JNL/PIMCO Real Return Fund

Fund Profile

Fund profile

Fund manager

JNL Series Trust

Total assets

$2.95 bn

Liabilities

$1.64 bn

Net assets

$1.31 bn

Number of holdings

419.00

Top 200 of 419 Holdings

As of Sep 2024

Security	$Holding	Balance	% of Fund	Category	Position	Country
Treasury, United States Department of	151.25 mm	149.20 mm principal	11.58	Debt	Long	USA
Treasury, United States Department of	146.10 mm	118.30 mm principal	11.18	Debt	Long	USA
Treasury, United States Department of	53.09 mm	52.00 mm principal	4.06	Debt	Long	USA
Treasury, United States Department of	48.51 mm	37.93 mm principal	3.71	Debt	Long	USA
Government National Mortgage Association	47.94 mm	51.00 mm principal	3.67	ABS-mortgage backed security	Long	USA
Treasury, United States Department of	47.78 mm	40.95 mm principal	3.66	Debt	Long	USA
Treasury, United States Department of	47.21 mm	38.52 mm principal	3.61	Debt	Long	USA
Federal National Mortgage Association, Inc.	46.57 mm	47.38 mm principal	3.57	ABS-mortgage backed security	Long	USA
Treasury, United States Department of	46.06 mm	44.50 mm principal	3.53	Debt	Long	USA
Treasury, United States Department of	44.19 mm	41.15 mm principal	3.38	Debt	Long	USA
Treasury, United States Department of	42.96 mm	20.61 mm principal	3.29	Debt	Long	USA
Segretariato Generale Della Presidenza Della Repubblica	42.55 mm	38.30 mm principal	3.26	Debt	Long	Italy
Treasury, United States Department of	41.50 mm	33.20 mm principal	3.18	Debt	Long	USA
Federal National Mortgage Association, Inc.	40.68 mm	39.80 mm principal	3.11	ABS-mortgage backed security	Long	USA
Treasury, United States Department of	39.90 mm	37.40 mm principal	3.05	Debt	Long	USA
Treasury, United States Department of	30.05 mm	29.30 mm principal	2.30	Debt	Long	USA
Treasury, United States Department of	29.53 mm	25.46 mm principal	2.26	Debt	Long	USA
Treasury, United States Department of	29.35 mm	23.85 mm principal	2.25	Debt	Long	USA
Treasury, United States Department of	28.38 mm	21.86 mm principal	2.17	Debt	Long	USA
Treasury, United States Department of	25.62 mm	22.90 mm principal	1.96	Debt	Long	USA
Treasury, United States Department of	24.49 mm	22.15 mm principal	1.87	Debt	Long	USA
Treasury, United States Department of	24.26 mm	22.73 mm principal	1.86	Debt	Long	USA
Treasury, United States Department of	23.99 mm	15.17 mm principal	1.84	Debt	Long	USA
Treasury, United States Department of	22.52 mm	22.10 mm principal	1.72	Debt	Long	USA
Treasury, United States Department of	22.15 mm	17.51 mm principal	1.70	Debt	Long	USA
Treasury, United States Department of	21.91 mm	20.50 mm principal	1.68	Debt	Long	USA
Treasury, United States Department of	21.89 mm	19.19 mm principal	1.68	Debt	Long	USA
Treasury, United States Department of	20.69 mm	19.40 mm principal	1.58	Debt	Long	USA
Treasury, United States Department of	20.28 mm	17.40 mm principal	1.55	Debt	Long	USA
Federal National Mortgage Association, Inc.	19.60 mm	19.00 mm principal	1.50	ABS-mortgage backed security	Long	USA
Treasury, United States Department of	18.72 mm	16.85 mm principal	1.43	Debt	Long	USA
Treasury, United States Department of	17.88 mm	11.70 mm principal	1.37	Debt	Long	USA
Treasury, United States Department of	17.57 mm	15.40 mm principal	1.34	Debt	Long	USA
Federal National Mortgage Association, Inc.	17.30 mm	17.10 mm principal	1.32	ABS-mortgage backed security	Long	USA
Treasury, United States Department of	16.88 mm	16.14 mm principal	1.29	Debt	Long	USA
Treasury, United States Department of	15.53 mm	7.35 mm principal	1.19	Debt	Long	USA
Treasury, United States Department of	14.66 mm	9.69 mm principal	1.12	Debt	Long	USA
Treasury, United States Department of	14.54 mm	9.68 mm principal	1.11	Debt	Long	USA
Treasury, United States Department of	14.42 mm	9.50 mm principal	1.10	Debt	Long	USA
Gouvernement De France	13.83 mm	10.50 mm principal	1.06	Debt	Long	France
Treasury, United States Department of	13.14 mm	10.81 mm principal	1.01	Debt	Long	USA
Cabinet Office, Government of Japan	12.57 mm	1.60 bn principal	0.96	Debt	Long	Japan
Cabinet Office, Government of Japan	11.84 mm	1.50 bn principal	0.91	Debt	Long	Japan
Treasury, United States Department of	11.19 mm	9.36 mm principal	0.86	Debt	Long	USA
Treasury, United States Department of	10.40 mm	9.70 mm principal	0.80	Debt	Long	USA
Treasury, United States Department of	10.31 mm	12.70 mm principal	0.79	Debt	Long	USA
Federal National Mortgage Association, Inc.	8.47 mm	8.62 mm principal	0.65	ABS-mortgage backed security	Long	USA
Treasury, United States Department of	8.44 mm	11.07 mm principal	0.65	Debt	Long	USA
Federal National Mortgage Association, Inc.	7.69 mm	8.00 mm principal	0.59	ABS-mortgage backed security	Long	USA
Treasury, United States Department of	7.60 mm	7.40 mm principal	0.58	Debt	Long	USA
Treasury, United States Department of	7.54 mm	7.20 mm principal	0.58	Debt	Long	USA
Treasury, United States Department of	7.24 mm	10.30 mm principal	0.55	Debt	Long	USA
Treasury, United States Department of	6.96 mm	6.34 mm principal	0.53	Debt	Long	USA
Treasury, United States Department of	6.13 mm	5.90 mm principal	0.47	Debt	Long	USA
EXCHANGE CLEARED IRS	5.74 mm	13.30 mm principal	0.44	Interest rate derivative	N/A	XX
Treasury, United States Department of	5.65 mm	5.40 mm principal	0.43	Debt	Long	USA
Treasury, United States Department of	5.55 mm	5.80 mm principal	0.42	Debt	Long	USA
Canada, Government of	5.50 mm	3.80 mm principal	0.42	Debt	Long	Canada
Treasury, United States Department of	5.35 mm	4.50 mm principal	0.41	Debt	Long	USA
CIFC European Funding CLO III Designated Activity Company	4.45 mm	4.00 mm principal	0.34	ABS-collateralized bond/debt obligation	Long	Ireland
First Franklin Mortgage Loan Trust 2006-FF17	4.26 mm	4.74 mm principal	0.33	ABS-collateralized bond/debt obligation	Long	USA
Hayfin Emerald CLO XII Designated Activity Company	3.67 mm	3.30 mm principal	0.28	ABS-collateralized bond/debt obligation	Long	XX
Citigroup Mortgage Loan Trust Inc.	3.07 mm	3.42 mm principal	0.24	ABS-collateralized bond/debt obligation	Long	USA
CWABS Asset-Backed Certificates Trust 2007-8	3.07 mm	3.25 mm principal	0.23	ABS-collateralized bond/debt obligation	Long	USA
Treasury, United States Department of	2.69 mm	2.64 mm principal	0.21	Debt	Long	USA
EXCHANGE CLEARED IRS	2.65 mm	10.49 mm principal	0.20	Interest rate derivative	N/A	USA
Gouvernement De France	2.56 mm	2.00 mm principal	0.20	Debt	Long	France
Armada Euro Clo III Designated Activity Company	2.27 mm	2.03 mm principal	0.17	ABS-collateralized bond/debt obligation	Long	Ireland
Government National Mortgage Association	2.26 mm	2.29 mm principal	0.17	ABS-mortgage backed security	Long	USA
Anchorage Capital Europe CLO 1 Designated Activity Company	2.20 mm	1.99 mm principal	0.17	ABS-collateralized bond/debt obligation	Long	Ireland
Segretariato Generale Della Presidenza Della Repubblica	2.20 mm	1.70 mm principal	0.17	Debt	Long	Italy
Providus CLO IV Designated Activity Company	2.10 mm	1.90 mm principal	0.16	ABS-collateralized bond/debt obligation	Long	Ireland
Toro European CLO 7 Designated Activity Company	2.00 mm	1.80 mm principal	0.15	ABS-collateralized bond/debt obligation	Long	Ireland
RASC Series 2006-EMX1 Trust	1.96 mm	2.02 mm principal	0.15	ABS-collateralized bond/debt obligation	Long	USA
EXCHANGE CLEARED IRS	1.93 mm	4.60 mm principal	0.15	Interest rate derivative	N/A	XX
Nomura Home Equity Loan, Inc., Home Equity Loan Trust, Series 2005-FM1	1.89 mm	1.95 mm principal	0.14	ABS-collateralized bond/debt obligation	Long	USA
EXCHANGE CLEARED INFLATION INDEXED SWAP	1.83 mm	16.80 mm principal	0.14	Interest rate derivative	N/A	USA
Palmer Square European Loan Funding 2024-2 Designated Activity Company	1.78 mm	1.60 mm principal	0.14	ABS-collateralized bond/debt obligation	Long	Ireland
Adagio Clo VIII Designated Activity Company	1.78 mm	1.60 mm principal	0.14	ABS-collateralized bond/debt obligation	Long	Ireland
Elmwood CLO 24 Ltd	1.75 mm	1.75 mm principal	0.13	ABS-collateralized bond/debt obligation	Long	USA
CSMC Series 2015-12R	1.73 mm	1.95 mm principal	0.13	ABS-collateralized bond/debt obligation	Long	USA
Palmer Square European Loan Funding 2024-1 Designated Activity Company	1.70 mm	1.53 mm principal	0.13	ABS-collateralized bond/debt obligation	Long	Ireland
Ocean Trails CLO 8	1.70 mm	1.70 mm principal	0.13	ABS-collateralized bond/debt obligation	Long	USA
CIT Mortgage Loan Trust 2007-1	1.59 mm	1.60 mm principal	0.12	ABS-collateralized bond/debt obligation	Long	USA
Saxon Asset Securities Trust 2004-3	1.59 mm	2.00 mm principal	0.12	ABS-collateralized bond/debt obligation	Long	USA
Oak Hill European Credit Partners VII Designated Activity Company	1.56 mm	1.41 mm principal	0.12	ABS-collateralized bond/debt obligation	Long	Ireland
LoanCore 2021-CRE5 Issuer Ltd.	1.52 mm	1.52 mm principal	0.12	ABS-collateralized bond/debt obligation	Long	USA
BDS 2022-FL11 LLC	1.51 mm	1.51 mm principal	0.12	ABS-collateralized bond/debt obligation	Long	USA
CQS US CLO 2022-2 Ltd	1.51 mm	1.51 mm principal	0.12	ABS-collateralized bond/debt obligation	Long	USA
Government National Mortgage Association	1.50 mm	1.50 mm principal	0.12	ABS-mortgage backed security	Long	USA
Venture 38 CLO Limited	1.50 mm	1.50 mm principal	0.11	ABS-collateralized bond/debt obligation	Long	USA
Vibrant CLO XI Ltd	1.50 mm	1.50 mm principal	0.11	ABS-collateralized bond/debt obligation	Long	USA
MF1 2022-FL9 LLC	1.49 mm	1.49 mm principal	0.11	ABS-collateralized bond/debt obligation	Long	USA
LoanCore 2021-CRE7 Issuer Ltd	1.48 mm	1.49 mm principal	0.11	ABS-collateralized bond/debt obligation	Long	USA
Citigroup Mortgage Loan Trust 2006-AMC1	1.41 mm	1.45 mm principal	0.11	ABS-collateralized bond/debt obligation	Long	USA
Tralee CLO VII Ltd	1.40 mm	1.40 mm principal	0.11	ABS-collateralized bond/debt obligation	Long	USA
Wind River 2019-3 CLO Ltd.	1.40 mm	1.40 mm principal	0.11	ABS-collateralized bond/debt obligation	Long	USA
EXCHANGE CLEARED IRS	1.38 mm	149.53 mm principal	0.11	Interest rate derivative	N/A	XX
EXCHANGE CLEARED IRS	1.37 mm	21.70 mm principal	0.10	Interest rate derivative	N/A	USA
Thornburg Mortgage Securities Trust	1.35 mm	1.60 mm principal	0.10	ABS-mortgage backed security	Long	USA
Henley CLO VII DAC	1.33 mm	1.20 mm principal	0.10	ABS-collateralized bond/debt obligation	Long	Ireland
Credit-Based Asset Servicing and Securitization LLC	1.32 mm	2.00 mm principal	0.10	ABS-collateralized bond/debt obligation	Long	USA
SLM Student Loan Trust 2004-1	1.27 mm	1.29 mm principal	0.10	ABS-collateralized bond/debt obligation	Long	USA
Carlyle Global Market Strategies Euro CLO 2014-2 Designated Activity Company	1.23 mm	1.11 mm principal	0.09	ABS-collateralized bond/debt obligation	Long	Ireland
CIFC Funding Ltd 2015-I	1.23 mm	1.23 mm principal	0.09	ABS-collateralized bond/debt obligation	Long	USA
Neuberger Berman Loan Advisers NBLA CLO 53 Ltd	1.20 mm	1.20 mm principal	0.09	ABS-collateralized bond/debt obligation	Long	USA
Sound Point CLO IX Ltd	1.20 mm	1.20 mm principal	0.09	ABS-collateralized bond/debt obligation	Long	USA
Arbor Realty Collateralized Loan Obligation Ltd	1.19 mm	1.19 mm principal	0.09	ABS-collateralized bond/debt obligation	Long	USA
BAC Bank of America Corporation	1.17 mm	1.16 mm principal	0.09	Debt	Long	USA
New Residential Mortgage Loan Trust 2019-RPL3	1.15 mm	1.20 mm principal	0.09	ABS-mortgage backed security	Long	USA
First Franklin Mortgage Loan Trust 2006-FF10	1.14 mm	1.18 mm principal	0.09	ABS-collateralized bond/debt obligation	Long	USA
Government National Mortgage Association	1.12 mm	1.10 mm principal	0.09	ABS-mortgage backed security	Long	USA
Arbour CLO VI Designated Activity Company	1.11 mm	1.00 mm principal	0.09	ABS-collateralized bond/debt obligation	Long	Ireland
Morgan Stanley ABS Capital Trust I Inc.	1.10 mm	1.17 mm principal	0.08	ABS-collateralized bond/debt obligation	Long	USA
Citigroup Mortgage Loan Trust 2007-AMC4	1.09 mm	1.20 mm principal	0.08	ABS-collateralized bond/debt obligation	Long	USA
Adagio V CLO Designated Activity Company	1.06 mm	958.12 k principal	0.08	ABS-collateralized bond/debt obligation	Long	Ireland
Federal National Mortgage Association, Inc.	1.04 mm	1.01 mm principal	0.08	ABS-mortgage backed security	Long	USA
Sound Point CLO XXVIII, Ltd	1.00 mm	1.00 mm principal	0.08	ABS-collateralized bond/debt obligation	Long	USA
Federal Home Loan Mortgage Corporation	957.82 k	972.28 k principal	0.07	ABS-mortgage backed security	Long	USA
Octagon Investment Partners 18-R Ltd.	946.61 k	945.64 k principal	0.07	ABS-collateralized bond/debt obligation	Long	USA
Soundview Home Loan Trust 2007-OPT1	931.91 k	1.34 mm principal	0.07	ABS-collateralized bond/debt obligation	Long	USA
Segretariato Generale Della Presidenza Della Repubblica	909.12 k	800.00 k principal	0.07	Debt	Long	Italy
AG Trust 2024-NLP	900.56 k	900.00 k principal	0.07	ABS-mortgage backed security	Long	USA
Palmer Square European Loan Funding 2023-3 Designated Activity Company	895.58 k	802.52 k principal	0.07	ABS-collateralized bond/debt obligation	Long	Ireland
EXCHANGE CLEARED INFLATION INDEXED SWAP	889.27 k	8.70 mm principal	0.07	Interest rate derivative	N/A	USA
Home Equity Asset Trust	878.74 k	907.21 k principal	0.07	ABS-collateralized bond/debt obligation	Long	USA
Tikehau CLO IV B.V.	854.77 k	768.66 k principal	0.07	ABS-collateralized bond/debt obligation	Long	Ireland
Citigroup Mortgage Loan Trust 2007-AMC3	849.51 k	969.57 k principal	0.07	ABS-collateralized bond/debt obligation	Long	USA
Palmer Square Loan Funding Ltd	848.36 k	847.91 k principal	0.06	ABS-collateralized bond/debt obligation	Long	USA
Morgan Stanley ABS Capital Trust I Inc.	841.03 k	866.17 k principal	0.06	ABS-collateralized bond/debt obligation	Long	USA
Gallatin CLO VIII 2017-1 Ltd	822.89 k	822.29 k principal	0.06	ABS-collateralized bond/debt obligation	Long	USA
BlueMountain CLO XXII Ltd	822.47 k	821.91 k principal	0.06	ABS-collateralized bond/debt obligation	Long	USA
Alternative Loan Trust 2007-1T1	813.46 k	2.20 mm principal	0.06	ABS-mortgage backed security	Long	USA
Securitized Asset Backed Receivables LLC Trust 2006-HE1	810.16 k	2.52 mm principal	0.06	ABS-collateralized bond/debt obligation	Long	USA
OSD CLO 2021-23 Ltd/LLC	809.80 k	809.26 k principal	0.06	ABS-collateralized bond/debt obligation	Long	USA
Fidelity Grand Harbour CLO 2019-1 Designated Activity Company	779.11 k	699.80 k principal	0.06	ABS-collateralized bond/debt obligation	Long	Ireland
Crestline Denali CLO XV, Ltd.	777.11 k	776.72 k principal	0.06	ABS-collateralized bond/debt obligation	Long	USA
Rad CLO 4, Ltd.	761.83 k	761.30 k principal	0.06	ABS-collateralized bond/debt obligation	Long	USA
Venture XXVIII CLO, Limited	752.49 k	752.46 k principal	0.06	ABS-collateralized bond/debt obligation	Long	USA
CBAM 2019-10, Ltd.	752.17 k	751.15 k principal	0.06	ABS-collateralized bond/debt obligation	Long	USA
TOTAL RETURN SWAP	717.15 k	60.00 mm principal	0.05	Interest rate derivative	N/A	USA
Saranac CLO VI Limited	715.12 k	714.13 k principal	0.05	ABS-collateralized bond/debt obligation	Long	USA
Citigroup Mortgage Loan Trust 2007-AR4	693.73 k	813.27 k principal	0.05	ABS-mortgage backed security	Long	USA
Barings CLO Ltd 2016-II	689.70 k	689.37 k principal	0.05	ABS-collateralized bond/debt obligation	Long	USA
Carlyle Euro CLO 2017-2 Designated Activity Company	679.90 k	610.94 k principal	0.05	ABS-collateralized bond/debt obligation	Long	Ireland
Palmer Square European Loan Funding 2022-2 Designated Activity Company	678.87 k	609.72 k principal	0.05	ABS-collateralized bond/debt obligation	Long	Ireland
EXCHANGE CLEARED INFLATION INDEXED SWAP	669.26 k	4.50 mm principal	0.05	Interest rate derivative	N/A	USA
Carlyle US CLO 2017-1, Ltd.	666.54 k	666.47 k principal	0.05	ABS-collateralized bond/debt obligation	Long	USA
Lloyds Banking Group PLC	666.30 k	600.00 k principal	0.05	Debt	Long	UK
St.Paul's CLO X Designated Activity Company	664.01 k	600.00 k principal	0.05	ABS-collateralized bond/debt obligation	Long	Ireland
WaMu Mortgage Pass-Through Certificates, Series 2006-AR9 Trust	657.92 k	694.57 k principal	0.05	ABS-mortgage backed security	Long	USA
Toro European CLO 5 Designated Activity Company	657.06 k	590.31 k principal	0.05	ABS-collateralized bond/debt obligation	Long	Ireland
Federal Home Loan Mortgage Corporation	649.51 k	656.61 k principal	0.05	ABS-mortgage backed security	Long	USA
WFC Wells Fargo & Company	641.10 k	500.00 shares	0.05	Preferred equity	Long	USA
Harvest CLO XXI Designated Activity Company	640.36 k	577.38 k principal	0.05	ABS-collateralized bond/debt obligation	Long	Ireland
Blackrock European CLO IV Designated Activity Company	639.27 k	574.57 k principal	0.05	ABS-collateralized bond/debt obligation	Long	USA
TCW CLO 2019-1 AMR Ltd	600.53 k	600.00 k principal	0.05	ABS-collateralized bond/debt obligation	Long	USA
Sandstone Peak Ltd	600.11 k	600.00 k principal	0.05	ABS-collateralized bond/debt obligation	Long	USA
Bain Capital Credit CLO 2021-2 Ltd	600.11 k	600.00 k principal	0.05	ABS-collateralized bond/debt obligation	Long	USA
OZLM XXIV Ltd	599.85 k	600.00 k principal	0.05	ABS-collateralized bond/debt obligation	Long	USA
Federal National Mortgage Association, Inc.	596.83 k	606.94 k principal	0.05	ABS-mortgage backed security	Long	USA
CIFC Funding 2018-III Ltd	584.80 k	583.83 k principal	0.04	ABS-collateralized bond/debt obligation	Long	USA
Octagon Investment Partners XXI, Ltd.	583.57 k	583.05 k principal	0.04	ABS-collateralized bond/debt obligation	Long	USA
EXCHANGE CLEARED INFLATION INDEXED SWAP	575.64 k	3.70 mm principal	0.04	Interest rate derivative	N/A	USA
Cedar Funding V CLO, Ltd.	557.89 k	557.82 k principal	0.04	ABS-collateralized bond/debt obligation	Long	USA
Bastille Euro CLO 2020-3 Designated Activity Company	556.64 k	500.00 k principal	0.04	ABS-collateralized bond/debt obligation	Long	XX
Dryden 44 Euro CLO 2015 B.V.	553.24 k	500.00 k principal	0.04	ABS-collateralized bond/debt obligation	Long	Ireland
Contego CLO IV Designated Activity Company	550.74 k	497.67 k principal	0.04	ABS-collateralized bond/debt obligation	Long	Germany
EXCHANGE CLEARED INFLATION INDEXED SWAP	519.01 k	6.50 mm principal	0.04	Interest rate derivative	N/A	USA
Allegro CLO IX Ltd	511.00 k	510.74 k principal	0.04	ABS-collateralized bond/debt obligation	Long	USA
Dryden 64 CLO, Ltd.	510.34 k	510.28 k principal	0.04	ABS-collateralized bond/debt obligation	Long	USA
Capital Four US CLO II Ltd.	505.09 k	500.00 k principal	0.04	ABS-collateralized bond/debt obligation	Long	USA
CVC Cordatus Loan Fund III Designated Activity Company	504.22 k	453.62 k principal	0.04	ABS-collateralized bond/debt obligation	Long	Ireland
Kayne CLO 5 Ltd	500.36 k	500.00 k principal	0.04	ABS-collateralized bond/debt obligation	Long	USA
Voya CLO 2019-2 Ltd	500.14 k	500.00 k principal	0.04	ABS-collateralized bond/debt obligation	Long	USA
Atlas Senior Loan Fund XV Ltd	500.00 k	500.00 k principal	0.04	ABS-collateralized bond/debt obligation	Long	USA
Palmer Square Loan Funding 2020-3, Ltd.	497.98 k	497.54 k principal	0.04	ABS-collateralized bond/debt obligation	Long	USA
MidOcean Credit CLO VIII	490.89 k	490.42 k principal	0.04	ABS-collateralized bond/debt obligation	Long	USA
Morgan Stanley ABS Capital I Inc. Trust 2006-HE8	489.34 k	1.18 mm principal	0.04	ABS-collateralized bond/debt obligation	Long	USA
Crestline Denali CLO XIV Ltd	487.32 k	487.07 k principal	0.04	ABS-collateralized bond/debt obligation	Long	USA
KKR CLO 11 Ltd	479.05 k	477.90 k principal	0.04	ABS-collateralized bond/debt obligation	Long	USA
VMC Finance 2022-FL5 LLC	469.29 k	470.32 k principal	0.04	ABS-collateralized bond/debt obligation	Long	USA
Madison Park Funding XXIX LTD	466.34 k	465.98 k principal	0.04	ABS-collateralized bond/debt obligation	Long	USA
CBAM 2018-5 Ltd	459.36 k	459.16 k principal	0.04	ABS-collateralized bond/debt obligation	Long	USA
LCM XV LP	445.52 k	445.19 k principal	0.03	ABS-collateralized bond/debt obligation	Long	USA
BlueMountain EUR CLO 2016-1 DAC	443.58 k	398.70 k principal	0.03	ABS-collateralized bond/debt obligation	Long	Ireland
Apidos CLO XXVII	435.37 k	435.34 k principal	0.03	ABS-collateralized bond/debt obligation	Long	USA
FUTURE - PHYSICALLY DELIVERED	431.75 k	301.00 contracts	0.03	Interest rate derivative	N/A	Germany
522 Funding CLO 2018-3(A), Ltd.	427.07 k	426.64 k principal	0.03	ABS-collateralized bond/debt obligation	Long	USA
Eurosail-UK 2007-3BL PLC	419.10 k	314.77 k principal	0.03	ABS-mortgage backed security	Long	UK
Treasury, United States Department of	412.18 k	260.00 k principal	0.03	Debt	Long	USA
Towd Point Mortgage Trust 2019-HY3	405.72 k	398.41 k principal	0.03	ABS-collateralized bond/debt obligation	Long	USA
EXCHANGE CLEARED INFLATION INDEXED SWAP	398.49 k	4.85 mm principal	0.03	Interest rate derivative	N/A	USA
Dryden 52 Euro Clo 2017 B.V. In Liquidatie	397.38 k	357.74 k principal	0.03	ABS-collateralized bond/debt obligation	Long	Ireland
Romark CLO Ltd	386.02 k	385.65 k principal	0.03	ABS-collateralized bond/debt obligation	Long	USA
RALI Series 2007-QH8 Trust	383.65 k	435.74 k principal	0.03	ABS-mortgage backed security	Long	USA
Black Diamond CLO 2019-1 Designated Activity Company	379.64 k	341.22 k principal	0.03	ABS-collateralized bond/debt obligation	Long	Ireland
UNITED STATES DOLLAR BNP Paribas Securities	376.72 k	104.70 mm principal	0.03	DFE	N/A	USA
FUTURE - PHYSICALLY DELIVERED	368.64 k	127.00 contracts	0.03	Interest rate derivative	N/A	Germany
Federal National Mortgage Association, Inc.	366.53 k	366.70 k principal	0.03	ABS-mortgage backed security	Long	USA