NYLI VP PIMCO Real Return Portfolio

Fund Profile

Fund profile

Fund manager

Mainstay VP Funds Trust

Total assets

$822.50 mm

Liabilities

$410.61 mm

Net assets

$411.89 mm

Number of holdings

334.00

Top 200 of 334 Holdings

As of Dec 2024

Security	$Holding	Balance	% of Fund	Category	Position	Country
U.S. Treasury Inflation Linked Notes	35.73 mm	36.80 mm principal	8.67	Debt	Long	USA
U.S. Treasury Inflation Linked Notes	28.08 mm	25.00 mm principal	6.82	Debt	Long	USA
U.S. Treasury Inflation Linked Notes	18.57 mm	19.10 mm principal	4.51	Debt	Long	USA
UMBS, Single Family, 30 Year	18.53 mm	19.70 mm principal	4.50	ABS-mortgage backed security	Long	USA
U.S. Treasury Inflation Linked Notes	15.89 mm	16.30 mm principal	3.86	Debt	Long	USA
UMBS, Single Family, 30 Year	15.37 mm	15.30 mm principal	3.73	ABS-mortgage backed security	Long	USA
U.S. Treasury Inflation Linked Bonds	15.29 mm	10.22 mm principal	3.71	Debt	Long	USA
U.S. Treasury Inflation Linked Notes	14.34 mm	13.70 mm principal	3.48	Debt	Long	USA
U.S. Treasury Inflation Linked Notes	13.79 mm	13.30 mm principal	3.35	Debt	Long	USA
U.S. Treasury Inflation Linked Notes	13.06 mm	10.81 mm principal	3.17	Debt	Long	USA
U.S. Treasury Inflation Linked Notes	12.43 mm	11.60 mm principal	3.02	Debt	Long	USA
GNMA II, Single Family, 30 Year	12.42 mm	13.90 mm principal	3.02	ABS-mortgage backed security	Long	USA
Italy Buoni Poliennali del Tesoro	11.90 mm	11.50 mm principal	2.89	Debt	Long	Italy
U.S. Treasury Inflation Linked Notes	11.65 mm	11.80 mm principal	2.83	Debt	Long	USA
U.S. Treasury Inflation Linked Notes	11.50 mm	11.80 mm principal	2.79	Debt	Long	USA
U.S. Treasury Inflation Linked Notes	11.07 mm	8.61 mm principal	2.69	Debt	Long	USA
U.S. Treasury Inflation Linked Notes	10.90 mm	9.54 mm principal	2.65	Debt	Long	USA
U.S. Treasury Inflation Linked Notes	10.70 mm	10.10 mm principal	2.60	Debt	Long	USA
U.S. Treasury Inflation Linked Notes	9.74 mm	8.10 mm principal	2.36	Debt	Long	USA
U.S. Treasury Inflation Linked Notes	9.45 mm	8.52 mm principal	2.30	Debt	Long	USA
U.S. Treasury Inflation Linked Bonds	7.76 mm	6.89 mm principal	1.88	Debt	Long	USA
U.S. Treasury Inflation Linked Notes	7.68 mm	7.14 mm principal	1.87	Debt	Long	USA
U.S. Treasury Inflation Linked Bonds	7.38 mm	4.64 mm principal	1.79	Debt	Long	USA
U.S. Treasury Inflation Linked Bonds	7.32 mm	7.74 mm principal	1.78	Debt	Long	USA
U.S. Treasury Inflation Linked Bonds	7.03 mm	7.24 mm principal	1.71	Debt	Long	USA
U.S. Treasury Inflation Linked Bonds	6.73 mm	4.83 mm principal	1.63	Debt	Long	USA
U.S. Treasury Inflation Linked Bonds	6.18 mm	4.13 mm principal	1.50	Debt	Long	USA
U.S. Treasury Inflation Linked Notes	6.13 mm	6.00 mm principal	1.49	Debt	Long	USA
U.S. Treasury Inflation Linked Bonds	6.01 mm	5.99 mm principal	1.46	Debt	Long	USA
U.S. Treasury Inflation Linked Bonds	5.59 mm	5.23 mm principal	1.36	Debt	Long	USA
U.S. Treasury Inflation Linked Notes	5.54 mm	4.23 mm principal	1.35	Debt	Long	USA
UMBS, Single Family, 30 Year	5.03 mm	5.50 mm principal	1.22	ABS-mortgage backed security	Long	USA
U.S. Treasury Inflation Linked Notes	4.99 mm	4.25 mm principal	1.21	Debt	Long	USA
GNMA, Series 2023-H20, Class FA	4.98 mm	4.94 mm principal	1.21	ABS-mortgage backed security	Long	USA
U.S. Treasury Inflation Linked Bonds	4.87 mm	3.46 mm principal	1.18	Debt	Long	USA
U.S. Treasury Inflation Linked Notes	4.82 mm	4.90 mm principal	1.17	Debt	Long	USA
U.S. Treasury Inflation Linked Notes	4.64 mm	4.70 mm principal	1.13	Debt	Long	USA
U.S. Treasury Inflation Linked Notes	4.53 mm	3.80 mm principal	1.10	Debt	Long	USA
Japan Government CPI Linked Bond	4.46 mm	615.00 mm principal	1.08	Debt	Long	Japan
U.S. Treasury Inflation Linked Bonds	4.19 mm	4.40 mm principal	1.02	Debt	Long	USA
France Government Bond	3.84 mm	3.10 mm principal	0.93	Debt	Long	France
U.S. Treasury Inflation Linked Bonds	3.59 mm	3.81 mm principal	0.87	Debt	Long	USA
U.S. Treasury Inflation Linked Bonds	3.57 mm	4.20 mm principal	0.87	Debt	Long	USA
Japan Government CPI Linked Bond	3.14 mm	431.00 mm principal	0.76	Debt	Long	Japan
U.S. Treasury Inflation Linked Notes	2.52 mm	2.26 mm principal	0.61	Debt	Long	USA
U.S. Treasury Inflation Linked Bonds	2.41 mm	3.61 mm principal	0.58	Debt	Long	USA
U.S. Treasury Inflation Linked Bonds	2.13 mm	2.98 mm principal	0.52	Debt	Long	USA
Barings Euro CLO DAC, Series 2021-2A, Class A	2.06 mm	2.00 mm principal	0.50	ABS-collateralized bond/debt obligation	Long	Ireland
U.S. Treasury Inflation Linked Notes	1.95 mm	1.90 mm principal	0.47	Debt	Long	USA
U.S. Treasury Inflation Linked Bonds	1.79 mm	1.78 mm principal	0.43	Debt	Long	USA
Italy Buoni Poliennali del Tesoro	1.57 mm	1.30 mm principal	0.38	Debt	Long	Italy
Rad CLO 5 Ltd., Series 2019-5A, Class AR	1.44 mm	1.44 mm principal	0.35	ABS-collateralized bond/debt obligation	Long	Cayman Islands
CIFC European Funding CLO III DAC, Series 3A, Class A	1.24 mm	1.20 mm principal	0.30	ABS-collateralized bond/debt obligation	Long	Ireland
Greywolf CLO III Ltd., Series 2020-3RA, Class A1R2	1.20 mm	1.20 mm principal	0.29	ABS-collateralized bond/debt obligation	Long	Cayman Islands
BlueMountain Fuji EUR CLO V DAC, Series 5A, Class A	1.14 mm	1.10 mm principal	0.28	ABS-collateralized bond/debt obligation	Long	Ireland
Option One Mortgage Loan Trust, Series 2006-1, Class M1	1.12 mm	1.20 mm principal	0.27	ABS-other	Long	USA
Popular ABS Mortgage Pass-Through Trust, Series 2006-A, Class M2	1.11 mm	1.19 mm principal	0.27	ABS-other	Long	USA
U.S. Treasury Inflation Linked Bonds	1.11 mm	1.80 mm principal	0.27	Debt	Long	USA
LCM 30 Ltd., Series 30A, Class AR	1.07 mm	1.07 mm principal	0.26	ABS-collateralized bond/debt obligation	Long	Cayman Islands
Adagio CLO VIII DAC, Series VIII-A, Class AN	1.06 mm	1.02 mm principal	0.26	ABS-collateralized bond/debt obligation	Long	Ireland
CVC Cordatus Loan Fund XXI DAC, Series 21A, Class A1E	1.03 mm	1.00 mm principal	0.25	ABS-collateralized bond/debt obligation	Long	Ireland
Arbor Realty Commercial Real Estate Notes Ltd., Series 2022-FL1, Class A	1.01 mm	1.01 mm principal	0.25	ABS-collateralized bond/debt obligation	Long	Cayman Islands
CWABS Asset-Backed Certificates Trust, Series 2007-8, Class 1A1	995.26 k	1.07 mm principal	0.24	ABS-other	Long	UK
Cumulus Static CLO DAC, Series 2023-1A, Class A	970.08 k	935.98 k principal	0.24	ABS-collateralized bond/debt obligation	Long	Ireland
Anchorage Capital Europe CLO 1 DAC, Series 1A, Class A1R	949.16 k	918.02 k principal	0.23	ABS-collateralized bond/debt obligation	Long	Ireland
NYLI U.S. Government Liquidity Fund, Class I	931.99 k	931.99 k shares	0.23	Short-term investment vehicle	Long	USA
Anchorage Capital CLO 20 Ltd., Series 2021-20A, Class A1R	900.00 k	900.00 k principal	0.22	ABS-collateralized bond/debt obligation	Long	Cayman Islands
VMC Finance LLC, Series 2022-FL5, Class A	847.76 k	851.44 k principal	0.21	ABS-collateralized bond/debt obligation	Long	USA
LCM Loan Income Fund I Ltd., Series 1A, Class A	847.17 k	846.46 k principal	0.21	ABS-collateralized bond/debt obligation	Long	Cayman Islands
France Government Bond	826.92 k	700.00 k principal	0.20	Debt	Long	France
Canadian Government Real Return Bond	814.66 k	600.00 k principal	0.20	Debt	Long	Canada
Carlyle Global Market Strategies Euro CLO Ltd., Series 2014-2A, Class AR1	793.98 k	769.41 k principal	0.19	ABS-collateralized bond/debt obligation	Long	Ireland
OIS	782.26 k	4.10 mm principal	0.19	Interest rate derivative	N/A	UK
FHLMC,REMIC, Series 4694, Class FA	740.07 k	757.01 k principal	0.18	ABS-mortgage backed security	Long	USA
Ares European CLO X DAC, Series 10A, Class AR	725.13 k	701.06 k principal	0.18	ABS-collateralized bond/debt obligation	Long	Ireland
Forward Foreign Currency Contract Barclays Bank	662.86 k	1.00 contracts	0.16	DFE	N/A	N/A
U.S. Treasury Inflation Linked Bonds	629.37 k	327.00 k principal	0.15	Debt	Long	USA
Italy Buoni Poliennali Del Tesoro	628.89 k	600.00 k principal	0.15	Debt	Long	Italy
OSD CLO Ltd., Series 2021-23A, Class A	626.52 k	626.52 k principal	0.15	ABS-collateralized bond/debt obligation	Long	Cayman Islands
IRS	600.66 k	1.40 mm principal	0.15	Interest rate derivative	N/A	UK
U.S. Treasury Inflation Linked Bonds	593.84 k	650.00 k principal	0.14	Debt	Long	USA
USCPI	574.21 k	5.40 mm principal	0.14	Interest rate derivative	N/A	UK
Venture 36 CLO Ltd., Series 2019-36A, Class A1AR	566.60 k	566.01 k principal	0.14	ABS-collateralized bond/debt obligation	Long	Cayman Islands
U.S. Treasury 10 Year Notes	555.69 k	-512.00 contracts	0.13	Interest rate derivative	N/A	USA
RASC Trust, Series 2005-EMX1, Class M2	552.39 k	556.85 k principal	0.13	ABS-other	Long	USA
RALI Trust, Series 2006-QH1, Class A1	550.74 k	629.42 k principal	0.13	ABS-mortgage backed security	Long	USA
LoanCore Issuer Ltd., Series 2022-CRE7, Class A	524.31 k	524.45 k principal	0.13	ABS-collateralized bond/debt obligation	Long	Cayman Islands
Palmer Square European Loan Funding DAC, Series 2023-3A, Class AR	517.72 k	500.00 k principal	0.13	ABS-collateralized bond/debt obligation	Long	Ireland
Madison Park Euro Funding IX DAC, Series 9A, Class AR	515.20 k	500.00 k principal	0.13	ABS-collateralized bond/debt obligation	Long	Ireland
Invesco Euro CLO I DAC, Series 1A, Class A1R	514.60 k	500.00 k principal	0.12	ABS-collateralized bond/debt obligation	Long	Ireland
GNMA, Series 2023-H11, Class FC	508.40 k	498.44 k principal	0.12	ABS-mortgage backed security	Long	USA
Sound Point CLO IX Ltd., Series 2015-2A, Class ARRR	500.67 k	500.00 k principal	0.12	ABS-collateralized bond/debt obligation	Long	Cayman Islands
Bain Capital Euro CLO DAC, Series 2020-1A, Class A	494.00 k	477.11 k principal	0.12	ABS-collateralized bond/debt obligation	Long	Ireland
UMBS, 30 Year	489.54 k	519.45 k principal	0.12	ABS-mortgage backed security	Long	USA
Arbor Realty Commercial Real Estate Notes Ltd., Series 2021-FL4, Class A	481.39 k	481.37 k principal	0.12	ABS-collateralized bond/debt obligation	Long	Cayman Islands
Credit-Based Asset Servicing and Securitization LLC, Series 2007-CB6, Class A3	469.01 k	725.37 k principal	0.11	ABS-other	Long	USA
Dryden 52 Euro CLO DAC, Series 2017-52A, Class AR	448.40 k	433.69 k principal	0.11	ABS-collateralized bond/debt obligation	Long	Ireland
IndyMac INDX Mortgage Loan Trust, Series 2005-AR14, Class 1A1A	435.27 k	605.93 k principal	0.11	ABS-mortgage backed security	Long	USA
UMBS, 30 Year	429.60 k	455.96 k principal	0.10	ABS-mortgage backed security	Long	USA
CIFC Funding Ltd., Series 2018-3A, Class A	411.07 k	410.41 k principal	0.10	ABS-collateralized bond/debt obligation	Long	Cayman Islands
UMBS, 30 Year	382.38 k	417.44 k principal	0.09	ABS-mortgage backed security	Long	USA
Vibrant CLO XI Ltd., Series 2019-11A, Class A1R1	373.86 k	373.31 k principal	0.09	ABS-collateralized bond/debt obligation	Long	Cayman Islands
Gallatin CLO VIII Ltd., Series 2017-1A, Class A1R	350.95 k	350.75 k principal	0.09	ABS-collateralized bond/debt obligation	Long	Cayman Islands
Credit Suisse First Boston Mortgage Securities Corp., Series 2001-HE17, Class A1	329.08 k	339.84 k principal	0.08	ABS-other	Long	USA
RASC Trust, Series 2006-EMX4, Class A4	322.45 k	332.14 k principal	0.08	ABS-other	Long	USA
UMBS Pool, 30 Year	321.86 k	378.18 k principal	0.08	ABS-mortgage backed security	Long	USA
First Franklin Mortgage Loan Trust, Series 2006-FF17, Class A2	310.58 k	350.72 k principal	0.08	ABS-other	Long	USA
GNMA, Series 2018-H15, Class FG	295.36 k	296.39 k principal	0.07	ABS-mortgage backed security	Long	USA
Mexican Udibonos	283.83 k	6.68 mm principal	0.07	Debt	Long	Mexico
OIS	282.11 k	1.55 mm principal	0.07	Interest rate derivative	N/A	UK
GSAA Home Equity Trust, Series 2006-17, Class A3A	278.86 k	932.55 k principal	0.07	ABS-other	Long	USA
USCPI	275.13 k	2.70 mm principal	0.07	Interest rate derivative	N/A	UK
Peru Government Bond	274.55 k	1.00 mm principal	0.07	Debt	Long	Peru
UMBS, 30 Year	270.79 k	295.99 k principal	0.07	ABS-mortgage backed security	Long	USA
U.S. Treasury Long Bonds	263.18 k	-82.00 contracts	0.06	Interest rate derivative	N/A	USA
LCM XXV Ltd., Series 25A, Class AR	248.74 k	248.63 k principal	0.06	ABS-collateralized bond/debt obligation	Long	Cayman Islands
Thornburg Mortgage Securities Trust, Series 2004-2, Class A1	247.09 k	264.85 k principal	0.06	ABS-mortgage backed security	Long	USA
Washington Mutual Mortgage Pass-Through Certificates WMALT Trust, Series 2007-HY1, Class A2A	239.65 k	316.86 k principal	0.06	ABS-mortgage backed security	Long	USA
Peru Government Bond	237.39 k	900.00 k principal	0.06	Debt	Long	Peru
OIS	231.22 k	1.25 mm principal	0.06	Interest rate derivative	N/A	UK
Euro-OAT	225.17 k	-96.00 contracts	0.05	Interest rate derivative	N/A	Germany
IRS	224.95 k	5.90 mm principal	0.05	Interest rate derivative	N/A	UK
U.S. Treasury Ultra Bonds	223.30 k	-58.00 contracts	0.05	Interest rate derivative	N/A	USA
Jyske Realkredit A/S, Series CCE	220.72 k	1.98 mm principal	0.05	Debt	Long	Denmark
SLM Student Loan Trust, Series 2004-3A, Class A6B	218.78 k	218.75 k principal	0.05	ABS-other	Long	USA
Lloyds Banking Group plc	207.17 k	200.00 k principal	0.05	Debt	Long	UK
Black Diamond CLO DAC, Series 2017-2A, Class A1	204.41 k	197.36 k principal	0.05	ABS-collateralized bond/debt obligation	Long	Ireland
CIFC Funding Ltd., Series 2017-4A, Class A1R	192.88 k	192.59 k principal	0.05	ABS-collateralized bond/debt obligation	Long	Cayman Islands
BAC Bank of America Corporation	190.46 k	190.00 k principal	0.05	Debt	Long	USA
Atlas Static Senior Loan Fund I Ltd., Series 2022-1A, Class AR	188.84 k	188.59 k principal	0.05	ABS-collateralized bond/debt obligation	Long	Cayman Islands
USCPI	185.80 k	2.20 mm principal	0.05	Interest rate derivative	N/A	UK
Alternative Loan Trust, Series 2007-1T1, Class 1A1	181.67 k	523.88 k principal	0.04	ABS-mortgage backed security	Long	USA
OZLM XXIV Ltd., Series 2019-24A, Class A1AR	180.05 k	179.78 k principal	0.04	ABS-collateralized bond/debt obligation	Long	Cayman Islands
Securitized Asset-Backed Receivables LLC Trust, Series 2006-HE1, Class A2C	175.49 k	510.49 k principal	0.04	ABS-other	Long	USA
Forward Foreign Currency Contract BNP Paribas	169.92 k	1.00 contracts	0.04	DFE	N/A	N/A
Jyske Realkredit A/S, Series CCE	168.91 k	1.53 mm principal	0.04	Debt	Long	Denmark
Romark CLO Ltd., Series 2017-1A, Class A1R	163.50 k	163.36 k principal	0.04	ABS-collateralized bond/debt obligation	Long	Cayman Islands
Ares European CLO VI DAC, Series 2013-6A, Class ARR	161.24 k	155.70 k principal	0.04	ABS-collateralized bond/debt obligation	Long	Ireland
Soundview Home Loan Trust, Series 2007-OPT1, Class 1A1	159.20 k	234.66 k principal	0.04	ABS-other	Long	USA
Palmer Square Loan Funding Ltd., Series 2021-3A, Class A1	150.38 k	150.31 k principal	0.04	ABS-collateralized bond/debt obligation	Long	Cayman Islands
GNMA, Series 2017-H10, Class FB	148.65 k	146.97 k principal	0.04	ABS-mortgage backed security	Long	USA
Home Equity Asset Trust, Series 2005-8, Class M2	142.78 k	147.32 k principal	0.03	ABS-other	Long	USA
Forward Foreign Currency Contract JP Morgan Chase Bank	139.48 k	1.00 contracts	0.03	DFE	N/A	N/A
Saranac CLO VI Ltd., Series 2018-6A, Class A1R	138.98 k	138.66 k principal	0.03	ABS-collateralized bond/debt obligation	Long	Jersey
UMBS Pool, 30 Year	133.86 k	171.50 k principal	0.03	ABS-mortgage backed security	Long	USA
Euro-buxl	133.07 k	-18.00 contracts	0.03	Interest rate derivative	N/A	Germany
New Residential Mortgage Loan Trust, Series 2019-RPL3, Class A1	131.40 k	137.85 k principal	0.03	ABS-mortgage backed security	Long	USA
FHLMC, REMIC, Strips, Series 278, Class F1	122.59 k	124.67 k principal	0.03	ABS-mortgage backed security	Long	USA
Citigroup Mortgage Loan Trust, Series 2007-AR4, Class 1A1A	120.87 k	145.33 k principal	0.03	ABS-mortgage backed security	Long	USA
Securitized Asset-Backed Receivables LLC Trust, Series 2006-HE2, Class A2C	120.48 k	310.74 k principal	0.03	ABS-other	Long	USA
Soundview Home Loan Trust, Series 2007-OPT2, Class 2A3	119.47 k	132.12 k principal	0.03	ABS-other	Long	USA
UBS Group AG	117.99 k	100.00 k principal	0.03	Debt	Long	Switzerland
Palmer Square Loan Funding Ltd., Series 2021-4A, Class A1	112.15 k	112.04 k principal	0.03	ABS-collateralized bond/debt obligation	Long	Cayman Islands
USCPI	107.09 k	1.25 mm principal	0.03	Interest rate derivative	N/A	UK
FHLMC, REMIC, Series 4779, Class WF	102.73 k	101.94 k principal	0.02	ABS-mortgage backed security	Long	USA
Opteum Mortgage Acceptance Corp. Asset-Backed Pass-Through Certificates, Series 2005-2, Class M7	97.45 k	100.00 k principal	0.02	ABS-mortgage backed security	Long	USA
FNMA, REMIC	97.28 k	93.68 k principal	0.02	ABS-mortgage backed security	Long	USA
Citigroup Mortgage Loan Trust, Inc., Series 2004-NCM2, Class 1CB1	92.24 k	95.75 k principal	0.02	ABS-mortgage backed security	Long	USA
Realkredit Danmark A/S, Series 23S	89.24 k	774.38 k principal	0.02	Debt	Long	Denmark
USCPI	82.65 k	1.00 mm principal	0.02	Interest rate derivative	N/A	UK
OIS	82.44 k	1.40 mm principal	0.02	Interest rate derivative	N/A	USA
New Residential Mortgage Loan Trust, Series 2018-3A, Class A1	82.07 k	84.99 k principal	0.02	ABS-mortgage backed security	Long	USA
OIS	81.79 k	1.40 mm principal	0.02	Interest rate derivative	N/A	USA
Long Beach Mortgage Loan Trust, Series 2006-7, Class 2A2	81.70 k	210.16 k principal	0.02	ABS-other	Long	USA
FNMA, REMIC	80.44 k	79.72 k principal	0.02	ABS-mortgage backed security	Long	USA
HICPXT	77.49 k	400.00 k principal	0.02	Interest rate derivative	N/A	UK
Residential Asset Securitization Trust, Series 2006-A10, Class A5	75.20 k	219.92 k principal	0.02	ABS-mortgage backed security	Long	USA
Morgan Stanley ABS Capital I, Inc. Trust, Series 2005-WMC1, Class M3	71.75 k	72.44 k principal	0.02	ABS-other	Long	USA
IndyMac INDX Mortgage Loan Trust, Series 2005-AR12, Class 2A1A	67.79 k	74.25 k principal	0.02	ABS-mortgage backed security	Long	USA
IRS	65.85 k	7.50 mm principal	0.02	Interest rate derivative	N/A	UK
HICPXT	65.46 k	400.00 k principal	0.02	Interest rate derivative	N/A	UK
Argent Securities Trust, Series 2006-W4, Class A2C	64.40 k	272.99 k principal	0.02	ABS-other	Long	USA
Saxon Asset Securities Trust, Series 2007-3, Class 1A	64.15 k	67.54 k principal	0.02	ABS-other	Long	USA
OIS	62.70 k	386.00 mm principal	0.02	Interest rate derivative	N/A	UK
Avolon Holdings Funding Ltd.	61.20 k	66.00 k principal	0.01	Debt	Long	Cayman Islands
VOYA CLO, Series 2017-2A, Class A1R	59.43 k	59.38 k principal	0.01	ABS-collateralized bond/debt obligation	Long	Cayman Islands
Nordea Kredit Realkreditaktieselskab	59.11 k	529.69 k principal	0.01	Debt	Long	Denmark
HICPXT	57.31 k	300.00 k principal	0.01	Interest rate derivative	N/A	UK
Eurosail-UK plc, Series 2007-3X, Class A3A	55.60 k	44.59 k principal	0.01	ABS-mortgage backed security	Long	UK
Carlyle Global Market Strategies CLO Ltd., Series 2013-1A, Class A1RR	55.12 k	55.09 k principal	0.01	ABS-collateralized bond/debt obligation	Long	Cayman Islands
LCM XV LP, Series 15A, Class AR2	55.12 k	55.08 k principal	0.01	ABS-collateralized bond/debt obligation	Long	Cayman Islands
Forward Foreign Currency Contract Bank of America	55.01 k	1.00 contracts	0.01	DFE	N/A	N/A
Merrill Lynch Mortgage Investors Trust, Series 2005-A4, Class 1A	54.61 k	129.30 k principal	0.01	ABS-mortgage backed security	Long	USA
HICPXT	51.78 k	300.00 k principal	0.01	Interest rate derivative	N/A	UK
Nordea Kredit Realkreditaktieselskab	49.69 k	500.00 k principal	0.01	Debt	Long	Denmark
HICPXT	49.67 k	300.00 k principal	0.01	Interest rate derivative	N/A	UK
GreenPoint Mortgage Funding Trust, Series 2006-AR4, Class A6A	48.35 k	53.70 k principal	0.01	ABS-mortgage backed security	Long	USA
Nordea Kredit Realkreditaktieselskab	47.24 k	399.55 k principal	0.01	Debt	Long	Denmark
Atlas Senior Loan Fund Ltd., Series 2017-8A, Class A	45.64 k	45.64 k principal	0.01	ABS-collateralized bond/debt obligation	Long	Cayman Islands
Crestline Denali CLO XV Ltd., Series 2017-1A, Class AR	45.59 k	45.57 k principal	0.01	ABS-collateralized bond/debt obligation	Long	Cayman Islands
ACAS CLO Ltd., Series 2015-1A, Class AR3	42.98 k	42.97 k principal	0.01	ABS-collateralized bond/debt obligation	Long	Cayman Islands
USCPI	42.74 k	500.00 k principal	0.01	Interest rate derivative	N/A	UK
New Century Home Equity Loan Trust, Series 2004-4, Class M1	42.47 k	43.64 k principal	0.01	ABS-other	Long	USA
Realkredit Danmark A/S, Series 28S	39.36 k	359.95 k principal	0.01	Debt	Long	Denmark
HICPXT	37.04 k	200.00 k principal	0.01	Interest rate derivative	N/A	UK
Nykredit Realkredit A/S, Series 01EE	35.64 k	319.34 k principal	0.01	Debt	Long	Denmark
Mastr Asset-Backed Securities Trust, Series 2006-WMC4, Class A5	34.05 k	106.58 k principal	0.01	ABS-other	Long	USA
OIS	32.10 k	106.98 mm principal	0.01	Interest rate derivative	N/A	UK
U.S. Treasury Inflation Linked Bonds	31.60 k	20.00 k principal	0.01	Debt	Long	USA
USCPI	31.11 k	500.00 k principal	0.01	Interest rate derivative	N/A	UK