NPORT-P
false
0001160864
XXXXXXXX
BlackRock Core Bond Trust
811-10543
0001160864
CC8M7XFKTNG56DXMAR33
100 Bellevue Parkway
Wilmington
19809
800-441-7762
BlackRock Core Bond Trust
CC8M7XFKTNG56DXMAR33
2022-12-31
2022-03-31
N
1275186959.47
528136256.58
747050702.89
0.00000000
0.00000000
0.00000000
0.00000000
0.00000000
0.00000000
0.00000000
0.00000000
0.00000000
0.00000000
9171507.92000000
0.00000000
0.00000000
25862699.58000000
USD
N
UNITED AIRLINES INC
K1OQBWM7XEOO08LDNP29
United Airlines Inc
90932LAG2
310000.00000000
PA
USD
304939.25000000
0.040819083473
Long
DBT
CORP
US
N
2
2026-04-15
Fixed
4.38000000
N
N
N
N
N
N
CHS/COMMUNITY HEALTH SYS
5493007X5NC5XI1BB106
CHS/Community Health Systems Inc
12543DBH2
332000.00000000
PA
USD
335467.74000000
0.044905618681
Long
DBT
CORP
US
N
2
2029-01-15
Fixed
6.00000000
N
N
N
N
N
N
Anchorage Capital CLO LTD
5493008PWA7TS1SR9447
Anchorage Capital CLO 2013-1 Ltd
033292AS2
380000.00000000
PA
USD
377953.59000000
0.050592762785
Long
ABS-CBDO
CORP
KY
N
2
2030-10-13
Floating
1.89000000
N
N
N
N
N
N
Tele Columbus AG
3912004GMFDLY04RUQ19
Tele Columbus AG
000000000
100000.00000000
PA
102496.25000000
0.013720119612
Long
DBT
CORP
DE
N
2
2025-05-02
Fixed
3.88000000
N
N
N
N
N
N
PROPULSION BC FINCO S A R L
254900S4YQSQVLEZ8D35
PROPULSION BC FINCO S A R L
000000000
138000.00000000
PA
USD
137224.44000000
0.018368825498
Long
LON
CORP
LU
N
2
2029-02-10
None
0.00000000
N
N
N
N
N
N
GREENKO SOLAR MAURITIUS
2138007S1PL541B3KP92
Greenko Solar Mauritius Ltd
000000000
200000.00000000
PA
USD
201500.00000000
0.026972734142
Long
DBT
CORP
MU
N
2
2026-07-29
Fixed
5.95000000
N
N
N
N
N
N
CCO HLDGS LLC/CAP CORP
N/A
CCO Holdings LLC / CCO Holdings Capital Corp
1248EPCL5
199000.00000000
PA
USD
178602.50000000
0.023907681139
Long
DBT
CORP
US
N
2
2033-06-01
Fixed
4.50000000
N
N
N
N
N
N
UPCB Finance VII Ltd
5493006V3WX8F38SQ991
UPCB Finance VII Ltd
000000000
100000.00000000
PA
108159.15000000
0.014478153836
Long
DBT
CORP
KY
N
2
2029-06-15
Fixed
3.63000000
N
N
N
N
N
N
RBC CAPITAL MARKETS LLC
549300LCO2FLSSVFFR64
BRY046823 RRP AMERICAN AI
000000000
-783344.14000000
PA
USD
-783344.14000000
-0.10485822943
Short
RA
CORP
US
N
2
Reverse repurchase
N
0.63000000
2049-12-31
783344.14000000
USD
783547.16000000
USD
CDS
N
N
N
OUTFRONT MEDIA CAP LLC/C
N/A
Outfront Media Capital LLC / Outfront Media Capital Corp
69007TAC8
10000.00000000
PA
USD
9412.50000000
0.001259954640
Long
DBT
CORP
US
N
2
2030-03-15
Fixed
4.63000000
N
N
N
N
N
N
HERENS HOLDCO SARL
2221002FZ55AMAUX4G64
Herens Holdco Sarl
427169AA5
200000.00000000
PA
USD
179346.00000000
0.024007205843
Long
DBT
CORP
LU
N
2
2028-05-15
Fixed
4.75000000
N
N
N
N
N
N
NATIONSTAR MTG HLD INC
N/A
Nationstar Mortgage Holdings Inc
63861CAA7
33000.00000000
PA
USD
33580.80000000
0.004495116579
Long
DBT
CORP
US
N
2
2027-01-15
Fixed
6.00000000
N
N
N
N
N
N
Liberty Mutual Group Inc
QUR0DG15Z6FFGYCHH861
Liberty Mutual Group Inc
53079EAZ7
2000000.00000000
PA
USD
2570278.80000000
0.344056807664
Long
DBT
CORP
US
N
2
2042-05-01
Fixed
6.50000000
N
N
N
N
N
N
FORTUNE STAR BVI LTD
2549008CU8NYQQRSNU62
Fortune Star BVI Ltd
000000000
200000.00000000
PA
USD
193750.00000000
0.025935321290
Long
DBT
CORP
VG
N
2
2023-01-29
Fixed
5.95000000
N
N
N
N
N
N
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
FSWP: OIS 1.710000 09-DEC-2024
000000000
16600000.00000000
OU
Notional Amount
USD
-321361.86000000
-0.04301740949
N/A
DIR
US
N
2
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
N/A
N/A
Y
2024-12-09
0.00000000
USD
-90330.50000000
USD
16600000.00000000
USD
-231031.36000000
N
N
N
Banc of America Merrill Lynch Large Loan Inc
549300UQK6PJ8BF5JQ90
BAMLL Commercial Mortgage Securities Trust 2015-200P
05526QAG1
4170000.00000000
PA
USD
4075035.34000000
0.545483100977
Long
ABS-MBS
CORP
US
N
2
2033-04-14
Variable
3.60000000
N
N
N
N
N
N
GCI LLC
549300N3IE9H88Q20221
GCI LLC
36166TAB6
61000.00000000
PA
USD
59551.86000000
0.007971595471
Long
DBT
CORP
US
N
2
2028-10-15
Fixed
4.75000000
N
N
N
N
N
N
HILCORP ENERGY I/HILCORP
549300ITPIHLG0LHEC09
Hilcorp Energy I LP / Hilcorp Finance Co
431318AS3
22000.00000000
PA
USD
22110.00000000
0.002959638470
Long
DBT
CORP
US
N
2
2028-11-01
Fixed
6.25000000
N
N
N
N
N
N
CLARIOS GLOBAL LP
549300474L1ZLXZY2P98
Clarios Global LP
18060TAA3
154000.00000000
PA
USD
159471.62000000
0.021346826846
Long
DBT
CORP
CA
N
2
2025-05-15
Fixed
6.75000000
N
N
N
N
N
N
ASHTON WOODS USA/FINANCE
N/A
Ashton Woods USA LLC / Ashton Woods Finance Co
045086AM7
68000.00000000
PA
USD
59964.44000000
0.008026823315
Long
DBT
CORP
US
N
2
2029-08-01
Fixed
4.63000000
N
N
N
N
N
N
BNP PARIBAS
R0MUWSFPU8MPRO8K5P83
RRP VIRGINIA EL
000000000
-4846100.00000000
PA
USD
-4846100.00000000
-0.64869760261
Short
RA
CORP
US
N
2
Reverse repurchase
N
0.53000000
2049-12-31
3920000.00000000
USD
4792524.88959999
USD
CDS
N
N
N
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
FSWP: USD 0.677000 12-APR-2024
000000000
11080000.00000000
OU
Notional Amount
USD
-169063.33000000
-0.02263077048
N/A
DIR
US
N
2
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
N/A
N/A
Y
2024-04-12
0.00000000
USD
-287436.90000000
USD
11080000.00000000
USD
118373.57000000
N
N
N
Lehman Brothers Holdings Inc
549300FDK6ZP3YIHRJ47
LEHMAN BRTH HLD
524ESCR36
225000.00000000
PA
USD
0.02000000
0.000000002677
Long
DBT
CORP
US
N
3
2017-07-19
None
0.00000000
Y
N
N
N
N
N
Ford Motor Credit Co LLC
UDSQCVRUX5BONN0VY111
Ford Motor Credit Co LLC
345397XL2
279000.00000000
PA
USD
278686.13000000
0.037304848107
Long
DBT
CORP
US
N
2
2025-08-04
Fixed
4.13000000
N
N
N
N
N
N
ENLINK MIDSTREAM PARTNER
88CPW63VL7KHJWS0NY83
EnLink Midstream Partners LP
29336UAE7
10000.00000000
PA
USD
9965.30000000
0.001333952295
Long
DBT
CORP
US
N
2
2025-06-01
Fixed
4.15000000
N
N
N
N
N
N
WESTERN MIDSTREAM OPERAT
L6D8A6MLSY454J2JXJ60
Western Midstream Operating LP
958254AK0
25000.00000000
PA
USD
25803.25000000
0.003454015892
Long
DBT
CORP
US
N
2
2028-08-15
Fixed
4.75000000
N
N
N
N
N
N
Scenery Journey Ltd
549300Q2FGQXKG7X0I83
Scenery Journey Ltd
000000000
400000.00000000
PA
USD
36000.00000000
0.004818950020
Long
DBT
CORP
VG
N
2
2022-11-06
Fixed
13.00000000
Y
Y
N
N
N
N
DP WORLD SALAAM
549300SUYBT9X88E9435
DP World Salaam
000000000
200000.00000000
PA
USD
206937.50000000
0.027700596385
Long
DBT
CORP
KY
N
2
2025-10-01
Fixed
6.00000000
N
N
N
N
N
N
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
FSWP: USD 0.918640 20-APR-2024
000000000
4280000.00000000
OU
Notional Amount
USD
-46049.34000000
-0.00616415188
N/A
DIR
US
N
2
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
N/A
N/A
Y
2024-04-22
0.00000000
USD
-92438.16000000
USD
4280000.00000000
USD
46388.82000000
N
N
N
AMERICAN TOWER CORP
5493006ORUSIL88JOE18
American Tower Corp
03027XBC3
1700000.00000000
PA
USD
1482586.37000000
0.198458600502
Long
DBT
US
N
2
2030-06-15
Fixed
2.10000000
N
N
N
N
N
N
AMC Networks Inc
549300VGG9K75226LR46
AMC Networks Inc
00164VAD5
2000.00000000
PA
USD
1995.00000000
0.000267050146
Long
DBT
CORP
US
N
2
2024-04-01
Fixed
5.00000000
N
N
N
N
N
N
VIKING OCEAN CRUISES SHI
N/A
Viking Ocean Cruises Ship VII Ltd
92682RAA0
124000.00000000
PA
USD
113181.31000000
0.015150418781
Long
DBT
CORP
BM
N
2
2029-02-15
Fixed
5.63000000
N
N
N
N
N
N
Freddie Mac
254900HROIFWPRGM1V77
Freddie Mac REMICS
3137BMWG7
3155245.91000000
PA
USD
3302297.41000000
0.442044615877
Long
ABS-MBS
USGSE
US
N
2
2045-11-15
Fixed
4.00000000
N
Y
N
N
N
N
NIELSEN FINANCE LLC/CO
N/A
Nielsen Finance LLC / Nielsen Finance Co
65409QBD3
208000.00000000
PA
USD
209497.60000000
0.028043290661
Long
DBT
CORP
US
N
2
2028-10-01
Fixed
5.63000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140M5KM6
1483728.61000000
PA
USD
1426444.40000000
0.190943451961
Long
ABS-MBS
USGSE
US
N
2
2051-12-01
Fixed
2.50000000
N
N
N
N
N
N
VERIZON COMMUNICATIONS
2S72QS2UO2OESLG6Y829
Verizon Communications Inc
92343VBT0
6751000.00000000
PA
USD
9393841.72000000
1.257457048585
Long
DBT
CORP
US
N
2
2043-09-15
Fixed
6.55000000
N
N
N
N
N
N
BOXER PARENT CO INC
5493006T045HLTF7YX04
Boxer Parent Co Inc
000000000
100000.00000000
PA
111537.63000000
0.014930396232
Long
DBT
CORP
US
N
2
2025-10-02
Fixed
6.50000000
N
N
N
N
N
N
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
FSWP: OIS 2.716370 30-SEP-2024
000000000
3680000.00000000
OU
Notional Amount
USD
-4022.53000000
-0.00053845475
N/A
DIR
US
N
2
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
N/A
N/A
Y
2024-09-30
0.00000000
USD
-16.28000000
USD
3680000.00000000
USD
-4006.25000000
N
N
N
ALBERTSONS COS/SAFEWAY
N/A
Albertsons Cos Inc / Safeway Inc / New Albertsons LP / Albertsons LLC
013092AA9
65000.00000000
PA
USD
68656.25000000
0.009190306592
Long
DBT
CORP
US
N
2
2026-03-15
Fixed
7.50000000
N
N
N
N
N
N
YUZHOU GROUP
213800MP59KHGJSPHE82
Yuzhou Group Holdings Co Ltd
000000000
200000.00000000
PA
USD
26100.00000000
0.003493738764
Long
DBT
CORP
KY
N
2
2024-10-30
Fixed
8.38000000
N
N
N
N
N
N
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
SWP: OIS 1.603000 08-MAR-2032
000000000
615000.00000000
OU
Notional Amount
USD
-27668.44000000
-0.00370368970
N/A
DIR
US
N
2
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
N/A
N/A
Y
2032-03-08
0.00000000
USD
-13117.08000000
USD
615000.00000000
USD
-14551.36000000
N
N
N
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
FSWP: OIS 2.052330 15-NOV-2031
000000000
3910000.00000000
OU
Notional Amount
USD
35544.64000000
0.004757995657
N/A
DIR
US
N
2
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
N/A
N/A
Y
2031-11-17
0.00000000
USD
-63.19000000
USD
3910000.00000000
USD
35607.83000000
N
N
N
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
FSWP: OIS 1.522500 06-SEP-2024
000000000
5985000.00000000
OU
Notional Amount
USD
-128982.71000000
-0.01726558980
N/A
DIR
US
N
2
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
N/A
N/A
Y
2024-09-06
0.00000000
USD
-47678.60000000
USD
5985000.00000000
USD
-81304.11000000
N
N
N
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
FSWP: OIS 2.313000 20-SEP-2024
000000000
2825000.00000000
OU
Notional Amount
USD
18395.84000000
0.002462462042
N/A
DIR
US
N
2
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
N/A
N/A
Y
2024-09-20
0.00000000
USD
-12.50000000
USD
2825000.00000000
USD
18408.34000000
N
N
N
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
FSWP: OIS 1.446000 28-JUL-2024
000000000
2470000.00000000
OU
Notional Amount
USD
11425.54000000
0.001529419617
N/A
DIR
US
N
2
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
N/A
N/A
Y
2024-07-29
0.00000000
USD
-21381.02000000
USD
2470000.00000000
USD
32806.56000000
N
N
N
LUMEN TECHNOLOGIES INC
8M3THTGWLTYZVE6BBY25
Lumen Technologies Inc
156700AT3
167000.00000000
PA
USD
161155.00000000
0.021572163626
Long
DBT
CORP
US
N
2
2042-03-15
Fixed
7.65000000
N
N
N
N
N
N
CNT Holdings I Corp
N/A
CNT Holdings I Corp 2020 Term Loan
12656AAC3
153837.50000000
PA
USD
152843.71000000
0.020459616651
Long
LON
CORP
US
N
2
2027-11-08
Floating
4.25000000
N
N
N
N
N
N
CREDIT AGRICOLE CORPORATE AND INVESTMENT BANK SA
1VUV7VQFKUOQSJ21A208
BRY09G4Z7 RRP BARCLAYS PL
000000000
-4109400.00000000
PA
USD
-4109400.00000000
-0.55008314483
Short
RA
CORP
US
N
2
Reverse repurchase
N
0.50000000
2049-12-31
4109400.00000000
USD
4110141.98000000
USD
CDS
N
N
N
ACURIS FIN US/ACURIS FIN
N/A
Acuris Finance US Inc / Acuris Finance SARL
00511BAA5
272000.00000000
PA
USD
249900.00000000
0.033451544725
Long
DBT
CORP
US
N
2
2028-05-01
Fixed
5.00000000
N
N
N
N
N
N
SPECTRUM BRANDS INC
549300VU3EH2E73C1Q04
Spectrum Brands Inc
84762LAX3
15000.00000000
PA
USD
13233.00000000
0.001771365711
Long
DBT
CORP
US
N
2
2031-03-15
Fixed
3.88000000
N
N
N
N
N
N
Nelnet Student Loan Trust
N/A
Nelnet Student Loan Trust 2021-B
64034QAC2
1982529.00000000
PA
USD
1814302.69000000
0.242862055143
Long
ABS-O
CORP
US
N
2
2062-04-20
Fixed
2.68000000
N
N
N
N
N
N
CHESAPEAKE ENERGY CORP
X2MT1W32SPAZ9WSKLE78
Chesapeake Energy Corp
92735LAA0
350000.00000000
PA
USD
370697.25000000
0.049621431124
Long
DBT
CORP
US
N
2
2029-04-15
Fixed
6.75000000
N
N
N
N
N
N
Rad CLO Ltd
N/A
Rad CLO 3 Ltd
48661WAQ1
400000.00000000
PA
USD
388687.44000000
0.052029592970
Long
ABS-CBDO
CORP
KY
N
2
2032-04-15
Floating
2.99000000
N
N
N
N
N
N
Sovos Compliance, LLC
549300M9XYG5WP2QHH07
Sovos Compliance, LLC 2021 Term Loan
84611YAB6
101026.05000000
PA
USD
100710.85000000
0.013481126463
Long
LON
CORP
US
N
2
2028-08-11
Floating
5.00000000
N
N
N
N
N
N
CRESTWOOD MID PARTNER LP
N/A
Crestwood Midstream Partners LP / Crestwood Midstream Finance Corp
67421QAA0
59000.00000000
PA
USD
62975.42000000
0.008429872263
Long
DBT
CORP
US
N
2
2029-04-01
Fixed
8.00000000
N
N
N
N
N
N
AVSC Holding Corp.
549300CLJBQ9YSR4U689
AVSC Holding Corp. 2018 2nd Lien Term Loan
00241YAQ7
312969.00000000
PA
USD
264458.81000000
0.035400382996
Long
LON
CORP
US
N
2
2025-09-01
Floating
8.25000000
N
N
N
N
N
N
Madison Park Funding Ltd
N/A
Madison Park Funding XXXVIII Ltd
55821KAG1
250000.00000000
PA
USD
244748.06000000
0.032761907465
Long
ABS-CBDO
CORP
KY
N
2
2034-07-17
Floating
2.14000000
N
N
N
N
N
N
JPMorgan Chase & Co
8I5DZWZKVSZI1NUHU748
JPMorgan Chase & Co
48127FAA1
3640000.00000000
PA
USD
3626350.00000000
0.485422205744
Long
DBT
CORP
US
N
2
2022-07-01
Variable
3.53000000
N
N
N
N
N
N
OUTFRONT MEDIA CAP LLC/C
N/A
Outfront Media Capital LLC / Outfront Media Capital Corp
69007TAE4
80000.00000000
PA
USD
74420.00000000
0.009961840570
Long
DBT
CORP
US
N
2
2029-01-15
Fixed
4.25000000
N
N
N
N
N
N
PDC Energy Inc
5493008W8H2T511J5Y59
PDC Energy Inc
69327RAG6
58000.00000000
PA
USD
58709.92000000
0.007858893616
Long
DBT
CORP
US
N
2
2024-09-15
Fixed
6.13000000
N
N
N
N
N
N
MORGAN STANLEY & CO. INTERNATIONAL
4PQUHN3JPFGFNF3BB653
SWAPTION JUN24 2.5 PUT
000000000
1970000.00000000
NC
USD
85506.23000000
0.011445840244
N/A
DIR
US
N
2
MORGAN STANLEY & CO. INTERNATIONAL
4PQUHN3JPFGFNF3BB653
Put
Purchased
MORGAN STANLEY & CO. INTERNATIONAL
4PQUHN3JPFGFNF3BB653
MORGAN STANLEY & CO. INTERNATIONAL
4PQUHN3JPFGFNF3BB653
IRS Swap
N/A
1970000.00000000
OU
Notional Amount
N/A
85506.23000000
0.01000000
DIR
GB
N/A
N/A
2034-06-17
0.00000000
N/A
0.00000000
N/A
1970000.00000000
USD
1.00000000
2.50000000
USD
2024-06-13
XXXX
-3061.69000000
N
N
N
CHINA AOYUAN GROUP LTD
549300YSOKQO5QD6MP25
China Aoyuan Group Ltd
000000000
489000.00000000
PA
USD
78240.00000000
0.010473184711
Long
DBT
CORP
KY
N
2
2025-08-18
Fixed
5.98000000
Y
Y
N
N
N
N
ION TRADING TECHNOLOGIES
5493009ZVXOKZLQ6QJ12
ION Trading Technologies Sarl
46205YAA9
200000.00000000
PA
USD
192750.00000000
0.025801461568
Long
DBT
CORP
LU
N
2
2028-05-15
Fixed
5.75000000
N
N
N
N
N
N
BOOZ ALLEN HAMILTON INC
549300D7XCH2480XU542
Booz Allen Hamilton Inc
09951LAB9
255000.00000000
PA
USD
248992.20000000
0.033330026869
Long
DBT
CORP
US
N
2
2029-07-01
Fixed
4.00000000
N
N
N
N
N
N
New York City Industrial Development Agency
549300XR20ZR5DHL9534
NEW YORK CITY NY INDL DEV AGY REVENUE
64971PLK9
50000.00000000
PA
USD
43616.70000000
0.005838519371
Long
DBT
MUN
US
N
2
2046-01-01
Fixed
3.00000000
N
N
N
N
N
N
GALAXY BIDCO LTD
2138006O8YW3QCHKDY76
Galaxy Bidco Ltd
000000000
100000.00000000
PA
129066.07000000
0.017276748351
Long
DBT
CORP
JE
N
2
2026-07-31
Fixed
6.50000000
N
N
N
N
N
N
Citigroup Capital XIII
N/A
Citigroup Capital XIII
173080201
29583.00000000
NS
USD
810574.20000000
0.108503237713
Long
EP
CORP
US
N
1
N
N
N
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
FSWP: OIS 1.757500 12-AUG-2024
000000000
6050000.00000000
OU
Notional Amount
USD
64219.71000000
0.008596432578
N/A
DIR
US
N
2
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
N/A
N/A
Y
2024-08-12
0.00000000
USD
-17239.15000000
USD
6050000.00000000
USD
81458.86000000
N
N
N
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
FSWP: OIS 2.675500 27-SEP-2024
000000000
2850000.00000000
OU
Notional Amount
USD
-1046.39000000
-0.00014006947
N/A
DIR
US
N
2
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
N/A
N/A
Y
2024-09-27
0.00000000
USD
-12.62000000
USD
2850000.00000000
USD
-1033.77000000
N
N
N
EQUATE PETROCHEMICAL BV
635400Y3Z5R4NJSMQ630
Equate Petrochemical BV
29441WAD7
200000.00000000
PA
USD
184750.00000000
0.024730583785
Long
DBT
CORP
NL
N
2
2028-04-28
Fixed
2.63000000
N
N
N
N
N
N
ASBURY AUTOMOTIVE GROUP
549300JH4DTA7U42GL91
Asbury Automotive Group Inc
043436AU8
18000.00000000
PA
USD
17290.80000000
0.002314541694
Long
DBT
CORP
US
N
2
2028-03-01
Fixed
4.50000000
N
N
N
N
N
N
NMG HLDCO/NEIMAN MARCUS
N/A
NMG Holding Co Inc / Neiman Marcus Group LLC
62929RAC2
252000.00000000
PA
USD
258804.00000000
0.034643431697
Long
DBT
CORP
US
N
2
2026-04-01
Fixed
7.13000000
N
N
N
N
N
N
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
FSWP: USD 3.020500 08-DEC-2048
000000000
400000.00000000
OU
Notional Amount
USD
28071.43000000
0.003757633838
N/A
DIR
US
N
2
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
N/A
N/A
Y
2048-12-08
25194.52000000
USD
0.00000000
USD
400000.00000000
USD
2876.91000000
N
N
N
ALLIANT HOLD / CO-ISSUER
N/A
Alliant Holdings Intermediate LLC / Alliant Holdings Co-Issuer
01883LAD5
855000.00000000
PA
USD
821868.75000000
0.110015123045
Long
DBT
CORP
US
N
2
2029-11-01
Fixed
5.88000000
N
N
N
N
N
N
YANGO JUSTICE INTL
3003007ELD2HAYCXPT77
Yango Justice International Ltd
000000000
200000.00000000
PA
USD
10000.00000000
0.001338597227
Long
DBT
CORP
HK
N
2
2022-09-15
Fixed
10.25000000
Y
N
N
N
N
N
CHENIERE ENERGY PARTNERS
5493005UEC8AZ34LDV29
Cheniere Energy Partners LP
16411QAK7
337000.00000000
PA
USD
326684.43000000
0.043729887240
Long
DBT
CORP
US
N
2
2031-03-01
Fixed
4.00000000
N
N
N
N
N
N
Allied Universal
N/A
Allied Universal Holdco LLC / Allied Universal Finance Corp
019576AA5
748000.00000000
PA
USD
756848.84000000
0.101311575917
Long
DBT
CORP
US
N
2
2026-07-15
Fixed
6.63000000
N
N
N
N
N
N
PROOFPOINT, INC.
529900C5FODDK0WSR085
PROOFPOINT, INC. 2ND LIEN TERM LOAN
000000000
242000.00000000
PA
USD
240562.52000000
0.032201632241
Long
LON
CORP
US
N
2
2029-08-31
Floating
6.76000000
N
N
N
N
N
N
CREDIT SUISSE GROUP AG
549300506SI9CRFV9Z86
Credit Suisse Group AG
225401AL2
300000.00000000
PA
USD
296121.00000000
0.039638674972
Long
DBT
CORP
CH
N
2
2026-08-21
Fixed
6.38000000
N
N
N
N
N
N
CITIBANK NA
E57ODZWZ7FF32TWEFA76
10Y RTP DEC22 1.254 PUT
000000000
-2820000.00000000
NC
USD
-308815.92000000
-0.04133801344
N/A
DIR
US
N
2
CITIBANK NA
E57ODZWZ7FF32TWEFA76
Put
Written
CITIBANK NA
E57ODZWZ7FF32TWEFA76
CITIBANK NA
E57ODZWZ7FF32TWEFA76
IRS Swap
N/A
2820000.00000000
OU
Notional Amount
N/A
-308815.92000000
-0.04000000
DIR
US
N/A
N/A
2033-01-04
0.00000000
N/A
0.00000000
N/A
2820000.00000000
USD
1.00000000
1.25400000
USD
2022-12-30
XXXX
-215826.42000000
N
N
N
Ford Motor Credit Co LLC
UDSQCVRUX5BONN0VY111
Ford Motor Credit Co LLC
345397XU2
200000.00000000
PA
USD
199482.00000000
0.026702605221
Long
DBT
CORP
US
N
2
2026-01-08
Fixed
4.39000000
N
N
N
N
N
N
CALPINE CORP
43R4VPJBXTU2O15HEF41
Calpine Corp
131347CP9
46000.00000000
PA
USD
42320.00000000
0.005664943468
Long
DBT
CORP
US
N
2
2029-02-01
Fixed
4.63000000
N
N
N
N
N
N
ACADIA HEALTHCARE CO INC
5493005CW985Y9D0NC11
Acadia Healthcare Co Inc
00404AAP4
91000.00000000
PA
USD
89838.61000000
0.012025771430
Long
DBT
CORP
US
N
2
2029-04-15
Fixed
5.00000000
N
N
N
N
N
N
TAP ROCK RESOURCES LLC
549300Y3SDS1HPFQ6H17
Tap Rock Resources LLC
87602LAA0
503000.00000000
PA
USD
520665.36000000
0.069696120756
Long
DBT
CORP
US
N
2
2026-10-01
Fixed
7.00000000
N
N
N
N
N
N
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
FSWP: USD 1.271000 17-JUN-2024
000000000
15000.00000000
OU
Notional Amount
USD
-64.84000000
-0.00000867946
N/A
DIR
US
N
2
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
N/A
N/A
Y
2024-06-17
0.00000000
USD
-245.90000000
USD
15000.00000000
USD
181.06000000
N
N
N
TD SECURITIES (USA) LLC
SUVUFHICNZMP2WKHG940
BRY09FXS3 RRP INTERNATION
000000000
-1752500.00000000
PA
USD
-1752500.00000000
-0.23458916419
Short
RA
CORP
US
N
2
Reverse repurchase
N
0.50000000
2049-12-31
1752500.00000000
USD
1752816.42000000
USD
CDS
N
N
N
Morgan Stanley
IGJSJL3JD5P30I6NJZ34
Morgan Stanley
61761J3R8
2000000.00000000
PA
USD
1982741.00000000
0.265409160627
Long
DBT
CORP
US
N
2
2026-07-27
Fixed
3.13000000
N
N
N
N
N
N
HSBC SECURITIES (USA) INC
CYYGQCGNHMHPSMRL3R97
RRP FNMA 30YR U
000000000
-776386.24000000
PA
USD
-776386.24000000
-0.10392684686
Short
RA
CORP
US
N
2
Reverse repurchase
N
0.34000000
2022-04-13
776386.24000000
USD
776510.89000000
USD
AMBS
N
N
N
INTERCORP PERU LTD
549300L0OFVSOE4NSY75
Intercorp Peru Ltd
458652AB0
200000.00000000
PA
USD
181925.00000000
0.024352430068
Long
DBT
CORP
BS
N
2
2029-08-15
Fixed
3.88000000
N
N
N
N
N
N
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
SWP: OIS 0.835000 01-MAR-2023
000000000
13390000.00000000
OU
Notional Amount
USD
-82259.82000000
-0.01101127670
N/A
DIR
US
N
2
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
N/A
N/A
Y
2023-03-01
0.00000000
USD
-36903.95000000
USD
13390000.00000000
USD
-45355.87000000
N
N
N
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
FSWP: USD 1.010000 02-APR-2040
000000000
4100000.00000000
OU
Notional Amount
USD
-421272.25000000
-0.05639138660
N/A
DIR
US
N
2
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
N/A
N/A
Y
2040-04-03
0.00000000
USD
-422488.87000000
USD
4100000.00000000
USD
1216.62000000
N
N
N
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
SWP: OIS 1.613000 08-MAR-2032
000000000
615000.00000000
OU
Notional Amount
USD
-27112.71000000
-0.00362929984
N/A
DIR
US
N
2
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
N/A
N/A
Y
2032-03-08
0.00000000
USD
-12554.01000000
USD
615000.00000000
USD
-14558.70000000
N
N
N
E.ON INTL FINANCE BV
549300TG53AWJ719M814
E.ON International Finance BV
268789AB0
3100000.00000000
PA
USD
3845426.16000000
0.514747679792
Long
DBT
CORP
NL
N
2
2038-04-30
Fixed
6.65000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Federal National Mortgage Association
31398AFD9
1600000.00000000
PA
USD
2147775.90000000
0.287500686592
Long
DBT
USGSE
US
N
2
2037-07-15
Fixed
5.63000000
N
N
N
N
N
N
EMBECTA CORP
N/A
Embecta Corp
29082KAB1
104000.00000000
PA
USD
104260.00000000
0.013956214698
Long
DBT
CORP
US
N
2
2030-02-15
Fixed
6.75000000
N
N
N
N
N
N
STANDARD INDUSTRIES INC
54930064UHXCIUWVI755
Standard Industries Inc/NJ
853496AG2
373000.00000000
PA
USD
341651.22000000
0.045733337600
Long
DBT
CORP
US
N
2
2030-07-15
Fixed
4.38000000
N
N
N
N
N
N
HOME DEPOT INC
QEKMOTMBBKA8I816DO57
Home Depot Inc/The
437076AS1
1660000.00000000
PA
USD
2102587.91000000
0.281451834777
Long
DBT
CORP
US
N
2
2036-12-16
Fixed
5.88000000
N
N
N
N
N
N
Cloudera, Inc.
549300PGONC4JOI0RG62
Cloudera, Inc. 2021 Term Loan
74339VAB4
515000.00000000
PA
USD
507918.75000000
0.067989863075
Long
LON
CORP
US
N
2
2028-10-08
Floating
4.25000000
N
N
N
N
N
N
MACY'S RETAIL HLDGS LLC
N/A
Macy's Retail Holdings LLC
55617LAQ5
33000.00000000
PA
USD
32554.83000000
0.004357780519
Long
DBT
CORP
US
N
2
2030-03-15
Fixed
5.88000000
N
N
N
N
N
N
HEUNGKUK LIFE INSURANCE
988400EEEB3WBUD4BW44
Heungkuk Life Insurance Co Ltd
000000000
200000.00000000
PA
USD
199037.50000000
0.026643104575
Long
DBT
CORP
KR
N
2
2022-11-09
Fixed
4.48000000
N
N
N
N
N
N
BIOCEANICO SOVEREIGN
N/A
Bioceanico Sovereign Certificate Ltd
000000000
143413.20000000
PA
USD
104189.69000000
0.013946803021
Long
DBT
CORP
KY
N
2
2034-06-05
None
0.00000000
N
N
N
N
N
N
CIENA CORP
W0CZ7N0GH8UIGXDM1H41
Ciena Corp
171779AL5
71000.00000000
PA
USD
68337.50000000
0.009147638806
Long
DBT
CORP
US
N
2
2030-01-31
Fixed
4.00000000
N
N
N
N
N
N
VIAVI SOLUTIONS INC
5493006K3E3N1QOBF092
Viavi Solutions Inc
925550AF2
228000.00000000
PA
USD
213960.33000000
0.028640670462
Long
DBT
CORP
US
N
2
2029-10-01
Fixed
3.75000000
N
N
N
N
N
N
TECHEM VERWALTUNGSGES
549300W2QKB8BC676O97
Techem Verwaltungsgesellschaft 674 mbH
000000000
87919.80000000
PA
97161.86000000
0.013006059645
Long
DBT
CORP
DE
N
2
2026-07-30
Fixed
6.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140MABA1
536987.78000000
PA
USD
515921.81000000
0.069061150468
Long
ABS-MBS
USGSE
US
N
2
2051-12-01
Fixed
2.50000000
N
N
N
N
N
N
CLEVELAND ELECTRIC ILLUM
N/A
Cleveland Electric Illuminating Co/The
186108CE4
434000.00000000
PA
USD
500733.27000000
0.067028016714
Long
DBT
CORP
US
N
2
2036-12-15
Fixed
5.95000000
N
N
N
N
N
N
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
SWP: USD 1.051310 15-MAY-2028
000000000
1650000.00000000
OU
Notional Amount
USD
-127957.41000000
-0.01712834343
N/A
DIR
US
N
2
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
N/A
N/A
Y
2028-05-15
0.00000000
USD
-94788.20000000
USD
1650000.00000000
USD
-33169.21000000
N
N
N
SS&C Technologies Inc
549300KY09TR3J12JU49
SS&C Technologies Inc
78466CAC0
438000.00000000
PA
USD
441291.57000000
0.059071167230
Long
DBT
CORP
US
N
2
2027-09-30
Fixed
5.50000000
N
N
N
N
N
N
Golub Capital Partners CLO, LTD
254900ZZ9HHZTOQ1XK24
Golub Capital Partners CLO 55B LTD
38178QAA6
250000.00000000
PA
USD
247676.18000000
0.033153864796
Long
ABS-CBDO
CORP
KY
N
2
2034-07-20
Floating
6.81000000
N
N
N
N
N
N
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
FSWP: USD 1.634500 26-MAY-2027
000000000
6990000.00000000
OU
Notional Amount
USD
-306770.75000000
-0.04106424755
N/A
DIR
US
N
2
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
N/A
N/A
Y
2027-05-26
0.00000000
USD
-150591.83000000
USD
6990000.00000000
USD
-156178.92000000
N
N
N
MELCO RESORTS FINANCE
N/A
Melco Resorts Finance Ltd
000000000
250000.00000000
PA
USD
225000.00000000
0.030118437628
Long
DBT
CORP
KY
N
2
2026-04-26
Fixed
5.25000000
N
N
N
N
N
N
AMERICAN EXPRESS CO
R4PP93JZOLY261QX3811
American Express Co
025816CH0
500000.00000000
PA
USD
455650.00000000
0.060993182689
Long
DBT
CORP
US
N
2
2026-09-15
Fixed
3.55000000
N
N
N
N
N
N
TRIVIUM PACKAGING FIN
724500GMZWW3PVYET548
Trivium Packaging Finance BV
89686QAA4
205000.00000000
PA
USD
204155.40000000
0.027328185250
Long
DBT
CORP
NL
N
2
2026-08-15
Fixed
5.50000000
N
N
N
N
N
N
CREDIT AGRICOLE CORPORATE AND INVESTMENT BANK SA
1VUV7VQFKUOQSJ21A208
RRP TREASURY BO
000000000
-777562.50000000
PA
USD
-777562.50000000
-0.10408430070
Short
RA
CORP
US
N
2
Reverse repurchase
N
0.33000000
2049-12-31
715000.00000000
USD
700029.68750000
USD
UST
N
N
N
PETSMART INC/PETSMART FI
N/A
PetSmart Inc / PetSmart Finance Corp
71677KAB4
1003000.00000000
PA
USD
1035597.50000000
0.138624794273
Long
DBT
CORP
US
N
2
2029-02-15
Fixed
7.75000000
N
N
N
N
N
N
REPUBLIC OF COLOMBIA
549300MHDRBVRF6B9117
Colombia Government International Bond
195325DS1
430000.00000000
PA
USD
363833.75000000
0.048702684917
Long
DBT
NUSS
CO
N
2
2031-04-15
Fixed
3.13000000
N
N
N
N
N
N
Trestles CLO LTD
254900QSBDX181YYBH38
TRESTLES CLO 2017-1 Ltd
89531FAQ0
1750000.00000000
PA
USD
1707952.23000000
0.228626012048
Long
ABS-CBDO
CORP
KY
N
2
2032-04-25
Floating
2.01000000
N
N
N
N
N
N
ARKO CORP
N/A
Arko Corp
041242AA6
123000.00000000
PA
USD
111930.00000000
0.014982918772
Long
DBT
CORP
US
N
2
2029-11-15
Fixed
5.13000000
N
N
N
N
N
N
COMMSCOPE INC
549300Z6K4JXMFE8QY54
CommScope Inc
203372AX5
317000.00000000
PA
USD
291960.17000000
0.039081707422
Long
DBT
CORP
US
N
2
2029-09-01
Fixed
4.75000000
N
N
N
N
N
N
IHS HOLDING LTD
213800CLGMKL63VKTD94
IHS Holding Ltd
44963HAB1
200000.00000000
PA
USD
186500.00000000
0.024964838300
Long
DBT
CORP
KY
N
2
2028-11-29
Fixed
6.25000000
N
N
N
N
N
N
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
SWP: OIS 2.294000 31-MAR-2027
000000000
560000.00000000
OU
Notional Amount
USD
1432.43000000
0.000191744682
N/A
DIR
US
N
2
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
N/A
N/A
Y
2027-03-31
5.16000000
USD
0.00000000
USD
560000.00000000
USD
1427.27000000
N
N
N
VICI PROPERTIES / NOTE
N/A
VICI Properties LP / VICI Note Co Inc
92564RAB1
320000.00000000
PA
USD
319200.00000000
0.042728023515
Long
DBT
US
N
2
2029-12-01
Fixed
4.63000000
N
N
N
N
N
N
Medical Solutions Holdings, Inc.
549300JH2XHZ7TIKYR39
Medical Solutions Holdings, Inc. 2021 2nd Lien Term Loan
000000000
78000.00000000
PA
USD
74880.00000000
0.010023416042
Long
LON
CORP
US
N
2
2029-11-01
Floating
7.50000000
N
N
N
N
N
N
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
FSWP: OIS 2.122600 16-SEP-2024
000000000
1433000.00000000
OU
Notional Amount
USD
14497.43000000
0.001940621960
N/A
DIR
US
N
2
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
N/A
N/A
Y
2024-09-16
0.00000000
USD
-6.34000000
USD
1433000.00000000
USD
14503.77000000
N
N
N
COMM Mortgage Trust
549300BCCWSDWINK2593
COMM 2013-CCRE11 Mortgage Trust
12626LBP6
7000000.00000000
PA
USD
7133219.80000000
0.954850825038
Long
ABS-MBS
CORP
US
N
2
2050-08-10
Variable
5.11000000
N
N
N
N
N
N
GOLDMAN SACHS BANK USA
KD3XUN7C6T14HNAYLU02
SWAPTION DEC22 1.2325 CALL
000000000
-2560000.00000000
NC
USD
-8903.48000000
-0.00119181736
N/A
DIR
US
N
2
GOLDMAN SACHS BANK USA
KD3XUN7C6T14HNAYLU02
Call
Written
GOLDMAN SACHS BANK USA
KD3XUN7C6T14HNAYLU02
GOLDMAN SACHS BANK USA
KD3XUN7C6T14HNAYLU02
IRS Swap
N/A
2560000.00000000
OU
Notional Amount
N/A
-8903.48000000
0.00000000
DIR
US
N/A
N/A
2032-12-20
0.00000000
N/A
0.00000000
N/A
2560000.00000000
USD
1.00000000
1.23250000
USD
2022-12-16
XXXX
74808.52000000
N
N
N
NOMURA SECURITIES INTERNATIONAL INC
OXTKY6Q8X53C9ILVV871
RRP TREASURY NO
000000000
-3326250.00000000
PA
USD
-3326250.00000000
-0.44525090293
Short
RA
CORP
US
N
2
Reverse repurchase
N
0.32000000
2049-12-31
3000000.00000000
USD
3123632.81999999
USD
UST
N
N
N
NCR CORP
549300YKTY8JX1DV2R67
NCR Corp
62886EAY4
73000.00000000
PA
USD
69897.50000000
0.009356459973
Long
DBT
CORP
US
N
2
2028-10-01
Fixed
5.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae REMICS
3136APDF6
1636000.00000000
PA
USD
1709506.13000000
0.228834016672
Long
ABS-MBS
USGSE
US
N
2
2045-07-25
Fixed
3.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31410F2Q7
680465.00000000
PA
USD
735022.87000000
0.098389957623
Long
ABS-MBS
USGSE
US
N
2
2034-08-01
Fixed
5.00000000
N
N
N
N
N
N
FirstEnergy Corp
549300SVYJS666PQJH88
FirstEnergy Corp
337932AC1
29000.00000000
PA
USD
35767.44000000
0.004787819603
Long
DBT
CORP
US
N
2
2031-11-15
Fixed
7.38000000
N
N
N
N
N
N
GRUPO AVAL LTD
549300J4FW1ELLQ80113
Grupo Aval Ltd
40053FAC2
200000.00000000
PA
USD
173196.00000000
0.023183968548
Long
DBT
CORP
KY
N
2
2030-02-04
Fixed
4.38000000
N
N
N
N
N
N
DIC ASSET AG
52990044JL2ZPWONU738
DIC Asset AG
000000000
100000.00000000
PA
96796.85000000
0.012957199508
Long
DBT
CORP
DE
N
2
2026-09-22
Fixed
2.25000000
N
N
N
N
N
N
NEXTERA ENERGY CAPITAL
UMI46YPGBLUE4VGNNT48
NextEra Energy Capital Holdings Inc
65339KBK5
2750000.00000000
PA
USD
2822548.91000000
0.377825614657
Long
DBT
CORP
US
N
2
2079-05-01
Fixed
5.65000000
N
N
N
N
N
N
Momentive Performance Materials Inc.
54930021ZH8MCUXACZ50
Momentive Performance Materials Inc. Term Loan B
60877JAB8
121646.55000000
PA
USD
119973.91000000
0.016059674334
Long
LON
CORP
US
N
2
2024-05-15
Floating
3.70000000
N
N
N
N
N
N
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
FSWP: OIS 1.704000 02-SEP-2024
000000000
2960000.00000000
OU
Notional Amount
USD
-53113.18000000
-0.00710971555
N/A
DIR
US
N
2
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
N/A
N/A
Y
2024-09-03
0.00000000
USD
-12818.53000000
USD
2960000.00000000
USD
-40294.65000000
N
N
N
TENDAM BRANDS SAU
959800F8A7CLAN0C2203
Tendam Brands SAU
000000000
100000.00000000
PA
109786.44000000
0.014695982424
Long
DBT
CORP
ES
N
2
2024-09-15
Floating
5.25000000
N
N
N
N
N
N
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
FSWP: OIS 2.069240 15-FEB-2029
000000000
4720000.00000000
OU
Notional Amount
USD
-44659.73000000
-0.00597813907
N/A
DIR
US
N
2
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
N/A
N/A
Y
2029-02-15
60.75000000
USD
0.00000000
USD
4720000.00000000
USD
-44720.48000000
N
N
N
LORCA TELECOM BONDCO
9598004HFBAS82YM7X35
Lorca Telecom Bondco SA
000000000
100000.00000000
PA
106476.54000000
0.014252920128
Long
DBT
CORP
ES
N
2
2027-09-18
Fixed
4.00000000
N
N
N
N
N
N
CROWDSTRIKE HOLDINGS INC
549300YBY08K9KM4HX32
Crowdstrike Holdings Inc
22788CAA3
60000.00000000
PA
USD
55050.00000000
0.007368977739
Long
DBT
CORP
US
N
2
2029-02-15
Fixed
3.00000000
N
N
N
N
N
N
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
FSWP: OIS 2.428000 07-SEP-2024
000000000
2955000.00000000
OU
Notional Amount
USD
11707.15000000
0.001567115853
N/A
DIR
US
N
2
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
N/A
N/A
Y
2024-09-09
0.00000000
USD
-13.08000000
USD
2955000.00000000
USD
11720.23000000
N
N
N
MetLife Inc
C4BXATY60WC6XEOZDX54
MetLife Inc
59156RAP3
2554000.00000000
PA
USD
2750147.20000000
0.368133941827
Long
DBT
CORP
US
N
2
2036-12-15
Fixed
6.40000000
N
N
N
N
N
N
FORD MOTOR CREDIT CO LLC
UDSQCVRUX5BONN0VY111
Ford Motor Credit Co LLC
345397A86
200000.00000000
PA
USD
195490.00000000
0.026168237208
Long
DBT
CORP
US
N
2
2027-08-17
Fixed
4.13000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Pool
3132DWBT9
12170159.30000000
PA
USD
11318572.00000000
1.515100910314
Long
ABS-MBS
USGSE
US
N
2
2051-06-01
Fixed
2.00000000
N
N
N
N
N
N
Prudential Financial Inc
5PRBRS5FEH7NREC8OR45
Prudential Financial Inc
74432QAK1
500000.00000000
PA
USD
598632.32000000
0.080132756409
Long
DBT
CORP
US
N
2
2036-03-17
Fixed
5.90000000
N
N
N
N
N
N
AMC Entertainment Holdings, Inc.
549300ZO77UNR6NRBR11
AMC Entertainment Holdings, Inc. 2019 Term Loan B
00164DAQ6
155598.97000000
PA
USD
138417.73000000
0.018528558967
Long
LON
CORP
US
N
2
2026-04-22
Floating
3.35000000
N
N
N
N
N
N
TALLGRASS NRG PRTNR/FIN
N/A
Tallgrass Energy Partners LP / Tallgrass Energy Finance Corp
87470LAJ0
20000.00000000
PA
USD
19407.00000000
0.002597815640
Long
DBT
CORP
US
N
2
2030-12-31
Fixed
6.00000000
N
N
N
N
N
N
UNITI GROUP/CSL CAPITAL
N/A
Uniti Group LP / Uniti Group Finance Inc / CSL Capital LLC
91327BAA8
303000.00000000
PA
USD
282502.05000000
0.037815646101
Long
DBT
US
N
2
2029-02-15
Fixed
6.50000000
N
N
N
N
N
N
State Street Bank and Trust Company
571474TGEMMWANRLN572
PURCHASED USD / SOLD AUD
000000000
1.00000000
NC
-7436.09000000
-0.00099539294
N/A
DFE
US
N
2
State Street Bank and Trust Company
571474TGEMMWANRLN572
319006.00000000
AUD
231563.87000000
USD
2022-06-15
-7436.09000000
N
N
N
East Bay Municipal Utility District Water System Revenue
549300IZZ5HKLDKRTF96
EAST BAY CA MUNI UTILITY DIST WTR SYS REVENUE
271014TU6
1900000.00000000
PA
USD
2456553.70000000
0.328833597304
Long
DBT
MUN
US
N
2
2040-06-01
Fixed
5.87000000
N
N
N
N
N
N
FIVE POINT OP CO LP/FIVE
N/A
Five Point Operating Co LP / Five Point Capital Corp
33834YAA6
150000.00000000
PA
USD
153495.00000000
0.020546798149
Long
DBT
CORP
US
N
2
2025-11-15
Fixed
7.88000000
N
N
N
N
N
N
United States Treasury
254900HROIFWPRGM1V77
United States Treasury Note/Bond
91282CAG6
21300000.00000000
PA
USD
21229277.40000000
2.841745187826
Long
DBT
UST
US
N
2
2022-08-31
Fixed
0.13000000
N
N
N
N
N
N
BROOKFIELD RESID PROPERT
N/A
Brookfield Residential Properties Inc / Brookfield Residential US LLC
11283YAG5
141000.00000000
PA
USD
128029.41000000
0.017137981331
Long
DBT
CORP
CA
N
2
2029-06-15
Fixed
5.00000000
N
N
N
N
N
N
XEROX CORPORATION
4KF48RN45X1OO8UBLY20
Xerox Corp
984121CL5
37000.00000000
PA
USD
32042.00000000
0.004289133237
Long
DBT
CORP
US
N
2
2035-03-01
Fixed
4.80000000
N
N
N
N
N
N
INTERCONTINENTALEXCHANGE
5493000F4ZO33MV32P92
Intercontinental Exchange Inc
45866FAA2
470000.00000000
PA
USD
479086.04000000
0.064130324507
Long
DBT
CORP
US
N
2
2023-10-15
Fixed
4.00000000
N
N
N
N
N
N
AMER AIRLN 15-2 A PASS T
N/A
American Airlines 2015-2 Class A Pass Through Trust
02377BAA4
1073685.73000000
PA
USD
989232.40000000
0.132418374840
Long
DBT
CORP
US
N
2
2027-09-22
Fixed
4.00000000
N
N
N
N
N
N
LAMB WESTON HLD
5493005SMYID1D2OY946
Lamb Weston Holdings Inc
513272AD6
112000.00000000
PA
USD
104589.52000000
0.014000324154
Long
DBT
CORP
US
N
2
2030-01-31
Fixed
4.13000000
N
N
N
N
N
N
ALBERTSONS COS/SAFEWAY
N/A
Albertsons Cos Inc / Safeway Inc / New Albertsons LP / Albertsons LLC
013092AB7
219000.00000000
PA
USD
218258.69000000
0.029216047740
Long
DBT
CORP
US
N
2
2028-02-15
Fixed
5.88000000
N
N
N
N
N
N
CANTOR FITZGERALD & CO
5493004J7H4GCPG6OB62
RRP FNMA 30YR
000000000
-5436869.47000000
PA
USD
-5436869.47000000
-0.72777784010
Short
RA
CORP
US
N
2
Reverse repurchase
N
0.37000000
2022-05-12
5436869.47000000
USD
5437819.41000000
USD
AMBS
N
N
N
Callon Petroleum Co
549300EFOWPEB0WLZW21
Callon Petroleum Co
13123XAZ5
29000.00000000
PA
USD
28836.88000000
0.003860096762
Long
DBT
CORP
US
N
2
2026-07-01
Fixed
6.38000000
N
N
N
N
N
N
BANK OF AMERICA NA
B4TYDEB6GKMZO031MB27
SWAPTION MAR23 2.01 CALL
000000000
-3880000.00000000
NC
USD
-69444.20000000
-0.00929578136
N/A
DIR
US
N
2
BANK OF AMERICA NA
B4TYDEB6GKMZO031MB27
Call
Written
BANK OF AMERICA NA
B4TYDEB6GKMZO031MB27
BANK OF AMERICA NA
B4TYDEB6GKMZO031MB27
IRS Swap
N/A
3880000.00000000
OU
Notional Amount
N/A
-69444.20000000
-0.01000000
DIR
US
N/A
N/A
2033-03-03
0.00000000
N/A
0.00000000
N/A
3880000.00000000
USD
1.00000000
2.01000000
USD
2023-03-01
XXXX
78383.80000000
N
N
N
HSBC SECURITIES (USA) INC
CYYGQCGNHMHPSMRL3R97
RRP FNMA 30YR U
000000000
-963831.13000000
PA
USD
-963831.13000000
-0.12901816787
Short
RA
CORP
US
N
2
Reverse repurchase
N
0.34000000
2022-04-13
963831.13000000
USD
963985.88000000
USD
AMBS
N
N
N
CALPINE CORP
43R4VPJBXTU2O15HEF41
Calpine Corp
131347CQ7
22000.00000000
PA
USD
20020.00000000
0.002679871650
Long
DBT
CORP
US
N
2
2031-02-01
Fixed
5.00000000
N
N
N
N
N
N
Amentum Government Services Holdings LLC
5493008CT6B5L54YSE94
Amentum Government Services Holdings LLC Term Loan B
57776DAB9
41265.00000000
PA
USD
40680.27000000
0.005445449665
Long
LON
CORP
US
N
2
2027-01-29
Floating
3.96000000
N
N
N
N
N
N
ERP Operating LP
DX5HQV5MLU50FEWZ5072
ERP Operating LP
26884ABE2
1155000.00000000
PA
USD
1257467.77000000
0.168324287111
Long
DBT
US
N
2
2045-06-01
Fixed
4.50000000
N
N
N
N
N
N
Whitebox CLO I Ltd
549300C89ZJ5IWOT1F21
Whitebox Clo II Ltd
96466CAU2
500000.00000000
PA
USD
489343.30000000
0.065503358487
Long
ABS-CBDO
CORP
KY
N
2
2034-10-24
Floating
3.61000000
N
N
N
N
N
N
APACHE CORP
72ZZ1XRHOOU9P9X16K08
Apache Corp
037411BF1
153000.00000000
PA
USD
154226.30000000
0.020644689765
Long
DBT
CORP
US
N
2
2030-01-15
Fixed
4.25000000
N
N
N
N
N
N
HSBC Holdings PLC
MLU0ZO3ML4LN2LL2TL39
HSBC Holdings PLC
404280AT6
1750000.00000000
PA
USD
1810672.50000000
0.242376118916
Long
DBT
CORP
GB
N
2
2025-03-30
Fixed
6.38000000
N
N
N
N
N
N
BALL CORP
0BGI85ALH27ZJP15DY16
Ball Corp
058498AX4
254000.00000000
PA
USD
226999.80000000
0.030386130301
Long
DBT
CORP
US
N
2
2031-09-15
Fixed
3.13000000
N
N
N
N
N
N
ROYAL CARIBBEAN CRUISES
K2NEH8QNVW44JIWK7Z55
Royal Caribbean Cruises Ltd
780153BG6
283000.00000000
PA
USD
269786.73000000
0.036113576890
Long
DBT
CORP
LR
N
2
2028-04-01
Fixed
5.50000000
N
N
N
N
N
N
Credit Suisse Mortgage Trust
N/A
CSMC 2020-FACT
126395AL6
900000.00000000
PA
USD
897447.06000000
0.120132014671
Long
ABS-MBS
CORP
US
N
2
2037-10-15
Floating
4.11000000
N
N
N
N
N
N
Banff Merger Sub Inc
5493006T045HLTF7YX04
Banff Merger Sub Inc 2021 USD Term Loan
05988HAE7
244874.89000000
PA
USD
243192.60000000
0.032553694020
Long
LON
CORP
US
N
2
2025-10-02
Floating
4.21000000
N
N
N
N
N
N
WILLIAMS COMPANIES INC
D71FAKCBLFS2O0RBPG08
Williams Cos Inc/The
96949LAB1
750000.00000000
PA
USD
763082.82000000
0.102146054752
Long
DBT
CORP
US
N
2
2025-09-15
Fixed
4.00000000
N
N
N
N
N
N
THETA CAPITAL PTE LTD
2549003I5QVCGQHCYJ52
Theta Capital Pte Ltd
000000000
200000.00000000
PA
USD
201000.00000000
0.026905804281
Long
DBT
CORP
SG
N
2
2025-01-22
Fixed
8.13000000
N
N
N
N
N
N
TALLGRASS NRG PRTNR/FIN
N/A
Tallgrass Energy Partners LP / Tallgrass Energy Finance Corp
87470LAG6
29000.00000000
PA
USD
28888.50000000
0.003867006601
Long
DBT
CORP
US
N
2
2027-03-01
Fixed
6.00000000
N
N
N
N
N
N
VISTRA CORP
549300KP43CPCUJOOG15
Vistra Corp
92840MAC6
162000.00000000
PA
USD
157747.50000000
0.021116036621
Long
DBT
CORP
US
N
2
2026-12-15
Fixed
7.00000000
N
N
N
N
N
N
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
FSWP: OIS 1.800000 15-JAN-2037
000000000
510000.00000000
OU
Notional Amount
USD
-10120.11000000
-0.00135467511
N/A
DIR
US
N
2
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
N/A
N/A
Y
2037-01-15
0.00000000
USD
-9215.70000000
USD
510000.00000000
USD
-904.41000000
N
N
N
CAESARS ENTERTAIN INC
549300FA4CTCW903Y781
Caesars Entertainment Inc
28470RAK8
665000.00000000
PA
USD
712517.58000000
0.095377405742
Long
DBT
CORP
US
N
2
2027-07-01
Fixed
8.13000000
N
N
N
N
N
N
CCO HLDGS LLC/CAP CORP
N/A
CCO Holdings LLC / CCO Holdings Capital Corp
1248EPCP6
625000.00000000
PA
USD
542809.38000000
0.072660313135
Long
DBT
CORP
US
N
2
2034-01-15
Fixed
4.25000000
N
N
N
N
N
N
CONSTELLIUM SE
724500KRJEMC79KAAU28
Constellium SE
21039CAA2
250000.00000000
PA
USD
251052.50000000
0.033605818056
Long
DBT
CORP
FR
N
2
2028-06-15
Fixed
5.63000000
N
N
N
N
N
N
POST HOLDINGS INC
JM1I5YUAURL6DC8N1468
Post Holdings Inc
737446AR5
28000.00000000
PA
USD
24807.72000000
0.003320754522
Long
DBT
CORP
US
N
2
2031-09-15
Fixed
4.50000000
N
N
N
N
N
N
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
FSWP: OIS 1.985000 27-FEB-2025
000000000
2995000.00000000
OU
Notional Amount
USD
40430.50000000
0.005412015522
N/A
DIR
US
N
2
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
N/A
N/A
Y
2025-02-27
0.00000000
USD
-997.35000000
USD
2995000.00000000
USD
41427.85000000
N
N
N
Lendmark Funding Trust
N/A
Lending Funding Trust 2020-2
51507KAC0
240000.00000000
PA
USD
240094.46000000
0.032138977859
Long
ABS-O
CORP
US
N
2
2031-04-21
Fixed
4.30000000
N
N
N
N
N
N
T-MOBILE USA INC
549300V2JRLO5DIFGE82
T-Mobile USA Inc
87264ABT1
240000.00000000
PA
USD
216223.20000000
0.028943577613
Long
DBT
CORP
US
N
2
2031-02-15
Fixed
2.88000000
N
N
N
N
N
N
DOMINICAN REPUBLIC
254900EHU7Q8FGVPI369
Dominican Republic International Bond
25714PEF1
300000.00000000
PA
USD
271837.50000000
0.036388092394
Long
DBT
NUSS
DO
N
2
2032-09-23
Fixed
4.88000000
N
N
N
N
N
N
Trimaran Advisors CAVU 2019-2
N/A
Trimaran CAVU 2019-2 Ltd
89624JAJ6
500000.00000000
PA
USD
497220.75000000
0.066557831761
Long
ABS-CBDO
CORP
KY
N
2
2032-11-26
Floating
4.96000000
N
N
N
N
N
N
LADDER CAP FIN LLLP/CORP
N/A
Ladder Capital Finance Holdings LLLP / Ladder Capital Finance Corp
505742AP1
93000.00000000
PA
USD
87710.63000000
0.011740920617
Long
DBT
US
N
2
2029-06-15
Fixed
4.75000000
N
N
N
N
N
N
MASONITE INTERNATIONAL C
549300H0H07ZFT4JYM32
Masonite International Corp
575385AD1
17000.00000000
PA
USD
17127.50000000
0.002292682402
Long
DBT
CORP
CA
N
2
2028-02-01
Fixed
5.38000000
N
N
N
N
N
N
HAWAIIAN BRAND INTELLECT
N/A
Hawaiian Brand Intellectual Property Ltd / HawaiianMiles Loyalty Ltd
41984LAA5
168000.00000000
PA
USD
168095.76000000
0.022501251836
Long
DBT
CORP
KY
N
2
2026-01-20
Fixed
5.75000000
N
N
N
N
N
N
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
FSWP: OIS 1.827010 15-AUG-2047
000000000
1660000.00000000
OU
Notional Amount
USD
77128.18000000
0.010324356794
N/A
DIR
US
N
2
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
N/A
N/A
Y
2047-08-15
0.00000000
USD
-19.17000000
USD
1660000.00000000
USD
77147.35000000
N
N
N
POWERLONG REAL ESTATE
549300R3K12EPXCGDP22
Powerlong Real Estate Holdings Ltd
000000000
200000.00000000
PA
USD
78000.00000000
0.010441058377
Long
DBT
CORP
KY
N
2
2023-07-23
Fixed
6.95000000
N
N
N
N
N
N
522 Funding CLO Ltd
635400A6LSLGJQHVOZ36
ASSURANT CLO I LTD
33836JAG4
500000.00000000
PA
USD
494841.40000000
0.066239332629
Long
ABS-CBDO
CORP
KY
N
2
2034-10-20
Floating
2.40000000
N
N
N
N
N
N
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
FSWP: OIS 2.072000 19-SEP-2024
000000000
2880000.00000000
OU
Notional Amount
USD
32174.00000000
0.004306802721
N/A
DIR
US
N
2
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
N/A
N/A
Y
2024-09-19
0.00000000
USD
-12.74000000
USD
2880000.00000000
USD
32186.74000000
N
N
N
CITIGROUP INC
6SHGI4ZSSLCXXQSBB395
Citigroup Inc
172967MV0
3160000.00000000
PA
USD
2978300.00000000
0.398674412389
Long
DBT
CORP
US
N
2
2026-02-18
Fixed
3.88000000
N
N
N
N
N
N
Bank of America Corp
9DJT3UXIJIZJI4WXO774
Bank of America Corp
060505EN0
7000.00000000
PA
USD
7301.39000000
0.000977362041
Long
DBT
CORP
US
N
2
2025-03-17
Fixed
6.10000000
N
N
N
N
N
N
Morgan Stanley
IGJSJL3JD5P30I6NJZ34
Morgan Stanley
61762V606
66567.00000000
NS
USD
1740727.05000000
0.233013240368
Long
EP
CORP
US
N
1
N
N
N
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
SWP: OIS 0.806500 01-MAR-2023
000000000
3350000.00000000
OU
Notional Amount
USD
-21537.05000000
-0.00288294354
N/A
DIR
US
N
2
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
N/A
N/A
Y
2023-03-01
0.00000000
USD
-10108.49000000
USD
3350000.00000000
USD
-11428.56000000
N
N
N
UBER TECHNOLOGIES INC
549300B2FTG34FILDR98
Uber Technologies Inc
90353TAJ9
1068000.00000000
PA
USD
955860.00000000
0.127951154627
Long
DBT
CORP
US
N
2
2025-12-15
None
0.00000000
N
N
N
N
Y
Uber Technologies Inc
Uber Technologies Inc
USD
XXXX
N
N
N
AbbVie Inc
FR5LCKFTG8054YNNRU85
AbbVie Inc
00287YAQ2
870000.00000000
PA
USD
881423.34000000
0.117987083954
Long
DBT
CORP
US
N
2
2025-05-14
Fixed
3.60000000
N
N
N
N
N
N
GFL ENVIRONMENTAL INC
549300FYK4MBXWIVZU26
GFL Environmental Inc
36168QAM6
131000.00000000
PA
USD
122988.70000000
0.016463233288
Long
DBT
CORP
CA
N
2
2028-09-01
Fixed
3.50000000
N
N
N
N
N
N
ZI TECH LLC/ZI FIN CORP
N/A
ZoomInfo Technologies LLC/ZoomInfo Finance Corp
98981BAA0
263000.00000000
PA
USD
240388.58000000
0.032178348681
Long
DBT
CORP
US
N
2
2029-02-01
Fixed
3.88000000
N
N
N
N
N
N
Comcast Corp
51M0QTTNCGUN7KFCFZ59
Comcast Corp
20030NCM1
3000000.00000000
PA
USD
3382925.37000000
0.452837452252
Long
DBT
CORP
US
N
2
2048-10-15
Fixed
4.70000000
N
N
N
N
N
N
ROYAL CARIBBEAN CRUISES
K2NEH8QNVW44JIWK7Z55
Royal Caribbean Cruises Ltd
780153AY8
45000.00000000
PA
USD
47883.60000000
0.006409685422
Long
DBT
CORP
LR
N
2
2023-06-01
Fixed
10.88000000
N
N
N
N
N
N
CCO HLDGS LLC/CAP CORP
N/A
CCO Holdings LLC / CCO Holdings Capital Corp
1248EPBX0
189000.00000000
PA
USD
187015.50000000
0.025033842987
Long
DBT
CORP
US
N
2
2028-02-01
Fixed
5.00000000
N
N
N
N
N
N
Frontier Communications Corp.
N/A
Frontier Communications Corp. 2021 DIP Term Loan B
35906EAQ3
196020.00000000
PA
USD
192752.35000000
0.025801776138
Long
LON
CORP
US
N
2
2028-05-01
Floating
4.81000000
N
N
N
N
N
N
METIS MERGER SUB LLC
N/A
Metis Merger Sub LLC
59155LAA0
145000.00000000
PA
USD
136452.25000000
0.018265460359
Long
DBT
CORP
US
N
2
2029-05-15
Fixed
6.50000000
N
N
N
N
N
N
GOL FINANCE SA
5299007RH8MA67ZC6J07
Gol Finance SA
36254VAA6
200000.00000000
PA
USD
163750.00000000
0.021919529607
Long
DBT
CORP
LU
N
2
2025-01-31
Fixed
7.00000000
N
N
N
N
N
N
Onslow Bay Financial LLC
N/A
OBX 2022-INV3 Trust
67116EAA7
774000.00000000
PA
USD
736993.51000000
0.098653746947
Long
ABS-MBS
CORP
US
N
2
2052-02-25
Variable
3.00000000
N
N
N
N
N
N
OCP CLO Ltd
254900M77QLN2EBJHE11
OCP CLO 2017-13 Ltd
67097LAH9
1000000.00000000
PA
USD
991882.40000000
0.132773103105
Long
ABS-CBDO
CORP
KY
N
2
2030-07-15
Floating
1.20000000
N
N
N
N
N
N
KWG GROUP HOLDINGS
549300LK82ZOM9ZE7H90
KWG Group Holdings Ltd
000000000
200000.00000000
PA
USD
76000.00000000
0.010173338932
Long
DBT
CORP
KY
N
2
2024-11-10
Fixed
5.88000000
N
N
N
N
N
N
DYCOM INDUSTRIES INC
549300F56EKTHQI3WT60
Dycom Industries Inc
267475AD3
69000.00000000
PA
USD
65032.50000000
0.008705232422
Long
DBT
CORP
US
N
2
2029-04-15
Fixed
4.50000000
N
N
N
N
N
N
MOLINA HEALTHCARE INC
549300NQQCEQ46YHZ591
Molina Healthcare Inc
60855RAL4
134000.00000000
PA
USD
127427.30000000
0.017057383054
Long
DBT
CORP
US
N
2
2032-05-15
Fixed
3.88000000
N
N
N
N
N
N
Ziggo Bond Co BV
213800JYI4P7V5QDOG59
Ziggo Bond Co BV
98954UAB9
150000.00000000
PA
USD
150937.50000000
0.020204451908
Long
DBT
CORP
NL
N
2
2027-01-15
Fixed
6.00000000
N
N
N
N
N
N
VIVO ENERGY INVESTMENTS
724500P3OXMB2IERLM56
Vivo Energy Investments BV
92856HAB0
200000.00000000
PA
USD
198000.00000000
0.026504225112
Long
DBT
CORP
NL
N
2
2027-09-24
Fixed
5.13000000
N
N
N
N
N
N
PETROLEOS MEXICANOS
549300CAZKPF4HKMPX17
Petroleos Mexicanos
71654QDD1
214000.00000000
PA
USD
186180.00000000
0.024922003189
Long
DBT
CORP
MX
N
2
2050-01-23
Fixed
7.69000000
N
N
N
N
N
N
SLM CORP
4K8SLPBF5DXXGPW03H93
SLM Corp
78442PGE0
117000.00000000
PA
USD
108517.50000000
0.014526122468
Long
DBT
CORP
US
N
2
2026-11-02
Fixed
3.13000000
N
N
N
N
N
N
MSCI INC
549300HTIN2PD78UB763
MSCI Inc
55354GAQ3
124000.00000000
PA
USD
111452.75000000
0.014919034219
Long
DBT
CORP
US
N
2
2033-08-15
Fixed
3.25000000
N
N
N
N
N
N
AVANTOR FUNDING INC
5493003VM0XB4U8YD238
Avantor Funding Inc
05352TAA7
308000.00000000
PA
USD
304612.00000000
0.040775277878
Long
DBT
CORP
US
N
2
2028-07-15
Fixed
4.63000000
N
N
N
N
N
N
SLM Student Loan Trust
549300XEL6YCZ2OF2E98
SLM Private Education Loan Trust 2014-A
78448DAE7
240821.19000000
PA
USD
240989.14000000
0.032258739476
Long
ABS-O
CORP
US
N
2
2044-11-15
Fixed
3.50000000
N
N
N
N
N
N
NEXTERA ENERGY OPERATING
549300KJEC5IUVJWR786
NextEra Energy Operating Partners LP
65342QAC6
3000.00000000
PA
USD
3022.50000000
0.000404591012
Long
DBT
CORP
US
N
2
2024-09-15
Fixed
4.25000000
N
N
N
N
N
N
Citigroup Commercial Mortgage Trust
N/A
Citigroup Commercial Mortgage Trust 2013-GC15
17321JAG9
7183000.00000000
PA
USD
7287364.68000000
0.975484615944
Long
ABS-MBS
CORP
US
N
2
2046-09-10
Variable
5.18000000
N
N
N
N
N
N
Madison Park Funding Ltd
N/A
Madison Park Funding XXXIV Ltd
55819GAU3
250000.00000000
PA
USD
248974.70000000
0.033327684324
Long
ABS-CBDO
CORP
KY
N
2
2032-04-25
Floating
3.61000000
N
N
N
N
N
N
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
FSWP: OIS 2.265000 24-JUN-2032
000000000
1800000.00000000
OU
Notional Amount
USD
17835.45000000
0.002387448392
N/A
DIR
US
N
2
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
N/A
N/A
Y
2032-06-24
29.09000000
USD
0.00000000
USD
1800000.00000000
USD
17806.36000000
N
N
N
Goldman Sachs Bank USA
KD3XUN7C6T14HNAYLU02
10Y RTR 1.710000 24-JUN-2024
000000000
2455000.00000000
NC
USD
83383.04000000
0.011161630619
N/A
DIR
US
N
2
Goldman Sachs Bank USA
KD3XUN7C6T14HNAYLU02
Call
Purchased
Goldman Sachs Bank USA
KD3XUN7C6T14HNAYLU02
GOLDMAN SACHS BANK USA
KD3XUN7C6T14HNAYLU02
IRS Swap
N/A
2455000.00000000
OU
Notional Amount
N/A
83383.04000000
0.01000000
DIR
US
N/A
N/A
2034-06-26
0.00000000
N/A
0.00000000
N/A
2455000.00000000
USD
1.00000000
1.71000000
USD
2024-06-24
XXXX
-15099.32000000
N
N
N
HSBC SECURITIES (USA) INC
CYYGQCGNHMHPSMRL3R97
RRP FNMA 30YR U
000000000
-1177564.40000000
PA
USD
-1177564.40000000
-0.15762844415
Short
RA
CORP
US
N
2
Reverse repurchase
N
0.34000000
2022-04-13
1177564.40000000
USD
1177753.46000000
USD
AMBS
N
N
N
CENTENE CORP
549300Z7JJ4TQSQGT333
Centene Corp
15135BAR2
66000.00000000
PA
USD
66247.50000000
0.008867871985
Long
DBT
CORP
US
N
2
2027-12-15
Fixed
4.25000000
N
N
N
N
N
N
Altice France S.A.
5493001ZMCICV4N02J21
Altice France S.A. 2018 Term Loan B13
000000000
106437.10000000
PA
USD
104353.06000000
0.013968671684
Long
LON
CORP
FR
N
2
2026-08-14
Floating
4.51000000
N
N
N
N
N
N
PT BANK TABUNGAN NEGARA
2549009BLYOGL9ZLAW17
Bank Tabungan Negara Persero Tbk PT
000000000
200000.00000000
PA
USD
193022.00000000
0.025837871412
Long
DBT
CORP
ID
N
2
2025-01-23
Fixed
4.20000000
N
N
N
N
N
N
PRESTIGE BRANDS INC
549300JBVP4J6D42I235
Prestige Brands Inc
74112BAM7
101000.00000000
PA
USD
90142.50000000
0.012066450061
Long
DBT
CORP
US
N
2
2031-04-01
Fixed
3.75000000
N
N
N
N
N
N
BARCLAYS BANK PLC
G5GSEF7VJP5I7OUK5573
2Y RTP 1.750000 12-JAN-2023
000000000
-20035000.00000000
NC
USD
-430229.99000000
-0.05759046719
N/A
DIR
US
N
2
BARCLAYS BANK PLC
G5GSEF7VJP5I7OUK5573
Put
Written
Barclays Capital, Inc.
G5GSEF7VJP5I7OUK5573
Barclays Capital, Inc.
G5GSEF7VJP5I7OUK5573
IRS Swap
N/A
20035000.00000000
OU
Notional Amount
N/A
-430229.99000000
-0.06000000
DIR
US
N/A
N/A
2025-01-12
0.00000000
N/A
0.00000000
N/A
20035000.00000000
USD
1.00000000
1.75000000
USD
2023-01-12
XXXX
-349488.94000000
N
N
N
ILIAD HOLDING SAS
9695009PXA7OI9NXN582
Iliad Holding SASU
449691AA2
329000.00000000
PA
USD
329888.30000000
0.044158756390
Long
DBT
CORP
FR
N
2
2026-10-15
Fixed
6.50000000
N
N
N
N
N
N
Goldman Sachs Bank USA
KD3XUN7C6T14HNAYLU02
10Y RTP 1.022500 04-JUN-2025
000000000
840000.00000000
NC
USD
90789.92000000
0.012153113523
N/A
DIR
US
N
2
Goldman Sachs Bank USA
KD3XUN7C6T14HNAYLU02
Put
Purchased
Goldman Sachs Bank USA
KD3XUN7C6T14HNAYLU02
GOLDMAN SACHS BANK USA
KD3XUN7C6T14HNAYLU02
IRS Swap
N/A
840000.00000000
OU
Notional Amount
N/A
90789.92000000
0.01000000
DIR
US
N/A
N/A
2035-06-06
0.00000000
N/A
0.00000000
N/A
840000.00000000
USD
1.00000000
1.02250000
USD
2025-06-04
XXXX
8667.90000000
N
N
N
AXALTA COATING SYSTEMS
549300G80QONCHILSF69
Axalta Coating Systems LLC
05453GAC9
498000.00000000
PA
USD
437841.60000000
0.058609355202
Long
DBT
CORP
US
N
2
2029-02-15
Fixed
3.38000000
N
N
N
N
N
N
Easy Tactic Ltd
549300WYFMC41MKE6E16
Easy Tactic Ltd
000000000
200000.00000000
PA
USD
42000.00000000
0.005622108357
Long
DBT
CORP
VG
N
2
2024-02-27
Fixed
8.63000000
N
N
N
N
N
N
AIR CANADA
4B4HI3CGXMBDC0G6BM51
Air Canada
008911BK4
255000.00000000
PA
USD
240656.25000000
0.032214178913
Long
DBT
CORP
CA
N
2
2026-08-15
Fixed
3.88000000
N
N
N
N
N
N
OZLM Ltd
N/A
OZLM VIII Ltd
67107FBJ5
875000.00000000
PA
USD
852363.14000000
0.114097093638
Long
ABS-CBDO
CORP
KY
N
2
2029-10-17
Floating
3.39000000
N
N
N
N
N
N
HSBC HOLDINGS PLC
MLU0ZO3ML4LN2LL2TL39
HSBC Holdings PLC
404280CQ0
275000.00000000
PA
USD
246468.75000000
0.032992238551
Long
DBT
CORP
GB
N
2
2031-03-09
Fixed
4.70000000
N
N
N
N
N
N
SUNAC CHINA HOLDINGS LTD
549300OLARYHDXP3WK18
Sunac China Holdings Ltd
000000000
360000.00000000
PA
USD
88200.00000000
0.011806427550
Long
DBT
CORP
KY
N
2
2024-08-03
Fixed
6.65000000
N
N
N
N
N
N
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
SWP: OIS 1.408000 08-MAR-2024
000000000
490000.00000000
OU
Notional Amount
USD
3386.00000000
0.000453249021
N/A
DIR
US
N
2
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
N/A
N/A
Y
2024-03-08
0.00000000
USD
-1969.44000000
USD
490000.00000000
USD
5355.44000000
N
N
N
Carval CLO LTD
N/A
CarVal CLO III Ltd
14686VAA1
500000.00000000
PA
USD
475405.80000000
0.063637688601
Long
ABS-CBDO
CORP
KY
N
2
2032-07-20
Floating
6.69000000
N
N
N
N
N
N
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
FSWP: OIS 1.960000 18-AUG-2032
000000000
1040000.00000000
OU
Notional Amount
USD
30537.55000000
0.004087747977
N/A
DIR
US
N
2
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
N/A
N/A
Y
2032-08-18
5517.86000000
USD
0.00000000
USD
1040000.00000000
USD
25019.69000000
N
N
N
GOLDMAN SACHS BANK USA
KD3XUN7C6T14HNAYLU02
SWAPTION DEC22 1.245 PUT
000000000
-2560000.00000000
NC
USD
-281778.00000000
-0.03771872496
N/A
DIR
US
N
2
GOLDMAN SACHS BANK USA
KD3XUN7C6T14HNAYLU02
Put
Written
GOLDMAN SACHS BANK USA
KD3XUN7C6T14HNAYLU02
GOLDMAN SACHS BANK USA
KD3XUN7C6T14HNAYLU02
IRS Swap
N/A
2560000.00000000
OU
Notional Amount
N/A
-281778.00000000
-0.04000000
DIR
US
N/A
N/A
2032-12-20
0.00000000
N/A
0.00000000
N/A
2560000.00000000
USD
1.00000000
1.24500000
USD
2022-12-16
XXXX
-198066.00000000
N
N
N
TRIVIUM PACKAGING FIN
724500GMZWW3PVYET548
Trivium Packaging Finance BV
89686QAB2
738000.00000000
PA
USD
734309.99000000
0.098294531704
Long
DBT
CORP
NL
N
2
2027-08-15
Fixed
8.50000000
N
N
N
N
N
N
KeySpan Gas East Corp
K8TS3HOE1568DUBUJL44
KeySpan Gas East Corp
49338CAA1
1010000.00000000
PA
USD
1161022.05000000
0.155414089767
Long
DBT
CORP
US
N
2
2041-04-01
Fixed
5.82000000
N
N
N
N
N
N
SPECIALTY BUILDING PRODU
N/A
Specialty Building Products Holdings LLC / SBP Finance Corp
84749AAA5
157000.00000000
PA
USD
159637.60000000
0.021369044883
Long
DBT
CORP
US
N
2
2026-09-30
Fixed
6.38000000
N
N
N
N
N
N
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
FSWP: OIS 1.996500 19-SEP-2027
000000000
1188000.00000000
OU
Notional Amount
USD
-19094.80000000
-0.00255602463
N/A
DIR
US
N
2
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
N/A
N/A
Y
2027-09-20
10.95000000
USD
0.00000000
USD
1188000.00000000
USD
-19105.75000000
N
N
N
OCCIDENTAL PETROLEUM COR
IM7X0T3ECJW4C1T7ON55
Occidental Petroleum Corp
674599ED3
358000.00000000
PA
USD
410805.00000000
0.054990243421
Long
DBT
CORP
US
N
2
2030-09-01
Fixed
6.63000000
N
N
N
N
N
N
Enbridge Inc
98TPTUM4IVMFCZBCUR27
Enbridge Inc
29250NAW5
1935000.00000000
PA
USD
2003075.95000000
0.268131191397
Long
DBT
CORP
CA
N
2
2078-03-01
Fixed
6.25000000
N
N
N
N
N
N
EG GLOBAL FINANCE PLC
549300TL8Q5207VYET27
eG Global Finance PLC
28228PAB7
200000.00000000
PA
USD
204750.00000000
0.027407778241
Long
DBT
CORP
GB
N
2
2025-10-30
Fixed
8.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140MBSW3
634627.51000000
PA
USD
610124.87000000
0.081671145966
Long
ABS-MBS
USGSE
US
N
2
2051-12-01
Fixed
2.50000000
N
N
N
N
N
N
BOYD GAMING CORP
254900787YGRYS2A1Z35
Boyd Gaming Corp
103304BU4
121000.00000000
PA
USD
120395.00000000
0.016116041325
Long
DBT
CORP
US
N
2
2027-12-01
Fixed
4.75000000
N
N
N
N
N
N
AbbVie Inc
FR5LCKFTG8054YNNRU85
AbbVie Inc
00287YAW9
2095000.00000000
PA
USD
2226113.23000000
0.297986899870
Long
DBT
CORP
US
N
2
2046-05-14
Fixed
4.45000000
N
N
N
N
N
N
BNP PARIBAS
R0MUWSFPU8MPRO8K5P83
BRY03VJ50 RRP FNMA
000000000
-2280000.00000000
PA
USD
-2280000.00000000
-0.30520016796
Short
RA
CORP
US
N
2
Reverse repurchase
N
0.08000000
2049-12-31
2280000.00000000
USD
2280081.07000000
USD
AMBS
N
N
N
GOLD FIELDS OROGEN HOLD
213800CLGJ2E9KGU2F20
Gold Fields Orogen Holdings BVI Ltd
38060AAB0
200000.00000000
PA
USD
203600.00000000
0.027253839560
Long
DBT
CORP
VG
N
2
2024-05-15
Fixed
5.13000000
N
N
N
N
N
N
NOMURA SECURITIES INTERNATIONAL INC
OXTKY6Q8X53C9ILVV871
RRP TREASURY BO
000000000
-2300000.00000000
PA
USD
-2300000.00000000
-0.30787736242
Short
RA
CORP
US
N
2
Reverse repurchase
N
0.32000000
2049-12-31
2000000.00000000
USD
2075156.24000000
USD
UST
N
N
N
HARVEST MIDSTREAM I LP
549300DW5M17KJOXCY66
Harvest Midstream I LP
417558AA1
40000.00000000
PA
USD
40855.20000000
0.005468865746
Long
DBT
CORP
US
N
2
2028-09-01
Fixed
7.50000000
N
N
N
N
N
N
UNITED AIR 2020-1 B PTT
N/A
United Airlines 2020-1 Class B Pass Through Trust
90932VAA3
30240.00000000
PA
USD
29845.27000000
0.003995079568
Long
DBT
CORP
US
N
2
2026-01-15
Fixed
4.88000000
N
N
N
N
N
N
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
SWP: OIS 0.190000 14-DEC-2023
000000000
14430000.00000000
OU
Notional Amount
USD
-473238.74000000
-0.06334760655
N/A
DIR
US
N
2
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
N/A
N/A
Y
2023-12-14
0.00000000
USD
-333492.37000000
USD
14430000.00000000
USD
-139746.37000000
N
N
N
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
FSWP: OIS 1.893500 13-SEP-2024
000000000
5820000.00000000
OU
Notional Amount
USD
84406.76000000
0.011298665495
N/A
DIR
US
N
2
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
N/A
N/A
Y
2024-09-13
0.00000000
USD
-11.20000000
USD
5820000.00000000
USD
84417.96000000
N
N
N
STUDIO CITY FINANCE LTD
254900D6R731QAUIG324
Studio City Finance Ltd
000000000
300000.00000000
PA
USD
271500.00000000
0.036342914737
Long
DBT
CORP
VG
N
2
2025-07-15
Fixed
6.00000000
N
N
N
N
N
N
IMPULSORA PIPELINE
N/A
IMPULSORA PIPELINE
000000000
1658275.91000000
PA
USD
1455369.35000000
0.194815337750
Long
DBT
CORP
US
N
3
2042-12-31
Fixed
6.05000000
N
N
N
N
N
N
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
SWP: OIS 1.553000 08-MAR-2032
000000000
615000.00000000
OU
Notional Amount
USD
-30446.96000000
-0.00407562162
N/A
DIR
US
N
2
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
N/A
N/A
Y
2032-03-08
0.00000000
USD
-15932.40000000
USD
615000.00000000
USD
-14514.56000000
N
N
N
ADAPTHEALTH LLC
N/A
AdaptHealth LLC
00653VAE1
34000.00000000
PA
USD
31577.50000000
0.004226955396
Long
DBT
CORP
US
N
2
2030-03-01
Fixed
5.13000000
N
N
N
N
N
N
BANCO MERCANTIL DE NORTE
549300QTVYRPFHS0J362
Banco Mercantil del Norte SA/Grand Cayman
05971PAA6
200000.00000000
PA
USD
194850.00000000
0.026082566985
Long
DBT
CORP
MX
N
2
2024-09-27
Fixed
6.75000000
N
N
N
N
N
N
CIFC Funding Ltd
N/A
CIFC Funding 2020-I Ltd
12555QAW6
500000.00000000
PA
USD
489648.40000000
0.065544199089
Long
ABS-CBDO
CORP
KY
N
2
2036-07-15
Floating
3.34000000
N
N
N
N
N
N
SCRIPPS ESCROW II INC
N/A
Scripps Escrow II Inc
81105DAA3
11000.00000000
PA
USD
10221.75000000
0.001368280621
Long
DBT
CORP
US
N
2
2029-01-15
Fixed
3.88000000
N
N
N
N
N
N
CREDIT SUISSE INTERNATIONAL
E58DKGMJYYYJLN8C3868
SCDS: (TTMTIN)
000000000
4934.00000000
OU
Notional Amount
-60.53000000
-0.00000810252
N/A
DCR
XX
N
2
CREDIT SUISSE INTERNATIONAL
E58DKGMJYYYJLN8C3868
JAGUAR LAND ROVER AUTOMO
JAGUAR LAND ROVER AUTOMO
Y
sell protection
2026-12-22
190.93000000
EUR
0.00000000
EUR
4934.00000000
EUR
-275.11000000
N
N
N
COMMERCIAL METALS CO
549300OQS2LO07ZJ7N73
Commercial Metals Co
201723AR4
51000.00000000
PA
USD
47366.25000000
0.006340433094
Long
DBT
CORP
US
N
2
2032-03-15
Fixed
4.38000000
N
N
N
N
N
N
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
SWP: OIS 1.765500 11-MAR-2032
000000000
302000.00000000
OU
Notional Amount
USD
9197.70000000
0.001231201572
N/A
DIR
US
N
2
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
N/A
N/A
Y
2032-03-11
0.00000000
USD
-1.85000000
USD
302000.00000000
USD
9199.55000000
N
N
N
Ford Motor Credit Co LLC
UDSQCVRUX5BONN0VY111
Ford Motor Credit Co LLC
345397YT4
200000.00000000
PA
USD
189500.00000000
0.025366417468
Long
DBT
CORP
US
N
2
2027-11-02
Fixed
3.82000000
N
N
N
N
N
N
PERIAMA HOLDINGS LLC/DE
254900NINXO00BLT2Z47
Periama Holdings LLC/DE
000000000
400000.00000000
PA
USD
405800.00000000
0.054320275508
Long
DBT
CORP
US
N
2
2026-04-19
Fixed
5.95000000
N
N
N
N
N
N
United States Treasury
254900HROIFWPRGM1V77
United States Treasury Note/Bond
912810SW9
4000000.00000000
PA
USD
3561718.76000000
0.476770685874
Long
DBT
UST
US
N
2
2041-02-15
Fixed
1.88000000
N
N
N
N
N
N
Shackleton CLO LTD
549300NCJRO2LKFZ8G86
Shackleton 2015-VII-R CLO Ltd
81883AAE9
250000.00000000
PA
USD
246563.98000000
0.033004986013
Long
ABS-CBDO
CORP
KY
N
2
2031-07-15
Floating
2.59000000
N
N
N
N
N
N
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
FSWP: USD 1.111000 16-MAY-2024
000000000
4740000.00000000
OU
Notional Amount
USD
-34973.21000000
-0.00468150419
N/A
DIR
US
N
2
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
N/A
N/A
Y
2024-05-16
0.00000000
USD
-88413.45000000
USD
4740000.00000000
USD
53440.24000000
N
N
N
TEVA PHARMACEUTICALS NE
5493004T21MOAFINJP35
Teva Pharmaceutical Finance Netherlands III BV
88167AAN1
200000.00000000
PA
USD
209139.98000000
0.027995419747
Long
DBT
CORP
NL
N
2
2025-01-31
Fixed
7.13000000
N
N
N
N
N
N
IAA Inc
549300PZCOPC5178W747
IAA Inc
449253AB9
12000.00000000
PA
USD
12030.00000000
0.001610332465
Long
DBT
CORP
US
N
2
2027-06-15
Fixed
5.50000000
N
N
N
N
N
N
TEMPO ACQUISITION LLC/FI
N/A
Tempo Acquisition LLC / Tempo Acquisition Finance Corp
88023JAD8
168000.00000000
PA
USD
169470.00000000
0.022685207221
Long
DBT
CORP
US
N
2
2025-06-01
Fixed
5.75000000
N
N
N
N
N
N
KAIXO BONDCO TELECOM SA
959800ULWB3MZHZ69055
Kaixo Bondco Telecom SA
000000000
100000.00000000
PA
103574.85000000
0.013864500709
Long
DBT
CORP
ES
N
2
2029-09-30
Fixed
5.13000000
N
N
N
N
N
N
Illuminate Buyer, LLC
549300K1Y0YC1YC1H809
Illuminate Buyer, LLC 2021 Term Loan
45232UAE8
0.51000000
PA
USD
0.49000000
0.000000065591
Long
LON
CORP
US
N
2
2027-06-30
None
0.00000000
N
N
N
N
N
N
Bausch Health Cos Inc
B3BS7ACMDUWISF18KY76
Bausch Health Cos Inc
071734AD9
5000.00000000
PA
USD
4476.40000000
0.000599209663
Long
DBT
CORP
CA
N
2
2028-01-15
Fixed
7.00000000
N
N
N
N
N
N
Brand Energy & Infrastructure Services, Inc.
549300B658W2BPDQMW42
Brand Energy & Infrastructure Services, Inc. 2017 Term Loan
10524MAN7
1340575.55000000
PA
USD
1276710.53000000
0.170900117630
Long
LON
CORP
US
N
2
2024-06-21
Floating
5.26000000
N
N
N
N
N
N
AT&T Inc
549300Z40J86GGSTL398
AT&T Inc
00206RCQ3
2710000.00000000
PA
USD
2943284.39000000
0.393987232541
Long
DBT
CORP
US
N
2
2046-05-15
Fixed
4.75000000
N
N
N
N
N
N
HSBC SECURITIES (USA) INC
CYYGQCGNHMHPSMRL3R97
RRP FNMA 30YR U
000000000
-658104.30000000
PA
USD
-658104.30000000
-0.08809365916
Short
RA
CORP
US
N
2
Reverse repurchase
N
0.34000000
2022-04-13
658104.30000000
USD
658209.96000000
USD
AMBS
N
N
N
ARD FINANCE SA
6354006P6QPGGPVJW880
ARD Finance SA
00191AAD8
301000.00000000
PA
USD
275226.88000000
0.036841793861
Long
DBT
CORP
LU
N
2
2027-06-30
Fixed
6.50000000
N
N
Y
N
N
N
NOMURA SECURITIES INTERNATIONAL INC
OXTKY6Q8X53C9ILVV871
BRY0JT0Y5 RRP TREASURY BO
000000000
-13388125.00000000
PA
USD
-13388125.00000000
-1.79213070119
Short
RA
CORP
US
N
2
Reverse repurchase
N
0.32000000
2049-12-31
13388125.00000000
USD
13388749.78000000
USD
UST
N
N
N
Madison Park Funding Ltd
254900B0583OW8RQ8N33
Madison Park Funding XXV Ltd
55820RAL6
250000.00000000
PA
USD
248469.00000000
0.033259991462
Long
ABS-CBDO
CORP
KY
N
2
2029-04-25
Floating
1.91000000
N
N
N
N
N
N
FANTASIA HOLDINGS GROUP
5493005JQNLB3I01JW62
Fantasia Holdings Group Co Ltd
000000000
300000.00000000
PA
USD
42993.75000000
0.005755131456
Long
DBT
CORP
KY
N
2
2023-07-28
Fixed
9.25000000
Y
Y
N
N
N
N
HILTON WORLDWIDE FIN LLC
549300406TN7EY0NPH20
Hilton Worldwide Finance LLC / Hilton Worldwide Finance Corp
432891AK5
44000.00000000
PA
USD
44296.78000000
0.005929554691
Long
DBT
CORP
US
N
2
2027-04-01
Fixed
4.88000000
N
N
N
N
N
N
JPMorgan Chase & Co
8I5DZWZKVSZI1NUHU748
JPMorgan Chase & Co
46625HHA1
3581000.00000000
PA
USD
3581000.00000000
0.479351667316
Long
DBT
CORP
US
N
2
2022-07-30
Variable
3.77000000
N
N
N
N
N
N
ALEXANDRIA REAL ESTATE E
MGCJBT4MKTQBVLNUIS88
Alexandria Real Estate Equities Inc
015271AS8
550000.00000000
PA
USD
542575.01000000
0.072628940432
Long
DBT
US
N
2
2050-02-01
Fixed
4.00000000
N
N
N
N
N
N
ALTICE FINANCING SA
549300DIYGW8HVDF7Q17
Altice Financing SA
02154CAF0
239000.00000000
PA
USD
214227.65000000
0.028676453843
Long
DBT
CORP
LU
N
2
2028-01-15
Fixed
5.00000000
N
N
N
N
N
N
CHARLES SCHWAB CORP
549300VSGCJ7E698NM85
Charles Schwab Corp/The
808513BJ3
5195000.00000000
PA
USD
4665733.40000000
0.624553779542
Long
DBT
CORP
US
N
2
2030-12-01
Fixed
4.00000000
N
N
N
N
N
N
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
FSWP: USD 0.797210 14-APR-2024
000000000
8530000.00000000
OU
Notional Amount
USD
-110702.85000000
-0.01481865281
N/A
DIR
US
N
2
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
N/A
N/A
Y
2024-04-15
0.00000000
USD
-202267.51000000
USD
8530000.00000000
USD
91564.66000000
N
N
N
Camelot U.S. Acquisition 1 Co.
549300U6VBJHQP2SFL81
Camelot U.S. Acquisition 1 Co. 2020 Incremental Term Loan B
000000000
79000.00000000
PA
USD
78161.02000000
0.010462612470
Long
LON
CORP
US
N
2
2026-10-30
Floating
4.00000000
N
N
N
N
N
N
State Street Bank & Trust Co.
B4TYDEB6GKMZO031MB27
PURCHASED USD / SOLD GBP
000000000
1.00000000
NC
-9392.57000000
-0.00125728681
N/A
DFE
US
N
2
State Street Bank & Trust Co.
B4TYDEB6GKMZO031MB27
1060000.00000000
GBP
1382672.48000000
USD
2022-06-15
-9392.57000000
N
N
N
Halliburton Co
ENYF8GB5SMQZ25S06U51
Halliburton Co
406216BK6
500000.00000000
PA
USD
542139.37000000
0.072570625782
Long
DBT
CORP
US
N
2
2045-11-15
Fixed
5.00000000
N
N
N
N
N
N
COLT Funding LLC
N/A
COLT 2020-2 Mortgage Loan Trust
19688JAD9
3050000.00000000
PA
USD
3054400.85000000
0.408861251074
Long
ABS-MBS
CORP
US
N
2
2065-03-25
Variable
5.25000000
N
N
N
N
N
N
DCP MIDSTREAM OPERATING
549300Y6CTBSE0QIPL28
DCP Midstream Operating LP
26439XAH6
148000.00000000
PA
USD
170533.00000000
0.022827500106
Long
DBT
CORP
US
N
2
2036-11-03
Fixed
6.45000000
N
N
N
N
N
N
RBC CAPITAL MARKETS LLC
549300LCO2FLSSVFFR64
BRY0468C1 RRP CHARTER COM
000000000
-3912750.00000000
PA
USD
-3912750.00000000
-0.52375963035
Short
RA
CORP
US
N
2
Reverse repurchase
N
0.67000000
2049-12-31
3912750.00000000
USD
3913833.61000000
USD
CDS
N
N
N
Sabre GLBL Inc.
F2TJC7HPPHLHU1AQMP98
Sabre GLBL Inc. 2021 Term Loan B1
78571YBG4
67695.44000000
PA
USD
66849.25000000
0.008948422073
Long
LON
CORP
US
N
2
2027-12-17
Floating
4.00000000
N
N
N
N
N
N
Aptiv PLC
N/A
Aptiv PLC
03835VAF3
465000.00000000
PA
USD
450640.25000000
0.060322578943
Long
DBT
CORP
JE
N
2
2046-10-01
Fixed
4.40000000
N
N
N
N
N
N
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
SWP: OIS 1.238000 07-DEC-2031
000000000
1780000.00000000
OU
Notional Amount
USD
-130456.95000000
-0.01746293116
N/A
DIR
US
N
2
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
N/A
N/A
Y
2031-12-08
0.00000000
USD
-94437.16000000
USD
1780000.00000000
USD
-36019.79000000
N
N
N
CQP HOLDCO LP/BIP-V CHIN
N/A
CQP Holdco LP / BIP-V Chinook Holdco LLC
12657NAA8
750000.00000000
PA
USD
736800.00000000
0.098627843752
Long
DBT
CORP
US
N
2
2031-06-15
Fixed
5.50000000
N
N
N
N
N
N
CORVIAS CAMPUS USG L CORP BOND 5.3 7/1/50
N/A
CORVIAS CAMPUS USG L CORP BOND 5.3 7/1/50
000000000
5619541.08000000
PA
USD
3594383.51000000
0.481143180254
Long
DBT
CORP
US
N
3
2050-07-01
Fixed
5.30000000
N
N
N
N
N
N
Sotheby's
549300P5BAAMQQ7VL735
Sotheby's 2021 Term Loan B
08883CAE8
113093.02000000
PA
USD
112951.65000000
0.015119676557
Long
LON
CORP
US
N
2
2027-01-15
Floating
5.00000000
N
N
N
N
N
N
Chicago Board of Trade
549300EX04Q2QBFQTQ27
US 10YR ULTRA FUT JUN22
000000000
453.00000000
NC
USD
-1677658.35000000
-0.22457088166
N/A
DIR
US
N
1
Chicago Board of Trade
549300EX04Q2QBFQTQ27
Long
Ultra 10-Year US Treasury Note Futures
UXYM2 COMDTY
2022-06-21
63030845.85000000
USD
-1677658.35000000
N
N
N
VOLKSWAGEN INTL FIN NV
5299004PWNHKYTR23649
Volkswagen International Finance NV
000000000
100000.00000000
PA
110166.55000000
0.014746863843
Long
DBT
CORP
NL
N
2
2031-03-28
Fixed
4.38000000
N
N
N
N
N
N
PUMA INTERNATIONAL FINAN
222100YFBPO7IDRUBR17
Puma International Financing SA
000000000
200000.00000000
PA
USD
190000.00000000
0.025433347330
Long
DBT
CORP
LU
N
2
2024-10-06
Fixed
5.13000000
N
N
N
N
N
N
HCA Inc
L3CJ6J7LJ2DX62FTXD46
HCA Inc
404119BW8
126000.00000000
PA
USD
137743.20000000
0.018438266568
Long
DBT
CORP
US
N
2
2029-02-01
Fixed
5.88000000
N
N
N
N
N
N
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
FSWP: OIS 1.615000 07-SEP-2027
000000000
1215000.00000000
OU
Notional Amount
USD
12914.43000000
0.001728722019
N/A
DIR
US
N
2
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
N/A
N/A
Y
2027-09-07
0.00000000
USD
-14127.69000000
USD
1215000.00000000
USD
27042.12000000
N
N
N
DEUTSCHE LUFTHANSA AG
529900PH63HYJ86ASW55
Deutsche Lufthansa AG
000000000
100000.00000000
PA
102724.14000000
0.013750624904
Long
DBT
CORP
DE
N
2
2027-05-16
Fixed
2.88000000
N
N
N
N
N
N
Romark CLO Ltd
N/A
Romark CLO Ltd
77587UAE2
500000.00000000
PA
USD
494930.50000000
0.066251259531
Long
ABS-CBDO
CORP
KY
N
2
2030-10-23
Floating
2.41000000
N
N
N
N
N
N
Barclays Bank PLC
G5GSEF7VJP5I7OUK5573
10Y RTP 2.050000 08-AUG-2022
000000000
-1580000.00000000
NC
USD
-45639.11000000
-0.00610923861
N/A
DIR
LU
N
2
Barclays Bank PLC
G5GSEF7VJP5I7OUK5573
Put
Written
Barclays Capital, Inc.
G5GSEF7VJP5I7OUK5573
Barclays Capital, Inc.
G5GSEF7VJP5I7OUK5573
IRS Swap
N/A
1580000.00000000
OU
Notional Amount
N/A
-45639.11000000
-0.01000000
DIR
LU
N/A
N/A
2032-08-10
0.00000000
N/A
0.00000000
N/A
1580000.00000000
USD
1.00000000
2.05000000
USD
2022-08-08
XXXX
-26521.11000000
N
N
N
Bank of America Corp
9DJT3UXIJIZJI4WXO774
Bank of America Corp
060505EH3
1050000.00000000
PA
USD
1085385.05000000
0.145289341914
Long
DBT
CORP
US
N
2
2024-09-05
Fixed
6.25000000
N
N
N
N
N
N
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
SWP: OIS 0.240000 21-JAN-2024
000000000
10190000.00000000
OU
Notional Amount
USD
-353535.21000000
-0.04732412520
N/A
DIR
US
N
2
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
N/A
N/A
Y
2024-01-22
0.00000000
USD
-246702.90000000
USD
10190000.00000000
USD
-106832.31000000
N
N
N
HSBC SECURITIES (USA) INC
CYYGQCGNHMHPSMRL3R97
RRP FNMA 40YR R
000000000
-3849921.45000000
PA
USD
-3849921.45000000
-0.51534941806
Short
RA
CORP
US
N
2
Reverse repurchase
N
0.34000000
2022-04-13
3849921.45000000
USD
3850539.58000000
USD
AMBS
N
N
N
CARNIVAL CORP
F1OF2ZSX47CR0BCWA982
Carnival Corp
143658BG6
605000.00000000
PA
USD
672705.55000000
0.090048178443
Long
DBT
CORP
PA
N
2
2026-02-01
Fixed
10.50000000
N
N
N
N
N
N
CRESTWOOD MID PARTNER LP
N/A
Crestwood Midstream Partners LP / Crestwood Midstream Finance Corp
226373AR9
19000.00000000
PA
USD
18928.75000000
0.002533797227
Long
DBT
CORP
US
N
2
2029-02-01
Fixed
6.00000000
N
N
N
N
N
N
REPUBLIC OF PARAGUAY
529900UXKJTJPCU0HK83
Paraguay Government International Bond
699149AJ9
200000.00000000
PA
USD
209412.50000000
0.028031899199
Long
DBT
NUSS
PY
N
2
2031-04-28
Fixed
4.95000000
N
N
N
N
N
N
Fairstone Financial Issuance Trust I
549300LY2ZF7LX6T3F37
Fairstone Financial Issuance Trust I
30575PAS5
170000.00000000
PA
134349.20000000
0.017983946669
Long
ABS-O
CORP
CA
N
2
2039-10-20
Fixed
5.16000000
N
N
N
N
N
N
Generate CLO Ltd.
N/A
Generate CLO 4 Ltd
986252AY0
1500000.00000000
PA
USD
1460371.20000000
0.195484884004
Long
ABS-CBDO
CORP
KY
N
2
2032-04-20
Floating
3.40000000
N
N
N
N
N
N
TRANSDIGM INC
88Q84GB3X55CF5OC7582
TransDigm Inc
893647BQ9
203000.00000000
PA
USD
190265.81000000
0.025468928583
Long
DBT
CORP
US
N
2
2029-05-01
Fixed
4.88000000
N
N
N
N
N
N
APACHE CORP
72ZZ1XRHOOU9P9X16K08
Apache Corp
037411BG9
86000.00000000
PA
USD
82775.00000000
0.011080238554
Long
DBT
CORP
US
N
2
2049-07-01
Fixed
5.35000000
N
N
N
N
N
N
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
FSWP: USD 1.350000 08-JUL-2027
000000000
6540000.00000000
OU
Notional Amount
USD
-383017.84000000
-0.05127066188
N/A
DIR
US
N
2
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
N/A
N/A
Y
2027-07-08
0.00000000
USD
-235340.32000000
USD
6540000.00000000
USD
-147677.52000000
N
N
N
KAISA GROUP HOLDINGS LTD
254900N8L3L7NRJT0120
Kaisa Group Holdings Ltd
G52132BW9
200000.00000000
PA
USD
39000.00000000
0.005220529188
Long
DBT
CORP
KY
N
2
2022-10-22
Fixed
11.95000000
Y
Y
N
N
N
N
NCR CORP
549300YKTY8JX1DV2R67
NCR Corp
62886EBA5
91000.00000000
PA
USD
87481.94000000
0.011710308237
Long
DBT
CORP
US
N
2
2029-04-15
Fixed
5.13000000
N
N
N
N
N
N
Chicago Board of Trade
549300EX04Q2QBFQTQ27
US LONG BOND(CBT) JUN22
000000000
-66.00000000
NC
USD
379737.00000000
0.050831489553
N/A
DIR
US
N
1
Chicago Board of Trade
549300EX04Q2QBFQTQ27
Short
CBOT US Long Bond Future
USM2 COMDTY
2022-06-21
-10290049.50000000
USD
379737.00000000
N
N
N
WOLVERINE WORLD WIDE
549300OVC7PK14LQ8D87
Wolverine World Wide Inc
978097AG8
69000.00000000
PA
USD
61237.50000000
0.008197234774
Long
DBT
CORP
US
N
2
2029-08-15
Fixed
4.00000000
N
N
N
N
N
N
NORTHERN OIL AND GAS INC
OKFF0PIZDDMNH4UCYE51
Northern Oil and Gas Inc
665531AG4
495000.00000000
PA
USD
515700.90000000
0.069031579517
Long
DBT
CORP
US
N
2
2028-03-01
Fixed
8.13000000
N
N
N
N
N
N
Chamberlain Group Inc
25490092IFNOZBRVE539
Chamberlain Group Inc Term Loan B
15963CAC0
249375.00000000
PA
USD
246050.83000000
0.032936295896
Long
LON
CORP
US
N
2
2028-11-03
Floating
4.51000000
N
N
N
N
N
N
Starwood Residential Mortgage Trust
N/A
STAR 2021-1 Trust
85573GAD4
2050000.00000000
PA
USD
1970926.38000000
0.263827658869
Long
ABS-MBS
CORP
US
N
2
2065-05-25
Variable
2.36000000
N
N
N
N
N
N
Canyon Capital CLO Ltd
N/A
Canyon Capital CLO 2021-2 Ltd
13876XAN1
500000.00000000
PA
USD
499994.65000000
0.066929145246
Long
ABS-CBDO
CORP
KY
N
2
2034-04-15
Floating
3.59000000
N
N
N
N
N
N
Ball Corp
0BGI85ALH27ZJP15DY16
Ball Corp
058498AT3
12000.00000000
PA
USD
12714.00000000
0.001701892515
Long
DBT
CORP
US
N
2
2025-07-01
Fixed
5.25000000
N
N
N
N
N
N
Stoneway Capital Corp
549300CV1RKODDF74O91
Stoneway Capital Corp
86188PAA5
469358.99000000
PA
USD
130335.12000000
0.017446623033
Long
DBT
CORP
CA
N
2
2027-03-01
None
0.00000000
Y
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140MDVR6
441649.19000000
PA
USD
424325.01000000
0.056800028212
Long
ABS-MBS
USGSE
US
N
2
2052-01-01
Fixed
2.50000000
N
N
N
N
N
N
HSBC SECURITIES (USA) INC
CYYGQCGNHMHPSMRL3R97
RRP FNMA 30YR U
000000000
-947537.59000000
PA
USD
-947537.59000000
-0.12683711913
Short
RA
CORP
US
N
2
Reverse repurchase
N
0.34000000
2022-04-13
947537.59000000
USD
947689.72000000
USD
AMBS
N
N
N
Springs Windows Fashions, LLC
N/A
Springs Windows Fashions, LLC 2021 Term Loan B
78489HAB4
215768.00000000
PA
USD
208934.63000000
0.027967931653
Long
LON
CORP
US
N
2
2028-10-06
Floating
4.75000000
N
N
N
N
N
N
Fanniemae Strip
B1V7KEBTPIMZEU4LTD58
Fannie Mae Interest Strip
31364HWH6
68.89000000
PA
USD
67.67000000
0.000009058287
Long
ABS-MBS
USGSE
US
N
2
2023-06-25
None
0.00000000
N
N
N
N
N
N
NOMURA SECURITIES INTERNATIONAL INC
OXTKY6Q8X53C9ILVV871
RRP TREASURY NO
000000000
-1097500.00000000
PA
USD
-1097500.00000000
-0.14691104576
Short
RA
CORP
US
N
2
Reverse repurchase
N
0.32000000
2049-12-31
1000000.00000000
USD
1024648.43999999
USD
UST
N
N
N
ENERGY TRANSFER LP
5493008K8W3OKZE54J59
Energy Transfer LP
29273RBG3
1250000.00000000
PA
USD
1298999.45000000
0.173883706283
Long
DBT
CORP
US
N
2
2026-01-15
Fixed
4.75000000
N
N
N
N
N
N
ORTHO-CLINICAL INC/SA
N/A
Ortho-Clinical Diagnostics Inc / Ortho-Clinical Diagnostics SA
68752DAA6
761000.00000000
PA
USD
783830.00000000
0.104923266515
Long
DBT
CORP
US
N
2
2028-02-01
Fixed
7.25000000
N
N
N
N
N
N
ICAHN ENTERPRISES/FIN
N/A
Icahn Enterprises LP / Icahn Enterprises Finance Corp
451102CC9
134000.00000000
PA
USD
122945.00000000
0.016457383618
Long
DBT
CORP
US
N
2
2029-02-01
Fixed
4.38000000
N
N
N
N
N
N
OUTFRONT MEDIA CAP LLC/C
N/A
Outfront Media Capital LLC / Outfront Media Capital Corp
69007TAB0
103000.00000000
PA
USD
100690.74000000
0.013478434544
Long
DBT
CORP
US
N
2
2027-08-15
Fixed
5.00000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Pool
3133AYWX4
1399773.64000000
PA
USD
1344860.09000000
0.180022598840
Long
ABS-MBS
USGSE
US
N
2
2051-12-01
Fixed
2.50000000
N
N
N
N
N
N
ALLSTATE CORP
OBT0W1ED8G0NWVOLOJ77
Allstate Corp/The
020002AU5
1750000.00000000
PA
USD
2106877.50000000
0.282026038105
Long
DBT
CORP
US
N
2
2057-05-15
Fixed
6.50000000
N
N
N
N
N
N
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
FSWP: USD 0.760800 19-APR-2024
000000000
6090000.00000000
OU
Notional Amount
USD
-84118.76000000
-0.01126011389
N/A
DIR
US
N
2
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
N/A
N/A
Y
2024-04-19
0.00000000
USD
-149713.39000000
USD
6090000.00000000
USD
65594.63000000
N
N
N
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
SWP: OIS 1.899020 16-MAR-2032
000000000
940000.00000000
OU
Notional Amount
USD
17529.58000000
0.002346504719
N/A
DIR
US
N
2
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
N/A
N/A
Y
2032-03-16
0.00000000
USD
-15.13000000
USD
940000.00000000
USD
17544.71000000
N
N
N
ALLIED UNIVERSAL
N/A
Allied Universal Holdco LLC / Allied Universal Finance Corp
019576AC1
939000.00000000
PA
USD
828352.94000000
0.110883094921
Long
DBT
CORP
US
N
2
2029-06-01
Fixed
6.00000000
N
N
N
N
N
N
NABORS INDUSTRIES INC
549300VFQWRKICUFNU92
Nabors Industries Inc
62957HAJ4
140000.00000000
PA
USD
145425.00000000
0.019466550186
Long
DBT
CORP
US
N
2
2027-05-15
Fixed
7.38000000
N
N
N
N
N
N
Fertitta Entertainment, LLC
984500A0805D8V551D35
Fertitta Entertainment, LLC 2022 Term Loan B
31556PAB3
396964.62000000
PA
USD
394483.59000000
0.052805464003
Long
LON
CORP
US
N
2
2029-01-27
Floating
4.50000000
N
N
N
N
N
N
White Cap Buyer LLC
N/A
White Cap Buyer LLC Term Loan B
96350TAC4
352537.50000000
PA
USD
347982.72000000
0.046580870435
Long
LON
CORP
US
N
2
2027-10-19
Floating
4.25000000
N
N
N
N
N
N
GRAPHIC PACKAGING INTERN
SO75N4VY5NXGQSK8YQ65
Graphic Packaging International LLC
38869AAB3
11000.00000000
PA
USD
10340.00000000
0.001384109533
Long
DBT
CORP
US
N
2
2028-03-15
Fixed
3.50000000
N
N
N
N
N
N
ALBERTSONS COS/SAFEWAY
N/A
Albertsons Cos Inc / Safeway Inc / New Albertsons LP / Albertsons LLC
013092AF8
94000.00000000
PA
USD
88831.88000000
0.011891010831
Long
DBT
CORP
US
N
2
2026-03-15
Fixed
3.25000000
N
N
N
N
N
N
PacifiCorp
SGY07Y7FNYBNLM6Z1M11
PacifiCorp
695114CG1
1225000.00000000
PA
USD
1517670.30000000
0.203154925646
Long
DBT
CORP
US
N
2
2037-10-15
Fixed
6.25000000
N
N
N
N
N
N
EMBECTA CORP
N/A
EMBECTA CORP
000000000
9010.13000000
PA
USD
8876.60000000
0.001188219215
Long
LON
CORP
US
N
2
2029-01-27
None
0.00000000
N
N
N
N
N
N
LABL INC
5493004FUZN8R6Y3VB98
LABL Inc
50168QAC9
176000.00000000
PA
USD
165000.00000000
0.022086854260
Long
DBT
CORP
US
N
2
2028-11-01
Fixed
5.88000000
N
N
N
N
N
N
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
FSWP: USD 2.325000 24-JUN-2034
000000000
310000.00000000
OU
Notional Amount
USD
7805.25000000
0.001044808601
N/A
DIR
US
N
2
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
N/A
N/A
Y
2034-06-26
3068.65000000
USD
0.00000000
USD
310000.00000000
USD
4736.60000000
N
N
N
NFP CORP
VO2L9FZNXDJNQNEYH039
NFP Corp
65342RAE0
293000.00000000
PA
USD
279815.00000000
0.037455958332
Long
DBT
CORP
US
N
2
2028-08-15
Fixed
4.88000000
N
N
N
N
N
N
HSBC SECURITIES (USA) INC
CYYGQCGNHMHPSMRL3R97
BRY0467S7 RRP ONCOR ELECT
000000000
-1069500.00000000
PA
USD
-1069500.00000000
-0.14316297352
Short
RA
CORP
US
N
2
Reverse repurchase
N
0.50000000
2049-12-31
1069500.00000000
USD
1069715.39000000
USD
CDS
N
N
N
Mattel Inc
549300VELLG24KHTJ564
Mattel Inc
577081AU6
223000.00000000
PA
USD
256522.48000000
0.034338028062
Long
DBT
CORP
US
N
2
2040-10-01
Fixed
6.20000000
N
N
N
N
N
N
TWITTER INC
549300I8RX485XMK6836
Twitter Inc
90184LAP7
181000.00000000
PA
USD
180095.00000000
0.024107466776
Long
DBT
CORP
US
N
2
2030-03-01
Fixed
5.00000000
N
N
N
N
N
N
ROLLER BEARING CO OF AME
N/A
Roller Bearing Co of America Inc
775631AD6
82000.00000000
PA
USD
76465.00000000
0.010235583703
Long
DBT
CORP
US
N
2
2029-10-15
Fixed
4.38000000
N
N
N
N
N
N
HTA GROUP LTD
213800WEFU8O8X6EPU13
HTA Group Ltd/Mauritius
40435WAB6
200000.00000000
PA
USD
197625.00000000
0.026454027716
Long
DBT
CORP
MU
N
2
2025-12-18
Fixed
7.00000000
N
N
N
N
N
N
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
FSWP: OIS 1.790500 02-SEP-2024
000000000
3310000.00000000
OU
Notional Amount
USD
-53814.88000000
-0.00720364491
N/A
DIR
US
N
2
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
N/A
N/A
Y
2024-09-03
0.00000000
USD
-8695.51000000
USD
3310000.00000000
USD
-45119.37000000
N
N
N
Peraton Corp.
549300EQPCK07ZW63836
Peraton Corp. Term Loan B
71360HAB3
804043.39000000
PA
USD
797257.26000000
0.106720635817
Long
LON
CORP
US
N
2
2028-02-01
Floating
4.50000000
N
N
N
N
N
N
CATALENT PHARMA SOLUTION
549300HALRZ339MSTH85
Catalent Pharma Solutions Inc
14879EAH1
98000.00000000
PA
USD
89073.67000000
0.011923376774
Long
DBT
CORP
US
N
2
2029-02-15
Fixed
3.13000000
N
N
N
N
N
N
SWITCH LTD
5493002D70VTFFLT8L43
Switch Ltd
87105NAC4
430000.00000000
PA
USD
423012.50000000
0.056624335987
Long
DBT
CORP
US
N
2
2029-06-15
Fixed
4.13000000
N
N
N
N
N
N
GLOBAL NET LEASE/GLOBAL
N/A
Global Net Lease Inc / Global Net Lease Operating Partnership LP
37892AAA8
95000.00000000
PA
USD
87397.78000000
0.011699042603
Long
DBT
US
N
2
2027-12-15
Fixed
3.75000000
N
N
N
N
N
N
CNX RESOURCES CORP
549300JK3KH8PWM3B226
CNX Resources Corp
12653CAG3
337000.00000000
PA
USD
583515.50000000
0.078109223074
Long
DBT
CORP
US
N
2
2026-05-01
Fixed
2.25000000
N
N
N
N
Y
CNX Resources Corp
CNX Resources Corp
USD
XXXX
N
N
N
JAZZ SECURITIES DAC
6354009DV8VV7K6KOO02
Jazz Securities DAC
47216FAA5
200000.00000000
PA
USD
193750.00000000
0.025935321290
Long
DBT
CORP
IE
N
2
2029-01-15
Fixed
4.38000000
N
N
N
N
N
N
P&L DEV LLC/PLD FIN CORP
N/A
P&L Development LLC / PLD Finance Corp
69306RAA4
164000.00000000
PA
USD
150880.00000000
0.020196754974
Long
DBT
CORP
US
N
2
2025-11-15
Fixed
7.75000000
N
N
N
N
N
N
VTR COMUNICACIONES SPA
213800XDZJKMC1AEUV94
VTR Comunicaciones SpA
918367AC7
200000.00000000
PA
USD
182000.00000000
0.024362469548
Long
DBT
CORP
CL
N
2
2029-04-15
Fixed
4.38000000
N
N
N
N
N
N
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
FSWP: USD 0.912820 25-APR-2024
000000000
8560000.00000000
OU
Notional Amount
USD
-93821.13000000
-0.01255887045
N/A
DIR
US
N
2
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
N/A
N/A
Y
2024-04-25
0.00000000
USD
-186875.94000000
USD
8560000.00000000
USD
93054.81000000
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140M3GL8
815863.22000000
PA
USD
783858.19000000
0.104927040021
Long
ABS-MBS
USGSE
US
N
2
2051-10-01
Fixed
2.50000000
N
N
N
N
N
N
AMER AIRLN 15-2 AA PTT
N/A
American Airlines 2015-2 Class AA Pass Through Trust
02377BAB2
1073680.32000000
PA
USD
1043422.61000000
0.139672261328
Long
DBT
CORP
US
N
2
2027-09-22
Fixed
3.60000000
N
N
N
N
N
N
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
FSWP: OIS 2.702500 30-SEP-2024
000000000
3527000.00000000
OU
Notional Amount
USD
2874.18000000
0.000384736938
N/A
DIR
US
N
2
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
N/A
N/A
Y
2024-09-30
15.61000000
USD
0.00000000
USD
3527000.00000000
USD
2858.57000000
N
N
N
Wynn Macau Ltd
254900NMDQ8ENTHU1I31
Wynn Macau Ltd
000000000
200000.00000000
PA
USD
182000.00000000
0.024362469548
Long
DBT
CORP
KY
N
2
2024-10-01
Fixed
4.88000000
N
N
N
N
N
N
New York City Transitional Finance Authority Future Tax Secured Revenue
N/A
NEW YORK CITY NY TRANSITIONAL FIN AUTH REVENUE
64971XXV5
1000000.00000000
PA
USD
1059266.00000000
0.141793053122
Long
DBT
MUN
US
N
2
2041-02-01
Fixed
4.00000000
N
N
N
N
N
N
SMB Private Education Loan Trust
N/A
SMB Private Education Loan Trust 2021-C
83208AAF0
190000.00000000
PA
USD
181165.91000000
0.024250818491
Long
ABS-O
CORP
US
N
2
2053-01-15
Fixed
3.00000000
N
N
N
N
N
N
CENTENNIAL RESOURCE PROD
5493004CTVUMQLRPOE23
Centennial Resource Production LLC
15138AAC4
31000.00000000
PA
USD
31158.10000000
0.004170814628
Long
DBT
CORP
US
N
2
2027-04-01
Fixed
6.88000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140J8DJ9
5503957.12000000
PA
USD
5494890.23000000
0.735544482957
Long
ABS-MBS
USGSE
US
N
2
2043-09-01
Fixed
3.00000000
N
N
N
N
N
N
ENERGY TRANSFER LP
5493008K8W3OKZE54J59
Energy Transfer LP
29273RBL2
540000.00000000
PA
USD
554924.14000000
0.074281991550
Long
DBT
CORP
US
N
2
2047-04-15
Fixed
5.30000000
N
N
N
N
N
N
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
FSWP: USD 1.492500 01-AUG-2027
000000000
5330000.00000000
OU
Notional Amount
USD
-278807.87000000
-0.03732114419
N/A
DIR
US
N
2
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
N/A
N/A
Y
2027-08-02
0.00000000
USD
-158102.04000000
USD
5330000.00000000
USD
-120705.83000000
N
N
N
BANK OF COMMUNICATIONS
549300AX1UM10U30HK09
Bank of Communications Co Ltd
000000000
518000.00000000
PA
USD
518000.00000000
0.069339336405
Long
DBT
CORP
CN
N
2
2025-11-18
Fixed
3.80000000
N
N
N
N
N
N
SMB Private Education Loan Trust
N/A
SMB Private Education Loan Trust 2021-C
83208AAG8
160000.00000000
PA
USD
151109.79000000
0.020227514600
Long
ABS-O
CORP
US
N
2
2053-01-15
Fixed
3.93000000
N
N
N
N
N
N
ViaSat, Inc.
UFC8NYMNFSYIHNSM2I38
ViaSat, Inc. Term Loan
92555WAD7
262121.00000000
PA
USD
260482.74000000
0.034868147368
Long
LON
CORP
US
N
2
2029-03-02
Floating
5.00000000
N
N
N
N
N
N
GMR HYDERABAD INTERNATIO
335800NSPGIN89SVOU83
GMR Hyderabad International Airport Ltd
000000000
200000.00000000
PA
USD
182537.50000000
0.024434419149
Long
DBT
CORP
IN
N
2
2027-10-27
Fixed
4.25000000
N
N
N
N
N
N
ARAB REPUBLIC OF EGYPT
529900GFIVH4086NMH82
Egypt Government International Bond
03846JAC4
219000.00000000
PA
USD
173557.50000000
0.023232358838
Long
DBT
NUSS
EG
N
2
2061-02-16
Fixed
7.50000000
N
N
N
N
N
N
PG&E CORP
8YQ2GSDWYZXO2EDN3511
PG&E Corp
69331CAJ7
116000.00000000
PA
USD
112508.40000000
0.015060343235
Long
DBT
CORP
US
N
2
2030-07-01
Fixed
5.25000000
N
N
N
N
N
N
United States Treasury
254900HROIFWPRGM1V77
United States Treasury Note/Bond
9128284L1
2800000.00000000
PA
USD
2828437.50000000
0.378613859682
Long
DBT
UST
US
N
2
2023-04-30
Fixed
2.75000000
N
N
N
N
N
N
CITIBANK NA
E57ODZWZ7FF32TWEFA76
10Y RTR 1.232000 25-FEB-2025
000000000
1930000.00000000
NC
USD
48633.65000000
0.006510086907
N/A
DIR
LU
N
2
CITIBANK NA
E57ODZWZ7FF32TWEFA76
Call
Purchased
CITIBANK NA
E57ODZWZ7FF32TWEFA76
CITIBANK NA
E57ODZWZ7FF32TWEFA76
IRS Swap
N/A
1930000.00000000
OU
Notional Amount
N/A
48633.65000000
0.01000000
DIR
LU
N/A
N/A
2035-02-27
0.00000000
N/A
0.00000000
N/A
1930000.00000000
USD
1.00000000
1.23200000
USD
2025-02-25
XXXX
1304.52000000
N
N
N
MEXICO CITY ARPT TRUST
N/A
Mexico City Airport Trust
000000000
200000.00000000
PA
USD
176750.00000000
0.023659706003
Long
DBT
CORP
MX
N
2
2047-07-31
Fixed
5.50000000
N
N
N
N
N
N
VALVOLINE INC
549300CMHPBEY6VPOT75
Valvoline Inc
92047WAG6
1000.00000000
PA
USD
863.88000000
0.000115638737
Long
DBT
CORP
US
N
2
2031-06-15
Fixed
3.63000000
N
N
N
N
N
N
MEDCO BELL PTE LTD
2549003PNDCWIWGKC768
Medco Bell Pte Ltd
000000000
250000.00000000
PA
USD
242500.00000000
0.032460982776
Long
DBT
CORP
SG
N
2
2027-01-30
Fixed
6.38000000
N
N
N
N
N
N
CCO HLDGS LLC/CAP CORP
N/A
CCO Holdings LLC / CCO Holdings Capital Corp
1248EPCN1
180000.00000000
PA
USD
164646.00000000
0.022039467918
Long
DBT
CORP
US
N
2
2032-05-01
Fixed
4.50000000
N
N
N
N
N
N
SIX FLAGS THEME PARKS
5493003MX0ZXTM8EVY68
Six Flags Theme Parks Inc
83001WAC8
298000.00000000
PA
USD
311037.50000000
0.041635393527
Long
DBT
CORP
US
N
2
2025-07-01
Fixed
7.00000000
N
N
N
N
N
N
University of California
N/A
UNIV OF CALIFORNIA CA REVENUES
91412GDZ5
885000.00000000
PA
USD
1100293.07000000
0.147284925339
Long
DBT
MUN
US
N
2
2045-05-15
Fixed
5.95000000
N
N
N
N
N
N
SIRIUS XM RADIO INC
WP5O65E6BMU84LNO4227
Sirius XM Radio Inc
82967NBM9
314000.00000000
PA
USD
285740.00000000
0.038249077190
Long
DBT
CORP
US
N
2
2031-09-01
Fixed
3.88000000
N
N
N
N
N
N
PICASSO FINANCE SUB INC
N/A
Picasso Finance Sub Inc
71953LAA9
175000.00000000
PA
USD
177843.75000000
0.023806115075
Long
DBT
CORP
US
N
2
2025-06-15
Fixed
6.13000000
N
N
N
N
N
N
CROWNROCK LP/CROWNROCK F
WFBCP6PB6JZR80B7U482
CrownRock LP / CrownRock Finance Inc
228701AF5
557000.00000000
PA
USD
567713.90000000
0.075994025278
Long
DBT
CORP
US
N
2
2025-10-15
Fixed
5.63000000
N
N
N
N
N
N
INVEST ENERGY RES LTD
254900A71Y7WHN7L5K89
Investment Energy Resources Ltd
46143NAB6
200000.00000000
PA
USD
202000.00000000
0.027039664003
Long
DBT
CORP
BM
N
2
2029-04-26
Fixed
6.25000000
N
N
N
N
N
N
Ventas Realty LP
32SXKSJ72K64GM3HOU64
Ventas Realty LP
92277GAG2
870000.00000000
PA
USD
889839.75000000
0.119113702263
Long
DBT
CORP
US
N
2
2026-01-15
Fixed
4.13000000
N
N
N
N
N
N
MSG National Properties, LLC
N/A
MSG National Properties, LLC Term Loan
55357JAB7
255420.00000000
PA
USD
254142.90000000
0.034019498143
Long
LON
CORP
US
N
3
2025-11-12
Floating
7.00000000
N
N
N
N
N
N
API ESCROW CORP
N/A
APi Escrow Corp
00185PAA9
68000.00000000
PA
USD
63155.00000000
0.008453910792
Long
DBT
CORP
US
N
2
2029-10-15
Fixed
4.75000000
N
N
N
N
N
N
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
SWP: OIS 1.813500 15-MAR-2032
000000000
350000.00000000
OU
Notional Amount
USD
9211.29000000
0.001233020725
N/A
DIR
US
N
2
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
N/A
N/A
Y
2032-03-15
0.00000000
USD
-5.64000000
USD
350000.00000000
USD
9216.93000000
N
N
N
HSBC Holdings PLC
MLU0ZO3ML4LN2LL2TL39
HSBC Holdings PLC
404280AM1
610000.00000000
PA
USD
771178.60000000
0.103229753618
Long
DBT
CORP
GB
N
2
2042-01-14
Fixed
6.10000000
N
N
N
N
N
N
ASBURY AUTOMOTIVE GROUP
549300JH4DTA7U42GL91
Asbury Automotive Group Inc
043436AX2
106000.00000000
PA
USD
98531.24000000
0.013189364472
Long
DBT
CORP
US
N
2
2032-02-15
Fixed
5.00000000
N
N
N
N
N
N
KENBOURNE INVEST SA
222100QGH6Y9KFYZ4B27
Kenbourne Invest SA
48855KAA8
210000.00000000
PA
USD
205826.25000000
0.027551844768
Long
DBT
CORP
LU
N
2
2024-11-26
Fixed
6.88000000
N
N
N
N
N
N
OHIO POWER COMPANY
06ZODLC132CY1O2Y7D77
Ohio Power Co
199575AT8
3000000.00000000
PA
USD
3761481.12000000
0.503510820008
Long
DBT
CORP
US
N
2
2033-03-01
Fixed
6.60000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138ELX73
2736992.60000000
PA
USD
2910479.07000000
0.389595921500
Long
ABS-MBS
USGSE
US
N
2
2042-04-01
Fixed
4.50000000
N
N
N
N
N
N
WANDA PROPERTIES OVERSEA
549300BJ7FGBP0KHXY31
Wanda Properties Overseas Ltd
000000000
200000.00000000
PA
USD
177000.00000000
0.023693170934
Long
DBT
CORP
VG
N
2
2023-07-23
Fixed
6.88000000
N
N
N
N
N
N
TRANSDIGM INC
88Q84GB3X55CF5OC7582
TransDigm Inc
893647BP1
249000.00000000
PA
USD
232807.53000000
0.031163551429
Long
DBT
CORP
US
N
2
2029-01-15
Fixed
4.63000000
N
N
N
N
N
N
SOPHIA, L.P.
549300RP8NIJ7FY7OS79
Sophia, L.P. 2021 Term Loan B
83578BAN3
517010.46000000
PA
USD
511302.66000000
0.068442832330
Long
LON
CORP
US
N
2
2027-10-07
Floating
4.26000000
N
N
N
N
N
N
PREMIER ENTERTAINMENT SU
N/A
Premier Entertainment Sub LLC / Premier Entertainment Finance Corp
74052HAA2
63000.00000000
PA
USD
54145.35000000
0.007247881541
Long
DBT
CORP
US
N
2
2029-09-01
Fixed
5.63000000
N
N
N
N
N
N
CALPINE CORP
43R4VPJBXTU2O15HEF41
Calpine Corp
131347CN4
611000.00000000
PA
USD
582026.38000000
0.077909889884
Long
DBT
CORP
US
N
2
2028-03-15
Fixed
5.13000000
N
N
N
N
N
N
Eaton Vance CDO Ltd
5493008YP5U5LTXAO749
Eaton Vance Clo 2015-1 Ltd
27830KAU8
1000000.00000000
PA
USD
996647.20000000
0.133410917912
Long
ABS-CBDO
CORP
KY
N
2
2030-01-20
Floating
1.50000000
N
N
N
N
N
N
GRAFTECH FINANCE INC
1Z010BU876CF2HDBIN43
GrafTech Finance Inc
384311AA4
91000.00000000
PA
USD
84622.72000000
0.011327573841
Long
DBT
CORP
US
N
2
2028-12-15
Fixed
4.63000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138E0RK7
836359.58000000
PA
USD
871828.49000000
0.116702719993
Long
ABS-MBS
USGSE
US
N
2
2041-12-01
Fixed
4.00000000
N
N
N
N
N
N
IRON MOUNTAIN INC
SQL3F6CKNNBM3SQGHX24
Iron Mountain Inc
46284VAJ0
134000.00000000
PA
USD
131320.00000000
0.017578458796
Long
DBT
US
N
2
2030-07-15
Fixed
5.25000000
N
N
N
N
N
N
TALLGRASS NRG PRTNR/FIN
N/A
Tallgrass Energy Partners LP / Tallgrass Energy Finance Corp
87470LAK7
45000.00000000
PA
USD
43323.75000000
0.005799305165
Long
DBT
CORP
US
N
2
2031-09-01
Fixed
6.00000000
N
N
N
N
N
N
NATWEST GROUP PLC
2138005O9XJIJN4JPN90
Natwest Group PLC
780097BQ3
1575000.00000000
PA
USD
1608311.25000000
0.215288098087
Long
DBT
CORP
GB
N
2
2025-12-29
Fixed
6.00000000
N
N
N
N
N
N
BWAY Holding Company
549300DNGHXL0OMHW304
BWAY Holding Company 2017 Term Loan B
05604XAP1
321139.90000000
PA
USD
316187.92000000
0.042324827321
Long
LON
CORP
US
N
2
2024-04-03
Floating
3.48000000
N
N
N
N
N
N
Fanniemae Strip
B1V7KEBTPIMZEU4LTD58
Fannie Mae Interest Strip
31364HUF2
113.50000000
PA
USD
112.29000000
0.000015031108
Long
ABS-MBS
USGSE
US
N
2
2023-02-25
None
0.00000000
N
N
N
N
N
N
Freddie Mac
254900HROIFWPRGM1V77
Freddie Mac REMICS
312909PB4
53.70000000
PA
USD
0.01000000
0.000000001338
Long
ABS-MBS
USGSE
US
N
2
2022-04-15
Fixed
8.50000000
N
N
N
N
N
N
EQM MIDSTREAM PARTNERS L
549300NELT611CL6XM83
EQM Midstream Partners LP
26885BAH3
245000.00000000
PA
USD
255912.30000000
0.034256349536
Long
DBT
CORP
US
N
2
2027-07-01
Fixed
6.50000000
N
N
N
N
N
N
RAYTHEON TECH CORP
I07WOS4YJ0N7YRFE7309
Raytheon Technologies Corp
75513EAD3
2000000.00000000
PA
USD
1852505.70000000
0.247975899471
Long
DBT
CORP
US
N
2
2030-07-01
Fixed
2.25000000
N
N
N
N
N
N
Electricite de France SA
549300X3UK4GG3FNMO06
Electricite de France SA
268317AE4
2800000.00000000
PA
USD
3119262.38000000
0.417543597500
Long
DBT
CORP
FR
N
2
2040-01-27
Fixed
5.60000000
N
N
N
N
N
N
TWITTER INC
549300I8RX485XMK6836
Twitter Inc
90184LAG7
206000.00000000
PA
USD
200077.50000000
0.026782318686
Long
DBT
CORP
US
N
2
2027-12-15
Fixed
3.88000000
N
N
N
N
N
N
FORTUNE STAR BVI LTD
2549008CU8NYQQRSNU62
Fortune Star BVI Ltd
000000000
250000.00000000
PA
USD
243875.00000000
0.032645039895
Long
DBT
CORP
VG
N
2
2023-07-02
Fixed
6.75000000
N
N
N
N
N
N
HSBC SECURITIES (USA) INC
CYYGQCGNHMHPSMRL3R97
RRP FNMA 30YR
000000000
-724520.16000000
PA
USD
-724520.16000000
-0.09698406777
Short
RA
CORP
US
N
2
Reverse repurchase
N
0.34000000
2022-04-13
724520.16000000
USD
724636.49000000
USD
AMBS
N
N
N
COUNTRY GARDEN HLDGS
549300MGHLPT1EFHGF84
Country Garden Holdings Co Ltd
000000000
200000.00000000
PA
USD
164000.00000000
0.021952994537
Long
DBT
CORP
KY
N
2
2024-04-08
Fixed
6.50000000
N
N
N
N
N
N
CREDIT SUISSE INTERNATIONAL
E58DKGMJYYYJLN8C3868
CDS: (CMBX.NA.9.BBB-)
000000000
2500000.00000000
OU
Notional Amount
USD
-253771.23000000
-0.03396974650
N/A
DCR
US
N
2
CREDIT SUISSE INTERNATIONAL
E58DKGMJYYYJLN8C3868
CMBX.NA.BBB-.9
137BERAI8
Y
sell protection
2058-09-17
0.00000000
USD
-260420.82000000
USD
2500000.00000000
USD
6649.59000000
N
N
N
MSCI INC
549300HTIN2PD78UB763
MSCI Inc
55354GAM2
87000.00000000
PA
USD
81888.75000000
0.010961605374
Long
DBT
CORP
US
N
2
2031-11-01
Fixed
3.63000000
N
N
N
N
N
N
ENLINK MIDSTREAM PARTNER
88CPW63VL7KHJWS0NY83
EnLink Midstream Partners LP
29336UAG2
42000.00000000
PA
USD
35385.00000000
0.004736626290
Long
DBT
CORP
US
N
2
2047-06-01
Fixed
5.45000000
N
N
N
N
N
N
ONEMAIN FINANCE CORP
5493008I795YYBFWFU90
OneMain Finance Corp
85172FAQ2
141000.00000000
PA
USD
147697.50000000
0.019770746406
Long
DBT
CORP
US
N
2
2028-01-15
Fixed
6.63000000
N
N
N
N
N
N
Canyon Capital CLO Ltd
N/A
Canyon Capital CLO 2016-1 Ltd
13887PAP0
250000.00000000
PA
USD
246376.48000000
0.032979887315
Long
ABS-CBDO
CORP
KY
N
2
2031-07-15
Floating
2.14000000
N
N
N
N
N
N
KANE BIDCO LTD
213800IT8MD1MLYZWC24
Kane Bidco Ltd
000000000
100000.00000000
PA
127770.82000000
0.017103366546
Long
DBT
CORP
JE
N
2
2027-02-15
Fixed
6.50000000
N
N
N
N
N
N
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
SWP: OIS 2.046000 23-MAR-2032
000000000
730000.00000000
OU
Notional Amount
USD
4182.51000000
0.000559869629
N/A
DIR
US
N
2
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
N/A
N/A
Y
2032-03-23
0.00000000
USD
-11.77000000
USD
730000.00000000
USD
4194.28000000
N
N
N
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
FSWP: USD 1.784000 16-AUG-2049
000000000
500000.00000000
OU
Notional Amount
USD
-5390.09000000
-0.00072151595
N/A
DIR
US
N
2
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
N/A
N/A
Y
2049-08-16
0.00000000
USD
-7768.04000000
USD
500000.00000000
USD
2377.95000000
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae REMICS
31359QFX7
1761.97000000
PA
USD
7.22000000
0.000000966467
Long
ABS-MBS
USGSE
US
N
2
2023-04-25
Floating
1.20000000
N
N
N
N
N
N
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
SWP: OIS 0.218000 21-JAN-2026
000000000
7710000.00000000
OU
Notional Amount
USD
-593395.18000000
-0.07943171430
N/A
DIR
US
N
2
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
N/A
N/A
Y
2026-01-21
0.00000000
USD
-433630.81000000
USD
7710000.00000000
USD
-159764.37000000
N
N
N
KENNEDY-WILSON INC
5EA4464UK7FM5QNNKL62
Kennedy-Wilson Inc
489399AN5
92000.00000000
PA
USD
87483.72000000
0.011710546507
Long
DBT
CORP
US
N
2
2030-02-01
Fixed
4.75000000
N
N
N
N
N
N
OPEN TEXT CORP
549300HP7ONDQODZJV16
Open Text Corp
683715AD8
106000.00000000
PA
USD
100700.00000000
0.013479674085
Long
DBT
CORP
CA
N
2
2029-12-01
Fixed
3.88000000
N
N
N
N
N
N
TRANSDIGM INC
88Q84GB3X55CF5OC7582
TransDigm Inc
893647BH9
71000.00000000
PA
USD
73130.00000000
0.009789161527
Long
DBT
CORP
US
N
2
2027-03-15
Fixed
7.50000000
N
N
N
N
N
N
BCP MODULAR SERVICES
213800227GGD6UI7PI97
BCP V Modular Services Finance II PLC
000000000
100000.00000000
PA
105861.91000000
0.014170645926
Long
DBT
CORP
GB
N
2
2028-11-30
Fixed
4.75000000
N
N
N
N
N
N
Sprint Corp
549300ZTTY7CXOLJ6539
Sprint Corp
85207UAK1
255000.00000000
PA
USD
287846.55000000
0.038531059389
Long
DBT
CORP
US
N
2
2026-03-01
Fixed
7.63000000
N
N
N
N
N
N
GARFUNKELUX HOLDCO 3 SA
2221007QVSNJV7EWBX69
Garfunkelux Holdco 3 SA
000000000
100000.00000000
PA
130379.72000000
0.017452593176
Long
DBT
CORP
LU
N
2
2025-11-01
Fixed
7.75000000
N
N
N
N
N
N
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
FSWP: USD 1.017500 03-MAY-2024
000000000
12995000.00000000
OU
Notional Amount
USD
-117572.55000000
-0.01573822895
N/A
DIR
US
N
2
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
N/A
N/A
Y
2024-05-03
0.00000000
USD
-260679.39000000
USD
12995000.00000000
USD
143106.84000000
N
N
N
KKR Apple Bidco, LLC
2549001SCJD3WEYJFM53
KKR Apple Bidco, LLC 2021 Term Loan
48254EAB7
110722.50000000
PA
USD
109148.03000000
0.014610525039
Long
LON
CORP
US
N
2
2028-09-23
Floating
3.50000000
N
N
N
N
N
N
Meritage Homes Corp
52990044W9UMFJO2FB97
Meritage Homes Corp
59001ABA9
35000.00000000
PA
USD
35348.25000000
0.004731706946
Long
DBT
CORP
US
N
2
2027-06-06
Fixed
5.13000000
N
N
N
N
N
N
Connect Finco Sarl
2594001KNYIQ456J2792
Connect Finco Sarl 2021 Term Loan B
000000000
106994.58000000
PA
USD
105978.13000000
0.014186203103
Long
LON
CORP
LU
N
2
2026-12-11
Floating
4.50000000
N
N
N
N
N
N
CHROME BIDCO SASU
9845000C1FYE89DC8677
Chrome Bidco SASU
000000000
100000.00000000
PA
105691.10000000
0.014147781347
Long
DBT
CORP
FR
N
2
2028-05-31
Fixed
3.50000000
N
N
N
N
N
N
Sprint Capital Corp
549300L17W0GQBR1PO80
Sprint Capital Corp
852060AT9
516000.00000000
PA
USD
695052.00000000
0.093039468045
Long
DBT
CORP
US
N
2
2032-03-15
Fixed
8.75000000
N
N
N
N
N
N
DT MIDSTREAM INC
N/A
DT Midstream Inc
23345MAA5
276000.00000000
PA
USD
264630.18000000
0.035423322537
Long
DBT
CORP
US
N
2
2029-06-15
Fixed
4.13000000
N
N
N
N
N
N
DCP MIDSTREAM OPERATING
549300Y6CTBSE0QIPL28
DCP Midstream Operating LP
23311VAF4
2000.00000000
PA
USD
2101.52000000
0.000281308884
Long
DBT
CORP
US
N
2
2044-04-01
Fixed
5.60000000
N
N
N
N
N
N
LITIGATION FEE RESIDUAL
N/A
LITIGATION FEE RESIDUAL
53689HAA7
1277895.60000000
PA
USD
1239558.73000000
0.165926987981
Long
ABS-O
CORP
US
N
3
2027-10-30
Fixed
4.00000000
N
N
N
N
N
N
NCL CORPORATION LTD
UNZWILHE4KMRP9K2L524
NCL Corp Ltd
62886HBA8
167000.00000000
PA
USD
158676.72000000
0.021240421752
Long
DBT
CORP
BM
N
2
2026-03-15
Fixed
5.88000000
N
N
N
N
N
N
UNITI GROUP/CSL CAPITAL
N/A
Uniti Group LP / Uniti Group Finance Inc / CSL Capital LLC
91327BAB6
175000.00000000
PA
USD
165158.00000000
0.022108004096
Long
DBT
US
N
2
2028-04-15
Fixed
4.75000000
N
N
N
N
N
N
BOEING CO
RVHJWBXLJ1RFUBSY1F30
Boeing Co/The
097023CD5
1175000.00000000
PA
USD
1119691.38000000
0.149881577738
Long
DBT
CORP
US
N
2
2029-03-01
Fixed
3.20000000
N
N
N
N
N
N
Generate CLO Ltd.
254900V675MOVWK0HA08
Generate CLO 6 Ltd
37148JAJ2
750000.00000000
PA
USD
743878.88000000
0.099575420667
Long
ABS-CBDO
CORP
KY
N
2
2035-01-22
Floating
3.75000000
N
N
N
N
N
N
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
FSWP: USD 1.630000 26-MAY-2027
000000000
1747500.00000000
OU
Notional Amount
USD
-77061.19000000
-0.01031538953
N/A
DIR
US
N
2
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
N/A
N/A
Y
2027-05-26
0.00000000
USD
-38022.09000000
USD
1747500.00000000
USD
-39039.10000000
N
N
N
EnLink Midstream LLC
54930000GY1H533OBE23
EnLink Midstream LLC
29336TAA8
95000.00000000
PA
USD
94762.50000000
0.012684881981
Long
DBT
CORP
US
N
2
2029-06-01
Fixed
5.38000000
N
N
N
N
N
N
Morgan Stanley & Co. International PLC
4PQUHN3JPFGFNF3BB653
PURCHASED USD / SOLD CAD
000000000
1.00000000
NC
-1554.04000000
-0.00020802336
N/A
DFE
US
N
2
Morgan Stanley & Co. International PLC
4PQUHN3JPFGFNF3BB653
101000.00000000
CAD
79221.28000000
USD
2022-06-15
-1554.04000000
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140M72K6
3047718.00000000
PA
USD
2928154.29000000
0.391961921549
Long
ABS-MBS
USGSE
US
N
2
2051-12-01
Fixed
2.50000000
N
N
N
N
N
N
TAYLOR MORRISON COMM
549300O1Z08HI2MRK572
Taylor Morrison Communities Inc
87724RAA0
119000.00000000
PA
USD
123760.00000000
0.016566479292
Long
DBT
CORP
US
N
2
2027-06-15
Fixed
5.88000000
N
N
N
N
N
N
BROADSTREET PARTNERS INC
549300BS9N54G8DD0R75
BroadStreet Partners Inc
11135RAA3
33000.00000000
PA
USD
30772.50000000
0.004119198319
Long
DBT
CORP
US
N
2
2029-04-15
Fixed
5.88000000
N
N
N
N
N
N
China Evergrande Group
549300CUF7B1LAB15T90
China Evergrande Group
000000000
400000.00000000
PA
USD
52000.00000000
0.006960705585
Long
DBT
CORP
KY
N
2
2022-03-23
Fixed
8.25000000
Y
Y
N
N
N
N
Microsoft Corp
INR2EJN1ERAN0W5ZP974
Microsoft Corp
594918AR5
4000000.00000000
PA
USD
4092339.16000000
0.547799385526
Long
DBT
CORP
US
N
2
2042-11-15
Fixed
3.50000000
N
N
N
N
N
N
SABINE PASS LIQUEFACTION
549300KJYBG7C6WJYZ11
Sabine Pass Liquefaction LLC
785592AV8
1750000.00000000
PA
USD
1891882.07000000
0.253246809444
Long
DBT
CORP
US
N
2
2026-06-30
Fixed
5.88000000
N
N
N
N
N
N
BNP PARIBAS
R0MUWSFPU8MPRO8K5P83
RRP VERIZON COM
000000000
-9265747.50000000
PA
USD
-9265747.50000000
-1.24031039180
Short
RA
CORP
US
N
2
Reverse repurchase
N
0.54000000
2049-12-31
6751000.00000000
USD
9393841.71660999
USD
CDS
N
N
N
ENERGY TRANSFER LP
5493008K8W3OKZE54J59
Energy Transfer LP
29273RBD0
500000.00000000
PA
USD
507087.47000000
0.067878588165
Long
DBT
CORP
US
N
2
2025-03-15
Fixed
4.05000000
N
N
N
N
N
N
STAR ENERGY CO ISSUE
N/A
Star Energy Geothermal Darajat II / Star Energy Geothermal Salak
85513LAB0
215000.00000000
PA
USD
213226.25000000
0.028542406716
Long
DBT
CORP
BM
N
2
2038-10-14
Fixed
4.85000000
N
N
N
N
N
N
AETHON UN/AETHIN UN FIN
N/A
Aethon United BR LP / Aethon United Finance Corp
00810GAC8
483000.00000000
PA
USD
501209.10000000
0.067091711186
Long
DBT
CORP
US
N
2
2026-02-15
Fixed
8.25000000
N
N
N
N
N
N
ACCOR SA
969500QZC2Q0TK11NV07
Accor SA
000000000
100000.00000000
PA
111045.35000000
0.014864499768
Long
DBT
CORP
FR
N
2
2024-01-30
Fixed
4.38000000
N
N
N
N
N
N
GRUENENTHAL GMBH
529900SH895E31PGLA72
Gruenenthal GmbH
000000000
100000.00000000
PA
107582.79000000
0.014401002446
Long
DBT
CORP
DE
N
2
2028-05-15
Fixed
4.13000000
N
N
N
N
N
N
SM ENERGY CO
84BUTVXV5ODI6BXNMH43
SM Energy Co
78454LAT7
607000.00000000
PA
USD
662637.62000000
0.088700488124
Long
DBT
CORP
US
N
2
2025-01-15
Fixed
10.00000000
N
N
N
N
N
N
iHeartCommunications Inc
54930076J6KDZL504O62
iHeartCommunications Inc
45174HBD8
23667.00000000
PA
USD
24470.49000000
0.003275613007
Long
DBT
CORP
US
N
2
2027-05-01
Fixed
8.38000000
N
N
N
N
N
N
Spirit Aerosystems, Inc.
ZD2NBKV6GCC3UMGBM518
Spirit Aerosystems, Inc. 2021 Term Loan B
84857HAX8
136369.72000000
PA
USD
136028.80000000
0.018208777459
Long
LON
CORP
US
N
2
2025-01-15
Floating
4.25000000
N
N
N
N
N
N
BURLINGTN NORTH SANTA FE
N/A
Burlington Northern Santa Fe LLC
12189LAA9
1890000.00000000
PA
USD
2355231.87000000
0.315270685227
Long
DBT
CORP
US
N
2
2040-05-01
Fixed
5.75000000
N
N
N
N
N
N
CROWN CASTLE INTL CORP
54930012H97VSM0I2R19
Crown Castle International Corp
22822VAX9
350000.00000000
PA
USD
289716.39000000
0.038781355653
Long
DBT
US
N
2
2041-04-01
Fixed
2.90000000
N
N
N
N
N
N
BIG RIVER STEEL/BRS FIN
N/A
Big River Steel LLC / BRS Finance Corp
08949LAB6
668000.00000000
PA
USD
700878.96000000
0.093819463295
Long
DBT
CORP
US
N
2
2029-01-31
Fixed
6.63000000
N
N
N
N
N
N
Bausch Health Cos Inc
B3BS7ACMDUWISF18KY76
Bausch Health Cos Inc
91911KAP7
80000.00000000
PA
USD
82886.00000000
0.011095096983
Long
DBT
CORP
CA
N
2
2025-12-15
Fixed
9.00000000
N
N
N
N
N
N
T-MOBILE USA INC
549300V2JRLO5DIFGE82
T-Mobile USA Inc
87264ACE3
245000.00000000
PA
USD
230540.10000000
0.030860033878
Long
DBT
CORP
US
N
2
2031-04-15
Fixed
3.50000000
N
N
N
N
N
N
ASCENT RESOURCES/ARU FIN
N/A
Ascent Resources Utica Holdings LLC / ARU Finance Corp
04364VAU7
72000.00000000
PA
USD
71142.48000000
0.009523112651
Long
DBT
CORP
US
N
2
2029-06-30
Fixed
5.88000000
N
N
N
N
N
N
SHERWIN-WILLIAMS CO
Z15BMIOX8DDH0X2OBP21
Sherwin-Williams Co/The
824348AX4
350000.00000000
PA
USD
370676.71000000
0.049618681645
Long
DBT
CORP
US
N
2
2047-06-01
Fixed
4.50000000
N
N
N
N
N
N
CHAMPION PATH HOLDINGS
549300QWJFPV5413KI88
Champion Path Holdings Ltd
000000000
200000.00000000
PA
USD
170000.00000000
0.022756152874
Long
DBT
CORP
VG
N
2
2026-01-27
Fixed
4.50000000
N
N
N
N
N
N
BlackRock Liquidity Funds
5493007YVNX55LTRQ706
BlackRock Liquidity Funds: T-Fund, Institutional Shares
09248U718
469700.21000000
NS
USD
469700.21000000
0.062873939905
Long
STIV
RF
US
N
1
N
N
N
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
FSWP: OIS 2.727000 30-SEP-2024
000000000
31743000.00000000
OU
Notional Amount
USD
40968.83000000
0.005484076226
N/A
DIR
US
N
2
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
N/A
N/A
Y
2024-09-30
140.47000000
USD
0.00000000
USD
31743000.00000000
USD
40828.36000000
N
N
N
DISH DBS CORP
N/A
DISH DBS Corp
25470XBF1
640000.00000000
PA
USD
605600.00000000
0.081065448122
Long
DBT
CORP
US
N
2
2028-12-01
Fixed
5.75000000
N
N
N
N
N
N
ILLUMINATE BUYER/HLDG
N/A
Illuminate Buyer LLC / Illuminate Holdings IV Inc
45232TAA9
241000.00000000
PA
USD
244012.50000000
0.032663445607
Long
DBT
CORP
US
N
2
2028-07-01
Fixed
9.00000000
N
N
N
N
N
N
BNP PARIBAS
R0MUWSFPU8MPRO8K5P83
RRP WELLS FARGO
000000000
-3038287.50000000
PA
USD
-3038287.50000000
-0.40670432251
Short
RA
CORP
US
N
2
Reverse repurchase
N
0.70000000
2049-12-31
3390000.00000000
USD
3415425.00000000
USD
CDS
N
N
N
COLGATE ENERGY PARTNERS
549300QRLZK0B17DH791
Colgate Energy Partners III LLC
19416MAA7
181000.00000000
PA
USD
192947.81000000
0.025827940359
Long
DBT
CORP
US
N
2
2026-02-15
Fixed
7.75000000
N
N
N
N
N
N
I-Logic Technologies Bidco Limited
213800PHEXJH1L7ZN896
I-Logic Technologies Bidco Limited 2021 USD Term Loan B
00510DAB0
65677.08000000
PA
USD
64989.44000000
0.008699468422
Long
LON
CORP
US
N
2
2028-02-16
Floating
4.50000000
N
N
N
N
N
N
Palmer Square Loan Funding Ltd
N/A
Palmer Square Loan Funding 2019-2 Ltd
69689PAE7
1000000.00000000
PA
USD
998000.00000000
0.133592003345
Long
ABS-CBDO
CORP
KY
N
2
2027-04-20
Floating
2.50000000
N
N
N
N
N
N
ALLEGHENY TECHNOLOGIES
ZW1LRE7C3H17O2ZN9B45
Allegheny Technologies Inc
01741RAM4
77000.00000000
PA
USD
72205.21000000
0.009665369394
Long
DBT
CORP
US
N
2
2031-10-01
Fixed
5.13000000
N
N
N
N
N
N
MGM GROWTH/MGM FINANCE
549300U6G4UOCMLQK204
MGM Growth Properties Operating Partnership LP / MGP Finance Co-Issuer Inc
55303XAC9
42000.00000000
PA
USD
43238.16000000
0.005787848111
Long
DBT
US
N
2
2024-05-01
Fixed
5.63000000
N
N
N
N
N
N
OCCIDENTAL PETROLEUM COR
IM7X0T3ECJW4C1T7ON55
Occidental Petroleum Corp
674599DJ1
637000.00000000
PA
USD
707070.00000000
0.094648194194
Long
DBT
CORP
US
N
2
2040-03-15
Fixed
6.20000000
N
N
N
N
N
N
WABASH NATIONAL CORP
5299004ZAWHQZI5XO485
Wabash National Corp
929566AL1
149000.00000000
PA
USD
134100.00000000
0.017950588826
Long
DBT
CORP
US
N
2
2028-10-15
Fixed
4.50000000
N
N
N
N
N
N
TEMPUR SEALY INTL INC
549300HFEKVR3US71V91
Tempur Sealy International Inc
88023UAJ0
186000.00000000
PA
USD
159495.00000000
0.021349956486
Long
DBT
CORP
US
N
2
2031-10-15
Fixed
3.88000000
N
N
N
N
N
N
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
SWP: USD 1.245000 06-MAR-2050
000000000
460000.00000000
OU
Notional Amount
USD
-75390.76000000
-0.01009178623
N/A
DIR
US
N
2
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
N/A
N/A
Y
2050-03-07
0.00000000
USD
-89359.37000000
USD
460000.00000000
USD
13968.61000000
N
N
N
Easy Tactic Ltd
549300WYFMC41MKE6E16
Easy Tactic Ltd
000000000
288000.00000000
PA
USD
63360.00000000
0.008481352036
Long
DBT
CORP
VG
N
2
2023-02-13
Fixed
5.88000000
N
N
N
N
N
N
United States Treasury
254900HROIFWPRGM1V77
United States Treasury Note/Bond
912810SU3
25800000.00000000
PA
USD
22543757.75000000
3.017701163092
Long
DBT
UST
US
N
2
2051-02-15
Fixed
1.88000000
N
N
N
N
N
N
Bath & Body Works Inc
GR3KVMWVCR54YWQNXU90
Bath & Body Works Inc
532716AN7
42000.00000000
PA
USD
43575.00000000
0.005832937420
Long
DBT
CORP
US
N
2
2037-07-15
Fixed
7.60000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31410KXV1
325021.35000000
PA
USD
355854.05000000
0.047634524487
Long
ABS-MBS
USGSE
US
N
2
2038-06-01
Fixed
5.50000000
N
N
N
N
N
N
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
FSWP: OIS 1.611500 07-SEP-2024
000000000
2955000.00000000
OU
Notional Amount
USD
-58787.93000000
-0.00786933601
N/A
DIR
US
N
2
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
N/A
N/A
Y
2024-09-09
0.00000000
USD
-18469.57000000
USD
2955000.00000000
USD
-40318.36000000
N
N
N
NuStar Logistics LP
N62BF2PKP51FIIOIUN20
NuStar Logistics LP
67059TAF2
99000.00000000
PA
USD
100113.26000000
0.013401133231
Long
DBT
CORP
US
N
2
2026-06-01
Fixed
6.00000000
N
N
N
N
N
N
MODIVCARE INC
549300EFZIFW7F7I0Q28
ModivCare Inc
743815AE2
48000.00000000
PA
USD
48464.64000000
0.006487463275
Long
DBT
CORP
US
N
2
2025-11-15
Fixed
5.88000000
N
N
N
N
N
N
ASAHI MUTUAL LIFE INSURA
549300ZTKF2W3KCEJ782
Asahi Mutual Life Insurance Co
000000000
333000.00000000
PA
USD
341458.20000000
0.045707499996
Long
DBT
CORP
JP
N
2
2023-09-05
Fixed
6.50000000
N
N
N
N
N
N
Republic of Panama
549300SHS4T08CL0LP14
Panama Government International Bond
698299BH6
200000.00000000
PA
USD
198350.00000000
0.026551076015
Long
DBT
NUSS
PA
N
2
2050-04-16
Fixed
4.50000000
N
N
N
N
N
N
BROADCOM INC
549300WV6GIDOZJTV909
Broadcom Inc
11135FAN1
735000.00000000
PA
USD
732679.12000000
0.098076223898
Long
DBT
CORP
US
N
2
2026-09-15
Fixed
3.46000000
N
N
N
N
N
N
MSCI INC
549300HTIN2PD78UB763
MSCI Inc
55354GAK6
81000.00000000
PA
USD
75928.19000000
0.010163726465
Long
DBT
CORP
US
N
2
2030-09-01
Fixed
3.63000000
N
N
N
N
N
N
DEVON ENERGY CORPORATION
54930042348RKR3ZPN35
Devon Energy Corp
25179MAV5
1000000.00000000
PA
USD
1082249.59000000
0.144869630108
Long
DBT
CORP
US
N
2
2025-12-15
Fixed
5.85000000
N
N
N
N
N
N
CARNIVAL CORP
F1OF2ZSX47CR0BCWA982
Carnival Corp
143658BR2
423000.00000000
PA
USD
398609.82000000
0.053357800007
Long
DBT
CORP
PA
N
2
2029-05-01
Fixed
6.00000000
N
N
N
N
N
N
Reynolds American Inc
02S2RPPVO9RP4NEU2740
Reynolds American Inc
761713BB1
1500000.00000000
PA
USD
1543390.17000000
0.206597780315
Long
DBT
CORP
US
N
2
2045-08-15
Fixed
5.85000000
N
N
N
N
N
N
DEUTSCHE BANK AG
7LTWFZYICNSX8D621K86
BRY0HF8G8 BLACKROCK
000000000
9980000.00000000
NC
USD
153752.38000000
0.020581250965
N/A
DIR
US
N
2
DEUTSCHE BANK AG
7LTWFZYICNSX8D621K86
Put
Purchased
DEUTSCHE BANK AG
7LTWFZYICNSX8D621K86
DEUTSCHE BANK AG
7LTWFZYICNSX8D621K86
IRS Swap
N/A
9980000.00000000
OU
Notional Amount
N/A
153752.38000000
0.02000000
DIR
US
N/A
N/A
2028-01-12
0.00000000
N/A
0.00000000
N/A
9980000.00000000
USD
1.00000000
2.59000000
USD
2023-01-12
XXXX
35692.64000000
N
N
N
ALLIED WORLD ASSURANCE
549300E2X3MLXVVR4T40
Allied World Assurance Co Holdings Ltd
01959EAC2
1495000.00000000
PA
USD
1524535.91000000
0.204073954298
Long
DBT
CORP
BM
N
2
2025-10-29
Fixed
4.35000000
N
N
N
N
N
N
Petroleos Mexicanos
549300CAZKPF4HKMPX17
Petroleos Mexicanos
71654QCG5
255000.00000000
PA
USD
257996.25000000
0.034535306506
Long
DBT
CORP
MX
N
2
2027-03-13
Fixed
6.50000000
N
N
N
N
N
N
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
FSWP: USD 0.814700 20-APR-2024
000000000
4290000.00000000
OU
Notional Amount
USD
-54982.05000000
-0.00735988197
N/A
DIR
US
N
2
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
N/A
N/A
Y
2024-04-22
0.00000000
USD
-101423.89000000
USD
4290000.00000000
USD
46441.84000000
N
N
N
PETROLEOS MEXICANOS
549300CAZKPF4HKMPX17
Petroleos Mexicanos
71643VAB1
130000.00000000
PA
USD
123500.00000000
0.016531675764
Long
DBT
CORP
MX
N
2
2032-02-16
Fixed
6.70000000
N
N
N
N
N
N
NABORS INDUSTRIES LTD
N/A
Nabors Industries Ltd
629571AA8
37000.00000000
PA
USD
37000.00000000
0.004952809743
Long
DBT
CORP
BM
N
2
2026-01-15
Fixed
7.25000000
N
N
N
N
N
N
Ascent Resources - Utica
549300EGLQ2M2CL7JZ89
Ascent Resources - Utica 2020 Fixed 2nd Lien Term Loan
000000000
1319229.76000000
PA
USD
1408277.77000000
0.188511671905
Long
LON
CORP
US
N
3
2025-11-01
Floating
10.00000000
N
N
N
N
N
N
Whitebox CLO III Ltd
549300JXCQSPB1A61C68
Whitebox CLO III Ltd
96467HAJ5
250000.00000000
PA
USD
247152.38000000
0.033083749074
Long
ABS-CBDO
CORP
KY
N
2
2034-10-15
Floating
3.47000000
N
N
N
N
N
N
Goldman Sachs Bank USA
KD3XUN7C6T14HNAYLU02
10Y RTR 1.022500 04-JUN-2025
000000000
840000.00000000
NC
USD
18525.52000000
0.002479820971
N/A
DIR
US
N
2
Goldman Sachs Bank USA
KD3XUN7C6T14HNAYLU02
Call
Purchased
Goldman Sachs Bank USA
KD3XUN7C6T14HNAYLU02
GOLDMAN SACHS BANK USA
KD3XUN7C6T14HNAYLU02
IRS Swap
N/A
840000.00000000
OU
Notional Amount
N/A
18525.52000000
0.00000000
DIR
US
N/A
N/A
2035-06-06
0.00000000
N/A
0.00000000
N/A
840000.00000000
USD
1.00000000
1.02250000
USD
2025-06-04
XXXX
2448.84000000
N
N
N
UNITED RENTALS NORTH AM
NGIZXNT70J2LYT3FBI09
United Rentals North America Inc
911365BL7
40000.00000000
PA
USD
41250.00000000
0.005521713565
Long
DBT
CORP
US
N
2
2030-01-15
Fixed
5.25000000
N
N
N
N
N
N
Callon Petroleum Co
549300EFOWPEB0WLZW21
Callon Petroleum Co
13123XAT9
85000.00000000
PA
USD
84575.00000000
0.011321186055
Long
DBT
CORP
US
N
2
2024-10-01
Fixed
6.13000000
N
N
N
N
N
N
REALOGY GROUP/CO-ISSUER
N/A
Realogy Group LLC / Realogy Co-Issuer Corp
75606DAL5
180000.00000000
PA
USD
169650.00000000
0.022709301971
Long
DBT
CORP
US
N
2
2029-01-15
Fixed
5.75000000
N
N
N
N
N
N
VIASAT INC
UFC8NYMNFSYIHNSM2I38
Viasat Inc
92552VAN0
35000.00000000
PA
USD
33600.00000000
0.004497686685
Long
DBT
CORP
US
N
2
2028-07-15
Fixed
6.50000000
N
N
N
N
N
N
ENLINK MIDSTREAM LLC
54930000GY1H533OBE23
EnLink Midstream LLC
29336TAC4
134000.00000000
PA
USD
136680.00000000
0.018295946911
Long
DBT
CORP
US
N
2
2028-01-15
Fixed
5.63000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140M9UE5
1012730.20000000
PA
USD
973000.65000000
0.130245597284
Long
ABS-MBS
USGSE
US
N
2
2052-01-01
Fixed
2.50000000
N
N
N
N
N
N
AVANTOR FUNDING INC
5493003VM0XB4U8YD238
Avantor Funding Inc
05352TAB5
178000.00000000
PA
USD
167320.00000000
0.022397408817
Long
DBT
CORP
US
N
2
2029-11-01
Fixed
3.88000000
N
N
N
N
N
N
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
FSWP: OIS 1.309000 18-JUL-2024
000000000
3110000.00000000
OU
Notional Amount
USD
6314.66000000
0.000845278637
N/A
DIR
US
N
2
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
N/A
N/A
Y
2024-07-18
0.00000000
USD
-34509.37000000
USD
3110000.00000000
USD
40824.03000000
N
N
N
HSBC SECURITIES (USA) INC
CYYGQCGNHMHPSMRL3R97
RRP FHLMC 30YR
000000000
-1242222.82000000
PA
USD
-1242222.82000000
-0.16628360233
Short
RA
CORP
US
N
2
Reverse repurchase
N
0.34000000
2022-04-13
1242222.82000000
USD
1242422.27000000
USD
AMBS
N
N
N
Gulf Stream Meridian 1 Ltd.
N/A
Gulf Stream Meridian 1 Ltd
402564AA6
500000.00000000
PA
USD
493873.70000000
0.066109796575
Long
ABS-CBDO
CORP
KY
N
2
2033-04-15
Floating
6.69000000
N
N
N
N
N
N
CVS Health Corp
549300EJG376EN5NQE29
CVS Health Corp
126650CN8
700000.00000000
PA
USD
790167.33000000
0.105771579752
Long
DBT
CORP
US
N
2
2045-07-20
Fixed
5.13000000
N
N
N
N
N
N
CHINA AOYUAN GROUP LTD
549300YSOKQO5QD6MP25
China Aoyuan Group Ltd
000000000
450000.00000000
PA
USD
72000.00000000
0.009637900040
Long
DBT
CORP
KY
N
2
2026-03-24
Fixed
6.20000000
Y
Y
N
N
N
N
PETSMART INC/PETSMART FI
N/A
PetSmart Inc / PetSmart Finance Corp
71677KAA6
271000.00000000
PA
USD
261895.76000000
0.035057293833
Long
DBT
CORP
US
N
2
2028-02-15
Fixed
4.75000000
N
N
N
N
N
N
BANK OF AMERICA NA
B4TYDEB6GKMZO031MB27
10Y RTP 1.937500 15-NOV-2023
000000000
3900000.00000000
NC
USD
255697.69000000
0.034227621901
N/A
DIR
LU
N
2
BANK OF AMERICA NA
B4TYDEB6GKMZO031MB27
Put
Purchased
BANK OF AMERICA NA
B4TYDEB6GKMZO031MB27
BANK OF AMERICA NA
B4TYDEB6GKMZO031MB27
IRS Swap
N/A
3900000.00000000
OU
Notional Amount
N/A
255697.69000000
0.03000000
DIR
LU
N/A
N/A
2033-12-17
0.00000000
N/A
0.00000000
N/A
3900000.00000000
USD
1.00000000
1.93750000
USD
2023-11-15
XXXX
99210.19000000
N
N
N
Navient Corp
54930067J0ZNOEBRW338
Navient Corp
63938CAB4
39000.00000000
PA
USD
39785.46000000
0.005325670646
Long
DBT
CORP
US
N
2
2024-10-25
Fixed
5.88000000
N
N
N
N
N
N
CSC HOLDINGS LLC
3HG2WD2W22M120IUNG49
CSC Holdings LLC
126307BA4
443000.00000000
PA
USD
394270.00000000
0.052776872904
Long
DBT
CORP
US
N
2
2030-01-15
Fixed
5.75000000
N
N
N
N
N
N
INDIA CLEANTECH ENERGY
254900DGTS4HHR3Q6F66
India Cleantech Energy
45410BAA2
243375.00000000
PA
USD
226338.75000000
0.030297642331
Long
DBT
CORP
MU
N
2
2026-08-10
Fixed
4.70000000
N
N
N
N
N
N
FORD MOTOR CREDIT CO LLC
UDSQCVRUX5BONN0VY111
Ford Motor Credit Co LLC
345397B77
200000.00000000
PA
USD
186002.00000000
0.024898176158
Long
DBT
CORP
US
N
2
2026-08-10
Fixed
2.70000000
N
N
N
N
N
N
IHEARTCOMMUNICATIONS INC
54930076J6KDZL504O62
iHeartCommunications Inc
45174HBE6
66000.00000000
PA
USD
65257.50000000
0.008735350860
Long
DBT
CORP
US
N
2
2027-08-15
Fixed
5.25000000
N
N
N
N
N
N
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
FSWP: OIS 2.274000 20-SEP-2024
000000000
5710000.00000000
OU
Notional Amount
USD
41509.76000000
0.005556484966
N/A
DIR
US
N
2
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
N/A
N/A
Y
2024-09-20
0.00000000
USD
-25.27000000
USD
5710000.00000000
USD
41535.03000000
N
N
N
PUG LLC
N/A
PUG LLC USD Term Loan
74530DAC9
110155.43000000
PA
USD
107814.63000000
0.014432036484
Long
LON
CORP
US
N
2
2027-02-12
Floating
3.96000000
N
N
N
N
N
N
JP MORGAN CHASE BANK
7H6GLXDRUGQFU57RNE97
10Y RTR 2.725000 27-APR-2038
000000000
910000.00000000
NC
USD
89684.21000000
0.012005103489
N/A
DIR
US
N
2
JP MORGAN CHASE BANK
7H6GLXDRUGQFU57RNE97
Call
Purchased
JP MORGAN CHASE BANK
7H6GLXDRUGQFU57RNE97
JP MORGAN CHASE BANK
7H6GLXDRUGQFU57RNE97
IRS Swap
N/A
910000.00000000
OU
Notional Amount
N/A
89684.21000000
0.01000000
DIR
US
N/A
N/A
2048-04-27
0.00000000
N/A
0.00000000
N/A
910000.00000000
USD
1.00000000
2.72500000
USD
2038-04-27
XXXX
-7489.37000000
N
N
N
JPMorgan Chase Bank N.A.
R0MUWSFPU8MPRO8K5P83
PURCHASED USD / SOLD EUR
000000000
1.00000000
NC
-43889.49000000
-0.00587503496
N/A
DFE
US
N
2
JPMorgan Chase Bank N.A.
R0MUWSFPU8MPRO8K5P83
4951000.00000000
EUR
5447946.72000000
USD
2022-06-15
-43889.49000000
N
N
N
TICP CLO Ltd
N/A
TICP CLO XV Ltd
87250RAD6
250000.00000000
PA
USD
249996.88000000
0.033464513055
Long
ABS-CBDO
CORP
KY
N
2
2033-04-20
Floating
3.40000000
N
N
N
N
N
N
CLEAR CHANNEL OUTDOOR HO
N/A
Clear Channel Outdoor Holdings Inc
18453HAA4
692000.00000000
PA
USD
684519.48000000
0.091629587838
Long
DBT
CORP
US
N
2
2027-08-15
Fixed
5.13000000
N
N
N
N
N
N
IQVIA Inc
549300PLWY28YB00C717
IQVIA Inc
46266TAA6
266000.00000000
PA
USD
268937.97000000
0.035999962112
Long
DBT
CORP
US
N
2
2027-05-15
Fixed
5.00000000
N
N
N
N
N
N
Epicor Software Corporation
JGNXVGGGXR4O1L5I7S73
Epicor Software Corporation 2020 2nd Lien Term Loan
29426NAQ7
62000.00000000
PA
USD
63162.50000000
0.008454914740
Long
LON
CORP
US
N
2
2028-07-31
Floating
8.75000000
N
N
N
N
N
N
Goldman Sachs Bank USA
KD3XUN7C6T14HNAYLU02
2Y RTR 1.780000 15-NOV-2022
000000000
-27890000.00000000
NC
USD
-56587.14000000
-0.00757473887
N/A
DIR
US
N
2
Goldman Sachs Bank USA
KD3XUN7C6T14HNAYLU02
Call
Written
Goldman Sachs Bank USA
KD3XUN7C6T14HNAYLU02
GOLDMAN SACHS BANK USA
KD3XUN7C6T14HNAYLU02
IRS Swap
N/A
27890000.00000000
OU
Notional Amount
N/A
-56587.14000000
-0.01000000
DIR
US
N/A
N/A
2024-11-17
0.00000000
N/A
0.00000000
N/A
27890000.00000000
USD
1.00000000
1.78000000
USD
2022-11-15
XXXX
89835.36000000
N
N
N
ARCONIC CORP
549300B4YFWH3U74B152
Arconic Corp
03966VAA5
233000.00000000
PA
USD
233784.05000000
0.031294268126
Long
DBT
CORP
US
N
2
2028-02-15
Fixed
6.13000000
N
N
N
N
N
N
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
FSWP: OIS 2.509500 26-SEP-2024
000000000
3280000.00000000
OU
Notional Amount
USD
9295.94000000
0.001244351951
N/A
DIR
US
N
2
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
N/A
N/A
Y
2024-09-26
0.00000000
USD
-14.51000000
USD
3280000.00000000
USD
9310.45000000
N
N
N
DUN & BRADSTREET CORP
RI37BMPWE56BCJ747E14
Dun & Bradstreet Corp/The
26483EAL4
319000.00000000
PA
USD
299860.00000000
0.040139176476
Long
DBT
CORP
US
N
2
2029-12-15
Fixed
5.00000000
N
N
N
N
N
N
SUMMER BC HOLDCO B SARL
984500NRF59D5DB9B654
Summer BC Holdco B SARL
000000000
100000.00000000
PA
112049.38000000
0.014998898945
Long
DBT
CORP
LU
N
2
2026-10-31
Fixed
5.75000000
N
N
N
N
N
N
CONTINUUM ENERGY LEVANTE
254900MFSMO37F3WJ232
Continuum Energy Levanter Pte Ltd
21218MAB1
197250.00000000
PA
USD
188373.75000000
0.025215657956
Long
DBT
CORP
SG
N
2
2027-02-09
Fixed
4.50000000
N
N
N
N
N
N
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
SWP: OIS 0.670000 17-SEP-2026
000000000
9710000.00000000
OU
Notional Amount
USD
-632816.78000000
-0.08470867874
N/A
DIR
US
N
2
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
N/A
N/A
Y
2026-09-17
0.00000000
USD
-448969.12000000
USD
9710000.00000000
USD
-183847.66000000
N
N
N
UNITED GROUP BV
213800PC85O8BJ7DU398
United Group BV
000000000
100000.00000000
PA
103309.57000000
0.013828990401
Long
DBT
CORP
NL
N
2
2030-02-01
Fixed
5.25000000
N
N
N
N
N
N
FAIR ISAAC CORP
RI6HET5SJUEY30V1PS26
Fair Isaac Corp
303250AF1
240000.00000000
PA
USD
232348.80000000
0.031102145958
Long
DBT
CORP
US
N
2
2028-06-15
Fixed
4.00000000
N
N
N
N
N
N
China Evergrande Group
549300CUF7B1LAB15T90
China Evergrande Group
000000000
400000.00000000
PA
USD
50000.00000000
0.006692986139
Long
DBT
CORP
KY
N
2
2022-04-11
Fixed
9.50000000
Y
Y
N
N
N
N
Northwell Healthcare Inc
54930073NUTKK4QD3P47
Northwell Healthcare Inc
667274AC8
725000.00000000
PA
USD
731077.39000000
0.097861816764
Long
DBT
CORP
US
N
2
2047-11-01
Fixed
4.26000000
N
N
N
N
N
N
IRON MOUNTAIN INC
SQL3F6CKNNBM3SQGHX24
Iron Mountain Inc
46284VAL5
179000.00000000
PA
USD
176365.12000000
0.023608186073
Long
DBT
US
N
2
2032-07-15
Fixed
5.63000000
N
N
N
N
N
N
CSX Corp
549300JVQR4N1MMP3Q88
CSX Corp
126408GW7
350000.00000000
PA
USD
387725.38000000
0.051900811886
Long
DBT
CORP
US
N
2
2042-05-30
Fixed
4.75000000
N
N
N
N
N
N
HSBC SECURITIES (USA) INC
CYYGQCGNHMHPSMRL3R97
RRP FNMA 30YR U
000000000
-647468.88000000
PA
USD
-647468.88000000
-0.08667000479
Short
RA
CORP
US
N
2
Reverse repurchase
N
0.34000000
2022-04-13
647468.88000000
USD
647572.83000000
USD
AMBS
N
N
N
CONDOR MERGER SUB INC
254900SAGUYT3MBUU161
Condor Merger Sub Inc
579063AB4
233000.00000000
PA
USD
223502.92000000
0.029918038914
Long
DBT
CORP
US
N
2
2030-02-15
Fixed
7.38000000
N
N
N
N
N
N
SCOTTS MIRACLE-GRO CO
2TH9E0JTOUXOEGI2R879
Scotts Miracle-Gro Co/The
810186AX4
161000.00000000
PA
USD
140389.59000000
0.018792511600
Long
DBT
CORP
US
N
2
2031-04-01
Fixed
4.00000000
N
N
N
N
N
N
BNP PARIBAS
R0MUWSFPU8MPRO8K5P83
BRY03VJ27 RRP TREASURY NO
000000000
-41475000.00000000
PA
USD
-41475000.00000000
-5.55183200277
Short
RA
CORP
US
N
2
Reverse repurchase
N
0.33000000
2049-12-31
41475000.00000000
USD
41480322.62000000
USD
UST
N
N
N
CAESARS ENTERTAIN INC
549300FA4CTCW903Y781
Caesars Entertainment Inc
12769GAA8
388000.00000000
PA
USD
362780.00000000
0.048561630234
Long
DBT
CORP
US
N
2
2029-10-15
Fixed
4.63000000
N
N
N
N
N
N
TICP CLO Ltd
N/A
TICP CLO X Ltd
87249DAA7
250000.00000000
PA
USD
235057.35000000
0.031464711711
Long
ABS-CBDO
CORP
KY
N
2
2031-04-20
Floating
5.75000000
N
N
N
N
N
N
SHUI ON DEVELOPMENT HLDG
3003005J4J3G9CZFDK52
Shui On Development Holding Ltd
000000000
482000.00000000
PA
USD
441030.00000000
0.059036153542
Long
DBT
CORP
KY
N
2
2025-03-03
Fixed
5.50000000
N
N
N
N
N
N
FIRSTENERGY CORP
549300SVYJS666PQJH88
FirstEnergy Corp
337932AP2
14000.00000000
PA
USD
12390.00000000
0.001658521965
Long
DBT
CORP
US
N
2
2030-09-01
Fixed
2.25000000
N
N
N
N
N
N
SWF ESCROW ISSUER CORP
N/A
SWF Escrow Issuer Corp
78500AAA6
187000.00000000
PA
USD
161605.40000000
0.021632454045
Long
DBT
CORP
US
N
2
2029-10-01
Fixed
6.50000000
N
N
N
N
N
N
Countrywide Alternative Loan Trust
N/A
Alternative Loan Trust 2005-64CB
12668AA21
481060.46000000
PA
USD
466493.66000000
0.062444712011
Long
ABS-MBS
CORP
US
N
2
2035-12-25
Fixed
5.50000000
N
N
N
N
N
N
Alliant Holdings Intermediate, LLC
5493006Q26653NF8SI73
Alliant Holdings Intermediate, LLC 2021 Term Loan B4
01881UAJ4
150245.00000000
PA
USD
149097.13000000
0.019958100490
Long
LON
CORP
US
N
2
2027-11-06
Floating
4.00000000
N
N
N
N
N
N
KAISER ALUMINUM CORP
N/A
Kaiser Aluminum Corp
483007AL4
71000.00000000
PA
USD
64012.89000000
0.008568747710
Long
DBT
CORP
US
N
2
2031-06-01
Fixed
4.50000000
N
N
N
N
N
N
DOMINICAN REPUBLIC
254900EHU7Q8FGVPI369
Dominican Republic International Bond
25714PEN4
150000.00000000
PA
USD
145996.88000000
0.019543101885
Long
DBT
NUSS
DO
N
2
2033-02-22
Fixed
6.00000000
N
N
N
N
N
N
DEUTSCHE BANK AG
7LTWFZYICNSX8D621K86
10Y RTP 1.540000 05-AUG-2024
000000000
4597500.00000000
NC
USD
348921.01000000
0.046706469674
N/A
DIR
US
N
2
DEUTSCHE BANK AG
7LTWFZYICNSX8D621K86
Put
Purchased
DEUTSCHE BANK AG
7LTWFZYICNSX8D621K86
DEUTSCHE BANK AG
7LTWFZYICNSX8D621K86
IRS Swap
N/A
4597500.00000000
OU
Notional Amount
N/A
348921.01000000
0.05000000
DIR
US
N/A
N/A
2034-08-07
0.00000000
N/A
0.00000000
N/A
4597500.00000000
USD
1.00000000
1.54000000
USD
2024-08-05
XXXX
89553.31000000
N
N
N
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
FSWP: USD 0.761960 19-APR-2024
000000000
6090000.00000000
OU
Notional Amount
USD
-83979.32000000
-0.01124144849
N/A
DIR
US
N
2
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
N/A
N/A
Y
2024-04-19
0.00000000
USD
-149574.82000000
USD
6090000.00000000
USD
65595.50000000
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140LT3N2
1488112.23000000
PA
USD
1430654.45000000
0.191507008087
Long
ABS-MBS
USGSE
US
N
2
2052-01-01
Fixed
2.50000000
N
N
N
N
N
N
ITT HOLDINGS LLC
549300TH2PHOLK31LB42
ITT Holdings LLC
45074JAA2
232000.00000000
PA
USD
214303.04000000
0.028686545527
Long
DBT
CORP
US
N
2
2029-08-01
Fixed
6.50000000
N
N
N
N
N
N
Advisor Group, Inc.
N/A
Advisor Group, Inc. 2021 Term Loan
00775KAE8
40601.16000000
PA
USD
40385.57000000
0.005406001204
Long
LON
CORP
US
N
2
2026-07-31
None
0.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140FXCQ3
1085303.03000000
PA
USD
1135600.94000000
0.152011227030
Long
ABS-MBS
USGSE
US
N
2
2056-04-01
Fixed
4.00000000
N
N
N
N
N
N
Helios Software Holdings, Inc.
2138002XO5EAYFHPPT53
Helios Software Holdings, Inc. 2021 USD Term Loan B
42328DAF5
80371.43000000
PA
USD
79517.89000000
0.010644242712
Long
LON
CORP
US
N
2
2028-03-11
Floating
5.25000000
N
N
N
N
N
N
CDP Financial Inc
549300OXMGVYFCBFV096
CDP Financial Inc
125094AC6
5890000.00000000
PA
USD
7660854.89000000
1.025479911920
Long
DBT
CORP
CA
N
2
2039-11-25
Fixed
5.60000000
N
N
N
N
N
N
ASCENT RESOURCES/ARU FIN
N/A
Ascent Resources Utica Holdings LLC / ARU Finance Corp
04364VAK9
570000.00000000
PA
USD
780900.00000000
0.104531057527
Long
DBT
CORP
US
N
2
2027-11-01
Fixed
9.00000000
N
N
N
N
N
N
REPUBLICA ORIENT URUGUAY
549300RDR012H2V82H43
Uruguay Government International Bond
760942BD3
82520.00000000
PA
USD
96357.57000000
0.012898397609
Long
DBT
NUSS
UY
N
2
2055-04-20
Fixed
4.98000000
N
N
N
N
N
N
CARNIVAL CORP
F1OF2ZSX47CR0BCWA982
Carnival Corp
143658BQ4
805000.00000000
PA
USD
748650.00000000
0.100214081467
Long
DBT
CORP
PA
N
2
2028-08-01
Fixed
4.00000000
N
N
N
N
N
N
AROUNDTOWN SA
529900H4DWG3KWMBMQ39
Aroundtown SA
000000000
100000.00000000
PA
108550.76000000
0.014530574642
Long
DBT
CORP
LU
N
2
2024-09-23
Fixed
3.38000000
N
N
N
N
N
N
TEVA PHARM FNC NL II
549300HSQCIKJAOYIT23
Teva Pharmaceutical Finance Netherlands II BV
000000000
100000.00000000
PA
115589.27000000
0.015472747639
Long
DBT
CORP
NL
N
2
2025-01-31
Fixed
6.00000000
N
N
N
N
N
N
VICI PROPERTIES / NOTE
N/A
VICI Properties LP / VICI Note Co Inc
92564RAD7
229000.00000000
PA
USD
222702.50000000
0.029810894914
Long
DBT
US
N
2
2027-02-15
Fixed
3.75000000
N
N
N
N
N
N
PENSKE AUTOMOTIVE GROUP
549300W7UTQ0M4C7LB15
Penske Automotive Group Inc
70959WAJ2
29000.00000000
PA
USD
28782.50000000
0.003852817471
Long
DBT
CORP
US
N
2
2025-09-01
Fixed
3.50000000
N
N
N
N
N
N
Oracle Corp
1Z4GXXU7ZHVWFCD8TV52
Oracle Corp
68389XBX2
1250000.00000000
PA
USD
1036702.88000000
0.138772760133
Long
DBT
CORP
US
N
2
2050-04-01
Fixed
3.60000000
N
N
N
N
N
N
DIRECTV FIN LLC/COINC
N/A
Directv Financing LLC / Directv Financing Co-Obligor Inc
25461LAA0
299000.00000000
PA
USD
294141.25000000
0.039373666186
Long
DBT
CORP
US
N
2
2027-08-15
Fixed
5.88000000
N
N
N
N
N
N
VALLOUREC SA
969500P2Q1B47H4MCJ34
Vallourec SA
000000000
17000.00000000
PA
19236.94000000
0.002575051455
Long
DBT
CORP
FR
N
2
2026-06-30
Fixed
8.50000000
N
N
N
N
N
N
SCIENTIFIC GAMES INTERNA
RLTHESQ0RNFQJWPBJN60
Scientific Games International Inc
80874YBG4
136000.00000000
PA
USD
142970.00000000
0.019137924567
Long
DBT
CORP
US
N
2
2025-07-01
Fixed
8.63000000
N
N
N
N
N
N
COMMSCOPE TECH LLC
M4TWC4QDOKW45N7T6Y12
CommScope Technologies LLC
20337YAA5
32000.00000000
PA
USD
30307.52000000
0.004056956225
Long
DBT
CORP
US
N
2
2025-06-15
Fixed
6.00000000
N
N
N
N
N
N
YUZHOU GROUP
213800MP59KHGJSPHE82
Yuzhou Group Holdings Co Ltd
000000000
200000.00000000
PA
USD
28000.00000000
0.003748072238
Long
DBT
CORP
KY
N
2
2027-01-13
Fixed
6.35000000
N
N
N
N
N
N
EOG Resources Inc
XWTZDRYZPBUHIQBKDB46
EOG Resources Inc
26875PAQ4
200000.00000000
PA
USD
223255.18000000
0.029884876506
Long
DBT
CORP
US
N
2
2036-01-15
Fixed
5.10000000
N
N
N
N
N
N
TENET HEALTHCARE CORP
0W9AIBT6U6ADJ2I8HK17
Tenet Healthcare Corp
88033GCY4
311000.00000000
PA
USD
313721.25000000
0.041994639558
Long
DBT
CORP
US
N
2
2026-01-01
Fixed
4.88000000
N
N
N
N
N
N
RENEW POWER PVT LTD
335800BITJZHVZ1CN475
ReNew Power Pvt Ltd
000000000
306000.00000000
PA
USD
299359.80000000
0.040072219842
Long
DBT
CORP
IN
N
2
2027-03-05
Fixed
5.88000000
N
N
N
N
N
N
BANK OF AMERICA NA
B4TYDEB6GKMZO031MB27
10Y RTP 1.847500 15-NOV-2022
000000000
-5422500.00000000
NC
USD
-343163.73000000
-0.04593580176
N/A
DIR
US
N
2
BANK OF AMERICA NA
B4TYDEB6GKMZO031MB27
Put
Written
BANK OF AMERICA NA
B4TYDEB6GKMZO031MB27
BANK OF AMERICA NA
B4TYDEB6GKMZO031MB27
IRS Swap
N/A
5422500.00000000
OU
Notional Amount
N/A
-343163.73000000
-0.05000000
DIR
US
N/A
N/A
2032-11-17
0.00000000
N/A
0.00000000
N/A
5422500.00000000
USD
1.00000000
1.84750000
USD
2022-11-15
XXXX
-182928.85000000
N
N
N
MGM GROWTH/MGM FINANCE
549300U6G4UOCMLQK204
MGM Growth Properties Operating Partnership LP / MGP Finance Co-Issuer Inc
55303XAF2
205000.00000000
PA
USD
206537.50000000
0.027647052496
Long
DBT
US
N
2
2028-01-15
Fixed
4.50000000
N
N
N
N
N
N
NATIONSTAR MTG HLD INC
N/A
Nationstar Mortgage Holdings Inc
63861CAE9
66000.00000000
PA
USD
62944.85000000
0.008425780172
Long
DBT
CORP
US
N
2
2031-11-15
Fixed
5.75000000
N
N
N
N
N
N
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
FSWP: OIS 1.230500 14-JUN-2027
000000000
880000.00000000
OU
Notional Amount
USD
-44569.80000000
-0.00596610107
N/A
DIR
US
N
2
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
N/A
N/A
Y
2027-06-14
0.00000000
USD
-24803.02000000
USD
880000.00000000
USD
-19766.78000000
N
N
N
MGM GROWTH/MGM FINANCE
N/A
MGM Growth Properties Operating Partnership LP / MGP Finance Co-Issuer Inc
55303XAK1
145000.00000000
PA
USD
146087.50000000
0.019555232253
Long
DBT
US
N
2
2025-06-15
Fixed
4.63000000
N
N
N
N
N
N
Crown Cork & Seal Co Inc
7HLDMDH0ZXNUH6PT7Z42
Crown Cork & Seal Co Inc
228255AH8
23000.00000000
PA
USD
25954.24000000
0.003474227371
Long
DBT
CORP
US
N
2
2026-12-15
Fixed
7.38000000
N
N
N
N
N
N
BELL CANADA
549300JYAVAQRV5MNZ86
Bell Telephone Co of Canada or Bell Canada/The
0778FPAF6
335000.00000000
PA
USD
319319.61000000
0.042744034476
Long
DBT
CORP
CA
N
2
2051-03-17
Fixed
3.65000000
N
N
N
N
N
N
ZF FINANCE GMBH
5493001N9T6QDCCXB426
ZF Finance GmbH
000000000
100000.00000000
PA
104955.45000000
0.014049307442
Long
DBT
CORP
DE
N
2
2028-09-21
Fixed
3.75000000
N
N
N
N
N
N
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
FSWP: OIS 0.985500 07-APR-2024
000000000
6220000.00000000
OU
Notional Amount
USD
-15777.82000000
-0.00211201461
N/A
DIR
US
N
2
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
N/A
N/A
Y
2024-04-08
0.00000000
USD
-86314.41000000
USD
6220000.00000000
USD
70536.59000000
N
N
N
Chicago Board of Trade
549300EX04Q2QBFQTQ27
US ULTRA BOND CBT JUN22
000000000
223.00000000
NC
USD
-1543524.07000000
-0.20661570413
N/A
DIR
US
N
1
Chicago Board of Trade
549300EX04Q2QBFQTQ27
Long
CME Ultra Long Term US Treasury Bond Future
WNM2 COMDTY
2022-06-21
41014524.07000000
USD
-1543524.07000000
N
N
N
Lockheed Martin Corp
DPRBOZP0K5RM2YE8UU08
Lockheed Martin Corp
539830BN8
1410000.00000000
PA
USD
1548987.07000000
0.207346979797
Long
DBT
CORP
US
N
2
2052-09-15
Fixed
4.09000000
N
N
N
N
N
N
ROYAL CARIBBEAN CRUISES
K2NEH8QNVW44JIWK7Z55
Royal Caribbean Cruises Ltd
780153BJ0
77000.00000000
PA
USD
74828.60000000
0.010016535652
Long
DBT
CORP
LR
N
2
2026-08-31
Fixed
5.50000000
N
N
N
N
N
N
Goldman Sachs Bank USA
KD3XUN7C6T14HNAYLU02
10Y RTP 1.710000 24-JUN-2024
000000000
2455000.00000000
NC
USD
163341.31000000
0.021864822476
N/A
DIR
US
N
2
Goldman Sachs Bank USA
KD3XUN7C6T14HNAYLU02
Put
Purchased
Goldman Sachs Bank USA
KD3XUN7C6T14HNAYLU02
GOLDMAN SACHS BANK USA
KD3XUN7C6T14HNAYLU02
IRS Swap
N/A
2455000.00000000
OU
Notional Amount
N/A
163341.31000000
0.02000000
DIR
US
N/A
N/A
2034-06-26
0.00000000
N/A
0.00000000
N/A
2455000.00000000
USD
1.00000000
1.71000000
USD
2024-06-24
XXXX
44676.66000000
N
N
N
ROMANIA
315700IASY927EDWBK92
Romanian Government International Bond
77586RAH3
130000.00000000
PA
USD
120412.50000000
0.016118383870
Long
DBT
NUSS
RO
N
2
2031-02-14
Fixed
3.00000000
N
N
N
N
N
N
SCENERY JOURNEY LTD
549300Q2FGQXKG7X0I83
Scenery Journey Ltd
000000000
330000.00000000
PA
USD
29700.00000000
0.003975633766
Long
DBT
CORP
VG
N
2
2023-10-24
Fixed
12.00000000
Y
Y
N
N
N
N
TENET HEALTHCARE CORP
0W9AIBT6U6ADJ2I8HK17
Tenet Healthcare Corp
88033GDG2
55000.00000000
PA
USD
53968.75000000
0.007224241914
Long
DBT
CORP
US
N
2
2028-06-15
Fixed
4.63000000
N
N
N
N
N
N
Graham Holdings Co
529900BOSCEEEMAFQJ29
Graham Holdings Co
384637AA2
27000.00000000
PA
USD
27727.65000000
0.003711615542
Long
DBT
CORP
US
N
2
2026-06-01
Fixed
5.75000000
N
N
N
N
N
N
BANK OF AMERICA NA
B4TYDEB6GKMZO031MB27
5Y RTP 2.750000 01-AUG-2022
000000000
8350000.00000000
NC
USD
54946.01000000
0.007355057667
N/A
DIR
US
N
2
BANK OF AMERICA NA
B4TYDEB6GKMZO031MB27
Put
Purchased
BANK OF AMERICA NA
B4TYDEB6GKMZO031MB27
BANK OF AMERICA NA
B4TYDEB6GKMZO031MB27
IRS Swap
N/A
8350000.00000000
OU
Notional Amount
N/A
54946.01000000
0.01000000
DIR
US
N/A
N/A
2027-08-03
0.00000000
N/A
0.00000000
N/A
8350000.00000000
USD
1.00000000
2.75000000
USD
2022-08-01
XXXX
46804.76000000
N
N
N
UBER TECHNOLOGIES INC
549300B2FTG34FILDR98
Uber Technologies Inc
90353TAK6
316000.00000000
PA
USD
296250.00000000
0.039655942876
Long
DBT
CORP
US
N
2
2029-08-15
Fixed
4.50000000
N
N
N
N
N
N
CARNIVAL CORP
F1OF2ZSX47CR0BCWA982
Carnival Corp
143658BJ0
258000.00000000
PA
USD
285172.56000000
0.038173119829
Long
DBT
CORP
PA
N
2
2027-08-01
Fixed
9.88000000
N
N
N
N
N
N
VENTURE GLOBAL CALCASIEU
549300GKHS6RS20NLH85
Venture Global Calcasieu Pass LLC
92328MAA1
545000.00000000
PA
USD
529810.85000000
0.070920333512
Long
DBT
CORP
US
N
2
2029-08-15
Fixed
3.88000000
N
N
N
N
N
N
Mariner Finance Issuance Trust
N/A
Mariner Finance Issuance Trust 2021-A
56848DAC3
190000.00000000
PA
USD
171097.64000000
0.022903082660
Long
ABS-O
CORP
US
N
2
2036-03-20
Fixed
2.96000000
N
N
N
N
N
N
FORTUNE STAR BVI LTD
2549008CU8NYQQRSNU62
Fortune Star BVI Ltd
000000000
200000.00000000
PA
USD
167000.00000000
0.022354573706
Long
DBT
CORP
VG
N
2
2026-05-18
Fixed
5.00000000
N
N
N
N
N
N
AVAYA INC
J6LB5QIFSP2MFEFG4U76
Avaya Inc
053499AL3
275000.00000000
PA
USD
271196.75000000
0.036302321776
Long
DBT
CORP
US
N
2
2028-09-15
Fixed
6.13000000
N
N
N
N
N
N
MINERALS TECHNOLOGIES IN
549300D3I1QU67GP6403
Minerals Technologies Inc
603158AA4
114000.00000000
PA
USD
108585.00000000
0.014535157999
Long
DBT
CORP
US
N
2
2028-07-01
Fixed
5.00000000
N
N
N
N
N
N
NEW GOLD INC
5493005G0GNCHP0H6L96
New Gold Inc
644535AH9
470000.00000000
PA
USD
487625.00000000
0.065273347326
Long
DBT
CORP
CA
N
2
2027-07-15
Fixed
7.50000000
N
N
N
N
N
N
BARCLAYS BANK PLC
G5GSEF7VJP5I7OUK5573
CDS: (CMBX.NA.8.BBB-)
000000000
5000000.00000000
OU
Notional Amount
USD
-646934.98000000
-0.08659853708
N/A
DCR
US
N
2
BARCLAYS BANK PLC
G5GSEF7VJP5I7OUK5573
CMBX.NA.BBB-.8
137BERAH0
Y
sell protection
2057-10-17
0.00000000
USD
-485246.55000000
USD
5000000.00000000
USD
-161688.43000000
N
N
N
ENDEAVOR ENERGY RESOURCE
549300WY5QI80P9WHD46
Endeavor Energy Resources LP / EER Finance Inc
29260FAE0
239000.00000000
PA
USD
247066.25000000
0.033072219736
Long
DBT
CORP
US
N
2
2028-01-30
Fixed
5.75000000
N
N
N
N
N
N
Cenovus Energy Inc
549300F4XPHJ7NOSP309
Cenovus Energy Inc
15135UAR0
76000.00000000
PA
USD
85571.84000000
0.011454622781
Long
DBT
CORP
CA
N
2
2047-06-15
Fixed
5.40000000
N
N
N
N
N
N
Zayo Group Holdings, Inc.
529900Z6OTS7RT0V0I47
Zayo Group Holdings, Inc. USD Term Loan
98919XAB7
386602.63000000
PA
USD
375874.41000000
0.050314444326
Long
LON
CORP
US
N
2
2027-03-09
Floating
3.46000000
N
N
N
N
N
N
AMERICAN AIRLINES INC
IWUQB36BXD6OWD6X4T14
American Airlines Inc
023771S58
214000.00000000
PA
USD
249842.86000000
0.033443895981
Long
DBT
CORP
US
N
2
2025-07-15
Fixed
11.75000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140MBWR9
784596.23000000
PA
USD
753816.81000000
0.100905709222
Long
ABS-MBS
USGSE
US
N
2
2051-12-01
Fixed
2.50000000
N
N
N
N
N
N
NEW ENTERPRISE STONE & L
549300O5DQ5Y61B8VF38
New Enterprise Stone & Lime Co Inc
644274AG7
26000.00000000
PA
USD
26227.50000000
0.003510805879
Long
DBT
CORP
US
N
2
2028-07-15
Fixed
9.75000000
N
N
N
N
N
N
Goldman Sachs Bank USA
KD3XUN7C6T14HNAYLU02
10Y RTP 1.740000 28-JUN-2024
000000000
2455000.00000000
NC
USD
159746.97000000
0.021383685120
N/A
DIR
US
N
2
Goldman Sachs Bank USA
KD3XUN7C6T14HNAYLU02
Put
Purchased
Goldman Sachs Bank USA
KD3XUN7C6T14HNAYLU02
GOLDMAN SACHS BANK USA
KD3XUN7C6T14HNAYLU02
IRS Swap
N/A
2455000.00000000
OU
Notional Amount
N/A
159746.97000000
0.02000000
DIR
US
N/A
N/A
2034-07-02
0.00000000
N/A
0.00000000
N/A
2455000.00000000
USD
1.00000000
1.74000000
USD
2024-06-28
XXXX
43890.56000000
N
N
N
BANK OF AMERICA NA
B4TYDEB6GKMZO031MB27
10Y RTR 1.847500 15-NOV-2022
000000000
-5422500.00000000
NC
USD
-52778.66000000
-0.00706493679
N/A
DIR
US
N
2
BANK OF AMERICA NA
B4TYDEB6GKMZO031MB27
Call
Written
BANK OF AMERICA NA
B4TYDEB6GKMZO031MB27
BANK OF AMERICA NA
B4TYDEB6GKMZO031MB27
IRS Swap
N/A
5422500.00000000
OU
Notional Amount
N/A
-52778.66000000
-0.01000000
DIR
US
N/A
N/A
2032-11-17
0.00000000
N/A
0.00000000
N/A
5422500.00000000
USD
1.00000000
1.84750000
USD
2022-11-15
XXXX
107456.22000000
N
N
N
TOLL BROS FINANCE CORP
N/A
Toll Brothers Finance Corp
88947EAT7
8000.00000000
PA
USD
8037.48000000
0.001075894844
Long
DBT
CORP
US
N
2
2028-02-15
Fixed
4.35000000
N
N
N
N
N
N
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
FSWP: OIS 1.628300 15-NOV-2031
000000000
4110000.00000000
OU
Notional Amount
USD
-185117.64000000
-0.02477979597
N/A
DIR
US
N
2
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
N/A
N/A
Y
2031-11-17
0.00000000
USD
-87863.73000000
USD
4110000.00000000
USD
-97253.91000000
N
N
N
MGM CHINA HOLDINGS LTD
529900VZFN87OS7WJM66
MGM China Holdings Ltd
000000000
450000.00000000
PA
USD
411271.88000000
0.055052739848
Long
DBT
CORP
KY
N
2
2026-05-15
Fixed
5.88000000
N
N
N
N
N
N
ARDAGH PKG FIN/HLDGS USA
N/A
Ardagh Packaging Finance PLC / Ardagh Holdings USA Inc
03969AAR1
442000.00000000
PA
USD
408573.75000000
0.054691568914
Long
DBT
CORP
XX
N
2
2027-08-15
Fixed
5.25000000
N
N
N
N
N
N
GOODYEAR TIRE & RUBBER
5493002BI0S2ZQUY3437
Goodyear Tire & Rubber Co/The
382550BL4
88000.00000000
PA
USD
81977.28000000
0.010973455975
Long
DBT
CORP
US
N
2
2029-07-15
Fixed
5.00000000
N
N
N
N
N
N
CORNERSTONE BUILDING
549300IW41QEWQ6T0H29
Cornerstone Building Brands Inc
21925DAA7
321000.00000000
PA
USD
297904.05000000
0.039877353551
Long
DBT
CORP
US
N
2
2029-01-15
Fixed
6.13000000
N
N
N
N
N
N
UNIQUE PUB FINANCE CO
213800FOMWLKHQTI5562
Unique Pub Finance Co PLC/The
000000000
2071200.00000000
PA
2825389.26000000
0.378205823121
Long
ABS-O
CORP
GB
N
2
2024-03-28
Fixed
7.40000000
N
N
N
N
N
N
ENERGIZER HOLDINGS INC
5493000D6NN0V57UME20
Energizer Holdings Inc
29272WAF6
80000.00000000
PA
USD
79200.00000000
0.010601690045
Long
DBT
CORP
US
N
2
2027-12-31
Fixed
6.50000000
N
N
N
N
N
N
GLOBAL PRIME CAPITAL
254900BOZNNFPDZAEZ24
Global Prime Capital Pte Ltd
000000000
200000.00000000
PA
USD
190000.00000000
0.025433347330
Long
DBT
CORP
SG
N
2
2025-01-23
Fixed
5.95000000
N
N
N
N
N
N
TMBTHANACHART BANK PCL
549300WKGLXEV3DB7I54
TMBThanachart Bank PCL
000000000
250000.00000000
PA
USD
239578.13000000
0.032069862068
Long
DBT
CORP
TH
N
2
2024-12-02
Fixed
4.90000000
N
N
N
N
N
N
SHIFT4 PAYMENTS LLC/FIN
N/A
Shift4 Payments LLC / Shift4 Payments Finance Sub Inc
82453AAA5
192000.00000000
PA
USD
186720.00000000
0.024994287439
Long
DBT
CORP
US
N
2
2026-11-01
Fixed
4.63000000
N
N
N
N
N
N
AT&T Inc
549300Z40J86GGSTL398
AT&T Inc
00206RDH2
2400000.00000000
PA
USD
2697006.19000000
0.361020500960
Long
DBT
CORP
US
N
2
2042-03-15
Fixed
5.15000000
N
N
N
N
N
N
GRAPHIC PACKAGING INTERN
SO75N4VY5NXGQSK8YQ65
Graphic Packaging International LLC
38869AAA5
53000.00000000
PA
USD
53530.00000000
0.007165510961
Long
DBT
CORP
US
N
2
2027-07-15
Fixed
4.75000000
N
N
N
N
N
N
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
FSWP: OIS 1.904000 14-FEB-2028
000000000
1250000.00000000
OU
Notional Amount
USD
-24405.47000000
-0.00326690944
N/A
DIR
US
N
2
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
N/A
N/A
Y
2028-02-14
813.43000000
USD
0.00000000
USD
1250000.00000000
USD
-25218.90000000
N
N
N
PILGRIM'S PRIDE CORP
549300ZSLGV64ZL3HD75
Pilgrim's Pride Corp
72147KAG3
377000.00000000
PA
USD
329115.35000000
0.044055289517
Long
DBT
CORP
US
N
2
2032-03-01
Fixed
3.50000000
N
N
N
N
N
N
Gainwell Acquisition Corp.
N/A
Gainwell Acquisition Corp. Term Loan B
59909TAC8
647180.14000000
PA
USD
645562.19000000
0.086414775798
Long
LON
CORP
US
N
3
2027-10-01
Floating
5.01000000
N
N
N
N
N
N
MetroNet Systems Holdings, LLC
549300V3JVIFMP2JGN73
MetroNet Systems Holdings, LLC 2021 1st Lien Term Loan
000000000
14000.00000000
PA
USD
13829.34000000
0.001851191618
Long
LON
CORP
US
N
2
2028-06-02
Floating
4.50000000
N
N
N
N
N
N
REPUBLIC OF PERU
254900STKLK2DBJJZ530
Peruvian Government International Bond
715638DF6
126000.00000000
PA
USD
118857.38000000
0.015910215938
Long
DBT
NUSS
PE
N
2
2031-01-23
Fixed
2.78000000
N
N
N
N
N
N
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
SWP: OIS 1.569000 03-MAR-2032
000000000
1240000.00000000
OU
Notional Amount
USD
-59266.19000000
-0.00793335576
N/A
DIR
US
N
2
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
N/A
N/A
Y
2032-03-03
0.00000000
USD
-30240.41000000
USD
1240000.00000000
USD
-29025.78000000
N
N
N
HILTON DOMESTIC OPERATIN
5493003EG7H0N1E4XV50
Hilton Domestic Operating Co Inc
432833AL5
184000.00000000
PA
USD
173650.00000000
0.023244740862
Long
DBT
CORP
US
N
2
2031-05-01
Fixed
4.00000000
N
N
N
N
N
N
CANTOR FITZGERALD & CO
5493004J7H4GCPG6OB62
RRP FNMA 30YR U
000000000
-7397684.55000000
PA
USD
-7397684.55000000
-0.99025200316
Short
RA
CORP
US
N
2
Reverse repurchase
N
0.37000000
2022-05-12
7397684.55000000
USD
7398977.09000000
USD
AMBS
N
N
N
Duke Energy Florida LLC
7MOHLM3DKE63RX2ZCN83
Duke Energy Florida LLC
341099CL1
770000.00000000
PA
USD
1001886.29000000
0.134112221047
Long
DBT
CORP
US
N
2
2038-06-15
Fixed
6.40000000
N
N
N
N
N
N
GROUP 1 AUTOMOTIVE INC
549300US8QAZJLWYAF63
Group 1 Automotive Inc
398905AN9
30000.00000000
PA
USD
27937.50000000
0.003739706005
Long
DBT
CORP
US
N
2
2028-08-15
Fixed
4.00000000
N
N
N
N
N
N
Carval CLO LTD
N/A
CarVal CLO VC Ltd
14687MAG7
250000.00000000
PA
USD
248315.43000000
0.033239434624
Long
ABS-CBDO
CORP
KY
N
2
2034-10-15
Floating
3.41000000
N
N
N
N
N
N
MICROCHIP TECHNOLOGY INC
5493007PTFULNYZJ1R12
Microchip Technology Inc
595017AD6
53000.00000000
PA
USD
168108.82000000
0.022503000043
Long
DBT
CORP
US
N
2
2025-02-15
Fixed
1.63000000
N
N
N
N
Y
Microchip Technology Inc
Microchip Technology Inc
USD
XXXX
N
N
N
BAUSCH HEALTH COS INC
B3BS7ACMDUWISF18KY76
Bausch Health Cos Inc
071734AK3
230000.00000000
PA
USD
188600.00000000
0.025245943718
Long
DBT
CORP
CA
N
2
2029-02-15
Fixed
6.25000000
N
N
N
N
N
N
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
SWP: OIS 0.248000 04-MAR-2024
000000000
21900000.00000000
OU
Notional Amount
USD
-823189.74000000
-0.11019195040
N/A
DIR
US
N
2
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
N/A
N/A
Y
2024-03-04
0.00000000
USD
-571927.88000000
USD
21900000.00000000
USD
-251261.86000000
N
N
N
TELECOM ITALIA CAPITAL
549300777DJZOR5C4L39
Telecom Italia Capital SA
87927VAF5
131000.00000000
PA
USD
125200.63000000
0.016759321625
Long
DBT
CORP
LU
N
2
2033-11-15
Fixed
6.38000000
N
N
N
N
N
N
BANK OF AMERICA NA
B4TYDEB6GKMZO031MB27
10Y RTR 1.937500 15-NOV-2023
000000000
3900000.00000000
NC
USD
101572.81000000
0.013596508189
N/A
DIR
US
N
2
BANK OF AMERICA NA
B4TYDEB6GKMZO031MB27
Call
Purchased
BANK OF AMERICA NA
B4TYDEB6GKMZO031MB27
BANK OF AMERICA NA
B4TYDEB6GKMZO031MB27
IRS Swap
N/A
3900000.00000000
OU
Notional Amount
N/A
101572.81000000
0.01000000
DIR
US
N/A
N/A
2033-11-17
0.00000000
N/A
0.00000000
N/A
3900000.00000000
USD
1.00000000
1.93750000
USD
2023-11-15
XXXX
-54914.69000000
N
N
N
Carval CLO LTD
N/A
CarVal CLO II Ltd
14686AAW9
500000.00000000
PA
USD
495837.10000000
0.066372616755
Long
ABS-CBDO
CORP
KY
N
2
2032-04-20
Floating
3.45000000
N
N
N
N
N
N
LBM ACQUISITION LLC
549300FAEB3VWZL4NI86
LBM Acquisition LLC
05552BAA4
326000.00000000
PA
USD
305351.16000000
0.040874221631
Long
DBT
CORP
US
N
2
2029-01-15
Fixed
6.25000000
N
N
N
N
N
N
SHIMAO GROUP HOLDINGS LT
254900WTJ6B5CU69ZD26
Shimao Group Holdings Ltd
000000000
200000.00000000
PA
USD
52500.00000000
0.007027635446
Long
DBT
CORP
KY
N
2
2026-07-15
Fixed
5.60000000
N
N
N
N
N
N
II-VI INC
549300O5C25A0MMHHU33
II-VI Inc
902104AC2
233000.00000000
PA
USD
227757.50000000
0.030487555813
Long
DBT
CORP
US
N
2
2029-12-15
Fixed
5.00000000
N
N
N
N
N
N
Naked Juice LLC
549300Y5TU1XQ1KVLJ64
Naked Juice LLC 2nd Lien Term Loan
62984CAB9
20000.00000000
PA
USD
19900.00000000
0.002663808483
Long
LON
CORP
US
N
2
2030-01-24
Floating
6.65000000
N
N
N
N
N
N
TERVITA CORP
N/A
Tervita Corp
88159EAA1
77000.00000000
PA
USD
87213.28000000
0.011674345484
Long
DBT
CORP
CA
N
2
2025-12-01
Fixed
11.00000000
N
N
N
N
N
N
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
SWP: OIS 2.151000 25-MAR-2032
000000000
900000.00000000
OU
Notional Amount
USD
-2975.45000000
-0.00039829291
N/A
DIR
US
N
2
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
N/A
N/A
Y
2032-03-25
140.23000000
USD
0.00000000
USD
900000.00000000
USD
-3115.68000000
N
N
N
CIDRON AIDA FINCO SARL
98450036A07991DEBF10
Cidron Aida Finco Sarl
000000000
100000.00000000
PA
103591.44000000
0.013866721441
Long
DBT
CORP
LU
N
2
2028-04-01
Fixed
5.00000000
N
N
N
N
N
N
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
FSWP: OIS 2.474000 23-SEP-2024
000000000
2875000.00000000
OU
Notional Amount
USD
9931.92000000
0.001329484057
N/A
DIR
US
N
2
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
N/A
N/A
Y
2024-09-23
0.00000000
USD
-12.72000000
USD
2875000.00000000
USD
9944.64000000
N
N
N
PECF USS INTERMEDIATE HO
N/A
PECF USS Intermediate Holding III Corp
69291HAA3
150000.00000000
PA
USD
144750.00000000
0.019376194874
Long
DBT
CORP
US
N
2
2029-11-15
Fixed
8.00000000
N
N
N
N
N
N
MATTEL INC
549300VELLG24KHTJ564
Mattel Inc
577081BD3
77000.00000000
PA
USD
80549.70000000
0.010782360512
Long
DBT
CORP
US
N
2
2027-12-15
Fixed
5.88000000
N
N
N
N
N
N
CALPINE CORP
43R4VPJBXTU2O15HEF41
Calpine Corp
131347CM6
35000.00000000
PA
USD
34141.80000000
0.004570211883
Long
DBT
CORP
US
N
2
2028-02-15
Fixed
4.50000000
N
N
N
N
N
N
Churchill Downs Inc
529900FODTBQC8MIS994
Churchill Downs Inc
171484AE8
146000.00000000
PA
USD
141620.00000000
0.018957213941
Long
DBT
CORP
US
N
2
2028-01-15
Fixed
4.75000000
N
N
N
N
N
N
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
SWP: OIS 1.186000 07-DEC-2031
000000000
587000.00000000
OU
Notional Amount
USD
-45794.58000000
-0.00613004978
N/A
DIR
US
N
2
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
N/A
N/A
Y
2031-12-08
0.00000000
USD
-33873.70000000
USD
587000.00000000
USD
-11920.88000000
N
N
N
Republic of Sri Lanka
254900HXCCIOHM74FA02
Sri Lanka Government International Bond
000000000
432000.00000000
PA
USD
211727.52000000
0.028341787134
Long
DBT
NUSS
LK
N
2
2024-03-14
Fixed
6.85000000
N
N
N
N
N
N
VIRGIN MEDIA VEND FIN IV
635400ZZNJSEA4CAJR23
Virgin Media Vendor Financing Notes IV DAC
92770QAA5
307000.00000000
PA
USD
294720.00000000
0.039451137501
Long
DBT
CORP
IE
N
2
2028-07-15
Fixed
5.00000000
N
N
N
N
N
N
Verscend Holding Corp.
N/A
Verscend Holding Corp. 2021 Term Loan B
92531HAD9
810835.37000000
PA
USD
806781.19000000
0.107995506446
Long
LON
CORP
US
N
2
2025-08-27
Floating
4.46000000
N
N
N
N
N
N
CHANGE HEALTH / FIN INC
549300GS1BPJEDOZHM07
Change Healthcare Holdings LLC / Change Healthcare Finance Inc
15911NAA3
518000.00000000
PA
USD
518000.00000000
0.069339336405
Long
DBT
CORP
US
N
2
2025-03-01
Fixed
5.75000000
N
N
N
N
N
N
NOMURA SECURITIES INTERNATIONAL INC
OXTKY6Q8X53C9ILVV871
RRP TREASURY BO
000000000
-44761537.50000000
PA
USD
-44761537.50000000
-5.99176700146
Short
RA
CORP
US
N
2
Reverse repurchase
N
0.32000000
2049-12-31
40785000.00000000
USD
39931064.06250000
USD
UST
N
N
N
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
SWP: USD 1.862000 12-OCT-2041
000000000
14800000.00000000
OU
Notional Amount
USD
-513560.51000000
-0.06874506750
N/A
DIR
US
N
2
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
N/A
N/A
Y
2041-10-15
0.00000000
USD
-842412.31000000
USD
14800000.00000000
USD
328851.80000000
N
N
N
NEW GOLD INC
5493005G0GNCHP0H6L96
New Gold Inc
644532AA1
13000.00000000
PA
USD
12967.50000000
0.001735825955
Long
DBT
CORP
CA
N
2
2025-05-15
Fixed
6.38000000
N
N
N
N
N
N
ANTERO MIDSTREAM PART/FI
N/A
Antero Midstream Partners LP / Antero Midstream Finance Corp
03690AAD8
153000.00000000
PA
USD
155813.67000000
0.020857174673
Long
DBT
CORP
US
N
2
2027-03-01
Fixed
5.75000000
N
N
N
N
N
N
GATES GLOBAL/GATES CORP
N/A
Gates Global LLC / Gates Corp
36740LAA0
212000.00000000
PA
USD
212198.22000000
0.028404794906
Long
DBT
CORP
US
N
2
2026-01-15
Fixed
6.25000000
N
N
N
N
N
N
JP MORGAN CHASE BANK
7H6GLXDRUGQFU57RNE97
SWAP/CDSWAP/SCDS: (SDFGR)
000000000
10000.00000000
OU
Notional Amount
1508.98000000
0.000201991644
N/A
DCR
XX
N
2
JP MORGAN CHASE BANK
7H6GLXDRUGQFU57RNE97
K+S AG
K+S AG
Y
sell protection
2026-12-22
779.41000000
EUR
0.00000000
EUR
10000.00000000
EUR
661.91000000
N
N
N
Northern Trust Corp
549300GLF98S992BC502
Northern Trust Corp
665859AP9
8000000.00000000
PA
USD
8199716.00000000
1.097611710728
Long
DBT
CORP
US
N
2
2025-10-30
Fixed
3.95000000
N
N
N
N
N
N
HSBC SECURITIES (USA) INC
CYYGQCGNHMHPSMRL3R97
BRY0467R9 RRP RAYTHEON TE
000000000
-1752500.00000000
PA
USD
-1752500.00000000
-0.23458916419
Short
RA
CORP
US
N
2
Reverse repurchase
N
0.50000000
2049-12-31
1752500.00000000
USD
1752852.93000000
USD
CDS
N
N
N
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
SWP: USD 1.521000 24-SEP-2031
000000000
5730000.00000000
OU
Notional Amount
USD
-145198.27000000
-0.01943620017
N/A
DIR
US
N
2
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
N/A
N/A
Y
2031-09-24
0.00000000
USD
-291817.34000000
USD
5730000.00000000
USD
146619.07000000
N
N
N
GMAC Mortgage Corporation Loan Trust
N/A
GMACM Mortgage Loan Trust 2005-AR3
36185N7L8
136755.97000000
PA
USD
133405.15000000
0.017857576397
Long
ABS-MBS
CORP
US
N
2
2035-06-19
Variable
2.79000000
N
N
N
N
N
N
BELLIS ACQUISITION CO PL
259400CYE2267UB4A481
Bellis Acquisition Co PLC
000000000
100000.00000000
PA
121205.46000000
0.016224529276
Long
DBT
CORP
GB
N
2
2026-02-16
Fixed
3.25000000
N
N
N
N
N
N
JPMORGAN CHASE & CO
8I5DZWZKVSZI1NUHU748
JPMorgan Chase & Co
48128BAG6
165000.00000000
PA
USD
159018.75000000
0.021286205793
Long
DBT
CORP
US
N
2
2025-02-01
Fixed
4.60000000
N
N
N
N
N
N
NATIONAL VISION HOLDINGS
549300JHURCBLI5ROA42
National Vision Holdings Inc
63845RAB3
165000.00000000
PA
USD
253275.00000000
0.033903321289
Long
DBT
CORP
US
N
2
2025-05-15
Fixed
2.50000000
N
N
N
N
Y
National Vision Holdings Inc
National Vision Holdings Inc
USD
XXXX
N
N
N
Reynolds American Inc
02S2RPPVO9RP4NEU2740
Reynolds American Inc
761713BG0
635000.00000000
PA
USD
648373.21000000
0.086791058155
Long
DBT
CORP
US
N
2
2025-06-12
Fixed
4.45000000
N
N
N
N
N
N
SHIFT4 PAYMENTS INC
N/A
Shift4 Payments Inc
82452JAB5
236000.00000000
PA
USD
247092.00000000
0.033075666623
Long
DBT
CORP
US
N
2
2025-12-15
None
0.00000000
N
N
N
N
Y
Shift4 Payments Inc
Shift4 Payments Inc
USD
XXXX
N
N
N
ENLINK MIDSTREAM PARTNER
88CPW63VL7KHJWS0NY83
EnLink Midstream Partners LP
29336UAB3
144000.00000000
PA
USD
145880.18000000
0.019527480455
Long
DBT
CORP
US
N
2
2024-04-01
Fixed
4.40000000
N
N
N
N
N
N
RFC PRINCIPAL STRIP
N/A
Resolution Funding Corp Principal Strip
76116FAC1
6055000.00000000
PA
USD
4904129.66000000
0.656465436820
Long
DBT
USGA
US
N
2
2030-04-15
None
0.00000000
N
N
N
N
N
N
IRON MOUNTAIN INFO MGMT
N/A
Iron Mountain Information Management Services Inc
46285MAA8
156000.00000000
PA
USD
146250.00000000
0.019576984458
Long
DBT
US
N
2
2032-07-15
Fixed
5.00000000
N
N
N
N
N
N
CENTENE CORP
549300Z7JJ4TQSQGT333
Centene Corp
15135BAT8
666000.00000000
PA
USD
671387.94000000
0.089871803533
Long
DBT
CORP
US
N
2
2029-12-15
Fixed
4.63000000
N
N
N
N
N
N
MPT OPER PARTNERSP/FINL
N/A
MPT Operating Partnership LP / MPT Finance Corp
55342UAJ3
400000.00000000
PA
USD
396000.00000000
0.053008450225
Long
DBT
US
N
2
2029-08-01
Fixed
4.63000000
N
N
N
N
N
N
JP MORGAN CHASE BANK
7H6GLXDRUGQFU57RNE97
10Y RTP 2.725000 27-APR-2038
000000000
910000.00000000
NC
USD
40970.39000000
0.005484285048
N/A
DIR
US
N
2
JP MORGAN CHASE BANK
7H6GLXDRUGQFU57RNE97
Put
Purchased
JP MORGAN CHASE BANK
7H6GLXDRUGQFU57RNE97
JP MORGAN CHASE BANK
7H6GLXDRUGQFU57RNE97
IRS Swap
N/A
910000.00000000
OU
Notional Amount
N/A
40970.39000000
0.01000000
DIR
US
N/A
N/A
2048-04-27
0.00000000
N/A
0.00000000
N/A
910000.00000000
USD
1.00000000
2.72500000
USD
2038-04-27
XXXX
3741.17000000
N
N
N
TransDigm Inc
88Q84GB3X55CF5OC7582
TransDigm Inc
893647BE6
2869000.00000000
PA
USD
2945430.16000000
0.394274464719
Long
DBT
CORP
US
N
2
2026-03-15
Fixed
6.25000000
N
N
N
N
N
N
BROOKFIELD PPTY REIT INC
N/A
Brookfield Property REIT Inc / BPR Cumulus LLC / BPR Nimbus LLC / GGSI Sellco LL
11284DAC9
120000.00000000
PA
USD
111998.40000000
0.014992074777
Long
DBT
US
N
2
2027-04-01
Fixed
4.50000000
N
N
N
N
N
N
SIRIUS XM RADIO INC
WP5O65E6BMU84LNO4227
Sirius XM Radio Inc
82967NBG2
91000.00000000
PA
USD
85191.47000000
0.011403706558
Long
DBT
CORP
US
N
2
2030-07-01
Fixed
4.13000000
N
N
N
N
N
N
KINGDOM OF MOROCCO
529900F3MBW9XY5K1X07
Morocco Government International Bond
617726AM6
200000.00000000
PA
USD
159750.00000000
0.021384090715
Long
DBT
NUSS
MA
N
2
2050-12-15
Fixed
4.00000000
N
N
N
N
N
N
Deerfield Dakota Holding, LLC
549300FDREJLOIGXY104
Deerfield Dakota Holding, LLC 2021 USD 2nd Lien Term Loan
24440EAG2
145000.00000000
PA
USD
144637.50000000
0.019361135655
Long
LON
CORP
US
N
3
2028-04-07
Floating
7.50000000
N
N
N
N
N
N
Polaris Newco LLC
254900LEPDAG7EDOA064
Polaris Newco LLC USD Term Loan B
73108RAB4
290634.76000000
PA
USD
288237.02000000
0.038583327595
Long
LON
CORP
US
N
2
2028-06-02
Floating
4.50000000
N
N
N
N
N
N
MORGAN STANLEY & CO. INTERNATIONAL
4PQUHN3JPFGFNF3BB653
SWAPTION JUN24 3 PUT
000000000
-3950000.00000000
NC
USD
-112349.89000000
-0.01503912513
N/A
DIR
US
N
2
MORGAN STANLEY & CO. INTERNATIONAL
4PQUHN3JPFGFNF3BB653
Put
Written
MORGAN STANLEY & CO. INTERNATIONAL
4PQUHN3JPFGFNF3BB653
MORGAN STANLEY & CO. INTERNATIONAL
4PQUHN3JPFGFNF3BB653
IRS Swap
N/A
3950000.00000000
OU
Notional Amount
N/A
-112349.89000000
-0.02000000
DIR
GB
N/A
N/A
2034-06-24
0.00000000
N/A
0.00000000
N/A
3950000.00000000
USD
1.00000000
3.00000000
USD
2024-06-20
XXXX
-15874.62000000
N
N
N
NOMURA SECURITIES INTERNATIONAL INC
OXTKY6Q8X53C9ILVV871
RRP TREASURY NO
000000000
-1778625.00000000
PA
USD
-1778625.00000000
-0.23808624944
Short
RA
CORP
US
N
2
Reverse repurchase
N
0.32000000
2049-12-31
1700000.00000000
USD
1715605.47300000
USD
UST
N
N
N
NIELSEN FINANCE LLC/CO
N/A
Nielsen Finance LLC / Nielsen Finance Co
65409QBF8
125000.00000000
PA
USD
125312.50000000
0.016774296512
Long
DBT
CORP
US
N
2
2030-10-01
Fixed
5.88000000
N
N
N
N
N
N
Atotech B.V.
549300RVASWYF4HCO804
Atotech B.V. 2021 USD Term Loan B
000000000
310440.00000000
PA
USD
306016.23000000
0.040963247717
Long
LON
CORP
NL
N
2
2028-03-18
Floating
3.00000000
N
N
N
N
N
N
ROCKETMTGE CO-ISSUER INC
N/A
Rocket Mortgage LLC / Rocket Mortgage Co-Issuer Inc
77313LAA1
90000.00000000
PA
USD
82633.05000000
0.011061237166
Long
DBT
CORP
US
N
2
2026-10-15
Fixed
2.88000000
N
N
N
N
N
N
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
FSWP: USD 1.928500 01-DEC-2056
000000000
110000.00000000
OU
Notional Amount
USD
-4814.65000000
-0.00064448771
N/A
DIR
US
N
2
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
N/A
N/A
Y
2056-12-01
0.00000000
USD
-3051.61000000
USD
110000.00000000
USD
-1763.04000000
N
N
N
Elmwood CLO V Ltd
N/A
Elmwood CLO V Ltd
29003BAN1
436000.00000000
PA
USD
432512.00000000
0.057895936423
Long
ABS-CBDO
CORP
KY
N
2
2034-10-20
Floating
2.25000000
N
N
N
N
N
N
JELD-WEN INC
549300XWE6NM0N1HFW16
JELD-WEN Inc
475795AE0
98000.00000000
PA
USD
100976.26000000
0.013516654172
Long
DBT
CORP
US
N
2
2025-05-15
Fixed
6.25000000
N
N
N
N
N
N
T-MOBILE USA INC
549300V2JRLO5DIFGE82
T-Mobile USA Inc
87264ABS3
308000.00000000
PA
USD
281120.84000000
0.037630757713
Long
DBT
CORP
US
N
2
2029-02-15
Fixed
2.63000000
N
N
N
N
N
N
TRANSOCEAN INC
DOL4HJ22ADYSIWES4H94
Transocean Inc
893830BQ1
81000.00000000
PA
USD
83632.50000000
0.011195023266
Long
DBT
CORP
KY
N
2
2027-01-30
Fixed
11.50000000
N
N
N
N
N
N
JP MORGAN CHASE BANK
7H6GLXDRUGQFU57RNE97
10Y RTR 1.421000 15-DEC-2022
000000000
-4337000.00000000
NC
USD
-34514.76000000
-0.00462013620
N/A
DIR
US
N
2
JP MORGAN CHASE BANK
7H6GLXDRUGQFU57RNE97
Call
Written
JPMorgan International Bank Ltd.
PGBWEZU4QUV2UVGWJC76
JPMorgan International Bank Ltd.
PGBWEZU4QUV2UVGWJC76
IRS Swap
N/A
4337000.00000000
OU
Notional Amount
N/A
-34514.76000000
0.00000000
DIR
US
N/A
N/A
2032-12-17
0.00000000
N/A
0.00000000
N/A
4337000.00000000
USD
1.00000000
1.42100000
USD
2022-12-15
XXXX
87354.94000000
N
N
N
Nokia OYJ
549300A0JPRWG1KI7U06
Nokia Oyj
654902AC9
88000.00000000
PA
USD
104830.00000000
0.014032514740
Long
DBT
CORP
FI
N
2
2039-05-15
Fixed
6.63000000
N
N
N
N
N
N
TWILIO INC
5493004W8TRGD63APX93
Twilio Inc
90138FAD4
239000.00000000
PA
USD
222154.66000000
0.029737561204
Long
DBT
CORP
US
N
2
2031-03-15
Fixed
3.88000000
N
N
N
N
N
N
Countrywide Alternative Loan Trust
N/A
Alternative Loan Trust 2007-OA10
02149QAD2
4575709.66000000
PA
USD
3713188.39000000
0.497046368557
Long
ABS-MBS
CORP
US
N
2
2047-09-25
Floating
0.96000000
N
N
N
N
N
N
Port Authority of New York & New Jersey
54930006MR4KZ4W74Z83
PORT AUTH OF NEW YORK & NEW JERSEY NY
73358WAJ3
780000.00000000
PA
USD
925835.04000000
0.123932021804
Long
DBT
MUN
US
N
2
2029-12-01
Fixed
6.04000000
N
N
N
N
N
N
STARWOOD PROPERTY TRUST
BUGSFQZERKRBFWIG5267
Starwood Property Trust Inc
85571BAY1
52000.00000000
PA
USD
50440.00000000
0.006751884417
Long
DBT
US
N
2
2027-01-15
Fixed
4.38000000
N
N
N
N
N
N
TENET HEALTHCARE CORP
0W9AIBT6U6ADJ2I8HK17
Tenet Healthcare Corp
88033GDJ6
122000.00000000
PA
USD
123982.50000000
0.016596263080
Long
DBT
CORP
US
N
2
2028-10-01
Fixed
6.13000000
N
N
N
N
N
N
OIL & GAS HOLDING
549300OBH16L6TS6IW50
Oil and Gas Holding Co BSCC/The
000000000
200000.00000000
PA
USD
210500.00000000
0.028177471647
Long
DBT
CORP
BH
N
2
2024-11-07
Fixed
7.63000000
N
N
N
N
N
N
ROGERS COMMUNICATIONS IN
54930030NVF3Y2OL0A78
Rogers Communications Inc
775109AL5
2325000.00000000
PA
USD
3157771.52000000
0.422698420305
Long
DBT
CORP
CA
N
2
2038-08-15
Fixed
7.50000000
N
N
N
N
N
N
NORFOLK SOUTHERN CORP
54930036C8MWP850MI84
Norfolk Southern Corp
655844CH9
400000.00000000
PA
USD
357256.97000000
0.047822318969
Long
DBT
CORP
US
N
2
2055-05-15
Fixed
3.16000000
N
N
N
N
N
N
WESTERN MIDSTREAM OPERAT
L6D8A6MLSY454J2JXJ60
Western Midstream Operating LP
958667AC1
54000.00000000
PA
USD
53730.00000000
0.007192282905
Long
DBT
CORP
US
N
2
2030-02-01
Fixed
4.55000000
N
N
N
N
N
N
CCO HLDGS LLC/CAP CORP
N/A
CCO Holdings LLC / CCO Holdings Capital Corp
1248EPCD3
180000.00000000
PA
USD
172843.20000000
0.023136742838
Long
DBT
CORP
US
N
2
2030-03-01
Fixed
4.75000000
N
N
N
N
N
N
Intercontinental Exchange, Inc.
5493000F4ZO33MV32P92
SWAP/CDSWAP/ICE: (CDX.NA.HY.38.V1)
000000000
6490000.00000000
OU
Notional Amount
USD
-367484.36000000
-0.04919135455
N/A
DCR
US
N
2
Intercontinental Exchange, Inc.
5493000F4ZO33MV32P92
CDX.NA.HY.S38
2I65BRYR5
Y
buy protection
2027-06-22
0.00000000
USD
-297638.70000000
USD
6490000.00000000
USD
-69845.66000000
N
N
N
SCIENTIFIC GAMES INTERNA
RLTHESQ0RNFQJWPBJN60
Scientific Games International Inc
000000000
100000.00000000
PA
112037.21000000
0.014997269872
Long
DBT
CORP
US
N
2
2026-02-15
Fixed
3.38000000
N
N
N
N
N
N
Ultimate Software Group Inc (The)
529900FKHWSTQ1GXK240
Ultimate Software Group Inc (The) Term Loan B
90385KAB7
145026.99000000
PA
USD
144329.41000000
0.019319894813
Long
LON
CORP
US
N
2
2026-05-04
Floating
4.76000000
N
N
N
N
N
N
TELECOM ITALIA CAPITAL
549300777DJZOR5C4L39
Telecom Italia Capital SA
87927VAV0
79000.00000000
PA
USD
80564.60000000
0.010784355022
Long
DBT
CORP
LU
N
2
2038-06-04
Fixed
7.72000000
N
N
N
N
N
N
LUMEN TECHNOLOGIES INC
8M3THTGWLTYZVE6BBY25
Lumen Technologies Inc
156700BD7
240000.00000000
PA
USD
206398.80000000
0.027628486152
Long
DBT
CORP
US
N
2
2029-01-15
Fixed
4.50000000
N
N
N
N
N
N
EP Purchaser, LLC
549300GGODRVQG1GH476
EP Purchaser, LLC 2021 Term Loan B
26881KAC8
102120.94000000
PA
USD
101248.83000000
0.013553140316
Long
LON
CORP
US
N
2
2028-11-06
Floating
4.51000000
N
N
N
N
N
N
OCADO GROUP PLC
213800LO8F61YB8MBC74
Ocado Group PLC
000000000
100000.00000000
PA
116909.61000000
0.015649487986
Long
DBT
CORP
GB
N
2
2026-10-08
Fixed
3.88000000
N
N
N
N
N
N
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
SWP: OIS 0.719000 02-MAR-2023
000000000
3360000.00000000
OU
Notional Amount
USD
-24779.58000000
-0.00331698770
N/A
DIR
US
N
2
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
N/A
N/A
Y
2023-03-02
0.00000000
USD
-12932.95000000
USD
3360000.00000000
USD
-11846.63000000
N
N
N
SENSATA TECH INC
5493002MMDDCUNV7NY90
Sensata Technologies Inc
81728UAA2
320000.00000000
PA
USD
306030.40000000
0.040965144509
Long
DBT
CORP
US
N
2
2030-02-15
Fixed
4.38000000
N
N
N
N
N
N
CROCS INC
549300B0J6YCXD63OG72
Crocs Inc
227046AA7
106000.00000000
PA
USD
93810.00000000
0.012557380595
Long
DBT
CORP
US
N
2
2029-03-15
Fixed
4.25000000
N
N
N
N
N
N
Sprint Capital Corp
549300L17W0GQBR1PO80
Sprint Capital Corp
852060AD4
977000.00000000
PA
USD
1132040.13000000
0.151534577990
Long
DBT
CORP
US
N
2
2028-11-15
Fixed
6.88000000
N
N
N
N
N
N
INTRUM AB
549300UNCO2FCUWXX470
Intrum AB
000000000
100000.00000000
PA
101614.57000000
0.013602098171
Long
DBT
CORP
SE
N
2
2027-09-15
Fixed
3.00000000
N
N
N
N
N
N
CAESARS RESORT / FINCO
N/A
Caesars Resort Collection LLC / CRC Finco Inc
12770RAA1
80000.00000000
PA
USD
81646.80000000
0.010929218014
Long
DBT
CORP
US
N
2
2025-07-01
Fixed
5.75000000
N
N
N
N
N
N
CALPINE CORP
43R4VPJBXTU2O15HEF41
Calpine Corp
131347CR5
4000.00000000
PA
USD
3580.74000000
0.000479316863
Long
DBT
CORP
US
N
2
2031-03-01
Fixed
3.75000000
N
N
N
N
N
N
Marathon Petroleum Corp
3BNYRYQHD39K4LCKQF12
Marathon Petroleum Corp
56585AAF9
1150000.00000000
PA
USD
1416971.61000000
0.189675426917
Long
DBT
CORP
US
N
2
2041-03-01
Fixed
6.50000000
N
N
N
N
N
N
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
SWP: OIS 2.132500 25-MAR-2027
000000000
1110000.00000000
OU
Notional Amount
USD
-5360.99000000
-0.00071762063
N/A
DIR
US
N
2
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
N/A
N/A
Y
2027-03-25
10.19000000
USD
0.00000000
USD
1110000.00000000
USD
-5371.18000000
N
N
N
VENTURE GLOBAL CALCASIEU
549300GKHS6RS20NLH85
Venture Global Calcasieu Pass LLC
92328MAC7
939000.00000000
PA
USD
897918.75000000
0.120195154964
Long
DBT
CORP
US
N
2
2033-11-01
Fixed
3.88000000
N
N
N
N
N
N
US FOODS INC
5493000JOOFAOUY1JZ87
US Foods Inc
90290MAD3
187000.00000000
PA
USD
178351.25000000
0.023874048884
Long
DBT
CORP
US
N
2
2029-02-15
Fixed
4.75000000
N
N
N
N
N
N
Chicago Board of Trade
549300EX04Q2QBFQTQ27
US 2YR NOTE (CBT) JUN22
000000000
-514.00000000
NC
USD
1380401.96000000
0.184780223706
N/A
DIR
US
N
1
Chicago Board of Trade
549300EX04Q2QBFQTQ27
Short
CBOT 2 Year US Treasury Note Future
TUM2 COMDTY
2022-06-30
-110243995.20000000
USD
1380401.96000000
N
N
N
Goldman Sachs Bank USA
KD3XUN7C6T14HNAYLU02
10Y RTR 1.740000 28-JUN-2024
000000000
2455000.00000000
NC
USD
86278.27000000
0.011549185305
N/A
DIR
US
N
2
Goldman Sachs Bank USA
KD3XUN7C6T14HNAYLU02
Call
Purchased
Goldman Sachs Bank USA
KD3XUN7C6T14HNAYLU02
GOLDMAN SACHS BANK USA
KD3XUN7C6T14HNAYLU02
IRS Swap
N/A
2455000.00000000
OU
Notional Amount
N/A
86278.27000000
0.01000000
DIR
US
N/A
N/A
2034-07-02
0.00000000
N/A
0.00000000
N/A
2455000.00000000
USD
1.00000000
1.74000000
USD
2024-06-28
XXXX
-15955.28000000
N
N
N
RCI BANQUE SA
96950001WI712W7PQG45
RCI Banque SA
000000000
100000.00000000
PA
103877.07000000
0.013904955794
Long
DBT
CORP
FR
N
2
2030-02-18
Fixed
2.63000000
N
N
N
N
N
N
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
FSWP: OIS 1.985000 19-SEP-2027
000000000
1188000.00000000
OU
Notional Amount
USD
-19735.99000000
-0.00264185415
N/A
DIR
US
N
2
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
N/A
N/A
Y
2027-09-20
10.95000000
USD
0.00000000
USD
1188000.00000000
USD
-19746.94000000
N
N
N
ALLEGHENY TECHNOLOGIES
ZW1LRE7C3H17O2ZN9B45
Allegheny Technologies Inc
01741RAL6
68000.00000000
PA
USD
64442.92000000
0.008626311407
Long
DBT
CORP
US
N
2
2029-10-01
Fixed
4.88000000
N
N
N
N
N
N
CHARTER COMM OPT LLC/CAP
0J0XRGZE3PBRFEZ7MV65
Charter Communications Operating LLC / Charter Communications Operating Capital
161175AY0
4700000.00000000
PA
USD
4873952.31000000
0.652425905115
Long
DBT
CORP
US
N
2
2025-07-23
Fixed
4.91000000
N
N
N
N
N
N
BNP PARIBAS
R0MUWSFPU8MPRO8K5P83
RRP NORTHERN TR
000000000
-8130000.00000000
PA
USD
-8130000.00000000
-1.08827954629
Short
RA
CORP
US
N
2
Reverse repurchase
N
0.54000000
2049-12-31
8000000.00000000
USD
8199716.00000000
USD
CDS
N
N
N
WELLS FARGO & COMPANY
PBLD0EJDB5FWOLXP3B76
Wells Fargo & Co
949746TD3
245000.00000000
PA
USD
234844.75000000
0.031436253134
Long
DBT
CORP
US
N
2
2026-03-15
Fixed
3.90000000
N
N
N
N
N
N
NETWORK I2I LTD
2549003L8M1FGHLHOX45
Network i2i Ltd
V6703DAA2
648000.00000000
PA
USD
644274.00000000
0.086242339041
Long
DBT
CORP
MU
N
2
2025-01-15
Fixed
5.65000000
N
N
N
N
N
N
CONNECT FINCO SARL/CONNE
N/A
Connect Finco SARL / Connect US Finco LLC
20752TAA2
1493000.00000000
PA
USD
1518963.27000000
0.203328002252
Long
DBT
CORP
XX
N
2
2026-10-01
Fixed
6.75000000
N
N
N
N
N
N
United States Treasury
254900HROIFWPRGM1V77
United States Treasury Note/Bond
9128284V9
1000000.00000000
PA
USD
1024648.44000000
0.137159156137
Long
DBT
UST
US
N
2
2028-08-15
Fixed
2.88000000
N
N
N
N
N
N
Altice Financing SA
549300DIYGW8HVDF7Q17
Altice Financing SA 2017 USD Term Loan B
000000000
22956.50000000
PA
USD
22325.20000000
0.002988445083
Long
LON
CORP
LU
N
2
2025-07-15
Floating
2.99000000
N
N
N
N
N
N
Bank of America N.A.
PT3QB789TSUIDF371261
PURCHASED USD / SOLD GBP
000000000
1.00000000
NC
-24936.85000000
-0.00333803982
N/A
DFE
US
N
2
Bank of America N.A.
PT3QB789TSUIDF371261
2848000.00000000
GBP
3715253.02000000
USD
2022-06-15
-24936.85000000
N
N
N
AGL CLO 3 Ltd.
549300LS0REDUXQSHW18
AGL CLO 3 LTD
00119MAJ8
250000.00000000
PA
USD
248928.25000000
0.033321466539
Long
ABS-CBDO
CORP
KY
N
2
2033-01-15
Floating
3.54000000
N
N
N
N
N
N
W.R. Grace & Co.-Conn.
N/A
W.R. Grace & Co.-Conn. 2021 Term Loan B
92943HAB5
212467.50000000
PA
USD
210342.83000000
0.028156432914
Long
LON
CORP
US
N
2
2028-09-22
Floating
4.81000000
N
N
N
N
N
N
NCR CORP
549300YKTY8JX1DV2R67
NCR Corp
62886EAV0
57000.00000000
PA
USD
57142.50000000
0.007649079209
Long
DBT
CORP
US
N
2
2029-09-01
Fixed
6.13000000
N
N
N
N
N
N
Endo Luxembourg Finance Company I S.a r.l.
222100B15VY0VVCTG251
Endo Luxembourg Finance Company I S.a r.l. 2021 Term Loan
000000000
385902.83000000
PA
USD
360618.48000000
0.048272289766
Long
LON
CORP
LU
N
2
2028-03-27
Floating
5.75000000
N
N
N
N
N
N
iHeartCommunications Inc
54930076J6KDZL504O62
iHeartCommunications Inc
45174HBC0
91367.00000000
PA
USD
93879.59000000
0.012566695893
Long
DBT
CORP
US
N
2
2026-05-01
Fixed
6.38000000
N
N
N
N
N
N
Titan Acquisition Limited
N/A
Titan Acquisition Limited 2018 Term Loan B
000000000
924800.92000000
PA
USD
903336.29000000
0.120920345366
Long
LON
CORP
CA
N
2
2025-03-28
Floating
4.01000000
N
N
N
N
N
N
SCIH SALT HOLDINGS INC
N/A
SCIH Salt Holdings Inc
78433BAB4
86000.00000000
PA
USD
77198.33000000
0.010333747053
Long
DBT
CORP
US
N
2
2029-05-01
Fixed
6.63000000
N
N
N
N
N
N
IBM CORP
VGRQXHF3J8VDLUA7XE92
International Business Machines Corp
459200KJ9
2000000.00000000
PA
USD
1819700.66000000
0.243584625910
Long
DBT
CORP
US
N
2
2030-05-15
Fixed
1.95000000
N
N
N
N
N
N
HUB International Ltd
549300JQT6ATTUNS5E06
HUB International Ltd
44332PAD3
415000.00000000
PA
USD
419795.33000000
0.056193686502
Long
DBT
CORP
US
N
2
2026-05-01
Fixed
7.00000000
N
N
N
N
N
N
State of New Jersey
N/A
NEW JERSEY ST
646039YP6
250000.00000000
PA
USD
270475.25000000
0.036205741986
Long
DBT
MUN
US
N
2
2030-06-01
Fixed
4.00000000
N
N
N
N
N
N
CSC HOLDINGS LLC
3HG2WD2W22M120IUNG49
CSC Holdings LLC
126307BD8
254000.00000000
PA
USD
212417.66000000
0.028434169083
Long
DBT
CORP
US
N
2
2030-12-01
Fixed
4.63000000
N
N
N
N
N
N
VODAFONE GROUP PLC
213800TB53ELEUKM7Q61
Vodafone Group PLC
000000000
100000.00000000
PA
111392.27000000
0.014910938383
Long
DBT
CORP
GB
N
2
2079-01-03
Fixed
3.10000000
N
N
N
N
N
N
ALM Loan Funding
N/A
ALM 2020 Ltd
00166DAA9
285000.00000000
PA
USD
272892.20000000
0.036529274243
Long
ABS-CBDO
CORP
KY
N
2
2029-10-15
Floating
6.24000000
N
N
N
N
N
N
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
FSWP: USD 2.378000 05-JUL-2049
000000000
620000.00000000
OU
Notional Amount
USD
17676.08000000
0.002366115168
N/A
DIR
US
N
2
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
N/A
N/A
Y
2049-07-06
13992.22000000
USD
0.00000000
USD
620000.00000000
USD
3683.86000000
N
N
N
ORGANON & CO/ORG
N/A
Organon & Co / Organon Foreign Debt Co-Issuer BV
68622TAB7
387000.00000000
PA
USD
373455.00000000
0.049990582775
Long
DBT
CORP
US
N
2
2031-04-30
Fixed
5.13000000
N
N
N
N
N
N
ENLINK MIDSTREAM PARTNER
88CPW63VL7KHJWS0NY83
EnLink Midstream Partners LP
29336UAD9
22000.00000000
PA
USD
17765.00000000
0.002378017975
Long
DBT
CORP
US
N
2
2045-04-01
Fixed
5.05000000
N
N
N
N
N
N
United States Treasury
254900HROIFWPRGM1V77
United States Treasury Note/Bond
9128284Z0
14800000.00000000
PA
USD
14906375.00000000
1.995363225325
Long
DBT
UST
US
N
2
2025-08-31
Fixed
2.75000000
N
N
N
N
N
N
SOCIETE GENERALE
O2RNE8IBXP4R0TD8PU41
Societe Generale SA
83367TBF5
1000000.00000000
PA
USD
1045000.00000000
0.139883410317
Long
DBT
CORP
FR
N
2
2023-12-18
Fixed
7.88000000
N
N
N
N
N
N
CONSTELLIUM SE
724500KRJEMC79KAAU28
Constellium SE
21039CAB0
341000.00000000
PA
USD
306047.50000000
0.040967433511
Long
DBT
CORP
FR
N
2
2029-04-15
Fixed
3.75000000
N
N
N
N
N
N
FIRSTENERGY CORP
549300SVYJS666PQJH88
FirstEnergy Corp
337932AM9
543000.00000000
PA
USD
457363.47000000
0.061222547309
Long
DBT
CORP
US
N
2
2050-03-01
Fixed
3.40000000
N
N
N
N
N
N
WELLS FARGO BANK, NATIONAL ASSOCIATION
KB1H1DSPRFMYMCUFXT09
10Y RTP 1.420000 02-AUG-2024
000000000
325000.00000000
NC
USD
26836.95000000
0.003592386687
N/A
DIR
US
N
2
WELLS FARGO BANK, NATIONAL ASSOCIATION
KB1H1DSPRFMYMCUFXT09
Put
Purchased
Wells Fargo Bank N.A.
KB1H1DSPRFMYMCUFXT09
Wells Fargo Bank N.A.
KB1H1DSPRFMYMCUFXT09
IRS Swap
N/A
325000.00000000
OU
Notional Amount
N/A
26836.95000000
0.00000000
DIR
US
N/A
N/A
2034-08-06
0.00000000
N/A
0.00000000
N/A
325000.00000000
USD
1.00000000
1.42000000
USD
2024-08-02
XXXX
6467.11000000
N
N
N
AIRBNB INC
549300HMUDNO0RY56D37
Airbnb Inc
009066AB7
383000.00000000
PA
USD
370243.35000000
0.049560672196
Long
DBT
CORP
US
N
2
2026-03-15
None
0.00000000
N
N
N
N
Y
Airbnb Inc
Airbnb Inc
USD
XXXX
N
N
N
CA MAGNUM HOLDINGS
549300ZRDHFR078MFZ78
CA Magnum Holdings
12674CAA1
258000.00000000
PA
USD
251550.00000000
0.033672413268
Long
DBT
CORP
MU
N
2
2026-10-31
Fixed
5.38000000
N
N
N
N
N
N
Comcast Corp
51M0QTTNCGUN7KFCFZ59
Comcast Corp
20030NBQ3
2000000.00000000
PA
USD
2195258.74000000
0.293856726391
Long
DBT
CORP
US
N
2
2045-08-15
Fixed
4.60000000
N
N
N
N
N
N
RHP HOTEL PPTY/RHP FINAN
N/A
RHP Hotel Properties LP / RHP Finance Corp
749571AF2
280000.00000000
PA
USD
269441.20000000
0.036067324340
Long
DBT
US
N
2
2027-10-15
Fixed
4.75000000
N
N
N
N
N
N
ALLIANT HOLD / CO-ISSUER
N/A
Alliant Holdings Intermediate LLC / Alliant Holdings Co-Issuer
01883LAA1
1126000.00000000
PA
USD
1112420.44000000
0.148908291725
Long
DBT
CORP
US
N
2
2027-10-15
Fixed
6.75000000
N
N
N
N
N
N
ANHEUSER-BUSCH CO/INBEV
N/A
Anheuser-Busch Cos LLC / Anheuser-Busch InBev Worldwide Inc
03522AAJ9
4600000.00000000
PA
USD
5115866.31000000
0.684808446094
Long
DBT
CORP
US
N
2
2046-02-01
Fixed
4.90000000
N
N
N
N
N
N
MORGAN STANLEY & CO. INTERNATIONAL
4PQUHN3JPFGFNF3BB653
10Y RTR 0.654100 07-AUG-2040
000000000
550000.00000000
NC
USD
20680.01000000
0.002768220405
N/A
DIR
US
N
2
MORGAN STANLEY & CO. INTERNATIONAL
4PQUHN3JPFGFNF3BB653
Call
Purchased
MORGAN STANLEY & CO. INTERNATIONAL
4PQUHN3JPFGFNF3BB653
MORGAN STANLEY & CO. INTERNATIONAL
4PQUHN3JPFGFNF3BB653
IRS Swap
N/A
550000.00000000
OU
Notional Amount
N/A
20680.01000000
0.00000000
DIR
US
N/A
N/A
2050-08-09
0.00000000
N/A
0.00000000
N/A
550000.00000000
USD
1.00000000
0.65410000
USD
2040-08-07
XXXX
509.46000000
N
N
N
JP MORGAN CHASE BANK
7H6GLXDRUGQFU57RNE97
10Y RTP 1.450000 05-DEC-2022
000000000
-677500.00000000
NC
USD
-50183.67000000
-0.00671757215
N/A
DIR
US
N
2
JP MORGAN CHASE BANK
7H6GLXDRUGQFU57RNE97
Put
Written
JPMorgan International Bank Ltd.
PGBWEZU4QUV2UVGWJC76
JPMorgan International Bank Ltd.
PGBWEZU4QUV2UVGWJC76
IRS Swap
N/A
677500.00000000
OU
Notional Amount
N/A
-50183.67000000
-0.01000000
DIR
US
N/A
N/A
2032-12-07
0.00000000
N/A
0.00000000
N/A
677500.00000000
USD
1.00000000
1.45000000
USD
2022-12-05
XXXX
-29519.92000000
N
N
N
Jeld-Wen Inc
549300XWE6NM0N1HFW16
Jeld-Wen Inc
475795AD2
11000.00000000
PA
USD
10532.50000000
0.001409877530
Long
DBT
CORP
US
N
2
2027-12-15
Fixed
4.88000000
N
N
N
N
N
N
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
FSWP: OIS 2.008000 19-SEP-2027
000000000
1187000.00000000
OU
Notional Amount
USD
-18438.08000000
-0.00246811627
N/A
DIR
US
N
2
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
N/A
N/A
Y
2027-09-20
10.94000000
USD
0.00000000
USD
1187000.00000000
USD
-18449.02000000
N
N
N
1011778 BC / NEW RED FIN
N/A
1011778 BC ULC / New Red Finance Inc
68245XAH2
289000.00000000
PA
USD
273837.62000000
0.036655827903
Long
DBT
CORP
CA
N
2
2028-01-15
Fixed
3.88000000
N
N
N
N
N
N
BANGKOK BANK PCL/HK
549300CCL2BKJGMYXV60
Bangkok Bank PCL/Hong Kong
000000000
400000.00000000
PA
USD
390700.00000000
0.052298993694
Long
DBT
CORP
TH
N
2
2025-09-23
Fixed
5.00000000
N
N
N
N
N
N
WYNDHAM HOTELS & RESORTS
549300FE3MQ4RVXXC673
Wyndham Hotels & Resorts Inc
98311AAB1
104000.00000000
PA
USD
100100.00000000
0.013399358251
Long
DBT
CORP
US
N
2
2028-08-15
Fixed
4.38000000
N
N
N
N
N
N
Apidos CLO
5493003SQW0Q40KVFQ19
Apidos CLO XXII
03765XAN6
250000.00000000
PA
USD
243755.65000000
0.032629063737
Long
ABS-CBDO
CORP
KY
N
2
2031-04-20
Floating
3.20000000
N
N
N
N
N
N
SINCLAIR TELEVISION GROU
549300CQGEN0CH65UD62
Sinclair Television Group Inc
829259BA7
133000.00000000
PA
USD
118592.11000000
0.015874706969
Long
DBT
CORP
US
N
2
2030-12-01
Fixed
4.13000000
N
N
N
N
N
N
COMM Mortgage Trust
N/A
COMM 2015-LC19 Mortgage Trust
200474BH6
3500000.00000000
PA
USD
3459423.10000000
0.463077417184
Long
ABS-MBS
CORP
US
N
2
2048-02-10
Variable
4.23000000
N
N
N
N
N
N
HSBC SECURITIES (USA) INC
CYYGQCGNHMHPSMRL3R97
RRP FNMA 30YR U
000000000
-584899.59000000
PA
USD
-584899.59000000
-0.07829449697
Short
RA
CORP
US
N
2
Reverse repurchase
N
0.34000000
2022-04-13
584899.59000000
USD
584993.50000000
USD
AMBS
N
N
N
RACKSPACE TECHNOLOGY
549300QTYCKLMFSE8I97
Rackspace Technology Global Inc
750098AA3
42000.00000000
PA
USD
36441.30000000
0.004878022316
Long
DBT
CORP
US
N
2
2028-12-01
Fixed
5.38000000
N
N
N
N
N
N
WYNN RESORTS FINANCE LLC
N/A
Wynn Resorts Finance LLC / Wynn Resorts Capital Corp
983133AA7
393000.00000000
PA
USD
369911.25000000
0.049516217382
Long
DBT
CORP
US
N
2
2029-10-01
Fixed
5.13000000
N
N
N
N
N
N
OCCIDENTAL PETROLEUM COR
IM7X0T3ECJW4C1T7ON55
Occidental Petroleum Corp
674599EE1
66000.00000000
PA
USD
69451.80000000
0.009296798695
Long
DBT
CORP
US
N
2
2025-12-01
Fixed
5.50000000
N
N
N
N
N
N
Generate CLO Ltd.
N/A
Generate CLO 3 Ltd
98625UBA9
1750000.00000000
PA
USD
1739732.05000000
0.232880049944
Long
ABS-CBDO
CORP
KY
N
2
2029-10-20
Floating
3.85000000
N
N
N
N
N
N
GLOBAL PRIME CAPITAL
254900BOZNNFPDZAEZ24
Global Prime Capital Pte Ltd
000000000
200000.00000000
PA
USD
195412.50000000
0.026157863079
Long
DBT
CORP
SG
N
2
2023-10-18
Fixed
5.50000000
N
N
N
N
N
N
ROYAL CARIBBEAN CRUISES
K2NEH8QNVW44JIWK7Z55
Royal Caribbean Cruises Ltd
780153BC5
103000.00000000
PA
USD
107248.75000000
0.014356287944
Long
DBT
CORP
LR
N
2
2023-06-15
Fixed
9.13000000
N
N
N
N
N
N
Standard Chartered PLC
U4LOSYZ7YG4W3S5F2G91
Standard Chartered PLC
853254BK5
500000.00000000
PA
USD
498979.17000000
0.066793213374
Long
DBT
CORP
GB
N
2
2033-03-15
Fixed
4.87000000
N
N
N
N
N
N
COLGATE ENERGY P
549300QRLZK0B17DH791
Colgate Energy Partners III LLC
19416MAB5
238000.00000000
PA
USD
245366.10000000
0.032844638128
Long
DBT
CORP
US
N
2
2029-07-01
Fixed
5.88000000
N
N
N
N
N
N
SCIENTIFIC GAMES INTERNA
RLTHESQ0RNFQJWPBJN60
Scientific Games International Inc
80874YBE9
96000.00000000
PA
USD
100560.00000000
0.013460933723
Long
DBT
CORP
US
N
2
2029-11-15
Fixed
7.25000000
N
N
N
N
N
N
UKRAINE GOVERNMENT
6354001WLTJXOMEXPY07
Ukraine Government International Bond
903724BY7
200000.00000000
PA
USD
82500.00000000
0.011043427130
Long
DBT
NUSS
UA
N
2
2033-03-15
Fixed
7.25000000
N
N
N
N
N
N
CREDIT SUISSE INTERNATIONAL
E58DKGMJYYYJLN8C3868
CDS: (CMBX.NA.9.BBB-)
000000000
5000000.00000000
OU
Notional Amount
USD
-507542.45000000
-0.06793949166
N/A
DCR
US
N
2
CREDIT SUISSE INTERNATIONAL
E58DKGMJYYYJLN8C3868
CMBX.NA.BBB-.9
137BERAI8
Y
sell protection
2058-09-17
0.00000000
USD
-520792.19000000
USD
5000000.00000000
USD
13249.74000000
N
N
N
DORNOCH DEBT MERGER SUB
N/A
Dornoch Debt Merger Sub Inc
25830JAA9
75000.00000000
PA
USD
65210.25000000
0.008729025988
Long
DBT
CORP
US
N
2
2029-10-15
Fixed
6.63000000
N
N
N
N
N
N
ALTICE FINANCING SA
549300DIYGW8HVDF7Q17
Altice Financing SA
02154CAH6
730000.00000000
PA
USD
663632.05000000
0.088833602248
Long
DBT
CORP
LU
N
2
2029-08-15
Fixed
5.75000000
N
N
N
N
N
N
YUZHOU GROUP
213800MP59KHGJSPHE82
Yuzhou Group Holdings Co Ltd
000000000
263000.00000000
PA
USD
36820.00000000
0.004928714993
Long
DBT
CORP
KY
N
2
2025-02-20
None
0.00000000
N
N
N
N
N
N
MASONITE INTERNATIONAL C
549300H0H07ZFT4JYM32
Masonite International Corp
575385AE9
145000.00000000
PA
USD
130318.75000000
0.017444431749
Long
DBT
CORP
CA
N
2
2030-02-15
Fixed
3.50000000
N
N
N
N
N
N
Palmer Square Loan Funding Ltd
N/A
Palmer Square Loan Funding 2019-3 Ltd
69689LAG1
750000.00000000
PA
USD
748809.08000000
0.100235375872
Long
ABS-CBDO
CORP
KY
N
2
2027-08-20
Floating
3.88000000
N
N
N
N
N
N
Naked Juice LLC
549300Y5TU1XQ1KVLJ64
Naked Juice LLC Delayed Draw Term Loan
62984CAE3
8200.88000000
PA
USD
8054.41000000
0.001078161089
Long
LON
CORP
US
N
2
2029-01-24
Floating
3.75000000
N
N
N
N
N
N
CENTENE CORP
549300Z7JJ4TQSQGT333
Centene Corp
15135BAZ4
330000.00000000
PA
USD
293700.00000000
0.039314600583
Long
DBT
CORP
US
N
2
2031-08-01
Fixed
2.63000000
N
N
N
N
N
N
DISH DBS CORP
N/A
DISH DBS Corp
25470XBD6
101000.00000000
PA
USD
86010.59000000
0.011513353734
Long
DBT
CORP
US
N
2
2029-06-01
Fixed
5.13000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140FXDJ8
2492141.95000000
PA
USD
2613732.01000000
0.349873442309
Long
ABS-MBS
USGSE
US
N
2
2056-02-01
Fixed
4.00000000
N
N
N
N
N
N
CREDIT AGRICOLE CORPORATE AND INVESTMENT BANK SA
1VUV7VQFKUOQSJ21A208
RRP TREASURY NO
000000000
-2910000.00000000
PA
USD
-2910000.00000000
-0.38953179332
Short
RA
CORP
US
N
2
Reverse repurchase
N
0.33000000
2049-12-31
3000000.00000000
USD
2708789.06999999
USD
UST
N
N
N
DANAOS CORP
734IM3DNDNT36T7YTD24
Danaos Corp
23585WAA2
100000.00000000
PA
USD
107000.00000000
0.014322990338
Long
DBT
CORP
MH
N
2
2028-03-01
Fixed
8.50000000
N
N
N
N
N
N
CANTOR FITZGERALD & CO
5493004J7H4GCPG6OB62
RRP FHLMC 30YR
000000000
-4002736.16000000
PA
USD
-4002736.16000000
-0.53580515278
Short
RA
CORP
US
N
2
Reverse repurchase
N
0.37000000
2022-05-12
4002736.16000000
USD
4003435.53000000
USD
AMBS
N
N
N
CANTOR FITZGERALD & CO
5493004J7H4GCPG6OB62
RRP FHLMC 30YR
000000000
-11193755.37000000
PA
USD
-11193755.37000000
-1.49839299082
Short
RA
CORP
US
N
2
Reverse repurchase
N
0.37000000
2022-05-12
11193755.37000000
USD
11195711.17000000
USD
AMBS
N
N
N
FIRSTENERGY CORP
549300SVYJS666PQJH88
FirstEnergy Corp
337932AL1
180000.00000000
PA
USD
163421.10000000
0.021875503144
Long
DBT
CORP
US
N
2
2030-03-01
Fixed
2.65000000
N
N
N
N
N
N
HERTZ CORP/THE
549300PD0C69OJ0NLB27
Hertz Corp/The
428040DA4
85000.00000000
PA
USD
79375.13000000
0.010625132898
Long
DBT
CORP
US
N
2
2026-12-01
Fixed
4.63000000
N
N
N
N
N
N
NABORS INDUSTRIES LTD
N/A
Nabors Industries Ltd
629571AB6
94000.00000000
PA
USD
91650.00000000
0.012268243593
Long
DBT
CORP
BM
N
2
2028-01-15
Fixed
7.50000000
N
N
N
N
N
N
VISTRA OPERATIONS CO LLC
549300ZH5GKBTJZ7NM23
Vistra Operations Co LLC
92840VAH5
154000.00000000
PA
USD
145530.00000000
0.019480605457
Long
DBT
CORP
US
N
2
2029-05-01
Fixed
4.38000000
N
N
N
N
N
N
CHS/COMMUNITY HEALTH SYS
5493007X5NC5XI1BB106
CHS/Community Health Systems Inc
12543DBC3
931000.00000000
PA
USD
969562.02000000
0.129785303226
Long
DBT
CORP
US
N
2
2026-03-15
Fixed
8.00000000
N
N
N
N
N
N
Dun & Bradstreet Corporation (The)
RI37BMPWE56BCJ747E14
Dun & Bradstreet Corporation (The) Term Loan
26483NAN0
284070.35000000
PA
USD
281076.25000000
0.037624788908
Long
LON
CORP
US
N
2
2026-02-06
Floating
3.70000000
N
N
N
N
N
N
NGPL PipeCo LLC
549300K3NT1HSQFEM073
NGPL PipeCo LLC
62912XAC8
138000.00000000
PA
USD
173193.69000000
0.023183659332
Long
DBT
CORP
US
N
2
2037-12-15
Fixed
7.77000000
N
N
N
N
N
N
SoftBank Group Corp
5493003BZYYYCDIO0R13
SoftBank Group Corp
000000000
100000.00000000
PA
105059.21000000
0.014063196727
Long
DBT
CORP
JP
N
2
2028-04-15
Fixed
5.00000000
N
N
N
N
N
N
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
SWP: OIS 2.211000 25-MAR-2032
000000000
520000.00000000
OU
Notional Amount
USD
4697.55000000
0.000628812740
N/A
DIR
US
N
2
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
N/A
N/A
Y
2032-03-25
8.39000000
USD
0.00000000
USD
520000.00000000
USD
4689.16000000
N
N
N
MGM GROWTH/MGM FINANCE
549300U6G4UOCMLQK204
MGM Growth Properties Operating Partnership LP / MGP Finance Co-Issuer Inc
55303XAB1
198000.00000000
PA
USD
198990.00000000
0.026636746238
Long
DBT
US
N
2
2026-09-01
Fixed
4.50000000
N
N
N
N
N
N
TRANSURBAN FINANCE CO
54930081LPJMUMEA6E57
Transurban Finance Co Pty Ltd
89400PAE3
580000.00000000
PA
USD
596347.90000000
0.079826964581
Long
DBT
CORP
AU
N
2
2026-02-02
Fixed
4.13000000
N
N
N
N
N
N
BCPE EMPIRE HOLDINGS INC
549300O2G0VI2955B626
BCPE Empire Holdings Inc
05552VAA0
74000.00000000
PA
USD
69722.80000000
0.009333074680
Long
DBT
CORP
US
N
2
2027-05-01
Fixed
7.63000000
N
N
N
N
N
N
Intesa Sanpaolo SpA
2W8N8UU78PMDQKZENC08
Intesa Sanpaolo SpA
46115HAT4
3151000.00000000
PA
USD
3175714.43000000
0.425100253264
Long
DBT
CORP
IT
N
2
2024-06-26
Fixed
5.02000000
N
N
N
N
N
N
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
FSWP: OIS 1.670000 15-JAN-2055
000000000
180000.00000000
OU
Notional Amount
USD
-2888.48000000
-0.00038665113
N/A
DIR
US
N
2
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
N/A
N/A
Y
2055-01-15
0.00000000
USD
-5878.90000000
USD
180000.00000000
USD
2990.42000000
N
N
N
DEUTSCHE BANK AG
7LTWFZYICNSX8D621K86
2Y RTP 2.250000 15-FEB-2023
000000000
-18610000.00000000
NC
USD
-278847.77000000
-0.03732648519
N/A
DIR
US
N
2
DEUTSCHE BANK AG
7LTWFZYICNSX8D621K86
Put
Written
DEUTSCHE BANK AG
7LTWFZYICNSX8D621K86
DEUTSCHE BANK AG
7LTWFZYICNSX8D621K86
IRS Swap
N/A
18610000.00000000
OU
Notional Amount
N/A
-278847.77000000
-0.04000000
DIR
US
N/A
N/A
2025-02-15
0.00000000
N/A
0.00000000
N/A
18610000.00000000
USD
1.00000000
2.25000000
USD
2023-02-15
XXXX
-148846.50000000
N
N
N
ANGI GROUP LLC
N/A
ANGI Group LLC
001846AA2
174000.00000000
PA
USD
147402.36000000
0.019731239048
Long
DBT
CORP
US
N
2
2028-08-15
Fixed
3.88000000
N
N
N
N
N
N
IRB HOLDING CORP
549300HVW4WNWYBXN830
IRB Holding Corp 2022 Term Loan B
44988LAH0
245520.00000000
PA
USD
243882.38000000
0.032646027780
Long
LON
CORP
US
N
2
2027-12-15
Floating
3.75000000
N
N
N
N
N
N
FORD MOTOR CREDIT CO LLC
UDSQCVRUX5BONN0VY111
Ford Motor Credit Co LLC
345397A45
200000.00000000
PA
USD
197252.00000000
0.026404098040
Long
DBT
CORP
US
N
2
2027-01-09
Fixed
4.27000000
N
N
N
N
N
N
LIGADO NETWORKS LLC
N/A
Ligado Networks LLC
53225HAA8
257401.00000000
PA
USD
195498.63000000
0.026169392417
Long
DBT
CORP
US
N
2
2023-11-01
Fixed
15.50000000
N
N
Y
N
N
N
NANYANG COMMERCIAL BANK
SC4P6WZO702RYEIU7J93
Nanyang Commercial Bank Ltd
000000000
200000.00000000
PA
USD
199875.00000000
0.026755212092
Long
DBT
CORP
HK
N
2
2022-06-02
Fixed
5.00000000
N
N
N
N
N
N
MORGAN STANLEY & CO. INTERNATIONAL
4PQUHN3JPFGFNF3BB653
10Y RTP 1.432500 13-DEC-2022
000000000
-4338000.00000000
NC
USD
-327812.60000000
-0.04388090376
N/A
DIR
US
N
2
MORGAN STANLEY & CO. INTERNATIONAL
4PQUHN3JPFGFNF3BB653
Put
Written
Morgan Stanley & Co. International PLC
4PQUHN3JPFGFNF3BB653
Morgan Stanley & Co. International PLC
4PQUHN3JPFGFNF3BB653
IRS Swap
N/A
4338000.00000000
OU
Notional Amount
N/A
-327812.60000000
-0.04000000
DIR
US
N/A
N/A
2032-12-15
0.00000000
N/A
0.00000000
N/A
4338000.00000000
USD
1.00000000
1.43250000
USD
2022-12-13
XXXX
-205047.20000000
N
N
N
CABLEVISION LIGHTPATH
5493002ZVBLRLGES1R71
Cablevision Lightpath LLC
12687GAA7
220000.00000000
PA
USD
205700.00000000
0.027534944978
Long
DBT
CORP
US
N
2
2027-09-15
Fixed
3.88000000
N
N
N
N
N
N
COLT Funding LLC
N/A
COLT 2020-3 Mortgage Loan Trust
12597QAD8
3820000.00000000
PA
USD
3807985.34000000
0.509735862006
Long
ABS-MBS
CORP
US
N
2
2065-04-27
Variable
3.36000000
N
N
N
N
N
N
SCOTTS MIRACLE-GRO CO
2TH9E0JTOUXOEGI2R879
Scotts Miracle-Gro Co/The
810186AW6
18000.00000000
PA
USD
15940.71000000
0.002133819021
Long
DBT
CORP
US
N
2
2032-02-01
Fixed
4.38000000
N
N
N
N
N
N
TITAN ACQ/CO-BORROWER
N/A
Titan Acquisition Ltd / Titan Co-Borrower LLC
88827AAA1
469000.00000000
PA
USD
466033.58000000
0.062383125830
Long
DBT
CORP
XX
N
2
2026-04-15
Fixed
7.75000000
N
N
N
N
N
N
LIVE NATION ENTERTAINMEN
5493007B9BM9ZXJINO78
Live Nation Entertainment Inc
538034AK5
21000.00000000
PA
USD
21084.16000000
0.002822319812
Long
DBT
CORP
US
N
2
2024-11-01
Fixed
4.88000000
N
N
N
N
N
N
CARNIVAL CORP
F1OF2ZSX47CR0BCWA982
Carnival Corp
143658BN1
571000.00000000
PA
USD
544542.72000000
0.072892337547
Long
DBT
CORP
PA
N
2
2027-03-01
Fixed
5.75000000
N
N
N
N
N
N
DISH DBS Corp
N/A
DISH DBS Corp
25470XAY1
343000.00000000
PA
USD
340770.50000000
0.045615444665
Long
DBT
CORP
US
N
2
2026-07-01
Fixed
7.75000000
N
N
N
N
N
N
MKS INSTRUMENTS INC
549300KEQATBHAGVF505
MKS INSTRUMENTS INC
000000000
63839.00000000
PA
USD
63220.40000000
0.008462665218
Long
LON
CORP
US
N
2
2028-10-21
None
0.00000000
N
N
N
N
N
N
EASY TACTIC LTD
549300WYFMC41MKE6E16
Easy Tactic Ltd
000000000
200000.00000000
PA
USD
43000.00000000
0.005755968080
Long
DBT
CORP
VG
N
2
2023-02-27
Fixed
8.13000000
N
N
N
N
N
N
GFL ENVIRONMENTAL INC
549300FYK4MBXWIVZU26
GFL Environmental Inc
36168QAK0
18000.00000000
PA
USD
17670.60000000
0.002365381617
Long
DBT
CORP
CA
N
2
2025-08-01
Fixed
3.75000000
N
N
N
N
N
N
Dealer Tire, LLC
549300XTS06OMOCRSE50
Dealer Tire, LLC 2020 Term Loan B
24228HAM0
47897.50000000
PA
USD
47598.14000000
0.006371473825
Long
LON
CORP
US
N
2
2025-12-12
Floating
4.71000000
N
N
N
N
N
N
ADVANCED DRAINAGE SYSTEM
6QQTOZ5MF5DHM7K92I60
Advanced Drainage Systems Inc
00790RAA2
248000.00000000
PA
USD
248354.64000000
0.033244683264
Long
DBT
CORP
US
N
2
2027-09-30
Fixed
5.00000000
N
N
N
N
N
N
NESCO HOLDINGS II INC
254900FAHT0HW9T6L409
NESCO Holdings II Inc
64083YAA9
146000.00000000
PA
USD
143445.00000000
0.019201507935
Long
DBT
CORP
US
N
2
2029-04-15
Fixed
5.50000000
N
N
N
N
N
N
NFP CORP
VO2L9FZNXDJNQNEYH039
NFP Corp
65342RAD2
625000.00000000
PA
USD
596875.00000000
0.079897522041
Long
DBT
CORP
US
N
2
2028-08-15
Fixed
6.88000000
N
N
N
N
N
N
UNITED AIRLINES INC
K1OQBWM7XEOO08LDNP29
United Airlines Inc
90932LAH0
439000.00000000
PA
USD
417467.05000000
0.055882023587
Long
DBT
CORP
US
N
2
2029-04-15
Fixed
4.63000000
N
N
N
N
N
N
RAYMOND JAMES FINANCIAL
RGUZHJ05YTITL6D76949
Raymond James Financial Inc
754730AF6
400000.00000000
PA
USD
447895.77000000
0.059955203611
Long
DBT
CORP
US
N
2
2046-07-15
Fixed
4.95000000
N
N
N
N
N
N
UBER TECHNOLOGIES INC
549300B2FTG34FILDR98
Uber Technologies Inc
90353TAG5
133000.00000000
PA
USD
137514.02000000
0.018407588597
Long
DBT
CORP
US
N
2
2028-01-15
Fixed
6.25000000
N
N
N
N
N
N
Octagon Investment Partners XXII Ltd
549300MQ9W5DWZ8QX450
Octagon Investment Partners XXII Ltd
67572YBW1
500000.00000000
PA
USD
487071.00000000
0.065199189039
Long
ABS-CBDO
CORP
KY
N
2
2030-01-22
Floating
3.01000000
N
N
N
N
N
N
Ford Motor Credit Co LLC
UDSQCVRUX5BONN0VY111
Ford Motor Credit Co LLC
345397ZJ5
200000.00000000
PA
USD
201432.00000000
0.026963631681
Long
DBT
CORP
US
N
2
2025-06-09
Fixed
4.69000000
N
N
N
N
N
N
SCIENTIFIC GAMES INTERNA
RLTHESQ0RNFQJWPBJN60
Scientific Games International Inc
80874YBA7
203000.00000000
PA
USD
211373.75000000
0.028294431580
Long
DBT
CORP
US
N
2
2026-03-15
Fixed
8.25000000
N
N
N
N
N
N
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
FSWP: USD 0.727500 14-APR-2024
000000000
7470000.00000000
OU
Notional Amount
USD
-107240.27000000
-0.01435515281
N/A
DIR
US
N
2
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
N/A
N/A
Y
2024-04-15
0.00000000
USD
-187363.10000000
USD
7470000.00000000
USD
80122.83000000
N
N
N
SM ENERGY CO
84BUTVXV5ODI6BXNMH43
SM Energy Co
78454LAW0
88000.00000000
PA
USD
90809.84000000
0.012155780009
Long
DBT
CORP
US
N
2
2028-07-15
Fixed
6.50000000
N
N
N
N
N
N
KAISA GROUP HOLDINGS LTD
254900N8L3L7NRJT0120
Kaisa Group Holdings Ltd
000000000
259000.00000000
PA
USD
50505.00000000
0.006760585299
Long
DBT
CORP
KY
N
2
2023-11-12
None
0.00000000
Y
N
N
N
N
N
GOODYEAR TIRE & RUBBER
5493002BI0S2ZQUY3437
Goodyear Tire & Rubber Co/The
382550BK6
208000.00000000
PA
USD
191360.00000000
0.025615396553
Long
DBT
CORP
US
N
2
2033-04-30
Fixed
5.63000000
N
N
N
N
N
N
DEUTSCHE BANK AG
7LTWFZYICNSX8D621K86
2Y RTR 1.250000 10-JAN-2023
000000000
-20035000.00000000
NC
USD
-23854.07000000
-0.00319309919
N/A
DIR
US
N
2
DEUTSCHE BANK AG
7LTWFZYICNSX8D621K86
Call
Written
DEUTSCHE BANK AG
7LTWFZYICNSX8D621K86
DEUTSCHE BANK AG
7LTWFZYICNSX8D621K86
IRS Swap
N/A
20035000.00000000
OU
Notional Amount
N/A
-23854.07000000
0.00000000
DIR
US
N/A
N/A
2025-01-10
0.00000000
N/A
0.00000000
N/A
20035000.00000000
USD
1.00000000
1.25000000
USD
2023-01-10
XXXX
54783.31000000
N
N
N
KRAFT HEINZ FOODS CO
5493003STKEZ2S0RNU91
Kraft Heinz Foods Co
50077LAZ9
266000.00000000
PA
USD
280265.58000000
0.037516272846
Long
DBT
CORP
US
N
2
2049-10-01
Fixed
4.88000000
N
N
N
N
N
N
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
SWP: OIS 2.096500 23-MAR-2032
000000000
600000.00000000
OU
Notional Amount
USD
702.21000000
0.000093997635
N/A
DIR
US
N
2
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
N/A
N/A
Y
2032-03-23
0.00000000
USD
-9.68000000
USD
600000.00000000
USD
711.89000000
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140FXCK6
3651779.77000000
PA
USD
3904091.28000000
0.522600576493
Long
ABS-MBS
USGSE
US
N
2
2055-07-01
Fixed
4.50000000
N
N
N
N
N
N
BARCLAYS BANK PLC
G5GSEF7VJP5I7OUK5573
SWAP/CDSWAP/SCDS: (TTMTIN)
000000000
5076.00000000
OU
Notional Amount
-62.27000000
-0.00000833544
N/A
DCR
XX
N
2
BARCLAYS BANK PLC
G5GSEF7VJP5I7OUK5573
JAGUAR LAND ROVER AUTOMO
JAGUAR LAND ROVER AUTOMO
Y
sell protection
2026-12-22
185.73000000
EUR
0.00000000
EUR
5076.00000000
EUR
-271.10000000
N
N
N
NEW METRO GLOBAL LTD
549300HJRNTCANEH0D47
New Metro Global Ltd
000000000
200000.00000000
PA
USD
128000.00000000
0.017134044517
Long
DBT
CORP
VG
N
2
2026-05-02
Fixed
4.50000000
N
N
N
N
N
N
Bayview Commercial Asset Trust
N/A
Bayview Commercial Asset Trust 2007-2
07325XAA8
784580.98000000
PA
USD
738600.61000000
0.098868872908
Long
ABS-MBS
CORP
US
N
2
2037-07-25
Floating
0.73000000
N
N
N
N
N
N
HILONG HOLDING LTD
5493007WSRWZ0UF15X65
Hilong Holding Ltd
000000000
207000.00000000
PA
USD
128340.00000000
0.017179556823
Long
DBT
CORP
KY
N
2
2024-11-18
Fixed
9.75000000
N
N
N
N
N
N
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
FSWP: USD 1.645000 22-AUG-2034
000000000
1355000.00000000
OU
Notional Amount
USD
-49770.97000000
-0.00666232824
N/A
DIR
US
N
2
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
N/A
N/A
Y
2034-08-22
0.00000000
USD
-67132.92000000
USD
1355000.00000000
USD
17361.95000000
N
N
N
PIONEER NATURAL RESOURCE
FY8JBF7CCL2VE4F1B628
Pioneer Natural Resources Co
723787AP2
191000.00000000
PA
USD
453529.50000000
0.060709333147
Long
DBT
CORP
US
N
2
2025-05-15
Fixed
0.25000000
N
N
N
N
Y
Pioneer Natural Resources Co
Pioneer Natural Resources Co
USD
XXXX
N
N
N
General Motors Co
54930070NSV60J38I987
General Motors Co
37045VAF7
2506000.00000000
PA
USD
2841308.89000000
0.380336820380
Long
DBT
CORP
US
N
2
2043-10-02
Fixed
6.25000000
N
N
N
N
N
N
FRONTIER COMMUNICATIONS
N/A
Frontier Communications Holdings LLC
35906ABE7
272000.00000000
PA
USD
270177.60000000
0.036165898640
Long
DBT
CORP
US
N
2
2027-10-15
Fixed
5.88000000
N
N
N
N
N
N
CAMELOT FINANCE SA
N/A
Camelot Finance SA
13323AAB6
81000.00000000
PA
USD
78772.50000000
0.010544465013
Long
DBT
CORP
LU
N
2
2026-11-01
Fixed
4.50000000
N
N
N
N
N
N
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
FSWP: OIS 1.895000 17-AUG-2024
000000000
4440000.00000000
OU
Notional Amount
USD
59108.45000000
0.007912240731
N/A
DIR
US
N
2
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
N/A
N/A
Y
2024-08-19
0.00000000
USD
-1116.15000000
USD
4440000.00000000
USD
60224.60000000
N
N
N
SRM ESCROW ISSUER LLC
N/A
SRM Escrow Issuer LLC
85236FAA1
330000.00000000
PA
USD
325465.80000000
0.043566761766
Long
DBT
CORP
US
N
2
2028-11-01
Fixed
6.00000000
N
N
N
N
N
N
HSBC SECURITIES (USA) INC
CYYGQCGNHMHPSMRL3R97
RRP FHLMC GOLD
000000000
-738775.73000000
PA
USD
-738775.73000000
-0.09889231442
Short
RA
CORP
US
N
2
Reverse repurchase
N
0.34000000
2022-04-13
738775.73000000
USD
738894.34000000
USD
AMBS
N
N
N
Trimaran CAVU 2021-2A Ltd
N/A
Trimaran Cavu 2021-2 Ltd
89624UAJ1
500000.00000000
PA
USD
490492.05000000
0.065657129844
Long
ABS-CBDO
CORP
KY
N
2
2034-10-25
Floating
3.38000000
N
N
N
N
N
N
MORGAN STANLEY & CO. INTERNATIONAL
4PQUHN3JPFGFNF3BB653
2Y RTR 1.390000 17-FEB-2023
000000000
-10330000.00000000
NC
USD
-17993.00000000
-0.00240853799
N/A
DIR
US
N
2
MORGAN STANLEY & CO. INTERNATIONAL
4PQUHN3JPFGFNF3BB653
Call
Written
MORGAN STANLEY & CO. INTERNATIONAL
4PQUHN3JPFGFNF3BB653
MORGAN STANLEY & CO. INTERNATIONAL
4PQUHN3JPFGFNF3BB653
IRS Swap
N/A
10330000.00000000
OU
Notional Amount
N/A
-17993.00000000
0.00000000
DIR
US
N/A
N/A
2025-02-17
0.00000000
N/A
0.00000000
N/A
10330000.00000000
USD
1.00000000
1.39000000
USD
2023-02-17
XXXX
19195.00000000
N
N
N
BARCLAYS CAPITAL INC
AC28XWWI3WIBK2824319
BRY0EQ1P4 RRP CALLON PETR
000000000
-380380.00000000
PA
USD
-380380.00000000
-0.05091756135
Short
RA
CORP
US
N
2
Reverse repurchase
N
-1.70000000
2049-12-31
380380.00000000
USD
380236.30000000
USD
CDS
N
N
N
Eaton Corp
0NZWDMRCE180888QQE14
Eaton Corp
278062AE4
500000.00000000
PA
USD
519682.24000000
0.069564520586
Long
DBT
CORP
US
N
2
2042-11-02
Fixed
4.15000000
N
N
N
N
N
N
WINNEBAGO INDUSTRIES
549300B7OYKYJLTE3G11
Winnebago Industries Inc
974637AC4
92000.00000000
PA
USD
93035.00000000
0.012453639309
Long
DBT
CORP
US
N
2
2028-07-15
Fixed
6.25000000
N
N
N
N
N
N
MILEAGE PLUS HLDINGS LLC
N/A
Mileage Plus Holdings LLC / Mileage Plus Intellectual Property Assets Ltd
599191AA1
454000.00000000
PA
USD
473295.00000000
0.063355137498
Long
DBT
CORP
US
N
2
2027-06-20
Fixed
6.50000000
N
N
N
N
N
N
SABRE GLBL INC
F2TJC7HPPHLHU1AQMP98
Sabre GLBL Inc
78573NAC6
137000.00000000
PA
USD
151883.00000000
0.020331016276
Long
DBT
CORP
US
N
2
2025-04-15
Fixed
9.25000000
N
N
N
N
N
N
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
SWP: OIS 2.092500 23-MAR-2032
000000000
600000.00000000
OU
Notional Amount
USD
918.87000000
0.000122999683
N/A
DIR
US
N
2
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
N/A
N/A
Y
2032-03-23
0.00000000
USD
-9.68000000
USD
600000.00000000
USD
928.55000000
N
N
N
TRIUMPH GROUP INC
5493007L6S47Q14SL582
Triumph Group Inc
896818AS0
527000.00000000
PA
USD
556617.40000000
0.074508650864
Long
DBT
CORP
US
N
2
2024-06-01
Fixed
8.88000000
N
N
N
N
N
N
Madison Park Funding Ltd
N/A
Madison Park Funding XXIII Ltd
55820TAN8
600000.00000000
PA
USD
597154.98000000
0.079935000086
Long
ABS-CBDO
CORP
KY
N
2
2031-07-27
Floating
2.27000000
N
N
N
N
N
N
BLOCK INC
549300OHIIUWSTIZME52
Block Inc
852234AM5
494000.00000000
PA
USD
452010.00000000
0.060505933298
Long
DBT
CORP
US
N
2
2031-06-01
Fixed
3.50000000
N
N
N
N
N
N
CIFC Funding Ltd
549300O8WGQU5B6HEB94
CIFC Funding 2014-II-R Ltd
12548RAE4
750000.00000000
PA
USD
738227.33000000
0.098818905750
Long
ABS-CBDO
CORP
KY
N
2
2030-04-24
Floating
3.06000000
N
N
N
N
N
N
CSC HOLDINGS LLC
3HG2WD2W22M120IUNG49
CSC Holdings LLC
126307BH9
316000.00000000
PA
USD
283221.32000000
0.037911927383
Long
DBT
CORP
US
N
2
2031-11-15
Fixed
4.50000000
N
N
N
N
N
N
York CLO Ltd
549300EJZ6JIZVXIHF06
York CLO 1 Ltd
986255AY3
250000.00000000
PA
USD
248883.53000000
0.033315480333
Long
ABS-CBDO
CORP
KY
N
2
2029-10-22
Floating
2.36000000
N
N
N
N
N
N
AIT Worldwide Logistics, Inc
N/A
AIT Worldwide Logistics, Inc 2021 Term Loan
00145AAB9
76807.50000000
PA
USD
76097.03000000
0.010186327341
Long
LON
CORP
US
N
2
2028-04-06
Floating
5.50000000
N
N
N
N
N
N
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
FSWP: USD 0.849000 20-APR-2024
000000000
4205000.00000000
OU
Notional Amount
USD
-51038.08000000
-0.00683194324
N/A
DIR
US
N
2
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
N/A
N/A
Y
2024-04-22
0.00000000
USD
-96577.66000000
USD
4205000.00000000
USD
45539.58000000
N
N
N
BNP PARIBAS
R0MUWSFPU8MPRO8K5P83
BRY0467K4 RRP JPMORGAN CH
000000000
-2876193.75000000
PA
USD
-2876193.75000000
-0.38500649806
Short
RA
CORP
US
N
2
Reverse repurchase
N
0.54000000
2049-12-31
2876193.75000000
USD
2876824.12000000
USD
CDS
N
N
N
JSW STEEL LTD
335800EK6HZSC4CVAJ09
JSW Steel Ltd
000000000
200000.00000000
PA
USD
202500.00000000
0.027106593865
Long
DBT
CORP
IN
N
2
2024-04-18
Fixed
5.95000000
N
N
N
N
N
N
Municipal Electric Authority of Georgia
JA0WNILDDF2KUPS83B16
MUNI ELEC AUTH OF GEORGIA
626207YS7
1929000.00000000
PA
USD
2569549.53000000
0.343959187784
Long
DBT
MUN
US
N
2
2057-04-01
Fixed
7.06000000
N
N
N
N
N
N
WEATHERFORD INTERNATIONA
549300A2JKMG5PGOGF82
Weatherford International Ltd
947075AT4
9000.00000000
PA
USD
9303.62000000
0.001245379994
Long
DBT
CORP
BM
N
2
2028-09-15
Fixed
6.50000000
N
N
N
N
N
N
Electricite de France SA
549300X3UK4GG3FNMO06
Electricite de France SA
268317AF1
4200000.00000000
PA
USD
4189500.00000000
0.560805308634
Long
DBT
CORP
FR
N
2
2023-01-29
Fixed
5.25000000
N
N
N
N
N
N
JBS USA/FOOD/FINANCE
N/A
JBS USA LUX SA / JBS USA Food Co / JBS USA Finance Inc
46590XAC0
296000.00000000
PA
USD
274757.56000000
0.036778970816
Long
DBT
CORP
XX
N
2
2031-12-01
Fixed
3.75000000
N
N
N
N
N
N
ANTHEM INC
8MYN82XMYQH89CTMTH67
Anthem Inc
036752AS2
600000.00000000
PA
USD
573616.24000000
0.076784110875
Long
DBT
CORP
US
N
2
2051-03-15
Fixed
3.60000000
N
N
N
N
N
N
HCA Inc
L3CJ6J7LJ2DX62FTXD46
HCA Inc
404121AJ4
209000.00000000
PA
USD
225981.25000000
0.030249787481
Long
DBT
CORP
US
N
2
2028-09-01
Fixed
5.63000000
N
N
N
N
N
N
FORESTAR GROUP INC
549300BC2UB0GHV60V70
Forestar Group Inc
346232AF8
70000.00000000
PA
USD
65275.00000000
0.008737693405
Long
DBT
CORP
US
N
2
2026-05-15
Fixed
3.85000000
N
N
N
N
N
N
ENERGY TRANSFER LP
MTLVN9N7JE8MIBIJ1H73
Energy Transfer LP
29273VAN0
433000.00000000
PA
USD
425552.47000000
0.056964335667
Long
DBT
CORP
US
N
2
2026-11-15
Fixed
6.50000000
N
N
N
N
N
N
Apple Inc
HWUPKR0MPOU8FGXBT394
Apple Inc
037833BX7
2400000.00000000
PA
USD
2839814.69000000
0.380136807182
Long
DBT
CORP
US
N
2
2046-02-23
Fixed
4.65000000
N
N
N
N
N
N
ENCOMPASS HEALTH CORP
549300FVRPM9DRQZRG64
Encompass Health Corp
29261AAE0
141000.00000000
PA
USD
131981.64000000
0.017667025743
Long
DBT
CORP
US
N
2
2031-04-01
Fixed
4.63000000
N
N
N
N
N
N
HSBC SECURITIES (USA) INC
CYYGQCGNHMHPSMRL3R97
RRP FNMA 30YR
000000000
-305333.51000000
PA
USD
-305333.51000000
-0.04087185900
Short
RA
CORP
US
N
2
Reverse repurchase
N
0.34000000
2022-04-13
305333.51000000
USD
305382.53000000
USD
AMBS
N
N
N
VERITAS US INC/BERMUDA L
N/A
Veritas US Inc / Veritas Bermuda Ltd
92346LAE3
328000.00000000
PA
USD
311175.24000000
0.041653831365
Long
DBT
CORP
US
N
2
2025-09-01
Fixed
7.50000000
N
N
N
N
N
N
BARCLAYS CAPITAL INC
AC28XWWI3WIBK2824319
RRP MICROSTRATE
000000000
-182822.50000000
PA
USD
-182822.50000000
-0.02447256917
Short
RA
CORP
US
N
2
Reverse repurchase
N
-1.75000000
2049-12-31
217000.00000000
USD
211147.51000000
USD
CDS
N
N
N
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
FSWP: USD 1.252000 07-JUN-2024
000000000
4335000.00000000
OU
Notional Amount
USD
-20357.73000000
-0.00272508009
N/A
DIR
US
N
2
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
N/A
N/A
Y
2024-06-07
0.00000000
USD
-71546.80000000
USD
4335000.00000000
USD
51189.07000000
N
N
N
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
FSWP: OIS 2.033000 16-SEP-2027
000000000
2350000.00000000
OU
Notional Amount
USD
-33696.72000000
-0.00451063359
N/A
DIR
US
N
2
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
N/A
N/A
Y
2027-09-16
21.65000000
USD
0.00000000
USD
2350000.00000000
USD
-33718.37000000
N
N
N
CNX MIDSTREAM PART LP
N/A
CNX Midstream Partners LP
12654AAA9
63000.00000000
PA
USD
58997.61000000
0.007897403719
Long
DBT
CORP
US
N
2
2030-04-15
Fixed
4.75000000
N
N
N
N
N
N
RBC CAPITAL MARKETS LLC
549300LCO2FLSSVFFR64
RRP SCIH SALT H
000000000
-72670.00000000
PA
USD
-72670.00000000
-0.00972758605
Short
RA
CORP
US
N
2
Reverse repurchase
N
-1.75000000
2049-12-31
86000.00000000
USD
77198.33000000
USD
CDS
N
N
N
MORGAN STANLEY & CO. INTERNATIONAL
4PQUHN3JPFGFNF3BB653
SWAPTION AUG25 0.9125 PUT
000000000
1450000.00000000
NC
USD
192244.99000000
0.025733861069
N/A
DIR
US
N
2
MORGAN STANLEY & CO. INTERNATIONAL
4PQUHN3JPFGFNF3BB653
Put
Purchased
MORGAN STANLEY & CO. INTERNATIONAL
4PQUHN3JPFGFNF3BB653
MORGAN STANLEY & CO. INTERNATIONAL
4PQUHN3JPFGFNF3BB653
IRS Swap
N/A
1450000.00000000
OU
Notional Amount
N/A
192244.99000000
0.03000000
DIR
GB
N/A
N/A
2035-08-11
0.00000000
N/A
0.00000000
N/A
1450000.00000000
USD
1.00000000
0.91250000
USD
2025-08-07
XXXX
109462.67000000
N
N
N
SOUTHWESTERN ENERGY CO
EFWMP121W54QV9MGOP87
Southwestern Energy Co
845467AT6
109000.00000000
PA
USD
108863.75000000
0.014572471397
Long
DBT
CORP
US
N
2
2032-02-01
Fixed
4.75000000
N
N
N
N
N
N
RONSHINE CHINA
549300GNBBT32SFSEC47
Ronshine China Holdings Ltd
000000000
433000.00000000
PA
USD
73610.00000000
0.009853414194
Long
DBT
CORP
KY
N
2
2023-12-15
Fixed
7.35000000
N
N
N
N
N
N
MADISON IAQ LLC
549300IXDNBXNHUPBU73
Madison IAQ LLC
55760LAB3
243000.00000000
PA
USD
218092.50000000
0.029193801592
Long
DBT
CORP
US
N
2
2029-06-30
Fixed
5.88000000
N
N
N
N
N
N
Bank of America, National Association
B4TYDEB6GKMZO031MB27
PURCHASED USD / SOLD CAD
000000000
1.00000000
NC
-3107.04000000
-0.00041590751
N/A
DFE
US
N
2
Bank of America, National Association
B4TYDEB6GKMZO031MB27
223574.00000000
CAD
175697.53000000
USD
2022-06-15
-3107.04000000
N
N
N
ENCOMPASS HEALTH CORP
549300FVRPM9DRQZRG64
Encompass Health Corp
29261AAA8
31000.00000000
PA
USD
30380.00000000
0.004066658378
Long
DBT
CORP
US
N
2
2028-02-01
Fixed
4.50000000
N
N
N
N
N
N
WELLS FARGO & COMPANY
PBLD0EJDB5FWOLXP3B76
Wells Fargo & Co
949746RG8
3390000.00000000
PA
USD
3415425.00000000
0.457187843714
Long
DBT
CORP
US
N
2
2024-06-15
Fixed
5.90000000
N
N
N
N
N
N
BANK OF AMERICA NA
B4TYDEB6GKMZO031MB27
SWAP/CDSWAP/SCDS: (TTMTIN)
000000000
10000.00000000
OU
Notional Amount
-122.68000000
-0.00001642191
N/A
DCR
XX
N
2
BANK OF AMERICA NA
B4TYDEB6GKMZO031MB27
JAGUAR LAND ROVER AUTOMO
JAGUAR LAND ROVER AUTOMO
Y
sell protection
2026-12-22
0.00000000
EUR
-378.29000000
EUR
10000.00000000
EUR
288.49000000
N
N
N
Lehman Brothers Small Balance Commercial
N/A
Lehman Brothers Small Balance Commercial Mortgage Trust 2006-1
86359DZP5
1366096.01000000
PA
USD
1343932.60000000
0.179898445286
Long
ABS-MBS
CORP
US
N
2
2031-04-25
Floating
1.46000000
N
N
N
N
N
N
ABC SUPPLY CO INC
549300H5GQ4C1BEKG397
American Builders & Contractors Supply Co Inc
024747AF4
75000.00000000
PA
USD
72051.75000000
0.009644827281
Long
DBT
CORP
US
N
2
2028-01-15
Fixed
4.00000000
N
N
N
N
N
N
SIRIUS XM RADIO INC
WP5O65E6BMU84LNO4227
Sirius XM Radio Inc
82967NBJ6
131000.00000000
PA
USD
124450.00000000
0.016658842501
Long
DBT
CORP
US
N
2
2028-07-15
Fixed
4.00000000
N
N
N
N
N
N
GARTNER INC
PP55B5R38BFB8O8HH686
Gartner Inc
366651AC1
199000.00000000
PA
USD
198252.76000000
0.026538059496
Long
DBT
CORP
US
N
2
2028-07-01
Fixed
4.50000000
N
N
N
N
N
N
State of Illinois
54930048FV8RWPR02D67
ILLINOIS ST
452151LF8
2000000.00000000
PA
USD
2124608.00000000
0.284399437920
Long
DBT
MUN
US
N
2
2033-06-01
Fixed
5.10000000
N
N
N
N
N
N
United States Treasury
254900HROIFWPRGM1V77
United States Treasury Note/Bond
91282CBL4
19000000.00000000
PA
USD
17155664.11000000
2.296452442067
Long
DBT
UST
US
N
2
2031-02-15
Fixed
1.13000000
N
N
N
N
N
N
OPTION CARE HEALTH INC
549300DI3Q5ACSYJRI17
Option Care Health Inc
68404LAA0
90000.00000000
PA
USD
84375.00000000
0.011294414110
Long
DBT
CORP
US
N
2
2029-10-31
Fixed
4.38000000
N
N
N
N
N
N
INTERPUBLIC GROUP COS
5493008IUOJ5VWTRC333
Interpublic Group of Cos Inc/The
460690BQ2
500000.00000000
PA
USD
594798.55000000
0.079619569019
Long
DBT
CORP
US
N
2
2048-10-01
Fixed
5.40000000
N
N
N
N
N
N
REPUBLIC OF SOUTH AFRICA
378900AAFB4F17004C49
Republic of South Africa Government International Bond
836205BB9
200000.00000000
PA
USD
174412.50000000
0.023346808901
Long
DBT
NUSS
ZA
N
2
2049-09-30
Fixed
5.75000000
N
N
N
N
N
N
ABBVIE INC
FR5LCKFTG8054YNNRU85
AbbVie Inc
00287YCY3
2140000.00000000
PA
USD
2297302.43000000
0.307516266447
Long
DBT
CORP
US
N
2
2035-03-15
Fixed
4.55000000
N
N
N
N
N
N
AAdvantage Loyalty IP Ltd.
N/A
AAdvantage Loyalty IP Ltd. 2021 Term Loan
02376CBJ3
432780.00000000
PA
USD
437782.94000000
0.058601502991
Long
LON
CORP
KY
N
2
2028-04-20
Floating
5.50000000
N
N
N
N
N
N
CATALENT PHARMA SOLUTION
549300HALRZ339MSTH85
Catalent Pharma Solutions Inc
14879EAK4
266000.00000000
PA
USD
242725.00000000
0.032491101214
Long
DBT
CORP
US
N
2
2030-04-01
Fixed
3.50000000
N
N
N
N
N
N
CENTRAL GARDEN & PET CO
5493004DVZLD37DJ0H83
Central Garden & Pet Co
153527AP1
132000.00000000
PA
USD
118800.00000000
0.015902535067
Long
DBT
CORP
US
N
2
2031-04-30
Fixed
4.13000000
N
N
N
N
N
N
GoldenTree Loan Management US CLO1, LTD
549300TB55YBQBSW5Z77
Goldentree Loan Management US Clo 3 Ltd
38138BAG5
250000.00000000
PA
USD
247949.68000000
0.033190475431
Long
ABS-CBDO
CORP
KY
N
2
2030-04-20
Floating
1.80000000
N
N
N
N
N
N
SILGAN HOLDINGS INC
KAF673KJXD92C8KSLU49
Silgan Holdings Inc
827048AW9
7000.00000000
PA
USD
6720.00000000
0.000899537337
Long
DBT
CORP
US
N
2
2028-02-01
Fixed
4.13000000
N
N
N
N
N
N
CommScope Inc
549300Z6K4JXMFE8QY54
CommScope Inc
20338QAA1
221000.00000000
PA
USD
214922.50000000
0.028769466271
Long
DBT
CORP
US
N
2
2027-03-01
Fixed
8.25000000
N
N
N
N
N
N
HERTZ CORP/THE
549300PD0C69OJ0NLB27
Hertz Corp/The
428040DB2
136000.00000000
PA
USD
123080.00000000
0.016475454681
Long
DBT
CORP
US
N
2
2029-12-01
Fixed
5.00000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36202VEV9
27006.72000000
PA
USD
28858.92000000
0.003863047031
Long
ABS-MBS
USGA
US
N
2
2033-08-15
Fixed
5.50000000
N
N
N
N
N
N
GCP APPLIED TECHNOLOGIES
5493007G654QKQVEKV09
GCP Applied Technologies Inc
36164YAB7
101000.00000000
PA
USD
102262.50000000
0.013688829901
Long
DBT
CORP
US
N
2
2026-04-15
Fixed
5.50000000
N
N
N
N
N
N
NOMURA SECURITIES INTERNATIONAL INC
OXTKY6Q8X53C9ILVV871
RRP TREASURY NO
000000000
-2586000.00000000
PA
USD
-2586000.00000000
-0.34616124313
Short
RA
CORP
US
N
2
Reverse repurchase
N
0.32000000
2049-12-31
2400000.00000000
USD
2437031.25600000
USD
UST
N
N
N
DEUTSCHE BANK AG
7LTWFZYICNSX8D621K86
10Y RTP 1.950000 03-AUG-2022
000000000
-1580000.00000000
NC
USD
-53583.52000000
-0.00717267513
N/A
DIR
US
N
2
DEUTSCHE BANK AG
7LTWFZYICNSX8D621K86
Put
Written
DEUTSCHE BANK AG
7LTWFZYICNSX8D621K86
DEUTSCHE BANK AG
7LTWFZYICNSX8D621K86
IRS Swap
N/A
1580000.00000000
OU
Notional Amount
N/A
-53583.52000000
-0.01000000
DIR
US
N/A
N/A
2032-08-05
0.00000000
N/A
0.00000000
N/A
1580000.00000000
USD
1.00000000
1.95000000
USD
2022-08-03
XXXX
-35176.52000000
N
N
N
LUNE HOLDINGS SARL
54930003WQ56T0558M33
Lune Holdings Sarl
000000000
100000.00000000
PA
98884.13000000
0.013236602230
Long
DBT
CORP
LU
N
2
2028-11-15
Fixed
5.63000000
N
N
N
N
N
N
Simon Property Group LP
MR92GTD0MJTTTTQDVG45
Simon Property Group LP
828807CL9
1670000.00000000
PA
USD
1785796.43000000
0.239046215081
Long
DBT
CORP
US
N
2
2042-03-15
Fixed
4.75000000
N
N
N
N
N
N
KAR Auction Services, Inc.
5493004HKD20LBSG7D03
KAR Auction Services, Inc. 2019 Term Loan B6
48562RAL3
33681.11000000
PA
USD
33344.30000000
0.004463458754
Long
LON
CORP
US
N
3
2026-09-19
Floating
2.75000000
N
N
N
N
N
N
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
FSWP: USD 0.649000 11-APR-2024
000000000
8600000.00000000
OU
Notional Amount
USD
-135691.94000000
-0.01816368547
N/A
DIR
US
N
2
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
N/A
N/A
Y
2024-04-11
0.00000000
USD
-227460.54000000
USD
8600000.00000000
USD
91768.60000000
N
N
N
DOMINICAN REPUBLIC
254900EHU7Q8FGVPI369
Dominican Republic International Bond
000000000
330000.00000000
PA
USD
332475.00000000
0.044505011335
Long
DBT
NUSS
DO
N
2
2027-01-25
Fixed
5.95000000
N
N
N
N
N
N
BRF SA
254900MTXR9LUVQFU480
BRF SA
000000000
200000.00000000
PA
USD
190025.00000000
0.025436693823
Long
DBT
CORP
BR
N
2
2030-01-24
Fixed
4.88000000
N
N
N
N
N
N
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
SWP: OIS 2.231500 24-MAR-2032
000000000
610000.00000000
OU
Notional Amount
USD
-6689.91000000
-0.00089550949
N/A
DIR
US
N
2
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
N/A
N/A
Y
2032-03-24
0.00000000
USD
-9.84000000
USD
610000.00000000
USD
-6680.07000000
N
N
N
RYAN SPECIALTY GROUP
549300K52N7QBO3PYY45
Ryan Specialty Group LLC
78351MAA0
92000.00000000
PA
USD
86940.00000000
0.011637764299
Long
DBT
CORP
US
N
2
2030-02-01
Fixed
4.38000000
N
N
N
N
N
N
Ellington Financial Mortgage Trust
N/A
Ellington Financial Mortgage Trust 2020-1
31574PAD7
1500000.00000000
PA
USD
1504856.85000000
0.201439720781
Long
ABS-MBS
CORP
US
N
2
2065-05-25
Variable
5.24000000
N
N
N
N
N
N
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
FSWP: OIS 1.805500 12-AUG-2024
000000000
6030000.00000000
OU
Notional Amount
USD
69765.18000000
0.009338747655
N/A
DIR
US
N
2
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
N/A
N/A
Y
2024-08-12
0.00000000
USD
-11482.77000000
USD
6030000.00000000
USD
81247.95000000
N
N
N
IVORY COAST
254900ICW11T82O6H590
Ivory Coast Government International Bond
000000000
200000.00000000
PA
USD
203037.50000000
0.027178543466
Long
DBT
NUSS
CI
N
2
2028-03-03
Fixed
6.38000000
N
N
N
N
N
N
GS Mortgage-Backed Securities Trust
N/A
GS Mortgage-Backed Securities Corp Trust 2022-PJ2
36267EAD3
1194320.55000000
PA
USD
1100675.07000000
0.147336059753
Long
ABS-MBS
CORP
US
N
2
2052-06-25
Variable
2.50000000
N
N
N
N
N
N
MPT OPER PARTNERSP/FINL
N/A
MPT Operating Partnership LP / MPT Finance Corp
55342UAH7
28000.00000000
PA
USD
28472.50000000
0.003811320957
Long
DBT
CORP
US
N
2
2027-10-15
Fixed
5.00000000
N
N
N
N
N
N
Deerfield Dakota Holding, LLC
549300FDREJLOIGXY104
Deerfield Dakota Holding, LLC 2020 USD Term Loan B
24440EAB3
104790.36000000
PA
USD
104135.42000000
0.013939538453
Long
LON
CORP
US
N
2
2027-04-09
Floating
4.75000000
N
N
N
N
N
N
Cenovus Energy Inc
549300F4XPHJ7NOSP309
Cenovus Energy Inc
15135UAM1
400000.00000000
PA
USD
412747.32000000
0.055250241838
Long
DBT
CORP
CA
N
2
2027-04-15
Fixed
4.25000000
N
N
N
N
N
N
Whitebox CLO III Ltd
549300JXCQSPB1A61C68
Whitebox CLO III Ltd
96467JAA0
250000.00000000
PA
USD
247646.75000000
0.033149925305
Long
ABS-CBDO
CORP
KY
N
2
2034-10-15
Floating
6.97000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Pool
3133B0CY7
582252.08000000
PA
USD
559772.16000000
0.074930946163
Long
ABS-MBS
USGSE
US
N
2
2051-12-01
Fixed
2.50000000
N
N
N
N
N
N
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
FSWP: USD 1.224000 07-JUN-2024
000000000
4335000.00000000
OU
Notional Amount
USD
-22749.70000000
-0.00304526853
N/A
DIR
US
N
2
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
N/A
N/A
Y
2024-06-07
0.00000000
USD
-73921.58000000
USD
4335000.00000000
USD
51171.88000000
N
N
N
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
FSWP: OIS 1.712500 07-SEP-2024
000000000
2900000.00000000
OU
Notional Amount
USD
-51981.48000000
-0.00695822650
N/A
DIR
US
N
2
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
N/A
N/A
Y
2024-09-09
0.00000000
USD
-12351.67000000
USD
2900000.00000000
USD
-39629.81000000
N
N
N
COVANTA HOLDING CORP
40XIFLS8XDQGGHGPGC04
Covanta Holding Corp
22303XAA3
131000.00000000
PA
USD
125065.70000000
0.016741259932
Long
DBT
CORP
US
N
2
2029-12-01
Fixed
4.88000000
N
N
N
N
N
N
Goldman Sachs Bank USA
KD3XUN7C6T14HNAYLU02
2Y RTR 1.740000 15-NOV-2022
000000000
-27890000.00000000
NC
USD
-53006.62000000
-0.00709545145
N/A
DIR
US
N
2
Goldman Sachs Bank USA
KD3XUN7C6T14HNAYLU02
Call
Written
Goldman Sachs Bank USA
KD3XUN7C6T14HNAYLU02
GOLDMAN SACHS BANK USA
KD3XUN7C6T14HNAYLU02
IRS Swap
N/A
27890000.00000000
OU
Notional Amount
N/A
-53006.62000000
-0.01000000
DIR
US
N/A
N/A
2024-11-17
0.00000000
N/A
0.00000000
N/A
27890000.00000000
USD
1.00000000
1.74000000
USD
2022-11-15
XXXX
100737.01000000
N
N
N
Colfax Corp
635400OP2DYYYMOIYL17
Colfax Corp
15723RAC8
79000.00000000
PA
USD
81491.66000000
0.010908451017
Long
DBT
CORP
US
N
2
2026-02-15
Fixed
6.38000000
N
N
N
N
N
N
CAESARS ENTERTAIN INC
549300FA4CTCW903Y781
Caesars Entertainment Inc
28470RAH5
652000.00000000
PA
USD
673150.88000000
0.090107790193
Long
DBT
CORP
US
N
2
2025-07-01
Fixed
6.25000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae REMICS
3136A74Z2
133254.20000000
PA
USD
426.83000000
0.000057135345
Long
ABS-MBS
USGSE
US
N
2
2027-02-25
Fixed
4.00000000
N
N
N
N
N
N
PILGRIM'S PRIDE CORP
549300ZSLGV64ZL3HD75
Pilgrim's Pride Corp
72147KAF5
17000.00000000
PA
USD
15725.00000000
0.002104944140
Long
DBT
CORP
US
N
2
2031-04-15
Fixed
4.25000000
N
N
N
N
N
N
DEALER TIRE LLC/DT ISSR
N/A
Dealer Tire LLC / DT Issuer LLC
24229JAA1
211000.00000000
PA
USD
211527.50000000
0.028315012512
Long
DBT
CORP
US
N
2
2028-02-01
Fixed
8.00000000
N
N
N
N
N
N
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
SWP: USD 0.562000 23-MAR-2024
000000000
12960000.00000000
OU
Notional Amount
USD
-492052.31000000
-0.06586598581
N/A
DIR
US
N
2
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
N/A
N/A
Y
2024-03-25
56.65000000
USD
0.00000000
USD
12960000.00000000
USD
-492108.96000000
N
N
N
MERLIN ENTERTAINMENTS
549300ZTI0VEFO6WV007
Merlin Entertainments Ltd
59010QAB2
200000.00000000
PA
USD
197450.00000000
0.026430602265
Long
DBT
CORP
GB
N
2
2026-06-15
Fixed
5.75000000
N
N
N
N
N
N
CPG International Inc.
N/A
CPG International Inc. 2017 Term Loan
12626JAE7
65871.52000000
PA
USD
65245.74000000
0.008733776669
Long
LON
CORP
US
N
2
2024-05-05
Floating
3.51000000
N
N
N
N
N
N
YUM! BRANDS INC
549300JE8XHZZ7OHN517
Yum! Brands Inc
988498AN1
62000.00000000
PA
USD
56534.24000000
0.007567657694
Long
DBT
CORP
US
N
2
2031-03-15
Fixed
3.63000000
N
N
N
N
N
N
ASG FINANCE DESIGNATED
5493005UOB0OMEJ4WK10
ASG Finance Designated Activity Co
00217AAA4
200000.00000000
PA
USD
190000.00000000
0.025433347330
Long
DBT
CORP
IE
N
2
2024-12-03
Fixed
7.88000000
N
N
N
N
N
N
ALBERTSONS COS/SAFEWAY
N/A
Albertsons Cos Inc / Safeway Inc / New Albertsons LP / Albertsons LLC
013092AE1
95000.00000000
PA
USD
92506.25000000
0.012382860981
Long
DBT
CORP
US
N
2
2030-02-15
Fixed
4.88000000
N
N
N
N
N
N
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
SWP: OIS 1.974000 16-MAR-2032
000000000
1190000.00000000
OU
Notional Amount
USD
14133.14000000
0.001891858202
N/A
DIR
US
N
2
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
N/A
N/A
Y
2032-03-16
0.00000000
USD
-19.15000000
USD
1190000.00000000
USD
14152.29000000
N
N
N
CHINA SCE GRP HLDGS LTD
549300Q8UEI2ERAP6P49
China SCE Group Holdings Ltd
000000000
200000.00000000
PA
USD
110537.50000000
0.014796519108
Long
DBT
CORP
KY
N
2
2024-04-09
Fixed
7.38000000
N
N
N
N
N
N
Corning Inc
549300X2937PB0CJ7I56
Corning Inc
219350BF1
2000000.00000000
PA
USD
2021224.74000000
0.270560583395
Long
DBT
CORP
US
N
2
2057-11-15
Fixed
4.38000000
N
N
N
N
N
N
MOLINA HEALTHCARE INC
549300NQQCEQ46YHZ591
Molina Healthcare Inc
60855RAK6
152000.00000000
PA
USD
145920.00000000
0.019532810749
Long
DBT
CORP
US
N
2
2030-11-15
Fixed
3.88000000
N
N
N
N
N
N
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
SWP: OIS 0.190000 12-NOV-2025
000000000
2500000.00000000
OU
Notional Amount
USD
-186300.13000000
-0.02493808375
N/A
DIR
US
N
2
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
N/A
N/A
Y
2025-11-12
0.00000000
USD
-136004.98000000
USD
2500000.00000000
USD
-50295.15000000
N
N
N
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
SWP: OIS 0.727500 02-MAR-2023
000000000
3360000.00000000
OU
Notional Amount
USD
-24493.41000000
-0.00327868107
N/A
DIR
US
N
2
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
N/A
N/A
Y
2023-03-02
0.00000000
USD
-12670.28000000
USD
3360000.00000000
USD
-11823.13000000
N
N
N
JP MORGAN CHASE BANK
7H6GLXDRUGQFU57RNE97
10Y RTP 2.620000 22-FEB-2039
000000000
472500.00000000
NC
USD
21991.95000000
0.002943836330
N/A
DIR
US
N
2
JP MORGAN CHASE BANK
7H6GLXDRUGQFU57RNE97
Put
Purchased
JP MORGAN CHASE BANK
7H6GLXDRUGQFU57RNE97
JP MORGAN CHASE BANK
7H6GLXDRUGQFU57RNE97
IRS Swap
N/A
472500.00000000
OU
Notional Amount
N/A
21991.95000000
0.00000000
DIR
US
N/A
N/A
2049-02-22
0.00000000
N/A
0.00000000
N/A
472500.00000000
USD
1.00000000
2.62000000
USD
2039-02-22
XXXX
1926.96000000
N
N
N
CORELOGIC INC
54930086CD8K2UIL0516
CoreLogic Inc
21871DAD5
357000.00000000
PA
USD
336579.60000000
0.045054451953
Long
DBT
CORP
US
N
2
2028-05-01
Fixed
4.50000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Pool
3133B1WY3
1231982.74000000
PA
USD
1183649.57000000
0.158443003322
Long
ABS-MBS
USGSE
US
N
2
2052-01-01
Fixed
2.50000000
N
N
N
N
N
N
NOVELIS CORP
549300G5F3W3B52WYL23
Novelis Corp
670001AG1
304000.00000000
PA
USD
290405.12000000
0.038873548860
Long
DBT
CORP
US
N
2
2026-11-15
Fixed
3.25000000
N
N
N
N
N
N
CHEPLAPHARM ARZNEIMITTEL
529900ONXKBELT7EW052
Cheplapharm Arzneimittel GmbH
000000000
100000.00000000
PA
107582.79000000
0.014401002446
Long
DBT
CORP
DE
N
2
2027-02-11
Fixed
3.50000000
N
N
N
N
N
N
TIMES CHINA HLDG LTD
2549000KTINB9ZPZP710
Times China Holdings Ltd
000000000
611000.00000000
PA
USD
226070.00000000
0.030261667531
Long
DBT
CORP
KY
N
2
2026-03-22
Fixed
6.20000000
N
N
N
N
N
N
Bombardier Inc
W7L3VLU8EHQY34Z36697
Bombardier Inc
097751BR1
101000.00000000
PA
USD
104282.50000000
0.013959226541
Long
DBT
CORP
CA
N
2
2024-12-01
Fixed
7.50000000
N
N
N
N
N
N
CREDIT SUISSE INTERNATIONAL
E58DKGMJYYYJLN8C3868
SWAP/CDSWAP/SCDS: (TTMTIN)
000000000
25000.00000000
OU
Notional Amount
-306.71000000
-0.00004105611
N/A
DCR
XX
N
2
CREDIT SUISSE INTERNATIONAL
E58DKGMJYYYJLN8C3868
JAGUAR LAND ROVER AUTOMO
JAGUAR LAND ROVER AUTOMO
Y
sell protection
2026-12-22
893.04000000
EUR
0.00000000
EUR
25000.00000000
EUR
-1316.68000000
N
N
N
LIBERTY BROADBAND CORP
549300MIX43II8JLN536
Liberty Broadband Corp
530307AC1
279000.00000000
PA
USD
267142.50000000
0.035759620995
Long
DBT
CORP
US
N
2
2050-09-30
Fixed
1.25000000
N
N
N
N
N
Liberty Broadband Corp
Liberty Broadband Corp
USD
XXXX
N
N
N
JP MORGAN CHASE BANK
7H6GLXDRUGQFU57RNE97
2Y RTR 0.606000 01-APR-2022
000000000
-35400000.00000000
NC
USD
-0.35000000
-0.00000004685
N/A
DIR
LU
N
2
JP MORGAN CHASE BANK
7H6GLXDRUGQFU57RNE97
Call
Written
JPMorgan International Bank Ltd.
PGBWEZU4QUV2UVGWJC76
JPMorgan International Bank Ltd.
PGBWEZU4QUV2UVGWJC76
IRS Swap
N/A
35400000.00000000
OU
Notional Amount
N/A
-0.35000000
0.00000000
DIR
LU
N/A
N/A
2024-04-05
0.00000000
N/A
0.00000000
N/A
35400000.00000000
USD
1.00000000
0.00606000
USD
2022-04-01
XXXX
84251.65000000
N
N
N
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
SWP: OIS 1.379000 03-DEC-2051
000000000
430000.00000000
OU
Notional Amount
USD
-56854.38000000
-0.00761051154
N/A
DIR
US
N
2
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
N/A
N/A
Y
2051-12-04
0.00000000
USD
-46155.61000000
USD
430000.00000000
USD
-10698.77000000
N
N
N
Veritas US Inc.
549300RFUWCPWS8FQ104
Veritas US Inc. 2021 USD Term Loan B
000000000
360281.52000000
PA
USD
336142.66000000
0.044995963285
Long
LON
CORP
US
N
2
2025-09-01
Floating
6.01000000
N
N
N
N
N
N
SASOL Financing USA LLC
549300XRB1PFMESFEL85
SASOL Financing USA LLC
80386WAB1
200000.00000000
PA
USD
203000.00000000
0.027173523726
Long
DBT
CORP
US
N
2
2028-09-27
Fixed
6.50000000
N
N
N
N
N
N
Carlyle Global Market Strategies
549300CVBX8ZUYQV3Q10
Carlyle Global Market Strategies CLO 2013-1 Ltd
14310BAS0
1000000.00000000
PA
USD
986384.00000000
0.132037088805
Long
ABS-CBDO
CORP
KY
N
2
2030-08-14
Floating
3.74000000
N
N
N
N
N
N
HSBC SECURITIES (USA) INC
CYYGQCGNHMHPSMRL3R97
RRP FHLMC 30YR
000000000
-1146599.81000000
PA
USD
-1146599.81000000
-0.15348353271
Short
RA
CORP
US
N
2
Reverse repurchase
N
0.34000000
2022-04-13
1146599.81000000
USD
1146783.90000000
USD
AMBS
N
N
N
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
SWP: OIS 0.490000 04-MAR-2024
000000000
29490000.00000000
OU
Notional Amount
USD
-967504.48000000
-0.12950988149
N/A
DIR
US
N
2
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
N/A
N/A
Y
2024-03-04
0.00000000
USD
-633788.67000000
USD
29490000.00000000
USD
-333715.81000000
N
N
N
HSBC SECURITIES (USA) INC
CYYGQCGNHMHPSMRL3R97
RRP FNMA 30YR
000000000
-1057725.78000000
PA
USD
-1057725.78000000
-0.14158687970
Short
RA
CORP
US
N
2
Reverse repurchase
N
0.34000000
2022-04-13
1057725.78000000
USD
1057895.60000000
USD
AMBS
N
N
N
SEALED AIR CORP
Q0M0CZB4YN6JZ65WXI09
Sealed Air Corp
81211KAY6
49000.00000000
PA
USD
47775.00000000
0.006395148256
Long
DBT
CORP
US
N
2
2027-12-01
Fixed
4.00000000
N
N
N
N
N
N
AssuredPartners, Inc.
549300HNDSDQWQ3L2P80
AssuredPartners, Inc. 2022 Term Loan
04621HAT0
140000.00000000
PA
USD
138250.00000000
0.018506106675
Long
LON
CORP
US
N
2
2027-02-12
Floating
4.00000000
N
N
N
N
N
N
USA COM PART/USA COM FIN
N/A
USA Compression Partners LP / USA Compression Finance Corp
91740PAF5
295000.00000000
PA
USD
296132.80000000
0.039640254517
Long
DBT
CORP
US
N
2
2027-09-01
Fixed
6.88000000
N
N
N
N
N
N
AZURE POWER SOLAR ENERGY
549300N77HEXIINE3X94
Azure Power Solar Energy Pvt Ltd
000000000
200000.00000000
PA
USD
204412.50000000
0.027362600585
Long
DBT
CORP
MU
N
2
2024-12-24
Fixed
5.65000000
N
N
N
N
N
N
CSC HOLDINGS LLC
3HG2WD2W22M120IUNG49
CSC Holdings LLC
126307BB2
200000.00000000
PA
USD
175373.00000000
0.023475381165
Long
DBT
CORP
US
N
2
2030-12-01
Fixed
4.13000000
N
N
N
N
N
N
Range Resources Corp
H3Y3WLYCX0BTO1TRW162
Range Resources Corp
75281AAU3
30000.00000000
PA
USD
30000.00000000
0.004015791683
Long
DBT
CORP
US
N
2
2022-07-01
Fixed
5.88000000
N
N
N
N
N
N
MN MINING/ENERGY RESOURC
N/A
Mongolian Mining Corp/Energy Resources LLC
60938LAA2
200000.00000000
PA
USD
143787.50000000
0.019247354890
Long
DBT
CORP
XX
N
2
2024-04-15
Fixed
9.25000000
N
N
N
N
N
N
Navient Student Loan Trust
N/A
Navient Private Education Refi Loan Trust 2021-D
63942CAC6
770000.00000000
PA
USD
720451.50000000
0.096439438074
Long
ABS-O
CORP
US
N
2
2060-04-15
Fixed
3.48000000
N
N
N
N
N
N
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
SWP: OIS 1.739500 04-MAR-2032
000000000
610000.00000000
OU
Notional Amount
USD
9047.78000000
0.001211133322
N/A
DIR
US
N
2
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
N/A
N/A
Y
2032-03-04
0.00000000
USD
-5369.83000000
USD
610000.00000000
USD
14417.61000000
N
N
N
Cedar Funding Ltd
N/A
Cedar Funding IX CLO Ltd
15033EAJ7
250000.00000000
PA
USD
242333.60000000
0.032438708519
Long
ABS-CBDO
CORP
KY
N
2
2031-04-20
Floating
2.85000000
N
N
N
N
N
N
Delta TopCo, Inc.
N/A
Delta TopCo, Inc. 2020 Term Loan B
24780DAC1
274279.36000000
PA
USD
269528.84000000
0.036079055806
Long
LON
CORP
US
N
2
2027-12-01
Floating
4.50000000
N
N
N
N
N
N
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
FSWP: OIS 1.298000 18-JUL-2024
000000000
3110000.00000000
OU
Notional Amount
USD
5633.58000000
0.000754109457
N/A
DIR
US
N
2
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
N/A
N/A
Y
2024-07-18
0.00000000
USD
-35183.91000000
USD
3110000.00000000
USD
40817.49000000
N
N
N
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
FSWP: OIS 2.692500 04-OCT-2024
000000000
3880000.00000000
OU
Notional Amount
USD
-2102.97000000
-0.00028150298
N/A
DIR
US
N
2
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
N/A
N/A
Y
2024-10-04
0.00000000
USD
-17.17000000
USD
3880000.00000000
USD
-2085.80000000
N
N
N
CVS Health Corp
549300EJG376EN5NQE29
CVS Health Corp
126650CZ1
1821000.00000000
PA
USD
2062266.07000000
0.276054364452
Long
DBT
CORP
US
N
2
2048-03-25
Fixed
5.05000000
N
N
N
N
N
N
DOMINICAN REPUBLIC
254900EHU7Q8FGVPI369
Dominican Republic International Bond
000000000
150000.00000000
PA
USD
140231.25000000
0.018771316251
Long
DBT
NUSS
DO
N
2
2049-06-05
Fixed
6.40000000
N
N
N
N
N
N
FORD MOTOR COMPANY
20S05OYHG0MQM4VUIC57
Ford Motor Co
345370CS7
19000.00000000
PA
USD
18441.50000000
0.002468574077
Long
DBT
CORP
US
N
2
2046-12-08
Fixed
5.29000000
N
N
N
N
N
N
GENESIS ENERGY LP/FIN
N/A
Genesis Energy LP / Genesis Energy Finance Corp
37185LAL6
75000.00000000
PA
USD
75397.88000000
0.010092739315
Long
DBT
CORP
US
N
2
2028-02-01
Fixed
7.75000000
N
N
N
N
N
N
ENERGIZER HOLDINGS INC
5493000D6NN0V57UME20
Energizer Holdings Inc
29272WAD1
13000.00000000
PA
USD
11381.31000000
0.001523499001
Long
DBT
CORP
US
N
2
2029-03-31
Fixed
4.38000000
N
N
N
N
N
N
SURGERY CENTER HOLDINGS
54930054EVI5HWPPW113
Surgery Center Holdings Inc
86881WAD4
475000.00000000
PA
USD
498750.00000000
0.066762536742
Long
DBT
CORP
US
N
2
2027-04-15
Fixed
10.00000000
N
N
N
N
N
N
POWDR CORP
549300XIF5ZPMVRIGO50
Powdr Corp
73900LAA9
240000.00000000
PA
USD
245399.99000000
0.032849174634
Long
DBT
CORP
US
N
2
2025-08-01
Fixed
6.00000000
N
N
N
N
N
N
DISH DBS CORP
N/A
DISH DBS Corp
25470XBE4
830000.00000000
PA
USD
790575.00000000
0.105826150345
Long
DBT
CORP
US
N
2
2026-12-01
Fixed
5.25000000
N
N
N
N
N
N
GREAT WST PTRLM/GRT FNCE
N/A
Great Western Petroleum LLC / Great Western Finance Corp
39143GAD2
130000.00000000
PA
USD
144950.00000000
0.019402966818
Long
DBT
CORP
US
N
2
2025-09-01
Fixed
12.00000000
N
N
N
N
N
N
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
FSWP: OIS 1.721500 02-SEP-2024
000000000
2960000.00000000
OU
Notional Amount
USD
-52103.91000000
-0.00697461494
N/A
DIR
US
N
2
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
N/A
N/A
Y
2024-09-03
0.00000000
USD
-11798.37000000
USD
2960000.00000000
USD
-40305.54000000
N
N
N
OMAN GOV INTERNTL BOND
549300SZ20F0QTKNQC75
Oman Government International Bond
000000000
228000.00000000
PA
USD
223440.00000000
0.029909616460
Long
DBT
NUSS
OM
N
2
2047-03-08
Fixed
6.50000000
N
N
N
N
N
N
SRS DISTRIBUTION INC
549300ZQ3XP75BCYM468
SRS Distribution Inc
78471RAD8
278000.00000000
PA
USD
257150.00000000
0.034422027715
Long
DBT
CORP
US
N
2
2029-12-01
Fixed
6.00000000
N
N
N
N
N
N
OCCIDENTAL PETROLEUM COR
IM7X0T3ECJW4C1T7ON55
Occidental Petroleum Corp
674599DK8
44000.00000000
PA
USD
42047.94000000
0.005628525592
Long
DBT
CORP
US
N
2
2044-07-15
Fixed
4.50000000
N
N
N
N
N
N
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
FSWP: OIS 2.337000 04-JAN-2028
000000000
850000.00000000
OU
Notional Amount
USD
-107.32000000
-0.00001436582
N/A
DIR
US
N
2
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
N/A
N/A
Y
2028-01-04
0.00000000
USD
-7.72000000
USD
850000.00000000
USD
-99.60000000
N
N
N
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
SWP: USD 1.178500 28-JUL-2031
000000000
1640000.00000000
OU
Notional Amount
USD
-167426.19000000
-0.02241162338
N/A
DIR
US
N
2
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
N/A
N/A
Y
2031-07-28
0.00000000
USD
-129310.03000000
USD
1640000.00000000
USD
-38116.16000000
N
N
N
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
FSWP: OIS 2.674500 27-SEP-2024
000000000
2850000.00000000
OU
Notional Amount
USD
-991.04000000
-0.00013266033
N/A
DIR
US
N
2
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
N/A
N/A
Y
2024-09-27
0.00000000
USD
-12.62000000
USD
2850000.00000000
USD
-978.42000000
N
N
N
ANTERO MIDSTREAM PART/FI
N/A
Antero Midstream Partners LP / Antero Midstream Finance Corp
03690AAF3
39000.00000000
PA
USD
39828.75000000
0.005331465434
Long
DBT
CORP
US
N
2
2028-01-15
Fixed
5.75000000
N
N
N
N
N
N
Radiate Holdco, LLC
5493000GQJ5RDX9DNJ71
Radiate Holdco, LLC 2021 Term Loan B
75025KAH1
38902.50000000
PA
USD
38528.26000000
0.005157382203
Long
LON
CORP
US
N
2
2026-09-25
Floating
4.00000000
N
N
N
N
N
N
WILLIAMS COMPANIES INC
D71FAKCBLFS2O0RBPG08
Williams Cos Inc/The
96950FAQ7
1150000.00000000
PA
USD
1166204.42000000
0.156107800379
Long
DBT
CORP
US
N
2
2025-01-15
Fixed
3.90000000
N
N
N
N
N
N
SPECTRUM BRANDS INC
549300VU3EH2E73C1Q04
Spectrum Brands Inc
84762LAV7
79000.00000000
PA
USD
74316.88000000
0.009948036955
Long
DBT
CORP
US
N
2
2029-10-01
Fixed
5.00000000
N
N
N
N
N
N
MORGAN STANLEY & CO. INTERNATIONAL
4PQUHN3JPFGFNF3BB653
BLACKROCK
000000000
-5407500.00000000
NC
USD
-458169.85000000
-0.06133048911
N/A
DIR
LU
N
2
MORGAN STANLEY & CO. INTERNATIONAL
4PQUHN3JPFGFNF3BB653
Put
Written
MORGAN STANLEY & CO. INTERNATIONAL
4PQUHN3JPFGFNF3BB653
MORGAN STANLEY & CO. INTERNATIONAL
4PQUHN3JPFGFNF3BB653
IRS Swap
N/A
5407500.00000000
OU
Notional Amount
N/A
-458169.85000000
-0.06000000
DIR
LU
N/A
N/A
2032-09-06
0.00000000
N/A
0.00000000
N/A
5407500.00000000
USD
1.00000000
0.01525000
USD
2022-09-01
XXXX
-314668.31000000
N
N
N
TransDigm Inc
88Q84GB3X55CF5OC7582
TransDigm Inc
893647BB2
60000.00000000
PA
USD
60541.50000000
0.008104068407
Long
DBT
CORP
US
N
2
2026-06-15
Fixed
6.38000000
N
N
N
N
N
N
JP Morgan Mortgage Trust
N/A
JP Morgan Mortgage Trust 2006-S3
46629AAM3
42275.66000000
PA
USD
21387.27000000
0.002862894033
Long
ABS-MBS
CORP
US
N
2
2036-08-25
Fixed
6.50000000
N
N
N
N
N
N
BNP PARIBAS
R0MUWSFPU8MPRO8K5P83
BNP Paribas SA
05565ASK0
2000000.00000000
PA
USD
1785020.00000000
0.238942282377
Long
DBT
CORP
FR
N
2
2031-02-25
Fixed
4.63000000
N
N
N
N
N
N
INDIA GREEN ENERGY HLDNG
2549005BFUXXT5HWAG36
India Green Energy Holdings
000000000
250000.00000000
PA
USD
251900.00000000
0.033719264171
Long
DBT
CORP
MU
N
2
2024-04-29
Fixed
5.38000000
N
N
N
N
N
N
Kingdom of Bahrain
549300RODM1WN85LFQ95
Bahrain Government International Bond
000000000
200000.00000000
PA
USD
210725.00000000
0.028207590085
Long
DBT
NUSS
BH
N
2
2029-09-20
Fixed
6.75000000
N
N
N
N
N
N
United States Treasury
254900HROIFWPRGM1V77
United States Treasury Note/Bond
9128285M8
3000000.00000000
PA
USD
3123632.82000000
0.418128623387
Long
DBT
UST
US
N
2
2028-11-15
Fixed
3.13000000
N
N
N
N
N
N
Bank of America Corp
9DJT3UXIJIZJI4WXO774
Bank of America Corp
06051GGA1
4000000.00000000
PA
USD
3981269.96000000
0.532931693203
Long
DBT
CORP
US
N
2
2027-10-21
Fixed
3.25000000
N
N
N
N
N
N
LLOYDS BANKING GROUP PLC
549300PPXHEU2JF0AM85
Lloyds Banking Group PLC
53944YAJ2
595000.00000000
PA
USD
624916.60000000
0.083651162843
Long
DBT
CORP
GB
N
2
2026-06-27
Fixed
6.75000000
N
N
N
N
N
N
CREDIT SUISSE INTERNATIONAL
E58DKGMJYYYJLN8C3868
CDS: (CMBX.NA.9.BBB-)
000000000
5000000.00000000
OU
Notional Amount
USD
-507542.45000000
-0.06793949166
N/A
DCR
US
N
2
CREDIT SUISSE INTERNATIONAL
E58DKGMJYYYJLN8C3868
CMBX.NA.BBB-.9
137BERAI8
Y
sell protection
2058-09-17
0.00000000
USD
-520841.69000000
USD
5000000.00000000
USD
13299.24000000
N
N
N
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
SWP: OIS 1.753500 15-MAR-2027
000000000
560000.00000000
OU
Notional Amount
USD
-12520.96000000
-0.00167605223
N/A
DIR
US
N
2
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
N/A
N/A
Y
2027-03-15
5.11000000
USD
0.00000000
USD
560000.00000000
USD
-12526.07000000
N
N
N
HOWARD HUGHES CORP
549300BVHY25JZC1KI49
Howard Hughes Corp/The
44267DAF4
80000.00000000
PA
USD
75200.00000000
0.010066251153
Long
DBT
CORP
US
N
2
2031-02-01
Fixed
4.38000000
N
N
N
N
N
N
SYNEOS HEALTH INC
549300F1ZGKDS8P6GU13
Syneos Health Inc
87166BAA0
243000.00000000
PA
USD
224471.25000000
0.030047659299
Long
DBT
CORP
US
N
2
2029-01-15
Fixed
3.63000000
N
N
N
N
N
N
COBHAM ULTRA SENIORCO SARL
N/A
COBHAM ULTRA SENIORCO SARL
000000000
52000.00000000
PA
USD
51371.84000000
0.006876620261
Long
LON
CORP
US
N
2
2028-11-16
None
0.00000000
N
N
N
N
N
N
AqGen Ascensus, Inc.
549300K5MHNFPEU2RK82
AqGen Ascensus, Inc. 2021 2nd Lien Term Loan
000000000
121935.75000000
PA
USD
120716.39000000
0.016159062501
Long
LON
CORP
US
N
3
2029-08-02
Floating
7.00000000
N
N
N
N
N
N
DOMINICAN REPUBLIC
254900EHU7Q8FGVPI369
Dominican Republic International Bond
25714PEP9
160000.00000000
PA
USD
158030.00000000
0.021153851992
Long
DBT
NUSS
DO
N
2
2029-02-22
Fixed
5.50000000
N
N
N
N
N
N
thyssenkrupp AG
549300UDG16DOYUPR330
thyssenkrupp AG
000000000
51000.00000000
PA
56260.99000000
0.007531080525
Long
DBT
CORP
DE
N
2
2024-02-22
Fixed
2.88000000
N
N
N
N
N
N
HSBC SECURITIES (USA) INC
CYYGQCGNHMHPSMRL3R97
RRP FHLMC 30YR
000000000
-1421519.62000000
PA
USD
-1421519.62000000
-0.19028422227
Short
RA
CORP
US
N
2
Reverse repurchase
N
0.34000000
2022-04-13
1421519.62000000
USD
1421747.85000000
USD
AMBS
N
N
N
GRAND CANYON UNIVERSITY
N/A
Grand Canyon University
38528UAE6
702000.00000000
PA
USD
685994.40000000
0.091827020220
Long
DBT
CORP
US
N
2
2028-10-01
Fixed
5.13000000
N
N
N
N
N
N
Charter NEX US, Inc.
549300KRNU8RNVGYXG75
Charter NEX US, Inc. 2021 Term Loan
16125TAJ1
129660.43000000
PA
USD
128850.05000000
0.017247831974
Long
LON
CORP
US
N
2
2027-12-01
Floating
4.50000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38377VHH2
6496181.68000000
PA
USD
829422.73000000
0.111026296714
Long
ABS-MBS
USGA
US
N
2
2041-04-16
Floating
6.24000000
N
N
N
N
N
N
HOWARD HUGHES CORP
549300BVHY25JZC1KI49
Howard Hughes Corp/The
44267DAD9
19000.00000000
PA
USD
19075.62000000
0.002553457205
Long
DBT
CORP
US
N
2
2028-08-01
Fixed
5.38000000
N
N
N
N
N
N
CSC HOLDINGS LLC
3HG2WD2W22M120IUNG49
CSC Holdings LLC
126307BK2
200000.00000000
PA
USD
167572.00000000
0.022431141467
Long
DBT
CORP
US
N
2
2031-11-15
Fixed
5.00000000
N
N
N
N
N
N
DEUTSCHE BANK AG
7LTWFZYICNSX8D621K86
10Y RTR 1.450000 03-AUG-2022
000000000
-1580000.00000000
NC
USD
-5617.99000000
-0.00075202258
N/A
DIR
US
N
2
DEUTSCHE BANK AG
7LTWFZYICNSX8D621K86
Call
Written
DEUTSCHE BANK AG
7LTWFZYICNSX8D621K86
DEUTSCHE BANK AG
7LTWFZYICNSX8D621K86
IRS Swap
N/A
1580000.00000000
OU
Notional Amount
N/A
-5617.99000000
0.00000000
DIR
US
N/A
N/A
2032-08-05
0.00000000
N/A
0.00000000
N/A
1580000.00000000
USD
1.00000000
1.45000000
USD
2022-08-03
XXXX
12789.01000000
N
N
N
Bombardier Inc
W7L3VLU8EHQY34Z36697
Bombardier Inc
097751AL5
100000.00000000
PA
USD
101500.00000000
0.013586761863
Long
DBT
CORP
CA
N
2
2034-05-01
Fixed
7.45000000
N
N
N
N
N
N
ALTICE FINANCING SA
549300DIYGW8HVDF7Q17
Altice Financing SA
000000000
100000.00000000
PA
97361.04000000
0.013032721825
Long
DBT
CORP
LU
N
2
2028-01-15
Fixed
3.00000000
N
N
N
N
N
N
REPUBLIC OF SRI LANKA
254900HXCCIOHM74FA02
Sri Lanka Government International Bond
000000000
600000.00000000
PA
USD
294066.00000000
0.039363593242
Long
DBT
NUSS
LK
N
2
2024-06-28
Fixed
6.35000000
N
N
N
N
N
N
BEACON ROOFING SUPPLY IN
549300HDXQWWCBOYXP31
Beacon Roofing Supply Inc
073685AH2
68000.00000000
PA
USD
62819.08000000
0.008408944634
Long
DBT
CORP
US
N
2
2029-05-15
Fixed
4.13000000
N
N
N
N
N
N
Athenahealth, Inc.
254900AA3KZN4Q7A5Z33
Athenahealth, Inc. 2022 Term Loan B
04686RAB9
1216532.10000000
PA
USD
1201629.58000000
0.160849802476
Long
LON
CORP
US
N
2
2029-02-15
Floating
4.00000000
N
N
N
N
N
N
ALLISON TRANSMISSION INC
MWKQ3I0U1GXP2YDSZW75
Allison Transmission Inc
019736AG2
174000.00000000
PA
USD
157844.10000000
0.021128967470
Long
DBT
CORP
US
N
2
2031-01-30
Fixed
3.75000000
N
N
N
N
N
N
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
FSWP: OIS 2.458000 23-SEP-2024
000000000
2875000.00000000
OU
Notional Amount
USD
10825.60000000
0.001449111815
N/A
DIR
US
N
2
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
N/A
N/A
Y
2024-09-23
0.00000000
USD
-12.72000000
USD
2875000.00000000
USD
10838.32000000
N
N
N
ACI Worldwide Inc
5493003BPVMZUJ6F5C02
ACI Worldwide Inc
004498AB7
262000.00000000
PA
USD
267895.00000000
0.035860350437
Long
DBT
CORP
US
N
2
2026-08-15
Fixed
5.75000000
N
N
N
N
N
N
GARDA WORLD SECURITY
549300ZF1NDXLMCHNO20
Garda World Security Corp
36485MAK5
175000.00000000
PA
USD
167728.75000000
0.022452123979
Long
DBT
CORP
CA
N
2
2027-02-15
Fixed
4.63000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31416BZF8
278910.48000000
PA
USD
311554.65000000
0.041704619083
Long
ABS-MBS
USGSE
US
N
2
2038-12-01
Fixed
6.00000000
N
N
N
N
N
N
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
SWP: USD 1.600000 02-MAR-2032
000000000
2130000.00000000
OU
Notional Amount
USD
-151269.05000000
-0.02024883309
N/A
DIR
US
N
2
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
N/A
N/A
Y
2032-03-02
0.00000000
USD
-97969.59000000
USD
2130000.00000000
USD
-53299.46000000
N
N
N
COUNTRY GARDEN HLDGS
549300MGHLPT1EFHGF84
Country Garden Holdings Co Ltd
000000000
200000.00000000
PA
USD
139000.00000000
0.018606501468
Long
DBT
CORP
KY
N
2
2027-01-14
Fixed
5.13000000
N
N
N
N
N
N
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
SWP: OIS 1.464500 06-JAN-2032
000000000
730000.00000000
OU
Notional Amount
USD
-8816.20000000
-0.00118013408
N/A
DIR
US
N
2
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
N/A
N/A
Y
2032-01-06
0.00000000
USD
-24219.18000000
USD
730000.00000000
USD
15402.98000000
N
N
N
LAMB WESTON HLD
5493005SMYID1D2OY946
Lamb Weston Holdings Inc
513272AC8
53000.00000000
PA
USD
53000.00000000
0.007094565307
Long
DBT
CORP
US
N
2
2028-05-15
Fixed
4.88000000
N
N
N
N
N
N
Staples, Inc.
XQM2JINI1UL7642TU573
Staples, Inc. 7 Year Term Loan
855031AQ3
96012.72000000
PA
USD
90541.92000000
0.012119916312
Long
LON
CORP
US
N
2
2026-04-16
Floating
5.32000000
N
N
N
N
N
N
GFL ENVIRONMENTAL INC
549300FYK4MBXWIVZU26
GFL Environmental Inc
36168QAJ3
98000.00000000
PA
USD
97382.60000000
0.013035607840
Long
DBT
CORP
CA
N
2
2025-06-01
Fixed
4.25000000
N
N
N
N
N
N
Republic of Iceland
254900IPCJWRC6XAJN15
Iceland Government International Bond
000000000
3555000.00000000
PA
USD
3570857.79000000
0.477994033897
Long
DBT
NUSS
IS
N
2
2022-05-11
Fixed
5.88000000
N
N
N
N
N
N
CABLE ONE INC
549300648QS85T0XSH18
Cable One Inc
12685JAC9
50000.00000000
PA
USD
46111.00000000
0.006172405677
Long
DBT
CORP
US
N
2
2030-11-15
Fixed
4.00000000
N
N
N
N
N
N
Murphy Oil Corp
QBKYQD0ODE7DC7PDIN91
Murphy Oil Corp
626717AJ1
42000.00000000
PA
USD
42799.68000000
0.005729153300
Long
DBT
CORP
US
N
2
2025-08-15
Fixed
5.75000000
N
N
N
N
N
N
DISCOVERY COMMUNICATIONS
L2Z2MO2EQURH3BREWI15
Discovery Communications LLC
25470DAK5
210000.00000000
PA
USD
207978.13000000
0.027839894828
Long
DBT
CORP
US
N
2
2025-03-15
Fixed
3.45000000
N
N
N
N
N
N
NOMURA SECURITIES INTERNATIONAL INC
OXTKY6Q8X53C9ILVV871
RRP TREASURY NO
000000000
-1500000.00000000
PA
USD
-1500000.00000000
-0.20078958418
Short
RA
CORP
US
N
2
Reverse repurchase
N
0.32000000
2049-12-31
1500000.00000000
USD
1495019.53499999
USD
UST
N
N
N
JPMorgan Chase & Co
8I5DZWZKVSZI1NUHU748
JPMorgan Chase & Co
48126HAA8
70000.00000000
PA
USD
70875.00000000
0.009487307852
Long
DBT
CORP
US
N
2
2023-08-01
Fixed
6.00000000
N
N
N
N
N
N
MORGAN STANLEY & CO. INTERNATIONAL
4PQUHN3JPFGFNF3BB653
5Y RTR 1.590000 12-JAN-2023
000000000
9980000.00000000
NC
USD
67782.76000000
0.009073381463
N/A
DIR
US
N
2
MORGAN STANLEY & CO. INTERNATIONAL
4PQUHN3JPFGFNF3BB653
Call
Purchased
MORGAN STANLEY & CO. INTERNATIONAL
4PQUHN3JPFGFNF3BB653
MORGAN STANLEY & CO. INTERNATIONAL
4PQUHN3JPFGFNF3BB653
IRS Swap
N/A
9980000.00000000
OU
Notional Amount
N/A
67782.76000000
0.01000000
DIR
US
N/A
N/A
2028-01-12
0.00000000
N/A
0.00000000
N/A
9980000.00000000
USD
1.00000000
1.59000000
USD
2023-01-12
XXXX
-82416.24000000
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Pool
3133B0NR0
622096.08000000
PA
USD
597692.33000000
0.080006929608
Long
ABS-MBS
USGSE
US
N
2
2051-12-01
Fixed
2.50000000
N
N
N
N
N
N
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
SWP: OIS 0.618000 02-MAR-2023
000000000
6700000.00000000
OU
Notional Amount
USD
-56192.28000000
-0.00752188302
N/A
DIR
US
N
2
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
N/A
N/A
Y
2023-03-02
0.00000000
USD
-32012.85000000
USD
6700000.00000000
USD
-24179.43000000
N
N
N
SRS DISTRIBUTION INC
549300ZQ3XP75BCYM468
SRS Distribution Inc
78471RAB2
293000.00000000
PA
USD
279876.53000000
0.037464194721
Long
DBT
CORP
US
N
2
2028-07-01
Fixed
4.63000000
N
N
N
N
N
N
POST HOLDINGS INC
JM1I5YUAURL6DC8N1468
Post Holdings Inc
737446AQ7
47000.00000000
PA
USD
42321.15000000
0.005665097407
Long
DBT
CORP
US
N
2
2030-04-15
Fixed
4.63000000
N
N
N
N
N
N
PPM CLO 2 Ltd.
549300JBW1DIZLGMSY83
PPM CLO 2 Ltd
69377PAQ7
250000.00000000
PA
USD
248509.83000000
0.033265456954
Long
ABS-CBDO
CORP
KY
N
2
2032-04-16
Floating
3.65000000
N
N
N
N
N
N
HSBC SECURITIES (USA) INC
CYYGQCGNHMHPSMRL3R97
RRP FHLMC 30YR
000000000
-592584.48000000
PA
USD
-592584.48000000
-0.07932319422
Short
RA
CORP
US
N
2
Reverse repurchase
N
0.34000000
2022-04-13
592584.48000000
USD
592679.62000000
USD
AMBS
N
N
N
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
SWP: OIS 0.621500 02-MAR-2023
000000000
6665000.00000000
OU
Notional Amount
USD
-55665.04000000
-0.00745130682
N/A
DIR
US
N
2
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
N/A
N/A
Y
2023-03-02
0.00000000
USD
-31631.07000000
USD
6665000.00000000
USD
-24033.97000000
N
N
N
MILLICOM INTL CELLULAR
549300CTHC1CP86P2G96
Millicom International Cellular SA
600814AR8
200000.00000000
PA
USD
185826.00000000
0.024874616847
Long
DBT
CORP
LU
N
2
2031-04-27
Fixed
4.50000000
N
N
N
N
N
N
ASHTON WOODS USA/FINANCE
N/A
Ashton Woods USA LLC / Ashton Woods Finance Co
045086AP0
98000.00000000
PA
USD
85374.66000000
0.011428228321
Long
DBT
CORP
US
N
2
2030-04-01
Fixed
4.63000000
N
N
N
N
N
N
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
FSWP: USD 0.652000 20-APR-2027
000000000
530000.00000000
OU
Notional Amount
USD
-24277.68000000
-0.00324980351
N/A
DIR
US
N
2
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
N/A
N/A
Y
2027-04-20
0.00000000
USD
-35675.17000000
USD
530000.00000000
USD
11397.49000000
N
N
N
LEVIATHAN BOND LTD
254900D9T8VKYVQNZ220
Leviathan Bond Ltd
000000000
131054.00000000
PA
USD
132348.16000000
0.017716088009
Long
DBT
CORP
IL
N
2
2023-06-30
Fixed
5.75000000
N
N
N
N
N
N
PAKISTAN WATER & POWER
213800UA74QOTK6IES10
Pakistan Water & Power Development Authority
000000000
200000.00000000
PA
USD
129522.00000000
0.017337779015
Long
DBT
NUSS
PK
N
2
2031-06-04
Fixed
7.50000000
N
N
N
N
N
N
MGM GROWTH/MGM FINANCE
N/A
MGM Growth Properties Operating Partnership LP / MGP Finance Co-Issuer Inc
55303XAJ4
16000.00000000
PA
USD
16900.00000000
0.002262229315
Long
DBT
US
N
2
2027-02-01
Fixed
5.75000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140QC2Z8
736778.51000000
PA
USD
758025.85000000
0.101469130149
Long
ABS-MBS
USGSE
US
N
2
2035-02-01
Fixed
3.50000000
N
N
N
N
N
N
REPUBLIC OF PANAMA
549300SHS4T08CL0LP14
Panama Government International Bond
698299BK9
453000.00000000
PA
USD
442750.88000000
0.059266510062
Long
DBT
NUSS
PA
N
2
2030-01-23
Fixed
3.16000000
N
N
N
N
N
N
HSBC SECURITIES (USA) INC
CYYGQCGNHMHPSMRL3R97
RRP FNMA 40YR R
000000000
-2589429.20000000
PA
USD
-2589429.20000000
-0.34662027490
Short
RA
CORP
US
N
2
Reverse repurchase
N
0.34000000
2022-04-13
2589429.20000000
USD
2589844.95000000
USD
AMBS
N
N
N
BANK OF NY MELLON CORP
WFLLPEPC7FZXENRZV188
Bank of New York Mellon Corp/The
064058AL4
2845000.00000000
PA
USD
2629918.00000000
0.352040094444
Long
DBT
CORP
US
N
2
2026-12-20
Fixed
3.75000000
N
N
N
N
N
N
Palmer Square Loan Funding Ltd
N/A
Palmer Square Loan Funding 2019-3 Ltd
69689LAE6
1750000.00000000
PA
USD
1748967.50000000
0.234116304721
Long
ABS-CBDO
CORP
KY
N
2
2027-08-20
Floating
2.58000000
N
N
N
N
N
N
DEUTSCHE BANK AG
7LTWFZYICNSX8D621K86
10Y RTP 1.795000 13-OCT-2022
000000000
-1790000.00000000
NC
USD
-117380.23000000
-0.01571248504
N/A
DIR
US
N
2
DEUTSCHE BANK AG
7LTWFZYICNSX8D621K86
Put
Written
DEUTSCHE BANK AG
7LTWFZYICNSX8D621K86
DEUTSCHE BANK AG
7LTWFZYICNSX8D621K86
IRS Swap
N/A
1790000.00000000
OU
Notional Amount
N/A
-117380.23000000
-0.02000000
DIR
US
N/A
N/A
2032-10-17
0.00000000
N/A
0.00000000
N/A
1790000.00000000
USD
1.00000000
0.01795000
USD
2022-10-13
XXXX
-68647.48000000
N
N
N
Extended Stay America Trust
N/A
Extended Stay America Trust 2021-ESH
30227FAJ9
824923.00000000
PA
USD
812494.46000000
0.108760283185
Long
ABS-MBS
CORP
US
N
2
2038-07-15
Floating
2.65000000
N
N
N
N
N
N
Gilead Sciences Inc
549300WTZWR07K8MNV44
Gilead Sciences Inc
375558AX1
1000000.00000000
PA
USD
1099294.52000000
0.147151259713
Long
DBT
CORP
US
N
2
2044-04-01
Fixed
4.80000000
N
N
N
N
N
N
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
SWP: OIS 1.535000 03-MAR-2032
000000000
1240000.00000000
OU
Notional Amount
USD
-63076.84000000
-0.00844344831
N/A
DIR
US
N
2
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
N/A
N/A
Y
2032-03-03
0.00000000
USD
-34095.59000000
USD
1240000.00000000
USD
-28981.25000000
N
N
N
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
FSWP: USD 1.190000 19-JUL-2027
000000000
40000.00000000
OU
Notional Amount
USD
-2649.11000000
-0.00035460913
N/A
DIR
US
N
2
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
N/A
N/A
Y
2027-07-19
0.00000000
USD
-1750.70000000
USD
40000.00000000
USD
-898.41000000
N
N
N
MONG DUONG FIN HLDGS BV
549300995KGQFMWSV879
Mong Duong Finance Holdings BV
000000000
576000.00000000
PA
USD
515448.00000000
0.068997726393
Long
DBT
CORP
NL
N
2
2029-05-07
Fixed
5.13000000
N
N
N
N
N
N
HOLOGIC INC
549300DYP6F5ZJL0LB74
Hologic Inc
436440AP6
15000.00000000
PA
USD
14006.55000000
0.001874912900
Long
DBT
CORP
US
N
2
2029-02-15
Fixed
3.25000000
N
N
N
N
N
N
ANTERO MIDSTREAM PART/FI
N/A
Antero Midstream Partners LP / Antero Midstream Finance Corp
03690AAH9
140000.00000000
PA
USD
139857.20000000
0.018721246022
Long
DBT
CORP
US
N
2
2029-06-15
Fixed
5.38000000
N
N
N
N
N
N
CANTOR FITZGERALD & CO
5493004J7H4GCPG6OB62
RRP FNMA 30YR
000000000
-8346793.71000000
PA
USD
-8346793.71000000
-1.11729949221
Short
RA
CORP
US
N
2
Reverse repurchase
N
0.37000000
2022-05-12
8346793.71000000
USD
8348252.08000000
USD
AMBS
N
N
N
MORGAN STANLEY & CO. INTERNATIONAL
4PQUHN3JPFGFNF3BB653
BLACKROCK
000000000
-5407500.00000000
NC
USD
-16337.84000000
-0.00218697873
N/A
DIR
US
N
2
MORGAN STANLEY & CO. INTERNATIONAL
4PQUHN3JPFGFNF3BB653
Call
Written
MORGAN STANLEY & CO. INTERNATIONAL
4PQUHN3JPFGFNF3BB653
MORGAN STANLEY & CO. INTERNATIONAL
4PQUHN3JPFGFNF3BB653
IRS Swap
N/A
5407500.00000000
OU
Notional Amount
N/A
-16337.84000000
0.00000000
DIR
US
N/A
N/A
2032-09-06
0.00000000
N/A
0.00000000
N/A
5407500.00000000
USD
1.00000000
0.01525000
USD
2022-09-01
XXXX
127163.70000000
N
N
N
FORD MOTOR COMPANY
20S05OYHG0MQM4VUIC57
Ford Motor Co
345370CR9
7000.00000000
PA
USD
7042.56000000
0.000942715129
Long
DBT
CORP
US
N
2
2026-12-08
Fixed
4.35000000
N
N
N
N
N
N
MORGAN STANLEY & CO. INTERNATIONAL
4PQUHN3JPFGFNF3BB653
SWAPTION JUN24 3 PUT
000000000
-1970000.00000000
NC
USD
-55801.90000000
-0.00746962686
N/A
DIR
US
N
2
MORGAN STANLEY & CO. INTERNATIONAL
4PQUHN3JPFGFNF3BB653
Put
Written
MORGAN STANLEY & CO. INTERNATIONAL
4PQUHN3JPFGFNF3BB653
MORGAN STANLEY & CO. INTERNATIONAL
4PQUHN3JPFGFNF3BB653
IRS Swap
N/A
1970000.00000000
OU
Notional Amount
N/A
-55801.90000000
-0.01000000
DIR
GB
N/A
N/A
2034-06-17
0.00000000
N/A
0.00000000
N/A
1970000.00000000
USD
1.00000000
3.00000000
USD
2024-06-13
XXXX
-1704.00000000
N
N
N
GULFPORT ENERGY OP CORP
254900DJRGZBUZ3F5038
Gulfport Energy Corp
402635AR7
25000.00000000
PA
USD
25717.25000000
0.003442503955
Long
DBT
CORP
US
N
2
2026-05-17
Fixed
8.00000000
N
N
N
N
N
N
SM Energy Co
84BUTVXV5ODI6BXNMH43
SM Energy Co
78454LAN0
67000.00000000
PA
USD
68894.43000000
0.009222189301
Long
DBT
CORP
US
N
2
2026-09-15
Fixed
6.75000000
N
N
N
N
N
N
CRESCENT ENERGY FINANCE
54930061FUL6DBLFUW14
Crescent Energy Finance LLC
45344LAA1
457000.00000000
PA
USD
459129.62000000
0.061458963658
Long
DBT
CORP
US
N
2
2026-05-01
Fixed
7.25000000
N
N
N
N
N
N
NOMURA SECURITIES INTERNATIONAL INC
OXTKY6Q8X53C9ILVV871
RRP TREASURY BO
000000000
-7624500.00000000
PA
USD
-7624500.00000000
-1.02061345642
Short
RA
CORP
US
N
2
Reverse repurchase
N
0.32000000
2049-12-31
7800000.00000000
USD
6815554.66799999
USD
UST
N
N
N
Regatta Funding
254900TUAAER6MTE4E64
Regatta XI Funding Ltd
75887XAJ6
370000.00000000
PA
USD
362876.80000000
0.048574587855
Long
ABS-CBDO
CORP
KY
N
2
2031-07-17
Floating
3.09000000
N
N
N
N
N
N
MUELLER WATER PRODUCTS
549300F7ZU4P1F8V8L60
Mueller Water Products Inc
624758AF5
94000.00000000
PA
USD
89039.62000000
0.011918818850
Long
DBT
CORP
US
N
2
2029-06-15
Fixed
4.00000000
N
N
N
N
N
N
HSBC SECURITIES (USA) INC
CYYGQCGNHMHPSMRL3R97
BRY0467L2 RRP AMERICAN TO
000000000
-1411000.00000000
PA
USD
-1411000.00000000
-0.18887606885
Short
RA
CORP
US
N
2
Reverse repurchase
N
0.50000000
2049-12-31
1411000.00000000
USD
1411284.16000000
USD
CDS
N
N
N
CIVITAS RESOURCES INC
IIVIHPH28S64K95M2381
Civitas Resources Inc
097793AE3
60000.00000000
PA
USD
59476.80000000
0.007961547960
Long
DBT
CORP
US
N
2
2026-10-15
Fixed
5.00000000
N
N
N
N
N
N
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
FSWP: OIS 1.618500 08-AUG-2024
000000000
6120000.00000000
OU
Notional Amount
USD
48384.15000000
0.006476688906
N/A
DIR
US
N
2
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
N/A
N/A
Y
2024-08-08
0.00000000
USD
-33649.30000000
USD
6120000.00000000
USD
82033.45000000
N
N
N
Raptor Acquisition Corp.
549300FU60SSFLTE0M84
Raptor Acquisition Corp. 2021 Term Loan
000000000
37905.00000000
PA
USD
37656.34000000
0.005040667233
Long
LON
CORP
CA
N
2
2026-11-01
Floating
4.93000000
N
N
N
N
N
N
OWENS & MINOR INC
549300LMT5KQQXCEZ733
Owens & Minor Inc
690732AG7
96000.00000000
PA
USD
98784.96000000
0.013223327361
Long
DBT
CORP
US
N
2
2030-04-01
Fixed
6.63000000
N
N
N
N
N
N
FORD MOTOR COMPANY
20S05OYHG0MQM4VUIC57
Ford Motor Co
345370CZ1
150000.00000000
PA
USD
177300.00000000
0.023733328850
Long
DBT
CORP
US
N
2
2026-03-15
None
0.00000000
N
N
N
N
Y
Ford Motor Co
Ford Motor Co
USD
XXXX
N
N
N
WELLS FARGO & COMPANY
PBLD0EJDB5FWOLXP3B76
Wells Fargo & Co
94974BGK0
2250000.00000000
PA
USD
2249531.39000000
0.301121648276
Long
DBT
CORP
US
N
2
2045-05-01
Fixed
3.90000000
N
N
N
N
N
N
SVB FINANCIAL GROUP
549300D2KJ20JMXE7542
SVB Financial Group
78486QAP6
1275000.00000000
PA
USD
1179375.00000000
0.157870810567
Long
DBT
CORP
US
N
2
2026-11-15
Fixed
4.25000000
N
N
N
N
N
N
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
FSWP: OIS 1.246500 05-JUL-2027
000000000
1295000.00000000
OU
Notional Amount
USD
-65243.57000000
-0.00873348619
N/A
DIR
US
N
2
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
N/A
N/A
Y
2027-07-06
0.00000000
USD
-36239.63000000
USD
1295000.00000000
USD
-29003.94000000
N
N
N
KOBE US MIDCO 2 INC
N/A
Kobe US Midco 2 Inc
499894AA1
155000.00000000
PA
USD
150350.00000000
0.020125809321
Long
DBT
CORP
US
N
2
2026-11-01
Fixed
9.25000000
N
N
N
N
N
N
PDC Energy Inc
5493008W8H2T511J5Y59
PDC Energy Inc
69327RAJ0
164000.00000000
PA
USD
166253.36000000
0.022254628682
Long
DBT
CORP
US
N
2
2026-05-15
Fixed
5.75000000
N
N
N
N
N
N
Deephaven Residential Mortgage Trust
N/A
Deephaven Residential Mortgage Trust 2022-2
24380XAA5
331379.00000000
PA
USD
330944.33000000
0.044300116273
Long
ABS-MBS
CORP
US
N
2
2067-03-25
Variable
4.30000000
N
N
N
N
N
N
BANK OF EAST ASIA LTD
CO6GC26LCGGRTUESIP55
Bank of East Asia Ltd/The
000000000
250000.00000000
PA
USD
248125.00000000
0.033213943717
Long
DBT
CORP
HK
N
2
2025-10-21
Fixed
5.83000000
N
N
N
N
N
N
REALOGY GROUP/CO-ISSUER
N/A
Realogy Group LLC / Realogy Co-Issuer Corp
75606DAQ4
91000.00000000
PA
USD
83720.00000000
0.011206735992
Long
DBT
CORP
US
N
2
2030-04-15
Fixed
5.25000000
N
N
N
N
N
N
STANDARD INDUSTRIES INC
54930064UHXCIUWVI755
Standard Industries Inc/NJ
853496AD9
54000.00000000
PA
USD
51637.50000000
0.006912181435
Long
DBT
CORP
US
N
2
2028-01-15
Fixed
4.75000000
N
N
N
N
N
N
Bank of America, National Association
B4TYDEB6GKMZO031MB27
PURCHASED EUR / SOLD USD
000000000
1.00000000
NC
1546.13000000
0.000206964533
N/A
DFE
XX
N
2
Bank of America, National Association
B4TYDEB6GKMZO031MB27
271892.07000000
USD
246510.00000000
EUR
2022-06-15
1546.13000000
N
N
N
LIVE NATION ENTERTAINMEN
5493007B9BM9ZXJINO78
Live Nation Entertainment Inc
538034AX7
52000.00000000
PA
USD
48873.76000000
0.006542227965
Long
DBT
CORP
US
N
2
2028-01-15
Fixed
3.75000000
N
N
N
N
N
N
LUMEN TECHNOLOGIES INC
8M3THTGWLTYZVE6BBY25
Lumen Technologies Inc
156700BB1
300000.00000000
PA
USD
285750.00000000
0.038250415787
Long
DBT
CORP
US
N
2
2026-12-15
Fixed
5.13000000
N
N
N
N
N
N
Kraft Heinz Foods Co
5493003STKEZ2S0RNU91
Kraft Heinz Foods Co
50076QAN6
110000.00000000
PA
USD
131175.00000000
0.017559049137
Long
DBT
CORP
US
N
2
2040-02-09
Fixed
6.50000000
N
N
N
N
N
N
VMED O2 UK FINAN
213800MRR46ECNGZ7L69
Vmed O2 UK Financing I PLC
92858RAB6
452000.00000000
PA
USD
426010.00000000
0.057025580506
Long
DBT
CORP
GB
N
2
2031-07-15
Fixed
4.75000000
N
N
N
N
N
N
MODERN LAND CHINA CO LTD
549300PDOU6AR9Z9IN08
Modern Land China Co Ltd
000000000
200000.00000000
PA
USD
36000.00000000
0.004818950020
Long
DBT
CORP
KY
N
2
2023-04-11
Fixed
9.80000000
Y
Y
N
N
N
N
NEW FORTRESS ENERGY INC
N/A
New Fortress Energy Inc
644393AB6
663000.00000000
PA
USD
656880.51000000
0.087929842975
Long
DBT
CORP
US
N
2
2026-09-30
Fixed
6.50000000
N
N
N
N
N
N
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
SWP: OIS 1.477000 26-NOV-2031
000000000
1920000.00000000
OU
Notional Amount
USD
-23139.58000000
-0.00309745776
N/A
DIR
US
N
2
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
N/A
N/A
Y
2031-11-26
0.00000000
USD
-60514.98000000
USD
1920000.00000000
USD
37375.40000000
N
N
N
522 Funding CLO LTD
N/A
522 Funding CLO 2019-4 Ltd
33834WAE2
500000.00000000
PA
USD
497538.80000000
0.066600405845
Long
ABS-CBDO
CORP
KY
N
2
2030-04-20
Floating
2.65000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Pool
3133B1FF3
1488356.36000000
PA
USD
1429967.49000000
0.191415051812
Long
ABS-MBS
USGSE
US
N
2
2052-01-01
Fixed
2.50000000
N
N
N
N
N
N
ONCOR ELECTRIC DELIVERY
549300SP2X2BS1KERD24
Oncor Electric Delivery Co LLC
68233JBU7
1150000.00000000
PA
USD
1095976.08000000
0.146707054254
Long
DBT
CORP
US
N
2
2030-05-15
Fixed
2.75000000
N
N
N
N
N
N
FEL ENERGY VI SARL
254900H2U8PBIY32VI94
FEL Energy VI Sarl
000000000
192962.60000000
PA
USD
172978.91000000
0.023154908941
Long
DBT
CORP
LU
N
2
2040-12-01
Fixed
5.75000000
N
N
N
N
N
N
United States Treasury
254900HROIFWPRGM1V77
United States Treasury Note/Bond
9128285C0
2400000.00000000
PA
USD
2437031.26000000
0.326220328897
Long
DBT
UST
US
N
2
2025-09-30
Fixed
3.00000000
N
N
N
N
N
N
Jeld-Wen Inc
549300XWE6NM0N1HFW16
Jeld-Wen Inc
475795AC4
37000.00000000
PA
USD
35612.50000000
0.004767079377
Long
DBT
CORP
US
N
2
2025-12-15
Fixed
4.63000000
N
N
N
N
N
N
Hess Corp
UASVRYNXNK17ULIGK870
Hess Corp
42809HAG2
1100000.00000000
PA
USD
1128690.78000000
0.151086234928
Long
DBT
CORP
US
N
2
2027-04-01
Fixed
4.30000000
N
N
N
N
N
N
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
SWP: OIS 2.154000 23-MAR-2032
000000000
595000.00000000
OU
Notional Amount
USD
-2392.32000000
-0.00032023529
N/A
DIR
US
N
2
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
N/A
N/A
Y
2032-03-23
0.00000000
USD
-9.60000000
USD
595000.00000000
USD
-2382.72000000
N
N
N
GTCR AP Finance Inc
N/A
GTCR AP Finance Inc
40060QAA3
161000.00000000
PA
USD
162875.65000000
0.021802489358
Long
DBT
CORP
US
N
2
2027-05-15
Fixed
8.00000000
N
N
N
N
N
N
Ultimate Software Group Inc (The)
529900FKHWSTQ1GXK240
Ultimate Software Group Inc (The) 2021 2nd Lien Term Loan
000000000
279644.00000000
PA
USD
277065.68000000
0.037087935119
Long
LON
CORP
US
N
2
2027-05-03
Floating
5.75000000
N
N
N
N
N
N
FEDERAL HOME LOAN BANK
2549001DPIFGXC1TOL40
Federal Home Loan Banks
3133XN4B2
1375000.00000000
PA
USD
1410243.26000000
0.188774771852
Long
DBT
USGSE
US
N
2
2022-12-09
Fixed
5.25000000
N
N
N
N
N
N
LUMEN TECHNOLOGIES INC
8M3THTGWLTYZVE6BBY25
Lumen Technologies Inc
550241AA1
339000.00000000
PA
USD
301921.88000000
0.040415179161
Long
DBT
CORP
US
N
2
2029-06-15
Fixed
5.38000000
N
N
N
N
N
N
General Electric Co
3C7474T6CDKPR9K6YT90
General Electric Co
36962G3A0
2150000.00000000
PA
USD
2552888.82000000
0.341728989762
Long
DBT
CORP
US
N
2
2037-08-07
Fixed
6.15000000
N
N
N
N
N
N
LINDBLAD EXPEDITIONS LLC
549300MPUWOG67Y2R254
Lindblad Expeditions LLC
53523LAA8
119000.00000000
PA
USD
119297.50000000
0.015969130279
Long
DBT
CORP
US
N
2
2027-02-15
Fixed
6.75000000
N
N
N
N
N
N
TEMPUR SEALY INTL INC
549300HFEKVR3US71V91
Tempur Sealy International Inc
88023UAH4
183000.00000000
PA
USD
166223.48000000
0.022250628954
Long
DBT
CORP
US
N
2
2029-04-15
Fixed
4.00000000
N
N
N
N
N
N
CEDAR FAIR/CAN/MAGNUM/MI
N/A
Cedar Fair LP / Canada's Wonderland Co / Magnum Management Corp / Millennium Op
150190AF3
355000.00000000
PA
USD
364554.83000000
0.048799208486
Long
DBT
CORP
US
N
2
2025-05-01
Fixed
5.50000000
N
N
N
N
N
N
Russian Federation
5493004EHVGF71PDBU58
Russian Foreign Bond - Eurobond
000000000
200000.00000000
PA
USD
46000.00000000
0.006157547248
Long
DBT
NUSS
RU
N
2
2027-06-23
Fixed
4.25000000
N
N
N
N
N
N
SBA COMMUNICATIONS CORP
5299001HX8ZN8Y8QIT49
SBA Communications Corp
78410GAD6
318000.00000000
PA
USD
310185.15000000
0.041521298193
Long
DBT
US
N
2
2027-02-15
Fixed
3.88000000
N
N
N
N
N
N
EQT CORP
4NT01YGM4X7ZX86ISY52
EQT Corp
26884LAK5
288000.00000000
PA
USD
682560.00000000
0.091367292388
Long
DBT
CORP
US
N
2
2026-05-01
Fixed
1.75000000
N
N
N
N
Y
EQT Corp
EQT Corp
USD
XXXX
N
N
N
CONSTELLATION AUTOMOTIVE
254900HVTSU7VICDRM89
Constellation Automotive Financing PLC
000000000
100000.00000000
PA
119870.53000000
0.016045835916
Long
DBT
CORP
GB
N
2
2027-07-15
Fixed
4.88000000
N
N
N
N
N
N
MIDAS OPCO HOLDINGS LLC
N/A
Stagwell Global LLC
59565JAA9
69000.00000000
PA
USD
65093.22000000
0.008713360384
Long
DBT
CORP
US
N
2
2029-08-15
Fixed
5.63000000
N
N
N
N
N
N
BOXER PARENT CO INC
5493006T045HLTF7YX04
Boxer Parent Co Inc
103186AB8
174000.00000000
PA
USD
180357.96000000
0.024142666528
Long
DBT
CORP
US
N
2
2025-10-02
Fixed
7.13000000
N
N
N
N
N
N
BAUSCH HEALTH COS INC
B3BS7ACMDUWISF18KY76
Bausch Health Cos Inc
071734AM9
115000.00000000
PA
USD
89585.58000000
0.011991900904
Long
DBT
CORP
CA
N
2
2029-02-15
Fixed
5.00000000
N
N
N
N
N
N
ITALY GOV'T INT BOND
815600DE60799F5A9309
Republic of Italy Government International Bond
465410BG2
2925000.00000000
PA
USD
3307622.26000000
0.442757398822
Long
DBT
NUSS
IT
N
2
2033-06-15
Fixed
5.38000000
N
N
N
N
N
N
FOUNDATION BUILDING M
549300ZVE6MONHB01I28
Foundation Building Materials Inc
350392AA4
115000.00000000
PA
USD
103500.00000000
0.013854481308
Long
DBT
CORP
US
N
2
2029-03-01
Fixed
6.00000000
N
N
N
N
N
N
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
SWP: OIS 2.180000 28-MAR-2032
000000000
1320000.00000000
OU
Notional Amount
USD
8033.44000000
0.001075354051
N/A
DIR
US
N
2
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
N/A
N/A
Y
2032-03-29
21.31000000
USD
0.00000000
USD
1320000.00000000
USD
8012.13000000
N
N
N
AT&T INC
549300Z40J86GGSTL398
AT&T Inc
00206RJE3
830000.00000000
PA
USD
1004162.66000000
0.134416935305
Long
DBT
CORP
US
N
2
2040-07-15
Fixed
6.10000000
N
N
N
N
N
N
JP MORGAN CHASE BANK
7H6GLXDRUGQFU57RNE97
2Y RTP 1.480000 02-NOV-2022
000000000
-7710000.00000000
NC
USD
-225262.07000000
-0.03015351824
N/A
DIR
US
N
2
JP MORGAN CHASE BANK
7H6GLXDRUGQFU57RNE97
Put
Written
JPMorgan International Bank Ltd.
PGBWEZU4QUV2UVGWJC76
JPMorgan International Bank Ltd.
PGBWEZU4QUV2UVGWJC76
IRS Swap
N/A
7710000.00000000
OU
Notional Amount
N/A
-225262.07000000
-0.03000000
DIR
US
N/A
N/A
2024-11-04
0.00000000
N/A
0.00000000
N/A
7710000.00000000
USD
1.00000000
1.48000000
USD
2022-11-02
XXXX
-186326.57000000
N
N
N
HERC HOLDINGS INC
549300TP80QLITMSBP82
Herc Holdings Inc
42704LAA2
133000.00000000
PA
USD
134862.00000000
0.018052589935
Long
DBT
CORP
US
N
2
2027-07-15
Fixed
5.50000000
N
N
N
N
N
N
VIRTUSA CORP
C77OMXDER63WLJCSKT03
Virtusa Corp
92837TAA0
48000.00000000
PA
USD
44640.00000000
0.005975498025
Long
DBT
CORP
US
N
2
2028-12-15
Fixed
7.13000000
N
N
N
N
N
N
Intercontinental Exchange, Inc.
5493000F4ZO33MV32P92
SWAP/CDSWAP/ICE: (CDX.NA.IG.38.V1)
000000000
22630000.00000000
OU
Notional Amount
USD
-370227.14000000
-0.04955850233
N/A
DCR
US
N
2
Intercontinental Exchange, Inc.
5493000F4ZO33MV32P92
CDX.NA.IG.S38
2I65BYEA9
Y
buy protection
2027-06-22
0.00000000
USD
-344442.46000000
USD
22630000.00000000
USD
-25784.68000000
N
N
N
Freddie Mac
N/A
Freddie Mac Gold Pool
31335B6T8
706009.30000000
PA
USD
751126.08000000
0.100545528850
Long
ABS-MBS
USGSE
US
N
2
2047-03-01
Fixed
4.50000000
N
N
N
N
N
N
AFFINITY GAMING
N/A
Affinity Gaming
00842XAA7
23000.00000000
PA
USD
22367.50000000
0.002994107349
Long
DBT
CORP
US
N
2
2027-12-15
Fixed
6.88000000
N
N
N
N
N
N
SIMPAR EUROPE SA
54930068BSUST41D5C30
Simpar Europe SA
82883PAA2
200000.00000000
PA
USD
178500.00000000
0.023893960518
Long
DBT
CORP
LU
N
2
2031-01-26
Fixed
5.20000000
N
N
N
N
N
N
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
FSWP: OIS 2.440000 30-SEP-2027
000000000
460000.00000000
OU
Notional Amount
USD
-2144.81000000
-0.00028710367
N/A
DIR
US
N
2
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
N/A
N/A
Y
2027-09-30
0.00000000
USD
-4.24000000
USD
460000.00000000
USD
-2140.57000000
N
N
N
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
SWP: USD 1.930800 22-OCT-2051
000000000
3550000.00000000
OU
Notional Amount
USD
-255716.02000000
-0.03423007555
N/A
DIR
US
N
2
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
N/A
N/A
Y
2051-10-23
0.00000000
USD
-157839.87000000
USD
3550000.00000000
USD
-97876.15000000
N
N
N
CIFC Funding Ltd
549300PC4RPZFE70AI24
CIFC Funding 2013-I Ltd
12549AAS9
500000.00000000
PA
USD
489607.80000000
0.065538764384
Long
ABS-CBDO
CORP
KY
N
2
2030-07-16
Floating
3.79000000
N
N
N
N
N
N
TICP CLO Ltd
N/A
TICP CLO I-2 LTD
87248VAJ9
500000.00000000
PA
USD
499034.05000000
0.066800559596
Long
ABS-CBDO
CORP
KY
N
2
2028-04-26
Floating
3.31000000
N
N
N
N
N
N
EQM MIDSTREAM PARTNERS L
549300NELT611CL6XM83
EQM Midstream Partners LP
26885BAL4
544000.00000000
PA
USD
508640.00000000
0.068086409400
Long
DBT
CORP
US
N
2
2031-01-15
Fixed
4.75000000
N
N
N
N
N
N
INTERTAPE POLYMER GROUP
549300ESFR3Z1YNR6O65
Intertape Polymer Group Inc
460919AB9
91000.00000000
PA
USD
93730.00000000
0.012546671817
Long
DBT
CORP
CA
N
2
2029-06-15
Fixed
4.38000000
N
N
N
N
N
N
DirecTV Financing, LLC
N/A
DirecTV Financing, LLC Term Loan
25460HAB8
685755.95000000
PA
USD
684240.43000000
0.091592234282
Long
LON
CORP
US
N
2
2027-08-02
Floating
5.75000000
N
N
N
N
N
N
VERTIV GROUP CORPORATION
549300ZT8RQ5VK10E643
Vertiv Group Corp
92535UAB0
447000.00000000
PA
USD
407938.91000000
0.054606589408
Long
DBT
CORP
US
N
2
2028-11-15
Fixed
4.13000000
N
N
N
N
N
N
CONTROLADORA MABE SA CV
549300TVP7EHIDGWNR87
Controladora Mabe SA de CV
21240BAD3
215000.00000000
PA
USD
228996.50000000
0.030653408010
Long
DBT
CORP
MX
N
2
2028-10-23
Fixed
5.60000000
N
N
N
N
N
N
TERRIER MEDIA BUYER INC
N/A
Terrier Media Buyer Inc
88146LAA1
563000.00000000
PA
USD
572852.50000000
0.076681876850
Long
DBT
CORP
US
N
2
2027-12-15
Fixed
8.88000000
N
N
N
N
N
N
HSBC SECURITIES (USA) INC
CYYGQCGNHMHPSMRL3R97
RRP FNMA 30YR U
000000000
-1413191.81000000
PA
USD
-1413191.81000000
-0.18916946393
Short
RA
CORP
US
N
2
Reverse repurchase
N
0.34000000
2022-04-13
1413191.81000000
USD
1413418.71000000
USD
AMBS
N
N
N
MONITCHEM HOLDCO 3 S.A.
222100SJHJ1CNJMSW162
Monitchem HoldCo 3 SA
000000000
100000.00000000
PA
108412.48000000
0.014512064519
Long
DBT
CORP
LU
N
2
2025-03-15
Fixed
5.25000000
N
N
N
N
N
N
TEACHERS INSUR & ANNUITY
O06XD7BJ4EPXNABVFN69
Teachers Insurance & Annuity Association of America
878091BF3
700000.00000000
PA
USD
739543.97000000
0.098995150816
Long
DBT
CORP
US
N
2
2047-05-15
Fixed
4.27000000
N
N
N
N
N
N
SONIC AUTOMOTIVE INC
549300NTLRGJ2JCBZU03
Sonic Automotive Inc
83545GBD3
40000.00000000
PA
USD
36000.00000000
0.004818950020
Long
DBT
CORP
US
N
2
2029-11-15
Fixed
4.63000000
N
N
N
N
N
N
FANTASIA HOLDINGS GROUP
5493005JQNLB3I01JW62
Fantasia Holdings Group Co Ltd
000000000
400000.00000000
PA
USD
56000.00000000
0.007496144476
Long
DBT
CORP
KY
N
2
2023-06-01
Fixed
11.88000000
Y
Y
N
N
N
N
GREENKO DUTCH BV
724500PT585P4JPVRP08
Greenko Dutch BV
000000000
388000.00000000
PA
USD
366175.00000000
0.049016083993
Long
DBT
CORP
NL
N
2
2026-03-29
Fixed
3.85000000
N
N
N
N
N
N
OZLM Ltd
5493002HF6D1C4B1AK86
OZLM XXI Ltd
67112AAG6
1000000.00000000
PA
USD
955692.50000000
0.127928733123
Long
ABS-CBDO
CORP
KY
N
2
2031-01-20
Floating
2.92000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Pool
3133B14Y4
1262046.76000000
PA
USD
1212537.04000000
0.162309872048
Long
ABS-MBS
USGSE
US
N
2
2052-01-01
Fixed
2.50000000
N
N
N
N
N
N
SYNAPTICS INC
549300AJ3LI4FWNRQX29
Synaptics Inc
87157DAG4
129000.00000000
PA
USD
121582.50000000
0.016274999746
Long
DBT
CORP
US
N
2
2029-06-15
Fixed
4.00000000
N
N
N
N
N
N
Birch Grove CLO Ltd.
N/A
Birch Grove CLO Ltd
09075JAS8
1000000.00000000
PA
USD
997286.80000000
0.133496534591
Long
ABS-CBDO
CORP
KY
N
2
2031-06-15
Floating
4.18000000
N
N
N
N
N
N
HPCL-MITTAL ENERGY LTD
3358008CSQJBZUGQXP26
HPCL-Mittal Energy Ltd
000000000
200000.00000000
PA
USD
193500.00000000
0.025901856360
Long
DBT
CORP
IN
N
2
2026-10-22
Fixed
5.45000000
N
N
N
N
N
N
State of Qatar
52990074F6OJOAXK4P65
Qatar Government International Bond
74727PBA8
240000.00000000
PA
USD
256200.00000000
0.034294860979
Long
DBT
NUSS
QA
N
2
2029-03-14
Fixed
4.00000000
N
N
N
N
N
N
BWX TECHNOLOGIES INC
549300NP85N265KWMS58
BWX Technologies Inc
05605HAC4
24000.00000000
PA
USD
23100.00000000
0.003092159596
Long
DBT
CORP
US
N
2
2029-04-15
Fixed
4.13000000
N
N
N
N
N
N
STERICYCLE INC
B8PTJH2P0AXSWSMP2136
Stericycle Inc
858912AG3
92000.00000000
PA
USD
85560.00000000
0.011453037882
Long
DBT
CORP
US
N
2
2029-01-15
Fixed
3.88000000
N
N
N
N
N
N
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
FSWP: USD 0.997000 29-APR-2024
000000000
4290000.00000000
OU
Notional Amount
USD
-40039.80000000
-0.00535971652
N/A
DIR
US
N
2
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
N/A
N/A
Y
2024-04-29
0.00000000
USD
-87073.77000000
USD
4290000.00000000
USD
47033.97000000
N
N
N
CITIBANK NA
E57ODZWZ7FF32TWEFA76
10Y RTR DEC22 1.254 CALL
000000000
-2820000.00000000
NC
USD
-10968.02000000
-0.00146817611
N/A
DIR
US
N
2
CITIBANK NA
E57ODZWZ7FF32TWEFA76
Call
Written
CITIBANK NA
E57ODZWZ7FF32TWEFA76
CITIBANK NA
E57ODZWZ7FF32TWEFA76
IRS Swap
N/A
2820000.00000000
OU
Notional Amount
N/A
-10968.02000000
0.00000000
DIR
US
N/A
N/A
2033-01-04
0.00000000
N/A
0.00000000
N/A
2820000.00000000
USD
1.00000000
1.25400000
USD
2022-12-30
XXXX
82021.48000000
N
N
N
LIFEPOINT HEALTH INC
549300G8ZVHRTBBBSZ90
LifePoint Health Inc
53219LAU3
253000.00000000
PA
USD
239055.27000000
0.031999872174
Long
DBT
CORP
US
N
2
2029-01-15
Fixed
5.38000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Federal National Mortgage Association
313586752
10000.00000000
NS
USD
32200.00000000
0.004310283073
Long
EP
USGSE
US
N
2
N
N
N
MORGAN STANLEY & CO. INTERNATIONAL
4PQUHN3JPFGFNF3BB653
10Y RTR 1.432500 13-DEC-2022
000000000
-4338000.00000000
NC
USD
-34999.94000000
-0.00468508226
N/A
DIR
US
N
2
MORGAN STANLEY & CO. INTERNATIONAL
4PQUHN3JPFGFNF3BB653
Call
Written
Morgan Stanley & Co. International PLC
4PQUHN3JPFGFNF3BB653
Morgan Stanley & Co. International PLC
4PQUHN3JPFGFNF3BB653
IRS Swap
N/A
4338000.00000000
OU
Notional Amount
N/A
-34999.94000000
0.00000000
DIR
US
N/A
N/A
2032-12-15
0.00000000
N/A
0.00000000
N/A
4338000.00000000
USD
1.00000000
1.43250000
USD
2022-12-13
XXXX
87765.46000000
N
N
N
Banc of America Funding Corporation
54930023UHZHF7UJ8596
Banc of America Funding 2007-2 Trust
05951GAQ5
253649.31000000
PA
USD
233454.11000000
0.031250102449
Long
ABS-MBS
CORP
US
N
2
2037-03-25
Fixed
6.00000000
N
N
N
N
N
N
ARCHROCK PARTNERS LP/FIN
N/A
Archrock Partners LP / Archrock Partners Finance Corp
03959KAA8
227000.00000000
PA
USD
229546.94000000
0.030727089756
Long
DBT
CORP
US
N
2
2027-04-01
Fixed
6.88000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138XFK46
1030869.31000000
PA
USD
1069104.56000000
0.143110040036
Long
ABS-MBS
USGSE
US
N
2
2043-12-01
Fixed
4.00000000
N
N
N
N
N
N
NIDDA HEALTHCARE HOLDING
549300Q89C4WAO6L0L19
Nidda Healthcare Holding GmbH
000000000
100000.00000000
PA
105923.41000000
0.014178878299
Long
DBT
CORP
DE
N
2
2024-09-30
Fixed
3.50000000
N
N
N
N
N
N
CANTOR FITZGERALD & CO
5493004J7H4GCPG6OB62
RRP FNMA 30YR U
000000000
-1784876.62000000
PA
USD
-1784876.62000000
-0.23892308957
Short
RA
CORP
US
N
2
Reverse repurchase
N
0.37000000
2022-05-12
1784876.62000000
USD
1785188.48000000
USD
AMBS
N
N
N
SM Energy Co
84BUTVXV5ODI6BXNMH43
SM Energy Co
78454LAP5
22000.00000000
PA
USD
22553.52000000
0.003019007935
Long
DBT
CORP
US
N
2
2027-01-15
Fixed
6.63000000
N
N
N
N
N
N
Altria Group Inc
XSGZFLO9YTNO9VCQV219
Altria Group Inc
02209SAR4
2000000.00000000
PA
USD
2067166.24000000
0.276710299850
Long
DBT
CORP
US
N
2
2044-01-31
Fixed
5.38000000
N
N
N
N
N
N
GARTNER INC
PP55B5R38BFB8O8HH686
Gartner Inc
366651AE7
99000.00000000
PA
USD
92936.25000000
0.012440420662
Long
DBT
CORP
US
N
2
2030-10-01
Fixed
3.75000000
N
N
N
N
N
N
BANK OF AMERICA NA
B4TYDEB6GKMZO031MB27
BLACKROCK SWAPTION 0.0155000 CALL USD 20
000000000
3210000.00000000
NC
USD
72257.90000000
0.009672422463
N/A
DIR
US
N
2
BANK OF AMERICA NA
B4TYDEB6GKMZO031MB27
Call
Purchased
BANK OF AMERICA NA
B4TYDEB6GKMZO031MB27
BANK OF AMERICA NA
B4TYDEB6GKMZO031MB27
IRS Swap
N/A
3210000.00000000
OU
Notional Amount
N/A
72257.90000000
0.01000000
DIR
US
N/A
N/A
2034-07-31
0.00000000
N/A
0.00000000
N/A
3210000.00000000
USD
1.00000000
0.01550000
USD
2024-07-29
XXXX
-44265.10000000
N
N
N
DISH NETWORK CORP
529900U350CWHH15G169
DISH Network Corp
25470MAB5
209000.00000000
PA
USD
187995.50000000
0.025165025516
Long
DBT
CORP
US
N
2
2026-08-15
Fixed
3.38000000
N
N
N
N
Y
DISH Network Corp
DISH Network Corp
USD
XXXX
N
N
N
AHP HEALTH PARTN
549300QMM8MQ6SM5KX05
AHP Health Partners Inc
00150LAB7
219000.00000000
PA
USD
203670.00000000
0.027263209740
Long
DBT
CORP
US
N
2
2029-07-15
Fixed
5.75000000
N
N
N
N
N
N
BLOCK COMMUNICATIONS INC
M5G68A9OHJWIL4SFC742
Block Communications Inc
093645AJ8
87000.00000000
PA
USD
83955.00000000
0.011238193026
Long
DBT
CORP
US
N
2
2028-03-01
Fixed
4.88000000
N
N
N
N
N
N
FANTASIA HOLDINGS GROUP
5493005JQNLB3I01JW62
Fantasia Holdings Group Co Ltd
000000000
200000.00000000
PA
USD
27000.00000000
0.003614212515
Long
DBT
CORP
KY
N
2
2022-04-17
Fixed
11.75000000
Y
Y
N
N
N
N
MORGAN STANLEY & CO. INTERNATIONAL
4PQUHN3JPFGFNF3BB653
SWAPTION JUN24 3.5 PUT
000000000
-1970000.00000000
NC
USD
-36177.71000000
-0.00484273823
N/A
DIR
US
N
2
MORGAN STANLEY & CO. INTERNATIONAL
4PQUHN3JPFGFNF3BB653
Put
Written
MORGAN STANLEY & CO. INTERNATIONAL
4PQUHN3JPFGFNF3BB653
MORGAN STANLEY & CO. INTERNATIONAL
4PQUHN3JPFGFNF3BB653
IRS Swap
N/A
1970000.00000000
OU
Notional Amount
N/A
-36177.71000000
0.00000000
DIR
GB
N/A
N/A
2034-06-17
0.00000000
N/A
0.00000000
N/A
1970000.00000000
USD
1.00000000
3.50000000
USD
2024-06-13
XXXX
-3206.86000000
N
N
N
TELECOM ITALIA SPA
549300W384M3RI3VXU42
Telecom Italia SpA/Milano
000000000
200000.00000000
PA
186466.80000000
0.024960394157
Long
DBT
CORP
IT
N
2
2029-01-18
Fixed
1.63000000
N
N
N
N
N
N
COMSTOCK RESOURCES INC
I03QQGEA4SS774AURI46
Comstock Resources Inc
205768AT1
296000.00000000
PA
USD
291648.80000000
0.039040027520
Long
DBT
CORP
US
N
2
2030-01-15
Fixed
5.88000000
N
N
N
N
N
N
EQM MIDSTREAM PARTNERS L
549300NELT611CL6XM83
EQM Midstream Partners LP
26885BAF7
176000.00000000
PA
USD
179527.92000000
0.024031557604
Long
DBT
CORP
US
N
2
2025-07-01
Fixed
6.00000000
N
N
N
N
N
N
New York City Industrial Development Agency
549300XR20ZR5DHL9534
NEW YORK CITY NY INDL DEV AGY REVENUE
64971PKR5
165000.00000000
PA
USD
152687.87000000
0.020438755951
Long
DBT
MUN
US
N
2
2040-03-01
Fixed
3.19000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31418DXK3
8034966.45000000
PA
USD
7480473.01000000
1.001334043467
Long
ABS-MBS
USGSE
US
N
2
2051-03-01
Fixed
2.00000000
N
N
N
N
N
N
GoldenTree Loan Opportunities X, Limited
549300IGEA8MXF2YEF61
Goldentree Loan Opportunities X Ltd
38137PAY6
250000.00000000
PA
USD
246111.03000000
0.032944354251
Long
ABS-CBDO
CORP
KY
N
2
2031-07-20
Floating
3.30000000
N
N
N
N
N
N
Mello Mortgage Capital Acceptance Trust
N/A
Mello Mortgage Capital Acceptance 2022-INV2
58549JAF1
860000.00000000
PA
USD
828153.13000000
0.110856348410
Long
ABS-MBS
CORP
US
N
2
2052-04-25
Variable
3.00000000
N
N
N
N
N
N
FedEx Corp
549300E707U7WNPZN687
FedEx Corp
31428XBE5
1250000.00000000
PA
USD
1333370.44000000
0.178484597476
Long
DBT
CORP
US
N
2
2045-11-15
Fixed
4.75000000
N
N
N
N
N
N
VENTURE GLOBAL CALCASIEU
549300GKHS6RS20NLH85
Venture Global Calcasieu Pass LLC
92328MAB9
476000.00000000
PA
USD
467027.40000000
0.062516158300
Long
DBT
CORP
US
N
2
2031-08-15
Fixed
4.13000000
N
N
N
N
N
N
CITIBANK NA
E57ODZWZ7FF32TWEFA76
10Y RTP 1.232000 25-FEB-2025
000000000
1930000.00000000
NC
USD
183024.85000000
0.024499655684
N/A
DIR
LU
N
2
CITIBANK NA
E57ODZWZ7FF32TWEFA76
Put
Purchased
CITIBANK NA
E57ODZWZ7FF32TWEFA76
CITIBANK NA
E57ODZWZ7FF32TWEFA76
IRS Swap
N/A
1930000.00000000
OU
Notional Amount
N/A
183024.85000000
0.02000000
DIR
LU
N/A
N/A
2035-02-25
0.00000000
N/A
0.00000000
N/A
1930000.00000000
USD
1.00000000
1.23200000
USD
2025-02-25
XXXX
21249.57000000
N
N
N
ARCHROCK PARTNERS LP/FIN
N/A
Archrock Partners LP / Archrock Partners Finance Corp
03959KAC4
447000.00000000
PA
USD
440558.73000000
0.058973069471
Long
DBT
CORP
US
N
2
2028-04-01
Fixed
6.25000000
N
N
N
N
N
N
United Airlines, Inc.
K1OQBWM7XEOO08LDNP29
United Airlines, Inc. 2021 Term Loan B
90932RAJ3
435707.50000000
PA
USD
429899.52000000
0.057546230575
Long
LON
CORP
US
N
2
2028-04-21
Floating
4.50000000
N
N
N
N
N
N
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
SWP: USD 0.518000 07-MAR-2024
000000000
12960000.00000000
OU
Notional Amount
USD
-478072.54000000
-0.06399465767
N/A
DIR
US
N
2
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
N/A
N/A
Y
2024-03-07
0.00000000
USD
-337718.64000000
USD
12960000.00000000
USD
-140353.90000000
N
N
N
New York State Dormitory Authority
549300C8XO7EXTX2XU71
NEW YORK ST DORM AUTH ST PERSONAL INCOME TAX REVENUE
649902T37
1900000.00000000
PA
USD
2342753.20000000
0.313600293920
Long
DBT
MUN
US
N
2
2040-03-15
Fixed
5.60000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140M8KP3
936756.49000000
PA
USD
900588.13000000
0.120552477431
Long
ABS-MBS
USGSE
US
N
2
2051-12-01
Fixed
2.50000000
N
N
N
N
N
N
TELECOM ITALIA CAPITAL
549300777DJZOR5C4L39
Telecom Italia Capital SA
87927VAR9
60000.00000000
PA
USD
58350.00000000
0.007810714824
Long
DBT
CORP
LU
N
2
2036-07-18
Fixed
7.20000000
N
N
N
N
N
N
Altria Group Inc
XSGZFLO9YTNO9VCQV219
Altria Group Inc
02209SAV5
1250000.00000000
PA
USD
1058428.51000000
0.141680946943
Long
DBT
CORP
US
N
2
2046-09-16
Fixed
3.88000000
N
N
N
N
N
N
COMPASS GROUP DIVERSIFIE
549300I6PTUQPX21TE93
Compass Group Diversified Holdings LLC
20451RAB8
129000.00000000
PA
USD
121260.00000000
0.016231829985
Long
DBT
CORP
US
N
2
2029-04-15
Fixed
5.25000000
N
N
N
N
N
N
ACADIA HEALTHCARE CO INC
5493005CW985Y9D0NC11
Acadia Healthcare Co Inc
00404AAN9
66000.00000000
PA
USD
66330.00000000
0.008878915412
Long
DBT
CORP
US
N
2
2028-07-01
Fixed
5.50000000
N
N
N
N
N
N
JP MORGAN CHASE BANK
7H6GLXDRUGQFU57RNE97
SWAP/CDSWAP/SCDS: (VMED)
000000000
10000.00000000
OU
Notional Amount
1100.77000000
0.000147348767
N/A
DCR
XX
N
2
JP MORGAN CHASE BANK
7H6GLXDRUGQFU57RNE97
VIRGIN MEDIA FINANCE PLC
VIRGIN MEDIA FINANCE PLC
Y
sell protection
2025-12-23
808.40000000
EUR
0.00000000
EUR
10000.00000000
EUR
96.10000000
N
N
N
PetSmart, Inc.
N/A
PetSmart, Inc. 2021 Term Loan B
71677HAL9
387055.00000000
PA
USD
385440.98000000
0.051595022735
Long
LON
CORP
US
N
2
2028-02-11
Floating
4.50000000
N
N
N
N
N
N
HILTON DOMESTIC OPERATIN
5493003EG7H0N1E4XV50
Hilton Domestic Operating Co Inc
432833AF8
215000.00000000
PA
USD
214515.18000000
0.028714942529
Long
DBT
CORP
US
N
2
2030-01-15
Fixed
4.88000000
N
N
N
N
N
N
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
SWP: OIS 1.684000 02-MAR-2032
000000000
620000.00000000
OU
Notional Amount
USD
-23155.27000000
-0.00309955802
N/A
DIR
US
N
2
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
N/A
N/A
Y
2032-03-02
0.00000000
USD
-8595.12000000
USD
620000.00000000
USD
-14560.15000000
N
N
N
State of California
N/A
CALIFORNIA ST
13063A5G5
280000.00000000
PA
USD
416234.56000000
0.055717042817
Long
DBT
MUN
US
N
2
2039-04-01
Fixed
7.55000000
N
N
N
N
N
N
DEUTSCHE BANK AG
7LTWFZYICNSX8D621K86
BRY08GBL1 BLACKROCK
000000000
-19040000.00000000
NC
USD
-177248.12000000
-0.02372638420
N/A
DIR
US
N
2
DEUTSCHE BANK AG
7LTWFZYICNSX8D621K86
Put
Written
DEUTSCHE BANK AG
7LTWFZYICNSX8D621K86
DEUTSCHE BANK AG
7LTWFZYICNSX8D621K86
IRS Swap
N/A
19040000.00000000
OU
Notional Amount
N/A
-177248.12000000
-0.02000000
DIR
US
N/A
N/A
2024-09-21
0.00000000
N/A
0.00000000
N/A
19040000.00000000
USD
1.00000000
2.45000000
USD
2022-09-19
XXXX
-94424.12000000
N
N
N
AEROPUERTOS DOMINICANOS
254900KJA5MXNPYB4W32
Aeropuertos Dominicanos Siglo XXI SA
007866AC0
200000.00000000
PA
USD
193375.00000000
0.025885123894
Long
DBT
CORP
DO
N
2
2029-03-30
Fixed
6.75000000
N
N
N
N
N
N
UMBS, TBA
N/A
Uniform Mortgage-Backed Security, TBA
01F030652
7500000.00000000
PA
USD
7318779.90000000
0.979689848585
Long
ABS-MBS
USGSE
US
N
2
2052-05-15
Fixed
3.00000000
N
N
N
N
N
N
EG GLOBAL FINANCE PLC
549300TL8Q5207VYET27
eG Global Finance PLC
000000000
142000.00000000
PA
156440.90000000
0.020941135507
Long
DBT
CORP
GB
N
2
2025-10-30
Fixed
6.25000000
N
N
N
N
N
N
CHOBANI LLC/FINANCE CORP
549300Q10QN3IXF3HZ69
Chobani LLC / Chobani Finance Corp Inc
17027NAA0
501000.00000000
PA
USD
484366.80000000
0.064837205577
Long
DBT
CORP
US
N
2
2025-04-15
Fixed
7.50000000
N
N
N
N
N
N
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
FSWP: OIS 1.890000 22-FEB-2025
000000000
2065000.00000000
OU
Notional Amount
USD
24113.63000000
0.003227843827
N/A
DIR
US
N
2
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
N/A
N/A
Y
2025-02-24
0.00000000
USD
-4504.74000000
USD
2065000.00000000
USD
28618.37000000
N
N
N
Republic of Portugal
549300P6U1FJ3IMP7K42
Portugal Government International Bond
737271AE6
3970000.00000000
PA
USD
4194130.32000000
0.561425121986
Long
DBT
NUSS
PT
N
2
2024-10-15
Fixed
5.13000000
N
N
N
N
N
N
SUZANO AUSTRIA GMBH
254900287ZNSGVP1R341
Suzano Austria GmbH
86964WAJ1
80000.00000000
PA
USD
74920.00000000
0.010028770431
Long
DBT
CORP
AT
N
2
2031-01-15
Fixed
3.75000000
N
N
N
N
N
N
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
SWP: OIS 1.330000 14-JAN-2027
000000000
13440000.00000000
OU
Notional Amount
USD
17349.39000000
0.002322384536
N/A
DIR
US
N
2
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
N/A
N/A
Y
2027-01-14
0.00000000
USD
-256529.02000000
USD
13440000.00000000
USD
273878.41000000
N
N
N
BARCLAYS BANK PLC
G5GSEF7VJP5I7OUK5573
2Y RTR 1.250000 12-JAN-2023
000000000
-20035000.00000000
NC
USD
-23986.10000000
-0.00321077269
N/A
DIR
US
N
2
BARCLAYS BANK PLC
G5GSEF7VJP5I7OUK5573
Call
Written
Barclays Capital, Inc.
G5GSEF7VJP5I7OUK5573
Barclays Capital, Inc.
G5GSEF7VJP5I7OUK5573
IRS Swap
N/A
20035000.00000000
OU
Notional Amount
N/A
-23986.10000000
0.00000000
DIR
US
N/A
N/A
2025-01-16
0.00000000
N/A
0.00000000
N/A
20035000.00000000
USD
1.00000000
1.25000000
USD
2023-01-12
XXXX
56754.95000000
N
N
N
ENDO DAC/FIN LLC/FINCO
N/A
Endo Dac / Endo Finance LLC / Endo Finco Inc
29273DAB6
466000.00000000
PA
USD
408915.00000000
0.054737248545
Long
DBT
CORP
XX
N
2
2027-07-31
Fixed
9.50000000
N
N
N
N
N
N
PECF USS Intermediate Holding III Corporation
N/A
PECF USS Intermediate Holding III Corporation Term Loan B
69291LAB2
584986.19000000
PA
USD
578720.99000000
0.077467431294
Long
LON
CORP
US
N
2
2028-12-15
Floating
4.76000000
N
N
N
N
N
N
HSBC SECURITIES (USA) INC
CYYGQCGNHMHPSMRL3R97
RRP FNMA 30YR U
000000000
-891703.72000000
PA
USD
-891703.72000000
-0.11936321277
Short
RA
CORP
US
N
2
Reverse repurchase
N
0.34000000
2022-04-13
891703.72000000
USD
891846.89000000
USD
AMBS
N
N
N
FRONTIER COMMUNICATIONS
N/A
Frontier Communications Holdings LLC
35906ABF4
671000.00000000
PA
USD
644160.00000000
0.086227079033
Long
DBT
CORP
US
N
2
2028-05-01
Fixed
5.00000000
N
N
N
N
N
N
PLATIN 1426 GMBH
213800NMYXIGFN77O655
Schenck Process Holding GmbH/Darmstadt
000000000
100000.00000000
PA
109242.16000000
0.014623125254
Long
DBT
CORP
DE
N
2
2023-06-15
Fixed
5.38000000
N
N
N
N
N
N
HSBC Holdings PLC
MLU0ZO3ML4LN2LL2TL39
HSBC Holdings PLC
404280BL2
435000.00000000
PA
USD
442612.50000000
0.059247986554
Long
DBT
CORP
GB
N
2
2027-05-22
Fixed
6.00000000
N
N
N
N
N
N
CREDIT SUISSE SECURITIES (USA) LLC
1V8Y6QCX6YMJ2OELII46
BRY0R5KR1 RRP RACKSPACE T
000000000
-27825.00000000
PA
USD
-27825.00000000
-0.00372464678
Short
RA
CORP
US
N
2
Reverse repurchase
N
-3.00000000
2049-12-31
27825.00000000
USD
27825.00000000
USD
CDS
N
N
N
METALLOINVEST FINANCE
635400ZS3HCCUYTNHA25
Metalloinvest Finance DAC
59126LAB4
216000.00000000
PA
USD
43200.00000000
0.005782740024
Long
DBT
CORP
IE
N
2
2028-10-22
Fixed
3.38000000
N
N
N
N
N
N
CENTENE CORP
549300Z7JJ4TQSQGT333
Centene Corp
15135BAX9
807000.00000000
PA
USD
712201.71000000
0.095335123472
Long
DBT
CORP
US
N
2
2031-03-01
Fixed
2.50000000
N
N
N
N
N
N
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
FSWP: USD 1.666500 17-AUG-2049
000000000
460000.00000000
OU
Notional Amount
USD
-8558.40000000
-0.00114562505
N/A
DIR
US
N
2
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
N/A
N/A
Y
2049-08-17
0.00000000
USD
-10638.46000000
USD
460000.00000000
USD
2080.06000000
N
N
N
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
SWP: OIS 1.729500 14-MAR-2027
000000000
560000.00000000
OU
Notional Amount
USD
-13133.63000000
-0.00175806407
N/A
DIR
US
N
2
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
N/A
N/A
Y
2027-03-15
1.92000000
USD
0.00000000
USD
560000.00000000
USD
-13135.55000000
N
N
N
International Paper Co
824LMFJDH41EY779Q875
International Paper Co
460146CH4
870000.00000000
PA
USD
1035841.69000000
0.138657481479
Long
DBT
CORP
US
N
2
2041-11-15
Fixed
6.00000000
N
N
N
N
N
N
Goldman Sachs Bank USA
KD3XUN7C6T14HNAYLU02
10Y RTR 1.415000 22-JUL-2024
000000000
3090000.00000000
NC
USD
78974.59000000
0.010571516724
N/A
DIR
US
N
2
Goldman Sachs Bank USA
KD3XUN7C6T14HNAYLU02
Call
Purchased
Goldman Sachs Bank USA
KD3XUN7C6T14HNAYLU02
GOLDMAN SACHS BANK USA
KD3XUN7C6T14HNAYLU02
IRS Swap
N/A
3090000.00000000
OU
Notional Amount
N/A
78974.59000000
0.01000000
DIR
US
N/A
N/A
2034-07-24
0.00000000
N/A
0.00000000
N/A
3090000.00000000
USD
1.00000000
1.41500000
USD
2024-07-22
XXXX
-6364.36000000
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Pool
3133B14X6
791142.40000000
PA
USD
760598.99000000
0.101813569956
Long
ABS-MBS
USGSE
US
N
2
2052-01-01
Fixed
2.50000000
N
N
N
N
N
N
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
FSWP: OIS 1.943500 12-AUG-2024
000000000
6015000.00000000
OU
Notional Amount
USD
86104.03000000
0.011525861587
N/A
DIR
US
N
2
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
N/A
N/A
Y
2024-08-12
4890.78000000
USD
0.00000000
USD
6015000.00000000
USD
81213.25000000
N
N
N
ROYAL CARIBBEAN CRUISES
K2NEH8QNVW44JIWK7Z55
Royal Caribbean Cruises Ltd
780153AZ5
82000.00000000
PA
USD
90106.52000000
0.012061633788
Long
DBT
CORP
LR
N
2
2025-06-01
Fixed
11.50000000
N
N
N
N
N
N
BAUSCH HEALTH COS INC
B3BS7ACMDUWISF18KY76
Bausch Health Cos Inc
071734AP2
91000.00000000
PA
USD
91576.94000000
0.012258463802
Long
DBT
CORP
CA
N
2
2027-02-01
Fixed
6.13000000
N
N
N
N
N
N
WALT DISNEY COMPANY/THE
549300GZKULIZ0WOW665
Walt Disney Co/The
254687DT0
385000.00000000
PA
USD
477757.68000000
0.063952510606
Long
DBT
CORP
US
N
2
2028-11-30
Fixed
7.63000000
N
N
N
N
N
N
UNITED AIR 2013-1 A PTT
N/A
United Airlines 2013-1 Class A Pass Through Trust
909319AA3
2512134.60000000
PA
USD
2508596.76000000
0.335800066889
Long
DBT
CORP
US
N
2
2025-08-15
Fixed
4.30000000
N
N
N
N
N
N
CROWN CASTLE INTL CORP
54930012H97VSM0I2R19
Crown Castle International Corp
22822VAN1
1000000.00000000
PA
USD
947518.82000000
0.126834606584
Long
DBT
US
N
2
2029-11-15
Fixed
3.10000000
N
N
N
N
N
N
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
SWP: OIS 1.389000 15-DEC-2051
000000000
260000.00000000
OU
Notional Amount
USD
-33910.57000000
-0.00453925949
N/A
DIR
US
N
2
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
N/A
N/A
Y
2051-12-15
0.00000000
USD
-27314.46000000
USD
260000.00000000
USD
-6596.11000000
N
N
N
HCA Inc
L3CJ6J7LJ2DX62FTXD46
HCA Inc
404119BV0
1090000.00000000
PA
USD
1229954.57000000
0.164641377786
Long
DBT
CORP
US
N
2
2047-06-15
Fixed
5.50000000
N
N
N
N
N
N
CHINA EVERGRANDE GROUP
549300CUF7B1LAB15T90
China Evergrande Group
000000000
250000.00000000
PA
USD
31250.00000000
0.004183116337
Long
DBT
CORP
KY
N
2
2024-01-22
Fixed
12.00000000
Y
Y
N
N
N
N
BANK NEGARA INDONESIA
549300HZ8J3MLVXQ8F85
Bank Negara Indonesia Persero Tbk PT
000000000
252000.00000000
PA
USD
239427.72000000
0.032049728227
Long
DBT
CORP
ID
N
2
2026-03-30
Fixed
3.75000000
N
N
N
N
N
N
SCIENCE APPLICATIONS INT
549300LZPNZIXQGZPZ48
Science Applications International Corp
808625AA5
63000.00000000
PA
USD
62076.42000000
0.008309532373
Long
DBT
CORP
US
N
2
2028-04-01
Fixed
4.88000000
N
N
N
N
N
N
Buttermilk Park CLO Ltd
N/A
Buttermilk Park CLO Ltd
124166AL3
250000.00000000
PA
USD
242449.73000000
0.032454253648
Long
ABS-CBDO
CORP
KY
N
2
2031-10-15
Floating
3.34000000
N
N
N
N
N
N
ARCONIC CORP
549300B4YFWH3U74B152
Arconic Corp
03966VAB3
87000.00000000
PA
USD
89001.00000000
0.011913649188
Long
DBT
CORP
US
N
2
2025-05-15
Fixed
6.00000000
N
N
N
N
N
N
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
FSWP: OIS 1.845000 01-FEB-2037
000000000
1000000.00000000
OU
Notional Amount
USD
-16228.48000000
-0.00217233983
N/A
DIR
US
N
2
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
N/A
N/A
Y
2037-02-02
0.00000000
USD
-14412.11000000
USD
1000000.00000000
USD
-1816.37000000
N
N
N
SUNAC CHINA HOLDINGS LTD
549300OLARYHDXP3WK18
Sunac China Holdings Ltd
000000000
400000.00000000
PA
USD
98000.00000000
0.013118252833
Long
DBT
CORP
KY
N
2
2025-01-10
Fixed
6.50000000
N
N
N
N
N
N
F-BRASILE SPA/F-BRASILE
N/A
F-Brasile SpA / F-Brasile US LLC
30191BAB7
200000.00000000
PA
USD
180000.00000000
0.024094750102
Long
DBT
CORP
IT
N
2
2026-08-15
Fixed
7.38000000
N
N
N
N
N
N
Bath & Body Works Inc
GR3KVMWVCR54YWQNXU90
Bath & Body Works Inc
501797AL8
215000.00000000
PA
USD
221450.00000000
0.029643235612
Long
DBT
CORP
US
N
2
2035-11-01
Fixed
6.88000000
N
N
N
N
N
N
AMERICAN AIRLINES/AADVAN
N/A
American Airlines Inc/AAdvantage Loyalty IP Ltd
00253XAB7
613058.00000000
PA
USD
610759.03000000
0.081756034448
Long
DBT
CORP
XX
N
2
2029-04-20
Fixed
5.75000000
N
N
N
N
N
N
KASIKORNBANK PCL HK
5493004COSQ54937AW41
Kasikornbank PCL/Hong Kong
000000000
600000.00000000
PA
USD
583612.50000000
0.078122207467
Long
DBT
CORP
TH
N
2
2025-10-14
Fixed
5.28000000
N
N
N
N
N
N
ENLINK MIDSTREAM PARTNER
88CPW63VL7KHJWS0NY83
EnLink Midstream Partners LP
29336UAC1
155000.00000000
PA
USD
133687.50000000
0.017895371690
Long
DBT
CORP
US
N
2
2044-04-01
Fixed
5.60000000
N
N
N
N
N
N
LIMA METRO LINE 2 FIN LT
5493009BVQNQT1UKQ352
Lima Metro Line 2 Finance Ltd
532522AA7
2468374.88000000
PA
USD
2643938.04000000
0.353916813112
Long
DBT
CORP
KY
N
2
2034-07-05
Fixed
5.88000000
N
N
N
N
N
N
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
FSWP: OIS 1.462000 06-SEP-2024
000000000
2995000.00000000
OU
Notional Amount
USD
-68070.02000000
-0.00911183400
N/A
DIR
US
N
2
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
N/A
N/A
Y
2024-09-06
0.00000000
USD
-27422.05000000
USD
2995000.00000000
USD
-40647.97000000
N
N
N
GFL ENVIRONMENTAL INC
549300FYK4MBXWIVZU26
GFL Environmental Inc
36168QAP9
68000.00000000
PA
USD
62815.00000000
0.008408398487
Long
DBT
CORP
CA
N
2
2029-08-15
Fixed
4.38000000
N
N
N
N
N
N
OP SERVICIOS MEGA
4469000001BP4DCM0P31
Operadora de Servicios Mega SA de CV Sofom ER
68373NAA3
200000.00000000
PA
USD
149287.50000000
0.019983583366
Long
DBT
CORP
MX
N
2
2025-02-11
Fixed
8.25000000
N
N
N
N
N
N
ATLAS LUXCO 4 / ALL UNI
N/A
Allied Universal Holdco LLC/Allied Universal Finance Corp/Atlas Luxco 4 Sarl
049362AA4
670000.00000000
PA
USD
626249.00000000
0.083829517538
Long
DBT
CORP
XX
N
2
2028-06-01
Fixed
4.63000000
N
N
N
N
N
N
VEDANTA RESOURCES
8945002DGA3BBXO3N634
Vedanta Resources Finance II PLC
000000000
200000.00000000
PA
USD
194000.00000000
0.025968786221
Long
DBT
CORP
GB
N
2
2025-03-11
Fixed
8.95000000
N
N
N
N
N
N
COUNTRY GARDEN HLDGS
549300MGHLPT1EFHGF84
Country Garden Holdings Co Ltd
000000000
200000.00000000
PA
USD
153000.00000000
0.020480537587
Long
DBT
CORP
KY
N
2
2025-09-17
Fixed
6.15000000
N
N
N
N
N
N
PERFORMANCE FOOD GROUP I
549300OMUOGBYK0FFO76
Performance Food Group Inc
71376LAE0
212000.00000000
PA
USD
193185.00000000
0.025859690547
Long
DBT
CORP
US
N
2
2029-08-01
Fixed
4.25000000
N
N
N
N
N
N
HSBC SECURITIES (USA) INC
CYYGQCGNHMHPSMRL3R97
RRP FNMA 30YR U
000000000
-1422738.35000000
PA
USD
-1422738.35000000
-0.19044736113
Short
RA
CORP
US
N
2
Reverse repurchase
N
0.34000000
2022-04-13
1422738.35000000
USD
1422966.78000000
USD
AMBS
N
N
N
HOME POINT CAPITAL INC
549300DQF6YN0E43PM71
Home Point Capital Inc
43734LAA4
126000.00000000
PA
USD
103233.06000000
0.013818748794
Long
DBT
CORP
US
N
2
2026-02-01
Fixed
5.00000000
N
N
N
N
N
N
TENET HEALTHCARE CORP
0W9AIBT6U6ADJ2I8HK17
Tenet Healthcare Corp
88033GDC1
98000.00000000
PA
USD
98670.81000000
0.013208047274
Long
DBT
CORP
US
N
2
2024-09-01
Fixed
4.63000000
N
N
N
N
N
N
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
SWP: OIS 1.810500 14-MAR-2032
000000000
1060000.00000000
OU
Notional Amount
USD
28154.13000000
0.003768704037
N/A
DIR
US
N
2
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
N/A
N/A
Y
2032-03-15
0.00000000
USD
-6.50000000
USD
1060000.00000000
USD
28160.63000000
N
N
N
Republic of Paraguay
529900UXKJTJPCU0HK83
Paraguay Government International Bond
699149AH3
200000.00000000
PA
USD
201162.50000000
0.026927556486
Long
DBT
NUSS
PY
N
2
2050-03-30
Fixed
5.40000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140MDMT2
1232931.53000000
PA
USD
1184561.62000000
0.158565090082
Long
ABS-MBS
USGSE
US
N
2
2052-01-01
Fixed
2.50000000
N
N
N
N
N
N
Mariner Finance Issuance Trust
N/A
Mariner Finance Issuance Trust 2021-A
56848DAD1
180000.00000000
PA
USD
164993.74000000
0.022086016298
Long
ABS-O
CORP
US
N
2
2036-03-20
Fixed
3.83000000
N
N
N
N
N
N
AIR CANADA
4B4HI3CGXMBDC0G6BM51
Air Canada 2021 Term Loan B
000000000
237000.00000000
PA
USD
234530.46000000
0.031394182361
Long
LON
CORP
CA
N
2
2028-08-11
Floating
4.25000000
N
N
N
N
N
N
WESTERN MIDSTREAM OPERAT
L6D8A6MLSY454J2JXJ60
Western Midstream Operating LP
958254AJ3
79000.00000000
PA
USD
78210.00000000
0.010469168919
Long
DBT
CORP
US
N
2
2048-03-01
Fixed
5.30000000
N
N
N
N
N
N
WYNN LAS VEGAS LLC/CORP
N/A
Wynn Las Vegas LLC / Wynn Las Vegas Capital Corp
983130AX3
125000.00000000
PA
USD
120937.50000000
0.016188660225
Long
DBT
CORP
US
N
2
2027-05-15
Fixed
5.25000000
N
N
N
N
N
N
CLARIV SCI HLD CORP
N/A
Clarivate Science Holdings Corp
18064PAD1
372000.00000000
PA
USD
349981.32000000
0.046848402477
Long
DBT
CORP
US
N
2
2029-07-01
Fixed
4.88000000
N
N
N
N
N
N
Marble Point CLO LTD
2549003LUS5LG1CTZP23
Marble Point CLO XVII Ltd
56606CAG8
250000.00000000
PA
USD
241231.15000000
0.032291134867
Long
ABS-CBDO
CORP
KY
N
2
2033-04-20
Floating
4.00000000
N
N
N
N
N
N
ENERGIZER HOLDINGS INC
5493000D6NN0V57UME20
Energizer Holdings Inc
29272WAC3
57000.00000000
PA
USD
51771.68000000
0.006930142733
Long
DBT
CORP
US
N
2
2028-06-15
Fixed
4.75000000
N
N
N
N
N
N
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
SWP: USD 1.429000 21-SEP-2031
000000000
2705000.00000000
OU
Notional Amount
USD
-90766.39000000
-0.01214996380
N/A
DIR
US
N
2
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
N/A
N/A
Y
2031-09-22
0.00000000
USD
-159274.85000000
USD
2705000.00000000
USD
68508.46000000
N
N
N
CANTOR FITZGERALD & CO
5493004J7H4GCPG6OB62
RRP FGOLD 15YR
000000000
-2144461.71000000
PA
USD
-2144461.71000000
-0.28705705003
Short
RA
CORP
US
N
2
Reverse repurchase
N
0.37000000
2022-05-12
2144461.71000000
USD
2144836.40000000
USD
AMBS
N
N
N
Cydsa SAB de CV
4469000001BNTACN9916
Cydsa SAB de CV
232553AA5
319000.00000000
PA
USD
304645.00000000
0.040779695249
Long
DBT
CORP
MX
N
2
2027-10-04
Fixed
6.25000000
N
N
N
N
N
N
STONEGATE PUB FIN
254900L5266ML3505282
Stonegate Pub Co Financing 2019 PLC
000000000
100000.00000000
PA
133663.85000000
0.017892205908
Long
DBT
CORP
GB
N
2
2025-07-31
Fixed
8.25000000
N
N
N
N
N
N
OCCIDENTAL PETROLEUM COR
IM7X0T3ECJW4C1T7ON55
Occidental Petroleum Corp
674599DB8
43000.00000000
PA
USD
46171.25000000
0.006180470725
Long
DBT
CORP
US
N
2
2024-07-01
Fixed
6.95000000
N
N
N
N
N
N
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
FSWP: OIS 1.418000 06-SEP-2024
000000000
5980000.00000000
OU
Notional Amount
USD
-141031.18000000
-0.01887839465
N/A
DIR
US
N
2
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
N/A
N/A
Y
2024-09-06
0.00000000
USD
-59926.18000000
USD
5980000.00000000
USD
-81105.00000000
N
N
N
Nordea Bank Abp
529900ODI3047E2LIV03
Nordea Bank Abp
65557CAN3
2960000.00000000
PA
USD
3066885.60000000
0.410532456249
Long
DBT
CORP
FI
N
2
2024-09-23
Fixed
6.13000000
N
N
N
N
N
N
Grab Holdings Inc
N/A
Grab Holdings Inc Term Loan B
000000000
108900.00000000
PA
USD
106177.50000000
0.014212890716
Long
LON
CORP
SG
N
2
2026-01-29
Floating
5.50000000
N
N
N
N
N
N
REPUBLIC OF PERU
254900STKLK2DBJJZ530
Peruvian Government International Bond
715638DU3
106000.00000000
PA
USD
99322.00000000
0.013295215387
Long
DBT
NUSS
PE
N
2
2034-01-15
Fixed
3.00000000
N
N
N
N
N
N
SIRIUS XM RADIO INC
WP5O65E6BMU84LNO4227
Sirius XM Radio Inc
82967NBL1
331000.00000000
PA
USD
312951.56000000
0.041891609068
Long
DBT
CORP
US
N
2
2026-09-01
Fixed
3.13000000
N
N
N
N
N
N
CONSENSUS CLOUD SOLUTION
N/A
Consensus Cloud Solutions Inc
20848VAA3
48000.00000000
PA
USD
47640.00000000
0.006377077193
Long
DBT
CORP
US
N
2
2026-10-15
Fixed
6.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae REMICS
31358UB54
374.90000000
PA
USD
371.41000000
0.000049716839
Long
ABS-MBS
USGSE
US
N
2
2023-02-25
None
0.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140MBA69
688343.24000000
PA
USD
661766.73000000
0.088583911030
Long
ABS-MBS
USGSE
US
N
2
2051-12-01
Fixed
2.50000000
N
N
N
N
N
N
State of New Jersey
N/A
NEW JERSEY ST
646039YQ4
190000.00000000
PA
USD
206629.37000000
0.027659350188
Long
DBT
MUN
US
N
2
2031-06-01
Fixed
4.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140LT3P7
1868969.85000000
PA
USD
1795650.37000000
0.240365260758
Long
ABS-MBS
USGSE
US
N
2
2052-01-01
Fixed
2.50000000
N
N
N
N
N
N
FEDERAL HOME LOAN BANK
2549001DPIFGXC1TOL40
Federal Home Loan Banks
3133X8L34
4025000.00000000
PA
USD
4298294.48000000
0.575368507568
Long
DBT
USGSE
US
N
2
2024-09-09
Fixed
5.37000000
N
N
N
N
N
N
Matador Resources Co
549300CI3Q2UUK5R4G79
Matador Resources Co
576485AE6
830000.00000000
PA
USD
845189.00000000
0.113136765246
Long
DBT
CORP
US
N
2
2026-09-15
Fixed
5.88000000
N
N
N
N
N
N
ENBRIDGE INC
98TPTUM4IVMFCZBCUR27
Enbridge Inc
29250NBC8
950000.00000000
PA
USD
983250.00000000
0.131617572434
Long
DBT
CORP
CA
N
2
2080-07-15
Fixed
5.75000000
N
N
N
N
N
N
ZHENRO PROPERTIES GROUP
549300I66TVJEL841P38
Zhenro Properties Group Ltd
000000000
288000.00000000
PA
USD
31680.00000000
0.004240676018
Long
DBT
CORP
KY
N
2
2024-03-10
Fixed
8.35000000
N
N
N
N
N
N
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
SWP: OIS 1.809500 14-MAR-2032
000000000
605000.00000000
OU
Notional Amount
USD
16123.76000000
0.002158322043
N/A
DIR
US
N
2
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
N/A
N/A
Y
2032-03-15
0.00000000
USD
-3.71000000
USD
605000.00000000
USD
16127.47000000
N
N
N
Barclays PLC
213800LBQA1Y9L22JB70
Barclays PLC
06738EAE5
4320000.00000000
PA
USD
4327997.83000000
0.579344589765
Long
DBT
CORP
GB
N
2
2025-03-16
Fixed
3.65000000
N
N
N
N
N
N
BLACK KNIGHT INFOSERV LL
549300H5PS5C68DAUX66
Black Knight InfoServ LLC
092174AA9
255000.00000000
PA
USD
241663.50000000
0.032349009118
Long
DBT
CORP
US
N
2
2028-09-01
Fixed
3.63000000
N
N
N
N
N
N
RHP HOTEL PPTY/RHP FINAN
N/A
RHP Hotel Properties LP / RHP Finance Corp
749571AG0
4000.00000000
PA
USD
3760.00000000
0.000503312557
Long
DBT
US
N
2
2029-02-15
Fixed
4.50000000
N
N
N
N
N
N
AMC NETWORKS INC
549300VGG9K75226LR46
AMC Networks Inc
00164VAF0
83000.00000000
PA
USD
77455.19000000
0.010368130262
Long
DBT
CORP
US
N
2
2029-02-15
Fixed
4.25000000
N
N
N
N
N
N
FORD MOTOR COMPANY
20S05OYHG0MQM4VUIC57
Ford Motor Co
345370DA5
420000.00000000
PA
USD
375114.60000000
0.050212736371
Long
DBT
CORP
US
N
2
2032-02-12
Fixed
3.25000000
N
N
N
N
N
N
TD SECURITIES (USA) LLC
SUVUFHICNZMP2WKHG940
BRY09FXY0 RRP VOYA FINANC
000000000
-4359375.00000000
PA
USD
-4359375.00000000
-0.58354472904
Short
RA
CORP
US
N
2
Reverse repurchase
N
0.50000000
2049-12-31
4359375.00000000
USD
4360162.11000000
USD
CDS
N
N
N
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
FSWP: OIS 2.445000 07-SEP-2024
000000000
2955000.00000000
OU
Notional Amount
USD
10727.44000000
0.001435972144
N/A
DIR
US
N
2
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
N/A
N/A
Y
2024-09-09
0.00000000
USD
-13.08000000
USD
2955000.00000000
USD
10740.52000000
N
N
N
SRS DISTRIBUTION INC
549300ZQ3XP75BCYM468
SRS Distribution Inc
78471RAC0
265000.00000000
PA
USD
244462.50000000
0.032723682482
Long
DBT
CORP
US
N
2
2029-07-01
Fixed
6.13000000
N
N
N
N
N
N
AMC ENTERTAINMENT HLDGS
549300ZO77UNR6NRBR11
AMC Entertainment Holdings Inc
00165CBA1
156000.00000000
PA
USD
151593.78000000
0.020292301367
Long
DBT
CORP
US
N
2
2029-02-15
Fixed
7.50000000
N
N
N
N
N
N
ECOPETROL SA
254900IDGKCJICKBPA66
Ecopetrol SA
279158AP4
130000.00000000
PA
USD
117650.00000000
0.015748596386
Long
DBT
CORP
CO
N
2
2031-11-02
Fixed
4.63000000
N
N
N
N
N
N
PLAYTIKA HOLDING CORP
254900E35Z4TKA4UFG64
Playtika Holding Corp
72815LAA5
306000.00000000
PA
USD
282285.00000000
0.037786591848
Long
DBT
CORP
US
N
2
2029-03-15
Fixed
4.25000000
N
N
N
N
N
N
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
FSWP: OIS 1.860000 17-JAN-2039
000000000
3260000.00000000
OU
Notional Amount
USD
-55833.95000000
-0.00747391706
N/A
DIR
US
N
2
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
N/A
N/A
Y
2039-01-18
0.00000000
USD
-51516.89000000
USD
3260000.00000000
USD
-4317.06000000
N
N
N
Buckeye Partners LP
549300C1PQJLVEIUBK50
Buckeye Partners LP
118230AP6
119000.00000000
PA
USD
99756.51000000
0.013353378775
Long
DBT
CORP
US
N
2
2044-10-15
Fixed
5.60000000
N
N
N
N
N
N
MOLINA HEALTHCARE INC
549300NQQCEQ46YHZ591
Molina Healthcare Inc
60855RAJ9
123000.00000000
PA
USD
121723.26000000
0.016293841840
Long
DBT
CORP
US
N
2
2028-06-15
Fixed
4.38000000
N
N
N
N
N
N
OCCIDENTAL PETROLEUM COR
IM7X0T3ECJW4C1T7ON55
Occidental Petroleum Corp
674599CJ2
25000.00000000
PA
USD
23750.00000000
0.003179168416
Long
DBT
CORP
US
N
2
2046-04-15
Fixed
4.40000000
N
N
N
N
N
N
BUCKEYE PARTNERS LP
549300C1PQJLVEIUBK50
Buckeye Partners LP
118230AT8
179000.00000000
PA
USD
176528.01000000
0.023629990483
Long
DBT
CORP
US
N
2
2025-03-01
Fixed
4.13000000
N
N
N
N
N
N
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
FSWP: OIS 1.815000 15-NOV-2031
000000000
7510000.00000000
OU
Notional Amount
USD
-219488.99000000
-0.02938073535
N/A
DIR
US
N
2
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
N/A
N/A
Y
2031-11-17
0.00000000
USD
-39369.53000000
USD
7510000.00000000
USD
-180119.46000000
N
N
N
GSR Mortgage Loan Trust
N/A
GSR Mortgage Loan Trust 2007-4F
362669AK9
84760.46000000
PA
USD
69661.80000000
0.009324909237
Long
ABS-MBS
CORP
US
N
2
2037-07-25
Fixed
6.00000000
N
N
N
N
N
N
CLEARWAY ENERGY OP LLC
549300Z3NFMM54NWBB87
Clearway Energy Operating LLC
18539UAC9
84000.00000000
PA
USD
84363.72000000
0.011292904172
Long
DBT
CORP
US
N
2
2028-03-15
Fixed
4.75000000
N
N
N
N
N
N
Palmer Square Loan Funding Ltd
N/A
Palmer Square Loan Funding 2019-4 Ltd
69689HAG0
250000.00000000
PA
USD
249750.63000000
0.033431550098
Long
ABS-CBDO
CORP
KY
N
2
2027-10-24
Floating
3.51000000
N
N
N
N
N
N
Freddie Mac
N/A
Freddie Mac Gold Pool
3128MMXN8
2156148.96000000
PA
USD
2179575.15000000
0.291757325382
Long
ABS-MBS
USGSE
US
N
2
2033-04-01
Fixed
3.00000000
N
N
N
N
N
N
TENET HEALTHCARE CORP
0W9AIBT6U6ADJ2I8HK17
Tenet Healthcare Corp
88033GDA5
350000.00000000
PA
USD
351646.75000000
0.047071336475
Long
DBT
CORP
US
N
2
2027-11-01
Fixed
5.13000000
N
N
N
N
N
N
Starwood Mortgage Residential Trust
N/A
Starwood Mortgage Residential Trust 2020-3
85573MAD1
2000000.00000000
PA
USD
1955938.40000000
0.261821372021
Long
ABS-MBS
CORP
US
N
2
2065-04-25
Variable
3.54000000
N
N
N
N
N
N
US BANCORP
N1GZ7BBF3NP8GI976H15
US Bancorp
902973BC9
1900000.00000000
PA
USD
1719500.00000000
0.230171793339
Long
DBT
CORP
US
N
2
2027-01-15
Fixed
3.70000000
N
N
N
N
N
N
SOTHEBY'S
549300P5BAAMQQ7VL735
Sotheby's
835898AH0
265000.00000000
PA
USD
271383.85000000
0.036327366931
Long
DBT
CORP
US
N
2
2027-10-15
Fixed
7.38000000
N
N
N
N
N
N
PENN NATIONAL GA
N/A
Penn National Gaming Inc
707569AV1
50000.00000000
PA
USD
44760.00000000
0.005991561192
Long
DBT
CORP
US
N
2
2029-07-01
Fixed
4.13000000
N
N
N
N
N
N
SUNOCO LP/FINANCE CORP
54930001NJU8E40NQ561
Sunoco LP / Sunoco Finance Corp
86765LAN7
4000.00000000
PA
USD
4040.00000000
0.000540793280
Long
DBT
CORP
US
N
2
2028-03-15
Fixed
5.88000000
N
N
N
N
N
N
REPUBLIC OF GUATEMALA
529900QKDFFU9UWW5315
Guatemala Government Bond
401494AU3
200000.00000000
PA
USD
185662.50000000
0.024852730782
Long
DBT
NUSS
GT
N
2
2041-10-07
Fixed
4.65000000
N
N
N
N
N
N
AON GLOBAL LTD
635400FALWQYX5E6QC64
Aon Global Ltd
00185AAK0
1445000.00000000
PA
USD
1475381.18000000
0.197494115766
Long
DBT
CORP
GB
N
2
2025-12-15
Fixed
3.88000000
N
N
N
N
N
N
CHINA SCE GRP HLDGS LTD
549300Q8UEI2ERAP6P49
China SCE Group Holdings Ltd
000000000
288000.00000000
PA
USD
181440.00000000
0.024287508103
Long
DBT
CORP
KY
N
2
2024-09-29
Fixed
5.95000000
N
N
N
N
N
N
LOGAN GROUP CO LTD
549300NJ0E6Q0S1VOG90
Logan Group Co Ltd
000000000
328000.00000000
PA
USD
65600.00000000
0.008781197815
Long
DBT
CORP
KY
N
2
2028-01-13
Fixed
4.50000000
N
N
N
N
N
N
ARCOSA INC
549300WFHLTCZV7D6V29
Arcosa Inc
039653AA8
238000.00000000
PA
USD
225802.50000000
0.030225860055
Long
DBT
CORP
US
N
2
2029-04-15
Fixed
4.38000000
N
N
N
N
N
N
Dryden Senior Loan Fund
N/A
Dryden 78 CLO Ltd
26253LAG7
250000.00000000
PA
USD
246640.55000000
0.033015235652
Long
ABS-CBDO
CORP
KY
N
2
2033-04-17
Floating
3.24000000
N
N
N
N
N
N
Anthem Inc
8MYN82XMYQH89CTMTH67
Anthem Inc
036752AD5
1000000.00000000
PA
USD
1070831.67000000
0.143341230502
Long
DBT
CORP
US
N
2
2047-12-01
Fixed
4.38000000
N
N
N
N
N
N
Grinding Media Inc.
254900IYFJ03EGFQ8C34
Grinding Media Inc. 2021 Term Loan B
39854KAB6
63840.00000000
PA
USD
63121.80000000
0.008449466650
Long
LON
CORP
US
N
2
2028-10-12
Floating
4.80000000
N
N
N
N
N
N
Voya CLO Ltd
N/A
Voya CLO 2018-2 Ltd
92917JAC1
1000000.00000000
PA
USD
989763.60000000
0.132489481125
Long
ABS-CBDO
CORP
KY
N
2
2031-07-15
Floating
1.49000000
N
N
N
N
N
N
STATION CASINOS LLC
5493004E7Q60TX54WL62
Station Casinos LLC
857691AH2
187000.00000000
PA
USD
171048.90000000
0.022896558337
Long
DBT
CORP
US
N
2
2031-12-01
Fixed
4.63000000
N
N
N
N
N
N
TRANSDIGM INC
88Q84GB3X55CF5OC7582
TransDigm Inc
893647BK2
130000.00000000
PA
USD
135951.40000000
0.018198416717
Long
DBT
CORP
US
N
2
2025-12-15
Fixed
8.00000000
N
N
N
N
N
N
AON GLOBAL LTD
VVT2B79I2Z4U3R6BY589
Aon Global Ltd
00185AAG9
500000.00000000
PA
USD
524456.47000000
0.070203597690
Long
DBT
CORP
GB
N
2
2044-06-14
Fixed
4.60000000
N
N
N
N
N
N
Renaissance Holding Corp.
549300UKKEC0Y6TXNF09
Renaissance Holding Corp. 2018 1st Lien Term Loan
75972JAB0
9447.55000000
PA
USD
9323.60000000
0.001248054511
Long
LON
CORP
US
N
2
2025-05-30
Floating
3.71000000
N
N
N
N
N
N
YUZHOU GROUP
213800MP59KHGJSPHE82
Yuzhou Group Holdings Co Ltd
000000000
200000.00000000
PA
USD
26100.00000000
0.003493738764
Long
DBT
CORP
KY
N
2
2026-01-13
Fixed
7.38000000
N
N
N
N
N
N
REPUBLIC OF GUATEMALA
529900QKDFFU9UWW5315
Guatemala Government Bond
401494AS8
200000.00000000
PA
USD
209162.50000000
0.027998434268
Long
DBT
NUSS
GT
N
2
2032-04-24
Fixed
5.38000000
N
N
N
N
N
N
VICI PROPERTIES / NOTE
N/A
VICI Properties LP / VICI Note Co Inc
92564RAE5
366000.00000000
PA
USD
353321.76000000
0.047295552849
Long
DBT
US
N
2
2030-08-15
Fixed
4.13000000
N
N
N
N
N
N
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
FSWP: OIS 1.830000 15-NOV-2048
000000000
1720000.00000000
OU
Notional Amount
USD
25529.71000000
0.003417399903
N/A
DIR
US
N
2
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
N/A
N/A
Y
2048-11-16
0.00000000
USD
-25396.92000000
USD
1720000.00000000
USD
50926.63000000
N
N
N
CCO HLDGS LLC/CAP CORP
N/A
CCO Holdings LLC / CCO Holdings Capital Corp
1248EPCE1
340000.00000000
PA
USD
319019.45000000
0.042703855142
Long
DBT
CORP
US
N
2
2030-08-15
Fixed
4.50000000
N
N
N
N
N
N
HSBC SECURITIES (USA) INC
CYYGQCGNHMHPSMRL3R97
RRP FHLMC 30YR
000000000
-1131565.87000000
PA
USD
-1131565.87000000
-0.15147109367
Short
RA
CORP
US
N
2
Reverse repurchase
N
0.34000000
2022-04-13
1131565.87000000
USD
1131747.55000000
USD
AMBS
N
N
N
KONTOOR BRANDS INC
549300M0CPXV65RFF271
Kontoor Brands Inc
50050NAA1
67000.00000000
PA
USD
61305.00000000
0.008206270305
Long
DBT
CORP
US
N
2
2029-11-15
Fixed
4.13000000
N
N
N
N
N
N
Duke Energy Florida LLC
7MOHLM3DKE63RX2ZCN83
Duke Energy Florida LLC
341099CH0
2775000.00000000
PA
USD
3549842.16000000
0.475180887490
Long
DBT
CORP
US
N
2
2037-09-15
Fixed
6.35000000
N
N
N
N
N
N
API GROUP DE INC
549300XP4G7B4QYA0G83
APi Group DE Inc
001877AA7
89000.00000000
PA
USD
82022.40000000
0.010979495726
Long
DBT
CORP
US
N
2
2029-07-15
Fixed
4.13000000
N
N
N
N
N
N
Navient Corp
54930067J0ZNOEBRW338
Navient Corp
78442FET1
51000.00000000
PA
USD
51892.50000000
0.006946315664
Long
DBT
CORP
US
N
2
2024-03-25
Fixed
6.13000000
N
N
N
N
N
N
DCP MIDSTREAM OPERATING
549300Y6CTBSE0QIPL28
DCP Midstream Operating LP
23311RAA4
185000.00000000
PA
USD
216912.50000000
0.029035847119
Long
DBT
CORP
US
N
2
2037-09-15
Fixed
6.75000000
N
N
N
N
N
N
Verus Securitization Trust
N/A
Verus Securitization Trust 2022-3
92538UAA9
988000.00000000
PA
USD
986610.63000000
0.132067425434
Long
ABS-MBS
CORP
US
N
2
2067-02-25
Fixed
4.13000000
N
N
N
N
N
N
SIMMONS FOOD INC/SIMMONS
N/A
Simmons Foods Inc/Simmons Prepared Foods Inc/Simmons Pet Food Inc/Simmons Feed
82873MAA1
177000.00000000
PA
USD
165937.50000000
0.022212347750
Long
DBT
CORP
US
N
2
2029-03-01
Fixed
4.63000000
N
N
N
N
N
N
WESTERN MIDSTREAM OPERAT
L6D8A6MLSY454J2JXJ60
Western Midstream Operating LP
958254AD6
229000.00000000
PA
USD
232151.04000000
0.031075673860
Long
DBT
CORP
US
N
2
2044-04-01
Fixed
5.45000000
N
N
N
N
N
N
ZHENRO PROPERTIES GROUP
549300I66TVJEL841P38
Zhenro Properties Group Ltd
000000000
200000.00000000
PA
USD
22000.00000000
0.002944913901
Long
DBT
CORP
KY
N
2
2024-04-14
Fixed
7.88000000
N
N
N
N
N
N
DEUTSCHE BANK AG
7LTWFZYICNSX8D621K86
10Y RTP 2.130000 15-FEB-2023
000000000
4030000.00000000
NC
USD
146643.16000000
0.019629612746
N/A
DIR
LU
N
2
DEUTSCHE BANK AG
7LTWFZYICNSX8D621K86
Put
Purchased
DEUTSCHE BANK AG
7LTWFZYICNSX8D621K86
DEUTSCHE BANK AG
7LTWFZYICNSX8D621K86
IRS Swap
N/A
4030000.00000000
OU
Notional Amount
N/A
146643.16000000
0.02000000
DIR
LU
N/A
N/A
2033-02-17
0.00000000
N/A
0.00000000
N/A
4030000.00000000
USD
1.00000000
2.13000000
USD
2023-02-15
XXXX
31890.41000000
N
N
N
AT&T INC
549300Z40J86GGSTL398
AT&T Inc
00206RKA9
350000.00000000
PA
USD
318490.88000000
0.042633100908
Long
DBT
CORP
US
N
2
2051-06-01
Fixed
3.65000000
N
N
N
N
N
N
JP MORGAN CHASE BANK
7H6GLXDRUGQFU57RNE97
10Y RTP 1.421000 15-DEC-2022
000000000
-4337000.00000000
NC
USD
-331381.06000000
-0.04435857682
N/A
DIR
US
N
2
JP MORGAN CHASE BANK
7H6GLXDRUGQFU57RNE97
Put
Written
JPMorgan International Bank Ltd.
PGBWEZU4QUV2UVGWJC76
JPMorgan International Bank Ltd.
PGBWEZU4QUV2UVGWJC76
IRS Swap
N/A
4337000.00000000
OU
Notional Amount
N/A
-331381.06000000
-0.04000000
DIR
US
N/A
N/A
2032-12-17
0.00000000
N/A
0.00000000
N/A
4337000.00000000
USD
1.00000000
1.42100000
USD
2022-12-15
XXXX
-209511.36000000
N
N
N
KEN GARFF AUTOMOTIVE LLC
N/A
Ken Garff Automotive LLC
48850PAA2
82000.00000000
PA
USD
77080.00000000
0.010317907432
Long
DBT
CORP
US
N
2
2028-09-15
Fixed
4.88000000
N
N
N
N
N
N
ENLINK MIDSTREAM PARTNER
88CPW63VL7KHJWS0NY83
EnLink Midstream Partners LP
29336UAF4
67000.00000000
PA
USD
67000.00000000
0.008968601427
Long
DBT
CORP
US
N
2
2026-07-15
Fixed
4.85000000
N
N
N
N
N
N
Prudential Financial Inc
5PRBRS5FEH7NREC8OR45
Prudential Financial Inc
74432QAQ8
1625000.00000000
PA
USD
1935185.93000000
0.259043452139
Long
DBT
CORP
US
N
2
2036-12-14
Fixed
5.70000000
N
N
N
N
N
N
SABLE INTL FINANCE LTD
2138009IE9A35LO5JS73
Sable International Finance Ltd
785712AG5
200000.00000000
PA
USD
201390.00000000
0.026958009572
Long
DBT
CORP
KY
N
2
2027-09-07
Fixed
5.75000000
N
N
N
N
N
N
SCENERY JOURNEY LTD
549300Q2FGQXKG7X0I83
Scenery Journey Ltd
000000000
419000.00000000
PA
USD
37710.00000000
0.005047850146
Long
DBT
CORP
VG
N
2
2022-10-24
Fixed
11.50000000
Y
Y
N
N
N
N
GOODYEAR TIRE & RUBBER
5493002BI0S2ZQUY3437
Goodyear Tire & Rubber Co/The
382550BP5
107000.00000000
PA
USD
98942.90000000
0.013244469166
Long
DBT
CORP
US
N
2
2031-07-15
Fixed
5.25000000
N
N
N
N
N
N
CALLON PETROLEUM CO
549300EFOWPEB0WLZW21
Callon Petroleum Co
13123XBB7
687000.00000000
PA
USD
728220.00000000
0.097479327331
Long
DBT
CORP
US
N
2
2025-04-01
Fixed
9.00000000
N
N
N
N
N
N
RADIATE HOLDCO / FINANCE
N/A
Radiate Holdco LLC / Radiate Finance Inc
75026JAE0
1089000.00000000
PA
USD
1029785.63000000
0.137846818966
Long
DBT
CORP
US
N
2
2028-09-15
Fixed
6.50000000
N
N
N
N
N
N
DEUTSCHE BANK AG
7LTWFZYICNSX8D621K86
2Y RTP 1.750000 10-JAN-2023
000000000
-20035000.00000000
NC
USD
-430588.21000000
-0.05763841842
N/A
DIR
US
N
2
DEUTSCHE BANK AG
7LTWFZYICNSX8D621K86
Put
Written
DEUTSCHE BANK AG
7LTWFZYICNSX8D621K86
DEUTSCHE BANK AG
7LTWFZYICNSX8D621K86
IRS Swap
N/A
20035000.00000000
OU
Notional Amount
N/A
-430588.21000000
-0.06000000
DIR
US
N/A
N/A
2025-01-10
0.00000000
N/A
0.00000000
N/A
20035000.00000000
USD
1.00000000
1.75000000
USD
2023-01-10
XXXX
-351950.83000000
N
N
N
CTR PARTNERSHIP/CARETRST
N/A
CTR Partnership LP / CareTrust Capital Corp
126458AE8
110000.00000000
PA
USD
103699.20000000
0.013881146165
Long
DBT
US
N
2
2028-06-30
Fixed
3.88000000
N
N
N
N
N
N
Verscend Escrow Corp
N/A
Verscend Escrow Corp
92535WAA8
1279000.00000000
PA
USD
1330160.00000000
0.178054848868
Long
DBT
CORP
US
N
2
2026-08-15
Fixed
9.75000000
N
N
N
N
N
N
Mauser Packaging Solut
549300DNGHXL0OMHW304
Mauser Packaging Solutions Holding Co
12429TAD6
431000.00000000
PA
USD
429287.85000000
0.057464352598
Long
DBT
CORP
US
N
2
2024-04-15
Fixed
5.50000000
N
N
N
N
N
N
ILIAD HOLDING SAS
9695009PXA7OI9NXN582
Iliad Holding SASU
449691AC8
402000.00000000
PA
USD
402594.96000000
0.053891249742
Long
DBT
CORP
FR
N
2
2028-10-15
Fixed
7.00000000
N
N
N
N
N
N
ENTERPRISE PRODUCTS OPER
5493004LGN656HWLDA30
Enterprise Products Operating LLC
29379VAG8
1400000.00000000
PA
USD
1687680.74000000
0.225912476016
Long
DBT
CORP
US
N
2
2039-10-15
Fixed
6.13000000
N
N
N
N
N
N
Staples Inc
XQM2JINI1UL7642TU573
Staples Inc
855030AP7
118000.00000000
PA
USD
105020.00000000
0.014057948087
Long
DBT
CORP
US
N
2
2027-04-15
Fixed
10.75000000
N
N
N
N
N
N
Dryden Senior Loan Fund
549300K4FV16ICO2FF98
Dryden XXVIII Senior Loan Fund
26251BAS5
1000000.00000000
PA
USD
996903.60000000
0.133445239545
Long
ABS-CBDO
CORP
KY
N
2
2030-08-15
Floating
3.66000000
N
N
N
N
N
N
MORGAN STANLEY & CO. INTERNATIONAL
4PQUHN3JPFGFNF3BB653
SWAPTION JUN24 2.5 PUT
000000000
3950000.00000000
NC
USD
171868.57000000
0.023006279136
N/A
DIR
US
N
2
MORGAN STANLEY & CO. INTERNATIONAL
4PQUHN3JPFGFNF3BB653
Put
Purchased
MORGAN STANLEY & CO. INTERNATIONAL
4PQUHN3JPFGFNF3BB653
MORGAN STANLEY & CO. INTERNATIONAL
4PQUHN3JPFGFNF3BB653
IRS Swap
N/A
3950000.00000000
OU
Notional Amount
N/A
171868.57000000
0.02000000
DIR
GB
N/A
N/A
2034-06-24
0.00000000
N/A
0.00000000
N/A
3950000.00000000
USD
1.00000000
2.50000000
USD
2024-06-20
XXXX
12168.85000000
N
N
N
VIASAT INC
UFC8NYMNFSYIHNSM2I38
Viasat Inc
92552VAK6
129000.00000000
PA
USD
125990.43000000
0.016865044034
Long
DBT
CORP
US
N
2
2025-09-15
Fixed
5.63000000
N
N
N
N
N
N
MANAPPURAM FINANCE LTD
335800JL5WTUSKOSPN77
Manappuram Finance Ltd
000000000
400000.00000000
PA
USD
399500.00000000
0.053476959255
Long
DBT
CORP
IN
N
2
2023-01-13
Fixed
5.90000000
N
N
N
N
N
N
GFL ENVIRONMENTAL INC
549300FYK4MBXWIVZU26
GFL Environmental Inc
36168QAL8
272000.00000000
PA
USD
250240.00000000
0.033497057031
Long
DBT
CORP
CA
N
2
2028-08-01
Fixed
4.00000000
N
N
N
N
N
N
EMPRESAS PUBLIC MEDELLIN
549300SU25TO8EMXB434
Empresas Publicas de Medellin ESP
29246BAE8
201000.00000000
PA
USD
177925.20000000
0.023817017949
Long
DBT
CORP
CO
N
2
2029-07-18
Fixed
4.25000000
N
N
N
N
N
N
BNP PARIBAS
R0MUWSFPU8MPRO8K5P83
BRY03VJ43 RRP TREASURY NO
000000000
-14740000.00000000
PA
USD
-14740000.00000000
-1.97309231394
Short
RA
CORP
US
N
2
Reverse repurchase
N
0.33000000
2049-12-31
14740000.00000000
USD
14741891.63000000
USD
UST
N
N
N
BNP PARIBAS
R0MUWSFPU8MPRO8K5P83
BRY03VJ84 RRP FHLB
000000000
-1433437.50000000
PA
USD
-1433437.50000000
-0.19187954638
Short
RA
CORP
US
N
2
Reverse repurchase
N
0.08000000
2049-12-31
1433437.50000000
USD
1433488.47000000
USD
AMBS
N
N
N
Clear Channel Outdoor Holdings, Inc.
N/A
Clear Channel Outdoor Holdings, Inc. Term Loan B
18452RAD7
593424.53000000
PA
USD
582742.89000000
0.078005801714
Long
LON
CORP
US
N
2
2026-08-21
Floating
3.80000000
N
N
N
N
N
N
UBER TECHNOLOGIES INC
549300B2FTG34FILDR98
Uber Technologies Inc
90353TAE0
412000.00000000
PA
USD
439299.12000000
0.058804458425
Long
DBT
CORP
US
N
2
2027-09-15
Fixed
7.50000000
N
N
N
N
N
N
Morgan Stanley
IGJSJL3JD5P30I6NJZ34
Morgan Stanley
6174468C6
905000.00000000
PA
USD
926300.28000000
0.123994298702
Long
DBT
CORP
US
N
2
2025-07-23
Fixed
4.00000000
N
N
N
N
N
N
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
FSWP: OIS 2.303000 20-SEP-2024
000000000
5650000.00000000
OU
Notional Amount
USD
37889.59000000
0.005071890014
N/A
DIR
US
N
2
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
N/A
N/A
Y
2024-09-20
0.00000000
USD
-25.01000000
USD
5650000.00000000
USD
37914.60000000
N
N
N
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
FSWP: USD 2.817000 04-APR-2039
000000000
1560000.00000000
OU
Notional Amount
USD
69585.47000000
0.009314691724
N/A
DIR
US
N
2
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
N/A
N/A
Y
2039-04-04
60290.66000000
USD
0.00000000
USD
1560000.00000000
USD
9294.81000000
N
N
N
POWERLONG REAL ESTATE
549300R3K12EPXCGDP22
Powerlong Real Estate Holdings Ltd
000000000
200000.00000000
PA
USD
98000.00000000
0.013118252833
Long
DBT
CORP
KY
N
2
2022-11-08
Fixed
7.13000000
N
N
N
N
N
N
Sedgwick Claims Management Services, Inc.
549300BIN4DWJG5VWF64
Sedgwick Claims Management Services, Inc. 2020 Term Loan B3
81527CAN7
51895.00000000
PA
USD
51518.76000000
0.006896286932
Long
LON
CORP
US
N
2
2026-09-03
Floating
5.25000000
N
N
N
N
N
N
Navient Corp
54930067J0ZNOEBRW338
Navient Corp
63938CAE8
28000.00000000
PA
USD
29085.00000000
0.003893310037
Long
DBT
CORP
US
N
2
2023-09-25
Fixed
7.25000000
N
N
N
N
N
N
ELASTIC NV
2549003I48WHHH937I59
Elastic NV
28415LAA1
254000.00000000
PA
USD
236209.84000000
0.031618983703
Long
DBT
CORP
NL
N
2
2029-07-15
Fixed
4.13000000
N
N
N
N
N
N
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
FSWP: USD 0.743500 12-AUG-2024
000000000
10580000.00000000
OU
Notional Amount
USD
-157113.30000000
-0.02103114278
N/A
DIR
US
N
2
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
N/A
N/A
Y
2024-08-12
0.00000000
USD
-294733.53000000
USD
10580000.00000000
USD
137620.23000000
N
N
N
Freddie Mac
254900HROIFWPRGM1V77
Freddie Mac REMICS
3137BBHG8
2171021.48000000
PA
USD
2250689.72000000
0.301276702008
Long
ABS-MBS
USGSE
US
N
2
2044-06-15
Fixed
4.00000000
N
N
N
N
N
N
PARAMOUNT GLOBAL
5KYC8KF17ROCY24M3H09
Paramount Global
92553PAU6
645000.00000000
PA
USD
743150.68000000
0.099477944017
Long
DBT
CORP
US
N
2
2043-09-01
Fixed
5.85000000
N
N
N
N
N
N
BNP PARIBAS
R0MUWSFPU8MPRO8K5P83
BRY03VJ76 RRP TREASURY BO
000000000
-24687500.00000000
PA
USD
-24687500.00000000
-3.30466190641
Short
RA
CORP
US
N
2
Reverse repurchase
N
0.33000000
2049-12-31
24687500.00000000
USD
24690654.51000000
USD
UST
N
N
N
BROOKFIELD RESID PROPERT
N/A
Brookfield Residential Properties Inc / Brookfield Residential US LLC
11283YAD2
178000.00000000
PA
USD
159188.07000000
0.021308870921
Long
DBT
CORP
CA
N
2
2030-02-15
Fixed
4.88000000
N
N
N
N
N
N
GS Mortgage Securities Trust
N/A
GS Mortgage Securities Corp Trust 2020-TWN3
36263JAE4
1500000.00000000
PA
USD
1497587.40000000
0.200466634219
Long
ABS-MBS
CORP
US
N
2
2037-11-15
Floating
4.10000000
N
N
N
N
N
N
ADLER GROUP SA
391200OYYFJ3DWAMEC69
ADLER Group SA
000000000
100000.00000000
PA
92282.69000000
0.012352935301
Long
DBT
CORP
LU
N
2
2026-11-13
Fixed
2.75000000
N
N
N
N
N
N
Murphy Oil Corp
QBKYQD0ODE7DC7PDIN91
Murphy Oil Corp
626717AG7
18000.00000000
PA
USD
17252.28000000
0.002309385418
Long
DBT
CORP
US
N
2
2042-12-01
Fixed
6.38000000
N
N
N
N
N
N
SAUDI INTERNATIONAL BOND
635400FMICXSM3SI3H65
Saudi Government International Bond
000000000
222000.00000000
PA
USD
203685.00000000
0.027265217636
Long
DBT
NUSS
SA
N
2
2033-02-02
Fixed
2.25000000
N
N
N
N
N
N
DEUTSCHE BANK AG
7LTWFZYICNSX8D621K86
10Y RTP 1.800000 07-OCT-2022
000000000
-3580000.00000000
NC
USD
-232473.46000000
-0.03111883291
N/A
DIR
US
N
2
DEUTSCHE BANK AG
7LTWFZYICNSX8D621K86
Put
Written
DEUTSCHE BANK AG
7LTWFZYICNSX8D621K86
DEUTSCHE BANK AG
7LTWFZYICNSX8D621K86
IRS Swap
N/A
3580000.00000000
OU
Notional Amount
N/A
-232473.46000000
-0.03000000
DIR
US
N/A
N/A
2032-10-11
0.00000000
N/A
0.00000000
N/A
3580000.00000000
USD
1.00000000
0.01800000
USD
2022-10-07
XXXX
-134023.46000000
N
N
N
Burlington Resources LLC
0FJ5X7MVCTSE8OEPQE56
Burlington Resources LLC
20825VAB8
685000.00000000
PA
USD
831124.36000000
0.111254076434
Long
DBT
CORP
US
N
2
2036-10-15
Fixed
5.95000000
N
N
N
N
N
N
Magenta Buyer LLC
N/A
Magenta Buyer LLC 2021 USD 2nd Lien Term Loan
55910RAE3
280000.00000000
PA
USD
276850.00000000
0.037059064254
Long
LON
CORP
US
N
2
2029-07-27
Floating
9.00000000
N
N
N
N
N
N
NOMURA SECURITIES INTERNATIONAL INC
OXTKY6Q8X53C9ILVV871
RRP TREASURY NO
000000000
-15817500.00000000
PA
USD
-15817500.00000000
-2.11732616525
Short
RA
CORP
US
N
2
Reverse repurchase
N
0.32000000
2049-12-31
14800000.00000000
USD
14906375.00000000
USD
UST
N
N
N
AMC ENTERTAINMENT HLDGS
549300ZO77UNR6NRBR11
AMC Entertainment Holdings Inc
00165CAP9
250432.00000000
PA
USD
224924.25000000
0.030108297754
Long
DBT
CORP
US
N
2
2026-06-15
Fixed
10.00000000
N
N
Y
N
N
N
Oracle Corp
1Z4GXXU7ZHVWFCD8TV52
Oracle Corp
68389XBQ7
400000.00000000
PA
USD
353747.82000000
0.047352585123
Long
DBT
CORP
US
N
2
2047-11-15
Fixed
4.00000000
N
N
N
N
N
N
UBS GROUP AG
549300SZJ9VS8SGXAN81
UBS Group AG
902613AG3
2000000.00000000
PA
USD
1841900.00000000
0.246556223409
Long
DBT
CORP
CH
N
2
2026-06-02
Fixed
3.88000000
N
N
N
N
N
N
UNITED AIR 2020-1 A PTT
N/A
United Airlines 2020-1 Class A Pass Through Trust
90931GAA7
223143.06000000
PA
USD
230972.30000000
0.030917888050
Long
DBT
CORP
US
N
2
2027-10-15
Fixed
5.88000000
N
N
N
N
N
N
COMM Mortgage Trust
N/A
COMM 2015-CCRE22 Mortgage Trust
12592XBJ4
5000000.00000000
PA
USD
4921622.00000000
0.658806956604
Long
ABS-MBS
CORP
US
N
2
2048-03-10
Variable
4.11000000
N
N
N
N
N
N
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
SWP: USD 1.100000 25-NOV-2050
000000000
750000.00000000
OU
Notional Amount
USD
-150952.24000000
-0.02020642500
N/A
DIR
US
N
2
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
N/A
N/A
Y
2050-11-25
0.00000000
USD
-171195.96000000
USD
750000.00000000
USD
20243.72000000
N
N
N
SHRIRAM TRANSPORT FIN
335800TM2YO24B76XL26
Shriram Transport Finance Co Ltd
000000000
200000.00000000
PA
USD
200500.00000000
0.026838874419
Long
DBT
CORP
IN
N
2
2022-10-24
Fixed
5.95000000
N
N
N
N
N
N
CLEAR CHANNEL OUTDOOR HO
N/A
Clear Channel Outdoor Holdings Inc
18453HAD8
591000.00000000
PA
USD
589732.31000000
0.078941403537
Long
DBT
CORP
US
N
2
2029-06-01
Fixed
7.50000000
N
N
N
N
N
N
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
FSWP: USD 1.610000 28-MAR-2032
000000000
26000000.00000000
OU
Notional Amount
USD
-562278.67000000
-0.07526646689
N/A
DIR
US
N
2
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
N/A
N/A
Y
2032-03-30
0.00000000
USD
-1220511.21000000
USD
26000000.00000000
USD
658232.54000000
N
N
N
ISLAMIC REP OF PAKISTAN
529900LOP29R5WKHOD86
Pakistan Government International Bond
000000000
200000.00000000
PA
USD
147022.00000000
0.019680324164
Long
DBT
NUSS
PK
N
2
2031-04-08
Fixed
7.38000000
N
N
N
N
N
N
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
FSWP: USD 0.770000 06-MAY-2032
000000000
2650000.00000000
OU
Notional Amount
USD
-268694.46000000
-0.03596736593
N/A
DIR
US
N
2
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
N/A
N/A
Y
2032-05-06
0.00000000
USD
-331089.02000000
USD
2650000.00000000
USD
62394.56000000
N
N
N
PRA Health Sciences Inc
549300R1HR1VWWHIAK47
PRA Health Sciences Inc
45569KAA1
400000.00000000
PA
USD
380624.00000000
0.050950223127
Long
DBT
CORP
US
N
2
2026-07-15
Fixed
2.88000000
N
N
N
N
N
N
ADAPTHEALTH LLC
N/A
AdaptHealth LLC
00653VAA9
49000.00000000
PA
USD
48632.50000000
0.006509932968
Long
DBT
CORP
US
N
2
2028-08-01
Fixed
6.13000000
N
N
N
N
N
N
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
FSWP: OIS 2.284500 20-SEP-2024
000000000
2820000.00000000
OU
Notional Amount
USD
19925.05000000
0.002667161669
N/A
DIR
US
N
2
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
N/A
N/A
Y
2024-09-20
0.00000000
USD
-12.48000000
USD
2820000.00000000
USD
19937.53000000
N
N
N
CENTRAL GARDEN & PET CO
5493004DVZLD37DJ0H83
Central Garden & Pet Co
153527AN6
173000.00000000
PA
USD
156132.50000000
0.020899853168
Long
DBT
CORP
US
N
2
2030-10-15
Fixed
4.13000000
N
N
N
N
N
N
ABJA Investment Co
254900E6OE5YJ9WCCU19
ABJA Investment Co Pte Ltd
000000000
450000.00000000
PA
USD
468562.50000000
0.062721646360
Long
DBT
CORP
SG
N
2
2024-07-31
Fixed
5.95000000
N
N
N
N
N
N
CLARIOS GLOBAL LP/US FIN
N/A
Clarios Global LP / Clarios US Finance Co
69867DAA6
627000.00000000
PA
USD
645026.25000000
0.086343035018
Long
DBT
CORP
US
N
2
2026-05-15
Fixed
6.25000000
N
N
N
N
N
N
REPUBLIC OF ARGENTINA
549300KPBYGYF7HCHO27
Argentine Republic Government International Bond
040114HV5
302389.00000000
PA
USD
106592.12000000
0.014268391634
Long
DBT
NUSS
AR
N
2
2041-07-09
Variable
2.50000000
N
N
N
N
N
N
BANCO DAVIVIENDA SA
549300P161V4IPKAQS70
Banco Davivienda SA
059501AD8
200000.00000000
PA
USD
183225.00000000
0.024526447708
Long
DBT
CORP
CO
N
2
2031-04-22
Fixed
6.65000000
N
N
N
N
N
N
SOUTHWESTERN ENERGY CO
EFWMP121W54QV9MGOP87
Southwestern Energy Co
845467AR0
308000.00000000
PA
USD
311850.00000000
0.041744154552
Long
DBT
CORP
US
N
2
2029-02-01
Fixed
5.38000000
N
N
N
N
N
N
ALLIED UNIVERSAL
N/A
Allied Universal Holdco LLC / Allied Universal Finance Corp
019576AB3
200000.00000000
PA
USD
206724.00000000
0.027672017334
Long
DBT
CORP
US
N
2
2027-07-15
Fixed
9.75000000
N
N
N
N
N
N
Wynn Macau Ltd
254900NMDQ8ENTHU1I31
Wynn Macau Ltd
000000000
200000.00000000
PA
USD
170000.00000000
0.022756152874
Long
DBT
CORP
KY
N
2
2027-10-01
Fixed
5.50000000
N
N
N
N
N
N
SERVICE CORP INTL
549300RKVM2ME20JHZ15
Service Corp International/US
817565CG7
394000.00000000
PA
USD
366550.02000000
0.049066284066
Long
DBT
CORP
US
N
2
2031-05-15
Fixed
4.00000000
N
N
N
N
N
N
SPECTRUM BRANDS INC
549300VU3EH2E73C1Q04
Spectrum Brands Inc
84762LAW5
104000.00000000
PA
USD
99840.00000000
0.013364554723
Long
DBT
CORP
US
N
2
2030-07-15
Fixed
5.50000000
N
N
N
N
N
N
VICI PROPERTIES / NOTE
N/A
VICI Properties LP / VICI Note Co Inc
92564RAA3
169000.00000000
PA
USD
168290.20000000
0.022527279520
Long
DBT
US
N
2
2026-12-01
Fixed
4.25000000
N
N
N
N
N
N
LSF11 A5 HOLDCO LLC
254900FPK7P5WNA66Y10
LSF11 A5 HoldCo LLC
50221DAA7
76000.00000000
PA
USD
70706.60000000
0.009464765875
Long
DBT
CORP
US
N
2
2029-10-15
Fixed
6.63000000
N
N
N
N
N
N
CLEAR CHANNEL INTL BV
N/A
Clear Channel International BV
18452MAB2
256000.00000000
PA
USD
260480.00000000
0.034867780592
Long
DBT
CORP
NL
N
2
2025-08-01
Fixed
6.63000000
N
N
N
N
N
N
MOZART DEBT MERGER SUB
N/A
Mozart Debt Merger Sub Inc
62482BAB8
907000.00000000
PA
USD
843210.69000000
0.112871949218
Long
DBT
CORP
US
N
2
2029-10-01
Fixed
5.25000000
N
N
N
N
N
N
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
FSWP: USD 1.657000 25-APR-2032
000000000
25400000.00000000
OU
Notional Amount
USD
-476864.32000000
-0.06383292568
N/A
DIR
US
N
2
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
N/A
N/A
Y
2032-04-26
0.00000000
USD
-1114481.29000000
USD
25400000.00000000
USD
637616.97000000
N
N
N
LEGACY LIFEPOINT HEALTH
N/A
Legacy LifePoint Health LLC
53219LAT6
130000.00000000
PA
USD
134319.90000000
0.017980024579
Long
DBT
CORP
US
N
2
2025-04-15
Fixed
6.75000000
N
N
N
N
N
N
MORGAN STANLEY & CO. INTERNATIONAL
4PQUHN3JPFGFNF3BB653
SWAPTION AUG25 0.9125 CALL
000000000
1450000.00000000
NC
USD
23473.46000000
0.003142150848
N/A
DIR
US
N
2
MORGAN STANLEY & CO. INTERNATIONAL
4PQUHN3JPFGFNF3BB653
Call
Purchased
MORGAN STANLEY & CO. INTERNATIONAL
4PQUHN3JPFGFNF3BB653
MORGAN STANLEY & CO. INTERNATIONAL
4PQUHN3JPFGFNF3BB653
IRS Swap
N/A
1450000.00000000
OU
Notional Amount
N/A
23473.46000000
0.00000000
DIR
GB
N/A
N/A
2035-08-11
0.00000000
N/A
0.00000000
N/A
1450000.00000000
USD
1.00000000
0.91250000
USD
2025-08-07
XXXX
-49829.34000000
N
N
N
RKPF OVERSEAS 2020 A LTD
254900LKOLISWWIE7W36
RKPF Overseas 2020 A Ltd
000000000
400000.00000000
PA
USD
308000.00000000
0.041228794619
Long
DBT
CORP
VG
N
2
2026-01-12
Fixed
5.20000000
N
N
N
N
N
N
Digicel International Finance Limited
5493007V023VOEW4FK27
Digicel International Finance Limited 2017 Term Loan B
000000000
377213.17000000
PA
USD
358352.51000000
0.047968967650
Long
LON
CORP
LC
N
2
2024-05-28
Floating
3.50000000
N
N
N
N
N
N
JP MORGAN CHASE BANK
7H6GLXDRUGQFU57RNE97
SWAP/CDSWAP/SCDS: (ADLERR)
000000000
10000.00000000
OU
Notional Amount
1.38000000
0.000000184726
N/A
DCR
XX
N
2
JP MORGAN CHASE BANK
7H6GLXDRUGQFU57RNE97
ADLER REAL ESTATE AG
ADLER REAL ESTATE AG
Y
sell protection
2026-06-23
740.81000000
EUR
0.00000000
EUR
10000.00000000
EUR
-880.18000000
N
N
N
AbbVie Inc
FR5LCKFTG8054YNNRU85
AbbVie Inc
00287YAY5
500000.00000000
PA
USD
501343.98000000
0.067109766185
Long
DBT
CORP
US
N
2
2026-05-14
Fixed
3.20000000
N
N
N
N
N
N
LEVEL 3 FINANCING INC
254900AE5FEFIJOXWL19
Level 3 Financing Inc
527298BT9
109000.00000000
PA
USD
96599.07000000
0.012930724732
Long
DBT
CORP
US
N
2
2029-07-15
Fixed
3.75000000
N
N
N
N
N
N
OT MERGER CORP
N/A
OT Merger Corp
688777AA9
78000.00000000
PA
USD
67470.00000000
0.009031515496
Long
DBT
CORP
US
N
2
2029-10-15
Fixed
7.88000000
N
N
N
N
N
N
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
FSWP: OIS 1.471000 29-JUL-2024
000000000
3075000.00000000
OU
Notional Amount
USD
15696.74000000
0.002101161265
N/A
DIR
US
N
2
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
N/A
N/A
Y
2024-07-29
0.00000000
USD
-25137.26000000
USD
3075000.00000000
USD
40834.00000000
N
N
N
CHARLES RIVER LABORATORI
549300BSQ0R4UZ5KX287
Charles River Laboratories International Inc
159864AJ6
66000.00000000
PA
USD
61957.50000000
0.008293613774
Long
DBT
CORP
US
N
2
2031-03-15
Fixed
4.00000000
N
N
N
N
N
N
CANTOR FITZGERALD & CO
5493004J7H4GCPG6OB62
RRP FNMA 30YR U
000000000
-2910472.29000000
PA
USD
-2910472.29000000
-0.38959501393
Short
RA
CORP
US
N
2
Reverse repurchase
N
0.37000000
2022-05-12
2910472.29000000
USD
2910980.81000000
USD
AMBS
N
N
N
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
FSWP: OIS 1.886600 13-SEP-2024
000000000
2910000.00000000
OU
Notional Amount
USD
42593.76000000
0.005701588906
N/A
DIR
US
N
2
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
N/A
N/A
Y
2024-09-13
0.00000000
USD
-5.60000000
USD
2910000.00000000
USD
42599.36000000
N
N
N
Chicago Board of Trade
549300EX04Q2QBFQTQ27
US 10YR NOTE (CBT)JUN22
000000000
-567.00000000
NC
USD
1746414.56000000
0.233774568880
N/A
DIR
US
N
1
Chicago Board of Trade
549300EX04Q2QBFQTQ27
Short
CBOT 10 Year US Treasury Note
TYM2 COMDTY
2022-06-21
-71345664.56000000
USD
1746414.56000000
N
N
N
Epicor Software Corporation
JGNXVGGGXR4O1L5I7S73
Epicor Software Corporation 2020 Term Loan
29426NAN4
167426.61000000
PA
USD
165901.35000000
0.022207508721
Long
LON
CORP
US
N
2
2027-07-30
Floating
4.00000000
N
N
N
N
N
N
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
FSWP: OIS 2.070000 19-SEP-2024
000000000
2880000.00000000
OU
Notional Amount
USD
32285.93000000
0.004321785639
N/A
DIR
US
N
2
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
N/A
N/A
Y
2024-09-19
0.00000000
USD
-12.74000000
USD
2880000.00000000
USD
32298.67000000
N
N
N
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
FSWP: USD 1.097000 04-APR-2024
000000000
1585000.00000000
OU
Notional Amount
USD
-10585.31000000
-0.00141694666
N/A
DIR
US
N
2
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
N/A
N/A
Y
2024-04-04
0.00000000
USD
-27496.88000000
USD
1585000.00000000
USD
16911.57000000
N
N
N
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
FSWP: OIS 2.309000 20-SEP-2024
000000000
2825000.00000000
OU
Notional Amount
USD
18615.43000000
0.002491856299
N/A
DIR
US
N
2
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
N/A
N/A
Y
2024-09-20
0.00000000
USD
-12.50000000
USD
2825000.00000000
USD
18627.93000000
N
N
N
MPH ACQUISITION HOLDINGS
5493002WXOPRPTXWTU06
MPH Acquisition Holdings LLC
553283AD4
165000.00000000
PA
USD
158171.48000000
0.021172790466
Long
DBT
CORP
US
N
2
2028-09-01
Fixed
5.50000000
N
N
N
N
N
N
Sterling Bank Trust
N/A
Sterling COOFS Trust 2004-2
859245AB8
905116.47000000
PA
USD
9051.16000000
0.001211585768
Long
ABS-O
CORP
US
N
3
2030-03-30
Fixed
2.08000000
N
N
N
N
N
N
SWITCH LTD
5493002D70VTFFLT8L43
Switch Ltd
87105NAA8
210000.00000000
PA
USD
203646.45000000
0.027260057344
Long
DBT
CORP
US
N
2
2028-09-15
Fixed
3.75000000
N
N
N
N
N
N
BANK LEUMI LE-ISRAEL
7JDSZWRGUQY2DSTWCR57
Bank Leumi Le-Israel BM
06326BAA7
281000.00000000
PA
USD
263086.25000000
0.035216652495
Long
DBT
CORP
IL
N
2
2031-01-29
Fixed
3.28000000
N
N
N
N
N
N
BAUSCH HEALTH COS INC
B3BS7ACMDUWISF18KY76
Bausch Health Cos Inc
071734AN7
42000.00000000
PA
USD
40215.00000000
0.005383168752
Long
DBT
CORP
CA
N
2
2028-06-01
Fixed
4.88000000
N
N
N
N
N
N
Barracuda Networks, Inc.
549300CXGRZWNMPU8080
Barracuda Networks, Inc. 2020 2nd Lien Term Loan
06832EAG5
120741.28000000
PA
USD
119986.65000000
0.016061379707
Long
LON
CORP
US
N
2
2028-10-30
Floating
7.50000000
N
N
N
N
N
N
AHEAD DB HOLDINGS LLC
254900L07WFL833JX193
Ahead DB Holdings LLC
00867FAA6
74000.00000000
PA
USD
66113.08000000
0.008849878561
Long
DBT
CORP
US
N
2
2028-05-01
Fixed
6.63000000
N
N
N
N
N
N
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
SWP: OIS 1.839500 14-MAR-2032
000000000
605000.00000000
OU
Notional Amount
USD
14483.92000000
0.001938813516
N/A
DIR
US
N
2
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
N/A
N/A
Y
2032-03-15
0.00000000
USD
-3.71000000
USD
605000.00000000
USD
14487.63000000
N
N
N
KBR INC
254900OFQDXZRKRCV808
KBR Inc
48242WAC0
124000.00000000
PA
USD
120892.56000000
0.016182644569
Long
DBT
CORP
US
N
2
2028-09-30
Fixed
4.75000000
N
N
N
N
N
N
ROYAL CARIBBEAN CRUISES
K2NEH8QNVW44JIWK7Z55
Royal Caribbean Cruises Ltd
780153BK7
257000.00000000
PA
USD
246920.46000000
0.033052704327
Long
DBT
CORP
LR
N
2
2027-07-15
Fixed
5.38000000
N
N
N
N
N
N
FREEPORT LNG INVESTMENTS, LLLP
549300LR5YVRZH4YPQ33
Freeport LNG Investments, LLLP Term Loan B
35670CAB4
174000.00000000
PA
USD
172571.46000000
0.023100367797
Long
LON
CORP
US
N
2
2028-12-21
Floating
4.00000000
N
N
N
N
N
N
Tenet Healthcare Corp
0W9AIBT6U6ADJ2I8HK17
Tenet Healthcare Corp
88033GCX6
13000.00000000
PA
USD
13345.74000000
0.001786457056
Long
DBT
CORP
US
N
2
2027-02-01
Fixed
6.25000000
N
N
N
N
N
N
RLJ LODGING TRUST LP
549300RX5I8Z6I6LDZ74
RLJ Lodging Trust LP
74965LAA9
76000.00000000
PA
USD
72200.00000000
0.009664671985
Long
DBT
US
N
2
2026-07-01
Fixed
3.75000000
N
N
N
N
N
N
ROCKCLIFF ENERGY II LLC
5493007AZNVKZ5HEMT23
Rockcliff Energy II LLC
77289KAA3
230000.00000000
PA
USD
230212.75000000
0.030816214898
Long
DBT
CORP
US
N
2
2029-10-15
Fixed
5.50000000
N
N
N
N
N
N
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
FSWP: OIS 1.479000 29-JUL-2024
000000000
3075000.00000000
OU
Notional Amount
USD
16186.35000000
0.002166700324
N/A
DIR
US
N
2
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
N/A
N/A
Y
2024-07-29
0.00000000
USD
-24652.48000000
USD
3075000.00000000
USD
40838.83000000
N
N
N
BROADCOM CRP / CAYMN FI
N/A
Broadcom Corp / Broadcom Cayman Finance Ltd
11134LAH2
2850000.00000000
PA
USD
2869052.14000000
0.384050524134
Long
DBT
CORP
XX
N
2
2027-01-15
Fixed
3.88000000
N
N
N
N
N
N
IQVIA Inc
549300PLWY28YB00C717
IQVIA Inc
449934AD0
280000.00000000
PA
USD
284900.00000000
0.038136635023
Long
DBT
CORP
US
N
2
2026-10-15
Fixed
5.00000000
N
N
N
N
N
N
HUSKY III HOLDING LTD
N/A
Husky III Holding Ltd
44810RAA6
241000.00000000
PA
USD
250640.00000000
0.033550600920
Long
DBT
CORP
CA
N
2
2025-02-15
Fixed
13.00000000
N
N
Y
N
N
N
CHS/COMMUNITY HEALTH SYS
5493007X5NC5XI1BB106
CHS/Community Health Systems Inc
12543DBG4
419000.00000000
PA
USD
426724.27000000
0.057121192490
Long
DBT
CORP
US
N
2
2027-03-15
Fixed
5.63000000
N
N
N
N
N
N
MAF SUKUK LTD
549300IS9H0W5N2N4K34
MAF Sukuk Ltd
000000000
200000.00000000
PA
USD
207287.50000000
0.027747447288
Long
DBT
CORP
KY
N
2
2029-05-14
Fixed
4.64000000
N
N
N
N
N
N
New York State Dormitory Authority
549300C8XO7EXTX2XU71
NEW YORK ST DORM AUTH ST PERSONAL INCOME TAX REVENUE
64990FMT8
1100000.00000000
PA
USD
1288053.80000000
0.172418524608
Long
DBT
MUN
US
N
2
2039-03-15
Fixed
5.63000000
N
N
N
N
N
N
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
SWP: OIS 1.965000 21-MAR-2027
000000000
13060000.00000000
OU
Notional Amount
USD
164325.94000000
0.021996624775
N/A
DIR
US
N
2
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
N/A
N/A
Y
2027-03-22
0.00000000
USD
-119.65000000
USD
13060000.00000000
USD
164445.59000000
N
N
N
HEALTH AND HAPPINESS H&H
2138007WU5DJFZFDDV59
Health & Happiness H&H International Holdings Ltd
000000000
200000.00000000
PA
USD
179537.50000000
0.024032839980
Long
DBT
CORP
KY
N
2
2024-10-24
Fixed
5.63000000
N
N
N
N
N
N
SCIL IV LLC / SCIL USA H
N/A
SCIL IV LLC / SCIL USA Holdings LLC
78397UAA8
200000.00000000
PA
USD
184000.00000000
0.024630188993
Long
DBT
CORP
US
N
2
2026-11-01
Fixed
5.38000000
N
N
N
N
N
N
SEAZEN GROUP LTD
5493006M8GRAQRCSCD67
Seazen Group Ltd
000000000
400000.00000000
PA
USD
272000.00000000
0.036409844599
Long
DBT
CORP
KY
N
2
2024-08-12
Fixed
6.00000000
N
N
N
N
N
N
LOWE'S COS INC
WAFCR4OKGSC504WU3E95
Lowe's Cos Inc
548661DJ3
1000000.00000000
PA
USD
1029374.49000000
0.137791783879
Long
DBT
CORP
US
N
2
2045-09-15
Fixed
4.38000000
N
N
N
N
N
N
CANTOR FITZGERALD & CO
5493004J7H4GCPG6OB62
RRP FNMA 30YR U
000000000
-3772665.78000000
PA
USD
-3772665.78000000
-0.50500799549
Short
RA
CORP
US
N
2
Reverse repurchase
N
0.37000000
2022-05-12
3772665.78000000
USD
3773324.95000000
USD
AMBS
N
N
N
Sabre GLBL Inc.
F2TJC7HPPHLHU1AQMP98
Sabre GLBL Inc. 2021 Term Loan B2
78571YBF6
107911.54000000
PA
USD
106562.65000000
0.014264446788
Long
LON
CORP
US
N
2
2027-12-17
Floating
4.00000000
N
N
N
N
N
N
HSBC SECURITIES (USA) INC
CYYGQCGNHMHPSMRL3R97
RRP FNMA 30YR U
000000000
-512873.71000000
PA
USD
-512873.71000000
-0.06865313264
Short
RA
CORP
US
N
2
Reverse repurchase
N
0.34000000
2022-04-13
512873.71000000
USD
512956.05000000
USD
AMBS
N
N
N
Nelnet Student Loan Trust
N/A
Nelnet Student Loan Trust 2021-A
64035DAG1
460000.00000000
PA
USD
433520.15000000
0.058030887103
Long
ABS-O
CORP
US
N
2
2062-04-20
Fixed
4.93000000
N
N
N
N
N
N
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
BRY0SLGG4
000000000
7300000.00000000
OU
Notional Amount
USD
-3183.96000000
-0.00042620400
N/A
DIR
US
N
2
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
N/A
N/A
Y
2024-07-05
31.76000000
USD
0.00000000
USD
7300000.00000000
USD
-3215.72000000
N
N
N
STANDARD INDUSTRIES INC
54930064UHXCIUWVI755
Standard Industries Inc/NJ
853496AH0
11000.00000000
PA
USD
9625.00000000
0.001288399831
Long
DBT
CORP
US
N
2
2031-01-15
Fixed
3.38000000
N
N
N
N
N
N
CHESAPEAKE ENERGY CORP
X2MT1W32SPAZ9WSKLE78
Chesapeake Energy Corp
165167DG9
28000.00000000
PA
USD
28910.00000000
0.003869884585
Long
DBT
CORP
US
N
2
2029-02-01
Fixed
5.88000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140XD6D3
21813691.74000000
PA
USD
20910600.10000000
2.799087132788
Long
ABS-MBS
USGSE
US
N
2
2051-12-01
Fixed
2.50000000
N
N
N
N
N
N
CANTOR FITZGERALD & CO
5493004J7H4GCPG6OB62
RRP FNMA 30YR
000000000
-2865749.12000000
PA
USD
-2865749.12000000
-0.38360838279
Short
RA
CORP
US
N
2
Reverse repurchase
N
0.37000000
2022-05-12
2865749.12000000
USD
2866249.83000000
USD
AMBS
N
N
N
KLABIN AUSTRIA GMBH
984500578YEA8DD41B09
Klabin Austria GmbH
49836AAC8
200000.00000000
PA
USD
173250.00000000
0.023191196973
Long
DBT
CORP
AT
N
2
2031-01-12
Fixed
3.20000000
N
N
N
N
N
N
WHITE CAP PARENT LLC
N/A
White Cap Parent LLC
96351CAA4
142000.00000000
PA
USD
139515.00000000
0.018675439225
Long
DBT
CORP
US
N
2
2026-03-15
Fixed
8.25000000
N
N
Y
N
N
N
TRI POINTE HOMES INC
N/A
Tri Pointe Homes Inc
87265HAF6
28000.00000000
PA
USD
27801.62000000
0.003721517146
Long
DBT
CORP
US
N
2
2027-06-01
Fixed
5.25000000
N
N
N
N
N
N
Aramark Services Inc
42YMHYH0XMHJEXDUB065
Aramark Services Inc
038522AP3
46000.00000000
PA
USD
46088.32000000
0.006169369739
Long
DBT
CORP
US
N
2
2025-04-01
Fixed
5.00000000
N
N
N
N
N
N
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
FSWP: OIS 2.119080 15-NOV-2031
000000000
2230000.00000000
OU
Notional Amount
USD
7663.60000000
0.001025847371
N/A
DIR
US
N
2
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
N/A
N/A
Y
2031-11-17
0.00000000
USD
-36.04000000
USD
2230000.00000000
USD
7699.64000000
N
N
N
DUKE ENERGY CAROLINAS
MWIUSDMN17TCR56VW396
Duke Energy Carolinas LLC
26442CAA2
640000.00000000
PA
USD
758229.23000000
0.101496354540
Long
DBT
CORP
US
N
2
2037-06-01
Fixed
6.10000000
N
N
N
N
N
N
NRG ENERGY INC
5E2UPK5SW04M13XY7I38
NRG Energy Inc
629377CS9
164000.00000000
PA
USD
144320.00000000
0.019318635193
Long
DBT
CORP
US
N
2
2032-02-15
Fixed
3.88000000
N
N
N
N
N
N
VIRGINIA ELEC & POWER CO
CQKUMNNZVDJLRYV2PT43
Virginia Electric and Power Co
927804FB5
3920000.00000000
PA
USD
4792524.89000000
0.641526053246
Long
DBT
CORP
US
N
2
2037-05-15
Fixed
6.00000000
N
N
N
N
N
N
ALBION FINANCING 1SARL /
N/A
Albion Financing 1 SARL / Aggreko Holdings Inc
013304AA8
200000.00000000
PA
USD
193000.00000000
0.025834926498
Long
DBT
CORP
LU
N
2
2026-10-15
Fixed
6.13000000
N
N
N
N
N
N
Ultimate Software Group Inc (The)
529900FKHWSTQ1GXK240
Ultimate Software Group Inc (The) 2021 Term Loan
90385KAK7
235772.31000000
PA
USD
233629.14000000
0.031273531916
Long
LON
CORP
US
N
2
2026-05-04
Floating
3.75000000
N
N
N
N
N
N
New Arclin U.S. Holding Corp.
N/A
New Arclin U.S. Holding Corp. 2021 Delayed Draw Term Loan
000000000
16200.85000000
PA
USD
15782.38000000
0.002112625011
Long
LON
CORP
US
N
2
2028-10-02
Fixed
1.00000000
N
N
N
N
N
N
KRUNG THAI BANK/CAYMAN
54930007ZQMYCRFQGE36
Krung Thai Bank PCL/Cayman Islands
000000000
252000.00000000
PA
USD
235935.00000000
0.031582193696
Long
DBT
CORP
TH
N
2
2026-03-25
Fixed
4.40000000
N
N
N
N
N
N
HSBC SECURITIES (USA) INC
CYYGQCGNHMHPSMRL3R97
RRP FNMA 30YR
000000000
-348339.61000000
PA
USD
-348339.61000000
-0.04662864363
Short
RA
CORP
US
N
2
Reverse repurchase
N
0.34000000
2022-04-13
348339.61000000
USD
348395.54000000
USD
AMBS
N
N
N
Yum! Brands Inc
549300JE8XHZZ7OHN517
Yum! Brands Inc
988498AK7
44000.00000000
PA
USD
42790.00000000
0.005727857538
Long
DBT
CORP
US
N
2
2043-11-01
Fixed
5.35000000
N
N
N
N
N
N
COMMERCIAL METALS CO
549300OQS2LO07ZJ7N73
Commercial Metals Co
201723AQ6
48000.00000000
PA
USD
44820.00000000
0.005999592775
Long
DBT
CORP
US
N
2
2030-01-15
Fixed
4.13000000
N
N
N
N
N
N
NOVA Chemicals Corp
5493007M1XGU5E55ZJ25
NOVA Chemicals Corp
66977WAQ2
41000.00000000
PA
USD
41461.05000000
0.005549964659
Long
DBT
CORP
CA
N
2
2024-06-01
Fixed
4.88000000
N
N
N
N
N
N
State of California
N/A
CALIFORNIA ST
13063BFR8
1720000.00000000
PA
USD
2525995.44000000
0.338129049370
Long
DBT
MUN
US
N
2
2040-03-01
Fixed
7.63000000
N
N
N
N
N
N
Metropolitan Transportation Authority
5493000TKYODLXADQD60
MET TRANSPRTN AUTH NY DEDICATED TAX FUND
59259NZH9
1295000.00000000
PA
USD
1906300.87000000
0.255176906015
Long
DBT
MUN
US
N
2
2039-11-15
Fixed
7.34000000
N
N
N
N
N
N
ORTHO-CLINICAL INC/SA
N/A
Ortho-Clinical Diagnostics Inc / Ortho-Clinical Diagnostics SA
68752DAC2
240000.00000000
PA
USD
247200.00000000
0.033090123474
Long
DBT
CORP
US
N
2
2025-06-01
Fixed
7.38000000
N
N
N
N
N
N
ICAHN ENTERPRISES/FIN
N/A
Icahn Enterprises LP / Icahn Enterprises Finance Corp
451102BW6
112000.00000000
PA
USD
112509.60000000
0.015060503867
Long
DBT
CORP
US
N
2
2024-09-15
Fixed
4.75000000
N
N
N
N
N
N
ENDO LUX FIN CO I SARL
N/A
Endo Luxembourg Finance Co I Sarl / Endo US Inc
29280BAA3
326000.00000000
PA
USD
297475.00000000
0.039819921037
Long
DBT
CORP
LU
N
2
2029-04-01
Fixed
6.13000000
N
N
N
N
N
N
OCCIDENTAL PETROLEUM COR
IM7X0T3ECJW4C1T7ON55
Occidental Petroleum Corp
674599EA9
57000.00000000
PA
USD
73102.50000000
0.009785480385
Long
DBT
CORP
US
N
2
2030-07-15
Fixed
8.88000000
N
N
N
N
N
N
DIAMOND BC BV
549300SWLHWJF3D4N658
Diamond BC BV
25257DAA6
204000.00000000
PA
USD
183090.00000000
0.024508376645
Long
DBT
CORP
NL
N
2
2029-10-01
Fixed
4.63000000
N
N
N
N
N
N
BOMBARDIER INC
W7L3VLU8EHQY34Z36697
Bombardier Inc
097751BV2
393000.00000000
PA
USD
385140.00000000
0.051554733635
Long
DBT
CORP
CA
N
2
2026-06-15
Fixed
7.13000000
N
N
N
N
N
N
CELLNEX TELECOM SA
5493008T4YG3AQUI7P67
Cellnex Telecom SA
000000000
100000.00000000
PA
95313.37000000
0.012758621286
Long
DBT
CORP
ES
N
1
2031-11-20
Fixed
0.75000000
N
N
N
N
N
Cellnex Telecom SA
Cellnex Telecom SA
EUR
XXXX
N
N
N
RKPF OVERSEAS 2019 A LTD
254900P8BXRCW5458103
RKPF Overseas 2019 A Ltd
000000000
288000.00000000
PA
USD
224640.00000000
0.030070248127
Long
DBT
CORP
VG
N
2
2025-09-04
Fixed
6.00000000
N
N
N
N
N
N
United States Treasury
254900HROIFWPRGM1V77
United States Treasury Note/Bond
9128284X5
1700000.00000000
PA
USD
1715605.47000000
0.229650472633
Long
DBT
UST
US
N
2
2023-08-31
Fixed
2.75000000
N
N
N
N
N
N
WYNN RESORTS FINANCE LLC
N/A
Wynn Resorts Finance LLC / Wynn Resorts Capital Corp
983133AB5
163000.00000000
PA
USD
169138.58000000
0.022640843432
Long
DBT
CORP
US
N
2
2025-04-15
Fixed
7.75000000
N
N
N
N
N
N
LUMEN TECHNOLOGIES INC
8M3THTGWLTYZVE6BBY25
Lumen Technologies Inc
156700AX4
74000.00000000
PA
USD
76838.64000000
0.010285599050
Long
DBT
CORP
US
N
2
2023-12-01
Fixed
6.75000000
N
N
N
N
N
N
Chicago Board of Trade
549300EX04Q2QBFQTQ27
US 5YR NOTE (CBT) JUN22
000000000
-146.00000000
NC
USD
280744.83000000
0.037580425118
N/A
DIR
US
N
1
Chicago Board of Trade
549300EX04Q2QBFQTQ27
Short
CBOT 5 Year US Treasury Note
FVM2 COMDTY
2022-06-30
-17005729.13000000
USD
280744.83000000
N
N
N
Sequa Mezzanine Holdings L.L.C.
N/A
Sequa Mezzanine Holdings L.L.C. 2020 Extended Term Loan
81733HAE6
109447.44000000
PA
USD
109447.44000000
0.014650603978
Long
LON
CORP
US
N
2
2023-11-28
Floating
7.75000000
N
N
N
N
N
N
HELIOS SOFT/ION CORP SOL
N/A
Helios Software Holdings Inc / ION Corporate Solutions Finance Sarl
42329HAA6
200000.00000000
PA
USD
183762.00000000
0.024598330379
Long
DBT
CORP
US
N
2
2028-05-01
Fixed
4.63000000
N
N
N
N
N
N
Elevation CLO Ltd
N/A
Elevation CLO 2021-12 Ltd
28623NAA5
500000.00000000
PA
USD
480802.15000000
0.064360042516
Long
ABS-CBDO
CORP
KY
N
2
2032-04-20
Floating
7.52000000
N
N
N
N
N
N
HSBC SECURITIES (USA) INC
CYYGQCGNHMHPSMRL3R97
RRP FHLMC 30YR
000000000
-756005.29000000
PA
USD
-756005.29000000
-0.10119865854
Short
RA
CORP
US
N
2
Reverse repurchase
N
0.34000000
2022-04-13
756005.29000000
USD
756126.67000000
USD
AMBS
N
N
N
NOMURA SECURITIES INTERNATIONAL INC
OXTKY6Q8X53C9ILVV871
RRP TREASURY NO
000000000
-7980000.00000000
PA
USD
-7980000.00000000
-1.06820058787
Short
RA
CORP
US
N
2
Reverse repurchase
N
0.32000000
2049-12-31
8000000.00000000
USD
7875312.48000000
USD
UST
N
N
N
WESCO DISTRIBUTION INC
549300I2CEZJG9N4AH67
WESCO Distribution Inc
95081QAN4
117000.00000000
PA
USD
121717.44000000
0.016293062777
Long
DBT
CORP
US
N
2
2025-06-15
Fixed
7.13000000
N
N
N
N
N
N
THOR INDUSTRIES
254900XZO1228PDSG060
Thor Industries Inc
885160AA9
114000.00000000
PA
USD
100080.60000000
0.013396761372
Long
DBT
CORP
US
N
2
2029-10-15
Fixed
4.00000000
N
N
N
N
N
N
CASTLELAKE AVIATION FIN
N/A
Castlelake Aviation Finance DAC
14856HAA6
50000.00000000
PA
USD
44625.00000000
0.005973490129
Long
DBT
CORP
IE
N
2
2027-04-15
Fixed
5.00000000
N
N
N
N
N
N
CIFI HOLDINGS GROUP
549300WGKSV867C0JF48
CIFI Holdings Group Co Ltd
000000000
200000.00000000
PA
USD
176000.00000000
0.023559311211
Long
DBT
CORP
KY
N
2
2024-11-07
Fixed
6.45000000
N
N
N
N
N
N
SUMMIT MATERIALS LLC/FIN
N/A
Summit Materials LLC / Summit Materials Finance Corp
86614RAN7
117000.00000000
PA
USD
115537.50000000
0.015465817722
Long
DBT
CORP
US
N
2
2029-01-15
Fixed
5.25000000
N
N
N
N
N
N
DEUTSCHE BANK AG
7LTWFZYICNSX8D621K86
10Y RTR 1.795000 13-OCT-2022
000000000
-1790000.00000000
NC
USD
-13348.51000000
-0.00178682784
N/A
DIR
US
N
2
DEUTSCHE BANK AG
7LTWFZYICNSX8D621K86
Call
Written
DEUTSCHE BANK AG
7LTWFZYICNSX8D621K86
DEUTSCHE BANK AG
7LTWFZYICNSX8D621K86
IRS Swap
N/A
1790000.00000000
OU
Notional Amount
N/A
-13348.51000000
0.00000000
DIR
US
N/A
N/A
2032-10-17
0.00000000
N/A
0.00000000
N/A
1790000.00000000
USD
1.00000000
0.01795000
USD
2022-10-13
XXXX
35384.24000000
N
N
N
SEASPAN CORP
5493007Z8Q1H45KT7W98
Seaspan Corp
81254UAK2
230000.00000000
PA
USD
215337.50000000
0.028825018056
Long
DBT
CORP
MH
N
2
2029-08-01
Fixed
5.50000000
N
N
N
N
N
N
HSBC SECURITIES (USA) INC
CYYGQCGNHMHPSMRL3R97
RRP FNMA 30YR
000000000
-920905.10000000
PA
USD
-920905.10000000
-0.12327210140
Short
RA
CORP
US
N
2
Reverse repurchase
N
0.34000000
2022-04-13
920905.10000000
USD
921052.96000000
USD
AMBS
N
N
N
CLARIV SCI HLD CORP
N/A
Clarivate Science Holdings Corp
18064PAC3
275000.00000000
PA
USD
262286.75000000
0.035109631646
Long
DBT
CORP
US
N
2
2028-07-01
Fixed
3.88000000
N
N
N
N
N
N
KAISA GROUP HOLDINGS LTD
254900N8L3L7NRJT0120
Kaisa Group Holdings Ltd
000000000
288000.00000000
PA
USD
53964.00000000
0.007223606080
Long
DBT
CORP
KY
N
2
2023-09-28
Fixed
9.75000000
Y
Y
N
N
N
N
H&E EQUIPMENT SERVICES
254900KVLRCDMQRYY541
H&E Equipment Services Inc
404030AJ7
37000.00000000
PA
USD
34687.50000000
0.004643259134
Long
DBT
CORP
US
N
2
2028-12-15
Fixed
3.88000000
N
N
N
N
N
N
CHARLES RIVER LABORATORI
549300BSQ0R4UZ5KX287
Charles River Laboratories International Inc
159864AE7
67000.00000000
PA
USD
65492.50000000
0.008766807894
Long
DBT
CORP
US
N
2
2028-05-01
Fixed
4.25000000
N
N
N
N
N
N
MORGAN STANLEY & CO. INTERNATIONAL
4PQUHN3JPFGFNF3BB653
SWAPTION AUG30 1.0451 CALL
000000000
910000.00000000
NC
USD
27050.98000000
0.003621036684
N/A
DIR
US
N
2
MORGAN STANLEY & CO. INTERNATIONAL
4PQUHN3JPFGFNF3BB653
Call
Purchased
MORGAN STANLEY & CO. INTERNATIONAL
4PQUHN3JPFGFNF3BB653
MORGAN STANLEY & CO. INTERNATIONAL
4PQUHN3JPFGFNF3BB653
IRS Swap
N/A
910000.00000000
OU
Notional Amount
N/A
27050.98000000
0.00000000
DIR
GB
N/A
N/A
2040-08-09
0.00000000
N/A
0.00000000
N/A
910000.00000000
USD
1.00000000
1.04510000
USD
2030-08-07
XXXX
-36494.46000000
N
N
N
CARVANA CO
5493003WEAK2PJ5WS063
Carvana Co
146869AF9
173000.00000000
PA
USD
154402.50000000
0.020668275848
Long
DBT
CORP
US
N
2
2027-04-15
Fixed
5.50000000
N
N
N
N
N
N
Lloyds Banking Group PLC
549300PPXHEU2JF0AM85
Lloyds Banking Group PLC
539439AU3
1750000.00000000
PA
USD
1860101.02000000
0.248992606901
Long
DBT
CORP
GB
N
2
2025-09-27
Fixed
7.50000000
N
N
N
N
N
N
REKEEP SPA
8156008737CA044FCB79
Rekeep SpA
000000000
100000.00000000
PA
115049.97000000
0.015400557091
Long
DBT
CORP
IT
N
2
2026-02-01
Fixed
7.25000000
N
N
N
N
N
N
CENTENE CORP
549300Z7JJ4TQSQGT333
Centene Corp
15135BAW1
498000.00000000
PA
USD
457398.06000000
0.061227177516
Long
DBT
CORP
US
N
2
2030-10-15
Fixed
3.00000000
N
N
N
N
N
N
FORTRESS TRANS & INFRAST
529900E7PUVK6BC8PE80
Fortress Transportation and Infrastructure Investors LLC
34960PAD3
194000.00000000
PA
USD
176375.10000000
0.023609521993
Long
DBT
CORP
US
N
2
2028-05-01
Fixed
5.50000000
N
N
N
N
N
N
Peraton Corp.
549300EQPCK07ZW63836
Peraton Corp. 2nd Lien Term Loan B1
71360HAG2
189307.65000000
PA
USD
187461.90000000
0.025093597967
Long
LON
CORP
US
N
2
2029-02-01
Floating
8.50000000
N
N
N
N
N
N
LIVE NATION ENTERTAINMEN
5493007B9BM9ZXJINO78
Live Nation Entertainment Inc
538034AV1
400000.00000000
PA
USD
426008.00000000
0.057025312786
Long
DBT
CORP
US
N
2
2027-05-15
Fixed
6.50000000
N
N
N
N
N
N
GOLDMAN SACHS GROUP INC
784F5XWPLTWKTBV3E584
Goldman Sachs Group Inc/The
38145G308
92000.00000000
NS
USD
2343240.00000000
0.313665456833
Long
EP
CORP
US
N
1
N
N
N
CHS/COMMUNITY HEALTH SYS
5493007X5NC5XI1BB106
CHS/Community Health Systems Inc
12543DBL3
203000.00000000
PA
USD
188885.41000000
0.025284148621
Long
DBT
CORP
US
N
2
2030-04-01
Fixed
6.13000000
N
N
N
N
N
N
AMERICAN AIRLINES 2013-2
N/A
American Airlines 2013-2 Class A Pass Through Trust
02377UAB0
809511.10000000
PA
USD
807253.94000000
0.108058788630
Long
DBT
CORP
US
N
2
2023-01-15
Fixed
4.95000000
N
N
N
N
N
N
Newell Brands Inc
549300LWGYFM1TVO1Z12
Newell Brands Inc
651229AY2
75000.00000000
PA
USD
78375.00000000
0.010491255773
Long
DBT
CORP
US
N
2
2046-04-01
Fixed
6.00000000
N
N
N
N
N
N
Republic Finance Issuance Trust
N/A
Republic Finance Issuance Trust 2020-A
76042EAC3
240000.00000000
PA
USD
233829.22000000
0.031300314569
Long
ABS-O
CORP
US
N
2
2030-11-20
Fixed
4.05000000
N
N
N
N
N
N
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
FSWP: USD 1.676910 21-NOV-2027
000000000
20000.00000000
OU
Notional Amount
USD
-885.82000000
-0.00011857561
N/A
DIR
US
N
2
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
N/A
N/A
Y
2027-11-22
0.00000000
USD
-448.23000000
USD
20000.00000000
USD
-437.59000000
N
N
N
SPIRIT AEROSYSTEMS INC
ZD2NBKV6GCC3UMGBM518
Spirit AeroSystems Inc
85205TAM2
105000.00000000
PA
USD
105262.50000000
0.014090409070
Long
DBT
CORP
US
N
2
2025-01-15
Fixed
5.50000000
N
N
N
N
N
N
SPIRIT AEROSYSTEMS INC
ZD2NBKV6GCC3UMGBM518
Spirit AeroSystems Inc
85205TAL4
22000.00000000
PA
USD
22793.21000000
0.003051092772
Long
DBT
CORP
US
N
2
2025-04-15
Fixed
7.50000000
N
N
N
N
N
N
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
FSWP: OIS 2.808300 03-OCT-2024
000000000
2855000.00000000
OU
Notional Amount
USD
-8027.04000000
-0.00107449734
N/A
DIR
US
N
2
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
N/A
N/A
Y
2024-10-03
0.00000000
USD
-12.64000000
USD
2855000.00000000
USD
-8014.40000000
N
N
N
IND & COMM BK OF CHINA
5493002ERZU2K9PZDL40
Industrial & Commercial Bank of China Ltd
000000000
250000.00000000
PA
USD
244062.50000000
0.032670138593
Long
DBT
CORP
CN
N
2
2026-09-24
Fixed
3.20000000
N
N
N
N
N
N
JP MORGAN CHASE BANK
7H6GLXDRUGQFU57RNE97
2Y RTP 0.740000 06-APR-2022
000000000
-25870000.00000000
NC
USD
-910522.59000000
-0.12188230149
N/A
DIR
US
N
2
JP MORGAN CHASE BANK
7H6GLXDRUGQFU57RNE97
Put
Written
JPMorgan International Bank Ltd.
PGBWEZU4QUV2UVGWJC76
JPMorgan International Bank Ltd.
PGBWEZU4QUV2UVGWJC76
IRS Swap
N/A
25870000.00000000
OU
Notional Amount
N/A
-910522.59000000
-0.12000000
DIR
US
N/A
N/A
2024-04-08
0.00000000
N/A
0.00000000
N/A
25870000.00000000
USD
1.00000000
0.00740000
USD
2022-04-06
XXXX
-869130.59000000
N
N
N
HSBC SECURITIES (USA) INC
CYYGQCGNHMHPSMRL3R97
RRP FHLMC 30YR
000000000
-1204899.45000000
PA
USD
-1204899.45000000
-0.16128750636
Short
RA
CORP
US
N
2
Reverse repurchase
N
0.34000000
2022-04-13
1204899.45000000
USD
1205092.90000000
USD
AMBS
N
N
N
IHEARTCOMMUNICATIONS INC
54930076J6KDZL504O62
iHeartCommunications Inc
45174HBG1
50000.00000000
PA
USD
47750.00000000
0.006391801763
Long
DBT
CORP
US
N
2
2028-01-15
Fixed
4.75000000
N
N
N
N
N
N
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
FSWP: USD 0.849500 15-AUG-2032
000000000
9150000.00000000
OU
Notional Amount
USD
-877611.48000000
-0.11747682943
N/A
DIR
US
N
2
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
N/A
N/A
Y
2032-08-16
0.00000000
USD
-1097163.36000000
USD
9150000.00000000
USD
219551.88000000
N
N
N
AVIS BUDGET CAR/FINANCE
N/A
Avis Budget Car Rental LLC / Avis Budget Finance Inc
053773BF3
71000.00000000
PA
USD
69950.62000000
0.009363570602
Long
DBT
CORP
US
N
2
2029-03-01
Fixed
5.38000000
N
N
N
N
N
N
MORGAN STANLEY & CO. INTERNATIONAL
4PQUHN3JPFGFNF3BB653
CDS: (CMBX.NA.8.BBB-)
000000000
5550000.00000000
OU
Notional Amount
USD
-718097.83000000
-0.09612437646
N/A
DCR
US
N
2
MORGAN STANLEY & CO. INTERNATIONAL
4PQUHN3JPFGFNF3BB653
CMBX.NA.BBB-.8
137BERAH0
Y
sell protection
2057-10-17
0.00000000
USD
-705848.42000000
USD
5550000.00000000
USD
-12249.41000000
N
N
N
Aetna Inc
549300QKBENKLBXQ8968
Aetna Inc
00817YAJ7
575000.00000000
PA
USD
598533.49000000
0.080119527052
Long
DBT
CORP
US
N
2
2042-05-15
Fixed
4.50000000
N
N
N
N
N
N
ABBVIE INC
FR5LCKFTG8054YNNRU85
AbbVie Inc
00287YCX5
3250000.00000000
PA
USD
3310392.64000000
0.443128241121
Long
DBT
CORP
US
N
2
2025-03-15
Fixed
3.80000000
N
N
N
N
N
N
TCI Communications Inc
51M0QTTNCGUN7KFCFZ59
TCI Communications Inc
872287AF4
610000.00000000
PA
USD
711463.01000000
0.095236241294
Long
DBT
CORP
US
N
2
2026-02-15
Fixed
7.88000000
N
N
N
N
N
N
MATCH GROUP HLD II LLC
N/A
Match Group Holdings II LLC
57665RAL0
20000.00000000
PA
USD
18741.40000000
0.002508718608
Long
DBT
CORP
US
N
2
2030-08-01
Fixed
4.13000000
N
N
N
N
N
N
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
FSWP: OIS 2.082000 19-SEP-2024
000000000
2880000.00000000
OU
Notional Amount
USD
31614.30000000
0.004231881434
N/A
DIR
US
N
2
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
N/A
N/A
Y
2024-09-19
0.00000000
USD
-12.74000000
USD
2880000.00000000
USD
31627.04000000
N
N
N
ANTHEM INC
8MYN82XMYQH89CTMTH67
Anthem Inc
94973VBG1
86000.00000000
PA
USD
600133.80000000
0.080333744105
Long
DBT
CORP
US
N
2
2042-10-15
Fixed
2.75000000
N
N
N
N
Y
Anthem Inc
Anthem Inc
USD
XXXX
N
N
N
SHRIRAM TRANSPORT FIN
335800TM2YO24B76XL26
Shriram Transport Finance Co Ltd
000000000
489000.00000000
PA
USD
489000.00000000
0.065457404445
Long
DBT
CORP
IN
N
2
2023-07-16
Fixed
5.10000000
N
N
N
N
N
N
CREDIT SUISSE INTERNATIONAL
E58DKGMJYYYJLN8C3868
CDS: (CMBX.NA.8.BBB-)
000000000
2500000.00000000
OU
Notional Amount
USD
-323467.50000000
-0.04329926988
N/A
DCR
GB
N
2
CREDIT SUISSE INTERNATIONAL
E58DKGMJYYYJLN8C3868
CMBX.NA.BBB-.8
137BERAH0
Y
sell protection
2057-10-18
0.00000000
USD
-240065.63000000
USD
2500000.00000000
USD
-83401.87000000
N
N
N
PETROLEOS MEXICANOS
549300CAZKPF4HKMPX17
Petroleos Mexicanos
71654QDE9
219000.00000000
PA
USD
201907.05000000
0.027027221742
Long
DBT
CORP
MX
N
2
2031-01-28
Fixed
5.95000000
N
N
N
N
N
N
Da Vinci Purchaser Corp.
254900CEZYHAWVXDTS47
Da Vinci Purchaser Corp. 2019 Term Loan
23343FAB0
119185.00000000
PA
USD
118539.02000000
0.015867600357
Long
LON
CORP
US
N
2
2027-01-08
Floating
5.01000000
N
N
N
N
N
N
OQ SAOC
549300YK417GKI6EQ392
OQ SAOC
67624L2A5
200000.00000000
PA
USD
197412.50000000
0.026425582525
Long
DBT
CORP
OM
N
2
2028-05-06
Fixed
5.13000000
N
N
N
N
N
N
CREDIT AGRICOLE CORPORATE AND INVESTMENT BANK SA
1VUV7VQFKUOQSJ21A208
BRY09G4Y0 RRP ANHEUSER BU
000000000
-4870250.00000000
PA
USD
-4870250.00000000
-0.65193031492
Short
RA
CORP
US
N
2
Reverse repurchase
N
0.50000000
2049-12-31
4870250.00000000
USD
4871129.35000000
USD
CDS
N
N
N
Dryden Senior Loan Fund
5493008NBEE3C4AF3K95
Dryden 50 Senior Loan Fund
262431AD1
250000.00000000
PA
USD
248084.33000000
0.033208499642
Long
ABS-CBDO
CORP
KY
N
2
2030-07-15
Floating
1.89000000
N
N
N
N
N
N
AUTOSTRADE PER L'ITALIA
815600149448CEB9B230
Autostrade per l'Italia SpA
000000000
100000.00000000
PA
107598.50000000
0.014403105382
Long
DBT
CORP
IT
N
2
2028-12-04
Fixed
2.00000000
N
N
N
N
N
N
EDISON INTERNATIONAL
549300I7ROF15MAEVP56
Edison International
281020AT4
115000.00000000
PA
USD
107927.50000000
0.014447145231
Long
DBT
CORP
US
N
2
2026-12-15
Fixed
5.00000000
N
N
N
N
N
N
Ortho-Clinical Diagnostics SA
222100N2EDW8BU5UUT55
Ortho-Clinical Diagnostics SA 2018 Term Loan B
000000000
51859.83000000
PA
USD
51616.61000000
0.006909385106
Long
LON
CORP
LU
N
2
2025-06-30
Floating
3.23000000
N
N
N
N
N
N
ELECTRICITE DE FRANCE SA
549300X3UK4GG3FNMO06
Electricite de France SA
000000000
200000.00000000
PA
198848.39000000
0.026617790362
Long
DBT
CORP
FR
N
2
2030-06-15
Fixed
3.38000000
N
N
N
N
N
N
COTY/HFC PRESTIGE/INT US
N/A
Coty Inc/HFC Prestige Products Inc/HFC Prestige International US LLC
222070AG9
101000.00000000
PA
USD
94244.62000000
0.012615558707
Long
DBT
CORP
US
N
2
2029-01-15
Fixed
4.75000000
N
N
N
N
N
N
LIFE TIME INC
549300PALKE96VYH4X17
Life Time Inc
53190FAC9
118000.00000000
PA
USD
117811.79000000
0.015770253550
Long
DBT
CORP
US
N
2
2026-04-15
Fixed
8.00000000
N
N
N
N
N
N
Oi SA
254900YEMWCRRAGD4978
Oi SA
000000000
148000.00000000
PA
USD
111555.00000000
0.014932721375
Long
DBT
CORP
BR
N
2
2025-07-27
Fixed
10.00000000
N
N
N
N
N
N
ALTICE FRANCE HOLDING SA
5299000JVHXKJPOE6H40
Altice France Holding SA
02156TAA2
257000.00000000
PA
USD
221662.50000000
0.029671680803
Long
DBT
CORP
LU
N
2
2028-02-15
Fixed
6.00000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Pool
3133B1NZ0
1188047.29000000
PA
USD
1142176.01000000
0.152891364077
Long
ABS-MBS
USGSE
US
N
2
2052-01-01
Fixed
2.50000000
N
N
N
N
N
N
GFL ENVIRONMENTAL INC
549300FYK4MBXWIVZU26
GFL Environmental Inc
36168QAN4
177000.00000000
PA
USD
168371.25000000
0.022538128851
Long
DBT
CORP
CA
N
2
2029-06-15
Fixed
4.75000000
N
N
N
N
N
N
KINGDOM OF MOROCCO
529900F3MBW9XY5K1X07
Morocco Government International Bond
617726AL8
221000.00000000
PA
USD
190612.50000000
0.025515336410
Long
DBT
NUSS
MA
N
2
2032-12-15
Fixed
3.00000000
N
N
N
N
N
N
PUBLIC POWER CORP
213800T9Y5XCOVRZ4Y57
Public Power Corp SA
000000000
100000.00000000
PA
105463.21000000
0.014117276055
Long
DBT
CORP
GR
N
2
2026-03-30
Fixed
3.88000000
N
N
N
N
N
N
BNP PARIBAS
R0MUWSFPU8MPRO8K5P83
RRP BANK OF AME
000000000
-3478125.00000000
PA
USD
-3478125.00000000
-0.46558084833
Short
RA
CORP
US
N
2
Reverse repurchase
N
0.53000000
2049-12-31
3500000.00000000
USD
3534300.00000000
USD
CDS
N
N
N
RLJ LODGING TRUST LP
549300RX5I8Z6I6LDZ74
RLJ Lodging Trust LP
74965LAB7
66000.00000000
PA
USD
61040.76000000
0.008170899212
Long
DBT
US
N
2
2029-09-15
Fixed
4.00000000
N
N
N
N
N
N
ZAYO GROUP HOLDINGS INC
529900Z6OTS7RT0V0I47
Zayo Group Holdings Inc
98919VAB1
1090000.00000000
PA
USD
975550.00000000
0.130586852569
Long
DBT
CORP
US
N
2
2028-03-01
Fixed
6.13000000
N
N
N
N
N
N
HEALTHPEAK PROPERTIES
PZ9HF5U52KPF0MH0QN75
Healthpeak Properties Inc
40414LAN9
2000000.00000000
PA
USD
2033087.54000000
0.272148534515
Long
DBT
CORP
US
N
2
2025-06-01
Fixed
4.00000000
N
N
N
N
N
N
Credit Agricole SA
969500TJ5KRTCJQWXH05
Credit Agricole SA
225313AD7
1000000.00000000
PA
USD
1053750.00000000
0.141054682891
Long
DBT
CORP
FR
N
2
2024-01-23
Fixed
7.88000000
N
N
N
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
FSWP: EUR 0.850000 12-FEB-2026
000000000
20560000.00000000
OU
Notional Amount
179212.21000000
0.023989296751
N/A
DIR
XX
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2026-02-12
0.00000000
EUR
-13902.65000000
EUR
20560000.00000000
EUR
194382.09000000
N
N
N
T-MOBILE USA INC
549300V2JRLO5DIFGE82
T-Mobile USA Inc
87264ABW4
255000.00000000
PA
USD
239949.90000000
0.032119627097
Long
DBT
CORP
US
N
2
2031-04-15
Fixed
3.50000000
N
N
N
N
N
N
MATTEL INC
549300VELLG24KHTJ564
Mattel Inc
577081BF8
69000.00000000
PA
USD
66393.18000000
0.008887372670
Long
DBT
CORP
US
N
2
2029-04-01
Fixed
3.75000000
N
N
N
N
N
N
Ballyrock Ltd
N/A
Ballyrock CLO 2016-1 Ltd
05875FBG1
250000.00000000
PA
USD
248878.03000000
0.033314744104
Long
ABS-CBDO
CORP
KY
N
2
2028-10-15
Floating
3.39000000
N
N
N
N
N
N
CONSENSUS CLOUD SOLUTION
N/A
Consensus Cloud Solutions Inc
20848VAB1
45000.00000000
PA
USD
44715.15000000
0.005985557583
Long
DBT
CORP
US
N
2
2028-10-15
Fixed
6.50000000
N
N
N
N
N
N
HSBC SECURITIES (USA) INC
CYYGQCGNHMHPSMRL3R97
RRP FNMA 30YR U
000000000
-747706.58000000
PA
USD
-747706.58000000
-0.10008779552
Short
RA
CORP
US
N
2
Reverse repurchase
N
0.34000000
2022-04-13
747706.58000000
USD
747826.63000000
USD
AMBS
N
N
N
TAYLOR MORRISON COMM
549300O1Z08HI2MRK572
Taylor Morrison Communities Inc
87724RAJ1
37000.00000000
PA
USD
36167.50000000
0.004841371524
Long
DBT
CORP
US
N
2
2030-08-01
Fixed
5.13000000
N
N
N
N
N
N
SPX FLOW, INC.
5493003YXEKRBINIEM78
SPX FLOW, INC.
000000000
256000.00000000
PA
USD
249172.48000000
0.033354159100
Long
LON
CORP
US
N
2
2029-03-16
None
0.00000000
N
N
N
N
N
N
DAVITA INC
M2XHYMU3TZNEZURC6H66
DaVita Inc
23918KAS7
7000.00000000
PA
USD
6536.60000000
0.000874987463
Long
DBT
CORP
US
N
2
2030-06-01
Fixed
4.63000000
N
N
N
N
N
N
CSC Holdings LLC
3HG2WD2W22M120IUNG49
CSC Holdings LLC
126307AH0
166000.00000000
PA
USD
166209.99000000
0.022248823186
Long
DBT
CORP
US
N
2
2024-06-01
Fixed
5.25000000
N
N
N
N
N
N
FORD MOTOR COMPANY
20S05OYHG0MQM4VUIC57
Ford Motor Co
345370CQ1
2000000.00000000
PA
USD
1816520.00000000
0.243158863645
Long
DBT
CORP
US
N
2
2043-01-15
Fixed
4.75000000
N
N
N
N
N
N
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
FSWP: OIS 1.801960 15-NOV-2031
000000000
3940000.00000000
OU
Notional Amount
USD
-119503.32000000
-0.01599668128
N/A
DIR
US
N
2
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
N/A
N/A
Y
2031-11-17
24.27000000
USD
0.00000000
USD
3940000.00000000
USD
-119527.59000000
N
N
N
LIONS GATE CAPITAL HOLD
549300MWJHNLR35C0837
Lions Gate Capital Holdings LLC
53627NAE1
382000.00000000
PA
USD
368152.50000000
0.049280791594
Long
DBT
CORP
US
N
2
2029-04-15
Fixed
5.50000000
N
N
N
N
N
N
POST HOLDINGS INC
JM1I5YUAURL6DC8N1468
Post Holdings Inc
737446AP9
22000.00000000
PA
USD
21167.96000000
0.002833537257
Long
DBT
CORP
US
N
2
2029-12-15
Fixed
5.50000000
N
N
N
N
N
N
Grupo Bimbo SAB de CV
5493000RIXURZEBFEV60
Grupo Bimbo SAB de CV
40052VAF1
200000.00000000
PA
USD
202500.00000000
0.027106593865
Long
DBT
CORP
MX
N
2
2023-04-17
Fixed
5.95000000
N
N
N
N
N
N
ALLSTATE CORP
OBT0W1ED8G0NWVOLOJ77
Allstate Corp/The
020002BB6
2000000.00000000
PA
USD
1990000.00000000
0.266380848354
Long
DBT
CORP
US
N
2
2053-08-15
Fixed
5.75000000
N
N
N
N
N
N
ENTEGRIS INC
IYX6OWO7BT5DKO3BYG52
Entegris Inc
29362UAC8
49000.00000000
PA
USD
47407.50000000
0.006345954808
Long
DBT
CORP
US
N
2
2028-04-15
Fixed
4.38000000
N
N
N
N
N
N
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
FSWP: USD 0.688900 12-APR-2024
000000000
8590000.00000000
OU
Notional Amount
USD
-129051.72000000
-0.01727482746
N/A
DIR
US
N
2
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
N/A
N/A
Y
2024-04-12
0.00000000
USD
-220835.60000000
USD
8590000.00000000
USD
91783.88000000
N
N
N
NCL FINANCE LTD
N/A
NCL Finance Ltd
62888HAA7
368000.00000000
PA
USD
341262.96000000
0.045681365224
Long
DBT
CORP
BM
N
2
2028-03-15
Fixed
6.13000000
N
N
N
N
N
N
Ascend Performance Materials Operations LLC
549300NIMFUIRMMAGQ29
Ascend Performance Materials Operations LLC 2021 Term Loan B
04350TAC8
251249.48000000
PA
USD
250098.76000000
0.033478150684
Long
LON
CORP
US
N
2
2026-08-27
Floating
5.50000000
N
N
N
N
N
N
REPUBLIC OF CHILE
549300FLZTJM5YJF8D34
Chile Government International Bond
168863DY1
200000.00000000
PA
USD
205400.00000000
0.027494787061
Long
DBT
NUSS
CL
N
2
2042-03-07
Fixed
4.34000000
N
N
N
N
N
N
T-MOBILE USA INC
549300V2JRLO5DIFGE82
T-Mobile USA Inc
87264AAZ8
500000.00000000
PA
USD
505827.94000000
0.067709987828
Long
DBT
CORP
US
N
2
2050-04-15
Fixed
4.50000000
N
N
N
N
N
N
MORGAN STANLEY & CO. INTERNATIONAL
4PQUHN3JPFGFNF3BB653
SWAPTION JUN24 3.5 PUT
000000000
-3950000.00000000
NC
USD
-72971.91000000
-0.00976799964
N/A
DIR
US
N
2
MORGAN STANLEY & CO. INTERNATIONAL
4PQUHN3JPFGFNF3BB653
Put
Written
MORGAN STANLEY & CO. INTERNATIONAL
4PQUHN3JPFGFNF3BB653
MORGAN STANLEY & CO. INTERNATIONAL
4PQUHN3JPFGFNF3BB653
IRS Swap
N/A
3950000.00000000
OU
Notional Amount
N/A
-72971.91000000
-0.01000000
DIR
GB
N/A
N/A
2034-06-24
0.00000000
N/A
0.00000000
N/A
3950000.00000000
USD
1.00000000
3.50000000
USD
2024-06-20
XXXX
-15079.96000000
N
N
N
AMERICAN AIRLINES/AADVAN
N/A
American Airlines Inc/AAdvantage Loyalty IP Ltd
00253XAA9
493910.00000000
PA
USD
497614.33000000
0.066610516270
Long
DBT
CORP
XX
N
2
2026-04-20
Fixed
5.50000000
N
N
N
N
N
N
595 EXPRESS LLC 12/31/2031
N/A
595 EXPRESS LLC 12/31/2031
000000000
733891.03000000
PA
USD
719603.12000000
0.096325874163
Long
DBT
CORP
US
N
3
2031-12-31
Fixed
3.31000000
N
N
N
N
N
N
Grippen Park CLO LTD
549300P7KR0IARP7PG22
Grippen Park CLO Ltd
39862EAD6
250000.00000000
PA
USD
248088.03000000
0.033208994923
Long
ABS-CBDO
CORP
KY
N
2
2030-01-20
Floating
3.55000000
N
N
N
N
N
N
VMED O2 UK FINAN
213800MRR46ECNGZ7L69
Vmed O2 UK Financing I PLC
000000000
100000.00000000
PA
120560.19000000
0.016138153613
Long
DBT
CORP
GB
N
2
2031-07-15
Fixed
4.50000000
N
N
N
N
N
N
IMOLA MERGER CORP
N/A
Imola Merger Corp
45258LAA5
163000.00000000
PA
USD
156962.48000000
0.021010954061
Long
DBT
CORP
US
N
2
2029-05-15
Fixed
4.75000000
N
N
N
N
N
N
Marble Point CLO XXIII Ltd.
N/A
Marble Point CLO XXIII Ltd
56607TAN5
250000.00000000
PA
USD
248593.43000000
0.033276647627
Long
ABS-CBDO
CORP
KY
N
2
2035-01-22
Floating
3.74000000
N
N
N
N
N
N
UBS GROUP AG
549300SZJ9VS8SGXAN81
UBS Group AG
902613AD0
200000.00000000
PA
USD
180500.00000000
0.024161679963
Long
DBT
CORP
CH
N
2
2031-02-10
Fixed
4.38000000
N
N
N
N
N
N
BANCO BILBAO VIZCAYA ARG
K8MS7FD7N5Z2WQ51AZ71
Banco Bilbao Vizcaya Argentaria SA
05946KAF8
2200000.00000000
PA
USD
2136750.00000000
0.286024762674
Long
DBT
CORP
ES
N
2
2027-11-16
Fixed
6.13000000
N
N
N
N
N
N
Tibco Software Inc.
04EEB871XLHVNY4RZJ65
Tibco Software Inc. 2020 2nd Lien Term Loan
88632NAN0
189000.00000000
PA
USD
188330.94000000
0.025209927421
Long
LON
CORP
US
N
2
2028-03-03
Floating
7.71000000
N
N
N
N
N
N
YUM! BRANDS INC
549300JE8XHZZ7OHN517
Yum! Brands Inc
988498AL5
2000.00000000
PA
USD
1961.25000000
0.000262532381
Long
DBT
CORP
US
N
2
2030-01-15
Fixed
4.75000000
N
N
N
N
N
N
Goldman Sachs Bank USA
KD3XUN7C6T14HNAYLU02
10Y RTP 1.415000 22-JUL-2024
000000000
3090000.00000000
NC
USD
255797.37000000
0.034240965038
N/A
DIR
US
N
2
Goldman Sachs Bank USA
KD3XUN7C6T14HNAYLU02
Put
Purchased
Goldman Sachs Bank USA
KD3XUN7C6T14HNAYLU02
GOLDMAN SACHS BANK USA
KD3XUN7C6T14HNAYLU02
IRS Swap
N/A
3090000.00000000
OU
Notional Amount
N/A
255797.37000000
0.03000000
DIR
US
N/A
N/A
2034-07-24
0.00000000
N/A
0.00000000
N/A
3090000.00000000
USD
1.00000000
1.41500000
USD
2024-07-22
XXXX
62440.91000000
N
N
N
DT MIDSTREAM INC
N/A
DT Midstream Inc
23345MAB3
366000.00000000
PA
USD
350445.00000000
0.046910470553
Long
DBT
CORP
US
N
2
2031-06-15
Fixed
4.38000000
N
N
N
N
N
N
MORGAN STANLEY & CO. INTERNATIONAL
4PQUHN3JPFGFNF3BB653
SWAPTION AUG30 1.0451 PUT
000000000
910000.00000000
NC
USD
116817.92000000
0.015637214388
N/A
DIR
US
N
2
MORGAN STANLEY & CO. INTERNATIONAL
4PQUHN3JPFGFNF3BB653
Put
Purchased
MORGAN STANLEY & CO. INTERNATIONAL
4PQUHN3JPFGFNF3BB653
MORGAN STANLEY & CO. INTERNATIONAL
4PQUHN3JPFGFNF3BB653
IRS Swap
N/A
910000.00000000
OU
Notional Amount
N/A
116817.92000000
0.02000000
DIR
GB
N/A
N/A
2040-08-09
0.00000000
N/A
0.00000000
N/A
910000.00000000
USD
1.00000000
1.04510000
USD
2030-08-07
XXXX
50064.57000000
N
N
N
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
SWP: OIS 1.498500 04-MAR-2027
000000000
2090000.00000000
OU
Notional Amount
USD
22109.92000000
0.002959627762
N/A
DIR
US
N
2
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
N/A
N/A
Y
2027-03-04
0.00000000
USD
-24388.23000000
USD
2090000.00000000
USD
46498.15000000
N
N
N
Allison Transmission Inc
MWKQ3I0U1GXP2YDSZW75
Allison Transmission Inc
019736AF4
139000.00000000
PA
USD
141706.33000000
0.018968770051
Long
DBT
CORP
US
N
2
2029-06-01
Fixed
5.88000000
N
N
N
N
N
N
PREMIER ENTERTAINMENT SU
N/A
Premier Entertainment Sub LLC / Premier Entertainment Finance Corp
74052HAB0
79000.00000000
PA
USD
67438.35000000
0.009027278836
Long
DBT
CORP
US
N
2
2031-09-01
Fixed
5.88000000
N
N
N
N
N
N
HESS MIDSTREAM OPERATION
N/A
Hess Midstream Operations LP
428102AE7
162000.00000000
PA
USD
152863.20000000
0.020462225577
Long
DBT
CORP
US
N
2
2030-02-15
Fixed
4.25000000
N
N
N
N
N
N
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
FSWP: USD 0.397000 22-NOV-2023
000000000
2280000.00000000
OU
Notional Amount
USD
-24905.65000000
-0.00333386340
N/A
DIR
US
N
2
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
N/A
N/A
Y
2023-11-22
0.00000000
USD
-40954.48000000
USD
2280000.00000000
USD
16048.83000000
N
N
N
ARCHES BUYER INC
2549009ADY4208OH2Y47
Arches Buyer Inc
039524AA1
73000.00000000
PA
USD
68098.78000000
0.009115683813
Long
DBT
CORP
US
N
2
2028-06-01
Fixed
4.25000000
N
N
N
N
N
N
BOXER PARENT CO INC
5493006T045HLTF7YX04
Boxer Parent Co Inc
103186AC6
467000.00000000
PA
USD
481010.00000000
0.064387865259
Long
DBT
CORP
US
N
2
2026-03-01
Fixed
9.13000000
N
N
N
N
N
N
ITR Concession Co LLC
5493007GBY3OBTILCX44
ITR Concession Co LLC
450636AA3
4000000.00000000
PA
USD
4041504.76000000
0.540994706833
Long
DBT
CORP
US
N
2
2025-07-15
Fixed
4.20000000
N
N
N
N
N
N
MADISON IAQ LLC
549300IXDNBXNHUPBU73
Madison IAQ LLC
55760LAA5
36000.00000000
PA
USD
33179.04000000
0.004441337096
Long
DBT
CORP
US
N
2
2028-06-30
Fixed
4.13000000
N
N
N
N
N
N
ALBERTSONS COS/SAFEWAY
N/A
Albertsons Cos Inc / Safeway Inc / New Albertsons LP / Albertsons LLC
013092AC5
104000.00000000
PA
USD
100538.36000000
0.013458036999
Long
DBT
CORP
US
N
2
2027-01-15
Fixed
4.63000000
N
N
N
N
N
N
CCO HLDGS LLC/CAP CORP
N/A
CCO Holdings LLC / CCO Holdings Capital Corp
1248EPCK7
459000.00000000
PA
USD
416542.50000000
0.055758263580
Long
DBT
CORP
US
N
2
2031-02-01
Fixed
4.25000000
N
N
N
N
N
N
CARPENTER TECHNOLOGY
DX6I6ZD3X5WNNCDJKP85
Carpenter Technology Corp
144285AM5
104000.00000000
PA
USD
106486.64000000
0.014254272111
Long
DBT
CORP
US
N
2
2030-03-15
Fixed
7.63000000
N
N
N
N
N
N
ENERGY TRANSFER LP
5493006LL0CKP8WQW329
Energy Transfer LP
86765BAT6
310000.00000000
PA
USD
311663.91000000
0.041719244596
Long
DBT
CORP
US
N
2
2026-07-15
Fixed
3.90000000
N
N
N
N
N
N
MEDCO OAK TREE PTE LTD
254900AU06KP3JTGZL51
Medco Oak Tree Pte Ltd
000000000
288000.00000000
PA
USD
290880.00000000
0.038937116165
Long
DBT
CORP
SG
N
2
2026-05-14
Fixed
7.38000000
N
N
N
N
N
N
SENSATA TECHNOLOGIES INC
5493002MMDDCUNV7NY90
Sensata Technologies Inc
81728UAB0
13000.00000000
PA
USD
12025.00000000
0.001609663166
Long
DBT
CORP
US
N
2
2031-02-15
Fixed
3.75000000
N
N
N
N
N
N
AT&T Inc
549300Z40J86GGSTL398
AT&T Inc
00206RDG4
520000.00000000
PA
USD
673117.44000000
0.090103313924
Long
DBT
CORP
US
N
2
2041-03-01
Fixed
6.38000000
N
N
N
N
N
N
WELLS FARGO BANK, NATIONAL ASSOCIATION
KB1H1DSPRFMYMCUFXT09
10Y RTR 1.420000 02-AUG-2024
000000000
325000.00000000
NC
USD
8439.64000000
0.001129727870
N/A
DIR
US
N
2
WELLS FARGO BANK, NATIONAL ASSOCIATION
KB1H1DSPRFMYMCUFXT09
Call
Purchased
Wells Fargo Bank N.A.
KB1H1DSPRFMYMCUFXT09
Wells Fargo Bank N.A.
KB1H1DSPRFMYMCUFXT09
IRS Swap
N/A
325000.00000000
OU
Notional Amount
N/A
8439.64000000
0.00000000
DIR
US
N/A
N/A
2034-08-06
0.00000000
N/A
0.00000000
N/A
325000.00000000
USD
1.00000000
1.42000000
USD
2024-08-02
XXXX
-847.60000000
N
N
N
KLA CORP
549300H0BF5JCG96TJ81
KLA Corp
482480AJ9
500000.00000000
PA
USD
470960.13000000
0.063042592447
Long
DBT
CORP
US
N
2
2050-03-01
Fixed
3.30000000
N
N
N
N
N
N
ARDAGH METAL PACKAGING
N/A
Ardagh Metal Packaging Finance USA LLC / Ardagh Metal Packaging Finance PLC
03969YAB4
606000.00000000
PA
USD
546096.90000000
0.073100379651
Long
DBT
CORP
XX
N
2
2029-09-01
Fixed
4.00000000
N
N
N
N
N
N
AMWINS GROUP INC
549300SJE7MUB8NMRG61
AmWINS Group Inc
031921AB5
164000.00000000
PA
USD
157443.28000000
0.021075313816
Long
DBT
CORP
US
N
2
2029-06-30
Fixed
4.88000000
N
N
N
N
N
N
MORGAN STANLEY & CO. INTERNATIONAL
4PQUHN3JPFGFNF3BB653
2Y RTP 2.390000 17-FEB-2023
000000000
-15495000.00000000
NC
USD
-206869.72000000
-0.02769152337
N/A
DIR
US
N
2
MORGAN STANLEY & CO. INTERNATIONAL
4PQUHN3JPFGFNF3BB653
Put
Written
MORGAN STANLEY & CO. INTERNATIONAL
4PQUHN3JPFGFNF3BB653
MORGAN STANLEY & CO. INTERNATIONAL
4PQUHN3JPFGFNF3BB653
IRS Swap
N/A
15495000.00000000
OU
Notional Amount
N/A
-206869.72000000
-0.03000000
DIR
US
N/A
N/A
2025-02-17
0.00000000
N/A
0.00000000
N/A
15495000.00000000
USD
1.00000000
2.39000000
USD
2023-02-17
XXXX
-134765.68000000
N
N
N
DOMINICAN REPUBLIC
254900EHU7Q8FGVPI369
Dominican Republic International Bond
25714PED6
376000.00000000
PA
USD
345285.50000000
0.046219821313
Long
DBT
NUSS
DO
N
2
2030-01-30
Fixed
4.50000000
N
N
N
N
N
N
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
SWP: OIS 1.925200 16-MAR-2032
000000000
595000.00000000
OU
Notional Amount
USD
9688.99000000
0.001296965515
N/A
DIR
US
N
2
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
N/A
N/A
Y
2032-03-16
0.00000000
USD
-9.58000000
USD
595000.00000000
USD
9698.57000000
N
N
N
FIDELITY NATIONAL INFORM
6WQI0GK1PRFVBA061U48
Fidelity National Information Services Inc
31620MAU0
1000000.00000000
PA
USD
1035483.93000000
0.138609591824
Long
DBT
CORP
US
N
2
2046-08-15
Fixed
4.50000000
N
N
N
N
N
N
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
FSWP: USD 1.276500 17-JUN-2024
000000000
3235000.00000000
OU
Notional Amount
USD
-13632.67000000
-0.00182486542
N/A
DIR
US
N
2
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
N/A
N/A
Y
2024-06-17
0.00000000
USD
-52684.11000000
USD
3235000.00000000
USD
39051.44000000
N
N
N
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
FSWP: OIS 1.012000 09-JUN-2024
000000000
4320000.00000000
OU
Notional Amount
USD
-14183.27000000
-0.00189856859
N/A
DIR
US
N
2
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
N/A
N/A
Y
2024-06-10
0.00000000
USD
-68460.97000000
USD
4320000.00000000
USD
54277.70000000
N
N
N
LEVEL 3 FINANCING INC
254900AE5FEFIJOXWL19
Level 3 Financing Inc
527298BS1
127000.00000000
PA
USD
111125.00000000
0.014875161695
Long
DBT
CORP
US
N
2
2029-01-15
Fixed
3.63000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Pool
3133B1ED9
1305606.92000000
PA
USD
1254386.56000000
0.167911837194
Long
ABS-MBS
USGSE
US
N
2
2052-01-01
Fixed
2.50000000
N
N
N
N
N
N
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
SWP: OIS 2.133000 25-MAR-2027
000000000
1110000.00000000
OU
Notional Amount
USD
-5334.63000000
-0.00071409209
N/A
DIR
US
N
2
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
N/A
N/A
Y
2027-03-25
10.19000000
USD
0.00000000
USD
1110000.00000000
USD
-5344.82000000
N
N
N
Indianapolis Local Public Improvement Bond Bank
549300LX8ESJHDSESB87
INDIANAPOLIS IN LOCAL PUBLIC IMPT BOND BANK
45528S5S1
2535000.00000000
PA
USD
3104518.17000000
0.415569941637
Long
DBT
MUN
US
N
2
2040-01-15
Fixed
6.12000000
N
N
N
N
N
N
Goldentree Loan Opportunities IX Ltd
549300IOBSI2NBFBJX90
GoldenTree Loan Opportunities IX Ltd
38123HAS3
1500000.00000000
PA
USD
1489891.05000000
0.199436402942
Long
ABS-CBDO
CORP
KY
N
2
2029-10-29
Floating
1.90000000
N
N
N
N
N
N
CANO HEALTH LLC
254900OGI2T8V1NXN639
Cano Health LLC
13782CAA8
85000.00000000
PA
USD
81600.00000000
0.010922953379
Long
DBT
CORP
US
N
2
2028-10-01
Fixed
6.25000000
N
N
N
N
N
N
FIRSTENERGY TRANSMISSION
549300AINIIPOLYX2R63
FirstEnergy Transmission LLC
33767BAA7
313000.00000000
PA
USD
341232.93000000
0.045677345417
Long
DBT
CORP
US
N
2
2044-07-15
Fixed
5.45000000
N
N
N
N
N
N
Greeneden U.S. Holdings II, LLC
549300CVRD4OUCPHWQ42
Greeneden U.S. Holdings II, LLC 2020 USD Term Loan B4
39479UAQ6
234319.43000000
PA
USD
233733.63000000
0.031287518918
Long
LON
CORP
US
N
2
2027-12-01
Floating
4.75000000
N
N
N
N
N
N
CREDIT AGRICOLE CORPORATE AND INVESTMENT BANK SA
1VUV7VQFKUOQSJ21A208
RRP TREASURY BO
000000000
-2396875.00000000
PA
USD
-2396875.00000000
-0.32084502306
Short
RA
CORP
US
N
2
Reverse repurchase
N
0.33000000
2049-12-31
2500000.00000000
USD
2184472.64999999
USD
UST
N
N
N
NAVIENT CORP
54930067J0ZNOEBRW338
Navient Corp
63938CAM0
184000.00000000
PA
USD
171350.00000000
0.022936863500
Long
DBT
CORP
US
N
2
2029-03-15
Fixed
5.50000000
N
N
N
N
N
N
New York City Municipal Water Finance Authority
549300Q2EHQ6RJPQKP05
NEW YORK CITY NY MUNI WTR FIN AUTH WTR & SWR SYS REVENUE
64972FT30
1390000.00000000
PA
USD
1802182.26000000
0.241239617743
Long
DBT
MUN
US
N
2
2042-06-15
Fixed
5.72000000
N
N
N
N
N
N
NRG Energy Inc
5E2UPK5SW04M13XY7I38
NRG Energy Inc
629377CH3
47000.00000000
PA
USD
45929.81000000
0.006148151634
Long
DBT
CORP
US
N
2
2029-06-15
Fixed
5.25000000
N
N
N
N
N
N
UNIQUE PUB FINANCE CO
213800FOMWLKHQTI5562
Unique Pub Finance Co PLC/The
000000000
657627.81000000
PA
927709.05000000
0.124182876264
Long
ABS-O
CORP
GB
N
2
2027-06-30
Fixed
5.66000000
N
N
N
N
N
N
HSBC SECURITIES (USA) INC
CYYGQCGNHMHPSMRL3R97
RRP FHLMC 30YR
000000000
-1172496.04000000
PA
USD
-1172496.04000000
-0.15694999488
Short
RA
CORP
US
N
2
Reverse repurchase
N
0.34000000
2022-04-13
1172496.04000000
USD
1172684.29000000
USD
AMBS
N
N
N
JEFFERIES FIN LLC / JFIN
N/A
Jefferies Finance LLC / JFIN Co-Issuer Corp
47232MAF9
220000.00000000
PA
USD
210645.60000000
0.028196961623
Long
DBT
CORP
US
N
2
2028-08-15
Fixed
5.00000000
N
N
N
N
N
N
SAUDI INTERNATIONAL BOND
635400FMICXSM3SI3H65
Saudi Government International Bond
000000000
278000.00000000
PA
USD
303715.00000000
0.040655205707
Long
DBT
NUSS
SA
N
2
2030-04-17
Fixed
4.50000000
N
N
N
N
N
N
SUBURBAN PROPANE PARTNRS
N/A
Suburban Propane Partners LP/Suburban Energy Finance Corp
864486AL9
62000.00000000
PA
USD
58125.00000000
0.007780596387
Long
DBT
CORP
US
N
2
2031-06-01
Fixed
5.00000000
N
N
N
N
N
N
United States Treasury
254900HROIFWPRGM1V77
United States Treasury Note/Bond
912810RQ3
66500000.00000000
PA
USD
65107656.25000000
8.715292817224
Long
DBT
UST
US
N
2
2046-02-15
Fixed
2.50000000
N
N
N
N
N
N
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
SWP: OIS 1.606500 11-JAN-2032
000000000
1290000.00000000
OU
Notional Amount
USD
1037.48000000
0.000138876785
N/A
DIR
US
N
2
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
N/A
N/A
Y
2032-01-12
0.00000000
USD
-26364.58000000
USD
1290000.00000000
USD
27402.06000000
N
N
N
ADANI GREEN ENERGY UP
N/A
Adani Green Energy UP Ltd / Prayatna Developers Pvt Ltd / Parampujya Solar Energ
000000000
200000.00000000
PA
USD
204037.50000000
0.027312403189
Long
DBT
CORP
IN
N
2
2024-12-10
Fixed
6.25000000
N
N
N
N
N
N
VAIL RESORTS INC
529900PSZHRNU9HKH870
Vail Resorts Inc
91879QAL3
105000.00000000
PA
USD
108452.40000000
0.014517408200
Long
DBT
CORP
US
N
2
2025-05-15
Fixed
6.25000000
N
N
N
N
N
N
BOYNE USA INC
N/A
Boyne USA Inc
103557AC8
200000.00000000
PA
USD
192000.00000000
0.025701066775
Long
DBT
CORP
US
N
2
2029-05-15
Fixed
4.75000000
N
N
N
N
N
N
SURGERY CENTER HOLDINGS
54930054EVI5HWPPW113
Surgery Center Holdings Inc
84611WAB0
378000.00000000
PA
USD
376582.50000000
0.050409229058
Long
DBT
CORP
US
N
2
2025-07-01
Fixed
6.75000000
N
N
N
N
N
N
BOOKING HOLDINGS INC
FXM8FAOHMYDIPD38UZ17
Booking Holdings Inc
09857LAN8
256000.00000000
PA
USD
369408.00000000
0.049448852476
Long
DBT
CORP
US
N
2
2025-05-01
Fixed
0.75000000
N
N
N
N
N
Booking Holdings Inc
Booking Holdings Inc
USD
XXXX
N
N
N
CREDIT AGRICOLE SA
969500TJ5KRTCJQWXH05
Credit Agricole SA
225313AP0
400000.00000000
PA
USD
362972.00000000
0.048587331301
Long
DBT
CORP
FR
N
2
2029-03-23
Fixed
4.75000000
N
N
N
N
N
N
RADIATE HOLDCO / FINANCE
N/A
Radiate Holdco LLC / Radiate Finance Inc
75026JAC4
321000.00000000
PA
USD
309765.00000000
0.041465057030
Long
DBT
CORP
US
N
2
2026-09-15
Fixed
4.50000000
N
N
N
N
N
N
FRONTIER COMMUNICATIONS
N/A
Frontier Communications Holdings LLC
35906ABG2
249000.00000000
PA
USD
239040.00000000
0.031997828136
Long
DBT
CORP
US
N
2
2029-05-01
Fixed
6.75000000
N
N
N
N
N
N
GOLDMAN SACHS BANK USA
KD3XUN7C6T14HNAYLU02
SWAPTION DEC22 1.245 CALL
000000000
-2560000.00000000
NC
USD
-9112.58000000
-0.00121980743
N/A
DIR
US
N
2
GOLDMAN SACHS BANK USA
KD3XUN7C6T14HNAYLU02
Call
Written
GOLDMAN SACHS BANK USA
KD3XUN7C6T14HNAYLU02
GOLDMAN SACHS BANK USA
KD3XUN7C6T14HNAYLU02
IRS Swap
N/A
2560000.00000000
OU
Notional Amount
N/A
-9112.58000000
0.00000000
DIR
US
N/A
N/A
2032-12-20
0.00000000
N/A
0.00000000
N/A
2560000.00000000
USD
1.00000000
1.24500000
USD
2022-12-16
XXXX
74599.42000000
N
N
N
GENNEIA SA
529900YZ70LX0XWS9P67
Genneia SA
372319AB9
246370.00000000
PA
USD
232480.89000000
0.031119827489
Long
DBT
CORP
AR
N
2
2027-09-02
Fixed
8.75000000
N
N
N
N
N
N
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
FSWP: OIS 2.132280 15-AUG-2047
000000000
1640000.00000000
OU
Notional Amount
USD
21210.40000000
0.002839218264
N/A
DIR
US
N
2
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
N/A
N/A
Y
2047-08-15
45.59000000
USD
0.00000000
USD
1640000.00000000
USD
21164.81000000
N
N
N
UNITED STATES STEEL CORP
JNLUVFYJT1OZSIQ24U47
United States Steel Corp
912909AU2
331000.00000000
PA
USD
344240.00000000
0.046079870973
Long
DBT
CORP
US
N
2
2029-03-01
Fixed
6.88000000
N
N
N
N
N
N
LITHIA MOTORS INC
SE8N1EZEHPZQBCBVKD53
Lithia Motors Inc
536797AG8
89000.00000000
PA
USD
84126.36000000
0.011261131229
Long
DBT
CORP
US
N
2
2029-06-01
Fixed
3.88000000
N
N
N
N
N
N
TK ELEVATOR US NEWCO INC
549300C2AFWPAYWS5574
TK Elevator US Newco Inc
92537RAA7
266000.00000000
PA
USD
263081.98000000
0.035216080914
Long
DBT
CORP
US
N
2
2027-07-15
Fixed
5.25000000
N
N
N
N
N
N
MAF SUKUK LTD
549300IS9H0W5N2N4K34
MAF Sukuk Ltd
000000000
200000.00000000
PA
USD
199162.50000000
0.026659837040
Long
DBT
CORP
KY
N
2
2030-02-28
Fixed
3.93000000
N
N
N
N
N
N
Buckeye Partners LP
549300C1PQJLVEIUBK50
Buckeye Partners LP
118230AM3
94000.00000000
PA
USD
80129.36000000
0.010726093917
Long
DBT
CORP
US
N
2
2043-11-15
Fixed
5.85000000
N
N
N
N
N
N
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
SWP: OIS 1.585000 09-MAR-2032
000000000
780000.00000000
OU
Notional Amount
USD
-36401.69000000
-0.00487272013
N/A
DIR
US
N
2
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
N/A
N/A
Y
2032-03-09
0.00000000
USD
-17931.07000000
USD
780000.00000000
USD
-18470.62000000
N
N
N
TK ELEVATOR HOLDCO GMBH
2549008GCHWX9EEMIS56
TK Elevator Holdco GmbH
92537VAA8
200000.00000000
PA
USD
198250.00000000
0.026537690043
Long
DBT
CORP
DE
N
2
2028-07-15
Fixed
7.63000000
N
N
N
N
N
N
TERRAFORM POWER OPERATIN
5493000S2OLR3UT5BE13
TerraForm Power Operating LLC
88104LAG8
121000.00000000
PA
USD
118011.30000000
0.015796959904
Long
DBT
CORP
US
N
2
2030-01-15
Fixed
4.75000000
N
N
N
N
N
N
WELLS FARGO BANK, NATIONAL ASSOCIATION
KB1H1DSPRFMYMCUFXT09
2Y RTR 1.360000 18-JAN-2023
000000000
-8340000.00000000
NC
USD
-12136.45000000
-0.00162458183
N/A
DIR
US
N
2
WELLS FARGO BANK, NATIONAL ASSOCIATION
KB1H1DSPRFMYMCUFXT09
Call
Written
Wells Fargo Bank N.A.
KB1H1DSPRFMYMCUFXT09
Wells Fargo Bank N.A.
KB1H1DSPRFMYMCUFXT09
IRS Swap
N/A
8340000.00000000
OU
Notional Amount
N/A
-12136.45000000
0.00000000
DIR
US
N/A
N/A
2025-01-18
0.00000000
N/A
0.00000000
N/A
8340000.00000000
USD
1.00000000
1.36000000
USD
2023-01-18
XXXX
21723.95000000
N
N
N
WESCO DISTRIBUTION INC
549300I2CEZJG9N4AH67
WESCO Distribution Inc
95081QAP9
252000.00000000
PA
USD
267658.02000000
0.035828628360
Long
DBT
CORP
US
N
2
2028-06-15
Fixed
7.25000000
N
N
N
N
N
N
CITIGROUP INC
6SHGI4ZSSLCXXQSBB395
Citigroup Inc
172967NB3
335000.00000000
PA
USD
313853.13000000
0.042012292979
Long
DBT
CORP
US
N
2
2026-11-15
Fixed
4.15000000
N
N
N
N
N
N
CHENIERE ENERGY PARTNERS
5493005UEC8AZ34LDV29
Cheniere Energy Partners LP
16411QAL5
484000.00000000
PA
USD
440096.36000000
0.058911176751
Long
DBT
CORP
US
N
2
2032-01-31
Fixed
3.25000000
N
N
N
N
N
N
CLARIOS GLOBAL LP/US FIN
N/A
Clarios Global LP / Clarios US Finance Co
000000000
100000.00000000
PA
109242.16000000
0.014623125254
Long
DBT
CORP
US
N
2
2026-05-15
Fixed
4.38000000
N
N
N
N
N
N
TruGreen Limited Partnership
549300QNRP2MNHR3QM19
TruGreen Limited Partnership 2020 2nd Lien Term Loan
89787RAK8
106000.00000000
PA
USD
106265.00000000
0.014224603442
Long
LON
CORP
US
N
3
2028-11-02
Floating
9.51000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Pool
3133AY5K2
1200838.05000000
PA
USD
1153734.89000000
0.154438632550
Long
ABS-MBS
USGSE
US
N
2
2051-12-01
Fixed
2.50000000
N
N
N
N
N
N
Life Time Fitness Inc
549300PALKE96VYH4X17
Life Time Fitness Inc 2021 Term Loan B
50218KAG3
52468.37000000
PA
USD
52140.44000000
0.006979504844
Long
LON
CORP
US
N
2
2024-12-16
Floating
5.75000000
N
N
N
N
N
N
ORGANON & CO/ORG
N/A
Organon & Co / Organon Foreign Debt Co-Issuer BV
68622TAA9
598000.00000000
PA
USD
569717.59000000
0.076262238666
Long
DBT
CORP
US
N
2
2028-04-30
Fixed
4.13000000
N
N
N
N
N
N
HSBC SECURITIES (USA) INC
CYYGQCGNHMHPSMRL3R97
RRP FHLMC 30YR
000000000
-1333959.52000000
PA
USD
-1333959.52000000
-0.17856345156
Short
RA
CORP
US
N
2
Reverse repurchase
N
0.34000000
2022-04-13
1333959.52000000
USD
1334173.69000000
USD
AMBS
N
N
N
LEGACY LIFEPOINT HEALTH
N/A
Legacy LifePoint Health LLC
53219LAS8
65000.00000000
PA
USD
62796.18000000
0.008405879247
Long
DBT
CORP
US
N
2
2027-02-15
Fixed
4.38000000
N
N
N
N
N
N
Bain Capital Credit CLO, Limited
N/A
Bain Capital Credit CLO 2021-3 Ltd
05683NAG7
250000.00000000
PA
USD
244246.53000000
0.032694772798
Long
ABS-CBDO
CORP
KY
N
2
2034-07-24
Floating
3.36000000
N
N
N
N
N
N
DEUTSCHE BANK AG
7LTWFZYICNSX8D621K86
BRY08G7L6 BLACKROCK
000000000
-19040000.00000000
NC
USD
-39536.18000000
-0.00529230209
N/A
DIR
LU
N
2
DEUTSCHE BANK AG
7LTWFZYICNSX8D621K86
Call
Written
DEUTSCHE BANK AG
7LTWFZYICNSX8D621K86
DEUTSCHE BANK AG
7LTWFZYICNSX8D621K86
IRS Swap
N/A
19040000.00000000
OU
Notional Amount
N/A
-39536.18000000
-0.01000000
DIR
LU
N/A
N/A
2024-09-21
0.00000000
N/A
0.00000000
N/A
19040000.00000000
USD
1.00000000
1.95000000
USD
2022-09-19
XXXX
21391.82000000
N
N
N
Merrill Lynch Mortgage Investors Trust
N/A
Merrill Lynch Mortgage Investors Trust Series 2006-A3
59023CAD4
186829.98000000
PA
USD
155891.48000000
0.020867590298
Long
ABS-MBS
CORP
US
N
2
2036-05-25
Variable
2.73000000
N
N
N
N
N
N
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
FSWP: USD 1.709000 16-AUG-2049
000000000
600000.00000000
OU
Notional Amount
USD
-9468.70000000
-0.00126747755
N/A
DIR
US
N
2
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
N/A
N/A
Y
2049-08-16
0.00000000
USD
-12232.62000000
USD
600000.00000000
USD
2763.92000000
N
N
N
ConocoPhillips
WPTL2Z3FIYTHSP5V2253
ConocoPhillips
20825CAQ7
600000.00000000
PA
USD
802283.42000000
0.107393436201
Long
DBT
CORP
US
N
2
2039-02-01
Fixed
6.50000000
N
N
N
N
N
N
DEVON ENERGY CORPORATION
54930042348RKR3ZPN35
Devon Energy Corp
25179MAN3
300000.00000000
PA
USD
317014.83000000
0.042435517264
Long
DBT
CORP
US
N
2
2042-05-15
Fixed
4.75000000
N
N
N
N
N
N
MORGAN STANLEY & CO. INTERNATIONAL
4PQUHN3JPFGFNF3BB653
SWAPTION AUG24 2.25 PUT
000000000
-3310000.00000000
NC
USD
-179596.89000000
-0.02404078990
N/A
DIR
US
N
2
MORGAN STANLEY & CO. INTERNATIONAL
4PQUHN3JPFGFNF3BB653
Put
Written
MORGAN STANLEY & CO. INTERNATIONAL
4PQUHN3JPFGFNF3BB653
MORGAN STANLEY & CO. INTERNATIONAL
4PQUHN3JPFGFNF3BB653
IRS Swap
N/A
3310000.00000000
OU
Notional Amount
N/A
-179596.89000000
-0.02000000
DIR
GB
N/A
N/A
2034-08-22
0.00000000
N/A
0.00000000
N/A
3310000.00000000
USD
1.00000000
2.25000000
USD
2024-08-20
XXXX
-81466.38000000
N
N
N
Naked Juice LLC
549300Y5TU1XQ1KVLJ64
Naked Juice LLC Term Loan
62984CAD5
142148.91000000
PA
USD
139610.13000000
0.018688173300
Long
LON
CORP
US
N
2
2029-01-24
Floating
3.75000000
N
N
N
N
N
N
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
FSWP: OIS 2.086000 20-SEP-2027
000000000
4460000.00000000
OU
Notional Amount
USD
52919.61000000
0.007083804324
N/A
DIR
US
N
2
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
N/A
N/A
Y
2027-09-20
0.00000000
USD
-41.10000000
USD
4460000.00000000
USD
52960.71000000
N
N
N
United States Treasury
254900HROIFWPRGM1V77
United States Treasury Note/Bond
912810RZ3
2000000.00000000
PA
USD
2075156.24000000
0.277779839035
Long
DBT
UST
US
N
2
2047-11-15
Fixed
2.75000000
N
N
N
N
N
N
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
BRY0SLGP4
000000000
14600000.00000000
OU
Notional Amount
USD
-8512.19000000
-0.00113943939
N/A
DIR
US
N
2
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
N/A
N/A
Y
2024-10-04
63.51000000
USD
0.00000000
USD
14600000.00000000
USD
-8575.70000000
N
N
N
Inkia Energy Ltd
N/A
Inkia Energy Ltd
45721RAC7
200000.00000000
PA
USD
192412.50000000
0.025756283911
Long
DBT
CORP
BM
N
2
2027-11-09
Fixed
5.88000000
N
N
N
N
N
N
Ryan Specialty Group, LLC
549300K52N7QBO3PYY45
Ryan Specialty Group, LLC Term Loan
78350UAE5
123125.00000000
PA
USD
122099.37000000
0.016344187821
Long
LON
CORP
US
N
2
2027-09-01
Floating
3.75000000
N
N
N
N
N
N
EMBECTA CORP
N/A
Embecta Corp
29082KAA3
67000.00000000
PA
USD
63194.74000000
0.008459230378
Long
DBT
CORP
US
N
2
2030-02-15
Fixed
5.00000000
N
N
N
N
N
N
BNP PARIBAS
R0MUWSFPU8MPRO8K5P83
RRP JPMORGAN CH
000000000
-3212402.50000000
PA
USD
-3212402.50000000
-0.43001130814
Short
RA
CORP
US
N
2
Reverse repurchase
N
0.53000000
2049-12-31
3422000.00000000
USD
3422000.00000000
USD
CDS
N
N
N
Sedgwick Claims Management Services, Inc.
549300BIN4DWJG5VWF64
Sedgwick Claims Management Services, Inc. 2019 Term Loan B
81527CAM9
140040.00000000
PA
USD
138946.29000000
0.018599311862
Long
LON
CORP
US
N
2
2026-09-03
Floating
4.21000000
N
N
N
N
N
N
Comcast Corp
51M0QTTNCGUN7KFCFZ59
Comcast Corp
20030NAM3
790000.00000000
PA
USD
1030347.29000000
0.137922002618
Long
DBT
CORP
US
N
2
2037-03-15
Fixed
6.45000000
N
N
N
N
N
N
ASHLAND LLC
6O4MRU8C1MS0K34UQF79
Ashland LLC
04433LAA0
221000.00000000
PA
USD
195032.50000000
0.026106996385
Long
DBT
CORP
US
N
2
2031-09-01
Fixed
3.38000000
N
N
N
N
N
N
WR GRACE HOLDING LLC
N/A
WR Grace Holdings LLC
92943GAA9
904000.00000000
PA
USD
845330.40000000
0.113155693011
Long
DBT
CORP
US
N
2
2029-08-15
Fixed
5.63000000
N
N
N
N
N
N
Asurion LLC
549300KNQVXGIOXWK278
Asurion LLC 2020 Term Loan B8
04649VAX8
48159.02000000
PA
USD
47055.22000000
0.006298798705
Long
LON
CORP
US
N
2
2026-12-23
Floating
3.71000000
N
N
N
N
N
N
Highbridge Loan Management Ltd
N/A
Highbridge Loan Management 3-2014
40436XAJ6
1000000.00000000
PA
USD
970392.90000000
0.129896524592
Long
ABS-CBDO
CORP
KY
N
2
2029-07-18
Floating
3.84000000
N
N
N
N
N
N
Staples Inc
XQM2JINI1UL7642TU573
Staples Inc
855030AN2
486000.00000000
PA
USD
471957.03000000
0.063176037205
Long
DBT
CORP
US
N
2
2026-04-15
Fixed
7.50000000
N
N
N
N
N
N
MONGOLIA INTL BOND
N/A
Mongolia Government International Bond
000000000
250000.00000000
PA
USD
246277.50000000
0.032966637879
Long
DBT
NUSS
MN
N
2
2026-04-07
Fixed
5.13000000
N
N
N
N
N
N
HSBC SECURITIES (USA) INC
CYYGQCGNHMHPSMRL3R97
RRP FNMA 30YR U
000000000
-604456.80000000
PA
USD
-604456.80000000
-0.08091241968
Short
RA
CORP
US
N
2
Reverse repurchase
N
0.34000000
2022-04-13
604456.80000000
USD
604553.85000000
USD
AMBS
N
N
N
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
SWP: OIS 2.183500 23-MAR-2032
000000000
595000.00000000
OU
Notional Amount
USD
-3976.94000000
-0.00053235208
N/A
DIR
US
N
2
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
N/A
N/A
Y
2032-03-23
0.00000000
USD
-9.60000000
USD
595000.00000000
USD
-3967.34000000
N
N
N
Barclays Bank PLC
G5GSEF7VJP5I7OUK5573
10Y RTR 1.550000 08-AUG-2022
000000000
-1580000.00000000
NC
USD
-7692.31000000
-0.00102969048
N/A
DIR
US
N
2
Barclays Bank PLC
G5GSEF7VJP5I7OUK5573
Call
Written
Barclays Capital, Inc.
G5GSEF7VJP5I7OUK5573
Barclays Capital, Inc.
G5GSEF7VJP5I7OUK5573
IRS Swap
N/A
1580000.00000000
OU
Notional Amount
N/A
-7692.31000000
0.00000000
DIR
US
N/A
N/A
2032-08-10
0.00000000
N/A
0.00000000
N/A
1580000.00000000
USD
1.00000000
1.55000000
USD
2022-08-08
XXXX
11425.69000000
N
N
N
Clarios Global LP
549300474L1ZLXZY2P98
Clarios Global LP 2021 USD Term Loan B
000000000
147555.48000000
PA
USD
145526.59000000
0.019480148996
Long
LON
CORP
CA
N
2
2026-04-30
Floating
3.71000000
N
N
N
N
N
N
MACY'S RETAIL HLDGS LLC
N/A
Macy's Retail Holdings LLC
55617LAR3
33000.00000000
PA
USD
32587.50000000
0.004362153716
Long
DBT
CORP
US
N
2
2032-03-15
Fixed
6.13000000
N
N
N
N
N
N
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
SWP: OIS 1.671000 02-MAR-2032
000000000
620000.00000000
OU
Notional Amount
USD
-23883.82000000
-0.00319708152
N/A
DIR
US
N
2
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
N/A
N/A
Y
2032-03-02
0.00000000
USD
-9331.95000000
USD
620000.00000000
USD
-14551.87000000
N
N
N
Oracle Corp
1Z4GXXU7ZHVWFCD8TV52
Oracle Corp
68389XAM7
3025000.00000000
PA
USD
3191756.60000000
0.427247653693
Long
DBT
CORP
US
N
2
2040-07-15
Fixed
5.38000000
N
N
N
N
N
N
PRIME HEALTHCARE SERVICE
N/A
Prime Healthcare Services Inc
74165HAB4
195000.00000000
PA
USD
199873.05000000
0.026754951066
Long
DBT
CORP
US
N
2
2025-11-01
Fixed
7.25000000
N
N
N
N
N
N
CALLON PETROLEUM
549300EFOWPEB0WLZW21
Callon Petroleum Co
13123XBD3
418000.00000000
PA
USD
440643.06000000
0.058984357861
Long
DBT
CORP
US
N
2
2028-08-01
Fixed
8.00000000
N
N
N
N
N
N
Range Resources Corp
H3Y3WLYCX0BTO1TRW162
Range Resources Corp
75281ABA6
122000.00000000
PA
USD
122854.00000000
0.016445202383
Long
DBT
CORP
US
N
2
2023-03-15
Fixed
5.00000000
N
N
N
N
N
N
BANCA MONTE DEI PASCHI S
J4CP7MHCXR8DAQMKIL78
Banca Monte dei Paschi di Siena SpA
000000000
100000.00000000
PA
103987.48000000
0.013919735246
Long
DBT
CORP
IT
N
2
2025-04-28
Fixed
2.63000000
N
N
N
N
N
N
SOTHEBY'S/BIDFAIR HLD
N/A
Sotheby's/Bidfair Holdings Inc
83600GAA2
400000.00000000
PA
USD
387000.00000000
0.051803712720
Long
DBT
CORP
US
N
2
2029-06-01
Fixed
5.88000000
N
N
N
N
N
N
MH Sub I, LLC
N/A
MH Sub I, LLC 2021 2nd Lien Term Loan
55303BAD5
35000.00000000
PA
USD
34606.25000000
0.004632383031
Long
LON
CORP
US
N
2
2029-02-23
Floating
6.71000000
N
N
N
N
N
N
CARVANA CO
5493003WEAK2PJ5WS063
Carvana Co
146869AH5
151000.00000000
PA
USD
124701.09000000
0.016692453339
Long
DBT
CORP
US
N
2
2029-09-01
Fixed
4.88000000
N
N
N
N
N
N
United States Treasury
254900HROIFWPRGM1V77
United States Treasury Note/Bond
912810RJ9
61400000.00000000
PA
USD
65064812.50000000
8.709557764726
Long
DBT
UST
US
N
2
2044-11-15
Fixed
3.00000000
N
N
N
N
N
N
EASY TACTIC LTD
549300WYFMC41MKE6E16
Easy Tactic Ltd
000000000
200000.00000000
PA
USD
43000.00000000
0.005755968080
Long
DBT
CORP
VG
N
2
2023-08-02
Fixed
11.75000000
N
N
N
N
N
N
Range Resources Corp
H3Y3WLYCX0BTO1TRW162
Range Resources Corp
75281AAS8
10000.00000000
PA
USD
10121.66000000
0.001354882601
Long
DBT
CORP
US
N
2
2025-05-15
Fixed
4.88000000
N
N
N
N
N
N
ALTICE FRANCE SA
5493001ZMCICV4N02J21
Altice France SA/France
02156LAH4
321000.00000000
PA
USD
288026.88000000
0.038555198313
Long
DBT
CORP
FR
N
2
2029-10-15
Fixed
5.50000000
N
N
N
N
N
N
NEW FORTRESS ENERGY INC
N/A
New Fortress Energy Inc
644393AA8
462000.00000000
PA
USD
464730.42000000
0.062208685193
Long
DBT
CORP
US
N
2
2025-09-15
Fixed
6.75000000
N
N
N
N
N
N
ELEMENT SOLUTIONS INC
549300FLGN6P5CU20J91
Element Solutions Inc
28618MAA4
665000.00000000
PA
USD
620943.75000000
0.083119358244
Long
DBT
CORP
US
N
2
2028-09-01
Fixed
3.88000000
N
N
N
N
N
N
ABC SUPPLY CO INC
549300H5GQ4C1BEKG397
American Builders & Contractors Supply Co Inc
024747AG2
32000.00000000
PA
USD
29840.00000000
0.003994374128
Long
DBT
CORP
US
N
2
2029-11-15
Fixed
3.88000000
N
N
N
N
N
N
BNP PARIBAS
R0MUWSFPU8MPRO8K5P83
BRY03VJ35 RRP TREASURY NO
000000000
-6594472.50000000
PA
USD
-6594472.50000000
-0.88273426080
Short
RA
CORP
US
N
2
Reverse repurchase
N
0.33000000
2049-12-31
6594472.50000000
USD
6595318.79000000
USD
UST
N
N
N
Anchorage Capital CLO LTD
5493008PWA7TS1SR9447
Anchorage Capital CLO 2013-1 Ltd
033292AW3
720000.00000000
PA
USD
719319.89000000
0.096287961073
Long
ABS-CBDO
CORP
KY
N
2
2030-10-13
Floating
3.44000000
N
N
N
N
N
N
JP MORGAN CHASE BANK
7H6GLXDRUGQFU57RNE97
10Y RTR 1.450000 05-DEC-2022
000000000
-677500.00000000
NC
USD
-5460.93000000
-0.00073099857
N/A
DIR
US
N
2
JP MORGAN CHASE BANK
7H6GLXDRUGQFU57RNE97
Call
Written
JPMorgan International Bank Ltd.
PGBWEZU4QUV2UVGWJC76
JPMorgan International Bank Ltd.
PGBWEZU4QUV2UVGWJC76
IRS Swap
N/A
677500.00000000
OU
Notional Amount
N/A
-5460.93000000
0.00000000
DIR
US
N/A
N/A
2032-12-07
0.00000000
N/A
0.00000000
N/A
677500.00000000
USD
1.00000000
1.45000000
USD
2022-12-05
XXXX
15202.82000000
N
N
N
CANTOR FITZGERALD & CO
5493004J7H4GCPG6OB62
RRP FHLMC 30YR
000000000
-2199127.53000000
PA
USD
-2199127.53000000
-0.29437460154
Short
RA
CORP
US
N
2
Reverse repurchase
N
0.37000000
2022-05-12
2199127.53000000
USD
2199511.77000000
USD
AMBS
N
N
N
Sensata Technologies BV
PUCKW5P5O3XMOZVH7T53
Sensata Technologies BV
81725WAJ2
70000.00000000
PA
USD
70962.50000000
0.009499020578
Long
DBT
CORP
NL
N
2
2025-10-01
Fixed
5.00000000
N
N
N
N
N
N
LIQUID TELECOM FINANCE
635400MXAVJRJJCWVI87
Liquid Telecommunications Financing Plc
536333AB3
200000.00000000
PA
USD
189500.00000000
0.025366417468
Long
DBT
CORP
GB
N
2
2026-09-04
Fixed
5.50000000
N
N
N
N
N
N
SENSATA TECHNOLOGIES BV
PUCKW5P5O3XMOZVH7T53
Sensata Technologies BV
81725WAK9
275000.00000000
PA
USD
261863.25000000
0.035052942054
Long
DBT
CORP
NL
N
2
2029-04-15
Fixed
4.00000000
N
N
N
N
N
N
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
FSWP: USD 0.782000 15-AUG-2024
000000000
5755000.00000000
OU
Notional Amount
USD
-81211.90000000
-0.01087100242
N/A
DIR
US
N
2
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
N/A
N/A
Y
2024-08-15
0.00000000
USD
-156243.05000000
USD
5755000.00000000
USD
75031.15000000
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae REMICS
31358U6R2
98.45000000
PA
USD
97.29000000
0.000013023212
Long
ABS-MBS
USGSE
US
N
2
2023-05-25
None
0.00000000
N
N
N
N
N
N
STERLING COOFS TR
N/A
STERLING COOFS TR
859245AA0
973364.22000000
PA
USD
9733.64000000
0.001302942352
Long
ABS-O
CORP
US
N
3
2029-04-15
Variable
2.36000000
N
N
N
N
N
N
CENTENE CORP
549300Z7JJ4TQSQGT333
Centene Corp
15135BAY7
417000.00000000
PA
USD
381012.90000000
0.051002281173
Long
DBT
CORP
US
N
2
2028-07-15
Fixed
2.45000000
N
N
N
N
N
N
KRAFT HEINZ FOODS CO
5493003STKEZ2S0RNU91
Kraft Heinz Foods Co
50077LBJ4
565000.00000000
PA
USD
641574.45000000
0.085880978027
Long
DBT
CORP
US
N
2
2050-06-01
Fixed
5.50000000
N
N
N
N
N
N
LBM Acquisition LLC
549300FAEB3VWZL4NI86
LBM Acquisition LLC Term Loan B
50179JAB4
31543.02000000
PA
USD
30727.00000000
0.004113107702
Long
LON
CORP
US
N
2
2027-12-17
Floating
4.50000000
N
N
N
N
N
N
Dun & Bradstreet Corporation (The)
RI37BMPWE56BCJ747E14
Dun & Bradstreet Corporation (The) 2022 Incremental Term Loan B2
26483NAS9
123000.00000000
PA
USD
121770.00000000
0.016300098444
Long
LON
CORP
US
N
3
2029-01-18
Floating
3.56000000
N
N
N
N
N
N
GENERAL MOTORS FINL CO
5493008B6JBRUJ90QL97
General Motors Financial Co Inc
37045XAL0
807000.00000000
PA
USD
816824.87000000
0.109339950667
Long
DBT
CORP
US
N
2
2023-05-15
Fixed
4.25000000
N
N
N
N
N
N
1011778 BC / NEW RED FIN
N/A
1011778 BC ULC / New Red Finance Inc
68245XAJ8
138000.00000000
PA
USD
132480.00000000
0.017733736075
Long
DBT
CORP
CA
N
2
2028-01-15
Fixed
4.38000000
N
N
N
N
N
N
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
FSWP: OIS 1.780000 15-FEB-2029
000000000
10390000.00000000
OU
Notional Amount
USD
201364.12000000
0.026954545283
N/A
DIR
US
N
2
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
N/A
N/A
Y
2029-02-15
0.00000000
USD
-40936.51000000
USD
10390000.00000000
USD
242300.63000000
N
N
N
GENESIS ENERGY LP/FIN
549300VJ5D6MDK138782
Genesis Energy LP / Genesis Energy Finance Corp
37185LAJ1
29000.00000000
PA
USD
28602.70000000
0.003828749493
Long
DBT
CORP
US
N
2
2025-10-01
Fixed
6.50000000
N
N
N
N
N
N
GOLDMAN SACHS GROUP INC
784F5XWPLTWKTBV3E584
Goldman Sachs Group Inc/The
38148LAE6
8965000.00000000
PA
USD
9099927.64000000
1.218113791312
Long
DBT
CORP
US
N
2
2025-05-22
Fixed
3.75000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac REMICS
3137BERC0
10354214.56000000
PA
USD
11029687.28000000
1.476430881776
Long
ABS-MBS
USGSE
US
N
2
2054-09-15
Fixed
4.00000000
N
Y
N
N
N
N
Park Avenue Institutional Advisers CLO
549300ZWX1MRCB6KO574
Park Avenue Institutional Advisers CLO Ltd 2017-1
70018FAE9
1300000.00000000
PA
USD
1245700.17000000
0.166749079437
Long
ABS-CBDO
CORP
KY
N
2
2034-02-14
Floating
7.20000000
N
N
N
N
N
N
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
SWP: OIS 1.761000 11-MAR-2032
000000000
303000.00000000
OU
Notional Amount
USD
9351.34000000
0.001251767780
N/A
DIR
US
N
2
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
N/A
N/A
Y
2032-03-11
0.00000000
USD
-1.86000000
USD
303000.00000000
USD
9353.20000000
N
N
N
CHINA EVERGRANDE GROUP
549300CUF7B1LAB15T90
China Evergrande Group
000000000
450000.00000000
PA
USD
56250.00000000
0.007529609407
Long
DBT
CORP
KY
N
2
2023-01-22
Fixed
11.50000000
Y
Y
N
N
N
N
CBAM CLO Management LLC
254900JWJFDB3KD6V066
CBAM 2017-1 Ltd
12480VAJ4
350000.00000000
PA
USD
347475.14000000
0.046512925917
Long
ABS-CBDO
CORP
KY
N
2
2030-07-20
Floating
2.65000000
N
N
N
N
N
N
UNITI GRP/UNITI HLD/CSL
N/A
Uniti Group LP / Uniti Fiber Holdings Inc / CSL Capital LLC
91327AAB8
95000.00000000
PA
USD
85500.00000000
0.011445006298
Long
DBT
US
N
2
2030-01-15
Fixed
6.00000000
N
N
N
N
N
N
FERTITTA ENTERTAINMENT
N/A
Fertitta Entertainment LLC / Fertitta Entertainment Finance Co Inc
31556TAA7
153000.00000000
PA
USD
144967.50000000
0.019405309363
Long
DBT
CORP
US
N
2
2029-01-15
Fixed
4.63000000
N
N
N
N
N
N
MORGAN STANLEY & CO. INTERNATIONAL
4PQUHN3JPFGFNF3BB653
10Y RTP 0.654100 07-AUG-2040
000000000
550000.00000000
NC
USD
58585.20000000
0.007842198631
N/A
DIR
US
N
2
MORGAN STANLEY & CO. INTERNATIONAL
4PQUHN3JPFGFNF3BB653
Put
Purchased
MORGAN STANLEY & CO. INTERNATIONAL
4PQUHN3JPFGFNF3BB653
MORGAN STANLEY & CO. INTERNATIONAL
4PQUHN3JPFGFNF3BB653
IRS Swap
N/A
550000.00000000
OU
Notional Amount
N/A
58585.20000000
0.01000000
DIR
US
N/A
N/A
2050-08-09
0.00000000
N/A
0.00000000
N/A
550000.00000000
USD
1.00000000
0.65410000
USD
2040-08-07
XXXX
3035.20000000
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38376PA59
745766.77000000
PA
USD
93044.40000000
0.012454897591
Long
ABS-MBS
USGA
US
N
2
2039-12-16
Floating
6.04000000
N
N
N
N
N
N
ZAYO GROUP HOLDINGS INC
529900Z6OTS7RT0V0I47
Zayo Group Holdings Inc
98919VAA3
743000.00000000
PA
USD
683730.89000000
0.091524027399
Long
DBT
CORP
US
N
2
2027-03-01
Fixed
4.00000000
N
N
N
N
N
N
Bank of America Corp
9DJT3UXIJIZJI4WXO774
Bank of America Corp
060505FL3
3500000.00000000
PA
USD
3534300.00000000
0.473100418261
Long
DBT
CORP
US
N
2
2028-03-15
Fixed
5.88000000
N
N
N
N
N
N
United Mexican States
254900EGTWEU67VP6075
Mexico Government International Bond
91087BAE0
200000.00000000
PA
USD
203700.00000000
0.027267225532
Long
DBT
NUSS
MX
N
2
2028-01-11
Fixed
3.75000000
N
N
N
N
N
N
CP Atlas Buyer, Inc.
2549006ZZ07G0NDDCR36
CP Atlas Buyer, Inc. 2021 Term Loan B
12658HAG7
62378.24000000
PA
USD
60516.87000000
0.008100771442
Long
LON
CORP
US
N
2
2027-11-23
Floating
4.25000000
N
N
N
N
N
N
ATLAS LUXCO 4 / ALL UNI
N/A
Allied Universal Holdco LLC/Allied Universal Finance Corp/Atlas Luxco 4 Sarl
019579AA9
571000.00000000
PA
USD
539537.90000000
0.072222393729
Long
DBT
CORP
US
N
2
2028-06-01
Fixed
4.63000000
N
N
N
N
N
N
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
SWP: USD 1.775000 18-OCT-2031
000000000
3040000.00000000
OU
Notional Amount
USD
-31767.70000000
-0.00425241551
N/A
DIR
US
N
2
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
N/A
N/A
Y
2031-10-20
0.00000000
USD
-87932.72000000
USD
3040000.00000000
USD
56165.02000000
N
N
N
DELTA AIR LINES/SKYMILES
N/A
Delta Air Lines Inc / SkyMiles IP Ltd
830867AB3
92000.00000000
PA
USD
92704.41000000
0.012409386624
Long
DBT
CORP
XX
N
2
2028-10-20
Fixed
4.75000000
N
N
N
N
N
N
FORTUNE STAR BVI LTD
2549008CU8NYQQRSNU62
Fortune Star BVI Ltd
000000000
200000.00000000
PA
USD
167000.00000000
0.022354573706
Long
DBT
CORP
VG
N
2
2027-01-27
Fixed
5.05000000
N
N
N
N
N
N
UNIVISION COMMUNICATIONS
549300YQDE2JSGTL8V47
Univision Communications Inc
914906AS1
52000.00000000
PA
USD
52043.68000000
0.006966552577
Long
DBT
CORP
US
N
2
2025-02-15
Fixed
5.13000000
N
N
N
N
N
N
LEVI STRAUSS & CO
MB0UERO0RDFKU8258G77
Levi Strauss & Co
52736RBJ0
75000.00000000
PA
USD
68682.00000000
0.009193753480
Long
DBT
CORP
US
N
2
2031-03-01
Fixed
3.50000000
N
N
N
N
N
N
EDvestinU Private Education Loan Issue No. 1, LLC
N/A
EDvestinU Private Education Loan Issue No 3 LLC
28166LAB0
110000.00000000
PA
USD
101789.16000000
0.013625468740
Long
ABS-O
CORP
US
N
2
2050-11-25
Fixed
3.50000000
N
N
N
N
N
N
USA COM PART/USA COM FIN
N/A
USA Compression Partners LP / USA Compression Finance Corp
91740PAC2
204000.00000000
PA
USD
205836.00000000
0.027553149900
Long
DBT
CORP
US
N
2
2026-04-01
Fixed
6.88000000
N
N
N
N
N
N
Carval CLO LTD
N/A
CarVal CLO I Ltd
14686PAA4
500000.00000000
PA
USD
461926.65000000
0.061833373318
Long
ABS-CBDO
CORP
KY
N
2
2031-07-16
Floating
6.01000000
N
N
N
N
N
N
HOWARD HUGHES CORP
549300BVHY25JZC1KI49
Howard Hughes Corp/The
44267DAE7
74000.00000000
PA
USD
69431.24000000
0.009294046539
Long
DBT
CORP
US
N
2
2029-02-01
Fixed
4.13000000
N
N
N
N
N
N
Dryden Senior Loan Fund
N/A
Dryden 64 CLO Ltd
26251LAJ3
1250000.00000000
PA
USD
1212401.50000000
0.162291728701
Long
ABS-CBDO
CORP
KY
N
2
2031-04-18
Floating
2.89000000
N
N
N
N
N
N
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
SWP: OIS 0.644000 02-MAR-2023
000000000
2230000.00000000
OU
Notional Amount
USD
-18121.84000000
-0.00242578447
N/A
DIR
US
N
2
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
N/A
N/A
Y
2023-03-02
0.00000000
USD
-10121.76000000
USD
2230000.00000000
USD
-8000.08000000
N
N
N
CABLE ONE INC
549300648QS85T0XSH18
Cable One Inc
12685JAG0
694000.00000000
PA
USD
620436.00000000
0.083051390969
Long
DBT
CORP
US
N
2
2028-03-15
Fixed
1.13000000
N
N
N
N
Y
Cable One Inc
Cable One Inc
USD
XXXX
N
N
N
NEW ENTERPRISE STONE & L
549300O5DQ5Y61B8VF38
New Enterprise Stone & Lime Co Inc
644274AH5
55000.00000000
PA
USD
52875.90000000
0.007077953316
Long
DBT
CORP
US
N
2
2028-07-15
Fixed
5.25000000
N
N
N
N
N
N
CHAMPION PATH HOLDINGS
549300QWJFPV5413KI88
Champion Path Holdings Ltd
000000000
400000.00000000
PA
USD
318325.00000000
0.042610896257
Long
DBT
CORP
VG
N
2
2028-01-27
Fixed
4.85000000
N
N
N
N
N
N
MH Sub I, LLC
N/A
MH Sub I, LLC 2017 1st Lien Term Loan
45567YAJ4
120185.38000000
PA
USD
118566.48000000
0.015871276145
Long
LON
CORP
US
N
2
2024-09-13
Floating
3.96000000
N
N
N
N
N
N
MORGAN STANLEY & CO. INTERNATIONAL
4PQUHN3JPFGFNF3BB653
SWAP/CDSWAP/CDS: (CMBX.NA.9.BBB-)
000000000
2153000.00000000
OU
Notional Amount
USD
-218547.78000000
-0.02925474524
N/A
DCR
US
N
2
MORGAN STANLEY & CO. INTERNATIONAL
4PQUHN3JPFGFNF3BB653
CMBX.NA.BBB-.9
137BERAI8
Y
sell protection
2058-09-18
0.00000000
USD
-234982.06000000
USD
2153000.00000000
USD
16434.28000000
N
N
N
JP MORGAN CHASE BANK
7H6GLXDRUGQFU57RNE97
2Y RTP 2.200000 11-AUG-2022
000000000
-10290000.00000000
NC
USD
-112279.44000000
-0.01502969471
N/A
DIR
US
N
2
JP MORGAN CHASE BANK
7H6GLXDRUGQFU57RNE97
Put
Written
JP MORGAN CHASE BANK
7H6GLXDRUGQFU57RNE97
JP MORGAN CHASE BANK
7H6GLXDRUGQFU57RNE97
IRS Swap
N/A
10290000.00000000
OU
Notional Amount
N/A
-112279.44000000
-0.02000000
DIR
US
N/A
N/A
2024-08-15
0.00000000
N/A
0.00000000
N/A
10290000.00000000
USD
1.00000000
2.20000000
USD
2022-08-11
XXXX
-71505.31000000
N
N
N
JP MORGAN CHASE BANK
7H6GLXDRUGQFU57RNE97
2Y RTP 0.606000 01-APR-2022
000000000
-35400000.00000000
NC
USD
-1332690.35000000
-0.17839356081
N/A
DIR
US
N
2
JP MORGAN CHASE BANK
7H6GLXDRUGQFU57RNE97
Put
Written
JPMorgan International Bank Ltd.
PGBWEZU4QUV2UVGWJC76
JPMorgan International Bank Ltd.
PGBWEZU4QUV2UVGWJC76
IRS Swap
N/A
35400000.00000000
OU
Notional Amount
N/A
-1332690.35000000
-0.18000000
DIR
US
N/A
N/A
2024-04-05
0.00000000
N/A
0.00000000
N/A
35400000.00000000
USD
1.00000000
0.00606000
USD
2022-04-01
XXXX
-1248438.35000000
N
N
N
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
FSWP: OIS 2.054040 15-AUG-2047
000000000
1820000.00000000
OU
Notional Amount
USD
-4178.33000000
-0.00055931009
N/A
DIR
US
N
2
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
N/A
N/A
Y
2047-08-15
50.60000000
USD
0.00000000
USD
1820000.00000000
USD
-4228.93000000
N
N
N
WR GRACE HOLDING LLC
N/A
WR Grace Holdings LLC
92943GAC5
21000.00000000
PA
USD
21277.20000000
0.002848160093
Long
DBT
CORP
US
N
2
2024-10-01
Fixed
5.63000000
N
N
N
N
N
N
MODIVCARE ESCROW ISSUER
N/A
ModivCare Escrow Issuer Inc
60783XAA2
65000.00000000
PA
USD
60593.65000000
0.008111049191
Long
DBT
CORP
US
N
2
2029-10-01
Fixed
5.00000000
N
N
N
N
N
N
PENSKE AUTOMOTIVE GROUP
549300W7UTQ0M4C7LB15
Penske Automotive Group Inc
70959WAK9
46000.00000000
PA
USD
41150.22000000
0.005508357042
Long
DBT
CORP
US
N
2
2029-06-15
Fixed
3.75000000
N
N
N
N
N
N
VODAFONE GROUP PLC
213800TB53ELEUKM7Q61
Vodafone Group PLC
92857WBU3
700000.00000000
PA
USD
697673.08000000
0.093390325087
Long
DBT
CORP
GB
N
2
2050-09-17
Fixed
4.25000000
N
N
N
N
N
N
Cloudera, Inc.
549300PGONC4JOI0RG62
Cloudera, Inc. 2021 Second Lien Term Loan
74339VAE8
180000.00000000
PA
USD
176850.00000000
0.023673091975
Long
LON
CORP
US
N
3
2029-10-08
Floating
6.50000000
N
N
N
N
N
N
GO DADDY OPCO/FINCO
N/A
Go Daddy Operating Co LLC / GD Finance Co Inc
38016LAA3
27000.00000000
PA
USD
27122.99000000
0.003630675922
Long
DBT
CORP
US
N
2
2027-12-01
Fixed
5.25000000
N
N
N
N
N
N
MH Sub I, LLC
N/A
MH Sub I, LLC 2020 Incremental Term Loan
45567YAL9
207412.84000000
PA
USD
204857.51000000
0.027422169500
Long
LON
CORP
US
N
2
2024-09-13
Floating
4.75000000
N
N
N
N
N
N
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
SWP: OIS 0.248000 12-JAN-2024
000000000
38450000.00000000
OU
Notional Amount
USD
-1299635.01000000
-0.17396878216
N/A
DIR
US
N
2
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
N/A
N/A
Y
2024-01-12
0.00000000
USD
-906122.98000000
USD
38450000.00000000
USD
-393512.03000000
N
N
N
WESTERN MIDSTREAM OPERAT
L6D8A6MLSY454J2JXJ60
Western Midstream Operating LP
958254AL8
69000.00000000
PA
USD
68137.50000000
0.009120866861
Long
DBT
CORP
US
N
2
2048-08-15
Fixed
5.50000000
N
N
N
N
N
N
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
FSWP: OIS 2.070800 16-SEP-2024
000000000
1433000.00000000
OU
Notional Amount
USD
15940.30000000
0.002133764139
N/A
DIR
US
N
2
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
N/A
N/A
Y
2024-09-16
0.00000000
USD
-6.34000000
USD
1433000.00000000
USD
15946.64000000
N
N
N
Republic of Sri Lanka
254900HXCCIOHM74FA02
Sri Lanka Government International Bond
000000000
200000.00000000
PA
USD
94522.00000000
0.012652688717
Long
DBT
NUSS
LK
N
2
2029-03-14
Fixed
7.85000000
N
N
N
N
N
N
ON SEMICONDUCTOR CORP
ZV20P4CNJVT8V1ZGJ064
ON Semiconductor Corp
682189AQ8
166000.00000000
PA
USD
158530.00000000
0.021220781854
Long
DBT
CORP
US
N
2
2028-09-01
Fixed
3.88000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Pool
3132DVKP9
4007734.98000000
PA
USD
4044567.91000000
0.541404739243
Long
ABS-MBS
USGSE
US
N
2
2049-07-01
Fixed
3.50000000
N
N
N
N
N
N
SHIMAO GROUP HOLDINGS LT
254900WTJ6B5CU69ZD26
Shimao Group Holdings Ltd
000000000
200000.00000000
PA
USD
50000.00000000
0.006692986139
Long
DBT
CORP
KY
N
2
2031-01-11
Fixed
3.45000000
N
N
N
N
N
N
1011778 BC / NEW RED FIN
N/A
1011778 BC ULC / New Red Finance Inc
68245XAM1
26000.00000000
PA
USD
23452.91000000
0.003139400031
Long
DBT
CORP
CA
N
2
2030-10-15
Fixed
4.00000000
N
N
N
N
N
N
CRESTWOOD MID PARTNER LP
N/A
Crestwood Midstream Partners LP / Crestwood Midstream Finance Corp
226373AQ1
26000.00000000
PA
USD
25761.84000000
0.003448472760
Long
DBT
CORP
US
N
2
2027-05-01
Fixed
5.63000000
N
N
N
N
N
N
MURPHY OIL USA INC
N32S6DTR2ZZ5222WHV58
Murphy Oil USA Inc
626738AE8
95000.00000000
PA
USD
94199.34000000
0.012609497539
Long
DBT
CORP
US
N
2
2029-09-15
Fixed
4.75000000
N
N
N
N
N
N
Petroleos Mexicanos
549300CAZKPF4HKMPX17
Petroleos Mexicanos
71654QCC4
235000.00000000
PA
USD
188693.25000000
0.025258426137
Long
DBT
CORP
MX
N
2
2047-09-21
Fixed
6.75000000
N
N
N
N
N
N
CABLEVISION LIGHTPATH
5493002ZVBLRLGES1R71
Cablevision Lightpath LLC
12687GAB5
400000.00000000
PA
USD
365000.00000000
0.048858798818
Long
DBT
CORP
US
N
2
2028-09-15
Fixed
5.63000000
N
N
N
N
N
N
OCP CLO Ltd
254900XV0U0WEM36A370
OCP CLO 2015-9 Ltd
67091YAY0
250000.00000000
PA
USD
249563.55000000
0.033406507621
Long
ABS-CBDO
CORP
KY
N
2
2033-01-15
Floating
1.00000000
N
N
N
N
N
N
MIDWEST GMNG BOR/MWG FIN
N/A
Midwest Gaming Borrower LLC / Midwest Gaming Finance Corp
59833DAB6
159000.00000000
PA
USD
146575.74000000
0.019620587924
Long
DBT
CORP
US
N
2
2029-05-01
Fixed
4.88000000
N
N
N
N
N
N
ELANCO ANIMAL HEALTH INC
549300SHPNDCE059M934
Elanco Animal Health Inc
28414HAG8
6000.00000000
PA
USD
6435.12000000
0.000861403379
Long
DBT
CORP
US
N
2
2028-08-28
Fixed
6.40000000
N
N
N
N
N
N
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
FSWP: USD 1.670000 06-AUG-2034
000000000
2450000.00000000
OU
Notional Amount
USD
-148260.39000000
-0.01984609470
N/A
DIR
US
N
2
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
N/A
N/A
Y
2034-08-07
0.00000000
USD
-116010.47000000
USD
2450000.00000000
USD
-32249.92000000
N
N
N
JPMORGAN CHASE & CO
8I5DZWZKVSZI1NUHU748
JPMorgan Chase & Co
48128BAF8
3027000.00000000
PA
USD
3016935.23000000
0.403846113567
Long
DBT
CORP
US
N
2
2024-08-01
Fixed
5.00000000
N
N
N
N
N
N
Bausch Health Cos Inc
B3BS7ACMDUWISF18KY76
Bausch Health Cos Inc
071734AF4
159000.00000000
PA
USD
135615.87000000
0.018153502764
Long
DBT
CORP
CA
N
2
2029-05-30
Fixed
7.25000000
N
N
N
N
N
N
SVB FINANCIAL GROUP
549300D2KJ20JMXE7542
SVB Financial Group
78486QAJ0
2000000.00000000
PA
USD
1850000.00000000
0.247640487164
Long
DBT
CORP
US
N
2
2026-05-15
Fixed
4.00000000
N
N
N
N
N
N
UBS AG
BFM8T61CT2L1QCEMIK50
10Y RTR 1.169000 05-JUN-2025
000000000
840000.00000000
NC
USD
21358.34000000
0.002859021471
N/A
DIR
US
N
2
UBS AG
BFM8T61CT2L1QCEMIK50
Call
Purchased
UBS AG
BFM8T61CT2L1QCEMIK50
UBS AG
BFM8T61CT2L1QCEMIK50
IRS Swap
N/A
840000.00000000
OU
Notional Amount
N/A
21358.34000000
0.00000000
DIR
US
N/A
N/A
2035-06-05
0.00000000
N/A
0.00000000
N/A
840000.00000000
USD
1.00000000
1.16900000
USD
2025-06-05
XXXX
1628.82000000
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Pool
3133AYCY4
798794.08000000
PA
USD
767952.91000000
0.102797963649
Long
ABS-MBS
USGSE
US
N
2
2051-12-01
Fixed
2.50000000
N
N
N
N
N
N
AGILE GROUP HOLDINGS LTD
549300ZRISRT38EEYY07
Agile Group Holdings Ltd
000000000
450000.00000000
PA
USD
144000.00000000
0.019275800081
Long
DBT
CORP
KY
N
2
2025-10-13
Fixed
6.05000000
N
N
N
N
N
N
Woodward Capital Management
N/A
RCKT Mortgage Trust 2022-2
74938WAA9
1149117.75000000
PA
USD
1090411.28000000
0.145962151669
Long
ABS-MBS
CORP
US
N
2
2052-02-25
Variable
3.00000000
N
N
N
N
N
N
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
FSWP: USD 0.729000 21-JUN-2024
000000000
4790000.00000000
OU
Notional Amount
USD
-71730.13000000
-0.00960177531
N/A
DIR
US
N
2
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
N/A
N/A
Y
2024-06-21
0.00000000
USD
-129691.05000000
USD
4790000.00000000
USD
57960.92000000
N
N
N
Nokia OYJ
549300A0JPRWG1KI7U06
Nokia OYJ
654902AE5
31000.00000000
PA
USD
31445.47000000
0.004209281897
Long
DBT
CORP
FI
N
2
2027-06-12
Fixed
4.38000000
N
N
N
N
N
N
MHI Holdings,LLC
549300XOWJ3ALVFU4F13
MHI Holdings,LLC Term Loan B
55303YAC7
266912.30000000
PA
USD
265799.28000000
0.035579817938
Long
LON
CORP
US
N
2
2026-09-21
Floating
5.46000000
N
N
N
N
N
N
CITIGROUP INC
6SHGI4ZSSLCXXQSBB395
Citigroup Inc
172967MU2
105000.00000000
PA
USD
100800.00000000
0.013493060057
Long
DBT
CORP
US
N
2
2025-12-10
Fixed
4.00000000
N
N
N
N
N
N
POWERLONG REAL ESTATE
549300R3K12EPXCGDP22
Powerlong Real Estate Holdings Ltd
000000000
450000.00000000
PA
USD
171000.00000000
0.022890012597
Long
DBT
CORP
KY
N
2
2024-08-10
Fixed
6.25000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae REMICS
3136A6FA7
1343779.73000000
PA
USD
260556.34000000
0.034877999443
Long
ABS-MBS
USGSE
US
N
2
2042-04-25
Fixed
4.50000000
N
N
N
N
N
N
GOLDMAN SACHS BANK USA
KD3XUN7C6T14HNAYLU02
SWAPTION DEC22 1.2325 PUT
000000000
-2560000.00000000
NC
USD
-284384.41000000
-0.03806761828
N/A
DIR
US
N
2
GOLDMAN SACHS BANK USA
KD3XUN7C6T14HNAYLU02
Put
Written
GOLDMAN SACHS BANK USA
KD3XUN7C6T14HNAYLU02
GOLDMAN SACHS BANK USA
KD3XUN7C6T14HNAYLU02
IRS Swap
N/A
2560000.00000000
OU
Notional Amount
N/A
-284384.41000000
-0.04000000
DIR
US
N/A
N/A
2032-12-20
0.00000000
N/A
0.00000000
N/A
2560000.00000000
USD
1.00000000
1.23250000
USD
2022-12-16
XXXX
-200672.41000000
N
N
N
UNITED MEXICAN STATES
254900EGTWEU67VP6075
Mexico Government International Bond
91087BAM2
269000.00000000
PA
USD
245059.00000000
0.032803529807
Long
DBT
NUSS
MX
N
2
2031-05-24
Fixed
2.66000000
N
N
N
N
N
N
BOYD GAMING CORP
254900787YGRYS2A1Z35
Boyd Gaming Corp
103304BS9
32000.00000000
PA
USD
33611.52000000
0.004499228749
Long
DBT
CORP
US
N
2
2025-06-01
Fixed
8.63000000
N
N
N
N
N
N
NATIONWIDE BLDG SOCIETY
549300XFX12G42QIKN82
Nationwide Building Society
63859WAF6
720000.00000000
PA
USD
709052.18000000
0.094913528259
Long
DBT
CORP
GB
N
2
2032-10-18
Fixed
4.13000000
N
N
N
N
N
N
ABJA INVESTMENT CO
254900E6OE5YJ9WCCU19
ABJA Investment Co Pte Ltd
000000000
200000.00000000
PA
USD
206000.00000000
0.027575102895
Long
DBT
CORP
SG
N
2
2028-01-24
Fixed
5.45000000
N
N
N
N
N
N
CENTENNIAL RESOURCE PROD
5493004CTVUMQLRPOE23
Centennial Resource Production LLC
15136AAA0
322000.00000000
PA
USD
487571.14000000
0.065266137641
Long
DBT
CORP
US
N
2
2028-04-01
Fixed
3.25000000
N
N
N
N
Y
Centennial Resource Development Inc/DE
Centennial Resource Development Inc/DE
USD
XXXX
N
N
N
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
FSWP: USD 0.944850 25-APR-2024
000000000
8553000.00000000
OU
Notional Amount
USD
-88338.13000000
-0.01182491759
N/A
DIR
US
N
2
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
N/A
N/A
Y
2024-04-25
0.00000000
USD
-181351.13000000
USD
8553000.00000000
USD
93013.00000000
N
N
N
Nexa Resources SA
549300QRMRHM7GAU7L47
Nexa Resources SA
91832CAA4
299000.00000000
PA
USD
303485.00000000
0.040624417971
Long
DBT
CORP
LU
N
2
2027-05-04
Fixed
5.38000000
N
N
N
N
N
N
CHAMPIONX CORP
549300EP2909K6DYYP38
ChampionX Corp
03755LAC8
49000.00000000
PA
USD
49980.00000000
0.006690308945
Long
DBT
CORP
US
N
2
2026-05-01
Fixed
6.38000000
N
N
N
N
N
N
Prodigy Finance Designated Activity Co
635400HTAZNW3LYYMQ40
Prodigy Finance CM2021-1 DAC
742855AC3
250000.00000000
PA
USD
250340.38000000
0.033510493870
Long
ABS-O
CORP
IE
N
2
2051-07-25
Floating
4.21000000
N
N
N
N
N
N
AUTOMATION TOOLING SYSTE
5493005KP4RP3IU7HQ41
ATS Automation Tooling Systems Inc
001940AC9
71000.00000000
PA
USD
66740.00000000
0.008933797899
Long
DBT
CORP
CA
N
2
2028-12-15
Fixed
4.13000000
N
N
N
N
N
N
Countrywide Alternative Loan Trust
N/A
Alternative Loan Trust 2006-OA21
23245QAA7
445052.73000000
PA
USD
376687.78000000
0.050423321809
Long
ABS-MBS
CORP
US
N
2
2047-03-20
Floating
0.64000000
N
N
N
N
N
N
Deutsche Bank AG
G5GSEF7VJP5I7OUK5573
PURCHASED EUR / SOLD USD
000000000
1.00000000
NC
2622.45000000
0.000351040430
N/A
DFE
XX
N
2
Deutsche Bank AG
G5GSEF7VJP5I7OUK5573
460739.44000000
USD
417730.00000000
EUR
2022-06-15
2622.45000000
N
N
N
MORGAN STANLEY & CO. INTERNATIONAL
4PQUHN3JPFGFNF3BB653
SWAP/CDSWAP/SCDS: (ADLERR)
000000000
10000.00000000
OU
Notional Amount
-69.59000000
-0.00000931529
N/A
DCR
XX
N
2
MORGAN STANLEY & CO. INTERNATIONAL
4PQUHN3JPFGFNF3BB653
ADLER REAL ESTATE AG
ADLER REAL ESTATE AG
Y
sell protection
2025-12-23
1059.84000000
EUR
0.00000000
EUR
10000.00000000
EUR
-1368.23000000
N
N
N
TRUST F/1401
N/A
Trust Fibra Uno
000000000
200000.00000000
PA
USD
211850.00000000
0.028358182273
Long
DBT
MX
N
2
2044-01-30
Fixed
6.95000000
N
N
N
N
N
N
Bath & Body Works Inc
GR3KVMWVCR54YWQNXU90
Bath & Body Works Inc
501797AM6
49000.00000000
PA
USD
49901.11000000
0.006679748751
Long
DBT
CORP
US
N
2
2036-07-01
Fixed
6.75000000
N
N
N
N
N
N
SMYRNA READY MIX CONCRETE LLC
549300S7RFWHQFOIOY93
SMYRNA READY MIX CONCRETE LLC
000000000
66000.00000000
PA
USD
65010.00000000
0.008702220578
Long
LON
CORP
US
N
3
2029-04-02
None
0.00000000
N
N
N
N
N
N
ANTERO RESOURCES CORP
APVBKPOULHUX7YZLKU17
Antero Resources Corp
03674XAQ9
169000.00000000
PA
USD
182677.17000000
0.024453115336
Long
DBT
CORP
US
N
2
2029-02-01
Fixed
7.63000000
N
N
N
N
N
N
DISCOVERY COMMUNICATIONS
L2Z2MO2EQURH3BREWI15
Discovery Communications LLC
25470DAH2
1850000.00000000
PA
USD
1851465.33000000
0.247836635831
Long
DBT
CORP
US
N
2
2023-04-01
Fixed
3.25000000
N
N
N
N
N
N
BANK OF AMERICA NA
B4TYDEB6GKMZO031MB27
SWAPTION MAR23 2.01 PUT
000000000
-3880000.00000000
NC
USD
-219046.10000000
-0.02932145022
N/A
DIR
US
N
2
BANK OF AMERICA NA
B4TYDEB6GKMZO031MB27
Put
Written
BANK OF AMERICA NA
B4TYDEB6GKMZO031MB27
BANK OF AMERICA NA
B4TYDEB6GKMZO031MB27
IRS Swap
N/A
3880000.00000000
OU
Notional Amount
N/A
-219046.10000000
-0.03000000
DIR
US
N/A
N/A
2033-03-03
0.00000000
N/A
0.00000000
N/A
3880000.00000000
USD
1.00000000
2.01000000
USD
2023-03-01
XXXX
-71218.10000000
N
N
N
Baxalta Inc
5493000JW8DCO3T45R55
Baxalta Inc
07177MAN3
500000.00000000
PA
USD
573982.27000000
0.076833107549
Long
DBT
CORP
US
N
2
2045-06-23
Fixed
5.25000000
N
N
N
N
N
N
WMG ACQUISITION CORP
549300NAS11NXI33CP80
WMG Acquisition Corp
92933BAQ7
37000.00000000
PA
USD
35242.50000000
0.004717551280
Long
DBT
CORP
US
N
2
2030-07-15
Fixed
3.88000000
N
N
N
N
N
N
ANTERO RESOURCES CORP
APVBKPOULHUX7YZLKU17
Antero Resources Corp
03674XAS5
30000.00000000
PA
USD
30637.50000000
0.004101127257
Long
DBT
CORP
US
N
2
2030-03-01
Fixed
5.38000000
N
N
N
N
N
N
SCIENTIFIC GAMES INTERNA
RLTHESQ0RNFQJWPBJN60
Scientific Games International Inc
80874YBC3
100000.00000000
PA
USD
103649.50000000
0.013874493337
Long
DBT
CORP
US
N
2
2028-05-15
Fixed
7.00000000
N
N
N
N
N
N
United States Treasury
254900HROIFWPRGM1V77
United States Treasury Note/Bond
91282CBU4
53000000.00000000
PA
USD
52173945.18000000
6.983989838730
Long
DBT
UST
US
N
2
2023-03-31
Fixed
0.13000000
N
N
N
N
N
N
Royal Bank of Canada
ES7IP3U3RHIGC71XBU11
PURCHASED USD / SOLD EUR
000000000
1.00000000
NC
502.21000000
0.000067225691
N/A
DFE
US
N
2
Royal Bank of Canada
ES7IP3U3RHIGC71XBU11
54000.00000000
EUR
60401.05000000
USD
2022-06-15
502.21000000
N
N
N
ROLLS-ROYCE PLC
X57JK1U580XATGR67572
Rolls-Royce PLC
77578JAC2
600000.00000000
PA
USD
615840.00000000
0.082436171683
Long
DBT
CORP
GB
N
2
2027-10-15
Fixed
5.75000000
N
N
N
N
N
N
MUTHOOT FINANCE LTD
335800HAMJMBFL4RRF02
Muthoot Finance Ltd
62828M2B6
400000.00000000
PA
USD
399000.00000000
0.053410029393
Long
DBT
CORP
IN
N
2
2023-09-02
Fixed
4.40000000
N
N
N
N
N
N
MIDCONTINENT COMM & FIN
N/A
Midcontinent Communications / Midcontinent Finance Corp
59565XAC4
108000.00000000
PA
USD
108450.36000000
0.014517135126
Long
DBT
CORP
US
N
2
2027-08-15
Fixed
5.38000000
N
N
N
N
N
N
CHINA SCE GRP HLDGS LTD
549300Q8UEI2ERAP6P49
China SCE Group Holdings Ltd
000000000
230000.00000000
PA
USD
119930.63000000
0.016053880886
Long
DBT
CORP
KY
N
2
2025-05-02
Fixed
7.00000000
N
N
N
N
N
N
WYNN MACAU LTD
254900NMDQ8ENTHU1I31
Wynn Macau Ltd
000000000
317000.00000000
PA
USD
283715.00000000
0.037978011251
Long
DBT
CORP
KY
N
2
2026-01-15
Fixed
5.50000000
N
N
N
N
N
N
COMCAST CABLE COMMUNICAT
549300T2R1ZBGV1UVE31
Comcast Cable Communications Holdings Inc
00209TAB1
2600000.00000000
PA
USD
2720642.11000000
0.364184398659
Long
DBT
CORP
US
N
2
2022-11-15
Fixed
9.46000000
N
N
N
N
N
N
HSBC SECURITIES (USA) INC
CYYGQCGNHMHPSMRL3R97
RRP FHLMC 30YR
000000000
-556392.01000000
PA
USD
-556392.01000000
-0.07447848022
Short
RA
CORP
US
N
2
Reverse repurchase
N
0.34000000
2022-04-13
556392.01000000
USD
556481.34000000
USD
AMBS
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140Q7X51
8105458.71000000
PA
USD
8410002.92000000
1.125760659546
Long
ABS-MBS
USGSE
US
N
2
2047-11-01
Fixed
4.00000000
N
N
N
N
N
N
MFRA Trust
N/A
MFA 2021-NQM1 Trust
55283FAD0
2750000.00000000
PA
USD
2657160.00000000
0.355686701012
Long
ABS-MBS
CORP
US
N
2
2065-04-25
Variable
2.31000000
N
N
N
N
N
N
Mileage Plus Holdings LLC
N/A
Mileage Plus Holdings LLC 2020 Term Loan B
59921PAB2
140522.00000000
PA
USD
145615.92000000
0.019492106685
Long
LON
CORP
US
N
2
2027-06-21
Floating
6.25000000
N
N
N
N
N
N
REPUBLIC OF PERU
254900STKLK2DBJJZ530
Peruvian Government International Bond
715638DP4
171000.00000000
PA
USD
146450.81000000
0.019603864829
Long
DBT
NUSS
PE
N
2
2032-12-01
Fixed
1.86000000
N
N
N
N
N
N
COVANTA HOLDING CORP
40XIFLS8XDQGGHGPGC04
Covanta Holding Corp
22282EAJ1
108000.00000000
PA
USD
102330.00000000
0.013697865433
Long
DBT
CORP
US
N
2
2030-09-01
Fixed
5.00000000
N
N
N
N
N
N
GARDA WORLD SECURITY COR
549300ZF1NDXLMCHNO20
Garda World Security Corp
36257BAA7
107000.00000000
PA
USD
109675.00000000
0.014681065097
Long
DBT
CORP
CA
N
2
2027-11-01
Fixed
9.50000000
N
N
N
N
N
N
JP MORGAN CHASE BANK
7H6GLXDRUGQFU57RNE97
SWAP/CDSWAP/SCDS: (ADLERR)
000000000
10000.00000000
OU
Notional Amount
1.38000000
0.000000184726
N/A
DCR
XX
N
2
JP MORGAN CHASE BANK
7H6GLXDRUGQFU57RNE97
ADLER REAL ESTATE AG
ADLER REAL ESTATE AG
Y
sell protection
2026-06-23
832.44000000
EUR
0.00000000
EUR
10000.00000000
EUR
-988.94000000
N
N
N
JP Morgan Mortgage Trust
N/A
J.P. Morgan Mortgage Trust 2022-INV3
46593FAD4
850000.00000000
PA
USD
798203.13000000
0.106847249713
Long
ABS-MBS
CORP
US
N
2
2052-09-25
Variable
3.00000000
N
N
N
N
N
N
Suncor Energy Inc
549300W70ZOQDVLCHY06
Suncor Energy Inc
867229AE6
1000000.00000000
PA
USD
1260555.57000000
0.168737619163
Long
DBT
CORP
CA
N
2
2038-06-15
Fixed
6.50000000
N
N
N
N
N
N
PRIME SECSRVC BRW/FINANC
N/A
Prime Security Services Borrower LLC / Prime Finance Inc
74166MAE6
3000.00000000
PA
USD
2935.79000000
0.000392984035
Long
DBT
CORP
US
N
2
2028-01-15
Fixed
6.25000000
N
N
N
N
N
N
WANDA GROUP OVERSEAS
875500FNRQEY4G2KVW35
Wanda Group Overseas Ltd
000000000
200000.00000000
PA
USD
190000.00000000
0.025433347330
Long
DBT
CORP
HK
N
2
2022-07-24
Fixed
7.50000000
N
N
N
N
N
N
Chicago Board of Trade
549300EX04Q2QBFQTQ27
US 10YR FUT OPTN MAY22C 126
000000000
43.00000000
NC
USD
4031.25000000
0.000539622007
N/A
DIR
US
N
1
Chicago Board of Trade
549300EX04Q2QBFQTQ27
Call
Purchased
Chicago Board of Trade
549300EX04Q2QBFQTQ27
Chicago Board of Trade
549300EX04Q2QBFQTQ27
CBOT 10 Year US Treasury Note Future
N/A
43.00000000
NC
N/A
4031.25000000
0.00000000
DIR
US
Long
CBOT 10 Year US Treasury Note
TYM2 Comdty
2022-06-21
43.00000000
USD
1000.00000000
126.00000000
USD
2022-04-22
XXXX
-3322.10000000
N
N
N
CANTOR FITZGERALD & CO
5493004J7H4GCPG6OB62
RRP FNMA 30YR U
000000000
-20761096.07000000
PA
USD
-20761096.07000000
-2.77907456477
Short
RA
CORP
US
N
2
Reverse repurchase
N
0.37000000
2022-05-12
20761096.07000000
USD
20764723.49000000
USD
AMBS
N
N
N
522 Funding CLO LTD
N/A
522 Funding CLO 2019-4 Ltd
33834WAG7
600000.00000000
PA
USD
588103.50000000
0.078723371482
Long
ABS-CBDO
CORP
KY
N
2
2030-04-20
Floating
3.90000000
N
N
N
N
N
N
FIRSTENERGY TRANSMISSION
549300AINIIPOLYX2R63
FirstEnergy Transmission LLC
33767BAC3
109000.00000000
PA
USD
104137.45000000
0.013939810189
Long
DBT
CORP
US
N
2
2049-04-01
Fixed
4.55000000
N
N
N
N
N
N
CLARIOS GLOBAL LP/US FIN
N/A
Clarios Global LP / Clarios US Finance Co
69867DAC2
1696000.00000000
PA
USD
1759600.00000000
0.235539568223
Long
DBT
CORP
US
N
2
2027-05-15
Fixed
8.50000000
N
N
N
N
N
N
HUB INTERNATIONAL LTD
549300JQT6ATTUNS5E06
HUB International Ltd
44332PAG6
35000.00000000
PA
USD
33425.00000000
0.004474261234
Long
DBT
CORP
US
N
2
2029-12-01
Fixed
5.63000000
N
N
N
N
N
N
Intelsat Jackson Holdings S.A.
8XJ8KF85PBKK1TLMFN29
Intelsat Jackson Holdings S.A. 2021 Exit Term Loan B
000000000
250372.50000000
PA
USD
245913.37000000
0.032917895538
Long
LON
CORP
LU
N
2
2029-02-01
Floating
4.92000000
N
N
N
N
N
N
FORD MOTOR CREDIT CO LLC
UDSQCVRUX5BONN0VY111
Ford Motor Credit Co LLC
345397B51
200000.00000000
PA
USD
180750.00000000
0.024195144894
Long
DBT
CORP
US
N
2
2028-02-16
Fixed
2.90000000
N
N
N
N
N
N
OneMain Financial Issuance Trust
N/A
OneMain Financial Issuance Trust 2020-A
68269LAA4
2000000.00000000
PA
USD
2015466.80000000
0.269789827143
Long
ABS-O
CORP
US
N
2
2032-05-14
Fixed
3.84000000
N
N
N
N
N
N
KKR APPLE BIDCO, LLC
2549001SCJD3WEYJFM53
KKR Apple Bidco, LLC 2021 2nd Lien Term Loan
000000000
18000.00000000
PA
USD
17853.84000000
0.002389910073
Long
LON
CORP
US
N
2
2029-09-21
Floating
6.25000000
N
N
N
N
N
N
ASBURY AUTOMOTIVE GROUP
549300JH4DTA7U42GL91
Asbury Automotive Group Inc
043436AV6
84000.00000000
PA
USD
79275.00000000
0.010611729524
Long
DBT
CORP
US
N
2
2030-03-01
Fixed
4.75000000
N
N
N
N
N
N
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
FSWP: USD 0.660500 11-APR-2024
000000000
4470000.00000000
OU
Notional Amount
USD
-69513.33000000
-0.00930503508
N/A
DIR
US
N
2
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
N/A
N/A
Y
2024-04-11
0.00000000
USD
-117217.84000000
USD
4470000.00000000
USD
47704.51000000
N
N
N
FISERV INC
GI7UBEJLXYLGR2C7GV83
Fiserv Inc
337738AV0
500000.00000000
PA
USD
516273.66000000
0.069108249012
Long
DBT
CORP
US
N
2
2049-07-01
Fixed
4.40000000
N
N
N
N
N
N
VEDANTA RESOURCES
8945002DGA3BBXO3N634
Vedanta Resources Finance II PLC
000000000
400000.00000000
PA
USD
418500.00000000
0.056020293988
Long
DBT
CORP
GB
N
2
2024-01-21
Fixed
13.88000000
N
N
N
N
N
N
FORTRESS TRANS & INFRAST
529900E7PUVK6BC8PE80
Fortress Transportation and Infrastructure Investors LLC
34960PAB7
50000.00000000
PA
USD
49625.00000000
0.006642788743
Long
DBT
CORP
US
N
2
2025-10-01
Fixed
6.50000000
N
N
N
N
N
N
FRONTIER COMMUNICATIONS
N/A
Frontier Communications Holdings LLC
35908MAB6
299000.00000000
PA
USD
276575.00000000
0.037022252831
Long
DBT
CORP
US
N
2
2030-01-15
Fixed
6.00000000
N
N
N
N
N
N
PATRICK INDUSTRIES INC
549300FZ5ZTCCJ3Z5W14
Patrick Industries Inc
703343AD5
43000.00000000
PA
USD
36980.00000000
0.004950132548
Long
DBT
CORP
US
N
2
2029-05-01
Fixed
4.75000000
N
N
N
N
N
N
Republic of Indonesia
529900FWX0GRR7WG5W79
Indonesia Government International Bond
455780CF1
300000.00000000
PA
USD
318525.00000000
0.042637668202
Long
DBT
NUSS
ID
N
2
2028-04-24
Fixed
4.10000000
N
N
N
N
N
N
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
FSWP: OIS 1.937000 12-AUG-2024
000000000
6015000.00000000
OU
Notional Amount
USD
85326.28000000
0.011421752187
N/A
DIR
US
N
2
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
N/A
N/A
Y
2024-08-12
4120.91000000
USD
0.00000000
USD
6015000.00000000
USD
81205.37000000
N
N
N
EQM MIDSTREAM PARTNERS L
549300NELT611CL6XM83
EQM Midstream Partners LP
26885BAB6
68000.00000000
PA
USD
65282.04000000
0.008738635777
Long
DBT
CORP
US
N
2
2026-12-01
Fixed
4.13000000
N
N
N
N
N
N
Stevens Holding Co Inc
N/A
Stevens Holding Co Inc
86024TAA5
90000.00000000
PA
USD
92945.70000000
0.012441685636
Long
DBT
CORP
US
N
2
2026-10-01
Fixed
6.13000000
N
N
N
N
N
N
State of New Jersey
N/A
NEW JERSEY ST
646039YS0
180000.00000000
PA
USD
196190.28000000
0.026261976495
Long
DBT
MUN
US
N
2
2032-06-01
Fixed
4.00000000
N
N
N
N
N
N
KAISER ALUMINUM CORP
N/A
Kaiser Aluminum Corp
483007AJ9
119000.00000000
PA
USD
111783.84000000
0.014963353834
Long
DBT
CORP
US
N
2
2028-03-01
Fixed
4.63000000
N
N
N
N
N
N
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
FSWP: USD 1.482500 01-AUG-2027
000000000
5330000.00000000
OU
Notional Amount
USD
-281296.11000000
-0.03765421930
N/A
DIR
US
N
2
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
N/A
N/A
Y
2027-08-02
0.00000000
USD
-160630.47000000
USD
5330000.00000000
USD
-120665.64000000
N
N
N
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
FSWP: OIS 0.987500 07-APR-2024
000000000
6220000.00000000
OU
Notional Amount
USD
-15528.95000000
-0.00207870094
N/A
DIR
US
N
2
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
N/A
N/A
Y
2024-04-08
0.00000000
USD
-86067.41000000
USD
6220000.00000000
USD
70538.46000000
N
N
N
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
FSWP: OIS 1.900000 15-AUG-2024
000000000
3480000.00000000
OU
Notional Amount
USD
46658.99000000
0.006245759467
N/A
DIR
US
N
2
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
N/A
N/A
Y
2024-08-15
0.00000000
USD
-376.59000000
USD
3480000.00000000
USD
47035.58000000
N
N
N
FANTASIA HOLDINGS GROUP
5493005JQNLB3I01JW62
Fantasia Holdings Group Co Ltd
000000000
307000.00000000
PA
USD
41445.00000000
0.005547816211
Long
DBT
CORP
KY
N
2
2023-01-09
Fixed
10.88000000
Y
Y
N
N
N
N
NOVELIS CORP
549300G5F3W3B52WYL23
Novelis Corp
670001AH9
326000.00000000
PA
USD
298179.16000000
0.039914179699
Long
DBT
CORP
US
N
2
2031-08-15
Fixed
3.88000000
N
N
N
N
N
N
INDIA GREEN ENERGY HLDNG
2549005BFUXXT5HWAG36
India Green Energy Holdings
45410FAA3
250000.00000000
PA
USD
251900.00000000
0.033719264171
Long
DBT
CORP
MU
N
2
2024-04-29
Fixed
5.38000000
N
N
N
N
N
N
UBER TECHNOLOGIES INC
549300B2FTG34FILDR98
Uber Technologies Inc
90353TAC4
132000.00000000
PA
USD
140276.40000000
0.018777360018
Long
DBT
CORP
US
N
2
2026-11-01
Fixed
8.00000000
N
N
N
N
N
N
HSBC SECURITIES (USA) INC
CYYGQCGNHMHPSMRL3R97
RRP FNMA 30YR
000000000
-859889.48000000
PA
USD
-859889.48000000
-0.11510456742
Short
RA
CORP
US
N
2
Reverse repurchase
N
0.34000000
2022-04-13
859889.48000000
USD
860027.54000000
USD
AMBS
N
N
N
EQM MIDSTREAM PARTNERS L
549300NELT611CL6XM83
EQM Midstream Partners LP
26885BAK6
89000.00000000
PA
USD
83215.00000000
0.011139136832
Long
DBT
CORP
US
N
2
2029-01-15
Fixed
4.50000000
N
N
N
N
N
N
Lealand Finance Company B.V.
N/A
Lealand Finance Company B.V. 2020 Make Whole Term Loan
000000000
8354.21000000
PA
USD
5012.53000000
0.000670975876
Long
LON
CORP
NL
N
3
2024-06-28
Floating
3.46000000
N
N
N
N
N
N
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
FSWP: OIS 2.307000 28-MAR-2028
000000000
3830000.00000000
OU
Notional Amount
USD
177.14000000
0.000023711911
N/A
DIR
US
N
2
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
N/A
N/A
Y
2028-03-28
0.00000000
USD
-35.29000000
USD
3830000.00000000
USD
212.43000000
N
N
N
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
FSWP: OIS 1.519500 06-SEP-2024
000000000
5985000.00000000
OU
Notional Amount
USD
-129331.98000000
-0.01731234299
N/A
DIR
US
N
2
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
N/A
N/A
Y
2024-09-06
0.00000000
USD
-48031.64000000
USD
5985000.00000000
USD
-81300.34000000
N
N
N
Envision Healthcare Corporation
549300OL60X0LPKY8N60
Envision Healthcare Corporation 2018 1st Lien Term Loan
29373UAC5
400707.80000000
PA
USD
265136.33000000
0.035491075635
Long
LON
CORP
US
N
2
2025-10-10
Floating
4.21000000
N
N
N
N
N
N
MICROSTRATEGY INC
549300WQTWEJUEHXQX21
MicroStrategy Inc
594972AF8
292000.00000000
PA
USD
284124.76000000
0.038032861611
Long
DBT
CORP
US
N
2
2028-06-15
Fixed
6.13000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140X4XF8
2534265.53000000
PA
USD
2595747.80000000
0.347466080944
Long
ABS-MBS
USGSE
US
N
2
2034-09-01
Fixed
3.50000000
N
N
N
N
N
N
ZILLOW GROUP INC
2549002XEELQDIR6FU05
Zillow Group Inc
98954MAG6
37000.00000000
PA
USD
48955.63000000
0.006553187060
Long
DBT
CORP
US
N
2
2026-09-01
Fixed
1.38000000
N
N
N
N
Y
Zillow Group Inc
Zillow Group Inc
USD
XXXX
N
N
N
KINDER MORGAN INC/DELAWA
549300WR7IX8XE0TBO16
Kinder Morgan Inc
49456BAJ0
1400000.00000000
PA
USD
1484172.03000000
0.198670856510
Long
DBT
CORP
US
N
2
2046-02-15
Fixed
5.05000000
N
N
N
N
N
N
FIVE CORNERS FUNDING TRS
N/A
Five Corners Funding Trust
33829TAA4
2050000.00000000
PA
USD
2095185.32000000
0.280460926131
Long
DBT
CORP
US
N
2
2023-11-15
Fixed
4.42000000
N
N
N
N
N
N
SABRE GLBL INC
F2TJC7HPPHLHU1AQMP98
Sabre GLBL Inc
78573NAF9
64000.00000000
PA
USD
66830.72000000
0.008945941653
Long
DBT
CORP
US
N
2
2025-09-01
Fixed
7.38000000
N
N
N
N
N
N
PT Pertamina (Persero)
254900NDAKGNZ2IBBL45
Pertamina Persero PT
69370RAD9
239000.00000000
PA
USD
236586.10000000
0.031669349762
Long
DBT
CORP
ID
N
2
2029-07-30
Fixed
3.65000000
N
N
N
N
N
N
CD&R SMOKEY BUYER INC
N/A
CD&R Smokey Buyer Inc
12510CAA9
173000.00000000
PA
USD
177757.50000000
0.023794569674
Long
DBT
CORP
US
N
2
2025-07-15
Fixed
6.75000000
N
N
N
N
N
N
Bombardier Inc
W7L3VLU8EHQY34Z36697
Bombardier Inc
097751BT7
352000.00000000
PA
USD
344648.48000000
0.046134549993
Long
DBT
CORP
CA
N
2
2027-04-15
Fixed
7.88000000
N
N
N
N
N
N
MURPHY OIL CORP
QBKYQD0ODE7DC7PDIN91
Murphy Oil Corp
626717AM4
40000.00000000
PA
USD
40700.00000000
0.005448090717
Long
DBT
CORP
US
N
2
2027-12-01
Fixed
5.88000000
N
N
N
N
N
N
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
SWP: OIS 2.052500 18-MAR-2027
000000000
2200000.00000000
OU
Notional Amount
USD
-18280.78000000
-0.00244706014
N/A
DIR
US
N
2
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
N/A
N/A
Y
2027-03-18
20.12000000
USD
0.00000000
USD
2200000.00000000
USD
-18300.90000000
N
N
N
BRAND INDUSTRIAL SERVICE
549300B658W2BPDQMW42
Brand Industrial Services Inc
10524PAB6
123000.00000000
PA
USD
114399.84000000
0.015313530869
Long
DBT
CORP
US
N
2
2025-07-15
Fixed
8.50000000
N
N
N
N
N
N
HSBC Holdings PLC
MLU0ZO3ML4LN2LL2TL39
HSBC Holdings PLC
404280BP3
1090000.00000000
PA
USD
1109075.00000000
0.148460472054
Long
DBT
CORP
GB
N
2
2028-03-23
Fixed
6.50000000
N
N
N
N
N
N
MATTAMY GROUP CORP
5493008TNY7A82WCXU31
Mattamy Group Corp
57701RAM4
135000.00000000
PA
USD
126806.85000000
0.016974329789
Long
DBT
CORP
CA
N
2
2030-03-01
Fixed
4.63000000
N
N
N
N
N
N
MPT OPER PARTNERSP/FINL
N/A
MPT Operating Partnership LP / MPT Finance Corp
55342UAM6
642000.00000000
PA
USD
596233.23000000
0.079811614886
Long
DBT
US
N
2
2031-03-15
Fixed
3.50000000
N
N
N
N
N
N
BOYD GAMING CORP
254900787YGRYS2A1Z35
Boyd Gaming Corp
103304BV2
219000.00000000
PA
USD
211061.25000000
0.028252600417
Long
DBT
CORP
US
N
2
2031-06-15
Fixed
4.75000000
N
N
N
N
N
N
BRASKEM NETHERLANDS
2549000TLMHFQ74DS330
Braskem Netherlands Finance BV
10554TAF2
219000.00000000
PA
USD
239531.25000000
0.032063586724
Long
DBT
CORP
NL
N
2
2081-01-23
Fixed
8.50000000
N
N
N
N
N
N
eG Global Finance PLC
549300TL8Q5207VYET27
eG Global Finance PLC
28228PAA9
441000.00000000
PA
USD
439897.50000000
0.058884557406
Long
DBT
CORP
GB
N
2
2025-02-07
Fixed
6.75000000
N
N
N
N
N
N
CHENIERE ENERGY PARTNERS
5493005UEC8AZ34LDV29
Cheniere Energy Partners LP
16411QAG6
371000.00000000
PA
USD
372855.00000000
0.049910266941
Long
DBT
CORP
US
N
2
2029-10-01
Fixed
4.50000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Pool
3133B1VJ7
2301719.55000000
PA
USD
2211422.70000000
0.296020429596
Long
ABS-MBS
USGSE
US
N
2
2052-01-01
Fixed
2.50000000
N
N
N
N
N
N
ReNew Power Synthetic
N/A
ReNew Power Synthetic
000000000
200000.00000000
PA
USD
203037.50000000
0.027178543466
Long
DBT
CORP
IN
N
2
2024-03-12
Fixed
6.67000000
N
N
N
N
N
N
Apache Corp
72ZZ1XRHOOU9P9X16K08
Apache Corp
037411AW5
287000.00000000
PA
USD
289152.50000000
0.038705873494
Long
DBT
CORP
US
N
2
2040-09-01
Fixed
5.10000000
N
N
N
N
N
N
EC FINANCE PLC
213800NKPB53RHYDQE45
EC Finance PLC
000000000
100000.00000000
PA
108420.88000000
0.014513188941
Long
DBT
CORP
GB
N
2
2026-10-15
Fixed
3.00000000
N
N
N
N
N
N
SOLIS IV BV
529900811T142NS3H544
Solis IV BV USD Term Loan B1
000000000
147000.00000000
PA
USD
143876.25000000
0.019259234941
Long
LON
CORP
US
N
2
2029-02-26
Floating
4.00000000
N
N
N
N
N
N
CLEAN HARBORS INC
5493000SJVZVZJKHJF48
Clean Harbors Inc
184496AP2
109000.00000000
PA
USD
109408.75000000
0.014645424945
Long
DBT
CORP
US
N
2
2029-07-15
Fixed
5.13000000
N
N
N
N
N
N
COMSTOCK RESOURCES INC
I03QQGEA4SS774AURI46
Comstock Resources Inc
205768AS3
441000.00000000
PA
USD
454926.78000000
0.060896372661
Long
DBT
CORP
US
N
2
2029-03-01
Fixed
6.75000000
N
N
N
N
N
N
ACRISURE LLC / FIN INC
N/A
Acrisure LLC / Acrisure Finance Inc
00489LAH6
140000.00000000
PA
USD
129448.20000000
0.017327900167
Long
DBT
CORP
US
N
2
2029-08-01
Fixed
6.00000000
N
N
N
N
N
N
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
SWP: OIS 2.290500 30-MAR-2032
000000000
260000.00000000
OU
Notional Amount
USD
-4156.84000000
-0.00055643345
N/A
DIR
US
N
2
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
N/A
N/A
Y
2032-03-30
0.00000000
USD
-4.20000000
USD
260000.00000000
USD
-4152.64000000
N
N
N
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
SWP: OIS 1.510000 03-MAR-2032
000000000
1250000.00000000
OU
Notional Amount
USD
-66410.07000000
-0.00888963356
N/A
DIR
US
N
2
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
N/A
N/A
Y
2032-03-03
0.00000000
USD
-37228.09000000
USD
1250000.00000000
USD
-29181.98000000
N
N
N
SHUI ON DEVELOPMENT HLDG
3003005J4J3G9CZFDK52
Shui On Development Holding Ltd
000000000
200000.00000000
PA
USD
191000.00000000
0.025567207053
Long
DBT
CORP
KY
N
2
2023-11-12
Fixed
5.75000000
N
N
N
N
N
N
Countrywide Home Equity Loan Trust
N/A
CWHEQ Revolving Home Equity Loan Trust Series 2006-I
12668FAA2
1412930.91000000
PA
USD
1338880.76000000
0.179222207384
Long
ABS-O
CORP
US
N
2
2037-01-15
Floating
0.54000000
N
N
N
N
N
N
APX GROUP INC
549300OMQVKPRU98OE64
APX Group Inc
00213MAW4
181000.00000000
PA
USD
165131.73000000
0.022104487601
Long
DBT
CORP
US
N
2
2029-07-15
Fixed
5.75000000
N
N
N
N
N
N
H.B. FULLER CO
JSMX3Z5FOYM8V0Q52357
HB Fuller Co
40410KAA3
66000.00000000
PA
USD
61789.20000000
0.008271085183
Long
DBT
CORP
US
N
2
2028-10-15
Fixed
4.25000000
N
N
N
N
N
N
Long Beach Mortgage Loan Trust
N/A
Long Beach Mortgage Loan Trust 2006-8
54251UAE6
6372901.28000000
PA
USD
2291885.21000000
0.306791118880
Long
ABS-O
CORP
US
N
2
2036-09-25
Floating
0.94000000
N
N
N
N
N
N
DEUTSCHE BANK AG
7LTWFZYICNSX8D621K86
10Y RTR 1.800000 07-OCT-2022
000000000
-3580000.00000000
NC
USD
-26079.80000000
-0.00349103479
N/A
DIR
US
N
2
DEUTSCHE BANK AG
7LTWFZYICNSX8D621K86
Call
Written
DEUTSCHE BANK AG
7LTWFZYICNSX8D621K86
DEUTSCHE BANK AG
7LTWFZYICNSX8D621K86
IRS Swap
N/A
3580000.00000000
OU
Notional Amount
N/A
-26079.80000000
0.00000000
DIR
US
N/A
N/A
2032-10-11
0.00000000
N/A
0.00000000
N/A
3580000.00000000
USD
1.00000000
0.01800000
USD
2022-10-07
XXXX
72370.20000000
N
N
N
BNP PARIBAS
R0MUWSFPU8MPRO8K5P83
BRY03VHW3 RRP FHLB
000000000
-2351718.75000000
PA
USD
-2351718.75000000
-0.31480041995
Short
RA
CORP
US
N
2
Reverse repurchase
N
0.08000000
2049-12-31
2351718.75000000
USD
2351802.37000000
USD
AMBS
N
N
N
BNP PARIBAS
R0MUWSFPU8MPRO8K5P83
BRY03VHY9 RRP TREASURY NO
000000000
-2870000.00000000
PA
USD
-2870000.00000000
-0.38417740441
Short
RA
CORP
US
N
2
Reverse repurchase
N
0.33000000
2049-12-31
2870000.00000000
USD
2870366.72000000
USD
UST
N
N
N
HCA INC
L3CJ6J7LJ2DX62FTXD46
HCA Inc
404119CA5
496000.00000000
PA
USD
479167.64000000
0.064141247461
Long
DBT
CORP
US
N
2
2030-09-01
Fixed
3.50000000
N
N
N
N
N
N
YANLORD LAND HK CO LTD
549300O56H3950RDWG19
Yanlord Land HK Co Ltd
000000000
200000.00000000
PA
USD
190000.00000000
0.025433347330
Long
DBT
CORP
HK
N
2
2024-02-27
Fixed
6.80000000
N
N
N
N
N
N
BOMBARDIER INC
W7L3VLU8EHQY34Z36697
Bombardier Inc
097751BX8
306000.00000000
PA
USD
286795.44000000
0.038390358096
Long
DBT
CORP
CA
N
2
2028-02-15
Fixed
6.00000000
N
N
N
N
N
N
ENDEAVOR ENERGY RESOURCE
N/A
Endeavor Energy Resources LP / EER Finance Inc
29260FAF7
128000.00000000
PA
USD
132800.00000000
0.017776571186
Long
DBT
CORP
US
N
2
2025-07-15
Fixed
6.63000000
N
N
N
N
N
N
CHARLES RIVER LABORATORI
549300BSQ0R4UZ5KX287
Charles River Laboratories International Inc
159864AG2
23000.00000000
PA
USD
21693.03000000
0.002903822982
Long
DBT
CORP
US
N
2
2029-03-15
Fixed
3.75000000
N
N
N
N
N
N
LMIRT CAPITAL PTE LTD
5493009IDXHZSVD2BI70
LMIRT Capital Pte Ltd
000000000
250000.00000000
PA
USD
247500.00000000
0.033130281390
Long
DBT
SG
N
2
2024-06-19
Fixed
7.25000000
N
N
N
N
N
N
ONEMAIN FINANCE CORP
5493008I795YYBFWFU90
OneMain Finance Corp
682691AB6
206000.00000000
PA
USD
190550.00000000
0.025506970177
Long
DBT
CORP
US
N
2
2027-01-15
Fixed
3.50000000
N
N
N
N
N
N
LUMEN TECHNOLOGIES INC
8M3THTGWLTYZVE6BBY25
Lumen Technologies Inc
156700BC9
51000.00000000
PA
USD
47498.09000000
0.006358081160
Long
DBT
CORP
US
N
2
2027-02-15
Fixed
4.00000000
N
N
N
N
N
N
FERTITTA ENTERTAINMENT
N/A
Fertitta Entertainment LLC / Fertitta Entertainment Finance Co Inc
31556TAC3
326000.00000000
PA
USD
299910.22000000
0.040145898911
Long
DBT
CORP
US
N
2
2030-01-15
Fixed
6.75000000
N
N
N
N
N
N
Octagon Investment Partners 54 Ltd
N/A
Octagon 54 Ltd
67577FAJ7
250000.00000000
PA
USD
247290.93000000
0.033102295338
Long
ABS-CBDO
CORP
KY
N
2
2034-07-15
Floating
3.29000000
N
N
N
N
N
N
LEVEL 3 FINANCING INC
254900AE5FEFIJOXWL19
Level 3 Financing Inc
527298BR3
130000.00000000
PA
USD
119340.98000000
0.015974950500
Long
DBT
CORP
US
N
2
2028-07-01
Fixed
4.25000000
N
N
N
N
N
N
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
FSWP: USD 0.808100 20-APR-2024
000000000
4290000.00000000
OU
Notional Amount
USD
-55542.42000000
-0.00743489294
N/A
DIR
US
N
2
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
N/A
N/A
Y
2024-04-22
0.00000000
USD
-101980.75000000
USD
4290000.00000000
USD
46438.33000000
N
N
N
CREDIT AGRICOLE CORPORATE AND INVESTMENT BANK SA
1VUV7VQFKUOQSJ21A208
RRP TREASURY BO
000000000
-3925000.00000000
PA
USD
-3925000.00000000
-0.52539941195
Short
RA
CORP
US
N
2
Reverse repurchase
N
0.33000000
2049-12-31
4000000.00000000
USD
3561718.75999999
USD
UST
N
N
N
Citigroup Commercial Mortgage Trust
N/A
Citigroup Commercial Mortgage Trust 2020-420K
17328QAG6
270000.00000000
PA
USD
238969.58000000
0.031988401734
Long
ABS-MBS
CORP
US
N
2
2042-11-10
Variable
3.31000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138AMUJ2
881814.73000000
PA
USD
935871.44000000
0.125275491526
Long
ABS-MBS
USGSE
US
N
2
2041-07-01
Fixed
4.50000000
N
N
N
N
N
N
BWX TECHNOLOGIES INC
549300NP85N265KWMS58
BWX Technologies Inc
05605HAB6
181000.00000000
PA
USD
174226.98000000
0.023321975245
Long
DBT
CORP
US
N
2
2028-06-30
Fixed
4.13000000
N
N
N
N
N
N
New Arclin U.S. Holding Corp.
N/A
New Arclin U.S. Holding Corp. 2021 Term Loan
03880YAC8
110975.82000000
PA
USD
108109.31000000
0.014471482267
Long
LON
CORP
US
N
2
2028-09-30
Floating
4.25000000
N
N
N
N
N
N
HSBC SECURITIES (USA) INC
CYYGQCGNHMHPSMRL3R97
RRP FNMA 30YR U
000000000
-421701.07000000
PA
USD
-421701.07000000
-0.05644878833
Short
RA
CORP
US
N
2
Reverse repurchase
N
0.34000000
2022-04-13
421701.07000000
USD
421768.78000000
USD
AMBS
N
N
N
VZ SECURED FINANCING BV
549300MG611MYCOWY949
VZ Secured Financing BV
000000000
100000.00000000
PA
101553.73000000
0.013593954146
Long
DBT
CORP
NL
N
2
2032-01-15
Fixed
3.50000000
N
N
N
N
N
N
MSCI INC
549300HTIN2PD78UB763
MSCI Inc
55354GAH3
51000.00000000
PA
USD
49530.44000000
0.006630130968
Long
DBT
CORP
US
N
2
2029-11-15
Fixed
4.00000000
N
N
N
N
N
N
Amentum Government Services Holdings LLC
5493008CT6B5L54YSE94
Amentum Government Services Holdings LLC 2022 Term Loan
57776DAE3
94000.00000000
PA
USD
92942.50000000
0.012441257285
Long
LON
CORP
US
N
2
2029-02-15
Floating
4.78000000
N
N
N
N
N
N
BANGKOK BANK PCL/HK
549300CCL2BKJGMYXV60
Bangkok Bank PCL/Hong Kong
000000000
288000.00000000
PA
USD
268524.00000000
0.035944548202
Long
DBT
CORP
TH
N
2
2034-09-25
Fixed
3.73000000
N
N
N
N
N
N
MSCI INC
549300HTIN2PD78UB763
MSCI Inc
55354GAL4
14000.00000000
PA
USD
13274.17000000
0.001776876716
Long
DBT
CORP
US
N
2
2031-02-15
Fixed
3.88000000
N
N
N
N
N
N
Republic of Colombia
549300MHDRBVRF6B9117
Colombia Government International Bond
195325CX1
300000.00000000
PA
USD
299962.50000000
0.040152897097
Long
DBT
NUSS
CO
N
2
2026-01-28
Fixed
4.50000000
N
N
N
N
N
N
AEROPUERTO INTL TOCUMEN
254900FO1PHX49ZIGB14
Aeropuerto Internacional de Tocumen SA
00787CAE2
200000.00000000
PA
USD
182350.00000000
0.024409320451
Long
DBT
CORP
PA
N
2
2061-08-11
Fixed
5.13000000
N
N
N
N
N
N
Waste Pro USA Inc
549300BY1QXU5BI3UF28
Waste Pro USA Inc
94107JAA1
342000.00000000
PA
USD
323217.36000000
0.043265786210
Long
DBT
CORP
US
N
2
2026-02-15
Fixed
5.50000000
N
N
N
N
N
N
UBS AG
BFM8T61CT2L1QCEMIK50
10Y RTP 1.169000 05-JUN-2025
000000000
840000.00000000
NC
USD
83346.71000000
0.011156767496
N/A
DIR
US
N
2
UBS AG
BFM8T61CT2L1QCEMIK50
Put
Purchased
UBS AG
BFM8T61CT2L1QCEMIK50
UBS AG
BFM8T61CT2L1QCEMIK50
IRS Swap
N/A
840000.00000000
OU
Notional Amount
N/A
83346.71000000
0.01000000
DIR
US
N/A
N/A
2035-06-05
0.00000000
N/A
0.00000000
N/A
840000.00000000
USD
1.00000000
1.16900000
USD
2025-06-05
XXXX
8686.25000000
N
N
N
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
SWP: OIS 2.000500 18-MAR-2032
000000000
440000.00000000
OU
Notional Amount
USD
4221.30000000
0.000565062047
N/A
DIR
US
N
2
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
N/A
N/A
Y
2032-03-18
0.00000000
USD
-7.09000000
USD
440000.00000000
USD
4228.39000000
N
N
N
AVIANCA MIDCO 2 LTD
N/A
Avianca Midco 2 Ltd
05368PAA7
150376.00000000
PA
USD
144013.22000000
0.019277569707
Long
DBT
CORP
GB
N
2
2028-12-01
Fixed
9.00000000
N
N
N
N
N
N
TCW Gem Ltd
N/A
TCW CLO 2020-1 Ltd
87190CBE9
250000.00000000
PA
USD
243318.35000000
0.032570526881
Long
ABS-CBDO
CORP
KY
N
2
2034-04-20
Floating
3.65000000
N
N
N
N
N
N
GARTNER INC
PP55B5R38BFB8O8HH686
Gartner Inc
366651AG2
137000.00000000
PA
USD
128437.50000000
0.017192608146
Long
DBT
CORP
US
N
2
2029-06-15
Fixed
3.63000000
N
N
N
N
N
N
VIDEOTRON LTD
549300LW4GNJRBECSD81
Videotron Ltd
92660FAN4
178000.00000000
PA
USD
165039.82000000
0.022092184554
Long
DBT
CORP
CA
N
2
2029-06-15
Fixed
3.63000000
N
N
N
N
N
N
Galaxy CLO Ltd
549300S1CAKZT00VQL17
Galaxy XX CLO Ltd
36320MAQ1
250000.00000000
PA
USD
245250.00000000
0.032829097014
Long
ABS-CBDO
CORP
KY
N
2
2031-04-20
Floating
2.00000000
N
N
N
N
N
N
CREDIT SUISSE SECURITIES (USA) LLC
1V8Y6QCX6YMJ2OELII46
BRY09EP63 RRP ENDO DAC
000000000
-286125.00000000
PA
USD
-286125.00000000
-0.03830061318
Short
RA
CORP
US
N
2
Reverse repurchase
N
-0.25000000
2049-12-31
286125.00000000
USD
286099.17000000
USD
CDS
N
N
N
Chicago Board of Trade
549300EX04Q2QBFQTQ27
US 10YR FUT OPTN MAY22P 121.5
000000000
22.00000000
NC
USD
8593.75000000
0.001150356992
N/A
DIR
US
N
1
Chicago Board of Trade
549300EX04Q2QBFQTQ27
Put
Purchased
Chicago Board of Trade
549300EX04Q2QBFQTQ27
Chicago Board of Trade
549300EX04Q2QBFQTQ27
CBOT 10 Year US Treasury Note Future
N/A
22.00000000
NC
N/A
8593.75000000
0.00000000
DIR
US
Long
CBOT 10 Year US Treasury Note
TYM2 Comdty
2022-06-21
22.00000000
USD
1000.00000000
121.50000000
USD
2022-04-22
XXXX
-15330.32000000
N
N
N
CCO HLDGS LLC/CAP CORP
N/A
CCO Holdings LLC / CCO Holdings Capital Corp
1248EPCQ4
163000.00000000
PA
USD
151792.12000000
0.020318851105
Long
DBT
CORP
US
N
2
2032-02-01
Fixed
4.75000000
N
N
N
N
N
N
Apache Corp
72ZZ1XRHOOU9P9X16K08
Apache Corp
037411AY1
25000.00000000
PA
USD
24875.00000000
0.003329760604
Long
DBT
CORP
US
N
2
2042-02-01
Fixed
5.25000000
N
N
N
N
N
N
GFL ENVIRONMENTAL INC
549300FYK4MBXWIVZU26
GFL Environmental Inc
36168QAF1
103000.00000000
PA
USD
103875.50000000
0.013904745634
Long
DBT
CORP
CA
N
2
2026-12-15
Fixed
5.13000000
N
N
N
N
N
N
ONEMAIN FINANCE CORP
5493008I795YYBFWFU90
OneMain Finance Corp
85172FAR0
59000.00000000
PA
USD
57322.63000000
0.007673191361
Long
DBT
CORP
US
N
2
2029-11-15
Fixed
5.38000000
N
N
N
N
N
N
CLYDESDALE ACQU HLDNG INC
N/A
CLYDESDALE ACQU HLDNG INC
000000000
112000.00000000
PA
USD
110132.96000000
0.014742367495
Long
LON
CORP
US
N
2
2029-03-30
None
0.00000000
N
N
N
N
N
N
ONEMAIN FINANCE CORP
5493008I795YYBFWFU90
OneMain Finance Corp
85172FAN9
49000.00000000
PA
USD
52375.61000000
0.007010984635
Long
DBT
CORP
US
N
2
2026-03-15
Fixed
7.13000000
N
N
N
N
N
N
SABLE INTL FINANCE LTD
2138009IE9A35LO5JS73
Sable International Finance Ltd
000000000
200000.00000000
PA
USD
201390.00000000
0.026958009572
Long
DBT
CORP
KY
N
2
2027-09-07
Fixed
5.75000000
N
N
N
N
N
N
Planview Parent, Inc.
N/A
Planview Parent, Inc. 2nd Lien Term Loan
000000000
103000.00000000
PA
USD
101970.00000000
0.013649675933
Long
LON
CORP
US
N
3
2028-12-18
Floating
8.26000000
N
N
N
N
N
N
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
SWP: USD 1.593500 12-OCT-2031
000000000
26700000.00000000
OU
Notional Amount
USD
-1697258.04000000
-0.22719449073
N/A
DIR
US
N
2
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
N/A
N/A
Y
2031-10-14
0.00000000
USD
-1195993.77000000
USD
26700000.00000000
USD
-501264.27000000
N
N
N
TK ELEVATOR MIDCO GMBH
254900K869UN2ZWVB351
TK Elevator Midco GmbH
000000000
100000.00000000
PA
109130.65000000
0.014608198557
Long
DBT
CORP
DE
N
2
2027-07-15
Fixed
4.38000000
N
N
N
N
N
N
THAMES WATER KEMBLE FINA
213800S7UU2MQXYJQO60
Thames Water Kemble Finance PLC
000000000
168000.00000000
PA
212681.67000000
0.028469509389
Long
DBT
CORP
GB
N
2
2026-05-19
Fixed
4.63000000
N
N
N
N
N
N
ALLIANT HOLD / CO-ISSUER
N/A
Alliant Holdings Intermediate LLC / Alliant Holdings Co-Issuer
01883LAB9
749000.00000000
PA
USD
720440.63000000
0.096437983019
Long
DBT
CORP
US
N
2
2027-10-15
Fixed
4.25000000
N
N
N
N
N
N
MORGAN STANLEY & CO. INTERNATIONAL
4PQUHN3JPFGFNF3BB653
SWAP/CDSWAP/SCDS: (TTMTIN)
000000000
25000.00000000
OU
Notional Amount
-306.71000000
-0.00004105611
N/A
DCR
XX
N
2
MORGAN STANLEY & CO. INTERNATIONAL
4PQUHN3JPFGFNF3BB653
JAGUAR LAND ROVER AUTOMO
JAGUAR LAND ROVER AUTOMO
Y
sell protection
2026-12-22
1062.35000000
EUR
0.00000000
EUR
25000.00000000
EUR
-1504.23000000
N
N
N
Mattel Inc
549300VELLG24KHTJ564
Mattel Inc
577081AW2
149000.00000000
PA
USD
158610.50000000
0.021231557561
Long
DBT
CORP
US
N
2
2041-11-01
Fixed
5.45000000
N
N
N
N
N
N
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
FSWP: OIS 1.757000 12-AUG-2024
000000000
6050000.00000000
OU
Notional Amount
USD
64159.55000000
0.008588379577
N/A
DIR
US
N
2
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
N/A
N/A
Y
2024-08-12
0.00000000
USD
-17298.71000000
USD
6050000.00000000
USD
81458.26000000
N
N
N
LCM INVESTMENTS HOLDINGS
549300P5V78NNQTG4428
LCM Investments Holdings II LLC
50190EAA2
182000.00000000
PA
USD
171895.34000000
0.023009862561
Long
DBT
CORP
US
N
2
2029-05-01
Fixed
4.88000000
N
N
N
N
N
N
MATCH GROUP HLD II LLC
N/A
Match Group Holdings II LLC
57667JAA0
73000.00000000
PA
USD
65293.76000000
0.008740204613
Long
DBT
CORP
US
N
2
2031-10-01
Fixed
3.63000000
N
N
N
N
N
N
BALL CORP
0BGI85ALH27ZJP15DY16
Ball Corp
058498AW6
25000.00000000
PA
USD
22413.63000000
0.003000282298
Long
DBT
CORP
US
N
2
2030-08-15
Fixed
2.88000000
N
N
N
N
N
N
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
FSWP: OIS 2.080040 16-SEP-2024
000000000
1432000.00000000
OU
Notional Amount
USD
15671.97000000
0.002097845559
N/A
DIR
US
N
2
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
N/A
N/A
Y
2024-09-16
0.00000000
USD
-6.34000000
USD
1432000.00000000
USD
15678.31000000
N
N
N
CNX RESOURCES CORP
549300JK3KH8PWM3B226
CNX Resources Corp
12653CAJ7
60000.00000000
PA
USD
60600.00000000
0.008111899201
Long
DBT
CORP
US
N
2
2029-01-15
Fixed
6.00000000
N
N
N
N
N
N
CENTRAIS ELETRICAS BRASI
254900I8KYDELP4B4Z08
Centrais Eletricas Brasileiras SA
15236FAB6
237000.00000000
PA
USD
221595.00000000
0.029662645271
Long
DBT
CORP
BR
N
2
2030-02-04
Fixed
4.63000000
N
N
N
N
N
N
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
FSWP: OIS 2.088460 15-NOV-2031
000000000
5570000.00000000
OU
Notional Amount
USD
33588.69000000
0.004496172732
N/A
DIR
US
N
2
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
N/A
N/A
Y
2031-11-17
0.00000000
USD
-90.01000000
USD
5570000.00000000
USD
33678.70000000
N
N
N
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
SWP: OIS 2.093000 18-MAR-2032
000000000
590000.00000000
OU
Notional Amount
USD
731.98000000
0.000097982639
N/A
DIR
US
N
2
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
N/A
N/A
Y
2032-03-18
0.00000000
USD
-9.50000000
USD
590000.00000000
USD
741.48000000
N
N
N
UNION PACIFIC CORP
549300LMMRSZZCZ8CL11
Union Pacific Corp
907818FG8
800000.00000000
PA
USD
802781.45000000
0.107460102359
Long
DBT
CORP
US
N
2
2060-03-20
Fixed
3.84000000
N
N
N
N
N
N
ROMANIA
315700IASY927EDWBK92
Romanian Government International Bond
77586RAL4
188000.00000000
PA
USD
177895.00000000
0.023812975385
Long
DBT
NUSS
RO
N
2
2032-03-27
Fixed
3.63000000
N
N
N
N
N
N
CASTLE US HOLDING CORP
N/A
Castle US Holding Corp
14852LAA1
107000.00000000
PA
USD
106221.04000000
0.014218718969
Long
DBT
CORP
US
N
2
2028-02-15
Fixed
9.50000000
N
N
N
N
N
N
LIBERTY BROADBAND CORP
549300MIX43II8JLN536
Liberty Broadband Corp
530307AA5
537000.00000000
PA
USD
529629.32000000
0.070896033957
Long
DBT
CORP
US
N
2
2050-09-30
Fixed
2.75000000
N
N
N
N
N
Liberty Broadband Corp
Liberty Broadband Corp
USD
XXXX
N
N
N
VICTORS MERGER CORP
N/A
Victors Merger Corp
92641PAA4
107000.00000000
PA
USD
87589.13000000
0.011724656661
Long
DBT
CORP
US
N
2
2029-05-15
Fixed
6.38000000
N
N
N
N
N
N
HEALTHEQUITY INC
529900LRJU1RAFQHM467
HealthEquity Inc
42226AAA5
273000.00000000
PA
USD
258667.50000000
0.034625159845
Long
DBT
CORP
US
N
2
2029-10-01
Fixed
4.50000000
N
N
N
N
N
N
BOOZ ALLEN HAMILTON INC
549300D7XCH2480XU542
Booz Allen Hamilton Inc
09951LAA1
190000.00000000
PA
USD
183405.10000000
0.024550555844
Long
DBT
CORP
US
N
2
2028-09-01
Fixed
3.88000000
N
N
N
N
N
N
Foundation Building Materials Holding Company LLC
549300ZVE6MONHB01I28
Foundation Building Materials Holding Company LLC 2021 Term Loan
35039KAB2
68516.60000000
PA
USD
67231.91000000
0.008999644835
Long
LON
CORP
US
N
2
2028-02-03
Floating
3.75000000
N
N
N
N
N
N
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
FSWP: USD 1.007000 03-MAY-2024
000000000
12995000.00000000
OU
Notional Amount
USD
-120264.49000000
-0.01609857129
N/A
DIR
US
N
2
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
N/A
N/A
Y
2024-05-03
0.00000000
USD
-263353.83000000
USD
12995000.00000000
USD
143089.34000000
N
N
N
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
SWP: USD 1.391020 22-SEP-2031
000000000
2265000.00000000
OU
Notional Amount
USD
-83545.91000000
-0.01118343235
N/A
DIR
US
N
2
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
N/A
N/A
Y
2031-09-22
0.00000000
USD
-140829.78000000
USD
2265000.00000000
USD
57283.87000000
N
N
N
RANGE RESOURCES CORP
H3Y3WLYCX0BTO1TRW162
Range Resources Corp
75281ABK4
75000.00000000
PA
USD
74488.50000000
0.009971009961
Long
DBT
CORP
US
N
2
2030-02-15
Fixed
4.75000000
N
N
N
N
N
N
MINERVA MERGER SUB INC
N/A
Minerva Merger Sub Inc
60337JAA4
371000.00000000
PA
USD
359916.38000000
0.048178306854
Long
DBT
CORP
US
N
2
2030-02-15
Fixed
6.50000000
N
N
N
N
N
N
LADDER CAP FIN LLLP/CORP
N/A
Ladder Capital Finance Holdings LLLP / Ladder Capital Finance Corp
505742AM8
78000.00000000
PA
USD
74752.38000000
0.010006332864
Long
DBT
US
N
2
2027-02-01
Fixed
4.25000000
N
N
N
N
N
N
NUSTAR LOGISTICS LP
N62BF2PKP51FIIOIUN20
NuStar Logistics LP
67059TAH8
17000.00000000
PA
USD
17230.18000000
0.002306427118
Long
DBT
CORP
US
N
2
2030-10-01
Fixed
6.38000000
N
N
N
N
N
N
MEG Energy Corp
5493002WXPTG5ZC1T326
MEG Energy Corp
552704AD0
215000.00000000
PA
USD
218493.75000000
0.029247512806
Long
DBT
CORP
CA
N
2
2025-01-15
Fixed
6.50000000
N
N
N
N
N
N
OMAN GOV INTERNTL BOND
549300SZ20F0QTKNQC75
Oman Government International Bond
000000000
200000.00000000
PA
USD
199250.00000000
0.026671549766
Long
DBT
NUSS
OM
N
2
2048-01-17
Fixed
6.75000000
N
N
N
N
N
N
STAR ENERGY GEOTHERMAL
N/A
Star Energy Geothermal Wayang Windu Ltd
000000000
218062.00000000
PA
USD
229960.01000000
0.030782383191
Long
DBT
CORP
VG
N
2
2033-04-24
Fixed
6.75000000
N
N
N
N
N
N
EVERARC ESCROW SARL
N/A
EverArc Escrow Sarl
29977LAA9
372000.00000000
PA
USD
339915.00000000
0.045500927672
Long
DBT
CORP
LU
N
2
2029-10-30
Fixed
5.00000000
N
N
N
N
N
N
ALTICE FRANCE SA
5493001ZMCICV4N02J21
Altice France SA/France
02156LAF8
744000.00000000
PA
USD
666810.00000000
0.089259001754
Long
DBT
CORP
FR
N
2
2029-07-15
Fixed
5.13000000
N
N
N
N
N
N
Navient Student Loan Trust
N/A
Navient Private Education Refi Loan Trust 2021-D
63942CAD4
440000.00000000
PA
USD
409986.76000000
0.054880714041
Long
ABS-O
CORP
US
N
2
2060-04-15
Fixed
4.00000000
N
N
N
N
N
N
OCCIDENTAL PETROLEUM COR
IM7X0T3ECJW4C1T7ON55
Occidental Petroleum Corp
674599DC6
24000.00000000
PA
USD
25440.00000000
0.003405391347
Long
DBT
CORP
US
N
2
2026-03-15
Fixed
5.55000000
N
N
N
N
N
N
JP MORGAN CHASE BANK
7H6GLXDRUGQFU57RNE97
10Y RTR 2.620000 22-FEB-2039
000000000
472500.00000000
NC
USD
44943.07000000
0.006016066891
N/A
DIR
US
N
2
JP MORGAN CHASE BANK
7H6GLXDRUGQFU57RNE97
Call
Purchased
JP MORGAN CHASE BANK
7H6GLXDRUGQFU57RNE97
JP MORGAN CHASE BANK
7H6GLXDRUGQFU57RNE97
IRS Swap
N/A
472500.00000000
OU
Notional Amount
N/A
44943.07000000
0.01000000
DIR
US
N/A
N/A
2049-02-22
0.00000000
N/A
0.00000000
N/A
472500.00000000
USD
1.00000000
2.62000000
USD
2039-02-22
XXXX
-3325.52000000
N
N
N
CIFI HOLDINGS GROUP
549300WGKSV867C0JF48
CIFI Holdings Group Co Ltd
000000000
500000.00000000
PA
USD
407500.00000000
0.054547837037
Long
DBT
CORP
KY
N
2
2025-10-20
Fixed
5.95000000
N
N
N
N
N
N
NRG ENERGY INC
5E2UPK5SW04M13XY7I38
NRG Energy Inc
629377CR1
183000.00000000
PA
USD
160964.97000000
0.021546726263
Long
DBT
CORP
US
N
2
2031-02-15
Fixed
3.63000000
N
N
N
N
N
N
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
FSWP: OIS 2.480000 30-SEP-2027
000000000
4140000.00000000
OU
Notional Amount
USD
-27065.80000000
-0.00362302048
N/A
DIR
US
N
2
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
N/A
N/A
Y
2027-09-30
0.00000000
USD
-38.16000000
USD
4140000.00000000
USD
-27027.64000000
N
N
N
Republic of Colombia
549300MHDRBVRF6B9117
Colombia Government International Bond
195325DL6
200000.00000000
PA
USD
192537.50000000
0.025773016376
Long
DBT
NUSS
CO
N
2
2027-04-25
Fixed
3.88000000
N
N
N
N
N
N
BAUSCH HEALTH AMERICAS
KOO0397YRO83WY5MGD97
Bausch Health Americas Inc
91911XAW4
482000.00000000
PA
USD
480684.14000000
0.064344245730
Long
DBT
CORP
US
N
2
2027-01-31
Fixed
8.50000000
N
N
N
N
N
N
SkyMiles IP Ltd.
2549008L7P4I8VB90936
SkyMiles IP Ltd. 2020 Skymiles Term Loan B
24736CBS2
201000.00000000
PA
USD
207249.09000000
0.027742305736
Long
LON
CORP
KY
N
2
2027-10-20
Floating
4.75000000
N
N
N
N
N
N
OCCIDENTAL PETROLEUM COR
IM7X0T3ECJW4C1T7ON55
Occidental Petroleum Corp
674599DL6
25000.00000000
PA
USD
29375.00000000
0.003932129356
Long
DBT
CORP
US
N
2
2046-03-15
Fixed
6.60000000
N
N
N
N
N
N
RegionalCare Hospital Partners Holdings, Inc.
549300G8ZVHRTBBBSZ90
RegionalCare Hospital Partners Holdings, Inc. 2018 Term Loan B
75915TAD4
76473.86000000
PA
USD
75940.07000000
0.010165316718
Long
LON
CORP
US
N
2
2025-11-16
Floating
4.20000000
N
N
N
N
N
N
II-VI Incorporated
549300O5C25A0MMHHU33
II-VI Incorporated 2021 Term Loan B
000000000
96247.00000000
PA
USD
95525.15000000
0.012786970098
Long
LON
CORP
US
N
3
2028-12-01
None
0.00000000
N
N
N
N
N
N
LIVE NATION ENTERTAINMEN
5493007B9BM9ZXJINO78
Live Nation Entertainment Inc
538034AR0
106000.00000000
PA
USD
103350.00000000
0.013834402350
Long
DBT
CORP
US
N
2
2027-10-15
Fixed
4.75000000
N
N
N
N
N
N
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
SWP: OIS 2.352500 31-MAR-2027
000000000
1120000.00000000
OU
Notional Amount
USD
5974.61000000
0.000799759638
N/A
DIR
US
N
2
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
N/A
N/A
Y
2027-03-31
10.31000000
USD
0.00000000
USD
1120000.00000000
USD
5964.30000000
N
N
N
NORTHWEST FIBER LLC/NORT
N/A
Northwest Fiber LLC / Northwest Fiber Finance Sub Inc
667449AD4
205000.00000000
PA
USD
194647.50000000
0.026055460392
Long
DBT
CORP
US
N
2
2027-04-30
Fixed
4.75000000
N
N
N
N
N
N
FMR LLC
6X064LF7Y6B4DKF2GZ26
FMR LLC
30251BAD0
2300000.00000000
PA
USD
2529545.59000000
0.338604271465
Long
DBT
CORP
US
N
2
2033-02-01
Fixed
4.95000000
N
N
N
N
N
N
RAPTOR ACQ/RAPTOR CO-ISS
N/A
Raptor Acquisition Corp / Raptor Co-Issuer LLC
75383KAA2
121000.00000000
PA
USD
116220.50000000
0.015557243912
Long
DBT
CORP
US
N
2
2026-11-01
Fixed
4.88000000
N
N
N
N
N
N
RIO TINTO FIN USA PLC
2138006TSNBEUA761G16
Rio Tinto Finance USA PLC
76720AAD8
400000.00000000
PA
USD
457347.03000000
0.061220346655
Long
DBT
CORP
GB
N
2
2042-03-22
Fixed
4.75000000
N
N
N
N
N
N
CHENIERE ENERGY INC
MIHC87W9WTYSYZWV1J40
Cheniere Energy Inc
16411RAK5
976000.00000000
PA
USD
979269.60000000
0.131084757194
Long
DBT
CORP
US
N
2
2028-10-15
Fixed
4.63000000
N
N
N
N
N
N
WEATHERFORD INTERNATIONA
549300A2JKMG5PGOGF82
Weatherford International Ltd
947075AU1
140000.00000000
PA
USD
142149.00000000
0.019028025735
Long
DBT
CORP
BM
N
2
2030-04-30
Fixed
8.63000000
N
N
N
N
N
N
K HOVNANIAN ENTERPRISES
549300JJCQ0KAI7CJG32
K Hovnanian Enterprises Inc
48251UAF5
206000.00000000
PA
USD
212695.00000000
0.028471293739
Long
DBT
CORP
US
N
2
2026-02-15
Fixed
7.75000000
N
N
N
N
N
N
AIR LIQUIDE FINANCE
549300YGXL5Z3R14K812
Air Liquide Finance SA
00913RAE6
360000.00000000
PA
USD
361517.99000000
0.048392697925
Long
DBT
CORP
FR
N
2
2046-09-27
Fixed
3.50000000
N
N
N
N
N
N
Palmer Square CLO Ltd
549300PACXK2KP6J2T91
Palmer Square CLO 2015-2 Ltd
69689CBC9
250000.00000000
PA
USD
244385.45000000
0.032713368591
Long
ABS-CBDO
CORP
KY
N
2
2030-07-20
Floating
3.00000000
N
N
N
N
N
N
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
FSWP: OIS 1.685000 15-JAN-2057
000000000
130000.00000000
OU
Notional Amount
USD
-1048.94000000
-0.00014041081
N/A
DIR
US
N
2
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
N/A
N/A
Y
2057-01-15
0.00000000
USD
-2701.19000000
USD
130000.00000000
USD
1652.25000000
N
N
N
CIFC Funding Ltd
5493001TP5YQV9X08Z14
CIFC Funding 2015-I Ltd
12548MBF1
1000000.00000000
PA
USD
993503.70000000
0.132990129874
Long
ABS-CBDO
CORP
KY
N
2
2031-01-22
Floating
1.37000000
N
N
N
N
N
N
KAISA GROUP HOLDINGS LTD
254900N8L3L7NRJT0120
Kaisa Group Holdings Ltd
000000000
300000.00000000
PA
USD
55368.75000000
0.007411645526
Long
DBT
CORP
KY
N
2
2025-11-11
None
0.00000000
Y
N
N
N
N
N
BARCLAYS PLC
213800LBQA1Y9L22JB70
Barclays PLC
06738EBT1
310000.00000000
PA
USD
273032.50000000
0.036548054763
Long
DBT
CORP
GB
N
2
2028-03-15
Fixed
4.38000000
N
N
N
N
N
N
Credit Acceptance Auto Loan Trust
N/A
Credit Acceptance Auto Loan Trust 2020-1
22534GAA1
1735102.29000000
PA
USD
1735091.36000000
0.232258848467
Long
ABS-O
CORP
US
N
2
2029-02-15
Fixed
2.01000000
N
N
N
N
N
N
Banff Merger Sub Inc
5493006T045HLTF7YX04
Banff Merger Sub Inc 2021 USD 2nd Lien Term Loan
000000000
279000.00000000
PA
USD
275931.00000000
0.036936047169
Long
LON
CORP
US
N
2
2026-02-27
Floating
6.00000000
N
N
N
N
N
N
AqGen Island Holdings, Inc.
N/A
AqGen Island Holdings, Inc. Term Loan
000000000
96757.50000000
PA
USD
95910.87000000
0.012838602470
Long
LON
CORP
US
N
3
2028-08-02
None
0.00000000
N
N
N
N
N
N
KAISA GROUP HOLDINGS LTD
254900N8L3L7NRJT0120
Kaisa Group Holdings Ltd
000000000
434000.00000000
PA
USD
84847.00000000
0.011357595899
Long
DBT
CORP
KY
N
2
2023-07-23
Fixed
10.88000000
Y
Y
N
N
N
N
Yanlord Land HK Co Ltd
549300O56H3950RDWG19
Yanlord Land HK Co Ltd
000000000
250000.00000000
PA
USD
242500.00000000
0.032460982776
Long
DBT
CORP
HK
N
2
2023-04-23
Fixed
6.75000000
N
N
N
N
N
N
UKRAINE GOVERNMENT
6354001WLTJXOMEXPY07
Ukraine Government International Bond
000000000
385000.00000000
PA
USD
163625.00000000
0.021902797141
Long
DBT
NUSS
UA
N
2
2025-09-01
Fixed
7.75000000
N
N
N
N
N
N
DUKE ENERGY CAROLINAS
MWIUSDMN17TCR56VW396
Duke Energy Carolinas LLC
26442CAB0
1675000.00000000
PA
USD
2063612.78000000
0.276234634679
Long
DBT
CORP
US
N
2
2038-01-15
Fixed
6.00000000
N
N
N
N
N
N
COMMSCOPE INC
549300Z6K4JXMFE8QY54
CommScope Inc
203372AV9
249000.00000000
PA
USD
224940.38000000
0.030110456911
Long
DBT
CORP
US
N
2
2028-07-01
Fixed
7.13000000
N
N
N
N
N
N
CHARTER COMM OPT LLC/CAP
N/A
Charter Communications Operating LLC / Charter Communications Operating Capital
161175BT0
1000000.00000000
PA
USD
949909.47000000
0.127154618331
Long
DBT
CORP
US
N
2
2050-03-01
Fixed
4.80000000
N
N
N
N
N
N
ALTICE FRANCE HOLDING SA
5299000JVHXKJPOE6H40
Altice France Holding SA
02156TAB0
1288000.00000000
PA
USD
1347898.44000000
0.180429311529
Long
DBT
CORP
LU
N
2
2027-05-15
Fixed
10.50000000
N
N
N
N
N
N
HSBC SECURITIES (USA) INC
CYYGQCGNHMHPSMRL3R97
RRP FHLMC 30YR
000000000
-760586.62000000
PA
USD
-760586.62000000
-0.10181191411
Short
RA
CORP
US
N
2
Reverse repurchase
N
0.34000000
2022-04-13
760586.62000000
USD
760708.74000000
USD
AMBS
N
N
N
THERMO FISHER SCIENTIFIC
HCHV7422L5HDJZCRFL38
Thermo Fisher Scientific Inc
883556BG6
1000000.00000000
PA
USD
1220143.59000000
0.163328082723
Long
DBT
CORP
US
N
2
2044-02-01
Fixed
5.30000000
N
N
N
N
N
N
McAfee, LLC
2549009UKR8UEZYVCR93
McAfee, LLC 2022 USD Term Loan B
000000000
744000.00000000
PA
USD
737490.00000000
0.098720206961
Long
LON
CORP
US
N
2
2029-03-01
Floating
4.50000000
N
N
N
N
N
N
Calpine Corporation
43R4VPJBXTU2O15HEF41
Calpine Corporation 2019 Term Loan B10
13134MBS1
26592.74000000
PA
USD
26178.69000000
0.003504272186
Long
LON
CORP
US
N
2
2026-08-12
Floating
2.46000000
N
N
N
N
N
N
HSBC SECURITIES (USA) INC
CYYGQCGNHMHPSMRL3R97
RRP FNMA 40YR R
000000000
-1122551.59000000
PA
USD
-1122551.59000000
-0.15026444465
Short
RA
CORP
US
N
2
Reverse repurchase
N
0.34000000
2022-04-13
1122551.59000000
USD
1122731.82000000
USD
AMBS
N
N
N
LAMB WESTON HLD
5493005SMYID1D2OY946
Lamb Weston Holdings Inc
513272AE4
108000.00000000
PA
USD
100895.76000000
0.013505878464
Long
DBT
CORP
US
N
2
2032-01-31
Fixed
4.38000000
N
N
N
N
N
N
LUMEN TECHNOLOGIES INC
8M3THTGWLTYZVE6BBY25
Lumen Technologies Inc
156700AM8
31000.00000000
PA
USD
29772.40000000
0.003985325210
Long
DBT
CORP
US
N
2
2039-09-15
Fixed
7.60000000
N
N
N
N
N
N
Tempo Acquisition LLC
549300VV0B2RPMHQGA61
Tempo Acquisition LLC 2022 Term Loan B
88023HAF7
1.00000000
PA
USD
0.99000000
0.000000132521
Long
LON
CORP
US
N
2
2028-08-31
None
0.00000000
N
N
N
N
N
N
Neuberger Berman CLO Ltd
549300FFV1EYI8ON7P41
Neuberger Berman CLO XXII Ltd
64131BAH6
250000.00000000
PA
USD
247920.13000000
0.033186519876
Long
ABS-CBDO
CORP
KY
N
2
2030-10-17
Floating
1.89000000
N
N
N
N
N
N
Republic of South Africa
378900AAFB4F17004C49
Republic of South Africa Government International Bond
836205AX2
200000.00000000
PA
USD
174225.00000000
0.023321710203
Long
DBT
NUSS
ZA
N
2
2047-09-27
Fixed
5.65000000
N
N
N
N
N
N
NATIONSTAR MTG HLD INC
N/A
Nationstar Mortgage Holdings Inc
63861CAD1
69000.00000000
PA
USD
63825.00000000
0.008543596807
Long
DBT
CORP
US
N
2
2030-12-15
Fixed
5.13000000
N
N
N
N
N
N
Trestles CLO LTD
254900QSBDX181YYBH38
TRESTLES CLO 2017-1 Ltd
89531FAU1
250000.00000000
PA
USD
244839.10000000
0.032774094054
Long
ABS-CBDO
CORP
KY
N
2
2032-04-25
Floating
3.16000000
N
N
N
N
N
N
Palmer Square Loan Funding Ltd
N/A
Palmer Square Loan Funding 2020-1 Ltd
69701EAG1
250000.00000000
PA
USD
249542.58000000
0.033403700583
Long
ABS-CBDO
CORP
KY
N
2
2028-02-20
Floating
2.98000000
N
N
N
N
N
N
NBK TIER 1 FNC LTD
5493000G4QCCEE8YHF19
NBK Tier 1 Ltd
62879NAA5
209000.00000000
PA
USD
195284.38000000
0.026140712972
Long
DBT
CORP
AE
N
2
2026-08-24
Fixed
3.63000000
N
N
N
N
N
N
MGM GROWTH/MGM FINANCE
N/A
MGM Growth Properties Operating Partnership LP / MGP Finance Co-Issuer Inc
55303XAL9
208000.00000000
PA
USD
204360.00000000
0.027355572949
Long
DBT
US
N
2
2029-02-15
Fixed
3.88000000
N
N
N
N
N
N
LCPR SR SECURED FIN DAC
549300LE5FM8IKMXSP90
LCPR Senior Secured Financing DAC
50201DAD5
449000.00000000
PA
USD
428658.06000000
0.057380049083
Long
DBT
CORP
IE
N
2
2029-07-15
Fixed
5.13000000
N
N
N
N
N
N
CROCS INC
549300B0J6YCXD63OG72
Crocs Inc Term Loan B
000000000
607000.00000000
PA
USD
591175.51000000
0.079134589889
Long
LON
CORP
US
N
2
2029-02-20
Floating
4.45000000
N
N
N
N
N
N
TICP CLO Ltd
254900FRG2I3OIEKD552
TICP CLO V 2016-1 Ltd
87248MAD2
537000.00000000
PA
USD
509021.44000000
0.068137468853
Long
ABS-CBDO
CORP
KY
N
2
2031-07-17
Floating
5.99000000
N
N
N
N
N
N
Norfolk Southern Corp
54930036C8MWP850MI84
Norfolk Southern Corp
655844BY3
1300000.00000000
PA
USD
1357647.40000000
0.181734304612
Long
DBT
CORP
US
N
2
2048-02-28
Fixed
4.15000000
N
N
N
N
N
N
CP ATLAS BUYER INC
2549006ZZ07G0NDDCR36
CP Atlas Buyer Inc
12597YAA7
220000.00000000
PA
USD
187580.80000000
0.025109513888
Long
DBT
CORP
US
N
2
2028-12-01
Fixed
7.00000000
N
N
N
N
N
N
TICP CLO Ltd
549300T5OQR4UD880D68
TICP CLO IX Ltd
87249AAG0
500000.00000000
PA
USD
492119.75000000
0.065875013315
Long
ABS-CBDO
CORP
KY
N
2
2031-01-20
Floating
3.15000000
N
N
N
N
N
N
SRS Distribution Inc.
549300ZQ3XP75BCYM468
SRS Distribution Inc. 2022 Incremental Term Loan
78466YAQ1
177012.00000000
PA
USD
174523.21000000
0.023361628511
Long
LON
CORP
US
N
2
2028-06-02
Floating
4.00000000
N
N
N
N
N
N
GYP HOLDINGS III CORP
549300055I1KJWZH9690
GYP Holdings III Corp
36261NAA5
159000.00000000
PA
USD
147235.59000000
0.019708915262
Long
DBT
CORP
US
N
2
2029-05-01
Fixed
4.63000000
N
N
N
N
N
N
WILLIAMS SCOTSMAN INTL
549300V3TCHCBOBTGH07
Williams Scotsman International Inc
96950GAE2
146000.00000000
PA
USD
142350.00000000
0.019054931539
Long
DBT
CORP
US
N
2
2028-08-15
Fixed
4.63000000
N
N
N
N
N
N
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
90DAY EUR FUTR DEC24
000000000
-53.00000000
NC
USD
171279.66000000
0.022927447807
N/A
DIR
US
N
1
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
Short
CME 3 Month Eurodollar Future
EDZ4 Comdty
2024-12-16
-13057567.16000000
USD
171279.66000000
N
N
N
GLOBAL AIR LEASE CO LTD
N/A
Global Aircraft Leasing Co Ltd
37960JAA6
216909.00000000
PA
USD
197072.67000000
0.026380092975
Long
DBT
CORP
KY
N
2
2024-09-15
Fixed
6.50000000
N
N
Y
N
N
N
NOVELIS CORP
549300G5F3W3B52WYL23
Novelis Corp
670001AE6
359000.00000000
PA
USD
348540.54000000
0.046655540065
Long
DBT
CORP
US
N
2
2030-01-30
Fixed
4.75000000
N
N
N
N
N
N
WESTERN MIDSTREAM OPERAT
L6D8A6MLSY454J2JXJ60
Western Midstream Operating LP
958667AA5
678000.00000000
PA
USD
661050.00000000
0.088487969751
Long
DBT
CORP
US
N
2
2050-02-01
Fixed
5.75000000
N
N
N
N
N
N
TD SECURITIES (USA) LLC
SUVUFHICNZMP2WKHG940
BRY09FXV6 RRP BOEING CO
000000000
-1064843.75000000
PA
USD
-1064843.75000000
-0.14253968919
Short
RA
CORP
US
N
2
Reverse repurchase
N
0.50000000
2049-12-31
1064843.75000000
USD
1065036.01000000
USD
CDS
N
N
N
NORTHWEST FIBER LLC/NORT
N/A
Northwest Fiber LLC / Northwest Fiber Finance Sub Inc
667449AC6
147000.00000000
PA
USD
129036.84000000
0.017272835632
Long
DBT
CORP
US
N
2
2028-02-15
Fixed
6.00000000
N
N
N
N
N
N
TRANSCANADA PIPELINES
5BV01I6231JPDAPMGH09
TransCanada PipeLines Ltd
89352HAM1
500000.00000000
PA
USD
533526.22000000
0.071417671911
Long
DBT
CORP
CA
N
2
2034-03-01
Fixed
4.63000000
N
N
N
N
N
N
SM Energy Co
84BUTVXV5ODI6BXNMH43
SM Energy Co
78454LAL4
38000.00000000
PA
USD
37952.50000000
0.005080311129
Long
DBT
CORP
US
N
2
2025-06-01
Fixed
5.63000000
N
N
N
N
N
N
NCL CORPORATION LTD
UNZWILHE4KMRP9K2L524
NCL Corp Ltd
62886HBG5
74000.00000000
PA
USD
74513.56000000
0.009974364485
Long
DBT
CORP
BM
N
2
2029-02-15
Fixed
7.75000000
N
N
N
N
N
N
Griffon Corporation
5493000C2SGNC7ZN3242
Griffon Corporation Term Loan B
39843GAJ2
62000.00000000
PA
USD
61283.28000000
0.008203362872
Long
LON
CORP
US
N
2
2029-01-24
Floating
3.27000000
N
N
N
N
N
N
WHITE CAP BUYER LLC
N/A
White Cap Buyer LLC
96350RAA2
264000.00000000
PA
USD
250163.76000000
0.033486851566
Long
DBT
CORP
US
N
2
2028-10-15
Fixed
6.88000000
N
N
N
N
N
N
TENET HEALTHCARE CORP
0W9AIBT6U6ADJ2I8HK17
Tenet Healthcare Corp
88033GDL1
84000.00000000
PA
USD
80535.00000000
0.010780392775
Long
DBT
CORP
US
N
2
2029-06-01
Fixed
4.25000000
N
N
N
N
N
N
Cincinnati Bell, Inc.
549300JYVZOCUJOHL272
Cincinnati Bell, Inc. 2021 Term Loan B2
17187MAS9
57770.27000000
PA
USD
56940.11000000
0.007621987340
Long
LON
CORP
US
N
2
2028-11-22
Floating
4.05000000
N
N
N
N
N
N
Filtration Group Corporation
549300ZA0D9WN5ECE978
Filtration Group Corporation 2021 Incremental Term Loan
31732FAR7
153615.00000000
PA
USD
151694.81000000
0.020305825215
Long
LON
CORP
US
N
2
2028-10-21
Floating
4.00000000
N
N
N
N
N
N
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
SWP: OIS 0.240000 08-DEC-2023
000000000
12260000.00000000
OU
Notional Amount
USD
-384407.09000000
-0.05145662650
N/A
DIR
US
N
2
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
N/A
N/A
Y
2023-12-08
0.00000000
USD
-269272.29000000
USD
12260000.00000000
USD
-115134.80000000
N
N
N
WOORI BANK
549300VUVMRL6RE7R376
Woori Bank
000000000
250000.00000000
PA
USD
244031.25000000
0.032665955477
Long
DBT
CORP
KR
N
2
2024-10-04
Fixed
4.25000000
N
N
N
N
N
N
Structured Asset Securities Corporation
N/A
Structured Asset Securities Corp Pass-Through Certificates Series 2002-AL1
86358RXY8
107775.40000000
PA
USD
100410.26000000
0.013440889569
Long
ABS-MBS
CORP
US
N
2
2032-02-25
Fixed
3.45000000
N
N
N
N
N
N
BANK OF EAST ASIA LTD
CO6GC26LCGGRTUESIP55
Bank of East Asia Ltd/The
000000000
500000.00000000
PA
USD
498062.50000000
0.066670508182
Long
DBT
CORP
HK
N
2
2024-09-19
Fixed
5.88000000
N
N
N
N
N
N
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
SWP: OIS 1.913000 17-MAR-2032
000000000
440000.00000000
OU
Notional Amount
USD
7673.92000000
0.001027228803
N/A
DIR
US
N
2
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
N/A
N/A
Y
2032-03-17
0.00000000
USD
-7.08000000
USD
440000.00000000
USD
7681.00000000
N
N
N
CLEAR CHANNEL OUTDOOR HO
N/A
Clear Channel Outdoor Holdings Inc
18453HAC0
413000.00000000
PA
USD
415159.99000000
0.055573201175
Long
DBT
CORP
US
N
2
2028-04-15
Fixed
7.75000000
N
N
N
N
N
N
Reynolds American Inc
02S2RPPVO9RP4NEU2740
Reynolds American Inc
761713BW5
1000000.00000000
PA
USD
1146134.60000000
0.153421259837
Long
DBT
CORP
US
N
2
2041-08-04
Fixed
7.00000000
N
N
N
N
N
N
Neuberger Berman CLO Ltd
5493006JG853WBZS5J73
Neuberger Berman Loan Advisers CLO 37 Ltd
64133GAV2
1162500.00000000
PA
USD
1146845.08000000
0.153516364493
Long
ABS-CBDO
CORP
KY
N
2
2031-07-20
Floating
2.05000000
N
N
N
N
N
N
YANGO JUSTICE INTL
3003007ELD2HAYCXPT77
Yango Justice International Ltd
000000000
450000.00000000
PA
USD
22500.00000000
0.003011843762
Long
DBT
CORP
HK
N
2
2024-04-15
None
0.00000000
Y
N
N
N
N
N
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
SWP: OIS 1.671500 10-MAR-2032
000000000
830000.00000000
OU
Notional Amount
USD
7266.69000000
0.000972717109
N/A
DIR
US
N
2
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
N/A
N/A
Y
2032-03-10
0.00000000
USD
-12513.02000000
USD
830000.00000000
USD
19779.71000000
N
N
N
Magenta Buyer LLC
N/A
Magenta Buyer LLC 2021 USD 1st Lien Term Loan
55910RAB9
570125.00000000
PA
USD
564851.34000000
0.075610843790
Long
LON
CORP
US
N
2
2028-07-27
Floating
5.75000000
N
N
N
N
N
N
ICAHN ENTERPRISES/FIN
N/A
Icahn Enterprises LP / Icahn Enterprises Finance Corp
451102BZ9
286000.00000000
PA
USD
280687.55000000
0.037572757634
Long
DBT
CORP
US
N
2
2027-05-15
Fixed
5.25000000
N
N
N
N
N
N
TELECOM ITALIA SPA
549300W384M3RI3VXU42
Telecom Italia SpA/Milano
000000000
100000.00000000
PA
109535.32000000
0.014662367571
Long
DBT
CORP
IT
N
2
2025-09-30
Fixed
3.00000000
N
N
N
N
N
N
Range Resources Corp
H3Y3WLYCX0BTO1TRW162
Range Resources Corp
75281AAY5
170000.00000000
PA
USD
170000.00000000
0.022756152874
Long
DBT
CORP
US
N
2
2022-08-15
Fixed
5.00000000
N
N
N
N
N
N
CCO HLDGS LLC/CAP CORP
N/A
CCO Holdings LLC / CCO Holdings Capital Corp
1248EPCB7
49000.00000000
PA
USD
49000.00000000
0.006559126416
Long
DBT
CORP
US
N
2
2029-06-01
Fixed
5.38000000
N
N
N
N
N
N
Whitebox CLO I Ltd
549300E4AC0513DYO913
Whitebox Clo I Ltd
96467FAQ3
500000.00000000
PA
USD
489487.10000000
0.065522607515
Long
ABS-CBDO
CORP
KY
N
2
2032-07-24
Floating
3.31000000
N
N
N
N
N
N
CLEARWAY ENERGY OP LLC
549300Z3NFMM54NWBB87
Clearway Energy Operating LLC
18539UAE5
177000.00000000
PA
USD
162840.00000000
0.021797717259
Long
DBT
CORP
US
N
2
2032-01-15
Fixed
3.75000000
N
N
N
N
N
N
BAUSCH HEALTH COS INC
B3BS7ACMDUWISF18KY76
Bausch Health Cos Inc
071734AL1
15000.00000000
PA
USD
11675.40000000
0.001562865807
Long
DBT
CORP
CA
N
2
2031-02-15
Fixed
5.25000000
N
N
N
N
N
N
CONSOLIDATED COMMUNICATI
549300WW675Y48HDVX34
Consolidated Communications Inc
20903XAF0
206000.00000000
PA
USD
189808.40000000
0.025407699807
Long
DBT
CORP
US
N
2
2028-10-01
Fixed
6.50000000
N
N
N
N
N
N
Birch Grove CLO Ltd.
N/A
Birch Grove CLO 3 Ltd
09076VAJ0
250000.00000000
PA
USD
248039.58000000
0.033202509420
Long
ABS-CBDO
CORP
KY
N
2
2035-01-19
Floating
3.29000000
N
N
N
N
N
N
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
FSWP: OIS 1.501000 06-SEP-2027
000000000
2460000.00000000
OU
Notional Amount
USD
12560.90000000
0.001681398592
N/A
DIR
US
N
2
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
N/A
N/A
Y
2027-09-07
0.00000000
USD
-41984.05000000
USD
2460000.00000000
USD
54544.95000000
N
N
N
CITGO HOLDING INC
549300NYHOALWZ2BSL72
Citgo Holding Inc
17302WAB4
298000.00000000
PA
USD
300980.00000000
0.040289099365
Long
DBT
CORP
US
N
2
2024-08-01
Fixed
9.25000000
N
N
N
N
N
N
PRIME SECSRVC BRW/FINANC
N/A
Prime Security Services Borrower LLC / Prime Finance Inc
74166MAC0
78000.00000000
PA
USD
79573.65000000
0.010651706730
Long
DBT
CORP
US
N
2
2026-04-15
Fixed
5.75000000
N
N
N
N
N
N
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
SWP: USD 0.568000 25-MAR-2024
000000000
25100000.00000000
OU
Notional Amount
USD
-950426.40000000
-0.12722381443
N/A
DIR
US
N
2
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
N/A
N/A
Y
2024-03-25
110.03000000
USD
0.00000000
USD
25100000.00000000
USD
-950536.43000000
N
N
N
TD SECURITIES (USA) LLC
SUVUFHICNZMP2WKHG940
BRY09FWX3 RRP CDP FINANCI
000000000
-7384587.50000000
PA
USD
-7384587.50000000
-0.98849883567
Short
RA
CORP
US
N
2
Reverse repurchase
N
0.50000000
2049-12-31
7384587.50000000
USD
7385920.83000000
USD
CDS
N
N
N
JP MORGAN CHASE BANK
7H6GLXDRUGQFU57RNE97
SCDS: (CMACG)
000000000
10000.00000000
OU
Notional Amount
817.53000000
0.000109434339
N/A
DCR
XX
N
2
JP MORGAN CHASE BANK
7H6GLXDRUGQFU57RNE97
CMA CGM SA
CMA CGM SA
Y
sell protection
2026-12-22
363.90000000
EUR
0.00000000
EUR
10000.00000000
EUR
400.46000000
N
N
N
BNP PARIBAS
R0MUWSFPU8MPRO8K5P83
RRP CHARLES SCH
000000000
-4067212.50000000
PA
USD
-4067212.50000000
-0.54443593778
Short
RA
CORP
US
N
2
Reverse repurchase
N
0.53000000
2049-12-31
4635000.00000000
USD
4162786.19999999
USD
CDS
N
N
N
CIFC Funding Ltd
549300KEIUMRD7WX5J42
CIFC Funding 2014-III Ltd
12549QBE4
250000.00000000
PA
USD
248643.35000000
0.033283329904
Long
ABS-CBDO
CORP
KY
N
2
2031-10-22
Floating
2.06000000
N
N
N
N
N
N
ISLAMIC REP OF PAKISTAN
529900LOP29R5WKHOD86
Pakistan Government International Bond
000000000
200000.00000000
PA
USD
156022.00000000
0.020885061669
Long
DBT
NUSS
PK
N
2
2026-04-08
Fixed
6.00000000
N
N
N
N
N
N
INGEVITY CORP
5493009UTFC4B5IMGF87
Ingevity Corp
45688CAB3
57000.00000000
PA
USD
51518.31000000
0.006896226695
Long
DBT
CORP
US
N
2
2028-11-01
Fixed
3.88000000
N
N
N
N
N
N
Sedgwick Claims Management Services, Inc.
549300BIN4DWJG5VWF64
Sedgwick Claims Management Services, Inc. 2018 Term Loan B
81527CAL1
92241.44000000
PA
USD
91203.72000000
0.012208504676
Long
LON
CORP
US
N
2
2025-12-31
Floating
3.71000000
N
N
N
N
N
N
Ascend Learning, LLC
549300T466HKRLVCD610
Ascend Learning, LLC 2021 2nd Lien Term Loan
04349HAM6
83000.00000000
PA
USD
82377.50000000
0.011027029314
Long
LON
CORP
US
N
2
2029-12-10
Floating
6.25000000
N
N
N
N
N
N
PTC Inc
54930050SSMU8SKDJ030
PTC Inc
69370CAC4
35000.00000000
PA
USD
34099.45000000
0.004564542924
Long
DBT
CORP
US
N
2
2028-02-15
Fixed
4.00000000
N
N
N
N
N
N
MPLX LP
5493000CZJ19CK4P3G36
MPLX LP
55336VBN9
250000.00000000
PA
USD
258191.37000000
0.034561425215
Long
DBT
CORP
US
N
2
2027-12-01
Fixed
4.25000000
N
N
N
N
N
N
OPEN TEXT HOLDINGS INC
N/A
Open Text Holdings Inc
683720AA4
83000.00000000
PA
USD
78700.19000000
0.010534785617
Long
DBT
CORP
US
N
2
2030-02-15
Fixed
4.13000000
N
N
N
N
N
N
LEGENDS HOSPITALITY HOLD
N/A
Legends Hospitality Holding Co LLC / Legends Hospitality Co-Issuer Inc
52473NAA6
60000.00000000
PA
USD
57600.00000000
0.007710320032
Long
DBT
CORP
US
N
2
2026-02-01
Fixed
5.00000000
N
N
N
N
N
N
RealPage, Inc
5493001RSFZX4122A604
RealPage, Inc 1st Lien Term Loan
75605VAD4
218900.00000000
PA
USD
216141.86000000
0.028932689463
Long
LON
CORP
US
N
2
2028-04-24
Floating
3.75000000
N
N
N
N
N
N
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
FSWP: USD 1.053200 12-MAY-2024
000000000
8700000.00000000
OU
Notional Amount
USD
-73891.47000000
-0.00989109169
N/A
DIR
US
N
2
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
N/A
N/A
Y
2024-05-13
0.00000000
USD
-171418.26000000
USD
8700000.00000000
USD
97526.79000000
N
N
N
CHARTER COMM OPT LLC/CAP
N/A
Charter Communications Operating LLC / Charter Communications Operating Capital
161175BL7
1100000.00000000
PA
USD
1126280.13000000
0.150763545987
Long
DBT
CORP
US
N
2
2047-05-01
Fixed
5.38000000
N
N
N
N
N
N
Par Pharmaceutical Inc
549300KK5WR4MGN4YT97
Par Pharmaceutical Inc
69888XAA7
538000.00000000
PA
USD
502034.70000000
0.067202225773
Long
DBT
CORP
US
N
2
2027-04-01
Fixed
7.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140MDVP0
677561.53000000
PA
USD
651403.05000000
0.087196631698
Long
ABS-MBS
USGSE
US
N
2
2052-01-01
Fixed
2.50000000
N
N
N
N
N
N
SINO OCEAN LD TRS III
N/A
Sino-Ocean Land Treasure III Ltd
000000000
200000.00000000
PA
USD
127787.50000000
0.017105599326
Long
DBT
CORP
VG
N
2
2022-09-21
Fixed
4.90000000
N
N
N
N
N
N
McDonald's Corp
UE2136O97NLB5BYP9H04
McDonald's Corp
58013MEN0
1750000.00000000
PA
USD
1686680.71000000
0.225778612278
Long
DBT
CORP
US
N
2
2042-02-15
Fixed
3.70000000
N
N
N
N
N
N
A-L Parent LLC
N/A
A-L Parent LLC 2016 1st Lien Term Loan
00165HAB9
46066.05000000
PA
USD
43721.75000000
0.005852581334
Long
LON
CORP
US
N
2
2023-12-01
Floating
4.25000000
N
N
N
N
N
N
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
FSWP: OIS -0.010000 08-JUL-2023
000000000
5380000.00000000
OU
Notional Amount
USD
-120635.79000000
-0.01614827340
N/A
DIR
US
N
2
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
N/A
N/A
Y
2023-07-10
0.00000000
USD
-88646.18000000
USD
5380000.00000000
USD
-31989.61000000
N
N
N
ONEMAIN FINANCE CORP
5493008I795YYBFWFU90
OneMain Finance Corp
682691AA8
86000.00000000
PA
USD
75895.00000000
0.010159283661
Long
DBT
CORP
US
N
2
2030-09-15
Fixed
4.00000000
N
N
N
N
N
N
UTAH ACQUISITION SUB
549300A0CD4KNFGIIS89
Utah Acquisition Sub Inc
62854AAN4
750000.00000000
PA
USD
744250.52000000
0.099625168294
Long
DBT
CORP
US
N
2
2026-06-15
Fixed
3.95000000
N
N
N
N
N
N
MICROCHIP TECHNOLOGY INC
5493007PTFULNYZJ1R12
Microchip Technology Inc
595017AU8
220000.00000000
PA
USD
249602.77000000
0.033411757600
Long
DBT
CORP
US
N
2
2024-11-15
Fixed
0.13000000
N
N
N
N
Y
Microchip Technology Inc
Microchip Technology Inc
USD
XXXX
N
N
N
ING GROEP NV
549300NYKK9MWM7GGW15
ING Groep NV
456837AY9
2000000.00000000
PA
USD
1740000.00000000
0.232915917657
Long
DBT
CORP
NL
N
2
2027-05-16
Fixed
3.88000000
N
N
N
N
N
N
ICAHN ENTERPRISES/FIN
N/A
Icahn Enterprises LP / Icahn Enterprises Finance Corp
451102BT3
57000.00000000
PA
USD
58140.00000000
0.007782604283
Long
DBT
CORP
US
N
2
2026-05-15
Fixed
6.25000000
N
N
N
N
N
N
LIFE TIME INC
549300PALKE96VYH4X17
Life Time Inc
53190FAA3
174000.00000000
PA
USD
173824.26000000
0.023268067258
Long
DBT
CORP
US
N
2
2026-01-15
Fixed
5.75000000
N
N
N
N
N
N
QUALCOMM Inc
H1J8DDZKZP6H7RWC0H53
QUALCOMM Inc
747525AJ2
250000.00000000
PA
USD
278915.96000000
0.037335613087
Long
DBT
CORP
US
N
2
2035-05-20
Fixed
4.65000000
N
N
N
N
N
N
OCCIDENTAL PETROLEUM COR
IM7X0T3ECJW4C1T7ON55
Occidental Petroleum Corp
674599CY9
25000.00000000
PA
USD
23500.00000000
0.003145703485
Long
DBT
CORP
US
N
2
2049-08-15
Fixed
4.40000000
N
N
N
N
N
N
MUTHOOT FINANCE LTD
335800HAMJMBFL4RRF02
Muthoot Finance Ltd
62828L2A0
247000.00000000
PA
USD
248744.44000000
0.033296861784
Long
DBT
CORP
IN
N
2
2022-10-31
Fixed
6.13000000
N
N
N
N
N
N
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
FSWP: USD 0.788500 14-APR-2024
000000000
8530000.00000000
OU
Notional Amount
USD
-112171.57000000
-0.01501525526
N/A
DIR
US
N
2
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
N/A
N/A
Y
2024-04-15
0.00000000
USD
-203727.20000000
USD
8530000.00000000
USD
91555.63000000
N
N
N
Regionalcare/Lifepoint
N/A
RegionalCare Hospital Partners Holdings Inc / LifePoint Health Inc
53219LAR0
68000.00000000
PA
USD
71131.40000000
0.009521629485
Long
DBT
CORP
US
N
2
2026-12-01
Fixed
9.75000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140M86Y0
994598.66000000
PA
USD
955583.02000000
0.127914078161
Long
ABS-MBS
USGSE
US
N
2
2051-12-01
Fixed
2.50000000
N
N
N
N
N
N
CREDIT AGRICOLE CORPORATE AND INVESTMENT BANK SA
1VUV7VQFKUOQSJ21A208
RRP TREASURY NO
000000000
-2996250.00000000
PA
USD
-2996250.00000000
-0.40107719441
Short
RA
CORP
US
N
2
Reverse repurchase
N
0.33000000
2049-12-31
3000000.00000000
USD
2953242.18000000
USD
UST
N
N
N
State Street Bank & Trust Co.
571474TGEMMWANRLN572
PURCHASED USD / SOLD EUR
000000000
1.00000000
NC
2553.49000000
0.000341809463
N/A
DFE
US
N
2
State Street Bank & Trust Co.
571474TGEMMWANRLN572
477000.00000000
EUR
531659.91000000
USD
2022-06-15
2553.49000000
N
N
N
CROCS INC
549300B0J6YCXD63OG72
Crocs Inc
227046AB5
154000.00000000
PA
USD
130130.00000000
0.017419165726
Long
DBT
CORP
US
N
2
2031-08-15
Fixed
4.13000000
N
N
N
N
N
N
SOUTHERN CAL EDISON
9R1Z5I36FERIBVKW4P77
Southern California Edison Co
842400FC2
1300000.00000000
PA
USD
1457815.74000000
0.195142810837
Long
DBT
CORP
US
N
2
2036-02-01
Fixed
5.63000000
N
N
N
N
N
N
Proofpoint, Inc.
529900C5FODDK0WSR085
Proofpoint, Inc. 1st Lien Term Loan
74345HAB7
164000.00000000
PA
USD
162063.16000000
0.021693729672
Long
LON
CORP
US
N
2
2028-08-31
Floating
3.76000000
N
N
N
N
N
N
AMSTED INDUSTRIES
N2VLGYMEEBIU3PFSUY86
Amsted Industries Inc
032177AH0
30000.00000000
PA
USD
30075.00000000
0.004025831162
Long
DBT
CORP
US
N
2
2027-07-01
Fixed
5.63000000
N
N
N
N
N
N
UNIQUE PUB FINANCE CO
213800FOMWLKHQTI5562
Unique Pub Finance Co PLC/The
000000000
100000.00000000
PA
154355.46000000
0.020661979086
Long
ABS-O
CORP
GB
N
2
2032-03-30
Fixed
6.46000000
N
N
N
N
N
N
The Federal Republic of Nigeria
549300GSBZD84TNEQ285
Nigeria Government International Bond
000000000
200000.00000000
PA
USD
187750.00000000
0.025132162954
Long
DBT
NUSS
NG
N
2
2032-02-16
Fixed
7.88000000
N
N
N
N
N
N
CREDIT AGRICOLE CORPORATE AND INVESTMENT BANK SA
1VUV7VQFKUOQSJ21A208
BRY09G4D6 RRP BANK OF AME
000000000
-3865000.00000000
PA
USD
-3865000.00000000
-0.51736782858
Short
RA
CORP
US
N
2
Reverse repurchase
N
0.44000000
2049-12-31
3865000.00000000
USD
3865614.11000000
USD
CDS
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140HAK74
3767303.25000000
PA
USD
3807988.09000000
0.509736230120
Long
ABS-MBS
USGSE
US
N
2
2049-08-01
Fixed
3.50000000
N
N
N
N
N
N
RIZAL COMMERCIAL BANKING
CIKZWI6KV077KV2E2J69
Rizal Commercial Banking Corp
000000000
200000.00000000
PA
USD
190100.00000000
0.025446733302
Long
DBT
CORP
PH
N
2
2025-08-27
Fixed
6.50000000
N
N
N
N
N
N
NGL ENRGY OP/FIN CORP
N/A
NGL Energy Operating LLC / NGL Energy Finance Corp
62922LAA6
115000.00000000
PA
USD
113124.35000000
0.015142794131
Long
DBT
CORP
US
N
2
2026-02-01
Fixed
7.50000000
N
N
N
N
N
N
Comstock Resources Inc
I03QQGEA4SS774AURI46
Comstock Resources Inc
22304LAA8
102000.00000000
PA
USD
103530.00000000
0.013858497100
Long
DBT
CORP
US
N
2
2025-05-15
Fixed
7.50000000
N
N
N
N
N
N
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
SWP: OIS 1.752500 04-MAR-2032
000000000
610000.00000000
OU
Notional Amount
USD
9781.73000000
0.001309379666
N/A
DIR
US
N
2
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
N/A
N/A
Y
2032-03-04
0.00000000
USD
-4644.49000000
USD
610000.00000000
USD
14426.22000000
N
N
N
BNP PARIBAS
R0MUWSFPU8MPRO8K5P83
BRY03VHV5 RRP TREASURY BO
000000000
-66235250.00000000
PA
USD
-66235250.00000000
-8.86623220402
Short
RA
CORP
US
N
2
Reverse repurchase
N
0.33000000
2049-12-31
66235250.00000000
USD
66243713.39000000
USD
UST
N
N
N
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
FSWP: OIS 1.469000 06-APR-2024
000000000
31670000.00000000
OU
Notional Amount
USD
226986.29000000
0.030384321856
N/A
DIR
US
N
2
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
N/A
N/A
Y
2024-04-08
0.00000000
USD
-134446.87000000
USD
31670000.00000000
USD
361433.16000000
N
N
N
ENCOMPASS HEALTH CORP
549300FVRPM9DRQZRG64
Encompass Health Corp
29261AAB6
260000.00000000
PA
USD
249600.00000000
0.033411386808
Long
DBT
CORP
US
N
2
2030-02-01
Fixed
4.75000000
N
N
N
N
N
N
HERENS MIDCO SARL
222100BJH5XPZD1JHF79
Herens Midco Sarl
000000000
100000.00000000
PA
94451.60000000
0.012643264993
Long
DBT
CORP
LU
N
2
2029-05-15
Fixed
5.25000000
N
N
N
N
N
N
TELECOM ITALIA CAPITAL
549300777DJZOR5C4L39
Telecom Italia Capital SA
87927VAM0
337000.00000000
PA
USD
316803.59000000
0.042407240736
Long
DBT
CORP
LU
N
2
2034-09-30
Fixed
6.00000000
N
N
N
N
N
N
FOOD SERVICE PROJECT SL
95980020140005812514
Food Service Project SA
000000000
100000.00000000
PA
108286.36000000
0.014495182131
Long
DBT
CORP
ES
N
2
2027-01-21
Fixed
5.50000000
N
N
N
N
N
N
CHOBANI LLC/FINANCE CORP
N/A
Chobani LLC / Chobani Finance Corp Inc
17027NAB8
162000.00000000
PA
USD
149445.00000000
0.020004666272
Long
DBT
CORP
US
N
2
2028-11-15
Fixed
4.63000000
N
N
N
N
N
N
Quorum Health Corporation
549300PO3E4YREFT1I57
Quorum Health Corporation 2020 Term Loan
74909HAE9
115585.24000000
PA
USD
102292.94000000
0.013692904591
Long
LON
CORP
US
N
3
2025-04-29
Floating
8.00000000
N
N
N
N
N
N
SUNOCO LP/FINANCE CORP
N/A
Sunoco LP / Sunoco Finance Corp
86765LAQ0
38000.00000000
PA
USD
38712.50000000
0.005182044518
Long
DBT
CORP
US
N
2
2027-04-15
Fixed
6.00000000
N
N
N
N
N
N
PATTERN ENERGY OP LP/PAT
N/A
Pattern Energy Operations LP / Pattern Energy Operations Inc
70339PAA7
144000.00000000
PA
USD
141668.64000000
0.018963724878
Long
DBT
CORP
US
N
2
2028-08-15
Fixed
4.50000000
N
N
N
N
N
N
GO DADDY OPCO/FINCO
N/A
Go Daddy Operating Co LLC / GD Finance Co Inc
38016LAC9
84000.00000000
PA
USD
77235.48000000
0.010338719942
Long
DBT
CORP
US
N
2
2029-03-01
Fixed
3.50000000
N
N
N
N
N
N
Voya Financial Inc
549300T065Z4KJ686G75
Voya Financial Inc
45685EAG1
4500000.00000000
PA
USD
4522590.00000000
0.605392643699
Long
DBT
CORP
US
N
2
2053-05-15
Fixed
5.65000000
N
N
N
N
N
N
AMC Networks Inc
549300VGG9K75226LR46
AMC Networks Inc
00164VAE3
135000.00000000
PA
USD
134520.75000000
0.018006910304
Long
DBT
CORP
US
N
2
2025-08-01
Fixed
4.75000000
N
N
N
N
N
N
Bombardier Inc
W7L3VLU8EHQY34Z36697
Bombardier Inc
097751BM2
22000.00000000
PA
USD
22112.20000000
0.002959932962
Long
DBT
CORP
CA
N
2
2025-03-15
Fixed
7.50000000
N
N
N
N
N
N
Chicago Board of Trade
549300EX04Q2QBFQTQ27
US 10YR FUT OPTN MAY22C 128
000000000
-43.00000000
NC
USD
-2015.63000000
-0.00026981167
N/A
DIR
US
N
1
Chicago Board of Trade
549300EX04Q2QBFQTQ27
Call
Written
Chicago Board of Trade
549300EX04Q2QBFQTQ27
Chicago Board of Trade
549300EX04Q2QBFQTQ27
CBOT 10 Year US Treasury Note Future
N/A
43.00000000
NC
N/A
-2015.63000000
0.00000000
DIR
US
Short
CBOT 10 Year US Treasury Note
TYM2 Comdty
2022-06-21
43.00000000
USD
1000.00000000
128.00000000
USD
2022-04-22
XXXX
572.30000000
N
N
N
KAISA GROUP HOLDINGS LTD
254900N8L3L7NRJT0120
Kaisa Group Holdings Ltd
000000000
400000.00000000
PA
USD
76000.00000000
0.010173338932
Long
DBT
CORP
KY
N
2
2023-01-30
Fixed
11.50000000
Y
Y
N
N
N
N
GOLDMAN SACHS GROUP INC
784F5XWPLTWKTBV3E584
Goldman Sachs Group Inc/The
38144GAB7
465000.00000000
PA
USD
464116.50000000
0.062126506032
Long
DBT
CORP
US
N
2
2025-02-10
Fixed
4.95000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140MAA95
611607.06000000
PA
USD
587992.67000000
0.078708535809
Long
ABS-MBS
USGSE
US
N
2
2051-12-01
Fixed
2.50000000
N
N
N
N
N
N
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
SWP: OIS 2.295500 31-MAR-2027
000000000
560000.00000000
OU
Notional Amount
USD
1472.31000000
0.000197083008
N/A
DIR
US
N
2
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
N/A
N/A
Y
2027-03-31
5.16000000
USD
0.00000000
USD
560000.00000000
USD
1467.15000000
N
N
N
MAJORDRIVE HOLDINGS IV L
N/A
MajorDrive Holdings IV LLC
56085RAA8
120000.00000000
PA
USD
106200.00000000
0.014215902560
Long
DBT
CORP
US
N
2
2029-06-01
Fixed
6.38000000
N
N
N
N
N
N
WANDA PROPERTIES INTL
N/A
Wanda Properties International Co Ltd
000000000
200000.00000000
PA
USD
174000.00000000
0.023291591765
Long
DBT
CORP
VG
N
2
2024-01-29
Fixed
7.25000000
N
N
N
N
N
N
Petroleos Mexicanos
549300CAZKPF4HKMPX17
Petroleos Mexicanos
71654QBR2
119000.00000000
PA
USD
94580.01000000
0.012660453920
Long
DBT
CORP
MX
N
2
2045-01-23
Fixed
6.38000000
N
N
N
N
N
N
State Street Bank and Trust Company
571474TGEMMWANRLN572
PURCHASED USD / SOLD GBP
000000000
1.00000000
NC
-1554.56000000
-0.00020809297
N/A
DFE
US
N
2
State Street Bank and Trust Company
571474TGEMMWANRLN572
332882.00000000
GBP
435609.02000000
USD
2022-06-15
-1554.56000000
N
N
N
UPC BROADBAND FINCO BV
213800MNFBDEQRS6HZ22
UPC Broadband Finco BV
90320BAA7
303000.00000000
PA
USD
284477.61000000
0.038080094014
Long
DBT
CORP
NL
N
2
2031-07-15
Fixed
4.88000000
N
N
N
N
N
N
TEREX CORP
YAWJZJYEQ7M1SYMOS462
Terex Corp
880779BA0
205000.00000000
PA
USD
196486.35000000
0.026301608343
Long
DBT
CORP
US
N
2
2029-05-15
Fixed
5.00000000
N
N
N
N
N
N
HILTON DOMESTIC OPERATIN
5493003EG7H0N1E4XV50
Hilton Domestic Operating Co Inc
432833AG6
39000.00000000
PA
USD
39854.10000000
0.005334858778
Long
DBT
CORP
US
N
2
2025-05-01
Fixed
5.38000000
N
N
N
N
N
N
2022-05-02
BlackRock Core Bond Trust
Ann Frechette
Ann Frechette
Assistant Treasurer
XXXX