NPORT-P
    false
    
      
      
        
          0001070287
          XXXXXXXX
        
      
      
      
      
        S000031707
        C000098668
        C000098666
        C000098669
        C000098667
      
      
    
  
  
    
      Prudential Investment Portfolios 9
      811-09101
      0001070287
      5493006TC8ECBK1GPV34
      655 Broad Street
      17th Floor
      Newark
      
      07102-4077
      1-800-225-1852
      PGIM Absolute Return Bond Fund
      S000031707
      EBKSE2F2Z4D82NLOW668
      2021-10-31
      2021-07-30
      N
    
    
      1018341335.21
      57582279.53
      960759055.68
      0.00000000
      0.00000000
      0.00000000
      0.00000000
      0.00000000
      0.00000000
      0.00000000
      0.00000000
      0.00000000
      0.00000000
      600000.00000000
      0.00000000
      0.00000000
      16778946.08000000
      
        
          EUR
          
          
        
        
          GBP
          
          
        
        
          USD
          
          
        
      
      
      
      
        
        
        
        
        
        
        
      
      N
      
        
          
          
          
          
        
        
          
            
            
            
            
              
              
              
            
            
              
              
              
            
            
              
              
              
            
            
              
              
              
            
            
              
              
              
            
            
              
              
              
            
            
              
              
              
            
          
          
            
            
            
            
              
              
              
            
            
              
              
              
            
            
              
              
              
            
            
              
              
              
            
            
              
              
              
            
            
              
              
              
            
            
              
              
              
            
          
          
            
            
            
            
              
              
              
            
            
              
              
              
            
            
              
              
              
            
            
              
              
              
            
            
              
              
              
            
            
              
              
              
            
            
              
              
              
            
          
          
            
            
            
            
              
              
              
            
            
              
              
              
            
            
              
              
              
            
            
              
              
              
            
            
              
              
              
            
            
              
              
              
            
            
              
              
              
            
          
          
            
            
            
            
              
              
              
            
            
              
              
              
            
            
              
              
              
            
            
              
              
              
            
            
              
              
              
            
            
              
              
              
            
            
              
              
              
            
          
          
            
            
            
            
              
              
              
            
            
              
              
              
            
            
              
              
              
            
            
              
              
              
            
            
              
              
              
            
            
              
              
              
            
            
              
              
              
            
          
        
        
        
        
      
      
      
      
      
      
    
    
      
        GOLDMAN SACHS & CO. LLC
        FOR8UP27PHTHYVLBNG30
        USD/KRW FORWARD
        000000000
        
          
          
        
        1.00000000
        NC
        USD
        -8616.07000000
        -0.00089679820
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              GOLDMAN SACHS & CO. LLC
              FOR8UP27PHTHYVLBNG30
            
            -774000.00000000
            USD
            883159980.00000000
            KRW
            2021-09-15
            -8616.07000000
          
        
        
          N
          N
          N
        
      
      
        J.P. MORGAN SECURITIES LLC
        ZBUT11V806EZRVTWT807
        USD/RUB FORWARD
        000000000
        
          
          
        
        1.00000000
        NC
        USD
        -2123.43000000
        -0.00022101587
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              J.P. MORGAN SECURITIES LLC
              ZBUT11V806EZRVTWT807
            
            -262129096.10000000
            RUB
            3557000.00000000
            USD
            2021-09-15
            -2123.43000000
          
        
        
          N
          N
          N
        
      
      
        DEUTSCHE BANK AKTIENGESELLSCHAFT
        7LTWFZYICNSX8D621K86
        EUR CALL VERSUS USD PUT
        000000000
        
          
        
        -26250000.00000000
        NC
        
        -2370.40000000
        -0.00024672158
        N/A
        DFE
        CORP
        DE
        
        N
        
        2
        
          
            
              DEUTSCHE BANK AKTIENGESELLSCHAFT
              7LTWFZYICNSX8D621K86
            
            Call
            Written
            
              
                
                  
                    DEUTSCHE BANK AKTIENGESELLSCHAFT
                    7LTWFZYICNSX8D621K86
                  
                  
                    DEUTSCHE BANK AKTIENGESELLSCHAFT
                    7LTWFZYICNSX8D621K86
                    EUR CALL VERSUS USD PUT
                    000000000
                    
                      
                    
                    0.00000000
                    NC
                    USD
                    0.00000000
                    0.00000000
                    DFE
                    CORP
                    DE
                    US
                  
                  N/A
                  USD
                  N/A
                  EUR
                  2021-11-18
                
              
            
            -26250000.00000000
            USD
            1.31000000
            EUR
            2021-11-18
            XXXX
            133668.84000000
          
        
        
          N
          N
          N
        
      
      
        Citibank, National Association
        E57ODZWZ7FF32TWEFA76
        PHP/USD FORWARD
        000000000
        
          
          
        
        1.00000000
        NC
        USD
        10188.41000000
        0.001060454225
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              Citibank, National Association
              E57ODZWZ7FF32TWEFA76
            
            -18175544.00000000
            PHP
            373000.00000000
            USD
            2021-09-15
            10188.41000000
          
        
        
          N
          N
          N
        
      
      
        BX Commercial Mortgage Trust 2
        N/A
        BX Commercial Mortgage Trust 2019-XL
        056054AL3
        
          
        
        5942904.40000000
        PA
        USD
        5959688.35000000
        0.620310400902
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2036-10-15
          Floating
          2.74300000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        ENERGEAN ISRAEL FINANCE
        98450044QACBL3F8EB03
        Energean Israel Finance Ltd
        000000000
        
          
          
        
        450000.00000000
        PA
        USD
        460306.73000000
        0.047910735504
        Long
        DBT
        CORP
        IL
        N
        
        2
        
          2026-03-30
          Fixed
          4.87500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        GOLDMAN SACHS & CO. LLC
        FOR8UP27PHTHYVLBNG30
        ZAR/USD FORWARD
        000000000
        
          
          
        
        1.00000000
        NC
        USD
        8475.27000000
        0.000882143129
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              GOLDMAN SACHS & CO. LLC
              FOR8UP27PHTHYVLBNG30
            
            -6816850.84000000
            ZAR
            471000.00000000
            USD
            2021-09-15
            8475.27000000
          
        
        
          N
          N
          N
        
      
      
        POWER FINANCE CORP LTD
        3358003Q6D9LIJJZ1614
        Power Finance Corp Ltd
        000000000
        
          
          
        
        1100000.00000000
        PA
        USD
        1235727.89000000
        0.128619957594
        Long
        DBT
        CORP
        IN
        N
        
        2
        
          2028-08-10
          Fixed
          5.25000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        ZAR/USD FORWARD
        000000000
        
          
          
        
        1.00000000
        NC
        USD
        -2541010.79000000
        -0.26447950451
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            -259808583.00000000
            ZAR
            15053424.66000000
            USD
            2021-09-30
            -2541010.79000000
          
        
        
          N
          N
          N
        
      
      
        20 TSQ GroundCo LLC
        N/A
        20 Times Square Trust 2018-20TS
        90137LAQ3
        
          
        
        2700000.00000000
        PA
        USD
        2435640.30000000
        0.253512083555
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2035-05-15
          Variable
          3.09990000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MEDTRONIC GLOBAL HLDINGS
        549300JXMTTP8GKYIX14
        Medtronic Global Holdings SCA
        58507LAJ8
        
          
          
        
        160000.00000000
        PA
        
        214022.26000000
        0.022276371868
        Long
        DBT
        CORP
        LU
        
        N
        
        2
        
          2031-03-07
          Fixed
          1.62500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Lendmark Funding Trust
        N/A
        Lendmark Funding Trust 2021-1
        52607MAC3
        
          
        
        200000.00000000
        PA
        USD
        204741.60000000
        0.021310400228
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2031-11-20
          Fixed
          3.41000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        HILCORP ENERGY I/HILCORP
        N/A
        Hilcorp Energy I LP / Hilcorp Finance Co
        431318AS3
        
          
          
        
        700000.00000000
        PA
        USD
        730160.24000000
        0.075998267794
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2028-11-01
          Fixed
          6.25000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        US TREASURY N/B
        254900HROIFWPRGM1V77
        United States Treasury Note/Bond
        912810ST6
        
          
          
        
        15930000.00000000
        PA
        USD
        14809921.88000000
        1.541481372717
        Long
        DBT
        UST
        US
        N
        
        2
        
          2040-11-15
          Fixed
          1.37500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        DIG INTL FIN/DIG INTL HL
        N/A
        Digicel International Finance Ltd/Digicel international Holdings Ltd
        25381XAB9
        
          
          
        
        624519.11989600
        PA
        USD
        622895.35000000
        0.064833669411
        Long
        DBT
        CORP
        N/A
        N
        
        2
        
          2025-12-31
          Fixed
          13.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Chesapeake Energy Corp
        X2MT1W32SPAZ9WSKLE78
        Chesapeake Energy Corp
        165167735
        
          
          
        
        252027.00000000
        NS
        USD
        13622059.35000000
        1.417843450911
        Long
        EC
        CORP
        US
        N
        
        1
        
          N
          N
          
        
      
      
        Zais Clo 7 llc
        549300XFDOUEB0QTZS87
        Zais Clo 7 Ltd
        98887VAA1
        
          
        
        4642153.48000000
        PA
        USD
        4641052.36000000
        0.483061006041
        Long
        ABS-CBDO
        CORP
        KY
        N
        
        2
        
          2030-04-15
          Floating
          1.41613000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        THERMO FISHER SCIENTIFIC
        HCHV7422L5HDJZCRFL38
        Thermo Fisher Scientific Inc
        883556CE0
        
          
          
        
        825000.00000000
        PA
        
        1111782.34000000
        0.115719163241
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2049-10-01
          Fixed
          1.87500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Bear Stearns Asset Backed Secu
        N/A
        Bear Stearns Asset Backed Securities I Trust 2004-HE11
        073879NZ7
        
          
          
        
        570608.91000000
        PA
        USD
        571884.91000000
        0.059524279955
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2034-12-25
          Floating
          1.66425000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BARCLAYS BANK PLC
        G5GSEF7VJP5I7OUK5573
        SWOP CDS CDX.NA.IG.36.V1
        000000000
        
          
        
        -21470000.00000000
        OU
        Other
        USD
        -17860.94000000
        -0.00185904466
        N/A
        DCR
        CORP
        GB
        
        N
        
        2
        
          
            
              BARCLAYS BANK PLC
              G5GSEF7VJP5I7OUK5573
            
            Put
            Written
            
              
                
                  
                    BARCLAYS BANK PLC
                    G5GSEF7VJP5I7OUK5573
                  
                  
                    BARCLAYS BANK PLC
                    G5GSEF7VJP5I7OUK5573
                    CDS CDX.NA.IG.36.V1
                    000000000
                    
                      
                    
                    0.00000000
                    NC
                    USD
                    0.00000000
                    0.00000000
                    DCR
                    CORP
                    GB
                    US
                  
                  
                    
                      IHS MARKIT LTD
                      CDX.NA.IG.36.V1
                      
                        
                        
                      
                    
                  
                  Default Event
                  
                  2026-06-20
                  0.00000000
                  USD
                  0.00000000
                  USD
                  N/A
                  N/A
                
              
            
            -21470000.00000000
            USD
            70.00000000
            USD
            2021-10-20
            XXXX
            -684.94000000
          
        
        
          N
          N
          N
        
      
      
        UBS Securities LLC
        T6FIZBDPKLYJKFCRVK44
        SGD/USD FORWARD
        000000000
        
          
          
        
        1.00000000
        NC
        USD
        5312.24000000
        0.000552921147
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              UBS Securities LLC
              T6FIZBDPKLYJKFCRVK44
            
            -2545689.79000000
            SGD
            1884000.00000000
            USD
            2021-09-15
            5312.24000000
          
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        MXN/USD FORWARD
        000000000
        
          
          
        
        1.00000000
        NC
        USD
        47780.43000000
        0.004973195903
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            -1360405.54000000
            USD
            28899775.00000000
            MXN
            2022-02-25
            47780.43000000
          
        
        
          N
          N
          N
        
      
      
        Asset Backed Securities Corp H
        N/A
        Asset Backed Securities Corp Home Equity Loan Trust Series 2003-HE6
        04541GFY3
        
          
        
        1757518.00000000
        PA
        USD
        1729616.17000000
        0.180026007537
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2033-11-25
          Floating
          0.76925000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        J.P. MORGAN SECURITIES LLC
        ZBUT11V806EZRVTWT807
        USD/CZK FORWARD
        000000000
        
          
          
        
        1.00000000
        NC
        USD
        -4066.30000000
        -0.00042323826
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              J.P. MORGAN SECURITIES LLC
              ZBUT11V806EZRVTWT807
            
            -12549714.99000000
            CZK
            579000.00000000
            USD
            2021-10-19
            -4066.30000000
          
        
        
          N
          N
          N
        
      
      
        UKRAINE GOVERNMENT
        6354001WLTJXOMEXPY07
        Ukraine Government International Bond
        903724BV3
        
          
          
        
        1800000.00000000
        PA
        USD
        2142906.53000000
        0.223043073841
        Long
        DBT
        NUSS
        UA
        N
        
        2
        
          2028-11-01
          Fixed
          9.75000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Asset Backed Securities Corp H
        N/A
        Asset Backed Securities Corp Home Equity Loan Trust Series 2003-HE6
        04541GGM8
        
          
        
        3546390.50000000
        PA
        USD
        3422049.79000000
        0.356181892824
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2033-11-25
          Floating
          1.04925000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        J.P. MORGAN SECURITIES LLC
        ZBUT11V806EZRVTWT807
        TWD/USD FORWARD
        000000000
        
          
          
        
        1.00000000
        NC
        USD
        76306.50000000
        0.007942313897
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              J.P. MORGAN SECURITIES LLC
              ZBUT11V806EZRVTWT807
            
            -39747060.00000000
            TWD
            1509000.00000000
            USD
            2021-12-23
            76306.50000000
          
        
        
          N
          N
          N
        
      
      
        BRAZIL LOAN TRUST 1
        N/A
        Brazil Loan Trust 1
        000000000
        
          
          
        
        306658.00000000
        PA
        USD
        317415.98000000
        0.033038041965
        Long
        DBT
        CORP
        US
        
        N
        
        2
        
          2023-07-24
          Fixed
          5.47700000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        GS Mortgage Securities Trust
        N/A
        GS Mortgage Securities Trust 2014-GC20
        36252WBA5
        
          
        
        28307000.00000000
        PA
        USD
        317822.50000000
        0.033080354342
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2047-04-10
          Variable
          0.42698900
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        GOLDMAN SACHS & CO. LLC
        FOR8UP27PHTHYVLBNG30
        CLP/USD FORWARD
        000000000
        
          
          
        
        1.00000000
        NC
        USD
        1402.93000000
        0.000146023083
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              GOLDMAN SACHS & CO. LLC
              FOR8UP27PHTHYVLBNG30
            
            -225000.00000000
            USD
            172046250.00000000
            CLP
            2021-09-15
            1402.93000000
          
        
        
          N
          N
          N
        
      
      
        EG GLOBAL FINANCE PLC
        549300TL8Q5207VYET27
        eG Global Finance PLC
        000000000
        
          
          
        
        250000.00000000
        PA
        
        303976.56000000
        0.031639208415
        Long
        DBT
        CORP
        GB
        Y
        
        2
        
          2025-10-30
          Fixed
          6.25000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        GS Mortgage Securities Corp.
        N/A
        GSMSC Resecuritization Trust 2015-3R
        36250FAR8
        
          
        
        1400000.00000000
        PA
        USD
        1353665.60000000
        0.140895429712
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2036-10-26
          Floating
          0.22925000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        NGPL PIPECO LLC
        549300K3NT1HSQFEM073
        NGPL PipeCo LLC
        62912XAF1
        
          
          
        
        500000.00000000
        PA
        USD
        577297.70000000
        0.060087666786
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2027-08-15
          Fixed
          4.87500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        UK CLEARING HOUSE LIMITED
        213800O8SCO4XJGBU385
        IRS ZAR
        000000000
        
          
        
        1.00000000
        NC
        
        75485.52000000
        0.007856862712
        N/A
        DIR
        CORP
        GB
        
        N
        
        2
        
          
            
              UK CLEARING HOUSE LIMITED
              213800O8SCO4XJGBU385
            
            Y
            
            
              
                
              
            
            2030-07-07
            0.00000000
            USD
            -2867.44000000
            USD
            114100000.00000000
            ZAR
            78352.96000000
          
        
        
          N
          N
          N
        
      
      
        UBS Securities LLC
        T6FIZBDPKLYJKFCRVK44
        USD/CHF FORWARD
        000000000
        
          
          
        
        1.00000000
        NC
        USD
        -20496.04000000
        -0.00213331738
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              UBS Securities LLC
              T6FIZBDPKLYJKFCRVK44
            
            -2021178.00000000
            CHF
            2215378.04000000
            USD
            2021-10-19
            -20496.04000000
          
        
        
          N
          N
          N
        
      
      
        UKRAINE GOVERNMENT
        6354001WLTJXOMEXPY07
        Ukraine Government International Bond
        000000000
        
          
          
        
        350000.00000000
        PA
        USD
        351519.57000000
        0.036587692608
        Long
        DBT
        NUSS
        UA
        N
        
        2
        
          2021-09-01
          Fixed
          7.75000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        NATIONAL CINEMEDIA LLC
        7LJEQIVQVLNGS4X6T547
        National CineMedia LLC
        63530QAH2
        
          
          
        
        1100000.00000000
        PA
        USD
        914755.66000000
        0.095211765592
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2026-08-15
          Fixed
          5.75000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Chase Funding Mortgage Loan As
        N/A
        Chase Funding Trust Series 2003-4
        161546FV3
        
          
          
        
        437026.70000000
        PA
        USD
        449728.71000000
        0.046809728968
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2033-05-25
          Variable
          5.04131800
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        STONEGATE PUB CO LTD
        N/A
        STONEGATE PUB CO LTD
        000000000
        
          
        
        1900000.00000000
        PA
        
        2538661.25000000
        0.264234954122
        Long
        DBT
        CORP
        GB
        N
        
        2
        
          2027-10-31
          Fixed
          8.58440000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        US TREASURY N/B
        254900HROIFWPRGM1V77
        United States Treasury Note/Bond
        912828G38
        
          
          
        
        41705000.00000000
        PA
        USD
        44207300.00000000
        4.601288922404
        Long
        DBT
        UST
        US
        N
        
        2
        
          2024-11-15
          Fixed
          2.25000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BARCLAYS BANK PLC
        G5GSEF7VJP5I7OUK5573
        CDS REPUBLIC OF SOUTH AFRICA
        000000000
        
          
        
        1.00000000
        NC
        USD
        18453.33000000
        0.001920703207
        N/A
        DCR
        CORP
        GB
        
        N
        
        2
        
          
            
              BARCLAYS BANK PLC
              G5GSEF7VJP5I7OUK5573
            
            
              
                REPUBLIC OF SOUTH AFRICA GOVERNMENT INTERNATIONAL BOND
                REPUBLIC OF SOUTH AFRICA GOVERNMENT INTERNATIONAL BOND
                
                  
                  
                  
                
              
            
            Y
            
            Default Event
            2023-06-20
            0.00000000
            USD
            -4776.88000000
            USD
            11250000.00000000
            USD
            23230.21000000
          
        
        
          N
          N
          N
        
      
      
        J.P. MORGAN SECURITIES LLC
        ZBUT11V806EZRVTWT807
        INR/USD FORWARD
        000000000
        
          
          
        
        1.00000000
        NC
        USD
        4686.69000000
        0.000487811170
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              J.P. MORGAN SECURITIES LLC
              ZBUT11V806EZRVTWT807
            
            -2753105.99000000
            USD
            206551777.00000000
            INR
            2021-09-30
            4686.69000000
          
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. INTERNATIONAL PLC
        4PQUHN3JPFGFNF3BB653
        CDS DEVON ENERGY CORPORATION
        000000000
        
          
        
        1.00000000
        NC
        USD
        3454.43000000
        0.000359552166
        N/A
        DCR
        CORP
        GB
        
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. INTERNATIONAL PLC
              4PQUHN3JPFGFNF3BB653
            
            
              
                DEVON ENERGY CORPORATION
                Devon Energy Corp
                
                  
                  
                  
                
              
            
            Y
            
            Default Event
            2021-12-20
            2615.65000000
            USD
            0.00000000
            USD
            1000000.00000000
            USD
            838.78000000
          
        
        
          N
          N
          N
        
      
      
        ANTHEM INC
        8MYN82XMYQH89CTMTH67
        Anthem Inc
        036752AG8
        
          
          
        
        700000.00000000
        PA
        USD
        807016.78000000
        0.083997832258
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2028-03-01
          Fixed
          4.10100000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        IVORY COAST
        254900ICW11T82O6H590
        Ivory Coast Government International Bond
        000000000
        
          
          
        
        500000.00000000
        PA
        
        662994.59000000
        0.069007373501
        Long
        DBT
        NUSS
        CI
        N
        
        2
        
          2025-06-15
          Fixed
          5.12500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        GOLDMAN SACHS & CO. LLC
        FOR8UP27PHTHYVLBNG30
        USD/COP FORWARD
        000000000
        
          
          
        
        1.00000000
        NC
        USD
        12878.25000000
        0.001340424524
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              GOLDMAN SACHS & CO. LLC
              FOR8UP27PHTHYVLBNG30
            
            -1400055500.00000000
            COP
            373000.00000000
            USD
            2021-09-15
            12878.25000000
          
        
        
          N
          N
          N
        
      
      
        CITIBANK NA
        E57ODZWZ7FF32TWEFA76
        CDS PETROLEOS MEXICANOS
        000000000
        
          
        
        1.00000000
        NC
        USD
        -4828.17000000
        -0.00050253702
        N/A
        DCR
        CORP
        US
        N
        
        2
        
          
            
              CITIBANK NA
              E57ODZWZ7FF32TWEFA76
            
            
              
                PETROLEOS MEXICANOS
                PETROLEOS MEXICANOS
                
                  
                  
                  
                
              
            
            Y
            
            Default Event
            2023-06-20
            0.00000000
            USD
            -4705.58000000
            USD
            195000.00000000
            USD
            -122.59000000
          
        
        
          N
          N
          N
        
      
      
        HSBC SECURITIES (USA) INC.
        CYYGQCGNHMHPSMRL3R97
        PLN/USD FORWARD
        000000000
        
          
          
        
        1.00000000
        NC
        USD
        -2739.03000000
        -0.00028509020
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              HSBC SECURITIES (USA) INC.
              CYYGQCGNHMHPSMRL3R97
            
            -1763329.47000000
            USD
            6780954.00000000
            PLN
            2021-10-19
            -2739.03000000
          
        
        
          N
          N
          N
        
      
      
        Specialty Underwriting & Resid
        N/A
        Specialty Underwriting & Residential Finance Trust Series 2004-BC2
        84751PCK3
        
          
          
        
        1181838.00000000
        PA
        USD
        1174906.87000000
        0.122289440110
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2035-05-25
          Floating
          0.91425000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Citibank, National Association
        E57ODZWZ7FF32TWEFA76
        JPY/USD FORWARD
        000000000
        
          
          
        
        1.00000000
        NC
        USD
        661776.70000000
        0.068880610189
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              Citibank, National Association
              E57ODZWZ7FF32TWEFA76
            
            -1740040329.00000000
            JPY
            16552491.95000000
            USD
            2022-01-28
            661776.70000000
          
        
        
          N
          N
          N
        
      
      
        BARCLAYS BANK PLC
        G5GSEF7VJP5I7OUK5573
        CDS REPUBLIC OF TURKEY
        000000000
        
          
        
        1.00000000
        NC
        USD
        -692906.14000000
        -0.07212069830
        N/A
        DCR
        CORP
        GB
        
        N
        
        2
        
          
            
              BARCLAYS BANK PLC
              G5GSEF7VJP5I7OUK5573
            
            
              
                TURKEY GOVERNMENT INTERNATIONAL BOND
                TURKEY GOVERNMENT INTERNATIONAL BOND
                
                  
                  
                  
                
              
            
            Y
            
            Default Event
            2023-06-20
            0.00000000
            USD
            -7430.74000000
            USD
            17500000.00000000
            USD
            -685475.40000000
          
        
        
          N
          N
          N
        
      
      
        GOLDMAN SACHS INTERNATIONAL
        W22LROWP2IHZNBB6K528
        CDS GENERAL MOTORS CO
        000000000
        
          
        
        1.00000000
        NC
        USD
        449517.98000000
        0.046787795269
        N/A
        DCR
        CORP
        GB
        
        N
        
        2
        
          
            
              GOLDMAN SACHS INTERNATIONAL
              W22LROWP2IHZNBB6K528
            
            
              
                GENERAL MOTORS CO
                General Motors Co
                
                  
                  
                  
                
              
            
            Y
            
            Default Event
            2026-06-20
            424901.75000000
            USD
            0.00000000
            USD
            2230000.00000000
            USD
            24616.23000000
          
        
        
          N
          N
          N
        
      
      
        AI CANDELARIA SPAIN SLU
        213800L5KA2MJ5FKRZ02
        AI Candelaria Spain SLU
        00870WAA4
        
          
          
        
        920000.00000000
        PA
        USD
        941721.58000000
        0.098018496357
        Long
        DBT
        CORP
        ES
        
        N
        
        2
        
          2033-06-15
          Fixed
          5.75000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Citibank, National Association
        E57ODZWZ7FF32TWEFA76
        USD/JPY FORWARD
        000000000
        
          
          
        
        1.00000000
        NC
        USD
        454204.72000000
        0.047275611644
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              Citibank, National Association
              E57ODZWZ7FF32TWEFA76
            
            -399801700.00000000
            JPY
            4148826.86000000
            USD
            2023-10-31
            454204.72000000
          
        
        
          N
          N
          N
        
      
      
        BARCLAYS BANK PLC
        G5GSEF7VJP5I7OUK5573
        CDS REPUBLIC OF PHILIPPINES
        000000000
        
          
        
        1.00000000
        NC
        USD
        61748.93000000
        0.006427098410
        N/A
        DCR
        CORP
        GB
        
        N
        
        2
        
          
            
              BARCLAYS BANK PLC
              G5GSEF7VJP5I7OUK5573
            
            
              
                PHILIPPINE GOVERNMENT INTERNATIONAL BOND
                PHILIPPINE GOVERNMENT INTERNATIONAL BOND
                
                  
                  
                  
                
              
            
            Y
            
            Default Event
            2023-06-20
            0.00000000
            USD
            -1592.29000000
            USD
            3750000.00000000
            USD
            63341.22000000
          
        
        
          N
          N
          N
        
      
      
        BVRT_19-1F
        N/A
        BVRT_19-1F
        000000000
        
          
        
        7842167.03000000
        PA
        USD
        7828835.35000000
        0.814859386827
        Long
        ABS-MBS
        CORP
        US
        N
        
        3
        
          2021-09-15
          Floating
          3.99638000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        GOLDMAN SACHS & CO. LLC
        FOR8UP27PHTHYVLBNG30
        USD/MXN FORWARD
        000000000
        
          
          
        
        1.00000000
        NC
        USD
        -1253.12000000
        -0.00013043020
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              GOLDMAN SACHS & CO. LLC
              FOR8UP27PHTHYVLBNG30
            
            -3250338.52000000
            MXN
            161000.00000000
            USD
            2021-09-15
            -1253.12000000
          
        
        
          N
          N
          N
        
      
      
        SoFi RR Funding II Trust
        N/A
        Sofi RR Funding II Trust 2019-1
        83405EAA4
        
          
        
        5189499.12000000
        PA
        USD
        5166137.03000000
        0.537714112550
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2024-11-29
          Floating
          1.33925000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        ASCENT RESOURCES UTICA
        549300EGLQ2M2CL7JZ89
        Ascent Resources Utica Holdings LLC
        000000000
        
          
        
        1858000.00000000
        PA
        USD
        2032187.50000000
        0.211518953475
        Long
        LON
        CORP
        US
        N
        
        2
        
          2025-11-01
          Floating
          10.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        DEUTSCHE BANK AKTIENGESELLSCHAFT
        7LTWFZYICNSX8D621K86
        SWOP CDS CDX.NA.IG.36.V1
        000000000
        
          
        
        27100000.00000000
        OU
        Other
        USD
        10212.98000000
        0.001063011578
        N/A
        DCR
        CORP
        DE
        
        N
        
        2
        
          
            
              DEUTSCHE BANK AKTIENGESELLSCHAFT
              7LTWFZYICNSX8D621K86
            
            Put
            Purchased
            
              
                
                  
                    DEUTSCHE BANK AKTIENGESELLSCHAFT
                    7LTWFZYICNSX8D621K86
                  
                  
                    DEUTSCHE BANK AKTIENGESELLSCHAFT
                    7LTWFZYICNSX8D621K86
                    CDS CDX.NA.IG.36.V1
                    000000000
                    
                      
                    
                    0.00000000
                    NC
                    USD
                    0.00000000
                    0.00000000
                    DCR
                    CORP
                    DE
                    US
                  
                  
                    
                      IHS MARKIT LTD
                      CDX.NA.IG.36.V1
                      
                        
                        
                      
                    
                  
                  
                  Default Event
                  2026-06-20
                  0.00000000
                  USD
                  0.00000000
                  USD
                  N/A
                  N/A
                
              
            
            27100000.00000000
            USD
            55.00000000
            USD
            2021-08-18
            XXXX
            -50762.02000000
          
        
        
          N
          N
          N
        
      
      
        BARCLAYS BANK PLC
        G5GSEF7VJP5I7OUK5573
        CDS REPUBLIC OF INDONESIA
        000000000
        
          
        
        1.00000000
        NC
        USD
        70826.65000000
        0.007371947168
        N/A
        DCR
        CORP
        GB
        
        N
        
        2
        
          
            
              BARCLAYS BANK PLC
              G5GSEF7VJP5I7OUK5573
            
            
              
                REPUBLIC OF INDONESIA
                Indonesia Government International Bond
                
                  
                  
                
              
            
            Y
            
            Default Event
            2023-06-20
            0.00000000
            USD
            -2123.08000000
            USD
            5000000.00000000
            USD
            72949.73000000
          
        
        
          N
          N
          N
        
      
      
        Ares Euro CLO
        635400IKZCKH2JKELA27
        Ares European CLO VI DAC
        000000000
        
          
        
        2500000.00000000
        PA
        
        2967969.03000000
        0.308919183478
        Long
        ABS-CBDO
        CORP
        IE
        N
        
        2
        
          2030-04-15
          Floating
          1.25000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CHICAGO MERCANTILE EXCHANGE INC.
        SNZ2OJLFK8MNNCLQOF39
        IRS COP
        000000000
        
          
        
        1.00000000
        NC
        
        -52548.79000000
        -0.00546950764
        N/A
        DIR
        CORP
        US
        
        N
        
        2
        
          
            
              CHICAGO MERCANTILE EXCHANGE INC.
              SNZ2OJLFK8MNNCLQOF39
            
            Y
            
            
              
                
              
            
            2030-02-18
            0.00000000
            USD
            0.00000000
            USD
            7821000000.00000000
            COP
            -52548.79000000
          
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        USD/GBP FORWARD
        000000000
        
          
          
        
        1.00000000
        NC
        USD
        6364.36000000
        0.000662430394
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            -862818.56000000
            USD
            625000.00000000
            GBP
            2022-01-28
            6364.36000000
          
        
        
          N
          N
          N
        
      
      
        TAYLOR MORRISON COMM
        549300O1Z08HI2MRK572
        Taylor Morrison Communities Inc
        87724RAA0
        
          
          
        
        2560000.00000000
        PA
        USD
        2902540.36000000
        0.302109081651
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2027-06-15
          Fixed
          5.87500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        DEUTSCHE BANK AKTIENGESELLSCHAFT
        7LTWFZYICNSX8D621K86
        AUD/JPY FORWARD
        000000000
        
          
          
        
        1.00000000
        NC
        USD
        -275154.60000000
        -0.02863929289
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              DEUTSCHE BANK AKTIENGESELLSCHAFT
              7LTWFZYICNSX8D621K86
            
            -3582000.00000000
            AUD
            257959191.00000000
            JPY
            2022-01-28
            -275154.60000000
          
        
        
          N
          N
          N
        
      
      
        GS Mortgage Securities Trust
        5493005BBCF84ICNQ550
        GS Mortgage Securities Corp II
        36192CAJ4
        
          
        
        103126000.00000000
        PA
        USD
        787779.51000000
        0.081995533150
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2046-02-10
          Variable
          0.48713100
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BAUSCH HEALTH COS INC
        B3BS7ACMDUWISF18KY76
        Bausch Health Cos Inc
        071734AH0
        
          
          
        
        400000.00000000
        PA
        USD
        382407.51000000
        0.039802644350
        Long
        DBT
        CORP
        CA
        
        N
        
        2
        
          2028-01-30
          Fixed
          5.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        JPMORGAN CHASE & CO
        8I5DZWZKVSZI1NUHU748
        JPMorgan Chase & Co
        46625HHA1
        
          
          
        
        64000.00000000
        PA
        USD
        64227.51000000
        0.006685079846
        Long
        DBT
        CORP
        US
        N
        
        2
        
          N/A
          Floating
          3.65550000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Ferrellgas Partners LP
        529900YP52A6C5K57L34
        Ferrellgas Partners LP
        315293308
        
          
          
        
        17034.00000000
        NS
        USD
        3917820.00000000
        0.407783822264
        Long
        EC
        CORP
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        GOLDMAN SACHS & CO. LLC
        FOR8UP27PHTHYVLBNG30
        USD/ZAR FORWARD
        000000000
        
          
          
        
        1.00000000
        NC
        USD
        -30372.69000000
        -0.00316132227
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              GOLDMAN SACHS & CO. LLC
              FOR8UP27PHTHYVLBNG30
            
            -7751725.80000000
            ZAR
            489000.00000000
            USD
            2021-12-23
            -30372.69000000
          
        
        
          N
          N
          N
        
      
      
        DEUTSCHE BANK AKTIENGESELLSCHAFT
        7LTWFZYICNSX8D621K86
        USD/BRL FORWARD
        000000000
        
          
          
        
        1.00000000
        NC
        USD
        1152739.07000000
        0.119982118636
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              DEUTSCHE BANK AKTIENGESELLSCHAFT
              7LTWFZYICNSX8D621K86
            
            -37285894.69000000
            BRL
            8109155.00000000
            USD
            2022-01-28
            1152739.07000000
          
        
        
          N
          N
          N
        
      
      
        PGIM Institutional Money Market Fund - D
        N/A
        PGIM Institutional Money Market Fund - D
        000000000
        
          
        
        28070060.88900000
        NS
        USD
        28053218.85000000
        2.919901580333
        Long
        STIV
        RF
        US
        N
        
        1
        
          
          N
          N
        
      
      
        J.P. MORGAN SECURITIES LLC
        ZBUT11V806EZRVTWT807
        USD/EUR FORWARD
        000000000
        
          
          
        
        1.00000000
        NC
        USD
        -4070.33000000
        -0.00042365772
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              J.P. MORGAN SECURITIES LLC
              ZBUT11V806EZRVTWT807
            
            -404891.29000000
            EUR
            477000.00000000
            USD
            2021-10-19
            -4070.33000000
          
        
        
          N
          N
          N
        
      
      
        BOFA SECURITIES, INC.
        549300HN4UKV1E2R3U73
        USD/BRL FORWARD
        000000000
        
          
          
        
        1.00000000
        NC
        USD
        1936095.88000000
        0.201517317849
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              BOFA SECURITIES, INC.
              549300HN4UKV1E2R3U73
            
            -47735883.00000000
            BRL
            11027000.00000000
            USD
            2021-09-30
            1936095.88000000
          
        
        
          N
          N
          N
        
      
      
        BNP PARIBAS SECURITIES CORP.
        RCNB6OTYUAMMP879YW96
        EUR/USD FORWARD
        000000000
        
          
          
        
        1.00000000
        NC
        USD
        -99762.76000000
        -0.01038374391
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              BNP PARIBAS SECURITIES CORP.
              RCNB6OTYUAMMP879YW96
            
            -45875589.00000000
            EUR
            54407176.42000000
            USD
            2021-10-19
            -99762.76000000
          
        
        
          N
          N
          N
        
      
      
        Citibank, National Association
        E57ODZWZ7FF32TWEFA76
        EUR/HUF FORWARD
        000000000
        
          
          
        
        1.00000000
        NC
        USD
        -472.71000000
        -0.00004920172
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              Citibank, National Association
              E57ODZWZ7FF32TWEFA76
            
            -391000.00000000
            EUR
            140593825.00000000
            HUF
            2021-10-19
            -472.71000000
          
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        ZAR/USD FORWARD
        000000000
        
          
          
        
        1.00000000
        NC
        USD
        -33886.97000000
        -0.00352710388
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            -20861971.00000000
            ZAR
            1363884.09000000
            USD
            2021-12-23
            -33886.97000000
          
        
        
          N
          N
          N
        
      
      
        Pnmac Gmsr Issuer Trust
        N/A
        PNMAC GMSR ISSUER TRUST 2018-GT1
        69354WAC0
        
          
        
        1650000.00000000
        PA
        USD
        1657942.77000000
        0.172565926930
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2023-02-25
          Floating
          2.93925000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        USD/BRL FORWARD
        000000000
        
          
          
        
        1.00000000
        NC
        USD
        11598.39000000
        0.001207211103
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            -901591.99000000
            USD
            4795117.00000000
            BRL
            2021-09-30
            11598.39000000
          
        
        
          N
          N
          N
        
      
      
        ENERGEAN ISRAEL FINANCE
        98450044QACBL3F8EB03
        Energean Israel Finance Ltd
        000000000
        
          
          
        
        720000.00000000
        PA
        USD
        736757.88000000
        0.076684978990
        Long
        DBT
        CORP
        IL
        N
        
        2
        
          2028-03-30
          Fixed
          5.37500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
        549300EX04Q2QBFQTQ27
        10 YEAR US TREASURY NOTE
        000000000
        
          
          
        
        -457.00000000
        NC
        USD
        -941435.63000000
        -0.09798873343
        N/A
        DIR
        CORP
        US
        N
        
        1
        
          
            
              BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
              549300EX04Q2QBFQTQ27
            
            Short
            
              
                US TREASURY N/B
                United States Treasury Note/Bond
                
                  
                  
                  
                
              
            
            2021-09-21
            -60503644.78000000
            USD
            -941435.63000000
          
        
        
          N
          N
          N
        
      
      
        GOLDMAN SACHS INTERNATIONAL
        W22LROWP2IHZNBB6K528
        SWOP CDS CDX.NA.IG.36.V1
        000000000
        
          
        
        21470000.00000000
        OU
        Other
        USD
        447.08000000
        0.000046534039
        N/A
        DCR
        CORP
        GB
        
        N
        
        2
        
          
            
              GOLDMAN SACHS INTERNATIONAL
              W22LROWP2IHZNBB6K528
            
            Call
            Purchased
            
              
                
                  
                    GOLDMAN SACHS INTERNATIONAL
                    W22LROWP2IHZNBB6K528
                  
                  
                    GOLDMAN SACHS INTERNATIONAL
                    W22LROWP2IHZNBB6K528
                    CDS CDX.NA.IG.36.V1
                    000000000
                    
                      
                    
                    0.00000000
                    NC
                    USD
                    0.00000000
                    0.00000000
                    DCR
                    CORP
                    GB
                    US
                  
                  
                    
                      IHS MARKIT LTD
                      CDX.NA.IG.36.V1
                      
                        
                        
                      
                    
                  
                  Default Event
                  
                  2026-06-20
                  0.00000000
                  USD
                  0.00000000
                  USD
                  N/A
                  N/A
                
              
            
            21470000.00000000
            USD
            37.50000000
            USD
            2021-10-20
            XXXX
            -89.67000000
          
        
        
          N
          N
          N
        
      
      
        J.P. MORGAN SECURITIES LLC
        ZBUT11V806EZRVTWT807
        TWD CALL VERSUS USD PUT
        000000000
        
          
        
        20000000.00000000
        NC
        USD
        18549.23000000
        0.001930684898
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              J.P. MORGAN SECURITIES LLC
              ZBUT11V806EZRVTWT807
            
            Put
            Purchased
            
              
                
                  
                    J.P. MORGAN SECURITIES LLC
                    ZBUT11V806EZRVTWT807
                  
                  
                    J.P. MORGAN SECURITIES LLC
                    ZBUT11V806EZRVTWT807
                    TWD CALL VERSUS USD PUT
                    000000000
                    
                      
                    
                    0.00000000
                    NC
                    USD
                    0.00000000
                    0.00000000
                    DFE
                    CORP
                    US
                  
                  N/A
                  USD
                  N/A
                  TWD
                  2021-12-21
                
              
            
            20000000.00000000
            USD
            25.80000000
            USD
            2021-12-21
            XXXX
            -282909.26000000
          
        
        
          N
          N
          N
        
      
      
        CHICAGO MERCANTILE EXCHANGE INC.
        SNZ2OJLFK8MNNCLQOF39
        IRS BRL
        000000000
        
          
        
        1.00000000
        NC
        
        -125783.11000000
        -0.01309205562
        N/A
        DIR
        CORP
        US
        
        N
        
        2
        
          
            
              CHICAGO MERCANTILE EXCHANGE INC.
              SNZ2OJLFK8MNNCLQOF39
            
            Y
            
            
              
                
              
            
            2027-01-04
            0.00000000
            USD
            0.00000000
            USD
            8342419.19000000
            BRL
            -125783.11000000
          
        
        
          N
          N
          N
        
      
      
        FHLMC Multifamily Structured P
        S6XOOCT0IEG5ABCC6L87
        Freddie Mac Multifamily Structured Pass Through Certificates
        3137AUPF0
        
          
        
        3693599.34000000
        PA
        USD
        23774.22000000
        0.002474524685
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2022-06-25
          Variable
          1.37562300
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CHICAGO IL O'HARE INTERNATIONA
        N/A
        Chicago O'Hare International Airport
        167593AN2
        
          
          
        
        360000.00000000
        PA
        USD
        557856.03000000
        0.058064092833
        Long
        DBT
        MUN
        US
        N
        
        2
        
          2040-01-01
          Fixed
          6.39500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        GOLDMAN SACHS & CO. LLC
        FOR8UP27PHTHYVLBNG30
        INR/USD FORWARD
        000000000
        
          
          
        
        1.00000000
        NC
        USD
        54503.79000000
        0.005672992586
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              GOLDMAN SACHS & CO. LLC
              FOR8UP27PHTHYVLBNG30
            
            -3183000.00000000
            USD
            242480940.00000000
            INR
            2021-09-30
            54503.79000000
          
        
        
          N
          N
          N
        
      
      
        New Residential Mortgage Loan
        N/A
        New Residential Mortgage Loan Trust 2018-4
        64828FCQ3
        
          
        
        2305569.20000000
        PA
        USD
        2311278.48000000
        0.240567962002
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2048-01-25
          Floating
          0.83925000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Citibank, National Association
        E57ODZWZ7FF32TWEFA76
        ZAR/USD FORWARD
        000000000
        
          
          
        
        1.00000000
        NC
        USD
        -10880.51000000
        -0.00113249101
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              Citibank, National Association
              E57ODZWZ7FF32TWEFA76
            
            -915045.00000000
            USD
            13325891.84000000
            ZAR
            2021-09-15
            -10880.51000000
          
        
        
          N
          N
          N
        
      
      
        HSBC SECURITIES (USA) INC.
        CYYGQCGNHMHPSMRL3R97
        EUR/USD FORWARD
        000000000
        
          
          
        
        1.00000000
        NC
        USD
        -32056.42000000
        -0.00333657224
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              HSBC SECURITIES (USA) INC.
              CYYGQCGNHMHPSMRL3R97
            
            -4141922.67000000
            USD
            3462444.00000000
            EUR
            2021-08-31
            -32056.42000000
          
        
        
          N
          N
          N
        
      
      
        Radnor Re LTD
        549300ED4YNDE7SVU538
        Radnor Re 2018-1 Ltd
        750496AA9
        
          
        
        92242.32000000
        PA
        USD
        92262.27000000
        0.009603060148
        Long
        ABS-MBS
        CORP
        BM
        
        N
        
        2
        
          2028-03-25
          Floating
          1.48925000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        UK CLEARING HOUSE LIMITED
        213800O8SCO4XJGBU385
        IRS USD
        000000000
        
          
        
        1.00000000
        NC
        USD
        2597.85000000
        0.000270395577
        N/A
        DIR
        CORP
        GB
        
        N
        
        2
        
          
            
              UK CLEARING HOUSE LIMITED
              213800O8SCO4XJGBU385
            
            Y
            
              
                
              
            
            
            2031-01-19
            0.00000000
            USD
            0.00000000
            USD
            -685000.00000000
            USD
            2597.85000000
          
        
        
          N
          N
          N
        
      
      
        BARCLAYS PLC
        213800LBQA1Y9L22JB70
        IDR/USD FORWARD
        000000000
        
          
          
        
        1.00000000
        NC
        USD
        -2130.05000000
        -0.00022170491
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              BARCLAYS PLC
              213800LBQA1Y9L22JB70
            
            -375000.00000000
            USD
            5411325000.00000000
            IDR
            2021-09-15
            -2130.05000000
          
        
        
          N
          N
          N
        
      
      
        J.P. MORGAN SECURITIES LLC
        ZBUT11V806EZRVTWT807
        USD/MXN FORWARD
        000000000
        
          
          
        
        1.00000000
        NC
        USD
        1858.57000000
        0.000193448085
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              J.P. MORGAN SECURITIES LLC
              ZBUT11V806EZRVTWT807
            
            -993000.00000000
            USD
            19929522.02000000
            MXN
            2021-09-15
            1858.57000000
          
        
        
          N
          N
          N
        
      
      
        BARCLAYS PLC
        213800LBQA1Y9L22JB70
        EUR/USD FORWARD
        000000000
        
          
          
        
        1.00000000
        NC
        USD
        5523.19000000
        0.000574877745
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              BARCLAYS PLC
              213800LBQA1Y9L22JB70
            
            -1108287.31000000
            USD
            937435.00000000
            EUR
            2021-10-19
            5523.19000000
          
        
        
          N
          N
          N
        
      
      
        CITIBANK NA
        E57ODZWZ7FF32TWEFA76
        CDS UNITED MEXICAN STATES
        000000000
        
          
        
        1.00000000
        NC
        USD
        -5926.88000000
        -0.00061689556
        N/A
        DCR
        CORP
        US
        N
        
        2
        
          
            
              CITIBANK NA
              E57ODZWZ7FF32TWEFA76
            
            
              
                MEXICO GOVERNMENT INTERNATIONAL BOND
                MEXICO GOVERNMENT INTERNATIONAL BOND
                
                  
                  
                  
                
              
            
            Y
            Default Event
            
            2024-12-20
            2098.80000000
            USD
            0.00000000
            USD
            -440000.00000000
            USD
            -8025.68000000
          
        
        
          N
          N
          N
        
      
      
        J.P. MORGAN SECURITIES LLC
        ZBUT11V806EZRVTWT807
        USD/ZAR FORWARD
        000000000
        
          
          
        
        1.00000000
        NC
        USD
        1792435.45000000
        0.186564512653
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              J.P. MORGAN SECURITIES LLC
              ZBUT11V806EZRVTWT807
            
            -15802000.00000000
            USD
            259808583.00000000
            ZAR
            2021-09-30
            1792435.45000000
          
        
        
          N
          N
          N
        
      
      
        J.P. MORGAN SECURITIES LLC
        ZBUT11V806EZRVTWT807
        USD CALL VERSUS CNH PUT
        000000000
        
          
        
        20000000.00000000
        NC
        USD
        371.95000000
        0.000038714181
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              J.P. MORGAN SECURITIES LLC
              ZBUT11V806EZRVTWT807
            
            Call
            Purchased
            
              
                
                  
                    J.P. MORGAN SECURITIES LLC
                    ZBUT11V806EZRVTWT807
                  
                  
                    J.P. MORGAN SECURITIES LLC
                    ZBUT11V806EZRVTWT807
                    USD CALL VERSUS CNH PUT
                    000000000
                    
                      
                    
                    0.00000000
                    NC
                    
                    0.00000000
                    0.00000000
                    DFE
                    CORP
                    US
                    US
                  
                  N/A
                  CNY
                  N/A
                  USD
                  2021-10-08
                
              
            
            20000000.00000000
            USD
            7.60000000
            USD
            2021-10-08
            XXXX
            -4628.05000000
          
        
        
          N
          N
          N
        
      
      
        BARCLAYS BANK PLC
        G5GSEF7VJP5I7OUK5573
        CDS OVINTIV INC
        000000000
        
          
        
        1.00000000
        NC
        USD
        666.69000000
        0.000069392007
        N/A
        DCR
        CORP
        GB
        
        N
        
        2
        
          
            
              BARCLAYS BANK PLC
              G5GSEF7VJP5I7OUK5573
            
            
              
                OVINTIV INC
                Ovintiv Inc
                
                  
                  
                  
                
              
            
            Y
            
            Default Event
            2021-09-20
            295.76000000
            USD
            0.00000000
            USD
            310000.00000000
            USD
            370.93000000
          
        
        
          N
          N
          N
        
      
      
        J.P. MORGAN SECURITIES LLC
        ZBUT11V806EZRVTWT807
        CNH/USD FORWARD
        000000000
        
          
          
        
        1.00000000
        NC
        USD
        4755.10000000
        0.000494931582
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              J.P. MORGAN SECURITIES LLC
              ZBUT11V806EZRVTWT807
            
            -7291765.60000000
            CNY
            1131000.00000000
            USD
            2021-08-18
            4755.10000000
          
        
        
          N
          N
          N
        
      
      
        HELLENIC REPUBLIC
        2138003EKTMKZ5598902
        Hellenic Republic Government International Bond
        000000000
        
          
          
        
        5485000.00000000
        PA
        
        9840472.02000000
        1.024239320131
        Long
        DBT
        NUSS
        GR
        N
        
        2
        
          2034-07-17
          Fixed
          5.20000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BARCLAYS BANK PLC
        G5GSEF7VJP5I7OUK5573
        CDS UNITED MEXICAN STATES
        000000000
        
          
        
        1.00000000
        NC
        USD
        -13497.97000000
        -0.00140492768
        N/A
        DCR
        CORP
        GB
        
        N
        
        2
        
          
            
              BARCLAYS BANK PLC
              G5GSEF7VJP5I7OUK5573
            
            
              
                MEXICO GOVERNMENT INTERNATIONAL BOND
                MEXICO GOVERNMENT INTERNATIONAL BOND
                
                  
                  
                  
                
              
            
            Y
            Default Event
            
            2024-12-20
            0.00000000
            USD
            -8058.19000000
            USD
            -1000000.00000000
            USD
            -5439.78000000
          
        
        
          N
          N
          N
        
      
      
        J.P. MORGAN SECURITIES LLC
        ZBUT11V806EZRVTWT807
        TWD/USD FORWARD
        000000000
        
          
          
        
        1.00000000
        NC
        USD
        -8073.16000000
        -0.00084028976
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              J.P. MORGAN SECURITIES LLC
              ZBUT11V806EZRVTWT807
            
            -1748000.00000000
            USD
            48546288.00000000
            TWD
            2021-09-15
            -8073.16000000
          
        
        
          N
          N
          N
        
      
      
        J.P. MORGAN SECURITIES LLC
        ZBUT11V806EZRVTWT807
        USD/INR FORWARD
        000000000
        
          
          
        
        1.00000000
        NC
        USD
        -36186.85000000
        -0.00376648544
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              J.P. MORGAN SECURITIES LLC
              ZBUT11V806EZRVTWT807
            
            -179467410.00000000
            INR
            2319000.00000000
            USD
            2022-02-25
            -36186.85000000
          
        
        
          N
          N
          N
        
      
      
        SoFi Alternative Trust
        N/A
        Sofi Alternative Trust 2019-F
        78472AAA0
        
          
        
        6556035.78000000
        PA
        USD
        6721403.92000000
        0.699593085307
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2045-02-15
          Variable
          3.93211400
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Pnmac Gmsr Issuer Trust
        N/A
        PNMAC GMSR ISSUER TRUST 2018-GT2
        69354WAD8
        
          
        
        3400000.00000000
        PA
        USD
        3394977.18000000
        0.353364057297
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2025-08-25
          Floating
          2.73925000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY
        IGJSJL3JD5P30I6NJZ34
        Morgan Stanley
        61744YAP3
        
          
          
        
        1750000.00000000
        PA
        USD
        1970334.29000000
        0.205081001147
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2029-01-24
          Fixed
          3.77200000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Accredited Mortgage Loan Trust
        N/A
        Accredited Mortgage Loan Trust 2004-3
        004375BL4
        
          
        
        1461220.75000000
        PA
        USD
        1461998.12000000
        0.152171151690
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2034-10-25
          Floating
          1.28925000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        ROCKIES EXPRESS PIPELINE
        W2ZGZGZKY5GGNY6F3V51
        Rockies Express Pipeline LLC
        77340RAS6
        
          
          
        
        775000.00000000
        PA
        USD
        791217.47000000
        0.082353371047
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2025-05-15
          Fixed
          3.60000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        USD CALL VERSUS CLP PUT
        000000000
        
          
        
        10000000.00000000
        NC
        USD
        2001.24000000
        0.000208297802
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            Call
            Purchased
            
              
                
                  
                    MORGAN STANLEY & CO. LLC
                    9R7GPTSO7KV3UQJZQ078
                  
                  
                    MORGAN STANLEY & CO. LLC
                    9R7GPTSO7KV3UQJZQ078
                    USD CALL VERSUS CLP PUT
                    000000000
                    
                      
                    
                    0.00000000
                    NC
                    
                    0.00000000
                    0.00000000
                    DFE
                    CORP
                    US
                    US
                  
                  N/A
                  CLP
                  N/A
                  USD
                  2021-08-27
                
              
            
            10000000.00000000
            USD
            3.40000000
            USD
            2021-08-27
            XXXX
            -4618.76000000
          
        
        
          N
          N
          N
        
      
      
        DEUTSCHE BANK AKTIENGESELLSCHAFT
        7LTWFZYICNSX8D621K86
        JPY CALL VERSUS AUD PUT
        000000000
        
          
        
        72000000.00000000
        NC
        
        41449.71000000
        0.004314266907
        N/A
        DFE
        CORP
        DE
        
        N
        
        2
        
          
            
              DEUTSCHE BANK AKTIENGESELLSCHAFT
              7LTWFZYICNSX8D621K86
            
            Put
            Purchased
            
              
                
                  
                    DEUTSCHE BANK AKTIENGESELLSCHAFT
                    7LTWFZYICNSX8D621K86
                  
                  
                    DEUTSCHE BANK AKTIENGESELLSCHAFT
                    7LTWFZYICNSX8D621K86
                    JPY CALL VERSUS AUD PUT
                    000000000
                    
                      
                    
                    0.00000000
                    NC
                    
                    0.00000000
                    0.00000000
                    DFE
                    CORP
                    DE
                    US
                  
                  N/A
                  AUD
                  N/A
                  JPY
                  2022-01-26
                
              
            
            72000000.00000000
            USD
            63.00000000
            AUD
            2022-01-26
            XXXX
            -2155748.43000000
          
        
        
          N
          N
          N
        
      
      
        GOLDMAN SACHS & CO. LLC
        FOR8UP27PHTHYVLBNG30
        USD CALL VERSUS MXN PUT
        000000000
        
          
        
        34500000.00000000
        NC
        USD
        82005.80000000
        0.008535521941
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              GOLDMAN SACHS & CO. LLC
              FOR8UP27PHTHYVLBNG30
            
            Call
            Purchased
            
              
                
                  
                    GOLDMAN SACHS & CO. LLC
                    FOR8UP27PHTHYVLBNG30
                  
                  
                    GOLDMAN SACHS & CO. LLC
                    FOR8UP27PHTHYVLBNG30
                    USD CALL VERSUS MXN PUT
                    000000000
                    
                      
                    
                    0.00000000
                    NC
                    
                    0.00000000
                    0.00000000
                    DFE
                    CORP
                    US
                    US
                  
                  N/A
                  MXN
                  N/A
                  USD
                  2022-02-23
                
              
            
            34500000.00000000
            USD
            26.00000000
            USD
            2022-02-23
            XXXX
            -2438909.20000000
          
        
        
          N
          N
          N
        
      
      
        MPLX LP
        5493000CZJ19CK4P3G36
        MPLX LP
        55336VAL4
        
          
          
        
        145000.00000000
        PA
        USD
        179784.94000000
        0.018712802022
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2047-03-01
          Fixed
          5.20000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac - STACR
        N/A
        Freddie Mac STACR REMIC Trust 2021-DNA5
        35564KJA8
        
          
        
        600000.00000000
        PA
        USD
        610299.91000000
        0.063522680987
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2034-01-25
          Floating
          3.10000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fremont Home Loan Trust
        N/A
        Fremont Home Loan Trust 2004-4
        35729PGT1
        
          
        
        1991807.58000000
        PA
        USD
        1964455.28000000
        0.204469088101
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2035-03-25
          Floating
          0.88425000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        J.P. MORGAN SECURITIES LLC
        ZBUT11V806EZRVTWT807
        PHP/USD FORWARD
        000000000
        
          
          
        
        1.00000000
        NC
        USD
        -31405.92000000
        -0.00326886536
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              J.P. MORGAN SECURITIES LLC
              ZBUT11V806EZRVTWT807
            
            -1150000.00000000
            USD
            56037504.00000000
            PHP
            2021-09-15
            -31405.92000000
          
        
        
          N
          N
          N
        
      
      
        BNP PARIBAS SECURITIES CORP.
        RCNB6OTYUAMMP879YW96
        SGD/USD FORWARD
        000000000
        
          
          
        
        1.00000000
        NC
        USD
        9201.54000000
        0.000957736484
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              BNP PARIBAS SECURITIES CORP.
              RCNB6OTYUAMMP879YW96
            
            -1540402.99000000
            SGD
            1146000.00000000
            USD
            2021-09-15
            9201.54000000
          
        
        
          N
          N
          N
        
      
      
        Radnor Re LTD
        N/A
        Radnor RE 2020-2 Ltd
        75049UAC2
        
          
        
        1025000.00000000
        PA
        USD
        1039110.87000000
        0.108155199147
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2030-10-25
          Floating
          4.68925000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        USD/KRW FORWARD
        000000000
        
          
          
        
        1.00000000
        NC
        USD
        -1694.65000000
        -0.00017638657
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            -374000.00000000
            USD
            429595100.00000000
            KRW
            2021-09-15
            -1694.65000000
          
        
        
          N
          N
          N
        
      
      
        BNP PARIBAS SECURITIES CORP.
        RCNB6OTYUAMMP879YW96
        USD/IDR FORWARD
        000000000
        
          
          
        
        1.00000000
        NC
        USD
        -4631.24000000
        -0.00048203969
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              BNP PARIBAS SECURITIES CORP.
              RCNB6OTYUAMMP879YW96
            
            -9805188800.00000000
            IDR
            671000.00000000
            USD
            2021-09-15
            -4631.24000000
          
        
        
          N
          N
          N
        
      
      
        AMC ENTERTAINMENT HLDGS
        549300ZO77UNR6NRBR11
        AMC Entertainment Holdings Inc
        00165CAP9
        
          
          
        
        494066.00000000
        PA
        USD
        440945.43000000
        0.045895526812
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2026-06-15
          Fixed
          12.00000000
          N
          N
          Y
        
        
          N
          N
          N
        
      
      
        BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
        549300EX04Q2QBFQTQ27
        2 YEAR US TREASURY NOTE
        000000000
        
          
          
        
        -3209.00000000
        NC
        USD
        -16865.78000000
        -0.00175546406
        N/A
        DIR
        CORP
        US
        N
        
        1
        
          
            
              BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
              549300EX04Q2QBFQTQ27
            
            Short
            
              
                US TREASURY N/B
                United States Treasury Note/Bond
                
                  
                  
                  
                
              
            
            2021-09-30
            -708069040.47000000
            USD
            -16865.78000000
          
        
        
          N
          N
          N
        
      
      
        Banc of America Funding Corpor
        549300LENCFK8RITKD65
        Banc of America Funding 2014-R5 Trust
        05990PAA3
        
          
        
        677048.16000000
        PA
        USD
        684402.05000000
        0.071235555465
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2045-09-26
          Floating
          1.65938000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        DUKE ENERGY CAROLINAS
        MWIUSDMN17TCR56VW396
        Duke Energy Carolinas LLC
        26442CAN4
        
          
          
        
        50000.00000000
        PA
        USD
        60259.90000000
        0.006272113663
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2042-09-30
          Fixed
          4.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        UNITED AIR 2013-1 A PTT
        N/A
        United Airlines 2013-1 Class A Pass Through Trust
        909319AA3
        
          
          
        
        1660811.85000000
        PA
        USD
        1803052.75000000
        0.187669607623
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2025-08-15
          Fixed
          4.30000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        SOUTHERN CO GAS CAPITAL
        E8CD46SWUD2TSN8PA636
        Southern Co Gas Capital Corp
        001192AK9
        
          
          
        
        1375000.00000000
        PA
        USD
        1671805.25000000
        0.174008794412
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2043-06-01
          Fixed
          4.40000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Citibank, National Association
        E57ODZWZ7FF32TWEFA76
        COP/USD FORWARD
        000000000
        
          
          
        
        1.00000000
        NC
        USD
        -83673.15000000
        -0.00870906701
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              Citibank, National Association
              E57ODZWZ7FF32TWEFA76
            
            -1157429.65000000
            USD
            4174473454.00000000
            COP
            2021-09-15
            -83673.15000000
          
        
        
          N
          N
          N
        
      
      
        GOLDMAN SACHS & CO. LLC
        FOR8UP27PHTHYVLBNG30
        MXN/USD FORWARD
        000000000
        
          
          
        
        1.00000000
        NC
        USD
        -122584.64000000
        -0.01275914489
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              GOLDMAN SACHS & CO. LLC
              FOR8UP27PHTHYVLBNG30
            
            -14603636.55000000
            MXN
            589000.00000000
            USD
            2022-02-25
            -122584.64000000
          
        
        
          N
          N
          N
        
      
      
        CCO HLDGS LLC/CAP CORP
        N/A
        CCO Holdings LLC / CCO Holdings Capital Corp
        1248EPCD3
        
          
          
        
        1300000.00000000
        PA
        USD
        1378880.06000000
        0.143519860869
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2030-03-01
          Fixed
          4.75000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        JPMORGAN CHASE BANK, NATIONAL ASSOCIATION
        7H6GLXDRUGQFU57RNE97
        SWOP CDS CDX.NA.IG.36.V1
        000000000
        
          
        
        -29520000.00000000
        OU
        Other
        USD
        -2458.27000000
        -0.00025586748
        N/A
        DCR
        CORP
        US
        N
        
        2
        
          
            
              JPMORGAN CHASE BANK, NATIONAL ASSOCIATION
              7H6GLXDRUGQFU57RNE97
            
            Put
            Written
            
              
                
                  
                    JPMORGAN CHASE BANK, NATIONAL ASSOCIATION
                    7H6GLXDRUGQFU57RNE97
                  
                  
                    JPMORGAN CHASE BANK, NATIONAL ASSOCIATION
                    7H6GLXDRUGQFU57RNE97
                    CDS CDX.NA.IG.36.V1
                    000000000
                    
                      
                    
                    0.00000000
                    NC
                    USD
                    0.00000000
                    0.00000000
                    DCR
                    CORP
                    US
                  
                  
                    
                      IHS MARKIT LTD
                      CDX.NA.IG.36.V1
                      
                        
                        
                      
                    
                  
                  Default Event
                  
                  2026-06-20
                  0.00000000
                  USD
                  0.00000000
                  USD
                  N/A
                  N/A
                
              
            
            -29520000.00000000
            USD
            77.50000000
            USD
            2021-08-18
            XXXX
            23666.93000000
          
        
        
          N
          N
          N
        
      
      
        BELLEMEADE RE LT
        N/A
        Bellemeade Re Ltd
        07876MAC1
        
          
        
        960000.00000000
        PA
        USD
        1003174.56000000
        0.104414790999
        Long
        ABS-MBS
        CORP
        BM
        
        N
        
        2
        
          2031-03-25
          Floating
          3.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Pnmac Gmsr Issuer Trust
        N/A
        PNMAC FMSR ISSUER TRUST 2018-FT1
        69346MAA7
        
          
        
        3200000.00000000
        PA
        USD
        3189573.12000000
        0.331984705337
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2023-04-25
          Floating
          2.43925000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FHLMC Multifamily Structured P
        S6XOOCT0IEG5ABCC6L87
        Freddie Mac Multifamily Structured Pass Through Certificates
        3137APPA2
        
          
        
        11995278.85000000
        PA
        USD
        14748.20000000
        0.001535057089
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2022-01-25
          Variable
          1.22450400
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        York CLO Ltd
        5493009C48K5WG4EX118
        York CLO-2 Ltd
        98625TAJ4
        
          
        
        3000000.00000000
        PA
        USD
        2999995.80000000
        0.312252669622
        Long
        ABS-CBDO
        CORP
        KY
        N
        
        2
        
          2031-01-22
          Floating
          1.28825000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Countrywide Asset-Backed Certi
        N/A
        Countrywide Asset-Backed Certificates
        126671F84
        
          
        
        504409.11000000
        PA
        USD
        505409.45000000
        0.052605223652
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2033-07-25
          Floating
          1.13925000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FHLMC Multifamily Structured P
        S6XOOCT0IEG5ABCC6L87
        Freddie Mac Multifamily Structured Pass Through Certificates
        3137ATRX2
        
          
        
        17917578.47000000
        PA
        USD
        132711.92000000
        0.013813236442
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2022-05-25
          Variable
          1.33423300
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        INSTIT COSTA DE ELECTRIC
        5493009VA6AFUB2Q0289
        Instituto Costarricense de Electricidad
        45777VAC1
        
          
          
        
        500000.00000000
        PA
        USD
        505153.19000000
        0.052578550991
        Long
        DBT
        NUSS
        CR
        N
        
        2
        
          2021-11-10
          Fixed
          6.95000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        USD/RUB FORWARD
        000000000
        
          
          
        
        1.00000000
        NC
        USD
        32874.61000000
        0.003421733035
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            -6945877.89000000
            USD
            513984446.20000000
            RUB
            2021-09-15
            32874.61000000
          
        
        
          N
          N
          N
        
      
      
        J.P. MORGAN SECURITIES LLC
        ZBUT11V806EZRVTWT807
        USD CALL VERSUS ZAR PUT
        000000000
        
          
        
        -48000000.00000000
        NC
        USD
        -533108.42000000
        -0.05548825346
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              J.P. MORGAN SECURITIES LLC
              ZBUT11V806EZRVTWT807
            
            Call
            Written
            
              
                
                  
                    J.P. MORGAN SECURITIES LLC
                    ZBUT11V806EZRVTWT807
                  
                  
                    J.P. MORGAN SECURITIES LLC
                    ZBUT11V806EZRVTWT807
                    USD CALL VERSUS ZAR PUT
                    000000000
                    
                      
                    
                    0.00000000
                    NC
                    
                    0.00000000
                    0.00000000
                    DFE
                    CORP
                    US
                    US
                  
                  N/A
                  ZAR
                  N/A
                  USD
                  2022-05-27
                
              
            
            -48000000.00000000
            USD
            18.80000000
            USD
            2022-05-27
            XXXX
            692095.54000000
          
        
        
          N
          N
          N
        
      
      
        GOLDMAN SACHS INTERNATIONAL
        W22LROWP2IHZNBB6K528
        CDS GS_21-PJ
        000000000
        
          
        
        1.00000000
        NC
        USD
        6050.76000000
        0.000629789536
        N/A
        DCR
        CORP
        GB
        
        N
        
        3
        
          
            
              GOLDMAN SACHS INTERNATIONAL
              W22LROWP2IHZNBB6K528
            
            Y
            
            Default Event
            2021-08-14
            0.00000000
            USD
            -446.74000000
            USD
            16440000.00000000
            USD
            6497.50000000
          
        
        
          N
          N
          N
        
      
      
        RUTGERS NJ ST UNIV
        549300BOYDHNW8J60112
        Rutgers The State University of New Jersey
        783186NH8
        
          
          
        
        200000.00000000
        PA
        USD
        277006.01000000
        0.028831995739
        Long
        DBT
        MUN
        US
        N
        
        2
        
          2040-05-01
          Fixed
          5.66500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        ABBVIE INC
        FR5LCKFTG8054YNNRU85
        AbbVie Inc
        00287YCA5
        
          
          
        
        905000.00000000
        PA
        USD
        1074261.71000000
        0.111813852146
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2039-11-21
          Fixed
          4.05000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        HSBC SECURITIES (USA) INC.
        CYYGQCGNHMHPSMRL3R97
        THB/USD FORWARD
        000000000
        
          
          
        
        1.00000000
        NC
        USD
        61118.99000000
        0.006361531503
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              HSBC SECURITIES (USA) INC.
              CYYGQCGNHMHPSMRL3R97
            
            -56607810.20000000
            THB
            1783000.00000000
            USD
            2021-09-15
            61118.99000000
          
        
        
          N
          N
          N
        
      
      
        AETNA INC
        549300QKBENKLBXQ8968
        Aetna Inc
        008117AP8
        
          
          
        
        450000.00000000
        PA
        USD
        461143.50000000
        0.047997830181
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2022-11-15
          Fixed
          2.75000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Oaktown Re Ltd
        254900KOPN6EP9T3LD85
        Oaktown Re II Ltd
        67400CAA6
        
          
        
        309829.67000000
        PA
        USD
        309829.58000000
        0.032248416308
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2028-07-25
          Floating
          1.63925000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BARCLAYS BANK PLC
        G5GSEF7VJP5I7OUK5573
        USD/JPY FORWARD
        000000000
        
          
          
        
        1.00000000
        NC
        USD
        -609826.78000000
        -0.06347343555
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              BARCLAYS BANK PLC
              G5GSEF7VJP5I7OUK5573
            
            -5118000.00000000
            USD
            487837524.00000000
            JPY
            2023-10-31
            -609826.78000000
          
        
        
          N
          N
          N
        
      
      
        UK CLEARING HOUSE LIMITED
        213800O8SCO4XJGBU385
        IRS ZAR
        000000000
        
          
        
        1.00000000
        NC
        
        6594.66000000
        0.000686401024
        N/A
        DIR
        CORP
        GB
        
        N
        
        2
        
          
            
              UK CLEARING HOUSE LIMITED
              213800O8SCO4XJGBU385
            
            Y
            
            
              
                
              
            
            2030-08-03
            0.00000000
            USD
            -99.21000000
            USD
            7000000.00000000
            ZAR
            6693.87000000
          
        
        
          N
          N
          N
        
      
      
        GOLDMAN SACHS & CO. LLC
        FOR8UP27PHTHYVLBNG30
        THB/USD FORWARD
        000000000
        
          
          
        
        1.00000000
        NC
        USD
        1256.59000000
        0.000130791377
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              GOLDMAN SACHS & CO. LLC
              FOR8UP27PHTHYVLBNG30
            
            -12024021.00000000
            THB
            367000.00000000
            USD
            2021-09-15
            1256.59000000
          
        
        
          N
          N
          N
        
      
      
        GOLDMAN SACHS & CO. LLC
        FOR8UP27PHTHYVLBNG30
        USD CALL VERSUS MXN PUT
        000000000
        
          
        
        -69000000.00000000
        NC
        USD
        -34518.69000000
        -0.00359285606
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              GOLDMAN SACHS & CO. LLC
              FOR8UP27PHTHYVLBNG30
            
            Call
            Written
            
              
                
                  
                    GOLDMAN SACHS & CO. LLC
                    FOR8UP27PHTHYVLBNG30
                  
                  
                    GOLDMAN SACHS & CO. LLC
                    FOR8UP27PHTHYVLBNG30
                    USD CALL VERSUS MXN PUT
                    000000000
                    
                      
                    
                    0.00000000
                    NC
                    
                    0.00000000
                    0.00000000
                    DFE
                    CORP
                    US
                    US
                  
                  N/A
                  MXN
                  N/A
                  USD
                  2022-02-23
                
              
            
            -69000000.00000000
            USD
            31.50000000
            USD
            2022-02-23
            XXXX
            2403540.42000000
          
        
        
          N
          N
          N
        
      
      
        BARCLAYS BANK PLC
        G5GSEF7VJP5I7OUK5573
        CDS T-MOBILE USA INC
        000000000
        
          
        
        1.00000000
        NC
        USD
        17710.57000000
        0.001843393501
        N/A
        DCR
        CORP
        GB
        
        N
        
        2
        
          
            
              BARCLAYS BANK PLC
              G5GSEF7VJP5I7OUK5573
            
            
              
                T-MOBILE USA INC
                T-Mobile USA Inc
                
                  
                  
                  
                
              
            
            Y
            
            Default Event
            2021-12-20
            13377.80000000
            USD
            0.00000000
            USD
            730000.00000000
            USD
            4332.77000000
          
        
        
          N
          N
          N
        
      
      
        MOHAWK INDUSTRIES INC
        549300JI1115MG3Q6322
        Mohawk Industries Inc
        608190AJ3
        
          
          
        
        104000.00000000
        PA
        USD
        108347.73000000
        0.011277305101
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2023-02-01
          Fixed
          3.85000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        QATAR PETROLEUM
        254900QTESJKJ3P87J26
        Qatar Petroleum
        74730DAE3
        
          
          
        
        425000.00000000
        PA
        USD
        441218.21000000
        0.045923918946
        Long
        DBT
        CORP
        QA
        N
        
        2
        
          2041-07-12
          Fixed
          3.12500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        J.P. MORGAN SECURITIES LLC
        ZBUT11V806EZRVTWT807
        KRW/USD FORWARD
        000000000
        
          
          
        
        1.00000000
        NC
        USD
        -21735.05000000
        -0.00226227896
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              J.P. MORGAN SECURITIES LLC
              ZBUT11V806EZRVTWT807
            
            -1098265.55000000
            USD
            1242907121.00000000
            KRW
            2021-10-29
            -21735.05000000
          
        
        
          N
          N
          N
        
      
      
        CHICAGO MERCANTILE EXCHANGE INC.
        SNZ2OJLFK8MNNCLQOF39
        IRS CLP
        000000000
        
          
        
        1.00000000
        NC
        
        -1312667.75000000
        -0.13662819436
        N/A
        DIR
        CORP
        US
        
        N
        
        2
        
          
            
              CHICAGO MERCANTILE EXCHANGE INC.
              SNZ2OJLFK8MNNCLQOF39
            
            Y
            
            
              
                
              
            
            2026-01-25
            0.00000000
            USD
            0.00000000
            USD
            14295000000.00000000
            CLP
            -1312667.75000000
          
        
        
          N
          N
          N
        
      
      
        BARCLAYS BANK PLC
        G5GSEF7VJP5I7OUK5573
        CDS JPMORGAN CHASE & CO
        000000000
        
          
        
        1.00000000
        NC
        USD
        4741.55000000
        0.000493521239
        N/A
        DCR
        CORP
        GB
        
        N
        
        2
        
          
            
              BARCLAYS BANK PLC
              G5GSEF7VJP5I7OUK5573
            
            
              
                JPMORGAN CHASE & CO
                JPMorgan Chase & Co
                
                  
                  
                  
                
              
            
            Y
            
            Default Event
            2021-09-20
            2475.99000000
            USD
            0.00000000
            USD
            2070000.00000000
            USD
            2265.56000000
          
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        USD/PEN FORWARD
        000000000
        
          
          
        
        1.00000000
        NC
        USD
        19412.82000000
        0.002020571118
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            -1930214.00000000
            PEN
            494672.99000000
            USD
            2021-09-15
            19412.82000000
          
        
        
          N
          N
          N
        
      
      
        CODERE FINANCE 2 LUXEMBO
        2221005CUH65GSJUKB29
        Codere Finance 2 Luxembourg SA
        000000000
        
          
          
        
        1216000.00000000
        PA
        
        1546441.96000000
        0.160960435486
        Long
        SN
        CORP
        LU
        
        Y
        
        2
        
          2023-09-30
          Variable
          10.75000000
          N
          Y
          N
        
        
          N
          N
          N
        
      
      
        J.P. MORGAN SECURITIES LLC
        ZBUT11V806EZRVTWT807
        MXN/USD FORWARD
        000000000
        
          
          
        
        1.00000000
        NC
        USD
        -7694.81000000
        -0.00080090944
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              J.P. MORGAN SECURITIES LLC
              ZBUT11V806EZRVTWT807
            
            -19485525.96000000
            MXN
            965000.00000000
            USD
            2021-09-15
            -7694.81000000
          
        
        
          N
          N
          N
        
      
      
        Citibank, National Association
        E57ODZWZ7FF32TWEFA76
        BRL/USD FORWARD
        000000000
        
          
          
        
        1.00000000
        NC
        USD
        -200915.46000000
        -0.02091215886
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              Citibank, National Association
              E57ODZWZ7FF32TWEFA76
            
            -24183546.03000000
            BRL
            4311000.00000000
            USD
            2022-01-28
            -200915.46000000
          
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        USD/INR FORWARD
        000000000
        
          
          
        
        1.00000000
        NC
        USD
        -10656.53000000
        -0.00110917819
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            -179491280.50000000
            INR
            2390000.00000000
            USD
            2021-09-15
            -10656.53000000
          
        
        
          N
          N
          N
        
      
      
        CHESAPEAKE ENERGY FLLO BACKSTOP
        N/A
        CHESAPEAKE ENERGY FLLO BACKSTOP
        000000000
        
          
        
        1449.00000000
        NS
        USD
        78081.83000000
        0.008127098000
        Long
        EC
        CORP
        US
        Y
        
        3
        
          N
          N
          N
        
      
      
        MidOcean Credit CLO
        549300XSCUX0ONI5KZ96
        MidOcean Credit CLO III
        59802UAU3
        
          
        
        7411255.05000000
        PA
        USD
        7411389.93000000
        0.771409843725
        Long
        ABS-CBDO
        CORP
        KY
        N
        
        2
        
          2031-04-21
          Floating
          1.25425000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        J.P. MORGAN SECURITIES LLC
        ZBUT11V806EZRVTWT807
        USD/ZAR FORWARD
        000000000
        
          
          
        
        1.00000000
        NC
        USD
        -29317.88000000
        -0.00305153303
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              J.P. MORGAN SECURITIES LLC
              ZBUT11V806EZRVTWT807
            
            -1182000.00000000
            USD
            16988631.43000000
            ZAR
            2021-09-15
            -29317.88000000
          
        
        
          N
          N
          N
        
      
      
        DIAMOND SPORTS GROUP LLC
        5493002K6DHWNZH8YA34
        Diamond Sports Group LLC
        25277BAB4
        
          
          
        
        379035.53000000
        PA
        USD
        208114.01000000
        0.021661415395
        Long
        LON
        CORP
        US
        Y
        
        2
        
          2026-08-24
          Floating
          3.33610000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Morgan Stanley Capital Inc
        N/A
        Morgan Stanley ABS Capital I Inc Trust 2003-NC10
        61746RDX6
        
          
          
        
        377835.11000000
        PA
        USD
        377364.55000000
        0.039277751041
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2033-10-25
          Floating
          1.10925000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FHLMC Multifamily Structured P
        S6XOOCT0IEG5ABCC6L87
        Freddie Mac Multifamily Structured Pass Through Certificates
        3137AYCF6
        
          
        
        83060383.15000000
        PA
        USD
        677747.81000000
        0.070542953094
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2022-10-25
          Variable
          0.78622100
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        USD/AUD FORWARD
        000000000
        
          
          
        
        1.00000000
        NC
        USD
        -114286.01000000
        -0.01189538722
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            -4204659.00000000
            USD
            5569011.00000000
            AUD
            2022-01-28
            -114286.01000000
          
        
        
          N
          N
          N
        
      
      
        MONG DUONG FIN HLDGS BV
        549300995KGQFMWSV879
        Mong Duong Finance Holdings BV
        000000000
        
          
          
        
        1295000.00000000
        PA
        USD
        1283033.25000000
        0.133543706136
        Long
        DBT
        CORP
        NL
        
        N
        
        2
        
          2029-05-07
          Fixed
          5.12500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        EUREX CLEARING AKTIENGESELLSCHAFT
        529900LN3S50JPU47S06
        5 YEAR EURO BOBL
        000000000
        
          
          
        
        -227.00000000
        NC
        
        -359757.59000000
        -0.03744514172
        N/A
        DIR
        CORP
        DE
        
        N
        
        1
        
          
            
              EUREX CLEARING AKTIENGESELLSCHAFT
              529900LN3S50JPU47S06
            
            Short
            
              
                BUNDESOBLIGATION
                Bundesobligation
                
                  
                  
                  
                
              
            
            2021-09-08
            -37138421.44000000
            USD
            -359757.59000000
          
        
        
          N
          N
          N
        
      
      
        HSBC SECURITIES (USA) INC.
        CYYGQCGNHMHPSMRL3R97
        KRW/USD FORWARD
        000000000
        
          
          
        
        1.00000000
        NC
        USD
        -59.37000000
        -0.00000617948
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              HSBC SECURITIES (USA) INC.
              CYYGQCGNHMHPSMRL3R97
            
            -384000.00000000
            USD
            443020800.00000000
            KRW
            2021-09-15
            -59.37000000
          
        
        
          N
          N
          N
        
      
      
        CITIBANK NA
        E57ODZWZ7FF32TWEFA76
        CDS UNITED MEXICAN STATES
        000000000
        
          
        
        1.00000000
        NC
        USD
        -5908.72000000
        -0.00061500539
        N/A
        DCR
        CORP
        US
        N
        
        2
        
          
            
              CITIBANK NA
              E57ODZWZ7FF32TWEFA76
            
            
              
                UNITED MEXICAN STATES
                Mexico Government International Bond
                
                  
                  
                  
                
              
            
            Y
            Default Event
            
            2023-06-20
            1012.87000000
            USD
            0.00000000
            USD
            -455000.00000000
            USD
            -6921.59000000
          
        
        
          N
          N
          N
        
      
      
        DEVELOPMENT BANK BELARUS
        253400D4JRB0M70A0687
        Development Bank of the Republic of Belarus JSC
        25161EAA9
        
          
          
        
        1505000.00000000
        PA
        USD
        1402199.58000000
        0.145947058392
        Long
        DBT
        NUSS
        BY
        N
        
        2
        
          2024-05-02
          Fixed
          6.75000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BNP PARIBAS (SUISSE) SA
        QHSFEYI7HUOXXZ413E03
        SWOP CDS CDX.NA.HY.36.V1
        000000000
        
          
        
        -25460000.00000000
        OU
        Other
        USD
        -14438.12000000
        -0.00150278260
        N/A
        DCR
        CORP
        CH
        
        N
        
        2
        
          
            
              BNP PARIBAS (SUISSE) SA
              QHSFEYI7HUOXXZ413E03
            
            Put
            Written
            
              
                
                  
                    BNP PARIBAS (SUISSE) SA
                    QHSFEYI7HUOXXZ413E03
                  
                  
                    BNP PARIBAS (SUISSE) SA
                    QHSFEYI7HUOXXZ413E03
                    CDS CDX.NA.HY.36.V1
                    000000000
                    
                      
                    
                    0.00000000
                    NC
                    USD
                    0.00000000
                    0.00000000
                    DCR
                    CORP
                    CH
                    US
                  
                  
                    
                      IHS MARKIT LTD
                      CDX.NA.HY.36.V1
                      
                        
                        
                      
                    
                  
                  Default Event
                  
                  2026-06-20
                  0.00000000
                  USD
                  0.00000000
                  USD
                  N/A
                  N/A
                
              
            
            -25460000.00000000
            USD
            105.00000000
            USD
            2021-08-18
            XXXX
            102677.88000000
          
        
        
          N
          N
          N
        
      
      
        Romark CLO Ltd
        N/A
        Romark WM-R Ltd
        77587AAC0
        
          
        
        1484426.77000000
        PA
        USD
        1484152.74000000
        0.154477101332
        Long
        ABS-CBDO
        CORP
        KY
        N
        
        2
        
          2031-04-20
          Floating
          1.16425000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CHICAGO MERCANTILE EXCHANGE INC.
        SNZ2OJLFK8MNNCLQOF39
        IRS MXN
        000000000
        
          
        
        1.00000000
        NC
        
        -555352.82000000
        -0.05780354780
        N/A
        DIR
        CORP
        US
        
        N
        
        2
        
          
            
              CHICAGO MERCANTILE EXCHANGE INC.
              SNZ2OJLFK8MNNCLQOF39
            
            Y
            
            
              
                
              
            
            2031-01-15
            0.00000000
            USD
            -147.36000000
            USD
            112300000.00000000
            MXN
            -555205.46000000
          
        
        
          N
          N
          N
        
      
      
        MGM CHINA HOLDINGS LTD
        529900VZFN87OS7WJM66
        MGM China Holdings Ltd
        55300RAG6
        
          
          
        
        700000.00000000
        PA
        USD
        707366.99000000
        0.073625846752
        Long
        DBT
        CORP
        KY
        
        N
        
        2
        
          2027-02-01
          Fixed
          4.75000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BELLEMEADE RE LT
        549300O2GEH6GH9NO762
        Bellemeade Re 2018-1 Ltd
        078768AD0
        
          
        
        801613.21000000
        PA
        USD
        808120.47000000
        0.084112709135
        Long
        ABS-MBS
        CORP
        BM
        
        N
        
        2
        
          2028-04-25
          Floating
          1.68925000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        UK CLEARING HOUSE LIMITED
        213800O8SCO4XJGBU385
        IRS NZD
        000000000
        
          
        
        1.00000000
        NC
        
        -68215.32000000
        -0.00710014853
        N/A
        DIR
        CORP
        GB
        
        N
        
        2
        
          
            
              UK CLEARING HOUSE LIMITED
              213800O8SCO4XJGBU385
            
            Y
            
            
              
                
              
            
            2031-01-19
            0.00000000
            USD
            0.00000000
            USD
            1600000.00000000
            NZD
            -68215.32000000
          
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        PLN/USD FORWARD
        000000000
        
          
          
        
        1.00000000
        NC
        USD
        -11519.29000000
        -0.00119897803
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            -3745680.09000000
            PLN
            961000.00000000
            USD
            2021-10-19
            -11519.29000000
          
        
        
          N
          N
          N
        
      
      
        Citibank, National Association
        E57ODZWZ7FF32TWEFA76
        USD/CNH FORWARD
        000000000
        
          
          
        
        1.00000000
        NC
        USD
        16750.79000000
        0.001743495406
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              Citibank, National Association
              E57ODZWZ7FF32TWEFA76
            
            -6035000.00000000
            USD
            39181485.60000000
            CNY
            2021-08-18
            16750.79000000
          
        
        
          N
          N
          N
        
      
      
        HELLENIC REPUBLIC
        2138003EKTMKZ5598902
        Hellenic Republic Government International Bond
        000000000
        
          
          
        
        2000000.00000000
        PA
        
        3242178.52000000
        0.337460105198
        Long
        DBT
        NUSS
        GR
        N
        
        2
        
          2028-04-14
          Fixed
          6.14000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        GOLDMAN SACHS & CO. LLC
        FOR8UP27PHTHYVLBNG30
        MXN/USD FORWARD
        000000000
        
          
          
        
        1.00000000
        NC
        USD
        339.29000000
        0.000035314785
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              GOLDMAN SACHS & CO. LLC
              FOR8UP27PHTHYVLBNG30
            
            -488000.00000000
            USD
            9782665.50000000
            MXN
            2021-09-15
            339.29000000
          
        
        
          N
          N
          N
        
      
      
        UBS Securities LLC
        T6FIZBDPKLYJKFCRVK44
        USD/INR FORWARD
        000000000
        
          
          
        
        1.00000000
        NC
        USD
        -727.16000000
        -0.00007568598
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              UBS Securities LLC
              T6FIZBDPKLYJKFCRVK44
            
            -34970828.00000000
            INR
            467000.00000000
            USD
            2021-09-15
            -727.16000000
          
        
        
          N
          N
          N
        
      
      
        STATE OF MINAS GERAIS
        N/A
        Brazil Minas SPE via State of Minas Gerais
        000000000
        
          
          
        
        2303000.00000000
        PA
        USD
        2488443.48000000
        0.259008069222
        Long
        DBT
        CORP
        KY
        
        N
        
        2
        
          2028-02-15
          Fixed
          5.33300000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        J.P. MORGAN SECURITIES LLC
        ZBUT11V806EZRVTWT807
        TWD/USD FORWARD
        000000000
        
          
          
        
        1.00000000
        NC
        USD
        3006.57000000
        0.000312936941
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              J.P. MORGAN SECURITIES LLC
              ZBUT11V806EZRVTWT807
            
            -10490720.00000000
            TWD
            379000.00000000
            USD
            2021-09-15
            3006.57000000
          
        
        
          N
          N
          N
        
      
      
        BARCLAYS CAPITAL INC.
        AC28XWWI3WIBK2824319
        USD CALL VERSUS MXN PUT
        000000000
        
          
        
        69000000.00000000
        NC
        USD
        34518.69000000
        0.003592856064
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              BARCLAYS CAPITAL INC.
              AC28XWWI3WIBK2824319
            
            Call
            Purchased
            
              
                
                  
                    BARCLAYS CAPITAL INC.
                    AC28XWWI3WIBK2824319
                  
                  
                    BARCLAYS CAPITAL INC.
                    AC28XWWI3WIBK2824319
                    USD CALL VERSUS MXN PUT
                    000000000
                    
                      
                    
                    0.00000000
                    NC
                    
                    0.00000000
                    0.00000000
                    DFE
                    CORP
                    US
                    US
                  
                  N/A
                  MXN
                  N/A
                  USD
                  2022-02-23
                
              
            
            69000000.00000000
            USD
            31.50000000
            USD
            2022-02-23
            XXXX
            -1028081.31000000
          
        
        
          N
          N
          N
        
      
      
        PETROLEOS MEXICANOS
        549300CAZKPF4HKMPX17
        Petroleos Mexicanos
        71654QCL4
        
          
          
        
        1238000.00000000
        PA
        USD
        1058999.46000000
        0.110225290486
        Long
        DBT
        CORP
        MX
        N
        
        2
        
          2048-02-12
          Fixed
          6.35000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Credit Suisse AG
        ANGGYXNX0JLX3X63JN86
        USD/IDR FORWARD
        000000000
        
          
          
        
        1.00000000
        NC
        USD
        -2215.53000000
        -0.00023060204
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              Credit Suisse AG
              ANGGYXNX0JLX3X63JN86
            
            -5416340300.00000000
            IDR
            371000.00000000
            USD
            2021-09-15
            -2215.53000000
          
        
        
          N
          N
          N
        
      
      
        UK CLEARING HOUSE LIMITED
        213800O8SCO4XJGBU385
        IRS IFS USD
        000000000
        
          
        
        1.00000000
        NC
        USD
        -64992.43000000
        -0.00676469606
        N/A
        DIR
        CORP
        GB
        
        N
        
        2
        
          
            
              UK CLEARING HOUSE LIMITED
              213800O8SCO4XJGBU385
            
            Y
            
            
              
                
              
            
            2031-04-13
            0.00000000
            USD
            0.00000000
            USD
            2170000.00000000
            USD
            -64992.43000000
          
        
        
          N
          N
          N
        
      
      
        DEUTSCHE BANK AKTIENGESELLSCHAFT
        7LTWFZYICNSX8D621K86
        SWOP CDS CDX.NA.IG.36.V1
        000000000
        
          
        
        -27100000.00000000
        OU
        Other
        USD
        -2819.67000000
        -0.00029348357
        N/A
        DCR
        CORP
        DE
        
        N
        
        2
        
          
            
              DEUTSCHE BANK AKTIENGESELLSCHAFT
              7LTWFZYICNSX8D621K86
            
            Put
            Written
            
              
                
                  
                    DEUTSCHE BANK AKTIENGESELLSCHAFT
                    7LTWFZYICNSX8D621K86
                  
                  
                    DEUTSCHE BANK AKTIENGESELLSCHAFT
                    7LTWFZYICNSX8D621K86
                    CDS CDX.NA.IG.36.V1
                    000000000
                    
                      
                    
                    0.00000000
                    NC
                    USD
                    0.00000000
                    0.00000000
                    DCR
                    CORP
                    DE
                    US
                  
                  
                    
                      IHS MARKIT LTD
                      CDX.NA.IG.36.V1
                      
                        
                        
                      
                    
                  
                  Default Event
                  
                  2026-06-20
                  0.00000000
                  USD
                  0.00000000
                  USD
                  N/A
                  N/A
                
              
            
            -27100000.00000000
            USD
            70.00000000
            USD
            2021-08-18
            XXXX
            28345.33000000
          
        
        
          N
          N
          N
        
      
      
        DEUTSCHE BANK AKTIENGESELLSCHAFT
        7LTWFZYICNSX8D621K86
        AUD/JPY FORWARD
        000000000
        
          
          
        
        1.00000000
        NC
        USD
        726495.98000000
        0.075616875605
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              DEUTSCHE BANK AKTIENGESELLSCHAFT
              7LTWFZYICNSX8D621K86
            
            -422703000.00000000
            JPY
            6309000.00000000
            AUD
            2023-10-31
            726495.98000000
          
        
        
          N
          N
          N
        
      
      
        STRIPS
        254900HROIFWPRGM1V77
        United States Treasury Strip Coupon
        912833X96
        
          
          
        
        870000.00000000
        PA
        USD
        681386.72000000
        0.070921706745
        Long
        DBT
        UST
        US
        N
        
        2
        
          2035-11-15
          None
          0.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        INTELSAT JACKSON HLDG
        8XJ8KF85PBKK1TLMFN29
        Intelsat Jackson Holdings SA
        45824TAP0
        
          
          
        
        2000000.00000000
        PA
        USD
        1100287.04000000
        0.114522682195
        Long
        DBT
        CORP
        LU
        N
        
        2
        
          2023-08-01
          Fixed
          5.50000000
          Y
          N
          N
        
        
          N
          N
          N
        
      
      
        Citigroup Mortgage Loan Trust
        549300R1KUK063S4I339
        Citigroup Mortgage Loan Trust Inc
        17307GPF9
        
          
        
        998.05000000
        PA
        USD
        1000.38000000
        0.000104123920
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2034-11-25
          Variable
          5.01000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        GOLDMAN SACHS INTERNATIONAL
        W22LROWP2IHZNBB6K528
        CDS PIONEER NATURAL RESOURCES COMPANY
        000000000
        
          
        
        1.00000000
        NC
        USD
        29234.11000000
        0.003042813890
        N/A
        DCR
        CORP
        GB
        
        N
        
        2
        
          
            
              GOLDMAN SACHS INTERNATIONAL
              W22LROWP2IHZNBB6K528
            
            
              
                PIONEER NATURAL RESOURCE
                Pioneer Natural Resources Co
                
                  
                  
                  
                
              
            
            Y
            
            Default Event
            2022-06-20
            26490.57000000
            USD
            0.00000000
            USD
            3750000.00000000
            USD
            2743.54000000
          
        
        
          N
          N
          N
        
      
      
        BARCLAYS PLC
        213800LBQA1Y9L22JB70
        USD/TRY FORWARD
        000000000
        
          
          
        
        1.00000000
        NC
        USD
        -34738.90000000
        -0.00361577648
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              BARCLAYS PLC
              213800LBQA1Y9L22JB70
            
            -11752370.70000000
            TRY
            1327000.00000000
            USD
            2021-09-15
            -34738.90000000
          
        
        
          N
          N
          N
        
      
      
        UK CLEARING HOUSE LIMITED
        213800O8SCO4XJGBU385
        IRS PLN
        000000000
        
          
        
        1.00000000
        NC
        
        -66423.93000000
        -0.00691369283
        N/A
        DIR
        CORP
        GB
        
        N
        
        2
        
          
            
              UK CLEARING HOUSE LIMITED
              213800O8SCO4XJGBU385
            
            Y
            
            
              
                
              
            
            2031-01-19
            2616.63000000
            USD
            0.00000000
            USD
            7000000.00000000
            PLN
            -69040.56000000
          
        
        
          N
          N
          N
        
      
      
        GOLDMAN SACHS INTERNATIONAL
        W22LROWP2IHZNBB6K528
        SWOP CDS CDX.NA.IG.36.V1
        000000000
        
          
        
        54990000.00000000
        OU
        Other
        USD
        14327.86000000
        0.001491306266
        N/A
        DCR
        CORP
        GB
        
        N
        
        2
        
          
            
              GOLDMAN SACHS INTERNATIONAL
              W22LROWP2IHZNBB6K528
            
            Put
            Purchased
            
              
                
                  
                    GOLDMAN SACHS INTERNATIONAL
                    W22LROWP2IHZNBB6K528
                  
                  
                    GOLDMAN SACHS INTERNATIONAL
                    W22LROWP2IHZNBB6K528
                    CDS CDX.NA.IG.36.V1
                    000000000
                    
                      
                    
                    0.00000000
                    NC
                    USD
                    0.00000000
                    0.00000000
                    DCR
                    CORP
                    GB
                    US
                  
                  
                    
                      IHS MARKIT LTD
                      CDX.NA.IG.36.V1
                      
                        
                        
                      
                    
                  
                  
                  Default Event
                  2026-06-20
                  0.00000000
                  USD
                  0.00000000
                  USD
                  N/A
                  N/A
                
              
            
            54990000.00000000
            USD
            57.50000000
            USD
            2021-08-18
            XXXX
            -105275.39000000
          
        
        
          N
          N
          N
        
      
      
        DANSKE BANK A/S
        MAES062Z21O4RZ2U7M96
        Danske Bank A/S
        23636AAU5
        
          
          
        
        5460000.00000000
        PA
        USD
        5476683.52000000
        0.570037147984
        Long
        DBT
        CORP
        DK
        N
        
        2
        
          2022-09-20
          Fixed
          3.00100000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
        549300EX04Q2QBFQTQ27
        30 DAY FEDERAL FUNDS
        000000000
        
          
          
        
        -48.00000000
        NC
        USD
        30640.80000000
        0.003189228331
        N/A
        DIR
        CORP
        US
        N
        
        1
        
          
            
              BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
              549300EX04Q2QBFQTQ27
            
            Short
            
              
                FEDERAL RESERVE BANK OF NEW YORK
                30 DAY FEDERAL FUNDS
                
                  
                  
                  
                
              
            
            2022-06-30
            -19210480.80000000
            USD
            30640.80000000
          
        
        
          N
          N
          N
        
      
      
        Penta CLO S.A.
        635400CJ99MQCYBUGV50
        Penta CLO 5 DAC
        000000000
        
          
        
        10000000.00000000
        PA
        
        11856222.36000000
        1.234047422182
        Long
        ABS-CBDO
        CORP
        IE
        N
        
        2
        
          2035-04-20
          Floating
          1.55000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        GRUPO AVAL LTD
        549300J4FW1ELLQ80113
        Grupo Aval Ltd
        40053FAC2
        
          
          
        
        2170000.00000000
        PA
        USD
        2146247.27000000
        0.223390792656
        Long
        DBT
        CORP
        KY
        
        N
        
        2
        
          2030-02-04
          Fixed
          4.37500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MOUNTAIN VIEW CLO
        549300IB1UGD5G8HYT10
        Mountain View Clo XIV Ltd
        62432MAE9
        
          
        
        3750000.00000000
        PA
        USD
        3751326.00000000
        0.390454399344
        Long
        ABS-CBDO
        CORP
        KY
        N
        
        2
        
          2029-04-15
          Floating
          2.02693000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BARCLAYS BANK PLC
        G5GSEF7VJP5I7OUK5573
        CDS TEVA PHARMACEUTICAL INDUSTRIES LTD
        000000000
        
          
        
        1.00000000
        NC
        USD
        296.25000000
        0.000030834994
        N/A
        DCR
        CORP
        GB
        
        N
        
        2
        
          
            
              BARCLAYS BANK PLC
              G5GSEF7VJP5I7OUK5573
            
            
              
                TEVA PHARMACEUT FIN BV
                Teva Pharmaceutical Finance Co BV
                
                  
                  
                  
                
              
            
            Y
            
            Default Event
            2021-12-20
            184.82000000
            USD
            0.00000000
            USD
            190000.00000000
            USD
            111.43000000
          
        
        
          N
          N
          N
        
      
      
        UNITED AIRLINES INC
        K1OQBWM7XEOO08LDNP29
        United Airlines Inc
        90932LAG2
        
          
          
        
        645000.00000000
        PA
        USD
        663546.07000000
        0.069064773949
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2026-04-15
          Fixed
          4.37500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        GOLDMAN SACHS INTERNATIONAL
        W22LROWP2IHZNBB6K528
        SWOP CDS CDX.NA.IG.36.V1
        000000000
        
          
        
        54990000.00000000
        OU
        Other
        USD
        458.54000000
        0.000047726846
        N/A
        DCR
        CORP
        GB
        
        N
        
        2
        
          
            
              GOLDMAN SACHS INTERNATIONAL
              W22LROWP2IHZNBB6K528
            
            Call
            Purchased
            
              
                
                  
                    GOLDMAN SACHS INTERNATIONAL
                    W22LROWP2IHZNBB6K528
                  
                  
                    GOLDMAN SACHS INTERNATIONAL
                    W22LROWP2IHZNBB6K528
                    CDS CDX.NA.IG.36.V1
                    000000000
                    
                      
                    
                    0.00000000
                    NC
                    USD
                    0.00000000
                    0.00000000
                    DCR
                    CORP
                    GB
                    US
                  
                  
                    
                      IHS MARKIT LTD
                      CDX.NA.IG.36.V1
                      
                        
                        
                      
                    
                  
                  Default Event
                  
                  2026-06-20
                  0.00000000
                  USD
                  0.00000000
                  USD
                  N/A
                  N/A
                
              
            
            54990000.00000000
            USD
            40.00000000
            USD
            2021-08-18
            XXXX
            -2290.96000000
          
        
        
          N
          N
          N
        
      
      
        DIRECTV HOLDINGS/FING
        N/A
        DIRECTV Holdings LLC / DIRECTV Financing Co Inc
        25461LAA0
        
          
          
        
        550000.00000000
        PA
        USD
        569033.65000000
        0.059227508357
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2027-08-15
          Fixed
          5.87500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CVS HEALTH CORP
        549300EJG376EN5NQE29
        CVS Health Corp
        126650CN8
        
          
          
        
        1315000.00000000
        PA
        USD
        1741412.60000000
        0.181253831510
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2045-07-20
          Fixed
          5.12500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Credit Suisse AG
        ANGGYXNX0JLX3X63JN86
        USD/CNH FORWARD
        000000000
        
          
          
        
        1.00000000
        NC
        USD
        15260.43000000
        0.001588372226
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              Credit Suisse AG
              ANGGYXNX0JLX3X63JN86
            
            -9871781.50000000
            CNY
            1540000.00000000
            USD
            2021-08-18
            15260.43000000
          
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        GBP/USD FORWARD
        000000000
        
          
          
        
        1.00000000
        NC
        USD
        -8912.83000000
        -0.00092768628
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            -832037.00000000
            GBP
            1147705.02000000
            USD
            2021-08-31
            -8912.83000000
          
        
        
          N
          N
          N
        
      
      
        TPC GROUP INC
        549300K276KVW5JD1583
        TPC Group Inc
        89236YAB0
        
          
          
        
        1700000.00000000
        PA
        USD
        1674287.50000000
        0.174267157837
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2024-08-01
          Fixed
          10.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        WESTROCK RKT LLC
        PQQ60KVT5SJX0ETQT497
        WestRock RKT LLC
        772739AL2
        
          
          
        
        1190000.00000000
        PA
        USD
        1220486.76000000
        0.127033594196
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2022-03-01
          Fixed
          4.90000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        HSBC SECURITIES (USA) INC.
        CYYGQCGNHMHPSMRL3R97
        PHP/USD FORWARD
        000000000
        
          
          
        
        1.00000000
        NC
        USD
        4012.36000000
        0.000417623958
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              HSBC SECURITIES (USA) INC.
              CYYGQCGNHMHPSMRL3R97
            
            -802000.00000000
            USD
            40378294.00000000
            PHP
            2021-09-15
            4012.36000000
          
        
        
          N
          N
          N
        
      
      
        CITIBANK NA
        E57ODZWZ7FF32TWEFA76
        CDS PETROLEOS MEXICANOS SA
        000000000
        
          
        
        1.00000000
        NC
        USD
        -9532.54000000
        -0.00099218841
        N/A
        DCR
        CORP
        US
        N
        
        2
        
          
            
              CITIBANK NA
              E57ODZWZ7FF32TWEFA76
            
            
              
                UNITED MEXICAN STATES
                Mexico Government International Bond
                
                  
                  
                  
                
              
            
            Y
            
            Default Event
            2023-06-20
            0.00000000
            USD
            -11435.01000000
            USD
            385000.00000000
            USD
            1902.47000000
          
        
        
          N
          N
          N
        
      
      
        Credit Suisse AG
        ANGGYXNX0JLX3X63JN86
        USD/TWD FORWARD
        000000000
        
          
          
        
        1.00000000
        NC
        USD
        -2025.97000000
        -0.00021087180
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              Credit Suisse AG
              ANGGYXNX0JLX3X63JN86
            
            -376000.00000000
            USD
            10434376.00000000
            TWD
            2021-09-15
            -2025.97000000
          
        
        
          N
          N
          N
        
      
      
        UK CLEARING HOUSE LIMITED
        213800O8SCO4XJGBU385
        IRS IFS USD
        000000000
        
          
        
        1.00000000
        NC
        USD
        -59526.49000000
        -0.00619577714
        N/A
        DIR
        CORP
        GB
        
        N
        
        2
        
          
            
              UK CLEARING HOUSE LIMITED
              213800O8SCO4XJGBU385
            
            Y
            
            
              
                
              
            
            2031-04-15
            0.00000000
            USD
            0.00000000
            USD
            2165000.00000000
            USD
            -59526.49000000
          
        
        
          N
          N
          N
        
      
      
        BNP PARIBAS (SUISSE) SA
        QHSFEYI7HUOXXZ413E03
        SWOP CDS CDX.NA.HY.36.V1
        000000000
        
          
        
        25460000.00000000
        OU
        Other
        USD
        166.54000000
        0.000017334210
        N/A
        DCR
        CORP
        CH
        
        N
        
        2
        
          
            
              BNP PARIBAS (SUISSE) SA
              QHSFEYI7HUOXXZ413E03
            
            Call
            Purchased
            
              
                
                  
                    BNP PARIBAS (SUISSE) SA
                    QHSFEYI7HUOXXZ413E03
                  
                  
                    BNP PARIBAS (SUISSE) SA
                    QHSFEYI7HUOXXZ413E03
                    CDS CDX.NA.HY.36.V1
                    000000000
                    
                      
                    
                    0.00000000
                    NC
                    USD
                    0.00000000
                    0.00000000
                    DCR
                    CORP
                    CH
                    US
                  
                  
                    
                      IHS MARKIT LTD
                      CDX.NA.HY.36.V1
                      
                        
                        
                      
                    
                  
                  Default Event
                  
                  2026-06-20
                  0.00000000
                  USD
                  0.00000000
                  USD
                  N/A
                  N/A
                
              
            
            25460000.00000000
            USD
            112.00000000
            USD
            2021-08-18
            XXXX
            -2379.46000000
          
        
        
          N
          N
          N
        
      
      
        BARCLAYS BANK PLC
        G5GSEF7VJP5I7OUK5573
        CDS REPUBIC OF PANAMA
        000000000
        
          
        
        1.00000000
        NC
        USD
        54174.55000000
        0.005638723848
        N/A
        DCR
        CORP
        GB
        
        N
        
        2
        
          
            
              BARCLAYS BANK PLC
              G5GSEF7VJP5I7OUK5573
            
            
              
                REPUBLIC OF PANAMA
                Panama Government International Bond
                
                  
                  
                  
                
              
            
            Y
            
            Default Event
            2023-06-20
            0.00000000
            USD
            -1592.29000000
            USD
            3750000.00000000
            USD
            55766.84000000
          
        
        
          N
          N
          N
        
      
      
        JPMORGAN CHASE BANK, NATIONAL ASSOCIATION
        7H6GLXDRUGQFU57RNE97
        SWOP CDS CDX.NA.IG.36.V1
        000000000
        
          
        
        29520000.00000000
        OU
        Other
        USD
        7691.55000000
        0.000800570127
        N/A
        DCR
        CORP
        US
        N
        
        2
        
          
            
              JPMORGAN CHASE BANK, NATIONAL ASSOCIATION
              7H6GLXDRUGQFU57RNE97
            
            Put
            Purchased
            
              
                
                  
                    JPMORGAN CHASE BANK, NATIONAL ASSOCIATION
                    7H6GLXDRUGQFU57RNE97
                  
                  
                    JPMORGAN CHASE BANK, NATIONAL ASSOCIATION
                    7H6GLXDRUGQFU57RNE97
                    CDS CDX.NA.IG.36.V1
                    000000000
                    
                      
                    
                    0.00000000
                    NC
                    USD
                    0.00000000
                    0.00000000
                    DCR
                    CORP
                    US
                  
                  
                    
                      IHS MARKIT LTD
                      CDX.NA.IG.36.V1
                      
                        
                        
                      
                    
                  
                  
                  Default Event
                  2026-06-20
                  0.00000000
                  USD
                  0.00000000
                  USD
                  N/A
                  N/A
                
              
            
            29520000.00000000
            USD
            57.50000000
            USD
            2021-08-18
            XXXX
            -50610.45000000
          
        
        
          N
          N
          N
        
      
      
        DEUTSCHE BANK AKTIENGESELLSCHAFT
        7LTWFZYICNSX8D621K86
        TWD/USD FORWARD
        000000000
        
          
          
        
        1.00000000
        NC
        USD
        2654.15000000
        0.000276255527
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              DEUTSCHE BANK AKTIENGESELLSCHAFT
              7LTWFZYICNSX8D621K86
            
            -651000.00000000
            USD
            18134256.00000000
            TWD
            2021-12-23
            2654.15000000
          
        
        
          N
          N
          N
        
      
      
        KRAFT HEINZ FOODS CO
        5493003STKEZ2S0RNU91
        Kraft Heinz Foods Co
        50077LAX4
        
          
          
        
        440000.00000000
        PA
        USD
        521340.69000000
        0.054263416713
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2039-10-01
          Fixed
          4.62500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        REPUBLIC OF INDONESIA
        529900FWX0GRR7WG5W79
        Indonesia Government International Bond
        000000000
        
          
          
        
        805000.00000000
        PA
        
        995515.83000000
        0.103617636920
        Long
        DBT
        NUSS
        ID
        N
        
        2
        
          2026-09-18
          Fixed
          1.45000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BOMBARDIER INC
        W7L3VLU8EHQY34Z36697
        Bombardier Inc
        097751BT7
        
          
          
        
        5675000.00000000
        PA
        USD
        5879535.80000000
        0.611967773318
        Long
        DBT
        CORP
        CA
        N
        
        2
        
          2027-04-15
          Fixed
          7.87500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        REPUBLIC OF INDONESIA
        529900FWX0GRR7WG5W79
        Indonesia Government International Bond
        000000000
        
          
          
        
        410000.00000000
        PA
        
        476635.25000000
        0.049610279203
        Long
        DBT
        NUSS
        ID
        N
        
        2
        
          2033-03-12
          Fixed
          1.10000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Romark CLO Ltd
        N/A
        Romark CLO II Ltd
        77587EAA6
        
          
        
        5000000.00000000
        PA
        USD
        5000013.00000000
        0.520423197724
        Long
        ABS-CBDO
        CORP
        KY
        N
        
        2
        
          2031-07-25
          Floating
          1.30025000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        USD/RUB FORWARD
        000000000
        
          
          
        
        1.00000000
        NC
        USD
        -4320.12000000
        -0.00044965696
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            -63509793.60000000
            RUB
            858000.00000000
            USD
            2021-09-15
            -4320.12000000
          
        
        
          N
          N
          N
        
      
      
        UKRAINE GOVERNMENT
        6354001WLTJXOMEXPY07
        Ukraine Government International Bond
        903724AP7
        
          
          
        
        1960000.00000000
        PA
        USD
        2047964.98000000
        0.213161142525
        Long
        DBT
        NUSS
        UA
        N
        
        2
        
          2022-09-01
          Fixed
          7.75000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Citibank, National Association
        E57ODZWZ7FF32TWEFA76
        USD/PEN FORWARD
        000000000
        
          
          
        
        1.00000000
        NC
        USD
        28147.88000000
        0.002929754326
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              Citibank, National Association
              E57ODZWZ7FF32TWEFA76
            
            -3301304.50000000
            PEN
            841000.00000000
            USD
            2021-09-15
            28147.88000000
          
        
        
          N
          N
          N
        
      
      
        Citibank, National Association
        E57ODZWZ7FF32TWEFA76
        USD/MXN FORWARD
        000000000
        
          
          
        
        1.00000000
        NC
        USD
        -11064.71000000
        -0.00115166335
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              Citibank, National Association
              E57ODZWZ7FF32TWEFA76
            
            -1214424.48000000
            USD
            24106326.00000000
            MXN
            2021-09-15
            -11064.71000000
          
        
        
          N
          N
          N
        
      
      
        HSBC SECURITIES (USA) INC.
        CYYGQCGNHMHPSMRL3R97
        USD/EUR FORWARD
        000000000
        
          
          
        
        1.00000000
        NC
        USD
        33232.18000000
        0.003458950483
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              HSBC SECURITIES (USA) INC.
              CYYGQCGNHMHPSMRL3R97
            
            -31304069.00000000
            EUR
            37227064.94000000
            USD
            2021-10-19
            33232.18000000
          
        
        
          N
          N
          N
        
      
      
        Citibank, National Association
        E57ODZWZ7FF32TWEFA76
        USD/CLP FORWARD
        000000000
        
          
          
        
        1.00000000
        NC
        USD
        48101.76000000
        0.005006641333
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              Citibank, National Association
              E57ODZWZ7FF32TWEFA76
            
            -853303597.00000000
            CLP
            1171000.00000000
            USD
            2021-09-15
            48101.76000000
          
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        USD/EUR FORWARD
        000000000
        
          
          
        
        1.00000000
        NC
        USD
        -3271.91000000
        -0.00034055468
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            -1027639.26000000
            USD
            863000.00000000
            EUR
            2021-08-31
            -3271.91000000
          
        
        
          N
          N
          N
        
      
      
        CITIBANK NA
        E57ODZWZ7FF32TWEFA76
        CDS PETROLEOS MEXICANOS
        000000000
        
          
        
        1.00000000
        NC
        USD
        -9408.75000000
        -0.00097930380
        N/A
        DCR
        CORP
        US
        N
        
        2
        
          
            
              CITIBANK NA
              E57ODZWZ7FF32TWEFA76
            
            
              
                PETROLEOS MEXICANOS
                PETROLEOS MEXICANOS
                
                  
                  
                  
                
              
            
            Y
            
            Default Event
            2023-06-20
            0.00000000
            USD
            -9218.22000000
            USD
            380000.00000000
            USD
            -190.53000000
          
        
        
          N
          N
          N
        
      
      
        BNP PARIBAS SECURITIES CORP.
        RCNB6OTYUAMMP879YW96
        USD/MXN FORWARD
        000000000
        
          
          
        
        1.00000000
        NC
        USD
        8272.88000000
        0.000861077493
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              BNP PARIBAS SECURITIES CORP.
              RCNB6OTYUAMMP879YW96
            
            -252000.00000000
            USD
            5213921.15000000
            MXN
            2021-09-15
            8272.88000000
          
        
        
          N
          N
          N
        
      
      
        BANK OF AMERICA CORPORATION
        9DJT3UXIJIZJI4WXO774
        USD/INR FORWARD
        000000000
        
          
          
        
        1.00000000
        NC
        USD
        -184562.90000000
        -0.01921011297
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              BANK OF AMERICA CORPORATION
              9DJT3UXIJIZJI4WXO774
            
            -424261600.00000000
            INR
            5480000.00000000
            USD
            2021-09-30
            -184562.90000000
          
        
        
          N
          N
          N
        
      
      
        Chase Funding Mortgage Loan As
        N/A
        Chase Funding Trust Series 2002-3
        161546DB9
        
          
        
        245236.46000000
        PA
        USD
        236248.25000000
        0.024589750011
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2032-08-25
          Floating
          0.72925000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        SCIENTIFIC GAMES INTERNA
        RLTHESQ0RNFQJWPBJN60
        Scientific Games International Inc
        80874YBA7
        
          
          
        
        450000.00000000
        PA
        USD
        478493.28000000
        0.049803671083
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2026-03-15
          Fixed
          8.25000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        AMERIGAS PART/FIN CORP
        N/A
        AmeriGas Partners LP / AmeriGas Finance Corp
        030981AK0
        
          
          
        
        2900000.00000000
        PA
        USD
        3197081.95000000
        0.332766257169
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2025-05-20
          Fixed
          5.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        INTERCONTINENTAL EXCHANGE, INC.
        5493000F4ZO33MV32P92
        CDS CDX.NA.IG.36.5Y.V1
        000000000
        
          
        
        1.00000000
        NC
        USD
        -5480607.93000000
        -0.57044561772
        N/A
        DCR
        CORP
        US
        N
        
        2
        
          
            
              INTERCONTINENTAL EXCHANGE, INC.
              5493000F4ZO33MV32P92
            
            
              
                IHS MARKIT LTD
                CDX.NA.IG.36.V1
                
                  
                  
                
              
            
            Y
            Default Event
            
            2026-06-20
            0.00000000
            USD
            -4736962.74000000
            USD
            -216460000.00000000
            USD
            -743645.19000000
          
        
        
          N
          N
          N
        
      
      
        MidOcean Credit CLO
        549300XSCUX0ONI5KZ96
        MidOcean Credit CLO III
        59802UAN9
        
          
        
        18000000.00000000
        PA
        USD
        18013771.80000000
        1.874952069772
        Long
        ABS-CBDO
        CORP
        KY
        N
        
        2
        
          2031-04-21
          Floating
          1.93425000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CITIBANK NA
        E57ODZWZ7FF32TWEFA76
        CDS PETROLEOS MEXICANOS
        000000000
        
          
        
        1.00000000
        NC
        USD
        -28845.23000000
        -0.00300233756
        N/A
        DCR
        CORP
        US
        N
        
        2
        
          
            
              CITIBANK NA
              E57ODZWZ7FF32TWEFA76
            
            
              
                PETROLEOS MEXICANOS
                PETROLEOS MEXICANOS
                
                  
                  
                  
                
              
            
            Y
            
            Default Event
            2023-06-20
            0.00000000
            USD
            -28128.46000000
            USD
            1165000.00000000
            USD
            -716.77000000
          
        
        
          N
          N
          N
        
      
      
        GOLDMAN SACHS INTERNATIONAL
        W22LROWP2IHZNBB6K528
        CDS BANK OF AMERICA CORP
        000000000
        
          
        
        1.00000000
        NC
        USD
        36789.41000000
        0.003829202522
        N/A
        DCR
        CORP
        GB
        
        N
        
        2
        
          
            
              GOLDMAN SACHS INTERNATIONAL
              W22LROWP2IHZNBB6K528
            
            
              
                BANK OF AMERICA CORP
                Bank of America Corp
                
                  
                  
                  
                
              
            
            Y
            
            Default Event
            2022-06-20
            32708.76000000
            USD
            0.00000000
            USD
            4690000.00000000
            USD
            4080.65000000
          
        
        
          N
          N
          N
        
      
      
        GENERAL MOTORS CO
        54930070NSV60J38I987
        General Motors Co
        37045VAF7
        
          
          
        
        1555000.00000000
        PA
        USD
        2166811.75000000
        0.225531233579
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2043-10-02
          Fixed
          6.25000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        ANHEUSER-BUSCH INBEV WOR
        549300CRGMZK3K53BF92
        Anheuser-Busch InBev Worldwide Inc
        03523TBF4
        
          
          
        
        250000.00000000
        PA
        USD
        423421.22000000
        0.044071530473
        Long
        DBT
        CORP
        US
        
        N
        
        2
        
          2039-01-15
          Fixed
          8.20000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Citibank, National Association
        E57ODZWZ7FF32TWEFA76
        USD/KRW FORWARD
        000000000
        
          
          
        
        1.00000000
        NC
        USD
        6564.29000000
        0.000683239982
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              Citibank, National Association
              E57ODZWZ7FF32TWEFA76
            
            -425130000.00000000
            KRW
            375000.00000000
            USD
            2021-09-15
            6564.29000000
          
        
        
          N
          N
          N
        
      
      
        BANK OF AMERICA CORPORATION
        9DJT3UXIJIZJI4WXO774
        CLP/USD FORWARD
        000000000
        
          
          
        
        1.00000000
        NC
        USD
        -89686.99000000
        -0.00933501375
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              BANK OF AMERICA CORPORATION
              9DJT3UXIJIZJI4WXO774
            
            -1989416800.00000000
            CLP
            2524000.00000000
            USD
            2021-10-29
            -89686.99000000
          
        
        
          N
          N
          N
        
      
      
        HARTFORD FINL SVCS GRP
        IU7C3FTM7Y3BQM112U94
        Hartford Financial Services Group Inc/The
        416515AS3
        
          
          
        
        215000.00000000
        PA
        USD
        302105.61000000
        0.031444471765
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2036-10-15
          Fixed
          5.95000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        AT&T INC
        549300Z40J86GGSTL398
        AT&T Inc
        00206RME9
        
          
          
        
        318000.00000000
        PA
        USD
        329561.04000000
        0.034302152870
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2059-09-15
          Fixed
          3.65000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BNP PARIBAS (SUISSE) SA
        QHSFEYI7HUOXXZ413E03
        SWOP CDS CDX.NA.HY.36.V1
        000000000
        
          
        
        -25460000.00000000
        OU
        Other
        USD
        -42862.27000000
        -0.00446129232
        N/A
        DCR
        CORP
        CH
        
        N
        
        2
        
          
            
              BNP PARIBAS (SUISSE) SA
              QHSFEYI7HUOXXZ413E03
            
            Call
            Written
            
              
                
                  
                    BNP PARIBAS (SUISSE) SA
                    QHSFEYI7HUOXXZ413E03
                  
                  
                    BNP PARIBAS (SUISSE) SA
                    QHSFEYI7HUOXXZ413E03
                    CDS CDX.NA.HY.36.V1
                    000000000
                    
                      
                    
                    0.00000000
                    NC
                    USD
                    0.00000000
                    0.00000000
                    DCR
                    CORP
                    CH
                    US
                  
                  
                    
                      IHS MARKIT LTD
                      CDX.NA.HY.36.V1
                      
                        
                        
                      
                    
                  
                  
                  Default Event
                  2026-06-20
                  0.00000000
                  USD
                  0.00000000
                  USD
                  N/A
                  N/A
                
              
            
            -25460000.00000000
            USD
            109.50000000
            USD
            2021-08-18
            XXXX
            58977.73000000
          
        
        
          N
          N
          N
        
      
      
        TENET HEALTHCARE CORP
        0W9AIBT6U6ADJ2I8HK17
        Tenet Healthcare Corp
        88033GCX6
        
          
          
        
        25000.00000000
        PA
        USD
        26052.29000000
        0.002711636163
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2027-02-01
          Fixed
          6.25000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        SoFi Alternative Trust
        549300R6IBV4OG5V8H03
        Sofi Alternative Trust 2019-B
        83405CAA8
        
          
        
        5261189.79000000
        PA
        USD
        5448970.60000000
        0.567152666195
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2045-12-15
          Variable
          0.01000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CHICAGO MERCANTILE EXCHANGE INC.
        SNZ2OJLFK8MNNCLQOF39
        IRS COP
        000000000
        
          
        
        1.00000000
        NC
        
        -196416.90000000
        -0.02044392908
        N/A
        DIR
        CORP
        US
        
        N
        
        2
        
          
            
              CHICAGO MERCANTILE EXCHANGE INC.
              SNZ2OJLFK8MNNCLQOF39
            
            Y
            
            
              
                
              
            
            2026-02-03
            0.00000000
            USD
            0.00000000
            USD
            11208000000.00000000
            COP
            -196416.90000000
          
        
        
          N
          N
          N
        
      
      
        UK CLEARING HOUSE LIMITED
        213800O8SCO4XJGBU385
        IRS IFS USD
        000000000
        
          
        
        1.00000000
        NC
        USD
        -151505.69000000
        -0.01576937413
        N/A
        DIR
        CORP
        GB
        
        N
        
        2
        
          
            
              UK CLEARING HOUSE LIMITED
              213800O8SCO4XJGBU385
            
            Y
            
            
              
                
              
            
            2031-01-13
            0.00000000
            USD
            0.00000000
            USD
            2650000.00000000
            USD
            -151505.69000000
          
        
        
          N
          N
          N
        
      
      
        Structured Asset Securities Co
        N/A
        Structured Asset Securities Corp
        86359BBZ3
        
          
        
        323278.77000000
        PA
        USD
        326871.30000000
        0.034022192980
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2033-12-25
          Variable
          2.36565900
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BARCLAYS BANK PLC
        G5GSEF7VJP5I7OUK5573
        USD/ZAR FORWARD
        000000000
        
          
          
        
        1.00000000
        NC
        USD
        -582673.35000000
        -0.06064718792
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              BARCLAYS BANK PLC
              G5GSEF7VJP5I7OUK5573
            
            -44623109.00000000
            ZAR
            2407115.60000000
            USD
            2021-12-23
            -582673.35000000
          
        
        
          N
          N
          N
        
      
      
        STANDARD CHARTERED SECURITIES (NORTH AMERICA) LLC
        5493003GCX71N8988W38
        USD/KRW FORWARD
        000000000
        
          
          
        
        1.00000000
        NC
        USD
        -10063.77000000
        -0.00104748114
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              STANDARD CHARTERED SECURITIES (NORTH AMERICA) LLC
              5493003GCX71N8988W38
            
            -1500000.00000000
            USD
            1719205210.00000000
            KRW
            2021-09-15
            -10063.77000000
          
        
        
          N
          N
          N
        
      
      
        US TREASURY N/B
        254900HROIFWPRGM1V77
        United States Treasury Note/Bond
        9128283F5
        
          
          
        
        150000.00000000
        PA
        USD
        162457.03000000
        0.016909237445
        Long
        DBT
        UST
        US
        N
        
        2
        
          2027-11-15
          Fixed
          2.25000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY
        IGJSJL3JD5P30I6NJZ34
        Morgan Stanley
        61746BDZ6
        
          
          
        
        605000.00000000
        PA
        USD
        678455.10000000
        0.070616570927
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2026-01-27
          Fixed
          3.87500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CITIGROUP INC
        6SHGI4ZSSLCXXQSBB395
        Citigroup Inc
        172967LD1
        
          
          
        
        980000.00000000
        PA
        USD
        1094657.44000000
        0.113936728832
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2028-01-10
          Fixed
          3.88700000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        PEOPLES UNITED BANK
        N4662XQCE3KKIZ6EZS08
        People's United Bank NA
        71270QEB8
        
          
          
        
        325000.00000000
        PA
        USD
        348762.44000000
        0.036300718472
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2024-07-15
          Fixed
          4.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        USD/CZK FORWARD
        000000000
        
          
          
        
        1.00000000
        NC
        USD
        14947.03000000
        0.001555752184
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            -1543365.85000000
            USD
            33540581.00000000
            CZK
            2021-10-19
            14947.03000000
          
        
        
          N
          N
          N
        
      
      
        OZLM Ltd
        N/A
        OZLM VI Ltd
        67108LAY9
        
          
        
        4000000.00000000
        PA
        USD
        3989964.40000000
        0.415292926609
        Long
        ABS-CBDO
        CORP
        KY
        N
        
        2
        
          2031-04-17
          Floating
          1.88388000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        J.P. MORGAN SECURITIES LLC
        ZBUT11V806EZRVTWT807
        USD/EUR FORWARD
        000000000
        
          
          
        
        1.00000000
        NC
        USD
        2825.48000000
        0.000294088302
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              J.P. MORGAN SECURITIES LLC
              ZBUT11V806EZRVTWT807
            
            -579000.00000000
            USD
            489691.53000000
            EUR
            2021-10-19
            2825.48000000
          
        
        
          N
          N
          N
        
      
      
        GOLDMAN SACHS & CO. LLC
        FOR8UP27PHTHYVLBNG30
        USD/RUB FORWARD
        000000000
        
          
          
        
        1.00000000
        NC
        USD
        4057.36000000
        0.000422307755
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              GOLDMAN SACHS & CO. LLC
              FOR8UP27PHTHYVLBNG30
            
            -249000.00000000
            USD
            18637650.00000000
            RUB
            2021-09-15
            4057.36000000
          
        
        
          N
          N
          N
        
      
      
        UK CLEARING HOUSE LIMITED
        213800O8SCO4XJGBU385
        IRS USD
        000000000
        
          
        
        1.00000000
        NC
        USD
        10026.91000000
        0.001043644599
        N/A
        DIR
        CORP
        GB
        
        N
        
        2
        
          
            
              UK CLEARING HOUSE LIMITED
              213800O8SCO4XJGBU385
            
            Y
            
              
                
              
            
            
            2031-01-20
            0.00000000
            USD
            0.00000000
            USD
            -1880000.00000000
            USD
            10026.91000000
          
        
        
          N
          N
          N
        
      
      
        BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
        549300EX04Q2QBFQTQ27
        30 DAY FEDERAL FUNDS
        000000000
        
          
          
        
        -58.00000000
        NC
        USD
        35864.30000000
        0.003732913032
        N/A
        DIR
        CORP
        US
        N
        
        1
        
          
            
              BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
              549300EX04Q2QBFQTQ27
            
            Short
            
              
                FEDERAL RESERVE BANK OF NEW YORK
                30 DAY FEDERAL FUNDS
                
                  
                  
                  
                
              
            
            2022-05-31
            -23213824.30000000
            USD
            35864.30000000
          
        
        
          N
          N
          N
        
      
      
        Structured Asset Investment Lo
        N/A
        Structured Asset Investment Loan Trust 2004-BNC1
        86358EKV7
        
          
        
        2097518.84000000
        PA
        USD
        2093476.71000000
        0.217898202220
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2034-09-25
          Floating
          1.08925000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        DEUTSCHE BANK AKTIENGESELLSCHAFT
        7LTWFZYICNSX8D621K86
        BRL CALL VERSUS USD PUT
        000000000
        
          
        
        39000000.00000000
        NC
        USD
        15.87000000
        0.000001651818
        N/A
        DFE
        CORP
        DE
        
        N
        
        2
        
          
            
              DEUTSCHE BANK AKTIENGESELLSCHAFT
              7LTWFZYICNSX8D621K86
            
            Put
            Purchased
            
              
                
                  
                    DEUTSCHE BANK AKTIENGESELLSCHAFT
                    7LTWFZYICNSX8D621K86
                  
                  
                    DEUTSCHE BANK AKTIENGESELLSCHAFT
                    7LTWFZYICNSX8D621K86
                    BRL CALL VERSUS USD PUT
                    000000000
                    
                      
                    
                    0.00000000
                    NC
                    USD
                    0.00000000
                    0.00000000
                    DFE
                    CORP
                    DE
                    US
                  
                  N/A
                  USD
                  N/A
                  BRL
                  2021-09-28
                
              
            
            39000000.00000000
            USD
            3.85000000
            USD
            2021-09-28
            XXXX
            -534401.13000000
          
        
        
          N
          N
          N
        
      
      
        HSBC SECURITIES (USA) INC.
        CYYGQCGNHMHPSMRL3R97
        USD/PHP FORWARD
        000000000
        
          
          
        
        1.00000000
        NC
        USD
        -4656.95000000
        -0.00048471570
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              HSBC SECURITIES (USA) INC.
              CYYGQCGNHMHPSMRL3R97
            
            -19921170.00000000
            PHP
            393000.00000000
            USD
            2021-09-15
            -4656.95000000
          
        
        
          N
          N
          N
        
      
      
        UKRAINE GOVERNMENT
        6354001WLTJXOMEXPY07
        Ukraine Government International Bond
        000000000
        
          
          
        
        350000.00000000
        PA
        USD
        385801.43000000
        0.040155898372
        Long
        DBT
        NUSS
        UA
        N
        
        2
        
          2024-02-01
          Fixed
          8.99400000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        ENDEAVOR ENERGY RESOURCE
        N/A
        Endeavor Energy Resources LP / EER Finance Inc
        29260FAD2
        
          
          
        
        2700000.00000000
        PA
        USD
        2781083.86000000
        0.289467358497
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2026-01-30
          Fixed
          5.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        DOMINICAN REPUBLIC
        254900EHU7Q8FGVPI369
        Dominican Republic International Bond
        25714PDT2
        
          
          
        
        1570000.00000000
        PA
        USD
        1767936.73000000
        0.184014578842
        Long
        DBT
        NUSS
        DO
        N
        
        2
        
          2027-01-25
          Fixed
          5.95000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        First Franklin Mtg Loan Asset
        N/A
        First Franklin Mortgage Loan Trust 2004-FF5
        32027NJU6
        
          
        
        609358.70000000
        PA
        USD
        610858.03000000
        0.063580772555
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2034-08-25
          Floating
          0.84925000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Oportun Funding LLC
        N/A
        Oportun Funding XIII LLC
        68377FAC2
        
          
        
        4860000.00000000
        PA
        USD
        4959610.07000000
        0.516217884252
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2025-08-08
          Fixed
          3.87000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        THB/USD FORWARD
        000000000
        
          
          
        
        1.00000000
        NC
        USD
        -152268.75000000
        -0.01584879675
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            -3294396.97000000
            USD
            103299239.00000000
            THB
            2021-09-15
            -152268.75000000
          
        
        
          N
          N
          N
        
      
      
        BANK OF AMERICA, NATIONAL ASSOCIATION
        B4TYDEB6GKMZO031MB27
        USD CALL VERSUS JPY PUT
        000000000
        
          
        
        -39000000.00000000
        NC
        USD
        -608923.51000000
        -0.06337941926
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              BANK OF AMERICA, NATIONAL ASSOCIATION
              B4TYDEB6GKMZO031MB27
            
            Call
            Written
            
              
                
                  
                    BANK OF AMERICA, NATIONAL ASSOCIATION
                    B4TYDEB6GKMZO031MB27
                  
                  
                    BANK OF AMERICA, NATIONAL ASSOCIATION
                    B4TYDEB6GKMZO031MB27
                    USD CALL VERSUS JPY PUT
                    000000000
                    
                      
                    
                    0.00000000
                    NC
                    
                    0.00000000
                    0.00000000
                    DFE
                    CORP
                    US
                    US
                  
                  N/A
                  JPY
                  N/A
                  USD
                  2023-10-27
                
              
            
            -39000000.00000000
            USD
            115.00000000
            USD
            2023-10-27
            XXXX
            -68929.51000000
          
        
        
          N
          N
          N
        
      
      
        J.P. MORGAN SECURITIES LLC
        ZBUT11V806EZRVTWT807
        USD CALL VERSUS ZAR PUT
        000000000
        
          
        
        24000000.00000000
        NC
        USD
        1293.13000000
        0.000134594619
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              J.P. MORGAN SECURITIES LLC
              ZBUT11V806EZRVTWT807
            
            Call
            Purchased
            
              
                
                  
                    J.P. MORGAN SECURITIES LLC
                    ZBUT11V806EZRVTWT807
                  
                  
                    J.P. MORGAN SECURITIES LLC
                    ZBUT11V806EZRVTWT807
                    USD CALL VERSUS ZAR PUT
                    000000000
                    
                      
                    
                    0.00000000
                    NC
                    
                    0.00000000
                    0.00000000
                    DFE
                    CORP
                    US
                    US
                  
                  N/A
                  ZAR
                  N/A
                  USD
                  2021-09-09
                
              
            
            24000000.00000000
            USD
            20.00000000
            USD
            2021-09-09
            XXXX
            -4466.87000000
          
        
        
          N
          N
          N
        
      
      
        J.P. MORGAN SECURITIES LLC
        ZBUT11V806EZRVTWT807
        USD CALL VERSUS BRL PUT
        000000000
        
          
        
        30000000.00000000
        NC
        USD
        0.00000000
        0.000000
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              J.P. MORGAN SECURITIES LLC
              ZBUT11V806EZRVTWT807
            
            Call
            Purchased
            
              
                
                  
                    J.P. MORGAN SECURITIES LLC
                    ZBUT11V806EZRVTWT807
                  
                  
                    J.P. MORGAN SECURITIES LLC
                    ZBUT11V806EZRVTWT807
                    USD CALL VERSUS BRL PUT
                    000000000
                    
                      
                    
                    0.00000000
                    NC
                    
                    0.00000000
                    0.00000000
                    DFE
                    CORP
                    US
                    US
                  
                  N/A
                  BRL
                  N/A
                  USD
                  2021-08-03
                
              
            
            30000000.00000000
            USD
            8.00000000
            USD
            2021-08-03
            XXXX
            -900.00000000
          
        
        
          N
          N
          N
        
      
      
        BARCLAYS BANK PLC
        G5GSEF7VJP5I7OUK5573
        CDS OCCIDENTAL PETROLEUM CORPORATION
        000000000
        
          
        
        1.00000000
        NC
        USD
        1333.76000000
        0.000138823567
        N/A
        DCR
        CORP
        GB
        
        N
        
        2
        
          
            
              BARCLAYS BANK PLC
              G5GSEF7VJP5I7OUK5573
            
            
              
                OCCIDENTAL PETROLEUM COR
                Occidental Petroleum Corp
                
                  
                  
                  
                
              
            
            Y
            
            Default Event
            2021-09-20
            258.53000000
            USD
            0.00000000
            USD
            1040000.00000000
            USD
            1075.23000000
          
        
        
          N
          N
          N
        
      
      
        LIBERTY MUTUAL GROUP INC
        QUR0DG15Z6FFGYCHH861
        Liberty Mutual Group Inc
        53079EBE3
        
          
          
        
        436000.00000000
        PA
        USD
        465381.86000000
        0.048438977207
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2023-06-15
          Fixed
          4.25000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        LUMEN TECHNOLOGIES INC
        8M3THTGWLTYZVE6BBY25
        Lumen Technologies Inc
        156700AM8
        
          
          
        
        825000.00000000
        PA
        USD
        941039.26000000
        0.097947477511
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2039-09-15
          Fixed
          7.60000000
          N
          N
          N
        
        
          N
          N
          
        
      
      
        DEUTSCHE BANK AKTIENGESELLSCHAFT
        7LTWFZYICNSX8D621K86
        JPY CALL VERSUS AUD PUT
        000000000
        
          
        
        -144000000.00000000
        NC
        
        -20195.46000000
        -0.00210203170
        N/A
        DFE
        CORP
        DE
        
        N
        
        2
        
          
            
              DEUTSCHE BANK AKTIENGESELLSCHAFT
              7LTWFZYICNSX8D621K86
            
            Put
            Written
            
              
                
                  
                    DEUTSCHE BANK AKTIENGESELLSCHAFT
                    7LTWFZYICNSX8D621K86
                  
                  
                    DEUTSCHE BANK AKTIENGESELLSCHAFT
                    7LTWFZYICNSX8D621K86
                    JPY CALL VERSUS AUD PUT
                    000000000
                    
                      
                    
                    0.00000000
                    NC
                    
                    0.00000000
                    0.00000000
                    DFE
                    CORP
                    DE
                    US
                  
                  N/A
                  AUD
                  N/A
                  JPY
                  2022-01-26
                
              
            
            -144000000.00000000
            USD
            55.00000000
            AUD
            2022-01-26
            XXXX
            2256300.96000000
          
        
        
          N
          N
          N
        
      
      
        Credit-Based Asset Servicing a
        N/A
        Credit-Based Asset Servicing and Securitization LLC
        79549AYY9
        
          
        
        451979.76000000
        PA
        USD
        447940.42000000
        0.046623595931
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2033-11-25
          Floating
          1.10925000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        European Loan Conduit
        N/A
        Salus European Loan Conduit NO 33 DAC
        000000000
        
          
          
        
        9500000.00000000
        PA
        
        13187754.27000000
        1.372639080738
        Long
        ABS-MBS
        CORP
        IE
        
        N
        
        2
        
          2029-01-23
          Floating
          1.57275000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        UBS Securities LLC
        T6FIZBDPKLYJKFCRVK44
        USD/BRL FORWARD
        000000000
        
          
          
        
        1.00000000
        NC
        USD
        -4610.46000000
        -0.00047987681
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              UBS Securities LLC
              T6FIZBDPKLYJKFCRVK44
            
            -1342354.75000000
            BRL
            253000.00000000
            USD
            2021-08-03
            -4610.46000000
          
        
        
          N
          N
          N
        
      
      
        BARCLAYS PLC
        213800LBQA1Y9L22JB70
        USD/RUB FORWARD
        000000000
        
          
          
        
        1.00000000
        NC
        USD
        -7523.03000000
        -0.00078302982
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              BARCLAYS PLC
              213800LBQA1Y9L22JB70
            
            -70300528.50000000
            RUB
            947000.00000000
            USD
            2021-09-15
            -7523.03000000
          
        
        
          N
          N
          N
        
      
      
        US TREASURY N/B
        254900HROIFWPRGM1V77
        United States Treasury Note/Bond
        912810SY5
        
          
          
        
        3810000.00000000
        PA
        USD
        4093368.75000000
        0.426055703123
        Long
        DBT
        UST
        US
        N
        
        2
        
          2041-05-15
          Fixed
          2.25000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        USD/CNH FORWARD
        000000000
        
          
          
        
        1.00000000
        NC
        USD
        9668.44000000
        0.001006333475
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            -6133408.22000000
            CNY
            957000.00000000
            USD
            2021-08-18
            9668.44000000
          
        
        
          N
          N
          N
        
      
      
        Chase Mortgage Finance Corpora
        N/A
        Chase Mortgage Finance Trust Series 2007-A1
        161630AC2
        
          
          
        
        57854.14000000
        PA
        USD
        58640.39000000
        0.006103547986
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2037-02-25
          Variable
          2.47427300
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        HSBC SECURITIES (USA) INC.
        CYYGQCGNHMHPSMRL3R97
        IDR/USD FORWARD
        000000000
        
          
          
        
        1.00000000
        NC
        USD
        18991.34000000
        0.001976701638
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              HSBC SECURITIES (USA) INC.
              CYYGQCGNHMHPSMRL3R97
            
            -34830447000.00000000
            IDR
            2419000.00000000
            USD
            2021-09-15
            18991.34000000
          
        
        
          N
          N
          N
        
      
      
        J.P. MORGAN SECURITIES LLC
        ZBUT11V806EZRVTWT807
        USD CALL VERSUS CNH PUT
        000000000
        
          
        
        -30000000.00000000
        NC
        USD
        -91499.58000000
        -0.00952367604
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              J.P. MORGAN SECURITIES LLC
              ZBUT11V806EZRVTWT807
            
            Call
            Written
            
              
                
                  
                    J.P. MORGAN SECURITIES LLC
                    ZBUT11V806EZRVTWT807
                  
                  
                    J.P. MORGAN SECURITIES LLC
                    ZBUT11V806EZRVTWT807
                    USD CALL VERSUS CNH PUT
                    000000000
                    
                      
                    
                    0.00000000
                    NC
                    
                    0.00000000
                    0.00000000
                    DFE
                    CORP
                    US
                    US
                  
                  N/A
                  CNY
                  N/A
                  USD
                  2022-09-28
                
              
            
            -30000000.00000000
            USD
            7.60000000
            USD
            2022-09-28
            XXXX
            121482.42000000
          
        
        
          N
          N
          N
        
      
      
        HSBC SECURITIES (USA) INC.
        CYYGQCGNHMHPSMRL3R97
        USD/THB FORWARD
        000000000
        
          
          
        
        1.00000000
        NC
        USD
        -575.88000000
        -0.00005994010
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              HSBC SECURITIES (USA) INC.
              CYYGQCGNHMHPSMRL3R97
            
            -29179558.00000000
            THB
            887000.00000000
            USD
            2021-09-15
            -575.88000000
          
        
        
          N
          N
          N
        
      
      
        LOS ANGELES CA DEPT OF WTR & P
        N/A
        Los Angeles Department of Water & Power Water System Revenue
        544525NZ7
        
          
          
        
        1730000.00000000
        PA
        USD
        2404181.02000000
        0.250237664249
        Long
        DBT
        MUN
        US
        N
        
        2
        
          2039-07-01
          Fixed
          6.00800000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        J.P. MORGAN SECURITIES LLC
        ZBUT11V806EZRVTWT807
        TWD/USD FORWARD
        000000000
        
          
          
        
        1.00000000
        NC
        USD
        -150246.83000000
        -0.01563834648
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              J.P. MORGAN SECURITIES LLC
              ZBUT11V806EZRVTWT807
            
            -6058000.00000000
            USD
            164717020.00000000
            TWD
            2021-09-30
            -150246.83000000
          
        
        
          N
          N
          N
        
      
      
        GOLDMAN SACHS INTERNATIONAL
        W22LROWP2IHZNBB6K528
        CDS AT&T INC
        000000000
        
          
        
        1.00000000
        NC
        USD
        22867.23000000
        0.002380121203
        N/A
        DCR
        CORP
        GB
        
        N
        
        2
        
          
            
              GOLDMAN SACHS INTERNATIONAL
              W22LROWP2IHZNBB6K528
            
            
              
                AT&T INC
                AT&T Inc
                
                  
                  
                  
                
              
            
            Y
            
            Default Event
            2022-06-20
            19344.49000000
            USD
            0.00000000
            USD
            2810000.00000000
            USD
            3522.74000000
          
        
        
          N
          N
          N
        
      
      
        CREDIT SUISSE INTERNATIONAL
        E58DKGMJYYYJLN8C3868
        CDS DELTA AIR LINES INC
        000000000
        
          
        
        1.00000000
        NC
        USD
        28415.46000000
        0.002957605221
        N/A
        DCR
        CORP
        GB
        
        N
        
        2
        
          
            
              CREDIT SUISSE INTERNATIONAL
              E58DKGMJYYYJLN8C3868
            
            
              
                DELTA AIR LINES INC
                Delta Air Lines Inc
                
                  
                  
                  
                
              
            
            Y
            
            Default Event
            2022-06-20
            24169.16000000
            USD
            0.00000000
            USD
            680000.00000000
            USD
            4246.30000000
          
        
        
          N
          N
          N
        
      
      
        KRAFT HEINZ FOODS CO
        5493003STKEZ2S0RNU91
        Kraft Heinz Foods Co
        50077LAZ9
        
          
          
        
        2980000.00000000
        PA
        USD
        3707550.25000000
        0.385898028031
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2049-10-01
          Fixed
          4.87500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        STANDARD CHARTERED SECURITIES (NORTH AMERICA) LLC
        5493003GCX71N8988W38
        TWD/USD FORWARD
        000000000
        
          
          
        
        1.00000000
        NC
        USD
        74.47000000
        0.000007751162
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              STANDARD CHARTERED SECURITIES (NORTH AMERICA) LLC
              5493003GCX71N8988W38
            
            -367000.00000000
            USD
            10241869.00000000
            TWD
            2021-09-15
            74.47000000
          
        
        
          N
          N
          N
        
      
      
        BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
        549300EX04Q2QBFQTQ27
        ULTRA LONG TERM US TREASURY BOND
        000000000
        
          
          
        
        -93.00000000
        NC
        USD
        -917488.29000000
        -0.09549618966
        N/A
        DIR
        CORP
        US
        N
        
        1
        
          
            
              BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
              549300EX04Q2QBFQTQ27
            
            Short
            
              
                US TREASURY N/B
                United States Treasury Note/Bond
                
                  
                  
                  
                
              
            
            2021-09-21
            -17638917.96000000
            USD
            -917488.29000000
          
        
        
          N
          N
          N
        
      
      
        CELLNEX FINANCE CO SA
        549300OUROMFTRFA7T23
        Cellnex Finance Co SA
        000000000
        
          
          
        
        1100000.00000000
        PA
        
        1317204.22000000
        0.137100369984
        Long
        DBT
        CORP
        ES
        N
        
        2
        
          2033-02-15
          Fixed
          2.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BNP PARIBAS SECURITIES CORP.
        RCNB6OTYUAMMP879YW96
        USD/GBP FORWARD
        000000000
        
          
          
        
        1.00000000
        NC
        USD
        -109402.28000000
        -0.01138706727
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              BNP PARIBAS SECURITIES CORP.
              RCNB6OTYUAMMP879YW96
            
            -25137432.00000000
            GBP
            34837954.44000000
            USD
            2021-10-19
            -109402.28000000
          
        
        
          N
          N
          N
        
      
      
        TFS_18-3-A1
        N/A
        TFS_18-3-A1
        000000000
        
          
        
        9928966.89000000
        PA
        
        10188174.98000000
        1.060429763296
        Long
        ABS-MBS
        CORP
        LU
        N
        
        2
        
          2023-03-16
          Floating
          0.01000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Bear Stearns Asset Backed Secu
        N/A
        Bear Stearns Asset Backed Securities Trust 2003-HE1
        07384YPB6
        
          
        
        2418120.63000000
        PA
        USD
        2419501.86000000
        0.251832324212
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2034-01-25
          Floating
          1.18425000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Strata CLO, Ltd
        N/A
        Strata CLO I Ltd
        86268HAA6
        
          
        
        19000000.00000000
        PA
        USD
        18985457.40000000
        1.976089352242
        Long
        ABS-CBDO
        CORP
        KY
        N
        
        2
        
          2031-01-15
          Floating
          1.71613000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BARCLAYS PLC
        213800LBQA1Y9L22JB70
        HUF/USD FORWARD
        000000000
        
          
          
        
        1.00000000
        NC
        USD
        3317.51000000
        0.000345300934
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              BARCLAYS PLC
              213800LBQA1Y9L22JB70
            
            -638000.00000000
            USD
            194282904.00000000
            HUF
            2021-10-19
            3317.51000000
          
        
        
          N
          N
          N
        
      
      
        GOLDMAN SACHS & CO. LLC
        FOR8UP27PHTHYVLBNG30
        USD/TWD FORWARD
        000000000
        
          
          
        
        1.00000000
        NC
        USD
        31289.34000000
        0.003256731207
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              GOLDMAN SACHS & CO. LLC
              FOR8UP27PHTHYVLBNG30
            
            -47908045.00000000
            TWD
            1748341.18000000
            USD
            2021-09-15
            31289.34000000
          
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        SGD/USD FORWARD
        000000000
        
          
          
        
        1.00000000
        NC
        USD
        626.84000000
        0.000065244245
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            -832497.83000000
            SGD
            615000.00000000
            USD
            2021-09-15
            626.84000000
          
        
        
          N
          N
          N
        
      
      
        UTAH ACQUISITION SUB
        254900JOFV74IJ7H9933
        Utah Acquisition Sub Inc
        62854AAP9
        
          
          
        
        520000.00000000
        PA
        USD
        647555.61000000
        0.067400417011
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2046-06-15
          Fixed
          5.25000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        COMM Mortgage Trust
        N/A
        COMM 2015-LC19 Mortgage Trust
        200474AA2
        
          
        
        123049000.00000000
        PA
        USD
        1065198.28000000
        0.110870490754
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2048-02-10
          Variable
          0.25110100
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CHICAGO MERCANTILE EXCHANGE INC.
        SNZ2OJLFK8MNNCLQOF39
        IRS COP
        000000000
        
          
        
        1.00000000
        NC
        
        -53179.96000000
        -0.00553520257
        N/A
        DIR
        CORP
        US
        
        N
        
        2
        
          
            
              CHICAGO MERCANTILE EXCHANGE INC.
              SNZ2OJLFK8MNNCLQOF39
            
            Y
            
            
              
                
              
            
            2030-02-24
            0.00000000
            USD
            0.00000000
            USD
            7813000000.00000000
            COP
            -53179.96000000
          
        
        
          N
          N
          N
        
      
      
        SASOL FINANCING INT
        N/A
        Sasol Financing International Ltd
        803865AA2
        
          
          
        
        2415000.00000000
        PA
        USD
        2472037.61000000
        0.257300474597
        Long
        DBT
        CORP
        IM
        
        N
        
        2
        
          2022-11-14
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        EUREX CLEARING AKTIENGESELLSCHAFT
        529900LN3S50JPU47S06
        2 YEAR EURO SCHATZ
        000000000
        
          
          
        
        -113.00000000
        NC
        
        -26348.42000000
        -0.00274245866
        N/A
        DIR
        CORP
        DE
        
        N
        
        1
        
          
            
              EUREX CLEARING AKTIENGESELLSCHAFT
              529900LN3S50JPU47S06
            
            Short
            
              
                BUNDESSCHATZANWEISUNGEN
                BUNDESSCHATZANWEISUNGEN
                
                  
                  
                  
                
              
            
            2021-09-08
            -15480000.54000000
            USD
            -26348.42000000
          
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        INR/USD FORWARD
        000000000
        
          
          
        
        1.00000000
        NC
        USD
        693.37000000
        0.000072168978
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            -629000.00000000
            USD
            47080650.00000000
            INR
            2021-09-15
            693.37000000
          
        
        
          N
          N
          N
        
      
      
        Retiro Mortgage Securities
        635400CU9HBU644YSL41
        RTIRO 1A A1
        000000000
        
          
        
        1965000.00000000
        PA
        
        2316996.99000000
        0.241163169506
        Long
        ABS-MBS
        CORP
        IE
        
        N
        
        2
        
          2075-07-30
          Floating
          1.45300000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BANK OF AMERICA, NATIONAL ASSOCIATION
        B4TYDEB6GKMZO031MB27
        USD CALL VERSUS INR PUT
        000000000
        
          
        
        -35500000.00000000
        NC
        USD
        -367.62000000
        -0.00003826349
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              BANK OF AMERICA, NATIONAL ASSOCIATION
              B4TYDEB6GKMZO031MB27
            
            Call
            Written
            
              
                
                  
                    BANK OF AMERICA, NATIONAL ASSOCIATION
                    B4TYDEB6GKMZO031MB27
                  
                  
                    BANK OF AMERICA, NATIONAL ASSOCIATION
                    B4TYDEB6GKMZO031MB27
                    USD CALL VERSUS INR PUT
                    000000000
                    
                      
                    
                    0.00000000
                    NC
                    
                    0.00000000
                    0.00000000
                    DFE
                    CORP
                    US
                    US
                  
                  N/A
                  INR
                  N/A
                  USD
                  2021-09-28
                
              
            
            -35500000.00000000
            USD
            88.00000000
            USD
            2021-09-28
            XXXX
            373092.38000000
          
        
        
          N
          N
          N
        
      
      
        HSBC SECURITIES (USA) INC.
        CYYGQCGNHMHPSMRL3R97
        USD/INR FORWARD
        000000000
        
          
          
        
        1.00000000
        NC
        USD
        -12500.95000000
        -0.00130115349
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              HSBC SECURITIES (USA) INC.
              CYYGQCGNHMHPSMRL3R97
            
            -144114583.00000000
            INR
            1915000.00000000
            USD
            2021-09-15
            -12500.95000000
          
        
        
          N
          N
          N
        
      
      
        Credit-Based Asset Servicing a
        N/A
        Credit-Based Asset Servicing and Securitization LLC
        12489WGJ7
        
          
        
        93408.65000000
        PA
        USD
        93644.61000000
        0.009746940135
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2032-12-25
          Variable
          3.37900000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        GOLDMAN SACHS INTERNATIONAL
        W22LROWP2IHZNBB6K528
        SWOP CDS CDX.NA.IG.36.V1
        000000000
        
          
        
        -21470000.00000000
        OU
        Other
        USD
        -15433.16000000
        -0.00160635071
        N/A
        DCR
        CORP
        GB
        
        N
        
        2
        
          
            
              GOLDMAN SACHS INTERNATIONAL
              W22LROWP2IHZNBB6K528
            
            Call
            Written
            
              
                
                  
                    GOLDMAN SACHS INTERNATIONAL
                    W22LROWP2IHZNBB6K528
                  
                  
                    GOLDMAN SACHS INTERNATIONAL
                    W22LROWP2IHZNBB6K528
                    CDS CDX.NA.IG.36.V1
                    000000000
                    
                      
                    
                    0.00000000
                    NC
                    USD
                    0.00000000
                    0.00000000
                    DCR
                    CORP
                    GB
                    US
                  
                  
                    
                      IHS MARKIT LTD
                      CDX.NA.IG.36.V1
                      
                        
                        
                      
                    
                  
                  
                  Default Event
                  2026-06-20
                  0.00000000
                  USD
                  0.00000000
                  USD
                  N/A
                  N/A
                
              
            
            -21470000.00000000
            USD
            47.50000000
            USD
            2021-10-20
            XXXX
            2816.34000000
          
        
        
          N
          N
          N
        
      
      
        PETROBRAS GLOBAL FINANCE
        549300FNENFFSMO3GT38
        Petrobras Global Finance BV
        000000000
        
          
          
        
        800000.00000000
        PA
        
        1220295.93000000
        0.127013731776
        Long
        DBT
        CORP
        NL
        
        N
        
        2
        
          2029-10-01
          Fixed
          5.37500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BARCLAYS BANK PLC
        G5GSEF7VJP5I7OUK5573
        CDS FEDERATIVE REPUBLIC OF BRAZIL
        000000000
        
          
        
        1.00000000
        NC
        USD
        74081.98000000
        0.007710776137
        N/A
        DCR
        CORP
        GB
        
        N
        
        2
        
          
            
              BARCLAYS BANK PLC
              G5GSEF7VJP5I7OUK5573
            
            
              
                FED REPUBLIC OF BRAZIL
                Brazilian Government International Bond
                
                  
                  
                  
                
              
            
            Y
            
            Default Event
            2023-06-20
            0.00000000
            USD
            -7961.49000000
            USD
            18750000.00000000
            USD
            82043.47000000
          
        
        
          N
          N
          N
        
      
      
        ENERGY TRANSFER LP
        MTLVN9N7JE8MIBIJ1H73
        Energy Transfer LP
        29279FAA7
        
          
          
        
        75000.00000000
        PA
        USD
        98873.70000000
        0.010291206667
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2049-04-15
          Fixed
          6.25000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        DEUTSCHE BANK AKTIENGESELLSCHAFT
        7LTWFZYICNSX8D621K86
        USD/RUB FORWARD
        000000000
        
          
          
        
        1.00000000
        NC
        USD
        76761.13000000
        0.007989633774
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              DEUTSCHE BANK AKTIENGESELLSCHAFT
              7LTWFZYICNSX8D621K86
            
            -1982000.00000000
            USD
            153565360.00000000
            RUB
            2021-11-22
            76761.13000000
          
        
        
          N
          N
          N
        
      
      
        JPMORGAN CHASE & CO
        8I5DZWZKVSZI1NUHU748
        JPMorgan Chase & Co
        48128BAF8
        
          
          
        
        1500000.00000000
        PA
        USD
        1582027.59000000
        0.164664343328
        Long
        DBT
        CORP
        US
        N
        
        2
        
          N/A
          Fixed
          5.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        GOLDMAN SACHS & CO. LLC
        FOR8UP27PHTHYVLBNG30
        PEN/USD FORWARD
        000000000
        
          
          
        
        1.00000000
        NC
        USD
        -19224.17000000
        -0.00200093560
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              GOLDMAN SACHS & CO. LLC
              FOR8UP27PHTHYVLBNG30
            
            -737000.00000000
            USD
            2915163.16000000
            PEN
            2021-09-15
            -19224.17000000
          
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        USD/MXN FORWARD
        000000000
        
          
          
        
        1.00000000
        NC
        USD
        21419.28000000
        0.002229412241
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            -2288654.85000000
            USD
            46276601.00000000
            MXN
            2021-09-15
            21419.28000000
          
        
        
          N
          N
          N
        
      
      
        UK CLEARING HOUSE LIMITED
        213800O8SCO4XJGBU385
        IRS IFS USD
        000000000
        
          
        
        1.00000000
        NC
        USD
        -32820.26000000
        -0.00341607605
        N/A
        DIR
        CORP
        GB
        
        N
        
        2
        
          
            
              UK CLEARING HOUSE LIMITED
              213800O8SCO4XJGBU385
            
            Y
            
            
              
                
              
            
            2031-04-09
            0.00000000
            USD
            0.00000000
            USD
            1050000.00000000
            USD
            -32820.26000000
          
        
        
          N
          N
          N
        
      
      
        HSBC SECURITIES (USA) INC.
        CYYGQCGNHMHPSMRL3R97
        USD/CNH FORWARD
        000000000
        
          
          
        
        1.00000000
        NC
        USD
        594.25000000
        0.000061852136
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              HSBC SECURITIES (USA) INC.
              CYYGQCGNHMHPSMRL3R97
            
            -558000.00000000
            USD
            3616565.40000000
            CNY
            2021-08-18
            594.25000000
          
        
        
          N
          N
          N
        
      
      
        BARCLAYS BANK PLC
        G5GSEF7VJP5I7OUK5573
        SWOP CDS CDX.NA.IG.36.V1
        000000000
        
          
        
        21470000.00000000
        OU
        Other
        USD
        447.08000000
        0.000046534039
        N/A
        DCR
        CORP
        GB
        
        N
        
        2
        
          
            
              BARCLAYS BANK PLC
              G5GSEF7VJP5I7OUK5573
            
            Call
            Purchased
            
              
                
                  
                    BARCLAYS BANK PLC
                    G5GSEF7VJP5I7OUK5573
                  
                  
                    BARCLAYS BANK PLC
                    G5GSEF7VJP5I7OUK5573
                    CDS CDX.NA.IG.36.V1
                    000000000
                    
                      
                    
                    0.00000000
                    NC
                    USD
                    0.00000000
                    0.00000000
                    DCR
                    CORP
                    GB
                    US
                  
                  
                    
                      IHS MARKIT LTD
                      CDX.NA.IG.36.V1
                      
                        
                        
                      
                    
                  
                  Default Event
                  
                  2026-06-20
                  0.00000000
                  USD
                  0.00000000
                  USD
                  N/A
                  N/A
                
              
            
            21470000.00000000
            USD
            37.50000000
            USD
            2021-10-20
            XXXX
            232.38000000
          
        
        
          N
          N
          N
        
      
      
        UNITED RENTALS NORTH AM
        NGIZXNT70J2LYT3FBI09
        United Rentals North America Inc
        911365BL7
        
          
          
        
        1200000.00000000
        PA
        USD
        1311624.12000000
        0.136519568797
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2030-01-15
          Fixed
          5.25000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Radnor Re LTD
        N/A
        Radnor RE 2020-2 Ltd
        75049UAB4
        
          
        
        886631.84000000
        PA
        USD
        889491.67000000
        0.092582179136
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2030-10-25
          Floating
          4.08925000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        WESTERN MIDSTREAM OPERAT
        L6D8A6MLSY454J2JXJ60
        Western Midstream Operating LP
        958254AJ3
        
          
          
        
        910000.00000000
        PA
        USD
        1003149.15000000
        0.104412146215
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2048-03-01
          Fixed
          5.30000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Barclays Commercial Mortgage S
        N/A
        BBCMS 2018-TALL Mortgage Trust
        05548WAG2
        
          
        
        11875000.00000000
        PA
        USD
        11532253.06000000
        1.200327282040
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2037-03-15
          Floating
          1.54163000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Morgan Stanley Capital Inc
        N/A
        Morgan Stanley ABS Capital I Inc Trust 2004-NC5
        61746RFV8
        
          
          
        
        196810.88000000
        PA
        USD
        191331.17000000
        0.019914584085
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2034-05-25
          Floating
          0.98925000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MILLICOM INTL CELLULAR
        549300CTHC1CP86P2G96
        Millicom International Cellular SA
        600814AR8
        
          
          
        
        515000.00000000
        PA
        USD
        535658.70000000
        0.055753697749
        Long
        DBT
        CORP
        LU
        
        N
        
        2
        
          2031-04-27
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        STANDARD CHARTERED SECURITIES (NORTH AMERICA) LLC
        5493003GCX71N8988W38
        USD/THB FORWARD
        000000000
        
          
          
        
        1.00000000
        NC
        USD
        39806.44000000
        0.004143228186
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              STANDARD CHARTERED SECURITIES (NORTH AMERICA) LLC
              5493003GCX71N8988W38
            
            -27621837.50000000
            THB
            880000.00000000
            USD
            2021-09-15
            39806.44000000
          
        
        
          N
          N
          N
        
      
      
        CAMERON INTL CORP
        P2PV5Z2Z2UKRY3P3V155
        Cameron International Corp
        13342BAF2
        
          
          
        
        100000.00000000
        PA
        USD
        131970.38000000
        0.013736053719
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2041-06-01
          Fixed
          5.95000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CLEAN RENEWABLE POWER
        2138003P9CSDW7P4MT75
        Clean Renewable Power Mauritius Pte Ltd
        18452NAB0
        
          
          
        
        475000.00000000
        PA
        USD
        473312.80000000
        0.049264464092
        Long
        DBT
        CORP
        MU
        
        N
        
        2
        
          2027-03-25
          Fixed
          4.25000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        VIATRIS INC
        254900ZZTSW7NL773X71
        Viatris Inc
        91533BAF7
        
          
          
        
        2190000.00000000
        PA
        USD
        2369356.90000000
        0.246613017695
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2050-06-22
          Fixed
          4.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae - CAS
        N/A
        Connecticut Avenue Securities Trust 2020-R01
        20754CAB5
        
          
        
        146153.92000000
        PA
        USD
        146871.90000000
        0.015287069024
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2040-01-25
          Floating
          2.13925000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. INTERNATIONAL PLC
        4PQUHN3JPFGFNF3BB653
        CDS CMBX.NA.13.AAA
        000000000
        
          
        
        1.00000000
        NC
        USD
        -27167.68000000
        -0.00282773082
        N/A
        DCR
        CORP
        GB
        
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. INTERNATIONAL PLC
              4PQUHN3JPFGFNF3BB653
            
            
              
                IHS MARKIT LTD
                CMBX.NA.13.AAA
                
                  
                  
                
              
            
            Y
            Default Event
            
            2072-12-16
            33594.41000000
            USD
            0.00000000
            USD
            -7000000.00000000
            USD
            -60762.09000000
          
        
        
          N
          N
          N
        
      
      
        EVERGY KANSAS CENTRAL
        J75GNWGEO73W89ZV3S44
        Evergy Kansas Central Inc
        95709TAJ9
        
          
          
        
        325000.00000000
        PA
        USD
        392181.82000000
        0.040819997238
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2043-04-01
          Fixed
          4.10000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CHICAGO MERCANTILE EXCHANGE INC.
        SNZ2OJLFK8MNNCLQOF39
        IRS COP
        000000000
        
          
        
        1.00000000
        NC
        
        16185.17000000
        0.001684623205
        N/A
        DIR
        CORP
        US
        
        N
        
        2
        
          
            
              CHICAGO MERCANTILE EXCHANGE INC.
              SNZ2OJLFK8MNNCLQOF39
            
            Y
            
            
              
                
              
            
            2025-02-18
            0.00000000
            USD
            0.00000000
            USD
            11070000000.00000000
            COP
            16185.17000000
          
        
        
          N
          N
          N
        
      
      
        GOLDMAN SACHS & CO. LLC
        FOR8UP27PHTHYVLBNG30
        CNH/USD FORWARD
        000000000
        
          
          
        
        1.00000000
        NC
        USD
        541.34000000
        0.000056345032
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              GOLDMAN SACHS & CO. LLC
              FOR8UP27PHTHYVLBNG30
            
            -305000.00000000
            USD
            1985896.48000000
            CNY
            2021-09-30
            541.34000000
          
        
        
          N
          N
          N
        
      
      
        BARCLAYS BANK PLC
        G5GSEF7VJP5I7OUK5573
        CDS UNITED MEXICAN STATES
        000000000
        
          
        
        1.00000000
        NC
        USD
        211025.84000000
        0.021964491383
        N/A
        DCR
        CORP
        GB
        
        N
        
        2
        
          
            
              BARCLAYS BANK PLC
              G5GSEF7VJP5I7OUK5573
            
            
              
                UNITED MEXICAN STATES
                Mexico Government International Bond
                
                  
                  
                  
                
              
            
            Y
            
            Default Event
            2023-06-20
            0.00000000
            USD
            -6899.97000000
            USD
            16250000.00000000
            USD
            217925.81000000
          
        
        
          N
          N
          N
        
      
      
        CODERE FINANCE 2 LUXEMBO
        2221005CUH65GSJUKB29
        Codere Finance 2 Luxembourg SA
        000000000
        
          
          
        
        2413750.00000000
        PA
        
        2080600.84000000
        0.216558025417
        Long
        DBT
        CORP
        LU
        
        Y
        
        2
        
          2023-11-01
          Fixed
          10.75000000
          N
          N
          N
        
        
          N
          N
          
        
      
      
        BARCLAYS PLC
        213800LBQA1Y9L22JB70
        USD/MXN FORWARD
        000000000
        
          
          
        
        1.00000000
        NC
        USD
        -293184.14000000
        -0.03051588619
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              BARCLAYS PLC
              213800LBQA1Y9L22JB70
            
            -45502600.00000000
            MXN
            1924000.00000000
            USD
            2022-02-25
            -293184.14000000
          
        
        
          N
          N
          N
        
      
      
        Citibank, National Association
        E57ODZWZ7FF32TWEFA76
        USD/KRW FORWARD
        000000000
        
          
          
        
        1.00000000
        NC
        USD
        -36291.55000000
        -0.00377738307
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              Citibank, National Association
              E57ODZWZ7FF32TWEFA76
            
            -1907000.00000000
            USD
            2158570050.00000000
            KRW
            2021-09-15
            -36291.55000000
          
        
        
          N
          N
          N
        
      
      
        SANDS CHINA LTD
        549300EVO6UZDGY05787
        Sands China Ltd
        80007RAF2
        
          
          
        
        1000000.00000000
        PA
        USD
        1118826.48000000
        0.116452348108
        Long
        DBT
        CORP
        KY
        
        N
        
        2
        
          2025-08-08
          Fixed
          5.12500000
          N
          N
          N
        
        
          N
          N
          
        
      
      
        STANDARD CHARTERED SECURITIES (NORTH AMERICA) LLC
        5493003GCX71N8988W38
        INR/USD FORWARD
        000000000
        
          
          
        
        1.00000000
        NC
        USD
        -12503.03000000
        -0.00130136998
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              STANDARD CHARTERED SECURITIES (NORTH AMERICA) LLC
              5493003GCX71N8988W38
            
            -171479673.00000000
            INR
            2281000.00000000
            USD
            2021-09-15
            -12503.03000000
          
        
        
          N
          N
          N
        
      
      
        UK CLEARING HOUSE LIMITED
        213800O8SCO4XJGBU385
        IRS IFS USD
        000000000
        
          
        
        1.00000000
        NC
        USD
        -149726.14000000
        -0.01558415079
        N/A
        DIR
        CORP
        GB
        
        N
        
        2
        
          
            
              UK CLEARING HOUSE LIMITED
              213800O8SCO4XJGBU385
            
            Y
            
            
              
                
              
            
            2026-01-12
            0.00000000
            USD
            0.00000000
            USD
            3095000.00000000
            USD
            -149726.14000000
          
        
        
          N
          N
          N
        
      
      
        BNP PARIBAS SECURITIES CORP.
        RCNB6OTYUAMMP879YW96
        COP/USD FORWARD
        000000000
        
          
          
        
        1.00000000
        NC
        USD
        19456.54000000
        0.002025121687
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              BNP PARIBAS SECURITIES CORP.
              RCNB6OTYUAMMP879YW96
            
            -3127846320.00000000
            COP
            824000.00000000
            USD
            2021-09-15
            19456.54000000
          
        
        
          N
          N
          N
        
      
      
        BAUSCH HEALTH COS INC
        B3BS7ACMDUWISF18KY76
        Bausch Health Cos Inc
        071734AK3
        
          
          
        
        1200000.00000000
        PA
        USD
        1194760.01000000
        0.124355841658
        Long
        DBT
        CORP
        CA
        
        N
        
        2
        
          2029-02-15
          Fixed
          6.25000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Independence Plaza Trust
        N/A
        Independence Plaza Trust 2018-INDP
        45378YAS3
        
          
        
        5200000.00000000
        PA
        USD
        5143372.52000000
        0.535344682893
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2035-07-10
          Fixed
          4.99600000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BAY AREA CA TOLL AUTH TOLL BRI
        5493001FUZGUQMIP5D78
        Bay Area Toll Authority
        072024ND0
        
          
          
        
        550000.00000000
        PA
        USD
        906966.50000000
        0.094401035789
        Long
        DBT
        MUN
        US
        N
        
        2
        
          2049-04-01
          Fixed
          6.26300000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        GOLDMAN SACHS GROUP INC
        784F5XWPLTWKTBV3E584
        Goldman Sachs Group Inc/The
        38141GWV2
        
          
          
        
        35000.00000000
        PA
        USD
        39421.77000000
        0.004103190052
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2029-04-23
          Fixed
          3.81400000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Home Equity Asset Trust
        N/A
        Home Equity Asset Trust 2004-7
        437084FL5
        
          
        
        1050441.43000000
        PA
        USD
        1033010.19000000
        0.107520213719
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2035-01-25
          Floating
          0.92925000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Bank of America, National Association
        B4TYDEB6GKMZO031MB27
        USD/ILS FORWARD
        000000000
        
          
          
        
        1.00000000
        NC
        USD
        -5770.30000000
        -0.00060059803
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              Bank of America, National Association
              B4TYDEB6GKMZO031MB27
            
            -1243309.50000000
            ILS
            379000.00000000
            USD
            2021-09-17
            -5770.30000000
          
        
        
          N
          N
          N
        
      
      
        Citibank, National Association
        E57ODZWZ7FF32TWEFA76
        USD/INR FORWARD
        000000000
        
          
          
        
        1.00000000
        NC
        USD
        -73331.51000000
        -0.00763266394
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              Citibank, National Association
              E57ODZWZ7FF32TWEFA76
            
            -5554581.24000000
            USD
            409819781.00000000
            INR
            2021-09-15
            -73331.51000000
          
        
        
          N
          N
          N
        
      
      
        BARCLAYS BANK PLC
        G5GSEF7VJP5I7OUK5573
        CDS RUSSIAN FEDERATION
        000000000
        
          
        
        1.00000000
        NC
        USD
        143049.26000000
        0.014889191952
        N/A
        DCR
        CORP
        GB
        
        N
        
        2
        
          
            
              BARCLAYS BANK PLC
              G5GSEF7VJP5I7OUK5573
            
            
              
                RUSSIAN FEDERATION
                RUSSIAN FOREIGN BOND - EUROBOND
                
                  
                  
                  
                
              
            
            Y
            
            Default Event
            2023-06-20
            0.00000000
            USD
            -4776.88000000
            USD
            11250000.00000000
            USD
            147826.14000000
          
        
        
          N
          N
          N
        
      
      
        GOLDMAN SACHS & CO. LLC
        FOR8UP27PHTHYVLBNG30
        USD/PEN FORWARD
        000000000
        
          
          
        
        1.00000000
        NC
        USD
        115764.15000000
        0.012049238496
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              GOLDMAN SACHS & CO. LLC
              FOR8UP27PHTHYVLBNG30
            
            -7872260.42000000
            PEN
            2054083.86000000
            USD
            2021-09-15
            115764.15000000
          
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        BRL/USD FORWARD
        000000000
        
          
          
        
        1.00000000
        NC
        USD
        -233369.69000000
        -0.02429013691
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            -4724455.53000000
            USD
            23402118.00000000
            BRL
            2021-08-03
            -233369.69000000
          
        
        
          N
          N
          N
        
      
      
        UK CLEARING HOUSE LIMITED
        213800O8SCO4XJGBU385
        IRS IFS USD
        000000000
        
          
        
        1.00000000
        NC
        USD
        -39632.02000000
        -0.00412507379
        N/A
        DIR
        CORP
        GB
        
        N
        
        2
        
          
            
              UK CLEARING HOUSE LIMITED
              213800O8SCO4XJGBU385
            
            Y
            
            
              
                
              
            
            2031-04-14
            0.00000000
            USD
            0.00000000
            USD
            1355000.00000000
            USD
            -39632.02000000
          
        
        
          N
          N
          N
        
      
      
        STANDARD CHARTERED SECURITIES (NORTH AMERICA) LLC
        5493003GCX71N8988W38
        USD/KRW FORWARD
        000000000
        
          
          
        
        1.00000000
        NC
        USD
        15580.74000000
        0.001621711490
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              STANDARD CHARTERED SECURITIES (NORTH AMERICA) LLC
              5493003GCX71N8988W38
            
            -1037820450.00000000
            KRW
            915000.00000000
            USD
            2021-09-15
            15580.74000000
          
        
        
          N
          N
          N
        
      
      
        PRINCIPAL FINANCIAL GRP
        CUMYEZJOAF02RYZ1JJ85
        Principal Financial Group Inc
        74251VAJ1
        
          
          
        
        975000.00000000
        PA
        USD
        1203597.51000000
        0.125275687268
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2043-05-15
          Fixed
          4.35000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        PGIM Core Ultra Short Bond Fund
        1VRLPVAWKZCB406TIT84
        PGIM Core Ultra Short Bond Fund
        000000000
        
          
        
        65327785.06000000
        NS
        USD
        65327785.06000000
        6.799601281276
        Long
        STIV
        RF
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        LONDON CLEARING HOUSE
        213800O8SCO4XJGBU385
        IRS GBP
        000000000
        
          
        
        1.00000000
        NC
        
        -113573.75000000
        -0.01182125209
        N/A
        DIR
        CORP
        GB
        N
        
        2
        
          
            
              LONDON CLEARING HOUSE
              213800O8SCO4XJGBU385
            
            Y
            
            
              
                
              
            
            2034-05-08
            0.00000000
            USD
            -61374.38000000
            USD
            -1100000.00000000
            GBP
            -52199.37000000
          
        
        
          N
          N
          N
        
      
      
        ZAIS CLO 3, LTD
        549300SYHU0CNKIXQ691
        Zais CLO 3 Ltd
        98887HAL8
        
          
        
        11300000.00000000
        PA
        USD
        11305035.28000000
        1.176677462800
        Long
        ABS-CBDO
        CORP
        KY
        N
        
        2
        
          2031-07-15
          Floating
          2.31613000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        ESKOM HOLDINGS SOC LTD
        3789001900ED06F65111
        Eskom Holdings SOC Ltd
        29646AAB2
        
          
          
        
        2145000.00000000
        PA
        USD
        2257541.63000000
        0.234974795881
        Long
        DBT
        CORP
        ZA
        N
        
        2
        
          2025-02-11
          Fixed
          7.12500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        GOLDMAN SACHS & CO. LLC
        FOR8UP27PHTHYVLBNG30
        USD/CNH FORWARD
        000000000
        
          
          
        
        1.00000000
        NC
        USD
        3860.15000000
        0.000401781276
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              GOLDMAN SACHS & CO. LLC
              FOR8UP27PHTHYVLBNG30
            
            -3406442.50000000
            CNY
            530000.00000000
            USD
            2021-08-18
            3860.15000000
          
        
        
          N
          N
          N
        
      
      
        J.P. MORGAN SECURITIES LLC
        ZBUT11V806EZRVTWT807
        USD/CNH FORWARD
        000000000
        
          
          
        
        1.00000000
        NC
        USD
        4157.20000000
        0.000432699538
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              J.P. MORGAN SECURITIES LLC
              ZBUT11V806EZRVTWT807
            
            -497362.76000000
            USD
            3290552.00000000
            CNY
            2022-01-28
            4157.20000000
          
        
        
          N
          N
          N
        
      
      
        Citibank, National Association
        E57ODZWZ7FF32TWEFA76
        USD/ZAR FORWARD
        000000000
        
          
          
        
        1.00000000
        NC
        USD
        -4142.64000000
        -0.00043118407
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              Citibank, National Association
              E57ODZWZ7FF32TWEFA76
            
            -283000.00000000
            USD
            4117752.73000000
            ZAR
            2021-09-30
            -4142.64000000
          
        
        
          N
          N
          N
        
      
      
        AMERICAN AXLE & MFG INC
        RY5TAKFOBLDUGX31MS24
        American Axle & Manufacturing Inc
        02406PAY6
        
          
          
        
        2200000.00000000
        PA
        USD
        2267343.72000000
        0.235995040233
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2026-03-15
          Fixed
          6.25000000
          N
          N
          N
        
        
          N
          N
          
        
      
      
        GOLDMAN SACHS INTERNATIONAL
        W22LROWP2IHZNBB6K528
        SWOP CDS CDX.NA.IG.36.V1
        000000000
        
          
        
        -21470000.00000000
        OU
        Other
        USD
        -14784.49000000
        -0.00153883431
        N/A
        DCR
        CORP
        GB
        
        N
        
        2
        
          
            
              GOLDMAN SACHS INTERNATIONAL
              W22LROWP2IHZNBB6K528
            
            Put
            Written
            
              
                
                  
                    GOLDMAN SACHS INTERNATIONAL
                    W22LROWP2IHZNBB6K528
                  
                  
                    GOLDMAN SACHS INTERNATIONAL
                    W22LROWP2IHZNBB6K528
                    CDS CDX.NA.IG.36.V1
                    000000000
                    
                      
                    
                    0.00000000
                    NC
                    USD
                    0.00000000
                    0.00000000
                    DCR
                    CORP
                    GB
                    US
                  
                  
                    
                      IHS MARKIT LTD
                      CDX.NA.IG.36.V1
                      
                        
                        
                      
                    
                  
                  Default Event
                  
                  2026-06-20
                  0.00000000
                  USD
                  0.00000000
                  USD
                  N/A
                  N/A
                
              
            
            -21470000.00000000
            USD
            75.00000000
            USD
            2021-10-20
            XXXX
            781.26000000
          
        
        
          N
          N
          N
        
      
      
        JABIL INC
        5493000CGCQY2OQU7669
        Jabil Inc
        466313AG8
        
          
          
        
        80000.00000000
        PA
        USD
        83717.27000000
        0.008713659216
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2022-09-15
          Fixed
          4.70000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CITIBANK NA
        E57ODZWZ7FF32TWEFA76
        CDS UNITED MEXICAN STATES
        000000000
        
          
        
        1.00000000
        NC
        USD
        -17985.89000000
        -0.00187205001
        N/A
        DCR
        CORP
        US
        N
        
        2
        
          
            
              CITIBANK NA
              E57ODZWZ7FF32TWEFA76
            
            
              
                UNITED MEXICAN STATES
                Mexico Government International Bond
                
                  
                  
                  
                
              
            
            Y
            Default Event
            
            2023-06-20
            8229.09000000
            USD
            0.00000000
            USD
            -1385000.00000000
            USD
            -26214.98000000
          
        
        
          N
          N
          N
        
      
      
        UKRAINE GOVERNMENT
        6354001WLTJXOMEXPY07
        Ukraine Government International Bond
        000000000
        
          
          
        
        950000.00000000
        PA
        USD
        1106455.51000000
        0.115164723502
        Long
        DBT
        NUSS
        UA
        N
        
        2
        
          2040-05-31
          Variable
          1.25800000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Citibank, National Association
        E57ODZWZ7FF32TWEFA76
        USD/THB FORWARD
        000000000
        
          
          
        
        1.00000000
        NC
        USD
        28818.68000000
        0.002999574121
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              Citibank, National Association
              E57ODZWZ7FF32TWEFA76
            
            -38568998.20000000
            THB
            1202000.00000000
            USD
            2021-09-15
            28818.68000000
          
        
        
          N
          N
          N
        
      
      
        REPUBLIC OF ARGENTINA
        549300KPBYGYF7HCHO27
        Argentine Republic Government International Bond
        040114HS2
        
          
          
        
        494247.00000000
        PA
        USD
        179454.06000000
        0.018678362586
        Long
        DBT
        NUSS
        AR
        N
        
        2
        
          2030-07-09
          Variable
          0.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        ERAC USA FINANCE LLC
        LTKX5ODQW6Z7BQ2K1V47
        ERAC USA Finance LLC
        26882PBE1
        
          
          
        
        1725000.00000000
        PA
        USD
        2619405.63000000
        0.272639181958
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2037-10-15
          Fixed
          7.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BARCLAYS PLC
        213800LBQA1Y9L22JB70
        ZAR/USD FORWARD
        000000000
        
          
          
        
        1.00000000
        NC
        USD
        -3227.65000000
        -0.00033594791
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              BARCLAYS PLC
              213800LBQA1Y9L22JB70
            
            -14240600.40000000
            ZAR
            963000.00000000
            USD
            2021-09-15
            -3227.65000000
          
        
        
          N
          N
          N
        
      
      
        Venture XXI CLO
        5493001C8B2BF8JNTO68
        Venture XXI CLO Ltd
        92330MAL3
        
          
        
        2717402.47000000
        PA
        USD
        2717401.93000000
        0.282839065001
        Long
        ABS-CBDO
        CORP
        KY
        N
        
        2
        
          2027-07-15
          Floating
          1.00613000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        STANDARD CHARTERED SECURITIES (NORTH AMERICA) LLC
        5493003GCX71N8988W38
        PHP/USD FORWARD
        000000000
        
          
          
        
        1.00000000
        NC
        USD
        26037.53000000
        0.002710099878
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              STANDARD CHARTERED SECURITIES (NORTH AMERICA) LLC
              5493003GCX71N8988W38
            
            -3693000.00000000
            USD
            186310283.80000000
            PHP
            2021-09-15
            26037.53000000
          
        
        
          N
          N
          N
        
      
      
        CHARTER COMM OPT LLC/CAP
        N/A
        Charter Communications Operating LLC / Charter Communications Operating Capital
        161175AZ7
        
          
          
        
        2640000.00000000
        PA
        USD
        3560735.59000000
        0.370616916796
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2035-10-23
          Fixed
          6.38400000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        JPMBB Commercial Mortgage Secu
        N/A
        JPMBB Commercial Mortgage Securities Trust 2014-C21
        46642EBB1
        
          
        
        45056000.00000000
        PA
        USD
        470425.19000000
        0.048963909027
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2047-08-15
          Variable
          0.30619900
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        DIGICEL GROUP HOLDINGS
        N/A
        Digicel Group Holdings Ltd
        25381YAD3
        
          
          
        
        801124.00000000
        PA
        USD
        783004.46000000
        0.081498525085
        Long
        DBT
        CORP
        BM
        
        N
        
        2
        
          2024-04-01
          Fixed
          10.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        UK CLEARING HOUSE LIMITED
        213800O8SCO4XJGBU385
        IRS ZAR
        000000000
        
          
        
        1.00000000
        NC
        
        115000.63000000
        0.011969767999
        N/A
        DIR
        CORP
        GB
        
        N
        
        2
        
          
            
              UK CLEARING HOUSE LIMITED
              213800O8SCO4XJGBU385
            
            Y
            
            
              
                
              
            
            2030-03-27
            0.00000000
            USD
            -196.65000000
            USD
            10700000.00000000
            ZAR
            115197.28000000
          
        
        
          N
          N
          N
        
      
      
        Citibank, National Association
        E57ODZWZ7FF32TWEFA76
        KRW/USD FORWARD
        000000000
        
          
          
        
        1.00000000
        NC
        USD
        -124579.18000000
        -0.01296674533
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              Citibank, National Association
              E57ODZWZ7FF32TWEFA76
            
            -2551282.62000000
            USD
            2801747823.00000000
            KRW
            2021-10-29
            -124579.18000000
          
        
        
          N
          N
          N
        
      
      
        DIGICEL LTD
        N/A
        Digicel Ltd
        25380QAH2
        
          
          
        
        2050000.00000000
        PA
        USD
        1935899.38000000
        0.201496865270
        Long
        DBT
        CORP
        BM
        
        N
        
        2
        
          2023-03-01
          Fixed
          6.75000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BARCLAYS BANK PLC
        G5GSEF7VJP5I7OUK5573
        SWOP CDS ITRAXX.EU.35.V1
        000000000
        
          
        
        -3620000.00000000
        OU
        Other
        
        -5362.60000000
        -0.00055816283
        N/A
        DCR
        CORP
        GB
        
        N
        
        2
        
          
            
              BARCLAYS BANK PLC
              G5GSEF7VJP5I7OUK5573
            
            Put
            Written
            
              
                
                  
                    BARCLAYS BANK PLC
                    G5GSEF7VJP5I7OUK5573
                  
                  
                    BARCLAYS BANK PLC
                    G5GSEF7VJP5I7OUK5573
                    CDS ITRAXX.EU.XO.35.V1
                    000000000
                    
                      
                    
                    0.00000000
                    NC
                    
                    0.00000000
                    0.00000000
                    DCR
                    CORP
                    GB
                    US
                  
                  
                    
                      IHS MARKIT LTD
                      ITRAXX.EU.XO.35.V1
                      
                        
                        
                      
                    
                  
                  Default Event
                  
                  2026-06-20
                  0.00000000
                  USD
                  0.00000000
                  USD
                  N/A
                  N/A
                
              
            
            -3620000.00000000
            USD
            500.00000000
            EUR
            2021-10-20
            XXXX
            15328.98000000
          
        
        
          N
          N
          N
        
      
      
        Citibank, National Association
        E57ODZWZ7FF32TWEFA76
        USD/AUD FORWARD
        000000000
        
          
          
        
        1.00000000
        NC
        USD
        110027.88000000
        0.011452182454
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              Citibank, National Association
              E57ODZWZ7FF32TWEFA76
            
            -929272.95000000
            USD
            1415000.00000000
            AUD
            2022-01-28
            110027.88000000
          
        
        
          N
          N
          N
        
      
      
        XYLEM INC
        549300DF5MV96DRYLQ48
        Xylem Inc/NY
        98419MAB6
        
          
          
        
        50000.00000000
        PA
        USD
        50348.45000000
        0.005240486644
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2021-10-01
          Fixed
          4.87500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Citibank, National Association
        E57ODZWZ7FF32TWEFA76
        PHP/USD FORWARD
        000000000
        
          
          
        
        1.00000000
        NC
        USD
        -25769.07000000
        -0.00268215738
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              Citibank, National Association
              E57ODZWZ7FF32TWEFA76
            
            -1975000.00000000
            USD
            97649396.00000000
            PHP
            2021-09-15
            -25769.07000000
          
        
        
          N
          N
          N
        
      
      
        J.P. MORGAN SECURITIES LLC
        ZBUT11V806EZRVTWT807
        USD CALL VERSUS ZAR PUT
        000000000
        
          
        
        24000000.00000000
        NC
        USD
        816380.30000000
        0.084972428328
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              J.P. MORGAN SECURITIES LLC
              ZBUT11V806EZRVTWT807
            
            Call
            Purchased
            
              
                
                  
                    J.P. MORGAN SECURITIES LLC
                    ZBUT11V806EZRVTWT807
                  
                  
                    J.P. MORGAN SECURITIES LLC
                    ZBUT11V806EZRVTWT807
                    USD CALL VERSUS ZAR PUT
                    000000000
                    
                      
                    
                    0.00000000
                    NC
                    
                    0.00000000
                    0.00000000
                    DFE
                    CORP
                    US
                    US
                  
                  N/A
                  ZAR
                  N/A
                  USD
                  2022-05-27
                
              
            
            24000000.00000000
            USD
            16.20000000
            USD
            2022-05-27
            XXXX
            -595947.70000000
          
        
        
          N
          N
          N
        
      
      
        BRASKEM NETHERLANDS
        N/A
        Braskem Netherlands Finance BV
        10554TAB1
        
          
          
        
        1630000.00000000
        PA
        USD
        1724702.46000000
        0.179514567133
        Long
        DBT
        CORP
        NL
        
        N
        
        2
        
          2028-01-10
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        IVORY COAST
        254900ICW11T82O6H590
        Ivory Coast Government International Bond
        221625AP1
        
          
          
        
        1650000.00000000
        PA
        
        2187882.15000000
        0.227724332866
        Long
        DBT
        NUSS
        CI
        N
        
        2
        
          2025-06-15
          Fixed
          5.12500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        PUERTO RICO SALES TAX FING COR
        N/A
        Puerto Rico Sales Tax Financing Corp Sales Tax Revenue
        74529JPW9
        
          
          
        
        5846000.00000000
        PA
        USD
        6724946.33000000
        0.699961794816
        Long
        DBT
        MUN
        US
        
        N
        
        2
        
          2053-07-01
          Fixed
          4.75000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        ABBVIE INC
        FR5LCKFTG8054YNNRU85
        AbbVie Inc
        00287YCY3
        
          
          
        
        4155000.00000000
        PA
        USD
        5124224.97000000
        0.533351722235
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2035-03-15
          Fixed
          4.55000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BNP PARIBAS SECURITIES CORP.
        RCNB6OTYUAMMP879YW96
        USD/INR FORWARD
        000000000
        
          
          
        
        1.00000000
        NC
        USD
        -3154.14000000
        -0.00032829667
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              BNP PARIBAS SECURITIES CORP.
              RCNB6OTYUAMMP879YW96
            
            -367000.00000000
            USD
            27203875.00000000
            INR
            2021-09-15
            -3154.14000000
          
        
        
          N
          N
          N
        
      
      
        UBS Securities LLC
        T6FIZBDPKLYJKFCRVK44
        USD/THB FORWARD
        000000000
        
          
          
        
        1.00000000
        NC
        USD
        25189.18000000
        0.002621799904
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              UBS Securities LLC
              T6FIZBDPKLYJKFCRVK44
            
            -15971305.00000000
            THB
            511000.00000000
            USD
            2021-09-15
            25189.18000000
          
        
        
          N
          N
          N
        
      
      
        HSBC SECURITIES (USA) INC.
        CYYGQCGNHMHPSMRL3R97
        USD/CNH FORWARD
        000000000
        
          
          
        
        1.00000000
        NC
        USD
        5857.04000000
        0.000609626312
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              HSBC SECURITIES (USA) INC.
              CYYGQCGNHMHPSMRL3R97
            
            -4921473.40000000
            CNY
            766000.00000000
            USD
            2021-08-18
            5857.04000000
          
        
        
          N
          N
          N
        
      
      
        BANK OF AMERICA CORP
        9DJT3UXIJIZJI4WXO774
        Bank of America Corp
        060505FQ2
        
          
          
        
        5545000.00000000
        PA
        USD
        5718093.66000000
        0.595164170058
        Long
        DBT
        CORP
        US
        N
        
        2
        
          N/A
          Fixed
          4.30000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Credit Suisse AG
        ANGGYXNX0JLX3X63JN86
        KRW/USD FORWARD
        000000000
        
          
          
        
        1.00000000
        NC
        USD
        -160371.29000000
        -0.01669214451
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              Credit Suisse AG
              ANGGYXNX0JLX3X63JN86
            
            -4821697.28000000
            USD
            5378603319.00000000
            KRW
            2021-09-15
            -160371.29000000
          
        
        
          N
          N
          N
        
      
      
        ERAC USA FINANCE LLC
        LTKX5ODQW6Z7BQ2K1V47
        ERAC USA Finance LLC
        26882PAR3
        
          
          
        
        110000.00000000
        PA
        USD
        157307.25000000
        0.016373225843
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2034-06-01
          Fixed
          6.70000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BARCLAYS BANK PLC
        G5GSEF7VJP5I7OUK5573
        CDS T-MOBILE USA INC
        000000000
        
          
        
        1.00000000
        NC
        USD
        16228.24000000
        0.001689106119
        N/A
        DCR
        CORP
        GB
        
        N
        
        2
        
          
            
              BARCLAYS BANK PLC
              G5GSEF7VJP5I7OUK5573
            
            
              
                T-MOBILE USA INC
                T-Mobile USA Inc
                
                  
                  
                  
                
              
            
            Y
            
            Default Event
            2021-09-20
            8425.91000000
            USD
            0.00000000
            USD
            1280000.00000000
            USD
            7802.33000000
          
        
        
          N
          N
          N
        
      
      
        UK CLEARING HOUSE LIMITED
        213800O8SCO4XJGBU385
        IRS PLN
        000000000
        
          
        
        1.00000000
        NC
        
        -269280.54000000
        -0.02802789506
        N/A
        DIR
        CORP
        GB
        
        N
        
        2
        
          
            
              UK CLEARING HOUSE LIMITED
              213800O8SCO4XJGBU385
            
            Y
            
            
              
                
              
            
            2031-01-21
            0.00000000
            USD
            -22556.58000000
            USD
            26290000.00000000
            PLN
            -246723.96000000
          
        
        
          N
          N
          N
        
      
      
        DEUTSCHE BANK AKTIENGESELLSCHAFT
        7LTWFZYICNSX8D621K86
        USD/JPY FORWARD
        000000000
        
          
          
        
        1.00000000
        NC
        USD
        -227601.16000000
        -0.02368972310
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              DEUTSCHE BANK AKTIENGESELLSCHAFT
              7LTWFZYICNSX8D621K86
            
            -6276000.00000000
            USD
            662302341.00000000
            JPY
            2022-01-28
            -227601.16000000
          
        
        
          N
          N
          N
        
      
      
        BARCLAYS BANK PLC
        G5GSEF7VJP5I7OUK5573
        CDS DEVON ENERGY CORPORATION
        000000000
        
          
        
        1.00000000
        NC
        USD
        6908.85000000
        0.000719103292
        N/A
        DCR
        CORP
        GB
        
        N
        
        2
        
          
            
              BARCLAYS BANK PLC
              G5GSEF7VJP5I7OUK5573
            
            
              
                DEVON ENERGY CORPORATION
                Devon Energy Corp
                
                  
                  
                  
                
              
            
            Y
            
            Default Event
            2021-12-20
            5233.28000000
            USD
            0.00000000
            USD
            2000000.00000000
            USD
            1675.57000000
          
        
        
          N
          N
          N
        
      
      
        Citibank, National Association
        E57ODZWZ7FF32TWEFA76
        ZAR/USD FORWARD
        000000000
        
          
          
        
        1.00000000
        NC
        USD
        754016.74000000
        0.078481356542
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              Citibank, National Association
              E57ODZWZ7FF32TWEFA76
            
            -147340941.00000000
            ZAR
            10751129.76000000
            USD
            2021-09-15
            754016.74000000
          
        
        
          N
          N
          N
        
      
      
        UBS Securities LLC
        T6FIZBDPKLYJKFCRVK44
        CZK/USD FORWARD
        000000000
        
          
          
        
        1.00000000
        NC
        USD
        5272.91000000
        0.000548827509
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              UBS Securities LLC
              T6FIZBDPKLYJKFCRVK44
            
            -382000.00000000
            USD
            8335526.50000000
            CZK
            2021-10-19
            5272.91000000
          
        
        
          N
          N
          N
        
      
      
        US TREASURY N/B
        254900HROIFWPRGM1V77
        United States Treasury Note/Bond
        912810SU3
        
          
          
        
        2755000.00000000
        PA
        USD
        2734767.97000000
        0.284646598315
        Long
        DBT
        UST
        US
        N
        
        2
        
          2051-02-15
          Fixed
          1.87500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CENOVUS ENERGY INC
        549300EIRQ0Z2B9C1W06
        Cenovus Energy Inc
        15135UAR0
        
          
          
        
        1835000.00000000
        PA
        USD
        2292577.91000000
        0.238621524975
        Long
        DBT
        CORP
        CA
        N
        
        2
        
          2047-06-15
          Fixed
          5.40000000
          N
          N
          N
        
        
          N
          N
          
        
      
      
        CITIGROUP INC
        6SHGI4ZSSLCXXQSBB395
        Citigroup Inc
        172967JT9
        
          
          
        
        405000.00000000
        PA
        USD
        453012.50000000
        0.047151520177
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2025-06-10
          Fixed
          4.40000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BARCLAYS BANK PLC
        G5GSEF7VJP5I7OUK5573
        CDS REPUBLIC OF CHILE
        000000000
        
          
        
        1.00000000
        NC
        USD
        54515.98000000
        0.005674261374
        N/A
        DCR
        CORP
        GB
        
        N
        
        2
        
          
            
              BARCLAYS BANK PLC
              G5GSEF7VJP5I7OUK5573
            
            
              
                REPUBLIC OF CHILE
                Chile Government International Bond
                
                  
                  
                  
                
              
            
            Y
            
            Default Event
            2023-06-20
            0.00000000
            USD
            -1592.29000000
            USD
            3750000.00000000
            USD
            56108.27000000
          
        
        
          N
          N
          N
        
      
      
        GOLDMAN SACHS GROUP INC
        784F5XWPLTWKTBV3E584
        Goldman Sachs Group Inc/The
        38141GWB6
        
          
          
        
        3940000.00000000
        PA
        USD
        4362446.92000000
        0.454062534639
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2027-01-26
          Fixed
          3.85000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BARCLAYS PLC
        213800LBQA1Y9L22JB70
        USD/ILS FORWARD
        000000000
        
          
          
        
        1.00000000
        NC
        USD
        4006.99000000
        0.000417065025
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              BARCLAYS PLC
              213800LBQA1Y9L22JB70
            
            -330000.00000000
            USD
            1079497.65000000
            ILS
            2021-08-31
            4006.99000000
          
        
        
          N
          N
          N
        
      
      
        J.P. MORGAN SECURITIES LLC
        ZBUT11V806EZRVTWT807
        CAD/USD FORWARD
        000000000
        
          
          
        
        1.00000000
        NC
        USD
        9939.14000000
        0.001034509114
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              J.P. MORGAN SECURITIES LLC
              ZBUT11V806EZRVTWT807
            
            -2782508.07000000
            USD
            3484034.00000000
            CAD
            2021-10-19
            9939.14000000
          
        
        
          N
          N
          N
        
      
      
        BARCLAYS PLC
        213800LBQA1Y9L22JB70
        HUF/USD FORWARD
        000000000
        
          
          
        
        1.00000000
        NC
        USD
        13599.56000000
        0.001415501620
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              BARCLAYS PLC
              213800LBQA1Y9L22JB70
            
            -480409330.00000000
            HUF
            1599405.16000000
            USD
            2021-10-19
            13599.56000000
          
        
        
          N
          N
          N
        
      
      
        CIGNA CORP
        549300VIWYMSIGT1U456
        Cigna Corp
        125523AH3
        
          
          
        
        3990000.00000000
        PA
        USD
        4693711.87000000
        0.488542037907
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2028-10-15
          Fixed
          4.37500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BNP PARIBAS (SUISSE) SA
        QHSFEYI7HUOXXZ413E03
        SWOP CDS CDX.NA.HY.36.V1
        000000000
        
          
        
        25460000.00000000
        OU
        Other
        USD
        64688.09000000
        0.006733019024
        N/A
        DCR
        CORP
        CH
        
        N
        
        2
        
          
            
              BNP PARIBAS (SUISSE) SA
              QHSFEYI7HUOXXZ413E03
            
            Put
            Purchased
            
              
                
                  
                    BNP PARIBAS (SUISSE) SA
                    QHSFEYI7HUOXXZ413E03
                  
                  
                    BNP PARIBAS (SUISSE) SA
                    QHSFEYI7HUOXXZ413E03
                    CDS CDX.NA.HY.36.V1
                    000000000
                    
                      
                    
                    0.00000000
                    NC
                    USD
                    0.00000000
                    0.00000000
                    DCR
                    CORP
                    CH
                    US
                  
                  
                    
                      IHS MARKIT LTD
                      CDX.NA.HY.36.V1
                      
                        
                        
                      
                    
                  
                  
                  Default Event
                  2026-06-20
                  0.00000000
                  USD
                  0.00000000
                  USD
                  N/A
                  N/A
                
              
            
            25460000.00000000
            USD
            108.00000000
            USD
            2021-08-18
            XXXX
            -173872.11000000
          
        
        
          N
          N
          N
        
      
      
        GOLDMAN SACHS & CO. LLC
        FOR8UP27PHTHYVLBNG30
        JPY/AUD FORWARD
        000000000
        
          
          
        
        1.00000000
        NC
        USD
        -275574.69000000
        -0.02868301770
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              GOLDMAN SACHS & CO. LLC
              FOR8UP27PHTHYVLBNG30
            
            -3658000.00000000
            AUD
            263741800.00000000
            JPY
            2022-05-31
            -275574.69000000
          
        
        
          N
          N
          N
        
      
      
        PETROLEOS MEXICANOS
        549300CAZKPF4HKMPX17
        Petroleos Mexicanos
        71654QDC3
        
          
          
        
        405000.00000000
        PA
        USD
        422227.52000000
        0.043947284962
        Long
        DBT
        CORP
        MX
        N
        
        2
        
          2030-01-23
          Fixed
          6.84000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        UBS Securities LLC
        T6FIZBDPKLYJKFCRVK44
        CLP/USD FORWARD
        000000000
        
          
          
        
        1.00000000
        NC
        USD
        5677.31000000
        0.000590919228
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              UBS Securities LLC
              T6FIZBDPKLYJKFCRVK44
            
            -467000.00000000
            USD
            359193050.00000000
            CLP
            2021-09-15
            5677.31000000
          
        
        
          N
          N
          N
        
      
      
        CEMEX SAB DE CV
        549300RIG2CXWN6IV731
        Cemex SAB de CV
        151290BV4
        
          
          
        
        1180000.00000000
        PA
        USD
        1295925.75000000
        0.134885613863
        Long
        DBT
        CORP
        MX
        N
        
        2
        
          2029-11-19
          Fixed
          5.45000000
          N
          N
          N
        
        
          N
          N
          
        
      
      
        Radnor Re LTD
        549300ED4YNDE7SVU538
        Radnor Re 2018-1 Ltd
        750496AB7
        
          
        
        1240000.00000000
        PA
        USD
        1252091.86000000
        0.130323191084
        Long
        ABS-MBS
        CORP
        BM
        
        N
        
        2
        
          2028-03-25
          Floating
          2.78925000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CITIBANK, NATIONAL ASSOCIATION
        E57ODZWZ7FF32TWEFA76
        USD CALL VERSUS MXN PUT
        000000000
        
          
        
        -28000000.00000000
        NC
        USD
        -5759.41000000
        -0.00059946455
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              CITIBANK, NATIONAL ASSOCIATION
              E57ODZWZ7FF32TWEFA76
            
            Call
            Written
            
              
                
                  
                    CITIBANK, NATIONAL ASSOCIATION
                    E57ODZWZ7FF32TWEFA76
                  
                  
                    CITIBANK, NATIONAL ASSOCIATION
                    E57ODZWZ7FF32TWEFA76
                    USD CALL VERSUS MXN PUT
                    000000000
                    
                      
                    
                    0.00000000
                    NC
                    
                    0.00000000
                    0.00000000
                    DFE
                    CORP
                    US
                    US
                  
                  N/A
                  MXN
                  N/A
                  USD
                  2022-02-23
                
              
            
            -28000000.00000000
            USD
            36.00000000
            USD
            2022-02-23
            XXXX
            1270309.79000000
          
        
        
          N
          N
          N
        
      
      
        BNP PARIBAS SECURITIES CORP.
        RCNB6OTYUAMMP879YW96
        JPY CALL VERSUS AUD PUT
        000000000
        
          
        
        144000000.00000000
        NC
        
        20195.46000000
        0.002102031709
        N/A
        DFE
        CORP
        US
        
        N
        
        2
        
          
            
              BNP PARIBAS SECURITIES CORP.
              RCNB6OTYUAMMP879YW96
            
            Put
            Purchased
            
              
                
                  
                    BNP PARIBAS SECURITIES CORP.
                    RCNB6OTYUAMMP879YW96
                  
                  
                    BNP PARIBAS SECURITIES CORP.
                    RCNB6OTYUAMMP879YW96
                    JPY CALL VERSUS AUD PUT
                    000000000
                    
                      
                    
                    0.00000000
                    NC
                    
                    0.00000000
                    0.00000000
                    DFE
                    CORP
                    US
                    US
                  
                  N/A
                  AUD
                  N/A
                  JPY
                  2022-01-26
                
              
            
            144000000.00000000
            USD
            55.00000000
            AUD
            2022-01-26
            XXXX
            -976202.40000000
          
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        USD/KRW FORWARD
        000000000
        
          
          
        
        1.00000000
        NC
        USD
        -9712.21000000
        -0.00101088924
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            -576547.14000000
            USD
            654438656.00000000
            KRW
            2021-10-29
            -9712.21000000
          
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        USD/MXN FORWARD
        000000000
        
          
          
        
        1.00000000
        NC
        USD
        -646442.90000000
        -0.06728460129
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            -303737172.46000000
            MXN
            13188761.29000000
            USD
            2023-04-28
            -646442.90000000
          
        
        
          N
          N
          N
        
      
      
        UNITED AIRLINES INC
        K1OQBWM7XEOO08LDNP29
        United Airlines Inc
        90932RAJ3
        
          
          
        
        249375.00000000
        PA
        USD
        249582.73000000
        0.025977660946
        Long
        LON
        CORP
        US
        N
        
        2
        
          2028-04-21
          Floating
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CODERE FINANCE 2 LUXEMBO
        2221005CUH65GSJUKB29
        Codere Finance 2 Luxembourg SA
        000000000
        
          
          
        
        421000.00000000
        PA
        
        535404.66000000
        0.055727256155
        Long
        DBT
        CORP
        LU
        
        Y
        
        2
        
          2023-09-30
          Fixed
          10.75000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
        549300EX04Q2QBFQTQ27
        UNITED STATES 10 YEAR ULTRA TREASURY NOTE/BOND
        000000000
        
          
          
        
        57.00000000
        NC
        USD
        300369.33000000
        0.031263752157
        N/A
        DIR
        CORP
        US
        N
        
        1
        
          
            
              BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
              549300EX04Q2QBFQTQ27
            
            Long
            
              
                US TREASURY N/B
                United States Treasury Note/Bond
                
                  
                  
                  
                
              
            
            2021-09-21
            8263880.67000000
            USD
            300369.33000000
          
        
        
          N
          N
          N
        
      
      
        UK CLEARING HOUSE LIMITED
        213800O8SCO4XJGBU385
        IRS IFS USD
        000000000
        
          
        
        1.00000000
        NC
        USD
        -31425.43000000
        -0.00327089604
        N/A
        DIR
        CORP
        GB
        
        N
        
        2
        
          
            
              UK CLEARING HOUSE LIMITED
              213800O8SCO4XJGBU385
            
            Y
            
            
              
                
              
            
            2031-04-15
            0.00000000
            USD
            0.00000000
            USD
            1120000.00000000
            USD
            -31425.43000000
          
        
        
          N
          N
          N
        
      
      
        ENERGY TRANSFER LP
        MTLVN9N7JE8MIBIJ1H73
        Energy Transfer LP
        86765BAV1
        
          
          
        
        60000.00000000
        PA
        USD
        72254.49000000
        0.007520562993
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2047-10-01
          Fixed
          5.40000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Morgan Stanley Capital Inc
        N/A
        Morgan Stanley ABS Capital I Inc Trust 2003-HE3
        61746REH0
        
          
        
        1260114.43000000
        PA
        USD
        1258967.47000000
        0.131038834612
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2033-10-25
          Floating
          1.10925000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CITIBANK NA
        E57ODZWZ7FF32TWEFA76
        CDS UNITED MEXICAN STATES
        000000000
        
          
        
        1.00000000
        NC
        USD
        -18180.68000000
        -0.00189232460
        N/A
        DCR
        CORP
        US
        N
        
        2
        
          
            
              CITIBANK NA
              E57ODZWZ7FF32TWEFA76
            
            
              
                UNITED MEXICAN STATES
                Mexico Government International Bond
                
                  
                  
                  
                
              
            
            Y
            Default Event
            
            2023-06-20
            3352.07000000
            USD
            0.00000000
            USD
            -1400000.00000000
            USD
            -21532.75000000
          
        
        
          N
          N
          N
        
      
      
        HSBC SECURITIES (USA) INC.
        CYYGQCGNHMHPSMRL3R97
        USD/PHP FORWARD
        000000000
        
          
          
        
        1.00000000
        NC
        USD
        -1358.24000000
        -0.00014137155
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              HSBC SECURITIES (USA) INC.
              CYYGQCGNHMHPSMRL3R97
            
            -1109000.00000000
            USD
            55488832.30000000
            PHP
            2021-09-15
            -1358.24000000
          
        
        
          N
          N
          N
        
      
      
        ADIENT GLOBAL HOLDINGS
        213800VA38VCKE6M8790
        Adient Global Holdings Ltd
        00687YAA3
        
          
          
        
        1900000.00000000
        PA
        USD
        1942773.28000000
        0.202212330814
        Long
        DBT
        CORP
        JE
        
        N
        
        2
        
          2026-08-15
          Fixed
          4.87500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        NEW JERSEY ST TURNPIKE AUTH
        5493005YN67D71KSMI84
        New Jersey Turnpike Authority
        646139W35
        
          
          
        
        2000000.00000000
        PA
        USD
        3371440.12000000
        0.350914217260
        Long
        DBT
        MUN
        US
        N
        
        2
        
          2040-01-01
          Fixed
          7.41400000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        HSBC SECURITIES (USA) INC.
        CYYGQCGNHMHPSMRL3R97
        USD/SGD FORWARD
        000000000
        
          
          
        
        1.00000000
        NC
        USD
        7519.98000000
        0.000782712372
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              HSBC SECURITIES (USA) INC.
              CYYGQCGNHMHPSMRL3R97
            
            -997957.03000000
            SGD
            744000.00000000
            USD
            2021-09-15
            7519.98000000
          
        
        
          N
          N
          N
        
      
      
        Laurel Road Prime Student Loan
        N/A
        Laurel Road Prime Student Loan Trust 2019-A
        51889RAD1
        
          
        
        3463406.70400000
        PA
        USD
        513720.19000000
        0.053470241780
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2048-10-25
          None
          0.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MEMORIAL SLOAN-KETTERING
        549300IZ71UAMEHWL382
        Memorial Sloan-Kettering Cancer Center
        586054AB4
        
          
          
        
        75000.00000000
        PA
        USD
        97676.14000000
        0.010166559390
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2052-07-01
          Fixed
          4.12500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        SPEEDSTER BIDCO GMBH
        N/A
        SPEEDSTER BIDCO GMBH
        000000000
        
          
        
        2400000.00000000
        PA
        
        2866217.25000000
        0.298328413669
        Long
        LON
        CORP
        DE
        N
        
        2
        
          2028-03-31
          Floating
          6.25000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        PETROLEOS MEXICANOS
        549300CAZKPF4HKMPX17
        Petroleos Mexicanos
        000000000
        
          
          
        
        295000.00000000
        PA
        
        342012.63000000
        0.035598168758
        Long
        DBT
        CORP
        MX
        N
        
        2
        
          2029-02-26
          Fixed
          4.75000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        REPUBLIC OF SERBIA
        254900W94OCY91V32O78
        Serbia International Bond
        000000000
        
          
          
        
        1660000.00000000
        PA
        
        1996288.00000000
        0.207782376673
        Long
        DBT
        NUSS
        RS
        N
        
        2
        
          2029-06-26
          Fixed
          1.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Home Re 2018-1 Ltd.
        254900E6IUAJSN9WD709
        Home Re 2018-1 Ltd
        43730MAA6
        
          
        
        550439.21000000
        PA
        USD
        550439.10000000
        0.057292106355
        Long
        ABS-MBS
        CORP
        BM
        
        N
        
        2
        
          2028-10-25
          Floating
          1.68925000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BARCLAYS PLC
        213800LBQA1Y9L22JB70
        RUB/USD FORWARD
        000000000
        
          
          
        
        1.00000000
        NC
        USD
        8311.41000000
        0.000865087864
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              BARCLAYS PLC
              213800LBQA1Y9L22JB70
            
            -1098000.00000000
            USD
            81479728.40000000
            RUB
            2021-09-15
            8311.41000000
          
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        BRL/USD FORWARD
        000000000
        
          
          
        
        1.00000000
        NC
        USD
        25351.25000000
        0.002638668857
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            -14445577.20000000
            BRL
            2797592.94000000
            USD
            2021-08-03
            25351.25000000
          
        
        
          N
          N
          N
        
      
      
        BARCLAYS BANK PLC
        G5GSEF7VJP5I7OUK5573
        SWOP CDS CDX.NA.IG.36.V1
        000000000
        
          
        
        21470000.00000000
        OU
        Other
        USD
        155.22000000
        0.000016155975
        N/A
        DCR
        CORP
        GB
        
        N
        
        2
        
          
            
              BARCLAYS BANK PLC
              G5GSEF7VJP5I7OUK5573
            
            Call
            Purchased
            
              
                
                  
                    BARCLAYS BANK PLC
                    G5GSEF7VJP5I7OUK5573
                  
                  
                    BARCLAYS BANK PLC
                    G5GSEF7VJP5I7OUK5573
                    CDS CDX.NA.IG.36.V1
                    000000000
                    
                      
                    
                    0.00000000
                    NC
                    USD
                    0.00000000
                    0.00000000
                    DCR
                    CORP
                    GB
                    US
                  
                  
                    
                      IHS MARKIT LTD
                      CDX.NA.IG.36.V1
                      
                        
                        
                      
                    
                  
                  Default Event
                  
                  2026-06-20
                  0.00000000
                  USD
                  0.00000000
                  USD
                  N/A
                  N/A
                
              
            
            21470000.00000000
            USD
            37.50000000
            USD
            2021-09-15
            XXXX
            -59.48000000
          
        
        
          N
          N
          N
        
      
      
        AES PANAMA GENERATION HL
        N/A
        AES Panama Generation Holdings SRL
        00109AAB3
        
          
          
        
        1065000.00000000
        PA
        USD
        1104595.54000000
        0.114971129698
        Long
        DBT
        CORP
        PA
        N
        
        2
        
          2030-05-31
          Fixed
          4.37500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Citibank, National Association
        E57ODZWZ7FF32TWEFA76
        JPY/USD FORWARD
        000000000
        
          
          
        
        1.00000000
        NC
        USD
        -2931.45000000
        -0.00030511812
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              Citibank, National Association
              E57ODZWZ7FF32TWEFA76
            
            -849425.72000000
            USD
            92577975.00000000
            JPY
            2022-05-31
            -2931.45000000
          
        
        
          N
          N
          N
        
      
      
        BRISTOL-MYERS SQUIBB CO
        HLYYNH7UQUORYSJQCN42
        Bristol-Myers Squibb Co
        110122CQ9
        
          
          
        
        615000.00000000
        PA
        USD
        758264.82000000
        0.078923515268
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2039-06-15
          Fixed
          4.12500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        ENN CLEAN ENERGY
        3003009YZ3S5V395NR77
        ENN Clean Energy International Investment Ltd
        268733AA0
        
          
          
        
        1350000.00000000
        PA
        USD
        1378256.51000000
        0.143454959060
        Long
        DBT
        CORP
        VG
        
        N
        
        2
        
          2026-05-12
          Fixed
          3.37500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BARCLAYS BANK PLC
        G5GSEF7VJP5I7OUK5573
        CDS MALAYSIA
        000000000
        
          
        
        1.00000000
        NC
        USD
        61404.32000000
        0.006391229896
        N/A
        DCR
        CORP
        GB
        
        N
        
        2
        
          
            
              BARCLAYS BANK PLC
              G5GSEF7VJP5I7OUK5573
            
            
              
                PENERBANGAN MALAYSIA BERHAD
                PENERBANGAN MALAYSIA BERHAD
                
                  
                  
                
              
            
            Y
            
            Default Event
            2023-06-20
            0.00000000
            USD
            -1592.29000000
            USD
            3750000.00000000
            USD
            62996.61000000
          
        
        
          N
          N
          N
        
      
      
        Citibank, National Association
        E57ODZWZ7FF32TWEFA76
        USD/CLP FORWARD
        000000000
        
          
          
        
        1.00000000
        NC
        USD
        -15970.30000000
        -0.00166225859
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              Citibank, National Association
              E57ODZWZ7FF32TWEFA76
            
            -708000.00000000
            USD
            525881520.00000000
            CLP
            2021-09-15
            -15970.30000000
          
        
        
          N
          N
          N
        
      
      
        GOLDMAN SACHS INTERNATIONAL
        W22LROWP2IHZNBB6K528
        SWOP CDS CDX.NA.IG.36.V1
        000000000
        
          
        
        -54990000.00000000
        OU
        Other
        USD
        -41960.60000000
        -0.00436744257
        N/A
        DCR
        CORP
        GB
        
        N
        
        2
        
          
            
              GOLDMAN SACHS INTERNATIONAL
              W22LROWP2IHZNBB6K528
            
            Call
            Written
            
              
                
                  
                    GOLDMAN SACHS INTERNATIONAL
                    W22LROWP2IHZNBB6K528
                  
                  
                    GOLDMAN SACHS INTERNATIONAL
                    W22LROWP2IHZNBB6K528
                    CDS CDX.NA.IG.36.V1
                    000000000
                    
                      
                    
                    0.00000000
                    NC
                    USD
                    0.00000000
                    0.00000000
                    DCR
                    CORP
                    GB
                    US
                  
                  
                    
                      IHS MARKIT LTD
                      CDX.NA.IG.36.V1
                      
                        
                        
                      
                    
                  
                  
                  Default Event
                  2026-06-20
                  0.00000000
                  USD
                  0.00000000
                  USD
                  N/A
                  N/A
                
              
            
            -54990000.00000000
            USD
            50.00000000
            USD
            2021-08-18
            XXXX
            17153.65000000
          
        
        
          N
          N
          N
        
      
      
        VERIZON COMMUNICATIONS
        2S72QS2UO2OESLG6Y829
        Verizon Communications Inc
        92343VGK4
        
          
          
        
        1575000.00000000
        PA
        USD
        1701247.79000000
        0.177073302608
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2041-03-22
          Fixed
          3.40000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Citibank, National Association
        E57ODZWZ7FF32TWEFA76
        USD/ILS FORWARD
        000000000
        
          
          
        
        1.00000000
        NC
        USD
        -21271.15000000
        -0.00221399422
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              Citibank, National Association
              E57ODZWZ7FF32TWEFA76
            
            -6780150.35000000
            ILS
            2077000.00000000
            USD
            2021-09-17
            -21271.15000000
          
        
        
          N
          N
          N
        
      
      
        KKR Financial CLO Ltd
        5493004Y6G18HN4CQ515
        KKR Clo 32 Ltd
        48254HAA2
        
          
        
        5000000.00000000
        PA
        USD
        5002641.50000000
        0.520696783488
        Long
        ABS-CBDO
        CORP
        KY
        N
        
        2
        
          2032-01-15
          Floating
          1.44613000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        ANTHEM INC
        8MYN82XMYQH89CTMTH67
        Anthem Inc
        94973VBB2
        
          
          
        
        120000.00000000
        PA
        USD
        152940.37000000
        0.015918701894
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2043-01-15
          Fixed
          4.65000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CITIBANK NA
        E57ODZWZ7FF32TWEFA76
        CDS UNITED MEXICAN STATES
        000000000
        
          
        
        1.00000000
        NC
        USD
        -5973.66000000
        -0.00062176463
        N/A
        DCR
        CORP
        US
        N
        
        2
        
          
            
              CITIBANK NA
              E57ODZWZ7FF32TWEFA76
            
            
              
                UNITED MEXICAN STATES
                Mexico Government International Bond
                
                  
                  
                  
                
              
            
            Y
            Default Event
            
            2023-06-20
            3065.73000000
            USD
            0.00000000
            USD
            -460000.00000000
            USD
            -9039.39000000
          
        
        
          N
          N
          N
        
      
      
        MACY'S RETAIL HLDGS LLC
        N/A
        Macy's Retail Holdings LLC
        55616XAJ6
        
          
          
        
        705000.00000000
        PA
        USD
        579233.03000000
        0.060289104388
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2043-02-15
          Fixed
          4.30000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        J.P. MORGAN SECURITIES LLC
        ZBUT11V806EZRVTWT807
        CNH/USD FORWARD
        000000000
        
          
          
        
        1.00000000
        NC
        USD
        1094.73000000
        0.000113944281
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              J.P. MORGAN SECURITIES LLC
              ZBUT11V806EZRVTWT807
            
            -3166000.00000000
            USD
            20505053.94000000
            CNY
            2021-08-18
            1094.73000000
          
        
        
          N
          N
          N
        
      
      
        Credit Suisse AG
        ANGGYXNX0JLX3X63JN86
        USD/SGD FORWARD
        000000000
        
          
          
        
        1.00000000
        NC
        USD
        1113.33000000
        0.000115880250
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              Credit Suisse AG
              ANGGYXNX0JLX3X63JN86
            
            -1441604.88000000
            SGD
            1065000.00000000
            USD
            2021-09-15
            1113.33000000
          
        
        
          N
          N
          N
        
      
      
        UBS Securities LLC
        T6FIZBDPKLYJKFCRVK44
        USD/CNH FORWARD
        000000000
        
          
          
        
        1.00000000
        NC
        USD
        -831.08000000
        -0.00008650243
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              UBS Securities LLC
              T6FIZBDPKLYJKFCRVK44
            
            -765552.76000000
            USD
            4970385.00000000
            CNY
            2021-09-30
            -831.08000000
          
        
        
          N
          N
          N
        
      
      
        Carlyle Global Market Strategi
        N/A
        Carlyle Euro CLO 2019-1 DAC
        000000000
        
          
        
        1750000.00000000
        PA
        
        2073678.05000000
        0.215837471189
        Long
        ABS-CBDO
        CORP
        IE
        N
        
        2
        
          2032-03-15
          Floating
          0.75000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        GOLDMAN SACHS INTERNATIONAL
        W22LROWP2IHZNBB6K528
        SWOP CDS GS_21-PJ-A
        000000000
        
          
        
        -16440000.00000000
        OU
        Other
        USD
        -2690.09000000
        -0.00027999632
        N/A
        DCR
        CORP
        GB
        
        N
        
        3
        
          
            
              GOLDMAN SACHS INTERNATIONAL
              W22LROWP2IHZNBB6K528
            
            Put
            Written
            
              
                
                  
                    GOLDMAN SACHS INTERNATIONAL
                    W22LROWP2IHZNBB6K528
                  
                  
                    GOLDMAN SACHS INTERNATIONAL
                    W22LROWP2IHZNBB6K528
                    CDS GS_21-PJ-A
                    000000000
                    
                      
                    
                    0.00000000
                    NC
                    USD
                    0.00000000
                    0.00000000
                    DCR
                    CORP
                    GB
                    US
                  
                  Default Event
                  
                  2021-08-14
                  0.00000000
                  USD
                  0.00000000
                  USD
                  N/A
                  N/A
                
              
            
            -16440000.00000000
            USD
            2.50000000
            USD
            2024-06-17
            XXXX
            -2690.09000000
          
        
        
          N
          N
          N
        
      
      
        BNP PARIBAS SECURITIES CORP.
        RCNB6OTYUAMMP879YW96
        USD/PEN FORWARD
        000000000
        
          
          
        
        1.00000000
        NC
        USD
        -39831.30000000
        -0.00414581572
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              BNP PARIBAS SECURITIES CORP.
              RCNB6OTYUAMMP879YW96
            
            -892000.00000000
            USD
            3460984.20000000
            PEN
            2021-09-15
            -39831.30000000
          
        
        
          N
          N
          N
        
      
      
        CITIGROUP INC
        6SHGI4ZSSLCXXQSBB395
        Citigroup Inc
        172967EW7
        
          
          
        
        620000.00000000
        PA
        USD
        1080463.36000000
        0.112459346972
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2039-07-15
          Fixed
          8.12500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Eagle Re 2018-1 Ltd.
        549300BLEDGL5R7YKU33
        Eagle RE 2018-1 Ltd
        269826AA1
        
          
        
        1892707.52000000
        PA
        USD
        1897904.33000000
        0.197542174469
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2028-11-25
          Floating
          1.78925000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        ILLINOIS ST
        54930048FV8RWPR02D67
        State of Illinois
        452151LF8
        
          
          
        
        865000.00000000
        PA
        USD
        1031443.27000000
        0.107357121840
        Long
        DBT
        MUN
        US
        N
        
        2
        
          2033-06-01
          Fixed
          5.10000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Anchorage Credit Opportunities
        549300QYWD7GXVL7MN11
        Anchorage Credit Opportunities Clo 1 Ltd
        03330FAA9
        
          
        
        15000000.00000000
        PA
        USD
        15020578.50000000
        1.563407434069
        Long
        ABS-CBDO
        CORP
        KY
        N
        
        2
        
          2032-01-20
          Floating
          2.08425000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        USD/AUD FORWARD
        000000000
        
          
          
        
        1.00000000
        NC
        USD
        9715.55000000
        0.001011236890
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            -1033312.00000000
            AUD
            768291.24000000
            USD
            2021-10-19
            9715.55000000
          
        
        
          N
          N
          N
        
      
      
        PETROLEOS MEXICANOS
        549300CAZKPF4HKMPX17
        Petroleos Mexicanos
        71654QCG5
        
          
          
        
        260000.00000000
        PA
        USD
        276249.37000000
        0.028753241342
        Long
        DBT
        CORP
        MX
        N
        
        2
        
          2027-03-13
          Fixed
          6.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        HSBC SECURITIES (USA) INC.
        CYYGQCGNHMHPSMRL3R97
        INR/USD FORWARD
        000000000
        
          
          
        
        1.00000000
        NC
        USD
        159053.37000000
        0.016554969641
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              HSBC SECURITIES (USA) INC.
              CYYGQCGNHMHPSMRL3R97
            
            -2268005.74000000
            USD
            181780660.00000000
            INR
            2021-09-30
            159053.37000000
          
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        MXN/USD FORWARD
        000000000
        
          
          
        
        1.00000000
        NC
        USD
        785663.38000000
        0.081775277095
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            -9739000.00000000
            USD
            231057775.00000000
            MXN
            2023-04-28
            785663.38000000
          
        
        
          N
          N
          N
        
      
      
        CHICAGO MERCANTILE EXCHANGE INC.
        SNZ2OJLFK8MNNCLQOF39
        IRS BRL
        000000000
        
          
        
        1.00000000
        NC
        
        -271593.56000000
        -0.02826864429
        N/A
        DIR
        CORP
        US
        
        N
        
        2
        
          
            
              CHICAGO MERCANTILE EXCHANGE INC.
              SNZ2OJLFK8MNNCLQOF39
            
            Y
            
            
              
                
              
            
            2025-01-02
            0.00000000
            USD
            0.00000000
            USD
            25970735.25000000
            BRL
            -271593.56000000
          
        
        
          N
          N
          N
        
      
      
        RANGE RESOURCES CORP
        H3Y3WLYCX0BTO1TRW162
        Range Resources Corp
        75281ABG3
        
          
          
        
        850000.00000000
        PA
        USD
        922783.90000000
        0.096047379886
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2026-02-01
          Fixed
          9.25000000
          N
          N
          N
        
        
          N
          N
          
        
      
      
        Bank of America, National Association
        B4TYDEB6GKMZO031MB27
        EUR/GBP FORWARD
        000000000
        
          
          
        
        1.00000000
        NC
        USD
        236564.81000000
        0.024622698958
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              Bank of America, National Association
              B4TYDEB6GKMZO031MB27
            
            -2499000.00000000
            EUR
            2304028.02000000
            GBP
            2021-08-31
            236564.81000000
          
        
        
          N
          N
          N
        
      
      
        REGL TRANSPRTN DIST CO SALES T
        N/A
        Regional Transportation District Sales Tax Revenue
        759136QP2
        
          
        
        1190000.00000000
        PA
        USD
        1939676.21000000
        0.201889974237
        Long
        DBT
        MUN
        US
        N
        
        2
        
          2050-11-01
          Fixed
          5.84400000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        GEORGIA-PACIFIC LLC
        L2EVHWFHVAQK72TMH265
        Georgia-Pacific LLC
        373298BN7
        
          
        
        400000.00000000
        PA
        USD
        508479.06000000
        0.052924722071
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2025-12-01
          Fixed
          7.37500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        J.P. MORGAN SECURITIES LLC
        ZBUT11V806EZRVTWT807
        USD/INR FORWARD
        000000000
        
          
          
        
        1.00000000
        NC
        USD
        -2234.04000000
        -0.00023252864
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              J.P. MORGAN SECURITIES LLC
              ZBUT11V806EZRVTWT807
            
            -1524000.00000000
            USD
            113778759.00000000
            INR
            2021-09-15
            -2234.04000000
          
        
        
          N
          N
          N
        
      
      
        DIGICEL GROUP HOLDINGS
        N/A
        Digicel Group Holdings Ltd
        25381YAB7
        
          
          
        
        247554.00000000
        PA
        USD
        215900.99000000
        0.022471918294
        Long
        DBT
        CORP
        BM
        
        N
        
        2
        
          2025-04-01
          Fixed
          8.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MAGELLAN MIDSTREAM PARTN
        MZF5TI8NFVZZNUSKDL39
        Magellan Midstream Partners LP
        559080AF3
        
          
          
        
        125000.00000000
        PA
        USD
        138109.15000000
        0.014375003720
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2042-12-01
          Fixed
          4.20000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        EASTERN GAS TRAN
        H2VQBNB3NSKRM5QWBI71
        Eastern Gas Transmission & Storage Inc
        276480AC4
        
          
          
        
        125000.00000000
        PA
        USD
        151949.02000000
        0.015815517855
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2044-12-15
          Fixed
          4.60000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        UKRAINE GOVERNMENT
        6354001WLTJXOMEXPY07
        Ukraine Government International Bond
        903724BW1
        
          
          
        
        800000.00000000
        PA
        USD
        881831.84000000
        0.091784910564
        Long
        DBT
        NUSS
        UA
        N
        
        2
        
          2024-02-01
          Fixed
          8.99400000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MEXICO CITY ARPT TRUST
        N/A
        Mexico City Airport Trust
        59284MAC8
        
          
          
        
        2000000.00000000
        PA
        USD
        2115527.66000000
        0.220193361435
        Long
        DBT
        CORP
        MX
        N
        
        2
        
          2028-04-30
          Fixed
          3.87500000
          N
          N
          N
        
        
          N
          N
          
        
      
      
        WEST CORP
        5493005Z5DB0O5S30R71
        Intrado Corp
        68162RAC5
        
          
          
        
        2401499.89000000
        PA
        USD
        2339461.94000000
        0.243501419650
        Long
        LON
        CORP
        US
        N
        
        2
        
          2024-10-10
          Floating
          5.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        JPMORGAN CHASE BANK, NATIONAL ASSOCIATION
        7H6GLXDRUGQFU57RNE97
        SWOP CDS CDX.NA.IG.36.V1
        000000000
        
          
        
        29520000.00000000
        OU
        Other
        USD
        246.15000000
        0.000025620367
        N/A
        DCR
        CORP
        US
        N
        
        2
        
          
            
              JPMORGAN CHASE BANK, NATIONAL ASSOCIATION
              7H6GLXDRUGQFU57RNE97
            
            Call
            Purchased
            
              
                
                  
                    JPMORGAN CHASE BANK, NATIONAL ASSOCIATION
                    7H6GLXDRUGQFU57RNE97
                  
                  
                    JPMORGAN CHASE BANK, NATIONAL ASSOCIATION
                    7H6GLXDRUGQFU57RNE97
                    CDS CDX.NA.IG.36.V1
                    000000000
                    
                      
                    
                    0.00000000
                    NC
                    USD
                    0.00000000
                    0.00000000
                    DCR
                    CORP
                    US
                  
                  
                    
                      IHS MARKIT LTD
                      CDX.NA.IG.36.V1
                      
                        
                        
                      
                    
                  
                  Default Event
                  
                  2026-06-20
                  0.00000000
                  USD
                  0.00000000
                  USD
                  N/A
                  N/A
                
              
            
            29520000.00000000
            USD
            40.00000000
            USD
            2021-08-18
            XXXX
            -934.65000000
          
        
        
          N
          N
          N
        
      
      
        CD&R FIREFLY BIDCO LTD
        213800OAU5VX61DYZ558
        CD&R Firefly Bidco Ltd
        000000000
        
          
        
        3300000.00000000
        PA
        
        4546863.75000000
        0.473257444009
        Long
        LON
        CORP
        GB
        Y
        
        2
        
          2026-06-21
          Variable
          0.01000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        GOLDMAN SACHS & CO. LLC
        FOR8UP27PHTHYVLBNG30
        CNH/USD FORWARD
        000000000
        
          
          
        
        1.00000000
        NC
        USD
        2484.25000000
        0.000258571593
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              GOLDMAN SACHS & CO. LLC
              FOR8UP27PHTHYVLBNG30
            
            -1523000.00000000
            USD
            9876602.86000000
            CNY
            2021-08-18
            2484.25000000
          
        
        
          N
          N
          N
        
      
      
        J.P. MORGAN SECURITIES LLC
        ZBUT11V806EZRVTWT807
        USD/PHP FORWARD
        000000000
        
          
          
        
        1.00000000
        NC
        USD
        33853.40000000
        0.003523609774
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              J.P. MORGAN SECURITIES LLC
              ZBUT11V806EZRVTWT807
            
            -64715733.50000000
            PHP
            1325678.18000000
            USD
            2021-09-15
            33853.40000000
          
        
        
          N
          N
          N
        
      
      
        LEVEL 3 FINANCING INC
        254900AE5FEFIJOXWL19
        Level 3 Financing Inc
        527298BP7
        
          
          
        
        465000.00000000
        PA
        USD
        495029.55000000
        0.051524838311
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2027-03-01
          Fixed
          3.40000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Countrywide Asset-Backed Certi
        N/A
        CWABS Inc Asset-Backed Certificates Series 2004-1
        126671Z25
        
          
          
        
        28184.40000000
        PA
        USD
        28105.46000000
        0.002925339067
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2034-03-25
          Floating
          0.83925000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Banc of America Funding Corpor
        54930023UHZHF7UJ8596
        Banc of America Funding Corp
        05990QAA1
        
          
        
        2461944.09000000
        PA
        USD
        2449710.20000000
        0.254976540217
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2036-03-27
          Floating
          0.27925000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        AT&T INC
        549300Z40J86GGSTL398
        AT&T Inc
        00206RMF6
        
          
          
        
        1542000.00000000
        PA
        USD
        1555489.86000000
        0.161902180448
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2033-12-01
          Fixed
          2.55000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        IDR/USD FORWARD
        000000000
        
          
          
        
        1.00000000
        NC
        USD
        -2694.47000000
        -0.00028045220
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            -5582930000.00000000
            IDR
            382000.00000000
            USD
            2021-09-15
            -2694.47000000
          
        
        
          N
          N
          N
        
      
      
        DEUTSCHE BANK AKTIENGESELLSCHAFT
        7LTWFZYICNSX8D621K86
        USD/CNH FORWARD
        000000000
        
          
          
        
        1.00000000
        NC
        USD
        -23519.96000000
        -0.00244806019
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              DEUTSCHE BANK AKTIENGESELLSCHAFT
              7LTWFZYICNSX8D621K86
            
            -3290552.00000000
            CNY
            478000.00000000
            USD
            2022-01-28
            -23519.96000000
          
        
        
          N
          N
          N
        
      
      
        REPUBLIC OF INDONESIA
        529900FWX0GRR7WG5W79
        Indonesia Government International Bond
        000000000
        
          
          
        
        2655000.00000000
        PA
        
        3519559.27000000
        0.366331105514
        Long
        DBT
        NUSS
        ID
        N
        
        2
        
          2025-07-30
          Fixed
          3.37500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        J.P. MORGAN SECURITIES LLC
        ZBUT11V806EZRVTWT807
        CZK/USD FORWARD
        000000000
        
          
          
        
        1.00000000
        NC
        USD
        13087.40000000
        0.001362193769
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              J.P. MORGAN SECURITIES LLC
              ZBUT11V806EZRVTWT807
            
            -1171948.50000000
            USD
            25506297.85000000
            CZK
            2021-10-19
            13087.40000000
          
        
        
          N
          N
          N
        
      
      
        ARABIAN CENTRES SUKUK
        5493003T55GS691ILI42
        Arabian Centres Sukuk Ltd
        03847PAA3
        
          
          
        
        995000.00000000
        PA
        USD
        1031619.35000000
        0.107375449016
        Long
        DBT
        CORP
        KY
        
        N
        
        2
        
          2024-11-26
          Fixed
          5.37500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        J.P. MORGAN SECURITIES LLC
        ZBUT11V806EZRVTWT807
        KRW/USD FORWARD
        000000000
        
          
          
        
        1.00000000
        NC
        USD
        1112.27000000
        0.000115769921
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              J.P. MORGAN SECURITIES LLC
              ZBUT11V806EZRVTWT807
            
            -374000.00000000
            USD
            432833940.00000000
            KRW
            2021-09-15
            1112.27000000
          
        
        
          N
          N
          N
        
      
      
        UK CLEARING HOUSE LIMITED
        213800O8SCO4XJGBU385
        IRS NZD
        000000000
        
          
        
        1.00000000
        NC
        
        -44389.83000000
        -0.00462028744
        N/A
        DIR
        CORP
        GB
        
        N
        
        2
        
          
            
              UK CLEARING HOUSE LIMITED
              213800O8SCO4XJGBU385
            
            Y
            
            
              
                
              
            
            2030-02-14
            0.00000000
            USD
            0.00000000
            USD
            6000000.00000000
            NZD
            -44389.83000000
          
        
        
          N
          N
          N
        
      
      
        SAN ANTONIO TX ELEC & GAS REVE
        5493002G2FEH20Q4GQ04
        City of San Antonio TX Electric & Gas Systems Revenue
        796253Z21
        
          
          
        
        120000.00000000
        PA
        USD
        152499.60000000
        0.015872824627
        Long
        DBT
        MUN
        US
        N
        
        2
        
          2042-02-01
          Fixed
          4.42700000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        GSAMP Trust
        N/A
        GSAMP Trust 2004-AR1
        36228F6M3
        
          
        
        123483.18000000
        PA
        USD
        125897.26000000
        0.013103936856
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2034-06-25
          Floating
          1.28925000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        PEOPLE'S UNITED FIN INC
        ROPY7PEPIPIDJNF0BO69
        People's United Financial Inc
        712704AA3
        
          
          
        
        325000.00000000
        PA
        USD
        336138.39000000
        0.034986752194
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2022-12-06
          Fixed
          3.65000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        20 TSQ GroundCo LLC
        N/A
        20 Times Square Trust 2018-20TS
        90137LAN0
        
          
        
        2700000.00000000
        PA
        USD
        2503020.42000000
        0.260525300823
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2035-05-15
          Variable
          3.09990000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Brookside Mill CLO Ltd
        N/A
        Brookside Mill CLO Ltd 2013-1
        114521AM9
        
          
        
        4000000.00000000
        PA
        USD
        4003052.00000000
        0.416655141196
        Long
        ABS-CBDO
        CORP
        KY
        N
        
        2
        
          2028-01-17
          Floating
          1.48388000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        UK CLEARING HOUSE LIMITED
        213800O8SCO4XJGBU385
        IRS ZAR
        000000000
        
          
        
        1.00000000
        NC
        
        496672.76000000
        0.051695870787
        N/A
        DIR
        CORP
        GB
        
        N
        
        2
        
          
            
              UK CLEARING HOUSE LIMITED
              213800O8SCO4XJGBU385
            
            Y
            
            
              
                
              
            
            2030-03-18
            0.00000000
            USD
            0.00000000
            USD
            100000000.00000000
            ZAR
            496672.76000000
          
        
        
          N
          N
          N
        
      
      
        Credit Suisse AG
        ANGGYXNX0JLX3X63JN86
        CLP/USD FORWARD
        000000000
        
          
          
        
        1.00000000
        NC
        USD
        -3797.25000000
        -0.00039523436
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              Credit Suisse AG
              ANGGYXNX0JLX3X63JN86
            
            -431000.00000000
            USD
            324636400.00000000
            CLP
            2021-09-15
            -3797.25000000
          
        
        
          N
          N
          N
        
      
      
        UK CLEARING HOUSE LIMITED
        213800O8SCO4XJGBU385
        IRS ZAR
        000000000
        
          
        
        1.00000000
        NC
        
        -4852.87000000
        -0.00050510791
        N/A
        DIR
        CORP
        GB
        
        N
        
        2
        
          
            
              UK CLEARING HOUSE LIMITED
              213800O8SCO4XJGBU385
            
            Y
            
            
              
                
              
            
            2031-01-15
            0.00000000
            USD
            -80.87000000
            USD
            3800000.00000000
            ZAR
            -4772.00000000
          
        
        
          N
          N
          N
        
      
      
        BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
        549300EX04Q2QBFQTQ27
        US LONG BOND
        000000000
        
          
          
        
        -359.00000000
        NC
        USD
        -2533558.95000000
        -0.26370388444
        N/A
        DIR
        CORP
        US
        N
        
        1
        
          
            
              BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
              549300EX04Q2QBFQTQ27
            
            Short
            
              
                US TREASURY N/B
                United States Treasury Note/Bond
                
                  
                  
                  
                
              
            
            2021-09-21
            -56600472.30000000
            USD
            -2533558.95000000
          
        
        
          N
          N
          N
        
      
      
        BARCLAYS BANK PLC
        G5GSEF7VJP5I7OUK5573
        SWOP CDS CDX.NA.IG.36.V1
        000000000
        
          
        
        -21470000.00000000
        OU
        Other
        USD
        -9920.20000000
        -0.00103253775
        N/A
        DCR
        CORP
        GB
        
        N
        
        2
        
          
            
              BARCLAYS BANK PLC
              G5GSEF7VJP5I7OUK5573
            
            Call
            Written
            
              
                
                  
                    BARCLAYS BANK PLC
                    G5GSEF7VJP5I7OUK5573
                  
                  
                    BARCLAYS BANK PLC
                    G5GSEF7VJP5I7OUK5573
                    CDS CDX.NA.IG.36.V1
                    000000000
                    
                      
                    
                    0.00000000
                    NC
                    USD
                    0.00000000
                    0.00000000
                    DCR
                    CORP
                    GB
                    US
                  
                  
                    
                      IHS MARKIT LTD
                      CDX.NA.IG.36.V1
                      
                        
                        
                      
                    
                  
                  
                  Default Event
                  2026-06-20
                  0.00000000
                  USD
                  0.00000000
                  USD
                  N/A
                  N/A
                
              
            
            -21470000.00000000
            USD
            47.50000000
            USD
            2021-09-15
            XXXX
            3176.50000000
          
        
        
          N
          N
          N
        
      
      
        UNITED AIRLINES INC
        K1OQBWM7XEOO08LDNP29
        United Airlines Inc
        90932LAH0
        
          
          
        
        170000.00000000
        PA
        USD
        174928.46000000
        0.018207318366
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2029-04-15
          Fixed
          4.62500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        J.P. MORGAN SECURITIES LLC
        ZBUT11V806EZRVTWT807
        TWD/USD FORWARD
        000000000
        
          
          
        
        1.00000000
        NC
        USD
        277640.00000000
        0.028897984188
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              J.P. MORGAN SECURITIES LLC
              ZBUT11V806EZRVTWT807
            
            -164717020.00000000
            TWD
            6185393.17000000
            USD
            2021-09-30
            277640.00000000
          
        
        
          N
          N
          N
        
      
      
        FEL ENERGY VI SARL
        N/A
        FEL Energy VI Sarl
        30260LAA3
        
          
          
        
        1864906.91000000
        PA
        USD
        1973368.40000000
        0.205396804571
        Long
        DBT
        CORP
        LU
        
        N
        
        2
        
          2040-12-01
          Fixed
          5.75000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Specialty Underwriting & Resid
        N/A
        Specialty Underwriting & Residential Finance Trust Series 2003-BC4
        84751PBK4
        
          
        
        615582.15000000
        PA
        USD
        607005.49000000
        0.063179783361
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2034-11-25
          Floating
          0.98925000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        J.P. MORGAN SECURITIES LLC
        ZBUT11V806EZRVTWT807
        PLN/USD FORWARD
        000000000
        
          
          
        
        1.00000000
        NC
        USD
        -1409.55000000
        -0.00014671212
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              J.P. MORGAN SECURITIES LLC
              ZBUT11V806EZRVTWT807
            
            -1457452.94000000
            PLN
            377000.00000000
            USD
            2021-10-19
            -1409.55000000
          
        
        
          N
          N
          N
        
      
      
        CVS HEALTH CORP
        549300EJG376EN5NQE29
        CVS Health Corp
        126650CD0
        
          
          
        
        485000.00000000
        PA
        USD
        656795.20000000
        0.068362113905
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2043-12-05
          Fixed
          5.30000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Citigroup Mortgage Loan Trust
        549300R1KUK063S4I339
        Citigroup Mortgage Loan Trust Inc
        17307GNR5
        
          
        
        219815.64000000
        PA
        USD
        215270.73000000
        0.022406318080
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2035-02-25
          Floating
          0.71925000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        GREENKO DUTCH BV
        724500PT585P4JPVRP08
        Greenko Dutch BV
        39530LAD2
        
          
          
        
        1830000.00000000
        PA
        USD
        1844040.18000000
        0.191935758408
        Long
        DBT
        CORP
        NL
        
        N
        
        2
        
          2026-03-29
          Fixed
          3.85000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        SUZANO AUSTRIA GMBH
        254900287ZNSGVP1R341
        Suzano Austria GmbH
        86964WAF9
        
          
          
        
        1000000.00000000
        PA
        USD
        1191818.17000000
        0.124049642098
        Long
        DBT
        CORP
        AT
        
        N
        
        2
        
          2029-01-15
          Fixed
          6.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        TPC GROUP INC
        549300K276KVW5JD1583
        TPC Group Inc
        89236YAC8
        
          
        
        418918.00000000
        PA
        USD
        453822.58000000
        0.047235836843
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2024-08-01
          Fixed
          10.87500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        J.P. MORGAN SECURITIES LLC
        ZBUT11V806EZRVTWT807
        USD CALL VERSUS CNH PUT
        000000000
        
          
        
        10000000.00000000
        NC
        USD
        121339.19000000
        0.012629513017
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              J.P. MORGAN SECURITIES LLC
              ZBUT11V806EZRVTWT807
            
            Call
            Purchased
            
              
                
                  
                    J.P. MORGAN SECURITIES LLC
                    ZBUT11V806EZRVTWT807
                  
                  
                    J.P. MORGAN SECURITIES LLC
                    ZBUT11V806EZRVTWT807
                    USD CALL VERSUS CNH PUT
                    000000000
                    
                      
                    
                    0.00000000
                    NC
                    
                    0.00000000
                    0.00000000
                    DFE
                    CORP
                    US
                    US
                  
                  N/A
                  CNY
                  N/A
                  USD
                  2022-09-28
                
              
            
            10000000.00000000
            USD
            6.90000000
            USD
            2022-09-28
            XXXX
            -91798.81000000
          
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        ZAR/USD FORWARD
        000000000
        
          
          
        
        1.00000000
        NC
        USD
        3224.68000000
        0.000335638782
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            -6776329.10000000
            ZAR
            463000.00000000
            USD
            2021-09-15
            3224.68000000
          
        
        
          N
          N
          N
        
      
      
        CALPINE CORP
        43R4VPJBXTU2O15HEF41
        Calpine Corp
        131347CP9
        
          
          
        
        1500000.00000000
        PA
        USD
        1489421.39000000
        0.155025485442
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2029-02-01
          Fixed
          4.62500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Bank of America, National Association
        B4TYDEB6GKMZO031MB27
        ILS/USD FORWARD
        000000000
        
          
          
        
        1.00000000
        NC
        USD
        16681.68000000
        0.001736302135
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              Bank of America, National Association
              B4TYDEB6GKMZO031MB27
            
            -1615528.46000000
            USD
            5275240.00000000
            ILS
            2021-08-31
            16681.68000000
          
        
        
          N
          N
          N
        
      
      
        Citibank, National Association
        E57ODZWZ7FF32TWEFA76
        JPY/USD FORWARD
        000000000
        
          
          
        
        1.00000000
        NC
        USD
        159584.30000000
        0.016610231155
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              Citibank, National Association
              E57ODZWZ7FF32TWEFA76
            
            -293863610.00000000
            JPY
            2846550.20000000
            USD
            2022-05-31
            159584.30000000
          
        
        
          N
          N
          N
        
      
      
        Banc of America Funding Corpor
        N/A
        Banc of America Funding 2014-R2 Trust
        05968KAE4
        
          
        
        126665.03000000
        PA
        USD
        126183.92000000
        0.013133773681
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2037-05-26
          Floating
          0.29613000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        JPMORGAN CHASE & CO
        8I5DZWZKVSZI1NUHU748
        JPMorgan Chase & Co
        48128BAG6
        
          
          
        
        15325000.00000000
        PA
        USD
        15852044.68000000
        1.649950066698
        Long
        DBT
        CORP
        US
        N
        
        2
        
          N/A
          Fixed
          4.60000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase Bank, National Association
        7H6GLXDRUGQFU57RNE97
        MXN/USD FORWARD
        000000000
        
          
          
        
        1.00000000
        NC
        USD
        303843.22000000
        0.031625329806
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              JPMorgan Chase Bank, National Association
              7H6GLXDRUGQFU57RNE97
            
            -3006697.59000000
            USD
            72679397.46000000
            MXN
            2023-04-28
            303843.22000000
          
        
        
          N
          N
          N
        
      
      
        BARCLAYS PLC
        213800LBQA1Y9L22JB70
        ZAR/USD FORWARD
        000000000
        
          
          
        
        1.00000000
        NC
        USD
        3585.09000000
        0.000373151830
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              BARCLAYS PLC
              213800LBQA1Y9L22JB70
            
            -280000.00000000
            USD
            4187564.92000000
            ZAR
            2021-09-30
            3585.09000000
          
        
        
          N
          N
          N
        
      
      
        GOLDMAN SACHS INTERNATIONAL
        W22LROWP2IHZNBB6K528
        CDS CASINO GUICHARD PERRACHON SA
        000000000
        
          
        
        1.00000000
        NC
        
        4869.24000000
        0.000506811772
        N/A
        DCR
        CORP
        GB
        
        N
        
        2
        
          
            
              GOLDMAN SACHS INTERNATIONAL
              W22LROWP2IHZNBB6K528
            
            
              
                Casino Guichard Perrachon SA
                CASINO GUICHARD PERRACHO
                
                  
                  
                  
                
              
            
            Y
            
            Default Event
            2024-06-20
            4252.31000000
            USD
            0.00000000
            USD
            220000.00000000
            EUR
            616.93000000
          
        
        
          N
          N
          N
        
      
      
        BARCLAYS PLC
        213800LBQA1Y9L22JB70
        USD/PHP FORWARD
        000000000
        
          
          
        
        1.00000000
        NC
        USD
        12058.60000000
        0.001255111771
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              BARCLAYS PLC
              213800LBQA1Y9L22JB70
            
            -24544286.00000000
            PHP
            502000.00000000
            USD
            2021-09-15
            12058.60000000
          
        
        
          N
          N
          N
        
      
      
        GOLDMAN SACHS & CO. LLC
        FOR8UP27PHTHYVLBNG30
        USD/PLN FORWARD
        000000000
        
          
          
        
        1.00000000
        NC
        USD
        -1176.95000000
        -0.00012250209
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              GOLDMAN SACHS & CO. LLC
              FOR8UP27PHTHYVLBNG30
            
            -821055.86000000
            PLN
            212000.00000000
            USD
            2021-10-19
            -1176.95000000
          
        
        
          N
          N
          N
        
      
      
        Carlyle Global Market Strategi
        N/A
        Carlyle Euro CLO 2019-1 DAC
        000000000
        
          
        
        6500000.00000000
        PA
        
        7720168.44000000
        0.803548860076
        Long
        ABS-CBDO
        CORP
        IE
        N
        
        2
        
          2032-03-15
          Fixed
          2.10000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BNP PARIBAS SECURITIES CORP.
        RCNB6OTYUAMMP879YW96
        AUD/JPY FORWARD
        000000000
        
          
          
        
        1.00000000
        NC
        USD
        -67371.99000000
        -0.00701237106
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              BNP PARIBAS SECURITIES CORP.
              RCNB6OTYUAMMP879YW96
            
            -3510000.00000000
            AUD
            274920750.00000000
            JPY
            2022-01-28
            -67371.99000000
          
        
        
          N
          N
          N
        
      
      
        DEUTSCHE BANK AKTIENGESELLSCHAFT
        7LTWFZYICNSX8D621K86
        USD/JPY FORWARD
        000000000
        
          
          
        
        1.00000000
        NC
        USD
        -615612.91000000
        -0.06407568123
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              DEUTSCHE BANK AKTIENGESELLSCHAFT
              7LTWFZYICNSX8D621K86
            
            -5220000.00000000
            USD
            498249000.00000000
            JPY
            2023-10-31
            -615612.91000000
          
        
        
          N
          N
          N
        
      
      
        Citibank, National Association
        E57ODZWZ7FF32TWEFA76
        TWD/USD FORWARD
        000000000
        
          
          
        
        1.00000000
        NC
        USD
        -10267.64000000
        -0.00106870082
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              Citibank, National Association
              E57ODZWZ7FF32TWEFA76
            
            -789306.99000000
            USD
            21612804.00000000
            TWD
            2021-12-23
            -10267.64000000
          
        
        
          N
          N
          N
        
      
      
        Hertz Vehicle Financing LLC
        N/A
        Hertz Vehicle Financing III LP
        42806MAG4
        
          
        
        100000.00000000
        PA
        USD
        101747.27000000
        0.010590300387
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2027-12-27
          Fixed
          2.52000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BNP PARIBAS SECURITIES CORP.
        RCNB6OTYUAMMP879YW96
        USD CALL VERSUS ILS PUT
        000000000
        
          
        
        -10000000.00000000
        NC
        USD
        -2001.24000000
        -0.00020829780
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              BNP PARIBAS SECURITIES CORP.
              RCNB6OTYUAMMP879YW96
            
            Call
            Written
            
              
                
                  
                    BNP PARIBAS SECURITIES CORP.
                    RCNB6OTYUAMMP879YW96
                  
                  
                    BNP PARIBAS SECURITIES CORP.
                    RCNB6OTYUAMMP879YW96
                    USD CALL VERSUS ILS PUT
                    000000000
                    
                      
                    
                    0.00000000
                    NC
                    
                    0.00000000
                    0.00000000
                    DFE
                    CORP
                    US
                    US
                  
                  N/A
                  ILS
                  N/A
                  USD
                  2021-08-27
                
              
            
            -10000000.00000000
            USD
            3.40000000
            USD
            2021-08-27
            XXXX
            92259.91000000
          
        
        
          N
          N
          N
        
      
      
        MARKEL CORPORATION
        549300SCNO12JLWIK605
        Markel Corp
        570535AP9
        
          
          
        
        3125000.00000000
        PA
        USD
        3918499.13000000
        0.407854509081
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2043-03-30
          Fixed
          5.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        DEUTSCHE BANK AKTIENGESELLSCHAFT
        7LTWFZYICNSX8D621K86
        USD/MXN FORWARD
        000000000
        
          
          
        
        1.00000000
        NC
        USD
        -34527.71000000
        -0.00359379490
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              DEUTSCHE BANK AKTIENGESELLSCHAFT
              7LTWFZYICNSX8D621K86
            
            -16100625.00000000
            MXN
            750000.00000000
            USD
            2022-02-25
            -34527.71000000
          
        
        
          N
          N
          N
        
      
      
        CHICAGO MERCANTILE EXCHANGE INC.
        SNZ2OJLFK8MNNCLQOF39
        IRS BRL
        000000000
        
          
        
        1.00000000
        NC
        
        -251901.45000000
        -0.02621900345
        N/A
        DIR
        CORP
        US
        
        N
        
        2
        
          
            
              CHICAGO MERCANTILE EXCHANGE INC.
              SNZ2OJLFK8MNNCLQOF39
            
            Y
            
            
              
                
              
            
            2025-01-02
            0.00000000
            USD
            0.00000000
            USD
            24232753.88000000
            BRL
            -251901.45000000
          
        
        
          N
          N
          N
        
      
      
        GS Mortgage Securities Corp.
        N/A
        GSMSC Resecuritization Trust 2015-3R
        36250FAQ0
        
          
        
        771897.23000000
        PA
        USD
        766770.37000000
        0.079808810072
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2037-01-26
          Floating
          0.22925000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        US TREASURY N/B
        254900HROIFWPRGM1V77
        United States Treasury Note/Bond
        912828Z52
        
          
          
        
        32840000.00000000
        PA
        USD
        33891906.25000000
        3.527617673716
        Long
        DBT
        UST
        US
        N
        
        2
        
          2025-01-31
          Fixed
          1.37500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        J.P. MORGAN SECURITIES LLC
        ZBUT11V806EZRVTWT807
        USD/KRW FORWARD
        000000000
        
          
          
        
        1.00000000
        NC
        USD
        28931.12000000
        0.003011277367
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              J.P. MORGAN SECURITIES LLC
              ZBUT11V806EZRVTWT807
            
            -4699093600.00000000
            KRW
            4099000.00000000
            USD
            2021-10-29
            28931.12000000
          
        
        
          N
          N
          N
        
      
      
        BARCLAYS BANK PLC
        G5GSEF7VJP5I7OUK5573
        CDS PETROLEOS MEXICANOS
        000000000
        
          
        
        1.00000000
        NC
        USD
        -69832.85000000
        -0.00726850812
        N/A
        DCR
        CORP
        GB
        
        N
        
        2
        
          
            
              BARCLAYS BANK PLC
              G5GSEF7VJP5I7OUK5573
            
            
              
                PETROLEOS MEXICANOS
                PETROLEOS MEXICANOS
                
                  
                  
                  
                
              
            
            Y
            
            Default Event
            2024-12-20
            0.00000000
            USD
            -35358.77000000
            USD
            1000000.00000000
            USD
            -34474.08000000
          
        
        
          N
          N
          N
        
      
      
        US TREASURY N/B
        254900HROIFWPRGM1V77
        United States Treasury Note/Bond
        912810RC4
        
          
          
        
        1570000.00000000
        PA
        USD
        2081476.56000000
        0.216649174181
        Long
        DBT
        UST
        US
        N
        
        2
        
          2043-08-15
          Fixed
          3.62500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        GOLDMAN SACHS & CO. LLC
        FOR8UP27PHTHYVLBNG30
        USD CALL VERSUS INR PUT
        000000000
        
          
        
        35500000.00000000
        NC
        USD
        367.62000000
        0.000038263495
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              GOLDMAN SACHS & CO. LLC
              FOR8UP27PHTHYVLBNG30
            
            Call
            Purchased
            
              
                
                  
                    GOLDMAN SACHS & CO. LLC
                    FOR8UP27PHTHYVLBNG30
                  
                  
                    GOLDMAN SACHS & CO. LLC
                    FOR8UP27PHTHYVLBNG30
                    USD CALL VERSUS INR PUT
                    000000000
                    
                      
                    
                    0.00000000
                    NC
                    
                    0.00000000
                    0.00000000
                    DFE
                    CORP
                    US
                    US
                  
                  N/A
                  INR
                  N/A
                  CNY
                  2021-09-28
                
              
            
            35500000.00000000
            USD
            88.00000000
            USD
            2021-09-28
            XXXX
            -182226.63000000
          
        
        
          N
          N
          N
        
      
      
        CHICAGO MERCANTILE EXCHANGE INC.
        SNZ2OJLFK8MNNCLQOF39
        IRS MXN
        000000000
        
          
        
        1.00000000
        NC
        
        -158295.79000000
        -0.01647611740
        N/A
        DIR
        CORP
        US
        
        N
        
        2
        
          
            
              CHICAGO MERCANTILE EXCHANGE INC.
              SNZ2OJLFK8MNNCLQOF39
            
            Y
            
            
              
                
              
            
            2031-01-13
            0.00000000
            USD
            -42.92000000
            USD
            32290000.00000000
            MXN
            -158252.87000000
          
        
        
          N
          N
          N
        
      
      
        GOVT OF BERMUDA
        549300FP5PUZXX9FVJ40
        Bermuda Government International Bond
        085209AG9
        
          
          
        
        685000.00000000
        PA
        USD
        688685.55000000
        0.071681400859
        Long
        DBT
        NUSS
        BM
        N
        
        2
        
          2030-08-20
          Fixed
          2.37500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Long Beach Mortgage Loan Trust
        N/A
        Long Beach Mortgage Loan Trust 2004-2
        542514FT6
        
          
        
        722133.78000000
        PA
        USD
        704509.17000000
        0.073328392361
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2034-06-25
          Floating
          0.52925000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        UK CLEARING HOUSE LIMITED
        213800O8SCO4XJGBU385
        IRS IFS USD
        000000000
        
          
        
        1.00000000
        NC
        USD
        -102338.52000000
        -0.01065184027
        N/A
        DIR
        CORP
        GB
        
        N
        
        2
        
          
            
              UK CLEARING HOUSE LIMITED
              213800O8SCO4XJGBU385
            
            Y
            
            
              
                
              
            
            2031-04-07
            0.00000000
            USD
            0.00000000
            USD
            3710000.00000000
            USD
            -102338.52000000
          
        
        
          N
          N
          N
        
      
      
        BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
        549300EX04Q2QBFQTQ27
        5 YEAR US TREASURY NOTE
        000000000
        
          
          
        
        107.00000000
        NC
        USD
        114901.95000000
        0.011959496954
        N/A
        DIR
        CORP
        US
        N
        
        1
        
          
            
              BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
              549300EX04Q2QBFQTQ27
            
            Long
            
              
                US TREASURY N/B
                UNITED STATES TREASURY NOTE/BOND
                
                  
                  
                  
                
              
            
            2021-09-30
            13200746.22000000
            USD
            114901.95000000
          
        
        
          N
          N
          N
        
      
      
        BX Trust
        N/A
        BX Commercial Mortgage Trust 2020-BXLP
        05607QBA5
        
          
        
        3790935.69500000
        PA
        USD
        3795686.50000000
        0.395071633991
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2036-12-15
          Floating
          2.59300000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        LINCOLN NATIONAL CORP
        EFQMQROEDSNBRIP7LE47
        Lincoln National Corp
        534187BA6
        
          
          
        
        695000.00000000
        PA
        USD
        1090396.78000000
        0.113493260724
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2040-06-15
          Fixed
          7.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        TEACHERS INSUR & ANNUITY
        O06XD7BJ4EPXNABVFN69
        Teachers Insurance & Annuity Association of America
        878091BD8
        
          
          
        
        1950000.00000000
        PA
        USD
        2592080.91000000
        0.269795105721
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2044-09-15
          Fixed
          4.90000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        ANTHEM INC
        8MYN82XMYQH89CTMTH67
        Anthem Inc
        94973VBF3
        
          
          
        
        515000.00000000
        PA
        USD
        692135.71000000
        0.072040508586
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2044-01-15
          Fixed
          5.10000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        DEUTSCHE BANK AKTIENGESELLSCHAFT
        7LTWFZYICNSX8D621K86
        JPY/USD FORWARD
        000000000
        
          
          
        
        1.00000000
        NC
        USD
        -75462.23000000
        -0.00785443858
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              DEUTSCHE BANK AKTIENGESELLSCHAFT
              7LTWFZYICNSX8D621K86
            
            -6130000.00000000
            USD
            662162600.00000000
            JPY
            2022-05-31
            -75462.23000000
          
        
        
          N
          N
          N
        
      
      
        Morgan Stanley BAML Trust
        N/A
        Morgan Stanley Bank of America Merrill Lynch Trust 2012-C5
        61761AAC2
        
          
        
        65968000.00000000
        PA
        USD
        150374.06000000
        0.015651589137
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2045-08-15
          Variable
          0.21952600
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BANK OF AMERICA CORP
        9DJT3UXIJIZJI4WXO774
        Bank of America Corp
        06051GHM4
        
          
          
        
        1450000.00000000
        PA
        USD
        1672557.75000000
        0.174087117900
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2029-07-23
          Fixed
          4.27100000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BANK OF AMERICA CORP
        9DJT3UXIJIZJI4WXO774
        Bank of America Corp
        060505FP4
        
          
          
        
        6850000.00000000
        PA
        USD
        7279466.57000000
        0.757678684053
        Long
        DBT
        CORP
        US
        N
        
        2
        
          N/A
          Fixed
          5.12500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. INTERNATIONAL PLC
        4PQUHN3JPFGFNF3BB653
        CDS CMBX.NA.13.AAA
        000000000
        
          
        
        1.00000000
        NC
        USD
        -93902.43000000
        -0.00977377516
        N/A
        DCR
        CORP
        GB
        
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. INTERNATIONAL PLC
              4PQUHN3JPFGFNF3BB653
            
            
              
                IHS MARKIT LTD
                CMBX.NA.13.AAA
                
                  
                  
                
              
            
            Y
            Default Event
            
            2072-12-16
            700852.21000000
            USD
            0.00000000
            USD
            -25000000.00000000
            USD
            -794754.64000000
          
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase Bank, National Association
        7H6GLXDRUGQFU57RNE97
        USD/AUD FORWARD
        000000000
        
          
          
        
        1.00000000
        NC
        USD
        127004.35000000
        0.013219167620
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              JPMorgan Chase Bank, National Association
              7H6GLXDRUGQFU57RNE97
            
            -2208096.60000000
            USD
            3180000.00000000
            AUD
            2023-10-31
            127004.35000000
          
        
        
          N
          N
          N
        
      
      
        JEFFERIES GROUP LLC
        NY9Q8VBNB6D1L6YV0J84
        Jefferies Group LLC
        472319AM4
        
          
          
        
        175000.00000000
        PA
        USD
        245536.47000000
        0.025556508528
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2043-01-20
          Fixed
          6.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BANK OF AMERICA CORPORATION
        9DJT3UXIJIZJI4WXO774
        BRL/USD FORWARD
        000000000
        
          
          
        
        1.00000000
        NC
        USD
        -4086137.41000000
        -0.42530303366
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              BANK OF AMERICA CORPORATION
              9DJT3UXIJIZJI4WXO774
            
            -24023000.00000000
            USD
            104687468.60000000
            BRL
            2021-09-30
            -4086137.41000000
          
        
        
          N
          N
          N
        
      
      
        ENERGY TRANSFER LP
        MTLVN9N7JE8MIBIJ1H73
        Energy Transfer LP
        29273RBF5
        
          
          
        
        55000.00000000
        PA
        USD
        63979.29000000
        0.006659244023
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2045-03-15
          Fixed
          5.15000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        GOLDMAN SACHS & CO. LLC
        FOR8UP27PHTHYVLBNG30
        USD/JPY FORWARD
        000000000
        
          
          
        
        1.00000000
        NC
        USD
        -893835.07000000
        -0.09303425918
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              GOLDMAN SACHS & CO. LLC
              FOR8UP27PHTHYVLBNG30
            
            -8971000.00000000
            USD
            874044530.00000000
            JPY
            2023-10-31
            -893835.07000000
          
        
        
          N
          N
          N
        
      
      
        CITIBANK NA
        E57ODZWZ7FF32TWEFA76
        CDS UNITED MEXICAN STATES
        000000000
        
          
        
        1.00000000
        NC
        USD
        -3116.69000000
        -0.00032439871
        N/A
        DCR
        CORP
        US
        N
        
        2
        
          
            
              CITIBANK NA
              E57ODZWZ7FF32TWEFA76
            
            
              
                UNITED MEXICAN STATES
                Mexico Government International Bond
                
                  
                  
                  
                
              
            
            Y
            Default Event
            
            2023-06-20
            574.63000000
            USD
            0.00000000
            USD
            -240000.00000000
            USD
            -3691.32000000
          
        
        
          N
          N
          N
        
      
      
        J.P. MORGAN SECURITIES LLC
        ZBUT11V806EZRVTWT807
        USD/GBP FORWARD
        000000000
        
          
          
        
        1.00000000
        NC
        USD
        -52082.92000000
        -0.00542101786
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              J.P. MORGAN SECURITIES LLC
              ZBUT11V806EZRVTWT807
            
            -625000.00000000
            GBP
            817100.00000000
            USD
            2022-01-28
            -52082.92000000
          
        
        
          N
          N
          N
        
      
      
        CHICAGO MERCANTILE EXCHANGE INC.
        SNZ2OJLFK8MNNCLQOF39
        IRS MXN
        000000000
        
          
        
        1.00000000
        NC
        
        -147364.90000000
        -0.01533838261
        N/A
        DIR
        CORP
        US
        
        N
        
        2
        
          
            
              CHICAGO MERCANTILE EXCHANGE INC.
              SNZ2OJLFK8MNNCLQOF39
            
            Y
            
            
              
                
              
            
            2033-01-03
            0.00000000
            USD
            -48.55000000
            USD
            28860000.00000000
            MXN
            -147316.35000000
          
        
        
          N
          N
          N
        
      
      
        BARCLAYS PLC
        213800LBQA1Y9L22JB70
        USD/JPY FORWARD
        000000000
        
          
          
        
        1.00000000
        NC
        USD
        6943.87000000
        0.000722748326
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              BARCLAYS PLC
              213800LBQA1Y9L22JB70
            
            -1585950.91000000
            USD
            174635240.00000000
            JPY
            2021-10-19
            6943.87000000
          
        
        
          N
          N
          N
        
      
      
        BARCLAYS PLC
        213800LBQA1Y9L22JB70
        USD/JPY FORWARD
        000000000
        
          
          
        
        1.00000000
        NC
        USD
        -11220.10000000
        -0.00116783702
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              BARCLAYS PLC
              213800LBQA1Y9L22JB70
            
            -189866143.00000000
            JPY
            1720599.82000000
            USD
            2021-10-19
            -11220.10000000
          
        
        
          N
          N
          N
        
      
      
        GOLDMAN SACHS INTERNATIONAL
        W22LROWP2IHZNBB6K528
        CDS HOST HOTELS & RESORTS LP
        000000000
        
          
        
        1.00000000
        NC
        USD
        4594.66000000
        0.000478232286
        N/A
        DCR
        CORP
        GB
        
        N
        
        2
        
          
            
              GOLDMAN SACHS INTERNATIONAL
              W22LROWP2IHZNBB6K528
            
            
              
                HOST HOTELS & RESORTS LP
                Host Hotels & Resorts LP
                
                  
                  
                  
                
              
            
            Y
            
            Default Event
            2024-06-20
            5593.32000000
            USD
            0.00000000
            USD
            500000.00000000
            USD
            -998.66000000
          
        
        
          N
          N
          N
        
      
      
        BARCLAYS CAPITAL INC.
        AC28XWWI3WIBK2824319
        USD CALL VERSUS MXN PUT
        000000000
        
          
        
        -34500000.00000000
        NC
        USD
        -82005.80000000
        -0.00853552194
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              BARCLAYS CAPITAL INC.
              AC28XWWI3WIBK2824319
            
            Call
            Written
            
              
                
                  
                    BARCLAYS CAPITAL INC.
                    AC28XWWI3WIBK2824319
                  
                  
                    BARCLAYS CAPITAL INC.
                    AC28XWWI3WIBK2824319
                    USD CALL VERSUS MXN PUT
                    000000000
                    
                      
                    
                    0.00000000
                    NC
                    
                    0.00000000
                    0.00000000
                    DFE
                    CORP
                    US
                    US
                  
                  N/A
                  MXN
                  N/A
                  USD
                  2022-02-23
                
              
            
            -34500000.00000000
            USD
            26.00000000
            USD
            2022-02-23
            XXXX
            1321454.20000000
          
        
        
          N
          N
          N
        
      
      
        Credit Suisse AG
        ANGGYXNX0JLX3X63JN86
        USD/INR FORWARD
        000000000
        
          
          
        
        1.00000000
        NC
        USD
        1804.51000000
        0.000187821284
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              Credit Suisse AG
              ANGGYXNX0JLX3X63JN86
            
            -856000.00000000
            USD
            64135968.00000000
            INR
            2021-09-15
            1804.51000000
          
        
        
          N
          N
          N
        
      
      
        HSBC SECURITIES (USA) INC.
        CYYGQCGNHMHPSMRL3R97
        ZAR/USD FORWARD
        000000000
        
          
          
        
        1.00000000
        NC
        USD
        11598.43000000
        0.001207215267
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              HSBC SECURITIES (USA) INC.
              CYYGQCGNHMHPSMRL3R97
            
            -8259394.00000000
            ZAR
            572000.00000000
            USD
            2021-09-15
            11598.43000000
          
        
        
          N
          N
          N
        
      
      
        DEUTSCHE BANK AKTIENGESELLSCHAFT
        7LTWFZYICNSX8D621K86
        TWD CALL VERSUS USD PUT
        000000000
        
          
        
        -20000000.00000000
        NC
        USD
        -18549.23000000
        -0.00193068489
        N/A
        DFE
        CORP
        DE
        
        N
        
        2
        
          
            
              DEUTSCHE BANK AKTIENGESELLSCHAFT
              7LTWFZYICNSX8D621K86
            
            Put
            Written
            
              
                
                  
                    DEUTSCHE BANK AKTIENGESELLSCHAFT
                    7LTWFZYICNSX8D621K86
                  
                  
                    DEUTSCHE BANK AKTIENGESELLSCHAFT
                    7LTWFZYICNSX8D621K86
                    TWD CALL VERSUS USD PUT
                    000000000
                    
                      
                    
                    0.00000000
                    NC
                    USD
                    0.00000000
                    0.00000000
                    DFE
                    CORP
                    DE
                    US
                  
                  N/A
                  USD
                  N/A
                  TWD
                  2021-12-21
                
              
            
            -20000000.00000000
            USD
            25.80000000
            USD
            2021-12-21
            XXXX
            41910.77000000
          
        
        
          N
          N
          N
        
      
      
        DEUTSCHE BANK AKTIENGESELLSCHAFT
        7LTWFZYICNSX8D621K86
        JPY/USD FORWARD
        000000000
        
          
          
        
        1.00000000
        NC
        USD
        128301.03000000
        0.013354131740
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              DEUTSCHE BANK AKTIENGESELLSCHAFT
              7LTWFZYICNSX8D621K86
            
            -349392515.00000000
            JPY
            3323000.00000000
            USD
            2022-05-31
            128301.03000000
          
        
        
          N
          N
          N
        
      
      
        GOLDMAN SACHS INTERNATIONAL
        W22LROWP2IHZNBB6K528
        CDS SIMON PROPERTY GROUP LP
        000000000
        
          
        
        1.00000000
        NC
        USD
        32758.44000000
        0.003409641554
        N/A
        DCR
        CORP
        GB
        
        N
        
        2
        
          
            
              GOLDMAN SACHS INTERNATIONAL
              W22LROWP2IHZNBB6K528
            
            
              
                SIMON PROPERTY GROUP LP
                Simon Property Group LP
                
                  
                  
                  
                
              
            
            Y
            
            Default Event
            2026-06-20
            22470.46000000
            USD
            0.00000000
            USD
            1980000.00000000
            USD
            10287.98000000
          
        
        
          N
          N
          N
        
      
      
        BARCLAYS BANK PLC
        G5GSEF7VJP5I7OUK5573
        SWOP CDS CDX.NA.IG.36.V1
        000000000
        
          
        
        21470000.00000000
        OU
        Other
        USD
        44031.97000000
        0.004583039810
        N/A
        DCR
        CORP
        GB
        
        N
        
        2
        
          
            
              BARCLAYS BANK PLC
              G5GSEF7VJP5I7OUK5573
            
            Put
            Purchased
            
              
                
                  
                    BARCLAYS BANK PLC
                    G5GSEF7VJP5I7OUK5573
                  
                  
                    BARCLAYS BANK PLC
                    G5GSEF7VJP5I7OUK5573
                    CDS CDX.NA.IG.36.V1
                    000000000
                    
                      
                    
                    0.00000000
                    NC
                    USD
                    0.00000000
                    0.00000000
                    DCR
                    CORP
                    GB
                    US
                  
                  
                    
                      IHS MARKIT LTD
                      CDX.NA.IG.36.V1
                      
                        
                        
                      
                    
                  
                  
                  Default Event
                  2026-06-20
                  0.00000000
                  USD
                  0.00000000
                  USD
                  N/A
                  N/A
                
              
            
            21470000.00000000
            USD
            52.50000000
            USD
            2021-10-20
            XXXX
            3238.97000000
          
        
        
          N
          N
          N
        
      
      
        STANDARD CHARTERED SECURITIES (NORTH AMERICA) LLC
        5493003GCX71N8988W38
        USD/PHP FORWARD
        000000000
        
          
          
        
        1.00000000
        NC
        USD
        20537.93000000
        0.002137677483
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              STANDARD CHARTERED SECURITIES (NORTH AMERICA) LLC
              5493003GCX71N8988W38
            
            -59687926.00000000
            PHP
            1212000.00000000
            USD
            2021-09-15
            20537.93000000
          
        
        
          N
          N
          N
        
      
      
        CHICAGO MERCANTILE EXCHANGE INC.
        SNZ2OJLFK8MNNCLQOF39
        IRS COP
        000000000
        
          
        
        1.00000000
        NC
        
        -35813.93000000
        -0.00372767030
        N/A
        DIR
        CORP
        US
        
        N
        
        2
        
          
            
              CHICAGO MERCANTILE EXCHANGE INC.
              SNZ2OJLFK8MNNCLQOF39
            
            Y
            
            
              
                
              
            
            2030-02-18
            0.00000000
            USD
            0.00000000
            USD
            5472000000.00000000
            COP
            -35813.93000000
          
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        MXN/USD FORWARD
        000000000
        
          
          
        
        1.00000000
        NC
        USD
        -12435.07000000
        -0.00129429641
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            -11747771.00000000
            MXN
            574000.00000000
            USD
            2021-09-15
            -12435.07000000
          
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        BRL/USD FORWARD
        000000000
        
          
          
        
        1.00000000
        NC
        USD
        -13054.67000000
        -0.00135878708
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            -2209934.05000000
            USD
            11494530.00000000
            BRL
            2021-09-02
            -13054.67000000
          
        
        
          N
          N
          N
        
      
      
        DEUTSCHE BANK AKTIENGESELLSCHAFT
        7LTWFZYICNSX8D621K86
        USD/BRL FORWARD
        000000000
        
          
          
        
        1.00000000
        NC
        USD
        407065.72000000
        0.042369178577
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              DEUTSCHE BANK AKTIENGESELLSCHAFT
              7LTWFZYICNSX8D621K86
            
            -4434000.00000000
            USD
            25947768.00000000
            BRL
            2022-01-28
            407065.72000000
          
        
        
          N
          N
          N
        
      
      
        THE TORONTO-DOMINION BANK
        PT3QB789TSUIDF371261
        USD/ZAR FORWARD
        000000000
        
          
          
        
        1.00000000
        NC
        USD
        220955.75000000
        0.022998039799
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              THE TORONTO-DOMINION BANK
              PT3QB789TSUIDF371261
            
            -56787052.00000000
            ZAR
            4073968.86000000
            USD
            2021-09-15
            220955.75000000
          
        
        
          N
          N
          N
        
      
      
        DEUTSCHE BANK AKTIENGESELLSCHAFT
        7LTWFZYICNSX8D621K86
        SWOP CDS CDX.NA.IG.36.V1
        000000000
        
          
        
        -27100000.00000000
        OU
        Other
        USD
        -5326.54000000
        -0.00055440955
        N/A
        DCR
        CORP
        DE
        
        N
        
        2
        
          
            
              DEUTSCHE BANK AKTIENGESELLSCHAFT
              7LTWFZYICNSX8D621K86
            
            Call
            Written
            
              
                
                  
                    DEUTSCHE BANK AKTIENGESELLSCHAFT
                    7LTWFZYICNSX8D621K86
                  
                  
                    DEUTSCHE BANK AKTIENGESELLSCHAFT
                    7LTWFZYICNSX8D621K86
                    CDS CDX.NA.IG.36.V1
                    000000000
                    
                      
                    
                    0.00000000
                    NC
                    USD
                    0.00000000
                    0.00000000
                    DCR
                    CORP
                    DE
                    US
                  
                  
                    
                      IHS MARKIT LTD
                      CDX.NA.IG.36.V1
                      
                        
                        
                      
                    
                  
                  
                  Default Event
                  2026-06-20
                  0.00000000
                  USD
                  0.00000000
                  USD
                  N/A
                  N/A
                
              
            
            -27100000.00000000
            USD
            47.50000000
            USD
            2021-08-18
            XXXX
            18385.96000000
          
        
        
          N
          N
          N
        
      
      
        COOPER-STANDARD AUTOMOTI
        ITCH5B3Q4RTX2PH9UN62
        Cooper-Standard Automotive Inc
        216762AF1
        
          
          
        
        1800000.00000000
        PA
        USD
        1658350.44000000
        0.172608359004
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2026-11-15
          Fixed
          5.62500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        AUD/JPY FORWARD
        000000000
        
          
          
        
        1.00000000
        NC
        USD
        -978684.46000000
        -0.10186575439
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            -9489000.00000000
            AUD
            648098700.00000000
            JPY
            2023-10-31
            -978684.46000000
          
        
        
          N
          N
          N
        
      
      
        J.P. MORGAN SECURITIES LLC
        ZBUT11V806EZRVTWT807
        AUD/USD FORWARD
        000000000
        
          
          
        
        1.00000000
        NC
        USD
        3902.14000000
        0.000406151779
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              J.P. MORGAN SECURITIES LLC
              ZBUT11V806EZRVTWT807
            
            -899000.00000000
            AUD
            663876.62000000
            USD
            2021-10-19
            3902.14000000
          
        
        
          N
          N
          N
        
      
      
        COMM Mortgage Trust
        N/A
        COMM 2012-CCRE1 Mortgage Trust
        12624BAE6
        
          
        
        8469202.01000000
        PA
        USD
        57527.05000000
        0.005987666695
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2045-05-15
          Variable
          1.85690900
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BANK OF AMERICA CORPORATION
        9DJT3UXIJIZJI4WXO774
        CDS BOEING CO
        000000000
        
          
        
        1.00000000
        NC
        USD
        18042.75000000
        0.001877968247
        N/A
        DCR
        CORP
        US
        N
        
        2
        
          
            
              BANK OF AMERICA CORPORATION
              9DJT3UXIJIZJI4WXO774
            
            
              
                BOEING CO/THE
                BOEING CO/THE
                
                  
                  
                  
                
              
            
            Y
            
            Default Event
            2021-12-20
            11056.57000000
            USD
            0.00000000
            USD
            5300000.00000000
            USD
            6986.18000000
          
        
        
          N
          N
          N
        
      
      
        AT&T INC
        549300Z40J86GGSTL398
        AT&T Inc
        00206RMC3
        
          
          
        
        929000.00000000
        PA
        USD
        958810.96000000
        0.099797233690
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2053-09-15
          Fixed
          3.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        THERMO FISHER SCIENTIFIC
        HCHV7422L5HDJZCRFL38
        Thermo Fisher Scientific Inc
        000000000
        
          
          
        
        1250000.00000000
        PA
        
        1605897.81000000
        0.167148860112
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2039-10-01
          Fixed
          1.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        DEUTSCHE BANK AKTIENGESELLSCHAFT
        7LTWFZYICNSX8D621K86
        EUR/USD FORWARD
        000000000
        
          
          
        
        1.00000000
        NC
        USD
        -965.82000000
        -0.00010052676
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              DEUTSCHE BANK AKTIENGESELLSCHAFT
              7LTWFZYICNSX8D621K86
            
            -496797.15000000
            USD
            417000.00000000
            EUR
            2021-11-22
            -965.82000000
          
        
        
          N
          N
          N
        
      
      
        UK CLEARING HOUSE LIMITED
        213800O8SCO4XJGBU385
        IRS PLN
        000000000
        
          
        
        1.00000000
        NC
        
        -1179.86000000
        -0.00012280498
        N/A
        DIR
        CORP
        GB
        
        N
        
        2
        
          
            
              UK CLEARING HOUSE LIMITED
              213800O8SCO4XJGBU385
            
            Y
            
            
              
                
              
            
            2031-08-02
            0.00000000
            USD
            0.00000000
            USD
            780000.00000000
            PLN
            -1179.86000000
          
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        EUR/USD FORWARD
        000000000
        
          
          
        
        1.00000000
        NC
        USD
        3325.06000000
        0.000346086771
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            -859622.00000000
            EUR
            1025453.40000000
            USD
            2021-11-22
            3325.06000000
          
        
        
          N
          N
          N
        
      
      
        CITIBANK NA
        E57ODZWZ7FF32TWEFA76
        CDS PETROLEOS MEXICANOS
        000000000
        
          
        
        1.00000000
        NC
        USD
        -30738.68000000
        -0.00319941610
        N/A
        DCR
        CORP
        US
        N
        
        2
        
          
            
              CITIBANK NA
              E57ODZWZ7FF32TWEFA76
            
            
              
                PETROLEOS MEXICANOS
                PETROLEOS MEXICANOS
                
                  
                  
                  
                
              
            
            Y
            
            Default Event
            2024-12-20
            0.00000000
            USD
            -28112.42000000
            USD
            440000.00000000
            USD
            -2626.26000000
          
        
        
          N
          N
          N
        
      
      
        CHICAGO MERCANTILE EXCHANGE INC.
        SNZ2OJLFK8MNNCLQOF39
        IRS COP
        000000000
        
          
        
        1.00000000
        NC
        
        -132763.71000000
        -0.01381862697
        N/A
        DIR
        CORP
        US
        
        N
        
        2
        
          
            
              CHICAGO MERCANTILE EXCHANGE INC.
              SNZ2OJLFK8MNNCLQOF39
            
            Y
            
            
              
                
              
            
            2026-01-20
            0.00000000
            USD
            0.00000000
            USD
            7380000000.00000000
            COP
            -132763.71000000
          
        
        
          N
          N
          N
        
      
      
        ESKOM HOLDINGS SOC LTD
        3789001900ED06F65111
        Eskom Holdings SOC Ltd
        29646AAA4
        
          
          
        
        200000.00000000
        PA
        USD
        208609.15000000
        0.021712951729
        Long
        DBT
        CORP
        ZA
        N
        
        2
        
          2023-08-06
          Fixed
          6.75000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        CLP/USD FORWARD
        000000000
        
          
          
        
        1.00000000
        NC
        USD
        91708.12000000
        0.009545381795
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            -1265202065.00000000
            CLP
            1756640.96000000
            USD
            2021-09-15
            91708.12000000
          
        
        
          N
          N
          N
        
      
      
        CITIGROUP GLOBAL MARKETS INC.
        MBNUM2BPBDO7JBLYG310
        CDS CMBX.NA.13.AAA
        000000000
        
          
        
        1.00000000
        NC
        USD
        -84512.18000000
        -0.00879639692
        N/A
        DCR
        CORP
        US
        N
        
        2
        
          
            
              CITIGROUP GLOBAL MARKETS INC.
              MBNUM2BPBDO7JBLYG310
            
            
              
                IHS MARKIT LTD
                CMBX.NA.13.AAA
                
                  
                  
                
              
            
            Y
            Default Event
            
            2072-12-16
            235380.02000000
            USD
            0.00000000
            USD
            -22500000.00000000
            USD
            -319892.20000000
          
        
        
          N
          N
          N
        
      
      
        GOLDMAN SACHS INTERNATIONAL
        W22LROWP2IHZNBB6K528
        SWOP CDS CDX.NA.IG.36.V1
        000000000
        
          
        
        -54990000.00000000
        OU
        Other
        USD
        -4886.38000000
        -0.00050859577
        N/A
        DCR
        CORP
        GB
        
        N
        
        2
        
          
            
              GOLDMAN SACHS INTERNATIONAL
              W22LROWP2IHZNBB6K528
            
            Put
            Written
            
              
                
                  
                    GOLDMAN SACHS INTERNATIONAL
                    W22LROWP2IHZNBB6K528
                  
                  
                    GOLDMAN SACHS INTERNATIONAL
                    W22LROWP2IHZNBB6K528
                    CDS CDX.NA.IG.36.V1
                    000000000
                    
                      
                    
                    0.00000000
                    NC
                    USD
                    0.00000000
                    0.00000000
                    DCR
                    CORP
                    GB
                    US
                  
                  
                    
                      IHS MARKIT LTD
                      CDX.NA.IG.36.V1
                      
                        
                        
                      
                    
                  
                  Default Event
                  
                  2026-06-20
                  0.00000000
                  USD
                  0.00000000
                  USD
                  N/A
                  N/A
                
              
            
            -54990000.00000000
            USD
            75.00000000
            USD
            2021-08-18
            XXXX
            55602.62000000
          
        
        
          N
          N
          N
        
      
      
        CHICAGO MERCANTILE EXCHANGE INC.
        SNZ2OJLFK8MNNCLQOF39
        IRS BRL
        000000000
        
          
        
        1.00000000
        NC
        
        -428764.76000000
        -0.04462770946
        N/A
        DIR
        CORP
        US
        
        N
        
        2
        
          
            
              CHICAGO MERCANTILE EXCHANGE INC.
              SNZ2OJLFK8MNNCLQOF39
            
            Y
            
            
              
                
              
            
            2025-01-02
            0.00000000
            USD
            0.00000000
            USD
            41333990.83000000
            BRL
            -428764.76000000
          
        
        
          N
          N
          N
        
      
      
        Elevation CLO Ltd
        635400AGFHDDI7RPPD20
        Elevation CLO 2017-7 Ltd
        28622JAA5
        
          
        
        4000000.00000000
        PA
        USD
        4000189.60000000
        0.416357210098
        Long
        ABS-CBDO
        CORP
        KY
        
        N
        
        2
        
          2030-07-15
          Floating
          1.34613000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CHICAGO MERCANTILE EXCHANGE
        SNZ2OJLFK8MNNCLQOF39
        IRS BRL
        000000000
        
          
        
        1.00000000
        NC
        
        -106895.47000000
        -0.01112614753
        N/A
        DIR
        CORP
        US
        
        N
        
        2
        
          
            
              CHICAGO MERCANTILE EXCHANGE
              SNZ2OJLFK8MNNCLQOF39
            
            Y
            
            
              
                
              
            
            2027-01-04
            0.00000000
            USD
            0.00000000
            USD
            17000257.93000000
            BRL
            -106895.47000000
          
        
        
          N
          N
          N
        
      
      
        DEUTSCHE BANK AKTIENGESELLSCHAFT
        7LTWFZYICNSX8D621K86
        USD/CLP FORWARD
        000000000
        
          
          
        
        1.00000000
        NC
        USD
        95885.42000000
        0.009980173429
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              DEUTSCHE BANK AKTIENGESELLSCHAFT
              7LTWFZYICNSX8D621K86
            
            -2405000.00000000
            USD
            1903557500.00000000
            CLP
            2021-10-29
            95885.42000000
          
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        BRL/USD FORWARD
        000000000
        
          
          
        
        1.00000000
        NC
        USD
        55830.90000000
        0.005811123993
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            -3580778.73000000
            USD
            19491969.00000000
            BRL
            2022-01-28
            55830.90000000
          
        
        
          N
          N
          N
        
      
      
        STANDARD CHARTERED SECURITIES (NORTH AMERICA) LLC
        5493003GCX71N8988W38
        THB/USD FORWARD
        000000000
        
          
          
        
        1.00000000
        NC
        USD
        -8797.74000000
        -0.00091570721
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              STANDARD CHARTERED SECURITIES (NORTH AMERICA) LLC
              5493003GCX71N8988W38
            
            -491000.00000000
            USD
            15852671.50000000
            THB
            2021-09-15
            -8797.74000000
          
        
        
          N
          N
          N
        
      
      
        BNP PARIBAS SECURITIES CORP.
        RCNB6OTYUAMMP879YW96
        JPY CALL VERSUS AUD PUT
        000000000
        
          
        
        -72000000.00000000
        NC
        
        -41449.71000000
        -0.00431426690
        N/A
        DFE
        CORP
        US
        
        N
        
        2
        
          
            
              BNP PARIBAS SECURITIES CORP.
              RCNB6OTYUAMMP879YW96
            
            Put
            Written
            
              
                
                  
                    BNP PARIBAS SECURITIES CORP.
                    RCNB6OTYUAMMP879YW96
                  
                  
                    BNP PARIBAS SECURITIES CORP.
                    RCNB6OTYUAMMP879YW96
                    JPY CALL VERSUS AUD PUT
                    000000000
                    
                      
                    
                    0.00000000
                    NC
                    
                    0.00000000
                    0.00000000
                    DFE
                    CORP
                    US
                    US
                  
                  N/A
                  AUD
                  N/A
                  JPY
                  2022-01-26
                
              
            
            -72000000.00000000
            USD
            63.00000000
            AUD
            2022-01-26
            XXXX
            989286.35000000
          
        
        
          N
          N
          N
        
      
      
        STRIPS
        254900HROIFWPRGM1V77
        United States Treasury Strip Coupon
        912834JH2
        
          
          
        
        1200000.00000000
        PA
        USD
        824109.37000000
        0.085776903702
        Long
        DBT
        UST
        US
        N
        
        2
        
          2040-11-15
          None
          0.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
        549300EX04Q2QBFQTQ27
        30 DAY FEDERAL FUNDS
        000000000
        
          
          
        
        -14.00000000
        NC
        USD
        9776.90000000
        0.001017622466
        N/A
        DIR
        CORP
        US
        N
        
        1
        
          
            
              BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
              549300EX04Q2QBFQTQ27
            
            Short
            
              
                FEDERAL RESERVE BANK OF NEW YORK
                30 DAY FEDERAL FUNDS
                
                  
                  
                  
                
              
            
            2022-07-29
            -5603336.90000000
            USD
            9776.90000000
          
        
        
          N
          N
          N
        
      
      
        SASOL FINANCING USA LLC
        549300XRB1PFMESFEL85
        Sasol Financing USA LLC
        80386WAC9
        
          
          
        
        350000.00000000
        PA
        USD
        357860.17000000
        0.037247649958
        Long
        DBT
        CORP
        US
        
        N
        
        2
        
          2026-09-18
          Fixed
          4.37500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        ARD FINANCE SA
        6354006P6QPGGPVJW880
        ARD Finance SA
        000000000
        
          
          
        
        3000000.00000000
        PA
        
        3657004.10000000
        0.380636963906
        Long
        DBT
        CORP
        LU
        N
        
        2
        
          2027-06-30
          Fixed
          5.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CONTL AIRLINES 2012-2 A
        N/A
        Continental Airlines 2012-2 Class A Pass Through Trust
        210795QB9
        
          
          
        
        78176.83000000
        PA
        USD
        82804.48000000
        0.008618652045
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2024-10-29
          Fixed
          4.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        REPUBLIC OF GHANA
        213800PP4399SNNXZ126
        Ghana Government International Bond
        37443GAG6
        
          
          
        
        505000.00000000
        PA
        USD
        498203.61000000
        0.051855208343
        Long
        DBT
        NUSS
        GH
        N
        
        2
        
          2027-02-11
          Fixed
          6.37500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
        549300EX04Q2QBFQTQ27
        30 DAY FEDERAL FUNDS
        000000000
        
          
          
        
        -10.00000000
        NC
        USD
        5783.50000000
        0.000601971947
        N/A
        DIR
        CORP
        US
        N
        
        1
        
          
            
              BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
              549300EX04Q2QBFQTQ27
            
            Short
            
              
                FEDERAL RESERVE BANK OF NEW YORK
                30 DAY FEDERAL FUNDS
                
                  
                  
                  
                
              
            
            2022-04-29
            -4002183.50000000
            USD
            5783.50000000
          
        
        
          N
          N
          N
        
      
      
        BARCLAYS CAPITAL INC.
        AC28XWWI3WIBK2824319
        USD CALL VERSUS JPY PUT
        000000000
        
          
        
        39000000.00000000
        NC
        USD
        608923.51000000
        0.063379419262
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              BARCLAYS CAPITAL INC.
              AC28XWWI3WIBK2824319
            
            Call
            Purchased
            
              
                
                  
                    BARCLAYS CAPITAL INC.
                    AC28XWWI3WIBK2824319
                  
                  
                    BARCLAYS CAPITAL INC.
                    AC28XWWI3WIBK2824319
                    USD CALL VERSUS JPY PUT
                    000000000
                    
                      
                    
                    0.00000000
                    NC
                    
                    0.00000000
                    0.00000000
                    DFE
                    CORP
                    US
                    US
                  
                  N/A
                  JPY
                  N/A
                  USD
                  2023-10-27
                
              
            
            39000000.00000000
            USD
            115.00000000
            USD
            2023-10-27
            XXXX
            115100.05000000
          
        
        
          N
          N
          N
        
      
      
        CHICAGO MERCANTILE EXCHANGE
        SNZ2OJLFK8MNNCLQOF39
        IRS BRL
        000000000
        
          
        
        1.00000000
        NC
        
        -499422.78000000
        -0.05198210488
        N/A
        DIR
        CORP
        US
        
        N
        
        2
        
          
            
              CHICAGO MERCANTILE EXCHANGE
              SNZ2OJLFK8MNNCLQOF39
            
            Y
            
            
              
                
              
            
            2025-01-02
            0.00000000
            USD
            0.00000000
            USD
            66744669.27000000
            BRL
            -499422.78000000
          
        
        
          N
          N
          N
        
      
      
        CITIBANK NA
        E57ODZWZ7FF32TWEFA76
        CDS UNITED MEXICAN STATES
        000000000
        
          
        
        1.00000000
        NC
        USD
        -5973.66000000
        -0.00062176463
        N/A
        DCR
        CORP
        US
        N
        
        2
        
          
            
              CITIBANK NA
              E57ODZWZ7FF32TWEFA76
            
            
              
                UNITED MEXICAN STATES
                Mexico Government International Bond
                
                  
                  
                  
                
              
            
            Y
            Default Event
            
            2023-06-20
            2810.32000000
            USD
            0.00000000
            USD
            -460000.00000000
            USD
            -8783.98000000
          
        
        
          N
          N
          N
        
      
      
        DIG INTL FIN/DIG INTL HL
        N/A
        Digicel International Finance Ltd/Digicel international Holdings Ltd
        25381XAA1
        
          
          
        
        1138183.43148500
        PA
        USD
        1184254.99000000
        0.123262433281
        Long
        DBT
        CORP
        N/A
        N
        
        2
        
          2024-05-25
          Fixed
          8.75000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        ONEOK INC
        2T3D6M0JSY48PSZI1Q41
        ONEOK Inc
        682680AT0
        
          
          
        
        1060000.00000000
        PA
        USD
        1268215.14000000
        0.132001372508
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2047-07-13
          Fixed
          4.95000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CHICAGO MERCANTILE EXCHANGE INC.
        SNZ2OJLFK8MNNCLQOF39
        IRS BRL
        000000000
        
          
        
        1.00000000
        NC
        
        -208137.70000000
        -0.02166388115
        N/A
        DIR
        CORP
        US
        
        N
        
        2
        
          
            
              CHICAGO MERCANTILE EXCHANGE INC.
              SNZ2OJLFK8MNNCLQOF39
            
            Y
            
            
              
                
              
            
            2027-01-04
            0.00000000
            USD
            0.00000000
            USD
            13418287.84000000
            BRL
            -208137.70000000
          
        
        
          N
          N
          N
        
      
      
        BELLEMEADE RE LT
        2549009SOTYJD2MZFC61
        Bellemeade Re 2018-3 Ltd
        07877TAB7
        
          
        
        1795423.46000000
        PA
        USD
        1800133.39000000
        0.187365747880
        Long
        ABS-MBS
        CORP
        BM
        
        N
        
        2
        
          2028-10-25
          Floating
          1.93925000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        RUB/USD FORWARD
        000000000
        
          
          
        
        1.00000000
        NC
        USD
        160407.95000000
        0.016695960246
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            -2206000.00000000
            USD
            176513090.00000000
            RUB
            2021-11-22
            160407.95000000
          
        
        
          N
          N
          N
        
      
      
        UBS Securities LLC
        T6FIZBDPKLYJKFCRVK44
        USD/MXN FORWARD
        000000000
        
          
          
        
        1.00000000
        NC
        USD
        9915.97000000
        0.001032097479
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              UBS Securities LLC
              T6FIZBDPKLYJKFCRVK44
            
            -830000.00000000
            USD
            16825631.52000000
            MXN
            2021-09-15
            9915.97000000
          
        
        
          N
          N
          N
        
      
      
        HSBC SECURITIES (USA) INC.
        CYYGQCGNHMHPSMRL3R97
        CNH/USD FORWARD
        000000000
        
          
          
        
        1.00000000
        NC
        USD
        3233.81000000
        0.000336589073
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              HSBC SECURITIES (USA) INC.
              CYYGQCGNHMHPSMRL3R97
            
            -1025000.00000000
            USD
            6657202.12000000
            CNY
            2021-08-18
            3233.81000000
          
        
        
          N
          N
          N
        
      
      
        Citibank, National Association
        E57ODZWZ7FF32TWEFA76
        BRL/USD FORWARD
        000000000
        
          
          
        
        1.00000000
        NC
        USD
        7879.52000000
        0.000820134866
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              Citibank, National Association
              E57ODZWZ7FF32TWEFA76
            
            -2180802.00000000
            BRL
            414750.96000000
            USD
            2022-01-28
            7879.52000000
          
        
        
          N
          N
          N
        
      
      
        CELLNEX TELECOM SA
        5493008T4YG3AQUI7P67
        Cellnex Telecom SA
        000000000
        
          
          
        
        700000.00000000
        PA
        
        839704.99000000
        0.087400163967
        Long
        DBT
        CORP
        ES
        N
        
        2
        
          2030-10-23
          Fixed
          1.75000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        NEXI SPA
        5493000P70CQRQG8SN85
        Nexi SpA
        000000000
        
          
          
        
        1870000.00000000
        PA
        
        2213321.33000000
        0.230372153862
        Long
        DBT
        CORP
        IT
        N
        
        2
        
          2029-04-30
          Fixed
          2.12500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BARCLAYS PLC
        213800LBQA1Y9L22JB70
        USD/PLN FORWARD
        000000000
        
          
          
        
        1.00000000
        NC
        USD
        -5799.83000000
        -0.00060367164
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              BARCLAYS PLC
              213800LBQA1Y9L22JB70
            
            -1414018.47000000
            USD
            5423786.00000000
            PLN
            2021-10-19
            -5799.83000000
          
        
        
          N
          N
          N
        
      
      
        GOLDMAN SACHS & CO. LLC
        FOR8UP27PHTHYVLBNG30
        CLP/USD FORWARD
        000000000
        
          
          
        
        1.00000000
        NC
        USD
        3417.50000000
        0.000355708330
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              GOLDMAN SACHS & CO. LLC
              FOR8UP27PHTHYVLBNG30
            
            -178262000.00000000
            CLP
            238000.00000000
            USD
            2021-09-15
            3417.50000000
          
        
        
          N
          N
          N
        
      
      
        UK CLEARING HOUSE LIMITED
        213800O8SCO4XJGBU385
        IRS IFS USD
        000000000
        
          
        
        1.00000000
        NC
        USD
        -39085.31000000
        -0.00406816982
        N/A
        DIR
        CORP
        GB
        
        N
        
        2
        
          
            
              UK CLEARING HOUSE LIMITED
              213800O8SCO4XJGBU385
            
            Y
            
            
              
                
              
            
            2031-04-13
            0.00000000
            USD
            0.00000000
            USD
            1330000.00000000
            USD
            -39085.31000000
          
        
        
          N
          N
          N
        
      
      
        JPMORGAN CHASE BANK, NATIONAL ASSOCIATION
        7H6GLXDRUGQFU57RNE97
        SWOP CDS CDX.NA.IG.36.V1
        000000000
        
          
        
        -29520000.00000000
        OU
        Other
        USD
        -22525.49000000
        -0.00234455141
        N/A
        DCR
        CORP
        US
        N
        
        2
        
          
            
              JPMORGAN CHASE BANK, NATIONAL ASSOCIATION
              7H6GLXDRUGQFU57RNE97
            
            Call
            Written
            
              
                
                  
                    JPMORGAN CHASE BANK, NATIONAL ASSOCIATION
                    7H6GLXDRUGQFU57RNE97
                  
                  
                    JPMORGAN CHASE BANK, NATIONAL ASSOCIATION
                    7H6GLXDRUGQFU57RNE97
                    CDS CDX.NA.IG.36.V1
                    000000000
                    
                      
                    
                    0.00000000
                    NC
                    USD
                    0.00000000
                    0.00000000
                    DCR
                    CORP
                    US
                  
                  
                    
                      IHS MARKIT LTD
                      CDX.NA.IG.36.V1
                      
                        
                        
                      
                    
                  
                  
                  Default Event
                  2026-06-20
                  0.00000000
                  USD
                  0.00000000
                  USD
                  N/A
                  N/A
                
              
            
            -29520000.00000000
            USD
            50.00000000
            USD
            2021-08-18
            XXXX
            16736.11000000
          
        
        
          N
          N
          N
        
      
      
        GOLDMAN SACHS & CO. LLC
        FOR8UP27PHTHYVLBNG30
        INR/USD FORWARD
        000000000
        
          
          
        
        1.00000000
        NC
        USD
        -7598.33000000
        -0.00079086738
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              GOLDMAN SACHS & CO. LLC
              FOR8UP27PHTHYVLBNG30
            
            -752000.00000000
            USD
            55657112.00000000
            INR
            2021-09-15
            -7598.33000000
          
        
        
          N
          N
          N
        
      
      
        BNP PARIBAS SECURITIES CORP.
        RCNB6OTYUAMMP879YW96
        USD/ILS FORWARD
        000000000
        
          
          
        
        1.00000000
        NC
        USD
        -24860.07000000
        -0.00258754469
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              BNP PARIBAS SECURITIES CORP.
              RCNB6OTYUAMMP879YW96
            
            -8160250.00000000
            ILS
            2500000.00000000
            USD
            2021-08-31
            -24860.07000000
          
        
        
          N
          N
          N
        
      
      
        ROCKIES EXPRESS PIPELINE
        W2ZGZGZKY5GGNY6F3V51
        Rockies Express Pipeline LLC
        77340RAM9
        
          
          
        
        1850000.00000000
        PA
        USD
        1945520.68000000
        0.202498292209
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2040-04-15
          Fixed
          6.87500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MASTR Asset Backed Securities
        N/A
        Mastr Asset Backed Securities Trust 2003-WMC2
        57643LBZ8
        
          
        
        830513.91000000
        PA
        USD
        838234.95000000
        0.087247155782
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2033-08-25
          Floating
          2.56425000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MARRIOTT INTERNATIONAL
        225YDZ14ZO8E1TXUSU86
        Marriott International Inc/MD
        571903AK9
        
          
          
        
        75000.00000000
        PA
        USD
        76527.67000000
        0.007965334237
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2022-09-15
          Fixed
          3.25000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BARCLAYS BANK PLC
        G5GSEF7VJP5I7OUK5573
        CDS CDX.EM.29.V1
        000000000
        
          
        
        1.00000000
        NC
        USD
        -315169.69000000
        -0.03280423828
        N/A
        DCR
        CORP
        GB
        
        N
        
        2
        
          
            
              BARCLAYS BANK PLC
              G5GSEF7VJP5I7OUK5573
            
            
              
                IHS MARKIT LTD
                CDX.EM.29.V1
                
                  
                  
                  
                
              
            
            Y
            Default Event
            
            2023-06-20
            0.00000000
            USD
            -14205.84000000
            USD
            -117500000.00000000
            USD
            -300963.85000000
          
        
        
          N
          N
          N
        
      
      
        DBWF Mortgage Trust
        N/A
        DBWF 2016-85T Mortgage Trust
        23307CAL9
        
          
        
        15500000.00000000
        PA
        USD
        15272946.70000000
        1.589675018903
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2036-12-10
          Variable
          3.80810000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        AETNA INC
        549300QKBENKLBXQ8968
        Aetna Inc
        00817YAJ7
        
          
          
        
        530000.00000000
        PA
        USD
        650452.10000000
        0.067701896344
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2042-05-15
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CONTL AIRLINES 2007-1
        N/A
        Continental Airlines 2007-1 Class A Pass Through Trust
        21079NAA9
        
          
          
        
        437839.43000000
        PA
        USD
        446168.06000000
        0.046439120959
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2022-04-19
          Fixed
          5.98300000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        KKR Financial CLO Ltd
        549300PJRIGYUE3V5M12
        KKR CLO 11 Ltd
        48250MAK3
        
          
        
        8000000.00000000
        PA
        USD
        7992941.60000000
        0.831940282295
        Long
        ABS-CBDO
        CORP
        KY
        N
        
        2
        
          2031-01-15
          Floating
          1.30613000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        UK CLEARING HOUSE LIMITED
        213800O8SCO4XJGBU385
        IRS AUD
        000000000
        
          
        
        1.00000000
        NC
        
        100651.44000000
        0.010476241613
        N/A
        DIR
        CORP
        GB
        
        N
        
        2
        
          
            
              UK CLEARING HOUSE LIMITED
              213800O8SCO4XJGBU385
            
            Y
            
            
              
                
              
            
            2030-02-13
            0.00000000
            USD
            -66.35000000
            USD
            16900000.00000000
            AUD
            100717.79000000
          
        
        
          N
          N
          N
        
      
      
        BARCLAYS PLC
        213800LBQA1Y9L22JB70
        USD/KRW FORWARD
        000000000
        
          
          
        
        1.00000000
        NC
        USD
        454.31000000
        0.000047286569
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              BARCLAYS PLC
              213800LBQA1Y9L22JB70
            
            -183048750.00000000
            KRW
            159000.00000000
            USD
            2021-10-29
            454.31000000
          
        
        
          N
          N
          N
        
      
      
        BOMBARDIER INC
        W7L3VLU8EHQY34Z36697
        Bombardier Inc
        097751BR1
        
          
          
        
        5325000.00000000
        PA
        USD
        5543106.73000000
        0.576950765879
        Long
        DBT
        CORP
        CA
        N
        
        2
        
          2024-12-01
          Fixed
          7.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        GOLDMAN SACHS & CO. LLC
        FOR8UP27PHTHYVLBNG30
        USD/ZAR FORWARD
        000000000
        
          
          
        
        1.00000000
        NC
        USD
        -45089.46000000
        -0.00469310798
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              GOLDMAN SACHS & CO. LLC
              FOR8UP27PHTHYVLBNG30
            
            -1992195.58000000
            USD
            28751981.50000000
            ZAR
            2021-09-30
            -45089.46000000
          
        
        
          N
          N
          N
        
      
      
        UK CLEARING HOUSE LIMITED
        213800O8SCO4XJGBU385
        IRS NZD
        000000000
        
          
        
        1.00000000
        NC
        
        -242589.21000000
        -0.02524974483
        N/A
        DIR
        CORP
        GB
        
        N
        
        2
        
          
            
              UK CLEARING HOUSE LIMITED
              213800O8SCO4XJGBU385
            
            Y
            
            
              
                
              
            
            2031-01-19
            2520.09000000
            USD
            0.00000000
            USD
            5740000.00000000
            NZD
            -245109.30000000
          
        
        
          N
          N
          N
        
      
      
        Bank of America, National Association
        B4TYDEB6GKMZO031MB27
        ILS/USD FORWARD
        000000000
        
          
          
        
        1.00000000
        NC
        USD
        23371.60000000
        0.002432618236
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              Bank of America, National Association
              B4TYDEB6GKMZO031MB27
            
            -4751077.35000000
            USD
            15427692.30000000
            ILS
            2021-09-17
            23371.60000000
          
        
        
          N
          N
          N
        
      
      
        CREDIT SUISSE GROUP AG
        549300506SI9CRFV9Z86
        Credit Suisse Group AG
        225433AC5
        
          
          
        
        1200000.00000000
        PA
        USD
        1307196.43000000
        0.136058715478
        Long
        DBT
        CORP
        CH
        N
        
        2
        
          2025-03-26
          Fixed
          3.75000000
          N
          N
          N
        
        
          N
          N
          
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        USD/ZAR FORWARD
        000000000
        
          
          
        
        1.00000000
        NC
        USD
        14413.39000000
        0.001500208602
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            -706259.92000000
            USD
            10977398.00000000
            ZAR
            2022-05-31
            14413.39000000
          
        
        
          N
          N
          N
        
      
      
        Palmer Square CLO Ltd
        549300UP5H2PFBIITY41
        Palmer Square CLO 2014-1 Ltd
        69688XAS0
        
          
        
        5000000.00000000
        PA
        USD
        5003686.00000000
        0.520805499611
        Long
        ABS-CBDO
        CORP
        KY
        N
        
        2
        
          2031-01-17
          Floating
          1.26388000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Ellington CLO LTD
        254900YE647HYXEP3N43
        Ellington Clo II Ltd
        28852EAA7
        
          
        
        18782942.48000000
        PA
        USD
        18760243.29000000
        1.952648083730
        Long
        ABS-CBDO
        CORP
        KY
        N
        
        2
        
          2029-02-15
          Floating
          1.85588000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CITIBANK NA
        E57ODZWZ7FF32TWEFA76
        CDS PETROLEOS MEXICANOS SA
        000000000
        
          
        
        1.00000000
        NC
        USD
        -28597.63000000
        -0.00297656627
        N/A
        DCR
        CORP
        US
        N
        
        2
        
          
            
              CITIBANK NA
              E57ODZWZ7FF32TWEFA76
            
            
              
                UNITED MEXICAN STATES
                Mexico Government International Bond
                
                  
                  
                  
                
              
            
            Y
            
            Default Event
            2023-06-20
            0.00000000
            USD
            -33475.30000000
            USD
            1155000.00000000
            USD
            4877.67000000
          
        
        
          N
          N
          N
        
      
      
        JPMBB Commercial Mortgage Secu
        N/A
        JPMBB Commercial Mortgage Securities Trust 2015-C27
        46644ABJ0
        
          
        
        52766000.00000000
        PA
        USD
        733669.02000000
        0.076363476946
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2048-02-15
          Variable
          0.40827100
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        GOLDMAN SACHS INTERNATIONAL
        W22LROWP2IHZNBB6K528
        CDS VERIZON COMMUNICATIONS INC
        000000000
        
          
        
        1.00000000
        NC
        USD
        18337.50000000
        0.001908647115
        N/A
        DCR
        CORP
        GB
        
        N
        
        2
        
          
            
              GOLDMAN SACHS INTERNATIONAL
              W22LROWP2IHZNBB6K528
            
            
              
                VERIZON COMMUNICATIONS
                Verizon Communications Inc
                
                  
                  
                  
                
              
            
            Y
            
            Default Event
            2026-06-20
            13937.32000000
            USD
            0.00000000
            USD
            680000.00000000
            USD
            4400.18000000
          
        
        
          N
          N
          N
        
      
      
        BANK OF AMERICA, NATIONAL ASSOCIATION
        B4TYDEB6GKMZO031MB27
        EUR CALL VERSUS USD PUT
        000000000
        
          
        
        26250000.00000000
        NC
        
        2370.40000000
        0.000246721588
        N/A
        DFE
        CORP
        US
        
        N
        
        2
        
          
            
              BANK OF AMERICA, NATIONAL ASSOCIATION
              B4TYDEB6GKMZO031MB27
            
            Call
            Purchased
            
              
                
                  
                    BANK OF AMERICA, NATIONAL ASSOCIATION
                    B4TYDEB6GKMZO031MB27
                  
                  
                    BANK OF AMERICA, NATIONAL ASSOCIATION
                    B4TYDEB6GKMZO031MB27
                    EUR CALL VERSUS USD PUT
                    000000000
                    
                      
                    
                    0.00000000
                    NC
                    USD
                    0.00000000
                    0.00000000
                    DFE
                    CORP
                    US
                  
                  N/A
                  USD
                  N/A
                  EUR
                  2021-11-18
                
              
            
            26250000.00000000
            USD
            1.31000000
            EUR
            2021-11-18
            XXXX
            -30169.01000000
          
        
        
          N
          N
          N
        
      
      
        CALPINE CORP
        43R4VPJBXTU2O15HEF41
        Calpine Corp
        131347CQ7
        
          
          
        
        2275000.00000000
        PA
        USD
        2297766.02000000
        0.239161526130
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2031-02-01
          Fixed
          5.00000000
          N
          N
          N
        
        
          N
          N
          
        
      
      
        GOLDMAN SACHS INTERNATIONAL
        W22LROWP2IHZNBB6K528
        CDS BOEING CO
        000000000
        
          
        
        1.00000000
        NC
        USD
        7968.63000000
        0.000829409824
        N/A
        DCR
        CORP
        GB
        
        N
        
        2
        
          
            
              GOLDMAN SACHS INTERNATIONAL
              W22LROWP2IHZNBB6K528
            
            
              
                BOEING CO
                Boeing Co/The
                
                  
                  
                  
                
              
            
            Y
            
            Default Event
            2024-06-20
            5826.87000000
            USD
            0.00000000
            USD
            1460000.00000000
            USD
            2141.76000000
          
        
        
          N
          N
          N
        
      
      
        TALLGRASS NRG PRTNR/FIN
        N/A
        Tallgrass Energy Partners LP / Tallgrass Energy Finance Corp
        87470LAD3
        
          
          
        
        1000000.00000000
        PA
        USD
        1026315.00000000
        0.106823349093
        Long
        DBT
        CORP
        US
        Y
        
        2
        
          2028-01-15
          Fixed
          5.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Citibank, National Association
        E57ODZWZ7FF32TWEFA76
        RUB/USD FORWARD
        000000000
        
          
          
        
        1.00000000
        NC
        USD
        971.87000000
        0.000101156475
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              Citibank, National Association
              E57ODZWZ7FF32TWEFA76
            
            -41474682.00000000
            RUB
            556998.72000000
            USD
            2021-11-22
            971.87000000
          
        
        
          N
          N
          N
        
      
      
        DIGICEL GROUP 0.5 LTD
        N/A
        DIGICEL GROUP 0.5 LTD
        25381YAC5
        
          
          
        
        40695.00000000
        PA
        USD
        31742.10000000
        0.003303856446
        Long
        DBT
        CORP
        BM
        
        N
        
        2
        
          N/A
          Fixed
          7.00000000
          N
          N
          Y
        
        
          N
          N
          N
        
      
      
        NEMAK SAB DE CV
        5493000MY3DAIB0BP706
        Nemak SAB de CV
        64045DAC8
        
          
          
        
        350000.00000000
        PA
        USD
        350185.83000000
        0.036448871122
        Long
        DBT
        CORP
        MX
        N
        
        2
        
          2031-06-28
          Fixed
          3.62500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        GSAMP Trust
        N/A
        GSAMP Trust 2004-NC2
        36242DGY3
        
          
        
        1556964.74000000
        PA
        USD
        1547160.69000000
        0.161035244045
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2034-10-25
          Floating
          0.98925000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CENTERPOINT ENERGY RESOU
        2JADVB0458J06WCD4N56
        CenterPoint Energy Resources Corp
        15189WAH3
        
          
          
        
        700000.00000000
        PA
        USD
        986815.39000000
        0.102712057114
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2041-01-15
          Fixed
          5.85000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY
        IGJSJL3JD5P30I6NJZ34
        Morgan Stanley
        61746BEG7
        
          
          
        
        1260000.00000000
        PA
        USD
        1606205.70000000
        0.167180906649
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2047-01-22
          Fixed
          4.37500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        GOLDMAN SACHS INTERNATIONAL
        W22LROWP2IHZNBB6K528
        SWOP CDS CDX.NA.IG.36.V1
        000000000
        
          
        
        21470000.00000000
        OU
        Other
        USD
        37452.44000000
        0.003898213582
        N/A
        DCR
        CORP
        GB
        
        N
        
        2
        
          
            
              GOLDMAN SACHS INTERNATIONAL
              W22LROWP2IHZNBB6K528
            
            Put
            Purchased
            
              
                
                  
                    GOLDMAN SACHS INTERNATIONAL
                    W22LROWP2IHZNBB6K528
                  
                  
                    GOLDMAN SACHS INTERNATIONAL
                    W22LROWP2IHZNBB6K528
                    CDS CDX.NA.IG.36.V1
                    000000000
                    
                      
                    
                    0.00000000
                    NC
                    USD
                    0.00000000
                    0.00000000
                    DCR
                    CORP
                    GB
                    US
                  
                  
                    
                      IHS MARKIT LTD
                      CDX.NA.IG.36.V1
                      
                        
                        
                      
                    
                  
                  
                  Default Event
                  2026-06-20
                  0.00000000
                  USD
                  0.00000000
                  USD
                  N/A
                  N/A
                
              
            
            21470000.00000000
            USD
            55.00000000
            USD
            2021-10-20
            XXXX
            -1193.56000000
          
        
        
          N
          N
          N
        
      
      
        CITIBANK NA
        E57ODZWZ7FF32TWEFA76
        TRS IOSFN30.450
        000000000
        
          
        
        1.00000000
        NC
        USD
        -14327.69000000
        -0.00149128857
        N/A
        DE
        CORP
        US
        N
        
        2
        
          
            
              CITIBANK NA
              E57ODZWZ7FF32TWEFA76
            
            
              
                IOSFN30.450
                IOSFN30.450
                
                  
                  
                
              
            
            Y
            
              
                
              
            
            
            2041-01-12
            0.00000000
            USD
            -5006.19000000
            USD
            2149688.36000000
            USD
            -9321.50000000
          
        
        
          N
          N
          N
        
      
      
        BANK OF AMERICA, NATIONAL ASSOCIATION
        B4TYDEB6GKMZO031MB27
        BRL CALL VERSUS USD PUT
        000000000
        
          
        
        -39000000.00000000
        NC
        USD
        -15.87000000
        -0.00000165181
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              BANK OF AMERICA, NATIONAL ASSOCIATION
              B4TYDEB6GKMZO031MB27
            
            Put
            Written
            
              
                
                  
                    BANK OF AMERICA, NATIONAL ASSOCIATION
                    B4TYDEB6GKMZO031MB27
                  
                  
                    BANK OF AMERICA, NATIONAL ASSOCIATION
                    B4TYDEB6GKMZO031MB27
                    BRL CALL VERSUS USD PUT
                    000000000
                    
                      
                    
                    0.00000000
                    NC
                    USD
                    0.00000000
                    0.00000000
                    DFE
                    CORP
                    US
                  
                  N/A
                  USD
                  N/A
                  BRL
                  2021-09-28
                
              
            
            -39000000.00000000
            USD
            3.85000000
            USD
            2021-09-28
            XXXX
            716219.13000000
          
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        INR/USD FORWARD
        000000000
        
          
          
        
        1.00000000
        NC
        USD
        1240.01000000
        0.000129065658
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            -276000.00000000
            USD
            20764584.00000000
            INR
            2021-09-30
            1240.01000000
          
        
        
          N
          N
          N
        
      
      
        OneMain Direct Auto Receivable
        N/A
        OneMain Direct Auto Receivables Trust 2019-1
        68267EAB0
        
          
        
        1700000.00000000
        PA
        USD
        1867605.04000000
        0.194388491990
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2028-11-14
          Fixed
          3.95000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FHLMC Multifamily Structured P
        S6XOOCT0IEG5ABCC6L87
        Freddie Mac Multifamily Structured Pass Through Certificates
        3137FHQ30
        
          
        
        141358158.92000000
        PA
        USD
        1220330.85000000
        0.127017366402
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2024-03-25
          Variable
          0.37322700
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        ZAR/USD FORWARD
        000000000
        
          
          
        
        1.00000000
        NC
        USD
        -14430.83000000
        -0.00150202383
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            -254000.00000000
            USD
            3530854.00000000
            ZAR
            2021-09-15
            -14430.83000000
          
        
        
          N
          N
          N
        
      
      
        PROVINCIA DE BUENOS AIRE
        549300L6AYROPOTQ4L07
        Provincia de Buenos Aires/Government Bonds
        000000000
        
          
          
        
        600000.00000000
        PA
        USD
        284411.78000000
        0.029602820636
        Long
        DBT
        NUSS
        AR
        N
        
        2
        
          2023-02-15
          Fixed
          6.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        J.P. MORGAN SECURITIES LLC
        ZBUT11V806EZRVTWT807
        TWD CALL VERSUS USD PUT
        000000000
        
          
        
        -60000000.00000000
        NC
        USD
        -13454.63000000
        -0.00140041667
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              J.P. MORGAN SECURITIES LLC
              ZBUT11V806EZRVTWT807
            
            Put
            Written
            
              
                
                  
                    J.P. MORGAN SECURITIES LLC
                    ZBUT11V806EZRVTWT807
                  
                  
                    J.P. MORGAN SECURITIES LLC
                    ZBUT11V806EZRVTWT807
                    TWD CALL VERSUS USD PUT
                    000000000
                    
                      
                    
                    0.00000000
                    NC
                    USD
                    0.00000000
                    0.00000000
                    DFE
                    CORP
                    US
                  
                  N/A
                  USD
                  N/A
                  TWD
                  2021-12-21
                
              
            
            -60000000.00000000
            USD
            24.30000000
            USD
            2021-12-21
            XXXX
            238809.52000000
          
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        ILS/USD FORWARD
        000000000
        
          
          
        
        1.00000000
        NC
        USD
        6852.85000000
        0.000713274567
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            -551789.98000000
            USD
            1805512.00000000
            ILS
            2021-08-31
            6852.85000000
          
        
        
          N
          N
          N
        
      
      
        LAUREL ROAD PRIME STUDENT LOAN TRUST 2018-D
        N/A
        LAUREL ROAD PRIME STUDENT LOAN TRUST 2018-D
        51889BAA2
        
          
        
        4462259.28394600
        PA
        USD
        4637623.40000000
        0.482704104903
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2043-11-25
          Variable
          0.01000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        J.P. MORGAN SECURITIES LLC
        ZBUT11V806EZRVTWT807
        USD/INR FORWARD
        000000000
        
          
          
        
        1.00000000
        NC
        USD
        5861.64000000
        0.000610105100
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              J.P. MORGAN SECURITIES LLC
              ZBUT11V806EZRVTWT807
            
            -1830000.00000000
            USD
            139894350.00000000
            INR
            2022-02-25
            5861.64000000
          
        
        
          N
          N
          N
        
      
      
        Citibank, National Association
        E57ODZWZ7FF32TWEFA76
        USD/COP FORWARD
        000000000
        
          
          
        
        1.00000000
        NC
        USD
        14437.68000000
        0.001502736811
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              Citibank, National Association
              E57ODZWZ7FF32TWEFA76
            
            -1891622070.00000000
            COP
            501000.00000000
            USD
            2021-09-15
            14437.68000000
          
        
        
          N
          N
          N
        
      
      
        CONSTELLATION AUTOMOTIVE
        213800XQDK86MM9NB619
        Constellation Automotive Ltd
        000000000
        
          
        
        1025000.00000000
        PA
        
        1420297.66000000
        0.147830785627
        Long
        LON
        CORP
        GB
        N
        
        2
        
          2029-06-30
          Floating
          7.55080000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        GREYSTAR REAL ESTATE PAR
        254900HGC806SXAS4M46
        Greystar Real Estate Partners LLC
        39807UAB2
        
          
          
        
        3575000.00000000
        PA
        USD
        3659573.85000000
        0.380904434713
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2025-12-01
          Fixed
          5.75000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        UK CLEARING HOUSE LIMITED
        213800O8SCO4XJGBU385
        IRS IFS USD
        000000000
        
          
        
        1.00000000
        NC
        USD
        -45826.27000000
        -0.00476979839
        N/A
        DIR
        CORP
        GB
        
        N
        
        2
        
          
            
              UK CLEARING HOUSE LIMITED
              213800O8SCO4XJGBU385
            
            Y
            
            
              
                
              
            
            2031-01-13
            0.00000000
            USD
            0.00000000
            USD
            800000.00000000
            USD
            -45826.27000000
          
        
        
          N
          N
          N
        
      
      
        CHICAGO MERCANTILE EXCHANGE INC.
        SNZ2OJLFK8MNNCLQOF39
        IRS BRL
        000000000
        
          
        
        1.00000000
        NC
        
        -222259.77000000
        -0.02313376789
        N/A
        DIR
        CORP
        US
        
        N
        
        2
        
          
            
              CHICAGO MERCANTILE EXCHANGE INC.
              SNZ2OJLFK8MNNCLQOF39
            
            Y
            
            
              
                
              
            
            2027-01-04
            0.00000000
            USD
            0.00000000
            USD
            14674269.01000000
            BRL
            -222259.77000000
          
        
        
          N
          N
          N
        
      
      
        GOLDMAN SACHS & CO. LLC
        FOR8UP27PHTHYVLBNG30
        RUB/USD FORWARD
        000000000
        
          
          
        
        1.00000000
        NC
        USD
        -2022.86000000
        -0.00021054810
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              GOLDMAN SACHS & CO. LLC
              FOR8UP27PHTHYVLBNG30
            
            -28062297.00000000
            RUB
            379000.00000000
            USD
            2021-09-15
            -2022.86000000
          
        
        
          N
          N
          N
        
      
      
        J.P. MORGAN SECURITIES LLC
        ZBUT11V806EZRVTWT807
        JPY/USD FORWARD
        000000000
        
          
          
        
        1.00000000
        NC
        USD
        674.41000000
        0.000070195539
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              J.P. MORGAN SECURITIES LLC
              ZBUT11V806EZRVTWT807
            
            -570000.00000000
            USD
            62565252.00000000
            JPY
            2021-10-19
            674.41000000
          
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        USD/GBP FORWARD
        000000000
        
          
          
        
        1.00000000
        NC
        USD
        35216.46000000
        0.003665483014
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            -2328211.37000000
            USD
            1700000.00000000
            GBP
            2021-10-19
            35216.46000000
          
        
        
          N
          N
          N
        
      
      
        BARCLAYS BANK PLC
        G5GSEF7VJP5I7OUK5573
        CDS REPUBLIC OF COLOMBIA
        000000000
        
          
        
        1.00000000
        NC
        USD
        30196.74000000
        0.003143008626
        N/A
        DCR
        CORP
        GB
        
        N
        
        2
        
          
            
              BARCLAYS BANK PLC
              G5GSEF7VJP5I7OUK5573
            
            
              
                REPUBLIC OF COLOMBIA
                Colombia Government International Bond
                
                  
                  
                  
                
              
            
            Y
            
            Default Event
            2023-06-20
            0.00000000
            USD
            -2123.08000000
            USD
            5000000.00000000
            USD
            32319.82000000
          
        
        
          N
          N
          N
        
      
      
        GOHL CAPITAL LTD
        254900TF7OK6KSDZA888
        Gohl Capital Ltd
        000000000
        
          
          
        
        1510000.00000000
        PA
        USD
        1599112.82000000
        0.166442648710
        Long
        DBT
        CORP
        IM
        
        N
        
        2
        
          2027-01-24
          Fixed
          4.25000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        GOLDMAN SACHS & CO. LLC
        FOR8UP27PHTHYVLBNG30
        TWD/USD FORWARD
        000000000
        
          
          
        
        1.00000000
        NC
        USD
        -9533.78000000
        -0.00099231747
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              GOLDMAN SACHS & CO. LLC
              FOR8UP27PHTHYVLBNG30
            
            -1120000.00000000
            USD
            30983494.00000000
            TWD
            2021-09-15
            -9533.78000000
          
        
        
          N
          N
          N
        
      
      
        Citibank, National Association
        E57ODZWZ7FF32TWEFA76
        BRL/USD FORWARD
        000000000
        
          
          
        
        1.00000000
        NC
        USD
        22160.05000000
        0.002306514819
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              Citibank, National Association
              E57ODZWZ7FF32TWEFA76
            
            -5251645.21000000
            BRL
            1030000.00000000
            USD
            2021-08-03
            22160.05000000
          
        
        
          N
          N
          N
        
      
      
        BARCLAYS PLC
        213800LBQA1Y9L22JB70
        ILS/USD FORWARD
        000000000
        
          
          
        
        1.00000000
        NC
        USD
        -61328.07000000
        -0.00638329346
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              BARCLAYS PLC
              213800LBQA1Y9L22JB70
            
            -20468134.71000000
            ILS
            6273000.00000000
            USD
            2021-09-17
            -61328.07000000
          
        
        
          N
          N
          N
        
      
      
        Bear Stearns Asset Backed Secu
        N/A
        Bear Stearns Asset Backed Securities Trust 2003-3
        07384YLS3
        
          
        
        88397.21000000
        PA
        USD
        87709.36000000
        0.009129173384
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2043-06-25
          Floating
          1.26925000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Trinitas CLO Ltd
        549300F3XEPDOX3FOP69
        Trinitas Clo VII Ltd
        89641CAA9
        
          
        
        4500000.00000000
        PA
        USD
        4500056.70000000
        0.468385561748
        Long
        ABS-CBDO
        CORP
        KY
        N
        
        2
        
          2031-01-25
          Floating
          1.33525000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BARCLAYS PLC
        213800LBQA1Y9L22JB70
        USD/INR FORWARD
        000000000
        
          
          
        
        1.00000000
        NC
        USD
        -1698.74000000
        -0.00017681228
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              BARCLAYS PLC
              213800LBQA1Y9L22JB70
            
            -27315024.00000000
            INR
            363000.00000000
            USD
            2021-09-30
            -1698.74000000
          
        
        
          N
          N
          N
        
      
      
        Citibank, National Association
        E57ODZWZ7FF32TWEFA76
        USD/BRL FORWARD
        000000000
        
          
          
        
        1.00000000
        NC
        USD
        -6574.75000000
        -0.00068432870
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              Citibank, National Association
              E57ODZWZ7FF32TWEFA76
            
            -560000.00000000
            USD
            2966320.00000000
            BRL
            2022-01-28
            -6574.75000000
          
        
        
          N
          N
          N
        
      
      
        TULLOW OIL PLC
        2138003EYHWO75RKS857
        Tullow Oil PLC
        899415AG8
        
          
          
        
        1605000.00000000
        PA
        USD
        1673212.50000000
        0.174155267140
        Long
        DBT
        CORP
        GB
        
        N
        
        2
        
          2026-05-15
          Fixed
          10.25000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        JPY/USD FORWARD
        000000000
        
          
          
        
        1.00000000
        NC
        USD
        -359050.29000000
        -0.03737152284
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            -8262958.20000000
            USD
            855296076.00000000
            JPY
            2023-10-31
            -359050.29000000
          
        
        
          N
          N
          N
        
      
      
        Credit Suisse AG
        ANGGYXNX0JLX3X63JN86
        CNH/USD FORWARD
        000000000
        
          
          
        
        1.00000000
        NC
        USD
        -468.68000000
        -0.00004878226
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              Credit Suisse AG
              ANGGYXNX0JLX3X63JN86
            
            -1070000.00000000
            USD
            6924578.92000000
            CNY
            2021-08-18
            -468.68000000
          
        
        
          N
          N
          N
        
      
      
        BARCLAYS BANK PLC
        G5GSEF7VJP5I7OUK5573
        SWOP CDS CDX.NA.IG.36.V1
        000000000
        
          
        
        -21470000.00000000
        OU
        Other
        USD
        -15433.16000000
        -0.00160635071
        N/A
        DCR
        CORP
        GB
        
        N
        
        2
        
          
            
              BARCLAYS BANK PLC
              G5GSEF7VJP5I7OUK5573
            
            Call
            Written
            
              
                
                  
                    BARCLAYS BANK PLC
                    G5GSEF7VJP5I7OUK5573
                  
                  
                    BARCLAYS BANK PLC
                    G5GSEF7VJP5I7OUK5573
                    CDS CDX.NA.IG.36.V1
                    000000000
                    
                      
                    
                    0.00000000
                    NC
                    USD
                    0.00000000
                    0.00000000
                    DCR
                    CORP
                    GB
                    US
                  
                  
                    
                      IHS MARKIT LTD
                      CDX.NA.IG.36.V1
                      
                        
                        
                      
                    
                  
                  
                  Default Event
                  2026-06-20
                  0.00000000
                  USD
                  0.00000000
                  USD
                  N/A
                  N/A
                
              
            
            -21470000.00000000
            USD
            47.50000000
            USD
            2021-10-20
            XXXX
            5392.74000000
          
        
        
          N
          N
          N
        
      
      
        CITIGROUP INC
        6SHGI4ZSSLCXXQSBB395
        Citigroup Inc
        172967KY6
        
          
          
        
        1145000.00000000
        PA
        USD
        1248433.55000000
        0.129942418197
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2026-10-21
          Fixed
          3.20000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        JP Morgan Mortgage Trust
        N/A
        JP Morgan Mortgage Trust 2007-A1
        46630GAM7
        
          
        
        45336.70000000
        PA
        USD
        45334.90000000
        0.004718654456
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2035-07-25
          Variable
          2.30589000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        ROMANIA
        315700IASY927EDWBK92
        Romanian Government International Bond
        000000000
        
          
          
        
        1759000.00000000
        PA
        
        2448191.15000000
        0.254818430856
        Long
        DBT
        NUSS
        RO
        N
        
        2
        
          2039-03-11
          Fixed
          4.12500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        GOLDMAN SACHS & CO. LLC
        FOR8UP27PHTHYVLBNG30
        USD/SGD FORWARD
        000000000
        
          
          
        
        1.00000000
        NC
        USD
        8248.72000000
        0.000858562815
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              GOLDMAN SACHS & CO. LLC
              FOR8UP27PHTHYVLBNG30
            
            -2759871.57000000
            SGD
            2045000.00000000
            USD
            2021-09-15
            8248.72000000
          
        
        
          N
          N
          N
        
      
      
        BARCLAYS BANK PLC
        G5GSEF7VJP5I7OUK5573
        CDS PEOPLE'S REPUBLIC OF CHINA
        000000000
        
          
        
        1.00000000
        NC
        USD
        243037.61000000
        0.025296416262
        N/A
        DCR
        CORP
        GB
        
        N
        
        2
        
          
            
              BARCLAYS BANK PLC
              G5GSEF7VJP5I7OUK5573
            
            
              
                CHINA GOVERNMENT INTERNATIONAL BOND
                CHINA GOVERNMENT INTERNATIONAL BOND
                
                  
                  
                  
                
              
            
            Y
            
            Default Event
            2023-06-20
            0.00000000
            USD
            -5838.43000000
            USD
            13750000.00000000
            USD
            248876.04000000
          
        
        
          N
          N
          N
        
      
      
        J.P. MORGAN SECURITIES LLC
        ZBUT11V806EZRVTWT807
        SGD/USD FORWARD
        000000000
        
          
          
        
        1.00000000
        NC
        USD
        3371.10000000
        0.000350878816
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              J.P. MORGAN SECURITIES LLC
              ZBUT11V806EZRVTWT807
            
            -1171603.40000000
            SGD
            868000.00000000
            USD
            2021-09-15
            3371.10000000
          
        
        
          N
          N
          N
        
      
      
        UK CLEARING HOUSE LIMITED
        213800O8SCO4XJGBU385
        IRS ZAR
        000000000
        
          
        
        1.00000000
        NC
        
        339914.57000000
        0.035379793507
        N/A
        DIR
        CORP
        GB
        
        N
        
        2
        
          
            
              UK CLEARING HOUSE LIMITED
              213800O8SCO4XJGBU385
            
            Y
            
            
              
                
              
            
            2030-02-28
            0.00000000
            USD
            -26363.43000000
            USD
            99200000.00000000
            ZAR
            366278.00000000
          
        
        
          N
          N
          N
        
      
      
        DEUTSCHE BANK AKTIENGESELLSCHAFT
        7LTWFZYICNSX8D621K86
        TWD CALL VERSUS USD PUT
        000000000
        
          
        
        60000000.00000000
        NC
        USD
        13454.63000000
        0.001400416672
        N/A
        DFE
        CORP
        DE
        
        N
        
        2
        
          
            
              DEUTSCHE BANK AKTIENGESELLSCHAFT
              7LTWFZYICNSX8D621K86
            
            Put
            Purchased
            
              
                
                  
                    DEUTSCHE BANK AKTIENGESELLSCHAFT
                    7LTWFZYICNSX8D621K86
                  
                  
                    DEUTSCHE BANK AKTIENGESELLSCHAFT
                    7LTWFZYICNSX8D621K86
                    TWD CALL VERSUS USD PUT
                    000000000
                    
                      
                    
                    0.00000000
                    NC
                    USD
                    0.00000000
                    0.00000000
                    DFE
                    CORP
                    DE
                    US
                  
                  N/A
                  USD
                  N/A
                  TWD
                  2021-12-21
                
              
            
            60000000.00000000
            USD
            24.30000000
            USD
            2021-12-21
            XXXX
            -29265.37000000
          
        
        
          N
          N
          N
        
      
      
        J.P. MORGAN SECURITIES LLC
        ZBUT11V806EZRVTWT807
        ILS/USD FORWARD
        000000000
        
          
          
        
        1.00000000
        NC
        USD
        4163.20000000
        0.000433324044
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              J.P. MORGAN SECURITIES LLC
              ZBUT11V806EZRVTWT807
            
            -424000.00000000
            USD
            1383525.14000000
            ILS
            2021-09-17
            4163.20000000
          
        
        
          N
          N
          N
        
      
      
        GOLDMAN SACHS GROUP INC
        784F5XWPLTWKTBV3E584
        Goldman Sachs Group Inc/The
        38141GWZ3
        
          
          
        
        135000.00000000
        PA
        USD
        155437.74000000
        0.016178639075
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2029-05-01
          Fixed
          4.22300000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        UK CLEARING HOUSE LIMITED
        213800O8SCO4XJGBU385
        IRS HUF
        000000000
        
          
        
        1.00000000
        NC
        
        -617929.37000000
        -0.06431678851
        N/A
        DIR
        CORP
        GB
        
        N
        
        2
        
          
            
              UK CLEARING HOUSE LIMITED
              213800O8SCO4XJGBU385
            
            Y
            
            
              
                
              
            
            2030-02-14
            0.00000000
            USD
            0.00000000
            USD
            2500000000.00000000
            HUF
            -617929.37000000
          
        
        
          N
          N
          N
        
      
      
        Citibank, National Association
        E57ODZWZ7FF32TWEFA76
        TWD/USD FORWARD
        000000000
        
          
          
        
        1.00000000
        NC
        USD
        -6809.17000000
        -0.00070872816
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              Citibank, National Association
              E57ODZWZ7FF32TWEFA76
            
            -1001000.00000000
            USD
            27739255.00000000
            TWD
            2021-09-15
            -6809.17000000
          
        
        
          N
          N
          N
        
      
      
        J.P. MORGAN SECURITIES LLC
        ZBUT11V806EZRVTWT807
        HUF/USD FORWARD
        000000000
        
          
          
        
        1.00000000
        NC
        USD
        -3074.95000000
        -0.00032005423
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              J.P. MORGAN SECURITIES LLC
              ZBUT11V806EZRVTWT807
            
            -79090932.00000000
            HUF
            258000.00000000
            USD
            2021-10-19
            -3074.95000000
          
        
        
          N
          N
          N
        
      
      
        CITIBANK NA
        E57ODZWZ7FF32TWEFA76
        CDS PETROLEOS MEXICANOS SA
        000000000
        
          
        
        1.00000000
        NC
        USD
        -9532.54000000
        -0.00099218841
        N/A
        DCR
        CORP
        US
        N
        
        2
        
          
            
              CITIBANK NA
              E57ODZWZ7FF32TWEFA76
            
            
              
                UNITED MEXICAN STATES
                Mexico Government International Bond
                
                  
                  
                  
                
              
            
            Y
            
            Default Event
            2023-06-20
            0.00000000
            USD
            -11227.80000000
            USD
            385000.00000000
            USD
            1695.26000000
          
        
        
          N
          N
          N
        
      
      
        DEUTSCHE BANK AKTIENGESELLSCHAFT
        7LTWFZYICNSX8D621K86
        JPY/AUD FORWARD
        000000000
        
          
          
        
        1.00000000
        NC
        USD
        183990.95000000
        0.019150581918
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              DEUTSCHE BANK AKTIENGESELLSCHAFT
              7LTWFZYICNSX8D621K86
            
            -375226250.00000000
            JPY
            4921000.00000000
            AUD
            2022-05-31
            183990.95000000
          
        
        
          N
          N
          N
        
      
      
        HSBC SECURITIES (USA) INC.
        CYYGQCGNHMHPSMRL3R97
        USD/KRW FORWARD
        000000000
        
          
          
        
        1.00000000
        NC
        USD
        59683.31000000
        0.006212099656
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              HSBC SECURITIES (USA) INC.
              CYYGQCGNHMHPSMRL3R97
            
            -2032345260.00000000
            KRW
            1821000.00000000
            USD
            2021-09-15
            59683.31000000
          
        
        
          N
          N
          N
        
      
      
        Elevation CLO Ltd
        N/A
        ArrowMark Colorado Holdings
        28622PAA1
        
          
        
        2500000.00000000
        PA
        USD
        2500000.50000000
        0.260210974356
        Long
        ABS-CBDO
        CORP
        KY
        N
        
        2
        
          2029-07-15
          Floating
          1.40613000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        DEUTSCHE BANK AKTIENGESELLSCHAFT
        7LTWFZYICNSX8D621K86
        RUB/USD FORWARD
        000000000
        
          
          
        
        1.00000000
        NC
        USD
        -61264.57000000
        -0.00637668410
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              DEUTSCHE BANK AKTIENGESELLSCHAFT
              7LTWFZYICNSX8D621K86
            
            -287717800.00000000
            RUB
            3796000.00000000
            USD
            2021-11-22
            -61264.57000000
          
        
        
          N
          N
          N
        
      
      
        AYDEM YENILENEBILIR ENER
        9845009C50EDA74OA532
        Aydem Yenilenebilir Enerji AS
        054644AA7
        
          
          
        
        830000.00000000
        PA
        USD
        834565.00000000
        0.086865171352
        Long
        DBT
        CORP
        TR
        N
        
        2
        
          2027-02-02
          Fixed
          7.75000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        USD/CNH FORWARD
        000000000
        
          
          
        
        1.00000000
        NC
        USD
        -447.82000000
        -0.00004661106
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            -579170.00000000
            USD
            3746881.77000000
            CNY
            2021-08-18
            -447.82000000
          
        
        
          N
          N
          N
        
      
      
        LYB INTL FINANCE BV
        549300J6QSW38QNOJK61
        LYB International Finance BV
        50247VAB5
        
          
          
        
        175000.00000000
        PA
        USD
        232288.03000000
        0.024177553011
        Long
        DBT
        CORP
        NL
        
        N
        
        2
        
          2043-07-15
          Fixed
          5.25000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        GOLDMAN SACHS & CO. LLC
        FOR8UP27PHTHYVLBNG30
        USD/COP FORWARD
        000000000
        
          
          
        
        1.00000000
        NC
        USD
        -17422.83000000
        -0.00181344426
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              GOLDMAN SACHS & CO. LLC
              FOR8UP27PHTHYVLBNG30
            
            -253000.00000000
            USD
            915860000.00000000
            COP
            2021-09-15
            -17422.83000000
          
        
        
          N
          N
          N
        
      
      
        UKRAINE GOVERNMENT
        6354001WLTJXOMEXPY07
        Ukraine Government International Bond
        000000000
        
          
          
        
        1465000.00000000
        PA
        
        1616914.56000000
        0.168295531584
        Long
        DBT
        NUSS
        UA
        N
        
        2
        
          2030-01-27
          Fixed
          4.37500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        HSBC SECURITIES (USA) INC.
        CYYGQCGNHMHPSMRL3R97
        KRW/USD FORWARD
        000000000
        
          
          
        
        1.00000000
        NC
        USD
        -9056.40000000
        -0.00094262967
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              HSBC SECURITIES (USA) INC.
              CYYGQCGNHMHPSMRL3R97
            
            -866000.00000000
            USD
            988808700.00000000
            KRW
            2021-09-15
            -9056.40000000
          
        
        
          N
          N
          N
        
      
      
        GOLDMAN SACHS INTERNATIONAL
        W22LROWP2IHZNBB6K528
        CDS CITIGROUP INC
        000000000
        
          
        
        1.00000000
        NC
        USD
        22511.67000000
        0.002343112965
        N/A
        DCR
        CORP
        GB
        
        N
        
        2
        
          
            
              GOLDMAN SACHS INTERNATIONAL
              W22LROWP2IHZNBB6K528
            
            
              
                CITIGROUP INC
                Citigroup Inc
                
                  
                  
                  
                
              
            
            Y
            
            Default Event
            2022-06-20
            20103.68000000
            USD
            0.00000000
            USD
            2920000.00000000
            USD
            2407.99000000
          
        
        
          N
          N
          N
        
      
      
        AMER AIRLN 13-1 A PASS T
        N/A
        American Airlines 2013-1 Class A Pass Through Trust
        023772AB2
        
          
          
        
        1704206.49000000
        PA
        USD
        1637367.00000000
        0.170424310894
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2025-07-15
          Fixed
          4.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BANCO DE CREDITO DEL PER
        549300EQYQ8SCQZ4BY14
        Banco de Credito del Peru
        05971U2D8
        
          
          
        
        1055000.00000000
        PA
        USD
        1027417.07000000
        0.106938057354
        Long
        DBT
        CORP
        PE
        N
        
        2
        
          2031-09-30
          Fixed
          3.25000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        UK CLEARING HOUSE LIMITED
        213800O8SCO4XJGBU385
        IRS USD
        000000000
        
          
        
        1.00000000
        NC
        USD
        -363216.07000000
        -0.03780511542
        N/A
        DIR
        CORP
        GB
        
        N
        
        2
        
          
            
              UK CLEARING HOUSE LIMITED
              213800O8SCO4XJGBU385
            
            Y
            
              
                
              
            
            
            2030-02-14
            0.00000000
            USD
            0.00000000
            USD
            -8700000.00000000
            USD
            -363216.07000000
          
        
        
          N
          N
          N
        
      
      
        ENERGY TRANSFER LP
        MTLVN9N7JE8MIBIJ1H73
        Energy Transfer LP
        29273RBL2
        
          
          
        
        125000.00000000
        PA
        USD
        147880.68000000
        0.015392067254
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2047-04-15
          Fixed
          5.30000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        LIBERTY MUTUAL GROUP INC
        QUR0DG15Z6FFGYCHH861
        Liberty Mutual Group Inc
        53079EBG8
        
          
          
        
        1614000.00000000
        PA
        USD
        1912099.78000000
        0.199019698924
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2029-02-01
          Fixed
          4.56900000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        UNIV OF CALIFORNIA CA REVENUES
        N/A
        University of California
        91412GXE0
        
          
        
        625000.00000000
        PA
        USD
        743800.02000000
        0.077417955688
        Long
        DBT
        MUN
        US
        N
        
        2
        
          2045-05-15
          Fixed
          3.93100000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        J.P. MORGAN SECURITIES LLC
        ZBUT11V806EZRVTWT807
        THB/USD FORWARD
        000000000
        
          
          
        
        1.00000000
        NC
        USD
        75565.45000000
        0.007865182175
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              J.P. MORGAN SECURITIES LLC
              ZBUT11V806EZRVTWT807
            
            -63727130.00000000
            THB
            2014000.00000000
            USD
            2021-09-15
            75565.45000000
          
        
        
          N
          N
          N
        
      
      
        CITGO HOLDING INC
        549300NYHOALWZ2BSL72
        Citgo Holding Inc
        17302WAB4
        
          
          
        
        450000.00000000
        PA
        USD
        448816.23000000
        0.046714754063
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2024-08-01
          Fixed
          9.25000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BNP PARIBAS SECURITIES CORP.
        RCNB6OTYUAMMP879YW96
        CLP/USD FORWARD
        000000000
        
          
          
        
        1.00000000
        NC
        USD
        114994.88000000
        0.011969169514
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              BNP PARIBAS SECURITIES CORP.
              RCNB6OTYUAMMP879YW96
            
            -1484350999.00000000
            CLP
            2068315.05000000
            USD
            2021-09-15
            114994.88000000
          
        
        
          N
          N
          N
        
      
      
        J.P. MORGAN SECURITIES LLC
        ZBUT11V806EZRVTWT807
        USD/BRL FORWARD
        000000000
        
          
          
        
        1.00000000
        NC
        USD
        116568.55000000
        0.012132963963
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              J.P. MORGAN SECURITIES LLC
              ZBUT11V806EZRVTWT807
            
            -2727533.73000000
            USD
            15244186.00000000
            BRL
            2022-01-28
            116568.55000000
          
        
        
          N
          N
          N
        
      
      
        BARCLAYS BANK PLC
        G5GSEF7VJP5I7OUK5573
        CDS REPUBLIC OF PERU
        000000000
        
          
        
        1.00000000
        NC
        USD
        44717.65000000
        0.004654408380
        N/A
        DCR
        CORP
        GB
        
        N
        
        2
        
          
            
              BARCLAYS BANK PLC
              G5GSEF7VJP5I7OUK5573
            
            
              
                PERUVIAN GOVERNMENT INTERNATIONAL BOND
                PERUVIAN GOVERNMENT INTERNATIONAL BOND
                
                  
                  
                  
                
              
            
            Y
            
            Default Event
            2023-06-20
            0.00000000
            USD
            -1592.29000000
            USD
            3750000.00000000
            USD
            46309.94000000
          
        
        
          N
          N
          N
        
      
      
        THE TORONTO-DOMINION BANK
        PT3QB789TSUIDF371261
        SGD/USD FORWARD
        000000000
        
          
          
        
        1.00000000
        NC
        USD
        12235.54000000
        0.001273528459
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              THE TORONTO-DOMINION BANK
              PT3QB789TSUIDF371261
            
            -745081.00000000
            SGD
            562096.16000000
            USD
            2021-09-15
            12235.54000000
          
        
        
          N
          N
          N
        
      
      
        ASHLAND LLC
        6O4MRU8C1MS0K34UQF79
        Ashland LLC
        044209AM6
        
          
          
        
        4100000.00000000
        PA
        USD
        5230916.65000000
        0.544456658417
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2043-05-15
          Fixed
          6.87500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        GOLDMAN SACHS & CO. LLC
        FOR8UP27PHTHYVLBNG30
        USD/KRW FORWARD
        000000000
        
          
          
        
        1.00000000
        NC
        USD
        17307.52000000
        0.001801442296
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              GOLDMAN SACHS & CO. LLC
              FOR8UP27PHTHYVLBNG30
            
            -568507200.00000000
            KRW
            510000.00000000
            USD
            2021-09-15
            17307.52000000
          
        
        
          N
          N
          N
        
      
      
        EUREX CLEARING AKTIENGESELLSCHAFT
        529900LN3S50JPU47S06
        10 YEAR EURO BUND
        000000000
        
          
          
        
        -162.00000000
        NC
        
        -879520.89000000
        -0.09154437679
        N/A
        DIR
        CORP
        DE
        
        N
        
        1
        
          
            
              EUREX CLEARING AKTIENGESELLSCHAFT
              529900LN3S50JPU47S06
            
            Short
            
              
                BUNDESREPUB. DEUTSCHLAND
                Bundesrepublik Deutschland Bundesanleihe
                
                  
                  
                  
                
              
            
            2021-09-08
            -33747327.69000000
            USD
            -879520.89000000
          
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        USD/AUD FORWARD
        000000000
        
          
          
        
        1.00000000
        NC
        USD
        25832.10000000
        0.002688717826
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            -1263000.00000000
            AUD
            953615.52000000
            USD
            2022-05-31
            25832.10000000
          
        
        
          N
          N
          N
        
      
      
        Finance America Mortgage Loan
        N/A
        Finance America Mortgage Loan Trust 2003-1
        317350AC0
        
          
        
        1276024.53000000
        PA
        USD
        1262703.22000000
        0.131427667794
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2033-09-25
          Floating
          1.13925000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BNP PARIBAS SA
        QHSFEYI7HUOXXZ413E03
        CDS PETROLEOS MEXICANOS
        000000000
        
          
        
        1.00000000
        NC
        USD
        -233980.64000000
        -0.02435372725
        N/A
        DCR
        CORP
        FR
        
        N
        
        2
        
          
            
              BNP PARIBAS SA
              QHSFEYI7HUOXXZ413E03
            
            
              
                PETROLEOS MEXICANOS
                Petroleos Mexicanos
                
                  
                  
                  
                
              
            
            Y
            
            Default Event
            2023-06-20
            0.00000000
            USD
            -534943.16000000
            USD
            9450000.00000000
            USD
            300962.52000000
          
        
        
          N
          N
          N
        
      
      
        STANDARD CHARTERED SECURITIES (NORTH AMERICA) LLC
        5493003GCX71N8988W38
        INR/USD FORWARD
        000000000
        
          
          
        
        1.00000000
        NC
        USD
        817.43000000
        0.000085081685
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              STANDARD CHARTERED SECURITIES (NORTH AMERICA) LLC
              5493003GCX71N8988W38
            
            -952000.00000000
            USD
            71239854.00000000
            INR
            2021-09-15
            817.43000000
          
        
        
          N
          N
          N
        
      
      
        Countrywide Asset-Backed Certi
        N/A
        Countrywide Asset-Backed Certificates
        126673KY7
        
          
          
        
        259968.64000000
        PA
        USD
        260954.23000000
        0.027161256348
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2034-11-25
          Floating
          1.13925000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        GOLDMAN SACHS & CO. LLC
        FOR8UP27PHTHYVLBNG30
        USD/ZAR FORWARD
        000000000
        
          
          
        
        1.00000000
        NC
        USD
        1028932.69000000
        0.107095809705
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              GOLDMAN SACHS & CO. LLC
              FOR8UP27PHTHYVLBNG30
            
            -3878000.00000000
            USD
            73236805.60000000
            ZAR
            2021-12-23
            1028932.69000000
          
        
        
          N
          N
          N
        
      
      
        DEUTSCHE BANK AKTIENGESELLSCHAFT
        7LTWFZYICNSX8D621K86
        EUR CALL VERSUS USD PUT
        000000000
        
          
        
        6562500.00000000
        NC
        
        40585.36000000
        0.004224301583
        N/A
        DFE
        CORP
        DE
        
        N
        
        2
        
          
            
              DEUTSCHE BANK AKTIENGESELLSCHAFT
              7LTWFZYICNSX8D621K86
            
            Call
            Purchased
            
              
                
                  
                    DEUTSCHE BANK AKTIENGESELLSCHAFT
                    7LTWFZYICNSX8D621K86
                  
                  
                    DEUTSCHE BANK AKTIENGESELLSCHAFT
                    7LTWFZYICNSX8D621K86
                    EUR CALL VERSUS USD PUT
                    000000000
                    
                      
                    
                    0.00000000
                    NC
                    USD
                    0.00000000
                    0.00000000
                    DFE
                    CORP
                    DE
                    US
                  
                  N/A
                  USD
                  N/A
                  EUR
                  2021-11-18
                
              
            
            6562500.00000000
            USD
            1.21000000
            EUR
            2021-11-18
            XXXX
            -108273.45000000
          
        
        
          N
          N
          N
        
      
      
        Bank of America, National Association
        B4TYDEB6GKMZO031MB27
        USD/EUR FORWARD
        000000000
        
          
          
        
        1.00000000
        NC
        USD
        9657.04000000
        0.001005146914
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              Bank of America, National Association
              B4TYDEB6GKMZO031MB27
            
            -1122312.80000000
            USD
            952000.00000000
            EUR
            2021-11-22
            9657.04000000
          
        
        
          N
          N
          N
        
      
      
        DIG INTL FIN/DIG INTL HL
        N/A
        Digicel International Finance Ltd/Digicel international Holdings Ltd
        25381XAC7
        
          
          
        
        454369.45465900
        PA
        USD
        441336.84000000
        0.045936266475
        Long
        DBT
        CORP
        N/A
        N
        
        2
        
          2026-12-31
          Fixed
          8.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        LEVIATHAN BOND LTD
        254900D9T8VKYVQNZ220
        Leviathan Bond Ltd
        000000000
        
          
          
        
        2020000.00000000
        PA
        USD
        2262588.47000000
        0.235500093038
        Long
        DBT
        CORP
        IL
        N
        
        2
        
          2030-06-30
          Fixed
          6.75000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        VENTURE GLOBAL CALCASIEU
        549300GKHS6RS20NLH85
        Venture Global Calcasieu Pass LLC
        92328MAA1
        
          
        
        75000.00000000
        PA
        USD
        76604.43000000
        0.007973323753
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2029-08-15
          Fixed
          3.87500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        UNIV OF CALIFORNIA CA REVENUES
        N/A
        University of California
        91412GXY6
        
          
        
        675000.00000000
        PA
        USD
        822183.75000000
        0.085576476759
        Long
        DBT
        MUN
        US
        N
        
        2
        
          2045-05-15
          Fixed
          4.13100000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        INDONESIA ASAHAN ALUMINI
        2549008P48EB9SN2OI80
        Indonesia Asahan Aluminium Persero PT
        000000000
        
          
          
        
        1650000.00000000
        PA
        USD
        2022016.47000000
        0.210460308237
        Long
        DBT
        CORP
        ID
        N
        
        2
        
          2028-11-15
          Fixed
          6.53000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        STANDARD CHARTERED SECURITIES (NORTH AMERICA) LLC
        5493003GCX71N8988W38
        USD/IDR FORWARD
        000000000
        
          
          
        
        1.00000000
        NC
        USD
        -10431.37000000
        -0.00108574256
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              STANDARD CHARTERED SECURITIES (NORTH AMERICA) LLC
              5493003GCX71N8988W38
            
            -17537522000.00000000
            IDR
            1198000.00000000
            USD
            2021-09-15
            -10431.37000000
          
        
        
          N
          N
          N
        
      
      
        BARCLAYS BANK PLC
        G5GSEF7VJP5I7OUK5573
        SWOP CDS CDX.NA.IG.36.V1
        000000000
        
          
        
        21470000.00000000
        OU
        Other
        USD
        27908.41000000
        0.002904829242
        N/A
        DCR
        CORP
        GB
        
        N
        
        2
        
          
            
              BARCLAYS BANK PLC
              G5GSEF7VJP5I7OUK5573
            
            Put
            Purchased
            
              
                
                  
                    BARCLAYS BANK PLC
                    G5GSEF7VJP5I7OUK5573
                  
                  
                    BARCLAYS BANK PLC
                    G5GSEF7VJP5I7OUK5573
                    CDS CDX.NA.IG.36.V1
                    000000000
                    
                      
                    
                    0.00000000
                    NC
                    USD
                    0.00000000
                    0.00000000
                    DCR
                    CORP
                    GB
                    US
                  
                  
                    
                      IHS MARKIT LTD
                      CDX.NA.IG.36.V1
                      
                        
                        
                      
                    
                  
                  
                  Default Event
                  2026-06-20
                  0.00000000
                  USD
                  0.00000000
                  USD
                  N/A
                  N/A
                
              
            
            21470000.00000000
            USD
            52.50000000
            USD
            2021-09-15
            XXXX
            -2.59000000
          
        
        
          N
          N
          N
        
      
      
        GOLDMAN SACHS INTERNATIONAL
        W22LROWP2IHZNBB6K528
        CDS CMBX.NA.13.AAA
        000000000
        
          
        
        1.00000000
        NC
        USD
        -37422.08000000
        -0.00389505358
        N/A
        DCR
        CORP
        GB
        
        N
        
        2
        
          
            
              GOLDMAN SACHS INTERNATIONAL
              W22LROWP2IHZNBB6K528
            
            
              
                IHS MARKIT LTD
                CMBX.NA.13.AAA
                
                  
                  
                
              
            
            Y
            Default Event
            
            2072-12-16
            201150.84000000
            USD
            0.00000000
            USD
            -10000000.00000000
            USD
            -238572.92000000
          
        
        
          N
          N
          N
        
      
      
        LONDON CLEARING HOUSE
        213800O8SCO4XJGBU385
        IRS GBP
        000000000
        
          
        
        1.00000000
        NC
        
        -94597.44000000
        -0.00984611484
        N/A
        DIR
        CORP
        GB
        N
        
        2
        
          
            
              LONDON CLEARING HOUSE
              213800O8SCO4XJGBU385
            
            Y
            
              
                
              
            
            
            2029-05-08
            0.00000000
            USD
            -111179.26000000
            USD
            -1425000.00000000
            GBP
            16581.82000000
          
        
        
          N
          N
          N
        
      
      
        CHICAGO MERCANTILE EXCHANGE INC.
        SNZ2OJLFK8MNNCLQOF39
        IRS MXN
        000000000
        
          
        
        1.00000000
        NC
        
        -52921.36000000
        -0.00550828635
        N/A
        DIR
        CORP
        US
        
        N
        
        2
        
          
            
              CHICAGO MERCANTILE EXCHANGE INC.
              SNZ2OJLFK8MNNCLQOF39
            
            Y
            
            
              
                
              
            
            2031-01-03
            0.00000000
            USD
            -50.67000000
            USD
            11550000.00000000
            MXN
            -52870.69000000
          
        
        
          N
          N
          N
        
      
      
        Citibank, National Association
        E57ODZWZ7FF32TWEFA76
        JPY/USD FORWARD
        000000000
        
          
          
        
        1.00000000
        NC
        USD
        15718.50000000
        0.001636050152
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              Citibank, National Association
              E57ODZWZ7FF32TWEFA76
            
            -46713125.00000000
            JPY
            447400.87000000
            USD
            2023-10-31
            15718.50000000
          
        
        
          N
          N
          N
        
      
      
        DEUTSCHE BANK AKTIENGESELLSCHAFT
        7LTWFZYICNSX8D621K86
        SWOP CDS CDX.NA.IG.36.V1
        000000000
        
          
        
        27100000.00000000
        OU
        Other
        USD
        64.58000000
        0.000006721768
        N/A
        DCR
        CORP
        DE
        
        N
        
        2
        
          
            
              DEUTSCHE BANK AKTIENGESELLSCHAFT
              7LTWFZYICNSX8D621K86
            
            Call
            Purchased
            
              
                
                  
                    DEUTSCHE BANK AKTIENGESELLSCHAFT
                    7LTWFZYICNSX8D621K86
                  
                  
                    DEUTSCHE BANK AKTIENGESELLSCHAFT
                    7LTWFZYICNSX8D621K86
                    CDS CDX.NA.IG.36.V1
                    000000000
                    
                      
                    
                    0.00000000
                    NC
                    USD
                    0.00000000
                    0.00000000
                    DCR
                    CORP
                    DE
                    US
                  
                  
                    
                      IHS MARKIT LTD
                      CDX.NA.IG.36.V1
                      
                        
                        
                      
                    
                  
                  Default Event
                  
                  2026-06-20
                  0.00000000
                  USD
                  0.00000000
                  USD
                  N/A
                  N/A
                
              
            
            27100000.00000000
            USD
            37.50000000
            USD
            2021-08-18
            XXXX
            -1967.92000000
          
        
        
          N
          N
          N
        
      
      
        Oportun Funding LLC
        549300MXCNH68VEXKD16
        Oportun Funding XII LLC
        68377EAB7
        
          
        
        1200000.00000000
        PA
        USD
        1203503.64000000
        0.125265916869
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2024-12-09
          Fixed
          4.83000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MIZRAHI TEFAHOT BANK LTD
        YZO9YEGEO4VYDZMDWF93
        Mizrahi Tefahot Bank Ltd
        000000000
        
          
          
        
        1555000.00000000
        PA
        USD
        1561010.34000000
        0.162476776125
        Long
        DBT
        CORP
        IL
        N
        
        2
        
          2031-04-07
          Fixed
          3.07700000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        JP Morgan Chase Commercial Mor
        N/A
        JP Morgan Chase Commercial Mortgage Securities Corp
        46649XAN7
        
          
        
        7950000.00000000
        PA
        USD
        8220511.47000000
        0.855626748600
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2031-07-05
          Variable
          4.61320000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        J.P. MORGAN SECURITIES LLC
        ZBUT11V806EZRVTWT807
        USD/ZAR FORWARD
        000000000
        
          
          
        
        1.00000000
        NC
        USD
        -80551.29000000
        -0.00838413018
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              J.P. MORGAN SECURITIES LLC
              ZBUT11V806EZRVTWT807
            
            -18881021.00000000
            ZAR
            1159000.00000000
            USD
            2022-05-31
            -80551.29000000
          
        
        
          N
          N
          N
        
      
      
        OHIO ST UNIV
        JFC10ZULKO4X2E3HBY86
        Ohio State University/The
        677632PA3
        
          
          
        
        180000.00000000
        PA
        USD
        264310.21000000
        0.027510561408
        Long
        DBT
        MUN
        US
        N
        
        2
        
          2111-06-01
          Fixed
          4.80000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CONOCOPHILLIPS
        WPTL2Z3FIYTHSP5V2253
        ConocoPhillips
        20825CBB9
        
          
          
        
        275000.00000000
        PA
        USD
        366662.07000000
        0.038163790164
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2047-10-01
          Fixed
          4.87500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CITIGROUP INC
        6SHGI4ZSSLCXXQSBB395
        Citigroup Inc
        17308CC53
        
          
          
        
        870000.00000000
        PA
        USD
        929721.65000000
        0.096769491216
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2030-11-05
          Fixed
          2.97600000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        DEUTSCHE BANK AKTIENGESELLSCHAFT
        7LTWFZYICNSX8D621K86
        BRL/USD FORWARD
        000000000
        
          
          
        
        1.00000000
        NC
        USD
        2559193.26000000
        0.266372015425
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              DEUTSCHE BANK AKTIENGESELLSCHAFT
              7LTWFZYICNSX8D621K86
            
            -79414353.00000000
            BRL
            17683000.00000000
            USD
            2021-09-30
            2559193.26000000
          
        
        
          N
          N
          N
        
      
      
        Hertz Vehicle Financing LLC
        N/A
        Hertz Vehicle Financing III LP
        42806MAF6
        
          
        
        200000.00000000
        PA
        USD
        202903.14000000
        0.021119045279
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2027-12-27
          Fixed
          2.12000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Voya CLO Ltd
        N/A
        Voya CLO 2013-1 Ltd
        92917CAE2
        
          
        
        2738698.81000000
        PA
        USD
        2739071.55000000
        0.285094533723
        Long
        ABS-CBDO
        CORP
        KY
        N
        
        2
        
          2030-10-15
          Floating
          1.33613000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        ENTERPRISE PRODUCTS OPER
        5493004LGN656HWLDA30
        Enterprise Products Operating LLC
        29379VBF9
        
          
          
        
        1825000.00000000
        PA
        USD
        2366061.47000000
        0.246270014944
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2054-10-15
          Fixed
          4.95000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CHICAGO MERCANTILE EXCHANGE
        SNZ2OJLFK8MNNCLQOF39
        IRS BRL
        000000000
        
          
        
        1.00000000
        NC
        
        1255.09000000
        0.000130635250
        N/A
        DIR
        CORP
        US
        
        N
        
        2
        
          
            
              CHICAGO MERCANTILE EXCHANGE
              SNZ2OJLFK8MNNCLQOF39
            
            Y
            
            
              
                
              
            
            2025-01-02
            0.00000000
            USD
            0.00000000
            USD
            18613935.42000000
            BRL
            1255.09000000
          
        
        
          N
          N
          N
        
      
      
        SoFi Alternative Trust
        N/A
        Sofi Alternative Trust 2019-D
        83406DAE7
        
          
        
        5592510.98000000
        PA
        USD
        5793377.20000000
        0.603000009809
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2046-01-16
          Variable
          2.79878000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        J.P. MORGAN SECURITIES LLC
        ZBUT11V806EZRVTWT807
        USD/KRW FORWARD
        000000000
        
          
          
        
        1.00000000
        NC
        USD
        6112.06000000
        0.000636169907
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              J.P. MORGAN SECURITIES LLC
              ZBUT11V806EZRVTWT807
            
            -430267330.00000000
            KRW
            379000.00000000
            USD
            2021-09-15
            6112.06000000
          
        
        
          N
          N
          N
        
      
      
        BARCLAYS BANK PLC
        G5GSEF7VJP5I7OUK5573
        SWOP CDS ITRAXX.EU.XO.35.V1
        000000000
        
          
        
        -9710000.00000000
        OU
        Other
        
        -151330.56000000
        -0.01575114583
        N/A
        DCR
        CORP
        GB
        
        N
        
        2
        
          
            
              BARCLAYS BANK PLC
              G5GSEF7VJP5I7OUK5573
            
            Put
            Written
            
              
                
                  
                    BARCLAYS BANK PLC
                    G5GSEF7VJP5I7OUK5573
                  
                  
                    BARCLAYS BANK PLC
                    G5GSEF7VJP5I7OUK5573
                    CDS ITRAXX.EU.XO.35.V1
                    000000000
                    
                      
                    
                    0.00000000
                    NC
                    
                    0.00000000
                    0.00000000
                    DCR
                    CORP
                    GB
                    US
                  
                  
                    
                      IHS MARKIT LTD
                      ITRAXX.EU.XO.35.V1
                      
                        
                        
                      
                    
                  
                  Default Event
                  
                  2026-06-20
                  0.00000000
                  USD
                  0.00000000
                  USD
                  N/A
                  N/A
                
              
            
            -9710000.00000000
            USD
            900.00000000
            EUR
            2022-06-15
            XXXX
            -103103.81000000
          
        
        
          N
          N
          N
        
      
      
        Citibank, National Association
        E57ODZWZ7FF32TWEFA76
        USD/JPY FORWARD
        000000000
        
          
          
        
        1.00000000
        NC
        USD
        -340277.15000000
        -0.03541753241
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              Citibank, National Association
              E57ODZWZ7FF32TWEFA76
            
            -5262454.42000000
            USD
            538980582.00000000
            JPY
            2022-01-28
            -340277.15000000
          
        
        
          N
          N
          N
        
      
      
        UBS-Barclays Commercial Mortga
        549300G1IXWLFE766Q13
        UBS-Barclays Commercial Mortgage Trust 2013-C6
        90349GAJ4
        
          
        
        140883000.00000000
        PA
        USD
        859653.98000000
        0.089476542002
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2046-04-10
          Variable
          0.37575100
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        DEUTSCHE BANK AKTIENGESELLSCHAFT
        7LTWFZYICNSX8D621K86
        USD/BRL FORWARD
        000000000
        
          
          
        
        1.00000000
        NC
        USD
        -518342.18000000
        -0.05395131869
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              DEUTSCHE BANK AKTIENGESELLSCHAFT
              7LTWFZYICNSX8D621K86
            
            -3883000.00000000
            USD
            17667650.00000000
            BRL
            2021-09-30
            -518342.18000000
          
        
        
          N
          N
          N
        
      
      
        UK CLEARING HOUSE LIMITED
        213800O8SCO4XJGBU385
        IRS ZAR
        000000000
        
          
        
        1.00000000
        NC
        
        263940.82000000
        0.027472113683
        N/A
        DIR
        CORP
        GB
        
        N
        
        2
        
          
            
              UK CLEARING HOUSE LIMITED
              213800O8SCO4XJGBU385
            
            Y
            
            
              
                
              
            
            2030-03-12
            0.00000000
            USD
            -439.26000000
            USD
            54300000.00000000
            ZAR
            264380.08000000
          
        
        
          N
          N
          N
        
      
      
        GOLDMAN SACHS & CO. LLC
        FOR8UP27PHTHYVLBNG30
        PHP/USD FORWARD
        000000000
        
          
          
        
        1.00000000
        NC
        USD
        -5010.07000000
        -0.00052146997
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              GOLDMAN SACHS & CO. LLC
              FOR8UP27PHTHYVLBNG30
            
            -1117000.00000000
            USD
            55706660.00000000
            PHP
            2021-09-15
            -5010.07000000
          
        
        
          N
          N
          N
        
      
      
        CHICAGO MERCANTILE EXCHANGE
        SNZ2OJLFK8MNNCLQOF39
        IRS BRL
        000000000
        
          
        
        1.00000000
        NC
        
        8702.71000000
        0.000905816078
        N/A
        DIR
        CORP
        US
        
        N
        
        2
        
          
            
              CHICAGO MERCANTILE EXCHANGE
              SNZ2OJLFK8MNNCLQOF39
            
            Y
            
            
              
                
              
            
            2025-01-02
            0.00000000
            USD
            0.00000000
            USD
            21128405.65000000
            BRL
            8702.71000000
          
        
        
          N
          N
          N
        
      
      
        JP Morgan Chase Commercial Mor
        N/A
        JP Morgan Chase Commercial Mortgage Securities Trust 2013-LC11
        46639YAT4
        
          
        
        34956250.00000000
        PA
        USD
        299795.29000000
        0.031204003566
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2046-04-15
          Variable
          0.51111100
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Bear Stearns Asset Backed Secu
        N/A
        Bear Stearns Asset Backed Securities Trust 2002-2
        07384YEM4
        
          
          
        
        512829.64000000
        PA
        USD
        510464.42000000
        0.053131367014
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2032-10-25
          Floating
          0.74925000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        US TREASURY N/B
        254900HROIFWPRGM1V77
        United States Treasury Note/Bond
        912810RK6
        
          
          
        
        3505000.00000000
        PA
        USD
        3920671.09000000
        0.408080576167
        Long
        DBT
        UST
        US
        N
        
        2
        
          2045-02-15
          Fixed
          2.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Bank of America, National Association
        B4TYDEB6GKMZO031MB27
        EUR/GBP FORWARD
        000000000
        
          
          
        
        1.00000000
        NC
        USD
        -104314.27000000
        -0.01085748496
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              Bank of America, National Association
              B4TYDEB6GKMZO031MB27
            
            -1471991.00000000
            GBP
            1636000.00000000
            EUR
            2021-08-31
            -104314.27000000
          
        
        
          N
          N
          N
        
      
      
        NUTRIEN LTD
        5493002QQ7GD21OWF963
        Nutrien Ltd
        67077MAR9
        
          
          
        
        1350000.00000000
        PA
        USD
        1756077.92000000
        0.182780262087
        Long
        DBT
        CORP
        CA
        N
        
        2
        
          2043-06-01
          Fixed
          4.90000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        DIAMOND SPORTS GR/DIAMON
        N/A
        Diamond Sports Group LLC / Diamond Sports Finance Co
        25277LAC0
        
          
          
        
        2785000.00000000
        PA
        USD
        1109429.06000000
        0.115474223577
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2027-08-15
          Fixed
          6.62500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        TRANSOCEAN INC
        DOL4HJ22ADYSIWES4H94
        Transocean Inc
        893830BK4
        
          
          
        
        3025000.00000000
        PA
        USD
        2411792.33000000
        0.251029882647
        Long
        DBT
        CORP
        KY
        
        N
        
        2
        
          2025-11-01
          Fixed
          7.25000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BARCLAYS BANK PLC
        G5GSEF7VJP5I7OUK5573
        SWOP CDS CDX.NA.IG.36.V1
        000000000
        
          
        
        -21470000.00000000
        OU
        Other
        USD
        -10539.43000000
        -0.00109698992
        N/A
        DCR
        CORP
        GB
        
        N
        
        2
        
          
            
              BARCLAYS BANK PLC
              G5GSEF7VJP5I7OUK5573
            
            Put
            Written
            
              
                
                  
                    BARCLAYS BANK PLC
                    G5GSEF7VJP5I7OUK5573
                  
                  
                    BARCLAYS BANK PLC
                    G5GSEF7VJP5I7OUK5573
                    CDS CDX.NA.IG.36.V1
                    000000000
                    
                      
                    
                    0.00000000
                    NC
                    USD
                    0.00000000
                    0.00000000
                    DCR
                    CORP
                    GB
                    US
                  
                  
                    
                      IHS MARKIT LTD
                      CDX.NA.IG.36.V1
                      
                        
                        
                      
                    
                  
                  Default Event
                  
                  2026-06-20
                  0.00000000
                  USD
                  0.00000000
                  USD
                  N/A
                  N/A
                
              
            
            -21470000.00000000
            USD
            65.00000000
            USD
            2021-09-15
            XXXX
            624.97000000
          
        
        
          N
          N
          N
        
      
      
        UK CLEARING HOUSE LIMITED
        213800O8SCO4XJGBU385
        IRS NZD
        000000000
        
          
        
        1.00000000
        NC
        
        -89080.14000000
        -0.00927185015
        N/A
        DIR
        CORP
        GB
        
        N
        
        2
        
          
            
              UK CLEARING HOUSE LIMITED
              213800O8SCO4XJGBU385
            
            Y
            
            
              
                
              
            
            2031-01-26
            0.00000000
            USD
            0.00000000
            USD
            2100000.00000000
            NZD
            -89080.14000000
          
        
        
          N
          N
          N
        
      
      
        UK CLEARING HOUSE LIMITED
        213800O8SCO4XJGBU385
        IRS IFS USD
        000000000
        
          
        
        1.00000000
        NC
        USD
        -62985.34000000
        -0.00655578936
        N/A
        DIR
        CORP
        GB
        
        N
        
        2
        
          
            
              UK CLEARING HOUSE LIMITED
              213800O8SCO4XJGBU385
            
            Y
            
            
              
                
              
            
            2031-04-09
            0.00000000
            USD
            0.00000000
            USD
            2110000.00000000
            USD
            -62985.34000000
          
        
        
          N
          N
          N
        
      
      
        ASCENT RESOURCES/ARU FIN
        N/A
        Ascent Resources Utica Holdings LLC / ARU Finance Corp
        04364VAK9
        
          
          
        
        974000.00000000
        PA
        USD
        1333496.07000000
        0.138796096910
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2027-11-01
          Fixed
          9.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Citibank, National Association
        E57ODZWZ7FF32TWEFA76
        USD/EUR FORWARD
        000000000
        
          
          
        
        1.00000000
        NC
        USD
        1029.99000000
        0.000107205859
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              Citibank, National Association
              E57ODZWZ7FF32TWEFA76
            
            -509378.00000000
            EUR
            606702.82000000
            USD
            2021-11-22
            1029.99000000
          
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        USD/INR FORWARD
        000000000
        
          
          
        
        1.00000000
        NC
        USD
        -59620.94000000
        -0.00620560791
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            -164184102.50000000
            INR
            2095000.00000000
            USD
            2022-02-25
            -59620.94000000
          
        
        
          N
          N
          N
        
      
      
        BEAZER HOMES USA
        549300DUPYT2T0F60I45
        Beazer Homes USA Inc
        07556QBT1
        
          
          
        
        3625000.00000000
        PA
        USD
        3980434.88000000
        0.414301052534
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2029-10-15
          Fixed
          7.25000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. INTERNATIONAL PLC
        4PQUHN3JPFGFNF3BB653
        CDS GENERAL ELECTRIC CO
        000000000
        
          
        
        1.00000000
        NC
        USD
        22449.95000000
        0.002336688878
        N/A
        DCR
        CORP
        GB
        
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. INTERNATIONAL PLC
              4PQUHN3JPFGFNF3BB653
            
            
              
                GENERAL ELECTRIC CO
                General Electric Co
                
                  
                  
                  
                
              
            
            Y
            
            Default Event
            2022-06-20
            17376.76000000
            USD
            0.00000000
            USD
            2780000.00000000
            USD
            5073.19000000
          
        
        
          N
          N
          N
        
      
      
        Bank of America, National Association
        B4TYDEB6GKMZO031MB27
        USD/BRL FORWARD
        000000000
        
          
          
        
        1.00000000
        NC
        USD
        16606.39000000
        0.001728465623
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              Bank of America, National Association
              B4TYDEB6GKMZO031MB27
            
            -2362540.20000000
            BRL
            470000.00000000
            USD
            2021-08-03
            16606.39000000
          
        
        
          N
          N
          N
        
      
      
        HSBC SECURITIES (USA) INC.
        CYYGQCGNHMHPSMRL3R97
        IDR/USD FORWARD
        000000000
        
          
          
        
        1.00000000
        NC
        USD
        -51669.73000000
        -0.00537801123
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              HSBC SECURITIES (USA) INC.
              CYYGQCGNHMHPSMRL3R97
            
            -6484812.25000000
            USD
            93361842027.00000000
            IDR
            2021-09-15
            -51669.73000000
          
        
        
          N
          N
          N
        
      
      
        Wellfleet CLO Ltd
        254900TEETF3L54VTH19
        Wellfleet CLO 2017-3 Ltd
        94950HAA3
        
          
        
        10500000.00000000
        PA
        USD
        10500514.50000000
        1.092939425126
        Long
        ABS-CBDO
        CORP
        KY
        
        N
        
        2
        
          2031-01-17
          Floating
          1.28388000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        EG GLOBAL FINANCE PLC
        549300TL8Q5207VYET27
        eG Global Finance PLC
        000000000
        
          
          
        
        4700000.00000000
        PA
        
        5484775.16000000
        0.570879361227
        Long
        DBT
        CORP
        GB
        Y
        
        2
        
          2025-02-07
          Fixed
          4.37500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MEDTRONIC GLOBAL HLDINGS
        549300JXMTTP8GKYIX14
        Medtronic Global Holdings SCA
        58507LAK5
        
          
          
        
        705000.00000000
        PA
        
        1024458.26000000
        0.106630091482
        Long
        DBT
        CORP
        LU
        
        N
        
        2
        
          2039-03-07
          Fixed
          2.25000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        JSM GLOBAL SARL
        222100JFIJNVE1XMFY68
        JSM Global Sarl
        46592BAA0
        
          
          
        
        1800000.00000000
        PA
        USD
        1864472.76000000
        0.194062470603
        Long
        DBT
        CORP
        LU
        
        N
        
        2
        
          2030-10-20
          Fixed
          4.75000000
          N
          N
          N
        
        
          N
          N
          
        
      
      
        GOLDMAN SACHS & CO. LLC
        FOR8UP27PHTHYVLBNG30
        USD/THB FORWARD
        000000000
        
          
          
        
        1.00000000
        NC
        USD
        -102278.58000000
        -0.01064560145
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              GOLDMAN SACHS & CO. LLC
              FOR8UP27PHTHYVLBNG30
            
            -2247740.51000000
            USD
            70533272.00000000
            THB
            2021-09-15
            -102278.58000000
          
        
        
          N
          N
          N
        
      
      
        BARCLAYS BANK PLC
        G5GSEF7VJP5I7OUK5573
        CDS OVINTIV INC
        000000000
        
          
        
        1.00000000
        NC
        USD
        4080.87000000
        0.000424754778
        N/A
        DCR
        CORP
        GB
        
        N
        
        2
        
          
            
              BARCLAYS BANK PLC
              G5GSEF7VJP5I7OUK5573
            
            
              
                OVINTIV INC
                Ovintiv Inc
                
                  
                  
                  
                
              
            
            Y
            
            Default Event
            2021-12-20
            2983.89000000
            USD
            0.00000000
            USD
            1140000.00000000
            USD
            1096.98000000
          
        
        
          N
          N
          N
        
      
      
        GS Mortgage Securities Corp.
        N/A
        GSMSC Resecuritization Trust 2015-3R
        36250FAH0
        
          
        
        604487.99000000
        PA
        USD
        601142.15000000
        0.062569501317
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2036-10-26
          Floating
          0.22925000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        J.P. MORGAN SECURITIES LLC
        ZBUT11V806EZRVTWT807
        ZAR/USD FORWARD
        000000000
        
          
          
        
        1.00000000
        NC
        USD
        495.98000000
        0.000051623765
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              J.P. MORGAN SECURITIES LLC
              ZBUT11V806EZRVTWT807
            
            -10545347.92000000
            ZAR
            716000.00000000
            USD
            2021-09-15
            495.98000000
          
        
        
          N
          N
          N
        
      
      
        DIAMOND BC BV
        549300SWLHWJF3D4N658
        Diamond BC BV
        000000000
        
          
          
        
        6085000.00000000
        PA
        
        7327363.93000000
        0.762664050542
        Long
        DBT
        CORP
        NL
        
        N
        
        2
        
          2025-08-15
          Fixed
          5.62500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        ASCENT RESOURCES/ARU FIN
        N/A
        Ascent Resources Utica Holdings LLC / ARU Finance Corp
        04364VAG8
        
          
          
        
        1225000.00000000
        PA
        USD
        1266042.08000000
        0.131775190930
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2026-11-01
          Fixed
          7.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BRINKER INTERNATIONAL IN
        52990067JY6PBGJNTG76
        Brinker International Inc
        109641AH3
        
          
          
        
        1000000.00000000
        PA
        USD
        1061269.90000000
        0.110461607801
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2024-10-01
          Fixed
          5.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        HARTFORD FINL SVCS GRP
        IU7C3FTM7Y3BQM112U94
        Hartford Financial Services Group Inc/The
        416515AP9
        
          
          
        
        280000.00000000
        PA
        USD
        408675.97000000
        0.042536780432
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2041-10-01
          Fixed
          6.10000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Morgan Stanley BAML Trust
        N/A
        Morgan Stanley Bank of America Merrill Lynch Trust 2013-C8
        61761QAL7
        
          
        
        68276000.00000000
        PA
        USD
        418852.78000000
        0.043596027279
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2048-12-15
          Variable
          0.49700000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        JBS USA FOOD CO
        549300O7SUM086E3RD66
        JBS USA Food Co
        46650CAB5
        
          
          
        
        950000.00000000
        PA
        USD
        1004244.12000000
        0.104526115477
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2028-01-15
          Fixed
          5.75000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        J.P. MORGAN SECURITIES LLC
        ZBUT11V806EZRVTWT807
        USD/INR FORWARD
        000000000
        
          
          
        
        1.00000000
        NC
        USD
        -5011.12000000
        -0.00052157926
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              J.P. MORGAN SECURITIES LLC
              ZBUT11V806EZRVTWT807
            
            -84712500.00000000
            INR
            1128000.00000000
            USD
            2021-09-15
            -5011.12000000
          
        
        
          N
          N
          N
        
      
      
        CHARTER COMM OPT LLC/CAP
        N/A
        Charter Communications Operating LLC / Charter Communications Operating Capital
        161175BA1
        
          
          
        
        585000.00000000
        PA
        USD
        823823.36000000
        0.085747134531
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2045-10-23
          Fixed
          6.48400000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BANK OF AMERICA, NATIONAL ASSOCIATION
        B4TYDEB6GKMZO031MB27
        EUR CALL VERSUS USD PUT
        000000000
        
          
        
        -6562500.00000000
        NC
        
        -40585.36000000
        -0.00422430158
        N/A
        DFE
        CORP
        US
        
        N
        
        2
        
          
            
              BANK OF AMERICA, NATIONAL ASSOCIATION
              B4TYDEB6GKMZO031MB27
            
            Call
            Written
            
              
                
                  
                    BANK OF AMERICA, NATIONAL ASSOCIATION
                    B4TYDEB6GKMZO031MB27
                  
                  
                    BANK OF AMERICA, NATIONAL ASSOCIATION
                    B4TYDEB6GKMZO031MB27
                    EUR CALL VERSUS USD PUT
                    000000000
                    
                      
                    
                    0.00000000
                    NC
                    USD
                    0.00000000
                    0.00000000
                    DFE
                    CORP
                    US
                  
                  N/A
                  USD
                  N/A
                  EUR
                  2021-11-18
                
              
            
            -6562500.00000000
            USD
            1.21000000
            EUR
            2021-11-18
            XXXX
            36976.67000000
          
        
        
          N
          N
          N
        
      
      
        BARCLAYS CAPITAL INC.
        AC28XWWI3WIBK2824319
        CDS UNITED STATES OF AMERICA
        000000000
        
          
        
        1.00000000
        NC
        
        -14449.26000000
        -0.00150394210
        N/A
        DCR
        CORP
        US
        
        N
        
        2
        
          
            
              BARCLAYS CAPITAL INC.
              AC28XWWI3WIBK2824319
            
            
              
                US TREASURY N/B
                United States Treasury Note/Bond
                
                  
                  
                  
                
              
            
            Y
            
            Default Event
            2022-12-20
            0.00000000
            USD
            -12698.56000000
            USD
            -3730000.00000000
            EUR
            -1750.70000000
          
        
        
          N
          N
          N
        
      
      
        GOLDMAN SACHS INTERNATIONAL
        W22LROWP2IHZNBB6K528
        CDS CASINO GUICHARD PERRACHON SA
        000000000
        
          
        
        1.00000000
        NC
        
        32978.03000000
        0.003432497440
        N/A
        DCR
        CORP
        GB
        
        N
        
        2
        
          
            
              GOLDMAN SACHS INTERNATIONAL
              W22LROWP2IHZNBB6K528
            
            
              
                Casino Guichard Perrachon SA
                CASINO GUICHARD PERRACHO
                
                  
                  
                  
                
              
            
            Y
            
            Default Event
            2024-06-20
            27767.84000000
            USD
            0.00000000
            USD
            1490000.00000000
            EUR
            5210.19000000
          
        
        
          N
          N
          N
        
      
      
        CHICAGO MERCANTILE EXCHANGE INC.
        SNZ2OJLFK8MNNCLQOF39
        IRS COP
        000000000
        
          
        
        1.00000000
        NC
        
        24329.64000000
        0.002532335225
        N/A
        DIR
        CORP
        US
        
        N
        
        2
        
          
            
              CHICAGO MERCANTILE EXCHANGE INC.
              SNZ2OJLFK8MNNCLQOF39
            
            Y
            
            
              
                
              
            
            2025-02-21
            0.00000000
            USD
            0.00000000
            USD
            12642920000.00000000
            COP
            24329.64000000
          
        
        
          N
          N
          N
        
      
      
        STANDARD CHARTERED SECURITIES (NORTH AMERICA) LLC
        5493003GCX71N8988W38
        USD/CNH FORWARD
        000000000
        
          
          
        
        1.00000000
        NC
        USD
        168.93000000
        0.000017582972
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              STANDARD CHARTERED SECURITIES (NORTH AMERICA) LLC
              5493003GCX71N8988W38
            
            -1222000.00000000
            USD
            7912816.60000000
            CNY
            2021-08-18
            168.93000000
          
        
        
          N
          N
          N
        
      
      
        CHICAGO MERCANTILE EXCHANGE INC.
        SNZ2OJLFK8MNNCLQOF39
        IRS MXN
        000000000
        
          
        
        1.00000000
        NC
        
        -340392.95000000
        -0.03542958538
        N/A
        DIR
        CORP
        US
        
        N
        
        2
        
          
            
              CHICAGO MERCANTILE EXCHANGE INC.
              SNZ2OJLFK8MNNCLQOF39
            
            Y
            
            
              
                
              
            
            2028-01-12
            0.00000000
            USD
            -59.74000000
            USD
            81700000.00000000
            MXN
            -340333.21000000
          
        
        
          N
          N
          N
        
      
      
        Freddie Mac - STACR
        S6XOOCT0IEG5ABCC6L87
        Freddie Mac Structured Agency Credit Risk Debt Notes
        35564KDX4
        
          
        
        3260000.00000000
        PA
        USD
        3356514.26000000
        0.349360668541
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2033-08-25
          Floating
          3.45000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MAGELLAN MIDSTREAM PARTN
        MZF5TI8NFVZZNUSKDL39
        Magellan Midstream Partners LP
        559080AG1
        
          
          
        
        1350000.00000000
        PA
        USD
        1714804.26000000
        0.178484319233
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2043-10-15
          Fixed
          5.15000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        TALLGRASS NRG PRTNR/FIN
        N/A
        Tallgrass Energy Partners LP / Tallgrass Energy Finance Corp
        87470LAH4
        
          
          
        
        125000.00000000
        PA
        USD
        135769.67000000
        0.014131500421
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2025-10-01
          Fixed
          7.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Oportun Funding LLC
        549300MXCNH68VEXKD16
        Oportun Funding XII LLC
        68377EAA9
        
          
        
        2300000.00000000
        PA
        USD
        2306491.06000000
        0.240069666412
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2024-12-09
          Fixed
          4.15000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        GOLDMAN SACHS & CO. LLC
        FOR8UP27PHTHYVLBNG30
        USD CALL VERSUS MXN PUT
        000000000
        
          
        
        28000000.00000000
        NC
        USD
        5759.41000000
        0.000599464555
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              GOLDMAN SACHS & CO. LLC
              FOR8UP27PHTHYVLBNG30
            
            Call
            Purchased
            
              
                
                  
                    GOLDMAN SACHS & CO. LLC
                    FOR8UP27PHTHYVLBNG30
                  
                  
                    GOLDMAN SACHS & CO. LLC
                    FOR8UP27PHTHYVLBNG30
                    USD CALL VERSUS MXN PUT
                    000000000
                    
                      
                    
                    0.00000000
                    NC
                    
                    0.00000000
                    0.00000000
                    DFE
                    CORP
                    US
                    US
                  
                  N/A
                  MXN
                  N/A
                  USD
                  2022-02-23
                
              
            
            28000000.00000000
            USD
            36.00000000
            USD
            2022-02-23
            XXXX
            -636196.59000000
          
        
        
          N
          N
          N
        
      
      
        Morgan Stanley Capital Inc
        N/A
        Morgan Stanley ABS Capital I Inc Trust 2003-NC8
        61746RDM0
        
          
          
        
        348601.78000000
        PA
        USD
        347432.64000000
        0.036162307078
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2033-09-25
          Floating
          1.13925000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        ENERGY TRANSFER LP
        MTLVN9N7JE8MIBIJ1H73
        Energy Transfer LP
        29273VAM2
        
          
          
        
        3360000.00000000
        PA
        USD
        3464719.24000000
        0.360623115599
        Long
        DBT
        CORP
        US
        N
        
        2
        
          N/A
          Fixed
          7.12500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FHLMC Multifamily Structured P
        S6XOOCT0IEG5ABCC6L87
        Freddie Mac Multifamily Structured Pass Through Certificates
        3137BPW39
        
          
          
        
        22430453.11000000
        PA
        USD
        1232174.32000000
        0.128250086503
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2026-03-25
          Variable
          1.35772000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        PETROLEOS MEXICANOS
        549300CAZKPF4HKMPX17
        Petroleos Mexicanos
        000000000
        
          
          
        
        250000.00000000
        PA
        
        296219.93000000
        0.030831864477
        Long
        DBT
        CORP
        MX
        N
        
        2
        
          2028-02-21
          Fixed
          4.87500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Bank of America, National Association
        B4TYDEB6GKMZO031MB27
        USD/JPY FORWARD
        000000000
        
          
          
        
        1.00000000
        NC
        USD
        1522758.89000000
        0.158495398091
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              Bank of America, National Association
              B4TYDEB6GKMZO031MB27
            
            -2494308005.00000000
            JPY
            24573000.00000000
            USD
            2023-10-31
            1522758.89000000
          
        
        
          N
          N
          N
        
      
      
        CAESARS RESORT / FINCO
        N/A
        Caesars Resort Collection LLC / CRC Finco Inc
        12652AAA1
        
          
          
        
        1725000.00000000
        PA
        USD
        1738070.50000000
        0.180905971140
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2025-10-15
          Fixed
          5.25000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CHICAGO MERCANTILE EXCHANGE INC.
        SNZ2OJLFK8MNNCLQOF39
        IRS MXN
        000000000
        
          
        
        1.00000000
        NC
        
        -47056.56000000
        -0.00489785235
        N/A
        DIR
        CORP
        US
        
        N
        
        2
        
          
            
              CHICAGO MERCANTILE EXCHANGE INC.
              SNZ2OJLFK8MNNCLQOF39
            
            Y
            
            
              
                
              
            
            2035-12-28
            0.00000000
            USD
            -53.94000000
            USD
            8665000.00000000
            MXN
            -47002.62000000
          
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        USD/COP FORWARD
        000000000
        
          
          
        
        1.00000000
        NC
        USD
        15552.58000000
        0.001618780474
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            -5390130770.00000000
            COP
            1402000.00000000
            USD
            2021-09-15
            15552.58000000
          
        
        
          N
          N
          N
        
      
      
        Bank of America, National Association
        B4TYDEB6GKMZO031MB27
        MXN/USD FORWARD
        000000000
        
          
          
        
        1.00000000
        NC
        USD
        300003.71000000
        0.031225696830
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              Bank of America, National Association
              B4TYDEB6GKMZO031MB27
            
            -2005106.83000000
            USD
            47307087.00000000
            MXN
            2022-02-25
            300003.71000000
          
        
        
          N
          N
          N
        
      
      
        TEACHERS INSUR & ANNUITY
        O06XD7BJ4EPXNABVFN69
        Teachers Insurance & Annuity Association of America
        878091BC0
        
          
          
        
        54000.00000000
        PA
        USD
        83147.33000000
        0.008654337370
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2039-12-16
          Fixed
          6.85000000
          N
          N
          N
        
        
          N
          N
          N
        
      
    
    
      
      
    
    
      2021-09-23
      Prudential Investment Portfolios 9
      Christian J. Kelly
      Christian J. Kelly
      Treasurer and Principal Financial and Accounting Officer
    
  
  XXXX




PGIM Absolute Return Bond Fund
Schedule of Investments as of July 31, 2021 (unaudited)
Description Interest
Rate
Maturity
Date
Principal
Amount
(000)#
Value
Long-Term Investments 89.5%
Asset-Backed Securities 27.9%
Automobiles 0.2%
Hertz Vehicle Financing III LP,          
Series 2021-02A, Class B, 144A 2.120 % 12/27/27   200  $202,903
Series 2021-02A, Class C, 144A 2.520 12/27/27   100 101,748
     
 
OneMain Direct Auto Receivables Trust,
Series 2019-01A, Class B, 144A
3.950 11/14/28   1,700 1,867,605
          2,172,256
Collateralized Loan Obligations 19.2%
Anchorage Credit Opportunities CLO Ltd. (Cayman Islands),
Series 2019-01A, Class A1, 144A, 3 Month LIBOR + 1.950% (Cap N/A, Floor 1.950%)
2.084(c) 01/20/32   15,000 15,020,578
Ares European CLO DAC (Ireland),
Series 2013-06A, Class B1RR, 144A, 3 Month EURIBOR + 1.250% (Cap N/A, Floor 1.250%)
1.250(c) 04/15/30 EUR 2,500 2,967,969
ArrowMark Colorado Holdings (Cayman Islands),
Series 2017-06A, Class A1, 144A, 3 Month LIBOR + 1.280% (Cap N/A, Floor 0.000%)
1.406(c) 07/15/29   2,500 2,500,001
Brookside Mill CLO Ltd. (Cayman Islands),
Series 2013-01A, Class BR, 144A, 3 Month LIBOR + 1.350% (Cap N/A, Floor 0.000%)
1.484(c) 01/17/28   4,000 4,003,052
Carlyle Euro CLO DAC (Ireland),          
Series 2019-01A, Class A1R, 144A, 3 Month EURIBOR + 0.750% (Cap N/A, Floor 0.750%) 0.750(c) 03/15/32 EUR 1,750 2,073,678
Series 2019-01A, Class A2RB, 144A 2.100 03/15/32 EUR 6,500 7,720,168
     
 
Elevation CLO Ltd. (Cayman Islands),
Series 2017-07A, Class A, 144A, 3 Month LIBOR + 1.220% (Cap N/A, Floor 0.000%)
1.346(c) 07/15/30   4,000 4,000,190
Ellington CLO Ltd. (Cayman Islands),
Series 2017-02A, Class A, 144A, 3 Month LIBOR + 1.700% (Cap N/A, Floor 1.700%)
1.856(c) 02/15/29   18,783 18,760,243
KKR CLO Ltd. (Cayman Islands),          
Series 11, Class AR, 144A, 3 Month LIBOR + 1.180% (Cap N/A, Floor 0.000%) 1.306(c) 01/15/31   8,000 7,992,942
Series 32A, Class A1, 144A, 3 Month LIBOR + 1.320% (Cap N/A, Floor 1.320%) 1.446(c) 01/15/32   5,000 5,002,642
MidOcean Credit CLO (Cayman Islands),          
Series 2014-03A, Class A1R, 144A, 3 Month LIBOR + 1.120% (Cap N/A, Floor 1.120%) 1.254(c) 04/21/31   7,411 7,411,390
1

PGIM Absolute Return Bond Fund
Schedule of Investments as of July 31, 2021 (unaudited) (continued)
Description Interest
Rate
Maturity
Date
Principal
Amount
(000)#
Value
Asset-Backed Securities (Continued)
Collateralized Loan Obligations (cont’d.)
MidOcean Credit CLO (Cayman Islands), (cont’d.)          
Series 2014-03A, Class BR, 144A, 3 Month LIBOR + 1.800% (Cap N/A, Floor 1.800%) 1.934 %(c) 04/21/31   18,000   $18,013,772
     
 
Mountain View CLO Ltd. (Cayman Islands),
Series 2019-01A, Class B, 144A, 3 Month LIBOR + 1.849% (Cap N/A, Floor 2.000%)
2.027(c) 04/15/29   3,750 3,751,326
OZLM Ltd. (Cayman Islands),
Series 2014-06A, Class A2AS, 144A, 3 Month LIBOR + 1.750% (Cap N/A, Floor 0.000%)
1.884(c) 04/17/31   4,000 3,989,964
Palmer Square CLO Ltd. (Cayman Islands),
Series 2014-01A, Class A1R2, 144A, 3 Month LIBOR + 1.130% (Cap N/A, Floor 1.130%)
1.264(c) 01/17/31   5,000 5,003,686
Penta CLO DAC (Ireland),
Series 2018-05A, Class B1R, 144A, 3 Month EURIBOR + 1.550% (Cap N/A, Floor 1.550%)
1.550(c) 04/20/35 EUR 10,000 11,856,222
Romark CLO Ltd. (Cayman Islands),
Series 2018-02A, Class A1, 144A, 3 Month LIBOR + 1.175% (Cap N/A, Floor 1.175%)
1.300(c) 07/25/31   5,000 5,000,013
Romark WM-R Ltd. (Cayman Islands),
Series 2018-01A, Class A1, 144A, 3 Month LIBOR + 1.030% (Cap N/A, Floor 0.000%)
1.164(c) 04/20/31   1,484 1,484,153
Strata CLO Ltd. (Cayman Islands),
Series 2018-01A, Class A, 144A, 3 Month LIBOR + 1.590% (Cap N/A, Floor 1.590%)
1.716(c) 01/15/31   19,000 18,985,457
Trinitas CLO Ltd. (Cayman Islands),
Series 2017-07A, Class A, 144A, 3 Month LIBOR + 1.210% (Cap N/A, Floor 0.000%)
1.335(c) 01/25/31   4,500 4,500,057
Venture CLO Ltd. (Cayman Islands),
Series 2015-21A, Class AR, 144A, 3 Month LIBOR + 0.880% (Cap N/A, Floor 0.000%)
1.006(c) 07/15/27   2,717 2,717,402
Voya CLO Ltd. (Cayman Islands),
Series 2013-01A, Class A1AR, 144A, 3 Month LIBOR + 1.210% (Cap N/A, Floor 0.000%)
1.336(c) 10/15/30   2,739 2,739,072
Wellfleet CLO Ltd. (Cayman Islands),
Series 2017-03A, Class A1, 144A, 3 Month LIBOR + 1.150% (Cap N/A, Floor 1.150%)
1.284(c) 01/17/31   10,500 10,500,514
York CLO Ltd. (Cayman Islands),
Series 2015-01A, Class AR, 144A, 3 Month LIBOR + 1.150% (Cap N/A, Floor 0.000%)
1.288(c) 01/22/31   3,000 2,999,996
2

PGIM Absolute Return Bond Fund
Schedule of Investments as of July 31, 2021 (unaudited) (continued)
Description Interest
Rate
Maturity
Date
Principal
Amount
(000)#
Value
Asset-Backed Securities (Continued)
Collateralized Loan Obligations (cont’d.)
Zais CLO Ltd. (Cayman Islands),          
Series 2015-03A, Class A2R, 144A, 3 Month LIBOR + 2.190% (Cap N/A, Floor 0.000%) 2.316 %(c) 07/15/31   11,300  $11,305,035
Series 2017-02A, Class A, 144A, 3 Month LIBOR + 1.290% (Cap N/A, Floor 0.000%) 1.416(c) 04/15/30   4,642 4,641,052
          184,940,574
Consumer Loans 1.4%
Lendmark Funding Trust,
Series 2021-01A, Class C, 144A
3.410 11/20/31   200 204,741
Oportun Funding XII LLC,          
Series 2018-D, Class A, 144A 4.150 12/09/24   2,300 2,306,491
Series 2018-D, Class B, 144A 4.830 12/09/24   1,200 1,203,504
     
 
Oportun Funding XIII LLC,
Series 2019-A, Class B, 144A
3.870 08/08/25   4,860 4,959,610
PNMAC GMSR Issuer Trust,          
Series 2018-GT01, Class A, 144A, 1 Month LIBOR + 2.850% (Cap N/A, Floor 2.850%) 2.939(c) 02/25/23   1,650 1,657,943
Series 2018-GT02, Class A, 144A, 1 Month LIBOR + 2.650% (Cap N/A, Floor 0.000%) 2.739(c) 08/25/25   3,400 3,394,977
          13,727,266
Home Equity Loans 1.5%
Accredited Mortgage Loan Trust,
Series 2004-03, Class 2A2, 1 Month LIBOR + 1.200% (Cap 13.000%, Floor 1.200%)
1.289(c) 10/25/34   1,461 1,461,998
Asset-Backed Securities Corp. Home Equity Loan
Trust,
         
Series 2003-HE06, Class A2, 1 Month LIBOR + 0.680% (Cap N/A, Floor 0.680%) 0.769(c) 11/25/33   1,758 1,729,616
Series 2003-HE06, Class A3B, 1 Month LIBOR + 0.960% (Cap N/A, Floor 0.960%) 1.049(c) 11/25/33   3,546 3,422,050
     
 
Bear Stearns Asset-Backed Securities I Trust,
Series 2004-HE11, Class M2, 1 Month LIBOR + 1.575% (Cap N/A, Floor 1.575%)
1.664(c) 12/25/34   571 571,885
Bear Stearns Asset-Backed Securities Trust,          
Series 2002-02, Class A1, 1 Month LIBOR + 0.660% (Cap 11.000%, Floor 0.660%) 0.749(c) 10/25/32   513 510,464
Series 2003-03, Class A2, 1 Month LIBOR + 1.180% (Cap 11.000%, Floor 1.180%) 1.269(c) 06/25/43   88 87,709
3

PGIM Absolute Return Bond Fund
Schedule of Investments as of July 31, 2021 (unaudited) (continued)
Description Interest
Rate
Maturity
Date
Principal
Amount
(000)#
Value
Asset-Backed Securities (Continued)
Home Equity Loans (cont’d.)
Bear Stearns Asset-Backed Securities Trust, (cont’d.)          
Series 2003-HE01, Class M1, 1 Month LIBOR + 1.095% (Cap N/A, Floor 1.095%) 1.184 %(c) 01/25/34   2,418   $2,419,502
     
 
Home Equity Asset Trust,
Series 2004-07, Class A2, 1 Month LIBOR + 0.840% (Cap N/A, Floor 0.840%)
0.929(c) 01/25/35   1,050 1,033,010
MASTR Asset-Backed Securities Trust,
Series 2003-WMC02, Class M2, 1 Month LIBOR + 2.475% (Cap N/A, Floor 2.475%)
2.564(c) 08/25/33   831 838,235
Morgan Stanley ABS Capital I, Inc. Trust,          
Series 2003-HE03, Class M1, 1 Month LIBOR + 1.020% (Cap N/A, Floor 1.020%) 1.109(c) 10/25/33   1,260 1,258,967
Series 2003-NC08, Class M1, 1 Month LIBOR + 1.050% (Cap N/A, Floor 1.050%) 1.139(c) 09/25/33   349 347,433
Series 2003-NC10, Class M1, 1 Month LIBOR + 1.020% (Cap N/A, Floor 1.020%) 1.109(c) 10/25/33   378 377,365
          14,058,234
Other 0.3%
PNMAC FMSR Issuer Trust,
Series 2018-FT01, Class A, 144A, 1 Month LIBOR + 2.350% (Cap N/A, Floor 0.000%)
2.439(c) 04/25/23   3,200 3,189,573
Residential Mortgage-Backed Securities 2.4%
Chase Funding Trust,          
Series 2002-03, Class 2A1, 1 Month LIBOR + 0.640% (Cap N/A, Floor 0.640%) 0.729(c) 08/25/32   245 236,248
Series 2003-04, Class 1A5 5.041 05/25/33   437 449,729
Citigroup Mortgage Loan Trust, Inc.,          
Series 2005-OPT01, Class M1, 1 Month LIBOR + 0.630% (Cap N/A, Floor 0.630%) 0.719(c) 02/25/35   220 215,271
Series 2005-WF01, Class A5 5.010(cc) 11/25/34   1 1,000
Countrywide Asset-Backed Certificates,          
Series 2003-BC04, Class M1, 1 Month LIBOR + 1.050% (Cap N/A, Floor 1.050%) 1.139(c) 07/25/33   504 505,409
Series 2004-01, Class M1, 1 Month LIBOR + 0.750% (Cap N/A, Floor 0.750%) 0.839(c) 03/25/34   28 28,106
Series 2004-BC04, Class M1, 1 Month LIBOR + 1.050% (Cap N/A, Floor 1.050%) 1.139(c) 11/25/34   260 260,954
Credit-Based Asset Servicing & Securitization LLC,          
Series 2003-CB03, Class AF1 3.379 12/25/32   93 93,645
4

PGIM Absolute Return Bond Fund
Schedule of Investments as of July 31, 2021 (unaudited) (continued)
Description Interest
Rate
Maturity
Date
Principal
Amount
(000)#
Value
Asset-Backed Securities (Continued)
Residential Mortgage-Backed Securities (cont’d.)
Credit-Based Asset Servicing & Securitization LLC, (cont’d.)          
Series 2003-CB05, Class M1, 1 Month LIBOR + 1.020% (Cap N/A, Floor 1.020%) 1.109 %(c) 11/25/33   452   $447,940
     
 
Finance America Mortgage Loan Trust,
Series 2003-01, Class M1, 1 Month LIBOR + 1.050% (Cap N/A, Floor 1.050%)
1.139(c) 09/25/33   1,276 1,262,703
First Franklin Mortgage Loan Trust,
Series 2004-FF05, Class A2, 1 Month LIBOR + 0.760% (Cap N/A, Floor 0.760%)
0.849(c) 08/25/34   609 610,858
Fremont Home Loan Trust,
Series 2004-04, Class M1, 1 Month LIBOR + 0.795% (Cap N/A, Floor 0.795%)
0.884(c) 03/25/35   1,992 1,964,455
GSAMP Trust,          
Series 2004-AR01, Class A2B, 1 Month LIBOR + 1.200% (Cap N/A, Floor 1.200%) 1.289(c) 06/25/34   123 125,897
Series 2004-NC02, Class A1B, 1 Month LIBOR + 0.900% (Cap N/A, Floor 0.900%) 0.989(c) 10/25/34   1,557 1,547,161
     
 
Long Beach Mortgage Loan Trust,
Series 2004-02, Class A1, 1 Month LIBOR + 0.440% (Cap N/A, Floor 0.440%)
0.529(c) 06/25/34   722 704,509
Morgan Stanley ABS Capital I, Inc. Trust,
Series 2004-NC05, Class M1, 1 Month LIBOR + 0.900% (Cap N/A, Floor 0.900%)
0.989(c) 05/25/34   197 191,331
Specialty Underwriting & Residential Finance Trust,          
Series 2003-BC04, Class M1, 1 Month LIBOR + 0.900% (Cap N/A, Floor 0.900%) 0.989(c) 11/25/34   616 607,006
Series 2004-BC02, Class M1, 1 Month LIBOR + 0.825% (Cap N/A, Floor 0.825%) 0.914(c) 05/25/35   1,182 1,174,907
     
 
Structured Asset Investment Loan Trust,
Series 2004-BNC01, Class A2, 1 Month LIBOR + 1.000% (Cap N/A, Floor 1.000%)
1.089(c) 09/25/34   2,098 2,093,477
TFS (Spain),
Series 2018-03, Class A1, 1 Month EURIBOR + 3.000%
3.000(c) 04/16/23 EUR 9,929 10,188,175
          22,708,781
Student Loans 2.9%
Laurel Road Prime Student Loan Trust,          
Series 2018-D, Class A, 144A 0.000(cc) 11/25/43   4,462 4,637,624
Series 2019-A, Class R, IO, 144A 0.000 10/25/48   3,463 513,720
5

PGIM Absolute Return Bond Fund
Schedule of Investments as of July 31, 2021 (unaudited) (continued)
Description Interest
Rate
Maturity
Date
Principal
Amount
(000)#
Value
Asset-Backed Securities (Continued)
Student Loans (cont’d.)
SoFi Alternative Trust,          
Series 2019-B, Class PT, 144A 0.000 %(cc) 12/15/45   5,261  $5,448,971
Series 2019-D, Class 1PT, 144A 2.799(cc) 01/16/46   5,593 5,793,377
Series 2019-F, Class PT1, 144A 3.932(cc) 02/15/45   6,556 6,721,404
     
 
SoFi RR Funding II Trust,
Series 2019-01, Class A, 144A, 1 Month LIBOR + 1.250% (Cap N/A, Floor 1.250%)
1.339(c) 11/29/24   4,992 4,969,655
          28,084,751
     
 
Total Asset-Backed Securities
(cost $268,754,821)
268,881,435
Bank Loans 1.7%
Airlines 0.0%
United Airlines, Inc.,
Class B Term Loan, 1 Month LIBOR + 3.750%
4.500(c) 04/21/28   249 249,583
Internet 0.3%
Speedster Bidco GmbH (Germany),
Second Lien Term Loan, 1 - 3 Month EURIBOR + 6.250% (Cap N/A, Floor 0.000%)
6.125(c) 03/31/28 EUR 2,400 2,866,217
Media 0.0%
Diamond Sports Group LLC,
Term Loan, 1 Month LIBOR + 3.250%
3.360(c) 08/24/26   379 208,114
Oil & Gas 0.2%
Ascent Resources Utica Holdings LLC,
Second Lien Term Loan, 3 Month LIBOR + 9.000%
10.000(c) 11/01/25   1,858 2,032,187
Retail 0.9%
CD&R Firefly Bidco Ltd. (United Kingdom),
Initial Term Loan, 3 Month GBP LIBOR + 7.750%
8.406(c) 06/21/26 GBP 3,300 4,546,864
6

PGIM Absolute Return Bond Fund
Schedule of Investments as of July 31, 2021 (unaudited) (continued)
Description Interest
Rate
Maturity
Date
Principal
Amount
(000)#
Value
Bank Loans (Continued)
Retail (cont’d.)
Constellation Automotive (United Kingdom),
Term Loan
— %(p) 07/16/29   1,025  $1,420,298
Stonegate Pub Co. Ltd.,
First Lien Initial Term B Loan, 3 - 6 Month GBP LIBOR + 8.500%
8.580(c) 03/06/28 GBP 1,900 2,538,661
          8,505,823
Telecommunications 0.3%
West Corp.,
Initial Term B Loan, 3 Month LIBOR + 4.000%
5.000(c) 10/10/24   2,401 2,339,462
     
 
Total Bank Loans
(cost $15,510,243)
16,201,386
Commercial Mortgage-Backed Securities 7.9%
20 Times Square Trust,          
Series 2018-20TS, Class G, 144A 3.100(cc) 05/15/35   2,700 2,503,020
Series 2018-20TS, Class H, 144A 3.100(cc) 05/15/35   2,700 2,435,640
     
 
Barclays Commercial Mortgage Securities Trust,
Series 2018-TALL, Class D, 144A, 1 Month LIBOR + 1.449% (Cap N/A, Floor 1.449%)
1.542(c) 03/15/37   11,875 11,532,253
BX Commercial Mortgage Trust,          
Series 2019-XL, Class J, 144A, 1 Month LIBOR + 2.650% (Cap N/A, Floor 2.650%) 2.743(c) 10/15/36   5,943 5,959,688
Series 2020-BXLP, Class G, 144A, 1 Month LIBOR + 2.500% (Cap N/A, Floor 2.500%) 2.593(c) 12/15/36   3,791 3,795,687
Commercial Mortgage Trust,          
Series 2012-CR01, Class XA, IO 1.857(cc) 05/15/45   8,469 57,527
Series 2015-LC19, Class XB, IO, 144A 0.251(cc) 02/10/48   123,049 1,065,198
     
 
DBWF Mortgage Trust,
Series 2016-85T, Class E, 144A
3.808(cc) 12/10/36   15,500 15,272,947
FHLMC Multifamily Structured Pass-Through
Certificates,
         
Series K018, Class X1, IO 1.225(cc) 01/25/22   11,995 14,748
Series K020, Class X1, IO 1.334(cc) 05/25/22   17,918 132,712
Series K021, Class X1, IO 1.376(cc) 06/25/22   3,694 23,774
Series K025, Class X1, IO 0.786(cc) 10/25/22   83,060 677,748
Series K055, Class X1, IO 1.358(cc) 03/25/26   22,430 1,232,174
Series KC02, Class X1, IO 0.373(cc) 03/25/24   141,358 1,220,331
     
 
GS Mortgage Securities Corp.,
Series 2013-GC10, Class XB, IO, 144A
0.487(cc) 02/10/46   103,126 787,780
7

PGIM Absolute Return Bond Fund
Schedule of Investments as of July 31, 2021 (unaudited) (continued)
Description Interest
Rate
Maturity
Date
Principal
Amount
(000)#
Value
Commercial Mortgage-Backed Securities (Continued)
     
GS Mortgage Securities Trust,
Series 2014-GC20, Class XB, IO
0.427 %(cc) 04/10/47   28,307  $317,823
Independence Plaza Trust,
Series 2018-INDP, Class E, 144A
4.996 07/10/35   5,200 5,143,373
JPMBB Commercial Mortgage Securities Trust,          
Series 2014-C21, Class XB, IO 0.306(cc) 08/15/47   45,056 470,425
Series 2015-C27, Class XB, IO 0.408(cc) 02/15/48   52,766 733,669
     
 
JPMorgan Chase Commercial Mortgage Securities Corp.,
Series 2018-AON, Class E, 144A
4.613(cc) 07/05/31   7,950 8,220,512
JPMorgan Chase Commercial Mortgage Securities Trust,
Series 2013-LC11, Class XB, IO
0.511(cc) 04/15/46   34,956 299,795
Morgan Stanley Bank of America Merrill Lynch Trust,          
Series 2012-C05, Class XB, IO, 144A 0.220(cc) 08/15/45   65,968 150,374
Series 2013-C08, Class XB, IO, 144A 0.497(cc) 12/15/48   68,276 418,853
     
 
Salus European Loan Conduit DAC (United Kingdom),
Series 33A, Class A, 144A, 3 Month GBP LIBOR + 1.500% (Cap 6.500%, Floor 1.500%)
1.573(c) 01/23/29 GBP 9,500 13,187,754
UBS-Barclays Commercial Mortgage Trust,
Series 2013-C06, Class XB, IO, 144A
0.376(cc) 04/10/46   140,883 859,654
     
 
Total Commercial Mortgage-Backed Securities
(cost $74,429,288)
76,513,459
Convertible Bond 0.0%
Telecommunications 
Digicel Group Holdings Ltd. (Jamaica),
Sub. Notes, 144A, Cash coupon 7.000% or PIK N/A
(cost $2,883)
7.000 08/16/21(oo)   41 31,742
Corporate Bonds 29.4%
Advertising 0.1%
National CineMedia LLC,
Sr. Unsec’d. Notes
5.750 08/15/26   1,100 914,756
Airlines 0.5%
American Airlines 2013-1 Class A Pass-Through Trust,
Pass-Through Certificates
4.000 01/15/27   1,704 1,637,367
8

PGIM Absolute Return Bond Fund
Schedule of Investments as of July 31, 2021 (unaudited) (continued)
Description Interest
Rate
Maturity
Date
Principal
Amount
(000)#
Value
Corporate Bonds (Continued)
Airlines (cont’d.)
Continental Airlines 2007-1 Class A Pass-Through Trust,
Pass-Through Certificates
5.983 % 10/19/23   438  $446,168
Continental Airlines 2012-2 Class A Pass-Through Trust,
Pass-Through Certificates
4.000 04/29/26   78 82,805
United Airlines 2013-1 Class A Pass-Through Trust,
Pass-Through Certificates
4.300 02/15/27   1,661 1,803,053
United Airlines, Inc.,          
Sr. Sec’d. Notes, 144A 4.375 04/15/26   645 663,546
Sr. Sec’d. Notes, 144A 4.625 04/15/29   170 174,928
          4,807,867
Auto Manufacturers 0.2%
General Motors Co.,
Sr. Unsec’d. Notes
6.250 10/02/43   1,555 2,166,812
Auto Parts & Equipment 0.7%
Adient Global Holdings Ltd.,
Gtd. Notes, 144A
4.875 08/15/26   1,900 1,942,773
American Axle & Manufacturing, Inc.,
Gtd. Notes(a)
6.250 03/15/26   2,200 2,267,344
Cooper-Standard Automotive, Inc.,
Gtd. Notes, 144A
5.625 11/15/26   1,800 1,658,350
Nemak SAB de CV (Mexico),
Sr. Unsec’d. Notes, 144A
3.625 06/28/31   350 350,186
          6,218,653
Banks 6.1%
Banco de Credito del Peru (Peru),
Sub. Notes, 144A, MTN
3.250(ff) 09/30/31   1,055 1,027,417
Bank of America Corp.,          
Jr. Sub. Notes, Series JJ 5.125(ff) 06/20/24(oo)   6,850 7,279,467
Jr. Sub. Notes, Series MM 4.300(ff) 01/28/25(oo)   5,545 5,718,094
Sr. Unsec’d. Notes, MTN 4.271(ff) 07/23/29   1,450 1,672,558
Citigroup, Inc.,          
Sr. Unsec’d. Notes 2.976(ff) 11/05/30   870 929,722
Sr. Unsec’d. Notes 3.200 10/21/26   1,145 1,248,434
Sr. Unsec’d. Notes 3.887(ff) 01/10/28   980 1,094,657
Sr. Unsec’d. Notes 8.125 07/15/39   620 1,080,463
Sub. Notes 4.400 06/10/25   405 453,012
9

PGIM Absolute Return Bond Fund
Schedule of Investments as of July 31, 2021 (unaudited) (continued)
Description Interest
Rate
Maturity
Date
Principal
Amount
(000)#
Value
Corporate Bonds (Continued)
Banks (cont’d.)
     
 
Credit Suisse Group AG (Switzerland),
Sr. Unsec’d. Notes(a)
3.750 % 03/26/25   1,200  $1,307,196
Danske Bank A/S (Denmark),
Sr. Unsec’d. Notes, 144A
3.001(ff) 09/20/22   5,460 5,476,684
Development Bank of the Republic of Belarus JSC (Belarus),
Sr. Unsec’d. Notes, 144A
6.750 05/02/24   1,505 1,402,200
Goldman Sachs Group, Inc. (The),          
Sr. Unsec’d. Notes 3.814(ff) 04/23/29   35 39,422
Sr. Unsec’d. Notes 3.850 01/26/27   3,940 4,362,447
Sr. Unsec’d. Notes 4.223(ff) 05/01/29   135 155,438
     
 
Grupo Aval Ltd. (Colombia),
Gtd. Notes, 144A
4.375 02/04/30   2,170 2,146,247
JPMorgan Chase & Co.,          
Jr. Sub. Notes, Series FF 5.000(ff) 08/01/24(oo)   1,500 1,582,028
Jr. Sub. Notes, Series HH 4.600(ff) 02/01/25(oo)   15,325 15,852,045
Jr. Sub. Notes, Series I, 3 Month LIBOR + 3.470% 3.599(c) 10/30/21(oo)   64 64,227
     
 
Mizrahi Tefahot Bank Ltd. (Israel),
Sub. Notes, 144A
3.077(ff) 04/07/31   1,555 1,561,010
Morgan Stanley,          
Sr. Unsec’d. Notes 4.375 01/22/47   1,260 1,606,206
Sr. Unsec’d. Notes, GMTN 3.772(ff) 01/24/29   1,750 1,970,334
Sr. Unsec’d. Notes, GMTN 3.875 01/27/26   605 678,455
     
 
People’s United Bank NA,
Sub. Notes
4.000 07/15/24   325 348,762
          59,056,525
Beverages 0.0%
Anheuser-Busch InBev Worldwide, Inc. (Belgium),
Gtd. Notes
8.200 01/15/39   250 423,421
Building Materials 0.1%
Cemex SAB de CV (Mexico),
Sr. Sec’d. Notes, 144A(a)
5.450 11/19/29   1,180 1,295,926
Chemicals 2.2%
Ashland LLC,
Gtd. Notes
6.875 05/15/43   4,100 5,230,917
Braskem Netherlands Finance BV (Brazil),
Gtd. Notes, 144A
4.500 01/10/28   1,630 1,724,702
10

PGIM Absolute Return Bond Fund
Schedule of Investments as of July 31, 2021 (unaudited) (continued)
Description Interest
Rate
Maturity
Date
Principal
Amount
(000)#
Value
Corporate Bonds (Continued)
Chemicals (cont’d.)
Diamond BC BV,
Gtd. Notes
5.625 % 08/15/25 EUR 6,085  $7,327,364
LYB International Finance BV,
Gtd. Notes
5.250 07/15/43   175 232,288
Nutrien Ltd. (Canada),
Sr. Unsec’d. Notes
4.900 06/01/43   1,350 1,756,078
Sasol Financing International Ltd. (South Africa),
Gtd. Notes
4.500 11/14/22   2,415 2,472,038
Sasol Financing USA LLC (South Africa),
Gtd. Notes
4.375 09/18/26   350 357,860
TPC Group, Inc.,          
Sr. Sec’d. Notes, 144A 10.500 08/01/24   1,700 1,674,287
Sr. Sec’d. Notes, 144A 10.875 08/01/24   419 453,823
          21,229,357
Commercial Services 0.7%
ERAC USA Finance LLC,          
Gtd. Notes, 144A 6.700 06/01/34   110 157,307
Gtd. Notes, 144A(h) 7.000 10/15/37   1,725 2,619,406
     
 
Nexi SpA (Italy),
Sr. Unsec’d. Notes
2.125 04/30/29 EUR 1,870 2,213,321
United Rentals North America, Inc.,          
Gtd. Notes 3.750 01/15/32   325 325,000
Gtd. Notes 5.250 01/15/30   1,200 1,311,624
          6,626,658
Diversified Financial Services 0.2%
Jefferies Group LLC,
Sr. Unsec’d. Notes
6.500 01/20/43   175 245,536
Power Finance Corp. Ltd. (India),
Sr. Unsec’d. Notes, EMTN
5.250 08/10/28   1,100 1,235,728
          1,481,264
Electric 1.3%
AES Panama Generation Holdings SRL (Panama),
Sr. Sec’d. Notes, 144A
4.375 05/31/30   1,065 1,104,596
Calpine Corp.,          
Sr. Unsec’d. Notes, 144A 4.625 02/01/29   1,500 1,489,421
Sr. Unsec’d. Notes, 144A(a) 5.000 02/01/31   2,275 2,297,766
     
 
11

PGIM Absolute Return Bond Fund
Schedule of Investments as of July 31, 2021 (unaudited) (continued)
Description Interest
Rate
Maturity
Date
Principal
Amount
(000)#
Value
Corporate Bonds (Continued)
Electric (cont’d.)
     
Clean Renewable Power Mauritius Pte Ltd. (India),
Sr. Sec’d. Notes, 144A
4.250 % 03/25/27   475  $473,313
Duke Energy Carolinas LLC,
First Ref. Mortgage
4.000 09/30/42   50 60,260
Eskom Holdings SOC Ltd. (South Africa),          
Sr. Unsec’d. Notes, 144A 7.125 02/11/25   2,145 2,257,542
Sr. Unsec’d. Notes, 144A, MTN 6.750 08/06/23   200 208,609
     
 
Evergy Kansas Central, Inc.,
First Mortgage(h)
4.100 04/01/43   325 392,182
FEL Energy VI Sarl (Mexico),
Sr. Sec’d. Notes, 144A
5.750 12/01/40   1,865 1,973,368
Instituto Costarricense de Electricidad (Costa Rica),
Sr. Unsec’d. Notes, 144A
6.950 11/10/21   500 505,153
Mong Duong Finance Holdings BV (Vietnam),
Sr. Sec’d. Notes
5.125 05/07/29   1,295 1,283,033
          12,045,243
Electronics 0.0%
Jabil, Inc.,
Sr. Unsec’d. Notes
4.700 09/15/22   80 83,717
Energy-Alternate Sources 0.3%
Aydem Yenilenebilir Enerji A/S (Turkey),
Sr. Sec’d. Notes, 144A
7.750 02/02/27   830 834,565
Greenko Dutch BV (India),
Gtd. Notes, 144A
3.850 03/29/26   1,830 1,844,040
          2,678,605
Engineering & Construction 0.4%
Cellnex Finance Co. SA (Spain),
Gtd. Notes, EMTN
2.000 02/15/33 EUR 1,100 1,317,204
Cellnex Telecom SA (Spain),
Sr. Unsec’d. Notes, EMTN
1.750 10/23/30 EUR 700 839,705
Mexico City Airport Trust (Mexico),
Sr. Sec’d. Notes, 144A(a)
3.875 04/30/28   2,000 2,115,528
          4,272,437
12

PGIM Absolute Return Bond Fund
Schedule of Investments as of July 31, 2021 (unaudited) (continued)
Description Interest
Rate
Maturity
Date
Principal
Amount
(000)#
Value
Corporate Bonds (Continued)
Entertainment 0.7%
AMC Entertainment Holdings, Inc.,
Sec’d. Notes, 144A, Cash coupon 10.000% or PIK 12.000% or Cash coupon 5.000% and PIK 6.000%
12.000 % 06/15/26   502  $447,639
Caesars Resort Collection LLC/CRC Finco, Inc.,
Gtd. Notes, 144A
5.250 10/15/25   1,725 1,738,070
Codere Finance 2 Luxembourg SA (Spain),          
Sr. Sec’d. Notes, Cash coupon 4.500% and PIK 6.250%(a) 10.750 11/01/23 EUR 2,414 2,080,601
Sr. Sec’d. Notes, 144A 10.750 09/30/23 EUR 1,216 1,546,442
Sr. Sec’d. Notes, 144A 10.750 09/30/23 EUR 421 535,405
     
 
Scientific Games International, Inc.,
Gtd. Notes, 144A
8.250 03/15/26   450 478,493
          6,826,650
Foods 0.5%
JBS USA Food Co.,
Gtd. Notes, 144A
5.750 01/15/28   950 1,004,244
Kraft Heinz Foods Co.,          
Gtd. Notes 4.625 10/01/39   440 521,341
Gtd. Notes 4.875 10/01/49   2,980 3,707,550
          5,233,135
Forest Products & Paper 0.2%
Georgia-Pacific LLC,
Sr. Unsec’d. Notes(h)
7.375 12/01/25   400 508,479
Suzano Austria GmbH (Brazil),
Gtd. Notes
6.000 01/15/29   1,000 1,191,818
          1,700,297
Gas 0.8%
AmeriGas Partners LP/AmeriGas Finance Corp.,
Sr. Unsec’d. Notes
5.500 05/20/25   2,900 3,197,082
CenterPoint Energy Resources Corp.,
Sr. Unsec’d. Notes
5.850 01/15/41   700 986,815
13

PGIM Absolute Return Bond Fund
Schedule of Investments as of July 31, 2021 (unaudited) (continued)
Description Interest
Rate
Maturity
Date
Principal
Amount
(000)#
Value
Corporate Bonds (Continued)
Gas (cont’d.)
ENN Clean Energy International Investment Ltd. (China),
Gtd. Notes, 144A
3.375 % 05/12/26   1,350  $1,378,257
Southern Co. Gas Capital Corp.,
Gtd. Notes
4.400 06/01/43   1,375 1,671,805
          7,233,959
Healthcare-Products 0.4%
Medtronic Global Holdings SCA,          
Gtd. Notes 1.625 03/07/31 EUR 160 214,022
Gtd. Notes 2.250 03/07/39 EUR 705 1,024,458
Thermo Fisher Scientific, Inc.,          
Sr. Unsec’d. Notes, EMTN 1.500 10/01/39 EUR 1,250 1,605,898
Sr. Unsec’d. Notes, EMTN 1.875 10/01/49 EUR 825 1,111,783
          3,956,161
Healthcare-Services 0.3%
Aetna, Inc.,          
Sr. Unsec’d. Notes 2.750 11/15/22   450 461,144
Sr. Unsec’d. Notes 4.500 05/15/42   530 650,452
Anthem, Inc.,          
Sr. Unsec’d. Notes 4.101 03/01/28   700 807,017
Sr. Unsec’d. Notes 4.650 01/15/43   120 152,940
Sr. Unsec’d. Notes 5.100 01/15/44   515 692,136
     
 
Memorial Sloan-Kettering Cancer Center,
Sr. Unsec’d. Notes
4.125 07/01/52   75 97,676
Tenet Healthcare Corp.,
Sec’d. Notes, 144A
6.250 02/01/27   25 26,052
          2,887,417
Home Builders 0.7%
Beazer Homes USA, Inc.,
Gtd. Notes
7.250 10/15/29   3,625 3,980,435
Taylor Morrison Communities, Inc.,
Gtd. Notes, 144A
5.875 06/15/27   2,560 2,902,540
          6,882,975
14

PGIM Absolute Return Bond Fund
Schedule of Investments as of July 31, 2021 (unaudited) (continued)
Description Interest
Rate
Maturity
Date
Principal
Amount
(000)#
Value
Corporate Bonds (Continued)
Insurance 1.2%
Hartford Financial Services Group, Inc. (The),          
Sr. Unsec’d. Notes 5.950 % 10/15/36   215  $302,106
Sr. Unsec’d. Notes 6.100 10/01/41   280 408,676
Liberty Mutual Group, Inc.,          
Gtd. Notes, 144A 4.250 06/15/23   436 465,382
Gtd. Notes, 144A 4.569 02/01/29   1,614 1,912,100
     
 
Lincoln National Corp.,
Sr. Unsec’d. Notes
7.000 06/15/40   695 1,090,397
Markel Corp.,
Sr. Unsec’d. Notes
5.000 03/30/43   3,125 3,918,499
Principal Financial Group, Inc.,
Gtd. Notes
4.350 05/15/43   975 1,203,597
Teachers Insurance & Annuity Association of
America,
         
Sub. Notes, 144A(h) 4.900 09/15/44   1,950 2,592,081
Sub. Notes, 144A 6.850 12/16/39   54 83,147
          11,975,985
Lodging 0.4%
Gohl Capital Ltd. (Malaysia),
Gtd. Notes
4.250 01/24/27   1,510 1,599,113
Marriott International, Inc.,
Sr. Unsec’d. Notes
3.250 09/15/22   75 76,528
MGM China Holdings Ltd. (Macau),
Sr. Unsec’d. Notes, 144A
4.750 02/01/27   700 707,367
Sands China Ltd. (Macau),
Sr. Unsec’d. Notes(a)
5.125 08/08/25   1,000 1,118,826
          3,501,834
Machinery-Diversified 0.0%
Xylem, Inc.,
Sr. Unsec’d. Notes
4.875 10/01/21   50 50,349
Media 0.8%
CCO Holdings LLC/CCO Holdings Capital Corp.,
Sr. Unsec’d. Notes, 144A
4.750 03/01/30   1,300 1,378,880
Charter Communications Operating LLC/Charter
Communications Operating Capital,
         
Sr. Sec’d. Notes 6.384 10/23/35   2,640 3,560,736
Sr. Sec’d. Notes 6.484 10/23/45   585 823,823
15

PGIM Absolute Return Bond Fund
Schedule of Investments as of July 31, 2021 (unaudited) (continued)
Description Interest
Rate
Maturity
Date
Principal
Amount
(000)#
Value
Corporate Bonds (Continued)
Media (cont’d.)
     
 
Diamond Sports Group LLC/Diamond Sports Finance Co.,
Gtd. Notes, 144A
6.625 % 08/15/27   2,785  $1,109,429
DIRECTV Holdings LLC/DIRECTV Financing Co., Inc.,
Sr. Sec’d. Notes, 144A
5.875 08/15/27   550 569,034
          7,441,902
Mining 0.2%
Indonesia Asahan Aluminium Persero PT (Indonesia),
Sr. Unsec’d. Notes
6.530 11/15/28   1,650 2,022,017
Miscellaneous Manufacturing 1.2%
Bombardier, Inc. (Canada),          
Sr. Unsec’d. Notes, 144A 7.500 12/01/24   5,325 5,543,107
Sr. Unsec’d. Notes, 144A 7.875 04/15/27   5,675 5,879,536
          11,422,643
Oil & Gas 2.3%
Ascent Resources Utica Holdings LLC/ARU Finance
Corp.,
         
Gtd. Notes, 144A 7.000 11/01/26   1,225 1,266,042
Gtd. Notes, 144A 9.000 11/01/27   974 1,333,496
     
 
Cenovus Energy, Inc. (Canada),
Sr. Unsec’d. Notes(a)
5.400 06/15/47   1,835 2,292,578
Citgo Holding, Inc.,
Sr. Sec’d. Notes, 144A
9.250 08/01/24   450 448,816
ConocoPhillips,
Gtd. Notes, 144A(h)
4.875 10/01/47   275 366,662
Endeavor Energy Resources LP/EER Finance, Inc.,
Sr. Unsec’d. Notes, 144A
5.500 01/30/26   2,700 2,781,084
Energean Israel Finance Ltd. (Israel),          
Sr. Sec’d. Notes, 144A 4.875 03/30/26   450 460,307
Sr. Sec’d. Notes, 144A 5.375 03/30/28   720 736,758
     
 
Hilcorp Energy I LP/Hilcorp Finance Co.,
Sr. Unsec’d. Notes, 144A
6.250 11/01/28   700 730,160
Leviathan Bond Ltd. (Israel),
Sr. Sec’d. Notes, 144A
6.750 06/30/30   2,020 2,262,588
Petrobras Global Finance BV (Brazil),
Gtd. Notes
5.375 10/01/29 GBP 800 1,220,296
16

PGIM Absolute Return Bond Fund
Schedule of Investments as of July 31, 2021 (unaudited) (continued)
Description Interest
Rate
Maturity
Date
Principal
Amount
(000)#
Value
Corporate Bonds (Continued)
Oil & Gas (cont’d.)
Petroleos Mexicanos (Mexico),          
Gtd. Notes 4.750 % 02/26/29 EUR 295  $342,013
Gtd. Notes 6.350 02/12/48   1,238 1,058,999
Gtd. Notes 6.500 03/13/27   260 276,249
Gtd. Notes 6.840 01/23/30   405 422,228
Gtd. Notes, EMTN 4.875 02/21/28 EUR 250 296,220
     
 
Qatar Petroleum (Qatar),
Sr. Unsec’d. Notes, 144A
3.125 07/12/41   425 441,218
Range Resources Corp.,
Gtd. Notes(a)
9.250 02/01/26   850 922,784
Transocean, Inc.,
Gtd. Notes, 144A
7.250 11/01/25   3,025 2,411,792
Tullow Oil PLC (Ghana),
Sr. Sec’d. Notes, 144A
10.250 05/15/26   1,605 1,673,213
          21,743,503
Oil & Gas Services 0.0%
Cameron International Corp.,
Gtd. Notes
5.950 06/01/41   100 131,970
Packaging & Containers 0.5%
ARD Finance SA (Luxembourg),
Sr. Sec’d. Notes, 144A, Cash coupon 5.000% or PIK 5.750%
5.000 06/30/27 EUR 3,000 3,657,004
WestRock RKT LLC,
Gtd. Notes
4.900 03/01/22   1,190 1,220,487
          4,877,491
Pharmaceuticals 1.9%
AbbVie, Inc.,          
Sr. Unsec’d. Notes 4.050 11/21/39   905 1,074,262
Sr. Unsec’d. Notes 4.550 03/15/35   4,155 5,124,225
Bausch Health Cos., Inc.,          
Gtd. Notes, 144A 5.000 01/30/28   400 382,407
Gtd. Notes, 144A 6.250 02/15/29   1,200 1,194,760
     
 
Bristol-Myers Squibb Co.,
Sr. Unsec’d. Notes(h)
4.125 06/15/39   615 758,265
Cigna Corp.,
Gtd. Notes(h)
4.375 10/15/28   3,990 4,693,712
17

PGIM Absolute Return Bond Fund
Schedule of Investments as of July 31, 2021 (unaudited) (continued)
Description Interest
Rate
Maturity
Date
Principal
Amount
(000)#
Value
Corporate Bonds (Continued)
Pharmaceuticals (cont’d.)
CVS Health Corp.,          
Sr. Unsec’d. Notes 5.125 % 07/20/45   1,315  $1,741,412
Sr. Unsec’d. Notes 5.300 12/05/43   485 656,795
     
 
Utah Acquisition Sub, Inc.,
Gtd. Notes
5.250 06/15/46   520 647,556
Viatris, Inc.,
Gtd. Notes, 144A
4.000 06/22/50   2,190 2,369,357
          18,642,751
Pipelines 1.7%
AI Candelaria Spain SLU (Colombia),
Sr. Sec’d. Notes, 144A
5.750 06/15/33   920 941,722
Eastern Gas Transmission & Storage, Inc.,
Sr. Unsec’d. Notes, 144A
4.600 12/15/44   125 151,949
Energy Transfer LP,          
Jr. Sub. Notes, Series G 7.125(ff) 05/15/30(oo)   3,360 3,464,719
Sr. Unsec’d. Notes 5.150 03/15/45   55 63,979
Sr. Unsec’d. Notes 5.300 04/15/47   125 147,881
Sr. Unsec’d. Notes 5.400 10/01/47   60 72,255
Sr. Unsec’d. Notes 6.250 04/15/49   75 98,874
     
 
Enterprise Products Operating LLC,
Gtd. Notes
4.950 10/15/54   1,825 2,366,062
Magellan Midstream Partners LP,          
Sr. Unsec’d. Notes 4.200 12/01/42   125 138,109
Sr. Unsec’d. Notes(h) 5.150 10/15/43   1,350 1,714,804
     
 
MPLX LP,
Sr. Unsec’d. Notes
5.200 03/01/47   145 179,785
NGPL PipeCo LLC,
Sr. Unsec’d. Notes, 144A
4.875 08/15/27   500 577,298
ONEOK, Inc.,
Gtd. Notes
4.950 07/13/47   1,060 1,268,215
Rockies Express Pipeline LLC,          
Sr. Unsec’d. Notes, 144A 3.600 05/15/25   775 791,217
Sr. Unsec’d. Notes, 144A 6.875 04/15/40   1,850 1,945,521
Tallgrass Energy Partners LP/Tallgrass Energy
Finance Corp.,
         
Gtd. Notes, 144A 5.500 01/15/28   1,000 1,026,315
Gtd. Notes, 144A 7.500 10/01/25   125 135,770
Venture Global Calcasieu Pass LLC,          
Sr. Sec’d. Notes, 144A 3.875 08/15/29   75 76,604
Sr. Sec’d. Notes, 144A 4.125 08/15/31   75 77,347
18

PGIM Absolute Return Bond Fund
Schedule of Investments as of July 31, 2021 (unaudited) (continued)
Description Interest
Rate
Maturity
Date
Principal
Amount
(000)#
Value
Corporate Bonds (Continued)
Pipelines (cont’d.)
     
 
Western Midstream Operating LP,
Sr. Unsec’d. Notes
5.300 % 03/01/48   910  $1,003,149
          16,241,575
Real Estate 0.5%
Arabian Centres Sukuk Ltd. (Saudi Arabia),
Gtd. Notes, 144A
5.375 11/26/24   995 1,031,619
Greystar Real Estate Partners LLC,
Sr. Sec’d. Notes, 144A
5.750 12/01/25   3,575 3,659,574
          4,691,193
Retail 1.0%
Brinker International, Inc.,
Gtd. Notes, 144A
5.000 10/01/24   1,000 1,061,270
eG Global Finance PLC (United Kingdom),          
Sr. Sec’d. Notes 6.250 10/30/25 EUR 250 303,976
Sr. Sec’d. Notes, 144A 4.375 02/07/25 EUR 4,700 5,484,775
     
 
JSM Global Sarl (Brazil),
Gtd. Notes, 144A(a)
4.750 10/20/30   1,800 1,864,473
Macy’s Retail Holdings LLC,
Gtd. Notes
4.300 02/15/43   705 579,233
          9,293,727
Savings & Loans 0.0%
People’s United Financial, Inc.,
Sr. Unsec’d. Notes
3.650 12/06/22   325 336,138
Telecommunications 1.3%
AT&T, Inc.,          
Sr. Unsec’d. Notes, 144A 2.550 12/01/33   1,542 1,555,490
Sr. Unsec’d. Notes, 144A 3.500 09/15/53   929 958,811
Sr. Unsec’d. Notes, 144A 3.650 09/15/59   318 329,561
Digicel Group Holdings Ltd. (Jamaica),          
Sr. Sec’d. Notes, Cash coupon 8.000% and PIK 2.000% 10.000 04/01/24   801 783,004
Sr. Unsec’d. Notes, 144A, Cash coupon 5.000% and PIK 3.000% 8.000 04/01/25   248 215,901
Digicel International Finance Ltd./Digicel
International Holdings Ltd. (Jamaica),
         
Gtd. Notes, 144A 8.000 12/31/26   454 441,337
19

PGIM Absolute Return Bond Fund
Schedule of Investments as of July 31, 2021 (unaudited) (continued)
Description Interest
Rate
Maturity
Date
Principal
Amount
(000)#
Value
Corporate Bonds (Continued)
Telecommunications (cont’d.)
Digicel International Finance Ltd./Digicel International Holdings Ltd. (Jamaica), (cont’d.)          
Gtd. Notes, 144A, Cash coupon 6.000% and PIK 7.000% 13.000 % 12/31/25   625  $622,895
Sr. Sec’d. Notes, 144A 8.750 05/25/24   1,138 1,184,255
     
 
Digicel Ltd. (Jamaica),
Gtd. Notes, 144A
6.750 03/01/23   2,050 1,935,899
Intelsat Jackson Holdings SA (Luxembourg),
Gtd. Notes
5.500 08/01/23(d)   2,000 1,100,287
Level 3 Financing, Inc.,
Sr. Sec’d. Notes, 144A
3.400 03/01/27   465 495,030
Lumen Technologies, Inc.,
Sr. Unsec’d. Notes, Series P(a)
7.600 09/15/39   825 941,039
Millicom International Cellular SA (Colombia),
Sr. Unsec’d. Notes, 144A
4.500 04/27/31   515 535,659
Verizon Communications, Inc.,
Sr. Unsec’d. Notes
3.400 03/22/41   1,575 1,701,248
          12,800,416
Textiles 0.0%
Mohawk Industries, Inc.,
Sr. Unsec’d. Notes
3.850 02/01/23   104 108,348
     
 
Total Corporate Bonds
(cost $264,447,212)
283,303,677
Municipal Bonds 2.0%
California 0.5%
Bay Area Toll Authority,
Revenue Bonds, BABs, Series F2
6.263 04/01/49   550 906,966
Los Angeles Department of Water,
Taxable, Revenue Bonds, BABs, Series C
6.008 07/01/39   1,730 2,404,181
University of California,          
Taxable, Revenue Bonds, Series AP 3.931 05/15/45   625 743,800
Taxable, Revenue Bonds, Series J 4.131 05/15/45   675 822,184
          4,877,131
Colorado 0.2%
Regional Transportation District Sales Tax Revenue,
Revenue Bonds, BABs, Series B
5.844 11/01/50   1,190 1,939,676
20

PGIM Absolute Return Bond Fund
Schedule of Investments as of July 31, 2021 (unaudited) (continued)
Description Interest
Rate
Maturity
Date
Principal
Amount
(000)#
Value
Municipal Bonds (Continued)
Illinois 0.2%
Chicago O’Hare International Airport,
Revenue Bonds, BABs, Series B
6.395 % 01/01/40   360  $557,856
State of Illinois,
General Obligation Unlimited, Taxable
5.100 06/01/33   865 1,031,443
          1,589,299
New Jersey 0.4%
New Jersey Turnpike Authority,
Taxable, Revenue Bonds, BABs, Series F
7.414 01/01/40   2,000 3,371,440
Rutgers The State University of New Jersey,
Taxable, Revenue Bonds, BABs, Series H
5.665 05/01/40   200 277,006
          3,648,446
Ohio 0.0%
Ohio State University (The),
Taxable, Revenue Bonds, Series A
4.800 06/01/2111   180 264,310
Puerto Rico 0.7%
Puerto Rico Sales Tax Financing Corp. Sales Tax Revenue,
Revenue Bonds, Restructured, Series A-1
4.750 07/01/53   5,846 6,724,947
Texas 0.0%
City of San Antonio TX Electric & Gas Systems Revenue,
Taxable, Revenue Bonds
4.427 02/01/42   120 152,500
     
 
Total Municipal Bonds
(cost $15,875,912)
19,196,309
Residential Mortgage-Backed Securities 3.4%
Banc of America Funding Corp.,
Series 2015-R03, Class 1A1, 144A, 1 Month LIBOR + 0.190%
0.279(c) 03/27/36   2,462 2,449,710
Banc of America Funding Trust,          
Series 2014-R02, Class 2A1, 144A, 1 Month LIBOR + 0.210% (Cap N/A, Floor 0.210%) 0.296(c) 05/26/37   127 126,184
Series 2014-R05, Class 1A1, 144A, 6 Month LIBOR + 1.500% (Cap 11.000%, Floor 1.500%) 1.659(c) 09/26/45   677 684,402
Bellemeade Re Ltd. (Bermuda),          
Series 2018-01A, Class M1B, 144A, 1 Month LIBOR + 1.600% (Cap N/A, Floor 0.000%) 1.689(c) 04/25/28   802 808,121
21

PGIM Absolute Return Bond Fund
Schedule of Investments as of July 31, 2021 (unaudited) (continued)
Description Interest
Rate
Maturity
Date
Principal
Amount
(000)#
Value
Residential Mortgage-Backed Securities (Continued)
Bellemeade Re Ltd. (Bermuda), (cont’d.)          
Series 2018-03A, Class M1B, 144A, 1 Month LIBOR + 1.850% (Cap N/A, Floor 1.850%) 1.939 %(c) 10/25/28   1,795  $1,800,133
Series 2021-01A, Class M1C, 144A, 30 Day Average SOFR + 2.950% (Cap N/A, Floor 2.950%) 3.000(c) 03/25/31   960 1,003,175
     
 
BVRT Financing Trust,
Series 2019-01, Class F, 144A^
2.250(cc) 09/15/21   7,842 7,828,835
Chase Mortgage Finance Trust,
Series 2007-A01, Class 1A3
2.474(cc) 02/25/37   58 58,640
Connecticut Avenue Securities Trust,
Series 2020-R01, Class 1M2, 144A, 1 Month LIBOR + 2.050% (Cap N/A, Floor 2.050%)
2.139(c) 01/25/40   146 146,872
Eagle Re Ltd. (Bermuda),
Series 2018-01, Class M1, 144A, 1 Month LIBOR + 1.700% (Cap N/A, Floor 1.700%)
1.789(c) 11/25/28   1,893 1,897,904
FHLMC Structured Agency Credit Risk Debt Notes,
Series 2021-DNA02, Class B1, 144A, 30 Day Average SOFR + 3.400% (Cap N/A, Floor 0.000%)
3.450(c) 08/25/33   3,260 3,356,514
FHLMC Structured Agency Credit Risk REMIC Trust,
Series 2021-DNA05, Class B1, 144A, 30 Day Average SOFR + 3.050% (Cap N/A, Floor 0.000%)
3.100(c) 01/25/34   600 610,300
GSMSC Resecuritization Trust,          
Series 2015-03R, Class 1A2, 144A, 1 Month LIBOR + 0.140% (Cap N/A, Floor 0.140%) 0.229(c) 01/26/37   772 766,770
Series 2015-03R, Class 2A1, 144A, 1 Month LIBOR + 0.140% (Cap N/A, Floor 0.140%) 0.229(c) 10/26/36   604 601,142
Series 2015-03R, Class 2A2, 144A, 1 Month LIBOR + 0.140% (Cap N/A, Floor 0.140%) 0.229(c) 10/26/36   1,400 1,353,666
     
 
Home Re Ltd. (Bermuda),
Series 2018-01, Class M1, 144A, 1 Month LIBOR + 1.600% (Cap N/A, Floor 0.000%)
1.689(c) 10/25/28   550 550,439
JPMorgan Mortgage Trust,
Series 2007-A01, Class 4A1
2.306(cc) 07/25/35   45 45,335
New Residential Mortgage Loan Trust,
Series 2018-04A, Class A1S, 144A, 1 Month LIBOR + 0.750% (Cap N/A, Floor 0.750%)
0.839(c) 01/25/48   2,306 2,311,279
Oaktown Re II Ltd. (Bermuda),
Series 2018-01A, Class M1, 144A, 1 Month LIBOR + 1.550% (Cap N/A, Floor 0.000%)
1.639(c) 07/25/28   310 309,830
22

PGIM Absolute Return Bond Fund
Schedule of Investments as of July 31, 2021 (unaudited) (continued)
Description Interest
Rate
Maturity
Date
Principal
Amount
(000)#
Value
Residential Mortgage-Backed Securities (Continued)
Radnor Re Ltd. (Bermuda),          
Series 2018-01, Class M1, 144A, 1 Month LIBOR + 1.400% (Cap N/A, Floor 0.000%) 1.489 %(c) 03/25/28   92  $92,262
Series 2018-01, Class M2, 144A, 1 Month LIBOR + 2.700% (Cap N/A, Floor 0.000%) 2.789(c) 03/25/28   1,240 1,252,092
Series 2020-02, Class M1B, 144A, 1 Month LIBOR + 4.000% (Cap N/A, Floor 4.000%) 4.089(c) 10/25/30   887 889,492
Series 2020-02, Class M1C, 144A, 1 Month LIBOR + 4.600% (Cap N/A, Floor 4.600%) 4.689(c) 10/25/30   1,025 1,039,111
     
 
Retiro Mortgage Securities DAC (Ireland),
Series 01A, Class A1, 144A, 3 Month EURIBOR + 2.000% (Cap 5.000%, Floor 0.000%)
1.453(c) 07/30/75 EUR 1,741 2,053,248
Structured Asset Securities Corp.,
Series 2003-37A, Class 3A7
2.366(cc) 12/25/33   323 326,871
     
 
Total Residential Mortgage-Backed Securities
(cost $31,696,340)
32,362,327
Sovereign Bonds 4.2%
Argentine Republic Government International Bond (Argentina),
Sr. Unsec’d. Notes
0.500(cc) 07/09/30   494 179,454
Bermuda Government International Bond (Bermuda),
Sr. Unsec’d. Notes, 144A
2.375 08/20/30   685 688,686
Brazil Loan Trust 1 (Brazil),
Gov’t. Gtd. Notes
5.477 07/24/23   307 317,416
Brazil Minas SPE via State of Minas Gerais (Brazil),
Gov’t. Gtd. Notes
5.333 02/15/28   2,303 2,488,443
Dominican Republic International Bond (Dominican Republic),
Sr. Unsec’d. Notes, 144A
5.950 01/25/27   1,570 1,767,937
Ghana Government International Bond (Ghana),
Sr. Unsec’d. Notes, 144A
6.375 02/11/27   505 498,204
Hellenic Republic Government International Bond
(Greece),
         
Sr. Unsec’d. Notes 5.200 07/17/34 EUR 5,485 9,840,472
Sr. Unsec’d. Notes 6.140 04/14/28 EUR 2,000 3,242,178
Indonesia Government International Bond
(Indonesia),
         
Sr. Unsec’d. Notes 1.100 03/12/33 EUR 410 476,635
Sr. Unsec’d. Notes 1.450 09/18/26 EUR 805 995,516
Sr. Unsec’d. Notes 3.375 07/30/25 EUR 2,655 3,519,559
23

PGIM Absolute Return Bond Fund
Schedule of Investments as of July 31, 2021 (unaudited) (continued)
Description Interest
Rate
Maturity
Date
Principal
Amount
(000)#
Value
Sovereign Bonds (Continued)
Ivory Coast Government International Bond (Ivory
Coast),
         
Sr. Unsec’d. Notes 5.125 % 06/15/25 EUR 500  $662,995
Sr. Unsec’d. Notes, 144A 5.125 06/15/25 EUR 1,650 2,187,882
     
 
Provincia de Buenos Aires (Argentina),
Sr. Unsec’d. Notes, 144A
6.500 02/15/23(d)   600 284,412
Romanian Government International Bond (Romania),
Sr. Unsec’d. Notes, EMTN
4.125 03/11/39 EUR 1,759 2,448,191
Serbia International Bond (Serbia),
Sr. Unsec’d. Notes, 144A
1.500 06/26/29 EUR 1,660 1,996,288
Ukraine Government International Bond (Ukraine),          
Sr. Unsec’d. Notes 1.258(cc) 05/31/40   950 1,106,455
Sr. Unsec’d. Notes 7.750 09/01/21   350 351,520
Sr. Unsec’d. Notes 8.994 02/01/24   350 385,801
Sr. Unsec’d. Notes, 144A 4.375 01/27/30 EUR 1,465 1,616,915
Sr. Unsec’d. Notes, 144A 7.750 09/01/22   1,960 2,047,965
Sr. Unsec’d. Notes, 144A 8.994 02/01/24   800 881,832
Sr. Unsec’d. Notes, 144A 9.750 11/01/28   1,800 2,142,906
     
 
Total Sovereign Bonds
(cost $33,799,949)
40,127,662
U.S. Treasury Obligations 11.2%
U.S. Treasury Bonds(h)(k) 1.375 11/15/40   15,930 14,809,922
U.S. Treasury Bonds 1.875 02/15/51   2,755 2,734,768
U.S. Treasury Bonds 2.250 05/15/41   3,810 4,093,369
U.S. Treasury Bonds(h)(k) 2.500 02/15/45   3,505 3,920,671
U.S. Treasury Bonds(k) 3.625 08/15/43   1,570 2,081,477
U.S. Treasury Notes 1.375 01/31/25   32,840 33,891,906
U.S. Treasury Notes(k) 2.250 11/15/24   41,705 44,207,300
U.S. Treasury Notes 2.250 11/15/27   150 162,457
U.S. Treasury Strips Coupon(k) 2.415(s) 11/15/40   1,200 824,109
U.S. Treasury Strips Coupon 3.019(s) 11/15/35   870 681,387
     
 
Total U.S. Treasury Obligations
(cost $105,602,240)
107,407,366
    
      Shares  
Common Stocks 1.8%
Gas Utilities 0.4%
Ferrellgas Partners LP (Class B Stock)*       17,034 3,917,820
24

PGIM Absolute Return Bond Fund
Schedule of Investments as of July 31, 2021 (unaudited) (continued)
Description     Shares Value
Common Stocks (Continued)
Oil, Gas & Consumable Fuels 1.4%
Chesapeake Energy Corp.(a)       252,027  $13,622,059
Chesapeake Energy Corp. Backstop Commitment^       1,449 78,082
          13,700,141
     
 
Total Common Stocks
(cost $9,082,596)
17,617,961
 
Total Long-Term Investments
(cost $819,201,484)
861,643,324
    
         
Short-Term Investments 10.6%
Affiliated Mutual Funds 10.4%          
PGIM Core Ultra Short Bond Fund(wa)     70,333,608 70,333,608
PGIM Institutional Money Market Fund
(cost $29,329,829; includes $29,328,808 of cash collateral for securities on loan)(b)(wa)
    29,357,738 29,340,123
     
 
Total Affiliated Mutual Funds
(cost $99,663,437)
99,673,731
Options Purchased*~ 0.2%          
(cost $11,393,490) 2,017,880
     
 
 
Total Short-Term Investments
(cost $111,056,927)
101,691,611
     
 
TOTAL INVESTMENTS, BEFORE OPTIONS WRITTEN100.1%
(cost $930,258,411)
        963,334,935
Options Written*~ (0.2)%
(premiums received $12,737,102) (1,875,437)
 
TOTAL INVESTMENTS, NET OF OPTIONS WRITTEN99.9%
(cost $917,521,309)
961,459,498
Other assets in excess of liabilities(z) 0.1% 899,747
 
Net Assets 100.0% $962,359,245

Below is a list of the abbreviation(s) used in the quarterly schedule of portfolio holdings:
    
AUD—Australian Dollar
BRL—Brazilian Real
CAD—Canadian Dollar
CHF—Swiss Franc
25

PGIM Absolute Return Bond Fund
Schedule of Investments as of July 31, 2021 (unaudited) (continued)
CLP—Chilean Peso
CNH—Chinese Renminbi
COP—Colombian Peso
CZK—Czech Koruna
EUR—Euro
GBP—British Pound
HUF—Hungarian Forint
IDR—Indonesian Rupiah
ILS—Israeli Shekel
INR—Indian Rupee
JPY—Japanese Yen
KRW—South Korean Won
MXN—Mexican Peso
NZD—New Zealand Dollar
PEN—Peruvian Nuevo Sol
PHP—Philippine Peso
PLN—Polish Zloty
RUB—Russian Ruble
SGD—Singapore Dollar
THB—Thai Baht
TRY—Turkish Lira
TWD—New Taiwanese Dollar
USD—US Dollar
ZAR—South African Rand
    
144A—Security was purchased pursuant to Rule 144A under the Securities Act of 1933 and, pursuant to the requirements of Rule 144A, may not be resold except to qualified institutional buyers.
A—Annual payment frequency for swaps
ABS—Asset-Backed Security
BABs—Build America Bonds
BBR—New Zealand Bank Bill Rate
BBSW—Australian Bank Bill Swap Reference Rate
BROIS—Brazil Overnight Index Swap
BUBOR—Budapest Interbank Offered Rate
CDX—Credit Derivative Index
CLO—Collateralized Loan Obligation
CLOIS—Sinacofi Chile Interbank Rate Average
CMBX—Commercial Mortgage-Backed Index
COOIS—Colombia Overnight Interbank Reference Rate
CPI—Consumer Price Index
EMTN—Euro Medium Term Note
EURIBOR—Euro Interbank Offered Rate
FHLMC—Federal Home Loan Mortgage Corporation
GMTN—Global Medium Term Note
IO—Interest Only (Principal amount represents notional)
JIBAR—Johannesburg Interbank Agreed Rate
LIBOR—London Interbank Offered Rate
LP—Limited Partnership
M—Monthly payment frequency for swaps
MASTR—Morgan Stanley Structured Asset Security
MTN—Medium Term Note
NSA—Non-Seasonally Adjusted
OTC—Over-the-counter
26

PGIM Absolute Return Bond Fund
Schedule of Investments as of July 31, 2021 (unaudited) (continued)
PIK—Payment-in-Kind
Q—Quarterly payment frequency for swaps
REMICS—Real Estate Mortgage Investment Conduit Security
S—Semiannual payment frequency for swaps
SOFR—Secured Overnight Financing Rate
SONIA—Sterling Overnight Index Average
Strips—Separate Trading of Registered Interest and Principal of Securities
T—Swap payment upon termination
USOIS—United States Overnight Index Swap
WIBOR—Warsaw Interbank Offered Rate
    
* Non-income producing security.
# Principal or notional amount is shown in U.S. dollars unless otherwise stated.
~ See tables subsequent to the Schedule of Investments for options detail.
^ Indicates a Level 3 instrument. The aggregate value of Level 3 instruments is $7,910,587 and 0.8% of net assets.
(a) All or a portion of security is on loan. The aggregate market value of such securities, including those sold and pending settlement, is $28,503,081; cash collateral of $29,328,808 (included in liabilities) was received with which the Fund purchased highly liquid short-term investments. In the event of significant appreciation in value of securities on loan on the last business day of the reporting period, the Fund may reflect a collateral value that is less than the market value of the loaned securities and such shortfall is remedied the following business day.
(b) Represents security, or portion thereof, purchased with cash collateral received for securities on loan and includes dividend reinvestment.
(c) Variable rate instrument. The interest rate shown reflects the rate in effect at July 31, 2021.
(cc) Variable rate instrument. The rate shown is based on the latest available information as of July 31, 2021. 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 their description.
(d) Represents issuer in default on interest payments and/or principal repayment. Non-income producing security. Such securities may be post-maturity.
(ff) Variable rate security. Security may be issued at a fixed coupon rate, which converts to a variable rate at a specified date. Rate shown is the rate in effect as of period end.
(h) Represents security, or a portion thereof, segregated as collateral for OTC derivatives.
(k) Represents security, or a portion thereof, segregated as collateral for centrally cleared/exchange-traded derivatives.
(oo) Perpetual security. Maturity date represents next call date.
(p) Represents a security with a delayed settlement and therefore the interest rate is not available until settlement which is after the period end.
(s) Represents zero coupon bond or principal only security. Rate represents yield to maturity at purchase date.
(wa) PGIM Investments LLC, the manager of the Fund, also serves as manager of the PGIM Core Ultra Short Bond Fund and PGIM Institutional Money Market Fund, if applicable.
(z) Includes net unrealized appreciation/(depreciation) and/or market value of the below holdings which are excluded from the Schedule of Investments:
Options Purchased:
OTC Traded
Description   Call/
Put
  Counterparty   Expiration
Date
  Strike Contracts   Notional
Amount
(000)#
  Value
Currency Option EUR vs USD   Call   Deutsche Bank AG   11/18/21     1.21     EUR   6,563  $40,585
Currency Option EUR vs USD   Call   Bank of America, N.A.   11/18/21     1.31     EUR   26,250 2,370
27

PGIM Absolute Return Bond Fund
Schedule of Investments as of July 31, 2021 (unaudited) (continued)
Options Purchased (continued):
OTC Traded
Description   Call/
Put
  Counterparty   Expiration
Date
  Strike Contracts   Notional
Amount
(000)#
  Value
Currency Option USD vs BRL   Call   JPMorgan Chase Bank, N.A.   08/03/21     8.00         30,000  $
Currency Option USD vs CNH   Call   JPMorgan Chase Bank, N.A.   10/08/21     7.60         20,000 372
Currency Option USD vs CNH   Call   JPMorgan Chase Bank, N.A.   09/28/22     6.90         10,000 121,339
Currency Option USD vs ILS   Call   Morgan Stanley & Co. International PLC   08/27/21     3.40         10,000 2,001
Currency Option USD vs INR   Call   Goldman Sachs International   09/28/21     88.00         35,500 368
Currency Option USD vs JPY   Call   Barclays Bank PLC   10/27/23     115.00         39,000 608,924
Currency Option USD vs MXN   Call   Goldman Sachs International   02/23/22     26.00         34,500 82,006
Currency Option USD vs MXN   Call   Barclays Bank PLC   02/23/22     31.50         69,000 34,519
Currency Option USD vs MXN   Call   Goldman Sachs International   02/23/22     36.00         28,000 5,759
Currency Option USD vs ZAR   Call   JPMorgan Chase Bank, N.A.   09/09/21     20.00         24,000 1,293
Currency Option USD vs ZAR   Call   JPMorgan Chase Bank, N.A.   05/27/22     16.20         24,000 816,380
Currency Option AUD vs JPY   Put   BNP Paribas S.A.   01/26/22     55.00     AUD   144,000 20,195
Currency Option AUD vs JPY   Put   Deutsche Bank AG   01/26/22     63.00     AUD   72,000 41,450
Currency Option USD vs BRL   Put   Deutsche Bank AG   09/28/21     3.85         39,000 16
Currency Option USD vs TWD   Put   Deutsche Bank AG   12/21/21     24.30         60,000 13,455
Currency Option USD vs TWD   Put   JPMorgan Chase Bank, N.A.   12/21/21     25.80         20,000 18,549
Total OTC Traded (cost $10,799,223)                       $1,809,581  
    
OTC Swaptions    
Description   Call/
Put
  Counterparty   Expiration
Date
  Strike   Receive   Pay   Notional
Amount
(000)#
  Value
CDX.NA.HY.36.V1, 06/20/26   Call   BNP Paribas S.A.   08/18/21   $112.00   5.00%(Q)   CDX.NA.HY.36. V1(Q)     25,460    $167
CDX.NA.IG.36.V1, 06/20/26   Call   Deutsche Bank AG   08/18/21   0.38%   1.00%(Q)   CDX.NA.IG.36. V1(Q)     27,100   65
28

PGIM Absolute Return Bond Fund
Schedule of Investments as of July 31, 2021 (unaudited) (continued)
Options Purchased (continued):
OTC Swaptions    
Description   Call/
Put
  Counterparty   Expiration
Date
  Strike   Receive   Pay   Notional
Amount
(000)#
  Value
CDX.NA.IG.36.V1, 06/20/26   Call   Goldman Sachs International   08/18/21   0.40%   1.00%(Q)   CDX.NA.IG.36. V1(Q)     54,990    $459
CDX.NA.IG.36.V1, 06/20/26   Call   JPMorgan Chase Bank, N.A.   08/18/21   0.40%   1.00%(Q)   CDX.NA.IG.36. V1(Q)     29,520   246
CDX.NA.IG.36.V1, 06/20/26   Call   Barclays Bank PLC   09/15/21   0.38%   1.00%(Q)   CDX.NA.IG.36. V1(Q)     21,470   155
CDX.NA.IG.36.V1, 06/20/26   Call   Barclays Bank PLC   10/20/21   0.38%   1.00%(Q)   CDX.NA.IG.36. V1(Q)     21,470   447
CDX.NA.IG.36.V1, 06/20/26   Call   Goldman Sachs International   10/20/21   0.38%   1.00%(Q)   CDX.NA.IG.36. V1(Q)     21,470   447
CDX.NA.HY.36.V1, 06/20/26   Put   BNP Paribas S.A.   08/18/21   $108.00   CDX.NA.HY.36. V1(Q)   5.00%(Q)     25,460   64,688
CDX.NA.IG.36.V1, 06/20/26   Put   Deutsche Bank AG   08/18/21   0.55%   CDX.NA.IG.36. V1(Q)   1.00%(Q)     27,100   10,213
CDX.NA.IG.36.V1, 06/20/26   Put   Goldman Sachs International   08/18/21   0.58%   CDX.NA.IG.36. V1(Q)   1.00%(Q)     54,990   14,328
CDX.NA.IG.36.V1, 06/20/26   Put   JPMorgan Chase Bank, N.A.   08/18/21   0.58%   CDX.NA.IG.36. V1(Q)   1.00%(Q)     29,520   7,692
CDX.NA.IG.36.V1, 06/20/26   Put   Barclays Bank PLC   09/15/21   0.53%   CDX.NA.IG.36. V1(Q)   1.00%(Q)     21,470   27,908
CDX.NA.IG.36.V1, 06/20/26   Put   Barclays Bank PLC   10/20/21   0.53%   CDX.NA.IG.36. V1(Q)   1.00%(Q)     21,470   44,032
CDX.NA.IG.36.V1, 06/20/26   Put   Goldman Sachs International   10/20/21   0.55%   CDX.NA.IG.36. V1(Q)   1.00%(Q)     21,470   37,452
Total OTC Swaptions (cost $594,267)       $208,299
Total Options Purchased (cost $11,393,490)       $2,017,880
Options Written:
OTC Traded
Description   Call/
Put
  Counterparty   Expiration
Date
  Strike Contracts   Notional
Amount
(000)#
  Value
Currency Option EUR vs USD   Call   Bank of America, N.A.   11/18/21     1.21     EUR   6,563  $(40,585)
Currency Option EUR vs USD   Call   Deutsche Bank AG   11/18/21     1.31     EUR   26,250 (2,370)
Currency Option USD vs CNH   Call   JPMorgan Chase Bank, N.A.   09/28/22     7.60         30,000 (91,500)
Currency Option USD vs ILS   Call   BNP Paribas S.A.   08/27/21     3.40         10,000 (2,001)
29

PGIM Absolute Return Bond Fund
Schedule of Investments as of July 31, 2021 (unaudited) (continued)
Options Written (continued):
OTC Traded
Description   Call/
Put
  Counterparty   Expiration
Date
  Strike Contracts   Notional
Amount
(000)#
  Value
Currency Option USD vs INR   Call   Bank of America, N.A.   09/28/21     88.00         35,500  $(368)
Currency Option USD vs JPY   Call   Bank of America, N.A.   10/27/23     115.00         39,000 (608,924)
Currency Option USD vs MXN   Call   Barclays Bank PLC   02/23/22     26.00         34,500 (82,006)
Currency Option USD vs MXN   Call   Goldman Sachs International   02/23/22     31.50         69,000 (34,519)
Currency Option USD vs MXN   Call   Citibank, N.A.   02/23/22     36.00         28,000 (5,759)
Currency Option USD vs ZAR   Call   JPMorgan Chase Bank, N.A.   05/27/22     18.80         48,000 (533,108)
Currency Option AUD vs JPY   Put   Deutsche Bank AG   01/26/22     55.00     AUD   144,000 (20,195)
Currency Option AUD vs JPY   Put   BNP Paribas S.A.   01/26/22     63.00     AUD   72,000 (41,450)
Currency Option USD vs BRL   Put   Bank of America, N.A.   09/28/21     3.85         39,000 (16)
Currency Option USD vs TWD   Put   JPMorgan Chase Bank, N.A.   12/21/21     24.30         60,000 (13,455)
Currency Option USD vs TWD   Put   Deutsche Bank AG   12/21/21     25.80         20,000 (18,549)
Total OTC Traded (premiums received $12,113,281)                       $(1,494,805)  
    
OTC Swaptions
Description   Call/
Put
  Counterparty   Expiration
Date
  Strike   Receive   Pay   Notional
Amount
(000)#
  Value
CDX.NA.HY.36.V1, 06/20/26   Call   BNP Paribas S.A.   08/18/21   $109.50   CDX.NA.HY.36. V1(Q)   5.00%(Q)     25,460    $(42,862)
CDX.NA.IG.36.V1, 06/20/26   Call   Deutsche Bank AG   08/18/21   0.48%   CDX.NA.IG.36. V1(Q)   1.00%(Q)     27,100   (5,327)
CDX.NA.IG.36.V1, 06/20/26   Call   Goldman Sachs International   08/18/21   0.50%   CDX.NA.IG.36. V1(Q)   1.00%(Q)     54,990   (41,961)
CDX.NA.IG.36.V1, 06/20/26   Call   JPMorgan Chase Bank, N.A.   08/18/21   0.50%   CDX.NA.IG.36. V1(Q)   1.00%(Q)     29,520   (22,526)
CDX.NA.IG.36.V1, 06/20/26   Call   Barclays Bank PLC   09/15/21   0.48%   CDX.NA.IG.36. V1(Q)   1.00%(Q)     21,470   (9,920)
CDX.NA.IG.36.V1, 06/20/26   Call   Barclays Bank PLC   10/20/21   0.48%   CDX.NA.IG.36. V1(Q)   1.00%(Q)     21,470   (15,433)
CDX.NA.IG.36.V1, 06/20/26   Call   Goldman Sachs International   10/20/21   0.48%   CDX.NA.IG.36. V1(Q)   1.00%(Q)     21,470   (15,433)
30

PGIM Absolute Return Bond Fund
Schedule of Investments as of July 31, 2021 (unaudited) (continued)
Options Written (continued):
OTC Swaptions
Description   Call/
Put
  Counterparty   Expiration
Date
  Strike   Receive   Pay   Notional
Amount
(000)#
  Value
CDX.NA.HY.36.V1, 06/20/26   Put   BNP Paribas S.A.   08/18/21   $105.00   5.00%(Q)   CDX.NA.HY.36. V1(Q)     25,460    $(14,438)
CDX.NA.IG.36.V1, 06/20/26   Put   Deutsche Bank AG   08/18/21   0.70%   1.00%(Q)   CDX.NA.IG.36. V1(Q)     27,100   (2,820)
CDX.NA.IG.36.V1, 06/20/26   Put   Goldman Sachs International   08/18/21   0.75%   1.00%(Q)   CDX.NA.IG.36. V1(Q)     54,990   (4,886)
CDX.NA.IG.36.V1, 06/20/26   Put   JPMorgan Chase Bank, N.A.   08/18/21   0.78%   1.00%(Q)   CDX.NA.IG.36. V1(Q)     29,520   (2,458)
CDX.NA.IG.36.V1, 06/20/26   Put   Barclays Bank PLC   09/15/21   0.65%   1.00%(Q)   CDX.NA.IG.36. V1(Q)     21,470   (10,539)
CDX.NA.IG.36.V1, 06/20/26   Put   Barclays Bank PLC   10/20/21   0.70%   1.00%(Q)   CDX.NA.IG.36. V1(Q)     21,470   (17,861)
CDX.NA.IG.36.V1, 06/20/26   Put   Goldman Sachs International   10/20/21   0.75%   1.00%(Q)   CDX.NA.IG.36. V1(Q)     21,470   (14,784)
GS_21-PJA††^   Put   Goldman Sachs International   06/17/24   0.25%   0.25%(M)   GS_21-PJA(M)     16,440   (2,690)
iTraxx.XO.35. V1,06/20/26   Put   Barclays Bank PLC   10/20/21   5.00%   5.00%(Q)   iTraxx.XO.35. V1(Q)   EUR 3,620   (5,363)
iTraxx.XO.35. V1,06/20/26   Put   Barclays Bank PLC   06/15/22   9.00%   5.00%(Q)   iTraxx.XO.35. V1(Q)   EUR 9,710   (151,331)
Total OTC Swaptions (premiums received $623,821)       $(380,632)
Total Options Written (premiums received $12,737,102)       $(1,875,437)
†† The value of the contract, GS_21-PJA, is derived from a pool of senior prime jumbo mortgages.
    
Futures contracts outstanding at July 31, 2021:
Number
of
Contracts
  Type   Expiration
Date
  Current
Notional
Amount
  Value /
Unrealized
Appreciation
(Depreciation)
Long Positions:
107   5 Year U.S. Treasury Notes   Sep. 2021    $13,315,648    $114,902
57   10 Year U.S. Ultra Treasury Notes   Sep. 2021   8,564,250   300,369
                415,271
Short Positions:
10   30 Day Federal Funds   Apr. 2022   (4,163,250)   5,784
58   30 Day Federal Funds   May 2022   (24,145,640)   35,864
48   30 Day Federal Funds   Jun. 2022   (19,980,598)   30,641
14   30 Day Federal Funds   Jul. 2022   (5,827,091)   9,777
3,209   2 Year U.S. Treasury Notes   Sep. 2021   708,085,906   (16,866)
227   5 Year Euro-Bobl   Sep. 2021   36,449,572   (359,758)
162   10 Year Euro-Bund   Sep. 2021   33,931,898   (879,521)
31

PGIM Absolute Return Bond Fund
Schedule of Investments as of July 31, 2021 (unaudited) (continued)
Futures contracts outstanding at July 31, 2021 (continued):
Number
of
Contracts
  Type   Expiration
Date
  Current
Notional
Amount
  Value /
Unrealized
Appreciation
(Depreciation)
Short Positions (cont’d):
457   10 Year U.S. Treasury Notes   Sep. 2021    $61,445,080    $(941,436)
359   20 Year U.S. Treasury Bonds   Sep. 2021   59,134,031   (2,533,559)
93   30 Year U.S. Ultra Treasury Bonds   Sep. 2021   18,556,406   (917,488)
113   Euro Schatz Index   Sep. 2021   15,060,766   (26,348)
                (5,592,910)
                $(5,177,639)
Forward foreign currency exchange contracts outstanding at July 31, 2021:
Purchase
Contracts
  Counterparty   Notional
Amount
(000)
  Value at
Settlement
Date
  Current
Value
  Unrealized
Appreciation
  Unrealized
Depreciation
OTC Forward Foreign Currency Exchange Contracts:
Australian Dollar,
Expiring 01/28/22   Citibank, N.A.   AUD 1,415    $929,273    $1,039,301    $110,028    $
Expiring 01/28/22   Morgan Stanley & Co. International PLC   AUD 5,569   4,204,659   4,090,373     (114,286)
Expiring 10/31/23   JPMorgan Chase Bank, N.A.   AUD 3,180   2,208,097   2,335,101   127,004  
Brazilian Real,
Expiring 08/03/21   Morgan Stanley & Co. International PLC   BRL 23,402   4,724,456   4,491,086     (233,370)
Expiring 09/02/21   Morgan Stanley & Co. International PLC   BRL 11,495   2,209,934   2,196,879     (13,055)
Expiring 09/30/21   Bank of America, N.A.   BRL 66,197   14,993,000   12,606,689     (2,386,311)
Expiring 09/30/21   Bank of America, N.A.   BRL 38,490   9,030,000   7,330,174     (1,699,826)
Expiring 09/30/21   Deutsche Bank AG   BRL 17,668   3,883,000   3,364,658     (518,342)
Expiring 09/30/21   Morgan Stanley & Co. International PLC   BRL 4,795   901,592   913,190   11,598  
Expiring 01/28/22   Citibank, N.A.   BRL 2,966   560,000   553,425     (6,575)
Expiring 01/28/22   Deutsche Bank AG   BRL 25,948   4,434,000   4,841,066   407,066  
Expiring 01/28/22   JPMorgan Chase Bank, N.A.   BRL 15,244   2,727,534   2,844,103   116,569  
Expiring 01/28/22   Morgan Stanley & Co. International PLC   BRL 19,492   3,580,779   3,636,610   55,831  
British Pound,
Expiring 10/19/21   Morgan Stanley & Co. International PLC   GBP 1,700   2,328,211   2,363,427   35,216  
Expiring 01/28/22   Morgan Stanley & Co. International PLC   GBP 625   862,819   869,183   6,364  
32

PGIM Absolute Return Bond Fund
Schedule of Investments as of July 31, 2021 (unaudited) (continued)
Forward foreign currency exchange contracts outstanding at July 31, 2021 (continued):
Purchase
Contracts
  Counterparty   Notional
Amount
(000)
  Value at
Settlement
Date
  Current
Value
  Unrealized
Appreciation
  Unrealized
Depreciation
OTC Forward Foreign Currency Exchange Contracts (cont’d.):
Canadian Dollar,
Expiring 10/19/21   JPMorgan Chase Bank, N.A.   CAD 3,484    $2,782,508    $2,792,447    $9,939    $
Chilean Peso,
Expiring 09/15/21   Citibank, N.A.   CLP 346,788   459,000   456,353     (2,647)
Expiring 09/15/21   Citibank, N.A.   CLP 179,093   249,000   235,676     (13,324)
Expiring 09/15/21   Credit Suisse International   CLP 200,455   264,000   263,787     (213)
Expiring 09/15/21   Credit Suisse International   CLP 124,181   167,000   163,415     (3,585)
Expiring 09/15/21   Goldman Sachs International   CLP 172,046   225,000   226,403   1,403  
Expiring 09/15/21   UBS AG   CLP 359,193   467,000   472,677   5,677  
Expiring 09/15/21   UBS AG   CLP 193,167   253,999   254,197   198  
Expiring 10/29/21   Deutsche Bank AG   CLP 1,903,558   2,405,000   2,500,885   95,885  
Chinese Renminbi,
Expiring 08/18/21   Citibank, N.A.   CNH 9,257   1,426,000   1,429,743   3,743  
Expiring 08/18/21   Citibank, N.A.   CNH 6,436   991,000   994,091   3,091  
Expiring 08/18/21   Citibank, N.A.   CNH 5,813   895,000   897,916   2,916  
Expiring 08/18/21   Citibank, N.A.   CNH 4,156   638,000   641,852   3,852  
Expiring 08/18/21   Citibank, N.A.   CNH 3,759   579,000   580,654   1,654  
Expiring 08/18/21   Citibank, N.A.   CNH 2,517   388,000   388,791   791  
Expiring 08/18/21   Citibank, N.A.   CNH 2,423   373,000   374,187   1,187  
Expiring 08/18/21   Citibank, N.A.   CNH 2,415   373,000   372,942     (58)
Expiring 08/18/21   Citibank, N.A.   CNH 2,406   372,000   371,575     (425)
Expiring 08/18/21   Credit Suisse International   CNH 4,412   678,000   681,449   3,449  
Expiring 08/18/21   Credit Suisse International   CNH 2,513   392,000   388,082     (3,918)
Expiring 08/18/21   Goldman Sachs International   CNH 2,740   422,000   423,258   1,258  
Expiring 08/18/21   Goldman Sachs International   CNH 2,491   384,000   384,723   723  
Expiring 08/18/21   Goldman Sachs International   CNH 2,403   371,000   371,114   114  
Expiring 08/18/21   Goldman Sachs International   CNH 2,243   346,000   346,389   389  
Expiring 08/18/21   HSBC Bank PLC   CNH 4,169   642,000   643,942   1,942  
Expiring 08/18/21   HSBC Bank PLC   CNH 3,617   558,000   558,594   594  
Expiring 08/18/21   HSBC Bank PLC   CNH 2,488   383,000   384,292   1,292  
Expiring 08/18/21   JPMorgan Chase Bank, N.A.   CNH 4,642   717,000   717,022   22  
33

PGIM Absolute Return Bond Fund
Schedule of Investments as of July 31, 2021 (unaudited) (continued)
Forward foreign currency exchange contracts outstanding at July 31, 2021 (continued):
Purchase
Contracts
  Counterparty   Notional
Amount
(000)
  Value at
Settlement
Date
  Current
Value
  Unrealized
Appreciation
  Unrealized
Depreciation
OTC Forward Foreign Currency Exchange Contracts (cont’d.):
Chinese Renminbi (cont’d.),
Expiring 08/18/21   JPMorgan Chase Bank, N.A.   CNH 3,990    $614,000    $616,287    $2,287    $
Expiring 08/18/21   JPMorgan Chase Bank, N.A.   CNH 3,731   574,000   576,282   2,282  
Expiring 08/18/21   JPMorgan Chase Bank, N.A.   CNH 3,355   523,000   518,266     (4,734)
Expiring 08/18/21   JPMorgan Chase Bank, N.A.   CNH 2,412   372,000   372,568   568  
Expiring 08/18/21   JPMorgan Chase Bank, N.A.   CNH 2,374   366,000   366,671   671  
Expiring 08/18/21   Morgan Stanley & Co. International PLC   CNH 2,727   422,000   421,161     (839)
Expiring 08/18/21   Morgan Stanley & Co. International PLC   CNH 1,020   157,170   157,561   391  
Expiring 08/18/21   Standard Chartered   CNH 7,913   1,222,000   1,222,169   169  
Expiring 09/30/21   Goldman Sachs International   CNH 1,986   305,000   305,541   541  
Expiring 09/30/21   UBS AG   CNH 4,970   765,553   764,722     (831)
Expiring 01/28/22   JPMorgan Chase Bank, N.A.   CNH 3,291   497,363   501,520   4,157  
Colombian Peso,
Expiring 09/15/21   Citibank, N.A.   COP 2,811,428   781,430   723,155     (58,275)
Expiring 09/15/21   Citibank, N.A.   COP 1,363,046   376,000   350,602     (25,398)
Expiring 09/15/21   Goldman Sachs International   COP 915,860   253,000   235,577     (17,423)
Czech Koruna,
Expiring 10/19/21   JPMorgan Chase Bank, N.A.   CZK 19,936   916,949   926,243   9,294  
Expiring 10/19/21   JPMorgan Chase Bank, N.A.   CZK 5,570   255,000   258,794   3,794  
Expiring 10/19/21   Morgan Stanley & Co. International PLC   CZK 33,541   1,543,366   1,558,313   14,947  
Expiring 10/19/21   UBS AG   CZK 8,336   382,000   387,273   5,273  
Euro,
Expiring 08/31/21   HSBC Bank PLC   EUR 3,462   4,141,923   4,109,867     (32,056)
Expiring 08/31/21   Morgan Stanley & Co. International PLC   EUR 863   1,027,639   1,024,367     (3,272)
Expiring 10/19/21   Barclays Bank PLC   EUR 937   1,108,287   1,113,810   5,523  
Expiring 10/19/21   JPMorgan Chase Bank, N.A.   EUR 490   579,000   581,825   2,825  
Expiring 11/22/21   Bank of America, N.A.   EUR 952   1,122,313   1,131,970   9,657  
Expiring 11/22/21   Deutsche Bank AG   EUR 417   496,797   495,831     (966)
34

PGIM Absolute Return Bond Fund
Schedule of Investments as of July 31, 2021 (unaudited) (continued)
Forward foreign currency exchange contracts outstanding at July 31, 2021 (continued):
Purchase
Contracts
  Counterparty   Notional
Amount
(000)
  Value at
Settlement
Date
  Current
Value
  Unrealized
Appreciation
  Unrealized
Depreciation
OTC Forward Foreign Currency Exchange Contracts (cont’d.):
Hungarian Forint,
Expiring 10/19/21   Barclays Bank PLC   HUF 114,640    $376,000    $378,421    $2,421    $
Expiring 10/19/21   Barclays Bank PLC   HUF 79,643   262,000   262,897   897  
Indian Rupee,
Expiring 09/15/21   BNP Paribas S.A.   INR 27,204   367,000   363,846     (3,154)
Expiring 09/15/21   Citibank, N.A.   INR 409,820   5,554,581   5,481,249     (73,332)
Expiring 09/15/21   Credit Suisse International   INR 36,510   488,000   488,316   316  
Expiring 09/15/21   Credit Suisse International   INR 27,626   368,000   369,488   1,488  
Expiring 09/15/21   Goldman Sachs International   INR 27,985   378,000   374,291     (3,709)
Expiring 09/15/21   Goldman Sachs International   INR 27,672   374,000   370,110     (3,890)
Expiring 09/15/21   JPMorgan Chase Bank, N.A.   INR 34,795   464,000   465,380   1,380  
Expiring 09/15/21   JPMorgan Chase Bank, N.A.   INR 27,135   368,000   362,930     (5,070)
Expiring 09/15/21   JPMorgan Chase Bank, N.A.   INR 26,455   353,000   353,823   823  
Expiring 09/15/21   JPMorgan Chase Bank, N.A.   INR 25,393   339,000   339,632   632  
Expiring 09/15/21   Morgan Stanley & Co. International PLC   INR 47,081   629,000   629,693   693  
Expiring 09/15/21   Standard Chartered   INR 42,967   574,000   574,679   679  
Expiring 09/15/21   Standard Chartered   INR 28,273   378,000   378,139   139  
Expiring 09/30/21   Goldman Sachs International   INR 242,481   3,183,000   3,237,504   54,504  
Expiring 09/30/21   HSBC Bank PLC   INR 181,781   2,268,006   2,427,059   159,053  
Expiring 09/30/21   JPMorgan Chase Bank, N.A.   INR 206,552   2,753,106   2,757,793   4,687  
Expiring 09/30/21   Morgan Stanley & Co. International PLC   INR 20,765   276,000   277,240   1,240  
Expiring 02/25/22   JPMorgan Chase Bank, N.A.   INR 139,894   1,830,000   1,835,862   5,862  
Indonesian Rupiah,
Expiring 09/15/21   Barclays Bank PLC   IDR 5,411,325   375,000   372,870     (2,130)
Expiring 09/15/21   HSBC Bank PLC   IDR 93,361,842   6,484,812   6,433,142     (51,670)
Israeli Shekel,
Expiring 08/31/21   Bank of America, N.A.   ILS 5,275   1,615,528   1,632,210   16,682  
Expiring 08/31/21   Barclays Bank PLC   ILS 1,079   330,000   334,007   4,007  
Expiring 08/31/21   Morgan Stanley & Co. International PLC   ILS 1,806   551,790   558,643   6,853  
35

PGIM Absolute Return Bond Fund
Schedule of Investments as of July 31, 2021 (unaudited) (continued)
Forward foreign currency exchange contracts outstanding at July 31, 2021 (continued):
Purchase
Contracts
  Counterparty   Notional
Amount
(000)
  Value at
Settlement
Date
  Current
Value
  Unrealized
Appreciation
  Unrealized
Depreciation
OTC Forward Foreign Currency Exchange Contracts (cont’d.):
Israeli Shekel (cont’d.),
Expiring 09/17/21   Bank of America, N.A.   ILS 13,869    $4,274,077    $4,292,194    $18,117    $
Expiring 09/17/21   Bank of America, N.A.   ILS 1,558   477,000   482,255   5,255  
Expiring 09/17/21   Bank of America, N.A.   ILS 1,205   373,000   372,809     (191)
Expiring 09/17/21   JPMorgan Chase Bank, N.A.   ILS 1,384   424,000   428,163   4,163  
Japanese Yen,
Expiring 10/19/21   Barclays Bank PLC   JPY 174,635   1,585,951   1,592,895   6,944  
Expiring 10/19/21   JPMorgan Chase Bank, N.A.   JPY 62,565   570,000   570,674   674  
Expiring 01/28/22   Citibank, N.A.   JPY 538,981   5,262,454   4,922,177     (340,277)
Expiring 01/28/22   Deutsche Bank AG   JPY 406,777   3,862,000   3,714,841     (147,159)
Expiring 01/28/22   Deutsche Bank AG   JPY 153,253   1,470,000   1,399,562     (70,438)
Expiring 01/28/22   Deutsche Bank AG   JPY 102,273   944,000   933,996     (10,004)
Expiring 05/31/22   Citibank, N.A.   JPY 92,578   849,426   846,495     (2,931)
Expiring 05/31/22   Deutsche Bank AG   JPY 662,163   6,130,000   6,054,538     (75,462)
Expiring 10/31/23   Barclays Bank PLC   JPY 487,838   5,118,000   4,508,173     (609,827)
Expiring 10/31/23   Deutsche Bank AG   JPY 498,249   5,219,999   4,604,387     (615,612)
Expiring 10/31/23   Goldman Sachs International   JPY 874,045   8,971,000   8,077,165     (893,835)
Expiring 10/31/23   Morgan Stanley & Co. International PLC   JPY 855,296   8,262,958   7,903,908     (359,050)
Mexican Peso,
Expiring 09/15/21   BNP Paribas S.A.   MXN 5,214   252,000   260,273   8,273  
Expiring 09/15/21   Citibank, N.A.   MXN 24,106   1,214,424   1,203,359     (11,065)
Expiring 09/15/21   Goldman Sachs International   MXN 4,979   247,000   248,533   1,533  
Expiring 09/15/21   Goldman Sachs International   MXN 4,804   241,000   239,806     (1,194)
Expiring 09/15/21   JPMorgan Chase Bank, N.A.   MXN 7,472   373,000   373,012   12  
Expiring 09/15/21   JPMorgan Chase Bank, N.A.   MXN 7,443   373,000   371,558     (1,442)
Expiring 09/15/21   JPMorgan Chase Bank, N.A.   MXN 5,014   247,000   250,289   3,289  
Expiring 09/15/21   Morgan Stanley & Co. International PLC   MXN 46,277   2,288,655   2,310,074   21,419  
Expiring 09/15/21   UBS AG   MXN 11,639   575,000   580,999   5,999  
Expiring 09/15/21   UBS AG   MXN 5,187   255,000   258,917   3,917  
Expiring 02/25/22   Bank of America, N.A.   MXN 47,307   2,005,107   2,305,111   300,004  
Expiring 02/25/22   Morgan Stanley & Co. International PLC   MXN 28,900   1,360,406   1,408,186   47,780  
36

PGIM Absolute Return Bond Fund
Schedule of Investments as of July 31, 2021 (unaudited) (continued)
Forward foreign currency exchange contracts outstanding at July 31, 2021 (continued):
Purchase
Contracts
  Counterparty   Notional
Amount
(000)
  Value at
Settlement
Date
  Current
Value
  Unrealized
Appreciation
  Unrealized
Depreciation
OTC Forward Foreign Currency Exchange Contracts (cont’d.):
Mexican Peso (cont’d.),
Expiring 04/28/23   JPMorgan Chase Bank, N.A.   MXN 72,679    $3,006,698    $3,310,541    $303,843    $
Expiring 04/28/23   Morgan Stanley & Co. International PLC   MXN 231,058   9,739,000   10,524,663   785,663  
New Taiwanese Dollar,
Expiring 09/15/21   Citibank, N.A.   TWD 17,564   629,000   629,488   488  
Expiring 09/15/21   Citibank, N.A.   TWD 10,176   372,000   364,703     (7,297)
Expiring 09/15/21   Credit Suisse International   TWD 10,434   376,000   373,974     (2,026)
Expiring 09/15/21   Goldman Sachs International   TWD 10,616   381,000   380,490     (510)
Expiring 09/15/21   Goldman Sachs International   TWD 10,565   386,000   378,663     (7,337)
Expiring 09/15/21   Goldman Sachs International   TWD 9,802   353,000   351,313     (1,687)
Expiring 09/15/21   JPMorgan Chase Bank, N.A.   TWD 17,493   628,000   626,957     (1,043)
Expiring 09/15/21   JPMorgan Chase Bank, N.A.   TWD 17,465   623,000   625,951   2,951  
Expiring 09/15/21   JPMorgan Chase Bank, N.A.   TWD 13,588   497,000   487,019     (9,981)
Expiring 09/15/21   Standard Chartered   TWD 10,242   367,000   367,074   74  
Expiring 09/30/21   JPMorgan Chase Bank, N.A.   TWD 164,717   6,058,000   5,907,753     (150,247)
Expiring 12/23/21   Citibank, N.A.   TWD 21,613   789,307   779,039     (10,268)
Expiring 12/23/21   Deutsche Bank AG   TWD 18,134   651,000   653,654   2,654  
Peruvian Nuevo Sol,
Expiring 09/15/21   BNP Paribas S.A.   PEN 1,996   521,000   491,343     (29,657)
Expiring 09/15/21   BNP Paribas S.A.   PEN 1,465   371,000   360,825     (10,175)
Expiring 09/15/21   Goldman Sachs International   PEN 1,528   386,000   376,246     (9,754)
Expiring 09/15/21   Goldman Sachs International   PEN 1,387   351,000   341,529     (9,471)
Philippine Peso,
Expiring 09/15/21   Citibank, N.A.   PHP 37,396   742,000   746,482   4,482  
Expiring 09/15/21   Citibank, N.A.   PHP 24,301   496,000   485,076     (10,924)
Expiring 09/15/21   Citibank, N.A.   PHP 18,040   369,000   360,114     (8,886)
Expiring 09/15/21   Citibank, N.A.   PHP 17,912   368,000   357,559     (10,441)
Expiring 09/15/21   Goldman Sachs International   PHP 37,884   749,000   756,231   7,231  
Expiring 09/15/21   Goldman Sachs International   PHP 17,822   368,000   355,759     (12,241)
37

PGIM Absolute Return Bond Fund
Schedule of Investments as of July 31, 2021 (unaudited) (continued)
Forward foreign currency exchange contracts outstanding at July 31, 2021 (continued):
Purchase
Contracts
  Counterparty   Notional
Amount
(000)
  Value at
Settlement
Date
  Current
Value
  Unrealized
Appreciation
  Unrealized
Depreciation
OTC Forward Foreign Currency Exchange Contracts (cont’d.):
Philippine Peso (cont’d.),
Expiring 09/15/21   HSBC Bank PLC   PHP 40,378    $802,000    $806,012    $4,012    $
Expiring 09/15/21   HSBC Bank PLC   PHP 37,166   735,000   741,889   6,889  
Expiring 09/15/21   HSBC Bank PLC   PHP 18,323   374,000   365,753     (8,247)
Expiring 09/15/21   JPMorgan Chase Bank, N.A.   PHP 37,055   756,000   739,666     (16,334)
Expiring 09/15/21   JPMorgan Chase Bank, N.A.   PHP 18,983   394,000   378,928     (15,072)
Expiring 09/15/21   Standard Chartered   PHP 56,248   1,116,000   1,122,786   6,786  
Expiring 09/15/21   Standard Chartered   PHP 44,572   881,000   889,716   8,716  
Expiring 09/15/21   Standard Chartered   PHP 30,796   613,000   614,740   1,740  
Expiring 09/15/21   Standard Chartered   PHP 29,522   583,000   589,303   6,303  
Expiring 09/15/21   Standard Chartered   PHP 25,173   500,000   502,491   2,491  
Polish Zloty,
Expiring 10/19/21   Barclays Bank PLC   PLN 5,424   1,414,018   1,408,218     (5,800)
Expiring 10/19/21   HSBC Bank PLC   PLN 6,781   1,763,329   1,760,590     (2,739)
Russian Ruble,
Expiring 09/15/21   Barclays Bank PLC   RUB 34,622   463,000   470,091   7,091  
Expiring 09/15/21   Barclays Bank PLC   RUB 28,582   389,000   388,076     (924)
Expiring 09/15/21   Barclays Bank PLC   RUB 18,276   246,000   248,145   2,145  
Expiring 09/15/21   Goldman Sachs International   RUB 18,638   249,000   253,057   4,057  
Expiring 09/15/21   Morgan Stanley & Co. International PLC   RUB 252,743   3,401,878   3,431,675   29,797  
Expiring 09/15/21   Morgan Stanley & Co. International PLC   RUB 68,795   945,000   934,080     (10,920)
Expiring 09/15/21   Morgan Stanley & Co. International PLC   RUB 33,661   460,000   457,036     (2,964)
Expiring 09/15/21   Morgan Stanley & Co. International PLC   RUB 28,954   390,000   393,130   3,130  
Expiring 09/15/21   Morgan Stanley & Co. International PLC   RUB 28,395   379,000   385,536   6,536  
Expiring 09/15/21   Morgan Stanley & Co. International PLC   RUB 28,285   383,000   384,041   1,041  
Expiring 09/15/21   Morgan Stanley & Co. International PLC   RUB 27,764   369,000   376,967   7,967  
Expiring 09/15/21   Morgan Stanley & Co. International PLC   RUB 26,661   366,000   362,000     (4,000)
Expiring 09/15/21   Morgan Stanley & Co. International PLC   RUB 18,728   252,000   254,289   2,289  
Expiring 09/15/21   Morgan Stanley & Co. International PLC   RUB 18,433   250,999   250,274     (725)
Expiring 11/22/21   Deutsche Bank AG   RUB 153,565   1,982,000   2,058,761   76,761  
38

PGIM Absolute Return Bond Fund
Schedule of Investments as of July 31, 2021 (unaudited) (continued)
Forward foreign currency exchange contracts outstanding at July 31, 2021 (continued):
Purchase
Contracts
  Counterparty   Notional
Amount
(000)
  Value at
Settlement
Date
  Current
Value
  Unrealized
Appreciation
  Unrealized
Depreciation
OTC Forward Foreign Currency Exchange Contracts (cont’d.):
Russian Ruble (cont’d.),
Expiring 11/22/21   Morgan Stanley & Co. International PLC   RUB 176,513    $2,206,000    $2,366,408    $160,408    $
South African Rand,
Expiring 09/15/21   Citibank, N.A.   ZAR 13,326   915,045   904,164     (10,881)
Expiring 09/15/21   JPMorgan Chase Bank, N.A.   ZAR 10,159   688,000   689,267   1,267  
Expiring 09/15/21   JPMorgan Chase Bank, N.A.   ZAR 3,435   247,000   233,098     (13,902)
Expiring 09/15/21   JPMorgan Chase Bank, N.A.   ZAR 3,394   247,000   230,316     (16,684)
Expiring 09/15/21   Morgan Stanley & Co. International PLC   ZAR 3,531   254,000   239,569     (14,431)
Expiring 09/30/21   Barclays Bank PLC   ZAR 4,188   280,000   283,585   3,585  
Expiring 09/30/21   Citibank, N.A.   ZAR 4,118   283,000   278,857     (4,143)
Expiring 09/30/21   Goldman Sachs International   ZAR 25,218   1,749,196   1,707,775     (41,421)
Expiring 09/30/21   Goldman Sachs International   ZAR 3,534   243,000   239,332     (3,668)
Expiring 09/30/21   JPMorgan Chase Bank, N.A.   ZAR 259,809   15,802,000   17,594,435   1,792,435  
Expiring 12/23/21   Goldman Sachs International   ZAR 73,237   3,878,000   4,906,933   1,028,933  
Expiring 05/31/22   Morgan Stanley & Co. International PLC   ZAR 10,977   706,260   720,673   14,413  
South Korean Won,
Expiring 09/15/21   Citibank, N.A.   KRW 782,111   689,000   677,811     (11,189)
Expiring 09/15/21   Citibank, N.A.   KRW 716,075   621,000   620,581     (419)
Expiring 09/15/21   Citibank, N.A.   KRW 660,383   597,000   572,316     (24,684)
Expiring 09/15/21   Credit Suisse International   KRW 5,378,603   4,821,697   4,661,326     (160,371)
Expiring 09/15/21   Goldman Sachs International   KRW 452,103   394,000   391,812     (2,188)
Expiring 09/15/21   Goldman Sachs International   KRW 431,057   380,000   373,572     (6,428)
Expiring 09/15/21   HSBC Bank PLC   KRW 561,495   492,000   486,615     (5,385)
Expiring 09/15/21   HSBC Bank PLC   KRW 443,021   384,000   383,941     (59)
Expiring 09/15/21   HSBC Bank PLC   KRW 427,314   374,000   370,328     (3,672)
Expiring 09/15/21   JPMorgan Chase Bank, N.A.   KRW 432,834   374,000   375,112   1,112  
Expiring 09/15/21   Morgan Stanley & Co. International PLC   KRW 429,595   374,000   372,305     (1,695)
Expiring 09/15/21   Standard Chartered   KRW 731,850   638,000   634,252     (3,748)
39

PGIM Absolute Return Bond Fund
Schedule of Investments as of July 31, 2021 (unaudited) (continued)
Forward foreign currency exchange contracts outstanding at July 31, 2021 (continued):
Purchase
Contracts
  Counterparty   Notional
Amount
(000)
  Value at
Settlement
Date
  Current
Value
  Unrealized
Appreciation
  Unrealized
Depreciation
OTC Forward Foreign Currency Exchange Contracts (cont’d.):
South Korean Won (cont’d.),
Expiring 09/15/21   Standard Chartered   KRW 670,030    $585,000    $580,676    $   $(4,324)
Expiring 09/15/21   Standard Chartered   KRW 317,326   277,000   275,008     (1,992)
Expiring 10/29/21   Citibank, N.A.   KRW 2,376,006   2,173,283   2,057,953     (115,330)
Expiring 10/29/21   Citibank, N.A.   KRW 425,741   378,000   368,751     (9,249)
Expiring 10/29/21   JPMorgan Chase Bank, N.A.   KRW 1,242,907   1,098,266   1,076,531     (21,735)
Expiring 10/29/21   Morgan Stanley & Co. International PLC   KRW 654,439   576,547   566,835     (9,712)
Thai Baht,
Expiring 09/15/21   Goldman Sachs International   THB 58,829   1,883,741   1,789,452     (94,289)
Expiring 09/15/21   Goldman Sachs International   THB 11,704   364,000   356,011     (7,989)
Expiring 09/15/21   Morgan Stanley & Co. International PLC   THB 88,311   2,827,397   2,686,230     (141,167)
Expiring 09/15/21   Morgan Stanley & Co. International PLC   THB 14,988   467,000   455,898     (11,102)
Expiring 09/15/21   Standard Chartered   THB 15,853   491,000   482,202     (8,798)
              $287,537,592   $284,055,295   6,049,199   (9,531,496)
    
Sale
Contracts
  Counterparty   Notional
Amount
(000)
  Value at
Settlement
Date
  Current
Value
  Unrealized
Appreciation
  Unrealized
Depreciation
OTC Forward Foreign Currency Exchange Contracts:
Australian Dollar,
Expiring 10/19/21   JPMorgan Chase Bank, N.A.   AUD 899    $663,877    $659,975    $3,902    $
Expiring 10/19/21   Morgan Stanley & Co. International PLC   AUD 1,033   768,291   758,575   9,716  
Expiring 05/31/22   Morgan Stanley & Co. International PLC   AUD 1,263   953,616   927,784   25,832  
Brazilian Real,
Expiring 08/03/21   Bank of America, N.A.   BRL 1,226   244,000   235,239   8,761  
Expiring 08/03/21   Bank of America, N.A.   BRL 1,137   226,000   218,154   7,846  
Expiring 08/03/21   Citibank, N.A.   BRL 2,378   458,000   456,304   1,696  
Expiring 08/03/21   Citibank, N.A.   BRL 1,652   328,900   317,104   11,796  
Expiring 08/03/21   Citibank, N.A.   BRL 1,222   243,100   234,432   8,668  
Expiring 08/03/21   Morgan Stanley & Co. International PLC   BRL 11,495   2,218,593   2,205,908   12,685  
40

PGIM Absolute Return Bond Fund
Schedule of Investments as of July 31, 2021 (unaudited) (continued)
Forward foreign currency exchange contracts outstanding at July 31, 2021 (continued):
Sale
Contracts
  Counterparty   Notional
Amount
(000)
  Value at
Settlement
Date
  Current
Value
  Unrealized
Appreciation
  Unrealized
Depreciation
OTC Forward Foreign Currency Exchange Contracts (cont’d.):
Brazilian Real (cont’d.),
Expiring 08/03/21   Morgan Stanley & Co. International PLC   BRL 2,951    $579,000    $566,334    $12,666    $
Expiring 08/03/21   UBS AG   BRL 1,342   253,000   257,610     (4,610)
Expiring 09/30/21   Bank of America, N.A.   BRL 47,736   11,027,000   9,090,904   1,936,096  
Expiring 09/30/21   Deutsche Bank AG   BRL 79,414   17,683,000   15,123,807   2,559,193  
Expiring 01/28/22   Citibank, N.A.   BRL 24,184   4,311,000   4,511,915     (200,915)
Expiring 01/28/22   Citibank, N.A.   BRL 2,181   414,751   406,871   7,880  
Expiring 01/28/22   Deutsche Bank AG   BRL 37,286   8,109,155   6,956,416   1,152,739  
British Pound,
Expiring 08/31/21   Morgan Stanley & Co. International PLC   GBP 832   1,147,705   1,156,618     (8,913)
Expiring 10/19/21   BNP Paribas S.A.   GBP 25,137   34,837,954   34,947,356     (109,402)
Expiring 01/28/22   JPMorgan Chase Bank, N.A.   GBP 625   817,100   869,183     (52,083)
Chilean Peso,
Expiring 09/15/21   BNP Paribas S.A.   CLP 1,046,492   1,461,315   1,377,122   84,193  
Expiring 09/15/21   BNP Paribas S.A.   CLP 437,859   607,000   576,198   30,802  
Expiring 09/15/21   Citibank, N.A.   CLP 429,996   597,000   565,850   31,150  
Expiring 09/15/21   Citibank, N.A.   CLP 423,308   574,000   557,049   16,951  
Expiring 09/15/21   Goldman Sachs International   CLP 178,262   238,000   234,582   3,418  
Expiring 09/15/21   Morgan Stanley & Co. International PLC   CLP 1,145,517   1,599,471   1,507,434   92,037  
Expiring 09/15/21   Morgan Stanley & Co. International PLC   CLP 119,685   157,170   157,498     (328)
Expiring 10/29/21   Bank of America, N.A.   CLP 1,989,417   2,524,000   2,613,687     (89,687)
Chinese Renminbi,
Expiring 08/18/21   Credit Suisse International   CNH 5,116   798,000   790,167   7,833  
Expiring 08/18/21   Credit Suisse International   CNH 4,756   742,000   734,573   7,427  
Expiring 08/18/21   Goldman Sachs International   CNH 3,406   530,000   526,140   3,860  
Expiring 08/18/21   HSBC Bank PLC   CNH 4,921   766,000   760,143   5,857  
Expiring 08/18/21   JPMorgan Chase Bank, N.A.   CNH 4,876   760,000   753,159   6,841  
Expiring 08/18/21   JPMorgan Chase Bank, N.A.   CNH 2,416   371,000   373,086     (2,086)
Expiring 08/18/21   Morgan Stanley & Co. International PLC   CNH 6,133   957,000   947,332   9,668  
Expiring 01/28/22   Deutsche Bank AG   CNH 3,291   478,000   501,520     (23,520)
41

PGIM Absolute Return Bond Fund
Schedule of Investments as of July 31, 2021 (unaudited) (continued)
Forward foreign currency exchange contracts outstanding at July 31, 2021 (continued):
Sale
Contracts
  Counterparty   Notional
Amount
(000)
  Value at
Settlement
Date
  Current
Value
  Unrealized
Appreciation
  Unrealized
Depreciation
OTC Forward Foreign Currency Exchange Contracts (cont’d.):
Colombian Peso,
Expiring 09/15/21   BNP Paribas S.A.   COP 3,127,846    $824,000    $804,543    $19,457    $
Expiring 09/15/21   Citibank, N.A.   COP 954,727   252,000   245,575   6,425  
Expiring 09/15/21   Citibank, N.A.   COP 936,895   249,000   240,988   8,012  
Expiring 09/15/21   Goldman Sachs International   COP 1,400,056   373,000   360,122   12,878  
Expiring 09/15/21   Morgan Stanley & Co. International PLC   COP 1,437,000   377,000   369,624   7,376  
Expiring 09/15/21   Morgan Stanley & Co. International PLC   COP 1,012,897   259,000   260,537     (1,537)
Expiring 09/15/21   Morgan Stanley & Co. International PLC   COP 1,012,656   264,000   260,475   3,525  
Expiring 09/15/21   Morgan Stanley & Co. International PLC   COP 1,008,765   261,000   259,474   1,526  
Expiring 09/15/21   Morgan Stanley & Co. International PLC   COP 918,813   241,000   236,337   4,663  
Czech Koruna,
Expiring 10/19/21   JPMorgan Chase Bank, N.A.   CZK 12,550   579,000   583,066     (4,066)
Euro,
Expiring 10/19/21   BNP Paribas S.A.   EUR 45,876   54,407,176   54,506,939     (99,763)
Expiring 10/19/21   HSBC Bank PLC   EUR 31,304   37,227,065   37,193,833   33,232  
Expiring 10/19/21   JPMorgan Chase Bank, N.A.   EUR 405   477,000   481,070     (4,070)
Expiring 11/22/21   Citibank, N.A.   EUR 509   606,703   605,673   1,030  
Expiring 11/22/21   Morgan Stanley & Co. International PLC   EUR 860   1,025,453   1,022,128   3,325  
Hungarian Forint,
Expiring 10/19/21   Barclays Bank PLC   HUF 480,409   1,599,405   1,585,805   13,600  
Expiring 10/19/21   Goldman Sachs International   HUF 114,971   381,000   379,512   1,488  
Expiring 10/19/21   JPMorgan Chase Bank, N.A.   HUF 79,091   258,000   261,075     (3,075)
Indian Rupee,
Expiring 09/15/21   HSBC Bank PLC   INR 57,329   760,000   766,764     (6,764)
Expiring 09/15/21   HSBC Bank PLC   INR 51,446   686,000   688,077     (2,077)
Expiring 09/15/21   HSBC Bank PLC   INR 35,340   469,000   472,660     (3,660)
Expiring 09/15/21   JPMorgan Chase Bank, N.A.   INR 46,574   620,000   622,922     (2,922)
Expiring 09/15/21   JPMorgan Chase Bank, N.A.   INR 38,138   508,000   510,089     (2,089)
Expiring 09/15/21   Morgan Stanley & Co. International PLC   INR 48,421   644,000   647,621     (3,621)
42

PGIM Absolute Return Bond Fund
Schedule of Investments as of July 31, 2021 (unaudited) (continued)
Forward foreign currency exchange contracts outstanding at July 31, 2021 (continued):
Sale
Contracts
  Counterparty   Notional
Amount
(000)
  Value at
Settlement
Date
  Current
Value
  Unrealized
Appreciation
  Unrealized
Depreciation
OTC Forward Foreign Currency Exchange Contracts (cont’d.):
Indian Rupee (cont’d.),
Expiring 09/15/21   Morgan Stanley & Co. International PLC   INR 46,403    $618,000    $620,624    $   $(2,624)
Expiring 09/15/21   Morgan Stanley & Co. International PLC   INR 28,876   384,000   386,205     (2,205)
Expiring 09/15/21   Morgan Stanley & Co. International PLC   INR 27,984   375,000   374,285   715  
Expiring 09/15/21   Morgan Stanley & Co. International PLC   INR 27,808   369,000   371,921     (2,921)
Expiring 09/15/21   Standard Chartered   INR 95,563   1,267,000   1,278,141     (11,141)
Expiring 09/15/21   Standard Chartered   INR 47,015   628,000   628,818     (818)
Expiring 09/15/21   Standard Chartered   INR 28,901   386,000   386,544     (544)
Expiring 09/15/21   UBS AG   INR 34,971   467,000   467,727     (727)
Expiring 09/30/21   Bank of America, N.A.   INR 424,262   5,480,000   5,664,563     (184,563)
Expiring 09/30/21   Barclays Bank PLC   INR 27,315   363,000   364,699     (1,699)
Expiring 02/25/22   JPMorgan Chase Bank, N.A.   INR 179,467   2,319,000   2,355,187     (36,187)
Expiring 02/25/22   Morgan Stanley & Co. International PLC   INR 164,184   2,095,000   2,154,621     (59,621)
Indonesian Rupiah,
Expiring 09/15/21   BNP Paribas S.A.   IDR 9,805,189   671,000   675,631     (4,631)
Expiring 09/15/21   Credit Suisse International   IDR 5,416,340   371,000   373,216     (2,216)
Expiring 09/15/21   HSBC Bank PLC   IDR 17,475,651   1,214,000   1,204,168   9,832  
Expiring 09/15/21   HSBC Bank PLC   IDR 17,354,796   1,205,000   1,195,841   9,159  
Expiring 09/15/21   Morgan Stanley & Co. International PLC   IDR 5,582,930   382,000   384,694     (2,694)
Expiring 09/15/21   Standard Chartered   IDR 17,537,522   1,198,000   1,208,431     (10,431)
Israeli Shekel,
Expiring 08/31/21   BNP Paribas S.A.   ILS 8,160   2,500,000   2,524,860     (24,860)
Expiring 09/17/21   Bank of America, N.A.   ILS 1,243   379,000   384,770     (5,770)
Expiring 09/17/21   Barclays Bank PLC   ILS 4,569   1,404,000   1,414,122     (10,122)
Expiring 09/17/21   Barclays Bank PLC   ILS 3,270   1,006,000   1,011,989     (5,989)
Expiring 09/17/21   Barclays Bank PLC   ILS 2,445   748,000   756,805     (8,805)
Expiring 09/17/21   Barclays Bank PLC   ILS 2,061   630,000   637,958     (7,958)
Expiring 09/17/21   Barclays Bank PLC   ILS 2,061   628,000   637,765     (9,765)
Expiring 09/17/21   Barclays Bank PLC   ILS 1,986   611,000   614,488     (3,488)
Expiring 09/17/21   Barclays Bank PLC   ILS 1,626   499,000   503,246     (4,246)
Expiring 09/17/21   Barclays Bank PLC   ILS 1,286   390,000   397,905     (7,905)
Expiring 09/17/21   Barclays Bank PLC   ILS 1,163   357,000   360,049     (3,049)
Expiring 09/17/21   Citibank, N.A.   ILS 2,402   741,000   743,506     (2,506)
Expiring 09/17/21   Citibank, N.A.   ILS 1,900   579,000   588,143     (9,143)
Expiring 09/17/21   Citibank, N.A.   ILS 1,241   379,000   383,932     (4,932)
43

PGIM Absolute Return Bond Fund
Schedule of Investments as of July 31, 2021 (unaudited) (continued)
Forward foreign currency exchange contracts outstanding at July 31, 2021 (continued):
Sale
Contracts
  Counterparty   Notional
Amount
(000)
  Value at
Settlement
Date
  Current
Value
  Unrealized
Appreciation
  Unrealized
Depreciation
OTC Forward Foreign Currency Exchange Contracts (cont’d.):
Israeli Shekel (cont’d.),
Expiring 09/17/21   Citibank, N.A.   ILS 1,237    $378,000    $382,691    $   $(4,691)
Japanese Yen,
Expiring 10/19/21   Barclays Bank PLC   JPY 189,866   1,720,600   1,731,820     (11,220)
Expiring 01/28/22   Citibank, N.A.   JPY 634,903   5,972,189   5,798,181   174,008  
Expiring 01/28/22   Citibank, N.A.   JPY 601,760   5,760,948   5,495,501   265,447  
Expiring 01/28/22   Citibank, N.A.   JPY 410,350   3,967,301   3,747,472   219,829  
Expiring 01/28/22   Citibank, N.A.   JPY 93,027   852,053   849,560   2,493  
Expiring 05/31/22   Citibank, N.A.   JPY 293,864   2,846,550   2,686,966   159,584  
Expiring 05/31/22   Deutsche Bank AG   JPY 349,393   3,323,000   3,194,699   128,301  
Expiring 10/31/23   Bank of America, N.A.   JPY 1,325,555   12,988,000   12,249,637   738,363  
Expiring 10/31/23   Bank of America, N.A.   JPY 1,168,753   11,585,000   10,800,604   784,396  
Expiring 10/31/23   Citibank, N.A.   JPY 399,802   4,148,827   3,694,622   454,205  
Expiring 10/31/23   Citibank, N.A.   JPY 46,713   447,401   431,682   15,719  
Mexican Peso,
Expiring 09/15/21   Goldman Sachs International   MXN 3,250   161,000   162,253     (1,253)
Expiring 09/15/21   JPMorgan Chase Bank, N.A.   MXN 11,714   580,000   584,764     (4,764)
Expiring 09/15/21   JPMorgan Chase Bank, N.A.   MXN 7,771   385,000   387,931     (2,931)
Expiring 09/15/21   Morgan Stanley & Co. International PLC   MXN 11,748   574,000   586,435     (12,435)
Expiring 02/25/22   Barclays Bank PLC   MXN 45,503   1,924,000   2,217,184     (293,184)
Expiring 02/25/22   Deutsche Bank AG   MXN 16,101   750,000   784,528     (34,528)
Expiring 02/25/22   Goldman Sachs International   MXN 14,604   589,000   711,585     (122,585)
Expiring 04/28/23   Morgan Stanley & Co. International PLC   MXN 303,737   13,188,761   13,835,204     (646,443)
New Taiwanese Dollar,
Expiring 09/15/21   Goldman Sachs International   TWD 47,908   1,748,341   1,717,052   31,289  
Expiring 09/15/21   JPMorgan Chase Bank, N.A.   TWD 10,491   379,000   375,993   3,007  
Expiring 09/30/21   JPMorgan Chase Bank, N.A.   TWD 164,717   6,185,393   5,907,753   277,640  
Expiring 12/23/21   JPMorgan Chase Bank, N.A.   TWD 39,747   1,509,000   1,432,693   76,307  
Peruvian Nuevo Sol,
Expiring 09/15/21   Citibank, N.A.   PEN 1,923   490,000   473,509   16,491  
Expiring 09/15/21   Citibank, N.A.   PEN 1,378   351,000   339,343   11,657  
Expiring 09/15/21   Goldman Sachs International   PEN 4,404   1,165,084   1,084,364   80,720  
44

PGIM Absolute Return Bond Fund
Schedule of Investments as of July 31, 2021 (unaudited) (continued)
Forward foreign currency exchange contracts outstanding at July 31, 2021 (continued):
Sale
Contracts
  Counterparty   Notional
Amount
(000)
  Value at
Settlement
Date
  Current
Value
  Unrealized
Appreciation
  Unrealized
Depreciation
OTC Forward Foreign Currency Exchange Contracts (cont’d.):
Peruvian Nuevo Sol (cont’d.),
Expiring 09/15/21   Goldman Sachs International   PEN 1,948    $502,000    $479,679    $22,321    $
Expiring 09/15/21   Goldman Sachs International   PEN 1,520   387,000   374,277   12,723  
Expiring 09/15/21   Morgan Stanley & Co. International PLC   PEN 1,930   494,673   475,260   19,413  
Philippine Peso,
Expiring 09/15/21   Barclays Bank PLC   PHP 24,544   502,000   489,941   12,059  
Expiring 09/15/21   Citibank, N.A.   PHP 18,176   373,000   362,812   10,188  
Expiring 09/15/21   HSBC Bank PLC   PHP 19,921   393,000   397,657     (4,657)
Expiring 09/15/21   JPMorgan Chase Bank, N.A.   PHP 23,540   490,000   469,886   20,114  
Expiring 09/15/21   JPMorgan Chase Bank, N.A.   PHP 21,715   450,678   433,456   17,222  
Expiring 09/15/21   JPMorgan Chase Bank, N.A.   PHP 19,462   385,000   388,482     (3,482)
Expiring 09/15/21   Standard Chartered   PHP 41,684   844,000   832,074   11,926  
Expiring 09/15/21   Standard Chartered   PHP 18,004   368,000   359,388   8,612  
Polish Zloty,
Expiring 10/19/21   Goldman Sachs International   PLN 821   212,000   213,177     (1,177)
Expiring 10/19/21   JPMorgan Chase Bank, N.A.   PLN 1,457   377,000   378,410     (1,410)
Expiring 10/19/21   JPMorgan Chase Bank, N.A.   PLN 998   260,001   259,245   756  
Expiring 10/19/21   Morgan Stanley & Co. International PLC   PLN 3,746   961,000   972,519     (11,519)
Russian Ruble,
Expiring 09/15/21   Barclays Bank PLC   RUB 42,603   574,000   578,451     (4,451)
Expiring 09/15/21   Barclays Bank PLC   RUB 27,698   373,000   376,072     (3,072)
Expiring 09/15/21   Goldman Sachs International   RUB 28,062   379,000   381,023     (2,023)
Expiring 09/15/21   JPMorgan Chase Bank, N.A.   RUB 76,172   1,035,000   1,034,244   756  
Expiring 09/15/21   JPMorgan Chase Bank, N.A.   RUB 46,270   633,000   628,243   4,757  
Expiring 09/15/21   JPMorgan Chase Bank, N.A.   RUB 41,984   574,000   570,054   3,946  
Expiring 09/15/21   JPMorgan Chase Bank, N.A.   RUB 41,775   564,000   567,212     (3,212)
Expiring 09/15/21   JPMorgan Chase Bank, N.A.   RUB 28,735   380,000   390,158     (10,158)
45

PGIM Absolute Return Bond Fund
Schedule of Investments as of July 31, 2021 (unaudited) (continued)
Forward foreign currency exchange contracts outstanding at July 31, 2021 (continued):
Sale
Contracts
  Counterparty   Notional
Amount
(000)
  Value at
Settlement
Date
  Current
Value
  Unrealized
Appreciation
  Unrealized
Depreciation
OTC Forward Foreign Currency Exchange Contracts (cont’d.):
Russian Ruble (cont’d.),
Expiring 09/15/21   JPMorgan Chase Bank, N.A.   RUB 27,192    $371,000    $369,212    $1,788    $
Expiring 09/15/21   Morgan Stanley & Co. International PLC   RUB 36,454   492,000   494,960     (2,960)
Expiring 09/15/21   Morgan Stanley & Co. International PLC   RUB 27,056   366,000   367,360     (1,360)
Expiring 11/22/21   Citibank, N.A.   RUB 41,475   556,999   556,027   972  
Expiring 11/22/21   Deutsche Bank AG   RUB 273,335   3,606,000   3,664,440     (58,440)
Expiring 11/22/21   Deutsche Bank AG   RUB 14,383   190,000   192,824     (2,824)
Singapore Dollar,
Expiring 09/15/21   BNP Paribas S.A.   SGD 873   643,000   644,548     (1,548)
Expiring 09/15/21   BNP Paribas S.A.   SGD 667   503,000   492,250   10,750  
Expiring 09/15/21   Credit Suisse International   SGD 940   691,000   693,587     (2,587)
Expiring 09/15/21   Credit Suisse International   SGD 502   374,000   370,299   3,701  
Expiring 09/15/21   Goldman Sachs International   SGD 1,175   868,000   867,218   782  
Expiring 09/15/21   Goldman Sachs International   SGD 588   437,000   433,734   3,266  
Expiring 09/15/21   Goldman Sachs International   SGD 505   374,000   372,480   1,520  
Expiring 09/15/21   Goldman Sachs International   SGD 492   366,000   363,319   2,681  
Expiring 09/15/21   HSBC Bank PLC   SGD 500   377,000   369,138   7,862  
Expiring 09/15/21   HSBC Bank PLC   SGD 498   367,000   367,342     (342)
Expiring 09/15/21   JPMorgan Chase Bank, N.A.   SGD 688   508,000   507,660   340  
Expiring 09/15/21   JPMorgan Chase Bank, N.A.   SGD 484   360,000   356,969   3,031  
Expiring 09/15/21   Morgan Stanley & Co. International PLC   SGD 832   615,000   614,373   627  
Expiring 09/15/21   The Toronto-Dominion Bank   SGD 745   562,096   549,860   12,236  
Expiring 09/15/21   UBS AG   SGD 869   643,000   641,526   1,474  
Expiring 09/15/21   UBS AG   SGD 857   636,000   632,615   3,385  
Expiring 09/15/21   UBS AG   SGD 819   605,000   604,546   454  
South African Rand,
Expiring 09/15/21   Bank of America, N.A.   ZAR 5,436   370,000   368,818   1,182  
Expiring 09/15/21   Barclays Bank PLC   ZAR 6,830   463,000   463,441     (441)
Expiring 09/15/21   Barclays Bank PLC   ZAR 3,778   254,000   256,346     (2,346)
Expiring 09/15/21   Barclays Bank PLC   ZAR 3,632   246,000   246,440     (440)
46

PGIM Absolute Return Bond Fund
Schedule of Investments as of July 31, 2021 (unaudited) (continued)
Forward foreign currency exchange contracts outstanding at July 31, 2021 (continued):
Sale
Contracts
  Counterparty   Notional
Amount
(000)
  Value at
Settlement
Date
  Current
Value
  Unrealized
Appreciation
  Unrealized
Depreciation
OTC Forward Foreign Currency Exchange Contracts (cont’d.):
South African Rand (cont’d.),
Expiring 09/15/21   Citibank, N.A.   ZAR 80,148    $5,838,741    $5,438,046    $400,695    $
Expiring 09/15/21   Citibank, N.A.   ZAR 67,193   4,912,389   4,559,068   353,321  
Expiring 09/15/21   Goldman Sachs International   ZAR 3,667   252,000   248,825   3,175  
Expiring 09/15/21   Goldman Sachs International   ZAR 3,150   219,000   213,700   5,300  
Expiring 09/15/21   HSBC Bank PLC   ZAR 8,259   572,000   560,402   11,598  
Expiring 09/15/21   JPMorgan Chase Bank, N.A.   ZAR 6,846   464,000   464,480     (480)
Expiring 09/15/21   JPMorgan Chase Bank, N.A.   ZAR 3,700   252,000   251,024   976  
Expiring 09/15/21   Morgan Stanley & Co. International PLC   ZAR 6,776   463,000   459,775   3,225  
Expiring 09/15/21   The Toronto-Dominion Bank   ZAR 56,787   4,073,969   3,853,013   220,956  
Expiring 09/30/21   Morgan Stanley & Co. International PLC   ZAR 244,993   14,076,000   16,591,098     (2,515,098)
Expiring 09/30/21   Morgan Stanley & Co. International PLC   ZAR 14,816   977,425   1,003,338     (25,913)
Expiring 12/23/21   Barclays Bank PLC   ZAR 44,623   2,407,116   2,989,789     (582,673)
Expiring 12/23/21   Goldman Sachs International   ZAR 7,752   489,000   519,373     (30,373)
Expiring 12/23/21   Morgan Stanley & Co. International PLC   ZAR 20,862   1,363,884   1,397,771     (33,887)
Expiring 05/31/22   JPMorgan Chase Bank, N.A.   ZAR 10,977   652,000   720,673     (68,673)
Expiring 05/31/22   JPMorgan Chase Bank, N.A.   ZAR 7,904   507,000   518,878     (11,878)
South Korean Won,
Expiring 09/15/21   Citibank, N.A.   KRW 425,130   375,000   368,436   6,564  
Expiring 09/15/21   Goldman Sachs International   KRW 568,507   510,000   492,692   17,308  
Expiring 09/15/21   HSBC Bank PLC   KRW 2,032,345   1,821,000   1,761,317   59,683  
Expiring 09/15/21   JPMorgan Chase Bank, N.A.   KRW 430,267   379,000   372,888   6,112  
Expiring 09/15/21   Standard Chartered   KRW 1,037,820   915,000   899,419   15,581  
Expiring 10/29/21   Barclays Bank PLC   KRW 183,049   159,000   158,546   454  
Expiring 10/29/21   JPMorgan Chase Bank, N.A.   KRW 4,699,094   4,099,000   4,070,069   28,931  
Swiss Franc,
Expiring 10/19/21   UBS AG   CHF 2,021   2,215,378   2,235,874     (20,496)
47

PGIM Absolute Return Bond Fund
Schedule of Investments as of July 31, 2021 (unaudited) (continued)
Forward foreign currency exchange contracts outstanding at July 31, 2021 (continued):
Sale
Contracts
  Counterparty   Notional
Amount
(000)
  Value at
Settlement
Date
  Current
Value
  Unrealized
Appreciation
  Unrealized
Depreciation
OTC Forward Foreign Currency Exchange Contracts (cont’d.):
Thai Baht,
Expiring 09/15/21   Citibank, N.A.   THB 20,634    $628,000    $627,645    $355    $
Expiring 09/15/21   Citibank, N.A.   THB 17,935   574,000   545,536   28,464  
Expiring 09/15/21   Goldman Sachs International   THB 12,024   367,000   365,743   1,257  
Expiring 09/15/21   HSBC Bank PLC   THB 26,738   850,000   813,310   36,690  
Expiring 09/15/21   HSBC Bank PLC   THB 16,577   504,000   504,221     (221)
Expiring 09/15/21   HSBC Bank PLC   THB 16,222   496,000   493,445   2,555  
Expiring 09/15/21   HSBC Bank PLC   THB 13,648   437,000   415,126   21,874  
Expiring 09/15/21   HSBC Bank PLC   THB 12,603   383,000   383,355     (355)
Expiring 09/15/21   JPMorgan Chase Bank, N.A.   THB 20,499   655,000   623,539   31,461  
Expiring 09/15/21   JPMorgan Chase Bank, N.A.   THB 16,396   498,000   498,734     (734)
Expiring 09/15/21   JPMorgan Chase Bank, N.A.   THB 15,376   493,000   467,701   25,299  
Expiring 09/15/21   JPMorgan Chase Bank, N.A.   THB 11,456   368,000   348,461   19,539  
Expiring 09/15/21   Standard Chartered   THB 15,777   505,000   479,915   25,085  
Expiring 09/15/21   Standard Chartered   THB 11,844   375,000   360,279   14,721  
Expiring 09/15/21   UBS AG   THB 15,971   511,000   485,811   25,189  
Turkish Lira,
Expiring 09/15/21   Barclays Bank PLC   TRY 6,548   735,000   758,751     (23,751)
Expiring 09/15/21   Barclays Bank PLC   TRY 5,204   592,000   602,988     (10,988)
              $400,723,597   $395,155,924   11,202,424   (5,634,751)
                      $17,251,623   $(15,166,247)
Cross currency exchange contracts outstanding at July 31, 2021:
Settlement   Type   Notional
Amount
(000)
  In Exchange
For (000)
  Unrealized
Appreciation
  Unrealized
Depreciation
  Counterparty
OTC Cross Currency Exchange Contracts:
08/31/21   Buy   EUR 1,636   GBP 1,472    $   $(104,314)   Bank of America, N.A.
08/31/21   Buy   GBP 2,304   EUR 2,499   236,565     Bank of America, N.A.
10/19/21   Buy   HUF 140,594   EUR 391     (473)   Citibank, N.A.
01/28/22   Buy   JPY 95,923   AUD 1,415     (163,297)   Deutsche Bank AG
01/28/22   Buy   JPY 162,036   AUD 2,167     (111,858)   Deutsche Bank AG
01/28/22   Buy   JPY 274,921   AUD 3,510     (67,372)   BNP Paribas S.A.
05/31/22   Buy   AUD 4,921   JPY 375,226   183,991     Deutsche Bank AG
48

PGIM Absolute Return Bond Fund
Schedule of Investments as of July 31, 2021 (unaudited) (continued)
Cross currency exchange contracts outstanding at July 31, 2021 (continued):
Settlement   Type   Notional
Amount
(000)
  In Exchange
For (000)
  Unrealized
Appreciation
  Unrealized
Depreciation
  Counterparty
OTC Cross Currency Exchange Contracts (cont’d.):
05/31/22   Buy   JPY 263,742   AUD 3,658    $   $(275,575)   Goldman Sachs International
10/31/23   Buy   AUD 6,309   JPY 422,703   726,496     Deutsche Bank AG
10/31/23   Buy   JPY 648,099   AUD 9,489     (978,684)   Morgan Stanley & Co. International PLC
                    $1,147,052   $(1,701,573)    
Credit default swap agreements outstanding at July 31, 2021:
Reference
Entity/
Obligation
  Termination
Date
  Fixed
Rate
  Notional
Amount
(000)#(3)
  Implied
Credit
Spread at
July 31,
2021(4)
  Fair
Value
  Upfront
Premiums
Paid
(Received)
  Unrealized
Appreciation
(Depreciation)
  Counterparty
OTC Packaged Credit Default Swap Agreements on corporate and/or sovereign issues - Sell Protection(2)**:
Federation of Malaysia    06/20/23   1.000%(Q)     3,750   0.204%    $61,300    $(1,595)    $62,895   Barclays Bank PLC
People’s Republic of China    06/20/23   1.000%(Q)     13,750   0.136%   242,656   (5,847)   248,503   Barclays Bank PLC
Republic of Brazil    06/20/23   1.000%(Q)     18,750   0.853%   73,561   (7,973)   81,534   Barclays Bank PLC
Republic of Chile    06/20/23   1.000%(Q)     3,750   0.299%   54,411   (1,595)   56,006   Barclays Bank PLC
Republic of Colombia    06/20/23   1.000%(Q)     5,000   0.743%   30,058   (2,126)   32,184   Barclays Bank PLC
Republic of Indonesia    06/20/23   1.000%(Q)     5,000   0.318%   70,688   (2,126)   72,814   Barclays Bank PLC
Republic of Panama    06/20/23   1.000%(Q)     3,750   0.304%   54,070   (1,595)   55,665   Barclays Bank PLC
Republic of Peru    06/20/23   1.000%(Q)     3,750   0.435%   44,613   (1,595)   46,208   Barclays Bank PLC
Republic of Philippines    06/20/23   1.000%(Q)     3,750   0.199%   61,644   (1,595)   63,239   Barclays Bank PLC
Republic of South Africa    06/20/23   1.000%(Q)     11,250   0.975%   18,141   (4,784)   22,925   Barclays Bank PLC
Republic of Turkey    06/20/23   1.000%(Q)     17,500   3.210%   (693,393)   (7,442)   (685,951)   Barclays Bank PLC
49

PGIM Absolute Return Bond Fund
Schedule of Investments as of July 31, 2021 (unaudited) (continued)
Credit default swap agreements outstanding at July 31, 2021 (continued):
Reference
Entity/
Obligation
  Termination
Date
  Fixed
Rate
  Notional
Amount
(000)#(3)
  Implied
Credit
Spread at
July 31,
2021(4)
  Fair
Value
  Upfront
Premiums
Paid
(Received)
  Unrealized
Appreciation
(Depreciation)
  Counterparty
OTC Packaged Credit Default Swap Agreements on corporate and/or sovereign issues - Sell Protection(2)**(cont’d.):
Russian Federation    06/20/23   1.000%(Q)     11,250   0.394%    $142,737    $(4,784)    $147,521   Barclays Bank PLC
United Mexican States    06/20/23   1.000%(Q)     16,250   0.380%   210,574   (6,910)   217,484   Barclays Bank PLC
                      $371,060   $(49,967)   $421,027    
    
Reference
Entity/
Obligation
  Termination
Date
  Fixed
Rate
  Notional
Amount
(000)#(3)
  Fair
Value
  Upfront
Premiums
Paid
(Received)
  Unrealized
Appreciation
(Depreciation)
  Counterparty
OTC Packaged Credit Default Swap Agreement on credit indices— Buy Protection(1)**:
CDX.EM.29.V1   06/20/23   1.000%(Q)     117,500    $(311,906)    $(14,227)    $(297,679)   Barclays Bank PLC
** The Fund entered into multiple credit default swap agreements in a packaged trade consisting of two parts. The Fund bought/sold protection on an Emerging Market CDX Index and bought/sold protection on the countries which comprise the index. The upfront premium is attached to the index of the trade for the Emerging Markets CDX package(s). Each swap is priced individually. If any of the component swaps are closed out early, the Index exposure will be reduced by an amount proportionate to the terminated swap(s).
    
Reference
Entity/
Obligation
  Termination
Date
  Fixed
Rate
  Notional
Amount
(000)#(3)
  Implied
Credit
Spread at
July 31,
2021(4)
  Fair
Value
  Upfront
Premiums
Paid
(Received)
  Unrealized
Appreciation
(Depreciation)
  Counterparty
OTC Credit Default Swap Agreements on asset-backed and/or mortgage-backed securities - Sell Protection(2)^:
Bellemeade Re Ltd.   08/31/21   1.250%(Q)     91   *    $6    $   $6   Goldman Sachs International
Bravo Residential Funding Trust   08/31/21   1.250%(Q)     123   *   9     9   Goldman Sachs International
Bravo Residential Funding Trust   08/31/21   1.250%(Q)     62   *   4     4   Goldman Sachs International
Bunker Hill Loan Depositary Trust   08/31/21   0.500%(Q)     359   *   10     10   Goldman Sachs International
50

PGIM Absolute Return Bond Fund
Schedule of Investments as of July 31, 2021 (unaudited) (continued)
Credit default swap agreements outstanding at July 31, 2021 (continued):
Reference
Entity/
Obligation
  Termination
Date
  Fixed
Rate
  Notional
Amount
(000)#(3)
  Implied
Credit
Spread at
July 31,
2021(4)
  Fair
Value
  Upfront
Premiums
Paid
(Received)
  Unrealized
Appreciation
(Depreciation)
  Counterparty
OTC Credit Default Swap Agreements on asset-backed and/or mortgage-backed securities - Sell Protection(2)^
(cont’d.):
Countrywide Alternative Loan Trust   08/31/21   1.250%(Q)     276   *    $19    $   $19   Goldman Sachs International
Delta Home Equity   08/31/21   1.250%(Q)     196   *   14     14   Goldman Sachs International
Eagle RE Ltd.   08/31/21   1.250%(Q)     666   *   46     46   Goldman Sachs International
First NLC Home Equity   08/31/21   1.250%(Q)     55   *   4     4   Goldman Sachs International
Flagstar Mortgage Trust   08/31/21   0.500%(Q)     221   *   6     6   Goldman Sachs International
GS Mortgage Backed Securities   08/31/21   1.250%(Q)     191   *   13     13   Goldman Sachs International
GS Mortgage Backed Securities   08/31/21   0.500%(Q)     150   *   4     4   Goldman Sachs International
GS Mortgage Backed Securities   08/31/21   1.250%(Q)     126   *   9     9   Goldman Sachs International
GS_21-PJA††   08/14/21   0.250%(M)     16,440   *   5,937   (484)   6,421   Goldman Sachs International
GSAMP Home Equity   08/31/21   1.250%(Q)     285   *   20     20   Goldman Sachs International
GSR Mortgage Loan Trust   08/31/21   1.250%(Q)     323   *   22     22   Goldman Sachs International
GSRPM Mortgage Loan Trust   08/31/21   1.250%(Q)     98   *   7     7   Goldman Sachs International
Home RE Ltd.   08/31/21   1.250%(Q)     897   *   62     62   Goldman Sachs International
51

PGIM Absolute Return Bond Fund
Schedule of Investments as of July 31, 2021 (unaudited) (continued)
Credit default swap agreements outstanding at July 31, 2021 (continued):
Reference
Entity/
Obligation
  Termination
Date
  Fixed
Rate
  Notional
Amount
(000)#(3)
  Implied
Credit
Spread at
July 31,
2021(4)
  Fair
Value
  Upfront
Premiums
Paid
(Received)
  Unrealized
Appreciation
(Depreciation)
  Counterparty
OTC Credit Default Swap Agreements on asset-backed and/or mortgage-backed securities - Sell Protection(2)^
(cont’d.):
Long Beach Home Equity   08/31/21   1.250%(Q)     455   *    $32    $   $32   Goldman Sachs International
MFRA Trust   08/31/21   1.000%(Q)     616   *   34     34   Goldman Sachs International
MFRA Trust   08/31/21   1.250%(Q)     60   *   4     4   Goldman Sachs International
Radnor RE Ltd.   08/31/21   1.250%(Q)     868   *   60     60   Goldman Sachs International
Residential Accredit Loans Inc.   08/31/21   1.250%(Q)     385   *   27     27   Goldman Sachs International
Starwood Mortgage Residential Trust   08/31/21   1.250%(Q)     162   *   11     11   Goldman Sachs International
                      $6,360   $(484)   $6,844    
†† The value of the contract, GS_21-PJA, is derived from a pool of senior prime jumbo mortgages.
    
Reference
Entity/
Obligation
  Termination
Date
  Fixed
Rate
  Notional
Amount
(000)#(3)
  Fair
Value
  Upfront
Premiums
Paid
(Received)
  Unrealized
Appreciation
(Depreciation)
  Counterparty
OTC Credit Default Swap Agreements on corporate and/or sovereign issues - Buy Protection(1):
United Mexican States   06/20/23   1.000%(Q)     1,400  $(18,142)    $3,357    $(21,499)   Citibank, N.A.
United Mexican States   06/20/23   1.000%(Q)     1,385 (17,947)   8,241   (26,188)   Citibank, N.A.
United Mexican States   06/20/23   1.000%(Q)     460 (5,961)   3,070   (9,031)   Citibank, N.A.
United Mexican States   06/20/23   1.000%(Q)     460 (5,961)   2,814   (8,775)   Citibank, N.A.
United Mexican States   06/20/23   1.000%(Q)     455 (5,896)   1,014   (6,910)   Citibank, N.A.
United Mexican States   06/20/23   1.000%(Q)     240 (3,110)   575   (3,685)   Citibank, N.A.
United Mexican States   12/20/24   1.000%(Q)     1,000 (13,470)   (8,065)   (5,405)   Barclays Bank PLC
United Mexican States   12/20/24   1.000%(Q)     440 (5,914)   2,101   (8,015)   Citibank, N.A.
United States of America   12/20/22   0.250%(Q)   EUR 3,730 (14,418)   (12,723)   (1,695)   Barclays Bank PLC
                  $(90,819)   $384   $(91,203)    
    
52

PGIM Absolute Return Bond Fund
Schedule of Investments as of July 31, 2021 (unaudited) (continued)
Credit default swap agreements outstanding at July 31, 2021 (continued):
Reference
Entity/
Obligation
  Termination
Date
  Fixed
Rate
  Notional
Amount
(000)#(3)
  Implied
Credit
Spread at
July 31,
2021(4)
  Fair
Value
  Upfront
Premiums
Paid
(Received)
  Unrealized
Appreciation
(Depreciation)
  Counterparty
OTC Credit Default Swap Agreements on corporate and/or sovereign issues - Sell Protection(2):
AT&T Inc.   06/20/22   1.000%(Q)     2,810   0.226%    $22,790    $19,405    $3,385   Goldman Sachs International
Bank of America Corp.   06/20/22   1.000%(Q)     4,690   0.259%   36,659   32,810   3,849   Goldman Sachs International
Boeing Co.   12/20/21   1.000%(Q)     5,300   0.443%   17,896   11,136   6,760   Bank of America, N.A.
Boeing Co.   06/20/24   1.000%(Q)     1,460   0.851%   7,928   5,832   2,096   Goldman Sachs International
Casino Guichard Perrachon SA   06/20/24   5.000%(Q)   EUR 1,490   4.520%   32,732   27,793   4,939   Goldman Sachs International
Casino Guichard Perrachon SA   06/20/24   5.000%(Q)   EUR 220   4.520%   4,833   4,256   577   Goldman Sachs International
Citigroup, Inc.   06/20/22   1.000%(Q)     2,920   0.274%   22,430   20,166   2,264   Goldman Sachs International
Delta Air Lines, Inc.   06/20/22   5.000%(Q)     680   0.993%   28,321   24,244   4,077   Credit Suisse International
Devon Energy Corp.   12/20/21   1.000%(Q)     2,000   0.423%   6,854   5,271   1,583   Barclays Bank PLC
Devon Energy Corp.   12/20/21   1.000%(Q)     1,000   0.423%   3,426   2,634   792   Morgan Stanley & Co. International PLC
General Electric Co.   06/20/22   1.000%(Q)     2,780   0.236%   22,373   17,431   4,942   Morgan Stanley & Co. International PLC
General Motors Co.   06/20/26   5.000%(Q)     2,230   0.908%   449,208   425,140   24,068   Goldman Sachs International
Host Hotels & Resorts LP   06/20/24   1.000%(Q)     500   0.722%   4,581   5,599   (1,018)   Goldman Sachs International
JPMorgan Chase & Co.   09/20/21   1.000%(Q)     2,070   0.222%   4,685   2,527   2,158   Barclays Bank PLC
Occidental Petroleum Corp.   09/20/21   1.000%(Q)     1,040   0.920%   1,305   264   1,041   Barclays Bank PLC
Ovintiv, Inc.   09/20/21   1.000%(Q)     310   0.318%   658   302   356   Barclays Bank PLC
Ovintiv, Inc.   12/20/21   1.000%(Q)     1,140   0.392%   4,049   3,005   1,044   Barclays Bank PLC
Petroleos Mexicanos   06/20/23   1.000%(Q)     9,450   2.390%   (234,243)   (535,722)   301,479   BNP Paribas S.A.
Petroleos Mexicanos   06/20/23   1.000%(Q)     1,165   2.390%   (28,877)   (28,169)   (708)   Citibank, N.A.
53

PGIM Absolute Return Bond Fund
Schedule of Investments as of July 31, 2021 (unaudited) (continued)
Credit default swap agreements outstanding at July 31, 2021 (continued):
Reference
Entity/
Obligation
  Termination
Date
  Fixed
Rate
  Notional
Amount
(000)#(3)
  Implied
Credit
Spread at
July 31,
2021(4)
  Fair
Value
  Upfront
Premiums
Paid
(Received)
  Unrealized
Appreciation
(Depreciation)
  Counterparty
OTC Credit Default Swap Agreements on corporate and/or sovereign issues - Sell Protection(2)(cont’d.):
Petroleos Mexicanos   06/20/23   1.000%(Q)     1,155   2.390%    $(28,630)    $(33,524)    $4,894   Citibank, N.A.
Petroleos Mexicanos   06/20/23   1.000%(Q)     385   2.390%   (9,544)   (11,452)   1,908   Citibank, N.A.
Petroleos Mexicanos   06/20/23   1.000%(Q)     385   2.390%   (9,543)   (11,244)   1,701   Citibank, N.A.
Petroleos Mexicanos   06/20/23   1.000%(Q)     380   2.390%   (9,420)   (9,232)   (188)   Citibank, N.A.
Petroleos Mexicanos   06/20/23   1.000%(Q)     195   2.390%   (4,833)   (4,712)   (121)   Citibank, N.A.
Petroleos Mexicanos   12/20/24   1.000%(Q)     1,000   3.199%   (69,860)   (35,387)   (34,473)   Barclays Bank PLC
Petroleos Mexicanos   12/20/24   1.000%(Q)     440   3.199%   (30,751)   (28,135)   (2,616)   Citibank, N.A.
Pioneer Natural Resources Co.   06/20/22   1.000%(Q)     3,750   0.264%   29,130   26,573   2,557   Goldman Sachs International
Simon Property Group LP   06/20/26   1.000%(Q)     1,980   0.682%   32,703   22,483   10,220   Goldman Sachs International
Teva Pharmaceutical Industries Ltd.   12/20/21   1.000%(Q)     190   0.908%   291   186   105   Barclays Bank PLC
T-Mobile USA, Inc.   09/20/21   5.000%(Q)     1,280   0.355%   16,051   8,598   7,453   Barclays Bank PLC
T-Mobile USA, Inc.   12/20/21   5.000%(Q)     730   0.389%   17,609   13,473   4,136   Barclays Bank PLC
Verizon Communications, Inc.   06/20/26   1.000%(Q)     680   0.468%   18,318   13,945   4,373   Goldman Sachs International
                      $359,129   $(4,504)   $363,633    
    
Reference
Entity/
Obligation
Termination
Date
  Fixed
Rate
  Notional
Amount
(000)#(3)
  Value at
Trade Date
  Value at
July 31,
2021
  Unrealized
Appreciation
(Depreciation)
Centrally Cleared Credit Default Swap Agreement on credit indices - Buy Protection(1):
CDX.NA.IG.36.V1 06/20/26   1.000%(Q)     216,460   $(4,739,619)   $(5,474,595)   $(734,976)
    
54

PGIM Absolute Return Bond Fund
Schedule of Investments as of July 31, 2021 (unaudited) (continued)
Credit default swap agreements outstanding at July 31, 2021 (continued):
Reference
Entity/
Obligation
  Termination
Date
  Fixed
Rate
  Notional
Amount
(000)#(3)
  Fair
Value
  Upfront
Premiums
Paid
(Received)
  Unrealized
Appreciation
(Depreciation)
  Counterparty
OTC Credit Default Swap Agreements on credit indices - Buy Protection(1):
CMBX.NA.13.AAA   12/16/72   0.500%(M)   25,000    $(93,555)    $700,890    $(794,445)   Morgan Stanley & Co. International PLC
CMBX.NA.13.AAA   12/16/72   0.500%(M)   22,500   (84,199)   235,393   (319,592)   Citigroup Global Markets, Inc.
CMBX.NA.13.AAA   12/16/72   0.500%(M)   10,000   (37,283)   201,162   (238,445)   Goldman Sachs International
CMBX.NA.13.AAA   12/16/72   0.500%(M)   7,000   (27,071)   33,596   (60,667)   Morgan Stanley & Co. International PLC
                  $(242,108)   $1,171,041   $(1,413,149)    
The Fund entered into credit default swaps (“CDS”) to provide a measure of protection against defaults or to take an active long or short position with respect to the likelihood of a particular issuer’s default or the reference entity’s credit soundness. CDS contracts generally trade based on a spread which represents the cost a protection buyer has to pay the protection seller. The protection buyer is said to be short the credit as the value of the contract rises the more the credit deteriorates. The value of the CDS contract increases for the protection buyer if the spread increases.
(1) If the Fund is a buyer of protection, it pays the fixed rate. When a credit event occurs, as defined under the terms of that particular swap agreement, the Fund will either (i) receive from the seller of protection an amount equal to the notional amount of the swap and make delivery of the referenced obligation or underlying securities comprising the referenced index or (ii) receive a net settlement amount in the form of cash or securities equal to the notional amount of the swap less the recovery value of the referenced obligation or underlying securities comprising the referenced index.
(2) If the Fund is a seller of protection, it receives the fixed rate. When a credit event occurs, as defined under the terms of that particular swap agreement, the Fund will either (i) 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 index or (ii) pay a net settlement amount in the form of cash or securities equal to the notional amount of the swap less the recovery value of the referenced obligation or underlying securities comprising the referenced index.
(3) Notional amount represents 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.
(4) Implied credit spreads, represented in absolute terms, utilized in determining the fair value of credit default swap
55

PGIM Absolute Return Bond Fund
Schedule of Investments as of July 31, 2021 (unaudited) (continued)
  agreements where the Fund is the seller of protection as of the reporting date 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 up-front payments required to be made to enter into the agreement. Wider credit spreads represent a deterioration of the referenced entity’s credit soundness and a greater likelihood of risk of default or other credit event occurring as defined under the terms of the agreement.
* When an implied credit spread is not available, reference the fair value of credit default swap agreements on credit indices and asset-backed securities. Where the Fund is the seller of protection, it serves as an indicator of the current status of the payment/performance risk and represents the likelihood of an expected liability (or profit) for the credit derivative should the notional amount of the swap agreement be closed/sold as of the reporting date. Increasing fair value in absolute terms, when compared to the notional amount of the swap, represents a deterioration of the referenced entity’s credit soundness and a greater likelihood of risk of default or other credit event occurring as defined under the terms of the agreement.
    
Inflation swap agreements outstanding at July 31, 2021:
Notional
Amount
(000)#
  Termination
Date
  Fixed
Rate
  Floating
Rate
  Value at
Trade Date
  Value at
July 31,
2021
  Unrealized
Appreciation
(Depreciation)
Centrally Cleared Inflation Swap Agreements:
  3,095   01/12/26   2.185%(T)   U.S. CPI Urban Consumers NSA Index(2)(T)    $—    $(149,726)    $(149,726)
  800   01/13/31   2.229%(T)   U.S. CPI Urban Consumers NSA Index(2)(T)     (45,826)   (45,826)
  2,650   01/13/31   2.230%(T)   U.S. CPI Urban Consumers NSA Index(2)(T)     (151,506)   (151,506)
  3,710   04/07/31   2.469%(T)   U.S. CPI Urban Consumers NSA Index(2)(T)     (102,339)   (102,339)
  1,050   04/09/31   2.435%(T)   U.S. CPI Urban Consumers NSA Index(2)(T)     (32,820)   (32,820)
  2,110   04/09/31   2.448%(T)   U.S. CPI Urban Consumers NSA Index(2)(T)     (62,985)   (62,985)
  2,170   04/13/31   2.445%(T)   U.S. CPI Urban Consumers NSA Index(2)(T)     (64,992)   (64,992)
  1,330   04/13/31   2.450%(T)   U.S. CPI Urban Consumers NSA Index(2)(T)     (39,085)   (39,085)
  1,355   04/14/31   2.450%(T)   U.S. CPI Urban Consumers NSA Index(2)(T)     (39,632)   (39,632)
  1,120   04/15/31   2.460%(T)   U.S. CPI Urban Consumers NSA Index(2)(T)     (31,425)   (31,425)
  2,165   04/15/31   2.465%(T)   U.S. CPI Urban Consumers NSA Index(2)(T)     (59,526)   (59,526)
                    $—   $(779,862)   $(779,862)
(1) The Fund pays the fixed rate and receives the floating rate.
(2) The Fund pays the floating rate and receives the fixed rate.
56

PGIM Absolute Return Bond Fund
Schedule of Investments as of July 31, 2021 (unaudited) (continued)
Interest rate swap agreements outstanding at July 31, 2021:
Notional
Amount
(000)#
  Termination
Date
  Fixed
Rate
  Floating
Rate
  Value at
Trade Date
  Value at
July 31,
2021
  Unrealized
Appreciation
(Depreciation)
Centrally Cleared Interest Rate Swap Agreements:
AUD 16,900   02/13/30   1.210%(S)   6 Month BBSW(2)(S)    $(66)    $100,247    $100,313
BRL 66,745   01/02/25   5.903%(T)   1 Day BROIS(2)(T)     (499,423)   (499,423)
BRL 24,233   01/02/25   6.343%(T)   1 Day BROIS(2)(T)     (251,901)   (251,901)
BRL 25,971   01/02/25   6.343%(T)   1 Day BROIS(2)(T)     (271,594)   (271,594)
BRL 41,334   01/02/25   6.359%(T)   1 Day BROIS(2)(T)     (428,765)   (428,765)
BRL 18,614   01/02/25   6.640%(T)   1 Day BROIS(2)(T)     1,255   1,255
BRL 21,128   01/02/25   6.670%(T)   1 Day BROIS(2)(T)     8,703   8,703
BRL 13,418   01/04/27   6.845%(T)   1 Day BROIS(2)(T)     (208,138)   (208,138)
BRL 8,342   01/04/27   6.890%(T)   1 Day BROIS(2)(T)     (125,783)   (125,783)
BRL 14,674   01/04/27   6.890%(T)   1 Day BROIS(2)(T)     (222,260)   (222,260)
BRL 17,000   01/04/27   6.912%(T)   1 Day BROIS(2)(T)     (106,895)   (106,895)
CLP 14,295,000   01/25/26   1.634%(S)   1 Day CLOIS(2)(S)     (1,312,668)   (1,312,668)
COP 11,070,000   02/18/25   4.505%(Q)   1 Day COOIS(2)(Q)     16,185   16,185
COP 12,642,920   02/21/25   4.565%(Q)   1 Day COOIS(2)(Q)     24,330   24,330
COP 7,380,000   01/20/26   3.085%(Q)   1 Day COOIS(2)(Q)     (132,764)   (132,764)
COP 11,208,000   02/03/26   3.080%(Q)   1 Day COOIS(2)(Q)     (196,417)   (196,417)
COP 7,821,000   02/18/30   5.072%(Q)   1 Day COOIS(2)(Q)     (52,549)   (52,549)
COP 5,472,000   02/18/30   5.081%(Q)   1 Day COOIS(2)(Q)     (35,814)   (35,814)
COP 7,813,000   02/24/30   5.078%(Q)   1 Day COOIS(2)(Q)     (53,180)   (53,180)
GBP 1,425   05/08/29   1.100%(A)   1 Day SONIA(1)(A)   (111,179)   (94,540)   16,639
GBP 1,100   05/08/34   1.200%(A)   1 Day SONIA(1)(A)   (61,374)   (113,525)   (52,151)
HUF 2,500,000   02/14/30   1.605%(A)   6 Month BUBOR(2)(S)     (618,118)   (618,118)
MXN 81,700   01/12/28   5.020%(M)   28 Day Mexican Interbank Rate(2)(M)   (60)   (340,450)   (340,390)
MXN 11,550   01/03/31   5.550%(M)   28 Day Mexican Interbank Rate(2)(M)   (51)   (52,938)   (52,887)
MXN 32,290   01/13/31   5.460%(M)   28 Day Mexican Interbank Rate(2)(M)   (43)   (158,338)   (158,295)
MXN 112,300   01/15/31   5.450%(M)   28 Day Mexican Interbank Rate(2)(M)   (147)   (555,498)   (555,351)
57

PGIM Absolute Return Bond Fund
Schedule of Investments as of July 31, 2021 (unaudited) (continued)
Interest rate swap agreements outstanding at July 31, 2021 (continued):
Notional
Amount
(000)#
  Termination
Date
  Fixed
Rate
  Floating
Rate
  Value at
Trade Date
  Value at
July 31,
2021
  Unrealized
Appreciation
(Depreciation)
Centrally Cleared Interest Rate Swap Agreements (cont’d.):
MXN 28,860   01/03/33   5.715%(M)   28 Day Mexican Interbank Rate(2)(M)    $(49)    $(147,413)    $(147,364)
MXN 8,665   12/28/35   6.000%(M)   28 Day Mexican Interbank Rate(2)(M)   (54)   (47,075)   (47,021)
NZD 6,000   02/14/30   1.523%(S)   3 Month BBR(2)(Q)     (44,523)   (44,523)
NZD 1,600   01/19/31   1.090%(S)   3 Month BBR(2)(Q)     (68,234)   (68,234)
NZD 5,740   01/19/31   1.096%(S)   3 Month BBR(2)(Q)   2,521   (242,658)   (245,179)
NZD 2,100   01/26/31   1.098%(S)   3 Month BBR(2)(Q)     (89,106)   (89,106)
PLN 7,000   01/19/31   1.200%(A)   6 Month WIBOR(2)(S)   2,617   (66,472)   (69,089)
PLN 26,290   01/21/31   1.170%(A)   6 Month WIBOR(2)(S)   (22,563)   (269,453)   (246,890)
PLN 780   08/02/31   1.650%(S)   Month WIBOR(2)(A)     (1,180)   (1,180)
  8,700   02/14/30   1.382%(A)   1 Day USOIS(1)(A)     (362,906)   (362,906)
  685   01/19/31   0.931%(A)   1 Day USOIS(1)(A)     2,614   2,614
  1,880   01/20/31   0.915%(A)   1 Day USOIS(1)(A)     10,069   10,069
ZAR 99,200   02/28/30   7.500%(Q)   3 Month JIBAR(2)(Q)   (26,372)   339,207   365,579
ZAR 54,300   03/12/30   7.840%(Q)   3 Month JIBAR(2)(Q)   (439)   263,519   263,958
ZAR 100,000   03/18/30   10.650%(Q)   3 Month JIBAR(2)(Q)     496,673   496,673
ZAR 10,700   03/27/30   9.150%(Q)   3 Month JIBAR(2)(Q)   (197)   114,891   115,088
ZAR 114,100   07/07/30   7.040%(Q)   3 Month JIBAR(2)(Q)   (2,868)   74,772   77,640
ZAR 7,000   08/03/30   7.030%(Q)   3 Month JIBAR(2)(Q)   (99)   6,551   6,650
ZAR 3,800   01/15/31   6.765%(Q)   3 Month JIBAR(2)(Q)   (81)   (4,875)   (4,794)
                    $(220,504)   $(5,716,437)   $(5,495,933)
    
(1) The Fund pays the fixed rate and receives the floating rate.
(2) The Fund pays the floating rate and receives the fixed rate.
    
58

PGIM Absolute Return Bond Fund
Schedule of Investments as of July 31, 2021 (unaudited) (continued)
Total return swap agreements outstanding at July 31, 2021:
Reference Entity   Financing
Rate
  Counterparty   Termination
Date
  Long (Short)
Notional
Amount
(000)#(1)
  Fair
Value
  Upfront
Premiums
Paid
(Received)
  Unrealized
Appreciation
(Depreciation)(2)
OTC Total Return Swap Agreement:
IOS. FN30.450.10 Index(M)   1 Month LIBOR(M)   Credit Suisse International   1/12/41   2,150   $(14,328)   $(5,007)   $(9,321)
(1) On a long total return swap, the Fund receives payments for any positive return on the reference entity (makes payments for any negative return) and pays the financing rate. On a short total return swap, the Fund makes payments for any positive return on the reference entity (receives payments for any negative return) and receives the financing rate.
(2) Upfront/recurring fees or commissions, as applicable, are included in the net unrealized appreciation (depreciation).
Other information regarding the Fund is available in the Fund’s most recent Report to Shareholders. This information is available on the Securities and Exchange Commission’s website (www.sec.gov).
59