Form NPORT-P Northern Lights Fund For: Jul 31

September 21, 2021 9:38 AM EDT

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    NPORT-P
    false
    
      
      
        
          0001314414
          XXXXXXXX
        
      
      
      
      
        S000044265
        C000137888
        C000137890
        C000137889
      
      
    
  
  
    
      Northern Lights Fund Trust
      811-21720
      0001314414
      549300BSYF57GRCG4861
      225 PICTORIA DRIVE
      SUITE 450
      CINCINNATI
      
      45246
      631-470-2600
      Navigator Tactical Fixed Income Fund
      S000044265
      549300MPDMHX5QXP4F47
      2021-10-31
      2021-07-31
      N
    
    
      8205886375.64
      185717802.54
      8020168573.10
      0.00000000
      0.00000000
      0.00000000
      0.00000000
      0.00000000
      0.00000000
      0.00000000
      0.00000000
      0.00000000
      0.00000000
      0.00000000
      0.00000000
      0.00000000
      197012257.25000000
      
        
          USD
          
          
        
      
      
      
      
        
        
        
        
        
        
        
        
        
        
        
        
        
        
        
        
        
      
      
        
          
            UST
          
        
      
      
        
          
          
          
        
        
          
            
            
            
            
              
              
              
            
          
          
            
            
            
            
              
              
              
            
            
              
              
              
            
          
          
            
            
            
            
              
              
              
            
          
          
            
            
            
            
              
              
              
            
            
              
              
              
            
          
        
        
        
        
      
      
      
      
      
    
    
      
        Oracle Corporation
        1Z4GXXU7ZHVWFCD8TV52
        ORCL 2 1/2 05/15/22
        68389XBB0
        
          
        
        86334000.00000000
        PA
        USD
        87510381.04000000
        1.091128948754
        Long
        DBT
        CORP
        US
        
        N
        
        2
        
          2022-05-15
          Fixed
          2.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Santander UK Group Holdings plc
        549300F5XIFGNNW4CF72
        SANUK 3.571 01/10/23
        80281LAF2
        
          
        
        4880000.00000000
        PA
        USD
        4947841.81000000
        0.061692491434
        Long
        DBT
        CORP
        GB
        
        N
        
        2
        
          2023-01-10
          Fixed
          3.57100000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Deutsche Bank AG New York Branch
        N/A
        DB 4 1/4 10/14/21
        251526BX6
        
          
        
        20373000.00000000
        PA
        USD
        20528190.92000000
        0.255957100313
        Long
        DBT
        CORP
        DE
        
        N
        
        2
        
          2021-10-14
          Fixed
          4.25000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        AbbVie Inc.
        FR5LCKFTG8054YNNRU85
        ABBV 2.3 11/21/22
        00287YBM0
        
          
        
        818000.00000000
        PA
        USD
        838504.69000000
        0.010454950944
        Long
        DBT
        CORP
        US
        
        N
        
        2
        
          2022-11-21
          Fixed
          2.30000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Walgreens Boots Alliance, Inc.
        549300RPTUOIXG4LIH86
        WBA 0 08/06/2021
        93142WV67
        
          
        
        41830000.00000000
        PA
        USD
        41829128.54000000
        0.521549243744
        Long
        STIV
        CORP
        US
        
        N
        
        2
        
          N
          N
          N
        
      
      
        eBay Inc.
        OML71K8X303XQONU6T67
        EBAY 0 01/30/23
        278642AT0
        
          
        
        35575000.00000000
        PA
        USD
        35952042.70000000
        0.448270411928
        Long
        DBT
        CORP
        US
        
        N
        
        2
        
          2023-01-30
          Floating
          1.05549800
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Chevron Corporation
        N/A
        CVX 2.411 03/03/22
        166764AT7
        
          
        
        2000000.00000000
        PA
        USD
        2018825.08000000
        0.025171853454
        Long
        DBT
        CORP
        US
        
        N
        
        2
        
          2022-03-03
          Fixed
          2.41100000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        NextEra Energy Capital Holdings Inc
        UMI46YPGBLUE4VGNNT48
        NEE FLOAT 08/28/21
        65339KBA7
        
          
        
        13218000.00000000
        PA
        USD
        13222986.49000000
        0.164871677814
        Long
        DBT
        CORP
        US
        
        N
        
        2
        
          2021-08-28
          Floating
          0.68500100
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Australia & New Zealand Banking Group NY Branch
        N/A
        ANZ 2 5/8 05/19/22
        05253JAS0
        
          
        
        3150000.00000000
        PA
        USD
        3212981.86000000
        0.040061275903
        Long
        DBT
        CORP
        AU
        
        N
        
        2
        
          2022-05-19
          Fixed
          2.62500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        HILLTOP SECURITIES, INC.
        N/A
        HTSCPH 0 08/04/21
        43276XV43
        
          
        
        25000000.00000000
        PA
        USD
        24997125.00000000
        0.311678299179
        Long
        DBT
        
        US
        
        N
        
        2
        
          2021-08-04
          Fixed
          0.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Bank of Nova Scotia
        L3I9ZG2KFGXZ61BMYR72
        BNS 2 11/15/22
        064159SH0
        
          
        
        2800000.00000000
        PA
        USD
        2863323.40000000
        0.035701536369
        Long
        DBT
        CORP
        CA
        
        N
        
        2
        
          2022-11-15
          Fixed
          2.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Morgan Stanley
        IGJSJL3JD5P30I6NJZ34
        MS 0.791 01/22/25
        61747YEB7
        
          
        
        4040000.00000000
        PA
        USD
        4048189.32000000
        0.050475115118
        Long
        DBT
        CORP
        US
        
        N
        
        2
        
          2025-01-22
          Fixed
          0.79100000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Aercap Ireland Capital DAC
        549300TI38531ODB1G63
        AER 4 5/8 07/01/22
        00772BAP6
        
          
        
        1300000.00000000
        PA
        USD
        1348854.85000000
        0.016818285522
        Long
        DBT
        CORP
        IE
        
        N
        
        2
        
          2022-07-01
          Fixed
          4.62500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Brighthouse Financial Global Funding
        549300BLFX3KJ2IFOA78
        BHF 0.6 06/28/23
        10921U2D9
        
          
        
        17000000.00000000
        PA
        USD
        17030561.92000000
        0.212346682800
        Long
        DBT
        CORP
        US
        
        Y
        
        2
        
          2023-06-28
          Fixed
          0.60000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Caterpillar Financial Services Corporation
        EDBQKYOPJUCJKLOJDE72
        CAT 0.45 05/17/24
        14913R2L0
        
          
        
        2028000.00000000
        PA
        USD
        2033006.48000000
        0.025348675173
        Long
        DBT
        CORP
        US
        
        N
        
        2
        
          2024-05-17
          Fixed
          0.45000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        American Express Company
        R4PP93JZOLY261QX3811
        AXP Float 11/05/21
        025816BZ1
        
          
        
        20000000.00000000
        PA
        USD
        20015999.80000000
        0.249570811605
        Long
        DBT
        CORP
        US
        
        N
        
        2
        
          2021-11-05
          Floating
          0.77638000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Discovery Communications, LLC
        L2Z2MO2EQURH3BREWI15
        DISCA 2.95 03/20/23
        25470DAQ2
        
          
        
        1000000.00000000
        PA
        USD
        1038243.67000000
        0.012945409570
        Long
        DBT
        CORP
        US
        
        N
        
        2
        
          2023-03-20
          Fixed
          2.95000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Sumitomo Mitsui Financial Group Inc
        35380028MYWPB6AUO129
        SUMIBK 2.784 07/12/22
        86562MAQ3
        
          
        
        600000.00000000
        PA
        USD
        614329.96000000
        0.007659813561
        Long
        DBT
        CORP
        JP
        
        N
        
        2
        
          2022-07-12
          Fixed
          2.78400000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        HYG US 08/20/21 P95
        N/A
        
          
        
        -19000.00000000
        NC
        USD
        -14269000.00000000
        -0.17791396614
        Short
        DE
        CORP
        N/A
        
        N
        
        2
        
          
            
              PERSHING
              N/A
            
            Put
            Written
            
              
                Ishares Trust
                Ishares Trust IBOXX HI YD ETF
                
                  
                
              
            
            -19000.00000000
            95.00000000
            USD
            2021-08-20
            XXXX
            74748.39000000
          
        
        
          N
          N
          N
        
      
      
        General Motors Company
        54930070NSV60J38I987
        GM Float 09/10/21
        37045VAR1
        
          
        
        8672000.00000000
        PA
        USD
        8677765.58000000
        0.108199291584
        Long
        DBT
        CORP
        US
        
        N
        
        2
        
          2021-09-10
          Floating
          1.02800200
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        United States Treasury Notes
        254900HROIFWPRGM1V77
        T 0 1/4 08/31/25
        91282CAJ0
        
          
        
        20000000.00000000
        PA
        USD
        19744531.20000000
        0.246185987489
        Long
        DBT
        UST
        US
        
        N
        
        2
        
          2025-08-31
          Fixed
          0.25000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Cigna Corporation
        549300VIWYMSIGT1U456
        CI 3 3/4 07/15/23
        125523AF7
        
          
        
        2500000.00000000
        PA
        USD
        2656294.18000000
        0.033120178906
        Long
        DBT
        CORP
        US
        
        N
        
        2
        
          2023-07-15
          Fixed
          3.75000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        The Charles Schwab Corporation
        549300VSGCJ7E698NM85
        SCHW 0 3/4 03/18/24
        808513BN4
        
          
        
        22000000.00000000
        PA
        USD
        22172396.84000000
        0.276457990102
        Long
        DBT
        CORP
        US
        
        N
        
        2
        
          2024-03-18
          Fixed
          0.75000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Deutsche Bank AG New York Branch
        N/A
        DB 0.898 05/28/24
        251526CJ6
        
          
        
        2200000.00000000
        PA
        USD
        2198807.03000000
        0.027415970249
        Long
        DBT
        CORP
        DE
        
        N
        
        2
        
          2024-05-28
          Fixed
          0.89800000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Anthem Inc
        8MYN82XMYQH89CTMTH67
        ANTM 0.45 03/15/23
        036752AQ6
        
          
        
        1700000.00000000
        PA
        USD
        1702566.93000000
        0.021228567884
        Long
        DBT
        CORP
        US
        
        N
        
        2
        
          2023-03-15
          Fixed
          0.45000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Keurig Dr Pepper Inc
        DYTQ8KRTKO7Y2BVU5K74
        KDP 0 3/4 03/15/24
        49271VAL4
        
          
        
        5233000.00000000
        PA
        USD
        5241227.64000000
        0.065350591976
        Long
        DBT
        CORP
        US
        
        N
        
        2
        
          2024-03-15
          Fixed
          0.75000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Bank of Nova Scotia
        L3I9ZG2KFGXZ61BMYR72
        BNS 1.95 02/01/23
        064159TE6
        
          
        
        1041000.00000000
        PA
        USD
        1067797.16000000
        0.013313899206
        Long
        DBT
        CORP
        CA
        
        N
        
        2
        
          2023-02-01
          Fixed
          1.95000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        TransCanada Pipelines Limited
        5BV01I6231JPDAPMGH09
        TRPCN 2 1/2 08/01/22
        893526DM2
        
          
        
        3764000.00000000
        PA
        USD
        3847698.68000000
        0.047975284371
        Long
        DBT
        CORP
        CA
        
        N
        
        2
        
          2022-08-01
          Fixed
          2.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MUFG Union Bank N.A.
        OX3PU53ZLPQKJ4700D47
        UNBC 3.15 04/01/22
        90520EAH4
        
          
        
        25000000.00000000
        PA
        USD
        25435068.50000000
        0.317138826549
        Long
        DBT
        CORP
        US
        
        N
        
        2
        
          2022-04-01
          Fixed
          3.15000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        McDonald's Corporation
        UE2136O97NLB5BYP9H04
        MCD 2 5/8 01/15/22
        58013MEM2
        
          
        
        18993000.00000000
        PA
        USD
        19200958.92000000
        0.239408420720
        Long
        DBT
        CORP
        US
        
        N
        
        2
        
          2022-01-15
          Fixed
          2.62500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        AstraZeneca Plc
        PY6ZZQWO2IZFZC3IOL08
        AZN 0.3 05/26/23
        046353AY4
        
          
        
        60000000.00000000
        PA
        USD
        60044268.60000000
        0.748665917090
        Long
        DBT
        CORP
        GB
        
        N
        
        2
        
          2023-05-26
          Fixed
          0.30000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Kinder Morgan Energy Partners LP
        549300PDHUGWPWGOT525
        KMI 3.95 09/01/22
        494550BL9
        
          
        
        1625000.00000000
        PA
        USD
        1674138.16000000
        0.020874101893
        Long
        DBT
        CORP
        US
        
        N
        
        2
        
          2022-09-01
          Fixed
          3.95000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Capital One Financial Corporation
        ZUE8T73ROZOF6FLBAR73
        COF 3 1/2 06/15/23
        14040HBD6
        
          
        
        2000000.00000000
        PA
        USD
        2112977.06000000
        0.026345793616
        Long
        DBT
        CORP
        US
        
        N
        
        2
        
          2023-06-15
          Fixed
          3.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        The Boeing Company
        RVHJWBXLJ1RFUBSY1F30
        BA 1.433 02/04/24
        097023DE2
        
          
        
        2000000.00000000
        PA
        USD
        2005222.94000000
        0.025002254275
        Long
        DBT
        CORP
        US
        
        N
        
        2
        
          2024-02-04
          Fixed
          1.43300000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        OPTION ISSUER
        N/A
        S&P500 EMINI OPTN Sep21P
        N/A
        
          
        
        5364.00000000
        NC
        USD
        2950200.00000000
        0.036784762977
        Long
        DE
        CORP
        US
        
        N
        
        2
        
          
            
              GOLDMAN SACHS
              N/A
            
            Put
            Purchased
            
              
                
                  
                    N/A
                    N/A
                  
                  
                     Chicago Mercantile Exchange    
                    N/A
                    S&P500 EMINI FUT  Sep21
                    N/A
                    
                      
                    
                    50.00000000
                    NC
                    USD
                    N/A
                    N/A
                    DE
                    CORP
                    US
                    US
                  
                  Short
                  
                    
                      CME Standard & Poor's 500 Inde
                      SPX
                    
                  
                  2021-09-17
                  10973750.00000000
                  USD
                
              
            
            5364.00000000
            3700.00000000
            USD
            2021-09-17
            XXXX
            -7220540.00000000
          
        
        
          N
          N
          N
        
      
      
        Ishares Trust
        5493000860OXIC4B5K91
        ISHARES IBOXX HIGH YLD CO
        464288513
        
          
        
        14931187.00000000
        NS
        USD
        1311555466.08000000
        16.35321569772
        Long
        EC
        RF
        US
        
        N
        
        1
        
          N
          N
          
        
      
      
        Verizon Communications Inc.
        2S72QS2UO2OESLG6Y829
        VZ 0 3/4 03/22/24
        92343VGF5
        
          
        
        38469000.00000000
        PA
        USD
        38661044.94000000
        0.482047784751
        Long
        DBT
        CORP
        US
        
        N
        
        2
        
          2024-03-22
          Fixed
          0.75000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Eastman Chemical Company
        FDPVHDGJ1IQZFK9KH630
        EMN 3 1/2 12/01/21
        277432AV2
        
          
        
        25674000.00000000
        PA
        USD
        25946241.96000000
        0.323512426497
        Long
        DBT
        CORP
        US
        
        N
        
        2
        
          2021-12-01
          Fixed
          3.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        AT&T Inc
        549300Z40J86GGSTL398
        T 0.9 03/25/24
        00206RMJ8
        
          
        
        4110000.00000000
        PA
        USD
        4121663.15000000
        0.051391228406
        Long
        DBT
        CORP
        US
        
        N
        
        2
        
          2024-03-25
          Fixed
          0.90000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase & Co.
        8I5DZWZKVSZI1NUHU748
        JPM Float 10/24/23
        46625HRW2
        
          
        
        8518000.00000000
        PA
        USD
        8635888.27000000
        0.107677141587
        Long
        DBT
        CORP
        US
        
        N
        
        2
        
          2023-10-24
          Floating
          1.35524900
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        SAN FRANCISCO CALIF CMNTY COLLEGE DIST
        N/A
        SFOHGR 3 06/15/2022
        797683HF9
        
          
        
        1250000.00000000
        PA
        USD
        1279530.63000000
        0.015953911920
        Long
        DBT
        MUN
        US
        
        N
        
        2
        
          2022-06-15
          Fixed
          3.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        NatWest Group plc
        2138005O9XJIJN4JPN90
        ROYAL BK SCOTLND GRP PLC
        780097BE0
        
          
        
        25000000.00000000
        PA
        USD
        25591412.75000000
        0.319088215125
        Long
        DBT
        CORP
        GB
        
        N
        
        2
        
          2023-05-15
          Fixed
          3.49800000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Bank of Nova Scotia
        L3I9ZG2KFGXZ61BMYR72
        BNS 1 5/8 05/01/23
        064159VK9
        
          
        
        2000000.00000000
        PA
        USD
        2047237.54000000
        0.025526116082
        Long
        DBT
        CORP
        CA
        
        N
        
        2
        
          2023-05-01
          Fixed
          1.62500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FMC Corporation
        CKDHZ2X64EEBQCSP7013
        FMC 0% 8/16/2021
        34410WVG4
        
          
        
        23500000.00000000
        PA
        USD
        23497062.50000000
        0.292974671116
        Long
        STIV
        CORP
        US
        
        N
        
        2
        
          N
          N
          N
        
      
      
        Barclays PLC
        213800LBQA1Y9L22JB70
        BACR Float 01/10/23
        06738EAT2
        
          
        
        5938000.00000000
        PA
        USD
        5975380.90000000
        0.074504430244
        Long
        DBT
        CORP
        GB
        
        N
        
        2
        
          2023-01-10
          Floating
          1.74399800
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        S&P500 EMINI FUT  Sep21
        N/A
        
          
        
        2683.00000000
        NC
        USD
        19725400.00000000
        0.245947448862
        Long
        DE
        CORP
        N/A
        
        N
        
        1
        
          
            
              GOLDMAN SACHS
              N/A
            
            
              ROYAL BANK OF CANADA
              N/A
            
            Long
            
              
                CME Standard & Poor's 500 Inde
                SPX
              
            
            2021-09-17
            569126025.00000000
            USD
            19725400.00000000
          
        
        
          N
          N
          N
        
      
      
        Diamondback Energy Inc
        549300R22LSX6OHWEN64
        FANG 0.9 03/24/23
        25278XAS8
        
          
        
        1500000.00000000
        PA
        USD
        1500279.42000000
        0.018706332745
        Long
        DBT
        CORP
        US
        
        N
        
        2
        
          2023-03-24
          Fixed
          0.90000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Triton Container International Limited
        549300O4LZFLCX53XZ54
        TRTN 0.8 08/01/23
        89680YAD7
        
          
        
        20000000.00000000
        PA
        USD
        19999605.00000000
        0.249366391961
        Long
        DBT
        CORP
        BM
        
        Y
        
        2
        
          2023-08-01
          Fixed
          0.80000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Met Tower Global Funding
        635400OFJCY9IOGBGY57
        MET Float 01/17/23
        58989VAA2
        
          
        
        25000000.00000000
        PA
        USD
        25165446.00000000
        0.313777020652
        Long
        DBT
        CORP
        US
        
        Y
        
        2
        
          2023-01-17
          Floating
          0.60000100
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        NMG Finco plc (McLaren)
        213800BKPDWMWX3GSG36
        MCLAUT 7 1/2 08/01/26
        58175LAA8
        
          
        
        800000.00000000
        PA
        USD
        814200.00000000
        0.010151906316
        Long
        DBT
        CORP
        GB
        
        Y
        
        2
        
          2026-08-01
          Fixed
          7.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Apple Inc.
        HWUPKR0MPOU8FGXBT394
        AAPL 1.7 09/11/22
        037833DL1
        
          
        
        1685000.00000000
        PA
        USD
        1714036.31000000
        0.021371574604
        Long
        DBT
        CORP
        US
        
        N
        
        2
        
          2022-09-11
          Fixed
          1.70000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        The Bank of New York Mellon Corporation
        WFLLPEPC7FZXENRZV188
        BK 0 1/2 04/26/24
        06406RAS6
        
          
        
        7400000.00000000
        PA
        USD
        7409098.08000000
        0.092380827316
        Long
        DBT
        CORP
        US
        
        N
        
        2
        
          2024-04-26
          Fixed
          0.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Illumina Inc
        SQ95QG8SR5Q56LSNF682
        ILMN 0.55 03/23/23
        452327AL3
        
          
        
        32000000.00000000
        PA
        USD
        32063070.40000000
        0.399780504708
        Long
        DBT
        CORP
        US
        
        N
        
        2
        
          2023-03-23
          Fixed
          0.55000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Square Inc
        549300OHIIUWSTIZME52
        SQ 3 1/2 06/01/31
        852234AM5
        
          
        
        1800000.00000000
        PA
        USD
        1870065.00000000
        0.023317028600
        Long
        DBT
        CORP
        US
        
        Y
        
        2
        
          2031-06-01
          Fixed
          3.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        John Deere Capital Corporation
        E0KSF7PFQ210NWI8Z391
        DE 0.4 10/10/23
        24422EVJ5
        
          
        
        2364000.00000000
        PA
        USD
        2370866.66000000
        0.029561307077
        Long
        DBT
        CORP
        US
        
        N
        
        2
        
          2023-10-10
          Fixed
          0.40000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Paypal Holdings Incorporation
        5493005X2GO78EFZ3E94
        PYPL 2.2 09/26/22
        70450YAB9
        
          
        
        26620000.00000000
        PA
        USD
        27233237.49000000
        0.339559415014
        Long
        DBT
        CORP
        US
        
        N
        
        2
        
          2022-09-26
          Fixed
          2.20000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        AbbVie Inc.
        FR5LCKFTG8054YNNRU85
        ABBV 3.85 06/15/24
        00287YCV9
        
          
        
        2300000.00000000
        PA
        USD
        2492970.87000000
        0.031083771460
        Long
        DBT
        CORP
        US
        
        N
        
        2
        
          2024-06-15
          Fixed
          3.85000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Toronto Dominion Bank New York Branch
        N/A
        TD Float 12/09/21
        89114WBU8
        
          
        
        10000000.00000000
        PA
        USD
        9998000.00000000
        0.124660721390
        Long
        STIV
        CORP
        CA
        
        N
        
        2
        
          N
          N
          N
        
      
      
        The Toronto-Dominion Bank
        PT3QB789TSUIDF371261
        TD 0 1/4 01/06/23
        89114QCM8
        
          
        
        2000000.00000000
        PA
        USD
        2000332.70000000
        0.024941279996
        Long
        DBT
        CORP
        CA
        
        N
        
        2
        
          2023-01-06
          Fixed
          0.25000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Walgreens Boots Alliance, Inc.
        549300RPTUOIXG4LIH86
        WBA 3.3 11/18/21
        931427AF5
        
          
        
        16700000.00000000
        PA
        USD
        16762095.61000000
        0.208999292935
        Long
        DBT
        CORP
        US
        
        N
        
        2
        
          2021-11-18
          Fixed
          3.30000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Eaton Vance Series Trust II
        549300SG4QXAFN8Y0697
        EV-INC FD B-INS
        277907200
        
          
        
        8968616.85700000
        NS
        USD
        50493312.90000000
        0.629579196992
        Long
        EC
        RF
        US
        
        N
        
        1
        
          N
          N
          N
        
      
      
        Enterprise Products Operating LP
        5493004LGN656HWLDA30
        EPD 3 1/2 02/01/22
        29379VBS1
        
          
        
        2000000.00000000
        PA
        USD
        2032220.74000000
        0.025338878123
        Long
        DBT
        CORP
        US
        
        N
        
        2
        
          2022-02-01
          Fixed
          3.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Sumitomo Mitsui Financial Group Inc
        35380028MYWPB6AUO129
        SUMIBK 2.778 10/18/22
        86562MAU4
        
          
        
        1442000.00000000
        PA
        USD
        1485786.00000000
        0.018525620583
        Long
        DBT
        CORP
        JP
        
        N
        
        2
        
          2022-10-18
          Fixed
          2.77800000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        United Health Group Incorporated
        549300GHBMY8T5GXDE41
        UNH 3.35 07/15/22
        91324PCN0
        
          
        
        4830000.00000000
        PA
        USD
        4973488.48000000
        0.062012268628
        Long
        DBT
        CORP
        US
        
        N
        
        2
        
          2022-07-15
          Fixed
          3.35000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Stellantis N.V
        549300LKT9PW7ZIBDF31
        FCAIM 5 1/4 04/15/23
        31562QAF4
        
          
        
        2900000.00000000
        PA
        USD
        3117311.50000000
        0.038868403719
        Long
        DBT
        CORP
        NL
        
        N
        
        2
        
          2023-04-15
          Fixed
          5.25000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        AbbVie Inc.
        FR5LCKFTG8054YNNRU85
        ABBV 3.45 03/15/22
        00287YCS6
        
          
        
        2000000.00000000
        PA
        USD
        2028500.30000000
        0.025292489571
        Long
        DBT
        CORP
        US
        
        N
        
        2
        
          2022-03-15
          Fixed
          3.45000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        AbbVie Inc.
        FR5LCKFTG8054YNNRU85
        ABBV 2.15 11/19/21
        00287YBH1
        
          
        
        32399000.00000000
        PA
        USD
        32591677.50000000
        0.406371477144
        Long
        DBT
        CORP
        US
        
        N
        
        2
        
          2021-11-19
          Fixed
          2.15000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Exelon Generation Company, LLC
        S2PEWKCZFFECR4533P43
        EXC 3.4 03/15/22
        30161MAR4
        
          
        
        1473000.00000000
        PA
        USD
        1497019.64000000
        0.018665687963
        Long
        DBT
        CORP
        US
        
        N
        
        2
        
          2022-03-15
          Fixed
          3.40000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Cooperatieve Centrale Raiffeisen-Boerenleenbank B.A., New York Branch
        N/A
        RABOBK 2 3/4 01/10/23
        21688AAL6
        
          
        
        2000000.00000000
        PA
        USD
        2073722.20000000
        0.025856341810
        Long
        DBT
        CORP
        NL
        
        N
        
        2
        
          2023-01-10
          Fixed
          2.75000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Chevron USA Inc
        VA8TZDWPEZYU430RZ444
        CVX Float 08/12/22
        166756AG1
        
          
        
        20835000.00000000
        PA
        USD
        20866615.24000000
        0.260176766233
        Long
        DBT
        CORP
        US
        
        N
        
        2
        
          2022-08-12
          Floating
          0.27749900
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Spdr Series Trust
        5493004JVD6CQEEJSS37
        SPDR BBG BARC HIGH YIELD
        78468R622
        
          
        
        4994488.00000000
        NS
        USD
        548244947.76000000
        6.835828234319
        Long
        EC
        RF
        US
        
        N
        
        1
        
          N
          N
          
        
      
      
        Amgen Inc.
        62QBXGPJ34PQ72Z12S66
        AMGN 3 5/8 05/15/22
        031162BN9
        
          
        
        500000.00000000
        PA
        USD
        508814.26000000
        0.006344184107
        Long
        DBT
        CORP
        US
        
        N
        
        2
        
          2022-05-15
          Fixed
          3.62500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Toyota Motor Credit Corporation
        Z2VZBHUMB7PWWJ63I008
        TOYOTA 0 1/2 06/18/24
        89236TJH9
        
          
        
        5000000.00000000
        PA
        USD
        4988520.70000000
        0.062199698853
        Long
        DBT
        CORP
        US
        
        N
        
        2
        
          2024-06-18
          Fixed
          0.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Federal Realty Investment Trust
        549300LI6XZ51GOCJ427
        FRT 3.95 01/15/24
        313747AU1
        
          
        
        500000.00000000
        PA
        USD
        538444.33000000
        0.006713628586
        Long
        DBT
        CORP
        US
        
        N
        
        2
        
          2024-01-15
          Fixed
          3.95000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Northern Lts Fd Tr
        549300BSYF57GRCG4861
        NAV-U/S BND-I
        66538J522
        
          
        
        5033337.16400000
        NS
        USD
        50585038.50000000
        0.630722883676
        Long
        EC
        RF
        US
        
        N
        
        1
        
          N
          N
          N
        
      
      
        VMware Inc
        549300BUDHS3LRWBE814
        VMW 2.95 08/21/22
        928563AB1
        
          
        
        44614000.00000000
        PA
        USD
        45701410.48000000
        0.569831046111
        Long
        DBT
        CORP
        US
        
        N
        
        2
        
          2022-08-21
          Fixed
          2.95000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        The Boeing Company
        RVHJWBXLJ1RFUBSY1F30
        BA 4.508 05/01/23
        097023CS2
        
          
        
        4468000.00000000
        PA
        USD
        4749176.33000000
        0.059215417814
        Long
        DBT
        CORP
        US
        
        N
        
        2
        
          2023-05-01
          Fixed
          4.50800000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        JP Morgan Trust I
        549300DM5WZMCZZ70R78
        JPM PRIME MMKT-CAPITAL
        4812A0367
        
          
        
        574687656.17500000
        PA
        USD
        574975000.00000000
        7.169113650908
        Long
        STIV
        RF
        US
        
        N
        
        1
        
          N
          N
          N
        
      
      
        Citigroup Inc.
        6SHGI4ZSSLCXXQSBB395
        C 0 04/25/22
        172967LH2
        
          
        
        25100000.00000000
        PA
        USD
        25248063.90000000
        0.314807147379
        Long
        DBT
        CORP
        US
        
        N
        
        2
        
          2022-04-25
          Floating
          1.08524900
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        7-Eleven Inc.
        549300K23JPL0SS3LB18
        SVELEV Float 08/10/22
        817826AH3
        
          
        
        66280000.00000000
        PA
        USD
        66296926.59000000
        0.826627594990
        Long
        DBT
        CORP
        US
        
        Y
        
        2
        
          2022-08-10
          Floating
          0.61200000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Morgan Stanley
        IGJSJL3JD5P30I6NJZ34
        MS Float 01/20/23
        6174468K8
        
          
        
        35000000.00000000
        PA
        USD
        35098843.15000000
        0.437632237154
        Long
        DBT
        CORP
        US
        
        N
        
        2
        
          2023-01-20
          Floating
          0.74999900
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        General Motors Financial Company  Inc
        5493008B6JBRUJ90QL97
        GM 3.55 07/08/22
        37045XCU8
        
          
        
        3400000.00000000
        PA
        USD
        3498529.86000000
        0.043621649945
        Long
        DBT
        CORP
        US
        
        N
        
        2
        
          2022-07-08
          Fixed
          3.55000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        American Honda Finance Corporation
        B6Q2VFHD1797Q7NZ3E43
        HNDA 0 7/8 07/07/23
        02665WDK4
        
          
        
        4000000.00000000
        PA
        USD
        4041496.80000000
        0.050391668992
        Long
        DBT
        CORP
        US
        
        N
        
        2
        
          2023-07-07
          Fixed
          0.87500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Morgan Stanley
        IGJSJL3JD5P30I6NJZ34
        MS 0.529 01/25/24
        6174468W2
        
          
        
        4000000.00000000
        PA
        USD
        4002178.64000000
        0.049901427925
        Long
        DBT
        CORP
        US
        
        N
        
        2
        
          2024-01-25
          Fixed
          0.52900000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase & Co.
        8I5DZWZKVSZI1NUHU748
        JPM 0.697 03/16/24
        46647PBZ8
        
          
        
        3700000.00000000
        PA
        USD
        3716068.73000000
        0.046334047671
        Long
        DBT
        CORP
        US
        
        N
        
        2
        
          2024-03-16
          Fixed
          0.69700000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Pacific Gas and Electric Company
        1HNPXZSMMB7HMBMVBS46
        PCG 1.367 03/10/23
        694308JS7
        
          
        
        2800000.00000000
        PA
        USD
        2798656.87000000
        0.034895237481
        Long
        DBT
        CORP
        US
        
        N
        
        2
        
          2023-03-10
          Fixed
          1.36700000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Southern California Edison Company
        9R1Z5I36FERIBVKW4P77
        EIX Float 12/03/21
        842400GX5
        
          
        
        31265000.00000000
        PA
        USD
        31275155.50000000
        0.389956335891
        Long
        DBT
        CORP
        US
        
        N
        
        2
        
          2021-12-03
          Floating
          0.39849800
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Bank of Montreal
        NQQ6HPCNCCU6TUTQYE16
        BMO 2.9 03/26/22
        06367WJM6
        
          
        
        2000000.00000000
        PA
        USD
        2036288.46000000
        0.025389596757
        Long
        DBT
        CORP
        CA
        
        N
        
        2
        
          2022-03-26
          Fixed
          2.90000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Sumitomo Mitsui Financial Group Inc
        35380028MYWPB6AUO129
        SUMIBK 3.748 07/19/23
        86562MBB5
        
          
        
        600000.00000000
        PA
        USD
        639142.02000000
        0.007969184365
        Long
        DBT
        CORP
        JP
        
        N
        
        2
        
          2023-07-19
          Fixed
          3.74800000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        American Airlines Group Inc
        N/A
        AAL 5 06/01/22
        02376RAC6
        
          
        
        5000000.00000000
        PA
        USD
        4993750.00000000
        0.062264900724
        Long
        DBT
        CORP
        US
        
        Y
        
        2
        
          2022-06-01
          Fixed
          5.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        American Honda Finance Corporation
        B6Q2VFHD1797Q7NZ3E43
        AHF 0 10/13/2021
        02665JXD7
        
          
        
        15000000.00000000
        PA
        USD
        14993749.95000000
        0.186950558624
        Long
        STIV
        CORP
        US
        
        N
        
        2
        
          N
          N
          N
        
      
      
        Humana Inc.
        529900YLDW34GJAO4J06
        HUM 3.15 12/01/22
        444859BA9
        
          
        
        12942000.00000000
        PA
        USD
        13330134.98000000
        0.166207665817
        Long
        DBT
        CORP
        US
        
        N
        
        2
        
          2022-12-01
          Fixed
          3.15000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase & Co.
        8I5DZWZKVSZI1NUHU748
        JPM 3.797 07/23/24
        46647PAU0
        
          
        
        1420000.00000000
        PA
        USD
        1511118.12000000
        0.018841475789
        Long
        DBT
        CORP
        US
        
        N
        
        2
        
          2024-07-23
          Fixed
          3.79700000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Amazon.com, Inc.
        ZXTILKJKG63JELOEG630
        AMZN 0.45 05/12/24
        023135BW5
        
          
        
        2343000.00000000
        PA
        USD
        2343734.62000000
        0.029223009449
        Long
        DBT
        CORP
        US
        
        N
        
        2
        
          2024-05-12
          Fixed
          0.45000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Truist Financial Corporation
        549300DRQQI75D2JP341
        TFC 3.05 06/20/22
        05531FBG7
        
          
        
        4000000.00000000
        PA
        USD
        4090540.40000000
        0.051003172348
        Long
        DBT
        CORP
        US
        
        N
        
        2
        
          2022-06-20
          Fixed
          3.05000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Danone SA
        969500KMUQ2B6CBAF162
        BNFP 2.077 11/02/21
        23636TAC4
        
          
        
        36863000.00000000
        PA
        USD
        36975383.49000000
        0.461030003957
        Long
        DBT
        CORP
        FR
        
        Y
        
        2
        
          2021-11-02
          Fixed
          2.07700000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FMC Corporation
        CKDHZ2X64EEBQCSP7013
        FMC CORP 0% 8/24/21
        34410WVQ2
        
          
        
        25000000.00000000
        PA
        USD
        24995208.34000000
        0.311654401178
        Long
        STIV
        CORP
        US
        
        N
        
        2
        
          N
          N
          N
        
      
      
        Laboratory Corp of America Holdings
        OZ7UA8IXAIFILY2VZH07
        LH 3 1/4 09/01/24
        50540RAT9
        
          
        
        6055000.00000000
        PA
        USD
        6484462.20000000
        0.080851943957
        Long
        DBT
        CORP
        US
        
        N
        
        2
        
          2024-09-01
          Fixed
          3.25000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        PNC Bank National Association Pittsburgh Pennsylvania
        AD6GFRVSDT01YPT1CS68
        PNC 2.95 01/30/23
        69349LAK4
        
          
        
        1684000.00000000
        PA
        USD
        1745514.80000000
        0.021764066229
        Long
        DBT
        CORP
        US
        
        N
        
        2
        
          2023-01-30
          Fixed
          2.95000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Shell International Finance B.V.
        213800ITMMKU4Z7I4F78
        SHELIF CP
        8225X2X17
        
          
        
        25000000.00000000
        PA
        USD
        24995143.75000000
        0.311653595833
        Long
        STIV
        CORP
        NL
        
        N
        
        2
        
          N
          N
          N
        
      
      
        Toronto Dominion Bank Iam Coml Paper
        PT3QB789TSUIDF371261
        TDBANK CPIB 0 12/03/21
        89120DSH3
        
          
        
        25000000.00000000
        PA
        USD
        25008312.25000000
        0.311817788143
        Long
        STIV
        CORP
        CA
        
        Y
        
        2
        
          N
          N
          N
        
      
      
        Golub Cap Bdc Inc
        2549005WE0QLGK9APF78
        GBDC 3 3/8 04/15/24
        38173MAA0
        
          
        
        3086000.00000000
        PA
        USD
        3243051.66000000
        0.040436203185
        Long
        DBT
        CORP
        US
        
        N
        
        2
        
          2024-04-15
          Fixed
          3.37500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Toll Brothers Finance Corp.
        N/A
        TOL 5 7/8 02/15/22
        88947EAK6
        
          
        
        10000000.00000000
        PA
        USD
        10152800.00000000
        0.126590855384
        Long
        DBT
        CORP
        US
        
        N
        
        2
        
          2022-02-15
          Fixed
          5.87500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Mizuho Financial Group Inc.
        353800CI5L6DDAN5XZ33
        MIZUHO 0.849 09/08/24
        60687YBJ7
        
          
        
        2000000.00000000
        PA
        USD
        2012751.06000000
        0.025096119135
        Long
        DBT
        CORP
        JP
        
        N
        
        2
        
          2024-09-08
          Fixed
          0.84900000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Bank of America Corporation
        9DJT3UXIJIZJI4WXO774
        BAC 3.124 01/20/23
        06051GGE3
        
          
        
        39200000.00000000
        PA
        USD
        39700169.26000000
        0.495004174764
        Long
        DBT
        CORP
        US
        
        N
        
        2
        
          2023-01-20
          Fixed
          3.12400000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        American Express Company
        R4PP93JZOLY261QX3811
        AXP 3.7 11/05/21
        025816BY4
        
          
        
        17997000.00000000
        PA
        USD
        18104795.37000000
        0.225740833312
        Long
        DBT
        CORP
        US
        
        N
        
        2
        
          2021-11-05
          Fixed
          3.70000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Apple Inc.
        HWUPKR0MPOU8FGXBT394
        AAPL 2.4 05/03/23
        037833AK6
        
          
        
        4500000.00000000
        PA
        USD
        4668379.07000000
        0.058207991857
        Long
        DBT
        CORP
        US
        
        N
        
        2
        
          2023-05-03
          Fixed
          2.40000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        JP Morgan Trust Ii
        549300IMXLYKELY96B40
        JPM-HIGH YLD-I
        4812C0803
        
          
        
        5595322.57800000
        NS
        USD
        40901808.05000000
        0.509986887148
        Long
        EC
        RF
        US
        
        N
        
        1
        
          N
          N
          N
        
      
      
        JPMorgan Chase & Co.
        8I5DZWZKVSZI1NUHU748
        JPM 3.22 03/01/25
        46647PAH9
        
          
        
        1880000.00000000
        PA
        USD
        1995756.73000000
        0.024884224213
        Long
        DBT
        CORP
        US
        
        N
        
        2
        
          2025-03-01
          Fixed
          3.22000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Royal Bank of Canada New York Branch
        N/A
        RY Float 12/07/21
        78012UB53
        
          
        
        50000000.00000000
        PA
        USD
        50017176.50000000
        0.623642458934
        Long
        STIV
        CORP
        CA
        
        N
        
        2
        
          N
          N
          N
        
      
      
        LOS ANGELES CALIF CMNTY COLLEGE DIST
        N/A
        LOSHGR 0.326 08/1/2022
        54438CYG1
        
          
        
        11425000.00000000
        PA
        USD
        11445563.86000000
        0.142709766704
        Long
        DBT
        MUN
        US
        
        N
        
        2
        
          2022-08-01
          Fixed
          0.32600000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        T-Mobile US, Inc.
        549300ZTTY7CXOLJ6539
        S 7 1/4 09/15/21
        85207UAE5
        
          
        
        9239000.00000000
        PA
        USD
        9311664.74000000
        0.116103105004
        Long
        DBT
        CORP
        US
        
        N
        
        2
        
          2021-09-15
          Fixed
          7.25000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Morgan Stanley
        IGJSJL3JD5P30I6NJZ34
        MS 0.731 04/05/24
        61772BAA1
        
          
        
        1785000.00000000
        PA
        USD
        1791427.45000000
        0.022336531129
        Long
        DBT
        CORP
        US
        
        N
        
        2
        
          2024-04-05
          Fixed
          0.73100000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Sumitomo Mitsui Financial Group Inc
        35380028MYWPB6AUO129
        SUMIBK 0.508 01/12/24
        86562MCC2
        
          
        
        2000000.00000000
        PA
        USD
        1999127.18000000
        0.024926248890
        Long
        DBT
        CORP
        JP
        
        N
        
        2
        
          2024-01-12
          Fixed
          0.50800000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Cequel Communications Holdings I, LLC/Cequel Capital Corporation
        N/A
        CEQUEL 7 1/2 04/01/28
        15672WAJ3
        
          
        
        1200000.00000000
        PA
        USD
        1268436.00000000
        0.015815577795
        Long
        DBT
        CORP
        US
        
        Y
        
        2
        
          2028-04-01
          Fixed
          7.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Royal Bank of Canada
        ES7IP3U3RHIGC71XBU11
        RY 0.425 01/19/24
        78015K7L2
        
          
        
        2000000.00000000
        PA
        USD
        2001928.92000000
        0.024961182570
        Long
        DBT
        CORP
        CA
        
        N
        
        2
        
          2024-01-19
          Fixed
          0.42500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Dupont De Nemours Inc
        5493004JF0SDFLM8GD76
        DWDP 4.205 11/15/23
        26078JAB6
        
          
        
        2177000.00000000
        PA
        USD
        2349928.08000000
        0.029300233013
        Long
        DBT
        CORP
        US
        
        N
        
        2
        
          2023-11-15
          Fixed
          4.20500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Nasdaq Inc
        549300L8X1Q78ERXFD06
        NDAQ 0.445 12/21/22
        63111XAC5
        
          
        
        25000000.00000000
        PA
        USD
        25013504.25000000
        0.311882524937
        Long
        DBT
        CORP
        US
        
        N
        
        2
        
          2022-12-21
          Fixed
          0.44500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Metropolitan Life Global Funding I
        635400MMSOCXNNNZDZ82
        MET Float 01/13/23
        59217GEF2
        
          
        
        14500000.00000000
        PA
        USD
        14599387.21000000
        0.182033420830
        Long
        DBT
        CORP
        US
        
        Y
        
        2
        
          2023-01-13
          Floating
          0.61999900
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Pioneer Natural Resources Company
        FY8JBF7CCL2VE4F1B628
        PXD 0.55 05/15/23
        723787AU1
        
          
        
        16930000.00000000
        PA
        USD
        16955593.59000000
        0.211411935241
        Long
        DBT
        CORP
        US
        
        N
        
        2
        
          2023-05-15
          Fixed
          0.55000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Williams Partners L.P.
        D71FAKCBLFS2O0RBPG08
        WMB 3.6 03/15/22
        96949LAA3
        
          
        
        4159000.00000000
        PA
        USD
        4219185.55000000
        0.052607192873
        Long
        DBT
        CORP
        US
        
        N
        
        2
        
          2022-03-15
          Fixed
          3.60000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase & Co.
        8I5DZWZKVSZI1NUHU748
        JPM 3 3/8 05/01/23
        46625HJJ0
        
          
        
        1400000.00000000
        PA
        USD
        1470034.47000000
        0.018329221594
        Long
        DBT
        CORP
        US
        
        N
        
        2
        
          2023-05-01
          Fixed
          3.37500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Molson Coors Beverage Company
        54930073LBBH6ZCBE225
        TAP 3 1/2 05/01/22
        60871RAC4
        
          
        
        18831000.00000000
        PA
        USD
        19279334.85000000
        0.240385656165
        Long
        DBT
        CORP
        US
        
        N
        
        2
        
          2022-05-01
          Fixed
          3.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        AmerisourceBergen Corporation
        AI8GXW8LG5WK7E9UD086
        ABC 0.737 03/15/23
        03073EAS4
        
          
        
        30000000.00000000
        PA
        USD
        30059021.10000000
        0.374792884040
        Long
        DBT
        CORP
        US
        
        N
        
        2
        
          2023-03-15
          Fixed
          0.73700000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Charter Communications Operating, LLC/Charter Communications Operating Capital Corp.
        549300TPZNMN50BJ3745
        CHTR 4.464 07/23/22
        161175BB9
        
          
        
        1385000.00000000
        PA
        USD
        1429734.74000000
        0.017826741756
        Long
        DBT
        CORP
        US
        
        N
        
        2
        
          2022-07-23
          Fixed
          4.46400000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Nissan Motor Acceptance Corporation
        7D6DIU2QXTUJRFNNJA49
        NSANY 1.9 09/14/21
        654740AS8
        
          
        
        5500000.00000000
        PA
        USD
        5510841.99000000
        0.068712296253
        Long
        DBT
        CORP
        US
        
        Y
        
        2
        
          2021-09-14
          Fixed
          1.90000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Energy Transfer LP
        5493008K8W3OKZE54J59
        ETP 4 1/4 03/15/23
        29278NAL7
        
          
        
        2000000.00000000
        PA
        USD
        2094912.00000000
        0.026120548226
        Long
        DBT
        CORP
        US
        
        N
        
        2
        
          2023-03-15
          Fixed
          4.25000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        HTSCP
        N/A
        HTSCP 0 10/06/21
        43276VX60
        
          
        
        22500000.00000000
        PA
        USD
        22463865.00000000
        0.280092180048
        Long
        DBT
        
        US
        
        N
        
        2
        
          2021-10-06
          Fixed
          0.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Citizens Bank, National Association
        DRMSV1Q0EKMEXLAU1P80
        CFG 2.65 05/26/22
        17401QAL5
        
          
        
        35102000.00000000
        PA
        USD
        35729007.37000000
        0.445489481229
        Long
        DBT
        CORP
        US
        
        N
        
        2
        
          2022-05-26
          Fixed
          2.65000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Duke Energy Corp
        I1BZKREC126H0VB1BL91
        DUK 1.8 09/01/21
        26441CAR6
        
          
        
        18250000.00000000
        PA
        USD
        18250000.00000000
        0.227551326803
        Long
        DBT
        CORP
        US
        
        N
        
        2
        
          2021-09-01
          Fixed
          1.80000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Sumitomo Mitsui Financial Group Inc
        35380028MYWPB6AUO129
        SUMIBK 2.442 10/19/21
        86562MAH3
        
          
        
        42458000.00000000
        PA
        USD
        42664517.41000000
        0.531965344881
        Long
        DBT
        CORP
        JP
        
        N
        
        2
        
          2021-10-19
          Fixed
          2.44200000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Toyota Motor Credit Corporation
        Z2VZBHUMB7PWWJ63I008
        TOYOTA 2.9 03/30/23
        89236TGW9
        
          
        
        673000.00000000
        PA
        USD
        702377.38000000
        0.008757638615
        Long
        DBT
        CORP
        US
        
        N
        
        2
        
          2023-03-30
          Fixed
          2.90000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Netflix, Inc.
        549300Y7VHGU0I7CE873
        NFLX 5 1/2 02/15/22
        64110LAJ5
        
          
        
        9328000.00000000
        PA
        USD
        9584520.00000000
        0.119505218782
        Long
        DBT
        CORP
        US
        
        N
        
        2
        
          2022-02-15
          Fixed
          5.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CDX.NA.HY Series 35
        N/A
        CDXHY35 12/20/2025
        N/A
        
          
        
        -356800000.00000000
        PA
        USD
        32542300.80000000
        0.405755820509
        Long
        DCR
        CORP
        N/A
        
        N
        
        2
        
          
            
              GOLDMAN SACHS
              N/A
            
            
              
                CDX.NA.HY Series 35
                CDX.NA.HY Series 35
              
            
            Y
            
            N/A
            2025-12-20
            27969436.63000000
            USD
            0.00000000
            USD
            -356800000.00000000
            USD
            4572864.17000000
          
        
        
          N
          N
          N
        
      
      
        Hyndai Capital America
        549300RIPPWJB5Z0FK07
        HYNMTR 0 7/8 06/14/24
        44891ABV8
        
          
        
        15000000.00000000
        PA
        USD
        14978332.65000000
        0.186758327003
        Long
        DBT
        CORP
        US
        
        Y
        
        2
        
          2024-06-14
          Fixed
          0.87500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Bank of America Corporation
        9DJT3UXIJIZJI4WXO774
        BAC 2.881 04/24/23
        06051GGK9
        
          
        
        35000000.00000000
        PA
        USD
        35640556.00000000
        0.444386619497
        Long
        DBT
        CORP
        US
        
        N
        
        2
        
          2023-04-24
          Fixed
          2.88100000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Canadian Imperial Bank of Commerce
        2IGI19DL77OX0HC3ZE78
        CM 0.45 06/22/23
        13607HVC3
        
          
        
        15000000.00000000
        PA
        USD
        15014423.25000000
        0.187208325026
        Long
        DBT
        CORP
        CA
        
        N
        
        2
        
          2023-06-22
          Fixed
          0.45000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Cigna Corporation
        549300VIWYMSIGT1U456
        CI Float 07/15/23
        125523AC4
        
          
        
        9340000.00000000
        PA
        USD
        9462793.82000000
        0.117987467891
        Long
        DBT
        CORP
        US
        
        N
        
        2
        
          2023-07-15
          Floating
          1.01612900
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Mitsubishi UFJ Financial Group, Inc.
        353800V2V8PUY9TK3E06
        MUFG 0.848 09/15/24
        606822BV5
        
          
        
        2000000.00000000
        PA
        USD
        2010206.90000000
        0.025064397109
        Long
        DBT
        CORP
        JP
        
        N
        
        2
        
          2024-09-15
          Fixed
          0.84800000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Pacific Gas and Electric Company
        1HNPXZSMMB7HMBMVBS46
        PCG 1 3/4 06/16/22
        694308JE8
        
          
        
        700000.00000000
        PA
        USD
        699179.89000000
        0.008717770501
        Long
        DBT
        CORP
        US
        
        N
        
        2
        
          2022-06-16
          Fixed
          1.75000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Walt Disney Company
        549300GZKULIZ0WOW665
        DIS 2.45 03/04/22
        25468PDQ6
        
          
        
        11001000.00000000
        PA
        USD
        11146047.74000000
        0.138975230238
        Long
        DBT
        CORP
        US
        
        N
        
        2
        
          2022-03-04
          Fixed
          2.45000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Morgan Stanley
        IGJSJL3JD5P30I6NJZ34
        MS 2 3/4 05/19/22
        61744YAH1
        
          
        
        9878000.00000000
        PA
        USD
        10079179.20000000
        0.125672909592
        Long
        DBT
        CORP
        US
        
        N
        
        2
        
          2022-05-19
          Fixed
          2.75000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Heineken N.V.
        724500K5PTPSST86UQ23
        HEIANA 3.4 04/01/22
        423012AA1
        
          
        
        12429000.00000000
        PA
        USD
        12681980.74000000
        0.158126111993
        Long
        DBT
        CORP
        NL
        
        Y
        
        2
        
          2022-04-01
          Fixed
          3.40000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Verizon Communications Inc.
        2S72QS2UO2OESLG6Y829
        VZ 4.15 03/15/24
        92343VBY9
        
          
        
        1100000.00000000
        PA
        USD
        1196060.43000000
        0.014913158234
        Long
        DBT
        CORP
        US
        
        N
        
        2
        
          2024-03-15
          Fixed
          4.15000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Apx Group, Inc.
        549300OMQVKPRU98OE64
        APXSEC 7 5/8 09/01/23
        00213MAS3
        
          
        
        4000000.00000000
        PA
        USD
        4106940.00000000
        0.051207651841
        Long
        DBT
        CORP
        US
        
        N
        
        2
        
          2023-09-01
          Fixed
          7.62500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Volkswagen Group of America Finance LLC
        5493002SQ1AVQBY41K40
        VW 4 11/12/21
        928668AP7
        
          
        
        31670000.00000000
        PA
        USD
        31998776.40000000
        0.398978850735
        Long
        DBT
        CORP
        US
        
        Y
        
        2
        
          2021-11-12
          Fixed
          4.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Dreyfus Treasury Obligations Cash Management
        549300MKKM9KT7BF6329
        DREY-T O C/M-INS
        261908107
        
          
        
        104233454.03000000
        PA
        USD
        104233454.03000000
        1.299641685582
        Long
        STIV
        RF
        US
        
        N
        
        1
        
          N
          N
          N
        
      
      
        NextEra Energy Capital Holdings Inc
        UMI46YPGBLUE4VGNNT48
        NEE Float 02/25/22
        65339KBC3
        
          
        
        20240000.00000000
        PA
        USD
        20311401.86000000
        0.253254051643
        Long
        DBT
        CORP
        US
        
        N
        
        2
        
          2022-02-25
          Floating
          0.86699900
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Federal Farm Credit Banks
        N/A
        FFCB Float 09/17/21
        3133EJZP7
        
          
        
        10000000.00000000
        PA
        USD
        10000709.70000000
        0.124694507463
        Long
        DBT
        USGSE
        US
        
        N
        
        2
        
          2021-09-17
          Floating
          0.10913000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CDX.NA.HY Series 36
        N/A
        CDXHY36 06/20/2026
        N/A
        
          
        
        -114400000.00000000
        PA
        USD
        10520567.20000000
        0.131176384936
        Long
        DCR
        CORP
        N/A
        
        N
        
        2
        
          
            
              MORGAN STANLEY
              N/A
            
            
              
                CDX.NA.HY Series 35
                CDX.NA.HY Series 36
              
            
            Y
            
            N/A
            2026-06-20
            9043907.59000000
            USD
            0.00000000
            USD
            -114400000.00000000
            USD
            1476659.61000000
          
        
        
          N
          N
          N
        
      
      
        Takeda Pharmaceutical Company Limited
        549300ZLMVP4X0OGR454
        TACHEM 4.4 11/26/23
        874060AT3
        
          
        
        500000.00000000
        PA
        USD
        542200.46000000
        0.006760462140
        Long
        DBT
        CORP
        JP
        
        N
        
        2
        
          2023-11-26
          Fixed
          4.40000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        LYB International Finance B.V.
        549300J6QSW38QNOJK61
        LYB 4 07/15/23
        50247VAA7
        
          
        
        4545000.00000000
        PA
        USD
        4853152.05000000
        0.060511845926
        Long
        DBT
        CORP
        NL
        
        N
        
        2
        
          2023-07-15
          Fixed
          4.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Bank of America Corporation
        9DJT3UXIJIZJI4WXO774
        BAC 3.004 12/20/23
        06051GHC6
        
          
        
        4000000.00000000
        PA
        USD
        4142018.52000000
        0.051645030677
        Long
        DBT
        CORP
        US
        
        N
        
        2
        
          2023-12-20
          Fixed
          3.00400000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        AbbVie Inc.
        FR5LCKFTG8054YNNRU85
        ABBV Float 11/19/21
        00287YBK4
        
          
        
        38911000.00000000
        PA
        USD
        38958780.37000000
        0.485760118567
        Long
        DBT
        CORP
        US
        
        N
        
        2
        
          2021-11-19
          Floating
          0.60963100
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Pacific Gas and Electric Company
        1HNPXZSMMB7HMBMVBS46
        PCG 4 1/4 08/01/23
        694308JB4
        
          
        
        4191000.00000000
        PA
        USD
        4427105.10000000
        0.055199651474
        Long
        DBT
        CORP
        US
        
        N
        
        2
        
          2023-08-01
          Fixed
          4.25000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Goldman Sachs Group, Inc.
        784F5XWPLTWKTBV3E584
        GS 0.481 01/27/23
        38141GXP4
        
          
        
        52000000.00000000
        PA
        USD
        52032590.48000000
        0.648771780864
        Long
        DBT
        CORP
        US
        
        N
        
        2
        
          2023-01-27
          Fixed
          0.48100000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        General Motors Company
        54930070NSV60J38I987
        GM 5.4 10/02/23
        37045VAW0
        
          
        
        2542000.00000000
        PA
        USD
        2789405.72000000
        0.034779888908
        Long
        DBT
        CORP
        US
        
        N
        
        2
        
          2023-10-02
          Fixed
          5.40000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Cooperatieve Rabobank U.A.
        DG3RU1DBUFHT4ZF9WN62
        RABOBK 4 5/8 12/01/23
        21684AAA4
        
          
        
        4700000.00000000
        PA
        USD
        5128100.86000000
        0.063940063269
        Long
        DBT
        CORP
        NL
        
        N
        
        2
        
          2023-12-01
          Fixed
          4.62500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        W.R. Berkley Corporation
        SQOAGCLKBDWNVYV1OV80
        WRB 4 5/8 03/15/22
        084423AS1
        
          
        
        1850000.00000000
        PA
        USD
        1897914.98000000
        0.023664277910
        Long
        DBT
        CORP
        US
        
        N
        
        2
        
          2022-03-15
          Fixed
          4.62500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Georgia-Pacific LLC
        L2EVHWFHVAQK72TMH265
        GP 8 01/15/24
        373298CF3
        
          
        
        2420000.00000000
        PA
        USD
        2856861.43000000
        0.035620964870
        Long
        DBT
        CORP
        US
        
        N
        
        2
        
          2024-01-15
          Fixed
          8.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Citizens Bank, National Association
        DRMSV1Q0EKMEXLAU1P80
        CFG 3 1/4 02/14/22
        17401QAS0
        
          
        
        30562000.00000000
        PA
        USD
        30977204.02000000
        0.386241308242
        Long
        DBT
        CORP
        US
        
        N
        
        2
        
          2022-02-14
          Fixed
          3.25000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Microsoft Corporation
        INR2EJN1ERAN0W5ZP974
        MSFT 2.4 02/06/22
        594918BW3
        
          
        
        1500000.00000000
        PA
        USD
        1514517.21000000
        0.018883857567
        Long
        DBT
        CORP
        US
        
        N
        
        2
        
          2022-02-06
          Fixed
          2.40000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        HUMANA INC
        N/A
        HUM 0.65 08/03/23
        444859BP6
        
          
        
        20000000.00000000
        PA
        USD
        20004810.40000000
        0.249431295834
        Long
        DBT
        
        US
        
        N
        
        2
        
          2023-08-03
          Fixed
          0.65000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        AbbVie Inc.
        FR5LCKFTG8054YNNRU85
        ABBV Float 11/21/22
        00287YBP3
        
          
        
        27165000.00000000
        PA
        USD
        27345284.87000000
        0.340956485150
        Long
        DBT
        CORP
        US
        
        N
        
        2
        
          2022-11-21
          Floating
          0.79925000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Barclays PLC
        213800LBQA1Y9L22JB70
        BACR 4.61 02/15/23
        06738EBE4
        
          
        
        11350000.00000000
        PA
        USD
        11603306.46000000
        0.144676590700
        Long
        DBT
        CORP
        GB
        
        N
        
        2
        
          2023-02-15
          Fixed
          4.61000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Hormel Foods Corp
        MSD54751OJP1FS2ND863
        HRL 0.65 06/03/24
        440452AG5
        
          
        
        710000.00000000
        PA
        USD
        712421.16000000
        0.008882870148
        Long
        DBT
        CORP
        US
        
        N
        
        2
        
          2024-06-03
          Fixed
          0.65000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Volkswagen Group of America Finance LLC
        5493002SQ1AVQBY41K40
        VW 2 1/2 09/24/21
        928668AX0
        
          
        
        16143000.00000000
        PA
        USD
        16193834.15000000
        0.201913887500
        Long
        DBT
        CORP
        US
        
        Y
        
        2
        
          2021-09-24
          Fixed
          2.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Mirror Merger Sub 2 LLC
        4JJ8ORNW1AFZPSV8GJ79
        EV 3 5/8 06/15/23
        278265AD5
        
          
        
        1900000.00000000
        PA
        USD
        2007699.43000000
        0.025033132554
        Long
        DBT
        CORP
        US
        
        N
        
        2
        
          2023-06-15
          Fixed
          3.62500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        American Honda Finance Corporation
        B6Q2VFHD1797Q7NZ3E43
        HNDA Float 01/21/22
        02665WDQ1
        
          
        
        30000000.00000000
        PA
        USD
        30021690.90000000
        0.374327429983
        Long
        DBT
        CORP
        US
        
        N
        
        2
        
          2022-01-21
          Floating
          0.25425000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Capital One Financial Corporation
        ZUE8T73ROZOF6FLBAR73
        COF Float 03/09/22
        14040HBM6
        
          
        
        28229000.00000000
        PA
        USD
        28359659.06000000
        0.353604276537
        Long
        DBT
        CORP
        US
        
        N
        
        2
        
          2022-03-09
          Floating
          1.07313100
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Valero Energy Corporation
        549300XTO5VR8SKV1V74
        VLO 2.7 04/15/23
        91913YAX8
        
          
        
        2000000.00000000
        PA
        USD
        2072342.74000000
        0.025839141922
        Long
        DBT
        CORP
        US
        
        N
        
        2
        
          2023-04-15
          Fixed
          2.70000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        The Bank of New York Mellon Corporation
        WFLLPEPC7FZXENRZV188
        BK 1.6 04/24/25
        06406RAN7
        
          
        
        2000000.00000000
        PA
        USD
        2059523.22000000
        0.025679300892
        Long
        DBT
        CORP
        US
        
        N
        
        2
        
          2025-04-24
          Fixed
          1.60000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Air Lease Corporation
        5493004NW4M4P8TMMK63
        AL Float 12/15/22
        00914AAN2
        
          
        
        24000000.00000000
        PA
        USD
        24029327.28000000
        0.299611249576
        Long
        DBT
        CORP
        US
        
        N
        
        2
        
          2022-12-15
          Floating
          0.48399800
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        HILLTOP SECURITIES, INC.
        N/A
        HTSCPH 0 09/29/21
        43276XWV2
        
          
        
        24000000.00000000
        PA
        USD
        23946506.67000000
        0.298578595346
        Long
        DBT
        
        US
        
        N
        
        2
        
          2021-09-29
          Fixed
          0.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Truist Bank (North Carolina)
        JJKC32MCHWDI71265Z06
        TFC 2.8 05/17/22
        86787EBE6
        
          
        
        1780000.00000000
        PA
        USD
        1813543.46000000
        0.022612286056
        Long
        DBT
        CORP
        US
        
        N
        
        2
        
          2022-05-17
          Fixed
          2.80000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Wells Fargo Bank, National Association
        KB1H1DSPRFMYMCUFXT09
        WFC 2.082 09/09/22
        94988J6A0
        
          
        
        56600000.00000000
        PA
        USD
        56707461.89000000
        0.707060722890
        Long
        DBT
        CORP
        US
        
        N
        
        2
        
          2022-09-09
          Fixed
          2.08200000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        NatWest Group plc
        2138005O9XJIJN4JPN90
        NWG 3 7/8 09/12/23
        780097BD2
        
          
        
        7160000.00000000
        PA
        USD
        7639995.30000000
        0.095259784509
        Long
        DBT
        CORP
        GB
        
        N
        
        2
        
          2023-09-12
          Fixed
          3.87500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        HYG US 08/20/21 C95
        N/A
        
          
        
        19000.00000000
        NC
        USD
        19000.00000000
        0.000236902751
        Long
        DE
        CORP
        N/A
        
        N
        
        2
        
          
            
              PERSHING
              N/A
            
            Call
            Purchased
            
              
                Ishares Trust
                Ishares Trust IBOXX HI YD ETF
                
                  
                
              
            
            19000.00000000
            95.00000000
            USD
            2021-08-20
            XXXX
            -4160.30000000
          
        
        
          N
          N
          N
        
      
      
        The Boeing Company
        RVHJWBXLJ1RFUBSY1F30
        BA 1.167 02/04/23
        097023DD4
        
          
        
        23000000.00000000
        PA
        USD
        23079013.51000000
        0.287762199754
        Long
        DBT
        CORP
        US
        
        N
        
        2
        
          2023-02-04
          Fixed
          1.16700000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY FUNDS
        N/A
        MSILF #8302 GOVERNMENT PORTFOLIO INSTL SHARE CLASS (SWEEP CUSIP) (#8302)
        N/A
        
          
        
        0.00000000
        NS
        USD
        0.00000000
        0.000000
        Long
        STIV
        
        US
        
        N
        
        N/A
        
          
          N
          N
        
      
      
        John Deere Capital Corporation
        E0KSF7PFQ210NWI8Z391
        DE 0.7 07/05/23
        24422EVH9
        
          
        
        2000000.00000000
        PA
        USD
        2016422.58000000
        0.025141897724
        Long
        DBT
        CORP
        US
        
        N
        
        2
        
          2023-07-05
          Fixed
          0.70000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        NextEra Energy Capital Holdings Inc
        UMI46YPGBLUE4VGNNT48
        NEE 0.65 03/01/23
        65339KBU3
        
          
        
        2000000.00000000
        PA
        USD
        2007733.08000000
        0.025033552121
        Long
        DBT
        CORP
        US
        
        N
        
        2
        
          2023-03-01
          Fixed
          0.65000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Chicago Board of Trade
        549300EX04Q2QBFQTQ27
        US 5YR NOTE (CBT) Sep21
        N/A
        
          
        
        1886.00000000
        NC
        USD
        1239568.43000000
        0.015455640597
        Long
        DIR
        CORP
        US
        
        N
        
        1
        
          
            
              GOLDMAN SACHS
              N/A
            
            Long
            
              
                N/A
                CBOT 5 Year US Treasury Note
                
                  
                
              
            
            2021-09-30
            233463701.57000000
            USD
            1239568.43000000
          
        
        
          N
          N
          N
        
      
      
        Walmart Inc
        Y87794H0US1R65VBXU25
        WMT 3.4 06/26/23
        931142EK5
        
          
        
        2000000.00000000
        PA
        USD
        2112833.60000000
        0.026344004876
        Long
        DBT
        CORP
        US
        
        N
        
        2
        
          2023-06-26
          Fixed
          3.40000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Toyota Motor Credit Corporation
        Z2VZBHUMB7PWWJ63I008
        TOYOTA 0.45 07/22/22
        89236THD0
        
          
        
        550000.00000000
        PA
        USD
        551390.97000000
        0.006875054619
        Long
        DBT
        CORP
        US
        
        N
        
        2
        
          2022-07-22
          Fixed
          0.45000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Cardinal Health, Inc.
        CCU46N3GJMF4OK4N7U60
        CAH 2.616 06/15/22
        14149YBF4
        
          
        
        4143000.00000000
        PA
        USD
        4217854.19000000
        0.052590592723
        Long
        DBT
        CORP
        US
        
        N
        
        2
        
          2022-06-15
          Fixed
          2.61600000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Wells Fargo & Company
        PBLD0EJDB5FWOLXP3B76
        WFC 3 3/4 01/24/24
        95000U2C6
        
          
        
        2000000.00000000
        PA
        USD
        2151211.48000000
        0.026822522000
        Long
        DBT
        CORP
        US
        
        N
        
        2
        
          2024-01-24
          Fixed
          3.75000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        AbbVie Inc.
        FR5LCKFTG8054YNNRU85
        ABBV 3 3/4 11/14/23
        00287YBC2
        
          
        
        2600000.00000000
        PA
        USD
        2785641.07000000
        0.034732949122
        Long
        DBT
        CORP
        US
        
        N
        
        2
        
          2023-11-14
          Fixed
          3.75000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Canadian Imperial Bank of Commerce New York Branch
        N/A
        CM Float 01/24/22
        13606CUR3
        
          
        
        20000000.00000000
        PA
        USD
        20000000.00000000
        0.249371317045
        Long
        STIV
        CORP
        CA
        
        Y
        
        2
        
          N
          N
          N
        
      
      
        TD AMERITRADE Holding Corporation
        ZI85ER3E6RXD4HPHW309
        AMTD 2.95 04/01/22
        87236YAE8
        
          
        
        2000000.00000000
        PA
        USD
        2026963.42000000
        0.025273326882
        Long
        DBT
        CORP
        US
        
        N
        
        2
        
          2022-04-01
          Fixed
          2.95000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        McDonald's Corporation
        UE2136O97NLB5BYP9H04
        MCD Float 10/28/21
        58013MFG4
        
          
        
        71650000.00000000
        PA
        USD
        71724811.20000000
        0.894305531688
        Long
        DBT
        CORP
        US
        
        N
        
        2
        
          2021-10-28
          Floating
          0.56162900
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Philip Morris International Inc.
        HL3H1H2BGXWVG3BSWR90
        PM 1 1/8 05/01/23
        718172CQ0
        
          
        
        900000.00000000
        PA
        USD
        913415.42000000
        0.011388980314
        Long
        DBT
        CORP
        US
        
        N
        
        2
        
          2023-05-01
          Fixed
          1.12500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Morgan Stanley
        IGJSJL3JD5P30I6NJZ34
        MS 3 7/8 04/29/24
        61746BDQ6
        
          
        
        720000.00000000
        PA
        USD
        783090.52000000
        0.009764015716
        Long
        DBT
        CORP
        US
        
        N
        
        2
        
          2024-04-29
          Fixed
          3.87500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Aercap Ireland Capital DAC
        549300TI38531ODB1G63
        AER 4 1/2 09/15/23
        00774MAP0
        
          
        
        4000000.00000000
        PA
        USD
        4282324.40000000
        0.053394443782
        Long
        DBT
        CORP
        IE
        
        N
        
        2
        
          2023-09-15
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Deutsche Bank AG New York Branch
        N/A
        DB Float 11/16/22
        251526BM0
        
          
        
        2580000.00000000
        PA
        USD
        2599309.39000000
        0.032409660299
        Long
        DBT
        CORP
        DE
        
        N
        
        2
        
          2022-11-16
          Floating
          1.34588200
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Kraft Heinz Foods Company
        5493003STKEZ2S0RNU91
        KHC 3 1/2 06/06/22
        50076QAZ9
        
          
        
        8860000.00000000
        PA
        USD
        9080907.00000000
        0.113225886927
        Long
        DBT
        CORP
        US
        
        N
        
        2
        
          2022-06-06
          Fixed
          3.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Mitsubishi UFJ Financial Group, Inc.
        353800V2V8PUY9TK3E06
        MUFG 2.665 07/25/22
        606822AP9
        
          
        
        7000000.00000000
        PA
        USD
        7167311.34000000
        0.089366093426
        Long
        DBT
        CORP
        JP
        
        N
        
        2
        
          2022-07-25
          Fixed
          2.66500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Credit Suisse AG New York Branch
        549300D0YARF5HYP1809
        CS Float 02/04/22
        22550UAA9
        
          
        
        35000000.00000000
        PA
        USD
        35054539.10000000
        0.437079829189
        Long
        DBT
        CORP
        CH
        
        N
        
        2
        
          2022-02-04
          Floating
          0.47890100
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Morgan Stanley
        IGJSJL3JD5P30I6NJZ34
        MS 3 1/8 01/23/23
        61744YAN8
        
          
        
        2025000.00000000
        PA
        USD
        2106938.69000000
        0.026270503802
        Long
        DBT
        CORP
        US
        
        N
        
        2
        
          2023-01-23
          Fixed
          3.12500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        OPTION ISSUER
        N/A
        S&P500 EMINI OPTN Sep21P
        N/A
        
          
        
        2500.00000000
        NC
        USD
        3275000.00000000
        0.040834553166
        Long
        DE
        CORP
        US
        
        N
        
        2
        
          
            
              GOLDMAN SACHS
              N/A
            
            Put
            Purchased
            
              
                
                  
                    N/A
                    N/A
                  
                  
                     Chicago Mercantile Exchange    
                    N/A
                    S&P500 EMINI FUT  Sep21
                    N/A
                    
                      
                    
                    50.00000000
                    NC
                    USD
                    N/A
                    N/A
                    DE
                    CORP
                    US
                    US
                  
                  Short
                  
                    
                      CME Standard & Poor's 500 Inde
                      SPX
                    
                  
                  2021-09-17
                  10973750.00000000
                  USD
                
              
            
            2500.00000000
            4000.00000000
            USD
            2021-09-17
            XXXX
            -915625.00000000
          
        
        
          N
          N
          N
        
      
      
        Sirius Xm Radio Inc
        WP5O65E6BMU84LNO4227
        SIRI 3 7/8 08/01/22
        82967NAY4
        
          
        
        2910000.00000000
        PA
        USD
        2910000.00000000
        0.036283526630
        Long
        DBT
        CORP
        US
        
        Y
        
        2
        
          2022-08-01
          Fixed
          3.87500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Exxon Mobil Corporation
        J3WHBG0MTS7O8ZVMDC91
        XOM 1.571 04/15/23
        30231GBL5
        
          
        
        9440000.00000000
        PA
        USD
        9645070.97000000
        0.120260202539
        Long
        DBT
        CORP
        US
        
        N
        
        2
        
          2023-04-15
          Fixed
          1.57100000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Macquarie Bank Limited
        4ZHCHI4KYZG2WVRT8631
        MQGAU Float 08/06/21
        55608PBB9
        
          
        
        25000000.00000000
        PA
        USD
        25001267.50000000
        0.311729950213
        Long
        DBT
        CORP
        AU
        
        Y
        
        2
        
          2021-08-06
          Floating
          0.62538100
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        AT&T Inc
        549300Z40J86GGSTL398
        AT&T INC 0 CP 14/12/2021
        0020A2ZE5
        
          
        
        49000000.00000000
        PA
        USD
        48968113.25000000
        0.610562144719
        Long
        STIV
        CORP
        US
        
        N
        
        2
        
          N
          N
          N
        
      
      
        FiServ Inc.
        GI7UBEJLXYLGR2C7GV83
        FISV 3.8 10/01/23
        337738AQ1
        
          
        
        600000.00000000
        PA
        USD
        641314.81000000
        0.007996275940
        Long
        DBT
        CORP
        US
        
        N
        
        2
        
          2023-10-01
          Fixed
          3.80000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        American Honda Finance Corporation
        B6Q2VFHD1797Q7NZ3E43
        HONDA 0 09/07/21
        02665JW71
        
          
        
        50000000.00000000
        PA
        USD
        49990466.50000000
        0.623309423540
        Long
        STIV
        CORP
        US
        
        N
        
        2
        
          N
          N
          N
        
      
      
        Shell International Finance B.V.
        213800ITMMKU4Z7I4F78
        RDSALN 0 3/8 09/15/23
        822582CJ9
        
          
        
        2000000.00000000
        PA
        USD
        2000797.08000000
        0.024947070149
        Long
        DBT
        CORP
        NL
        
        N
        
        2
        
          2023-09-15
          Fixed
          0.37500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Ford Motor Credit Company LLC
        UDSQCVRUX5BONN0VY111
        F Float 01/07/22
        345397ZN6
        
          
        
        12476000.00000000
        PA
        USD
        12579159.55000000
        0.156844079215
        Long
        DBT
        CORP
        US
        
        N
        
        2
        
          2022-01-07
          Floating
          3.27800200
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        John Deere Capital Corporation
        E0KSF7PFQ210NWI8Z391
        DE 1.2 04/06/23
        24422EVE6
        
          
        
        800000.00000000
        PA
        USD
        813493.52000000
        0.010143097524
        Long
        DBT
        CORP
        US
        
        N
        
        2
        
          2023-04-06
          Fixed
          1.20000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Lloyds Banking Group plc
        549300PPXHEU2JF0AM85
        LLOYDS 4.05 08/16/23
        539439AS8
        
          
        
        4400000.00000000
        PA
        USD
        4708728.82000000
        0.058711095372
        Long
        DBT
        CORP
        GB
        
        N
        
        2
        
          2023-08-16
          Fixed
          4.05000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FMC Corporation
        CKDHZ2X64EEBQCSP7013
        FMC 0.00% 8/12/2021
        34410WVC3
        
          
        
        25000000.00000000
        PA
        USD
        24997708.33000000
        0.311685572468
        Long
        STIV
        CORP
        US
        
        N
        
        2
        
          N
          N
          N
        
      
      
        Honeywell International Inc.
        ISRPG12PN4EIEOEMW547
        HON 0.483 08/19/22
        438516CC8
        
          
        
        15400000.00000000
        PA
        USD
        15402277.35000000
        0.192044309413
        Long
        DBT
        CORP
        US
        
        N
        
        2
        
          2022-08-19
          Fixed
          0.48300000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        General Motors Financial Company  Inc
        5493008B6JBRUJ90QL97
        GM 5.2 03/20/23
        37045XCW4
        
          
        
        6480000.00000000
        PA
        USD
        6952501.84000000
        0.086687727030
        Long
        DBT
        CORP
        US
        
        N
        
        2
        
          2023-03-20
          Fixed
          5.20000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        ONE Gas, Inc.
        549300HXDWI0LATTX840
        OGS 0.85 03/11/23
        68235PAJ7
        
          
        
        3325000.00000000
        PA
        USD
        3326074.91000000
        0.041471384044
        Long
        DBT
        CORP
        US
        
        N
        
        2
        
          2023-03-11
          Fixed
          0.85000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        American Express Company
        R4PP93JZOLY261QX3811
        AXP 2 3/4 05/20/22
        025816CD9
        
          
        
        7870000.00000000
        PA
        USD
        8011559.34000000
        0.099892655210
        Long
        DBT
        CORP
        US
        
        N
        
        2
        
          2022-05-20
          Fixed
          2.75000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Mitsubishi UFJ Financial Group, Inc.
        353800V2V8PUY9TK3E06
        MUFG 3.407 03/07/24
        606822BD5
        
          
        
        6600000.00000000
        PA
        USD
        7074139.12000000
        0.088204369465
        Long
        DBT
        CORP
        JP
        
        N
        
        2
        
          2024-03-07
          Fixed
          3.40700000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Caterpillar Financial Services Corporation
        EDBQKYOPJUCJKLOJDE72
        CAT 0 1/4 03/01/23
        14913R2J5
        
          
        
        4360000.00000000
        PA
        USD
        4362136.18000000
        0.054389582216
        Long
        DBT
        CORP
        US
        
        N
        
        2
        
          2023-03-01
          Fixed
          0.25000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Huntington National Bank of Ohio
        2WHM8VNJH63UN14OL754
        HBAN 3 1/8 04/01/22
        44644AAH0
        
          
        
        500000.00000000
        PA
        USD
        508471.37000000
        0.006339908760
        Long
        DBT
        CORP
        US
        
        N
        
        2
        
          2022-04-01
          Fixed
          3.12500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Barclays Bank plc
        G5GSEF7VJP5I7OUK5573
        BACR 1.7 05/12/22
        06739GCR8
        
          
        
        1027000.00000000
        PA
        USD
        1037757.10000000
        0.012939342740
        Long
        DBT
        CORP
        GB
        
        N
        
        2
        
          2022-05-12
          Fixed
          1.70000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Citizens Bank, National Association
        DRMSV1Q0EKMEXLAU1P80
        CFG Float 02/14/22
        17401QAT8
        
          
        
        17340000.00000000
        PA
        USD
        17394907.46000000
        0.216889549159
        Long
        DBT
        CORP
        US
        
        N
        
        2
        
          2022-02-14
          Floating
          0.87413000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Credit Suisse Group Funding (Guernsey) Limited
        549300PXR5FKNXF0OH19
        CS 3.8 09/15/22
        225433AH4
        
          
        
        600000.00000000
        PA
        USD
        623194.56000000
        0.007770342410
        Long
        DBT
        CORP
        GG
        
        N
        
        2
        
          2022-09-15
          Fixed
          3.80000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        QUALCOMM Incorporated
        H1J8DDZKZP6H7RWC0H53
        QCOM 3 05/20/22
        747525AE3
        
          
        
        2292000.00000000
        PA
        USD
        2344201.24000000
        0.029228827531
        Long
        DBT
        CORP
        US
        
        N
        
        2
        
          2022-05-20
          Fixed
          3.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Northwestern Mutual Global Funding
        635400LZXFVELZDVP257
        NWMLIC 0.6 03/25/24
        66815L2B4
        
          
        
        62000000.00000000
        PA
        USD
        62198013.12000000
        0.775520022467
        Long
        DBT
        CORP
        US
        
        Y
        
        2
        
          2024-03-25
          Fixed
          0.60000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Martin Marietta Materials Inc
        5299005MZ4WZECVATV08
        MLM 0.65 07/15/23
        573284AY2
        
          
        
        10000000.00000000
        PA
        USD
        10021710.00000000
        0.124956351087
        Long
        DBT
        CORP
        US
        
        N
        
        2
        
          2023-07-15
          Fixed
          0.65000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Citigroup Inc.
        6SHGI4ZSSLCXXQSBB395
        C 0.776 10/30/24
        172967MT5
        
          
        
        3000000.00000000
        PA
        USD
        3013352.04000000
        0.037572178346
        Long
        DBT
        CORP
        US
        
        N
        
        2
        
          2024-10-30
          Fixed
          0.77600000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Mondelez International Holdings Netherlands BV
        549300CW356R8I7N8D33
        MDLZ 2 10/28/21
        60920LAC8
        
          
        
        24377000.00000000
        PA
        USD
        24443545.80000000
        0.304775960470
        Long
        DBT
        CORP
        NL
        
        Y
        
        2
        
          2021-10-28
          Fixed
          2.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Cooperatieve Centrale Raiffeisen-Boerenleenbank B.A., New York Branch
        N/A
        RABOBK 0 3/8 01/12/24
        21688AAQ5
        
          
        
        2000000.00000000
        PA
        USD
        1999295.06000000
        0.024928342113
        Long
        DBT
        CORP
        NL
        
        N
        
        2
        
          2024-01-12
          Fixed
          0.37500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Williams Partners LP / Williams Partners Finance Corporation
        D71FAKCBLFS2O0RBPG08
        WMB 4 11/15/21
        96950FAH7
        
          
        
        5600000.00000000
        PA
        USD
        5606835.53000000
        0.069909198028
        Long
        DBT
        CORP
        US
        
        N
        
        2
        
          2021-11-15
          Fixed
          4.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Daimler Finance North America LLC
        549300423Z16BB673J12
        DAIGR Float 02/15/22
        233851DV3
        
          
        
        57785000.00000000
        PA
        USD
        58054500.57000000
        0.723856363377
        Long
        DBT
        CORP
        US
        
        Y
        
        2
        
          2022-02-15
          Floating
          1.05588000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Toyota Motor Credit Corporation
        Z2VZBHUMB7PWWJ63I008
        TOYOTA Float 08/13/21
        89236TGS8
        
          
        
        40000000.00000000
        PA
        USD
        40002767.20000000
        0.498777137106
        Long
        DBT
        CORP
        US
        
        N
        
        2
        
          2021-08-13
          Floating
          0.28525000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Morgan Stanley Institutional Liquidity Funds
        N/A
        MSILF-PRIME-INS
        61747C715
        
          
        
        169800547.93900000
        PA
        USD
        169817527.99000000
        2.117381030612
        Long
        STIV
        RF
        US
        
        N
        
        1
        
          N
          N
          N
        
      
      
        Cardinal Health, Inc.
        CCU46N3GJMF4OK4N7U60
        CAH 0 06/15/22
        14149YBG2
        
          
        
        12778000.00000000
        PA
        USD
        12855638.49000000
        0.160291375085
        Long
        DBT
        CORP
        US
        
        N
        
        2
        
          2022-06-15
          Floating
          0.88888000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        The Allstate Corporation
        OBT0W1ED8G0NWVOLOJ77
        ALL 3.15 06/15/23
        020002AZ4
        
          
        
        700000.00000000
        PA
        USD
        737111.43000000
        0.009190722405
        Long
        DBT
        CORP
        US
        
        N
        
        2
        
          2023-06-15
          Fixed
          3.15000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Goldman Sachs Group, Inc.
        784F5XWPLTWKTBV3E584
        GS 0.673 03/08/24
        38141GXZ2
        
          
        
        7000000.00000000
        PA
        USD
        7015867.95000000
        0.087477811545
        Long
        DBT
        CORP
        US
        
        N
        
        2
        
          2024-03-08
          Fixed
          0.67300000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        The Boeing Company
        RVHJWBXLJ1RFUBSY1F30
        BA 2.3 08/01/21
        097023CL7
        
          
        
        10000000.00000000
        PA
        USD
        10000000.00000000
        0.124685658522
        Long
        DBT
        CORP
        US
        
        N
        
        2
        
          2021-08-01
          Fixed
          2.30000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Toyota Motor Credit Corporation
        Z2VZBHUMB7PWWJ63I008
        TOYOTA Float 02/14/22
        89236THE8
        
          
        
        29828000.00000000
        PA
        USD
        29851069.87000000
        0.372200030434
        Long
        DBT
        CORP
        US
        
        N
        
        2
        
          2022-02-14
          Floating
          0.30413200
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Credit Suisse Group Funding (Guernsey) Limited
        549300506SI9CRFV9Z86
        CS 3.8 06/09/23
        225433AT8
        
          
        
        2000000.00000000
        PA
        USD
        2117233.14000000
        0.026398860830
        Long
        DBT
        CORP
        GG
        
        N
        
        2
        
          2023-06-09
          Fixed
          3.80000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        United Health Group Incorporated
        549300GHBMY8T5GXDE41
        UNH 2 7/8 03/15/22
        91324PBV3
        
          
        
        2000000.00000000
        PA
        USD
        2019972.44000000
        0.025186159387
        Long
        DBT
        CORP
        US
        
        N
        
        2
        
          2022-03-15
          Fixed
          2.87500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        U.S. Bancorp
        N1GZ7BBF3NP8GI976H15
        USB 3 3/8 02/05/24
        91159HHV5
        
          
        
        2000000.00000000
        PA
        USD
        2142344.78000000
        0.026711966967
        Long
        DBT
        CORP
        US
        
        N
        
        2
        
          2024-02-05
          Fixed
          3.37500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Ladder Capital Finance Holdings LLLP/ Ladder Capital Finance Corp.
        N/A
        LADR 5 1/4 03/15/22
        505742AF3
        
          
        
        9184000.00000000
        PA
        USD
        9208245.76000000
        0.114813618642
        Long
        DBT
        CORP
        US
        
        Y
        
        2
        
          2022-03-15
          Fixed
          5.25000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Jabil Inc
        5493000CGCQY2OQU7669
        JABIL 0 08/20/21
        46652LVL8
        
          
        
        35000000.00000000
        PA
        USD
        34991318.06000000
        0.436291553488
        Long
        STIV
        CORP
        US
        
        N
        
        2
        
          N
          N
          N
        
      
      
        CAMDEN CNTY N J
        N/A
        CAM 1.5 10/19/2021
        132807M21
        
          
        
        961125.00000000
        PA
        USD
        963992.80000000
        0.012019607707
        Long
        DBT
        MUN
        US
        
        N
        
        2
        
          2021-10-19
          Fixed
          1.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Lord Abbett High
        N/A
        LA-HI YLD-I
        54400N409
        
          
        
        5486331.65500000
        NS
        USD
        41750983.89000000
        0.520574892029
        Long
        EC
        RF
        US
        
        N
        
        1
        
          N
          N
          N
        
      
      
        Marvell Technology Inc
        N/A
        MRVL 4.2 06/22/23
        573874AK0
        
          
        
        3300000.00000000
        PA
        USD
        3502906.80000000
        0.043676224110
        Long
        DBT
        CORP
        US
        
        Y
        
        2
        
          2023-06-22
          Fixed
          4.20000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Walt Disney Company
        549300GZKULIZ0WOW665
        DIS Float 03/04/22
        25468PDS2
        
          
        
        5040000.00000000
        PA
        USD
        5052261.72000000
        0.062994457958
        Long
        DBT
        CORP
        US
        
        N
        
        2
        
          2022-03-04
          Floating
          0.52400200
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Bank of America Corporation
        9DJT3UXIJIZJI4WXO774
        BAC 2.503 10/21/22
        06051GFZ7
        
          
        
        75000000.00000000
        PA
        USD
        75371612.25000000
        0.939775910730
        Long
        DBT
        CORP
        US
        
        N
        
        2
        
          2022-10-21
          Fixed
          2.50300000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Toyota Motor Corp
        5493006W3QUS5LMH6R84
        TOYOTA 0.681 03/25/24
        892331AL3
        
          
        
        2000000.00000000
        PA
        USD
        2008838.46000000
        0.025047334625
        Long
        DBT
        CORP
        JP
        
        N
        
        2
        
          2024-03-25
          Fixed
          0.68100000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        International Business Machines Corporation
        VGRQXHF3J8VDLUA7XE92
        IBM 2.85 05/13/22
        459200JX0
        
          
        
        3700000.00000000
        PA
        USD
        3776963.89000000
        0.047093322984
        Long
        DBT
        CORP
        US
        
        N
        
        2
        
          2022-05-13
          Fixed
          2.85000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Harley-Davidson Financial Services Inc.
        RLUFFFFW4GRYU77BTS24
        HOG 4.05 02/04/22
        41283LAU9
        
          
        
        4800000.00000000
        PA
        USD
        4888898.64000000
        0.060957554637
        Long
        DBT
        CORP
        US
        
        Y
        
        2
        
          2022-02-04
          Fixed
          4.05000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        NatWest Group plc
        2138005O9XJIJN4JPN90
        RBS 6 12/19/23
        780097AZ4
        
          
        
        600000.00000000
        PA
        USD
        671356.03000000
        0.008370846870
        Long
        DBT
        CORP
        GB
        
        N
        
        2
        
          2023-12-19
          Fixed
          6.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Goldman Sachs Group, Inc.
        784F5XWPLTWKTBV3E584
        GS Float 10/31/22
        38148YAB4
        
          
        
        100000000.00000000
        PA
        USD
        100162274.00000000
        1.248879909282
        Long
        DBT
        CORP
        US
        
        N
        
        2
        
          2022-10-31
          Floating
          0.96549800
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Atmos Energy Corporation
        QVLWEGTD2S8GJMO8D383
        ATO 0 5/8 03/09/23
        049560AU9
        
          
        
        2700000.00000000
        PA
        USD
        2700757.43000000
        0.033674571866
        Long
        DBT
        CORP
        US
        
        N
        
        2
        
          2023-03-09
          Fixed
          0.62500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Royal Bank of Canada
        ES7IP3U3RHIGC71XBU11
        RY 0 1/2 10/26/23
        78015K7J7
        
          
        
        3705000.00000000
        PA
        USD
        3715109.91000000
        0.046322092561
        Long
        DBT
        CORP
        CA
        
        N
        
        2
        
          2023-10-26
          Fixed
          0.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BP Capital Markets America, Inc.
        5493009NTB34VXE1T760
        BPLN 3.79 02/06/24
        10373QAD2
        
          
        
        2270000.00000000
        PA
        USD
        2448629.77000000
        0.030530901535
        Long
        DBT
        CORP
        US
        
        N
        
        2
        
          2024-02-06
          Fixed
          3.79000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Citigroup Inc.
        6SHGI4ZSSLCXXQSBB395
        C 0.981 05/01/25
        172967MX6
        
          
        
        3630000.00000000
        PA
        USD
        3650546.24000000
        0.045517076190
        Long
        DBT
        CORP
        US
        
        N
        
        2
        
          2025-05-01
          Fixed
          0.98100000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Volkswagen Group of America Finance LLC
        5493002SQ1AVQBY41K40
        VW Float 09/24/21
        928668AW2
        
          
        
        19600000.00000000
        PA
        USD
        19624252.65000000
        0.244686286468
        Long
        DBT
        CORP
        US
        
        Y
        
        2
        
          2021-09-24
          Floating
          0.99375100
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Goldman Sachs Group, Inc.
        784F5XWPLTWKTBV3E584
        GS 0.523 03/08/23
        38141GXY5
        
          
        
        1900000.00000000
        PA
        USD
        1901747.66000000
        0.023712065933
        Long
        DBT
        CORP
        US
        
        N
        
        2
        
          2023-03-08
          Fixed
          0.52300000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Barclays PLC
        213800LBQA1Y9L22JB70
        BACR 4.338 05/16/24
        06738EBB0
        
          
        
        2000000.00000000
        PA
        USD
        2128187.08000000
        0.026535440752
        Long
        DBT
        CORP
        GB
        
        N
        
        2
        
          2024-05-16
          Fixed
          4.33800000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Conagra Brands Inc
        54930035UDEIH090K650
        CAG 3 1/4 09/15/22
        205887BJ0
        
          
        
        5700000.00000000
        PA
        USD
        5877237.40000000
        0.073280721551
        Long
        DBT
        CORP
        US
        
        N
        
        2
        
          2022-09-15
          Fixed
          3.25000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Air Lease Corporation
        5493004NW4M4P8TMMK63
        AL 3 1/2 01/15/22
        00912XBE3
        
          
        
        500000.00000000
        PA
        USD
        507288.62000000
        0.006325161564
        Long
        DBT
        CORP
        US
        
        N
        
        2
        
          2022-01-15
          Fixed
          3.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Toyota Motor Credit Corporation
        Z2VZBHUMB7PWWJ63I008
        TOYOTA 0.45 01/11/24
        89236THU2
        
          
        
        700000.00000000
        PA
        USD
        700012.07000000
        0.008728146592
        Long
        DBT
        CORP
        US
        
        N
        
        2
        
          2024-01-11
          Fixed
          0.45000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        ERP Operating Limited Partnership
        DX5HQV5MLU50FEWZ5072
        EQR 4 5/8 12/15/21
        26884AAZ6
        
          
        
        800000.00000000
        PA
        USD
        804079.82000000
        0.010025722186
        Long
        DBT
        CORP
        US
        
        N
        
        2
        
          2021-12-15
          Fixed
          4.62500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Cigna Corporation
        549300VIWYMSIGT1U456
        CI 0.613 03/15/24
        125523CN8
        
          
        
        2000000.00000000
        PA
        USD
        2001119.42000000
        0.024951089266
        Long
        DBT
        CORP
        US
        
        N
        
        2
        
          2024-03-15
          Fixed
          0.61300000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        American Express Company
        R4PP93JZOLY261QX3811
        AXP 3.4 02/27/23
        025816BS7
        
          
        
        2000000.00000000
        PA
        USD
        2092230.32000000
        0.026087111523
        Long
        DBT
        CORP
        US
        
        N
        
        2
        
          2023-02-27
          Fixed
          3.40000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Marriott International, Inc.
        225YDZ14ZO8E1TXUSU86
        MAR 3 1/8 10/15/21
        571903AM5
        
          
        
        6960000.00000000
        PA
        USD
        6963522.32000000
        0.086825136610
        Long
        DBT
        CORP
        US
        
        N
        
        2
        
          2021-10-15
          Fixed
          3.12500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Microchip Technology Incorporated
        5493007PTFULNYZJ1R12
        MCHP 4.333 06/01/23
        595017AP9
        
          
        
        4695000.00000000
        PA
        USD
        4993357.53000000
        0.062260007186
        Long
        DBT
        CORP
        US
        
        N
        
        2
        
          2023-06-01
          Fixed
          4.33300000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BMW US Capital, LLC
        KK5MZM9DIXLXZL9DZL15
        BMW Float 08/13/21
        05565EBD6
        
          
        
        9750000.00000000
        PA
        USD
        9752066.22000000
        0.121594279859
        Long
        DBT
        CORP
        US
        
        Y
        
        2
        
          2021-08-13
          Floating
          0.66025100
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        NextEra Energy Capital Holdings Inc
        UMI46YPGBLUE4VGNNT48
        NEE Float 02/22/23
        65339KBT6
        
          
        
        49000000.00000000
        PA
        USD
        49006899.20000000
        0.611045749890
        Long
        DBT
        CORP
        US
        
        N
        
        2
        
          2023-02-22
          Floating
          0.42013100
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Arrow Electronics, Inc.
        549300YNNLBXT8N8R512
        ARW 3 1/2 04/01/22
        042735BD1
        
          
        
        1085000.00000000
        PA
        USD
        1101670.67000000
        0.013736253296
        Long
        DBT
        CORP
        US
        
        N
        
        2
        
          2022-04-01
          Fixed
          3.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Synchrony Bank
        549300RS7EWPM9MA6C78
        SYF 3 06/15/22
        87166FAA1
        
          
        
        11738000.00000000
        PA
        USD
        11981580.17000000
        0.149393121363
        Long
        DBT
        CORP
        US
        
        N
        
        2
        
          2022-06-15
          Fixed
          3.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        American Honda Finance Corporation
        B6Q2VFHD1797Q7NZ3E43
        AM HONDA 0 09/21/21
        02665JWM8
        
          
        
        23000000.00000000
        PA
        USD
        22993532.63000000
        0.286696375773
        Long
        STIV
        CORP
        US
        
        N
        
        2
        
          N
          N
          N
        
      
      
        Wells Fargo Bank, National Association
        KB1H1DSPRFMYMCUFXT09
        WFC 3.55 08/14/23
        94988J5R4
        
          
        
        1700000.00000000
        PA
        USD
        1808434.18000000
        0.022548580662
        Long
        DBT
        CORP
        US
        
        N
        
        2
        
          2023-08-14
          Fixed
          3.55000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Wells Fargo & Company
        PBLD0EJDB5FWOLXP3B76
        WFC 3.45 02/13/23
        94974BFJ4
        
          
        
        5000000.00000000
        PA
        USD
        5235521.80000000
        0.065279448334
        Long
        DBT
        CORP
        US
        
        N
        
        2
        
          2023-02-13
          Fixed
          3.45000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        U.S. Bancorp
        N1GZ7BBF3NP8GI976H15
        USB 3 03/15/22
        91159HHC7
        
          
        
        1000000.00000000
        PA
        USD
        1015250.10000000
        0.012658712728
        Long
        DBT
        CORP
        US
        
        N
        
        2
        
          2022-03-15
          Fixed
          3.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Zions Bancorporation Natl Assn Global Bank
        8WH0EE09O9V05QJZ3V89
        ZION 3.35 03/04/22
        98971DAA8
        
          
        
        19686000.00000000
        PA
        USD
        19987693.27000000
        0.249217869771
        Long
        DBT
        CORP
        US
        
        N
        
        2
        
          2022-03-04
          Fixed
          3.35000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Ryder System, Inc.
        ZXJ6Y2OSPZXIVGRILD15
        R 3 7/8 12/01/23
        78355HKK4
        
          
        
        6500000.00000000
        PA
        USD
        6987677.32000000
        0.087126314818
        Long
        DBT
        CORP
        US
        
        N
        
        2
        
          2023-12-01
          Fixed
          3.87500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Pepsico Inc
        FJSUNZKFNQ5YPJ5OT455
        PEP 0.4 10/07/23
        713448FB9
        
          
        
        2000000.00000000
        PA
        USD
        2004897.14000000
        0.024998192017
        Long
        DBT
        CORP
        US
        
        N
        
        2
        
          2023-10-07
          Fixed
          0.40000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Caterpillar Financial Services Corporation
        EDBQKYOPJUCJKLOJDE72
        CAT Float 01/06/22
        14913R2E6
        
          
        
        20000000.00000000
        PA
        USD
        20019185.80000000
        0.249610536456
        Long
        DBT
        CORP
        US
        
        N
        
        2
        
          2022-01-06
          Floating
          0.35788000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Legg Mason Partners Institutional Trust
        6SHGI4ZSSLCXXQSBB395
        WSTRN ASST INST LIQ RES
        52470G882
        
          
        
        154309181.62500000
        PA
        USD
        154324612.54000000
        1.924206594080
        Long
        STIV
        RF
        US
        
        N
        
        1
        
          N
          N
          N
        
      
      
        General Motors Financial Company  Inc
        5493008B6JBRUJ90QL97
        GM FLOAT 06/30/22
        37045XBX3
        
          
        
        8210000.00000000
        PA
        USD
        8286195.12000000
        0.103316969518
        Long
        DBT
        CORP
        US
        
        N
        
        2
        
          2022-06-30
          Floating
          1.45725100
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase & Co.
        8I5DZWZKVSZI1NUHU748
        JPM 0.563 02/16/25
        46647PBY1
        
          
        
        2000000.00000000
        PA
        USD
        1993708.84000000
        0.024858689961
        Long
        DBT
        CORP
        US
        
        N
        
        2
        
          2025-02-16
          Fixed
          0.56300000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Union Pacific Corporation
        549300LMMRSZZCZ8CL11
        UNP 4.163 07/15/22
        907818DK1
        
          
        
        544000.00000000
        PA
        USD
        559012.91000000
        0.006970089280
        Long
        DBT
        CORP
        US
        
        N
        
        2
        
          2022-07-15
          Fixed
          4.16300000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Mizuho Financial Group Inc.
        353800CI5L6DDAN5XZ33
        MIZUHO 2.721 07/16/23
        60687YAV1
        
          
        
        900000.00000000
        PA
        USD
        920834.42000000
        0.011481484604
        Long
        DBT
        CORP
        JP
        
        N
        
        2
        
          2023-07-16
          Fixed
          2.72100000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        The Mosaic Company
        2YD5STGSJNMUB7H76907
        MOS 3 3/4 11/15/21
        61945CAA1
        
          
        
        7708000.00000000
        PA
        USD
        7716737.02000000
        0.096216643698
        Long
        DBT
        CORP
        US
        
        N
        
        2
        
          2021-11-15
          Fixed
          3.75000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Exxon Mobil Corporation
        J3WHBG0MTS7O8ZVMDC91
        XOM 3.176 03/15/24
        30231GAC6
        
          
        
        609000.00000000
        PA
        USD
        649452.00000000
        0.008097735029
        Long
        DBT
        CORP
        US
        
        N
        
        2
        
          2024-03-15
          Fixed
          3.17600000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Verizon Communications Inc.
        2S72QS2UO2OESLG6Y829
        VZ Float 03/16/22
        92343VDX9
        
          
        
        30424000.00000000
        PA
        USD
        30606027.70000000
        0.381613271853
        Long
        DBT
        CORP
        US
        
        N
        
        2
        
          2022-03-16
          Floating
          1.11800200
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Amazon.com, Inc.
        ZXTILKJKG63JELOEG630
        AMZN 0 1/4 05/12/23
        023135BV7
        
          
        
        26490000.00000000
        PA
        USD
        26488126.10000000
        0.330268944581
        Long
        DBT
        CORP
        US
        
        N
        
        2
        
          2023-05-12
          Fixed
          0.25000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        HSBC Holdings plc
        MLU0ZO3ML4LN2LL2TL39
        HSBC 3.262 03/13/23
        404280BJ7
        
          
        
        2000000.00000000
        PA
        USD
        2035836.34000000
        0.025383959469
        Long
        DBT
        CORP
        GB
        
        N
        
        2
        
          2023-03-13
          Fixed
          3.26200000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase & Co.
        8I5DZWZKVSZI1NUHU748
        JPM 0.653 09/16/24
        46647PBS4
        
          
        
        1100000.00000000
        PA
        USD
        1103707.59000000
        0.013761650767
        Long
        DBT
        CORP
        US
        
        N
        
        2
        
          2024-09-16
          Fixed
          0.65300000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        LOS ANGELES CALIF CMNTY COLLEGE DIST
        N/A
        LOSHGR 0.276 08/1/2021
        54438CYF3
        
          
        
        11435000.00000000
        PA
        USD
        11435000.00000000
        0.142578050520
        Long
        DBT
        MUN
        US
        
        N
        
        2
        
          2021-08-01
          Fixed
          0.27600000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Royalty Pharma plc
        549300FGFN7VOK8BZR03
        RPRX 0 3/4 09/02/23
        78081BAA1
        
          
        
        1470000.00000000
        PA
        USD
        1476002.36000000
        0.018403632623
        Long
        DBT
        CORP
        GB
        
        Y
        
        2
        
          2023-09-02
          Fixed
          0.75000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Air Lease Corporation
        5493004NW4M4P8TMMK63
        AL 0.7 02/15/24
        00914AAL6
        
          
        
        3070000.00000000
        PA
        USD
        3062271.70000000
        0.038182136348
        Long
        DBT
        CORP
        US
        
        N
        
        2
        
          2024-02-15
          Fixed
          0.70000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Bank of America Corporation
        9DJT3UXIJIZJI4WXO774
        BAC 3.458 03/15/25
        06051GHR3
        
          
        
        2670000.00000000
        PA
        USD
        2851648.43000000
        0.035555966236
        Long
        DBT
        CORP
        US
        
        N
        
        2
        
          2025-03-15
          Fixed
          3.45800000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Royal Bank of Canada New York Branch
        N/A
        RY Float 12/10/21
        78012UYY5
        
          
        
        50000000.00000000
        PA
        USD
        50017422.00000000
        0.623645519967
        Long
        STIV
        CORP
        CA
        
        N
        
        2
        
          N
          N
          N
        
      
      
        Met Tower Global Funding
        635400OFJCY9IOGBGY57
        MET 0.55 07/13/22
        58989V2A1
        
          
        
        33609000.00000000
        PA
        USD
        33681906.66000000
        0.419965071220
        Long
        DBT
        CORP
        US
        
        Y
        
        2
        
          2022-07-13
          Fixed
          0.55000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Bank of Montreal
        NQQ6HPCNCCU6TUTQYE16
        BMO Float 09/10/21
        06367WQD8
        
          
        
        20000000.00000000
        PA
        USD
        20009438.80000000
        0.249489005344
        Long
        DBT
        CORP
        CA
        
        N
        
        2
        
          2021-09-10
          Floating
          0.52800100
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Equitable Financial Life Global Funding
        635400B4JJBON4TCHF02
        EQH 0 1/2 04/06/23
        29449WAG2
        
          
        
        20000000.00000000
        PA
        USD
        20055036.00000000
        0.250057537035
        Long
        DBT
        CORP
        US
        
        Y
        
        2
        
          2023-04-06
          Fixed
          0.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Public Service Enterprise Group Incorporated
        PUSS41EMO3E6XXNV3U28
        PEG 2 11/15/21
        744573AK2
        
          
        
        14892000.00000000
        PA
        USD
        14945634.28000000
        0.186350625224
        Long
        DBT
        CORP
        US
        
        N
        
        2
        
          2021-11-15
          Fixed
          2.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        7-Eleven Inc.
        549300K23JPL0SS3LB18
        SVELEV 0 5/8 02/10/23
        817826AA8
        
          
        
        19000000.00000000
        PA
        USD
        19012903.09000000
        0.237063634220
        Long
        DBT
        CORP
        US
        
        Y
        
        2
        
          2023-02-10
          Fixed
          0.62500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Chevron USA Inc
        VA8TZDWPEZYU430RZ444
        CVX 0.333 08/12/22
        166756AF3
        
          
        
        600000.00000000
        PA
        USD
        601271.48000000
        0.007496993043
        Long
        DBT
        CORP
        US
        
        N
        
        2
        
          2022-08-12
          Fixed
          0.33300000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Jazz Securities Designated Activity Company
        6354009DV8VV7K6KOO02
        JAZZ 4 3/8 01/15/29
        47216FAA5
        
          
        
        2000000.00000000
        PA
        USD
        2085220.00000000
        0.025999702886
        Long
        DBT
        CORP
        IE
        
        Y
        
        2
        
          2029-01-15
          Fixed
          4.37500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Smithfield Foods, Inc.
        CVTIPZRZJC0JQEZLL598
        SFD 3.35 02/01/22
        832248AY4
        
          
        
        8889000.00000000
        PA
        USD
        8984779.33000000
        0.112027312744
        Long
        DBT
        CORP
        US
        
        Y
        
        2
        
          2022-02-01
          Fixed
          3.35000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        GlaxoSmithKline Capital plc
        549300U0LV41VX7LEP38
        GSK 0.534 10/01/23
        377373AL9
        
          
        
        2000000.00000000
        PA
        USD
        2006096.60000000
        0.025013147563
        Long
        DBT
        CORP
        GB
        
        N
        
        2
        
          2023-10-01
          Fixed
          0.53400000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Oracle Corporation
        1Z4GXXU7ZHVWFCD8TV52
        ORCL 1.9 09/15/21
        68389XBK0
        
          
        
        35755000.00000000
        PA
        USD
        35801065.67000000
        0.446387944887
        Long
        DBT
        CORP
        US
        
        N
        
        2
        
          2021-09-15
          Fixed
          1.90000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Toronto Dominion Bank New York Branch
        N/A
        TD Float 02/16/22
        89114NZV0
        
          
        
        10000000.00000000
        PA
        USD
        10005517.20000000
        0.124754450094
        Long
        STIV
        CORP
        CA
        
        N
        
        2
        
          N
          N
          N
        
      
      
        Comcast Corporation
        51M0QTTNCGUN7KFCFZ59
        CMCSA 3.7 04/15/24
        20030NCR0
        
          
        
        1233000.00000000
        PA
        USD
        1336598.48000000
        0.016665466165
        Long
        DBT
        CORP
        US
        
        N
        
        2
        
          2024-04-15
          Fixed
          3.70000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        HYG US 08/20/21 P87
        N/A
        
          
        
        -5000.00000000
        NC
        USD
        -150000.00000000
        -0.00187028487
        Short
        DE
        CORP
        N/A
        
        N
        
        2
        
          
            
              PERSHING
              N/A
            
            Put
            Written
            
              
                Ishares Trust
                Ishares Trust IBOXX HI YD ETF
                
                  
                
              
            
            -5000.00000000
            87.00000000
            USD
            2021-08-20
            XXXX
            239824.48000000
          
        
        
          N
          N
          N
        
      
      
        Citigroup Inc.
        6SHGI4ZSSLCXXQSBB395
        C 2.876 07/24/23
        172967LM1
        
          
        
        1750000.00000000
        PA
        USD
        1791851.04000000
        0.022341812689
        Long
        DBT
        CORP
        US
        
        N
        
        2
        
          2023-07-24
          Fixed
          2.87600000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Square Inc
        549300OHIIUWSTIZME52
        SQ 2 3/4 06/01/26
        852234AL7
        
          
        
        3600000.00000000
        PA
        USD
        3685770.00000000
        0.045956265961
        Long
        DBT
        CORP
        US
        
        Y
        
        2
        
          2026-06-01
          Fixed
          2.75000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Siemens Financieringsmaatschappij N.V.
        TAFO772JB70PDRN5VS48
        SIEGR 0.65 03/11/24
        82620KAX1
        
          
        
        10000000.00000000
        PA
        USD
        10039593.70000000
        0.125179335178
        Long
        DBT
        CORP
        NL
        
        Y
        
        2
        
          2024-03-11
          Fixed
          0.65000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BP Capital Markets America, Inc.
        5493009NTB34VXE1T760
        BPLN 2.937 04/06/23
        10373QBH2
        
          
        
        2000000.00000000
        PA
        USD
        2085602.00000000
        0.026004465878
        Long
        DBT
        CORP
        US
        
        N
        
        2
        
          2023-04-06
          Fixed
          2.93700000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase & Co.
        8I5DZWZKVSZI1NUHU748
        JPM 1.514 06/01/24
        46647PBQ8
        
          
        
        4450000.00000000
        PA
        USD
        4538084.77000000
        0.056583408797
        Long
        DBT
        CORP
        US
        
        N
        
        2
        
          2024-06-01
          Fixed
          1.51400000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Delta Air Lines Inc
        Q2CCMS6R0AS67HJMBN42
        DAL 3 5/8 03/15/22
        247361ZJ0
        
          
        
        750000.00000000
        PA
        USD
        755751.35000000
        0.009423135475
        Long
        DBT
        CORP
        US
        
        N
        
        2
        
          2022-03-15
          Fixed
          3.62500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Northern Lts Fd Tr
        549300BSYF57GRCG4861
        NAV-US ALL-I
        66538J415
        
          
        
        5000000.00000000
        NS
        USD
        51786500.00000000
        0.645703385508
        Long
        EC
        RF
        US
        
        N
        
        1
        
          N
          N
          N
        
      
      
        Bristol-Myers Squibb Company
        HLYYNH7UQUORYSJQCN42
        BMY 0.537 11/13/23
        110122DT2
        
          
        
        4000000.00000000
        PA
        USD
        4004260.88000000
        0.049927390471
        Long
        DBT
        CORP
        US
        
        N
        
        2
        
          2023-11-13
          Fixed
          0.53700000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        GlaxoSmithKline Capital plc
        549300U0LV41VX7LEP38
        GSK 2 7/8 06/01/22
        377373AJ4
        
          
        
        1480000.00000000
        PA
        USD
        1509988.38000000
        0.018827389552
        Long
        DBT
        CORP
        GB
        
        N
        
        2
        
          2022-06-01
          Fixed
          2.87500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Goldman Sachs Group, Inc.
        784F5XWPLTWKTBV3E584
        GS 3 5/8 01/22/23
        38141GRD8
        
          
        
        3283000.00000000
        PA
        USD
        3443042.93000000
        0.042929807504
        Long
        DBT
        CORP
        US
        
        N
        
        2
        
          2023-01-22
          Fixed
          3.62500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Credit Suisse AG New York Branch
        549300D0YARF5HYP1809
        CS 0.495 02/02/24
        22550L2E0
        
          
        
        600000.00000000
        PA
        USD
        598836.71000000
        0.007466634953
        Long
        DBT
        CORP
        CH
        
        N
        
        2
        
          2024-02-02
          Fixed
          0.49500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Siemens Financieringsmaatschappij N.V.
        TAFO772JB70PDRN5VS48
        SIEGR 0.4 03/11/23
        82620KAV5
        
          
        
        25000000.00000000
        PA
        USD
        25065910.75000000
        0.312535958833
        Long
        DBT
        CORP
        NL
        
        Y
        
        2
        
          2023-03-11
          Fixed
          0.40000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        TD AMERITRADE Holding Corporation
        ZI85ER3E6RXD4HPHW309
        AMTD Float 11/01/21
        87236YAG3
        
          
        
        20738000.00000000
        PA
        USD
        20753173.58000000
        0.258762311425
        Long
        DBT
        CORP
        US
        
        N
        
        2
        
          2021-11-01
          Floating
          0.60563200
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Nvidia Corp
        549300S4KLFTLO7GSQ80
        NVDA 0.309 06/15/23
        67066GAK0
        
          
        
        25000000.00000000
        PA
        USD
        24989634.75000000
        0.311584906504
        Long
        DBT
        CORP
        US
        
        N
        
        2
        
          2023-06-15
          Fixed
          0.30900000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Walmart Inc
        Y87794H0US1R65VBXU25
        WMT 3.3 04/22/24
        931142DP5
        
          
        
        3662000.00000000
        PA
        USD
        3923052.96000000
        0.048914844173
        Long
        DBT
        CORP
        US
        
        N
        
        2
        
          2024-04-22
          Fixed
          3.30000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Hewlett Packard Enterprise Company
        549300BX44RGX6ANDV88
        HPE 3 1/2 10/05/21
        42824CBC2
        
          
        
        5050000.00000000
        PA
        USD
        5064820.29000000
        0.063151045315
        Long
        DBT
        CORP
        US
        
        N
        
        2
        
          2021-10-05
          Fixed
          3.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        New York Life Global Funding
        635400DPNHEAUHB7ZI15
        NYLIFE Float 01/21/22
        64952WDK6
        
          
        
        40000000.00000000
        PA
        USD
        40065906.40000000
        0.499564392379
        Long
        DBT
        CORP
        US
        
        Y
        
        2
        
          2022-01-21
          Floating
          0.41424800
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Bbva Usa
        C90VT034M03BN29IRA40
        BCOMPS 2 7/8 06/29/22
        20453KAB1
        
          
        
        45019000.00000000
        PA
        USD
        46019917.33000000
        0.573802369745
        Long
        DBT
        CORP
        US
        
        N
        
        2
        
          2022-06-29
          Fixed
          2.87500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        American Tower Corporation
        5493006ORUSIL88JOE18
        AMT 2 1/4 01/15/22
        03027XAL4
        
          
        
        10393000.00000000
        PA
        USD
        10484547.16000000
        0.130727266695
        Long
        DBT
        CORP
        US
        
        N
        
        2
        
          2022-01-15
          Fixed
          2.25000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        American International Group, Inc.
        ODVCVCQG2BP6VHV36M30
        AIG 4 1/8 02/15/24
        026874CY1
        
          
        
        2000000.00000000
        PA
        USD
        2176226.52000000
        0.027134423674
        Long
        DBT
        CORP
        US
        
        N
        
        2
        
          2024-02-15
          Fixed
          4.12500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase & Co.
        8I5DZWZKVSZI1NUHU748
        JPM 0.824 06/01/25
        46647PCH7
        
          
        
        1300000.00000000
        PA
        USD
        1301605.98000000
        0.016229159875
        Long
        DBT
        CORP
        US
        
        N
        
        2
        
          2025-06-01
          Fixed
          0.82400000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Valero Energy Corporation
        549300XTO5VR8SKV1V74
        VLO Float 09/15/23
        91913YAZ3
        
          
        
        6000000.00000000
        PA
        USD
        6006864.96000000
        0.074896991319
        Long
        DBT
        CORP
        US
        
        N
        
        2
        
          2023-09-15
          Floating
          1.26888100
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Toyota Motor Credit Corporation
        Z2VZBHUMB7PWWJ63I008
        TOYOTA Float 10/07/21
        89236TGK5
        
          
        
        50000000.00000000
        PA
        USD
        50024819.00000000
        0.623737749949
        Long
        DBT
        CORP
        US
        
        N
        
        2
        
          2021-10-07
          Floating
          0.42800000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        HSBC Holdings plc
        MLU0ZO3ML4LN2LL2TL39
        HSBC 4 1/4 03/14/24
        404280AP4
        
          
        
        800000.00000000
        PA
        USD
        865106.62000000
        0.010786638860
        Long
        DBT
        CORP
        GB
        
        N
        
        2
        
          2024-03-14
          Fixed
          4.25000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Toyota Motor Corp
        5493006W3QUS5LMH6R84
        TOYOTA 2.157 07/02/22
        892331AE9
        
          
        
        619000.00000000
        PA
        USD
        630176.89000000
        0.007857402051
        Long
        DBT
        CORP
        JP
        
        N
        
        2
        
          2022-07-02
          Fixed
          2.15700000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Societe Generale S.A.
        O2RNE8IBXP4R0TD8PU41
        SOCGEN 3 1/4 01/12/22
        83368RAJ1
        
          
        
        43585000.00000000
        PA
        USD
        44142260.38000000
        0.550390680416
        Long
        DBT
        CORP
        FR
        
        Y
        
        2
        
          2022-01-12
          Fixed
          3.25000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Toyota Motor Credit Corporation
        Z2VZBHUMB7PWWJ63I008
        TOYOTA 0 1/2 08/14/23
        89236THF5
        
          
        
        2000000.00000000
        PA
        USD
        2008831.94000000
        0.025047253330
        Long
        DBT
        CORP
        US
        
        N
        
        2
        
          2023-08-14
          Fixed
          0.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        PNC Financial Services Group Inc
        CFGNEKW0P8842LEUIA51
        PNC 3 1/2 01/23/24
        693475AV7
        
          
        
        2000000.00000000
        PA
        USD
        2145626.92000000
        0.026752890546
        Long
        DBT
        CORP
        US
        
        N
        
        2
        
          2024-01-23
          Fixed
          3.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        National Australia Bank Limited
        F8SB4JFBSYQFRQEH3Z21
        NAB Float 01/10/22
        6325C0DH1
        
          
        
        18000000.00000000
        PA
        USD
        18069629.40000000
        0.225302364100
        Long
        DBT
        CORP
        AU
        
        Y
        
        2
        
          2022-01-10
          Floating
          1.00900100
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase & Co.
        8I5DZWZKVSZI1NUHU748
        JPM 2.776 04/25/23
        46647PAE6
        
          
        
        2000000.00000000
        PA
        USD
        2036005.80000000
        0.025386072392
        Long
        DBT
        CORP
        US
        
        N
        
        2
        
          2023-04-25
          Fixed
          2.77600000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        American Honda Finance Corporation
        B6Q2VFHD1797Q7NZ3E43
        HNDA 0.35 04/20/23
        02665WDX6
        
          
        
        10000000.00000000
        PA
        USD
        10010178.20000000
        0.124812566079
        Long
        DBT
        CORP
        US
        
        N
        
        2
        
          2023-04-20
          Fixed
          0.35000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Microchip Technology Incorporated
        5493007PTFULNYZJ1R12
        MCHP 0.972 02/15/24
        595017AV6
        
          
        
        2000000.00000000
        PA
        USD
        2004426.78000000
        0.024992327302
        Long
        DBT
        CORP
        US
        
        Y
        
        2
        
          2024-02-15
          Fixed
          0.97200000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Standard Chartered plc
        U4LOSYZ7YG4W3S5F2G91
        STANLN FLOAT 09/10/22
        853254BR0
        
          
        
        38000000.00000000
        PA
        USD
        38040893.70000000
        0.474315388177
        Long
        DBT
        CORP
        GB
        
        Y
        
        2
        
          2022-09-10
          Floating
          1.32800000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CDX.NA.HY Series 36
        N/A
        CDXHY36 06/20/2026
        N/A
        
          
        
        -2908100000.00000000
        PA
        USD
        267437600.30000000
        3.334563330713
        Long
        DCR
        CORP
        N/A
        
        N
        
        2
        
          
            
              GOLDMAN SACHS
              N/A
            
            
              
                CDX.NA.HY Series 35
                CDX.NA.HY Series 36
              
            
            Y
            
            N/A
            2026-06-20
            259973991.91000000
            USD
            0.00000000
            USD
            -2908100000.00000000
            USD
            7463608.39000000
          
        
        
          N
          N
          N
        
      
      
        Public Service Company of Colorado
        5BANEF6PGSEK0SNMQF44
        XEL 2 1/4 09/15/22
        744448CF6
        
          
        
        1500000.00000000
        PA
        USD
        1518918.63000000
        0.018938736962
        Long
        DBT
        CORP
        US
        
        N
        
        2
        
          2022-09-15
          Fixed
          2.25000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Ubs Group Ag
        549300SZJ9VS8SGXAN81
        UBS 2.65 02/01/22
        90351DAH0
        
          
        
        67473000.00000000
        PA
        USD
        68265585.76000000
        0.851173951492
        Long
        DBT
        CORP
        CH
        
        Y
        
        2
        
          2022-02-01
          Fixed
          2.65000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CNH Industrial Capital LLC
        549300PNSJ5B81UMVO28
        CNHI 4 3/8 04/05/22
        12592BAH7
        
          
        
        700000.00000000
        PA
        USD
        717987.61000000
        0.008952275796
        Long
        DBT
        CORP
        US
        
        N
        
        2
        
          2022-04-05
          Fixed
          4.37500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Westpac Banking Corporation
        EN5TNI6CI43VEPAMHL14
        WSTP 2 3/4 01/11/23
        961214DS9
        
          
        
        2000000.00000000
        PA
        USD
        2072285.76000000
        0.025838431463
        Long
        DBT
        CORP
        AU
        
        N
        
        2
        
          2023-01-11
          Fixed
          2.75000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Capital One Financial Corporation
        ZUE8T73ROZOF6FLBAR73
        COF 3.2 01/30/23
        14040HBU8
        
          
        
        600000.00000000
        PA
        USD
        625010.44000000
        0.007792983829
        Long
        DBT
        CORP
        US
        
        N
        
        2
        
          2023-01-30
          Fixed
          3.20000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Morgan Stanley
        IGJSJL3JD5P30I6NJZ34
        MS 2 5/8 11/17/21
        61746BED4
        
          
        
        48662000.00000000
        PA
        USD
        49013184.89000000
        0.611124123430
        Long
        DBT
        CORP
        US
        
        N
        
        2
        
          2021-11-17
          Fixed
          2.62500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Amwins Group Inc
        549300SJE7MUB8NMRG61
        AMWINS 4 7/8 06/30/29
        031921AB5
        
          
        
        3200000.00000000
        PA
        USD
        3268000.00000000
        0.040747273205
        Long
        DBT
        CORP
        US
        
        Y
        
        2
        
          2029-06-30
          Fixed
          4.87500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Bank of America Corporation
        9DJT3UXIJIZJI4WXO774
        BAC 0.976 04/22/25
        06051GJR1
        
          
        
        5000000.00000000
        PA
        USD
        5029350.05000000
        0.062708782292
        Long
        DBT
        CORP
        US
        
        N
        
        2
        
          2025-04-22
          Fixed
          0.97600000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        The Bank of New York Mellon Corporation
        WFLLPEPC7FZXENRZV188
        BK 2.95 01/29/23
        06406RAE7
        
          
        
        2000000.00000000
        PA
        USD
        2077759.04000000
        0.025906675415
        Long
        DBT
        CORP
        US
        
        N
        
        2
        
          2023-01-29
          Fixed
          2.95000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Aon plc
        VVT2B79I2Z4U3R6BY589
        AON 4 11/27/23
        00185AAD6
        
          
        
        500000.00000000
        PA
        USD
        536100.91000000
        0.006684409499
        Long
        DBT
        CORP
        IE
        
        N
        
        2
        
          2023-11-27
          Fixed
          4.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Northrop Grumman Corporation
        RIMU48P07456QXSO0R61
        NOC 3 1/4 08/01/23
        666807BG6
        
          
        
        1000000.00000000
        PA
        USD
        1056849.37000000
        0.013177395965
        Long
        DBT
        CORP
        US
        
        N
        
        2
        
          2023-08-01
          Fixed
          3.25000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CALIFORNIA ST
        N/A
        CAS 5 09/1/2023
        13063DD39
        
          
        
        5000000.00000000
        PA
        USD
        5493052.50000000
        0.068490486826
        Long
        DBT
        MUN
        US
        
        N
        
        2
        
          2023-09-01
          Fixed
          5.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Southern Company
        549300FC3G3YU2FBZD92
        SO 0.6 02/26/24
        842587DG9
        
          
        
        2000000.00000000
        PA
        USD
        2006251.58000000
        0.025015079941
        Long
        DBT
        CORP
        US
        
        N
        
        2
        
          2024-02-26
          Fixed
          0.60000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Bank of Nova Scotia
        L3I9ZG2KFGXZ61BMYR72
        BNS 0.7 04/15/24
        0641593X2
        
          
        
        5000000.00000000
        PA
        USD
        5014782.20000000
        0.062527142095
        Long
        DBT
        CORP
        CA
        
        N
        
        2
        
          2024-04-15
          Fixed
          0.70000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Barclays PLC
        213800LBQA1Y9L22JB70
        BACR 3.684 01/10/23
        06738EAS4
        
          
        
        34215000.00000000
        PA
        USD
        34704638.89000000
        0.432717075379
        Long
        DBT
        CORP
        GB
        
        N
        
        2
        
          2023-01-10
          Fixed
          3.68400000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Citigroup Inc.
        6SHGI4ZSSLCXXQSBB395
        C Float 08/02/21
        172967KW0
        
          
        
        10994000.00000000
        PA
        USD
        10994000.00000000
        0.137079412979
        Long
        DBT
        CORP
        US
        
        N
        
        2
        
          2021-08-02
          Floating
          1.36563100
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Caterpillar Financial Services Corporation
        EDBQKYOPJUCJKLOJDE72
        CAT Float 11/12/21
        14913Q3D9
        
          
        
        10000000.00000000
        PA
        USD
        10006231.80000000
        0.124763360131
        Long
        DBT
        CORP
        US
        
        N
        
        2
        
          2021-11-12
          Floating
          0.36749900
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        U.S. Bank National Association
        6BYL5QZYBDK8S7L73M02
        USB Float 01/21/22
        90331HPK3
        
          
        
        75000000.00000000
        PA
        USD
        75064000.50000000
        0.935940433369
        Long
        DBT
        CORP
        US
        
        N
        
        2
        
          2022-01-21
          Floating
          0.31425100
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Massmutual Global Funding II
        549300K1IE3K7YU6VG29
        MASSMU Float 01/07/22
        57629WCR9
        
          
        
        25000000.00000000
        PA
        USD
        25016117.50000000
        0.311915108416
        Long
        DBT
        CORP
        US
        
        Y
        
        2
        
          2022-01-07
          Floating
          0.28800000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Microsoft Corporation
        INR2EJN1ERAN0W5ZP974
        MSFT 2 7/8 02/06/24
        594918BX1
        
          
        
        2000000.00000000
        PA
        USD
        2119760.08000000
        0.026430368148
        Long
        DBT
        CORP
        US
        
        N
        
        2
        
          2024-02-06
          Fixed
          2.87500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        VMware Inc
        549300BUDHS3LRWBE814
        VMW 0.6 08/15/23
        928563AG0
        
          
        
        19758000.00000000
        PA
        USD
        19794315.60000000
        0.246806727559
        Long
        DBT
        CORP
        US
        
        N
        
        2
        
          2023-08-15
          Fixed
          0.60000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CVS Health Corp
        549300EJG376EN5NQE29
        CVS 3.7 03/09/23
        126650CV0
        
          
        
        2000000.00000000
        PA
        USD
        2101863.82000000
        0.026207227452
        Long
        DBT
        CORP
        US
        
        N
        
        2
        
          2023-03-09
          Fixed
          3.70000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        KeyBank National Association
        HUX2X73FUCYHUVH1BK78
        KEY 0.433 06/14/24
        49327M3C6
        
          
        
        2511000.00000000
        PA
        USD
        2514649.11000000
        0.031354068023
        Long
        DBT
        CORP
        US
        
        N
        
        2
        
          2024-06-14
          Fixed
          0.43300000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Ryder System, Inc.
        ZXJ6Y2OSPZXIVGRILD15
        R 2.8 03/01/22
        78355HKD0
        
          
        
        843000.00000000
        PA
        USD
        853599.54000000
        0.010643162075
        Long
        DBT
        CORP
        US
        
        N
        
        2
        
          2022-03-01
          Fixed
          2.80000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Skyworks Solutions, Inc.
        549300WZ3ORQ2BVKBD96
        SWKS 0.9 06/01/23
        83088MAJ1
        
          
        
        20345000.00000000
        PA
        USD
        20427761.63000000
        0.254704891098
        Long
        DBT
        CORP
        US
        
        N
        
        2
        
          2023-06-01
          Fixed
          0.90000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Rogers Communications Inc.
        54930030NVF3Y2OL0A78
        RCICN Float 03/22/22
        775109BQ3
        
          
        
        24826000.00000000
        PA
        USD
        24895072.14000000
        0.310405846374
        Long
        DBT
        CORP
        CA
        
        N
        
        2
        
          2022-03-22
          Floating
          0.73487900
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Credit Suisse AG New York Branch
        549300D0YARF5HYP1809
        CS 2.1 11/12/21
        22550L2A8
        
          
        
        45000000.00000000
        PA
        USD
        45245042.55000000
        0.564140792523
        Long
        DBT
        CORP
        CH
        
        N
        
        2
        
          2021-11-12
          Fixed
          2.10000000
          N
          N
          N
        
        
          N
          N
          N
        
      
    
    
      
    
    
      2021-08-27
      Northern Lights Fund Trust
      James Colantino
      James Colantino
      Treasurer
    
  
  XXXX



 

 

NAVIGATOR EQUITY HEDGED FUND
SCHEDULE OF INVESTMENTS (Unaudited)
July 31, 2021

 

 

Shares             Fair Value
    EXCHANGE-TRADED FUNDS — 88.8%      
    EQUITY FUNDS- 88.8%      
5,208   First Trust Dow Jones Internet Index Fund(a)(e)       $ 1,259,815
7,553   iShares Core S&P 500 ETF         3,326,341
30,057   iShares MSCI EAFE Growth ETF(e)         3,281,623
48,494   iShares MSCI USA Quality Factor ETF(e)         6,661,136
29,069   iShares U.S. Broker-Dealers & Securities Exchanges(e)         3,000,502
148,822   SPDR Portfolio S&P 500 Growth ETF(e)         9,728,495
18,380   Vanguard Communication Services ETF         2,659,219
22,033   Vanguard Real Estate ETF(e)         2,341,888
             

32,259,018

               
    TOTAL EXCHANGE-TRADED FUNDS (Cost $31,341,502)    

  32,259,018

               
Shares              
    SHORT-TERM INVESTMENTS — 10.3%      
    MONEY MARKET FUNDS - 10.3%      
801,580   Dreyfus Money Market Fund, Service Shares, 0.01%(b)         801,580
2,951,620   Dreyfus Treasury Obligations Cash Management Fund, Institutional Class, 0.01%(b)         2,951,620
    TOTAL MONEY MARKET FUNDS (Cost $3,753,200)  

3,753,200

               
    TOTAL SHORT-TERM INVESTMENTS (Cost $3,753,200)  

3,753,200

         
Contracts(c)              
    INDEX OPTIONS PURCHASED(a) - 1.4%   Expiration Date Exercise Price Notional Value  
    PUT OPTIONS PURCHASED - 1.4%      
86   S&P 500 Index   September-21 $ 4,310.00 $ 37,066,000 $ 508,690
    TOTAL PUT OPTIONS PURCHASED (Cost - $545,006)  
 
         
    TOTAL INDEX OPTIONS PURCHASED (Cost - $545,006)     508,690
           
Contracts(c)              
    EQUITY OPTIONS PURCHASED(a) - 0.4%          
    CALL OPTIONS PURCHASED - 0.4%      
1,000  

iPath Series B S&P 500 VIX Short-Term Futures ETN

 

  August-21 $ 29.50 $ 2,950,000 $ 130,000
    TOTAL CALL OPTIONS PURCHASED (Cost - $208,226)  
         
    TOTAL EQUITY OPTIONS PURCHASED (Cost - $208,226)     130,000

 

Shares         Fair Value

 

3,534,286

 

 

COLLATERAL FOR SECURITIES LOANED — 9.7%

Morgan Stanley Institutional Liquidity Funds Government Portfolio - Institutional Shares, 0.03% (b)(d)

TOTAL COLLATERAL FOR SECURITIES LOANED (Cost $3,534,286)

    $                      3,534,286
           
    TOTAL INVESTMENTS - 110.6% (Cost $39,382,220)      
    CALL OPTIONS WRITTEN - (0.7)% (Proceeds - $265,313)     $ 40,185,194
    PUT OPTIONS WRITTEN - (0.8)% (Proceeds - $335,204)     (235,000)
    LIABILITIES IN EXCESS OF OTHER ASSETS – (9.1)%     (304,870)
    NET ASSETS - 100.0%    

(3,311,894)

             

$ 36,333,430

Contracts(c)          
    WRITTEN EQUITY OPTIONS(a) - (0.7)%          
    CALL OPTIONS WRITTEN- (0.7)%   Expiration Date Exercise Price Notional Value  
1,000   iPath Series B S&P 500 VIX Short-Term Futures ETN      
    TOTAL CALL OPTIONS WRITTEN (Proceeds - $265,313)   August-21 $ 28.00 $ 2,800,000 $ 235,000
       
    TOTAL EQUITY OPTIONS WRITTEN (Proceeds - $265,313)    
         

$ 235,000

Contracts(c)          
    WRITTEN INDEX OPTIONS(a) - (0.8)%          
    PUT OPTIONS WRITTEN - (0.8)%          
86   S&P 500 Index      
    TOTAL PUT OPTIONS WRITTEN (Proceeds - $335,204)   September-21 $ 4,160.00 $ 35,776,000 $ 304,870
       
    TOTAL INDEX OPTIONS WRITTEN (Proceeds - $335,204)    
         

$ 304,870

           
                 

 

EAFE  - Europe, Australasia and Far East
ETF  - Exchange-Traded Fund
ETN  - Exchange-Traded Note
 

-

 

 

(a) Non-income producing security.
(b) Rate disclosed is the seven-day effective yield as of July 31, 2021.

(c)

(d)

(e)

Each option contract allows the holder of the option to purchase or sell 100 shares of the underlying security.

Security purchased with cash proceeds of securities lending collateral. Non-cash collateral amounted to $2,395,188.

All or a portion of the security is on loan. Total loaned securities had a value of $5,803,412 at July 31, 2021.

 

 

 

 

 

 

NAVIGATOR TACTICAL FIXED INCOME FUND
SCHEDULE OF INVESTMENTS (Unaudited)
July 31, 2021
Shares             Fair Value
    EXCHANGE-TRADED FUNDS — 23.2%      
    FIXED INCOME - 23.2%      
14,931,187   iShares iBoxx High Yield Corporate Bond ETF(e)       $1,311,555,466
4,994,488   SPDR Bloomberg Barclays High Yield Bond ETF(e)         548,244,948
             

1,859,800,414

               
    TOTAL EXCHANGE-TRADED FUNDS (Cost $1,824,867,967)    

  1,859,800,414

             
    OPEN-END FUNDS — 2.9%      
    FIXED DEBT FUNDS - 2.3%      
8,968,617   Eaton Vance Income Fund of Boston, Institutional Class         50,493,313
5,595,323   JPMorgan High Yield Fund, Class I         40,901,808
5,486,332   Lord Abbett High Yield Fund, Class I         41,750,984
5,033,337   Navigator Ultra Short Bond Fund, Class I(h)         50,585,038
             

183,731,143

    MIXED ALLOCATION FUND- 0.6%      
5,000,000   Navigator Tactical US Allocation Fund, Class I(h)         51,786,500
             
 
    TOTAL OPEN-END FUNDS (Cost $226,548,979)    

  235,517,643

           
Principal Amount ($)       Spread Coupon Rate (%) Maturity  
    AGENCY BONDS — 0.1%          
    GOVERNMENT SPONSORED0.1%      
10,000,000   Federal Farm Credit Banks Funding Corporation(c) ICE LIBOR USD 1 Month + 0.020% 0.1091 09/17/21                         10,000,710
             
  TOTAL AGENCY BONDS (Cost $9,999,499)                                 10,000,710
               
Principal Amount ($)       Spread Coupon Rate (%) Maturity  
    CORPORATE BONDS — 48.5%      
    AEROSPACE & DEFENSE0.5%      
10,000,000   Boeing Company   2.3000 08/01/21   10,000,000
23,000,000   Boeing Company   1.1670 02/04/23   23,079,014
4,468,000   Boeing Company   4.5080 05/01/23   4,749,176
2,000,000   Boeing Company   1.4330 02/04/24   2,005,223
1,000,000   Northrop Grumman Corporation   3.2500 08/01/23   1,056,849
              40,890,262
Principal Amount ($)           Spread Coupon Rate (%) Maturity Fair Value
    ASSET MANAGEMENT1.5%      
22,000,000   Charles Schwab Corporation   0.7500 03/18/24 $  22,172,397
1,900,000   Eaton Vance Corporation   3.6250 06/15/23   2,007,699
3,086,000   Golub Capital BDC, Inc.   3.3750 04/15/24   3,243,052
20,738,000   TD Ameritrade Holding Corporation(c) ICE LIBOR USD 3 Month + 0.430% 0.6056 11/01/21   20,753,174
2,000,000   TD Ameritrade Holding Corporation   2.9500 04/01/22   2,026,963
67,473,000   UBS Group A.G. (b)   2.6500 02/01/22   68,265,586
              118,468,871
    AUTOMOTIVE4.8%      
30,000,000   American Honda Finance Corporation(c) ICE LIBOR USD 3 Month + 0.120% 0.2543 01/21/22   30,021,691
10,000,000   American Honda Finance Corporation   0.3500 04/20/23   10,010,178
4,000,000   American Honda Finance Corporation   0.8750 07/07/23   4,041,497
9,750,000   BMW US Capital, LLC(b),(c) ICE LIBOR USD 3 Month + 0.500% 0.6603 08/13/21   9,752,066
57,785,000   Daimler Finance North America, LLC(b),(c) ICE LIBOR USD 3 Month + 0.900% 1.0559 02/15/22   58,054,501
2,900,000   Fiat Chrysler Automobiles N.V.   5.2500 04/15/23   3,117,312
12,476,000   Ford Motor Credit Company, LLC(c) ICE LIBOR USD 3 Month + 3.140% 3.2780 01/07/22   12,579,160
8,672,000   General Motors Company(b),(c) ICE LIBOR USD 3 Month + 0.900% 1.0280 09/10/21   8,677,766
2,542,000   General Motors Company   5.4000 10/02/23   2,789,406
3,400,000   General Motors Financial Company, Inc.   3.5500 07/08/22   3,498,530
8,210,000   General Motors Financial Company, Inc.(c) US0003M + 1.310% 1.4573 06/30/22   8,286,195
6,480,000   General Motors Financial Company, Inc.   5.2000 03/20/23   6,952,502
4,800,000   Harley-Davidson Financial Services, Inc.(b)   4.0500 02/04/22   4,888,899
15,000,000   Hyundai Capital America(b)   0.8750 06/14/24   14,978,333
800,000   Mclaren Finance plc(b)   7.5000 08/01/26   814,200
5,500,000   Nissan Motor Acceptance Corporation(b)   1.9000 09/14/21   5,510,842
619,000   Toyota Motor Corporation   2.1570 07/02/22   630,177
2,000,000   Toyota Motor Corporation   0.6810 03/25/24   2,008,838
40,000,000   Toyota Motor Credit Corporation(c) ICE LIBOR USD 3 Month + 0.125% 0.2852 08/13/21   40,002,767
50,000,000   Toyota Motor Credit Corporation(c) ICE LIBOR USD 3 Month + 0.290% 0.4280 10/07/21   50,024,819
29,828,000   Toyota Motor Credit Corporation(c) ICE LIBOR USD 3 Month + 0.150% 0.3041 02/14/22   29,851,070
550,000   Toyota Motor Credit Corporation   0.4500 07/22/22   551,391
673,000   Toyota Motor Credit Corporation  Series B   2.9000 03/30/23   702,377
2,000,000   Toyota Motor Credit Corporation   0.5000 08/14/23   2,008,832
700,000   Toyota Motor Credit Corporation   0.4500 01/11/24   700,012
5,000,000   Toyota Motor Credit Corporation   0.5000 06/18/24   4,988,521
19,600,000   Volkswagen Group of America Finance, LLC(b),(c) ICE LIBOR USD 3 Month + 0.860% 0.9938 09/24/21   19,624,253
16,143,000   Volkswagen Group of America Finance, LLC Series(b)   2.5000 09/24/21   16,193,834
31,670,000   Volkswagen Group of America Finance, LLC(b)   4.0000 11/12/21   31,998,776
              383,258,745
    BANKING13.1%      
3,150,000   Australia & New Zealand Banking Group Ltd.   2.6250 05/19/22   3,212,982
Principal Amount ($)     Spread Coupon Rate (%) Maturity Fair Value
75,000,000   Bank of America Corporation   2.5030 10/21/22   $ 75,371,612
39,200,000   Bank of America Corporation(c) US0003M + 1.160% 3.1240 01/20/23   39,700,169
35,000,000   Bank of America Corporation(c) US0003M + 1.021% 2.8810 04/24/23   35,640,556
4,000,000   Bank of America Corporation(c) US0003M + 0.790% 3.0040 12/20/23   4,142,019
2,670,000   Bank of America Corporation(c) US0003M + 0.970% 3.4580 03/15/25   2,851,648
5,000,000   Bank of America Corporation(c) SOFRRATE + 0.690% 0.9760 04/22/25   5,029,350
20,000,000   Bank of Montreal(c) ICE LIBOR USD 3 Month + 0.400% 0.5280 09/10/21   20,009,439
2,000,000   Bank of Montreal   2.9000 03/26/22   2,036,288
2,800,000   Bank of Nova Scotia   2.0000 11/15/22   2,863,323
1,041,000   Bank of Nova Scotia   1.9500 02/01/23   1,067,797
2,000,000   Bank of Nova Scotia   1.6250 05/01/23   2,047,238
5,000,000   Bank of Nova Scotia   0.7000 04/15/24   5,014,782
1,027,000   Barclays Bank plc   1.7000 05/12/22   1,037,757
5,938,000   Barclays plc(c) US0003M + 1.625% 1.7440 01/10/23   5,975,381
34,215,000   Barclays plc   3.6840 01/10/23   34,704,639
11,350,000   Barclays plc(c) US0003M + 1.400% 4.6100 02/15/23   11,603,306
2,000,000   Barclays plc(c) US0003M + 1.356% 4.3380 05/16/24   2,128,187
45,019,000   BBVA USA   2.8750 06/29/22   46,019,917
15,000,000   Canadian Imperial Bank of Commerce   0.4500 06/22/23   15,014,423
10,994,000   Citigroup, Inc.(c) ICE LIBOR USD 3 Month + 1.190% 1.3656 08/02/21   10,994,000
25,100,000   Citigroup, Inc.(c) ICE LIBOR USD 3 Month + 0.960% 1.0852 04/25/22   25,248,064
1,750,000   Citigroup, Inc.(c) US0003M + 0.950% 2.8760 07/24/23   1,791,851
3,000,000   Citigroup, Inc.(c) SOFRRATE + 0.686% 0.7760 10/30/24   3,013,352
3,630,000   Citigroup, Inc.(c) SOFRRATE + 0.669% 0.9810 05/01/25   3,650,546
17,340,000   Citizens Bank NA(c) ICE LIBOR USD 3 Month + 0.720% 0.8741 02/14/22   17,394,907
30,562,000   Citizens Bank NA   3.2500 02/14/22   30,977,204
35,102,000   Citizens Bank NA   2.6500 05/26/22   35,729,007
2,000,000   Cooperatieve Rabobank UA   2.7500 01/10/23   2,073,722
4,700,000   Cooperatieve Rabobank UA   4.6250 12/01/23   5,128,101
2,000,000   Cooperatieve Rabobank UA   0.3750 01/12/24   1,999,295
45,000,000   Credit Suisse A.G.   2.1000 11/12/21   45,245,043
35,000,000   Credit Suisse A.G. (c) United States SOFR Secured Overnight Financing Rate + 0.450% 0.4789 02/04/22   35,054,539
600,000   Credit Suisse A.G.   0.4950 02/02/24   598,837
600,000   Credit Suisse Group Funding Guernsey Ltd.   3.8000 09/15/22   623,195
20,373,000   Deutsche Bank A.G.   4.2500 10/14/21   20,528,191
2,580,000   Deutsche Bank A.G.(c) US0003M + 1.190% 1.3459 11/16/22   2,599,309
2,200,000   Deutsche Bank A.G.   0.8980 05/28/24   2,198,807
2,000,000   HSBC Holdings plc(c) US0003M + 1.055% 3.2620 03/13/23   2,035,836
800,000   HSBC Holdings plc   4.2500 03/14/24   865,107
500,000   Huntington National Bank   3.1250 04/01/22   508,471
2,000,000   JPMorgan Chase & Company(c) US0003M + 0.935% 2.7760 04/25/23   2,036,006
Principal Amount ($)         Spread Coupon Rate (%) Maturity Fair Value
1,400,000   JPMorgan Chase & Company   3.3750 05/01/23   $ 1,470,034
8,518,000   JPMorgan Chase & Company(c) US0003M + 1.230% 1.3552 10/24/23   8,635,888
3,700,000   JPMorgan Chase & Company(c) SOFRRATE + 0.580% 0.6970 03/16/24   3,716,069
4,450,000   JPMorgan Chase & Company(c) SOFRRATE + 1.455% 1.5140 06/01/24   4,538,085
1,420,000   JPMorgan Chase & Company(c) US0003M + 0.890% 3.7970 07/23/24   1,511,118
1,100,000   JPMorgan Chase & Company(c) United States SOFR Secured Overnight Financing Rate + 0.600% 0.6530 09/16/24   1,103,708
2,000,000   JPMorgan Chase & Company(c) SOFRRATE + 0.420% 0.5630 02/16/25   1,993,709
1,880,000   JPMorgan Chase & Company(c) US0003M + 1.155% 3.2200 03/01/25   1,995,757
1,300,000   JPMorgan Chase & Company(c) SOFRRATE + 0.540% 0.8240 06/01/25   1,301,606
2,511,000   KeyBank NA(c) SOFRRATE + 0.320% 0.4330 06/14/24   2,514,649
4,400,000   Lloyds Banking Group plc   4.0500 08/16/23   4,708,729
25,000,000   Macquarie Bank Ltd.(b),(c) ICE LIBOR USD 3 Month + 0.450% 0.6254 08/06/21   25,001,268
7,000,000   Mitsubishi UFJ Financial Group, Inc.   2.6650 07/25/22   7,167,311
6,600,000   Mitsubishi UFJ Financial Group, Inc.   3.4070 03/07/24   7,074,139
2,000,000   Mitsubishi UFJ Financial Group, Inc.(c) H15T1Y + 0.680% 0.8480 09/15/24   2,010,207
900,000   Mizuho Financial Group, Inc. (c) US0003M + 0.840% 2.7210 07/16/23   920,834
2,000,000   Mizuho Financial Group, Inc.(c) US0003M + 0.610% 0.8490 09/08/24   2,012,751
25,000,000   MUFG Union Bank NA   3.1500 04/01/22   25,435,069
18,000,000   National Australia Bank Ltd.(b),(c) US0003M + 0.890% 1.0090 01/10/22   18,069,629
25,000,000   Natwest Group plc US0003M + 1.480% 3.4980 05/15/23   25,591,413
7,160,000   Natwest Group plc   3.8750 09/12/23   7,639,995
600,000   Natwest Group plc   6.0000 12/19/23   671,356
1,684,000   PNC Bank NA   2.9500 01/30/23   1,745,515
2,000,000   PNC Financial Services Group, Inc.   3.5000 01/23/24   2,145,627
3,705,000   Royal Bank of Canada   0.5000 10/26/23   3,715,110
2,000,000   Royal Bank of Canada   0.4250 01/19/24   2,001,929
4,880,000   Santander UK Group Holdings plc   3.5710 01/10/23   4,947,842
43,585,000   Societe Generale S.A. (b)   3.2500 01/12/22   44,142,260
38,000,000   Standard Chartered plc(b),(c) US0003M + 1.200% 1.3280 09/10/22   38,040,894
42,458,000   Sumitomo Mitsui Financial Group, Inc.   2.4420 10/19/21   42,664,517
600,000   Sumitomo Mitsui Financial Group, Inc.   2.7840 07/12/22   614,330
1,442,000   Sumitomo Mitsui Financial Group, Inc.   2.7780 10/18/22   1,485,786
600,000   Sumitomo Mitsui Financial Group, Inc.   3.7480 07/19/23   639,142
2,000,000   Sumitomo Mitsui Financial Group, Inc.   0.5080 01/12/24   1,999,127
11,738,000   Synchrony Bank   3.0000 06/15/22   11,981,580
2,000,000   Toronto-Dominion Bank   0.2500 01/06/23   2,000,333
1,780,000   Truist Bank   2.8000 05/17/22   1,813,543
4,000,000   Truist Financial Corporation   3.0500 06/20/22   4,090,540
1,000,000   US Bancorp   3.0000 03/15/22   1,015,250
2,000,000   US Bancorp   3.3750 02/05/24   2,142,345
75,000,000   US Bank NA(c) ICE LIBOR USD 3 Month + 0.180% 0.3143 01/21/22   75,064,001
Principal Amount ($)           Spread Coupon Rate (%) Maturity Fair Value
5,000,000   Wells Fargo & Company   3.4500 02/13/23   $ 5,235,522
2,000,000   Wells Fargo & Company   3.7500 01/24/24   2,151,211
56,600,000   Wells Fargo Bank NA(c) US0003M + 0.650% 2.0820 09/09/22   56,707,462
1,700,000   Wells Fargo Bank NA   3.5500 08/14/23   1,808,434
2,000,000   Westpac Banking Corporation   2.7500 01/11/23   2,072,286
19,686,000   Zions Bancorp NA   3.3500 03/04/22   19,987,693
              1,051,059,806
    BEVERAGES0.5%      
12,429,000   Heineken N.V. (b)   3.4000 04/01/22   12,681,981
5,233,000   Keurig Dr Pepper, Inc.   0.7500 03/15/24   5,241,228
18,831,000   Molson Coors Beverage Company   3.5000 05/01/22   19,279,334
2,000,000   PepsiCo, Inc.   0.4000 10/07/23   2,004,897
              39,207,440
    BIOTECH & PHARMA2.2%      
38,911,000   AbbVie, Inc.(c) ICE LIBOR USD 3 Month + 0.460% 0.6096 11/19/21   38,958,780
32,399,000   AbbVie, Inc.   2.1500 11/19/21   32,591,678
2,000,000   AbbVie, Inc.   3.4500 03/15/22   2,028,500
27,165,000   AbbVie, Inc.(c) US0003M + 0.650% 0.7993 11/21/22   27,345,285
818,000   AbbVie, Inc.   2.3000 11/21/22   838,505
2,600,000   AbbVie, Inc.   3.7500 11/14/23   2,785,641
2,300,000   AbbVie, Inc.   3.8500 06/15/24   2,492,971
500,000   Amgen, Inc.   3.6250 05/15/22   508,814
60,000,000   AstraZeneca plc   0.3000 05/26/23   60,044,269
4,000,000   Bristol-Myers Squibb Company   0.5370 11/13/23   4,004,261
1,480,000   GlaxoSmithKline Capital plc   2.8750 06/01/22   1,509,988
2,000,000   GlaxoSmithKline Capital plc   0.5340 10/01/23   2,006,097
2,000,000   Jazz Securities DAC(b)   4.3750 01/15/29   2,085,220
1,470,000   Royalty Pharma plc(b)   0.7500 09/02/23   1,476,002
500,000   Takeda Pharmaceutical Company Ltd.   4.4000 11/26/23   542,200
              179,218,211
    CABLE & SATELLITE0.1%      
1,200,000   Cequel Communications Holdings I, LLC(b)   7.5000 04/01/28   1,268,436
1,385,000   Charter Communications Operating, LLC   4.4640 07/23/22   1,429,735
1,233,000   Comcast Corporation   3.7000 04/15/24   1,336,598
2,910,000   Sirius XM Radio, Inc.(b)   3.8750 08/01/22   2,910,000
              6,944,769
    CHEMICALS0.5%      
2,177,000   DuPont de Nemours, Inc.   4.2050 11/15/23   2,349,928
25,674,000   Eastman Chemical Company   3.5000 12/01/21   25,946,242
4,545,000   LYB International Finance BV   4.0000 07/15/23   4,853,152
7,708,000   Mosaic Company   3.7500 11/15/21   7,716,737
              40,866,059
Principal Amount ($)           Spread Coupon Rate (%) Maturity Fair Value
    COMMERCIAL SUPPORT SERVICES0.1%      
4,000,000   APX Group, Inc.   7.6250 09/01/23 $  4,106,940
             
    CONSTRUCTION MATERIALS0.1%      
10,000,000   Martin Marietta Materials, Inc.   0.6500 07/15/23   10,021,710
             
    DIVERSIFIED INDUSTRIALS0.2%      
15,400,000   Honeywell International, Inc.   0.4830 08/19/22   15,402,277
             
    E-COMMERCE DISCRETIONARY0.8%      
26,490,000   Amazon.com, Inc.   0.2500 05/12/23   26,488,126
2,343,000   Amazon.com, Inc.   0.4500 05/12/24   2,343,735
35,575,000   eBay, Inc.(c) US0003M + 0.870% 1.0555 01/30/23   35,952,042
              64,783,903
    ELECTRIC UTILITIES2.0%      
18,250,000   Duke Energy Corporation   1.8000 09/01/21   18,250,000
1,473,000   Exelon Generation Company, LLC   3.4000 03/15/22   1,497,020
13,218,000   NextEra Energy Capital Holdings, Inc.(c) ICE LIBOR USD 3 Month + 0.550% 0.6850 08/28/21   13,222,986
20,240,000   NextEra Energy Capital Holdings, Inc.(c) US0003M + 0.720% 0.8670 02/25/22   20,311,402
49,000,000   NextEra Energy Capital Holdings, Inc.(c) US0003M + 0.270% 0.4201 02/22/23   49,006,898
2,000,000   NextEra Energy Capital Holdings, Inc.   0.6500 03/01/23   2,007,733
700,000   Pacific Gas and Electric Company   1.7500 06/16/22   699,180
2,800,000   Pacific Gas and Electric Company   1.3670 03/10/23   2,798,657
4,191,000   Pacific Gas and Electric Company   4.2500 08/01/23   4,427,105
1,500,000   Public Service Company of Colorado   2.2500 09/15/22   1,518,919
14,892,000   Public Service Enterprise Group, Inc.   2.0000 11/15/21   14,945,634
31,265,000   Southern California Edison Company(c) ICE LIBOR USD 3 Month + 0.270% 0.3985 12/03/21   31,275,156
2,000,000   Southern Company   0.6000 02/26/24   2,006,252
              161,966,942
    ELECTRICAL EQUIPMENT0.4%      
25,000,000   Siemens Financieringsmaatschappij N.V. (b)   0.4000 03/11/23   25,065,911
10,000,000   Siemens Financieringsmaatschappij N.V. (b)   0.6500 03/11/24   10,039,594
              35,105,505
    ENTERTAINMENT CONTENT0.2%      
1,000,000   Discovery Communications, LLC   2.9500 03/20/23   1,038,244
5,040,000   TWDC Enterprises 18 Corporation(c) ICE LIBOR USD 3 Month + 0.390% 0.5240 03/04/22   5,052,262
11,001,000   TWDC Enterprises 18 Corporation   2.4500 03/04/22   11,146,048
              17,236,554
    FOOD1.1%      
5,700,000   Conagra Brands, Inc.   3.2500 09/15/22   5,877,237
Principal Amount ($)     Spread Coupon Rate (%) Maturity Fair Value
36,863,000   Danone S.A. (b)   2.0770 11/02/21 $  36,975,383
710,000   Hormel Foods Corporation   0.6500 06/03/24   712,421
8,860,000   Kraft Heinz Foods Company   3.5000 06/06/22   9,080,907
24,377,000   Mondelez International Holdings Netherlands BV(b)   2.0000 10/28/21   24,443,546
8,889,000   Smithfield Foods, Inc. (b)   3.3500 02/01/22   8,984,779
              86,074,273
    FORESTRY, PAPER & WOOD PRODUCTS0.0%      
2,420,000   Georgia-Pacific, LLC   8.0000 01/15/24   2,856,861
             
    GAS & WATER UTILITIES0.1%      
2,700,000   Atmos Energy Corporation   0.6250 03/09/23   2,700,757
3,325,000   ONE Gas, Inc.   0.8500 03/11/23   3,326,075
              6,026,832
    HEALTH CARE FACILITIES & SERVICES1.4%      
30,000,000   AmerisourceBergen Corporation   0.7370 03/15/23   30,059,021
1,700,000   Anthem, Inc.   0.4500 03/15/23   1,702,567
4,143,000   Cardinal Health, Inc.(c)   2.6160 06/15/22   4,217,854
12,778,000   Cardinal Health, Inc.(c) US0003M + 0.770% 0.8889 06/15/22   12,855,638
9,340,000   Cigna Corporation(c) ICE LIBOR USD 3 Month + 0.890% 1.0161 07/15/23   9,462,794
2,500,000   Cigna Corporation   3.7500 07/15/23   2,656,294
2,000,000   Cigna Corporation   0.6130 03/15/24   2,001,119
2,000,000   CVS Health Corporation   3.7000 03/09/23   2,101,864
12,942,000   Humana, Inc.   3.1500 12/01/22   13,330,135
20,000,000   Humana, Inc.   0.6500 08/03/23   20,004,810
6,055,000   Laboratory Corp of America Holdings   3.2500 09/01/24   6,484,462
2,000,000   UnitedHealth Group, Inc.   2.8750 03/15/22   2,019,972
4,830,000   UnitedHealth Group, Inc.   3.3500 07/15/22   4,973,488
              111,870,018
    HOME CONSTRUCTION0.1%      
10,000,000   Toll Brothers Finance Corporation   5.8750 02/15/22   10,152,800
             
    INDUSTRIAL SUPPORT SERVICES0.2%      
20,000,000   Triton Container International Ltd. (b)   0.8000 08/01/23   19,999,605
             
    INSTITUTIONAL FINANCIAL SERVICES3.9%      
2,000,000   Bank of New York Mellon Corporation   2.9500 01/29/23   2,077,759
7,400,000   Bank of New York Mellon Corporation   0.5000 04/26/24   7,409,098
2,000,000   Bank of New York Mellon Corporation   1.6000 04/24/25   2,059,523
2,000,000   Credit Suisse Group A.G.   3.8000 06/09/23   2,117,233
100,000,000   Goldman Sachs Group, Inc.(c) US0003M + 0.780% 0.9080 10/31/22   100,162,274
3,283,000   Goldman Sachs Group, Inc.   3.6250 01/22/23   3,443,043
Principal Amount ($)     Spread Coupon Rate (%) Maturity Fair Value
52,000,000   Goldman Sachs Group, Inc.   0.4810 01/27/23   $ 52,032,590
1,900,000   Goldman Sachs Group, Inc.   0.5230 03/08/23   1,901,748
7,000,000   Goldman Sachs Group, Inc. (c) SOFRRATE + 0.572% 0.6730 03/08/24   7,015,868
48,662,000   Morgan Stanley   2.6250 11/17/21   49,013,185
9,878,000   Morgan Stanley   2.7500 05/19/22   10,079,179
35,000,000   Morgan Stanley(c) United States SOFR Secured Overnight Financing Rate + 0.700% 0.7500 01/20/23   35,098,843
2,025,000   Morgan Stanley   3.1250 01/23/23   2,106,939
4,000,000   Morgan Stanley(c) SOFRRATE + 0.455% 0.5290 01/25/24   4,002,179
1,785,000   Morgan Stanley(c) SOFRRATE + 0.616% 0.7310 04/05/24   1,791,427
720,000   Morgan Stanley   3.8750 04/29/24   783,091
4,040,000   Morgan Stanley(c) SOFRRATE + 0.509% 0.7910 01/22/25   4,048,189
25,000,000   Nasdaq, Inc.   0.4450 12/21/22   25,013,504
              310,155,672
    INSURANCE3.1%      
700,000   Allstate Corporation   3.1500 06/15/23   737,111
2,000,000   American International Group, Inc.   4.1250 02/15/24   2,176,227
3,200,000   AmWINS Group, Inc. (b)   4.8750 06/30/29   3,268,000
500,000   Aon plc   4.0000 11/27/23   536,101
17,000,000   Brighthouse Financial Global Funding(b)   0.6000 06/28/23   17,030,562
20,000,000   Equitable Financial Life Global Funding(b)   0.5000 04/06/23   20,055,036
25,000,000   MassMutual Global Funding II(b),(c) ICE LIBOR USD 3 Month + 0.150% 0.2880 01/07/22   25,016,118
33,609,000   Met Tower Global Funding(b)   0.5500 07/13/22   33,681,907
25,000,000   Met Tower Global Funding(b),(c) United States SOFR Secured Overnight Financing Rate + 0.550% 0.6000 01/17/23   25,165,446
14,500,000   Metropolitan Life Global Funding I(b),(c) United States SOFR Secured Overnight Financing Rate + 0.570% 0.6200 01/13/23   14,599,387
40,000,000   New York Life Global Funding(b),(c) ICE LIBOR USD 3 Month + 0.280% 0.4142 01/21/22   40,065,906
62,000,000   Northwestern Mutual Global Funding(b)   0.6000 03/25/24   62,198,013
1,850,000   W R Berkley Corporation   4.6250 03/15/22   1,897,915
              246,427,729
    INTERNET MEDIA & SERVICES0.1%      
9,328,000   Netflix, Inc.   5.5000 02/15/22   9,584,520
             
    LEISURE FACILITIES & SERVICES1.2%      
6,960,000   Marriott International, Inc.   3.1250 10/15/21   6,963,522
18,993,000   McDonald's Corporation   2.6250 01/15/22   19,200,959
71,650,000   McDonald's Corporation(c) ICE LIBOR USD 3 Month + 0.430% 0.5616 10/28/21   71,724,811
              97,889,292
    MACHINERY0.5%      
10,000,000   Caterpillar Financial Services Corporation(c) ICE LIBOR USD 3 Month + 0.200% 0.3675 11/12/21   10,006,232
20,000,000   Caterpillar Financial Services Corporation(c) ICE LIBOR USD 3 Month + 0.220% 0.3579 01/06/22   20,019,186
4,360,000   Caterpillar Financial Services Corporation   0.2500 03/01/23   4,362,136
Principal Amount ($)     Spread Coupon Rate (%) Maturity Fair Value
2,028,000   Caterpillar Financial Services Corporation   0.4500 05/17/24 $  2,033,006
700,000   CNH Industrial Capital, LLC   4.3750 04/05/22   717,988
800,000   John Deere Capital Corporation   1.2000 04/06/23   813,494
2,000,000   John Deere Capital Corporation   0.7000 07/05/23   2,016,423
2,364,000   John Deere Capital Corporation   0.4000 10/10/23   2,370,867
              42,339,332
    MEDICAL EQUIPMENT & DEVICES0.4%      
32,000,000   Illumina, Inc.   0.5500 03/23/23   32,063,070
             
    OIL & GAS PRODUCERS1.1%      
2,000,000   BP Capital Markets America, Inc.   2.9370 04/06/23   2,085,602
2,270,000   BP Capital Markets America, Inc.   3.7900 02/06/24   2,448,630
2,000,000   Chevron Corporation   2.4110 03/03/22   2,018,825
20,835,000   Chevron USA, Inc.(c) ICE LIBOR USD 3 Month + 0.110% 0.2775 08/12/22   20,866,615
600,000   Chevron USA, Inc.   0.3330 08/12/22   601,271
1,500,000   Diamondback Energy, Inc.   0.9000 03/24/23   1,500,279
2,000,000   Energy Transfer Operating, L.P.   4.2500 03/15/23   2,094,912
2,000,000   Enterprise Products Operating, LLC   3.5000 02/01/22   2,032,221
9,440,000   Exxon Mobil Corporation   1.5710 04/15/23   9,645,071
609,000   Exxon Mobil Corporation   3.1760 03/15/24   649,452
1,625,000   Kinder Morgan Energy Partners, L.P.   3.9500 09/01/22   1,674,138
16,930,000   Pioneer Natural Resources Company   0.5500 05/15/23   16,955,594
2,000,000   Shell International Finance BV   0.3750 09/15/23   2,000,797
3,764,000   TransCanada PipeLines Ltd.   2.5000 08/01/22   3,847,699
2,000,000   Valero Energy Corporation   2.7000 04/15/23   2,072,343
6,000,000   Valero Energy Corporation(c) US0003M + 1.150% 1.2689 09/15/23   6,006,865
5,600,000   Williams Companies, Inc. (The)   4.0000 11/15/21   5,606,836
4,159,000   Williams Companies, Inc. (The)   3.6000 03/15/22   4,219,186
              86,326,336
    REAL ESTATE INVESTMENT TRUSTS0.1%      
10,393,000   American Tower Corporation   2.2500 01/15/22   10,484,547
800,000   ERP Operating, L.P.   4.6250 12/15/21   804,080
500,000   Federal Realty Investment Trust   3.9500 01/15/24   538,444
 

 

 

          11,827,071
 

 

 

RETAIL - CONSUMER STAPLES1.3%      
66,280,000   7-Eleven, Inc.(b),(c) ICE LIBOR USD 3 Month + 0.450% 0.6120 08/10/22   66,296,927
19,000,000   7-Eleven, Inc. (b)   0.6250 02/10/23   19,012,903
16,700,000   Walgreens Boots Alliance, Inc.   3.3000 11/18/21   16,762,096
2,000,000   Walmart, Inc.   3.4000 06/26/23   2,112,834
Principal Amount ($)     Spread Coupon Rate (%) Maturity Fair Value
3,662,000   Walmart, Inc.   3.3000 04/22/24 $  3,923,053
              108,107,813
    SEMICONDUCTORS0.7%      
3,300,000   Marvell Technology, Inc. (b)   4.2000 06/22/23   3,502,907
4,695,000   Microchip Technology, Inc.   4.3330 06/01/23   4,993,358
2,000,000   Microchip Technology, Inc. (b)   0.9720 02/15/24   2,004,427
25,000,000   NVIDIA Corporation   0.3090 06/15/23   24,989,635
2,292,000   QUALCOMM, Inc.   3.0000 05/20/22   2,344,201
20,345,000   Skyworks Solutions, Inc.   0.9000 06/01/23   20,427,762
              58,262,290
    SOFTWARE2.4%      
1,500,000   Microsoft Corporation   2.4000 02/06/22   1,514,517
2,000,000   Microsoft Corporation   2.8750 02/06/24   2,119,760
35,755,000   Oracle Corporation   1.9000 09/15/21   35,801,066
86,334,000   Oracle Corporation   2.5000 05/15/22   87,510,381
44,614,000   VMware, Inc.   2.9500 08/21/22   45,701,410
19,758,000   VMware, Inc.   0.6000 08/15/23   19,794,316
              192,441,450
    SPECIALTY FINANCE1.5%      
1,300,000   AerCap Ireland Capital DAC / AerCap Global Aviation Trust   4.6250 07/01/22   1,348,855
4,000,000   AerCap Ireland Capital DAC / AerCap Global Aviation Trust   4.5000 09/15/23   4,282,324
500,000   Air Lease Corporation   3.5000 01/15/22   507,289
24,000,000   Air Lease Corporation(c) US0003M + 0.350% 0.4840 12/15/22   24,029,327
3,070,000   Air Lease Corporation   0.7000 02/15/24   3,062,272
17,997,000   American Express Company   3.7000 11/05/21   18,104,795
20,000,000   American Express Company(c) ICE LIBOR USD 3 Month + 0.600% 0.7764 11/05/21   20,016,000
7,870,000   American Express Company   2.7500 05/20/22   8,011,559
2,000,000   American Express Company   3.4000 02/27/23   2,092,230
600,000   Capital One Financial Corporation   3.2000 01/30/23   625,011
28,229,000   Capital One Financial Corporation(c) ICE LIBOR USD 3 Month + 0.950% 1.0731 03/09/22   28,359,659
2,000,000   Capital One Financial Corporation   3.5000 06/15/23   2,112,977
9,184,000   Ladder Capital Finance Holdings LLP(b)   5.2500 03/15/22   9,208,246
              121,760,544
    TECHNOLOGY HARDWARE0.2%      
1,685,000   Apple, Inc.   1.7000 09/11/22   1,714,036
4,500,000   Apple, Inc.   2.4000 05/03/23   4,668,379
1,085,000   Arrow Electronics, Inc.   3.5000 04/01/22   1,101,671
5,050,000   Hewlett Packard Enterprise Company   3.5000 10/05/21   5,064,820
              12,548,906
    TECHNOLOGY SERVICES0.5%      
600,000   Fiserv, Inc.   3.8000 10/01/23   641,315
Principal Amount ($)     Spread Coupon Rate (%) Maturity Fair Value
3,700,000   International Business Machines Corporation   2.8500 05/13/22 $  3,776,964
26,620,000   PayPal Holdings, Inc.   2.2000 09/26/22   27,233,238
3,600,000   Square, Inc.(b)   2.7500 06/01/26   3,685,770
1,800,000   Square, Inc.(b)   3.5000 06/01/31   1,870,065
              37,207,352
    TELECOMMUNICATIONS1.4%      
4,110,000   AT&T, Inc.   0.9000 03/25/24   4,121,663
24,826,000   Rogers Communications, Inc.(c) US0003M + 0.600% 0.7350 03/22/22   24,895,072
9,239,000   Sprint Corporation   7.2500 09/15/21   9,311,665
30,424,000   Verizon Communications, Inc.(c) ICE LIBOR USD 3 Month + 1.000% 1.1180 03/16/22   30,606,028
1,100,000   Verizon Communications, Inc.   4.1500 03/15/24   1,196,061
38,469,000   Verizon Communications, Inc.   0.7500 03/22/24   38,661,045
              108,791,534
    TOBACCO & CANNABIS0.0%      
900,000   Philip Morris International, Inc.   1.1250 05/01/23   913,415
             
    TRANSPORTATION & LOGISTICS0.2%      
5,000,000   American Airlines Group, Inc.(b)   5.0000 06/01/22   4,993,750
750,000   Delta Air Lines, Inc.   3.6250 03/15/22   755,751
843,000   Ryder System, Inc.   2.8000 03/01/22   853,600
6,500,000   Ryder System, Inc.   3.8750 12/01/23   6,987,677
544,000   Union Pacific Corporation   4.1630 07/15/22   559,013
              14,149,791
  TOTAL CORPORATE BONDS (Cost $3,892,858,409)    

3,896,314,500

             
Principal Amount ($)              
    MUNICIPAL BONDS — 0.4%      
    California 0.4%      
11,435,000   Los Angeles Community College District/CA   0.2760 08/01/21   11,435,000
11,425,000   Los Angeles Community College District/CA   0.3260 08/01/22   11,445,563
1,250,000   San Francisco Community College District   3.0000 06/15/22   1,279,531
5,000,000   State of California   5.0000 09/01/23   5,493,053
              29,653,147
   

 

 

     
    New Jersey 0.0%      
961,125   County of Camden NJ   1.5000 10/19/21   963,993
             
  TOTAL MUNICIPAL BONDS (Cost $30,570,236)    

30,617,140

             
Principal Amount ($)       Spread Coupon Rate (%) Maturity Fair Value
    U.S. GOVERNMENT & AGENCIES — 0.3%      
    U.S. TREASURY NOTES0.3%      
20,000,000   United States Treasury Note   0.2500 08/31/25 $  19,744,531
             
  TOTAL U.S. GOVERNMENT & AGENCIES (Cost $19,978,812)    

19,744,531

             
    CERTIFICATE OF DEPOSIT — 2.1%      
    BANKING - 2.1%      
20,000,000   Canadian Imperial Bank of Commerce(c)                   BSBY1M+ 0.100% 0.1710 01/24/22   20,000,000
50,000,000   Royal Bank of Canada, New York(c) US0003M + 0.090% 0.2210 12/07/21   50,017,177
50,000,000   Royal Bank of Canada, New York(c) US0003M + 0.090% 0.2180 12/10/21   50,017,422
10,000,000   Toronto-Dominion Bank, New York(c) SOFRRATE + 0.200% 0.2320 02/16/22   10,005,517
10,000,000   Toronto-Dominion Bank, New York(c)    BSBY3M+ 0.050% 0.1360 12/09/21   9,998,000
25,000,000   Toronto-Dominion Bank, New York(b),(c) US0003M + 0.090% 0.2180 12/03/21   25,008,312
             

165,046,428

               
    TOTAL CERTIFICATE OF DEPOSIT (Cost $165,000,000)    

165,046,428

               
               
    COMMERCIAL PAPER — 4.8%      
    COMMERCIAL PAPER - 4.8%      
50,000,000   American Honda Finance Corporation   0.0000 09/07/21   49,990,466
23,000,000   American Honda Finance Corporation   0.0000 09/21/21   22,993,533
15,000,000   American Honda Financial Corporation   0.0000 10/13/21   14,993,750
49,000,000   AT&T, Inc.   0.0000 12/14/21   48,968,113
25,000,000   FMC Corporation   0.0000 08/24/21   24,995,208
25,000,000   FMC Corporation   0.0000 08/12/21   24,997,708
23,500,000   FMC Corporation   0.0000 08/16/21   23,497,063
22,500,000   Hilltop Securities, Inc.   0.0000 10/06/21   22,463,865
25,000,000   Hilltop Securities, Inc.   0.0000 08/04/21   24,997,125
24,000,000   Hilltop Securities, Inc.   0.0000 09/29/21   23,946,507
35,000,000   Jabil, Inc.   0.0000 08/20/21   34,991,318
25,000,000   Shell Intl Finance BV(b)   0.0000 10/01/21   24,995,144
41,830,000   Walgreens Boots Alliance   0.0000 08/06/21   41,829,129
             

383,658,929

               
    TOTAL COMMERCIAL PAPER (Cost $383,615,067)    

383,658,929

               
Shares             Fair Value
    SHORT-TERM INVESTMENTS — 12.5%      
    MONEY MARKET FUNDS - 12.5%      
104,233,454   Dreyfus Treasury Obligations Cash Management Fund, Institutional Shares, 0.01%(d)        $ 104,233,454
574,687,656   JPMorgan Prime Money Market Fund, Capital Class, 0.07%(d)         574,975,000
169,800,548   Morgan Stanley Institutional Liquidity Funds – Prime Portfolio, Institutional Class, 0.06%(d)         169,817,528
154,309,182   Western Asset Institutional Liquid Reserves, Institutional Class, 0.02%(d)         154,324,613
    TOTAL MONEY MARKET FUNDS (Cost $1,003,386,890)  

1,003,350,595

               
    TOTAL SHORT-TERM INVESTMENTS (Cost $1,003,386,890)  

1,003,350,595

Contracts(g)              
    EQUITY OPTIONS PURCHASED(a) - 0.0%   Expiration Date Exercise Price Notional Value  
    CALL OPTIONS PURCHASED - 0.0%      
19,000   iShares iBoxx High Yield Corporate Bond ETF   08/20/2021 $ 95 $ 180,500,000 $ 19,000
    TOTAL CALL OPTIONS PURCHASED (Cost - $23,160)  
 
         
    TOTAL EQUITY OPTIONS PURCHASED (Cost - $23,160)     19,000
           
Contracts(g)              
    FUTURE OPTIONS PURCHASED(a) - 0.1%   Expiration Date Exercise Price Notional Value  
    PUT OPTIONS PURCHASED - 0.1%      
5,364   S&P 500 E-Mini Option   09/17/2021 $ 3,700 $ 992,340,000 $ 2,950,200
2,500   S&P 500 E-Mini Option   09/17/2021   4,000   500,000,000   3,275,000
    TOTAL PUT OPTIONS PURCHASED (Cost - $14,361,365)  

6,225,200

         
    TOTAL FUTURE OPTIONS PURCHASED (Cost - $14,361,365)     6,225,200
           

 

1,723,605,815

 

 

COLLATERAL FOR SECURITIES LOANED — 21.5%

Morgan Stanley Institutional Liquidity Funds Government Portfolio - Institutional Shares, 0.03% (b)(d)

TOTAL COLLATERAL FOR SECURITIES LOANED (Cost $1,723,605,815)

    $            1,723,605,815
 

 

 

TOTAL INVESTMENTS – 116.4% (Cost $9,294,816,199)     $ 9,333,900,905
    PUT OPTIONS WRITTEN - (0.2)% (Proceeds - $14,733,573)     (14,419,000)
    LIABILITIES IN EXCESS OF OTHER ASSETS – (16.2)%    

(1,299,313,332)

    NET ASSETS - 100.0%        

$ 8,020,168,573

           
Contracts(g)              
    WRITTEN EQUITY OPTIONS(a) - (0.2)%   Expiration Date Exercise Price Notional Value Fair Value
    PUT OPTIONS WRITTEN - (0.2)%      
(5,000)   iShares iBoxx High Yield Corporate Bond ETF   08/20/2021 $ 87 $ (43,500,000) $ 150,000
(19,000)   iShares iBoxx High Yield Corporate Bond ETF   08/20/2021   95   (180,500,000)   14,269,000
    TOTAL PUT OPTIONS WRITTEN (Proceeds - $14,733,573)  

14,419,000

         
    TOTAL EQUITY OPTIONS WRITTEN (Proceeds - $14,733,573)    

$ 14,419,000

           
OPEN FUTURES CONTRACTS        
Number of Contracts   Open Long Futures Contracts     Expiration Notional Amount Unrealized Appreciation
1,886   CBOT 5 Year US Treasury Note   09/30/2021 $ 234,703,270 $ 1,239,568
2,683   CME E-Mini Standard & Poor's 500 Index Future   09/17/2021   588,851,425   19,725,400
    TOTAL FUTURES CONTRACTS  

$ 20,964,968

         
                                                                           

 

DAC  - Designated Activity Company
ETF  - Exchange-Traded Fund
LIBOR  - London Interbank Offered Rate
LP  - Limited Partnership
LTD  - Limited Company
PLC  - Public Limited Company
REIT  - Real Estate Investment Trust
SOFR  - Secured Overnight Financing Rate
   
BSBY1M BSBY1M
BSBY3M BSBY3M
H15T1Y US Treasury Yield Curve Rate T Note Constant Maturity 1 Year
ICE LIBOR USD 1 Month ICE LIBOR USD 1 Month
ICE LIBOR USD 3 Month ICE LIBOR USD 3 Month
SOFRRATE United States SOFR Secured Overnight Financing Rate
United States SOFR Secured Overnight Financing Rate United States SOFR Secured Overnight Financing Rate
US0003M ICE LIBOR USD 3 Month
 
     

 

 

(a) Non-income producing security.
(b) Security exempt from registration under Rule 144A or Section 4(2) of the Securities Act of 1933. The security may be resold in transactions exempt from registration, normally to qualified institutional buyers.  As of July 31, 2021, the total market value of 144A securities is $902,924,624 or 11.3% of net assets.
(c) Variable rate security. Interest rate is as of July 31, 2021.

(d)

(e)

(f)

(g)

(h)

Rate disclosed is the seven-day effective yield as of July 31, 2021.

All or a portion of the security is on loan. Total loaned securities had a value of $1,730,172,379 at July 31, 2021.

Security purchased with cash proceeds of securities lending collateral. Non-cash collateral amounted to $42,425,526.

Each option contract allows the Fund to purchase or sell 1 underlying futures contract or 100 shares of the underlying security .

Affiliated Security.

 

 

 

OPEN CREDIT DEFAULT SWAP AGREEMENTS (1)          
OPENCREDIT DEFAULT SWAP AGREEMENTS - SELL PROTECTION (2)      
               
Reference Entity Counterparty Termination Date Interest Rate Payable Notional Value at July 31, 2021 Fair Value Upfront Premiums Received Unrealized Appreciation
               
CDX North American High Yield Series 35  GS  12/20/2025 5.00%  $    356,800,000  $  34,574,079  $    27,969,437  $   6,604,642
CDX North American High Yield Series 36  GS  6/20/2026 5.00%     2,908,100,000    283,997,613      259,973,992     24,023,621
CDX North American High Yield Series 36  MS  6/20/2026 5.00%        114,400,000       11,172,012           9,043,908        2,128,104
               
TOTAL OPEN CREDIT DEFAULT SWAP          $329,743,704  $  296,987,337  $ 32,756,367
               
GS - Goldman Sachs              
MS - Morgan Stanley              
(1) For centrally cleared swaps, the notional amounts represent the maximum potential the Fund may pay/receive as a seller/buyer of credit protection if a credit event occurs, as defined under the terms of the swap contract, for each security included in the reference entity.
(2) For centrally cleared swaps, when a credit event occurs as defined under the terms of the swap contract, the Fund as a seller of credit protection will either (i) pay a net amount equal to the par value of the defaulted reference entity and deliver the reference entity or (ii) pay a net amount equal to the par value of the defaulted reference entity less its recovery value.

 

 

 

NAVIGATOR TACTICAL U.S. ALLOCATION FUND
SCHEDULE OF INVESTMENTS (Unaudited)
July 31, 2021
 
Principal Amount ($)       Spread Coupon Rate (%) Maturity Fair Value
    CORPORATE BONDS — 74.7%      
    AUTOMOTIVE6.9%      
1,526,000   Daimler Finance North America, LLC(a)   3.4000 02/22/22 $ 1,552,131
2,000,000   General Motors Financial Company, Inc.(b) US0003M + 1.310% 1.4573 06/30/22   2,018,562
              3,570,693
    BANKING11.6%      
2,000,000   Bank of America Corporation(b) US0003M + 1.021% 2.8810 04/24/23   2,036,603
2,000,000   JPMorgan Chase & Company(b) US0003M + 1.230% 1.3550 10/24/23   2,027,680
2,000,000   Standard Chartered plc(a),(b) US0003M + 1.200% 1.3280 09/10/22   2,002,152
              6,066,435
    BEVERAGES3.9%      
2,000,000   Molson Coors Beverage Company   3.5000 05/01/22   2,047,617
             
    CABLE & SATELLITE3.1%      
600,000   Comcast Corporation(b) US0003M + 0.440% 0.5849 10/01/21   600,457
1,000,000   Sirius XM Radio, Inc.(a)   3.8750 08/01/22   1,000,000
              1,600,457
    COMMERCIAL SUPPORT SERVICES2.0%      
1,000,000   APX Group, Inc.   7.6250 09/01/23   1,026,735
             
    ELECTRIC UTILITIES10.0%      
1,370,000   Duke Energy Corporation(b) US0003M + 0.650% 0.7750 03/11/22   1,374,929
1,790,000   Duke Energy Florida, LLC(b) ICE LIBOR USD 3 Month + 0.250% 0.3909 11/26/21   1,791,123
2,000,000   NextEra Energy Capital Holdings, Inc.   2.4030 09/01/21   2,003,422
              5,169,474
    FOOD2.0%      
1,000,000   Kraft Heinz Foods Company   3.5000 06/06/22   1,024,933
             
    HEALTH CARE FACILITIES & SERVICES7.8%      
2,000,000   Cardinal Health, Inc.(b) US0003M + 0.770% 0.8889 06/15/22   2,012,152
2,000,000   CIGNA CORP ADJ% 07/15/2023(b) ICE LIBOR USD 3 Month + 0.890% 1.0161 07/15/23   2,026,294
              4,038,446
    INSTITUTIONAL FINANCIAL SERVICES4.4%      
2,249,000   Goldman Sachs Group, Inc.(b) US0003M + 1.000% 1.1252 07/24/23   2,265,542
             
Principal Amount ($)         Spread Coupon Rate (%) Maturity Fair Value
    LEISURE FACILITIES & SERVICES3.9%      
2,000,000   McDonald's Corporation   2.6250 01/15/22 $  2,021,898
             
    OIL & GAS PRODUCERS3.9%      
2,000,000   Valero Energy Corporation(b) US0003M + 1.150% 1.2689 09/15/23   2,002,288
             
    RETAIL - CONSUMER STAPLES3.9%      
2,000,000   7-Eleven, Inc.(a),(b) ICE LIBOR USD 3 Month + 0.450% 0.6120 08/10/22   2,000,511
             
    SOFTWARE3.9%      
2,000,000   Oracle Corporation   2.5000 05/15/22   2,027,252
             
    SPECIALTY FINANCE1.9%      
1,000,000   Ladder Capital Finance Holdings LLP(a)   5.2500 03/15/22   1,002,640
             
    TECHNOLOGY HARDWARE5.5%      
781,000   Apple, Inc.(b) US0003M + 0.350% 0.5099 05/11/22   783,541
2,000,000   Telefonaktiebolaget LM Ericsson   4.1250 05/15/22   2,058,850
              2,842,391
  TOTAL CORPORATE BONDS (Cost $38,701,302)    

38,707,312

             
Principal Amount ($)              
    COMMERCIAL PAPER — 6.8%      
    COMMERCIAL PAPER - 6.8%      
2,000,000   American Honda Finance Corporation   0.0000 09/21/21   1,999,437
1,000,000   Hilltop Securities, Inc.   0.0000 10/06/21   998,394
500,000   Hilltop Securities, Inc.   0.0000 09/29/21   498,886
             

3,496,717

               
    TOTAL COMMERCIAL PAPER (Cost $3,496,881)    

3,496,717

               
Shares             Fair Value
    SHORT-TERM INVESTMENTS — 6.9%      
    MONEY MARKET FUNDS - 6.9%      
3,593,145   Dreyfus Treasury Obligations Cash Management Fund, Institutional Class, 0.01%(c) (Cost $3,593,145)       $ 3,593,145
             
    TOTAL INVESTMENTS - 88.4% (Cost $45,791,328)     $ 45,797,174
    OTHER ASSETS IN EXCESS OF LIABILITIES- 11.6%    

5,989,790

    NET ASSETS - 100.0%        

$ 51,786,964

           
OPEN FUTURES CONTRACTS        
Number of Contracts   Open Long Futures Contracts     Expiration Notional Amount Unrealized Appreciation
236   CME E-Mini Standard & Poor's 500 Index Future   09/17/2021 $ 51,796,100 $ 1,834,900
    TOTAL FUTURES CONTRACTS  
 
                       

 

LLC  - Limited Liability Company
PLC  - Public Limited Company
   
ICE LIBOR USD 3 Month ICE LIBOR USD 3 Month
US0003M ICE LIBOR USD 3 Month

 

 

   
(a) Security exempt from registration under Rule 144A or Section 4(2) of the Securities Act of 1933. The security may be resold in transactions exempt from registration, normally to qualified institutional buyers.  As of July 31, 2021, the total market value of 144A securities is $7,557,434 or 14.6% of net assets.
(b) Variable rate security. Interest rate is as of July 31, 2021.
(c) Rate disclosed is the seven-day effective yield as of July 31, 2021.
   

 

 

 

NAVIGATOR ULTRA SHORT BOND FUND
SCHEDULE OF INVESTMENTS (Unaudited)
July 31, 2021
 
Principal Amount ($)       Spread Coupon Rate (%) Maturity Fair Value
    CORPORATE BONDS — 90.2%      
    AEROSPACE & DEFENSE3.8%      
2,000,000   Boeing Company   1.1670 02/04/23 $ 2,006,871
             
    ASSET MANAGEMENT1.0%      
500,000   FS KKR Capital Corporation   4.7500 05/15/22   513,320
             
    AUTOMOTIVE19.6%      
1,000,000   Daimler Finance North America, LLC(a),(b) ICE LIBOR USD 3 Month + 0.900% 1.0560 02/15/22   1,004,664
1,500,000   Ford Motor Credit Company, LLC(b) ICE LIBOR USD 3 Month + 3.140% 3.2780 01/07/22   1,512,403
1,000,000   Ford Motor Credit Company, LLC   5.5960 01/07/22   1,017,725
1,000,000   General Motors Company(b) ICE LIBOR USD 3 Month + 0.900% 1.0280 09/10/21   1,000,665
1,500,000   General Motors Financial Company, Inc.(b) US0003M + 1.310% 1.4570 06/30/22   1,513,922
200,000   Harley-Davidson Financial Services, Inc.(a)   4.0500 02/04/22   203,704
1,000,000   Hyundai Capital America(a)   3.1000 04/05/22   1,018,782
600,000   Hyundai Capital America(a)   3.9500 02/01/22   610,281
1,500,000   Nissan Motor Acceptance Corporation(a)   1.9000 09/14/21   1,502,957
1,000,000   Nissan Motor Acceptance Corporation(a)   3.6500 09/21/21   1,004,032
              10,389,135
    BANKING9.7%      
1,000,000   Bank of America Corporation(b) US0003M + 1.160% 3.1240 01/20/23   1,012,759
931,000   Barclays plc   3.2000 08/10/21   931,533
1,250,000   Barclays plc(b) US0003M + 1.400% 4.6100 02/15/23   1,277,898
1,000,000   Deutsche Bank A.G.   4.2500 10/14/21   1,007,617
1,000,000   Deutsche Bank A.G.(b) US0003M + 1.190% 1.3460 11/16/22   1,007,484
              5,237,291
    CABLE & SATELLITE0.4%      
200,000   Sirius XM Radio, Inc.(a)   3.8750 08/01/22   200,000
             
    CONTAINERS & PACKAGING0.5%      
250,000   Ball Corporation   5.0000 03/15/22   256,461
             
    E-COMMERCE DISCRETIONARY7.1%      
750,000   Alibaba Group Holding Ltd.   3.1250 11/28/21   753,075
Principal Amount ($)     Spread Coupon Rate (%) Maturity Fair Value
3,000,000   eBay, Inc.(b) US0003M + 0.870% 1.0550 01/30/23 $  3,031,796
              3,784,871
    ELECTRIC UTILITIES4.5%      
1,000,000   NextEra Energy Capital Holdings, Inc.(b) ICE LIBOR USD 3 Month + 0.550% 0.6850 08/28/21   1,000,377
1,000,000   NextEra Energy Capital Holdings, Inc.(b) US0003M + 0.270% 0.4200 02/22/23   1,000,141
400,000   Southern California Edison Company(b) ICE LIBOR USD 3 Month + 0.270% 0.3980 12/03/21   400,130
              2,400,648
    FOOD9.6%      
1,500,000   Kraft Heinz Foods Company B   3.5000 06/06/22   1,537,400
3,550,000   Smithfield Foods, Inc.(a)   3.3500 02/01/22   3,588,251
              5,125,651
    HEALTH CARE FACILITIES & SERVICES1.3%      
686,000   Cardinal Health, Inc.   2.6160 06/15/22   698,394
             
    INSURANCE1.0%      
500,000   Enstar Group Ltd.   4.5000 03/10/22   509,796
             
    INTERNET MEDIA & SERVICES1.0%      
500,000   Netflix, Inc.   5.5000 02/15/22   513,750
             
    LEISURE FACILITIES & SERVICES7.9%      
896,000   Hyatt Hotels Corporation   5.3750 08/15/21   897,330
1,300,000   Hyatt Hotels Corporation(b) US0003M + 3.000% 3.1350 09/01/22   1,302,785
1,000,000   Marriott International, Inc.   3.1250 10/15/21   1,000,506
1,000,000   Marriott International, Inc.   2.3000 01/15/22   1,006,455
              4,207,076
    OIL & GAS PRODUCERS0.9%      
500,000   Pioneer Natural Resources Company   0.5500 05/15/23   500,756
             
    RETAIL - CONSUMER STAPLES4.7%      
1,500,000   7-Eleven, Inc.(a),(b) ICE LIBOR USD 3 Month + 0.450% 0.6120 08/10/22   1,500,383
1,000,000   7-Eleven, Inc.(a)   0.6250 02/10/23   1,000,679
              2,501,062
    SEMICONDUCTORS1.9%      
1,000,000   Skyworks Solutions, Inc.   0.9000 06/01/23   1,004,068
             
    SPECIALTY FINANCE3.5%      
1,000,000   Air Lease Corporation(b) US0003M + 0.350% 0.4840 12/15/22   1,001,222
Principal Amount ($)       Spread Coupon Rate (%) Fair Value
850,000   Ladder Capital Finance Holdings LLP(a)   5.2500 03/15/22 $  852,244
              1,853,466
    TECHNOLOGY HARDWARE3.7%      
1,923,000   Telefonaktiebolaget LM Ericsson   4.1250 05/15/22   1,979,584
             
    TELECOMMUNICATIONS6.7%      
1,000,000   Rogers Communications, Inc.(b) US0003M + 0.600% 0.7350 03/22/22   1,002,782
500,000   Sprint Communications, Inc.   11.5000 11/15/21   515,720
2,000,000   Sprint Corporation   7.2500 09/15/21   2,015,730
93,750   Sprint Spectrum Company, LLC(a)   3.3600 09/20/21   94,137
              3,628,369
    TRANSPORTATION & LOGISTICS1.4%      
500,000   American Airlines Group, Inc.(a)   5.0000 06/01/22   499,375
250,000   Delta Air Lines, Inc.   3.6250 03/15/22   251,917
              751,292
  TOTAL CORPORATE BONDS (Cost $48,018,877)    

48,061,861

             
               
    COMMERCIAL PAPER — 8.4%      
    COMMERCIAL PAPER - 8.4%      
1,000,000   AT&T, Inc.   0.0000 12/14/21   999,349
1,500,000   FMC Corporation   0.0000 08/16/21   1,499,813
1,500,000   Hilltop Securities, Inc.   0.0000 10/06/21   1,497,591
500,000   Hilltop Securities, Inc.   0.0000 09/29/21   498,886
             

4,495,638

               
    TOTAL COMMERCIAL PAPER (Cost $4,494,998)    

4,495,638

               
Shares              
    SHORT-TERM INVESTMENTS — 0.7%      
    MONEY MARKET FUNDS - 0.7%      
351,524   Dreyfus Treasury Obligations Cash Management Fund, Institutional Class, 0.01%(c) (Cost $351,524)         351,524
             
 
    TOTAL INVESTMENTS - 99.3% (Cost $52,865,399)     $ 52,909,023
    OTHER ASSETS IN EXCESS OF LIABILITIES- 0.7%    

371,416

    NET ASSETS - 100.0%        

$ 53,280,439

 

LIBOR - London Interbank Offered Rate

         
                 

 

LLC  - Limited Liability Company
LTD  - Limited Company
PLC  - Public Limited Company
 

 

 

ICE LIBOR USD 3 Month ICE LIBOR USD 3 Month
US0003M ICE LIBOR USD 3 Month
   
 
     

 

 

 

(a) Security exempt from registration under Rule 144A or Section 4(2) of the Securities Act of 1933. The security may be resold in transactions exempt from registration, normally to qualified institutional buyers.  As of July 31, 2021, the total market value of 144A securities is $13,079,489 or 24.5% of net assets.
(b) Variable rate security. Interest rate is as of July 31, 2021.
(c) Rate disclosed is the seven-day effective yield as of July 31, 2021.

 

 



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