Close

Form NPORT-P DEUTSCHE DWS SECURITIES For: Mar 31

FREE Breaking News Alerts from StreetInsider.com!

E-mail Address

StreetInsider.com Top Tickers, 4/16/2024

1. SPY
2. TSLA
3. RDDT
4. TCS:IN
5. ALAB
6. JPM
7. C
8. GS
9. AAPL
10. DJT


May 24, 2022 11:16 AM EDT 

  
    NPORT-P
    false
    
      
      
        
          0000088048
          XXXXXXXX
        
      
      
      
      
        S000032043
        C000172345
        C000099777
        C000099774
        C000099775
        C000188509
        C000099779
      
      
      
    
  
  
    
      DEUTSCHE DWS SECURITIES TRUST
      811-02021
      0000088048
      7SL8QTS97H1HUY8AHM73
      875 Third Avenue
      NEW YORK
      
      10022-6225
      212-454-4500
      DWS Enhanced Commodity Strategy Fund
      S000032043
      U72UPDOVVEAXSRWTZF97
      2022-06-30
      2022-03-31
      N
    
    
      2552493313.23
      117319574.99
      2435173738.24
      0.00000000
      437710446.33000000
      0.00000000
      0.00000000
      0.00000000
      0.00000000
      0.00000000
      0.00000000
      0.00000000
      0.00000000
      0.00000000
      0.00000000
      0.00000000
      12965564.40000000
      
        
          USD
          
          
        
      
      
      
      
        
        
        
      
      N
      
        
          
          
          
          
          
          
        
        
          
            
            
            
            
              
              
              
            
            
              
              
              
            
            
              
              
              
            
          
          
            
            
            
            
              
              
              
            
          
          
            
            
            
            
              
              
              
            
            
              
              
              
            
          
        
        
        
        
      
      
      
      
      
      
    
    
      
        OFFICE PPTY INCOME TRST
        N/A
        Office Properties Income Trust
        67623CAD1
        
          
        
        1340000.00000000
        PA
        USD
        1225288.28000000
        0.050316257142
        Long
        DBT
        
        US
        N
        
        2
        
          2026-06-15
          Fixed
          2.65000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Royal Bank of Canada
        ES7IP3U3RHIGC71XBU11
        Long: BDW9D6R34 TRS USD R F  1.00000 BDW9D6R42 COMMODITYTRS / Short: BDW9D6R34 TRS USD P F   .11000 BDW9D6R59 COMMODITYTRS
        000000000
        
          
        
        66101162.33000000
        OU
        Notional Amount
        USD
        -445168.19000000
        -0.01828075685
        N/A
        DCO
        
        CA
        N
        
        2
        
          
            
              Royal Bank of Canada
              ES7IP3U3RHIGC71XBU11
            
            
              
                RBC Commodity Strategy EC01 ER
                RBCAEC01US Index
              
            
            Y
            equity-performance leg
            
            2022-04-14
            0.00000000
            USD
            0.00000000
            USD
            66101162.33000000
            USD
            -445168.19000000
          
        
        
          N
          N
          N
        
      
      
        NEXTERA ENERGY CAPITAL
        UMI46YPGBLUE4VGNNT48
        NextEra Energy Capital Holdings Inc
        65339KBU3
        
          
        
        5000000.00000000
        PA
        USD
        4928171.40000000
        0.202374529694
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2023-03-01
          Fixed
          0.65000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Societe Generale SA
        O2RNE8IBXP4R0TD8PU41
        Long: BDW9D6T16 TRS USD R F  1.00000 BDW9D6T24 COMMODITYTRS / Short: BDW9D6T16 TRS USD P F   .35000 BDW9D6T32 COMMODITYTRS
        000000000
        
          
        
        35338134.98000000
        OU
        Notional Amount
        USD
        934789.79000000
        0.038386985508
        N/A
        DCO
        
        FR
        N
        
        2
        
          
            
              Societe Generale SA
              O2RNE8IBXP4R0TD8PU41
            
            
              
                Macquarie NYMEX WTI Crude Oil (CL) 2nd Gen Dynamic Tenor Volatility Index
                VMAC3CL1 Index
              
            
            Y
            equity-performance leg
            
            2022-04-14
            0.00000000
            USD
            0.00000000
            USD
            35338134.98000000
            USD
            934789.79000000
          
        
        
          N
          N
          N
        
      
      
        REC LIMITED
        335800B4YRYWAMIJZ374
        REC Ltd
        74947LAC8
        
          
        
        1423000.00000000
        PA
        USD
        1439610.99000000
        0.059117383182
        Long
        DBT
        CORP
        IN
        N
        
        2
        
          2023-05-19
          Fixed
          4.75000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        United States Treasury
        254900HROIFWPRGM1V77
        United States Treasury Note/Bond
        9128286U9
        
          
        
        50000000.00000000
        PA
        USD
        50109497.00000000
        2.057738066615
        Long
        DBT
        UST
        US
        N
        
        2
        
          2022-05-15
          Fixed
          2.12500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Merrill Lynch International
        GGDZP1UYGU9STUHRDP48
        Long: BDW9D6QA9 TRS USD R F  1.00000 BDW9D6QB7 COMMODITYTRS / Short: BDW9D6QA9 TRS USD P F   .35000 BDW9D6QC5 COMMODITYTRS
        000000000
        
          
        
        4036397.67000000
        OU
        Notional Amount
        USD
        -147705.11000000
        -0.00606548550
        N/A
        DCO
        
        GB
        N
        
        2
        
          
            
              Merrill Lynch International
              GGDZP1UYGU9STUHRDP48
            
            
              
                UBS Custom Commodity Index
                UBSIB165 Index
              
            
            Y
            equity-performance leg
            
            2022-04-14
            0.00000000
            USD
            0.00000000
            USD
            4036397.67000000
            USD
            -147705.11000000
          
        
        
          N
          N
          N
        
      
      
        United States Treasury
        254900HROIFWPRGM1V77
        United States Treasury Inflation Indexed Bonds
        912828VM9
        
          
        
        36233400.00000000
        PA
        USD
        38032331.79000000
        1.561791308470
        Long
        DBT
        UST
        US
        N
        
        2
        
          2023-07-15
          Fixed
          0.37500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        NIELSEN FINANCE LLC/CO
        N/A
        Nielsen Finance LLC / Nielsen Finance Co
        65409QBD3
        
          
        
        1235000.00000000
        PA
        USD
        1243892.00000000
        0.051080215775
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2028-10-01
          Fixed
          5.62500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Banco Santander SA
        5493006QMFDDMYWIAM13
        Banco Santander SA
        05964HAE5
        
          
        
        4600000.00000000
        PA
        USD
        4633079.29000000
        0.190256621827
        Long
        DBT
        CORP
        ES
        N
        
        2
        
          2023-02-23
          Fixed
          3.12500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Brex Inc
        N/A
        Brex Commercial Charge Card Master Trust
        05601DAC7
        
          
        
        2000000.00000000
        PA
        USD
        1996961.80000000
        0.082004900457
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2025-07-15
          Fixed
          4.63000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase Bank, NA - CACLN
        N/A
        JPMorgan Chase Bank NA - CACLN
        46591HBA7
        
          
        
        934497.70000000
        PA
        USD
        928683.26000000
        0.038136221880
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2028-02-25
          Fixed
          3.07200000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        TRUST F/1401
        N/A
        Trust Fibra Uno
        000000000
        
          
        
        1000000.00000000
        PA
        USD
        1028010.00000000
        0.042215057753
        Long
        DBT
        
        MX
        N
        
        2
        
          2024-12-15
          Fixed
          5.25000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        DAIMLER FINANCE NA LLC
        549300423Z16BB673J12
        Daimler Finance North America LLC
        233851DY7
        
          
        
        5000000.00000000
        PA
        USD
        4975763.65000000
        0.204328897436
        Long
        DBT
        CORP
        US
        
        N
        
        2
        
          2023-03-10
          Fixed
          1.75000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        NATIONWIDE BLDG SOCIETY
        549300XFX12G42QIKN82
        Nationwide Building Society
        63861VAD9
        
          
        
        2460000.00000000
        PA
        USD
        2460439.77000000
        0.101037545344
        Long
        DBT
        CORP
        GB
        N
        
        2
        
          2023-04-26
          Fixed
          3.62200000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Continental Credit Card llc
        N/A
        Continental Finance Credit Card ABS Master Trust
        66981PAD0
        
          
        
        3000000.00000000
        PA
        USD
        2875459.20000000
        0.118080248437
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2029-12-17
          Fixed
          2.55000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Citibank N.A.
        E57ODZWZ7FF32TWEFA76
        Long: BDW9DCTX3 TRS USD R F  1.00000 BDW9DCTY1 COMMODITYTRS / Short: BDW9DCTX3 TRS USD P F   .44000 BDW9DCTZ8 COMMODITYTRS
        000000000
        
          
        
        39823822.35000000
        OU
        Notional Amount
        USD
        809057.19000000
        0.033223797435
        N/A
        DCO
        
        US
        N
        
        2
        
          
            
              Citibank N.A.
              E57ODZWZ7FF32TWEFA76
            
            
              
                CCUDTSDN
                CCUDTSDN Index
              
            
            Y
            equity-performance leg
            
            2022-04-14
            0.00000000
            USD
            0.00000000
            USD
            39823822.35000000
            USD
            809057.19000000
          
        
        
          N
          N
          N
        
      
      
        Foursight Capital Automobile Receivables Trust
        N/A
        Foursight Capital Automobile Receivables Trust 2020-1
        35105FAD8
        
          
        
        1250000.00000000
        PA
        USD
        1250438.25000000
        0.051349036430
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2025-02-18
          Fixed
          2.27000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        HPEFS Equipment Trust
        549300NXXXDG2TJQD265
        HPEFS Equipment Trust 2019-1
        40438DAE9
        
          
        
        914560.63000000
        PA
        USD
        916293.63000000
        0.037627443808
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2029-09-20
          Fixed
          2.49000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        UBS AG
        BFM8T61CT2L1QCEMIK50
        Long: BDW9G6VS1 TRS USD R F  1.00000 BDW9G6VT9 COMMODITYTRS / Short: BDW9G6VS1 TRS USD P F   .12000 BDW9G6VU6 COMMODITYTRS
        000000000
        
          
        
        12500000.00000000
        OU
        Notional Amount
        USD
        115575.13000000
        0.004746073275
        N/A
        DCO
        
        US
        N
        
        2
        
          
            
              UBS AG
              BFM8T61CT2L1QCEMIK50
            
            
              
                Bloomberg Zinc Subindex
                BCOMZS INDEX
              
            
            Y
            equity-performance leg
            
            2022-04-14
            0.00000000
            USD
            0.00000000
            USD
            12500000.00000000
            USD
            115575.13000000
          
        
        
          N
          N
          N
        
      
      
        United States Treasury
        254900HROIFWPRGM1V77
        United States Treasury Bill
        912796J42
        
          
        
        640000.00000000
        PA
        USD
        639439.29000000
        0.026258466899
        Long
        STIV
        UST
        US
        N
        
        2
        
          2022-06-16
          None
          0.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        STANDARD CHARTERED PLC
        U4LOSYZ7YG4W3S5F2G91
        Standard Chartered PLC
        853254BV1
        
          
        
        2500000.00000000
        PA
        USD
        2476445.73000000
        0.101694827400
        Long
        DBT
        CORP
        GB
        N
        
        2
        
          2023-10-14
          Fixed
          1.31900000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        COMM Mortgage Trust
        N/A
        COMM 2013-CCRE6 Mortgage Trust
        12624XAP3
        
          
        
        4238720.00000000
        PA
        USD
        4217264.45000000
        0.173181255356
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2046-03-10
          Fixed
          3.39700000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Transportation Finance Equipment Trust
        N/A
        Transportation Finance Equipment Trust 2019-1
        89389JAF9
        
          
        
        1250000.00000000
        PA
        USD
        1238811.50000000
        0.050871585897
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2024-08-23
          Fixed
          2.19000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase Bank, NA - CACLN
        N/A
        JPMorgan Chase Bank NA - CACLN
        46591HBU3
        
          
        
        417176.17000000
        PA
        USD
        409956.02000000
        0.016834775012
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2028-09-25
          Fixed
          2.36500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        VNESHECONOMBANK(VEB FIN)
        635400KYY8E2NCZXJ191
        Vnesheconombank Via VEB Finance PLC
        91822CAA6
        
          
        
        1500000.00000000
        PA
        USD
        75000.00000000
        0.003079862386
        Long
        DBT
        CORP
        IE
        
        N
        
        2
        
          2022-07-05
          Fixed
          6.02500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BANCO DE CREDITO DEL PER
        549300EQYQ8SCQZ4BY14
        Banco de Credito del Peru S.A.
        05971V2A2
        
          
        
        1000000.00000000
        PA
        USD
        973400.00000000
        0.039972507288
        Long
        DBT
        CORP
        PE
        N
        
        2
        
          2025-01-11
          Fixed
          2.70000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BLUESTAR FIN HOLDINGS
        300300294ZKDSAV43I87
        Bluestar Finance Holdings Ltd
        000000000
        
          
        
        1000000.00000000
        PA
        USD
        992980.65000000
        0.040776583387
        Long
        DBT
        CORP
        VG
        
        N
        
        2
        
          2024-07-16
          Fixed
          3.37500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        NRZ Excess Spread Collateralized Notes
        N/A
        NRZ Excess Spread-Collateralized Notes
        65246QAA7
        
          
        
        1808997.00000000
        PA
        USD
        1738243.51000000
        0.071380677390
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2026-11-25
          Fixed
          3.47400000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MITSUBISHI UFJ FIN GRP
        353800V2V8PUY9TK3E06
        Mitsubishi UFJ Financial Group Inc
        606822CA0
        
          
        
        3200000.00000000
        PA
        USD
        3016162.50000000
        0.123858205787
        Long
        DBT
        CORP
        JP
        N
        
        2
        
          2025-10-11
          Fixed
          0.96200000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        UBS AG LONDON
        BFM8T61CT2L1QCEMIK50
        UBS AG/London
        902674YG9
        
          
        
        7000000.00000000
        PA
        USD
        6976921.77000000
        0.286506119068
        Long
        DBT
        CORP
        CH
        N
        
        2
        
          2023-06-01
          Floating
          0.54400000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        NATIONAL BANK OF CANADA
        BSGEFEIOM18Y80CKCV46
        National Bank of Canada
        63307A2J3
        
          
        
        5000000.00000000
        PA
        USD
        4998864.85000000
        0.205277544328
        Long
        DBT
        CORP
        CA
        N
        
        2
        
          2023-02-01
          Fixed
          2.10000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MVW Owner Trust
        N/A
        MVW 2021-1W LLC
        55389TAB7
        
          
        
        390251.41000000
        PA
        USD
        368195.77000000
        0.015119897369
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2041-01-22
          Fixed
          1.44000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Atrium Hotel Portfolio Trust
        N/A
        Atrium Hotel Portfolio Trust 2018-ATRM
        04965KAJ9
        
          
        
        6000000.00000000
        PA
        USD
        5879259.60000000
        0.241430806667
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2035-06-15
          Floating
          1.82700000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        DWS
        5493003GD84DGSXJ7618
        DWS Central Cash Management Government Fund
        25160K306
        
          
        
        361605237.67000000
        NS
        USD
        361605237.67000000
        14.84925826817
        Long
        STIV
        RF
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        United States Treasury
        254900HROIFWPRGM1V77
        United States Treasury Note/Bond
        912828W71
        
          
        
        50000000.00000000
        PA
        USD
        49791015.50000000
        2.044659677382
        Long
        DBT
        UST
        US
        N
        
        2
        
          2024-03-31
          Fixed
          2.12500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        United States Treasury
        254900HROIFWPRGM1V77
        United States Treasury Note/Bond
        91282CAP6
        
          
        
        30000000.00000000
        PA
        USD
        29075390.70000000
        1.193976029037
        Long
        DBT
        UST
        US
        N
        
        2
        
          2023-10-15
          Fixed
          0.12500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        AmeriCredit Automobile Receivables Trust
        N/A
        Americredit Automobile Receivables Trust 2019-2
        03066KAG5
        
          
        
        2760000.00000000
        PA
        USD
        2770681.75000000
        0.113777580075
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2025-04-18
          Fixed
          2.74000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Citibank N.A.
        E57ODZWZ7FF32TWEFA76
        Long: BDW9D6L30 TRS USD R F  1.00000 BDW9D6L48 COMMODITYTRS / Short: BDW9D6L30 TRS USD P F   .00000 BDW9D6L55 COMMODITYTRS
        000000000
        
          
        
        12140000.00000000
        OU
        Notional Amount
        USD
        -50805.90000000
        -0.00208633573
        N/A
        DCO
        
        US
        N
        
        2
        
          
            
              Citibank N.A.
              E57ODZWZ7FF32TWEFA76
            
            
              
                Citi Commodities Gold Call Ratio Index
                CICXGCCR Index
              
            
            Y
            equity-performance leg
            equity-performance leg
            2022-04-14
            0.00000000
            USD
            0.00000000
            USD
            12140000.00000000
            USD
            -50805.90000000
          
        
        
          N
          N
          N
        
      
      
        BBVA BANCOMER SA TEXAS
        549300WIWQK5Q9MCUN92
        BBVA Bancomer SA/Texas
        05533UAH1
        
          
        
        2139000.00000000
        PA
        USD
        2038467.00000000
        0.083709304514
        Long
        DBT
        CORP
        MX
        N
        
        2
        
          2025-09-18
          Fixed
          1.87500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        GLOBAL PAYMENTS INC
        549300NOMHGVQBX6S778
        Global Payments Inc
        37940XAF9
        
          
        
        4290000.00000000
        PA
        USD
        4101406.28000000
        0.168423559091
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2024-11-15
          Fixed
          1.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Chase Auto Credit Linked Notes
        N/A
        JPMorgan Chase Bank NA - CACLN
        46591HCE8
        
          
        
        1855768.33000000
        PA
        USD
        1801930.82000000
        0.073995986064
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2029-02-26
          Fixed
          0.86000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        London Metal Exchange
        213800NB8G5VRT1DXC91
        LME PRI ALUM FUTR DEC22
        000000000
        
          
        
        270.00000000
        NC
        USD
        5496187.50000000
        0.225700015308
        N/A
        DCO
        
        GB
        N
        
        1
        
          
            
              London Metal Exchange
              213800NB8G5VRT1DXC91
            
            Long
            
              
                LME Primary Aluminum Future
                LAZ22 Comdty
              
            
            2022-12-19
            17840250.00000000
            USD
            5496187.50000000
          
        
        
          N
          N
          N
        
      
      
        Republic of Paraguay
        529900UXKJTJPCU0HK83
        Paraguay Government International Bond
        699149AA8
        
          
        
        1000000.00000000
        PA
        USD
        1010000.00000000
        0.041475480132
        Long
        DBT
        NUSS
        PY
        N
        
        2
        
          2023-01-25
          Fixed
          4.62500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Avis Budget Rental Car Funding AESOP LLC
        IHXLB8SL0QWSSG2VG640
        Avis Budget Rental Car Funding AESOP LLC
        05377RCV4
        
          
        
        720000.00000000
        PA
        USD
        721376.06000000
        0.029623186578
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2024-03-20
          Fixed
          3.33000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Societe Generale SA
        O2RNE8IBXP4R0TD8PU41
        Long: BDW9D6SY5 TRS USD R F  1.00000 BDW9D6SZ2 COMMODITYTRS / Short: BDW9D6SY5 TRS USD P F   .25000 BDW9D6T08 COMMODITYTRS
        000000000
        
          
        
        24745924.07000000
        OU
        Notional Amount
        USD
        262168.22000000
        0.010765893861
        N/A
        DCO
        
        FR
        N
        
        2
        
          
            
              Societe Generale SA
              O2RNE8IBXP4R0TD8PU41
            
            
              
                SGI CODA Index
                SGICCODA Index
              
            
            Y
            equity-performance leg
            
            2022-04-14
            0.00000000
            USD
            0.00000000
            USD
            24745924.07000000
            USD
            262168.22000000
          
        
        
          N
          N
          N
        
      
      
        Santander Bank Auto Credit-Linked Notes
        N/A
        Santander Bank NA - SBCLN
        80290CAE4
        
          
        
        861320.19000000
        PA
        USD
        845965.69000000
        0.034739438780
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2031-12-15
          Fixed
          1.83300000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Citigroup Commercial Mortgage Trust
        N/A
        Citigroup Commercial Mortgage Trust 2013-GC11
        17320DAN8
        
          
        
        1500000.00000000
        PA
        USD
        1503459.45000000
        0.061739309454
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2046-04-10
          Fixed
          3.42200000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Societe Generale SA
        O2RNE8IBXP4R0TD8PU41
        Long: BDW9D6T73 TRS USD R F  1.00000 BDW9D6T81 COMMODITYTRS / Short: BDW9D6T73 TRS USD P F   .18000 BDW9D6T99 COMMODITYTRS
        000000000
        
          
        
        87318126.49000000
        OU
        Notional Amount
        USD
        -662998.68000000
        -0.02722592928
        N/A
        DCO
        
        FR
        N
        
        2
        
          
            
              Societe Generale SA
              O2RNE8IBXP4R0TD8PU41
            
            
              
                Societe Generale M Po 4 U Index
                SGCOM15E INDEX
              
            
            Y
            equity-performance leg
            
            2022-04-14
            0.00000000
            USD
            0.00000000
            USD
            87318126.49000000
            USD
            -662998.68000000
          
        
        
          N
          N
          N
        
      
      
        Macquarie Bank Ltd.
        4ZHCHI4KYZG2WVRT8631
        Long: BDW9DAM97 TRS USD R F  1.00000 BDW9DAMA4 COMMODITYTRS / Short: BDW9DAM97 TRS USD P F   .17000 BDW9DAMB2 COMMODITYTRS
        000000000
        
          
        
        33497746.63000000
        OU
        Notional Amount
        USD
        -152938.65000000
        -0.00628039994
        N/A
        DCO
        
        US
        N
        
        2
        
          
            
              Macquarie Bank Ltd.
              4ZHCHI4KYZG2WVRT8631
            
            
              
                Bloomberg Commodity Index 6 Month Forward
                BCOMF6 INDEX
              
            
            Y
            equity-performance leg
            
            2022-04-14
            0.00000000
            USD
            0.00000000
            USD
            33497746.63000000
            USD
            -152938.65000000
          
        
        
          N
          N
          N
        
      
      
        AmeriCredit Automobile Receivables Trust
        N/A
        AmeriCredit Automobile Receivables Trust 2020-2
        03066EAF1
        
          
        
        1100000.00000000
        PA
        USD
        1073552.81000000
        0.044085265586
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2026-02-18
          Fixed
          1.48000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        JP Morgan Mortgage Trust
        N/A
        JP Morgan Mortgage Trust 2020-LTV2
        46653LAJ5
        
          
        
        1794285.47000000
        PA
        USD
        1789084.55000000
        0.073468456147
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2050-11-25
          Variable
          3.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        London Metal Exchange
        213800NB8G5VRT1DXC91
        LME PRI ALUM FUTR DEC22
        000000000
        
          
        
        -570.00000000
        NC
        USD
        -10226982.00000000
        -0.41996929580
        N/A
        DCO
        
        GB
        N
        
        1
        
          
            
              London Metal Exchange
              213800NB8G5VRT1DXC91
            
            Short
            
              
                LME Primary Aluminum Future
                LAZ22 Comdty
              
            
            2022-12-19
            -39038830.50000000
            USD
            -10226982.00000000
          
        
        
          N
          N
          N
        
      
      
        XEROX HOLDINGS CORP
        5493000Y33XDVO2CXC18
        Xerox Holdings Corp
        98421MAA4
        
          
        
        1990000.00000000
        PA
        USD
        2012387.50000000
        0.082638354233
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2025-08-15
          Fixed
          5.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase Bank N.A.
        7H6GLXDRUGQFU57RNE97
        Long: BDW9D6RU4 TRS USD R F  1.00000 BDW9D6RV2 COMMODITYTRS / Short: BDW9D6RU4 TRS USD P F   .13000 BDW9D6RW0 COMMODITYTRS
        000000000
        
          
        
        76921778.83000000
        OU
        Notional Amount
        USD
        -351197.15000000
        -0.01442185189
        N/A
        DCO
        
        US
        N
        
        2
        
          
            
              JPMorgan Chase Bank N.A.
              7H6GLXDRUGQFU57RNE97
            
            
              
                Bloomberg Commodity Index 6 Month Forward
                BCOMF6 INDEX
              
            
            Y
            equity-performance leg
            
            2022-04-14
            0.00000000
            USD
            0.00000000
            USD
            76921778.83000000
            USD
            -351197.15000000
          
        
        
          N
          N
          N
        
      
      
        Aircastle Ltd
        549300PNK8AKY3OIKP58
        Aircastle Ltd
        00928QAR2
        
          
        
        4345000.00000000
        PA
        USD
        4362032.10000000
        0.179126114556
        Long
        DBT
        CORP
        BM
        
        N
        
        2
        
          2023-09-25
          Fixed
          4.40000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Discover Bank
        X05BVSK68TQ7YTOSNR22
        Discover Bank
        25466AAK7
        
          
        
        3085000.00000000
        PA
        USD
        3114659.90000000
        0.127902984952
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2023-02-06
          Fixed
          3.35000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Banc of America Merrill Lynch Large Loan Inc
        N/A
        BAMLL Commercial Mortgage Securities Trust 2018-DSNY
        054967AA2
        
          
        
        950000.00000000
        PA
        USD
        938048.15000000
        0.038520789513
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2034-09-15
          Floating
          1.24700000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Sierra Receivables Funding Co LLC
        N/A
        Sierra Timeshare 2020-2 Receivables Funding LLC
        826525AB3
        
          
        
        560786.82000000
        PA
        USD
        545269.85000000
        0.022391414683
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2037-07-20
          Fixed
          2.32000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        UBS AG LONDON
        BFM8T61CT2L1QCEMIK50
        UBS AG/London
        902674YF1
        
          
        
        3000000.00000000
        PA
        USD
        2938039.02000000
        0.120650078220
        Long
        DBT
        CORP
        CH
        N
        
        2
        
          2023-06-01
          Fixed
          0.37500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        KOOKMIN BANK
        549300XXMOJSIW8P4769
        Kookmin Bank
        50050GAM0
        
          
        
        805000.00000000
        PA
        USD
        773379.62000000
        0.031758704024
        Long
        DBT
        CORP
        KR
        N
        
        2
        
          2025-05-04
          Fixed
          1.75000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Santander Consumer Auto Receivables Trust
        N/A
        Santander Consumer Auto Receivables Trust 2021-C
        80281HAB0
        
          
        
        310667.91000000
        PA
        USD
        309734.32000000
        0.012719187757
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2028-04-17
          Fixed
          1.44000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        KOREA EAST-WEST POWER CO
        549300VDRGYGX9NBTB52
        Korea East-West Power Co Ltd
        5006EPAG6
        
          
        
        4740000.00000000
        PA
        USD
        4741659.00000000
        0.194715429356
        Long
        DBT
        CORP
        KR
        N
        
        2
        
          2022-06-19
          Fixed
          2.62500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MONDELEZ INTERNATIONAL
        549300DV9GIB88LZ5P30
        Mondelez International Inc
        609207AZ8
        
          
        
        1360000.00000000
        PA
        USD
        1350004.39000000
        0.055437703224
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2024-03-17
          Fixed
          2.12500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BANCO VOTORANTIM
        X2EUTZGMHS8RBQFIUS93
        Banco Votorantim SA
        05967CAF0
        
          
        
        1000000.00000000
        PA
        USD
        998065.00000000
        0.040985371364
        Long
        DBT
        CORP
        BR
        N
        
        2
        
          2025-07-29
          Fixed
          4.37500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        UBS AG
        BFM8T61CT2L1QCEMIK50
        Long: BDW9D6NH7 TRS USD R F  1.00000 BDW9D6NJ3 COMMODITYTRS / Short: BDW9D6NH7 TRS USD P F   .10000 BDW9D6NK0 COMMODITYTRS
        000000000
        
          
        
        36200000.00000000
        OU
        Notional Amount
        USD
        342344.85000000
        0.014058333687
        N/A
        DCO
        
        US
        N
        
        2
        
          
            
              UBS AG
              BFM8T61CT2L1QCEMIK50
            
            
              
                UBS Targeted Commodity Curve Carry Strategy Index
                UBSTCCIS INDEX
              
            
            Y
            equity-performance leg
            
            2022-04-14
            0.00000000
            USD
            0.00000000
            USD
            36200000.00000000
            USD
            342344.85000000
          
        
        
          N
          N
          N
        
      
      
        GLENCORE FUNDING LLC
        213800STG1QDNBY87K49
        Glencore Funding LLC
        378272AX6
        
          
        
        1385000.00000000
        PA
        USD
        1295007.55000000
        0.053179267239
        Long
        DBT
        CORP
        US
        
        N
        
        2
        
          2025-09-01
          Fixed
          1.62500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        HP INC
        WHKXQACZ14C5XRO8LW03
        HP Inc
        40434LAA3
        
          
        
        4190000.00000000
        PA
        USD
        4040954.37000000
        0.165941111574
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2025-06-17
          Fixed
          2.20000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Canadian Pacer Auto Receivables Trust
        549300EBZ7BR10QAH203
        Canadian Pacer Auto Receivables Trust 2018-2
        13646AAF7
        
          
        
        1500000.00000000
        PA
        USD
        1501335.60000000
        0.061652093911
        Long
        ABS-O
        CORP
        CA
        N
        
        2
        
          2024-01-19
          Fixed
          3.63000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MPLX LP
        5493000CZJ19CK4P3G36
        MPLX LP
        55336VBK5
        
          
        
        605000.00000000
        PA
        USD
        609816.11000000
        0.025041995994
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2022-12-01
          Fixed
          3.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BHARAT PETROLEUM CORP LT
        8GRDBX1TJ0PU5NCSHT72
        Bharat Petroleum Corp Ltd
        000000000
        
          
        
        1830000.00000000
        PA
        USD
        1846470.00000000
        0.075824980000
        Long
        DBT
        CORP
        IN
        N
        
        2
        
          2022-10-25
          Fixed
          4.62500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        AERCAP IRELAND CAP/GLOBA
        N/A
        AerCap Ireland Capital DAC / AerCap Global Aviation Trust
        00774MAV7
        
          
        
        2110000.00000000
        PA
        USD
        1951649.42000000
        0.080144155193
        Long
        DBT
        CORP
        IE
        N
        
        2
        
          2026-10-29
          Fixed
          2.45000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase Bank N.A.
        7H6GLXDRUGQFU57RNE97
        Long: BDW9D6SA7 TRS USD R F  1.00000 BDW9D6SB5 COMMODITYTRS / Short: BDW9D6SA7 TRS USD P F   .09000 BDW9D6SC3 COMMODITYTRS
        000000000
        
          
        
        287081962.20000000
        OU
        Notional Amount
        USD
        -4499794.45000000
        -0.18478330228
        N/A
        DCO
        
        US
        N
        
        2
        
          
            
              JPMorgan Chase Bank N.A.
              7H6GLXDRUGQFU57RNE97
            
            
              
                Bloomberg Commodity Index
                BCOM INDEX
              
            
            Y
            equity-performance leg
            
            2022-04-14
            0.00000000
            USD
            0.00000000
            USD
            287081962.20000000
            USD
            -4499794.45000000
          
        
        
          N
          N
          N
        
      
      
        BPR Trust
        N/A
        BPR Trust 2021-TY
        05592AAG5
        
          
        
        506000.00000000
        PA
        USD
        494595.42000000
        0.020310477738
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2038-09-15
          Floating
          1.54700000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Royal Bank of Canada
        ES7IP3U3RHIGC71XBU11
        Long: BDW9D6P28 TRS USD R F  1.00000 BDW9D6P36 COMMODITYTRS / Short: BDW9D6P28 TRS USD P F   .15000 BDW9D6P44 COMMODITYTRS
        000000000
        
          
        
        40165000.00000000
        OU
        Notional Amount
        USD
        -56449.50000000
        -0.00231808922
        N/A
        DCO
        
        CA
        N
        
        2
        
          
            
              Royal Bank of Canada
              ES7IP3U3RHIGC71XBU11
            
            
              
                RBCSCC3V
                RBCSCC3V INDEX
              
            
            Y
            equity-performance leg
            
            2022-04-14
            0.00000000
            USD
            0.00000000
            USD
            40165000.00000000
            USD
            -56449.50000000
          
        
        
          N
          N
          N
        
      
      
        NXP BV/NXP FUNDING LLC
        N/A
        NXP BV / NXP Funding LLC
        62947QAV0
        
          
        
        5961000.00000000
        PA
        USD
        6053589.23000000
        0.248589623604
        Long
        DBT
        CORP
        XX
        
        N
        
        2
        
          2023-06-01
          Fixed
          4.62500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        INDONESIA ASAHAN ALUMINI
        2549008P48EB9SN2OI80
        Indonesia Asahan Aluminium Persero PT
        74445PAE2
        
          
        
        1500000.00000000
        PA
        USD
        1528500.00000000
        0.062767595428
        Long
        DBT
        CORP
        ID
        N
        
        2
        
          2025-05-15
          Fixed
          4.75000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        United States Treasury
        254900HROIFWPRGM1V77
        United States Treasury Floating Rate Note
        91282CDE8
        
          
        
        85000000.00000000
        PA
        USD
        85153137.70000000
        3.496799278130
        Long
        DBT
        UST
        US
        N
        
        2
        
          2023-10-31
          Floating
          0.64100000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MET LIFE GLOB FUNDING I
        635400MMSOCXNNNZDZ82
        Metropolitan Life Global Funding I
        59217GEE5
        
          
        
        5000000.00000000
        PA
        USD
        5000617.00000000
        0.205349496073
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2023-01-13
          Fixed
          1.95000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        EQUINIX INC
        549300EVUN2BTLJ3GT74
        Equinix Inc
        29444UBF2
        
          
        
        690000.00000000
        PA
        USD
        643278.57000000
        0.026416126286
        Long
        DBT
        
        US
        N
        
        2
        
          2025-07-15
          Fixed
          1.25000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Petroleos Mexicanos
        549300CAZKPF4HKMPX17
        Petroleos Mexicanos
        71654QCD2
        
          
        
        1000000.00000000
        PA
        USD
        1011220.00000000
        0.041525579227
        Long
        DBT
        CORP
        MX
        N
        
        2
        
          2023-09-21
          Fixed
          4.62500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        TURKIYE VAKIFLAR BANKASI
        789000KAIHOLSQKQ9858
        Turkiye Vakiflar Bankasi TAO
        000000000
        
          
        
        1000000.00000000
        PA
        USD
        999800.00000000
        0.041056618848
        Long
        DBT
        CORP
        TR
        N
        
        2
        
          2022-05-30
          Fixed
          5.62500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        DWS
        N/A
        DWS Government & Agency Securities Portfolio DWS Government Cash Institutional Shares
        147539670
        
          
        
        8930469.60000000
        NS
        USD
        8930469.60000000
        0.366728232148
        Long
        STIV
        RF
        US
        N
        
        1
        
          
          N
          N
        
      
      
        United States Treasury
        254900HROIFWPRGM1V77
        United States Treasury Note/Bond
        9128284L1
        
          
        
        50000000.00000000
        PA
        USD
        50507812.50000000
        2.074094825632
        Long
        DBT
        UST
        US
        N
        
        2
        
          2023-04-30
          Fixed
          2.75000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        JPMORGAN CHASE &
        8I5DZWZKVSZI1NUHU748
        JPMorgan Chase & Co
        46647PCL8
        
          
        
        6000000.00000000
        PA
        USD
        5940060.00000000
        0.243927564868
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2025-06-23
          Floating
          0.85100000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        PICASSO FINANCE SUB INC
        N/A
        Picasso Finance Sub Inc
        71953LAA9
        
          
        
        467000.00000000
        PA
        USD
        474588.75000000
        0.019488907199
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2025-06-15
          Fixed
          6.12500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        United States Treasury
        254900HROIFWPRGM1V77
        United States Treasury Floating Rate Note
        91282CBK6
        
          
        
        30000000.00000000
        PA
        USD
        30036045.60000000
        1.233425160937
        Long
        DBT
        UST
        US
        N
        
        2
        
          2023-01-31
          Floating
          0.65500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Mylan Inc
        30ZMPDNA1RHIBH89C294
        Mylan Inc
        628530BD8
        
          
        
        5500000.00000000
        PA
        USD
        5589533.62000000
        0.229533258026
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2023-11-29
          Fixed
          4.20000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        KENBOURNE INVEST SA
        222100QGH6Y9KFYZ4B27
        Kenbourne Invest SA
        48855KAA8
        
          
        
        425000.00000000
        PA
        USD
        416916.50000000
        0.017120605953
        Long
        DBT
        CORP
        LU
        
        N
        
        2
        
          2024-11-26
          Fixed
          6.87500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Goldman Sachs & Co. LLC
        FOR8UP27PHTHYVLBNG30
        Long: BDW9D6MT2 TRS USD R F  1.00000 BDW9D6MU9 COMMODITYTRS / Short: BDW9D6MT2 TRS USD P F   .35000 BDW9D6MV7 COMMODITYTRS
        000000000
        
          
        
        63950000.00000000
        OU
        Notional Amount
        USD
        399876.79000000
        0.016420873127
        N/A
        DCO
        
        US
        N
        
        2
        
          
            
              Goldman Sachs & Co. LLC
              FOR8UP27PHTHYVLBNG30
            
            
              
                Goldman Sachs Gold Intraday Seasonality Dynamic Series 1 Excess Return Strategy
                GSISGID1 Index
              
            
            Y
            equity-performance leg
            
            2022-04-14
            0.00000000
            USD
            0.00000000
            USD
            63950000.00000000
            USD
            399876.79000000
          
        
        
          N
          N
          N
        
      
      
        BPR Trust
        N/A
        BPR Trust 2021-TY
        05592AAJ9
        
          
        
        340000.00000000
        PA
        USD
        332337.93000000
        0.013647401201
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2038-09-15
          Floating
          2.09700000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CSAIL Commercial Mortgage Trust
        549300C2HE5FJAWYZL57
        CSAIL 2016-C6 Commercial Mortgage Trust
        12636MAJ7
        
          
        
        1000000.00000000
        PA
        USD
        975386.40000000
        0.040054078470
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2049-01-15
          Fixed
          3.34600000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MICROCHIP TECHNOLOGY INC
        5493007PTFULNYZJ1R12
        Microchip Technology Inc
        595017AZ7
        
          
        
        1250000.00000000
        PA
        USD
        1245813.40000000
        0.051159117743
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2023-09-01
          Fixed
          2.67000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MVW 2020-1 LLC
        N/A
        MVW 2020-1 LLC
        55400EAB5
        
          
        
        260369.68000000
        PA
        USD
        254387.40000000
        0.010446375796
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2037-10-20
          Fixed
          2.73000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Santander Drive Auto Receivables Trust
        N/A
        Santander Drive Auto Receivables Trust 2020-4
        80286WAF3
        
          
        
        1195000.00000000
        PA
        USD
        1181437.83000000
        0.048515545788
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2026-01-15
          Fixed
          1.01000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Macquarie Bank Ltd.
        4ZHCHI4KYZG2WVRT8631
        Long: BDW9DAMG1 TRS USD R F  1.00000 BDW9DAMH9 COMMODITYTRS / Short: BDW9DAMG1 TRS USD P F  1.00000 BDW9DAMJ5 COMMODITYTRS
        000000000
        
          
        
        14637191.03000000
        OU
        Notional Amount
        USD
        193575.39000000
        0.007949140833
        N/A
        DCO
        
        US
        N
        
        2
        
          
            
              Macquarie Bank Ltd.
              4ZHCHI4KYZG2WVRT8631
            
            
              
                Macquarie Commodity Product 708E
                MQCP708E INDEX
              
            
            Y
            equity-performance leg
            equity-performance leg
            2022-04-14
            0.00000000
            USD
            0.00000000
            USD
            14637191.03000000
            USD
            193575.39000000
          
        
        
          N
          N
          N
        
      
      
        DELTA AIR LINES/SKYMILES
        N/A
        Delta Air Lines Inc / SkyMiles IP Ltd
        830867AA5
        
          
        
        520000.00000000
        PA
        USD
        523020.95000000
        0.021477767347
        Long
        DBT
        CORP
        XX
        
        N
        
        2
        
          2025-10-20
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BX Trust
        N/A
        BX Trust 2021-ARIA
        05608RAJ4
        
          
        
        1725000.00000000
        PA
        USD
        1686015.69000000
        0.069235950746
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2036-10-15
          Floating
          2.29200000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        PACIFIC GAS & ELECTRIC
        1HNPXZSMMB7HMBMVBS46
        Pacific Gas and Electric Co
        694308JY4
        
          
        
        1620000.00000000
        PA
        USD
        1579083.43000000
        0.064844795474
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2023-11-15
          Fixed
          1.70000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BNP Paribas SA
        R0MUWSFPU8MPRO8K5P83
        Long: BDW9D6R67 TRS USD R F  1.00000 BDW9D6R75 COMMODITYTRS / Short: BDW9D6R67 TRS USD P F   .12000 BDW9D6R83 COMMODITYTRS
        000000000
        
          
        
        127215057.89000000
        OU
        Notional Amount
        USD
        -1994000.62000000
        -0.08188330009
        N/A
        DCO
        
        US
        N
        
        2
        
          
            
              BNP Paribas SA
              R0MUWSFPU8MPRO8K5P83
            
            
              
                Bloomberg Commodity Index
                BCOM INDEX
              
            
            Y
            equity-performance leg
            
            2022-04-14
            0.00000000
            USD
            0.00000000
            USD
            127215057.89000000
            USD
            -1994000.62000000
          
        
        
          N
          N
          N
        
      
      
        AMERICAN ELECTRIC POWER
        1B4S6S7G0TW5EE83BO58
        American Electric Power Co Inc
        025537AQ4
        
          
        
        2255000.00000000
        PA
        USD
        2184783.72000000
        0.089717776012
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2023-11-01
          Fixed
          0.75000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Goldman Sachs & Co. LLC
        FOR8UP27PHTHYVLBNG30
        Long: BDW9D6NL8 TRS USD R F  1.00000 BDW9D6NM6 COMMODITYTRS / Short: BDW9D6NL8 TRS USD P F   .35000 BDW9D6NN4 COMMODITYTRS
        000000000
        
          
        
        7000000.00000000
        OU
        Notional Amount
        USD
        114492.42000000
        0.004701611971
        N/A
        DCO
        
        US
        N
        
        2
        
          
            
              Goldman Sachs & Co. LLC
              FOR8UP27PHTHYVLBNG30
            
            
              
                Macquarie Commodity Product 708E
                MQCP708E INDEX
              
            
            Y
            equity-performance leg
            
            2022-04-14
            0.00000000
            USD
            0.00000000
            USD
            7000000.00000000
            USD
            114492.42000000
          
        
        
          N
          N
          N
        
      
      
        United States Treasury
        254900HROIFWPRGM1V77
        United States Treasury Note/Bond
        912828M49
        
          
        
        50000000.00000000
        PA
        USD
        50191406.00000000
        2.061101645925
        Long
        DBT
        UST
        US
        N
        
        2
        
          2022-10-31
          Fixed
          1.87500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        DXC TECHNOLOGY CO
        549300DOVZ3EDJB7O259
        DXC Technology Co
        23355LAL0
        
          
        
        4520000.00000000
        PA
        USD
        4143300.13000000
        0.170143922995
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2026-09-15
          Fixed
          1.80000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Credit Suisse Securities Ltd.
        DL6FFRRLF74S01HE2M14
        Long: BDW9DAM63 TRS USD R F  1.00000 BDW9DAM71 COMMODITYTRS / Short: BDW9DAM63 TRS USD P F   .11000 BDW9DAM89 COMMODITYTRS
        000000000
        
          
        
        124535723.09000000
        OU
        Notional Amount
        USD
        685333.78000000
        0.028143116412
        N/A
        DCO
        
        US
        N
        
        2
        
          
            
              Credit Suisse Securities Ltd.
              DL6FFRRLF74S01HE2M14
            
            
              
                Bloomberg Commodity Index
                BCOM INDEX
              
            
            Y
            equity-performance leg
            
            2022-04-14
            0.00000000
            USD
            0.00000000
            USD
            124535723.09000000
            USD
            685333.78000000
          
        
        
          N
          N
          N
        
      
      
        Macquarie Bank Ltd.
        4ZHCHI4KYZG2WVRT8631
        Long: BDW9DAML0 TRS USD R F  1.00000 BDW9DAMM8 COMMODITYTRS / Short: BDW9DAML0 TRS USD P F   .10000 BDW9DAMN6 COMMODITYTRS
        000000000
        
          
        
        10000000.00000000
        OU
        Notional Amount
        USD
        551268.40000000
        0.022637744130
        N/A
        DCO
        
        US
        N
        
        2
        
          
            
              Macquarie Bank Ltd.
              4ZHCHI4KYZG2WVRT8631
            
            
              
                Macquarie Vol Product 3GC1
                VMAC3GC1 INDEX
              
            
            Y
            equity-performance leg
            
            2022-04-14
            0.00000000
            USD
            0.00000000
            USD
            10000000.00000000
            USD
            551268.40000000
          
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase Bank, NA - CACLN
        N/A
        JPMorgan Chase Bank NA - CACLN
        48128U2Q1
        
          
        
        645218.49000000
        PA
        USD
        633249.30000000
        0.026004276001
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2028-12-26
          Fixed
          2.28000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        COMM Mortgage Trust
        N/A
        COMM 2013-LC6 Mortgage Trust
        20048EBA8
        
          
        
        2500000.00000000
        PA
        USD
        2504773.50000000
        0.102858102511
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2046-01-10
          Fixed
          3.28200000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Goldman Sachs & Co. LLC
        FOR8UP27PHTHYVLBNG30
        Long: BDW9D6M47 TRS USD R F  1.00000 BDW9D6M54 COMMODITYTRS / Short: BDW9D6M47 TRS USD P F   .16000 BDW9D6M62 COMMODITYTRS
        000000000
        
          
        
        29775528.25000000
        OU
        Notional Amount
        USD
        -135944.34000000
        -0.00558253145
        N/A
        DCO
        
        US
        N
        
        2
        
          
            
              Goldman Sachs & Co. LLC
              FOR8UP27PHTHYVLBNG30
            
            
              
                Bloomberg Commodity Index 6 Month Forward
                BCOMF6 INDEX
              
            
            Y
            equity-performance leg
            
            2022-04-14
            0.00000000
            USD
            0.00000000
            USD
            29775528.25000000
            USD
            -135944.34000000
          
        
        
          N
          N
          N
        
      
      
        Venture CDO Ltd
        5493001R7OPCYBM5NH78
        Venture XXX CLO Ltd
        92331NAC0
        
          
        
        10000000.00000000
        PA
        USD
        9900640.00000000
        0.406568116456
        Long
        ABS-CBDO
        CORP
        KY
        N
        
        2
        
          2031-01-15
          Floating
          1.59100000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        DUKE ENERGY CORP
        I1BZKREC126H0VB1BL91
        Duke Energy Corp
        26441CBK0
        
          
        
        4720000.00000000
        PA
        USD
        4705850.15000000
        0.193244944954
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2023-06-10
          Floating
          0.50100000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MICROCHIP TECHNOLOGY INC
        5493007PTFULNYZJ1R12
        Microchip Technology Inc
        595017AX2
        
          
        
        1570000.00000000
        PA
        USD
        1486429.87000000
        0.061039992615
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2024-09-01
          Fixed
          0.98300000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MERITOR INC
        5LTG829X630QFHTFBO82
        Meritor Inc
        59001KAG5
        
          
        
        310000.00000000
        PA
        USD
        320075.00000000
        0.013143826043
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2025-06-01
          Fixed
          6.25000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MICROCHIP TECHNOLOGY INC
        5493007PTFULNYZJ1R12
        Microchip Technology Inc
        595017BB9
        
          
        
        4000000.00000000
        PA
        USD
        3833601.48000000
        0.157426200020
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2024-02-15
          Fixed
          0.97200000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Mercury Financial Credit Card Master Trust
        N/A
        Mercury Financial Credit Card Master Trust
        58940BAA4
        
          
        
        3500000.00000000
        PA
        USD
        3396318.10000000
        0.139469231565
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2026-03-20
          Fixed
          1.54000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Oztel Holdings SPC Ltd
        549300RABIG0RH4JYT64
        Oztel Holdings SPC Ltd
        692733AA6
        
          
        
        3161000.00000000
        PA
        USD
        3199924.55000000
        0.131404363464
        Long
        DBT
        CORP
        AE
        
        N
        
        2
        
          2023-10-24
          Fixed
          5.62500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        HPEFS Equipment Trust
        N/A
        HPEFS Equipment Trust
        40438PAE2
        
          
        
        1890000.00000000
        PA
        USD
        1880998.50000000
        0.077242887045
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2030-07-22
          Fixed
          2.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Hilton Grand Vacations Trust
        N/A
        Hilton Grand Vacations Trust 2019-A
        43284HAA7
        
          
        
        432123.93000000
        PA
        USD
        422362.99000000
        0.017344265149
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2033-07-25
          Fixed
          2.34000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        PRIME SECSRVC BRW/FINANC
        N/A
        Prime Security Services Borrower LLC / Prime Finance Inc
        74166MAB2
        
          
        
        2065000.00000000
        PA
        USD
        2114229.60000000
        0.086820482941
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2024-04-15
          Fixed
          5.25000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        KKR Industrial Portfolio Trust
        N/A
        KKR Industrial Portfolio Trust 2021-KDIP
        48254CAQ8
        
          
        
        468749.97000000
        PA
        USD
        456409.89000000
        0.018742395371
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2037-12-15
          Floating
          1.94700000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Verus Securitization Trust
        N/A
        Verus Securitization Trust 2021-R3
        92538EAB3
        
          
        
        645088.02000000
        PA
        USD
        622412.27000000
        0.025559255186
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2064-04-25
          Variable
          1.27700000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        SUNNOVA ENERGY CORP
        549300TH3GCD8YQUDR46
        Sunnova Energy Corp
        86745GAF0
        
          
        
        1180000.00000000
        PA
        USD
        1129118.40000000
        0.046367057194
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2026-09-01
          Fixed
          5.87500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Genesis Sales Finance Master Trust
        N/A
        Genesis Sales Finance Master Trust
        37186XAK1
        
          
        
        1750000.00000000
        PA
        USD
        1674554.18000000
        0.068765285766
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2026-12-21
          Fixed
          1.20000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        LLOYDS BANKING GROUP PLC
        549300PPXHEU2JF0AM85
        Lloyds Banking Group PLC
        53944YAM5
        
          
        
        3500000.00000000
        PA
        USD
        3491271.21000000
        0.143368465057
        Long
        DBT
        CORP
        GB
        N
        
        2
        
          2023-06-15
          Fixed
          1.32600000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Credit Suisse Mortgage Trust
        N/A
        CSMC 2020-FACT
        126395AG7
        
          
        
        2756000.00000000
        PA
        USD
        2747354.98000000
        0.112819670188
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2037-10-15
          Floating
          2.39700000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        AERCAP IRELAND CAP/GLOBA
        N/A
        AerCap Ireland Capital DAC / AerCap Global Aviation Trust
        00774MAK1
        
          
        
        2350000.00000000
        PA
        USD
        2381746.76000000
        0.097806030124
        Long
        DBT
        CORP
        IE
        N
        
        2
        
          2024-01-16
          Fixed
          4.87500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        PARK AEROSPACE HOLDINGS
        635400CPI3EOIFF6OC33
        Park Aerospace Holdings Ltd
        70014LAC4
        
          
        
        2450000.00000000
        PA
        USD
        2467416.41000000
        0.101324039893
        Long
        DBT
        CORP
        KY
        
        N
        
        2
        
          2023-03-15
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Genesis Sales Finance Master Trust
        N/A
        Genesis Sales Finance Master Trust
        37186XAE5
        
          
        
        500000.00000000
        PA
        USD
        494556.30000000
        0.020308871282
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2025-09-22
          Fixed
          1.65000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Ellington Financial Mortgage Trust
        N/A
        Ellington Financial Mortgage Trust 2021-3
        31573JAB6
        
          
        
        2886686.37000000
        PA
        USD
        2635624.04000000
        0.108231457928
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2066-09-25
          Variable
          1.39600000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        AT&T INC
        549300Z40J86GGSTL398
        AT&T Inc
        00206RMJ8
        
          
        
        6000000.00000000
        PA
        USD
        5808126.96000000
        0.238509756769
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2024-03-25
          Fixed
          0.90000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        7-ELEVEN INC
        549300K23JPL0SS3LB18
        7-Eleven Inc
        817826AB6
        
          
        
        1934000.00000000
        PA
        USD
        1857871.73000000
        0.076293190125
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2024-02-10
          Fixed
          0.80000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        JDE PEET'S NV
        724500EHG519SE5ZRT89
        JDE Peet's NV
        47216QAA1
        
          
        
        1740000.00000000
        PA
        USD
        1632656.08000000
        0.067044747336
        Long
        DBT
        CORP
        NL
        N
        
        2
        
          2024-09-24
          Fixed
          0.80000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        United States Treasury
        254900HROIFWPRGM1V77
        United States Treasury Inflation Indexed Bonds
        912828X39
        
          
        
        34672500.00000000
        PA
        USD
        34805230.49000000
        1.429270936338
        Long
        DBT
        UST
        US
        N
        
        2
        
          2022-04-15
          Fixed
          0.12500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MGM GROWTH/MGM FINANCE
        N/A
        MGM Growth Properties Operating Partnership LP / MGP Finance Co-Issuer Inc
        55303XAK1
        
          
        
        330000.00000000
        PA
        USD
        332475.00000000
        0.013653029957
        Long
        DBT
        
        US
        N
        
        2
        
          2025-06-15
          Fixed
          4.62500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        ROYAL CARIBBEAN CRUISES
        K2NEH8QNVW44JIWK7Z55
        Royal Caribbean Cruises Ltd
        780153BJ0
        
          
        
        2450000.00000000
        PA
        USD
        2380910.00000000
        0.097771668715
        Long
        DBT
        CORP
        LR
        
        N
        
        2
        
          2026-08-31
          Fixed
          5.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Chicago Board of Trade
        549300EX04Q2QBFQTQ27
        CORN FUTURE OPTN DEC22C 700
        000000000
        
          
        
        1000.00000000
        NC
        USD
        3387500.00000000
        0.139107117771
        N/A
        DCO
        
        US
        N
        
        1
        
          
            
              Chicago Board of Trade
              549300EX04Q2QBFQTQ27
            
            Call
            Purchased
            
              
                
                  
                    Chicago Board of Trade
                    549300EX04Q2QBFQTQ27
                  
                  
                    Chicago Board of Trade
                    549300EX04Q2QBFQTQ27
                    CBOT Corn Future
                    N/A
                    
                      
                    
                    1000.00000000
                    NC
                    N/A
                    3387500.00000000
                    0.14000000
                    DCO
                    
                    US
                  
                  Long
                  
                    
                      CBOT Corn
                      ZCZ2 Comdty
                    
                  
                  2022-12-14
                  1000.00000000
                  USD
                
              
            
            5000.00000000
            700.00000000
            USD
            2022-11-25
            XXXX
            734305.00000000
          
        
        
          N
          N
          N
        
      
      
        BANCOLOMBIA SA
        54930052NWJRPNMP1W58
        Bancolombia SA
        05968LAM4
        
          
        
        3104000.00000000
        PA
        USD
        3019260.80000000
        0.123985436956
        Long
        DBT
        CORP
        CO
        N
        
        2
        
          2025-01-29
          Fixed
          3.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Royal Bank of Canada
        ES7IP3U3RHIGC71XBU11
        Long: BDW9D6QP6 TRS USD R F  1.00000 BDW9D6QQ4 COMMODITYTRS / Short: BDW9D6QP6 TRS USD P F   .20000 BDW9D6QR2 COMMODITYTRS
        000000000
        
          
        
        66678414.04000000
        OU
        Notional Amount
        USD
        -621962.91000000
        -0.02554080229
        N/A
        DCO
        
        CA
        N
        
        2
        
          
            
              Royal Bank of Canada
              ES7IP3U3RHIGC71XBU11
            
            
              
                RBC Commodity Index - Dynamic Commodity 01
                RBCADC01US INDEX
              
            
            Y
            equity-performance leg
            
            2022-04-14
            0.00000000
            USD
            0.00000000
            USD
            66678414.04000000
            USD
            -621962.91000000
          
        
        
          N
          N
          N
        
      
      
        Verus Securitization Trust
        N/A
        Verus Securitization Trust 2020-4
        92538LAB7
        
          
        
        1289184.52000000
        PA
        USD
        1260743.82000000
        0.051772232929
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2065-05-25
          Variable
          1.91200000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MARKWEST ENERGY PART/FIN
        N/A
        MarkWest Energy Partners LP / MarkWest Energy Finance Corp
        570506AT2
        
          
        
        3500000.00000000
        PA
        USD
        3555742.72000000
        0.146015976772
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2025-06-01
          Fixed
          4.87500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase Bank N.A.
        7H6GLXDRUGQFU57RNE97
        Long: BDW9D6S09 TRS USD R F  1.00000 BDW9D6S17 COMMODITYTRS / Short: BDW9D6S09 TRS USD P F   .11000 BDW9D6S25 COMMODITYTRS
        000000000
        
          
        
        78159815.97000000
        OU
        Notional Amount
        USD
        -619391.53000000
        -0.02543520900
        N/A
        DCO
        
        US
        N
        
        2
        
          
            
              JPMorgan Chase Bank N.A.
              7H6GLXDRUGQFU57RNE97
            
            
              
                Bloomberg Commodity Index 3 Month Forward
                BCOMF3 INDEX
              
            
            Y
            equity-performance leg
            
            2022-04-14
            0.00000000
            USD
            0.00000000
            USD
            78159815.97000000
            USD
            -619391.53000000
          
        
        
          N
          N
          N
        
      
      
        VOLKSWAGEN GROUP AMERICA
        5493002SQ1AVQBY41K40
        Volkswagen Group of America Finance LLC
        928668BG6
        
          
        
        5000000.00000000
        PA
        USD
        4956749.55000000
        0.203548086617
        Long
        DBT
        CORP
        US
        
        N
        
        2
        
          2022-11-23
          Fixed
          0.75000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        COLT Funding LLC
        N/A
        COLT 2021-2R Mortgage Loan Trust
        12656YAA5
        
          
        
        340800.06000000
        PA
        USD
        339001.52000000
        0.013921040403
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2054-07-27
          Fixed
          0.79800000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Transnet SOC Ltd
        378900B07CD6F01EA796
        Transnet SOC Ltd
        89378TAC7
        
          
        
        2000000.00000000
        PA
        USD
        1967800.00000000
        0.080807376044
        Long
        DBT
        CORP
        ZA
        N
        
        2
        
          2022-07-26
          Fixed
          4.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        ONGC Videsh Ltd
        335800WPRPCRI524XG72
        ONGC Videsh Ltd
        000000000
        
          
        
        2000000.00000000
        PA
        USD
        2010294.78000000
        0.082552417038
        Long
        DBT
        CORP
        IN
        N
        
        2
        
          2023-05-07
          Fixed
          3.75000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY
        IGJSJL3JD5P30I6NJZ34
        Morgan Stanley
        61772BAA1
        
          
        
        5000000.00000000
        PA
        USD
        4896936.95000000
        0.201091892258
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2024-04-05
          Fixed
          0.73100000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        UBS AG
        BFM8T61CT2L1QCEMIK50
        Long: BDW9G6VC6 TRS USD R F   .02000 BDW9G6VE2 COMMODITYTRS / Short: BDW9G6VC6 TRS USD P F  1.00000 BDW9G6VD4 COMMODITYTRS
        000000000
        
          
        
        37500000.00000000
        OU
        Notional Amount
        USD
        -29869.12000000
        -0.00122657038
        N/A
        DCO
        
        US
        N
        
        2
        
          
            
              UBS AG
              BFM8T61CT2L1QCEMIK50
            
            
              
                BBG Silver Index
                BCOMSI Index
              
            
            Y
            
            equity-performance leg
            2022-04-14
            0.00000000
            USD
            0.00000000
            USD
            37500000.00000000
            USD
            -29869.12000000
          
        
        
          N
          N
          N
        
      
      
        STATE GRID OVERSEAS INV
        3003006V8BHG5158QO96
        State Grid Overseas Investment BVI Ltd
        857006AE0
        
          
        
        1500000.00000000
        PA
        USD
        1500315.00000000
        0.061610183143
        Long
        DBT
        CORP
        VG
        
        N
        
        2
        
          2022-05-04
          Fixed
          2.75000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        HYUNDAI CAPITAL AMERICA
        549300RIPPWJB5Z0FK07
        Hyundai Capital America
        44891ABE6
        
          
        
        2090000.00000000
        PA
        USD
        2083181.65000000
        0.085545504096
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2023-02-10
          Fixed
          2.37500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        ENERGY TRANSFER LP
        MTLVN9N7JE8MIBIJ1H73
        Energy Transfer LP
        29278NAL7
        
          
        
        1170000.00000000
        PA
        USD
        1182743.43000000
        0.048569160032
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2023-03-15
          Fixed
          4.25000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        New York Mercantile Exchange
        5493008GFNDTXFPHWI47
        NATURAL GAS FUTR MAY22
        000000000
        
          
        
        -603.00000000
        NC
        USD
        -3433914.95000000
        -0.14101313988
        N/A
        DCO
        
        US
        N
        
        1
        
          
            
              New York Mercantile Exchange
              5493008GFNDTXFPHWI47
            
            Short
            
              
                NYMEX Henry Hub Natural Gas Futures
                NGK22 Comdty
              
            
            2022-04-27
            -30587345.05000000
            USD
            -3433914.95000000
          
        
        
          N
          N
          N
        
      
      
        Morgan Stanley & Co. LLC
        9R7GPTSO7KV3UQJZQ078
        Long: BDW9D6P69 TRS USD R F  1.00000 BDW9D6P77 COMMODITYTRS / Short: BDW9D6P69 TRS USD P F   .24000 BDW9D6P85 COMMODITYTRS
        000000000
        
          
        
        5000000.00000000
        OU
        Notional Amount
        USD
        34352.05000000
        0.001410661155
        N/A
        DCO
        
        US
        N
        
        2
        
          
            
              Morgan Stanley & Co. LLC
              9R7GPTSO7KV3UQJZQ078
            
            
              
                MSCBDF11
                MSCBDF11 INDEX
              
            
            Y
            equity-performance leg
            
            2022-04-14
            0.00000000
            USD
            0.00000000
            USD
            5000000.00000000
            USD
            34352.05000000
          
        
        
          N
          N
          N
        
      
      
        CPS Auto Trust
        N/A
        CPS Auto Receivables Trust 2022-A
        12659WAE8
        
          
        
        1668000.00000000
        PA
        USD
        1604561.12000000
        0.065891032528
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2029-04-16
          Fixed
          2.17000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Chase Auto Credit Linked Notes
        N/A
        JPMorgan Chase Bank NA - CACLN
        46591HCF5
        
          
        
        454473.88000000
        PA
        USD
        440790.85000000
        0.018101002120
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2029-02-26
          Fixed
          1.00900000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Mercury Financial Credit Card Master Trust
        N/A
        Mercury Financial Credit Card Master Trust
        58940BAE6
        
          
        
        2500000.00000000
        PA
        USD
        2412171.75000000
        0.099055427221
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2026-09-21
          Fixed
          2.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CHARTER COMM OPT LLC/CAP
        N/A
        Charter Communications Operating LLC / Charter Communications Operating Capital
        161175AY0
        
          
        
        3000000.00000000
        PA
        USD
        3111033.39000000
        0.127754062929
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2025-07-23
          Fixed
          4.90800000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        APTIV PLC / APTIV CORP
        N/A
        Aptiv PLC / Aptiv Corp
        00217GAA1
        
          
        
        2780000.00000000
        PA
        USD
        2708051.82000000
        0.111205692533
        Long
        DBT
        CORP
        JE
        
        N
        
        2
        
          2025-02-18
          Fixed
          2.39600000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase Bank, NA - CACLN
        N/A
        JPMorgan Chase Bank NA - CACLN
        46591HBS8
        
          
        
        787719.35000000
        PA
        USD
        773535.91000000
        0.031765122046
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2028-09-25
          Fixed
          1.02400000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        COLT Funding LLC
        N/A
        COLT 2021-1 Mortgage Loan Trust
        19688EAB4
        
          
        
        778680.68000000
        PA
        USD
        714634.19000000
        0.029346332821
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2066-06-25
          Variable
          1.16700000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        NRZ Excess Spread Collateralized Notes
        N/A
        NRZ Excess Spread-Collateralized Notes Series 2020-PLS1
        433674AA6
        
          
        
        651363.96000000
        PA
        USD
        633990.85000000
        0.026034727627
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2025-12-25
          Fixed
          3.84400000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        KIA CORP
        988400V8MJK9N7OI5X76
        Kia Corp
        49374JAB9
        
          
        
        1130000.00000000
        PA
        USD
        1079239.52000000
        0.044318789376
        Long
        DBT
        CORP
        KR
        N
        
        2
        
          2024-04-16
          Fixed
          1.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        QORVO INC
        254900YAUJV2EUEVBR11
        Qorvo Inc
        74739DAA2
        
          
        
        2500000.00000000
        PA
        USD
        2384675.00000000
        0.097926277807
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2024-12-15
          Fixed
          1.75000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Barclays Bank PLC
        G5GSEF7VJP5I7OUK5573
        Long: BDW9D6LR7 TRS USD R F  1.00000 BDW9D6LS5 COMMODITYTRS / Short: BDW9D6LR7 TRS USD P F   .11000 BDW9D6LT3 COMMODITYTRS
        000000000
        
          
        
        127215057.89000000
        OU
        Notional Amount
        USD
        -1994000.62000000
        -0.08188330009
        N/A
        DCO
        
        US
        N
        
        2
        
          
            
              Barclays Bank PLC
              G5GSEF7VJP5I7OUK5573
            
            
              
                Bloomberg Commodity Index
                BCOM INDEX
              
            
            Y
            equity-performance leg
            
            2022-04-14
            0.00000000
            USD
            0.00000000
            USD
            127215057.89000000
            USD
            -1994000.62000000
          
        
        
          N
          N
          N
        
      
      
        MVW Owner Trust
        N/A
        MVW 2019-2 LLC
        55400DAB7
        
          
        
        706135.61000000
        PA
        USD
        683541.88000000
        0.028069532340
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2038-10-20
          Fixed
          2.44000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Imperial Fund LLC
        N/A
        Imperial Fund Mortgage Trust 2021-NQM2
        452761AB5
        
          
        
        1813438.93000000
        PA
        USD
        1675285.89000000
        0.068795333314
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2056-09-25
          Variable
          1.36200000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BOEING CO
        RVHJWBXLJ1RFUBSY1F30
        Boeing Co/The
        097023CZ6
        
          
        
        2000000.00000000
        PA
        USD
        1955394.24000000
        0.080297935596
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2024-02-01
          Fixed
          1.95000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Tesla Auto Lease Trust
        N/A
        Tesla Auto Lease Trust 2020-A
        88167HAF3
        
          
        
        1000000.00000000
        PA
        USD
        992602.10000000
        0.040761038295
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2024-02-20
          Fixed
          1.68000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        COMM Mortgage Trust
        N/A
        COMM 2013-CCRE6 Mortgage Trust
        12624XAM0
        
          
        
        2200000.00000000
        PA
        USD
        2192232.68000000
        0.090023666302
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2046-03-10
          Fixed
          3.14700000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Societe Generale SA
        O2RNE8IBXP4R0TD8PU41
        Long: BDW9D6TA6 TRS USD R F  1.00000 BDW9D6TB4 COMMODITYTRS / Short: BDW9D6TA6 TRS USD P F   .17000 BDW9D6TC2 COMMODITYTRS
        000000000
        
          
        
        36571375.04000000
        OU
        Notional Amount
        USD
        540421.43000000
        0.022192315131
        N/A
        DCO
        
        FR
        N
        
        2
        
          
            
              Societe Generale SA
              O2RNE8IBXP4R0TD8PU41
            
            
              
                Societe Generale Alpha 1 Custom Excess Return
                SGCOA1CE INDEX
              
            
            Y
            equity-performance leg
            
            2022-04-14
            0.00000000
            USD
            0.00000000
            USD
            36571375.04000000
            USD
            540421.43000000
          
        
        
          N
          N
          N
        
      
      
        Royal Bank of Canada
        ES7IP3U3RHIGC71XBU11
        Long: BDW9D6RB6 TRS USD R F  1.00000 BDW9D6RC4 COMMODITYTRS / Short: BDW9D6RB6 TRS USD P F   .20000 BDW9D6RD2 COMMODITYTRS
        000000000
        
          
        
        52852425.42000000
        OU
        Notional Amount
        USD
        -600306.83000000
        -0.02465149901
        N/A
        DCO
        
        CA
        N
        
        2
        
          
            
              Royal Bank of Canada
              ES7IP3U3RHIGC71XBU11
            
            
              
                RBCE21VW
                RBCE21VW Index
              
            
            Y
            equity-performance leg
            
            2022-04-14
            0.00000000
            USD
            0.00000000
            USD
            52852425.42000000
            USD
            -600306.83000000
          
        
        
          N
          N
          N
        
      
      
        BX Trust
        N/A
        BX Commercial Mortgage Trust 2020-VKNG
        12433YAL1
        
          
        
        1579061.58000000
        PA
        USD
        1539412.76000000
        0.063215726082
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2037-10-15
          Floating
          2.09700000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BOC AVIATION LTD
        254900H06V5RMEB3KE72
        BOC Aviation Ltd
        09681LAL4
        
          
        
        1500000.00000000
        PA
        USD
        1476644.96000000
        0.060638176932
        Long
        DBT
        CORP
        SG
        N
        
        2
        
          2025-04-29
          Fixed
          3.25000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Neuberger Berman CLO Ltd
        549300BLCSV170UP8R47
        Neuberger Berman Loan Advisers CLO 29 Ltd
        64130XAJ5
        
          
        
        3000000.00000000
        PA
        USD
        2983380.00000000
        0.122511997938
        Long
        ABS-CBDO
        CORP
        KY
        N
        
        2
        
          2031-10-19
          Floating
          1.64800000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MICROCHIP TECHNOLOGY INC
        5493007PTFULNYZJ1R12
        Microchip Technology Inc
        595017BA1
        
          
        
        170000.00000000
        PA
        USD
        172029.09000000
        0.007064345648
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2025-09-01
          Fixed
          4.25000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        EURASIAN DEVELOPMENT BAN
        253400Q2AQ3F58BLL187
        Eurasian Development Bank
        29843YAB1
        
          
        
        3000000.00000000
        PA
        USD
        2498229.51000000
        0.102589374662
        Long
        DBT
        NUSS
        XX
        N
        
        2
        
          2022-09-20
          Fixed
          4.76700000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        TENCENT MUSIC ENT GRP
        213800XTZK2GOHQTYK41
        Tencent Music Entertainment Group
        88034PAA7
        
          
        
        1000000.00000000
        PA
        USD
        916120.71000000
        0.037620342877
        Long
        DBT
        CORP
        KY
        
        N
        
        2
        
          2025-09-03
          Fixed
          1.37500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        KOREA NATIONAL OIL CORP
        988400ZTQ08W926ONT36
        Korea National Oil Corp
        50065WAG1
        
          
        
        500000.00000000
        PA
        USD
        504299.50000000
        0.020708974151
        Long
        DBT
        NUSS
        KR
        N
        
        2
        
          2024-07-10
          Fixed
          3.25000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        SUMITOMO MITSUI TR BK LT
        5493006GGLR4BTEL8O61
        Sumitomo Mitsui Trust Bank Ltd
        86563VAX7
        
          
        
        2240000.00000000
        PA
        USD
        2230099.20000000
        0.091578648577
        Long
        DBT
        CORP
        JP
        N
        
        2
        
          2024-09-16
          Floating
          0.70300000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        SA GLOBAL SUKUK LTD
        5493007DFAVKU7UOGR47
        SA Global Sukuk Ltd
        78397PAA9
        
          
        
        1220000.00000000
        PA
        USD
        1166808.00000000
        0.047914774279
        Long
        DBT
        CORP
        KY
        
        N
        
        2
        
          2024-06-17
          Fixed
          0.94600000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CORP ANDINA DE FOMENTO
        UKZ46SXGNYCZK0UOZE76
        Corp Andina de Fomento
        219868CC8
        
          
        
        4000000.00000000
        PA
        USD
        4001476.40000000
        0.164319955375
        Long
        DBT
        NUSS
        XX
        N
        
        2
        
          2023-05-12
          Fixed
          2.37500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        ENERGY TRANSFER LP
        MTLVN9N7JE8MIBIJ1H73
        Energy Transfer LP
        29273RAS8
        
          
        
        5920000.00000000
        PA
        USD
        5954112.16000000
        0.244504614455
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2023-02-01
          Fixed
          3.60000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CANADIAN IMPERIAL BANK
        2IGI19DL77OX0HC3ZE78
        Canadian Imperial Bank of Commerce
        13607GRK2
        
          
        
        4800000.00000000
        PA
        USD
        4710313.78000000
        0.193428243169
        Long
        DBT
        CORP
        CA
        N
        
        2
        
          2023-06-23
          Fixed
          0.95000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Goldman Sachs & Co. LLC
        FOR8UP27PHTHYVLBNG30
        Long: BDW9D6MN5 TRS USD R F  1.00000 BDW9D6MP0 COMMODITYTRS / Short: BDW9D6MN5 TRS USD P F   .35000 BDW9D6MQ8 COMMODITYTRS
        000000000
        
          
        
        60611967.69000000
        OU
        Notional Amount
        USD
        -733813.94000000
        -0.03013394602
        N/A
        DCO
        
        US
        N
        
        2
        
          
            
              Goldman Sachs & Co. LLC
              FOR8UP27PHTHYVLBNG30
            
            
              
                Modified Strategy D177 on the Bloomberg Commodity Index/
                ENHG177P INDEX
              
            
            Y
            equity-performance leg
            
            2022-04-14
            0.00000000
            USD
            0.00000000
            USD
            60611967.69000000
            USD
            -733813.94000000
          
        
        
          N
          N
          N
        
      
      
        Citibank N.A.
        E57ODZWZ7FF32TWEFA76
        Long: BDW9DG5X0 TRS USD R F  1.00000 BDW9DG5Y8 COMMODITYTRS / Short: BDW9DG5X0 TRS USD P F   .08700 BDW9DG5Z5 COMMODITYTRS
        000000000
        
          
        
        104852000.00000000
        OU
        Notional Amount
        USD
        514601.03000000
        0.021132004748
        N/A
        DCO
        
        US
        N
        
        2
        
          
            
              Citibank N.A.
              E57ODZWZ7FF32TWEFA76
            
            
              
                Citi Custom CiVICS 7 Excess Return
                CVICSER7 INDEX
              
            
            Y
            equity-performance leg
            
            2022-04-14
            0.00000000
            USD
            0.00000000
            USD
            104852000.00000000
            USD
            514601.03000000
          
        
        
          N
          N
          N
        
      
      
        United States Treasury
        254900HROIFWPRGM1V77
        United States Treasury Note/Bond
        912828ZD5
        
          
        
        40000000.00000000
        PA
        USD
        39562500.00000000
        1.624627408662
        Long
        DBT
        UST
        US
        N
        
        2
        
          2023-03-15
          Fixed
          0.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        United States Treasury
        254900HROIFWPRGM1V77
        United States Treasury Note/Bond
        91282CBN0
        
          
        
        50000000.00000000
        PA
        USD
        49328125.00000000
        2.025651156851
        Long
        DBT
        UST
        US
        N
        
        2
        
          2023-02-28
          Fixed
          0.12500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Babson CLO Ltd
        N/A
        Babson CLO Ltd 2015-I
        056162AQ3
        
          
        
        2000000.00000000
        PA
        USD
        1975842.00000000
        0.081137619422
        Long
        ABS-CBDO
        CORP
        KY
        N
        
        2
        
          2031-01-20
          Floating
          1.65400000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        JBS FINANCE LUXEMBOURG
        N/A
        JBS Finance Luxembourg Sarl
        46592QAB5
        
          
        
        960000.00000000
        PA
        USD
        891609.60000000
        0.036613798268
        Long
        DBT
        CORP
        LU
        
        N
        
        2
        
          2027-01-15
          Fixed
          2.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        DOMINION ENERGY INC
        ILUL7B6Z54MRYCF6H308
        Dominion Energy Inc
        25746UDB2
        
          
        
        3159000.00000000
        PA
        USD
        3152492.05000000
        0.129456555829
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2024-08-15
          Variable
          3.07100000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Banc of America Merrill Lynch Large Loan Inc
        N/A
        BAMLL Commercial Mortgage Securities Trust 2018-DSNY
        054967AG9
        
          
        
        9200000.00000000
        PA
        USD
        9038045.96000000
        0.371145837279
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2034-09-15
          Floating
          1.54700000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Neuberger Berman CLO Ltd
        549300IWMW28G8CR9G28
        Neuberger Berman Loan Advisers CLO 27 Ltd
        64131WAE7
        
          
        
        5250000.00000000
        PA
        USD
        5207312.25000000
        0.213837401752
        Long
        ABS-CBDO
        CORP
        KY
        N
        
        2
        
          2030-01-15
          Floating
          1.64100000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BPCE SA
        9695005MSX1OYEMGDF46
        BPCE SA
        05583JAA0
        
          
        
        1500000.00000000
        PA
        USD
        1502929.61000000
        0.061717551663
        Long
        DBT
        CORP
        FR
        N
        
        2
        
          2022-05-22
          Fixed
          3.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        ISTAR INC
        QFFLKWYYS3UPWD86E794
        iStar Inc
        45031UCG4
        
          
        
        450000.00000000
        PA
        USD
        442687.50000000
        0.018178887733
        Long
        DBT
        
        US
        N
        
        2
        
          2025-08-01
          Fixed
          4.25000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase Bank N.A.
        7H6GLXDRUGQFU57RNE97
        Long: BDW9D6SD1 TRS USD R F  1.00000 BDW9D6SE9 COMMODITYTRS / Short: BDW9D6SD1 TRS USD P F   .10000 BDW9D6SF6 COMMODITYTRS
        000000000
        
          
        
        99996949.11000000
        OU
        Notional Amount
        USD
        -13474.59000000
        -0.00055333177
        N/A
        DCO
        
        US
        N
        
        2
        
          
            
              JPMorgan Chase Bank N.A.
              7H6GLXDRUGQFU57RNE97
            
            
              
                JPDRXDA1
                JPDRXDA1 Index
              
            
            Y
            equity-performance leg
            
            2022-04-14
            0.00000000
            USD
            0.00000000
            USD
            99996949.11000000
            USD
            -13474.59000000
          
        
        
          N
          N
          N
        
      
      
        United States Treasury
        254900HROIFWPRGM1V77
        United States Treasury Bill
        912796S67
        
          
        
        50000000.00000000
        PA
        USD
        49861516.00000000
        2.047554768557
        Long
        STIV
        UST
        US
        N
        
        2
        
          2022-08-04
          None
          0.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Macquarie Bank Ltd.
        4ZHCHI4KYZG2WVRT8631
        Long: BDW9DAM06 TRS USD R F  1.00000 BDW9DAM14 COMMODITYTRS / Short: BDW9DAM06 TRS USD P F   .10000 BDW9DAM22 COMMODITYTRS
        000000000
        
          
        
        10000000.00000000
        OU
        Notional Amount
        USD
        -746251.40000000
        -0.03064468823
        N/A
        DCO
        
        US
        N
        
        2
        
          
            
              Macquarie Bank Ltd.
              4ZHCHI4KYZG2WVRT8631
            
            
              
                Macquarie Vol Product 2CL2
                VMAC2CL2 INDEX
              
            
            Y
            equity-performance leg
            
            2022-04-14
            0.00000000
            USD
            0.00000000
            USD
            10000000.00000000
            USD
            -746251.40000000
          
        
        
          N
          N
          N
        
      
      
        Ares Capital Corp
        WEQ82666OJYSI5GUAB47
        Ares Capital Corp
        04010LAU7
        
          
        
        8000000.00000000
        PA
        USD
        8042647.60000000
        0.330269971037
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2023-02-10
          Fixed
          3.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Citibank N.A.
        E57ODZWZ7FF32TWEFA76
        Long: BDW9DCWC5 TRS USD R F  1.00000 BDW9DCWD3 COMMODITYTRS / Short: BDW9DCWC5 TRS USD P F   .35000 BDW9DCWE1 COMMODITYTRS
        000000000
        
          
        
        31152810.47000000
        OU
        Notional Amount
        USD
        138610.07000000
        0.005691999212
        N/A
        DCO
        
        US
        N
        
        2
        
          
            
              Citibank N.A.
              E57ODZWZ7FF32TWEFA76
            
            
              
                Citi Commodities Risk Adjusted Carry Index
                CICXRACI Index
              
            
            Y
            equity-performance leg
            
            2022-04-14
            0.00000000
            USD
            0.00000000
            USD
            31152810.47000000
            USD
            138610.07000000
          
        
        
          N
          N
          N
        
      
      
        SAUDI INTERNATIONAL BOND
        635400FMICXSM3SI3H65
        Saudi Government International Bond
        80413TAG4
        
          
        
        2000000.00000000
        PA
        USD
        2075000.00000000
        0.085209526015
        Long
        DBT
        NUSS
        SA
        N
        
        2
        
          2025-04-17
          Fixed
          4.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MVW Owner Trust
        N/A
        MVW Owner Trust 2019-1
        55389PAA7
        
          
        
        904490.47000000
        PA
        USD
        892933.89000000
        0.036668180014
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2036-11-20
          Fixed
          2.89000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        KIA CORP
        988400V8MJK9N7OI5X76
        Kia Corp
        493738AE8
        
          
        
        4000000.00000000
        PA
        USD
        4012041.40000000
        0.164753805323
        Long
        DBT
        CORP
        KR
        N
        
        2
        
          2023-04-25
          Fixed
          3.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        United States Treasury
        254900HROIFWPRGM1V77
        United States Treasury Note/Bond
        9128282W9
        
          
        
        50000000.00000000
        PA
        USD
        50201172.00000000
        2.061502685072
        Long
        DBT
        UST
        US
        N
        
        2
        
          2022-09-30
          Fixed
          1.87500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Barclays Bank PLC
        G5GSEF7VJP5I7OUK5573
        Long: BDW9D6M05 TRS USD R F  1.00000 BDW9D6M13 COMMODITYTRS / Short: BDW9D6M05 TRS USD P F   .00000 BDW9D6M21 COMMODITYTRS
        000000000
        
          
        
        19645115.55000000
        OU
        Notional Amount
        USD
        289842.46000000
        0.011902331872
        N/A
        DCO
        
        US
        N
        
        2
        
          
            
              Barclays Bank PLC
              G5GSEF7VJP5I7OUK5573
            
            
              
                Barclays Commodity Strategy 1750 Index
                BXCS1750 Index
              
            
            Y
            equity-performance leg
            equity-performance leg
            2022-04-14
            0.00000000
            USD
            0.00000000
            USD
            19645115.55000000
            USD
            289842.46000000
          
        
        
          N
          N
          N
        
      
      
        Progress Residential Trust
        N/A
        Progress Residential 2020-SFR2 Trust
        74333LAJ5
        
          
        
        500000.00000000
        PA
        USD
        499091.30000000
        0.020495100294
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2037-06-17
          Fixed
          5.11500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        IMT Trust
        N/A
        IMT Trust 2017-APTS
        44974AAG2
        
          
        
        5632899.09000000
        PA
        USD
        5579261.50000000
        0.229111435146
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2034-06-15
          Floating
          1.34700000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        New York Mercantile Exchange
        5493008GFNDTXFPHWI47
        NATURAL GAS FUTR MAY23
        000000000
        
          
        
        250.00000000
        NC
        USD
        1434457.50000000
        0.058905755982
        N/A
        DCO
        
        US
        N
        
        1
        
          
            
              New York Mercantile Exchange
              5493008GFNDTXFPHWI47
            
            Long
            
              
                NYMEX Henry Hub Natural Gas Futures
                NGK23 COMDTY
              
            
            2023-04-26
            8325542.50000000
            USD
            1434457.50000000
          
        
        
          N
          N
          N
        
      
      
        Natixis Commercial Mortgage Securities
        N/A
        Natixis Commercial Mortgage Securities Trust 2018-285M
        63874FAG2
        
          
        
        2000000.00000000
        PA
        USD
        1992053.00000000
        0.081803321410
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2032-11-15
          Variable
          3.79000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Synchrony Financial
        549300RS7EWPM9MA6C78
        Synchrony Financial
        87165BAD5
        
          
        
        1000000.00000000
        PA
        USD
        1013951.50000000
        0.041637747815
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2024-08-15
          Fixed
          4.25000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase Bank N.A.
        7H6GLXDRUGQFU57RNE97
        Long: BDW9D6S74 TRS USD R F  1.00000 BDW9D6S82 COMMODITYTRS / Short: BDW9D6S74 TRS USD P F   .10000 BDW9D6S90 COMMODITYTRS
        000000000
        
          
        
        99964017.24000000
        OU
        Notional Amount
        USD
        -34573.56000000
        -0.00141975742
        N/A
        DCO
        
        US
        N
        
        2
        
          
            
              JPMorgan Chase Bank N.A.
              7H6GLXDRUGQFU57RNE97
            
            
              
                JPDRXBA1
                JPDRXBA1 Index
              
            
            Y
            equity-performance leg
            
            2022-04-14
            0.00000000
            USD
            0.00000000
            USD
            99964017.24000000
            USD
            -34573.56000000
          
        
        
          N
          N
          N
        
      
      
        HSBC Holdings PLC
        MLU0ZO3ML4LN2LL2TL39
        HSBC Holdings PLC
        404280BA6
        
          
        
        5000000.00000000
        PA
        USD
        5055520.20000000
        0.207604086747
        Long
        DBT
        CORP
        GB
        N
        
        2
        
          2023-05-25
          Fixed
          3.60000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Citibank N.A.
        E57ODZWZ7FF32TWEFA76
        Long: BDW9DCU86 TRS USD R F  1.00000 BDW9DCU94 COMMODITYTRS / Short: BDW9DCU86 TRS USD P F   .09000 BDW9DCUA1 COMMODITYTRS
        000000000
        
          
        
        269146815.84000000
        OU
        Notional Amount
        USD
        1330309.28000000
        0.054628926844
        N/A
        DCO
        
        US
        N
        
        2
        
          
            
              Citibank N.A.
              E57ODZWZ7FF32TWEFA76
            
            
              
                Bloomberg Commodity Index
                BCOM INDEX
              
            
            Y
            equity-performance leg
            
            2022-04-14
            0.00000000
            USD
            0.00000000
            USD
            269146815.84000000
            USD
            1330309.28000000
          
        
        
          N
          N
          N
        
      
      
        UBS AG
        BFM8T61CT2L1QCEMIK50
        Long: BDW9G6VP7 TRS USD R F  1.00000 BDW9G6VQ5 COMMODITYTRS / Short: BDW9G6VP7 TRS USD P F   .12000 BDW9G6VR3 COMMODITYTRS
        000000000
        
          
        
        12500000.00000000
        OU
        Notional Amount
        USD
        1313.88000000
        0.000053954261
        N/A
        DCO
        
        US
        N
        
        2
        
          
            
              UBS AG
              BFM8T61CT2L1QCEMIK50
            
            
              
                Bloomberg Copper Index
                BCOMHG INDEX
              
            
            Y
            equity-performance leg
            
            2022-04-14
            0.00000000
            USD
            0.00000000
            USD
            12500000.00000000
            USD
            1313.88000000
          
        
        
          N
          N
          N
        
      
      
        FHLMC Multifamily Structured Pass Through Certs.
        S6XOOCT0IEG5ABCC6L87
        Freddie Mac Multifamily Structured Pass Through Certificates
        3137BQC21
        
          
        
        11376611.30000000
        PA
        USD
        91875.24000000
        0.003772841278
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2023-03-25
          Variable
          1.32000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MFRA Trust
        N/A
        MFA 2021-INV1 Trust
        552747AC1
        
          
        
        421735.67000000
        PA
        USD
        408080.46000000
        0.016757755456
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2056-01-25
          Variable
          1.26200000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BPR Trust
        N/A
        BPR Trust 2021-KEN
        05591QAJ5
        
          
        
        1431100.00000000
        PA
        USD
        1422781.87000000
        0.058426298200
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2029-02-15
          Floating
          2.94700000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Evergreen Credit Card Trust
        5493002G9KVV6J3CNU15
        Evergreen Credit Card Trust
        30023JBK3
        
          
        
        1000000.00000000
        PA
        USD
        1003285.00000000
        0.041199729787
        Long
        ABS-O
        CORP
        CA
        N
        
        2
        
          2024-09-15
          Fixed
          2.62000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        United States Treasury
        254900HROIFWPRGM1V77
        United States Treasury Bill
        912796H44
        
          
        
        30640000.00000000
        PA
        USD
        30629820.78000000
        1.257808438840
        Long
        STIV
        UST
        US
        N
        
        2
        
          2022-05-19
          None
          0.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        ANTERO MIDSTREAM PART/FI
        N/A
        Antero Midstream Partners LP / Antero Midstream Finance Corp
        03690EAA6
        
          
        
        2000000.00000000
        PA
        USD
        2164240.00000000
        0.088874151606
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2026-05-15
          Fixed
          7.87500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MACQUARIE GROUP LTD
        ACMHD8HWFMFUIQQ8Y590
        Macquarie Group Ltd
        55607PAE5
        
          
        
        6000000.00000000
        PA
        USD
        5910795.18000000
        0.242725809956
        Long
        DBT
        CORP
        AU
        N
        
        2
        
          2027-09-23
          Floating
          1.20000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Dominos Pizza Master Issuer LLC
        N/A
        Domino's Pizza Master Issuer LLC
        25755TAJ9
        
          
        
        3870000.00000000
        PA
        USD
        3888227.70000000
        0.159669416557
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2048-07-25
          Fixed
          4.11600000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        TRIPADVISOR INC
        549300XVG45PT5BART17
        TripAdvisor Inc
        896945AA0
        
          
        
        205000.00000000
        PA
        USD
        211754.75000000
        0.008695673194
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2025-07-15
          Fixed
          7.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Merrill Lynch International
        GGDZP1UYGU9STUHRDP48
        Long: BDW9D6N87 TRS USD R F  1.00000 BDW9D6N95 COMMODITYTRS / Short: BDW9D6N87 TRS USD P F   .00000 BDW9D6NA2 COMMODITYTRS
        000000000
        
          
        
        71240000.00000000
        OU
        Notional Amount
        USD
        -78695.98000000
        -0.00323163718
        N/A
        DCO
        
        GB
        N
        
        2
        
          
            
              Merrill Lynch International
              GGDZP1UYGU9STUHRDP48
            
            
              
                BACXISUS Excess Return Index
                BACXISUS Index
              
            
            Y
            equity-performance leg
            equity-performance leg
            2022-04-14
            0.00000000
            USD
            0.00000000
            USD
            71240000.00000000
            USD
            -78695.98000000
          
        
        
          N
          N
          N
        
      
      
        Towd Point Mortgage Trust
        N/A
        Towd Point Mortgage Trust 2022-SJ1
        89180GAC3
        
          
        
        2500000.00000000
        PA
        USD
        2497678.50000000
        0.102566747529
        Long
        ABS-MBS
        CORP
        US
        N
        
        3
        
          2062-03-25
          Variable
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        INDONESIA ASAHAN ALUMINI
        2549008P48EB9SN2OI80
        Indonesia Asahan Aluminium Persero PT
        000000000
        
          
        
        500000.00000000
        PA
        USD
        509500.00000000
        0.020922531809
        Long
        DBT
        CORP
        ID
        N
        
        2
        
          2025-05-15
          Fixed
          4.75000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MIZUHO FINANCIAL GROUP
        353800CI5L6DDAN5XZ33
        Mizuho Financial Group Inc
        60687YBF5
        
          
        
        4351000.00000000
        PA
        USD
        4258077.96000000
        0.174857255280
        Long
        DBT
        CORP
        JP
        N
        
        2
        
          2024-07-10
          Fixed
          1.24100000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        ALLY FINANCIAL INC
        549300JBN1OSM8YNAI90
        Ally Financial Inc
        02005NBL3
        
          
        
        2500000.00000000
        PA
        USD
        2441292.40000000
        0.100251261816
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2023-10-02
          Fixed
          1.45000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        VOLKSWAGEN GROUP AMERICA
        5493002SQ1AVQBY41K40
        Volkswagen Group of America Finance LLC
        928668AZ5
        
          
        
        4160000.00000000
        PA
        USD
        4176860.31000000
        0.171522066142
        Long
        DBT
        CORP
        US
        
        N
        
        2
        
          2022-09-26
          Fixed
          2.70000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        HILLENBRAND INC
        U246OE781574J2BUD366
        Hillenbrand Inc
        431571AD0
        
          
        
        1120000.00000000
        PA
        USD
        1148000.00000000
        0.047142426923
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2025-06-15
          Fixed
          5.75000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        GSK CONSUMER HEALTHCARE
        5493004B26DRJNN0OV17
        GSK Consumer Healthcare Capital UK PLC
        36264NAA2
        
          
        
        4000000.00000000
        PA
        USD
        3987553.60000000
        0.163748217935
        Long
        DBT
        CORP
        GB
        
        N
        
        2
        
          2025-03-24
          Fixed
          3.12500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FWD Securitization Trust
        N/A
        FWD Securitization Trust 2020-INV1
        302985AA4
        
          
        
        878442.06000000
        PA
        USD
        867470.23000000
        0.035622519099
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2050-01-25
          Variable
          2.24000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        PETRONAS CAPITAL LTD
        549300G7YFX3540OYR85
        Petronas Capital Ltd
        716743AB5
        
          
        
        1000000.00000000
        PA
        USD
        1007330.00000000
        0.041365837031
        Long
        DBT
        CORP
        MY
        N
        
        2
        
          2022-05-22
          Fixed
          7.87500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        SINOPEC GRP DEV 2018
        549300C6OZZ8LTVR8209
        Sinopec Group Overseas Development 2018 Ltd
        82939GAN8
        
          
        
        2500000.00000000
        PA
        USD
        2419653.70000000
        0.099362672239
        Long
        DBT
        CORP
        VG
        
        N
        
        2
        
          2025-05-13
          Fixed
          2.15000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MFRA TRUST
        N/A
        MFA 2021-NQM2 Trust
        55283WAC5
        
          
        
        606134.87000000
        PA
        USD
        572831.94000000
        0.023523247274
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2064-11-25
          Variable
          1.47200000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        UBS AG
        BFM8T61CT2L1QCEMIK50
        Long: BDW9G6VW2 TRS USD R F  1.00000 BDW9G6VX0 COMMODITYTRS / Short: BDW9G6VW2 TRS USD P F   .12000 BDW9G6VY8 COMMODITYTRS
        000000000
        
          
        
        8000000.00000000
        OU
        Notional Amount
        USD
        -138411.76000000
        -0.00568385564
        N/A
        DCO
        
        US
        N
        
        2
        
          
            
              UBS AG
              BFM8T61CT2L1QCEMIK50
            
            
              
                Bloomberg Aluminum Subindex
                BCOMAL INDEX
              
            
            Y
            equity-performance leg
            
            2022-04-14
            0.00000000
            USD
            0.00000000
            USD
            8000000.00000000
            USD
            -138411.76000000
          
        
        
          N
          N
          N
        
      
      
        FORD MOTOR CREDIT CO LLC
        UDSQCVRUX5BONN0VY111
        Ford Motor Credit Co LLC
        345397B28
        
          
        
        1360000.00000000
        PA
        USD
        1329325.20000000
        0.054588515764
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2025-11-13
          Fixed
          3.37500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MEITUAN
        21380033K525E5JLIA77
        Meituan
        58533EAB9
        
          
        
        720000.00000000
        PA
        USD
        639763.01000000
        0.026271760406
        Long
        DBT
        CORP
        KY
        
        N
        
        2
        
          2025-10-28
          Fixed
          2.12500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Santander Drive Auto Receivables Trust
        N/A
        Santander Drive Auto Receivables Trust 2022-1
        80286EAE6
        
          
        
        1200000.00000000
        PA
        USD
        1173419.40000000
        0.048186270308
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2028-04-17
          Fixed
          2.56000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        New York Mercantile Exchange
        5493008GFNDTXFPHWI47
        NATURAL GAS FUTR JUN22
        000000000
        
          
        
        -250.00000000
        NC
        USD
        -2778330.00000000
        -0.11409165417
        N/A
        DCO
        
        US
        N
        
        1
        
          
            
              New York Mercantile Exchange
              5493008GFNDTXFPHWI47
            
            Short
            
              
                NYMEX Henry Hub Natural Gas Futures
                NGM22 Comdty
              
            
            2022-05-26
            -11474170.00000000
            USD
            -2778330.00000000
          
        
        
          N
          N
          N
        
      
      
        United States Treasury
        254900HROIFWPRGM1V77
        United States Treasury Note/Bond
        91282CAX9
        
          
        
        50000000.00000000
        PA
        USD
        49603515.50000000
        2.036960021417
        Long
        DBT
        UST
        US
        N
        
        2
        
          2022-11-30
          Fixed
          0.12500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        TRUST F/1401
        N/A
        Trust Fibra Uno
        898324AA6
        
          
        
        1000000.00000000
        PA
        USD
        1028010.00000000
        0.042215057753
        Long
        DBT
        
        MX
        N
        
        2
        
          2024-12-15
          Fixed
          5.25000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Baidu Inc
        254900AL64IANZYI1E02
        Baidu Inc
        056752AH1
        
          
        
        2000000.00000000
        PA
        USD
        1999631.24000000
        0.082114520561
        Long
        DBT
        CORP
        KY
        
        N
        
        2
        
          2022-07-06
          Fixed
          2.87500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CPS Auto Trust
        N/A
        CPS Auto Receivables Trust 2019-A
        12596HAE7
        
          
        
        2705000.00000000
        PA
        USD
        2778914.13000000
        0.114115641375
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2026-03-16
          Fixed
          5.81000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        WESTERN MIDSTREAM OPERAT
        L6D8A6MLSY454J2JXJ60
        Western Midstream Operating LP
        958667AD9
        
          
        
        2000000.00000000
        PA
        USD
        1980000.00000000
        0.081308366992
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2023-01-13
          Floating
          1.84400000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Madison Park Funding Ltd
        N/A
        Madison Park Funding XXIX LTD
        55820CAE5
        
          
        
        2500000.00000000
        PA
        USD
        2494730.00000000
        0.102445667872
        Long
        ABS-CBDO
        CORP
        KY
        N
        
        2
        
          2030-10-18
          Floating
          1.69100000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        UBS AG
        BFM8T61CT2L1QCEMIK50
        Long: BDW9D6MX3 TRS USD R F  1.00000 BDW9D6MY1 COMMODITYTRS / Short: BDW9D6MX3 TRS USD P F   .13740 BDW9D6MZ8 COMMODITYTRS
        000000000
        
          
        
        7500000.00000000
        OU
        Notional Amount
        USD
        -74883.52000000
        -0.00307507915
        N/A
        DCO
        
        US
        N
        
        2
        
          
            
              UBS AG
              BFM8T61CT2L1QCEMIK50
            
            
              
                UBS Custom Commodity Index
                UBSIB165 Index
              
            
            Y
            equity-performance leg
            
            2022-04-14
            0.00000000
            USD
            0.00000000
            USD
            7500000.00000000
            USD
            -74883.52000000
          
        
        
          N
          N
          N
        
      
      
        MOSAIC CO
        2YD5STGSJNMUB7H76907
        Mosaic Co/The
        61945CAF0
        
          
        
        4190000.00000000
        PA
        USD
        4218263.35000000
        0.173222275017
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2022-11-15
          Fixed
          3.25000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        United States Treasury
        254900HROIFWPRGM1V77
        United States Treasury Note/Bond
        91282CAK7
        
          
        
        25000000.00000000
        PA
        USD
        24290039.00000000
        0.997466366303
        Long
        DBT
        UST
        US
        N
        
        2
        
          2023-09-15
          Fixed
          0.12500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Citibank N.A.
        E57ODZWZ7FF32TWEFA76
        Long: BDW9DCU52 TRS USD R F  1.00000 BDW9DCU60 COMMODITYTRS / Short: BDW9DCU52 TRS USD P F   .11000 BDW9DCU78 COMMODITYTRS
        000000000
        
          
        
        66755850.45000000
        OU
        Notional Amount
        USD
        778455.99000000
        0.031967164304
        N/A
        DCO
        
        US
        N
        
        2
        
          
            
              Citibank N.A.
              E57ODZWZ7FF32TWEFA76
            
            
              
                Bloomberg Commodity Index 3 Month Forward
                BCOMF3 INDEX
              
            
            Y
            equity-performance leg
            
            2022-04-14
            0.00000000
            USD
            0.00000000
            USD
            66755850.45000000
            USD
            778455.99000000
          
        
        
          N
          N
          N
        
      
      
        Merrill Lynch International
        GGDZP1UYGU9STUHRDP48
        Long: BDW9DRMK5 TRS USD R F  1.00000 BDW9DRML3 COMMODITYTRS / Short: BDW9DRMK5 TRS USD P F   .14000 BDW9DRMM1 COMMODITYTRS
        000000000
        
          
        
        30000000.00000000
        OU
        Notional Amount
        USD
        795962.70000000
        0.032686074406
        N/A
        DCO
        
        GB
        N
        
        2
        
          
            
              Merrill Lynch International
              GGDZP1UYGU9STUHRDP48
            
            
              
                Bloomberg Commodity Index 3 Month Forward
                BCOMF3 INDEX
              
            
            Y
            equity-performance leg
            
            2022-04-14
            0.00000000
            USD
            0.00000000
            USD
            30000000.00000000
            USD
            795962.70000000
          
        
        
          N
          N
          N
        
      
      
        Madison Park Funding Ltd
        549300FNRP3W5DX0O430
        Madison Park Funding XXVI Ltd
        55819YAA8
        
          
        
        3646000.00000000
        PA
        USD
        3633341.09000000
        0.149202540785
        Long
        ABS-CBDO
        CORP
        KY
        N
        
        2
        
          2030-07-29
          Floating
          1.49900000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Intesa Sanpaolo SpA
        2W8N8UU78PMDQKZENC08
        Intesa Sanpaolo SpA
        46115HAZ0
        
          
        
        4455000.00000000
        PA
        USD
        4461629.89000000
        0.183216081051
        Long
        DBT
        CORP
        IT
        N
        
        2
        
          2022-07-14
          Fixed
          3.12500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        PACIFIC GAS & ELECTRIC
        1HNPXZSMMB7HMBMVBS46
        Pacific Gas and Electric Co
        694308JE8
        
          
        
        9000000.00000000
        PA
        USD
        8989779.51000000
        0.369163783627
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2022-06-16
          Fixed
          1.75000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        ALFA S.A.
        549300ZCGJ6T8YDJ4M34
        Alfa SAB de CV
        000000000
        
          
        
        1250000.00000000
        PA
        USD
        1282750.00000000
        0.052675913010
        Long
        DBT
        CORP
        MX
        N
        
        2
        
          2024-03-25
          Fixed
          5.25000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Chase Mortgage Finance Corporation
        N/A
        JPMorgan Chase Bank NA - CHASE
        46591HAG5
        
          
        
        1773012.13000000
        PA
        USD
        1781613.90000000
        0.073161675161
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2057-10-25
          Floating
          2.70700000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Santander Consumer Auto Receivables Trust
        N/A
        Santander Consumer Auto Receivables Trust 2021-B
        802824AB8
        
          
        
        272677.51000000
        PA
        USD
        271170.83000000
        0.011135584526
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2028-10-16
          Fixed
          1.45000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        AVOLON HOLDINGS FNDG LTD
        635400ZRKEX9L1BKCH30
        Avolon Holdings Funding Ltd
        05401AAB7
        
          
        
        1675000.00000000
        PA
        USD
        1704500.70000000
        0.069995034573
        Long
        DBT
        CORP
        KY
        
        N
        
        2
        
          2023-10-01
          Fixed
          5.12500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        VICI PROPERTIES / NOTE
        N/A
        VICI Properties LP / VICI Note Co Inc
        92564RAC9
        
          
        
        140000.00000000
        PA
        USD
        137935.00000000
        0.005664277576
        Long
        DBT
        
        US
        N
        
        2
        
          2025-02-15
          Fixed
          3.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        GENERAL MOTORS FINL CO
        5493008B6JBRUJ90QL97
        General Motors Financial Co Inc
        37045XCE4
        
          
        
        7000000.00000000
        PA
        USD
        6986207.62000000
        0.286887440936
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2023-01-05
          Floating
          1.19900000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        WILLIAMS COMPANIES INC
        D71FAKCBLFS2O0RBPG08
        Williams Cos Inc/The
        969457BW9
        
          
        
        2200000.00000000
        PA
        USD
        2259930.07000000
        0.092803648237
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2024-06-24
          Fixed
          4.55000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CF Hippolyta Issuer LLC
        N/A
        CF Hippolyta LLC
        12530MAG0
        
          
        
        2816355.64000000
        PA
        USD
        2590949.46000000
        0.106396903814
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2061-03-15
          Fixed
          1.98000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        United States Treasury
        254900HROIFWPRGM1V77
        United States Treasury Floating Rate Note
        91282CDU2
        
          
        
        70000000.00000000
        PA
        USD
        70073560.90000000
        2.877558993004
        Long
        DBT
        UST
        US
        N
        
        2
        
          2024-01-31
          Floating
          0.59100000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FWD Securitization Trust
        N/A
        FWDSecuritization Trust 2019-INV1
        302980AA5
        
          
        
        574725.89000000
        PA
        USD
        572973.15000000
        0.023529046038
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2049-06-25
          Variable
          2.81000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Corp Andina de Fomento
        UKZ46SXGNYCZK0UOZE76
        Corp Andina de Fomento
        219868BS4
        
          
        
        2000000.00000000
        PA
        USD
        2007661.08000000
        0.082444264590
        Long
        DBT
        NUSS
        XX
        N
        
        2
        
          2022-06-15
          Fixed
          4.37500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Barclays Mortgage Loan Trust
        N/A
        Barclays Mortgage Loan Trust 2021-NQM1
        06744UAC5
        
          
        
        1688183.00000000
        PA
        USD
        1625111.30000000
        0.066734922214
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2051-09-25
          Variable
          1.98400000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        United States Treasury
        254900HROIFWPRGM1V77
        United States Treasury Note/Bond
        9128284S6
        
          
        
        30000000.00000000
        PA
        USD
        30290625.00000000
        1.243879421182
        Long
        DBT
        UST
        US
        N
        
        2
        
          2023-05-31
          Fixed
          2.75000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BFLD Trust
        N/A
        BFLD 2019-DPLO
        054970AG3
        
          
        
        1500000.00000000
        PA
        USD
        1485852.15000000
        0.061016268641
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2034-10-15
          Floating
          1.73700000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Petroleos Mexicanos
        549300CAZKPF4HKMPX17
        Petroleos Mexicanos
        71654QBH4
        
          
        
        1000000.00000000
        PA
        USD
        1011160.00000000
        0.041523115337
        Long
        DBT
        CORP
        MX
        N
        
        2
        
          2024-01-18
          Fixed
          4.87500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        SIRIUS XM RADIO INC
        WP5O65E6BMU84LNO4227
        Sirius XM Radio Inc
        82967NBL1
        
          
        
        1080000.00000000
        PA
        USD
        1021110.84000000
        0.041931744908
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2026-09-01
          Fixed
          3.12500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CNAC HK FINBRIDGE CO LTD
        549300US1UQ7R7WABI28
        CNAC HK Finbridge Co Ltd
        000000000
        
          
        
        1000000.00000000
        PA
        USD
        995763.12000000
        0.040890845049
        Long
        DBT
        CORP
        HK
        
        N
        
        2
        
          2024-06-19
          Fixed
          3.37500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY
        IGJSJL3JD5P30I6NJZ34
        Morgan Stanley
        61747YEB7
        
          
        
        6000000.00000000
        PA
        USD
        5759803.92000000
        0.236525379259
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2025-01-22
          Fixed
          0.79100000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MALAYSIA SOVEREIGN SUKUK
        N/A
        Malaysia Sovereign Sukuk Bhd
        56108LAA4
        
          
        
        1000000.00000000
        PA
        USD
        1001839.78000000
        0.041140382070
        Long
        DBT
        NUSS
        MY
        N
        
        2
        
          2025-04-22
          Fixed
          3.04300000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        NEXTERA ENERGY OPERATING
        549300KJEC5IUVJWR786
        NextEra Energy Operating Partners LP
        65342QAK8
        
          
        
        1330000.00000000
        PA
        USD
        1345953.35000000
        0.055271347947
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2024-07-15
          Fixed
          4.25000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CNOOC CURTIS FUNDING NO1
        5299001NILZF0ECHTS51
        CNOOC Curtis Funding No 1 Pty Ltd
        12626HAA9
        
          
        
        1000000.00000000
        PA
        USD
        1021845.33000000
        0.041961906616
        Long
        DBT
        CORP
        AU
        
        N
        
        2
        
          2023-10-03
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        COLT Funding LLC
        N/A
        COLT 2021-2 Mortgage Loan Trust
        19685WAC5
        
          
        
        2303811.20000000
        PA
        USD
        2131969.00000000
        0.087548948418
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2066-08-25
          Variable
          1.33500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        ABU DHABI GOVT INT'L
        213800FER4348CINTA77
        Abu Dhabi Government International Bond
        29135LAG5
        
          
        
        1895000.00000000
        PA
        USD
        1884729.10000000
        0.077396083507
        Long
        DBT
        NUSS
        AE
        N
        
        2
        
          2025-04-16
          Fixed
          2.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        GS Mortgage-Backed Securities Trust
        N/A
        GS Mortgage-Backed Securities Trust 2020-NQM1
        36259WAB7
        
          
        
        178247.92000000
        PA
        USD
        174365.95000000
        0.007160308410
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2060-09-27
          Variable
          1.79100000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        SAMBA FUNDING LTD
        549300PT73WJRNMAKE44
        Samba Funding Ltd
        000000000
        
          
        
        1000000.00000000
        PA
        USD
        987500.00000000
        0.040551521416
        Long
        DBT
        CORP
        KY
        
        N
        
        2
        
          2024-10-02
          Fixed
          2.75000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Morgan Stanley Capital I Trust
        N/A
        Morgan Stanley Capital I Trust 2018-SUN
        61691MAG2
        
          
        
        2353200.00000000
        PA
        USD
        2317699.62000000
        0.095175945091
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2035-07-15
          Floating
          1.59700000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Morgan Stanley & Co. LLC
        9R7GPTSO7KV3UQJZQ078
        Long: BDW9D6Q35 TRS USD R F  1.00000 BDW9D6Q43 COMMODITYTRS / Short: BDW9D6Q35 TRS USD P F   .12000 BDW9D6Q50 COMMODITYTRS
        000000000
        
          
        
        89050654.28000000
        OU
        Notional Amount
        USD
        -1395802.22000000
        -0.05731838341
        N/A
        DCO
        
        US
        N
        
        2
        
          
            
              Morgan Stanley & Co. LLC
              9R7GPTSO7KV3UQJZQ078
            
            
              
                Bloomberg Commodity Index
                BCOM INDEX
              
            
            Y
            equity-performance leg
            
            2022-04-14
            0.00000000
            USD
            0.00000000
            USD
            89050654.28000000
            USD
            -1395802.22000000
          
        
        
          N
          N
          N
        
      
      
        Macquarie Bank Ltd.
        4ZHCHI4KYZG2WVRT8631
        Long: BDW9DAMD8 TRS USD R F  1.00000 BDW9DAME6 COMMODITYTRS / Short: BDW9DAMD8 TRS USD P F   .12000 BDW9DAMF3 COMMODITYTRS
        000000000
        
          
        
        80145475.09000000
        OU
        Notional Amount
        USD
        -1256220.21000000
        -0.05158647164
        N/A
        DCO
        
        US
        N
        
        2
        
          
            
              Macquarie Bank Ltd.
              4ZHCHI4KYZG2WVRT8631
            
            
              
                Bloomberg Commodity Index
                BCOM INDEX
              
            
            Y
            equity-performance leg
            
            2022-04-14
            0.00000000
            USD
            0.00000000
            USD
            80145475.09000000
            USD
            -1256220.21000000
          
        
        
          N
          N
          N
        
      
      
        London Metal Exchange
        213800NB8G5VRT1DXC91
        LME PRI ALUM FUTR JUN22
        000000000
        
          
        
        100.00000000
        NC
        USD
        -146250.00000000
        -0.00600573165
        N/A
        DCO
        
        GB
        N
        
        1
        
          
            
              London Metal Exchange
              213800NB8G5VRT1DXC91
            
            Long
            
              
                LME Primary Aluminum Future
                LAM22 Comdty
              
            
            2022-06-13
            8875000.00000000
            USD
            -146250.00000000
          
        
        
          N
          N
          N
        
      
      
        BX Trust
        N/A
        BX Commercial Mortgage Trust 2019-IMC
        05608BAG5
        
          
        
        6500000.00000000
        PA
        USD
        6394542.05000000
        0.262590793814
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2034-04-15
          Floating
          1.69700000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Starwood Commercial Mortgage Trust
        N/A
        STWD 2021-LIH Mortgage Trust
        78486EAJ7
        
          
        
        500000.00000000
        PA
        USD
        492403.30000000
        0.020220458699
        Long
        ABS-MBS
        CORP
        US
        
        N
        
        2
        
          2036-11-15
          Floating
          2.05300000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        SOUTHERN CAL EDISON
        9R1Z5I36FERIBVKW4P77
        Southern California Edison Co
        842400HH9
        
          
        
        3850000.00000000
        PA
        USD
        3750081.49000000
        0.153996465677
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2023-08-01
          Fixed
          0.70000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        HYUNDAI CAPITAL AMERICA
        549300RIPPWJB5Z0FK07
        Hyundai Capital America
        44891ABY2
        
          
        
        5000000.00000000
        PA
        USD
        4702748.30000000
        0.193117568005
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2024-09-17
          Fixed
          1.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        New York Mercantile Exchange
        5493008GFNDTXFPHWI47
        NATURAL GAS FUTR APR23
        000000000
        
          
        
        353.00000000
        NC
        USD
        1307093.99000000
        0.053675594865
        N/A
        DCO
        
        US
        N
        
        1
        
          
            
              New York Mercantile Exchange
              5493008GFNDTXFPHWI47
            
            Long
            
              
                NYMEX Henry Hub Natural Gas Futures
                NGJ23 COMDTY
              
            
            2023-03-29
            12922336.01000000
            USD
            1307093.99000000
          
        
        
          N
          N
          N
        
      
      
        PHILLIPS 66
        5493005JBO5YSIGK1814
        Phillips 66
        718546AY0
        
          
        
        2020000.00000000
        PA
        USD
        1954757.11000000
        0.080271771960
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2024-02-15
          Fixed
          0.90000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Hertz Vehicle Financing LLC
        5493004IHDYOZ9K9WF47
        Hertz Vehicle Financing LLC
        42806MAB5
        
          
        
        1000000.00000000
        PA
        USD
        947282.90000000
        0.038900012969
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2025-12-26
          Fixed
          1.56000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Hilton USA Trust
        N/A
        Hilton Orlando Trust 2018-ORL
        432885AA9
        
          
        
        3500000.00000000
        PA
        USD
        3455955.30000000
        0.141918223153
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2034-12-15
          Floating
          1.31700000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Imperial Fund LLC
        N/A
        Imperial Fund Mortgage Trust 2021-NQM1
        452764AB9
        
          
        
        1733362.21000000
        PA
        USD
        1630547.83000000
        0.066958172404
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2056-06-25
          Variable
          1.20500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        SOUTHERN CAL EDISON
        9R1Z5I36FERIBVKW4P77
        Southern California Edison Co
        842400HE6
        
          
        
        6210000.00000000
        PA
        USD
        6208615.23000000
        0.254955740221
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2022-06-13
          Floating
          0.60500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae - CAS
        N/A
        Connecticut Avenue Securities Trust 2021-R03
        20754AAB9
        
          
        
        500000.00000000
        PA
        USD
        473281.75000000
        0.019435235464
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2041-12-25
          Floating
          1.74900000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CENTERPOINT ENERGY INC
        21TPXMRRHFKOBHDC8J74
        CenterPoint Energy Inc
        15189TAZ0
        
          
        
        3270000.00000000
        PA
        USD
        3244535.14000000
        0.133236289840
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2024-05-13
          Floating
          0.83700000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        PLAINS ALL AMER PIPELINE
        N/A
        Plains All American Pipeline LP / PAA Finance Corp
        72650RBD3
        
          
        
        4000000.00000000
        PA
        USD
        4033959.76000000
        0.165653879091
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2023-10-15
          Fixed
          3.85000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        NatWest Markets PLC
        RR3QWICWWIPCS8A4S074
        NatWest Markets PLC
        63906AAB6
        
          
        
        3000000.00000000
        PA
        USD
        3009727.83000000
        0.123593967146
        Long
        DBT
        CORP
        GB
        N
        
        2
        
          2022-09-29
          Floating
          1.93200000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        United States Treasury
        254900HROIFWPRGM1V77
        United States Treasury Note/Bond
        9128282S8
        
          
        
        50000000.00000000
        PA
        USD
        50136719.00000000
        2.058855933467
        Long
        DBT
        UST
        US
        N
        
        2
        
          2022-08-31
          Fixed
          1.62500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Pertamina Persero PT
        254900NDAKGNZ2IBBL45
        Pertamina Persero PT
        69369EAE9
        
          
        
        2000000.00000000
        PA
        USD
        2025086.82000000
        0.083159849673
        Long
        DBT
        CORP
        ID
        N
        
        2
        
          2023-05-20
          Fixed
          4.30000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        RLJ LODGING TRUST LP
        549300RX5I8Z6I6LDZ74
        RLJ Lodging Trust LP
        74965LAA9
        
          
        
        240000.00000000
        PA
        USD
        228000.00000000
        0.009362781653
        Long
        DBT
        
        US
        N
        
        2
        
          2026-07-01
          Fixed
          3.75000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Pertamina Persero PT
        254900NDAKGNZ2IBBL45
        Pertamina Persero PT
        69369EAC3
        
          
        
        1000000.00000000
        PA
        USD
        1000265.55000000
        0.041075736580
        Long
        DBT
        CORP
        ID
        N
        
        2
        
          2022-05-03
          Fixed
          4.87500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        SOUTHWEST AIRLINES CO
        UDTZ87G0STFETI6HGH41
        Southwest Airlines Co
        844741BH0
        
          
        
        2305000.00000000
        PA
        USD
        2352993.76000000
        0.096625293015
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2023-05-04
          Fixed
          4.75000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        UBS AG
        BFM8T61CT2L1QCEMIK50
        Long: BDW9D6QL5 TRS USD R F  1.00000 BDW9D6QM3 COMMODITYTRS / Short: BDW9D6QL5 TRS USD P F   .28720 BDW9D6QN1 COMMODITYTRS
        000000000
        
          
        
        214979615.47000000
        OU
        Notional Amount
        USD
        -6207205.33000000
        -0.25489784291
        N/A
        DCO
        
        US
        N
        
        2
        
          
            
              UBS AG
              BFM8T61CT2L1QCEMIK50
            
            
              
                UBS Custom Commodity Index
                UBSIB163
                
                  
                    Bloomberg ULS Diesel Subindex
                    
                      
                    
                    22851000.00000000
                    USD
                    1517551.18000000
                    USD
                  
                  
                    Bloomberg Gold Subindex
                    
                      
                    
                    41643000.00000000
                    USD
                    -243650.21000000
                    USD
                  
                  
                    Bloomberg Natural Gas Subindex
                    
                      
                    
                    -54045000.00000000
                    USD
                    -10804480.98000000
                    USD
                  
                  
                    Bloomberg Wheat Subindex
                    
                      
                    
                    -8848000.00000000
                    USD
                    728421.43000000
                    USD
                  
                  
                    Bloomberg Commodity Index
                    
                      
                    
                    152657614.42000000
                    USD
                    754495.27000000
                    USD
                  
                  
                    Bloomberg Commodity Index 2-4-6 Forward Blend
                    
                      
                    
                    149914616.51000000
                    USD
                    1840458.79000000
                    USD
                  
                
              
            
            Y
            equity-performance leg
            
            2022-04-14
            0.00000000
            USD
            0.00000000
            USD
            214979615.47000000
            USD
            -6207205.33000000
          
        
        
          N
          N
          N
        
      
      
        Santander Drive Auto Receivables Trust
        N/A
        Santander Drive Auto Receivables Trust 2020-2
        80285RAF5
        
          
        
        1750000.00000000
        PA
        USD
        1744445.68000000
        0.071635368458
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2025-09-15
          Fixed
          1.46000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac - STACR
        S6XOOCT0IEG5ABCC6L87
        Freddie Mac Structured Agency Credit Risk Debt Notes
        35564KMH9
        
          
        
        1200000.00000000
        PA
        USD
        1141316.88000000
        0.046867985724
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2041-11-25
          Floating
          1.89900000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        NOVA Chemicals Corp
        549300ZOD6N7RI2FJP09
        NOVA Chemicals Corp
        66977WAQ2
        
          
        
        1510000.00000000
        PA
        USD
        1526979.95000000
        0.062705174830
        Long
        DBT
        CORP
        CA
        N
        
        2
        
          2024-06-01
          Fixed
          4.87500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CPS Auto Trust
        N/A
        CPS Auto Receivables Trust 2018-D
        22411XAE4
        
          
        
        2500000.00000000
        PA
        USD
        2545846.00000000
        0.104544737815
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2025-06-16
          Fixed
          5.82000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Banc of America Merrill Lynch Large Loan Inc
        N/A
        BAMLL Commercial Mortgage Securities Trust 2018-DSNY
        054967AJ3
        
          
        
        130000.00000000
        PA
        USD
        127058.06000000
        0.005217617864
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2034-09-15
          Floating
          1.74700000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Credit Suisse Mortgage Trust
        N/A
        CSMC 2020-NET
        126438AG5
        
          
        
        1000000.00000000
        PA
        USD
        963000.10000000
        0.039545437143
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2037-08-15
          Fixed
          3.52600000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        World OMNI Select Auto Trust
        N/A
        World Omni Select Auto Trust 2019-A
        98163BAE2
        
          
        
        1500000.00000000
        PA
        USD
        1493461.50000000
        0.061328745318
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2025-12-15
          Fixed
          2.38000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BOMBARDIER INC
        W7L3VLU8EHQY34Z36697
        Bombardier Inc
        097751BV2
        
          
        
        2000000.00000000
        PA
        USD
        1960000.00000000
        0.080487070356
        Long
        DBT
        CORP
        CA
        N
        
        2
        
          2026-06-15
          Fixed
          7.12500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MPLX LP
        5493000CZJ19CK4P3G36
        MPLX LP
        55336VAG5
        
          
        
        2000000.00000000
        PA
        USD
        2071322.98000000
        0.085058529807
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2024-12-01
          Fixed
          4.87500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        POSCO HOLDINGS INC
        988400E5HRVX81AYLM04
        POSCO Holdings Inc
        693483AD1
        
          
        
        2000000.00000000
        PA
        USD
        2027720.00000000
        0.083267980766
        Long
        DBT
        CORP
        KR
        N
        
        2
        
          2023-08-01
          Fixed
          4.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        WESCO DISTRIBUTION INC
        549300I2CEZJG9N4AH67
        WESCO Distribution Inc
        95081QAN4
        
          
        
        375000.00000000
        PA
        USD
        390120.00000000
        0.016020212187
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2025-06-15
          Fixed
          7.12500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase Bank N.A.
        7H6GLXDRUGQFU57RNE97
        Long: BDW9D6RX8 TRS USD R F  1.00000 BDW9D6RY6 COMMODITYTRS / Short: BDW9D6RX8 TRS USD P F   .35000 BDW9D6RZ3 COMMODITYTRS
        000000000
        
          
        
        47420344.98000000
        OU
        Notional Amount
        USD
        50739.29000000
        0.002083600410
        N/A
        DCO
        
        US
        N
        
        2
        
          
            
              JPMorgan Chase Bank N.A.
              7H6GLXDRUGQFU57RNE97
            
            
              
                Barclays Capital Brent Crude Nearby Excess Return Index
                BCC2CO0P Index
              
            
            Y
            equity-performance leg
            
            2022-04-14
            0.00000000
            USD
            0.00000000
            USD
            47420344.98000000
            USD
            50739.29000000
          
        
        
          N
          N
          N
        
      
      
        CREDIT AGRICOLE LONDON
        969500TJ5KRTCJQWXH05
        Credit Agricole SA/London
        22535WAE7
        
          
        
        5000000.00000000
        PA
        USD
        5066308.00000000
        0.208047085940
        Long
        DBT
        CORP
        FR
        N
        
        2
        
          2023-04-24
          Fixed
          3.75000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Voya CLO Ltd
        549300L8S87K3SMP0R77
        Voya CLO 2014-2 Ltd
        92912VAY1
        
          
        
        2981211.39000000
        PA
        USD
        2965843.25000000
        0.121791854249
        Long
        ABS-CBDO
        CORP
        KY
        N
        
        2
        
          2030-04-17
          Floating
          1.26100000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        United States Treasury
        254900HROIFWPRGM1V77
        United States Treasury Bill
        912796L64
        
          
        
        50000000.00000000
        PA
        USD
        49847833.50000000
        2.046992898996
        Long
        STIV
        UST
        US
        N
        
        2
        
          2022-08-11
          None
          0.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        United States Treasury
        254900HROIFWPRGM1V77
        United States Treasury Floating Rate Note
        91282CCQ2
        
          
        
        70000000.00000000
        PA
        USD
        70101067.40000000
        2.878688542800
        Long
        DBT
        UST
        US
        N
        
        2
        
          2023-07-31
          Floating
          0.63500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        JPMDB Commercial Mortgage Securities Trust
        N/A
        JPMDB Commercial Mortgage Securities Trust 2016-C4
        46646RAN3
        
          
        
        1000000.00000000
        PA
        USD
        980383.80000000
        0.040259295860
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2049-12-15
          Fixed
          3.38500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CF Hippolyta Issuer LLC
        N/A
        CF Hippolyta LLC
        12530MAC9
        
          
        
        3835431.55000000
        PA
        USD
        3617188.21000000
        0.148539225485
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2060-07-15
          Fixed
          2.28000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Cosmopolitan Hotel Trust
        N/A
        CHT 2017-COSMO Mortgage Trust
        12546DAA5
        
          
        
        1800000.00000000
        PA
        USD
        1793238.84000000
        0.073639051367
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2036-11-15
          Floating
          1.32700000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae REMICS
        31359KVY0
        
          
        
        3349.40000000
        PA
        USD
        3349.40000000
        0.000137542547
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2023-09-25
          Floating
          0.98700000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        LYB INT FINANCE III
        N/A
        LYB International Finance III LLC
        50249AAF0
        
          
        
        1962000.00000000
        PA
        USD
        1816006.78000000
        0.074574012994
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2025-10-01
          Fixed
          1.25000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Hertz Vehicle Financing LLC
        5493004IHDYOZ9K9WF47
        Hertz Vehicle Financing LLC
        42806MAC3
        
          
        
        2500000.00000000
        PA
        USD
        2354101.25000000
        0.096670771905
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2025-12-26
          Fixed
          2.05000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        STARWOOD PROPERTY TRUST
        BUGSFQZERKRBFWIG5267
        Starwood Property Trust Inc
        85571BAU9
        
          
        
        1000000.00000000
        PA
        USD
        954870.00000000
        0.039211575954
        Long
        DBT
        
        US
        N
        
        2
        
          2026-07-15
          Fixed
          3.62500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CANADIAN NATL RESOURCES
        549300T15RIMIKZC5Q38
        Canadian Natural Resources Ltd
        136385AT8
        
          
        
        750000.00000000
        PA
        USD
        760541.35000000
        0.031231502625
        Long
        DBT
        CORP
        CA
        N
        
        2
        
          2024-04-15
          Fixed
          3.80000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        LD HOLDINGS GROUP LLC
        N/A
        LD Holdings Group LLC
        521088AA2
        
          
        
        766000.00000000
        PA
        USD
        718125.00000000
        0.029489682346
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2025-11-01
          Fixed
          6.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        EMPRESA NACIONAL DE TELE
        529900N4SUIP0URJT330
        Empresa Nacional de Telecomunicaciones SA
        29245VAA3
        
          
        
        1000000.00000000
        PA
        USD
        1022510.00000000
        0.041989201178
        Long
        DBT
        CORP
        CL
        N
        
        2
        
          2024-10-30
          Fixed
          4.87500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Flagship Credit Auto Trust
        N/A
        Flagship Credit Auto Trust 2019-3
        33846AAE6
        
          
        
        3000000.00000000
        PA
        USD
        3006038.10000000
        0.123442449004
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2025-10-15
          Fixed
          2.74000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        DAIMLER FINANCE NA LLC
        549300423Z16BB673J12
        Daimler Finance North America LLC
        233851DD3
        
          
        
        3000000.00000000
        PA
        USD
        3027774.69000000
        0.124335058417
        Long
        DBT
        CORP
        US
        
        N
        
        2
        
          2023-02-22
          Fixed
          3.35000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        New Economy Assets Phase 1 Issuer LLC
        N/A
        New Economy Assets Phase 1 Sponsor LLC
        643821AB7
        
          
        
        1125000.00000000
        PA
        USD
        1061362.91000000
        0.043584689393
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2061-10-20
          Fixed
          2.41000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Merrill Lynch International
        GGDZP1UYGU9STUHRDP48
        Long: BDW9D6Q01 TRS USD R F  1.00000 BDW9D6Q19 COMMODITYTRS / Short: BDW9D6Q01 TRS USD P F   .00000 BDW9D6Q27 COMMODITYTRS
        000000000
        
          
        
        23815797.15000000
        OU
        Notional Amount
        USD
        23348.05000000
        0.000958783746
        N/A
        DCO
        
        GB
        N
        
        2
        
          
            
              Merrill Lynch International
              GGDZP1UYGU9STUHRDP48
            
            
              
                BofA Merrill Lynch Commodity MLCIHR6S Excess Return Strategy
                MLCIHR6S INDEX
              
            
            Y
            equity-performance leg
            equity-performance leg
            2022-04-14
            0.00000000
            USD
            0.00000000
            USD
            23815797.15000000
            USD
            23348.05000000
          
        
        
          N
          N
          N
        
      
      
        GCAT
        N/A
        GCAT 2021-NQM2 Trust
        36166XAB7
        
          
        
        919350.31000000
        PA
        USD
        871113.01000000
        0.035772109247
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2066-05-25
          Variable
          1.24200000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        COLT Funding LLC
        N/A
        COLT Funding LLC
        19688DAC4
        
          
        
        409529.46000000
        PA
        USD
        400981.80000000
        0.016466250177
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2064-12-25
          Variable
          1.25700000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        INTERCONTINENTALEXCHANGE
        5493000F4ZO33MV32P92
        Intercontinental Exchange Inc
        45866FAG9
        
          
        
        2825000.00000000
        PA
        USD
        2860058.25000000
        0.117447811016
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2023-09-21
          Fixed
          3.45000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        InTown Hotel Portfolio Trust
        N/A
        InTown Hotel Portfolio Trust 2018-STAY
        46117MAL8
        
          
        
        2200000.00000000
        PA
        USD
        2189478.06000000
        0.089910548295
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2033-01-15
          Floating
          2.04700000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        KOREA EAST-WEST POWER CO
        549300VDRGYGX9NBTB52
        Korea East-West Power Co Ltd
        5006EPAK7
        
          
        
        940000.00000000
        PA
        USD
        900463.60000000
        0.036977386289
        Long
        DBT
        CORP
        KR
        N
        
        2
        
          2025-05-06
          Fixed
          1.75000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BANCO DE CREDITO DEL PER
        549300EQYQ8SCQZ4BY14
        Banco de Credito del Peru S.A.
        05990GAA3
        
          
        
        1000000.00000000
        PA
        USD
        1014900.00000000
        0.041676697808
        Long
        DBT
        CORP
        PE
        N
        
        2
        
          2023-04-01
          Fixed
          4.25000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        ZIMMER BIOMET HOLDINGS
        2P2YLDVPES3BXQ1FRB91
        Zimmer Biomet Holdings Inc
        98956PAU6
        
          
        
        4720000.00000000
        PA
        USD
        4526746.30000000
        0.185890075476
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2024-11-22
          Fixed
          1.45000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Santander Bank Auto Credit-Linked Notes
        N/A
        Santander Bank NA - SBCLN
        80290CAG9
        
          
        
        581391.13000000
        PA
        USD
        571485.50000000
        0.023467955941
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2031-12-15
          Fixed
          3.26800000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        United States Treasury
        254900HROIFWPRGM1V77
        United States Treasury Note/Bond
        912828R28
        
          
        
        30000000.00000000
        PA
        USD
        29946093.60000000
        1.229731297186
        Long
        DBT
        UST
        US
        N
        
        2
        
          2023-04-30
          Fixed
          1.62500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CarMax Auto Owner Trust
        N/A
        CarMax Auto Owner Trust 2020-3
        14315FAG2
        
          
        
        750000.00000000
        PA
        USD
        731782.20000000
        0.030050512967
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2026-04-15
          Fixed
          1.69000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        DB Master Finance LLC
        549300F17UZJL70BPB08
        DB Master Finance LLC
        233046AK7
        
          
        
        2437500.00000000
        PA
        USD
        2442216.56000000
        0.100289212291
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2049-05-20
          Fixed
          4.02100000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        United States Treasury
        254900HROIFWPRGM1V77
        United States Treasury Floating Rate Note
        91282CBY6
        
          
        
        45000000.00000000
        PA
        USD
        45058956.75000000
        1.850338480677
        Long
        DBT
        UST
        US
        N
        
        2
        
          2023-04-30
          Floating
          0.64000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        One New York Plaza Trust 2020-1NYP
        N/A
        One New York Plaza Trust 2020-1NYP
        68249DAC3
        
          
        
        2378000.00000000
        PA
        USD
        2342284.58000000
        0.096185522339
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2036-01-15
          Floating
          1.64700000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Flagship Credit Auto Trust
        N/A
        Flagship Credit Auto Trust 2020-3
        33844TAE7
        
          
        
        2150000.00000000
        PA
        USD
        2091035.39000000
        0.085868016608
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2026-09-15
          Fixed
          1.73000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        New York Mercantile Exchange
        5493008GFNDTXFPHWI47
        NATURAL GAS FUTR  JUN23
        000000000
        
          
        
        250.00000000
        NC
        USD
        1311670.00000000
        0.053863507946
        N/A
        DCO
        
        US
        N
        
        1
        
          
            
              New York Mercantile Exchange
              5493008GFNDTXFPHWI47
            
            Long
            
              
                NYMEX Henry Hub Natural Gas Futures
                NGM23 COMDTY
              
            
            2023-05-26
            8530830.00000000
            USD
            1311670.00000000
          
        
        
          N
          N
          N
        
      
      
        Ventas Realty LP
        32SXKSJ72K64GM3HOU64
        Ventas Realty LP
        92277GAP2
        
          
        
        2800000.00000000
        PA
        USD
        2808460.87000000
        0.115328973284
        Long
        DBT
        
        US
        N
        
        2
        
          2024-04-15
          Fixed
          3.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        NATWEST MARKETS PLC
        RR3QWICWWIPCS8A4S074
        NatWest Markets PLC
        63906YAB4
        
          
        
        1000000.00000000
        PA
        USD
        941365.88000000
        0.038657031538
        Long
        DBT
        CORP
        GB
        N
        
        2
        
          2024-08-12
          Fixed
          0.80000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Goldman Sachs & Co. LLC
        FOR8UP27PHTHYVLBNG30
        Long: BDW9D6LU0 TRS USD R F  1.00000 BDW9D6LV8 COMMODITYTRS / Short: BDW9D6LU0 TRS USD P F   .10000 BDW9D6LW6 COMMODITYTRS
        000000000
        
          
        
        181081659.97000000
        OU
        Notional Amount
        USD
        -2838319.21000000
        -0.11655510099
        N/A
        DCO
        
        US
        N
        
        2
        
          
            
              Goldman Sachs & Co. LLC
              FOR8UP27PHTHYVLBNG30
            
            
              
                Bloomberg Commodity Index
                BCOM INDEX
              
            
            Y
            equity-performance leg
            
            2022-04-14
            0.00000000
            USD
            0.00000000
            USD
            181081659.97000000
            USD
            -2838319.21000000
          
        
        
          N
          N
          N
        
      
      
        SPIRIT LOYALTY KY LTD/IP
        N/A
        Spirit Loyalty Cayman Ltd / Spirit IP Cayman Ltd
        84859BAA9
        
          
        
        134639.00000000
        PA
        USD
        143390.54000000
        0.005888308408
        Long
        DBT
        CORP
        KY
        
        N
        
        2
        
          2025-09-20
          Fixed
          8.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Flagship Credit Auto Trust
        N/A
        Flagship Credit Auto Trust 2019-4
        33845FAE6
        
          
        
        165000.00000000
        PA
        USD
        164894.28000000
        0.006771355875
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2025-12-15
          Fixed
          2.77000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        NISSAN MOTOR ACCEPTANCE
        7D6DIU2QXTUJRFNNJA49
        Nissan Motor Acceptance Co LLC
        654740BD0
        
          
        
        4000000.00000000
        PA
        USD
        3999505.84000000
        0.164239034660
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2022-09-28
          Fixed
          2.60000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        PRIME HEALTHCARE SERVICE
        N/A
        Prime Healthcare Services Inc
        74165HAB4
        
          
        
        370000.00000000
        PA
        USD
        379246.30000000
        0.015573685525
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2025-11-01
          Fixed
          7.25000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        SANTANDER HOLDINGS USA
        549300SMVCQN2P0O6I58
        Santander Holdings USA Inc
        80282KAS5
        
          
        
        6150000.00000000
        PA
        USD
        6187038.99000000
        0.254069715554
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2023-01-18
          Fixed
          3.40000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        WORKDAY INC
        549300J0DYC0N31V7G13
        Workday Inc
        98138HAG6
        
          
        
        1430000.00000000
        PA
        USD
        1429627.97000000
        0.058707432145
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2027-04-01
          Fixed
          3.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        HYUNDAI CAPITAL SERVICES
        549300MALMDAGL2ZJJ27
        Hyundai Capital Services Inc
        44920UAM0
        
          
        
        2000000.00000000
        PA
        USD
        2022498.74000000
        0.083053570603
        Long
        DBT
        CORP
        KR
        N
        
        2
        
          2023-03-05
          Fixed
          3.75000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Royal Bank of Canada
        ES7IP3U3RHIGC71XBU11
        Long: BDW9D6RR1 TRS USD R F  1.00000 BDW9D6RS9 COMMODITYTRS / Short: BDW9D6RR1 TRS USD P F   .15000 BDW9D6RT7 COMMODITYTRS
        000000000
        
          
        
        68587131.59000000
        OU
        Notional Amount
        USD
        -528487.85000000
        -0.02170226467
        N/A
        DCO
        
        CA
        N
        
        2
        
          
            
              Royal Bank of Canada
              ES7IP3U3RHIGC71XBU11
            
            
              
                RBC Commodity Index Dynamic Commodity 03
                RBCADC03US Index
              
            
            Y
            equity-performance leg
            
            2022-04-14
            0.00000000
            USD
            0.00000000
            USD
            68587131.59000000
            USD
            -528487.85000000
          
        
        
          N
          N
          N
        
      
      
        PKHL Commercial Mortgage Trust
        N/A
        PKHL Commercial Mortgage Trust 2021-MF
        69356GAL3
        
          
        
        2363000.00000000
        PA
        USD
        2284942.78000000
        0.093830790966
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2038-07-15
          Floating
          2.39700000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Master Credit Card Trust
        549300G7G68IV2D8IM76
        Master Credit Card Trust II
        576339CP8
        
          
        
        875000.00000000
        PA
        USD
        845824.00000000
        0.034733620304
        Long
        ABS-O
        CORP
        CA
        N
        
        2
        
          2026-07-21
          Fixed
          2.27000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Barclays Bank PLC
        G5GSEF7VJP5I7OUK5573
        Long: BDW9D6M70 TRS USD R F  1.00000 BDW9D6M88 COMMODITYTRS / Short: BDW9D6M70 TRS USD P F   .28000 BDW9D6M96 COMMODITYTRS
        000000000
        
          
        
        7465000.00000000
        OU
        Notional Amount
        USD
        159736.82000000
        0.006559565647
        N/A
        DCO
        
        US
        N
        
        2
        
          
            
              Barclays Bank PLC
              G5GSEF7VJP5I7OUK5573
            
            
              
                Barclays Commodity Strategy 1673
                BXCS1673 index
              
            
            Y
            equity-performance leg
            
            2022-04-14
            0.00000000
            USD
            0.00000000
            USD
            7465000.00000000
            USD
            159736.82000000
          
        
        
          N
          N
          N
        
      
      
        SAUDI ARABIAN OIL CO
        5586006WD91QHB7J4X50
        Saudi Arabian Oil Co
        80414L2G9
        
          
        
        887000.00000000
        PA
        USD
        866212.27000000
        0.035570861183
        Long
        DBT
        CORP
        SA
        N
        
        2
        
          2023-11-24
          Fixed
          1.25000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase Bank, NA - CACLN
        N/A
        JPMorgan Chase Bank NA - CACLN
        46591HAR1
        
          
        
        428150.18000000
        PA
        USD
        428009.83000000
        0.017576151683
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2028-01-25
          Fixed
          3.71500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Canadian Imperial Bank of Commerce
        2IGI19DL77OX0HC3ZE78
        Long: BDW9D6LH9 TRS USD R F  1.00000 BDW9D6LJ5 COMMODITYTRS / Short: BDW9D6LH9 TRS USD P F   .13000 BDW9D6LK2 COMMODITYTRS
        000000000
        
          
        
        76328807.21000000
        OU
        Notional Amount
        USD
        -1196396.81000000
        -0.04912983378
        N/A
        DCO
        
        US
        N
        
        2
        
          
            
              Canadian Imperial Bank of Commerce
              2IGI19DL77OX0HC3ZE78
            
            
              
                Bloomberg Commodity Index
                BCOM INDEX
              
            
            Y
            equity-performance leg
            
            2022-04-14
            0.00000000
            USD
            0.00000000
            USD
            76328807.21000000
            USD
            -1196396.81000000
          
        
        
          N
          N
          N
        
      
      
        Hospitality Mortgage Trust
        N/A
        HPLY Trust 2019-HIT
        40443RAG6
        
          
        
        4557512.16000000
        PA
        USD
        4483592.96000000
        0.184117990827
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2036-11-15
          Floating
          1.74700000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MAGALLANES INC
        549300DXR29GD4N0A520
        Magallanes Inc
        55903VAC7
        
          
        
        1730000.00000000
        PA
        USD
        1739484.00000000
        0.071431617904
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2024-03-15
          Fixed
          3.42800000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        UBS Commercial Mortgage Trust
        N/A
        UBS Commercial Mortgage Trust 2017-C1
        90276EAF4
        
          
        
        28757782.87000000
        PA
        USD
        1792348.95000000
        0.073602508184
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2050-06-15
          Variable
          1.53100000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase Bank, NA - CACLN
        N/A
        JPMorgan Chase Bank NA - CACLN
        48128U2P3
        
          
        
        368696.28000000
        PA
        USD
        361594.16000000
        0.014848803365
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2028-12-26
          Fixed
          1.13800000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        COLT Funding LLC
        N/A
        COLT 2021-HX1 Mortgage Loan Trust
        19688KAB0
        
          
        
        1647730.55000000
        PA
        USD
        1533616.97000000
        0.062977722940
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2066-10-25
          Variable
          1.34800000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FIRST QUANTUM MINERALS L
        549300I7UVBGWRYMYZ18
        First Quantum Minerals Ltd
        335934AK1
        
          
        
        299000.00000000
        PA
        USD
        298479.74000000
        0.012257020323
        Long
        DBT
        CORP
        CA
        
        N
        
        2
        
          2023-04-01
          Fixed
          7.25000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MEGLOBAL CANADA ULC
        635400MHHHT7LMKMQL03
        MEGlobal Canada ULC
        58518N2B7
        
          
        
        2419000.00000000
        PA
        USD
        2493674.53000000
        0.102402325174
        Long
        DBT
        CORP
        CA
        
        N
        
        2
        
          2025-05-18
          Fixed
          5.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Goldman Sachs & Co. LLC
        FOR8UP27PHTHYVLBNG30
        Long: BDW9D6N04 TRS USD R F   .12000 BDW9D6N20 COMMODITYTRS / Short: BDW9D6N04 TRS USD P F  1.00000 BDW9D6N12 COMMODITYTRS
        000000000
        
          
        
        25737000.00000000
        OU
        Notional Amount
        USD
        1347104.69000000
        0.055318627531
        N/A
        DCO
        
        US
        N
        
        2
        
          
            
              Goldman Sachs & Co. LLC
              FOR8UP27PHTHYVLBNG30
            
            
              
                Bloomberg Platinum Subindex
                BCOMPL Index
              
            
            Y
            
            equity-performance leg
            2022-04-14
            0.00000000
            USD
            0.00000000
            USD
            25737000.00000000
            USD
            1347104.69000000
          
        
        
          N
          N
          N
        
      
      
        Glencore Funding LLC
        213800STG1QDNBY87K49
        Glencore Funding LLC
        378272AT5
        
          
        
        4640000.00000000
        PA
        USD
        4702685.66000000
        0.193114995704
        Long
        DBT
        CORP
        US
        
        N
        
        2
        
          2024-03-12
          Fixed
          4.12500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Wells Fargo Commercial Mortgage Trust
        N/A
        Wells Fargo Commercial Mortgage Trust 2015-C31
        94989WAT4
        
          
        
        153306.75000000
        PA
        USD
        154482.92000000
        0.006343815128
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2048-11-15
          Fixed
          3.48700000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Santander Consumer Auto Receivables Trust
        N/A
        Santander Consumer Auto Receivables Trust 2020-A
        80281MAB9
        
          
        
        1000000.00000000
        PA
        USD
        999076.00000000
        0.041026887909
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2025-12-15
          Fixed
          2.26000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Citigroup Commercial Mortgage Trust
        N/A
        Citigroup Commercial Mortgage Trust 2019-PRM
        29429JAG5
        
          
        
        1614506.00000000
        PA
        USD
        1596091.11000000
        0.065543212992
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2036-05-10
          Fixed
          3.89600000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase Bank, NA - CACLN
        N/A
        JPMorgan Chase Bank NA - CACLN
        46591HAY6
        
          
        
        560507.81000000
        PA
        USD
        553920.50000000
        0.022746652171
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2028-02-25
          Fixed
          1.48700000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Societe Generale SA
        O2RNE8IBXP4R0TD8PU41
        Long: BDW9D6SS8 TRS USD R F  1.00000 BDW9D6ST6 COMMODITYTRS / Short: BDW9D6SS8 TRS USD P F   .20000 BDW9D6SU3 COMMODITYTRS
        000000000
        
          
        
        43590000.00000000
        OU
        Notional Amount
        USD
        -90692.48000000
        -0.00372427143
        N/A
        DCO
        
        FR
        N
        
        2
        
          
            
              Societe Generale SA
              O2RNE8IBXP4R0TD8PU41
            
            
              
                SGIDTWTI
                SGIDTWTI INDEX
              
            
            Y
            equity-performance leg
            
            2022-04-14
            0.00000000
            USD
            0.00000000
            USD
            43590000.00000000
            USD
            -90692.48000000
          
        
        
          N
          N
          N
        
      
      
        United States Treasury
        254900HROIFWPRGM1V77
        United States Treasury Bill- When Issued
        912796R68
        
          
        
        75000000.00000000
        PA
        USD
        74883792.00000000
        3.075090324114
        Long
        STIV
        UST
        US
        N
        
        2
        
          2022-07-07
          None
          0.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FHLMC Multifamily Structured Pass Through Certs.
        S6XOOCT0IEG5ABCC6L87
        Freddie Mac Multifamily Structured Pass Through Certificates
        3137BSP98
        
          
        
        22940068.82000000
        PA
        USD
        786520.91000000
        0.032298348887
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2026-08-25
          Variable
          0.92000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CPS Auto Trust
        N/A
        CPS Auto Receivables Trust 2018-B
        12595PAE0
        
          
        
        3500000.00000000
        PA
        USD
        3542764.75000000
        0.145483038617
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2024-12-16
          Fixed
          5.61000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        ALEXANDER FUNDING TRUST
        N/A
        Alexander Funding Trust
        014621AA4
        
          
        
        2200000.00000000
        PA
        USD
        2132417.43000000
        0.087567363121
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2023-11-15
          Fixed
          1.84100000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Citigroup Commercial Mortgage Trust
        N/A
        Citigroup Commercial Mortgage Trust 2013-GC11
        17320DAQ1
        
          
        
        500000.00000000
        PA
        USD
        500714.30000000
        0.020561748516
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2046-04-10
          Variable
          3.73200000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MVW 2020-1 LLC
        N/A
        MVW 2020-1 LLC
        55400EAA7
        
          
        
        260369.68000000
        PA
        USD
        251355.03000000
        0.010321852032
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2037-10-20
          Fixed
          1.74000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Ecopetrol SA
        254900IDGKCJICKBPA66
        Ecopetrol SA
        279158AC3
        
          
        
        2000000.00000000
        PA
        USD
        2051000.00000000
        0.084223970051
        Long
        DBT
        CORP
        CO
        N
        
        2
        
          2023-09-18
          Fixed
          5.87500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Royal Bank of Canada
        ES7IP3U3RHIGC71XBU11
        Long: BDW9D6NC8 TRS USD R F  1.00000 BDW9D6ND6 COMMODITYTRS / Short: BDW9D6NC8 TRS USD P F   .35000 BDW9D6NE4 COMMODITYTRS
        000000000
        
          
        
        14813000.00000000
        OU
        Notional Amount
        USD
        133563.64000000
        0.005484768413
        N/A
        DCO
        
        CA
        N
        
        2
        
          
            
              Royal Bank of Canada
              ES7IP3U3RHIGC71XBU11
            
            
              
                RBC RBCAMSC4 Index
                RBCAMSC4 INDEX
              
            
            Y
            equity-performance leg
            
            2022-04-14
            0.00000000
            USD
            0.00000000
            USD
            14813000.00000000
            USD
            133563.64000000
          
        
        
          N
          N
          N
        
      
      
        Chicago Board of Trade
        549300EX04Q2QBFQTQ27
        CORN FUTURE OPTN DEC22C 800
        000000000
        
          
        
        -1000.00000000
        NC
        USD
        -2050000.00000000
        -0.08418290521
        N/A
        DCO
        
        US
        N
        
        1
        
          
            
              Chicago Board of Trade
              549300EX04Q2QBFQTQ27
            
            Call
            Written
            
              
                
                  
                    Chicago Board of Trade
                    549300EX04Q2QBFQTQ27
                  
                  
                    Chicago Board of Trade
                    549300EX04Q2QBFQTQ27
                    CBOT Corn Future
                    N/A
                    
                      
                    
                    1000.00000000
                    NC
                    N/A
                    -2050000.00000000
                    -0.08000000
                    DCO
                    
                    US
                  
                  Short
                  
                    
                      CBOT Corn
                      ZCZ2 Comdty
                    
                  
                  2022-12-14
                  1000.00000000
                  USD
                
              
            
            5000.00000000
            800.00000000
            USD
            2022-11-25
            XXXX
            -478195.00000000
          
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase Bank N.A.
        7H6GLXDRUGQFU57RNE97
        Long: BDW9EA5Z7 TRS USD R F  1.00000 BDW9EA603 COMMODITYTRS / Short: BDW9EA5Z7 TRS USD P F   .09000 BDW9EA611 COMMODITYTRS
        000000000
        
          
        
        67000000.00000000
        OU
        Notional Amount
        USD
        -607671.24000000
        -0.02495391726
        N/A
        DCO
        
        US
        N
        
        2
        
          
            
              JPMorgan Chase Bank N.A.
              7H6GLXDRUGQFU57RNE97
            
            
              
                Bloomberg Commodity Index
                BCOM INDEX
              
            
            Y
            equity-performance leg
            
            2022-04-14
            0.00000000
            USD
            0.00000000
            USD
            67000000.00000000
            USD
            -607671.24000000
          
        
        
          N
          N
          N
        
      
      
        STANDARD CHARTERED PLC
        U4LOSYZ7YG4W3S5F2G91
        Standard Chartered PLC
        853254CE8
        
          
        
        1010000.00000000
        PA
        USD
        959529.56000000
        0.039402920002
        Long
        DBT
        CORP
        GB
        N
        
        2
        
          2025-11-23
          Fixed
          1.82200000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        GOLDMAN SACHS GROUP INC
        784F5XWPLTWKTBV3E584
        Goldman Sachs Group Inc/The
        38141GZE7
        
          
        
        6000000.00000000
        PA
        USD
        5854966.32000000
        0.240433207210
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2023-12-06
          Fixed
          1.21700000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        United States Treasury
        254900HROIFWPRGM1V77
        United States Treasury Note/Bond
        9128286Y1
        
          
        
        50000000.00000000
        PA
        USD
        50125000.00000000
        2.058374694703
        Long
        DBT
        UST
        US
        N
        
        2
        
          2022-06-15
          Fixed
          1.75000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Credit Suisse Mortgage Trust
        N/A
        CSMC 2020-TMIC
        126390AA1
        
          
        
        1500000.00000000
        PA
        USD
        1493764.05000000
        0.061341169483
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2035-12-15
          Floating
          3.39700000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Hertz Vehicle Financing LLC
        549300MNOMKDMDFI8J66
        Hertz Vehicle Financing III LLC
        42806MAW9
        
          
        
        500000.00000000
        PA
        USD
        500488.30000000
        0.020552467864
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2025-03-25
          Fixed
          4.35000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        HSBC Holdings PLC
        MLU0ZO3ML4LN2LL2TL39
        HSBC Holdings PLC
        404280AP4
        
          
        
        5600000.00000000
        PA
        USD
        5681860.91000000
        0.233324662662
        Long
        DBT
        CORP
        GB
        N
        
        2
        
          2024-03-14
          Fixed
          4.25000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CANADIAN IMPERIAL BANK
        2IGI19DL77OX0HC3ZE78
        Canadian Imperial Bank of Commerce
        13607HVD1
        
          
        
        3900000.00000000
        PA
        USD
        3886623.00000000
        0.159603519821
        Long
        DBT
        CORP
        CA
        N
        
        2
        
          2023-06-22
          Floating
          0.61200000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        SOCIETE GENERALE
        O2RNE8IBXP4R0TD8PU41
        Societe Generale SA
        83368RAV4
        
          
        
        3705000.00000000
        PA
        USD
        3584011.97000000
        0.147176848769
        Long
        DBT
        CORP
        FR
        N
        
        2
        
          2025-01-22
          Fixed
          2.62500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Bayer US Finance II LLC
        529900XWNEXYNJ3X6T40
        Bayer US Finance II LLC
        07274NAE3
        
          
        
        1000000.00000000
        PA
        USD
        1010309.45000000
        0.041488187644
        Long
        DBT
        CORP
        US
        
        N
        
        2
        
          2023-12-15
          Fixed
          3.87500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        United States Treasury
        254900HROIFWPRGM1V77
        United States Treasury Note/Bond
        91282CBD2
        
          
        
        25000000.00000000
        PA
        USD
        24757812.50000000
        1.016675406408
        Long
        DBT
        UST
        US
        N
        
        2
        
          2022-12-31
          Fixed
          0.12500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CPS Auto Trust
        549300RMJRP95RN5CL91
        CPS Auto Receivables Trust 2019-B
        22412AAE3
        
          
        
        1660000.00000000
        PA
        USD
        1696077.11000000
        0.069649121266
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2025-03-17
          Fixed
          5.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        NOMURA HOLDINGS INC
        549300B3CEAHYG7K8164
        Nomura Holdings Inc
        65535HAP4
        
          
        
        2495000.00000000
        PA
        USD
        2426976.52000000
        0.099663382611
        Long
        DBT
        CORP
        JP
        N
        
        2
        
          2025-01-16
          Fixed
          2.64800000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Celanese US Holdings LLC
        CD30XVRLT4QO00B1C706
        Celanese US Holdings LLC
        15089QAJ3
        
          
        
        1010000.00000000
        PA
        USD
        1012595.70000000
        0.041582072116
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2024-05-08
          Fixed
          3.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BANCO SANTANDER MEXICO
        SCRYQ25DTVRHYYMM6P89
        Banco Santander Mexico SA Institucion de Banca Multiple Grupo Financiero Santand
        000000000
        
          
        
        1000000.00000000
        PA
        USD
        1006760.00000000
        0.041342430077
        Long
        DBT
        CORP
        MX
        N
        
        2
        
          2022-11-09
          Fixed
          4.12500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        EDISON INTERNATIONAL
        549300I7ROF15MAEVP56
        Edison International
        281020AP2
        
          
        
        2000000.00000000
        PA
        USD
        2010317.82000000
        0.082553363172
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2022-11-15
          Fixed
          3.12500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Tencent Holdings Ltd
        254900N4SLUMW4XUYY11
        Tencent Holdings Ltd
        88032WAL0
        
          
        
        6000000.00000000
        PA
        USD
        5965472.58000000
        0.244971128191
        Long
        DBT
        CORP
        KY
        
        N
        
        2
        
          2024-04-11
          Fixed
          3.28000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Flagship Credit Auto Trust
        N/A
        Flagship Credit Auto Trust 2020-1
        33843FAE8
        
          
        
        2240000.00000000
        PA
        USD
        2221429.06000000
        0.091222610736
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2026-01-15
          Fixed
          2.24000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        HYUNDAI CAPITAL AMERICA
        549300RIPPWJB5Z0FK07
        Hyundai Capital America
        44891ABM8
        
          
        
        4685000.00000000
        PA
        USD
        4557526.87000000
        0.187154074406
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2023-09-18
          Fixed
          1.25000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        VISTRA OPERATIONS CO LLC
        549300ZH5GKBTJZ7NM23
        Vistra Operations Co LLC
        92840VAD4
        
          
        
        3000000.00000000
        PA
        USD
        2971563.84000000
        0.122026769315
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2024-07-15
          Fixed
          3.55000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CPS Auto Trust
        N/A
        CPS Auto Receivables Trust 2020-B
        12656CAJ4
        
          
        
        1500000.00000000
        PA
        USD
        1580014.20000000
        0.064883017387
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2027-06-15
          Fixed
          7.38000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        GOLDMAN SACHS GROUP INC
        784F5XWPLTWKTBV3E584
        Goldman Sachs Group Inc/The
        38141GYL2
        
          
        
        3780000.00000000
        PA
        USD
        3663963.26000000
        0.150460035046
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2024-10-21
          Fixed
          0.92500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Verus Securitization Trust
        N/A
        Verus Securitization Trust 2020-INV1
        92537TAA3
        
          
        
        197311.03000000
        PA
        USD
        194407.54000000
        0.007983312933
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2060-03-25
          Variable
          1.97700000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Starwood Mortgage Residential Trust 2020-INV1
        N/A
        Starwood Mortgage Residential Trust 2020-INV
        85573EAC1
        
          
        
        630248.30000000
        PA
        USD
        616773.15000000
        0.025327685672
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2055-11-25
          Variable
          1.59300000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Verus Securitization Trust
        N/A
        Verus Securitization Trust 2020-2
        92537UAA0
        
          
        
        93852.43000000
        PA
        USD
        93144.84000000
        0.003824977188
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2060-05-25
          Variable
          2.22600000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Morgan Stanley & Co. LLC
        9R7GPTSO7KV3UQJZQ078
        Long: BDW9D6P93 TRS USD R F  1.00000 BDW9D6PA0 COMMODITYTRS / Short: BDW9D6P93 TRS USD P F   .45000 BDW9D6PB8 COMMODITYTRS
        000000000
        
          
        
        24990000.00000000
        OU
        Notional Amount
        USD
        -103026.52000000
        -0.00423076671
        N/A
        DCO
        
        US
        N
        
        2
        
          
            
              Morgan Stanley & Co. LLC
              9R7GPTSO7KV3UQJZQ078
            
            
              
                Morgan Stanley VB20
                MSCBVB20 INDEX
              
            
            Y
            equity-performance leg
            
            2022-04-14
            0.00000000
            USD
            0.00000000
            USD
            24990000.00000000
            USD
            -103026.52000000
          
        
        
          N
          N
          N
        
      
      
        Societe Generale SA
        O2RNE8IBXP4R0TD8PU41
        Long: BDW9D6T40 TRS USD R F  1.00000 BDW9D6T57 COMMODITYTRS / Short: BDW9D6T40 TRS USD P F   .16000 BDW9D6T65 COMMODITYTRS
        000000000
        
          
        
        43977039.74000000
        OU
        Notional Amount
        USD
        -311386.91000000
        -0.01278705108
        N/A
        DCO
        
        FR
        N
        
        2
        
          
            
              Societe Generale SA
              O2RNE8IBXP4R0TD8PU41
            
            
              
                Societe Generale M Po 3 U Index
                SGCOL45E INDEX
              
            
            Y
            equity-performance leg
            
            2022-04-14
            0.00000000
            USD
            0.00000000
            USD
            43977039.74000000
            USD
            -311386.91000000
          
        
        
          N
          N
          N
        
      
      
        General Motors
        N/A
        GMF Floorplan Owner Revolving Trust
        361886CP7
        
          
        
        700000.00000000
        PA
        USD
        678158.39000000
        0.027848460228
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2025-10-15
          Fixed
          1.31000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Seagate HDD Cayman
        529900BD50TRWEG1SF63
        Seagate HDD Cayman
        81180WAT8
        
          
        
        1940000.00000000
        PA
        USD
        1978800.00000000
        0.081259089194
        Long
        DBT
        CORP
        KY
        
        N
        
        2
        
          2024-03-01
          Fixed
          4.87500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BPCE SA
        9695005MSX1OYEMGDF46
        BPCE SA
        05578QAA1
        
          
        
        1645000.00000000
        PA
        USD
        1701611.80000000
        0.069876402380
        Long
        DBT
        CORP
        FR
        N
        
        2
        
          2023-10-22
          Fixed
          5.70000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        SPDR Bloomberg Short Term High Yield Bond ETF
        549300YI2V5ELVW58659
        SPDR Bloomberg Short Term High Yield Bond ETF
        78468R408
        
          
        
        450000.00000000
        NS
        USD
        11808000.00000000
        0.484893534066
        Long
        EC
        RF
        US
        N
        
        1
        
          N
          N
          
        
      
      
        BARCLAYS PLC
        213800LBQA1Y9L22JB70
        Barclays PLC
        06738EBQ7
        
          
        
        5000000.00000000
        PA
        USD
        4800349.10000000
        0.197125528442
        Long
        DBT
        CORP
        GB
        N
        
        2
        
          2024-12-10
          Fixed
          1.00700000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Flagship Credit Auto Trust
        N/A
        Flagship Credit Auto Trust 2020-4
        33845XAC1
        
          
        
        763000.00000000
        PA
        USD
        738127.19000000
        0.030311068915
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2027-02-16
          Fixed
          1.28000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BPCE SA
        9695005MSX1OYEMGDF46
        BPCE SA
        05583JAG7
        
          
        
        300000.00000000
        PA
        USD
        288992.62000000
        0.011867433335
        Long
        DBT
        CORP
        FR
        N
        
        2
        
          2025-01-14
          Fixed
          2.37500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Citigroup Inc
        6SHGI4ZSSLCXXQSBB395
        Citigroup Inc
        172967JT9
        
          
        
        5000000.00000000
        PA
        USD
        5143488.15000000
        0.211216475819
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2025-06-10
          Fixed
          4.40000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Synchrony Bank
        549300UATVPGSLE43Z27
        Synchrony Bank
        87166FAA1
        
          
        
        4310000.00000000
        PA
        USD
        4317328.29000000
        0.177290360116
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2022-06-15
          Fixed
          3.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Bluemountain CLO Ltd
        N/A
        BlueMountain Fuji US Clo II Ltd
        09629EAC5
        
          
        
        4000000.00000000
        PA
        USD
        3943988.00000000
        0.161959203898
        Long
        ABS-CBDO
        CORP
        KY
        N
        
        2
        
          2030-10-20
          Floating
          1.60400000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CREDIT SUISSE NEW YORK
        549300D0YARF5HYP1809
        Credit Suisse AG/New York NY
        22550L2D2
        
          
        
        4000000.00000000
        PA
        USD
        3939373.60000000
        0.161769714338
        Long
        DBT
        CORP
        CH
        N
        
        2
        
          2023-05-05
          Fixed
          1.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CPS Auto Trust
        54930087Z25SUMBR4I05
        CPS Auto Receivables Trust 2017-D
        12652BAD3
        
          
        
        182583.25000000
        PA
        USD
        182748.85000000
        0.007504550789
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2023-09-15
          Fixed
          3.73000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        ASB BANK LIMITED
        549300IBZWZL1KTPF918
        ASB Bank Ltd
        00216LAC7
        
          
        
        5290000.00000000
        PA
        USD
        5320830.07000000
        0.218498991938
        Long
        DBT
        CORP
        NZ
        N
        
        2
        
          2024-05-23
          Fixed
          3.12500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Wells Fargo Commercial Mortgage Trust
        549300FWFHJGIW2B2U59
        Wells Fargo Commercial Mortgage Trust 2016-C34
        95000DBB6
        
          
        
        326414.54000000
        PA
        USD
        324897.23000000
        0.013341850106
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2049-06-15
          Fixed
          2.60300000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MTRO Commercial Mortgage Trust
        N/A
        MTRO Commercial Mortgage Trust 2019-TECH
        55378MAG4
        
          
        
        2500000.00000000
        PA
        USD
        2424208.50000000
        0.099549714335
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2033-12-15
          Floating
          2.19700000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BX Trust
        N/A
        BXP Trust 2017-CQHP
        12433QAA2
        
          
        
        730000.00000000
        PA
        USD
        719412.15000000
        0.029542538945
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2034-11-15
          Floating
          1.24700000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        NUCOR CORP
        549300GGJCRSI2TIEJ46
        Nucor Corp
        670346AR6
        
          
        
        635000.00000000
        PA
        USD
        614669.93000000
        0.025241317296
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2025-06-01
          Fixed
          2.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        General Motors
        N/A
        GMF Floorplan Owner Revolving Trust
        361886BZ6
        
          
        
        510000.00000000
        PA
        USD
        510286.06000000
        0.020954811231
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2024-04-15
          Fixed
          2.70000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        United States Treasury
        254900HROIFWPRGM1V77
        United States Treasury Note/Bond
        912828ZF0
        
          
        
        25000000.00000000
        PA
        USD
        23551757.75000000
        0.967148970940
        Long
        DBT
        UST
        US
        N
        
        2
        
          2025-03-31
          Fixed
          0.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        EQUITABLE HOLDINGS INC
        549300FIBAKMNHPZ4009
        Equitable Holdings Inc
        054561AC9
        
          
        
        3038000.00000000
        PA
        USD
        3078821.64000000
        0.126431292833
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2023-04-20
          Fixed
          3.90000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Dell Equipment Finance Trust
        N/A
        Dell Equipment Finance Trust 2019-2
        24703KAE5
        
          
        
        1750000.00000000
        PA
        USD
        1751805.83000000
        0.071937611780
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2024-10-22
          Fixed
          2.18000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        DWS
        549300BLVWELXUBAZ487
        DWS ESG Liquidity Fund 'Capital Shares'
        461473845
        
          
        
        56968598.51200000
        NS
        USD
        56923023.63000000
        2.337534391740
        Long
        EC
        RF
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        CITIZENS FINANCIAL GROUP
        2138004JDDA4ZQUPFW65
        Citizens Financial Group Inc
        75524RAA7
        
          
        
        2000000.00000000
        PA
        USD
        2022165.98000000
        0.083039905869
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2022-09-28
          Fixed
          4.15000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BNP Paribas SA
        R0MUWSFPU8MPRO8K5P83
        Long: BDW9D6SM1 TRS USD R F  1.00000 BDW9D6SN9 COMMODITYTRS / Short: BDW9D6SM1 TRS USD P F   .12000 BDW9D6SP4 COMMODITYTRS
        000000000
        
          
        
        59236395.95000000
        OU
        Notional Amount
        USD
        639772.03000000
        0.026272130811
        N/A
        DCO
        
        US
        N
        
        2
        
          
            
              BNP Paribas SA
              R0MUWSFPU8MPRO8K5P83
            
            
              
                BNP Paribas 03 Alpha Index
                BNPIFMN3 Index
              
            
            Y
            equity-performance leg
            
            2022-04-14
            0.00000000
            USD
            0.00000000
            USD
            59236395.95000000
            USD
            639772.03000000
          
        
        
          N
          N
          N
        
      
      
        ING Groep NV
        549300NYKK9MWM7GGW15
        ING Groep NV
        456837AP8
        
          
        
        3950000.00000000
        PA
        USD
        3998960.45000000
        0.164216638312
        Long
        DBT
        CORP
        NL
        N
        
        2
        
          2024-04-09
          Fixed
          3.55000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Petroleos Mexicanos
        549300CAZKPF4HKMPX17
        Petroleos Mexicanos
        71654QBG6
        
          
        
        1000000.00000000
        PA
        USD
        1000250.00000000
        0.041075098022
        Long
        DBT
        CORP
        MX
        N
        
        2
        
          2023-01-30
          Fixed
          3.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Societe Generale SA
        O2RNE8IBXP4R0TD8PU41
        Long: BDW9D6SV1 TRS USD R F  1.00000 BDW9D6SW9 COMMODITYTRS / Short: BDW9D6SV1 TRS USD P F   .13000 BDW9D6SX7 COMMODITYTRS
        000000000
        
          
        
        44439823.67000000
        OU
        Notional Amount
        USD
        -495340.94000000
        -0.02034109239
        N/A
        DCO
        
        FR
        N
        
        2
        
          
            
              Societe Generale SA
              O2RNE8IBXP4R0TD8PU41
            
            
              
                Societe Generale Commodity Index
                SGCOM11S INDEX
              
            
            Y
            equity-performance leg
            
            2022-04-14
            0.00000000
            USD
            0.00000000
            USD
            44439823.67000000
            USD
            -495340.94000000
          
        
        
          N
          N
          N
        
      
      
        VMWARE INC
        549300BUDHS3LRWBE814
        VMware Inc
        928563AH8
        
          
        
        4270000.00000000
        PA
        USD
        4071268.65000000
        0.167185962384
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2024-08-15
          Fixed
          1.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        London Metal Exchange
        213800NB8G5VRT1DXC91
        LME PRI ALUM FUTR DEC23
        000000000
        
          
        
        300.00000000
        NC
        USD
        5008380.00000000
        0.205668282363
        N/A
        DCO
        
        GB
        N
        
        1
        
          
            
              London Metal Exchange
              213800NB8G5VRT1DXC91
            
            Long
            
              
                LME Primary Aluminum Future
                LAZ23 Comdty
              
            
            2023-12-18
            20095995.00000000
            USD
            5008380.00000000
          
        
        
          N
          N
          N
        
      
      
        PENSKE TRUCK LEASING/PTL
        N/A
        Penske Truck Leasing Co Lp / PTL Finance Corp
        709599BL7
        
          
        
        3155000.00000000
        PA
        USD
        2895691.43000000
        0.118911081559
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2025-11-15
          Fixed
          1.20000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Flagship Credit Auto Trust
        N/A
        Flagship Credit Auto Trust 2021-1
        33843WAE1
        
          
        
        700000.00000000
        PA
        USD
        665117.95000000
        0.027312956753
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2027-03-15
          Fixed
          0.91000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        AIRCASTLE LTD
        549300PNK8AKY3OIKP58
        Aircastle Ltd
        00928QAT8
        
          
        
        2000000.00000000
        PA
        USD
        2037451.48000000
        0.083667602356
        Long
        DBT
        CORP
        BM
        
        N
        
        2
        
          2025-08-11
          Fixed
          5.25000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Flagship Credit Auto Trust
        N/A
        Flagship Credit Auto Trust 2020-2
        33844QAE3
        
          
        
        500000.00000000
        PA
        USD
        504732.70000000
        0.020726763436
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2026-04-15
          Fixed
          3.80000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        United States Treasury
        254900HROIFWPRGM1V77
        United States Treasury Note/Bond
        912828ZM5
        
          
        
        10000000.00000000
        PA
        USD
        9998677.30000000
        0.410594001692
        Long
        DBT
        UST
        US
        N
        
        2
        
          2022-04-30
          Fixed
          0.12500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BX Trust
        N/A
        BXP Trust 2017-CQHP
        12433QAG9
        
          
        
        6210000.00000000
        PA
        USD
        6092421.10000000
        0.250184247814
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2034-11-15
          Floating
          1.49700000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Flagship Credit Auto Trust
        N/A
        Flagship Credit Auto Trust 2020-2
        33844QAC7
        
          
        
        3348000.00000000
        PA
        USD
        3355945.14000000
        0.137811322752
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2026-04-15
          Fixed
          2.61000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CBQ Finance Ltd
        213800FNEMX56U9OHK56
        CBQ Finance Ltd
        000000000
        
          
        
        3000000.00000000
        PA
        USD
        3078366.00000000
        0.126412582053
        Long
        DBT
        CORP
        BM
        
        N
        
        2
        
          2023-05-24
          Fixed
          5.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Barclays Bank PLC
        G5GSEF7VJP5I7OUK5573
        Long: BDW9D6LX4 TRS USD R F  1.00000 BDW9D6LY2 COMMODITYTRS / Short: BDW9D6LX4 TRS USD P F   .00000 BDW9D6LZ9 COMMODITYTRS
        000000000
        
          
        
        11612000.00000000
        OU
        Notional Amount
        USD
        211579.47000000
        0.008688475350
        N/A
        DCO
        
        US
        N
        
        2
        
          
            
              Barclays Bank PLC
              G5GSEF7VJP5I7OUK5573
            
            
              
                Barclays EFS Custom Commodity Basket 08 Index
                BEFSCB08 INDEX
              
            
            Y
            equity-performance leg
            equity-performance leg
            2022-04-14
            0.00000000
            USD
            0.00000000
            USD
            11612000.00000000
            USD
            211579.47000000
          
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase Bank N.A.
        7H6GLXDRUGQFU57RNE97
        Long: BDW9D6S41 TRS USD R F  1.00000 BDW9D6S58 COMMODITYTRS / Short: BDW9D6S41 TRS USD P F   .35000 BDW9D6S66 COMMODITYTRS
        000000000
        
          
        
        30087223.00000000
        OU
        Notional Amount
        USD
        153562.18000000
        0.006306005094
        N/A
        DCO
        
        US
        N
        
        2
        
          
            
              JPMorgan Chase Bank N.A.
              7H6GLXDRUGQFU57RNE97
            
            
              
                Citi Commodities Gold Call Ratio Index
                CICXGCCR Index
              
            
            Y
            equity-performance leg
            
            2022-04-14
            0.00000000
            USD
            0.00000000
            USD
            30087223.00000000
            USD
            153562.18000000
          
        
        
          N
          N
          N
        
      
      
        Goldman Sachs & Co. LLC
        FOR8UP27PHTHYVLBNG30
        Long: BDW9D6NS3 TRS USD R F  1.00000 BDW9D6NT1 COMMODITYTRS / Short: BDW9D6NS3 TRS USD P F   .35000 BDW9D6NU8 COMMODITYTRS
        000000000
        
          
        
        15557500.00000000
        OU
        Notional Amount
        USD
        634383.35000000
        0.026050845573
        N/A
        DCO
        
        US
        N
        
        2
        
          
            
              Goldman Sachs & Co. LLC
              FOR8UP27PHTHYVLBNG30
            
            
              
                Goldman Sachs Commodity Commitment of Traders Strategy COT3
                ABGSCOT3 INDEX
              
            
            Y
            equity-performance leg
            
            2022-04-14
            0.00000000
            USD
            0.00000000
            USD
            15557500.00000000
            USD
            634383.35000000
          
        
        
          N
          N
          N
        
      
      
        CREDICORP LTD
        529900UYAEYQCQ2BKB17
        Credicorp Ltd
        22530EAA0
        
          
        
        1000000.00000000
        PA
        USD
        962767.19000000
        0.039535872733
        Long
        DBT
        CORP
        BM
        
        N
        
        2
        
          2025-06-17
          Fixed
          2.75000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        SKOPOS AUTO RECEIVABLES TRUST
        N/A
        Skopos Auto Receivables Trust 2019-1
        83085DAC9
        
          
        
        795399.62000000
        PA
        USD
        798769.97000000
        0.032801354476
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2024-09-16
          Fixed
          3.63000000
          N
          N
          N
        
        
          N
          N
          N
        
      
    
    
      
    
    
      2022-04-28
      DEUTSCHE DWS SECURITIES TRUST
      Diane Kenneally
      Diane Kenneally
      Treasurer and Chief Financial Officer
    
  
  XXXX
Consolidated Investment Portfolio as of March 31, 2022 (Unaudited)
DWS Enhanced Commodity Strategy Fund
    Principal
Amount ($) 		Value ($)
Corporate Bonds 20.5%  
Communication Services 1.0%  
AT&T, Inc., 0.9%, 3/25/2024                       6,000,000     5,808,127
Baidu, Inc., 2.875%, 7/6/2022                       2,000,000     1,999,631
Charter Communications Operating LLC, 4.908%, 7/23/2025                       3,000,000     3,111,033
Empresa Nacional de Telecomunicaciones SA, 144A, 4.875%, 10/30/2024                       1,000,000     1,022,510
Kenbourne Invest SA, 144A, 6.875%, 11/26/2024                        425,000       416,916
Meituan, 144A, 2.125%, 10/28/2025                        720,000       639,763
Oztel Holdings SPC Ltd., 144A, 5.625%, 10/24/2023                       3,161,000     3,199,924
Sirius XM Radio, Inc., 144A, 3.125%, 9/1/2026                       1,080,000     1,021,111
Tencent Holdings Ltd., 144A, 3.28%, 4/11/2024                       6,000,000     5,965,473
Tencent Music Entertainment Group, 1.375%, 9/3/2025                       1,000,000       916,121
TripAdvisor, Inc., 144A, 7.0%, 7/15/2025   205,000 211,755
      24,312,364
Consumer Discretionary 2.4%  
7-Eleven, Inc., 144A, 0.8%, 2/10/2024   1,934,000 1,857,872
Aptiv PLC, 2.396%, 2/18/2025   2,780,000 2,708,052
Daimler Finance North America LLC:      
144A, 1.75%, 3/10/2023   5,000,000 4,975,764
144A, 3.35%, 2/22/2023   3,000,000 3,027,775
Ford Motor Credit Co. LLC, 3.375%, 11/13/2025   1,360,000 1,329,325
General Motors Financial Co., Inc., 3-month USD-LIBOR + 0.99%, 1.199% (a), 1/5/2023   7,000,000 6,986,208
Hyundai Capital America:      
144A, 1.0%, 9/17/2024   5,000,000 4,702,748
144A, 1.25%, 9/18/2023   4,685,000 4,557,527
144A, 2.375%, 2/10/2023   2,090,000 2,083,182
Hyundai Capital Services, Inc., 144A, 3.75%, 3/5/2023   2,000,000 2,022,499
Kia Corp.:      
144A, 1.0%, 4/16/2024   1,130,000 1,079,239
144A, 3.0%, 4/25/2023   4,000,000 4,012,041
Magallanes, Inc., 144A, 3.428%, 3/15/2024   1,730,000 1,739,484
Meritor, Inc., 144A, 6.25%, 6/1/2025   310,000 320,075
Nissan Motor Acceptance Co LLC, 144A, 2.6%, 9/28/2022   4,000,000 3,999,506
Picasso Finance Sub, Inc., 144A, 6.125%, 6/15/2025   467,000 474,589
Royal Caribbean Cruises Ltd., 144A, 5.5%, 8/31/2026   2,450,000 2,380,910
Volkswagen Group of America Finance LLC:      
144A, 0.75%, 11/23/2022   5,000,000 4,956,749
144A, 2.7%, 9/26/2022   4,160,000 4,176,860
      57,390,405
Consumer Staples 0.3%  
GSK Consumer Healthcare Capital UK PLC, 144A, 3.125%, 3/24/2025   4,000,000 3,987,554
JBS Finance Luxembourg Sarl, 144A, 2.5%, 1/15/2027   960,000 891,610
JDE Peet's NV, 144A, 0.8%, 9/24/2024   1,740,000 1,632,656
Mondelez International, Inc., 2.125%, 3/17/2024   1,360,000 1,350,004
      7,861,824
Energy 1.9%  
Antero Midstream Partners LP, 144A, 7.875%, 5/15/2026                       2,000,000     2,164,240
Bharat Petroleum Corp. Ltd., REG S, 4.625%, 10/25/2022                       1,830,000     1,846,470
Canadian Natural Resources Ltd., 3.8%, 4/15/2024                        750,000       760,541
CNOOC Curtis Funding No. 1 Pty Ltd., 144A, 4.5%, 10/3/2023                       1,000,000     1,021,845
Ecopetrol SA, 5.875%, 9/18/2023                       2,000,000     2,051,000
Energy Transfer LP:                                            
3.6%, 2/1/2023                       5,920,000     5,954,112
4.25%, 3/15/2023                       1,170,000     1,182,743
MarkWest Energy Partners LP, 4.875%, 6/1/2025                       3,500,000     3,555,743
MPLX LP:                                            
3.5%, 12/1/2022                        605,000       609,816
4.875%, 12/1/2024                       2,000,000     2,071,323
ONGC Videsh Ltd., REG S, 3.75%, 5/7/2023                       2,000,000     2,010,295
Pertamina Persero PT:      
144A, 4.3%, 5/20/2023   2,000,000 2,025,087
144A, 4.875%, 5/3/2022   1,000,000 1,000,266
Petroleos Mexicanos:      
3.5%, 1/30/2023   1,000,000 1,000,250
4.625%, 9/21/2023   1,000,000 1,011,220
4.875%, 1/18/2024   1,000,000 1,011,160
Petronas Capital Ltd., 144A, 7.875%, 5/22/2022   1,000,000 1,007,330
Phillips 66, 0.9%, 2/15/2024   2,020,000 1,954,757
Plains All American Pipeline LP, 3.85%, 10/15/2023   4,000,000 4,033,960
SA Global Sukuk Ltd., 144A, 0.946%, 6/17/2024   1,220,000 1,166,808
Saudi Arabian Oil Co., 144A, 1.25%, 11/24/2023   887,000 866,212
Sinopec Group Overseas Development, Ltd., 144A, 2.15%, 5/13/2025   2,500,000 2,419,654
Sunnova Energy Corp., 144A, 5.875%, 9/1/2026   1,180,000 1,129,118
Western Midstream Operating LP, 1.844% (a), 1/13/2023   2,000,000 1,980,000
Williams Companies, Inc., 4.55%, 6/24/2024   2,200,000 2,259,930
      46,093,880
Financials 8.7%  
AerCap Ireland Capital DAC:      
2.45%, 10/29/2026   2,110,000 1,951,649
4.875%, 1/16/2024   2,350,000 2,381,747
Aircastle Ltd.:      
4.4%, 9/25/2023   4,345,000 4,362,032
144A, 5.25%, 8/11/2025   2,000,000 2,037,451
Alfa SAB de CV, REG S, 5.25%, 3/25/2024   1,250,000 1,282,750
Ally Financial Inc., 1.45%, 10/2/2023   2,500,000 2,441,292
Ares Capital Corp., 3.5%, 2/10/2023   8,000,000 8,042,648
ASB Bank Ltd., 144A, 3.125%, 5/23/2024   5,290,000 5,320,830
Avolon Holdings Funding Ltd., 144A, 5.125%, 10/1/2023   1,675,000 1,704,501
Banco de Credito del Peru S.A.:      
REG S, 2.7%, 1/11/2025   1,000,000 973,400
144A, 4.25%, 4/1/2023   1,000,000 1,014,900
Banco Santander Mexico SA Institucion de Banca Multiple Grupo Financiero Santander, REG S, 4.125%, 11/9/2022   1,000,000 1,006,760
Banco Santander SA, 3.125%, 2/23/2023   4,600,000 4,633,079
Banco Votorantim SA, 144A, 4.375%, 7/29/2025   1,000,000 998,065
Bancolombia SA, 3.0%, 1/29/2025   3,104,000 3,019,261
Barclays PLC, 1.007%, 12/10/2024   5,000,000 4,800,349
BBVA Bancomer SA, 144A, 1.875%, 9/18/2025   2,139,000 2,038,467
BOC Aviation Ltd., 144A, 3.25%, 4/29/2025   1,500,000 1,476,645
BPCE SA:                                            
144A, 2.375%, 1/14/2025                        300,000       288,993
144A, 3.0%, 5/22/2022                       1,500,000     1,502,930
144A, 5.7%, 10/22/2023                       1,645,000     1,701,612
Canadian Imperial Bank of Commerce:                                            
SOFR + 0.34%, 0.612% (a), 6/22/2023                       3,900,000     3,886,623
0.95%, 6/23/2023                       4,800,000     4,710,314
CBQ Finance Ltd., REG S, 5.0%, 5/24/2023                       3,000,000     3,078,366
Citigroup, Inc., 4.4%, 6/10/2025                       5,000,000     5,143,488
Citizens Financial Group, Inc., 144A, 4.15%, 9/28/2022                       2,000,000     2,022,166
Corebridge Financial, Inc., 144A, 3.5%, 4/4/2025 (b)                       2,050,000     2,048,380
Credicorp Ltd., 144A, 2.75%, 6/17/2025                       1,000,000       962,767
Credit Agricole SA, 144A, 3.75%, 4/24/2023                       5,000,000     5,066,308
Credit Suisse AG, 1.0%, 5/5/2023                       4,000,000     3,939,374
Discover Bank, 3.35%, 2/6/2023   3,085,000 3,114,660
Equitable Holdings, Inc., 3.9%, 4/20/2023   3,038,000 3,078,822
Goldman Sachs Group, Inc.:      
0.925%, 10/21/2024   3,780,000 3,663,963
1.217%, 12/6/2023   6,000,000 5,854,966
HSBC Holdings PLC:      
3.6%, 5/25/2023   5,000,000 5,055,520
4.25%, 3/14/2024   5,600,000 5,681,861
ING Groep NV, 3.55%, 4/9/2024   3,950,000 3,998,960
Intercontinental Exchange, Inc., 3.45%, 9/21/2023   2,825,000 2,860,058
Intesa Sanpaolo SpA, 144A, 3.125%, 7/14/2022   4,455,000 4,461,630
JPMorgan Chase & Co., SOFR + 0.58%, 0.851% (a), 6/23/2025   6,000,000 5,940,060
Kookmin Bank, 144A, 1.75%, 5/4/2025   805,000 773,380
LD Holdings Group LLC, 144A, 6.5%, 11/1/2025   766,000 718,125
Lloyds Banking Group PLC, 1.326%, 6/15/2023   3,500,000 3,491,271
Macquarie Group Ltd., 144A, SOFR + 0.92%, 1.2% (a), 9/23/2027   6,000,000 5,910,795
Metropolitan Life Global Funding I, 144A, 1.95%, 1/13/2023   5,000,000 5,000,617
Mitsubishi UFJ Financial Group, Inc., 0.962%, 10/11/2025   3,200,000 3,016,162
Mizuho Financial Group, Inc., 1.241%, 7/10/2024   4,351,000 4,258,078
Morgan Stanley:      
0.731%, 4/5/2024   5,000,000 4,896,937
0.791%, 1/22/2025   6,000,000 5,759,804
National Bank of Canada, 2.1%, 2/1/2023   5,000,000 4,998,865
Nationwide Building Society, 144A, 3.622%, 4/26/2023   2,460,000 2,460,440
NatWest Markets PLC:      
144A, 0.8%, 8/12/2024   1,000,000 941,366
144A, SOFR + 1.662%, 1.932% (a), 9/29/2022   3,000,000 3,009,728
Nomura Holdings, Inc., 2.648%, 1/16/2025   2,495,000 2,426,977
Park Aerospace Holdings Ltd., 144A, 4.5%, 3/15/2023   2,450,000 2,467,416
REC Ltd., 144A, 4.75%, 5/19/2023   1,423,000 1,439,611
Samba Funding Ltd., REG S, 2.75%, 10/2/2024   1,000,000 987,500
Santander Holdings U.S.A., Inc., 3.4%, 1/18/2023   6,150,000 6,187,039
Societe Generale SA, 144A, 2.625%, 1/22/2025   3,705,000 3,584,012
Standard Chartered PLC:      
144A, 1.319%, 10/14/2023   2,500,000 2,476,446
144A, 1.822%, 11/23/2025   1,010,000 959,530
Sumitomo Mitsui Trust Bank Ltd., 144A, SOFR + 0.44%, 0.703% (a), 9/16/2024   2,240,000 2,230,099
Synchrony Bank, 3.0%, 6/15/2022   4,310,000 4,317,328
Synchrony Financial, 4.25%, 8/15/2024   1,000,000 1,013,951
Turkiye Vakiflar Bankasi TAO, REG S, 5.625%, 5/30/2022   1,000,000 999,800
UBS AG:      
144A, 0.375%, 6/1/2023   3,000,000 2,938,039
144A, SOFR + 0.32%, 0.544% (a), 6/1/2023   7,000,000 6,976,922
      211,787,885
Health Care 0.5%  
Bayer U.S. Finance II LLC, 144A, 3.875%, 12/15/2023                       1,000,000     1,010,310
Mylan, Inc., 4.2%, 11/29/2023                       5,500,000     5,589,534
Prime Healthcare Services, Inc., 144A, 7.25%, 11/1/2025                        370,000       379,246
Zimmer Biomet Holdings, Inc., 1.45%, 11/22/2024                       4,720,000     4,526,746
      11,505,836
Industrials 0.8%  
Boeing Co., 1.95%, 2/1/2024                       2,000,000     1,955,394
Bombardier, Inc., 144A, 7.125%, 6/15/2026                       2,000,000     1,960,000
Delta Air Lines, Inc., 144A, 4.5%, 10/20/2025                        520,000       523,021
Global Payments, Inc., 1.5%, 11/15/2024                       4,290,000     4,101,406
Hillenbrand, Inc., 5.75%, 6/15/2025                       1,120,000     1,148,000
Nielsen Finance LLC, 144A, 5.625%, 10/1/2028                       1,235,000     1,243,892
Penske Truck Leasing Co. LP, 144A, 1.2%, 11/15/2025                       3,155,000     2,895,691
Prime Security Services Borrower LLC, 144A, 5.25%, 4/15/2024   2,065,000 2,114,230
Southwest Airlines Co., 4.75%, 5/4/2023   2,305,000 2,352,994
Spirit Loyalty Cayman Ltd., 144A, 8.0%, 9/20/2025   134,639 143,391
Transnet SOC Ltd., 144A, 4.0%, 7/26/2022   2,000,000 1,967,800
WESCO Distribution, Inc., 144A, 7.125%, 6/15/2025   375,000 390,120
      20,795,939
Information Technology 1.3%  
DXC Technology Co., 1.8%, 9/15/2026   4,520,000 4,143,300
HP, Inc., 2.2%, 6/17/2025   4,190,000 4,040,954
Microchip Technology, Inc.:      
0.972%, 2/15/2024   4,000,000 3,833,602
144A, 0.983%, 9/1/2024   1,570,000 1,486,430
2.67%, 9/1/2023   1,250,000 1,245,813
4.25%, 9/1/2025   170,000 172,029
NXP BV, 144A, 4.625%, 6/1/2023   5,961,000 6,053,589
Qorvo, Inc., 144A, 1.75%, 12/15/2024   2,500,000 2,384,675
Seagate HDD Cayman, 4.875%, 3/1/2024   1,940,000 1,978,800
VMware, Inc., 1.0%, 8/15/2024   4,270,000 4,071,269
Workday, Inc., 3.5%, 4/1/2027 (b)   1,430,000 1,429,628
Xerox Holdings Corp., 144A, 5.0%, 8/15/2025   1,990,000 2,012,388
      32,852,477
Materials 1.0%  
Bluestar Finance Holdings Ltd., REG S, 3.375%, 7/16/2024   1,000,000 992,981
Celanese U.S. Holdings LLC, 3.5%, 5/8/2024   1,010,000 1,012,596
CNAC HK Finbridge Co., Ltd., REG S, 3.375%, 6/19/2024   1,000,000 995,763
First Quantum Minerals Ltd., 144A, 7.25%, 4/1/2023   299,000 298,480
Glencore Funding LLC:      
144A, 1.625%, 9/1/2025   1,385,000 1,295,007
144A, 4.125%, 3/12/2024   4,640,000 4,702,686
Indonesia Asahan Aluminium Persero PT:      
144A, 4.75%, 5/15/2025   1,500,000 1,528,500
REG S, 4.75%, 5/15/2025   500,000 509,500
LYB International Finance III LLC, 1.25%, 10/1/2025   1,962,000 1,816,007
MEGlobal Canada ULC, 144A, 5.0%, 5/18/2025   2,419,000 2,493,674
NOVA Chemicals Corp., 144A, 4.875%, 6/1/2024   1,510,000 1,526,980
Nucor Corp., 2.0%, 6/1/2025   635,000 614,670
POSCO Holdings, Inc., 144A, 4.0%, 8/1/2023   2,000,000 2,027,720
The Mosaic Co., 3.25%, 11/15/2022   4,190,000 4,218,263
      24,032,827
Real Estate 0.4%  
Equinix, Inc., (REIT), 1.25%, 7/15/2025                        690,000       643,279
iStar, Inc., (REIT), 4.25%, 8/1/2025                        450,000       442,687
MGM Growth Properties Operating Partnership LP, 144A, (REIT), 4.625%, 6/15/2025                        330,000       332,475
Office Properties Income Trust, (REIT), 2.65%, 6/15/2026                       1,340,000     1,225,288
RLJ Lodging Trust LP, 144A, (REIT), 3.75%, 7/1/2026                        240,000       228,000
Starwood Property Trust, Inc., 144A, (REIT), 3.625%, 7/15/2026                       1,000,000       954,870
Trust Fibra Uno:                                            
144A, (REIT), 5.25%, 12/15/2024                       1,000,000     1,028,010
REG S, (REIT), 5.25%, 12/15/2024                       1,000,000     1,028,010
Ventas Realty LP, (REIT), 3.5%, 4/15/2024                       2,800,000     2,808,461
VICI Properties LP, 144A, (REIT), 3.5%, 2/15/2025                        140,000       137,935
      8,829,015
Utilities 2.2%  
Alexander Funding Trust, 144A, 1.841%, 11/15/2023   2,200,000 2,132,417
American Electric Power Co., Inc., 0.75%, 11/1/2023   2,255,000 2,184,784
CenterPoint Energy, Inc., SOFR + 0.65%, 0.837% (a), 5/13/2024   3,270,000 3,244,535
Dominion Energy, Inc., 3.071%, 8/15/2024   3,159,000 3,152,492
Duke Energy Corp., SOFR + 0.25%, 0.501% (a), 6/10/2023   4,720,000 4,705,850
Edison International, 3.125%, 11/15/2022   2,000,000 2,010,318
Korea East-West Power Co., Ltd.:      
144A, 1.75%, 5/6/2025   940,000 900,464
144A, 2.625%, 6/19/2022   4,740,000 4,741,659
NextEra Energy Capital Holdings Inc., 0.65%, 3/1/2023   5,000,000 4,928,171
NextEra Energy Operating Partners LP, 144A, 4.25%, 7/15/2024   1,330,000 1,345,953
Pacific Gas and Electric Co.:      
1.7%, 11/15/2023   1,620,000 1,579,083
1.75%, 6/16/2022   9,000,000 8,989,780
Southern California Edison Co.:      
SOFR + 0.35%, 0.605% (a), 6/13/2022   6,210,000 6,208,615
0.7%, 8/1/2023   3,850,000 3,750,082
State Grid Overseas Investment, Ltd., 144A, 2.75%, 5/4/2022   1,500,000 1,500,315
Vistra Operations Co. LLC, 144A, 3.55%, 7/15/2024   3,000,000 2,971,564
      54,346,082
Total Corporate Bonds (Cost $508,275,612) 499,808,534
Asset-Backed 5.3%
Automobile Receivables 2.3%  
AmeriCredit Automobile Receivables Trust:      
“C”, Series 2020-2, 1.48%, 2/18/2026   1,100,000 1,073,553
“C”, Series 2019-2, 2.74%, 4/18/2025   2,760,000 2,770,682
Avis Budget Rental Car Funding AESOP LLC, “B”, Series 2017-2A, 144A, 3.33%, 3/20/2024   720,000 721,376
Canadian Pacer Auto Receivables Trust, “B”, Series 2018-2A, 144A, 3.63%, 1/19/2024   1,500,000 1,501,336
CarMax Auto Owner Trust, “C”, Series 2020-3, 1.69%, 4/15/2026   750,000 731,782
CPS Auto Receivables Trust:      
“C”, Series 2022-A, 144A, 2.17%, 4/16/2029   1,668,000 1,604,561
“D”, Series 2017-D, 144A, 3.73%, 9/15/2023   182,583 182,749
“E”, Series 2019-B, 144A, 5.0%, 3/17/2025   1,660,000 1,696,077
“E”, Series 2018-B, 144A, 5.61%, 12/16/2024   3,500,000 3,542,765
“E”, Series 2019-A, 144A, 5.81%, 3/16/2026   2,705,000 2,778,914
“E”, Series 2018-D, 144A, 5.82%, 6/16/2025   2,500,000 2,545,846
“E”, Series 2020-B, 144A, 7.38%, 6/15/2027   1,500,000 1,580,014
Flagship Credit Auto Trust:                                            
“C”, Series 2021-1, 144A, 0.91%, 3/15/2027                        700,000       665,118
“C”, Series 2020-4, 144A, 1.28%, 2/16/2027                        763,000       738,127
“C”, Series 2020-3, 144A, 1.73%, 9/15/2026                       2,150,000     2,091,035
“C”, Series 2020-1, 144A, 2.24%, 1/15/2026                       2,240,000     2,221,429
“B”, Series 2020-2, 144A, 2.61%, 4/15/2026                       3,348,000     3,355,945
“C”, Series 2019-3, 144A, 2.74%, 10/15/2025                       3,000,000     3,006,038
“C”, Series 2019-4, 144A, 2.77%, 12/15/2025                        165,000       164,894
“C”, Series 2020-2, 144A, 3.8%, 4/15/2026                        500,000       504,733
Foursight Capital Automobile Receivables Trust, “B”, Series 2020-1, 144A, 2.27%, 2/18/2025                       1,250,000     1,250,438
GMF Floorplan Owner Revolving Trust:                                            
“C”, Series 2020-2, 144A, 1.31%, 10/15/2025                        700,000       678,158
“A”, Series 2019-1, 144A, 2.7%, 4/15/2024                        510,000       510,286
Hertz Vehicle Financing LLC:                                            
“B”, Series 2021-1A, 144A, 1.56%, 12/26/2025   1,000,000 947,283
“C”, Series 2021-1A, 144A, 2.05%, 12/26/2025   2,500,000 2,354,101
“C”, Series 2022-3A, 4.35%, 3/25/2025   500,000 500,488
JPMorgan Chase Bank NA:      
“C”, Series 2021-3, 144A, 0.86%, 2/26/2029   1,855,768 1,801,931
“D”, Series 2021-3, 144A, 1.009%, 2/26/2029   454,474 440,791
“C”, Series 2021-1, 144A, 1.024%, 9/25/2028   787,719 773,536
“D”, Series 2021-2, 144A, 1.138%, 12/26/2028   368,696 361,594
“D”, Series 2020-2, 144A, 1.487%, 2/25/2028   560,508 553,921
“E”, Series 2021-2, 144A, 2.28%, 12/26/2028   645,219 633,249
“E”, Series 2021-1, 144A, 2.365%, 9/25/2028   417,176 409,956
“E”, Series 2020-2, 144A, 3.072%, 2/25/2028   934,498 928,683
“E”, Series 2020-1, 144A, 3.715%, 1/25/2028   428,150 428,010
Santander Bank NA:      
“B”, Series 2021-1A, 144A, 1.833%, 12/15/2031   861,320 845,966
“C”, Series 2021-1A, 144A, 3.268%, 12/15/2031   581,391 571,486
Santander Consumer Auto Receivables Trust:      
“B”, Series 2021-CA, 144A, 1.44%, 4/17/2028   310,668 309,734
“B”, Series 2021-BA, 144A, 1.45%, 10/16/2028   272,678 271,171
“B”, Series 2020-AA, 144A, 2.26%, 12/15/2025   1,000,000 999,076
Santander Drive Auto Receivables Trust:      
“C”, Series 2020-4, 1.01%, 1/15/2026   1,195,000 1,181,438
“C”, Series 2020-2, 1.46%, 9/15/2025   1,750,000 1,744,446
“C”, Series 2022-1, 2.56%, 4/17/2028   1,200,000 1,173,419
Skopos Auto Receivables Trust, “C”, Series 2019-1A, 144A, 3.63%, 9/16/2024   795,400 798,770
Tesla Auto Lease Trust, “C”, Series 2020-A, 144A, 1.68%, 2/20/2024   1,000,000 992,602
World Omni Select Auto Trust, “C”, Series 2019-A, 2.38%, 12/15/2025   1,500,000 1,493,462
      56,430,969
Credit Card Receivables 0.6%  
Brex, Inc., “A”, Series 2022-1, 4.63%, 7/15/2025   2,000,000 1,996,962
Continental Finance Credit Card ABS Master Trust, “A”, Series 2021-A, 144A, 2.55%, 12/17/2029   3,000,000 2,875,459
Evergreen Credit Card Trust, “C”, Series 2019-2, 144A, 2.62%, 9/15/2024   1,000,000 1,003,285
Genesis Sales Finance Master Trust:      
“A”, Series 2021-AA, 144A, 1.2%, 12/21/2026   1,750,000 1,674,554
“A”, Series 2020-AA, 144A, 1.65%, 9/22/2025   500,000 494,556
Master Credit Card Trust II, “C”, Series 2022-1A, 144A, 2.27%, 7/21/2026   875,000 845,824
Mercury Financial Credit Card Master Trust:      
“A”, Series 2021-1A, 144A, 1.54%, 3/20/2026   3,500,000 3,396,318
“A”, Series 2022-1A, 144A, 2.5%, 9/21/2026   2,500,000 2,412,172
      14,699,130
Miscellaneous 2.4%  
Babson CLO Ltd., “BR”, Series 2015-IA, 144A, 3-month USD-LIBOR + 1.4%, 1.654% (a), 1/20/2031                       2,000,000     1,975,842
BlueMountain Fuji U.S. CLO II Ltd., “A1B”, Series 2017-2A, 144A, 3-month USD-LIBOR + 1.35%, 1.604% (a), 10/20/2030                       4,000,000     3,943,988
CF Hippolyta LLC:                                            
“B1”, Series 2021-1A, 144A, 1.98%, 3/15/2061                       2,816,356     2,590,949
“B1”, Series 2020-1, 144A, 2.28%, 7/15/2060                       3,835,431     3,617,188
DB Master Finance LLC, “A2II”, Series 2019-1A, 144A, 4.021%, 5/20/2049                       2,437,500     2,442,217
Dell Equipment Finance Trust, “C”, Series 2019-2, 144A, 2.18%, 10/22/2024                       1,750,000     1,751,806
Domino's Pizza Master Issuer LLC, “A2I”, Series 2018-1A, 144A, 4.116%, 7/25/2048                       3,870,000     3,888,228
Hilton Grand Vacations Trust, “A”, Series 2019-AA, 144A, 2.34%, 7/25/2033                        432,124       422,363
HPEFS Equipment Trust:                                            
“C”, Series 2020-2A, 144A, 2.0%, 7/22/2030                       1,890,000     1,880,998
“C”, Series 2019-1A, 144A, 2.49%, 9/20/2029                        914,561       916,294
Madison Park Funding XXIX Ltd., “A2”, Series 2018-29A, 144A, 3-month USD-LIBOR + 1.45%, 1.691% (a), 10/18/2030                       2,500,000     2,494,730
Madison Park Funding XXVI Ltd., “AR”, Series 2007-4A, 144A, 3-month USD-LIBOR + 1.2%, 1.499% (a), 7/29/2030   3,646,000 3,633,341
MVW LLC:      
“B”, Series 2021-1WA, 144A, 1.44%, 1/22/2041   390,251 368,196
“A”, Series 2020-1A, 144A, 1.74%, 10/20/2037   260,370 251,355
“B”, Series 2019-2A, 144A, 2.44%, 10/20/2038   706,135 683,542
“B”, Series 2020-1A, 144A, 2.73%, 10/20/2037   260,370 254,387
MVW Owner Trust, “A”, Series 2019-1A, 144A, 2.89%, 11/20/2036   904,490 892,934
Neuberger Berman Loan Advisers CLO Ltd.:      
“B”, Series 2018-27A, 144A, 3-month USD-LIBOR + 1.4%, 1.641% (a), 1/15/2030   5,250,000 5,207,312
“A2”, Series 2018-29A, 144A, 3-month USD-LIBOR + 1.4%, 1.648% (a), 10/19/2031   3,000,000 2,983,380
New Economy Assets Phase 1 Sponsor LLC, “B1”, Series 2021-1, 144A, 2.41%, 10/20/2061   1,125,000 1,061,363
NRZ Excess Spread-Collateralized Notes:      
“A”, Series 2021-GNT1, 144A, 3.474%, 11/25/2026   1,808,997 1,738,244
“A”, Series 2020-PLS1, 144A, 3.844%, 12/25/2025   651,364 633,991
Progress Residential Trust, “E”, Series 2020-SFR2, 5.115%, 6/17/2037   500,000 499,091
Sierra Timeshare Receivables Funding LLC, “B”, Series 2020-2A, 144A, 2.32%, 7/20/2037   560,787 545,270
Transportation Finance Equipment Trust, “C”, Series 2019-1, 144A, 2.19%, 8/23/2024   1,250,000 1,238,812
Venture XXX CLO Ltd., “A2”, Series 2017-30A, 144A, 3-month USD-LIBOR + 1.35%, 1.591% (a), 1/15/2031   10,000,000 9,900,640
Voya CLO Ltd., “A1RR”, Series 2014-2A, 144A, 3-month USD-LIBOR + 1.02%, 1.261% (a), 4/17/2030   2,981,211 2,965,843
      58,782,304
Total Asset-Backed (Cost $132,156,983) 129,912,403
Commercial Mortgage-Backed Securities 3.6%  
Atrium Hotel Portfolio Trust, “B”, Series 2018-ATRM, 144A, 1-month USD-LIBOR + 1.43%, 1.827% (a), 6/15/2035   6,000,000 5,879,260
BAMLL Commercial Mortgage Securities Trust:      
“A”, Series 2018-DSNY, 144A, 1-month USD-LIBOR + 0.85%, 1.247% (a), 9/15/2034   950,000 938,048
“B”, Series 2018-DSNY, 144A, 1-month USD-LIBOR + 1.15%, 1.547% (a), 9/15/2034   9,200,000 9,038,046
“C”, Series 2018-DSNY, 144A, 1-month USD-LIBOR + 1.35%, 1.747% (a), 9/15/2034   130,000 127,058
BFLD TRUST, “B”, Series 2019-DPLO, 144A, 1-month USD-LIBOR + 1.34%, 1.737% (a), 10/15/2034   1,500,000 1,485,852
BPR Trust:                                            
“B”, Series 2021-TY, 144A, 1-month USD-LIBOR + 1.15%, 1.547% (a), 9/15/2038                        506,000       494,595
“C”, Series 2021-TY, 144A, 1-month USD-LIBOR + 1.7%, 2.097% (a), 9/15/2038                        340,000       332,338
“C”, Series 2021-KEN, 144A, 1-month USD-LIBOR + 2.55%, 2.947% (a), 2/15/2029                       1,431,100     1,422,782
BX Commercial Mortgage Trust:                                            
“B”, Series 2019-IMC, 144A, 1-month USD-LIBOR + 1.3%, 1.697% (a), 4/15/2034                       6,500,000     6,394,542
“D”, Series 2020-VKNG, 144A, 1-month USD-LIBOR + 1.7%, 2.097% (a), 10/15/2037                       1,579,062     1,539,413
BX Trust, “D”, Series 2021-ARIA, 144A, 1-month USD-LIBOR + 1.895%, 2.292% (a), 10/15/2036                       1,725,000     1,686,016
BXP Trust:                                            
“A”, Series 2017-CQHP, 144A, 1-month USD-LIBOR + 0.85%, 1.247% (a), 11/15/2034                        730,000       719,412
“B”, Series 2017-CQHP, 144A, 1-month USD-LIBOR + 1.1%, 1.497% (a), 11/15/2034                       6,210,000     6,092,421
CHT Mortgage Trust, “A”, Series 2017-CSMO, 144A, 1-month USD-LIBOR + 0.93%, 1.327% (a), 11/15/2036                       1,800,000     1,793,239
Citigroup Commercial Mortgage Trust:                                            
“AS”, Series 2013-GC11, 3.422%, 4/10/2046                       1,500,000     1,503,459
“B”, Series 2013-GC11, 3.732%, 4/10/2046   500,000 500,714
“C”, Series 2019-PRM, 144A, 3.896%, 5/10/2036   1,614,506 1,596,091
COMM Mortgage Trust:      
“AM”, Series 2013-CR6, 144A, 3.147%, 3/10/2046   2,200,000 2,192,233
“AM”, Series 2013-LC6, 3.282%, 1/10/2046   2,500,000 2,504,774
“B”, Series 2013-CR6, 144A, 3.397%, 3/10/2046   4,238,720 4,217,264
Credit Suisse Mortgage Trust:      
“B”, Series 2020-FACT, 144A, 1-month USD-LIBOR + 2.0%, 2.397% (a), 10/15/2037   2,756,000 2,747,355
“A”, Series 2020-TMIC, 144A, 1-month USD-LIBOR + 3.0%, 3.397% (a), 12/15/2035   1,500,000 1,493,764
“C”, Series 2020-NET, 144A, 3.526%, 8/15/2037   1,000,000 963,000
CSAIL Commercial Mortgage Trust, “AS”, Series 2016-C6, 3.346%, 1/15/2049   1,000,000 975,386
FHLMC Multifamily Structured Pass-Through Certificates:      
“X1”, Series K058, Interest Only , 0.92% (a), 8/25/2026   22,940,069 786,521
“X1”, Series K722, Interest Only , 1.32% (a), 3/25/2023   11,376,611 91,875
Hilton Orlando Trust, “A”, Series 2021-ORL, 144A, 1-month USD-LIBOR + 0.92%, 1.317% (a), 12/15/2034   3,500,000 3,455,955
Hospitality Mortgage Trust, “B”, Series 2019-HIT, 144A, 1-month USD-LIBOR + 1.35%, 1.747% (a), 11/15/2036   4,557,512 4,483,593
IMT Trust, “BFL”, Series 2017-APTS, 144A, 1-month USD-LIBOR + 0.95%, 1.347% (a), 6/15/2034   5,632,899 5,579,261
InTown Hotel Portfolio Trust, “C”, Series 2018-STAY, 144A, 1-month USD-LIBOR + 1.65%, 2.047% (a), 1/15/2033   2,200,000 2,189,478
JPMDB Commercial Mortgage Securities Trust, “AS”, Series 2016-C4, 3.385%, 12/15/2049   1,000,000 980,384
KKR Industrial Portfolio Trust, “E”, Series 2021-KDIP, 144A, 1-month USD-LIBOR + 1.55%, 1.947% (a), 12/15/2037   468,750 456,410
Morgan Stanley Capital I Trust, “B”, Series 2018-SUN, 144A, 1-month USD-LIBOR + 1.2%, 1.597% (a), 7/15/2035   2,353,200 2,317,700
MTRO Commercial Mortgage Trust, “D”, Series 2019-TECH, 144A, 1-month USD-LIBOR + 1.8%, 2.197% (a), 12/15/2033   2,500,000 2,424,209
Natixis Commercial Mortgage Securities Trust, “C”, Series 2018-285M, 144A, 3.79% (a), 11/15/2032   2,000,000 1,992,053
One New York Plaza Trust, “AJ”, Series 2020-1NYP, 144A, 1-month USD-LIBOR + 1.25%, 1.647% (a), 1/15/2036   2,378,000 2,342,285
PKHL Commercial Mortgage Trust, “D”, Series 2021-MF, 144A, 1-month USD-LIBOR + 2.0%, 2.397% (a), 7/15/2038   2,363,000 2,284,943
STWD Mortgage Trust, “B”, Series 2021-LIH, 144A, 1-month USD-LIBOR + 1.656%, 2.053% (a), 11/15/2036   500,000 492,403
UBS Commercial Mortgage Trust, “XA”, Series 2017-C1, Interest Only , 1.531% (a), 6/15/2050                     28,757,783     1,792,349
Wells Fargo Commercial Mortgage Trust:                                            
“A2”, Series 2016-C34, 2.603%, 6/15/2049                        326,414       324,897
“ASB”, Series 2015-C31, 3.487%, 11/15/2048                        153,307       154,483
Total Commercial Mortgage-Backed Securities (Cost $89,130,722) 88,785,861
Collateralized Mortgage Obligations 1.1%
Barclays Mortgage Loan Trust, “A2”, Series 2021-NQM1, 144A, 1.984%, 9/25/2051                       1,688,183     1,625,111
COLT Funding LLC, “A2”, Series 2021-3R, 144A, 1.257%, 12/25/2064                        409,530       400,982
COLT Mortgage Loan Trust:                                            
“A1”, Series 2021-2R, 144A, 0.798%, 7/27/2054                        340,800       339,002
“A2”, Series 2021-1, 144A, 1.167%, 6/25/2066                        778,681       714,634
“A3”, Series 2021-2, 144A, 1.335%, 8/25/2066                       2,303,811     2,131,969
“A2”, Series 2021-HX1, 144A, 1.348%, 10/25/2066                       1,647,731     1,533,617
Connecticut Avenue Securities Trust, “1M2”, Series 2021-R03, 144A, 30-day average SOFR + 1.65%, 1.749% (a), 12/25/2041   500,000 473,282
Ellington Financial Mortgage Trust, “A2”, Series 2021-3, 144A, 1.396%, 9/25/2066   2,886,686 2,635,624
Federal National Mortgage Association, “FB”, Series 1996-44, 1-month USD-LIBOR + 0.8%, 0.987% (a), 9/25/2023   3,349 3,349
Freddie Mac Structured Agency Credit Risk Debt Notes, “M2”, Series 2021-DNA7, 144A, 30-day average SOFR + 1.8%, 1.899% (a), 11/25/2041   1,200,000 1,141,317
FWD Securitization Trust:      
“A1”, Series 2020-INV1, 144A, 2.24%, 1/25/2050   878,442 867,470
“A1”, Series 2019-INV1, 144A, 2.81%, 6/25/2049   574,726 572,973
GCAT Trust, “A2”, Series 2021-NQM2, 144A, 1.242%, 5/25/2066   919,350 871,113
GS Mortgage-Backed Securities Trust, “A2”, Series 2020-NQM1, 144A, 1.791%, 9/27/2060   178,248 174,366
Imperial Fund Mortgage Trust:      
“A2”, Series 2021-NQM1, 144A, 1.205%, 6/25/2056   1,733,362 1,630,548
“A2”, Series 2021-NQM2, 144A, 1.362%, 9/25/2056   1,813,439 1,675,286
JPMorgan Chase Bank NA, “M1”, Series 2020-CL1, 144A, 1-month USD-LIBOR + 2.25%, 2.707% (a), 10/25/2057   1,773,012 1,781,614
JPMorgan Mortgage Trust, “A5”, Series 2020-LTV2, 3.0%, 11/25/2050   1,554,920 1,550,413
MFA Trust:      
“A3”, Series 2021-INV1, 144A, 1.262%, 1/25/2056   421,736 408,080
“A3”, Series 2021-NQM2, 144A, 1.472%, 11/25/2064   606,135 572,832
Starwood Mortgage Residential Trust, “A3”, Series 2020-INV1, 144A, 1.593%, 11/25/2055   630,248 616,773
Towd Point Mortgage Trust, “M1”, Series 2022-SJ1, 4.5%, 3/25/2062 (c)   2,500,000 2,497,678
Verus Securitization Trust:      
“A2”, Series 2021-R3, 144A, 1.277%, 4/25/2064   645,088 622,412
“A2”, Series 2020-4, 144A, 1.912%, 5/25/2065   1,289,185 1,260,744
“A1”, Series 2020-INV1, 144A, 1.977%, 3/25/2060   197,311 194,408
“A1”, Series 2020-2, 144A, 2.226%, 5/25/2060   93,852 93,145
Total Collateralized Mortgage Obligations (Cost $27,599,828) 26,388,742
Government & Agency Obligations 43.2%
Other Government Related (d) 0.4%  
Corp. Andina de Fomento:      
2.375%, 5/12/2023   4,000,000 4,001,476
4.375%, 6/15/2022   2,000,000 2,007,661
Eurasian Development Bank, 144A, 4.767%, 9/20/2022   3,000,000 2,498,230
Korea National Oil Corp., 144A, 3.25%, 7/10/2024   500,000 504,299
Vnesheconombank, 144A, 6.025%, 7/5/2022   1,500,000 75,000
      9,086,666
Sovereign Bonds 0.3%  
Abu Dhabi Government International Bond, 144A, 2.5%, 4/16/2025                       1,895,000     1,884,729
Government of Malaysia, 144A, 3.043%, 4/22/2025                       1,000,000     1,001,840
Paraguay Government International Bond, 144A, 4.625%, 1/25/2023                       1,000,000     1,010,000
Saudi Government International Bond, 144A, 4.0%, 4/17/2025                       2,000,000     2,075,000
      5,971,569
U.S. Treasury Obligations 42.5%  
U.S. Treasury Floating Rate Notes:                                            
3-month U.S. Treasury Bill Money Market Yield - 0.015%, 0.591% (a), 1/31/2024 (e)                     70,000,000    70,073,561
3-month U.S. Treasury Bill Money Market Yield + 0.029%, 0.635% (a), 7/31/2023 (e)                     70,000,000    70,101,067
3-month U.S. Treasury Bill Money Market Yield + 0.034%, 0.64% (a), 4/30/2023 (e)                     45,000,000    45,058,957
3-month U.S. Treasury Bill Money Market Yield + 0.035%, 0.641% (a), 10/31/2023 (e)                     85,000,000    85,153,138
3-month U.S. Treasury Bill Money Market Yield + 0.049%, 0.655% (a), 1/31/2023 (e)                     30,000,000    30,036,046
U.S. Treasury Inflation-Indexed Notes:                                            
0.125%, 4/15/2022   34,672,500 34,805,230
0.375%, 7/15/2023   36,233,400 38,032,332
U.S. Treasury Notes:      
0.125%, 4/30/2022   10,000,000 9,998,677
0.125%, 11/30/2022   50,000,000 49,603,515
0.125%, 12/31/2022   25,000,000 24,757,813
0.125%, 2/28/2023   50,000,000 49,328,125
0.125%, 9/15/2023   25,000,000 24,290,039
0.125%, 10/15/2023   30,000,000 29,075,391
0.5%, 3/15/2023   40,000,000 39,562,500
0.5%, 3/31/2025   25,000,000 23,551,758
1.625%, 8/31/2022   50,000,000 50,136,719
1.625%, 4/30/2023   30,000,000 29,946,094
1.75%, 6/15/2022   50,000,000 50,125,000
1.875%, 9/30/2022   50,000,000 50,201,172
1.875%, 10/31/2022   50,000,000 50,191,406
2.125%, 5/15/2022   50,000,000 50,109,497
2.125%, 3/31/2024   50,000,000 49,791,015
2.75%, 4/30/2023   50,000,000 50,507,812
2.75%, 5/31/2023   30,000,000 30,290,625
      1,034,727,489
Total Government & Agency Obligations (Cost $1,056,983,675) 1,049,785,724
Short-Term U.S. Treasury Obligations 8.5%
U.S. Treasury Bills:      
0.058% (f), 5/19/2022   640,000 639,787
0.058% (f), 5/19/2022 (g)   15,000,000 14,995,017
0.062% (f), 6/16/2022   640,000 639,439
0.067% (f), 5/19/2022   5,000,000 4,998,339
0.222% (f), 5/19/2022 (g)   10,000,000 9,996,678
0.573% (f), 7/7/2022   75,000,000 74,883,792
0.595% (f), 8/4/2022   50,000,000 49,861,516
0.62% (f), 8/11/2022   50,000,000 49,847,834
Total Short-Term U.S. Treasury Obligations (Cost $205,942,834) 205,862,402
    Shares Value ($)
Exchange-Traded Funds 0.5%
SPDR Bloomberg Short Term High Yield Bond ETF (h) (Cost $12,123,007)                       450,000    11,808,000
    
    Contracts/
Notional Amount 		Value ($)
Call Options Purchased 0.1%
Options on Exchange-Traded Futures Contracts  
Corn Futures, Expiration Date 11/25/2022, Strike Price $700.00 (Cost $2,653,195)   1,000
5,000,000 		    3,387,500
    Shares Value ($)
Securities Lending Collateral 0.4%
DWS Government & Agency Securities Portfolio "DWS Government Cash Institutional Shares", 0.23% (i) (j)
(Cost $8,930,470) 		                      8,930,470     8,930,470
Cash Equivalents 17.2%
DWS Central Cash Management Government Fund, 0.28% (i)                    361,605,238   361,605,238
DWS ESG Liquidity Fund "Capital Shares", 0.38% (i)                      56,980,355    56,934,774
Total Cash Equivalents (Cost $418,580,529)     418,540,012
    % of
Net Assets 		Value ($)
Total Consolidated Investment Portfolio (Cost $2,462,376,855)   100.4 2,443,209,648
Other Assets and Liabilities, Net   (0.4) (10,418,576)
Net Assets   100.0 2,432,791,072
For information on the Fund's policies regarding the valuation of investments and other significant accounting policies, please refer to the Fund's most recent semi-annual or annual financial statements.
A summary of the Fund’s transactions with affiliated investments during the period ended March 31, 2022 are as follows:
Value ($) at
6/30/2021 		Purchases
Cost ($) 		Sales
Proceeds ($) 		Net Realized
Gain/
(Loss) ($) 		Net Change in
Unrealized
Appreciation
(Depreciation) ($) 		Income ($) Capital Gain
Distributions ($) 		Number
of Shares
at
3/31/2022 		Value ($) at
3/31/2022
Exchange-Traded Funds 0.0%
Xtrackers Short Duration High Yield Bond ETF (k)
252,709 — 246,592 3,045 (9,162) 6,249 — — —
Securities Lending Collateral 0.4%
DWS Government & Agency Securities Portfolio "DWS Government Cash Institutional Shares", 0.23% (i) (j)
7,384,467 1,546,003 (l) — — — 7,492 — 8,930,470 8,930,470
Cash Equivalents 17.2%
DWS Central Cash Management Government Fund, 0.28% (i)
166,221,762 3,673,050,685 3,477,667,209 — — 84,963 — 361,605,238 361,605,238
DWS ESG Liquidity Fund "Capital Shares", 0.38% (i)
31,932,785 25,041,859 — — (39,870) 42,361 — 56,980,355 56,934,774
205,791,723 3,699,638,547 3,477,913,801 3,045 (49,032) 141,065 — 427,516,063 427,470,482
(a) Variable or floating rate security. These securities are shown at their current rate as of March 31, 2022. For securities based on a published reference rate and spread, the reference rate and spread are indicated within the description above. Certain variable rate securities are not based on a published reference rate and spread but adjust periodically based on current market conditions, prepayment of underlying positions and/or other variables. Securities with a floor or ceiling feature are disclosed at the inherent rate, where applicable.
(b) When-issued security.
(c) Investment was valued using significant unobservable inputs.
(d) Government-backed debt issued by financial companies or government sponsored enterprises.
(e) At March 31, 2022, this security has been pledged, in whole or in part, as collateral for open commodity-linked rate swap contracts.
(f) Annualized yield at time of purchase; not a coupon rate.
(g) At March 31, 2022, this security has been pledged, in whole or in part, to cover initial margin requirements for open futures contracts.
(h) All or a portion of these securities were on loan. In addition, "Other Assets and Liabilities, Net" may include pending sales that are also on loan. The value of securities loaned at March 31, 2022 amounted to $8,731,937, which is 0.4% of net assets.
(i) Affiliated fund managed by DWS Investment Management Americas, Inc. The rate shown is the annualized seven-day yield at period end.
(j) Represents cash collateral held in connection with securities lending. Income earned by the Fund is net of borrower rebates.
(k) Affiliated fund managed by DBX Advisors LLC.
(l) Represents the net increase (purchase cost) or decrease (sales proceeds) in the amount invested in cash collateral for the period ended March 31, 2022.
144A: Security exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers.
CLO: Collateralized Loan Obligation
COT: Commitment of Traders
Interest Only: Interest Only (IO) bonds represent the "interest only" portion of payments on a pool of underlying mortgages or mortgage-backed securities. IO securities are subject to prepayment risk of the pool of underlying mortgages.
LME: London Metal Exchange
REG S: Securities sold under Regulation S may not be offered, sold or delivered within the United States or to, or for the account or benefit of, U.S. persons, except pursuant to an exemption from, or in a transaction not subject to, the registration requirements of the Securities Act of 1933.
REIT: Real Estate Investment Trust
SOC: State Owned Company
SOFR: Secured Overnight Financing Rate
SPDR: Standard & Poor's Depositary Receipt
UFJ: United Financial of Japan
ULS: Ultra-Low Sulfur
WTI: West Texas Intermediate
LIBOR: London Interbank Offered Rate, the benchmark rate for certain floating rate securities, has been phased out as of the end of 2021 for most maturities and currencies, although certain widely used US Dollar LIBOR rates are expected to continue to be published through June of 2023 to assist with the transition. The Fund or the instruments in which the Fund invests may be adversely affected by the phase out by, among other things, increased volatility or illiquidity. There remains uncertainty regarding the future use of LIBOR and the nature of any replacement reference rate and, accordingly, it is difficult to predict the impact to the Fund of the transition away from LIBOR.
Included in the portfolio are investments in mortgage or asset-backed securities which are interests in separate pools of mortgages or assets. Effective maturities of these investments may be shorter than stated maturities due to prepayments.
At March 31, 2022, open futures contracts purchased were as follows:
Futures Currency Expiration
Date 		Contracts Notional
Amount ($) 		Notional
Value ($) 		Unrealized
Appreciation/
(Depreciation) ($)
LME Primary Aluminium Futures USD 12/18/2023 300 20,095,995 25,104,375 5,008,380
LME Primary Aluminium Futures USD 12/19/2022 270 17,840,250 23,336,438 5,496,188
LME Primary Aluminium Futures USD 6/13/2022 100 8,875,000 8,728,750 (146,250)
Natural Gas Futures USD 5/26/2023 250 8,530,830 9,842,500 1,311,670
Natural Gas Futures USD 3/29/2023 353 12,922,336 14,229,430 1,307,094
Natural Gas Futures USD 4/26/2023 250 8,325,542 9,760,000 1,434,458
Total net unrealized appreciation 14,411,540
At March 31, 2022, open futures contracts sold were as follows:
Futures Currency Expiration
Date 		Contracts Notional
Amount ($) 		Notional
Value ($) 		Unrealized
Depreciation ($)
LME Primary Aluminium Futures USD 12/19/2022 570 39,038,831 49,265,813 (10,226,982)
Natural Gas Futures USD 4/27/2022 603 30,587,345 34,021,260 (3,433,915)
Natural Gas Futures USD 5/26/2022 250 11,474,170 14,252,500 (2,778,330)
Total unrealized depreciation (16,439,227)
At March 31, 2022, open written option contracts were as follows:
Options on Exchange-Traded Futures Contracts  
  Contracts Expiration
Date 		Strike
Price ($) 		Notional
Amount ($) 		Premiums
Received ($) 		Value ($) Unrealized
Depreciation ($)
Call Options              
Corn Futures 1,000 11/25/2022 800.0 5,000,000 1,571,805 (2,050,000) (478,195)
Each commodity linked swap is a commitment to receive the total return of the specified commodity linked index in exchange for a fixed financing rate. At March 31, 2022, open commodity-linked swap contracts were as follows:
Pay/Receive
Return of the
Reference Index 		Expiration
Date 		Counterparty Notional
Amount ($) 		Fixed Fee
Received/
(Paid) by
the Fund 		Frequency Value ($)†
Long Positions            
BACXISUS Excess Return Index/BACXISUS 4/14/2022 Merrill Lynch International Ltd. 71,240,000 — At Expiration (78,696)
Barclays Commodity Strategy 1673 Excess Return Index/TRSTST25HP 4/14/2022 Barclays Bank PLC 7,465,000 (0.28%) At Expiration 158,706
Barclays Commodity Strategy 1750/BXCS1750 4/14/2022 Barclays Bank PLC 19,645,116 — At Expiration 289,842
Pay/Receive
Return of the
Reference Index 		Expiration
Date 		Counterparty Notional
Amount ($) 		Fixed Fee
Received/
(Paid) by
the Fund 		Frequency Value ($)†
Barclays EFS Custom Commodity Basket 08 Index/BEFSCB08 4/14/2022 Barclays Bank PLC 11,612,000 — At Expiration 211,579
Bloomberg Aluminum Subindex/BCOMAL 4/14/2022 UBS AG 8,000,000 (0.12%) At Expiration (138,412)
Bloomberg Aluminum Subindex/BCOMZS 4/14/2022 UBS AG 12,500,000 (0.12%) At Expiration 115,575
Bloomberg Commodity Index 3 Month Forward/BCOMF3 4/14/2022 JPMorgan Chase Securities, Inc. 78,159,816 (0.11%) At Expiration (623,691)
Bloomberg Commodity Index 3 Month Forward/BCOMF3 4/14/2022 Citigroup, Inc. 66,755,850 (0.11%) At Expiration 774,835
Bloomberg Commodity Index 3 Month Forward/BCOMF3 4/14/2022 Merrill Lynch International Ltd. 30,000,000 (0.14%) At Expiration 794,237
Bloomberg Commodity Index 6 Month Forward/BCOMF6 4/14/2022 JPMorgan Chase Securities, Inc. 76,921,779 (0.13%) At Expiration (356,128)
Bloomberg Commodity Index 6 Month Forward/BCOMF6 4/14/2022 Macquarie Bank Ltd. 33,497,747 (0.17%) At Expiration (155,747)
Bloomberg Commodity Index/BCOM 4/14/2022 Canadian Imperial Bank of Commerce 76,328,807 (0.13%) At Expiration (1,201,290)
Bloomberg Commodity Index/BCOM 4/14/2022 BNP Paribas 127,215,058 (0.12%) At Expiration (2,001,529)
Bloomberg Commodity Index/BCOM 4/14/2022 Goldman Sachs & Co. 181,081,660 (0.10%) At Expiration (2,847,373)
Bloomberg Commodity Index/BCOM 4/14/2022 JPMorgan Chase Securities, Inc. 287,081,962 (0.09%) At Expiration (4,512,713)
Bloomberg Commodity Index/BCOM 4/14/2022 Morgan Stanley 89,050,654 (0.12%) At Expiration (1,401,145)
Bloomberg Commodity Index/BCOM 4/14/2022 Barclays Bank PLC 127,215,058 (0.11%) At Expiration (2,000,998)
Bloomberg Commodity Index/BCOM 4/14/2022 Macquarie Bank Ltd. 80,145,475 (0.12%) At Expiration (1,260,963)
Bloomberg Commodity Index/BCOM 4/14/2022 Credit Suisse 124,535,723 (0.11%) At Expiration 678,578
Bloomberg Commodity Index/BCOM 4/14/2022 Citigroup, Inc. 269,146,816 (0.09%) At Expiration 1,318,363
Bloomberg Commodity Index/BCOM 4/14/2022 JPMorgan Chase Securities, Inc. 67,000,000 (0.09%) At Expiration (609,323)
Bloomberg Copper Subindex/BCOMHG 4/14/2022 UBS AG 12,500,000 (0.12%) At Expiration 1,314
BNP Paribas 03 Alpha Index/BNPIFMN3 4/14/2022 BNP Paribas 59,236,396 (0.12%) At Expiration 636,267
BofA Merrill Lynch Commodity Excess Return Strategy/MLCIHR6S 4/14/2022 Merrill Lynch International Ltd. 23,815,797 — At Expiration 23,348
Citi Commodities CUBES-D Extended Risk-Adjusted Spread Alpha Index/CICXRACI 4/14/2022 Citigroup, Inc. 31,152,810 (0.35%) At Expiration 133,233
Pay/Receive
Return of the
Reference Index 		Expiration
Date 		Counterparty Notional
Amount ($) 		Fixed Fee
Received/
(Paid) by
the Fund 		Frequency Value ($)†
Citi Commodities Gold Call Ratio Index/CICXGCCR 4/14/2022 UBS AG 12,140,000 — At Expiration (50,806)
Citi Commodities Term Structure Alpha II BCOM Capped/CCUDTSDN 4/14/2022 Citigroup, Inc. 39,823,822 (0.44%) At Expiration 800,416
Citi Custom CiVICS 7 Excess Return/CVICSER7 4/14/2022 Citigroup, Inc. 104,852,000 (0.09%) At Expiration 510,102
Goldman Sachs Commodity COT Strategy COT3/ABGSCOT3 4/14/2022 Goldman Sachs & Co. 15,557,500 (0.35%) At Expiration 631,698
Goldman Sachs Gold Intraday Seasonality Dynamic Series 1 Excess Return Strategy/GSISGID1 4/14/2022 Goldman Sachs & Co. 63,950,000 (0.35%) At Expiration 388,839
Goldman Sachs Gold Vol Carry Index 04/GSVLGC04 4/14/2022 Goldman Sachs & Co. 7,000,000 (0.35%) At Expiration 113,284
JPMorgan JPDRXBA1 Index/JPDRXBA1 4/14/2022 JPMorgan Chase Securities, Inc. 99,964,017 (0.10%) At Expiration (39,504)
JPMorgan JPDRXDA1 Index/JPDRXDA1 4/14/2022 JPMorgan Chase Securities, Inc. 99,996,949 (0.10%) At Expiration (18,406)
JPMorgan Liquid Commodity Curve Value Long Only Index/JMABCCVL 4/14/2022 JPMorgan Chase Securities, Inc. 30,087,223 (0.35%) At Expiration 148,369
JPMorgan NEO Commodity Curve Alpha Index/JMABNEO1 4/14/2022 JPMorgan Chase Securities, Inc. 47,420,345 (0.35%) At Expiration 42,554
Macquarie Commodity Product 708E/MQCP708E 4/14/2022 Macquarie Bank Ltd. 14,637,191 (1.00%) At Expiration 186,357
Macquarie Vol Product 2CL2/VMAC2CL2 4/14/2022 Macquarie Bank Ltd. 10,000,000 (0.10%) At Expiration (746,744)
Macquarie Vol Product 3GC1/VMAC3GC1 4/14/2022 Macquarie Bank Ltd. 10,000,000 (0.10%) At Expiration 550,775
Merrill Lynch Backwardation Momentum Long Only Excess Return Index/MLCXAKLE 4/14/2022 Merrill Lynch International Ltd. 4,036,398 (0.35%) At Expiration (148,402)
Modified Strategy D177 on the Bloomberg Commodity Index/ENHG177P 4/14/2022 Goldman Sachs & Co. 60,611,968 (0.35%) At Expiration (744,276)
Morgan Stanley MSCBDF11 Index/MSCBDF11 4/14/2022 Morgan Stanley 5,000,000 (0.24%) At Expiration 33,760
Morgan Stanley MSCBVB20 Index/MSCBVB20 4/14/2022 Morgan Stanley 24,990,000 (0.45%) At Expiration (108,573)
RBC Enhanced Commodity 21VW/RBCE21VW 4/14/2022 Royal Bank of Canada 52,852,425 (0.20%) At Expiration (605,520)
RBC Enhanced Commodity Basket 01 Excess Return Index/RBCAEC01 4/14/2022 Royal Bank of Canada 66,101,162 (0.11%) At Expiration (448,754)
RBC Enhanced Commodity CC3V Index/RBCSCC3V 4/14/2022 Royal Bank of Canada 40,165,000 (0.15%) At Expiration (59,421)
RBC Enhanced Commodity D01 Excess Return Index/RBCADC01 4/14/2022 Royal Bank of Canada 66,678,414 (0.20%) At Expiration (628,540)
Pay/Receive
Return of the
Reference Index 		Expiration
Date 		Counterparty Notional
Amount ($) 		Fixed Fee
Received/
(Paid) by
the Fund 		Frequency Value ($)†
RBC Enhanced Commodity D03 Index/RBCADC03 4/14/2022 Royal Bank of Canada 68,587,132 (0.15%) At Expiration (533,562)
RBC Enhanced Commodity MSC4 Index/RBCAMSC4 4/14/2022 Royal Bank of Canada 14,813,000 (0.35%) At Expiration 131,007
SG RBD Index/SGCORBD 4/14/2022 Societe Generale 35,338,135 (0.35%) At Expiration 928,691
SGI Commodity Dynamic Alpha Index/SGICCODA 4/14/2022 Societe Generale 24,745,924 (0.25%) At Expiration 259,117
SGI WTI Intraday Trend Index/SGIDTWTI 4/14/2022 Societe Generale 43,590,000 (0.20%) At Expiration (94,991)
Societe Generale Alpha 1 Custom Excess Return/SGCOA1CE 4/14/2022 Societe Generale 36,571,375 (0.17%) At Expiration 537,312
Societe Generale Commodity Index/SGCOM11S 4/14/2022 Societe Generale 44,439,824 (0.13%) At Expiration (498,190)
Societe Generale M Po 3 U Index/SGCOL45E 4/14/2022 Societe Generale 43,977,040 (0.16%) At Expiration (314,857)
Societe Generale M Po 4 U Index/SGCOM15E 4/14/2022 Societe Generale 87,318,127 (0.18%) At Expiration (670,750)
UBS Custom Commodity Index/UBSIB163 4/14/2022 UBS AG 214,979,615 (0.29%) At Expiration (6,237,653)
Index Description Ticker Notional
Amount ($) 		Index Weight
(%) 		Value ($)
Bloomberg Commodity Index BCOM 152,657,614 35.4 747,385
Bloomberg Commodity Index 2-4-6 Forward Blend BCOMF246 149,914,617 34.9 1,823,003
Bloomberg Gold Subindex BCOMGC 41,643,000 9.7 (245,978)
Bloomberg Wheat Subindex BCOMWH (8,848,000) 2.1 728,339
Bloomberg ULS Diesel Subindex BCOMHO 22,851,000 5.3 1,516,274
Bloomberg Natural Gas Subindex BCOMNG (54,045,000) 12.6 (10,806,676)
UBS Custom Commodity Index (6,237,653)
Pay/Receive
Return of the
Reference Index 		Expiration
Date 		Counterparty Notional
Amount ($) 		Fixed Fee
Received/
(Paid) by
the Fund 		Frequency Value ($)†
UBS Custom Commodity Index/UBSIB165 4/14/2022 UBS AG 7,500,000 (0.14%) At Expiration (75,399)
UBS Targeted Commodity Curve Carry Strategy Index/UBSTCCIS 4/14/2022 UBS AG 36,200,000 (0.10%) At Expiration 340,560
Short Positions            
Bloomberg Platinum Subindex/BCOMPL 4/14/2022 Goldman Sachs & Co. 25,737,000 (0.12%) At Expiration 1,347,105
Bloomberg Zinc Subindex/BCOMSI 4/14/2022 UBS AG 37,500,000 (1.00%) At Expiration (29,869)
Total net unrealized depreciation (17,156,402)
† There are no upfront payments on the commodity-linked swaps listed above, therefore unrealized appreciation (depreciation) is equal to their value.
Currency Abbreviation(s)
USD United States Dollar
Investment in Subsidiary
The Fund may seek exposure to the commodities markets by investing a portion of its assets in a wholly owned subsidiary organized under the laws of the Cayman Islands (the "Subsidiary"). Among other investments, the Subsidiary may invest in commodity-linked derivative instruments such as swaps and futures contracts. The Subsidiary may also invest in debt securities, some of which are intended to serve as margin or collateral for the Subsidiary's derivative positions. As of March 31, 2022, the Fund held $499,158,896 in the Subsidiary, representing 18.7% of the Fund's total assets. The Fund’s Investment Portfolio has been consolidated and includes the accounts of the Fund and the Subsidiary
Fair Value Measurements
Various inputs are used in determining the value of the Fund's investments. These inputs are summarized in three broad levels. Level 1 includes quoted prices in active markets for identical securities. Level 2 includes other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds and credit risk). Level 3 includes significant unobservable inputs (including the Fund's own assumptions in determining the fair value of investments). The level assigned to the securities valuations may not be an indication of the risk or liquidity associated with investing in those securities.
The following is a summary of the inputs used as of March 31, 2022 in valuing the Fund's investments.
Assets Level 1 Level 2 Level 3 Total
Corporate Bonds (a) $— $499,808,534 $— $499,808,534
Asset-Backed (a) — 129,912,403 — 129,912,403
Commercial Mortgage-Backed Securities — 88,785,861 — 88,785,861
Collateralized Mortgage Obligations — 23,891,064 2,497,678 26,388,742
Government & Agency Obligations (a) — 1,049,785,724 — 1,049,785,724
Short-Term U.S. Treasury Obligations — 205,862,402 — 205,862,402
Exchange-Traded Funds 11,808,000 — — 11,808,000
Call Options Purchased 3,387,500 — — 3,387,500
Short-Term Investments (a) 427,470,482 — — 427,470,482
Derivatives (b)        
Futures Contracts 14,557,790 — — 14,557,790
Commodity-Linked Swap Contracts — 12,085,823 — 12,085,823
Total $457,223,772 $2,010,131,811 $2,497,678 $2,469,853,261
Liabilities Level 1 Level 2 Level 3 Total
Derivatives (b)        
Futures Contracts $(16,585,477) $— $— $(16,585,477)
Written Options (2,050,000) — — (2,050,000)
Commodity-Linked Swap Contracts — (29,242,225) — (29,242,225)
Total $(18,635,477) $(29,242,225) $— $(47,877,702)
(a) See Consolidated Investment Portfolio for additional detailed categorizations.
(b) Derivatives include value of options purchased, unrealized appreciation (depreciation) on open futures contracts, commodity-linked swap contracts and written options, at value.
Derivatives
The following table presents, by major type of derivative contract, the unrealized appreciation (depreciation) of the Fund's derivative instruments as of March 31, 2022 categorized by the primary underlying risk exposure.
Primary Underlying Risk Disclosure Options Swap
Contracts 		Futures
Contracts
Commodity Contracts $ 256,110 (17,156,402) $ (2,027,687)
OBTAIN AN OPEN-END FUND PROSPECTUS
To obtain a summary prospectus, if available, or prospectus, download one from fundsus.dws.com, talk to your financial representative or call (800) 728-3337. We advise you to carefully consider the product's objectives, risks, charges and expenses before investing. The summary prospectus and prospectus contain this and other important information about the investment product. Please read the prospectus carefully before you invest.
CLOSED-END FUNDS
Closed-end funds, unlike open-end funds, are not continuously offered. There is a one time public offering and once issued, shares of closed-end funds are sold in the open market through a stock exchange. Shares of closed-end funds frequently trade at a discount to net asset value. The price of the fund’s shares is determined by a number of factors, several of which are beyond the control of the fund. Therefore, the fund cannot predict whether its shares will trade at, below or above net asset value.
The brand DWS represents DWS Group GmbH & Co. KGaA and any of its subsidiaries such as DWS Distributors, Inc. which offers investment products or DWS Investment Management Americas Inc. and RREEF America L.L.C. which offer advisory services.
NO BANK GUARANTEE | NOT FDIC INSURED | MAY LOSE VALUE
DECSF-PH3
R-080548-1 (1/23)

Serious News for Serious Traders! Try StreetInsider.com Premium Free!

You May Also Be Interested In





Related Categories

SEC Filings