%
SWAP/12/15/2031/P:JPY 0.05000 /R:JPY/TONAR/1D$0-1.0%
SWAP/08/15/2030/P:GBP/UKRPI/1M /R:GBP 3.47500$0-0.1%
SWAP/11/15/2031/P:GBP 4.25000 /R:GBP/UKRPI/1M$00.0%
SWAP/08/15/2030/P:EUR 2.35900 /R:EUR/HICPXT/1M$00.0%
SWAP/10/04/2026/P:USD 1.48700 /R:USD/LIBOR/3M$0-0.1%
SWAP/11/08/2026/P:USD 1.65700 /R:USD/LIBOR/3M$00.0%
SWAP/11/09/2026/P:USD 1.67150 /R:USD/LIBOR/3M$00.0%
EUROPEAN OPTION EXPIRING ON 12/21/2022 TO BUY PROTECTION ON CDX.NA.IG.38-V1.JUN.2027/PAY: USD 0.00$-260.0%
EUROPEAN OPTION EXPIRING ON 11/16/2022 TO BUY PROTECTION ON ITRAXX.EUROPE.MAIN.37-V1.JUN.2027/PAY: EUR 0.00$-340.0%
CREDIT DEFAULT SWAP, CMBX - CDSCMBX$-1610.0%
CREDIT DEFAULT SWAP, CMBX - CDSCMBX$-3230.0%
CREDIT DEFAULT SWAP, CMBX - CDSCMBX$-3230.0%
CREDIT DEFAULT SWAP, CMBX - CDSCMBX$-3230.0%
CREDIT DEFAULT SWAP, CMBX - CDSCMBX$-6460.0%
SWAP/03/15/2052/P:EUR/HICPXT/1M /R:EUR 2.59000$-8040.0%
CREDIT DEFAULT SWAP, CMBX - CDSCMBX$-8070.0%
CREDIT DEFAULT SWAP, CMBX - CDSCMBX$-8070.0%
CREDIT DEFAULT SWAP, CMBX - CDSCMBX$-9690.0%
CREDIT DEFAULT SWAP, CMBX - CDSCMBX$-1,1300.0%
CREDIT DEFAULT SWAP, CMBX - CDSCMBX$-1,1300.0%
CREDIT DEFAULT SWAP, CMBX - CDSCMBX$-1,1300.0%
CREDIT DEFAULT SWAP, CMBX - CDSCMBX$-1,1300.0%
CREDIT DEFAULT SWAP, CMBX - CDSCMBX$-1,1300.0%
SWAP/03/15/2052/P:EUR/HICPXT/1M /R:EUR 2.58000$-1,1640.0%
SWAP/03/15/2052/P:EUR/HICPXT/1M /R:EUR 2.58000$-1,2820.0%
SWAP/06/15/2032/P:EUR 2.72000 /R:EUR/HICPXT/1M$-1,2900.0%
CREDIT DEFAULT SWAP, CMBX - CDSCMBX$-1,2920.0%
CREDIT DEFAULT SWAP, CMBX - CDSCMBX$-1,2920.0%
CREDIT DEFAULT SWAP, CMBX - CDSCMBX$-1,4530.0%
CURRENCY CONTRACT - EUR$-1,6340.0%
CREDIT DEFAULT SWAP, CMBX - CDSCMBX$-1,7760.0%
CREDIT DEFAULT SWAP, CMBX - CDSCMBX$-1,7760.0%
CREDIT DEFAULT SWAP, CMBX - CDSCMBX$-1,9380.0%
CREDIT DEFAULT SWAP, CMBX - CDSCMBX$-2,2610.0%
SWAP/06/15/2032/P:EUR 2.72000 /R:EUR/HICPXT/1M$-2,2740.1%
CREDIT DEFAULT SWAP, CMBX - CDSCMBX$-2,4220.0%
SWAP/03/21/2023/P:USD/USCPI/1M /R:USD 5.50000$-2,5560.0%
CREDIT DEFAULT SWAP, CMBX - CDSCMBX$-2,7450.0%
CURRENCY CONTRACT - EUR$-3,0590.0%
US 2YR NOTE (CBT) BOND 30/DEC/2022 TUZ2 COMDTY$-3,9430.2%
CREDIT DEFAULT SWAP, CMBX - CDSCMBX$-4,0370.0%
CREDIT DEFAULT SWAP, CMBX - CDSCMBX$-4,0370.0%
CURRENCY CONTRACT - USD$-4,933-0.1%
EURO$-5,0880.0%
CREDIT DEFAULT SWAP, CMBX - CDSCMBX$-5,1680.0%
CREDIT DEFAULT SWAP, CMBX - CDSCMBX$-5,3290.0%
CREDIT DEFAULT SWAP, CMBX - CDSCMBX$-5,4910.0%
CREDIT DEFAULT SWAP, CMBX - CDSCMBX$-5,8140.0%
CREDIT DEFAULT SWAP, CMBX - CDSCMBX$-6,6210.0%
CREDIT DEFAULT SWAP, CMBX - CDSCMBX$-6,9440.0%
CREDIT DEFAULT SWAP, CMBX - CDSCMBX$-7,1060.0%
CREDIT DEFAULT SWAP, CMBX - CDSCMBX$-7,1060.0%
CREDIT DEFAULT SWAP, CMBX - CDSCMBX$-7,4290.0%
CREDIT DEFAULT SWAP, CMBX - CDSCMBX$-8,0750.0%
CREDIT DEFAULT SWAP, CMBX - CDSCMBX$-8,3980.0%
CREDIT DEFAULT SWAP, CMBX - CDSCMBX$-9,6900.0%
CREDIT DEFAULT SWAP, CMBX - CDSCMBX$-11,1430.0%
LONG GILT FUTURE BOND 28/DEC/2022 G Z2 COMDTY$-11,2500.1%
SWAPTION/EUROPEAN/04/26/2023/04/28/2028/P:USD/SOFR/1D /R:USD 2.20000$-11,3020.2%
CREDIT DEFAULT SWAP, CMBX - CDSCMBX$-12,1120.0%
CURRENCY CONTRACT - EUR$-16,2530.1%
SWAP/03/15/2031/P:EUR/HICPXT/1M /R:EUR 1.38000$-19,7520.0%
CURRENCY CONTRACT - NOK$-19,9080.1%
SWAP/05/15/2037/P:EUR/HICPXT/1M /R:EUR 2.48750$-20,4120.1%
SWAPTION/EUROPEAN/01/31/2023/02/02/2025/P:USD/SOFR/1D /R:USD 1.42750$-23,5810.5%
SWAP/03/15/2036/P:GBP/UKRPI/1M /R:GBP 3.58000$-24,8220.0%
CURRENCY CONTRACT - USD$-29,277-0.5%
CURRENCY CONTRACT - USD$-29,876-0.1%
SWAPTION/EUROPEAN/05/31/2023/06/02/2028/P:USD/SOFR/1D /R:USD 2.20000$-32,6630.6%
CURRENCY CONTRACT - EUR$-35,2880.1%
SWAP/03/15/2031/P:EUR/HICPXT/1M /R:EUR 1.38000$-39,5190.0%
SWAP/03/15/2031/P:EUR/HICPXT/1M /R:EUR 1.38000$-39,5190.0%
SWAP/03/15/2031/P:EUR/HICPXT/1M /R:EUR 1.38000$-39,5190.0%
SWAP/11/15/2034/P:EUR/FRCPI/1M /R:EUR 1.28000$-42,3880.0%
CREDIT DEFAULT SWAP, CMBX - CDSCMBX$-44,8630.0%
CURRENCY CONTRACT - JPY$-45,3130.1%
SWAP/03/15/2036/P:GBP/UKRPI/1M /R:GBP 3.58000$-49,6450.0%
SWAP/03/15/2036/P:GBP/UKRPI/1M /R:GBP 3.58000$-49,6450.0%
SWAP/03/15/2036/P:GBP/UKRPI/1M /R:GBP 3.58000$-49,6450.0%
SWAP/03/15/2036/P:GBP/UKRPI/1M /R:GBP 3.56600$-50,1890.0%
CURRENCY CONTRACT - JPY$-59,9200.1%
CURRENCY CONTRACTS - ZAR$-67,3100.1%
US 10YR NOTE (CBT) BOND 20/DEC/2022 TYZ2 COMDTY$-91,1531.3%
SWAP/03/15/2031/P:EUR/HICPXT/1M /R:EUR 1.38000$-98,7620.1%
SWAP/02/15/2031/P:GBP/UKRPI/1M /R:GBP 3.62400$-228,4010.1%
US DOLLAR$-241,0000.0%
US 5YR NOTE (CBT) BOND 30/DEC/2022 FVZ2 COMDTY$-273,3727.2%
JPN 10Y BOND(OSE) BOND 12/SEP/2022 JBU2 COMDTY$-295,971-2.6%
SWAPTION/EUROPEAN/11/04/2022/11/08/2032/P:EUR 0.00000 /R:EUR/EURIBOR/6M$-334,1040.2%
SWAP/08/15/2030/P:GBP/UKRPI/1M /R:GBP 3.47500$-361,5890.1%
SWAPTION/EUROPEAN/11/02/2022/11/04/2032/P:EUR 0.00000 /R:EUR/EURIBOR/6M$-432,2420.2%
SWAPTION/EUROPEAN/11/02/2022/11/04/2032/P:EUR 0.00000 /R:EUR/EURIBOR/6M$-529,7550.3%
RAND$-1,148,001-0.1%
US DOLLAR$-14,424,347-1.5%
All Holdings As of Jul 31, 2022
Exchange-Traded Funds
Underlying Fund HoldingsMarket Value%
INVESCO DB AGRICULTURE FUND ETP USD$1,817,1000.2%
INVESCO DB BASE METALS FUND ETP USD$1,239,2100.1%
INVESCO DB OIL FUND ETP USD$357,8000.0%
 
Fixed Income
Underlying Fund HoldingsMarket Value%
UNITED STATES OF AMERICA NOTES .125% 07/15/2031$62,795,4666.2%
UNITED STATES OF AMERICA NOTES .125% 01/15/2032$31,276,6873.1%
UNITED STATES OF AMERICA NOTES .125% 10/15/2024$30,559,8533.0%
UNITED STATES OF AMERICA NOTES .125% 04/15/2026$28,075,3212.8%
UNITED STATES OF AMERICA BOND 2.5% 01/15/2029$19,348,3771.9%
UNITED STATES OF AMERICA NOTES .375% 07/15/2027$17,826,1211.8%
UNITED STATES OF AMERICA NOTES .25% 01/15/2025$17,166,0261.7%
UNITED STATES OF AMERICA BOND 2.125% 02/15/2041$16,850,0011.7%
UNITED STATES OF AMERICA NOTES .875% 01/15/2029$15,929,2691.6%
UNITED STATES OF AMERICA NOTES .375% 07/15/2025$15,629,0891.5%
UNITED STATES OF AMERICA NOTES .125% 07/15/2026$15,549,3291.5%
UNITED STATES OF AMERICA NOTES .125% 04/15/2025$15,387,7701.5%
UNITED STATES OF AMERICA NOTES .75% 07/15/2028$15,210,5471.5%
UNITED STATES OF AMERICA NOTES .5% 01/15/2028$15,153,4471.5%
UNITED STATES OF AMERICA BOND .75% 02/15/2045$14,407,2131.4%
UNITED STATES OF AMERICA NOTES .5% 04/15/2024$14,266,8261.4%
UNITED STATES OF AMERICA NOTES .625% 01/15/2026$14,254,2721.4%
UNITED STATES OF AMERICA NOTES .125% 10/15/2025$13,899,0011.4%
UNITED STATES OF AMERICA BOND .625% 02/15/2043$13,163,4551.3%
UNITED STATES OF AMERICA NOTES .625% 04/15/2023$12,702,6991.3%
UNITED STATES OF AMERICA BOND .125% 02/15/2052$11,985,9901.2%
UNITED STATES OF AMERICA NOTES .125% 07/15/2030$11,693,9431.2%
UNITED STATES OF AMERICA BOND 1% 02/15/2046$11,460,4191.1%
UNITED STATES OF AMERICA NOTES .125% 04/15/2027$9,766,8681.0%
UNITED STATES OF AMERICA NOTES .25% 07/15/2029$8,869,4370.9%
UNITED STATES OF AMERICA BOND .75% 02/15/2042$7,748,1190.8%
UNITED STATES OF AMERICA BOND 2.375% 01/15/2025$7,576,5070.7%
UNITED STATES OF AMERICA NOTES .125% 01/15/2023$7,405,6890.7%
UNITED STATES OF AMERICA BOND .875% 02/15/2047$7,388,8620.7%
UNITED STATES OF AMERICA BOND 1.375% 02/15/2044$7,202,4400.7%
UNITED STATES OF AMERICA BOND 1% 02/15/2048$7,014,1350.7%
UNITED STATES OF AMERICA NOTES .375% 01/15/2027$6,949,3620.7%
UNITED STATES OF AMERICA NOTES .125% 01/15/2030$6,728,6430.7%
UNITED STATES OF AMERICA BOND 3.625% 04/15/2028$6,380,8180.6%
UNITED STATES OF AMERICA NOTES .125% 10/15/2026$5,939,7820.6%
UNITED STATES OF AMERICA NOTES .375% 07/15/2023$5,711,2900.6%
UNITED STATES OF AMERICA BOND 3.875% 04/15/2029$5,562,9230.6%
UNITED STATES OF AMERICA NOTES .125% 01/15/2031$5,230,0610.5%
UNITED STATES OF AMERICA BOND 1.75% 01/15/2028$4,582,8920.5%
UNITED STATES OF AMERICA BOND .25% 02/15/2050$4,162,0650.4%
REPUBLIC OF ITALY BOND 1.402% 05/26/2025$4,010,5280.4%
UNITED STATES OF AMERICA BOND .125% 02/15/2051$3,633,9020.4%
UNITED STATES OF AMERICA NOTES .625% 07/15/2032$3,176,0030.3%
NYKREDIT REALKREDIT AS 1.5% 10/01/2053$2,800,1670.3%
UNITED STATES OF AMERICA BOND 2.125% 02/15/2040$2,718,1510.3%
TBA UMBS SINGLE FAMILY 30YR 3 8/20$2,492,0470.2%
TBA UMBS SINGLE FAMILY 30YR 2.5 8/20$2,211,1720.2%
UNITED STATES OF AMERICA BOND 1% 02/15/2049$2,167,9020.2%
FEDERAL NATIONAL MORTGAGE ASSOCIATION 3% 02/01/2052$1,721,2180.2%
UNITED STATES OF AMERICA BOND 2% 01/15/2026$1,696,9740.2%
NORDEA KREDIT REALKREDITAKTIESELSKAB 1.5% 10/01/2053$1,417,4990.1%
MORGAN STANLEY 8% 04/25/2023$1,367,1640.1%
UNITED MEXICAN STATES BOND 7.5% 06/03/2027$1,308,2030.1%
UNICREDIT SPA 7.83% 12/04/2023$1,234,9820.1%
AREIT 2022-CRE6 TRUST 2.721% 01/16/2037$1,041,7600.1%
FEDERAL NATIONAL MORTGAGE ASSOCIATION 2.5% 03/01/2052$904,8260.1%
FREDDIE MAC STACR REMIC TRUST 2022-DNA5 6.014% 06/25/2042$900,5100.1%
REGATTA XX FUNDING LTD 3.672% 10/15/2034$887,1230.1%
MAGNETITE XXVI LTD 3.903% 07/25/2034$881,5550.1%
BFLD TRUST 3.599% 06/15/2038$829,0110.1%
FREDDIE MAC STACR REMIC TRUST 2021-DNA6 3.014% 10/25/2041$761,7810.1%
PRUDENTIAL FINANCIAL INC 5.875% 09/15/2042$753,4230.1%
FREDDIE MAC STACR REMIC TRUST 2021-DNA7 3.314% 11/25/2041$739,9580.1%
JAPAN BOND .005% 03/10/2031$735,4800.1%
FRENCH REPUBLIC BOND .108% 07/25/2038$732,5120.1%
CONNECTICUT AVENUE SECURITIES TRUST 2022-R01 3.414% 12/25/2041$727,8450.1%
MORGAN STANLEY 8% 05/17/2023$713,8580.1%
EI DU PONT DE NEMOURS AND CO 1.091% 02/15/2038$711,4680.1%
SUZANO AUSTRIA GMBH 2.5% 09/15/2028$700,6380.1%
AVANT LOANS FUNDING TRUST 2021-REV1 1.21% 07/15/2030$675,2840.1%
REPUBLIC OF ITALY BOND .436% 05/15/2030$671,2500.1%
BREX COMMERCIAL CHARGE CARD MASTER TRUST 4.63% 07/15/2025$667,3680.1%
ACM AUTO TRUST 2022-1 3.23% 04/20/2029$640,7340.1%
BANK OF AMERICA CORP 4.376% 04/27/2028$619,3310.1%
AVIS BUDGET RENTAL CAR FUNDING AESOP LLC 4.56% 03/20/2024$600,3200.1%
SLM STUDENT LOAN TRUST 2004-10 3.383% 10/25/2029$589,6960.1%
DIAMOND ISSUER 2.305% 11/20/2051$580,4920.1%
BELLEMEADE RE 2021-3 LTD 2.514% 09/25/2031$580,4770.1%
CONNECTICUT AVENUE SECURITIES TRUST 2022-R03 5.014% 03/25/2042$572,7700.1%
UNITED AUTO CREDIT SECURITIZATION TRUST 2022-2 4.39% 04/10/2025$572,2810.1%
MORGAN STANLEY 8% 06/09/2023$571,9840.1%
FREDDIE MAC STACR REMIC TRUST 2022-DNA2 3.914% 02/25/2042$560,6010.1%
CONNECTICUT AVENUE SECURITIES TRUST 2022-R02 2.714% 01/25/2042$547,0660.1%
JAPAN BOND .102% 03/10/2028$546,3340.1%
CCO HOLDINGS LLC / CCO HOLDINGS CAPITAL CORP 4.75% 02/01/2032$545,4830.1%
OAKTOWN RE VII LTD 3.114% 04/25/2034$545,0520.1%
CELANESE US HOLDINGS LLC 5.9% 07/05/2024$535,1210.1%
NEUBERGER BERMAN LOAN ADVISERS CLO 43 LTD 3.87% 07/17/2035$521,8290.1%
MADISON PARK FUNDING LI LTD 5.788% 07/19/2034$505,2930.1%
LAS VEGAS SANDS CORP 3.9% 08/08/2029$500,8570.1%
FREDDIE MAC STACR REMIC TRUST 2022-DNA4 4.864% 05/25/2042$497,3810.1%
ENBRIDGE ENERGY PARTNERS LP 7.375% 10/15/2045$479,9480.1%
AFFIRM ASSET SECURITIZATION TRUST 2022-X1 1.75% 02/15/2027$478,8130.1%
FORD MOTOR CREDIT CO LLC 4.95% 05/28/2027$467,4640.1%
CNH INDUSTRIAL CAPITAL LLC 3.95% 05/23/2025$465,2670.1%
PIKES PEAK CLO 8 5.81% 07/20/2034$460,8920.1%
FREDDIE MAC STACR REMIC TRUST 2021-HQA4 3.864% 12/25/2041$458,6320.1%
FISERV INC 3.5% 07/01/2029$457,2930.0%
ENTEGRIS ESCROW CORP 4.75% 04/15/2029$453,5500.0%
BELLEMEADE RE LTD 3.014% 06/25/2031$449,2240.0%
CPS AUTO RECEIVABLES TRUST 2022-A 2.17% 04/16/2029$441,9480.0%
TENCENT HOLDINGS LTD 2.39% 06/03/2030$441,8430.0%
HP INC 5.5% 01/15/2033$438,9030.0%
HERTZ VEHICLE FINANCING III LLC 2.63% 06/25/2026$433,9870.0%
SOCIETE GENERALE SA 2.797% 01/19/2028$432,8830.0%
OCTANE RECEIVABLES TRUST 2021-2 2.02% 09/20/2028$431,6320.0%
WEIBO CORP 3.375% 07/08/2030$428,2280.0%
BBCMS 2020-BID MORTGAGE TRUST 4.139% 10/15/2037$427,8490.0%
ROCKFORD TOWER CLO 2021-2 LTD 3.87% 07/20/2034$424,7850.0%
CARNIVAL CORP 4% 08/01/2028$421,4030.0%
KYNDRYL HOLDINGS INC 2.05% 10/15/2026$418,4340.0%
NEIGHBORLY ISSUER 2022-1 3.695% 01/30/2052$416,2530.0%
AB ISSUER LLC 3.734% 07/30/2051$409,2780.0%
UNITED STATES OF AMERICA BOND 3.375% 04/15/2032$409,0190.0%
AGL CLO 12 LTD 5.56% 07/20/2034$401,1060.0%
FREDDIE MAC STRUCTURED AGENCY CREDIT RISK DEBT NOTES 4.909% 12/25/2029$400,9690.0%
DISH DBS CORP 5.25% 12/01/2026$399,6290.0%
BALLYROCK CLO 16 LTD 5.61% 07/20/2034$398,9230.0%
CPS AUTO RECEIVABLES TRUST 2021-C 1.69% 06/15/2027$389,4560.0%
UPSTART SECURITIZATION TRUST 2021-3 1.66% 07/20/2031$387,9230.0%
BX COMMERCIAL MORTGAGE TRUST 2019-IMC 4.149% 04/15/2034$386,1790.0%
OCHSNER LSU HEALTH SYSTEM OF NORTH LOUISIANA 2.51% 05/15/2031$385,9630.0%
FREDDIE MAC STACR REMIC TRUST 2022-DNA1 3.364% 01/25/2042$383,3900.0%
OCP CLO 2020-18 LTD 3.8% 07/20/2032$381,9200.0%
AIRCASTLE LTD 4.25% 06/15/2026$381,2230.0%
TRIANGLE RE 2021-3 LTD 3.414% 02/25/2034$370,0720.0%
CONTINENTAL RESOURCES INC/OK 2.875% 04/01/2032$367,8890.0%
BALBOA BAY LOAN FUNDING 2021-1 LTD 3.91% 07/20/2034$357,3670.0%
BAMLL COMMERCIAL MORTGAGE SECURITIES TRUST 2017-SCH 2.999% 11/15/2033$353,6060.0%
CGRBS COMMERCIAL MORTGAGE TRUST 2013-VN05 3.369% 03/13/2035$349,6710.0%
FLATIRON CLO 21 LTD 5.638% 07/19/2034$346,9180.0%
UNIVERSITY OF CALIFORNIA 3.071% 05/15/2051$340,1670.0%
ELMWOOD CLO IX LTD 5.66% 07/20/2034$336,3820.0%
BAT CAPITAL CORP 2.259% 03/25/2028$336,2470.0%
GLP CAPITAL LP / GLP FINANCING II INC 3.25% 01/15/2032$335,6630.0%
FEDERAL NATIONAL MORTGAGE ASSOCIATION 3.514% 11/25/2041$331,2740.0%
CREDIT SUISSE GROUP AG 6.375% CALLABLE$330,5250.0%
CONTINENTAL RESOURCES INC/OK 5.75% 01/15/2031$326,8130.0%
AIR LEASE CORP 4.625% 10/01/2028$324,7300.0%
OLEODUCTO CENTRAL SA 4% 07/14/2027$322,9790.0%
BELLEMEADE RE 2022-1 LTD 3.664% 01/26/2032$318,7450.0%
LAD AUTO RECEIVABLES TRUST 2021-1 1.3% 08/17/2026$318,5720.0%
CITIGROUP INC 9.582% 09/29/2024$317,9040.0%
STANDARD CHARTERED PLC 3.971% 03/30/2026$311,0160.0%
UBS GROUP AG 4.488% 05/12/2026$306,1040.0%
ENA MASTER TRUST 4% 05/19/2048$303,1080.0%
HSBC HOLDINGS PLC 4.762% 03/29/2033$302,2050.0%
ING BANK NV 2.625% 12/05/2022$299,6190.0%
COMISION FEDERAL DE ELECTRICIDAD BOND 4.688% 05/15/2029$290,3960.0%
GOLDENTREE LOAN MANAGEMENT US CLO 7 LTD 3.78% 04/20/2034$289,4300.0%
CARVANA AUTO RECEIVABLES TRUST 2021-P4 2.61% 09/11/2028$288,5300.0%
REALKREDIT DANMARK A/S 1% 10/01/2050$288,4570.0%
SOCIETE GENERALE SA 8% CALLABLE$287,8830.0%
GO MORTGAGE LLC/DE 2.435% 08/15/2026$286,5060.0%
CEMEX SAB DE CV 3.875% 07/11/2031$284,9290.0%
TSMC ARIZONA CORP 3.875% 04/22/2027$284,6620.0%
MVW 2021-2 LLC 1.83% 05/20/2039$282,2690.0%
TRANSCANADA PIPELINES LTD 6.1% 06/01/2040$276,9950.0%
CARVANA AUTO RECEIVABLES TRUST 2021-N3 1.02% 06/12/2028$276,2770.0%
CONN'S RECEIVABLES FUNDING 2021-A LLC 1.05% 05/15/2026$271,1600.0%
AVIS BUDGET RENTAL CAR FUNDING AESOP LLC 3.7% 09/20/2024$269,4550.0%
JPMORGAN CHASE & CO 4.851% 07/25/2028$267,9970.0%
NXP BV / NXP FUNDING LLC 5.55% 12/01/2028$266,2330.0%
DUKE ENERGY CAROLINAS NC STORM FUNDING LLC 2.617% 07/01/2043$266,2220.0%
DEUTSCHE BANK AG/NEW YORK NY 6.119% 07/14/2026$264,4530.0%
GOLDMAN SACHS GROUP INC/THE 7.5% 08/30/2023$262,3330.0%
DISH DBS CORP 5.75% 12/01/2028$259,3870.0%
NATURA COSMETICOS SA 4.125% 05/03/2028$258,8810.0%
ROSS STORES INC 4.7% 04/15/2027$258,4120.0%
FORD CREDIT AUTO OWNER TRUST 2021-REV1 2.31% 10/17/2033$258,3620.0%
BANK OF AMERICA CORP 3.419% 12/20/2028$257,5480.0%
BARCLAYS BANK PLC 7% 06/28/2023$257,2860.0%
FREDDIE MAC STACR REMIC TRUST 2022-DNA3 4.414% 04/25/2042$256,0800.0%
NXP BV / NXP FUNDING LLC / NXP USA INC 3.4% 05/01/2030$255,6750.0%
BALLYROCK CLO 15 LTD 5.612% 04/15/2034$253,4180.0%
WELLS FARGO & CO 9.109% 12/11/2023$251,4720.0%
AVIS BUDGET RENTAL CAR FUNDING AESOP LLC 4% 03/20/2025$248,7630.0%
INTERNATIONAL BUSINESS MACHINES CORP 4.9% 07/27/2052$248,3750.0%
CARVANA AUTO RECEIVABLES TRUST 2021-N4 2.3% 09/11/2028$247,0120.0%
EAGLE RE 2021-2 LTD 3.564% 04/25/2034$243,1070.0%
BERKSHIRE HATHAWAY ENERGY CO 6.125% 04/01/2036$242,3570.0%
NEW MOUNTAIN CLO 3 LTD 3.89% 10/20/2034$241,4750.0%
CREDIT SUISSE GROUP AG 9.75% CALLABLE$239,5130.0%
NELNET STUDENT LOAN TRUST 2021-C 2.53% 04/20/2062$238,6810.0%
DIAMOND INFRASTRUCTURE FUNDING LLC 2.355% 04/15/2049$237,6110.0%
DRYDEN 78 CLO LTD 4.69% 04/17/2033$234,8780.0%
HFX FUNDING ISSUER LLC 3.622% 03/15/2035$234,8730.0%
ENGIE ENERGIA CHILE SA 3.4% 01/28/2030$232,3280.0%
ELEVATION CLO 2020-11 LTD 4.712% 04/15/2033$231,8600.0%
ORACLE CORP 3.6% 04/01/2040$231,5900.0%
MORGAN STANLEY 4.21% 04/20/2028$230,1550.0%
NEUBERGER BERMAN LOAN ADVISERS CLO 42 LTD 5.54% 07/16/2035$230,0440.0%
CONNECTICUT AVENUE SECURITIES TRUST 2021-R03 3.164% 12/25/2041$226,2730.0%
NELNET STUDENT LOAN TRUST 2021-D 2.9% 04/20/2062$225,1850.0%
SK HYNIX INC 2.375% 01/19/2031$224,7060.0%
PPM CLO 5 LTD 5.79% 10/18/2034$221,3260.0%
NATIONWIDE BUILDING SOCIETY 2.972% 02/16/2028$220,0790.0%
AIRCASTLE LTD 2.85% 01/26/2028$218,9230.0%
TRANSCANADA PIPELINES LTD 6.2% 10/15/2037$218,8150.0%
MIZUHO FINANCIAL GROUP INC 2.226% 05/25/2026$216,7390.0%
GCI FUNDING I LLC 2.38% 06/18/2046$213,0570.0%
FREDDIE MAC STACR REMIC TRUST 2021-DNA5 3.164% 01/25/2034$212,8890.0%
NYKREDIT REALKREDIT AS 1% 10/01/2053$209,1780.0%
GS MORTGAGE SECURITIES TRUST 2011-GC5 5.159% 08/10/2044$207,1720.0%
MDC HOLDINGS INC 6% 01/15/2043$206,6900.0%
WYNN MACAU LTD 5.625% 08/26/2028$205,7950.0%
FREEPORT INDONESIA PT 4.763% 04/14/2027$205,3430.0%
ALPEK SAB DE CV 5.375% 08/08/2023$202,9760.0%
UNITED STATES OF AMERICA BOND 1.625% 11/15/2050$201,9340.0%
STATE OF QATAR BOND 3.875% 04/23/2023$200,6790.0%
PROSUS NV 3.257% 01/19/2027$200,6260.0%
FHF TRUST 2021-2 .83% 12/15/2026$200,5830.0%
BREX COMMERCIAL CHARGE CARD MASTER TRUST 2.09% 07/15/2024$200,3710.0%
NATWEST GROUP PLC 3.747% 06/25/2024$200,0260.0%
FORD MOTOR CREDIT CO LLC 3.55% 10/07/2022$199,7510.0%
GENERAL ELECTRIC CO 3.512% 04/15/2023$199,3720.0%
FEDERAL NATIONAL MORTGAGE ASSOCIATION 4% 12/25/2050$197,5050.0%
ANGLO AMERICAN CAPITAL PLC 3.875% 03/16/2029$197,2350.0%
BELLEMEADE RE LTD 4.464% 03/25/2031$195,7580.0%
GS MORTGAGE SECURITIES TRUST 2013-G1 3.557% 04/10/2031$194,2580.0%
NATIONWIDE MUTUAL INSURANCE CO 9.375% 08/15/2039$194,0720.0%
INTESA SANPAOLO SPA 5.017% 06/26/2024$193,7890.0%
COMISION FEDERAL DE ELECTRICIDAD BOND 3.348% 02/09/2031$193,0280.0%
BANCO SANTANDER SA 4.175% 03/24/2028$192,4420.0%
DOMINO'S PIZZA MASTER ISSUER LLC 2.662% 04/25/2051$191,1250.0%
PROSUS NV 3.68% 01/21/2030$189,3070.0%
ALTRIA GROUP INC 3.4% 05/06/2030$188,4070.0%
DOMINICAN REPUBLIC BOND 4.875% 09/23/2032$186,4110.0%
PRUDENTIAL FINANCIAL INC 5.2% 03/15/2044$185,7100.0%
DEUTSCHE BANK AG/NEW YORK NY 3.961% 11/26/2025$183,6080.0%
ZF FINANCE GMBH 3.75% 09/21/2028$182,0480.0%
REALKREDIT DANMARK A/S 1.5% 10/01/2053$180,9770.0%
CLNY TRUST 2019-IKPR 4.024% 11/15/2038$177,7470.0%
ADIENT GLOBAL HOLDINGS LTD 3.5% 08/15/2024$176,1370.0%
SANTANDER HOLDINGS USA INC 4.26% 06/09/2025$175,9620.0%
WELLS FARGO & CO 3.584% 05/22/2028$174,1780.0%
SUMMER BC HOLDCO B SARL 5.75% 10/31/2026$171,6170.0%
NH HOTEL GROUP SA 4% 07/02/2026$171,5240.0%
REPUBLIC OF COLOMBIA BOND 3.125% 04/15/2031$170,7650.0%
TK ELEVATOR MIDCO GMBH 4.375% 07/15/2027$169,6080.0%
GLENCORE FUNDING LLC 4% 03/27/2027$168,8610.0%
LORCA TELECOM BONDCO SA 4% 09/18/2027$168,6970.0%
CITIGROUP INC 5.95% CALLABLE$166,5190.0%
PMT CREDIT RISK TRANSFER TRUST 2019-2R 5.05% 05/27/2023$164,4000.0%
AVIATION CAPITAL GROUP LLC 1.95% 01/30/2026$163,6610.0%
HARLEY-DAVIDSON FINANCIAL SERVICES INC 3.35% 06/08/2025$163,1260.0%
ENERGY TRANSFER LP 6.25% 04/15/2049$160,3210.0%
COLLEGE AVE STUDENT LOANS 2021-C LLC 2.72% 07/26/2055$160,1970.0%
STANDARD CHARTERED PLC 4.316% CALLABLE$159,8880.0%
ALTICE FINANCING SA 3% 01/15/2028$156,2450.0%
AFFIRM ASSET SECURITIZATION TRUST 2021-Z2 1.17% 11/16/2026$156,1620.0%
AMERICAN TOWER CORP 3.65% 03/15/2027$154,2420.0%
WELLS FARGO COMMERCIAL MORTGAGE TRUST 2016-NXS6 4.394% 11/15/2049$153,7050.0%
ALTICE FRANCE SA/FRANCE 3.375% 01/15/2028$153,6200.0%
EMBRAER NETHERLANDS FINANCE BV 5.4% 02/01/2027$151,7720.0%
MORGAN STANLEY 4.679% 07/17/2026$151,6320.0%
APCOA PARKING HOLDINGS GMBH 4.625% 01/15/2027$151,1540.0%
RADNOR RE 2020-1 LTD 3.209% 01/25/2030$150,8480.0%
FEDERAL HOME LOAN MORTGAGE CORP 4.5% 11/25/2050$149,9870.0%
VZ VENDOR FINANCING II BV 2.875% 01/15/2029$148,6970.0%
PORT AUTHORITY OF NEW YORK & NEW JERSEY 1.086% 07/01/2023$147,2740.0%
UBS COMMERCIAL MORTGAGE TRUST 3.203% 10/15/2052$145,7510.0%
CITY OF NEW YORK NY 1.923% 08/01/2031$145,3640.0%
LIMA METRO LINE 2 FINANCE LTD 5.875% 07/05/2034$144,5130.0%
NOBEL BIDCO BV 3.125% 06/15/2028$139,2580.0%
WELLS FARGO COMMERCIAL MORTGAGE TRUST 2016-LC25 4.339% 12/15/2059$139,2040.0%
TOBACCO SETTLEMENT FINANCE AUTHORITY 3% 06/01/2035$138,1130.0%
AMERICAN WATER CAPITAL CORP 3.45% 06/01/2029$136,4960.0%
DELTA AIR LINES INC / SKYMILES IP LTD 4.75% 10/20/2028$134,8920.0%
MISSION LANE CREDIT CARD MASTER TRUST 2.24% 09/15/2026$134,3420.0%
ATALAYA EQUIPMENT LEASING TRUST 21-1 2.08% 02/15/2027$134,0190.0%
AIRCASTLE LTD 5.25% 08/11/2025$133,2410.0%
AVIATION CAPITAL GROUP LLC 5.5% 12/15/2024$132,0780.0%
ORACLE CORP 3.65% 03/25/2041$127,6370.0%
NEIGHBORLY ISSUER LLC 3.584% 04/30/2051$125,0120.0%
CAJUN GLOBAL LLC 3.931% 11/20/2051$123,7530.0%
JPMORGAN CHASE & CO 6.276% CALLABLE$121,4460.0%
GO MORTGAGE LLC/DE 1.433% 08/15/2026$120,6730.0%
NATIXIS COMMERCIAL MORTGAGE SECURITIES TRUST 2019-MILE 3.499% 07/15/2036$118,0860.0%
CITIGROUP INC 4.15% CALLABLE$117,4500.0%
DELTA AIR LINES INC / SKYMILES IP LTD 4.5% 10/20/2025$117,3790.0%
HARDEE'S FUNDING LLC 3.981% 12/20/2050$117,0040.0%
WORKDAY INC 3.8% 04/01/2032$115,5730.0%
HARDEE'S FUNDING LLC 5.71% 06/20/2048$113,5010.0%
INEOS QUATTRO FINANCE 2 PLC 2.5% 01/15/2026$113,0910.0%
ASHFORD HOSPITALITY TRUST 2018-KEYS 2.999% 06/15/2035$109,6190.0%
CLARIOS GLOBAL LP / CLARIOS US FINANCE CO 4.375% 05/15/2026$109,3650.0%
JAPAN BOND .101% 03/10/2029$105,4220.0%
AVIATION CAPITAL GROUP LLC 1.95% 09/20/2026$105,2460.0%
FREDDIE MAC STACR REMIC TRUST 2020-DNA5 4.314% 10/25/2050$103,6340.0%
JYSKE REALKREDIT A/S 1.5% 10/01/2053$101,6220.0%
NORDEA KREDIT REALKREDITAKTIESELSKAB 1% 10/01/2050$100,3220.0%
RADNOR RE 2019-1 LTD 4.209% 02/25/2029$99,7890.0%
PLAYTECH PLC 4.25% 03/07/2026$98,1200.0%
AFFIRM ASSET SECURITIZATION TRUST 2021-Z1 1.07% 08/15/2025$96,5990.0%
BX COMMERCIAL MORTGAGE TRUST 2019-IMC 3.899% 04/15/2034$95,3890.0%
FREDDIE MAC STACR TRUST 2019-FTR2 4.409% 11/25/2048$94,4180.0%
S&P GLOBAL INC 4.25% 05/01/2029$94,1150.0%
ORGANON & CO / ORGANON FOREIGN DEBT CO-ISSUER BV 2.875% 04/30/2028$93,4540.0%
DEUTSCHE LUFTHANSA AG 3% 05/29/2026$92,0940.0%
FEDERAL HOME LOAN MORTGAGE CORP 4% 09/25/2050$91,9250.0%
CIGNA CORP 4.375% 10/15/2028$91,9180.0%
ROYAL CARIBBEAN CRUISES LTD 11.5% 06/01/2025$91,1710.0%
INFOR INC 1.75% 07/15/2025$90,9920.0%
FEDERAL HOME LOAN MORTGAGE CORP 3.841% 06/25/2050$90,8220.0%
ORACLE CORP 5.375% 07/15/2040$90,2020.0%
CCO HOLDINGS LLC / CCO HOLDINGS CAPITAL CORP 4.5% 06/01/2033$89,8300.0%
IQVIA INC 2.25% 03/15/2029$89,2450.0%
WELLS FARGO & CO 3.9% CALLABLE$88,9800.0%
BAMLL COMMERCIAL MORTGAGE SECURITIES TRUST 2013-WBRK 3.534% 03/10/2037$88,0400.0%
VOYA CLO 2019-1 LTD 5.362% 04/15/2031$87,4750.0%
BANK OF AMERICA CORP 9.309% 10/09/2024$86,9660.0%
BELLEMEADE RE 2019-3 LTD 3.859% 07/25/2029$86,7800.0%
MARATHON PETROLEUM CORP 6.5% 03/01/2041$85,8450.0%
CITIGROUP INC 4% CALLABLE$84,8240.0%
FREDDIE MAC STACR 2019-HQA3 4.109% 09/25/2049$84,6520.0%
CONNECTICUT AVENUE SECURITIES TRUST 2020-R01 4.309% 01/25/2040$80,9660.0%
AMERICAN TOWER CORP 4.05% 03/15/2032$75,6870.0%
NYKREDIT REALKREDIT AS 2% 10/01/2053$70,4080.0%
EAGLE RE 2020-1 LTD 3.159% 01/25/2030$68,9690.0%
BROADCOM INC 4.926% 05/15/2037$68,3560.0%
PRUDENTIAL FINANCIAL INC 5.375% 05/15/2045$67,4980.0%
JPMBB COMMERCIAL MORTGAGE SECURITIES TRUST 2014-C21 4.341% 08/15/2047$62,7210.0%
JPMORGAN CHASE & CO 5.597% CALLABLE$59,7510.0%
RADNOR RE 2019-2 LTD 4.009% 06/25/2029$58,1190.0%
BAT CAPITAL CORP 4.906% 04/02/2030$58,0980.0%
FEDERAL NATIONAL MORTGAGE ASSOCIATION 3.791% 04/25/2044$57,8760.0%
AIRCASTLE LTD 4.125% 05/01/2024$52,8920.0%
AVIATION CAPITAL GROUP LLC 4.875% 10/01/2025$52,3950.0%
CONNECTICUT AVENUE SECURITIES TRUST 2020-R02 4.259% 01/25/2040$52,1910.0%
FEDERAL NATIONAL MORTGAGE ASSOCIATION 3.941% 12/25/2047$52,0140.0%
JPMORGAN CHASE & CO 9.832% 12/20/2023$51,7110.0%
BELLEMEADE RE 2019-1 LTD 4.009% 03/25/2029$49,5420.0%
ALTRIA GROUP INC 4.8% 02/14/2029$47,7380.0%
ASSET BACKED SECURITIES CORP HOME EQUITY LOAN TRUST SERIES OOMC 2006-HE3 2.589% 03/25/2036$47,6050.0%
SUZANO AUSTRIA GMBH 3.75% 01/15/2031$43,9210.0%
LSTAR COMMERCIAL MORTGAGE TRUST 2016-4 2.579% 03/10/2049$42,7180.0%
FEDERAL NATIONAL MORTGAGE ASSOCIATION 3.941% 10/25/2047$42,5020.0%
AVIATION CAPITAL GROUP LLC 4.375% 01/30/2024$42,2900.0%
FEDERAL HOME LOAN MORTGAGE CORP 3.791% 02/25/2050$41,9580.0%
FEDERAL HOME LOAN MORTGAGE CORP 4.151% 06/15/2047$41,8220.0%
FREDDIE MAC STACR REMIC TRUST 2020-DNA1 3.959% 01/25/2050$41,5010.0%
AVIATION CAPITAL GROUP LLC 3.5% 11/01/2027$40,4260.0%
BELLEMEADE RE 2018-3 LTD 4.109% 10/25/2028$40,3770.0%
FEDERAL NATIONAL MORTGAGE ASSOCIATION 3.891% 08/25/2047$36,7900.0%
PMT CREDIT RISK TRANSFER TRUST 2020-1R 4.65% 02/27/2023$36,1480.0%
FEDERAL NATIONAL MORTGAGE ASSOCIATION 6.259% 05/25/2025$33,2490.0%
FEDERAL NATIONAL MORTGAGE ASSOCIATION 3.741% 10/25/2046$30,4680.0%
FREDDIE MAC MULTIFAMILY STRUCTURED CREDIT RISK 3.514% 01/25/2051$30,4020.0%
BROADCOM INC 3.137% 11/15/2035$29,7860.0%
ONEOK PARTNERS LP 6.125% 02/01/2041$29,7410.0%
FEDERAL NATIONAL MORTGAGE ASSOCIATION 3.841% 12/25/2044$28,5510.0%
CCO HOLDINGS LLC / CCO HOLDINGS CAPITAL CORP 4.5% 08/15/2030$28,5000.0%
GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 4.074% 09/20/2047$27,5130.0%
DISCOVERY COMMUNICATIONS LLC 5.3% 05/15/2049$25,9120.0%
AIR LEASE CORP 2.875% 01/15/2026$24,3790.0%
FEDERAL NATIONAL MORTGAGE ASSOCIATION 7.959% 04/25/2028$23,7840.0%
CONNECTICUT AVENUE SECURITIES TRUST 2019-R07 4.359% 10/25/2039$23,4400.0%
GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 4.074% 08/20/2047$22,5860.0%
FEDERAL NATIONAL MORTGAGE ASSOCIATION 4.281% 12/25/2041$22,0340.0%
S&P GLOBAL INC 4.75% 08/01/2028$21,0090.0%
VOLCAN CIA MINERA SAA 4.375% 02/11/2026$19,2770.0%
FREDDIE MAC STACR TRUST 2019-DNA4 4.209% 10/25/2049$18,3650.0%
ADVANCE AUTO PARTS INC 3.5% 03/15/2032$14,3120.0%
CENOVUS ENERGY INC 4.25% 04/15/2027$13,9510.0%
TERRAFORM GLOBAL OPERATING LLC 6.125% 03/01/2026$13,4920.0%
FEDERAL NATIONAL MORTGAGE ASSOCIATION 7.259% 07/25/2025$13,3710.0%
UPSTART SECURITIZATION TRUST 2020-3 1.702% 11/20/2030$13,2720.0%
AIR LEASE CORP 3.625% 04/01/2027$13,1960.0%
FREDDIE MAC STACR TRUST 2019-DNA3 4.309% 07/25/2049$12,1960.0%
REALKREDIT DANMARK A/S 2% 10/01/2053$12,1300.0%
GO MORTGAGE LLC/DE 2.638% 08/15/2026$11,1190.0%
GUARDIAN LIFE INSURANCE CO OF AMERICA/THE 4.85% 01/24/2077$10,2960.0%
CONNECTICUT AVENUE SECURITIES TRUST 2019-R06 4.359% 09/25/2039$6,6210.0%
EXPEDIA GROUP INC 6.25% 05/01/2025$5,1910.0%
AVIATION CAPITAL GROUP LLC 4.125% 08/01/2025$2,8630.0%
 
Collective Trusts/Mutual Funds
Underlying Fund HoldingsMarket Value%
U.S. TREASURY INFLATION PROTECTED SECURITIES FUND$264,478,56326.0%
 
Short-Term/Cash
Underlying Fund HoldingsMarket Value%
BLACKROCK TEMP FUND - INST SHARES FUND 24$24,537,5692.4%
JPMORGAN PRIME MONEY MARKET FUND FUNDS VARIABLE$24,536,5892.4%
UNITED STATES OF AMERICA BILL ZERO CPN 08/SEP/2022$11,807,5121.2%
UNITED STATES OF AMERICA BILL ZERO CPN 26/JAN/2023$10,593,3931.0%
UNITED STATES OF AMERICA BILL ZERO CPN 27/OCT/2022$10,591,1101.0%
UNITED STATES OF AMERICA BILL ZERO CPN 03/NOV/2022$4,481,1600.4%
WELLS FARGO BANK NA CERTIFICATE OF DEPOSIT$248,4560.0%
 
Other
Underlying Fund HoldingsMarket Value%
SWAP/07/15/2026/P:USD 2.79250 /R:USD/USCPI/1M$1,858,0811.9%
SWAP/02/26/2025/P:USD 1.58900 /R:USD/USCPI/1M$1,594,8621.2%
SWAP/05/21/2031/P:USD 1.61650 /R:USD/LIBOR/3M$1,250,2831.4%
SWAP/07/15/2025/P:USD 1.59500 /R:USD/USCPI/1M$1,076,1800.7%
SWAP/01/15/2025/P:USD 2.44000 /R:USD/USCPI/1M$1,055,0091.0%
US DOLLAR$898,0000.1%
SWAP/01/15/2025/P:USD 0.78000 /R:USD/USCPI/1M$758,3780.4%
SWAP/07/15/2026/P:USD 2.89600 /R:USD/USCPI/1M$630,6980.7%
SWAP/07/15/2026/P:USD 2.90800 /R:USD/USCPI/1M$618,3020.7%
SWAP/01/15/2027/P:USD 2.84250 /R:USD/USCPI/1M$612,0920.7%
YEN$482,2630.1%
POUND STERLING$450,9260.0%
EURO$448,4360.0%
SWAP/06/05/2027/P:USD 0.55750 /R:USD/LIBOR/3M$444,4730.4%
SWAP/01/15/2026/P:USD 2.32200 /R:USD/USCPI/1M$434,3820.4%
SWAP/07/15/2024/P:USD 1.85500 /R:USD/USCPI/1M$390,7050.3%
US DOLLAR$387,9250.0%
SWAP/04/15/2032/P:USD 2.60750 /R:USD/USCPI/1M$365,7380.4%
US 5YR NOTE (CBT) BOND 30/SEP/2022 FVU2 COMDTY$343,3735.7%
US DOLLAR$327,7360.0%
SWAP/04/15/2032/P:USD 2.60500 /R:USD/USCPI/1M$308,6230.3%
SWAP/01/15/2025/P:USD 1.58000 /R:USD/USCPI/1M$290,6690.2%
SWAP/01/15/2025/P:USD 1.96750 /R:USD/USCPI/1M$287,8510.3%
CURRENCY CONTRACT - USD$263,039-0.8%
SWAP/07/15/2026/P:USD 2.40750 /R:USD/USCPI/1M$262,8240.2%
SWAPTION/EUROPEAN/11/02/2022/11/04/2052/P:EUR 0.19500 /R:EUR/EURIBOR/6M$261,6840.1%
US 10YR NOTE (CBT) BOND 21/SEP/2022 TYU2 COMDTY$218,2640.7%
SWAP/03/05/2026/P:USD 2.41875 /R:USD/USCPI/1M$189,8890.2%
SWAPTION/EUROPEAN/11/02/2022/11/04/2052/P:EUR 0.19000 /R:EUR/EURIBOR/6M$179,2920.1%
POUND STERLING$178,1820.0%
EURO$160,5730.0%
SWAP/05/15/2026/P:EUR 1.50000 /R:EUR/HICPXT/1M$160,1780.1%
YEN$152,9600.0%
US 2YR NOTE (CBT) BOND 30/SEP/2022 TUU2 COMDTY$152,4983.0%
SWAP/02/26/2026/P:USD 2.31375 /R:USD/USCPI/1M$143,8970.1%
EURO-BUND FUTURE BOND 08/SEP/2022 RXU2 COMDTY$136,5510.3%
SWAP/05/13/2026/P:USD 2.76750 /R:USD/USCPI/1M$127,6290.2%
SWAP/07/08/2027/P:USD 2.77000 /R:USD/USCPI/1M$124,7070.7%
SWAP/07/08/2027/P:USD 2.77750 /R:USD/USCPI/1M$122,2240.7%
SWAP/07/15/2026/P:USD 2.94400 /R:USD/USCPI/1M$113,7780.1%
SWAP/01/15/2024/P:USD 1.59900 /R:USD/USCPI/1M$111,6440.1%
SWAP/02/05/2023/P:USD 2.21000 /R:USD/USCPI/1M$104,8300.1%
SWAPTION/EUROPEAN/11/04/2022/11/08/2052/P:EUR 0.19700 /R:EUR/EURIBOR/6M$101,2650.0%
SWAP/03/15/2024/P:EUR 1.03000 /R:EUR/FRCPI/1M$90,4620.1%
CANADIAN DOLLAR$80,2600.0%
CURRENCY CONTRACT - USD$73,171-0.3%
CURRENCY CONTRACT - USD$72,160-0.2%
CURRENCY CONTRACT - USD$68,755-0.2%
SWAP/05/14/2026/P:USD 2.79300 /R:USD/USCPI/1M$66,9640.1%
SWAP/11/10/2045/P:USD 2.72100 /R:USD/LIBOR/3M$65,0630.0%
BRAZILIAN REAL$64,2980.0%
SWAP/04/15/2032/P:USD 2.51900 /R:USD/USCPI/1M$64,0440.1%
EURO$62,1690.0%
SWAP/05/13/2027/P:USD 3.26250 /R:USD/USCPI/1M$52,9531.5%
MEXICAN PESO$52,0800.0%
SWAP/10/04/2026/P:USD 1.48700 /R:USD/LIBOR/3M$50,2400.1%
RAND$49,0260.0%
CURRENCY CONTRACTS - ZAR$46,4550.2%
CURRENCY CONTRACT - USD$45,540-0.1%
SWAP/05/10/2023/P:USD 2.28100 /R:USD/USCPI/1M$44,1700.1%
US ULTRA BOND CBT BOND 21/SEP/2022 WNU2 COMDTY$42,3660.1%
CURRENCY CONTRACT - USD$38,802-0.1%
SWAPTION/EUROPEAN/05/31/2023/06/02/2028/P:USD/SOFR/1D /R:USD 2.20000$34,2980.6%
CURRENCY CONTRACT - USD$31,949-0.1%
SWAP/11/15/2031/P:GBP 4.25000 /R:GBP/UKRPI/1M$31,8700.0%
POUND STERLING$30,4970.0%
CURRENCY CONTRACT - USD$28,979-0.1%
SWAP/05/09/2023/P:USD 2.26250 /R:USD/USCPI/1M$28,8850.0%
SWAP/03/15/2024/P:GBP 6.29000 /R:GBP/UKRPI/1M$28,6330.1%
CURRENCY CONTRACT - USD$23,555-0.1%
CURRENCY CONTRACT - DKK$19,2560.3%
YEN$19,2420.0%
SWAPTION/EUROPEAN/01/31/2023/02/02/2033/P:USD/SOFR/1D /R:USD 1.57900$19,0780.1%
SWAP/03/15/2024/P:GBP 6.29000 /R:GBP/UKRPI/1M$16,3620.0%
SWAP/06/15/2024/P:GBP 5.20000 /R:GBP/UKRPI/1M$15,9370.1%
SWAP/11/09/2026/P:USD 1.67150 /R:USD/LIBOR/3M$14,7680.0%
CURRENCY CONTRACT - USD$14,704-0.2%
CURRENCY CONTRACT - DKK$14,4390.2%
SWAP/05/20/2029/P:USD 2.36000 /R:USD/LIBOR/3M$14,1330.1%
SWAP/05/20/2029/P:USD 2.39000 /R:USD/LIBOR/3M$14,0050.1%
EURO-BOBL FUTURE BOND 08/SEP/2022 OEU2 COMDTY$13,6120.0%
SWAPTION/EUROPEAN/04/26/2023/04/28/2028/P:USD/SOFR/1D /R:USD 2.20000$12,4440.2%
SWAP/05/15/2024/P:GBP 6.60000 /R:GBP/UKRPI/1M$11,7170.1%
SWAP/11/08/2026/P:USD 1.65700 /R:USD/LIBOR/3M$11,2410.0%
CURRENCY CONTRACT - USD$10,6450.0%
SELL PROTECTION ON CMBX.NA.BBB-.6.MAY.05/11/2063$9,6470.0%
SELL PROTECTION ON CMBX.NA.BBB-.6.MAY.05/11/2063$9,5700.0%
SWAP/11/10/2045/P:USD 2.72100 /R:USD/LIBOR/3M$8,7700.0%
CURRENCY CONTRACT - USD$8,6200.0%
SELL PROTECTION ON CMBX.NA.BBB-.6.MAY.05/11/2063$7,7290.0%
CURRENCY CONTRACT - USD$7,6540.0%
SWAP/08/15/2030/P:EUR 2.35900 /R:EUR/HICPXT/1M$7,3340.0%
SWAP/05/15/2027/P:EUR 3.00000 /R:EUR/HICPXT/1M$6,8430.0%
SWAP/05/15/2024/P:GBP 6.44000 /R:GBP/UKRPI/1M$6,8210.0%
CURRENCY CONTRACT - USD$6,0450.0%
SELL PROTECTION ON CMBX.NA.BBB-.6.MAY.05/11/2063$5,4870.0%
SELL PROTECTION ON CMBX.NA.BBB-.6.MAY.05/11/2063$5,4850.0%
CURRENCY CONTRACT - USD$5,451-0.1%
SWAP/01/15/2032/P:GBP 4.30000 /R:GBP/UKRPI/1M$5,4180.0%
CURRENCY CONTRACT - USD$5,3890.0%
SWAP/07/12/2027/P:USD 2.35450 /R:USD/LIBOR/3M$5,3620.0%
AUSTRALIAN DOLLAR$5,2400.0%
SELL PROTECTION ON CMBX.NA.BBB-.6.MAY.05/11/2063$5,2370.0%
SELL PROTECTION ON CMBX.NA.BBB-.6.MAY.05/11/2063$5,1100.0%
CURRENCY CONTRACT - USD$4,9090.0%
SELL PROTECTION ON CMBX.NA.BBB-.6.MAY.05/11/2063$4,8690.0%
SWAP/06/15/2032/P:EUR 2.72000 /R:EUR/HICPXT/1M$4,757-0.1%
CURRENCY CONTRACT - USD$4,5530.0%
SWAP/06/15/2024/P:GBP 5.33000 /R:GBP/UKRPI/1M$4,3580.0%
SELL PROTECTION ON CMBX.NA.BBB-.6.MAY.05/11/2063$4,0260.0%
SWAP/05/15/2032/P:EUR 2.60000 /R:EUR/HICPXT/1M$3,9370.0%
SELL PROTECTION ON CMBX.NA.BBB-.6.MAY.05/11/2063$3,7970.0%
CURRENCY CONTRACT - USD$3,7490.0%
SELL PROTECTION ON CMBX.NA.BBB-.6.MAY.05/11/2063$3,6860.0%
SELL PROTECTION ON CMBX.NA.BBB-.6.MAY.05/11/2063$3,6010.0%
SELL PROTECTION ON CMBX.NA.BBB-.6.MAY.05/11/2063$3,0270.0%
SWAP/07/15/2032/P:EUR 2.47000 /R:EUR/HICPXT/1M$3,0040.0%
SELL PROTECTION ON CMBX.NA.BBB-.6.MAY.05/11/2063$2,8640.0%
CURRENCY CONTRACT - EUR$2,8530.0%
SWAP/05/15/2026/P:EUR 1.50000 /R:EUR/HICPXT/1M$2,813-0.1%
GOLD 100 OZ FUTR PRECIOUS METAL 28/DEC/2022 GCZ2$2,7170.0%
SELL PROTECTION ON CMBX.NA.BBB-.6.MAY.05/11/2063$2,7050.0%
SELL PROTECTION ON CMBX.NA.BBB-.6.MAY.05/11/2063$2,7030.0%
CURRENCY CONTRACT - USD$2,6130.0%
SWAP/03/15/2052/P:EUR/HICPXT/1M /R:EUR 2.59000$2,5810.0%
SELL PROTECTION ON CMBX.NA.BBB-.6.MAY.05/11/2063$2,4540.0%
SWAP/03/15/2031/P:EUR/HICPXT/1M /R:EUR 1.38000$2,367-0.1%
SWAP/06/04/2029/P:USD 2.15000 /R:USD/LIBOR/3M$2,2760.0%
SWEDISH KRONA$2,1230.0%
SWAP/03/15/2052/P:EUR/HICPXT/1M /R:EUR 2.59000$2,0900.0%
SWAP/03/15/2036/P:GBP/UKRPI/1M /R:GBP 3.58000$1,8810.0%
SWAP/03/15/2031/P:EUR/HICPXT/1M /R:EUR 1.38000$1,7130.0%
SWAP/03/15/2052/P:EUR/HICPXT/1M /R:EUR 2.58000$1,6700.0%
SWAP/03/15/2036/P:GBP/UKRPI/1M /R:GBP 3.58000$1,6690.0%
SWAP/03/15/2031/P:EUR/HICPXT/1M /R:EUR 1.38000$1,6550.0%
SELL PROTECTION ON CMBX.NA.BBB-.6.MAY.05/11/2063$1,6140.0%
SELL PROTECTION ON CMBX.NA.BBB-.6.MAY.05/11/2063$1,5610.0%
SWAP/03/15/2052/P:EUR/HICPXT/1M /R:EUR 2.58000$1,5520.0%
SWAP/12/15/2031/P:JPY 0.05000 /R:JPY/TONAR/1D$1,5241.0%
SWAP/03/15/2031/P:EUR/HICPXT/1M /R:EUR 1.38000$1,4170.0%
NORWEGIAN KRONE$1,3990.0%
SELL PROTECTION ON GENERAL ELECTRIC COMPANY SENIOR_UNSECURED/RECEIVE: USD 1.00000 MATURING ON 12/20/2023$1,3440.0%
SELL PROTECTION ON CMBX.NA.BBB-.6.MAY.05/11/2063$1,2990.0%
CURRENCY CONTRACT - EUR$1,2000.0%
SELL PROTECTION ON CMBX.NA.BBB-.6.MAY.05/11/2063$1,1840.0%
SELL PROTECTION ON CMBX.NA.BBB-.6.MAY.05/11/2063$1,1550.0%
SELL PROTECTION ON CMBX.NA.BBB-.6.MAY.05/11/2063$1,1150.0%
SELL PROTECTION ON CMBX.NA.BBB-.6.MAY.05/11/2063$1,0790.0%
SWAP/05/15/2027/P:EUR 3.13000 /R:EUR/HICPXT/1M$1,0450.0%
SELL PROTECTION ON CMBX.NA.BBB-.6.MAY.05/11/2063$9450.0%
SELL PROTECTION ON CMBX.NA.BBB-.6.MAY.05/11/2063$8770.0%
SELL PROTECTION ON CMBX.NA.BBB-.6.MAY.05/11/2063$8540.0%
SELL PROTECTION ON CMBX.NA.BBB-.6.MAY.05/11/2063$7770.0%
CURRENCY CONTRACT - USD$7590.0%
SELL PROTECTION ON CMBX.NA.BBB-.6.MAY.05/11/2063$7090.0%
SELL PROTECTION ON CMBX.NA.BBB-.6.MAY.05/11/2063$7090.0%
SELL PROTECTION ON CMBX.NA.BBB-.6.MAY.05/11/2063$6550.0%
LONG GILT FUTURE BOND 28/SEP/2022 G U2 COMDTY$6160.1%
SELL PROTECTION ON CMBX.NA.BBB-.6.MAY.05/11/2063$6050.0%
SWAP/03/15/2031/P:EUR/HICPXT/1M /R:EUR 1.38000$5320.0%
CREDIT DEFAULT SWAP - CDS$5280.0%
SELL PROTECTION ON CMBX.NA.BBB-.6.MAY.05/11/2063$4690.0%
CURRENCY CONTRACT - USD$4670.0%
SWAP/03/15/2024/P:GBP 6.29000 /R:GBP/UKRPI/1M$4490.0%
SELL PROTECTION ON CMBX.NA.BBB-.6.MAY.05/11/2063$4460.0%
EUROPEAN OPTION EXPIRING ON 08/17/2022 TO BUY PROTECTION ON CDX.NA.IG.38-V1.JUN.2027/PAY: USD 0.00$4350.0%
SWAP/03/15/2036/P:GBP/UKRPI/1M /R:GBP 3.58000$4290.0%
DANISH KRONE$3810.0%
SWAP/05/15/2032/P:EUR 2.60000 /R:EUR/HICPXT/1M$3540.0%
NEW ZEALAND DOLLAR$3140.0%
SWAP/03/15/2024/P:EUR 1.03000 /R:EUR/FRCPI/1M$267-0.1%
SELL PROTECTION ON CMBX.NA.BBB-.6.MAY.05/11/2063$2400.0%
SHORT EURO-BTP FU BOND 08/SEP/2022 BTSU2 COMDTY$201-0.3%
SELL PROTECTION ON CMBX.NA.BBB-.6.MAY.05/11/2063$1800.0%
SELL PROTECTION ON CMBX.NA.BBB-.6.MAY.05/11/2063$1700.0%
SELL PROTECTION ON CMBX.NA.BBB-.6.MAY.05/11/2063$1500.0%
SWAP/03/15/2036/P:GBP/UKRPI/1M /R:GBP 3.58000$1090.0%
CREDIT DEFAULT SWAP - CDS$250.0%
SWAP/02/26/2025/P:USD 1.58900 /R:USD/USCPI/1M$6-1.2%
SWAP/01/15/2025/P:USD 2.44000 /R:USD/USCPI/1M$4-1.0%
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/07/15/2024/P:USD 1.85500 /R:USD/USCPI/1M$2-0.3%
SWAP/07/15/2026/P:USD 2.89600 /R:USD/USCPI/1M$2-0.7%
SWAP/07/15/2026/P:USD 2.90800 /R:USD/USCPI/1M$2-0.7%
SWAP/05/21/2031/P:USD 1.61650 /R:USD/LIBOR/3M$2-1.4%
SWAP/01/15/2027/P:USD 2.84250 /R:USD/USCPI/1M$2-0.7%
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/01/15/2026/P:USD 2.32200 /R:USD/USCPI/1M$1-0.4%
SWAP/01/15/2025/P:USD 1.96750 /R:USD/USCPI/1M$1-0.3%
SWAP/02/05/2023/P:USD 2.21000 /R:USD/USCPI/1M$1-0.1%
SWAP/03/05/2026/P:USD 2.41875 /R:USD/USCPI/1M$1-0.2%
SWAP/05/13/2027/P:USD 3.26250 /R:USD/USCPI/1M$1-1.5%
SWAP/07/15/2026/P:USD 2.40750 /R:USD/USCPI/1M$1-0.2%
WON$10.0%
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/07/15/2032/P:EUR 2.47000 /R:EUR/HICPXT/1M$00.0%
SWAP/08/15/2030/P:EUR 2.35900 /R:EUR/HICPXT/1M$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/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/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/07/15/2026/P:USD 2.94400 /R:USD/USCPI/1M$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/06/15/2024/P:GBP 5.33000 /R:GBP/UKRPI/1M$00.0%
SWAP/06/15/2024/P:GBP 5.20000 /R:GBP/UKRPI/1M$0-0.1%
SWAP/05/15/2037/P:EUR/HICPXT/1M /R:EUR 2.48750$0-0.1%
SWAP/06/15/2032/P:EUR 2.72000 /R:EUR/HICPXT/1M$00.0%
SWAP/07/08/2027/P:USD 2.77750 /R:USD/USCPI/1M$0-0.7%
SWAP/07/08/2027/P:USD 2.77000 /R:USD/USCPI/1M$0-0.7%
SWAP/05/14/2026/P:USD 2.79300 /R:USD/USCPI/1M$0-0.1%
SWAP/05/15/2024/P:GBP 6.44000 /R:GBP/UKRPI/1M$00.0%
SWAP/05/15/2024/P:GBP 6.60000 /R:GBP/UKRPI/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/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$0-0.2%
SWAP/05/20/2029/P:USD 2.39000 /R:USD/LIBOR/3M$0-0.1%
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/05/15/2032/P:EUR 2.60000 /R:EUR/HICPXT/1M$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/03/15/2024/P:GBP 6.29000 /R:GBP/UKRPI/1M$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/01/15/2025/P:USD 1.58000 /R:USD/USCPI/1M$0-0.2%
SWAP/03/15/2036/P:GBP/UKRPI/1M /R:GBP 3.56600$00.0%
SWAP/02/15/2031/P:GBP/UKRPI/1M /R:GBP 3.62400$0-0.1%
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/04/15/2032/P:USD 2.60500 /R:USD/USCPI/1M$0-0.3%
SELL PROTECTION ON BARCLAYS BANK PLC SENIOR_UNSECURED/RECEIVE: EUR 1.00000 MATURING ON 12/20/2022$00.0%
SELL PROTECTION ON CMBX.NA.BBB-.6.MAY.05/11/2063$00.0%
CURRENCY CONTRACT - USD$-1730.0%
CREDIT DEFAULT SWAP, CMBX - CDSCMBX$-1990.0%
CREDIT DEFAULT SWAP, CMBX - CDSCMBX$-3980.0%
CREDIT DEFAULT SWAP, CMBX - CDSCMBX$-3980.0%
CREDIT DEFAULT SWAP, CMBX - CDSCMBX$-3980.0%
CREDIT DEFAULT SWAP, CMBX - CDSCMBX$-7950.0%
CREDIT DEFAULT SWAP, CMBX - CDSCMBX$-9940.0%
CREDIT DEFAULT SWAP, CMBX - CDSCMBX$-9940.0%
CURRENCY CONTRACT - JPY$-1,1440.0%
CREDIT DEFAULT SWAP, CMBX - CDSCMBX$-1,1930.0%
CREDIT DEFAULT SWAP, CMBX - CDSCMBX$-1,3920.0%
CREDIT DEFAULT SWAP, CMBX - CDSCMBX$-1,3920.0%
CREDIT DEFAULT SWAP, CMBX - CDSCMBX$-1,3920.0%
CREDIT DEFAULT SWAP, CMBX - CDSCMBX$-1,3920.0%
CREDIT DEFAULT SWAP, CMBX - CDSCMBX$-1,3920.0%
CURRENCY CONTRACT - EUR$-1,4520.0%
CREDIT DEFAULT SWAP, CMBX - CDSCMBX$-1,5910.0%
CREDIT DEFAULT SWAP, CMBX - CDSCMBX$-1,5910.0%
CURRENCY CONTRACT - USD$-1,7170.0%
CREDIT DEFAULT SWAP, CMBX - CDSCMBX$-1,7900.0%
CURRENCY CONTRACT - EUR$-2,1100.1%
CREDIT DEFAULT SWAP, CMBX - CDSCMBX$-2,1870.0%
CREDIT DEFAULT SWAP, CMBX - CDSCMBX$-2,1870.0%
CURRENCY CONTRACT - USD$-2,2680.0%
CREDIT DEFAULT SWAP, CMBX - CDSCMBX$-2,3860.0%
CREDIT DEFAULT SWAP, CMBX - CDSCMBX$-2,7840.0%
CREDIT DEFAULT SWAP, CMBX - CDSCMBX$-2,9830.0%
CREDIT DEFAULT SWAP, CMBX - CDSCMBX$-3,3800.0%
CURRENCY CONTRACT - EUR$-3,5050.0%
CURRENCY CONTRACT - EUR$-3,6600.0%
CURRENCY CONTRACT - USD$-3,6820.0%
CURRENCY CONTRACT - USD$-3,9130.0%
CURRENCY CONTRACT - EUR$-4,3500.0%
CURRENCY CONTRACT - USD$-4,497-0.1%
SWAP/06/15/2032/P:EUR 2.72000 /R:EUR/HICPXT/1M$-4,5020.0%
EURO-SCHATZ FUT BOND 08/SEP/2022 DUU2 COMDTY$-4,601-0.1%
SWAP/03/21/2023/P:USD/USCPI/1M /R:USD 5.50000$-4,9330.0%
CREDIT DEFAULT SWAP, CMBX - CDSCMBX$-4,9710.0%
CREDIT DEFAULT SWAP, CMBX - CDSCMBX$-4,9710.0%
CURRENCY CONTRACT - DKK$-5,1710.0%
CURRENCY CONTRACT - EUR$-5,2820.0%
CREDIT DEFAULT SWAP, CMBX - CDSCMBX$-6,3630.0%
CREDIT DEFAULT SWAP, CMBX - CDSCMBX$-6,5620.0%
CREDIT DEFAULT SWAP, CMBX - CDSCMBX$-6,7610.0%
CREDIT DEFAULT SWAP, CMBX - CDSCMBX$-7,1580.0%
CREDIT DEFAULT SWAP, CMBX - CDSCMBX$-8,1520.0%
CURRENCY CONTRACT - EUR$-8,3880.0%
CURRENCY CONTRACT - EUR$-8,4870.0%
CURRENCY CONTRACT - EUR$-8,5460.0%
CREDIT DEFAULT SWAP, CMBX - CDSCMBX$-8,5500.0%
SWAPTION/EUROPEAN/04/26/2023/04/28/2033/P:USD/SOFR/1D /R:USD 2.35000$-8,6960.1%
SWAP/05/15/2037/P:EUR/HICPXT/1M /R:EUR 2.48750$-8,7130.1%
CREDIT DEFAULT SWAP, CMBX - CDSCMBX$-8,7490.0%
CREDIT DEFAULT SWAP, CMBX - CDSCMBX$-8,7490.0%
CREDIT DEFAULT SWAP, CMBX - CDSCMBX$-9,1470.0%
CURRENCY CONTRACT - EUR$-9,9190.0%
CREDIT DEFAULT SWAP, CMBX - CDSCMBX$-9,9420.0%
SWAP/06/15/2032/P:EUR 2.72000 /R:EUR/HICPXT/1M$-10,2950.1%
CREDIT DEFAULT SWAP, CMBX - CDSCMBX$-10,3400.0%
CREDIT DEFAULT SWAP, CMBX - CDSCMBX$-11,9300.0%
CURRENCY CONTRACT - EUR$-13,2620.0%
CREDIT DEFAULT SWAP, CMBX - CDSCMBX$-13,7200.0%
CURRENCY CONTRACT - USD$-14,491-0.2%
CREDIT DEFAULT SWAP, CMBX - CDSCMBX$-14,9130.0%
CURRENCY CONTRACT - EUR$-16,4010.1%
CURRENCY CONTRACT - EUR$-18,6390.1%
CURRENCY CONTRACTS - ZAR$-19,0260.1%
CURRENCY CONTRACT - USD$-19,162-0.3%
CURRENCY CONTRACT - USD$-19,665-0.2%
SWAPTION/EUROPEAN/01/31/2023/02/02/2025/P:USD/SOFR/1D /R:USD 1.42750$-19,8620.5%
SWAP/03/15/2031/P:EUR/HICPXT/1M /R:EUR 1.38000$-19,9010.0%
SWAP/03/15/2036/P:GBP/UKRPI/1M /R:GBP 3.58000$-20,0650.0%
CURRENCY CONTRACT - USD$-23,092-0.1%
SWAPTION/EUROPEAN/05/31/2023/06/02/2033/P:USD/SOFR/1D /R:USD 2.35000$-24,3870.3%
CURRENCY CONTRACT - EUR$-26,5280.1%
CURRENCY CONTRACT - USD$-27,205-0.1%
EURO-BTP FUTURE BOND 08/SEP/2022 IKU2 COMDTY$-30,569-0.1%
CURRENCY CONTRACT - EUR$-30,6730.1%
EURO-OAT FUTURE BOND 08/SEP/2022 OATU2 COMDTY$-34,452-0.1%
SWAP/03/15/2031/P:EUR/HICPXT/1M /R:EUR 1.38000$-39,8170.0%
SWAP/03/15/2031/P:EUR/HICPXT/1M /R:EUR 1.38000$-39,8170.0%
SWAP/03/15/2031/P:EUR/HICPXT/1M /R:EUR 1.38000$-39,8170.0%
SWAP/03/15/2036/P:GBP/UKRPI/1M /R:GBP 3.58000$-40,1290.0%
SWAP/03/15/2036/P:GBP/UKRPI/1M /R:GBP 3.58000$-40,1290.0%
SWAP/03/15/2036/P:GBP/UKRPI/1M /R:GBP 3.58000$-40,1290.0%
SWAP/03/15/2036/P:GBP/UKRPI/1M /R:GBP 3.56600$-40,7640.0%
SWAP/11/15/2034/P:EUR/FRCPI/1M /R:EUR 1.28000$-47,0720.0%
CREDIT DEFAULT SWAP, CMBX - CDSCMBX$-54,7630.0%
CURRENCY CONTRACT - JPY$-72,1970.2%
SWAP/03/15/2031/P:EUR/HICPXT/1M /R:EUR 1.38000$-99,5040.1%
EURO-BUXL 30Y BND BOND 08/SEP/2022 UBU2 COMDTY$-171,020-0.2%
US 10YR ULTRA FUT BOND 21/SEP/2022 UXYU2 COMDTY$-182,679-0.8%
SWAP/02/15/2031/P:GBP/UKRPI/1M /R:GBP 3.62400$-191,2120.1%
SWAPTION/EUROPEAN/11/04/2022/11/08/2032/P:EUR 0.00000 /R:EUR/EURIBOR/6M$-234,8480.2%
US DOLLAR$-241,0000.0%
SWAPTION/EUROPEAN/11/02/2022/11/04/2032/P:EUR 0.00000 /R:EUR/EURIBOR/6M$-303,7700.2%
SWAP/08/15/2030/P:GBP/UKRPI/1M /R:GBP 3.47500$-307,3480.1%
US LONG BOND(CBT) BOND 21/SEP/2022 USU2 COMDTY$-330,358-1.2%
SWAPTION/EUROPEAN/11/02/2022/11/04/2032/P:EUR 0.00000 /R:EUR/EURIBOR/6M$-389,6040.2%
JPN 10Y BOND(OSE) BOND 12/SEP/2022 JBU2 COMDTY$-484,723-2.7%
US DOLLAR$-588,741-0.1%
US DOLLAR$-12,658,090-1.2%
All Holdings As of Jun 30, 2022
Exchange-Traded Funds
Underlying Fund HoldingsMarket Value%
INVESCO DB AGRICULTURE FUND ETP USD$1,222,8000.1%
INVESCO DB OIL FUND ETP USD$784,3200.1%
ISHARES SILVER TRUST ETP USD$466,0000.1%
 
Fixed Income
Underlying Fund HoldingsMarket Value%
UNITED STATES OF AMERICA NOTES .125% 07/15/2031$65,393,7896.6%
UNITED STATES OF AMERICA NOTES .125% 01/15/2032$39,219,9773.9%
UNITED STATES OF AMERICA NOTES .375% 07/15/2027$33,860,3613.4%
UNITED STATES OF AMERICA NOTES .125% 10/15/2024$28,947,0512.9%
UNITED STATES OF AMERICA NOTES .125% 04/15/2026$27,312,7892.7%
UNITED STATES OF AMERICA NOTES .25% 01/15/2025$25,270,5042.5%
UNITED STATES OF AMERICA NOTES .5% 01/15/2028$21,830,3042.2%
UNITED STATES OF AMERICA NOTES .125% 04/15/2027$19,643,0982.0%
UNITED STATES OF AMERICA BOND 2.5% 01/15/2029$18,422,2981.8%
UNITED STATES OF AMERICA NOTES .5% 04/15/2024$15,645,4861.6%
UNITED STATES OF AMERICA BOND 2.125% 02/15/2041$15,622,0951.6%
UNITED STATES OF AMERICA NOTES .375% 07/15/2025$15,320,0041.5%
UNITED STATES OF AMERICA NOTES .875% 01/15/2029$15,130,1731.5%
UNITED STATES OF AMERICA NOTES .125% 04/15/2025$15,121,7331.5%
UNITED STATES OF AMERICA NOTES .125% 07/15/2026$15,077,5851.5%
UNITED STATES OF AMERICA NOTES .75% 07/15/2028$14,496,7401.5%
UNITED STATES OF AMERICA NOTES .625% 01/15/2026$13,895,5711.4%
UNITED STATES OF AMERICA NOTES .125% 10/15/2025$13,587,4451.4%
UNITED STATES OF AMERICA BOND .75% 02/15/2045$13,546,0611.4%
UNITED STATES OF AMERICA NOTES .25% 07/15/2029$12,605,5261.3%
UNITED STATES OF AMERICA BOND .625% 02/15/2043$12,094,8011.2%
UNITED STATES OF AMERICA NOTES .625% 04/15/2023$11,116,6581.1%
UNITED STATES OF AMERICA NOTES .125% 07/15/2030$10,987,9871.1%
UNITED STATES OF AMERICA BOND 1% 02/15/2046$10,604,4341.1%
UNITED STATES OF AMERICA NOTES .375% 01/15/2027$9,321,6680.9%
UNITED STATES OF AMERICA BOND .125% 02/15/2052$9,095,5620.9%
UNITED STATES OF AMERICA BOND 2.375% 01/15/2025$7,477,8510.8%
UNITED STATES OF AMERICA NOTES .125% 01/15/2023$7,387,6100.7%
UNITED STATES OF AMERICA BOND 1.375% 02/15/2044$7,148,7870.7%
UNITED STATES OF AMERICA BOND .75% 02/15/2042$7,117,7830.7%
UNITED STATES OF AMERICA BOND .125% 02/15/2051$6,793,0150.7%
UNITED STATES OF AMERICA BOND .875% 02/15/2047$6,703,8160.7%
UNITED STATES OF AMERICA BOND 1% 02/15/2048$6,462,5580.7%
UNITED STATES OF AMERICA NOTES .125% 01/15/2030$6,343,5900.6%
UNITED STATES OF AMERICA BOND 3.625% 04/15/2028$6,130,7470.6%
UNITED STATES OF AMERICA NOTES .125% 10/15/2026$5,752,7490.6%
UNITED STATES OF AMERICA NOTES .375% 07/15/2023$5,689,2580.6%
UNITED STATES OF AMERICA BOND 3.875% 04/15/2029$5,311,3880.5%
UNITED STATES OF AMERICA NOTES .125% 01/15/2031$4,916,1990.5%
UNITED STATES OF AMERICA BOND 1.75% 01/15/2028$4,402,6920.4%
REPUBLIC OF ITALY BOND 1.402% 05/26/2025$4,043,9200.4%
UNITED STATES OF AMERICA BOND .25% 02/15/2050$3,203,7570.3%
NYKREDIT REALKREDIT AS 1.5% 10/01/2053$2,727,5050.3%
UNITED STATES OF AMERICA BOND 2.125% 02/15/2040$2,533,0690.3%
TBA UMBS SINGLE FAMILY 30YR 3 7/21$2,409,8740.2%
UNITED MEXICAN STATES BOND 4.4% 02/12/2052$2,152,5550.2%
TBA UMBS SINGLE FAMILY 30YR 2.5 7/20$2,133,8730.2%
UNITED STATES OF AMERICA BOND 1% 02/15/2049$1,994,3700.2%
FEDERAL NATIONAL MORTGAGE ASSOCIATION 3% 02/01/2052$1,674,0950.2%
UNITED STATES OF AMERICA BOND 2% 01/15/2026$1,657,3880.2%
REPUBLIC OF SOUTH AFRICA BOND 8% 01/31/2030$1,656,0650.2%
NORDEA KREDIT REALKREDITAKTIESELSKAB 1.5% 10/01/2053$1,380,0480.1%
MORGAN STANLEY 8% 04/25/2023$1,371,3810.1%
UNITED MEXICAN STATES BOND 7.5% 06/03/2027$1,302,2410.1%
UNICREDIT SPA 7.83% 12/04/2023$1,243,1020.1%
REPUBLIC OF ITALY BOND .436% 05/15/2030$1,108,7320.1%
AREIT 2022-CRE6 TRUST 2.024% 01/16/2037$1,041,0720.1%
REGATTA XX FUNDING LTD 2.204% 10/15/2034$885,1120.1%
FEDERAL NATIONAL MORTGAGE ASSOCIATION 2.5% 03/01/2052$877,1630.1%
MAGNETITE XXVI LTD 2.304% 07/25/2034$877,0560.1%
FREDDIE MAC STRUCTURED AGENCY CREDIT RISK DEBT NOTES 5.279% 06/25/2042$876,8790.1%
BFLD TRUST 2.924% 06/15/2038$828,4890.1%
PRUDENTIAL FINANCIAL INC 5.875% 09/15/2042$747,3300.1%
FREDDIE MAC STACR REMIC TRUST 2021-DNA6 2.426% 10/25/2041$745,8700.1%
ACM AUTO TRUST 2022-1 3.23% 04/20/2029$734,2230.1%
JAPAN BOND .005% 03/10/2031$718,7330.1%
FREDDIE MAC STRUCTURED AGENCY CREDIT RISK DEBT NOTES 2.726% 11/25/2041$718,0900.1%
CONNECTICUT AVENUE SECURITIES TRUST 2022-R01 2.826% 12/25/2041$709,4050.1%
AVANT LOANS FUNDING TRUST 2021-REV1 1.21% 07/15/2030$675,4550.1%
FRENCH REPUBLIC BOND .107% 07/25/2038$673,4350.1%
SUZANO AUSTRIA GMBH 2.5% 09/15/2028$672,3310.1%
BREX COMMERCIAL CHARGE CARD MASTER TRUST 4.63% 07/15/2025$664,6760.1%
SLM STUDENT LOAN TRUST 2004-10 1.784% 10/25/2029$663,0840.1%
MORGAN STANLEY 8% 05/17/2023$658,2240.1%
BANK OF AMERICA CORP 4.376% 04/27/2028$607,9800.1%
AVIS BUDGET RENTAL CAR FUNDING AESOP LLC 4.56% 03/20/2024$603,1270.1%
BELLEMEADE RE 2021-3 LTD 1.926% 09/25/2031$588,4240.1%
MORGAN STANLEY 8% 06/09/2023$572,2750.1%
DIAMOND ISSUER 2.305% 11/20/2051$567,7840.1%
CONNECTICUT AVENUE SECURITIES TRUST 2022-R02 2.126% 01/25/2042$564,0070.1%
CONNECTICUT AVENUE SECURITIES TRUST 2022-R03 4.426% 03/25/2042$549,6220.1%
OAKTOWN RE VII LTD 2.526% 04/25/2034$548,2290.1%
FREDDIE MAC STRUCTURED AGENCY CREDIT RISK DEBT NOTES 3.326% 02/25/2042$547,7420.1%
JAPAN BOND .102% 03/10/2028$534,6440.1%
AFFIRM ASSET SECURITIZATION TRUST 2022-X1 1.75% 02/15/2027$525,3960.1%
FEDERATIVE REPUBLIC OF BRAZIL BOND 10% 01/01/2027$520,9860.1%
NEUBERGER BERMAN LOAN ADVISERS CLO 43 LTD 2.174% 07/17/2035$519,1150.1%
MADISON PARK FUNDING LI LTD 4.094% 07/19/2034$506,9670.1%
CCO HOLDINGS LLC / CCO HOLDINGS CAPITAL CORP 4.75% 02/01/2032$505,9210.1%
REPUBLIC OF ITALY BOND .105% 05/15/2033$484,8110.1%
FREDDIE MAC STACR REMIC TRUST 2022-DNA4 4.276% 05/25/2042$481,7160.1%
PIKES PEAK CLO 8 4.163% 07/20/2034$467,4690.1%
BELLEMEADE RE LTD 2.426% 06/25/2031$464,1590.1%
CNH INDUSTRIAL CAPITAL LLC 3.95% 05/23/2025$462,5620.1%
ENBRIDGE ENERGY PARTNERS LP 7.375% 10/15/2045$459,7080.1%
LAS VEGAS SANDS CORP 3.9% 08/08/2029$457,9830.1%
FORD MOTOR CREDIT CO LLC 4.95% 05/28/2027$442,2440.0%
FREDDIE MAC STACR REMIC TRUST 2021-HQA4 3.276% 12/25/2041$441,1230.0%
CPS AUTO RECEIVABLES TRUST 2022-A 2.17% 04/16/2029$440,1280.0%
FISERV INC 3.5% 07/01/2029$440,0840.0%
ENTEGRIS ESCROW CORP 4.75% 04/15/2029$438,5350.0%
TENCENT HOLDINGS LTD 2.39% 06/03/2030$435,7290.0%
HERTZ VEHICLE FINANCING III LLC 2.63% 06/25/2026$435,6380.0%
BBCMS 2020-BID MORTGAGE TRUST 3.464% 10/15/2037$429,0170.0%
OCTANE RECEIVABLES TRUST 2021-2 2.02% 09/20/2028$427,9320.0%
SOCIETE GENERALE SA 2.797% 01/19/2028$427,2300.0%
HP INC 5.5% 01/15/2033$425,8220.0%
WEIBO CORP 3.375% 07/08/2030$422,9150.0%
ROCKFORD TOWER CLO 2021-2 LTD 2.223% 07/20/2034$422,3540.0%
KYNDRYL HOLDINGS INC 2.05% 10/15/2026$417,0490.0%
NEIGHBORLY ISSUER 2022-1 3.695% 01/30/2052$412,8130.0%
AGL CLO 12 LTD 3.913% 07/20/2034$406,1230.0%
AB ISSUER LLC 3.734% 07/30/2051$405,3630.0%
FREDDIE MAC STRUCTURED AGENCY CREDIT RISK DEBT NOTES 4.274% 12/25/2029$403,9560.0%
BALLYROCK CLO 16 LTD 3.963% 07/20/2034$400,0120.0%
CARNIVAL CORP 4% 08/01/2028$396,9460.0%
CPS AUTO RECEIVABLES TRUST 2021-C 1.69% 06/15/2027$388,2070.0%
UPSTART SECURITIZATION TRUST 2021-3 1.66% 07/20/2031$387,3010.0%
UNITED STATES OF AMERICA BOND 3.375% 04/15/2032$386,9050.0%
BX COMMERCIAL MORTGAGE TRUST 2019-IMC 3.474% 04/15/2034$384,1770.0%
OCHSNER LSU HEALTH SYSTEM OF NORTH LOUISIANA 2.51% 05/15/2031$381,0550.0%
OCP CLO 2020-18 LTD 2.153% 07/20/2032$380,7430.0%
AIRCASTLE LTD 4.25% 06/15/2026$376,1330.0%
FREDDIE MAC STACR REMIC TRUST 2022-DNA1 2.776% 01/25/2042$373,1650.0%
TRIANGLE RE 2021-3 LTD 2.826% 02/25/2034$370,0890.0%
WESTINGHOUSE AIR BRAKE TECHNOLOGIES CORP 4.4% 03/15/2024$368,8730.0%
MOODY'S CORP 4.25% 02/01/2029$368,7220.0%
DISH DBS CORP 5.25% 12/01/2026$362,2150.0%
BALBOA BAY LOAN FUNDING 2021-1 LTD 2.263% 07/20/2034$355,4890.0%
BAMLL COMMERCIAL MORTGAGE SECURITIES TRUST 2017-SCH 2.324% 11/15/2033$353,0510.0%
CONTINENTAL RESOURCES INC/OK 2.875% 04/01/2032$352,3100.0%
FLATIRON CLO 21 LTD 3.944% 07/19/2034$351,5150.0%
CGRBS COMMERCIAL MORTGAGE TRUST 2013-VN05 3.369% 03/13/2035$350,0500.0%
LAD AUTO RECEIVABLES TRUST 2021-1 1.3% 08/17/2026$341,8570.0%
CONN'S RECEIVABLES FUNDING 2021-A LLC 1.05% 05/15/2026$338,6420.0%
ELMWOOD CLO IX LTD 4.013% 07/20/2034$338,2400.0%
PARKER-HANNIFIN CORP 4.5% 09/15/2029$337,6000.0%
UNIVERSITY OF CALIFORNIA 3.071% 05/15/2051$337,2000.0%
BAT CAPITAL CORP 2.259% 03/25/2028$328,7700.0%
CREDIT SUISSE GROUP AG 6.375% CALLABLE$323,2120.0%
BELLEMEADE RE 2022-1 LTD 3.076% 01/26/2032$322,5130.0%
FEDERAL NATIONAL MORTGAGE ASSOCIATION 2.926% 11/25/2041$320,6930.0%
CONTINENTAL RESOURCES INC/OK 5.75% 01/15/2031$320,6460.0%
OLEODUCTO CENTRAL SA 4% 07/14/2027$317,6420.0%
GLP CAPITAL LP / GLP FINANCING II INC 3.25% 01/15/2032$317,3690.0%
CITIGROUP INC 9.542% 09/29/2024$314,3600.0%
AIR LEASE CORP 4.625% 10/01/2028$313,8480.0%
STANDARD CHARTERED PLC 3.971% 03/30/2026$309,9770.0%
ENA MASTER TRUST 4% 05/19/2048$306,5870.0%
UBS GROUP AG 4.488% 05/12/2026$303,2570.0%
ING BANK NV 2.625% 12/05/2022$299,8170.0%
CREDIT SUISSE GROUP AG 3.091% 05/14/2032$299,6180.0%
HSBC HOLDINGS PLC 4.762% 03/29/2033$293,6400.0%
MVW 2021-2 LLC 1.83% 05/20/2039$287,9300.0%
GOLDENTREE LOAN MANAGEMENT US CLO 7 LTD 2.133% 04/20/2034$287,8220.0%
CARVANA AUTO RECEIVABLES TRUST 2021-P4 2.61% 09/11/2028$284,0110.0%
COMISION FEDERAL DE ELECTRICIDAD BOND 4.688% 05/15/2029$283,6500.0%
GO MORTGAGE LLC/DE 2.435% 08/15/2026$283,5420.0%
TSMC ARIZONA CORP 3.875% 04/22/2027$283,2950.0%
REALKREDIT DANMARK A/S 1% 10/01/2050$283,1200.0%
CARVANA AUTO RECEIVABLES TRUST 2021-N3 1.02% 06/12/2028$277,7940.0%
SOCIETE GENERALE SA 8% CALLABLE$274,4490.0%
TRANSCANADA PIPELINES LTD 6.1% 06/01/2040$270,1280.0%
AVIS BUDGET RENTAL CAR FUNDING AESOP LLC 3.7% 09/20/2024$269,7630.0%
CEMEX SAB DE CV 3.875% 07/11/2031$266,4680.0%
NXP BV / NXP FUNDING LLC 5.55% 12/01/2028$259,8930.0%
BARCLAYS BANK PLC 7% 06/28/2023$257,2540.0%
DUKE ENERGY CAROLINAS NC STORM FUNDING LLC 2.617% 07/01/2041$257,2500.0%
FORD CREDIT AUTO OWNER TRUST 2021-REV1 2.31% 10/17/2033$255,5630.0%
ROSS STORES INC 4.7% 04/15/2027$253,8260.0%
BALLYROCK CLO 15 LTD 4.144% 04/15/2034$253,1690.0%
AERCAP IRELAND CAPITAL DAC / AERCAP GLOBAL AVIATION TRUST 6.5% 07/15/2025$253,0850.0%
NATURA COSMETICOS SA 4.125% 05/03/2028$251,5640.0%
GOLDMAN SACHS GROUP INC/THE 7.5% 08/30/2023$251,1820.0%
BANK OF AMERICA CORP 3.419% 12/20/2028$250,7540.0%
AVIS BUDGET RENTAL CAR FUNDING AESOP LLC 4% 03/20/2025$250,0900.0%
FREDDIE MAC STACR REMIC TRUST 2022-DNA3 3.826% 04/25/2042$248,2690.0%
NXP BV / NXP FUNDING LLC / NXP USA INC 3.4% 05/01/2030$247,2710.0%
CARVANA AUTO RECEIVABLES TRUST 2021-N4 2.3% 09/11/2028$246,7030.0%
EAGLE RE 2021-2 LTD 2.976% 04/25/2034$242,3840.0%
CREDIT SUISSE GROUP AG 4.194% 04/01/2031$240,9320.0%
NEW MOUNTAIN CLO 3 LTD 2.243% 10/20/2034$240,4360.0%
ENGIE ENERGIA CHILE SA 3.4% 01/28/2030$239,1760.0%
GLOBAL PAYMENTS INC 3.2% 08/15/2029$237,0730.0%
DISH DBS CORP 5.75% 12/01/2028$236,7890.0%
NELNET STUDENT LOAN TRUST 2021-C 2.53% 04/20/2062$235,8610.0%
HFX FUNDING ISSUER LLC 3.622% 03/15/2035$235,7360.0%
DRYDEN 78 CLO LTD 2.994% 04/17/2033$233,2190.0%
BERKSHIRE HATHAWAY ENERGY CO 6.125% 04/01/2036$232,3640.0%
DIAMOND INFRASTRUCTURE FUNDING LLC 2.355% 04/15/2049$231,8700.0%
CREDIT SUISSE GROUP AG 9.75% CALLABLE$230,3440.0%
ELEVATION CLO 2020-11 LTD 3.244% 04/15/2033$229,5160.0%
NEUBERGER BERMAN LOAN ADVISERS CLO 42 LTD 3.844% 07/16/2035$229,3490.0%
PPM CLO 5 LTD 4.094% 10/18/2034$227,7810.0%
CAPITAL ONE FINANCIAL CORP 3.273% 03/01/2030$225,8910.0%
MORGAN STANLEY 4.21% 04/20/2028$225,0800.0%
SK HYNIX INC 2.375% 01/19/2031$223,2370.0%
ORACLE CORP 3.6% 04/01/2040$223,1650.0%
HARLEY-DAVIDSON FINANCIAL SERVICES INC 3.05% 02/14/2027$223,0090.0%
FOX CORP 4.709% 01/25/2029$221,8340.0%
ING GROEP NV 4.017% 03/28/2028$220,1980.0%
NELNET STUDENT LOAN TRUST 2021-D 2.9% 04/20/2062$219,5990.0%
NATIONWIDE BUILDING SOCIETY 2.972% 02/16/2028$217,4440.0%
CONNECTICUT AVENUE SECURITIES TRUST 2021-R03 2.576% 12/25/2041$216,3190.0%
AIRCASTLE LTD 2.85% 01/26/2028$215,9970.0%
FREDDIE MAC STACR REMIC TRUST 2021-DNA5 2.576% 01/25/2034$215,9200.0%
NUCOR CORP 4.3% 05/23/2027$215,3920.0%
MIZUHO FINANCIAL GROUP INC 2.226% 05/25/2026$215,1980.0%
DANSKE BANK A/S 3.875% 09/12/2023$214,1680.0%
CAPITAL ONE FINANCIAL CORP 4.927% 05/10/2028$214,0990.0%
FHF TRUST 2021-2 .83% 12/15/2026$211,3290.0%
GCI FUNDING I LLC 2.38% 06/18/2046$209,8880.0%
TRANSCANADA PIPELINES LTD 6.2% 10/15/2037$208,9050.0%
GS MORTGAGE SECURITIES TRUST 2011-GC5 5.209% 08/10/2044$208,2930.0%
NYKREDIT REALKREDIT AS 1% 10/01/2053$204,7820.0%
ALPEK SAB DE CV 5.375% 08/08/2023$202,3230.0%
FEDERAL NATIONAL MORTGAGE ASSOCIATION 4% 12/25/2050$201,2410.0%
FREEPORT INDONESIA PT 4.763% 04/14/2027$201,0580.0%
STATE OF QATAR BOND 3.875% 04/23/2023$200,9320.0%
BELLEMEADE RE LTD 3.876% 03/25/2031$200,7700.0%
NATWEST GROUP PLC 3.747% 06/25/2024$200,2330.0%
BREX COMMERCIAL CHARGE CARD MASTER TRUST 2.09% 07/15/2024$200,1330.0%
FORD MOTOR CREDIT CO LLC 3.55% 10/07/2022$199,3420.0%
MDC HOLDINGS INC 6% 01/15/2043$198,0640.0%
UNITED STATES OF AMERICA BOND 1.625% 11/15/2050$197,0550.0%
GS MORTGAGE SECURITIES TRUST 2013-G1 3.557% 04/10/2031$194,0880.0%
ANGLO AMERICAN CAPITAL PLC 3.875% 03/16/2029$193,3370.0%
PROSUS NV 3.257% 01/19/2027$193,1110.0%
INTESA SANPAOLO SPA 5.017% 06/26/2024$191,0200.0%
BANCO SANTANDER SA 4.175% 03/24/2028$190,9900.0%
DOMINO'S PIZZA MASTER ISSUER LLC 2.662% 04/25/2051$189,6620.0%
NATIONWIDE MUTUAL INSURANCE CO 9.375% 08/15/2039$189,1880.0%
VORNADO REALTY LP 3.4% 06/01/2031$185,7240.0%
COMISION FEDERAL DE ELECTRICIDAD BOND 3.348% 02/09/2031$185,6250.0%
DEUTSCHE BANK AG/NEW YORK NY 3.961% 11/26/2025$183,7760.0%
ALTRIA GROUP INC 3.4% 05/06/2030$182,5770.0%
PRUDENTIAL FINANCIAL INC 5.2% 03/15/2044$182,0290.0%
RADNOR RE 2020-1 LTD 2.574% 01/25/2030$181,3760.0%
PROSUS NV 3.68% 01/21/2030$178,6550.0%
CLNY TRUST 2019-IKPR 3.349% 11/15/2038$177,2920.0%
REALKREDIT DANMARK A/S 1.5% 10/01/2053$176,5680.0%
SANTANDER HOLDINGS USA INC 4.26% 06/09/2025$175,9720.0%
ADIENT GLOBAL HOLDINGS LTD 3.5% 08/15/2024$171,0880.0%
WELLS FARGO & CO 3.584% 05/22/2028$170,9110.0%
DOMINICAN REPUBLIC BOND 4.875% 09/23/2032$170,5980.0%
NH HOTEL GROUP SA 4% 07/02/2026$168,7600.0%
PMT CREDIT RISK TRANSFER TRUST 2019-2R 4.402% 05/27/2023$167,5190.0%
GLENCORE FUNDING LLC 4% 03/27/2027$167,4700.0%
INTERPUBLIC GROUP OF COS INC/THE 4.65% 10/01/2028$166,1850.0%
AFFIRM ASSET SECURITIZATION TRUST 2021-Z2 1.17% 11/16/2026$165,9660.0%
ZF FINANCE GMBH 3.75% 09/21/2028$165,2710.0%
SUMMER BC HOLDCO B SARL 5.75% 10/31/2026$165,1060.0%
CITIGROUP INC 5.95% CALLABLE$164,0440.0%
TK ELEVATOR MIDCO GMBH 4.375% 07/15/2027$163,4560.0%
STANDARD CHARTERED PLC 2.749% CALLABLE$163,4460.0%
AVIATION CAPITAL GROUP LLC 1.95% 01/30/2026$162,8740.0%
WYNN MACAU LTD 5.625% 08/26/2028$162,7400.0%
HARLEY-DAVIDSON FINANCIAL SERVICES INC 3.35% 06/08/2025$161,5980.0%
REPUBLIC OF COLOMBIA BOND 3.125% 04/15/2031$159,6330.0%
LORCA TELECOM BONDCO SA 4% 09/18/2027$158,1870.0%
COLLEGE AVE STUDENT LOANS 2021-C LLC 2.72% 07/26/2055$157,1120.0%
ENERGY TRANSFER LP 6.25% 04/15/2049$155,4330.0%
APCOA PARKING HOLDINGS GMBH 4.625% 01/15/2027$154,2290.0%
FEDERAL HOME LOAN MORTGAGE CORP 4.5% 11/25/2050$154,0120.0%
WELLS FARGO COMMERCIAL MORTGAGE TRUST 2016-NXS6 4.54% 11/15/2049$153,3330.0%
AMERICAN TOWER CORP 3.65% 03/15/2027$150,1860.0%
PORT AUTHORITY OF NEW YORK & NEW JERSEY 1.086% 07/01/2023$147,2490.0%
EMBRAER NETHERLANDS FINANCE BV 5.4% 02/01/2027$147,1190.0%
LIMA METRO LINE 2 FINANCE LTD 5.875% 07/05/2034$144,3630.0%
UBS COMMERCIAL MORTGAGE TRUST 3.203% 10/15/2052$143,2770.0%
ALTICE FRANCE SA/FRANCE 3.375% 01/15/2028$141,7780.0%
ALTICE FINANCING SA 3% 01/15/2028$141,3600.0%
CITY OF NEW YORK NY 1.923% 08/01/2031$140,7120.0%
VZ VENDOR FINANCING II BV 2.875% 01/15/2029$140,2790.0%
WELLS FARGO COMMERCIAL MORTGAGE TRUST 2016-LC25 4.484% 12/15/2059$139,5790.0%
TOBACCO SETTLEMENT FINANCE AUTHORITY 3% 06/01/2035$135,0630.0%
MISSION LANE CREDIT CARD MASTER TRUST 2.24% 09/15/2026$134,2020.0%
ATALAYA EQUIPMENT LEASING TRUST 21-1 2.08% 02/15/2027$133,1670.0%
AMERICAN WATER CAPITAL CORP 3.45% 06/01/2029$132,7930.0%
AVIATION CAPITAL GROUP LLC 5.5% 12/15/2024$131,9490.0%
SANTANDER HOLDINGS USA INC 2.49% 01/06/2028$131,6250.0%
AIRCASTLE LTD 5.25% 08/11/2025$131,4530.0%
DELTA AIR LINES INC / SKYMILES IP LTD 4.75% 10/20/2028$130,4640.0%
FEDERAL NATIONAL MORTGAGE ASSOCIATION 5.174% 07/25/2029$130,3150.0%
NOBEL BIDCO BV 3.125% 06/15/2028$128,0180.0%
CAJUN GLOBAL LLC 3.931% 11/20/2051$124,6590.0%
NEIGHBORLY ISSUER LLC 3.584% 04/30/2051$124,3860.0%
ORACLE CORP 3.65% 03/25/2041$122,4650.0%
GO MORTGAGE LLC/DE 1.433% 08/15/2026$119,4960.0%
NATIXIS COMMERCIAL MORTGAGE SECURITIES TRUST 2019-MILE 2.824% 07/15/2036$118,3210.0%
JPMORGAN CHASE & CO 4.709% CALLABLE$115,8390.0%
DELTA AIR LINES INC / SKYMILES IP LTD 4.5% 10/20/2025$115,5210.0%
HARDEE'S FUNDING LLC 3.981% 12/20/2050$114,9450.0%
HARDEE'S FUNDING LLC 5.71% 06/20/2048$111,8660.0%
WORKDAY INC 3.8% 04/01/2032$110,6870.0%
ASHFORD HOSPITALITY TRUST 2018-KEYS 2.324% 06/15/2035$109,9420.0%
FREDDIE MAC STACR REMIC TRUST 2020-DNA5 3.726% 10/25/2050$108,5770.0%
INEOS QUATTRO FINANCE 2 PLC 2.5% 01/15/2026$107,9460.0%
CITIGROUP INC 4.15% CALLABLE$107,0650.0%
EAGLE RE 2020-1 LTD 2.524% 01/25/2030$106,0860.0%
CLARIOS GLOBAL LP / CLARIOS US FINANCE CO 4.375% 05/15/2026$105,6780.0%
AVIATION CAPITAL GROUP LLC 1.95% 09/20/2026$104,6160.0%
JAPAN BOND .101% 03/10/2029$103,3140.0%
AFFIRM ASSET SECURITIZATION TRUST 2021-Z1 1.07% 08/15/2025$103,1290.0%
BELLEMEADE RE 2019-3 LTD 3.224% 07/25/2029$101,7280.0%
RADNOR RE 2019-1 LTD 3.574% 02/25/2029$101,2070.0%
PLAYTECH PLC 4.25% 03/07/2026$101,1320.0%
BROADCOM INC 4.15% 04/15/2032$100,3380.0%
JYSKE REALKREDIT A/S 1.5% 10/01/2053$99,1380.0%
NORDEA KREDIT REALKREDITAKTIESELSKAB 1% 10/01/2050$98,0010.0%
BX COMMERCIAL MORTGAGE TRUST 2019-IMC 3.224% 04/15/2034$95,1490.0%
FEDERAL HOME LOAN MORTGAGE CORP 4% 09/25/2050$94,2880.0%
FREDDIE MAC STACR TRUST 2019-FTR2 3.774% 11/25/2048$92,9320.0%
S&P GLOBAL INC 4.25% 05/01/2029$91,0700.0%
FEDERAL HOME LOAN MORTGAGE CORP 4.476% 06/25/2050$90,5760.0%
INFOR INC 1.75% 07/15/2025$89,8270.0%
CIGNA CORP 4.375% 10/15/2028$89,3980.0%
DEUTSCHE LUFTHANSA AG 3% 05/29/2026$88,5600.0%
BAMLL COMMERCIAL MORTGAGE SECURITIES TRUST 2013-WBRK 3.652% 03/10/2037$88,4520.0%
ORGANON & CO / ORGANON FOREIGN DEBT CO-ISSUER BV 2.875% 04/30/2028$88,0730.0%
ORACLE CORP 5.375% 07/15/2040$87,6070.0%
ROYAL CARIBBEAN CRUISES LTD 11.5% 06/01/2025$87,5470.0%
VOYA CLO 2019-1 LTD 3.894% 04/15/2031$86,9420.0%
BANK OF AMERICA CORP 9.592% 10/09/2024$85,9780.0%
FEDERAL NATIONAL MORTGAGE ASSOCIATION 6.074% 01/25/2029$84,2290.0%
MARATHON PETROLEUM CORP 6.5% 03/01/2041$84,2060.0%
FREDDIE MAC STACR 2019-HQA3 3.474% 09/25/2049$83,8010.0%
CCO HOLDINGS LLC / CCO HOLDINGS CAPITAL CORP 4.5% 06/01/2033$83,7580.0%
IQVIA INC 2.25% 03/15/2029$83,3620.0%
WELLS FARGO & CO 3.9% CALLABLE$82,7400.0%
CONNECTICUT AVENUE SECURITIES TRUST 2020-R01 3.674% 01/25/2040$82,3210.0%
SANTANDER HOLDINGS USA INC 4.4% 07/13/2027$81,7930.0%
CITIGROUP INC 4% CALLABLE$78,9430.0%
AMERICAN TOWER CORP 4.05% 03/15/2032$72,0880.0%
NYKREDIT REALKREDIT AS 2% 10/01/2053$68,4060.0%
RADNOR RE 2019-2 LTD 3.374% 06/25/2029$67,8950.0%
PRUDENTIAL FINANCIAL INC 5.375% 05/15/2045$66,0570.0%
BROADCOM INC 4.926% 05/15/2037$64,6520.0%
BELLEMEADE RE 2019-1 LTD 3.374% 03/25/2029$63,8910.0%
JPMBB COMMERCIAL MORTGAGE SECURITIES TRUST 2014-C21 4.341% 08/15/2047$62,7530.0%
BELLEMEADE RE 2018-3 LTD 3.474% 10/25/2028$57,3090.0%
FEDERAL NATIONAL MORTGAGE ASSOCIATION 4.426% 04/25/2044$56,7770.0%
BAT CAPITAL CORP 4.906% 04/02/2030$56,7180.0%
JPMORGAN CHASE & CO 5.597% CALLABLE$56,3250.0%
CONNECTICUT AVENUE SECURITIES TRUST 2020-R02 3.624% 01/25/2040$54,0760.0%
AIRCASTLE LTD 4.125% 05/01/2024$52,5090.0%
AVIATION CAPITAL GROUP LLC 4.875% 10/01/2025$52,4150.0%
JPMORGAN CHASE & CO 9.509% 12/20/2023$51,2800.0%
DISCOVERY COMMUNICATIONS LLC 5.2% 09/20/2047$50,7270.0%
BROADCOM INC 4.15% 11/15/2030$50,4490.0%
FEDERAL NATIONAL MORTGAGE ASSOCIATION 4.576% 12/25/2047$49,2330.0%
ASSET BACKED SECURITIES CORP HOME EQUITY LOAN TRUST SERIES OOMC 2006-HE3 1.954% 03/25/2036$47,7330.0%
ALTRIA GROUP INC 4.8% 02/14/2029$45,6670.0%
WORKDAY INC 3.7% 04/01/2029$44,0090.0%
FREDDIE MAC STACR REMIC TRUST 2020-DNA1 3.324% 01/25/2050$43,9610.0%
FEDERAL NATIONAL MORTGAGE ASSOCIATION 4.576% 10/25/2047$43,6150.0%
FEDERAL HOME LOAN MORTGAGE CORP 4.426% 02/25/2050$43,3820.0%
LSTAR COMMERCIAL MORTGAGE TRUST 2016-4 2.579% 03/10/2049$43,1500.0%
AVIATION CAPITAL GROUP LLC 4.375% 01/30/2024$42,2580.0%
AVIATION CAPITAL GROUP LLC 3.5% 11/01/2027$40,6360.0%
FEDERAL HOME LOAN MORTGAGE CORP 4.826% 06/15/2047$40,6030.0%
SUZANO AUSTRIA GMBH 3.75% 01/15/2031$40,5110.0%
ONEOK INC 6.35% 01/15/2031$38,6930.0%
FEDERAL NATIONAL MORTGAGE ASSOCIATION 5.974% 05/25/2029$38,5740.0%
FREDDIE MAC MULTIFAMILY STRUCTURED CREDIT RISK 2.926% 01/25/2051$38,4350.0%
PMT CREDIT RISK TRANSFER TRUST 2020-1R 4.002% 02/27/2023$37,0320.0%
FEDERAL NATIONAL MORTGAGE ASSOCIATION 4.526% 08/25/2047$35,9520.0%
FEDERAL NATIONAL MORTGAGE ASSOCIATION 5.874% 04/25/2029$33,7790.0%
FEDERAL NATIONAL MORTGAGE ASSOCIATION 5.624% 05/25/2025$33,7060.0%
BROADCOM INC 4% 04/15/2029$29,6820.0%
FEDERAL NATIONAL MORTGAGE ASSOCIATION 4.376% 10/25/2046$29,5390.0%
ONEOK PARTNERS LP 6.125% 02/01/2041$28,6360.0%
FEDERAL NATIONAL MORTGAGE ASSOCIATION 4.476% 12/25/2044$28,4700.0%
BROADCOM INC 3.137% 11/15/2035$28,1480.0%
GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 4.605% 09/20/2047$26,7090.0%
CCO HOLDINGS LLC / CCO HOLDINGS CAPITAL CORP 4.5% 08/15/2030$26,6710.0%
CONNECTICUT AVENUE SECURITIES TRUST 2019-R07 3.724% 10/25/2039$25,8440.0%
DISCOVERY COMMUNICATIONS LLC 5.3% 05/15/2049$24,8900.0%
FEDERAL NATIONAL MORTGAGE ASSOCIATION 7.324% 04/25/2028$24,3070.0%
AIR LEASE CORP 2.875% 01/15/2026$23,9080.0%
FEDERAL NATIONAL MORTGAGE ASSOCIATION 4.916% 12/25/2041$22,4430.0%
GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 4.605% 08/20/2047$21,9560.0%
MARRIOTT INTERNATIONAL INC/MD 5.75% 05/01/2025$20,7680.0%
S&P GLOBAL INC 4.75% 08/01/2028$20,3440.0%
FREDDIE MAC STACR TRUST 2019-DNA4 3.574% 10/25/2049$20,1790.0%
VOLCAN CIA MINERA SAA 4.375% 02/11/2026$19,1830.0%
UPSTART SECURITIZATION TRUST 2020-3 1.702% 11/20/2030$18,2580.0%
DISCOVERY COMMUNICATIONS LLC 4.65% 05/15/2050$17,3430.0%
FEDERAL NATIONAL MORTGAGE ASSOCIATION 6.624% 07/25/2025$13,8220.0%
ADVANCE AUTO PARTS INC 3.5% 03/15/2032$13,7410.0%
CENOVUS ENERGY INC 4.25% 04/15/2027$13,7350.0%
TERRAFORM GLOBAL OPERATING LLC 6.125% 03/01/2026$13,3390.0%
AIR LEASE CORP 3.625% 04/01/2027$12,9760.0%
FREDDIE MAC STACR TRUST 2019-DNA3 3.674% 07/25/2049$12,4970.0%
HOME RE 2020-1 LTD 4.874% 10/25/2030$12,4470.0%
REALKREDIT DANMARK A/S 2% 10/01/2053$11,8720.0%
GO MORTGAGE LLC/DE 2.638% 08/15/2026$11,0010.0%
GUARDIAN LIFE INSURANCE CO OF AMERICA/THE 4.85% 01/24/2077$9,9100.0%
CONNECTICUT AVENUE SECURITIES TRUST 2019-R06 3.724% 09/25/2039$8,0520.0%
EXPEDIA GROUP INC 6.25% 05/01/2025$5,1560.0%
AVIATION CAPITAL GROUP LLC 4.125% 08/01/2025$2,8550.0%
 
Collective Trusts/Mutual Funds
Underlying Fund HoldingsMarket Value%
U.S. TREASURY INFLATION PROTECTED SECURITIES FUND$243,377,24824.4%
 
Short-Term/Cash
Underlying Fund HoldingsMarket Value%
JPMORGAN PRIME MONEY MARKET FUND FUNDS VARIABLE$15,118,3121.5%
BLACKROCK TEMP FUND - INST SHARES FUND 24$15,118,3121.5%
UNITED STATES OF AMERICA BILL ZERO CPN 08/SEP/2022$11,799,0551.2%
UNITED STATES OF AMERICA BILL ZERO CPN 03/NOV/2022$4,479,0490.5%
 
Other
Underlying Fund HoldingsMarket Value%
SWAP/05/21/2031/P:USD 1.61650 /R:USD/LIBOR/3M$1,639,7571.5%
SWAP/07/15/2026/P:USD 2.79250 /R:USD/USCPI/1M$1,584,4211.9%
SWAP/02/26/2025/P:USD 1.58900 /R:USD/USCPI/1M$1,495,5881.2%
US DOLLAR$1,453,0480.2%
US DOLLAR$1,278,2860.1%
SWAP/07/15/2025/P:USD 1.59500 /R:USD/USCPI/1M$1,000,9580.8%
SWAP/01/15/2025/P:USD 2.44000 /R:USD/USCPI/1M$977,1141.0%
US DOLLAR$844,0000.1%
SWAP/01/15/2025/P:USD 0.78000 /R:USD/USCPI/1M$723,3620.4%
POUND STERLING$547,9170.1%
SWAP/07/15/2026/P:USD 2.89600 /R:USD/USCPI/1M$531,6360.7%
SWAP/07/15/2026/P:USD 2.90800 /R:USD/USCPI/1M$520,4260.7%
SWAP/06/05/2027/P:USD 0.55750 /R:USD/LIBOR/3M$511,7100.5%
SWAP/01/15/2027/P:USD 2.84250 /R:USD/USCPI/1M$495,2000.7%
US DOLLAR$411,5550.0%
SWAP/01/15/2026/P:USD 2.32200 /R:USD/USCPI/1M$388,9230.4%
SWAP/07/15/2024/P:USD 1.85500 /R:USD/USCPI/1M$371,3660.3%
CURRENCY CONTRACT - USD$362,844-0.6%
SWAPTION/EUROPEAN/11/02/2022/11/04/2052/P:EUR 0.19500 /R:EUR/EURIBOR/6M$338,4450.1%
SWAP/01/15/2025/P:USD 1.58000 /R:USD/USCPI/1M$275,2560.2%
SWAP/01/15/2025/P:USD 1.96750 /R:USD/USCPI/1M$268,4030.3%
SWAP/04/15/2032/P:USD 2.60750 /R:USD/USCPI/1M$248,4680.4%
SWAPTION/EUROPEAN/11/02/2022/11/04/2052/P:EUR 0.19000 /R:EUR/EURIBOR/6M$246,4200.1%
SWAP/07/15/2026/P:USD 2.40750 /R:USD/USCPI/1M$231,1760.2%
SWAP/04/15/2032/P:USD 2.60500 /R:USD/USCPI/1M$212,6270.3%
POUND STERLING$174,7980.0%
YEN$173,9420.0%
CURRENCY CONTRACT - USD$168,639-0.4%
SWAP/03/05/2026/P:USD 2.41875 /R:USD/USCPI/1M$167,6800.2%
EURO$158,7500.0%
SWAP/05/15/2026/P:EUR 1.50000 /R:EUR/HICPXT/1M$144,1150.1%
SWAPTION/EUROPEAN/11/04/2022/11/08/2052/P:EUR 0.19700 /R:EUR/EURIBOR/6M$139,6570.0%
CURRENCY CONTRACT - USD$134,763-0.5%
SWAP/02/26/2026/P:USD 2.31375 /R:USD/USCPI/1M$127,9090.1%
CURRENCY CONTRACT - USD$110,433-0.2%
SWAP/05/13/2026/P:USD 2.76750 /R:USD/USCPI/1M$108,2710.2%
SWAP/01/15/2024/P:USD 1.59900 /R:USD/USCPI/1M$108,0940.1%
CREDIT INDEX SWAP - CDI$105,619-0.2%
US 2YR NOTE (CBT) BOND 30/SEP/2022 TUU2 COMDTY$102,9504.4%
SWAP/02/05/2023/P:USD 2.21000 /R:USD/USCPI/1M$102,4360.1%
SWAP/07/15/2026/P:USD 2.94400 /R:USD/USCPI/1M$95,3320.1%
SWAP/03/15/2024/P:EUR 1.03000 /R:EUR/FRCPI/1M$91,8430.1%
EURO-BUXL 30Y BND BOND 08/SEP/2022 UBU2 COMDTY$81,016-0.2%
CANADIAN DOLLAR$79,8460.0%
EURO$74,9070.0%
US LONG BOND(CBT) BOND 21/SEP/2022 USU2 COMDTY$71,454-1.0%
CURRENCY CONTRACT - USD$67,523-0.1%
SWAP/10/04/2026/P:USD 1.48700 /R:USD/LIBOR/3M$67,0600.1%
SWAP/11/10/2045/P:USD 2.72100 /R:USD/LIBOR/3M$65,2850.0%
YEN$65,0020.0%
BUY PROTECTION ON CDX.NA.HY.38-V2.JUN.2027$63,0040.2%
SWAP/05/14/2026/P:USD 2.79300 /R:USD/USCPI/1M$56,6500.1%
POUND STERLING$53,0100.0%
MEXICAN PESO$52,7940.0%
RAND$50,0450.0%
CURRENCY CONTRACT - USD$49,493-0.8%
SWAP/04/15/2032/P:USD 2.51900 /R:USD/USCPI/1M$45,6920.1%
SWAP/05/10/2023/P:USD 2.28100 /R:USD/USCPI/1M$42,7500.1%
US ULTRA BOND CBT BOND 21/SEP/2022 WNU2 COMDTY$40,8830.1%
EURO-OAT FUTURE BOND 08/SEP/2022 OATU2 COMDTY$39,562-0.1%
BRAZILIAN REAL$35,5900.0%
SWAP/05/20/2029/P:USD 2.39000 /R:USD/LIBOR/3M$33,0660.1%
CURRENCY CONTRACT - USD$32,833-0.1%
SWAP/05/20/2029/P:USD 2.36000 /R:USD/LIBOR/3M$31,3610.1%
US 10YR ULTRA FUT BOND 21/SEP/2022 UXYU2 COMDTY$30,929-0.9%
SWAP/05/09/2023/P:USD 2.26250 /R:USD/USCPI/1M$27,9720.0%
GOLD 100 OZ FUTR PRECIOUS METAL 29/AUG/2022 GCQ2$27,564-0.1%
CURRENCY CONTRACT - USD$27,506-0.1%
SWAP/11/10/2045/P:USD 2.72100 /R:USD/LIBOR/3M$24,4190.0%
SWAP/11/15/2031/P:GBP 4.25000 /R:GBP/UKRPI/1M$21,9090.0%
SWAPTION/EUROPEAN/01/31/2023/02/02/2033/P:USD/SOFR/1D /R:USD 1.57900$20,8080.1%
SWAP/11/09/2026/P:USD 1.67150 /R:USD/LIBOR/3M$19,0670.0%
YEN$18,9120.0%
SWAP/03/15/2024/P:GBP 6.29000 /R:GBP/UKRPI/1M$18,6250.1%
CURRENCY CONTRACT - USD$18,058-0.3%
CURRENCY CONTRACT - USD$16,885-0.2%
CURRENCY CONTRACT - USD$15,603-0.1%
SWAP/11/08/2026/P:USD 1.65700 /R:USD/LIBOR/3M$14,4610.0%
CURRENCY CONTRACT - USD$12,472-0.1%
SWAPTION/EUROPEAN/05/31/2023/06/02/2033/P:USD/SOFR/1D /R:USD 2.35000$11,3260.4%
SHORT EURO-BTP FU BOND 08/SEP/2022 BTSU2 COMDTY$11,273-0.3%
SWAP/03/15/2024/P:GBP 6.29000 /R:GBP/UKRPI/1M$10,6430.0%
US 10YR NOTE (CBT) BOND 21/SEP/2022 TYU2 COMDTY$10,1171.4%
CURRENCY CONTRACT - USD$9,914-0.1%
SELL PROTECTION ON CMBX.NA.BBB-.6.MAY.05/11/2063$9,6650.0%
SELL PROTECTION ON CMBX.NA.BBB-.6.MAY.05/11/2063$9,5890.0%
SELL PROTECTION ON CMBX.NA.BBB-.6.MAY.05/11/2063$7,7440.0%
SWAP/07/12/2027/P:USD 2.35450 /R:USD/LIBOR/3M$7,5560.0%
CURRENCY CONTRACT - USD$6,6770.0%
EURO-BOBL FUTURE BOND 08/SEP/2022 OEU2 COMDTY$6,2440.0%
SELL PROTECTION ON CMBX.NA.BBB-.6.MAY.05/11/2063$5,4980.0%
SELL PROTECTION ON CMBX.NA.BBB-.6.MAY.05/11/2063$5,4960.0%
SELL PROTECTION ON CMBX.NA.BBB-.6.MAY.05/11/2063$5,2470.0%
AUSTRALIAN DOLLAR$5,1770.0%
SELL PROTECTION ON CMBX.NA.BBB-.6.MAY.05/11/2063$5,1200.0%
SELL PROTECTION ON CMBX.NA.BBB-.6.MAY.05/11/2063$4,8780.0%
SWAP/06/15/2032/P:EUR 2.72000 /R:EUR/HICPXT/1M$4,794-0.1%
CURRENCY CONTRACT - USD$4,6730.0%
SWAP/06/15/2024/P:GBP 5.20000 /R:GBP/UKRPI/1M$4,4960.1%
EURO-BTP FUTURE BOND 08/SEP/2022 IKU2 COMDTY$4,132-0.2%
SELL PROTECTION ON CMBX.NA.BBB-.6.MAY.05/11/2063$4,0340.0%
SWAP/06/04/2029/P:USD 2.15000 /R:USD/LIBOR/3M$3,8610.0%
SELL PROTECTION ON CMBX.NA.BBB-.6.MAY.05/11/2063$3,8040.0%
SELL PROTECTION ON CMBX.NA.BBB-.6.MAY.05/11/2063$3,6930.0%
SELL PROTECTION ON CMBX.NA.BBB-.6.MAY.05/11/2063$3,6080.0%
SWAPTION/EUROPEAN/04/26/2023/04/28/2033/P:USD/SOFR/1D /R:USD 2.35000$3,3370.1%
SWAP/01/15/2032/P:GBP 4.30000 /R:GBP/UKRPI/1M$3,0860.0%
SELL PROTECTION ON CMBX.NA.BBB-.6.MAY.05/11/2063$3,0330.0%
SWAP/05/15/2024/P:GBP 6.44000 /R:GBP/UKRPI/1M$2,9920.0%
SELL PROTECTION ON CMBX.NA.BBB-.6.MAY.05/11/2063$2,8700.0%
SWAP/05/15/2026/P:EUR 1.50000 /R:EUR/HICPXT/1M$2,862-0.1%
SELL PROTECTION ON CMBX.NA.BBB-.6.MAY.05/11/2063$2,7100.0%
SELL PROTECTION ON CMBX.NA.BBB-.6.MAY.05/11/2063$2,7090.0%
SWAP/12/15/2031/P:JPY 0.05000 /R:JPY/TONAR/1D$2,6381.0%
CURRENCY CONTRACT - USD$2,6080.0%
SWAP/03/15/2052/P:EUR/HICPXT/1M /R:EUR 2.59000$2,5870.0%
EURO-SCHATZ FUT BOND 08/SEP/2022 DUU2 COMDTY$2,545-0.1%
SELL PROTECTION ON CMBX.NA.BBB-.6.MAY.05/11/2063$2,4580.0%
SWAP/03/15/2031/P:EUR/HICPXT/1M /R:EUR 1.38000$2,386-0.1%
SWAP/03/15/2052/P:EUR/HICPXT/1M /R:EUR 2.59000$2,3000.0%
SWAP/06/15/2032/P:EUR/HICPXT/1M /R:EUR 2.45500$2,1480.0%
SWEDISH KRONA$2,1100.0%
CURRENCY CONTRACT - EUR$1,9650.1%
SWAP/03/15/2052/P:EUR/HICPXT/1M /R:EUR 2.58000$1,9230.0%
SWAP/03/15/2036/P:GBP/UKRPI/1M /R:GBP 3.58000$1,8910.0%
CURRENCY CONTRACT - USD$1,8370.0%
SWAP/03/15/2052/P:EUR/HICPXT/1M /R:EUR 2.58000$1,8050.0%
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$1,6770.0%
SWAP/03/15/2031/P:EUR/HICPXT/1M /R:EUR 1.38000$1,6680.0%
SELL PROTECTION ON CMBX.NA.BBB-.6.MAY.05/11/2063$1,6170.0%
SELL PROTECTION ON CMBX.NA.BBB-.6.MAY.05/11/2063$1,5640.0%
CURRENCY CONTRACT - USD$1,5410.0%
SWAP/03/15/2031/P:EUR/HICPXT/1M /R:EUR 1.38000$1,4290.0%
SELL PROTECTION ON GENERAL ELECTRIC COMPANY SENIOR_UNSECURED/RECEIVE: USD 1.00000 MATURING ON 12/20/2023$1,4200.0%
SWAP/05/15/2024/P:GBP 6.60000 /R:GBP/UKRPI/1M$1,3810.1%
NORWEGIAN KRONE$1,3730.0%
SELL PROTECTION ON CMBX.NA.BBB-.6.MAY.05/11/2063$1,3020.0%
SELL PROTECTION ON CMBX.NA.BBB-.6.MAY.05/11/2063$1,1860.0%
SELL PROTECTION ON CMBX.NA.BBB-.6.MAY.05/11/2063$1,1570.0%
SWAP/05/15/2027/P:EUR 3.00000 /R:EUR/HICPXT/1M$1,1350.0%
SELL PROTECTION ON CMBX.NA.BBB-.6.MAY.05/11/2063$1,1170.0%
SELL PROTECTION ON CMBX.NA.BBB-.6.MAY.05/11/2063$1,0810.0%
SELL PROTECTION ON CMBX.NA.BBB-.6.MAY.05/11/2063$9470.0%
CURRENCY CONTRACT - USD$9030.0%
SELL PROTECTION ON CMBX.NA.BBB-.6.MAY.05/11/2063$8790.0%
SELL PROTECTION ON CMBX.NA.BBB-.6.MAY.05/11/2063$8550.0%
SELL PROTECTION ON CMBX.NA.BBB-.6.MAY.05/11/2063$7780.0%
CURRENCY CONTRACT - USD$7570.0%
SELL PROTECTION ON CMBX.NA.BBB-.6.MAY.05/11/2063$7110.0%
SELL PROTECTION ON CMBX.NA.BBB-.6.MAY.05/11/2063$7100.0%
SELL PROTECTION ON CMBX.NA.BBB-.6.MAY.05/11/2063$6560.0%
CURRENCY CONTRACT - USD$6370.0%
CURRENCY CONTRACT - EUR$6120.0%
SELL PROTECTION ON CMBX.NA.BBB-.6.MAY.05/11/2063$6060.0%
CURRENCY CONTRACT - USD$6050.0%
SWAP/06/15/2024/P:GBP 5.33000 /R:GBP/UKRPI/1M$5490.0%
SWAP/03/15/2031/P:EUR/HICPXT/1M /R:EUR 1.38000$5360.0%
DANISH KRONE$5120.0%
CURRENCY CONTRACT - EUR$4840.1%
SELL PROTECTION ON CMBX.NA.BBB-.6.MAY.05/11/2063$4700.0%
SWAP/03/15/2024/P:GBP 6.29000 /R:GBP/UKRPI/1M$4690.0%
SELL PROTECTION ON CMBX.NA.BBB-.6.MAY.05/11/2063$4470.0%
SWAP/03/15/2036/P:GBP/UKRPI/1M /R:GBP 3.58000$4310.0%
NEW ZEALAND DOLLAR$3120.0%
EUROPEAN OPTION EXPIRING ON 07/20/2022 TO BUY PROTECTION ON CDX.NA.IG.37-V1.DEC.2026/PAY: USD 0.00$2850.0%
SWAP/03/15/2024/P:EUR 1.03000 /R:EUR/FRCPI/1M$274-0.1%
CREDIT DEFAULT SWAP - CDS$2610.0%
SELL PROTECTION ON CMBX.NA.BBB-.6.MAY.05/11/2063$2400.0%
EUROPEAN OPTION EXPIRING ON 08/17/2022 TO BUY PROTECTION ON CDX.NA.IG.38-V1.JUN.2027/PAY: USD 0.00$1950.0%
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$1500.0%
EUROPEAN OPTION EXPIRING ON 07/20/2022 TO BUY PROTECTION ON CDX.NA.IG.38-V1.JUN.2027/PAY: USD 0.00$1150.0%
SWAP/03/15/2036/P:GBP/UKRPI/1M /R:GBP 3.58000$1090.0%
SWAP/02/26/2025/P:USD 1.58900 /R:USD/USCPI/1M$6-1.2%
SWAP/01/15/2025/P:USD 2.44000 /R:USD/USCPI/1M$4-1.0%
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$3-0.8%
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$2-1.5%
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/01/15/2025/P:USD 1.96750 /R:USD/USCPI/1M$1-0.3%
SWAP/01/15/2026/P:USD 2.32200 /R:USD/USCPI/1M$1-0.4%
SWAP/01/15/2027/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/07/15/2026/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/06/15/2032/P:EUR/HICPXT/1M /R:EUR 2.45500$00.0%
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/05/20/2029/P:USD 2.36000 /R:USD/LIBOR/3M$0-0.1%
SWAP/05/20/2029/P:USD 2.39000 /R:USD/LIBOR/3M$0-0.1%
SWAP/06/15/2024/P:GBP 5.33000 /R:GBP/UKRPI/1M$00.0%
SWAP/06/15/2032/P:EUR 2.72000 /R:EUR/HICPXT/1M$0-0.1%
SWAP/06/15/2024/P:GBP 5.20000 /R:GBP/UKRPI/1M$0-0.1%
SWAP/06/05/2027/P:USD 0.55750 /R:USD/LIBOR/3M$0-0.5%
SWAP/12/15/2031/P:JPY 0.05000 /R:JPY/TONAR/1D$0-1.0%
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/07/15/2026/P:USD 2.94400 /R:USD/USCPI/1M$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%
SWAP/11/09/2026/P:USD 1.67150 /R:USD/LIBOR/3M$00.0%
SWAP/11/15/2034/P:EUR/FRCPI/1M /R:EUR 1.28000$00.0%
SWAP/11/15/2031/P:GBP 4.25000 /R:GBP/UKRPI/1M$00.0%
SWAP/02/15/2031/P:GBP/UKRPI/1M /R:GBP 3.62400$0-0.1%
SWAP/02/26/2026/P:USD 2.31375 /R:USD/USCPI/1M$0-0.1%
SWAP/01/15/2032/P:GBP 4.30000 /R:GBP/UKRPI/1M$00.0%
SWAP/01/15/2025/P:USD 1.58000 /R:USD/USCPI/1M$0-0.2%
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/03/05/2026/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/05/15/2027/P:EUR 3.00000 /R:EUR/HICPXT/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/05/15/2024/P:GBP 6.60000 /R:GBP/UKRPI/1M$0-0.1%
SWAP/05/15/2027/P:EUR 3.13000 /R:EUR/HICPXT/1M$00.0%
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/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/04/15/2032/P:USD 2.60750 /R:USD/USCPI/1M$0-0.4%
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/05/13/2026/P:USD 2.76750 /R:USD/USCPI/1M$0-0.2%
SWAP/03/21/2023/P:USD/USCPI/1M /R:USD 5.50000$00.0%
SWAP/05/13/2027/P:USD 3.26250 /R:USD/USCPI/1M$0-1.5%
SELL PROTECTION ON BARCLAYS BANK PLC SENIOR_UNSECURED/RECEIVE: EUR 1.00000 MATURING ON 12/20/2022$00.0%
SELL PROTECTION ON CMBX.NA.BBB-.6.MAY.05/11/2063$00.0%
CURRENCY CONTRACT - EUR$-170.0%
CURRENCY CONTRACT - EUR$-710.0%
CREDIT DEFAULT SWAP - CDS$-790.0%
CREDIT DEFAULT SWAP, CMBX - CDSCMBX$-2050.0%
SWAP/05/15/2037/P:EUR/HICPXT/1M /R:EUR 2.48750$-3260.1%
SWAP/05/15/2027/P:EUR 3.13000 /R:EUR/HICPXT/1M$-3810.0%
CREDIT DEFAULT SWAP, CMBX - CDSCMBX$-4110.0%
CREDIT DEFAULT SWAP, CMBX - CDSCMBX$-4110.0%
CREDIT DEFAULT SWAP, CMBX - CDSCMBX$-4110.0%
CURRENCY CONTRACT - EUR$-5040.0%
CURRENCY CONTRACT - DKK$-8050.0%
CURRENCY CONTRACT - EUR$-8170.0%
CREDIT DEFAULT SWAP, CMBX - CDSCMBX$-8210.0%
CREDIT DEFAULT SWAP, CMBX - CDSCMBX$-1,0270.0%
CREDIT DEFAULT SWAP, CMBX - CDSCMBX$-1,0270.0%
CREDIT DEFAULT SWAP, CMBX - CDSCMBX$-1,2320.0%
SWAPTION/EUROPEAN/04/26/2023/04/28/2028/P:USD/SOFR/1D /R:USD 2.20000$-1,2900.2%
CREDIT DEFAULT SWAP, CMBX - CDSCMBX$-1,4380.0%
CREDIT DEFAULT SWAP, CMBX - CDSCMBX$-1,4380.0%
CREDIT DEFAULT SWAP, CMBX - CDSCMBX$-1,4380.0%
CREDIT DEFAULT SWAP, CMBX - CDSCMBX$-1,4380.0%
CREDIT DEFAULT SWAP, CMBX - CDSCMBX$-1,4380.0%
CURRENCY CONTRACT - EUR$-1,4970.0%
CREDIT DEFAULT SWAP, CMBX - CDSCMBX$-1,6430.0%
CREDIT DEFAULT SWAP, CMBX - CDSCMBX$-1,6430.0%
CURRENCY CONTRACT - USD$-1,7260.0%
CREDIT DEFAULT SWAP, CMBX - CDSCMBX$-1,8480.0%
SWAP/05/15/2032/P:EUR 2.60000 /R:EUR/HICPXT/1M$-2,0690.0%
CREDIT DEFAULT SWAP, CMBX - CDSCMBX$-2,2590.0%
CREDIT DEFAULT SWAP, CMBX - CDSCMBX$-2,2590.0%
CURRENCY CONTRACT - EUR$-2,4020.0%
CREDIT DEFAULT SWAP, CMBX - CDSCMBX$-2,4640.0%
CURRENCY CONTRACT - EUR$-2,5460.0%
CREDIT DEFAULT SWAP, CMBX - CDSCMBX$-2,8750.0%
CREDIT DEFAULT SWAP, CMBX - CDSCMBX$-3,0800.0%
CURRENCY CONTRACT - DKK$-3,2290.0%
CREDIT DEFAULT SWAP, CMBX - CDSCMBX$-3,4910.0%
SWAP/03/21/2023/P:USD/USCPI/1M /R:USD 5.50000$-3,8750.0%
CURRENCY CONTRACT - EUR$-4,1260.0%
CURRENCY CONTRACT - EUR$-4,7600.0%
SWAPTION/EUROPEAN/05/31/2023/06/02/2028/P:USD/SOFR/1D /R:USD 2.20000$-4,9440.6%
CREDIT DEFAULT SWAP, CMBX - CDSCMBX$-5,1340.0%
CREDIT DEFAULT SWAP, CMBX - CDSCMBX$-5,1340.0%
CURRENCY CONTRACT - JPY$-5,2250.0%
SWAP/05/15/2032/P:EUR 2.60000 /R:EUR/HICPXT/1M$-5,6790.0%
CURRENCY CONTRACT - EUR$-6,3640.0%
CREDIT DEFAULT SWAP, CMBX - CDSCMBX$-6,5720.0%
CREDIT DEFAULT SWAP, CMBX - CDSCMBX$-6,7770.0%
CREDIT DEFAULT SWAP, CMBX - CDSCMBX$-6,9820.0%
CREDIT DEFAULT SWAP, CMBX - CDSCMBX$-7,3930.0%
CURRENCY CONTRACTS - ZAR$-7,7290.1%
CURRENCY CONTRACT - USD$-8,080-0.1%
CREDIT DEFAULT SWAP, CMBX - CDSCMBX$-8,4200.0%
CREDIT DEFAULT SWAP, CMBX - CDSCMBX$-8,8310.0%
CREDIT DEFAULT SWAP, CMBX - CDSCMBX$-9,0360.0%
CREDIT DEFAULT SWAP, CMBX - CDSCMBX$-9,0360.0%
CURRENCY CONTRACT - DKK$-9,1730.0%
CURRENCY CONTRACT - AUD$-9,2380.0%
CREDIT DEFAULT SWAP, CMBX - CDSCMBX$-9,4470.0%
CREDIT DEFAULT SWAP, CMBX - CDSCMBX$-10,2680.0%
CREDIT DEFAULT SWAP, CMBX - CDSCMBX$-10,6790.0%
CURRENCY CONTRACT - EUR$-10,9380.1%
CREDIT DEFAULT SWAP, CMBX - CDSCMBX$-12,3220.0%
CREDIT DEFAULT SWAP, CMBX - CDSCMBX$-14,1700.0%
CREDIT DEFAULT SWAP, CMBX - CDSCMBX$-15,4020.0%
CURRENCY CONTRACT - EUR$-15,7570.1%
CURRENCY CONTRACT - DKK$-16,5850.2%
SWAP/06/15/2032/P:EUR 2.72000 /R:EUR/HICPXT/1M$-17,1170.1%
SWAP/03/15/2036/P:GBP/UKRPI/1M /R:GBP 3.58000$-17,5550.0%
SWAP/03/15/2031/P:EUR/HICPXT/1M /R:EUR 1.38000$-17,8330.0%
CURRENCY CONTRACT - CAD$-18,9920.1%
SWAPTION/EUROPEAN/01/31/2023/02/02/2025/P:USD/SOFR/1D /R:USD 1.42750$-20,0270.5%
SWAP/06/15/2032/P:EUR 2.72000 /R:EUR/HICPXT/1M$-21,7020.1%
LONG GILT FUTURE BOND 28/SEP/2022 G U2 COMDTY$-24,9470.1%
EURO-BUND FUTURE BOND 08/SEP/2022 RXU2 COMDTY$-27,1160.3%
SWAP/03/15/2036/P:GBP/UKRPI/1M /R:GBP 3.58000$-35,1090.0%
SWAP/03/15/2036/P:GBP/UKRPI/1M /R:GBP 3.58000$-35,1090.0%
SWAP/03/15/2036/P:GBP/UKRPI/1M /R:GBP 3.58000$-35,1090.0%
SWAP/03/15/2031/P:EUR/HICPXT/1M /R:EUR 1.38000$-35,6820.0%
SWAP/03/15/2031/P:EUR/HICPXT/1M /R:EUR 1.38000$-35,6820.0%
SWAP/03/15/2031/P:EUR/HICPXT/1M /R:EUR 1.38000$-35,6820.0%
SWAP/03/15/2036/P:GBP/UKRPI/1M /R:GBP 3.56600$-35,7220.0%
CURRENCY CONTRACT - CAD$-41,7420.5%
SWAP/11/15/2034/P:EUR/FRCPI/1M /R:EUR 1.28000$-42,7170.0%
CREDIT DEFAULT SWAP, CMBX - CDSCMBX$-56,4960.0%
SWAP/03/15/2031/P:EUR/HICPXT/1M /R:EUR 1.38000$-89,1660.1%
CURRENCY CONTRACT - JPY$-110,4710.2%
US 5YR NOTE (CBT) BOND 30/SEP/2022 FVU2 COMDTY$-130,8852.9%
JPN 10Y BOND(OSE) BOND 12/SEP/2022 JBU2 COMDTY$-140,315-2.6%
SWAP/02/15/2031/P:GBP/UKRPI/1M /R:GBP 3.62400$-165,2180.1%
CURRENCY CONTRACT - AUD$-166,4440.5%
SWAP/05/13/2027/P:USD 3.26250 /R:USD/USCPI/1M$-176,4311.5%
EURO$-259,4970.0%
SWAP/08/15/2030/P:GBP/UKRPI/1M /R:GBP 3.47500$-268,6590.1%
SWAPTION/EUROPEAN/11/04/2022/11/08/2032/P:EUR 0.00000 /R:EUR/EURIBOR/6M$-326,1010.2%
SWAPTION/EUROPEAN/11/02/2022/11/04/2032/P:EUR 0.00000 /R:EUR/EURIBOR/6M$-421,7160.2%
SWAPTION/EUROPEAN/11/02/2022/11/04/2032/P:EUR 0.00000 /R:EUR/EURIBOR/6M$-518,2720.2%
US DOLLAR$-871,000-0.1%
US DOLLAR$-13,491,968-1.4%
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 2.90800 /R:USD/USCPI/1M$1-0.7%
SWAP/07/15/2026/P:USD 2.89600 /R:USD/USCPI/1M$1-0.7%
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%
WON$10.0%
SWAP/01/15/2032/P:GBP 4.30000 /R:GBP/UKRPI/1M$00.0%
SWAP/02/15/2031/P:GBP/UKRPI/1M /R:GBP 3.62400$0-0.1%
SWAP/03/15/2024/P:GBP 6.29000 /R:GBP/UKRPI/1M$0-0.1%
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/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/04/11/2027/P:EUR/EURIBOR/6M /R:EUR 0.70000$00.0%
SWAP/04/15/2032/P:USD 2.51900 /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/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/01/15/2025/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%
SWAP/10/04/2026/P:USD 1.48700 /R:USD/LIBOR/3M$0-0.1%
SWAP/07/15/2026/P:USD 2.94400 /R:USD/USCPI/1M$0-0.1%
SWAP/11/08/2026/P:USD 1.65700 /R:USD/LIBOR/3M$00.0%
SWAP/11/09/2026/P:USD 1.67150 /R:USD/LIBOR/3M$00.0%
SWAP/11/15/2031/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/06/04/2029/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 2.39000 /R:USD/LIBOR/3M$0-0.1%
SWAP/05/20/2029/P:USD 2.36000 /R:USD/LIBOR/3M$0-0.1%
SWAP/05/13/2027/P:EUR/EURIBOR/6M /R:EUR 1.00000$0-0.1%
SWAP/05/15/2037/P:EUR/HICPXT/1M /R:EUR 2.48750$0-0.1%
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/05/15/2032/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/05/15/2024/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/05/13/2027/P:USD 3.26250 /R:USD/USCPI/1M$0-1.4%
SWAP/05/13/2026/P:USD 2.76750 /R:USD/USCPI/1M$0-0.1%
SWAP/12/15/2031/P:JPY 0.05000 /R:JPY/TONAR/1D$0-1.0%
SWAP/08/15/2030/P:GBP/UKRPI/1M /R:GBP 3.47500$0-0.1%
SWAP/11/15/2034/P:EUR/FRCPI/1M /R:EUR 1.28000$00.0%
MEXICAN PESO$00.0%
CREDIT DEFAULT SWAP, CMBX - CDSCMBX$-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%

Management

Management  

Investment Advisor: MissionSquare Investments

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

Footnotes

1.

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

2.

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

3.

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

4.

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

The source for this information is Morningstar, Inc. Copyright © 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.