NPORT-P
false
0000911507
XXXXXXXX
S000031962
C000099493
C000099496
C000099494
C000188254
C000156650
C000156651
C000099497
C000099498
C000156652
C000099495
LORD ABBETT INVESTMENT TRUST
811-07988
0000911507
54930085JIVNI3FPKR71
90 HUDSON STREET
JERSEY CITY
07302
201-827-2000
Lord Abbett Inflation Focused Fund
S000031962
XER1ATGF2H4CFV3O1571
2022-11-30
2022-02-28
N
4171028058.30
174041809.58
3996986248.72
0.00000000
0.00000000
0.00000000
0.00000000
0.00000000
0.00000000
0.00000000
0.00000000
0.00000000
0.00000000
49516742.19000000
0.00000000
0.00000000
29133247.21000000
USD
N
Magnetite CLO Ltd
549300XSCWZTP19VRZ67
Magnetite Xxix Ltd
55955KAA2
1110000.00000000
PA
USD
1110819.52000000
0.027791427112
Long
ABS-CBDO
CORP
KY
N
2
2034-01-15
Floating
1.23100000
N
N
N
N
N
N
UNITED AIRLINES INC
K1OQBWM7XEOO08LDNP29
United Airlines Inc
90932LAG2
1136000.00000000
PA
USD
1134523.20000000
0.028384465930
Long
DBT
CORP
US
N
2
2026-04-15
Fixed
4.37500000
N
N
N
N
N
N
BRITISH AIR 13-1 A PTT
N/A
British Airways 2013-1 Class A Pass Through Trust
11042AAA2
849785.04000000
PA
USD
874548.63000000
0.021880201121
Long
DBT
CORP
US
N
2
2024-06-20
Fixed
4.62500000
N
N
N
N
N
N
Nelnet Student Loan Trust
N/A
Nelnet Student Loan Trust 2021-A
64035DAB2
4672608.01000000
PA
USD
4486048.06000000
0.112235764169
Long
ABS-O
CORP
US
N
2
2062-04-20
Fixed
1.36000000
N
N
N
N
N
N
TRAVEL + LEISURE CO
T4VNTWMFQ7JQB65L7T35
Travel + Leisure Co
98310WAM0
550000.00000000
PA
USD
587950.00000000
0.014709832944
Long
DBT
CORP
US
N
2
2025-10-01
Fixed
6.60000000
N
N
N
N
N
N
EXPEDIA GROUP INC
N/A
Expedia Group Inc
30212PAS4
4611000.00000000
PA
USD
5065869.99000000
0.126742242148
Long
DBT
CORP
US
N
2
2025-05-01
Fixed
6.25000000
N
N
N
N
N
N
BPCE SA
9695005MSX1OYEMGDF46
BPCE SA
05578QAD5
1324000.00000000
PA
USD
1375828.40000000
0.034421644568
Long
DBT
CORP
FR
N
2
2025-03-15
Fixed
4.50000000
N
N
N
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
Long: BL6K79YR2 IRS USD R V 12MUSCPI SL6K79YR2_FLO CCPINFLATIONZERO / Short: BL6K79YR2 IRS USD P F 2.55350 SL6K79YR2_FIX CCPINFLATIONZERO
000000000
15000000.00000000
OU
Notional Amount
USD
1222408.35000000
0.030583251328
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
Inflation based on US CPI Urban Consumers NSA
2031-06-08
0.00000000
USD
0.00000000
USD
15000000.00000000
USD
1222408.35000000
N
N
N
Calpine Corp
43R4VPJBXTU2O15HEF41
Calpine Corp
131347CK0
2500000.00000000
PA
USD
2527937.50000000
0.063246089495
Long
DBT
CORP
US
N
2
2026-06-01
Fixed
5.25000000
N
N
N
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
Long: BL5H0NJP7 IRS USD R V 12MUSCPI SL5H0NJP7_FLO CCPINFLATIONZERO / Short: BL5H0NJP7 IRS USD P F 2.46300 SL5H0NJP7_FIX CCPINFLATIONZERO
000000000
10000000.00000000
OU
Notional Amount
USD
964407.40000000
0.024128364222
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
Inflation based on US CPI Urban Consumers NSA
2031-04-16
0.00000000
USD
0.00000000
USD
10000000.00000000
USD
964407.40000000
N
N
N
Lennar Corp
529900G61XVRLX5TJX09
Lennar Corp
526057BW3
66000.00000000
PA
USD
68872.20000000
0.001723103251
Long
DBT
CORP
US
N
2
2023-12-15
Fixed
4.87500000
N
N
N
N
N
N
COMM Mortgage Trust
N/A
Commercial Mortgage Pass Through Certificates
12624NAA8
114507.90000000
PA
USD
114289.08000000
0.002859381366
Long
ABS-MBS
CORP
US
N
2
2030-10-05
Fixed
2.15000000
N
N
N
N
N
N
Change Healthcare Holdings LLC
549300GHXFJ3EKF50583
Change Healthcare Holdings LLC 2017 Term Loan B
15911AAC7
7531603.53000000
PA
USD
7501213.51000000
0.187671736734
Long
LON
CORP
US
N
2
2024-03-01
Floating
3.50000000
N
N
N
N
N
N
Ford Credit Auto Owner Trust/Ford Credit
N/A
Ford Credit Auto Owner Trust 2018-REV1
34532RAA4
4225000.00000000
PA
USD
4338976.98000000
0.108556214857
Long
ABS-O
CORP
US
N
2
2031-07-15
Fixed
3.19000000
N
N
N
N
N
N
Rad CLO Ltd
N/A
Rad CLO 15 Ltd
750103AA1
12610000.00000000
PA
USD
12610709.56000000
0.315505452740
Long
ABS-CBDO
CORP
KY
N
2
2034-01-20
Floating
1.33700000
N
N
N
N
N
N
KOC Holding AS
7890005U0H950VH19H45
KOC Holding AS
49989AAB5
212000.00000000
PA
USD
212580.03000000
0.005318507915
Long
DBT
CORP
TR
N
2
2023-03-15
Fixed
5.25000000
N
N
N
N
N
N
Freeport-McMoRan Inc
549300IRDTHJQ1PVET45
Freeport-McMoRan Inc
35671DAZ8
112000.00000000
PA
USD
114038.96000000
0.002853123651
Long
DBT
CORP
US
N
2
2023-03-15
Fixed
3.87500000
N
N
N
N
N
N
Greystone Commercial Real Estate Notes
N/A
Greystone CRE Notes 2021-FL3 Ltd
39809PAA3
6150000.00000000
PA
USD
6107253.87000000
0.152796469388
Long
ABS-CBDO
CORP
KY
N
2
2039-07-15
Floating
1.21100000
N
N
N
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
Long: BL1G1AKI4 IRS USD R V 12MUSCPI SL1G1AKI4_INF CCPINFLATIONZERO / Short: BL1G1AKI4 IRS USD P F 2.34250 SL1G1AKI4_FIX CCPINFLATIONZERO
000000000
10000000.00000000
OU
Notional Amount
USD
882264.30000000
0.022073238312
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
Inflation based on US CPI Urban Consumers NSA
2028-09-11
0.00000000
USD
0.00000000
USD
10000000.00000000
USD
882264.30000000
N
N
N
GS Mortgage Securities Trust
N/A
GS Mortgage Securities Corp Trust 2017-SLP
36255MAA5
1300000.00000000
PA
USD
1306943.56000000
0.032698225079
Long
ABS-MBS
CORP
US
N
2
2032-10-10
Fixed
3.41900000
N
N
N
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
Long: BL5S4DD02 IRS USD R V 12MUSCPI SL5S4DD02_INF CCPINFLATIONZERO / Short: BL5S4DD02 IRS USD P F 2.11900 SL5S4DD02_FIX CCPINFLATIONZERO
000000000
25000000.00000000
OU
Notional Amount
USD
1240655.25000000
0.031039767784
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
Inflation based on US CPI Urban Consumers NSA
2022-04-12
0.00000000
USD
0.00000000
USD
25000000.00000000
USD
1240655.25000000
N
N
N
Bank of America, National Association
B4TYDEB6GKMZO031MB27
Long: SLFI22IE4 IRS USD R F 1.64500 SLFI22IE4_FIX INFLATIONZERO / Short: SLFI22IE4 IRS USD P V 12MUSCPI SLFI22IE4_INF INFLATIONZERO
000000000
15000000.00000000
OU
Notional Amount
USD
-2141763.30000000
-0.05358445505
N/A
DIR
US
N
2
Bank of America, National Association
B4TYDEB6GKMZO031MB27
N/A
N/A
Y
Inflation based on US CPI Urban Consumers NSA
2025-10-01
0.00000000
USD
0.00000000
USD
15000000.00000000
USD
-2141763.30000000
N
N
N
PFP III
N/A
PFP 2019-6 Ltd
69346WAA5
376519.94000000
PA
USD
375002.72000000
0.009382136856
Long
ABS-CBDO
CORP
KY
N
2
2037-04-14
Floating
1.17600000
N
N
N
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
Long: BL3A3GNQ9 IRS USD R V 12MUSCPI SL3A3GNQ9_INF CCPINFLATIONZERO / Short: BL3A3GNQ9 IRS USD P F 2.40000 SL3A3GNQ9_FIX CCPINFLATIONZERO
000000000
10000000.00000000
OU
Notional Amount
USD
860901.40000000
0.021538763118
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
Inflation based on US CPI Urban Consumers NSA
2030-04-26
0.00000000
USD
0.00000000
USD
10000000.00000000
USD
860901.40000000
N
N
N
Drive Auto Receivables Trust
N/A
Drive Auto Receivables Trust 2021-1
262108AE3
875000.00000000
PA
USD
866847.63000000
0.021687530956
Long
ABS-O
CORP
US
N
2
2027-06-15
Fixed
1.02000000
N
N
N
N
N
N
AVOLON HOLDINGS FNDG LTD
635400ZRKEX9L1BKCH30
Avolon Holdings Funding Ltd
05401AAD3
1754000.00000000
PA
USD
1834055.80000000
0.045885967223
Long
DBT
CORP
KY
N
2
2024-05-15
Fixed
5.25000000
N
N
N
N
N
N
Drive Auto Receivables Trust
N/A
Drive Auto Receivables Trust 2019-4
26209AAF8
761174.23000000
PA
USD
764142.20000000
0.019117959193
Long
ABS-O
CORP
US
N
2
2025-11-17
Fixed
2.51000000
N
N
N
N
N
N
PDC Energy Inc
5493008W8H2T511J5Y59
PDC Energy Inc
69327RAG6
241000.00000000
PA
USD
243124.42000000
0.006082693431
Long
DBT
CORP
US
N
2
2024-09-15
Fixed
6.12500000
N
N
N
N
N
N
GENERAL MOTORS FINL CO
5493008B6JBRUJ90QL97
General Motors Financial Co Inc
37045XBW5
2837000.00000000
PA
USD
2918387.23000000
0.073014692780
Long
DBT
CORP
US
N
2
2024-04-13
Fixed
3.95000000
N
N
N
N
N
N
Exeter Automobile Receivables Trust
N/A
Exeter Automobile Receivables Trust 2021-3
30166AAG9
1680000.00000000
PA
USD
1628183.26000000
0.040735272995
Long
ABS-O
CORP
US
N
2
2028-12-15
Fixed
3.04000000
N
N
N
N
N
N
Deutsche Bank Aktiengesellschaft
7LTWFZYICNSX8D621K86
Long: SL3X2Y7M8 IRS USD R F 2.10500 SL3X2Y7M8_FIX INFLATIONZERO / Short: SL3X2Y7M8 IRS USD P V 12MUSCPI SL3X2Y7M8_INF INFLATIONZERO
000000000
10000000.00000000
OU
Notional Amount
USD
-938522.10000000
-0.02348074378
N/A
DIR
DE
N
2
Deutsche Bank Aktiengesellschaft
7LTWFZYICNSX8D621K86
N/A
N/A
Y
Inflation based on US CPI Urban Consumers NSA
2025-07-10
0.00000000
USD
0.00000000
USD
10000000.00000000
USD
-938522.10000000
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
Long: BLZE034R7 IRS USD R V 12MUSCPI SLZE034R7_INF CCPINFLATIONZERO / Short: BLZE034R7 IRS USD P F 2.11900 SLZE034R7_FIX CCPINFLATIONZERO
000000000
15000000.00000000
OU
Notional Amount
USD
1959995.25000000
0.049036827450
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
Inflation based on US CPI Urban Consumers NSA
2031-02-11
0.00000000
USD
0.00000000
USD
15000000.00000000
USD
1959995.25000000
N
N
N
West Town Mall Trust
N/A
West Town Mall Trust 2017-KNOX
95630LAG6
500000.00000000
PA
USD
497144.80000000
0.012437991253
Long
ABS-MBS
CORP
US
N
2
2030-07-05
Variable
4.34600000
N
N
N
N
N
N
Verizon Owner Trust
549300ESLK4DH2NBDS67
Verizon Owner Trust 2020-B
92290BAA9
827000.00000000
PA
USD
819936.10000000
0.020513858416
Long
ABS-O
CORP
US
N
2
2025-02-20
Fixed
0.47000000
N
N
N
N
N
N
Capital One Prime Auto Receivables Trust
N/A
Capital One Prime Auto Receivables Trust 2021-1
14044CAB8
3690000.00000000
PA
USD
3669677.33000000
0.091811107210
Long
ABS-O
CORP
US
N
2
2025-02-18
Fixed
0.32000000
N
N
N
N
N
N
SANTANDER UK GROUP HLDGS
549300F5XIFGNNW4CF72
Santander UK Group Holdings PLC
80281LAN5
200000.00000000
PA
USD
194064.27000000
0.004855264890
Long
DBT
CORP
GB
N
2
2025-03-15
Fixed
1.08900000
N
N
N
N
N
N
Allied Universal
N/A
Allied Universal Holdco LLC / Allied Universal Finance Corp
019576AA5
1310000.00000000
PA
USD
1343143.00000000
0.033603893444
Long
DBT
CORP
US
N
2
2026-07-15
Fixed
6.62500000
N
N
N
N
N
N
Verus Securitization Trust
N/A
Verus Securitization Trust 2021-3
92539LAA8
3225638.98000000
PA
USD
3148305.58000000
0.078766985525
Long
ABS-MBS
CORP
US
N
2
2066-06-25
Variable
1.04600000
N
N
N
N
N
N
Aqua Finance Trust
N/A
Aqua Finance Trust 2021-A
03842VAA5
4793675.77000000
PA
USD
4680305.34000000
0.117095857947
Long
ABS-O
CORP
US
N
2
2046-07-17
Fixed
1.54000000
N
N
N
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
Long: BLYJ051Q7 IRS USD R V 12MUSCPI INF_SLYJ051Q7 CCPINFLATIONZERO / Short: BLYJ051Q7 IRS USD P F 2.48900 FIX_SLYJ051Q7 CCPINFLATIONZERO
000000000
20000000.00000000
OU
Notional Amount
USD
1367033.00000000
0.034201593774
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
Inflation based on US CPI Urban Consumers NSA
2034-09-09
0.00000000
USD
0.00000000
USD
20000000.00000000
USD
1367033.00000000
N
N
N
Slide 2018-Fun
N/A
SLIDE 2018-FUN
831350AC7
33332535.77000000
PA
USD
333.33000000
0.000008339533
Long
ABS-MBS
CORP
US
N
2
2020-12-15
Variable
0.97600000
N
N
N
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
Long: BLQG17MA9 IRS USD R V 12MUSCPI SLQG17MA9_INF CCPINFLATIONZERO / Short: BLQG17MA9 IRS USD P F 2.34000 SLQG17MA9_FIX CCPINFLATIONZERO
000000000
5000000.00000000
OU
Notional Amount
USD
500694.40000000
0.012526798163
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
Inflation based on US CPI Urban Consumers NSA
2032-03-23
0.00000000
USD
0.00000000
USD
5000000.00000000
USD
500694.40000000
N
N
N
GLENCORE FUNDING LLC
213800STG1QDNBY87K49
Glencore Funding LLC
378272BD9
670000.00000000
PA
USD
637714.44000000
0.015954882011
Long
DBT
CORP
US
N
2
2026-04-27
Fixed
1.62500000
N
N
N
N
N
N
HYATT HOTELS CORP
T27JQIMTYSH41TCD5186
Hyatt Hotels Corp
448579AN2
3213000.00000000
PA
USD
3145823.11000000
0.078704876980
Long
DBT
CORP
US
N
2
2024-10-01
Fixed
1.80000000
N
N
N
N
N
N
INDIAN RAILWAY FINANCE
335800F2JHSOGXQEBY56
Indian Railway Finance Corp Ltd
000000000
568000.00000000
PA
USD
580944.61000000
0.014534566141
Long
DBT
CORP
IN
Y
2
2024-03-29
Fixed
3.73000000
N
N
N
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
Long: BLMH2ZSA2 IRS USD R V 12MUSCPI SLMH2ZSA2_FLO CCPINFLATIONZERO / Short: BLMH2ZSA2 IRS USD P F 2.47650 SLMH2ZSA2_FIX CCPINFLATIONZERO
000000000
10000000.00000000
OU
Notional Amount
USD
900335.00000000
0.022525346447
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
Inflation based on US CPI Urban Consumers NSA
2036-06-11
0.00000000
USD
0.00000000
USD
10000000.00000000
USD
900335.00000000
N
N
N
AMERICAN ELECTRIC POWER
1B4S6S7G0TW5EE83BO58
American Electric Power Co Inc
025537AK7
6223000.00000000
PA
USD
6212397.75000000
0.155427048366
Long
DBT
CORP
US
N
2
2024-03-15
Fixed
2.03100000
N
N
N
N
N
N
STANDARD CHARTERED PLC
U4LOSYZ7YG4W3S5F2G91
Standard Chartered PLC
853254BV1
284000.00000000
PA
USD
282761.79000000
0.007074374851
Long
DBT
CORP
GB
N
2
2023-10-14
Fixed
1.31900000
N
N
N
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
Long: BL5D4XGQ1 IRS USD R V 12MUSCPI SL5D4XGQ1_FLO CCPINFLATIONZERO / Short: BL5D4XGQ1 IRS USD P F 2.41000 SL5D4XGQ1_FIX CCPINFLATIONZERO
000000000
5000000.00000000
OU
Notional Amount
USD
538500.90000000
0.013472673321
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
Inflation based on US CPI Urban Consumers NSA
2036-04-12
0.00000000
USD
0.00000000
USD
5000000.00000000
USD
538500.90000000
N
N
N
BAFFINLAND IRON CORP/LP
N/A
Baffinland Iron Mines Corp / Baffinland Iron Mines LP
056623AA9
3730000.00000000
PA
USD
3832351.20000000
0.095881020386
Long
DBT
CORP
CA
N
2
2026-07-15
Fixed
8.75000000
N
N
N
N
N
N
Freeport-McMoRan Inc
549300IRDTHJQ1PVET45
Freeport-McMoRan Inc
35671DBL8
858000.00000000
PA
USD
896760.15000000
0.022435907811
Long
DBT
CORP
US
N
2
2024-11-14
Fixed
4.55000000
N
N
N
N
N
N
Ally Financial Inc
549300JBN1OSM8YNAI90
Ally Financial Inc
02005NBF6
5200000.00000000
PA
USD
5539879.02000000
0.138601403038
Long
DBT
CORP
US
N
2
2025-11-20
Fixed
5.75000000
N
N
N
N
N
N
Credit Suisse Mortgage Trust
N/A
CSMC Trust 2017-PFHP
12595KAA9
502000.00000000
PA
USD
498314.42000000
0.012467253800
Long
ABS-MBS
CORP
US
N
2
2030-12-15
Floating
1.14100000
N
N
N
N
N
N
DIAMONDBACK ENERGY INC
549300R22LSX6OHWEN64
Diamondback Energy Inc
25278XAP4
321000.00000000
PA
USD
341815.04000000
0.008551819264
Long
DBT
CORP
US
N
2
2025-05-31
Fixed
4.75000000
N
N
N
N
N
N
Seminole Tribe of Florida
549300EWYRB8UULZD884
Seminole Tribe of Florida 2018 Term Loan B
81683UAN7
4045160.83000000
PA
USD
4035047.93000000
0.100952259500
Long
LON
CORP
US
N
2
2024-07-08
Floating
1.95900000
N
N
N
N
N
N
Lennar Corp
529900G61XVRLX5TJX09
Lennar Corp
526057CR3
4800000.00000000
PA
USD
5155135.92000000
0.128975573074
Long
DBT
CORP
US
N
2
2024-11-15
Fixed
5.87500000
N
N
N
N
N
N
LUKOIL CAPITAL DAC
984500BEC55D7EHC4M56
Lukoil Capital DAC
549875AA0
1200000.00000000
PA
USD
653861.26000000
0.016358856881
Long
DBT
CORP
IE
N
2
2027-04-26
Fixed
2.80000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138EHVB5
58926.92000000
PA
USD
61629.12000000
0.001541889718
Long
ABS-MBS
USGSE
US
N
2
2038-09-01
Floating
1.90800000
N
N
N
N
N
N
AMERICAN AXLE & MFG INC
RY5TAKFOBLDUGX31MS24
American Axle & Manufacturing Inc
02406PAU4
1378000.00000000
PA
USD
1410383.00000000
0.035286160928
Long
DBT
CORP
US
N
2
2027-04-01
Fixed
6.50000000
N
N
N
N
N
N
Barclays Bank PLC
G5GSEF7VJP5I7OUK5573
Long: SLQF0OF21 IRS USD R V 12MUSCPI SLQF0OF21_INF INFLATIONZERO / Short: SLQF0OF21 IRS USD P F 1.94400 SLQF0OF21_FIX INFLATIONZERO
000000000
5000000.00000000
OU
Notional Amount
USD
1150901.50000000
0.028794232163
N/A
DIR
US
N
2
Barclays Bank PLC
G5GSEF7VJP5I7OUK5573
N/A
N/A
Y
Inflation based on US CPI Urban Consumers NSA
2041-03-22
0.00000000
USD
0.00000000
USD
5000000.00000000
USD
1150901.50000000
N
N
N
BOEING CO
RVHJWBXLJ1RFUBSY1F30
Boeing Co/The
097023CS2
2372000.00000000
PA
USD
2438068.08000000
0.060997659943
Long
DBT
CORP
US
N
2
2023-05-01
Fixed
4.50800000
N
N
N
N
N
N
PRIMA Capital LTD
N/A
Prima Capital CRE Securitization 2013-III Ltd
74190AAA0
67762.79000000
PA
USD
67762.79000000
0.001695347088
Long
ABS-CBDO
CORP
KY
N
3
2035-10-24
Fixed
2.21400000
N
N
N
N
N
N
AES CORP/THE
2NUNNB7D43COUIRE5295
AES Corp/The
00130HCB9
4791000.00000000
PA
USD
4829711.28000000
0.120833822772
Long
DBT
CORP
US
N
2
2025-07-15
Fixed
3.30000000
N
N
N
N
N
N
JP Morgan Chase Commercial Mortgage Sec Trust
N/A
JP Morgan Chase Commercial Mortgage Securities Trust 2012-WLDN
46637TAG5
1254000.00000000
PA
USD
908523.00000000
0.022730200792
Long
ABS-MBS
CORP
US
N
2
2030-05-05
Variable
4.34200000
N
N
N
N
N
N
Hertz Vehicle Financing LLC
N/A
Hertz Vehicle Financing III LP
42806MAE9
8397000.00000000
PA
USD
8067103.70000000
0.201829658597
Long
ABS-O
CORP
US
N
2
2027-12-27
Fixed
1.68000000
N
N
N
N
N
N
Glencore Funding LLC
213800STG1QDNBY87K49
Glencore Funding LLC
378272AF5
4134000.00000000
PA
USD
4241835.39000000
0.106125843974
Long
DBT
CORP
US
N
2
2023-05-30
Fixed
4.12500000
N
N
N
N
N
N
Clean Harbors Inc.
5493000SJVZVZJKHJF48
Clean Harbors Inc. 2017 Term Loan B
18449EAE0
775111.82000000
PA
USD
774786.27000000
0.019384261585
Long
LON
CORP
US
N
3
2024-06-28
Floating
1.95900000
N
N
N
N
N
N
Toyota Auto Receivables Owner Trust
N/A
Toyota Auto Receivables 2020-D Owner Trust
89236XAC0
978000.00000000
PA
USD
969965.73000000
0.024267427247
Long
ABS-O
CORP
US
N
2
2025-01-15
Fixed
0.35000000
N
N
N
N
N
N
SANTANDER HOLDINGS USA
549300SMVCQN2P0O6I58
Santander Holdings USA Inc
80282KBC9
2232000.00000000
PA
USD
2169434.38000000
0.054276753658
Long
DBT
CORP
US
N
2
2028-01-06
Fixed
2.49000000
N
N
N
N
N
N
ReadyCap Commercial Mortgage Trust
N/A
ReadyCap Commercial Mortgage Trust 2019-6
75575QAA7
531675.76000000
PA
USD
527014.03000000
0.013185285042
Long
ABS-MBS
CORP
US
N
2
2052-10-25
Fixed
2.83300000
N
N
N
N
N
N
LUNDIN ENERGY FI
549300JSNI1KL271GM17
Lundin Energy Finance BV
55037AAA6
6429000.00000000
PA
USD
6211535.02000000
0.155405463853
Long
DBT
CORP
NL
N
2
2026-07-15
Fixed
2.00000000
N
N
N
N
N
N
Bain Capital Credit CLO, Limited
549300WZ8E2KQS66KT95
Bain Capital Credit CLO 2019-2
05682LAJ6
9100000.00000000
PA
USD
9106799.52000000
0.227841652517
Long
ABS-CBDO
CORP
KY
N
2
2032-10-17
Floating
1.34100000
N
N
N
N
N
N
IHS Markit Ltd
549300HLPTRASHS0E726
IHS Markit Ltd
44962LAG2
1523000.00000000
PA
USD
1542929.06000000
0.038602310941
Long
DBT
CORP
BM
N
2
2023-08-01
Fixed
4.12500000
N
N
N
N
N
N
UNIVISION COMMUNICATIONS
549300YQDE2JSGTL8V47
Univision Communications Inc
914906AT9
483000.00000000
PA
USD
510188.07000000
0.012764318870
Long
DBT
CORP
US
N
2
2025-05-01
Fixed
9.50000000
N
N
N
N
N
N
Deutsche Bank Aktiengesellschaft
7LTWFZYICNSX8D621K86
Long: SLF0264J8 IRS USD R V 12MUSCPI CPURNSA/ZERO COUPON / Short: SLF0264J8 IRS USD P F 2.05900 SLF0264J8_FIX INFLATIONZERO
000000000
20000000.00000000
OU
Notional Amount
USD
1979581.40000000
0.049526850402
N/A
DIR
US
N
2
Deutsche Bank Aktiengesellschaft
7LTWFZYICNSX8D621K86
N/A
N/A
Y
Inflation based on US CPI Urban Consumers NSA
2025-05-21
0.00000000
USD
0.00000000
USD
20000000.00000000
USD
1979581.40000000
N
N
N
Goldman Sachs & Co. LLC
FOR8UP27PHTHYVLBNG30
Long: SL5D491V9 IRS USD R V 12MUSCPI SL5D491V9_INF INFLATIONZERO / Short: SL5D491V9 IRS USD P F 2.37200 SL5D491V9_FIX INFLATIONZERO
000000000
5000000.00000000
OU
Notional Amount
USD
450310.35000000
0.011266247166
N/A
DIR
US
N
2
Goldman Sachs & Co. LLC
FOR8UP27PHTHYVLBNG30
N/A
N/A
Y
Inflation based on US CPI Urban Consumers NSA
2030-05-03
0.00000000
USD
0.00000000
USD
5000000.00000000
USD
450310.35000000
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138EJSF6
65747.52000000
PA
USD
68084.65000000
0.001703399655
Long
ABS-MBS
USGSE
US
N
2
2038-06-01
Floating
1.83400000
N
N
N
N
N
N
HAT HOLDINGS I LLC/HAT
N/A
HAT Holdings I LLC / HAT Holdings II LLC
418751AB9
1965000.00000000
PA
USD
2029157.25000000
0.050767181164
Long
DBT
US
N
2
2025-04-15
Fixed
6.00000000
N
N
N
N
N
N
Aquarion Co
N/A
Aquarion Co
03838WAA9
2955000.00000000
PA
USD
3050875.71000000
0.076329402208
Long
DBT
CORP
US
N
2
2024-08-15
Fixed
4.00000000
N
N
N
N
N
N
KITE REALTY GROUP TRUST
549300OVTYLM7DH6CM14
Kite Realty Group Trust
76131VAA1
1755000.00000000
PA
USD
1806495.09000000
0.045196429949
Long
DBT
US
N
2
2025-03-15
Fixed
4.00000000
N
N
N
N
N
N
Verus Securitization Trust
N/A
Verus Securitization Trust 2021-5
92538KAA1
3679461.99000000
PA
USD
3532667.65000000
0.088383282557
Long
ABS-MBS
CORP
US
N
2
2066-09-25
Variable
1.01300000
N
N
N
N
N
N
EQUS 2021-EQAZ Mortgage Trust
N/A
EQUS 2021-EQAZ Mortgage Trust
29478JAJ9
8270000.00000000
PA
USD
8095586.53000000
0.202542266253
Long
ABS-MBS
CORP
US
N
2
2038-10-15
Floating
1.54100000
N
N
N
N
N
N
Dryden Senior Loan Fund
N/A
Dryden Senior Loan Fund
26245EAJ8
6000000.00000000
PA
USD
5993182.80000000
0.149942542382
Long
ABS-CBDO
CORP
KY
N
2
2028-04-15
Floating
1.22100000
N
N
N
N
N
N
HCA Inc
L3CJ6J7LJ2DX62FTXD46
HCA Inc
404119BQ1
3416000.00000000
PA
USD
3669301.15000000
0.091801695619
Long
DBT
CORP
US
N
2
2025-04-15
Fixed
5.25000000
N
N
N
N
N
N
AUST & NZ BANKING GROUP
JHE42UYNWWTJB8YTTU19
Australia & New Zealand Banking Group Ltd
052528AK2
2317000.00000000
PA
USD
2455164.63000000
0.061425395966
Long
DBT
CORP
AU
N
2
2026-05-19
Fixed
4.40000000
N
N
N
N
N
N
Bank of America Corp
9DJT3UXIJIZJI4WXO774
Bank of America Corp
06051GGQ6
3978000.00000000
PA
USD
3999353.31000000
0.100059221151
Long
DBT
CORP
US
N
2
2023-07-21
Fixed
2.81600000
N
N
N
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
Long: BL604HNI3 IRS USD R V 12MUSCPI SL604HNI3_INF CCPINFLATIONZERO / Short: BL604HNI3 IRS USD P F 2.34400 SL604HNI3_FIX CCPINFLATIONZERO
000000000
5000000.00000000
OU
Notional Amount
USD
457857.60000000
0.011455070683
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
Inflation based on US CPI Urban Consumers NSA
2029-03-15
0.00000000
USD
0.00000000
USD
5000000.00000000
USD
457857.60000000
N
N
N
Atrium Hotel Portfolio Trust
N/A
Atrium Hotel Portfolio Trust 2018-ATRM
04965KAJ9
907000.00000000
PA
USD
892560.29000000
0.022330832143
Long
ABS-MBS
CORP
US
N
2
2035-06-15
Floating
1.62100000
N
N
N
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
Long: BLK602RQ9 IRS USD R V 12MUSCPI SLK602RQ9_FLO CCPINFLATIONZERO / Short: BLK602RQ9 IRS USD P F 2.48350 SLK602RQ9_FIX CCPINFLATIONZERO
000000000
15000000.00000000
OU
Notional Amount
USD
1439868.45000000
0.036023852983
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
Inflation based on US CPI Urban Consumers NSA
2033-04-06
0.00000000
USD
0.00000000
USD
15000000.00000000
USD
1439868.45000000
N
N
N
CAESARS ENTERTAIN INC
549300FA4CTCW903Y781
Caesars Entertainment Inc
28470RAK8
4535000.00000000
PA
USD
4893491.75000000
0.122429536793
Long
DBT
CORP
US
N
2
2027-07-01
Fixed
8.12500000
N
N
N
N
N
N
HYUNDAI CAPITAL AMERICA
549300RIPPWJB5Z0FK07
Hyundai Capital America
44891ABR7
1383000.00000000
PA
USD
1343824.96000000
0.033620955299
Long
DBT
CORP
US
N
2
2024-01-08
Fixed
0.80000000
N
N
N
N
N
N
Intercontinental Exchange, Inc.
5493000F4ZO33MV32P92
Long: BL3V231Y0 IRS USD R V 12MUSCPI INF_SL3V231Y0 CCPINFLATIONZERO / Short: BL3V231Y0 IRS USD P F 2.79650 FIX_SL3V231Y0 CCPINFLATIONZERO
000000000
60000000.00000000
OU
Notional Amount
USD
1147487.40000000
0.028708815307
N/A
DIR
US
N
2
Intercontinental Exchange, Inc.
5493000F4ZO33MV32P92
N/A
N/A
Y
Inflation based on US CPI Urban Consumers NSA
2032-01-06
0.00000000
USD
0.00000000
USD
60000000.00000000
USD
1147487.40000000
N
N
N
EPR Properties
549300YSSXFHMPOWZ492
EPR Properties
26884UAB5
1620000.00000000
PA
USD
1665390.44000000
0.041666153856
Long
DBT
US
N
2
2025-04-01
Fixed
4.50000000
N
N
N
N
N
N
PEOPLES UNITED BANK
N4662XQCE3KKIZ6EZS08
People's United Bank NA
71270QEB8
1000000.00000000
PA
USD
1034607.84000000
0.025884698510
Long
DBT
CORP
US
N
2
2024-07-15
Fixed
4.00000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Non Gold Pool
31300LWH4
28905.70000000
PA
USD
30323.34000000
0.000758655099
Long
ABS-MBS
USGSE
US
N
2
2037-04-01
Floating
2.00400000
N
N
N
N
N
N
Kemper Corp
549300FNI1JKTRY2PV09
Kemper Corp
488401AB6
2101000.00000000
PA
USD
2196873.65000000
0.054963252643
Long
DBT
CORP
US
N
2
2025-02-15
Fixed
4.35000000
N
N
N
N
N
N
CCO HLDGS LLC/CAP CORP
N/A
CCO Holdings LLC / CCO Holdings Capital Corp
1248EPBT9
3376000.00000000
PA
USD
3413676.16000000
0.085406252300
Long
DBT
CORP
US
N
2
2027-05-01
Fixed
5.12500000
N
N
N
N
N
N
Parker-Hannifin Corp
5493002CONDB4N2HKI23
Parker-Hannifin Corp
70109MC93
5711000.00000000
PA
USD
5710048.15000000
0.142858839002
Long
STIV
CORP
US
N
2
2022-03-09
None
0.00000000
N
N
N
N
N
N
West Town Mall Trust
N/A
West Town Mall Trust 2017-KNOX
95630LAJ0
625000.00000000
PA
USD
619758.63000000
0.015505648291
Long
ABS-MBS
CORP
US
N
2
2030-07-05
Variable
4.34600000
N
N
N
N
N
N
OCP CLO Ltd
254900U8BS6KLMI9K654
OCP CLO 2016-12 Ltd
67092RAE8
1719162.31000000
PA
USD
1718732.52000000
0.043000711362
Long
ABS-CBDO
CORP
KY
N
2
2028-10-18
Floating
1.36100000
N
N
N
N
N
N
New Century Home Equity Loan Trust
N/A
New Century Home Equity Loan Trust Series 2005-A
64352VMA6
13357.46000000
PA
USD
13064.97000000
0.000326870526
Long
ABS-MBS
CORP
US
N
2
2035-08-25
Variable
4.69700000
N
N
N
N
N
N
HYUNDAI CAPITAL AMERICA
549300RIPPWJB5Z0FK07
Hyundai Capital America
44891ABQ9
10000000.00000000
PA
USD
9961436.50000000
0.249223687051
Long
DBT
CORP
US
N
2
2022-11-10
Fixed
1.15000000
N
N
N
N
N
N
Hertz Vehicle Financing LLC
5493004IHDYOZ9K9WF47
Hertz Vehicle Financing LLC
42806MAA7
3385000.00000000
PA
USD
3292123.05000000
0.082365133256
Long
ABS-O
CORP
US
N
2
2025-12-26
Fixed
1.21000000
N
N
N
N
N
N
TRITON INTERNATIONAL LTD
549300O4LZFLCX53XZ54
Triton Container International Ltd
89680YAD7
3076000.00000000
PA
USD
3021115.76000000
0.075584842478
Long
DBT
CORP
BM
N
2
2023-08-01
Fixed
0.80000000
N
N
N
N
N
N
GM Financial Securitized Term Auto Receivables Tr
N/A
GM Financial Consumer Automobile Receivables Trust 2021-1
36261LAC5
823000.00000000
PA
USD
813247.78000000
0.020346524340
Long
ABS-O
CORP
US
N
2
2025-10-16
Fixed
0.35000000
N
N
N
N
N
N
Hyundai Floorplan Master Owner Trust
N/A
Hyundai Floorplan Master Owner Trust
44921QAG1
2664000.00000000
PA
USD
2670528.93000000
0.066813563115
Long
ABS-O
CORP
US
N
2
2024-04-15
Fixed
2.68000000
N
N
N
N
N
N
DBWF Mortgage Trust
N/A
DBWF 2018-AMXP Mortgage Trust
23306PAC1
1500000.00000000
PA
USD
1483323.30000000
0.037111043363
Long
ABS-MBS
CORP
US
N
2
2035-05-05
Variable
3.99600000
N
N
N
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
Long: BL5H0N986 IRS USD R V 12MUSCPI SL5H0N986_FLO CCPINFLATIONZERO / Short: BL5H0N986 IRS USD P F 2.44250 SL5H0N986_FIX CCPINFLATIONZERO
000000000
10000000.00000000
OU
Notional Amount
USD
1030536.30000000
0.025782833261
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
Inflation based on US CPI Urban Consumers NSA
2036-03-26
0.00000000
USD
0.00000000
USD
10000000.00000000
USD
1030536.30000000
N
N
N
DAIMLER TRUCKS FINAN NA
5493003HSDTSCZRXBA58
Daimler Trucks Finance North America LLC
233853AF7
939000.00000000
PA
USD
906537.00000000
0.022680513356
Long
DBT
CORP
US
N
2
2026-12-14
Fixed
2.00000000
N
N
N
N
N
N
TURKIYE VAKIFLAR BANKASI
789000KAIHOLSQKQ9858
Turkiye Vakiflar Bankasi TAO
90015WAG8
364000.00000000
PA
USD
367913.00000000
0.009204760214
Long
DBT
CORP
TR
N
2
2023-01-30
Fixed
5.75000000
N
N
N
N
N
N
GS Mortgage Securities Trust
N/A
GS Mortgage Securities Trust 2012-GCJ7
36192KAX5
259000.00000000
PA
USD
259186.61000000
0.006484550955
Long
ABS-MBS
CORP
US
N
2
2045-05-10
Fixed
4.74000000
N
N
N
N
N
N
Vmware, Inc.
549300BUDHS3LRWBE814
Vmware, Inc. 3 Year Term Loan
000000000
7135737.00000000
PA
USD
7140196.84000000
0.178639514766
Long
LON
CORP
US
N
2
2024-11-01
Floating
0.86000000
N
N
N
N
N
N
OGE ENERGY CORP
CE5OG6JPOZMDSA0LAQ19
OGE Energy Corp
670837AC7
2295000.00000000
PA
USD
2261022.18000000
0.056568175102
Long
DBT
CORP
US
N
2
2023-05-26
Fixed
0.70300000
N
N
N
N
N
N
American Money Management Corporation
549300MYS7FLQJZMYD18
Ammc Clo 19 Ltd
00176PAN2
750000.00000000
PA
USD
751568.31000000
0.018803374923
Long
ABS-CBDO
CORP
KY
N
2
2028-10-16
Floating
2.79100000
N
N
N
N
N
N
Anchorage Capital CLO LTD
549300MP4QPQUMB6AD63
Anchorage Capital CLO 4-R Ltd
03328LAA0
1212000.00000000
PA
USD
1204122.00000000
0.030125747877
Long
ABS-CBDO
CORP
KY
N
2
2031-01-28
Floating
1.32800000
N
N
N
N
N
N
Cushman & Wakefield U.S. Borrower, LLC
N/A
Cushman & Wakefield U.S. Borrower, LLC 2020 Term Loan B
23340DAP7
3814560.00000000
PA
USD
3787152.39000000
0.094750198132
Long
LON
CORP
US
N
2
2025-08-21
Floating
2.95900000
N
N
N
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
Long: BL0W0W4T7 IRS USD R V 12MUSCPI SL0W0W4T7_FLO CCPINFLATIONZERO / Short: BL0W0W4T7 IRS USD P F 2.52000 SL0W0W4T7_FIX CCPINFLATIONZERO
000000000
15000000.00000000
OU
Notional Amount
USD
1342232.70000000
0.033581118784
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
Inflation based on US CPI Urban Consumers NSA
2031-04-29
0.00000000
USD
0.00000000
USD
15000000.00000000
USD
1342232.70000000
N
N
N
Westlake Automobile Receivables Trust
N/A
Westlake Automobile Receivables Trust 2021-1
96043FAE3
4175000.00000000
PA
USD
4120297.06000000
0.103085094709
Long
ABS-O
CORP
US
N
2
2026-03-16
Fixed
0.95000000
N
N
N
N
N
N
Grand Avenue CRE 2019-FL1 Ltd.
N/A
Grand Avenue CRE 2019-FL1
38521VAC5
545432.18000000
PA
USD
546320.97000000
0.013668322481
Long
ABS-CBDO
CORP
KY
N
2
2037-06-15
Floating
1.69100000
N
N
N
N
N
N
DANSKE BANK A/S
MAES062Z21O4RZ2U7M96
Danske Bank A/S
23636AAV3
11328000.00000000
PA
USD
11466064.87000000
0.286867758768
Long
DBT
CORP
DK
N
2
2025-12-20
Fixed
3.24400000
N
N
N
N
N
N
BPCE SA
9695005MSX1OYEMGDF46
BPCE SA
05578QAB9
5000000.00000000
PA
USD
5247191.90000000
0.131278707843
Long
DBT
CORP
FR
N
2
2024-07-21
Fixed
5.15000000
N
N
N
N
N
N
CENTENE CORP
549300Z7JJ4TQSQGT333
Centene Corp
15135BAR2
7469000.00000000
PA
USD
7654791.38000000
0.191514078449
Long
DBT
CORP
US
N
2
2027-12-15
Fixed
4.25000000
N
N
N
N
N
N
GOLDMAN SACHS GROUP INC
784F5XWPLTWKTBV3E584
Goldman Sachs Group Inc/The
38141GZJ6
4991000.00000000
PA
USD
4996888.28000000
0.125016399083
Long
DBT
CORP
US
N
2
2025-01-24
Floating
0.74900000
N
N
N
N
N
N
ABG Intermediate Holdings 2 LLC
54930020NXD0RJB64985
ABG Intermediate Holdings 2 LLC 2021 Term Loan B
00076VAW0
6284164.00000000
PA
USD
6259027.34000000
0.156593667091
Long
LON
CORP
US
N
2
2024-09-27
Floating
4.00000000
N
N
N
N
N
N
Drive Auto Receivables Trust
N/A
Drive Auto Receivables Trust 2019-2
26208RAF2
405103.51000000
PA
USD
407489.69000000
0.010194923490
Long
ABS-O
CORP
US
N
2
2025-06-16
Fixed
3.42000000
N
N
N
N
N
N
Barclays PLC
213800LBQA1Y9L22JB70
Barclays PLC
06738EAW5
3768000.00000000
PA
USD
3983052.01000000
0.099651381369
Long
DBT
CORP
GB
N
2
2028-05-09
Fixed
4.83600000
N
N
N
N
N
N
BWAY Mortgage Trust
N/A
BWAY 2015-1740 Mortgage Trust
05604LAG7
3350000.00000000
PA
USD
3249092.64000000
0.081288561876
Long
ABS-MBS
CORP
US
N
2
2035-01-10
Fixed
3.34200000
N
N
N
N
N
N
MOTEL 6 TRUST
N/A
Motel Trust 2021-MTL6
61977KAJ5
4205001.40000000
PA
USD
4151460.80000000
0.103864775650
Long
ABS-MBS
CORP
US
N
2
2038-09-15
Floating
2.29100000
N
N
N
N
N
N
Honda Auto Receivables Owner Trust
N/A
Honda Auto Receivables 2021-1 Owner Trust
43813GAB7
692332.46000000
PA
USD
691715.94000000
0.017305937447
Long
ABS-O
CORP
US
N
2
2023-07-21
Fixed
0.16000000
N
N
N
N
N
N
Signal Peak CLO, LLC
N/A
Signal Peak CLO 5 Ltd
56844YAA5
15000000.00000000
PA
USD
15020291.25000000
0.375790415961
Long
ABS-CBDO
CORP
KY
N
2
2031-04-25
Floating
1.36800000
N
N
N
N
N
N
CREDIT SUISSE NEW YORK
549300D0YARF5HYP1809
Credit Suisse AG/New York NY
22546QAP2
4111000.00000000
PA
USD
4245562.20000000
0.106219084475
Long
DBT
CORP
CH
N
2
2024-09-09
Fixed
3.62500000
N
N
N
N
N
N
STANDARD CHARTERED PLC
U4LOSYZ7YG4W3S5F2G91
Standard Chartered PLC
853254BY5
2093000.00000000
PA
USD
2030135.61000000
0.050791658606
Long
DBT
CORP
GB
N
2
2025-01-12
Fixed
0.99100000
N
N
N
N
N
N
PELABUHAN INDONESIA III
254900Y6SH3NRN1A8R64
Pelabuhan Indonesia III Persero PT
69370TAB9
1220000.00000000
PA
USD
1245217.40000000
0.031153907532
Long
DBT
CORP
ID
N
2
2023-05-02
Fixed
4.50000000
N
N
N
N
N
N
SPECIALTY BUILDING PRODU
N/A
Specialty Building Products Holdings LLC / SBP Finance Corp
84749AAA5
3843000.00000000
PA
USD
3876914.48000000
0.096995942411
Long
DBT
CORP
US
N
2
2026-09-30
Fixed
6.37500000
N
N
N
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
Long: BLYP0JK17 IRS USD R V 12MUSCPI SLYP0JK17_FLO CCPINFLATIONZERO / Short: BLYP0JK17 IRS USD P F 1.96400 SLYP0JK17_FIX CCPINFLATIONZERO
000000000
5000000.00000000
OU
Notional Amount
USD
721668.65000000
0.018055319810
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
Inflation based on US CPI Urban Consumers NSA
2029-11-27
0.00000000
USD
0.00000000
USD
5000000.00000000
USD
721668.65000000
N
N
N
ROMANIA
315700IASY927EDWBK92
Romanian Government International Bond
77586RAK6
1536000.00000000
PA
USD
1500953.09000000
0.037552120437
Long
DBT
NUSS
RO
N
2
2027-02-27
Fixed
3.00000000
N
N
N
N
N
N
RBSCF Trust
N/A
RBS Commercial Funding Inc 2013-GSP Trust
74932QAA8
592000.00000000
PA
USD
602149.13000000
0.015065078850
Long
ABS-MBS
CORP
US
N
2
2032-01-15
Variable
3.83400000
N
N
N
N
N
N
GS Mortgage Securities Trust
549300WZ62L3Y22NOZ64
GS Mortgage Securities Trust 2015-GS1
36252AAE6
1033129.54000000
PA
USD
25597.02000000
0.000640408007
Long
ABS-MBS
CORP
US
N
2
2048-11-10
Variable
0.76000000
N
N
N
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
Long: BLXC0PB47 IRS USD R V 12MUSCPI SLXC0PB47_FLO CCPINFLATIONZERO / Short: BLXC0PB47 IRS USD P F 2.41000 SLXC0PB47_FIX CCPINFLATIONZERO
000000000
5000000.00000000
OU
Notional Amount
USD
518529.25000000
0.012973005603
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
Inflation based on US CPI Urban Consumers NSA
2031-03-15
0.00000000
USD
0.00000000
USD
5000000.00000000
USD
518529.25000000
N
N
N
WESTERN MIDSTREAM OPERAT
L6D8A6MLSY454J2JXJ60
Western Midstream Operating LP
958254AE4
1800000.00000000
PA
USD
1824687.00000000
0.045651570619
Long
DBT
CORP
US
N
2
2025-06-01
Fixed
3.95000000
N
N
N
N
N
N
Goldman Sachs & Co. LLC
FOR8UP27PHTHYVLBNG30
Long: SLNE1YKH5 IRS USD R V 12MUSCPI SLNE1YKH5_INF INFLATIONZERO / Short: SLNE1YKH5 IRS USD P F 2.36300 SLNE1YKH5_FIX INFLATIONZERO
000000000
20000000.00000000
OU
Notional Amount
USD
1669390.60000000
0.041766233259
N/A
DIR
US
N
2
Goldman Sachs & Co. LLC
FOR8UP27PHTHYVLBNG30
N/A
N/A
Y
Inflation based on US CPI Urban Consumers NSA
2027-06-21
0.00000000
USD
0.00000000
USD
20000000.00000000
USD
1669390.60000000
N
N
N
Upstart Securitization Trust
N/A
Upstart Securitization Trust 2021-5
91679JAA5
6535310.41000000
PA
USD
6461307.17000000
0.161654475845
Long
ABS-O
CORP
US
N
2
2031-11-20
Fixed
1.31000000
N
N
N
N
N
N
Swedbank AB
M312WZV08Y7LYUC71685
Swedbank AB
87020PAH0
837000.00000000
PA
USD
837538.84000000
0.020954258731
Long
DBT
CORP
SE
N
2
2022-03-14
Fixed
2.80000000
N
N
N
N
N
N
Ally Financial Inc
549300JBN1OSM8YNAI90
Ally Financial Inc
02005NBA7
402000.00000000
PA
USD
422696.97000000
0.010575392150
Long
DBT
CORP
US
N
2
2025-03-30
Fixed
4.62500000
N
N
N
N
N
N
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
Long: SL31061L9 IRS USD R F 2.05400 SL31061L9_FIX CCPINFLATIONZERO / Short: SL31061L9 IRS USD P V 12MUSCPI SL31061L9_INF CCPINFLATIONZERO
000000000
10000000.00000000
OU
Notional Amount
USD
-704914.70000000
-0.01763615524
N/A
DIR
US
N
2
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
N/A
N/A
Y
Inflation based on US CPI Urban Consumers NSA
2022-12-05
0.00000000
USD
0.00000000
USD
10000000.00000000
USD
-704914.70000000
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
Long: BLER00I76 IRS USD R V 12MUSCPI SLER00I76_FLO CCPINFLATIONZERO / Short: BLER00I76 IRS USD P F 2.22875 SLER00I76_FIX CCPINFLATIONZERO
000000000
5000000.00000000
OU
Notional Amount
USD
657124.00000000
0.016440486884
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
Inflation based on US CPI Urban Consumers NSA
2033-01-06
0.00000000
USD
0.00000000
USD
5000000.00000000
USD
657124.00000000
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
Long: BL514MB78 IRS USD R V 12MUSCPI SL514MB78_INF CCPINFLATIONZERO / Short: BL514MB78 IRS USD P F 2.34500 SL514MB78_FIX CCPINFLATIONZERO
000000000
10000000.00000000
OU
Notional Amount
USD
872496.50000000
0.021828859188
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
Inflation based on US CPI Urban Consumers NSA
2028-08-14
0.00000000
USD
0.00000000
USD
10000000.00000000
USD
872496.50000000
N
N
N
New Residential Mortgage Loan Trust
N/A
New Residential Mortgage Loan Trust 2020-NQM1
64830VAA1
162932.52000000
PA
USD
162804.55000000
0.004073182639
Long
ABS-MBS
CORP
US
N
2
2060-01-26
Variable
2.46400000
N
N
N
N
N
N
Starwood Mortgage Residential Trust
N/A
Starwood Mortgage Residential Trust 2021-2
85573HAA8
2117620.68000000
PA
USD
2092059.09000000
0.052340912873
Long
ABS-MBS
CORP
US
N
2
2065-05-25
Variable
0.94300000
N
N
N
N
N
N
Santander Retail Auto Lease Trust
N/A
Santander Retail Auto Lease Trust 2021-C
80286CAB6
2711401.80000000
PA
USD
2700003.34000000
0.067550978962
Long
ABS-O
CORP
US
N
2
2024-04-22
Fixed
0.29000000
N
N
N
N
N
N
Goldman Sachs Bank USA
KD3XUN7C6T14HNAYLU02
Long: SL4F38CS3 IRS USD R V 12MUSCPI CPI URBAN CONSUMER / Short: SL4F38CS3 IRS USD P F 2.94500 SL4F38CS3_FIX INFLATIONZERO
000000000
15000000.00000000
OU
Notional Amount
USD
-2396945.55000000
-0.05996882152
N/A
DIR
US
N
2
Goldman Sachs Bank USA
KD3XUN7C6T14HNAYLU02
N/A
N/A
Y
Inflation based on US CPI Urban Consumers NSA
2038-01-16
0.00000000
USD
0.00000000
USD
15000000.00000000
USD
-2396945.55000000
N
N
N
CNO GLOBAL FUNDING
6354008GTNR4833ULD48
CNO Global Funding
18977W2A7
1313000.00000000
PA
USD
1253440.71000000
0.031359645292
Long
DBT
CORP
US
N
2
2026-10-07
Fixed
1.75000000
N
N
N
N
N
N
ALLIANCE DATA SYSTEMS CO
549300G8S4PO686J7H97
Alliance Data Systems Corp
018581AL2
3486000.00000000
PA
USD
3582736.50000000
0.089635947612
Long
DBT
CORP
US
N
2
2026-01-15
Fixed
7.00000000
N
N
N
N
N
N
EQT CORP
4NT01YGM4X7ZX86ISY52
EQT Corp
26884LAH2
2980000.00000000
PA
USD
3222452.80000000
0.080622063711
Long
DBT
CORP
US
N
2
2025-02-01
Fixed
6.62500000
N
N
N
N
N
N
Bank of America Corp
9DJT3UXIJIZJI4WXO774
Bank of America Corp
06051GFP9
4991000.00000000
PA
USD
5178622.72000000
0.129563185804
Long
DBT
CORP
US
N
2
2025-04-21
Fixed
3.95000000
N
N
N
N
N
N
Bank of America, National Association
B4TYDEB6GKMZO031MB27
Long: SLA10W886 IRS USD R V 12MUSCPI SLA10W886_INF INFLATIONZERO / Short: SLA10W886 IRS USD P F 2.36000 SLA10W886_FIX INFLATIONZERO
000000000
10000000.00000000
OU
Notional Amount
USD
907587.10000000
0.022706785651
N/A
DIR
US
N
2
Bank of America, National Association
B4TYDEB6GKMZO031MB27
N/A
N/A
Y
Inflation based on US CPI Urban Consumers NSA
2029-02-08
0.00000000
USD
0.00000000
USD
10000000.00000000
USD
907587.10000000
N
N
N
SCF Equipment Trust Llc
N/A
SCF Equipment Leasing 2019-2 LLC
784034AC4
2350000.00000000
PA
USD
2356589.87000000
0.058959168817
Long
ABS-O
CORP
US
N
2
2026-08-20
Fixed
2.76000000
N
N
N
N
N
N
Fixed Income Clearing Corp
549300H47WTHXPU08X20
FIXED INC CLEARING CORP.REPO
000000000
59395172.50000000
PA
USD
59395172.50000000
1.485998920287
Long
RA
CORP
US
N
2
Repurchase
N
0.00000000
2022-03-01
63783700.00000000
USD
60583127.03000000
USD
UST
N
N
N
UBS-Barclays Commercial Mortgage Trust
N/A
UBS-Barclays Commercial Mortgage Trust 2013-C5
90270YAC3
8243486.93000000
PA
USD
34505.59000000
0.000863290185
Long
ABS-MBS
CORP
US
N
2
2046-03-10
Variable
0.88500000
N
N
N
N
N
N
BX Trust
N/A
BX Trust 2021-ARIA
05608RAN5
3320000.00000000
PA
USD
3239218.42000000
0.081041520246
Long
ABS-MBS
CORP
US
N
2
2036-10-15
Floating
2.78500000
N
N
N
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
Long: BLMH2AG02 IRS USD R V 12MUSCPI SLMH2AG02_INF CCPINFLATIONZERO / Short: BLMH2AG02 IRS USD P F 2.39625 SLMH2AG02_FIX CCPINFLATIONZERO
000000000
10000000.00000000
OU
Notional Amount
USD
836601.20000000
0.020930800056
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
Inflation based on US CPI Urban Consumers NSA
2028-10-09
0.00000000
USD
0.00000000
USD
10000000.00000000
USD
836601.20000000
N
N
N
DEVON ENERGY CORPORATION
54930042348RKR3ZPN35
Devon Energy Corp
25179MBC6
2711000.00000000
PA
USD
2882513.42000000
0.072117171304
Long
DBT
CORP
US
N
2
2024-09-15
Fixed
5.25000000
N
N
N
N
N
N
Planet Fitness Master Issuer LLC
549300NX9W3U2DO53T22
Planet Fitness Master Issuer LLC
72703PAB9
633712.50000000
PA
USD
644548.35000000
0.016125858581
Long
ABS-O
CORP
US
N
2
2048-09-05
Fixed
4.66600000
N
N
N
N
N
N
OCEANEERING INTL INC
549300L6PH74701W0R30
Oceaneering International Inc
675232AA0
2076000.00000000
PA
USD
2045690.40000000
0.051180821566
Long
DBT
CORP
US
N
2
2024-11-15
Fixed
4.65000000
N
N
N
N
N
N
Freddie Mac - STACR
N/A
Freddie Mac STACR REMIC Trust 2021-HQA4
35564KNK1
12480000.00000000
PA
USD
12318170.59000000
0.308186464087
Long
ABS-MBS
USGSE
US
N
2
2041-12-25
Floating
0.99900000
N
N
N
N
N
N
Exeter Automobile Receivables Trust
N/A
Exeter Automobile Receivables Trust 2021-3
30166AAB0
1567388.96000000
PA
USD
1566431.44000000
0.039190313464
Long
ABS-O
CORP
US
N
2
2024-01-16
Fixed
0.34000000
N
N
N
N
N
N
KRATOS DEFENSE & SEC
5493000EKBN0UY1F3F88
Kratos Defense & Security Solutions Inc
50077BAM0
615000.00000000
PA
USD
636232.88000000
0.015917815083
Long
DBT
CORP
US
N
2
2025-11-30
Fixed
6.50000000
N
N
N
N
N
N
BX Trust
N/A
BX Trust 2021-RISE
12434EAA8
14300000.00000000
PA
USD
14141666.11000000
0.353808225247
Long
ABS-MBS
CORP
US
N
2
2036-11-15
Floating
0.93900000
N
N
N
N
N
N
Boyd Gaming Corporation
254900787YGRYS2A1Z35
Boyd Gaming Corporation Term Loan B3
10330JAU2
3752854.67000000
PA
USD
3749814.86000000
0.093816056064
Long
LON
CORP
US
N
2
2023-09-15
Floating
2.37000000
N
N
N
N
N
N
NYO Commercial Mortgage Trust
N/A
NYO Commercial Mortgage Trust 2021-1290
62955HAA5
10340000.00000000
PA
USD
10165397.73000000
0.254326562500
Long
ABS-MBS
CORP
US
N
2
2038-11-15
Floating
1.28700000
N
N
N
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
Long: BL1S5GC17 IRS USD R V 12MUSCPI SL1S5GC17_FLO CCPINFLATIONZERO / Short: BL1S5GC17 IRS USD P F 1.97600 SL1S5GC17_FIX CCPINFLATIONZERO
000000000
10000000.00000000
OU
Notional Amount
USD
1360406.00000000
0.034035793854
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
Inflation based on US CPI Urban Consumers NSA
2028-12-02
0.00000000
USD
0.00000000
USD
10000000.00000000
USD
1360406.00000000
N
N
N
MGM RESORTS INTL
54930066VBP7DZEGGJ87
MGM Resorts International
552953CG4
550000.00000000
PA
USD
569860.50000000
0.014257254454
Long
DBT
CORP
US
N
2
2025-05-01
Fixed
6.75000000
N
N
N
N
N
N
Aircastle Ltd
549300PNK8AKY3OIKP58
Aircastle Ltd
00928QAR2
2715000.00000000
PA
USD
2786174.87000000
0.069706891558
Long
DBT
CORP
BM
N
2
2023-09-25
Fixed
4.40000000
N
N
N
N
N
N
WF-RBS Commercial Mortgage Trust
N/A
WFRBS Commercial Mortgage Trust 2012-C7
92936TAD4
300000.00000000
PA
USD
293585.97000000
0.007345183388
Long
ABS-MBS
CORP
US
N
2
2045-06-15
Variable
4.66700000
N
N
N
N
N
N
JPMBB Commercial Mortgage Securities Trust
N/A
JPMBB Commercial Mortgage Securities Trust 2013-C12
46639NAS0
4326700.58000000
PA
USD
17056.29000000
0.000426728763
Long
ABS-MBS
CORP
US
N
2
2045-07-15
Variable
0.43800000
N
N
N
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
Long: BL9J076N3 IRS USD R V 12MUSCPI SL9J076N3_FLO CCPINFLATIONZERO / Short: BL9J076N3 IRS USD P F 2.59250 SL9J076N3_FIX CCPINFLATIONZERO
000000000
10000000.00000000
OU
Notional Amount
USD
745971.30000000
0.018663344169
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
Inflation based on US CPI Urban Consumers NSA
2036-05-17
0.00000000
USD
0.00000000
USD
10000000.00000000
USD
745971.30000000
N
N
N
Syniverse Holdings, Inc.
549300CYZBHMZC8VLL59
Syniverse Holdings, Inc. 2018 1st Lien Term Loan
87164GAM5
7987789.09000000
PA
USD
7861342.39000000
0.196681747216
Long
LON
CORP
US
N
2
2023-03-09
Floating
6.00000000
N
N
N
N
N
N
Flex Acquisition Company, Inc.
549300HHED2KGPBEDW39
Flex Acquisition Company, Inc. 2021 Term Loan
33936HAJ1
2322470.57000000
PA
USD
2317628.22000000
0.057984393134
Long
LON
CORP
US
N
2
2028-03-02
None
0.00000000
N
N
N
N
N
N
TRITON CONTAINER
549300O4LZFLCX53XZ54
Triton Container International Ltd
89680YAA3
10642000.00000000
PA
USD
10283078.22000000
0.257270793045
Long
DBT
CORP
BM
N
2
2026-04-15
Fixed
2.05000000
N
N
N
N
N
N
Drive Auto Receivables Trust
N/A
Drive Auto Receivables Trust 2021-2
262104AB8
2430461.06000000
PA
USD
2426267.79000000
0.060702430256
Long
ABS-O
CORP
US
N
2
2024-05-15
Fixed
0.36000000
N
N
N
N
N
N
Ford Motor Credit Co LLC
UDSQCVRUX5BONN0VY111
Ford Motor Credit Co LLC
345397ZQ9
12461000.00000000
PA
USD
12973894.76000000
0.324591928835
Long
DBT
CORP
US
N
2
2024-03-18
Fixed
5.58400000
N
N
N
N
N
N
Drive Auto Receivables Trust
N/A
Drive Auto Receivables Trust 2021-2
262104AF9
3772000.00000000
PA
USD
3639623.92000000
0.091059205449
Long
ABS-O
CORP
US
N
2
2029-03-15
Fixed
1.39000000
N
N
N
N
N
N
ONEMAIN FINANCE CORP
5493008I795YYBFWFU90
OneMain Finance Corp
85172FAS8
1810000.00000000
PA
USD
1911857.75000000
0.047832482551
Long
DBT
CORP
US
N
2
2025-06-01
Fixed
8.87500000
N
N
N
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
Long: BL9K0KU04 IRS USD R V 12MUSCPI SL9K0KU04_FLO CCPINFLATIONZERO / Short: BL9K0KU04 IRS USD P F 2.47000 SL9K0KU04_FIX CCPINFLATIONZERO
000000000
10000000.00000000
OU
Notional Amount
USD
976893.90000000
0.024440762094
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
Inflation based on US CPI Urban Consumers NSA
2033-04-07
0.00000000
USD
0.00000000
USD
10000000.00000000
USD
976893.90000000
N
N
N
Lendmark Funding Trust
N/A
Lendmark Funding Trust 2021-2
52604DAA0
6685000.00000000
PA
USD
6335805.01000000
0.158514556111
Long
ABS-O
CORP
US
N
2
2032-04-20
Fixed
2.00000000
N
N
N
N
N
N
GCAT
N/A
GCAT 2019-NQM2 Trust
36167FAA7
102333.52000000
PA
USD
102585.57000000
0.002566573003
Long
ABS-MBS
CORP
US
N
2
2060-01-25
Variable
2.24700000
N
N
N
N
N
N
Deephaven Residential Mortgage Trust
N/A
Deephaven Residential Mortgage Trust 2021-3
24381VAA8
6083778.90000000
PA
USD
5915518.00000000
0.147999458389
Long
ABS-MBS
CORP
US
N
2
2066-08-25
Variable
1.19400000
N
N
N
N
N
N
SABLE PERMIAN RESOURCES WTS
N/A
BIGHORN PERMIAN RESSOURCES LLC
000000000
398.00000000
NS
USD
10646.50000000
0.000266363188
N/A
DE
US
N
2
N/A
N/A
Call
Purchased
Sable Permian Resources Finance LLC
Sable Permian Resources Finance LLC
1.00000000
1.00000000
USD
2024-02-01
XXXX
8258.50000000
N
N
N
JP Morgan Chase Commercial Mortgage Sec Trust
N/A
JP Morgan Chase Commercial Mortgage Securities Trust 2018-PTC
46649GAJ3
332000.00000000
PA
USD
329161.93000000
0.008235253001
Long
ABS-MBS
CORP
US
N
2
2031-04-15
Floating
2.74100000
N
N
N
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
Long: BL1S4SDH6 IRS USD R V 12MUSCPI SL1S4SDH6_INF CCPINFLATIONZERO / Short: BL1S4SDH6 IRS USD P F 2.37450 SL1S4SDH6_FIX CCPINFLATIONZERO
000000000
10000000.00000000
OU
Notional Amount
USD
839114.10000000
0.020993669924
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
Inflation based on US CPI Urban Consumers NSA
2028-08-09
0.00000000
USD
0.00000000
USD
10000000.00000000
USD
839114.10000000
N
N
N
Lloyds Banking Group PLC
549300PPXHEU2JF0AM85
Lloyds Banking Group PLC
539439AM1
5156000.00000000
PA
USD
5421582.36000000
0.135641756629
Long
DBT
CORP
GB
N
2
2025-12-10
Fixed
4.58200000
N
N
N
N
N
N
Bank of America, National Association
B4TYDEB6GKMZO031MB27
Long: SLQG18MK5 IRS USD R V 12MUSCPI SLQG18MK5_INF INFLATIONZERO / Short: SLQG18MK5 IRS USD P F 2.10000 SLQG18MK5_FIX INFLATIONZERO
000000000
10000000.00000000
OU
Notional Amount
USD
964738.30000000
0.024136642959
N/A
DIR
US
N
2
Bank of America, National Association
B4TYDEB6GKMZO031MB27
N/A
N/A
Y
Inflation based on US CPI Urban Consumers NSA
2025-04-26
0.00000000
USD
0.00000000
USD
10000000.00000000
USD
964738.30000000
N
N
N
KKR Industrial Portfolio Trust
N/A
KKR Industrial Portfolio Trust 2021-KDIP
48254CAA3
422535.92000000
PA
USD
413708.81000000
0.010350518722
Long
ABS-MBS
CORP
US
N
2
2037-12-15
Floating
0.74100000
N
N
N
N
N
N
Churchill Downs Incorporated
529900FODTBQC8MIS994
Churchill Downs Incorporated 2017 Term Loan B
17148PAD3
6982287.94000000
PA
USD
6945211.99000000
0.173761218023
Long
LON
CORP
US
N
2
2024-12-27
Floating
2.21000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31419AZ42
74355.30000000
PA
USD
77692.74000000
0.001943783019
Long
ABS-MBS
USGSE
US
N
2
2040-12-01
Floating
2.07300000
N
N
N
N
N
N
BDS Ltd
N/A
BDS 2021-FL7 Ltd
05493FAA7
5210000.00000000
PA
USD
5165558.70000000
0.129236339045
Long
ABS-CBDO
CORP
KY
N
2
2036-06-16
Floating
1.20700000
N
N
N
N
N
N
SCF Equipment Trust Llc
N/A
SCF Equipment Leasing 2021-1 LLC
783897AD3
1130000.00000000
PA
USD
1089594.93000000
0.027260412275
Long
ABS-O
CORP
US
N
2
2029-08-20
Fixed
1.37000000
N
N
N
N
N
N
SANTANDER UK GROUP HLDGS
549300F5XIFGNNW4CF72
Santander UK Group Holdings PLC
80281LAH8
5115000.00000000
PA
USD
5177768.01000000
0.129541801942
Long
DBT
CORP
GB
N
2
2024-01-05
Fixed
3.37300000
N
N
N
N
N
N
CPS Auto Trust
N/A
CPS Auto Receivables Trust 2020-C
12597TAB6
2743617.48000000
PA
USD
2744333.84000000
0.068660077098
Long
ABS-O
CORP
US
N
2
2025-01-15
Fixed
1.01000000
N
N
N
N
N
N
Murphy Oil Corp
QBKYQD0ODE7DC7PDIN91
Murphy Oil Corp
626717AH5
350000.00000000
PA
USD
354366.25000000
0.008865836106
Long
DBT
CORP
US
N
2
2024-08-15
Fixed
6.87500000
N
N
N
N
N
N
Magnetite CLO Ltd
5493000081NBXWGGSW23
Magnetite XXII Ltd
55954HAL6
4000000.00000000
PA
USD
3981315.28000000
0.099607930381
Long
ABS-CBDO
CORP
KY
N
2
2031-04-15
Floating
1.30100000
N
N
N
N
N
N
ONEMAIN FINANCE CORP
5493008I795YYBFWFU90
OneMain Finance Corp
85172FAF6
1927000.00000000
PA
USD
2061042.12000000
0.051564903948
Long
DBT
CORP
US
N
2
2023-10-01
Fixed
8.25000000
N
N
N
N
N
N
Intercontinental Exchange, Inc.
5493000F4ZO33MV32P92
Long: BL4R1H243 IRS USD R V 12MUSCPI INF_SL4R1H243 CCPINFLATIONZERO / Short: BL4R1H243 IRS USD P F 2.43750 FIX_SL4R1H243 CCPINFLATIONZERO
000000000
30000000.00000000
OU
Notional Amount
USD
1398925.20000000
0.034999499946
N/A
DIR
US
N
2
Intercontinental Exchange, Inc.
5493000F4ZO33MV32P92
N/A
N/A
Y
Inflation based on US CPI Urban Consumers NSA
2042-02-10
0.00000000
USD
0.00000000
USD
30000000.00000000
USD
1398925.20000000
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
Long: BL9J060C IRS USD R V 12MUSCPI SL9J060C_FLO CCPINFLATIONZERO / Short: BL9J060C IRS USD P F 2.43400 SL9J060C_FIX CCPINFLATIONZERO
000000000
10000000.00000000
OU
Notional Amount
USD
1008385.40000000
0.025228643213
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
Inflation based on US CPI Urban Consumers NSA
2031-03-23
0.00000000
USD
0.00000000
USD
10000000.00000000
USD
1008385.40000000
N
N
N
ONE GAS INC
549300HXDWI0LATTX840
ONE Gas Inc
68235PAJ7
7323000.00000000
PA
USD
7263893.50000000
0.181734262966
Long
DBT
CORP
US
N
2
2023-03-11
Fixed
0.85000000
N
N
N
N
N
N
STANDARD CHARTERED PLC
U4LOSYZ7YG4W3S5F2G91
Standard Chartered PLC
853254AX8
3246000.00000000
PA
USD
3278241.15000000
0.082017824080
Long
DBT
CORP
GB
N
2
2025-04-17
Fixed
3.20000000
N
N
N
N
N
N
Goldman Sachs & Co. LLC
FOR8UP27PHTHYVLBNG30
Long: SL6V4F9V6 IRS USD R V 12MUSCPI SL6V4F9V6_INF INFLATIONZERO / Short: SL6V4F9V6 IRS USD P F 2.37000 SL6V4F9V6_FIX INFLATIONZERO
000000000
10000000.00000000
OU
Notional Amount
USD
854825.70000000
0.021386756090
N/A
DIR
US
N
2
Goldman Sachs & Co. LLC
FOR8UP27PHTHYVLBNG30
N/A
N/A
Y
Inflation based on US CPI Urban Consumers NSA
2028-05-16
0.00000000
USD
0.00000000
USD
10000000.00000000
USD
854825.70000000
N
N
N
Bayer US Finance II LLC
529900XWNEXYNJ3X6T40
Bayer US Finance II LLC
07274NAW3
3000000.00000000
PA
USD
3059311.08000000
0.076540445466
Long
DBT
CORP
US
N
2
2024-07-15
Fixed
3.37500000
N
N
N
N
N
N
GREENKO DUTCH BV
724500PT585P4JPVRP08
Greenko Dutch BV
39530LAD2
608730.00000000
PA
USD
594619.64000000
0.014876699668
Long
DBT
CORP
NL
N
2
2026-03-29
Fixed
3.85000000
N
N
N
N
N
N
MAGNOLIA OIL GAS/MAG FIN
N/A
Magnolia Oil & Gas Operating LLC / Magnolia Oil & Gas Finance Corp
559665AA2
2526000.00000000
PA
USD
2589086.85000000
0.064775975920
Long
DBT
CORP
US
N
2
2026-08-01
Fixed
6.00000000
N
N
N
N
N
N
Voya CLO Ltd
N/A
Voya CLO 2018-4 Ltd
92917WBG2
8000000.00000000
PA
USD
7948000.00000000
0.198849820975
Long
ABS-CBDO
CORP
KY
N
2
2032-01-15
Floating
1.28100000
N
N
N
N
N
N
Morgan Stanley BAML Trust
N/A
Morgan Stanley Bank of America Merrill Lynch Trust 2016-C29
61766EBE4
1000000.00000000
PA
USD
1020644.50000000
0.025535351799
Long
ABS-MBS
CORP
US
N
2
2049-05-15
Fixed
3.32500000
N
N
N
N
N
N
Ellington Financial Mortgage Trust
N/A
Ellington Financial Mortgage Trust 2017-1
31574XAA6
120515.95000000
PA
USD
117592.98000000
0.002942041145
Long
ABS-MBS
CORP
US
N
2
2066-02-25
Variable
0.79700000
N
N
N
N
N
N
Newell Brands Inc
549300LWGYFM1TVO1Z12
Newell Brands Inc
651229AV8
926000.00000000
PA
USD
943237.49000000
0.023598717416
Long
DBT
CORP
US
N
2
2023-04-01
Fixed
4.35000000
N
N
N
N
N
N
F&G GLOBAL FUNDI
6354009CCUKJIZ7KFX73
F&G Global Funding
30321L2A9
1080000.00000000
PA
USD
1040420.48000000
0.026030124079
Long
DBT
CORP
US
N
2
2026-06-30
Fixed
1.75000000
N
N
N
N
N
N
DISH DBS Corp
N/A
DISH DBS Corp
25470XAJ4
5149000.00000000
PA
USD
5199614.67000000
0.130088380255
Long
DBT
CORP
US
N
2
2022-07-15
Fixed
5.87500000
N
N
N
N
N
N
Ford Credit Auto Owner Trust/Ford Credit
N/A
Ford Credit Auto Owner Trust 2021-REV1
345340AA1
1785000.00000000
PA
USD
1711904.43000000
0.042829880401
Long
ABS-O
CORP
US
N
2
2033-10-17
Fixed
1.37000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31416BPU6
8645.11000000
PA
USD
9014.84000000
0.000225540931
Long
ABS-MBS
USGSE
US
N
2
2038-03-01
Floating
2.21900000
N
N
N
N
N
N
EPR Properties
549300YSSXFHMPOWZ492
EPR Properties
26884UAD1
5750000.00000000
PA
USD
5866969.89000000
0.146784840500
Long
DBT
US
N
2
2027-06-01
Fixed
4.50000000
N
N
N
N
N
N
Goldman Sachs & Co. LLC
FOR8UP27PHTHYVLBNG30
Long: SL5D34901 IRS USD R F 2.31250 SL5D34901_FIX INFLATIONZERO / Short: SL5D34901 IRS USD P V 12MUSCPI SL5D34901_INF INFLATIONZERO
000000000
30000000.00000000
OU
Notional Amount
USD
-1097292.00000000
-0.02745298411
N/A
DIR
US
N
2
Goldman Sachs & Co. LLC
FOR8UP27PHTHYVLBNG30
N/A
N/A
Y
Inflation based on US CPI Urban Consumers NSA
2024-09-30
0.00000000
USD
0.00000000
USD
30000000.00000000
USD
-1097292.00000000
N
N
N
Bank of America, National Association
B4TYDEB6GKMZO031MB27
Long: SL1T373E9 IRS USD R V 12MUSCPI CPURNSA/CPI URBAN / Short: SL1T373E9 IRS USD P F 2.08000 SL1T373E9_FIX INFLATIONZERO
000000000
10000000.00000000
OU
Notional Amount
USD
973481.10000000
0.024355377762
N/A
DIR
US
N
2
Bank of America, National Association
B4TYDEB6GKMZO031MB27
N/A
N/A
Y
Inflation based on US CPI Urban Consumers NSA
2025-04-22
0.00000000
USD
0.00000000
USD
10000000.00000000
USD
973481.10000000
N
N
N
DANSKE BANK A/S
MAES062Z21O4RZ2U7M96
Danske Bank A/S
23636AAZ4
608000.00000000
PA
USD
580101.72000000
0.014513478003
Long
DBT
CORP
DK
N
2
2026-09-11
Fixed
1.62100000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138EHY55
12302.27000000
PA
USD
12796.14000000
0.000320144709
Long
ABS-MBS
USGSE
US
N
2
2038-08-01
Floating
1.93200000
N
N
N
N
N
N
Morgan Stanley Capital I Trust
N/A
Morgan Stanley Capital I Trust 2016-UB11
61767FBB6
3974530.69000000
PA
USD
196431.24000000
0.004914483757
Long
ABS-MBS
CORP
US
N
2
2049-08-15
Variable
1.49500000
N
N
N
N
N
N
Drive Auto Receivables Trust
N/A
Drive Auto Receivables Trust 2021-1
262108AF0
830000.00000000
PA
USD
813723.20000000
0.020358418802
Long
ABS-O
CORP
US
N
2
2029-01-16
Fixed
1.45000000
N
N
N
N
N
N
ZH Trust
N/A
ZH Trust 2021-2
98879FAA6
7790000.00000000
PA
USD
7786914.38000000
0.194819643987
Long
ABS-MBS
CORP
US
N
2
2027-10-17
Fixed
2.34900000
N
N
N
N
N
N
BX Trust
N/A
BX Trust 2022-LBA6
12433EAA9
19970000.00000000
PA
USD
19732530.74000000
0.493685229623
Long
ABS-MBS
CORP
US
N
2
2039-01-15
Floating
1.09900000
N
N
N
N
N
N
HPEFS Equipment Trust
N/A
HPEFS Equipment Trust 2020-1
40438FAC8
404807.39000000
PA
USD
405480.63000000
0.010144659119
Long
ABS-O
CORP
US
N
2
2030-02-20
Fixed
1.76000000
N
N
N
N
N
N
Credit Suisse International
E58DKGMJYYYJLN8C3868
Long: SL3Y26YQ8 IRS USD R V 12MUSCPI CPURNSA INDEX / Short: SL3Y26YQ8 IRS USD P F 2.67125 SL3Y26YQ8_FIX INFLATIONZERO
000000000
30000000.00000000
OU
Notional Amount
USD
-1397616.60000000
-0.03496676027
N/A
DIR
US
N
2
Credit Suisse International
E58DKGMJYYYJLN8C3868
N/A
N/A
Y
Inflation based on US CPI Urban Consumers NSA
2022-04-11
0.00000000
USD
0.00000000
USD
30000000.00000000
USD
-1397616.60000000
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
Long: BL4R0AYM4 IRS USD R V 12MUSCPI SL4R0AYM4_INF CCPINFLATIONZERO / Short: BL4R0AYM4 IRS USD P F 2.39000 SL4R0AYM4_FIX CCPINFLATIONZERO
000000000
45000000.00000000
OU
Notional Amount
USD
3792917.25000000
0.094894428301
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
Inflation based on US CPI Urban Consumers NSA
2028-06-14
0.00000000
USD
0.00000000
USD
45000000.00000000
USD
3792917.25000000
N
N
N
Morgan Stanley BAML Trust
N/A
Morgan Stanley Bank of America Merrill Lynch Trust 2016-C31
61766RBA3
4274510.36000000
PA
USD
198816.45000000
0.004974158969
Long
ABS-MBS
CORP
US
N
2
2049-11-15
Variable
1.28800000
N
N
N
N
N
N
Baidu Inc
254900AL64IANZYI1E02
Baidu Inc
056752AK4
2248000.00000000
PA
USD
2308445.01000000
0.057754639779
Long
DBT
CORP
KY
N
2
2023-09-29
Fixed
3.87500000
N
N
N
N
N
N
UBS AG
BFM8T61CT2L1QCEMIK50
UBS AG
000000000
18374000.00000000
PA
USD
19131872.38000000
0.478657448124
Long
DBT
CORP
CH
Y
2
2024-05-15
Fixed
5.12500000
N
N
N
N
N
N
CROWNROCK LP/CROWNROCK F
N/A
CrownRock LP / CrownRock Finance Inc
228701AF5
9117000.00000000
PA
USD
9231555.11000000
0.230962893929
Long
DBT
CORP
US
N
2
2025-10-15
Fixed
5.62500000
N
N
N
N
N
N
Great Wolf Trust
N/A
Great Wolf Trust 2019-WOLF
39152TAJ9
2945000.00000000
PA
USD
2897805.79000000
0.072499768817
Long
ABS-MBS
CORP
US
N
2
2036-12-15
Floating
1.82400000
N
N
N
N
N
N
Wind River CLO Ltd
549300HNMTL6LADXI169
Wind River 2013-1 CLO Ltd
97316FAA9
10000000.00000000
PA
USD
9998330.90000000
0.250146742516
Long
ABS-CBDO
CORP
KY
N
2
2030-07-20
Floating
1.23400000
N
N
N
N
N
N
Air Lease Corp
5493004NW4M4P8TMMK63
Air Lease Corp
00914AAA0
527000.00000000
PA
USD
544492.83000000
0.013622584520
Long
DBT
CORP
US
N
2
2024-02-01
Fixed
4.25000000
N
N
N
N
N
N
Credit Suisse Securities (USA) LLC
1V8Y6QCX6YMJ2OELII46
Long: SLDT09FJ1 IRS USD R V 01MCPI01 CPI URBAN CONSUMER / Short: SLDT09FJ1 IRS USD P F 2.86400
000000000
8000000.00000000
OU
Notional Amount
USD
-790960.80000000
-0.01978892972
N/A
DIR
US
N
2
Credit Suisse Securities (USA) LLC
1V8Y6QCX6YMJ2OELII46
N/A
N/A
Y
Inflation based on US CPI Urban Consumers NSA
2032-03-22
0.00000000
USD
0.00000000
USD
8000000.00000000
USD
-790960.80000000
N
N
N
Bank of America, National Association
B4TYDEB6GKMZO031MB27
Long: SLA20YJ05 IRS USD R V 12MUSCPI SLA20YJ05_INF INFLATIONZERO / Short: SLA20YJ05 IRS USD P F 2.39750 SLA20YJ05_FIX INFLATIONZERO
000000000
10000000.00000000
OU
Notional Amount
USD
853774.70000000
0.021360461279
N/A
DIR
US
N
2
Bank of America, National Association
B4TYDEB6GKMZO031MB27
N/A
N/A
Y
Inflation based on US CPI Urban Consumers NSA
2029-01-24
0.00000000
USD
0.00000000
USD
10000000.00000000
USD
853774.70000000
N
N
N
ALLIANCE DATA SYSTEMS CO
549300G8S4PO686J7H97
Alliance Data Systems Corp
018581AK4
7213000.00000000
PA
USD
7203154.26000000
0.180214637023
Long
DBT
CORP
US
N
2
2024-12-15
Fixed
4.75000000
N
N
N
N
N
N
Crown Castle International Corporation
54930012H97VSM0I2R19
Crown Castle International Corporation 2016 Term Loan A
22822YAC9
1899074.06000000
PA
USD
1896111.50000000
0.047438529482
Long
LON
CORP
US
N
2
2026-06-18
Floating
1.28500000
N
N
N
N
N
N
Bank of America, National Association
B4TYDEB6GKMZO031MB27
Long: SL473N8R5 IRS USD R V 12MUSCPI SL473N8R5_INF INFLATIONZERO / Short: SL473N8R5 IRS USD P F 2.37625 SL473N8R5_FIX INFLATIONZERO
000000000
5000000.00000000
OU
Notional Amount
USD
515820.20000000
0.012905228287
N/A
DIR
US
N
2
Bank of America, National Association
B4TYDEB6GKMZO031MB27
N/A
N/A
Y
Inflation based on US CPI Urban Consumers NSA
2038-02-26
0.00000000
USD
0.00000000
USD
5000000.00000000
USD
515820.20000000
N
N
N
Carlyle Global Market Strategies
N/A
CARLYLE US CLO 2019-1 LTD
14316BAL9
12000000.00000000
PA
USD
11994137.52000000
0.300079529266
Long
ABS-CBDO
CORP
KY
N
2
2031-04-20
Floating
1.33400000
N
N
N
N
N
N
WF-RBS Commercial Mortgage Trust
N/A
WFRBS Commercial Mortgage Trust 2013-C13
92937UAS7
8798120.27000000
PA
USD
83242.54000000
0.002082632634
Long
ABS-MBS
CORP
US
N
2
2045-05-15
Variable
1.17300000
N
N
N
N
N
N
Hudson Yards
N/A
Hudson Yards 2016-10HY Mortgage Trust
44421LAA0
6310000.00000000
PA
USD
6308125.30000000
0.157822041594
Long
ABS-MBS
CORP
US
N
2
2038-08-10
Fixed
2.83500000
N
N
N
N
N
N
DBWF Mortgage Trust
N/A
DBWF 2018-GLKS Mortgage Trust
23307GAA4
2988731.00000000
PA
USD
2963492.96000000
0.074143186280
Long
ABS-MBS
CORP
US
N
2
2030-12-19
Floating
1.19200000
N
N
N
N
N
N
ELP 2021-ELP
N/A
ELP Commercial Mortgage Trust 2021-ELP
26863LAJ3
2470000.00000000
PA
USD
2418238.68000000
0.060501551156
Long
ABS-MBS
CORP
US
N
2
2038-11-15
Floating
1.71100000
N
N
N
N
N
N
Santander Retail Auto Lease Trust
N/A
Santander Retail Auto Lease Trust 2021-C
80286CAC4
3190000.00000000
PA
USD
3138431.10000000
0.078519937390
Long
ABS-O
CORP
US
N
2
2025-03-20
Fixed
0.50000000
N
N
N
N
N
N
MICROCHIP TECHNOLOGY INC
5493007PTFULNYZJ1R12
Microchip Technology Inc
595017AZ7
1525000.00000000
PA
USD
1539320.24000000
0.038512022414
Long
DBT
CORP
US
N
2
2023-09-01
Fixed
2.67000000
N
N
N
N
N
N
TCI-Flatiron CLO Ltd
N/A
TCI-Flatiron Clo 2018-1 Ltd
87232AAL8
500000.00000000
PA
USD
499878.14000000
0.012506376276
Long
ABS-CBDO
CORP
KY
N
2
2032-01-29
Floating
1.35900000
N
N
N
N
N
N
SK HYNIX INC
988400XAIK6XISWQV045
SK Hynix Inc
78392BAA5
3090000.00000000
PA
USD
3012452.37000000
0.075368094422
Long
DBT
CORP
KR
N
2
2024-01-19
Fixed
1.00000000
N
N
N
N
N
N
HMH Trust
N/A
HMH Trust 2017-NSS
40390AAE1
469000.00000000
PA
USD
463477.99000000
0.011595686378
Long
ABS-MBS
CORP
US
N
2
2031-07-05
Fixed
3.78700000
N
N
N
N
N
N
SANTANDER HOLDINGS USA
549300SMVCQN2P0O6I58
Santander Holdings USA Inc
80282KAW6
1131000.00000000
PA
USD
1153636.39000000
0.028862655966
Long
DBT
CORP
US
N
2
2024-06-07
Fixed
3.50000000
N
N
N
N
N
N
PENINSULA PACIFIC ENTERT
N/A
Peninsula Pacific Entertainment LLC / Peninsula Pacific Entertainment Finance In
70715XAA4
1350000.00000000
PA
USD
1496596.50000000
0.037443123565
Long
DBT
CORP
US
N
2
2027-11-15
Fixed
8.50000000
N
N
N
N
N
N
Toyota Auto Receivables Owner Trust
N/A
Toyota Auto Receivables 2020-D Owner Trust
89236XAB2
96197.31000000
PA
USD
96182.23000000
0.002406368799
Long
ABS-O
CORP
US
N
2
2023-05-15
Fixed
0.23000000
N
N
N
N
N
N
Volkswagen Auto Loan Enhanced Trust
N/A
Volkswagen Auto Loan Enhanced Trust 2020-1
92868JAD8
725603.26000000
PA
USD
724861.19000000
0.018135193490
Long
ABS-O
CORP
US
N
2
2024-11-20
Fixed
0.98000000
N
N
N
N
N
N
Credit Suisse Mortgage Trust
N/A
CSMC 2021-BHAR
12659VAA8
16329500.00000000
PA
USD
16349911.88000000
0.409055995257
Long
ABS-MBS
CORP
US
N
2
2038-11-15
Floating
1.34200000
N
N
N
N
N
N
BIO-RAD LABS
549300ZC1GPV35XYDK53
Bio-Rad Laboratories Inc
090572AR9
1703000.00000000
PA
USD
1715965.82000000
0.042931491709
Long
DBT
CORP
US
N
2
2027-03-15
Fixed
3.30000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38378NHB2
328364.90000000
PA
USD
21353.04000000
0.000534228507
Long
ABS-MBS
USGA
US
N
2
2054-06-16
Variable
0.55900000
N
N
N
N
N
N
LADDER CAP FIN LLLP/CORP
N/A
Ladder Capital Finance Holdings LLLP / Ladder Capital Finance Corp
505742AG1
2519000.00000000
PA
USD
2528471.44000000
0.063259448060
Long
DBT
CORP
US
N
2
2025-10-01
Fixed
5.25000000
N
N
N
N
N
N
HYUNDAI CAPITAL AMERICA
549300RIPPWJB5Z0FK07
Hyundai Capital America
44891ABC0
3637000.00000000
PA
USD
3663605.82000000
0.091659205011
Long
DBT
CORP
US
N
2
2022-11-01
Fixed
2.85000000
N
N
N
N
N
N
CHENIERE CORP CHRISTI HD
549300I7CIEWU1BBLQ53
Cheniere Corpus Christi Holdings LLC
16412XAC9
10180000.00000000
PA
USD
10998113.05000000
0.275160142307
Long
DBT
CORP
US
N
2
2025-03-31
Fixed
5.87500000
N
N
N
N
N
N
SABINE PASS LIQUEFACTION
549300KJYBG7C6WJYZ11
Sabine Pass Liquefaction LLC
785592AD8
5665000.00000000
PA
USD
5852532.69000000
0.146423638356
Long
DBT
CORP
US
N
2
2023-04-15
Fixed
5.62500000
N
N
N
N
N
N
Morgan Stanley BAML Trust
N/A
MSBAM Commercial Mortgage Securities Trust 2012-CKSV
553514AC4
2090000.00000000
PA
USD
2071533.60000000
0.051827388714
Long
ABS-MBS
CORP
US
N
2
2030-10-15
Fixed
3.27700000
N
N
N
N
N
N
CenturyLink, Inc.
8M3THTGWLTYZVE6BBY25
CenturyLink, Inc. 2020 Term Loan A
15669GAF1
7998891.63000000
PA
USD
7961376.83000000
0.199184493880
Long
LON
CORP
US
N
2
2025-01-31
Floating
2.20900000
N
N
N
N
N
N
COMM Mortgage Trust
N/A
COMM 2014-CCRE19 Mortgage Trust
12592GBE2
2211266.17000000
PA
USD
42225.68000000
0.001056437960
Long
ABS-MBS
CORP
US
N
2
2047-08-10
Variable
0.95200000
N
N
N
N
N
N
Structured Asset Securities Corporation
N/A
Structured Asset Securities Corp Series 2006-3H
86359DYL5
33569.43000000
PA
USD
34043.54000000
0.000851730225
Long
ABS-MBS
CORP
US
N
2
2035-12-25
Fixed
5.75000000
N
N
N
N
N
N
SABINE PASS LIQUEFACTION
549300KJYBG7C6WJYZ11
Sabine Pass Liquefaction LLC
785592AJ5
3694000.00000000
PA
USD
3932436.58000000
0.098385041511
Long
DBT
CORP
US
N
2
2024-05-15
Fixed
5.75000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138EHSG8
51704.18000000
PA
USD
53884.39000000
0.001348125478
Long
ABS-MBS
USGSE
US
N
2
2039-03-01
Floating
1.80200000
N
N
N
N
N
N
Affirm Inc
N/A
Affirm Asset Securitization Trust 2021-B
00834DAA1
3550000.00000000
PA
USD
3493296.92000000
0.087398272163
Long
ABS-O
CORP
US
N
2
2026-08-17
Fixed
1.03000000
N
N
N
N
N
N
SABINE PASS LIQUEFACTION
549300KJYBG7C6WJYZ11
Sabine Pass Liquefaction LLC
785592AV8
8000000.00000000
PA
USD
8876990.96000000
0.222092106592
Long
DBT
CORP
US
N
2
2026-06-30
Fixed
5.87500000
N
N
N
N
N
N
NIELSEN CO LUX SARL/THE
549300MFMRJBOPHHM352
Nielsen Co Luxembourg SARL/The
65410CAC4
4711000.00000000
PA
USD
4736580.73000000
0.118503803497
Long
DBT
CORP
LU
N
2
2025-02-01
Fixed
5.00000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38378NZ22
1326612.11000000
PA
USD
88793.47000000
0.002221510520
Long
ABS-MBS
USGA
US
N
2
2054-12-16
Variable
0.79800000
N
N
N
N
N
N
Romark CLO Ltd
N/A
Romark CLO Ltd
77587UAL6
10000000.00000000
PA
USD
9972820.00000000
0.249508489132
Long
ABS-CBDO
CORP
KY
N
2
2030-10-23
Floating
1.28900000
N
N
N
N
N
N
Ford Credit Auto Lease Trust
N/A
Ford Credit Auto Lease Trust 2021-A
34532QAC2
1403000.00000000
PA
USD
1395770.48000000
0.034920572480
Long
ABS-O
CORP
US
N
2
2024-02-15
Fixed
0.26000000
N
N
N
N
N
N
MGM RESORTS INTL
54930066VBP7DZEGGJ87
MGM Resorts International
552953CE9
2573000.00000000
PA
USD
2698433.75000000
0.067511709625
Long
DBT
CORP
US
N
2
2025-06-15
Fixed
5.75000000
N
N
N
N
N
N
Hilton Worldwide Finance, LLC
549300406TN7EY0NPH20
Hilton Worldwide Finance, LLC 2019 Term Loan B2
43289DAH6
7374507.00000000
PA
USD
7276204.82000000
0.182042278037
Long
LON
CORP
US
N
2
2026-06-22
Floating
1.93700000
N
N
N
N
N
N
Westlake Automobile Receivables Trust
N/A
Westlake Automobile Receivables Trust 2019-2
96041LAF9
1216000.00000000
PA
USD
1230158.74000000
0.030777157174
Long
ABS-O
CORP
US
N
2
2024-11-15
Fixed
3.20000000
N
N
N
N
N
N
SM ENERGY CO
84BUTVXV5ODI6BXNMH43
SM Energy Co
78454LAT7
3464000.00000000
PA
USD
3802398.16000000
0.095131629767
Long
DBT
CORP
US
N
2
2025-01-15
Fixed
10.00000000
N
N
N
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
Long: BL9J0A358 IRS USD R V 12MUSCPI INF_SL9J0A358 CCPINFLATIONZERO / Short: BL9J0A358 IRS USD P F 2.63750 FIX_SL9J0A358 CCPINFLATIONZERO
000000000
35000000.00000000
OU
Notional Amount
USD
-187151.65000000
-0.00468231908
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
Inflation based on US CPI Urban Consumers NSA
2051-11-15
54507.72000000
USD
0.00000000
USD
35000000.00000000
USD
-241659.37000000
N
N
N
CREDIT SUISSE GROUP AG
549300506SI9CRFV9Z86
Credit Suisse Group AG
225401AQ1
529000.00000000
PA
USD
514023.09000000
0.012860266661
Long
DBT
CORP
CH
N
2
2026-06-05
Fixed
2.19300000
N
N
N
N
N
N
Ford Motor Credit Co LLC
UDSQCVRUX5BONN0VY111
Ford Motor Credit Co LLC
345397YQ0
5800000.00000000
PA
USD
5806989.00000000
0.145284187601
Long
DBT
CORP
US
N
2
2022-08-03
Fixed
2.97900000
N
N
N
N
N
N
COMM Mortgage Trust
N/A
COMM 2012-CCRE4 Mortgage Trust
12624QAS2
4255928.19000000
PA
USD
22446.62000000
0.000561588622
Long
ABS-MBS
CORP
US
N
2
2045-10-15
Variable
1.68500000
N
N
N
N
N
N
Wells Fargo Commercial Mortgage Trust
5493007OD9MH69ES1S63
Wells Fargo Commercial Mortgage Trust 2016-LC24
95000HBK7
7056835.00000000
PA
USD
287733.27000000
0.007198755564
Long
ABS-MBS
CORP
US
N
2
2049-10-15
Variable
0.97900000
N
N
N
N
N
N
Atrium Hotel Portfolio Trust
N/A
Atrium Hotel Portfolio Trust 2017-ATRM
04965JAC7
842000.00000000
PA
USD
828485.48000000
0.020727754073
Long
ABS-MBS
CORP
US
N
2
2036-12-15
Floating
1.69100000
N
N
N
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
Long: BL0R0ASS2 IRS USD R V 12MUSCPI SL0R0ASS2_FLO CCPINFLATIONZERO / Short: BL0R0ASS2 IRS USD P F 2.42500 SL0R0ASS2_FIX CCPINFLATIONZERO
000000000
20000000.00000000
OU
Notional Amount
USD
2040232.80000000
0.051044278690
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
Inflation based on US CPI Urban Consumers NSA
2031-03-16
0.00000000
USD
0.00000000
USD
20000000.00000000
USD
2040232.80000000
N
N
N
Hess Corporation
UASVRYNXNK17ULIGK870
Hess Corporation Term Loan
000000000
2016710.50000000
PA
USD
2006626.95000000
0.050203498964
Long
LON
CORP
US
N
2
2023-03-16
None
0.00000000
N
N
N
N
N
N
JP Morgan Chase Commercial Mortgage Sec Trust
N/A
JP Morgan Chase Commercial Mortgage Securities Trust 2018-PTC
46649GAA2
658000.00000000
PA
USD
653106.06000000
0.016339962645
Long
ABS-MBS
CORP
US
N
2
2031-04-15
Floating
1.64100000
N
N
N
N
N
N
Credit Agricole SA
969500TJ5KRTCJQWXH05
Credit Agricole SA
225313AF2
3558000.00000000
PA
USD
3691987.16000000
0.092369273504
Long
DBT
CORP
FR
N
2
2025-03-17
Fixed
4.37500000
N
N
N
N
N
N
Aon Corp
LTS3U8DGK38SETRUWX71
Aon Corp
037389AK9
1183000.00000000
PA
USD
1423374.08000000
0.035611182811
Long
DBT
CORP
US
N
2
2027-01-01
Fixed
8.20500000
N
N
N
N
N
N
Credit Suisse Mortgage Trust
549300818AKCJ4Q9TD76
CSMC 2014-USA OA LLC
12649AAE9
39135267.04000000
PA
USD
638397.96000000
0.015971982895
Long
ABS-MBS
CORP
US
N
2
2037-09-15
Variable
0.54000000
N
N
N
N
N
N
BANCO SANTANDER MEXICO
SCRYQ25DTVRHYYMM6P89
Banco Santander Mexico SA Institucion de Banca Multiple Grupo Financiero Santand
05969BAA1
6582000.00000000
PA
USD
6681454.02000000
0.167162296896
Long
DBT
CORP
MX
N
2
2022-11-09
Fixed
4.12500000
N
N
N
N
N
N
JPMorgan Chase Bank, National Association
7H6GLXDRUGQFU57RNE97
Long: SLP80ZCE0 IRS USD R V 00MCPURN SLP80ZCE0-_INF INFLATIONZERO / Short: SLP80ZCE0 IRS USD P F 1.95000 SLP80ZCE0_FIX INFLATIONZERO
000000000
10000000.00000000
OU
Notional Amount
USD
1297823.80000000
0.032470059170
N/A
DIR
US
N
2
JPMorgan Chase Bank, National Association
7H6GLXDRUGQFU57RNE97
N/A
N/A
Y
Inflation based on US CPI Urban Consumers NSA
2026-10-14
0.00000000
USD
0.00000000
USD
10000000.00000000
USD
1297823.80000000
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
Long: BLFH0M1K8 IRS USD R V 12MUSCPI SLFH0M1K8_FLO CCPINFLATIONZERO / Short: BLFH0M1K8 IRS USD P F 2.45700 SLFH0M1K8_FIX CCPINFLATIONZERO
000000000
10000000.00000000
OU
Notional Amount
USD
975408.90000000
0.024403609102
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
Inflation based on US CPI Urban Consumers NSA
2031-04-09
0.00000000
USD
0.00000000
USD
10000000.00000000
USD
975408.90000000
N
N
N
HSBC Holdings PLC
MLU0ZO3ML4LN2LL2TL39
HSBC Holdings PLC
404280BJ7
4361000.00000000
PA
USD
4363339.37000000
0.109165733842
Long
DBT
CORP
GB
N
2
2023-03-13
Fixed
3.26200000
N
N
N
N
N
N
Santander Drive Auto Receivables Trust
N/A
Santander Drive Auto Receivables Trust 2021-1
80286NAF3
806000.00000000
PA
USD
800860.22000000
0.020036601833
Long
ABS-O
CORP
US
N
2
2026-02-17
Fixed
0.75000000
N
N
N
N
N
N
MICROCHIP TECHNOLOGY INC
5493007PTFULNYZJ1R12
Microchip Technology Inc
595017BB9
8690000.00000000
PA
USD
8473264.27000000
0.211991329034
Long
DBT
CORP
US
N
2
2024-02-15
Fixed
0.97200000
N
N
N
N
N
N
GM Financial Automobile Leasing Trust
N/A
GM Financial Automobile Leasing Trust 2020-2
36259PAD8
1633835.77000000
PA
USD
1633812.90000000
0.040876120114
Long
ABS-O
CORP
US
N
2
2023-07-20
Fixed
0.80000000
N
N
N
N
N
N
MVW Owner Trust
N/A
MVW Owner Trust 2017-1
553896AA9
67342.17000000
PA
USD
67587.51000000
0.001690961784
Long
ABS-O
CORP
US
N
2
2034-12-20
Fixed
2.42000000
N
N
N
N
N
N
LUXE Commercial Mortgage Trust
N/A
LUXE Trust 2021-TRIP
55066WAE4
1000000.00000000
PA
USD
987595.10000000
0.024708493813
Long
ABS-MBS
CORP
US
N
2
2038-10-15
Floating
1.94100000
N
N
N
N
N
N
AVIATION CAPITAL GROUP
549300ODEK8HY3445C77
Aviation Capital Group LLC
05369AAK7
346000.00000000
PA
USD
329642.24000000
0.008247269804
Long
DBT
CORP
US
N
2
2026-01-30
Fixed
1.95000000
N
N
N
N
N
N
Deutsche Bank Aktiengesellschaft
7LTWFZYICNSX8D621K86
Long: SL2I3A610 IRS USD R F 1.61800 SL2I3A610_FIX INFLATIONZERO / Short: SL2I3A610 IRS USD P V 12MUSCPI CPI URBAN CONSUMER
000000000
15000000.00000000
OU
Notional Amount
USD
-1717612.05000000
-0.04297267849
N/A
DIR
DE
N
2
Deutsche Bank Aktiengesellschaft
7LTWFZYICNSX8D621K86
N/A
N/A
Y
Inflation based on US CPI Urban Consumers NSA
2023-08-25
0.00000000
USD
0.00000000
USD
15000000.00000000
USD
-1717612.05000000
N
N
N
TICP CLO Ltd
N/A
TICP CLO XIV Ltd
87250CAL1
7780000.00000000
PA
USD
7767440.43000000
0.194332428151
Long
ABS-CBDO
CORP
KY
N
2
2032-10-20
Floating
1.29400000
N
N
N
N
N
N
OneMain Financial Issuance Trust
N/A
OneMain Financial Issuance Trust 2018-2
68269CAA4
210000.00000000
PA
USD
213857.45000000
0.005350467494
Long
ABS-O
CORP
US
N
2
2033-03-14
Fixed
3.57000000
N
N
N
N
N
N
PFS Financing Corp.
N/A
PFS Financing Corp
69335PDT9
904000.00000000
PA
USD
892331.35000000
0.022325104327
Long
ABS-O
CORP
US
N
2
2025-10-15
Fixed
1.00000000
N
N
N
N
N
N
Callon Petroleum Co
549300EFOWPEB0WLZW21
Callon Petroleum Co
13123XAT9
1000000.00000000
PA
USD
997250.00000000
0.024950048310
Long
DBT
CORP
US
N
2
2024-10-01
Fixed
6.12500000
N
N
N
N
N
N
BANK OF AMERICA CORP
9DJT3UXIJIZJI4WXO774
Bank of America Corp
06051GJY6
2758000.00000000
PA
USD
2708890.67000000
0.067773329739
Long
DBT
CORP
US
N
2
2024-06-14
Fixed
0.52300000
N
N
N
N
N
N
Israel Electric Corp Ltd
254900JW7GE35YNJGJ55
Israel Electric Corp Ltd
000000000
444000.00000000
PA
USD
471128.40000000
0.011787090840
Long
DBT
CORP
IL
Y
2
2024-11-12
Fixed
5.00000000
N
N
N
N
N
N
FirstEnergy Corp
549300SVYJS666PQJH88
FirstEnergy Corp
337932AG2
5235000.00000000
PA
USD
5227199.85000000
0.130778529740
Long
DBT
CORP
US
N
2
2022-07-15
Fixed
3.35000000
N
N
N
N
N
N
JBS USA Lux S.A.
P77IMDGVZE8EFBTF2M92
JBS USA Lux S.A. 2019 Term Loan B
46611VAU9
5908476.20000000
PA
USD
5878195.26000000
0.147065686350
Long
LON
CORP
LU
N
2
2026-05-01
Floating
2.80400000
N
N
N
N
N
N
BAT Capital Corp
2138005GYEXN7XRHFA84
BAT Capital Corp
05526DAZ8
5957000.00000000
PA
USD
6032520.88000000
0.150926735910
Long
DBT
CORP
US
N
2
2024-08-15
Fixed
3.22200000
N
N
N
N
N
N
MF1 Multifamily Housing Mortgage Loan Trust
N/A
MF1 2022-FL8 Ltd
55284JAA7
14520000.00000000
PA
USD
14461012.50000000
0.361797904724
Long
ABS-CBDO
CORP
KY
N
2
2037-02-19
Floating
1.39800000
N
N
N
N
N
N
JP Morgan Chase Commercial Mortgage Sec Trust
N/A
JP Morgan Chase Commercial Mortgage Securities Trust 2012-WLDN
46637TAA8
5583791.76000000
PA
USD
4628963.37000000
0.115811340894
Long
ABS-MBS
CORP
US
N
2
2030-05-05
Fixed
3.90500000
N
N
N
N
N
N
LLOYDS BANKING GROUP PLC
549300PPXHEU2JF0AM85
Lloyds Banking Group PLC
53944YAM5
14146000.00000000
PA
USD
14130274.17000000
0.353523212008
Long
DBT
CORP
GB
N
2
2023-06-15
Fixed
1.32600000
N
N
N
N
N
N
Navient Corp
54930067J0ZNOEBRW338
Navient Corp
63938CAB4
5921000.00000000
PA
USD
6131313.92000000
0.153398424174
Long
DBT
CORP
US
N
2
2024-10-25
Fixed
5.87500000
N
N
N
N
N
N
GS Mortgage Securities Trust
549300SSCQUZ3RRV2T53
GS Mortgage Securities Trust 2013-GCJ12
36197XAM6
17353210.09000000
PA
USD
195862.21000000
0.004900247281
Long
ABS-MBS
CORP
US
N
2
2046-06-10
Variable
1.39000000
N
N
N
N
N
N
Arbor Realty Collateralized Loan Obligation Ltd
N/A
Arbor Realty Commercial Real Estate Notes 2021-FL3 Ltd
03880KAA2
6890000.00000000
PA
USD
6853769.14000000
0.171473423062
Long
ABS-CBDO
CORP
KY
N
2
2034-08-15
Floating
1.26100000
N
N
N
N
N
N
HAT HOLDINGS I LLC/HAT
N/A
HAT Holdings I LLC / HAT Holdings II LLC
418751AE3
4499000.00000000
PA
USD
4270810.72000000
0.106850773413
Long
DBT
US
N
2
2026-06-15
Fixed
3.37500000
N
N
N
N
N
N
Drive Auto Receivables Trust
N/A
Drive Auto Receivables Trust 2019-2
26208RAG0
717000.00000000
PA
USD
729185.70000000
0.018243387758
Long
ABS-O
CORP
US
N
2
2026-08-17
Fixed
3.69000000
N
N
N
N
N
N
AERCAP IRELAND CAP/GLOBA
N/A
AerCap Ireland Capital DAC / AerCap Global Aviation Trust
00774MAK1
4400000.00000000
PA
USD
4569171.07000000
0.114315406300
Long
DBT
CORP
IE
N
2
2024-01-16
Fixed
4.87500000
N
N
N
N
N
N
Panera Bread Company
5493008627EIK5RECQ92
Panera Bread Company Term Loan A
69840VAP5
2222583.30000000
PA
USD
2199435.09000000
0.055027336926
Long
LON
CORP
US
N
2
2022-07-18
Floating
2.50000000
N
N
N
N
N
N
Venture CDO Ltd
549300NQPL9XHZ20E278
Venture 33 CLO Ltd
92330YAN3
3500000.00000000
PA
USD
3501331.26000000
0.087599282112
Long
ABS-CBDO
CORP
KY
N
2
2031-07-15
Floating
1.30100000
N
N
N
N
N
N
Signal Peak CLO, LLC
N/A
Signal Peak CLO 8 Ltd
56845NAA8
11005000.00000000
PA
USD
10995654.44000000
0.275098630712
Long
ABS-CBDO
CORP
KY
N
2
2033-04-20
Floating
1.52400000
N
N
N
N
N
N
Verus Securitization Trust
N/A
Verus Securitization Trust 2021-R2
92538DAA7
759799.28000000
PA
USD
752151.52000000
0.018817966167
Long
ABS-MBS
CORP
US
N
2
2064-02-25
Variable
0.91800000
N
N
N
N
N
N
PARK AEROSPACE HOLDINGS
635400CPI3EOIFF6OC33
Park Aerospace Holdings Ltd
70014LAC4
4399000.00000000
PA
USD
4492621.98000000
0.112400236088
Long
DBT
CORP
KY
N
2
2023-03-15
Fixed
4.50000000
N
N
N
N
N
N
Buckeye Partners LP
549300C1PQJLVEIUBK50
Buckeye Partners LP
118230AQ4
3836000.00000000
PA
USD
3707647.44000000
0.092761075702
Long
DBT
CORP
US
N
2
2026-12-01
Fixed
3.95000000
N
N
N
N
N
N
BX Trust
N/A
BX Trust 2017-SLCT
05607DAQ0
1938850.00000000
PA
USD
1923528.43000000
0.048124469545
Long
ABS-MBS
CORP
US
N
2
2034-07-15
Floating
4.44100000
N
N
N
N
N
N
ARCOS DORADOS HOLDINGS I
54930023P2MIZN13DQ85
Arcos Dorados Holdings Inc
03965UAB6
2640000.00000000
PA
USD
2752424.40000000
0.068862493607
Long
DBT
CORP
VG
N
2
2023-09-27
Fixed
6.62500000
N
N
N
N
N
N
Angel Oak Mortgage Trust
N/A
Angel Oak Mortgage Trust 2020-6
03465AAA7
196795.79000000
PA
USD
194802.09000000
0.004873724298
Long
ABS-MBS
CORP
US
N
2
2065-05-25
Variable
1.26100000
N
N
N
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
Long: BLWS0JQY IRS USD R V 12MUSCPI SLWS0JQY_INF CCPINFLATIONZERO / Short: BLWS0JQY IRS USD P F 1.97950 SLWS0JQY_FIX CCPINFLATIONZERO
000000000
5000000.00000000
OU
Notional Amount
USD
719337.65000000
0.017997000871
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
Inflation based on US CPI Urban Consumers NSA
2029-10-14
0.00000000
USD
0.00000000
USD
5000000.00000000
USD
719337.65000000
N
N
N
Credit Suisse Mortgage Trust
N/A
CSMC 2021-ADV
12660WAA3
6130000.00000000
PA
USD
6057516.43000000
0.151552095830
Long
ABS-MBS
CORP
US
N
2
2038-07-15
Floating
1.59200000
N
N
N
N
N
N
VITERRA FINANCE BV
213800HBZGEIZLKJBI17
Viterra Finance BV
92852LAA7
7352000.00000000
PA
USD
7113774.32000000
0.177978453698
Long
DBT
CORP
NL
N
2
2026-04-21
Fixed
2.00000000
N
N
N
N
N
N
Octagon Investment Partners 29, Ltd.
5493003U22XL00FIHD56
Octagon Investment Partners 29 Ltd
67591JAL6
8400000.00000000
PA
USD
8419841.39000000
0.210654750005
Long
ABS-CBDO
CORP
KY
N
2
2033-01-24
Floating
1.43900000
N
N
N
N
N
N
CFCRE Commercial Mortgage Trust
N/A
CFCRE Commercial Mortgage Trust 2016-C4
12531YAQ1
909305.75000000
PA
USD
48988.85000000
0.001225644697
Long
ABS-MBS
CORP
US
N
2
2058-05-10
Variable
1.62600000
N
N
N
N
N
N
NextGear Floorplan Master Owner Trust
N/A
NextGear Floorplan Master Owner Trust
65341KBK1
6561000.00000000
PA
USD
6596118.41000000
0.165027298057
Long
ABS-O
CORP
US
N
2
2024-10-15
Fixed
2.07000000
N
N
N
N
N
N
CFCRE Commercial Mortgage Trust
N/A
CFCRE Commercial Mortgage Trust 2018-TAN
12528DAA7
3500000.00000000
PA
USD
3541298.60000000
0.088599219002
Long
ABS-MBS
CORP
US
N
2
2033-02-15
Fixed
4.23600000
N
N
N
N
N
N
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
Long: SL6K6KUW1 IRS USD R F .05112 SL6K6KUW1_FIX CCPOIS / Short: SL6K6KUW1 IRS USD P V 03MFEDL SL6K6KUW1_FLO CCPOIS
000000000
593263.00000000
OU
Notional Amount
USD
-2633.42000000
-0.00006588514
N/A
DIR
US
N
2
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
N/A
N/A
Y
2022-10-21
0.00000000
USD
0.00000000
USD
593263.00000000
USD
-2633.42000000
N
N
N
Morgan Stanley
IGJSJL3JD5P30I6NJZ34
Morgan Stanley
6174467X1
500000.00000000
PA
USD
540750.55000000
0.013528956977
Long
DBT
CORP
US
N
2
2025-11-24
Fixed
5.00000000
N
N
N
N
N
N
VICI PROPERTIES / NOTE
N/A
VICI Properties LP / VICI Note Co Inc
92564RAD7
2599000.00000000
PA
USD
2583886.82000000
0.064645877148
Long
DBT
US
N
2
2027-02-15
Fixed
3.75000000
N
N
N
N
N
N
ORBIA ADVANCE CORP SAB
549300MVHZ20SBIOEQ79
Orbia Advance Corp SAB de CV
68560EAA6
4010000.00000000
PA
USD
3761420.10000000
0.094106405825
Long
DBT
CORP
MX
N
2
2026-05-11
Fixed
1.87500000
N
N
N
N
N
N
SCIENTIFIC GAMES INTERNA
RLTHESQ0RNFQJWPBJN60
Scientific Games International Inc
80874YBG4
2552000.00000000
PA
USD
2707672.05000000
0.067742841268
Long
DBT
CORP
US
N
2
2025-07-01
Fixed
8.62500000
N
N
N
N
N
N
Santander Drive Auto Receivables Trust
N/A
Santander Drive Auto Receivables Trust 2021-2
80286XAE4
8860000.00000000
PA
USD
8774379.62000000
0.219524888853
Long
ABS-O
CORP
US
N
2
2026-06-15
Fixed
0.90000000
N
N
N
N
N
N
Navient Student Loan Trust
N/A
Navient Private Education Refi Loan Trust 2021-c
63942JAA5
4012156.80000000
PA
USD
3888867.23000000
0.097294986472
Long
ABS-O
CORP
US
N
2
2069-10-15
Fixed
1.06000000
N
N
N
N
N
N
Charter Communications Operating, LLC
549300TPZNMN50BJ3745
Charter Communications Operating, LLC 2019 Term Loan B1
16117LBW8
23237617.88000000
PA
USD
23177781.01000000
0.579881429850
Long
LON
CORP
US
N
2
2025-04-30
Floating
1.96000000
N
N
N
N
N
N
GM Financial Automobile Leasing Trust
N/A
GM Financial Leasing Trust
36261RAB4
1017475.44000000
PA
USD
1016805.74000000
0.025439310438
Long
ABS-O
CORP
US
N
2
2023-04-20
Fixed
0.17000000
N
N
N
N
N
N
SCF Equipment Trust Llc
N/A
SCF Equipment Leasing 2019-2 LLC
784034AB6
2107000.00000000
PA
USD
2118804.47000000
0.053010051527
Long
ABS-O
CORP
US
N
2
2026-04-20
Fixed
2.47000000
N
N
N
N
N
N
UBS-Barclays Commercial Mortgage Trust
N/A
UBS-Barclays Commercial Mortgage Trust 2013-C5
90270YAG4
635141.00000000
PA
USD
629924.59000000
0.015759988921
Long
ABS-MBS
CORP
US
N
2
2046-03-10
Variable
3.64900000
N
N
N
N
N
N
LAREDO PETROLEUM INC
549300X0PTWU2QSLSL14
Laredo Petroleum Inc
516806AF3
5518000.00000000
PA
USD
5686988.75000000
0.142281919329
Long
DBT
CORP
US
N
2
2025-01-15
Fixed
9.50000000
N
N
N
N
N
N
PEACHTREE FUNDING TRUST
N/A
Peachtree Corners Funding Trust
70466WAA7
442000.00000000
PA
USD
458301.65000000
0.011466180303
Long
DBT
CORP
US
N
2
2025-02-15
Fixed
3.97600000
N
N
N
N
N
N
LFT CRE 2021-FL1, LLC
N/A
LFT CRE 2021-FL1 Ltd
50203JAE8
3520000.00000000
PA
USD
3515600.00000000
0.087956269580
Long
ABS-CBDO
CORP
KY
N
2
2039-06-15
Floating
1.94100000
N
N
N
N
N
N
Verde CLO Ltd
N/A
VERDE CLO Ltd
92338BAN5
8660000.00000000
PA
USD
8661687.31000000
0.216705456836
Long
ABS-CBDO
CORP
KY
N
2
2032-04-15
Floating
1.34100000
N
N
N
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
Long: SL4H3R0Q4 IRS USD R F 1.93510 SL4H3R0Q4_FIX CCPINFLATIONZERO / Short: SL4H3R0Q4 IRS USD P V 12MUSCPI SL4H3R0Q4_INF CCPINFLATIONZERO
000000000
10000000.00000000
OU
Notional Amount
USD
-691107.10000000
-0.01729070497
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
Inflation based on US CPI Urban Consumers NSA
2022-06-09
0.00000000
USD
0.00000000
USD
10000000.00000000
USD
-691107.10000000
N
N
N
XPO LOGISTICS INC
54930096DB9LCLPN7H13
XPO Logistics Inc
983793AH3
750000.00000000
PA
USD
778852.50000000
0.019485993984
Long
DBT
CORP
US
N
2
2025-05-01
Fixed
6.25000000
N
N
N
N
N
N
DELL INT LLC / EMC CORP
N/A
Dell International LLC / EMC Corp
24703TAB2
1725000.00000000
PA
USD
1791061.29000000
0.044810294020
Long
DBT
CORP
US
N
2
2024-07-15
Fixed
4.00000000
N
N
N
N
N
N
Halcyon Loan Advisors Funding Ltd
5493006GMMSBMRMTK635
Halcyon Loan Advisors Funding 2015-2 Ltd
40538KAN2
553040.30000000
PA
USD
553490.39000000
0.013847693125
Long
ABS-CBDO
CORP
KY
N
2
2027-07-25
Floating
1.90800000
N
N
N
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
Long: BL31117N9 IRS USD R V 12MUSCPI SL31117N9_FLO CCPINFLATIONZERO / Short: BL31117N9 IRS USD P F 2.44250 SL31117N9_FIX CCPINFLATIONZERO
000000000
10000000.00000000
OU
Notional Amount
USD
1008487.60000000
0.025231200140
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
Inflation based on US CPI Urban Consumers NSA
2033-04-14
0.00000000
USD
0.00000000
USD
10000000.00000000
USD
1008487.60000000
N
N
N
LLOYDS BANKING GROUP PLC
549300PPXHEU2JF0AM85
Lloyds Banking Group PLC
53944YAK9
8256000.00000000
PA
USD
8260878.06000000
0.206677670273
Long
DBT
CORP
GB
N
2
2023-03-17
Fixed
2.85800000
N
N
N
N
N
N
Credit Suisse Mortgage Trust
N/A
CSMC 2021-NQM7
12662QAC0
1123910.86000000
PA
USD
1093104.69000000
0.027348222435
Long
ABS-MBS
CORP
US
N
2
2066-10-25
Variable
2.06400000
N
N
N
N
N
N
TRITON CONTAINER
549300O4LZFLCX53XZ54
Triton Container International Ltd
89680YAB1
2518000.00000000
PA
USD
2443601.54000000
0.061136100750
Long
DBT
CORP
BM
N
2
2024-06-07
Fixed
1.15000000
N
N
N
N
N
N
BANCOLOMBIA SA
54930052NWJRPNMP1W58
Bancolombia SA
05968LAM4
407000.00000000
PA
USD
392191.31000000
0.009812175614
Long
DBT
CORP
CO
N
2
2025-01-29
Fixed
3.00000000
N
N
N
N
N
N
Gray Television Inc
529900TM5726KDN7UU35
Gray Television Inc
389284AA8
1601000.00000000
PA
USD
1685965.07000000
0.042180907440
Long
DBT
CORP
US
N
2
2027-05-15
Fixed
7.00000000
N
N
N
N
N
N
CARNIVAL CORP
F1OF2ZSX47CR0BCWA982
Carnival Corp
143658BJ0
3377000.00000000
PA
USD
3795427.19000000
0.094957224113
Long
DBT
CORP
PA
N
2
2027-08-01
Fixed
9.87500000
N
N
N
N
N
N
STELLANTIS NV
549300LKT9PW7ZIBDF31
Stellantis NV
31562QAF4
6665000.00000000
PA
USD
6899074.80000000
0.172606918580
Long
DBT
CORP
NL
N
2
2023-04-15
Fixed
5.25000000
N
N
N
N
N
N
Foursight Capital Automobile Receivables Trust
N/A
Foursight Capital Automobile Receivables Trust 2020-1
35105FAC0
62658.37000000
PA
USD
62771.22000000
0.001570463746
Long
ABS-O
CORP
US
N
2
2024-10-15
Fixed
2.05000000
N
N
N
N
N
N
Barclays Commercial Mortgage Securities LLC
N/A
BBCMS 2018-TALL Mortgage Trust
05548WAA5
3400000.00000000
PA
USD
3335482.62000000
0.083449939840
Long
ABS-MBS
CORP
US
N
2
2037-03-15
Floating
0.91300000
N
N
N
N
N
N
HPEFS Equipment Trust
N/A
HPEFS Equipment Trust 2020-1
40438FAD6
157000.00000000
PA
USD
157450.24000000
0.003939223960
Long
ABS-O
CORP
US
N
2
2030-02-20
Fixed
1.89000000
N
N
N
N
N
N
ING Groep NV
549300NYKK9MWM7GGW15
ING Groep NV
000000000
2626000.00000000
PA
USD
2677874.00000000
0.066997328320
Long
DBT
CORP
NL
Y
2
2028-03-22
Fixed
4.70000000
N
N
N
N
N
N
Drive Auto Receivables Trust
N/A
Drive Auto Receivables Trust 2020-2
26208VAG1
1800000.00000000
PA
USD
1830822.84000000
0.045805082281
Long
ABS-O
CORP
US
N
2
2028-05-15
Fixed
3.05000000
N
N
N
N
N
N
ENDEAVOR ENERGY RESOURCE
N/A
Endeavor Energy Resources LP / EER Finance Inc
29260FAE0
1250000.00000000
PA
USD
1296212.50000000
0.032429746297
Long
DBT
CORP
US
N
2
2028-01-30
Fixed
5.75000000
N
N
N
N
N
N
JP Morgan Chase Commercial Mortgage Sec Trust
N/A
JP Morgan Chase Commercial Mortgage Securities Trust 2014-DSTY
46642MAA6
5000000.00000000
PA
USD
2825000.00000000
0.070678251667
Long
ABS-MBS
CORP
US
N
2
2027-06-10
Fixed
3.42900000
N
N
N
N
N
N
SCF Equipment Trust Llc
N/A
SCF Equipment Leasing 2019-2 LLC
784034AA8
71672.51000000
PA
USD
71756.68000000
0.001795269624
Long
ABS-O
CORP
US
N
2
2024-06-20
Fixed
2.22000000
N
N
N
N
N
N
Glencore Funding LLC
213800STG1QDNBY87K49
Glencore Funding LLC
378272AL2
1567000.00000000
PA
USD
1617081.32000000
0.040457515222
Long
DBT
CORP
US
N
2
2025-04-16
Fixed
4.00000000
N
N
N
N
N
N
COMISION FEDERAL DE ELEC
4469000001BFPONMPF32
Comision Federal de Electricidad
200447AD2
3002000.00000000
PA
USD
3106559.66000000
0.077722550609
Long
DBT
CORP
MX
N
2
2024-01-15
Fixed
4.87500000
N
N
N
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
Long: BL0H00QI0 IRS USD R V 12MUSCPI SL0H00QI0_FLO CCPINFLATIONZERO / Short: BL0H00QI0 IRS USD P F 2.52125 SL0H00QI0_FIX CCPINFLATIONZERO
000000000
13000000.00000000
OU
Notional Amount
USD
909704.25000000
0.022759754309
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
Inflation based on US CPI Urban Consumers NSA
2046-05-21
0.00000000
USD
0.00000000
USD
13000000.00000000
USD
909704.25000000
N
N
N
UNICREDIT SPA
549300TRUWO2CD2G5692
UniCredit SpA
904678AU3
2520000.00000000
PA
USD
2408848.22000000
0.060266612645
Long
DBT
CORP
IT
N
2
2026-09-22
Fixed
2.56900000
N
N
N
N
N
N
Carlyle Global Market Strategies
549300VC6J79YJCFU884
Carlyle US Clo 2017-2 Ltd
14315JAQ2
4000000.00000000
PA
USD
3978821.04000000
0.099545527365
Long
ABS-CBDO
CORP
KY
N
2
2031-07-20
Floating
1.30400000
N
N
N
N
N
N
World OMNI Select Auto Trust
N/A
World Omni Select Auto Trust 2019-A
98163BAF9
572000.00000000
PA
USD
572979.32000000
0.014335283744
Long
ABS-O
CORP
US
N
2
2025-12-15
Fixed
2.59000000
N
N
N
N
N
N
Fontainebleau Miami Beach Trust
N/A
Fontainebleau Miami Beach Trust 2019-FBLU
34461LAA2
761402.00000000
PA
USD
763882.50000000
0.019111461798
Long
ABS-MBS
CORP
US
N
2
2036-12-10
Fixed
3.14400000
N
N
N
N
N
N
Deutsche Bank Aktiengesellschaft
7LTWFZYICNSX8D621K86
Long: SL5P2S3W8 IRS USD R V 12MUSCPI SL5P2S3W8_INF INFLATIONZERO / Short: SL5P2S3W8 IRS USD P F 2.74500 SL5P2S3W8_FIX INFLATIONZERO
000000000
30000000.00000000
OU
Notional Amount
USD
-1722132.00000000
-0.04308576244
N/A
DIR
US
N
2
Deutsche Bank Aktiengesellschaft
7LTWFZYICNSX8D621K86
N/A
N/A
Y
Inflation based on US CPI Urban Consumers NSA
2022-03-20
0.00000000
USD
0.00000000
USD
30000000.00000000
USD
-1722132.00000000
N
N
N
Mariner Finance Issuance Trust
N/A
Mariner Finance Issuance Trust 2021-B
56847JAA5
3340000.00000000
PA
USD
3187485.58000000
0.079747224074
Long
ABS-O
CORP
US
N
2
2036-11-20
Fixed
2.10000000
N
N
N
N
N
N
Lloyds Banking Group PLC
549300PPXHEU2JF0AM85
Lloyds Banking Group PLC
53944YAB9
3048000.00000000
PA
USD
3216993.77000000
0.080485485058
Long
DBT
CORP
GB
N
2
2026-03-24
Fixed
4.65000000
N
N
N
N
N
N
Barclays Bank PLC
G5GSEF7VJP5I7OUK5573
Long: SLFI2J7B5 IRS USD R V 12MUSCPI SLFI2J7B5_INF INFLATIONZERO / Short: SLFI2J7B5 IRS USD P F 2.20700 SLFI2J7B5_FIX INFLATIONZERO
000000000
20000000.00000000
OU
Notional Amount
USD
1755229.20000000
0.043913816330
N/A
DIR
US
N
2
Barclays Bank PLC
G5GSEF7VJP5I7OUK5573
N/A
N/A
Y
Inflation based on US CPI Urban Consumers NSA
2025-01-11
0.00000000
USD
0.00000000
USD
20000000.00000000
USD
1755229.20000000
N
N
N
GA GLOBAL FUNDING TRUST
54930029I8ROQ4OROZ88
GA Global Funding Trust
36143L2C8
1032000.00000000
PA
USD
987967.13000000
0.024717801576
Long
DBT
CORP
US
N
2
2024-09-13
Fixed
0.80000000
N
N
N
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
Long: BL0W0WKO0 IRS USD R V 12MUSCPI SL0W0WKO0_FLO CCPINFLATIONZERO / Short: BL0W0WKO0 IRS USD P F 2.52150 SL0W0WKO0_FIX CCPINFLATIONZERO
000000000
15000000.00000000
OU
Notional Amount
USD
1275302.70000000
0.031906607144
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
Inflation based on US CPI Urban Consumers NSA
2036-05-28
0.00000000
USD
0.00000000
USD
15000000.00000000
USD
1275302.70000000
N
N
N
AVOLON HOLDINGS FNDG LTD
635400ZRKEX9L1BKCH30
Avolon Holdings Funding Ltd
05401AAG6
1000000.00000000
PA
USD
1030482.72000000
0.025781492751
Long
DBT
CORP
KY
N
2
2026-05-01
Fixed
4.37500000
N
N
N
N
N
N
MF1 Ltd
N/A
MF1 2020-FL3 Ltd
59319WAC5
2305000.00000000
PA
USD
2328085.52000000
0.058246022756
Long
ABS-CBDO
USGSE
US
N
2
2035-07-15
Floating
3.91300000
N
N
N
N
N
N
Petroleos Mexicanos
549300CAZKPF4HKMPX17
Petroleos Mexicanos
71654QCE0
1827000.00000000
PA
USD
1828123.61000000
0.045737550650
Long
DBT
CORP
MX
N
2
2022-03-13
Fixed
5.37500000
N
N
N
N
N
N
HOWMET AEROSPACE INC
549300HO5WFZUT5N2T22
Howmet Aerospace Inc
013817AW1
429000.00000000
PA
USD
451835.67000000
0.011304408919
Long
DBT
CORP
US
N
2
2024-10-01
Fixed
5.12500000
N
N
N
N
N
N
Flagship Credit Auto Trust
N/A
Flagship Credit Auto Trust 2021-2
33844WAA8
13723505.97000000
PA
USD
13612869.81000000
0.340578349859
Long
ABS-O
CORP
US
N
2
2026-12-15
Fixed
0.37000000
N
N
N
N
N
N
Glencore Funding LLC
213800STG1QDNBY87K49
Glencore Funding LLC
378272AH1
10553000.00000000
PA
USD
11039669.11000000
0.276199827145
Long
DBT
CORP
US
N
2
2024-04-29
Fixed
4.62500000
N
N
N
N
N
N
AMERICAN AIRLINES GROUP
N/A
American Airlines Group Inc
02376RAC6
1680000.00000000
PA
USD
1686115.20000000
0.042184663520
Long
DBT
CORP
US
N
2
2022-06-01
Fixed
5.00000000
N
N
N
N
N
N
OCP CLO Ltd
2549003HLFPQ7ATPYA23
OCP Clo 2019-17 Ltd
67113LAL0
5700000.00000000
PA
USD
5682121.95000000
0.142160157589
Long
ABS-CBDO
CORP
KY
N
2
2032-07-20
Floating
1.29400000
N
N
N
N
N
N
MUTHOOT FINANCE LTD
335800HAMJMBFL4RRF02
Muthoot Finance Ltd
62828L2B8
416000.00000000
PA
USD
419016.00000000
0.010483298513
Long
DBT
CORP
IN
N
2
2023-09-02
Fixed
4.40000000
N
N
N
N
N
N
Hyundai Auto Lease Securitization Trust
N/A
Hyundai Auto Lease Securitization Trust 2021-A
44891TAB2
320087.49000000
PA
USD
319916.21000000
0.008003935717
Long
ABS-O
CORP
US
N
2
2023-04-17
Fixed
0.25000000
N
N
N
N
N
N
MATTEL INC
549300VELLG24KHTJ564
Mattel Inc
577081BD3
4176000.00000000
PA
USD
4431738.24000000
0.110876994921
Long
DBT
CORP
US
N
2
2027-12-15
Fixed
5.87500000
N
N
N
N
N
N
DELL INT LLC / EMC CORP
N/A
Dell International LLC / EMC Corp
24703TAC0
1634000.00000000
PA
USD
1790806.34000000
0.044803915464
Long
DBT
CORP
US
N
2
2025-07-15
Fixed
5.85000000
N
N
N
N
N
N
RITCHIE BROS AUCTIONEERS
5493002H8U24DJXQ4886
Ritchie Bros Auctioneers Inc
767744AA3
6455000.00000000
PA
USD
6559086.88000000
0.164100811757
Long
DBT
CORP
CA
N
2
2025-01-15
Fixed
5.37500000
N
N
N
N
N
N
LUKOIL INTL FINANCE BV
724500LG1GUKJ5TOIW61
Lukoil International Finance BV
549876AH3
3000000.00000000
PA
USD
1589976.00000000
0.039779371282
Long
DBT
CORP
NL
N
2
2023-04-24
Fixed
4.56300000
N
N
N
N
N
N
BX Trust
N/A
BX Commercial Mortgage Trust 2021-XL2
05609KAA7
6110000.00000000
PA
USD
5987973.52000000
0.149812212186
Long
ABS-MBS
CORP
US
N
2
2038-10-15
Floating
0.88000000
N
N
N
N
N
N
GAZPROM (GAZ CAPITAL SA)
213800568PRHV2JR9650
Gazprom PJSC Via Gaz Capital SA
368266AF9
5335000.00000000
PA
USD
3723830.00000000
0.093165944746
Long
DBT
CORP
LU
N
2
2022-03-07
Fixed
6.51000000
N
N
N
N
N
N
GOLDMAN SACHS GROUP INC
784F5XWPLTWKTBV3E584
Goldman Sachs Group Inc/The
38141GWJ9
3999000.00000000
PA
USD
4015260.25000000
0.100457194499
Long
DBT
CORP
US
N
2
2023-06-05
Fixed
2.90800000
N
N
N
N
N
N
TransDigm, Inc.
88Q84GB3X55CF5OC7582
TransDigm, Inc. 2020 Term Loan F
89364MBR4
3835325.00000000
PA
USD
3777622.54000000
0.094511772243
Long
LON
CORP
US
N
2
2025-12-09
Floating
2.45900000
N
N
N
N
N
N
EQT CORP
4NT01YGM4X7ZX86ISY52
EQT Corp
26884LAM1
486000.00000000
PA
USD
478564.20000000
0.011973126005
Long
DBT
CORP
US
N
2
2026-05-15
Fixed
3.12500000
N
N
N
N
N
N
Ford Credit Auto Lease Trust
N/A
Ford Credit Auto Lease Trust 2021-A
34532QAD0
2369000.00000000
PA
USD
2342514.58000000
0.058607021246
Long
ABS-O
CORP
US
N
2
2024-04-15
Fixed
0.30000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31419AWS2
32246.29000000
PA
USD
33709.55000000
0.000843374180
Long
ABS-MBS
USGSE
US
N
2
2040-12-01
Floating
2.06200000
N
N
N
N
N
N
ENERGY TRANSFER LP
MTLVN9N7JE8MIBIJ1H73
Energy Transfer LP
29278NAL7
2187000.00000000
PA
USD
2229705.70000000
0.055784672782
Long
DBT
CORP
US
N
2
2023-03-15
Fixed
4.25000000
N
N
N
N
N
N
GATES GLOBAL/GATES CORP
N/A
Gates Global LLC / Gates Corp
36740LAA0
1714000.00000000
PA
USD
1754776.06000000
0.043902479288
Long
DBT
CORP
US
N
2
2026-01-15
Fixed
6.25000000
N
N
N
N
N
N
Carlyle Global Market Strategies
N/A
CARLYLE US CLO 2017-3 Ltd
14314FAL2
830000.00000000
PA
USD
827371.14000000
0.020699874568
Long
ABS-CBDO
CORP
KY
N
2
2029-07-20
Floating
1.15400000
N
N
N
N
N
N
BANK OF AMERICA CORP
9DJT3UXIJIZJI4WXO774
Bank of America Corp
06051GKE8
3459000.00000000
PA
USD
3361485.74000000
0.084100508003
Long
DBT
CORP
US
N
2
2025-12-06
Fixed
1.53000000
N
N
N
N
N
N
VIPER ENERGY PARTNERS LP
5299009LINL232255G03
Viper Energy Partners LP
92763MAA3
4207000.00000000
PA
USD
4321346.26000000
0.108115114516
Long
DBT
CORP
US
N
2
2027-11-01
Fixed
5.37500000
N
N
N
N
N
N
BDS Ltd
N/A
BDS 2021-FL8
05493JAA9
4638271.06000000
PA
USD
4563670.27000000
0.114177782609
Long
ABS-CBDO
CORP
KY
N
2
2036-01-18
Floating
1.05700000
N
N
N
N
N
N
WF-RBS Commercial Mortgage Trust
N/A
WFRBS Commercial Mortgage Trust 2013-C11
92937EAF1
1166000.00000000
PA
USD
1176183.38000000
0.029426755730
Long
ABS-MBS
CORP
US
N
2
2045-03-15
Fixed
3.31100000
N
N
N
N
N
N
Reynolds American Inc
02S2RPPVO9RP4NEU2740
Reynolds American Inc
761713BG0
1850000.00000000
PA
USD
1935712.78000000
0.048429307972
Long
DBT
CORP
US
N
2
2025-06-12
Fixed
4.45000000
N
N
N
N
N
N
TransDigm Inc
88Q84GB3X55CF5OC7582
TransDigm Inc
893647BE6
5500000.00000000
PA
USD
5666017.50000000
0.141757242767
Long
DBT
CORP
US
N
2
2026-03-15
Fixed
6.25000000
N
N
N
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
Long: BLP40QVE8 IRS USD R V 12MUSCPI SLP40QVE8_FLO CCPINFLATIONZERO / Short: BLP40QVE8 IRS USD P F 2.44625 SLP40QVE8_FIX CCPINFLATIONZERO
000000000
5000000.00000000
OU
Notional Amount
USD
487063.10000000
0.012185758711
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
Inflation based on US CPI Urban Consumers NSA
2041-04-06
0.00000000
USD
0.00000000
USD
5000000.00000000
USD
487063.10000000
N
N
N
Newell Brands Inc
549300LWGYFM1TVO1Z12
Newell Brands Inc
651229AW6
3202000.00000000
PA
USD
3318232.60000000
0.083018364175
Long
DBT
CORP
US
N
2
2026-04-01
Fixed
4.70000000
N
N
N
N
N
N
CPS Auto Trust
5493000DWM31LZSZTM21
CPS Auto Receivables Trust 2017-B
12636XAE4
204414.16000000
PA
USD
204918.27000000
0.005126819489
Long
ABS-O
CORP
US
N
2
2023-12-15
Fixed
5.75000000
N
N
N
N
N
N
Vornado Realty LP
549300BMOJ05INE4YK86
Vornado Realty LP
929043AJ6
3565000.00000000
PA
USD
3665191.26000000
0.091698870897
Long
DBT
US
N
3
2025-01-15
Fixed
3.50000000
N
N
N
N
N
N
BNP PARIBAS
R0MUWSFPU8MPRO8K5P83
BNP Paribas SA
09659W2G8
1050000.00000000
PA
USD
1091565.24000000
0.027309707166
Long
DBT
CORP
FR
N
2
2025-01-10
Fixed
4.70500000
N
N
N
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
Long: BLJT032U7 IRS USD R V 12MUSCPI SLJT032U7_FLO CCPINFLATIONZERO / Short: BLJT032U7 IRS USD P F 2.51250 SLJT032U7_FIX CCPINFLATIONZERO
000000000
25000000.00000000
OU
Notional Amount
USD
2039688.00000000
0.051030648420
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
Inflation based on US CPI Urban Consumers NSA
2029-06-17
0.00000000
USD
0.00000000
USD
25000000.00000000
USD
2039688.00000000
N
N
N
DELL INT LLC / EMC CORP
N/A
Dell International LLC / EMC Corp
24703TAA4
2702000.00000000
PA
USD
2813600.71000000
0.070393054539
Long
DBT
CORP
US
N
2
2023-06-15
Fixed
5.45000000
N
N
N
N
N
N
ROCKETMTGE CO-ISSUER INC
N/A
Rocket Mortgage LLC / Rocket Mortgage Co-Issuer Inc
77313LAA1
7983000.00000000
PA
USD
7513280.28000000
0.187973633444
Long
DBT
CORP
US
N
2
2026-10-15
Fixed
2.87500000
N
N
N
N
N
N
Bank of America, National Association
B4TYDEB6GKMZO031MB27
Long: SL3X39J98 IRS USD R V 12MUSCPI SL3X39J98_INF INFLATIONZERO / Short: SL3X39J98 IRS USD P F 1.74650 SL3X39J98_FIX INFLATIONZERO
000000000
20000000.00000000
OU
Notional Amount
USD
2974586.80000000
0.074420741401
N/A
DIR
US
N
2
Bank of America, National Association
B4TYDEB6GKMZO031MB27
N/A
N/A
Y
Inflation based on US CPI Urban Consumers NSA
2026-08-22
0.00000000
USD
0.00000000
USD
20000000.00000000
USD
2974586.80000000
N
N
N
Caesars Resort Collection, LLC
549300V3UCT773B1KR38
Caesars Resort Collection, LLC 2017 1st Lien Term Loan B
12769LAB5
5610533.51000000
PA
USD
5561441.34000000
0.139140867491
Long
LON
CORP
US
N
2
2024-12-23
Floating
2.95900000
N
N
N
N
N
N
GS Mortgage Securities Trust
N/A
GS Mortgage Securities Corp Trust 2021-ROSS
36264YAA8
5000000.00000000
PA
USD
4946460.50000000
0.123754754012
Long
ABS-MBS
CORP
US
N
2
2026-05-15
Floating
1.34200000
N
N
N
N
N
N
Nexstar Broadcasting, Inc.
5493006PK6I4I2OOT688
Nexstar Broadcasting, Inc. 2018 Term Loan A4
65336RAT5
1247080.00000000
PA
USD
1244479.84000000
0.031135454629
Long
LON
CORP
US
N
2
2023-10-26
Floating
1.60600000
N
N
N
N
N
N
Ausgrid Finance Pty Ltd
549300DN8D7YR73BKB57
Ausgrid Finance Pty Ltd
052113AA5
2235000.00000000
PA
USD
2272718.42000000
0.056860801578
Long
DBT
CORP
AU
N
2
2023-05-01
Fixed
3.85000000
N
N
N
N
N
N
UNITED RENTALS NORTH AM
NGIZXNT70J2LYT3FBI09
United Rentals North America Inc
911365BM5
5602000.00000000
PA
USD
5692668.37000000
0.142424016890
Long
DBT
CORP
US
N
2
2027-11-15
Fixed
3.87500000
N
N
N
N
N
N
Barclays Bank PLC
G5GSEF7VJP5I7OUK5573
Long: SLFI2I9M1 IRS USD R V 12MUSCPI SLFI2I9M1_INF INFLATIONZERO / Short: SLFI2I9M1 IRS USD P F 2.22750 SLFI2I9M1_FIX INFLATIONZERO
000000000
15000000.00000000
OU
Notional Amount
USD
1297630.05000000
0.032465211768
N/A
DIR
US
N
2
Barclays Bank PLC
G5GSEF7VJP5I7OUK5573
N/A
N/A
Y
Inflation based on US CPI Urban Consumers NSA
2024-12-05
0.00000000
USD
0.00000000
USD
15000000.00000000
USD
1297630.05000000
N
N
N
OASIS PETROLEUM INC
529900FA4V2YNIKZ0M71
Oasis Petroleum Inc
674215AL2
2678000.00000000
PA
USD
2727850.97000000
0.068247694644
Long
DBT
CORP
US
N
2
2026-06-01
Fixed
6.37500000
N
N
N
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
Long: BLZE0P6J4 IRS USD R V 12MUSCPI SLZE0P6J4_FLO CCPINFLATIONZERO / Short: BLZE0P6J4 IRS USD P F 2.51250 SLZE0P6J4_FIX CCPINFLATIONZERO
000000000
30000000.00000000
OU
Notional Amount
USD
2440309.20000000
0.061053730189
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
Inflation based on US CPI Urban Consumers NSA
2029-06-18
0.00000000
USD
0.00000000
USD
30000000.00000000
USD
2440309.20000000
N
N
N
COMM Mortgage Trust
N/A
COMM 2013-GAM
12624UAC8
84239.13000000
PA
USD
84223.61000000
0.002107177877
Long
ABS-MBS
CORP
US
N
2
2028-02-10
Fixed
3.36700000
N
N
N
N
N
N
JBS USA LUX/JBS USA FIN
N/A
JBS USA LUX SA / JBS USA Finance Inc
472141AA8
3710000.00000000
PA
USD
3909227.00000000
0.097804364507
Long
DBT
CORP
XX
N
2
2028-02-15
Fixed
6.75000000
N
N
N
N
N
N
JP Morgan Chase Commercial Mortgage Sec Trust
N/A
J.P. Morgan Chase Commercial Mortgage Securities Trust 2017-MARK
46648GAC9
32692000.00000000
PA
USD
1428.64000000
0.000035742930
Long
ABS-MBS
CORP
US
N
2
2032-06-05
Variable
0.52700000
N
N
N
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
Long: BL1O65W41 IRS USD R V 12MUSCPI SL1O65W41_INF CCPINFLATIONZERO / Short: BL1O65W41 IRS USD P F 1.93500 SL1O65W41_FIX CCPINFLATIONZERO
000000000
5000000.00000000
OU
Notional Amount
USD
766873.50000000
0.019186293178
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
Inflation based on US CPI Urban Consumers NSA
2029-09-01
0.00000000
USD
0.00000000
USD
5000000.00000000
USD
766873.50000000
N
N
N
BPCE SA
9695005MSX1OYEMGDF46
BPCE SA
05578QAE3
786000.00000000
PA
USD
832489.49000000
0.020827929800
Long
DBT
CORP
FR
N
2
2026-04-01
Fixed
4.87500000
N
N
N
N
N
N
UBS-Barclays Commercial Mortgage Trust
549300G1IXWLFE766Q13
UBS-Barclays Commercial Mortgage Trust 2013-C6
90349GAG0
16122526.45000000
PA
USD
104846.40000000
0.002623136370
Long
ABS-MBS
CORP
US
N
2
2046-04-10
Variable
1.08500000
N
N
N
N
N
N
Westlake Automobile Receivables Trust
N/A
Westlake Automobile Receivables Trust 2019-3
96042HAJ9
1009739.38000000
PA
USD
1013277.81000000
0.025351045686
Long
ABS-O
CORP
US
N
2
2024-10-15
Fixed
2.49000000
N
N
N
N
N
N
Puget Energy Inc
SYBSJ96YIDMIUY7WDR33
Puget Energy Inc
745310AF9
703000.00000000
PA
USD
706841.59000000
0.017684363818
Long
DBT
CORP
US
N
2
2022-07-15
Fixed
5.62500000
N
N
N
N
N
N
Applied Systems, Inc.
549300NSKGF0SY5SWQ62
Applied Systems, Inc. 2017 1st Lien Term Loan
03827FAX9
6734248.80000000
PA
USD
6703540.63000000
0.167714878482
Long
LON
CORP
US
N
2
2024-09-19
Floating
5.25000000
N
N
N
N
N
N
SL Green Realty Corp
549300VQZPJU97H3GT17
SL Green Realty Corp
75625AAD6
1530000.00000000
PA
USD
1552403.91000000
0.038839360793
Long
DBT
US
N
2
2022-12-01
Fixed
4.50000000
N
N
N
N
N
N
Intercontinental Exchange, Inc.
5493000F4ZO33MV32P92
Long: BL4H4ZDF5 IRS USD R V 12MUSCPI INF_SL4H4ZDF5 CCPINFLATIONZERO / Short: BL4H4ZDF5 IRS USD P F 2.69450 FIX_SL4H4ZDF5 CCPINFLATIONZERO
000000000
50000000.00000000
OU
Notional Amount
USD
1126364.00000000
0.028180332128
N/A
DIR
US
N
2
Intercontinental Exchange, Inc.
5493000F4ZO33MV32P92
N/A
N/A
Y
Inflation based on US CPI Urban Consumers NSA
2032-02-18
0.00000000
USD
0.00000000
USD
50000000.00000000
USD
1126364.00000000
N
N
N
BENCHMARK Mortgage Trust
N/A
Benchmark 2021-B23 Mortgage Trust
08162RAB3
400000.00000000
PA
USD
386293.80000000
0.009664626695
Long
ABS-MBS
CORP
US
N
2
2054-02-15
Fixed
1.62000000
N
N
N
N
N
N
Slide 2018-Fun
N/A
SLIDE 2018-FUN
831350AJ2
251018.69000000
PA
USD
246529.27000000
0.006167878863
Long
ABS-MBS
CORP
US
N
2
2031-06-15
Floating
1.99100000
N
N
N
N
N
N
IRB Holding Corp
549300HVW4WNWYBXN830
IRB Holding Corp
44988MAA3
466000.00000000
PA
USD
469961.00000000
0.011757883834
Long
DBT
CORP
US
N
2
2026-02-15
Fixed
6.75000000
N
N
N
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
Long: BL3X4YN63 IRS USD R V 12MUSCPI INF_SL3X4YN63 CCPINFLATIONZERO / Short: BL3X4YN63 IRS USD P F 2.42000 FIX_SL3X4YN63 CCPINFLATIONZERO
000000000
15000000.00000000
OU
Notional Amount
USD
1128421.65000000
0.028231812165
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
Inflation based on US CPI Urban Consumers NSA
2037-09-27
0.00000000
USD
0.00000000
USD
15000000.00000000
USD
1128421.65000000
N
N
N
iHeartCommunications Inc
54930076J6KDZL504O62
iHeartCommunications Inc
45174HBC0
439988.00000000
PA
USD
454265.61000000
0.011365203223
Long
DBT
CORP
US
N
2
2026-05-01
Fixed
6.37500000
N
N
N
N
N
N
GLP Capital L.P.
2549005PXW31DRW8EC44
GLP Capital L.P. 2020 Term Loan A2
36198MAE7
2494712.00000000
PA
USD
2482238.44000000
0.062102751561
Long
LON
CORP
US
N
3
2023-05-21
Floating
1.66200000
N
N
N
N
N
N
DBGS Mortgage Trust
N/A
DBGS 2021-W52 Mortgage Trust
23308LAJ3
9905000.00000000
PA
USD
9991533.05000000
0.249976668125
Long
ABS-MBS
CORP
US
N
2
2036-10-15
Floating
2.49200000
N
N
N
N
N
N
Tibco Software Inc.
04EEB871XLHVNY4RZJ65
Tibco Software Inc. 2020 Term Loan B3
88632NAP5
1835498.00000000
PA
USD
1826329.69000000
0.045692668834
Long
LON
CORP
US
N
2
2026-06-30
None
0.00000000
N
N
N
N
N
N
TCI-Flatiron CLO Ltd
N/A
TCI-Flatiron Clo 2017-1 Ltd
87231BAL7
4000000.00000000
PA
USD
4001861.04000000
0.100121961672
Long
ABS-CBDO
CORP
KY
N
2
2030-11-18
Floating
1.42900000
N
N
N
N
N
N
HUB International Ltd
549300JQT6ATTUNS5E06
HUB International Ltd
44332PAD3
2695000.00000000
PA
USD
2715751.50000000
0.067944979817
Long
DBT
CORP
US
N
2
2026-05-01
Fixed
7.00000000
N
N
N
N
N
N
Credit Suisse Mortgage Trust
N/A
CSMC 2021-NQM6
12662KAA7
6226662.83000000
PA
USD
6095664.43000000
0.152506514926
Long
ABS-MBS
CORP
US
N
2
2066-07-25
Variable
1.17400000
N
N
N
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
Long: BLWS00YG6 IRS USD R V 12MUSCPI SLWS00YG6_INF CCPINFLATIONZERO / Short: BLWS00YG6 IRS USD P F 2.37900 SLWS00YG6_FIX CCPINFLATIONZERO
000000000
15000000.00000000
OU
Notional Amount
USD
1270320.60000000
0.031781960731
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
Inflation based on US CPI Urban Consumers NSA
2028-09-21
0.00000000
USD
0.00000000
USD
15000000.00000000
USD
1270320.60000000
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
Long: BL2I4FXT7 IRS USD R V 12MUSCPI SL2I4FXT7_FLO CCPINFLATIONZERO / Short: BL2I4FXT7 IRS USD P F 2.46800 SL2I4FXT7_FIX CCPINFLATIONZERO
000000000
10000000.00000000
OU
Notional Amount
USD
951238.10000000
0.023798883478
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
Inflation based on US CPI Urban Consumers NSA
2031-04-28
0.00000000
USD
0.00000000
USD
10000000.00000000
USD
951238.10000000
N
N
N
Navient Student Loan Trust
N/A
Navient Private Education Refi Loan Trust 2020-F
63941XAA5
731536.25000000
PA
USD
718331.73000000
0.017971833909
Long
ABS-O
CORP
US
N
2
2069-07-15
Fixed
1.22000000
N
N
N
N
N
N
Morgan Stanley Capital I Trust
N/A
Morgan Stanley Capital I Trust 2012-STAR
61761BAA4
95371.09000000
PA
USD
95330.15000000
0.002385050737
Long
ABS-MBS
CORP
US
N
2
2034-08-05
Fixed
2.08400000
N
N
N
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
Long: BLP81PTY9 IRS USD R V 12MUSCPI SLP81PTY9_INF CCPINFLATIONZERO / Short: BLP81PTY9 IRS USD P F 1.91750 SLP81PTY9_FIX CCPINFLATIONZERO
000000000
10000000.00000000
OU
Notional Amount
USD
1418341.20000000
0.035485265941
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
Inflation based on US CPI Urban Consumers NSA
2029-06-14
0.00000000
USD
0.00000000
USD
10000000.00000000
USD
1418341.20000000
N
N
N
Madison Park Funding Ltd
N/A
Madison Park Funding XI Ltd
55818KAV3
2960735.45000000
PA
USD
2944223.99000000
0.073661098807
Long
ABS-CBDO
CORP
KY
N
2
2029-07-23
Floating
1.15900000
N
N
N
N
N
N
QORVO INC
254900YAUJV2EUEVBR11
Qorvo Inc
74739DAA2
1840000.00000000
PA
USD
1784901.20000000
0.044656175651
Long
DBT
CORP
US
N
2
2024-12-15
Fixed
1.75000000
N
N
N
N
N
N
CA MAGNUM HOLDINGS
549300ZRDHFR078MFZ78
CA Magnum Holdings
12674CAA1
2931000.00000000
PA
USD
2941991.25000000
0.073605238220
Long
DBT
CORP
MU
N
2
2026-10-31
Fixed
5.37500000
N
N
N
N
N
N
JP Morgan Chase Commercial Mortgage Sec Trust
N/A
JP Morgan Chase Commercial Mortgage Securities Trust 2020-MKST
46652DAJ4
5800000.00000000
PA
USD
5487352.74000000
0.137287255910
Long
ABS-MBS
CORP
US
N
2
2036-12-15
Floating
2.44100000
N
N
N
N
N
N
Ashtead Capital Inc
213800J1134IW58IC398
Ashtead Capital Inc
045054AF0
2696000.00000000
PA
USD
2776987.87000000
0.069477043382
Long
DBT
CORP
US
N
2
2027-08-15
Fixed
4.37500000
N
N
N
N
N
N
IHO Verwaltungs GmbH
529900JL0HDVGZMUJF32
IHO Verwaltungs GmbH
80627DAC0
2273296.00000000
PA
USD
2294414.92000000
0.057403623060
Long
DBT
CORP
DE
N
2
2026-09-15
Fixed
4.75000000
N
N
Y
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
Long: BL942DIC2 IRS USD R V 12MUSCPI SL942DIC2_FLO CCPINFLATIONZERO / Short: BL942DIC2 IRS USD P F 2.58500 SL942DIC2_FIX CCPINFLATIONZERO
000000000
15000000.00000000
OU
Notional Amount
USD
1142003.10000000
0.028571604427
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
Inflation based on US CPI Urban Consumers NSA
2036-05-12
0.00000000
USD
0.00000000
USD
15000000.00000000
USD
1142003.10000000
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
Long: BL4H4WBK3 IRS USD R V 12MUSCPI INF_SL4H4WBK3 CCPINFLATIONZERO / Short: BL4H4WBK3 IRS USD P F 2.48125 FIX_SL4H4WBK3 CCPINFLATIONZERO
000000000
15000000.00000000
OU
Notional Amount
USD
1131213.60000000
0.028301663543
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
Inflation based on US CPI Urban Consumers NSA
2036-08-12
0.00000000
USD
0.00000000
USD
15000000.00000000
USD
1131213.60000000
N
N
N
Goldman Sachs Bank USA
KD3XUN7C6T14HNAYLU02
Long: SL603Z6L6 IRS USD R V 12MUSCPI SL603Z6L6_INF INFLATIONZERO / Short: SL603Z6L6 IRS USD P F 1.64900 SL603Z6L6_FIX INFLATIONZERO
000000000
5000000.00000000
OU
Notional Amount
USD
653295.45000000
0.016344700965
N/A
DIR
US
N
2
Goldman Sachs Bank USA
KD3XUN7C6T14HNAYLU02
N/A
N/A
Y
Inflation based on US CPI Urban Consumers NSA
2024-03-04
0.00000000
USD
0.00000000
USD
5000000.00000000
USD
653295.45000000
N
N
N
Intesa Sanpaolo SpA
2W8N8UU78PMDQKZENC08
Intesa Sanpaolo SpA
46115HAW7
2302000.00000000
PA
USD
2428112.35000000
0.060748579026
Long
DBT
CORP
IT
N
2
2026-01-15
Fixed
5.71000000
N
N
N
N
N
N
Netflix Inc
549300Y7VHGU0I7CE873
Netflix Inc
64110LAN6
8329000.00000000
PA
USD
8805793.61000000
0.220310830762
Long
DBT
CORP
US
N
2
2026-11-15
Fixed
4.37500000
N
N
N
N
N
N
MICROCHIP TECHNOLOGY INC
5493007PTFULNYZJ1R12
Microchip Technology Inc
595017AP9
4111000.00000000
PA
USD
4230009.38000000
0.105829970802
Long
DBT
CORP
US
N
2
2023-06-01
Fixed
4.33300000
N
N
N
N
N
N
LSTAR Commercial Mortgage Trust
N/A
LSTAR Commercial Mortgage Trust 2017-5
54910TAC6
56677.82000000
PA
USD
56666.59000000
0.001417732923
Long
ABS-MBS
CORP
US
N
2
2050-03-10
Fixed
2.77600000
N
N
N
N
N
N
DBWF Mortgage Trust
N/A
DBWF Mortgage Trust
23306NAE2
513418.94000000
PA
USD
5108.52000000
0.000127809296
Long
ABS-MBS
CORP
US
N
2
2034-06-10
Variable
0.42300000
N
N
N
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
Long: BL9J06BC3 IRS USD R V 12MUSCPI SL9J06BC3_FLO CCPINFLATIONZERO / Short: BL9J06BC3 IRS USD P F 2.45250 SL9J06BC3_FIX CCPINFLATIONZERO
000000000
10000000.00000000
OU
Notional Amount
USD
1001549.80000000
0.025057624361
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
Inflation based on US CPI Urban Consumers NSA
2036-04-19
0.00000000
USD
0.00000000
USD
10000000.00000000
USD
1001549.80000000
N
N
N
Slide 2018-Fun
N/A
SLIDE 2018-FUN
831350AA1
3191259.69000000
PA
USD
3161078.35000000
0.079086545544
Long
ABS-MBS
CORP
US
N
2
2031-06-15
Floating
1.34100000
N
N
N
N
N
N
GOLDMAN SACHS GROUP INC
784F5XWPLTWKTBV3E584
Goldman Sachs Group Inc/The
38141GXL3
2716000.00000000
PA
USD
2694509.68000000
0.067413533906
Long
DBT
CORP
US
N
2
2023-11-17
Fixed
0.62700000
N
N
N
N
N
N
SALLY HOLDINGS/SALLY CAP
N/A
Sally Holdings LLC / Sally Capital Inc
79546VAM8
1470000.00000000
PA
USD
1543485.30000000
0.038616227426
Long
DBT
CORP
US
N
2
2025-04-30
Fixed
8.75000000
N
N
N
N
N
N
Standard Chartered PLC
U4LOSYZ7YG4W3S5F2G91
Standard Chartered PLC
853254AL4
3559000.00000000
PA
USD
3708374.43000000
0.092779264156
Long
DBT
CORP
GB
N
2
2024-01-26
Fixed
5.20000000
N
N
N
N
N
N
GRANITE US HOLDINGS CORP
N/A
Granite US Holdings Corp
38748YAA0
3356000.00000000
PA
USD
3584375.80000000
0.089676961014
Long
DBT
CORP
US
N
2
2027-10-01
Fixed
11.00000000
N
N
N
N
N
N
ARES CLO Ltd
549300S7Y78W7UJHZZ39
ARES L CLO Ltd
04018LAJ4
4180000.00000000
PA
USD
4148023.00000000
0.103778765847
Long
ABS-CBDO
CORP
KY
N
2
2032-01-15
Floating
1.29100000
N
N
N
N
N
N
BANK OF AMERICA CORP
9DJT3UXIJIZJI4WXO774
Bank of America Corp
06051GJK6
4724000.00000000
PA
USD
4469572.87000000
0.111823573859
Long
DBT
CORP
US
N
2
2026-10-24
Fixed
1.19700000
N
N
N
N
N
N
HCA Inc
L3CJ6J7LJ2DX62FTXD46
HCA Inc
404119BR9
2467000.00000000
PA
USD
2615340.71000000
0.065432817309
Long
DBT
CORP
US
N
2
2025-02-01
Fixed
5.37500000
N
N
N
N
N
N
Ally Financial Inc
549300JBN1OSM8YNAI90
Ally Financial Inc
02005NAV2
1504000.00000000
PA
USD
1595092.89000000
0.039907389986
Long
DBT
CORP
US
N
2
2024-09-30
Fixed
5.12500000
N
N
N
N
N
N
CHS/COMMUNITY HEALTH SYS
5493007X5NC5XI1BB106
CHS/Community Health Systems Inc
12543DBC3
2375000.00000000
PA
USD
2467435.00000000
0.061732386514
Long
DBT
CORP
US
N
2
2026-03-15
Fixed
8.00000000
N
N
N
N
N
N
CNO Financial Group Inc
11XPYHB76MPM4Y4P2897
CNO Financial Group Inc
12621EAK9
2103000.00000000
PA
USD
2252239.29000000
0.056348437293
Long
DBT
CORP
US
N
2
2025-05-30
Fixed
5.25000000
N
N
N
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
Long: BL3H6GN32 IRS USD R V 12MUSCPI SL3H6GN32_INF CCPINFLATIONZERO / Short: BL3H6GN32 IRS USD P F 1.88750 SL3H6GN32_FIX CCPINFLATIONZERO
000000000
5000000.00000000
OU
Notional Amount
USD
765804.95000000
0.019159559286
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
Inflation based on US CPI Urban Consumers NSA
2029-10-02
0.00000000
USD
0.00000000
USD
5000000.00000000
USD
765804.95000000
N
N
N
AIB Group PLC
635400AKJBGNS5WNQL34
AIB Group PLC
00135TAA2
4165000.00000000
PA
USD
4315719.69000000
0.107974344204
Long
DBT
CORP
IE
N
2
2023-10-12
Fixed
4.75000000
N
N
N
N
N
N
ENVIVA PARTNERS LP/FIN C
N/A
Enviva Partners LP / Enviva Partners Finance Corp
29413XAD9
1438000.00000000
PA
USD
1484512.11000000
0.037140786022
Long
DBT
CORP
US
N
2
2026-01-15
Fixed
6.50000000
N
N
N
N
N
N
BNP PARIBAS
R0MUWSFPU8MPRO8K5P83
BNP Paribas SA
09659W2D5
934000.00000000
PA
USD
953238.65000000
0.023848934939
Long
DBT
CORP
FR
N
2
2025-01-09
Fixed
3.37500000
N
N
N
N
N
N
Intesa Sanpaolo SpA
2W8N8UU78PMDQKZENC08
Intesa Sanpaolo SpA
46115HAT4
8728000.00000000
PA
USD
8989429.70000000
0.224905194579
Long
DBT
CORP
IT
N
2
2024-06-26
Fixed
5.01700000
N
N
N
N
N
N
Barclays Commercial Mortgage Securities LLC
N/A
BBCMS 2018-TALL Mortgage Trust
05548WAE7
3350000.00000000
PA
USD
3238081.19000000
0.081013068059
Long
ABS-MBS
CORP
US
N
2
2037-03-15
Floating
1.31200000
N
N
N
N
N
N
CMC Materials, Inc.
31F6V1MN00ZW3XWB4J69
CMC Materials, Inc. 2019 Term Loan B1
12709QAG6
3841371.51000000
PA
USD
3834168.94000000
0.095926498151
Long
LON
CORP
US
N
2
2025-11-17
Floating
2.25000000
N
N
N
N
N
N
Ford Motor Company
20S05OYHG0MQM4VUIC57
Ford Motor Company Unsecured Term Loan
000000000
1194154.00000000
PA
USD
1185197.85000000
0.029652287404
Long
LON
CORP
US
N
2
2022-12-31
Floating
1.92000000
N
N
N
N
N
N
Credit Suisse Mortgage Trust
N/A
CSMC 2021-NQM3
12660LAA7
1076274.13000000
PA
USD
1043955.12000000
0.026118556708
Long
ABS-MBS
CORP
US
N
2
2066-04-25
Variable
1.01500000
N
N
N
N
N
N
Suncor Energy Inc
549300W70ZOQDVLCHY06
Suncor Energy Inc
71644EAE2
1213000.00000000
PA
USD
1440716.11000000
0.036045060461
Long
DBT
CORP
CA
N
2
2026-06-15
Fixed
7.87500000
N
N
N
N
N
N
DaVita, Inc.
M2XHYMU3TZNEZURC6H66
DaVita, Inc. 2020 Term Loan B
23918VAY0
8083400.00000000
PA
USD
8012225.66000000
0.200456673138
Long
LON
CORP
US
N
2
2026-08-12
Floating
1.95900000
N
N
N
N
N
N
LIVE NATION ENTERTAINMEN
5493007B9BM9ZXJINO78
Live Nation Entertainment Inc
538034AK5
3644000.00000000
PA
USD
3683828.92000000
0.092165163720
Long
DBT
CORP
US
N
2
2024-11-01
Fixed
4.87500000
N
N
N
N
N
N
ABN AMRO Bank NV
BFXS5XCH7N0Y05NIXW11
ABN AMRO Bank NV
000000000
2533000.00000000
PA
USD
2553380.52000000
0.063882644600
Long
DBT
CORP
NL
Y
2
2022-04-27
Fixed
6.25000000
N
N
N
N
N
N
MICROCHIP TECHNOLOGY INC
5493007PTFULNYZJ1R12
Microchip Technology Inc
595017BA1
2845000.00000000
PA
USD
2920450.74000000
0.073066319428
Long
DBT
CORP
US
N
2
2025-09-01
Fixed
4.25000000
N
N
N
N
N
N
PARSLEY ENERGY LLC/FINAN
N/A
Parsley Energy LLC / Parsley Finance Corp
701885AH8
3081000.00000000
PA
USD
3204871.54000000
0.080182200802
Long
DBT
CORP
US
N
2
2027-10-15
Fixed
5.62500000
N
N
N
N
N
N
Deutsche Bank Aktiengesellschaft
7LTWFZYICNSX8D621K86
Long: SL4Q2ZCQ4 IRS USD R V 12MUSCPI SL4Q2ZCQ4_INF INFLATIONZERO / Short: SL4Q2ZCQ4 IRS USD P F 2.51750 SL4Q2ZCQ4_FIX INFLATIONZERO
000000000
15000000.00000000
OU
Notional Amount
USD
256674.60000000
0.006421703354
N/A
DIR
US
N
2
Deutsche Bank Aktiengesellschaft
7LTWFZYICNSX8D621K86
N/A
N/A
Y
Inflation based on US CPI Urban Consumers NSA
2026-04-17
0.00000000
USD
0.00000000
USD
15000000.00000000
USD
256674.60000000
N
N
N
Extended Stay America Trust
N/A
Extended Stay America Trust 2021-ESH
30227FAL4
5466357.25000000
PA
USD
5407361.59000000
0.135285969315
Long
ABS-MBS
CORP
US
N
2
2038-07-15
Floating
3.04200000
N
N
N
N
N
N
INTERNATIONAL GAME TECH
549300UQ6KHRCZDRGZ76
International Game Technology PLC
460599AC7
404000.00000000
PA
USD
429724.70000000
0.010751217874
Long
DBT
CORP
GB
N
2
2025-02-15
Fixed
6.50000000
N
N
N
N
N
N
Barclays PLC
213800LBQA1Y9L22JB70
Barclays PLC
06738EAC9
2325000.00000000
PA
USD
2410698.94000000
0.060312915531
Long
DBT
CORP
GB
N
2
2024-09-11
Fixed
4.37500000
N
N
N
N
N
N
Charter Communications Operating, LLC
549300TPZNMN50BJ3745
Charter Communications Operating, LLC 2017 Term Loan A2
16117LBR9
2538653.88000000
PA
USD
2532307.25000000
0.063355415616
Long
LON
CORP
US
N
2
2023-03-31
Floating
1.71000000
N
N
N
N
N
N
Bank of America, National Association
B4TYDEB6GKMZO031MB27
Long: SL6K5U4K5 IRS USD R V 12MUSCPI SL6K5U4K5_INF INFLATIONZERO / Short: SL6K5U4K5 IRS USD P F 2.36000 SL6K5U4K5_FIX INFLATIONZERO
000000000
10000000.00000000
OU
Notional Amount
USD
906060.30000000
0.022668586870
N/A
DIR
US
N
2
Bank of America, National Association
B4TYDEB6GKMZO031MB27
N/A
N/A
Y
Inflation based on US CPI Urban Consumers NSA
2029-02-15
0.00000000
USD
0.00000000
USD
10000000.00000000
USD
906060.30000000
N
N
N
SCF Equipment Trust Llc
N/A
SCF Equipment Leasing 2022-1 LLC
784033AS1
7240000.00000000
PA
USD
7247725.08000000
0.181329747689
Long
ABS-O
CORP
US
N
2
2029-07-20
Fixed
2.92000000
N
N
N
N
N
N
CFCRE Commercial Mortgage Trust
N/A
CFCRE Commercial Mortgage Trust 2016-C6
12532ABD0
2631631.03000000
PA
USD
110753.77000000
0.002770931974
Long
ABS-MBS
CORP
US
N
2
2049-11-10
Variable
1.09800000
N
N
N
N
N
N
Kinross Gold Corp
549300UEBMAQDN0K0R06
Kinross Gold Corp
496902AN7
1591000.00000000
PA
USD
1685275.36000000
0.042163651689
Long
DBT
CORP
CA
N
2
2024-03-15
Fixed
5.95000000
N
N
N
N
N
N
GENERAL MOTORS FINL CO
5493008B6JBRUJ90QL97
General Motors Financial Co Inc
37045XCX2
1378000.00000000
PA
USD
1378255.51000000
0.034482368070
Long
DBT
CORP
US
N
2
2025-06-20
Fixed
2.75000000
N
N
N
N
N
N
BAIDU INC
254900AL64IANZYI1E02
Baidu Inc
056752AQ1
200000.00000000
PA
USD
202157.64000000
0.005057751701
Long
DBT
CORP
KY
N
2
2025-04-07
Fixed
3.07500000
N
N
N
N
N
N
CONTINENTAL RESOURCES
XXRTID9RYWOZ0UPIVR53
Continental Resources Inc/OK
212015AN1
7037000.00000000
PA
USD
7186465.88000000
0.179797112944
Long
DBT
CORP
US
N
2
2024-06-01
Fixed
3.80000000
N
N
N
N
N
N
Bank of America, National Association
B4TYDEB6GKMZO031MB27
Long: SL1O55ZD9 IRS USD R V 12MUSCPI SL1O55ZD9_INF INFLATIONZERO / Short: SL1O55ZD9 IRS USD P F 2.30125 SL1O55ZD9_FIX INFLATIONZERO
000000000
5000000.00000000
OU
Notional Amount
USD
481926.60000000
0.012057249387
N/A
DIR
US
N
2
Bank of America, National Association
B4TYDEB6GKMZO031MB27
N/A
N/A
Y
Inflation based on US CPI Urban Consumers NSA
2029-03-28
0.00000000
USD
0.00000000
USD
5000000.00000000
USD
481926.60000000
N
N
N
SREIT Trust
N/A
SREIT Trust 2021-MFP
78472UAA6
11500000.00000000
PA
USD
11284491.15000000
0.282324993077
Long
ABS-MBS
CORP
US
N
2
2038-11-15
Floating
0.92200000
N
N
N
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
Long: BL31158S8 IRS USD R V 12MUSCPI SL31158S8_FLO CCPINFLATIONZERO / Short: BL31158S8 IRS USD P F 2.56000 SL31158S8_FIX CCPINFLATIONZERO
000000000
20000000.00000000
OU
Notional Amount
USD
1639193.20000000
0.041010729034
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
Inflation based on US CPI Urban Consumers NSA
2031-06-02
0.00000000
USD
0.00000000
USD
20000000.00000000
USD
1639193.20000000
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
Long: BLA211113 IRS USD R V 12MUSCPI SLA211113_INF CCPINFLATIONZERO / Short: BLA211113 IRS USD P F 2.03000 SLA211113_FIX CCPINFLATIONZERO
000000000
15000000.00000000
OU
Notional Amount
USD
881128.20000000
0.022044814396
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
Inflation based on US CPI Urban Consumers NSA
2022-05-03
0.00000000
USD
0.00000000
USD
15000000.00000000
USD
881128.20000000
N
N
N
BX Trust
N/A
BX 2021-MFM1
05608VAA4
140000.00000000
PA
USD
136709.01000000
0.003420302235
Long
ABS-MBS
CORP
US
N
2
2034-01-15
Floating
0.89100000
N
N
N
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
Long: BLA223HC7 IRS USD R V 12MUSCPI INF_SLA223HC7 CCPINFLATIONZERO / Short: BLA223HC7 IRS USD P F 2.37700 FIX_SLA223HC7 CCPINFLATIONZERO
000000000
20000000.00000000
OU
Notional Amount
USD
1930467.40000000
0.048298074596
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
Inflation based on US CPI Urban Consumers NSA
2034-07-21
0.00000000
USD
0.00000000
USD
20000000.00000000
USD
1930467.40000000
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
Long: BL1T53PO0 IRS USD R V 12MUSCPI INF_SL1T53PO0 CCPINFLATIONZERO / Short: BL1T53PO0 IRS USD P F 2.54000 FIX_SL1T53PO0 CCPINFLATIONZERO
000000000
20000000.00000000
OU
Notional Amount
USD
1207106.40000000
0.030200414134
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
Inflation based on US CPI Urban Consumers NSA
2034-09-15
0.00000000
USD
0.00000000
USD
20000000.00000000
USD
1207106.40000000
N
N
N
HMH Trust
N/A
HMH Trust 2017-NSS
40390AAA9
974000.00000000
PA
USD
973011.78000000
0.024343635915
Long
ABS-MBS
CORP
US
N
2
2031-07-05
Fixed
3.06200000
N
N
N
N
N
N
WEIBO CORP
549300Q9ID4640FE0422
Weibo Corp
948596AD3
1000000.00000000
PA
USD
1009271.98000000
0.025250824426
Long
DBT
CORP
KY
N
2
2024-07-05
Fixed
3.50000000
N
N
N
N
N
N
Diamond Resorts Owner Trust
N/A
Diamond Resorts Owner Trust 2018-1
252724AB5
350655.98000000
PA
USD
355484.58000000
0.008893815436
Long
ABS-O
CORP
US
N
2
2031-01-21
Fixed
4.19000000
N
N
N
N
N
N
FACTSET RESEARCH SYSTEMS
549300ZSJE7NBK6K9P30
FactSet Research Systems Inc
303075AA3
2005000.00000000
PA
USD
2020362.67000000
0.050547150885
Long
DBT
CORP
US
N
2
2027-03-01
Fixed
2.90000000
N
N
N
N
N
N
Bank of America, National Association
B4TYDEB6GKMZO031MB27
Long: SL6V41MJ9 IRS USD R V 12MUSCPI SL6V41MJ9_INF INFLATIONZERO / Short: SL6V41MJ9 IRS USD P F 2.37000 SL6V41MJ9_FIX INFLATIONZERO
000000000
5000000.00000000
OU
Notional Amount
USD
446383.65000000
0.011168005647
N/A
DIR
US
N
2
Bank of America, National Association
B4TYDEB6GKMZO031MB27
N/A
N/A
Y
Inflation based on US CPI Urban Consumers NSA
2029-01-26
0.00000000
USD
0.00000000
USD
5000000.00000000
USD
446383.65000000
N
N
N
NATWEST GROUP PLC
2138005O9XJIJN4JPN90
NatWest Group PLC
780097BD2
9884000.00000000
PA
USD
10128078.96000000
0.253392889786
Long
DBT
CORP
GB
N
2
2023-09-12
Fixed
3.87500000
N
N
N
N
N
N
AMERICAN TOWER CORPORATION
5493006ORUSIL88JOE18
American Tower Corporation 2021 First Lien Delayed Draw Term loan
000000000
4455475.00000000
PA
USD
4430435.23000000
0.110844395109
Long
LON
CORP
US
N
3
2023-12-08
Floating
1.31300000
N
N
N
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
Long: BL4Q4AK39 IRS USD R V 12MUSCPI SL4Q4AK39_INF CCPINFLATIONZERO / Short: BL4Q4AK39 IRS USD P F 2.38400 SL4Q4AK39_FIX CCPINFLATIONZERO
000000000
10000000.00000000
OU
Notional Amount
USD
846646.80000000
0.021182129417
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
Inflation based on US CPI Urban Consumers NSA
2028-10-01
0.00000000
USD
0.00000000
USD
10000000.00000000
USD
846646.80000000
N
N
N
GOLDMAN SACHS GROUP INC
784F5XWPLTWKTBV3E584
Goldman Sachs Group Inc/The
38141GWQ3
320000.00000000
PA
USD
325646.44000000
0.008147299483
Long
DBT
CORP
US
N
2
2025-09-29
Fixed
3.27200000
N
N
N
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
Long: BLF030QK3 IRS USD R V 12MUSCPI SLF030QK3_INF CCPINFLATIONZERO / Short: BLF030QK3 IRS USD P F 2.37000 SLF030QK3_FIX CCPINFLATIONZERO
000000000
5000000.00000000
OU
Notional Amount
USD
523758.10000000
0.013103825417
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
Inflation based on US CPI Urban Consumers NSA
2038-02-28
0.00000000
USD
0.00000000
USD
5000000.00000000
USD
523758.10000000
N
N
N
Starwood Mortgage Residential Trust
N/A
Starwood Mortgage Residential Trust 2020-1
85573AAA3
142732.42000000
PA
USD
142221.88000000
0.003558227903
Long
ABS-MBS
CORP
US
N
2
2050-02-25
Variable
2.27500000
N
N
N
N
N
N
Dell Equipment Finance Trust
N/A
Dell Equipment Finance Trust 2021-2
24702VAC6
2760000.00000000
PA
USD
2729539.26000000
0.068289933718
Long
ABS-O
CORP
US
N
2
2026-12-22
Fixed
0.33000000
N
N
N
N
N
N
NATWEST GROUP PLC
2138005O9XJIJN4JPN90
Natwest Group PLC
780099CH8
4623000.00000000
PA
USD
4872378.07000000
0.121901296797
Long
DBT
CORP
GB
N
2
2024-05-28
Fixed
5.12500000
N
N
N
N
N
N
Standard Chartered PLC
U4LOSYZ7YG4W3S5F2G91
Standard Chartered PLC
853254BJ8
2377000.00000000
PA
USD
2417164.91000000
0.060474686666
Long
DBT
CORP
GB
N
2
2024-03-15
Fixed
3.88500000
N
N
N
N
N
N
Mountain View CLO Ltd
549300RHYK4B5L898W39
Mountain View CLO X Ltd
62432CAQ4
229352.31000000
PA
USD
229409.48000000
0.005739561402
Long
ABS-CBDO
CORP
KY
N
2
2027-10-13
Floating
1.06400000
N
N
N
N
N
N
BBVA BANCOMER SA TEXAS
549300WIWQK5Q9MCUN92
BBVA Bancomer SA/Texas
05533UAD0
2250000.00000000
PA
USD
2322990.00000000
0.058118538705
Long
DBT
CORP
MX
N
2
2024-04-10
Fixed
4.37500000
N
N
N
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
Long: BL5I1O1M8 IRS USD R V 12MUSCPI INF_SL5I1O1M8 CCPINFLATIONZERO / Short: BL5I1O1M8 IRS USD P F 2.50150 FIX_SL5I1O1M8 CCPINFLATIONZERO
000000000
20000000.00000000
OU
Notional Amount
USD
1276230.20000000
0.031929812128
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
Inflation based on US CPI Urban Consumers NSA
2034-09-29
0.00000000
USD
0.00000000
USD
20000000.00000000
USD
1276230.20000000
N
N
N
Barclays Bank PLC
G5GSEF7VJP5I7OUK5573
Long: SL3A2HFF1 IRS USD R V 12MUSCPI SL3A2HFF1_INF INFLATIONZERO / Short: SL3A2HFF1 IRS USD P F 1.96000 SL3A2HFF1_FIX INFLATIONZERO
000000000
10000000.00000000
OU
Notional Amount
USD
944943.10000000
0.023641389817
N/A
DIR
GB
N
2
Barclays Bank PLC
G5GSEF7VJP5I7OUK5573
N/A
N/A
Y
Inflation based on US CPI Urban Consumers NSA
2025-02-05
0.00000000
USD
0.00000000
USD
10000000.00000000
USD
944943.10000000
N
N
N
Barclays Bank PLC
G5GSEF7VJP5I7OUK5573
Long: SL3X3E808 IRS USD R V 12MUSCPI SL3X3E808_INF INFLATIONZERO / Short: SL3X3E808 IRS USD P F 2.20500 SL3X3E808_FIX INFLATIONZERO
000000000
15000000.00000000
OU
Notional Amount
USD
1326147.90000000
0.033178695584
N/A
DIR
US
N
2
Barclays Bank PLC
G5GSEF7VJP5I7OUK5573
N/A
N/A
Y
Inflation based on US CPI Urban Consumers NSA
2024-12-09
0.00000000
USD
0.00000000
USD
15000000.00000000
USD
1326147.90000000
N
N
N
BX Trust
N/A
BX Commercial Mortgage Trust 2021-ACNT
05609QAA4
6750000.00000000
PA
USD
6686379.23000000
0.167285519987
Long
ABS-MBS
CORP
US
N
2
2038-11-15
Floating
1.04200000
N
N
N
N
N
N
WF-RBS Commercial Mortgage Trust
N/A
WFRBS Commercial Mortgage Trust 2012-C7
92936TAF9
5642530.78000000
PA
USD
560.87000000
0.000014032322
Long
ABS-MBS
CORP
US
N
2
2045-06-15
Variable
1.17900000
N
N
N
N
N
N
ATMOS ENERGY CORP
QVLWEGTD2S8GJMO8D383
Atmos Energy Corp
049560AU9
10302000.00000000
PA
USD
10188550.36000000
0.254905814681
Long
DBT
CORP
US
N
2
2023-03-09
Fixed
0.62500000
N
N
N
N
N
N
Ballyrock Ltd
N/A
Ballyrock CLO 2019-1 Ltd
05875JAJ8
10000000.00000000
PA
USD
9977355.40000000
0.249621959625
Long
ABS-CBDO
CORP
KY
N
2
2032-07-15
Floating
1.27100000
N
N
N
N
N
N
PERUSAHAAN PENERBIT SBSN
254900G208H6Q0L5B953
Perusahaan Penerbit SBSN Indonesia III
71567PAJ9
405000.00000000
PA
USD
412887.38000000
0.010329967488
Long
DBT
NUSS
ID
N
2
2023-03-01
Fixed
3.75000000
N
N
N
N
N
N
Bank of America Corporation
9DJT3UXIJIZJI4WXO774
Long: SL514DCF9 IRS USD R V 12MUSCPI SL514DCF9_INF INFLATIONZERO / Short: SL514DCF9 IRS USD P F 2.14750 SL514DCF9_FIX INFLATIONZERO
000000000
10000000.00000000
OU
Notional Amount
USD
1248959.50000000
0.031247530571
N/A
DIR
AU
N
2
Bank of America Corporation
9DJT3UXIJIZJI4WXO774
N/A
N/A
Y
Inflation based on US CPI Urban Consumers NSA
2029-07-31
0.00000000
USD
0.00000000
USD
10000000.00000000
USD
1248959.50000000
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
Long: BLP82DHM4 IRS USD R V 12MUSCPI SLP82DHM4_FLO CCPINFLATIONZERO / Short: BLP82DHM4 IRS USD P F 2.48000 SLP82DHM4_FIX CCPINFLATIONZERO
000000000
5000000.00000000
OU
Notional Amount
USD
483701.15000000
0.012101646588
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
Inflation based on US CPI Urban Consumers NSA
2033-04-01
0.00000000
USD
0.00000000
USD
5000000.00000000
USD
483701.15000000
N
N
N
Slide 2018-Fun
N/A
SLIDE 2018-FUN
831350AG8
319310.54000000
PA
USD
316134.36000000
0.007909318179
Long
ABS-MBS
CORP
US
N
2
2031-06-15
Floating
1.69100000
N
N
N
N
N
N
Hudsons Bay Simon JV Trust
N/A
Hudsons Bay Simon JV Trust 2015-HBS
44422PAL6
1961000.00000000
PA
USD
1660768.74000000
0.041550524236
Long
ABS-MBS
CORP
US
N
2
2034-08-05
Floating
2.91100000
N
N
N
N
N
N
JP Morgan Chase Commercial Mortgage Sec Trust
N/A
JP Morgan Chase Commercial Mortgage Securities Trust 2012-C6
46634SAG0
253000.00000000
PA
USD
253410.06000000
0.006340028317
Long
ABS-MBS
CORP
US
N
2
2045-05-15
Variable
4.81900000
N
N
N
N
N
N
Ally Financial Inc
549300JBN1OSM8YNAI90
Ally Financial Inc
02005NBH2
6186000.00000000
PA
USD
6370439.30000000
0.159381066223
Long
DBT
CORP
US
N
2
2024-05-21
Fixed
3.87500000
N
N
N
N
N
N
AVIATION CAPITAL GROUP
549300ODEK8HY3445C77
Aviation Capital Group LLC
05369AAC5
9000000.00000000
PA
USD
9127871.82000000
0.228368857233
Long
DBT
CORP
US
N
2
2023-05-01
Fixed
3.87500000
N
N
N
N
N
N
HYUNDAI CAPITAL AMERICA
549300RIPPWJB5Z0FK07
Hyundai Capital America
44891CBB8
6181000.00000000
PA
USD
6308459.51000000
0.157830403144
Long
DBT
CORP
US
Y
2
2024-06-20
Fixed
3.40000000
N
N
N
N
N
N
TransAlta Corp
GJZNVO2UY6DNFNIYH321
TransAlta Corp
89346DAF4
1861000.00000000
PA
USD
1872510.29000000
0.046848054345
Long
DBT
CORP
CA
N
2
2022-11-15
Fixed
4.50000000
N
N
N
N
N
N
SK HYNIX INC
988400XAIK6XISWQV045
SK Hynix Inc
78392BAB3
316000.00000000
PA
USD
301695.20000000
0.007548066999
Long
DBT
CORP
KR
N
2
2026-01-19
Fixed
1.50000000
N
N
N
N
N
N
PFP III
N/A
PFP 2021-7 Ltd
69290LAA5
5159640.25000000
PA
USD
5127392.50000000
0.128281464607
Long
ABS-CBDO
CORP
KY
N
2
2038-04-14
Floating
1.04100000
N
N
N
N
N
N
ReadyCap Commercial Mortgage Trust
N/A
ReadyCap Commercial Mortgage Trust 2018-4
75575KAA0
657984.33000000
PA
USD
660504.67000000
0.016525067360
Long
ABS-MBS
CORP
US
N
2
2051-02-27
Fixed
3.39000000
N
N
N
N
N
N
AAdvantage Loyalty IP Ltd.
N/A
AAdvantage Loyalty IP Ltd. 2021 Term Loan
02376CBJ3
820313.00000000
PA
USD
837231.96000000
0.020946580946
Long
LON
CORP
KY
N
2
2028-04-20
Floating
5.50000000
N
N
N
N
N
N
JP Morgan Chase Commercial Mortgage Sec Trust
N/A
J.P. Morgan Chase Commercial Mortgage Securities Trust 2017-MARK
46648GAG0
452000.00000000
PA
USD
449918.54000000
0.011256444531
Long
ABS-MBS
CORP
US
N
2
2032-06-05
Variable
4.03600000
N
N
N
N
N
N
Cosmopolitan Hotel Trust
N/A
CHT 2017-COSMO Mortgage Trust
12546DAQ0
2800000.00000000
PA
USD
2793278.60000000
0.069884618714
Long
ABS-MBS
CORP
US
N
2
2036-11-15
Floating
3.93200000
N
N
N
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
Long: BLP30N2P4 IRS USD R V 12MUSCPI SLP30N2P4_FLO CCPINFLATIONZERO / Short: BLP30N2P4 IRS USD P F 2.55900 SLP30N2P4_FIX CCPINFLATIONZERO
000000000
20000000.00000000
OU
Notional Amount
USD
1630255.00000000
0.040787105547
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
Inflation based on US CPI Urban Consumers NSA
2030-06-01
0.00000000
USD
0.00000000
USD
20000000.00000000
USD
1630255.00000000
N
N
N
Puget Energy Inc
SYBSJ96YIDMIUY7WDR33
Puget Energy Inc
745310AH5
4587000.00000000
PA
USD
4746153.35000000
0.118743299442
Long
DBT
CORP
US
N
2
2025-05-15
Fixed
3.65000000
N
N
N
N
N
N
ACREC 2021-FL1 Ltd
N/A
ACREC 2021-FL1 Ltd
00500RAA3
8500000.00000000
PA
USD
8464769.20000000
0.211778792151
Long
ABS-CBDO
CORP
KY
N
2
2036-10-16
Floating
1.28700000
N
N
N
N
N
N
KIA CORP
988400V8MJK9N7OI5X76
Kia Corp
493738AE8
5000000.00000000
PA
USD
5072154.55000000
0.126899474613
Long
DBT
CORP
KR
N
2
2023-04-25
Fixed
3.00000000
N
N
N
N
N
N
Invitation Homes Operating Partnership LP
549300147YMUQB3GW319
Invitation Homes Operating Partnership LP 2020 Term Loan A
46187CAF8
2245570.00000000
PA
USD
2245570.00000000
0.056181579326
Long
LON
CORP
US
N
2
2025-01-31
Floating
1.13700000
N
N
N
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
Long: BL3H5Y773 IRS USD R V 12MUSCPI SL3H5Y773_INF CCPINFLATIONZERO / Short: BL3H5Y773 IRS USD P F 1.75600 SL3H5Y773_FIX CCPINFLATIONZERO
000000000
10000000.00000000
OU
Notional Amount
USD
1102328.70000000
0.027578996559
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
Inflation based on US CPI Urban Consumers NSA
2024-11-15
0.00000000
USD
0.00000000
USD
10000000.00000000
USD
1102328.70000000
N
N
N
MPT OPER PARTNERSP/FINL
N/A
MPT Operating Partnership LP / MPT Finance Corp
55342UAH7
8600000.00000000
PA
USD
8807389.00000000
0.220350745585
Long
DBT
CORP
US
N
2
2027-10-15
Fixed
5.00000000
N
N
N
N
N
N
IHS Markit Ltd
549300HLPTRASHS0E726
IHS Markit Ltd
44962LAB3
1304000.00000000
PA
USD
1386086.88000000
0.034678299942
Long
DBT
CORP
BM
N
2
2025-02-15
Fixed
4.75000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Non Gold Pool
31326GDC7
228256.35000000
PA
USD
236099.99000000
0.005906950269
Long
ABS-MBS
USGSE
US
N
2
2043-11-01
Floating
1.89000000
N
N
N
N
N
N
Newark BSL CLO 2 Ltd.
N/A
Newark BSL CLO 2 Ltd
65023PAN0
3000000.00000000
PA
USD
3003744.12000000
0.075150224020
Long
ABS-CBDO
CORP
KY
N
2
2030-07-25
Floating
1.22800000
N
N
N
N
N
N
Bank of America, National Association
B4TYDEB6GKMZO031MB27
Long: SL7C2JZS9 IRS USD R F 2.06875 SL7C2JZS9_FIX INFLATIONZERO / Short: SL7C2JZS9 IRS USD P V 12MUSCPI SL7C2JZS9_INF INFLATIONZERO
000000000
15000000.00000000
OU
Notional Amount
USD
-1078197.00000000
-0.02697524917
N/A
DIR
US
N
2
Bank of America, National Association
B4TYDEB6GKMZO031MB27
N/A
N/A
Y
Inflation based on US CPI Urban Consumers NSA
2022-11-10
0.00000000
USD
0.00000000
USD
15000000.00000000
USD
-1078197.00000000
N
N
N
Upstart Securitization Trust
N/A
Upstart Securitization Trust 2021-2
91680FAA0
1267062.73000000
PA
USD
1258657.67000000
0.031490167633
Long
ABS-O
CORP
US
N
2
2031-06-20
Fixed
0.91000000
N
N
N
N
N
N
CAESARS ENTERTAIN INC
549300FA4CTCW903Y781
Caesars Entertainment Inc
28470RAH5
4355000.00000000
PA
USD
4520424.68000000
0.113095827673
Long
DBT
CORP
US
N
2
2025-07-01
Fixed
6.25000000
N
N
N
N
N
N
Waikiki Beach Hotel Trust
N/A
WAIKIKI BEACH HOTEL TRUST 2019-WBM
93065PAG6
1100000.00000000
PA
USD
1077786.49000000
0.026964978684
Long
ABS-MBS
CORP
US
N
2
2033-12-15
Floating
2.22100000
N
N
N
N
N
N
Synchrony Credit Card Master Note Trust
549300G1V1M796QIYC04
Synchrony Credit Card Master Note Trust
87165LBV2
999000.00000000
PA
USD
1009682.21000000
0.025261087909
Long
ABS-O
CORP
US
N
2
2025-10-15
Fixed
2.82000000
N
N
N
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
Long: BLK603OS6 IRS USD R V 12MUSCPI SLK603OS6_FLO CCPINFLATIONZERO / Short: BLK603OS6 IRS USD P F 2.53600 SLK603OS6_FIX CCPINFLATIONZERO
000000000
10000000.00000000
OU
Notional Amount
USD
867865.30000000
0.021712991889
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
Inflation based on US CPI Urban Consumers NSA
2032-05-05
0.00000000
USD
0.00000000
USD
10000000.00000000
USD
867865.30000000
N
N
N
Drive Auto Receivables Trust
N/A
Drive Auto Receivables Trust 2019-4
26209AAG6
1030000.00000000
PA
USD
1039567.46000000
0.026008782500
Long
ABS-O
CORP
US
N
2
2027-02-16
Fixed
2.70000000
N
N
N
N
N
N
Nutrition & Biosciences, Inc.
N/A
Nutrition & Biosciences, Inc. 3 Year Delayed Draw Term Loan
000000000
495689.00000000
PA
USD
495069.39000000
0.012386066881
Long
LON
CORP
US
N
2
2023-01-17
Floating
1.56100000
N
N
N
N
N
N
Deutsche Bank Aktiengesellschaft
7LTWFZYICNSX8D621K86
Long: SL5D2CZF IRS USD R V 00MCPURN CPURNSA / Short: SL5D2CZF IRS USD P F 2.46500
000000000
5000000.00000000
OU
Notional Amount
USD
32203.20000000
0.000805687035
N/A
DIR
US
N
2
Deutsche Bank Aktiengesellschaft
7LTWFZYICNSX8D621K86
N/A
N/A
Y
Inflation based on US CPI Urban Consumers NSA
2031-11-30
0.00000000
USD
0.00000000
USD
5000000.00000000
USD
32203.20000000
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
Long: BL4H4TRT4 IRS USD R V 12MUSCPI SL4H4TRT4_FLO CCPINFLATIONZERO / Short: BL4H4TRT4 IRS USD P F 2.47500 SL4H4TRT4_FIX CCPINFLATIONZERO
000000000
20000000.00000000
OU
Notional Amount
USD
1922971.00000000
0.048110523287
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
Inflation based on US CPI Urban Consumers NSA
2036-04-21
0.00000000
USD
0.00000000
USD
20000000.00000000
USD
1922971.00000000
N
N
N
REPUBLIC OF KENYA
549300VVURQQYU45PR87
Republic of Kenya Government International Bond
491798AE4
3170000.00000000
PA
USD
3285492.61000000
0.082199247271
Long
DBT
NUSS
KE
N
2
2024-06-24
Fixed
6.87500000
N
N
N
N
N
N
NOVELIS CORP
549300G5F3W3B52WYL23
Novelis Corp
670001AG1
4714000.00000000
PA
USD
4479384.22000000
0.112069042555
Long
DBT
CORP
US
N
2
2026-11-15
Fixed
3.25000000
N
N
N
N
N
N
Slide 2018-Fun
N/A
SLIDE 2018-FUN
831350AL7
7429968.68000000
PA
USD
7233684.51000000
0.180978468772
Long
ABS-MBS
CORP
US
N
2
2031-06-15
Floating
2.29100000
N
N
N
N
N
N
Mattel Inc
549300VELLG24KHTJ564
Mattel Inc
577081AY8
1250000.00000000
PA
USD
1251425.00000000
0.031309214546
Long
DBT
CORP
US
N
2
2023-03-15
Fixed
3.15000000
N
N
N
N
N
N
JPMorgan Chase Bank, National Association
7H6GLXDRUGQFU57RNE97
Long: SLB60RPM5 IRS USD R V 12MUSCPI SLB60RPM5_INF INFLATIONZERO / Short: SLB60RPM5 IRS USD P F 2.75625 SLB60RPM5_FIX INFLATIONZERO
000000000
30000000.00000000
OU
Notional Amount
USD
-1734899.40000000
-0.04340518811
N/A
DIR
US
N
2
JPMorgan Chase Bank, National Association
7H6GLXDRUGQFU57RNE97
N/A
N/A
Y
Inflation based on US CPI Urban Consumers NSA
2022-03-25
0.00000000
USD
0.00000000
USD
30000000.00000000
USD
-1734899.40000000
N
N
N
Chicago Board of Trade
549300EX04Q2QBFQTQ27
US 10YR ULTRA FUT JUN22
000000000
-313.00000000
NC
USD
-428289.80000000
-0.01071531832
N/A
DIR
US
N
1
Chicago Board of Trade
549300EX04Q2QBFQTQ27
Short
Ultra 10-Year US Treasury Note Futures
UXYM2 COMDTY
2022-06-21
-43807413.33000000
USD
-428289.80000000
N
N
N
Monongahela Power Co
N/A
Monongahela Power Co
610202BN2
4000000.00000000
PA
USD
4131930.08000000
0.103376139493
Long
DBT
CORP
US
N
2
2024-04-15
Fixed
4.10000000
N
N
N
N
N
N
Carnival Corporation
F1OF2ZSX47CR0BCWA982
Carnival Corporation USD Term Loan B
000000000
2764475.28000000
PA
USD
2735448.29000000
0.068437770854
Long
LON
CORP
PA
N
2
2025-06-30
Floating
3.75000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31402RUL1
82276.98000000
PA
USD
85755.09000000
0.002145493746
Long
ABS-MBS
USGSE
US
N
2
2035-10-01
Floating
1.78900000
N
N
N
N
N
N
NEXTERA ENERGY CAPITAL
UMI46YPGBLUE4VGNNT48
NextEra Energy Capital Holdings Inc
65339KBT6
9600000.00000000
PA
USD
9591757.73000000
0.239974749301
Long
DBT
CORP
US
N
2
2023-02-22
Floating
0.75000000
N
N
N
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
Long: BL4R0DXA5 IRS USD R V 12MUSCPI SL4R0DXA5_INF CCPINFLATIONZERO / Short: BL4R0DXA5 IRS USD P F 2.26900 SL4R0DXA5_FIX CCPINFLATIONZERO
000000000
10000000.00000000
OU
Notional Amount
USD
1072889.70000000
0.026842466629
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
Inflation based on US CPI Urban Consumers NSA
2030-10-30
0.00000000
USD
0.00000000
USD
10000000.00000000
USD
1072889.70000000
N
N
N
GS Mortgage Securities Trust
N/A
GS Mortgage Securities Corp Trust 2021-RENT
36260XAL0
15856708.73000000
PA
USD
15689988.12000000
0.392545461596
Long
ABS-MBS
CORP
US
N
2
2035-11-21
Floating
1.26200000
N
N
N
N
N
N
F&G GLOBAL FUNDING
6354009CCUKJIZ7KFX73
F&G Global Funding
30321L2B7
1368000.00000000
PA
USD
1318528.85000000
0.032988075713
Long
DBT
CORP
US
N
2
2024-09-20
Fixed
0.90000000
N
N
N
N
N
N
ROSNEFT(ROSNEFT INT FIN)
2138004NS3ZV1QYZA623
Rosneft Oil Co Via Rosneft International Finance DAC
77819RAA7
11950000.00000000
PA
USD
10177337.00000000
0.254625269307
Long
DBT
CORP
IE
N
2
2022-03-06
Fixed
4.19900000
N
N
N
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
Long: BLEH0KQW0 IRS USD R V 12MUSCPI SLEH0KQW0_FLO CCPINFLATIONZERO / Short: BLEH0KQW0 IRS USD P F 2.29500 SLEH0KQW0_FIX CCPINFLATIONZERO
000000000
5000000.00000000
OU
Notional Amount
USD
712227.95000000
0.017819124352
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
Inflation based on US CPI Urban Consumers NSA
2046-01-15
0.00000000
USD
0.00000000
USD
5000000.00000000
USD
712227.95000000
N
N
N
Credit Suisse Mortgage Trust
N/A
CSMC Trust 2016-NXSR
12594PAY7
20135000.00000000
PA
USD
227416.77000000
0.005689706089
Long
ABS-MBS
CORP
US
N
2
2049-12-15
Variable
0.20000000
N
N
N
N
N
N
COMM Mortgage Trust
N/A
Commercial Mortgage Pass Through Certificates
12624NAC4
1080000.00000000
PA
USD
1071375.23000000
0.026804576331
Long
ABS-MBS
CORP
US
N
2
2030-10-05
Fixed
3.40000000
N
N
N
N
N
N
CCO HLDGS LLC/CAP CORP
N/A
CCO Holdings LLC / CCO Holdings Capital Corp
1248EPBR3
47000.00000000
PA
USD
47998.28000000
0.001200861774
Long
DBT
CORP
US
N
2
2026-05-01
Fixed
5.50000000
N
N
N
N
N
N
Bank of America, National Association
B4TYDEB6GKMZO031MB27
Long: SL1S3MWH9 IRS USD R V 12MUSCPI SL1S3MWH9_INF INFLATIONZERO / Short: SL1S3MWH9 IRS USD P F 2.44500 SL1S3MWH9_FIX INFLATIONZERO
000000000
40000000.00000000
OU
Notional Amount
USD
488696.40000000
0.012226621999
N/A
DIR
US
N
2
Bank of America, National Association
B4TYDEB6GKMZO031MB27
N/A
N/A
Y
Inflation based on US CPI Urban Consumers NSA
2023-04-24
0.00000000
USD
0.00000000
USD
40000000.00000000
USD
488696.40000000
N
N
N
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
Long: BLP824HV4 IRS USD R V 03MSOFR SLP824HV4_FLO CCPOIS / Short: BLP824HV4 IRS USD P F .04929 SLP824HV4_FIX CCPOIS
000000000
593263.00000000
OU
Notional Amount
USD
2500.51000000
0.000062559884
N/A
DIR
US
N
2
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
N/A
N/A
Y
2022-10-21
0.00000000
USD
0.00000000
USD
593263.00000000
USD
2500.51000000
N
N
N
GLENCORE FINANCE CANADA
5493005TTO0UJ33KCK70
Glencore Finance Canada Ltd
98417EAT7
2600000.00000000
PA
USD
2643381.00000000
0.066134353122
Long
DBT
CORP
CA
N
2
2022-10-25
Fixed
4.25000000
N
N
N
N
N
N
Nexstar Broadcasting, Inc.
5493006PK6I4I2OOT688
Nexstar Broadcasting, Inc. Term Loan A5
65336RAV0
2223232.26000000
PA
USD
2220808.94000000
0.055562086077
Long
LON
CORP
US
N
2
2024-09-19
Floating
1.60600000
N
N
N
N
N
N
JP Morgan Chase Commercial Mortgage Sec Trust
N/A
JP Morgan Chase Commercial Mortgage Securities Trust 2018-LAQ
46649VAJ0
302140.62000000
PA
USD
301248.58000000
0.007536893080
Long
ABS-MBS
CORP
US
N
2
2032-06-15
Floating
1.79100000
N
N
N
N
N
N
HYUNDAI CAPITAL AMERICA
549300RIPPWJB5Z0FK07
Hyundai Capital America
44891ABK2
960000.00000000
PA
USD
1051519.96000000
0.026307820306
Long
DBT
CORP
US
N
2
2025-04-07
Fixed
5.87500000
N
N
N
N
N
N
FIRSTENERGY TRANSMISSION
549300AINIIPOLYX2R63
FirstEnergy Transmission LLC
33767BAB5
3000000.00000000
PA
USD
3085989.54000000
0.077207909859
Long
DBT
CORP
US
N
2
2025-01-15
Fixed
4.35000000
N
N
N
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
Long: BL3X43A99 IRS USD R V 12MUSCPI SL3X43A99_INF CCPINFLATIONZERO / Short: BL3X43A99 IRS USD P F 2.10700 SL3X43A99_FIX CCPINFLATIONZERO
000000000
5000000.00000000
OU
Notional Amount
USD
667797.70000000
0.016707530585
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
Inflation based on US CPI Urban Consumers NSA
2031-02-21
0.00000000
USD
0.00000000
USD
5000000.00000000
USD
667797.70000000
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
Long: BL6Q4GZI5 IRS USD R V 00MCPURN SL6Q4GZI5 IRS USD R V 00MCPURN / Short: BL6Q4GZI5 IRS USD P F 2.38000 P F 2.3 LCH
000000000
15000000.00000000
OU
Notional Amount
USD
1261318.05000000
0.031556727281
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
Inflation based on US CPI Urban Consumers NSA
2028-07-17
0.00000000
USD
0.00000000
USD
15000000.00000000
USD
1261318.05000000
N
N
N
Ford Credit Auto Owner Trust/Ford Credit
N/A
Ford Credit Auto Owner Trust 2019-REV1
34532PAA8
1143000.00000000
PA
USD
1177981.52000000
0.029471743125
Long
ABS-O
CORP
US
N
2
2030-07-15
Fixed
3.52000000
N
N
N
N
N
N
Exeter Automobile Receivables Trust
N/A
Exeter Automobile Receivables Trust 2021-2
30165XAE5
960000.00000000
PA
USD
947456.83000000
0.023704280451
Long
ABS-O
CORP
US
N
2
2026-06-15
Fixed
0.98000000
N
N
N
N
N
N
USI Inc/NY
N/A
USI Inc/NY
91739VAA6
2834000.00000000
PA
USD
2849076.88000000
0.071280627520
Long
DBT
CORP
US
N
2
2025-05-01
Fixed
6.87500000
N
N
N
N
N
N
MACQUARIE GROUP LTD
ACMHD8HWFMFUIQQ8Y590
Macquarie Group Ltd
55608JBA5
6843000.00000000
PA
USD
6618534.75000000
0.165588129109
Long
DBT
CORP
AU
N
2
2025-10-14
Fixed
1.20100000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38378NQB2
38401.70000000
PA
USD
10586.90000000
0.000264872064
Long
ABS-MBS
USGA
US
N
2
2054-08-16
Variable
0.64200000
N
N
N
N
N
N
CLECO POWER LLC
TM1ZH54SJKLNHFCBFK92
Cleco Power LLC
185508AH1
5308000.00000000
PA
USD
5305653.81000000
0.132741357609
Long
DBT
CORP
US
N
2
2023-06-15
Floating
0.70300000
N
N
N
N
N
N
PLAINS ALL AMER PIPELINE
N/A
Plains All American Pipeline LP / PAA Finance Corp
72650RBJ0
3900000.00000000
PA
USD
4131900.67000000
0.103375403688
Long
DBT
CORP
US
N
2
2025-10-15
Fixed
4.65000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Non Gold Pool
3128S5QA5
21718.07000000
PA
USD
22830.22000000
0.000571185853
Long
ABS-MBS
USGSE
US
N
2
2038-10-01
Floating
2.05300000
N
N
N
N
N
N
Moneygram International, Inc
5299002DLX0Q04KC4156
Moneygram International, Inc 2021 Term Loan B
60935QAP1
4434438.00000000
PA
USD
4436100.91000000
0.110986143908
Long
LON
CORP
US
N
2
2026-07-21
None
0.00000000
N
N
N
N
N
N
Credit Suisse Mortgage Trust
N/A
CSMC 2022-NQM1
126416AA4
5197960.03000000
PA
USD
5126867.01000000
0.128268317451
Long
ABS-MBS
CORP
US
N
2
2066-11-25
Variable
2.26500000
N
N
N
N
N
N
TENGIZCHEVROIL FIN CO IN
5493001VEV2XTJIBZH31
Tengizchevroil Finance Co International Ltd
88034QAB3
3500000.00000000
PA
USD
3332350.00000000
0.083371565290
Long
DBT
CORP
BM
N
2
2025-08-15
Fixed
2.62500000
N
N
N
N
N
N
PACIFIC GAS & ELECTRIC
1HNPXZSMMB7HMBMVBS46
Pacific Gas and Electric Co
694308JS7
3987000.00000000
PA
USD
3946478.44000000
0.098736352702
Long
DBT
CORP
US
N
2
2023-03-10
Fixed
1.36700000
N
N
N
N
N
N
AVOLON HOLDINGS FNDG LTD
635400ZRKEX9L1BKCH30
Avolon Holdings Funding Ltd
05401AAL5
8247000.00000000
PA
USD
8480130.90000000
0.212163124221
Long
DBT
CORP
KY
N
2
2026-04-15
Fixed
4.25000000
N
N
N
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
Long: BL0R05UM3 IRS USD R V 12MUSCPI SL0R05UM3_FLO CCPINFLATIONZERO / Short: BL0R05UM3 IRS USD P F 2.11200 SL0R05UM3_FIX CCPINFLATIONZERO
000000000
5000000.00000000
OU
Notional Amount
USD
651873.95000000
0.016309136670
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
Inflation based on US CPI Urban Consumers NSA
2029-12-08
0.00000000
USD
0.00000000
USD
5000000.00000000
USD
651873.95000000
N
N
N
UBS-Barclays Commercial Mortgage Trust
N/A
UBS-Barclays Commercial Mortgage Trust 2012-C2
90269CAD2
257798.72000000
PA
USD
257884.10000000
0.006451963653
Long
ABS-MBS
CORP
US
N
2
2063-05-10
Fixed
3.52500000
N
N
N
N
N
N
Barclays Bank PLC
G5GSEF7VJP5I7OUK5573
Long: SL3Y3KXN4 IRS USD R F 2.15000 SL3Y3KXN4_FIX INFLATIONZERO / Short: SL3Y3KXN4 IRS USD P V 12MUSCPI SL3Y3KXN4_INF INFLATIONZERO
000000000
30000000.00000000
OU
Notional Amount
USD
-2167395.00000000
-0.05422573071
N/A
DIR
US
N
2
Barclays Bank PLC
G5GSEF7VJP5I7OUK5573
N/A
N/A
Y
Inflation based on US CPI Urban Consumers NSA
2023-02-10
0.00000000
USD
0.00000000
USD
30000000.00000000
USD
-2167395.00000000
N
N
N
Barclays Bank PLC
G5GSEF7VJP5I7OUK5573
Long: SL333HBB9 IRS USD R V 12MUSCPI SL333HBB9_INF INFLATIONZERO / Short: SL333HBB9 IRS USD P F 2.12750 SL333HBB9_FIX INFLATIONZERO
000000000
10000000.00000000
OU
Notional Amount
USD
917113.30000000
0.022945120221
N/A
DIR
GB
N
2
Barclays Bank PLC
G5GSEF7VJP5I7OUK5573
N/A
N/A
Y
Inflation based on US CPI Urban Consumers NSA
2025-06-22
0.00000000
USD
0.00000000
USD
10000000.00000000
USD
917113.30000000
N
N
N
LFT CRE 2021-FL1, LLC
N/A
LFT CRE 2021-FL1 Ltd
50203JAA6
2230000.00000000
PA
USD
2229331.00000000
0.055775298219
Long
ABS-CBDO
CORP
KY
N
2
2039-06-15
Floating
1.36100000
N
N
N
N
N
N
Benefit Street Partners CLO Ltd
549300Y1V90IQ456QX97
Benefit Street Partners CLO III Ltd
08180EBJ2
3252601.70000000
PA
USD
3252716.78000000
0.081379233692
Long
ABS-CBDO
CORP
KY
N
2
2029-07-20
Floating
1.25400000
N
N
N
N
N
N
HSBC HOLDINGS PLC
MLU0ZO3ML4LN2LL2TL39
HSBC Holdings PLC
404280CU1
1219000.00000000
PA
USD
1192953.15000000
0.029846316093
Long
DBT
CORP
GB
N
2
2024-08-17
Fixed
0.73200000
N
N
N
N
N
N
GOLDMAN SACHS GROUP INC
784F5XWPLTWKTBV3E584
Goldman Sachs Group Inc/The
38141GWM2
9558000.00000000
PA
USD
9609462.28000000
0.240417696785
Long
DBT
CORP
US
N
2
2023-07-24
Fixed
2.90500000
N
N
N
N
N
N
MF1 Multifamily Housing Mortgage Loan Trust
N/A
MF1 2021-FL7 Ltd
55284AAA6
5500000.00000000
PA
USD
5451444.79000000
0.136388880290
Long
ABS-CBDO
CORP
KY
N
2
2036-10-16
Floating
1.20600000
N
N
N
N
N
N
Bank of America, National Association
B4TYDEB6GKMZO031MB27
Long: SLNE1S2Q8 IRS USD R V 12MUSCPI SLNE1S2Q8_INF INFLATIONZERO / Short: SLNE1S2Q8 IRS USD P F 2.29750 SLNE1S2Q8_FIX INFLATIONZERO
000000000
5000000.00000000
OU
Notional Amount
USD
483345.00000000
0.012092736124
N/A
DIR
US
N
2
Bank of America, National Association
B4TYDEB6GKMZO031MB27
N/A
N/A
Y
Inflation based on US CPI Urban Consumers NSA
2029-04-05
0.00000000
USD
0.00000000
USD
5000000.00000000
USD
483345.00000000
N
N
N
Popular Inc
5493008CARDZMVQ3LO89
Popular Inc
733174AK2
504000.00000000
PA
USD
525042.00000000
0.013135947119
Long
DBT
CORP
PR
N
2
2023-09-14
Fixed
6.12500000
N
N
N
N
N
N
BANK OF IRELAND GROUP
635400C8EK6DRI12LJ39
Bank of Ireland Group PLC
06279JAB5
5505000.00000000
PA
USD
5183149.40000000
0.129676438132
Long
DBT
CORP
IE
N
2
2027-09-30
Fixed
2.02900000
N
N
N
N
N
N
BJ's Wholesale Club, Inc.
549300H2XDOGOSR9L398
BJ's Wholesale Club, Inc. 2017 1st Lien Term Loan
09179FAU6
4452541.50000000
PA
USD
4446753.20000000
0.111252651955
Long
LON
CORP
US
N
2
2024-02-03
Floating
2.12400000
N
N
N
N
N
N
CYRUSONE LP/CYRUSONE FIN
N/A
CyrusOne LP / CyrusOne Finance Corp
23283PAQ7
2150000.00000000
PA
USD
2177283.50000000
0.054473129616
Long
DBT
US
N
2
2024-11-15
Fixed
2.90000000
N
N
N
N
N
N
GENERAL MOTORS CO
54930070NSV60J38I987
General Motors Co
37045VAV2
11167000.00000000
PA
USD
12363102.95000000
0.309310620069
Long
DBT
CORP
US
N
2
2025-10-01
Fixed
6.12500000
N
N
N
N
N
N
Verus Securitization Trust
N/A
Verus Securitization Trust 2021-R3
92538EAA5
1281666.16000000
PA
USD
1268890.64000000
0.031746184776
Long
ABS-MBS
CORP
US
N
2
2064-04-25
Variable
1.02000000
N
N
N
N
N
N
STANDARD CHARTERED PLC
U4LOSYZ7YG4W3S5F2G91
Standard Chartered PLC
853254CB4
200000.00000000
PA
USD
194932.55000000
0.004876988257
Long
DBT
CORP
GB
N
2
2025-03-23
Fixed
1.21400000
N
N
N
N
N
N
Ford Credit Auto Owner Trust
N/A
Ford Credit Auto Owner Trust 2021-A
34532NAB1
990407.65000000
PA
USD
989246.40000000
0.024749807440
Long
ABS-O
CORP
US
N
2
2023-10-15
Fixed
0.17000000
N
N
N
N
N
N
GS Mortgage Securities Trust
N/A
GS Mortgage Securities Corp Trust 2021-ROSS
36264YAS9
560000.00000000
PA
USD
551336.63000000
0.013793808527
Long
ABS-MBS
CORP
US
N
2
2026-05-15
Floating
6.09200000
N
N
N
N
N
N
JP Morgan Chase Commercial Mortgage Sec Trust
N/A
JP Morgan Chase Commercial Mortgage Securities Trust 2018-WPT
46645WAE3
323000.00000000
PA
USD
322218.08000000
0.008061525858
Long
ABS-MBS
CORP
US
N
2
2033-07-05
Floating
2.01100000
N
N
N
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
Long: BLP30NQC7 IRS USD R V 12MUSCPI SLP30NQC7_FLO CCPINFLATIONZERO / Short: BLP30NQC7 IRS USD P F 2.57125 SLP30NQC7_FIX CCPINFLATIONZERO
000000000
20000000.00000000
OU
Notional Amount
USD
1590970.40000000
0.039804250027
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
Inflation based on US CPI Urban Consumers NSA
2033-06-04
0.00000000
USD
0.00000000
USD
20000000.00000000
USD
1590970.40000000
N
N
N
Barclays Bank PLC
G5GSEF7VJP5I7OUK5573
Long: SL324HP66 IRS USD R V 12MUSCPI SL324HP66_INF INFLATIONZERO / Short: SL324HP66 IRS USD P F 2.35400 SL324HP66_FIX INFLATIONZERO
000000000
10000000.00000000
OU
Notional Amount
USD
998933.40000000
0.024992165042
N/A
DIR
US
N
2
Barclays Bank PLC
G5GSEF7VJP5I7OUK5573
N/A
N/A
Y
Inflation based on US CPI Urban Consumers NSA
2031-12-23
0.00000000
USD
0.00000000
USD
10000000.00000000
USD
998933.40000000
N
N
N
Drive Auto Receivables Trust
N/A
Drive Auto Receivables Trust
26209BAG4
409822.59000000
PA
USD
414722.10000000
0.010375870072
Long
ABS-O
CORP
US
N
2
2026-01-15
Fixed
4.09000000
N
N
N
N
N
N
BankUnited Inc
96OVUWEW5D4YX6PFXD91
BankUnited Inc
06652KAA1
6803000.00000000
PA
USD
7305982.53000000
0.182787282101
Long
DBT
CORP
US
N
2
2025-11-17
Fixed
4.87500000
N
N
N
N
N
N
Octagon Investment Partners XXI Ltd
549300XIS9D4AHDX5A35
Octagon Investment Partners XXI Ltd
67590QBK2
1960000.00000000
PA
USD
1954939.75000000
0.048910344653
Long
ABS-CBDO
CORP
KY
N
2
2031-02-14
Floating
1.39500000
N
N
N
N
N
N
NRG Energy Inc
5E2UPK5SW04M13XY7I38
NRG Energy Inc
629377CK6
4197000.00000000
PA
USD
4282035.79000000
0.107131611758
Long
DBT
CORP
US
N
2
2024-06-15
Fixed
3.75000000
N
N
N
N
N
N
Deutsche Bank Aktiengesellschaft
7LTWFZYICNSX8D621K86
Long: SLNE1IIV2 IRS USD R F 1.66700 SLNE1IIV2_FIX INFLATIONZERO / Short: SLNE1IIV2 IRS USD P V 12MUSCPI SLNE1IIV2_INF INFLATIONZERO
000000000
20000000.00000000
OU
Notional Amount
USD
-2345440.40000000
-0.05868022189
N/A
DIR
US
N
2
Deutsche Bank Aktiengesellschaft
7LTWFZYICNSX8D621K86
N/A
N/A
Y
Inflation based on US CPI Urban Consumers NSA
2023-04-20
0.00000000
USD
0.00000000
USD
20000000.00000000
USD
-2345440.40000000
N
N
N
ALLY FINANCIAL INC
549300JBN1OSM8YNAI90
Ally Financial Inc
02005NBL3
4223000.00000000
PA
USD
4171772.43000000
0.104372949277
Long
DBT
CORP
US
N
2
2023-10-02
Fixed
1.45000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138EHHS4
6630.00000000
PA
USD
6914.25000000
0.000172986584
Long
ABS-MBS
USGSE
US
N
2
2037-08-01
Floating
1.88200000
N
N
N
N
N
N
Standard Chartered PLC
U4LOSYZ7YG4W3S5F2G91
Standard Chartered PLC
853254BN9
1940000.00000000
PA
USD
1985802.62000000
0.049682498173
Long
DBT
CORP
GB
N
2
2025-05-21
Fixed
3.78500000
N
N
N
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
Long: SLMH24KE1 IRS USD R F 2.03625 SLMH24KE1_FIX CCPINFLATIONZERO / Short: SLMH24KE1 IRS USD P V 12MUSCPI SLMH24KE1_INF CCPINFLATIONZERO
000000000
10000000.00000000
OU
Notional Amount
USD
-722351.60000000
-0.01807240643
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
Inflation based on US CPI Urban Consumers NSA
2022-11-21
0.00000000
USD
0.00000000
USD
10000000.00000000
USD
-722351.60000000
N
N
N
OneMain Direct Auto Receivables Trust
N/A
OneMain Direct Auto Receivables Trust 2019-1
68267EAB0
6674000.00000000
PA
USD
6953450.39000000
0.173967333318
Long
ABS-O
CORP
US
N
2
2028-11-14
Fixed
3.95000000
N
N
N
N
N
N
SMRT
N/A
SMRT 2022-MINI
78457JAA0
19970000.00000000
PA
USD
19669767.03000000
0.492114953767
Long
ABS-MBS
CORP
US
N
2
2024-01-15
Floating
1.10000000
N
N
N
N
N
N
UBS AG STAMFORD CT
254900R882POXXVAK772
UBS AG/Stamford CT
90261AAB8
6094000.00000000
PA
USD
6240842.61000000
0.156138706056
Long
DBT
CORP
CH
N
2
2022-08-17
Fixed
7.62500000
N
N
N
N
N
N
HONO 2021-LULU Mortgage Trust
N/A
HONO 2021-LULU Mortgage Trust
40390MAA3
13950000.00000000
PA
USD
13771619.96000000
0.344550096073
Long
ABS-MBS
CORP
US
N
2
2036-10-15
Floating
1.34100000
N
N
N
N
N
N
KKR Financial CLO Ltd
549300NB16RGUJOZXI16
KKR CLO 30 Ltd
48250EAN5
10000000.00000000
PA
USD
9988749.50000000
0.249907026905
Long
ABS-CBDO
CORP
KY
N
2
2031-10-17
Floating
1.26100000
N
N
N
N
N
N
UBS GROUP AG
549300SZJ9VS8SGXAN81
UBS Group AG
902613AB4
521000.00000000
PA
USD
513785.53000000
0.012854323183
Long
DBT
CORP
CH
N
2
2024-07-30
Fixed
1.00800000
N
N
N
N
N
N
Barclay Investments LLC
254900YRC13GGERHVR90
Long: SL8M22II4 IRS USD R V 12MCPI ZERO COUPON/CPURNSA / Short: SL8M22II4 IRS USD P F 2.52900 ZERO COUPON
000000000
30000000.00000000
OU
Notional Amount
USD
-412687.20000000
-0.01032495921
N/A
DIR
US
N
2
Barclay Investments LLC
254900YRC13GGERHVR90
N/A
N/A
Y
Inflation based on US CPI Urban Consumers NSA
2022-07-08
0.00000000
USD
0.00000000
USD
30000000.00000000
USD
-412687.20000000
N
N
N
Ford Credit Auto Owner Trust
N/A
Ford Credit Auto Owner Trust 2020-C
34533YAD2
921000.00000000
PA
USD
912991.72000000
0.022842003028
Long
ABS-O
CORP
US
N
2
2025-07-15
Fixed
0.41000000
N
N
N
N
N
N
DOMINION ENERGY INC
ILUL7B6Z54MRYCF6H308
Dominion Energy Inc
25746UDH9
4387000.00000000
PA
USD
4389099.22000000
0.109810215669
Long
DBT
CORP
US
N
2
2023-09-15
Floating
0.73300000
N
N
N
N
N
N
Bank of America, National Association
B4TYDEB6GKMZO031MB27
Long: SL3V0V7A6 IRS USD R V 12MUSCPI SL3V0V7A6_INF INFLATIONZERO / Short: SL3V0V7A6 IRS USD P F 2.27500 SL3V0V7A6_FIX INFLATIONZERO
000000000
20000000.00000000
OU
Notional Amount
USD
1746550.80000000
0.043696692740
N/A
DIR
US
N
2
Bank of America, National Association
B4TYDEB6GKMZO031MB27
N/A
N/A
Y
Inflation based on US CPI Urban Consumers NSA
2026-01-06
0.00000000
USD
0.00000000
USD
20000000.00000000
USD
1746550.80000000
N
N
N
GS Mortgage Securities Trust
N/A
GS Mortgage Securities Corp Trust 2018-RIVR
36255WAA3
2355942.06000000
PA
USD
2327777.95000000
0.058238327708
Long
ABS-MBS
CORP
US
N
2
2035-07-15
Floating
1.14100000
N
N
N
N
N
N
ROMANIA
315700IASY927EDWBK92
Romanian Government International Bond
77586RAD2
432000.00000000
PA
USD
449000.06000000
0.011233465217
Long
DBT
NUSS
RO
N
2
2024-01-22
Fixed
4.87500000
N
N
N
N
N
N
SREIT Trust
N/A
SREIT Trust 2021-MFP
78472UAG3
2500000.00000000
PA
USD
2452410.25000000
0.061356484545
Long
ABS-MBS
CORP
US
N
2
2038-11-15
Floating
1.76900000
N
N
N
N
N
N
AMERICAN CAMPUS CMNTYS
RDKVCX5HITZ2GPIR7153
American Campus Communities Operating Partnership LP
024836AE8
1454000.00000000
PA
USD
1501252.24000000
0.037559604826
Long
DBT
US
N
2
2026-07-15
Fixed
3.30000000
N
N
N
N
N
N
HYUNDAI CAPITAL AMERICA
549300RIPPWJB5Z0FK07
Hyundai Capital America
44891ABS5
5091000.00000000
PA
USD
4811737.12000000
0.120384129956
Long
DBT
CORP
US
N
2
2026-01-08
Fixed
1.30000000
N
N
N
N
N
N
AVOLON HOLDINGS FNDG LTD
635400ZRKEX9L1BKCH30
Avolon Holdings Funding Ltd
05401AAF8
444000.00000000
PA
USD
454574.71000000
0.011372936550
Long
DBT
CORP
KY
N
2
2024-07-01
Fixed
3.95000000
N
N
N
N
N
N
ONE GAS INC
549300HXDWI0LATTX840
ONE Gas Inc
68235PAK4
3551000.00000000
PA
USD
3551187.28000000
0.088846622405
Long
DBT
CORP
US
N
2
2023-03-11
Floating
0.81100000
N
N
N
N
N
N
IMPERIAL BRANDS FIN PLC
2138008L3B3MCG1DFS50
Imperial Brands Finance PLC
453140AB1
3250000.00000000
PA
USD
3279843.87000000
0.082057922292
Long
DBT
CORP
GB
N
2
2023-02-11
Fixed
3.50000000
N
N
N
N
N
N
PVH CORP
123WALMHY1GZXG2YDL90
PVH Corp
693656AC4
5561000.00000000
PA
USD
5879222.33000000
0.147091382460
Long
DBT
CORP
US
N
2
2025-07-10
Fixed
4.62500000
N
N
N
N
N
N
PDC Energy Inc
5493008W8H2T511J5Y59
PDC Energy Inc
69327RAJ0
3443000.00000000
PA
USD
3499086.47000000
0.087543120047
Long
DBT
CORP
US
N
2
2026-05-15
Fixed
5.75000000
N
N
N
N
N
N
Octagon Investment Partners XIV LTD
549300QEN35HTPJ3BX33
Octagon Investment Partners XIV Ltd
67590ABP6
720000.00000000
PA
USD
715517.51000000
0.017901425360
Long
ABS-CBDO
CORP
KY
N
2
2029-07-15
Floating
1.19100000
N
N
N
N
N
N
BHMS Mortgage Trust
N/A
BHMS 2018-ATLS
05549GAL5
8630000.00000000
PA
USD
8476594.85000000
0.212074656316
Long
ABS-MBS
CORP
US
N
2
2035-07-15
Floating
2.44100000
N
N
N
N
N
N
DBGS Mortgage Trust
N/A
DBGS 2018-5BP Mortgage Trust
33830CAA8
1120000.00000000
PA
USD
1107034.21000000
0.027696723008
Long
ABS-MBS
CORP
US
N
2
2033-06-15
Floating
0.98600000
N
N
N
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
Long: BL3A3HZE1 IRS USD R V 12MUSCPI SL3A3HZE1_INF CCPINFLATIONZERO / Short: BL3A3HZE1 IRS USD P F 2.38000 SL3A3HZE1_FIX CCPINFLATIONZERO
000000000
10000000.00000000
OU
Notional Amount
USD
846865.00000000
0.021187588530
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
Inflation based on US CPI Urban Consumers NSA
2028-07-06
0.00000000
USD
0.00000000
USD
10000000.00000000
USD
846865.00000000
N
N
N
Hess Corp
UASVRYNXNK17ULIGK870
Hess Corp
42809HAF4
1046000.00000000
PA
USD
1071052.32000000
0.026796497494
Long
DBT
CORP
US
N
2
2024-07-15
Fixed
3.50000000
N
N
N
N
N
N
United States Treasury
254900HROIFWPRGM1V77
United States Treasury Note/Bond
91282CDV0
24393000.00000000
PA
USD
24130965.76000000
0.603729016273
Long
DBT
UST
US
N
2
2024-01-31
Fixed
0.87500000
N
N
N
N
N
N
BX Trust
N/A
BX Trust 2018-GW
12433UAA3
8200000.00000000
PA
USD
8118027.88000000
0.203103723026
Long
ABS-MBS
CORP
US
N
2
2035-05-15
Floating
0.99100000
N
N
N
N
N
N
Anchorage Capital CLO LTD
549300V7DN3VJ8H1GE96
Anchorage Capital CLO 3-R Ltd
03330AAA0
970000.00000000
PA
USD
969375.52000000
0.024252660871
Long
ABS-CBDO
CORP
KY
N
2
2031-01-28
Floating
1.32800000
N
N
N
N
N
N
Santander Retail Auto Lease Trust
N/A
Santander Retail Auto Lease Trust 2021-A
80286TAC7
2915000.00000000
PA
USD
2874047.17000000
0.071905355464
Long
ABS-O
CORP
US
N
2
2024-07-22
Fixed
0.51000000
N
N
N
N
N
N
HGI CRE CLO Ltd
N/A
HGI CRE CLO 2021-FL2 Ltd
40390JAA0
6890000.00000000
PA
USD
6814640.63000000
0.170494472733
Long
ABS-CBDO
CORP
KY
N
2
2036-09-17
Floating
1.12600000
N
N
N
N
N
N
JP Morgan Chase Commercial Mortgage Sec Trust
N/A
JP Morgan Chase Commercial Mortgage Securities Trust 2018-WPT
46645WAY9
95152000.00000000
PA
USD
471953.92000000
0.011807744401
Long
ABS-MBS
CORP
US
N
2
2033-07-05
Variable
0.37600000
N
N
N
N
N
N
Bank of America, National Association
B4TYDEB6GKMZO031MB27
Long: SLQJ13U54 IRS USD R V 12MUSCPI SLQJ13U54_INF INFLATIONZERO / Short: SLQJ13U54 IRS USD P F 2.37000 SLQJ13U54_FIX INFLATIONZERO
000000000
10000000.00000000
OU
Notional Amount
USD
889586.90000000
0.022256441344
N/A
DIR
US
N
2
Bank of America, National Association
B4TYDEB6GKMZO031MB27
N/A
N/A
Y
Inflation based on US CPI Urban Consumers NSA
2029-02-27
0.00000000
USD
0.00000000
USD
10000000.00000000
USD
889586.90000000
N
N
N
CEDAR FAIR/CAN/MAGNUM/MI
N/A
Cedar Fair LP / Canada's Wonderland Co / Magnum Management Corp / Millennium Op
150190AF3
3829000.00000000
PA
USD
3940289.89000000
0.098581522297
Long
DBT
CORP
US
N
2
2025-05-01
Fixed
5.50000000
N
N
N
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
Long: BL394VT90 IRS USD R V 12MUSCPI INF_SL394VT90 CCPINFLATIONZERO / Short: BL394VT90 IRS USD P F 2.43650 FIX_SL394VT90 CCPINFLATIONZERO
000000000
10000000.00000000
OU
Notional Amount
USD
753324.30000000
0.018847307774
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
Inflation based on US CPI Urban Consumers NSA
2037-09-07
0.00000000
USD
0.00000000
USD
10000000.00000000
USD
753324.30000000
N
N
N
AIR CANADA 2015-1B PTT
N/A
Air Canada 2015-1 Class B Pass Through Trust
009090AB7
215083.18000000
PA
USD
215665.02000000
0.005395690817
Long
DBT
CORP
CA
N
2
2023-03-15
Fixed
3.87500000
N
N
N
N
N
N
Barclays Bank PLC
G5GSEF7VJP5I7OUK5573
Long: SL393DTK6 IRS USD R F 1.56200 CPURNSA / Short: SL393DTK6 IRS USD P V 00MCPI CPURNSA
000000000
10000000.00000000
OU
Notional Amount
USD
-1004022.60000000
-0.02511949097
N/A
DIR
US
N
2
Barclays Bank PLC
G5GSEF7VJP5I7OUK5573
N/A
N/A
Y
Inflation based on US CPI Urban Consumers NSA
2022-10-22
0.00000000
USD
0.00000000
USD
10000000.00000000
USD
-1004022.60000000
N
N
N
Goldman Sachs & Co. LLC
FOR8UP27PHTHYVLBNG30
Long: SL1S3MW71 IRS USD R V 12MUSCPI SL1S3MW71_INF INFLATIONZERO / Short: SL1S3MW71 IRS USD P F 2.44750 SL1S3MW71_FIX INFLATIONZERO
000000000
30000000.00000000
OU
Notional Amount
USD
358433.10000000
0.008967584016
N/A
DIR
US
N
2
Goldman Sachs & Co. LLC
FOR8UP27PHTHYVLBNG30
N/A
N/A
Y
Inflation based on US CPI Urban Consumers NSA
2023-04-24
0.00000000
USD
0.00000000
USD
30000000.00000000
USD
358433.10000000
N
N
N
AMERICAN AIRLINES GROUP
N/A
American Airlines Group Inc
02376RAE2
2743000.00000000
PA
USD
2557847.50000000
0.063994403303
Long
DBT
CORP
US
N
2
2025-03-01
Fixed
3.75000000
N
N
N
N
N
N
Hudsons Bay Simon JV Trust
N/A
Hudsons Bay Simon JV Trust 2015-HBS
44422PBC5
1200000.00000000
PA
USD
1077915.72000000
0.026968211870
Long
ABS-MBS
CORP
US
N
2
2034-08-05
Fixed
4.66600000
N
N
N
N
N
N
LSTAR Commercial Mortgage Trust
N/A
LSTAR Commercial Mortgage Trust 2017-5
54910TAE2
2100000.00000000
PA
USD
2138587.50000000
0.053505000190
Long
ABS-MBS
CORP
US
N
2
2050-03-10
Fixed
4.50000000
N
N
N
N
N
N
CREDIT SUISSE GROUP AG
549300506SI9CRFV9Z86
Credit Suisse Group AG
225401AM0
2557000.00000000
PA
USD
2545223.63000000
0.063678568591
Long
DBT
CORP
CH
N
2
2025-09-11
Fixed
2.59300000
N
N
N
N
N
N
PulteGroup Inc
N/A
PulteGroup Inc
745867AW1
793000.00000000
PA
USD
874788.31000000
0.021886197639
Long
DBT
CORP
US
N
2
2026-03-01
Fixed
5.50000000
N
N
N
N
N
N
ENERGY TRANSFER LP
MTLVN9N7JE8MIBIJ1H73
Energy Transfer LP
29278NAM5
1010000.00000000
PA
USD
1067925.21000000
0.026718260798
Long
DBT
CORP
US
N
2
2024-01-15
Fixed
5.87500000
N
N
N
N
N
N
Lennar Corp
529900G61XVRLX5TJX09
Lennar Corp
526057BN3
813000.00000000
PA
USD
824805.61000000
0.020635687957
Long
DBT
CORP
US
N
2
2022-11-15
Fixed
4.75000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140EUEM7
102934.69000000
PA
USD
106817.18000000
0.002672443019
Long
ABS-MBS
USGSE
US
N
2
2045-12-01
Floating
2.71700000
N
N
N
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
Long: BL6K78C07 IRS USD R V 12MUSCPI SL6K78C07_FLO CCPINFLATIONZERO / Short: BL6K78C07 IRS USD P F 2.56400 SL6K78C07_FIX CCPINFLATIONZERO
000000000
20000000.00000000
OU
Notional Amount
USD
1595925.80000000
0.039928228437
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
Inflation based on US CPI Urban Consumers NSA
2033-06-07
0.00000000
USD
0.00000000
USD
20000000.00000000
USD
1595925.80000000
N
N
N
FELLS POINT FUNDING TR
N/A
Fells Point Funding Trust
314382AA0
4277000.00000000
PA
USD
4241097.45000000
0.106107381564
Long
DBT
CORP
US
N
2
2027-01-31
Fixed
3.04600000
N
N
N
N
N
N
ARCOS DORADOS HOLDINGS I
54930023P2MIZN13DQ85
Arcos Dorados Holdings Inc
03965UAC4
4050000.00000000
PA
USD
4111904.25000000
0.102875116253
Long
DBT
CORP
VG
N
2
2027-04-04
Fixed
5.87500000
N
N
N
N
N
N
JP Morgan Chase Commercial Mortgage Sec Trust
N/A
JP Morgan Chase Commercial Mortgage Securities Trust 2013-LC11
46639YAS6
1237536.07000000
PA
USD
12786.72000000
0.000319909031
Long
ABS-MBS
CORP
US
N
2
2046-04-15
Variable
1.22700000
N
N
N
N
N
N
IMPERIAL BRANDS FIN PLC
2138008L3B3MCG1DFS50
Imperial Brands Finance PLC
45262BAA1
1871000.00000000
PA
USD
1893080.92000000
0.047362707855
Long
DBT
CORP
GB
N
2
2024-07-26
Fixed
3.12500000
N
N
N
N
N
N
Oceanview Mortgage Trust
N/A
Bayview MSR Opportunity Master Fund Trust 2021-INV4
07336GAK0
9494511.47000000
PA
USD
9442912.60000000
0.236250815299
Long
ABS-MBS
CORP
US
N
2
2051-10-25
Floating
0.89900000
N
N
N
N
N
N
Galaxy CLO Ltd
5493000B2531UL3WQV87
Galaxy XIX CLO Ltd
36319QBN1
950000.00000000
PA
USD
949787.07000000
0.023762580376
Long
ABS-CBDO
CORP
KY
N
2
2030-07-24
Floating
1.20900000
N
N
N
N
N
N
BOEING CO
RVHJWBXLJ1RFUBSY1F30
Boeing Co/The
097023DG7
1200000.00000000
PA
USD
1171507.55000000
0.029309771840
Long
DBT
CORP
US
N
2
2026-02-04
Fixed
2.19600000
N
N
N
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
Long: BL4H4Q34 IRS USD R V 12MUSCPI SL4H4Q34_FLO CCPINFLATIONZERO / Short: BL4H4Q34 IRS USD P F 2.47375 SL4H4Q34_FIX CCPINFLATIONZERO
000000000
10000000.00000000
OU
Notional Amount
USD
966715.00000000
0.024186097720
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
Inflation based on US CPI Urban Consumers NSA
2031-03-22
0.00000000
USD
0.00000000
USD
10000000.00000000
USD
966715.00000000
N
N
N
N-Star Real Estate CDO Ltd
N/A
N-Star REL CDO VIII Ltd
62940FAD1
822791.15000000
PA
USD
797380.89000000
0.019949552997
Long
ABS-CBDO
CORP
KY
N
3
2041-02-01
Floating
0.52600000
N
N
N
N
N
N
Marlette Funding Trust
N/A
Marlette Funding Trust 2021-3
57108QAB9
5555000.00000000
PA
USD
5419195.25000000
0.135582033882
Long
ABS-O
CORP
US
N
2
2031-12-15
Fixed
1.30000000
N
N
N
N
N
N
WESTERN MIDSTREAM OPERAT
L6D8A6MLSY454J2JXJ60
Western Midstream Operating LP
958667AD9
493000.00000000
PA
USD
491187.78000000
0.012288953462
Long
DBT
CORP
US
N
2
2023-01-13
Floating
1.84400000
N
N
N
N
N
N
STARWOOD PROPERTY TRUST
BUGSFQZERKRBFWIG5267
Starwood Property Trust Inc
85571BAW5
7838000.00000000
PA
USD
7680299.44000000
0.192152260780
Long
DBT
US
N
2
2024-12-31
Fixed
3.75000000
N
N
N
N
N
N
AVIATION CAPITAL GROUP
549300ODEK8HY3445C77
Aviation Capital Group LLC
05369AAF8
1000000.00000000
PA
USD
1025132.80000000
0.025647643904
Long
DBT
CORP
US
N
2
2024-01-30
Fixed
4.37500000
N
N
N
N
N
N
CITIGROUP GLOBAL MARKETS
82VOJDD5PTRDMVVMGV31
Citigroup Global Markets Holdings Inc/United States
17329FXG4
2146000.00000000
PA
USD
2089304.35000000
0.052271992446
Long
DBT
CORP
US
N
2
2024-06-07
Fixed
0.75000000
N
N
N
N
N
N
Arbor Realty Collateralized Loan Obligation Ltd
N/A
Arbor Realty Commercial Real Estate Notes 2021-FL4 Ltd
03880RAA7
10940000.00000000
PA
USD
10904364.04000000
0.272814649875
Long
ABS-CBDO
CORP
KY
N
2
2036-11-15
Floating
1.54100000
N
N
N
N
N
N
AIB Group PLC
635400AKJBGNS5WNQL34
AIB Group PLC
00135TAB0
6313000.00000000
PA
USD
6478230.21000000
0.162077870847
Long
DBT
CORP
IE
N
2
2025-04-10
Fixed
4.26300000
N
N
N
N
N
N
Bank of America, National Association
B4TYDEB6GKMZO031MB27
Long: SLQG1F7L4 IRS USD R V 12MUSCPI SLQG1F7L4_INF INFLATIONZERO / Short: SLQG1F7L4 IRS USD P F 2.36250 SLQG1F7L4_FIX INFLATIONZERO
000000000
5000000.00000000
OU
Notional Amount
USD
530979.20000000
0.013284489036
N/A
DIR
US
N
2
Bank of America, National Association
B4TYDEB6GKMZO031MB27
N/A
N/A
Y
Inflation based on US CPI Urban Consumers NSA
2038-02-01
0.00000000
USD
0.00000000
USD
5000000.00000000
USD
530979.20000000
N
N
N
JPMORGAN CHASE & CO
8I5DZWZKVSZI1NUHU748
JPMorgan Chase & Co
46647PCH7
2899000.00000000
PA
USD
2805629.18000000
0.070193616025
Long
DBT
CORP
US
N
2
2025-06-01
Fixed
0.82400000
N
N
N
N
N
N
Goldman Sachs & Co. LLC
FOR8UP27PHTHYVLBNG30
Long: SL3Z35H28 IRS USD R V 12MUSCPI SL3Z35H28_INF INFLATIONZERO / Short: SL3Z35H28 IRS USD P F 2.23000 SL3Z35H28_FIX INFLATIONZERO
000000000
10000000.00000000
OU
Notional Amount
USD
859440.20000000
0.021502205574
N/A
DIR
US
N
2
Goldman Sachs & Co. LLC
FOR8UP27PHTHYVLBNG30
N/A
N/A
Y
Inflation based on US CPI Urban Consumers NSA
2024-12-14
0.00000000
USD
0.00000000
USD
10000000.00000000
USD
859440.20000000
N
N
N
DEVON ENERGY CORPORATION
54930042348RKR3ZPN35
Devon Energy Corp
25179MBE2
7055000.00000000
PA
USD
7533447.03000000
0.188478182340
Long
DBT
CORP
US
N
2
2028-06-15
Fixed
5.87500000
N
N
N
N
N
N
BHMS Mortgage Trust
N/A
BHMS 2018-ATLS
05549GAA9
2639902.00000000
PA
USD
2616990.55000000
0.065474094408
Long
ABS-MBS
CORP
US
N
2
2035-07-15
Floating
1.44100000
N
N
N
N
N
N
OVINTIV EXPLORATION INC
T8W3X1PFLPW2YE0UIP44
Ovintiv Exploration Inc
651290AQ1
7421000.00000000
PA
USD
7940596.45000000
0.198664592667
Long
DBT
CORP
US
N
2
2024-07-01
Fixed
5.62500000
N
N
N
N
N
N
Citigroup Commercial Mortgage Trust
N/A
Citigroup Commercial Mortgage Trust 2015-GC31
17323YAL3
5532374.70000000
PA
USD
57533.93000000
0.001439432773
Long
ABS-MBS
CORP
US
N
2
2048-06-10
Variable
0.34300000
N
N
N
N
N
N
JP Morgan Chase Commercial Mortgage Sec Trust
N/A
J.P. Morgan Chase Commercial Mortgage Securities Trust 2018-AON
46649XAC1
129394000.00000000
PA
USD
816282.05000000
0.020422438287
Long
ABS-MBS
CORP
US
N
2
2031-07-05
Variable
0.48500000
N
N
N
N
N
N
STANDARD CHARTERED PLC
U4LOSYZ7YG4W3S5F2G91
Standard Chartered PLC
85325WAA6
2530000.00000000
PA
USD
2517065.25000000
0.062974078302
Long
DBT
CORP
GB
N
2
2026-01-30
Fixed
2.81900000
N
N
N
N
N
N
Exeter Automobile Receivables Trust
N/A
Exeter Automobile Receivables Trust 2021-2
30165XAB1
163296.24000000
PA
USD
163273.33000000
0.004084910976
Long
ABS-O
CORP
US
N
2
2024-01-16
Fixed
0.27000000
N
N
N
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
Long: BLFH0M7F3 IRS USD R V 12MUSCPI SLFH0M7F3_FLO CCPINFLATIONZERO / Short: BLFH0M7F3 IRS USD P F 2.43900 SLFH0M7F3_FIX CCPINFLATIONZERO
000000000
10000000.00000000
OU
Notional Amount
USD
1013609.30000000
0.025359339185
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
Inflation based on US CPI Urban Consumers NSA
2033-04-13
0.00000000
USD
0.00000000
USD
10000000.00000000
USD
1013609.30000000
N
N
N
AERCAP IRELAND CAP/GLOBA
N/A
AerCap Ireland Capital DAC / AerCap Global Aviation Trust
00774MAP0
1392000.00000000
PA
USD
1434481.42000000
0.035889075686
Long
DBT
CORP
IE
N
2
2023-09-15
Fixed
4.50000000
N
N
N
N
N
N
Motel 6 Trust
N/A
Motel Trust 2021-MTL6
61977KAL0
4938599.13000000
PA
USD
4876703.67000000
0.122009518335
Long
ABS-MBS
CORP
US
N
2
2038-09-15
Floating
2.89100000
N
N
N
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
Long: BL5D3TMS0 IRS USD R V 12MUSCPI SL5D3TMS0_INF CCPINFLATIONZERO / Short: BL5D3TMS0 IRS USD P F 2.33500 SL5D3TMS0_FIX CCPINFLATIONZERO
000000000
8000000.00000000
OU
Notional Amount
USD
915965.36000000
0.022916400082
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
Inflation based on US CPI Urban Consumers NSA
2036-11-17
0.00000000
USD
0.00000000
USD
8000000.00000000
USD
915965.36000000
N
N
N
Bain Capital Credit CLO, Limited
549300GUKNMHLHIJO049
Bain Capital Credit CLO 2017-1 Ltd
05682QAQ9
6000000.00000000
PA
USD
5991131.40000000
0.149891218713
Long
ABS-CBDO
CORP
KY
N
2
2030-07-20
Floating
1.22400000
N
N
N
N
N
N
Chicago Board of Trade
549300EX04Q2QBFQTQ27
US 2YR NOTE (CBT) JUN22
000000000
8004.00000000
NC
USD
5559715.44000000
0.139097687458
N/A
DIR
US
N
1
Chicago Board of Trade
549300EX04Q2QBFQTQ27
Long
CBOT 2 Year US Treasury Note Future
TUM2 COMDTY
2022-06-30
1717113686.81000000
USD
5559715.44000000
N
N
N
AVIATION CAPITAL GROUP
549300ODEK8HY3445C77
Aviation Capital Group LLC
05369AAH4
2287000.00000000
PA
USD
2434022.81000000
0.060896451939
Long
DBT
CORP
US
N
2
2024-12-15
Fixed
5.50000000
N
N
N
N
N
N
JACKSON NATL LIFE GLOBAL
635400PQXLYXWJI5QD78
Jackson National Life Global Funding
46849LUV1
1966000.00000000
PA
USD
1934892.79000000
0.048408792765
Long
DBT
CORP
US
N
2
2025-01-12
Fixed
1.75000000
N
N
N
N
N
N
Intesa Sanpaolo SpA
2W8N8UU78PMDQKZENC08
Intesa Sanpaolo SpA
46115HAZ0
888000.00000000
PA
USD
892734.56000000
0.022335192178
Long
DBT
CORP
IT
N
2
2022-07-14
Fixed
3.12500000
N
N
N
N
N
N
Goldman Sachs Bank USA
KD3XUN7C6T14HNAYLU02
Long: SL3B1V1D9 IRS USD R V 12MUSCPI INFLATIONZERO / Short: SL3B1V1D9 IRS USD P F 2.98000 SL3B1V1D9_FIX INFLATIONZERO
000000000
10000000.00000000
OU
Notional Amount
USD
-1223014.30000000
-0.03059841150
N/A
DIR
US
N
2
Goldman Sachs Bank USA
KD3XUN7C6T14HNAYLU02
N/A
N/A
Y
Inflation based on US CPI Urban Consumers NSA
2033-02-07
0.00000000
USD
0.00000000
USD
10000000.00000000
USD
-1223014.30000000
N
N
N
GM Financial Securitized Term Auto Receivables Tr
N/A
GM Financial Consumer Automobile Receivables Trust 2021-1
36261LAB7
278548.93000000
PA
USD
278308.18000000
0.006962950650
Long
ABS-O
CORP
US
N
2
2023-11-16
Fixed
0.23000000
N
N
N
N
N
N
New Economy Assets Phase 1 Issuer LLC
N/A
New Economy Assets Phase 1 Sponsor LLC
643821AA9
16590000.00000000
PA
USD
15967400.53000000
0.399486001111
Long
ABS-O
CORP
US
N
2
2061-10-20
Fixed
1.91000000
N
N
N
N
N
N
CHOBANI LLC/FINANCE CORP
N/A
Chobani LLC / Chobani Finance Corp Inc
17027NAA0
2407000.00000000
PA
USD
2398695.85000000
0.060012612021
Long
DBT
CORP
US
N
2
2025-04-15
Fixed
7.50000000
N
N
N
N
N
N
Santander Drive Auto Receivables Trust
N/A
Santander Drive Auto Receivables Trust 2019-3
80286HAF6
511367.44000000
PA
USD
513234.85000000
0.012840545802
Long
ABS-O
CORP
US
N
2
2025-10-15
Fixed
2.49000000
N
N
N
N
N
N
Towd Point Asset Trust 2018-SL1
54930022FYEFQVX02P24
Towd Point Asset Trust 2018-SL1
89174UAA4
714124.02000000
PA
USD
712484.25000000
0.017825536683
Long
ABS-O
CORP
US
N
2
2046-01-25
Floating
0.78700000
N
N
N
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
Long: BL4R0BSM9 IRS USD R V 12MUSCPI SL4R0BSM9_INF CCPINFLATIONZERO / Short: BL4R0BSM9 IRS USD P F 2.39000 SL4R0BSM9_FIX CCPINFLATIONZERO
000000000
10000000.00000000
OU
Notional Amount
USD
821137.60000000
0.020543918565
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
Inflation based on US CPI Urban Consumers NSA
2028-08-03
0.00000000
USD
0.00000000
USD
10000000.00000000
USD
821137.60000000
N
N
N
Baidu Inc
254900AL64IANZYI1E02
Baidu Inc
056752AM0
3200000.00000000
PA
USD
3329601.73000000
0.083302806735
Long
DBT
CORP
KY
N
2
2024-05-14
Fixed
4.37500000
N
N
N
N
N
N
JPMorgan Chase & Co
8I5DZWZKVSZI1NUHU748
JPMorgan Chase & Co
46625HJY7
1015000.00000000
PA
USD
1053455.91000000
0.026356255549
Long
DBT
CORP
US
N
2
2024-09-10
Fixed
3.87500000
N
N
N
N
N
N
AVOLON HOLDINGS FNDG LTD
635400ZRKEX9L1BKCH30
Avolon Holdings Funding Ltd
05401AAB7
6298000.00000000
PA
USD
6523593.35000000
0.163212804449
Long
DBT
CORP
KY
N
2
2023-10-01
Fixed
5.12500000
N
N
N
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
Long: BLFH0MFZ0 IRS USD R V 12MUSCPI SLFH0MFZ0_FLO CCPINFLATIONZERO / Short: BLFH0MFZ0 IRS USD P F 2.47600 SLFH0MFZ0_FIX CCPINFLATIONZERO
000000000
15000000.00000000
OU
Notional Amount
USD
1416153.75000000
0.035430538457
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
Inflation based on US CPI Urban Consumers NSA
2031-04-27
0.00000000
USD
0.00000000
USD
15000000.00000000
USD
1416153.75000000
N
N
N
DBWF Mortgage Trust
N/A
DBWF 2016-85T Mortgage Trust
23307CAC9
61529000.00000000
PA
USD
147669.60000000
0.003694523593
Long
ABS-MBS
CORP
US
N
2
2036-12-10
Variable
0.01400000
N
N
N
N
N
N
Arbor Realty Collateralized Loan Obligation Ltd
N/A
Arbor Realty Commercial Real Estate Notes 2022-FL1 Ltd
03880XAA4
20000000.00000000
PA
USD
20000143.00000000
0.500380580653
Long
ABS-CBDO
CORP
KY
N
2
2037-01-15
Floating
1.50000000
N
N
N
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
Long: BL394SBB1 IRS USD R V 12MUSCPI SL394SBB1_FLO CCPINFLATIONZERO / Short: BL394SBB1 IRS USD P F 2.44000 SL394SBB1_FIX CCPINFLATIONZERO
000000000
15000000.00000000
OU
Notional Amount
USD
1534583.55000000
0.038393515876
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
Inflation based on US CPI Urban Consumers NSA
2033-03-18
0.00000000
USD
0.00000000
USD
15000000.00000000
USD
1534583.55000000
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Non Gold Pool
31300LV69
78208.93000000
PA
USD
82035.11000000
0.002052424123
Long
ABS-MBS
USGSE
US
N
2
2036-12-01
Floating
2.04400000
N
N
N
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
Long: SLYM0G8R7 IRS USD R F 1.81750 SLYM0G8R7_FIX CCPINFLATIONZERO / Short: SLYM0G8R7 IRS USD P V 12MUSCPI SLYM0G8R7_INF CCPINFLATIONZERO
000000000
60000000.00000000
OU
Notional Amount
USD
-4929915.60000000
-0.12334081963
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
Inflation based on US CPI Urban Consumers NSA
2022-08-28
0.00000000
USD
0.00000000
USD
60000000.00000000
USD
-4929915.60000000
N
N
N
Santander Retail Auto Lease Trust
N/A
Santander Retail Auto Lease Trust 2019-B
80281GAH9
989000.00000000
PA
USD
998481.15000000
0.024980850267
Long
ABS-O
CORP
US
N
2
2024-06-20
Fixed
3.31000000
N
N
N
N
N
N
Bluemountain CLO Ltd
549300XC3G26BPOECZ28
BlueMountain Fuji US Clo I Ltd
09629CAL9
1190000.00000000
PA
USD
1189772.17000000
0.029766731631
Long
ABS-CBDO
CORP
KY
N
2
2029-07-20
Floating
1.23400000
N
N
N
N
N
N
ROYAL CARIBBEAN CRUISES
K2NEH8QNVW44JIWK7Z55
Royal Caribbean Cruises Ltd
780153AZ5
10055000.00000000
PA
USD
11119522.85000000
0.278197675900
Long
DBT
CORP
LR
N
2
2025-06-01
Fixed
11.50000000
N
N
N
N
N
N
BX Trust
N/A
BX Commercial Mortgage Trust 2019-IMC
05608BAA8
5880895.00000000
PA
USD
5819428.47000000
0.145595408837
Long
ABS-MBS
CORP
US
N
2
2034-04-15
Floating
1.19100000
N
N
N
N
N
N
VICI PROPERTIES / NOTE
N/A
VICI Properties LP / VICI Note Co Inc
92564RAC9
414000.00000000
PA
USD
415480.05000000
0.010394833110
Long
DBT
US
N
2
2025-02-15
Fixed
3.50000000
N
N
N
N
N
N
JPMorgan Chase Bank, National Association
7H6GLXDRUGQFU57RNE97
Long: SL7C1UZ14 IRS USD R F 1.64500 / Short: SL7C1UZ14 IRS USD P V 00MCPI CPURNSA-CPI UBRAN CONSUMER
000000000
5000000.00000000
OU
Notional Amount
USD
-560598.15000000
-0.01402552110
N/A
DIR
US
N
2
JPMorgan Chase Bank, National Association
7H6GLXDRUGQFU57RNE97
N/A
N/A
Y
Inflation based on US CPI Urban Consumers NSA
2023-08-27
0.00000000
USD
0.00000000
USD
5000000.00000000
USD
-560598.15000000
N
N
N
ARCONIC CORP
549300B4YFWH3U74B152
Arconic Corp
03966VAB3
739000.00000000
PA
USD
763017.50000000
0.019089820492
Long
DBT
CORP
US
N
2
2025-05-15
Fixed
6.00000000
N
N
N
N
N
N
SMB Private Education Loan Trust
N/A
SMB Private Education Loan Trust 2021-A
78448YAA9
101666.14000000
PA
USD
101625.23000000
0.002542546400
Long
ABS-O
CORP
US
N
2
2053-01-15
Floating
0.69100000
N
N
N
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
Long: BLFH0LQB3 IRS USD R V 12MUSCPI SLFH0LQB3_FLO CCPINFLATIONZERO / Short: BLFH0LQB3 IRS USD P F 2.47500 SLFH0LQB3_FIX CCPINFLATIONZERO
000000000
10000000.00000000
OU
Notional Amount
USD
965071.20000000
0.024144971734
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
Inflation based on US CPI Urban Consumers NSA
2031-03-19
0.00000000
USD
0.00000000
USD
10000000.00000000
USD
965071.20000000
N
N
N
BX Trust
N/A
BX Trust 2021-ARIA
05608RAL9
10070000.00000000
PA
USD
9846569.86000000
0.246349855798
Long
ABS-MBS
CORP
US
N
2
2036-10-15
Floating
2.43600000
N
N
N
N
N
N
Mortgage Repurchase Agreement Financing Trust
N/A
Mortgage Repurchase Agreement Financing Trust Series 2021-1
61916TAA9
9500000.00000000
PA
USD
9497709.55000000
0.237621771979
Long
ABS-MBS
CORP
US
N
2
2022-09-10
Floating
0.62600000
N
N
N
N
N
N
HYUNDAI CAPITAL AMERICA
549300RIPPWJB5Z0FK07
Hyundai Capital America
44891ABW6
1692000.00000000
PA
USD
1594977.29000000
0.039904497807
Long
DBT
CORP
US
N
2
2026-06-15
Fixed
1.50000000
N
N
N
N
N
N
MITSUBISHI UFJ FIN GRP
353800V2V8PUY9TK3E06
Mitsubishi UFJ Financial Group Inc
606822BW3
2237000.00000000
PA
USD
2160938.29000000
0.054064191256
Long
DBT
CORP
JP
N
2
2025-07-19
Fixed
0.95300000
N
N
N
N
N
N
CF Hippolyta Issuer LLC
N/A
CF Hippolyta LLC
12530MAG0
4726076.24000000
PA
USD
4465679.84000000
0.111726174725
Long
ABS-O
CORP
US
N
2
2061-03-15
Fixed
1.98000000
N
N
N
N
N
N
Octagon Investment Partners 32 Ltd
N/A
Octagon Investment Partners 32 Ltd
67578BAA4
5000000.00000000
PA
USD
5000743.85000000
0.125112861011
Long
ABS-CBDO
CORP
KY
N
2
2029-07-15
Floating
1.19100000
N
N
N
N
N
N
Angel Oak Mortgage Trust
N/A
Angel Oak Mortgage Trust 2020-1
03464RAA1
172782.26000000
PA
USD
172635.71000000
0.004319146958
Long
ABS-MBS
CORP
US
N
2
2059-12-25
Variable
2.46600000
N
N
N
N
N
N
Forterra Finance, LLC
N/A
Forterra Finance, LLC 2017 Term Loan B
34960TAC7
364097.53000000
PA
USD
363616.92000000
0.009097277232
Long
LON
CORP
US
N
2
2023-10-25
Floating
4.00000000
N
N
N
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
Long: BL5H0P6C5 IRS USD R V 12MUSCPI INF_SL5H0P6C5 CCPINFLATIONZERO / Short: BL5H0P6C5 IRS USD P F 2.42900 FIX_SL5H0P6C5 CCPINFLATIONZERO
000000000
20000000.00000000
OU
Notional Amount
USD
1765638.40000000
0.044174242545
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
Inflation based on US CPI Urban Consumers NSA
2036-07-27
0.00000000
USD
0.00000000
USD
20000000.00000000
USD
1765638.40000000
N
N
N
AT&T Inc.
549300Z40J86GGSTL398
AT&T Inc. 2021 Delayed Draw Term Loan
00210PBS8
4950000.00000000
PA
USD
4950000.00000000
0.123843308232
Long
LON
CORP
US
N
2
2022-03-23
Floating
1.16200000
N
N
N
N
N
N
BSPRT Issuer, Ltd.
N/A
BSPRT 2021-FL7 Issuer Ltd
05602CAA2
7600000.00000000
PA
USD
7562593.41000000
0.189207391254
Long
ABS-CBDO
CORP
KY
N
2
2038-12-15
Floating
1.51100000
N
N
N
N
N
N
WESTINGHOUSE AIR BRAKE
06BTX5UWZD0GQ5N5Y745
Westinghouse Air Brake Technologies Corp
960386AH3
1937000.00000000
PA
USD
1981666.00000000
0.049579004697
Long
DBT
CORP
US
N
2
2023-08-15
Fixed
4.37500000
N
N
N
N
N
N
CD Commercial Mortgage Trust
N/A
CD 2016-CD1 Mortgage Trust
12514MBD6
806376.41000000
PA
USD
38267.08000000
0.000957398340
Long
ABS-MBS
CORP
US
N
2
2049-08-10
Variable
1.37100000
N
N
N
N
N
N
Builders FirstSource Inc
549300W0SKP6L3H7DP63
Builders FirstSource Inc
12008RAM9
10129000.00000000
PA
USD
10539275.15000000
0.263680545645
Long
DBT
CORP
US
N
2
2027-06-01
Fixed
6.75000000
N
N
N
N
N
N
Hertz Vehicle Financing LLC
5493004IHDYOZ9K9WF47
Hertz Vehicle Financing LLC
42806MAD1
5000000.00000000
PA
USD
4807377.00000000
0.120275044767
Long
ABS-O
CORP
US
N
2
2025-12-26
Fixed
3.98000000
N
N
N
N
N
N
Glencore Funding LLC
213800STG1QDNBY87K49
Glencore Funding LLC
378272AN8
3214000.00000000
PA
USD
3334338.72000000
0.083421320778
Long
DBT
CORP
US
N
2
2027-03-27
Fixed
4.00000000
N
N
N
N
N
N
VeriSign Inc
LMPL4N8ZOJRMF0KOF759
VeriSign Inc
92343EAH5
646000.00000000
PA
USD
692001.66000000
0.017313085833
Long
DBT
CORP
US
N
2
2025-04-01
Fixed
5.25000000
N
N
N
N
N
N
OCCIDENTAL PETROLEUM COR
IM7X0T3ECJW4C1T7ON55
Occidental Petroleum Corp
674599DB8
3243000.00000000
PA
USD
3522676.32000000
0.088133310969
Long
DBT
CORP
US
N
2
2024-07-01
Fixed
6.95000000
N
N
N
N
N
N
DAIMLER FINANCE NA LLC
549300423Z16BB673J12
Daimler Finance North America LLC
233851DS0
2775000.00000000
PA
USD
2859099.62000000
0.071531384950
Long
DBT
CORP
US
N
2
2024-02-22
Fixed
3.65000000
N
N
N
N
N
N
Matador Resources Co
549300CI3Q2UUK5R4G79
Matador Resources Co
576485AE6
8071000.00000000
PA
USD
8202153.75000000
0.205208455561
Long
DBT
CORP
US
N
2
2026-09-15
Fixed
5.87500000
N
N
N
N
N
N
One New York Plaza Trust 2020-1NYP
N/A
One New York Plaza Trust 2020-1NYP
68249DAA7
5000000.00000000
PA
USD
4943250.50000000
0.123674443503
Long
ABS-MBS
CORP
US
N
2
2036-01-15
Floating
1.14100000
N
N
N
N
N
N
Barclays Commercial Mortgage Securities LLC
N/A
BBCMS Trust 2015-VFM
05546JAC2
83235531.74000000
PA
USD
786575.77000000
0.019679221319
Long
ABS-MBS
CORP
US
N
2
2036-03-12
Variable
0.34000000
N
N
N
N
N
N
MORGAN STANLEY
IGJSJL3JD5P30I6NJZ34
Morgan Stanley
61747YEB7
3835000.00000000
PA
USD
3727771.87000000
0.093264565801
Long
DBT
CORP
US
N
2
2025-01-22
Fixed
0.79100000
N
N
N
N
N
N
National Fuel Gas Co
8JB38FFW1Y3C1HM8E841
National Fuel Gas Co
636180BL4
2802000.00000000
PA
USD
2837499.85000000
0.070990983541
Long
DBT
CORP
US
N
2
2023-03-01
Fixed
3.75000000
N
N
N
N
N
N
IPALCO Enterprises Inc
5493000YFVK2DZX0JV43
IPALCO Enterprises Inc
462613AM2
1500000.00000000
PA
USD
1536327.71000000
0.038437152754
Long
DBT
CORP
US
N
2
2024-09-01
Fixed
3.70000000
N
N
N
N
N
N
Credit Suisse Group AG
549300506SI9CRFV9Z86
Credit Suisse Group AG
225401AG3
785000.00000000
PA
USD
804821.87000000
0.020135717761
Long
DBT
CORP
CH
N
2
2024-06-12
Fixed
4.20700000
N
N
N
N
N
N
Wells Fargo Commercial Mortgage Trust
549300NYO16WLNMVJJ46
Wells Fargo Commercial Mortgage Trust 2015-C29
94989KAY9
3311460.68000000
PA
USD
56519.68000000
0.001414057404
Long
ABS-MBS
CORP
US
N
2
2048-06-15
Variable
0.60400000
N
N
N
N
N
N
Steel Dynamics Inc
549300HGGKEL4FYTTQ83
Steel Dynamics Inc
858119BF6
2152000.00000000
PA
USD
2210125.63000000
0.055294801945
Long
DBT
CORP
US
N
2
2026-12-15
Fixed
5.00000000
N
N
N
N
N
N
Credit Suisse Group AG
549300506SI9CRFV9Z86
Credit Suisse Group AG
225401AD0
5000000.00000000
PA
USD
5043804.15000000
0.126190180204
Long
DBT
CORP
CH
N
2
2023-12-14
Fixed
2.99700000
N
N
N
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
Long: BL4R0Z0Y0 IRS USD R V 12MUSCPI SL4R0Z0Y0_FLO CCPINFLATIONZERO / Short: BL4R0Z0Y0 IRS USD P F 2.08500 SL4R0Z0Y0_FIX CCPINFLATIONZERO
000000000
10000000.00000000
OU
Notional Amount
USD
1270593.60000000
0.031788790877
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
Inflation based on US CPI Urban Consumers NSA
2028-12-10
0.00000000
USD
0.00000000
USD
10000000.00000000
USD
1270593.60000000
N
N
N
CONTINENTAL RESOURCES
XXRTID9RYWOZ0UPIVR53
Continental Resources Inc/OK
212015AU5
3108000.00000000
PA
USD
2966415.06000000
0.074216293862
Long
DBT
CORP
US
N
2
2026-11-15
Fixed
2.26800000
N
N
N
N
N
N
JP Morgan Chase Commercial Mortgage Sec Trust
N/A
JP Morgan Chase Commercial Mortgage Securities Trust 2018-PTC
46649GAG9
449000.00000000
PA
USD
444912.89000000
0.011131208923
Long
ABS-MBS
CORP
US
N
2
2031-04-15
Floating
2.34100000
N
N
N
N
N
N
Citigroup Inc
6SHGI4ZSSLCXXQSBB395
Citigroup Inc
172967JL6
2023000.00000000
PA
USD
2097094.18000000
0.052466885035
Long
DBT
CORP
US
N
2
2025-03-26
Fixed
3.87500000
N
N
N
N
N
N
Atalaya Equipment Leasing Fund I LP
N/A
Atalaya Equipment Leasing Trust 21-1
046497AB9
6250000.00000000
PA
USD
6200556.88000000
0.155130803414
Long
ABS-O
CORP
US
N
2
2026-05-15
Fixed
1.23000000
N
N
N
N
N
N
Cheniere Corpus Christi Holdings, LLC
549300I7CIEWU1BBLQ53
Cheniere Corpus Christi Holdings, LLC Delayed Draw Term Loan Tranche 2
000000000
7155738.30000000
PA
USD
7160210.64000000
0.179140237029
Long
LON
CORP
US
N
2
2024-06-30
Floating
1.95900000
N
N
N
N
N
N
Arivo Acceptance Auto Loan Receivables Trust
N/A
Arivo Acceptance Auto Loan Receivables Trust 2019-1
04046LAA9
107260.54000000
PA
USD
107723.47000000
0.002695117353
Long
ABS-O
CORP
US
N
2
2024-07-15
Fixed
2.99000000
N
N
N
N
N
N
Generate CLO Ltd.
N/A
Generate CLO 2 Ltd
98625TAJ4
1320000.00000000
PA
USD
1324255.51000000
0.033131350162
Long
ABS-CBDO
CORP
KY
N
2
2031-01-22
Floating
1.40900000
N
N
N
N
N
N
Residential Mortgage Loan Trust
N/A
Residential Mortgage Loan Trust 2020-1
76119CAA9
124214.97000000
PA
USD
123350.43000000
0.003086085923
Long
ABS-MBS
CORP
US
N
2
2060-01-26
Variable
2.37600000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140EUEP0
323455.86000000
PA
USD
335700.14000000
0.008398831497
Long
ABS-MBS
USGSE
US
N
2
2045-12-01
Floating
2.73900000
N
N
N
N
N
N
API GROUP DE, INC.
549300XP4G7B4QYA0G83
APi Group DE, Inc. 2021 Incremental Term Loan B
00186XAJ2
873633.00000000
PA
USD
869889.48000000
0.021763634545
Long
LON
CORP
US
N
2
2029-01-03
Floating
2.95900000
N
N
N
N
N
N
DEVON ENERGY CORPORATION
54930042348RKR3ZPN35
Devon Energy Corp
25179MBB8
5532000.00000000
PA
USD
5953110.56000000
0.148939981014
Long
DBT
CORP
US
N
2
2023-08-01
Fixed
8.25000000
N
N
N
N
N
N
EQUS 2021-EQAZ Mortgage Trust
N/A
EQUS 2021-EQAZ Mortgage Trust
29478JAG5
2640000.00000000
PA
USD
2585197.03000000
0.064678657096
Long
ABS-MBS
CORP
US
N
2
2038-10-15
Floating
1.29100000
N
N
N
N
N
N
Carlyle Global Market Strategies
N/A
Carlyle Global Market Strategies CLO 2015-1 Ltd
14311DBN5
2160000.00000000
PA
USD
2156807.87000000
0.053960852897
Long
ABS-CBDO
CORP
KY
N
2
2031-07-20
Floating
1.23400000
N
N
N
N
N
N
CarMax Auto Owner Trust
N/A
CarMax Auto Owner Trust 2020-2
14315VAD4
131117.81000000
PA
USD
131557.45000000
0.003291416127
Long
ABS-O
CORP
US
N
2
2024-11-15
Fixed
1.70000000
N
N
N
N
N
N
GENERAL MOTORS FINL CO
5493008B6JBRUJ90QL97
General Motors Financial Co Inc
37045XBK1
557000.00000000
PA
USD
567218.89000000
0.014191164409
Long
DBT
CORP
US
N
2
2023-05-09
Fixed
3.70000000
N
N
N
N
N
N
WF-RBS Commercial Mortgage Trust
N/A
WFRBS Commercial Mortgage Trust 2012-C7
92936TAB8
545359.00000000
PA
USD
545379.07000000
0.013644757226
Long
ABS-MBS
CORP
US
N
2
2045-06-15
Fixed
3.43100000
N
N
N
N
N
N
TRANSDIGM INC
88Q84GB3X55CF5OC7582
TransDigm Inc
893647BK2
5905000.00000000
PA
USD
6172850.80000000
0.154437629150
Long
DBT
CORP
US
N
2
2025-12-15
Fixed
8.00000000
N
N
N
N
N
N
ABN AMRO Bank NV
BFXS5XCH7N0Y05NIXW11
ABN AMRO Bank NV
00084DAL4
2000000.00000000
PA
USD
2131513.92000000
0.053328027352
Long
DBT
CORP
NL
N
2
2026-04-18
Fixed
4.80000000
N
N
N
N
N
N
Petroleos Mexicanos
549300CAZKPF4HKMPX17
Petroleos Mexicanos
71654QCB6
5338000.00000000
PA
USD
5660682.10000000
0.141623757194
Long
DBT
CORP
MX
N
2
2026-08-04
Fixed
6.87500000
N
N
N
N
N
N
OneMain Financial Issuance Trust
N/A
OneMain Financial Issuance Trust 2019-2
68269BAA6
16497000.00000000
PA
USD
17000636.91000000
0.425336387270
Long
ABS-O
CORP
US
N
2
2036-10-14
Fixed
3.14000000
N
N
N
N
N
N
Delos Finance Sarl
549300HX549YWOJQT076
Delos Finance Sarl 2018 Term Loan B
000000000
10432750.91000000
PA
USD
10419709.97000000
0.260689162324
Long
LON
CORP
LU
N
2
2023-10-06
Floating
1.97400000
N
N
N
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
Long: BL2I4HEU1 IRS USD R V 12MUSCPI INF_SL2I4HEU1 CCPINFLATIONZERO / Short: BL2I4HEU1 IRS USD P F 2.48125 FIX_SL2I4HEU1 CCPINFLATIONZERO
000000000
15000000.00000000
OU
Notional Amount
USD
1199759.85000000
0.030016611900
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
Inflation based on US CPI Urban Consumers NSA
2033-07-29
0.00000000
USD
0.00000000
USD
15000000.00000000
USD
1199759.85000000
N
N
N
ALTICE FRANCE SA
5493001ZMCICV4N02J21
Altice France SA/France
02156LAA9
8325000.00000000
PA
USD
8772468.75000000
0.219477081083
Long
DBT
CORP
FR
N
2
2027-02-01
Fixed
8.12500000
N
N
N
N
N
N
MND Holdings III Corp
549300WWRLAH3KF2JR67
MND Holdings III Corp 2018 1st Lien Term Loan
55292TAE7
4086494.00000000
PA
USD
4044362.25000000
0.101185293076
Long
LON
CORP
US
N
2
2024-06-19
Floating
4.50000000
N
N
N
N
N
N
Navient Corp
54930067J0ZNOEBRW338
Navient Corp
78442FET1
3263000.00000000
PA
USD
3364870.86000000
0.084185199813
Long
DBT
CORP
US
N
2
2024-03-25
Fixed
6.12500000
N
N
N
N
N
N
AIR CANADA 2015-2B PTT
N/A
Air Canada 2015-2 Class B Pass Through Trust
009088AC9
2433326.69000000
PA
USD
2453741.81000000
0.061389798646
Long
DBT
CORP
CA
N
2
2023-12-15
Fixed
5.00000000
N
N
N
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
Long: BL942D9I9 IRS USD R V 12MUSCPI SL942D9I9_FLO CCPINFLATIONZERO / Short: BL942D9I9 IRS USD P F 2.53375 SL942D9I9_FIX CCPINFLATIONZERO
000000000
10000000.00000000
OU
Notional Amount
USD
870546.00000000
0.021780059920
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
Inflation based on US CPI Urban Consumers NSA
2032-05-05
0.00000000
USD
0.00000000
USD
10000000.00000000
USD
870546.00000000
N
N
N
AVOLON HOLDINGS FNDG LTD
635400ZRKEX9L1BKCH30
Avolon Holdings Funding Ltd
05401AAE1
170000.00000000
PA
USD
170310.15000000
0.004260964121
Long
DBT
CORP
KY
N
2
2022-05-01
Fixed
3.62500000
N
N
N
N
N
N
Goldman Sachs & Co. LLC
FOR8UP27PHTHYVLBNG30
Long: SL333YGI2 IRS USD R F 1.98800 SL333YGI2_FIX INFLATIONZERO / Short: SL333YGI2 IRS USD P V 12MUSCPI SL333YGI2_INF INFLATIONZERO
000000000
10000000.00000000
OU
Notional Amount
USD
-875917.30000000
-0.02191444367
N/A
DIR
US
N
2
Goldman Sachs & Co. LLC
FOR8UP27PHTHYVLBNG30
N/A
N/A
Y
Inflation based on US CPI Urban Consumers NSA
2023-05-25
0.00000000
USD
0.00000000
USD
10000000.00000000
USD
-875917.30000000
N
N
N
GS Mortgage Securities Trust
N/A
GS Mortgage Securities Corp Trust 2019-70P
36257MAJ4
656511.00000000
PA
USD
644228.20000000
0.016117848796
Long
ABS-MBS
CORP
US
N
2
2036-10-15
Floating
1.51100000
N
N
N
N
N
N
NEW YORK ST TRANSPRTN DEV CORPSPL FAC REVENUE
N/A
New York Transportation Development Corp
650116DZ6
110000.00000000
PA
USD
110060.09000000
0.002753576898
Long
DBT
MUN
US
N
2
2022-12-01
Fixed
1.61000000
N
N
N
N
N
N
DEVON ENERGY CORPORATION
54930042348RKR3ZPN35
Devon Energy Corp
25179MBD4
5729000.00000000
PA
USD
5940306.60000000
0.148619640658
Long
DBT
CORP
US
N
2
2027-10-15
Fixed
5.25000000
N
N
N
N
N
N
Carvana Auto Receivables Trust
N/A
Carvana Auto Receivables Trust 2021-N1
14687DAA0
393876.75000000
PA
USD
386971.46000000
0.009681580969
Long
ABS-O
CORP
US
N
2
2028-01-10
Fixed
0.70000000
N
N
N
N
N
N
FREEPORT-MCMORAN INC
549300IRDTHJQ1PVET45
Freeport-McMoRan Inc
35671DCG8
798000.00000000
PA
USD
809331.60000000
0.020248546020
Long
DBT
CORP
US
N
2
2028-08-01
Fixed
4.37500000
N
N
N
N
N
N
Avis Budget Rental Car Funding AESOP LLC
IHXLB8SL0QWSSG2VG640
Avis Budget Rental Car Funding AESOP LLC
05377RDL5
5000000.00000000
PA
USD
5143518.00000000
0.128684906075
Long
ABS-O
CORP
US
N
2
2025-09-22
Fixed
3.35000000
N
N
N
N
N
N
Univision Communications Inc.
549300YQDE2JSGTL8V47
Univision Communications Inc. Term Loan C5
914908AX6
5432210.00000000
PA
USD
5412328.11000000
0.135410225935
Long
LON
CORP
US
N
2
2024-03-15
Floating
3.75000000
N
N
N
N
N
N
Braskem Finance Ltd
254900HEUOOGBXNXZM03
Braskem Finance Ltd
10553YAF2
1550000.00000000
PA
USD
1648758.25000000
0.041250035586
Long
DBT
CORP
KY
N
2
2024-02-03
Fixed
6.45000000
N
N
N
N
N
N
COTERRA ENERGY INC
FCNMH6O7VWU7LHXMK351
Coterra Energy Inc
127097AB9
1878000.00000000
PA
USD
1948877.58000000
0.048758676130
Long
DBT
CORP
US
N
2
2024-06-01
Fixed
4.37500000
N
N
N
N
N
N
Wells Fargo Commercial Mortgage Trust
549300NYO16WLNMVJJ46
Wells Fargo Commercial Mortgage Trust 2015-C29
94989KAZ6
58000000.00000000
PA
USD
92017.00000000
0.002302159534
Long
ABS-MBS
CORP
US
N
2
2048-06-15
Variable
0.01300000
N
N
N
N
N
N
Israel Electric Corp Ltd
254900JW7GE35YNJGJ55
Israel Electric Corp Ltd
46507MAE2
3385000.00000000
PA
USD
3586982.95000000
0.089742188909
Long
DBT
CORP
IL
N
2
2023-06-21
Fixed
6.87500000
N
N
N
N
N
N
GLP CAPITAL LP / FIN II
N/A
GLP Capital LP / GLP Financing II Inc
361841AJ8
1275000.00000000
PA
USD
1344959.26000000
0.033649334180
Long
DBT
CORP
US
N
2
2025-06-01
Fixed
5.25000000
N
N
N
N
N
N
HYUNDAI CAPITAL AMERICA
549300RIPPWJB5Z0FK07
Hyundai Capital America
44891ABY2
1088000.00000000
PA
USD
1047039.73000000
0.026195730103
Long
DBT
CORP
US
N
2
2024-09-17
Fixed
1.00000000
N
N
N
N
N
N
COMM Mortgage Trust
549300NGGFIEJ2ER3D22
COMM 2013-CCRE8 Mortgage Trust
12625KAF2
11002227.39000000
PA
USD
32299.24000000
0.000808089845
Long
ABS-MBS
CORP
US
N
2
2046-06-10
Variable
0.32100000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31419APE1
19265.38000000
PA
USD
20158.47000000
0.000504341740
Long
ABS-MBS
USGSE
US
N
2
2040-10-01
Floating
2.05200000
N
N
N
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
Long: BL3114PR4 IRS USD R V 12MUSCPI SL3114PR4_FLO CCPINFLATIONZERO / Short: BL3114PR4 IRS USD P F 2.42000 SL3114PR4_FIX CCPINFLATIONZERO
000000000
10000000.00000000
OU
Notional Amount
USD
1017718.90000000
0.025462156651
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
Inflation based on US CPI Urban Consumers NSA
2041-04-23
0.00000000
USD
0.00000000
USD
10000000.00000000
USD
1017718.90000000
N
N
N
Intesa Sanpaolo SpA
2W8N8UU78PMDQKZENC08
Intesa Sanpaolo SpA
46115HBC0
1966000.00000000
PA
USD
1986885.66000000
0.049709594588
Long
DBT
CORP
IT
N
2
2023-01-12
Fixed
3.37500000
N
N
N
N
N
N
Westlake Automobile Receivables Trust
N/A
Westlake Automobile Receivables Trust 2021-2
96042RAB4
4539151.74000000
PA
USD
4514373.42000000
0.112944432106
Long
ABS-O
CORP
US
N
2
2025-04-15
Fixed
0.32000000
N
N
N
N
N
N
UBER TECHNOLOGIES INC
549300B2FTG34FILDR98
Uber Technologies Inc
90353TAE0
1760000.00000000
PA
USD
1883032.80000000
0.047111315446
Long
DBT
CORP
US
N
2
2027-09-15
Fixed
7.50000000
N
N
N
N
N
N
Angel Oak Mortgage Trust
N/A
Angel Oak Mortgage Trust 2021-6
03465JAA8
4565591.36000000
PA
USD
4442121.79000000
0.111136779402
Long
ABS-MBS
CORP
US
N
2
2066-09-25
Variable
1.45800000
N
N
N
N
N
N
Navient Corp
54930067J0ZNOEBRW338
Navient Corp
63938CAE8
2997000.00000000
PA
USD
3147524.33000000
0.078747439549
Long
DBT
CORP
US
N
2
2023-09-25
Fixed
7.25000000
N
N
N
N
N
N
ARI Fleet Lease Trust
N/A
ARI Fleet Lease Trust 2020-A
00217TAB1
141690.69000000
PA
USD
142016.10000000
0.003553079524
Long
ABS-O
CORP
US
N
2
2028-08-15
Fixed
1.77000000
N
N
N
N
N
N
Deutsche Bank Aktiengesellschaft
7LTWFZYICNSX8D621K86
Long: SLNE1IIM2 IRS USD R F 1.67250 SLNE1IIM2_FIX INFLATIONZERO / Short: SLNE1IIM2 IRS USD P V 12MUSCPI SLNE1IIM2_INF INFLATIONZERO
000000000
20000000.00000000
OU
Notional Amount
USD
-2337038.80000000
-0.05847002352
N/A
DIR
US
N
2
Deutsche Bank Aktiengesellschaft
7LTWFZYICNSX8D621K86
N/A
N/A
Y
Inflation based on US CPI Urban Consumers NSA
2023-04-20
0.00000000
USD
0.00000000
USD
20000000.00000000
USD
-2337038.80000000
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
Long: BL9J07PS1 IRS USD R V 12MUSCPI SL9J07PS1_FLO CCPINFLATIONZERO / Short: BL9J07PS1 IRS USD P F 2.49250 SL9J07PS1_FIX CCPINFLATIONZERO
000000000
25000000.00000000
OU
Notional Amount
USD
2069848.25000000
0.051785223195
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
Inflation based on US CPI Urban Consumers NSA
2030-06-28
0.00000000
USD
0.00000000
USD
25000000.00000000
USD
2069848.25000000
N
N
N
J.P. Morgan Securities LLC
ZBUT11V806EZRVTWT807
Long: SLF016QR IRS USD R V 00MCPI / Short: SLF016QR IRS USD P F 2.95500
000000000
5000000.00000000
OU
Notional Amount
USD
-514389.50000000
-0.01286943381
N/A
DIR
US
N
2
J.P. Morgan Securities LLC
ZBUT11V806EZRVTWT807
N/A
N/A
Y
Inflation based on US CPI Urban Consumers NSA
2026-07-15
0.00000000
USD
0.00000000
USD
5000000.00000000
USD
-514389.50000000
N
N
N
SANTANDER UK GROUP HLDGS
549300F5XIFGNNW4CF72
Santander UK Group Holdings PLC
80281LAJ4
5776000.00000000
PA
USD
6015467.47000000
0.150500079201
Long
DBT
CORP
GB
N
2
2024-11-15
Fixed
4.79600000
N
N
N
N
N
N
AVOLON TLB BORROWER 1 (US) LLC
635400O84AGITYFZQB55
Avolon TLB Borrower 1 (US) LLC 2021 Term Loan B5
05400KAH3
1867312.00000000
PA
USD
1858479.61000000
0.046497022865
Long
LON
CORP
US
N
2
2027-12-01
Floating
2.75000000
N
N
N
N
N
N
Elmwood CLO X Ltd
N/A
Elmwood CLO X Ltd
29002VAA6
4880000.00000000
PA
USD
4848276.00000000
0.121298290719
Long
ABS-CBDO
CORP
KY
N
2
2034-10-20
Floating
1.29400000
N
N
N
N
N
N
PLAINS ALL AMER PIPELINE
N/A
Plains All American Pipeline LP / PAA Finance Corp
72650RBL5
758000.00000000
PA
USD
809097.17000000
0.020242680851
Long
DBT
CORP
US
N
2
2026-12-15
Fixed
4.50000000
N
N
N
N
N
N
Exeter Automobile Receivables Trust
N/A
Exeter Automobile Receivables Trust 2021-2
30165XAF2
1675000.00000000
PA
USD
1638275.96000000
0.040987780744
Long
ABS-O
CORP
US
N
2
2027-04-15
Fixed
1.40000000
N
N
N
N
N
N
Deutsche Bank Aktiengesellschaft
7LTWFZYICNSX8D621K86
Long: SL1G0P8B1 IRS USD R F 1.65000 SL1G0P8B1_FIX INFLATIONZERO / Short: SL1G0P8B1 IRS USD P V 12MUSCPI SL1G0P8B1_INF INFLATIONZERO
000000000
10000000.00000000
OU
Notional Amount
USD
-1524009.70000000
-0.03812897030
N/A
DIR
DE
N
2
Deutsche Bank Aktiengesellschaft
7LTWFZYICNSX8D621K86
N/A
N/A
Y
Inflation based on US CPI Urban Consumers NSA
2026-01-20
0.00000000
USD
0.00000000
USD
10000000.00000000
USD
-1524009.70000000
N
N
N
CENTERPOINT ENERGY INC
21TPXMRRHFKOBHDC8J74
CenterPoint Energy Inc
15189TAZ0
1000000.00000000
PA
USD
1000214.98000000
0.025024228700
Long
DBT
CORP
US
N
2
2024-05-13
Floating
0.70000000
N
N
N
N
N
N
PLAINS ALL AMER PIPELINE
N/A
Plains All American Pipeline LP / PAA Finance Corp
72650RBD3
2036000.00000000
PA
USD
2079792.67000000
0.052034021149
Long
DBT
CORP
US
N
2
2023-10-15
Fixed
3.85000000
N
N
N
N
N
N
GS Mortgage Securities Trust
5493005BBCF84ICNQ550
GS Mortgage Securities Corp II
36266CAA4
11500000.00000000
PA
USD
11288049.25000000
0.282414012648
Long
ABS-MBS
CORP
US
N
2
2036-11-15
Floating
1.44100000
N
N
N
N
N
N
Pilgrim's Pride Corp
549300ZSLGV64ZL3HD75
Pilgrim's Pride Corp
72147KAE8
3285000.00000000
PA
USD
3380215.73000000
0.084569110816
Long
DBT
CORP
US
N
2
2027-09-30
Fixed
5.87500000
N
N
N
N
N
N
JP Morgan Chase Commercial Mortgage Sec Trust
N/A
J.P. Morgan Chase Commercial Mortgage Securities Trust 2018-AON
46649XAE7
50413000.00000000
PA
USD
126597.13000000
0.003167314624
Long
ABS-MBS
CORP
US
N
2
2031-07-05
Variable
0.15400000
N
N
N
N
N
N
ASB BANK LIMITED
549300IBZWZL1KTPF918
ASB Bank Ltd
00216LAA1
1018000.00000000
PA
USD
1045127.33000000
0.026147884054
Long
DBT
CORP
NZ
N
2
2023-06-14
Fixed
3.75000000
N
N
N
N
N
N
ALLIED UNIVERSAL
N/A
Allied Universal Holdco LLC / Allied Universal Finance Corp
019576AB3
2002000.00000000
PA
USD
2094092.00000000
0.052391773943
Long
DBT
CORP
US
N
2
2027-07-15
Fixed
9.75000000
N
N
N
N
N
N
COMM Mortgage Trust
N/A
COMM 2010-C1 Mortgage Trust
12622DAJ3
2679.54000000
PA
USD
2678.98000000
0.000067024999
Long
ABS-MBS
CORP
US
N
2
2046-07-10
Variable
5.65700000
N
N
N
N
N
N
World Omni Select Auto Trust
N/A
World Omni Select Auto Trust 2018-1
98162DAL3
747239.06000000
PA
USD
750129.38000000
0.018767374549
Long
ABS-O
CORP
US
N
2
2025-01-15
Fixed
4.13000000
N
N
N
N
N
N
CLEAR CHANNEL INTL BV
N/A
Clear Channel International BV
18452MAB2
3557000.00000000
PA
USD
3613912.00000000
0.090415922775
Long
DBT
CORP
NL
N
2
2025-08-01
Fixed
6.62500000
N
N
N
N
N
N
Great Wolf Trust
N/A
Great Wolf Trust 2019-WOLF
39152TAG5
10000000.00000000
PA
USD
9862480.00000000
0.246747909206
Long
ABS-MBS
CORP
US
N
2
2036-12-15
Floating
1.52500000
N
N
N
N
N
N
LEGACY LIFEPOINT HEALTH
N/A
Legacy LifePoint Health LLC
53219LAT6
1997000.00000000
PA
USD
2069830.59000000
0.051784781362
Long
DBT
CORP
US
N
2
2025-04-15
Fixed
6.75000000
N
N
N
N
N
N
WEST FRASER TIMBER CO
5493005WD1ZK6WBVR988
West Fraser Timber Co Ltd
952845AE5
871000.00000000
PA
USD
913427.76000000
0.022852912248
Long
DBT
CORP
CA
N
2
2024-10-15
Fixed
4.35000000
N
N
N
N
N
N
Credit Suisse Mortgage Trust
N/A
CSMC 2021-NQM1
126407AA3
3183339.22000000
PA
USD
3134718.81000000
0.078427060163
Long
ABS-MBS
CORP
US
N
2
2065-05-25
Variable
0.80900000
N
N
N
N
N
N
TURKIYE VAKIFLAR BANKASI
789000KAIHOLSQKQ9858
Turkiye Vakiflar Bankasi TAO
90015WAF0
1267000.00000000
PA
USD
1272075.60000000
0.031825868813
Long
DBT
CORP
TR
N
2
2022-05-30
Fixed
5.62500000
N
N
N
N
N
N
CSN Resources SA
222100ZEX458NMOXZP08
CSN Resources SA
12644VAC2
1129000.00000000
PA
USD
1179054.23000000
0.029498581096
Long
DBT
CORP
LU
N
2
2026-04-17
Fixed
7.62500000
N
N
N
N
N
N
Bank of America, National Association
B4TYDEB6GKMZO031MB27
Long: SL2I3L7D9 IRS USD R V 12MUSCPI SL2I3L7D9_INF INFLATIONZERO / Short: SL2I3L7D9 IRS USD P F 2.34500 SL2I3L7D9_FIX INFLATIONZERO
000000000
30000000.00000000
OU
Notional Amount
USD
2781773.40000000
0.069596771840
N/A
DIR
US
N
2
Bank of America, National Association
B4TYDEB6GKMZO031MB27
N/A
N/A
Y
Inflation based on US CPI Urban Consumers NSA
2029-02-13
0.00000000
USD
0.00000000
USD
30000000.00000000
USD
2781773.40000000
N
N
N
Four Seasons Hotels Limited
5493009FUVX8LHYY2202
Four Seasons Hotels Limited New 1st Lien Term Loan
35100DAR7
6154171.64000000
PA
USD
6120631.40000000
0.153131159807
Long
LON
CORP
CA
N
2
2023-11-30
Floating
2.20900000
N
N
N
N
N
N
MF1 Multifamily Housing Mortgage Loan Trust
N/A
MF1 2021-FL6 Ltd
55283TAC2
7030000.00000000
PA
USD
6983953.50000000
0.174730486056
Long
ABS-CBDO
CORP
KY
N
2
2036-07-16
Floating
1.57600000
N
N
N
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
Long: BL1T522M1 IRS USD R V 12MUSCPI SL1T522M1_FLO CCPINFLATIONZERO / Short: BL1T522M1 IRS USD P F 2.49600 SL1T522M1_FIX CCPINFLATIONZERO
000000000
10000000.00000000
OU
Notional Amount
USD
945351.50000000
0.023651607515
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
Inflation based on US CPI Urban Consumers NSA
2033-03-30
0.00000000
USD
0.00000000
USD
10000000.00000000
USD
945351.50000000
N
N
N
Santander Drive Auto Receivables Trust
N/A
Santander Drive Auto Receivables Trust 2021-4
80285VAE9
3185000.00000000
PA
USD
3100588.58000000
0.077573161053
Long
ABS-O
CORP
US
N
2
2027-02-16
Fixed
1.26000000
N
N
N
N
N
N
Citigroup Commercial Mortgage Trust
N/A
Citigroup Commercial Mortgage Trust 2014-GC23
17322VAZ9
3452000.00000000
PA
USD
17588.98000000
0.000440056054
Long
ABS-MBS
CORP
US
N
2
2047-07-10
Variable
0.21100000
N
N
N
N
N
N
Donlen Fleet Lease Funding
549300ZWUQETU54FDP26
Donlen Fleet Lease Funding 2 LLC
257812AD9
5680607.51000000
PA
USD
5593040.38000000
0.139931439138
Long
ABS-O
CORP
US
N
2
2034-12-11
Fixed
0.56000000
N
N
N
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
Long: BLB1049Y9 IRS USD R V 12MUSCPI SLB1049Y9_FLO CCPINFLATIONZERO / Short: BLB1049Y9 IRS USD P F 2.56000 SLB1049Y9_FIX CCPINFLATIONZERO
000000000
15000000.00000000
OU
Notional Amount
USD
1276659.60000000
0.031940555222
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
Inflation based on US CPI Urban Consumers NSA
2031-04-30
0.00000000
USD
0.00000000
USD
15000000.00000000
USD
1276659.60000000
N
N
N
AERCAP IRELAND CAP/GLOBA
N/A
AerCap Ireland Capital DAC / AerCap Global Aviation Trust
00774MAN5
5376000.00000000
PA
USD
5925683.10000000
0.148253777502
Long
DBT
CORP
IE
N
2
2025-07-15
Fixed
6.50000000
N
N
N
N
N
N
MACQUARIE GROUP LTD
ACMHD8HWFMFUIQQ8Y590
Macquarie Group Ltd
55608JAR9
403000.00000000
PA
USD
381167.33000000
0.009536368310
Long
DBT
CORP
AU
N
2
2027-01-12
Fixed
1.34000000
N
N
N
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
Long: BL0X0P932 IRS USD R V 12MUSCPI SL0X0P932_FLO CCPINFLATIONZERO / Short: BL0X0P932 IRS USD P F 2.58600 SL0X0P932_FIX CCPINFLATIONZERO
000000000
15000000.00000000
OU
Notional Amount
USD
1184317.65000000
0.029630265812
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
Inflation based on US CPI Urban Consumers NSA
2031-06-03
0.00000000
USD
0.00000000
USD
15000000.00000000
USD
1184317.65000000
N
N
N
ABN AMRO Bank NV
BFXS5XCH7N0Y05NIXW11
ABN AMRO Bank NV
00080QAF2
3635000.00000000
PA
USD
3831297.27000000
0.095854652270
Long
DBT
CORP
NL
N
2
2025-07-28
Fixed
4.75000000
N
N
N
N
N
N
Bank of America, National Association
B4TYDEB6GKMZO031MB27
Long: SL7C2G525 IRS USD R F 1.93600 SL7C2G525_FIX INFLATIONZERO / Short: SL7C2G525 IRS USD P V 00MCPURN SL7C2G525_INF INFLATIONZERO
000000000
10000000.00000000
OU
Notional Amount
USD
-675155.20000000
-0.01689160677
N/A
DIR
US
N
2
Bank of America, National Association
B4TYDEB6GKMZO031MB27
N/A
N/A
Y
Inflation based on US CPI Urban Consumers NSA
2022-05-22
0.00000000
USD
0.00000000
USD
10000000.00000000
USD
-675155.20000000
N
N
N
Pertamina Persero PT
254900NDAKGNZ2IBBL45
Pertamina Persero PT
69369EAC3
2000000.00000000
PA
USD
2009828.76000000
0.050283604569
Long
DBT
CORP
ID
N
2
2022-05-03
Fixed
4.87500000
N
N
N
N
N
N
Capital One Multi-Asset Execution Trust
R42WS16M9R97TJJKGU15
Capital One Multi-Asset Execution Trust
14041NFU0
289000.00000000
PA
USD
290159.53000000
0.007259457800
Long
ABS-O
CORP
US
N
2
2024-08-15
Fixed
1.72000000
N
N
N
N
N
N
SANTANDER HOLDINGS USA
549300SMVCQN2P0O6I58
Santander Holdings USA Inc
80282KAZ9
1051000.00000000
PA
USD
1061593.86000000
0.026559857701
Long
DBT
CORP
US
N
2
2026-10-05
Fixed
3.24400000
N
N
N
N
N
N
Morgan Stanley
IGJSJL3JD5P30I6NJZ34
Morgan Stanley
61747YDU6
769000.00000000
PA
USD
789500.23000000
0.019752387946
Long
DBT
CORP
US
N
2
2023-05-22
Fixed
4.10000000
N
N
N
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
Long: BLP30PK53 IRS USD R V 12MUSCPI INF_SLP30PK53 CCPINFLATIONZERO / Short: BLP30PK53 IRS USD P F 2.46250 FIX_SLP30PK53 CCPINFLATIONZERO
000000000
20000000.00000000
OU
Notional Amount
USD
1487497.40000000
0.037215474546
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
Inflation based on US CPI Urban Consumers NSA
2033-08-27
0.00000000
USD
0.00000000
USD
20000000.00000000
USD
1487497.40000000
N
N
N
LSTAR Commercial Mortgage Trust
N/A
LSTAR Commercial Mortgage Trust 2016-4
50219QBA1
19753000.00000000
PA
USD
464393.03000000
0.011618579627
Long
ABS-MBS
CORP
US
N
2
2049-03-10
Variable
0.63400000
N
N
N
N
N
N
Barclays Bank PLC
G5GSEF7VJP5I7OUK5573
Long: SLQG13H30 IRS USD R V 12MUSCPI SLQG13H30_INF INFLATIONZERO / Short: SLQG13H30 IRS USD P F 2.22250 SLQG13H30_FIX INFLATIONZERO
000000000
30000000.00000000
OU
Notional Amount
USD
2340984.00000000
0.058568727894
N/A
DIR
US
N
2
Barclays Bank PLC
G5GSEF7VJP5I7OUK5573
N/A
N/A
Y
Inflation based on US CPI Urban Consumers NSA
2023-12-30
0.00000000
USD
0.00000000
USD
30000000.00000000
USD
2340984.00000000
N
N
N
JPMBB Commercial Mortgage Securities Trust
N/A
JPMBB Commercial Mortgage Securities Trust 2015-C29
46644RBB0
1485423.62000000
PA
USD
23203.95000000
0.000580536147
Long
ABS-MBS
CORP
US
N
2
2048-05-15
Variable
0.61400000
N
N
N
N
N
N
NETFLIX INC
549300Y7VHGU0I7CE873
Netflix Inc
64110LAY2
1025000.00000000
PA
USD
1049307.88000000
0.026252476608
Long
DBT
CORP
US
N
2
2025-06-15
Fixed
3.62500000
N
N
N
N
N
N
VORNADO REALTY LP
549300BMOJ05INE4YK86
Vornado Realty LP
929043AK3
1231000.00000000
PA
USD
1195768.79000000
0.029916760168
Long
DBT
US
N
2
2026-06-01
Fixed
2.15000000
N
N
N
N
N
N
COTY INC
549300BO9IWPF3S48F93
Coty Inc
222070AE4
7738000.00000000
PA
USD
7793945.74000000
0.194995560530
Long
DBT
CORP
US
N
2
2026-04-15
Fixed
5.00000000
N
N
N
N
N
N
Humana Inc.
529900YLDW34GJAO4J06
Humana Inc. Term Loan
000000000
7320296.00000000
PA
USD
7205916.38000000
0.180283742089
Long
LON
CORP
US
N
3
2023-10-30
Floating
1.42900000
N
N
N
N
N
N
BX Commercial Mortgage Trust 2019-XL
N/A
BX Commercial Mortgage Trust 2019-XL
056054AG4
5287000.00000000
PA
USD
5240069.94000000
0.131100524593
Long
ABS-MBS
CORP
US
N
2
2036-10-15
Floating
1.64100000
N
N
N
N
N
N
Aramark Services Inc
42YMHYH0XMHJEXDUB065
Aramark Services Inc
038522AP3
2413000.00000000
PA
USD
2433052.03000000
0.060872164140
Long
DBT
CORP
US
N
2
2025-04-01
Fixed
5.00000000
N
N
N
N
N
N
Danske Bank A/S
MAES062Z21O4RZ2U7M96
Danske Bank A/S
23636AAT8
16478000.00000000
PA
USD
17365836.45000000
0.434473259835
Long
DBT
CORP
DK
N
2
2024-01-12
Fixed
5.37500000
N
N
N
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
Long: BLP82FTK0 IRS USD R V 12MUSCPI INF_SLP82FTK0 CCPINFLATIONZERO / Short: BLP82FTK0 IRS USD P F 2.52500 FIX_SLP82FTK0 CCPINFLATIONZERO
000000000
30000000.00000000
OU
Notional Amount
USD
1777509.60000000
0.044471246318
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
Inflation based on US CPI Urban Consumers NSA
2035-10-01
0.00000000
USD
0.00000000
USD
30000000.00000000
USD
1777509.60000000
N
N
N
Apidos CLO
N/A
Apidos Clo Xxv
03762YAF4
6970000.00000000
PA
USD
6943311.94000000
0.173713680957
Long
ABS-CBDO
CORP
KY
N
2
2031-10-20
Floating
1.42400000
N
N
N
N
N
N
Cedar Funding Ltd
N/A
Cedar Funding XIV CLO Ltd
15034AAA3
2340000.00000000
PA
USD
2332705.14000000
0.058361600336
Long
ABS-CBDO
CORP
KY
N
2
2033-07-15
Floating
1.34100000
N
N
N
N
N
N
WYNN LAS VEGAS LLC/CORP
N/A
Wynn Las Vegas LLC / Wynn Las Vegas Capital Corp
983130AV7
5669259.00000000
PA
USD
5755998.66000000
0.144008467926
Long
DBT
CORP
US
N
2
2025-03-01
Fixed
5.50000000
N
N
N
N
N
N
PEOPLE'S UNITED FIN INC
ROPY7PEPIPIDJNF0BO69
People's United Financial Inc
712704AA3
7218000.00000000
PA
USD
7307798.85000000
0.182832724339
Long
DBT
CORP
US
N
2
2022-12-06
Fixed
3.65000000
N
N
N
N
N
N
BANCO SANTANDER MEXICO
SCRYQ25DTVRHYYMM6P89
Banco Santander Mexico SA Institucion de Banca Multiple Grupo Financiero Santand
05969BAD5
5279000.00000000
PA
USD
5620234.56000000
0.140611806252
Long
DBT
CORP
MX
N
2
2025-04-17
Fixed
5.37500000
N
N
N
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
Long: BL9J07OZ6 IRS USD R V 12MUSCPI SL9J07OZ6_FLO CCPINFLATIONZERO / Short: BL9J07OZ6 IRS USD P F 2.48400 SL9J07OZ6_FIX CCPINFLATIONZERO
000000000
20000000.00000000
OU
Notional Amount
USD
1683098.00000000
0.042109176646
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
Inflation based on US CPI Urban Consumers NSA
2030-06-25
0.00000000
USD
0.00000000
USD
20000000.00000000
USD
1683098.00000000
N
N
N
Wells Fargo Commercial Mortgage Trust
549300VOKB4Z9J8DIM89
Wells Fargo Commercial Mortgage Trust 2016-C32
94989YAZ6
1000000.00000000
PA
USD
1031308.00000000
0.025802140308
Long
ABS-MBS
CORP
US
N
2
2059-01-15
Fixed
3.56000000
N
N
N
N
N
N
Morgan Stanley Capital I Trust
N/A
Morgan Stanley Capital I Trust 2014-150E
61764BAA1
11430000.00000000
PA
USD
11707081.49000000
0.292897717467
Long
ABS-MBS
CORP
US
N
2
2032-09-09
Fixed
3.91200000
N
N
N
N
N
N
BANK OF AMERICA CORP
9DJT3UXIJIZJI4WXO774
Bank of America Corp
06051GJD2
605000.00000000
PA
USD
578376.38000000
0.014470311980
Long
DBT
CORP
US
N
2
2026-06-19
Fixed
1.31900000
N
N
N
N
N
N
Fontainebleau Miami Beach Trust
N/A
Fontainebleau Miami Beach Trust 2019-FBLU
34461LAG9
335349.00000000
PA
USD
334835.01000000
0.008377186939
Long
ABS-MBS
CORP
US
N
2
2036-12-10
Fixed
3.44700000
N
N
N
N
N
N
NOVA Chemicals Corp
549300ZOD6N7RI2FJP09
NOVA Chemicals Corp
66977WAQ2
1782000.00000000
PA
USD
1806449.04000000
0.045195277831
Long
DBT
CORP
CA
N
2
2024-06-01
Fixed
4.87500000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138EJJ41
30924.04000000
PA
USD
32652.46000000
0.000816927003
Long
ABS-MBS
USGSE
US
N
2
2038-12-01
Floating
2.18600000
N
N
N
N
N
N
SANTANDER HOLDINGS USA
549300SMVCQN2P0O6I58
Santander Holdings USA Inc
80282KBB1
7064000.00000000
PA
USD
7184654.89000000
0.179751804057
Long
DBT
CORP
US
N
2
2025-06-02
Fixed
3.45000000
N
N
N
N
N
N
SCF Equipment Trust Llc
N/A
SCF Equipment Leasing 2021-1 LLC
783897AC5
1800000.00000000
PA
USD
1778668.02000000
0.044500228655
Long
ABS-O
CORP
US
N
2
2028-08-21
Fixed
0.83000000
N
N
N
N
N
N
YUM! BRANDS INC
549300JE8XHZZ7OHN517
Yum! Brands Inc
988498AM3
568000.00000000
PA
USD
592182.60000000
0.014815727729
Long
DBT
CORP
US
N
2
2025-04-01
Fixed
7.75000000
N
N
N
N
N
N
LoanCore 2022-CRE7 Issuer Ltd.
N/A
LoanCore 2022-CRE7 Issuer Ltd
53946PAA8
19880000.00000000
PA
USD
19880095.03000000
0.497377118481
Long
ABS-CBDO
CORP
KY
N
2
2037-01-17
Floating
1.59900000
N
N
N
N
N
N
World OMNI Select Auto Trust
N/A
World Omni Select Auto Trust 2019-A
98163BAE2
226000.00000000
PA
USD
227237.58000000
0.005685222961
Long
ABS-O
CORP
US
N
2
2025-12-15
Fixed
2.38000000
N
N
N
N
N
N
BOMBARDIER INC
W7L3VLU8EHQY34Z36697
Bombardier Inc
097751BV2
5750000.00000000
PA
USD
5748735.00000000
0.143826739505
Long
DBT
CORP
CA
N
2
2026-06-15
Fixed
7.12500000
N
N
N
N
N
N
GS Mortgage Securities Trust
549300SSCQUZ3RRV2T53
GS Mortgage Securities Trust 2013-GCJ12
36197XAQ7
3450000.00000000
PA
USD
3484633.17000000
0.087181515100
Long
ABS-MBS
CORP
US
N
2
2046-06-10
Variable
3.77700000
N
N
N
N
N
N
MPLX LP
5493000CZJ19CK4P3G36
MPLX LP
55336VAG5
2387000.00000000
PA
USD
2531437.66000000
0.063333659474
Long
DBT
CORP
US
N
2
2024-12-01
Fixed
4.87500000
N
N
N
N
N
N
GENERAL MOTORS CO
54930070NSV60J38I987
General Motors Co
37045VAW0
8747000.00000000
PA
USD
9194299.36000000
0.230030797902
Long
DBT
CORP
US
N
2
2023-10-02
Fixed
5.40000000
N
N
N
N
N
N
BXHPP TRUST
N/A
BXHPP Trust 2021-FILM
05609JAA0
13000000.00000000
PA
USD
12659392.20000000
0.316723436415
Long
ABS-MBS
CORP
US
N
2
2036-08-15
Floating
0.84100000
N
N
N
N
N
N
CPS Auto Trust
N/A
CPS Auto Receivables Trust 2019-D
12655KAC2
330936.85000000
PA
USD
331882.60000000
0.008303321036
Long
ABS-O
CORP
US
N
2
2024-08-15
Fixed
2.54000000
N
N
N
N
N
N
Bank of America, National Association
B4TYDEB6GKMZO031MB27
Long: SL8M3AGQ9 IRS USD R V 12MUSCPI SL8M3AGQ9_INF INFLATIONZERO / Short: SL8M3AGQ9 IRS USD P F 2.39750 SL8M3AGQ9_FIX INFLATIONZERO
000000000
5000000.00000000
OU
Notional Amount
USD
475068.80000000
0.011885675117
N/A
DIR
US
N
2
Bank of America, National Association
B4TYDEB6GKMZO031MB27
N/A
N/A
Y
Inflation based on US CPI Urban Consumers NSA
2033-02-12
0.00000000
USD
0.00000000
USD
5000000.00000000
USD
475068.80000000
N
N
N
KAR Auction Services Inc
5493004HKD20LBSG7D03
KAR Auction Services Inc
48238TAA7
5850000.00000000
PA
USD
5930788.50000000
0.148381508740
Long
DBT
CORP
US
N
2
2025-06-01
Fixed
5.12500000
N
N
N
N
N
N
SELECT MEDICAL CORP
549300X05KS0JKR8CB50
Select Medical Corp
816196AT6
2158000.00000000
PA
USD
2188481.75000000
0.054753296954
Long
DBT
CORP
US
N
2
2026-08-15
Fixed
6.25000000
N
N
N
N
N
N
Arbor Realty Collateralized Loan Obligation Ltd
N/A
Arbor Realty Commercial Real Estate Notes 2021-FL2 Ltd
03881EAA5
1980000.00000000
PA
USD
1964655.00000000
0.049153409037
Long
ABS-CBDO
CORP
KY
N
2
2036-05-15
Floating
1.29100000
N
N
N
N
N
N
Barclays Commercial Mortgage Securities LLC
N/A
BBCMS Trust 2015-VFM
05546JAA6
232468.88000000
PA
USD
229489.14000000
0.005741554404
Long
ABS-MBS
CORP
US
N
2
2036-03-10
Fixed
2.46600000
N
N
N
N
N
N
Hudsons Bay Simon JV Trust
N/A
Hudsons Bay Simon JV Trust 2015-HBS
44422PBG6
559000.00000000
PA
USD
417904.77000000
0.010455496816
Long
ABS-MBS
CORP
US
N
2
2034-08-05
Variable
5.15900000
N
N
N
N
N
N
JFIN CLO Ltd
254900FKAMPTOJBLLD47
JFIN CLO 2013 Ltd
46616KAN4
690295.00000000
PA
USD
690696.53000000
0.017280432981
Long
ABS-CBDO
CORP
KY
N
2
2030-01-20
Floating
2.45400000
N
N
N
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
Long: BL3H6NK06 IRS USD R V 12MUSCPI SL3H6NK06_FLO CCPINFLATIONZERO / Short: BL3H6NK06 IRS USD P F 2.46800 SL3H6NK06_FIX CCPINFLATIONZERO
000000000
10000000.00000000
OU
Notional Amount
USD
979494.20000000
0.024505818610
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
Inflation based on US CPI Urban Consumers NSA
2033-04-07
0.00000000
USD
0.00000000
USD
10000000.00000000
USD
979494.20000000
N
N
N
Honda Auto Receivables Owner Trust
N/A
Honda Auto Receivables 2020-2 Owner Trust
43813DAC2
418689.34000000
PA
USD
417839.15000000
0.010453855079
Long
ABS-O
CORP
US
N
2
2024-07-15
Fixed
0.82000000
N
N
N
N
N
N
Oaktree CLO Ltd
635400SBDDFQR1OHEJ54
Oaktree CLO 2015-1 Ltd
67389XAF4
133535.29000000
PA
USD
133698.16000000
0.003344974230
Long
ABS-CBDO
CORP
KY
N
2
2027-10-20
Floating
1.12400000
N
N
N
N
N
N
Barclays Bank PLC
G5GSEF7VJP5I7OUK5573
Long: SLUC01LF7 IRS USD R V 00MCPURN SLUC01LF7_FL INFLATIONZERO / Short: SLUC01LF7 IRS USD P F 1.87400 SLUC01LF7_FIX INFLATIONZERO
000000000
10000000.00000000
OU
Notional Amount
USD
1367991.40000000
0.034225571840
N/A
DIR
US
N
2
Barclays Bank PLC
G5GSEF7VJP5I7OUK5573
N/A
N/A
Y
Inflation based on US CPI Urban Consumers NSA
2026-04-11
0.00000000
USD
0.00000000
USD
10000000.00000000
USD
1367991.40000000
N
N
N
TENNECO INC
549300U0EXXFAQFAD785
TENNECO INC
88037HAF1
5150000.00000000
PA
USD
5122653.50000000
0.128162900276
Long
LON
CORP
US
N
2
2023-09-29
None
0.00000000
N
N
N
N
N
N
West Town Mall Trust
N/A
West Town Mall Trust 2017-KNOX
95630LAC5
33573901.24000000
PA
USD
1030.72000000
0.000025787429
Long
ABS-MBS
CORP
US
N
2
2030-07-05
Variable
0.37000000
N
N
N
N
N
N
HYUNDAI CAPITAL AMERICA
549300RIPPWJB5Z0FK07
Hyundai Capital America
44891ABA4
213000.00000000
PA
USD
213676.23000000
0.005345933578
Long
DBT
CORP
US
N
2
2022-06-20
Fixed
3.00000000
N
N
N
N
N
N
BXHPP TRUST
N/A
BXHPP Trust 2021-FILM
05609JAJ1
6380000.00000000
PA
USD
6183228.04000000
0.154697255763
Long
ABS-MBS
CORP
US
N
2
2036-08-15
Floating
1.09100000
N
N
N
N
N
N
Nutrition & Biosciences, Inc.
N/A
Nutrition & Biosciences, Inc. 5 Year Delayed Draw Term Loan
000000000
2877883.00000000
PA
USD
2874285.65000000
0.071911321959
Long
LON
CORP
US
N
2
2025-01-17
Floating
1.56100000
N
N
N
N
N
N
Irvine Core Office Trust
N/A
Irvine Core Office Trust 2013-IRV
46361TAC6
1532000.00000000
PA
USD
1550672.32000000
0.038796038402
Long
ABS-MBS
CORP
US
N
2
2048-05-15
Variable
3.17300000
N
N
N
N
N
N
Westlake Automobile Receivables Trust
N/A
Westlake Automobile Receivables Trust 2021-2
96042RAF5
6000000.00000000
PA
USD
5824289.40000000
0.145717023716
Long
ABS-O
CORP
US
N
2
2026-12-15
Fixed
1.23000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38379KAP3
25651.14000000
PA
USD
25799.13000000
0.000645464567
Long
ABS-MBS
USGA
US
N
2
2055-10-16
Fixed
2.90000000
N
N
N
N
N
N
GOLDMAN SACHS GROUP INC
784F5XWPLTWKTBV3E584
Goldman Sachs Group Inc/The
38141GWN0
424000.00000000
PA
USD
424957.54000000
0.010631949012
Long
DBT
CORP
US
N
2
2023-07-24
Floating
1.25900000
N
N
N
N
N
N
WEIBO CORP
549300Q9ID4640FE0422
Weibo Corp
948596AC5
798000.00000000
PA
USD
786030.00000000
0.019665566781
Long
DBT
CORP
KY
N
2
2022-11-15
Fixed
1.25000000
N
N
N
N
N
Weibo Corp
Weibo Corp
USD
XXXX
N
N
N
MATTEL INC
549300VELLG24KHTJ564
Mattel Inc
577081BE1
341000.00000000
PA
USD
339100.63000000
0.008483907847
Long
DBT
CORP
US
N
2
2026-04-01
Fixed
3.37500000
N
N
N
N
N
N
Goldman Sachs & Co. LLC
FOR8UP27PHTHYVLBNG30
Long: SLMH1ULY9 IRS USD R V 12MUSCPI SLMH1ULY9_INF INFLATIONZERO / Short: SLMH1ULY9 IRS USD P F 2.35000 SLMH1ULY9_FIX INFLATIONZERO
000000000
10000000.00000000
OU
Notional Amount
USD
1095775.40000000
0.027415040528
N/A
DIR
US
N
2
Goldman Sachs & Co. LLC
FOR8UP27PHTHYVLBNG30
N/A
N/A
Y
Inflation based on US CPI Urban Consumers NSA
2036-12-16
0.00000000
USD
0.00000000
USD
10000000.00000000
USD
1095775.40000000
N
N
N
Octane Receivables Trust
N/A
Octane Receivables Trust 2021-1
67571AAA3
785270.65000000
PA
USD
776910.50000000
0.019437407377
Long
ABS-O
CORP
US
N
2
2027-03-22
Fixed
0.93000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Non Gold Pool
3128S5PA6
106573.19000000
PA
USD
111753.14000000
0.002795935063
Long
ABS-MBS
USGSE
US
N
2
2038-02-01
Floating
2.01800000
N
N
N
N
N
N
Morgan Stanley BAML Trust
N/A
Morgan Stanley Bank of America Merrill Lynch Trust 2015-C23
61690QAF6
5522673.68000000
PA
USD
87268.74000000
0.002183363528
Long
ABS-MBS
CORP
US
N
2
2050-07-15
Variable
0.55900000
N
N
N
N
N
N
Macquarie Group Ltd
ACMHD8HWFMFUIQQ8Y590
Macquarie Group Ltd
55608JAH1
871000.00000000
PA
USD
879244.55000000
0.021997687639
Long
DBT
CORP
AU
N
2
2023-11-28
Fixed
3.18900000
N
N
N
N
N
N
INTERNATIONAL GAME TECH
549300UQ6KHRCZDRGZ76
International Game Technology PLC
460599AF0
1729000.00000000
PA
USD
1705208.96000000
0.042662367441
Long
DBT
CORP
GB
N
2
2026-04-15
Fixed
4.12500000
N
N
N
N
N
N
UNITED AIR 2014-1 B PTT
N/A
United Airlines 2014-1 Class B Pass Through Trust
90932PAB4
6472047.49000000
PA
USD
6498033.41000000
0.162573324140
Long
DBT
CORP
US
N
2
2022-04-11
Fixed
4.75000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Non Gold Pool
31300LV36
81205.60000000
PA
USD
85382.01000000
0.002136159713
Long
ABS-MBS
USGSE
US
N
2
2036-09-01
Floating
2.20000000
N
N
N
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
Long: BLEH0KK71 IRS USD R V 12MUSCPI SLEH0KK71_FLO CCPINFLATIONZERO / Short: BLEH0KK71 IRS USD P F 2.30150 SLEH0KK71_FIX CCPINFLATIONZERO
000000000
5000000.00000000
OU
Notional Amount
USD
610476.70000000
0.015273425076
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
Inflation based on US CPI Urban Consumers NSA
2033-01-11
0.00000000
USD
0.00000000
USD
5000000.00000000
USD
610476.70000000
N
N
N
B.A. Securities Inc.
N/A
Long: SLP80VDL2 IRS USD R F 1.81300 SLP80VDL2_FIX INFLATIONZERO / Short: SLP80VDL2 IRS USD P V 12MUSCPI SLP80VDL2_INF INFLATIONZERO
000000000
5000000.00000000
OU
Notional Amount
USD
-708526.80000000
-0.01772652583
N/A
DIR
PH
N
2
B.A. Securities Inc.
N/A
N/A
N/A
Y
Inflation based on US CPI Urban Consumers NSA
2026-03-31
0.00000000
USD
0.00000000
USD
5000000.00000000
USD
-708526.80000000
N
N
N
BFLD Trust
N/A
BFLD 2019-DPLO
054970AA6
2780000.00000000
PA
USD
2754709.78000000
0.068919671186
Long
ABS-MBS
CORP
US
N
2
2034-10-15
Floating
1.28100000
N
N
N
N
N
N
FORD MOTOR CREDIT CO LLC
UDSQCVRUX5BONN0VY111
Ford Motor Credit Co LLC
345397B85
3625000.00000000
PA
USD
3520980.63000000
0.088090886755
Long
DBT
CORP
US
N
2
2025-02-10
Fixed
2.30000000
N
N
N
N
N
N
BWAY Mortgage Trust
N/A
BWAY 2013-1515 Mortgage Trust
05604FAG0
47800000.00000000
PA
USD
553256.32000000
0.013841836963
Long
ABS-MBS
CORP
US
N
2
2033-03-10
Variable
0.40300000
N
N
N
N
N
N
TRANS-ALLEGHENY INTERSTA
N/A
Trans-Allegheny Interstate Line Co
893045AE4
2520000.00000000
PA
USD
2606591.58000000
0.065213924136
Long
DBT
CORP
US
N
2
2025-06-01
Fixed
3.85000000
N
N
N
N
N
N
WESTINGHOUSE AIR BRAKE
06BTX5UWZD0GQ5N5Y745
Westinghouse Air Brake Technologies Corp
960386AN0
2724000.00000000
PA
USD
2823701.26000000
0.070645758686
Long
DBT
CORP
US
N
2
2024-03-15
Fixed
4.40000000
N
N
N
N
N
N
Buckeye Partners, L.P.
549300C1PQJLVEIUBK50
Buckeye Partners, L.P. 2021 Term Loan B
11823LAK1
3062067.52000000
PA
USD
3034432.36000000
0.075918008498
Long
LON
CORP
US
N
2
2026-11-01
Floating
2.35600000
N
N
N
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
Long: BLYJ03ZM4 IRS USD R V 12MUSCPI SLYJ03ZM4_FLO CCPINFLATIONZERO / Short: BLYJ03ZM4 IRS USD P F 2.56400 SLYJ03ZM4_FIX CCPINFLATIONZERO
000000000
30000000.00000000
OU
Notional Amount
USD
2326555.50000000
0.058207743415
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
Inflation based on US CPI Urban Consumers NSA
2029-06-15
0.00000000
USD
0.00000000
USD
30000000.00000000
USD
2326555.50000000
N
N
N
ADANI PORTS AND SPECIAL
335800QOAXP5TM7OYP69
Adani Ports & Special Economic Zone Ltd
00652MAF9
1400000.00000000
PA
USD
1409886.77000000
0.035273745824
Long
DBT
CORP
IN
N
2
2024-07-24
Fixed
3.37500000
N
N
N
N
N
N
UniCredit SpA
549300TRUWO2CD2G5692
UniCredit SpA
904678AG4
8170000.00000000
PA
USD
8841970.65000000
0.221215938704
Long
DBT
CORP
IT
N
2
2023-12-04
Fixed
7.83000000
N
N
N
N
N
N
MF1 Multifamily Housing Mortgage Loan Trust
N/A
MF1 2021-FL7 Ltd
55284AAC2
5400000.00000000
PA
USD
5318349.14000000
0.133058980167
Long
ABS-CBDO
CORP
KY
N
2
2036-10-16
Floating
1.57600000
N
N
N
N
N
N
PROSUS NV
635400Z5LQ5F9OLVT688
Prosus NV
74365PAG3
4000000.00000000
PA
USD
3835529.64000000
0.095960541301
Long
DBT
CORP
NL
N
2
2027-01-19
Fixed
3.25700000
N
N
N
N
N
N
Credit Suisse Mortgage Trust
N/A
CSMC Trust 2017-MOON
12651XAE4
200000.00000000
PA
USD
199847.76000000
0.004999961159
Long
ABS-MBS
CORP
US
N
2
2034-07-10
Variable
3.19600000
N
N
N
N
N
N
GM Financial Securitized Term Auto Receivables Tr
N/A
GM Financial Consumer Automobile Receivables Trust 2019-1
36256XAF9
416000.00000000
PA
USD
421781.94000000
0.010552499151
Long
ABS-O
CORP
US
N
2
2024-08-16
Fixed
3.37000000
N
N
N
N
N
N
NEXSTAR BROADCASTING INC
5493006PK6I4I2OOT688
Nexstar Media Inc
65343HAA9
5189000.00000000
PA
USD
5311434.46000000
0.132885982825
Long
DBT
CORP
US
N
2
2027-07-15
Fixed
5.62500000
N
N
N
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
Long: BLA21TWD2 IRS USD R V 12MUSCPI SLA21TWD2_INF CCPINFLATIONZERO / Short: BLA21TWD2 IRS USD P F .90250 SLA21TWD2_FIX CCPINFLATIONZERO
000000000
15000000.00000000
OU
Notional Amount
USD
2291609.55000000
0.057333435928
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
Inflation based on US CPI Urban Consumers NSA
2025-04-07
0.00000000
USD
0.00000000
USD
15000000.00000000
USD
2291609.55000000
N
N
N
Credit Suisse Mortgage Trust
N/A
CSMC 2020-AFC1 Trust
12597MAA3
486497.29000000
PA
USD
482607.40000000
0.012074282220
Long
ABS-MBS
CORP
US
N
2
2050-02-25
Variable
2.24000000
N
N
N
N
N
N
JPMORGAN CHASE & CO
8I5DZWZKVSZI1NUHU748
JPMorgan Chase & Co
46647PCY0
2527000.00000000
PA
USD
2526912.87000000
0.063220454431
Long
DBT
CORP
US
N
2
2028-02-24
Floating
1.23000000
N
N
N
N
N
N
UBS GROUP AG
549300SZJ9VS8SGXAN81
UBS Group AG
90352JAE3
11130000.00000000
PA
USD
11203292.39000000
0.280293493468
Long
DBT
CORP
CH
N
2
2023-08-15
Fixed
2.85900000
N
N
N
N
N
N
Master Credit Card Trust
N/A
Master Credit Card Trust II Series 2018-1
576339BM6
1254000.00000000
PA
USD
1256194.00000000
0.031428529442
Long
ABS-O
CORP
CA
N
2
2024-07-21
Floating
0.66100000
N
N
N
N
N
N
KREF 2021-FL2 Ltd
54930083ELM2GCMVTQ91
KREF 2021-FL2 Ltd
48275RAA5
4930000.00000000
PA
USD
4868375.00000000
0.121801144588
Long
ABS-CBDO
CORP
KY
N
2
2039-02-15
Floating
1.19000000
N
N
N
N
N
N
DKT Finance ApS
529900CPZ2SMDPG5RV48
DKT Finance ApS
255882AA0
767000.00000000
PA
USD
770923.97000000
0.019287631280
Long
DBT
CORP
DK
N
2
2023-06-17
Fixed
9.37500000
N
N
N
N
N
N
CPS Auto Trust
N/A
CPS Auto Receivables Trust 2019-C
12596UAC2
34862.33000000
PA
USD
34930.22000000
0.000873913939
Long
ABS-O
CORP
US
N
2
2025-06-16
Fixed
2.84000000
N
N
N
N
N
N
PARK INTERMED HOLDINGS
N/A
Park Intermediate Holdings LLC / PK Domestic Property LLC / PK Finance Co-Issuer
70052LAA1
3916000.00000000
PA
USD
4096880.04000000
0.102499227794
Long
DBT
US
N
2
2025-06-01
Fixed
7.50000000
N
N
N
N
N
N
ONE GAS INC
549300HXDWI0LATTX840
ONE Gas Inc
68235PAL2
6389000.00000000
PA
USD
6251172.66000000
0.156397152029
Long
DBT
CORP
US
N
2
2024-03-11
Fixed
1.10000000
N
N
N
N
N
N
AXIS Equipment Finance Receivables LLC
549300NOANH9X4RIOF97
Amur Equipment Finance Receivables VI LLC
03237JAB3
71403.46000000
PA
USD
71598.05000000
0.001791300883
Long
ABS-O
CORP
US
N
2
2022-07-20
Fixed
3.89000000
N
N
N
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
Long: BL3Y3HBQ8 IRS USD R V 12MUSCPI SL3Y3HBQ8_INF CCPINFLATIONZERO / Short: BL3Y3HBQ8 IRS USD P F 2.33500 SL3Y3HBQ8_FIX CCPINFLATIONZERO
000000000
10000000.00000000
OU
Notional Amount
USD
1143534.20000000
0.028609910788
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
Inflation based on US CPI Urban Consumers NSA
2036-11-21
0.00000000
USD
0.00000000
USD
10000000.00000000
USD
1143534.20000000
N
N
N
DBGS Mortgage Trust
N/A
DBGS 2021-W52 Mortgage Trust
23308LAA2
4750000.00000000
PA
USD
4791354.45000000
0.119874178990
Long
ABS-MBS
CORP
US
N
2
2036-10-15
Floating
1.58700000
N
N
N
N
N
N
Citigroup Inc
6SHGI4ZSSLCXXQSBB395
Citigroup Inc
172967LM1
9783000.00000000
PA
USD
9838577.32000000
0.246149891637
Long
DBT
CORP
US
N
2
2023-07-24
Fixed
2.87600000
N
N
N
N
N
N
Navient Student Loan Trust
N/A
Navient Private Education Refi Loan Trust 2022-A
63942MAA8
7330000.00000000
PA
USD
7272089.34000000
0.181939313459
Long
ABS-O
CORP
US
N
2
2070-07-15
Fixed
2.23000000
N
N
N
N
N
N
UBS GROUP AG
549300SZJ9VS8SGXAN81
UBS Group AG
90352JAB9
1085000.00000000
PA
USD
1087962.31000000
0.027219566000
Long
DBT
CORP
CH
N
2
2023-05-23
Floating
1.70000000
N
N
N
N
N
N
BX Trust
N/A
BX Commercial Mortgage Trust 2020-VKNG
12433YAA5
10658665.66000000
PA
USD
10595243.40000000
0.265080806905
Long
ABS-MBS
CORP
US
N
2
2037-10-15
Floating
1.12100000
N
N
N
N
N
N
Carvana Auto Receivables Trust
N/A
Carvana Auto Receivables Trust 2021-N2
14686KAA5
1999573.66000000
PA
USD
1985639.43000000
0.049678415346
Long
ABS-O
CORP
US
N
2
2028-03-10
Fixed
0.32000000
N
N
N
N
N
N
Mercedes-Benz Master Owner Trust
N/A
Mercedes-Benz Master Owner Trust 2019-BA
58768UAM5
2181000.00000000
PA
USD
2193412.94000000
0.054876669658
Long
ABS-O
CORP
US
N
2
2024-05-15
Fixed
2.61000000
N
N
N
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
Long: BL0R0DQE9 IRS USD R V 12MUSCPI INF_SL0R0DQE9 CCPINFLATIONZERO / Short: BL0R0DQE9 IRS USD P F 2.49800 FIX_SL0R0DQE9 CCPINFLATIONZERO
000000000
20000000.00000000
OU
Notional Amount
USD
1336598.00000000
0.033440145070
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
Inflation based on US CPI Urban Consumers NSA
2036-09-01
0.00000000
USD
0.00000000
USD
20000000.00000000
USD
1336598.00000000
N
N
N
OCP CLO Ltd
254900U8BS6KLMI9K654
OCP CLO 2016-12 Ltd
67092RAF5
1103000.00000000
PA
USD
1103550.43000000
0.027609562838
Long
ABS-CBDO
CORP
KY
N
2
2028-10-18
Floating
1.84100000
N
N
N
N
N
N
DANSKE BANK A/S
MAES062Z21O4RZ2U7M96
Danske Bank A/S
23636ABA8
2040000.00000000
PA
USD
1961327.42000000
0.049070156811
Long
DBT
CORP
DK
N
2
2025-09-10
Fixed
0.97600000
N
N
N
N
N
N
COMM Mortgage Trust
N/A
COMM 2012-CCRE1 Mortgage Trust
12624BAG1
4600000.00000000
PA
USD
4596468.12000000
0.114998347103
Long
ABS-MBS
CORP
US
N
2
2045-05-15
Fixed
4.61200000
N
N
N
N
N
N
SFO Commerical Mortgage Trust
N/A
SFO Commercial Mortgage Trust 2021-555
78432WAA1
1750000.00000000
PA
USD
1737067.50000000
0.043459431479
Long
ABS-MBS
CORP
US
N
2
2038-05-15
Floating
1.34100000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140E7A91
83014.52000000
PA
USD
86189.80000000
0.002156369690
Long
ABS-MBS
USGSE
US
N
2
2045-10-01
Floating
2.77700000
N
N
N
N
N
N
AERCAP IRELAND CAP/GLOBA
N/A
AerCap Ireland Capital DAC / AerCap Global Aviation Trust
00774MBB0
1596000.00000000
PA
USD
1553197.99000000
0.038859227761
Long
DBT
CORP
IE
N
2
2024-10-29
Fixed
1.75000000
N
N
N
N
N
N
Credit Acceptance Auto Loan Trust
N/A
Credit Acceptance Auto Loan Trust 2021-3
22535GAA0
1325000.00000000
PA
USD
1294271.26000000
0.032381178704
Long
ABS-O
CORP
US
N
2
2030-05-15
Fixed
1.00000000
N
N
N
N
N
N
BOXER PARENT CO INC
5493006T045HLTF7YX04
Boxer Parent Co Inc
103186AC6
708000.00000000
PA
USD
735258.00000000
0.018395309722
Long
DBT
CORP
US
N
2
2026-03-01
Fixed
9.12500000
N
N
N
N
N
N
CNX Resources Corp
549300JK3KH8PWM3B226
CNX Resources Corp
12653CAC2
1833000.00000000
PA
USD
1938580.80000000
0.048501062534
Long
DBT
CORP
US
N
2
2027-03-14
Fixed
7.25000000
N
N
N
N
N
N
Great Wolf Trust
N/A
Great Wolf Trust 2019-WOLF
39152TAN0
2620000.00000000
PA
USD
2521757.34000000
0.063091468998
Long
ABS-MBS
CORP
US
N
2
2036-12-15
Floating
2.92300000
N
N
N
N
N
N
JP Morgan Chase Commercial Mortgage Sec Trust
N/A
JPMCC Commercial Mortgage Securities Trust 2017-JP7
465968AG0
7940092.83000000
PA
USD
323419.04000000
0.008091572496
Long
ABS-MBS
CORP
US
N
2
2050-09-15
Variable
1.01000000
N
N
N
N
N
N
CSAIL Commercial Mortgage Trust
549300D5DIOOMKWXVZ20
Csail 2015-C2 Commercial Mortgage Trust
12634NAW8
82732000.00000000
PA
USD
142299.04000000
0.003560158357
Long
ABS-MBS
CORP
US
N
2
2057-06-15
Variable
0.00000000
N
N
N
N
N
N
Apidos CLO
549300IG6PHVJ3WBR394
Apidos CLO XXXI
03767VAG3
5000000.00000000
PA
USD
4982897.35000000
0.124666362102
Long
ABS-CBDO
CORP
KY
N
2
2031-04-15
Floating
1.34100000
N
N
N
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
Long: BLP40MPH7 IRS USD R V 12MUSCPI SLP40MPH7_FLO CCPINFLATIONZERO / Short: BLP40MPH7 IRS USD P F 2.30900 SLP40MPH7_FIX CCPINFLATIONZERO
000000000
5000000.00000000
OU
Notional Amount
USD
605414.10000000
0.015146764645
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
Inflation based on US CPI Urban Consumers NSA
2033-01-19
0.00000000
USD
0.00000000
USD
5000000.00000000
USD
605414.10000000
N
N
N
West Town Mall Trust
N/A
West Town Mall Trust 2017-KNOX
95630LAE1
679000.00000000
PA
USD
678067.26000000
0.016964463168
Long
ABS-MBS
CORP
US
N
2
2030-07-05
Fixed
4.32200000
N
N
N
N
N
N
ReadyCap Commercial Mortgage Trust
N/A
Ready Capital Mortgage Financing 2022-FL8 LLC
75574PAA0
10000000.00000000
PA
USD
10012500.00000000
0.250501237105
Long
ABS-CBDO
CORP
US
N
2
2037-01-25
Floating
1.69800000
N
N
N
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
Long: BL3X4Z172 IRS USD R V 12MUSCPI INF_SL3X4Z172 CCPINFLATIONZERO / Short: BL3X4Z172 IRS USD P F 2.71400 FIX_SL3X4Z172 CCPINFLATIONZERO
000000000
25000000.00000000
OU
Notional Amount
USD
822757.00000000
0.020584434091
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
Inflation based on US CPI Urban Consumers NSA
2034-10-20
0.00000000
USD
0.00000000
USD
25000000.00000000
USD
822757.00000000
N
N
N
UBER TECHNOLOGIES INC
549300B2FTG34FILDR98
Uber Technologies Inc
90353TAF7
5262000.00000000
PA
USD
5479057.50000000
0.137079718544
Long
DBT
CORP
US
N
2
2025-05-15
Fixed
7.50000000
N
N
N
N
N
N
Acres PLC
N/A
ACRES Commercial Realty 2021-FL2 Ltd
00500JAA1
13290000.00000000
PA
USD
13210260.00000000
0.330505515354
Long
ABS-CBDO
CORP
KY
N
2
2037-01-15
Floating
1.52000000
N
N
N
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
Long: BL334EA75 IRS USD R V 12MUSCPI SL334EA75_INF CCPINFLATIONZERO / Short: BL334EA75 IRS USD P F 2.35800 SL334EA75_FIX CCPINFLATIONZERO
000000000
10000000.00000000
OU
Notional Amount
USD
861043.40000000
0.021542315795
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
Inflation based on US CPI Urban Consumers NSA
2028-07-25
0.00000000
USD
0.00000000
USD
10000000.00000000
USD
861043.40000000
N
N
N
Bath & Body Works Inc
GR3KVMWVCR54YWQNXU90
Bath & Body Works Inc
501797AU8
2193000.00000000
PA
USD
2568781.52000000
0.064267959911
Long
DBT
CORP
US
N
2
2025-07-01
Fixed
9.37500000
N
N
N
N
N
N
Westlake Automobile Receivables Trust
N/A
Westlake Automobile Receivables Trust 2020-2
96042PAB8
1131836.12000000
PA
USD
1132170.24000000
0.028325597576
Long
ABS-O
CORP
US
N
2
2024-02-15
Fixed
0.93000000
N
N
N
N
N
N
Barclays Bank PLC
G5GSEF7VJP5I7OUK5573
Long: SLB6242Q0 IRS USD R V 12MUSCPI SLB6242Q0_INF INFLATIONZERO / Short: SLB6242Q0 IRS USD P F 2.15750 SLB6242Q0_FIX INFLATIONZERO
000000000
10000000.00000000
OU
Notional Amount
USD
928391.30000000
0.023227282813
N/A
DIR
US
N
2
Barclays Bank PLC
G5GSEF7VJP5I7OUK5573
N/A
N/A
Y
Inflation based on US CPI Urban Consumers NSA
2024-12-02
0.00000000
USD
0.00000000
USD
10000000.00000000
USD
928391.30000000
N
N
N
BOEING CO
RVHJWBXLJ1RFUBSY1F30
Boeing Co/The
097023CT0
6333000.00000000
PA
USD
6735803.75000000
0.168522064647
Long
DBT
CORP
US
N
2
2025-05-01
Fixed
4.87500000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138EGYN8
33046.28000000
PA
USD
34561.07000000
0.000864678231
Long
ABS-MBS
USGSE
US
N
2
2040-04-01
Floating
2.12000000
N
N
N
N
N
N
BB-UBS Trust
N/A
BB-UBS Trust
05490AAC7
2149000.00000000
PA
USD
2050494.35000000
0.051301010871
Long
ABS-MBS
CORP
US
N
2
2030-06-05
Variable
3.55900000
N
N
N
N
N
N
JFIN CLO Ltd
254900FKAMPTOJBLLD47
JFIN CLO 2013 Ltd
46616KAJ3
1380139.00000000
PA
USD
1380867.74000000
0.034547723061
Long
ABS-CBDO
CORP
KY
N
2
2030-01-20
Floating
1.64400000
N
N
N
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
Long: BLDT3LMV6 IRS USD R V 12MUSCPI SLDT3LMV6_INF CCPINFLATIONZERO / Short: BLDT3LMV6 IRS USD P F 2.28500 SLDT3LMV6_FIX CCPINFLATIONZERO
000000000
10000000.00000000
OU
Notional Amount
USD
958268.10000000
0.023974765995
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
Inflation based on US CPI Urban Consumers NSA
2028-05-31
0.00000000
USD
0.00000000
USD
10000000.00000000
USD
958268.10000000
N
N
N
VAIL RESORTS INC
529900PSZHRNU9HKH870
Vail Resorts Inc
91879QAL3
775000.00000000
PA
USD
799280.75000000
0.019997085310
Long
DBT
CORP
US
N
2
2025-05-15
Fixed
6.25000000
N
N
N
N
N
N
Cedar Funding Ltd
2549004YLPCISGLL7978
Cedar Funding XI Clo Ltd
15033LAQ5
3220000.00000000
PA
USD
3216374.73000000
0.080469997389
Long
ABS-CBDO
CORP
KY
N
2
2032-05-29
Floating
1.55800000
N
N
N
N
N
N
Verus Securitization Trust
N/A
Verus Securitization Trust 2020-4
92538LAA9
252051.14000000
PA
USD
249502.90000000
0.006242275666
Long
ABS-MBS
CORP
US
N
2
2065-05-25
Variable
1.50200000
N
N
N
N
N
N
SANTANDER UK GROUP HLDGS
549300F5XIFGNNW4CF72
Santander UK Group Holdings PLC
80281LAA3
1779000.00000000
PA
USD
1869293.00000000
0.046767561449
Long
DBT
CORP
GB
N
2
2025-09-15
Fixed
4.75000000
N
N
N
N
N
N
Avenue of Americas
N/A
AOA 2021-1177 Mortgage Trust
00192NAA5
12075000.00000000
PA
USD
11900268.71000000
0.297731039575
Long
ABS-MBS
CORP
US
N
2
2038-10-15
Floating
1.06600000
N
N
N
N
N
N
Verus Securitization Trust
N/A
Verus Securitization Trust 2020-1
92536PAA2
145532.84000000
PA
USD
145572.26000000
0.003642050558
Long
ABS-MBS
CORP
US
N
2
2060-01-25
Variable
2.41700000
N
N
N
N
N
N
JP Morgan Chase Commercial Mortgage Sec Trust
N/A
J.P. Morgan Chase Commercial Mortgage Securities Trust 2017-MARK
46648GAE5
608000.00000000
PA
USD
606871.61000000
0.015183229869
Long
ABS-MBS
CORP
US
N
2
2032-06-05
Fixed
3.79500000
N
N
N
N
N
N
Credit Suisse Mortgage Trust
N/A
CSMC 2021-AFC1 Trust
12657LAA2
633448.98000000
PA
USD
620261.14000000
0.015518220514
Long
ABS-MBS
CORP
US
N
2
2056-03-25
Variable
0.83000000
N
N
N
N
N
N
F&G GLOBAL FUNDING
6354009CCUKJIZ7KFX73
F&G Global Funding
30321L2D3
3750000.00000000
PA
USD
3640453.05000000
0.091079949328
Long
DBT
CORP
US
N
2
2027-04-11
Fixed
2.30000000
N
N
N
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
Long: BLYH0DHW4 IRS USD R V 12MUSCPI SLYH0DHW4_FLO CCPINFLATIONZERO / Short: BLYH0DHW4 IRS USD P F 2.11250 SLYH0DHW4_FIX CCPINFLATIONZERO
000000000
5000000.00000000
OU
Notional Amount
USD
592302.70000000
0.014818732493
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
Inflation based on US CPI Urban Consumers NSA
2027-12-29
0.00000000
USD
0.00000000
USD
5000000.00000000
USD
592302.70000000
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
Long: BL3B47AI8 IRS USD R V 12MUSCPI SL3B47AI8_INF CCPINFLATIONZERO / Short: BL3B47AI8 IRS USD P F 2.34100 SL3B47AI8_FIX CCPINFLATIONZERO
000000000
10000000.00000000
OU
Notional Amount
USD
879186.10000000
0.021996225288
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
Inflation based on US CPI Urban Consumers NSA
2028-08-27
0.00000000
USD
0.00000000
USD
10000000.00000000
USD
879186.10000000
N
N
N
GOLDMAN SACHS GROUP INC
784F5XWPLTWKTBV3E584
Goldman Sachs Group Inc/The
38141GVR2
5000000.00000000
PA
USD
5255800.05000000
0.131494073858
Long
DBT
CORP
US
N
2
2025-10-21
Fixed
4.25000000
N
N
N
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
Long: BL3B46US6 IRS USD R V 12MUSCPI SL3B46US6_INF CCPINFLATIONZERO / Short: BL3B46US6 IRS USD P F 2.38450 SL3B46US6_FIX CCPINFLATIONZERO
000000000
25000000.00000000
OU
Notional Amount
USD
2069075.25000000
0.051765883624
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
Inflation based on US CPI Urban Consumers NSA
2028-08-06
0.00000000
USD
0.00000000
USD
25000000.00000000
USD
2069075.25000000
N
N
N
Life Time Fitness Inc
549300PALKE96VYH4X17
Life Time Fitness Inc 2021 Term Loan B
50218KAG3
961538.47000000
PA
USD
970125.01000000
0.024271412249
Long
LON
CORP
US
N
2
2024-12-16
Floating
5.75000000
N
N
N
N
N
N
Bank of America, National Association
B4TYDEB6GKMZO031MB27
Long: SLMH1V962 IRS USD R V 12MUSCPI SLMH1V962_INF INFLATIONZERO / Short: SLMH1V962 IRS USD P F 2.38000 SLMH1V962_FIX INFLATIONZERO
000000000
10000000.00000000
OU
Notional Amount
USD
875816.40000000
0.021911919268
N/A
DIR
US
N
2
Bank of America, National Association
B4TYDEB6GKMZO031MB27
N/A
N/A
Y
Inflation based on US CPI Urban Consumers NSA
2029-01-18
0.00000000
USD
0.00000000
USD
10000000.00000000
USD
875816.40000000
N
N
N
CIKARANG LISTRINDO PT
254900NPCIO562Z7FN53
Cikarang Listrindo Tbk PT
536576AD3
4049000.00000000
PA
USD
4064183.75000000
0.101681204214
Long
DBT
CORP
ID
N
2
2026-09-14
Fixed
4.95000000
N
N
N
N
N
N
Morgan Stanley BAML Trust
N/A
Morgan Stanley Bank of America Merrill Lynch Trust 2013-C8
61761QAH6
1000000.00000000
PA
USD
1004767.30000000
0.025138122512
Long
ABS-MBS
CORP
US
N
2
2048-12-15
Variable
3.52500000
N
N
N
N
N
N
One New York Plaza Trust 2020-1NYP
N/A
One New York Plaza Trust 2020-1NYP
68249DAC3
3250000.00000000
PA
USD
3213977.98000000
0.080410033460
Long
ABS-MBS
CORP
US
N
2
2036-01-15
Floating
1.44100000
N
N
N
N
N
N
GREENKO MAURITIUS LTD
2138005EDWGI4914B264
Greenko Mauritius Ltd
39531LAA7
695000.00000000
PA
USD
705425.00000000
0.017648922365
Long
DBT
CORP
MU
N
2
2023-02-21
Fixed
6.25000000
N
N
N
N
N
N
NATWEST MARKETS PLC
RR3QWICWWIPCS8A4S074
NatWest Markets PLC
63906YAB4
613000.00000000
PA
USD
588104.11000000
0.014713688599
Long
DBT
CORP
GB
N
2
2024-08-12
Fixed
0.80000000
N
N
N
N
N
N
Saudi Arabian Oil Co
5586006WD91QHB7J4X50
Saudi Arabian Oil Co
80414L2C8
425000.00000000
PA
USD
430681.40000000
0.010775153408
Long
DBT
CORP
SA
N
2
2024-04-16
Fixed
2.87500000
N
N
N
N
N
N
Dryden Senior Loan Fund
N/A
Dryden 72 CLO Ltd
26252NAN9
13720000.00000000
PA
USD
13709334.35000000
0.342991781730
Long
ABS-CBDO
CORP
KY
N
2
2032-05-15
Floating
1.58600000
N
N
N
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
Long: BL325SWY2 IRS USD R V 12MUSCPI INF_SL325SWY2 CCPINFLATIONZERO / Short: BL325SWY2 IRS USD P F 2.85375 FIX_SL325SWY2 CCPINFLATIONZERO
000000000
50000000.00000000
OU
Notional Amount
USD
1788916.50000000
0.044756633840
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
Inflation based on US CPI Urban Consumers NSA
2027-10-14
0.00000000
USD
0.00000000
USD
50000000.00000000
USD
1788916.50000000
N
N
N
ABN AMRO Bank NV
BFXS5XCH7N0Y05NIXW11
ABN AMRO Bank NV
000000000
4600000.00000000
PA
USD
4678692.71000000
0.117055511799
Long
DBT
CORP
NL
Y
2
2028-03-27
Fixed
4.40000000
N
N
N
N
N
N
HMH Trust
N/A
HMH Trust 2017-NSS
40390AAC5
629000.00000000
PA
USD
621257.89000000
0.015543158053
Long
ABS-MBS
CORP
US
N
2
2031-07-05
Fixed
3.34300000
N
N
N
N
N
N
Humana Inc.
529900YLDW34GJAO4J06
Humana Inc. Delayed Draw Term Loan
44485JAM2
1722914.00000000
PA
USD
1706761.68000000
0.042701214710
Long
LON
CORP
US
N
3
2024-05-28
Floating
1.45900000
N
N
N
N
N
N
Goldman Sachs & Co. LLC
FOR8UP27PHTHYVLBNG30
Long: SL3Y2P745 IRS USD R F 2.06250 SL3Y2P745_FIX INFLATIONZERO / Short: SL3Y2P745 IRS USD P V 12MUSCPI SL3Y2P745_INF INFLATIONZERO
000000000
15000000.00000000
OU
Notional Amount
USD
-1089605.25000000
-0.02726067047
N/A
DIR
US
N
2
Goldman Sachs & Co. LLC
FOR8UP27PHTHYVLBNG30
N/A
N/A
Y
Inflation based on US CPI Urban Consumers NSA
2024-12-08
0.00000000
USD
0.00000000
USD
15000000.00000000
USD
-1089605.25000000
N
N
N
Petroleos Mexicanos
549300CAZKPF4HKMPX17
Petroleos Mexicanos
71654QCF7
3901000.00000000
PA
USD
3903048.03000000
0.097649773782
Long
DBT
CORP
MX
N
2
2022-03-11
Floating
3.85100000
N
N
N
N
N
N
SANTANDER HOLDINGS USA
549300SMVCQN2P0O6I58
Santander Holdings USA Inc
80282KAS5
3651000.00000000
PA
USD
3706470.63000000
0.092731633269
Long
DBT
CORP
US
N
2
2023-01-18
Fixed
3.40000000
N
N
N
N
N
N
FAGE INTL / FAGE USA
N/A
FAGE International SA / FAGE USA Dairy Industry Inc
30257WAA4
1461000.00000000
PA
USD
1480920.74000000
0.037050934074
Long
DBT
CORP
LU
N
2
2026-08-15
Fixed
5.62500000
N
N
N
N
N
N
ANGLO AMERICAN CAPITAL
TINT358G1SSHR3L3PW36
Anglo American Capital PLC
034863AG5
2113000.00000000
PA
USD
2148130.19000000
0.053743747321
Long
DBT
CORP
GB
N
2
2022-09-27
Fixed
4.12500000
N
N
N
N
N
N
GUITAR CENTER INC
N/A
Guitar Center Inc
40204BAA3
1733000.00000000
PA
USD
1819909.95000000
0.045532054321
Long
DBT
CORP
US
N
2
2026-01-15
Fixed
8.50000000
N
N
N
N
N
N
J.P. Morgan Securities LLC
ZBUT11V806EZRVTWT807
Long: SL6A3ANZ9 IRS USD R V 12MUSCPI SL6A3ANZ9_INF INFLATIONZERO / Short: SL6A3ANZ9 IRS USD P F 2.07400 SL6A3ANZ9_FIX INFLATIONZERO
000000000
35000000.00000000
OU
Notional Amount
USD
2086022.05000000
0.052189873074
N/A
DIR
US
N
2
J.P. Morgan Securities LLC
ZBUT11V806EZRVTWT807
N/A
N/A
Y
Inflation based on US CPI Urban Consumers NSA
2023-11-21
0.00000000
USD
0.00000000
USD
35000000.00000000
USD
2086022.05000000
N
N
N
United States Treasury
254900HROIFWPRGM1V77
United States Treasury Inflation Indexed Bonds
91282CDC2
71412600.00000000
PA
USD
76767944.42000000
1.920645697607
Long
DBT
UST
US
N
2
2026-10-15
Fixed
0.12500000
N
N
N
N
N
N
Exeter Automobile Receivables Trust
N/A
Exeter Automobile Receivables Trust 2021-3
30166AAF1
2545000.00000000
PA
USD
2473717.35000000
0.061889563687
Long
ABS-O
CORP
US
N
2
2027-06-15
Fixed
1.55000000
N
N
N
N
N
N
VASA Trust
N/A
VASA Trust 2021-VASA
92230AAC0
6000000.00000000
PA
USD
5895459.00000000
0.147497605274
Long
ABS-MBS
CORP
US
N
2
2039-07-15
Floating
1.44100000
N
N
N
N
N
N
NOVA GAS TRANSMISSION
N/A
NOVA Gas Transmission Ltd
669771AS6
3500000.00000000
PA
USD
3714757.97000000
0.092938972987
Long
DBT
CORP
CA
N
2
2023-04-01
Fixed
7.87500000
N
N
N
N
N
N
Verizon Owner Trust
N/A
Verizon Owner Trust 2020-C
92348CAA9
1220000.00000000
PA
USD
1204854.92000000
0.030144084693
Long
ABS-O
CORP
US
N
2
2025-04-21
Fixed
0.41000000
N
N
N
N
N
N
CSAIL Commercial Mortgage Trust
5493006MX7HG5PC85C29
CSAIL 2016-C7 Commercial Mortgage Trust
12637UAY5
4225205.36000000
PA
USD
144451.74000000
0.003614016436
Long
ABS-MBS
CORP
US
N
2
2049-11-15
Variable
0.94300000
N
N
N
N
N
N
Netflix Inc
549300Y7VHGU0I7CE873
Netflix Inc
64110LAL0
8000000.00000000
PA
USD
8699600.00000000
0.217653988746
Long
DBT
CORP
US
N
2
2025-02-15
Fixed
5.87500000
N
N
N
N
N
N
ANGLO AMERICAN CAPITAL
TINT358G1SSHR3L3PW36
Anglo American Capital PLC
034863AP5
1542000.00000000
PA
USD
1649261.21000000
0.041262619067
Long
DBT
CORP
GB
N
2
2025-05-14
Fixed
4.87500000
N
N
N
N
N
N
POSCO
988400E5HRVX81AYLM04
POSCO
693483AF6
450000.00000000
PA
USD
452286.34000000
0.011315684164
Long
DBT
CORP
KR
N
2
2022-11-12
Fixed
2.37500000
N
N
N
N
N
N
JP Morgan Chase Commercial Mortgage Sec Trust
N/A
J.P. Morgan Chase Commercial Mortgage Securities Trust 2016-NINE
46646GAA5
4340000.00000000
PA
USD
4347867.55000000
0.108778646696
Long
ABS-MBS
CORP
US
N
2
2038-09-06
Variable
2.85400000
N
N
N
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
Long: BL0X0QKA1 IRS USD R V 12MUSCPI INF_SL0X0QKA1 CCPINFLATIONZERO / Short: BL0X0QKA1 IRS USD P F 2.43900 FIX_SL0X0QKA1 CCPINFLATIONZERO
000000000
10000000.00000000
OU
Notional Amount
USD
755464.90000000
0.018900863125
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
Inflation based on US CPI Urban Consumers NSA
2041-08-17
0.00000000
USD
0.00000000
USD
10000000.00000000
USD
755464.90000000
N
N
N
Pagaya AI Debt Selection Trust
N/A
Pagaya AI Debt Trust 2022-1
69546MAA5
10764000.00000000
PA
USD
10671847.24000000
0.266997346898
Long
ABS-O
CORP
US
N
2
2029-10-15
Fixed
2.03000000
N
N
N
N
N
N
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
Long: SL3Z1HZH IRS USD R V 01MCPI CPURNSA / Short: SL3Z1HZH IRS USD P F 2.78750 CPI URBAN CONSUMER
000000000
5000000.00000000
OU
Notional Amount
USD
-323117.60000000
-0.00808403081
N/A
DIR
US
N
2
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
N/A
N/A
Y
Inflation based on US CPI Urban Consumers NSA
2026-06-08
0.00000000
USD
0.00000000
USD
5000000.00000000
USD
-323117.60000000
N
N
N
WILLIAM CARTER
TGI2A0HXEYNQPU7TYV27
William Carter Co/The
96926JAE7
1826000.00000000
PA
USD
1878314.90000000
0.046993279013
Long
DBT
CORP
US
N
2
2025-05-15
Fixed
5.50000000
N
N
N
N
N
N
Welbilt, Inc.
549300UR3W71YLZWI068
Welbilt, Inc. 2018 Term Loan B
56356XAE9
7413551.03000000
PA
USD
7404284.09000000
0.185246674100
Long
LON
CORP
US
N
2
2025-10-23
Floating
2.70900000
N
N
N
N
N
N
BFLD Trust
N/A
BFLD 2019-DPLO
054970AN8
6100000.00000000
PA
USD
5973722.07000000
0.149455657294
Long
ABS-MBS
CORP
US
N
2
2034-10-15
Floating
2.43100000
N
N
N
N
N
N
GENERAL MOTORS FINL CO
5493008B6JBRUJ90QL97
General Motors Financial Co Inc
37045XAL0
280000.00000000
PA
USD
288196.63000000
0.007210348299
Long
DBT
CORP
US
N
2
2023-05-15
Fixed
4.25000000
N
N
N
N
N
N
FREEPORT-MCMORAN INC
549300IRDTHJQ1PVET45
Freeport-McMoRan Inc
35671DCE3
177000.00000000
PA
USD
179183.30000000
0.004482960131
Long
DBT
CORP
US
N
2
2028-03-01
Fixed
4.12500000
N
N
N
N
N
N
WYNN LAS VEGAS LLC/CORP
N/A
Wynn Las Vegas LLC / Wynn Las Vegas Capital Corp
983130AU9
965000.00000000
PA
USD
969911.85000000
0.024266079231
Long
DBT
CORP
US
N
2
2023-05-30
Fixed
4.25000000
N
N
N
N
N
N
GLS Auto Receivables Trust
N/A
GLS Auto Receivables Issuer Trust 2021-3
36263LAA7
4362023.47000000
PA
USD
4346313.21000000
0.108739758896
Long
ABS-O
CORP
US
N
2
2025-01-15
Fixed
0.42000000
N
N
N
N
N
N
GM Financial Automobile Leasing Trust
N/A
GM Financial Leasing Trust
36261RAC2
2017000.00000000
PA
USD
2001213.14000000
0.050068051663
Long
ABS-O
CORP
US
N
2
2024-02-20
Fixed
0.26000000
N
N
N
N
N
N
Goldman Sachs & Co. LLC
FOR8UP27PHTHYVLBNG30
Long: SLP71KVE3 IRS USD R V 12MUSCPI SLP71KVE3_INF INFLATIONZERO / Short: SLP71KVE3 IRS USD P F 2.37750 SLP71KVE3_FIX INFLATIONZERO
000000000
5000000.00000000
OU
Notional Amount
USD
447440.65000000
0.011194450572
N/A
DIR
US
N
2
Goldman Sachs & Co. LLC
FOR8UP27PHTHYVLBNG30
N/A
N/A
Y
Inflation based on US CPI Urban Consumers NSA
2030-04-17
0.00000000
USD
0.00000000
USD
5000000.00000000
USD
447440.65000000
N
N
N
Deutsche Bank Aktiengesellschaft
7LTWFZYICNSX8D621K86
Long: SL1O3TEW0 IRS USD R V 12MUSCPI SL1O3TEW0_INF INFLATIONZERO / Short: SL1O3TEW0 IRS USD P F 2.77900 SL1O3TEW0_FIX INFLATIONZERO
000000000
25000000.00000000
OU
Notional Amount
USD
-1567138.00000000
-0.03920799078
N/A
DIR
US
N
2
Deutsche Bank Aktiengesellschaft
7LTWFZYICNSX8D621K86
N/A
N/A
Y
Inflation based on US CPI Urban Consumers NSA
2022-03-12
0.00000000
USD
0.00000000
USD
25000000.00000000
USD
-1567138.00000000
N
N
N
Capital One Multi-Asset Execution Trust
R42WS16M9R97TJJKGU15
Capital One Multi-Asset Execution Trust
14041NFQ9
1107000.00000000
PA
USD
1114916.27000000
0.027893923086
Long
ABS-O
CORP
US
N
2
2025-07-15
Fixed
2.29000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Non Gold Pool
3128S5GH1
69955.11000000
PA
USD
73820.37000000
0.001846900774
Long
ABS-MBS
USGSE
US
N
2
2037-02-01
Floating
2.20600000
N
N
N
N
N
N
UNIVISION COMMUNICATIONS
549300YQDE2JSGTL8V47
Univision Communications Inc
914906AS1
2802000.00000000
PA
USD
2823642.93000000
0.070644299336
Long
DBT
CORP
US
N
2
2025-02-15
Fixed
5.12500000
N
N
N
N
N
N
Deutsche Bank Aktiengesellschaft
7LTWFZYICNSX8D621K86
Long: SLMH0CO1 IRS USD R V 00MCPURN CPURNSA 0.00BPS / Short: SLMH0CO1 IRS USD P F 2.50500
000000000
5000000.00000000
OU
Notional Amount
USD
-20276.30000000
-0.00050728971
N/A
DIR
US
N
2
Deutsche Bank Aktiengesellschaft
7LTWFZYICNSX8D621K86
N/A
N/A
Y
Inflation based on US CPI Urban Consumers NSA
2031-12-07
0.00000000
USD
0.00000000
USD
5000000.00000000
USD
-20276.30000000
N
N
N
CFCRE Commercial Mortgage Trust
N/A
CFCRE Commercial Mortgage Trust 2016-C7
12532BAH0
3564211.01000000
PA
USD
103194.24000000
0.002581801226
Long
ABS-MBS
CORP
US
N
2
2054-12-10
Variable
0.68900000
N
N
N
N
N
N
GOLDMAN SACHS GROUP INC
784F5XWPLTWKTBV3E584
Goldman Sachs Group Inc/The
38141GYM0
4634000.00000000
PA
USD
4443067.43000000
0.111160438228
Long
DBT
CORP
US
N
2
2027-10-21
Fixed
1.94800000
N
N
N
N
N
N
JERSEY CENTRAL PWR & LT
549300W9UGH9ZPLNPF79
Jersey Central Power & Light Co
476556DB8
5530000.00000000
PA
USD
5752765.99000000
0.143927590239
Long
DBT
CORP
US
N
2
2024-04-01
Fixed
4.70000000
N
N
N
N
N
N
Carvana Auto Receivables Trust
N/A
Carvana Auto Receivables Trust 2019-2
14686UAE5
425873.44000000
PA
USD
427712.45000000
0.010700873692
Long
ABS-O
CORP
US
N
2
2024-06-17
Fixed
3.00000000
N
N
N
N
N
N
Angel Oak Mortgage Trust
N/A
Angel Oak Mortgage Trust 2021-4
03464EAA0
2481916.45000000
PA
USD
2420796.53000000
0.060565545622
Long
ABS-MBS
CORP
US
N
2
2065-01-20
Variable
1.03500000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138ELS95
329334.11000000
PA
USD
343457.51000000
0.008592911974
Long
ABS-MBS
USGSE
US
N
2
2042-03-01
Floating
2.06800000
N
N
N
N
N
N
Babson CLO Ltd
549300T40QLO0VJIOB35
Barings CLO Ltd 2019-III
06761KAL5
3020000.00000000
PA
USD
3017317.94000000
0.075489825389
Long
ABS-CBDO
CORP
KY
N
2
2031-04-20
Floating
1.32400000
N
N
N
N
N
N
Santander Drive Auto Receivables Trust
N/A
Santander Drive Auto Receivables Trust 2020-4
80286WAG1
6325000.00000000
PA
USD
6308919.95000000
0.157841922824
Long
ABS-O
CORP
US
N
2
2027-01-15
Fixed
1.48000000
N
N
N
N
N
N
Barclays PLC
213800LBQA1Y9L22JB70
Barclays PLC
06738EAP0
4407000.00000000
PA
USD
4733536.67000000
0.118427644616
Long
DBT
CORP
GB
N
2
2026-05-12
Fixed
5.20000000
N
N
N
N
N
N
CREDIT SUISSE GROUP AG
549300506SI9CRFV9Z86
Credit Suisse Group AG
225433AC5
1536000.00000000
PA
USD
1576205.03000000
0.039434837447
Long
DBT
CORP
CH
N
2
2025-03-26
Fixed
3.75000000
N
N
N
N
N
N
FIRST QUANTUM MINERALS L
549300I7UVBGWRYMYZ18
First Quantum Minerals Ltd
335934AK1
4522000.00000000
PA
USD
4532174.68000000
0.113389799163
Long
DBT
CORP
CA
N
2
2023-04-01
Fixed
7.25000000
N
N
N
N
N
N
SANTANDER UK GROUP HLDGS
549300F5XIFGNNW4CF72
Santander UK Group Holdings PLC
80281LAR6
2488000.00000000
PA
USD
2408443.24000000
0.060256480511
Long
DBT
CORP
GB
N
2
2028-01-11
Fixed
2.46900000
N
N
N
N
N
N
ALCOA NEDERLAND HOLDING
5493000UL1QLQLT1VQ42
Alcoa Nederland Holding BV
013822AC5
3513000.00000000
PA
USD
3701964.27000000
0.092618889324
Long
DBT
CORP
NL
N
2
2028-05-15
Fixed
6.12500000
N
N
N
N
N
N
Orange Lake Timeshare Trust
N/A
Orange Lake Timeshare Trust 2019-A
68504UAA9
197155.23000000
PA
USD
197644.45000000
0.004944836877
Long
ABS-O
CORP
US
N
2
2038-04-09
Fixed
3.06000000
N
N
N
N
N
N
Cosmopolitan Hotel Trust
N/A
CHT 2017-COSMO Mortgage Trust
12546DAG2
2768000.00000000
PA
USD
2760548.82000000
0.069065757253
Long
ABS-MBS
CORP
US
N
2
2036-11-15
Floating
1.59100000
N
N
N
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
Long: BLYN05VE2 IRS USD R V 12MUSCPI SLYN05VE2_INF CCPINFLATIONZERO / Short: BLYN05VE2 IRS USD P F 2.36250 SLYN05VE2_FIX CCPINFLATIONZERO
000000000
5000000.00000000
OU
Notional Amount
USD
506312.95000000
0.012667367823
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
Inflation based on US CPI Urban Consumers NSA
2033-01-25
0.00000000
USD
0.00000000
USD
5000000.00000000
USD
506312.95000000
N
N
N
BANK OF IRELAND GROUP
635400C8EK6DRI12LJ39
Bank of Ireland Group PLC
06279JAA7
5242000.00000000
PA
USD
5427445.34000000
0.135788441647
Long
DBT
CORP
IE
N
2
2023-11-25
Fixed
4.50000000
N
N
N
N
N
N
Avis Budget Rental Car Funding AESOP LLC
IHXLB8SL0QWSSG2VG640
Avis Budget Rental Car Funding AESOP LLC
05377REQ3
5000000.00000000
PA
USD
4826074.00000000
0.120742822208
Long
ABS-O
CORP
US
N
2
2026-08-20
Fixed
3.34000000
N
N
N
N
N
N
VOLKSWAGEN GROUP AMERICA
5493002SQ1AVQBY41K40
Volkswagen Group of America Finance LLC
928668BC5
861000.00000000
PA
USD
864215.37000000
0.021621674837
Long
DBT
CORP
US
N
2
2022-05-13
Fixed
2.90000000
N
N
N
N
N
N
Glencore Funding LLC
213800STG1QDNBY87K49
Glencore Funding LLC
378272AT5
4797000.00000000
PA
USD
4962355.95000000
0.124152439893
Long
DBT
CORP
US
N
2
2024-03-12
Fixed
4.12500000
N
N
N
N
N
N
DBWF Mortgage Trust
N/A
DBWF 2018-AMXP Mortgage Trust
23306PAE7
1000000.00000000
PA
USD
991675.00000000
0.024810568220
Long
ABS-MBS
CORP
US
N
2
2035-05-05
Variable
3.83000000
N
N
N
N
N
N
Bank of America Corporation
9DJT3UXIJIZJI4WXO774
Long: SL1T25VB IRS USD R V 00MCPI CPI URBAN CONSUMER / Short: SL1T25VB IRS USD P F 2.82500 ZERO COUPON SWAP
000000000
5000000.00000000
OU
Notional Amount
USD
-372716.30000000
-0.00932493325
N/A
DIR
US
N
2
Bank of America Corporation
9DJT3UXIJIZJI4WXO774
N/A
N/A
Y
Inflation based on US CPI Urban Consumers NSA
2023-07-22
0.00000000
USD
0.00000000
USD
5000000.00000000
USD
-372716.30000000
N
N
N
CEMIG GERACAO E TRANSM
529900ZT0AVI5W1VFB58
Cemig Geracao e Transmissao SA
12517MAA0
250000.00000000
PA
USD
273822.50000000
0.006850724094
Long
DBT
CORP
BR
N
2
2024-12-05
Fixed
9.25000000
N
N
N
N
N
N
JP Morgan Chase Commercial Mortgage Sec Trust
N/A
JP Morgan Chase Commercial Mortgage Securities Trust 2014-DSTY
46642MAE8
1292000.00000000
PA
USD
12.92000000
0.000000323243
Long
ABS-MBS
CORP
US
N
2
2027-06-10
Variable
0.03400000
N
N
N
N
N
N
AERCAP IRELAND CAP/GLOBA
N/A
AerCap Ireland Capital DAC / AerCap Global Aviation Trust
00774MAQ8
1224000.00000000
PA
USD
1234724.70000000
0.030891392243
Long
DBT
CORP
IE
N
2
2024-02-15
Fixed
3.15000000
N
N
N
N
N
N
COMM Mortgage Trust
549300FVY7JUBJ0PIH53
COMM 2013-CCRE7 Mortgage Trust
12625FAF3
4227871.37000000
PA
USD
38140.47000000
0.000954230703
Long
ABS-MBS
CORP
US
N
2
2046-03-10
Variable
1.16800000
N
N
N
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
Long: BLA219FL7 IRS USD R V 12MUSCPI SLA219FL7_INF CCPINFLATIONZERO / Short: BLA219FL7 IRS USD P F 2.39300 SLA219FL7_FIX CCPINFLATIONZERO
000000000
10000000.00000000
OU
Notional Amount
USD
825137.80000000
0.020643998969
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
Inflation based on US CPI Urban Consumers NSA
2028-05-11
0.00000000
USD
0.00000000
USD
10000000.00000000
USD
825137.80000000
N
N
N
FLORIDA GAS TRANSMISSION
549300Q0UQF87NXNOC32
Florida Gas Transmission Co LLC
340711AV2
10740000.00000000
PA
USD
10774500.32000000
0.269565608924
Long
DBT
CORP
US
N
2
2022-07-15
Fixed
3.87500000
N
N
N
N
N
N
Amur Equipment Finance Receivables VII LLC
5493008OAETJ1UTO4Q72
Amur Equipment Finance Receivables VII LLC
03237MAB6
362147.29000000
PA
USD
364035.09000000
0.009107739365
Long
ABS-O
CORP
US
N
2
2024-06-20
Fixed
2.63000000
N
N
N
N
N
N
Westlake Automobile Receivables Trust 2020-1
N/A
Westlake Automobile Receivables Trust 2020-1
96042KAD5
10500000.00000000
PA
USD
10520905.50000000
0.263220958124
Long
ABS-O
CORP
US
N
2
2025-04-15
Fixed
1.94000000
N
N
N
N
N
N
TOLL BROS FINANCE CORP
N/A
Toll Brothers Finance Corp
88947EAR1
3318000.00000000
PA
USD
3522970.54000000
0.088140672015
Long
DBT
CORP
US
N
2
2025-11-15
Fixed
4.87500000
N
N
N
N
N
N
Fluor Corp
CQ7WZ4NOFWT7FAE6Q943
Fluor Corp
343412AC6
877000.00000000
PA
USD
887015.34000000
0.022192103870
Long
DBT
CORP
US
N
2
2024-12-15
Fixed
3.50000000
N
N
N
N
N
N
American Money Management Corporation
549300ICO4ZE2FVC2Y46
AMMC CLO 23 Ltd
00177JAS4
15000000.00000000
PA
USD
14917500.00000000
0.373218697081
Long
ABS-CBDO
CORP
KY
N
2
2031-10-17
Floating
1.28100000
N
N
N
N
N
N
Air Lease Corp
5493004NW4M4P8TMMK63
Air Lease Corp
00912XAT1
2000000.00000000
PA
USD
2021665.02000000
0.050579734184
Long
DBT
CORP
US
N
2
2023-09-15
Fixed
3.00000000
N
N
N
N
N
N
Avolon TLB Borrower 1 (US) LLC
635400O84AGITYFZQB55
Avolon TLB Borrower 1 (US) LLC Term Loan B3
05400KAE0
4696454.69000000
PA
USD
4663884.78000000
0.116685034417
Long
LON
CORP
US
N
2
2025-01-15
Floating
2.50000000
N
N
N
N
N
N
FHLMC Multifamily Structured Pass Through Certs.
S6XOOCT0IEG5ABCC6L87
Freddie Mac Multifamily Structured Pass Through Certificates
3137BTUP4
14766759.58000000
PA
USD
119885.41000000
0.002999395107
Long
ABS-MBS
USGSE
US
N
2
2026-11-25
Variable
0.17000000
N
N
N
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
Long: BLYH093U2 IRS USD R V 12MUSCPI SLYH093U2_INF CCPINFLATIONZERO / Short: BLYH093U2 IRS USD P F .76000 SLYH093U2_FIX CCPINFLATIONZERO
000000000
15000000.00000000
OU
Notional Amount
USD
2392524.60000000
0.059858214442
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
Inflation based on US CPI Urban Consumers NSA
2025-03-31
0.00000000
USD
0.00000000
USD
15000000.00000000
USD
2392524.60000000
N
N
N
DELL INT LLC / EMC CORP
N/A
Dell International LLC / EMC Corp
24703TAD8
1388000.00000000
PA
USD
1549887.69000000
0.038776407862
Long
DBT
CORP
US
N
2
2026-06-15
Fixed
6.02000000
N
N
N
N
N
N
Goldman Sachs Bank USA
KD3XUN7C6T14HNAYLU02
Long: SL3A1WMZ7 IRS USD R V 12MUSCPI SL3A1WMZ7_INF INFLATIONZERO / Short: SL3A1WMZ7 IRS USD P F 2.77250 SL3A1WMZ7_FIX INFLATIONZERO
000000000
20000000.00000000
OU
Notional Amount
USD
-807533.00000000
-0.02020354711
N/A
DIR
US
N
2
Goldman Sachs Bank USA
KD3XUN7C6T14HNAYLU02
N/A
N/A
Y
Inflation based on US CPI Urban Consumers NSA
2023-04-03
0.00000000
USD
0.00000000
USD
20000000.00000000
USD
-807533.00000000
N
N
N
COLT Funding LLC
N/A
COLT 2021-2 Mortgage Loan Trust
19685WAA9
6496115.35000000
PA
USD
6286776.08000000
0.157287908659
Long
ABS-MBS
CORP
US
N
2
2066-08-25
Variable
0.92400000
N
N
N
N
N
N
Barclays Bank PLC
G5GSEF7VJP5I7OUK5573
Long: SL4K5ADF2 IRS USD R V 12MUSCPI SL4K5ADF2_INF INFLATIONZERO / Short: SL4K5ADF2 IRS USD P F 2.15900 SL4K5ADF2_FIX INFLATIONZERO
000000000
15000000.00000000
OU
Notional Amount
USD
1394361.30000000
0.034885316416
N/A
DIR
US
N
2
Barclays Bank PLC
G5GSEF7VJP5I7OUK5573
N/A
N/A
Y
Inflation based on US CPI Urban Consumers NSA
2024-11-25
0.00000000
USD
0.00000000
USD
15000000.00000000
USD
1394361.30000000
N
N
N
ONEMAIN FINANCE CORP
5493008I795YYBFWFU90
OneMain Finance Corp
85172FAP4
6046000.00000000
PA
USD
6234786.35000000
0.155987185394
Long
DBT
CORP
US
N
2
2024-03-15
Fixed
6.12500000
N
N
N
N
N
N
ILLINOIS ST
54930048FV8RWPR02D67
State of Illinois
452151LE1
587490.91000000
PA
USD
603313.39000000
0.015094207296
Long
DBT
MUN
US
N
2
2023-06-01
Fixed
4.95000000
N
N
N
N
N
N
FLEX LTD
549300EAQH74YHD07T53
Flex Ltd
33938XAC9
1121000.00000000
PA
USD
1158202.83000000
0.028976903044
Long
DBT
CORP
SG
N
2
2026-02-01
Fixed
3.75000000
N
N
N
N
N
N
Cedar Funding Ltd
635400NWFWJ92O7QGD64
Cedar Funding V CLO Ltd
15032AAN7
3400000.00000000
PA
USD
3400229.74000000
0.085069838333
Long
ABS-CBDO
CORP
KY
N
2
2031-07-17
Floating
1.34100000
N
N
N
N
N
N
Eni SpA
BUCRF72VH5RBN7X3VL35
Eni SpA
26874RAG3
660000.00000000
PA
USD
679476.82000000
0.016999728738
Long
DBT
CORP
IT
N
2
2023-09-12
Fixed
4.00000000
N
N
N
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
Long: SL1T4LX53 IRS USD R F 1.92400 SL1T4LX53_FIX CCPINFLATIONZERO / Short: SL1T4LX53 IRS USD P V 12MUSCPI SL1T4LX53_INF CCPINFLATIONZERO
000000000
10000000.00000000
OU
Notional Amount
USD
-599128.10000000
-0.01498949615
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
Inflation based on US CPI Urban Consumers NSA
2022-04-10
0.00000000
USD
0.00000000
USD
10000000.00000000
USD
-599128.10000000
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138EJ5A2
42370.29000000
PA
USD
44674.94000000
0.001117715629
Long
ABS-MBS
USGSE
US
N
2
2038-01-01
Floating
2.31800000
N
N
N
N
N
N
Navient Corp
54930067J0ZNOEBRW338
Navient Corp
78442FEQ7
249000.00000000
PA
USD
254545.23000000
0.006368428965
Long
DBT
CORP
US
N
2
2023-01-25
Fixed
5.50000000
N
N
N
N
N
N
ALEXANDER FUNDING TRUST
N/A
Alexander Funding Trust
014621AA4
2465000.00000000
PA
USD
2447880.33000000
0.061243151156
Long
DBT
CORP
US
N
2
2023-11-15
Fixed
1.84100000
N
N
N
N
N
N
ISTAR INC
QFFLKWYYS3UPWD86E794
iStar Inc
45031UCJ8
4428000.00000000
PA
USD
4531703.76000000
0.113378017286
Long
DBT
US
N
2
2026-02-15
Fixed
5.50000000
N
N
N
N
N
N
JPMORGAN CHASE & CO
8I5DZWZKVSZI1NUHU748
JPMorgan Chase & Co
46647PCX2
3765000.00000000
PA
USD
3757403.47000000
0.094005914361
Long
DBT
CORP
US
N
2
2026-02-24
Floating
0.97000000
N
N
N
N
N
N
JPMORGAN CHASE & CO
8I5DZWZKVSZI1NUHU748
JPMorgan Chase & Co
46647PCM6
3156000.00000000
PA
USD
3034483.11000000
0.075919278205
Long
DBT
CORP
US
N
2
2025-08-09
Fixed
0.76800000
N
N
N
N
N
N
Barclays Bank PLC
G5GSEF7VJP5I7OUK5573
Long: SL1O52ND9 IRS USD R V 12MUSCPI SL1O52ND9_INF INFLATIONZERO / Short: SL1O52ND9 IRS USD P F 2.39250 SL1O52ND9_FIX INFLATIONZERO
000000000
5000000.00000000
OU
Notional Amount
USD
466924.85000000
0.011681922852
N/A
DIR
US
N
2
Barclays Bank PLC
G5GSEF7VJP5I7OUK5573
N/A
N/A
Y
Inflation based on US CPI Urban Consumers NSA
2031-12-13
0.00000000
USD
0.00000000
USD
5000000.00000000
USD
466924.85000000
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
Long: BL6K7XV76 IRS USD R V 12MUSCPI SL6K7XV76_FLO CCPINFLATIONZERO / Short: BL6K7XV76 IRS USD P F 2.51000 SL6K7XV76_FIX CCPINFLATIONZERO
000000000
20000000.00000000
OU
Notional Amount
USD
1612640.40000000
0.040346408510
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
Inflation based on US CPI Urban Consumers NSA
2030-06-30
0.00000000
USD
0.00000000
USD
20000000.00000000
USD
1612640.40000000
N
N
N
EQUS 2021-EQAZ Mortgage Trust
N/A
EQUS 2021-EQAZ Mortgage Trust
29478JAL4
3970000.00000000
PA
USD
3884668.42000000
0.097189937074
Long
ABS-MBS
CORP
US
N
2
2038-10-15
Floating
1.84100000
N
N
N
N
N
N
Santander Drive Auto Receivables Trust
N/A
Santander Drive Auto Receivables Trust 2021-4
80285VAF6
4070000.00000000
PA
USD
3963503.16000000
0.099162291620
Long
ABS-O
CORP
US
N
2
2027-10-15
Fixed
1.67000000
N
N
N
N
N
N
XPO Logistics, Inc.
54930096DB9LCLPN7H13
XPO Logistics, Inc. 2018 Term Loan B
98379EAE6
12148279.00000000
PA
USD
11993449.18000000
0.300062307791
Long
LON
CORP
US
N
2
2025-02-24
Floating
1.85800000
N
N
N
N
N
N
Citigroup Inc
6SHGI4ZSSLCXXQSBB395
Citigroup Inc
172967HB0
11700000.00000000
PA
USD
12762021.64000000
0.319291106995
Long
DBT
CORP
US
N
2
2025-09-13
Fixed
5.50000000
N
N
N
N
N
N
Nordea Bank Abp
529900ODI3047E2LIV03
Nordea Bank Abp
65557FAD8
505000.00000000
PA
USD
512901.34000000
0.012832201766
Long
DBT
CORP
FI
N
2
2022-09-21
Fixed
4.25000000
N
N
N
N
N
N
MRA Issuance Trust
N/A
MRA Issuance Trust 2021-8
55350J207
31300000.00000000
PA
USD
31300635.39000000
0.783105906356
Long
ABS-MBS
CORP
US
N
2
2022-05-15
Floating
1.25600000
N
N
N
N
N
N
Intercontinental Exchange, Inc.
5493000F4ZO33MV32P92
Long: BLEF0RCY0 IRS USD R V 12MUSCPI INF_SLEF0RCY0 CCPINFLATIONZERO / Short: BLEF0RCY0 IRS USD P F 2.93097 FIX_SLEF0RCY0 CCPINFLATIONZERO
000000000
80000000.00000000
OU
Notional Amount
USD
1284676.80000000
0.032141136347
N/A
DIR
US
N
2
Intercontinental Exchange, Inc.
5493000F4ZO33MV32P92
N/A
N/A
Y
Inflation based on US CPI Urban Consumers NSA
2027-02-15
0.00000000
USD
0.00000000
USD
80000000.00000000
USD
1284676.80000000
N
N
N
Lennar Corp
529900G61XVRLX5TJX09
Lennar Corp
526057BZ6
1610000.00000000
PA
USD
1675803.42000000
0.041926674642
Long
DBT
CORP
US
N
2
2024-04-30
Fixed
4.50000000
N
N
N
N
N
N
CLARIOS GLOBAL LP/US FIN
N/A
Clarios Global LP / Clarios US Finance Co
69867DAC2
3756000.00000000
PA
USD
3919386.00000000
0.098058531005
Long
DBT
CORP
US
N
2
2027-05-15
Fixed
8.50000000
N
N
N
N
N
N
Life Financial Services Trust
N/A
Life 2021-BMR Mortgage Trust
53218CAA8
5308038.81000000
PA
USD
5207799.15000000
0.130293146534
Long
ABS-MBS
CORP
US
N
2
2038-03-15
Floating
0.89100000
N
N
N
N
N
N
AMERICAN TOWER CORPORATION
5493006ORUSIL88JOE18
American Tower Corporation 2021 Term Loan
000000000
9403686.00000000
PA
USD
9350837.28000000
0.233947196665
Long
LON
CORP
US
N
3
2022-12-07
Floating
1.31300000
N
N
N
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
Long: BLK704GJ1 IRS USD R V 12MUSCPI SLK704GJ1_FLO CCPINFLATIONZERO / Short: BLK704GJ1 IRS USD P F 2.56500 SLK704GJ1_FIX CCPINFLATIONZERO
000000000
10000000.00000000
OU
Notional Amount
USD
841062.50000000
0.021042416652
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
Inflation based on US CPI Urban Consumers NSA
2031-05-06
0.00000000
USD
0.00000000
USD
10000000.00000000
USD
841062.50000000
N
N
N
GS Mortgage Securities Trust
N/A
GS Mortgage Securities Corp Trust 2017-GPTX
36257CAG2
1060000.00000000
PA
USD
1053157.06000000
0.026348778666
Long
ABS-MBS
CORP
US
N
2
2034-05-10
Fixed
3.10400000
N
N
N
N
N
N
GOLDMAN SACHS GROUP INC
784F5XWPLTWKTBV3E584
Goldman Sachs Group Inc/The
38141GZE7
1845000.00000000
PA
USD
1824284.17000000
0.045641492276
Long
DBT
CORP
US
N
2
2023-12-06
Fixed
1.21700000
N
N
N
N
N
N
ASHTEAD CAPITAL INC
213800J1134IW58IC398
Ashtead Capital Inc
045054AJ2
7005000.00000000
PA
USD
7215723.36000000
0.180529101452
Long
DBT
CORP
US
N
2
2028-05-01
Fixed
4.00000000
N
N
N
N
N
N
Diamond Resorts Owner Trust
N/A
Diamond Resorts Owner Trust 2018-1
252724AA7
585766.89000000
PA
USD
591460.08000000
0.014797651109
Long
ABS-O
CORP
US
N
2
2031-01-21
Fixed
3.70000000
N
N
N
N
N
N
HYATT HOTELS CORP
T27JQIMTYSH41TCD5186
Hyatt Hotels Corp
448579AL6
3682000.00000000
PA
USD
3625229.82000000
0.090699081618
Long
DBT
CORP
US
N
2
2023-10-01
Fixed
1.30000000
N
N
N
N
N
N
Bank of America, National Association
B4TYDEB6GKMZO031MB27
Long: SL3A3AVU4 IRS USD R V 12MUSCPI SL3A3AVU4_INF INFLATIONZERO / Short: SL3A3AVU4 IRS USD P F 2.21300 SL3A3AVU4_FIX INFLATIONZERO
000000000
5000000.00000000
OU
Notional Amount
USD
659835.00000000
0.016508312987
N/A
DIR
US
N
2
Bank of America, National Association
B4TYDEB6GKMZO031MB27
N/A
N/A
Y
Inflation based on US CPI Urban Consumers NSA
2032-10-25
0.00000000
USD
0.00000000
USD
5000000.00000000
USD
659835.00000000
N
N
N
Synovus Financial Corp
549300EIUS8UN5JTLE54
Synovus Financial Corp
87161CAL9
2497000.00000000
PA
USD
2512943.59000000
0.062870959108
Long
DBT
CORP
US
N
2
2022-11-01
Fixed
3.12500000
N
N
N
N
N
N
World Omni Automobile Lease Securitization Trust
N/A
World Omni Automobile Lease Securitization Trust 2020-B
98163GAD3
554000.00000000
PA
USD
549426.79000000
0.013746026526
Long
ABS-O
CORP
US
N
2
2024-02-15
Fixed
0.45000000
N
N
N
N
N
N
WF-RBS Commercial Mortgage Trust
5493000F7E2NMQ4HIO61
WFRBS Commercial Mortgage Trust 2014-C21
92939FBB4
15000000.00000000
PA
USD
222169.50000000
0.005558425427
Long
ABS-MBS
CORP
US
N
2
2047-08-15
Variable
0.64000000
N
N
N
N
N
N
FORTRESS TRANS & INFRAST
529900E7PUVK6BC8PE80
Fortress Transportation and Infrastructure Investors LLC
34960PAB7
2913000.00000000
PA
USD
2952704.19000000
0.073873263660
Long
DBT
CORP
US
N
2
2025-10-01
Fixed
6.50000000
N
N
N
N
N
N
Freddie Mac - STACR
N/A
Freddie Mac STACR REMIC Trust 2021-HQA3
35564KJG5
2925000.00000000
PA
USD
2896979.09000000
0.072479085734
Long
ABS-MBS
USGSE
US
N
2
2041-09-25
Floating
0.89900000
N
N
N
N
N
N
LCM Ltd Partnership
N/A
LCM Loan Income Fund I Income Note Issuer Ltd
50200JAC5
8250000.00000000
PA
USD
8254439.08000000
0.206516574397
Long
ABS-CBDO
CORP
KY
N
2
2031-07-16
Floating
1.32100000
N
N
N
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
Long: BL1055AF1 IRS USD R V 12MUSCPI SL1055AF1_INF CCPINFLATIONZERO / Short: BL1055AF1 IRS USD P F 2.35500 SL1055AF1_FIX CCPINFLATIONZERO
000000000
10000000.00000000
OU
Notional Amount
USD
990494.40000000
0.024781030965
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
Inflation based on US CPI Urban Consumers NSA
2032-03-08
0.00000000
USD
0.00000000
USD
10000000.00000000
USD
990494.40000000
N
N
N
GENERAL MOTORS FINL CO
5493008B6JBRUJ90QL97
General Motors Financial Co Inc
37045XCR5
6578000.00000000
PA
USD
6902854.86000000
0.172701491335
Long
DBT
CORP
US
N
2
2024-01-17
Fixed
5.10000000
N
N
N
N
N
N
ATMOS ENERGY CORP
QVLWEGTD2S8GJMO8D383
Atmos Energy Corp
049560AV7
3053000.00000000
PA
USD
3050940.87000000
0.076331032436
Long
DBT
CORP
US
N
2
2023-03-09
Floating
0.57800000
N
N
N
N
N
N
Goldman Sachs & Co. LLC
FOR8UP27PHTHYVLBNG30
Long: SL4F5B669 IRS USD R V 12MUSCPI SL4F5B669_INF INFLATIONZERO / Short: SL4F5B669 IRS USD P F 2.31700 SL4F5B669_FIX INFLATIONZERO
000000000
5000000.00000000
OU
Notional Amount
USD
475936.00000000
0.011907371463
N/A
DIR
US
N
2
Goldman Sachs & Co. LLC
FOR8UP27PHTHYVLBNG30
N/A
N/A
Y
Inflation based on US CPI Urban Consumers NSA
2029-03-16
0.00000000
USD
0.00000000
USD
5000000.00000000
USD
475936.00000000
N
N
N
BHMS Mortgage Trust
N/A
BHMS 2018-ATLS
05549GAJ0
12254000.00000000
PA
USD
12063266.49000000
0.301809056607
Long
ABS-MBS
CORP
US
N
2
2035-07-15
Floating
2.09100000
N
N
N
N
N
N
FHLMC Multifamily Structured Pass Through Certs.
S6XOOCT0IEG5ABCC6L87
Freddie Mac Multifamily Structured Pass Through Certificates
3137BEWS9
1287732.21000000
PA
USD
127768.79000000
0.003196628210
Long
ABS-MBS
USGSE
US
N
2
2032-02-25
Variable
2.13900000
N
N
N
N
N
N
GM Financial Securitized Term Auto Receivables Tr
N/A
GM Financial Consumer Automobile Receivables Trust 2020-4
36260KAC8
1187000.00000000
PA
USD
1173947.27000000
0.029370810829
Long
ABS-O
CORP
US
N
2
2025-08-18
Fixed
0.38000000
N
N
N
N
N
N
Nexstar Broadcasting, Inc.
5493006PK6I4I2OOT688
Nexstar Broadcasting, Inc. 2018 Term Loan B3
65336RAU2
4545925.28000000
PA
USD
4533855.85000000
0.113431860103
Long
LON
CORP
US
N
2
2024-01-17
Floating
2.45900000
N
N
N
N
N
N
UBER TECHNOLOGIES INC
549300B2FTG34FILDR98
Uber Technologies Inc
90353TAC4
739000.00000000
PA
USD
786284.92000000
0.019671944587
Long
DBT
CORP
US
N
2
2026-11-01
Fixed
8.00000000
N
N
N
N
N
N
CHENIERE CORP CHRISTI HD
549300I7CIEWU1BBLQ53
Cheniere Corpus Christi Holdings LLC
16412XAD7
5100000.00000000
PA
USD
5518520.84000000
0.138067045934
Long
DBT
CORP
US
N
2
2024-06-30
Fixed
7.00000000
N
N
N
N
N
N
Barclays Commercial Mortgage Securities LLC
N/A
BBCMS Trust 2018-BXH
05491RAA3
1492236.77000000
PA
USD
1475391.95000000
0.036912610106
Long
ABS-MBS
CORP
US
N
2
2037-10-15
Floating
1.19100000
N
N
N
N
N
N
JPMBB Commercial Mortgage Securities Trust
N/A
JPMBB Commercial Mortgage Securities Trust 2014-C24
46643GAG5
2395818.92000000
PA
USD
41528.17000000
0.001038987062
Long
ABS-MBS
CORP
US
N
2
2047-11-15
Variable
0.86300000
N
N
N
N
N
N
Nielsen Finance LLC
UJ76Y189LDMPCOCW7204
Nielsen Finance LLC USD Term Loan B4
65409YBE4
6014625.06000000
PA
USD
6009452.48000000
0.150349591068
Long
LON
CORP
US
N
2
2023-10-04
Floating
2.12500000
N
N
N
N
N
N
Bayer US Finance II LLC
529900XWNEXYNJ3X6T40
Bayer US Finance II LLC
07274NAG8
1325000.00000000
PA
USD
1336144.26000000
0.033428793016
Long
DBT
CORP
US
N
2
2023-12-15
Floating
1.21300000
N
N
N
N
N
N
KKR Financial CLO Ltd
549300LGO0WGOG6NE245
KKR Clo 24 Ltd
48252RAL8
4980000.00000000
PA
USD
4979423.12000000
0.124579440862
Long
ABS-CBDO
CORP
KY
N
2
2032-04-20
Floating
1.33400000
N
N
N
N
N
N
HOWMET AEROSPACE INC
549300HO5WFZUT5N2T22
Howmet Aerospace Inc
443201AA6
2965000.00000000
PA
USD
3269201.59000000
0.081791664683
Long
DBT
CORP
US
N
2
2025-05-01
Fixed
6.87500000
N
N
N
N
N
N
Intercontinental Exchange, Inc.
5493000F4ZO33MV32P92
Long: BLEE0SU47 IRS USD R V 12MUSCPI INF_SLEE0SU47 CCPINFLATIONZERO / Short: BLEE0SU47 IRS USD P F 2.93097 FIX_SLEE0SU47 CCPINFLATIONZERO
000000000
80000000.00000000
OU
Notional Amount
USD
1284676.80000000
0.032141136347
N/A
DIR
US
N
2
Intercontinental Exchange, Inc.
5493000F4ZO33MV32P92
N/A
N/A
Y
Inflation based on US CPI Urban Consumers NSA
2027-02-15
0.00000000
USD
0.00000000
USD
80000000.00000000
USD
1284676.80000000
N
N
N
IMPERIAL BRANDS FIN PLC
2138008L3B3MCG1DFS50
Imperial Brands Finance PLC
453140AE5
12100000.00000000
PA
USD
12151353.37000000
0.304012889058
Long
DBT
CORP
GB
N
2
2022-07-21
Fixed
3.75000000
N
N
N
N
N
N
FIRST QUANTUM MINERALS L
549300I7UVBGWRYMYZ18
First Quantum Minerals Ltd
335934AL9
2648000.00000000
PA
USD
2709354.16000000
0.067784925726
Long
DBT
CORP
CA
N
2
2025-04-01
Fixed
7.50000000
N
N
N
N
N
N
Bayer US Finance II LLC
529900XWNEXYNJ3X6T40
Bayer US Finance II LLC
07274NAE3
4207000.00000000
PA
USD
4323342.31000000
0.108165053392
Long
DBT
CORP
US
N
2
2023-12-15
Fixed
3.87500000
N
N
N
N
N
N
HCA Inc
L3CJ6J7LJ2DX62FTXD46
HCA Inc
197677AC1
275000.00000000
PA
USD
304070.25000000
0.007607488019
Long
DBT
CORP
US
N
2
2024-04-15
Fixed
8.36000000
N
N
N
N
N
N
SABRE GLBL INC
F2TJC7HPPHLHU1AQMP98
Sabre GLBL Inc
78573NAF9
2870000.00000000
PA
USD
2977625.00000000
0.074496753671
Long
DBT
CORP
US
N
2
2025-09-01
Fixed
7.37500000
N
N
N
N
N
N
VALE OVERSEAS LIMITED
254900BA3U6G5DNV5V04
Vale Overseas Ltd
91911TAP8
3436000.00000000
PA
USD
3897059.66000000
0.097499951651
Long
DBT
CORP
KY
N
2
2026-08-10
Fixed
6.25000000
N
N
N
N
N
N
EMIRATES NBD BANK PJSC
54930029BCN8HF3B1286
Emirates NBD Bank PJSC
000000000
1725000.00000000
PA
USD
1746640.13000000
0.043698927674
Long
DBT
CORP
AE
Y
2
2022-11-14
Fixed
3.25000000
N
N
N
N
N
N
CITIGROUP INC
6SHGI4ZSSLCXXQSBB395
Citigroup Inc
172967MQ1
8551000.00000000
PA
USD
8667285.82000000
0.216845525119
Long
DBT
CORP
US
N
2
2026-04-08
Fixed
3.10600000
N
N
N
N
N
N
HCA Inc
L3CJ6J7LJ2DX62FTXD46
HCA Inc
404119BN8
2724000.00000000
PA
USD
2864228.33000000
0.071659699377
Long
DBT
CORP
US
N
2
2024-03-15
Fixed
5.00000000
N
N
N
N
N
N
GS Mortgage Securities Trust
N/A
GS Mortgage Securities Corp Trust 2017-GPTX
36257CAA5
1159000.00000000
PA
USD
1155201.96000000
0.028901824727
Long
ABS-MBS
CORP
US
N
2
2034-05-10
Fixed
2.85600000
N
N
N
N
N
N
Navient Student Loan Trust
N/A
Navient Private Education Refi Loan Trust 2021-F
63942GAA1
4217689.32000000
PA
USD
4028496.85000000
0.100788359011
Long
ABS-O
CORP
US
N
2
2070-02-18
Fixed
1.11000000
N
N
N
N
N
N
Axalta Coating Systems US Holdings Inc.
549300NZ43V4QV4UGN28
Axalta Coating Systems US Holdings Inc. USD Term Loan B3
90347BAH1
5864879.19000000
PA
USD
5808048.51000000
0.145310695323
Long
LON
CORP
US
N
2
2024-06-01
Floating
1.97400000
N
N
N
N
N
N
Goldman Sachs Bank USA
KD3XUN7C6T14HNAYLU02
Long: SL3B38FR2 IRS USD R V 12MUSCPI SL3B38FR2_INF INFLATIONZERO / Short: SL3B38FR2 IRS USD P F 1.56750 SL3B38FR2_FIX INFLATIONZERO
000000000
8000000.00000000
OU
Notional Amount
USD
1102243.28000000
0.027576859448
N/A
DIR
US
N
2
Goldman Sachs Bank USA
KD3XUN7C6T14HNAYLU02
N/A
N/A
Y
Inflation based on US CPI Urban Consumers NSA
2024-03-02
0.00000000
USD
0.00000000
USD
8000000.00000000
USD
1102243.28000000
N
N
N
Barclays Bank PLC
G5GSEF7VJP5I7OUK5573
Long: SL5D3V4U0 IRS USD R V 12MUSCPI SL5D3V4U0_INF INFLATIONZERO / Short: SL5D3V4U0 IRS USD P F 2.40950 SL5D3V4U0_FIX INFLATIONZERO
000000000
10000000.00000000
OU
Notional Amount
USD
904662.20000000
0.022633608016
N/A
DIR
US
N
2
Barclays Bank PLC
G5GSEF7VJP5I7OUK5573
N/A
N/A
Y
Inflation based on US CPI Urban Consumers NSA
2032-02-01
0.00000000
USD
0.00000000
USD
10000000.00000000
USD
904662.20000000
N
N
N
PARSLEY ENERGY LLC/FINAN
N/A
Parsley Energy LLC / Parsley Finance Corp
701885AJ4
1930000.00000000
PA
USD
1958818.22000000
0.049007379513
Long
DBT
CORP
US
N
2
2028-02-15
Fixed
4.12500000
N
N
N
N
N
N
FREEPORT-MCMORAN INC
549300IRDTHJQ1PVET45
Freeport-McMoRan Inc
35671DCC7
7500000.00000000
PA
USD
7734975.00000000
0.193520180422
Long
DBT
CORP
US
N
2
2027-09-01
Fixed
5.00000000
N
N
N
N
N
N
Verus Securitization Trust
N/A
Verus Securitization Trust 2021-1
92537QAA9
443383.82000000
PA
USD
434608.15000000
0.010873396177
Long
ABS-MBS
CORP
US
N
2
2066-01-25
Variable
0.81500000
N
N
N
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
Long: BL3106YV1 IRS USD R V 12MUSCPI SL3106YV1_INF CCPINFLATIONZERO / Short: BL3106YV1 IRS USD P F 2.36500 SL3106YV1_FIX CCPINFLATIONZERO
000000000
10000000.00000000
OU
Notional Amount
USD
1054905.90000000
0.026392532632
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
Inflation based on US CPI Urban Consumers NSA
2038-01-30
0.00000000
USD
0.00000000
USD
10000000.00000000
USD
1054905.90000000
N
N
N
JP Morgan Chase Commercial Mortgage Sec Trust
N/A
JP Morgan Chase Commercial Mortgage Securities Trust 2014-DSTY
46642MAC2
2906000.00000000
PA
USD
116.24000000
0.000002908191
Long
ABS-MBS
CORP
US
N
2
2027-06-10
Variable
0.37600000
N
N
N
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
Long: BL5H0O0A8 IRS USD R V 12MUSCPI SL5H0O0A8_FLO CCPINFLATIONZERO / Short: BL5H0O0A8 IRS USD P F 2.62250 SL5H0O0A8_FIX CCPINFLATIONZERO
000000000
10000000.00000000
OU
Notional Amount
USD
775624.30000000
0.019405228132
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
Inflation based on US CPI Urban Consumers NSA
2031-05-11
0.00000000
USD
0.00000000
USD
10000000.00000000
USD
775624.30000000
N
N
N
BB-UBS Trust
N/A
BB-UBS Trust
05490AAE3
3000000.00000000
PA
USD
2682889.80000000
0.067122817869
Long
ABS-MBS
CORP
US
N
2
2030-06-05
Variable
3.55900000
N
N
N
N
N
N
GS Mortgage Securities Trust
N/A
GS Mortgage Securities Trust 2012-GCJ9
36192PAQ9
1308648.68000000
PA
USD
6173.81000000
0.000154461627
Long
ABS-MBS
CORP
US
N
2
2045-11-10
Variable
1.91500000
N
N
N
N
N
N
EDISON INTERNATIONAL
549300I7ROF15MAEVP56
Edison International
281020AP2
3845000.00000000
PA
USD
3879981.62000000
0.097072678727
Long
DBT
CORP
US
N
2
2022-11-15
Fixed
3.12500000
N
N
N
N
N
N
NATIONAL FUEL GAS CO
8JB38FFW1Y3C1HM8E841
National Fuel Gas Co
636180BQ3
1183000.00000000
PA
USD
1282681.76000000
0.032091222740
Long
DBT
CORP
US
N
2
2026-01-15
Fixed
5.50000000
N
N
N
N
N
N
CENTERPOINT ENERGY RES
2JADVB0458J06WCD4N56
CenterPoint Energy Resources Corp
15189WAN0
1612000.00000000
PA
USD
1612408.45000000
0.040340605387
Long
DBT
CORP
US
N
2
2023-03-02
Floating
0.67300000
N
N
N
N
N
N
Goldman Sachs & Co. LLC
FOR8UP27PHTHYVLBNG30
Long: SL5D3WP50 IRS USD R V 12MUSCPI SL5D3WP50_INF INFLATIONZERO / Short: SL5D3WP50 IRS USD P F 2.18300 SL5D3WP50_FIX INFLATIONZERO
000000000
20000000.00000000
OU
Notional Amount
USD
856619.80000000
0.021431642409
N/A
DIR
US
N
2
Goldman Sachs & Co. LLC
FOR8UP27PHTHYVLBNG30
N/A
N/A
Y
Inflation based on US CPI Urban Consumers NSA
2022-03-20
0.00000000
USD
0.00000000
USD
20000000.00000000
USD
856619.80000000
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
Long: BL2I4FVH5 IRS USD R V 12MUSCPI SL2I4FVH5_FLO CCPINFLATIONZERO / Short: BL2I4FVH5 IRS USD P F 2.48300 SL2I4FVH5_FIX CCPINFLATIONZERO
000000000
10000000.00000000
OU
Notional Amount
USD
938027.90000000
0.023468379464
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
Inflation based on US CPI Urban Consumers NSA
2031-04-26
0.00000000
USD
0.00000000
USD
10000000.00000000
USD
938027.90000000
N
N
N
World Financial Network Credit Card Master Trust
N/A
World Financial Network Credit Card Master Trust
981464HC7
2551000.00000000
PA
USD
2564388.16000000
0.064158043096
Long
ABS-O
CORP
US
N
2
2026-04-15
Fixed
2.49000000
N
N
N
N
N
N
CENTRICA PLC
E26EDV109X6EEPBKVH76
Centrica PLC
15639KAA0
2450000.00000000
PA
USD
2505550.59000000
0.062685994749
Long
DBT
CORP
GB
N
2
2023-10-16
Fixed
4.00000000
N
N
N
N
N
N
TEXAS EASTERN TRANSMISSI
549300SIOULUXXIDGA69
Texas Eastern Transmission LP
882384AC4
223000.00000000
PA
USD
224354.80000000
0.005613099121
Long
DBT
CORP
US
N
2
2022-10-15
Fixed
2.80000000
N
N
N
N
N
N
HYUNDAI CAPITAL AMERICA
549300RIPPWJB5Z0FK07
Hyundai Capital America
44891ABM8
2272000.00000000
PA
USD
2240812.37000000
0.056062548894
Long
DBT
CORP
US
N
2
2023-09-18
Fixed
1.25000000
N
N
N
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
Long: BL0W0WK85 IRS USD R V 12MUSCPI SL0W0WK85_FLO CCPINFLATIONZERO / Short: BL0W0WK85 IRS USD P F 2.56600 SL0W0WK85_FIX CCPINFLATIONZERO
000000000
15000000.00000000
OU
Notional Amount
USD
1230382.20000000
0.030782747886
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
Inflation based on US CPI Urban Consumers NSA
2031-05-28
0.00000000
USD
0.00000000
USD
15000000.00000000
USD
1230382.20000000
N
N
N
FORD MOTOR CREDIT CO LLC
UDSQCVRUX5BONN0VY111
Ford Motor Credit Co LLC
345397A29
468000.00000000
PA
USD
471505.32000000
0.011796520945
Long
DBT
CORP
US
N
2
2023-01-09
Fixed
3.08700000
N
N
N
N
N
N
Credit Suisse Mortgage Trust
N/A
CSMC 2021-NQM7
12662QAA4
2995056.94000000
PA
USD
2912190.60000000
0.072859660223
Long
ABS-MBS
CORP
US
N
2
2066-10-25
Variable
1.75600000
N
N
N
N
N
N
Bluemountain CLO Ltd
549300KGXMRFX2DKIX03
BlueMountain CLO 2013-2 Ltd
09626YAN0
1176462.77000000
PA
USD
1177931.81000000
0.029470499438
Long
ABS-CBDO
CORP
KY
N
2
2030-10-22
Floating
1.43900000
N
N
N
N
N
N
VISTRA OPERATIONS CO LLC
549300ZH5GKBTJZ7NM23
Vistra Operations Co LLC
92840VAD4
3863000.00000000
PA
USD
3915500.45000000
0.097961319012
Long
DBT
CORP
US
N
2
2024-07-15
Fixed
3.55000000
N
N
N
N
N
N
JP Morgan Chase Commercial Mortgage Sec Trust
N/A
JP Morgan Chase Commercial Mortgage Securities Trust 2018-WPT
46645WAU7
4760000.00000000
PA
USD
4862346.66000000
0.121650322453
Long
ABS-MBS
CORP
US
N
2
2033-07-05
Fixed
4.24800000
N
N
N
N
N
N
INTESA SANPAOLO SPA
2W8N8UU78PMDQKZENC08
Intesa Sanpaolo SpA
46115HBJ5
3928000.00000000
PA
USD
3973701.77000000
0.099417449116
Long
DBT
CORP
IT
N
2
2024-09-23
Fixed
3.25000000
N
N
N
N
N
N
ENDEAVOR ENERGY RESOURCE
N/A
Endeavor Energy Resources LP / EER Finance Inc
29260FAF7
3389000.00000000
PA
USD
3545893.76000000
0.088714184621
Long
DBT
CORP
US
N
2
2025-07-15
Fixed
6.62500000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38378XFF3
147186.20000000
PA
USD
146808.40000000
0.003672977360
Long
ABS-MBS
USGA
US
N
2
2048-01-16
Variable
3.00000000
N
N
N
N
N
N
KNDR Trust 2021-KIND
N/A
KIND Trust 2021-KIND
482606AA8
6110000.00000000
PA
USD
6047926.68000000
0.151312171312
Long
ABS-MBS
CORP
US
N
2
2038-08-15
Floating
1.14100000
N
N
N
N
N
N
FMG RESOURCES AUG 2006
549300EFD6S2NFE9D745
FMG Resources August 2006 Pty Ltd
30251GAW7
2501000.00000000
PA
USD
2573554.01000000
0.064387362123
Long
DBT
CORP
AU
N
2
2024-05-15
Fixed
5.12500000
N
N
N
N
N
N
Suzano Austria GmbH
254900287ZNSGVP1R341
Suzano Austria GmbH
05674XAA9
984000.00000000
PA
USD
1078754.28000000
0.026989191677
Long
DBT
CORP
AT
N
2
2026-07-14
Fixed
5.75000000
N
N
N
N
N
N
PFS Financing Corp.
N/A
PFS Financing Corp
69335PDX0
647000.00000000
PA
USD
634515.29000000
0.015874842957
Long
ABS-O
CORP
US
N
2
2026-02-15
Fixed
0.97000000
N
N
N
N
N
N
American Airlines, Inc.
IWUQB36BXD6OWD6X4T14
American Airlines, Inc. 2017 Incremental Term Loan
02376CBA2
278754.22000000
PA
USD
274862.81000000
0.006876751454
Long
LON
CORP
US
N
2
2023-12-15
Floating
2.84000000
N
N
N
N
N
N
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
Long: BLP824HS1 IRS USD R V 03MSOFR SLP824HS1_FLO CCPOIS / Short: BLP824HS1 IRS USD P F .17314 SLP824HS1_FIX CCPOIS
000000000
165637.00000000
OU
Notional Amount
USD
8076.13000000
0.000202055486
N/A
DIR
US
N
2
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
N/A
N/A
Y
2025-10-21
0.00000000
USD
0.00000000
USD
165637.00000000
USD
8076.13000000
N
N
N
FNB CORP
PCYSKIGYNYFDTBLVZU83
FNB Corp/PA
30260NAA9
510000.00000000
PA
USD
510897.61000000
0.012782070745
Long
DBT
CORP
US
N
2
2023-02-24
Fixed
2.20000000
N
N
N
N
N
N
HYUNDAI CAPITAL AMERICA
549300RIPPWJB5Z0FK07
Hyundai Capital America
44891ABV8
3034000.00000000
PA
USD
2916612.84000000
0.072970299583
Long
DBT
CORP
US
N
2
2024-06-14
Fixed
0.87500000
N
N
N
N
N
N
TOLL BROS FINANCE CORP
N/A
Toll Brothers Finance Corp
88947EAN0
615000.00000000
PA
USD
625946.92000000
0.015660472192
Long
DBT
CORP
US
N
2
2023-04-15
Fixed
4.37500000
N
N
N
N
N
N
Asurion LLC
549300KNQVXGIOXWK278
Asurion LLC 2018 Term Loan B6
04649VAV2
9527839.26000000
PA
USD
9478199.22000000
0.237133645957
Long
LON
CORP
US
N
2
2023-11-03
Floating
3.33400000
N
N
N
N
N
N
Verus Securitization Trust
N/A
Verus Securitization Trust 2020-5
92538CAA9
214050.19000000
PA
USD
211188.15000000
0.005283684677
Long
ABS-MBS
CORP
US
N
2
2065-05-25
Variable
1.21800000
N
N
N
N
N
N
Aircastle Ltd
549300PNK8AKY3OIKP58
Aircastle Ltd
00928QAP6
1840000.00000000
PA
USD
1890540.33000000
0.047299145214
Long
DBT
CORP
BM
N
2
2023-04-01
Fixed
5.00000000
N
N
N
N
N
N
Bayer US Finance II LLC
529900XWNEXYNJ3X6T40
Bayer US Finance II LLC
07274NAJ2
3750000.00000000
PA
USD
3940639.65000000
0.098590272890
Long
DBT
CORP
US
N
2
2025-12-15
Fixed
4.25000000
N
N
N
N
N
N
GS Mortgage Securities Trust
N/A
GS Mortgage Securities Trust 2013-G1
36197QAC3
2584025.00000000
PA
USD
2553548.23000000
0.063886840511
Long
ABS-MBS
CORP
US
N
2
2031-04-10
Variable
3.55700000
N
N
N
N
N
N
Macquarie Group Ltd
ACMHD8HWFMFUIQQ8Y590
Macquarie Group Ltd
55608JAJ7
4881000.00000000
PA
USD
4904236.54000000
0.122698359084
Long
DBT
CORP
AU
N
2
2023-11-28
Floating
1.52800000
N
N
N
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
Long: BL1O5LIK7 IRS USD R V 12MUSCPI SL1O5LIK7_INF CCPINFLATIONZERO / Short: BL1O5LIK7 IRS USD P F 2.40750 SL1O5LIK7_FIX CCPINFLATIONZERO
000000000
5000000.00000000
OU
Notional Amount
USD
409447.65000000
0.010243909398
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
Inflation based on US CPI Urban Consumers NSA
2028-05-21
0.00000000
USD
0.00000000
USD
5000000.00000000
USD
409447.65000000
N
N
N
CONTINENTAL RESOURCES
XXRTID9RYWOZ0UPIVR53
Continental Resources Inc/OK
212015AL5
4718000.00000000
PA
USD
4825971.43000000
0.120740256025
Long
DBT
CORP
US
N
2
2023-04-15
Fixed
4.50000000
N
N
N
N
N
N
Freddie Mac - STACR
N/A
Freddie Mac STACR REMIC Trust 2021-DNA5
35564KHE2
5385000.00000000
PA
USD
5293717.79000000
0.132442732113
Long
ABS-MBS
USGSE
US
N
2
2034-01-25
Floating
1.69900000
N
N
N
N
N
N
GILEAD SCIENCES INC
549300WTZWR07K8MNV44
Gilead Sciences Inc
375558BW2
7246000.00000000
PA
USD
7144130.73000000
0.178737936170
Long
DBT
CORP
US
N
2
2023-09-29
Fixed
0.75000000
N
N
N
N
N
N
JP Morgan Chase Commercial Mortgage Sec Trust
N/A
JP Morgan Chase Commercial Mortgage Securities Trust 2018-WPT
46645WAA1
901105.23000000
PA
USD
898946.45000000
0.022490606523
Long
ABS-MBS
CORP
US
N
2
2033-07-05
Floating
1.31100000
N
N
N
N
N
N
PARK AEROSPACE HOLDINGS
635400CPI3EOIFF6OC33
Park Aerospace Holdings Ltd
70014LAB6
12742000.00000000
PA
USD
13351430.11000000
0.334037429182
Long
DBT
CORP
KY
N
2
2024-02-15
Fixed
5.50000000
N
N
N
N
N
N
BNP PARIBAS
R0MUWSFPU8MPRO8K5P83
BNP Paribas SA
05565AAR4
636000.00000000
PA
USD
663529.32000000
0.016600740625
Long
DBT
CORP
FR
N
2
2026-05-12
Fixed
4.37500000
N
N
N
N
N
N
CPS Auto Trust
N/A
CPS Auto Receivables Trust 2019-C
12596UAD0
281000.00000000
PA
USD
284226.05000000
0.007111008953
Long
ABS-O
CORP
US
N
2
2025-06-16
Fixed
3.17000000
N
N
N
N
N
N
LSTAR Commercial Mortgage Trust
N/A
LSTAR Commercial Mortgage Trust 2016-4
50219QAY0
1202027.67000000
PA
USD
40257.47000000
0.001007195609
Long
ABS-MBS
CORP
US
N
2
2049-03-10
Variable
1.76600000
N
N
N
N
N
N
CHENIERE CORP CHRISTI HD
549300I7CIEWU1BBLQ53
Cheniere Corpus Christi Holdings LLC
16412XAG0
5000000.00000000
PA
USD
5456686.05000000
0.136520010589
Long
DBT
CORP
US
N
2
2027-06-30
Fixed
5.12500000
N
N
N
N
N
N
MEG Energy Corp
5493002WXPTG5ZC1T326
MEG Energy Corp
552704AD0
3182000.00000000
PA
USD
3235489.42000000
0.080948224954
Long
DBT
CORP
CA
N
2
2025-01-15
Fixed
6.50000000
N
N
N
N
N
N
United States Treasury
254900HROIFWPRGM1V77
United States Treasury Inflation Indexed Bonds
91282CDX6
37209420.00000000
PA
USD
40847826.30000000
1.021965645067
Long
DBT
UST
US
N
2
2032-01-15
Fixed
0.12500000
N
N
N
N
N
N
COMM Mortgage Trust
N/A
COMM 2012-CCRE3 Mortgage Trust
12624PAL9
617000.00000000
PA
USD
608430.18000000
0.015222223498
Long
ABS-MBS
CORP
US
N
2
2045-10-15
Fixed
3.92200000
N
N
N
N
N
N
JP Morgan Chase Commercial Mortgage Sec Trust
N/A
JP Morgan Chase Commercial Mortgage Securities Trust 2013-C10
46639JAG5
7705931.21000000
PA
USD
43998.56000000
0.001100793379
Long
ABS-MBS
CORP
US
N
2
2047-12-15
Variable
0.93300000
N
N
N
N
N
N
Credit Suisse Mortgage Trust
N/A
Credit Suisse Mortgage Capital Certificates
12659LAA0
198581.19000000
PA
USD
198352.07000000
0.004962540715
Long
ABS-MBS
CORP
US
N
2
2065-04-25
Variable
1.61600000
N
N
N
N
N
N
Freddie Mac - STACR
N/A
Freddie Mac STACR REMIC Trust 2022-DNA1
35564KPV5
7160000.00000000
PA
USD
7058982.42000000
0.176607623362
Long
ABS-MBS
USGSE
US
N
2
2042-01-25
Floating
1.89900000
N
N
N
N
N
N
OCCIDENTAL PETROLEUM COR
IM7X0T3ECJW4C1T7ON55
Occidental Petroleum Corp
674599DC6
7218000.00000000
PA
USD
7766315.37000000
0.194304280443
Long
DBT
CORP
US
N
2
2026-03-15
Fixed
5.55000000
N
N
N
N
N
N
HSBC HOLDINGS PLC
MLU0ZO3ML4LN2LL2TL39
HSBC Holdings PLC
404280CS6
679000.00000000
PA
USD
656499.18000000
0.016424854606
Long
DBT
CORP
GB
N
2
2025-05-24
Fixed
0.97600000
N
N
N
N
N
N
Trans Union, LLC
X8NPN6PWJOM1QCTYFV34
Trans Union, LLC 2019 Term Loan B5
89334GAX2
6071730.15000000
PA
USD
5987758.12000000
0.149806823126
Long
LON
CORP
US
N
2
2026-11-16
Floating
1.95900000
N
N
N
N
N
N
Romark CLO Ltd
N/A
Romark CLO Ltd
77587UAN2
10000000.00000000
PA
USD
9972233.00000000
0.249493803067
Long
ABS-CBDO
CORP
KY
N
2
2030-10-23
Floating
1.90900000
N
N
N
N
N
N
CREDIT SUISSE GROUP AG
549300506SI9CRFV9Z86
Credit Suisse Group AG
225401AT5
436000.00000000
PA
USD
404541.96000000
0.010121174675
Long
DBT
CORP
CH
N
2
2027-02-02
Fixed
1.30500000
N
N
N
N
N
N
BPCE SA
9695005MSX1OYEMGDF46
BPCE SA
05583JAG7
696000.00000000
PA
USD
688919.83000000
0.017235981990
Long
DBT
CORP
FR
N
2
2025-01-14
Fixed
2.37500000
N
N
N
N
N
N
Bank of America, National Association
B4TYDEB6GKMZO031MB27
Long: SL940IFQ5 IRS USD R V 12MUSCPI SL940IFQ5_INF INFLATIONZERO / Short: SL940IFQ5 IRS USD P F 2.59000 SL940IFQ5_FIX INFLATIONZERO
000000000
40000000.00000000
OU
Notional Amount
USD
-175014.40000000
-0.00437865904
N/A
DIR
US
N
2
Bank of America, National Association
B4TYDEB6GKMZO031MB27
N/A
N/A
Y
Inflation based on US CPI Urban Consumers NSA
2023-06-26
0.00000000
USD
0.00000000
USD
40000000.00000000
USD
-175014.40000000
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
Long: BL4K5HRU9 IRS USD R V 12MUSCPI SL4K5HRU9_INF CCPINFLATIONZERO / Short: BL4K5HRU9 IRS USD P F 2.36250 SL4K5HRU9_FIX CCPINFLATIONZERO
000000000
5000000.00000000
OU
Notional Amount
USD
482289.95000000
0.012066339986
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
Inflation based on US CPI Urban Consumers NSA
2032-03-21
0.00000000
USD
0.00000000
USD
5000000.00000000
USD
482289.95000000
N
N
N
Goldman Sachs & Co. LLC
FOR8UP27PHTHYVLBNG30
Long: SLA20Z4Z1 IRS USD R V 12MUSCPI SLA20Z4Z1 _INF INFLATIONZERO / Short: SLA20Z4Z1 IRS USD P F 2.39000 SLA20Z4Z1 _FIX INFLATIONZERO
000000000
5000000.00000000
OU
Notional Amount
USD
468198.45000000
0.011713786860
N/A
DIR
US
N
2
Goldman Sachs & Co. LLC
FOR8UP27PHTHYVLBNG30
N/A
N/A
Y
Inflation based on US CPI Urban Consumers NSA
2032-02-07
0.00000000
USD
0.00000000
USD
5000000.00000000
USD
468198.45000000
N
N
N
JPMorgan Chase Bank, National Association
7H6GLXDRUGQFU57RNE97
Long: SL3B1NGN9 IRS USD R V 00MCPI CPURNSA / Short: SL3B1NGN9 IRS USD P F 2.81500 CPI URBAN CONSUMER
000000000
5000000.00000000
OU
Notional Amount
USD
-425772.20000000
-0.01065233086
N/A
DIR
US
N
2
JPMorgan Chase Bank, National Association
7H6GLXDRUGQFU57RNE97
N/A
N/A
Y
Inflation based on US CPI Urban Consumers NSA
2032-04-05
0.00000000
USD
0.00000000
USD
5000000.00000000
USD
-425772.20000000
N
N
N
Deutsche Bank Commercial Mortgage Trust
N/A
DBJPM 16-C3 Mortgage Trust
23312VAG1
9378977.89000000
PA
USD
494408.13000000
0.012369522916
Long
ABS-MBS
CORP
US
N
2
2049-08-10
Variable
1.44200000
N
N
N
N
N
N
Citigroup Inc
6SHGI4ZSSLCXXQSBB395
Citigroup Inc
172967JT9
3586000.00000000
PA
USD
3764632.32000000
0.094186771876
Long
DBT
CORP
US
N
2
2025-06-10
Fixed
4.40000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38378NMX8
90491.82000000
PA
USD
7035.00000000
0.000176007610
Long
ABS-MBS
USGA
US
N
2
2055-01-16
Variable
0.31900000
N
N
N
N
N
N
JP Morgan Chase Commercial Mortgage Sec Trust
N/A
J.P. Morgan Chase Commercial Mortgage Securities Trust 2018-AON
46649XAA5
9500000.00000000
PA
USD
9707747.90000000
0.242876689983
Long
ABS-MBS
CORP
US
N
2
2031-07-05
Fixed
4.12800000
N
N
N
N
N
N
Santander Drive Auto Receivables Trust
N/A
Santander Drive Auto Receivables Trust 2021-2
80286XAF1
4040000.00000000
PA
USD
3981638.16000000
0.099616008468
Long
ABS-O
CORP
US
N
2
2027-07-15
Fixed
1.35000000
N
N
N
N
N
N
MORGAN STANLEY
IGJSJL3JD5P30I6NJZ34
Morgan Stanley
61747YEA9
2968000.00000000
PA
USD
2862648.88000000
0.071620183354
Long
DBT
CORP
US
N
2
2025-05-30
Fixed
0.79000000
N
N
N
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
Long: SLFH00S35 IRS USD R F 2.03200 SLFH00S35_FIX CCPINFLATIONZERO / Short: SLFH00S35 IRS USD P V 12MUSCPI SLFH00S35_INF CCPINFLATIONZERO
000000000
30000000.00000000
OU
Notional Amount
USD
-2535690.90000000
-0.06344007064
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
Inflation based on US CPI Urban Consumers NSA
2023-11-30
0.00000000
USD
0.00000000
USD
30000000.00000000
USD
-2535690.90000000
N
N
N
Santander Drive Auto Receivables Trust
N/A
Santander Drive Auto Receivables Trust 2021-2
80286XAB0
768357.99000000
PA
USD
768210.54000000
0.019219744382
Long
ABS-O
CORP
US
N
2
2024-04-15
Fixed
0.28000000
N
N
N
N
N
N
BNP PARIBAS
R0MUWSFPU8MPRO8K5P83
BNP Paribas SA
09659W2N3
246000.00000000
PA
USD
231392.90000000
0.005789184290
Long
DBT
CORP
FR
N
2
2027-01-13
Fixed
1.32300000
N
N
N
N
N
N
ALCOA NEDERLAND HOLDING
5493000UL1QLQLT1VQ42
Alcoa Nederland Holding BV
013822AE1
3757000.00000000
PA
USD
3921500.25000000
0.098111427109
Long
DBT
CORP
NL
N
2
2027-12-15
Fixed
5.50000000
N
N
N
N
N
N
CENOVUS ENERGY INC
549300F4XPHJ7NOSP309
Cenovus Energy Inc
15135UAS8
2194000.00000000
PA
USD
2377281.06000000
0.059476838599
Long
DBT
CORP
CA
N
2
2025-07-15
Fixed
5.37500000
N
N
N
N
N
N
PACIFIC GAS & ELECTRIC
1HNPXZSMMB7HMBMVBS46
Pacific Gas and Electric Co
694308JP3
4374729.00000000
PA
USD
4352746.25000000
0.108900706160
Long
DBT
CORP
US
N
2
2026-01-01
Fixed
3.15000000
N
N
N
N
N
N
One New York Plaza Trust 2020-1NYP
N/A
One New York Plaza Trust 2020-1NYP
68249DAE9
1990000.00000000
PA
USD
1968375.67000000
0.049246495922
Long
ABS-MBS
CORP
US
N
2
2036-01-15
Floating
1.69100000
N
N
N
N
N
N
HMH Trust
N/A
HMH Trust 2017-NSS
40390AAG6
618000.00000000
PA
USD
611568.29000000
0.015300735402
Long
ABS-MBS
CORP
US
N
2
2031-07-05
Fixed
4.72300000
N
N
N
N
N
N
Wells Fargo Commercial Mortgage Trust
549300DNBJ7A0SEFVK31
Wells Fargo Commercial Mortgage Trust 2016-BNK1
95000GBB9
1647549.72000000
PA
USD
101340.29000000
0.002535417529
Long
ABS-MBS
CORP
US
N
2
2049-08-15
Variable
1.72000000
N
N
N
N
N
N
DBWF Mortgage Trust
N/A
DBWF Mortgage Trust
23306NAA0
256709.47000000
PA
USD
253299.88000000
0.006337271740
Long
ABS-MBS
CORP
US
N
2
2034-06-10
Fixed
2.99800000
N
N
N
N
N
N
Deutsche Bank Aktiengesellschaft
7LTWFZYICNSX8D621K86
Long: SL3X1UXF3 IRS USD R V 00MCPURN CPURNSA0.00BPS / Short: SL3X1UXF3 IRS USD P F 2.75000
000000000
6000000.00000000
OU
Notional Amount
USD
-401325.78000000
-0.01004070955
N/A
DIR
US
N
2
Deutsche Bank Aktiengesellschaft
7LTWFZYICNSX8D621K86
N/A
N/A
Y
Inflation based on US CPI Urban Consumers NSA
2032-03-30
0.00000000
USD
0.00000000
USD
6000000.00000000
USD
-401325.78000000
N
N
N
Bank of America, National Association
B4TYDEB6GKMZO031MB27
Long: SL324D5J9 IRS USD R V 12MUSCPI SL324D5J9_INF INFLATIONZERO / Short: SL324D5J9 IRS USD P F 1.67600 SL324D5J9_FIX INFLATIONZERO
000000000
15000000.00000000
OU
Notional Amount
USD
2362012.65000000
0.059094840537
N/A
DIR
US
N
2
Bank of America, National Association
B4TYDEB6GKMZO031MB27
N/A
N/A
Y
Inflation based on US CPI Urban Consumers NSA
2026-08-04
0.00000000
USD
0.00000000
USD
15000000.00000000
USD
2362012.65000000
N
N
N
ONEMAIN FINANCE CORP
5493008I795YYBFWFU90
OneMain Finance Corp
85172FAL3
211000.00000000
PA
USD
216528.20000000
0.005417286588
Long
DBT
CORP
US
N
2
2023-03-15
Fixed
5.62500000
N
N
N
N
N
N
DBGS Mortgage Trust
N/A
DBGS 2018-BIOD Mortgage Trust
23306GAA5
1239062.21000000
PA
USD
1231163.06000000
0.030802284105
Long
ABS-MBS
CORP
US
N
2
2035-05-15
Floating
0.92800000
N
N
N
N
N
N
CNH Industrial NV
549300WGC2HZ5J67V817
CNH Industrial NV
12594KAA0
767000.00000000
PA
USD
791782.86000000
0.019809496724
Long
DBT
CORP
NL
N
2
2023-08-15
Fixed
4.50000000
N
N
N
N
N
N
CPS Auto Trust
54930087Z25SUMBR4I05
CPS Auto Receivables Trust 2017-D
12652BAD3
31597.18000000
PA
USD
31678.95000000
0.000792570902
Long
ABS-O
CORP
US
N
2
2023-09-15
Fixed
3.73000000
N
N
N
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
Long: BL3A3GHT0 IRS USD R V 12MUSCPI SL3A3GHT0_INF CCPINFLATIONZERO / Short: BL3A3GHT0 IRS USD P F 2.37000 SL3A3GHT0_FIX CCPINFLATIONZERO
000000000
25000000.00000000
OU
Notional Amount
USD
2260584.50000000
0.056557224852
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
Inflation based on US CPI Urban Consumers NSA
2030-04-18
0.00000000
USD
0.00000000
USD
25000000.00000000
USD
2260584.50000000
N
N
N
SOCIETE GENERALE
O2RNE8IBXP4R0TD8PU41
Societe Generale SA
83368RBG6
4992000.00000000
PA
USD
4877880.33000000
0.122038957015
Long
DBT
CORP
FR
N
2
2026-01-21
Fixed
2.22600000
N
N
N
N
N
N
CIFC Funding Ltd
N/A
CIFC Funding 2013-II Ltd
12549BAY4
4000000.00000000
PA
USD
3999452.16000000
0.100061694264
Long
ABS-CBDO
CORP
KY
N
2
2030-10-18
Floating
1.12200000
N
N
N
N
N
N
UBS GROUP AG
549300SZJ9VS8SGXAN81
UBS Group AG
90352JAA1
6580000.00000000
PA
USD
6609663.96000000
0.165366192143
Long
DBT
CORP
CH
N
2
2023-05-23
Fixed
3.49100000
N
N
N
N
N
N
Bank of America, National Association
B4TYDEB6GKMZO031MB27
Long: SL1O55C10 IRS USD R V 12MUSCPI SL1O55C10_INF INFLATIONZERO / Short: SL1O55C10 IRS USD P F 2.34750 SL1O55C10_FIX INFLATIONZERO
000000000
5000000.00000000
OU
Notional Amount
USD
500772.55000000
0.012528753386
N/A
DIR
US
N
2
Bank of America, National Association
B4TYDEB6GKMZO031MB27
N/A
N/A
Y
Inflation based on US CPI Urban Consumers NSA
2032-03-10
0.00000000
USD
0.00000000
USD
5000000.00000000
USD
500772.55000000
N
N
N
Credit Suisse Mortgage Trust
N/A
CSMC 2021-NQM6
12662KAB5
4077087.35000000
PA
USD
3990877.75000000
0.099847172385
Long
ABS-MBS
CORP
US
N
2
2066-07-25
Variable
1.37900000
N
N
N
N
N
N
GLOBAL AIR LEASE CO LTD
N/A
Global Aircraft Leasing Co Ltd
37960JAA6
829445.00000000
PA
USD
789362.07000000
0.019748931341
Long
DBT
CORP
KY
N
2
2024-09-15
Fixed
6.50000000
N
N
Y
N
N
N
UBS-BAMLL Trust
N/A
UBS-BAMLL Trust
90269PAA9
1250000.00000000
PA
USD
1249381.88000000
0.031258098033
Long
ABS-MBS
CORP
US
N
2
2030-06-10
Fixed
3.66300000
N
N
N
N
N
N
JPMorgan Chase & Co
8I5DZWZKVSZI1NUHU748
JPMorgan Chase & Co
46647PAE6
5669000.00000000
PA
USD
5679428.24000000
0.142092764062
Long
DBT
CORP
US
N
2
2023-04-25
Fixed
2.77600000
N
N
N
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
Long: BL4K5UVM3 IRS USD R V 12MUSCPI SL4K5UVM3_INF CCPINFLATIONZERO / Short: BL4K5UVM3 IRS USD P F 2.35250 SL4K5UVM3_FIX CCPINFLATIONZERO
000000000
10000000.00000000
OU
Notional Amount
USD
886715.30000000
0.022184597214
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
Inflation based on US CPI Urban Consumers NSA
2028-06-06
0.00000000
USD
0.00000000
USD
10000000.00000000
USD
886715.30000000
N
N
N
KREF 2021-FL2 Ltd
54930083ELM2GCMVTQ91
KREF 2021-FL2 Ltd
48275RAC1
4830000.00000000
PA
USD
4733400.00000000
0.118424225290
Long
ABS-CBDO
CORP
KY
N
2
2039-02-15
Floating
1.42000000
N
N
N
N
N
N
Barclays Bank PLC
G5GSEF7VJP5I7OUK5573
Long: SL4H2K1U0 IRS USD R V 12MUSCPI SL4H2K1U0_INF INFLATIONZERO / Short: SL4H2K1U0 IRS USD P F 2.94500 SL4H2K1U0_FIX INFLATIONZERO
000000000
15000000.00000000
OU
Notional Amount
USD
-2281534.05000000
-0.05708135850
N/A
DIR
US
N
2
Barclays Bank PLC
G5GSEF7VJP5I7OUK5573
N/A
N/A
Y
Inflation based on US CPI Urban Consumers NSA
2038-03-05
0.00000000
USD
0.00000000
USD
15000000.00000000
USD
-2281534.05000000
N
N
N
Ford Credit Auto Owner Trust/Ford Credit
N/A
Ford Credit Auto Owner Trust 2017-REV2
34529SAA7
1417000.00000000
PA
USD
1426119.25000000
0.035679863808
Long
ABS-O
CORP
US
N
2
2029-03-15
Fixed
2.36000000
N
N
N
N
N
N
ReadyCap Commercial Mortgage Trust
N/A
Ready Capital Mortgage Financing 2021-FL6 LLC
75575TAA1
6200000.00000000
PA
USD
6142917.90000000
0.153688742411
Long
ABS-CBDO
CORP
US
N
2
2036-07-25
Floating
1.05800000
N
N
N
N
N
N
Scientific Games International, Inc.
RLTHESQ0RNFQJWPBJN60
Scientific Games International, Inc. 2018 Term Loan B5
80875AAP6
7982342.27000000
PA
USD
7939477.09000000
0.198636587567
Long
LON
CORP
US
N
2
2024-08-14
Floating
2.95900000
N
N
N
N
N
N
GS Mortgage Securities Trust
5493005BBCF84ICNQ550
GS Mortgage Securities Corp II
36192QAA2
1300000.00000000
PA
USD
1303976.96000000
0.032624004158
Long
ABS-MBS
CORP
US
N
2
2030-12-10
Fixed
3.00700000
N
N
N
N
N
N
GOLDMAN SACHS GROUP INC
784F5XWPLTWKTBV3E584
Goldman Sachs Group Inc/The
38141GYE8
2758000.00000000
PA
USD
2693731.37000000
0.067394061484
Long
DBT
CORP
US
N
2
2024-09-10
Fixed
0.65700000
N
N
N
N
N
N
COMM Mortgage Trust
N/A
COMM 2013-SFS Mortgage Trust
12625EAA7
133366.55000000
PA
USD
133047.58000000
0.003328697466
Long
ABS-MBS
CORP
US
N
2
2035-04-12
Fixed
1.87300000
N
N
N
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
Long: BL324TGX1 IRS USD R V 12MUSCPI SL324TGX1_INF CCPINFLATIONZERO / Short: BL324TGX1 IRS USD P F 2.31000 SL324TGX1_FIX CCPINFLATIONZERO
000000000
10000000.00000000
OU
Notional Amount
USD
935261.60000000
0.023399169819
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
Inflation based on US CPI Urban Consumers NSA
2028-06-01
0.00000000
USD
0.00000000
USD
10000000.00000000
USD
935261.60000000
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
Long: BL5H0NZ04 IRS USD R V 12MUSCPI SL5H0NZ04_FLO CCPINFLATIONZERO / Short: BL5H0NZ04 IRS USD P F 2.50700 SL5H0NZ04_FIX CCPINFLATIONZERO
000000000
10000000.00000000
OU
Notional Amount
USD
806130.20000000
0.020168450673
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
Inflation based on US CPI Urban Consumers NSA
2041-05-10
0.00000000
USD
0.00000000
USD
10000000.00000000
USD
806130.20000000
N
N
N
Ford Motor Credit Co LLC
UDSQCVRUX5BONN0VY111
Ford Motor Credit Co LLC
345397YP2
200000.00000000
PA
USD
200172.88000000
0.005008095288
Long
DBT
CORP
US
N
2
2022-08-03
Floating
1.38300000
N
N
N
N
N
N
Deutsche Bank Aktiengesellschaft
7LTWFZYICNSX8D621K86
Long: SL3A2QD71 IRS USD R V 12MUSCPI CPI URBAN/CPURNSA / Short: SL3A2QD71 IRS USD P F 1.69750 SL3A2QD71_FIX INFLATIONZERO
000000000
10000000.00000000
OU
Notional Amount
USD
833622.70000000
0.020856281411
N/A
DIR
DE
N
2
Deutsche Bank Aktiengesellschaft
7LTWFZYICNSX8D621K86
N/A
N/A
Y
Inflation based on US CPI Urban Consumers NSA
2022-09-02
0.00000000
USD
0.00000000
USD
10000000.00000000
USD
833622.70000000
N
N
N
Westlake Automobile Receivables Trust
N/A
Westlake Automobile Receivables Trust 2021-2
96042RAE8
1865000.00000000
PA
USD
1830137.74000000
0.045787941867
Long
ABS-O
CORP
US
N
2
2026-07-15
Fixed
0.89000000
N
N
N
N
N
N
Intercontinental Exchange, Inc.
5493000F4ZO33MV32P92
Long: BL3H6XNW1 IRS USD R V 12MUSCPI INF_SL3H6XNW1 CCPINFLATIONZERO / Short: BL3H6XNW1 IRS USD P F 2.79950 FIX_SL3H6XNW1 CCPINFLATIONZERO
000000000
80000000.00000000
OU
Notional Amount
USD
2079352.80000000
0.052023016107
N/A
DIR
US
N
2
Intercontinental Exchange, Inc.
5493000F4ZO33MV32P92
N/A
N/A
Y
Inflation based on US CPI Urban Consumers NSA
2027-01-25
0.00000000
USD
0.00000000
USD
80000000.00000000
USD
2079352.80000000
N
N
N
OneMain Direct Auto Receivables Trust
N/A
OneMain Direct Auto Receivables Trust 2021-1
682687AA6
5545000.00000000
PA
USD
5391363.58000000
0.134885717500
Long
ABS-O
CORP
US
N
2
2028-07-14
Fixed
0.87000000
N
N
N
N
N
N
BX Trust
N/A
BX Commercial Mortgage Trust 2021-ACNT
05609QAG1
2840000.00000000
PA
USD
2794711.37000000
0.069920464972
Long
ABS-MBS
CORP
US
N
2
2038-11-15
Floating
2.04200000
N
N
N
N
N
N
Atrium Hotel Portfolio Trust
N/A
Atrium Hotel Portfolio Trust 2018-ATRM
04965KAL4
288000.00000000
PA
USD
282045.80000000
0.007056461605
Long
ABS-MBS
CORP
US
N
2
2035-06-15
Floating
1.84100000
N
N
N
N
N
N
Global Payments Inc.
549300NOMHGVQBX6S778
Global Payments Inc. 2019 Term Loan
37943VBM4
2494849.00000000
PA
USD
2488611.88000000
0.062262207702
Long
LON
CORP
US
N
2
2024-07-09
Floating
1.58400000
N
N
N
N
N
N
American Airlines, Inc.
IWUQB36BXD6OWD6X4T14
American Airlines, Inc. 2018 Term Loan B
02376CBB0
378918.26000000
PA
USD
364235.18000000
0.009112745387
Long
LON
CORP
US
N
2
2025-06-27
Floating
1.95900000
N
N
N
N
N
N
AKBANK TAS
789000TUMN63Z28TJ497
Akbank TAS
00971YAD2
600000.00000000
PA
USD
602764.20000000
0.015080467194
Long
DBT
CORP
TR
N
2
2022-10-24
Fixed
5.00000000
N
N
N
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
Long: BL3Y3LJ24 IRS USD R V 12MUSCPI SL3Y3LJ24_INF CCPINFLATIONZERO / Short: BL3Y3LJ24 IRS USD P F 2.35400 SL3Y3LJ24_FIX CCPINFLATIONZERO
000000000
5000000.00000000
OU
Notional Amount
USD
497798.85000000
0.012454354831
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
Inflation based on US CPI Urban Consumers NSA
2032-03-06
0.00000000
USD
0.00000000
USD
5000000.00000000
USD
497798.85000000
N
N
N
Goldman Sachs & Co. LLC
FOR8UP27PHTHYVLBNG30
Long: SL4F56LN6 IRS USD R V 12MUSCPI SL4F56LN6_INF INFLATIONZERO / Short: SL4F56LN6 IRS USD P F 2.38000 SL4F56LN6_FIX INFLATIONZERO
000000000
10000000.00000000
OU
Notional Amount
USD
959628.60000000
0.024008804141
N/A
DIR
US
N
2
Goldman Sachs & Co. LLC
FOR8UP27PHTHYVLBNG30
N/A
N/A
Y
Inflation based on US CPI Urban Consumers NSA
2031-12-08
0.00000000
USD
0.00000000
USD
10000000.00000000
USD
959628.60000000
N
N
N
NATWEST GROUP PLC
2138005O9XJIJN4JPN90
NatWest Group PLC
780097BE0
2602000.00000000
PA
USD
2611063.55000000
0.065325807684
Long
DBT
CORP
GB
N
2
2023-05-15
Fixed
3.49800000
N
N
N
N
N
N
Exeter Automobile Receivables Trust
N/A
Exeter Automobile Receivables Trust 2020-2
30167YAJ0
15258000.00000000
PA
USD
16513718.14000000
0.413154239529
Long
ABS-O
CORP
US
N
2
2027-09-15
Fixed
7.19000000
N
N
N
N
N
N
GOLDMAN SACHS GROUP INC
784F5XWPLTWKTBV3E584
Goldman Sachs Group Inc/The
38141GZK3
2467000.00000000
PA
USD
2432940.60000000
0.060869376290
Long
DBT
CORP
US
N
2
2028-02-24
Fixed
2.64000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Non Gold Pool
31300LRM9
26108.22000000
PA
USD
27346.42000000
0.000684175984
Long
ABS-MBS
USGSE
US
N
2
2036-05-01
Floating
2.05700000
N
N
N
N
N
N
VeriSign Inc
LMPL4N8ZOJRMF0KOF759
VeriSign Inc
92343EAL6
12295000.00000000
PA
USD
12701411.35000000
0.317774707232
Long
DBT
CORP
US
N
2
2027-07-15
Fixed
4.75000000
N
N
N
N
N
N
AUST & NZ BANKING GROUP
JHE42UYNWWTJB8YTTU19
Australia & New Zealand Banking Group Ltd
052528AH9
2516000.00000000
PA
USD
2626122.78000000
0.065702572302
Long
DBT
CORP
AU
N
2
2024-03-19
Fixed
4.50000000
N
N
N
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
Long: BLIUDCF37 IRS USD R V 12MUSCPI SLIUDCF37_FLO CCPINFLATIONZERO / Short: BLIUDCF37 IRS USD P F 2.45900 SLIUDCF37_FIX CCPINFLATIONZERO
000000000
10000000.00000000
OU
Notional Amount
USD
993828.20000000
0.024864438808
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
Inflation based on US CPI Urban Consumers NSA
2033-03-29
0.00000000
USD
0.00000000
USD
10000000.00000000
USD
993828.20000000
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
Long: BLYO0WWA8 IRS USD R V 12MUSCPI SLYO0WWA8_FLO CCPINFLATIONZERO / Short: BLYO0WWA8 IRS USD P F 2.49625 SLYO0WWA8_FIX CCPINFLATIONZERO
000000000
15000000.00000000
OU
Notional Amount
USD
1405791.15000000
0.035171278121
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
Inflation based on US CPI Urban Consumers NSA
2031-03-31
0.00000000
USD
0.00000000
USD
15000000.00000000
USD
1405791.15000000
N
N
N
Syniverse Holdings, Inc.
549300CYZBHMZC8VLL59
Syniverse Holdings, Inc. 2018 2nd Lien Term Loan
87164GAN3
4919750.00000000
PA
USD
4773682.62000000
0.119432050123
Long
LON
CORP
US
N
2
2024-03-11
Floating
10.00000000
N
N
N
N
N
N
JP Morgan Chase Commercial Mortgage Sec Trust
N/A
JP Morgan Chase Commercial Mortgage Securities Trust 2016-JP4
46645UAV9
3371165.43000000
PA
USD
73348.47000000
0.001835094379
Long
ABS-MBS
CORP
US
N
2
2049-12-15
Variable
0.59100000
N
N
N
N
N
N
ANGLO AMERICAN CAPITAL
TINT358G1SSHR3L3PW36
Anglo American Capital PLC
034863AS9
4500000.00000000
PA
USD
4623386.36000000
0.115671810516
Long
DBT
CORP
GB
N
2
2024-09-11
Fixed
3.62500000
N
N
N
N
N
N
VALERO ENERGY CORP
549300XTO5VR8SKV1V74
Valero Energy Corp
91913YAY6
115000.00000000
PA
USD
115895.20000000
0.002899564641
Long
DBT
CORP
US
N
2
2025-04-15
Fixed
2.85000000
N
N
N
N
N
N
Cedar Funding Ltd
N/A
Cedar Funding X CLO Ltd
15033XAJ5
4000000.00000000
PA
USD
3993971.16000000
0.099924565947
Long
ABS-CBDO
CORP
KY
N
2
2032-10-20
Floating
1.35400000
N
N
N
N
N
N
BNP PARIBAS
R0MUWSFPU8MPRO8K5P83
BNP Paribas SA
05581KAA9
200000.00000000
PA
USD
208529.29000000
0.005217163057
Long
DBT
CORP
FR
N
2
2025-09-28
Fixed
4.37500000
N
N
N
N
N
N
NIAGARA MOHAWK POWER
3T97Y9RR5EN5Y18QHB56
Niagara Mohawk Power Corp
65364UAK2
2337000.00000000
PA
USD
2397055.81000000
0.059971580106
Long
DBT
CORP
US
N
2
2024-10-01
Fixed
3.50800000
N
N
N
N
N
N
ZF NA CAPITAL
529900JYGMS9CW9IQX78
ZF North America Capital Inc
98877DAC9
3325000.00000000
PA
USD
3378931.50000000
0.084536980858
Long
DBT
CORP
US
N
2
2025-04-29
Fixed
4.75000000
N
N
N
N
N
N
MUTHOOT FINANCE LTD
335800HAMJMBFL4RRF02
Muthoot Finance Ltd
62828L2A0
500000.00000000
PA
USD
506897.50000000
0.012681992592
Long
DBT
CORP
IN
N
2
2022-10-31
Fixed
6.12500000
N
N
N
N
N
N
EPR Properties
549300YSSXFHMPOWZ492
EPR Properties
26884UAC3
4125000.00000000
PA
USD
4266988.28000000
0.106755140360
Long
DBT
US
N
2
2026-12-15
Fixed
4.75000000
N
N
N
N
N
N
DANSKE BANK A/S
MAES062Z21O4RZ2U7M96
Danske Bank A/S
23636AAW1
3037000.00000000
PA
USD
2974088.79000000
0.074408281763
Long
DBT
CORP
DK
N
2
2024-06-22
Fixed
1.22600000
N
N
N
N
N
N
CLEVELAND ELECTRIC ILLUM
N/A
Cleveland Electric Illuminating Co/The
186108CJ3
2650000.00000000
PA
USD
2860026.33000000
0.071554570169
Long
DBT
CORP
US
N
2
2024-08-15
Fixed
5.50000000
N
N
N
N
N
N
Fannie Mae - CAS
N/A
Connecticut Avenue Securities Trust 2022-R01
20754LAB5
5630000.00000000
PA
USD
5515426.12000000
0.137989619598
Long
ABS-MBS
USGSE
US
N
2
2041-12-25
Floating
1.94900000
N
N
N
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
Long: BL394VW13 IRS USD R V 12MUSCPI INF_SL394VW13 CCPINFLATIONZERO / Short: BL394VW13 IRS USD P F 2.54450 FIX_SL394VW13 CCPINFLATIONZERO
000000000
15000000.00000000
OU
Notional Amount
USD
897895.95000000
0.022464324221
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
Inflation based on US CPI Urban Consumers NSA
2034-09-14
0.00000000
USD
0.00000000
USD
15000000.00000000
USD
897895.95000000
N
N
N
Bank of America, National Association
B4TYDEB6GKMZO031MB27
Long: SL5Z3S4C8 IRS USD R V 12MUSCPI SL5Z3S4C8_INF INFLATIONZERO / Short: SL5Z3S4C8 IRS USD P F 2.14375 SL5Z3S4C8_FIX INFLATIONZERO
000000000
10000000.00000000
OU
Notional Amount
USD
1250838.70000000
0.031294545994
N/A
DIR
US
N
2
Bank of America, National Association
B4TYDEB6GKMZO031MB27
N/A
N/A
Y
Inflation based on US CPI Urban Consumers NSA
2029-07-24
0.00000000
USD
0.00000000
USD
10000000.00000000
USD
1250838.70000000
N
N
N
KINGDOM OF MOROCCO
529900F3MBW9XY5K1X07
Morocco Government International Bond
617726AF1
1500000.00000000
PA
USD
1525650.00000000
0.038170008728
Long
DBT
NUSS
MA
N
2
2022-12-11
Fixed
4.25000000
N
N
N
N
N
N
MSCG Trust
N/A
MSCG Trust 2015-ALDR
55352NAA5
244802.10000000
PA
USD
244087.91000000
0.006106798843
Long
ABS-MBS
CORP
US
N
2
2035-06-07
Fixed
2.61200000
N
N
N
N
N
N
FIRST-CITIZENS BANK/TRST
L9VVX1KT5TFTKS0MLF66
First-Citizens Bank & Trust Co
125581HA9
266000.00000000
PA
USD
271411.63000000
0.006790406899
Long
DBT
CORP
US
N
2
2024-06-19
Fixed
3.92900000
N
N
N
N
N
N
AIRCASTLE LTD
549300PNK8AKY3OIKP58
Aircastle Ltd
00928QAT8
6323000.00000000
PA
USD
6752671.25000000
0.168944070101
Long
DBT
CORP
BM
N
2
2025-08-11
Fixed
5.25000000
N
N
N
N
N
N
DANSKE BANK A/S
MAES062Z21O4RZ2U7M96
Danske Bank A/S
23636AAY7
5059000.00000000
PA
USD
5024318.89000000
0.125702681404
Long
DBT
CORP
DK
N
2
2023-12-08
Fixed
1.17100000
N
N
N
N
N
N
AMER AIRLN 14-1 B PTT
N/A
American Airlines 2014-1 Class B Pass Through Trust
02376XAA7
743661.95000000
PA
USD
745021.07000000
0.018639570507
Long
DBT
CORP
US
N
2
2022-10-01
Fixed
4.37500000
N
N
N
N
N
N
Bain Capital Credit CLO, Limited
N/A
Bain Capital Credit CLO 2018-2
05682VAA3
850000.00000000
PA
USD
850564.32000000
0.021280141263
Long
ABS-CBDO
CORP
KY
N
2
2031-07-19
Floating
1.32800000
N
N
N
N
N
N
McAfee, LLC
549300713UKUTLV9T378
McAfee, LLC 2018 USD Term Loan B
57906PAG4
5370342.95000000
PA
USD
5365080.01000000
0.134228132801
Long
LON
CORP
US
N
2
2024-09-30
Floating
6.00000000
N
N
N
N
N
N
Comstock Resources Inc
I03QQGEA4SS774AURI46
Comstock Resources Inc
22304LAA8
4534000.00000000
PA
USD
4642453.28000000
0.116148842931
Long
DBT
CORP
US
N
2
2025-05-15
Fixed
7.50000000
N
N
N
N
N
N
OGX Austria GmbH
N/A
OGX Austria GmbH
670849AA6
225000.00000000
PA
USD
4.50000000
0.000000112584
Long
DBT
CORP
AT
N
2
2018-06-01
None
0.00000000
Y
N
N
N
N
N
ONEOK Inc
2T3D6M0JSY48PSZI1Q41
ONEOK Inc
682680AR4
672000.00000000
PA
USD
717535.98000000
0.017951925159
Long
DBT
CORP
US
N
2
2023-09-01
Fixed
7.50000000
N
N
N
N
N
N
Ally Auto Receivables Trust
N/A
Ally Auto Receivables Trust 2019-3
02007RAC3
2545056.23000000
PA
USD
2555754.63000000
0.063942042102
Long
ABS-O
CORP
US
N
2
2024-05-15
Fixed
1.93000000
N
N
N
N
N
N
Deutsche Bank Aktiengesellschaft
7LTWFZYICNSX8D621K86
Long: SL332WCZ3 IRS USD R V 12MUSCPI SL332WCZ3_INF INFLATIONZERO / Short: SL332WCZ3 IRS USD P F 3.01000 SL332WCZ3_FIX INFLATIONZERO
000000000
15000000.00000000
OU
Notional Amount
USD
-1949760.45000000
-0.04878076452
N/A
DIR
US
N
2
Deutsche Bank Aktiengesellschaft
7LTWFZYICNSX8D621K86
N/A
N/A
Y
Inflation based on US CPI Urban Consumers NSA
2033-02-15
0.00000000
USD
0.00000000
USD
15000000.00000000
USD
-1949760.45000000
N
N
N
Apidos CLO
549300PPHIOJQEKPJH29
Apidos CLO XXIV
03759CAS9
510000.00000000
PA
USD
507759.46000000
0.012703557840
Long
ABS-CBDO
CORP
KY
N
2
2030-10-20
Floating
1.20400000
N
N
N
N
N
N
WEA FINANCE LLC/WESTFIEL
N/A
WEA Finance LLC / Westfield UK & Europe Finance PLC
92890HAC6
5314000.00000000
PA
USD
5446298.30000000
0.136260121028
Long
DBT
US
N
2
2024-09-17
Fixed
3.75000000
N
N
N
N
N
N
Filtration Group Corporation
549300ZA0D9WN5ECE978
Filtration Group Corporation 2018 1st Lien Term Loan
31732FAM8
2053992.45000000
PA
USD
2033668.19000000
0.050880039696
Long
LON
CORP
US
N
2
2025-03-29
Floating
3.20900000
N
N
N
N
N
N
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
Long: SL6K6KUQ4 IRS USD R F .18350 SL6K6KUQ4_FIX CCPOIS / Short: SL6K6KUQ4 IRS USD P V 03MFEDL SL6K6KUQ4_FLO CCPOIS
000000000
165637.00000000
OU
Notional Amount
USD
-8108.97000000
-0.00020287710
N/A
DIR
US
N
2
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
N/A
N/A
Y
2025-10-21
0.00000000
USD
0.00000000
USD
165637.00000000
USD
-8108.97000000
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
Long: BLZE0TMD1 IRS USD R V 12MUSCPI INF_SLZE0TMD1 CCPINFLATIONZERO / Short: BLZE0TMD1 IRS USD P F 2.82300 FIX_SLZE0TMD1 CCPINFLATIONZERO
000000000
50000000.00000000
OU
Notional Amount
USD
1669089.50000000
0.041758700083
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
Inflation based on US CPI Urban Consumers NSA
2029-10-22
0.00000000
USD
0.00000000
USD
50000000.00000000
USD
1669089.50000000
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
Long: BL3X4MC53 IRS USD R V 12MUSCPI SL3X4MC53_INF CCPINFLATIONZERO / Short: BL3X4MC53 IRS USD P F 1.95250 SL3X4MC53_FIX CCPINFLATIONZERO
000000000
7000000.00000000
OU
Notional Amount
USD
1024168.81000000
0.025623525983
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
Inflation based on US CPI Urban Consumers NSA
2029-10-15
0.00000000
USD
0.00000000
USD
7000000.00000000
USD
1024168.81000000
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
Long: BLYO080A6 IRS USD R V 12MUSCPI SLYO080A6_INF CCPINFLATIONZERO / Short: BLYO080A6 IRS USD P F 2.36250 SLYO080A6_FIX CCPINFLATIONZERO
000000000
5000000.00000000
OU
Notional Amount
USD
506096.90000000
0.012661962501
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
Inflation based on US CPI Urban Consumers NSA
2033-01-23
0.00000000
USD
0.00000000
USD
5000000.00000000
USD
506096.90000000
N
N
N
Bank of America, National Association
B4TYDEB6GKMZO031MB27
Long: SL1053M30 IRS USD R V 12MUSCPI SL1053M30_INF INFLATIONZERO / Short: SL1053M30 IRS USD P F 2.38000 SL1053M30_FIX INFLATIONZERO
000000000
10000000.00000000
OU
Notional Amount
USD
870831.60000000
0.021787205304
N/A
DIR
US
N
2
Bank of America, National Association
B4TYDEB6GKMZO031MB27
N/A
N/A
Y
Inflation based on US CPI Urban Consumers NSA
2029-01-13
0.00000000
USD
0.00000000
USD
10000000.00000000
USD
870831.60000000
N
N
N
US FOODS INC
5493000JOOFAOUY1JZ87
US Foods Inc
90290MAC5
2244000.00000000
PA
USD
2323729.32000000
0.058137035641
Long
DBT
CORP
US
N
2
2025-04-15
Fixed
6.25000000
N
N
N
N
N
N
2022-03-31
LORD ABBETT INVESTMENT TRUST
Michael Hebert
Michael Hebert
Chief Financial Officer
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