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Form NPORT-P TRANSAMERICA FUNDS For: Jul 31

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September 27, 2021 9:05 AM EDT 

  
    NPORT-P
    false
    
      
      
        
          0000787623
          XXXXXXXX
        
      
      
      
      
        S000007783
        C000021195
      
      
      
    
  
  
    
      TRANSAMERICA FUNDS
      811-04556
      0000787623
      54930088ZHZE1VMYEY52
      1801 CALIFORNIA STREET
      SUITE 5200
      DENVER
      
      80202
      720-493-4256
      Transamerica Total Return
      S000007783
      6NATCQMRI6NRJIP7IF06
      2021-10-31
      2021-07-31
      N
    
    
      1052873102.10
      388006687.45
      664866414.65
      0.00000000
      0.00000000
      0.00000000
      0.00000000
      0.00000000
      0.00000000
      0.00000000
      0.00000000
      0.00000000
      0.00000000
      254357980.50000000
      0.00000000
      0.00000000
      0.00000000
      
        
          BRL
          
          
        
        
          EUR
          
          
        
        
          GBP
          
          
        
        
          ILS
          
          
        
        
          JPY
          
          
        
        
          USD
          
          
        
      
      
      
      
        
        
        
        
        
        
        
        
        
        
      
      
        
          
            ACMBS
          
          
            AMBS
          
          
            UST
          
          
            
          
        
      
      
        
          
        
        
          
            
            
            
            
              
              
              
            
            
              
              
              
            
          
          
            
            
            
            
              
              
              
            
            
              
              
              
            
            
              
              
              
            
            
              
              
              
            
          
          
            
            
            
            
              
              
              
            
            
              
              
              
            
          
          
            
            
            
            
              
              
              
            
            
              
              
              
            
            
              
              
              
            
            
              
              
              
            
          
        
        
        
        
      
      
      
      
      
      
    
    
      
        Ludgate Funding Plc
        213800LADM2GPWI3P269
        Ludgate Funding PLC
        000000000
        
          
        
        1225265.28000000
        PA
        
        1644547.83000000
        0.247350113310
        Long
        ABS-MBS
        CORP
        GB
        Y
        
        2
        
          2061-01-01
          Floating
          0.24000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CROWN CASTLE INTL CORP
        54930012H97VSM0I2R19
        Crown Castle International Corp
        22822VAC5
        
          
        
        1700000.00000000
        PA
        USD
        1884502.94000000
        0.283440838411
        Long
        DBT
        
        US
        N
        
        2
        
          2026-06-15
          Fixed
          3.70000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Option One Mortgage Loan Trust
        N/A
        Option One Mortgage Loan Trust 2007-4
        68403FAE6
        
          
        
        3680715.45000000
        PA
        USD
        2593281.93000000
        0.390045559958
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2037-04-25
          Floating
          0.40000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Countrywide Alternative Loan Trust
        N/A
        Alternative Loan Trust 2006-30T1
        02146VAC6
        
          
        
        95522.18000000
        PA
        USD
        86114.87000000
        0.012952206353
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2036-11-25
          Fixed
          6.25000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        GOLDMAN SACHS GROUP INC
        784F5XWPLTWKTBV3E584
        Goldman Sachs Group Inc/The
        38141GXD1
        
          
        
        1600000.00000000
        PA
        USD
        1641894.58000000
        0.246951048183
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2026-05-15
          Floating
          1.33000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MF1 Multifamily Housing Mortgage Loan Trust
        N/A
        MF1 2020-FL4 Ltd
        58003UAA6
        
          
        
        1600000.00000000
        PA
        USD
        1619484.32000000
        0.243580407178
        Long
        ABS-CBDO
        CORP
        US
        
        N
        
        2
        
          2035-11-15
          Floating
          1.86000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        GSR Mortgage Loan Trust
        N/A
        GSR Mortgage Loan Trust 2005-AR6
        362341RX9
        
          
        
        10228.74000000
        PA
        USD
        10428.93000000
        0.001568575246
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2035-09-25
          Variable
          2.90000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Sound Point CLO LTD
        549300EBWPUX52MGF160
        Sound Point Clo XII Ltd
        83610CAW1
        
          
        
        1781124.41000000
        PA
        USD
        1781243.75000000
        0.267910020832
        Long
        ABS-CBDO
        CORP
        KY
        N
        
        2
        
          2028-10-20
          Floating
          1.18000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        EXPEDIA GROUP INC
        N/A
        Expedia Group Inc
        30212PAS4
        
          
        
        1459000.00000000
        PA
        USD
        1701376.04000000
        0.255897425785
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2025-05-01
          Fixed
          6.25000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3140X6LC3
        
          
        
        169293.39000000
        PA
        USD
        180744.05000000
        0.027185017323
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2032-09-01
          Fixed
          3.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        VEREIT OPERATING PARTNER
        5493005TQOUJE1LCS698
        VEREIT Operating Partnership LP
        92340LAF6
        
          
        
        1500000.00000000
        PA
        USD
        1654297.26000000
        0.248816487575
        Long
        DBT
        
        US
        N
        
        2
        
          2028-01-15
          Fixed
          3.40000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        EQUINIX INC
        549300EVUN2BTLJ3GT74
        Equinix Inc
        29444UBL9
        
          
        
        1700000.00000000
        PA
        USD
        1692550.75000000
        0.254570047863
        Long
        DBT
        
        US
        N
        
        2
        
          2028-03-15
          Fixed
          1.55000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FEDERAL REALTY INVESTMEN
        549300LI6XZ51GOCJ427
        Federal Realty Investment Trust
        313747BA4
        
          
        
        600000.00000000
        PA
        USD
        666240.43000000
        0.100206660363
        Long
        DBT
        
        US
        N
        
        2
        
          2030-06-01
          Fixed
          3.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        United States Treasury
        254900HROIFWPRGM1V77
        United States Treasury Note/Bond
        912810RN0
        
          
        
        7800000.00000000
        PA
        USD
        9316429.67000000
        1.401248350753
        Long
        DBT
        UST
        US
        N
        
        2
        
          2045-08-15
          Fixed
          2.88000000
          N
          N
          N
        
        
          N
          N
          
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        31404EMJ2
        
          
        
        28646.84000000
        PA
        USD
        30155.75000000
        0.004535610362
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2034-03-01
          Floating
          2.08000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Goldman Sachs Bank USA
        KD3XUN7C6T14HNAYLU02
        PURCHASED BRL / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        -116575.37000000
        -0.01753365299
        N/A
        DFE
        
        BR
        N
        
        2
        
          
            
              Goldman Sachs Bank USA
              KD3XUN7C6T14HNAYLU02
            
            3839933.70000000
            USD
            19401649.00000000
            BRL
            2021-08-03
            -116575.37000000
          
        
        
          N
          N
          N
        
      
      
        United States Treasury
        254900HROIFWPRGM1V77
        United States Treasury Note/Bond
        9128286B1
        
          
        
        9500000.00000000
        PA
        USD
        10575800.81000000
        1.590665519714
        Long
        DBT
        UST
        US
        N
        
        2
        
          2029-02-15
          Fixed
          2.63000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase Bank, National Association
        7H6GLXDRUGQFU57RNE97
        PURCHASED USD / SOLD BRL
        000000000
        
          
        
        1.00000000
        NC
        
        -149647.69000000
        -0.02250793342
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              JPMorgan Chase Bank, National Association
              7H6GLXDRUGQFU57RNE97
            
            12200000.00000000
            BRL
            2172364.67000000
            USD
            2021-10-04
            -149647.69000000
          
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        31418CXZ2
        
          
        
        103633.20000000
        PA
        USD
        110668.03000000
        0.016645152704
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2028-06-01
          Fixed
          3.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Intercontinental Exchange, Inc.
        5493000F4ZO33MV32P92
        Long: SWPC0JIW7 CDS EUR R F  1.00000 1 CCPITRAXX / Short: SWPC0JIW7 CDS EUR P V 03MEVENT 2 CCPITRAXX
        000000000
        
          
        
        4700000.00000000
        OU
        Notional Amount
        
        156286.64000000
        0.023506472361
        N/A
        DCR
        
        US
        N
        
        2
        
          
            
              Intercontinental Exchange, Inc.
              5493000F4ZO33MV32P92
            
            
              
                iTraxx Europe S34.V1
                2I666VCX1
              
            
            Y
            
            sell protection
            2025-12-20
            90079.13000000
            EUR
            0.00000000
            EUR
            4700000.00000000
            EUR
            51390.92000000
          
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Government National Mortgage Association
        38374CW49
        
          
        
        107313.30000000
        PA
        USD
        8096.08000000
        0.001217700250
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2033-10-16
          Floating
          6.47000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Citimortgage Alternative Loan Trust
        N/A
        CitiMortgage Alternative Loan Trust Series 2006-A7
        12566TAJ6
        
          
        
        827900.60000000
        PA
        USD
        686203.26000000
        0.103209192836
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2036-12-25
          Floating
          0.74000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Bear Stearns Adjustable Rate Mortgage Trust
        N/A
        Bear Stearns ARM Trust 2006-4
        073882AA0
        
          
        
        17304.85000000
        PA
        USD
        16993.12000000
        0.002555869814
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2036-10-25
          Variable
          3.05000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FIDELITY NATIONAL INFORM
        6WQI0GK1PRFVBA061U48
        Fidelity National Information Services Inc
        31620MBR6
        
          
        
        1600000.00000000
        PA
        USD
        1601940.42000000
        0.240941696662
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2026-03-01
          Fixed
          1.15000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Micron Technology Inc
        B3DXGBC8GAIYWI2Z0172
        Micron Technology Inc
        595112BM4
        
          
        
        1800000.00000000
        PA
        USD
        2082276.00000000
        0.313187123626
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2026-02-06
          Fixed
          4.98000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Citigroup Mortgage Loan Trust Inc
        N/A
        Citigroup Mortgage Loan Trust Series 2004-OPT1 Asset Backed Pass-Through Certifi
        17307GJK5
        
          
        
        1282349.27000000
        PA
        USD
        1277037.65000000
        0.192074320774
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2034-10-25
          Floating
          1.03000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        SPIRIT REALTY LP
        549300GTBVIBJRX5BW73
        Spirit Realty LP
        84861TAD0
        
          
        
        1500000.00000000
        PA
        USD
        1687034.00000000
        0.253740294715
        Long
        DBT
        
        US
        N
        
        2
        
          2029-07-15
          Fixed
          4.00000000
          N
          N
          N
        
        
          N
          N
          
        
      
      
        Structured Asset Securities Corporation
        N/A
        Structured Asset Securities Corp Mortgage Loan Trust 2006-BC1
        86359YAH4
        
          
        
        687461.44000000
        PA
        USD
        654113.17000000
        0.098382645834
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2036-03-25
          Floating
          0.36000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        WALT DISNEY COMPANY/THE
        549300GZKULIZ0WOW665
        Walt Disney Co/The
        254687FZ4
        
          
        
        1500000.00000000
        PA
        USD
        1733200.89000000
        0.260684079058
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2051-01-13
          Fixed
          3.60000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Government National Mortgage Association
        38376RGP5
        
          
        
        921893.84000000
        PA
        USD
        928754.76000000
        0.139690430970
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2065-09-20
          Floating
          0.69000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Credit Suisse Group AG
        549300506SI9CRFV9Z86
        Credit Suisse Group AG
        225436AA2
        
          
        
        400000.00000000
        PA
        USD
        436480.00000000
        0.065649277867
        Long
        DBT
        CORP
        CH
        N
        
        2
        
          2024-12-18
          Fixed
          6.25000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Securitized Asset Backed Receivables LLC Trust
        N/A
        Securitized Asset Backed Receivables LLC Trust 2007-HE1
        81377JAB9
        
          
        
        57969.15000000
        PA
        USD
        18645.81000000
        0.002804444560
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2036-12-25
          Floating
          0.15000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Urbi Desarrollos Urbanos SAB de CV
        N/A
        Urbi Desarrollos Urbanos SAB de CV
        000000000
        
          
        
        381.00000000
        NS
        
        230.63000000
        0.000034688171
        Long
        EC
        CORP
        MX
        N
        
        2
        
          N
          N
          N
        
      
      
        DELTA AIR LINES 2020-AA
        N/A
        Delta Air Lines 2020-1 Class AA Pass Through Trust
        247361ZV3
        
          
        
        1504329.71000000
        PA
        USD
        1513101.20000000
        0.227579731305
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2028-06-10
          Fixed
          2.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        31403CNN7
        
          
        
        10050.20000000
        PA
        USD
        10065.48000000
        0.001513910129
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2033-11-01
          Floating
          2.40000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Sequoia Mortgage Trust
        N/A
        Sequoia Mortgage Trust 10
        81743VAB9
        
          
        
        2937.70000000
        PA
        USD
        2892.63000000
        0.000435069351
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2027-10-20
          Floating
          0.84000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FannieMae Whole Loan
        N/A
        Fannie Mae Trust 2003-W6
        31393BX75
        
          
        
        92213.87000000
        PA
        USD
        92729.47000000
        0.013947082896
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2042-09-25
          Floating
          0.44000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        United States Treasury
        254900HROIFWPRGM1V77
        United States Treasury Note/Bond
        912810QE1
        
          
        
        700000.00000000
        PA
        USD
        1030941.41000000
        0.155059931932
        Long
        DBT
        UST
        US
        N
        
        2
        
          2040-02-15
          Fixed
          4.63000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        31406DAF3
        
          
        
        83997.82000000
        PA
        USD
        85676.81000000
        0.012886319433
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2044-10-01
          Floating
          1.32000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        American Money Management Corporation
        549300LDRXVT7PCHV066
        Ammc Clo 20 Ltd
        00177TAJ2
        
          
        
        1800000.00000000
        PA
        USD
        1800000.00000000
        0.270731076248
        Long
        ABS-CBDO
        CORP
        KY
        N
        
        2
        
          2029-04-17
          Floating
          0.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        JP Morgan Chase Commercial Mortgage Sec Trust
        N/A
        JP Morgan Chase Commercial Mortgage Securities Trust 2018-LAQ
        46649VAA9
        
          
        
        564400.53000000
        PA
        USD
        564746.39000000
        0.084941332206
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2032-06-15
          Floating
          1.09000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        HYUNDAI CAPITAL AMERICA
        549300RIPPWJB5Z0FK07
        Hyundai Capital America
        44891ABR7
        
          
        
        1700000.00000000
        PA
        USD
        1693016.98000000
        0.254640171724
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2024-01-08
          Fixed
          0.80000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3138E8XF4
        
          
        
        54829.20000000
        PA
        USD
        58639.40000000
        0.008819726595
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2027-02-01
          Fixed
          3.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Citigroup Inc
        6SHGI4ZSSLCXXQSBB395
        Citigroup Inc
        172967KX8
        
          
        
        500000.00000000
        PA
        USD
        506444.51000000
        0.076172370695
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2023-09-01
          Floating
          1.56000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        WELLTOWER INC
        T6IZ0MBEG5ACZDTR7D06
        Welltower Inc
        95040QAL8
        
          
        
        1500000.00000000
        PA
        USD
        1575157.43000000
        0.236913370158
        Long
        DBT
        
        US
        N
        
        2
        
          2031-01-15
          Fixed
          2.75000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        IndyMac INDX Mortgage Loan Trust
        N/A
        IndyMac INDX Mortgage Loan Trust 2005-AR11
        45660LQH5
        
          
        
        636388.89000000
        PA
        USD
        583003.18000000
        0.087687265765
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2035-08-25
          Variable
          2.99000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Lloyds Banking Group PLC
        549300PPXHEU2JF0AM85
        Lloyds Banking Group PLC
        000000000
        
          
        
        700000.00000000
        PA
        
        1061006.58000000
        0.159581918505
        Long
        DBT
        CORP
        GB
        Y
        
        2
        
          2023-06-27
          Fixed
          7.63000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase Bank, National Association
        7H6GLXDRUGQFU57RNE97
        PURCHASED USD / SOLD BRL
        000000000
        
          
        
        1.00000000
        NC
        
        -139978.64000000
        -0.02105364881
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              JPMorgan Chase Bank, National Association
              7H6GLXDRUGQFU57RNE97
            
            11300000.00000000
            BRL
            1976734.02000000
            USD
            2022-01-04
            -139978.64000000
          
        
        
          N
          N
          N
        
      
      
        COOPERATIEVE RABOBANK UA
        DG3RU1DBUFHT4ZF9WN62
        Cooperatieve Rabobank UA
        74977RDK7
        
          
        
        1700000.00000000
        PA
        USD
        1688364.74000000
        0.253940446200
        Long
        DBT
        CORP
        NL
        N
        
        2
        
          2027-02-24
          Fixed
          1.11000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Merrill Lynch Mortgage Investors Trust
        N/A
        Merrill Lynch Mortgage Investors Trust Series 2006-FM1
        59021AAC2
        
          
        
        1457761.25000000
        PA
        USD
        972683.61000000
        0.146297600325
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2037-04-25
          Floating
          0.41000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FHLMC Structured Pass Through Securities
        S6XOOCT0IEG5ABCC6L87
        Freddie Mac Structured Pass-Through Certificates
        31395A3J2
        
          
        
        89327.71000000
        PA
        USD
        92020.82000000
        0.013840497575
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2044-07-25
          Floating
          1.51000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Government National Mortgage Association
        38374JCM6
        
          
        
        239062.17000000
        PA
        USD
        38972.03000000
        0.005861633125
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2034-09-20
          Floating
          6.52000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MIZUHO FINANCIAL GROUP
        353800CI5L6DDAN5XZ33
        Mizuho Financial Group Inc
        60687YBH1
        
          
        
        1500000.00000000
        PA
        USD
        1510457.99000000
        0.227182176256
        Long
        DBT
        CORP
        JP
        N
        
        2
        
          2031-07-10
          Fixed
          2.20000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FHLMC Structured Pass Through Securities
        S6XOOCT0IEG5ABCC6L87
        Freddie Mac Structured Pass-Through Certificates
        31394JD87
        
          
        
        7047.97000000
        PA
        USD
        8654.62000000
        0.001301708103
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2043-07-25
          Fixed
          6.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Bear Stearns Adjustable Rate Mortgage Trust
        N/A
        Bear Stearns ARM Trust 2003-8
        07384MZS4
        
          
        
        2435.59000000
        PA
        USD
        2467.28000000
        0.000371094094
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2034-01-25
          Variable
          2.20000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        T-MOBILE USA INC
        549300V2JRLO5DIFGE82
        T-Mobile USA Inc
        87264ABD6
        
          
        
        1600000.00000000
        PA
        USD
        1783808.00000000
        0.268295699811
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2027-04-15
          Fixed
          3.75000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        ISRAEL MAKAM BILL
        M8LYVLF5DOB9X0LZOW72
        Bank of Israel Bill - Makam
        000000000
        
          
        
        6500000.00000000
        PA
        
        2010827.53000000
        0.302440834082
        Long
        STIV
        NUSS
        IL
        N
        
        2
        
          2022-02-02
          None
          0.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        AMDOCS LTD
        549300HQV672RJ7RQV66
        Amdocs Ltd
        02342TAE9
        
          
        
        1500000.00000000
        PA
        USD
        1523736.14000000
        0.229179291723
        Long
        DBT
        CORP
        GG
        
        N
        
        2
        
          2030-06-15
          Fixed
          2.54000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        LCH Limited
        F226TOH6YD6XJB17KS62
        Long: BWU018Y28 IRS GBP R V 12MSONIA SWUV18Y20 CCPOIS / Short: BWU018Y28 IRS GBP P F   .75000 SWU018Y28 CCPOIS
        000000000
        
          
        
        9500000.00000000
        OU
        Notional Amount
        
        -446707.62000000
        -0.06718757485
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              LCH Limited
              F226TOH6YD6XJB17KS62
            
            
              
                N/A
                N/A
                
                  
                
              
            
            Y
            
              
                
              
            
            
            2051-09-15
            329249.31000000
            GBP
            0.00000000
            GBP
            9500000.00000000
            GBP
            -905932.77000000
          
        
        
          N
          N
          N
        
      
      
        LCH Limited
        F226TOH6YD6XJB17KS62
        Long: BWU019OZ4 IRS JPY R V 06MLIBOR SWUV19OZ6 CCPVANILLA / Short: BWU019OZ4 IRS JPY P F   .57200 SWU019OZ4 CCPVANILLA
        000000000
        
          
        
        28000000.00000000
        OU
        Notional Amount
        
        -10128.04000000
        -0.00152331953
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              LCH Limited
              F226TOH6YD6XJB17KS62
            
            
              
                N/A
                N/A
                
                  
                
              
            
            Y
            
              
                
              
            
            
            2051-04-07
            0.00000000
            JPY
            0.00000000
            JPY
            28000000.00000000
            JPY
            -10128.04000000
          
        
        
          N
          N
          N
        
      
      
        Credit Suisse First Boston Mortgage Securities
        N/A
        Credit Suisse First Boston Mortgage Securities Corp
        22541QT85
        
          
        
        640964.83000000
        PA
        USD
        633550.41000000
        0.095289880198
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2033-12-25
          Variable
          3.09000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3138EGE26
        
          
        
        500148.91000000
        PA
        USD
        591536.53000000
        0.088970734115
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2040-06-01
          Fixed
          6.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Citibank, National Association
        E57ODZWZ7FF32TWEFA76
        PURCHASED BRL / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        -8862.06000000
        -0.00133290835
        N/A
        DFE
        
        BR
        N
        
        2
        
          
            
              Citibank, National Association
              E57ODZWZ7FF32TWEFA76
            
            3716933.41000000
            USD
            19401649.00000000
            BRL
            2021-09-02
            -8862.06000000
          
        
        
          N
          N
          N
        
      
      
        MF1 Multifamily Housing Mortgage Loan Trust
        N/A
        MF1 Multifamily Housing Mortgage Loan Trust
        55282XAA8
        
          
        
        1600000.00000000
        PA
        USD
        1599995.68000000
        0.240649195800
        Long
        ABS-MBS
        CORP
        KY
        
        N
        
        2
        
          2036-07-15
          Floating
          1.01000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BANQUE FED CRED MUTUEL
        VBHFXSYT7OG62HNT8T76
        Banque Federative du Credit Mutuel SA
        06675FAQ0
        
          
        
        2200000.00000000
        PA
        USD
        2236513.25000000
        0.336385355120
        Long
        DBT
        CORP
        FR
        N
        
        2
        
          2023-07-20
          Floating
          1.09000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Wellfleet CLO Ltd
        2549003PA4N7YYXOW035
        Wellfleet CLO 2017-1 Ltd
        94950GAL1
        
          
        
        1517767.20000000
        PA
        USD
        1516990.10000000
        0.228164645795
        Long
        ABS-CBDO
        CORP
        KY
        N
        
        2
        
          2029-04-20
          Floating
          1.02000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        IndyMac Residential Asset Backed Trust
        N/A
        Home Equity Mortgage Loan Asset-Backed Trust Series INABS 2007-A
        43710BAA4
        
          
        
        375106.41000000
        PA
        USD
        323223.49000000
        0.048614801842
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2037-04-25
          Floating
          0.31000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Intercontinental Exchange, Inc.
        5493000F4ZO33MV32P92
        Long: BWPC0JKD6 CDS USD R V 03MEVENT 2 CCPCDX / Short: BWPC0JKD6 CDS USD P F  5.00000 1 CCPCDX
        000000000
        
          
        
        500000.00000000
        OU
        Notional Amount
        USD
        -48387.47000000
        -0.00727777323
        N/A
        DCR
        
        US
        N
        
        2
        
          
            
              Intercontinental Exchange, Inc.
              5493000F4ZO33MV32P92
            
            
              
                Markit CDX.NA.HY.S35.V1
                2I65BRYO2
              
            
            Y
            buy protection
            
            2025-12-20
            0.00000000
            USD
            -31268.46000000
            USD
            500000.00000000
            USD
            -17119.01000000
          
        
        
          N
          N
          N
        
      
      
        United States Treasury
        254900HROIFWPRGM1V77
        United States Treasury Note/Bond
        912810SW9
        
          
        
        6900000.00000000
        PA
        USD
        6974390.63000000
        1.048991267467
        Long
        DBT
        UST
        US
        N
        
        2
        
          2041-02-15
          Fixed
          1.88000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Sequoia Mortgage Trust
        N/A
        Sequoia Mortgage Trust 2007-3
        81744MAM4
        
          
        
        668450.91000000
        PA
        USD
        608013.39000000
        0.091448955249
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2037-07-20
          Variable
          2.77000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        ICE Futures Europe - Financial Products Division
        N/A
        LONG GILT FUTURE SEP21
        000000000
        
          
        
        -5.00000000
        NC
        
        -20438.64000000
        -0.00307409722
        N/A
        DIR
        
        GB
        N
        
        1
        
          
            
              ICE Futures Europe - Financial Products Division
              N/A
            
            Short
            
              
                United Kingdom Gilt
                G U1 Comdty
              
            
            2021-09-28
            -634245.95000000
            GBP
            -20438.64000000
          
        
        
          N
          N
          N
        
      
      
        CVS HEALTH CORP
        549300EJG376EN5NQE29
        CVS Health Corp
        126650DH0
        
          
        
        2300000.00000000
        PA
        USD
        2563569.86000000
        0.385576681798
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2027-04-01
          Fixed
          3.63000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        PACIFIC GAS & ELECTRIC
        1HNPXZSMMB7HMBMVBS46
        Pacific Gas and Electric Co
        694308HG5
        
          
        
        1700000.00000000
        PA
        USD
        1787824.82000000
        0.268899854257
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2024-02-15
          Fixed
          3.75000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Lloyds Banking Group PLC
        549300PPXHEU2JF0AM85
        Lloyds Banking Group PLC
        000000000
        
          
        
        2000000.00000000
        PA
        
        1610174.13000000
        0.242180097312
        Long
        DBT
        CORP
        GB
        N
        
        2
        
          2025-03-07
          Fixed
          4.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BGC Partners Inc
        TF1LXM1YNB81WKUH5G19
        BGC Partners Inc
        05541TAK7
        
          
        
        1500000.00000000
        PA
        USD
        1621046.46000000
        0.243815362647
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2023-07-24
          Fixed
          5.38000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BROADCOM INC
        549300WV6GIDOZJTV909
        Broadcom Inc
        11135FBJ9
        
          
        
        1700000.00000000
        PA
        USD
        1761634.03000000
        0.264960598277
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2041-02-15
          Fixed
          3.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Tayarra Ltd
        N/A
        Tayarra Ltd
        876780AA5
        
          
        
        561281.74000000
        PA
        USD
        565660.37000000
        0.085078800423
        Long
        DBT
        CORP
        KY
        N
        
        2
        
          2022-02-15
          Fixed
          3.63000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Citibank, National Association
        E57ODZWZ7FF32TWEFA76
        PURCHASED USD / SOLD ILS
        000000000
        
          
        
        1.00000000
        NC
        
        -29446.97000000
        -0.00442900548
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              Citibank, National Association
              E57ODZWZ7FF32TWEFA76
            
            5400000.00000000
            ILS
            1647873.79000000
            USD
            2022-04-06
            -29446.97000000
          
        
        
          N
          N
          N
        
      
      
        State of Qatar
        52990074F6OJOAXK4P65
        Qatar Government International Bond
        000000000
        
          
        
        2100000.00000000
        PA
        USD
        2246475.00000000
        0.337883663620
        Long
        DBT
        NUSS
        QA
        Y
        
        2
        
          2024-03-14
          Fixed
          3.38000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae I Pool
        3617MYAZ2
        
          
        
        376697.42000000
        PA
        USD
        405292.41000000
        0.060958472419
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2050-03-15
          Fixed
          4.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Towd Point Mortgage Funding
        635400655NWVVZHH1395
        Towd Point Mortgage Funding 2019 - Granite4 PLC
        000000000
        
          
        
        1510107.07000000
        PA
        
        2109986.23000000
        0.317354912732
        Long
        ABS-MBS
        CORP
        GB
        N
        
        2
        
          2051-10-20
          Floating
          1.10000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Crestline Denali CLO XV, Ltd.
        254900I3X14OTGXOC969
        Crestline Denali CLO XV Ltd
        22616CAJ2
        
          
        
        1700000.00000000
        PA
        USD
        1700246.50000000
        0.255727536018
        Long
        ABS-CBDO
        CORP
        KY
        N
        
        2
        
          2030-04-20
          Variable
          1.17000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        LCH Limited
        F226TOH6YD6XJB17KS62
        Long: BWU019ED4 IRS JPY R V 06MLIBOR SWUV19ED6 CCPVANILLA / Short: BWU019ED4 IRS JPY P F   .57034 SWU019ED4 CCPVANILLA
        000000000
        
          
        
        65000000.00000000
        OU
        Notional Amount
        
        -23468.96000000
        -0.00352987599
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              LCH Limited
              F226TOH6YD6XJB17KS62
            
            
              
                N/A
                N/A
                
                  
                
              
            
            Y
            
              
                
              
            
            
            2051-03-19
            0.00000000
            JPY
            0.00000000
            JPY
            65000000.00000000
            JPY
            -23468.96000000
          
        
        
          N
          N
          N
        
      
      
        United States Treasury
        254900HROIFWPRGM1V77
        United States Treasury Note/Bond
        912828U81
        
          
        
        60100000.00000000
        PA
        USD
        60578921.88000000
        9.111442621430
        Long
        DBT
        UST
        US
        N
        
        2
        
          2021-12-31
          Fixed
          2.00000000
          N
          N
          N
        
        
          N
          N
          
        
      
      
        Legacy Mortgage Asset Trust 2020-GSL
        N/A
        Legacy Mortgage Asset Trust 2020-GS1
        52474PAA0
        
          
        
        1557982.01000000
        PA
        USD
        1567362.46000000
        0.235740958704
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2059-10-25
          Variable
          2.88000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Lehman XS Trust
        N/A
        Lehman XS Trust Series 2007-4N
        52524HAF7
        
          
        
        1549209.91000000
        PA
        USD
        1554502.01000000
        0.233806667888
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2047-03-25
          Floating
          0.29000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        ALEXANDRIA REAL ESTATE E
        MGCJBT4MKTQBVLNUIS88
        Alexandria Real Estate Equities Inc
        015271AV1
        
          
        
        1300000.00000000
        PA
        USD
        1256572.20000000
        0.188996191161
        Long
        DBT
        
        US
        N
        
        2
        
          2033-02-01
          Fixed
          1.88000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Discover Bank
        X05BVSK68TQ7YTOSNR22
        Discover Bank
        25466AAD3
        
          
        
        1800000.00000000
        PA
        USD
        1934401.54000000
        0.290945894901
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2023-08-08
          Fixed
          4.20000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        APRES STATIC CLO 1, LTD
        N/A
        Apres Static CLO Ltd
        03835JBA0
        
          
        
        1331128.48000000
        PA
        USD
        1331353.44000000
        0.200243749821
        Long
        ABS-CBDO
        CORP
        KY
        N
        
        2
        
          2028-10-15
          Floating
          1.20000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Newcastle Mortgage Securities Trust
        N/A
        Newcastle Mortgage Securities Trust 2006-1
        65106AAS2
        
          
        
        1700000.00000000
        PA
        USD
        1641951.80000000
        0.246959654423
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2036-03-25
          Floating
          0.81000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Structured Asset Mortgage Investments Inc
        N/A
        Structured Asset Mortgage Investments Trust 2002-AR3
        86358HNX3
        
          
        
        2108.77000000
        PA
        USD
        2102.28000000
        0.000316195848
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2032-09-19
          Floating
          0.75000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        SUMITOMO MITSUI FINL GRP
        35380028MYWPB6AUO129
        Sumitomo Mitsui Financial Group Inc
        86562MCA6
        
          
        
        1600000.00000000
        PA
        USD
        1625204.05000000
        0.244440689767
        Long
        DBT
        CORP
        JP
        N
        
        2
        
          2025-07-08
          Fixed
          1.47000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Citibank, National Association
        E57ODZWZ7FF32TWEFA76
        PURCHASED USD / SOLD PEN
        000000000
        
          
        
        1.00000000
        NC
        
        27798.43000000
        0.004181054928
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              Citibank, National Association
              E57ODZWZ7FF32TWEFA76
            
            4131217.89000000
            PEN
            1045084.21000000
            USD
            2021-10-12
            27798.43000000
          
        
        
          N
          N
          N
        
      
      
        SLM Student Loan Trust
        549300L7X3DWAOC00Z83
        SLM Student Loan Trust 2005-4
        78442GPG5
        
          
        
        467442.85000000
        PA
        USD
        466146.54000000
        0.070111308035
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2027-01-25
          Floating
          0.25000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        REPUBLIC OF PERU
        254900STKLK2DBJJZ530
        Peruvian Government International Bond
        000000000
        
          
        
        2000000.00000000
        PA
        
        477074.66000000
        0.071754964529
        Long
        DBT
        NUSS
        PE
        Y
        
        2
        
          2032-08-12
          Fixed
          6.15000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Structured Asset Mortgage Investments Inc
        N/A
        Structured Asset Mortgage Investments II Trust 2005-AR5
        86359LPD5
        
          
        
        7373.97000000
        PA
        USD
        7153.88000000
        0.001075987573
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2035-07-19
          Floating
          0.59000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Ford Motor Credit Co LLC
        UDSQCVRUX5BONN0VY111
        Ford Motor Credit Co LLC
        345397ZC0
        
          
        
        1200000.00000000
        PA
        USD
        1195225.97000000
        0.179769340677
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2023-02-15
          Floating
          1.39000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        State Street Global Advisors
        5493008BJIBKQ5KTIF74
        State Street Navigator Securities Lending Government Money Market Portfolio
        857492706
        
          
        
        6082382.50000000
        NS
        USD
        6082382.50000000
        0.914827755768
        Long
        STIV
        RF
        US
        N
        
        1
        
          
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae REMICS
        31359VBH5
        
          
        
        22306.78000000
        PA
        USD
        22303.00000000
        0.003354508440
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2038-10-17
          Fixed
          6.30000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Citibank, National Association
        E57ODZWZ7FF32TWEFA76
        PURCHASED USD / SOLD ILS
        000000000
        
          
        
        1.00000000
        NC
        
        -19664.04000000
        -0.00295759261
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              Citibank, National Association
              E57ODZWZ7FF32TWEFA76
            
            4201260.00000000
            ILS
            1282161.93000000
            USD
            2021-11-30
            -19664.04000000
          
        
        
          N
          N
          N
        
      
      
        BAE SYSTEMS PLC
        8SVCSVKSGDWMW2QHOH83
        BAE Systems PLC
        05523RAF4
        
          
        
        1400000.00000000
        PA
        USD
        1379175.03000000
        0.207436411226
        Long
        DBT
        CORP
        GB
        N
        
        2
        
          2031-02-15
          Fixed
          1.90000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Evergreen Credit Card Trust
        5493002G9KVV6J3CNU15
        Evergreen Credit Card Trust
        30023JBH0
        
          
        
        2000000.00000000
        PA
        USD
        2038476.00000000
        0.306599334104
        Long
        ABS-O
        CORP
        CA
        N
        
        2
        
          2024-09-16
          Fixed
          1.90000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        JPN BANK FOR INT'L COOP
        549300TJ3QFYVCTSCJ29
        Japan Bank for International Cooperation
        471048BM9
        
          
        
        1700000.00000000
        PA
        USD
        1873468.00000000
        0.281781115532
        Long
        DBT
        NUSS
        JP
        N
        
        2
        
          2027-07-21
          Fixed
          2.88000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Countrywide Alternative Loan Trust
        N/A
        Alternative Loan Trust 2007-HY4
        02150QAA4
        
          
        
        147829.88000000
        PA
        USD
        134217.34000000
        0.020187113838
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2037-06-25
          Variable
          2.61000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        First Franklin Mtg Loan Asset Backed Certificates
        N/A
        First Franklin Mortgage Loan Trust 2004-FFH3
        32027NLS8
        
          
        
        1211586.02000000
        PA
        USD
        1209905.55000000
        0.181977239839
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2034-10-25
          Floating
          1.02000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        SMBC AVIATION CAPITAL FI
        549300OD7VKRVNWB2J98
        SMBC Aviation Capital Finance DAC
        78448TAB8
        
          
        
        1600000.00000000
        PA
        USD
        1634992.00000000
        0.245912857676
        Long
        DBT
        CORP
        IE
        N
        
        2
        
          2022-07-15
          Fixed
          3.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Whitehorse Ltd
        549300UT33WDDDZEYN84
        WhiteHorse X Ltd
        96525WAN3
        
          
        
        18314.72000000
        PA
        USD
        18322.41000000
        0.002755803210
        Long
        ABS-CBDO
        CORP
        KY
        N
        
        2
        
          2027-04-17
          Floating
          1.06000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BMW FINANCE NV
        5299006ZHG3IXU0PNJ56
        BMW Finance NV
        05600LAA4
        
          
        
        1700000.00000000
        PA
        USD
        1733946.38000000
        0.260796205341
        Long
        DBT
        CORP
        NL
        
        N
        
        2
        
          2022-08-12
          Fixed
          2.25000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        United States Treasury
        254900HROIFWPRGM1V77
        United States Treasury Note/Bond
        9128286T2
        
          
        
        4600000.00000000
        PA
        USD
        5042570.32000000
        0.758433605441
        Long
        DBT
        UST
        US
        N
        
        2
        
          2029-05-15
          Fixed
          2.38000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Sequoia Mortgage Trust
        N/A
        Sequoia Mortgage Trust 2004-11
        81744FFK8
        
          
        
        429670.38000000
        PA
        USD
        434543.44000000
        0.065358007326
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2034-12-20
          Floating
          0.82000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CHEVY CHASE MORTGAGE FUNDING CORP.
        549300TC8R2SGZ2KM445
        Chevy Chase Funding LLC Mortgage-Backed Certificates Series 2004-3
        16678RBU0
        
          
        
        29973.97000000
        PA
        USD
        30802.10000000
        0.004632825379
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2035-08-25
          Floating
          0.34000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Natwest Markets PLC
        RR3QWICWWIPCS8A4S074
        Natwest Markets PLC
        000000000
        
          
        
        1700000.00000000
        PA
        
        2029429.66000000
        0.305238708901
        Long
        DBT
        CORP
        GB
        Y
        
        2
        
          2022-03-02
          Fixed
          0.63000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Hilton USA Trust
        N/A
        Hilton USA Trust 2016-SFP
        43289VAA1
        
          
        
        1700000.00000000
        PA
        USD
        1706681.17000000
        0.256695349982
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2035-11-05
          Fixed
          2.83000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Bank of America, National Association
        B4TYDEB6GKMZO031MB27
        PURCHASED USD / SOLD PEN
        000000000
        
          
        
        1.00000000
        NC
        
        29381.53000000
        0.004419162910
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              Bank of America, National Association
              B4TYDEB6GKMZO031MB27
            
            2940048.00000000
            PEN
            753336.92000000
            USD
            2021-10-19
            29381.53000000
          
        
        
          N
          N
          N
        
      
      
        NISSAN MOTOR CO
        353800DRBDH1LUTNAY26
        Nissan Motor Co Ltd
        654744AD3
        
          
        
        1600000.00000000
        PA
        USD
        1824864.10000000
        0.274470789889
        Long
        DBT
        CORP
        JP
        N
        
        2
        
          2030-09-17
          Fixed
          4.81000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BROADCOM INC
        549300WV6GIDOZJTV909
        Broadcom Inc
        11135FAN1
        
          
        
        1917000.00000000
        PA
        USD
        2093187.89000000
        0.314828339028
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2026-09-15
          Fixed
          3.46000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        HSBC Bank USA, National Association
        1IE8VN30JCEQV1H4R804
        PURCHASED USD / SOLD GBP
        000000000
        
          
        
        1.00000000
        NC
        
        386931.70000000
        0.058196908653
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              HSBC Bank USA, National Association
              1IE8VN30JCEQV1H4R804
            
            16391000.00000000
            GBP
            23171391.21000000
            USD
            2021-08-17
            386931.70000000
          
        
        
          N
          N
          N
        
      
      
        Telos CLO Ltd
        5493001KXOX6VRHBB435
        Telos CLO 2014-5 Ltd
        87974KAQ7
        
          
        
        549475.04000000
        PA
        USD
        549498.67000000
        0.082647981292
        Long
        ABS-CBDO
        CORP
        KY
        N
        
        2
        
          2028-04-17
          Floating
          1.08000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        New York State Urban Development Corp
        54930039Y2EMGXN6LM88
        NEW YORK ST URBAN DEV CORP REVENUE
        650036AX4
        
          
        
        1200000.00000000
        PA
        USD
        1213301.52000000
        0.182488014624
        Long
        DBT
        MUN
        US
        N
        
        2
        
          2029-03-15
          Fixed
          1.83000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FirstEnergy Corp
        549300SVYJS666PQJH88
        FirstEnergy Corp
        337932AG2
        
          
        
        1500000.00000000
        PA
        USD
        1518795.00000000
        0.228436113861
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2022-07-15
          Fixed
          3.60000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Chicago Mercantile Exchange
        SNZ2OJLFK8MNNCLQOF39
        Long: SWU018QQ4 IRS BRL R F  3.70000 SWU018QQ4 CCPNDFPREDISWAP / Short: SWU018QQ4 IRS BRL P V 00MBRCDI SWUV18QQ6 CCPNDFPREDISWAP
        000000000
        
          
        
        64000000.00000000
        OU
        Notional Amount
        
        -101515.00000000
        -0.01526848066
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              Chicago Mercantile Exchange
              SNZ2OJLFK8MNNCLQOF39
            
            
              
                N/A
                N/A
                
                  
                
              
            
            Y
            
            
              
                
              
            
            2022-01-03
            0.00000000
            BRL
            -37036.82000000
            BRL
            64000000.00000000
            BRL
            -95584.23000000
          
        
        
          N
          N
          N
        
      
      
        UMBS, TBA
        N/A
        Uniform Mortgage-Backed Security, TBA
        01F0206A2
        
          
        
        63900000.00000000
        PA
        USD
        64871313.87000000
        9.757044789839
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2051-10-15
          Fixed
          2.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        JAPAN FIN ORG MUNICIPAL
        5493007YYYNZ4NMEOD64
        Japan Finance Organization for Municipalities
        471068AN6
        
          
        
        2900000.00000000
        PA
        USD
        3076639.35000000
        0.462745490253
        Long
        DBT
        NUSS
        JP
        N
        
        2
        
          2023-09-27
          Fixed
          3.38000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase Bank, National Association
        7H6GLXDRUGQFU57RNE97
        PURCHASED USD / SOLD BRL
        000000000
        
          
        
        1.00000000
        NC
        
        -255436.37000000
        -0.03841920186
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              JPMorgan Chase Bank, National Association
              7H6GLXDRUGQFU57RNE97
            
            20400000.00000000
            BRL
            3627272.82000000
            USD
            2021-10-04
            -255436.37000000
          
        
        
          N
          N
          N
        
      
      
        GLP CAPITAL LP / FIN II
        N/A
        GLP Capital LP / GLP Financing II Inc
        361841AL3
        
          
        
        2400000.00000000
        PA
        USD
        2828114.64000000
        0.425365844579
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2029-01-15
          Fixed
          5.30000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Sequoia Mortgage Trust
        N/A
        Sequoia Mortgage Trust 2007-1
        81744HAA1
        
          
        
        114880.28000000
        PA
        USD
        87284.05000000
        0.013128058219
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2047-01-20
          Variable
          1.99000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Ameriquest Mortgage Securities Inc.
        N/A
        Ameriquest Mortgage Securities Inc Asset-Backed Pass-Through Ctfs Ser 2005-R10
        03072SS71
        
          
        
        1038951.20000000
        PA
        USD
        1037405.14000000
        0.156032116699
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2036-01-25
          Floating
          0.73000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MID-AMERICA APARTMENTS
        549300FXWGE3QSYCUJ38
        Mid-America Apartments LP
        59523UAS6
        
          
        
        1500000.00000000
        PA
        USD
        1452433.89000000
        0.218454994566
        Long
        DBT
        
        US
        N
        
        2
        
          2031-02-15
          Fixed
          1.70000000
          N
          N
          N
        
        
          N
          N
          
        
      
      
        Chicago Mercantile Exchange
        SNZ2OJLFK8MNNCLQOF39
        Long: SWU015O17 IRS BRL R F  3.36000 SWU015O17 CCPNDFPREDISWAP / Short: SWU015O17 IRS BRL P V 00MBRCDI SWUV15O19 CCPNDFPREDISWAP
        000000000
        
          
        
        300800000.00000000
        OU
        Notional Amount
        
        -327771.36000000
        -0.04929882947
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              Chicago Mercantile Exchange
              SNZ2OJLFK8MNNCLQOF39
            
            
              
                N/A
                N/A
                
                  
                
              
            
            Y
            
            
              
                
              
            
            2022-01-03
            167760.14000000
            BRL
            0.00000000
            BRL
            300800000.00000000
            BRL
            -355251.09000000
          
        
        
          N
          N
          N
        
      
      
        Countrywide Home Loans
        N/A
        Reperforming Loan REMIC Trust 2004-R1
        12669F7L1
        
          
        
        62775.53000000
        PA
        USD
        63099.75000000
        0.009490590682
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2034-11-25
          Fixed
          6.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BrightSpire Capital, Inc
        N/A
        BRSP 2021-FL1 Ltd
        05591XAA9
        
          
        
        1700000.00000000
        PA
        USD
        1699996.09000000
        0.255689872813
        Long
        ABS-CBDO
        CORP
        KY
        
        N
        
        2
        
          2038-08-19
          Floating
          1.25000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3140X6WA5
        
          
        
        2784723.18000000
        PA
        USD
        2973076.23000000
        0.447168959732
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2035-05-01
          Fixed
          3.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        LCH Limited
        F226TOH6YD6XJB17KS62
        Long: BWU019AU0 IRS JPY R V 06MLIBOR SWUV19AU2 CCPVANILLA / Short: BWU019AU0 IRS JPY P F   .52000 SWU019AU0 CCPVANILLA
        000000000
        
          
        
        44000000.00000000
        OU
        Notional Amount
        
        -10039.51000000
        -0.00151000408
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              LCH Limited
              F226TOH6YD6XJB17KS62
            
            
              
                N/A
                N/A
                
                  
                
              
            
            Y
            
              
                
              
            
            
            2051-03-16
            0.00000000
            JPY
            0.00000000
            JPY
            44000000.00000000
            JPY
            -10039.51000000
          
        
        
          N
          N
          N
        
      
      
        Citibank, National Association
        E57ODZWZ7FF32TWEFA76
        PURCHASED USD / SOLD PEN
        000000000
        
          
        
        1.00000000
        NC
        
        11247.63000000
        0.001691712763
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              Citibank, National Association
              E57ODZWZ7FF32TWEFA76
            
            482277.12000000
            PEN
            130000.00000000
            USD
            2021-09-20
            11247.63000000
          
        
        
          N
          N
          N
        
      
      
        Citigroup Commercial Mortgage Trust
        N/A
        CGMS Commercial Mortgage Trust 2017-MDDR
        125333AA2
        
          
        
        1900000.00000000
        PA
        USD
        1916197.69000000
        0.288207923844
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2030-07-10
          Fixed
          3.66000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        TEVA PHARM FNC NL II
        549300HSQCIKJAOYIT23
        Teva Pharmaceutical Finance Netherlands II BV
        000000000
        
          
        
        1100000.00000000
        PA
        
        1361889.60000000
        0.204836576189
        Long
        DBT
        CORP
        NL
        
        N
        
        2
        
          2025-03-01
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        United States Treasury
        254900HROIFWPRGM1V77
        United States Treasury Bill
        912796C64
        
          
        
        1000000.00000000
        PA
        USD
        999997.71000000
        0.150405809041
        Long
        STIV
        UST
        US
        N
        
        2
        
          2021-08-05
          None
          0.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Credit-Based Asset Servicing and Securitization
        N/A
        C-BASS 2007-CB1 TRUST
        1248MGAJ3
        
          
        
        299717.82000000
        PA
        USD
        120702.42000000
        0.018154386706
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2037-01-25
          Floating
          0.16000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        JP Morgan Chase Commercial Mortgage Sec Trust
        N/A
        J.P. Morgan Chase Commercial Mortgage Securities Trust 2018-PHH
        46650FAA0
        
          
        
        1744354.21000000
        PA
        USD
        1739934.71000000
        0.261696887022
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2035-06-15
          Floating
          2.56000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        ODBRCHT OFFSHRE DRLL FIN
        549300L7LF2PIRAWID66
        Odebrecht Offshore Drilling Finance Ltd
        67576GAC1
        
          
        
        191457.78000000
        PA
        USD
        187151.89000000
        0.028148795889
        Long
        DBT
        CORP
        KY
        
        N
        
        2
        
          2022-12-01
          Fixed
          6.72000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        United States Treasury
        254900HROIFWPRGM1V77
        United States Treasury Note/Bond
        912810SH2
        
          
        
        8400000.00000000
        PA
        USD
        10186968.79000000
        1.532182791239
        Long
        DBT
        UST
        US
        N
        
        2
        
          2049-05-15
          Fixed
          2.88000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BNP Paribas
        R0MUWSFPU8MPRO8K5P83
        PURCHASED USD / SOLD PEN
        000000000
        
          
        
        1.00000000
        NC
        
        29399.64000000
        0.004421886765
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              BNP Paribas
              R0MUWSFPU8MPRO8K5P83
            
            1196532.00000000
            PEN
            324000.00000000
            USD
            2021-08-04
            29399.64000000
          
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3138EHDK5
        
          
        
        481896.41000000
        PA
        USD
        514490.91000000
        0.077382598769
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2026-11-01
          Fixed
          3.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Citibank, National Association
        E57ODZWZ7FF32TWEFA76
        PURCHASED CLP / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        -118589.39000000
        -0.01783657399
        N/A
        DFE
        
        CL
        N
        
        2
        
          
            
              Citibank, National Association
              E57ODZWZ7FF32TWEFA76
            
            2230301.51000000
            USD
            1604412000.00000000
            CLP
            2021-09-07
            -118589.39000000
          
        
        
          N
          N
          N
        
      
      
        Lloyds Banking Group PLC
        549300PPXHEU2JF0AM85
        Lloyds Banking Group PLC
        000000000
        
          
        
        500000.00000000
        PA
        
        653955.61000000
        0.098358947841
        Long
        DBT
        CORP
        GB
        Y
        
        2
        
          2025-06-27
          Fixed
          4.95000000
          N
          N
          N
        
        
          N
          N
          
        
      
      
        LCH Limited
        F226TOH6YD6XJB17KS62
        Long: SWU00NYH3 IRS JPY R F   .38000 SWU00NYH3 CCPVANILLA / Short: SWU00NYH3 IRS JPY P V 06MLIBOR SWUV0NYH5 CCPVANILLA
        000000000
        
          
        
        460000000.00000000
        OU
        Notional Amount
        
        115927.75000000
        0.017436246958
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              LCH Limited
              F226TOH6YD6XJB17KS62
            
            
              
                N/A
                N/A
                
                  
                
              
            
            Y
            
            
              
                
              
            
            2028-06-18
            2113019.00000000
            JPY
            0.00000000
            JPY
            460000000.00000000
            JPY
            97616.64000000
          
        
        
          N
          N
          N
        
      
      
        Intercontinental Exchange, Inc.
        5493000F4ZO33MV32P92
        Long: SWPC0IIT6 CDS USD R F  1.00000 1 CCPCORPORATE / Short: SWPC0IIT6 CDS USD P V 03MEVENT 2 CCPCORPORATE
        000000000
        
          
        
        700000.00000000
        OU
        Notional Amount
        USD
        12361.77000000
        0.001859286275
        N/A
        DCR
        
        US
        N
        
        2
        
          
            
              Intercontinental Exchange, Inc.
              5493000F4ZO33MV32P92
            
            
              
                GENERAL ELECTRIC CO
                GENERAL ELECTRIC CO
                
                  
                  
                
              
            
            Y
            
            sell protection
            2024-12-20
            0.00000000
            USD
            -6520.49000000
            USD
            700000.00000000
            USD
            18882.26000000
          
        
        
          N
          N
          N
        
      
      
        Chicago Mercantile Exchange
        SNZ2OJLFK8MNNCLQOF39
        Long: BWU017GH7 IRS BRL R V 00MBRCDI SWUV17GH9 CCPNDFPREDISWAP / Short: BWU017GH7 IRS BRL P F  2.86000 SWU017GH7 CCPNDFPREDISWAP
        000000000
        
          
        
        8400000.00000000
        OU
        Notional Amount
        
        22127.26000000
        0.003328076063
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              Chicago Mercantile Exchange
              SNZ2OJLFK8MNNCLQOF39
            
            
              
                N/A
                N/A
                
                  
                
              
            
            Y
            
              
                
              
            
            
            2022-01-03
            0.00000000
            BRL
            -861.33000000
            BRL
            8400000.00000000
            BRL
            22302.94000000
          
        
        
          N
          N
          N
        
      
      
        NISSAN MOTOR CO
        353800DRBDH1LUTNAY26
        Nissan Motor Co Ltd
        000000000
        
          
        
        1300000.00000000
        PA
        
        1692829.95000000
        0.254612041261
        Long
        DBT
        CORP
        JP
        Y
        
        2
        
          2026-03-17
          Fixed
          2.65000000
          N
          N
          N
        
        
          N
          N
          
        
      
      
        Bear Stearns Asset Backed Securities Trust
        N/A
        Bear Stearns Asset Backed Securities I Trust 2006-HE1
        0738796Q6
        
          
        
        1655109.20000000
        PA
        USD
        1654878.81000000
        0.248903956273
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2035-12-25
          Floating
          0.73000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        RMAC Securities PLC
        213800C48M2JTBGZT736
        RMAC Securities No 1 PLC
        000000000
        
          
        
        1458927.28000000
        PA
        USD
        1387619.29000000
        0.208706479891
        Long
        ABS-MBS
        CORP
        GB
        Y
        
        2
        
          2044-06-12
          Floating
          0.27000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Citibank, National Association
        E57ODZWZ7FF32TWEFA76
        PURCHASED USD / SOLD PEN
        000000000
        
          
        
        1.00000000
        NC
        
        19156.04000000
        0.002881186292
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              Citibank, National Association
              E57ODZWZ7FF32TWEFA76
            
            2940048.00000000
            PEN
            743036.80000000
            USD
            2021-08-11
            19156.04000000
          
        
        
          N
          N
          N
        
      
      
        Citibank, National Association
        E57ODZWZ7FF32TWEFA76
        PURCHASED USD / SOLD PEN
        000000000
        
          
        
        1.00000000
        NC
        
        34229.27000000
        0.005148292836
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              Citibank, National Association
              E57ODZWZ7FF32TWEFA76
            
            1316336.00000000
            PEN
            358098.97000000
            USD
            2021-12-09
            34229.27000000
          
        
        
          N
          N
          N
        
      
      
        Citibank, National Association
        E57ODZWZ7FF32TWEFA76
        PURCHASED USD / SOLD PEN
        000000000
        
          
        
        1.00000000
        NC
        
        23957.59000000
        0.003603368958
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              Citibank, National Association
              E57ODZWZ7FF32TWEFA76
            
            2539221.30000000
            PEN
            649201.37000000
            USD
            2021-10-27
            23957.59000000
          
        
        
          N
          N
          N
        
      
      
        Eurex Deutschland
        529900LN3S50JPU47S06
        EURO-BUXL 30Y BND SEP21
        000000000
        
          
        
        -12.00000000
        NC
        
        -218805.52000000
        -0.03290969662
        N/A
        DIR
        
        DE
        N
        
        1
        
          
            
              Eurex Deutschland
              529900LN3S50JPU47S06
            
            Short
            
              
                Euro-Buxl (FGBX)
                UBU1 Comdty
              
            
            2021-09-08
            -2396028.48000000
            EUR
            -218805.52000000
          
        
        
          N
          N
          N
        
      
      
        Goldman Sachs Bank USA
        KD3XUN7C6T14HNAYLU02
        PURCHASED USD / SOLD PEN
        000000000
        
          
        
        1.00000000
        NC
        
        157424.95000000
        0.023677681189
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              Goldman Sachs Bank USA
              KD3XUN7C6T14HNAYLU02
            
            6132777.80000000
            PEN
            1667353.91000000
            USD
            2021-09-07
            157424.95000000
          
        
        
          N
          N
          N
        
      
      
        WELLS FARGO & COMPANY
        PBLD0EJDB5FWOLXP3B76
        Wells Fargo & Co
        95000U2S1
        
          
        
        1800000.00000000
        PA
        USD
        1883636.30000000
        0.283310490422
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2028-06-02
          Fixed
          2.39000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Credit Suisse First Boston Mortgage Securities
        N/A
        Credit Suisse First Boston Mortgage Securities Corp
        22541QCT7
        
          
        
        123167.74000000
        PA
        USD
        124017.78000000
        0.018653037251
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2033-06-25
          Variable
          2.74000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        DELL INT LLC / EMC CORP
        N/A
        Dell International LLC / EMC Corp
        24703TAA4
        
          
        
        2200000.00000000
        PA
        USD
        2379243.72000000
        0.357852896096
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2023-06-15
          Fixed
          5.45000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3138E4MB4
        
          
        
        10355.74000000
        PA
        USD
        11064.95000000
        0.001664236567
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2027-02-01
          Fixed
          3.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MARRIOTT INTERNATIONAL
        225YDZ14ZO8E1TXUSU86
        Marriott International Inc/MD
        571903BC6
        
          
        
        1600000.00000000
        PA
        USD
        1626707.68000000
        0.244666844971
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2022-10-03
          Fixed
          2.13000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Mill City Mortgage Trust
        N/A
        Mill City Mortgage Loan Trust 2019-GS2
        59981TAH8
        
          
        
        1600000.00000000
        PA
        USD
        1711616.32000000
        0.257437626910
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2059-08-25
          Variable
          3.25000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Citibank, National Association
        E57ODZWZ7FF32TWEFA76
        PURCHASED PEN / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        -28088.04000000
        -0.00422461405
        N/A
        DFE
        
        PE
        N
        
        2
        
          
            
              Citibank, National Association
              E57ODZWZ7FF32TWEFA76
            
            1045242.86000000
            USD
            4131217.89000000
            PEN
            2021-08-04
            -28088.04000000
          
        
        
          N
          N
          N
        
      
      
        ALTICE FRANCE SA
        5493001ZMCICV4N02J21
        Altice France SA/France
        67054KAA7
        
          
        
        396000.00000000
        PA
        USD
        411840.00000000
        0.061943270245
        Long
        DBT
        CORP
        FR
        N
        
        2
        
          2026-05-01
          Fixed
          7.38000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Extended Stay America Trust
        N/A
        Extended Stay America Trust 2021-ESH
        30227FAA8
        
          
        
        1700000.00000000
        PA
        USD
        1707432.74000000
        0.256808390734
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2038-07-15
          Floating
          1.17000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Bacardi Ltd
        549300R32WTQNHNN5055
        Bacardi Ltd
        067316AE9
        
          
        
        1200000.00000000
        PA
        USD
        1336990.03000000
        0.201091527642
        Long
        DBT
        CORP
        BM
        N
        
        2
        
          2025-05-15
          Fixed
          4.45000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        First Horizon Mortgage Pass-Through Trust
        N/A
        First Horizon Mortgage Pass-Through Trust 2005-AR3
        32051GQL2
        
          
        
        6985.02000000
        PA
        USD
        5475.13000000
        0.000823493243
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2035-08-25
          Variable
          2.75000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        31404Q5M7
        
          
        
        190641.37000000
        PA
        USD
        194423.81000000
        0.029242537405
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2044-03-01
          Floating
          1.32000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        ANHEUSER-BUSCH INBEV WOR
        549300CRGMZK3K53BF92
        Anheuser-Busch InBev Worldwide Inc
        035240AU4
        
          
        
        1500000.00000000
        PA
        USD
        1880877.06000000
        0.282895483747
        Long
        DBT
        CORP
        US
        
        N
        
        2
        
          2060-06-01
          Fixed
          4.60000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Citibank, National Association
        E57ODZWZ7FF32TWEFA76
        PURCHASED USD / SOLD BRL
        000000000
        
          
        
        1.00000000
        NC
        
        7728.02000000
        0.001162341762
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              Citibank, National Association
              E57ODZWZ7FF32TWEFA76
            
            19401649.00000000
            BRL
            3731086.35000000
            USD
            2021-08-03
            7728.02000000
          
        
        
          N
          N
          N
        
      
      
        Goldman Sachs Bank USA
        KD3XUN7C6T14HNAYLU02
        PURCHASED USD / SOLD PEN
        000000000
        
          
        
        1.00000000
        NC
        
        16776.19000000
        0.002523242207
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              Goldman Sachs Bank USA
              KD3XUN7C6T14HNAYLU02
            
            813666.56000000
            PEN
            217076.16000000
            USD
            2021-11-12
            16776.19000000
          
        
        
          N
          N
          N
        
      
      
        Barclays PLC
        213800LBQA1Y9L22JB70
        Barclays PLC
        000000000
        
          
        
        600000.00000000
        PA
        
        890295.57000000
        0.133905932136
        Long
        DBT
        CORP
        GB
        Y
        
        2
        
          2022-09-15
          Fixed
          7.88000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        ENBRIDGE INC
        98TPTUM4IVMFCZBCUR27
        Enbridge Inc
        29250NBD6
        
          
        
        1700000.00000000
        PA
        USD
        1703175.24000000
        0.256168036536
        Long
        DBT
        CORP
        CA
        N
        
        2
        
          2023-02-17
          Floating
          0.43000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        ENEL FINANCE INTL NV
        0YQH6LCEF474UTUV4B96
        Enel Finance International NV
        29278GAP3
        
          
        
        1700000.00000000
        PA
        USD
        1722213.41000000
        0.259031494455
        Long
        DBT
        CORP
        NL
        
        N
        
        2
        
          2031-07-12
          Fixed
          2.25000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        SYNGENTA FINANCE NV
        54930042S3BYCEGOCN86
        Syngenta Finance NV
        87164KAC8
        
          
        
        1300000.00000000
        PA
        USD
        1499649.81000000
        0.225556559476
        Long
        DBT
        CORP
        NL
        
        N
        
        2
        
          2028-04-24
          Fixed
          5.18000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        D.R. HORTON INC
        529900ZIUEYVSB8QDD25
        DR Horton Inc
        23331ABE8
        
          
        
        1800000.00000000
        PA
        USD
        1860058.12000000
        0.279764187062
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2022-09-15
          Fixed
          4.38000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Barclays PLC
        213800LBQA1Y9L22JB70
        Barclays PLC
        000000000
        
          
        
        1400000.00000000
        PA
        USD
        1450400.00000000
        0.218149084995
        Long
        DBT
        CORP
        GB
        Y
        
        2
        
          2022-03-15
          Fixed
          7.88000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        WAMU Mortgage Pass-Through Certificates
        N/A
        WaMu Mortgage Pass-Through Certificates Series 2003-AR9 Trust
        92922FBX5
        
          
        
        96437.60000000
        PA
        USD
        96114.22000000
        0.014456170124
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2033-09-25
          Variable
          2.67000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        HEALTHCARE TRUST OF AMER
        549300IYGAS4GE6VDL07
        Healthcare Trust of America Holdings LP
        42225UAH7
        
          
        
        1400000.00000000
        PA
        USD
        1385026.83000000
        0.208316557955
        Long
        DBT
        
        US
        N
        
        2
        
          2031-03-15
          Fixed
          2.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        AIB Group PLC
        635400AKJBGNS5WNQL34
        AIB Group PLC
        00135TAA2
        
          
        
        1900000.00000000
        PA
        USD
        2058370.00000000
        0.309591514121
        Long
        DBT
        CORP
        IE
        N
        
        2
        
          2023-10-12
          Fixed
          4.75000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CBAM CLO Management
        254900YSCN4KH02DQ033
        CBAM 2018-8 Ltd/KY
        12478CAA9
        
          
        
        1600000.00000000
        PA
        USD
        1600288.00000000
        0.240693162526
        Long
        ABS-CBDO
        CORP
        KY
        N
        
        2
        
          2029-10-20
          Floating
          1.25000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Government National Mortgage Association
        38374BYY3
        
          
        
        437294.46000000
        PA
        USD
        10096.56000000
        0.001518584752
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2033-08-16
          Floating
          6.51000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Barings Euro CLO 2016-1 B.V.
        635400ACNLWXLQAMAO04
        Barings Euro CLO 2016-1 DAC
        000000000
        
          
        
        324193.55000000
        PA
        
        384363.68000000
        0.057810662643
        Long
        ABS-CBDO
        CORP
        IE
        N
        
        2
        
          2030-07-27
          Floating
          0.68000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Intercontinental Exchange, Inc.
        5493000F4ZO33MV32P92
        Long: SWPC0IMN4 CDS EUR R F  1.00000 1 CCPCORPORATE / Short: SWPC0IMN4 CDS EUR P V 03MEVENT 2 CCPCORPORATE
        000000000
        
          
        
        1300000.00000000
        OU
        Notional Amount
        
        -48195.23000000
        -0.00724885915
        N/A
        DCR
        
        US
        N
        
        2
        
          
            
              Intercontinental Exchange, Inc.
              5493000F4ZO33MV32P92
            
            
              
                ROLLS-ROYCE PLC
                ROLLS-ROYCE PLC
                
                  
                
              
            
            Y
            
            sell protection
            2024-12-20
            0.00000000
            EUR
            -4322.41000000
            EUR
            1300000.00000000
            EUR
            -43561.50000000
          
        
        
          N
          N
          N
        
      
      
        INTERCONTINENTALEXCHANGE
        5493000F4ZO33MV32P92
        Intercontinental Exchange Inc
        45866FAN4
        
          
        
        1100000.00000000
        PA
        USD
        1060196.83000000
        0.159460127123
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2032-09-15
          Fixed
          1.85000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Countrywide Alternative Loan Trust
        N/A
        Alternative Loan Trust 2006-OC8
        232434AD2
        
          
        
        2763.32000000
        PA
        USD
        0.01000000
        0.000000001504
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2036-11-25
          Floating
          0.43000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        LCH Limited
        F226TOH6YD6XJB17KS62
        Long: BWU0197O8 IRS JPY R V 06MLIBOR SWUV197O0 CCPVANILLA / Short: BWU0197O8 IRS JPY P F   .53750 SWU0197O8 CCPVANILLA
        000000000
        
          
        
        196000000.00000000
        OU
        Notional Amount
        
        -53873.14000000
        -0.00810285176
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              LCH Limited
              F226TOH6YD6XJB17KS62
            
            
              
                N/A
                N/A
                
                  
                
              
            
            Y
            
              
                
              
            
            
            2051-03-15
            0.00000000
            JPY
            -188031.00000000
            JPY
            196000000.00000000
            JPY
            -57011.48000000
          
        
        
          N
          N
          N
        
      
      
        BANK OF AMERICA CORP
        9DJT3UXIJIZJI4WXO774
        Bank of America Corp
        06051GJG5
        
          
        
        1500000.00000000
        PA
        USD
        1502349.18000000
        0.225962561335
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2025-09-25
          Fixed
          0.98000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        ONCOR ELECTRIC DELIVERY
        549300SP2X2BS1KERD24
        Oncor Electric Delivery Co LLC
        68233JAR5
        
          
        
        1500000.00000000
        PA
        USD
        1533668.10000000
        0.230673119623
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2022-06-01
          Fixed
          4.10000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Structured Asset Mortgage Investments Inc
        N/A
        Structured Asset Mortgage Investments II Trust 2005-AR5
        86359LPE3
        
          
        
        8112.41000000
        PA
        USD
        7848.97000000
        0.001180533386
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2035-07-19
          Floating
          0.59000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3140X6NQ0
        
          
        
        120276.84000000
        PA
        USD
        128476.18000000
        0.019323608046
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2030-08-01
          Fixed
          3.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        S6XOOCT0IEG5ABCC6L87
        Freddie Mac REMICS
        3133TKDP2
        
          
        
        537.63000000
        PA
        USD
        600.62000000
        0.000090336943
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2029-04-15
          Fixed
          6.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        LCH Limited
        F226TOH6YD6XJB17KS62
        Long: BWU00LCF5 IRS JPY R V 06MLIBOR SWUV0LCF5 CCPVANILLA / Short: BWU00LCF5 IRS JPY P F   .30000 SWU00LCF5 CCPVANILLA
        000000000
        
          
        
        54610000.00000000
        OU
        Notional Amount
        
        -10443.40000000
        -0.00157075162
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              LCH Limited
              F226TOH6YD6XJB17KS62
            
            
              
                N/A
                N/A
                
                  
                
              
            
            Y
            
              
                
              
            
            
            2027-09-20
            0.00000000
            JPY
            -103869.00000000
            JPY
            54610000.00000000
            JPY
            -9531.04000000
          
        
        
          N
          N
          N
        
      
      
        DEUTSCHE BANK NY
        7LTWFZYICNSX8D621K86
        Deutsche Bank AG/New York NY
        251526BX6
        
          
        
        2700000.00000000
        PA
        USD
        2720439.73000000
        0.409170875540
        Long
        DBT
        CORP
        DE
        N
        
        2
        
          2021-10-14
          Fixed
          4.25000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Bear Stearns Asset Backed Securities Trust
        N/A
        Bear Stearns Asset Backed Securities I Trust 2006-HE1
        07387UBS9
        
          
        
        247761.18000000
        PA
        USD
        247556.33000000
        0.037233995362
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2036-02-25
          Floating
          0.73000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3140X8JR9
        
          
        
        1734266.77000000
        PA
        USD
        1853847.19000000
        0.278830024972
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2032-03-01
          Fixed
          3.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Barclays PLC
        213800LBQA1Y9L22JB70
        Barclays PLC
        000000000
        
          
        
        600000.00000000
        PA
        
        850798.97000000
        0.127965400455
        Long
        DBT
        CORP
        GB
        Y
        
        2
        
          2023-10-06
          Fixed
          2.38000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Chicago Board of Trade
        549300EX04Q2QBFQTQ27
        US LONG BOND(CBT) SEP21
        000000000
        
          
        
        -45.00000000
        NC
        USD
        -397376.41000000
        -0.05976785730
        N/A
        DIR
        
        US
        N
        
        1
        
          
            
              Chicago Board of Trade
              549300EX04Q2QBFQTQ27
            
            Short
            
              
                US Treasury Long Bond
                USU1 Comdty
              
            
            2021-09-21
            -7014967.34000000
            USD
            -397376.41000000
          
        
        
          N
          N
          N
        
      
      
        Citibank, National Association
        E57ODZWZ7FF32TWEFA76
        PURCHASED USD / SOLD ILS
        000000000
        
          
        
        1.00000000
        NC
        
        -39970.12000000
        -0.00601175200
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              Citibank, National Association
              E57ODZWZ7FF32TWEFA76
            
            5501650.00000000
            ILS
            1663084.55000000
            USD
            2021-10-06
            -39970.12000000
          
        
        
          N
          N
          N
        
      
      
        DEUTSCHE BANK NY
        7LTWFZYICNSX8D621K86
        Deutsche Bank AG/New York NY
        251526BL2
        
          
        
        1900000.00000000
        PA
        USD
        1964557.33000000
        0.295481511279
        Long
        DBT
        CORP
        DE
        N
        
        2
        
          2022-11-16
          Fixed
          3.30000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Barclays Bank PLC
        G5GSEF7VJP5I7OUK5573
        Barclays Bank PLC
        06740L8C2
        
          
        
        805000.00000000
        PA
        USD
        875326.71000000
        0.131654523482
        Long
        DBT
        CORP
        GB
        N
        
        2
        
          2022-11-21
          Fixed
          7.63000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CIFC Funding Ltd
        549300H3BLEZ8XSDXO87
        CIFC Funding 2015-V Ltd
        12547UAL2
        
          
        
        1550028.31000000
        PA
        USD
        1550363.12000000
        0.233184153363
        Long
        ABS-CBDO
        CORP
        KY
        N
        
        2
        
          2027-10-25
          Floating
          0.99000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Intercontinental Exchange, Inc.
        5493000F4ZO33MV32P92
        Long: SWPC0HJ26 CDS USD R F  1.00000 1 CCPCORPORATE / Short: SWPC0HJ26 CDS USD P V 03MEVENT 2 CCPCORPORATE
        000000000
        
          
        
        600000.00000000
        OU
        Notional Amount
        USD
        9743.93000000
        0.001465547030
        N/A
        DCR
        
        US
        N
        
        2
        
          
            
              Intercontinental Exchange, Inc.
              5493000F4ZO33MV32P92
            
            
              
                GENERAL ELECTRIC CO
                GENERAL ELECTRIC CO
                
                  
                  
                
              
            
            Y
            
            sell protection
            2023-12-20
            0.00000000
            USD
            -14108.70000000
            USD
            600000.00000000
            USD
            23852.63000000
          
        
        
          N
          N
          N
        
      
      
        HSBC Bank USA, National Association
        1IE8VN30JCEQV1H4R804
        PURCHASED EUR / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        1371.73000000
        0.000206316632
        N/A
        DFE
        
        XX
        N
        
        2
        
          
            
              HSBC Bank USA, National Association
              1IE8VN30JCEQV1H4R804
            
            1022440.46000000
            USD
            863000.00000000
            EUR
            2021-08-03
            1371.73000000
          
        
        
          N
          N
          N
        
      
      
        BFLD Trust
        N/A
        BFLD Trust 2020-EYP
        05493AAA8
        
          
        
        1300000.00000000
        PA
        USD
        1307309.90000000
        0.196627453454
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2035-10-15
          Floating
          1.24000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Countrywide Home Loans
        N/A
        Reperforming Loan REMIC Trust 2005-R2
        12669GN64
        
          
        
        220480.97000000
        PA
        USD
        211488.94000000
        0.031809237967
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2035-06-25
          Floating
          0.43000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        GE CAPITAL FUNDING LLC
        549300XAGH9TOLX5XM67
        GE Capital Funding LLC
        36166NAJ2
        
          
        
        1800000.00000000
        PA
        USD
        2115607.79000000
        0.318200429948
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2030-05-15
          Fixed
          4.40000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        DEUTSCHE BANK NY
        7LTWFZYICNSX8D621K86
        Deutsche Bank AG/New York NY
        251526BR9
        
          
        
        1900000.00000000
        PA
        USD
        1993084.84000000
        0.299772224327
        Long
        DBT
        CORP
        DE
        N
        
        2
        
          2023-02-27
          Fixed
          3.95000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        J.P. Morgan Alternative Loan Trust
        N/A
        JP Morgan Alternative Loan Trust
        46628GAA7
        
          
        
        705962.07000000
        PA
        USD
        693558.32000000
        0.104315439119
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2036-05-25
          Floating
          0.45000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        31379KVP5
        
          
        
        5194.24000000
        PA
        USD
        5176.55000000
        0.000778584973
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2028-01-01
          Floating
          2.37000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Countrywide Alternative Loan Trust
        N/A
        Alternative Loan Trust 2006-J8
        23245LAB6
        
          
        
        125689.50000000
        PA
        USD
        81244.22000000
        0.012219630622
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2037-02-25
          Fixed
          6.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CRED SUIS GP FUN LTD
        549300PXR5FKNXF0OH19
        Credit Suisse Group Funding Guernsey Ltd
        225433AH4
        
          
        
        1000000.00000000
        PA
        USD
        1038376.95000000
        0.156178282903
        Long
        DBT
        CORP
        GG
        
        N
        
        2
        
          2022-09-15
          Fixed
          3.80000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        31410QN80
        
          
        
        61288.61000000
        PA
        USD
        71172.05000000
        0.010704714275
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2036-10-01
          Fixed
          6.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        TESCO PROPERTY FIN 6 PLC
        213800FORYFOB97FHO66
        Tesco Property Finance 6 PLC
        000000000
        
          
        
        745486.81000000
        PA
        
        1376175.02000000
        0.206985191261
        Long
        DBT
        CORP
        GB
        Y
        
        2
        
          2044-07-13
          Fixed
          5.41000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        UMBS, TBA
        N/A
        Uniform Mortgage-Backed Security, TBA
        01F050486
        
          
        
        700000.00000000
        PA
        USD
        729175.78000000
        0.109672524274
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2036-08-15
          Fixed
          5.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        SERVICE PROPERTIES TRUST
        529900IS770AG1K9QG27
        Service Properties Trust
        44106MAZ5
        
          
        
        1600000.00000000
        PA
        USD
        1617568.00000000
        0.243292180858
        Long
        DBT
        
        US
        N
        
        2
        
          2024-10-01
          Fixed
          4.35000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BNP Paribas
        R0MUWSFPU8MPRO8K5P83
        PURCHASED USD / SOLD PEN
        000000000
        
          
        
        1.00000000
        NC
        
        12927.90000000
        0.001944435711
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              BNP Paribas
              R0MUWSFPU8MPRO8K5P83
            
            523805.39000000
            PEN
            141895.00000000
            USD
            2021-08-04
            12927.90000000
          
        
        
          N
          N
          N
        
      
      
        PACIFIC GAS & ELECTRIC
        1HNPXZSMMB7HMBMVBS46
        Pacific Gas and Electric Co
        694308JR9
        
          
        
        1600000.00000000
        PA
        USD
        1601709.23000000
        0.240906924264
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2021-11-15
          Floating
          1.53000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        EVERGY INC
        549300PGTHDQY6PSUI61
        Evergy Inc
        30034WAA4
        
          
        
        1600000.00000000
        PA
        USD
        1683042.93000000
        0.253140013228
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2024-09-15
          Fixed
          2.45000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Popular ABS Mortgage Pass-Through Trust
        N/A
        Popular ABS Mortgage Pass-Through Trust 2006-A
        73316PJW1
        
          
        
        232339.78000000
        PA
        USD
        231002.66000000
        0.034744221532
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2036-02-25
          Floating
          0.67000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Chicago Mercantile Exchange
        SNZ2OJLFK8MNNCLQOF39
        Long: SWU00QL56 IRS USD R F  2.80000 SWU00QL56 CCPVANILLA / Short: SWU00QL56 IRS USD P V 03MLIBOR SWUV0QL58 CCPVANILLA
        000000000
        
          
        
        6700000.00000000
        OU
        Notional Amount
        USD
        428756.17000000
        0.064487566306
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              Chicago Mercantile Exchange
              SNZ2OJLFK8MNNCLQOF39
            
            
              
                N/A
                N/A
                
                  
                
              
            
            Y
            
            
              
                
              
            
            2023-08-22
            0.00000000
            USD
            -158.77000000
            USD
            6700000.00000000
            USD
            428914.94000000
          
        
        
          N
          N
          N
        
      
      
        Aqueduct European CLO
        635400YJYBL2NFWMSU86
        Aqueduct European CLO 1-2017 DAC
        000000000
        
          
        
        1691978.19000000
        PA
        
        2007188.52000000
        0.301893504585
        Long
        ABS-CBDO
        CORP
        IE
        N
        
        2
        
          2030-07-20
          Floating
          0.64000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        TAKEDA PHARMACEUTICAL
        549300ZLMVP4X0OGR454
        Takeda Pharmaceutical Co Ltd
        874060AX4
        
          
        
        1000000.00000000
        PA
        USD
        1007921.55000000
        0.151597603336
        Long
        DBT
        CORP
        JP
        N
        
        2
        
          2030-03-31
          Fixed
          2.05000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        REPUBLIC OF PERU
        254900STKLK2DBJJZ530
        Peruvian Government International Bond
        000000000
        
          
        
        2000000.00000000
        PA
        
        502536.75000000
        0.075584619545
        Long
        DBT
        NUSS
        PE
        Y
        
        2
        
          2029-02-12
          Fixed
          5.94000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Bear Stearns Alt-A Trust
        N/A
        Bear Stearns ALT-A Trust 2006-6
        073868BE0
        
          
        
        145803.39000000
        PA
        USD
        96975.93000000
        0.014585776610
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2036-11-25
          Variable
          3.10000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        NEXTERA ENERGY CAPITAL
        UMI46YPGBLUE4VGNNT48
        NextEra Energy Capital Holdings Inc
        65339KBT6
        
          
        
        2000000.00000000
        PA
        USD
        2000250.16000000
        0.300849932546
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2023-02-22
          Floating
          0.42000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BOEING CO
        RVHJWBXLJ1RFUBSY1F30
        Boeing Co/The
        097023DE2
        
          
        
        1700000.00000000
        PA
        USD
        1704322.22000000
        0.256340549386
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2024-02-04
          Fixed
          1.43000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Intercontinental Exchange, Inc.
        5493000F4ZO33MV32P92
        Long: SWPC0JZ57 CDS EUR R F  1.00000 1 CCPITRAXX / Short: SWPC0JZ57 CDS EUR P V 03MEVENT 2 CCPITRAXX
        000000000
        
          
        
        6000000.00000000
        OU
        Notional Amount
        
        194682.25000000
        0.029281408371
        N/A
        DCR
        
        US
        N
        
        2
        
          
            
              Intercontinental Exchange, Inc.
              5493000F4ZO33MV32P92
            
            
              
                iTraxx Europe S35.V1
                2I666VCY9
              
            
            Y
            
            sell protection
            2026-06-20
            144396.12000000
            EUR
            0.00000000
            EUR
            6000000.00000000
            EUR
            22318.85000000
          
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        S6XOOCT0IEG5ABCC6L87
        Freddie Mac Pool
        3132A7JG7
        
          
        
        126518.95000000
        PA
        USD
        135158.93000000
        0.020328734768
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2026-09-01
          Fixed
          3.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Government National Mortgage Association
        38376RN85
        
          
        
        944669.14000000
        PA
        USD
        960963.27000000
        0.144534789068
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2066-12-20
          Floating
          1.04000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Structured Adjustable Rate Mortgage Loan Trust
        N/A
        Structured Adjustable Rate Mortgage Loan Trust
        863579JG4
        
          
        
        54753.99000000
        PA
        USD
        50998.16000000
        0.007670437079
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2035-01-25
          Floating
          1.51000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Home Equity Asset Trust
        N/A
        Home Equity Asset Trust
        22541NAD1
        
          
        
        1026.38000000
        PA
        USD
        962.99000000
        0.000144839621
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2032-11-25
          Floating
          0.69000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase Bank, National Association
        7H6GLXDRUGQFU57RNE97
        PURCHASED USD / SOLD BRL
        000000000
        
          
        
        1.00000000
        NC
        
        -507664.72000000
        -0.07635589778
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              JPMorgan Chase Bank, National Association
              7H6GLXDRUGQFU57RNE97
            
            35000000.00000000
            BRL
            6153846.15000000
            USD
            2021-10-04
            -507664.72000000
          
        
        
          N
          N
          N
        
      
      
        HarborView Mortgage Loan Trust
        N/A
        HarborView Mortgage Loan Trust 2005-14
        41161PWV1
        
          
        
        111410.56000000
        PA
        USD
        75558.84000000
        0.011364514485
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2035-12-19
          Variable
          3.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        ENEL FINANCE INTL NV
        0YQH6LCEF474UTUV4B96
        Enel Finance International NV
        29278GAL2
        
          
        
        1800000.00000000
        PA
        USD
        1904098.59000000
        0.286388144752
        Long
        DBT
        CORP
        NL
        
        N
        
        2
        
          2024-09-10
          Fixed
          2.65000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BNP PARIBAS
        R0MUWSFPU8MPRO8K5P83
        BNP Paribas SA
        05565ASK0
        
          
        
        1600000.00000000
        PA
        USD
        1663680.00000000
        0.250227709407
        Long
        DBT
        CORP
        FR
        N
        
        2
        
          2031-02-25
          Fixed
          4.63000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        LP Credit Card ABS
        N/A
        LP Credit Card ABS Master Trust
        50214FAA1
        
          
        
        1170738.35000000
        PA
        USD
        1171034.20000000
        0.176130749605
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2024-08-20
          Floating
          1.66000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Chicago Board of Trade
        549300EX04Q2QBFQTQ27
        US 5YR NOTE (CBT) SEP21
        000000000
        
          
        
        10.00000000
        NC
        USD
        5689.93000000
        0.000855800484
        N/A
        DIR
        
        US
        N
        
        1
        
          
            
              Chicago Board of Trade
              549300EX04Q2QBFQTQ27
            
            Long
            
              
                5 Year US Treasury Note
                FVU1 Comdty
              
            
            2021-09-30
            1238763.20000000
            USD
            5689.93000000
          
        
        
          N
          N
          N
        
      
      
        CAPITAL ONE FINANCIAL CO
        ZUE8T73ROZOF6FLBAR73
        Capital One Financial Corp
        14040HBZ7
        
          
        
        1500000.00000000
        PA
        USD
        1676103.77000000
        0.252096320865
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2025-04-30
          Fixed
          4.25000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        JPMORGAN CHASE & CO
        8I5DZWZKVSZI1NUHU748
        JPMorgan Chase & Co
        46647PBR6
        
          
        
        1800000.00000000
        PA
        USD
        1858851.16000000
        0.279582652851
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2028-06-01
          Fixed
          2.18000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        T-MOBILE USA INC
        549300V2JRLO5DIFGE82
        T-Mobile USA Inc
        87264ACB9
        
          
        
        1400000.00000000
        PA
        USD
        1439563.44000000
        0.216519199688
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2031-02-15
          Fixed
          2.55000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        United States Treasury
        254900HROIFWPRGM1V77
        United States Treasury Note/Bond
        912810SY5
        
          
        
        800000.00000000
        PA
        USD
        858250.00000000
        0.129086081217
        Long
        DBT
        UST
        US
        N
        
        2
        
          2041-05-15
          Fixed
          2.25000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Bear Stearns Asset Backed Securities Trust
        N/A
        Bear Stearns Asset Backed Securities I Trust 2007-AQ1
        07389VAA5
        
          
        
        10141.13000000
        PA
        USD
        73962.30000000
        0.011124385044
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2031-04-25
          Floating
          0.20000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase & Co
        8I5DZWZKVSZI1NUHU748
        JPMorgan Chase & Co
        46647PAU0
        
          
        
        1800000.00000000
        PA
        USD
        1914813.90000000
        0.287999793313
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2024-07-23
          Fixed
          3.80000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        SOUTHERN CAL EDISON
        9R1Z5I36FERIBVKW4P77
        Southern California Edison Co
        842400HD8
        
          
        
        1600000.00000000
        PA
        USD
        1620639.33000000
        0.243754127790
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2031-06-01
          Fixed
          2.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Standard Chartered Bank
        RILFO74KP1CM8P6PCT96
        PURCHASED USD / SOLD PEN
        000000000
        
          
        
        1.00000000
        NC
        
        10406.05000000
        0.001565133953
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              Standard Chartered Bank
              RILFO74KP1CM8P6PCT96
            
            2000084.00000000
            PEN
            502900.10000000
            USD
            2021-09-22
            10406.05000000
          
        
        
          N
          N
          N
        
      
      
        VIRGIN MONEY UK PLC
        213800ZK9VGCYYR6O495
        Virgin Money UK PLC
        000000000
        
          
        
        100000.00000000
        PA
        
        152416.38000000
        0.022924361441
        Long
        DBT
        CORP
        GB
        Y
        
        2
        
          2026-09-25
          Fixed
          4.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        UBS AG STAMFORD CT
        254900R882POXXVAK772
        UBS AG/Stamford CT
        90261AAB8
        
          
        
        600000.00000000
        PA
        USD
        640906.31000000
        0.096396252822
        Long
        DBT
        CORP
        CH
        N
        
        2
        
          2022-08-17
          Fixed
          7.63000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        J.P. Morgan Securities LLC
        ZBUT11V806EZRVTWT807
        3175SR198
        000000000
        
          
        
        -2000000.00000000
        NC
        USD
        -156.20000000
        -0.00002349344
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              J.P. Morgan Securities LLC
              ZBUT11V806EZRVTWT807
            
            Put
            Written
            
              
                Ginnie Mae
                Ginnie Mae
                
                  
                  
                
              
            
            1.00000000
            102.23437500
            USD
            2021-08-12
            XXXX
            6250.05000000
          
        
        
          N
          N
          N
        
      
      
        EMPOWER FINANCE 2020 LP
        N/A
        Empower Finance 2020 LP
        29248HAA1
        
          
        
        1600000.00000000
        PA
        USD
        1589610.66000000
        0.239087224888
        Long
        DBT
        CORP
        US
        
        N
        
        2
        
          2027-09-17
          Fixed
          1.36000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Bear Stearns Adjustable Rate Mortgage Trust
        N/A
        Bear Stearns ARM Trust 2003-8
        07384MZV7
        
          
        
        26251.13000000
        PA
        USD
        27117.43000000
        0.004078628338
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2034-01-25
          Variable
          2.67000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MASTR Alternative Loans Trust
        N/A
        MASTR Alternative Loan Trust 2006-2
        5764342H6
        
          
        
        87923.81000000
        PA
        USD
        6841.35000000
        0.001028981138
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2036-03-25
          Floating
          0.49000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Chicago Mercantile Exchange
        SNZ2OJLFK8MNNCLQOF39
        Long: BWU017FB1 IRS BRL R V 00MBRCDI SWUV17FB3 CCPNDFPREDISWAP / Short: BWU017FB1 IRS BRL P F  2.87000 SWU017FB1 CCPNDFPREDISWAP
        000000000
        
          
        
        5200000.00000000
        OU
        Notional Amount
        
        13490.70000000
        0.002029084294
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              Chicago Mercantile Exchange
              SNZ2OJLFK8MNNCLQOF39
            
            
              
                N/A
                N/A
                
                  
                
              
            
            Y
            
              
                
              
            
            
            2022-01-03
            0.00000000
            BRL
            0.00000000
            BRL
            5200000.00000000
            BRL
            13490.70000000
          
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        31417WPS4
        
          
        
        38059.97000000
        PA
        USD
        39862.54000000
        0.005995571309
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2024-12-01
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        LoanCore 2018-CRE1 Issuer, Ltd.
        N/A
        LoanCore 2018-CRE1 Issuer Ltd
        53946MAA5
        
          
        
        553864.58000000
        PA
        USD
        553864.64000000
        0.083304650046
        Long
        ABS-CBDO
        CORP
        KY
        N
        
        2
        
          2028-05-15
          Floating
          1.22000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BENCHMARK Mortgage Trust
        N/A
        Benchmark 2019-B9 Mortgage Trust
        08160JAE7
        
          
        
        1600000.00000000
        PA
        USD
        1852265.92000000
        0.278592192233
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2052-03-15
          Fixed
          4.02000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Republic of Peru
        254900STKLK2DBJJZ530
        Peruvian Government International Bond
        715638AY8
        
          
        
        5600000.00000000
        PA
        
        1650277.68000000
        0.248211918008
        Long
        DBT
        NUSS
        PE
        Y
        
        2
        
          2026-08-12
          Fixed
          8.20000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MP Clo VII, LTD
        5493005EOEZ6JX072G15
        MP CLO VII LTD
        55320RAQ0
        
          
        
        1687785.06000000
        PA
        USD
        1688090.55000000
        0.253899206337
        Long
        ABS-CBDO
        CORP
        KY
        N
        
        2
        
          2028-10-18
          Floating
          1.02000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BOSTON PROPERTIES LP
        BVHHEFJI6SHNOKQT2572
        Boston Properties LP
        10112RBB9
        
          
        
        1600000.00000000
        PA
        USD
        1760025.30000000
        0.264718635385
        Long
        DBT
        
        US
        N
        
        2
        
          2029-06-21
          Fixed
          3.40000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3138ASS78
        
          
        
        119843.10000000
        PA
        USD
        128129.25000000
        0.019271427639
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2026-09-01
          Fixed
          3.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Bear Stearns Asset Backed Securities Trust
        N/A
        Bear Stearns Asset Backed Securities I Trust 2006-HE10
        07389RAQ9
        
          
        
        2694469.94000000
        PA
        USD
        2623408.41000000
        0.394576767933
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2036-12-25
          Floating
          0.33000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Ford Motor Credit Co LLC
        UDSQCVRUX5BONN0VY111
        Ford Motor Credit Co LLC
        345397VU4
        
          
        
        900000.00000000
        PA
        USD
        900000.00000000
        0.135365538124
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2021-08-02
          Fixed
          5.88000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Countrywide Asset-Backed Certificates
        N/A
        Countrywide Asset-Backed Certificates
        12666UAG8
        
          
        
        278392.39000000
        PA
        USD
        279903.98000000
        0.042099280973
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2046-10-25
          Variable
          4.47000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Chicago Mercantile Exchange
        SNZ2OJLFK8MNNCLQOF39
        Long: SWU017VQ0 IRS BRL R F  3.35000 SWU017VQ0 CCPNDFPREDISWAP / Short: SWU017VQ0 IRS BRL P V 00MBRCDI SWUV17VQ2 CCPNDFPREDISWAP
        000000000
        
          
        
        50700000.00000000
        OU
        Notional Amount
        
        -95045.96000000
        -0.01429549724
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              Chicago Mercantile Exchange
              SNZ2OJLFK8MNNCLQOF39
            
            
              
                N/A
                N/A
                
                  
                
              
            
            Y
            
            
              
                
              
            
            2022-01-03
            0.00000000
            BRL
            -4702.42000000
            BRL
            50700000.00000000
            BRL
            -94168.99000000
          
        
        
          N
          N
          N
        
      
      
        Citibank, National Association
        E57ODZWZ7FF32TWEFA76
        PURCHASED PEN / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        -24320.23000000
        -0.00365791224
        N/A
        DFE
        
        PE
        N
        
        2
        
          
            
              Citibank, National Association
              E57ODZWZ7FF32TWEFA76
            
            649467.04000000
            USD
            2539221.30000000
            PEN
            2021-09-02
            -24320.23000000
          
        
        
          N
          N
          N
        
      
      
        BOARDWALK PIPELINES LP
        549300W6AQ2GHHCGL606
        Boardwalk Pipelines LP
        096630AH1
        
          
        
        1200000.00000000
        PA
        USD
        1291852.94000000
        0.194302631556
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2031-02-15
          Fixed
          3.40000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        IMPERIAL BRANDS FIN PLC
        2138008L3B3MCG1DFS50
        Imperial Brands Finance PLC
        45262BAA1
        
          
        
        1700000.00000000
        PA
        USD
        1791576.88000000
        0.269464187169
        Long
        DBT
        CORP
        GB
        N
        
        2
        
          2024-07-26
          Fixed
          3.13000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BNP PARIBAS
        R0MUWSFPU8MPRO8K5P83
        BNP Paribas SA
        09659W2M5
        
          
        
        1600000.00000000
        PA
        USD
        1608164.29000000
        0.241877805009
        Long
        DBT
        CORP
        FR
        N
        
        2
        
          2028-09-30
          Fixed
          1.90000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase Bank, National Association
        7H6GLXDRUGQFU57RNE97
        PURCHASED USD / SOLD BRL
        000000000
        
          
        
        1.00000000
        NC
        
        -149785.87000000
        -0.02252871655
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              JPMorgan Chase Bank, National Association
              7H6GLXDRUGQFU57RNE97
            
            11100000.00000000
            BRL
            1962864.72000000
            USD
            2021-10-04
            -149785.87000000
          
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        31407QHE9
        
          
        
        45902.80000000
        PA
        USD
        46737.28000000
        0.007029574508
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2035-09-01
          Floating
          2.29000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        United States Treasury
        254900HROIFWPRGM1V77
        United States Treasury Note/Bond
        9128286Z8
        
          
        
        4200000.00000000
        PA
        USD
        4371773.45000000
        0.657541628464
        Long
        DBT
        UST
        US
        N
        
        2
        
          2024-06-30
          Fixed
          1.75000000
          N
          N
          N
        
        
          N
          N
          
        
      
      
        First Horizon Alternative Mortgage Securities
        N/A
        First Horizon Alternative Mortgage Securities Trust 2007-FA4
        32052WAH2
        
          
        
        100810.22000000
        PA
        USD
        67150.16000000
        0.010099797270
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2037-08-25
          Fixed
          6.25000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase Bank, National Association
        7H6GLXDRUGQFU57RNE97
        PURCHASED USD / SOLD BRL
        000000000
        
          
        
        1.00000000
        NC
        
        -105557.70000000
        -0.01587652762
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              JPMorgan Chase Bank, National Association
              7H6GLXDRUGQFU57RNE97
            
            8200000.00000000
            BRL
            1455139.13000000
            USD
            2021-10-04
            -105557.70000000
          
        
        
          N
          N
          N
        
      
      
        Residential Accredit Loans, Inc.
        N/A
        RALI Series 2008-QR1 Trust
        74925FAA1
        
          
        
        3657.75000000
        PA
        USD
        3659.73000000
        0.000550445912
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2036-08-25
          Floating
          1.49000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        PACIFIC GAS & ELECTRIC
        1HNPXZSMMB7HMBMVBS46
        Pacific Gas and Electric Co
        694308JE8
        
          
        
        1600000.00000000
        PA
        USD
        1597809.10000000
        0.240320320713
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2022-06-16
          Fixed
          1.75000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        LETRA TESOURO NACIONAL
        254900ZFY40OYEADAP90
        Brazil Letras do Tesouro Nacional
        000000000
        
          
        
        11300000.00000000
        PA
        
        2114546.37000000
        0.318040785849
        Long
        DBT
        NUSS
        BR
        N
        
        2
        
          2022-01-01
          None
          0.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        522 Funding CLO LTD
        N/A
        ASSURANT CLO LTD
        33835NAA9
        
          
        
        1700000.00000000
        PA
        USD
        1700496.40000000
        0.255765122516
        Long
        ABS-CBDO
        CORP
        KY
        N
        
        2
        
          2031-10-20
          Floating
          1.17000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Countrywide Alternative Loan Trust
        N/A
        Alternative Loan Trust 2006-OA12
        23243AAB2
        
          
        
        360084.12000000
        PA
        USD
        326736.30000000
        0.049143150082
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2046-09-20
          Floating
          0.27000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BNP Paribas
        R0MUWSFPU8MPRO8K5P83
        PURCHASED USD / SOLD AUD
        000000000
        
          
        
        1.00000000
        NC
        
        32462.36000000
        0.004882538700
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              BNP Paribas
              R0MUWSFPU8MPRO8K5P83
            
            2209000.00000000
            AUD
            1653575.23000000
            USD
            2021-08-03
            32462.36000000
          
        
        
          N
          N
          N
        
      
      
        UBS Commercial Mortgage Trust
        N/A
        UBS Commercial Mortgage Trust
        90278MBA4
        
          
        
        1300000.00000000
        PA
        USD
        1397755.45000000
        0.210231020728
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2052-10-15
          Fixed
          2.92000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Denali Capital CLO X LTD
        N/A
        Denali Capital CLO X LLC
        24823BAK6
        
          
        
        444426.19000000
        PA
        USD
        444512.41000000
        0.066857401758
        Long
        ABS-CBDO
        CORP
        KY
        
        N
        
        2
        
          2027-10-26
          Floating
          1.18000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        City of Chicago IL
        T5UYO5SYLC8K73MJQX30
        CHICAGO IL
        167486D22
        
          
        
        170000.00000000
        PA
        USD
        195363.13000000
        0.029383816913
        Long
        DBT
        MUN
        US
        N
        
        2
        
          2042-01-01
          Fixed
          7.75000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Countrywide Alternative Loan Trust
        N/A
        Alternative Loan Trust 2005-J12
        12668ASY2
        
          
        
        821758.55000000
        PA
        USD
        559361.76000000
        0.084131450720
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2035-08-25
          Floating
          0.63000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        STATE OF ISRAEL
        213800T8ZHTFZIBYPE21
        Israel Government International Bond
        46513JB42
        
          
        
        1900000.00000000
        PA
        USD
        2247814.00000000
        0.338085057459
        Long
        DBT
        NUSS
        IL
        N
        
        2
        
          2050-07-03
          Fixed
          3.88000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        OMEGA HLTHCARE INVESTORS
        549300OJ7ENK42CZ8E73
        Omega Healthcare Investors Inc
        681936BM1
        
          
        
        1600000.00000000
        PA
        USD
        1664055.66000000
        0.250284210983
        Long
        DBT
        
        US
        N
        
        2
        
          2031-02-01
          Fixed
          3.38000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Legacy Mortgage Asset Trust
        N/A
        Legacy Mortgage Asset Trust 2019-GS6
        52474VAA7
        
          
        
        1520053.56000000
        PA
        USD
        1524755.85000000
        0.229332662381
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2059-06-25
          Variable
          3.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Morgan Stanley Mortgage Loan Trust
        549300CG0N64R5CUIN87
        Morgan Stanley Mortgage Loan Trust 2007-10XS
        61751MAA2
        
          
        
        95929.84000000
        PA
        USD
        74884.79000000
        0.011263133217
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2037-02-25
          Variable
          6.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        One New York Plaza Trust 2020-1NYP
        N/A
        One New York Plaza Trust 2020-1NYP
        68249DAA7
        
          
        
        1000000.00000000
        PA
        USD
        1006224.10000000
        0.151342296411
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2026-01-15
          Floating
          1.04000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        STANDARD CHARTERED PLC
        U4LOSYZ7YG4W3S5F2G91
        Standard Chartered PLC
        853254BZ2
        
          
        
        1600000.00000000
        PA
        USD
        1591982.58000000
        0.239443976251
        Long
        DBT
        CORP
        GB
        N
        
        2
        
          2027-01-14
          Fixed
          1.46000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        S6XOOCT0IEG5ABCC6L87
        Freddie Mac Non Gold Pool
        31349T4P3
        
          
        
        475733.43000000
        PA
        USD
        477823.82000000
        0.071867642803
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2036-01-01
          Floating
          2.38000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        ISRAEL MAKAM BILL
        M8LYVLF5DOB9X0LZOW72
        Bank of Israel Bill - Makam
        000000000
        
          
        
        5500000.00000000
        PA
        
        1701469.45000000
        0.255911475224
        Long
        STIV
        NUSS
        IL
        N
        
        2
        
          2021-10-06
          None
          0.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        S6XOOCT0IEG5ABCC6L87
        Freddie Mac Pool
        3131XBJF7
        
          
        
        103548.01000000
        PA
        USD
        110718.90000000
        0.016652803865
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2027-03-01
          Fixed
          3.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Structured Adjustable Rate Mortgage Loan Trust
        N/A
        Structured Adjustable Rate Mortgage Loan Trust
        863579AP3
        
          
        
        62349.21000000
        PA
        USD
        63618.63000000
        0.009568633427
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2034-09-25
          Variable
          2.49000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        First Franklin Mtg Loan Asset Backed Certificates
        N/A
        First Franklin Mortgage Loan Trust 2006-FF14
        32027LAF2
        
          
        
        2000000.00000000
        PA
        USD
        1722977.00000000
        0.259146343090
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2036-10-25
          Floating
          0.40000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Government National Mortgage Association
        38376RFJ0
        
          
        
        954556.37000000
        PA
        USD
        961394.14000000
        0.144599594567
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2065-08-20
          Floating
          0.69000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        United States Treasury
        254900HROIFWPRGM1V77
        United States Treasury Bill
        912796F61
        
          
        
        6600000.00000000
        PA
        USD
        6599513.25000000
        0.992607402717
        Long
        STIV
        UST
        US
        N
        
        2
        
          2021-09-30
          None
          0.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Citibank, National Association
        E57ODZWZ7FF32TWEFA76
        PURCHASED USD / SOLD ILS
        000000000
        
          
        
        1.00000000
        NC
        
        -39877.75000000
        -0.00599785898
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              Citibank, National Association
              E57ODZWZ7FF32TWEFA76
            
            5501925.00000000
            ILS
            1664979.57000000
            USD
            2021-11-30
            -39877.75000000
          
        
        
          N
          N
          N
        
      
      
        Goldman Sachs Bank USA
        KD3XUN7C6T14HNAYLU02
        317U845X9 PIMCO
        000000000
        
          
        
        2000000.00000000
        NC
        
        73459.71000000
        0.011048792416
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              Goldman Sachs Bank USA
              KD3XUN7C6T14HNAYLU02
            
            Put
            Purchased
            
              
                
                  
                    Goldman Sachs Bank USA
                    KD3XUN7C6T14HNAYLU02
                  
                  
                    Goldman Sachs Bank USA
                    KD3XUN7C6T14HNAYLU02
                    IRS Swap
                    N/A
                    
                      
                    
                    2000000.00000000
                    OU
                    Notional Amount
                    N/A
                    73459.71000000
                    0.01000000
                    DIR
                    
                    US
                  
                  
                    
                      N/A
                      N/A
                      
                        
                      
                    
                  
                  
                    
                      
                    
                  
                  
                  2052-03-15
                  0.00000000
                  N/A
                  0.00000000
                  N/A
                  2000000.00000000
                  GBP
                
              
            
            1.00000000
            0.00900000
            GBP
            2022-03-15
            XXXX
            -137852.80000000
          
        
        
          N
          N
          N
        
      
      
        AT&T INC
        549300Z40J86GGSTL398
        AT&T Inc
        00206RKH4
        
          
        
        1500000.00000000
        PA
        USD
        1493652.62000000
        0.224654545197
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2032-02-01
          Fixed
          2.25000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        VMware Inc
        549300BUDHS3LRWBE814
        VMware Inc
        928563AB1
        
          
        
        2400000.00000000
        PA
        USD
        2457854.16000000
        0.369676389999
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2022-08-21
          Fixed
          2.95000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Bayer US Finance II LLC
        529900XWNEXYNJ3X6T40
        Bayer US Finance II LLC
        07274NAL7
        
          
        
        1400000.00000000
        PA
        USD
        1621760.25000000
        0.243922721055
        Long
        DBT
        CORP
        US
        
        N
        
        2
        
          2028-12-15
          Fixed
          4.38000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        31407BY29
        
          
        
        14851.86000000
        PA
        USD
        15323.79000000
        0.002304792310
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2035-07-01
          Floating
          1.62000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        United States Treasury
        254900HROIFWPRGM1V77
        United States Treasury Note/Bond
        9128282P4
        
          
        
        900000.00000000
        PA
        USD
        915996.10000000
        0.137771449996
        Long
        DBT
        UST
        US
        N
        
        2
        
          2022-07-31
          Fixed
          1.88000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Eurex Deutschland
        529900LN3S50JPU47S06
        EURO-BUND FUTURE SEP21
        000000000
        
          
        
        -2.00000000
        NC
        
        -11888.50000000
        -0.00178810355
        N/A
        DIR
        
        DE
        N
        
        1
        
          
            
              Eurex Deutschland
              529900LN3S50JPU47S06
            
            Short
            
              
                Euro-Bund (FGBL)
                RXU1 Comdty
              
            
            2021-09-08
            -343118.08000000
            EUR
            -11888.50000000
          
        
        
          N
          N
          N
        
      
      
        UNITED AIR 2020-1 A PTT
        N/A
        United Airlines 2020-1 Class A Pass Through Trust
        90931GAA7
        
          
        
        1483960.00000000
        PA
        USD
        1650496.67000000
        0.248244855452
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2027-10-15
          Fixed
          5.88000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CITRIX SYSTEMS INC
        HCTKJGUQOPZ5NBK7NP58
        Citrix Systems Inc
        177376AF7
        
          
        
        1400000.00000000
        PA
        USD
        1489044.77000000
        0.223961496202
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2030-03-01
          Fixed
          3.30000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Citibank, National Association
        E57ODZWZ7FF32TWEFA76
        PURCHASED USD / SOLD PEN
        000000000
        
          
        
        1.00000000
        NC
        
        69726.48000000
        0.010487291651
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              Citibank, National Association
              E57ODZWZ7FF32TWEFA76
            
            2410880.50000000
            PEN
            663313.84000000
            USD
            2021-08-04
            69726.48000000
          
        
        
          N
          N
          N
        
      
      
        Banc of America Funding Corporation
        N/A
        Banc of America Funding 2005-D Trust
        06051GDM8
        
          
        
        69561.19000000
        PA
        USD
        71736.62000000
        0.010789629077
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2035-05-25
          Variable
          2.84000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Ashford Hospitality Trust
        N/A
        Ashford Hospitality Trust 2018-KEYS
        04410CAA7
        
          
        
        2200000.00000000
        PA
        USD
        2201414.16000000
        0.331106236003
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2035-06-15
          Floating
          1.09000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        United States Treasury
        254900HROIFWPRGM1V77
        United States Treasury Note/Bond
        9128283C2
        
          
        
        400000.00000000
        PA
        USD
        409390.62000000
        0.061574868421
        Long
        DBT
        UST
        US
        N
        
        2
        
          2022-10-31
          Fixed
          2.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        GUARDIAN LIFE GLOB FUND
        635400NHILJ5JEKILC36
        Guardian Life Global Funding
        40139LBA0
        
          
        
        1600000.00000000
        PA
        USD
        1582506.69000000
        0.238018744086
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2027-11-19
          Fixed
          1.25000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        State of Illinois
        54930048FV8RWPR02D67
        ILLINOIS ST
        452152BM2
        
          
        
        1500000.00000000
        PA
        USD
        1908428.40000000
        0.287039374820
        Long
        DBT
        MUN
        US
        N
        
        2
        
          2035-02-01
          Fixed
          6.63000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        LCH Limited
        F226TOH6YD6XJB17KS62
        Long: BWU019BJ4 IRS JPY R V 06MLIBOR SWUV19BJ6 CCPVANILLA / Short: BWU019BJ4 IRS JPY P F   .55675 SWU019BJ4 CCPVANILLA
        000000000
        
          
        
        176000000.00000000
        OU
        Notional Amount
        
        -57288.47000000
        -0.00861653841
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              LCH Limited
              F226TOH6YD6XJB17KS62
            
            
              
                N/A
                N/A
                
                  
                
              
            
            Y
            
              
                
              
            
            
            2051-03-17
            0.00000000
            JPY
            0.00000000
            JPY
            176000000.00000000
            JPY
            -57288.47000000
          
        
        
          N
          N
          N
        
      
      
        Structured Asset Investment Loan Trust
        N/A
        Structured Asset Investment Loan Trust
        86358ECL8
        
          
        
        1000593.63000000
        PA
        USD
        998223.02000000
        0.150138884745
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2033-07-25
          Floating
          1.21000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        United States Treasury
        254900HROIFWPRGM1V77
        United States Treasury Bill
        912796L31
        
          
        
        7000000.00000000
        PA
        USD
        6999644.68000000
        1.052789631987
        Long
        STIV
        UST
        US
        N
        
        2
        
          2021-09-14
          None
          0.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        NATWEST GROUP PLC
        2138005O9XJIJN4JPN90
        Natwest Group PLC
        780097BB6
        
          
        
        800000.00000000
        PA
        USD
        801200.00000000
        0.120505410161
        Long
        DBT
        CORP
        GB
        N
        
        2
        
          2021-08-15
          Fixed
          8.63000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        HSBC Bank USA, National Association
        1IE8VN30JCEQV1H4R804
        PURCHASED MXN / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        141456.38000000
        0.021275909999
        N/A
        DFE
        
        MX
        N
        
        2
        
          
            
              HSBC Bank USA, National Association
              1IE8VN30JCEQV1H4R804
            
            2746821.12000000
            USD
            57764000.00000000
            MXN
            2021-09-03
            141456.38000000
          
        
        
          N
          N
          N
        
      
      
        Banc of America Funding Corporation
        N/A
        Banc of America Funding 2006 J Trust
        05951EAM9
        
          
        
        16205.44000000
        PA
        USD
        15497.50000000
        0.002330919363
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2047-01-20
          Variable
          3.36000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Harvest CLO
        635400EXPHDZLGQCVU09
        Harvest Clo XX DAC
        000000000
        
          
        
        1400000.00000000
        PA
        
        1659805.95000000
        0.249645028448
        Long
        ABS-CBDO
        CORP
        IE
        N
        
        2
        
          2031-10-20
          Floating
          0.96000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Manhattan West
        N/A
        Manhattan West 2020-1MW Mortgage Trust
        563136AA8
        
          
        
        1500000.00000000
        PA
        USD
        1553669.10000000
        0.233681393098
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2039-09-10
          Fixed
          2.13000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CRSNT Trust
        N/A
        CRSNT Trust 2021-MOON
        22877LAA5
        
          
        
        1600000.00000000
        PA
        USD
        1600741.28000000
        0.240761338628
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2036-04-15
          Floating
          0.92000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Bear Stearns Adjustable Rate Mortgage Trust
        N/A
        Bear Stearns ARM Trust 2003-5
        07384MWN8
        
          
        
        81938.55000000
        PA
        USD
        81997.74000000
        0.012332964666
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2033-08-25
          Variable
          2.53000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Countrywide Alternative Loan Trust
        N/A
        Alternative Loan Trust 2007-J1
        02149MAW9
        
          
        
        1241797.83000000
        PA
        USD
        708981.25000000
        0.106635142696
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2037-03-25
          Fixed
          6.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        S6XOOCT0IEG5ABCC6L87
        Freddie Mac Pool
        3131X6W71
        
          
        
        159921.09000000
        PA
        USD
        170947.85000000
        0.025711608562
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2026-07-01
          Fixed
          3.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Park Place Securities Inc
        N/A
        Park Place Securities Inc Asset-Backed Pass-Through Certificates Series 2005-WCW
        70069FLH8
        
          
        
        317488.87000000
        PA
        USD
        317388.35000000
        0.047737160880
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2035-07-25
          Floating
          0.88000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        United States Treasury
        254900HROIFWPRGM1V77
        United States Treasury Note/Bond
        912810QB7
        
          
        
        900000.00000000
        PA
        USD
        1264078.13000000
        0.190125129220
        Long
        DBT
        UST
        US
        N
        
        2
        
          2039-05-15
          Fixed
          4.25000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        NXP BV/NXP FUNDING LLC
        N/A
        NXP BV / NXP Funding LLC
        62947QAZ1
        
          
        
        1900000.00000000
        PA
        USD
        2088600.10000000
        0.314138307181
        Long
        DBT
        CORP
        XX
        
        N
        
        2
        
          2024-03-01
          Fixed
          4.88000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        WYNN LAS VEGAS LLC/CORP
        N/A
        Wynn Las Vegas LLC / Wynn Las Vegas Capital Corp
        983130AV7
        
          
        
        1800000.00000000
        PA
        USD
        1903500.00000000
        0.286298113133
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2025-03-01
          Fixed
          5.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        New Century Home Equity Loan Trust
        N/A
        New Century Home Equity Loan Trust 2006-1
        64352VQR5
        
          
        
        40892.51000000
        PA
        USD
        39824.29000000
        0.005989818273
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2036-05-25
          Floating
          0.27000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Citibank, National Association
        E57ODZWZ7FF32TWEFA76
        PURCHASED USD / SOLD ILS
        000000000
        
          
        
        1.00000000
        NC
        
        -687.28000000
        -0.00010337114
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              Citibank, National Association
              E57ODZWZ7FF32TWEFA76
            
            1837964.00000000
            ILS
            569505.16000000
            USD
            2022-02-02
            -687.28000000
          
        
        
          N
          N
          N
        
      
      
        ALABAMA POWER CO
        0RL818ELFOHP5JHOFU19
        Alabama Power Co
        010392FU7
        
          
        
        700000.00000000
        PA
        USD
        680957.41000000
        0.102420184716
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2030-09-15
          Fixed
          1.45000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        DAIMLER FINANCE NA LLC
        549300423Z16BB673J12
        Daimler Finance North America LLC
        233851DU5
        
          
        
        2100000.00000000
        PA
        USD
        2145927.46000000
        0.322760694887
        Long
        DBT
        CORP
        US
        
        N
        
        2
        
          2022-08-15
          Fixed
          2.55000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        United States Treasury
        254900HROIFWPRGM1V77
        United States Treasury Bill
        912796L49
        
          
        
        4200000.00000000
        PA
        USD
        4199722.92000000
        0.631664170043
        Long
        STIV
        UST
        US
        N
        
        2
        
          2021-09-21
          None
          0.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        31417YGY7
        
          
        
        80674.40000000
        PA
        USD
        88939.23000000
        0.013377007477
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2029-10-01
          Fixed
          5.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Citibank, National Association
        E57ODZWZ7FF32TWEFA76
        PURCHASED USD / SOLD ILS
        000000000
        
          
        
        1.00000000
        NC
        
        -4336.57000000
        -0.00065224681
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              Citibank, National Association
              E57ODZWZ7FF32TWEFA76
            
            4663986.00000000
            ILS
            1442574.00000000
            USD
            2022-02-02
            -4336.57000000
          
        
        
          N
          N
          N
        
      
      
        UMBS, TBA
        N/A
        Uniform Mortgage-Backed Security, TBA
        01F020695
        
          
        
        -11900000.00000000
        PA
        USD
        -12104996.06000000
        -1.82066589517
        Short
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2051-09-15
          Fixed
          2.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        COMM Mortgage Trust
        N/A
        COMM 2015-CCRE26 Mortgage Trust
        12593QBC3
        
          
        
        1160243.29000000
        PA
        USD
        1219883.04000000
        0.183477915731
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2048-10-10
          Fixed
          3.37000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        NISSAN MOTOR ACCEPTANCE
        7D6DIU2QXTUJRFNNJA49
        Nissan Motor Acceptance Corp
        654740BE8
        
          
        
        1600000.00000000
        PA
        USD
        1603174.50000000
        0.241127309888
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2022-09-28
          Floating
          0.84000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        COMM Mortgage Trust
        N/A
        COMM 2016-787S Mortgage Trust
        12635WAA5
        
          
        
        1400000.00000000
        PA
        USD
        1525871.06000000
        0.229500396828
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2036-02-10
          Fixed
          3.55000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        ANTHEM INC
        8MYN82XMYQH89CTMTH67
        Anthem Inc
        036752AJ2
        
          
        
        1900000.00000000
        PA
        USD
        1995973.56000000
        0.300206705590
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2025-01-15
          Fixed
          2.38000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Chicago Mercantile Exchange
        SNZ2OJLFK8MNNCLQOF39
        Long: BWU017FJ4 IRS BRL R V 00MBRCDI SWUV17FJ6 CCPNDFPREDISWAP / Short: BWU017FJ4 IRS BRL P F  2.85000 SWU017FJ4 CCPNDFPREDISWAP
        000000000
        
          
        
        24100000.00000000
        OU
        Notional Amount
        
        63590.36000000
        0.009564381445
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              Chicago Mercantile Exchange
              SNZ2OJLFK8MNNCLQOF39
            
            
              
                N/A
                N/A
                
                  
                
              
            
            Y
            
              
                
              
            
            
            2022-01-03
            0.00000000
            BRL
            -291.49000000
            BRL
            24100000.00000000
            BRL
            63648.72000000
          
        
        
          N
          N
          N
        
      
      
        BlueMountain EUR CLO
        6354001GFQXEIICHUN98
        BlueMountain Fuji EUR CLO II DAC
        000000000
        
          
        
        1400000.00000000
        PA
        
        1659037.03000000
        0.249529378149
        Long
        ABS-CBDO
        CORP
        IE
        N
        
        2
        
          2030-07-15
          Floating
          0.65000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Goldman Sachs Bank USA
        KD3XUN7C6T14HNAYLU02
        317U846X8 PIMCO
        000000000
        
          
        
        -5400000.00000000
        NC
        
        -75369.74000000
        -0.01133607268
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              Goldman Sachs Bank USA
              KD3XUN7C6T14HNAYLU02
            
            Put
            Written
            
              
                
                  
                    Goldman Sachs Bank USA
                    KD3XUN7C6T14HNAYLU02
                  
                  
                    Goldman Sachs Bank USA
                    KD3XUN7C6T14HNAYLU02
                    IRS Swap
                    N/A
                    
                      
                    
                    5400000.00000000
                    OU
                    Notional Amount
                    N/A
                    -75369.74000000
                    -0.01000000
                    DIR
                    
                    US
                  
                  
                    
                      N/A
                      N/A
                      
                        
                      
                    
                  
                  
                  
                    
                      
                    
                  
                  2032-03-15
                  0.00000000
                  N/A
                  0.00000000
                  N/A
                  5400000.00000000
                  GBP
                
              
            
            1.00000000
            0.00800000
            GBP
            2022-03-15
            XXXX
            129829.85000000
          
        
        
          N
          N
          N
        
      
      
        VERIZON COMMUNICATIONS
        2S72QS2UO2OESLG6Y829
        Verizon Communications Inc
        92343VEN0
        
          
        
        2590000.00000000
        PA
        USD
        2816765.12000000
        0.423658806932
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2025-02-15
          Fixed
          3.38000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        KVK CLO Ltd
        5493007VGL59COTLZY21
        KVK CLO 2013-1 Ltd
        482739AF6
        
          
        
        405690.51000000
        PA
        USD
        405758.26000000
        0.061028539125
        Long
        ABS-CBDO
        CORP
        KY
        N
        
        2
        
          2028-01-14
          Floating
          1.03000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Countrywide Home Loans
        N/A
        CHL Mortgage Pass-Through Trust 2004-12
        12669FN82
        
          
        
        7772.83000000
        PA
        USD
        7849.71000000
        0.001180644686
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2034-08-25
          Variable
          2.70000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Equifax Inc
        5493004MCF8JDC86VS77
        Equifax Inc
        294429AP0
        
          
        
        2100000.00000000
        PA
        USD
        2100624.60000000
        0.315946865973
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2021-08-15
          Floating
          1.03000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        S6XOOCT0IEG5ABCC6L87
        Freddie Mac Non Gold Pool
        31349SD75
        
          
        
        10337.03000000
        PA
        USD
        10350.76000000
        0.001556817997
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2033-11-01
          Floating
          2.35000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Wells Fargo Home Equity Trust
        N/A
        Wells Fargo Home Equity Asset-Backed Securities 2005-3 Trust
        9497EMAH8
        
          
        
        3120622.25000000
        PA
        USD
        3113532.20000000
        0.468294401912
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2035-12-25
          Floating
          0.81000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        TEVA PHARMACEUTICALS NE
        5493004T21MOAFINJP35
        Teva Pharmaceutical Finance Netherlands III BV
        88167AAL5
        
          
        
        1100000.00000000
        PA
        USD
        1154164.00000000
        0.173593367715
        Long
        DBT
        CORP
        NL
        
        N
        
        2
        
          2024-04-15
          Fixed
          6.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Intercontinental Exchange, Inc.
        5493000F4ZO33MV32P92
        Long: SWPC0I305 CDS USD R F  1.00000 1 CCPCORPORATE / Short: SWPC0I305 CDS USD P V 03MEVENT 2 CCPCORPORATE
        000000000
        
          
        
        200000.00000000
        OU
        Notional Amount
        USD
        3523.18000000
        0.000529907951
        N/A
        DCR
        
        US
        N
        
        2
        
          
            
              Intercontinental Exchange, Inc.
              5493000F4ZO33MV32P92
            
            
              
                GENERAL ELECTRIC CO
                GENERAL ELECTRIC CO
                
                  
                  
                
              
            
            Y
            
            sell protection
            2024-06-20
            0.00000000
            USD
            -342.37000000
            USD
            200000.00000000
            USD
            3865.55000000
          
        
        
          N
          N
          N
        
      
      
        UniCredit SpA
        549300TRUWO2CD2G5692
        UniCredit SpA
        904678AG4
        
          
        
        4100000.00000000
        PA
        USD
        4713066.15000000
        0.708874150678
        Long
        DBT
        CORP
        IT
        N
        
        2
        
          2023-12-04
          Fixed
          7.83000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        United States Treasury
        254900HROIFWPRGM1V77
        United States Treasury Note/Bond
        9128282R0
        
          
        
        4800000.00000000
        PA
        USD
        5192625.02000000
        0.781002755678
        Long
        DBT
        UST
        US
        N
        
        2
        
          2027-08-15
          Fixed
          2.25000000
          N
          N
          N
        
        
          N
          N
          
        
      
      
        Countrywide Asset-Backed Certificates
        N/A
        CWABS Asset-Backed Certificates Trust 2005-17
        126670RD2
        
          
        
        1219470.48000000
        PA
        USD
        1213186.79000000
        0.182470758526
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2036-05-25
          Floating
          0.55000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        American Tower Corp
        5493006ORUSIL88JOE18
        American Tower Corp
        03027XAT7
        
          
        
        2200000.00000000
        PA
        USD
        2353498.27000000
        0.353980621992
        Long
        DBT
        
        US
        N
        
        2
        
          2024-05-15
          Fixed
          3.38000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Intercontinental Exchange, Inc.
        5493000F4ZO33MV32P92
        Long: SWPC0F0Z7 CDS EUR R F  1.00000 1 CCPCORPORATE / Short: SWPC0F0Z7 CDS EUR P V 03MEVENT 2 CCPCORPORATE
        000000000
        
          
        
        700000.00000000
        OU
        Notional Amount
        
        7447.18000000
        0.001120101698
        N/A
        DCR
        
        US
        N
        
        2
        
          
            
              Intercontinental Exchange, Inc.
              5493000F4ZO33MV32P92
            
            
              
                Tesco PLC
                Tesco PLC
                
                  
                
              
            
            Y
            
            sell protection
            2022-06-20
            0.00000000
            EUR
            -5422.21000000
            EUR
            700000.00000000
            EUR
            11155.02000000
          
        
        
          N
          N
          N
        
      
      
        Asset Backed Funding Certificates
        N/A
        ABFC 2004-OPT5 Trust
        04542BJY9
        
          
        
        123648.65000000
        PA
        USD
        121604.63000000
        0.018290084642
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2034-06-25
          Floating
          0.79000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Intercontinental Exchange, Inc.
        5493000F4ZO33MV32P92
        Long: BWPC0K0K9 CDS USD R V 03MEVENT 2 CCPCDX / Short: BWPC0K0K9 CDS USD P F  5.00000 1 CCPCDX
        000000000
        
          
        
        1100000.00000000
        OU
        Notional Amount
        USD
        -106973.52000000
        -0.01608947566
        N/A
        DCR
        
        US
        N
        
        2
        
          
            
              Intercontinental Exchange, Inc.
              5493000F4ZO33MV32P92
            
            
              
                Markit CDX.NA.HY.S36.V1
                2I65BRYP9
              
            
            Y
            buy protection
            
            2026-06-20
            0.00000000
            USD
            -99296.73000000
            USD
            1100000.00000000
            USD
            -7676.79000000
          
        
        
          N
          N
          N
        
      
      
        Intercontinental Exchange, Inc.
        5493000F4ZO33MV32P92
        Long: SWPC0JZ99 CDS USD R F  1.00000 1 CCPCDX / Short: SWPC0JZ99 CDS USD P V 03MEVENT 2 CCPCDX
        000000000
        
          
        
        6000000.00000000
        OU
        Notional Amount
        USD
        151284.63000000
        0.022754139277
        N/A
        DCR
        
        US
        N
        
        2
        
          
            
              Intercontinental Exchange, Inc.
              5493000F4ZO33MV32P92
            
            
              
                Markit CDX.NA.IG.S36.V1
                2I65BYDY8
              
            
            Y
            
            sell protection
            2026-06-20
            133913.41000000
            USD
            0.00000000
            USD
            6000000.00000000
            USD
            17371.22000000
          
        
        
          N
          N
          N
        
      
      
        AMERICAN TOWER CORP
        5493006ORUSIL88JOE18
        American Tower Corp
        03027XAZ3
        
          
        
        1800000.00000000
        PA
        USD
        1884154.28000000
        0.283388397801
        Long
        DBT
        
        US
        N
        
        2
        
          2025-03-15
          Fixed
          2.40000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        31375X2E8
        
          
        
        1025.72000000
        PA
        USD
        1030.53000000
        0.000154998053
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2026-01-01
          Floating
          2.44000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Government National Mortgage Association
        38376RLJ3
        
          
        
        650007.47000000
        PA
        USD
        654138.01000000
        0.098386381923
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2065-10-20
          Floating
          0.69000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Mountain View CLO Ltd
        549300XBX1AOMDRAHZ12
        Mountain View CLO 2014-1 Ltd
        62431XAU0
        
          
        
        38837.24000000
        PA
        USD
        38840.50000000
        0.005841850203
        Long
        ABS-CBDO
        CORP
        KY
        N
        
        2
        
          2026-10-15
          Floating
          0.93000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Intercontinental Exchange, Inc.
        5493000F4ZO33MV32P92
        Long: SWPC0FJ61 CDS USD R F  1.00000 1 CCPCORPORATE / Short: SWPC0FJ61 CDS USD P V 03MEVENT 2 CCPCORPORATE
        000000000
        
          
        
        1400000.00000000
        OU
        Notional Amount
        USD
        5832.25000000
        0.000877206288
        N/A
        DCR
        
        US
        N
        
        2
        
          
            
              Intercontinental Exchange, Inc.
              5493000F4ZO33MV32P92
            
            
              
                GOLDMAN SACHS GROUP INC
                GOLDMAN SACHS GROUP INC
                
                  
                  
                
              
            
            Y
            
            sell protection
            2021-12-20
            1552.59000000
            USD
            0.00000000
            USD
            1400000.00000000
            USD
            4279.66000000
          
        
        
          N
          N
          N
        
      
      
        BOEING CO
        RVHJWBXLJ1RFUBSY1F30
        Boeing Co/The
        097023DA0
        
          
        
        1900000.00000000
        PA
        USD
        1986585.41000000
        0.298794670061
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2026-02-01
          Fixed
          2.75000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae II Pool
        36202KLC7
        
          
        
        4779.51000000
        PA
        USD
        4859.97000000
        0.000730969393
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2024-05-20
          Floating
          2.88000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Chicago Board of Trade
        549300EX04Q2QBFQTQ27
        US 10YR NOTE (CBT)SEP21
        000000000
        
          
        
        706.00000000
        NC
        USD
        1666331.83000000
        0.250626560957
        N/A
        DIR
        
        US
        N
        
        1
        
          
            
              Chicago Board of Trade
              549300EX04Q2QBFQTQ27
            
            Long
            
              
                10 Year US Treasury Note
                TYU1 Comdty
              
            
            2021-09-21
            93257574.42000000
            USD
            1666331.83000000
          
        
        
          N
          N
          N
        
      
      
        United States Treasury
        254900HROIFWPRGM1V77
        United States Treasury Note/Bond
        912810QD3
        
          
        
        4900000.00000000
        PA
        USD
        6997621.11000000
        1.052485274607
        Long
        DBT
        UST
        US
        N
        
        2
        
          2039-11-15
          Fixed
          4.38000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        State of Illinois
        54930048FV8RWPR02D67
        ILLINOIS ST
        452152GS4
        
          
        
        1015000.00000000
        PA
        USD
        1336999.01000000
        0.201092878289
        Long
        DBT
        MUN
        US
        N
        
        2
        
          2035-07-01
          Fixed
          7.35000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Government National Mortgage Association
        38376RMG8
        
          
        
        3720497.61000000
        PA
        USD
        3793939.86000000
        0.570631900845
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2065-12-20
          Floating
          1.09000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FHLMC Structured Pass Through Securities
        S6XOOCT0IEG5ABCC6L87
        Freddie Mac Structured Pass-Through Certificates
        31395HHV5
        
          
        
        92427.28000000
        PA
        USD
        94782.47000000
        0.014255866729
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2044-10-25
          Floating
          1.31000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Countrywide Alternative Loan Trust
        N/A
        Alternative Loan Trust 2007-2CB
        02149HAN0
        
          
        
        143279.84000000
        PA
        USD
        111984.59000000
        0.016843171430
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2037-03-25
          Floating
          5.75000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        31376KS23
        
          
        
        18457.55000000
        PA
        USD
        20713.67000000
        0.003115463428
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2035-07-01
          Fixed
          6.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        United States Treasury
        254900HROIFWPRGM1V77
        United States Treasury Bill
        912796K24
        
          
        
        2800000.00000000
        PA
        USD
        2799962.09000000
        0.421131527823
        Long
        STIV
        UST
        US
        N
        
        2
        
          2021-08-17
          None
          0.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Tralee CLO Ltd
        54930005YIOSJ9Z81114
        Tralee CLO V Ltd
        89300JAA6
        
          
        
        2150344.08000000
        PA
        USD
        2150535.46000000
        0.323453766443
        Long
        ABS-CBDO
        CORP
        KY
        N
        
        2
        
          2028-10-20
          Floating
          1.24000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        ELO SACA
        969500ASEC557H5A4F22
        ELO SACA
        000000000
        
          
        
        1500000.00000000
        PA
        
        1989426.66000000
        0.299222011544
        Long
        DBT
        CORP
        FR
        Y
        
        2
        
          2026-01-29
          Fixed
          2.88000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        HarborView Mortgage Loan Trust
        N/A
        HarborView Mortgage Loan Trust 2006-6
        41161UAJ1
        
          
        
        24135.39000000
        PA
        USD
        24137.84000000
        0.003630479667
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2036-08-19
          Variable
          2.56000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        HP ENTERPRISE CO
        549300BX44RGX6ANDV88
        Hewlett Packard Enterprise Co
        42824CBB4
        
          
        
        1500000.00000000
        PA
        USD
        1500268.04000000
        0.225649545072
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2021-10-05
          Floating
          0.86000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        KUWAIT INTL BOND
        549300FSC1YD0D9XX589
        Kuwait International Government Bond
        000000000
        
          
        
        1400000.00000000
        PA
        USD
        1420546.40000000
        0.213658919852
        Long
        DBT
        NUSS
        KW
        Y
        
        2
        
          2022-03-20
          Fixed
          2.75000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Standard Chartered Bank
        RILFO74KP1CM8P6PCT96
        PURCHASED USD / SOLD EUR
        000000000
        
          
        
        1.00000000
        NC
        
        6592.31000000
        0.000991523989
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              Standard Chartered Bank
              RILFO74KP1CM8P6PCT96
            
            19580000.00000000
            EUR
            23235147.02000000
            USD
            2021-08-03
            6592.31000000
          
        
        
          N
          N
          N
        
      
      
        ALTICE FRANCE SA
        5493001ZMCICV4N02J21
        Altice France SA/France
        000000000
        
          
        
        1200000.00000000
        PA
        
        1503571.20000000
        0.226146360662
        Long
        DBT
        CORP
        FR
        N
        
        2
        
          2027-02-01
          Fixed
          5.88000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CHOICE HOTELS INTL INC
        5493003CYRY5RFGTIR97
        Choice Hotels International Inc
        169905AF3
        
          
        
        1400000.00000000
        PA
        USD
        1527918.00000000
        0.229808269200
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2029-12-01
          Fixed
          3.70000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Structured Asset Securities Corporation
        N/A
        Structured Asset Securities Corp Mortgage Pass-Through Ctfs Ser 2003-22A
        86359AYX5
        
          
        
        38213.71000000
        PA
        USD
        37563.44000000
        0.005649772521
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2033-06-25
          Variable
          2.34000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Intercontinental Exchange, Inc.
        5493000F4ZO33MV32P92
        Long: SWPC0JYY5 CDS USD R F  1.00000 FIX CORPORATE / Short: SWPC0JYY5 CDS USD P V 03MEVENT FLO CORPORATE
        000000000
        
          
        
        1600000.00000000
        OU
        Notional Amount
        USD
        22579.38000000
        0.003396077693
        N/A
        DCR
        
        US
        N
        
        2
        
          
            
              Intercontinental Exchange, Inc.
              5493000F4ZO33MV32P92
            
            
              
                GENERAL ELECTRIC CO
                GENERAL ELECTRIC CO
                
                  
                  
                
              
            
            Y
            
            sell protection
            2026-06-20
            9758.45000000
            USD
            0.00000000
            USD
            1600000.00000000
            USD
            12820.93000000
          
        
        
          N
          N
          N
        
      
      
        UMBS, TBA
        N/A
        Uniform Mortgage-Backed Security, TBA
        01F022691
        
          
        
        8500000.00000000
        PA
        USD
        8831035.14000000
        1.328242026580
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2051-08-15
          Fixed
          2.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase Bank, National Association
        7H6GLXDRUGQFU57RNE97
        PURCHASED USD / SOLD BRL
        000000000
        
          
        
        1.00000000
        NC
        
        -604846.25000000
        -0.09097259790
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              JPMorgan Chase Bank, National Association
              7H6GLXDRUGQFU57RNE97
            
            41700000.00000000
            BRL
            7331868.13000000
            USD
            2021-10-04
            -604846.25000000
          
        
        
          N
          N
          N
        
      
      
        OZLM Funding Ltd
        549300N3S0KISDY0OB05
        OZLM Funding Ltd
        67107UBC7
        
          
        
        2000000.00000000
        PA
        USD
        1999416.00000000
        0.300724469749
        Long
        ABS-CBDO
        CORP
        KY
        N
        
        2
        
          2029-07-22
          Floating
          1.11000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        AT&T INC
        549300Z40J86GGSTL398
        AT&T Inc
        00206RJY9
        
          
        
        1800000.00000000
        PA
        USD
        1896763.05000000
        0.285284834397
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2031-06-01
          Fixed
          2.75000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CHEVRON CORP
        N/A
        Chevron Corp
        166764BY5
        
          
        
        1800000.00000000
        PA
        USD
        1883738.63000000
        0.283325881484
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2030-05-11
          Fixed
          2.24000000
          N
          N
          N
        
        
          N
          N
          
        
      
      
        Credit Suisse Mortgage Trust
        N/A
        CSMC Series 2014-7R
        12648WAW2
        
          
        
        1700000.00000000
        PA
        USD
        1645747.56000000
        0.247530560084
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2036-10-27
          Variable
          0.24000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Chicago Mercantile Exchange
        SNZ2OJLFK8MNNCLQOF39
        Long: BWU017DS6 IRS BRL R V 00MBRCDI SWUV17DS8 CCPNDFPREDISWAP / Short: BWU017DS6 IRS BRL P F  2.85940 SWU017DS6 CCPNDFPREDISWAP
        000000000
        
          
        
        16000000.00000000
        OU
        Notional Amount
        
        41486.48000000
        0.006239821877
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              Chicago Mercantile Exchange
              SNZ2OJLFK8MNNCLQOF39
            
            
              
                N/A
                N/A
                
                  
                
              
            
            Y
            
              
                
              
            
            
            2022-01-03
            0.00000000
            BRL
            0.00000000
            BRL
            16000000.00000000
            BRL
            41486.48000000
          
        
        
          N
          N
          N
        
      
      
        Credit Suisse Group AG
        549300506SI9CRFV9Z86
        Credit Suisse Group AG
        225401AH1
        
          
        
        1800000.00000000
        PA
        USD
        1828031.42000000
        0.274947174307
        Long
        DBT
        CORP
        CH
        N
        
        2
        
          2024-06-12
          Floating
          1.36000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        NISSAN MOTOR ACCEPTANCE
        7D6DIU2QXTUJRFNNJA49
        Nissan Motor Acceptance Corp
        654740BD0
        
          
        
        500000.00000000
        PA
        USD
        509644.28000000
        0.076653635793
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2022-09-28
          Fixed
          2.60000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Cigna Corp
        549300VIWYMSIGT1U456
        Cigna Corp
        125523AC4
        
          
        
        1100000.00000000
        PA
        USD
        1114127.55000000
        0.167571639272
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2023-07-15
          Floating
          1.02000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Chicago Mercantile Exchange
        SNZ2OJLFK8MNNCLQOF39
        Long: BWU017HR4 IRS BRL R V 00MBRCDI SWUV17HR6 CCPNDFPREDISWAP / Short: BWU017HR4 IRS BRL P F  2.86000 SWU017HR4 CCPNDFPREDISWAP
        000000000
        
          
        
        9100000.00000000
        OU
        Notional Amount
        
        24035.55000000
        0.003615094622
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              Chicago Mercantile Exchange
              SNZ2OJLFK8MNNCLQOF39
            
            
              
                N/A
                N/A
                
                  
                
              
            
            Y
            
              
                
              
            
            
            2022-01-03
            0.00000000
            BRL
            -22.09000000
            BRL
            9100000.00000000
            BRL
            24039.48000000
          
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        S6XOOCT0IEG5ABCC6L87
        Freddie Mac Non Gold Pool
        3128NHK36
        
          
        
        6604.81000000
        PA
        USD
        6895.60000000
        0.001037140671
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2035-09-01
          Floating
          1.95000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3138A8XB7
        
          
        
        117964.56000000
        PA
        USD
        126102.28000000
        0.018966558878
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2026-02-01
          Fixed
          3.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Republic of Peru
        254900STKLK2DBJJZ530
        Peruvian Government International Bond
        715638BX9
        
          
        
        6200000.00000000
        PA
        
        1557863.94000000
        0.234312322847
        Long
        DBT
        NUSS
        PE
        N
        
        2
        
          2029-02-12
          Fixed
          5.94000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        SHELL INTERNATIONAL FIN
        213800ITMMKU4Z7I4F78
        Shell International Finance BV
        822582CG5
        
          
        
        1600000.00000000
        PA
        USD
        1725916.11000000
        0.259588403319
        Long
        DBT
        CORP
        NL
        N
        
        2
        
          2030-04-06
          Fixed
          2.75000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Bear Stearns Alt-A Trust
        N/A
        Bear Stearns ALT-A Trust 2006-6
        073868AV3
        
          
        
        586370.85000000
        PA
        USD
        442600.46000000
        0.066569832713
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2036-11-25
          Variable
          3.10000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        United States Treasury
        254900HROIFWPRGM1V77
        United States Treasury Note/Bond
        912810RH3
        
          
        
        10800000.00000000
        PA
        USD
        13369640.65000000
        2.010876223464
        Long
        DBT
        UST
        US
        N
        
        2
        
          2044-08-15
          Fixed
          3.13000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Structured Asset Mortgage Investments Inc
        N/A
        Structured Asset Mortgage Investments II Trust 2005-AR5
        86359LPF0
        
          
        
        20546.10000000
        PA
        USD
        20824.36000000
        0.003132111886
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2035-07-19
          Floating
          0.59000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Towd Point Mortgage Funding
        N/A
        Towd Point Mortgage Funding
        000000000
        
          
        
        4661440.00000000
        PA
        
        6498053.47000000
        0.977347227475
        Long
        ABS-MBS
        CORP
        GB
        N
        
        2
        
          2045-07-20
          Floating
          0.95000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        LCH Limited
        F226TOH6YD6XJB17KS62
        Long: BWU00KXL1 IRS JPY R V 06MLIBOR SWUV0KXL3 CCPVANILLA / Short: BWU00KXL1 IRS JPY P F   .45000 SWU00KXL1 CCPVANILLA
        000000000
        
          
        
        440000000.00000000
        OU
        Notional Amount
        
        -145966.69000000
        -0.02195428837
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              LCH Limited
              F226TOH6YD6XJB17KS62
            
            
              
                N/A
                N/A
                
                  
                
              
            
            Y
            
              
                
              
            
            
            2029-03-20
            0.00000000
            JPY
            -2525252.00000000
            JPY
            440000000.00000000
            JPY
            -123003.87000000
          
        
        
          N
          N
          N
        
      
      
        Bear Stearns Asset Backed Securities Trust
        N/A
        Bear Stearns Asset Backed Securities I Trust 2005-AQ1
        073879UP1
        
          
        
        631527.99000000
        PA
        USD
        631314.09000000
        0.094953523909
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2035-03-25
          Floating
          1.06000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        INTL FLAVOR & FRAGRANCES
        BZLRL03D3GPGMOGFO832
        International Flavors & Fragrances Inc
        459506AQ4
        
          
        
        1600000.00000000
        PA
        USD
        1635301.81000000
        0.245959455007
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2030-11-01
          Fixed
          2.30000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        WYNN LAS VEGAS LLC/CORP
        N/A
        Wynn Las Vegas LLC / Wynn Las Vegas Capital Corp
        983130AU9
        
          
        
        1500000.00000000
        PA
        USD
        1537500.00000000
        0.231249460962
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2023-05-30
          Fixed
          4.25000000
          N
          N
          N
        
        
          N
          N
          
        
      
      
        HSBC Bank USA, National Association
        1IE8VN30JCEQV1H4R804
        PURCHASED USD / SOLD JPY
        000000000
        
          
        
        1.00000000
        NC
        
        -2206.40000000
        -0.00033185613
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              HSBC Bank USA, National Association
              1IE8VN30JCEQV1H4R804
            
            31400000.00000000
            JPY
            284053.88000000
            USD
            2021-08-17
            -2206.40000000
          
        
        
          N
          N
          N
        
      
      
        Countrywide Asset-Backed Certificates
        N/A
        CWABS Asset-Backed Certificates Trust 2006-14
        23243LAA0
        
          
        
        660054.40000000
        PA
        USD
        632505.71000000
        0.095132750889
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2037-02-25
          Floating
          0.23000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Citibank, National Association
        E57ODZWZ7FF32TWEFA76
        PURCHASED USD / SOLD ILS
        000000000
        
          
        
        1.00000000
        NC
        
        -4921.46000000
        -0.00074021786
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              Citibank, National Association
              E57ODZWZ7FF32TWEFA76
            
            5501100.00000000
            ILS
            1699680.22000000
            USD
            2021-11-30
            -4921.46000000
          
        
        
          N
          N
          N
        
      
      
        Intercontinental Exchange, Inc.
        5493000F4ZO33MV32P92
        Long: SWPC0JJ30 CDS USD R F  1.00000 1 CCPCDX / Short: SWPC0JJ30 CDS USD P V 03MEVENT 2 CCPCDX
        000000000
        
          
        
        100000.00000000
        OU
        Notional Amount
        USD
        2505.61000000
        0.000376859162
        N/A
        DCR
        
        US
        N
        
        2
        
          
            
              Intercontinental Exchange, Inc.
              5493000F4ZO33MV32P92
            
            
              
                Markit CDX.NA.IG.S35.V1
                2I65BYDX0
              
            
            Y
            
            sell protection
            2025-12-20
            1697.74000000
            USD
            0.00000000
            USD
            100000.00000000
            USD
            807.87000000
          
        
        
          N
          N
          N
        
      
      
        Credit Suisse First Boston Mortgage Securities
        N/A
        Credit Suisse First Boston Mortgage Securities Corp
        22540VK43
        
          
        
        160.02000000
        PA
        USD
        152.60000000
        0.000022951979
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2032-03-25
          Variable
          0.71000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        S6XOOCT0IEG5ABCC6L87
        Freddie Mac Non Gold Pool
        31349SNK5
        
          
        
        23862.37000000
        PA
        USD
        25390.63000000
        0.003818906992
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2034-03-01
          Floating
          2.36000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3140X5LD3
        
          
        
        34231.08000000
        PA
        USD
        35630.89000000
        0.005359105109
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2026-09-01
          Fixed
          5.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Wells Fargo Mortgage Backed Securities Trust
        N/A
        Wells Fargo Mortgage Backed Securities 2006-AR1 Trust
        94983JAF9
        
          
        
        465548.86000000
        PA
        USD
        431353.23000000
        0.064878180111
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2036-03-25
          Variable
          2.71000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Barclays Bank PLC
        G5GSEF7VJP5I7OUK5573
        PURCHASED USD / SOLD GBP
        000000000
        
          
        
        1.00000000
        NC
        
        -1745.06000000
        -0.00026246776
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              Barclays Bank PLC
              G5GSEF7VJP5I7OUK5573
            
            473000.00000000
            GBP
            655752.92000000
            USD
            2021-08-17
            -1745.06000000
          
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae I Pool
        3617LC4N5
        
          
        
        462386.24000000
        PA
        USD
        483673.64000000
        0.072747491728
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2049-11-15
          Fixed
          3.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Countrywide Alternative Loan Trust
        N/A
        Alternative Loan Trust 2006-OC7
        23243VAC4
        
          
        
        22918.03000000
        PA
        USD
        70159.76000000
        0.010552459630
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2046-07-25
          Floating
          0.43000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CITIGROUP INC
        6SHGI4ZSSLCXXQSBB395
        Citigroup Inc
        172967MS7
        
          
        
        1800000.00000000
        PA
        USD
        1862099.89000000
        0.280071281834
        Long
        DBT
        CORP
        US
        Y
        
        2
        
          2031-06-03
          Fixed
          2.57000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Chicago Mercantile Exchange
        SNZ2OJLFK8MNNCLQOF39
        Long: BWU017F05 IRS BRL R V 00MBRCDI SWUV17F07 CCPNDFPREDISWAP / Short: BWU017F05 IRS BRL P F  2.87050 SWU017F05 CCPNDFPREDISWAP
        000000000
        
          
        
        9000000.00000000
        OU
        Notional Amount
        
        23276.60000000
        0.003500943871
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              Chicago Mercantile Exchange
              SNZ2OJLFK8MNNCLQOF39
            
            
              
                N/A
                N/A
                
                  
                
              
            
            Y
            
              
                
              
            
            
            2022-01-03
            0.00000000
            BRL
            0.00000000
            BRL
            9000000.00000000
            BRL
            23276.60000000
          
        
        
          N
          N
          N
        
      
      
        WELLS FARGO & COMPANY
        PBLD0EJDB5FWOLXP3B76
        Wells Fargo & Co
        95000U2T9
        
          
        
        1600000.00000000
        PA
        USD
        1602869.15000000
        0.241081383369
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2025-05-19
          Fixed
          0.81000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        31418CMZ4
        
          
        
        157204.21000000
        PA
        USD
        167837.19000000
        0.025243746157
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2027-07-01
          Fixed
          3.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        ODBRCHT OFFSHRE DRLL FIN
        549300L7LF2PIRAWID66
        Odebrecht Offshore Drilling Finance Ltd
        67576GAD9
        
          
        
        2091593.00000000
        PA
        USD
        509804.88000000
        0.076677791021
        Long
        DBT
        CORP
        KY
        
        N
        
        2
        
          2026-12-01
          Fixed
          7.72000000
          N
          N
          Y
        
        
          N
          N
          N
        
      
      
        ODEBRECHT OIL & FINANCE
        N/A
        Odebrecht Oil & Gas Finance Ltd
        67576JAB7
        
          
        
        266175.00000000
        PA
        USD
        2664.41000000
        0.000400743659
        Long
        DBT
        CORP
        KY
        
        N
        
        2
        
          2021-08-30
          None
          0.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        United States Treasury
        254900HROIFWPRGM1V77
        United States Treasury Note/Bond
        912810SP4
        
          
        
        14000000.00000000
        PA
        USD
        12292109.34000000
        1.848808883882
        Long
        DBT
        UST
        US
        N
        
        2
        
          2050-08-15
          Fixed
          1.38000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        NTT FINANCE CORP
        3538007PR116187GD960
        NTT Finance Corp
        62954WAB1
        
          
        
        2000000.00000000
        PA
        USD
        2001016.10000000
        0.300965134635
        Long
        DBT
        CORP
        JP
        N
        
        2
        
          2024-03-01
          Fixed
          0.58000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        NOMURA HOLDINGS INC
        549300B3CEAHYG7K8164
        Nomura Holdings Inc
        65535HAS8
        
          
        
        1200000.00000000
        PA
        USD
        1227976.79000000
        0.184695265536
        Long
        DBT
        CORP
        JP
        N
        
        2
        
          2030-07-16
          Fixed
          2.68000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Small Business Administration Participation Certs
        N/A
        United States Small Business Administration
        83162CNQ2
        
          
        
        15407.46000000
        PA
        USD
        15887.36000000
        0.002389556706
        Long
        ABS-O
        USGA
        US
        N
        
        2
        
          2024-03-01
          Fixed
          4.34000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        ISRAEL FLOATING RATE
        213800T8ZHTFZIBYPE21
        Israel Government Bond - FRN
        000000000
        
          
        
        15200000.00000000
        PA
        
        4701772.62000000
        0.707175534272
        Long
        DBT
        NUSS
        IL
        N
        
        2
        
          2021-11-30
          Floating
          0.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Citigroup Mortgage Loan Trust Inc
        N/A
        Citigroup Mortgage Loan Trust 2007-FS1
        17313EAA3
        
          
        
        550389.30000000
        PA
        USD
        574122.97000000
        0.086351627537
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2037-10-25
          Variable
          4.41000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        SMBC AVIATION CAPITAL FI
        549300OD7VKRVNWB2J98
        SMBC Aviation Capital Finance DAC
        78448TAD4
        
          
        
        1800000.00000000
        PA
        USD
        1910086.85000000
        0.287288815905
        Long
        DBT
        CORP
        IE
        N
        
        2
        
          2023-07-15
          Fixed
          4.13000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Bayer US Finance II LLC
        529900XWNEXYNJ3X6T40
        Bayer US Finance II LLC
        07274NAG8
        
          
        
        2200000.00000000
        PA
        USD
        2228868.36000000
        0.335235516622
        Long
        DBT
        CORP
        US
        
        N
        
        2
        
          2023-12-15
          Floating
          1.13000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        AGREE LP
        549300DXY3G299V1BO77
        Agree LP
        008513AA1
        
          
        
        1600000.00000000
        PA
        USD
        1699304.51000000
        0.255585854926
        Long
        DBT
        
        US
        N
        
        2
        
          2030-10-01
          Fixed
          2.90000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        IMPERIAL BRANDS FIN PLC
        2138008L3B3MCG1DFS50
        Imperial Brands Finance PLC
        453140AE5
        
          
        
        297000.00000000
        PA
        USD
        304348.89000000
        0.045775945858
        Long
        DBT
        CORP
        GB
        N
        
        2
        
          2022-07-21
          Fixed
          3.75000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        1211 Avenue of the Americas Trust
        N/A
        1211 Avenue of the Americas Trust 2015-1211
        90117PAA3
        
          
        
        1600000.00000000
        PA
        USD
        1755060.00000000
        0.263971823711
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2035-08-10
          Fixed
          3.90000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Deutsche Alt-A Securities INC Mortgage Loan Trust
        N/A
        Deutsche Alt-A Securities Inc Mortgage Loan Trust Series 2005-6
        251510KH5
        
          
        
        163955.49000000
        PA
        USD
        163110.17000000
        0.024532773261
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2035-12-25
          Fixed
          5.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Intercontinental Exchange, Inc.
        5493000F4ZO33MV32P92
        Long: SWPC0JZ73 CDS EUR R F  5.00000 1 CCPITRAXX / Short: SWPC0JZ73 CDS EUR P V 03MEVENT 2 CCPITRAXX
        000000000
        
          
        
        15100000.00000000
        OU
        Notional Amount
        
        2256374.45000000
        0.339372601816
        N/A
        DCR
        
        US
        N
        
        2
        
          
            
              Intercontinental Exchange, Inc.
              5493000F4ZO33MV32P92
            
            
              
                iTraxx Europe Crossover S35.V1
                2I667KJN9
              
            
            Y
            
            sell protection
            2026-06-20
            1664789.20000000
            EUR
            0.00000000
            EUR
            15100000.00000000
            EUR
            279279.10000000
          
        
        
          N
          N
          N
        
      
      
        Chicago Mercantile Exchange
        SNZ2OJLFK8MNNCLQOF39
        Long: SWU017WB2 IRS BRL R F  3.34500 SWU017WB2 CCPNDFPREDISWAP / Short: SWU017WB2 IRS BRL P V 00MBRCDI SWUV17WB4 CCPNDFPREDISWAP
        000000000
        
          
        
        2300000.00000000
        OU
        Notional Amount
        
        -4355.97000000
        -0.00065516469
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              Chicago Mercantile Exchange
              SNZ2OJLFK8MNNCLQOF39
            
            
              
                N/A
                N/A
                
                  
                
              
            
            Y
            
            
              
                
              
            
            2022-01-03
            0.00000000
            BRL
            0.00000000
            BRL
            2300000.00000000
            BRL
            -4355.97000000
          
        
        
          N
          N
          N
        
      
      
        MIZUHO FINANCIAL GROUP
        353800CI5L6DDAN5XZ33
        Mizuho Financial Group Inc
        60687YAS8
        
          
        
        2100000.00000000
        PA
        USD
        2245102.50000000
        0.337677231174
        Long
        DBT
        CORP
        JP
        N
        
        2
        
          2024-09-11
          Fixed
          3.92000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        A10 Securitization
        N/A
        A10 Bridge Asset Financing 2020-C LLC
        66981EAA1
        
          
        
        1185208.71000000
        PA
        USD
        1190892.85000000
        0.179117612765
        Long
        ABS-CBDO
        CORP
        US
        N
        
        2
        
          2040-08-15
          Fixed
          2.02000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3138A42V6
        
          
        
        543431.07000000
        PA
        USD
        580301.17000000
        0.087280866834
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2026-02-01
          Fixed
          3.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Hawksmoor Mortgages plc
        N/A
        Hawksmoor Mortgages
        000000000
        
          
        
        5188075.89000000
        PA
        
        7242670.01000000
        1.089342137068
        Long
        ABS-MBS
        CORP
        GB
        N
        
        2
        
          2053-05-25
          Floating
          1.10000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        LETRA TESOURO NACIONAL
        254900ZFY40OYEADAP90
        Brazil Letras do Tesouro Nacional
        000000000
        
          
        
        128600000.00000000
        PA
        
        24471754.19000000
        3.680702416421
        Long
        DBT
        NUSS
        BR
        N
        
        2
        
          2021-10-01
          None
          0.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Citigroup Mortgage Loan Trust Inc
        549300R1KUK063S4I339
        Citigroup Mortgage Loan Trust Inc
        17307GXQ6
        
          
        
        17735.91000000
        PA
        USD
        18503.39000000
        0.002783023716
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2035-09-25
          Floating
          2.21000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Chicago Mercantile Exchange
        SNZ2OJLFK8MNNCLQOF39
        Long: SWU019650 IRS BRL R F  3.97750 SWU019650 CCPNDFPREDISWAP / Short: SWU019650 IRS BRL P V 00MBRCDI SWUV19652 CCPNDFPREDISWAP
        000000000
        
          
        
        24000000.00000000
        OU
        Notional Amount
        
        -30686.64000000
        -0.00461545948
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              Chicago Mercantile Exchange
              SNZ2OJLFK8MNNCLQOF39
            
            
              
                N/A
                N/A
                
                  
                
              
            
            Y
            
            
              
                
              
            
            2022-01-03
            0.00000000
            BRL
            0.00000000
            BRL
            24000000.00000000
            BRL
            -30686.64000000
          
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3140X5A29
        
          
        
        40671.06000000
        PA
        USD
        42359.23000000
        0.006371088848
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2026-08-01
          Fixed
          5.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Bluemountain CLO Ltd
        549300KGXMRFX2DKIX03
        BlueMountain CLO 2013-2 Ltd
        09626YAN0
        
          
        
        1499990.04000000
        PA
        USD
        1501106.03000000
        0.225775583925
        Long
        ABS-CBDO
        CORP
        KY
        N
        
        2
        
          2030-10-22
          Floating
          1.32000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        HSBC Bank USA, National Association
        1IE8VN30JCEQV1H4R804
        PURCHASED USD / SOLD JPY
        000000000
        
          
        
        1.00000000
        NC
        
        2414.45000000
        0.000363148137
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              HSBC Bank USA, National Association
              1IE8VN30JCEQV1H4R804
            
            27763198.00000000
            JPY
            255519.57000000
            USD
            2021-08-17
            2414.45000000
          
        
        
          N
          N
          N
        
      
      
        Banc of America Funding Corporation
        N/A
        Banc of America Funding 2006-4 Trust
        05950FAM7
        
          
        
        596359.35000000
        PA
        USD
        567385.89000000
        0.085338329248
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2036-07-25
          Fixed
          6.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        DOLP Trust
        N/A
        DOLP Trust 2021-NYC
        23345LAA7
        
          
        
        1600000.00000000
        PA
        USD
        1728341.44000000
        0.259953187876
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2041-05-10
          Fixed
          2.96000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        State of Qatar
        52990074F6OJOAXK4P65
        Qatar Government International Bond
        000000000
        
          
        
        2100000.00000000
        PA
        USD
        2422875.00000000
        0.364415309092
        Long
        DBT
        NUSS
        QA
        Y
        
        2
        
          2029-03-14
          Fixed
          4.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Suntory Holdings Ltd
        54930074QUY8RD0UZM08
        Suntory Holdings Ltd
        86803UAC5
        
          
        
        1600000.00000000
        PA
        USD
        1627668.13000000
        0.244811302561
        Long
        DBT
        CORP
        JP
        N
        
        2
        
          2022-06-28
          Fixed
          2.55000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        HYUNDAI CAPITAL AMERICA
        549300RIPPWJB5Z0FK07
        Hyundai Capital America
        44891ABU0
        
          
        
        1600000.00000000
        PA
        USD
        1600780.14000000
        0.240767183411
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2023-04-03
          Fixed
          0.80000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        10 RENEW POWER SUBSIDIAR
        N/A
        ReNew Wind Energy AP2 / ReNew Power Pvt Ltd other 9 Subsidiaries
        75973PAA7
        
          
        
        1600000.00000000
        PA
        USD
        1612701.57000000
        0.242560239841
        Long
        DBT
        CORP
        IN
        N
        
        2
        
          2028-07-14
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          
        
      
      
        FORD MOTOR CREDIT CO LLC
        UDSQCVRUX5BONN0VY111
        Ford Motor Credit Co LLC
        000000000
        
          
        
        1400000.00000000
        PA
        
        1642358.12000000
        0.247020767452
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2023-11-15
          Floating
          0.19000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CONAGRA BRANDS INC
        54930035UDEIH090K650
        Conagra Brands Inc
        205887CF7
        
          
        
        1600000.00000000
        PA
        USD
        1573659.09000000
        0.236688010602
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2027-11-01
          Fixed
          1.38000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        VOLKSWAGEN BANK GMBH
        529900GJD3OQLRZCKW37
        Volkswagen Bank GmbH
        000000000
        
          
        
        1200000.00000000
        PA
        
        1594403.93000000
        0.239808162191
        Long
        DBT
        CORP
        DE
        Y
        
        2
        
          2026-07-31
          Fixed
          2.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        United States Treasury
        254900HROIFWPRGM1V77
        United States Treasury Note/Bond
        912810SA7
        
          
        
        7800000.00000000
        PA
        USD
        9619289.08000000
        1.446800269654
        Long
        DBT
        UST
        US
        N
        
        2
        
          2048-02-15
          Fixed
          3.00000000
          N
          N
          N
        
        
          N
          N
          
        
      
      
        Republic of Peru
        254900STKLK2DBJJZ530
        Peruvian Government International Bond
        000000000
        
          
        
        1000000.00000000
        PA
        
        258243.56000000
        0.038841420518
        Long
        DBT
        NUSS
        PE
        Y
        
        2
        
          2028-08-12
          Fixed
          6.35000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Small Business Administration Participation Certs
        N/A
        United States Small Business Administration
        83162CNF6
        
          
        
        1641.52000000
        PA
        USD
        1695.65000000
        0.000255036194
        Long
        ABS-O
        USGA
        US
        N
        
        2
        
          2023-09-01
          Fixed
          5.13000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BROADCOM INC
        549300WV6GIDOZJTV909
        Broadcom Inc
        11135FAS0
        
          
        
        1400000.00000000
        PA
        USD
        1614795.62000000
        0.242875197847
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2032-11-15
          Fixed
          4.30000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Structured Asset Mortgage Investments Inc
        N/A
        Structured Asset Mortgage Investments II Trust 2005-AR8
        86359LRW1
        
          
        
        170775.82000000
        PA
        USD
        163759.21000000
        0.024630392871
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2036-02-25
          Floating
          0.65000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Citibank, National Association
        E57ODZWZ7FF32TWEFA76
        PURCHASED USD / SOLD PEN
        000000000
        
          
        
        1.00000000
        NC
        
        46196.37000000
        0.006948218316
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              Citibank, National Association
              E57ODZWZ7FF32TWEFA76
            
            2539221.30000000
            PEN
            671343.18000000
            USD
            2021-09-02
            46196.37000000
          
        
        
          N
          N
          N
        
      
      
        Bear Stearns Structured Products Inc.
        N/A
        Bear Stearns Structured Products Inc Trust 2007-R6
        07402FAA3
        
          
        
        65562.99000000
        PA
        USD
        55532.42000000
        0.008352417685
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2036-01-26
          Variable
          2.76000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        NATIONAL RETAIL PROP INC
        5493008JKH5SOTI0JS97
        National Retail Properties Inc
        637417AK2
        
          
        
        1600000.00000000
        PA
        USD
        1745883.57000000
        0.262591632173
        Long
        DBT
        
        US
        N
        
        2
        
          2027-10-15
          Fixed
          3.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Oracle Corp
        1Z4GXXU7ZHVWFCD8TV52
        Oracle Corp
        68389XBY0
        
          
        
        1300000.00000000
        PA
        USD
        1390534.85000000
        0.209144998056
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2060-04-01
          Fixed
          3.85000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        SOCIETE GENERALE
        O2RNE8IBXP4R0TD8PU41
        Societe Generale SA
        83368RAL6
        
          
        
        1800000.00000000
        PA
        USD
        1931868.31000000
        0.290564881520
        Long
        DBT
        CORP
        FR
        N
        
        2
        
          2023-09-14
          Fixed
          4.25000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Dorchester Park CLO Ltd
        549300UGHN2HEE8W3M89
        Dorchester Park CLO DAC
        25820NAA2
        
          
        
        789390.81000000
        PA
        USD
        790000.22000000
        0.118820894331
        Long
        ABS-CBDO
        CORP
        IE
        
        N
        
        2
        
          2028-04-20
          Floating
          1.03000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Chicago Mercantile Exchange
        SNZ2OJLFK8MNNCLQOF39
        Long: BWU017DB3 IRS BRL R V 00MBRCDI SWUV17DB5 CCPNDFPREDISWAP / Short: BWU017DB3 IRS BRL P F  2.88250 SWU017DB3 CCPNDFPREDISWAP
        000000000
        
          
        
        2000000.00000000
        OU
        Notional Amount
        
        5084.33000000
        0.000764714518
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              Chicago Mercantile Exchange
              SNZ2OJLFK8MNNCLQOF39
            
            
              
                N/A
                N/A
                
                  
                
              
            
            Y
            
              
                
              
            
            
            2022-01-03
            0.00000000
            BRL
            0.00000000
            BRL
            2000000.00000000
            BRL
            5084.33000000
          
        
        
          N
          N
          N
        
      
      
        Bear Stearns Asset Backed Securities Trust
        N/A
        Bear Stearns Asset Backed Securities Trust 2002-2
        07384YEM4
        
          
        
        2205.72000000
        PA
        USD
        2195.55000000
        0.000330224230
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2032-10-25
          Floating
          0.75000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        AMER AIRLINE 16-1 AA PTT
        N/A
        American Airlines 2016-1 Class AA Pass Through Trust
        02376UAA3
        
          
        
        1447556.91000000
        PA
        USD
        1485562.95000000
        0.223437809049
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2028-01-15
          Fixed
          3.58000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        PACIFIC GAS & ELECTRIC
        1HNPXZSMMB7HMBMVBS46
        Pacific Gas and Electric Co
        694308JP3
        
          
        
        1800000.00000000
        PA
        USD
        1846166.99000000
        0.277674875632
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2026-01-01
          Fixed
          3.15000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Barclays PLC
        213800LBQA1Y9L22JB70
        Barclays PLC
        06738EAS4
        
          
        
        1100000.00000000
        PA
        USD
        1115619.16000000
        0.167795986594
        Long
        DBT
        CORP
        GB
        N
        
        2
        
          2023-01-10
          Fixed
          3.68000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        United States Treasury
        254900HROIFWPRGM1V77
        United States Treasury Note/Bond
        912810ST6
        
          
        
        19700000.00000000
        PA
        USD
        18293296.88000000
        2.751424418035
        Long
        DBT
        UST
        US
        N
        
        2
        
          2040-11-15
          Fixed
          1.38000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Structured Asset Investment Loan Trust
        N/A
        Structured Asset Investment Loan Trust 2004-7
        86358EKL9
        
          
        
        572808.14000000
        PA
        USD
        570475.89000000
        0.085803084263
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2034-08-25
          Floating
          1.14000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Residential Funding Mtg Sec I
        N/A
        RFMSI Series 2003-S9 Trust
        76111JZ72
        
          
        
        405.19000000
        PA
        USD
        421.33000000
        0.000063370624
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2032-03-25
          Fixed
          6.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        United States Treasury
        254900HROIFWPRGM1V77
        United States Treasury Note/Bond
        912828L24
        
          
        
        4000000.00000000
        PA
        USD
        4077031.24000000
        0.613210586392
        Long
        DBT
        UST
        US
        N
        
        2
        
          2022-08-31
          Fixed
          1.88000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        UMBS, TBA
        N/A
        Uniform Mortgage-Backed Security, TBA
        01F032690
        
          
        
        11000000.00000000
        PA
        USD
        11633359.43000000
        1.749728843819
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2051-09-15
          Fixed
          3.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Morgan Stanley Mortgage Loan Trust
        549300NAJR4EOJG3S510
        Morgan Stanley Mortgage Loan Trust 2007-8XS
        61754PAA2
        
          
        
        155463.08000000
        PA
        USD
        101262.87000000
        0.015230558766
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2037-04-25
          Variable
          5.75000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Goldman Sachs International
        W22LROWP2IHZNBB6K528
        Long: SWPC0HXN4 CDS USD R F  1.00000 FIX CORPORATE / Short: SWPC0HXN4 CDS USD P V 03MEVENT FLO CORPORATE
        000000000
        
          
        
        1900000.00000000
        OU
        Notional Amount
        USD
        -18592.41000000
        -0.00279641287
        N/A
        DCR
        
        GB
        N
        
        2
        
          
            
              Goldman Sachs International
              W22LROWP2IHZNBB6K528
            
            
              
                REPUBLIC OF SOUTH AFRICA
                REPUBLIC OF SOUTH AFRICA
                
                  
                  
                
              
            
            Y
            
            sell protection
            2024-06-20
            0.00000000
            USD
            -43729.76000000
            USD
            1900000.00000000
            USD
            25137.35000000
          
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        S6XOOCT0IEG5ABCC6L87
        Freddie Mac Non Gold Pool
        3128QJGY6
        
          
        
        33275.59000000
        PA
        USD
        33535.50000000
        0.005043945559
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2035-09-01
          Floating
          2.46000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Anchorage Capital CLO LTD
        5493008M7D1YIDOH2C69
        Anchorage Capital Clo 16 Ltd
        03330WAA2
        
          
        
        1300000.00000000
        PA
        USD
        1300854.10000000
        0.195656461408
        Long
        ABS-CBDO
        CORP
        KY
        N
        
        2
        
          2031-10-20
          Floating
          1.53000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CHARTER COMM OPT LLC/CAP
        N/A
        Charter Communications Operating LLC / Charter Communications Operating Capital
        161175BB9
        
          
        
        600000.00000000
        PA
        USD
        619302.86000000
        0.093146961006
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2022-07-23
          Fixed
          4.46000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        SITKA HOLDINGS L
        N/A
        Sitka Holdings LLC
        82987VAA4
        
          
        
        1700000.00000000
        PA
        USD
        1710257.14000000
        0.257233197874
        Long
        DBT
        CORP
        KY
        
        N
        
        2
        
          2026-07-06
          Floating
          5.25000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae REMICS
        31393Y5Y7
        
          
        
        191657.77000000
        PA
        USD
        34798.19000000
        0.005233861905
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2034-07-25
          Floating
          7.01000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BROADCOM INC
        549300WV6GIDOZJTV909
        Broadcom Inc
        11135FBD2
        
          
        
        500000.00000000
        PA
        USD
        596368.24000000
        0.089697453031
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2030-04-15
          Fixed
          5.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Bank of America, National Association
        B4TYDEB6GKMZO031MB27
        PURCHASED PEN / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        -29881.07000000
        -0.00449429680
        N/A
        DFE
        
        PE
        N
        
        2
        
          
            
              Bank of America, National Association
              B4TYDEB6GKMZO031MB27
            
            753761.83000000
            USD
            2940048.00000000
            PEN
            2021-08-11
            -29881.07000000
          
        
        
          N
          N
          N
        
      
      
        Specialty Underwriting & Residential Finance
        N/A
        Specialty Underwriting & Residential Finance Trust Series 2004-BC2
        84751PCK3
        
          
        
        1418205.59000000
        PA
        USD
        1409888.24000000
        0.212055867003
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2035-05-25
          Floating
          0.91000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        LCH Limited
        F226TOH6YD6XJB17KS62
        Long: BWU016HE5 IRS JPY R V 06MLIBOR SWUV16HE7 CCPVANILLA / Short: BWU016HE5 IRS JPY P F   .35000 SWU016HE5 CCPVANILLA
        000000000
        
          
        
        66000000.00000000
        OU
        Notional Amount
        
        14663.89000000
        0.002205539289
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              LCH Limited
              F226TOH6YD6XJB17KS62
            
            
              
                N/A
                N/A
                
                  
                
              
            
            Y
            
              
                
              
            
            
            2051-03-17
            3898253.00000000
            JPY
            0.00000000
            JPY
            66000000.00000000
            JPY
            -21217.06000000
          
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        S6XOOCT0IEG5ABCC6L87
        Freddie Mac Gold Pool
        3128P7AV5
        
          
        
        1240.73000000
        PA
        USD
        1335.57000000
        0.000200877946
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2025-08-01
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        SOUTHERN POWER CO
        5LADC78JBG2BMZD5XF57
        Southern Power Co
        843646AW0
        
          
        
        1700000.00000000
        PA
        USD
        1685015.27000000
        0.253436665301
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2026-01-15
          Fixed
          0.90000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Dryden Senior Loan Fund
        549300KYL9TWDEEU3W90
        Dryden XXV Senior Loan Fund
        26250JAS9
        
          
        
        1145469.81000000
        PA
        USD
        1145688.59000000
        0.172318613898
        Long
        ABS-CBDO
        CORP
        KY
        N
        
        2
        
          2027-10-15
          Floating
          1.03000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FORD MOTOR CREDIT CO LLC
        UDSQCVRUX5BONN0VY111
        Ford Motor Credit Co LLC
        000000000
        
          
        
        1500000.00000000
        PA
        
        1821210.85000000
        0.273921318609
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2024-07-19
          Fixed
          1.74000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        ISRAEL MAKAM BILL
        M8LYVLF5DOB9X0LZOW72
        Bank of Israel Bill - Makam
        000000000
        
          
        
        5400000.00000000
        PA
        
        1670533.64000000
        0.251258539037
        Long
        STIV
        NUSS
        IL
        N
        
        2
        
          2022-04-06
          None
          0.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        JP Morgan Mortgage Acquisition Corp
        N/A
        JP Morgan Mortgage Acquisition Trust 2007-CH3
        46630XAF5
        
          
        
        2662060.49000000
        PA
        USD
        2643035.01000000
        0.397528729345
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2037-03-25
          Floating
          0.35000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        State Board of Administration Finance Corp
        549300S34SOJ0RULXM35
        FLORIDA ST BRD OF ADMIN FIN CORP REVENUE
        341271AD6
        
          
        
        1600000.00000000
        PA
        USD
        1627078.72000000
        0.244722651670
        Long
        DBT
        MUN
        US
        N
        
        2
        
          2025-07-01
          Fixed
          1.26000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Citigroup Mortgage Loan Trust Inc
        N/A
        Citigroup Mortgage Loan Trust 2009-3
        17315CAQ0
        
          
        
        589377.20000000
        PA
        USD
        596296.25000000
        0.089686625292
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2037-02-25
          Variable
          6.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Steele Creek CLO Ltd
        N/A
        Steele Creek CLO 2015-1 Ltd
        85816BDC1
        
          
        
        1600000.00000000
        PA
        USD
        1598692.80000000
        0.240453234630
        Long
        ABS-CBDO
        CORP
        KY
        N
        
        2
        
          2029-05-21
          Floating
          1.05000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Countrywide Asset-Backed Certificates
        N/A
        Countrywide Asset-Backed Certificates
        126670UW6
        
          
        
        300469.42000000
        PA
        USD
        298034.15000000
        0.044826170104
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2036-06-25
          Floating
          0.69000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Goldman Sachs International
        W22LROWP2IHZNBB6K528
        Long: SWPC0IM38 CDS USD R F  1.00000 FIX SOVEREIGN / Short: SWPC0IM38 CDS USD P V 03MEVENT FLO SOVEREIGN
        000000000
        
          
        
        1500000.00000000
        OU
        Notional Amount
        USD
        20760.54000000
        0.003122512965
        N/A
        DCR
        
        GB
        N
        
        2
        
          
            
              Goldman Sachs International
              W22LROWP2IHZNBB6K528
            
            
              
                RUSSIAN FEDERATION
                RUSSIAN FEDERATION
                
                  
                
              
            
            Y
            
            sell protection
            2024-12-20
            6251.76000000
            USD
            0.00000000
            USD
            1500000.00000000
            USD
            14508.78000000
          
        
        
          N
          N
          N
        
      
      
        United States Treasury
        254900HROIFWPRGM1V77
        United States Treasury Note/Bond
        912810SS8
        
          
        
        1000000.00000000
        PA
        USD
        934375.00000000
        0.140535749650
        Long
        DBT
        UST
        US
        N
        
        2
        
          2050-11-15
          Fixed
          1.63000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        LCM Ltd Partnership
        549300HV40B88JRNJD93
        LCM XV LP
        50184NAR3
        
          
        
        1600000.00000000
        PA
        USD
        1600252.80000000
        0.240687868230
        Long
        ABS-CBDO
        CORP
        KY
        N
        
        2
        
          2030-07-20
          Floating
          1.13000000
          N
          N
          N
        
        
          N
          N
          N
        
      
    
    
      
      
    
    
      2021-08-30
      TRANSAMERICA FUNDS
      Vincent Toner
      Vincent Toner
      Treasurer
    
  
  XXXX

Transamerica Total Return

 

SCHEDULE OF INVESTMENTS

At July 31, 2021

(unaudited)

 

     Principal      Value  
ASSET-BACKED SECURITIES - 10.7%  

ABFC Trust

      

Series 2004-OPT5, Class A1,

      

1-Month LIBOR + 0.70%,
0.79% (A), 06/25/2034

      $  123,649        $  121,605  

Ameriquest Mortgage Securities, Inc. Asset-Backed Pass-Through Certificates

      

Series 2005-R10, Class M2,

      

1-Month LIBOR + 0.65%,
0.73% (A), 01/25/2036

      1,038,951        1,037,405  

Ammc CLO 20 Ltd.

      

Series 2017-20A, Class AR,

      

3-Month LIBOR + 0.87%,
0.00% (A), 04/17/2029 (B) (C)

      1,800,000        1,800,000  

Anchorage Capital CLO 16 Ltd.

      

Series 2020-16A, Class A,

      

3-Month LIBOR + 1.40%,
1.53% (A), 10/20/2031 (B)

      1,300,000        1,300,854  

Apres Static CLO Ltd.

      

Series 2019-1A, Class A1R,

      

3-Month LIBOR + 1.07%,
1.20% (A), 10/15/2028 (B)

      1,331,128        1,331,353  

Aqueduct European CLO DAC

      

Series 2017-1A, Class AR,

      

3-Month EURIBOR + 0.64%,
0.64% (A), 07/20/2030 (B)

      EUR  1,691,978        2,007,189  

Assurant CLO Ltd.

      

Series 2018-3A, Class AR,

      

3-Month LIBOR + 1.04%,
1.17% (A), 10/20/2031 (B)

      $  1,700,000        1,700,496  

Barings Euro CLO DAC

      

Series 2016-1A, Class A1R,

      

3-Month EURIBOR + 0.68%,
0.68% (A), 07/27/2030 (B)

      EUR  324,194        384,364  

Bear Stearns Asset-Backed Securities I Trust

      

Series 2005-AQ1, Class M2,

      

1-Month LIBOR + 0.98%,
1.06% (A), 03/25/2035

      $  631,528        631,314  

Series 2006-HE1, Class 1M2,

      

1-Month LIBOR + 0.65%,
0.73% (A), 12/25/2035

      1,655,109        1,654,879  

Series 2006-HE1, Class 2M2,

      

1-Month LIBOR + 0.65%,
0.73% (A), 02/25/2036

      247,761        247,556  

Series 2006-HE10, Class 21A3,

      

1-Month LIBOR + 0.24%,
0.33% (A), 12/25/2036

      2,694,470        2,623,408  

Series 2007-AQ1, Class A1,

      

1-Month LIBOR + 0.11%,
0.20% (A), 04/25/2031

      10,141        73,962  

Bear Stearns Asset-Backed Securities Trust

      

Series 2002-2, Class A1,

      

1-Month LIBOR + 0.66%,
0.75% (A), 10/25/2032

      2,206        2,196  
     Principal      Value  
ASSET-BACKED SECURITIES (continued)  

BlueMountain CLO Ltd.

      

Series 2013-2A, Class A1R,

      

3-Month LIBOR + 1.18%,
1.32% (A), 10/22/2030 (B)

      $   1,499,990        $   1,501,106  

BlueMountain Fuji CLO II DAC

      

Series 2017-2A, Class AR,

      

3-Month EURIBOR + 0.65%,
0.65% (A), 07/15/2030 (B)

      EUR  1,400,000        1,659,037  

BRSP Ltd.

      

Series 2021-FL1, Class A,

      

1-Month LIBOR + 1.15%,
1.25% (A), 08/19/2038 (B)

      $  1,700,000        1,699,996  

C-BASS Trust

      

Series 2007-CB1, Class AF1A,

      

1-Month LIBOR + 0.07%,
0.16% (A), 01/25/2037

      299,718        120,702  

CBAM Ltd.

      

Series 2018-8A, Class A1,

      

3-Month LIBOR + 1.12%,
1.25% (A), 10/20/2029 (B)

      1,600,000        1,600,288  

CIFC Funding Ltd.

      

Series 2015-5A, Class A1R,

      

3-Month LIBOR + 0.86%,
0.99% (A), 10/25/2027 (B)

      1,550,028        1,550,363  

Citigroup Mortgage Loan Trust Asset-Backed Pass-Through Certificates

      

Series 2004-OPT1, Class M3,

      

1-Month LIBOR + 0.95%,
1.03% (A), 10/25/2034

      1,282,349        1,277,038  

Citigroup Mortgage Loan Trust, Inc.

      

Series 2007-FS1, Class 1A1,

      

4.41% (A), 10/25/2037 (B)

      550,389        574,123  

Countrywide Asset-Backed Certificates

      

Series 2006-15, Class A6,

      

4.47% (A), 10/25/2046

      278,392        279,904  

Series 2006-2, Class M1,

      

1-Month LIBOR + 0.60%,
0.69% (A), 06/25/2036

      300,469        298,034  

Crestline Denali CLO XV Ltd.

      

Series 2017-1A, Class AR,

      

3-Month LIBOR + 1.03%,
0.00% (A), 04/20/2030 (B)

      1,700,000        1,700,246  

CWABS, Inc. Asset-Backed Certificates Trust

      

Series 2005-17, Class MV1,

      

1-Month LIBOR + 0.46%,
0.55% (A), 05/25/2036

      1,219,470        1,213,187  

Series 2006-14, Class 1A,

      

1-Month LIBOR + 0.14%,
0.23% (A), 02/25/2037

      660,054        632,506  

Denali Capital CLO X LLC

      

Series 2013-1A, Class A1LR,

      

3-Month LIBOR + 1.05%,
1.18% (A), 10/26/2027 (B)

      444,426        444,512  

Dorchester Park CLO DAC

      

Series 2015-1A, Class AR,

      

3-Month LIBOR + 0.90%,
1.03% (A), 04/20/2028 (B)

      789,391        790,000  
 

 

Transamerica Funds

     Page    1         

Transamerica Total Return

 

SCHEDULE OF INVESTMENTS (continued)

At July 31, 2021

(unaudited)

 

     Principal      Value  
ASSET-BACKED SECURITIES (continued)  

Dryden XXV Senior Loan Fund

      

Series 2012-25A, Class ARR,

      

3-Month LIBOR + 0.90%,
1.03% (A), 10/15/2027 (B)

      $   1,145,470        $   1,145,689  

Evergreen Credit Card Trust

      

Series 2019-2, Class A,

      

1.90%, 09/16/2024 (B)

      2,000,000        2,038,476  

First Franklin Mortgage Loan Trust

      

Series 2004-FFH3, Class M2,

      

1-Month LIBOR + 0.93%,
1.02% (A), 10/25/2034

      1,211,586        1,209,906  

Series 2006-FF14, Class A6,

      

1-Month LIBOR + 0.31%,
0.40% (A), 10/25/2036

      2,000,000        1,722,977  

Harvest CLO XX DAC

      

Series 20A, Class AR,

      

3-Month EURIBOR + 0.96%,
0.96% (A), 10/20/2031 (B)

      EUR  1,400,000        1,659,806  

Home Equity Asset Trust

      

Series 2002-1, Class A4,

      

1-Month LIBOR + 0.60%,
0.69% (A), 11/25/2032

      $  1,026        963  

Home Equity Mortgage Loan Asset-Backed Trust

      

Series 2007-A, Class 1A,

      

1-Month LIBOR + 0.22%,
0.31% (A), 04/25/2037

      375,106        323,223  

JPMorgan Mortgage Acquisition Trust

      

Series 2007-CH3, Class A5,

      

1-Month LIBOR + 0.26%,
0.35% (A), 03/25/2037

      2,662,060        2,643,035  

KVK CLO Ltd.

      

Series 2013-1A, Class AR,

      

3-Month LIBOR + 0.90%,
1.03% (A), 01/14/2028 (B)

      405,691        405,758  

LCM XV, LP

      

Series 15A, Class AR2,

      

3-Month LIBOR + 1.00%,
1.13% (A), 07/20/2030 (B)

      1,600,000        1,600,253  

LoanCore Issuer Ltd.

      

Series 2018-CRE1, Class A,

      

1-Month LIBOR + 1.13%,
1.22% (A), 05/15/2028 (B)

      553,865        553,865  

LP Credit Card ABS Master Trust

      

Series 2018-1, Class A,

      

1-Month LIBOR + 1.55%,
1.66% (A), 08/20/2024 (B)

      1,170,738        1,171,034  

Merrill Lynch Mortgage Investors Trust

      

Series 2006-FM1, Class A2C,

      

1-Month LIBOR + 0.32%,
0.41% (A), 04/25/2037

      1,457,761        972,684  

MF1 Ltd.

      

Series 2020-FL4, Class A,

      

SOFRA + 1.81%,
1.86% (A), 11/15/2035 (B)

      1,600,000        1,619,484  

Morgan Stanley Mortgage Loan Trust

      

Series 2007-10XS, Class A1,

      

6.00% (A), 02/25/2037

      95,930        74,885  

Series 2007-8XS, Class A1,

      

5.75% (A), 04/25/2037

      155,463        101,263  
     Principal      Value  
ASSET-BACKED SECURITIES (continued)  

Mountain View CLO Ltd.

      

Series 2014-1A, Class ARR,

      

3-Month LIBOR + 0.80%,
0.93% (A), 10/15/2026 (B)

      $   38,837        $   38,841  

MP CLO VII Ltd.

      

Series 2015-1A, Class AR3,

      

3-Month LIBOR + 0.89%,
1.02% (A), 10/18/2028 (B)

      1,687,785        1,688,091  

New Century Home Equity Loan Trust

      

Series 2006-1, Class A2B,

      

1-Month LIBOR + 0.18%,
0.27% (A), 05/25/2036

      40,893        39,824  

Newcastle Mortgage Securities Trust

      

Series 2006-1, Class M5,

      

1-Month LIBOR + 0.72%,
0.81% (A), 03/25/2036

      1,700,000        1,641,952  

Option One Mortgage Loan Trust

      

Series 2007-4, Class 2A4,

      

1-Month LIBOR + 0.31%,
0.40% (A), 04/25/2037

      3,680,715        2,593,282  

OZLM Funding Ltd.

      

Series 2012-1A, Class A1R3,

      

3-Month LIBOR + 0.97%,
1.11% (A), 07/22/2029 (B)

      2,000,000        1,999,416  

Park Place Securities, Inc. Asset-Backed Pass-Through Certificates

      

Series 2005-WCW2, Class M2,

      

1-Month LIBOR + 0.80%,
0.88% (A), 07/25/2035

      317,489        317,388  

Popular ABS Mortgage Pass-Through Trust

      

Series 2006-A, Class M1,

      

1-Month LIBOR + 0.39%,
0.67% (A), 02/25/2036

      232,340        231,003  

Securitized Asset-Backed Receivables LLC Trust

      

Series 2007-HE1, Class A2A,

      

1-Month LIBOR + 0.06%,
0.15% (A), 12/25/2036

      57,969        18,646  

SLM Student Loan Trust

      

Series 2005-4, Class A3,

      

3-Month LIBOR + 0.12%,
0.25% (A), 01/25/2027

      467,443        466,147  

Sound Point CLO XII Ltd.

      

Series 2016-2A, Class AR2,

      

3-Month LIBOR + 1.05%,
1.18% (A), 10/20/2028 (B)

      1,781,124        1,781,244  

Specialty Underwriting & Residential Finance Trust

      

Series 2004-BC2, Class M1,

      

1-Month LIBOR + 0.83%,
0.91% (A), 05/25/2035

      1,418,206        1,409,888  

Steele Creek CLO Ltd.

      

Series 2015-1A, Class AR2,

      

3-Month LIBOR + 0.90%,
1.05% (A), 05/21/2029 (B)

      1,600,000        1,598,693  

Structured Asset Investment Loan Trust

      

Series 2003-BC6, Class M1,

      

1-Month LIBOR + 1.13%,
1.21% (A), 07/25/2033

      1,000,594        998,223  

Series 2004-7, Class M1,

      

1-Month LIBOR + 1.05%,
1.14% (A), 08/25/2034

      572,808        570,476  
 

 

Transamerica Funds

     Page    2         

Transamerica Total Return

 

SCHEDULE OF INVESTMENTS (continued)

At July 31, 2021

(unaudited)

 

     Principal      Value  
ASSET-BACKED SECURITIES (continued)  

Structured Asset Securities Corp. Mortgage Loan Trust

      

Series 2006-BC1, Class A6,

      

1-Month LIBOR + 0.27%,
0.36% (A), 03/25/2036

      $   687,461        $   654,113  

Telos CLO Ltd.

      

Series 2014-5A, Class A1R,

      

3-Month LIBOR + 0.95%,
1.08% (A), 04/17/2028 (B)

      549,475        549,499  

Tralee CLO Ltd.

      

Series 2018-5A, Class A1,

      

3-Month LIBOR + 1.11%,
1.24% (A), 10/20/2028 (B)

      2,150,344        2,150,535  

U.S. Small Business Administration

      

Series 2003-20I, Class 1,

      

5.13%, 09/01/2023

      1,642        1,696  

Series 2004-20C, Class 1,

      

4.34%, 03/01/2024

      15,407        15,887  

Wellfleet CLO Ltd.

      

Series 2017-1A, Class A1RR,

      

3-Month LIBOR + 0.89%,
1.02% (A), 04/20/2029 (B)

      1,517,767        1,516,990  

Wells Fargo Home Equity Asset-Backed Securities Trust

      

Series 2005-4, Class M2,

      

1-Month LIBOR + 0.72%,
0.81% (A), 12/25/2035

      3,120,622        3,113,532  

WhiteHorse X Ltd.

      

Series 2015-10A, Class A1R,

      

3-Month LIBOR + 0.93%,
1.06% (A), 04/17/2027 (B)

      18,315        18,322  
     

 

 

  

Total Asset-Backed Securities
(Cost $65,582,413)

 

      70,914,612  
  

 

 

  
CORPORATE DEBT SECURITIES - 36.6%  
Aerospace & Defense - 0.8%  

BAE Systems PLC

      

1.90%, 02/15/2031 (B)

      1,400,000        1,379,175  

Boeing Co.

      

1.43%, 02/04/2024

      1,700,000        1,704,322  

2.75%, 02/01/2026

      1,900,000        1,986,586  
     

 

 

  
        5,070,083  
     

 

 

  
Airlines - 0.7%  

American Airlines Pass-Through Trust

      

3.58%, 07/15/2029

      1,447,557        1,485,563  

Delta Air Lines Pass-Through Trust

      

2.00%, 12/10/2029

      1,504,330        1,513,101  

United Airlines Pass-Through Trust

      

5.88%, 04/15/2029

      1,483,960        1,650,497  
     

 

 

  
        4,649,161  
     

 

 

  
Automobiles - 0.5%  

Nissan Motor Co. Ltd.

      

2.65%, 03/17/2026 (D) (E)

      EUR  1,300,000        1,692,830  

4.81%, 09/17/2030 (B)

      $  1,600,000        1,824,864  
     

 

 

  
        3,517,694  
     

 

 

  
Banks - 7.1%  

AIB Group PLC

      

4.75%, 10/12/2023 (B)

      1,900,000        2,058,370  
     Principal      Value  
CORPORATE DEBT SECURITIES (continued)  
Banks (continued)  

Bank of America Corp.

      

Fixed until 09/25/2024,
0.98% (A), 09/25/2025

      $   1,500,000        $   1,502,349  

Banque Federative du Credit Mutuel SA

      

3-Month LIBOR + 0.96%,
1.09% (A), 07/20/2023 (B)

      2,200,000        2,236,513  

Barclays Bank PLC

      

7.63%, 11/21/2022

      805,000        875,327  

Barclays PLC

      

Fixed until 10/06/2022,
2.38% (A), 10/06/2023 (D)

      GBP  600,000        850,799  

3.68%, 01/10/2023

      $  1,100,000        1,115,619  

Fixed until 03/15/2022 (F),
7.88% (A) (D)

      1,400,000        1,450,400  

Fixed until 09/15/2022 (F),
7.88% (A) (D)

      GBP  600,000        890,296  

BNP Paribas SA

      

Fixed until 09/30/2027,
1.90% (A), 09/30/2028 (B)

      $  1,600,000        1,608,164  

Fixed until 02/25/2031 (F),
4.63% (A) (B)

      1,600,000        1,663,680  

Citigroup, Inc.

      

3-Month LIBOR + 1.43%,
1.56% (A), 09/01/2023

      500,000        506,444  

Fixed until 06/03/2030,
2.57% (A), 06/03/2031 (G)

      1,800,000        1,862,100  

Cooperatieve Rabobank UA

      

Fixed until 02/24/2026,
1.11% (A), 02/24/2027 (B)

      1,700,000        1,688,365  

Discover Bank

      

4.20%, 08/08/2023

      1,800,000        1,934,402  

JPMorgan Chase & Co.

      

Fixed until 06/01/2027,
2.18% (A), 06/01/2028

      1,800,000        1,858,851  

Fixed until 07/23/2023,
3.80% (A), 07/23/2024

      1,800,000        1,914,814  

Lloyds Banking Group PLC

      

4.00%, 03/07/2025

      AUD  2,000,000        1,610,174  

Fixed until 06/27/2025 (F),
4.95% (A) (D) (E)

      EUR  500,000        653,956  

Fixed until 06/27/2023 (F),
7.63% (A) (D)

      GBP  700,000        1,061,007  

Mizuho Financial Group, Inc.

      

Fixed until 07/10/2030,
2.20% (A), 07/10/2031

      $  1,500,000        1,510,458  

Fixed until 09/11/2023,
3.92% (A), 09/11/2024

      2,100,000        2,245,102  

Natwest Group PLC

      

Fixed until 08/15/2021 (F),
8.63% (A)

      800,000        801,200  

NatWest Markets PLC

      

0.63%, 03/02/2022 (D)

      EUR  1,700,000        2,029,430  

Societe Generale SA

      

4.25%, 09/14/2023 (B)

      $  1,800,000        1,931,868  

Standard Chartered PLC

      

Fixed until 01/14/2026,
1.46% (A), 01/14/2027 (B)

      1,600,000        1,591,983  

Sumitomo Mitsui Financial Group, Inc.

      

1.47%, 07/08/2025

      1,600,000        1,625,204  

UniCredit SpA

      

7.83%, 12/04/2023 (B)

      4,100,000        4,713,066  

Virgin Money PLC

      

Fixed until 09/25/2025,
4.00% (A), 09/25/2026 (D)

      GBP  100,000        152,416  
 

 

Transamerica Funds

     Page    3         

Transamerica Total Return

 

SCHEDULE OF INVESTMENTS (continued)

At July 31, 2021

(unaudited)

 

     Principal      Value  
CORPORATE DEBT SECURITIES (continued)  
Banks (continued)  

Wells Fargo & Co.

      

Fixed until 05/19/2024,
0.81% (A), 05/19/2025

      $  1,600,000        $   1,602,869  

Fixed until 06/02/2027,
2.39% (A), 06/02/2028

      1,800,000        1,883,636  
     

 

 

  
        47,428,862  
     

 

 

  
Beverages - 0.7%  

Anheuser-Busch InBev Worldwide, Inc.

      

4.60%, 06/01/2060

      1,500,000        1,880,877  

Bacardi Ltd.

      

4.45%, 05/15/2025 (B)

      1,200,000        1,336,990  

Suntory Holdings Ltd.

      

2.55%, 06/28/2022 (B)

      1,600,000        1,627,668  
     

 

 

  
        4,845,535  
     

 

 

  
Capital Markets - 2.2%  

Credit Suisse Group AG

      

3-Month LIBOR + 1.24%,
1.36% (A), 06/12/2024 (B)

      1,800,000        1,828,031  

Fixed until 12/18/2024 (F),
6.25% (A) (B)

      400,000        436,480  

Credit Suisse Group Funding Guernsey Ltd.

      

3.80%, 09/15/2022

      1,000,000        1,038,377  

Deutsche Bank AG

      

3.30%, 11/16/2022

      1,900,000        1,964,557  

3.95%, 02/27/2023

      1,900,000        1,993,085  

4.25%, 10/14/2021

      2,700,000        2,720,440  

Goldman Sachs Group, Inc.

      

3-Month LIBOR + 1.17%,
1.33% (A), 05/15/2026

      1,600,000        1,641,895  

Intercontinental Exchange, Inc.

      

1.85%, 09/15/2032

      1,100,000        1,060,197  

Nomura Holdings, Inc.

      

2.68%, 07/16/2030

      1,200,000        1,227,977  

UBS AG

      

7.63%, 08/17/2022

      600,000        640,906  
     

 

 

  
        14,551,945  
     

 

 

  
Chemicals - 0.5%  

International Flavors & Fragrances, Inc.

      

2.30%, 11/01/2030 (B)

      1,600,000        1,635,302  

Syngenta Finance NV

      

5.18%, 04/24/2028 (B)

      1,300,000        1,499,650  
     

 

 

  
        3,134,952  
     

 

 

  
Construction & Engineering - 0.1%  

Odebrecht Offshore Drilling Finance Ltd.

      

6.72%, 12/01/2022 (B)

      191,458        187,152  

PIK Rate 1.00%, Cash Rate 6.72%, 12/01/2026 (B) (H)

      2,091,593        509,805  

Odebrecht Oil & Gas Finance Ltd.

      

Zero Coupon, 08/30/2021 (B) (F)

      266,175        2,664  
     

 

 

  
        699,621  
     

 

 

  
Consumer Finance - 2.7%  

BMW Finance NV

      

2.25%, 08/12/2022 (B)

      1,700,000        1,733,946  

Capital One Financial Corp.

      

4.25%, 04/30/2025

      1,500,000        1,676,104  

Daimler Finance North America LLC

      

2.55%, 08/15/2022 (B)

      2,100,000        2,145,927  

Ford Motor Credit Co. LLC

      

3-Month EURIBOR + 0.73%,
0.19% (A), 11/15/2023

      EUR  1,400,000        1,642,358  
     Principal      Value  
CORPORATE DEBT SECURITIES (continued)  
Consumer Finance (continued)  

Ford Motor Credit Co. LLC (continued)

      

3-Month LIBOR + 1.24%,
1.39% (A), 02/15/2023

      $  1,200,000        $   1,195,226  

1.74%, 07/19/2024

      EUR  1,500,000        1,821,211  

5.88%, 08/02/2021

      $  900,000        900,000  

Hyundai Capital America

      

0.80%, 04/03/2023 - 01/08/2024 (B)

      3,300,000        3,293,797  

Nissan Motor Acceptance Corp.

      

3-Month LIBOR + 0.69%,
0.84% (A), 09/28/2022 (B)

      1,600,000        1,603,175  

2.60%, 09/28/2022 (B)

      500,000        509,644  

Volkswagen Bank GmbH

      

2.50%, 07/31/2026 (D)

      EUR  1,200,000        1,594,404  
     

 

 

  
        18,115,792  
     

 

 

  
Diversified Financial Services - 1.2%  

BGC Partners, Inc.

      

5.38%, 07/24/2023

      $  1,500,000        1,621,046  

GE Capital Funding LLC

      

4.40%, 05/15/2030

      1,800,000        2,115,608  

SMBC Aviation Capital Finance DAC

      

3.00%, 07/15/2022 (B)

      1,600,000        1,634,992  

4.13%, 07/15/2023 (B)

      1,800,000        1,910,087  

Tayarra Ltd.

      

3.63%, 02/15/2022

      561,282        565,660  
     

 

 

  
        7,847,393  
     

 

 

  
Diversified Telecommunication Services - 0.9%  

AT&T, Inc.

      

2.25%, 02/01/2032

      1,500,000        1,493,653  

2.75%, 06/01/2031

      1,800,000        1,896,763  

Verizon Communications, Inc.

      

3.38%, 02/15/2025

      2,590,000        2,816,765  
     

 

 

  
        6,207,181  
     

 

 

  
Electric Utilities - 3.2%  

Alabama Power Co.

      

1.45%, 09/15/2030

      700,000        680,957  

Enel Finance International NV

      

2.25%, 07/12/2031 (B)

      1,700,000        1,722,214  

2.65%, 09/10/2024 (B)

      1,800,000        1,904,099  

Evergy, Inc.

      

2.45%, 09/15/2024

      1,600,000        1,683,043  

FirstEnergy Corp.

      

3.60%, 07/15/2022

      1,500,000        1,518,795  

NextEra Energy Capital Holdings, Inc.

      

3-Month LIBOR + 0.27%,
0.42% (A), 02/22/2023

      2,000,000        2,000,250  

Oncor Electric Delivery Co. LLC

      

4.10%, 06/01/2022

      1,500,000        1,533,668  

Pacific Gas & Electric Co.

      

3-Month LIBOR + 1.38%,
1.53% (A), 11/15/2021

      1,600,000        1,601,709  

1.75%, 06/16/2022

      1,600,000        1,597,809  

3.15%, 01/01/2026

      1,800,000        1,846,167  

3.75%, 02/15/2024 (I)

      1,700,000        1,787,825  

Southern California Edison Co.

      

2.50%, 06/01/2031

      1,600,000        1,620,639  

Southern Power Co.

      

0.90%, 01/15/2026

      1,700,000        1,685,015  
     

 

 

  
        21,182,190  
     

 

 

  
Electrical Equipment - 0.2%  

ReNew Wind Energy AP2 / ReNew Power Pvt. Ltd.

      

4.50%, 07/14/2028 (B) (E)

      1,600,000        1,612,702  
     

 

 

  
 

 

Transamerica Funds

     Page    4         

Transamerica Total Return

 

SCHEDULE OF INVESTMENTS (continued)

At July 31, 2021

(unaudited)

 

     Principal      Value  
CORPORATE DEBT SECURITIES (continued)  
Entertainment - 0.3%  

Walt Disney Co.

      

3.60%, 01/13/2051

      $   1,500,000        $   1,733,201  
     

 

 

  
Equity Real Estate Investment Trusts - 3.9%  

Agree, LP

      

2.90%, 10/01/2030

      1,600,000        1,699,305  

Alexandria Real Estate Equities, Inc.

      

1.88%, 02/01/2033

      1,300,000        1,256,572  

American Tower Corp.

      

2.40%, 03/15/2025

      1,800,000        1,884,154  

3.38%, 05/15/2024

      2,200,000        2,353,498  

Boston Properties, LP

      

3.40%, 06/21/2029

      1,600,000        1,760,025  

Crown Castle International Corp.

      

3.70%, 06/15/2026

      1,700,000        1,884,503  

Equinix, Inc.

      

1.55%, 03/15/2028

      1,700,000        1,692,551  

Federal Realty Investment Trust

      

3.50%, 06/01/2030

      600,000        666,240  

Healthcare Trust of America Holdings, LP

      

2.00%, 03/15/2031

      1,400,000        1,385,027  

Mid-America Apartments, LP

      

1.70%, 02/15/2031 (E)

      1,500,000        1,452,434  

National Retail Properties, Inc.

      

3.50%, 10/15/2027

      1,600,000        1,745,884  

Omega Healthcare Investors, Inc.

      

3.38%, 02/01/2031

      1,600,000        1,664,056  

Service Properties Trust

      

4.35%, 10/01/2024

      1,600,000        1,617,568  

Spirit Realty, LP

      

4.00%, 07/15/2029 (E)

      1,500,000        1,687,034  

VEREIT Operating Partnership, LP

      

3.40%, 01/15/2028

      1,500,000        1,654,297  

Welltower, Inc.

      

2.75%, 01/15/2031

      1,500,000        1,575,157  
     

 

 

  
        25,978,305  
     

 

 

  
Food & Staples Retailing - 0.3%  

ELO SACA

      

2.88%, 01/29/2026 (D)

      EUR  1,500,000        1,989,427  
     

 

 

  
Food Products - 0.2%  

Conagra Brands, Inc.

      

1.38%, 11/01/2027

      $  1,600,000        1,573,659  
     

 

 

  
Health Care Providers & Services - 0.9%  

Anthem, Inc.

      

2.38%, 01/15/2025

      1,900,000        1,995,974  

Cigna Corp.

      

3-Month LIBOR + 0.89%,
1.02% (A), 07/15/2023

      1,100,000        1,114,127  

CVS Health Corp.

      

3.63%, 04/01/2027

      2,300,000        2,563,570  
     

 

 

  
        5,673,671  
     

 

 

  
Hotels, Restaurants & Leisure - 1.7%  

Choice Hotels International, Inc.

      

3.70%, 12/01/2029

      1,400,000        1,527,918  

Expedia Group, Inc.

      

6.25%, 05/01/2025 (B)

      1,459,000        1,701,376  

GLP Capital, LP / GLP Financing II, Inc.

      

5.30%, 01/15/2029

      2,400,000        2,828,114  

Marriott International, Inc.

      

2.13%, 10/03/2022

      1,600,000        1,626,708  
     Principal      Value  
CORPORATE DEBT SECURITIES (continued)  
Hotels, Restaurants & Leisure (continued)  

Wynn Las Vegas LLC / Wynn Las Vegas Capital Corp.

      

4.25%, 05/30/2023 (B) (E)

      $   1,500,000        $   1,537,500  

5.50%, 03/01/2025 (B)

      1,800,000        1,903,500  
     

 

 

  
        11,125,116  
     

 

 

  
Household Durables - 0.3%  

D.R. Horton, Inc.

      

4.38%, 09/15/2022

      1,800,000        1,860,058  
     

 

 

  
Insurance - 0.7%  

Empower Finance, LP

      

1.36%, 09/17/2027 (B)

      1,600,000        1,589,610  

Guardian Life Global Funding

      

1.25%, 11/19/2027 (B)

      1,600,000        1,582,507  

Sitka Holdings LLC

      

3-Month LIBOR + 4.50%,
5.25% (A), 07/06/2026 (B)

      1,700,000        1,710,257  
     

 

 

  
        4,882,374  
     

 

 

  
IT Services - 0.5%  

Amdocs Ltd.

      

2.54%, 06/15/2030

      1,500,000        1,523,736  

Fidelity National Information Services, Inc.

      

1.15%, 03/01/2026

      1,600,000        1,601,940  
     

 

 

  
        3,125,676  
     

 

 

  
Media - 0.1%  

Charter Communications Operating LLC / Charter Communications Operating Capital

      

4.46%, 07/23/2022

      600,000        619,303  
     

 

 

  
Oil, Gas & Consumable Fuels - 1.0%  

Boardwalk Pipelines, LP

      

3.40%, 02/15/2031

      1,200,000        1,291,853  

Chevron Corp.

      

2.24%, 05/11/2030 (E)

      1,800,000        1,883,739  

Enbridge, Inc.

      

SOFR + 0.40%,
0.43% (A), 02/17/2023

      1,700,000        1,703,175  

Shell International Finance BV

      

2.75%, 04/06/2030

      1,600,000        1,725,916  
     

 

 

  
        6,604,683  
     

 

 

  
Pharmaceuticals - 1.1%  

Bayer US Finance II LLC

      

3-Month LIBOR + 1.01%,
1.13% (A), 12/15/2023 (B)

      2,200,000        2,228,868  

4.38%, 12/15/2028 (B)

      1,400,000        1,621,760  

Takeda Pharmaceutical Co. Ltd.

      

2.05%, 03/31/2030

      1,000,000        1,007,922  

Teva Pharmaceutical Finance II BV

      

4.50%, 03/01/2025

      EUR  1,100,000        1,361,890  

Teva Pharmaceutical Finance III BV

      

6.00%, 04/15/2024

      $  1,100,000        1,154,164  
     

 

 

  
        7,374,604  
     

 

 

  
Professional Services - 0.3%  

Equifax, Inc.

      

3-Month LIBOR + 0.87%,
1.03% (A), 08/15/2021

      2,100,000        2,100,625  
     

 

 

  
Real Estate Management & Development - 0.2%  

Tesco Property Finance 6 PLC

      

5.41%, 07/13/2044 (D)

      GBP  745,487        1,376,175  
     

 

 

  
 

 

Transamerica Funds

     Page    5         

Transamerica Total Return

 

SCHEDULE OF INVESTMENTS (continued)

At July 31, 2021

(unaudited)

 

     Principal      Value  
CORPORATE DEBT SECURITIES (continued)  
Road & Rail - 0.3%  

NTT Finance Corp.

      

0.58%, 03/01/2024 (B)

      $  2,000,000        $   2,001,016  
     

 

 

  
Semiconductors & Semiconductor Equipment - 1.5%  

Broadcom, Inc.

      

3.46%, 09/15/2026

      1,917,000        2,093,188  

3.50%, 02/15/2041 (B)

      1,700,000        1,761,634  

4.30%, 11/15/2032

      1,400,000        1,614,796  

5.00%, 04/15/2030

      500,000        596,368  

Micron Technology, Inc.

      

4.98%, 02/06/2026

      1,800,000        2,082,276  

NXP BV / NXP Funding LLC

      

4.88%, 03/01/2024 (B)

      1,900,000        2,088,600  
     

 

 

  
        10,236,862  
     

 

 

  
Software - 0.8%  

Citrix Systems, Inc.

      

3.30%, 03/01/2030

      1,400,000        1,489,045  

Oracle Corp.

      

3.85%, 04/01/2060

      1,300,000        1,390,535  

VMware, Inc.

      

2.95%, 08/21/2022

      2,400,000        2,457,854  
     

 

 

  
        5,337,434  
     

 

 

  
Technology Hardware, Storage & Peripherals - 0.6%  

Dell International LLC / EMC Corp.

      

5.45%, 06/15/2023

      2,200,000        2,379,244  

Hewlett Packard Enterprise Co.

      

3-Month LIBOR + 0.72%,
0.86% (A), 10/05/2021

      1,500,000        1,500,268  
     

 

 

  
        3,879,512  
     

 

 

  
Tobacco - 0.3%  

Imperial Brands Finance PLC

      

3.13%, 07/26/2024 (B)

      1,700,000        1,791,577  

3.75%, 07/21/2022 (B)

      297,000        304,349  
     

 

 

  
        2,095,926  
     

 

 

  
Wireless Telecommunication Services - 0.8%  

Altice France SA

      

5.88%, 02/01/2027 (B)

      EUR  1,200,000        1,503,571  

7.38%, 05/01/2026 (B)

      $  396,000        411,840  

T-Mobile USA, Inc.

      

2.55%, 02/15/2031

      1,400,000        1,439,564  

3.75%, 04/15/2027

      1,600,000        1,783,808  
     

 

 

  
        5,138,783  
     

 

 

  

Total Corporate Debt Securities
(Cost $234,368,908)

 

      243,569,521  
     

 

 

  
FOREIGN GOVERNMENT OBLIGATIONS - 6.7%  
Brazil - 4.0%  

Brazil Letras do Tesouro Nacional

      

Zero Coupon, 10/01/2021 - 01/01/2022

      BRL  139,900,000        26,586,301  
     

 

 

  
Israel - 0.3%  

Israel Government International Bond

      

3.88%, 07/03/2050

      $  1,900,000        2,247,814  
     

 

 

  
     Principal      Value  
FOREIGN GOVERNMENT OBLIGATIONS (continued)  
Japan - 0.8%  

Japan Bank for International Cooperation

      

2.88%, 07/21/2027

      $   1,700,000        $   1,873,468  

Japan Finance Organization for Municipalities

      

3.38%, 09/27/2023 (B)

      2,900,000        3,076,639  
     

 

 

  
        4,950,107  
     

 

 

  
Kuwait - 0.2%  

Kuwait International Government Bond

      

2.75%, 03/20/2022 (D)

      1,400,000        1,420,546  
     

 

 

  
Peru - 0.7%  

Peru Government International Bond

      

5.94%, 02/12/2029 (D)

      PEN  2,000,000        502,537  

5.94%, 02/12/2029 (B)

      6,200,000        1,557,864  

6.15%, 08/12/2032 (D)

      2,000,000        477,075  

6.35%, 08/12/2028 (D)

      1,000,000        258,243  

8.20%, 08/12/2026 (D)

      5,600,000        1,650,278  
     

 

 

  
        4,445,997  
     

 

 

  
Qatar - 0.7%  

Qatar Government International Bond

      

3.38%, 03/14/2024 (D)

      $  2,100,000        2,246,475  

4.00%, 03/14/2029 (D)

      2,100,000        2,422,875  
     

 

 

  
        4,669,350  
     

 

 

  

Total Foreign Government Obligations
(Cost $42,492,392)

 

      44,320,115  
     

 

 

  
MORTGAGE-BACKED SECURITIES - 9.6%  

1211 Avenue of the Americas Trust

      

Series 2015-1211, Class A1A1,

      

3.90%, 08/10/2035 (B)

      1,600,000        1,755,060  

A10 Bridge Asset Financing LLC

      

Series 2020-C, Class A,

      

2.02%, 08/15/2040 (B)

      1,185,209        1,190,893  

Alternative Loan Trust

      

Series 2005-J12, Class 2A1,

      

1-Month LIBOR + 0.54%,
0.63% (A), 08/25/2035

      821,759        559,362  

Series 2006-30T1, Class 1A3,

      

6.25%, 11/25/2036

      95,522        86,115  

Series 2006-J8, Class A2,

      

6.00%, 02/25/2037

      125,690        81,244  

Series 2006-OA12, Class A1B,

      

1-Month LIBOR + 0.19%,
0.27% (A), 09/20/2046

      360,084        326,736  

Series 2006-OC7, Class 2A2A,

      

1-Month LIBOR + 0.34%,
0.43% (A), 07/25/2046

      22,918        70,160  

Series 2006-OC8, Class 2A2B,

      

1-Month LIBOR + 0.34%,
0.43% (A), 11/25/2036 (J) (K)

      2,763        0  

Series 2007-2CB, Class 1A13,

      

1-Month LIBOR + 1.00%,
5.75% (A), 03/25/2037

      143,280        111,985  

Series 2007-HY4, Class 1A1,

      

2.61% (A), 06/25/2037

      147,830        134,217  

Series 2007-J1, Class 2A8,

      

6.00%, 03/25/2037

      1,241,798        708,981  

Ashford Hospitality Trust

      

Series 2018-KEYS, Class A,

      

1-Month LIBOR + 1.00%,
1.09% (A), 06/15/2035 (B)

      2,200,000        2,201,414  
 

 

Transamerica Funds

     Page    6         

Transamerica Total Return

 

SCHEDULE OF INVESTMENTS (continued)

At July 31, 2021

(unaudited)

 

     Principal      Value  
MORTGAGE-BACKED SECURITIES (continued)  

Banc of America Funding Trust

      

Series 2005-D, Class A1,

      

2.84% (A), 05/25/2035

      $   69,561        $   71,737  

Series 2006-4, Class A12,

      

6.00%, 07/25/2036

      596,359        567,386  

Series 2006-J, Class 4A1,

      

3.36% (A), 01/20/2047

      16,205        15,498  

Bear Stearns Alt-A Trust

      

Series 2006-6, Class 31A1,

      

3.10% (A), 11/25/2036

      586,371        442,601  

Series 2006-6, Class 32A1,

      

3.10% (A), 11/25/2036

      145,803        96,976  

Bear Stearns ARM Trust

      

Series 2003-5, Class 2A1,

      

2.53% (A), 08/25/2033

      81,939        81,998  

Series 2003-8, Class 2A1,

      

2.20% (A), 01/25/2034

      2,436        2,467  

Series 2003-8, Class 4A1,

      

2.67% (A), 01/25/2034

      26,251        27,117  

Series 2006-4, Class 1A1,

      

3.05% (A), 10/25/2036

      17,305        16,993  

Bear Stearns Structured Products, Inc. Trust

      

Series 2007-R6, Class 1A1,

      

2.76% (A), 01/26/2036

      65,563        55,532  

Benchmark Mortgage Trust

      

Series 2019-B9, Class A5,

      

4.02%, 03/15/2052

      1,600,000        1,852,266  

BFLD Trust

      

Series 2020-EYP, Class A,

      

1-Month LIBOR + 1.15%,
1.24% (A), 10/15/2035 (B)

      1,300,000        1,307,310  

CGMS Commercial Mortgage Trust

      

Series 2017-MDRA, Class A,

      

3.66%, 07/10/2030 (B)

      1,900,000        1,916,198  

Chevy Chase Funding LLC Mortgage-Backed Certificates

      

Series 2004-3A, Class A1,

      

1-Month LIBOR + 0.25%,
0.34% (A), 08/25/2035 (B)

      29,974        30,802  

CHL Mortgage Pass-Through Trust

      

Series 2004-12, Class 12A1,

      

2.70% (A), 08/25/2034

      7,773        7,850  

Citigroup Mortgage Loan Trust, Inc.

      

Series 2005-6, Class A2,

      

1-Year CMT + 2.15%,
2.21% (A), 09/25/2035

      17,736        18,503  

Series 2009-3, Class 5A3,

      

6.00% (A), 02/25/2037 (B)

      589,377        596,296  

CitiMortgage Alternative Loan Trust

      

Series 2006-A7, Class 1A9,

      

1-Month LIBOR + 0.65%,
0.74% (A), 12/25/2036

      827,901        686,203  

COMM Mortgage Trust

      

Series 2015-CR26, Class ASB,

      

3.37%, 10/10/2048

      1,160,243        1,219,883  

Series 2016-787S, Class A,

      

3.55%, 02/10/2036 (B)

      1,400,000        1,525,871  

Credit Suisse First Boston Mortgage Securities Corp.

      

Series 2002-P1A, Class A,

      

0.71% (A), 03/25/2032 (B)

      160        153  

Series 2003-AR15, Class 2A1,

      

2.74% (A), 06/25/2033

      123,168        124,018  
     Principal      Value  
MORTGAGE-BACKED SECURITIES (continued)  

Credit Suisse First Boston Mortgage Securities Corp. (continued)

      

Series 2003-AR28, Class 2A1,

      

3.09% (A), 12/25/2033

      $   640,965        $   633,550  

CRSNT Trust

      

Series 2021-Moon, Class A,

      

1-Month LIBOR + 0.82%,
0.92% (A), 04/15/2036 (B)

      1,600,000        1,600,741  

CSMC Trust

      

Series 2014-7R, Class 4A2,

      

0.24% (A), 10/27/2036 (B)

      1,700,000        1,645,748  

Deutsche Alt-A Securities, Inc. Mortgage Loan Trust

      

Series 2005-6, Class 2A3,

      

5.50%, 12/25/2035

      163,955        163,110  

DOLP Trust

      

Series 2021-NYC, Class A,

      

2.96%, 05/10/2041 (B)

      1,600,000        1,728,342  

Extended Stay America Trust

      

Series 2021-ESH, Class A,

      

1-Month LIBOR + 1.08%,
1.17% (A), 07/15/2038 (B)

      1,700,000        1,707,433  

First Horizon Alternative Mortgage Securities Trust

      

Series 2007-FA4, Class 1A8,

      

6.25%, 08/25/2037

      100,810        67,150  

First Horizon Mortgage Pass-Through Trust

      

Series 2005-AR3, Class 2A1,

      

2.75% (A), 08/25/2035

      6,985        5,475  

GSR Mortgage Loan Trust

      

Series 2005-AR6, Class 2A1,

      

2.90% (A), 09/25/2035

      10,229        10,429  

HarborView Mortgage Loan Trust

      

Series 2005-14, Class 4A1A,

      

3.00% (A), 12/19/2035

      111,411        75,559  

Series 2006-6, Class 5A1A,

      

2.56% (A), 08/19/2036

      24,135        24,138  

Hawksmoor Mortgages

      

Series 2019-1A, Class A,

      

SONIA + 1.05%,
1.10% (A), 05/25/2053 (B)

      GBP  5,188,076        7,242,670  

Hilton USA Trust

      

Series 2016-SFP, Class A,

      

2.83%, 11/05/2035 (B)

      $  1,700,000        1,706,681  

IndyMac INDX Mortgage Loan Trust

      

Series 2005-AR11, Class A3,

      

2.99% (A), 08/25/2035

      636,389        583,003  

JPMorgan Alternative Loan Trust

      

Series 2006-A2, Class 1A1,

      

1-Month LIBOR + 0.36%,
0.45% (A), 05/25/2036

      705,962        693,558  

JPMorgan Chase Commercial Mortgage Securities Trust

      

Series 2018-LAQ, Class A,

      

1-Month LIBOR + 1.00%,
1.09% (A), 06/15/2032 (B)

      564,401        564,746  

Series 2018-PHH, Class A,

      

1-Month LIBOR + 1.06%,
2.56% (A), 06/15/2035 (B)

      1,744,354        1,739,935  

Legacy Mortgage Asset Trust

      

Series 2019-GS6, Class A1,

      

3.00% (A), 06/25/2059 (B)

      1,520,054        1,524,756  

Series 2020-GS1, Class A1,

      

2.88% (A), 10/25/2059 (B)

      1,557,982        1,567,363  

Lehman XS Trust

      

Series 2007-4N, Class 2A,

      

1-Month LIBOR + 0.20%,
0.29% (A), 03/25/2047

      1,549,210        1,554,502  
 

 

Transamerica Funds

     Page    7         

Transamerica Total Return

 

SCHEDULE OF INVESTMENTS (continued)

At July 31, 2021

(unaudited)

 

     Principal      Value  
MORTGAGE-BACKED SECURITIES (continued)  

Ludgate Funding PLC

      

Series 2007-1, Class A2A,

      

3-Month GBP LIBOR + 0.16%,
0.24% (A), 01/01/2061 (D)

      GBP  1,225,265        $   1,644,548  

Manhattan West Mortgage Trust

      

Series 2020-1MW, Class A,

      

2.13%, 09/10/2039 (B)

      $  1,500,000        1,553,669  

MASTR Alternative Loan Trust

      

Series 2006-2, Class 2A1,

      

1-Month LIBOR + 0.40%,
0.49% (A), 03/25/2036

      87,924        6,841  

MF1 Multifamily Housing Mortgage Loan Trust

      

Series 2021-FL5, Class A,

      

SOFRA + 0.96%,
1.01% (A), 07/15/2036 (B)

      1,600,000        1,599,996  

Mill City Mortgage Loan Trust

      

Series 2019-GS2, Class M2,

      

3.25% (A), 08/25/2059 (B)

      1,600,000        1,711,616  

One New York Plaza Trust

      

Series 2020-1NYP, Class A,

      

1-Month LIBOR + 0.95%,
1.04% (A), 01/15/2026 (B)

      1,000,000        1,006,224  

RALI Trust

      

Series 2008-QR1, Class 1A1,

      

1-Month LIBOR + 1.40%,
1.49% (A), 08/25/2036

      3,658        3,660  

Reperforming Loan Trust REMIC

      

Series 2004-R1, Class 2A,

      

6.50%, 11/25/2034 (B)

      62,776        63,100  

Series 2005-R2, Class 1AF1,

      

1-Month LIBOR + 0.34%,
0.43% (A), 06/25/2035 (B)

      220,481        211,489  

RFMSI Trust

      

Series 2003-S9, Class A1,

      

6.50%, 03/25/2032

      405        421  

RMAC Securities No. 1 PLC

      

Series 2007-NS1X, Class A2B,

      

3-Month LIBOR + 0.15%,
0.27% (A), 06/12/2044 (D)

      1,458,927        1,387,619  

Sequoia Mortgage Trust

      

Series 2004-11, Class A2,

      

6-Month LIBOR + 0.64%,
0.82% (A), 12/20/2034

      429,670        434,543  

Series 2007-1, Class 1A1,

      

1.99% (A), 01/20/2047

      114,880        87,284  

Series 2007-3, Class 2AA1,

      

2.77% (A), 07/20/2037

      668,451        608,013  

Series 2010, Class 2A1,

      

1-Month LIBOR + 0.76%,
0.84% (A), 10/20/2027

      2,938        2,893  

Structured Adjustable Rate Mortgage Loan Trust

      

Series 2004-12, Class 3A1,

      

2.49% (A), 09/25/2034

      62,349        63,619  

Series 2004-19, Class 2A1,

      

12-MTA + 1.40%,
1.51% (A), 01/25/2035

      54,754        50,998  

Structured Asset Mortgage Investments II Trust

      

Series 2005-AR5, Class A1,

      

1-Month LIBOR + 0.50%,
0.59% (A), 07/19/2035

      7,374        7,154  
     Principal      Value  
MORTGAGE-BACKED SECURITIES (continued)  

Structured Asset Mortgage Investments II Trust (continued)

      

Series 2005-AR5, Class A2,

      

1-Month LIBOR + 0.50%,
0.59% (A), 07/19/2035

      $   8,112        $   7,849  

Series 2005-AR5, Class A3,

      

1-Month LIBOR + 0.50%,
0.59% (A), 07/19/2035

      20,546        20,824  

Series 2005-AR8, Class A1A,

      

1-Month LIBOR + 0.56%,
0.65% (A), 02/25/2036

      170,776        163,759  

Structured Asset Mortgage Investments Trust

      

Series 2002-AR3, Class A1,

      

1-Month LIBOR + 0.66%,
0.75% (A), 09/19/2032

      2,109        2,102  

Structured Asset Securities Corp. Mortgage Pass-Through Certificates

      

Series 2003-22A, Class 2A1,

      

2.34% (A), 06/25/2033

      38,214        37,563  

Towd Point Mortgage Funding

      

Series 2019-A13A, Class A1,

      

SONIA + 0.90%,
0.95% (A), 07/20/2045 (B)

      GBP  4,661,440        6,498,054  

Series 2019-GR4A, Class A1,

      

3-Month GBP LIBOR + 1.03%,
1.10% (A), 10/20/2051 (B)

      1,510,107        2,109,986  

UBS Commercial Mortgage Trust

      

Series 2019-C17, Class A4,

      

2.92%, 10/15/2052

      $  1,300,000        1,397,756  

WaMu Mortgage Pass-Through Certificates Trust

      

Series 2003-AR9, Class 2A,

      

2.67% (A), 09/25/2033

      96,438        96,114  

Wells Fargo Mortgage-Backed Securities Trust

      

Series 2006-AR1, Class 2A4,

      

2.71% (A), 03/25/2036

      465,549        431,353  
     

 

 

  

Total Mortgage-Backed Securities
(Cost $61,965,248)

 

      63,937,761  
     

 

 

  
MUNICIPAL GOVERNMENT OBLIGATIONS - 0.9%  
Florida - 0.2%  

State Board of Administration Finance Corp., Revenue Bonds,

      

Series A,

      

1.26%, 07/01/2025

      1,600,000        1,627,079  
     

 

 

  
Illinois - 0.5%  

City of Chicago, General Obligation Unlimited,

      

Series B,

      

7.75%, 01/01/2042

      170,000        195,363  

State of Illinois, General Obligation Unlimited,

      

6.63%, 02/01/2035

      1,500,000        1,908,429  

7.35%, 07/01/2035

      1,015,000        1,336,999  
     

 

 

  
        3,440,791  
     

 

 

  
New York - 0.2%  

New York State Urban Development Corp., Revenue Bonds,

      

1.83%, 03/15/2029

      1,200,000        1,213,301  
     

 

 

  

Total Municipal Government Obligations
(Cost $5,613,315)

 

      6,281,171  
     

 

 

  
 

 

Transamerica Funds

     Page    8         

Transamerica Total Return

 

SCHEDULE OF INVESTMENTS (continued)

At July 31, 2021

(unaudited)

 

     Principal      Value  
U.S. GOVERNMENT AGENCY OBLIGATIONS - 15.6%  

Federal Home Loan Mortgage Corp.

      

12-Month LIBOR + 1.35%,
1.95% (A), 09/01/2035

      $   6,605        $   6,896  

1-Year CMT + 2.22%,
2.35% (A), 11/01/2033

      10,337        10,351  

1-Year CMT + 2.23%,
2.36% (A), 03/01/2034

      23,862        25,391  

1-Year CMT + 2.26%,
2.38% (A), 01/01/2036

      475,733        477,824  

12-Month LIBOR + 1.87%,
2.46% (A), 09/01/2035

      33,276        33,535  

3.50%, 07/01/2026 - 03/01/2027

      389,988        416,826  

4.50%, 08/01/2025

      1,241        1,336  

Federal Home Loan Mortgage Corp. REMIC

      

6.50%, 04/15/2029

      538        601  

Federal Home Loan Mortgage Corp. Structured Pass-Through Certificates

      

12-MTA + 1.20%,
1.31% (A), 10/25/2044

      92,427        94,782  

12-MTA + 1.40%,
1.51% (A), 07/25/2044

      89,328        92,021  

6.50%, 07/25/2043

      7,048        8,655  

Federal National Mortgage Association

      

1-Month LIBOR + 0.35%,
0.44% (A), 09/25/2042

      92,214        92,729  

12-MTA + 1.20%,
1.32% (A), 03/01/2044 - 10/01/2044

      274,639        280,101  

12-Month LIBOR + 1.25%,
1.62% (A), 07/01/2035

      14,852        15,324  

12-Month LIBOR + 1.70%,
2.08% (A), 03/01/2034

      28,647        30,156  

1-Year CMT + 2.04%,
2.29% (A), 09/01/2035

      45,903        46,737  

1-Year CMT + 2.22%,
2.37% (A), 01/01/2028

      5,194        5,177  

1-Year CMT + 2.27%,
2.40% (A), 11/01/2033

      10,050        10,065  

1-Year CMT + 2.19%,
2.44% (A), 01/01/2026

      1,026        1,031  

3.50%, 02/01/2026 - 05/01/2035

      6,397,717        6,833,375  

4.50%, 12/01/2024

      38,060        39,863  

5.00%, 08/01/2026 - 10/01/2029

      155,576        166,929  

6.00%, 07/01/2035 - 06/01/2040

      579,896        683,422  

Federal National Mortgage Association REMIC

      

6.30%, 10/17/2038

      22,307        22,303  

Federal National Mortgage Association REMIC, Interest Only STRIPS

      

(1.00) * 1-Month LIBOR + 7.10%,
7.01% (A), 07/25/2034

      191,658        34,798  

Government National Mortgage Association

      

1-Month LIBOR + 0.60%,
0.69% (A), 08/20/2065 - 10/20/2065

      2,526,457        2,544,287  

1-Month LIBOR + 0.95%,
1.04% (A), 12/20/2066

      944,669        960,963  

1-Month LIBOR + 1.00%,
1.09% (A), 12/20/2065

      3,720,498        3,793,940  

1-Year CMT + 1.50%,
2.88% (A), 05/20/2024

      4,780        4,860  

3.00%, 11/15/2049

      462,386        483,674  

4.00%, 03/15/2050

      376,697        405,292  

Government National Mortgage Association, Interest Only STRIPS

      

(1.00) * 1-Month LIBOR + 6.56%,
6.47% (A), 10/16/2033

      107,313        8,096  
     Principal      Value  
U.S. GOVERNMENT AGENCY OBLIGATIONS (continued)  

Government National Mortgage Association, Interest Only STRIPS (continued)

      

(1.00) * 1-Month LIBOR + 6.60%,
6.51% (A), 08/16/203

      $   437,294        $   10,097  

(1.00) * 1-Month LIBOR + 6.60%,
6.52% (A), 09/20/2034

      239,062        38,972  

Uniform Mortgage-Backed Security

      

2.00%, TBA (C)

      63,900,000        64,871,314  

2.50%, TBA (C)

      8,500,000        8,831,035  

3.50%, TBA (C)

      11,000,000        11,633,359  

5.00%, TBA (C)

      700,000        729,176  
     

 

 

  

Total U.S. Government Agency Obligations
(Cost $103,113,199)

 

      103,745,293  
     

 

 

  
U.S. GOVERNMENT OBLIGATIONS - 27.4%  

U.S. Treasury - 27.4%

 

U.S. Treasury Bond

      

1.38%, 11/15/2040

      19,700,000        18,293,297  

1.38%, 08/15/2050 (L)

      14,000,000        12,292,109  

1.63%, 11/15/2050 (L)

      1,000,000        934,375  

1.88%, 02/15/2041

      6,900,000        6,974,391  

2.25%, 05/15/2041

      800,000        858,250  

2.88%, 08/15/2045 (E) (L)

      7,800,000        9,316,430  

2.88%, 05/15/2049 (L)

      8,400,000        10,186,969  

3.00%, 02/15/2048 (E) (L)

      7,800,000        9,619,289  

3.13%, 08/15/2044 (L)

      10,800,000        13,369,641  

4.25%, 05/15/2039 (L)

      900,000        1,264,078  

4.38%, 11/15/2039 (L)

      4,900,000        6,997,621  

4.63%, 02/15/2040 (L)

      700,000        1,030,941  

U.S. Treasury Note

      

1.75%, 06/30/2024 (E) (L) (M)

      4,200,000        4,371,773  

1.88%, 07/31/2022 (N)

      900,000        915,996  

1.88%, 08/31/2022 (L) (M) (N) (O)

      4,000,000        4,077,031  

2.00%, 12/31/2021 (E) (L)

      60,100,000        60,578,922  

2.00%, 10/31/2022

      400,000        409,391  

2.25%, 08/15/2027 (E) (L) (N)

      4,800,000        5,192,625  

2.38%, 05/15/2029 (L)

      4,600,000        5,042,570  

2.63%, 02/15/2029 (L)

      9,500,000        10,575,801  
     

 

 

  

Total U.S. Government Obligations
(Cost $177,126,476)

 

      182,301,500  
  

 

 

  
     Shares      Value  
COMMON STOCK - 0.0% (P)  
Household Durables - 0.0% (P)  

Urbi Desarrollos Urbanos SAB de CV (K) (Q)

      381        230  
     

 

 

  

Total Common Stock
(Cost $417,098)

 

      230  
  

 

 

  
     Principal      Value  
SHORT-TERM FOREIGN GOVERNMENT OBLIGATIONS - 1.5%  
Israel - 1.5%  

Bank of Israel Bill - Makam

      

0.00% (R), 10/06/2021 - 04/06/2022

      ILS  17,400,000        5,382,831  

Israel Government Bond - FRN

      

0.00% (A), 11/30/2021

      9,700,000        3,000,473  

0.00% (A), 11/30/2021

      5,500,000        1,701,299  
     

 

 

  

Total Short-Term Foreign Government Obligations
(Cost $9,903,809)

 

      10,084,603  
  

 

 

  
 

 

Transamerica Funds

     Page    9         

Transamerica Total Return

 

SCHEDULE OF INVESTMENTS (continued)

At July 31, 2021

(unaudited)

 

     Principal     Value  
SHORT-TERM U.S. GOVERNMENT OBLIGATIONS - 3.3%  

U.S. Treasury Bill

     

0.01% (R), 08/17/2021 (O)

      $  2,800,000       $  2,799,962  

0.02% (R), 08/05/2021 (O)

      1,000,000       999,998  

0.02% (R), 09/21/2021 (N) (O)

      2,100,000       2,099,861  

0.04% (R), 09/14/2021 - 09/30/2021

      15,700,000       15,699,019  
    

 

 

  

Total Short-Term U.S. Government Obligations
(Cost $21,598,992)

 

     21,598,840  
 

 

 

  
     Shares     Value  
OTHER INVESTMENT COMPANY - 0.9%  
Securities Lending Collateral - 0.9%  

State Street Navigator Securities Lending Trust - Government Money Market Portfolio, 0.05% (R)

      6,094,543       6,094,543  
    

 

 

  

Total Other Investment Company
(Cost $6,094,543)

 

     6,094,543  
    

 

 

  

Total Investments Excluding Swaptions Purchased
(Cost $728,276,393)

 

     752,848,189  

Total Swaptions Purchased - 0.0% (P)
(Cost $211,313)

 

     73,460  
    

 

 

  

Total Investments Before Securities Sold Short
(Cost $728,487,706)

 

     752,921,649  
     Principal     Value  
TBA SHORT COMMITMENT - (1.8)%  
U.S. GOVERNMENT AGENCY OBLIGATION - (1.8)%  

Uniform Mortgage-Backed Security

     

2.00%, TBA (C)

      $  (11,900,000 )      $  (12,104,996 ) 
    

 

 

  

Total TBA Short Commitment
(Proceeds $(12,046,891))

 

     (12,104,996 ) 
    

 

 

  

Net Other Assets (Liabilities), Net of
Securities Sold Short - (11.4)%

 

     (75,965,377 ) 
    

 

 

  

Net Assets - 100.0%

        $  664,851,276  
    

 

 

  
 

 

Transamerica Funds

     Page    10         

Transamerica Total Return

 

SCHEDULE OF INVESTMENTS (continued)

At July 31, 2021

(unaudited)

 

OVER-THE-COUNTER INTEREST RATE SWAPTIONS PURCHASED:

 

 

Description

    Counterparty    Floating Rate Index    Pay/Receive
Floating Rate		    Exercise
Rate		   Expiration
Date		    Notional Amount/
Number of
Contracts		    Premiums
Paid		    Value

Put - 5-Year

        GSB        12-Month GBP-SONIA        Pay        0.01 %       03/15/2022        GBP        2,000,000      $     211,313      $     73,460

OVER-THE-COUNTER OPTIONS WRITTEN:

 

 

Description

    Counterparty    Exercise
Price		    Expiration
Date		    Notional
Amount		    Number of
Contracts		    Premiums
(Received)		   Value

Put - Government National Mortgage Association, 2.50%, TBA

        JPM        USD        102.23        08/12/2021        USD        207,880,000        2,000,000      $     (6,406 )     $     (156 )

OVER-THE-COUNTER INTEREST RATE SWAPTIONS WRITTEN:

 

 

Description

    Counterparty    Floating Rate Index    Pay/Receive
Floating Rate		    Exercise
Rate		   Expiration
Date		    Notional Amount/
Number of
Contracts		    Premiums
(Received)		   Value

Put - 5-Year

        GSB        6-Month GBP-LIBOR        Pay        0.01 %       03/15/2022        GBP        5,400,000      $     (205,200 )     $     (75,370 )
                                       Premiums
(Received)		   Value

TOTAL WRITTEN OPTIONS AND SWAPTIONS

 

      $ (211,606 )     $ (75,526 )

CENTRALLY CLEARED SWAP AGREEMENTS:

 

Credit Default Swap Agreements on Corporate and Sovereign Issues - Sell Protection (S)

 

 

Reference Obligation

   Fixed Rate
Receivable		   Payment
Frequency		  

Maturity
Date

   Implied Credit
Spread at
July 31, 2021 (T)		   Notional
Amount (U)		   Value (V)   Premiums
Paid
(Received)		   Net Unrealized
Appreciation
(Depreciation)

General Electric Co.,
2.70%, 10/09/2022

       1.00 %       Quarterly   12/20/2023       0.40 %       USD       600,000     $ 9,744     $ (14,109 )     $ 23,853

General Electric Co.,
2.70%, 10/09/2022

       1.00       Quarterly   06/20/2024       0.43       USD       200,000       3,524       (342 )       3,866

General Electric Co.,
2.70%, 10/09/2022

       1.00       Quarterly   12/20/2024       0.51       USD       700,000       12,362       (6,520 )       18,882

General Electric Co.,
2.70%, 10/09/2022

       1.00       Quarterly   06/20/2026       0.73       USD       1,600,000       22,579       9,758       12,821

Goldman Sachs Group, Inc.,
5.95%, 01/18/2018

       1.00       Quarterly   12/20/2021       0.24       USD       1,400,000       5,833       1,553       4,280

Rolls-Royce Holdings PLC,
2.13%, 06/18/2021

       1.00       Quarterly   12/20/2024       1.98       EUR       1,300,000       (48,193 )       (4,634 )       (43,559 )

Tesco PLC,
6.00%, 12/14/2029

       1.00       Quarterly   06/20/2022       0.14       EUR       700,000       7,448       (3,708 )       11,156
                         

 

 

      

 

 

      

 

 

  

Total

                           $     13,297     $     (18,002 )     $     31,299
                         

 

 

      

 

 

      

 

 

  

Credit Default Swap Agreements on Credit Indices - Buy Protection (W)

 

 

Reference Obligation

    Fixed Rate
Payable		   Payment
Frequency		    Maturity
Date		    Notional
Amount (U)		    Value (V)   Premiums
Paid
(Received)		   Net Unrealized
Appreciation
(Depreciation)

North America High Yield Index - Series 35

        5.00 %       Quarterly        12/20/2025        USD        500,000      $     (48,387 )     $     (31,268 )     $     (17,119 )

North America High Yield Index - Series 36

        5.00       Quarterly        06/20/2026        USD        1,100,000        (106,974 )       (99,297 )       (7,677 )
                            

 

 

      

 

 

      

 

 

  

Total

                              $     (155,361 )     $     (130,565 )     $     (24,796 )
                            

 

 

      

 

 

      

 

 

  

 

Transamerica Funds

     Page    11         

Transamerica Total Return

 

SCHEDULE OF INVESTMENTS (continued)

At July 31, 2021

(unaudited)

 

CENTRALLY CLEARED SWAP AGREEMENTS (continued):

 

Credit Default Swap Agreements on Credit Indices - Sell Protection (S)

 

 

Reference Obligation

    Fixed Rate
Receivable		   Payment
Frequency		    Maturity
Date		    Notional
Amount (U)		    Value (V)    Premiums
Paid
(Received)		    Net Unrealized
Appreciation
(Depreciation)

Markit iTraxx® Europe Crossover - Series 35

        5.00 %       Quarterly        06/20/2026        EUR        15,100,000      $ 2,256,628      $ 1,977,095      $ 279,533

Markit iTraxx® Europe Index - Series 34

        1.00       Quarterly        12/20/2025        EUR        4,700,000        156,294        104,896        51,398

Markit iTraxx® Europe Index - Series 35

        1.00       Quarterly        06/20/2026        EUR        6,000,000        194,692        172,363        22,329

North America Investment Grade Index - Series 35

        1.00       Quarterly        12/20/2025        USD        100,000        2,506        1,698        808

North America Investment Grade Index - Series 36

        1.00       Quarterly        06/20/2026        USD        6,000,000        151,284        133,913        17,371
                            

 

 

       

 

 

       

 

 

  

Total

                              $     2,761,404      $     2,389,965      $     371,439
                            

 

 

       

 

 

       

 

 

  

Interest Rate Swap Agreements

 

 

Floating Rate Index

    Pay/Receive
Fixed Rate		    Fixed Rate   Payment
Frequency		    Maturity
Date		    Notional
Amount		    Value   Premiums
Paid
(Received)		   Net Unrealized
Appreciation
(Depreciation)

3-Month USD-LIBOR

        Receive        2.80 %       Quarterly/Semi-Annually        08/22/2023        USD        6,700,000      $     428,756     $     (159 )     $     428,915

6-Month JPY-LIBOR

        Pay        0.30       Semi-Annually        09/20/2027        JPY        54,610,000        (10,445 )       (912 )       (9,533 )

6-Month JPY-LIBOR

        Pay        0.35       Semi-Annually        03/17/2051        JPY        66,000,000        14,664       35,881       (21,217 )

6-Month JPY-LIBOR

        Receive        0.38       Semi-Annually        06/18/2028        JPY        460,000,000        115,942       18,311       97,631

6-Month JPY-LIBOR

        Pay        0.45       Semi-Annually        03/20/2029        JPY        440,000,000        (145,962 )       (22,963 )       (122,999 )

6-Month JPY-LIBOR

        Pay        0.52       Semi-Annually        03/16/2051        JPY        44,000,000        (10,039 )       —         (10,039 )

6-Month JPY-LIBOR

        Pay        0.54       Semi-Annually        03/15/2051        JPY        196,000,000        (53,871 )       3,138       (57,009 )

6-Month JPY-LIBOR

        Pay        0.56       Semi-Annually        03/17/2051        JPY        176,000,000        (57,286 )       —         (57,286 )

6-Month JPY-LIBOR

        Pay        0.57       Semi-Annually        03/19/2051        JPY        65,000,000        (23,468 )       —         (23,468 )

6-Month JPY-LIBOR

        Pay        0.57       Semi-Annually        04/07/2051        JPY        28,000,000        (10,128 )       —         (10,128 )

12-Month GBP-SONIA

        Pay        0.75       Annually        09/15/2051        GBP        9,500,000        (446,708 )       459,225       (905,933 )

BRL-CDI

        Pay        2.85       Maturity        01/03/2022        BRL        24,100,000        63,591       (58 )       63,649

BRL-CDI

        Pay        2.86       Maturity        01/03/2022        BRL        16,000,000        41,486       —         41,486

BRL-CDI

        Pay        2.86       Maturity        01/03/2022        BRL        8,400,000        22,127       (176 )       22,303

BRL-CDI

        Pay        2.86       Maturity        01/03/2022        BRL        9,100,000        24,035       (4 )       24,039

BRL-CDI

        Pay        2.87       Maturity        01/03/2022        BRL        5,200,000        13,491       —         13,491

BRL-CDI

        Pay        2.87       Maturity        01/03/2022        BRL        9,000,000        23,277       —         23,277

BRL-CDI

        Pay        2.88       Maturity        01/03/2022        BRL        2,000,000        5,084       —         5,084

BRL-CDI

        Receive        3.35       Maturity        01/03/2022        BRL        2,300,000        (4,356 )       —         (4,356 )

BRL-CDI

        Receive        3.35       Maturity        01/03/2022        BRL        50,700,000        (95,046 )       (877 )       (94,169 )

BRL-CDI

        Receive        3.36       Maturity        01/03/2022        BRL        300,800,000        (327,771 )       27,480       (355,251 )

BRL-CDI

        Receive        3.70       Maturity        01/03/2022        BRL        64,000,000        (101,515 )       (5,931 )       (95,584 )

BRL-CDI

        Receive        3.98       Maturity        01/03/2022        BRL        24,000,000        (30,687 )       —         (30,687 )
                                 

 

 

      

 

 

      

 

 

  

Total

                                   $ (564,829 )     $     512,955     $     (1,077,784 )
                                 

 

 

      

 

 

      

 

 

  

 

Transamerica Funds

     Page    12         

Transamerica Total Return

 

SCHEDULE OF INVESTMENTS (continued)

At July 31, 2021

(unaudited)

 

OVER-THE-COUNTER SWAP AGREEMENTS:

 

Credit Default Swap Agreements on Corporate and Sovereign Issues - Sell Protection (S)

 

 

Reference Obligation

   Counterparty   Fixed Rate
Receivable		   Payment
Frequency		   Maturity
Date		   Implied
Credit Spread at
July 31, 2021 (T)		   Notional
Amount (U)		   Value (V)   Premiums
Paid
(Received)		   Net Unrealized
Appreciation
(Depreciation)

Republic of South Africa Government International Bond, 5.50%, 03/09/2020

       GSI       1.00%       Quarterly       06/20/2024       1.38 %       USD       1,900,000     $     (18,593 )     $     (43,730 )     $ 25,137

Russian Foreign Bond - Eurobond, 7.50%, 03/31/2030

       GSI       1.00       Quarterly       12/20/2024       0.62       USD       1,500,000       20,761       6,252       14,509
                               

 

 

      

 

 

      

 

 

  

Total

                                 $ 2,168     $ (37,478 )     $     39,646
                               

 

 

      

 

 

      

 

 

  
                                       

     Value     

OTC Swap Agreements, at value (Assets)

 

         $ 20,761

OTC Swap Agreements, at value (Liabilities)

 

         $     (18,593 )

FUTURES CONTRACTS:

 

Long Futures Contracts

 

 

Description

    Number of
Contracts		    Expiration
Date		    Notional
Amount		    Value    Unrealized
Appreciation		    Unrealized
Depreciation

5-Year U.S. Treasury Note

        10        09/30/2021      $ 1,238,763      $ 1,244,453      $ 5,690      $ —  

10-Year U.S. Treasury Note

        706        09/21/2021            93,257,574            94,923,906        1,666,332        —  
                        

 

 

       

 

 

  

Total

                          $     1,672,022      $     —  
                        

 

 

       

 

 

  

Short Futures Contracts

 

 

Description

    Number of
Contracts		   Expiration
Date		    Notional
Amount		   Value   Unrealized
Appreciation		    Unrealized
Depreciation

30-Year U.S. Treasury Bond

        (45 )       09/21/2021      $ (7,014,968 )     $ (7,412,344 )     $ —        $ (397,376 )

German Euro Bund

        (2 )       09/08/2021        (407,024 )       (418,912 )       —          (11,888 )

German Euro BUXL

        (12 )       09/08/2021            (2,842,287 )           (3,061,093 )       —          (218,806 )

U.K. Gilt

        (5 )       09/28/2021        (881,602 )       (902,041 )       —          (20,439 )
                     

 

 

       

 

 

  

Total

                       $ —        $ (648,509 )
                     

 

 

       

 

 

  

Total Futures Contracts

                       $     1,672,022      $     (648,509 )
                     

 

 

       

 

 

  

FORWARD FOREIGN CURRENCY CONTRACTS:

 

 

Counterparty

      Settlement Date    Currency
Purchased		      Currency
Sold		      Unrealized
Appreciation		      Unrealized
Depreciation		  

BCLY

      08/17/2021    USD      655,753      GBP      473,000      $ —        $ (1,743 ) 

BNP

      08/03/2021    USD      1,653,575      AUD      2,209,000            32,472        —    

BNP

      08/04/2021    USD      465,895      PEN      1,720,337        42,335        —    

BOA

      08/11/2021    PEN      2,940,048      USD      753,762        —          (29,877 ) 

BOA

      10/19/2021    USD      753,337      PEN      2,940,048        29,381        —    

CITI

      08/03/2021    USD      3,731,086      BRL      19,401,649        7,274        —    

CITI

      08/03/2021    BRL      19,401,649      USD      3,788,201        —          (64,388 ) 

CITI

      08/04/2021    USD      663,314      PEN      2,410,881        69,737        —    

CITI

      08/04/2021    PEN      4,131,218      USD      1,045,243        —          (28,106 ) 

CITI

      08/11/2021    USD      743,037      PEN      2,940,048        19,152        —    

CITI

      09/02/2021    USD      671,343      PEN      2,539,221        46,201        —    

CITI

      09/02/2021    BRL      19,401,649      USD      3,716,933        —          (8,372 ) 

CITI

      09/02/2021    PEN      2,539,221      USD      649,467        —          (24,325 ) 

CITI

      09/07/2021    CLP      1,604,412,000      USD      2,230,302        —              (118,536 ) 

CITI

      09/20/2021    USD      130,000      PEN      482,277        11,249        —    

CITI

      10/06/2021    USD      1,663,085      ILS      5,501,650        —          (39,970 ) 

CITI

      10/12/2021    USD      1,045,084      PEN      4,131,218        27,798        —    

 

Transamerica Funds

     Page    13         

Transamerica Total Return

 

SCHEDULE OF INVESTMENTS (continued)

At July 31, 2021

(unaudited)

 

FORWARD FOREIGN CURRENCY CONTRACTS (continued):

 

 

Counterparty

      Settlement Date      Currency
Purchased		      Currency
Sold		      Unrealized
Appreciation		      Unrealized
Depreciation		  

CITI

        10/27/2021      USD      649,201      PEN      2,539,221      $ 23,958      $ —    

CITI

        11/30/2021      USD      4,646,822      ILS      15,204,285        —          (64,374 ) 

CITI

        12/09/2021      USD      358,099      PEN      1,316,336        34,223        —    

CITI

        02/02/2022      USD      2,012,079      ILS      6,501,950        —          (4,984 ) 

CITI

        04/06/2022      USD      1,647,874      ILS      5,400,000        —          (29,414 ) 

GSB

        08/03/2021      USD      3,788,201      BRL      19,401,649        64,388        —    

GSB

        08/03/2021      BRL      19,401,649      USD      3,839,934        —          (116,121 ) 

GSB

        09/07/2021      USD      1,667,354      PEN      6,132,778        157,437        —    

GSB

        11/12/2021      USD      217,076      PEN      813,667        16,772        —    

HSBC

        08/03/2021      EUR      863,000      USD      1,022,440        1,352        —    

HSBC

        08/17/2021      USD      23,171,391      GBP      16,391,000        386,989        —    

HSBC

        08/17/2021      USD      539,573      JPY      59,163,198        212        —    

HSBC

        09/03/2021      MXN      57,764,000      USD      2,746,821        141,872        —    

JPM

        10/04/2021      USD      22,703,356      BRL      128,600,000        —          (1,772,939 ) 

JPM

        01/04/2022      USD      1,976,734      BRL      11,300,000        —          (140,364 ) 

SCB

        08/03/2021      USD      23,235,147      EUR      19,580,000        7,040        —    

SCB

        09/02/2021      USD      22,207,348      EUR      18,717,000        —          (9,908 ) 

SCB

        09/22/2021      USD      502,900      PEN      2,000,084        10,410        —    
                   

 

 

     

 

 

  
Total               $     1,130,252      $     (2,453,421 ) 
             

 

 

     

 

 

  

INVESTMENT VALUATION:

 

Valuation Inputs (X)

 

     Level 1 -
Unadjusted
Quoted
Prices		      Level 2 -
Other
Significant
Observable
Inputs		     Level 3 -
Significant
Unobservable
Inputs		      Value  

ASSETS

 

Investments

 

Asset-Backed Securities

    $ —        $ 70,914,612     $ —        $ 70,914,612  

Corporate Debt Securities

      —          243,569,521       —          243,569,521  

Foreign Government Obligations

      —          44,320,115       —          44,320,115  

Mortgage-Backed Securities

      —          63,937,761       —          63,937,761  

Municipal Government Obligations

      —          6,281,171       —          6,281,171  

U.S. Government Agency Obligations

      —          103,745,293       —          103,745,293  

U.S. Government Obligations

      —          182,301,500       —          182,301,500  

Common Stock

      —          230       —          230  

Short-Term Foreign Government Obligations

      —          10,084,603       —          10,084,603  

Short-Term U.S. Government Obligations

      —          21,598,840       —          21,598,840  

Other Investment Company

      6,094,543        —         —          6,094,543  

Over-the-Counter Interest Rate Swaptions Purchased

      —          73,460       —          73,460  
  

 

 

     

 

 

    

 

 

     

 

 

  

Total Investments

    $ 6,094,543      $     746,827,106     $ —        $     752,921,649  
  

 

 

     

 

 

    

 

 

     

 

 

  

Other Financial Instruments

 

Centrally Cleared Credit Default Swap Agreements

    $ —        $ 2,822,894     $ —        $ 2,822,894  

Centrally Cleared Interest Rate Swap Agreements

      —          752,453       —          752,453  

Over-the-Counter Credit Default Swap Agreements

      —          20,761       —          20,761  

Futures Contracts (Y)

      1,672,022        —         —          1,672,022  

Forward Foreign Currency Contracts (Y)

      —          1,130,252       —          1,130,252  
  

 

 

     

 

 

    

 

 

     

 

 

  

Total Other Financial Instruments

    $     1,672,022      $ 4,726,360     $     —        $ 6,398,382  
  

 

 

     

 

 

    

 

 

     

 

 

  

LIABILITIES

 

Securities Sold Short

 

U.S. Government Agency Obligation

    $ —        $ (12,104,996 )    $ —        $ (12,104,996 ) 
  

 

 

     

 

 

    

 

 

     

 

 

  

Total Securities Sold Short

    $ —        $ (12,104,996 )    $ —        $ (12,104,996 ) 
  

 

 

     

 

 

    

 

 

     

 

 

  

 

Transamerica Funds

     Page    14         

Transamerica Total Return

 

SCHEDULE OF INVESTMENTS (continued)

At July 31, 2021

(unaudited)

 

INVESTMENT VALUATION (continued):

 

Valuation Inputs (continued) (X)

 

     Level 1 -
Unadjusted
Quoted
Prices		     Level 2 -
Other
Significant
Observable
Inputs		     Level 3 -
Significant
Unobservable
Inputs		      Value  

Other Financial Instruments

 

Over-the-Counter Options Written

    $ —       $ (156 )    $ —        $ (156 ) 

Over-the-Counter Interest Rate Swaptions Written

      —         (75,370 )      —          (75,370 ) 

Centrally Cleared Credit Default Swap Agreements

      —         (203,554 )      —          (203,554 ) 

Centrally Cleared Interest Rate Swap Agreements

      —         (1,317,282 )      —          (1,317,282 ) 

Over-the-Counter Credit Default Swap Agreements

      —         (18,593 )      —          (18,593 ) 

Futures Contracts (Y)

      (648,509 )      —         —          (648,509 ) 

Forward Foreign Currency Contracts (Y)

      —         (2,453,421 )      —          (2,453,421 ) 
  

 

 

    

 

 

    

 

 

     

 

 

  

Total Other Financial Instruments

    $     (648,509 )    $     (4,068,376 )    $     —        $     (4,716,885 ) 
  

 

 

    

 

 

    

 

 

     

 

 

  

FOOTNOTES TO SCHEDULE OF INVESTMENTS:

 

(A)      Floating or variable rate securities. The rates disclosed are as of July 31, 2021. For securities based on a published reference rate and spread, the reference rate and spread are indicated within the description. Variable rate securities with a floor or ceiling feature are disclosed at the inherent rate, where applicable. Certain variable rate securities are not based on a published reference rate and spread, but are determined by the issuer or agent and are based on current market conditions; these securities do not indicate a reference rate and spread in the description.
(B)      Securities are exempt from registration pursuant to Rule 144A of the Securities Act of 1933. Securities may be resold as transactions exempt from registration, normally to qualified institutional buyers. At July 31, 2021, the total value of 144A securities is $164,089,310, representing 24.7% of the Fund’s net assets.
(C)      When-issued, delayed-delivery and/or forward commitment (including TBAs) securities. Securities to be settled and delivered after July 31, 2021. Securities may display a coupon rate of 0.00%, as the rate is to be determined at time of settlement.
(D)      Securities are exempt from registration under Regulation S of the Securities Act of 1933, which exempts from registration securities offered and sold outside the United States. Securities may not be offered or sold in the United States except pursuant to an exemption from, or in a transaction not subject to, the registration requirements of the Securities Act of 1933. At July 31, 2021, the total value of Regulation S securities is $25,751,336, representing 3.9% of the Fund’s net assets.
(E)      All or a portion of the securities are on loan. The total value of all securities on loan is $82,602,898, collateralized by cash collateral of $6,094,543 and non-cash collateral, such as U.S. government securities and irrevocable letters of credit, of $78,175,480. The amount of securities on loan indicated may not correspond with the securities on loan identified because securities with pending sales are in the process of recall from the brokers.
(F)      Perpetual maturity. The date displayed is the next call date.
(G)      Restricted security. At July 31, 2021, the value of such security held by the Fund is as follows:

 

Investments

   

Description

    Acquisition
Date		      Acquisition
Cost		      Value      Value as Percentage
of Net Assets		  

Corporate Debt Securities

   

Citigroup, Inc.
Fixed until 06/03/2030,
2.57%, 06/03/2031

      05/26/2020      $     1,800,000      $     1,862,100        0.3 % 

 

(H)      Payment in-kind. Security pays interest or dividends in the form of additional bonds or preferred stock. If the security makes a cash payment in addition to in-kind, the cash rate is disclosed separately.
(I)      Security in default; partial receipt of interest payments and/or dividends declared at last payment date. At July 31, 2021, the value of this security is $1,787,825, representing 0.3% of the Fund’s net assets.
(J)      Rounds to less than $1 or $(1).
(K)      Fair valued as determined in good faith in accordance with procedures established by the Board. At July 31, 2021, the total value of securities is $230, representing less than 0.1% of the Fund’s net assets.
(L)      Securities are subject to sale-buyback transactions. The average amount of sale-buybacks outstanding during the period ended July 31, 2021 was $90,273 at a weighted average interest rate of 0.09%.
(M)      All or a portion of these securities have been segregated by the custodian as collateral to cover margin requirements for open futures contracts. The total value of such securities is $410,298.
(N)      All or a portion of these securities have been segregated by the custodian as collateral for centrally cleared swap agreements. The total value of such securities is $4,058,208.
(O)      All or a portion of these securities have been segregated by the custodian as collateral for open over-the-counter options and/or swaptions, swap agreements and forward foreign currency contracts. The total value of such securities is $2,657,088.
(P)      Percentage rounds to less than 0.1% or (0.1)%.
(Q)      Non-income producing security.
(R)      Rates disclosed reflect the yields at July 31, 2021.
(S)      If the Fund is a seller of protection and a credit event occurs, as defined under the terms of that particular swap agreement, the Fund will either (a) pay to the buyer of protection an amount equal to the notional amount of the swap and take delivery of the referenced obligation or underlying securities comprising the referenced obligation or (b) pay a net settlement amount in the form of cash or securities equal to the notional amount of the swap agreement less the recovery value of the referenced obligation or underlying securities comprising the referenced obligation.
(T)      Implied credit spreads, represented in absolute terms, utilized in determining the market value of credit default swap agreements on corporate issues or sovereign issues of an emerging country as of period end serve as an indicator of the current status of the payment/performance risk and represent the likelihood of risk of default for the credit derivative. The implied credit spread of a particular referenced entity reflects the cost of buying/selling protection and may include the referenced entity’s credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the agreement. A credit spread identified as “Defaulted” indicates a credit event has occurred for the referenced entity or obligation.
(U)      The maximum potential amount the Fund could be required to pay as a seller of credit protection or receive as a buyer of credit protection if a credit event occurs as defined under the terms of that particular swap agreement.
(V)      The quoted market prices and resulting values for credit default swap agreements on asset-backed securities and credit indices serve as an indicator of the current status of the payment/performance risk and represent the likelihood of an expected liability (or profit) for the credit derivative had the notional amount of the swap agreement been closed/sold as of the period ended. Increasing market values, in absolute terms when compared to the notional amount of the swap agreement, represent a deterioration of the referenced entity’s credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the agreement.

 

Transamerica Funds

     Page    15         

Transamerica Total Return

 

SCHEDULE OF INVESTMENTS (continued)

At July 31, 2021

(unaudited)

 

FOOTNOTES TO SCHEDULE OF INVESTMENTS (continued):

 

(W)      If the Fund is a buyer of protection and a credit event occurs, as defined under the terms of that particular swap agreement, the Fund will either (a) receive from the seller of protection an amount equal to the notional amount of the swap and deliver the referenced obligation or underlying securities comprising the referenced obligation or (b) receive a net settlement amount in the form of cash or securities equal to the notional amount of the swap agreement less the recovery value of the referenced obligation or underlying securities comprising the referenced obligation.
(X)      There were no transfers in or out of Level 3 during the period ended July 31, 2021. Please reference the Investment Valuation section of the Notes to Schedule of Investments for more information regarding investment valuation and pricing inputs.
(Y)      Derivative instruments are valued at unrealized appreciation (depreciation).

CURRENCY ABBREVIATIONS:

 

AUD

    Australian Dollar

BRL

    Brazilian Real

CLP

    Chilean Peso

EUR

    Euro

GBP

    Pound Sterling

ILS

    Israel New Shekel

JPY

    Japanese Yen

MXN

    Mexican Peso

PEN

    Peruvian Sol

USD

    United States Dollar

COUNTERPARTY ABBREVIATIONS:

 

BCLY

    Barclays Bank PLC

BNP

    BNP Paribas

BOA

    Bank of America, N.A.

CITI

    Citibank, N.A.

GSB

    Goldman Sachs Bank

GSI

    Goldman Sachs International

HSBC

    HSBC Bank USA

JPM

    JPMorgan Chase Bank, N.A.

SCB

    Standard Chartered Bank

PORTFOLIO ABBREVIATIONS:

 

BRL-CDI

    Brazil Interbank Deposit Rate

BUXL

    Bundesanleihen (German Long-Term Debt)

CMT

    Constant Maturity Treasury

EURIBOR

    Euro Interbank Offered Rate

LIBOR

    London Interbank Offered Rate

MTA

    Month Treasury Average

SOFR

    Secured Overnight Financing Rate

SOFRA

    Secured Overnight Financing Rate Average

SONIA

    Sterling Overnight Interbank Average

STRIPS

    Separate Trading of Registered Interest and Principal of Securities

TBA

    To Be Announced

 

Transamerica Funds

     Page    16         

Transamerica Total Return

 

NOTES TO SCHEDULE OF INVESTMENTS

At July 31, 2021

(unaudited)

 

INVESTMENT VALUATION

All investments in securities are recorded at their estimated fair value. The Fund values its investments at the official close of the New York Stock Exchange (“NYSE”) each day the NYSE is open for business.

The Fund utilizes various methods to measure the fair value of its investments on a recurring basis. Generally Accepted Accounting Principles in the United States of America establishes a hierarchy that prioritizes inputs to valuation methods. The inputs or methodology used for valuing securities are not necessarily an indication of the risk associated with investing in those securities. The three levels (“Levels”) of inputs of the fair value hierarchy are defined as follows:

Level 1 — Unadjusted quoted prices in active markets for identical securities.

Level 2 — Inputs, other than quoted prices included in Level 1, which are observable, either directly or indirectly. These inputs may include quoted prices for the identical instrument on an inactive market, prices for similar instruments, interest rates, prepayment speeds, credit risk, yield curves, default rates, and similar data.

Level 3 — Unobservable inputs based on the best information available in the circumstances, to the extent observable inputs are not available, which may include the Fund’s own assumptions used in determining the fair value of investments and derivative instruments.

The inputs used to measure fair value may fall into different Levels of the fair value hierarchy. In such cases, for disclosure purposes, the Level in the fair value hierarchy that is assigned to the fair value measurement of a security is determined based on the lowest Level input that is significant to the fair value measurement in its entirety. Certain investments that are measured at fair value using Net Asset Value (“NAV”) per share, or its equivalent, using the “practical expedient” have not been classified in the fair value Levels. The hierarchy classification of inputs used to value the Fund’s investments at July 31, 2021, is disclosed within the Investment Valuation section of the Schedule of Investments.

The availability of observable inputs can vary from security to security and is affected by a wide variety of factors, including, but not limited to, the type of security, whether the security is new and not yet established in the marketplace, the liquidity of markets, and other characteristics particular to the security. To the extent that valuation is based on models or inputs that are less observable or unobservable in the market, the determination of fair value requires more judgment. Accordingly, the degree of judgment exercised in determining fair value is generally greatest for instruments categorized in Level 3. Due to the inherent uncertainty of valuation, the determination of values may differ significantly from values that would have been realized had a ready market for investments existed, and the differences could be material.

Fair value measurements: Descriptions of the valuation techniques applied to the Fund’s significant categories of assets and liabilities measured at fair value on a recurring basis are as follows:

Asset-backed securities: The fair value of asset-backed securities is estimated based on models that consider the estimated cash flows of each tranche of the entity, establish a benchmark yield, and develop an estimated tranche specific spread to the benchmark yield based on the unique attributes of the tranche. To the extent the inputs are observable and timely, the values would generally be categorized in Level 2 of the fair value hierarchy; otherwise they would be categorized in Level 3.

Corporate debt securities: The fair value of corporate debt securities is estimated using various techniques, which consider recently executed transactions in securities of the issuer or comparable issuers, market price quotations (where observable), bond spreads, fundamental data relating to the issuer, and credit default swap spreads adjusted for any basis difference between cash and derivative instruments. While most corporate debt securities are categorized in Level 2 of the fair value hierarchy, in instances where lower relative weight is placed on transaction prices, quotations, or similar observable inputs, they are categorized in Level 3.

Foreign government obligations: Foreign government obligations are normally valued using a model that incorporates market observable data such as reported sales of similar securities, broker quotes, yields, bids, offers, and reference data. Certain securities are valued by principally using dealer quotations. Foreign government obligations generally are categorized in Level 2 of the fair value hierarchy, or Level 3 if inputs are unobservable.

Mortgage-backed securities: The fair value of mortgage-backed securities is estimated based on models that consider issuer type, coupon, cash flows, mortgage prepayment projection tables and adjustable rate mortgage evaluations that incorporate index data, periodic life caps and the next coupon reset date. To the extent the inputs are observable and timely, the values would generally be categorized in Level 2 of the fair value hierarchy; otherwise they are categorized in Level 3.

Municipal government obligations: The fair value of municipal government obligations and variable rate notes is estimated based on models that consider, among other factors, information received from market makers and broker-dealers, current trades, bid-want lists, offerings, market

 

Transamerica Funds

     Page    17         

Transamerica Total Return

 

NOTES TO SCHEDULE OF INVESTMENTS (continued)

At July 31, 2021

(unaudited)

 

movements, the liquidity of the bond, state of issuance, benchmark yield curves, and bond or note insurance. To the extent the inputs are observable and timely, the values would generally be categorized in Level 2 of the fair value hierarchy; otherwise they are categorized in Level 3.

U.S. government agency obligations: U.S. government agency obligations are comprised of two main categories consisting of agency issued debt and mortgage pass-throughs. Generally, agency issued debt securities are valued in a manner similar to U.S. government obligations. Mortgage pass-throughs include to be announced (“TBA”) securities and mortgage pass-through certificates. Generally, TBA securities and mortgage pass-throughs are valued using dealer quotations. Depending on market activity levels and whether quotations or other observable data are used, these securities are typically categorized in Level 2 of the fair value hierarchy; otherwise they would be categorized in Level 3.

U.S. government obligations: U.S. government obligations are normally valued using a model that incorporates market observable data such as reported sales of similar securities, broker quotes, yields, bids, offers, and reference data. Certain securities are valued by principally using dealer quotations. U.S. government obligations generally are categorized in Level 2 of the fair value hierarchy, or Level 3 if inputs are unobservable.

Equity securities: Securities are stated at the last reported sales price or closing price on the day of valuation taken from the primary exchange where the security is principally traded. To the extent these securities are actively traded and valuation adjustments are not applied, they are categorized in Level 1 of the fair value hierarchy. Equities traded on inactive markets or valued by reference to similar instruments are generally categorized in Level 2 or Level 3 if inputs are unobservable.

Foreign equity securities: Securities in which the primary trading market closes at the same time or after the NYSE, are valued based on quotations from the primary market in which they are traded and are categorized in Level 1. Because many foreign securities markets and exchanges close prior to the close of the NYSE, closing prices for foreign securities in those markets or on those exchanges do not reflect the events that occur after that close. Certain foreign securities may be fair valued using a pricing service that considers the correlation of the trading patterns of the foreign security to the intraday trading in the U.S. markets for investments such as American Depositary Receipts, financial futures, or ETFs and the movement of certain indices of securities based on a statistical analysis of their historical relationship; such valuations generally are categorized in Level 2.

Short-term notes: The Fund normally values short-term government and U.S. government agency securities using a model that incorporates market observable data such as reported sales of similar securities, broker quotes, yields, bids, offers and reference data. Certain securities are valued by principally using dealer quotations. Short-term government and U.S. government agency securities generally are categorized in Level 2 of the fair value hierarchy, or Level 3 if inputs are unobservable.

Securities lending collateral: Securities lending collateral is invested in a money market fund which is valued at the actively traded NAV and no valuation adjustments are applied. Securities lending collateral is categorized in Level 1 of the fair value hierarchy.

Restricted securities: Restricted securities for which quotations are not readily available are valued at fair value. Restricted securities issued by publicly traded companies are generally valued at a discount to similar publicly traded securities. Restricted securities issued by nonpublic entities may be valued by reference to comparable public entities and/or fundamental data relating to the issuer. Depending on the relative significance of observable valuation inputs, these instruments may be classified in either Level 2 or Level 3 of the fair value hierarchy.

Derivative instruments: Centrally cleared or listed derivatives that are actively traded are valued based on quoted prices from the exchange and are categorized in Level 1 of the fair value hierarchy. Over-the-counter (“OTC”) derivative contracts include forward, swap, swaption, and option contracts related to interest rates, foreign currencies, credit standing of reference entities, equity prices, or commodity prices. Depending on the product and the terms of the transaction, the fair value of the OTC derivative products are modeled taking into account the counterparties’ creditworthiness and using a series of techniques, including simulation models. Many pricing models do not entail material subjectivity because the methodologies employed do not necessitate significant judgments and the pricing inputs are observed from actively quoted markets, as is the case of interest rate swap and option contracts. The majority of OTC derivative products valued by the Fund using pricing models fall into this category and are categorized within Level 2 of the fair value hierarchy or Level 3 if inputs are unobservable.

 

Transamerica Funds

     Page    18         

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