| Security | $Holding | Balance | % of Fund | Category | Position | Country |
|---|---|---|---|---|---|---|
| Morgan Stanley Institutional Liquidity Funds - Treasury Securities Portfolio | 18.34 mm | 18.34 mm shares | 59.65 | Short-term investment vehicle | Long | USA |
| United States Treasury Note/Bond | 3.00 mm | 3.00 mm principal | 9.75 | Debt | Long | USA |
| Bellemeade Re 2019-4 Ltd | 1.46 mm | 1.51 mm principal | 4.75 | ABS-mortgage backed security | Long | Bermuda |
| Eagle RE 2018-1 Ltd | 1.45 mm | 1.45 mm principal | 4.72 | ABS-mortgage backed security | Long | USA |
| Home RE 2021-2 Ltd | 1.17 mm | 1.20 mm principal | 3.81 | ABS-mortgage backed security | Long | Bermuda |
| Oaktown Re VI Ltd | 1.15 mm | 1.19 mm principal | 3.73 | ABS-mortgage backed security | Long | Bermuda |
| Home Re 2018-1 Ltd | 1.13 mm | 1.13 mm principal | 3.68 | ABS-mortgage backed security | Long | Bermuda |
| Bellemeade Re 2019-2 Ltd | 919.77 k | 940.00 k principal | 2.99 | ABS-mortgage backed security | Long | Bermuda |
| CWHEQ Revolving Home Equity Loan Resuritization Trust Series 2006-RES | 738.72 k | 805.59 k principal | 2.40 | ABS-other | Long | USA |
| Radnor RE 2021-1 Ltd | 673.95 k | 702.00 k principal | 2.19 | ABS-mortgage backed security | Long | Bermuda |
| Oaktown Re V Ltd | 505.91 k | 500.00 k principal | 1.65 | ABS-mortgage backed security | Long | USA |
|
PURCHASED GBP / SOLD USD
Barclays Bank PLC
|
1.59 k | 1.00 contracts | 0.01 | DFE | N/A | UK |
|
PURCHASED GBP / SOLD USD
UBS AG
|
62.62 | 1.00 contracts | 0.00 | DFE | N/A | UK |
| US 2YR NOTE (CBT) MAR23 | -7.28 k | 109.00 contracts | -0.02 | Interest rate derivative | N/A | USA |
|
PURCHASED USD / SOLD GBP
JPMorgan Chase Bank N.A.
|
-14.00 k | 1.00 contracts | -0.05 | DFE | N/A | USA |
