NPORT-P
false
0000710826
XXXXXXXX
S000006511
C000017803
C000017802
C000017804
Brighthouse Funds Trust II
811-03618
0000710826
549300NPPA08K2CWOV06
Brighthouse Investment Advisers, LLC
125 High Street, Suite 732
Boston
02110
980-949-4301
BlackRock Bond Income Portfolio
S000006511
RQ2HPSR0HMOOPNZQJY98
2022-12-31
2022-03-31
N
4414162237.69
1056730946.15
3357431291.54
0.00000000
0.00000000
0.00000000
0.00000000
0.00000000
0.00000000
0.00000000
0.00000000
0.00000000
0.00000000
626996919.92000000
0.00000000
0.00000000
44204262.25000000
EUR
USD
UST
Octagon Investment Partners XV Ltd
549300VYCI9AZ4NZBX86
Octagon Investment Partners XV Ltd
67590EAS3
250000.00000000
PA
USD
248776.00000000
0.007409712318
Long
ABS-CBDO
CORP
KY
N
2
2030-07-19
Floating
1.59800000
N
N
N
N
N
N
Countrywide Alternative Loan Trust
N/A
Alternative Loan Trust 2006-OA14
02146SAA7
1813472.16000000
PA
USD
1537923.23000000
0.045806543647
Long
ABS-MBS
CORP
US
N
2
2046-11-25
Floating
1.87100000
N
N
N
N
N
N
COMM Mortgage Trust
N/A
COMM 2014-CCRE15 Mortgage Trust
12591RBF6
635000.00000000
PA
USD
641012.31000000
0.019092343352
Long
ABS-MBS
CORP
US
N
2
2047-02-10
Variable
4.69000000
N
N
N
N
N
N
Options Clearing Corp.
549300CII6SLYGKNHA04
DIAMONDBACK ENERGY INC MAY22 155 CALL
000000000
105.00000000
NC
USD
45150.00000000
0.001344778078
N/A
DE
US
N
1
Options Clearing Corp.
549300CII6SLYGKNHA04
Call
Purchased
Diamondback Energy Inc
Diamondback Energy Inc
100.00000000
155.00000000
USD
2022-05-20
XXXX
-13884.06000000
N
N
N
Signal Peak CLO, LLC
N/A
Signal Peak CLO 1 LTD
82666TAE9
490000.00000000
PA
USD
486697.40000000
0.014496123903
Long
ABS-CBDO
CORP
KY
N
2
2034-04-17
Floating
2.04100000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
3132M4QU2
218980.91000000
PA
USD
223009.14000000
0.006642254766
Long
ABS-MBS
USGSE
US
N
2
2044-01-01
Fixed
3.50000000
N
N
N
N
N
N
NELNET STUDENT LOAN TRUST
N/A
Nelnet Student Loan Trust 2021-C
64035GAD1
110000.00000000
PA
USD
103601.96000000
0.003085750712
Long
ABS-O
CORP
US
N
2
2062-04-20
Fixed
3.36000000
N
N
N
N
N
N
EASTMAN CHEMICAL COMPANY
N/A
Eastman Chemical Company 2021 Term Loan B
000000000
402000.00000000
PA
USD
398482.50000000
0.011868671773
Long
LON
CORP
US
N
2
2028-11-01
Floating
6.00000000
N
N
N
N
N
N
1211 Avenue of the Americas Trust
N/A
1211 Avenue of the Americas Trust 2015-1211
90117PAQ8
230000.00000000
PA
USD
212898.76000000
0.006341120383
Long
ABS-MBS
CORP
US
N
2
2035-08-10
Variable
4.14200000
N
N
N
N
N
N
GOLDMAN SACHS GROUP INC
784F5XWPLTWKTBV3E584
Goldman Sachs Group Inc/The
38141GXD1
1602000.00000000
PA
USD
1610215.86000000
0.047959756140
Long
DBT
CORP
US
N
2
2026-05-15
Floating
1.67600000
N
N
N
N
N
N
IHS HOLDING LTD
213800CLGMKL63VKTD94
IHS Holding Ltd
44963HAA3
330000.00000000
PA
USD
312345.00000000
0.009303094326
Long
DBT
CORP
KY
N
2
2026-11-29
Fixed
5.62500000
N
N
N
N
N
N
Lehman ABS Mortgage Loan Trust
N/A
Lehman ABS Mortgage Loan Trust
52521MAB8
144875.34000000
PA
USD
110904.85000000
0.003303264918
Long
ABS-O
CORP
US
N
2
2037-06-25
Floating
0.54700000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138X8XC0
158234.47000000
PA
USD
159878.26000000
0.004761922020
Long
ABS-MBS
USGSE
US
N
2
2028-10-01
Fixed
3.00000000
N
N
N
N
N
N
ANALOG DEVICES INC
GYVOE5EZ4GDAVTU4CQ61
Analog Devices Inc
032654AW5
458000.00000000
PA
USD
410942.36000000
0.012239784654
Long
DBT
CORP
US
N
2
2041-10-01
Fixed
2.80000000
N
N
N
N
N
N
OUTFRONT MEDIA CAP LLC/C
N/A
Outfront Media Capital LLC / Outfront Media Capital Corp
69007TAC8
42000.00000000
PA
USD
39532.50000000
0.001177462666
Long
DBT
CORP
US
N
2
2030-03-15
Fixed
4.62500000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140HH6H3
76241.51000000
PA
USD
80385.13000000
0.002394244975
Long
ABS-MBS
USGSE
US
N
2
2048-07-01
Fixed
4.50000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
3132GDC67
6439.53000000
PA
USD
6740.88000000
0.000200774920
Long
ABS-MBS
USGSE
US
N
2
2041-04-01
Fixed
4.00000000
N
N
N
N
N
N
NATIONSTAR MTG HLD INC
N/A
Nationstar Mortgage Holdings Inc
63861CAA7
128000.00000000
PA
USD
130252.80000000
0.003879537321
Long
DBT
CORP
US
N
2
2027-01-15
Fixed
6.00000000
N
N
N
N
N
N
FRONTERA ENERGY CORP
A25574TZFLBNK7NWQT47
Frontera Energy Corp
35905BAC1
395000.00000000
PA
USD
369364.50000000
0.011001401605
Long
DBT
CORP
CA
N
2
2028-06-21
Fixed
7.87500000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138W5MS4
363400.11000000
PA
USD
362502.20000000
0.010797010229
Long
ABS-MBS
USGSE
US
N
2
2043-03-01
Fixed
3.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31410K3K8
104485.35000000
PA
USD
116715.56000000
0.003476335027
Long
ABS-MBS
USGSE
US
N
2
2038-12-01
Fixed
6.00000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36176DHP1
294313.71000000
PA
USD
311550.06000000
0.009279417296
Long
ABS-MBS
USGA
US
N
2
2041-03-15
Fixed
4.00000000
N
N
N
N
N
N
EQUINIX INC
549300EVUN2BTLJ3GT74
Equinix Inc
29444UBH8
1036000.00000000
PA
USD
906672.72000000
0.027004952336
Long
DBT
US
N
2
2030-07-15
Fixed
2.15000000
N
N
N
N
N
N
EMIRATES NBD BANK PJSC
54930029BCN8HF3B1286
Emirates NBD Bank PJSC
000000000
477000.00000000
PA
USD
478586.50000000
0.014254543382
Long
DBT
CORP
AE
Y
2
2025-03-20
Fixed
6.12500000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Pool
3132DMY58
1371449.94000000
PA
USD
1275178.83000000
0.037980787074
Long
ABS-MBS
USGSE
US
N
2
2051-09-01
Fixed
2.00000000
N
N
N
N
N
N
UBS Commercial Mortgage Trust
N/A
UBS Commercial Mortgage Trust
90278MBB2
6909095.91000000
PA
USD
581066.71000000
0.017306883136
Long
ABS-MBS
CORP
US
N
2
2052-10-15
Variable
1.47700000
N
N
N
N
N
N
BURLINGTN NORTH SANTA FE
N/A
Burlington Northern Santa Fe LLC
12189LBG5
1950000.00000000
PA
USD
1843988.64000000
0.054922602426
Long
DBT
CORP
US
N
2
2051-09-15
Fixed
3.30000000
N
N
N
N
N
N
ASHTON WOODS USA/FINANCE
N/A
Ashton Woods USA LLC / Ashton Woods Finance Co
045086AM7
202000.00000000
PA
USD
178129.66000000
0.005305534038
Long
DBT
CORP
US
N
2
2029-08-01
Fixed
4.62500000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31417TP44
17752.95000000
PA
USD
18890.03000000
0.000562633405
Long
ABS-MBS
USGSE
US
N
2
2040-01-01
Fixed
4.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31417AYD5
518478.72000000
PA
USD
542416.12000000
0.016155687872
Long
ABS-MBS
USGSE
US
N
2
2042-01-01
Fixed
4.00000000
N
N
N
N
N
N
RAYTHEON TECH CORP
I07WOS4YJ0N7YRFE7309
Raytheon Technologies Corp
75513ECC3
425000.00000000
PA
USD
425462.16000000
0.012672252178
Long
DBT
CORP
US
N
2
2044-12-15
Fixed
4.20000000
N
N
N
N
N
N
ENTERPRISE PRODUCTS OPER
5493004LGN656HWLDA30
Enterprise Products Operating LLC
29379VCB7
326000.00000000
PA
USD
278130.91000000
0.008284038773
Long
DBT
CORP
US
N
2
2053-02-15
Fixed
3.30000000
N
N
N
N
N
N
JPMORGAN CHASE & CO
8I5DZWZKVSZI1NUHU748
JPMorgan Chase & Co
46647PCB0
1300000.00000000
PA
USD
1210791.36000000
0.036063027203
Long
DBT
CORP
US
N
2
2027-04-22
Fixed
1.57800000
N
N
N
N
N
N
MORGAN STANLEY
IGJSJL3JD5P30I6NJZ34
Morgan Stanley
6174468P7
410000.00000000
PA
USD
407867.08000000
0.012148188438
Long
DBT
CORP
US
N
2
2031-04-01
Fixed
3.62200000
N
N
N
N
N
N
NEMAK SAB DE CV
5493000MY3DAIB0BP706
Nemak SAB de CV
000000000
209000.00000000
PA
USD
182385.94000000
0.005432305955
Long
DBT
CORP
MX
Y
2
2031-06-28
Fixed
3.62500000
N
N
N
N
N
N
DBUBS Mortgage Trust
N/A
DBUBS 2017-BRBK Mortgage Trust
23305JAN2
331000.00000000
PA
USD
308388.89000000
0.009185262875
Long
ABS-MBS
CORP
US
N
2
2034-10-10
Variable
3.53000000
N
N
N
N
N
N
Option One Mortgage Loan Trust
N/A
Option One Mortgage Loan Trust 2007-FXD1
68402VAA0
1136326.60000000
PA
USD
1039609.75000000
0.030964438575
Long
ABS-MBS
CORP
US
N
2
2037-01-25
Variable
5.86600000
N
N
N
N
N
N
Boardwalk Pipelines LP
549300W6AQ2GHHCGL606
Boardwalk Pipelines LP
096630AG3
275000.00000000
PA
USD
284402.31000000
0.008470830385
Long
DBT
CORP
US
N
2
2029-05-03
Fixed
4.80000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31418ECG3
7553075.78000000
PA
USD
7057988.13000000
0.210219882914
Long
ABS-MBS
USGSE
US
N
2
2042-03-01
Fixed
2.00000000
N
N
N
N
N
N
Progress Residential Trust
N/A
Progress Residential 2021-SFR9 Trust
74333QAN5
221000.00000000
PA
USD
189171.80000000
0.005634420590
Long
ABS-O
CORP
US
N
2
2040-11-17
Fixed
4.05300000
N
N
N
N
N
N
Allegro CLO Ltd
635400R1GOVCHJ4SNX58
Allegro CLO II-S Ltd
01751EAC2
1160310.25000000
PA
USD
1158651.01000000
0.034510043821
Long
ABS-CBDO
CORP
KY
N
2
2028-10-21
Floating
1.33500000
N
N
N
N
N
N
Credit Suisse Mortgage Trust
N/A
CSMC Trust 2017-CALI
12652FAJ1
301000.00000000
PA
USD
293120.09000000
0.008730486629
Long
ABS-MBS
CORP
US
N
2
2032-11-10
Variable
3.77800000
N
N
N
N
N
N
AMERICAN TOWER CORP
5493006ORUSIL88JOE18
American Tower Corp
03027XBC3
479000.00000000
PA
USD
417740.51000000
0.012442265342
Long
DBT
US
N
2
2030-06-15
Fixed
2.10000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138WF4T0
17704.13000000
PA
USD
18447.21000000
0.000549444155
Long
ABS-MBS
USGSE
US
N
2
2045-11-01
Fixed
4.50000000
N
N
N
N
N
N
Citibank N.A.
E57ODZWZ7FF32TWEFA76
PURCHASED USD / SOLD MXN
000000000
1.00000000
NC
-4392.09000000
-0.00013081697
N/A
DFE
US
N
2
Citibank N.A.
E57ODZWZ7FF32TWEFA76
2218293.73000000
MXN
107136.00000000
USD
2022-04-01
-4392.09000000
N
N
N
Rad CLO Ltd
N/A
Rad CLO 15 Ltd
750103AA1
250000.00000000
PA
USD
249526.25000000
0.007432058271
Long
ABS-CBDO
CORP
KY
N
2
2034-01-20
Floating
1.33700000
N
N
N
N
N
N
Ajax Mortgage Loan Trust
N/A
Ajax Mortgage Loan Trust 2019-H
00969XAC0
980026.61000000
PA
USD
1011421.27000000
0.030124853859
Long
ABS-O
CORP
US
N
2
2059-11-25
None
0.00000000
N
N
N
N
N
N
New Residential Mortgage Loan Trust
N/A
New Residential Mortgage Loan Trust 2019-2
64830DAB9
283657.21000000
PA
USD
287191.81000000
0.008553914736
Long
ABS-MBS
CORP
US
N
2
2057-12-25
Variable
4.25000000
N
N
N
N
N
N
Madison Park Funding Ltd
N/A
Madison Park Funding XIII Ltd
55818MBA4
1303021.66000000
PA
USD
1296140.40000000
0.038605120624
Long
ABS-CBDO
CORP
KY
N
2
2030-04-19
Floating
1.19800000
N
N
N
N
N
N
Azul Investments LLP
549300C6XNC8IDH04C74
Azul Investments LLP
05502FAA6
455000.00000000
PA
USD
400404.55000000
0.011925919407
Long
DBT
CORP
US
N
2
2024-10-26
Fixed
5.87500000
N
N
N
N
N
N
INDONESIA GOVERNMENT
529900FWX0GRR7WG5W79
Indonesia Treasury Bond
000000000
14862000000.00000000
PA
1061485.69000000
0.031616006340
Long
DBT
NUSS
ID
N
2
2035-06-15
Fixed
7.50000000
N
N
N
N
N
N
ONCOR ELECTRIC DELIVERY
549300SP2X2BS1KERD24
Oncor Electric Delivery Co LLC
68233JBH6
1155000.00000000
PA
USD
1187968.08000000
0.035383243225
Long
DBT
CORP
US
N
2
2028-11-15
Fixed
3.70000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36180E5C5
252724.25000000
PA
USD
260284.77000000
0.007752497293
Long
ABS-MBS
USGA
US
N
2
2043-05-15
Fixed
3.50000000
N
N
N
N
N
N
LSF11 A5 Holdco LLC
254900FPK7P5WNA66Y10
LSF11 A5 Holdco LLC Term Loan
50216YAB6
1619000.00000000
PA
USD
1597413.87000000
0.047578453028
Long
LON
CORP
US
N
2
2028-10-15
Floating
4.00000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36178EDP1
115189.24000000
PA
USD
117666.35000000
0.003504653998
Long
ABS-MBS
USGA
US
N
2
2043-05-15
Fixed
3.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140X83C9
1329396.91000000
PA
USD
1355791.04000000
0.040381795553
Long
ABS-MBS
USGSE
US
N
2
2045-02-01
Fixed
3.50000000
N
N
N
N
N
N
VERIZON COMMUNICATIONS
2S72QS2UO2OESLG6Y829
Verizon Communications Inc
92343VEU4
929000.00000000
PA
USD
964164.31000000
0.028717320662
Long
DBT
CORP
US
N
2
2029-12-03
Fixed
4.01600000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36179UN81
26093.74000000
PA
USD
25970.80000000
0.000773531838
Long
ABS-MBS
USGA
US
N
2
2049-03-20
Fixed
3.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31418CYM0
51158.36000000
PA
USD
52322.39000000
0.001558405383
Long
ABS-MBS
USGSE
US
N
2
2048-07-01
Fixed
4.00000000
N
N
N
N
N
N
Ajax Mortgage Loan Trust
N/A
Ajax Mortgage Loan Trust 2018-G
00970DAB3
567000.00000000
PA
USD
559617.89000000
0.016668037002
Long
ABS-O
CORP
US
N
2
2057-06-25
Variable
5.25000000
N
N
N
N
N
N
JP Morgan Mortgage Trust
N/A
J.P. Morgan Mortgage Trust 2021-INV7
46654CAQ8
549177.73000000
PA
USD
13953.56000000
0.000415602250
Long
ABS-MBS
CORP
US
N
2
2052-02-25
Variable
0.50000000
N
N
N
N
N
N
Nelnet Student Loan Trust
N/A
Nelnet Student Loan Trust 2021-B
64034QAC2
3120000.00000000
PA
USD
2855254.27000000
0.085042820599
Long
ABS-O
CORP
US
N
2
2062-04-20
Fixed
2.68000000
N
N
N
N
N
N
Avoca CLO
5493000BN1WPGQDK4X78
Avoca CLO XXII DAC
000000000
150000.00000000
PA
160551.47000000
0.004781973361
Long
ABS-CBDO
CORP
IE
Y
2
2035-04-15
Floating
1.30000000
N
N
N
N
N
N
Option One Mortgage Loan Trust
N/A
Option One Mortgage Loan Trust 2007-FXD1
68402VAB8
1625052.48000000
PA
USD
1494057.16000000
0.044500007007
Long
ABS-MBS
CORP
US
N
2
2037-01-25
Variable
5.86600000
N
N
N
N
N
N
Conseco Finance Securitizations Corp.
N/A
Conseco Finance Securitizations Corp
20846QEQ7
891001.72000000
PA
USD
344562.57000000
0.010262684179
Long
ABS-O
CORP
US
N
2
2031-05-01
Fixed
7.96000000
N
N
N
N
N
N
NBC Global Finance Limited
549300KWU8YQOYSK5Y64
NBC Global Finance Limited
000000000
4000000.00000000
PA
USD
4000000.00000000
0.119138700174
Long
RA
CORP
US
N
2
Repurchase
Y
0.44000000
2022-04-01
41749.10000000
USD
4397507.42000000
USD
EQT
40586.90000000
USD
43998.84000000
USD
UST
N
N
Fannie Mae - CAS
N/A
Connecticut Avenue Securities Trust 2021-R03
20754AAJ2
267000.00000000
PA
USD
237003.19000000
0.007059062998
Long
ABS-MBS
USGSE
US
N
2
2041-12-25
Floating
5.59900000
N
N
N
N
N
N
Rad CLO Ltd
N/A
Rad CLO 3 Ltd
48661WAQ1
250000.00000000
PA
USD
245635.50000000
0.007316173546
Long
ABS-CBDO
CORP
KY
N
2
2032-04-15
Floating
2.99100000
N
N
N
N
N
N
UMBS, TBA
N/A
Uniform Mortgage-Backed Security, TBA
01F040651
33628000.00000000
PA
USD
34193914.51000000
1.018454632151
Long
ABS-MBS
USGSE
US
N
2
2052-05-15
Fixed
4.00000000
N
N
N
N
N
N
MIP V Waste Holdings, LLC
N/A
MIP V Waste Holdings, LLC Term Loan B
000000000
445000.00000000
PA
USD
441476.94000000
0.013149247197
Long
LON
CORP
US
N
2
2028-12-08
Floating
3.75000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138WPHV9
420315.50000000
PA
USD
418706.37000000
0.012471033169
Long
ABS-MBS
USGSE
US
N
2
2043-04-01
Fixed
3.00000000
N
N
N
N
N
N
HCA INC
L3CJ6J7LJ2DX62FTXD46
HCA Inc
404119CG2
1530000.00000000
PA
USD
1541889.16000000
0.045924667583
Long
DBT
CORP
US
N
2
2052-03-15
Fixed
4.62500000
N
N
N
N
N
N
Ajax Mortgage Loan Trust
N/A
Ajax Mortgage Loan Trust 2018-A
00969EAB4
22230.02000000
PA
USD
21281.18000000
0.000633853030
Long
ABS-O
CORP
US
N
2
2058-04-25
None
0.00000000
N
N
N
N
N
N
Chicago Board of Trade
549300EX04Q2QBFQTQ27
US 10YR NOTE (CBT)JUN22
000000000
822.00000000
NC
USD
508178.10000000
0.015135919572
N/A
DIR
US
N
1
Chicago Board of Trade
549300EX04Q2QBFQTQ27
Long
CBOT 10 Year US Treasury Note
TYM2 COMDTY
2022-06-21
100495071.90000000
USD
508178.10000000
N
N
N
Greenpoint Manufactured Housing
N/A
Greenpoint Manufactured Housing
395383AH5
360514.22000000
PA
USD
368699.15000000
0.010981584371
Long
ABS-O
CORP
US
N
2
2029-12-15
Variable
8.29000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140QGS24
308834.24000000
PA
USD
321646.12000000
0.009580125163
Long
ABS-MBS
USGSE
US
N
2
2051-01-01
Fixed
4.00000000
N
N
N
N
N
N
CARRIER GLOBAL CORP
549300JE3W6CWY2NAN77
Carrier Global Corp
14448CAN4
132000.00000000
PA
USD
128504.32000000
0.003827459412
Long
DBT
CORP
US
N
2
2025-02-15
Fixed
2.24200000
N
N
N
N
N
N
AMERICAN INTL GROUP
ODVCVCQG2BP6VHV36M30
American International Group Inc
026874DB0
393000.00000000
PA
USD
419861.80000000
0.012505447276
Long
DBT
CORP
US
N
2
2055-01-15
Fixed
4.37500000
N
N
N
N
N
N
United States Treasury
254900HROIFWPRGM1V77
United States Treasury Note/Bond
9128286B1
5471000.00000000
PA
USD
5536822.97000000
0.164912472935
Long
DBT
UST
US
N
2
2029-02-15
Fixed
2.62500000
N
N
N
N
N
N
CAMERON LNG LLC
549300C39FLHGVD73K22
Cameron LNG LLC
133434AC4
1690000.00000000
PA
USD
1574019.91000000
0.046881671531
Long
DBT
CORP
US
N
2
2038-01-15
Fixed
3.40200000
N
N
N
N
N
N
Bank of America Corp
9DJT3UXIJIZJI4WXO774
Bank of America Corp
06051GGL7
4306000.00000000
PA
USD
4333537.95000000
0.129073019630
Long
DBT
CORP
US
N
2
2028-04-24
Fixed
3.70500000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138WJF94
32712.46000000
PA
USD
31895.37000000
0.000949993230
Long
ABS-MBS
USGSE
US
N
2
2031-11-01
Fixed
2.00000000
N
N
N
N
N
N
Bayview Commercial Asset Trust
N/A
Bayview Commercial Asset Trust 2006-3
07324NAA1
111071.15000000
PA
USD
105218.56000000
0.003133900618
Long
ABS-MBS
CORP
US
N
2
2036-10-25
Floating
0.70700000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Pool
3132DMYM1
4856426.22000000
PA
USD
4526849.32000000
0.134830735967
Long
ABS-MBS
USGSE
US
N
2
2051-07-01
Fixed
2.00000000
N
N
N
N
N
N
Republic of Peru
254900STKLK2DBJJZ530
Peruvian Government International Bond
715638BU5
1009000.00000000
PA
USD
1046736.60000000
0.031176709487
Long
DBT
NUSS
PE
N
2
2027-08-25
Fixed
4.12500000
N
N
N
N
N
N
Citibank N.A.
E57ODZWZ7FF32TWEFA76
PURCHASED USD / SOLD JPY
000000000
1.00000000
NC
20682.96000000
0.000616035242
N/A
DFE
US
N
2
Citibank N.A.
E57ODZWZ7FF32TWEFA76
60041696.00000000
JPY
514000.00000000
USD
2022-04-18
20682.96000000
N
N
N
Barclays Commercial Mortgage Securities LLC
N/A
Barclays Commercial Mortgage Trust 2019-C3
05550MAV6
1156.94000000
PA
USD
87.20000000
0.000002597223
Long
ABS-MBS
CORP
US
N
2
2052-05-15
Variable
1.33800000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36179RD71
207215.73000000
PA
USD
211889.41000000
0.006311057222
Long
ABS-MBS
USGA
US
N
2
2045-05-20
Fixed
3.50000000
N
N
N
N
N
N
EQUATE PETROCHEMICAL BV
635400Y3Z5R4NJSMQ630
Equate Petrochemical BV
29441WAD7
263000.00000000
PA
USD
243603.75000000
0.007255658533
Long
DBT
CORP
NL
N
2
2028-04-28
Fixed
2.62500000
N
N
N
N
N
N
Hudson Yards
N/A
Hudson Yards 2019-55HY Mortgage Trust
44421MAN0
930000.00000000
PA
USD
778020.33000000
0.023173082706
Long
ABS-MBS
CORP
US
N
2
2041-12-10
Variable
2.94300000
N
N
N
N
N
N
Citibank N.A.
E57ODZWZ7FF32TWEFA76
Long: BRY01HGS6 TRS USD R V 12MSOFR BRY01HGU1 EQUITYTRS / Short: BRY01HGS6 TRS USD P E BRY01HGT4 EQUITYTRS
000000000
41359.63000000
OU
Notional Amount
USD
712.03000000
0.000021207582
N/A
DE
US
N
2
Citibank N.A.
E57ODZWZ7FF32TWEFA76
TreeHouse Foods Inc
TreeHouse Foods Inc
Y
equity-performance leg
2022-09-09
0.00000000
USD
0.00000000
USD
41359.63000000
USD
712.03000000
N
N
N
CSAIL Commercial Mortgage Trust
N/A
CSAIL 2019-C16 Commercial Mortgage Trust
12596WAJ3
130000.00000000
PA
USD
123020.07000000
0.003664112808
Long
ABS-MBS
CORP
US
N
2
2052-06-15
Variable
4.23700000
N
N
N
N
N
N
BARDOT CLO LTD
549300KP12IHV6MTDK86
Bardot CLO Ltd
06744NBN6
250000.00000000
PA
USD
243786.75000000
0.007261109128
Long
ABS-CBDO
CORP
KY
N
2
2032-10-22
Floating
3.25900000
N
N
N
N
N
N
BNP Paribas SA
R0MUWSFPU8MPRO8K5P83
PURCHASED USD / SOLD MXN
000000000
1.00000000
NC
-818.37000000
-0.00002437488
N/A
DFE
US
N
2
BNP Paribas SA
R0MUWSFPU8MPRO8K5P83
3576587.45000000
MXN
179000.00000000
USD
2022-04-01
-818.37000000
N
N
N
Deutsche Bank Commercial Mortgage Trust
N/A
DBJPM 17-C6 Mortgage Trust
23312JAN3
2060000.00000000
PA
USD
87968.18000000
0.002620103655
Long
ABS-MBS
CORP
US
N
2
2050-06-10
Variable
1.00000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
31335BCD6
906500.15000000
PA
USD
914939.66000000
0.027251180457
Long
ABS-MBS
USGSE
US
N
2
2047-03-01
Fixed
3.50000000
N
N
N
N
N
N
Progress Residential Trust
N/A
Progress Residential 2021-SFR3
74333VAN4
1070000.00000000
PA
USD
965708.06000000
0.028763300754
Long
ABS-O
CORP
US
N
2
2026-05-17
Fixed
3.43600000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
3132QUZV8
137702.89000000
PA
USD
143014.13000000
0.004259629388
Long
ABS-MBS
USGSE
US
N
2
2045-12-01
Fixed
4.00000000
N
N
N
N
N
N
Ajax Mortgage Loan Trust
N/A
Ajax Mortgage Loan Trust 2020-C
00969HAA9
327222.20000000
PA
USD
324620.59000000
0.009668718785
Long
ABS-O
CORP
US
N
2
2060-09-27
Variable
2.25000000
N
N
N
N
N
N
ARDAGH PKG FIN/HLDGS USA
N/A
Ardagh Packaging Finance PLC / Ardagh Holdings USA Inc
03969AAQ3
738000.00000000
PA
USD
736985.25000000
0.021950866183
Long
DBT
CORP
XX
N
2
2025-04-30
Fixed
5.25000000
N
N
N
N
N
N
Carlyle Euro CLO
635400GXUD5SKWFXE966
Carlyle Euro CLO 2021-2 DAC
000000000
450000.00000000
PA
473030.29000000
0.014089053473
Long
ABS-CBDO
CORP
IE
N
2
2035-10-15
Floating
3.30000000
N
N
N
N
N
N
TAP ROCK RESOURCES LLC
549300Y3SDS1HPFQ6H17
Tap Rock Resources LLC
87602LAA0
1447000.00000000
PA
USD
1497818.64000000
0.044612041466
Long
DBT
CORP
US
N
2
2026-10-01
Fixed
7.00000000
N
N
N
N
N
N
Legacy Mortgage Asset Trust
N/A
Legacy Mortgage Asset Trust 2020-SL1
52475KAA0
359675.16000000
PA
USD
357302.02000000
0.010642124558
Long
ABS-MBS
CORP
US
N
2
2060-01-25
Variable
2.73400000
N
N
N
N
N
N
GLENCORE FUNDING LLC
213800STG1QDNBY87K49
Glencore Funding LLC
378272BH0
941000.00000000
PA
USD
791208.33000000
0.023565883000
Long
DBT
CORP
US
N
2
2051-09-23
Fixed
3.37500000
N
N
N
N
N
N
JPMorgan Chase Bank N.A.
7H6GLXDRUGQFU57RNE97
PURCHASED RUB / SOLD USD
000000000
1.00000000
NC
16768.20000000
0.000499435388
N/A
DFE
RU
N
2
JPMorgan Chase Bank N.A.
7H6GLXDRUGQFU57RNE97
63936.00000000
USD
6905088.00000000
RUB
2022-05-25
16768.20000000
N
N
N
GLENCORE FUNDING LLC
213800STG1QDNBY87K49
Glencore Funding LLC
378272BD9
2050000.00000000
PA
USD
1893114.40000000
0.056385797224
Long
DBT
CORP
US
N
2
2026-04-27
Fixed
1.62500000
N
N
N
N
N
N
VERIZON COMMUNICATIONS
2S72QS2UO2OESLG6Y829
Verizon Communications Inc
92343VGJ7
401000.00000000
PA
USD
372549.05000000
0.011096252392
Long
DBT
CORP
US
N
2
2031-03-21
Fixed
2.55000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140XFWG2
1190966.54000000
PA
USD
1109470.52000000
0.033045218908
Long
ABS-MBS
USGSE
US
N
2
2052-02-01
Fixed
2.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31418XDE5
47657.74000000
PA
USD
48981.72000000
0.001458904613
Long
ABS-MBS
USGSE
US
N
2
2025-07-01
Fixed
4.50000000
N
N
N
N
N
N
Tampa Electric Co
WS423EPRKJIIJUITXD73
Tampa Electric Co
875127BF8
828000.00000000
PA
USD
887825.69000000
0.026443599672
Long
DBT
CORP
US
N
2
2049-06-15
Fixed
4.45000000
N
N
N
N
N
N
ENERGY TRANSFER LP
MTLVN9N7JE8MIBIJ1H73
Energy Transfer LP
86765BAN9
1343000.00000000
PA
USD
1369065.79000000
0.040777179668
Long
DBT
CORP
US
N
2
2024-04-01
Fixed
4.25000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
3132GJ5A3
91394.40000000
PA
USD
95685.33000000
0.002849956460
Long
ABS-MBS
USGSE
US
N
2
2041-10-01
Fixed
4.00000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36179V4W7
26920858.71000000
PA
USD
26718179.91000000
0.795792306377
Long
ABS-MBS
USGA
US
N
2
2051-01-20
Fixed
3.00000000
N
N
N
N
N
N
PETROLEOS MEXICANOS
549300CAZKPF4HKMPX17
Petroleos Mexicanos
71654QDC3
1226000.00000000
PA
USD
1219980.34000000
0.036336717986
Long
DBT
CORP
MX
N
2
2030-01-23
Fixed
6.84000000
N
N
N
N
N
N
Anchorage Capital CLO LTD
549300V7DN3VJ8H1GE96
Anchorage Capital CLO 3-R Ltd
03330AAE2
250000.00000000
PA
USD
247163.75000000
0.007361691976
Long
ABS-CBDO
CORP
KY
N
2
2031-01-28
Floating
2.12800000
N
N
N
N
N
N
Florida Power & Light Co
A89MY1K3YLIGJMYWVX50
Florida Power & Light Co
341081FQ5
1403000.00000000
PA
USD
1492719.18000000
0.044460155707
Long
DBT
CORP
US
N
2
2048-03-01
Fixed
3.95000000
N
N
N
N
N
N
TEACHERS INSURANCE AND ANNUITY ASSOCIATION OF AME
54930043TEPI4UKGHU90
Tiaa Clo III Ltd
87272HAA8
571000.00000000
PA
USD
569638.17000000
0.016966487785
Long
ABS-CBDO
CORP
KY
N
2
2031-01-16
Floating
1.39100000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36179WQA9
8311253.18000000
PA
USD
8071943.86000000
0.240420224840
Long
ABS-MBS
USGA
US
N
2
2051-10-20
Fixed
2.50000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
3128M9GP1
236515.42000000
PA
USD
241439.63000000
0.007191200922
Long
ABS-MBS
USGSE
US
N
2
2042-08-01
Fixed
3.50000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Pool
3132DVL94
15582088.00000000
PA
USD
14937291.07000000
0.444902360552
Long
ABS-MBS
USGSE
US
N
2
2052-01-01
Fixed
2.50000000
N
N
N
N
N
N
Tory Burch LLC
549300GGL74W33KY2650
Tory Burch LLC Term Loan B
89148GAF7
603440.00000000
PA
USD
588605.63000000
0.017531427418
Long
LON
CORP
US
N
2
2028-04-16
Floating
3.50000000
N
N
N
N
N
N
NBC Global Finance Limited
549300KWU8YQOYSK5Y64
NBC Global Finance Limited
000000000
1300000.00000000
PA
USD
1300000.00000000
0.038720077556
Long
RA
CORP
US
N
2
Repurchase
Y
0.49000000
2022-04-07
13568.45000000
USD
1429189.89000000
USD
EQT
13190.75000000
USD
14299.63000000
USD
UST
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31415YBM0
81536.18000000
PA
USD
86718.87000000
0.002582893363
Long
ABS-MBS
USGSE
US
N
2
2038-12-01
Fixed
5.50000000
N
N
N
N
N
N
Park Avenue Institutional Advisers CLO
549300ZWX1MRCB6KO574
Park Avenue Institutional Advisers CLO Ltd 2017-1
70017KAL3
1050000.00000000
PA
USD
1047704.70000000
0.031205544031
Long
ABS-CBDO
CORP
KY
N
2
2034-02-14
Floating
1.63500000
N
N
N
N
N
N
BNP Paribas SA
R0MUWSFPU8MPRO8K5P83
PURCHASED USD / SOLD IDR
000000000
1.00000000
NC
-1146.64000000
-0.00003415229
N/A
DFE
US
N
2
BNP Paribas SA
R0MUWSFPU8MPRO8K5P83
4139504508.00000000
IDR
286907.71000000
USD
2022-04-18
-1146.64000000
N
N
N
ABBVIE INC
FR5LCKFTG8054YNNRU85
AbbVie Inc
00287YCB3
330000.00000000
PA
USD
342446.55000000
0.010199659211
Long
DBT
CORP
US
N
2
2049-11-21
Fixed
4.25000000
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31417F2C1
37015.03000000
PA
USD
36680.71000000
0.001092523027
Long
ABS-MBS
USGSE
US
N
2
2028-04-01
Fixed
2.50000000
N
N
N
N
N
N
Neuberger Berman CLO Ltd
5493006JG853WBZS5J73
Neuberger Berman Loan Advisers CLO 37 Ltd
64133GAT7
250000.00000000
PA
USD
247854.50000000
0.007382265740
Long
ABS-CBDO
CORP
KY
N
2
2031-07-20
Floating
1.70400000
N
N
N
N
N
N
Highbridge Loan Management Ltd
N/A
Highbridge Loan Management 3-2014
40436XAC1
500000.00000000
PA
USD
498855.00000000
0.014858234068
Long
ABS-CBDO
CORP
KY
N
2
2029-07-18
Floating
1.42100000
N
N
N
N
N
N
Freddie Mac - STACR
N/A
Freddie Mac STACR REMIC Trust 2021-HQA1
35564KCN7
1444344.00000000
PA
USD
1257651.85000000
0.037458751670
Long
ABS-MBS
USGSE
US
N
2
2033-08-25
Floating
3.09900000
N
N
N
N
N
N
Credit Suisse Mortgage Trust
N/A
CSMC Trust 2017-PFHP
12595KAA9
280000.00000000
PA
USD
278071.08000000
0.008282256756
Long
ABS-MBS
CORP
US
N
2
2030-12-15
Floating
1.34700000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138W6SU1
717684.40000000
PA
USD
716204.22000000
0.021331909957
Long
ABS-MBS
USGSE
US
N
2
2043-04-01
Fixed
3.00000000
N
N
N
N
N
N
MAF GLOBAL SECURITIES
54930037VUDNYTS17017
MAF Global Securities Ltd
000000000
255000.00000000
PA
USD
252680.52000000
0.007526007178
Long
DBT
CORP
KY
Y
2
2022-09-07
Fixed
5.50000000
N
N
N
N
N
N
Visio 2019-2 Trust
N/A
Visio 2019-2 Trust
92837DAE7
169000.00000000
PA
USD
162062.87000000
0.004826989919
Long
ABS-MBS
CORP
US
N
2
2054-11-25
Variable
3.91000000
N
N
N
N
N
N
Sound Point CLO LTD
N/A
Sound Point CLO XXVI Ltd
83614XAW1
250000.00000000
PA
USD
247937.75000000
0.007384745314
Long
ABS-CBDO
CORP
KY
N
2
2034-07-20
Floating
3.60400000
N
N
N
N
N
N
Bank of America Corp
9DJT3UXIJIZJI4WXO774
Bank of America Corp
06051GHT9
3494000.00000000
PA
USD
3503949.06000000
0.104363984121
Long
DBT
CORP
US
N
2
2027-04-23
Fixed
3.55900000
N
N
N
N
N
N
Freddie Mac - STACR
N/A
Freddie Mac STACR REMIC Trust 2021-DNA1
35564KBE8
860000.00000000
PA
USD
748055.86000000
0.022280600704
Long
ABS-MBS
USGSE
US
N
2
2051-01-25
Floating
4.84900000
N
N
N
N
N
N
Madison Park Funding Ltd
N/A
Madison Park Funding XVIII Ltd
55819BAW0
5000000.00000000
PA
USD
4981860.00000000
0.148383081213
Long
ABS-CBDO
CORP
KY
N
2
2030-10-21
Floating
1.19500000
N
N
N
N
N
N
Yale Mortgage Loan Trust
N/A
Yale Mortgage Loan Trust 2007-1
984582AA4
767857.20000000
PA
USD
301335.27000000
0.008975173096
Long
ABS-MBS
CORP
US
N
2
2037-06-25
Floating
0.85700000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31410KXL3
143272.70000000
PA
USD
157963.61000000
0.004704894792
Long
ABS-MBS
USGSE
US
N
2
2038-10-01
Fixed
6.00000000
N
N
N
N
N
N
DBUBS Mortgage Trust
N/A
DBUBS 2017-BRBK Mortgage Trust
23305JAL6
1180000.00000000
PA
USD
1116543.85000000
0.033255895744
Long
ABS-MBS
CORP
US
N
2
2034-10-10
Variable
3.53000000
N
N
N
N
N
N
Countrywide Alternative Loan Trust
N/A
Alternative Loan Trust 2005-72
12668A3Q6
336072.32000000
PA
USD
296129.96000000
0.008820134629
Long
ABS-MBS
CORP
US
N
2
2036-01-25
Floating
1.05700000
N
N
N
N
N
N
CIFC Funding Ltd
549300RWVPXQ5M3BFY62
CIFC Funding 2015-II Ltd
12550LAW2
571000.00000000
PA
USD
571004.57000000
0.017007185565
Long
ABS-CBDO
CORP
KY
N
2
2030-04-15
Floating
2.24100000
N
N
N
N
N
N
OHIO POWER COMPANY
06ZODLC132CY1O2Y7D77
Ohio Power Co
677415CR0
386000.00000000
PA
USD
384569.48000000
0.011454276993
Long
DBT
CORP
US
N
2
2049-06-01
Fixed
4.00000000
N
N
N
N
N
N
BX Trust
N/A
BX Commercial Mortgage Trust 2020-VIV4
05608MAA4
693000.00000000
PA
USD
648310.23000000
0.019309709528
Long
ABS-MBS
CORP
US
N
2
2044-03-09
Fixed
2.84300000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31407HZD1
159987.77000000
PA
USD
178529.37000000
0.005317439271
Long
ABS-MBS
USGSE
US
N
2
2036-06-01
Fixed
6.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138WC7G2
237675.31000000
PA
USD
240148.91000000
0.007152757246
Long
ABS-MBS
USGSE
US
N
2
2029-10-01
Fixed
3.00000000
N
N
N
N
N
N
TRIVIUM PACKAGING FIN
724500GMZWW3PVYET548
Trivium Packaging Finance BV
89686QAA4
317000.00000000
PA
USD
315693.96000000
0.009402842011
Long
DBT
CORP
NL
N
2
2026-08-15
Fixed
5.50000000
N
N
N
N
N
N
AT&T INC
549300Z40J86GGSTL398
AT&T Inc
00206RMN9
738000.00000000
PA
USD
673306.92000000
0.020054227816
Long
DBT
CORP
US
N
2
2057-12-01
Fixed
3.80000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31418CET7
148795.56000000
PA
USD
145080.43000000
0.004321173462
Long
ABS-MBS
USGSE
US
N
2
2031-12-01
Fixed
2.00000000
N
N
N
N
N
N
ING Groep NV
549300NYKK9MWM7GGW15
ING Groep NV
456837AK9
754000.00000000
PA
USD
766697.49000000
0.022835835596
Long
DBT
CORP
NL
N
2
2023-10-02
Fixed
4.10000000
N
N
N
N
N
N
BLACKSTONE PRIVATE CRE
549300ORP3TTCNXSYO43
Blackstone Private Credit Fund
09261HAQ0
1558000.00000000
PA
USD
1442423.35000000
0.042962110755
Long
DBT
CORP
US
N
2
2029-01-15
Fixed
4.00000000
N
N
N
N
N
N
METALSA SA DE CV
549300F2FONGJR575V67
Metalsa S A P I De Cv
000000000
209000.00000000
PA
USD
181606.37000000
0.005409086716
Long
DBT
CORP
MX
Y
2
2031-05-04
Fixed
3.75000000
N
N
N
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
Long: SRWZJL7M6 IRS USD R F 1.17500 2 CCPOIS / Short: SRWZJL7M6 IRS USD P V 12MFEDL 1 CCPOIS
000000000
1174790000.00000000
OU
Notional Amount
USD
-714413.29000000
-0.02127856768
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2022-09-21
1204.77000000
USD
0.00000000
USD
1174790000.00000000
USD
-715618.06000000
N
N
N
BNP Paribas SA
R0MUWSFPU8MPRO8K5P83
Long: BRWZJMK15 TRS USD R V 12MSOFR BRWZJMK31 EQUITYTRS / Short: BRWZJMK15 TRS USD P E BRWZJMK23 EQUITYTRS
000000000
353455.00000000
OU
Notional Amount
USD
-19477.28000000
-0.00058012445
N/A
DE
US
N
2
BNP Paribas SA
R0MUWSFPU8MPRO8K5P83
Sherwin-Williams Co/The
Sherwin-Williams Co/The
Y
equity-performance leg
2022-09-02
0.00000000
USD
0.00000000
USD
353455.00000000
USD
-19477.28000000
N
N
N
Freddie Mac - STACR
S6XOOCT0IEG5ABCC6L87
Freddie Mac Structured Agency Credit Risk Debt Notes
35564KND7
2111699.00000000
PA
USD
1999194.65000000
0.059545362999
Long
ABS-MBS
USGSE
US
N
2
2041-11-25
Floating
3.74900000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140H3KJ4
80839.20000000
PA
USD
83806.08000000
0.002496136859
Long
ABS-MBS
USGSE
US
N
2
2033-01-01
Fixed
3.50000000
N
N
N
N
N
N
United States Treasury
254900HROIFWPRGM1V77
United States Treasury Note/Bond
91282CBX8
10482000.00000000
PA
USD
10296927.19000000
0.306690630302
Long
DBT
UST
US
N
2
2023-04-30
Fixed
0.12500000
N
N
N
N
N
N
GOLDMAN SACHS GROUP INC
784F5XWPLTWKTBV3E584
Goldman Sachs Group Inc/The
38141GXJ8
16903000.00000000
PA
USD
17029062.57000000
0.507205094945
Long
DBT
CORP
US
N
2
2025-04-01
Fixed
3.50000000
N
N
N
N
N
N
BX Trust
N/A
BX Commercial Mortgage Trust 2018-IND
056059AU2
3101000.00000000
PA
USD
3062636.29000000
0.091219626674
Long
ABS-MBS
CORP
US
N
2
2035-11-15
Floating
3.39700000
N
N
N
N
N
N
CHESAPEAKE ENERGY CORP
X2MT1W32SPAZ9WSKLE78
Chesapeake Energy Corp
165167DF1
276000.00000000
PA
USD
282647.46000000
0.008418562748
Long
DBT
CORP
US
N
2
2026-02-01
Fixed
5.50000000
N
N
N
N
N
N
Medical Solutions Holdings, Inc.
549300JH2XHZ7TIKYR39
Medical Solutions Holdings, Inc. 2021 2nd Lien Term Loan
000000000
274000.00000000
PA
USD
265780.00000000
0.007916170933
Long
LON
CORP
US
N
2
2029-11-01
Floating
7.50000000
N
N
N
N
N
N
Societe Generale
O2RNE8IBXP4R0TD8PU41
Societe Generale
000000000
600000.00000000
PA
USD
600000.00000000
0.017870805026
Long
RA
CORP
US
N
2
Repurchase
Y
0.42000000
2022-04-07
8556.07000000
USD
666773.78000000
USD
EQT
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
3132QUZX4
116493.48000000
PA
USD
120178.20000000
0.003579468634
Long
ABS-MBS
USGSE
US
N
2
2045-12-01
Fixed
4.00000000
N
N
N
N
N
N
BX Trust
N/A
BX Commercial Mortgage Trust 2021-CIP
12434FAL1
1443000.00000000
PA
USD
1399525.87000000
0.041684423253
Long
ABS-MBS
CORP
US
N
2
2038-12-15
Floating
3.21700000
N
N
N
N
N
N
WASTE MANAGEMENT INC
549300YX8JIID70NFS41
Waste Management Inc
94106LBN8
1795000.00000000
PA
USD
1604199.47000000
0.047780559919
Long
DBT
CORP
US
N
2
2028-03-15
Fixed
1.15000000
N
N
N
N
N
JPMorgan Chase & Co
8I5DZWZKVSZI1NUHU748
JPMorgan Chase & Co
46647PAM8
564000.00000000
PA
USD
561395.48000000
0.016720981942
Long
DBT
CORP
US
N
2
2029-01-23
Fixed
3.50900000
N
N
N
N
N
N
Bank of America N.A.
B4TYDEB6GKMZO031MB27
BRWYC8NR6 BLACKROCK FXVAN PUT USD RUB 72.0000000
000000000
-1092000.00000000
OU
Notional Amount
USD
-3749.93000000
-0.00011169044
N/A
DFE
US
N
2
Bank of America N.A.
B4TYDEB6GKMZO031MB27
Put
Written
Bank of America, National Association
B4TYDEB6GKMZO031MB27
Bank of America, National Association
B4TYDEB6GKMZO031MB27
FX Contract
N/A
1.00000000
NC
USD
-3749.93000000
0.00000000
DFE
RU
-1092000.00000000
USD
-78624000.00000000
RUB
2022-04-08
1.00000000
72.00000000
USD
2022-04-08
XXXX
1528.80000000
N
N
N
WELLS FARGO & COMPANY
PBLD0EJDB5FWOLXP3B76
Wells Fargo & Co
95000U2V4
1238000.00000000
PA
USD
1235513.69000000
0.036799373768
Long
DBT
CORP
US
N
2
2028-03-24
Fixed
3.52600000
N
N
N
N
N
N
Signal Peak CLO, LLC
N/A
Mariner CLO 2016-3 LLC
56845AAU2
271913.38000000
PA
USD
270534.24000000
0.008057774426
Long
ABS-CBDO
CORP
KY
N
2
2029-07-23
Floating
1.24900000
N
N
N
N
N
N
NORTHERN STATES PWR-MINN
3S1GHB0TEH85KX44SB51
Northern States Power Co/MN
665772CT4
10000.00000000
PA
USD
9212.71000000
0.000274397573
Long
DBT
CORP
US
N
2
2031-04-01
Fixed
2.25000000
N
N
N
N
N
N
IndyMac INDX Mortgage Loan Trust
N/A
IndyMac INDX Mortgage Loan Trust 2007-AR19
45669NAT3
685733.21000000
PA
USD
523583.43000000
0.015594762320
Long
ABS-MBS
CORP
US
N
2
2037-09-25
Variable
2.96700000
N
N
N
N
N
N
GRUPO AVAL LTD
549300J4FW1ELLQ80113
Grupo Aval Ltd
40053FAC2
1055000.00000000
PA
USD
913608.90000000
0.027211544203
Long
DBT
CORP
KY
N
2
2030-02-04
Fixed
4.37500000
N
N
N
N
N
N
DUKE ENERGY CAROLINAS
MWIUSDMN17TCR56VW396
Duke Energy Carolinas LLC
26442CAX2
321000.00000000
PA
USD
333273.76000000
0.009926450642
Long
DBT
CORP
US
N
2
2028-11-15
Fixed
3.95000000
N
N
N
N
N
N
STEM INC
549300GVWIYFILN5V546
Stem Inc
85859NAA0
102000.00000000
PA
USD
75653.40000000
0.002253311934
Long
DBT
CORP
US
N
2
2028-12-01
Fixed
0.50000000
N
N
N
N
Y
Stem Inc
Stem Inc
USD
XXXX
N
N
N
MILLICOM INTL CELLULAR
549300CTHC1CP86P2G96
Millicom International Cellular SA
600814AP2
270000.00000000
PA
USD
276750.00000000
0.008242908818
Long
DBT
CORP
LU
N
2
2026-10-15
Fixed
6.62500000
N
N
N
N
N
N
NXP BV/NXP FDG/NXP USA
N/A
NXP BV / NXP Funding LLC / NXP USA Inc
62954HAG3
3527000.00000000
PA
USD
3167403.45000000
0.094340082490
Long
DBT
CORP
XX
N
2
2031-05-11
Fixed
2.50000000
N
N
N
N
N
N
Consumers Energy Co
7NKTFWJ1G6MELP9TU740
Consumers Energy Co
210518DE3
1357000.00000000
PA
USD
1363191.19000000
0.040602206616
Long
DBT
CORP
US
N
2
2050-02-15
Fixed
3.75000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
3132M7YQ5
55801.75000000
PA
USD
56924.56000000
0.001695479521
Long
ABS-MBS
USGSE
US
N
2
2044-07-01
Fixed
3.50000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36180E4C6
192072.51000000
PA
USD
197576.63000000
0.005884755720
Long
ABS-MBS
USGA
US
N
2
2043-04-15
Fixed
3.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140H4SG0
49721.12000000
PA
USD
52083.82000000
0.001551299653
Long
ABS-MBS
USGSE
US
N
2
2047-12-01
Fixed
4.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138ERM49
241595.07000000
PA
USD
244114.86000000
0.007270881778
Long
ABS-MBS
USGSE
US
N
2
2031-09-01
Fixed
3.00000000
N
N
N
N
N
N
FIVE POINT OP CO LP/FIVE
N/A
Five Point Operating Co LP / Five Point Capital Corp
33834YAA6
794000.00000000
PA
USD
812500.20000000
0.024200054429
Long
DBT
CORP
US
N
2
2025-11-15
Fixed
7.87500000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138WHNX6
230311.17000000
PA
USD
228238.61000000
0.006798012831
Long
ABS-MBS
USGSE
US
N
2
2031-07-01
Fixed
2.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138Y5X76
151872.21000000
PA
USD
150438.36000000
0.004480757666
Long
ABS-MBS
USGSE
US
N
2
2030-01-01
Fixed
2.50000000
N
N
N
N
N
N
BROOKFIELD RESID PROPERT
N/A
Brookfield Residential Properties Inc / Brookfield Residential US LLC
11283YAG5
265000.00000000
PA
USD
240622.65000000
0.007166867438
Long
DBT
CORP
CA
N
2
2029-06-15
Fixed
5.00000000
N
N
N
N
N
N
Bank of America N.A.
B4TYDEB6GKMZO031MB27
BRWY8XBS7 BLACKROCK SWAPTION 2.32 PUT USD 20220504
000000000
-613000000.00000000
NC
USD
-490577.77000000
-0.01461169946
N/A
DIR
US
N
2
Bank of America N.A.
B4TYDEB6GKMZO031MB27
Put
Written
Bank of America N.A.
B4TYDEB6GKMZO031MB27
Bank of America N.A.
B4TYDEB6GKMZO031MB27
IRS Swap
N/A
613000000.00000000
OU
Notional Amount
N/A
-490577.77000000
-0.01000000
DIR
US
N/A
N/A
2026-05-06
0.00000000
N/A
0.00000000
N/A
613000000.00000000
USD
1.00000000
2.32000000
USD
2022-05-04
XXXX
-245377.77000000
N
N
N
CIFC Funding Ltd
549300PC4RPZFE70AI24
CIFC Funding 2013-I Ltd
12549AAN0
250000.00000000
PA
USD
248448.75000000
0.007399965283
Long
ABS-CBDO
CORP
KY
N
2
2030-07-16
Floating
1.99100000
N
N
N
N
N
N
KENBOURNE INVEST SA
222100QGH6Y9KFYZ4B27
Kenbourne Invest SA
48855KAC4
210000.00000000
PA
USD
184497.60000000
0.005495201062
Long
DBT
CORP
LU
N
2
2028-01-22
Fixed
4.70000000
N
N
N
N
N
N
Lendmark Funding Trust
N/A
Lendmark Funding Trust 2021-1
52607MAD1
450000.00000000
PA
USD
405452.75000000
0.012076278404
Long
ABS-O
CORP
US
N
2
2031-11-20
Fixed
5.05000000
N
N
N
N
N
N
Foundation Finance Trust
54930021B3TF4B4HKE86
Foundation Finance Trust 2021-2
35042PAA8
1091202.71000000
PA
USD
1050448.36000000
0.031287263052
Long
ABS-O
CORP
US
N
2
2042-01-15
Fixed
2.19000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138EGVA9
130627.25000000
PA
USD
141334.82000000
0.004209611686
Long
ABS-MBS
USGSE
US
N
2
2041-08-01
Fixed
5.00000000
N
N
N
N
N
N
ALBERTSONS COS/SAFEWAY
N/A
Albertsons Cos Inc / Safeway Inc / New Albertsons LP / Albertsons LLC
013092AB7
557000.00000000
PA
USD
555114.56000000
0.016533906781
Long
DBT
CORP
US
N
2
2028-02-15
Fixed
5.87500000
N
N
N
N
N
N
Barclays Bank PLC
G5GSEF7VJP5I7OUK5573
Long: BRWWF0HC4 CDS USD R V 03MEVENT 1 SOVEREIGN / Short: BRWWF0HC4 CDS USD P F 1.00000 2 SOVEREIGN
000000000
314000.00000000
OU
Notional Amount
USD
1907.64000000
0.000056818437
N/A
DCR
US
N
2
Barclays Bank PLC
G5GSEF7VJP5I7OUK5573
FED REPUBLIC OF BRAZIL
FED REPUBLIC OF BRAZIL
Y
buy protection
2024-12-20
4244.41000000
USD
0.00000000
USD
314000.00000000
USD
-2336.77000000
N
N
N
United States Treasury
254900HROIFWPRGM1V77
United States Treasury Note/Bond
912810TA6
340600.00000000
PA
USD
295204.41000000
0.008792567423
Long
DBT
UST
US
N
2
2041-08-15
Fixed
1.75000000
N
N
N
N
N
N
RAYTHEON TECH CORP
I07WOS4YJ0N7YRFE7309
Raytheon Technologies Corp
913017BT5
108000.00000000
PA
USD
119091.02000000
0.003547087331
Long
DBT
CORP
US
N
2
2042-06-01
Fixed
4.50000000
N
N
N
N
N
N
Freddie Mac - SLST
N/A
Seasoned Loans Structured Transaction Trust Series 2020-2
35564CGD3
2550000.00000000
PA
USD
2479247.70000000
0.073843587097
Long
ABS-MBS
USGSE
US
N
2
2060-09-25
Variable
4.75000000
N
N
N
N
N
N
BPR Trust
N/A
BPR Trust 2021-TY
05592AAN0
492000.00000000
PA
USD
483352.76000000
0.014396504888
Long
ABS-MBS
CORP
US
N
2
2038-09-15
Floating
3.99700000
N
N
N
N
N
N
L3HARRIS TECH INC
549300UTE50ZMDBG8A20
L3Harris Technologies Inc
502431AM1
530000.00000000
PA
USD
551169.45000000
0.016416402962
Long
DBT
CORP
US
N
2
2028-06-15
Fixed
4.40000000
N
N
N
N
N
N
Mosaic Solar Loans LLC
N/A
Mosaic Solar Loan Trust 2019-2
61945LAA1
138339.40000000
PA
USD
134146.01000000
0.003995495316
Long
ABS-O
CORP
US
N
2
2040-09-20
Fixed
2.88000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36179DLP3
198574.17000000
PA
USD
201257.05000000
0.005994375834
Long
ABS-MBS
USGA
US
N
2
2043-01-15
Fixed
3.50000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36179RXD6
105384.45000000
PA
USD
107654.61000000
0.003206457575
Long
ABS-MBS
USGA
US
N
2
2046-01-20
Fixed
3.50000000
N
N
N
N
N
N
Citibank N.A.
E57ODZWZ7FF32TWEFA76
PURCHASED USD / SOLD MXN
000000000
1.00000000
NC
-17883.81000000
-0.00053266346
N/A
DFE
US
N
2
Citibank N.A.
E57ODZWZ7FF32TWEFA76
9056720.03000000
MXN
437456.56000000
USD
2022-04-01
-17883.81000000
N
N
N
BNP Paribas SA
R0MUWSFPU8MPRO8K5P83
PURCHASED USD / SOLD MXN
000000000
1.00000000
NC
-14973.26000000
-0.00044597368
N/A
DFE
US
N
2
BNP Paribas SA
R0MUWSFPU8MPRO8K5P83
9823215.00000000
MXN
474561.64000000
USD
2022-05-24
-14973.26000000
N
N
N
Trestles CLO LTD
254900EO5I6CR0IOWS98
Trestles Clo IV Ltd
89532WAA7
1170000.00000000
PA
USD
1159113.15000000
0.034523808511
Long
ABS-CBDO
CORP
KY
N
2
2034-07-21
Floating
1.42500000
N
N
N
N
N
N
Morgan Stanley & Co. International PLC
4PQUHN3JPFGFNF3BB653
PURCHASED RUB / SOLD USD
000000000
1.00000000
NC
17889.09000000
0.000532820732
N/A
DFE
RU
N
2
Morgan Stanley & Co. International PLC
4PQUHN3JPFGFNF3BB653
63936.00000000
USD
7000992.00000000
RUB
2022-05-25
17889.09000000
N
N
N
Romark CLO Ltd
549300HD9K8XL8QM2Z46
Romark CLO IV Ltd
77588LAL5
250000.00000000
PA
USD
248275.75000000
0.007394812534
Long
ABS-CBDO
CORP
KY
N
2
2034-07-10
Floating
5.23100000
N
N
N
N
N
N
Structured Adjustable Rate Mortgage Loan Trust
N/A
Structured Adjustable Rate Mortgage Loan Trust
863579Y69
200819.86000000
PA
USD
141609.27000000
0.004217786090
Long
ABS-MBS
CORP
US
N
2
2036-04-25
Variable
3.02000000
N
N
N
N
N
N
HCA Inc
L3CJ6J7LJ2DX62FTXD46
HCA Inc
404119BQ1
5229000.00000000
PA
USD
5505150.60000000
0.163969121687
Long
DBT
CORP
US
N
2
2025-04-15
Fixed
5.25000000
N
N
N
N
N
N
Diameter Capital CLO 1 Ltd.
25490018I1ROE4V49X69
Diameter Capital Clo 1 Ltd
25255DAA8
250000.00000000
PA
USD
249424.50000000
0.007429027680
Long
ABS-CBDO
CORP
KY
N
2
2036-07-15
Floating
1.48100000
N
N
N
N
N
N
Cordatus CLO PLC
549300830IXOSQG2RQ34
CVC Cordatus Loan Fund XXI DAC
000000000
250000.00000000
PA
254758.81000000
0.007587908370
Long
ABS-CBDO
CORP
IE
Y
2
2034-09-22
Floating
5.93000000
N
N
N
N
N
N
Citibank N.A.
E57ODZWZ7FF32TWEFA76
PURCHASED RUB / SOLD USD
000000000
1.00000000
NC
14790.56000000
0.000440532023
N/A
DFE
RU
N
2
Citibank N.A.
E57ODZWZ7FF32TWEFA76
42624.00000000
USD
4912416.00000000
RUB
2022-05-25
14790.56000000
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38379KHJ0
357540.67000000
PA
USD
9984.90000000
0.000297397001
Long
ABS-MBS
USGA
US
N
2
2050-02-16
Variable
0.68500000
N
N
N
N
N
N
Bank of America Corp
9DJT3UXIJIZJI4WXO774
Bank of America Corp
06051GGQ6
515000.00000000
PA
USD
515420.52000000
0.015351632699
Long
DBT
CORP
US
N
2
2023-07-21
Fixed
2.81600000
N
N
N
N
N
N
DIG INTL FIN/DIG INTL HL
N/A
Digicel International Finance Ltd/Digicel international Holdings Ltd
25381XAA1
243135.00000000
PA
USD
241919.33000000
0.007205488630
Long
DBT
CORP
XX
N
2
2024-05-25
Fixed
8.75000000
N
N
N
N
N
N
Ajax Mortgage Loan Trust
N/A
Ajax Mortgage Loan Trust 2019-E
00969TAC9
1212365.73000000
PA
USD
1140389.88000000
0.033966141998
Long
ABS-O
CORP
US
N
2
2059-09-25
None
0.00000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36200MHW6
12688.80000000
PA
USD
14033.24000000
0.000417975493
Long
ABS-MBS
USGA
US
N
2
2033-04-15
Fixed
5.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138W7G40
643165.06000000
PA
USD
640824.78000000
0.019086757832
Long
ABS-MBS
USGSE
US
N
2
2043-03-01
Fixed
3.00000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36213FZ22
143974.66000000
PA
USD
148277.09000000
0.004416384942
Long
ABS-MBS
USGA
US
N
2
2042-01-15
Fixed
3.50000000
N
N
N
N
N
N
Provident Funding Mortgage Warehouse Securitization Trust
N/A
Provident Funding Mortgage Warehouse Securitization Trust 2021-1
74387PAF9
211111.11000000
PA
USD
208073.98000000
0.006197415879
Long
ABS-MBS
CORP
US
N
2
2055-02-25
Floating
4.68700000
N
N
N
N
N
N
VISTRA CORP
549300KP43CPCUJOOG15
Vistra Corp
92840MAC6
420000.00000000
PA
USD
408975.00000000
0.012181187475
Long
DBT
CORP
US
N
2
2026-12-15
Fixed
7.00000000
N
N
N
N
N
N
BAE SYSTEMS PLC
8SVCSVKSGDWMW2QHOH83
BAE Systems PLC
05523RAD9
3360000.00000000
PA
USD
3310832.68000000
0.098612075497
Long
DBT
CORP
GB
N
2
2030-04-15
Fixed
3.40000000
N
N
N
N
N
N
NORTHERN STATES PWR-MINN
3S1GHB0TEH85KX44SB51
Northern States Power Co/MN
665772CN7
471000.00000000
PA
USD
485428.50000000
0.014458330129
Long
DBT
CORP
US
N
2
2045-08-15
Fixed
4.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31418EBJ8
788014.16000000
PA
USD
736363.46000000
0.021932346370
Long
ABS-MBS
USGSE
US
N
2
2042-02-01
Fixed
2.00000000
N
N
N
N
N
N
Citigroup Global Markets Inc.
MBNUM2BPBDO7JBLYG310
Citigroup Global Markets Inc.
000000000
300000.00000000
PA
USD
300000.00000000
0.008935402513
Long
RA
CORP
US
N
2
Repurchase
Y
0.30000000
2022-04-01
188570.40000000
USD
200613.66000000
USD
UST
107478.75000000
USD
105386.45000000
USD
CDS
N
N
FHLMC Multifamily Structured Pass Through Certs.
S6XOOCT0IEG5ABCC6L87
Freddie Mac Multifamily Structured Pass Through Certificates
3137F82T9
1299579.18000000
PA
USD
79815.08000000
0.002377266221
Long
ABS-MBS
USGSE
US
N
2
2030-11-25
Variable
0.88200000
N
N
N
N
N
N
MATTAMY GROUP CORP
5493008TNY7A82WCXU31
Mattamy Group Corp
57701RAJ1
604000.00000000
PA
USD
596202.36000000
0.017757693552
Long
DBT
CORP
CA
N
2
2027-12-15
Fixed
5.25000000
N
N
N
N
N
N
CAESARS ENTERTAIN INC
549300FA4CTCW903Y781
Caesars Entertainment Inc
28470RAK8
761000.00000000
PA
USD
815377.26000000
0.024285746727
Long
DBT
CORP
US
N
2
2027-07-01
Fixed
8.12500000
N
N
N
N
N
State of California
N/A
CALIFORNIA ST
13063DGE2
3765000.00000000
PA
USD
4118918.28000000
0.122680642501
Long
DBT
MUN
US
N
2
2038-04-01
Fixed
4.60000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140X83D7
999596.92000000
PA
USD
1018826.76000000
0.030345423972
Long
ABS-MBS
USGSE
US
N
2
2048-04-01
Fixed
3.50000000
N
N
N
N
N
N
ENERGY TRANSFER LP
MTLVN9N7JE8MIBIJ1H73
Energy Transfer LP
292480AH3
1506000.00000000
PA
USD
1514898.88000000
0.045120770864
Long
DBT
CORP
US
N
2
2024-05-15
Fixed
3.90000000
N
N
N
N
N
N
Citibank N.A.
E57ODZWZ7FF32TWEFA76
PURCHASED USD / SOLD BRL
000000000
1.00000000
NC
-35967.71000000
-0.00107128655
N/A
DFE
US
N
2
Citibank N.A.
E57ODZWZ7FF32TWEFA76
2642229.00000000
BRL
519000.00000000
USD
2022-04-04
-35967.71000000
N
N
N
GLP CAPITAL LP / FIN II
N/A
GLP Capital LP / GLP Financing II Inc
361841AR0
4371000.00000000
PA
USD
3965808.30000000
0.118120311501
Long
DBT
CORP
US
N
2
2032-01-15
Fixed
3.25000000
N
N
N
N
N
N
Dryden Senior Loan Fund
N/A
Dryden 53 CLO Ltd
26243EAA9
6020000.00000000
PA
USD
5994764.16000000
0.178552102469
Long
ABS-CBDO
CORP
KY
N
2
2031-01-15
Floating
1.36100000
N
N
N
N
N
N
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
Long: SRY0P3N46 IRS MXN R F 8.29000 2 CCPVANILLA / Short: SRY0P3N46 IRS MXN P V 01MTIIE 1 CCPVANILLA
000000000
46052000.00000000
OU
Notional Amount
23156.98000000
0.000689723124
N/A
DIR
US
N
2
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
N/A
N/A
Y
2032-03-30
744.20000000
MXN
0.00000000
MXN
46052000.00000000
MXN
23119.70000000
N
N
N
COMM Mortgage Trust
N/A
COMM 2015-LC21 Mortgage Trust
12593FBH6
1600000.00000000
PA
USD
1574522.40000000
0.046896638032
Long
ABS-MBS
CORP
US
N
2
2048-07-10
Variable
4.33400000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
31307NNV2
120209.18000000
PA
USD
119161.71000000
0.003549192809
Long
ABS-MBS
USGSE
US
N
2
2030-07-01
Fixed
2.50000000
N
N
N
N
N
N
L3HARRIS TECH INC
549300UTE50ZMDBG8A20
L3Harris Technologies Inc
502431AN9
2595000.00000000
PA
USD
2254729.79000000
0.067156394106
Long
DBT
CORP
US
N
2
2031-01-15
Fixed
1.80000000
N
N
N
N
N
N
Republic Finance Issuance Trust
N/A
Republic Finance Issuance Trust 2021-A
76042UAC7
170000.00000000
PA
USD
159937.04000000
0.004763672763
Long
ABS-O
CORP
US
N
2
2031-12-22
Fixed
3.53000000
N
N
N
N
N
N
AT&T Inc
549300Z40J86GGSTL398
AT&T Inc
00206RCP5
3354000.00000000
PA
USD
3553062.28000000
0.105826805419
Long
DBT
CORP
US
N
2
2035-05-15
Fixed
4.50000000
N
N
N
N
N
N
MASONITE INTERNATIONAL C
549300H0H07ZFT4JYM32
Masonite International Corp
575385AD1
219000.00000000
PA
USD
220642.50000000
0.006571765163
Long
DBT
CORP
CA
N
2
2028-02-01
Fixed
5.37500000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36179VMF4
619809.88000000
PA
USD
634110.41000000
0.018886772503
Long
ABS-MBS
USGA
US
N
2
2050-05-20
Fixed
4.00000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36179TNS0
302716.75000000
PA
USD
313470.68000000
0.009336622339
Long
ABS-MBS
USGA
US
N
2
2047-12-20
Fixed
4.00000000
N
N
N
N
N
N
AMER AIRLINE 17-1 AA PTT
N/A
American Airlines 2017-1 Class AA Pass Through Trust
023761AA7
305272.50000000
PA
USD
295671.83000000
0.008806489376
Long
DBT
CORP
US
N
2
2029-02-15
Fixed
3.65000000
N
N
N
N
N
N
Home Equity Mortgage Trust
N/A
Home Equity Mortgage Trust 2006-2
225470W25
525469.29000000
PA
USD
69129.37000000
0.002058995821
Long
ABS-MBS
CORP
US
N
2
2036-07-25
Variable
5.86700000
N
N
N
N
N
N
Barclays Bank PLC
G5GSEF7VJP5I7OUK5573
PURCHASED USD / SOLD MXN
000000000
1.00000000
NC
-8607.81000000
-0.00025638082
N/A
DFE
US
N
2
Barclays Bank PLC
G5GSEF7VJP5I7OUK5573
4433068.25000000
MXN
214271.44000000
USD
2022-04-01
-8607.81000000
N
N
N
Palmer Square CLO Ltd
549300IUW4WDDDVSMS20
Palmer Square CLO 2020-3 Ltd
69701RAL1
250000.00000000
PA
USD
248950.50000000
0.007414909744
Long
ABS-CBDO
CORP
KY
N
2
2031-11-15
Floating
1.58600000
N
N
N
N
N
N
Generate CLO Ltd.
N/A
Generate CLO 3 Ltd
98625UAW2
850000.00000000
PA
USD
847391.35000000
0.025239275994
Long
ABS-CBDO
CORP
KY
N
2
2029-10-20
Floating
2.00400000
N
N
N
N
N
N
GENERAL DYNAMICS CORP
9C1X8XOOTYY2FNYTVH06
General Dynamics Corp
369550BM9
834000.00000000
PA
USD
858934.89000000
0.025583096582
Long
DBT
CORP
US
N
2
2030-04-01
Fixed
3.62500000
N
N
N
N
N
N
Citibank N.A.
E57ODZWZ7FF32TWEFA76
PURCHASED MXN / SOLD USD
000000000
1.00000000
NC
19163.40000000
0.000570775641
N/A
DFE
MX
N
2
Citibank N.A.
E57ODZWZ7FF32TWEFA76
520000.00000000
USD
10723960.00000000
MXN
2022-04-01
19163.40000000
N
N
N
SONDER SECURED NOTES BND
N/A
SONDER SECURED NOTES BND
000000000
1388000.00000000
PA
USD
1301250.00000000
0.038757308400
Long
DBT
CORP
US
Y
3
2027-01-19
Variable
10.00000000
N
N
N
N
N
N
JP Morgan Chase Commercial Mortgage Sec Trust
N/A
JP Morgan Chase Commercial Mortgage Securities Trust 2021-MHC
466330AL1
787000.00000000
PA
USD
766273.96000000
0.022823220893
Long
ABS-MBS
CORP
US
N
2
2038-04-15
Floating
2.09700000
N
N
N
N
N
N
SASOL FINANCING USA LLC
549300XRB1PFMESFEL85
Sasol Financing USA LLC
80386WAD7
465000.00000000
PA
USD
434124.00000000
0.012930242268
Long
DBT
CORP
US
N
2
2031-03-18
Fixed
5.50000000
N
N
N
N
N
N
OCP CLO Ltd
254900U8BS6KLMI9K654
OCP CLO 2016-12 Ltd
67092RAE8
2088782.20000000
PA
USD
2088260.00000000
0.062198145506
Long
ABS-CBDO
CORP
KY
N
2
2028-10-18
Floating
1.36100000
N
N
N
N
N
N
CITIGROUP INC
6SHGI4ZSSLCXXQSBB395
Citigroup Inc
172967MV0
2981000.00000000
PA
USD
2809592.50000000
0.083682799617
Long
DBT
CORP
US
N
2
2026-02-18
Fixed
3.87500000
N
N
N
N
N
N
Palmer Square Loan Funding Ltd
N/A
Palmer Square Loan Funding 2021-4 Ltd
69702JAA2
270000.00000000
PA
USD
261969.66000000
0.007802681194
Long
ABS-CBDO
CORP
KY
N
2
2029-10-15
Floating
5.12800000
N
N
N
N
N
N
Olaplex, Inc
N/A
Olaplex, Inc 2022 Term Loan
67936UAB7
1949000.00000000
PA
USD
1946563.75000000
0.057977768745
Long
LON
CORP
US
N
2
2029-02-23
Floating
4.25000000
N
N
N
N
N
N
BURLINGTN NORTH SANTA FE
N/A
Burlington Northern Santa Fe LLC
12189LBH3
398000.00000000
PA
USD
352572.09000000
0.010501245130
Long
DBT
CORP
US
N
2
2052-06-15
Fixed
2.87500000
N
N
N
N
N
N
JPMORGAN CHASE & CO
8I5DZWZKVSZI1NUHU748
JPMorgan Chase & Co
46647PBH8
3385000.00000000
PA
USD
3263368.12000000
0.097198359002
Long
DBT
CORP
US
N
2
2026-03-13
Fixed
2.00500000
N
N
N
N
N
N
Ajax Mortgage Loan Trust
N/A
Ajax Mortgage Loan Trust 2021-E
009740AB7
744000.00000000
PA
USD
676904.59000000
0.020161383248
Long
ABS-O
CORP
US
N
2
2060-12-25
Variable
2.69300000
N
N
N
N
N
N
Anchorage Capital CLO LTD
5493008PWA7TS1SR9447
Anchorage Capital CLO 2013-1 Ltd
033292AQ6
835000.00000000
PA
USD
833055.29000000
0.024812281106
Long
ABS-CBDO
CORP
KY
N
2
2030-10-13
Floating
1.49400000
N
N
N
N
N
N
AEP TEXAS INC
5493001L78U618KXNZ75
AEP Texas Inc
00108WAN0
982000.00000000
PA
USD
869809.12000000
0.025906981989
Long
DBT
CORP
US
N
2
2051-05-15
Fixed
3.45000000
N
N
N
N
N
UMBS, TBA
N/A
Uniform Mortgage-Backed Security, TBA
01F032658
17600000.00000000
PA
USD
17569548.83000000
0.523303302565
Long
ABS-MBS
USGSE
US
N
2
2052-05-15
Fixed
3.50000000
N
N
N
N
N
N
UMBS, TBA
N/A
Uniform Mortgage-Backed Security, TBA
01F020653
56600000.00000000
PA
USD
52434959.39000000
1.561758226359
Long
ABS-MBS
USGSE
US
N
2
2052-05-15
Fixed
2.00000000
N
N
N
N
N
N
Mariner Finance Issuance Trust
N/A
Mariner Finance Issuance Trust 2019-A
56847MAB6
560000.00000000
PA
USD
549074.34000000
0.016354000791
Long
ABS-O
CORP
US
N
2
2032-07-20
Fixed
3.51000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140H6PA1
1455452.38000000
PA
USD
1470718.71000000
0.043804878858
Long
ABS-MBS
USGSE
US
N
2
2048-03-01
Fixed
3.50000000
N
N
N
N
N
N
Navient Student Loan Trust
N/A
Navient Private Education Refi Loan Trust 2021-D
63942CAB8
280000.00000000
PA
USD
262321.53000000
0.007813161528
Long
ABS-O
CORP
US
N
2
2060-04-15
Fixed
2.61000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae
21H040657
4100000.00000000
PA
USD
4164863.27000000
0.124049099098
Long
ABS-MBS
USGA
US
N
2
2052-05-19
Fixed
4.00000000
N
N
N
N
N
N
HomeToGo SE
2221001IK1TS34BCHL37
HomeToGo SE
000000000
3040.00000000
NS
1681.50000000
0.000050082931
N/A
DE
LU
N
1
N/A
N/A
Call
Purchased
LAKESTAR SPAC I SE
LAKESTAR SPAC I SE
11.50000000
11.50000000
EUR
2025-12-31
XXXX
1681.47000000
N
N
N
RAYTHEON TECH CORP
I07WOS4YJ0N7YRFE7309
Raytheon Technologies Corp
75513EBZ3
1810000.00000000
PA
USD
2169907.28000000
0.064629983209
Long
DBT
CORP
US
N
2
2028-11-01
Fixed
7.00000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
3132KEYV1
183710.14000000
PA
USD
185758.19000000
0.005532747325
Long
ABS-MBS
USGSE
US
N
2
2030-01-01
Fixed
3.00000000
N
N
N
N
N
N
Ajax Mortgage Loan Trust
N/A
Ajax Mortgage Loan Trust 2018-B
00969FAB1
61247.70000000
PA
USD
36561.36000000
0.001088968226
Long
ABS-O
CORP
US
N
2
2057-02-26
None
0.00000000
N
N
N
N
N
N
TEGNA INC
549300YC5EDBGX85AO10
TEGNA Inc
87901JAJ4
832000.00000000
PA
USD
827607.04000000
0.024650006750
Long
DBT
CORP
US
N
2
2028-03-15
Fixed
4.62500000
N
N
N
N
N
Great Lakes CLO Ltd
N/A
Great Lakes CLO 2019-1 Ltd
390578AL6
730000.00000000
PA
USD
725830.24000000
0.021618617835
Long
ABS-CBDO
CORP
KY
N
2
2031-07-15
Floating
1.80100000
N
N
N
N
N
N
GOL FINANCE SA
5299007RH8MA67ZC6J07
Gol Finance SA
36254VAA6
800000.00000000
PA
USD
664000.00000000
0.019777024229
Long
DBT
CORP
LU
N
2
2025-01-31
Fixed
7.00000000
N
N
N
N
N
N
Aimco
N/A
AIMCO CLO Series 2018-B
00900PAL9
940000.00000000
PA
USD
936632.92000000
0.027897307157
Long
ABS-CBDO
CORP
KY
N
2
2032-01-15
Floating
1.34100000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138EEHB8
28925.27000000
PA
USD
29502.25000000
0.000878714929
Long
ABS-MBS
USGSE
US
N
2
2042-06-01
Fixed
3.50000000
N
N
N
N
N
N
Fidelity Grand Harbour CLO
635400KPYNGCFZ6MDR25
Fidelity Grand Harbour CLO 2021-1 DAC
000000000
250000.00000000
PA
269564.86000000
0.008028901758
Long
ABS-CBDO
CORP
IE
N
2
2034-10-15
Floating
3.60000000
N
N
N
N
N
N
LYB INT FINANCE III
N/A
LYB International Finance III LLC
50249AAD5
813000.00000000
PA
USD
802960.81000000
0.023915926798
Long
DBT
CORP
US
N
2
2050-05-01
Fixed
4.20000000
N
N
N
N
N
N
UBS Switzerland AG
BFM8T61CT2L1QCEMIK50
BRWYZEZN4 BLACKROCK FXVAN PUT EUR SEK 10.5000000
000000000
1233000.00000000
OU
Notional Amount
19296.59000000
0.000574742662
N/A
DFE
US
N
2
UBS Switzerland AG
BFM8T61CT2L1QCEMIK50
Put
Purchased
UBS AG
BFM8T61CT2L1QCEMIK50
UBS AG
BFM8T61CT2L1QCEMIK50
FX Contract
N/A
1.00000000
NC
USD
19296.59000000
0.00000000
DFE
XX
12946500.00000000
SEK
1233000.00000000
EUR
2022-04-28
1.00000000
10.50000000
EUR
2022-04-28
XXXX
8109.81000000
N
N
N
OFFICE CHERIFIEN DES PHO
213800D26TAPVTCVWG40
OCP SA
000000000
308000.00000000
PA
USD
278740.00000000
0.008302180321
Long
DBT
CORP
MA
Y
2
2031-06-23
Fixed
3.75000000
N
N
N
N
N
N
Medline Borrower, LP
N/A
Medline Borrower, LP USD Term Loan B
58503UAC7
3583000.00000000
PA
USD
3549398.63000000
0.105717684795
Long
LON
CORP
US
N
2
2028-10-23
Floating
3.75000000
N
N
N
N
N
N
Ziggo Bond Co BV
213800JYI4P7V5QDOG59
Ziggo Bond Co BV
98954UAB9
178000.00000000
PA
USD
179112.50000000
0.005334807608
Long
DBT
CORP
NL
N
2
2027-01-15
Fixed
6.00000000
N
N
N
N
N
N
Oportun Funding LLC
N/A
Oportun Issuance Trust 2021-C
68377WAB7
1191000.00000000
PA
USD
1124367.00000000
0.033488905724
Long
ABS-O
CORP
US
N
2
2031-10-08
Fixed
2.67000000
N
N
N
N
N
N
Cedar Funding Ltd
254900Q56WTD2BRLBE32
Cedar Funding II CLO Ltd
15032TBG0
510000.00000000
PA
USD
494093.10000000
0.014716402424
Long
ABS-CBDO
CORP
KY
N
2
2034-04-20
Floating
1.60400000
N
N
N
N
N
N
PETROLEOS MEXICANOS
549300CAZKPF4HKMPX17
Petroleos Mexicanos
71654QDD1
452000.00000000
PA
USD
394935.00000000
0.011763010638
Long
DBT
CORP
MX
N
2
2050-01-23
Fixed
7.69000000
N
N
N
N
N
N
BANK OF AMERICA CORP
9DJT3UXIJIZJI4WXO774
Bank of America Corp
06051GJB6
650000.00000000
PA
USD
599668.21000000
0.017860922768
Long
DBT
CORP
US
N
2
2031-04-29
Fixed
2.59200000
N
N
N
N
N
N
Credit Suisse First Boston Mortgage Securities
N/A
Credit Suisse First Boston Mortgage Securities Corp
22540VHP0
499549.77000000
PA
USD
491592.84000000
0.014641932993
Long
ABS-O
CORP
US
N
2
2031-09-25
Variable
8.10000000
N
N
N
N
N
N
TPG Pace Beneficial Finance Corp
N/A
TPG Pace Beneficial Finance Corp
000000000
8740.00000000
NS
USD
5593.60000000
0.000166603558
N/A
DE
KY
N
1
N/A
N/A
Call
Purchased
TPG Pace Beneficial Finance Corp
TPG Pace Beneficial Finance Corp
11.50000000
11.50000000
USD
2027-10-09
XXXX
-57165.44000000
N
N
N
Banc of America Merrill Lynch Large Loan Inc
N/A
BAMLL Commercial Mortgage Securities Trust 2017-SCH
054966AW6
630000.00000000
PA
USD
521079.30000000
0.015520177622
Long
ABS-MBS
CORP
US
N
2
2032-11-15
Floating
2.39700000
N
N
N
N
N
N
NATIONAL RETAIL PROP INC
5493008JKH5SOTI0JS97
National Retail Properties Inc
637417AR7
439000.00000000
PA
USD
352020.84000000
0.010484826328
Long
DBT
US
N
2
2052-04-15
Fixed
3.00000000
N
N
N
N
N
N
AEP Transmission Co LLC
549300X123Z1I0LA3Y84
AEP Transmission Co LLC
00115AAM1
1032000.00000000
PA
USD
995343.70000000
0.029645988661
Long
DBT
CORP
US
N
2
2050-04-01
Fixed
3.65000000
N
N
N
N
N
N
MIZUHO FINANCIAL GROUP
353800CI5L6DDAN5XZ33
Mizuho Financial Group Inc
60687YBH1
851000.00000000
PA
USD
755775.58000000
0.022510530056
Long
DBT
CORP
JP
N
2
2031-07-10
Fixed
2.20100000
N
N
N
N
N
N
Pivotal Investment Corp III
N/A
Pivotal Investment Corp III
72582M205
26099.00000000
NS
USD
254987.23000000
0.007594711785
Long
EC
CORP
US
Y
1
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138XR3E7
343866.50000000
PA
USD
347144.09000000
0.010339573913
Long
ABS-MBS
USGSE
US
N
2
2029-05-01
Fixed
3.00000000
N
N
N
N
N
N
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
Long: SRWXPVFS0 IRS MXN R F 7.56500 2 CCPVANILLA / Short: SRWXPVFS0 IRS MXN P V 01MTIIE 1 CCPVANILLA
000000000
44332000.00000000
OU
Notional Amount
-89503.41000000
-0.00266582998
N/A
DIR
US
N
2
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
N/A
N/A
Y
2032-01-12
289.41000000
MXN
0.00000000
MXN
44332000.00000000
MXN
-89517.72000000
N
N
N
Wells Fargo Commercial Mortgage Trust
N/A
Wells Fargo Commercial Mortgage Trust 2020-SDAL
95002GAG7
300000.00000000
PA
USD
287985.90000000
0.008577566448
Long
ABS-MBS
CORP
US
N
2
2037-02-15
Floating
2.48700000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138E7AT1
863278.15000000
PA
USD
899856.90000000
0.026801945352
Long
ABS-MBS
USGSE
US
N
2
2042-02-01
Fixed
4.00000000
N
N
N
N
N
N
BAUSCH HEALTH AMERICAS
KOO0397YRO83WY5MGD97
Bausch Health Americas Inc
91911XAV6
639000.00000000
PA
USD
654438.24000000
0.019492230314
Long
DBT
CORP
US
N
2
2026-04-01
Fixed
9.25000000
N
N
N
N
N
N
SMB Private Education Loan Trust
N/A
SMB Private Education Loan Trust 2021-A
78448YAD3
760000.00000000
PA
USD
709774.49000000
0.021140402538
Long
ABS-O
CORP
US
N
2
2053-01-15
Fixed
2.31000000
N
N
N
N
N
N
AGL Core CLO 15 Ltd
5493001O95I190NV0196
AGL Core CLO 15 Ltd
00121GAA6
250000.00000000
PA
USD
247510.75000000
0.007372027258
Long
ABS-CBDO
CORP
KY
N
2
2035-01-20
Floating
1.26700000
N
N
N
N
N
N
MORGAN STANLEY
IGJSJL3JD5P30I6NJZ34
Morgan Stanley
6174468L6
6493000.00000000
PA
USD
6092813.04000000
0.181472456498
Long
DBT
CORP
US
N
2
2031-01-22
Fixed
2.69900000
N
N
N
N
N
N
CHARTER COMM OPT LLC/CAP
N/A
Charter Communications Operating LLC / Charter Communications Operating Capital
161175CG7
1859000.00000000
PA
USD
1503303.07000000
0.044775393432
Long
DBT
CORP
US
N
2
2062-06-30
Fixed
3.95000000
N
N
N
N
N
N
Generate CLO Ltd.
N/A
Generate CLO 3 Ltd
98625UAU6
624031.75000000
PA
USD
622906.00000000
0.018553052792
Long
ABS-CBDO
CORP
KY
N
2
2029-10-20
Floating
1.50400000
N
N
N
N
N
N
Nelnet Student Loan Trust
N/A
Nelnet Student Loan Trust 2021-D
64034YAC5
1640000.00000000
PA
USD
1533498.89000000
0.045674766118
Long
ABS-O
CORP
US
N
2
2062-04-20
Fixed
2.90000000
N
N
N
N
N
N
J.P. Morgan Alternative Loan Trust
N/A
JP Morgan Alternative Loan Trust 2007-A2
466278AR9
160343.83000000
PA
USD
146397.00000000
0.004360387072
Long
ABS-MBS
CORP
US
N
2
2037-05-25
Variable
3.25000000
N
N
N
N
N
N
MFT Trust
N/A
MFT Trust 2020-ABC
55317BAG2
1321000.00000000
PA
USD
1153013.32000000
0.034342127057
Long
ABS-MBS
CORP
US
N
2
2042-02-10
Variable
3.47700000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140HBPX0
62020.68000000
PA
USD
64836.09000000
0.001931121871
Long
ABS-MBS
USGSE
US
N
2
2048-03-01
Fixed
4.50000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
3132M4QV0
68461.48000000
PA
USD
69762.46000000
0.002077852201
Long
ABS-MBS
USGSE
US
N
2
2044-01-01
Fixed
3.50000000
N
N
N
N
N
N
DELL INT LLC / EMC CORP
N/A
Dell International LLC / EMC Corp
24703TAE6
1374000.00000000
PA
USD
1441181.32000000
0.042925117295
Long
DBT
CORP
US
N
2
2026-10-01
Fixed
4.90000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138ERQ52
932736.67000000
PA
USD
991522.43000000
0.029532173376
Long
ABS-MBS
USGSE
US
N
2
2045-11-01
Fixed
4.50000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
31307JA60
144213.26000000
PA
USD
142839.49000000
0.004254427793
Long
ABS-MBS
USGSE
US
N
2
2029-08-01
Fixed
2.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140XBNR7
24138903.09000000
PA
USD
24203014.81000000
0.720878931193
Long
ABS-MBS
USGSE
US
N
2
2051-01-01
Fixed
3.50000000
N
N
N
N
N
N
Parallel Ltd
549300IVH7GEF68EFD31
Parallel 2015-1 Ltd
69915VAS9
350000.00000000
PA
USD
347858.70000000
0.010360858340
Long
ABS-CBDO
CORP
KY
N
2
2027-07-20
Floating
2.00400000
N
N
N
N
N
N
ANHEUSER-BUSCH INBEV WOR
549300CRGMZK3K53BF92
Anheuser-Busch InBev Worldwide Inc
035240AL4
4844000.00000000
PA
USD
5019163.93000000
0.149494166646
Long
DBT
CORP
US
N
2
2028-04-13
Fixed
4.00000000
N
N
N
N
N
N
CLEAN HARBORS INC
5493000SJVZVZJKHJF48
Clean Harbors Inc
184496AN7
142000.00000000
PA
USD
141645.00000000
0.004218850296
Long
DBT
CORP
US
N
2
2027-07-15
Fixed
4.87500000
N
N
N
N
N
N
Goldman Home Improvement Trust Issuer Trust
N/A
Goldman Home Improvement Trust 2021-GRN2 Issuer Trust
38149XAB5
403000.00000000
PA
USD
370035.77000000
0.011021395163
Long
ABS-O
CORP
US
N
2
2051-06-25
Fixed
1.97000000
N
N
N
N
N
N
OHA Loan Funding Ltd
N/A
OHA Loan Funding 2013-2 Ltd
67104LAE7
5670000.00000000
PA
USD
5650041.60000000
0.168284653039
Long
ABS-CBDO
CORP
KY
N
2
2031-05-23
Floating
1.50400000
N
N
N
N
N
N
CREDIT SUISSE NEW YORK
549300D0YARF5HYP1809
Credit Suisse AG/New York NY
22546QAP2
1166000.00000000
PA
USD
1179375.27000000
0.035127309171
Long
DBT
CORP
CH
N
2
2024-09-09
Fixed
3.62500000
N
N
N
N
N
N
ICG US CLO Ltd
254900IL8TH4VLG5DO47
ICG US CLO 2015-1 Ltd
44931AAJ8
1052302.28000000
PA
USD
1051604.60000000
0.031321701285
Long
ABS-CBDO
CORP
KY
N
2
2028-10-19
Floating
1.38800000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138WAFC6
823568.44000000
PA
USD
832123.27000000
0.024784521193
Long
ABS-MBS
USGSE
US
N
2
2028-11-01
Fixed
3.00000000
N
N
N
N
N
N
Oportun Funding LLC
N/A
Oportun Issuance Trust 2021-B
68377GAC0
100000.00000000
PA
USD
97284.00000000
0.002897572326
Long
ABS-O
CORP
US
N
2
2031-05-08
Fixed
3.65000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Pool
3133KYWE5
479396.14000000
PA
USD
448929.95000000
0.013371232678
Long
ABS-MBS
USGSE
US
N
2
2042-02-01
Fixed
2.00000000
N
N
N
N
N
N
Bank of America N.A.
B4TYDEB6GKMZO031MB27
PURCHASED USD / SOLD EUR
000000000
1.00000000
NC
3792.72000000
0.000112964932
N/A
DFE
US
N
2
Bank of America N.A.
B4TYDEB6GKMZO031MB27
925000.00000000
EUR
1027073.75000000
USD
2022-04-01
3792.72000000
N
N
N
AbbVie Inc
FR5LCKFTG8054YNNRU85
AbbVie Inc
00287YAW9
1480000.00000000
PA
USD
1572624.14000000
0.046840098975
Long
DBT
CORP
US
N
2
2046-05-14
Fixed
4.45000000
N
N
N
N
N
N
BX Trust
N/A
BX Trust 2021-LBA
05609BBM0
1110000.00000000
PA
USD
1068305.63000000
0.031819136036
Long
ABS-MBS
CORP
US
Y
2
2036-02-15
Floating
3.39700000
N
N
N
N
N
N
GOLDMAN SACHS GROUP INC
784F5XWPLTWKTBV3E584
Goldman Sachs Group Inc/The
38143U8H7
1568000.00000000
PA
USD
1592729.90000000
0.047438942503
Long
DBT
CORP
US
N
2
2026-02-25
Fixed
3.75000000
N
N
N
N
N
N
LSTAR Commercial Mortgage Trust
549300MAI3U5Y4VL8H37
LSTAR Commercial Mortgage Trust 2015-3
54910JAN4
68951.55000000
PA
USD
68058.72000000
0.002027106859
Long
ABS-MBS
CORP
US
N
2
2048-04-20
Variable
3.16500000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140QMJZ8
3121780.54000000
PA
USD
2901241.73000000
0.086412542151
Long
ABS-MBS
USGSE
US
N
2
2051-11-01
Fixed
2.00000000
N
N
N
N
N
N
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
Long: SRWY6ZLR5 IRS MXN R F 7.53000 2 CCPVANILLA / Short: SRWY6ZLR5 IRS MXN P V 01MTIIE 1 CCPVANILLA
000000000
26050000.00000000
OU
Notional Amount
-56207.03000000
-0.00167410812
N/A
DIR
US
N
2
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
N/A
N/A
Y
2032-01-23
414.95000000
MXN
0.00000000
MXN
26050000.00000000
MXN
-56227.04000000
N
N
N
RAYTHEON TECH CORP
I07WOS4YJ0N7YRFE7309
Raytheon Technologies Corp
75513ECL3
1750000.00000000
PA
USD
1471734.04000000
0.043835120132
Long
DBT
CORP
US
N
2
2051-09-01
Fixed
2.82000000
N
N
N
N
N
N
UNITED AIR 2020-1 B PTT
N/A
United Airlines 2020-1 Class B Pass Through Trust
90932VAA3
548640.00000000
PA
USD
541478.44000000
0.016127759378
Long
DBT
CORP
US
N
2
2026-01-15
Fixed
4.87500000
N
N
N
N
N
N
Bain Capital Credit CLO, Limited
N/A
Bain Capital Credit CLO 2018-2
05682VAE5
250000.00000000
PA
USD
249083.50000000
0.007418871106
Long
ABS-CBDO
CORP
KY
N
2
2031-07-19
Floating
1.84800000
N
N
N
N
N
N
GOLDMAN SACHS GROUP INC
784F5XWPLTWKTBV3E584
Goldman Sachs Group Inc/The
38141GWL4
685000.00000000
PA
USD
685785.83000000
0.020425908096
Long
DBT
CORP
US
N
2
2028-06-05
Fixed
3.69100000
N
N
N
N
N
N
CIFC Funding Ltd
N/A
CIFC Funding 2021-V Ltd
12565EAA9
280000.00000000
PA
USD
276948.00000000
0.008248806183
Long
ABS-CBDO
CORP
KY
N
2
2034-07-15
Floating
1.38100000
N
N
N
N
N
N
Velocity Commercial Capital Loan Trust
N/A
Velocity Commercial Capital Loan Trust 2020-1
92259LAH1
172679.78000000
PA
USD
163987.48000000
0.004884313803
Long
ABS-MBS
CORP
US
N
2
2050-02-25
Variable
2.98000000
N
N
N
N
N
N
ECOPETROL SA
254900IDGKCJICKBPA66
Ecopetrol SA
279158AN9
1287000.00000000
PA
USD
1350474.84000000
0.040223454264
Long
DBT
CORP
CO
N
2
2030-04-29
Fixed
6.87500000
N
N
N
N
N
N
Metropolitan Transportation Authority
5493000TKYODLXADQD60
MET TRANSPRTN AUTH NY REVENUE
59259YBY4
170000.00000000
PA
USD
213993.13000000
0.006373715838
Long
DBT
MUN
US
N
2
2039-11-15
Fixed
6.66800000
N
N
N
N
N
N
SCIENTIFIC GAMES INTERNA
RLTHESQ0RNFQJWPBJN60
Scientific Games International Inc
80874YAW0
142000.00000000
PA
USD
145550.00000000
0.004335159452
Long
DBT
CORP
US
N
2
2025-10-15
Fixed
5.00000000
N
N
N
N
N
N
Sound Point CLO LTD
549300YVZ0M0XDDYS744
Sound Point Clo XV Ltd
83609RAL5
234756.88000000
PA
USD
233437.78000000
0.006952868420
Long
ABS-CBDO
CORP
KY
N
2
2029-01-23
Floating
1.15900000
N
N
N
N
N
N
VISTRA CORP
549300ZH5GKBTJZ7NM23
Vistra Operations Co LLC
92840VAE2
2473000.00000000
PA
USD
2387033.85000000
0.071097027540
Long
DBT
CORP
US
N
2
2029-07-15
Fixed
4.30000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140XFFP1
1526673.84000000
PA
USD
1422105.90000000
0.042356962109
Long
ABS-MBS
USGSE
US
N
2
2052-01-01
Fixed
2.00000000
N
N
N
N
N
N
Emerald Technologies (U.S.) Acquisitionco, Inc
N/A
Emerald Technologies (U.S.) Acquisitionco, Inc Term Loan
29102UAB5
613000.00000000
PA
USD
603805.00000000
0.017984135714
Long
LON
CORP
US
N
2
2027-12-29
Floating
7.25000000
N
N
N
N
N
N
COMMERCIAL METALS CO
549300OQS2LO07ZJ7N73
Commercial Metals Co
201723AR4
614000.00000000
PA
USD
570252.50000000
0.016984785405
Long
DBT
CORP
US
N
2
2032-03-15
Fixed
4.37500000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31417KZW0
402856.25000000
PA
USD
428692.74000000
0.012768473954
Long
ABS-MBS
USGSE
US
N
2
2039-08-01
Fixed
4.50000000
N
N
N
N
N
N
Options Clearing Corp.
549300CII6SLYGKNHA04
OCCIDENTAL PETROLEUM CORP MAY22 55 CALL
000000000
242.00000000
NC
USD
142780.00000000
0.004252655902
N/A
DE
US
N
1
Options Clearing Corp.
549300CII6SLYGKNHA04
Call
Purchased
Occidental Petroleum Corp
Occidental Petroleum Corp
100.00000000
55.00000000
USD
2022-05-20
XXXX
82577.44000000
N
N
N
Citibank N.A.
E57ODZWZ7FF32TWEFA76
PURCHASED USD / SOLD CLP
000000000
1.00000000
NC
333.61000000
0.000009936465
N/A
DFE
US
N
2
Citibank N.A.
E57ODZWZ7FF32TWEFA76
395827000.00000000
CLP
502000.00000000
USD
2022-04-20
333.61000000
N
N
N
Sequoia Mortgage Trust
N/A
Sequoia Mortgage Trust 2007-3
81744MAM4
191514.10000000
PA
USD
167760.30000000
0.004996686020
Long
ABS-MBS
CORP
US
N
2
2037-07-20
Variable
2.64900000
N
N
N
N
N
N
ALTRIA GROUP INC
XSGZFLO9YTNO9VCQV219
Altria Group Inc
02209SBM4
829000.00000000
PA
USD
680315.38000000
0.020262972520
Long
DBT
CORP
US
N
2
2041-02-04
Fixed
3.40000000
N
N
N
N
N
N
Ajax Mortgage Loan Trust
N/A
Ajax Mortgage Loan Trust 2018-F
00969JAE7
79903.56000000
PA
USD
53522.69000000
0.001594155929
Long
ABS-O
CORP
US
N
2
2058-11-25
None
0.00000000
N
N
N
N
N
N
Trestles CLO LTD
N/A
TRESTLES CLO III LTD
89532TAE6
520000.00000000
PA
USD
515212.36000000
0.015345432721
Long
ABS-CBDO
CORP
KY
N
2
2033-01-20
Floating
2.10400000
N
N
N
N
N
N
Romark CLO Ltd
549300HD9K8XL8QM2Z46
Romark CLO IV Ltd
77588LAG6
310000.00000000
PA
USD
299399.55000000
0.008917518304
Long
ABS-CBDO
CORP
KY
N
2
2034-07-10
Floating
3.43100000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138ERRX0
198553.81000000
PA
USD
210768.89000000
0.006277682897
Long
ABS-MBS
USGSE
US
N
2
2045-11-01
Fixed
4.50000000
N
N
N
N
N
N
Barclays Bank PLC
G5GSEF7VJP5I7OUK5573
PURCHASED TRY / SOLD USD
000000000
1.00000000
NC
325.13000000
0.000009683891
N/A
DFE
TR
N
2
Barclays Bank PLC
G5GSEF7VJP5I7OUK5573
10753.35000000
USD
171164.08000000
TRY
2022-06-08
325.13000000
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140QAAJ9
72352.27000000
PA
USD
74458.67000000
0.002217727290
Long
ABS-MBS
USGSE
US
N
2
2048-05-01
Fixed
4.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140XFGV7
2160524.42000000
PA
USD
2008521.74000000
0.059823167344
Long
ABS-MBS
USGSE
US
N
2
2051-12-01
Fixed
2.00000000
N
N
N
N
N
N
Citibank N.A.
E57ODZWZ7FF32TWEFA76
BRY0HFQS2 BLACKROCK CALL USD 115.0000000 20220520
000000000
27200.00000000
NC
USD
114307.48000000
0.003404611146
N/A
DE
US
N
1
Citibank N.A.
E57ODZWZ7FF32TWEFA76
Call
Purchased
CF Industries Holdings Inc
CF Industries Holdings Inc
1.00000000
115.00000000
USD
2022-05-20
XXXX
-62492.52000000
N
N
N
Bausch Health Cos Inc
B3BS7ACMDUWISF18KY76
Bausch Health Cos Inc
071734AD9
308000.00000000
PA
USD
275746.24000000
0.008213012152
Long
DBT
CORP
CA
N
2
2028-01-15
Fixed
7.00000000
N
N
N
N
N
N
ENTERPRISE PRODUCTS OPER
5493004LGN656HWLDA30
Enterprise Products Operating LLC
29379VAT0
910000.00000000
PA
USD
1078815.88000000
0.032132180417
Long
DBT
CORP
US
N
2
2041-02-01
Fixed
5.95000000
N
N
N
N
N
N
Science Strategic Acquisition Corp Alpha
N/A
Science Strategic Acquisition Corp Alpha
808641112
9181.00000000
NS
USD
2023.49000000
0.000060268992
N/A
DE
US
N
1
N/A
N/A
Call
Purchased
Advanced Micro Devices Inc
Advanced Micro Devices Inc
11.50000000
11.50000000
USD
2027-12-31
XXXX
-4503.61000000
N
N
N
Citibank N.A.
E57ODZWZ7FF32TWEFA76
PURCHASED MXN / SOLD USD
000000000
1.00000000
NC
22950.60000000
0.000683576163
N/A
DFE
MX
N
2
Citibank N.A.
E57ODZWZ7FF32TWEFA76
525000.00000000
USD
10898737.50000000
MXN
2022-04-01
22950.60000000
N
N
N
CHEVRON USA INC
VA8TZDWPEZYU430RZ444
Chevron USA Inc
166756AH9
672000.00000000
PA
USD
544076.71000000
0.016205148006
Long
DBT
CORP
US
N
2
2050-08-12
Fixed
2.34300000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Pool
3132DMRT4
8044831.37000000
PA
USD
8034793.67000000
0.239313718503
Long
ABS-MBS
USGSE
US
N
2
2044-06-01
Fixed
3.00000000
N
N
N
N
N
N
Madison Park Funding Ltd
254900B0583OW8RQ8N33
Madison Park Funding XXV Ltd
55820RAL6
250000.00000000
PA
USD
249909.75000000
0.007443480693
Long
ABS-CBDO
CORP
KY
N
2
2029-04-25
Floating
1.90800000
N
N
N
N
N
N
Offerpad Solutions Inc
N/A
Offerpad Solutions Inc
67623L117
31569.00000000
NS
USD
25570.89000000
0.000761620649
N/A
DE
US
N
1
N/A
N/A
Call
Purchased
Offerpad Solutions Inc
Offerpad Solutions Inc
11.50000000
11.50000000
USD
2026-09-01
XXXX
-50657.81000000
N
N
N
BlueMountain EUR CLO
635400FUA3XKDDGLJL55
Bluemountain Euro 2021-2 CLO DAC
000000000
560000.00000000
PA
604996.75000000
0.018019631601
Long
ABS-CBDO
CORP
IE
N
2
2035-10-15
Floating
1.75000000
N
N
N
N
N
N
AIG CLO LTD
549300BOP4S1F44PKE29
AIG CLO 2018-1 LLC
00141UAC7
250000.00000000
PA
USD
249366.50000000
0.007427300169
Long
ABS-CBDO
CORP
KY
N
2
2032-04-20
Floating
1.37400000
N
N
N
N
N
N
CROWN CASTLE INTL CORP
54930012H97VSM0I2R19
Crown Castle International Corp
22822VAR2
1604000.00000000
PA
USD
1533950.19000000
0.045688207942
Long
DBT
US
N
2
2030-07-01
Fixed
3.30000000
N
N
N
N
N
N
DIG INTL FIN/DIG INTL HL
N/A
Digicel International Finance Ltd/Digicel international Holdings Ltd
25381XAC7
97061.00000000
PA
USD
90025.05000000
0.002681366860
Long
DBT
CORP
XX
N
2
2026-12-31
Fixed
8.00000000
N
N
N
N
N
N
HSBC HOLDINGS PLC
MLU0ZO3ML4LN2LL2TL39
HSBC Holdings PLC
404280CV9
1186000.00000000
PA
USD
1066766.07000000
0.031773280742
Long
DBT
CORP
GB
N
2
2029-08-17
Fixed
2.20600000
N
N
N
N
N
N
INDONESIA GOVERNMENT
529900FWX0GRR7WG5W79
Indonesia Treasury Bond
000000000
14950000000.00000000
PA
1140280.35000000
0.033962879683
Long
DBT
NUSS
ID
N
2
2034-03-15
Fixed
8.37500000
N
N
N
N
N
N
Southwestern Energy Company
EFWMP121W54QV9MGOP87
Southwestern Energy Company 2021 Term Loan
84546SAU7
692265.00000000
PA
USD
687938.34000000
0.020490019906
Long
LON
CORP
US
N
2
2027-06-22
Floating
3.30100000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Pool
3132DMRF4
725065.85000000
PA
USD
732179.09000000
0.021807716269
Long
ABS-MBS
USGSE
US
N
2
2046-09-01
Fixed
3.50000000
N
N
N
N
N
N
Deutsche Bank AG
7LTWFZYICNSX8D621K86
Long: BRT7MBEL4 CDS USD R V 01MEVENT 1 CMBX / Short: BRT7MBEL4 CDS USD P F .50000 2 CMBX
000000000
2340000.00000000
OU
Notional Amount
USD
-1861.26000000
-0.00005543702
N/A
DCR
US
N
2
Deutsche Bank AG
7LTWFZYICNSX8D621K86
CMBX.NA.AAA.6
137BENAF3
Y
buy protection
2063-05-11
0.00000000
USD
-883.14000000
USD
2340000.00000000
USD
-978.12000000
N
N
N
United States Treasury
254900HROIFWPRGM1V77
United States Treasury Note/Bond
912828WZ9
14119000.00000000
PA
USD
14136056.03000000
0.421037835252
Long
DBT
UST
US
N
2
2022-04-30
Fixed
1.75000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138WFNC6
301709.87000000
PA
USD
298880.56000000
0.008902060356
Long
ABS-MBS
USGSE
US
N
2
2030-09-01
Fixed
2.50000000
N
N
N
N
N
N
GOLDMAN SACHS GROUP INC
784F5XWPLTWKTBV3E584
Goldman Sachs Group Inc/The
38141GZP2
7038000.00000000
PA
USD
7029082.01000000
0.209358923523
Long
DBT
CORP
US
N
2
2024-03-15
Fixed
3.00000000
N
N
N
N
N
N
GENERAL MOTORS FINL CO
5493008B6JBRUJ90QL97
General Motors Financial Co Inc
37045XAS5
2190000.00000000
PA
USD
2216911.14000000
0.066029977905
Long
DBT
CORP
US
N
2
2025-01-15
Fixed
4.00000000
N
N
N
N
N
N
RELX Capital Inc
2R15C3RTKJN1RCBOV146
RELX Capital Inc
74949LAB8
355000.00000000
PA
USD
358041.55000000
0.010664151218
Long
DBT
CORP
US
N
2
2023-03-16
Fixed
3.50000000
N
N
N
N
N
N
CHARLES SCHWAB CORP
549300VSGCJ7E698NM85
Charles Schwab Corp/The
808513BJ3
2100000.00000000
PA
USD
1886052.00000000
0.056175445935
Long
DBT
CORP
US
N
2
2030-12-01
Fixed
4.00000000
N
N
N
N
N
N
PETROLEOS MEXICANOS
549300CAZKPF4HKMPX17
Petroleos Mexicanos
71654QDF6
176000.00000000
PA
USD
142843.36000000
0.004254543059
Long
DBT
CORP
MX
N
2
2060-01-28
Fixed
6.95000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36179UQ62
290724.43000000
PA
USD
302330.63000000
0.009004819570
Long
ABS-MBS
USGA
US
N
2
2049-04-20
Fixed
4.50000000
N
N
N
N
N
N
Galaxy CLO Ltd
54930022KENWLYJ8SJ86
Galaxy XXII CLO Ltd
36320TAV5
660000.00000000
PA
USD
654589.98000000
0.019496749841
Long
ABS-CBDO
CORP
KY
N
2
2034-04-16
Floating
1.44100000
N
N
N
N
N
N
JPMBB Commercial Mortgage Securities Trust
N/A
JPMBB Commercial Mortgage Securities Trust 2014-C22
46642NBF2
1285444.69000000
PA
USD
19934.16000000
0.000593732477
Long
ABS-MBS
CORP
US
N
2
2047-09-15
Variable
0.81800000
N
N
N
N
N
N
Oportun Funding LLC
N/A
Oportun Issuance Trust 2021-C
68377WAA9
2500000.00000000
PA
USD
2354214.25000000
0.070119506419
Long
ABS-O
CORP
US
N
2
2031-10-08
Fixed
2.18000000
N
N
N
N
N
N
APPLE INC
HWUPKR0MPOU8FGXBT394
Apple Inc
037833EA4
1221000.00000000
PA
USD
1000635.95000000
0.029803616607
Long
DBT
CORP
US
N
2
2060-08-20
Fixed
2.55000000
N
N
N
N
N
RRE Loan Management
549300D6UNTEPRSJ6X22
RRE 5 Loan Management DAC
000000000
390000.00000000
PA
423809.59000000
0.012623030918
Long
ABS-CBDO
CORP
IE
N
2
2037-01-15
Floating
1.75000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140X9MV4
49143.86000000
PA
USD
50300.25000000
0.001498176600
Long
ABS-MBS
USGSE
US
N
2
2050-04-01
Fixed
4.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138XTDH5
517717.65000000
PA
USD
528678.20000000
0.015746508389
Long
ABS-MBS
USGSE
US
N
2
2029-05-01
Fixed
3.50000000
N
N
N
N
N
N
BX Trust 2019-OC11
N/A
BX Trust 2019-OC11
05606FAL7
1743000.00000000
PA
USD
1617418.42000000
0.048174282049
Long
ABS-MBS
CORP
US
N
2
2041-12-09
Variable
4.07500000
N
N
N
N
N
N
GreenPoint Mortgage Funding Trust
N/A
GreenPoint Mortgage Funding Trust 2006-AR2
39538WGJ1
124831.62000000
PA
USD
122913.08000000
0.003660926146
Long
ABS-MBS
CORP
US
N
2
2036-03-25
Floating
2.14100000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138X55F0
226440.82000000
PA
USD
239468.93000000
0.007132504263
Long
ABS-MBS
USGSE
US
N
2
2043-10-01
Fixed
4.50000000
N
N
N
N
N
N
CIGNA CORP
549300VIWYMSIGT1U456
Cigna Corp
125523AH3
3882000.00000000
PA
USD
4083556.82000000
0.121627412906
Long
DBT
CORP
US
N
2
2028-10-15
Fixed
4.37500000
N
N
N
N
N
N
Venture CDO Ltd
549300UP09C89Q3HWD39
Venture 32 CLO Ltd
92325QAC1
420000.00000000
PA
USD
415494.24000000
0.012375360920
Long
ABS-CBDO
CORP
KY
N
2
2031-07-18
Floating
1.31100000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31418NYJ3
67710.55000000
PA
USD
69555.06000000
0.002071674859
Long
ABS-MBS
USGSE
US
N
2
2025-02-01
Fixed
4.50000000
N
N
N
N
N
N
PUMA INTERNATIONAL FINAN
222100YFBPO7IDRUBR17
Puma International Financing SA
000000000
258000.00000000
PA
USD
245745.00000000
0.007319434968
Long
DBT
CORP
LU
N
2
2024-10-06
Fixed
5.12500000
N
N
N
N
N
N
HCA Inc
L3CJ6J7LJ2DX62FTXD46
HCA Inc
404119BW8
68000.00000000
PA
USD
74337.60000000
0.002214121259
Long
DBT
CORP
US
N
2
2029-02-01
Fixed
5.87500000
N
N
N
N
N
N
Everi Holdings Inc.
5299006DK5S7BG10K532
Everi Holdings Inc. 2021 Term Loan B
30034UAC4
279300.01000000
PA
USD
277903.51000000
0.008277265738
Long
LON
CORP
US
N
2
2028-08-03
Floating
3.00800000
N
N
N
N
N
N
Wells Fargo Commercial Mortgage Trust
N/A
Wells Fargo Commercial Mortgage Trust 2017-HSDB
95001EAA6
490000.00000000
PA
USD
484064.58000000
0.014417706215
Long
ABS-MBS
CORP
US
N
2
2031-12-13
Floating
1.23700000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140X9PE9
307144.02000000
PA
USD
314269.10000000
0.009360403019
Long
ABS-MBS
USGSE
US
N
2
2050-04-01
Fixed
4.00000000
N
N
N
N
N
N
Origen Manufactured Housing
N/A
Origen Manufactured Housing Contract Trust 2001-A
68619AAG2
264821.41000000
PA
USD
254345.74000000
0.007575605214
Long
ABS-O
CORP
US
N
2
2032-03-15
Variable
7.82000000
N
N
N
N
N
N
BROOKFIELD RESID PROPERT
N/A
Brookfield Residential Properties Inc / Brookfield Residential US LLC
11283YAB6
533000.00000000
PA
USD
521841.65000000
0.015542883969
Long
DBT
CORP
CA
N
2
2027-09-15
Fixed
6.25000000
N
N
N
N
N
N
Washington Mutual Bank
N/A
WASHINGTON MUTUAL BANK
939MMIBF0
2190000.00000000
PA
USD
0.22000000
0.000000006552
Long
DBT
CORP
US
N
3
2017-09-19
None
0.00000000
Y
N
N
N
N
N
Suncor Energy Inc
549300W70ZOQDVLCHY06
Suncor Energy Inc
86722TAB8
89000.00000000
PA
USD
115103.12000000
0.003428309025
Long
DBT
CORP
CA
N
2
2039-06-01
Fixed
6.85000000
N
N
N
N
N
N
GOLDMAN SACHS GROUP INC
784F5XWPLTWKTBV3E584
Goldman Sachs Group Inc/The
38141GZR8
5426000.00000000
PA
USD
5418402.68000000
0.161385363079
Long
DBT
CORP
US
N
2
2028-03-15
Fixed
3.61500000
N
N
N
N
N
MidAmerican Energy Co
NINLOILYRTLIMK26MZ18
MidAmerican Energy Co
595620AU9
687000.00000000
PA
USD
749564.68000000
0.022325540418
Long
DBT
CORP
US
N
2
2049-07-15
Fixed
4.25000000
N
N
N
N
N
N
GS Mortgage Securities Trust
N/A
GS Mortgage Securities Corp Trust 2019-BOCA
36256QAA5
332000.00000000
PA
USD
331905.84000000
0.009885707589
Long
ABS-MBS
CORP
US
N
2
2038-06-15
Floating
1.59700000
N
N
N
N
N
N
TRANSCONT GAS PIPE LINE
N/A
Transcontinental Gas Pipe Line Co LLC
893574AK9
2280000.00000000
PA
USD
2332216.38000000
0.069464307009
Long
DBT
CORP
US
N
2
2028-03-15
Fixed
4.00000000
N
N
N
N
N
N
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
Long: BRTLVS9X6 IRS USD R V 03MLIBOR 1 CCPVANILLA / Short: BRTLVS9X6 IRS USD P F 3.15550 2 CCPVANILLA
000000000
1279000.00000000
OU
Notional Amount
USD
-55772.76000000
-0.00166117353
N/A
DIR
US
N
2
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
N/A
N/A
Y
2028-10-03
17.22000000
USD
0.00000000
USD
1279000.00000000
USD
-55789.98000000
N
N
N
BX Trust 2019-OC11
N/A
BX Trust 2019-OC11
05606FAA1
168000.00000000
PA
USD
162181.49000000
0.004830522977
Long
ABS-MBS
CORP
US
N
2
2041-12-09
Fixed
3.20200000
N
N
N
N
N
N
PACIFIC GAS & ELECTRIC
1HNPXZSMMB7HMBMVBS46
Pacific Gas and Electric Co
694308JN8
1236000.00000000
PA
USD
1164187.84000000
0.034674956504
Long
DBT
CORP
US
N
2
2050-07-01
Fixed
4.95000000
N
N
N
N
N
N
COX COMMUNICATIONS INC
5493001NEDZNIFRP2R92
Cox Communications Inc
224044CP0
1330000.00000000
PA
USD
1183439.47000000
0.035248360047
Long
DBT
CORP
US
N
2
2051-06-15
Fixed
3.60000000
N
N
N
N
N
N
Goldman Sachs International
W22LROWP2IHZNBB6K528
PURCHASED BRL / SOLD USD
000000000
1.00000000
NC
44977.97000000
0.001339654220
N/A
DFE
BR
N
2
Goldman Sachs International
W22LROWP2IHZNBB6K528
523000.00000000
USD
2704171.50000000
BRL
2022-04-04
44977.97000000
N
N
N
Octagon Investment Partners 37 Ltd
N/A
Octagon Investment Partners 37 Ltd
67591VAE5
250000.00000000
PA
USD
247934.75000000
0.007384655960
Long
ABS-CBDO
CORP
KY
N
2
2030-07-25
Floating
1.83800000
N
N
N
N
N
N
SOUTHWESTERN PUBLIC SERV
OL6FE7QD5EQ3DOYEO258
Southwestern Public Service Co
845743BU6
1333000.00000000
PA
USD
1193448.62000000
0.035546479328
Long
DBT
CORP
US
N
2
2050-05-01
Fixed
3.15000000
N
N
N
N
N
N
MORGAN STANLEY
IGJSJL3JD5P30I6NJZ34
Morgan Stanley
61772BAB9
3437000.00000000
PA
USD
3193254.01000000
0.095110033019
Long
DBT
CORP
US
N
2
2027-05-04
Fixed
1.59300000
N
N
N
N
N
N
IBM CORP
VGRQXHF3J8VDLUA7XE92
International Business Machines Corp
459200KC4
1050000.00000000
PA
USD
1118221.43000000
0.033305861919
Long
DBT
CORP
US
N
2
2049-05-15
Fixed
4.25000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
3132QMPY1
101128.47000000
PA
USD
104928.83000000
0.003125271104
Long
ABS-MBS
USGSE
US
N
2
2045-02-01
Fixed
4.00000000
N
N
N
N
N
N
WESTLAKE CORP
GOXNEVUM0LL78B1OS344
Westlake Corp
960413BA9
916000.00000000
PA
USD
745073.80000000
0.022191781016
Long
DBT
CORP
US
N
2
2061-08-15
Fixed
3.37500000
N
N
N
N
N
N
ANHEUSER-BUSCH INBEV WOR
549300CRGMZK3K53BF92
Anheuser-Busch InBev Worldwide Inc
035240AQ3
792000.00000000
PA
USD
858666.75000000
0.025575110119
Long
DBT
CORP
US
N
2
2029-01-23
Fixed
4.75000000
N
N
N
N
N
N
Citibank N.A.
E57ODZWZ7FF32TWEFA76
Long: BRY07GSC4 TRS USD R V 12MSOFR BRY07GSE0 EQUITYTRS / Short: BRY07GSC4 TRS USD P E BRY07GSD2 EQUITYTRS
000000000
95500.34000000
OU
Notional Amount
USD
1914.08000000
0.000057010250
N/A
DE
US
N
2
Citibank N.A.
E57ODZWZ7FF32TWEFA76
TreeHouse Foods Inc
TreeHouse Foods Inc
Y
equity-performance leg
2022-09-09
0.00000000
USD
0.00000000
USD
95500.34000000
USD
1914.08000000
N
N
N
Deutsche Bank AG
7LTWFZYICNSX8D621K86
Long: BRT9NQ841 CDS USD R F 2.00000 2 CMBX / Short: BRT9NQ841 CDS USD P V 01MEVENT 1 CMBX
000000000
660000.00000000
OU
Notional Amount
USD
-5770.14000000
-0.00017186174
N/A
DCR
US
N
2
Deutsche Bank AG
7LTWFZYICNSX8D621K86
CMBX.NA.A.8
137BEOAH7
Y
sell protection
2059-11-17
0.00000000
USD
-30600.51000000
USD
660000.00000000
USD
24830.37000000
N
N
N
Bank of America Corp
9DJT3UXIJIZJI4WXO774
Bank of America Corp
06051GHF9
3369000.00000000
PA
USD
3388234.53000000
0.100917464447
Long
DBT
CORP
US
N
2
2024-03-05
Fixed
3.55000000
N
N
N
N
N
N
Carlyle Global Market Strategies
N/A
CARLYLE US CLO 2021-6 LTD
143133AA4
610000.00000000
PA
USD
606844.47000000
0.018074665341
Long
ABS-CBDO
CORP
KY
N
2
2034-07-15
Floating
1.40100000
N
N
N
N
N
N
Stoneway Capital Corp
549300CV1RKODDF74O91
Stoneway Capital Corp
86188PAA5
1137974.16000000
PA
USD
317210.30000000
0.009448005706
Long
DBT
CORP
CA
Y
2
2027-03-01
None
0.00000000
Y
N
N
N
N
N
United States Treasury
254900HROIFWPRGM1V77
United States Treasury Note/Bond
912810RK6
20100000.00000000
PA
USD
19577086.04000000
0.583097146003
Long
DBT
UST
US
N
2
2045-02-15
Fixed
2.50000000
N
N
N
N
N
N
Springs Windows Fashions, LLC
N/A
Springs Windows Fashions, LLC 2021 Term Loan B
78489HAB4
343000.00000000
PA
USD
333138.75000000
0.009922429413
Long
LON
CORP
US
N
2
2028-10-06
Floating
4.75000000
N
N
N
N
N
N
Palmer Square CLO Ltd
N/A
Palmer Square CLO 2013-2 Ltd
69688AAL5
560000.00000000
PA
USD
557150.72000000
0.016594553145
Long
ABS-CBDO
CORP
KY
N
2
2031-10-17
Floating
1.24800000
N
N
N
N
N
N
NOMURA HOLDINGS INC
549300B3CEAHYG7K8164
Nomura Holdings Inc
65535HBA6
1358000.00000000
PA
USD
1250937.90000000
0.037258778851
Long
DBT
CORP
JP
N
2
2032-01-22
Fixed
2.99900000
N
N
N
N
N
N
BROADCOM INC
549300WV6GIDOZJTV909
Broadcom Inc
11135FBA8
2448000.00000000
PA
USD
2572190.42000000
0.076611855810
Long
DBT
CORP
US
N
2
2029-04-15
Fixed
4.75000000
N
N
N
N
N
N
NXP BV/NXP FDG/NXP USA
N/A
NXP BV / NXP Funding LLC / NXP USA Inc
62954HAB4
4553000.00000000
PA
USD
4700053.43000000
0.139989564100
Long
DBT
CORP
XX
N
2
2029-06-18
Fixed
4.30000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138WJJ25
180060.91000000
PA
USD
185526.29000000
0.005525840259
Long
ABS-MBS
USGSE
US
N
2
2046-11-01
Fixed
4.00000000
N
N
N
N
N
N
Morgan Stanley Capital Services LLC
4PQUHN3JPFGFNF3BB653
Long: BRTREETG8 CDS USD R V 01MEVENT 1 CMBX / Short: BRTREETG8 CDS USD P F 3.00000 2 CMBX
000000000
105000.00000000
OU
Notional Amount
USD
10719.64000000
0.000319280993
N/A
DCR
US
N
2
Morgan Stanley Capital Services LLC
4PQUHN3JPFGFNF3BB653
CMBX.NA.BBB-.9
137BERAI8
Y
buy protection
2058-09-17
5615.46000000
USD
0.00000000
USD
105000.00000000
USD
5104.18000000
N
N
N
Symphony CLO Ltd
54930001DQI1CFLYVB48
Symphony CLO XXIII Ltd
87167NDE2
250000.00000000
PA
USD
248305.25000000
0.007395691182
Long
ABS-CBDO
CORP
KY
N
2
2034-01-15
Floating
1.84100000
N
N
N
N
N
N
MI Windows and Doors, LLC
N/A
MI Windows and Doors, LLC 2022 Term Loan
55336CAJ1
328570.51000000
PA
USD
325593.00000000
0.009697681701
Long
LON
CORP
US
N
2
2027-12-18
Floating
4.00000000
N
N
N
N
N
N
BRTE6JT67 ARI INVESTMENTS LLC
N/A
BRTE6JT67 ARI INVESTMENTS LLC
000000000
686927.46000000
PA
USD
686927.46000000
0.020459911174
Long
DBT
CORP
US
N
2
2025-01-06
Variable
2.98600000
N
N
N
N
N
N
OUTFRONT MEDIA CAP LLC/C
N/A
Outfront Media Capital LLC / Outfront Media Capital Corp
69007TAB0
583000.00000000
PA
USD
569929.14000000
0.016975154232
Long
DBT
CORP
US
N
2
2027-08-15
Fixed
5.00000000
N
N
N
N
N
N
United States Treasury
254900HROIFWPRGM1V77
United States Treasury Note/Bond
912810RU4
3706000.00000000
PA
USD
3896366.81000000
0.116052019286
Long
DBT
UST
US
N
2
2046-11-15
Fixed
2.87500000
N
N
N
N
N
N
UBS AG
BFM8T61CT2L1QCEMIK50
PURCHASED USD / SOLD AUD
000000000
1.00000000
NC
-40259.77000000
-0.00119912416
N/A
DFE
US
N
2
UBS AG
BFM8T61CT2L1QCEMIK50
1599000.00000000
AUD
1157714.38000000
USD
2022-06-15
-40259.77000000
N
N
N
New York State Dormitory Authority
549300C8XO7EXTX2XU71
NEW YORK ST DORM AUTH ST PERSONAL INCOME TAX REVENUE
6499022F9
355000.00000000
PA
USD
427946.22000000
0.012746239098
Long
DBT
MUN
US
N
2
2040-03-15
Fixed
5.38900000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31418RGR6
6806.46000000
PA
USD
7143.73000000
0.000212773676
Long
ABS-MBS
USGSE
US
N
2
2040-04-01
Fixed
4.50000000
N
N
N
N
N
N
AMER AIRLINE 19-1B PTT
N/A
American Airlines 2019-1 Class B Pass Through Trust
02379DAA8
668647.26000000
PA
USD
593661.61000000
0.017682018139
Long
DBT
CORP
US
N
2
2028-02-15
Fixed
3.85000000
N
N
N
N
N
N
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
Long: BRY05A1Q7 CDS USD R V 03MEVENT 1 SOVEREIGN / Short: BRY05A1Q7 CDS USD P F 1.00000 2 SOVEREIGN
000000000
878613.00000000
OU
Notional Amount
USD
45379.12000000
0.001351602342
N/A
DCR
US
N
2
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
Republic of South Africa
Republic of South Africa
Y
buy protection
2027-06-20
54504.91000000
USD
0.00000000
USD
878613.00000000
USD
-9125.79000000
N
N
N
YPF SOCIEDAD ANONIMA
5493003N7447U18U5U53
YPF SA
984245AR1
509000.00000000
PA
USD
327668.75000000
0.009759507240
Long
DBT
CORP
AR
N
2
2047-12-15
Fixed
7.00000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
31335B2J4
1208455.74000000
PA
USD
1276910.58000000
0.038032366685
Long
ABS-MBS
USGSE
US
N
2
2047-04-01
Fixed
4.50000000
N
N
N
N
N
N
VERIZON COMMUNICATIONS
2S72QS2UO2OESLG6Y829
Verizon Communications Inc
92343VGH1
3296000.00000000
PA
USD
3072115.08000000
0.091501949354
Long
DBT
CORP
US
N
2
2028-03-22
Fixed
2.10000000
N
N
N
N
N
N
OneMain Financial Issuance Trust
N/A
OneMain Financial Issuance Trust 2021-1
68269MAE4
150000.00000000
PA
USD
132624.08000000
0.003950165125
Long
ABS-O
CORP
US
N
2
2036-06-16
Fixed
2.47000000
N
N
N
N
N
N
FORESTAR GROUP INC
549300BC2UB0GHV60V70
Forestar Group Inc
346232AE1
659000.00000000
PA
USD
617812.50000000
0.018401344550
Long
DBT
CORP
US
N
2
2028-03-01
Fixed
5.00000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
3132HRMP2
900658.93000000
PA
USD
900339.58000000
0.026816321819
Long
ABS-MBS
USGSE
US
N
2
2043-01-01
Fixed
3.00000000
N
N
N
N
N
N
Anchorage Capital CLO LTD
549300687XYK5L55VX28
Anchorage Capital CLO 5-R Ltd
03329AAE5
2410000.00000000
PA
USD
2409992.77000000
0.071780851512
Long
ABS-CBDO
CORP
KY
N
2
2030-01-15
Floating
1.69100000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140XFGW5
2186981.57000000
PA
USD
2034476.39000000
0.060596218160
Long
ABS-MBS
USGSE
US
N
2
2051-12-01
Fixed
2.00000000
N
N
N
N
N
N
Citibank N.A.
E57ODZWZ7FF32TWEFA76
PURCHASED USD / SOLD COP
000000000
1.00000000
NC
-9817.64000000
-0.00029241521
N/A
DFE
US
N
2
Citibank N.A.
E57ODZWZ7FF32TWEFA76
4013558193.15000000
COP
1051647.00000000
USD
2022-04-20
-9817.64000000
N
N
N
Credit Suisse Mortgage Trust
N/A
Credit Suisse Mortgage Capital Certificates
12642MAJ9
2614725.52000000
PA
USD
1330004.45000000
0.039613750349
Long
ABS-MBS
CORP
US
N
2
2037-10-27
Fixed
6.50000000
N
N
N
N
N
N
Bayview Financial Revolving Mortgage Loan Trust
N/A
Bayview Financial Revolving Asset Trust 2005-E
073250BV3
225158.08000000
PA
USD
218354.59000000
0.006503620507
Long
ABS-MBS
CORP
US
N
2
2040-12-28
Floating
1.44700000
N
N
N
N
N
N
NXP BV/NXP FDG/NXP USA
N/A
NXP BV / NXP Funding LLC / NXP USA Inc
62954HAD0
2069000.00000000
PA
USD
2005390.68000000
0.059729909739
Long
DBT
CORP
XX
N
2
2030-05-01
Fixed
3.40000000
N
N
N
N
N
N
Fertitta Entertainment, LLC
984500A0805D8V551D35
Fertitta Entertainment, LLC 2022 Term Loan B
31556PAB3
1557655.32000000
PA
USD
1551018.15000000
0.046196571584
Long
LON
CORP
US
N
2
2029-01-27
Floating
4.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140XFUZ2
423057.05000000
PA
USD
394047.11000000
0.011736565123
Long
ABS-MBS
USGSE
US
N
2
2051-04-01
Fixed
2.00000000
N
N
N
N
N
N
White Cap Buyer LLC
N/A
White Cap Buyer LLC Term Loan B
96350TAC4
1372625.00000000
PA
USD
1358470.49000000
0.040461602101
Long
LON
CORP
US
N
2
2027-10-19
Floating
4.25000000
N
N
N
N
N
N
MHC Commercial Mortgage Trust
N/A
MHC Commercial Mortgage Trust 2021-MHC
55316VAJ3
2540000.00000000
PA
USD
2479416.43000000
0.073848612665
Long
ABS-MBS
CORP
US
N
2
2038-04-15
Floating
2.49800000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138XERE0
455122.43000000
PA
USD
465887.21000000
0.013876299156
Long
ABS-MBS
USGSE
US
N
2
2028-11-01
Fixed
3.50000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36202FDW3
37146.41000000
PA
USD
39549.45000000
0.001177967516
Long
ABS-MBS
USGA
US
N
2
2040-01-20
Fixed
4.50000000
N
N
N
N
N
N
Credit Suisse AG
E58DKGMJYYYJLN8C3868
Long: BRT5A8LG1 CDS USD R F 3.00000 2 CMBX / Short: BRT5A8LG1 CDS USD P V 01MEVENT 1 CMBX
000000000
340000.00000000
OU
Notional Amount
USD
-82982.44000000
-0.00247160500
N/A
DCR
US
N
2
Credit Suisse AG
E58DKGMJYYYJLN8C3868
CMBX.NA.BBB-.6
137BERAF4
Y
sell protection
2063-05-11
0.00000000
USD
-28925.17000000
USD
340000.00000000
USD
-54057.27000000
N
N
N
Progress Residential Trust
N/A
Progress Residential 2021-SFR10 Trust
74333WAN2
1406000.00000000
PA
USD
1296389.08000000
0.038612527477
Long
ABS-O
CORP
US
N
2
2040-12-17
Fixed
4.60800000
N
N
N
N
N
N
SLM Student Loan Trust
549300HIOV1ESFZYQ040
SLM Private Credit Student Loan Trust 2004-B
78443CBN3
602384.85000000
PA
USD
599610.33000000
0.017859198831
Long
ABS-O
CORP
US
N
2
2024-03-15
Floating
1.15600000
N
N
N
N
N
N
Carlyle Global Market Strategies
N/A
Carlyle US CLO 2021-10 LTD
14316YAA3
710000.00000000
PA
USD
701922.33000000
0.020906528504
Long
ABS-CBDO
CORP
KY
N
2
2034-10-20
Floating
1.27200000
N
N
N
N
N
N
Voyager OPTONE Delaware Trust
N/A
Voyager OPTONE Delaware Trust
92911BAA8
3112018.71000000
PA
USD
930385.30000000
0.027711223825
Long
ABS-MBS
CORP
US
N
2
2038-02-25
Variable
9.19800000
N
N
N
N
N
N
UNITED AIR 2018-1 AA PTT
N/A
United Airlines 2018-1 Class AA Pass Through Trust
909318AA5
225151.98000000
PA
USD
217586.85000000
0.006480753621
Long
DBT
CORP
US
N
2
2030-03-01
Fixed
3.50000000
N
N
N
N
N
N
JP Morgan Chase Commercial Mortgage Sec Trust
N/A
JP Morgan Chase Commercial Mortgage Securities Trust 2021-MHC
466330AQ0
1080000.00000000
PA
USD
1039303.12000000
0.030955305701
Long
ABS-MBS
CORP
US
N
2
2038-04-15
Floating
3.34700000
N
N
N
N
N
N
CROWN CASTLE INTL CORP
54930012H97VSM0I2R19
Crown Castle International Corp
22822VAW1
382000.00000000
PA
USD
330348.35000000
0.009839318255
Long
DBT
US
N
2
2031-04-01
Fixed
2.10000000
N
N
N
N
N
N
Neuberger Berman CLO Ltd
549300P0MOXZPIM3AS61
Neuberger Berman Loan Advisers CLO 26 Ltd
64131QAJ9
1770000.00000000
PA
USD
1755887.79000000
0.052298547238
Long
ABS-CBDO
CORP
KY
N
2
2030-10-18
Floating
1.16100000
N
N
N
N
N
N
BROADCOM INC
549300WV6GIDOZJTV909
Broadcom Inc
11135FAQ4
1137000.00000000
PA
USD
1152336.86000000
0.034321978915
Long
DBT
CORP
US
N
2
2030-11-15
Fixed
4.15000000
N
N
N
N
N
N
Tricon Residential
N/A
Tricon Residential 2021-SFR1 Trust
89614YAG1
795000.00000000
PA
USD
734824.54000000
0.021886510138
Long
ABS-O
CORP
US
N
2
2038-07-17
Fixed
3.69200000
N
N
N
N
N
N
BANCO MERCANTIL DE NORTE
549300QTVYRPFHS0J362
Banco Mercantil del Norte SA/Grand Cayman
05973KAA5
300000.00000000
PA
USD
277500.00000000
0.008265247324
Long
DBT
CORP
MX
N
2
2027-01-24
Fixed
5.87500000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31416VGJ7
149847.44000000
PA
USD
165115.65000000
0.004917915979
Long
ABS-MBS
USGSE
US
N
2
2039-01-01
Fixed
5.50000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
312943Q63
105411.33000000
PA
USD
110357.46000000
0.003286961084
Long
ABS-MBS
USGSE
US
N
2
2040-11-01
Fixed
4.00000000
N
N
N
N
N
N
Carlyle Global Market Strategies
N/A
Carlyle Global Market Strategies CLO 2014-3-R Ltd
14315LAA2
4066514.08000000
PA
USD
4033790.84000000
0.120145149363
Long
ABS-CBDO
CORP
KY
N
2
2031-07-27
Floating
1.31800000
N
N
N
N
N
N
Deutsche Bank AG
7LTWFZYICNSX8D621K86
PURCHASED EUR / SOLD SEK
000000000
1.00000000
NC
N/A
854.96000000
0.000025464705
N/A
DFE
XX
N
2
Deutsche Bank AG
7LTWFZYICNSX8D621K86
4777460.87000000
SEK
460000.00000000
EUR
2022-04-20
854.96000000
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
31307MNN2
364360.09000000
PA
USD
368415.83000000
0.010973145777
Long
ABS-MBS
USGSE
US
N
2
2030-04-01
Fixed
3.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138WJH35
177464.68000000
PA
USD
177472.74000000
0.005285967890
Long
ABS-MBS
USGSE
US
N
2
2036-11-01
Fixed
3.00000000
N
N
N
N
N
N
Bayview Financial Acquisition Trust
N/A
Bayview Financial Revolving Asset Trust 2004-B
073250BE1
4292487.38000000
PA
USD
3770722.23000000
0.112309736300
Long
ABS-MBS
CORP
US
N
2
2039-05-28
Floating
1.44700000
N
N
N
N
N
N
Avoca CLO
5493000BN1WPGQDK4X78
Avoca CLO XXII DAC
000000000
250000.00000000
PA
265374.94000000
0.007904106352
Long
ABS-CBDO
CORP
IE
N
2
2035-04-15
Floating
2.90000000
N
N
N
N
N
N
DIG INTL FIN/DIG INTL HL
N/A
Digicel International Finance Ltd/Digicel international Holdings Ltd
25381XAB9
138075.00000000
PA
USD
137039.44000000
0.004081675188
Long
DBT
CORP
XX
N
2
2025-12-31
Fixed
13.00000000
N
N
Y
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38379K7R3
1255622.55000000
PA
USD
37552.78000000
0.001118497349
Long
ABS-MBS
USGA
US
N
2
2055-09-16
Variable
0.67000000
N
N
N
N
N
N
Upstart Pass Through Trust
N/A
Upstart Pass-Through Trust Series 2020-ST5
91679XAA4
97637.81000000
PA
USD
94342.17000000
0.002809950876
Long
ABS-O
CORP
US
N
2
2027-07-20
Fixed
2.00000000
N
N
N
N
N
N
Sound Point CLO LTD
549300Q00FJ0WHHYC788
Sound Point CLO II Ltd
83608GAN6
500000.00000000
PA
USD
496213.00000000
0.014779542957
Long
ABS-CBDO
CORP
KY
N
2
2031-01-26
Floating
1.33700000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138EPJ54
489285.18000000
PA
USD
494377.87000000
0.014724884206
Long
ABS-MBS
USGSE
US
N
2
2030-03-01
Fixed
3.00000000
N
N
N
N
N
N
Euro Galaxy CLO BV
5493000DO5029DBEJL19
Euro-Galaxy VII CLO DAC
000000000
250000.00000000
PA
265845.64000000
0.007918125999
Long
ABS-CBDO
CORP
IE
N
2
2035-07-25
Floating
3.50000000
N
N
N
N
N
N
HTA GROUP LTD
213800WEFU8O8X6EPU13
HTA Group Ltd/Mauritius
40435WAB6
410000.00000000
PA
USD
405408.00000000
0.012074945540
Long
DBT
CORP
MU
N
2
2025-12-18
Fixed
7.00000000
N
N
N
N
N
N
Bluemountain CLO Ltd
549300O2Y407FNHQWX93
BlueMountain CLO 2016-2 Ltd
09628WBA9
260000.00000000
PA
USD
258420.24000000
0.007696962873
Long
ABS-CBDO
CORP
KY
N
2
2032-08-20
Floating
2.73000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138WD7A3
11872.40000000
PA
USD
11763.16000000
0.000350361898
Long
ABS-MBS
USGSE
US
N
2
2030-02-01
Fixed
2.50000000
N
N
N
N
N
N
Tishman Speyer Innovation Corp II
N/A
Tishman Speyer Innovation Corp II
88825H118
3342.00000000
NS
USD
1269.96000000
0.000037825345
N/A
DE
US
Y
1
N/A
N/A
Call
Purchased
Tishman Speyer Innovation Corp II
Tishman Speyer Innovation Corp II
11.50000000
11.50000000
USD
2027-12-31
XXXX
-1842.11000000
N
N
N
GOLUB CAPITAL BDC 3 CLO 1 LLC
254900GKK16EMNSQ3D94
Golub Capital BDC 3 CLO 1 LLC
38177XAE4
250000.00000000
PA
USD
247203.50000000
0.007362875917
Long
ABS-CBDO
CORP
KY
N
2
2033-04-15
Floating
3.04100000
N
N
N
N
N
N
SREIT Trust
N/A
SREIT Trust 2021-MFP2
85236WCU8
226000.00000000
PA
USD
221045.61000000
0.006583771663
Long
ABS-MBS
CORP
US
N
2
2036-11-15
Floating
4.31300000
N
N
N
N
N
N
VTR COMUNICACIONES SPA
213800XDZJKMC1AEUV94
VTR Comunicaciones SpA
918367AC7
430000.00000000
PA
USD
392916.80000000
0.011702899207
Long
DBT
CORP
CL
N
2
2029-04-15
Fixed
4.37500000
N
N
N
N
N
N
Duke Energy Progress LLC
0NIFZ782LS46WOC9QK20
Duke Energy Progress LLC
26442UAH7
1992000.00000000
PA
USD
1995921.27000000
0.059447866439
Long
DBT
CORP
US
N
2
2029-03-15
Fixed
3.45000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
31292LGU3
823144.66000000
PA
USD
840285.40000000
0.025027627582
Long
ABS-MBS
USGSE
US
N
2
2042-04-01
Fixed
3.50000000
N
N
N
N
N
N
AMER AIRLN 15-2 AA PTT
N/A
American Airlines 2015-2 Class AA Pass Through Trust
02377BAB2
231914.95000000
PA
USD
225379.29000000
0.006712848914
Long
DBT
CORP
US
N
2
2027-09-22
Fixed
3.60000000
N
N
N
N
N
N
Pear Therapeutics Inc
N/A
Pear Therapeutics Inc
704723113
10748.00000000
NS
USD
8512.42000000
0.000253539663
N/A
DE
US
Y
1
N/A
N/A
Call
Purchased
Pear Therapeutics Inc
Pear Therapeutics Inc
1.00000000
11.50000000
USD
2026-02-04
XXXX
-3514.27000000
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140J7MC6
612370.44000000
PA
USD
597243.44000000
0.017788701782
Long
ABS-MBS
USGSE
US
N
2
2031-11-01
Fixed
2.00000000
N
N
N
N
N
N
Battalion CLO LTD
549300RRK5G3IT4Y7N27
Battalion CLO X Ltd
07132JBE3
480000.00000000
PA
USD
476868.00000000
0.014203358418
Long
ABS-CBDO
CORP
KY
N
2
2035-01-25
Floating
1.80900000
N
N
N
N
N
N
Chicago Board of Trade
549300EX04Q2QBFQTQ27
US 10YR FUT OPTN MAY22P 123 EXP 04/22/2022
000000000
-22.00000000
NC
USD
-20281.25000000
-0.00060407044
N/A
DIR
US
N
1
Chicago Board of Trade
549300EX04Q2QBFQTQ27
Put
Written
Chicago Board of Trade
549300EX04Q2QBFQTQ27
Chicago Board of Trade
549300EX04Q2QBFQTQ27
CBOT 10 Year US Treasury Note Future
N/A
22.00000000
NC
N/A
-20281.25000000
0.00000000
DIR
US
Short
CBOT 10 Year US Treasury Note
TYM2 Comdty
2022-06-21
22.00000000
USD
1000.00000000
123.00000000
USD
2022-04-22
XXXX
654.06000000
N
N
N
HSBC Bank PLC
MP6I5ZYZBEU3UXPYFY54
PURCHASED MXN / SOLD USD
000000000
1.00000000
NC
2586.63000000
0.000077041934
N/A
DFE
MX
N
2
HSBC Bank PLC
MP6I5ZYZBEU3UXPYFY54
504000.00000000
USD
10104192.00000000
MXN
2022-04-20
2586.63000000
N
N
N
Bankers Healthcare Group Securitization Trust
N/A
BHG Securitization Trust 2021-B
08862BAC9
130000.00000000
PA
USD
119050.18000000
0.003545870925
Long
ABS-O
CORP
US
N
2
2034-10-17
Fixed
2.24000000
N
N
N
N
N
N
NEW HOME CO INC/THE
549300PLCE8TB3TVRQ85
New Home Co Inc/The
645370AC1
215000.00000000
PA
USD
207866.30000000
0.006191230198
Long
DBT
CORP
US
N
2
2025-10-15
Fixed
7.25000000
N
N
N
N
N
N
SMB Private Education Loan Trust
N/A
SMB Private Education Loan Trust 2021-C
83208AAF0
120000.00000000
PA
USD
113678.28000000
0.003385870629
Long
ABS-O
CORP
US
N
2
2053-01-15
Fixed
3.00000000
N
N
N
N
N
N
Velocity Commercial Capital Loan Trust
N/A
Velocity Commercial Capital Loan Trust 2021-4
92258DAN7
296484.19000000
PA
USD
256406.94000000
0.007636997386
Long
ABS-MBS
CORP
US
N
2
2051-12-26
Variable
4.48000000
N
N
N
N
N
N
Navient Corp
54930067J0ZNOEBRW338
Navient Corp
63938CAH1
236000.00000000
PA
USD
242448.70000000
0.007221255744
Long
DBT
CORP
US
N
2
2025-06-25
Fixed
6.75000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36181GFM6
808046.49000000
PA
USD
829202.71000000
0.024697533262
Long
ABS-MBS
USGA
US
N
2
2043-07-15
Fixed
3.50000000
N
N
N
N
N
N
Gilead Sciences Inc
549300WTZWR07K8MNV44
Gilead Sciences Inc
375558BK8
790000.00000000
PA
USD
812310.68000000
0.024194409638
Long
DBT
CORP
US
N
2
2047-03-01
Fixed
4.15000000
N
N
N
N
N
N
GLP CAPITAL LP / FIN II
N/A
GLP Capital LP / GLP Financing II Inc
361841AQ2
1386000.00000000
PA
USD
1344253.68000000
0.040038159035
Long
DBT
US
N
2
2031-01-15
Fixed
4.00000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
3128PY3W2
33106.41000000
PA
USD
32804.21000000
0.000977062734
Long
ABS-MBS
USGSE
US
N
2
2027-04-01
Fixed
2.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140J55S4
490947.16000000
PA
USD
522859.82000000
0.015573209832
Long
ABS-MBS
USGSE
US
N
2
2045-12-01
Fixed
4.50000000
N
N
N
N
N
N
United States Treasury
254900HROIFWPRGM1V77
United States Treasury Note/Bond
912828YU8
15364000.00000000
PA
USD
14787850.00000000
0.440451306844
Long
DBT
UST
US
N
2
2026-11-30
Fixed
1.62500000
N
N
N
N
N
N
Green Plains Inc
VJ5WLTHARBSDR14KIZ98
Green Plains Inc
393222104
28483.00000000
NS
USD
883257.83000000
0.026307547446
Long
EC
CORP
US
N
1
N
N
Soundview Home Equity Loan Trust
N/A
Soundview Home Loan Trust 2004-WMC1
83611MBW7
15736.01000000
PA
USD
14287.34000000
0.000425543779
Long
ABS-O
CORP
US
N
2
2035-01-25
Floating
1.25200000
N
N
N
N
N
N
Natixis Commercial Mortgage Securities
N/A
Natixis Commercial Mortgage Securities Trust 2020-AGC
63875EAA7
3373432.60000000
PA
USD
3330297.19000000
0.099191819603
Long
ABS-MBS
CORP
US
N
2
2025-08-18
Floating
3.01800000
N
N
N
N
N
N
PROMIGAS/GASES PACIFICO
N/A
Promigas SA ESP / Gases del Pacifico SAC
74348DAA5
407000.00000000
PA
USD
368542.57000000
0.010976920687
Long
DBT
CORP
XX
N
2
2029-10-16
Fixed
3.75000000
N
N
N
N
N
N
APPLE INC
HWUPKR0MPOU8FGXBT394
Apple Inc
037833EG1
1783000.00000000
PA
USD
1533049.73000000
0.045661388033
Long
DBT
CORP
US
N
2
2061-02-08
Fixed
2.80000000
N
N
N
N
N
N
Gracie Point International Funding
N/A
GRACIE POINT INTERNATIONAL FUNDING 2021-1
38411EAB8
120000.00000000
PA
USD
119223.65000000
0.003551037672
Long
ABS-O
CORP
US
N
2
2023-11-01
Floating
1.63100000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Pool
3132DVLH6
707929.01000000
PA
USD
659267.07000000
0.019636055446
Long
ABS-MBS
USGSE
US
N
2
2050-11-01
Fixed
2.00000000
N
N
N
N
N
N
SMB Private Education Loan Trust
N/A
SMB Private Education Loan Trust 2021-C
83208AAG8
100000.00000000
PA
USD
94443.62000000
0.002812972531
Long
ABS-O
CORP
US
N
2
2053-01-15
Fixed
3.93000000
N
N
N
N
N
N
Goldman Sachs International
W22LROWP2IHZNBB6K528
BRY0KG369 BLACKROCK FXVAN CALL USD MXN 20.3000000
000000000
2018000.00000000
OU
Notional Amount
USD
26401.49000000
0.000786359800
N/A
DFE
LU
N
2
Goldman Sachs International
W22LROWP2IHZNBB6K528
Call
Purchased
Goldman Sachs International
W22LROWP2IHZNBB6K528
Goldman Sachs International
W22LROWP2IHZNBB6K528
FX Contract
N/A
1.00000000
NC
USD
26401.49000000
0.00000000
DFE
CL
40965400.00000000
USD
2018000.00000000
CLP
2022-05-27
1.00000000
20.30000000
USD
2022-05-27
XXXX
-7868.17000000
N
N
N
Lockheed Martin Corp
DPRBOZP0K5RM2YE8UU08
Lockheed Martin Corp
539830BC2
1732000.00000000
PA
USD
1750003.01000000
0.052123270978
Long
DBT
CORP
US
N
2
2035-03-01
Fixed
3.60000000
N
N
N
N
N
N
CBAM CLO Management LLC
254900JWJFDB3KD6V066
CBAM 2017-1 Ltd
12480VAC9
2000000.00000000
PA
USD
1997060.00000000
0.059481783142
Long
ABS-CBDO
CORP
KY
N
2
2030-07-20
Floating
1.50400000
N
N
N
N
N
N
BROADCOM INC
549300WV6GIDOZJTV909
Broadcom Inc
11135FBF7
334000.00000000
PA
USD
289966.61000000
0.008636561252
Long
DBT
CORP
US
N
2
2033-02-15
Fixed
2.60000000
N
N
N
N
N
N
SUMITOMO MITSUI FINL GRP
35380028MYWPB6AUO129
Sumitomo Mitsui Financial Group Inc
86562MCA6
200000.00000000
PA
USD
188181.84000000
0.005604934953
Long
DBT
CORP
JP
N
2
2025-07-08
Fixed
1.47400000
N
N
N
N
N
N
DANSKE BANK A/S
MAES062Z21O4RZ2U7M96
Danske Bank A/S
23636AAZ4
544000.00000000
PA
USD
503030.33000000
0.014982594916
Long
DBT
CORP
DK
N
2
2026-09-11
Fixed
1.62100000
N
N
N
N
N
N
BP CAP MARKETS AMERICA
5493009NTB34VXE1T760
BP Capital Markets America Inc
10373QAD2
1243000.00000000
PA
USD
1264561.65000000
0.037664557817
Long
DBT
CORP
US
N
2
2024-02-06
Fixed
3.79000000
N
N
N
N
N
N
MITSUBISHI UFJ FIN GRP
353800V2V8PUY9TK3E06
Mitsubishi UFJ Financial Group Inc
606822BV5
1419000.00000000
PA
USD
1375235.84000000
0.040960952602
Long
DBT
CORP
JP
N
2
2024-09-15
Fixed
0.84800000
N
N
N
N
N
N
CENTENNIAL RESOURCE PROD
5493004CTVUMQLRPOE23
Centennial Resource Production LLC
15138AAA8
75000.00000000
PA
USD
72750.00000000
0.002166835109
Long
DBT
CORP
US
N
2
2026-01-15
Fixed
5.37500000
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138WEF61
103867.34000000
PA
USD
102910.11000000
0.003065144185
Long
ABS-MBS
USGSE
US
N
2
2030-03-01
Fixed
2.50000000
N
N
N
N
N
N
UBS AG
BFM8T61CT2L1QCEMIK50
PURCHASED USD / SOLD TRY
000000000
1.00000000
NC
-13007.87000000
-0.00038743518
N/A
DFE
US
N
2
UBS AG
BFM8T61CT2L1QCEMIK50
8051400.00000000
TRY
525000.00000000
USD
2022-04-29
-13007.87000000
N
N
N
GALAXY PIPELINE ASSETS
549300L82YB0C6JQIC26
Galaxy Pipeline Assets Bidco Ltd
36321PAE0
525696.35000000
PA
USD
474006.08000000
0.014118117061
Long
DBT
CORP
JE
N
2
2040-09-30
Fixed
2.94000000
N
N
N
N
N
N
Eurex Deutschland
529900LN3S50JPU47S06
EURO-BUND FUTURE JUN22
000000000
79.00000000
NC
-62984.34000000
-0.00187596809
N/A
DIR
DE
N
1
Eurex Deutschland
529900LN3S50JPU47S06
Long
EUX 10 Year Euro BUND Future
RXM2 COMDTY
2022-06-08
12591075.01000000
EUR
-62984.34000000
N
N
N
MEXICO CITY ARPT TRUST
N/A
Mexico City Airport Trust
000000000
1388000.00000000
PA
USD
1223188.88000000
0.036432283307
Long
DBT
CORP
MX
Y
2
2047-07-31
Fixed
5.50000000
N
N
N
N
N
N
Citibank N.A.
E57ODZWZ7FF32TWEFA76
PURCHASED USD / SOLD COP
000000000
1.00000000
NC
-10256.41000000
-0.00030548383
N/A
DFE
US
N
2
Citibank N.A.
E57ODZWZ7FF32TWEFA76
4192931343.15000000
COP
1098647.00000000
USD
2022-04-20
-10256.41000000
N
N
N
DISCOVERY COMMUNICATIONS
L2Z2MO2EQURH3BREWI15
Discovery Communications LLC
000000000
1804000.00000000
PA
1955186.32000000
0.058234589191
Long
DBT
CORP
US
N
2
2027-03-19
Fixed
1.90000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Pool
3133KLUA3
11804886.05000000
PA
USD
11330865.93000000
0.337486159688
Long
ABS-MBS
USGSE
US
N
2
2051-05-01
Fixed
2.50000000
N
N
N
N
N
N
LOWE'S COS INC
WAFCR4OKGSC504WU3E95
Lowe's Cos Inc
548661DX2
503000.00000000
PA
USD
447948.22000000
0.013341992169
Long
DBT
CORP
US
N
2
2028-04-15
Fixed
1.30000000
N
N
N
N
N
N
Carlyle Global Market Strategies
N/A
Carlyle Global Market Strategies CLO 2014-1 Ltd
14310MAW7
967059.77000000
PA
USD
957184.16000000
0.028509419162
Long
ABS-CBDO
CORP
KY
N
2
2031-04-17
Floating
1.21100000
N
N
N
N
N
N
Structured Asset Mortgage Investments Inc
N/A
Structured Asset Mortgage Investments II Trust 2006-AR5
86360JAE1
148354.39000000
PA
USD
105548.32000000
0.003143722412
Long
ABS-MBS
CORP
US
N
2
2046-05-25
Floating
0.87700000
N
N
N
N
N
N
GALAXY PIPELINE ASSETS
549300L82YB0C6JQIC26
Galaxy Pipeline Assets Bidco Ltd
36321PAD2
451623.00000000
PA
USD
415424.87000000
0.012373294758
Long
DBT
CORP
JE
N
2
2034-03-31
Fixed
2.16000000
N
N
N
N
N
N
COMM Mortgage Trust
N/A
COMM 2013-CCRE6 Mortgage Trust
12624XAE8
19145595.32000000
PA
USD
56625.01000000
0.001686557522
Long
ABS-MBS
CORP
US
N
2
2046-03-10
Variable
0.99800000
N
N
N
N
N
N
CROWNROCK LP/CROWNROCK F
N/A
CrownRock LP / CrownRock Finance Inc
228701AF5
230000.00000000
PA
USD
234424.05000000
0.006982244151
Long
DBT
CORP
US
N
2
2025-10-15
Fixed
5.62500000
N
N
N
N
N
N
Forestar Group Inc
549300BC2UB0GHV60V70
Forestar Group Inc
346232101
12122.00000000
NS
USD
215286.72000000
0.006412244996
Long
EC
CORP
US
N
1
N
N
N
Madison Park Funding Ltd
254900END3IQSN7CTN87
Madison Park Funding XIX Ltd
55819QAY3
1022375.93000000
PA
USD
1017036.06000000
0.030292088554
Long
ABS-CBDO
CORP
KY
N
2
2028-01-22
Floating
1.17900000
N
N
N
N
N
N
APPLE INC
HWUPKR0MPOU8FGXBT394
Apple Inc
037833EE6
385000.00000000
PA
USD
335368.96000000
0.009988855493
Long
DBT
CORP
US
N
2
2041-02-08
Fixed
2.37500000
N
N
N
N
N
N
J&J Ventures Gaming, LLC
549300BYPH8FLKS5ZS70
J&J Ventures Gaming, LLC Term Loan
46604BAB4
712420.00000000
PA
USD
708412.64000000
0.021099840279
Long
LON
CORP
US
N
2
2028-04-26
Floating
4.75000000
N
N
N
N
N
N
KENBOURNE INVEST SA
222100QGH6Y9KFYZ4B27
Kenbourne Invest SA
48855KAA8
733000.00000000
PA
USD
719058.34000000
0.021416918994
Long
DBT
CORP
LU
N
2
2024-11-26
Fixed
6.87500000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138XEFF0
58523.85000000
PA
USD
58997.12000000
0.001757210047
Long
ABS-MBS
USGSE
US
N
2
2028-12-01
Fixed
3.00000000
N
N
N
N
N
N
TICP CLO Ltd
N/A
TICP CLO VII Ltd
87248UAD4
500000.00000000
PA
USD
485984.50000000
0.014474890408
Long
ABS-CBDO
CORP
KY
N
2
2033-04-15
Floating
7.29100000
N
N
N
N
N
N
Clear Creek CLO Ltd
N/A
Clear Creek CLO
18452LAG3
250000.00000000
PA
USD
249386.75000000
0.007427903308
Long
ABS-CBDO
CORP
KY
N
2
2030-10-20
Floating
1.45400000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Pool
3133KNCZ4
6299865.23000000
PA
USD
6046874.68000000
0.180104197373
Long
ABS-MBS
USGSE
US
N
2
2051-12-01
Fixed
2.50000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
3132KE3D5
478432.85000000
PA
USD
474180.93000000
0.014123324911
Long
ABS-MBS
USGSE
US
N
2
2030-05-01
Fixed
2.50000000
N
N
N
N
N
N
Freddie Mac - STACR
N/A
Freddie Mac STACR REMIC Trust 2021-DNA6
35564KLU1
3541000.00000000
PA
USD
3266798.06000000
0.097300518650
Long
ABS-MBS
USGSE
US
N
2
2041-10-25
Floating
3.49900000
N
N
N
N
N
N
Wells Fargo Commercial Mortgage Trust
N/A
Wells Fargo Commercial Mortgage Trust 2019-C50
95001XBF2
5079534.41000000
PA
USD
379914.63000000
0.011315633798
Long
ABS-MBS
CORP
US
N
2
2052-05-15
Variable
1.40800000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138WH3T7
824888.08000000
PA
USD
817305.14000000
0.024343168006
Long
ABS-MBS
USGSE
US
N
2
2031-10-01
Fixed
2.50000000
N
N
N
N
N
N
Trinitas CLO Ltd
549300095MXHZZMH2053
Trinitas CLO XIV Ltd
89641QAE0
560000.00000000
PA
USD
548578.80000000
0.016339241293
Long
ABS-CBDO
CORP
KY
N
2
2034-01-25
Floating
2.25800000
N
N
N
N
N
N
HUNTINGTON INGALLS INDUS
5TZLZ6WJTBVJ0QWBG121
Huntington Ingalls Industries Inc
446413AX4
654000.00000000
PA
USD
591204.63000000
0.017608837788
Long
DBT
CORP
US
N
2
2028-08-16
Fixed
2.04300000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31417GLT1
1544088.20000000
PA
USD
1539796.89000000
0.045862350001
Long
ABS-MBS
USGSE
US
N
2
2043-05-01
Fixed
3.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140XFGS4
3242712.60000000
PA
USD
3112485.68000000
0.092704374556
Long
ABS-MBS
USGSE
US
N
2
2052-01-01
Fixed
2.50000000
N
N
N
N
N
N
Madison Park Euro Funding
635400XLHN7OVUSEV112
Madison Park Euro Funding XIV DAC
000000000
250000.00000000
PA
270825.98000000
0.008066463807
Long
ABS-CBDO
CORP
IE
N
2
2032-07-15
Floating
3.60000000
N
N
N
N
N
N
Avoca CLO
549300CWET3O72JWIJ09
Avoca CLO XX DAC
000000000
160000.00000000
PA
169245.95000000
0.005040935623
Long
ABS-CBDO
CORP
IE
Y
2
2032-07-15
Floating
5.75000000
N
N
N
N
N
N
Battalion CLO LTD
549300WH2OE0BGHQQP83
Battalion CLO VIII Ltd
07132ACC5
1285000.00000000
PA
USD
1281784.93000000
0.038177547615
Long
ABS-CBDO
CORP
KY
N
2
2030-07-18
Floating
1.31100000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138EP6D1
112953.27000000
PA
USD
117898.72000000
0.003511575063
Long
ABS-MBS
USGSE
US
N
2
2041-01-01
Fixed
4.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138XHBF7
576566.19000000
PA
USD
614254.05000000
0.018295357273
Long
ABS-MBS
USGSE
US
N
2
2044-01-01
Fixed
4.50000000
N
N
N
N
N
N
Countrywide Asset-Backed Certificates
N/A
Countrywide Asset-Backed Certificates
12667AAA4
306793.69000000
PA
USD
298884.09000000
0.008902165496
Long
ABS-O
CORP
US
N
2
2036-12-25
Floating
0.71700000
N
N
N
N
N
N
AON CORP/AON GLOBAL HOLD
N/A
Aon Corp / Aon Global Holdings PLC
03740LAE2
157000.00000000
PA
USD
154945.33000000
0.004614996303
Long
DBT
CORP
US
N
2
2052-02-28
Fixed
3.90000000
N
N
N
N
N
N
Oak Hill European Credit Partners PLC
635400RBBBEHFZ8TOH13
OAK Hill European Credit Partners V Designated Activity Co
000000000
250000.00000000
PA
268439.52000000
0.007995383872
Long
ABS-CBDO
CORP
IE
N
2
2035-01-21
Floating
1.90000000
N
N
N
N
N
N
Signal Peak CLO, LLC
N/A
Signal Peak CLO 1 LTD
82666TAC3
3750000.00000000
PA
USD
3721147.50000000
0.110833169077
Long
ABS-CBDO
CORP
KY
N
2
2034-04-17
Floating
1.40100000
N
N
N
N
N
N
CHARTER COMM OPT LLC/CAP
N/A
Charter Communications Operating LLC / Charter Communications Operating Capital
161175BY9
903000.00000000
PA
USD
725975.88000000
0.021622955675
Long
DBT
CORP
US
N
2
2061-04-01
Fixed
3.85000000
N
N
N
N
N
ARES CLO Ltd
635400YF4AHA6NB2CU53
Ares XXXVII CLO Ltd
04015NAG9
390000.00000000
PA
USD
388468.08000000
0.011570395527
Long
ABS-CBDO
CORP
KY
N
2
2030-10-15
Floating
1.41100000
N
N
N
N
N
N
COMCAST CORP
51M0QTTNCGUN7KFCFZ59
Comcast Corp
20030NDA6
2934000.00000000
PA
USD
2816325.18000000
0.083883330303
Long
DBT
CORP
US
N
2
2030-02-01
Fixed
2.65000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138YXK95
179842.02000000
PA
USD
181538.28000000
0.005407058677
Long
ABS-MBS
USGSE
US
N
2
2030-09-01
Fixed
3.00000000
N
N
N
N
N
N
ArcLight Clean Transition Corp II
N/A
ArcLight Clean Transition Corp II
000000000
4354.00000000
NS
USD
5790.82000000
0.000172477691
N/A
DE
KY
N
1
N/A
N/A
Call
Purchased
ArcLight Clean Transition Corp II
ArcLight Clean Transition Corp II
11.50000000
11.50000000
USD
2023-02-04
XXXX
926.53000000
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138WFYM2
331192.78000000
PA
USD
328036.37000000
0.009770456682
Long
ABS-MBS
USGSE
US
N
2
2030-11-01
Fixed
2.50000000
N
N
N
N
N
N
BPCE SA
9695005MSX1OYEMGDF46
BPCE SA
05578AAN8
1822000.00000000
PA
USD
1730211.58000000
0.051533789667
Long
DBT
CORP
FR
N
2
2029-10-01
Fixed
2.70000000
N
N
N
N
N
N
Olympic Tower Mortgage Trust
N/A
Olympic Tower 2017-OT Mortgage Trust
68162MAC6
13300000.00000000
PA
USD
244094.90000000
0.007270287276
Long
ABS-MBS
CORP
US
N
2
2039-05-10
Variable
0.37900000
N
N
N
N
N
N
Bank of America N.A.
B4TYDEB6GKMZO031MB27
BRWYHMN41 BLACKROCK FXVAN CALL USD ZAR 15.5000000
000000000
2452000.00000000
OU
Notional Amount
USD
1184.32000000
0.000035274586
N/A
DFE
US
N
2
Bank of America N.A.
B4TYDEB6GKMZO031MB27
Call
Purchased
Bank of America, National Association
B4TYDEB6GKMZO031MB27
Bank of America, National Association
B4TYDEB6GKMZO031MB27
FX Contract
N/A
1.00000000
NC
USD
1184.32000000
0.00000000
DFE
XX
38006000.00000000
USD
2452000.00000000
EUR
2022-04-12
1.00000000
15.50000000
USD
2022-04-12
XXXX
-42596.14000000
N
N
N
Options Clearing Corp.
549300CII6SLYGKNHA04
OVINTIV INC MAY22 55 CALL
000000000
546.00000000
NC
USD
229320.00000000
0.006830221681
N/A
DE
US
N
1
Options Clearing Corp.
549300CII6SLYGKNHA04
Call
Purchased
Ovintiv Inc
Ovintiv Inc
100.00000000
55.00000000
USD
2022-05-20
XXXX
31542.88000000
N
N
N
OHIO POWER COMPANY
06ZODLC132CY1O2Y7D77
Ohio Power Co
677415CU3
383000.00000000
PA
USD
317387.52000000
0.009453284146
Long
DBT
CORP
US
N
2
2051-10-01
Fixed
2.90000000
N
N
N
N
N
N
PENINSULA PACIFIC ENTERT
N/A
Peninsula Pacific Entertainment LLC / Peninsula Pacific Entertainment Finance In
70715XAA4
1550000.00000000
PA
USD
1714687.50000000
0.051071409988
Long
DBT
CORP
US
N
2
2027-11-15
Fixed
8.50000000
N
N
N
N
N
N
Lendmark Funding Trust
N/A
Lendmark Funding Trust 2021-1
52607MAC3
220000.00000000
PA
USD
201704.21000000
0.006007694349
Long
ABS-O
CORP
US
N
2
2031-11-20
Fixed
3.41000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36180DVA2
395548.74000000
PA
USD
402493.20000000
0.011988129169
Long
ABS-MBS
USGA
US
N
2
2043-05-15
Fixed
3.50000000
N
N
N
N
N
N
PIONEER NATURAL RESOURCE
FY8JBF7CCL2VE4F1B628
Pioneer Natural Resources Co
723787AR8
781000.00000000
PA
USD
703821.42000000
0.020963092283
Long
DBT
CORP
US
N
2
2031-01-15
Fixed
2.15000000
N
N
N
N
N
N
TICP CLO Ltd
254900JG2DPAYUCW8T83
TICP CLO VI 2016-2 Ltd
87246MAS1
820000.00000000
PA
USD
810607.72000000
0.024143687528
Long
ABS-CBDO
CORP
KY
N
2
2034-01-15
Floating
1.36100000
N
N
N
N
N
N
Navient Student Loan Trust
N/A
Navient Private Education Refi Loan Trust 2020-F
63941XAB3
450000.00000000
PA
USD
430344.95000000
0.012817684492
Long
ABS-O
CORP
US
N
2
2069-07-15
Fixed
2.69000000
N
N
N
N
N
N
SERVICE PROPERTIES TRUST
529900IS770AG1K9QG27
Service Properties Trust
44106MAQ5
789000.00000000
PA
USD
785055.00000000
0.023382608066
Long
DBT
US
N
2
2022-08-15
Fixed
5.00000000
N
N
N
N
N
N
Ajax Mortgage Loan Trust
N/A
Ajax Mortgage Loan Trust 2018-E
00969KAC8
24908.94000000
PA
USD
24093.25000000
0.000717609621
Long
ABS-O
CORP
US
N
2
2058-06-25
Variable
0.00000000
N
N
N
N
N
N
BX Trust
N/A
BX Commercial Mortgage Trust 2018-BIOA
056057AQ5
418047.28000000
PA
USD
410508.30000000
0.012226856318
Long
ABS-MBS
CORP
US
N
2
2037-03-15
Floating
2.86800000
N
N
N
N
N
N
CROWN CASTLE INTL CORP
54930012H97VSM0I2R19
Crown Castle International Corp
22822VAK7
971000.00000000
PA
USD
970015.90000000
0.028891608368
Long
DBT
US
N
2
2028-02-15
Fixed
3.80000000
N
N
N
N
N
N
Octagon Investment Partners 51 Ltd
N/A
Octagon Investment Partners 51 Ltd
67578JAA7
1920000.00000000
PA
USD
1899350.40000000
0.056571534458
Long
ABS-CBDO
CORP
KY
N
2
2034-07-20
Floating
1.40400000
N
N
N
N
N
N
JP Morgan Chase Commercial Mortgage Sec Trust
N/A
JPMCC Commercial Mortgage Securities Trust 2019-COR5
46591EAX5
232000.00000000
PA
USD
216796.37000000
0.006457209431
Long
ABS-MBS
CORP
US
N
2
2052-06-13
Fixed
3.75000000
N
N
N
N
N
N
General Motors Co
54930070NSV60J38I987
General Motors Co
37045VAG5
514000.00000000
PA
USD
518760.94000000
0.015451126023
Long
DBT
CORP
US
N
2
2025-04-01
Fixed
4.00000000
N
N
N
N
N
N
BX Trust
N/A
BX Commercial Mortgage Trust 2021-NWM
12434AAE8
1171000.00000000
PA
USD
1156192.59000000
0.034436820581
Long
ABS-MBS
CORP
US
N
2
2033-02-15
Floating
4.64700000
N
N
N
N
N
N
Cantor Fitzgerald & Co.
5493004J7H4GCPG6OB62
Cantor Fitzgerald & Co.
000000000
1000000.00000000
PA
USD
1000000.00000000
0.029784675043
Long
RA
CORP
US
N
2
Repurchase
Y
0.29000000
2022-04-01
4.00000000
USD
3.82000000
USD
UST
700.00000000
USD
0.57000000
USD
ABS
60551.93000000
USD
23298.43000000
USD
ACMO
2327.19000000
USD
1763.44000000
USD
ADAS
1655973.71000000
USD
994933.76000000
USD
AMBS
N
N
BX Trust
N/A
BX Trust 2021-ARIA
05608RAJ4
344000.00000000
PA
USD
336225.74000000
0.010014374407
Long
ABS-MBS
CORP
US
N
2
2036-10-15
Floating
2.29200000
N
N
N
N
N
N
Bank of America N.A.
B4TYDEB6GKMZO031MB27
PURCHASED USD / SOLD EUR
000000000
1.00000000
NC
3792.72000000
0.000112964932
N/A
DFE
US
N
2
Bank of America N.A.
B4TYDEB6GKMZO031MB27
925000.00000000
EUR
1027073.75000000
USD
2022-04-01
3792.72000000
N
N
N
United States Treasury
254900HROIFWPRGM1V77
United States Treasury Note/Bond
9128282A7
10766000.00000000
PA
USD
10317276.46000000
0.307296726696
Long
DBT
UST
US
N
2
2026-08-15
Fixed
1.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140H4Q72
22915.62000000
PA
USD
23857.37000000
0.000710584012
Long
ABS-MBS
USGSE
US
N
2
2047-11-01
Fixed
4.50000000
N
N
N
N
N
N
COMM Mortgage Trust
N/A
COMM 2014-CCRE18 Mortgage Trust
12632QAW3
463566.86000000
PA
USD
460380.90000000
0.013712295502
Long
ABS-MBS
CORP
US
N
2
2047-07-15
Fixed
3.55000000
N
N
N
N
N
N
Morgan Stanley BAML Trust
N/A
Morgan Stanley Bank of America Merrill Lynch Trust 2015-C25
61765TAM5
170000.00000000
PA
USD
167688.66000000
0.004994552246
Long
ABS-MBS
CORP
US
N
2
2048-10-15
Variable
4.52600000
N
N
N
N
N
N
Babson CLO Ltd
549300Y5E22C3P2S6J52
Barings Clo Ltd 2015-II
06759FAB2
870000.00000000
PA
USD
867893.73000000
0.025849932720
Long
ABS-CBDO
CORP
KY
N
2
2030-10-20
Floating
1.44400000
N
N
N
N
N
N
Connect Finco Sarl
N/A
Connect Finco Sarl 2021 Term Loan B
000000000
1447516.13000000
PA
USD
1437263.37000000
0.042808422427
Long
LON
CORP
LU
N
2
2026-12-11
Floating
4.50000000
N
N
N
N
N
N
JPMORGAN CHASE & CO
8I5DZWZKVSZI1NUHU748
JPMorgan Chase & Co
46647PBK1
2995000.00000000
PA
USD
2890191.71000000
0.086083420896
Long
DBT
CORP
US
N
2
2026-04-22
Fixed
2.08300000
N
N
N
N
N
N
IPS CORPORATION
25490024F0AS5UR7DB02
IPS Corporation 2021 Term Loan
12659EAC2
146360.59000000
PA
USD
143433.38000000
0.004272116613
Long
LON
CORP
US
N
2
2028-10-02
Floating
4.00000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
31307JA52
269880.27000000
PA
USD
267432.88000000
0.007965401426
Long
ABS-MBS
USGSE
US
N
2
2029-08-01
Fixed
2.50000000
N
N
N
N
N
N
Morgan Stanley BAML Trust
N/A
Morgan Stanley Bank of America Merrill Lynch Trust 2014 C19
61764PAJ1
1810000.00000000
PA
USD
53424.87000000
0.001591242392
Long
ABS-MBS
CORP
US
N
2
2047-12-15
Variable
1.18000000
N
N
N
N
N
N
United States Treasury
254900HROIFWPRGM1V77
United States Treasury Note/Bond
91282CCD1
10482000.00000000
PA
USD
10267855.99000000
0.305824754057
Long
DBT
UST
US
N
2
2023-05-31
Fixed
0.12500000
N
N
N
N
N
N
UNITED MEXICAN STATES
254900EGTWEU67VP6075
Mexico Government International Bond
91087BAS9
2580000.00000000
PA
USD
2367072.60000000
0.070502488195
Long
DBT
NUSS
MX
N
2
2052-02-12
Fixed
4.40000000
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140F5BJ1
177826.56000000
PA
USD
173385.06000000
0.005164217669
Long
ABS-MBS
USGSE
US
N
2
2031-11-01
Fixed
2.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140J75N1
121504.28000000
PA
USD
120405.51000000
0.003586238988
Long
ABS-MBS
USGSE
US
N
2
2030-08-01
Fixed
2.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138YXT21
49183.98000000
PA
USD
48682.90000000
0.001450004356
Long
ABS-MBS
USGSE
US
N
2
2030-07-01
Fixed
2.50000000
N
N
N
N
N
N
CHENIERE CORP CHRISTI HD
549300I7CIEWU1BBLQ53
Cheniere Corpus Christi Holdings LLC
16412XAC9
3742000.00000000
PA
USD
3949429.05000000
0.117632460862
Long
DBT
CORP
US
N
2
2025-03-31
Fixed
5.87500000
N
N
N
N
N
N
SABINE PASS LIQUEFACTION
549300KJYBG7C6WJYZ11
Sabine Pass Liquefaction LLC
785592AD8
1735000.00000000
PA
USD
1775161.19000000
0.052872599194
Long
DBT
CORP
US
N
2
2023-04-15
Fixed
5.62500000
N
N
N
N
N
N
Generate CLO Ltd.
254900V675MOVWK0HA08
Generate CLO 6 Ltd
37148JAJ2
250000.00000000
PA
USD
249810.00000000
0.007440509672
Long
ABS-CBDO
CORP
KY
N
2
2035-01-22
Floating
3.74900000
N
N
N
N
N
N
JP Morgan Mortgage Trust
N/A
J.P. Morgan Mortgage Trust 2021-INV7
46654CAH8
4949876.61000000
PA
USD
4743953.82000000
0.141297122950
Long
ABS-MBS
CORP
US
N
2
2052-02-25
Variable
2.50000000
N
N
N
N
N
N
Lehman ABS Manufactured Housing Contract
N/A
Lehman ABS Manufactured Housing Contract Trust 2001-B
52519SAL7
1220915.77000000
PA
USD
1238139.11000000
0.036877571050
Long
ABS-O
CORP
US
N
2
2040-04-15
Variable
6.63000000
N
N
N
N
N
N
Service Experts Issuer
N/A
Service Experts Issuer 2021-1 LLC
81758VAA3
1182212.60000000
PA
USD
1131242.33000000
0.033693685194
Long
ABS-O
CORP
US
N
2
2032-02-02
Fixed
2.67000000
N
N
N
N
N
N
Altria Group Inc
XSGZFLO9YTNO9VCQV219
Altria Group Inc
02209SBE2
1943000.00000000
PA
USD
2094168.74000000
0.062374135407
Long
DBT
CORP
US
N
2
2039-02-14
Fixed
5.80000000
N
N
N
N
N
N
BRASKEM NETHERLANDS
2549000TLMHFQ74DS330
Braskem Netherlands Finance BV
10554TAE5
479000.00000000
PA
USD
475168.00000000
0.014152724471
Long
DBT
CORP
NL
N
2
2050-01-31
Fixed
5.87500000
N
N
N
N
N
Caesars Entertainment Inc
549300FA4CTCW903Y781
Caesars Entertainment Inc
12769G100
4625.00000000
NS
USD
357790.00000000
0.010656658883
Long
EC
CORP
US
N
1
N
N
N
New York Mortgage Trust
N/A
NYMT Loan Trust 2020-SP2
62955DAA4
2373814.33000000
PA
USD
2323971.11000000
0.069218724322
Long
ABS-MBS
CORP
US
N
2
2060-10-25
Variable
2.94400000
N
N
N
N
N
N
SABINE PASS LIQUEFACTION
549300KJYBG7C6WJYZ11
Sabine Pass Liquefaction LLC
785592AJ5
3483000.00000000
PA
USD
3645440.12000000
0.108578249365
Long
DBT
CORP
US
N
2
2024-05-15
Fixed
5.75000000
N
N
N
N
N
N
Freedom Mortgage Corp
549300LYRWPSYPK6S325
Freedom Mortgage Corp
35640YAB3
333000.00000000
PA
USD
331994.34000000
0.009888343533
Long
DBT
CORP
US
N
2
2025-04-15
Fixed
8.25000000
N
N
N
N
N
N
Bank of America N.A.
B4TYDEB6GKMZO031MB27
PURCHASED USD / SOLD EUR
000000000
1.00000000
NC
-4039.50000000
-0.00012031519
N/A
DFE
US
N
2
Bank of America N.A.
B4TYDEB6GKMZO031MB27
297000.00000000
EUR
325078.62000000
USD
2022-05-24
-4039.50000000
N
N
N
SG Mortgage Securities Trust
N/A
SG Mortgage Securities Trust 2006-OPT2
78420MAF6
570000.00000000
PA
USD
462991.16000000
0.013790041248
Long
ABS-O
CORP
US
N
2
2036-10-25
Floating
0.66700000
N
N
N
N
N
N
UNITED AIR 2016-1 AA PTT
N/A
United Airlines 2016-1 Class AA Pass Through Trust
90931LAA6
127346.32000000
PA
USD
123337.15000000
0.003673556933
Long
DBT
CORP
US
N
2
2028-07-07
Fixed
3.10000000
N
N
N
N
N
N
Henley CLO
6354009HFM8XXW6PPK55
Henley CLO IV DAC
000000000
250000.00000000
PA
271597.87000000
0.008089454300
Long
ABS-CBDO
CORP
IE
N
2
2034-04-25
Floating
2.10000000
N
N
N
N
N
N
Credit-Based Asset Servicing and Securitization
N/A
C-BASS 2006-CB7 TRUST
12479DAD0
179959.34000000
PA
USD
144796.44000000
0.004312714912
Long
ABS-O
CORP
US
N
2
2036-10-25
Floating
0.77700000
N
N
N
N
N
N
JP Morgan Mortgage Trust
N/A
J.P. Morgan Mortgage Trust 2021-INV7
46654CAY1
130742.65000000
PA
USD
60042.06000000
0.001788333246
Long
ABS-MBS
CORP
US
N
2
2052-02-25
Variable
3.22000000
N
N
N
N
N
N
JP Morgan Chase Commercial Mortgage Sec Trust
N/A
J.P. Morgan Chase Commercial Mortgage Securities Trust 2020-609M
46652RAL8
180000.00000000
PA
USD
174239.89000000
0.005189678503
Long
ABS-MBS
CORP
US
N
2
2033-10-15
Floating
3.16700000
N
N
N
N
N
N
Nelnet Student Loan Trust
N/A
Nelnet Student Loan Trust 2021-C
64035GAE9
160000.00000000
PA
USD
152032.93000000
0.004528251415
Long
ABS-O
CORP
US
N
2
2062-04-20
Fixed
4.44000000
N
N
N
N
N
N
CIGNA CORP
549300VIWYMSIGT1U456
Cigna Corp
125523CB4
1374000.00000000
PA
USD
1386699.63000000
0.041302397862
Long
DBT
CORP
US
N
2
2027-03-01
Fixed
3.40000000
N
N
N
N
N
N
Countrywide Alternative Loan Trust
N/A
Alternative Loan Trust 2006-OC10
23245FAE3
529825.48000000
PA
USD
510764.00000000
0.015212939764
Long
ABS-MBS
CORP
US
N
2
2036-11-25
Floating
0.91700000
N
N
N
N
N
N
STAR ENERGY CO ISSUE
N/A
Star Energy Geothermal Darajat II / Star Energy Geothermal Salak
85513LAB0
505000.00000000
PA
USD
499950.00000000
0.014890848288
Long
DBT
CORP
BM
N
2
2038-10-14
Fixed
4.85000000
N
N
N
N
N
N
NATIONAL RETAIL PROP INC
5493008JKH5SOTI0JS97
National Retail Properties Inc
637417AQ9
1707000.00000000
PA
USD
1501415.25000000
0.044719165326
Long
DBT
US
N
2
2051-04-15
Fixed
3.50000000
N
N
N
N
N
N
MGM RESORTS INTL
54930066VBP7DZEGGJ87
MGM Resorts International
552953CE9
59000.00000000
PA
USD
60476.18000000
0.001801263369
Long
DBT
CORP
US
N
2
2025-06-15
Fixed
5.75000000
N
N
N
N
N
N
Carrington Mortgage Loan Trust
N/A
Carrington Mortgage Loan Trust Series 2006-NC4
14453MAC8
203664.63000000
PA
USD
198761.40000000
0.005920043710
Long
ABS-O
CORP
US
N
2
2036-10-25
Floating
0.61700000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36181D7A8
471731.44000000
PA
USD
485854.98000000
0.014471032697
Long
ABS-MBS
USGA
US
N
2
2043-05-15
Fixed
3.50000000
N
N
N
N
N
N
Zekelman Industries, Inc.
549300S5LMRAKDWWI425
Zekelman Industries, Inc. 2020 Term Loan
98931YAC7
268389.15000000
PA
USD
264363.31000000
0.007873975281
Long
LON
CORP
US
N
2
2027-01-24
Floating
2.45700000
N
N
N
N
N
N
SM ENERGY CO
84BUTVXV5ODI6BXNMH43
SM Energy Co
78454LAT7
1129000.00000000
PA
USD
1232484.14000000
0.036709139606
Long
DBT
CORP
US
N
2
2025-01-15
Fixed
10.00000000
N
N
N
N
N
N
GOLDMAN SACHS GROUP INC
784F5XWPLTWKTBV3E584
Goldman Sachs Group Inc/The
38141GYN8
1490000.00000000
PA
USD
1347054.21000000
0.040121571911
Long
DBT
CORP
US
N
2
2032-10-21
Fixed
2.65000000
N
N
N
N
N
N
BURLINGTN NORTH SANTA FE
N/A
Burlington Northern Santa Fe LLC
12189LAA9
656000.00000000
PA
USD
817477.31000000
0.024348296033
Long
DBT
CORP
US
N
2
2040-05-01
Fixed
5.75000000
N
N
N
N
N
N
EMBRAER NETHERLANDS FINA
724500PBR8LR26XBSP67
Embraer Netherlands Finance BV
29082HAB8
174000.00000000
PA
USD
176829.24000000
0.005266801451
Long
DBT
CORP
NL
N
2
2027-02-01
Fixed
5.40000000
N
N
N
N
N
N
Bausch Health Cos Inc
B3BS7ACMDUWISF18KY76
Bausch Health Cos Inc
91911KAP7
647000.00000000
PA
USD
670340.53000000
0.019965874854
Long
DBT
CORP
CA
N
2
2025-12-15
Fixed
9.00000000
N
N
N
N
N
N
Park Avenue Institutional Advisers CLO
N/A
Park Avenue Institutional Advisers CLO Ltd 2021-1
70017PAA6
250000.00000000
PA
USD
238191.25000000
0.007094448979
Long
ABS-CBDO
CORP
KY
N
2
2034-01-20
Floating
7.55400000
N
N
N
N
N
N
Sixth Street CLO XVI, LTD.
N/A
Sixth Street CLO XIX Ltd
83012KAA5
2890000.00000000
PA
USD
2864423.50000000
0.085315923134
Long
ABS-CBDO
CORP
KY
N
2
2034-07-20
Floating
1.35400000
N
N
N
N
N
N
BSST Mortgage Trust
N/A
Beast Mortgage Trust
05601PAU0
454000.00000000
PA
USD
445264.09000000
0.013262046229
Long
ABS-MBS
CORP
US
N
2
2036-04-15
Floating
5.29900000
N
N
N
N
N
N
BOSTON SCIENTIFIC CORP
Y6ZDD9FP4P8JSSJMW954
Boston Scientific Corp
101137BA4
1187000.00000000
PA
USD
1113780.85000000
0.033173600687
Long
DBT
CORP
US
N
2
2030-06-01
Fixed
2.65000000
N
N
N
N
N
N
GLOBAL PAYMENTS INC
549300NOMHGVQBX6S778
Global Payments Inc
37940XAG7
327000.00000000
PA
USD
306914.12000000
0.009141337330
Long
DBT
CORP
US
N
2
2027-01-15
Fixed
2.15000000
N
N
N
N
N
N
Banc of America Commercial Mortgage Trust
N/A
Banc of America Commercial Mortgage Trust 2017-BNK3
06427DAU7
4070000.00000000
PA
USD
109984.83000000
0.003275862421
Long
ABS-MBS
CORP
US
N
2
2050-02-15
Variable
0.59900000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
3132GD3M2
240338.86000000
PA
USD
255269.17000000
0.007603109277
Long
ABS-MBS
USGSE
US
N
2
2041-05-01
Fixed
4.50000000
N
N
N
N
N
N
ACE03 MH1 B2
N/A
ACE03 MH1 B2
000000000
614342.54000000
PA
USD
509904.31000000
0.015187334176
Long
DBT
CORP
US
N
2
2030-08-15
Variable
0.00000000
N
N
N
N
N
N
AMERICAN TRANSMISSION SY
N/A
American Transmission Systems Inc
030288AC8
1120000.00000000
PA
USD
1035100.62000000
0.030830135604
Long
DBT
CORP
US
N
2
2032-01-15
Fixed
2.65000000
N
N
N
N
N
N
ROGERS COMMUNICATIONS IN
54930030NVF3Y2OL0A78
Rogers Communications Inc
775109CD1
2200000.00000000
PA
USD
2187148.08000000
0.065143494835
Long
DBT
CORP
CA
N
2
2052-03-15
Fixed
4.55000000
N
N
N
N
N
N
Exelon Corp
3SOUA6IRML7435B56G12
Exelon Corp
30161NAY7
731000.00000000
PA
USD
803933.80000000
0.023944906989
Long
DBT
CORP
US
N
2
2050-04-15
Fixed
4.70000000
N
N
N
N
N
N
United States Treasury
254900HROIFWPRGM1V77
United States Treasury Note/Bond
9128286T2
5471000.00000000
PA
USD
5455185.42000000
0.162480925037
Long
DBT
UST
US
N
2
2029-05-15
Fixed
2.37500000
N
N
N
N
N
N
Washington Mutual Asset-Backed CTFS
N/A
Washington Mutural Asset-Backed Certificates WMABS Series 2006-HE5 Trust
93934XAA1
592787.41000000
PA
USD
495770.58000000
0.014766365621
Long
ABS-O
CORP
US
N
2
2036-10-25
Floating
0.61200000
N
N
N
N
N
N
COLGATE ENERGY PARTNERS
549300QRLZK0B17DH791
Colgate Energy Partners III LLC
19416MAA7
126000.00000000
PA
USD
134317.26000000
0.004000595941
Long
DBT
CORP
US
N
2
2026-02-15
Fixed
7.75000000
N
N
N
N
N
N
AbbVie Inc
FR5LCKFTG8054YNNRU85
AbbVie Inc
00287YAR0
1765000.00000000
PA
USD
1894368.69000000
0.056423155844
Long
DBT
CORP
US
N
2
2035-05-14
Fixed
4.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31417GTW6
55015.11000000
PA
USD
54923.73000000
0.001635885450
Long
ABS-MBS
USGSE
US
N
2
2043-06-01
Fixed
3.00000000
N
N
N
N
N
N
NORTHERN STATES PWR-MINN
3S1GHB0TEH85KX44SB51
Northern States Power Co/MN
665772CS6
536000.00000000
PA
USD
453326.31000000
0.013502176832
Long
DBT
CORP
US
N
2
2051-06-01
Fixed
2.60000000
N
N
N
N
N
N
FREMF Mortgage Trust
N/A
FREMF 2018-K80 Mortgage Trust
30307RAE7
440000.00000000
PA
USD
441576.43000000
0.013152210474
Long
ABS-MBS
USGSE
US
N
2
2050-08-25
Variable
4.22900000
N
N
N
N
N
N
Wells Fargo Commercial Mortgage Trust
549300REQJRID6TODX95
Wells Fargo Commercial Mortgage Trust 2018-C48
95001RBB4
622000.00000000
PA
USD
637617.55000000
0.018991231528
Long
ABS-MBS
CORP
US
N
2
2052-01-15
Variable
4.90400000
N
N
N
N
N
N
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
Long: BRY05A1N4 CDS USD R V 03MEVENT 1 SOVEREIGN / Short: BRY05A1N4 CDS USD P F 1.00000 2 SOVEREIGN
000000000
978694.00000000
OU
Notional Amount
USD
50548.17000000
0.001505560817
N/A
DCR
US
N
2
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
Republic of South Africa
Republic of South Africa
Y
buy protection
2027-06-20
60713.46000000
USD
0.00000000
USD
978694.00000000
USD
-10165.29000000
N
N
N
Mosaic Co/The
2YD5STGSJNMUB7H76907
Mosaic Co/The
61945C103
5745.00000000
NS
USD
382042.50000000
0.011379011715
Long
EC
CORP
US
N
1
N
N
N
MGM GROWTH/MGM FINANCE
N/A
MGM Growth Properties Operating Partnership LP / MGP Finance Co-Issuer Inc
55303XAC9
965000.00000000
PA
USD
993448.20000000
0.029589531809
Long
DBT
US
N
2
2024-05-01
Fixed
5.62500000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
3128M9WN8
1037360.90000000
PA
USD
1144036.66000000
0.034074760156
Long
ABS-MBS
USGSE
US
N
2
2041-06-01
Fixed
5.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138ELX65
69082.56000000
PA
USD
73447.81000000
0.002187619153
Long
ABS-MBS
USGSE
US
N
2
2042-01-01
Fixed
4.50000000
N
N
N
N
N
N
MOZART DEBT MERGER SUB
N/A
Mozart Debt Merger Sub Inc
62482BAA0
3719000.00000000
PA
USD
3440075.00000000
0.102461516000
Long
DBT
CORP
US
N
2
2029-04-01
Fixed
3.87500000
N
N
N
N
N
N
PUBLIC SERVICE ELECTRIC
549300RUHPVD434XUK18
Public Service Electric and Gas Co
74456QCG9
394000.00000000
PA
USD
348766.21000000
0.010387888231
Long
DBT
CORP
US
N
2
2051-03-01
Fixed
3.00000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36180UFX2
155765.59000000
PA
USD
158424.82000000
0.004718631782
Long
ABS-MBS
USGA
US
N
2
2043-06-15
Fixed
3.50000000
N
N
N
N
N
N
Comcast Corp
51M0QTTNCGUN7KFCFZ59
Comcast Corp
20030NCE9
2672000.00000000
PA
USD
2694875.85000000
0.080266001475
Long
DBT
CORP
US
N
2
2049-11-01
Fixed
3.99900000
N
N
N
N
N
N
NORFOLK SOUTHERN CORP
54930036C8MWP850MI84
Norfolk Southern Corp
655844CM8
1562000.00000000
PA
USD
1522162.94000000
0.045337128531
Long
DBT
CORP
US
N
2
2032-03-15
Fixed
3.00000000
N
N
N
N
N
N
Banc of America Merrill Lynch Large Loan Inc
N/A
BAMLL Commercial Mortgage Securities Trust 2017-SCH
054966AG1
510000.00000000
PA
USD
488809.40000000
0.014559029137
Long
ABS-MBS
CORP
US
N
2
2033-11-15
Floating
1.79700000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
3132KFAJ1
137021.88000000
PA
USD
138549.52000000
0.004126652430
Long
ABS-MBS
USGSE
US
N
2
2030-08-01
Fixed
3.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138WFK47
350558.09000000
PA
USD
354213.06000000
0.010550120888
Long
ABS-MBS
USGSE
US
N
2
2030-09-01
Fixed
3.00000000
N
N
N
N
N
N
UNITED AIR 2019-2 B PTT
N/A
United Airlines 2019-2 Class B Pass Through Trust
90932KAA7
652592.99000000
PA
USD
589578.28000000
0.017560397482
Long
DBT
CORP
US
N
2
2028-05-01
Fixed
3.50000000
N
N
N
N
N
N
BALTIMORE GAS & ELECTRIC
88V8C2WYSOD1SPSSLH72
Baltimore Gas and Electric Co
059165EH9
980000.00000000
PA
USD
946969.06000000
0.028205165728
Long
DBT
CORP
US
N
2
2046-08-15
Fixed
3.50000000
N
N
N
N
N
N
GS Mortgage Securities Trust
N/A
GS Mortgage Securities Trust 2019-GSA1
36261PAZ5
110000.00000000
PA
USD
103475.56000000
0.003081985929
Long
ABS-MBS
CORP
US
N
2
2052-11-10
Variable
3.80400000
N
N
N
N
N
N
NRG ENERGY INC
5E2UPK5SW04M13XY7I38
NRG Energy Inc
629377CP5
1791000.00000000
PA
USD
1651845.75000000
0.049199688886
Long
DBT
CORP
US
N
2
2027-12-02
Fixed
2.45000000
N
N
N
N
N
N
United States Treasury
254900HROIFWPRGM1V77
United States Treasury Note/Bond
912828ZS2
15364000.00000000
PA
USD
13904420.00000000
0.414138631370
Long
DBT
UST
US
N
2
2027-05-31
Fixed
0.50000000
N
N
N
N
N
N
NISSAN MOTOR CO
353800DRBDH1LUTNAY26
Nissan Motor Co Ltd
654744AD3
5041000.00000000
PA
USD
4997421.31000000
0.148846569774
Long
DBT
CORP
JP
N
2
2030-09-17
Fixed
4.81000000
N
N
N
N
N
N
BSST Mortgage Trust
N/A
Beast Mortgage Trust
05601PAL0
697000.00000000
PA
USD
676211.63000000
0.020140743660
Long
ABS-MBS
CORP
US
N
2
2036-04-15
Floating
1.99700000
N
N
N
N
N
N
OCP CLO Ltd
254900OVGEI8FTD7PT85
OCP CLO 2013-4 Ltd
67105HBC8
911000.00000000
PA
USD
899049.50000000
0.026777897205
Long
ABS-CBDO
CORP
KY
N
2
2029-04-24
Floating
2.15900000
N
N
N
N
N
N
DEVON ENERGY CORPORATION
54930042348RKR3ZPN35
Devon Energy Corp
25179MAU7
560000.00000000
PA
USD
609688.49000000
0.018159373552
Long
DBT
CORP
US
N
2
2045-06-15
Fixed
5.00000000
N
N
N
N
N
BX Trust
N/A
BX 2021-MFM1
05608VAN6
430000.00000000
PA
USD
422350.95000000
0.012579585800
Long
ABS-MBS
CORP
US
N
2
2034-01-15
Floating
3.39700000
N
N
N
N
N
N
REPUBLIC OF INDONESIA
529900FWX0GRR7WG5W79
Indonesia Government International Bond
455780CQ7
662000.00000000
PA
USD
650621.91000000
0.019378562165
Long
DBT
NUSS
ID
N
2
2030-02-14
Fixed
2.85000000
N
N
N
N
N
DEVON ENERGY CORPORATION
54930042348RKR3ZPN35
Devon Energy Corp
25179MAV5
250000.00000000
PA
USD
270562.40000000
0.008058613163
Long
DBT
CORP
US
N
2
2025-12-15
Fixed
5.85000000
N
N
N
N
N
N
Reynolds American Inc
02S2RPPVO9RP4NEU2740
Reynolds American Inc
761713BB1
1045000.00000000
PA
USD
1075228.49000000
0.032025331172
Long
DBT
CORP
US
N
2
2045-08-15
Fixed
5.85000000
N
N
N
N
N
N
Countrywide Asset-Backed Certificates
N/A
CWABS Asset-Backed Certificates Trust 2006-11
12666TAJ5
23947.95000000
PA
USD
23844.62000000
0.000710204258
Long
ABS-O
CORP
US
N
2
2046-09-25
Floating
0.61700000
N
N
N
N
N
N
Longfellow Place CLO Ltd
549300FY38ZCUKZQU403
Longfellow Place CLO Ltd
54303PBA2
250000.00000000
PA
USD
248225.25000000
0.007393308408
Long
ABS-CBDO
CORP
KY
N
2
2029-04-15
Floating
1.99100000
N
N
N
N
N
N
PETROLEOS MEXICANOS
549300CAZKPF4HKMPX17
Petroleos Mexicanos
71643VAB1
4644000.00000000
PA
USD
4411800.00000000
0.131404029357
Long
DBT
CORP
MX
N
2
2032-02-16
Fixed
6.70000000
N
N
N
N
N
N
BX Commercial Mortgage Trust 2019-XL
N/A
BX Commercial Mortgage Trust 2019-XL
056054AK5
3944000.00000000
PA
USD
3859963.22000000
0.114967750188
Long
ABS-MBS
CORP
US
N
2
2036-10-15
Floating
2.69700000
N
N
N
N
N
N
Whitebox CLO III Ltd
549300JXCQSPB1A61C68
Whitebox CLO III Ltd
96467HAJ5
250000.00000000
PA
USD
244454.50000000
0.007280997845
Long
ABS-CBDO
CORP
KY
N
2
2034-10-15
Floating
3.47100000
N
N
N
N
N
N
Citibank N.A.
E57ODZWZ7FF32TWEFA76
PURCHASED USD / SOLD MXN
000000000
1.00000000
NC
-17883.81000000
-0.00053266346
N/A
DFE
US
N
2
Citibank N.A.
E57ODZWZ7FF32TWEFA76
9056720.03000000
MXN
437456.56000000
USD
2022-04-01
-17883.81000000
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
3132XCSJ5
698758.79000000
PA
USD
734575.66000000
0.021879097328
Long
ABS-MBS
USGSE
US
N
2
2049-04-01
Fixed
4.50000000
N
N
N
N
N
N
Los Angeles Community College District/CA
N/A
LOS ANGELES CA CMNTY CLG DIST
54438CNZ1
785000.00000000
PA
USD
1101628.02000000
0.032811632594
Long
DBT
MUN
US
N
2
2042-08-01
Fixed
6.60000000
N
N
N
N
N
N
AEA International Holdings (Lux) S.a.r.l.
N/A
AEA International Holdings (Lux) S.a.r.l. Term Loan B
000000000
661500.00000000
PA
USD
660673.13000000
0.019677934487
Long
LON
CORP
LU
N
2
2028-09-07
Floating
4.81300000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38379Y6T0
1759885.04000000
PA
USD
75710.61000000
0.002255015916
Long
ABS-MBS
USGA
US
N
2
2057-12-16
Variable
0.82200000
N
N
N
N
N
N
Regatta VII Funding Ltd
549300DA6HSLI0UPTQ25
Regatta VII Funding Ltd
75888ABE5
280000.00000000
PA
USD
278226.48000000
0.008286885295
Long
ABS-CBDO
CORP
KY
N
2
2034-06-20
Floating
2.07800000
N
N
N
N
N
N
UBS AG
BFM8T61CT2L1QCEMIK50
PURCHASED TRY / SOLD USD
000000000
1.00000000
NC
11206.47000000
0.000333781067
N/A
DFE
TR
N
2
UBS AG
BFM8T61CT2L1QCEMIK50
337246.65000000
USD
5383649.38000000
TRY
2022-06-08
11206.47000000
N
N
N
Countrywide Alternative Loan Trust
N/A
Alternative Loan Trust 2007-3T1
02149VAA7
95980.67000000
PA
USD
56851.33000000
0.001693298389
Long
ABS-MBS
CORP
US
N
2
2037-04-25
Fixed
6.00000000
N
N
N
N
N
N
Sarcos Technology and Robotics Corp
N/A
Sarcos Technology and Robotics Corp
80359A106
6978.00000000
NS
USD
46403.70000000
0.001382119125
Long
EC
CORP
US
N
1
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140EXCP6
32065.14000000
PA
USD
31776.73000000
0.000946459577
Long
ABS-MBS
USGSE
US
N
2
2031-08-01
Fixed
2.50000000
N
N
N
N
N
N
SMB Private Education Loan Trust
N/A
SMB Private Education Loan Trust 2021-A
78448YAF8
1010000.00000000
PA
USD
965383.05000000
0.028753620436
Long
ABS-O
CORP
US
N
2
2053-01-15
Fixed
3.86000000
N
N
N
N
N
N
MID-ATLANTIC INTERSTATE
N/A
Mid-Atlantic Interstate Transmission LLC
59524QAA3
240000.00000000
PA
USD
242152.30000000
0.007212427566
Long
DBT
CORP
US
N
2
2028-05-15
Fixed
4.10000000
N
N
N
N
N
N
GOLDMAN SACHS GROUP INC
784F5XWPLTWKTBV3E584
Goldman Sachs Group Inc/The
38141GXS8
1751000.00000000
PA
USD
1631270.91000000
0.048586873962
Long
DBT
CORP
US
N
2
2026-02-12
Fixed
0.85500000
N
N
N
N
N
N
BIOGEN INC
W8J5WZB5IY3K0NDQT671
Biogen Inc
09062XAG8
821000.00000000
PA
USD
672310.68000000
0.020024555132
Long
DBT
CORP
US
N
2
2050-05-01
Fixed
3.15000000
N
N
N
N
N
N
CHARTER COMM OPT LLC/CAP
N/A
Charter Communications Operating LLC / Charter Communications Operating Capital
161175CJ1
1670000.00000000
PA
USD
1665060.79000000
0.049593294558
Long
DBT
CORP
US
N
2
2033-04-01
Fixed
4.40000000
N
N
N
N
N
N
CVS Health Corp
549300EJG376EN5NQE29
CVS Health Corp
126650CN8
3030000.00000000
PA
USD
3420295.72000000
0.101872396573
Long
DBT
CORP
US
N
2
2045-07-20
Fixed
5.12500000
N
N
N
N
N
N
PENSKE TRUCK LEASING/PTL
N/A
Penske Truck Leasing Co Lp / PTL Finance Corp
709599BJ2
1003000.00000000
PA
USD
1012745.94000000
0.030164308724
Long
DBT
CORP
US
N
2
2025-07-15
Fixed
4.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138ALJW8
130873.50000000
PA
USD
141125.00000000
0.004203362265
Long
ABS-MBS
USGSE
US
N
2
2041-07-01
Fixed
5.00000000
N
N
N
N
N
N
Navient Corp
54930067J0ZNOEBRW338
Navient Corp
63938CAB4
223000.00000000
PA
USD
227491.22000000
0.006775752062
Long
DBT
CORP
US
N
2
2024-10-25
Fixed
5.87500000
N
N
N
N
N
N
Madison Park Funding Ltd
N/A
Madison Park Funding XXXVII Ltd
55817EAN6
350000.00000000
PA
USD
348821.20000000
0.010389526090
Long
ABS-CBDO
CORP
KY
N
2
2033-07-15
Floating
1.31100000
N
N
N
N
N
N
Citibank N.A.
E57ODZWZ7FF32TWEFA76
Long: BRY05VN79 TRS USD R V 12MSOFR BRY05VN95 EQUITYTRS / Short: BRY05VN79 TRS USD P E BRY05VN87 EQUITYTRS
000000000
126696.40000000
OU
Notional Amount
USD
2140.54000000
0.000063755288
N/A
DE
US
N
2
Citibank N.A.
E57ODZWZ7FF32TWEFA76
TreeHouse Foods Inc
TreeHouse Foods Inc
Y
equity-performance leg
2022-09-09
0.00000000
USD
0.00000000
USD
126696.40000000
USD
2140.54000000
N
N
N
LAM RESEARCH CORP
549300I4GMO6D34U1T02
Lam Research Corp
512807AW8
480000.00000000
PA
USD
424584.75000000
0.012646118807
Long
DBT
CORP
US
N
2
2050-06-15
Fixed
2.87500000
N
N
N
N
N
N
Options Clearing Corp.
549300CII6SLYGKNHA04
OCCIDENTAL PETROLEUM CORP MAY22 65 CALL
000000000
242.00000000
NC
USD
53240.00000000
0.001585736099
N/A
DE
US
N
1
Options Clearing Corp.
549300CII6SLYGKNHA04
Call
Purchased
Occidental Petroleum Corp
Occidental Petroleum Corp
100.00000000
65.00000000
USD
2022-05-20
XXXX
-49691.95000000
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138WFEW2
250347.90000000
PA
USD
247999.70000000
0.007386590475
Long
ABS-MBS
USGSE
US
N
2
2030-08-01
Fixed
2.50000000
N
N
N
N
N
N
CSC HOLDINGS LLC
3HG2WD2W22M120IUNG49
CSC Holdings LLC
126307BA4
845000.00000000
PA
USD
752050.00000000
0.022399564866
Long
DBT
CORP
US
N
2
2030-01-15
Fixed
5.75000000
N
N
N
N
N
N
Washington Mutual Bank
N/A
WASHINGTON MUTUAL INC
939ESCBE8
1310000.00000000
PA
USD
0.13000000
0.000000003872
Long
DBT
CORP
US
N
3
2049-09-20
None
0.00000000
Y
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
3132WJUH2
146544.08000000
PA
USD
145692.26000000
0.004339396620
Long
ABS-MBS
USGSE
US
N
2
2046-12-01
Fixed
3.00000000
N
N
N
N
N
N
IHEARTCOMMUNICATIONS INC
54930076J6KDZL504O62
iHeartCommunications Inc
45174HBE6
324000.00000000
PA
USD
320355.00000000
0.009541669573
Long
DBT
CORP
US
N
2
2027-08-15
Fixed
5.25000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
31307NDE1
12029.86000000
PA
USD
12163.86000000
0.000362296617
Long
ABS-MBS
USGSE
US
N
2
2030-06-01
Fixed
3.00000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
31307LHB7
146849.92000000
PA
USD
145453.24000000
0.004332277487
Long
ABS-MBS
USGSE
US
N
2
2029-12-01
Fixed
2.50000000
N
N
N
N
N
N
PENSKE TRUCK LEASING/PTL
N/A
Penske Truck Leasing Co Lp / PTL Finance Corp
709599AZ7
337000.00000000
PA
USD
340635.95000000
0.010145731078
Long
DBT
CORP
US
N
2
2025-03-10
Fixed
3.95000000
N
N
N
N
N
N
HCA Inc
L3CJ6J7LJ2DX62FTXD46
HCA Inc
404121AF2
1737000.00000000
PA
USD
1780362.68000000
0.053027523883
Long
DBT
CORP
US
N
2
2023-05-01
Fixed
4.75000000
N
N
N
N
N
N
GE CAPITAL INTL FUNDING
549300G6UZOB126GBY72
GE Capital International Funding Co Unlimited Co
36164QNA2
2524000.00000000
PA
USD
2710242.20000000
0.080723683216
Long
DBT
CORP
IE
N
2
2035-11-15
Fixed
4.41800000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
31307NV50
82938.17000000
PA
USD
83863.13000000
0.002497836075
Long
ABS-MBS
USGSE
US
N
2
2030-08-01
Fixed
3.00000000
N
N
N
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
Long: SRWV76YT6 IRS USD R F 2.82250 2 CCPINFLATIONZERO / Short: SRWV76YT6 IRS USD P V 12MUSCPI 1 CCPINFLATIONZERO
000000000
4889766.00000000
OU
Notional Amount
USD
-249765.53000000
-0.00743918514
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
Inflation based on US CPI Urban Consumers NSA
2031-11-10
97.73000000
USD
0.00000000
USD
4889766.00000000
USD
-249863.26000000
N
N
N
CLEAR CHANNEL OUTDOOR HO
N/A
Clear Channel Outdoor Holdings Inc
18453HAA4
640000.00000000
PA
USD
633081.60000000
0.018856129732
Long
DBT
CORP
US
N
2
2027-08-15
Fixed
5.12500000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Pool
3132DMRZ0
1479644.83000000
PA
USD
1540846.27000000
0.045893605444
Long
ABS-MBS
USGSE
US
N
2
2047-07-01
Fixed
4.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138WD6X4
10638.92000000
PA
USD
10540.95000000
0.000313958770
Long
ABS-MBS
USGSE
US
N
2
2030-02-01
Fixed
2.50000000
N
N
N
N
N
N
United States Treasury
254900HROIFWPRGM1V77
United States Treasury Note/Bond
912810RC4
3865000.00000000
PA
USD
4484003.91000000
0.133554599353
Long
DBT
UST
US
N
2
2043-08-15
Fixed
3.62500000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140QGS73
487959.00000000
PA
USD
511575.04000000
0.015237096326
Long
ABS-MBS
USGSE
US
N
2
2051-01-01
Fixed
4.00000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
3132JADY8
169925.82000000
PA
USD
173006.45000000
0.005152940893
Long
ABS-MBS
USGSE
US
N
2
2043-06-01
Fixed
3.50000000
N
N
N
N
N
N
Motorola Solutions Inc
6S552MUG6KGJVEBSEC55
Motorola Solutions Inc
620076BN8
2555000.00000000
PA
USD
2656900.76000000
0.079134925759
Long
DBT
CORP
US
N
2
2029-05-23
Fixed
4.60000000
N
N
N
N
N
N
VMWARE INC
549300BUDHS3LRWBE814
VMware Inc
928563AL9
1931000.00000000
PA
USD
1700115.74000000
0.050637394852
Long
DBT
CORP
US
N
2
2031-08-15
Fixed
2.20000000
N
N
N
N
N
N
Benefit Street Partners CLO Ltd
N/A
Benefit Street Partners CLO Ltd
08182DAC8
3800000.00000000
PA
USD
3764135.60000000
0.112113555666
Long
ABS-CBDO
CORP
KY
N
2
2034-07-20
Floating
1.44400000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae
21H022655
5700000.00000000
PA
USD
5516085.91000000
0.164294826342
Long
ABS-MBS
USGA
US
N
2
2052-05-19
Fixed
2.50000000
N
N
N
N
N
N
CONTINUUM ENERGY LEVANTE
254900MFSMO37F3WJ232
Continuum Energy Levanter Pte Ltd
21218MAB1
369843.75000000
PA
USD
355604.77000000
0.010591572518
Long
DBT
CORP
SG
N
2
2027-02-09
Fixed
4.50000000
N
N
N
N
N
N
BROADCOM INC
549300WV6GIDOZJTV909
Broadcom Inc
11135FBL4
2539000.00000000
PA
USD
2351447.27000000
0.070037092819
Long
DBT
CORP
US
N
2
2034-04-15
Fixed
3.46900000
N
N
N
N
N
N
REPUBLIC SERVICES INC
NKNQHM6BLECKVOQP7O46
Republic Services Inc
760759BA7
245000.00000000
PA
USD
219954.51000000
0.006551273604
Long
DBT
CORP
US
N
2
2033-03-15
Fixed
2.37500000
N
N
N
N
N
N
RAYTHEON TECH CORP
I07WOS4YJ0N7YRFE7309
Raytheon Technologies Corp
75513ECN9
1119000.00000000
PA
USD
1027274.06000000
0.030597024057
Long
DBT
CORP
US
N
2
2032-03-15
Fixed
2.37500000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138XUAA0
590021.62000000
PA
USD
595550.19000000
0.017738268881
Long
ABS-MBS
USGSE
US
N
2
2029-04-01
Fixed
3.00000000
N
N
N
N
N
N
Armada Euro CLO
549300236OBWCGBX8R96
Armada Euro CLO III DAC
000000000
440000.00000000
PA
480545.78000000
0.014312899900
Long
ABS-CBDO
CORP
IE
N
2
2031-07-15
Floating
2.35000000
N
N
N
N
N
N
Buckeye Partners LP
549300C1PQJLVEIUBK50
Buckeye Partners LP
118230AQ4
54000.00000000
PA
USD
52770.96000000
0.001571765895
Long
DBT
CORP
US
N
2
2026-12-01
Fixed
3.95000000
N
N
N
N
N
N
Battalion CLO LTD
549300O0R7FIDPTPCK50
Battalion CLO XI Ltd
07132LAN9
250000.00000000
PA
USD
248498.25000000
0.007401439625
Long
ABS-CBDO
CORP
KY
N
2
2034-04-24
Floating
1.97900000
N
N
N
N
N
N
Prodigy Finance Designated Activity Co
635400HTAZNW3LYYMQ40
Prodigy Finance CM2021-1 DAC
742855AB5
250000.00000000
PA
USD
249952.90000000
0.007444765902
Long
ABS-O
CORP
IE
N
2
2051-07-25
Floating
2.95700000
N
N
N
N
N
N
Barclays Bank PLC
G5GSEF7VJP5I7OUK5573
PURCHASED USD / SOLD IDR
000000000
1.00000000
NC
-3687.28000000
-0.00010982443
N/A
DFE
US
N
2
Barclays Bank PLC
G5GSEF7VJP5I7OUK5573
15775254816.00000000
IDR
1094060.25000000
USD
2022-04-18
-3687.28000000
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140EXEK5
368687.18000000
PA
USD
390516.96000000
0.011631420752
Long
ABS-MBS
USGSE
US
N
2
2046-09-01
Fixed
4.50000000
N
N
N
N
N
N
California Resources Corp
5493003Q8F0T4F4YMR48
California Resources Corp
13057Q305
43177.00000000
NS
USD
1931307.21000000
0.057523357659
Long
EC
CORP
US
N
1
N
N
N
GLP CAPITAL LP / FIN II
N/A
GLP Capital LP / GLP Financing II Inc
361841AP4
3226000.00000000
PA
USD
3131187.86000000
0.093261412910
Long
DBT
US
N
2
2030-01-15
Fixed
4.00000000
N
N
N
N
N
N
Conair Holdings, LLC
549300804G00T34FLV17
Conair Holdings, LLC Term Loan B
20600RAB8
213465.00000000
PA
USD
210423.12000000
0.006267384250
Long
LON
CORP
US
N
2
2028-05-17
Floating
4.75600000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Pool
3133KJUF7
2027560.81000000
PA
USD
1996476.50000000
0.059464403784
Long
ABS-MBS
USGSE
US
N
2
2050-08-01
Fixed
3.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31417YNF0
20262.37000000
PA
USD
21975.15000000
0.000654522701
Long
ABS-MBS
USGSE
US
N
2
2040-04-01
Fixed
5.50000000
N
N
N
N
N
N
BSST Mortgage Trust
N/A
Beast Mortgage Trust
05601PAJ5
751000.00000000
PA
USD
728590.16000000
0.021700821155
Long
ABS-MBS
CORP
US
N
2
2036-04-15
Floating
1.74700000
N
N
N
N
N
N
AMER AIRLINE 16-2 AA PTT
N/A
American Airlines 2016-2 Class AA Pass Through Trust
023765AA8
420475.00000000
PA
USD
399024.13000000
0.011884804046
Long
DBT
CORP
US
N
2
2028-06-15
Fixed
3.20000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140XFA43
1249266.85000000
PA
USD
1200263.97000000
0.035749472313
Long
ABS-MBS
USGSE
US
N
2
2051-11-01
Fixed
2.50000000
N
N
N
N
N
N
Natixis Commercial Mortgage Securities
N/A
Natixis Commercial Mortgage Securities Trust 2018-FL1
63874MAA0
126023.19000000
PA
USD
121278.72000000
0.003612247264
Long
ABS-MBS
CORP
US
N
2
2035-06-15
Floating
1.34700000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138WJEZ7
539490.29000000
PA
USD
526019.10000000
0.015667307960
Long
ABS-MBS
USGSE
US
N
2
2031-11-01
Fixed
2.00000000
N
N
N
N
N
N
CAESARS ENTERTAIN INC
549300FA4CTCW903Y781
Caesars Entertainment Inc
12769GAA8
210000.00000000
PA
USD
196350.00000000
0.005848220944
Long
DBT
CORP
US
N
2
2029-10-15
Fixed
4.62500000
N
N
N
N
N
TICP CLO LTD
N/A
TICP CLO XII Ltd
87250FAL4
250000.00000000
PA
USD
248443.00000000
0.007399794021
Long
ABS-CBDO
CORP
KY
N
2
2034-07-15
Floating
1.41100000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31419EJ67
308369.16000000
PA
USD
328048.32000000
0.009770812609
Long
ABS-MBS
USGSE
US
N
2
2040-11-01
Fixed
4.50000000
N
N
N
N
N
N
ROCKFORD TOWER EUROPE CLO
635400J1BXSISHD5XN53
Rockford Tower Europe CLO 2018-1 DAC
000000000
270000.00000000
PA
283155.69000000
0.008433700213
Long
ABS-CBDO
CORP
IE
N
2
2031-12-20
Floating
5.36000000
N
N
N
N
N
N
FIRSTENERGY CORP
549300SVYJS666PQJH88
FirstEnergy Corp
337932AP2
849000.00000000
PA
USD
751365.00000000
0.022379162364
Long
DBT
CORP
US
N
2
2030-09-01
Fixed
2.25000000
N
N
N
N
N
N
PRIMA Capital LTD
N/A
Prima Capital CRE Securitization 2016-VI Ltd
74165WAA3
1740000.00000000
PA
USD
1664659.74000000
0.049581349414
Long
ABS-CBDO
CORP
KY
N
2
2040-08-24
Fixed
4.00000000
N
N
N
N
N
N
REPUBLICA ORIENT URUGUAY
549300RDR012H2V82H43
Uruguay Government International Bond
760942BB7
1266587.00000000
PA
USD
1342594.89000000
0.039988752513
Long
DBT
NUSS
UY
N
2
2027-10-27
Fixed
4.37500000
N
N
N
N
N
N
NOMURA HOLDINGS INC
549300B3CEAHYG7K8164
Nomura Holdings Inc
65535HAX7
2722000.00000000
PA
USD
2446558.70000000
0.072869955854
Long
DBT
CORP
JP
N
2
2031-07-14
Fixed
2.60800000
N
N
N
N
N
N
SUNOCO LP/FINANCE CORP
N/A
Sunoco LP / Sunoco Finance Corp
86765LAU1
1029000.00000000
PA
USD
948002.27000000
0.028235939552
Long
DBT
CORP
US
N
2
2030-04-30
Fixed
4.50000000
N
N
N
N
N
N
Edison International
549300I7ROF15MAEVP56
Edison International
281020AL1
1991000.00000000
PA
USD
1992764.68000000
0.059353848432
Long
DBT
CORP
US
N
2
2022-09-15
Fixed
2.40000000
N
N
N
N
N
N
PRIMA Capital LTD
N/A
Prima Capital CRE Securitization 2015-IV Ltd
74165GAB6
260000.00000000
PA
USD
249869.62000000
0.007442285434
Long
ABS-CBDO
CORP
KY
N
2
2049-08-24
Fixed
4.00000000
N
N
N
N
N
N
MITSUBISHI UFJ FIN GRP
353800V2V8PUY9TK3E06
Mitsubishi UFJ Financial Group Inc
606822BN3
1767000.00000000
PA
USD
1708325.42000000
0.050881917503
Long
DBT
CORP
JP
N
2
2025-02-25
Fixed
2.19300000
N
N
N
N
N
N
GS Mortgage Securities Trust
N/A
GS Mortgage Securities Trust 2014-GC20
36252WBC1
50000.00000000
PA
USD
48905.83000000
0.001456644254
Long
ABS-MBS
CORP
US
N
2
2047-04-10
Variable
4.52900000
N
N
N
N
N
N
Deutsche Bank AG
7LTWFZYICNSX8D621K86
PURCHASED USD / SOLD MXN
000000000
1.00000000
NC
-2130.74000000
-0.00006346339
N/A
DFE
US
N
2
Deutsche Bank AG
7LTWFZYICNSX8D621K86
1107847.95000000
MXN
53568.00000000
USD
2022-04-01
-2130.74000000
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
3132KE6X8
683612.52000000
PA
USD
677748.35000000
0.020186514366
Long
ABS-MBS
USGSE
US
N
2
2030-08-01
Fixed
2.50000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
31307NM68
84325.71000000
PA
USD
85265.57000000
0.002539607294
Long
ABS-MBS
USGSE
US
N
2
2030-07-01
Fixed
3.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140XEA38
1416135.14000000
PA
USD
1319146.06000000
0.039290336732
Long
ABS-MBS
USGSE
US
N
2
2051-12-01
Fixed
2.00000000
N
N
N
N
N
N
AZUL INVESTMENTS LLP
549300C6XNC8IDH04C74
Azul Investments LLP
05502FAC2
315000.00000000
PA
USD
265387.50000000
0.007904480448
Long
DBT
CORP
US
N
2
2026-06-15
Fixed
7.25000000
N
N
N
N
N
GENER MEDIT/CENT TERMICA
N/A
Generacion Mediterranea SA / Central Termica Roca SA
36875KAD3
1022590.80000000
PA
USD
802733.78000000
0.023909164783
Long
DBT
CORP
AR
N
2
2027-12-01
Fixed
9.62500000
N
N
N
N
N
N
Wells Fargo Commercial Mortgage Trust
N/A
Wells Fargo Commercial Mortgage Trust 2020-SDAL
95002GAJ1
260000.00000000
PA
USD
246210.72000000
0.007333306287
Long
ABS-MBS
CORP
US
N
2
2037-02-15
Floating
3.13700000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138XU2S0
246481.21000000
PA
USD
248712.48000000
0.007407820396
Long
ABS-MBS
USGSE
US
N
2
2029-05-01
Fixed
3.00000000
N
N
N
N
N
N
GXO LOGISTICS INC
5493007CNWMXN78JRN66
GXO Logistics Inc
36262GAA9
160000.00000000
PA
USD
144447.97000000
0.004302335847
Long
DBT
CORP
US
N
2
2026-07-15
Fixed
1.65000000
N
N
N
N
N
N
Ajax Mortgage Loan Trust
N/A
Ajax Mortgage Loan Trust 2020-A
00969WAC2
1743235.15000000
PA
USD
1093008.44000000
0.032554901205
Long
ABS-O
CORP
US
N
2
2059-12-25
None
0.00000000
N
N
N
N
N
N
Pretium Mortgage Credit Partners LLC
N/A
PRET 2021-NPL6 LLC
69362GAA9
2492352.42000000
PA
USD
2417194.79000000
0.071995361337
Long
ABS-O
CORP
US
N
2
2051-07-25
Variable
2.48700000
N
N
N
N
N
N
Greenpoint Manufactured Housing
N/A
Greenpoint Manufactured Housing
395383AG7
373493.11000000
PA
USD
338630.55000000
0.010086000891
Long
ABS-O
CORP
US
N
2
2029-12-15
Variable
9.23000000
N
N
N
N
N
N
SMB Private Education Loan Trust
N/A
SMB Private Education Loan Trust 2021-A
78448YAL5
550000.00000000
PA
USD
524480.00000000
0.015621466366
Long
ABS-O
CORP
US
N
2
2053-01-15
Fixed
3.86000000
N
N
N
N
N
N
T-MOBILE USA INC
549300V2JRLO5DIFGE82
T-Mobile USA Inc
87264ACA1
599000.00000000
PA
USD
547075.08000000
0.016294453482
Long
DBT
CORP
US
N
2
2028-02-15
Fixed
2.05000000
N
N
N
N
N
N
GSCG Trust
N/A
GSCG Trust 2019-600C
36260TAN5
620000.00000000
PA
USD
573556.92000000
0.017083206481
Long
ABS-MBS
CORP
US
N
2
2034-09-06
Variable
3.98500000
N
N
N
N
N
N
Bombardier Capital Mortgage Securitization Corp.
N/A
BCMSC Trust 2000-A
09774XBQ4
850435.45000000
PA
USD
180011.50000000
0.005361584031
Long
ABS-O
CORP
US
N
2
2030-06-15
Variable
8.29000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138EQA36
583550.07000000
PA
USD
589632.74000000
0.017562019556
Long
ABS-MBS
USGSE
US
N
2
2030-08-01
Fixed
3.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138LTL63
19863.11000000
PA
USD
20259.87000000
0.000603433644
Long
ABS-MBS
USGSE
US
N
2
2042-06-01
Fixed
3.50000000
N
N
N
N
N
N
Rad CLO Ltd
N/A
Rad CLO 2 Ltd
48661TAJ4
540000.00000000
PA
USD
536227.56000000
0.015971363624
Long
ABS-CBDO
CORP
KY
N
2
2031-10-15
Floating
1.32100000
N
N
N
N
N
N
Lamar Media Corporation
N/A
Lamar Media Corporation 2020 Term Loan B
513076BB4
104734.00000000
PA
USD
104472.17000000
0.003111669634
Long
LON
CORP
US
N
2
2027-02-05
Floating
1.96800000
N
N
N
N
N
N
HYDROFARM HOLDINGS LLC
N/A
Hydrofarm Holdings LLC 2021 Term Loan
000000000
378052.50000000
PA
USD
362930.40000000
0.010809764027
Long
LON
CORP
US
N
2
2028-09-27
Floating
6.50000000
N
N
N
N
N
N
VICI PROPERTIES / NOTE
N/A
VICI Properties LP / VICI Note Co Inc
92564RAD7
736000.00000000
PA
USD
715760.00000000
0.021318679009
Long
DBT
US
N
2
2027-02-15
Fixed
3.75000000
N
N
N
N
N
Anchorage Capital CLO LTD
549300UNU854VTZYQ112
Anchorage Capital Clo 17 Ltd
03332PAA5
1890000.00000000
PA
USD
1875416.76000000
0.055858678768
Long
ABS-CBDO
CORP
KY
N
2
2034-07-15
Floating
1.41100000
N
N
N
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
Long: SRWV2HSJ6 IRS USD R F 2.76500 2 CCPINFLATIONZERO / Short: SRWV2HSJ6 IRS USD P V 12MUSCPI 1 CCPINFLATIONZERO
000000000
8399000.00000000
OU
Notional Amount
USD
-480992.17000000
-0.01432619548
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
Inflation based on US CPI Urban Consumers NSA
2031-11-05
167.62000000
USD
0.00000000
USD
8399000.00000000
USD
-481159.79000000
N
N
N
Goldman Sachs International
W22LROWP2IHZNBB6K528
PURCHASED USD / SOLD BRL
000000000
1.00000000
NC
-13215.30000000
-0.00039361341
N/A
DFE
US
N
2
Goldman Sachs International
W22LROWP2IHZNBB6K528
1672153.60000000
BRL
338000.00000000
USD
2022-04-04
-13215.30000000
N
N
N
Oracle Corp
1Z4GXXU7ZHVWFCD8TV52
Oracle Corp
68389XBX2
1146000.00000000
PA
USD
950449.20000000
0.028308820567
Long
DBT
CORP
US
N
2
2050-04-01
Fixed
3.60000000
N
N
N
N
N
N
TEXAS EASTERN TRANSMISSI
549300SIOULUXXIDGA69
Texas Eastern Transmission LP
882384AD2
1732000.00000000
PA
USD
1721218.39000000
0.051265930425
Long
DBT
CORP
US
N
2
2028-01-15
Fixed
3.50000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36180DQD2
141752.15000000
PA
USD
144069.66000000
0.004291068006
Long
ABS-MBS
USGA
US
N
2
2043-03-15
Fixed
3.50000000
N
N
N
N
N
N
CHARTER COMM OPT LLC/CAP
N/A
Charter Communications Operating LLC / Charter Communications Operating Capital
161175BN3
929000.00000000
PA
USD
987652.59000000
0.029416911449
Long
DBT
CORP
US
N
2
2048-04-01
Fixed
5.75000000
N
N
N
N
N
N
ARABIAN CENTRES SUKUK II
549300X92PKHJD8UYG94
Arabian Centres Sukuk II Ltd
03847QAA1
515000.00000000
PA
USD
487025.20000000
0.014505887320
Long
DBT
CORP
KY
N
2
2026-10-07
Fixed
5.62500000
N
N
N
N
N
N
ENERGY TRANSFER LP
MTLVN9N7JE8MIBIJ1H73
Energy Transfer LP
86765BAK5
353000.00000000
PA
USD
384456.36000000
0.011450907751
Long
DBT
CORP
US
N
2
2042-02-15
Fixed
6.10000000
N
N
N
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
Long: SRWVA5XX6 IRS USD R F 2.92500 2 CCPINFLATIONZERO / Short: SRWVA5XX6 IRS USD P V 12MUSCPI 1 CCPINFLATIONZERO
000000000
4199500.00000000
OU
Notional Amount
USD
-168294.67000000
-0.00501260205
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
Inflation based on US CPI Urban Consumers NSA
2031-11-15
83.98000000
USD
0.00000000
USD
4199500.00000000
USD
-168378.65000000
N
N
N
ABBVIE INC
FR5LCKFTG8054YNNRU85
AbbVie Inc
00287YBZ1
7269000.00000000
PA
USD
7218720.40000000
0.215007241345
Long
DBT
CORP
US
N
2
2024-11-21
Fixed
2.60000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140J76Q3
1323862.50000000
PA
USD
1311533.43000000
0.039063597021
Long
ABS-MBS
USGSE
US
N
2
2032-08-01
Fixed
2.50000000
N
N
N
N
N
N
Post CLO LTD
N/A
Post CLO 2018-1 Ltd
73742DAG6
250000.00000000
PA
USD
248099.50000000
0.007389562985
Long
ABS-CBDO
CORP
KY
N
2
2031-04-16
Floating
3.19100000
N
N
N
N
N
N
TENET HEALTHCARE CORP
0W9AIBT6U6ADJ2I8HK17
Tenet Healthcare Corp
88033GCY4
885000.00000000
PA
USD
892743.75000000
0.026590082491
Long
DBT
CORP
US
N
2
2026-01-01
Fixed
4.87500000
N
N
N
N
N
N
Rad CLO Ltd
N/A
Rad CLO 4 Ltd
48661YAC8
250000.00000000
PA
USD
250138.25000000
0.007450286492
Long
ABS-CBDO
CORP
KY
N
2
2032-04-25
Floating
3.05800000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138YBX65
83901.11000000
PA
USD
84775.09000000
0.002524998507
Long
ABS-MBS
USGSE
US
N
2
2030-07-01
Fixed
3.00000000
N
N
N
N
N
N
Mariner Finance Issuance Trust
N/A
Mariner Finance Issuance Trust 2021-B
56847JAD9
100000.00000000
PA
USD
91485.74000000
0.002724873037
Long
ABS-O
CORP
US
N
2
2036-11-20
Fixed
3.42000000
N
N
N
N
N
N
Palmer Square CLO Ltd
549300UP5H2PFBIITY41
Palmer Square CLO 2014-1 Ltd
69688XAS0
1312000.00000000
PA
USD
1307879.01000000
0.038954751309
Long
ABS-CBDO
CORP
KY
N
2
2031-01-17
Floating
1.37100000
N
N
N
N
N
N
Ajax Mortgage Loan Trust
N/A
Ajax Mortgage Loan Trust 2021-E
009740AA9
4666635.69000000
PA
USD
4304898.16000000
0.128219992791
Long
ABS-O
CORP
US
N
2
2060-12-25
Variable
1.74000000
N
N
N
N
N
N
UMBS, TBA
N/A
Uniform Mortgage-Backed Security, TBA
01F040651
-18500000.00000000
PA
USD
-18811330.40000000
-0.56028936310
Short
ABS-MBS
USGSE
US
N
2
2052-05-15
Fixed
4.00000000
N
N
N
N
N
N
DUKE REALTY LP
2549009GZDBNY1KE9O81
Duke Realty LP
26441YBF3
1944000.00000000
PA
USD
1686092.11000000
0.050219705590
Long
DBT
US
N
2
2031-02-01
Fixed
1.75000000
N
N
N
N
N
N
QUALCOMM Inc
H1J8DDZKZP6H7RWC0H53
QUALCOMM Inc
747525AV5
1824000.00000000
PA
USD
2052517.29000000
0.061133560504
Long
DBT
CORP
US
N
2
2047-05-20
Fixed
4.30000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140GYJX8
262341.78000000
PA
USD
265174.52000000
0.007898136908
Long
ABS-MBS
USGSE
US
N
2
2048-02-01
Fixed
3.50000000
N
N
N
N
N
N
Symphony CLO Ltd
N/A
Symphony CLO XXVI Ltd
87190GAC5
398000.00000000
PA
USD
396719.63000000
0.011816165262
Long
ABS-CBDO
CORP
KY
N
2
2033-04-20
Floating
1.33400000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36179SLS4
168354.77000000
PA
USD
171198.53000000
0.005099092584
Long
ABS-MBS
USGA
US
N
2
2046-09-20
Fixed
3.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140JSAE9
656622.01000000
PA
USD
611481.72000000
0.018212784325
Long
ABS-MBS
USGSE
US
N
2
2051-03-01
Fixed
2.00000000
N
N
N
N
N
N
Race Point CLO Ltd
549300C3570PBQ31OI09
Race Point IX CLO Ltd
74982WAA4
789000.00000000
PA
USD
787512.74000000
0.023455811053
Long
ABS-CBDO
CORP
KY
N
2
2030-10-15
Floating
1.18100000
N
N
N
N
N
N
Bank of America N.A.
B4TYDEB6GKMZO031MB27
PURCHASED ZAR / SOLD USD
000000000
1.00000000
NC
27122.16000000
0.000807824722
N/A
DFE
ZA
N
2
Bank of America N.A.
B4TYDEB6GKMZO031MB27
525000.00000000
USD
8067885.00000000
ZAR
2022-04-01
27122.16000000
N
N
N
Chicago Board of Trade
549300EX04Q2QBFQTQ27
US ULTRA BOND CBT JUN22
000000000
694.00000000
NC
USD
-4808069.07000000
-0.14320677483
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
127732819.07000000
USD
-4808069.07000000
N
N
N
Exelon Corp
3SOUA6IRML7435B56G12
Exelon Corp
30161NAS0
166000.00000000
PA
USD
184481.06000000
0.005494708423
Long
DBT
CORP
US
N
2
2045-06-15
Fixed
5.10000000
N
N
N
N
N
N
UnitedHealth Group Inc
549300GHBMY8T5GXDE41
UnitedHealth Group Inc
91324PDQ2
351000.00000000
PA
USD
395465.31000000
0.011778805749
Long
DBT
CORP
US
N
2
2048-12-15
Fixed
4.45000000
N
N
N
N
N
N
Sound Point CLO LTD
549300EBWPUX52MGF160
Sound Point Clo XII Ltd
83610CBA8
780000.00000000
PA
USD
768018.42000000
0.022875179067
Long
ABS-CBDO
CORP
KY
N
2
2028-10-20
Floating
2.30400000
N
N
N
N
N
N
Lockheed Martin Corp
DPRBOZP0K5RM2YE8UU08
Lockheed Martin Corp
539830BN8
287000.00000000
PA
USD
315290.28000000
0.009390818534
Long
DBT
CORP
US
N
2
2052-09-15
Fixed
4.09000000
N
N
N
N
N
N
Grifols Worldwide Operations USA, Inc.
N/A
Grifols Worldwide Operations USA, Inc. USD 2019 Term Loan B
39843PAG8
1440393.48000000
PA
USD
1415686.41000000
0.042165759685
Long
LON
CORP
US
N
2
2027-11-15
Floating
2.45700000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140J8HY2
753077.46000000
PA
USD
799416.86000000
0.023810371399
Long
ABS-MBS
USGSE
US
N
2
2048-04-01
Fixed
4.50000000
N
N
N
N
N
N
Scholar Funding Trust
N/A
Scholar Funding Trust 2013-A
80705XAA5
3253817.94000000
PA
USD
3216353.81000000
0.095798053056
Long
ABS-O
CORP
US
N
2
2045-01-30
Floating
1.09700000
N
N
N
N
N
N
SHELL INTERNATIONAL FIN
213800ITMMKU4Z7I4F78
Shell International Finance BV
822582CD2
262000.00000000
PA
USD
248161.68000000
0.007391414997
Long
DBT
CORP
NL
N
2
2029-11-07
Fixed
2.37500000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31410KHE7
89179.33000000
PA
USD
99617.21000000
0.002967066228
Long
ABS-MBS
USGSE
US
N
2
2038-03-01
Fixed
6.00000000
N
N
N
N
N
N
TENET HEALTHCARE CORP
0W9AIBT6U6ADJ2I8HK17
Tenet Healthcare Corp
88033GDG2
92000.00000000
PA
USD
90275.00000000
0.002688811539
Long
DBT
CORP
US
N
2
2028-06-15
Fixed
4.62500000
N
N
N
N
N
N
Elmwood CLO XII Ltd.
N/A
Elmwood CLO XII Ltd
29002YAA0
250000.00000000
PA
USD
247162.50000000
0.007361654745
Long
ABS-CBDO
CORP
KY
N
2
2035-01-20
Floating
1.27100000
N
N
N
N
N
N
Ajax Mortgage Loan Trust
N/A
Ajax Mortgage Loan Trust 2019-E
00969TAA3
2737844.91000000
PA
USD
2729264.78000000
0.081290264580
Long
ABS-O
CORP
US
N
2
2059-09-25
Variable
3.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138WFG83
408878.43000000
PA
USD
413141.07000000
0.012305272517
Long
ABS-MBS
USGSE
US
N
2
2030-08-01
Fixed
3.00000000
N
N
N
N
N
N
Goldman Sachs International
W22LROWP2IHZNBB6K528
PURCHASED COP / SOLD USD
000000000
1.00000000
NC
-4111.02000000
-0.00012244539
N/A
DFE
CO
N
2
Goldman Sachs International
W22LROWP2IHZNBB6K528
499000.00000000
USD
1871250000.00000000
COP
2022-04-20
-4111.02000000
N
N
N
Barclays Commercial Mortgage Securities LLC
N/A
BBCMS 2018-TALL Mortgage Trust
05548WAA5
280000.00000000
PA
USD
273119.78000000
0.008134783895
Long
ABS-MBS
CORP
US
N
2
2037-03-15
Floating
1.11900000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31418CS47
343927.18000000
PA
USD
347193.88000000
0.010341056892
Long
ABS-MBS
USGSE
US
N
2
2048-01-01
Fixed
3.50000000
N
N
N
N
N
N
JP Morgan Chase Commercial Mortgage Sec Trust
N/A
J.P. Morgan Chase Commercial Mortgage Securities Trust 2018-PHH
46650FAA0
310107.41000000
PA
USD
305104.76000000
0.009087446130
Long
ABS-MBS
CORP
US
N
2
2035-06-15
Floating
2.56000000
N
N
N
N
N
N
Societe Generale
O2RNE8IBXP4R0TD8PU41
Societe Generale
000000000
200000.00000000
PA
USD
200000.00000000
0.005956935008
Long
RA
CORP
US
N
2
Repurchase
Y
0.36000000
2022-04-01
2592.79000000
USD
222240.59000000
USD
EQT
N
N
Options Clearing Corp.
549300CII6SLYGKNHA04
MARATHON OIL CORP APR22 24 CALL
000000000
341.00000000
NC
USD
57629.00000000
0.001716461038
N/A
DE
US
N
1
Options Clearing Corp.
549300CII6SLYGKNHA04
Call
Purchased
Marathon Oil Corp
Marathon Oil Corp
100.00000000
24.00000000
USD
2022-04-14
XXXX
8102.22000000
N
N
N
BNP Paribas SA
R0MUWSFPU8MPRO8K5P83
PURCHASED USD / SOLD MXN
000000000
1.00000000
NC
-818.37000000
-0.00002437488
N/A
DFE
US
N
2
BNP Paribas SA
R0MUWSFPU8MPRO8K5P83
3576587.45000000
MXN
179000.00000000
USD
2022-04-01
-818.37000000
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138ELS79
952976.89000000
PA
USD
1063720.81000000
0.031682578663
Long
ABS-MBS
USGSE
US
N
2
2040-04-01
Fixed
6.00000000
N
N
N
N
N
N
NATIONSTAR MTG HLD INC
N/A
Nationstar Mortgage Holdings Inc
63861CAC3
425000.00000000
PA
USD
408552.50000000
0.012168603450
Long
DBT
CORP
US
N
2
2028-08-15
Fixed
5.50000000
N
N
N
N
N
N
REPUBLIC OF PERU
254900STKLK2DBJJZ530
Peruvian Government International Bond
715638DT6
1587000.00000000
PA
USD
1477893.75000000
0.044018585092
Long
DBT
NUSS
PE
N
2
2051-03-10
Fixed
3.55000000
N
N
N
N
N
N
College Ave Student Loans
N/A
College Ave Student Loans 2021-B LLC
19425AAC8
190000.00000000
PA
USD
176751.15000000
0.005264475566
Long
ABS-O
CORP
US
N
2
2052-06-25
Fixed
2.42000000
N
N
N
N
N
N
Zurn Holdings, Inc.
549300XLZXRC2KJ6VK87
Zurn Holdings, Inc. 2021 Term Loan B
76168JAS5
150622.50000000
PA
USD
149963.53000000
0.004466615009
Long
LON
CORP
US
N
2
2028-10-04
Floating
2.75000000
N
N
N
N
N
N
UMBS, TBA
N/A
Uniform Mortgage-Backed Security, TBA
01F030447
-1921000.00000000
PA
USD
-1934206.88000000
-0.05760972338
Short
ABS-MBS
USGSE
US
N
2
2037-04-15
Fixed
3.00000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
3132JNXG7
224174.04000000
PA
USD
233893.69000000
0.006966447551
Long
ABS-MBS
USGSE
US
N
2
2043-09-01
Fixed
4.00000000
N
N
N
N
N
N
Anchorage Capital CLO LTD
5493008PWA7TS1SR9447
Anchorage Capital CLO 2013-1 Ltd
033292AU7
590000.00000000
PA
USD
587237.62000000
0.017490681685
Long
ABS-CBDO
CORP
KY
N
2
2030-10-13
Floating
2.39400000
N
N
N
N
N
N
JP Morgan Mortgage Trust
N/A
J.P. Morgan Mortgage Trust 2021-INV7
46654CAR6
9878917.21000000
PA
USD
111831.32000000
0.003330859525
Long
ABS-MBS
CORP
US
N
2
2052-02-25
Variable
0.27200000
N
N
N
N
N
N
Morgan Stanley Capital I Trust
N/A
Morgan Stanley Capital I Trust 2015-MS1
61765DAZ1
180000.00000000
PA
USD
170263.94000000
0.005071256124
Long
ABS-MBS
CORP
US
N
2
2048-05-15
Variable
4.04000000
N
N
N
N
N
N
GS Mortgage Securities Trust
N/A
GS Mortgage Securities Corp Trust 2021-DM
36265AAN1
301000.00000000
PA
USD
293237.72000000
0.008733990200
Long
ABS-MBS
CORP
US
N
2
2036-11-15
Floating
3.83200000
N
N
N
N
N
N
JPMorgan Chase Bank N.A.
7H6GLXDRUGQFU57RNE97
PURCHASED EUR / SOLD USD
000000000
1.00000000
NC
-815.54000000
-0.00002429059
N/A
DFE
XX
N
2
JPMorgan Chase Bank N.A.
7H6GLXDRUGQFU57RNE97
48143.12000000
USD
42782.00000000
EUR
2022-04-01
-815.54000000
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140Q9YZ0
478701.99000000
PA
USD
500822.64000000
0.014916839586
Long
ABS-MBS
USGSE
US
N
2
2033-10-01
Fixed
4.00000000
N
N
N
N
N
N
Deutsche Bank AG
7LTWFZYICNSX8D621K86
PURCHASED EUR / SOLD USD
000000000
1.00000000
NC
-4268.67000000
-0.00012714094
N/A
DFE
XX
N
2
Deutsche Bank AG
7LTWFZYICNSX8D621K86
252737.90000000
USD
224605.00000000
EUR
2022-04-01
-4268.67000000
N
N
N
JPMorgan Chase & Co
8I5DZWZKVSZI1NUHU748
JPMorgan Chase & Co
46625HRS1
60000.00000000
PA
USD
60322.64000000
0.001796690230
Long
DBT
CORP
US
N
2
2026-06-15
Fixed
3.20000000
N
N
N
N
N
N
Parker-Hannifin Corp
5493002CONDB4N2HKI23
Parker-Hannifin Corp
701094AJ3
435000.00000000
PA
USD
434914.16000000
0.012953776927
Long
DBT
CORP
US
N
2
2027-03-01
Fixed
3.25000000
N
N
N
N
N
N
Post Holdings Inc
JM1I5YUAURL6DC8N1468
Post Holdings Inc
737446AN4
443000.00000000
PA
USD
434833.30000000
0.012951368538
Long
DBT
CORP
US
N
2
2028-01-15
Fixed
5.62500000
N
N
N
N
N
N
Aimbridge Acquisition Co., Inc.
549300SPGKLVE9WYCQ20
Aimbridge Acquisition Co., Inc. 2020 Incremental Term Loan B
00900YAE6
337734.25000000
PA
USD
336467.75000000
0.010021582596
Long
LON
CORP
US
N
2
2026-02-02
Floating
5.50000000
N
N
N
N
N
N
AMGEN INC INDUSTRY
62QBXGPJ34PQ72Z12S66
Amgen Inc
031162DF4
372000.00000000
PA
USD
384720.18000000
0.011458765544
Long
DBT
CORP
US
N
2
2052-02-22
Fixed
4.20000000
N
N
N
N
N
Morgan Stanley BAML Trust
N/A
Morgan Stanley Bank of America Merrill Lynch Trust 2017-C33
61767CBA5
300000.00000000
PA
USD
288231.93000000
0.008584894372
Long
ABS-MBS
CORP
US
N
2
2050-05-15
Variable
4.55800000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140HHNE1
62429.85000000
PA
USD
65259.03000000
0.001943719002
Long
ABS-MBS
USGSE
US
N
2
2048-05-01
Fixed
4.50000000
N
N
N
N
N
N
ALTICE FRANCE SA
5493001ZMCICV4N02J21
Altice France SA/France
02156LAC5
356000.00000000
PA
USD
329905.20000000
0.009826119177
Long
DBT
CORP
FR
N
2
2028-01-15
Fixed
5.50000000
N
N
N
N
N
N
CSAIL Commercial Mortgage Trust
549300D5DIOOMKWXVZ20
Csail 2015-C2 Commercial Mortgage Trust
12634NAT5
320000.00000000
PA
USD
320090.72000000
0.009533798079
Long
ABS-MBS
CORP
US
N
2
2057-06-15
Fixed
3.50400000
N
N
N
N
N
N
Dryden Senior Loan Fund
N/A
Dryden 87 CLO Ltd
26246GAA1
400000.00000000
PA
USD
397550.40000000
0.011840909477
Long
ABS-CBDO
CORP
KY
N
2
2034-05-20
Floating
1.58000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36179NJA7
36396.62000000
PA
USD
37371.07000000
0.001113085175
Long
ABS-MBS
USGA
US
N
2
2043-07-20
Fixed
3.50000000
N
N
N
N
N
N
Citibank N.A.
E57ODZWZ7FF32TWEFA76
Long: BRY045VH6 TRS USD R V 12MSOFR BRY045VK9 EQUITYTRS / Short: BRY045VH6 TRS USD P E BRY045VJ2 EQUITYTRS
000000000
6826.17000000
OU
Notional Amount
USD
245.13000000
0.000007301117
N/A
DE
US
N
2
Citibank N.A.
E57ODZWZ7FF32TWEFA76
TreeHouse Foods Inc
TreeHouse Foods Inc
Y
equity-performance leg
2022-09-09
0.00000000
USD
0.00000000
USD
6826.17000000
USD
245.13000000
N
N
N
Ares Euro CLO
635400XCOLUI5RNVIZ11
Ares European CLO XII DAC
000000000
297000.00000000
PA
322374.07000000
0.009601806917
Long
ABS-CBDO
CORP
IE
N
2
2032-04-20
Floating
1.70000000
N
N
N
N
N
N
ConnectWise, LLC
N/A
ConnectWise, LLC 2021 Term Loan B
20786NAC1
1097250.00000000
PA
USD
1091489.44000000
0.032509658284
Long
LON
CORP
US
N
2
2028-09-29
Floating
4.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140GW4L4
47039.17000000
PA
USD
49598.65000000
0.001477279672
Long
ABS-MBS
USGSE
US
N
2
2047-10-01
Fixed
4.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138ARZW7
296143.39000000
PA
USD
315102.91000000
0.009385237779
Long
ABS-MBS
USGSE
US
N
2
2041-09-01
Fixed
4.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140J5GJ2
442597.01000000
PA
USD
451413.08000000
0.013445191898
Long
ABS-MBS
USGSE
US
N
2
2045-02-01
Fixed
3.50000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Pool
3132DM2Q7
547798.74000000
PA
USD
510108.94000000
0.015193429014
Long
ABS-MBS
USGSE
US
N
2
2051-12-01
Fixed
2.00000000
N
N
N
N
N
N
Anchorage Capital CLO LTD
549300MP4QPQUMB6AD63
Anchorage Capital CLO 4-R Ltd
03328LAE2
1490000.00000000
PA
USD
1472024.64000000
0.043843775558
Long
ABS-CBDO
CORP
KY
N
2
2031-01-28
Floating
2.12800000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140GW3B7
43738.31000000
PA
USD
45951.80000000
0.001368659430
Long
ABS-MBS
USGSE
US
N
2
2047-09-01
Fixed
4.50000000
N
N
N
N
N
N
Palmer Square CLO Ltd
N/A
Palmer Square CLO 2021-3 Ltd
69688FAA8
250000.00000000
PA
USD
248753.25000000
0.007409034717
Long
ABS-CBDO
CORP
KY
N
2
2035-01-15
Floating
1.38200000
N
N
N
N
N
N
GS Mortgage Securities Trust
N/A
GS Mortgage Securities Trust 2020-GSA2
36264KAX8
3130348.97000000
PA
USD
346385.63000000
0.010316983429
Long
ABS-MBS
CORP
US
N
2
2053-12-12
Variable
1.73300000
N
N
N
N
N
N
BNP PARIBAS
R0MUWSFPU8MPRO8K5P83
BNP Paribas SA
09659W2T0
2335000.00000000
PA
USD
2197479.52000000
0.065451213418
Long
DBT
CORP
FR
N
2
2028-01-20
Fixed
2.59100000
N
N
N
N
N
N
Commonwealth Edison Co
D8YOXB8L2ZDC8P7Q0771
Commonwealth Edison Co
202795JM3
694000.00000000
PA
USD
737233.38000000
0.021958256654
Long
DBT
CORP
US
N
2
2048-03-01
Fixed
4.00000000
N
N
N
N
N
N
HP Inc
WHKXQACZ14C5XRO8LW03
HP Inc
428236BR3
243000.00000000
PA
USD
283196.76000000
0.008434923470
Long
DBT
CORP
US
N
2
2041-09-15
Fixed
6.00000000
N
N
N
N
N
N
HSBC Bank PLC
MP6I5ZYZBEU3UXPYFY54
PURCHASED CAD / SOLD USD
000000000
1.00000000
NC
440.71000000
0.000013126404
N/A
DFE
CA
N
2
HSBC Bank PLC
MP6I5ZYZBEU3UXPYFY54
502000.00000000
USD
628178.25000000
CAD
2022-04-20
440.71000000
N
N
N
RRE Loan Management
635400OCZYFV6RF6GS55
RRE 9 Loan Management DAC
000000000
560000.00000000
PA
605092.78000000
0.018022491823
Long
ABS-CBDO
CORP
IE
N
2
2036-10-15
Floating
1.70000000
N
N
N
N
N
N
New Jersey Turnpike Authority
5493005YN67D71KSMI84
NEW JERSEY ST TURNPIKE AUTH TURNPIKE REVENUE
646139W35
492000.00000000
PA
USD
716657.29000000
0.021345404500
Long
DBT
MUN
US
N
2
2040-01-01
Fixed
7.41400000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36196FZJ6
205898.06000000
PA
USD
209506.95000000
0.006240096425
Long
ABS-MBS
USGA
US
N
2
2046-10-20
Fixed
3.50000000
N
N
N
N
N
N
EVgo Inc
N/A
EVgo Inc
30052F118
19550.00000000
NS
USD
76831.50000000
0.002288401260
N/A
DE
US
N
1
N/A
N/A
Call
Purchased
Climate Change Crisis Real Impact I Acquisition Corp
Climate Change Crisis Real Impact I Acquisition Corp
11.50000000
11.50000000
USD
2025-09-15
XXXX
7655.52000000
N
N
N
SERVICE PROPERTIES TRUST
529900IS770AG1K9QG27
Service Properties Trust
81761LAA0
264000.00000000
PA
USD
276949.20000000
0.008248841925
Long
DBT
US
N
2
2025-09-15
Fixed
7.50000000
N
N
N
N
N
N
SUZANO AUSTRIA G
254900287ZNSGVP1R341
Suzano Austria GmbH
86964WAK8
400000.00000000
PA
USD
354152.00000000
0.010548302236
Long
DBT
CORP
AT
N
2
2032-01-15
Fixed
3.12500000
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138Y4T58
412932.14000000
PA
USD
417231.75000000
0.012427112091
Long
ABS-MBS
USGSE
US
N
2
2030-05-01
Fixed
3.00000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae
21H042646
175000.00000000
PA
USD
180906.25000000
0.005388233869
Long
ABS-MBS
USGA
US
N
2
2052-04-21
Fixed
4.50000000
N
N
N
N
N
N
Carval CLO LTD
N/A
CarVal CLO II Ltd
14686AAW9
870000.00000000
PA
USD
860256.87000000
0.025622471327
Long
ABS-CBDO
CORP
KY
N
2
2032-04-20
Floating
3.45400000
N
N
N
N
N
N
UKRAINE GOVERNMENT
6354001WLTJXOMEXPY07
Ukraine Government International Bond
903724BM3
274000.00000000
PA
USD
113433.26000000
0.003378572788
Long
DBT
NUSS
UA
N
2
2032-09-25
Fixed
7.37500000
N
N
N
N
N
N
DIAMONDBACK ENERGY INC
549300R22LSX6OHWEN64
Diamondback Energy Inc
25278XAM1
2528000.00000000
PA
USD
2524244.38000000
0.075183798589
Long
DBT
CORP
US
N
2
2026-12-01
Fixed
3.25000000
N
N
N
N
N
N
COMCAST CORP
51M0QTTNCGUN7KFCFZ59
Comcast Corp
20030NDP3
420000.00000000
PA
USD
333133.82000000
0.009922282574
Long
DBT
CORP
US
N
2
2052-08-15
Fixed
2.45000000
N
N
N
N
N
Naked Juice LLC
549300Y5TU1XQ1KVLJ64
Naked Juice LLC 2nd Lien Term Loan
62984CAB9
75000.00000000
PA
USD
75062.48000000
0.002235711574
Long
LON
CORP
US
N
2
2030-01-24
Floating
6.65100000
N
N
N
N
N
N
OCP Euro CLO
635400NSID6FARUW3W95
OCP Euro CLO 2020-4 DAC
000000000
570000.00000000
PA
617679.97000000
0.018397397187
Long
ABS-CBDO
CORP
IE
N
2
2034-09-22
Floating
1.70000000
N
N
N
N
N
N
Fixed Income Clearing Corp
549300H47WTHXPU08X20
FIXED INC CLEARING CORP.REPO
000000000
353430672.98000000
PA
USD
353430672.98000000
10.52681774517
Long
RA
CORP
US
N
2
Repurchase
N
0.00000000
2022-04-01
359516400.00000000
USD
360499318.27000000
USD
UST
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140L6BK9
774645.71000000
PA
USD
721659.66000000
0.021494398465
Long
ABS-MBS
USGSE
US
N
2
2051-04-01
Fixed
2.00000000
N
N
N
N
N
N
GS Mortgage Securities Trust
N/A
GS Mortgage Securities Trust 2015-590M
36250WAN0
340000.00000000
PA
USD
312475.30000000
0.009306975269
Long
ABS-MBS
CORP
US
N
2
2035-10-10
Variable
3.80500000
N
N
N
N
N
N
KLA CORP
549300H0BF5JCG96TJ81
KLA Corp
482480AG5
1866000.00000000
PA
USD
1958404.32000000
0.058330436275
Long
DBT
CORP
US
N
2
2029-03-15
Fixed
4.10000000
N
N
N
N
N
N
DiamondRock Hospitality Co
529900KKD4BPVBUAQ734
DiamondRock Hospitality Co
252784301
76361.00000000
NS
USD
771246.10000000
0.022971314467
Long
EC
US
N
1
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36179QWD9
46985.44000000
PA
USD
46861.13000000
0.001395743529
Long
ABS-MBS
USGA
US
N
2
2044-12-20
Fixed
3.00000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36179Q6P1
33840.59000000
PA
USD
34606.16000000
0.001030733230
Long
ABS-MBS
USGA
US
N
2
2045-03-20
Fixed
3.50000000
N
N
N
N
N
N
Palmer Square Loan Funding Ltd
N/A
Palmer Square Loan Funding 2019-2 Ltd
69689MAE4
250000.00000000
PA
USD
249906.25000000
0.007443376447
Long
ABS-CBDO
CORP
KY
N
2
2027-04-20
Floating
7.00400000
N
N
N
N
N
N
CALPINE CORP
43R4VPJBXTU2O15HEF41
Calpine Corp
131347CM6
3173000.00000000
PA
USD
3095198.04000000
0.092189467817
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
272000.00000000
PA
USD
263840.00000000
0.007858388663
Long
DBT
CORP
US
N
2
2028-01-15
Fixed
4.75000000
N
N
N
N
N
Countrywide Home Equity Loan Trust
N/A
CWHEQ Revolving Home Equity Loan Trust Series 2005-B
126685AB2
97677.41000000
PA
USD
96097.43000000
0.002862230725
Long
ABS-O
CORP
US
N
2
2035-05-15
Floating
0.57700000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Pool
3132AACD4
631491.71000000
PA
USD
649572.03000000
0.019347291831
Long
ABS-MBS
USGSE
US
N
2
2034-01-01
Fixed
3.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140H5UJ8
289971.18000000
PA
USD
307814.57000000
0.009168156941
Long
ABS-MBS
USGSE
US
N
2
2048-08-01
Fixed
4.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31418ECY4
1160506.00000000
PA
USD
1089109.64000000
0.032438776714
Long
ABS-MBS
USGSE
US
N
2
2042-04-01
Fixed
2.00000000
N
N
N
N
N
N
FIDELITY NATL INFO SERV
6WQI0GK1PRFVBA061U48
Fidelity National Information Services Inc
31620MBT2
2456000.00000000
PA
USD
2171742.56000000
0.064684646428
Long
DBT
CORP
US
N
2
2031-03-01
Fixed
2.25000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138EQZA3
340547.79000000
PA
USD
362400.44000000
0.010793979341
Long
ABS-MBS
USGSE
US
N
2
2045-09-01
Fixed
4.50000000
N
N
N
N
N
N
Nelnet Student Loan Trust
N/A
Nelnet Student Loan Trust 2021-B
64034QAE8
260000.00000000
PA
USD
242442.62000000
0.007221074653
Long
ABS-O
CORP
US
N
2
2062-04-20
Fixed
4.75000000
N
N
N
N
N
N
BANK OF AMERICA CORP
9DJT3UXIJIZJI4WXO774
Bank of America Corp
06051GHW2
11120000.00000000
PA
USD
10926517.67000000
0.325442778159
Long
DBT
CORP
US
N
2
2025-10-22
Fixed
2.45600000
N
N
N
N
N
N
MPLX LP
5493000CZJ19CK4P3G36
MPLX LP
55336VBR0
952000.00000000
PA
USD
892051.93000000
0.026569476857
Long
DBT
CORP
US
N
2
2026-03-01
Fixed
1.75000000
N
N
N
N
N
N
Aruba Investments, Inc.
254900GMIYFF4FZ0A357
Aruba Investments, Inc. 2020 USD Term Loan
04317JAB4
413962.50000000
PA
USD
409305.42000000
0.012191028928
Long
LON
CORP
US
N
2
2027-11-24
Floating
4.50000000
N
N
N
N
N
N
Barclays Bank PLC
G5GSEF7VJP5I7OUK5573
PURCHASED TRY / SOLD USD
000000000
1.00000000
NC
325.13000000
0.000009683891
N/A
DFE
TR
N
2
Barclays Bank PLC
G5GSEF7VJP5I7OUK5573
10753.35000000
USD
171164.08000000
TRY
2022-06-08
325.13000000
N
N
N
Pikes Peak CLO
549300IOF5UIE4PES702
Pikes Peak CLO 1
721327AA2
250000.00000000
PA
USD
249417.00000000
0.007428804295
Long
ABS-CBDO
CORP
KY
N
2
2031-07-24
Floating
1.43900000
N
N
N
N
N
N
TRANSCONT GAS PIPE LINE
N/A
Transcontinental Gas Pipe Line Co LLC
893574AH6
3110000.00000000
PA
USD
3565167.00000000
0.106187340571
Long
DBT
CORP
US
N
2
2026-02-01
Fixed
7.85000000
N
N
N
N
N
N
Navient Student Loan Trust
N/A
Navient Private Education Refi Loan Trust 2020-A
63941FAC0
441960.58000000
PA
USD
438952.29000000
0.013074051317
Long
ABS-O
CORP
US
N
2
2068-11-15
Floating
1.29700000
N
N
N
N
N
N
BROADCOM INC
549300WV6GIDOZJTV909
Broadcom Inc
11135FAL5
374000.00000000
PA
USD
378442.55000000
0.011271788374
Long
DBT
CORP
US
N
2
2028-09-15
Fixed
4.11000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
312944R78
69305.35000000
PA
USD
75332.21000000
0.002243745395
Long
ABS-MBS
USGSE
US
N
2
2039-09-01
Fixed
5.50000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36179VMD9
382496.41000000
PA
USD
379617.85000000
0.011306794303
Long
ABS-MBS
USGA
US
N
2
2050-05-20
Fixed
3.00000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36177PPP4
212182.40000000
PA
USD
215717.61000000
0.006425078915
Long
ABS-MBS
USGA
US
N
2
2042-05-15
Fixed
3.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138AUPE1
88724.15000000
PA
USD
94430.28000000
0.002812575204
Long
ABS-MBS
USGSE
US
N
2
2041-10-01
Fixed
4.50000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
31307MWZ5
330033.70000000
PA
USD
333705.08000000
0.009939297368
Long
ABS-MBS
USGSE
US
N
2
2030-05-01
Fixed
3.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140GSRR5
55355.73000000
PA
USD
56952.57000000
0.001696313790
Long
ABS-MBS
USGSE
US
N
2
2047-10-01
Fixed
4.00000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
3132WJUD1
281740.11000000
PA
USD
280160.47000000
0.008344488559
Long
ABS-MBS
USGSE
US
N
2
2046-12-01
Fixed
3.00000000
N
N
N
N
N
N
Barclays Bank PLC
G5GSEF7VJP5I7OUK5573
BRWZE8KJ2 BLACKROCK FXVAN PUT USD CLP 795.0000000
000000000
-2782000.00000000
OU
Notional Amount
USD
-58775.31000000
-0.00175060350
N/A
DFE
LU
N
2
Barclays Bank PLC
G5GSEF7VJP5I7OUK5573
Put
Written
Barclays Bank PLC
G5GSEF7VJP5I7OUK5573
Barclays Bank PLC
G5GSEF7VJP5I7OUK5573
FX Contract
N/A
1.00000000
NC
USD
-58775.31000000
0.00000000
DFE
JP
-2782000.00000000
USD
-2211690000.00000000
JPY
2022-05-06
1.00000000
795.00000000
USD
2022-05-06
XXXX
-18658.87000000
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138WFAD8
206463.69000000
PA
USD
204527.16000000
0.006091774998
Long
ABS-MBS
USGSE
US
N
2
2030-07-01
Fixed
2.50000000
N
N
N
N
N
N
HARTFORD FINL SVCS GRP
IU7C3FTM7Y3BQM112U94
Hartford Financial Services Group Inc/The
416515BB9
325000.00000000
PA
USD
326593.92000000
0.009727493778
Long
DBT
CORP
US
N
2
2043-04-15
Fixed
4.30000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31417TM62
200106.67000000
PA
USD
219476.94000000
0.006537049337
Long
ABS-MBS
USGSE
US
N
2
2039-12-01
Fixed
5.50000000
N
N
N
N
N
N
State of Texas
549300X9CH74QB747L76
TEXAS ST
882722KF7
820000.00000000
PA
USD
1038580.27000000
0.030933775848
Long
DBT
MUN
US
N
2
2039-04-01
Fixed
5.51700000
N
N
N
N
N
N
ENERGY TRANSFER LP
MTLVN9N7JE8MIBIJ1H73
Energy Transfer LP
86765BAU3
168000.00000000
PA
USD
169080.59000000
0.005036010429
Long
DBT
CORP
US
N
2
2027-10-01
Fixed
4.00000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36182XAY7
80499.39000000
PA
USD
83023.02000000
0.002472813671
Long
ABS-MBS
USGA
US
N
2
2044-08-20
Fixed
4.00000000
N
N
N
N
N
N
OCP CLO Ltd
25490025Q5WQX513IQ05
OCP CLO 2017-14 Ltd
67097QAG0
250000.00000000
PA
USD
246408.00000000
0.007339182208
Long
ABS-CBDO
CORP
KY
N
2
2030-11-20
Floating
2.43000000
N
N
N
N
N
N
GS Mortgage Securities Trust
54930066YOFVQE068N73
GS Mortgage Securities Trust 2015-GC32
36250PAL9
110000.00000000
PA
USD
108009.11000000
0.003217016243
Long
ABS-MBS
CORP
US
N
2
2048-07-10
Variable
4.42200000
N
N
N
N
N
N
TAKEDA PHARMACEUTICAL
549300ZLMVP4X0OGR454
Takeda Pharmaceutical Co Ltd
874060AW6
607000.00000000
PA
USD
658213.63000000
0.019604679078
Long
DBT
CORP
JP
N
2
2028-11-26
Fixed
5.00000000
N
N
N
N
N
N
Caesars Resort Collection, LLC
549300V3UCT773B1KR38
Caesars Resort Collection, LLC 2020 Term Loan B1
12769LAD1
385135.00000000
PA
USD
383530.14000000
0.011423320589
Long
LON
CORP
US
N
2
2025-07-21
Floating
3.95700000
N
N
N
N
N
N
American Auto Auction Group, LLC
N/A
American Auto Auction Group, LLC 2021 Term Loan B
000000000
1615000.00000000
PA
USD
1592793.75000000
0.047440844255
Long
LON
CORP
US
N
2
2027-12-30
Floating
5.80100000
N
N
N
N
N
N
Citibank N.A.
E57ODZWZ7FF32TWEFA76
PURCHASED USD / SOLD CLP
000000000
1.00000000
NC
333.61000000
0.000009936465
N/A
DFE
US
N
2
Citibank N.A.
E57ODZWZ7FF32TWEFA76
395827000.00000000
CLP
502000.00000000
USD
2022-04-20
333.61000000
N
N
N
Options Clearing Corp.
549300CII6SLYGKNHA04
MARATHON OIL CORP APR22 25 CALL
000000000
342.00000000
NC
USD
36936.00000000
0.001100126757
N/A
DE
US
N
1
Options Clearing Corp.
549300CII6SLYGKNHA04
Call
Purchased
Marathon Oil Corp
Marathon Oil Corp
100.00000000
25.00000000
USD
2022-04-14
XXXX
-3691.59000000
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
Long: SRWV3ND58 IRS USD R F 2.79750 2 CCPINFLATIONZERO / Short: SRWV3ND58 IRS USD P V 12MUSCPI 1 CCPINFLATIONZERO
000000000
3509234.00000000
OU
Notional Amount
USD
-188596.38000000
-0.00561728189
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
Inflation based on US CPI Urban Consumers NSA
2031-11-08
70.06000000
USD
0.00000000
USD
3509234.00000000
USD
-188666.44000000
N
N
N
CALIFORNIA RESOURCES CRP
5493003Q8F0T4F4YMR48
California Resources Corp
13057QAH0
278000.00000000
PA
USD
289056.06000000
0.008609440816
Long
DBT
CORP
US
N
2
2026-02-01
Fixed
7.12500000
N
N
N
N
N
N
BX Trust
N/A
BX Trust 2021-LBA
05609BAP4
1070000.00000000
PA
USD
1018830.78000000
0.030345543706
Long
ABS-MBS
CORP
US
Y
2
2036-02-15
Floating
2.79700000
N
N
N
N
N
N
ECL Entertainment, LLC
N/A
ECL Entertainment, LLC Term Loan
000000000
853456.75000000
PA
USD
864658.37000000
0.025753568574
Long
LON
CORP
US
N
2
2028-03-31
Floating
8.25000000
N
N
N
N
N
N
JPMBB Commercial Mortgage Securities Trust
N/A
JPMBB Commercial Mortgage Securities Trust 2015-C33
46645JBG6
300000.00000000
PA
USD
273572.76000000
0.008148275757
Long
ABS-MBS
CORP
US
N
2
2048-12-15
Variable
4.11100000
N
N
N
N
N
N
Structured Adjustable Rate Mortgage Loan Trust
N/A
Structured Adjustable Rate Mortgage Loan Trust Series 2007-3
86363GAF1
629611.90000000
PA
USD
374087.88000000
0.011142085943
Long
ABS-MBS
CORP
US
N
2
2047-04-25
Variable
3.10700000
N
N
N
N
N
N
WOOF Holdings, Inc
N/A
WOOF Holdings, Inc 1st Lien Term Loan
98082EAB0
316607.50000000
PA
USD
314628.70000000
0.009371113588
Long
LON
CORP
US
N
2
2027-12-21
Floating
4.67800000
N
N
N
N
N
N
ROGERS COMMUNICATIONS IN
54930030NVF3Y2OL0A78
Rogers Communications Inc
775109CC3
2590000.00000000
PA
USD
2569944.59000000
0.076544964493
Long
DBT
CORP
CA
N
2
2032-03-15
Fixed
3.80000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36179RS91
34805.12000000
PA
USD
35621.82000000
0.001060984333
Long
ABS-MBS
USGA
US
N
2
2045-11-20
Fixed
3.50000000
N
N
N
N
N
N
HSBC Bank PLC
MP6I5ZYZBEU3UXPYFY54
PURCHASED JPY / SOLD USD
000000000
1.00000000
NC
-15946.67000000
-0.00047496638
N/A
DFE
JP
N
2
HSBC Bank PLC
MP6I5ZYZBEU3UXPYFY54
510000.00000000
USD
60131310.00000000
JPY
2022-04-18
-15946.67000000
N
N
N
Capex SA
529900C9G66T1U8FMX69
Capex SA
139612AE5
107000.00000000
PA
USD
101116.07000000
0.003011709286
Long
DBT
CORP
AR
N
2
2024-05-15
Fixed
6.87500000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
3132GEB41
280522.26000000
PA
USD
298693.28000000
0.008896482282
Long
ABS-MBS
USGSE
US
N
2
2041-05-01
Fixed
4.50000000
N
N
N
N
N
N
OIL & GAS HOLDING
549300OBH16L6TS6IW50
Oil and Gas Holding Co BSCC/The
000000000
379000.00000000
PA
USD
397950.00000000
0.011852811433
Long
DBT
CORP
BH
Y
2
2024-11-07
Fixed
7.62500000
N
N
N
N
N
N
Indymac Home Equity Loan Asset-Backed Trust
N/A
Home Equity Mortgage Loan Asset-Backed Trust Series SPMD 2004-A
456606ER9
157287.95000000
PA
USD
156404.02000000
0.004658442911
Long
ABS-MBS
CORP
US
N
2
2034-07-25
Floating
2.48200000
N
N
N
N
N
N
RUSSIA GOVT BOND - OFZ
5493004EHVGF71PDBU58
Russian Federal Bond - OFZ
000000000
147607000.00000000
PA
54501.05000000
0.001623296063
Long
DBT
NUSS
RU
N
2
2035-07-18
Fixed
6.10000000
N
N
N
N
N
N
Bayview Commercial Asset Trust
N/A
Bayview Commercial Asset Trust 2007-1
07325MAB0
165323.40000000
PA
USD
155320.74000000
0.004626177768
Long
ABS-MBS
CORP
US
N
2
2037-03-25
Floating
0.72700000
N
N
N
N
N
N
JPMorgan Securities LLC
7H6GLXDRUGQFU57RNE97
Long: BRT8MGX48 CDS USD R V 01MEVENT 1 CMBX / Short: BRT8MGX48 CDS USD P F 3.00000 2 CMBX
000000000
340000.00000000
OU
Notional Amount
USD
82982.44000000
0.002471605009
N/A
DCR
US
N
2
JPMorgan Securities LLC
7H6GLXDRUGQFU57RNE97
CMBX.NA.BBB-.6
137BERAF4
Y
buy protection
2063-05-11
34297.74000000
USD
0.00000000
USD
340000.00000000
USD
48684.70000000
N
N
N
CCO HLDGS LLC/CAP CORP
N/A
CCO Holdings LLC / CCO Holdings Capital Corp
1248EPCD3
658000.00000000
PA
USD
631837.92000000
0.018819087127
Long
DBT
CORP
US
N
2
2030-03-01
Fixed
4.75000000
N
N
N
N
N
N
VMWARE INC
549300BUDHS3LRWBE814
VMware Inc
928563AK1
625000.00000000
PA
USD
554316.63000000
0.016510140695
Long
DBT
CORP
US
N
2
2028-08-15
Fixed
1.80000000
N
N
N
N
N
N
LOWE'S COS INC
WAFCR4OKGSC504WU3E95
Lowe's Cos Inc
548661ED5
1378000.00000000
PA
USD
1247134.69000000
0.037145501477
Long
DBT
CORP
US
N
2
2028-09-15
Fixed
1.70000000
N
N
N
N
N
N
Rockford Tower CLO Ltd
549300V5ZF7112UGSH89
Rockford Tower CLO 2017-3 Ltd
77341DAA5
3405000.00000000
PA
USD
3396293.42000000
0.101157495867
Long
ABS-CBDO
CORP
KY
N
2
2030-10-20
Floating
1.44400000
N
N
N
N
N
N
United States Treasury
254900HROIFWPRGM1V77
United States Treasury Note/Bond
91282CAZ4
12344000.00000000
PA
USD
11412413.75000000
0.339915035007
Long
DBT
UST
US
N
2
2025-11-30
Fixed
0.37500000
N
N
N
N
N
N
BP Capital Markets PLC
549300CRVT18MXX0AG93
BP Capital Markets PLC
05565QCP1
2178000.00000000
PA
USD
2223409.30000000
0.066223523489
Long
DBT
CORP
GB
N
2
2024-02-10
Fixed
3.81400000
N
N
N
N
N
N
Genius Sports Ltd
N/A
Genius Sports Ltd
000000000
101806.00000000
NS
USD
468307.60000000
0.013948389686
Long
EC
CORP
GG
N
1
N
N
N
Marathon Petroleum Corp
3BNYRYQHD39K4LCKQF12
Marathon Petroleum Corp
56585ABE1
50000.00000000
PA
USD
50125.42000000
0.001492969346
Long
DBT
CORP
US
N
2
2048-04-01
Fixed
4.50000000
N
N
N
N
N
N
MERCK & CO INC
4YV9Y5M8S0BRK1RP0397
Merck & Co Inc
58933YBB0
408000.00000000
PA
USD
339189.77000000
0.010102657077
Long
DBT
CORP
US
N
2
2050-06-24
Fixed
2.45000000
N
N
N
N
N
N
JBS USA LUX/JBS USA FIN
N/A
JBS USA LUX SA / JBS USA Finance Inc
472141AA8
537000.00000000
PA
USD
566132.25000000
0.016862065097
Long
DBT
CORP
XX
N
2
2028-02-15
Fixed
6.75000000
N
N
N
N
N
RAYTHEON TECH CORP
I07WOS4YJ0N7YRFE7309
Raytheon Technologies Corp
75513EBX8
775000.00000000
PA
USD
778390.42000000
0.023184105716
Long
DBT
CORP
US
N
2
2024-12-15
Fixed
3.15000000
N
N
N
N
N
N
NORTHERN STATES PWR-MINN
3S1GHB0TEH85KX44SB51
Northern States Power Co/MN
665772CR8
356000.00000000
PA
USD
314061.32000000
0.009354214359
Long
DBT
CORP
US
N
2
2050-03-01
Fixed
2.90000000
N
N
N
N
N
N
UNITED WHOLESALE MTGE LL
549300HW662MN1WU8550
United Wholesale Mortgage LLC
91153LAA5
1640000.00000000
PA
USD
1590800.00000000
0.047381461059
Long
DBT
CORP
US
N
2
2025-11-15
Fixed
5.50000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Pool
3133B3GW1
1443330.30000000
PA
USD
1344567.51000000
0.040047506359
Long
ABS-MBS
USGSE
US
N
2
2052-02-01
Fixed
2.00000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
3132M9GM0
107630.88000000
PA
USD
109649.83000000
0.003265884555
Long
ABS-MBS
USGSE
US
N
2
2044-09-01
Fixed
3.50000000
N
N
N
N
N
N
HarborView Mortgage Loan Trust
N/A
HarborView Mortgage Loan Trust 2006-12
41162DAA7
2367152.52000000
PA
USD
2186036.00000000
0.065110371893
Long
ABS-MBS
CORP
US
N
2
2036-12-19
Floating
0.65400000
N
N
N
N
N
N
Herschend Entertainment Company, LLC
54930087KQ7RPDXK0716
Herschend Entertainment Company, LLC 2021 Term Loan
42778EAF8
333165.00000000
PA
USD
331915.63000000
0.009885999181
Long
LON
CORP
US
N
2
2028-08-27
Floating
4.25000000
N
N
N
N
N
N
CAESARS RESORT / FINCO
N/A
Caesars Resort Collection LLC / CRC Finco Inc
12770RAA1
460000.00000000
PA
USD
469469.10000000
0.013982984586
Long
DBT
CORP
US
N
2
2025-07-01
Fixed
5.75000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
3620A6DC8
204978.67000000
PA
USD
226076.11000000
0.006733603471
Long
ABS-MBS
USGA
US
N
2
2039-07-15
Fixed
5.00000000
N
N
N
N
N
N
GOLDMAN SACHS GROUP INC
784F5XWPLTWKTBV3E584
Goldman Sachs Group Inc/The
38141GZM9
6979000.00000000
PA
USD
6578318.16000000
0.195933068729
Long
DBT
CORP
US
N
2
2033-02-24
Fixed
3.10200000
N
N
N
N
N
N
VENTURE GLOBAL CALCASIEU
549300GKHS6RS20NLH85
Venture Global Calcasieu Pass LLC
92328MAC7
454000.00000000
PA
USD
434137.50000000
0.012930644361
Long
DBT
CORP
US
N
2
2033-11-01
Fixed
3.87500000
N
N
N
N
N
N
ALEN 2021-ACEN Mortgage Trust
N/A
Alen 2021-ACEN Mortgage Trust
01449NAG1
453000.00000000
PA
USD
442624.53000000
0.013183427792
Long
ABS-MBS
CORP
US
N
2
2034-04-15
Floating
3.49700000
N
N
N
N
N
N
Credit-Based Asset Servicing and Securitization
N/A
Credit-Based Asset Servicing and Securitization LLC
1248P8AK5
344000.00000000
PA
USD
338658.92000000
0.010086845882
Long
ABS-O
CORP
US
N
2
2036-10-25
Variable
6.25000000
N
N
N
N
N
N
DEUTSCHE BANK NY
7LTWFZYICNSX8D621K86
Deutsche Bank AG/New York NY
25160PAF4
4651000.00000000
PA
USD
4362342.38000000
0.129930950217
Long
DBT
CORP
DE
N
2
2026-03-19
Fixed
1.68600000
N
N
N
N
N
N
ANHEUSER-BUSCH CO/INBEV
N/A
Anheuser-Busch Cos LLC / Anheuser-Busch InBev Worldwide Inc
03522AAH3
5022000.00000000
PA
USD
5386173.34000000
0.160425422660
Long
DBT
CORP
US
N
2
2036-02-01
Fixed
4.70000000
N
N
N
N
N
N
CONNECT FINCO SARL/CONNE
N/A
Connect Finco SARL / Connect US Finco LLC
20752TAA2
756000.00000000
PA
USD
769146.84000000
0.022908788690
Long
DBT
CORP
XX
N
2
2026-10-01
Fixed
6.75000000
N
N
N
N
N
N
Xenia Hotels & Resorts Inc
54930075IWIPHF5IQL62
Xenia Hotels & Resorts Inc
984017103
42097.00000000
NS
USD
812051.13000000
0.024186679025
Long
EC
US
N
1
N
N
N
United States Treasury
254900HROIFWPRGM1V77
United States Treasury Note/Bond
9128284V9
2236000.00000000
PA
USD
2291113.91000000
0.068240083297
Long
DBT
UST
US
N
2
2028-08-15
Fixed
2.87500000
N
N
N
N
N
N
Conseco Finance Securitizations Corp.
N/A
Conseco Finance Securitizations Corp
20846QER5
1628101.93000000
PA
USD
648158.12000000
0.019305178981
Long
ABS-O
CORP
US
N
2
2031-05-01
Fixed
8.20000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
3128MMRF2
163020.26000000
PA
USD
161629.03000000
0.004814068136
Long
ABS-MBS
USGSE
US
N
2
2028-10-01
Fixed
2.50000000
N
N
N
N
N
N
Genesee & Wyoming Inc. (New)
G617XSG94Z7G0RMW3L02
Genesee & Wyoming Inc. (New) Term Loan
55316HAB1
899640.02000000
PA
USD
891318.35000000
0.026547627415
Long
LON
CORP
US
N
2
2026-12-30
Floating
3.00600000
N
N
N
N
N
N
Merck & Co Inc
4YV9Y5M8S0BRK1RP0397
Merck & Co Inc
58933YAW5
345000.00000000
PA
USD
373796.72000000
0.011133413837
Long
DBT
CORP
US
N
2
2049-03-07
Fixed
4.00000000
N
N
N
N
N
N
iHeartCommunications Inc
54930076J6KDZL504O62
iHeartCommunications Inc
45174HBC0
362706.00000000
PA
USD
372680.42000000
0.011100165204
Long
DBT
CORP
US
N
2
2026-05-01
Fixed
6.37500000
N
N
N
N
N
Bank of America N.A.
B4TYDEB6GKMZO031MB27
BRY0HFAP5 BLACKROCK FXVAN CALL USD ZAR 15.7000000
000000000
-2008000.00000000
OU
Notional Amount
USD
-12375.30000000
-0.00036859428
N/A
DFE
US
N
2
Bank of America N.A.
B4TYDEB6GKMZO031MB27
Call
Written
Bank of America N.A.
B4TYDEB6GKMZO031MB27
Bank of America N.A.
B4TYDEB6GKMZO031MB27
FX Contract
N/A
1.00000000
NC
USD
-12375.30000000
0.00000000
DFE
CL
-2008000.00000000
USD
-31525600.00000000
CLP
2022-05-27
1.00000000
15.70000000
USD
2022-05-27
XXXX
2082.30000000
N
N
N
280 Park Avenue Mortgage Trust
N/A
280 Park Avenue 2017-280P Mortgage Trust
90205FAN0
1750000.00000000
PA
USD
1726484.03000000
0.051422765801
Long
ABS-MBS
CORP
US
Y
2
2034-09-15
Floating
2.42600000
N
N
N
N
N
N
ARABIAN CENTRES SUKUK
5493003T55GS691ILI42
Arabian Centres Sukuk Ltd
000000000
285000.00000000
PA
USD
274683.00000000
0.008181343895
Long
DBT
CORP
KY
Y
2
2024-11-26
Fixed
5.37500000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
3132QMHE4
36102.02000000
PA
USD
37318.82000000
0.001111528926
Long
ABS-MBS
USGSE
US
N
2
2045-02-01
Fixed
4.00000000
N
N
N
N
N
N
UBS Switzerland AG
BFM8T61CT2L1QCEMIK50
BRWXBVEN7 BLACKROCK PUT EUR SEK 9.9500000 20220411
000000000
224000.00000000
OU
Notional Amount
154.38000000
0.000004598158
N/A
DFE
US
N
2
UBS Switzerland AG
BFM8T61CT2L1QCEMIK50
Put
Purchased
UBS AG
BFM8T61CT2L1QCEMIK50
UBS AG
BFM8T61CT2L1QCEMIK50
FX Contract
N/A
1.00000000
NC
USD
154.38000000
0.00000000
DFE
SE
2228800.00000000
EUR
224000.00000000
SEK
2022-04-11
1.00000000
9.95000000
EUR
2022-04-11
XXXX
-28743.82000000
N
N
N
REPUBLICA ORIENT URUGUAY
549300RDR012H2V82H43
Uruguay Government International Bond
760942BA9
1118733.00000000
PA
USD
1317375.23000000
0.039237593136
Long
DBT
NUSS
UY
N
2
2050-06-18
Fixed
5.10000000
N
N
N
N
N
N
TCI-Flatiron CLO Ltd
N/A
TCI-Flatiron Clo 2017-1 Ltd
87231BAL7
680000.00000000
PA
USD
678200.72000000
0.020199988059
Long
ABS-CBDO
CORP
KY
N
2
2030-11-18
Floating
1.42900000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
31335AAT5
681074.16000000
PA
USD
726075.15000000
0.021625912400
Long
ABS-MBS
USGSE
US
N
2
2043-12-01
Fixed
4.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140XFRT0
2589981.47000000
PA
USD
2414375.65000000
0.071911394168
Long
ABS-MBS
USGSE
US
N
2
2052-01-01
Fixed
2.00000000
N
N
N
N
N
N
Tishman Speyer Innovation Corp II
N/A
Tishman Speyer Innovation Corp II
88825H100
16712.00000000
NS
USD
163777.60000000
0.004878062595
Long
EC
CORP
US
Y
1
N
N
N
Agate Bay Mortgage Loan Trust
N/A
Agate Bay Mortgage Trust 2015-4
00842ACG2
104000.00000000
PA
USD
99619.03000000
0.002967120436
Long
ABS-MBS
CORP
US
N
2
2045-06-25
Variable
3.53500000
N
N
N
N
N
N
SABINE PASS LIQUEFACTION
549300KJYBG7C6WJYZ11
Sabine Pass Liquefaction LLC
785592AS5
860000.00000000
PA
USD
909505.20000000
0.027089316832
Long
DBT
CORP
US
N
2
2027-03-15
Fixed
5.00000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
3128M7CL8
490749.06000000
PA
USD
522151.23000000
0.015552104709
Long
ABS-MBS
USGSE
US
N
2
2039-02-01
Fixed
4.50000000
N
N
N
N
N
N
JPMorgan Chase Bank N.A.
7H6GLXDRUGQFU57RNE97
Long: BRY0HZD03 CDS USD R V 03MEVENT 1 CORPORATE / Short: BRY0HZD03 CDS USD P F 1.00000 2 CORPORATE
000000000
1237909.00000000
OU
Notional Amount
USD
-35450.71000000
-0.00105588787
N/A
DCR
US
N
2
JPMorgan Chase Bank N.A.
7H6GLXDRUGQFU57RNE97
ABBOTT LABORATORIES
ABBOTT LABORATORIES
Y
buy protection
2027-06-20
0.00000000
USD
-30164.09000000
USD
1237909.00000000
USD
-5286.62000000
N
N
N
Interface Security Systems, LLC
N/A
Interface Security Systems, LLC Term Loan
000000000
1222448.04000000
PA
USD
1178195.42000000
0.035092167722
Long
LON
CORP
US
N
3
2023-08-07
Floating
1.00000000
N
N
Y
N
N
N
JPMorgan Chase Bank N.A.
7H6GLXDRUGQFU57RNE97
Long: BRWALDPH7 CDS USD R F 3.00000 2 CMBX / Short: BRWALDPH7 CDS USD P V 01MEVENT 1 CMBX
000000000
130000.00000000
OU
Notional Amount
USD
-13271.94000000
-0.00039530042
N/A
DCR
US
N
2
JPMorgan Chase Bank N.A.
7H6GLXDRUGQFU57RNE97
CMBX.NA.BBB-.9
137BERAI8
Y
sell protection
2058-09-17
0.00000000
USD
-28329.89000000
USD
130000.00000000
USD
15057.95000000
N
N
N
Morgan Stanley
IGJSJL3JD5P30I6NJZ34
Morgan Stanley
61746BDZ6
388000.00000000
PA
USD
395380.89000000
0.011776291327
Long
DBT
CORP
US
N
2
2026-01-27
Fixed
3.87500000
N
N
N
N
N
N
Park River Holdings Inc
N/A
Park River Holdings Inc Term Loan
70082HAC0
200484.36000000
PA
USD
196427.76000000
0.005850537001
Long
LON
CORP
US
N
2
2027-12-28
Floating
4.00000000
N
N
N
N
N
N
ALME Loan Funding BV
5493007Y7TGLM40XAY97
Alme Loan Funding V DAC
000000000
270000.00000000
PA
285623.14000000
0.008507192409
Long
ABS-CBDO
CORP
IE
N
2
2031-07-15
Floating
5.41000000
N
N
N
N
N
N
Bluemountain CLO Ltd
N/A
BlueMountain CLO XXII Ltd
09629PAE6
660000.00000000
PA
USD
653918.76000000
0.019476757771
Long
ABS-CBDO
CORP
KY
N
2
2031-07-15
Floating
1.73900000
N
N
N
N
N
N
RELX Capital Inc
2R15C3RTKJN1RCBOV146
RELX Capital Inc
74949LAC6
2546000.00000000
PA
USD
2611543.77000000
0.077783982551
Long
DBT
CORP
US
N
2
2029-03-18
Fixed
4.00000000
N
N
N
N
N
N
MOODY'S CORPORATION
549300GCEDD8YCF5WU84
Moody's Corp
615369AX3
831000.00000000
PA
USD
694929.55000000
0.020698250825
Long
DBT
CORP
US
N
2
2061-11-29
Fixed
3.10000000
N
N
N
N
N
N
Sovos Brands Intermediate, Inc.
549300LNTCFBIDJ7R637
Sovos Brands Intermediate, Inc. 2021 Term Loan
84611UAH1
139316.83000000
PA
USD
138167.47000000
0.004115273195
Long
LON
CORP
US
N
2
2028-06-08
Floating
4.50000000
N
N
N
N
N
N
Wells Fargo Commercial Mortgage Trust
549300RD723OFH36TP29
Wells Fargo Commercial Mortgage Trust 2015-NXS4
94989XBF1
932013.85000000
PA
USD
28509.84000000
0.000849156319
Long
ABS-MBS
CORP
US
N
2
2048-12-15
Variable
0.51200000
N
N
N
N
N
N
RENEWABLE ENERGY GROUP I
549300HPU3BD8ZI0X358
Renewable Energy Group Inc
75972AAD5
130000.00000000
PA
USD
139636.90000000
0.004159039690
Long
DBT
CORP
US
N
2
2028-06-01
Fixed
5.87500000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31418CZ98
337740.54000000
PA
USD
345686.63000000
0.010296163941
Long
ABS-MBS
USGSE
US
N
2
2048-09-01
Fixed
4.00000000
N
N
N
N
N
N
Goldman Sachs & Co. LLC
FOR8UP27PHTHYVLBNG30
Long: BRY05CS50 CDS USD R V 03MEVENT 1 SOVEREIGN / Short: BRY05CS50 CDS USD P F 1.00000 2 SOVEREIGN
000000000
1098000.00000000
OU
Notional Amount
USD
-16167.34000000
-0.00048153896
N/A
DCR
US
N
2
Goldman Sachs & Co. LLC
FOR8UP27PHTHYVLBNG30
Republic of Chile
Republic of Chile
Y
buy protection
2027-06-20
0.00000000
USD
-6394.06000000
USD
1098000.00000000
USD
-9773.28000000
N
N
N
FIRSTENERGY CORP
549300SVYJS666PQJH88
FirstEnergy Corp
337932AM9
850000.00000000
PA
USD
715946.50000000
0.021324233851
Long
DBT
CORP
US
N
2
2050-03-01
Fixed
3.40000000
N
N
N
N
N
N
Options Clearing Corp.
549300CII6SLYGKNHA04
OCCIDENTAL PETROLEUM CORP APR22 60 CALL
000000000
242.00000000
NC
USD
31218.00000000
0.000929817985
N/A
DE
US
N
1
Options Clearing Corp.
549300CII6SLYGKNHA04
Call
Purchased
Occidental Petroleum Corp
Occidental Petroleum Corp
100.00000000
60.00000000
USD
2022-04-14
XXXX
-91531.45000000
N
N
N
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
Long: SRWXDNSQ1 IRS MXN R F 7.60000 2 CCPVANILLA / Short: SRWXDNSQ1 IRS MXN P V 01MTIIE 1 CCPVANILLA
000000000
38940000.00000000
OU
Notional Amount
-73945.41000000
-0.00220244000
N/A
DIR
US
N
2
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
N/A
N/A
Y
2032-01-01
253.52000000
MXN
0.00000000
MXN
38940000.00000000
MXN
-73958.03000000
N
N
N
Intercontinental Exchange, Inc.
5493000F4ZO33MV32P92
Long: BRTVUN3Z7 CDS USD R V 03MEVENT 1 CORPORATE / Short: BRTVUN3Z7 CDS USD P F 5.00000 2 CORPORATE
000000000
250000.00000000
OU
Notional Amount
USD
-13280.84000000
-0.00039556550
N/A
DCR
US
N
2
Intercontinental Exchange, Inc.
5493000F4ZO33MV32P92
BEAZER HOMES USA
BEAZER HOMES USA
Y
buy protection
2024-06-20
0.00000000
USD
-7079.70000000
USD
250000.00000000
USD
-6201.14000000
N
N
N
S&P GLOBAL INC
Y6X4K52KMJMZE7I7MY94
S&P Global Inc
78409VAY0
1737000.00000000
PA
USD
1866139.37000000
0.055582354721
Long
DBT
CORP
US
N
2
2028-08-01
Fixed
4.75000000
N
N
N
N
N
N
RHP HOTEL PPTY/RHP FINAN
N/A
RHP Hotel Properties LP / RHP Finance Corp
749571AF2
377000.00000000
PA
USD
362783.33000000
0.010805383595
Long
DBT
US
N
2
2027-10-15
Fixed
4.75000000
N
N
N
N
N
Cedar Funding Ltd
N/A
Cedar Funding IX CLO Ltd
15033EAA6
380000.00000000
PA
USD
376523.76000000
0.011214637837
Long
ABS-CBDO
CORP
KY
N
2
2031-04-20
Floating
1.23400000
N
N
N
N
N
N
CD Commercial Mortgage Trust
N/A
CD 2017-CD5 Mortgage Trust
12515HBC8
363000.00000000
PA
USD
356518.89000000
0.010618799285
Long
ABS-MBS
CORP
US
N
2
2050-08-15
Variable
3.95600000
N
N
N
N
N
N
RR 1 Ltd
N/A
RR 1 LLC
78108YAL6
1620000.00000000
PA
USD
1611898.38000000
0.048009869451
Long
ABS-CBDO
CORP
KY
N
2
2035-07-15
Floating
1.39100000
N
N
N
N
N
N
American Home Mortgage Assets
N/A
American Home Mortgage Assets Trust 2006-3
02660UAE0
358034.54000000
PA
USD
286612.88000000
0.008536671494
Long
ABS-MBS
CORP
US
N
2
2046-10-25
Floating
1.08100000
N
N
N
N
N
N
Conseco Financial Corp
N/A
Conseco Finance Corp
3935053Q3
385375.67000000
PA
USD
187682.46000000
0.005590061082
Long
ABS-O
CORP
US
N
2
2030-03-01
Variable
7.50000000
N
N
N
N
N
N
BENCHMARK Mortgage Trust
N/A
Benchmark 2021-B23 Mortgage Trust
08162RAF4
5119595.17000000
PA
USD
422624.12000000
0.012587722079
Long
ABS-MBS
CORP
US
N
2
2054-02-15
Variable
1.27600000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140Q83N3
6470194.42000000
PA
USD
6821569.07000000
0.203178218037
Long
ABS-MBS
USGSE
US
N
2
2048-05-01
Fixed
4.50000000
N
N
N
N
N
N
ELP 2021-ELP
N/A
ELP Commercial Mortgage Trust 2021-ELP
26863LAS3
385000.00000000
PA
USD
376340.35000000
0.011209175030
Long
ABS-MBS
CORP
US
N
2
2038-11-15
Floating
4.01200000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138XBKL7
24947.31000000
PA
USD
25206.43000000
0.000750765326
Long
ABS-MBS
USGSE
US
N
2
2028-11-01
Fixed
3.00000000
N
N
N
N
N
N
JP Morgan Chase Commercial Mortgage Sec Trust
N/A
JP Morgan Chase Commercial Mortgage Securities Trust 2015-JP1
46590KAL8
970000.00000000
PA
USD
872722.10000000
0.025993744151
Long
ABS-MBS
CORP
US
N
2
2049-01-15
Variable
4.21900000
N
N
N
N
N
N
Highbridge Loan Management Ltd
2549009NI8GVCM3ROT27
HPS Loan Management 10-2016 Ltd
40436TAS5
1160000.00000000
PA
USD
1151268.68000000
0.034290163521
Long
ABS-CBDO
CORP
KY
N
2
2034-04-20
Floating
1.39400000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36202FPF7
750275.28000000
PA
USD
784616.94000000
0.023369560591
Long
ABS-MBS
USGA
US
N
2
2041-01-20
Fixed
4.00000000
N
N
N
N
N
N
Intel Corp
KNX4USFCNGPY45LOCE31
Intel Corp
458140BG4
1228000.00000000
PA
USD
1226471.85000000
0.036530065502
Long
DBT
CORP
US
N
2
2047-12-08
Fixed
3.73400000
N
N
N
N
N
N
1011778 BC / NEW RED FIN
N/A
1011778 BC ULC / New Red Finance Inc
68245XAH2
68000.00000000
PA
USD
64432.38000000
0.001919097500
Long
DBT
CORP
CA
N
2
2028-01-15
Fixed
3.87500000
N
N
N
N
N
N
Elmwood CLO II Ltd.
N/A
Elmwood CLO II Ltd
29001LAL5
750000.00000000
PA
USD
741724.50000000
0.022092023204
Long
ABS-CBDO
CORP
KY
N
2
2034-04-20
Floating
1.40400000
N
N
N
N
N
N
RMF Buyout Issuance Trust
N/A
RMF Buyout Issuance Trust 2021-HB1
74969TAD2
509000.00000000
PA
USD
480407.99000000
0.014308795870
Long
ABS-MBS
CORP
US
N
2
2031-11-25
Variable
3.69000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140EW4P7
68351.88000000
PA
USD
67736.93000000
0.002017522448
Long
ABS-MBS
USGSE
US
N
2
2031-11-01
Fixed
2.50000000
N
N
N
N
N
N
Massachusetts Housing Finance Agency
549300NLJBK1VP6K2K81
MASSACHUSETTS ST HSG FIN AGY
57586NXZ9
275000.00000000
PA
USD
281810.16000000
0.008393624039
Long
DBT
MUN
US
N
2
2048-12-01
Fixed
4.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140QDYC2
800000.16000000
PA
USD
818466.44000000
0.024377756949
Long
ABS-MBS
USGSE
US
N
2
2050-06-01
Fixed
4.00000000
N
N
N
N
N
N
UBS AG
BFM8T61CT2L1QCEMIK50
PURCHASED USD / SOLD TRY
000000000
1.00000000
NC
-13007.87000000
-0.00038743518
N/A
DFE
US
N
2
UBS AG
BFM8T61CT2L1QCEMIK50
8051400.00000000
TRY
525000.00000000
USD
2022-04-29
-13007.87000000
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140X83P0
584143.54000000
PA
USD
544032.31000000
0.016203825566
Long
ABS-MBS
USGSE
US
N
2
2050-12-01
Fixed
2.00000000
N
N
N
N
N
N
Citibank N.A.
E57ODZWZ7FF32TWEFA76
PURCHASED COP / SOLD USD
000000000
1.00000000
NC
5914.32000000
0.000176156099
N/A
DFE
CO
N
2
Citibank N.A.
E57ODZWZ7FF32TWEFA76
510000.00000000
USD
1950750000.00000000
COP
2022-04-20
5914.32000000
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae
21H030658
1700000.00000000
PA
USD
1675628.90000000
0.049908062280
Long
ABS-MBS
USGA
US
N
2
2051-05-20
Fixed
3.00000000
N
N
N
N
N
N
CIGNA CORP
549300VIWYMSIGT1U456
Cigna Corp
125523AF7
16000.00000000
PA
USD
16233.58000000
0.000483511905
Long
DBT
CORP
US
N
2
2023-07-15
Fixed
3.75000000
N
N
N
N
N
N
WYNN RESORTS FINANCE LLC
N/A
Wynn Resorts Finance LLC / Wynn Resorts Capital Corp
983133AA7
931000.00000000
PA
USD
876303.75000000
0.026100422433
Long
DBT
CORP
US
N
2
2029-10-01
Fixed
5.12500000
N
N
N
N
N
N
IVORY COAST
254900ICW11T82O6H590
Ivory Coast Government International Bond
000000000
323000.00000000
PA
311254.58000000
0.009270616521
Long
DBT
NUSS
CI
Y
2
2048-03-22
Fixed
6.62500000
N
N
N
N
N
N
UBS Switzerland AG
BFM8T61CT2L1QCEMIK50
BRWYZFX29 BLACKROCK FXVAN CALL EUR SEK 10.8000000
000000000
-617000.00000000
OU
Notional Amount
-699.63000000
-0.00002083825
N/A
DFE
LU
N
2
UBS Switzerland AG
BFM8T61CT2L1QCEMIK50
Call
Written
UBS AG
BFM8T61CT2L1QCEMIK50
UBS AG
BFM8T61CT2L1QCEMIK50
FX Contract
N/A
1.00000000
NC
USD
-699.63000000
0.00000000
DFE
CO
-617000.00000000
USD
-6663600.00000000
COP
2022-04-28
1.00000000
10.80000000
EUR
2022-04-28
XXXX
4310.86000000
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31418EAA8
10845340.29000000
PA
USD
9829878.82000000
0.292779746372
Long
ABS-MBS
USGSE
US
N
2
2041-12-01
Fixed
1.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140QA4A5
6584960.82000000
PA
USD
6989679.95000000
0.208185345970
Long
ABS-MBS
USGSE
US
N
2
2049-05-01
Fixed
4.50000000
N
N
N
N
N
N
GoldenTree Loan Management US CLO1, LTD
N/A
GoldentTree Loan Management US CLO 1 Ltd
38138KAC4
910000.00000000
PA
USD
904154.16000000
0.026929937844
Long
ABS-CBDO
CORP
KY
N
2
2034-10-20
Floating
1.38400000
N
N
N
N
N
N
Ajax Mortgage Loan Trust
N/A
AJAX Mortgage Loan Trust
00971FAA9
8529995.81000000
PA
USD
8079523.32000000
0.240645976594
Long
ABS-MBS
CORP
US
N
2
2061-06-25
Variable
1.87500000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36179VSF8
8359287.36000000
PA
USD
7984275.10000000
0.237809039312
Long
ABS-MBS
USGA
US
N
2
2050-08-20
Fixed
2.00000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
3132KFAB8
458853.79000000
PA
USD
454915.98000000
0.013549524636
Long
ABS-MBS
USGSE
US
N
2
2030-08-01
Fixed
2.50000000
N
N
N
N
N
N
Morgan Stanley Capital I Trust
N/A
Morgan Stanley Capital I Trust 2017-CLS
61691LAQ2
1977000.00000000
PA
USD
1952243.41000000
0.058146935573
Long
ABS-MBS
CORP
US
N
2
2034-11-15
Floating
2.99700000
N
N
N
N
N
N
COLGATE ENERGY P
549300QRLZK0B17DH791
Colgate Energy Partners III LLC
19416MAB5
240000.00000000
PA
USD
247428.00000000
0.007369562576
Long
DBT
CORP
US
N
2
2029-07-01
Fixed
5.87500000
N
N
N
N
N
N
Societe Generale
O2RNE8IBXP4R0TD8PU41
Societe Generale
000000000
800000.00000000
PA
USD
800000.00000000
0.023827740034
Long
RA
CORP
US
N
2
Repurchase
Y
0.36000000
2022-04-01
10371.02000000
USD
888962.34000000
USD
EQT
N
N
SMB Private Education Loan Trust
N/A
SMB Private Education Loan Trust 2021-C
83208AAE3
150000.00000000
PA
USD
140028.18000000
0.004170693838
Long
ABS-O
CORP
US
N
2
2053-01-15
Fixed
2.30000000
N
N
N
N
N
N
BANK OF AMERICA CORP
9DJT3UXIJIZJI4WXO774
Bank of America Corp
06051GHX0
579000.00000000
PA
USD
549055.39000000
0.016353436372
Long
DBT
CORP
US
N
2
2030-10-22
Fixed
2.88400000
N
N
N
N
N
N
Countrywide Asset-Backed Certificates
N/A
CWABS Asset-Backed Certificates Trust 2005-16
126670NV6
880581.47000000
PA
USD
813073.01000000
0.024217115389
Long
ABS-O
CORP
US
N
2
2036-04-25
Variable
4.51700000
N
N
N
N
N
N
UBS AG
BFM8T61CT2L1QCEMIK50
PURCHASED USD / SOLD ZAR
000000000
1.00000000
NC
2230.17000000
0.000066424888
N/A
DFE
US
N
2
UBS AG
BFM8T61CT2L1QCEMIK50
7638974.18000000
ZAR
525000.00000000
USD
2022-04-01
2230.17000000
N
N
N
DIAMONDBACK ENERGY INC
549300R22LSX6OHWEN64
Diamondback Energy Inc
25278XAN9
7968000.00000000
PA
USD
7892831.64000000
0.235085425571
Long
DBT
CORP
US
N
2
2029-12-01
Fixed
3.50000000
N
N
N
N
N
N
DELL INT LLC / EMC CORP
N/A
Dell International LLC / EMC Corp
24703DBG5
565000.00000000
PA
USD
459000.17000000
0.013671170908
Long
DBT
CORP
US
N
2
2051-12-15
Fixed
3.45000000
N
N
N
N
N
N
UKRAINE GOVERNMENT
6354001WLTJXOMEXPY07
Ukraine Government International Bond
903724BY7
200000.00000000
PA
USD
82950.00000000
0.002470638794
Long
DBT
NUSS
UA
N
2
2033-03-15
Fixed
7.25300000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36178EK65
55857.06000000
PA
USD
56233.10000000
0.001674884610
Long
ABS-MBS
USGA
US
N
2
2043-04-15
Fixed
3.50000000
N
N
N
N
N
N
EMPRESAS PUBLIC MEDELLIN
549300SU25TO8EMXB434
Empresas Publicas de Medellin ESP
29246BAF5
253000.00000000
PA
USD
217908.90000000
0.006490345775
Long
DBT
CORP
CO
N
2
2031-02-15
Fixed
4.37500000
N
N
N
N
N
N
Stars Group Holdings B.V. (The)
549300RNFXC8F8RT6R13
Stars Group Holdings B.V. (The) 2018 USD Incremental Term Loan
000000000
2305995.24000000
PA
USD
2288700.28000000
0.068168194112
Long
LON
CORP
NL
N
2
2026-07-21
Floating
3.25600000
N
N
N
N
N
N
JP Morgan Mortgage Trust
N/A
J.P. Morgan Mortgage Trust 2021-INV7
46654CAP0
1016746.88000000
PA
USD
930064.12000000
0.027701657583
Long
ABS-MBS
CORP
US
N
2
2052-02-25
Variable
2.50000000
N
N
N
N
N
N
EXELON CORP
3SOUA6IRML7435B56G12
Exelon Corp
30161NAZ4
317000.00000000
PA
USD
308875.52000000
0.009199756992
Long
DBT
CORP
US
N
2
2027-03-15
Fixed
2.75000000
N
N
N
N
N
N
Mosaic Solar Loans LLC
N/A
Mosaic Solar Loan Trust 2020-1
61946NAA6
179429.34000000
PA
USD
169512.37000000
0.005048870856
Long
ABS-O
CORP
US
N
2
2046-04-20
Fixed
2.10000000
N
N
N
N
N
N
Cordatus CLO PLC
549300FNLNVJS6HNUN71
CVC Cordatus Loan Fund XVII DAC
000000000
260000.00000000
PA
267631.84000000
0.007971327385
Long
ABS-CBDO
CORP
IE
N
2
2033-11-18
Floating
6.12000000
N
N
N
N
N
N
Pikes Peak CLO
549300NJA5BS4BQQJL72
Pikes Peak CLO 8
72133CAA0
1180000.00000000
PA
USD
1173108.80000000
0.034940664398
Long
ABS-CBDO
CORP
KY
N
2
2034-07-20
Floating
1.42400000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31418CS54
270166.41000000
PA
USD
278850.16000000
0.008305461401
Long
ABS-MBS
USGSE
US
N
2
2048-01-01
Fixed
4.00000000
N
N
N
N
N
N
Vista Point Securitization Trust
N/A
Vista Point Securitization Trust 2020-2
92838TAE1
100000.00000000
PA
USD
97673.44000000
0.002909171670
Long
ABS-MBS
CORP
US
N
2
2065-04-25
Variable
4.90000000
N
N
N
N
N
N
BEAZER HOMES USA
549300DUPYT2T0F60I45
Beazer Homes USA Inc
07556QBT1
1030000.00000000
PA
USD
1035510.50000000
0.030842343746
Long
DBT
CORP
US
N
2
2029-10-15
Fixed
7.25000000
N
N
N
N
N
FLORIDA POWER & LIGHT CO
A89MY1K3YLIGJMYWVX50
Florida Power & Light Co
341081FX0
1708000.00000000
PA
USD
1592036.13000000
0.047418278789
Long
DBT
CORP
US
N
2
2049-10-01
Fixed
3.15000000
N
N
N
N
N
N
Vedanta Resources Ltd
2138007MYEKPEAZQTW83
Vedanta Resources Ltd
92241TAM4
225000.00000000
PA
USD
196875.00000000
0.005863857899
Long
DBT
CORP
GB
N
2
2024-08-09
Fixed
6.12500000
N
N
N
N
N
N
Riserva CLO, Ltd.
549300640C8OB2I8SN35
Riserva Clo Ltd
76761RAY5
940000.00000000
PA
USD
928122.16000000
0.027643816936
Long
ABS-CBDO
CORP
KY
N
2
2034-01-18
Floating
1.30100000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36180DSX6
224678.39000000
PA
USD
228484.70000000
0.006805342541
Long
ABS-MBS
USGA
US
N
2
2043-04-15
Fixed
3.50000000
N
N
N
N
N
N
SUMITOMO MITSUI FINL GRP
35380028MYWPB6AUO129
Sumitomo Mitsui Financial Group Inc
86562MBV1
2905000.00000000
PA
USD
2822888.26000000
0.084078809508
Long
DBT
CORP
JP
N
2
2025-01-15
Fixed
2.34800000
N
N
N
N
N
N
Citibank N.A.
E57ODZWZ7FF32TWEFA76
PURCHASED MXN / SOLD USD
000000000
1.00000000
NC
19163.40000000
0.000570775641
N/A
DFE
MX
N
2
Citibank N.A.
E57ODZWZ7FF32TWEFA76
520000.00000000
USD
10723960.00000000
MXN
2022-04-01
19163.40000000
N
N
N
MIDAMERICAN ENERGY CO
NINLOILYRTLIMK26MZ18
MidAmerican Energy Co
595620AW5
281000.00000000
PA
USD
240194.73000000
0.007154121980
Long
DBT
CORP
US
N
2
2052-08-01
Fixed
2.70000000
N
N
N
N
N
N
Comcast Corp
51M0QTTNCGUN7KFCFZ59
Comcast Corp
20030NBU4
1411000.00000000
PA
USD
1324761.84000000
0.039457600914
Long
DBT
CORP
US
N
2
2046-07-15
Fixed
3.40000000
N
N
N
N
N
N
PUBLIC SERVICE ELECTRIC
549300RUHPVD434XUK18
Public Service Electric and Gas Co
74456QBX3
1343000.00000000
PA
USD
1363593.60000000
0.040614192267
Long
DBT
CORP
US
N
2
2028-09-01
Fixed
3.65000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138EQD25
40018.35000000
PA
USD
40434.73000000
0.001204335293
Long
ABS-MBS
USGSE
US
N
2
2030-09-01
Fixed
3.00000000
N
N
N
N
N
N
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
Long: BRY05A1P9 CDS USD R V 03MEVENT 1 SOVEREIGN / Short: BRY05A1P9 CDS USD P F 1.00000 2 SOVEREIGN
000000000
3898190.50000000
OU
Notional Amount
USD
201336.04000000
0.005996728525
N/A
DCR
US
N
2
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
Republic of South Africa
Republic of South Africa
Y
buy protection
2027-06-20
241824.92000000
USD
0.00000000
USD
3898190.50000000
USD
-40488.88000000
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
Long: SRWLXHVJ0 IRS USD R F 2.62750 2 CCPINFLATIONZERO / Short: SRWLXHVJ0 IRS USD P V 12MUSCPI 1 CCPINFLATIONZERO
000000000
4752000.00000000
OU
Notional Amount
USD
-464751.68000000
-0.01384247776
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
Inflation based on US CPI Urban Consumers NSA
2031-05-11
90.02000000
USD
0.00000000
USD
4752000.00000000
USD
-464841.70000000
N
N
N
FS Rialto Issuer Ltd
N/A
FS Rialto 2021-FL3
30323CAA8
566000.00000000
PA
USD
556891.93000000
0.016586845169
Long
ABS-CBDO
CORP
KY
N
2
2036-11-16
Floating
1.68100000
N
N
N
N
N
N
Credit Suisse Mortgage Trust
N/A
CSMC 2021-BHAR
12659VAN0
191000.00000000
PA
USD
190725.51000000
0.005680697337
Long
ABS-MBS
CORP
US
N
2
2038-11-15
Floating
3.89700000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
3128M6RM2
73671.56000000
PA
USD
80726.36000000
0.002404408400
Long
ABS-MBS
USGSE
US
N
2
2035-02-01
Fixed
5.50000000
N
N
N
N
N
N
CENTENE CORP
549300Z7JJ4TQSQGT333
Centene Corp
15135BAZ4
836000.00000000
PA
USD
744040.00000000
0.022160989619
Long
DBT
CORP
US
N
2
2031-08-01
Fixed
2.62500000
N
N
N
N
N
N
Freddie Mac - SCRT
N/A
Seasoned Credit Risk Transfer Trust Series 2018-1
35563PEX3
160717.04000000
PA
USD
88219.03000000
0.002627575141
Long
ABS-MBS
USGSE
US
N
2
2057-05-25
Variable
4.26600000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
3620A9TU5
138548.21000000
PA
USD
152051.36000000
0.004528800347
Long
ABS-MBS
USGA
US
N
2
2039-10-15
Fixed
5.00000000
N
N
N
N
N
N
Tricon American Homes
N/A
Tricon American Homes 2018-SFR1 Trust
89613TAF5
180000.00000000
PA
USD
175744.91000000
0.005234505034
Long
ABS-O
CORP
US
N
2
2037-05-17
Fixed
4.96000000
N
N
N
N
N
N
PARK INTERMED HOLDINGS
N/A
Park Intermediate Holdings LLC / PK Domestic Property LLC / PK Finance Co-Issuer
70052LAC7
892000.00000000
PA
USD
836205.40000000
0.024906106108
Long
DBT
US
N
2
2029-05-15
Fixed
4.87500000
N
N
N
N
N
N
Banco Espirito Santo SA
635400JV7IJL16OWIT96
Banco Espirito Santo SA
000000000
200000.00000000
PA
32081.24000000
0.000955529308
Long
DBT
CORP
PT
Y
2
2019-01-21
None
0.00000000
Y
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
3132JPTF9
156084.79000000
PA
USD
162344.27000000
0.004835371327
Long
ABS-MBS
USGSE
US
N
2
2043-10-01
Fixed
4.50000000
N
N
N
N
N
N
TPGI Trust
N/A
TPGI Trust 2021-DGWD
87267HAS6
315000.00000000
PA
USD
306103.80000000
0.009117202212
Long
ABS-MBS
CORP
US
N
2
2026-06-15
Floating
3.40000000
N
N
N
N
N
N
Anchorage Capital CLO LTD
549300687XYK5L55VX28
Anchorage Capital CLO 5-R Ltd
03329AAG0
1010000.00000000
PA
USD
1003192.60000000
0.029879765597
Long
ABS-CBDO
CORP
KY
N
2
2030-01-15
Floating
2.09100000
N
N
N
N
N
N
Intercontinental Exchange, Inc.
5493000F4ZO33MV32P92
Long: BRTW15X00 CDS USD R V 03MEVENT 1 CORPORATE / Short: BRTW15X00 CDS USD P F 5.00000 2 CORPORATE
000000000
499000.00000000
OU
Notional Amount
USD
-38654.27000000
-0.00115130487
N/A
DCR
US
N
2
Intercontinental Exchange, Inc.
5493000F4ZO33MV32P92
TENET HEALTHCARE CORP
TENET HEALTHCARE CORP
Y
buy protection
2024-06-20
0.00000000
USD
-2613.42000000
USD
499000.00000000
USD
-36040.85000000
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138XYBY9
255020.67000000
PA
USD
260138.93000000
0.007748153496
Long
ABS-MBS
USGSE
US
N
2
2042-01-01
Fixed
3.50000000
N
N
N
N
N
N
RAYTHEON TECH CORP
I07WOS4YJ0N7YRFE7309
Raytheon Technologies Corp
913017CY3
3031000.00000000
PA
USD
3168312.18000000
0.094367148718
Long
DBT
CORP
US
N
2
2028-11-16
Fixed
4.12500000
N
N
N
N
N
N
WP CAREY INC
54930042CRNE713E3Q67
WP Carey Inc
92936UAG4
612000.00000000
PA
USD
551527.70000000
0.016427073322
Long
DBT
US
N
2
2031-02-01
Fixed
2.40000000
N
N
N
N
N
N
PARAMOUNT GLOBAL
5KYC8KF17ROCY24M3H09
Paramount Global
92553PAP7
336000.00000000
PA
USD
319788.00000000
0.009524781662
Long
DBT
CORP
US
N
2
2043-03-15
Fixed
4.37500000
N
N
N
N
N
N
BANK OF AMERICA CORP
9DJT3UXIJIZJI4WXO774
Bank of America Corp
06051GJK6
1121000.00000000
PA
USD
1036010.68000000
0.030857241445
Long
DBT
CORP
US
N
2
2026-10-24
Fixed
1.19700000
N
N
N
N
N
N
HCA Inc
L3CJ6J7LJ2DX62FTXD46
HCA Inc
404119BR9
453000.00000000
PA
USD
471346.50000000
0.014038902335
Long
DBT
CORP
US
N
2
2025-02-01
Fixed
5.37500000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140X83B1
1376815.47000000
PA
USD
1398855.38000000
0.041664452926
Long
ABS-MBS
USGSE
US
N
2
2048-01-01
Fixed
3.50000000
N
N
N
N
N
N
XHR LP
549300M88BPT83ZL2164
XHR LP
98372MAA3
236000.00000000
PA
USD
243215.70000000
0.007244100590
Long
DBT
US
N
2
2025-08-15
Fixed
6.37500000
N
N
N
N
N
N
FIRSTENERGY CORP
549300SVYJS666PQJH88
FirstEnergy Corp
337932AL1
972000.00000000
PA
USD
882473.94000000
0.026284199537
Long
DBT
CORP
US
N
2
2030-03-01
Fixed
2.65000000
N
N
N
N
N
N
MORGAN STANLEY
IGJSJL3JD5P30I6NJZ34
Morgan Stanley
61772BAC7
938000.00000000
PA
USD
862879.04000000
0.025700571808
Long
DBT
CORP
US
N
2
2042-04-22
Fixed
3.21700000
N
N
N
N
N
N
NPC UKRENERGO
8945009LCLS92V4AK321
NPC Ukrenergo
63718LAA2
257000.00000000
PA
USD
97660.00000000
0.002908771364
Long
DBT
CORP
UA
N
2
2026-11-09
Fixed
6.87500000
N
N
N
N
N
N
FIDELITY NATL INFO SERV
6WQI0GK1PRFVBA061U48
Fidelity National Information Services Inc
31620MBM7
1750000.00000000
PA
1843263.77000000
0.054901012409
Long
DBT
CORP
US
N
2
2028-12-03
Fixed
1.00000000
N
N
N
N
N
N
Steele Creek CLO Ltd
N/A
Steele Creek Clo 2017-1 Ltd
85816VAA4
670000.00000000
PA
USD
668258.67000000
0.019903867331
Long
ABS-CBDO
CORP
KY
N
2
2030-10-15
Floating
1.49100000
N
N
N
N
N
N
Palmer Square CLO Ltd
5493006ZPBFJJGSXB826
Palmer Square CLO 2015-1 Ltd
69689ABJ8
4195000.00000000
PA
USD
4175879.19000000
0.124377204695
Long
ABS-CBDO
CORP
KY
N
2
2034-05-21
Floating
1.61000000
N
N
N
N
N
N
BNP Paribas SA
R0MUWSFPU8MPRO8K5P83
Long: BRY045601 TRS USD R V 12MSOFR BRY045627 IBOXXTRS / Short: BRY045601 TRS USD P E BRY045619 IBOXXTRS
000000000
2285000.00000000
OU
Notional Amount
USD
-49765.88000000
-0.00148226056
N/A
DCR
US
N
2
BNP Paribas SA
R0MUWSFPU8MPRO8K5P83
Markit iBoxx USD Liquid Investment Grade Index
IBOXIG INDEX
Y
equity-performance leg
2022-06-20
0.00000000
USD
0.00000000
USD
2285000.00000000
USD
-49765.88000000
N
N
N
BX Trust
N/A
BX Commercial Mortgage Trust 2018-IND
056059AS7
399000.00000000
PA
USD
395989.62000000
0.011794422152
Long
ABS-MBS
CORP
US
N
2
2035-11-15
Floating
2.44700000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31418CCL6
107673.23000000
PA
USD
104987.44000000
0.003127016784
Long
ABS-MBS
USGSE
US
N
2
2031-10-01
Fixed
2.00000000
N
N
N
N
N
N
SERVICE PROPERTIES TRUST
529900IS770AG1K9QG27
Service Properties Trust
81761LAB8
135000.00000000
PA
USD
130207.50000000
0.003878188075
Long
DBT
US
N
2
2027-12-15
Fixed
5.50000000
N
N
N
N
N
N
Morgan Stanley Capital I Trust
N/A
Morgan Stanley Capital I Trust 2019-L2
61768HAX4
2372151.68000000
PA
USD
134703.11000000
0.004012088358
Long
ABS-MBS
CORP
US
N
2
2052-03-15
Variable
1.02100000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140QANL0
7176582.68000000
PA
USD
7617645.12000000
0.226889084497
Long
ABS-MBS
USGSE
US
N
2
2049-02-01
Fixed
4.50000000
N
N
N
N
N
N
MGM GROWTH/MGM FINANCE
N/A
MGM Growth Properties Operating Partnership LP / MGP Finance Co-Issuer Inc
55303XAB1
278000.00000000
PA
USD
279390.00000000
0.008321540360
Long
DBT
US
N
2
2026-09-01
Fixed
4.50000000
N
N
N
N
N
N
MPT OPER PARTNERSP/FINL
N/A
MPT Operating Partnership LP / MPT Finance Corp
55342UAG9
45000.00000000
PA
USD
46055.25000000
0.001371740655
Long
DBT
US
N
2
2026-08-01
Fixed
5.25000000
N
N
N
N
N
N
United States Treasury
254900HROIFWPRGM1V77
United States Treasury Note/Bond
9128287C8
27956000.00000000
PA
USD
28041178.58000000
0.835197391847
Long
DBT
UST
US
N
2
2022-07-15
Fixed
1.75000000
N
N
N
N
N
N
BANCO VOTORANTIM
X2EUTZGMHS8RBQFIUS93
Banco Votorantim SA
05967CAD5
276000.00000000
PA
USD
278348.76000000
0.008290527365
Long
DBT
CORP
BR
N
2
2022-09-24
Fixed
4.00000000
N
N
N
N
N
N
BAE Systems Holdings Inc
MF62XBVMNYTYMC18DL76
BAE Systems Holdings Inc
05523UAP5
1474000.00000000
PA
USD
1478999.41000000
0.044051516816
Long
DBT
CORP
US
N
2
2025-12-15
Fixed
3.85000000
N
N
N
N
N
N
Washington Mutual Asset-Backed CTFS
N/A
Washington Mutural Asset-Backed Certificates WMABS Series 2006-HE4 Trust
93934QAC2
1827151.64000000
PA
USD
677724.53000000
0.020185804895
Long
ABS-O
CORP
US
N
2
2036-09-25
Floating
0.81700000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140E1RT2
36036.82000000
PA
USD
36389.91000000
0.001083861644
Long
ABS-MBS
USGSE
US
N
2
2030-08-01
Fixed
3.00000000
N
N
N
N
N
N
CAMERON LNG LLC
549300C39FLHGVD73K22
Cameron LNG LLC
133434AB6
1320000.00000000
PA
USD
1240568.62000000
0.036949933216
Long
DBT
CORP
US
N
2
2035-01-15
Fixed
3.30200000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140J7MK8
966341.76000000
PA
USD
942465.18000000
0.028071019126
Long
ABS-MBS
USGSE
US
N
2
2032-03-01
Fixed
2.00000000
N
N
N
N
N
N
Credit Suisse International
E58DKGMJYYYJLN8C3868
Long: BRSQPUGQ5 CDS USD R F .50000 / Short: BRSQPUGQ5 CDS USD P V 03MEVENT
000000000
5000000.00000000
OU
Notional Amount
USD
18392.00000000
0.000547799743
N/A
DCR
US
N
2
Credit Suisse International
E58DKGMJYYYJLN8C3868
CMBX.NA.AAA.7
137BENAG1
Y
sell protection
2047-01-17
0.00000000
USD
-156398.27000000
USD
5000000.00000000
USD
174790.27000000
N
N
N
Structured Asset Mortgage Investments Inc
N/A
Structured Asset Mortgage Investments II Trust 2006-AR2
86359LSM2
1144591.56000000
PA
USD
1008105.77000000
0.030026102769
Long
ABS-MBS
CORP
US
N
2
2036-02-25
Floating
0.91700000
N
N
N
N
N
N
Countrywide Alternative Loan Trust
N/A
Alternative Loan Trust 2005-22T1
12667GGN7
997451.64000000
PA
USD
858474.91000000
0.025569396227
Long
ABS-MBS
CORP
US
N
2
2035-06-25
Floating
0.80700000
N
N
N
N
N
N
Option One Mortgage Loan Trust
N/A
Option One Mortgage Loan Trust 2007-FXD2
68403BAA3
963226.37000000
PA
USD
891827.50000000
0.026562792282
Long
ABS-MBS
CORP
US
N
2
2037-03-25
Variable
5.82000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
3128MAFB0
2009123.51000000
PA
USD
2173843.93000000
0.064747235050
Long
ABS-MBS
USGSE
US
N
2
2041-11-01
Fixed
5.00000000
N
N
N
N
N
N
CIFC Funding Ltd
549300X1SKS4LNS5LQ62
CIFC Funding 2017-I Ltd
12551AAL9
1129790.89000000
PA
USD
1126505.46000000
0.033552599061
Long
ABS-CBDO
CORP
KY
N
2
2029-04-23
Floating
1.26500000
N
N
N
N
N
N
Royal Bank of Canada
ES7IP3U3RHIGC71XBU11
PURCHASED USD / SOLD EUR
000000000
1.00000000
NC
-6499.38000000
-0.00019358192
N/A
DFE
US
N
2
Royal Bank of Canada
ES7IP3U3RHIGC71XBU11
622000.00000000
EUR
681905.44000000
USD
2022-04-20
-6499.38000000
N
N
N
LAMAR MEDIA CORP
N/A
Lamar Media Corp
513075BR1
54000.00000000
PA
USD
51275.43000000
0.001527222020
Long
DBT
CORP
US
N
2
2028-02-15
Fixed
3.75000000
N
N
N
N
N
N
Citibank N.A.
E57ODZWZ7FF32TWEFA76
PURCHASED USD / SOLD COP
000000000
1.00000000
NC
-5224.11000000
-0.00015559841
N/A
DFE
US
N
2
Citibank N.A.
E57ODZWZ7FF32TWEFA76
1917891000.00000000
COP
502000.00000000
USD
2022-04-20
-5224.11000000
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Pool
3132DMRA5
19196.91000000
PA
USD
19581.22000000
0.000583220274
Long
ABS-MBS
USGSE
US
N
2
2044-09-01
Fixed
3.50000000
N
N
N
N
N
N
Goldman Sachs & Co. LLC
FOR8UP27PHTHYVLBNG30
Long: BRY0RD8B3 CDS USD R V 03MEVENT 1 SOVEREIGN / Short: BRY0RD8B3 CDS USD P F 1.00000 2 SOVEREIGN
000000000
950000.00000000
OU
Notional Amount
USD
98.36000000
0.000002929620
N/A
DCR
US
N
2
Goldman Sachs & Co. LLC
FOR8UP27PHTHYVLBNG30
United Mexican States
United Mexican States
Y
buy protection
2027-06-20
0.00000000
USD
-2046.58000000
USD
950000.00000000
USD
2144.94000000
N
N
N
MHC Commercial Mortgage Trust
N/A
MHC Commercial Mortgage Trust 2021-MHC
55316VAL8
1040000.00000000
PA
USD
1013887.58000000
0.030198312101
Long
ABS-MBS
CORP
US
N
2
2038-04-15
Floating
2.99800000
N
N
N
N
N
N
INTERCONTINENTALEXCHANGE
5493000F4ZO33MV32P92
Intercontinental Exchange Inc
45866FAN4
1362000.00000000
PA
USD
1176281.77000000
0.035035170279
Long
DBT
CORP
US
N
2
2032-09-15
Fixed
1.85000000
N
N
N
N
N
N
Merrill Lynch First Franklin Mortgage Loan Trust
N/A
Merrill Lynch First Franklin Mortgage Loan Trust Series 2007-2
59024QAD2
8259825.72000000
PA
USD
6851176.87000000
0.204060076739
Long
ABS-O
CORP
US
N
2
2037-05-25
Floating
0.69700000
N
N
N
N
N
N
Lehman Brothers Small Balance Commercial
N/A
Lehman Brothers Small Balance Commercial Mortgage Trust 2006-2
52520VAG8
374136.49000000
PA
USD
361586.68000000
0.010769741763
Long
ABS-MBS
CORP
US
N
2
2036-09-25
Floating
0.90700000
N
N
N
N
N
N
Barclays Bank PLC
G5GSEF7VJP5I7OUK5573
Long: BRW3NRWQ2 CDS USD R V 03MEVENT 1 CORPORATE / Short: BRW3NRWQ2 CDS USD P F 1.00000 2 CORPORATE
000000000
970000.00000000
OU
Notional Amount
USD
-3372.35000000
-0.00010044434
N/A
DCR
US
N
2
Barclays Bank PLC
G5GSEF7VJP5I7OUK5573
OCCIDENTAL PETROLEUM COR
OCCIDENTAL PETROLEUM COR
Y
buy protection
2024-12-20
277643.46000000
USD
0.00000000
USD
970000.00000000
USD
-281015.81000000
N
N
N
BANK OF AMERICA CORP
9DJT3UXIJIZJI4WXO774
Bank of America Corp
06051GKA6
2800000.00000000
PA
USD
2492042.36000000
0.074224671887
Long
DBT
CORP
US
N
2
2032-07-21
Fixed
2.29900000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138WQPF3
78200.16000000
PA
USD
79011.61000000
0.002353335128
Long
ABS-MBS
USGSE
US
N
2
2028-04-01
Fixed
3.00000000
N
N
N
N
N
N
FIDELITY INST GOVT LEX
N/A
FIDELITY INST GOVT LEX
000000000
1000000.00000000
NS
USD
1000000.00000000
0.029784675043
Long
STIV
RF
US
N
1
N
N
Extended Stay America Trust
N/A
Extended Stay America Trust 2021-ESH
30227FAL4
1341742.23000000
PA
USD
1318999.83000000
0.039285981319
Long
ABS-MBS
CORP
US
N
2
2038-07-15
Floating
3.24700000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140XFM40
3626105.47000000
PA
USD
3486161.01000000
0.103834172832
Long
ABS-MBS
USGSE
US
N
2
2052-01-01
Fixed
2.50000000
N
N
N
N
N
N
EXELON CORP
3SOUA6IRML7435B56G12
Exelon Corp
30161NBF7
107000.00000000
PA
USD
108676.80000000
0.003236903172
Long
DBT
CORP
US
N
2
2052-03-15
Fixed
4.10000000
N
N
N
N
N
N
CHARTER COMM OPT LLC/CAP
N/A
Charter Communications Operating LLC / Charter Communications Operating Capital
161175CD4
203000.00000000
PA
USD
182673.26000000
0.005440863688
Long
DBT
CORP
US
N
2
2029-01-15
Fixed
2.25000000
N
N
N
N
N
N
Deutsche Bank AG
7LTWFZYICNSX8D621K86
Long: BRTB7X0V7 CDS USD R V 01MEVENT 1 CMBX / Short: BRTB7X0V7 CDS USD P F .50000 2 CMBX
000000000
1280000.00000000
OU
Notional Amount
USD
-7513.11000000
-0.00022377553
N/A
DCR
US
N
2
Deutsche Bank AG
7LTWFZYICNSX8D621K86
CMBX.NA.AAA.9
137BENAI7
Y
buy protection
2058-09-17
15972.39000000
USD
0.00000000
USD
1280000.00000000
USD
-23485.50000000
N
N
N
GLENCORE FUNDING LLC
213800STG1QDNBY87K49
Glencore Funding LLC
378272BE7
1050000.00000000
PA
USD
958839.30000000
0.028558716969
Long
DBT
CORP
US
N
2
2031-04-27
Fixed
2.85000000
N
N
N
N
N
Freddie Mac - SCRT
N/A
Seasoned Credit Risk Transfer Trust Series 2017-3
35563PCJ6
1064201.07000000
PA
USD
98895.03000000
0.002945556331
Long
ABS-MBS
USGSE
US
N
2
2056-07-25
Variable
2.12700000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36178D7L9
149031.56000000
PA
USD
152390.23000000
0.004538893480
Long
ABS-MBS
USGA
US
N
2
2043-04-15
Fixed
3.50000000
N
N
N
N
N
N
GLOBAL PAYMENTS INC
549300NOMHGVQBX6S778
Global Payments Inc
37940XAB8
3085000.00000000
PA
USD
2930789.92000000
0.087292625388
Long
DBT
CORP
US
N
2
2029-08-15
Fixed
3.20000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140XBJE1
5889363.55000000
PA
USD
6011862.67000000
0.179061376033
Long
ABS-MBS
USGSE
US
N
2
2051-03-01
Fixed
4.00000000
N
N
N
N
N
N
Ajax Mortgage Loan Trust
N/A
Ajax Mortgage Loan Trust 2021-C
009733AA4
2579533.01000000
PA
USD
2463498.39000000
0.073374499016
Long
ABS-MBS
CORP
US
N
2
2061-01-25
Variable
2.11500000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31418QGR8
16932.81000000
PA
USD
17513.71000000
0.000521640161
Long
ABS-MBS
USGSE
US
N
2
2025-04-01
Fixed
4.50000000
N
N
N
N
N
N
Gulf Stream Meridian 1 Ltd.
N/A
Gulf Stream Meridian 4 Ltd
40256YAA0
250000.00000000
PA
USD
238068.50000000
0.007090792910
Long
ABS-CBDO
CORP
KY
N
2
2034-07-15
Floating
6.59100000
N
N
N
N
N
N
MERCK & CO INC
4YV9Y5M8S0BRK1RP0397
Merck & Co Inc
58933YBF1
221000.00000000
PA
USD
192499.85000000
0.005733545478
Long
DBT
CORP
US
N
2
2051-12-10
Fixed
2.75000000
N
N
N
N
N
N
ANHEUSER-BUSCH INBEV FIN
5493000EYEKDT0FBSQ91
Anheuser-Busch InBev Finance Inc
035242AB2
717000.00000000
PA
USD
705553.68000000
0.021014687084
Long
DBT
CORP
US
N
2
2043-01-17
Fixed
4.00000000
N
N
N
N
N
N
Latch Inc
N/A
Latch Inc
51818V114
43584.00000000
NS
USD
28765.44000000
0.000856769282
N/A
DE
US
N
1
N/A
N/A
Call
Purchased
Latch Inc
Latch Inc
11.50000000
11.50000000
USD
2026-06-04
XXXX
-68074.13000000
N
N
N
GE CAPITAL FUNDING LLC
549300XAGH9TOLX5XM67
GE Capital Funding LLC
36166NAK9
535000.00000000
PA
USD
574523.51000000
0.017111996050
Long
DBT
CORP
US
N
2
2032-05-15
Fixed
4.55000000
N
N
N
N
N
N
GENERAL MOTORS FINL CO
5493008B6JBRUJ90QL97
General Motors Financial Co Inc
37045XCX2
1117000.00000000
PA
USD
1084896.33000000
0.032313284645
Long
DBT
CORP
US
N
2
2025-06-20
Fixed
2.75000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36180KJT9
264858.70000000
PA
USD
272775.36000000
0.008124525457
Long
ABS-MBS
USGA
US
N
2
2043-04-15
Fixed
3.50000000
N
N
N
N
N
N
EXPEDIA GROUP INC
N/A
Expedia Group Inc
30212PBH7
403000.00000000
PA
USD
373115.77000000
0.011113131963
Long
DBT
CORP
US
N
2
2031-03-15
Fixed
2.95000000
N
N
N
N
N
N
Shearer's Foods, Inc.
549300AQWIJSYS2CIH04
Shearer's Foods, Inc. 2021 Term Loan
82087UAL1
164500.20000000
PA
USD
160130.75000000
0.004769442353
Long
LON
CORP
US
N
2
2027-09-23
Floating
4.25000000
N
N
N
N
N
N
ANGLOGOLD HOLDINGS PLC
213800745ZIXC4L6A131
AngloGold Ashanti Holdings PLC
03512TAE1
200000.00000000
PA
USD
187100.00000000
0.005572712700
Long
DBT
CORP
IM
N
2
2030-10-01
Fixed
3.75000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140EW4N2
37734.06000000
PA
USD
37408.36000000
0.001114195846
Long
ABS-MBS
USGSE
US
N
2
2031-11-01
Fixed
2.50000000
N
N
N
N
N
N
United States Treasury
254900HROIFWPRGM1V77
United States Treasury Note/Bond
91282CBS9
5324000.00000000
PA
USD
4965877.84000000
0.147907057771
Long
DBT
UST
US
N
2
2028-03-31
Fixed
1.25000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
31307NXU3
28237.60000000
PA
USD
27980.88000000
0.000833401418
Long
ABS-MBS
USGSE
US
N
2
2030-07-01
Fixed
2.50000000
N
N
N
N
N
N
MITSUBISHI UFJ FIN GRP
353800V2V8PUY9TK3E06
Mitsubishi UFJ Financial Group Inc
606822AT1
665000.00000000
PA
USD
671951.06000000
0.020013843967
Long
DBT
CORP
JP
N
2
2023-03-02
Fixed
3.45500000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Pool
3132DMSH9
1605976.66000000
PA
USD
1657626.41000000
0.049371863965
Long
ABS-MBS
USGSE
US
N
2
2050-06-01
Fixed
4.00000000
N
N
N
N
N
N
Bear Stearns Asset Backed Securities Trust
N/A
Bear Stearns Asset Backed Securities I Trust 2007-HE3
073852AD7
2509590.99000000
PA
USD
2486758.73000000
0.074067300685
Long
ABS-MBS
CORP
US
N
2
2037-04-25
Floating
0.80700000
N
N
N
N
N
N
Columbus McKinnon Corporation
549300W3HQB0HO1F3G69
Columbus McKinnon Corporation 2021 Term Loan B
19933MAP8
89643.32000000
PA
USD
88522.78000000
0.002636622236
Long
LON
CORP
US
N
2
2028-05-14
Floating
3.81300000
N
N
N
N
N
N
SMB Private Education Loan Trust
N/A
SMB Private Education Loan Trust 2021-A
78448YAE1
2040000.00000000
PA
USD
1902155.77000000
0.056655091491
Long
ABS-O
CORP
US
N
2
2053-01-15
Fixed
2.99000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36177MZY1
99224.62000000
PA
USD
100528.42000000
0.002994206322
Long
ABS-MBS
USGA
US
N
2
2042-04-15
Fixed
3.50000000
N
N
N
N
N
N
HMH Trust
N/A
HMH Trust 2017-NSS
40390AAA9
1210000.00000000
PA
USD
1182025.16000000
0.035206235284
Long
ABS-MBS
CORP
US
N
2
2031-07-05
Fixed
3.06200000
N
N
N
N
N
N
ENERGY TRANSFER LP
MTLVN9N7JE8MIBIJ1H73
Energy Transfer LP
29273RAS8
1617000.00000000
PA
USD
1626317.46000000
0.048439337063
Long
DBT
CORP
US
N
2
2023-02-01
Fixed
3.60000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31418CV35
61058.07000000
PA
USD
62427.44000000
0.001859381014
Long
ABS-MBS
USGSE
US
N
2
2048-04-01
Fixed
4.00000000
N
N
N
N
N
N
HUNTINGTON INGALLS INDUS
5TZLZ6WJTBVJ0QWBG121
Huntington Ingalls Industries Inc
446413AS5
995000.00000000
PA
USD
1005628.59000000
0.029952320767
Long
DBT
CORP
US
N
2
2025-05-01
Fixed
3.84400000
N
N
N
N
N
N
BANK OF AMERICA CORP
9DJT3UXIJIZJI4WXO774
Bank of America Corp
06051GJQ3
4792000.00000000
PA
USD
4466969.18000000
0.133047225456
Long
DBT
CORP
US
N
2
2027-03-11
Fixed
1.65800000
N
N
N
N
N
N
Progress Residential Trust
N/A
Progress Residential 2021-SFR1
74331FAL5
500000.00000000
PA
USD
430585.45000000
0.012824847706
Long
ABS-O
CORP
US
N
2
2038-04-17
Fixed
2.75700000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31410KFF6
254181.78000000
PA
USD
283933.89000000
0.008456878647
Long
ABS-MBS
USGSE
US
N
2
2038-05-01
Fixed
6.00000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36179TUA1
41671.73000000
PA
USD
42271.05000000
0.001259029488
Long
ABS-MBS
USGA
US
N
2
2048-03-20
Fixed
3.50000000
N
N
N
N
N
N
First Franklin Mtg Loan Asset Backed Certificates
N/A
First Franklin Mortgage Loan Trust 2006-FF16
320275AE0
7510003.06000000
PA
USD
3997005.37000000
0.119049506093
Long
ABS-O
CORP
US
N
2
2036-12-25
Floating
0.87700000
N
N
N
N
N
N
American Home Mortgage Assets
N/A
American Home Mortgage Assets Trust 2006-5
02660KAA0
245483.28000000
PA
USD
86976.94000000
0.002590579894
Long
ABS-MBS
CORP
US
N
2
2046-11-25
Floating
1.06100000
N
N
N
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
Long: SRWGSSMA2 IRS USD R F 2.33650 2 CCPINFLATIONZERO / Short: SRWGSSMA2 IRS USD P V 12MUSCPI 1 CCPINFLATIONZERO
000000000
797000.00000000
OU
Notional Amount
USD
-105154.08000000
-0.00313198010
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
Inflation based on US CPI Urban Consumers NSA
2031-02-02
14.66000000
USD
0.00000000
USD
797000.00000000
USD
-105168.74000000
N
N
N
Sound Point CLO LTD
N/A
Sound Point CLO XXIII
83614BAQ2
4840000.00000000
PA
USD
4776523.40000000
0.142267197307
Long
ABS-CBDO
CORP
KY
N
2
2034-07-15
Floating
1.41100000
N
N
N
N
N
N
Penta CLO S.A.
549300PEHRLZ3HBP3Z85
Penta CLO 8 DAC
000000000
250000.00000000
PA
260712.65000000
0.007765241560
Long
ABS-CBDO
CORP
IE
N
2
2034-01-15
Floating
5.93000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
3132GSSE0
245726.76000000
PA
USD
250819.21000000
0.007470568664
Long
ABS-MBS
USGSE
US
N
2
2042-04-01
Fixed
3.50000000
N
N
N
N
N
N
Morgan Stanley & Co. International PLC
4PQUHN3JPFGFNF3BB653
BRWYQ3M28 BLACKROCK CALL USD COP 4100.0000000 2022
000000000
174000.00000000
OU
Notional Amount
USD
16497.46000000
0.000491371485
N/A
DFE
US
N
2
Morgan Stanley & Co. International PLC
4PQUHN3JPFGFNF3BB653
Call
Purchased
Morgan Stanley & Co. International PLC
4PQUHN3JPFGFNF3BB653
Morgan Stanley & Co. International PLC
4PQUHN3JPFGFNF3BB653
FX Contract
N/A
1.00000000
NC
USD
16497.46000000
0.00000000
DFE
US
713400000.00000000
COP
174000.00000000
USD
2022-05-19
1.00000000
4100.00000000
USD
2022-05-19
XXXX
-5339.54000000
N
N
N
Madison Park Funding Ltd
N/A
Madison Park Funding XXIII Ltd
55820TAN8
250000.00000000
PA
USD
248253.00000000
0.007394134933
Long
ABS-CBDO
CORP
KY
N
2
2031-07-27
Floating
2.26800000
N
N
N
N
N
N
Washington Mutual Bank
N/A
WASHINGTON MUTUAL INC COMMON
939ESCAY5
1247000.00000000
PA
USD
0.12000000
0.000000003574
Long
DBT
CORP
US
N
3
2017-09-21
None
0.00000000
Y
N
N
N
N
N
GOLDMAN SACHS GROUP INC
784F5XWPLTWKTBV3E584
Goldman Sachs Group Inc/The
38141GWQ3
502000.00000000
PA
USD
502950.24000000
0.014980209461
Long
DBT
CORP
US
N
2
2025-09-29
Fixed
3.27200000
N
N
N
N
N
N
Galaxy CLO Ltd
5493006XOQ2X0XSJ4F36
Galaxy XVIII CLO Ltd
36321JAC8
250000.00000000
PA
USD
249207.75000000
0.007422571852
Long
ABS-CBDO
CORP
KY
N
2
2031-07-15
Floating
1.34100000
N
N
N
N
N
N
Gulf Stream Meridian 5 Ltd
N/A
Gulf Stream Meridian 5 Ltd
40256LAC4
250000.00000000
PA
USD
247588.25000000
0.007374335570
Long
ABS-CBDO
CORP
KY
N
2
2034-07-15
Floating
2.04100000
N
N
N
N
N
N
US HOLDCO VAD INC
N/A
US HOLDCO VAD INC
000000000
1201000.00000000
PA
USD
1173977.50000000
0.034966538346
Long
LON
CORP
US
N
2
2029-02-02
None
0.00000000
N
N
N
N
N
N
Goldman Sachs & Co. LLC
FOR8UP27PHTHYVLBNG30
Long: BRY0D8D98 TRS USD R V 12MSOFR BRY0D8DB3 IBOXXTRS / Short: BRY0D8D98 TRS USD P E BRY0D8DA5 IBOXXTRS
000000000
1459046.00000000
OU
Notional Amount
USD
-13012.14000000
-0.00038756236
N/A
DCR
US
N
2
Goldman Sachs & Co. LLC
FOR8UP27PHTHYVLBNG30
Markit iBoxx USD Liquid Investment Grade Index
IBOXIG INDEX
Y
equity-performance leg
2022-06-20
0.00000000
USD
0.00000000
USD
1459046.00000000
USD
-13012.14000000
N
N
N
Bank of America N.A.
B4TYDEB6GKMZO031MB27
Long: BRWMNMHS4 IRS CLP R F 1.65000 2 NDFCAMARAPROMEDIO / Short: BRWMNMHS4 IRS CLP P V 06MCLICP 1 NDFCAMARAPROMEDIO
000000000
3163924000.00000000
OU
Notional Amount
-256877.01000000
-0.00765099826
N/A
DIR
US
N
2
Bank of America N.A.
B4TYDEB6GKMZO031MB27
N/A
N/A
Y
2023-05-28
0.00000000
CLP
0.00000000
CLP
3163924000.00000000
CLP
-256877.01000000
N
N
N
Wells Fargo Commercial Mortgage Trust
N/A
Wells Fargo Commercial Mortgage Trust 2018-1745
94990DAA4
270000.00000000
PA
USD
269451.44000000
0.008025523580
Long
ABS-MBS
CORP
US
N
2
2036-06-15
Variable
3.74900000
N
N
N
N
N
N
JPMorgan Chase Bank N.A.
7H6GLXDRUGQFU57RNE97
Long: BRW3DYMT3 CDS USD R V 03MEVENT 1 CORPORATE / Short: BRW3DYMT3 CDS USD P F 5.00000 2 CORPORATE
000000000
480000.00000000
OU
Notional Amount
USD
-45152.05000000
-0.00134483913
N/A
DCR
US
N
2
JPMorgan Chase Bank N.A.
7H6GLXDRUGQFU57RNE97
AVIS BUDGET CAR/FINANCE
AVIS BUDGET CAR/FINANCE
Y
buy protection
2025-06-20
38480.55000000
USD
0.00000000
USD
480000.00000000
USD
-83632.60000000
N
N
N
Citibank N.A.
E57ODZWZ7FF32TWEFA76
PURCHASED USD / SOLD MXN
000000000
1.00000000
NC
-4392.09000000
-0.00013081697
N/A
DFE
US
N
2
Citibank N.A.
E57ODZWZ7FF32TWEFA76
2218293.73000000
MXN
107136.00000000
USD
2022-04-01
-4392.09000000
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31402C4G4
883842.58000000
PA
USD
958108.26000000
0.028536943180
Long
ABS-MBS
USGSE
US
N
2
2034-05-01
Fixed
5.50000000
N
N
N
N
N
N
United States Treasury
254900HROIFWPRGM1V77
United States Treasury Note/Bond
912828ZD5
27956000.00000000
PA
USD
27650231.25000000
0.823553152663
Long
DBT
UST
US
N
2
2023-03-15
Fixed
0.50000000
N
N
N
N
N
N
UnitedHealth Group Inc
549300GHBMY8T5GXDE41
UnitedHealth Group Inc
91324PCR1
424000.00000000
PA
USD
491987.36000000
0.014653683643
Long
DBT
CORP
US
N
2
2045-07-15
Fixed
4.75000000
N
N
N
N
N
N
Madison Park Funding Ltd
N/A
Madison Park Funding XXXVIII Ltd
55821KAC0
860000.00000000
PA
USD
853704.80000000
0.025427320051
Long
ABS-CBDO
CORP
KY
N
2
2034-07-17
Floating
1.36100000
N
N
N
N
N
N
Marble Point CLO XI Ltd
549300DBVCVH5X7MO467
Marble Point CLO XI Ltd
56607FAA3
580000.00000000
PA
USD
575800.80000000
0.017150039717
Long
ABS-CBDO
CORP
KY
N
2
2030-12-18
Floating
1.42100000
N
N
N
N
N
N
United States Treasury
254900HROIFWPRGM1V77
United States Treasury Note/Bond
912828YM6
41246000.00000000
PA
USD
40240628.75000000
1.198554050872
Long
DBT
UST
US
N
2
2024-10-31
Fixed
1.50000000
N
N
N
N
N
N
BankAmerica Manufactured Housing Contract Trust
N/A
BankAmerica Manufactured Housing Contract Trust
06606TAK7
4000000.00000000
PA
USD
1283218.00000000
0.038220231140
Long
ABS-O
CORP
US
N
2
2025-12-10
Variable
7.39700000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140HHWE1
620143.14000000
PA
USD
643364.29000000
0.019162396312
Long
ABS-MBS
USGSE
US
N
2
2048-08-01
Fixed
4.00000000
N
N
N
N
N
N
Extended Stay America Trust
N/A
Extended Stay America Trust 2021-ESH
30227FAN0
1401375.22000000
PA
USD
1369622.58000000
0.040793763477
Long
ABS-MBS
CORP
US
N
2
2038-07-15
Floating
4.09700000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140FCTF5
415266.48000000
PA
USD
411839.85000000
0.012266516102
Long
ABS-MBS
USGSE
US
N
2
2047-02-01
Fixed
3.00000000
N
N
N
N
N
N
Bank of America N.A.
B4TYDEB6GKMZO031MB27
Long: BRWKCZ9Q4 IRS CLP R V 00MCLICP 1 NDFCAMARAPROMEDIO / Short: BRWKCZ9Q4 IRS CLP P F 1.42000 2 NDFCAMARAPROMEDIO
000000000
3163924000.00000000
OU
Notional Amount
246348.16000000
0.007337399893
N/A
DIR
US
N
2
Bank of America N.A.
B4TYDEB6GKMZO031MB27
N/A
N/A
Y
2023-04-01
0.00000000
CLP
0.00000000
CLP
3163924000.00000000
CLP
246348.16000000
N
N
N
ANTHEM INC
8MYN82XMYQH89CTMTH67
Anthem Inc
036752AS2
778000.00000000
PA
USD
743789.06000000
0.022153515453
Long
DBT
CORP
US
N
2
2051-03-15
Fixed
3.60000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138EPQP2
236712.37000000
PA
USD
239174.94000000
0.007123747866
Long
ABS-MBS
USGSE
US
N
2
2030-05-01
Fixed
3.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138WFZG4
315199.74000000
PA
USD
312243.25000000
0.009300063735
Long
ABS-MBS
USGSE
US
N
2
2030-11-01
Fixed
2.50000000
N
N
N
N
N
N
ELECTRONIC ARTS INC
549300O7A67PUEYKDL45
Electronic Arts Inc
285512AE9
1029000.00000000
PA
USD
903734.65000000
0.026917442875
Long
DBT
CORP
US
N
2
2031-02-15
Fixed
1.85000000
N
N
N
N
N
N
JPMorgan Chase & Co
8I5DZWZKVSZI1NUHU748
JPMorgan Chase & Co
46647PBA3
3085000.00000000
PA
USD
3148901.27000000
0.093789001071
Long
DBT
CORP
US
N
2
2027-01-29
Fixed
3.96000000
N
N
N
N
N
N
FREED CORP
N/A
FREED CORP
000000000
1192000.00000000
PA
USD
1160769.60000000
0.034573145336
Long
DBT
CORP
US
Y
3
2023-12-02
Fixed
10.00000000
N
N
N
N
N
N
United States Treasury
254900HROIFWPRGM1V77
United States Treasury Note/Bond
912828XB1
8178000.00000000
PA
USD
8078330.63000000
0.240610452709
Long
DBT
UST
US
N
2
2025-05-15
Fixed
2.12500000
N
N
N
N
N
N
FORESTAR GROUP INC
549300BC2UB0GHV60V70
Forestar Group Inc
346232AF8
242000.00000000
PA
USD
225665.00000000
0.006721358693
Long
DBT
CORP
US
N
2
2026-05-15
Fixed
3.85000000
N
N
N
N
N
N
AON CORP
LTS3U8DGK38SETRUWX71
Aon Corp
037389BE2
1253000.00000000
PA
USD
1193552.32000000
0.035549567998
Long
DBT
CORP
US
N
2
2030-05-15
Fixed
2.80000000
N
N
N
N
N
N
KNDL Mortgage Trust
N/A
KNDL 2019-KNSQ Mortgage Trust
482598AN9
2728000.00000000
PA
USD
2688540.84000000
0.080077315261
Long
ABS-MBS
CORP
US
N
2
2036-05-15
Floating
2.19700000
N
N
N
N
N
N
Babson CLO Ltd
N/A
Babson CLO Ltd 2015-I
056162AQ3
250000.00000000
PA
USD
246980.25000000
0.007356226488
Long
ABS-CBDO
CORP
KY
N
2
2031-01-20
Floating
1.65400000
N
N
N
N
N
N
HUNGARY
5299003F3UFKGCCMAP43
Hungary Government International Bond
445545AL0
2054000.00000000
PA
USD
2150998.10000000
0.064066779428
Long
DBT
NUSS
HU
N
2
2024-03-25
Fixed
5.37500000
N
N
N
N
N
N
Deutsche Bank AG
7LTWFZYICNSX8D621K86
Long: BRT7GBJL6 CDS USD R V 01MEVENT 1 CMBX / Short: BRT7GBJL6 CDS USD P F .50000 2 CMBX
000000000
1001000.00000000
OU
Notional Amount
USD
-796.21000000
-0.00002371485
N/A
DCR
US
N
2
Deutsche Bank AG
7LTWFZYICNSX8D621K86
CMBX.NA.AAA.6
137BENAF3
Y
buy protection
2063-05-11
145.17000000
USD
0.00000000
USD
1001000.00000000
USD
-941.38000000
N
N
N
Morgan Stanley Capital Services LLC
4PQUHN3JPFGFNF3BB653
Long: BRW15FXA6 CDS USD R F 3.00000 2 CMBX / Short: BRW15FXA6 CDS USD P V 01MEVENT 1 CMBX
000000000
240000.00000000
OU
Notional Amount
USD
-24502.04000000
-0.00072978529
N/A
DCR
US
N
2
Morgan Stanley Capital Services LLC
4PQUHN3JPFGFNF3BB653
CMBX.NA.BBB-.9
137BERAI8
Y
sell protection
2058-09-17
0.00000000
USD
-306.62000000
USD
240000.00000000
USD
-24195.42000000
N
N
N
Flatiron CLO Ltd
5493008L4GGS612L9S27
Flatiron CLO 18 Ltd
33883GAA5
270000.00000000
PA
USD
267700.14000000
0.007973361679
Long
ABS-CBDO
CORP
KY
N
2
2031-04-17
Floating
1.19100000
N
N
N
N
N
N
ELECTRONIC ARTS INC
549300O7A67PUEYKDL45
Electronic Arts Inc
285512AF6
373000.00000000
PA
USD
310952.62000000
0.009261622740
Long
DBT
CORP
US
N
2
2051-02-15
Fixed
2.95000000
N
N
N
N
N
N
SOUTHERN CAL EDISON
9R1Z5I36FERIBVKW4P77
Southern California Edison Co
842400GN7
1227000.00000000
PA
USD
1247382.58000000
0.037152884800
Long
DBT
CORP
US
N
2
2025-08-01
Fixed
3.70000000
N
N
N
N
N
N
PACIFIC GAS & ELECTRIC
1HNPXZSMMB7HMBMVBS46
Pacific Gas and Electric Co
694308JG3
125000.00000000
PA
USD
107817.21000000
0.003211300563
Long
DBT
CORP
US
N
2
2031-02-01
Fixed
2.50000000
N
N
N
N
N
N
DIAMONDBACK ENERGY INC
549300R22LSX6OHWEN64
Diamondback Energy Inc
25278XAQ2
1637000.00000000
PA
USD
1660650.70000000
0.049461941460
Long
DBT
CORP
US
N
2
2051-03-24
Fixed
4.40000000
N
N
N
N
N
N
GS Mortgage Securities Trust
N/A
GS Mortgage Securities Trust 2017-GS7
36254CAA8
180000.00000000
PA
USD
158940.13000000
0.004733980123
Long
ABS-MBS
CORP
US
N
2
2050-08-10
Fixed
3.00000000
N
N
N
N
N
N
VERIZON COMMUNICATIONS
2S72QS2UO2OESLG6Y829
Verizon Communications Inc
92343VES9
1715000.00000000
PA
USD
1784183.13000000
0.053141314745
Long
DBT
CORP
US
N
2
2029-02-08
Fixed
3.87500000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
3132VMSZ9
1299134.62000000
PA
USD
1370964.14000000
0.040833721406
Long
ABS-MBS
USGSE
US
N
2
2049-02-01
Fixed
4.50000000
N
N
N
N
N
N
State of Illinois
54930048FV8RWPR02D67
ILLINOIS ST
452151LF8
3010000.00000000
PA
USD
3200856.27000000
0.095336463863
Long
DBT
MUN
US
N
2
2033-06-01
Fixed
5.10000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140XDY42
920791.23000000
PA
USD
857439.95000000
0.025538570280
Long
ABS-MBS
USGSE
US
N
2
2051-12-01
Fixed
2.00000000
N
N
N
N
N
N
Ajax Mortgage Loan Trust
N/A
Ajax Mortgage Loan Trust 2017-D
00968BAB1
40563.18000000
PA
USD
35460.33000000
0.001056174405
Long
ABS-O
CORP
US
N
2
2057-12-25
Variable
0.00000000
N
N
N
N
N
N
United States Treasury
254900HROIFWPRGM1V77
United States Treasury Note/Bond
91282CBL4
1989000.00000000
PA
USD
1795927.15000000
0.053491106564
Long
DBT
UST
US
N
2
2031-02-15
Fixed
1.12500000
N
N
N
N
N
N
Buttermilk Park CLO Ltd
N/A
Buttermilk Park CLO Ltd
124166AA7
250000.00000000
PA
USD
249220.50000000
0.007422951606
Long
ABS-CBDO
CORP
KY
N
2
2031-10-15
Floating
1.34100000
N
N
N
N
N
N
CRED SUIS GP FUN LTD
549300PXR5FKNXF0OH19
Credit Suisse Group Funding Guernsey Ltd
225433AH4
1397000.00000000
PA
USD
1411391.59000000
0.042037839867
Long
DBT
CORP
GG
N
2
2022-09-15
Fixed
3.80000000
N
N
N
N
N
N
ABBVIE INC
FR5LCKFTG8054YNNRU85
AbbVie Inc
00287YCY3
883000.00000000
PA
USD
947905.63000000
0.028233061161
Long
DBT
CORP
US
N
2
2035-03-15
Fixed
4.55000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36202FP67
13444.49000000
PA
USD
14125.66000000
0.000420728192
Long
ABS-MBS
USGA
US
N
2
2041-02-20
Fixed
4.00000000
N
N
N
N
N
N
UNITED MEXICAN STATES
254900EGTWEU67VP6075
Mexico Government International Bond
91087BAG5
4504000.00000000
PA
USD
4234345.52000000
0.126118605335
Long
DBT
NUSS
MX
N
2
2050-01-31
Fixed
4.50000000
N
N
N
N
N
BANCO SANTANDER SA
5493006QMFDDMYWIAM13
Banco Santander SA
05971KAD1
2000000.00000000
PA
USD
1978781.24000000
0.058937356215
Long
DBT
CORP
ES
N
2
2024-06-27
Fixed
2.70600000
N
N
N
N
N
GLOBAL PAYMENTS INC
549300NOMHGVQBX6S778
Global Payments Inc
37940XAE2
3897000.00000000
PA
USD
3590192.81000000
0.106932726190
Long
DBT
CORP
US
N
2
2026-03-01
Fixed
1.20000000
N
N
N
N
N
N
United States Treasury
254900HROIFWPRGM1V77
United States Treasury Note/Bond
912828J27
9276000.00000000
PA
USD
9145556.25000000
0.272397420999
Long
DBT
UST
US
N
2
2025-02-15
Fixed
2.00000000
N
N
N
N
N
N
Anchorage Capital CLO LTD
54930014PVHLSZJQK139
Anchorage Capital CLO 7 Ltd
03328TBC8
1480000.00000000
PA
USD
1467520.64000000
0.043709625382
Long
ABS-CBDO
CORP
KY
N
2
2031-01-28
Floating
2.02800000
N
N
N
N
N
N
GS Mortgage-Backed Securities Trust
N/A
GS Mortgage-Backed Securities Corp Trust 2019-PJ2
36257LAT4
255896.04000000
PA
USD
256281.52000000
0.007633261792
Long
ABS-MBS
CORP
US
N
2
2049-11-25
Variable
4.37300000
N
N
N
N
N
N
OCP Euro CLO
635400NSID6FARUW3W95
OCP Euro CLO 2020-4 DAC
000000000
250000.00000000
PA
261317.21000000
0.007783248183
Long
ABS-CBDO
CORP
IE
Y
2
2034-09-22
Floating
5.94000000
N
N
N
N
N
N
MORGAN STANLEY
IGJSJL3JD5P30I6NJZ34
Morgan Stanley
61747YEL5
1355000.00000000
PA
USD
1270635.11000000
0.037845453850
Long
DBT
CORP
US
N
2
2033-01-21
Fixed
2.94300000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138EQU26
21026.85000000
PA
USD
20812.63000000
0.000619897421
Long
ABS-MBS
USGSE
US
N
2
2030-11-01
Fixed
2.50000000
N
N
N
N
N
N
KAR Auction Services, Inc.
5493004HKD20LBSG7D03
KAR Auction Services, Inc. 2019 Term Loan B6
48562RAL3
231192.81000000
PA
USD
229314.37000000
0.006830053993
Long
LON
CORP
US
N
2
2026-09-19
Floating
2.75000000
N
N
N
N
N
N
SERVICE PROPERTIES TRUST
529900IS770AG1K9QG27
Service Properties Trust
44106MAZ5
233000.00000000
PA
USD
224262.50000000
0.006679585686
Long
DBT
US
N
2
2024-10-01
Fixed
4.35000000
N
N
N
N
N
N
Security National Mortgage Loan Trust
N/A
Security National Mortgage Loan Trust 2007-1
81441XAD6
12027.80000000
PA
USD
12021.18000000
0.000358046939
Long
ABS-MBS
CORP
US
N
2
2037-04-25
Floating
0.80700000
N
N
N
N
N
N
United States Treasury
254900HROIFWPRGM1V77
United States Treasury Note/Bond
912828Z94
5471000.00000000
PA
USD
5129062.50000000
0.152767459841
Long
DBT
UST
US
N
2
2030-02-15
Fixed
1.50000000
N
N
N
N
N
N
DUKE ENERGY CAROLINAS
MWIUSDMN17TCR56VW396
Duke Energy Carolinas LLC
26442CAU8
9000.00000000
PA
USD
9233.49000000
0.000275016499
Long
DBT
CORP
US
N
2
2048-03-15
Fixed
3.95000000
N
N
N
N
N
N
TEGNA INC
549300YC5EDBGX85AO10
TEGNA Inc
87901JAH8
99000.00000000
PA
USD
99242.15000000
0.002955895188
Long
DBT
CORP
US
N
2
2029-09-15
Fixed
5.00000000
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
3132QUXG3
4002164.38000000
PA
USD
4165791.15000000
0.124076735702
Long
ABS-MBS
USGSE
US
N
2
2045-12-01
Fixed
4.00000000
N
N
N
N
N
N
OCP CLO Ltd
254900MN6N176YEZLX15
OCP CLO 2020-18 Ltd
671078AN3
500000.00000000
PA
USD
495511.50000000
0.014758649007
Long
ABS-CBDO
CORP
KY
N
2
2032-07-20
Floating
1.34400000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38379KCT3
1308108.14000000
PA
USD
28150.09000000
0.000838441283
Long
ABS-MBS
USGA
US
N
2
2055-03-16
Variable
0.54000000
N
N
N
N
N
N
Credit Suisse Mortgage Trust
N/A
Credit Suisse Mortgage Capital Certificates
12658XAC1
2044332.58000000
PA
USD
1943566.81000000
0.057888505861
Long
ABS-MBS
CORP
US
N
2
2061-02-25
Variable
2.43600000
N
N
N
N
N
N
UMBS, TBA
N/A
Uniform Mortgage-Backed Security, TBA
01F022642
30676335.00000000
PA
USD
29267140.86000000
0.871712279972
Long
ABS-MBS
USGSE
US
N
2
2052-04-15
Fixed
2.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138WFCS3
665925.41000000
PA
USD
702913.06000000
0.020936037076
Long
ABS-MBS
USGSE
US
N
2
2045-07-01
Fixed
4.50000000
N
N
N
N
N
N
Bank of America N.A.
B4TYDEB6GKMZO031MB27
BRY0HF8F0 BLACKROCK FXVAN CALL USD ZAR 15.0000000
000000000
1338000.00000000
OU
Notional Amount
USD
21325.04000000
0.000635159386
N/A
DFE
LU
N
2
Bank of America N.A.
B4TYDEB6GKMZO031MB27
Call
Purchased
Bank of America N.A.
B4TYDEB6GKMZO031MB27
Bank of America N.A.
B4TYDEB6GKMZO031MB27
FX Contract
N/A
1.00000000
NC
USD
21325.04000000
0.00000000
DFE
CL
20070000.00000000
USD
1338000.00000000
CLP
2022-05-27
1.00000000
15.00000000
USD
2022-05-27
XXXX
-2464.60000000
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138WFQ25
390247.71000000
PA
USD
386646.20000000
0.011516131423
Long
ABS-MBS
USGSE
US
N
2
2030-09-01
Fixed
2.50000000
N
N
N
N
N
N
Whitebox CLO III Ltd
549300JXCQSPB1A61C68
Whitebox CLO III Ltd
96467JAA0
250000.00000000
PA
USD
240476.75000000
0.007162521854
Long
ABS-CBDO
CORP
KY
N
2
2034-10-15
Floating
6.97100000
N
N
N
N
N
N
WASTE MANAGEMENT INC
549300YX8JIID70NFS41
Waste Management Inc
94106LBQ1
415000.00000000
PA
USD
385981.05000000
0.011496320147
Long
DBT
CORP
US
N
2
2029-06-01
Fixed
2.00000000
N
N
N
N
N
ALABAMA POWER CO
0RL818ELFOHP5JHOFU19
Alabama Power Co
010392FT0
637000.00000000
PA
USD
590945.16000000
0.017601109559
Long
DBT
CORP
US
N
2
2049-10-01
Fixed
3.45000000
N
N
N
N
N
N
JP Morgan Chase Commercial Mortgage Sec Trust
N/A
JP Morgan Chase Commercial Mortgage Securities Trust 2016-JP3
46590RAM1
5300000.00000000
PA
USD
148060.27000000
0.004409927028
Long
ABS-MBS
CORP
US
N
2
2049-08-15
Variable
0.75000000
N
N
N
N
N
N
Republic Services Inc
NKNQHM6BLECKVOQP7O46
Republic Services Inc
760759AT7
584000.00000000
PA
USD
600310.38000000
0.017880049593
Long
DBT
CORP
US
N
2
2028-05-15
Fixed
3.95000000
N
N
N
N
N
N
Voya CLO Ltd
549300KSCKXTOBY0IP86
Voya CLO 2019-1 Ltd
92917NAJ7
1989000.00000000
PA
USD
1984490.94000000
0.059107417775
Long
ABS-CBDO
CORP
KY
N
2
2031-04-15
Floating
1.30100000
N
N
N
N
N
N
Altus Power Inc
5493005V83PBRWNLK259
Altus Power Inc
02217A110
9486.00000000
NS
USD
15367.32000000
0.000457710632
N/A
DE
US
N
1
N/A
N/A
Call
Purchased
Altus Power Inc
Altus Power Inc
1.00000000
11.00000000
USD
2027-12-31
XXXX
-11397.88000000
N
N
N
COVANTA HOLDING CORP
40XIFLS8XDQGGHGPGC04
Covanta Holding Corp
22303XAA3
265000.00000000
PA
USD
252995.50000000
0.007535388755
Long
DBT
CORP
US
N
2
2029-12-01
Fixed
4.87500000
N
N
N
N
N
N
Goldman Sachs International
W22LROWP2IHZNBB6K528
PURCHASED COP / SOLD USD
000000000
1.00000000
NC
-4111.02000000
-0.00012244539
N/A
DFE
CO
N
2
Goldman Sachs International
W22LROWP2IHZNBB6K528
499000.00000000
USD
1871250000.00000000
COP
2022-04-20
-4111.02000000
N
N
N
Ambac Assurance Corp
549300RYYRVPPB8NC636
Ambac Assurance Corp
023138AA8
162921.84000000
PA
USD
184101.68000000
0.005483408713
Long
DBT
CORP
US
N
2
2099-12-31
Fixed
5.10000000
N
N
N
N
N
N
Eaton Vance CDO Ltd
549300R0C8KS2AMEHL81
Eaton Vance CLO 2018-1 Ltd
27831BAG8
710000.00000000
PA
USD
704479.04000000
0.020982679281
Long
ABS-CBDO
CORP
KY
N
2
2030-10-15
Floating
2.44100000
N
N
N
N
N
N
Golub Capital Partners CLO, LTD
N/A
Golub Capital Partners CLO 58B Ltd
38178TAA0
270000.00000000
PA
USD
265782.06000000
0.007916232289
Long
ABS-CBDO
CORP
KY
N
2
2035-01-25
Floating
1.42400000
N
N
N
N
N
N
CAESARS ENTERTAIN INC
549300FA4CTCW903Y781
Caesars Entertainment Inc
28470RAH5
2452000.00000000
PA
USD
2531542.88000000
0.075401182039
Long
DBT
CORP
US
N
2
2025-07-01
Fixed
6.25000000
N
N
N
N
N
N
Ajax Mortgage Loan Trust
N/A
Ajax Mortgage Loan Trust 2019-H
00969XAA4
1377159.77000000
PA
USD
1372301.56000000
0.040873556026
Long
ABS-O
CORP
US
N
2
2059-11-25
Variable
3.00000000
N
N
N
N
N
N
Cano Health Inc
N/A
Cano Health Inc
13781Y111
36440.00000000
NS
USD
57575.20000000
0.001714858622
N/A
DE
US
Y
1
N/A
N/A
Call
Purchased
Cano Health Inc
Cano Health Inc
11.50000000
11.50000000
USD
2026-06-03
XXXX
-119455.17000000
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36178N7H6
110966.47000000
PA
USD
112449.63000000
0.003349275688
Long
ABS-MBS
USGA
US
N
2
2042-08-15
Fixed
3.50000000
N
N
N
N
N
N
PFP III
N/A
PFP 2019-5 Ltd
69346TAC8
188856.17000000
PA
USD
186093.96000000
0.005542748126
Long
ABS-CBDO
CORP
KY
N
2
2036-04-14
Floating
1.85100000
N
N
N
N
N
N
ASG FINANCE DESIGNATED
5493005UOB0OMEJ4WK10
ASG Finance Designated Activity Co
00217AAA4
1018000.00000000
PA
USD
962010.00000000
0.028653155238
Long
DBT
CORP
IE
N
2
2024-12-03
Fixed
7.87500000
N
N
N
N
N
BSST Mortgage Trust
N/A
Beast Mortgage Trust
05601PAG1
604000.00000000
PA
USD
585796.29000000
0.017447752139
Long
ABS-MBS
CORP
US
N
2
2036-04-15
Floating
1.49700000
N
N
N
N
N
N
ALBERTSONS COS/SAFEWAY
N/A
Albertsons Cos Inc / Safeway Inc / New Albertsons LP / Albertsons LLC
013092AE1
90000.00000000
PA
USD
87637.50000000
0.002610254459
Long
DBT
CORP
US
N
2
2030-02-15
Fixed
4.87500000
N
N
N
N
N
N
State Street Corp
549300ZFEEJ2IP5VME73
State Street Corp
857477BA0
2815000.00000000
PA
USD
2781220.00000000
0.082837733924
Long
DBT
CORP
US
N
2
2023-12-15
Fixed
5.62500000
N
N
N
N
N
WF-RBS Commercial Mortgage Trust
N/A
WFRBS Commercial Mortgage Trust 2014-C22
92890KBG9
1540000.00000000
PA
USD
1495085.59000000
0.044530638460
Long
ABS-MBS
CORP
US
N
2
2057-09-15
Variable
3.75900000
N
N
N
N
N
N
ONE GAS INC
549300HXDWI0LATTX840
ONE Gas Inc
68235PAH1
370000.00000000
PA
USD
331021.99000000
0.009859382404
Long
DBT
CORP
US
N
2
2030-05-15
Fixed
2.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138XPQG1
81899.52000000
PA
USD
83711.81000000
0.002493329058
Long
ABS-MBS
USGSE
US
N
2
2029-02-01
Fixed
3.50000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36179RVB2
524612.66000000
PA
USD
536037.64000000
0.015965706918
Long
ABS-MBS
USGA
US
N
2
2045-12-20
Fixed
3.50000000
N
N
N
N
N
N
UnitedHealth Group Inc
549300GHBMY8T5GXDE41
UnitedHealth Group Inc
91324PBU5
807000.00000000
PA
USD
916390.84000000
0.027294403382
Long
DBT
CORP
US
N
2
2041-11-15
Fixed
4.62500000
N
N
N
N
N
N
CSC Holdings, LLC
3HG2WD2W22M120IUNG49
CSC Holdings, LLC 2019 Term Loan B5
64072UAK8
964301.54000000
PA
USD
949595.94000000
0.028283406495
Long
LON
CORP
US
N
2
2027-04-15
Floating
2.89700000
N
N
N
N
N
N
LEIDOS INC
5493006I78VIN6J1BQ95
Leidos Inc
52532XAH8
1565000.00000000
PA
USD
1356620.25000000
0.040406493303
Long
DBT
CORP
US
N
2
2031-02-15
Fixed
2.30000000
N
N
N
N
N
N
JP Morgan Mortgage Trust
N/A
J.P. Morgan Mortgage Trust 2021-INV7
46654CAL9
1743000.00000000
PA
USD
1451421.02000000
0.043230103432
Long
ABS-MBS
CORP
US
N
2
2052-02-25
Variable
2.50000000
N
N
N
N
N
N
Ajax Mortgage Loan Trust
N/A
Ajax Mortgage Loan Trust 2021-E
009740AC5
293000.00000000
PA
USD
255638.22000000
0.007614101311
Long
ABS-O
CORP
US
N
2
2060-12-25
Variable
2.94000000
N
N
N
N
N
N
Trestles CLO LTD
N/A
TRESTLES CLO V LTD
89532UAA1
1190000.00000000
PA
USD
1183011.13000000
0.035235602080
Long
ABS-CBDO
CORP
KY
N
2
2034-10-20
Floating
1.33000000
N
N
N
N
N
N
Chicago Board of Trade
549300EX04Q2QBFQTQ27
US 10YR ULTRA FUT JUN22
000000000
-432.00000000
NC
USD
1657628.10000000
0.049371914301
N/A
DIR
US
N
1
Chicago Board of Trade
549300EX04Q2QBFQTQ27
Short
Ultra 10-Year US Treasury Note Futures
UXYM2 COMDTY
2022-06-21
-60180128.10000000
USD
1657628.10000000
N
N
N
Bank of America Corp
9DJT3UXIJIZJI4WXO774
Bank of America Corp
06051GGF0
1466000.00000000
PA
USD
1482911.42000000
0.044168034763
Long
DBT
CORP
US
N
2
2028-01-20
Fixed
3.82400000
N
N
N
N
N
N
Neuberger Berman CLO Ltd
549300UHUHCR3388B324
Neuberger Berman CLO XVI-S Ltd
64131TAN4
440000.00000000
PA
USD
433774.00000000
0.012919817632
Long
ABS-CBDO
CORP
KY
N
2
2034-04-15
Floating
1.28100000
N
N
N
N
N
N
Citibank N.A.
E57ODZWZ7FF32TWEFA76
Long: BRY09EZT2 TRS USD R V 12MSOFR BRY09EZV7 EQUITYTRS / Short: BRY09EZT2 TRS USD P E BRY09EZU9 EQUITYTRS
000000000
26616.24000000
OU
Notional Amount
USD
711.46000000
0.000021190604
N/A
DE
US
N
2
Citibank N.A.
E57ODZWZ7FF32TWEFA76
TreeHouse Foods Inc
TreeHouse Foods Inc
Y
equity-performance leg
2022-09-09
0.00000000
USD
0.00000000
USD
26616.24000000
USD
711.46000000
N
N
N
ALABAMA POWER CO
0RL818ELFOHP5JHOFU19
Alabama Power Co
010392FV5
315000.00000000
PA
USD
273896.51000000
0.008157918545
Long
DBT
CORP
US
N
2
2051-07-15
Fixed
3.12500000
N
N
N
N
N
UNION PACIFIC CORP
549300LMMRSZZCZ8CL11
Union Pacific Corp
907818FN3
748000.00000000
PA
USD
632964.72000000
0.018852648499
Long
DBT
CORP
US
N
2
2062-09-16
Fixed
2.97300000
N
N
N
N
N
N
TAKEDA PHARMACEUTICAL
549300ZLMVP4X0OGR454
Takeda Pharmaceutical Co Ltd
874060AX4
1982000.00000000
PA
USD
1789023.76000000
0.053285491337
Long
DBT
CORP
JP
N
2
2030-03-31
Fixed
2.05000000
N
N
N
N
N
N
MC BRAZIL DWNSTRM
213800T2A7R9TYNXZI63
MC Brazil Downstream Trading SARL
55292WAA8
430000.00000000
PA
USD
395600.00000000
0.011782817447
Long
DBT
CORP
LU
N
2
2031-06-30
Fixed
7.25000000
N
N
N
N
N
N
UBS AG
BFM8T61CT2L1QCEMIK50
PURCHASED ZAR / SOLD USD
000000000
1.00000000
NC
-2036.50000000
-0.00006065649
N/A
DFE
ZA
N
2
UBS AG
BFM8T61CT2L1QCEMIK50
525000.00000000
USD
7657366.50000000
ZAR
2022-04-20
-2036.50000000
N
N
N
LOWE'S COS INC
WAFCR4OKGSC504WU3E95
Lowe's Cos Inc
548661EE3
1606000.00000000
PA
USD
1375540.96000000
0.040970040502
Long
DBT
CORP
US
N
2
2041-09-15
Fixed
2.80000000
N
N
N
N
N
N
Morgan Stanley & Co. International PLC
4PQUHN3JPFGFNF3BB653
Long: BRTB75G82 CDS USD R V 01MEVENT 1 CMBX / Short: BRTB75G82 CDS USD P F .50000 2 CMBX
000000000
900000.00000000
OU
Notional Amount
USD
-5282.66000000
-0.00015734231
N/A
DCR
US
N
2
Morgan Stanley & Co. International PLC
4PQUHN3JPFGFNF3BB653
CMBX.NA.AAA.9
137BENAI7
Y
buy protection
2058-09-17
11071.33000000
USD
0.00000000
USD
900000.00000000
USD
-16353.99000000
N
N
N
Wells Fargo Commercial Mortgage Trust
N/A
Wells Fargo Commercial Mortgage Trust 2019-C52
95002MBC2
92000.00000000
PA
USD
85909.70000000
0.002558792497
Long
ABS-MBS
CORP
US
N
2
2052-08-15
Fixed
3.56100000
N
N
N
N
N
N
HCA INC
L3CJ6J7LJ2DX62FTXD46
HCA Inc
404119CF4
4808000.00000000
PA
USD
4711622.73000000
0.140334151941
Long
DBT
CORP
US
N
2
2032-03-15
Fixed
3.62500000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Pool
3132DVLW3
1246374.44000000
PA
USD
1160633.16000000
0.034569081515
Long
ABS-MBS
USGSE
US
N
2
2051-05-01
Fixed
2.00000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
3132M9MM3
140357.46000000
PA
USD
143278.69000000
0.004267509222
Long
ABS-MBS
USGSE
US
N
2
2044-06-01
Fixed
3.50000000
N
N
N
N
N
N
SASOL Financing USA LLC
549300XRB1PFMESFEL85
SASOL Financing USA LLC
80386WAB1
207000.00000000
PA
USD
210146.40000000
0.006259142235
Long
DBT
CORP
US
N
2
2028-09-27
Fixed
6.50000000
N
N
N
N
N
N
Banc of America Merrill Lynch Large Loan Inc
N/A
BAMLL Commercial Mortgage Securities Trust 2017-SCH
054966AU0
300000.00000000
PA
USD
263073.00000000
0.007835543817
Long
ABS-MBS
CORP
US
N
2
2032-11-15
Floating
1.89700000
N
N
N
N
N
N
Contego CLO DAC
549300C4LLQJWEV9XM31
Contego CLO VIII DAC
000000000
250000.00000000
PA
266329.91000000
0.007932549823
Long
ABS-CBDO
CORP
IE
N
2
2034-01-25
Floating
3.20000000
N
N
N
N
N
N
NORTHROP GRUMMAN CORP
RIMU48P07456QXSO0R61
Northrop Grumman Corp
666807BU5
1371000.00000000
PA
USD
1708463.23000000
0.050886022129
Long
DBT
CORP
US
N
2
2050-05-01
Fixed
5.25000000
N
N
N
N
N
N
SLM Student Loan Trust
549300JEA36NHBYED811
SLM Private Education Loan Trust 2010-C
78445QAE1
3271464.45000000
PA
USD
3626161.53000000
0.108004042826
Long
ABS-O
CORP
US
N
2
2041-10-15
Floating
5.14700000
N
N
N
N
N
N
Brex Inc
N/A
Brex Commercial Charge Card Master Trust
05601DAA1
850000.00000000
PA
USD
840331.51000000
0.025029000954
Long
ABS-O
CORP
US
N
2
2024-07-15
Fixed
2.09000000
N
N
N
N
N
N
LUXE Commercial Mortgage Trust
N/A
LUXE Trust 2021-TRIP
55066WAJ3
100000.00000000
PA
USD
97974.09000000
0.002918126433
Long
ABS-MBS
CORP
US
N
2
2038-10-15
Floating
3.14700000
N
N
N
N
N
N
Voya Euro CLO
549300IGE7MPYA8F0423
Voya Euro CLO V DAC
000000000
250000.00000000
PA
255500.27000000
0.007609992515
Long
ABS-CBDO
CORP
IE
N
2
2035-04-15
Floating
5.81000000
N
N
N
N
N
N
UnitedHealth Group Inc
549300GHBMY8T5GXDE41
UnitedHealth Group Inc
91324PDL3
348000.00000000
PA
USD
380629.85000000
0.011336936394
Long
DBT
CORP
US
N
2
2048-06-15
Fixed
4.25000000
N
N
N
N
N
N
AMER AIRLN 15-2 B PTT
N/A
American Airlines 2015-2 Class B Pass Through Trust
02377BAC0
1376658.44000000
PA
USD
1340262.21000000
0.039919274398
Long
DBT
CORP
US
N
2
2023-09-22
Fixed
4.40000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36200KRE9
36196.38000000
PA
USD
39108.68000000
0.001164839325
Long
ABS-MBS
USGA
US
N
2
2033-04-15
Fixed
6.50000000
N
N
N
N
N
N
ENERGY TRANSFER LP
MTLVN9N7JE8MIBIJ1H73
Energy Transfer LP
86765BAS8
1310000.00000000
PA
USD
1402913.22000000
0.041785314372
Long
DBT
CORP
US
N
2
2025-12-01
Fixed
5.95000000
N
N
N
N
N
N
Bank of America Corp
9DJT3UXIJIZJI4WXO774
Bank of America Corp
06051GHM4
3058000.00000000
PA
USD
3154948.14000000
0.093969105129
Long
DBT
CORP
US
N
2
2029-07-23
Fixed
4.27100000
N
N
N
N
N
N
OCBC LONDON
N/A
OCBC LONDON
000000000
299949.00000000
PA
USD
299949.00000000
0.008933883494
Long
STIV
CORP
US
N
2
2022-04-14
Fixed
0.00000000
N
N
N
N
N
VIRGINIA ELEC & POWER CO
CQKUMNNZVDJLRYV2PT43
Virginia Electric and Power Co
927804FX7
703000.00000000
PA
USD
714695.04000000
0.021286959521
Long
DBT
CORP
US
N
2
2027-03-15
Fixed
3.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138W5M21
461319.96000000
PA
USD
460462.32000000
0.013714720571
Long
ABS-MBS
USGSE
US
N
2
2043-03-01
Fixed
3.00000000
N
N
N
N
N
N
MS GOVT US LEX
N/A
MS GOVT US LEX
000000000
2000000.00000000
NS
USD
2000000.00000000
0.059569350087
Long
STIV
RF
US
N
1
N
N
Armada Euro CLO
549300236OBWCGBX8R96
Armada Euro CLO III DAC
000000000
250000.00000000
PA
272318.87000000
0.008110929051
Long
ABS-CBDO
CORP
IE
N
2
2031-07-15
Floating
3.30000000
N
N
N
N
N
N
Navient Student Loan Trust
N/A
Navient Private Education Refi Loan Trust 2021-D
63942CAC6
710000.00000000
PA
USD
664312.42000000
0.019786329557
Long
ABS-O
CORP
US
N
2
2060-04-15
Fixed
3.48000000
N
N
N
N
N
N
DBUBS Mortgage Trust
N/A
DBUBS 2017-BRBK Mortgage Trust
23305JAA0
850000.00000000
PA
USD
845546.68000000
0.025184333098
Long
ABS-MBS
CORP
US
N
2
2034-10-10
Fixed
3.45200000
N
N
N
N
N
N
SREIT Trust
N/A
SREIT Trust 2021-MFP
78472UAL2
890000.00000000
PA
USD
857642.54000000
0.025544604357
Long
ABS-MBS
CORP
US
N
2
2038-11-15
Floating
3.02100000
N
N
N
N
N
N
Palmer Square CLO Ltd
549300A8L0VCZ9626397
Palmer Square CLO 2018-1 Ltd
69703PAA7
1040000.00000000
PA
USD
1037681.84000000
0.030907016403
Long
ABS-CBDO
CORP
KY
N
2
2031-04-18
Floating
1.27100000
N
N
N
N
N
N
BX Trust
N/A
BX Commercial Mortgage Trust 2021-SOAR
05608WAS3
2050354.00000000
PA
USD
1984671.73000000
0.059112802546
Long
ABS-MBS
CORP
US
N
2
2038-06-15
Floating
3.19700000
N
N
N
N
N
N
CENTERPOINT ENERGY RES
2JADVB0458J06WCD4N56
CenterPoint Energy Resources Corp
15189YAF3
2530000.00000000
PA
USD
2217938.59000000
0.066060580169
Long
DBT
CORP
US
N
2
2030-10-01
Fixed
1.75000000
N
N
N
N
N
N
OCP CLO Ltd
254900NXH68CRC058O44
OCP CLO 2014-5 Ltd
67102SAN4
180000.00000000
PA
USD
179528.22000000
0.005347189693
Long
ABS-CBDO
CORP
KY
N
2
2031-04-26
Floating
1.66700000
N
N
N
N
N
N
Lam Research Corp
549300I4GMO6D34U1T02
Lam Research Corp
512807AS7
638000.00000000
PA
USD
655575.99000000
0.019526117828
Long
DBT
CORP
US
N
2
2026-03-15
Fixed
3.75000000
N
N
N
N
N
N
RATTLER MIDSTREAM LP
549300I45NRVEEN9M219
Rattler Midstream LP
75419TAA1
225000.00000000
PA
USD
228375.00000000
0.006802075163
Long
DBT
CORP
US
N
2
2025-07-15
Fixed
5.62500000
N
N
N
N
N
N
VERIZON COMMUNICATIONS
2S72QS2UO2OESLG6Y829
Verizon Communications Inc
92343VFE9
3892000.00000000
PA
USD
3827686.10000000
0.114006386657
Long
DBT
CORP
US
N
2
2030-03-22
Fixed
3.15000000
N
N
N
N
N
N
UBS AG
BFM8T61CT2L1QCEMIK50
PURCHASED ZAR / SOLD USD
000000000
1.00000000
NC
-1930.41000000
-0.00005749663
N/A
DFE
ZA
N
2
UBS AG
BFM8T61CT2L1QCEMIK50
525000.00000000
USD
7658919.98000000
ZAR
2022-04-20
-1930.41000000
N
N
N
UMBS, TBA
N/A
Uniform Mortgage-Backed Security, TBA
01F042640
-5872000.00000000
PA
USD
-6084860.00000000
-0.18123557778
Short
ABS-MBS
USGSE
US
N
2
2052-04-15
Fixed
4.50000000
N
N
N
N
N
N
Palmer Square Loan Funding Ltd
N/A
Palmer Square Loan Funding 2020-2 Ltd
69701FAC7
1120000.00000000
PA
USD
1117898.88000000
0.033296254872
Long
ABS-CBDO
CORP
KY
N
2
2028-04-20
Floating
1.80400000
N
N
N
N
N
N
DISCOVER FINANCIAL SVS
Z1YLO2USPORE63VVUL20
Discover Financial Services
254709AP3
62000.00000000
PA
USD
63874.10000000
0.001902469312
Long
DBT
CORP
US
N
2
2026-01-30
Fixed
4.50000000
N
N
N
N
N
N
OCP CLO Ltd
254900NXH68CRC058O44
OCP CLO 2014-5 Ltd
67102SAL8
160000.00000000
PA
USD
158706.24000000
0.004727013785
Long
ABS-CBDO
CORP
KY
N
2
2031-04-26
Floating
1.34700000
N
N
N
N
N
N
ITT Holdings LLC
549300TH2PHOLK31LB42
ITT Holdings LLC 2021 Term Loan
45070BAG0
349245.00000000
PA
USD
345643.59000000
0.010294882009
Long
LON
CORP
US
N
2
2028-07-10
Floating
3.25000000
N
N
N
N
N
N
RAYTHEON TECH CORP
I07WOS4YJ0N7YRFE7309
Raytheon Technologies Corp
75513ECP4
1766000.00000000
PA
USD
1547242.38000000
0.046084111502
Long
DBT
CORP
US
N
2
2052-03-15
Fixed
3.03000000
N
N
N
N
N
N
GREAT WST PTRLM/GRT FNCE
N/A
Great Western Petroleum LLC / Great Western Finance Corp
39143GAD2
449000.00000000
PA
USD
500635.00000000
0.014911250790
Long
DBT
CORP
US
N
2
2025-09-01
Fixed
12.00000000
N
N
N
N
N
N
Agate Bay Mortgage Loan Trust
N/A
Agate Bay Mortgage Trust 2015-1
00841WBP6
130000.00000000
PA
USD
126725.76000000
0.003774485581
Long
ABS-MBS
CORP
US
N
2
2045-01-25
Variable
3.70300000
N
N
N
N
N
N
Options Clearing Corp.
549300CII6SLYGKNHA04
OCCIDENTAL PETROLEUM CORP MAY22 60 CALL
000000000
242.00000000
NC
USD
88330.00000000
0.002630880346
N/A
DE
US
N
1
Options Clearing Corp.
549300CII6SLYGKNHA04
Call
Purchased
Occidental Petroleum Corp
Occidental Petroleum Corp
100.00000000
60.00000000
USD
2022-05-20
XXXX
35760.55000000
N
N
N
FIRSTENERGY TRANSMISSION
549300AINIIPOLYX2R63
FirstEnergy Transmission LLC
33767BAB5
3191000.00000000
PA
USD
3206373.66000000
0.095500797531
Long
DBT
CORP
US
N
2
2025-01-15
Fixed
4.35000000
N
N
N
N
N
N
TRI POINTE HOMES INC
N/A
Tri Pointe Homes Inc
87265HAG4
60000.00000000
PA
USD
59896.80000000
0.001784006724
Long
DBT
CORP
US
N
2
2028-06-15
Fixed
5.70000000
N
N
N
N
N
N
ONCOR ELECTRIC DELIVERY
549300SP2X2BS1KERD24
Oncor Electric Delivery Co LLC
68233JCB8
73000.00000000
PA
USD
62461.94000000
0.001860408585
Long
DBT
CORP
US
N
2
2051-11-15
Fixed
2.70000000
N
N
N
N
N
N
DREAM FINDERS HOMES INC
N/A
DREAM FINDERS HOMES INC
000000000
2628.00000000
NS
USD
2605005.00000000
0.077589227412
Long
EP
CORP
US
Y
3
N
N
N
ANTHEM INC
8MYN82XMYQH89CTMTH67
Anthem Inc
036752AM5
372000.00000000
PA
USD
327590.12000000
0.009757165271
Long
DBT
CORP
US
N
2
2050-05-15
Fixed
3.12500000
N
N
N
N
N
N
Voya CLO Ltd
N/A
Voya CLO 2017-3 Ltd
92915QAU7
357000.00000000
PA
USD
353014.45000000
0.010514420678
Long
ABS-CBDO
CORP
KY
N
2
2034-04-20
Floating
1.29400000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36179TLT0
625682.75000000
PA
USD
647922.06000000
0.019298148010
Long
ABS-MBS
USGA
US
N
2
2047-11-20
Fixed
4.00000000
N
N
N
N
N
N
DTE Electric Co
9N0FWODEJVKHC2DYLO03
DTE Electric Co
23338VAJ5
355000.00000000
PA
USD
366571.45000000
0.010918211518
Long
DBT
CORP
US
N
2
2049-03-01
Fixed
3.95000000
N
N
N
N
N
N
Ajax Mortgage Loan Trust
N/A
Ajax Mortgage Loan Trust 2019-A
00969LAA0
1661305.45000000
PA
USD
1658277.06000000
0.049391243364
Long
ABS-O
CORP
US
N
2
2057-08-25
Variable
3.75000000
N
N
N
N
N
N
BX Trust
N/A
BX Commercial Mortgage Trust 2018-BIOA
056057AN2
181759.69000000
PA
USD
178797.17000000
0.005325415607
Long
ABS-MBS
CORP
US
N
2
2037-03-15
Floating
2.34800000
N
N
N
N
N
N
CSX Corp
549300JVQR4N1MMP3Q88
CSX Corp
126408HK2
1116000.00000000
PA
USD
1198934.80000000
0.035709883416
Long
DBT
CORP
US
N
2
2048-03-01
Fixed
4.30000000
N
N
N
N
N
N
ARM Master Trust
N/A
Arm Master Trust LLC Series 2021-T1 Agricultural Loan Backed Notes
04206RAA2
370000.00000000
PA
USD
353976.82000000
0.010543084556
Long
ABS-O
CORP
US
N
2
2027-11-15
Fixed
2.43000000
N
N
N
N
N
N
Citibank N.A.
E57ODZWZ7FF32TWEFA76
BRWYC9F69 BLACKROCK FXVAN PUT USD RUB 72.0000000
000000000
-3513000.00000000
OU
Notional Amount
USD
-12063.64000000
-0.00035931159
N/A
DFE
US
N
2
Citibank N.A.
E57ODZWZ7FF32TWEFA76
Put
Written
Citibank, National Association
E57ODZWZ7FF32TWEFA76
Citibank, National Association
E57ODZWZ7FF32TWEFA76
FX Contract
N/A
1.00000000
NC
USD
-12063.64000000
0.00000000
DFE
US
-3513000.00000000
MXN
-252936000.00000000
USD
2022-04-08
1.00000000
72.00000000
USD
2022-04-08
XXXX
4421.11000000
N
N
N
Sunstone Hotel Investors Inc
529900ZQ2V52V96ATF67
Sunstone Hotel Investors Inc
867892101
32871.00000000
NS
USD
387220.38000000
0.011533233188
Long
EC
US
N
1
N
N
N
Ajax Mortgage Loan Trust
N/A
Ajax Mortgage Loan Trust 2019-A
00969LAB8
440000.00000000
PA
USD
436170.11000000
0.012991184990
Long
ABS-O
CORP
US
N
2
2057-08-25
Variable
5.25000000
N
N
N
N
N
N
DANA INC
KVWHW7YLZPFJM8QYNJ51
Dana Inc
235825AH9
143000.00000000
PA
USD
130873.60000000
0.003898027647
Long
DBT
CORP
US
N
2
2030-09-01
Fixed
4.25000000
N
N
N
N
N
JP Morgan Mortgage Trust
N/A
JP Morgan Mortgage Trust 2006-S3
46629AAM3
185543.19000000
PA
USD
93866.37000000
0.002795779327
Long
ABS-MBS
CORP
US
N
2
2036-08-25
Fixed
6.50000000
N
N
N
N
N
N
Life Financial Services Trust
N/A
Life 2021-BMR Mortgage Trust
53218CAL4
1287690.90000000
PA
USD
1232890.77000000
0.036721250948
Long
ABS-MBS
CORP
US
N
2
2038-03-15
Floating
2.74700000
N
N
N
N
N
N
JPMorgan Chase & Co
8I5DZWZKVSZI1NUHU748
JPMorgan Chase & Co
46647PAF3
6521000.00000000
PA
USD
6538063.04000000
0.194734083061
Long
DBT
CORP
US
N
2
2028-05-01
Fixed
3.54000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
3132GTR33
9203.04000000
PA
USD
9394.70000000
0.000279818086
Long
ABS-MBS
USGSE
US
N
2
2042-05-01
Fixed
3.50000000
N
N
N
N
N
N
VIRGINIA ELEC & POWER CO
CQKUMNNZVDJLRYV2PT43
Virginia Electric and Power Co
927804FL3
1226000.00000000
PA
USD
1248647.86000000
0.037190570754
Long
DBT
CORP
US
N
2
2043-01-15
Fixed
4.00000000
N
N
N
N
N
N
United States Treasury
254900HROIFWPRGM1V77
United States Treasury Note/Bond
9128285M8
4225000.00000000
PA
USD
4399116.22000000
0.131026247092
Long
DBT
UST
US
N
2
2028-11-15
Fixed
3.12500000
N
N
N
N
N
N
Citibank N.A.
E57ODZWZ7FF32TWEFA76
PURCHASED USD / SOLD BRL
000000000
1.00000000
NC
-35967.71000000
-0.00107128655
N/A
DFE
US
N
2
Citibank N.A.
E57ODZWZ7FF32TWEFA76
2642229.00000000
BRL
519000.00000000
USD
2022-04-04
-35967.71000000
N
N
N
ESC CB CHESAPEAKE ENER
N/A
ESC CB CHESAPEAKE ENER
165ESCAE4
100000.00000000
PA
USD
0.01000000
0.000000000297
Long
DBT
CORP
US
N
3
2021-06-15
None
0.00000000
N
N
N
N
N
N
DUKE ENERGY FLORIDA LLC
7MOHLM3DKE63RX2ZCN83
Duke Energy Florida LLC
26444HAH4
3592000.00000000
PA
USD
3378303.19000000
0.100621662713
Long
DBT
CORP
US
N
2
2029-12-01
Fixed
2.50000000
N
N
N
N
N
NGPL PipeCo LLC
549300K3NT1HSQFEM073
NGPL PipeCo LLC
62912XAF1
990000.00000000
PA
USD
1027580.42000000
0.030606148890
Long
DBT
CORP
US
N
2
2027-08-15
Fixed
4.87500000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138WJ4K1
952664.43000000
PA
USD
945529.07000000
0.028162276094
Long
ABS-MBS
USGSE
US
N
2
2047-03-01
Fixed
3.00000000
N
N
N
N
N
N
Madison Park Funding Ltd
N/A
Madison Park Funding XLIX Ltd
55821QAA1
250000.00000000
PA
USD
245202.25000000
0.007303269336
Long
ABS-CBDO
CORP
KY
N
2
2034-10-19
Floating
6.36900000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138WPHP2
166946.05000000
PA
USD
166383.98000000
0.004955692776
Long
ABS-MBS
USGSE
US
N
2
2043-04-01
Fixed
3.00000000
N
N
N
N
N
N
AMERICAN EXPRESS CO
R4PP93JZOLY261QX3811
American Express Co
025816CS6
1818000.00000000
PA
USD
1767684.72000000
0.052649914964
Long
DBT
CORP
US
N
2
2027-03-04
Fixed
2.55000000
N
N
N
N
N
N
Legacy Mortgage Asset Trust
N/A
Legacy Mortgage Asset Trust 2019-SL2
52473FAA3
1228214.32000000
PA
USD
1221410.26000000
0.036379307689
Long
ABS-O
CORP
US
N
2
2059-02-25
Variable
3.37500000
N
N
N
N
N
N
COBHAM ULTRA SENIORCO SARL
N/A
COBHAM ULTRA SENIORCO SARL
000000000
322000.00000000
PA
USD
318981.25000000
0.009500752876
Long
LON
CORP
US
N
2
2028-11-16
None
0.00000000
N
N
N
N
N
N
DOMINICAN REPUBLIC
254900EHU7Q8FGVPI369
Dominican Republic International Bond
25714PEP9
1100000.00000000
PA
USD
1086250.00000000
0.032353603266
Long
DBT
NUSS
DO
N
2
2029-02-22
Fixed
5.50000000
N
N
N
N
N
N
Lloyds Banking Group PLC
549300PPXHEU2JF0AM85
Lloyds Banking Group PLC
539439AQ2
846000.00000000
PA
USD
826374.66000000
0.024613300712
Long
DBT
CORP
GB
N
2
2028-11-07
Fixed
3.57400000
N
N
N
N
N
N
TENET HEALTHCARE CORP
0W9AIBT6U6ADJ2I8HK17
Tenet Healthcare Corp
88033GDN7
1496000.00000000
PA
USD
1436055.28000000
0.042772439859
Long
DBT
CORP
US
N
2
2030-01-15
Fixed
4.37500000
N
N
N
N
N
N
United States Treasury
254900HROIFWPRGM1V77
United States Treasury Note/Bond
912810SJ8
4760000.00000000
PA
USD
4526090.65000000
0.134808139228
Long
DBT
UST
US
N
2
2049-08-15
Fixed
2.25000000
N
N
N
N
N
N
UMBS, TBA
N/A
Uniform Mortgage-Backed Security, TBA
01F020646
77988635.00000000
PA
USD
72392341.35000000
2.156182362760
Long
ABS-MBS
USGSE
US
N
2
2052-04-15
Fixed
2.00000000
N
N
N
N
N
N
Nelnet Student Loan Trust
N/A
Nelnet Student Loan Trust 2021-A
64035DAF3
2130000.00000000
PA
USD
2068008.91000000
0.061594973371
Long
ABS-O
CORP
US
N
2
2062-04-20
Fixed
3.75000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36202FDB9
30576.71000000
PA
USD
32554.66000000
0.000969629969
Long
ABS-MBS
USGA
US
N
2
2039-12-20
Fixed
4.50000000
N
N
N
N
N
N
Generate CLO Ltd.
254900V675MOVWK0HA08
Generate CLO 6 Ltd
37148JAG8
250000.00000000
PA
USD
244336.25000000
0.007277475807
Long
ABS-CBDO
CORP
KY
N
2
2035-01-22
Floating
2.69900000
N
N
N
N
N
N
VERIZON COMMUNICATIONS
2S72QS2UO2OESLG6Y829
Verizon Communications Inc
92343VGC2
1868000.00000000
PA
USD
1730283.06000000
0.051535918675
Long
DBT
CORP
US
N
2
2061-03-22
Fixed
3.70000000
N
N
N
N
N
N
Bank of America N.A.
B4TYDEB6GKMZO031MB27
BRWY8XBT5 BLACKROCK SWAPTION 2.02 PUT USD 20220504
000000000
613000000.00000000
NC
USD
1299308.67000000
0.038699486517
N/A
DIR
US
N
2
Bank of America N.A.
B4TYDEB6GKMZO031MB27
Put
Purchased
Bank of America N.A.
B4TYDEB6GKMZO031MB27
Bank of America N.A.
B4TYDEB6GKMZO031MB27
IRS Swap
N/A
613000000.00000000
OU
Notional Amount
N/A
1299308.67000000
0.04000000
DIR
US
N/A
N/A
2026-05-06
0.00000000
N/A
0.00000000
N/A
613000000.00000000
USD
1.00000000
2.02000000
USD
2022-05-04
XXXX
625008.67000000
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36178WQH5
111518.53000000
PA
USD
112692.25000000
0.003356502046
Long
ABS-MBS
USGA
US
N
2
2042-11-15
Fixed
3.50000000
N
N
N
N
N
N
Bank of America N.A.
B4TYDEB6GKMZO031MB27
BRWYLVJ82 BLACKROCK FXVAN CALL EUR CZK 24.8500000
000000000
1230000.00000000
OU
Notional Amount
2602.99000000
0.000077529211
N/A
DFE
LU
N
2
Bank of America N.A.
B4TYDEB6GKMZO031MB27
Call
Purchased
Bank of America, National Association
B4TYDEB6GKMZO031MB27
Bank of America, National Association
B4TYDEB6GKMZO031MB27
FX Contract
N/A
1.00000000
NC
USD
2602.99000000
0.00000000
DFE
XX
30565500.00000000
PLN
1230000.00000000
EUR
2022-04-13
1.00000000
24.85000000
EUR
2022-04-13
XXXX
-6568.11000000
N
N
N
Hilton Grand Vacations Borrower LLC
254900HF0EZ734FDVY79
Hilton Grand Vacations Borrower LLC 2021 Term Loan B
43283LAH4
1156190.00000000
PA
USD
1150951.30000000
0.034280710461
Long
LON
CORP
US
N
2
2028-08-02
Floating
3.50000000
N
N
N
N
N
N
UMBS, TBA
N/A
Uniform Mortgage-Backed Security, TBA
01F032641
-797000.00000000
PA
USD
-798369.84000000
-0.02377918624
Short
ABS-MBS
USGSE
US
N
2
2052-04-15
Fixed
3.50000000
N
N
N
N
N
N
HOWARD HUGHES CORP
549300BVHY25JZC1KI49
Howard Hughes Corp/The
44267DAD9
749000.00000000
PA
USD
751981.02000000
0.022397510319
Long
DBT
CORP
US
N
2
2028-08-01
Fixed
5.37500000
N
N
N
N
N
Knollwood CDO Ltd
549300E24U6UCPJEUI87
Knollwood CDO Ltd
499169AD2
1041547.18000000
PA
USD
104.15000000
0.000003102073
Long
ABS-CBDO
CORP
KY
N
2
2039-01-10
Floating
3.43100000
N
Y
N
N
N
N
HOMES BY WEST BAY LLC
N/A
HOMES BY WEST BAY LLC
000000000
1259000.00000000
PA
USD
1236967.50000000
0.036842675027
Long
DBT
CORP
US
N
3
2027-04-30
Fixed
9.50000000
N
N
N
N
N
N
BSST Mortgage Trust
N/A
Beast Mortgage Trust
05601PAN6
589000.00000000
PA
USD
571618.79000000
0.017025479909
Long
ABS-MBS
CORP
US
N
2
2036-04-15
Floating
2.49700000
N
N
N
N
N
N
Hyzon Motors Inc
N/A
Hyzon Motors Inc
44951Y110
32814.00000000
NS
USD
55783.80000000
0.001661502355
N/A
DE
US
N
1
N/A
N/A
Call
Purchased
Decarbonization Plus Acquisition Corp
Decarbonization Plus Acquisition Corp
11.50000000
11.50000000
USD
2025-10-02
XXXX
-8320.49000000
N
N
N
BNP Paribas SA
R0MUWSFPU8MPRO8K5P83
PURCHASED USD / SOLD EUR
000000000
1.00000000
NC
-355335.49000000
-0.01058355210
N/A
DFE
US
N
2
BNP Paribas SA
R0MUWSFPU8MPRO8K5P83
40084000.00000000
EUR
44107351.33000000
USD
2022-06-15
-355335.49000000
N
N
N
DIGITAL DUTCH FINCO BV
549300ONZ5IS6B6IMJ70
Digital Dutch Finco BV
000000000
1550000.00000000
PA
1577957.97000000
0.046998965369
Long
DBT
NL
Y
2
2030-03-15
Fixed
1.50000000
N
N
N
N
N
N
One Market Plaza Trust
N/A
One Market Plaza Trust 2017-1MKT
68245HAS3
21110000.00000000
PA
USD
633.30000000
0.000018862634
Long
ABS-MBS
CORP
US
N
2
2032-02-10
Variable
0.09000000
N
N
N
N
N
N
MARRIOTT INTERNATIONAL
225YDZ14ZO8E1TXUSU86
Marriott International Inc/MD
571903BE2
373000.00000000
PA
USD
386312.66000000
0.011506197043
Long
DBT
CORP
US
N
2
2030-06-15
Fixed
4.62500000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31390MJT2
449915.00000000
PA
USD
492467.69000000
0.014667990116
Long
ABS-MBS
USGSE
US
N
2
2032-11-01
Fixed
5.50000000
N
N
N
N
N
N
Rad CLO Ltd
N/A
Rad CLO 3 Ltd
48661WAL2
250000.00000000
PA
USD
248517.00000000
0.007401998087
Long
ABS-CBDO
CORP
KY
N
2
2032-04-15
Floating
1.79100000
N
N
N
N
N
N
Bear Stearns Asset Backed Securities Trust
N/A
Bear Stearns Asset Backed Securities I Trust 2005-AC9
0738794J4
1369413.05000000
PA
USD
1163544.39000000
0.034655791555
Long
ABS-MBS
CORP
US
N
2
2035-12-25
Variable
6.25000000
N
N
N
N
N
N
Regatta VI Funding Ltd.
2549001NU08X5ZRD6A39
Regatta VI Funding Ltd
75887NAW9
760000.00000000
PA
USD
751979.72000000
0.022397471599
Long
ABS-CBDO
CORP
KY
N
2
2034-04-20
Floating
1.41400000
N
N
N
N
N
N
LEVEL 3 FINANCING INC
254900AE5FEFIJOXWL19
Level 3 Financing Inc
527298BN2
90000.00000000
PA
USD
84719.70000000
0.002523348734
Long
DBT
CORP
US
N
2
2027-09-15
Fixed
4.62500000
N
N
N
N
N
N
GCT Commercial Mortgage Trust
N/A
GCT Commercial Mortgage Trust 2021-GCT
36167RAG8
100000.00000000
PA
USD
97697.87000000
0.002909899310
Long
ABS-MBS
CORP
US
N
2
2038-02-15
Floating
2.74700000
N
N
N
N
N
N
Cascade MH Asset Trust
N/A
Cascade MH Asset Trust 2019-MH1
14732FAA0
2040103.13000000
PA
USD
2040997.31000000
0.060790441643
Long
ABS-O
CORP
US
N
2
2044-11-25
Variable
4.00000000
N
N
N
N
N
N
Churchill Downs Inc
529900FODTBQC8MIS994
Churchill Downs Inc
171484AG3
537000.00000000
PA
USD
543089.58000000
0.016175746659
Long
DBT
CORP
US
N
2
2027-04-01
Fixed
5.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31419A4H7
103291.25000000
PA
USD
115213.83000000
0.003431606487
Long
ABS-MBS
USGSE
US
N
2
2040-09-01
Fixed
6.00000000
N
N
N
N
N
N
SRS DISTRIBUTION INC
549300ZQ3XP75BCYM468
SRS Distribution Inc
78471RAB2
147000.00000000
PA
USD
140415.87000000
0.004182241058
Long
DBT
CORP
US
N
2
2028-07-01
Fixed
4.62500000
N
N
N
N
N
N
Crown Point CLO Ltd
N/A
Crown Point CLO 10 Ltd
22846FAC2
620000.00000000
PA
USD
612637.50000000
0.018247208857
Long
ABS-CBDO
CORP
KY
N
2
2034-07-20
Floating
1.42400000
N
N
N
N
N
N
ASHTON WOODS USA/FINANCE
N/A
Ashton Woods USA LLC / Ashton Woods Finance Co
045086AP0
496000.00000000
PA
USD
432100.32000000
0.012869967617
Long
DBT
CORP
US
N
2
2030-04-01
Fixed
4.62500000
N
N
N
N
N
N
One New York Plaza Trust 2020-1NYP
N/A
One New York Plaza Trust 2020-1NYP
68249DAJ8
160000.00000000
PA
USD
157597.12000000
0.004693979007
Long
ABS-MBS
CORP
US
N
2
2036-01-15
Floating
3.14700000
N
N
N
N
N
N
Michaels Companies, Inc.
549300H9LWMBP7HYLR98
Michaels Companies, Inc. 2021 Term Loan B
59408UAB3
185597.50000000
PA
USD
173997.66000000
0.005182463761
Long
LON
CORP
US
N
2
2028-04-15
Floating
5.25600000
N
N
N
N
N
N
BIOGEN INC
W8J5WZB5IY3K0NDQT671
Biogen Inc
09062XAH6
1791000.00000000
PA
USD
1611444.73000000
0.047996357633
Long
DBT
CORP
US
N
2
2030-05-01
Fixed
2.25000000
N
N
N
N
N
N
CHARTER COMM OPT LLC/CAP
N/A
Charter Communications Operating LLC / Charter Communications Operating Capital
161175BS2
2120000.00000000
PA
USD
2103205.91000000
0.062643304579
Long
DBT
CORP
US
N
2
2049-07-01
Fixed
5.12500000
N
N
N
N
N
N
Neuberger Berman CLO Ltd
549300LGCRX4YI1JNS93
Neuberger Berman Loan Advisers Clo 42 Ltd
64133WAA3
680000.00000000
PA
USD
673367.28000000
0.020056025619
Long
ABS-CBDO
CORP
KY
N
2
2035-07-16
Floating
1.34100000
N
N
N
N
N
N
ENTERPRISE PRODUCTS OPER
5493004LGN656HWLDA30
Enterprise Products Operating LLC
29379VBX0
878000.00000000
PA
USD
843945.02000000
0.025136628175
Long
DBT
CORP
US
N
2
2030-01-31
Fixed
2.80000000
N
N
N
N
N
Ajax Mortgage Loan Trust
N/A
Ajax Mortgage Loan Trust 2018-G
00970DAA5
1936031.57000000
PA
USD
1937368.98000000
0.057703905509
Long
ABS-O
CORP
US
N
2
2057-06-25
Variable
4.37500000
N
N
N
N
N
N
MGM GROWTH/MGM FINANCE
N/A
MGM Growth Properties Operating Partnership LP / MGP Finance Co-Issuer Inc
55303XAJ4
530000.00000000
PA
USD
559812.50000000
0.016673833397
Long
DBT
US
N
2
2027-02-01
Fixed
5.75000000
N
N
N
N
N
N
SOUTHERN CAL EDISON
9R1Z5I36FERIBVKW4P77
Southern California Edison Co
842400HD8
777000.00000000
PA
USD
707075.57000000
0.021060016083
Long
DBT
CORP
US
N
2
2031-06-01
Fixed
2.50000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Pool
3132DMRK3
5999119.02000000
PA
USD
6271496.96000000
0.186794498991
Long
ABS-MBS
USGSE
US
N
2
2045-01-01
Fixed
4.00000000
N
N
N
N
N
N
Canyon Capital CLO Ltd
N/A
Canyon Capital CLO 2019-1 Ltd
13887TAJ6
460000.00000000
PA
USD
457237.24000000
0.013618662611
Long
ABS-CBDO
CORP
KY
N
2
2032-04-15
Floating
1.34100000
N
N
N
N
N
N
Oak Hill Credit Partners
N/A
OHA Credit Funding 3 LTD
67112RAU8
343000.00000000
PA
USD
339891.73000000
0.010123564728
Long
ABS-CBDO
CORP
KY
N
2
2035-07-02
Floating
1.90400000
N
N
N
N
N
N
Morgan Stanley Capital I Trust
N/A
Morgan Stanley Capital I Trust 2018-H3
61767YAZ3
38000.00000000
PA
USD
39260.97000000
0.001169375233
Long
ABS-MBS
CORP
US
N
2
2051-07-15
Fixed
4.17700000
N
N
N
N
N
N
BB-UBS Trust
N/A
BB-UBS Trust 2012-SHOW
05538UAJ2
330000.00000000
PA
USD
305104.21000000
0.009087429749
Long
ABS-MBS
CORP
US
N
2
2036-11-05
Variable
4.02600000
N
N
N
N
N
N
Intercontinental Exchange, Inc.
5493000F4ZO33MV32P92
Long: BRTVUY6N7 CDS USD R V 03MEVENT 1 CORPORATE / Short: BRTVUY6N7 CDS USD P F 5.00000 2 CORPORATE
000000000
250000.00000000
OU
Notional Amount
USD
-13280.84000000
-0.00039556550
N/A
DCR
US
N
2
Intercontinental Exchange, Inc.
5493000F4ZO33MV32P92
BEAZER HOMES USA
BEAZER HOMES USA
Y
buy protection
2024-06-20
0.00000000
USD
-7430.18000000
USD
250000.00000000
USD
-5850.66000000
N
N
N
DUKE ENERGY CAROLINAS
MWIUSDMN17TCR56VW396
Duke Energy Carolinas LLC
26442CBH6
309000.00000000
PA
USD
305247.61000000
0.009091700871
Long
DBT
CORP
US
N
2
2052-03-15
Fixed
3.55000000
N
N
N
N
N
JPMORGAN CHASE & CO
8I5DZWZKVSZI1NUHU748
JPMorgan Chase & Co
46647PBS4
375000.00000000
PA
USD
364637.78000000
0.010860617785
Long
DBT
CORP
US
N
2
2024-09-16
Fixed
0.65300000
N
N
N
N
N
N
MSCG Trust
N/A
MSCG Trust 2018-SELF
55358PAN6
122000.00000000
PA
USD
119934.47000000
0.003572209215
Long
ABS-MBS
CORP
US
N
2
2037-10-15
Floating
2.54700000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Pool
3132DMY33
275921.67000000
PA
USD
256681.54000000
0.007645176258
Long
ABS-MBS
USGSE
US
N
2
2051-09-01
Fixed
2.00000000
N
N
N
N
N
N
Pacific Gas & Electric Company
8YQ2GSDWYZXO2EDN3511
Pacific Gas & Electric Company 2020 Term Loan
69338CAH4
1352902.50000000
PA
USD
1338246.51000000
0.039859237428
Long
LON
CORP
US
N
2
2025-06-23
Floating
3.50000000
N
N
N
N
N
N
Nomura Asset Acceptance Corporation
N/A
Nomura Asset Acceptance Corp Alternative Loan Trust Series 2006-AF1
65536PAE0
226891.93000000
PA
USD
65519.99000000
0.001951491611
Long
ABS-MBS
CORP
US
N
2
2036-05-25
Variable
7.13400000
N
N
N
N
N
N
UMBS, TBA
N/A
Uniform Mortgage-Backed Security, TBA
01F022444
7206800.00000000
PA
USD
7122063.81000000
0.212128356221
Long
ABS-MBS
USGSE
US
N
2
2037-04-15
Fixed
2.50000000
N
N
N
N
N
N
Nelnet Student Loan Trust
N/A
Nelnet Student Loan Trust 2021-A
64035DAJ5
3661000.00000000
PA
USD
3404798.83000000
0.101410826740
Long
ABS-O
CORP
US
N
2
2062-04-20
Fixed
2.85000000
N
N
N
N
N
N
Oracle Corp
1Z4GXXU7ZHVWFCD8TV52
Oracle Corp
68389XBW4
7614000.00000000
PA
USD
6605041.30000000
0.196729008770
Long
DBT
CORP
US
N
2
2040-04-01
Fixed
3.60000000
N
N
N
N
N
N
DELL INT LLC / EMC CORP
N/A
Dell International LLC / EMC Corp
24703TAK2
91000.00000000
PA
USD
132986.49000000
0.003960959389
Long
DBT
CORP
US
N
2
2046-07-15
Fixed
8.35000000
N
N
N
N
N
N
Deutsche Bank AG
7LTWFZYICNSX8D621K86
PURCHASED USD / SOLD BRL
000000000
1.00000000
NC
-5138.46000000
-0.00015304736
N/A
DFE
US
N
2
Deutsche Bank AG
7LTWFZYICNSX8D621K86
1689603.60000000
BRL
349742.00000000
USD
2022-04-04
-5138.46000000
N
N
N
CSAIL Commercial Mortgage Trust
N/A
CSAIL 2017-CX10 Commercial Mortgage Trust
12595JAQ7
3940000.00000000
PA
USD
50272.04000000
0.001497336375
Long
ABS-MBS
CORP
US
N
2
2050-11-15
Variable
0.13100000
N
N
N
N
N
N
Extended Stay America Trust
N/A
Extended Stay America Trust 2021-ESH
30227FAJ9
844800.68000000
PA
USD
832072.66000000
0.024783013790
Long
ABS-MBS
CORP
US
N
2
2038-07-15
Floating
2.64700000
N
N
N
N
N
N
AT&T INC
549300Z40J86GGSTL398
AT&T Inc
00206RJW3
850000.00000000
PA
967961.24000000
0.028830410988
Long
DBT
CORP
US
N
2
2038-05-19
Fixed
2.60000000
N
N
N
N
N
N
Gilead Sciences Inc
549300WTZWR07K8MNV44
Gilead Sciences Inc
375558AX1
1258000.00000000
PA
USD
1382912.51000000
0.041189599724
Long
DBT
CORP
US
N
2
2044-04-01
Fixed
4.80000000
N
N
N
N
N
N
Dupont De Nemours Inc
5493004JF0SDFLM8GD76
DuPont de Nemours Inc
26078JAC4
2562000.00000000
PA
USD
2664603.67000000
0.079364354431
Long
DBT
CORP
US
N
2
2025-11-15
Fixed
4.49300000
N
N
N
N
N
N
MARRIOTT OWNERSHIP RESOR
BW4532OH033VURR0IT68
Marriott Ownership Resorts Inc
57164PAG1
353000.00000000
PA
USD
361825.00000000
0.010776840047
Long
DBT
CORP
US
N
2
2025-09-15
Fixed
6.12500000
N
N
N
N
N
N
NRG Energy Inc
5E2UPK5SW04M13XY7I38
NRG Energy Inc
629377CE0
357000.00000000
PA
USD
362856.59000000
0.010807565620
Long
DBT
CORP
US
N
2
2028-01-15
Fixed
5.75000000
N
N
N
N
N
N
UMBS, TBA
N/A
Uniform Mortgage-Backed Security, TBA
01F032641
52177006.00000000
PA
USD
52266685.23000000
1.556746235185
Long
ABS-MBS
USGSE
US
N
2
2052-04-15
Fixed
3.50000000
N
N
N
N
N
N
UNION PACIFIC CORP
549300LMMRSZZCZ8CL11
Union Pacific Corp
907818FS2
724000.00000000
PA
USD
717471.55000000
0.021369656969
Long
DBT
CORP
US
N
2
2071-04-06
Fixed
3.79900000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36180DQE0
119146.51000000
PA
USD
120739.05000000
0.003596173369
Long
ABS-MBS
USGA
US
N
2
2043-03-15
Fixed
3.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31402DGM6
76895.47000000
PA
USD
84491.63000000
0.002516555743
Long
ABS-MBS
USGSE
US
N
2
2034-08-01
Fixed
6.00000000
N
N
N
N
N
N
UBS Commercial Mortgage Trust
N/A
UBS Commercial Mortgage Trust 2019-C18
90278PBB5
7244369.64000000
PA
USD
403315.07000000
0.012012608300
Long
ABS-MBS
CORP
US
N
2
2052-12-15
Variable
1.03100000
N
N
N
N
N
N
Barclays Mortgage Loan Trust
N/A
Barclays Mortgage Trust 2021-NPL1
06744JAA4
4584747.06000000
PA
USD
4418490.84000000
0.131603313852
Long
ABS-MBS
CORP
US
N
2
2051-11-25
Variable
2.00000000
N
N
N
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
Long: SRY05A518 IRS USD R F 1.23900 2 CCPOIS / Short: SRY05A518 IRS USD P V 12MFEDL 1 CCPOIS
000000000
179388000.00000000
OU
Notional Amount
USD
-91317.46000000
-0.00271986087
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2022-09-21
188.84000000
USD
0.00000000
USD
179388000.00000000
USD
-91506.30000000
N
N
N
HUNTINGTON INGALLS INDUS
5TZLZ6WJTBVJ0QWBG121
Huntington Ingalls Industries Inc
446413AT3
1224000.00000000
PA
USD
1273017.72000000
0.037916419115
Long
DBT
CORP
US
N
2
2030-05-01
Fixed
4.20000000
N
N
N
N
N
N
Loanpal Solar Loan Ltd.
N/A
Loanpal Solar Loan 2021-1 Ltd
53948PAA6
988052.28000000
PA
USD
902805.90000000
0.026889780359
Long
ABS-O
CORP
US
N
2
2048-01-20
Fixed
2.29000000
N
N
N
N
N
N
BRASKEM IDESA SAPI
YH0V7ZHY352ITDGEYB83
Braskem Idesa SAPI
10554NAB4
385000.00000000
PA
USD
377323.10000000
0.011238445919
Long
DBT
CORP
MX
N
2
2032-02-20
Fixed
6.99000000
N
N
N
N
N
N
Octagon Investment Partners XVII LTD
54930007Y57X4ONHQV20
Octagon Investment Partners XVII Ltd
67590GBG3
3670000.00000000
PA
USD
3648831.44000000
0.108679258729
Long
ABS-CBDO
CORP
KY
N
2
2031-01-25
Floating
1.25800000
N
N
N
N
N
N
AMERICAN TOWER CORP
5493006ORUSIL88JOE18
American Tower Corp
03027XBS8
312000.00000000
PA
USD
272445.89000000
0.008114712300
Long
DBT
US
N
2
2031-09-15
Fixed
2.30000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
31307MNP7
1579963.17000000
PA
USD
1597556.39000000
0.047582697940
Long
ABS-MBS
USGSE
US
N
2
2030-04-01
Fixed
3.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31410KXB5
97817.25000000
PA
USD
105247.59000000
0.003134765267
Long
ABS-MBS
USGSE
US
N
2
2035-09-01
Fixed
5.00000000
N
N
N
N
N
N
United States Treasury
254900HROIFWPRGM1V77
United States Treasury Note/Bond
912828ZL7
41246000.00000000
PA
USD
38621401.12000000
1.150325882090
Long
DBT
UST
US
N
2
2025-04-30
Fixed
0.37500000
N
N
N
N
N
N
BANK OF AMERICA CORP
9DJT3UXIJIZJI4WXO774
Bank of America Corp
06051GKK4
3383000.00000000
PA
USD
3169846.57000000
0.094412850025
Long
DBT
CORP
US
N
2
2033-02-04
Fixed
2.97200000
N
N
N
N
N
N
GVC Holdings (Gibraltar) Limited
N/A
GVC Holdings (Gibraltar) Limited 2021 USD Term Loan B4
000000000
853550.00000000
PA
USD
844125.10000000
0.025141991799
Long
LON
CORP
GI
N
2
2027-03-16
Floating
3.74300000
N
N
N
N
N
N
INVITATION HOMES OP
549300147YMUQB3GW319
Invitation Homes Operating Partnership LP
46188BAB8
561000.00000000
PA
USD
507502.77000000
0.015115805088
Long
DBT
US
N
2
2028-11-15
Fixed
2.30000000
N
N
N
N
N
N
GENERAL MOTORS FINL CO
5493008B6JBRUJ90QL97
General Motors Financial Co Inc
37045XCK0
1754000.00000000
PA
USD
1783892.84000000
0.053132668552
Long
DBT
CORP
US
N
2
2025-04-09
Fixed
4.35000000
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36202E7F0
129693.51000000
PA
USD
136261.89000000
0.004058516114
Long
ABS-MBS
USGA
US
N
2
2039-07-20
Fixed
4.00000000
N
N
N
N
N
N
Lockheed Martin Corp
DPRBOZP0K5RM2YE8UU08
Lockheed Martin Corp
539830BD0
280000.00000000
PA
USD
285908.77000000
0.008515699806
Long
DBT
CORP
US
N
2
2045-03-01
Fixed
3.80000000
N
N
N
N
N
N
Raptor Acquisition Corp.
549300FU60SSFLTE0M84
Raptor Acquisition Corp. 2021 Term Loan
000000000
138652.50000000
PA
USD
138097.89000000
0.004113200777
Long
LON
CORP
CA
N
2
2026-11-01
Floating
4.93400000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
3128MFCX4
917123.26000000
PA
USD
908991.79000000
0.027074025082
Long
ABS-MBS
USGSE
US
N
2
2031-04-01
Fixed
2.50000000
N
N
N
N
N
N
GS Mortgage Securities Trust
5493005BBCF84ICNQ550
GS Mortgage Securities Corp II
36192QAL8
250000.00000000
PA
USD
239731.53000000
0.007140325718
Long
ABS-MBS
CORP
US
N
2
2030-12-10
Variable
3.45800000
N
N
N
N
N
N
American Rock Salt Company LLC
549300FBKBNV4GSVVR46
American Rock Salt Company LLC 2021 Term Loan
02932JAP2
216910.00000000
PA
USD
215283.18000000
0.006412139558
Long
LON
CORP
US
N
2
2028-06-09
Floating
4.75000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138WHD25
399910.14000000
PA
USD
396311.96000000
0.011804022944
Long
ABS-MBS
USGSE
US
N
2
2031-06-01
Fixed
2.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140FNBD5
184868.86000000
PA
USD
194152.67000000
0.005782774184
Long
ABS-MBS
USGSE
US
N
2
2047-10-01
Fixed
4.50000000
N
N
N
N
N
N
Rockford Tower CLO Ltd
5493000QG193Z8ZVLY16
Rockford Tower CLO 2021-1 Ltd
77341KAA9
1260000.00000000
PA
USD
1252131.30000000
0.037294323882
Long
ABS-CBDO
CORP
KY
N
2
2034-07-20
Floating
1.42400000
N
N
N
N
N
N
FISERV INC
GI7UBEJLXYLGR2C7GV83
Fiserv Inc
337738AU2
3972000.00000000
PA
USD
3909609.17000000
0.116446438676
Long
DBT
CORP
US
N
2
2029-07-01
Fixed
3.50000000
N
N
N
N
N
N
Silver Creek CLO
549300LSJSAR2PPV4U78
Silver Creek CLO Ltd
827551AL6
1682893.02000000
PA
USD
1678443.45000000
0.049991892737
Long
ABS-CBDO
CORP
KY
N
2
2030-07-20
Floating
1.49400000
N
N
N
N
N
N
Freddie Mac - STACR
S6XOOCT0IEG5ABCC6L87
Freddie Mac Structured Agency Credit Risk Debt Notes
35564KDX4
1160000.00000000
PA
USD
1080100.59000000
0.032170445087
Long
ABS-MBS
USGSE
US
N
2
2033-08-25
Floating
3.49900000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
312938GD9
99547.92000000
PA
USD
106004.34000000
0.003157304820
Long
ABS-MBS
USGSE
US
N
2
2039-12-01
Fixed
4.50000000
N
N
N
N
N
N
REPUBLIC OF ARGENTINA
549300KPBYGYF7HCHO27
Argentine Republic Government International Bond
040114HT0
1948000.00000000
PA
USD
593964.68000000
0.017691044981
Long
DBT
NUSS
AR
N
2
2035-07-09
Variable
1.12500000
N
N
N
N
N
N
BX Commercial Mortgage Trust 2019-XL
N/A
BX Commercial Mortgage Trust 2019-XL
056054AL3
3802050.00000000
PA
USD
3712482.83000000
0.110575094696
Long
ABS-MBS
CORP
US
N
2
2036-10-15
Floating
3.04700000
N
N
N
N
N
N
Citigroup Mortgage Loan Trust Inc
N/A
Citigroup Mortgage Loan Trust 2007-AHL2
17312TAJ2
1849097.79000000
PA
USD
1464048.32000000
0.043606203459
Long
ABS-MBS
CORP
US
N
2
2037-05-25
Floating
0.65700000
N
N
N
N
N
N
STANDARD INDUSTRIES INC
54930064UHXCIUWVI755
Standard Industries Inc/NJ
853496AD9
90000.00000000
PA
USD
86062.50000000
0.002563343595
Long
DBT
CORP
US
N
2
2028-01-15
Fixed
4.75000000
N
N
N
N
N
N
ONCOR ELECTRIC DELIVERY
549300SP2X2BS1KERD24
Oncor Electric Delivery Co LLC
68233JBK9
10000.00000000
PA
USD
11396.46000000
0.000339439857
Long
DBT
CORP
US
N
2
2029-03-15
Fixed
5.75000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140QNE57
2567038.92000000
PA
USD
2466371.23000000
0.073460065622
Long
ABS-MBS
USGSE
US
N
2
2052-02-01
Fixed
2.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140J7R64
803182.31000000
PA
USD
842472.86000000
0.025092780368
Long
ABS-MBS
USGSE
US
N
2
2047-11-01
Fixed
4.50000000
N
N
N
N
N
N
Palmer Square CLO Ltd
549300EYS8N79JYSXL17
Palmer Square CLO 2018-2 Ltd
69688LAA5
250000.00000000
PA
USD
241744.00000000
0.007200266483
Long
ABS-CBDO
CORP
KY
N
2
2031-07-16
Floating
5.83900000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31417FL48
13134.54000000
PA
USD
13013.96000000
0.000387616569
Long
ABS-MBS
USGSE
US
N
2
2028-02-01
Fixed
2.50000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36177Q3X9
74846.71000000
PA
USD
75699.40000000
0.002254682030
Long
ABS-MBS
USGA
US
N
2
2042-04-15
Fixed
3.50000000
N
N
N
N
N
N
City Brewing Company, LLC
N/A
City Brewing Company, LLC Closing Date Term Loan
17776EAB1
349245.00000000
PA
USD
321305.40000000
0.009569976928
Long
LON
CORP
US
N
2
2028-04-05
Floating
4.25000000
N
N
N
N
N
N
Cox Communications Inc
5493001NEDZNIFRP2R92
Cox Communications Inc
224044CH8
1381000.00000000
PA
USD
1383262.24000000
0.041200016318
Long
DBT
CORP
US
N
2
2024-08-15
Fixed
3.15000000
N
N
N
N
N
N
522 Funding CLO LTD
N/A
522 Funding CLO 2019-4 Ltd
33834WAE2
625000.00000000
PA
USD
612686.88000000
0.018248679624
Long
ABS-CBDO
CORP
KY
N
2
2030-04-20
Floating
2.65400000
N
N
N
N
N
N
MEDTRONIC GLOBAL HLDINGS
549300JXMTTP8GKYIX14
Medtronic Global Holdings SCA
58507LAQ2
700000.00000000
PA
694240.97000000
0.020677741693
Long
DBT
CORP
LU
N
2
2049-07-02
Fixed
1.75000000
N
N
N
N
N
N
GXO LOGISTICS INC
5493007CNWMXN78JRN66
GXO Logistics Inc
36262GAC5
819000.00000000
PA
USD
710154.88000000
0.021151732331
Long
DBT
CORP
US
N
2
2031-07-15
Fixed
2.65000000
N
N
N
N
N
N
Park Avenue Trust
N/A
245 Park Avenue Trust 2017-245P
90187LAC3
5000000.00000000
PA
USD
43133.00000000
0.001284702388
Long
ABS-MBS
CORP
US
N
2
2037-06-05
Variable
0.14900000
N
N
N
N
N
N
FEL ENERGY VI SARL
254900H2U8PBIY32VI94
FEL Energy VI Sarl
000000000
462145.32000000
PA
USD
414780.05000000
0.012354089003
Long
DBT
CORP
LU
Y
2
2040-12-01
Fixed
5.75000000
N
N
N
N
N
N
JPMorgan Chase & Co
8I5DZWZKVSZI1NUHU748
JPMorgan Chase & Co
46647PAK2
2266000.00000000
PA
USD
2329082.74000000
0.069370972560
Long
DBT
CORP
US
N
2
2048-07-24
Fixed
4.03200000
N
N
N
N
N
N
Fannie Mae - CAS
N/A
Connecticut Avenue Securities Trust 2021-R01
20754RAF3
2090448.00000000
PA
USD
1923368.94000000
0.057286918867
Long
ABS-MBS
USGSE
US
N
2
2041-10-25
Floating
3.19900000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31414J6R9
148453.60000000
PA
USD
163016.54000000
0.004855394670
Long
ABS-MBS
USGSE
US
N
2
2038-02-01
Fixed
5.50000000
N
N
N
N
N
N
WALT DISNEY COMPANY/THE
549300GZKULIZ0WOW665
Walt Disney Co/The
254687FS0
506000.00000000
PA
USD
586826.20000000
0.017478427674
Long
DBT
CORP
US
N
2
2050-03-23
Fixed
4.70000000
N
N
N
N
N
N
INTERPUBLIC GROUP COS
5493008IUOJ5VWTRC333
Interpublic Group of Cos Inc/The
460690BR0
738000.00000000
PA
USD
792362.90000000
0.023600271493
Long
DBT
CORP
US
N
2
2030-03-30
Fixed
4.75000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138WJQF8
568597.51000000
PA
USD
570778.69000000
0.017000457803
Long
ABS-MBS
USGSE
US
N
2
2036-12-01
Fixed
3.00000000
N
N
N
N
N
N
LoanCore 2018-CRE1 Issuer, Ltd.
N/A
LoanCore 2018-CRE1 Issuer Ltd
53946MAA5
138970.25000000
PA
USD
138783.42000000
0.004133619066
Long
ABS-CBDO
CORP
KY
N
2
2028-05-15
Floating
1.52700000
N
N
N
N
N
N
City of San Antonio TX Electric & Gas Systems Revenue
5493002G2FEH20Q4GQ04
SAN ANTONIO TX ELEC & GAS REVENUE
796253Y30
875000.00000000
PA
USD
1088228.31000000
0.032412526586
Long
DBT
MUN
US
N
2
2041-02-01
Fixed
5.80800000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138XFAL9
273659.33000000
PA
USD
275865.86000000
0.008216574995
Long
ABS-MBS
USGSE
US
N
2
2028-12-01
Fixed
3.00000000
N
N
N
N
N
N
ACProducts, Inc.
N/A
ACProducts, Inc. 2021 Term Loan B
00488YAB2
755205.00000000
PA
USD
687026.60000000
0.020462864027
Long
LON
CORP
US
N
2
2028-05-17
Floating
4.75000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140JHYV9
859641.37000000
PA
USD
901022.30000000
0.026836656412
Long
ABS-MBS
USGSE
US
N
2
2048-11-01
Fixed
4.50000000
N
N
N
N
N
N
AMER AIRLINE 17-1B PTT
N/A
American Airlines 2017-1 Class B Pass Through Trust
02378WAA7
263552.50000000
PA
USD
252643.53000000
0.007524905442
Long
DBT
CORP
US
N
2
2025-02-15
Fixed
4.95000000
N
N
N
N
N
N
Goldman Sachs International
W22LROWP2IHZNBB6K528
PURCHASED USD / SOLD MXN
000000000
1.00000000
NC
-2160.85000000
-0.00006436021
N/A
DFE
US
N
2
Goldman Sachs International
W22LROWP2IHZNBB6K528
1108446.73000000
MXN
53568.00000000
USD
2022-04-01
-2160.85000000
N
N
N
Freddie Mac - STACR
N/A
Freddie Mac STACR REMIC Trust 2021-DNA1
35564KBD0
1400000.00000000
PA
USD
1239718.48000000
0.036924612072
Long
ABS-MBS
USGSE
US
N
2
2051-01-25
Floating
2.74900000
N
N
N
N
N
N
TRANSCONT GAS PIPE LINE
N/A
Transcontinental Gas Pipe Line Co LLC
893574AR4
686000.00000000
PA
USD
667060.67000000
0.019868185290
Long
DBT
CORP
US
N
2
2050-05-15
Fixed
3.95000000
N
N
N
N
N
N
Atrium Hotel Portfolio Trust
N/A
Atrium Hotel Portfolio Trust 2017-ATRM
04965JAG8
1540000.00000000
PA
USD
1493499.08000000
0.044483384775
Long
ABS-MBS
CORP
US
N
2
2036-12-15
Floating
2.34700000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140XB2F6
564906.76000000
PA
USD
576850.86000000
0.017181315413
Long
ABS-MBS
USGSE
US
N
2
2050-05-01
Fixed
4.00000000
N
N
N
N
N
N
JPMorgan Chase Bank N.A.
7H6GLXDRUGQFU57RNE97
PURCHASED EUR / SOLD USD
000000000
1.00000000
NC
-815.54000000
-0.00002429059
N/A
DFE
XX
N
2
JPMorgan Chase Bank N.A.
7H6GLXDRUGQFU57RNE97
48143.12000000
USD
42782.00000000
EUR
2022-04-01
-815.54000000
N
N
N
HERC HOLDINGS INC
549300TP80QLITMSBP82
Herc Holdings Inc
42704LAA2
553000.00000000
PA
USD
560742.00000000
0.016701518253
Long
DBT
CORP
US
N
2
2027-07-15
Fixed
5.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138ERHD5
54023.19000000
PA
USD
53979.25000000
0.001607754420
Long
ABS-MBS
USGSE
US
N
2
2036-10-01
Fixed
3.00000000
N
N
N
N
N
N
AFFINITY GAMING
N/A
Affinity Gaming
00842XAA7
353000.00000000
PA
USD
343292.50000000
0.010224855557
Long
DBT
CORP
US
N
2
2027-12-15
Fixed
6.87500000
N
N
N
N
N
N
Citigroup Inc
6SHGI4ZSSLCXXQSBB395
Citigroup Inc
172967LP4
3224000.00000000
PA
USD
3224713.25000000
0.096047036260
Long
DBT
CORP
US
N
2
2028-07-24
Fixed
3.66800000
N
N
N
N
N
N
Capital Four CLO
213800PN6YNVO1EZOF27
Capital Four CLO I DAC
000000000
100000.00000000
PA
107166.29000000
0.003191913123
Long
ABS-CBDO
CORP
IE
Y
2
2033-01-15
Floating
6.47000000
N
N
N
N
N
N
SIMPAR EUROPE SA
54930068BSUST41D5C30
Simpar Europe SA
82883PAA2
520000.00000000
PA
USD
465920.00000000
0.013877275796
Long
DBT
CORP
LU
N
2
2031-01-26
Fixed
5.20000000
N
N
N
N
N
N
ING Financial Markets LLC
KBVRJ5K57JZ3E2AVWX40
ING Financial Markets LLC
000000000
2106377.60000000
PA
USD
2106377.60000000
0.062737772335
Long
RA
CORP
US
N
2
Repurchase
Y
0.26000000
2022-04-01
545762.44000000
USD
548676.57000000
USD
AMBS
1586418.29000000
USD
1599842.60000000
USD
ADAS
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140QNEL2
4930850.21000000
PA
USD
4591910.22000000
0.136768553732
Long
ABS-MBS
USGSE
US
N
2
2052-02-01
Fixed
2.00000000
N
N
N
N
N
N
VERIZON COMMUNICATIONS
2S72QS2UO2OESLG6Y829
Verizon Communications Inc
92343VFL3
3276000.00000000
PA
USD
2844852.85000000
0.084733017684
Long
DBT
CORP
US
N
2
2030-09-18
Fixed
1.50000000
N
N
N
N
N
Bank of America N.A.
B4TYDEB6GKMZO031MB27
PURCHASED ZAR / SOLD USD
000000000
1.00000000
NC
27122.16000000
0.000807824722
N/A
DFE
ZA
N
2
Bank of America N.A.
B4TYDEB6GKMZO031MB27
525000.00000000
USD
8067885.00000000
ZAR
2022-04-01
27122.16000000
N
N
N
SREIT Trust
N/A
SREIT Trust 2021-MFP2
85236WCQ7
672700.00000000
PA
USD
655810.39000000
0.019533099356
Long
ABS-MBS
CORP
US
N
2
2036-11-15
Floating
3.01500000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36176Q4Q4
80710.58000000
PA
USD
81592.44000000
0.002430204311
Long
ABS-MBS
USGA
US
N
2
2042-02-15
Fixed
3.50000000
N
N
N
N
N
N
Diameter Capital CLO
2549008BUJNKS7JJUU65
Diameter Capital Clo 2 Ltd
25255MAA8
250000.00000000
PA
USD
227565.75000000
0.006777971914
Long
ABS-CBDO
CORP
KY
N
2
2036-10-15
Floating
6.18300000
N
N
N
N
N
N
Ajax Mortgage Loan Trust
N/A
Ajax Mortgage Loan Trust 2020-D
00970CAA7
947065.95000000
PA
USD
915478.27000000
0.027267222781
Long
ABS-O
CORP
US
N
2
2060-06-25
Variable
2.25000000
N
N
N
N
N
N
DirecTV Financing, LLC
N/A
DirecTV Financing, LLC Term Loan
25460HAB8
841355.00000000
PA
USD
841442.50000000
0.025062091430
Long
LON
CORP
US
N
2
2027-08-02
Floating
5.75000000
N
N
N
N
N
N
Goldman Sachs & Co. LLC
FOR8UP27PHTHYVLBNG30
Long: BRY05AZE7 CDS USD R V 03MEVENT 1 SOVEREIGN / Short: BRY05AZE7 CDS USD P F 1.00000 2 SOVEREIGN
000000000
5397000.00000000
OU
Notional Amount
USD
-41474.65000000
-0.00123530897
N/A
DCR
US
N
2
Goldman Sachs & Co. LLC
FOR8UP27PHTHYVLBNG30
REPUBLIC OF INDONESIA
REPUBLIC OF INDONESIA
Y
buy protection
2027-06-20
66620.60000000
USD
0.00000000
USD
5397000.00000000
USD
-108095.25000000
N
N
N
CIFC Funding Ltd
N/A
CIFC Funding 2020-I Ltd
12555QAN6
250000.00000000
PA
USD
248441.75000000
0.007399756791
Long
ABS-CBDO
CORP
KY
N
2
2036-07-15
Floating
1.39100000
N
N
N
N
N
N
Barclays Bank PLC
G5GSEF7VJP5I7OUK5573
Long: BRWWEMUC2 CDS USD R V 03MEVENT 1 SOVEREIGN / Short: BRWWEMUC2 CDS USD P F 1.00000 2 SOVEREIGN
000000000
520000.00000000
OU
Notional Amount
USD
3159.15000000
0.000094094256
N/A
DCR
US
N
2
Barclays Bank PLC
G5GSEF7VJP5I7OUK5573
FED REPUBLIC OF BRAZIL
FED REPUBLIC OF BRAZIL
Y
buy protection
2024-12-20
7165.34000000
USD
0.00000000
USD
520000.00000000
USD
-4006.19000000
N
N
N
VERIZON COMMUNICATIONS
2S72QS2UO2OESLG6Y829
Verizon Communications Inc
92343VFV1
402000.00000000
PA
USD
327819.29000000
0.009763991025
Long
DBT
CORP
US
N
2
2060-11-20
Fixed
3.00000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Pool
3132D9DQ4
1402807.74000000
PA
USD
1398581.12000000
0.041656284181
Long
ABS-MBS
USGSE
US
N
2
2038-06-01
Fixed
3.00000000
N
N
N
N
N
N
ENERGY TRANSFER LP
MTLVN9N7JE8MIBIJ1H73
Energy Transfer LP
29278NAP8
5037000.00000000
PA
USD
4926948.40000000
0.146747557050
Long
DBT
CORP
US
N
2
2025-05-15
Fixed
2.90000000
N
N
N
N
N
N
ARES CLO Ltd
N/A
ARES LII CLO Ltd
04009AAL4
1330000.00000000
PA
USD
1323417.83000000
0.039417570013
Long
ABS-CBDO
CORP
KY
N
2
2031-04-22
Floating
1.30900000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138WKLH6
422798.98000000
PA
USD
427221.99000000
0.012724668143
Long
ABS-MBS
USGSE
US
N
2
2032-03-01
Fixed
3.00000000
N
N
N
N
N
N
Agate Bay Mortgage Loan Trust
549300GXWD0QSMEEID35
Agate Bay Mortgage Trust 2015-3
00841YCG1
150000.00000000
PA
USD
145533.18000000
0.004334658474
Long
ABS-MBS
CORP
US
N
2
2045-04-25
Variable
3.56700000
N
N
N
N
N
N
BNP Paribas SA
R0MUWSFPU8MPRO8K5P83
Long: BRWZJ0HZ2 TRS USD R V 12MSOFR BRWZJ0J15 IBOXXTRS / Short: BRWZJ0HZ2 TRS USD P E BRWZJ0J07 IBOXXTRS
000000000
1221000.00000000
OU
Notional Amount
USD
-5664.48000000
-0.00016871469
N/A
DCR
US
N
2
BNP Paribas SA
R0MUWSFPU8MPRO8K5P83
Markit iBoxx USD Liquid Investment Grade Index
IBOXIG INDEX
Y
equity-performance leg
2022-06-20
0.00000000
USD
0.00000000
USD
1221000.00000000
USD
-5664.48000000
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36202E4F3
18938.31000000
PA
USD
19897.34000000
0.000592635806
Long
ABS-MBS
USGA
US
N
2
2039-04-20
Fixed
4.00000000
N
N
N
N
N
N
JP Morgan Mortgage Trust
N/A
J.P. Morgan Mortgage Trust 2021-INV7
46654CAU9
181270.58000000
PA
USD
158446.69000000
0.004719283173
Long
ABS-MBS
CORP
US
N
2
2052-02-25
Variable
3.27200000
N
N
N
N
N
N
AT&T Inc
549300Z40J86GGSTL398
AT&T Inc
00206RHJ4
2248000.00000000
PA
USD
2378875.44000000
0.070854031949
Long
DBT
CORP
US
N
2
2029-03-01
Fixed
4.35000000
N
N
N
N
N
N
Freddie Mac - STACR
S6XOOCT0IEG5ABCC6L87
Freddie Mac Structured Agency Credit Risk Debt Notes
35564KNE5
1046708.00000000
PA
USD
976568.31000000
0.029086769771
Long
ABS-MBS
USGSE
US
N
2
2041-11-25
Floating
7.89900000
N
N
N
N
N
N
STANDARD CHARTERED PLC
U4LOSYZ7YG4W3S5F2G91
Standard Chartered PLC
853254CG3
3753000.00000000
PA
USD
3508667.88000000
0.104504532641
Long
DBT
CORP
GB
N
2
2028-01-12
Fixed
2.60800000
N
N
N
N
N
N
Anchorage Capital Europe CLO
635400HYNZWTWNENDW97
Anchorage Capital Europe CLO 2 DAC
000000000
264000.00000000
PA
283944.68000000
0.008457200024
Long
ABS-CBDO
CORP
IE
N
2
2034-04-15
Floating
2.40000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31418CQB3
217115.73000000
PA
USD
223553.71000000
0.006658474607
Long
ABS-MBS
USGSE
US
N
2
2047-10-01
Fixed
4.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31410K3E2
62291.31000000
PA
USD
68160.73000000
0.002030145193
Long
ABS-MBS
USGSE
US
N
2
2038-10-01
Fixed
6.00000000
N
N
N
N
N
N
Northwest Pipeline LLC
549300FFKMN9OW536A14
Northwest Pipeline LLC
66775VAB1
2329000.00000000
PA
USD
2388473.02000000
0.071139892751
Long
DBT
CORP
US
N
2
2027-04-01
Fixed
4.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140Q8D36
1452024.63000000
PA
USD
1522784.64000000
0.045355645663
Long
ABS-MBS
USGSE
US
N
2
2048-01-01
Fixed
4.50000000
N
N
N
N
N
N
AEP TRANSMISSION CO LLC
549300X123Z1I0LA3Y84
AEP Transmission Co LLC
00115AAL3
730000.00000000
PA
USD
646373.16000000
0.019252014527
Long
DBT
CORP
US
N
2
2049-09-15
Fixed
3.15000000
N
N
N
N
N
N
Freddie Mac - STACR
N/A
Freddie Mac STACR REMIC Trust 2021-HQA4
35564KPP8
377000.00000000
PA
USD
332940.50000000
0.009916524601
Long
ABS-MBS
USGSE
US
N
2
2041-12-25
Floating
7.09900000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138WFGY6
328728.99000000
PA
USD
325695.91000000
0.009700746842
Long
ABS-MBS
USGSE
US
N
2
2030-08-01
Fixed
2.50000000
N
N
N
N
N
N
Los Angeles Unified School District/CA
N/A
LOS ANGELES CA UNIF SCH DIST
544646ZR6
2020000.00000000
PA
USD
2564997.01000000
0.076397602430
Long
DBT
MUN
US
N
2
2034-07-01
Fixed
6.75800000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140KSBC0
420876.29000000
PA
USD
391934.39000000
0.011673638444
Long
ABS-MBS
USGSE
US
N
2
2050-11-01
Fixed
2.00000000
N
N
N
N
N
N
Options Clearing Corp.
549300CII6SLYGKNHA04
MARATHON OIL CORP JUL22 25 CALL
000000000
341.00000000
NC
USD
101959.00000000
0.003036815682
N/A
DE
US
N
1
Options Clearing Corp.
549300CII6SLYGKNHA04
Call
Purchased
Marathon Oil Corp
Marathon Oil Corp
100.00000000
25.00000000
USD
2022-07-15
XXXX
23882.32000000
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31417FSK5
270432.20000000
PA
USD
269985.84000000
0.008041440510
Long
ABS-MBS
USGSE
US
N
2
2043-03-01
Fixed
3.00000000
N
N
N
N
N
N
Morgan Stanley Capital I Trust
N/A
Morgan Stanley Capital I Trust 2018-SUN
61691MAQ0
120000.00000000
PA
USD
116382.24000000
0.003466407199
Long
ABS-MBS
CORP
US
N
2
2035-07-15
Floating
2.94700000
N
N
N
N
N
N
Arbor Multifamily Mortgage Securities Trust
N/A
Arbor Multifamily Mortgage Securities Trust 2020-MF1
03881BAS2
126000.00000000
PA
USD
94518.70000000
0.002815208765
Long
ABS-MBS
CORP
US
N
2
2053-05-15
Fixed
1.75000000
N
N
N
N
N
N
BSST Mortgage Trust
N/A
Beast Mortgage Trust
05601PAQ9
576000.00000000
PA
USD
561650.17000000
0.016728567801
Long
ABS-MBS
CORP
US
N
2
2036-04-15
Floating
3.29700000
N
N
N
N
N
N
Credit-Based Asset Servicing and Securitization
N/A
Credit-Based Asset Servicing and Securitization LLC
12498NAD5
157191.83000000
PA
USD
152866.32000000
0.004553073666
Long
ABS-O
CORP
US
N
2
2036-12-25
Variable
3.00400000
N
N
N
N
N
N
Trinitas CLO Ltd
635400UFTIJ9NEWTCB16
TRINITAS CLO IV LTD
89640XBM7
160000.00000000
PA
USD
158228.00000000
0.004712769562
Long
ABS-CBDO
CORP
KY
N
2
2031-10-18
Floating
1.64100000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138MKSW7
23577.48000000
PA
USD
23821.82000000
0.000709525167
Long
ABS-MBS
USGSE
US
N
2
2028-10-01
Fixed
3.00000000
N
N
N
N
N
N
OCTAGON INVESTMENT PARTNERS 24 LTD
N/A
Octagon Investment Partners 24 Ltd
67573ABU6
560000.00000000
PA
USD
557494.00000000
0.016604777628
Long
ABS-CBDO
CORP
KY
N
2
2031-04-21
Floating
1.95500000
N
N
N
N
N
N
Fanatics Commerce Intermediate Holdco, LLC
N/A
Fanatics Commerce Intermediate Holdco, LLC Term Loan B
30709UAB0
877800.00000000
PA
USD
871490.37000000
0.025957057474
Long
LON
CORP
US
N
2
2028-11-24
Floating
3.75000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138Y1XZ3
151478.98000000
PA
USD
152958.77000000
0.004555827259
Long
ABS-MBS
USGSE
US
N
2
2029-08-01
Fixed
3.00000000
N
N
N
N
N
N
GENERATE CLO 9 LTD
N/A
GENERATE CLO 9 LTD
37147MAA5
500000.00000000
PA
USD
477475.50000000
0.014221452608
Long
ABS-CBDO
CORP
KY
N
2
2034-10-20
Floating
6.97600000
N
N
N
N
N
N
Oak Hill Credit Partners
N/A
OHA Credit Funding 4 Ltd
67098DAS2
250000.00000000
PA
USD
247033.00000000
0.007357797630
Long
ABS-CBDO
CORP
KY
N
2
2036-10-22
Floating
1.40900000
N
N
N
N
N
N
FIDELITY NATL INFO SERV
6WQI0GK1PRFVBA061U48
Fidelity National Information Services Inc
000000000
900000.00000000
PA
1053082.29000000
0.031365713801
Long
DBT
CORP
US
N
2
2039-05-21
Fixed
2.95000000
N
N
N
N
N
N
BB-UBS Trust
N/A
BB-UBS Trust 2012-SHOW
05538UAL7
85480000.00000000
PA
USD
1270309.73000000
0.037835762512
Long
ABS-MBS
CORP
US
N
2
2036-11-05
Variable
0.59600000
N
N
N
N
N
N
DEVON ENERGY CORPORATION
54930042348RKR3ZPN35
Devon Energy Corp
25179MBE2
73000.00000000
PA
USD
77284.34000000
0.002301888952
Long
DBT
CORP
US
N
2
2028-06-15
Fixed
5.87500000
N
N
N
N
N
N
BHMS Mortgage Trust
N/A
BHMS 2018-ATLS
05549GAA9
260000.00000000
PA
USD
257305.23000000
0.007663752662
Long
ABS-MBS
CORP
US
N
2
2035-07-15
Floating
1.64700000
N
N
N
N
N
N
OVINTIV EXPLORATION INC
T8W3X1PFLPW2YE0UIP44
Ovintiv Exploration Inc
651290AQ1
1588000.00000000
PA
USD
1669563.19000000
0.049727397079
Long
DBT
CORP
US
N
2
2024-07-01
Fixed
5.62500000
N
N
N
N
N
Morgan Stanley Capital Services LLC
4PQUHN3JPFGFNF3BB653
Long: BRTBK0ZP9 CDS USD R V 01MEVENT 1 CMBX / Short: BRTBK0ZP9 CDS USD P F .50000 2 CMBX
000000000
1960000.00000000
OU
Notional Amount
USD
-11504.46000000
-0.00034265660
N/A
DCR
US
N
2
Morgan Stanley Capital Services LLC
4PQUHN3JPFGFNF3BB653
CMBX.NA.AAA.9
137BENAI7
Y
buy protection
2058-09-17
26422.91000000
USD
0.00000000
USD
1960000.00000000
USD
-37927.37000000
N
N
N
AT&T INC
549300Z40J86GGSTL398
AT&T Inc
00206RMM1
2570000.00000000
PA
USD
2283302.08000000
0.068007410479
Long
DBT
CORP
US
N
2
2033-12-01
Fixed
2.55000000
N
N
N
N
N
N
Gracie Point International Funding
N/A
GRACIE POINT INTERNATIONAL FUNDING 2021-1
38411EAC6
160000.00000000
PA
USD
158084.21000000
0.004708486824
Long
ABS-O
CORP
US
N
2
2023-11-01
Floating
2.63100000
N
N
N
N
N
N
INVESCO GOVT AND AGCY LEX
N/A
INVESCO GOVT AND AGCY LEX
000000000
2000000.00000000
NS
USD
2000000.00000000
0.059569350087
Long
STIV
RF
US
N
1
N
N
DUKE ENERGY FLORIDA LLC
7MOHLM3DKE63RX2ZCN83
Duke Energy Florida LLC
26444HAJ0
456000.00000000
PA
USD
405923.89000000
0.012090311156
Long
DBT
CORP
US
N
2
2030-06-15
Fixed
1.75000000
N
N
N
N
N
N
University of California
N/A
UNIV OF CALIFORNIA CA REVENUES
91412GHA6
239000.00000000
PA
USD
266742.59000000
0.007944841363
Long
DBT
MUN
US
N
2
2112-05-15
Fixed
4.85800000
N
N
N
N
N
N
BX Trust
N/A
BX Trust 2021-SDMF
12434CAU8
276000.00000000
PA
USD
266834.65000000
0.007947583340
Long
ABS-MBS
CORP
US
N
2
2034-09-15
Floating
4.43000000
N
N
N
N
N
N
Credit Suisse Mortgage Trust
N/A
CSMC 2021-JR1 Trust
12657XAA6
5725384.96000000
PA
USD
5497877.63000000
0.163752498639
Long
ABS-MBS
CORP
US
N
2
2066-09-27
Variable
2.46500000
N
N
N
N
N
N
Barclays Bank PLC
G5GSEF7VJP5I7OUK5573
PURCHASED USD / SOLD ZAR
000000000
1.00000000
NC
-41417.33000000
-0.00123360171
N/A
DFE
US
N
2
Barclays Bank PLC
G5GSEF7VJP5I7OUK5573
17093625.84000000
ZAR
1126000.00000000
USD
2022-04-20
-41417.33000000
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138WFG91
427598.98000000
PA
USD
432054.42000000
0.012868600500
Long
ABS-MBS
USGSE
US
N
2
2030-08-01
Fixed
3.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138M1YD4
59578.50000000
PA
USD
60765.87000000
0.001809891691
Long
ABS-MBS
USGSE
US
N
2
2042-07-01
Fixed
3.50000000
N
N
N
N
N
N
Barclays Bank PLC
G5GSEF7VJP5I7OUK5573
BRWZE8JJ4 BLACKROCK FXVAN PUT USD CLP 815.0000000
000000000
2782000.00000000
OU
Notional Amount
USD
106661.88000000
0.003176889435
N/A
DFE
US
N
2
Barclays Bank PLC
G5GSEF7VJP5I7OUK5573
Put
Purchased
Barclays Bank PLC
G5GSEF7VJP5I7OUK5573
Barclays Bank PLC
G5GSEF7VJP5I7OUK5573
FX Contract
N/A
1.00000000
NC
USD
106661.88000000
0.00000000
DFE
TR
2267330000.00000000
USD
2782000.00000000
TRY
2022-05-06
1.00000000
815.00000000
USD
2022-05-06
XXXX
34135.14000000
N
N
N
BANK OF AMERICA CORP
9DJT3UXIJIZJI4WXO774
Bank of America Corp
06051GKJ7
1680000.00000000
PA
USD
1605211.15000000
0.047810692479
Long
DBT
CORP
US
N
2
2028-02-04
Fixed
2.55100000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36196FZH0
325706.90000000
PA
USD
332010.14000000
0.009888814131
Long
ABS-MBS
USGA
US
N
2
2046-10-20
Fixed
3.50000000
N
N
N
N
N
N
BANK OF AMERICA CORP
9DJT3UXIJIZJI4WXO774
Bank of America Corp
06051GHV4
2381000.00000000
PA
USD
2303913.86000000
0.068621325648
Long
DBT
CORP
US
N
2
2030-07-23
Fixed
3.19400000
N
N
N
N
N
N
Motel 6 Trust
N/A
Motel Trust 2021-MTL6
61977KAN6
387701.82000000
PA
USD
378162.07000000
0.011263434368
Long
ABS-MBS
CORP
US
N
2
2038-09-15
Floating
3.94700000
N
N
N
N
N
N
SOUTHERN CAL EDISON
9R1Z5I36FERIBVKW4P77
Southern California Edison Co
842400GQ0
324000.00000000
PA
USD
335178.58000000
0.009983185086
Long
DBT
CORP
US
N
2
2029-03-01
Fixed
4.20000000
N
N
N
N
N
N
EMBRAER NETHERLANDS FINA
724500PBR8LR26XBSP67
Embraer Netherlands Finance BV
29082HAC6
205000.00000000
PA
USD
216787.50000000
0.006456945241
Long
DBT
CORP
NL
N
2
2028-01-17
Fixed
6.95000000
N
N
N
N
N
N
Elmwood CLO II Ltd.
N/A
Elmwood CLO II Ltd
29001LAN1
250000.00000000
PA
USD
248202.00000000
0.007392615915
Long
ABS-CBDO
CORP
KY
N
2
2034-04-20
Floating
1.90400000
N
N
N
N
N
N
AMERICAN INTL GROUP
ODVCVCQG2BP6VHV36M30
American International Group Inc
026874DA2
820000.00000000
PA
USD
884849.50000000
0.026354954820
Long
DBT
CORP
US
N
2
2044-07-16
Fixed
4.50000000
N
N
N
N
N
N
Chicago Board of Trade
549300EX04Q2QBFQTQ27
US 2YR NOTE (CBT) JUN22
000000000
790.00000000
NC
USD
-1773058.45000000
-0.05280996976
N/A
DIR
US
N
1
Chicago Board of Trade
549300EX04Q2QBFQTQ27
Long
CBOT 2 Year US Treasury Note Future
TUM2 COMDTY
2022-06-30
169191340.49000000
USD
-1773058.45000000
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Pool
3132A5H40
347825.30000000
PA
USD
351883.52000000
0.010480736296
Long
ABS-MBS
USGSE
US
N
2
2048-01-01
Fixed
3.50000000
N
N
N
N
N
N
Citibank N.A.
E57ODZWZ7FF32TWEFA76
PURCHASED CLP / SOLD USD
000000000
1.00000000
NC
-9185.58000000
-0.00027358951
N/A
DFE
CL
N
2
Citibank N.A.
E57ODZWZ7FF32TWEFA76
499000.00000000
USD
386475500.00000000
CLP
2022-04-20
-9185.58000000
N
N
N
Madison Park Funding Ltd
549300FNRP3W5DX0O430
Madison Park Funding XXVI Ltd
55819YAA8
2030000.00000000
PA
USD
2022951.84000000
0.060252963183
Long
ABS-CBDO
CORP
KY
N
2
2030-07-29
Floating
1.49900000
N
N
N
N
N
N
HSBC Bank PLC
MP6I5ZYZBEU3UXPYFY54
PURCHASED MXN / SOLD USD
000000000
1.00000000
NC
53549.09000000
0.001594942244
N/A
DFE
MX
N
2
HSBC Bank PLC
MP6I5ZYZBEU3UXPYFY54
973742.00000000
USD
20489972.85000000
MXN
2022-04-20
53549.09000000
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140QM4G6
4826757.02000000
PA
USD
4632918.03000000
0.137989958027
Long
ABS-MBS
USGSE
US
N
2
2052-01-01
Fixed
2.50000000
N
N
N
N
N
N
State of California
N/A
CALIFORNIA ST
13063A5G5
780000.00000000
PA
USD
1156620.66000000
0.034449570506
Long
DBT
MUN
US
N
2
2039-04-01
Fixed
7.55000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31418CR89
567681.80000000
PA
USD
572598.51000000
0.017054660550
Long
ABS-MBS
USGSE
US
N
2
2047-12-01
Fixed
3.50000000
N
N
N
N
N
N
NRG Energy Inc
5E2UPK5SW04M13XY7I38
NRG Energy Inc
629377CL4
1196000.00000000
PA
USD
1196489.68000000
0.035637056311
Long
DBT
CORP
US
N
2
2029-06-15
Fixed
4.45000000
N
N
N
N
N
SOUTHERN CAL EDISON
9R1Z5I36FERIBVKW4P77
Southern California Edison Co
842400GU1
1858000.00000000
PA
USD
1679667.45000000
0.050028349179
Long
DBT
CORP
US
N
2
2030-06-01
Fixed
2.25000000
N
N
N
N
N
N
UMBS, TBA
N/A
Uniform Mortgage-Backed Security, TBA
01F030652
5204174.00000000
PA
USD
5078427.21000000
0.151259304182
Long
ABS-MBS
USGSE
US
N
2
2052-05-15
Fixed
3.00000000
N
N
N
N
N
N
CIFC European Funding CLO
6354004PQUAJERUBIO61
CIFC European Funding CLO IV DAC
000000000
250000.00000000
PA
258601.64000000
0.007702365813
Long
ABS-CBDO
CORP
IE
Y
2
2035-08-18
Floating
5.97000000
N
N
N
N
N
N
CEDAR FAIR LP
549300TUVLNQQ6BVKH61
Cedar Fair LP
150190AE6
451000.00000000
PA
USD
444244.02000000
0.013231663775
Long
DBT
CORP
US
N
2
2029-07-15
Fixed
5.25000000
N
N
N
N
N
N
ASHTON WOODS USA/FINANCE
N/A
Ashton Woods USA LLC / Ashton Woods Finance Co
045086AK1
1207000.00000000
PA
USD
1236631.85000000
0.036832677800
Long
DBT
CORP
US
N
2
2028-01-15
Fixed
6.62500000
N
N
N
N
N
N
Conseco Financial Corp
N/A
Conseco Finance Corp
393505N99
109241.49000000
PA
USD
111018.17000000
0.003306640117
Long
ABS-O
CORP
US
N
2
2030-09-01
Fixed
6.28000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140HBRA8
58410.99000000
PA
USD
61334.76000000
0.001826835895
Long
ABS-MBS
USGSE
US
N
2
2048-03-01
Fixed
4.50000000
N
N
N
N
N
N
American Municipal Power Inc
EARKGGZJJEMVD66XQ486
AMERICAN MUNI PWR-OHIO INC OH REVENUE
02765UEK6
510000.00000000
PA
USD
844883.70000000
0.025164586454
Long
DBT
MUN
US
N
2
2050-02-15
Fixed
8.08400000
N
N
N
N
N
N
SUZANO AUSTRIA GMBH
254900287ZNSGVP1R341
Suzano Austria GmbH
86964WAJ1
135000.00000000
PA
USD
127102.50000000
0.003785706659
Long
DBT
CORP
AT
N
2
2031-01-15
Fixed
3.75000000
N
N
N
N
N
N
Madison Park Euro Funding
635400X2NOVLPNW79680
Madison Park Euro Funding XVI DAC
000000000
250000.00000000
PA
268422.38000000
0.007994873362
Long
ABS-CBDO
CORP
IE
N
2
2034-05-25
Floating
3.20000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140XFK67
21240204.67000000
PA
USD
19254933.29000000
0.573501931030
Long
ABS-MBS
USGSE
US
N
2
2041-11-01
Fixed
1.50000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
31307NN26
113477.45000000
PA
USD
112505.88000000
0.003350951076
Long
ABS-MBS
USGSE
US
N
2
2030-07-01
Fixed
2.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140E0V36
78052.35000000
PA
USD
78866.37000000
0.002349009202
Long
ABS-MBS
USGSE
US
N
2
2030-08-01
Fixed
3.00000000
N
N
N
N
N
N
Freddie Mac - STACR
N/A
Freddie Mac STACR REMIC Trust 2021-DNA3
35564KFG9
1148271.00000000
PA
USD
1074353.70000000
0.031999275836
Long
ABS-MBS
USGSE
US
N
2
2033-10-25
Floating
3.59900000
N
N
N
N
N
N
ALLEGIANT TRAVEL CO
549300JM9OZXOHWL2K18
Allegiant Travel Co
01748XAC6
892000.00000000
PA
USD
932140.00000000
0.027763486995
Long
DBT
CORP
US
N
2
2024-02-05
Fixed
8.50000000
N
N
N
N
N
N
TEXTRON INC
3PPKBHUG1HD6BO7RNR87
Textron Inc
883203CC3
446000.00000000
PA
USD
403790.51000000
0.012026769126
Long
DBT
CORP
US
N
2
2031-03-15
Fixed
2.45000000
N
N
N
N
N
N
MASTR Resecuritization Trust
N/A
MASTR Resecuritization Trust 2008-3
57643EAA0
258855.84000000
PA
USD
143572.32000000
0.004276254896
Long
ABS-MBS
CORP
US
N
2
2037-08-25
Variable
0.62100000
N
N
N
N
N
N
TD Prime Services LLC
549300ZBQI1JB1844X09
TD Prime Services LLC
000000000
3000000.00000000
PA
USD
3000000.00000000
0.089354025131
Long
RA
CORP
US
N
2
Repurchase
Y
0.40000000
2022-04-01
26927.68000000
USD
3474564.90000000
USD
EQT
N
N
Volta Inc
N/A
Volta Inc
92873V110
20140.00000000
NS
USD
19133.00000000
0.000569870187
N/A
DE
US
N
1
N/A
N/A
Call
Purchased
Volta Inc
Volta Inc
11.50000000
11.50000000
USD
2026-08-26
XXXX
-51169.69000000
N
N
N
HSBC Bank PLC
MP6I5ZYZBEU3UXPYFY54
PURCHASED EUR / SOLD USD
000000000
1.00000000
NC
-12269.71000000
-0.00036544932
N/A
DFE
XX
N
2
HSBC Bank PLC
MP6I5ZYZBEU3UXPYFY54
739753.93000000
USD
657613.00000000
EUR
2022-04-01
-12269.71000000
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140FBD72
1989954.83000000
PA
USD
2005946.66000000
0.059746469423
Long
ABS-MBS
USGSE
US
N
2
2031-08-01
Fixed
3.00000000
N
N
N
N
N
N
Citigroup Commercial Mortgage Trust
N/A
Citigroup Commercial Mortgage Trust 2016-P3
29429CAH8
10000.00000000
PA
USD
9673.22000000
0.000288113714
Long
ABS-MBS
CORP
US
N
2
2049-04-15
Variable
4.88800000
N
N
N
N
N
N
FIDELITY NATL INFO SERV
6WQI0GK1PRFVBA061U48
Fidelity National Information Services Inc
31620MBD7
470000.00000000
PA
516748.09000000
0.015391173940
Long
DBT
CORP
US
N
2
2027-05-21
Fixed
1.50000000
N
N
N
N
N
N
COMM Mortgage Trust
N/A
COMM 2015-3BP Mortgage Trust
12592TAC9
60958000.00000000
PA
USD
158490.80000000
0.004720596975
Long
ABS-MBS
CORP
US
N
2
2035-02-10
Variable
0.06000000
N
N
N
N
N
N
Chesapeake Energy Corp
X2MT1W32SPAZ9WSKLE78
Chesapeake Energy Corp
165167180
411.00000000
NS
USD
22880.37000000
0.000681484385
N/A
DE
US
N
1
N/A
N/A
Call
Purchased
Chesapeake Energy Corp
Chesapeake Energy Corp
35.70800000
36.18000000
USD
2026-02-09
XXXX
-142794.14000000
N
N
N
Morgan Stanley
IGJSJL3JD5P30I6NJZ34
Morgan Stanley
6174468G7
9249000.00000000
PA
USD
9670613.35000000
0.288036076102
Long
DBT
CORP
US
N
2
2030-01-23
Fixed
4.43100000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138ELS87
218867.86000000
PA
USD
244298.46000000
0.007276350244
Long
ABS-MBS
USGSE
US
N
2
2041-06-01
Fixed
6.00000000
N
N
N
N
N
N
OVG Business Services, LLC
N/A
OVG Business Services, LLC Initial Term Loan
000000000
508000.00000000
PA
USD
492760.00000000
0.014676696474
Long
LON
CORP
US
N
2
2028-10-13
Floating
7.25000000
N
N
N
N
N
N
Citibank N.A.
E57ODZWZ7FF32TWEFA76
PURCHASED RUB / SOLD USD
000000000
1.00000000
NC
12797.87000000
0.000381180399
N/A
DFE
RU
N
2
Citibank N.A.
E57ODZWZ7FF32TWEFA76
42624.00000000
USD
4741920.00000000
RUB
2022-05-25
12797.87000000
N
N
N
INTERCONTINENTALEXCHANGE
5493000F4ZO33MV32P92
Intercontinental Exchange Inc
45866FAJ3
610000.00000000
PA
USD
620956.82000000
0.018494997099
Long
DBT
CORP
US
N
2
2028-09-21
Fixed
3.75000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31416WEW8
81262.57000000
PA
USD
86457.52000000
0.002575109138
Long
ABS-MBS
USGSE
US
N
2
2040-05-01
Fixed
4.50000000
N
N
N
N
N
N
Ajax Mortgage Loan Trust
N/A
Ajax Mortgage Loan Trust 2021-G
009703AA7
8439566.67000000
PA
USD
7991577.59000000
0.238026541604
Long
ABS-MBS
CORP
US
N
2
2061-06-25
Variable
1.87500000
N
N
N
N
N
N
CHARTER COMM OPT LLC/CAP
N/A
Charter Communications Operating LLC / Charter Communications Operating Capital
161175BA1
3637000.00000000
PA
USD
4140300.10000000
0.123317493061
Long
DBT
CORP
US
N
2
2045-10-23
Fixed
6.48400000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140Q9W74
152360.17000000
PA
USD
155828.21000000
0.004641292597
Long
ABS-MBS
USGSE
US
N
2
2048-10-01
Fixed
4.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140QC6E1
667795.02000000
PA
USD
681976.37000000
0.020312444567
Long
ABS-MBS
USGSE
US
N
2
2050-03-01
Fixed
4.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140JR7K1
1198557.66000000
PA
USD
1115827.53000000
0.033234560385
Long
ABS-MBS
USGSE
US
N
2
2051-03-01
Fixed
2.00000000
N
N
N
N
N
N
FirstEnergy Corp
549300SVYJS666PQJH88
FirstEnergy Corp
337932AH0
1223000.00000000
PA
USD
1230766.05000000
0.036657966854
Long
DBT
CORP
US
N
2
2027-07-15
Fixed
4.40000000
N
N
N
N
N
N
ONCOR ELECTRIC DELIVERY
549300SP2X2BS1KERD24
Oncor Electric Delivery Co LLC
68233JBR4
937000.00000000
PA
USD
858508.11000000
0.025570385078
Long
DBT
CORP
US
N
2
2049-09-15
Fixed
3.10000000
N
N
N
N
N
N
TORONTO-DOMINION BANK
PT3QB789TSUIDF371261
Toronto-Dominion Bank/The
89114TZV7
720000.00000000
PA
USD
708583.55000000
0.021104930778
Long
DBT
CORP
CA
N
2
2032-03-10
Fixed
3.20000000
N
N
N
N
N
N
Oakwood Mortgage Investors Inc.
N/A
Oakwood Mortgage Investors Inc
67087TDS7
817866.99000000
PA
USD
687394.71000000
0.020473828064
Long
ABS-O
CORP
US
N
2
2032-06-15
Variable
7.62000000
N
N
N
N
N
N
International Paper Co
824LMFJDH41EY779Q875
International Paper Co
460146CH4
367000.00000000
PA
USD
436958.51000000
0.013014667227
Long
DBT
CORP
US
N
2
2041-11-15
Fixed
6.00000000
N
N
N
N
N
N
Palmer Square CLO Ltd
549300EYS8N79JYSXL17
Palmer Square CLO 2018-2 Ltd
69688MAA3
1240000.00000000
PA
USD
1234082.72000000
0.036756752792
Long
ABS-CBDO
CORP
KY
N
2
2031-07-16
Floating
1.34100000
N
N
N
N
N
N
Barclays Bank PLC
G5GSEF7VJP5I7OUK5573
PURCHASED USD / SOLD MXN
000000000
1.00000000
NC
-8607.81000000
-0.00025638082
N/A
DFE
US
N
2
Barclays Bank PLC
G5GSEF7VJP5I7OUK5573
4433068.25000000
MXN
214271.44000000
USD
2022-04-01
-8607.81000000
N
N
N
PETROLEOS MEXICANOS
549300CAZKPF4HKMPX17
Petroleos Mexicanos
71654QDH2
472000.00000000
PA
USD
494844.80000000
0.014738791565
Long
DBT
CORP
MX
N
2
2025-10-16
Fixed
6.87500000
N
N
N
N
N
N
BAUSCH HEALTH COS INC
B3BS7ACMDUWISF18KY76
Bausch Health Cos Inc
071734AP2
1125000.00000000
PA
USD
1132132.50000000
0.033720198618
Long
DBT
CORP
CA
N
2
2027-02-01
Fixed
6.12500000
N
N
N
N
N
N
CROWN CASTLE INTL CORP
54930012H97VSM0I2R19
Crown Castle International Corp
22822VAN1
2982000.00000000
PA
USD
2825501.12000000
0.084156632694
Long
DBT
US
N
2
2029-11-15
Fixed
3.10000000
N
N
N
N
N
N
Rad CLO Ltd
N/A
Rad CLO 15 Ltd
750100AA7
250000.00000000
PA
USD
242361.75000000
0.007218665966
Long
ABS-CBDO
CORP
KY
N
2
2034-01-20
Floating
6.44700000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36241LVF0
399574.46000000
PA
USD
440698.72000000
0.013126068167
Long
ABS-MBS
USGA
US
N
2
2040-12-15
Fixed
5.00000000
N
N
N
N
N
N
Digital Room Holdings, Inc.
549300I680V3FDWE2N30
Digital Room Holdings, Inc. 2021 Term Loan
000000000
517000.00000000
PA
USD
509459.56000000
0.015174087442
Long
LON
CORP
US
N
2
2028-12-21
Floating
5.75000000
N
N
N
N
N
N
VICI PROPERTIES / NOTE
N/A
VICI Properties LP / VICI Note Co Inc
92564RAC9
4832000.00000000
PA
USD
4760728.00000000
0.141796736451
Long
DBT
US
N
2
2025-02-15
Fixed
3.50000000
N
N
N
N
N
REALTY INCOME CORP
549300CUWDAUZSH43859
Realty Income Corp
756109AX2
920000.00000000
PA
USD
903446.63000000
0.026908864293
Long
DBT
US
N
2
2031-01-15
Fixed
3.25000000
N
N
N
N
N
N
Morgan Stanley Capital I Trust
N/A
Morgan Stanley Capital I Trust 2017-H1
61691JAA2
1190000.00000000
PA
USD
113146.39000000
0.003370028458
Long
ABS-MBS
CORP
US
N
2
2050-06-15
Variable
2.16100000
N
N
N
N
N
N
BX Trust
N/A
BX Commercial Mortgage Trust 2021-NWM
12434AAA6
2861000.00000000
PA
USD
2824824.94000000
0.084136492893
Long
ABS-MBS
CORP
US
N
2
2033-02-15
Floating
1.30700000
N
N
N
N
N
N
Long Beach Mortgage Loan Trust
N/A
Long Beach Mortgage Loan Trust 2006-5
54251PAD9
494385.05000000
PA
USD
303820.53000000
0.009049195757
Long
ABS-O
CORP
US
N
2
2036-06-25
Floating
0.75700000
N
N
N
N
N
N
United States Treasury
254900HROIFWPRGM1V77
United States Treasury Note/Bond
912810RD2
3865000.00000000
PA
USD
4571268.38000000
0.136153743235
Long
DBT
UST
US
N
2
2043-11-15
Fixed
3.75000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Pool
3132DVL60
10845375.15000000
PA
USD
10099976.75000000
0.300824525447
Long
ABS-MBS
USGSE
US
N
2
2052-01-01
Fixed
2.00000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
3132XWA84
126949.18000000
PA
USD
129810.85000000
0.003866373984
Long
ABS-MBS
USGSE
US
N
2
2048-01-01
Fixed
3.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140X9WD3
8572746.11000000
PA
USD
8678372.89000000
0.258482516436
Long
ABS-MBS
USGSE
US
N
2
2049-06-01
Fixed
3.50000000
N
N
N
N
N
N
OP SERVICIOS MEGA
4469000001BP4DCM0P31
Operadora de Servicios Mega SA de CV Sofom ER
68373NAA3
892000.00000000
PA
USD
682380.00000000
0.020324466556
Long
DBT
CORP
MX
N
2
2025-02-11
Fixed
8.25000000
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140HLPX8
39800.67000000
PA
USD
41445.85000000
0.001234451174
Long
ABS-MBS
USGSE
US
N
2
2048-07-01
Fixed
4.50000000
N
N
N
N
N
N
Madison Park Funding Ltd
N/A
Madison Park Funding XLV Ltd
55820BAJ6
790000.00000000
PA
USD
786340.72000000
0.023420902818
Long
ABS-CBDO
CORP
KY
N
2
2034-07-15
Floating
1.36100000
N
N
N
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
Long: SRWLD91Y0 IRS USD R F 2.47375 2 CCPINFLATIONZERO / Short: SRWLD91Y0 IRS USD P V 12MUSCPI 1 CCPINFLATIONZERO
000000000
19740210.00000000
OU
Notional Amount
USD
-2265876.45000000
-0.06748839375
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
Inflation based on US CPI Urban Consumers NSA
2031-04-26
372.07000000
USD
0.00000000
USD
19740210.00000000
USD
-2266248.52000000
N
N
N
IMT Trust
N/A
IMT Trust 2017-APTS
44974ABC0
570000.00000000
PA
USD
552188.36000000
0.016446750865
Long
ABS-MBS
CORP
US
N
2
2034-06-15
Variable
3.49700000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36202FLN4
396831.84000000
PA
USD
416936.58000000
0.012418320549
Long
ABS-MBS
USGA
US
N
2
2040-10-20
Fixed
4.00000000
N
N
N
N
N
N
Oportun Funding LLC
N/A
Oportun Issuance Trust 2021-C
68377WAC5
383000.00000000
PA
USD
365322.67000000
0.010881017012
Long
ABS-O
CORP
US
N
2
2031-10-08
Fixed
3.61000000
N
N
N
N
N
N
AMERICAN TOWER CORP
5493006ORUSIL88JOE18
American Tower Corp
03027XBB5
17000.00000000
PA
USD
15834.95000000
0.000471638840
Long
DBT
US
N
2
2025-09-15
Fixed
1.30000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140X9EC5
59506.21000000
PA
USD
60801.89000000
0.001810964535
Long
ABS-MBS
USGSE
US
N
2
2050-11-01
Fixed
4.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138XKSW5
133425.23000000
PA
USD
134497.47000000
0.004005963438
Long
ABS-MBS
USGSE
US
N
2
2029-01-01
Fixed
3.00000000
N
N
N
N
N
N
Goldman Sachs International
W22LROWP2IHZNBB6K528
Long: BRWK20Q91 CDS USD R F 3.00000 2 CMBX / Short: BRWK20Q91 CDS USD P V 01MEVENT 1 CMBX
000000000
210000.00000000
OU
Notional Amount
USD
-21439.28000000
-0.00063856198
N/A
DCR
US
N
2
Goldman Sachs International
W22LROWP2IHZNBB6K528
CMBX.NA.BBB-.9
137BERAI8
Y
sell protection
2058-09-17
0.00000000
USD
-22600.19000000
USD
210000.00000000
USD
1160.91000000
N
N
N
Alabama Power Co
0RL818ELFOHP5JHOFU19
Alabama Power Co
010392FM5
554000.00000000
PA
USD
531125.71000000
0.015819406679
Long
DBT
CORP
US
N
2
2045-03-01
Fixed
3.75000000
N
N
N
N
N
N
WYNN LAS VEGAS LLC/CORP
N/A
Wynn Las Vegas LLC / Wynn Las Vegas Capital Corp
983130AX3
498000.00000000
PA
USD
481815.00000000
0.014350703206
Long
DBT
CORP
US
N
2
2027-05-15
Fixed
5.25000000
N
N
N
N
N
Municipal Electric Authority of Georgia
JA0WNILDDF2KUPS83B16
MUNI ELEC AUTH OF GEORGIA
626207YF5
466000.00000000
PA
USD
621921.36000000
0.018523725610
Long
DBT
MUN
US
N
2
2057-04-01
Fixed
6.63700000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140X83A3
2393128.48000000
PA
USD
2350148.25000000
0.069998401930
Long
ABS-MBS
USGSE
US
N
2
2050-08-01
Fixed
3.00000000
N
N
N
N
N
N
United States Treasury
254900HROIFWPRGM1V77
United States Treasury Note/Bond
9128284S6
7432000.00000000
PA
USD
7503997.50000000
0.223504127066
Long
DBT
UST
US
N
2
2023-05-31
Fixed
2.75000000
N
N
N
N
N
N
AMN HEALTHCARE INC
549300H27NUKBFFQEE84
AMN Healthcare Inc
00175PAB9
350000.00000000
PA
USD
340308.50000000
0.010135978087
Long
DBT
CORP
US
N
2
2027-10-01
Fixed
4.62500000
N
N
N
N
N
N
GILEAD SCIENCES INC
549300WTZWR07K8MNV44
Gilead Sciences Inc
375558BT9
407000.00000000
PA
USD
333057.85000000
0.009920019832
Long
DBT
CORP
US
N
2
2050-10-01
Fixed
2.80000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
3132J7RZ7
415764.93000000
PA
USD
415361.70000000
0.012371413260
Long
ABS-MBS
USGSE
US
N
2
2043-03-01
Fixed
3.00000000
N
N
N
N
N
N
Elmwood CLO X Ltd
N/A
Elmwood CLO X Ltd
29002VAE8
250000.00000000
PA
USD
248461.00000000
0.007400330146
Long
ABS-CBDO
CORP
KY
N
2
2034-10-20
Floating
2.20400000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Pool
3132DMRR8
669213.88000000
PA
USD
665297.73000000
0.019815676695
Long
ABS-MBS
USGSE
US
N
2
2047-02-01
Fixed
3.00000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Pool
3132D9B86
2409038.79000000
PA
USD
2439355.75000000
0.072655418329
Long
ABS-MBS
USGSE
US
N
2
2035-05-01
Fixed
3.50000000
N
N
N
N
N
N
BANK OF AMERICA CORP
9DJT3UXIJIZJI4WXO774
Bank of America Corp
06051GKM0
4201000.00000000
PA
USD
4195344.28000000
0.124956966076
Long
DBT
CORP
US
N
2
2026-04-02
Fixed
3.38400000
N
N
N
N
N
N
Options Clearing Corp.
549300CII6SLYGKNHA04
DEVON ENERGY CORP APR22 60 CALL
000000000
1036.00000000
NC
USD
199948.00000000
0.005955386205
N/A
DE
US
N
1
Options Clearing Corp.
549300CII6SLYGKNHA04
Call
Purchased
Devon Energy Corp
Devon Energy Corp
100.00000000
60.00000000
USD
2022-04-14
XXXX
-52037.40000000
N
N
N
BP CAP MARKETS AMERICA
5493009NTB34VXE1T760
BP Capital Markets America Inc
10373QBS8
870000.00000000
PA
USD
749456.46000000
0.022322317120
Long
DBT
CORP
US
N
2
2052-03-17
Fixed
3.00100000
N
N
N
N
N
N
OCP Euro CLO
635400NSID6FARUW3W95
OCP Euro CLO 2020-4 DAC
000000000
400000.00000000
PA
418107.54000000
0.012453197212
Long
ABS-CBDO
CORP
IE
N
2
2034-09-22
Floating
5.94000000
N
N
N
N
N
N
ORIX Corp
35380016EMHNBOVYE123
ORIX Corp
686330AH4
22000.00000000
PA
USD
22083.05000000
0.000657736468
Long
DBT
CORP
JP
N
2
2022-07-18
Fixed
2.90000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Pool
31329KW83
68340.38000000
PA
USD
68588.30000000
0.002042880227
Long
ABS-MBS
USGSE
US
N
2
2037-09-01
Fixed
3.00000000
N
N
N
N
N
N
Norfolk Southern Corp
54930036C8MWP850MI84
Norfolk Southern Corp
655844BS6
709000.00000000
PA
USD
700201.03000000
0.020855260143
Long
DBT
CORP
US
N
2
2026-06-15
Fixed
2.90000000
N
N
N
N
N
N
Fairstone Financial Issuance Trust I
549300LY2ZF7LX6T3F37
Fairstone Financial Issuance Trust I
30575PAQ9
323000.00000000
PA
253607.26000000
0.007553609827
Long
ABS-O
CORP
CA
N
2
2039-10-20
Fixed
3.73500000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Pool
3132DMRJ6
3197715.57000000
PA
USD
3342787.55000000
0.099563840916
Long
ABS-MBS
USGSE
US
N
2
2048-04-01
Fixed
4.00000000
N
N
N
N
N
N
CVC Cordatus Loan Fund
5493000ECZZ2KY8H5K38
CVC Cordatus Loan Fund XVIII DAC
000000000
250000.00000000
PA
261829.96000000
0.007798520275
Long
ABS-CBDO
CORP
IE
N
2
2034-07-29
Floating
6.06000000
N
N
N
N
N
N
GLOBAL PAYMENTS INC
549300NOMHGVQBX6S778
Global Payments Inc
891906AC3
2735000.00000000
PA
USD
2871127.73000000
0.085515606446
Long
DBT
CORP
US
N
2
2026-04-01
Fixed
4.80000000
N
N
N
N
N
N
Cydsa SAB de CV
4469000001BNTACN9916
Cydsa SAB de CV
232553AA5
509000.00000000
PA
USD
493730.00000000
0.014705587609
Long
DBT
CORP
MX
N
2
2027-10-04
Fixed
6.25000000
N
N
N
N
N
N
GS Mortgage Securities Trust
N/A
GS Mortgage Securities Corp II Series 2005-ROCK
36228CUV3
840000.00000000
PA
USD
877821.25000000
0.026145620677
Long
ABS-MBS
CORP
US
N
2
2032-05-03
Fixed
5.36600000
N
N
N
N
N
N
Nelnet Student Loan Trust
N/A
Nelnet Student Loan Trust 2021-B
64034QAD0
870000.00000000
PA
USD
802526.63000000
0.023902994888
Long
ABS-O
CORP
US
N
2
2062-04-20
Fixed
3.57000000
N
N
N
N
N
N
NGPL PIPECO LLC
549300K3NT1HSQFEM073
NGPL PipeCo LLC
62928CAA0
1957000.00000000
PA
USD
1827135.83000000
0.054420646957
Long
DBT
CORP
US
N
2
2031-07-15
Fixed
3.25000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36181GFS3
277699.72000000
PA
USD
284448.24000000
0.008472198395
Long
ABS-MBS
USGA
US
N
2
2043-07-15
Fixed
3.50000000
N
N
N
N
N
N
Matador Resources Co
549300CI3Q2UUK5R4G79
Matador Resources Co
576485AE6
94000.00000000
PA
USD
95720.20000000
0.002850995052
Long
DBT
CORP
US
N
2
2026-09-15
Fixed
5.87500000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36202FM78
832796.32000000
PA
USD
874988.29000000
0.026061241884
Long
ABS-MBS
USGA
US
N
2
2040-12-20
Fixed
4.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138XCXH0
960352.04000000
PA
USD
989251.30000000
0.029464528507
Long
ABS-MBS
USGSE
US
N
2
2028-11-01
Fixed
3.50000000
N
N
N
N
N
N
FORD MOTOR COMPANY
20S05OYHG0MQM4VUIC57
Ford Motor Co
345370DA5
397000.00000000
PA
USD
354572.61000000
0.010560829968
Long
DBT
CORP
US
N
2
2032-02-12
Fixed
3.25000000
N
N
N
N
N
Citibank N.A.
E57ODZWZ7FF32TWEFA76
PURCHASED USD / SOLD ZAR
000000000
1.00000000
NC
-17718.65000000
-0.00052774423
N/A
DFE
US
N
2
Citibank N.A.
E57ODZWZ7FF32TWEFA76
7725997.65000000
ZAR
510000.00000000
USD
2022-04-19
-17718.65000000
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138X6T70
1711893.66000000
PA
USD
1809959.90000000
0.053909067463
Long
ABS-MBS
USGSE
US
N
2
2043-11-01
Fixed
4.50000000
N
N
N
N
N
N
American Money Management Corporation
549300R4YQWFRASHVE93
AMMC CLO XIII Ltd
00176DAQ2
470000.00000000
PA
USD
468863.54000000
0.013964948178
Long
ABS-CBDO
CORP
KY
N
2
2029-07-24
Floating
1.31700000
N
N
N
N
N
N
NORFOLK SOUTHERN CORP
54930036C8MWP850MI84
Norfolk Southern Corp
655844CD8
863000.00000000
PA
USD
805420.24000000
0.023989180122
Long
DBT
CORP
US
N
2
2049-11-01
Fixed
3.40000000
N
N
N
N
N
N
Residential Funding Mtg Sec I
N/A
RFMSI Series 2006-SA2 Trust
749574AC3
917528.71000000
PA
USD
695129.02000000
0.020704191974
Long
ABS-MBS
CORP
US
N
2
2036-08-25
Variable
4.44600000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138XB2A1
69218.16000000
PA
USD
71271.84000000
0.002122808594
Long
ABS-MBS
USGSE
US
N
2
2028-10-01
Fixed
3.50000000
N
N
N
N
N
N
CIFC Funding Ltd
635400VBVF8AYJQBI411
CIFC Funding 2018-I Ltd
12551RAA6
1289000.00000000
PA
USD
1279313.17000000
0.038103927047
Long
ABS-CBDO
CORP
KY
N
2
2031-04-18
Floating
1.24100000
N
N
N
N
N
N
Fremont Home Loan Trust
N/A
Fremont Home Loan Trust 2006-3
35729MAA5
765177.27000000
PA
USD
621420.97000000
0.018508821656
Long
ABS-O
CORP
US
N
2
2037-02-25
Floating
0.73700000
N
N
N
N
N
N
PLAYTIKA HOLDING CORP
254900E35Z4TKA4UFG64
Playtika Holding Corp
72815LAA5
161000.00000000
PA
USD
148522.50000000
0.004423694399
Long
DBT
CORP
US
N
2
2029-03-15
Fixed
4.25000000
N
N
N
N
N
N
OCP CLO Ltd
254900PS626FB00CVF06
OCP CLO 2021-22 Ltd
67117TAA3
330000.00000000
PA
USD
326287.17000000
0.009718357329
Long
ABS-CBDO
CORP
KY
N
2
2034-12-02
Floating
1.29600000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
3622A2AE2
3780980.96000000
PA
USD
4074838.08000000
0.121367728068
Long
ABS-MBS
USGA
US
N
2
2042-02-15
Fixed
4.50000000
N
N
N
N
N
N
Ashford Hospitality Trust
N/A
Ashford Hospitality Trust 2018-ASHF
04410RAL0
138000.00000000
PA
USD
133509.63000000
0.003976540944
Long
ABS-MBS
CORP
US
N
2
2035-04-15
Floating
2.49700000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
3132GKD37
131978.37000000
PA
USD
138169.66000000
0.004115338423
Long
ABS-MBS
USGSE
US
N
2
2041-10-01
Fixed
4.00000000
N
N
N
N
N
N
National Bank of Canada
BSGEFEIOM18Y80CKCV46
National Bank of Canada
000000000
2000000.00000000
PA
USD
2000000.00000000
0.059569350087
Long
RA
CORP
US
N
2
Repurchase
Y
0.45000000
2022-04-07
23045.06000000
USD
2085391.43000000
USD
EQT
128788.11000000
USD
126205.96000000
USD
UST
N
N
Trinitas CLO Ltd
549300095MXHZZMH2053
Trinitas CLO XIV Ltd
89641QAG5
400000.00000000
PA
USD
397085.20000000
0.011827053646
Long
ABS-CBDO
CORP
KY
N
2
2034-01-25
Floating
3.25800000
N
N
N
N
N
N
BUCKEYE PARTNERS LP
549300C1PQJLVEIUBK50
Buckeye Partners LP
118230AT8
219000.00000000
PA
USD
215975.61000000
0.006432763361
Long
DBT
CORP
US
N
2
2025-03-01
Fixed
4.12500000
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138XSTM9
412188.39000000
PA
USD
423852.12000000
0.012624297660
Long
ABS-MBS
USGSE
US
N
2
2029-05-01
Fixed
3.50000000
N
N
N
N
N
N
Chicago Board of Trade
549300EX04Q2QBFQTQ27
US 5YR NOTE (CBT) JUN22
000000000
1145.00000000
NC
USD
-3358510.46000000
-0.10003214268
N/A
DIR
US
N
1
Chicago Board of Trade
549300EX04Q2QBFQTQ27
Long
CBOT 5 Year US Treasury Note
FVM2 COMDTY
2022-06-30
134675697.96000000
USD
-3358510.46000000
N
N
N
Royal Bank of Canada
ES7IP3U3RHIGC71XBU11
PURCHASED USD / SOLD EUR
000000000
1.00000000
NC
-6567.80000000
-0.00019561978
N/A
DFE
US
N
2
Royal Bank of Canada
ES7IP3U3RHIGC71XBU11
622000.00000000
EUR
681837.02000000
USD
2022-04-20
-6567.80000000
N
N
N
Goldman Sachs International
W22LROWP2IHZNBB6K528
PURCHASED USD / SOLD MXN
000000000
1.00000000
NC
-2160.85000000
-0.00006436021
N/A
DFE
US
N
2
Goldman Sachs International
W22LROWP2IHZNBB6K528
1108446.73000000
MXN
53568.00000000
USD
2022-04-01
-2160.85000000
N
N
N
GSR Mortgage Loan Trust
N/A
GSR Mortgage Loan Trust 2007-4F
362669AK9
384288.52000000
PA
USD
315833.94000000
0.009407011270
Long
ABS-MBS
CORP
US
N
2
2037-07-25
Fixed
6.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138EPJ62
398083.14000000
PA
USD
402228.95000000
0.011980258568
Long
ABS-MBS
USGSE
US
N
2
2030-04-01
Fixed
3.00000000
N
N
N
N
N
N
Republic of Colombia
549300MHDRBVRF6B9117
Colombia Government International Bond
195325DP7
2089000.00000000
PA
USD
2017848.66000000
0.060100966625
Long
DBT
NUSS
CO
N
2
2029-03-15
Fixed
4.50000000
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138ERLF5
1674908.80000000
PA
USD
1664086.29000000
0.049564269392
Long
ABS-MBS
USGSE
US
N
2
2046-11-01
Fixed
3.00000000
N
N
N
N
N
N
MGM RESORTS INTL
54930066VBP7DZEGGJ87
MGM Resorts International
552953CD1
35000.00000000
PA
USD
34475.00000000
0.001026826672
Long
DBT
CORP
US
N
2
2026-09-01
Fixed
4.62500000
N
N
N
N
N
Conseco Financial Corp
N/A
Conseco Finance Corp
3935053P5
359854.31000000
PA
USD
181991.60000000
0.005420560666
Long
ABS-O
CORP
US
N
2
2030-03-01
Variable
7.86000000
N
N
N
N
N
N
ARES CLO Ltd
N/A
Ares LIX CLO Ltd
04018EAA9
250000.00000000
PA
USD
246578.00000000
0.007344245602
Long
ABS-CBDO
CORP
KY
N
2
2034-04-25
Floating
1.28800000
N
N
N
N
N
N
TENET HEALTHCARE CORP
0W9AIBT6U6ADJ2I8HK17
Tenet Healthcare Corp
88033GDA5
135000.00000000
PA
USD
135635.18000000
0.004039849760
Long
DBT
CORP
US
N
2
2027-11-01
Fixed
5.12500000
N
N
N
N
N
N
HSBC Bank PLC
MP6I5ZYZBEU3UXPYFY54
PURCHASED MXN / SOLD USD
000000000
1.00000000
NC
2586.63000000
0.000077041934
N/A
DFE
MX
N
2
HSBC Bank PLC
MP6I5ZYZBEU3UXPYFY54
504000.00000000
USD
10104192.00000000
MXN
2022-04-20
2586.63000000
N
N
N
BARCLAYS PLC
213800LBQA1Y9L22JB70
Barclays PLC
06738EBS3
359000.00000000
PA
USD
321042.94000000
0.009562159642
Long
DBT
CORP
GB
N
2
2042-03-10
Fixed
3.81100000
N
N
N
N
N
N
BROADCOM INC
549300WV6GIDOZJTV909
Broadcom Inc
11135FBK6
1929000.00000000
PA
USD
1800377.42000000
0.053623656410
Long
DBT
CORP
US
N
2
2033-04-15
Fixed
3.41900000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
3132M6SF8
67534.43000000
PA
USD
68933.55000000
0.002053163386
Long
ABS-MBS
USGSE
US
N
2
2044-05-01
Fixed
3.50000000
N
N
N
N
N
N
INRETAIL CONSUMER
N/A
InRetail Consumer
45790TAB1
330000.00000000
PA
USD
309375.00000000
0.009214633841
Long
DBT
CORP
PE
N
2
2028-03-22
Fixed
3.25000000
N
N
N
N
N
N
Gulf Stream Meridian 1 Ltd.
N/A
Gulf Stream Meridian 4 Ltd
402562AA0
1860000.00000000
PA
USD
1841003.82000000
0.054833700532
Long
ABS-CBDO
CORP
KY
N
2
2034-07-15
Floating
1.44100000
N
N
N
N
N
N
Citibank N.A.
E57ODZWZ7FF32TWEFA76
PURCHASED BRL / SOLD USD
000000000
1.00000000
NC
24911.97000000
0.000741994931
N/A
DFE
BR
N
2
Citibank N.A.
E57ODZWZ7FF32TWEFA76
337000.00000000
USD
1723081.00000000
BRL
2022-04-04
24911.97000000
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138ENGF0
2378676.89000000
PA
USD
2533121.60000000
0.075448203702
Long
ABS-MBS
USGSE
US
N
2
2044-06-01
Fixed
4.50000000
N
N
N
N
N
N
Verus Securitization Trust
N/A
Verus Securitization Trust 2020-5
92538CAD3
391000.00000000
PA
USD
372450.76000000
0.011093324856
Long
ABS-MBS
CORP
US
N
2
2065-05-25
Variable
2.60100000
N
N
N
N
N
N
Signal Peak CLO, LLC
N/A
Mariner CLO 2016-3 LLC
56845AAW8
522000.00000000
PA
USD
517715.95000000
0.015420001335
Long
ABS-CBDO
CORP
KY
N
2
2029-07-23
Floating
1.75900000
N
N
N
N
N
N
DEVON ENERGY CORPORATION
54930042348RKR3ZPN35
Devon Energy Corp
25179MBB8
334000.00000000
PA
USD
353755.35000000
0.010536488144
Long
DBT
CORP
US
N
2
2023-08-01
Fixed
8.25000000
N
N
N
N
N
N
SASOL Financing USA LLC
549300XRB1PFMESFEL85
Sasol Financing USA LLC
80386WAA3
289000.00000000
PA
USD
292843.70000000
0.008722254443
Long
DBT
CORP
US
N
2
2024-03-27
Fixed
5.87500000
N
N
N
N
N
N
UMBS, TBA
N/A
Uniform Mortgage-Backed Security, TBA
01F012643
14379400.00000000
PA
USD
12833052.84000000
0.382228308657
Long
ABS-MBS
USGSE
US
N
2
2052-04-15
Fixed
1.50000000
N
N
N
N
N
N
Intercontinental Exchange, Inc.
5493000F4ZO33MV32P92
Long: B95FQ4SB5 CDS USD R V 03MEVENT 1 CCPCDX / Short: B95FQ4SB5 CDS USD P F 5.00000 2 CCPCDX
000000000
4853000.00000000
OU
Notional Amount
USD
-300667.62000000
-0.00895528735
N/A
DCR
US
N
2
Intercontinental Exchange, Inc.
5493000F4ZO33MV32P92
CDX.NA.HY.S37
2I65BRYQ7
Y
buy protection
2026-12-20
0.00000000
USD
-208981.79000000
USD
4853000.00000000
USD
-91685.83000000
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36179VXX3
5645617.57000000
PA
USD
5397332.34000000
0.160757789849
Long
ABS-MBS
USGA
US
N
2
2050-11-20
Fixed
2.00000000
N
N
N
N
N
N
Playtika Holding Corp
254900E35Z4TKA4UFG64
Playtika Holding Corp 2021 Term Loan
72814CAF5
1067930.00000000
PA
USD
1055248.33000000
0.031430228599
Long
LON
CORP
US
N
2
2028-03-13
Floating
3.20700000
N
N
N
N
N
N
COMM Mortgage Trust
N/A
COMM 2016-667M Mortgage Trust
12636GAJ0
270000.00000000
PA
USD
237036.54000000
0.007060056317
Long
ABS-MBS
CORP
US
N
2
2036-10-10
Variable
3.17900000
N
N
N
N
N
N
RAYTHEON TECH CORP
I07WOS4YJ0N7YRFE7309
Raytheon Technologies Corp
75513EBY6
525000.00000000
PA
USD
624877.27000000
0.018611766429
Long
DBT
CORP
US
N
2
2027-08-15
Fixed
7.20000000
N
N
N
N
N
N
United States Treasury
254900HROIFWPRGM1V77
United States Treasury Note/Bond
91282CBC4
12344000.00000000
PA
USD
11398430.34000000
0.339498543684
Long
DBT
UST
US
N
2
2025-12-31
Fixed
0.37500000
N
N
N
N
N
N
Entergy Louisiana LLC
0V5453U14HDZO63CGH17
Entergy Louisiana LLC
29364WBB3
1310000.00000000
PA
USD
1372029.17000000
0.040865442978
Long
DBT
CORP
US
N
2
2048-09-01
Fixed
4.20000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Pool
3132DVL52
10243888.42000000
PA
USD
9832698.23000000
0.292863721583
Long
ABS-MBS
USGSE
US
N
2
2051-11-01
Fixed
2.50000000
N
N
N
N
N
N
Citibank N.A.
E57ODZWZ7FF32TWEFA76
PURCHASED COP / SOLD USD
000000000
1.00000000
NC
5914.32000000
0.000176156099
N/A
DFE
CO
N
2
Citibank N.A.
E57ODZWZ7FF32TWEFA76
510000.00000000
USD
1950750000.00000000
COP
2022-04-20
5914.32000000
N
N
N
Jamestown CLO Ltd
254900TDIR3OOT3N8P57
Jamestown CLO XII Ltd
47047JAC8
260000.00000000
PA
USD
259234.56000000
0.007721217129
Long
ABS-CBDO
CORP
KY
N
2
2032-04-20
Floating
2.40400000
N
N
N
N
N
N
DEUTSCHE BANK NY
7LTWFZYICNSX8D621K86
Deutsche Bank AG/New York NY
25160PAH0
1639000.00000000
PA
USD
1512048.52000000
0.045035873818
Long
DBT
CORP
DE
N
2
2028-01-07
Fixed
2.55200000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36179VKP4
32125.82000000
PA
USD
33396.00000000
0.000994689007
Long
ABS-MBS
USGA
US
N
2
2050-04-20
Fixed
4.50000000
N
N
N
N
N
N
GENERAL MOTORS FINL CO
5493008B6JBRUJ90QL97
General Motors Financial Co Inc
37045XBK1
3188000.00000000
PA
USD
3219832.59000000
0.095901667388
Long
DBT
CORP
US
N
2
2023-05-09
Fixed
3.70000000
N
N
N
N
N
N
EMBRAER NETHERLANDS FINA
724500PBR8LR26XBSP67
Embraer Netherlands Finance BV
29082HAA0
303000.00000000
PA
USD
306033.03000000
0.009115094351
Long
DBT
CORP
NL
N
2
2025-06-15
Fixed
5.05000000
N
N
N
N
N
N
JPMorgan Chase & Co
8I5DZWZKVSZI1NUHU748
JPMorgan Chase & Co
46647PAX4
389000.00000000
PA
USD
405479.14000000
0.012077064421
Long
DBT
CORP
US
N
2
2029-12-05
Fixed
4.45200000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36179TV51
16908.31000000
PA
USD
17151.71000000
0.000510858108
Long
ABS-MBS
USGA
US
N
2
2048-04-20
Fixed
3.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138XHT76
724182.31000000
PA
USD
771767.65000000
0.022986848664
Long
ABS-MBS
USGSE
US
N
2
2043-12-01
Fixed
4.50000000
N
N
N
N
N
N
OneMain Financial Issuance Trust
N/A
OneMain Financial Issuance Trust 2019-2
68269BAA6
3280000.00000000
PA
USD
3205367.54000000
0.095470830574
Long
ABS-O
CORP
US
N
2
2036-10-14
Fixed
3.14000000
N
N
N
N
N
N
DUKE ENERGY PROGRESS LLC
0NIFZ782LS46WOC9QK20
Duke Energy Progress LLC
26442UAK0
640000.00000000
PA
USD
519834.94000000
0.015483114764
Long
DBT
CORP
US
N
2
2050-08-15
Fixed
2.50000000
N
N
N
N
N
N
Jack Ohio Finance LLC
5493002ERZW63JFJI167
Jack Ohio Finance LLC Term Loan
46647KAG2
519697.50000000
PA
USD
514500.53000000
0.015324231095
Long
LON
CORP
US
N
2
2028-10-04
Floating
5.50000000
N
N
N
N
N
N
VICI PROPERTIES / NOTE
N/A
VICI Properties LP / VICI Note Co Inc
92564RAE5
868000.00000000
PA
USD
837932.48000000
0.024957546625
Long
DBT
US
N
2
2030-08-15
Fixed
4.12500000
N
N
N
N
N
N
PHILIP MORRIS INTL INC
HL3H1H2BGXWVG3BSWR90
Philip Morris International Inc
718172CM9
2000000.00000000
PA
1680437.63000000
0.050051288740
Long
DBT
CORP
US
N
2
2039-08-01
Fixed
1.45000000
N
N
N
N
N
N
Velocity Commercial Capital Loan Trust
N/A
Velocity Commercial Capital Loan Trust 2017-2
92258VAE7
102029.69000000
PA
USD
99090.64000000
0.002951382512
Long
ABS-MBS
CORP
US
N
2
2047-11-25
Variable
4.24000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Pool
3132DMRE7
3019306.68000000
PA
USD
3079252.84000000
0.091714545216
Long
ABS-MBS
USGSE
US
N
2
2046-03-01
Fixed
3.50000000
N
N
N
N
N
N
Madison Park Funding Ltd
N/A
Madison Park Funding XXXV Ltd
55819MAN6
550000.00000000
PA
USD
547749.95000000
0.016314554265
Long
ABS-CBDO
CORP
KY
N
2
2032-04-20
Floating
1.24400000
N
N
N
N
N
N
Benefit Street Partners CLO Ltd
549300Y1V90IQ456QX97
Benefit Street Partners CLO III Ltd
08180EBL7
290000.00000000
PA
USD
288935.12000000
0.008605838657
Long
ABS-CBDO
CORP
KY
N
2
2029-07-20
Floating
1.90400000
N
N
N
N
N
N
Allegiant Travel Company
549300JM9OZXOHWL2K18
Allegiant Travel Company 2020 Term Loan
01748LAE8
1140056.12000000
PA
USD
1128655.56000000
0.033616639090
Long
LON
CORP
US
N
2
2024-02-05
Floating
3.46900000
N
N
N
N
N
N
Oak Hill Credit Partners
N/A
OHA Credit Funding 2 LTD
67707EAU8
2340000.00000000
PA
USD
2327230.62000000
0.069315807768
Long
ABS-CBDO
CORP
KY
N
2
2034-04-21
Floating
1.40500000
N
N
N
N
N
N
Lloyds Banking Group PLC
549300PPXHEU2JF0AM85
Lloyds Banking Group PLC
53944YAD5
579000.00000000
PA
USD
577420.75000000
0.017198289402
Long
DBT
CORP
GB
N
2
2027-01-11
Fixed
3.75000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140X83Z8
1071632.01000000
PA
USD
1083557.23000000
0.032273399986
Long
ABS-MBS
USGSE
US
N
2
2049-06-01
Fixed
3.50000000
N
N
N
N
N
N
Lendmark Funding Trust
N/A
Lendmark Funding Trust 2021-1
52607MAB5
290000.00000000
PA
USD
264769.48000000
0.007886072923
Long
ABS-O
CORP
US
N
2
2031-11-20
Fixed
2.47000000
N
N
N
N
N
N
TCW CLO 2019-1 AMR, LTD.
549300RWQDI4UTTLDE63
TCW CLO 2019-1 AMR Ltd
87241EAQ8
250000.00000000
PA
USD
248709.50000000
0.007407731637
Long
ABS-CBDO
CORP
KY
N
2
2034-08-16
Floating
1.67900000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36179TAL9
537820.69000000
PA
USD
554111.05000000
0.016504017562
Long
ABS-MBS
USGA
US
N
2
2047-06-20
Fixed
4.00000000
N
N
N
N
N
N
CSAIL Commercial Mortgage Trust
N/A
CSAIL 2019-C17 Commercial Mortgage Trust
12597BAX7
4150000.00000000
PA
USD
148406.91000000
0.004420251588
Long
ABS-MBS
CORP
US
N
2
2052-09-15
Variable
0.55800000
N
N
N
N
N
N
AMER AIRLINE 19-1AA PTT
N/A
American Airlines 2019-1 Class AA Pass Through Trust
02377LAA2
1074345.13000000
PA
USD
1009180.40000000
0.030058110274
Long
DBT
CORP
US
N
2
2032-02-15
Fixed
3.15000000
N
N
N
N
N
N
JPMDB Commercial Mortgage Securities Trust
N/A
JPMDB Commercial Mortgage Securities Trust 2016-C4
46646RAA1
2067000.00000000
PA
USD
58815.04000000
0.001751786854
Long
ABS-MBS
CORP
US
N
2
2049-12-15
Variable
0.75000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138WPHS6
694615.02000000
PA
USD
691960.43000000
0.020609816550
Long
ABS-MBS
USGSE
US
N
2
2043-04-01
Fixed
3.00000000
N
N
N
N
N
N
COMCAST CORP
51M0QTTNCGUN7KFCFZ59
Comcast Corp
20030NDR9
1312000.00000000
PA
USD
1106062.34000000
0.032943707374
Long
DBT
CORP
US
N
2
2051-11-01
Fixed
2.88700000
N
N
N
N
N
N
BFLD Trust
N/A
BFLD Trust 2020-EYP
05493AAN0
980000.00000000
PA
USD
964106.36000000
0.028715594640
Long
ABS-MBS
CORP
US
N
2
2035-10-15
Floating
4.09700000
N
N
N
N
N
N
Freddie Mac - STACR
S6XOOCT0IEG5ABCC6L87
Freddie Mac Structured Agency Credit Risk Debt Notes
3137G0RJ0
682210.00000000
PA
USD
711220.30000000
0.021183465519
Long
ABS-MBS
USGSE
US
N
2
2030-03-25
Floating
4.90700000
N
N
N
N
N
N
Mariner Finance Issuance Trust
N/A
Mariner Finance Issuance Trust 2019-A
56847MAC4
490000.00000000
PA
USD
477640.14000000
0.014226356357
Long
ABS-O
CORP
US
N
2
2032-07-20
Fixed
4.01000000
N
N
N
N
N
N
Park Avenue Trust
N/A
245 Park Avenue Trust 2017-245P
90187LAN9
207000.00000000
PA
USD
181197.95000000
0.005396922059
Long
ABS-MBS
CORP
US
N
2
2037-06-05
Variable
3.65700000
N
N
N
N
N
N
Oakwood Mortgage Investors Inc.
N/A
Oakwood Mortgage Investors Inc
67087TCW9
186306.01000000
PA
USD
130503.43000000
0.003887002254
Long
ABS-O
CORP
US
N
2
2031-09-15
Variable
6.93000000
N
N
N
N
N
N
HCA Inc
L3CJ6J7LJ2DX62FTXD46
HCA Inc
404119BT5
1156000.00000000
PA
USD
1220164.29000000
0.036342196877
Long
DBT
CORP
US
N
2
2026-06-15
Fixed
5.25000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
31335BJX5
750915.57000000
PA
USD
767709.11000000
0.022865966369
Long
ABS-MBS
USGSE
US
N
2
2047-10-01
Fixed
3.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138LTFX1
25446.54000000
PA
USD
25911.01000000
0.000771751012
Long
ABS-MBS
USGSE
US
N
2
2042-05-01
Fixed
3.50000000
N
N
N
N
N
N
Ajax Mortgage Loan Trust
N/A
Ajax Mortgage Loan Trust 2019-G
00969VAC4
1104385.25000000
PA
USD
955775.75000000
0.028467470128
Long
ABS-O
CORP
US
N
2
2059-09-25
None
0.00000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36202FKM7
34178.39000000
PA
USD
35909.97000000
0.001069566787
Long
ABS-MBS
USGA
US
N
2
2040-09-20
Fixed
4.00000000
N
N
N
N
N
N
Chicago Board of Trade
549300EX04Q2QBFQTQ27
US 10YR FUT OPTN JUN22P 119 EXP 05/20/2022
000000000
1197.00000000
NC
USD
317953.13000000
0.009470130656
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
1197.00000000
NC
N/A
317953.13000000
0.01000000
DIR
US
Long
CBOT 10 Year US Treasury Note
TYM2 Comdty
2022-06-21
1197.00000000
USD
1000.00000000
119.00000000
USD
2022-05-20
XXXX
241321.19000000
N
N
N
JSM GLOBAL SARL
222100JFIJNVE1XMFY68
JSM Global Sarl
46592BAA0
448000.00000000
PA
USD
392564.48000000
0.011692405470
Long
DBT
CORP
LU
N
2
2030-10-20
Fixed
4.75000000
N
N
N
N
N
N
AGL CLO Ltd.
54930005OE1IFBESDA27
AGL CLO 12 Ltd
00120BAA8
1310000.00000000
PA
USD
1301200.73000000
0.038755840909
Long
ABS-CBDO
CORP
KY
N
2
2034-07-20
Floating
1.41400000
N
N
N
N
N
N
Lockheed Martin Corp
DPRBOZP0K5RM2YE8UU08
Lockheed Martin Corp
539830BB4
514000.00000000
PA
USD
548696.37000000
0.016342743078
Long
DBT
CORP
US
N
2
2042-12-15
Fixed
4.07000000
N
N
N
N
N
N
Nucor Corp
549300GGJCRSI2TIEJ46
Nucor Corp
670346AP0
341000.00000000
PA
USD
348762.91000000
0.010387789941
Long
DBT
CORP
US
N
2
2028-05-01
Fixed
3.95000000
N
N
N
N
N
N
Bank of America N.A.
B4TYDEB6GKMZO031MB27
PURCHASED EUR / SOLD USD
000000000
1.00000000
NC
-3900.77000000
-0.00011618316
N/A
DFE
XX
N
2
Bank of America N.A.
B4TYDEB6GKMZO031MB27
1027653.91000000
USD
925000.00000000
EUR
2022-04-20
-3900.77000000
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36196FZG2
117811.96000000
PA
USD
120097.81000000
0.003577074244
Long
ABS-MBS
USGA
US
N
2
2046-10-20
Fixed
3.50000000
N
N
N
N
N
N
UnitedHealth Group Inc
549300GHBMY8T5GXDE41
UnitedHealth Group Inc
91324PCQ3
386000.00000000
PA
USD
431373.57000000
0.012848321604
Long
DBT
CORP
US
N
2
2035-07-15
Fixed
4.62500000
N
N
N
N
N
N
Freddie Mac - SCRT
N/A
Seasoned Credit Risk Transfer Trust Series 2017-3
35563PCG2
793972.54000000
PA
USD
233494.30000000
0.006954551850
Long
ABS-MBS
USGSE
US
N
2
2056-07-25
None
0.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138WJDN5
568409.23000000
PA
USD
563288.01000000
0.016777350333
Long
ABS-MBS
USGSE
US
N
2
2031-10-01
Fixed
2.50000000
N
N
N
N
N
N
EMPRESAS PUBLIC MEDELLIN
549300SU25TO8EMXB434
Empresas Publicas de Medellin ESP
29246BAE8
323000.00000000
PA
USD
287534.60000000
0.008564124624
Long
DBT
CORP
CO
N
2
2029-07-18
Fixed
4.25000000
N
N
N
N
N
N
Embark Technology Inc
N/A
Embark Technology Inc
29079J111
3005.00000000
NS
USD
3365.60000000
0.000100243302
N/A
DE
US
N
1
N/A
N/A
Call
Purchased
Embark Technology Inc
Embark Technology Inc
1.00000000
11.50000000
USD
2026-11-10
XXXX
315.65000000
N
N
N
UMBS, TBA
N/A
Uniform Mortgage-Backed Security, TBA
01F030645
3442000.00000000
PA
USD
3366706.25000000
0.100276251623
Long
ABS-MBS
USGSE
US
N
2
2052-04-15
Fixed
3.00000000
N
N
N
N
N
N
CFCRE Commercial Mortgage Trust
N/A
CFCRE Commercial Mortgage Trust 2018-TAN
12528DAE9
220000.00000000
PA
USD
220485.80000000
0.006567097904
Long
ABS-MBS
CORP
US
N
2
2033-02-15
Fixed
4.69000000
N
N
N
N
N
N
TICP CLO Ltd
254900JG2DPAYUCW8T83
TICP CLO VI 2016-2 Ltd
87246MAU6
1050000.00000000
PA
USD
1037400.00000000
0.030898621890
Long
ABS-CBDO
CORP
KY
N
2
2034-01-15
Floating
1.74100000
N
N
N
N
N
N
HSBC Bank PLC
MP6I5ZYZBEU3UXPYFY54
PURCHASED EUR / SOLD USD
000000000
1.00000000
NC
-12269.71000000
-0.00036544932
N/A
DFE
XX
N
2
HSBC Bank PLC
MP6I5ZYZBEU3UXPYFY54
739753.93000000
USD
657613.00000000
EUR
2022-04-01
-12269.71000000
N
N
N
Morgan Stanley Capital Services LLC
4PQUHN3JPFGFNF3BB653
Long: BRTU3R1Y5 CDS USD R F 3.00000 2 CMBX / Short: BRTU3R1Y5 CDS USD P V 01MEVENT 1 CMBX
000000000
236000.00000000
OU
Notional Amount
USD
-24093.67000000
-0.00071762213
N/A
DCR
US
N
2
Morgan Stanley Capital Services LLC
4PQUHN3JPFGFNF3BB653
CMBX.NA.BBB-.9
137BERAI8
Y
sell protection
2058-09-17
0.00000000
USD
-11077.02000000
USD
236000.00000000
USD
-13016.65000000
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Pool
3132DMRN7
1217335.38000000
PA
USD
1238428.72000000
0.036886196989
Long
ABS-MBS
USGSE
US
N
2
2048-06-01
Fixed
3.50000000
N
N
N
N
N
N
UMBS, TBA
N/A
Uniform Mortgage-Backed Security, TBA
01F012445
14821000.00000000
PA
USD
14051581.72000000
0.418521795379
Long
ABS-MBS
USGSE
US
N
2
2037-04-15
Fixed
1.50000000
N
N
N
N
N
N
CAPITAL ONE FINANCIAL CO
ZUE8T73ROZOF6FLBAR73
Capital One Financial Corp
14040HCA1
874000.00000000
PA
USD
887651.14000000
0.026438400757
Long
DBT
CORP
US
N
2
2024-01-29
Fixed
3.90000000
N
N
N
N
N
N
Ballyrock Ltd
N/A
Ballyrock CLO 2020-2 Ltd
05876EAE9
250000.00000000
PA
USD
245723.50000000
0.007318794598
Long
ABS-CBDO
CORP
KY
N
2
2031-10-20
Floating
6.40400000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138W9F88
103970.89000000
PA
USD
103031.53000000
0.003068760640
Long
ABS-MBS
USGSE
US
N
2
2028-08-01
Fixed
2.50000000
N
N
N
N
N
N
Cedar Funding Ltd
2549004YLPCISGLL7978
Cedar Funding XI Clo Ltd
15033LAS1
250000.00000000
PA
USD
248118.00000000
0.007390114002
Long
ABS-CBDO
CORP
KY
N
2
2032-05-29
Floating
1.85800000
N
N
N
N
N
N
AMER AIRLINE 16-1 B PTT
N/A
American Airlines 2016-1 Class B Pass Through Trust
02376YAA5
765059.97000000
PA
USD
746353.95000000
0.022229909868
Long
DBT
CORP
US
N
2
2024-01-15
Fixed
5.25000000
N
N
N
N
N
N
CITIGROUP INC
6SHGI4ZSSLCXXQSBB395
Citigroup Inc
172967NL1
5839000.00000000
PA
USD
5819298.16000000
0.173325904677
Long
DBT
CORP
US
N
2
2026-03-17
Fixed
3.29000000
N
N
N
N
N
N
Palmer Square Loan Funding Ltd
N/A
Palmer Square Loan Funding 2019-4 Ltd
69689JAA9
262000.00000000
PA
USD
258078.91000000
0.007686796469
Long
ABS-CBDO
CORP
KY
N
2
2027-10-24
Floating
6.15900000
N
N
N
N
N
N
Morgan Stanley
IGJSJL3JD5P30I6NJZ34
Morgan Stanley
6174468C6
259000.00000000
PA
USD
265095.88000000
0.007895794641
Long
DBT
CORP
US
N
2
2025-07-23
Fixed
4.00000000
N
N
N
N
N
Irwin Home Equity
N/A
Irwin Home Equity Loan Trust 2006-3
464125AD5
70647.47000000
PA
USD
67703.56000000
0.002016528533
Long
ABS-MBS
CORP
US
N
2
2037-09-25
Variable
6.53000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138EQLB6
4133797.80000000
PA
USD
4451056.45000000
0.132573269964
Long
ABS-MBS
USGSE
US
N
2
2039-06-01
Fixed
5.00000000
N
N
N
N
N
N
MFRA Trust
N/A
MFA 2021-NQM1 Trust
55283FAE8
540000.00000000
PA
USD
525280.68000000
0.015645314360
Long
ABS-MBS
CORP
US
N
2
2065-04-25
Variable
3.51400000
N
N
N
N
N
N
Rockford Tower CLO Ltd
549300G18KVCW7VUKI86
Rockford Tower CLO 2017-2 Ltd
77340GAQ4
939000.00000000
PA
USD
918169.22000000
0.027347371852
Long
ABS-CBDO
CORP
KY
N
2
2029-10-15
Floating
3.09100000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36179USV5
1141485.46000000
PA
USD
1183224.52000000
0.035241957831
Long
ABS-MBS
USGA
US
N
2
2049-05-20
Fixed
4.50000000
N
N
N
N
N
N
Navient Corp
54930067J0ZNOEBRW338
Navient Corp
63938CAE8
143000.00000000
PA
USD
148541.25000000
0.004424252861
Long
DBT
CORP
US
N
2
2023-09-25
Fixed
7.25000000
N
N
N
N
N
N
Ajax Mortgage Loan Trust
N/A
Ajax Mortgage Loan Trust 2019-E
00969TAB1
570000.00000000
PA
USD
562094.04000000
0.016741788325
Long
ABS-O
CORP
US
N
2
2059-09-25
Variable
4.87500000
N
N
N
N
N
N
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
Long: BRTKW7905 IRS USD R V 03MLIBOR 1 CCPVANILLA / Short: BRTKW7905 IRS USD P F 2.91450 2 CCPVANILLA
000000000
110000.00000000
OU
Notional Amount
USD
-1861.45000000
-0.00005544268
N/A
DIR
US
N
2
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
N/A
N/A
Y
2026-08-23
2.12000000
USD
0.00000000
USD
110000.00000000
USD
-1863.57000000
N
N
N
PARAMOUNT GLOBAL
5KYC8KF17ROCY24M3H09
Paramount Global
92553PAU6
608000.00000000
PA
USD
700520.33000000
0.020864770390
Long
DBT
CORP
US
N
2
2043-09-01
Fixed
5.85000000
N
N
N
N
N
N
Royal Bank of Canada
ES7IP3U3RHIGC71XBU11
PURCHASED AUD / SOLD CAD
000000000
1.00000000
NC
N/A
7467.93000000
0.000222429868
N/A
DFE
AU
N
2
Royal Bank of Canada
ES7IP3U3RHIGC71XBU11
650357.57000000
CAD
705000.00000000
AUD
2022-04-20
7467.93000000
N
N
N
First Franklin Mtg Loan Asset Backed Certificates
N/A
First Franklin Mortgage Loan Trust 2006-FF16
320275AD2
4082494.18000000
PA
USD
2149194.77000000
0.064013067830
Long
ABS-O
CORP
US
N
2
2036-12-25
Floating
0.73700000
N
N
N
N
N
N
RYDER SYSTEM INC
ZXJ6Y2OSPZXIVGRILD15
Ryder System Inc
78355HKQ1
3580000.00000000
PA
USD
3705909.78000000
0.110379318538
Long
DBT
CORP
US
N
2
2025-06-01
Fixed
4.62500000
N
N
N
N
N
N
Elmwood CLO X Ltd
N/A
Elmwood CLO X Ltd
29002VAA6
1220000.00000000
PA
USD
1212133.44000000
0.036103000619
Long
ABS-CBDO
CORP
KY
N
2
2034-10-20
Floating
1.29400000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36181FEB3
217435.75000000
PA
USD
223934.15000000
0.006669805888
Long
ABS-MBS
USGA
US
N
2
2043-06-15
Fixed
3.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140J8ZR7
1060051.10000000
PA
USD
1116576.23000000
0.033256860172
Long
ABS-MBS
USGSE
US
N
2
2048-08-01
Fixed
4.50000000
N
N
N
N
N
N
280 Park Avenue Mortgage Trust
N/A
280 Park Avenue 2017-280P Mortgage Trust
90205FAL4
500000.00000000
PA
USD
494530.95000000
0.014729443644
Long
ABS-MBS
CORP
US
Y
2
2034-09-15
Floating
1.84300000
N
N
N
N
N
N
JP Morgan Mortgage Trust
N/A
J.P. Morgan Mortgage Trust 2021-INV7
46654CAJ4
3172730.78000000
PA
USD
42572.65000000
0.001268012545
Long
ABS-MBS
CORP
US
N
2
2052-02-25
Variable
0.50000000
N
N
N
N
N
N
VISTRA CORP
549300ZH5GKBTJZ7NM23
Vistra Operations Co LLC
92840VAF9
561000.00000000
PA
USD
551917.41000000
0.016438680707
Long
DBT
CORP
US
N
2
2027-07-31
Fixed
5.00000000
N
N
N
N
N
N
Citigroup Commercial Mortgage Trust
N/A
Citigroup Commercial Mortgage Trust 2020-420K
17328QAN1
7730000.00000000
PA
USD
443715.14000000
0.013215911256
Long
ABS-MBS
CORP
US
N
2
2042-11-10
Variable
0.89000000
N
N
N
N
N
N
Oracle Corp
1Z4GXXU7ZHVWFCD8TV52
Oracle Corp
68389XBQ7
1699000.00000000
PA
USD
1502543.85000000
0.044752780311
Long
DBT
CORP
US
N
2
2047-11-15
Fixed
4.00000000
N
N
N
N
N
N
Goldman Sachs International
W22LROWP2IHZNBB6K528
PURCHASED BRL / SOLD USD
000000000
1.00000000
NC
44977.97000000
0.001339654220
N/A
DFE
BR
N
2
Goldman Sachs International
W22LROWP2IHZNBB6K528
523000.00000000
USD
2704171.50000000
BRL
2022-04-04
44977.97000000
N
N
N
Davis-Standard, LLC
N/A
Davis-Standard, LLC Term Loan
000000000
824562.50000000
PA
USD
803948.44000000
0.023945343037
Long
LON
CORP
US
N
2
2028-12-10
Floating
6.75600000
N
N
N
N
N
N
UNITED AIR 2020-1 A PTT
N/A
United Airlines 2020-1 Class A Pass Through Trust
90931GAA7
3075873.98000000
PA
USD
3183794.71000000
0.094828290843
Long
DBT
CORP
US
N
2
2027-10-15
Fixed
5.87500000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140XAY55
2939569.70000000
PA
USD
3000712.93000000
0.089375259519
Long
ABS-MBS
USGSE
US
N
2
2051-01-01
Fixed
4.00000000
N
N
N
N
N
N
CITRIX SYSTEMS INC
HCTKJGUQOPZ5NBK7NP58
Citrix Systems Inc
177376AF7
998000.00000000
PA
USD
987139.35000000
0.029401624762
Long
DBT
CORP
US
N
2
2030-03-01
Fixed
3.30000000
N
N
N
N
N
N
AGILENT TECHNOLOGIES INC
QUIX8Y7A2WP0XRMW7G29
Agilent Technologies Inc
00846UAM3
1723000.00000000
PA
USD
1546464.85000000
0.046060953023
Long
DBT
CORP
US
N
2
2030-06-04
Fixed
2.10000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Pool
3132DM2W4
230336.09000000
PA
USD
214703.48000000
0.006394873382
Long
ABS-MBS
USGSE
US
N
2
2051-12-01
Fixed
2.00000000
N
N
N
N
N
N
AGILENT TECHNOLOGIES INC
QUIX8Y7A2WP0XRMW7G29
Agilent Technologies Inc
00846UAN1
428000.00000000
PA
USD
386643.34000000
0.011516046239
Long
DBT
CORP
US
N
2
2031-03-12
Fixed
2.30000000
N
N
N
N
N
N
Norfolk Southern Corp
54930036C8MWP850MI84
Norfolk Southern Corp
655844BV9
451000.00000000
PA
USD
473600.02000000
0.014106022696
Long
DBT
CORP
US
N
2
2052-08-15
Fixed
4.05000000
N
N
N
N
N
N
Cablevision Lightpath LLC
5493002ZVBLRLGES1R71
Cablevision Lightpath LLC Term Loan B
12687HAB3
203425.00000000
PA
USD
201212.75000000
0.005993056373
Long
LON
CORP
US
N
2
2027-11-30
Floating
3.75000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31391T6C7
266379.32000000
PA
USD
291387.70000000
0.008678887956
Long
ABS-MBS
USGSE
US
N
2
2033-01-01
Fixed
5.50000000
N
N
N
N
N
N
Ajax Mortgage Loan Trust
N/A
Ajax Mortgage Loan Trust 2020-A
00969WAA6
4043554.01000000
PA
USD
3963117.21000000
0.118040158259
Long
ABS-O
CORP
US
N
2
2059-12-25
Variable
2.37500000
N
N
N
N
N
N
Oracle Corp
1Z4GXXU7ZHVWFCD8TV52
Oracle Corp
68389XBE4
2705000.00000000
PA
USD
2543735.34000000
0.075764330499
Long
DBT
CORP
US
N
2
2035-05-15
Fixed
3.90000000
N
N
N
N
N
N
Leslie's Poolmart, Inc.
549300MZRH1GJYUMRM83
Leslie's Poolmart, Inc. 2021 Term Loan B
52706YAJ2
196300.54000000
PA
USD
194057.02000000
0.005779925280
Long
LON
CORP
US
N
2
2028-03-09
Floating
3.01900000
N
N
N
N
N
N
Deutsche Bank AG
7LTWFZYICNSX8D621K86
PURCHASED USD / SOLD MXN
000000000
1.00000000
NC
-2130.74000000
-0.00006346339
N/A
DFE
US
N
2
Deutsche Bank AG
7LTWFZYICNSX8D621K86
1107847.95000000
MXN
53568.00000000
USD
2022-04-01
-2130.74000000
N
N
N
BANCO DAVIVIENDA SA
549300P161V4IPKAQS70
Banco Davivienda SA
059501AD8
200000.00000000
PA
USD
184352.00000000
0.005490864413
Long
DBT
CORP
CO
N
2
2031-04-22
Fixed
6.65000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138WJEP9
173155.65000000
PA
USD
171564.04000000
0.005109979180
Long
ABS-MBS
USGSE
US
N
2
2031-11-01
Fixed
2.50000000
N
N
N
N
N
N
VICI PROPERTIES / NOTE
N/A
VICI Properties LP / VICI Note Co Inc
92564RAA3
2732000.00000000
PA
USD
2720525.60000000
0.081029970944
Long
DBT
US
N
2
2026-12-01
Fixed
4.25000000
N
N
N
N
N
N
VERIZON COMMUNICATIONS
2S72QS2UO2OESLG6Y829
Verizon Communications Inc
92343VFU3
2711000.00000000
PA
USD
2265103.48000000
0.067465371092
Long
DBT
CORP
US
N
2
2050-11-20
Fixed
2.87500000
N
N
N
N
N
N
LLOYDS BANKING GROUP PLC
549300PPXHEU2JF0AM85
Lloyds Banking Group PLC
53944YAP8
1496000.00000000
PA
USD
1371759.70000000
0.040857416902
Long
DBT
CORP
GB
N
2
2027-05-11
Fixed
1.62700000
N
N
N
N
N
N
Altria Group Inc
XSGZFLO9YTNO9VCQV219
Altria Group Inc
02209SAZ6
2110000.00000000
PA
2334761.20000000
0.069540103646
Long
DBT
CORP
US
N
2
2031-06-15
Fixed
3.12500000
N
N
N
N
N
N
BALTIMORE GAS & ELECTRIC
88V8C2WYSOD1SPSSLH72
Baltimore Gas and Electric Co
059165EL0
625000.00000000
PA
USD
563439.29000000
0.016781856159
Long
DBT
CORP
US
N
2
2049-09-15
Fixed
3.20000000
N
N
N
N
N
N
JP Morgan Mortgage Trust
N/A
J.P. Morgan Mortgage Trust 2021-INV7
46654CAM7
1117000.00000000
PA
USD
68035.24000000
0.002026407514
Long
ABS-MBS
CORP
US
N
2
2052-02-25
Variable
0.50000000
N
N
N
N
N
N
AMEREN ILLINOIS CO
RC71E2BZ6UOMFPDJSE79
Ameren Illinois Co
02361DAU4
775000.00000000
PA
USD
709611.51000000
0.021135548232
Long
DBT
CORP
US
N
2
2050-03-15
Fixed
3.25000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138XTDQ5
321787.18000000
PA
USD
328755.37000000
0.009791871864
Long
ABS-MBS
USGSE
US
N
2
2029-05-01
Fixed
3.50000000
N
N
N
N
N
N
United States Treasury
254900HROIFWPRGM1V77
United States Treasury Note/Bond
912810SR0
10822000.00000000
PA
USD
8527397.81000000
0.253985772739
Long
DBT
UST
US
N
2
2040-05-15
Fixed
1.12500000
N
N
N
N
N
N
Freddie Mac - STACR
N/A
Freddie Mac STACR REMIC Trust 2021-HQA3
35564KKK4
809072.00000000
PA
USD
721932.11000000
0.021502513299
Long
ABS-MBS
USGSE
US
N
2
2041-09-25
Floating
3.44900000
N
N
N
N
N
N
Voya CLO 2017-4, Ltd.
N/A
Voya Clo 2017-4 Ltd
92916QAA0
1020000.00000000
PA
USD
1016889.00000000
0.030287708420
Long
ABS-CBDO
CORP
KY
N
2
2030-10-15
Floating
1.37100000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Pool
3132DM2S3
1199487.47000000
PA
USD
1116962.31000000
0.033268359439
Long
ABS-MBS
USGSE
US
N
2
2051-12-01
Fixed
2.00000000
N
N
N
N
N
N
MidAmerican Energy Co
NINLOILYRTLIMK26MZ18
MidAmerican Energy Co
595620AT2
2047000.00000000
PA
USD
2104012.14000000
0.062667317877
Long
DBT
CORP
US
N
2
2029-04-15
Fixed
3.65000000
N
N
N
N
N
N
WEEKLEY HOMES LLC/ FINAN
N/A
Weekley Homes LLC / Weekley Finance Corp
948565AD8
318000.00000000
PA
USD
293086.29000000
0.008729479907
Long
DBT
CORP
US
N
2
2028-09-15
Fixed
4.87500000
N
N
N
N
N
N
Deutsche Bank AG
7LTWFZYICNSX8D621K86
Long: BRTGGJVH4 CDS USD R F 3.00000 2 CMBX / Short: BRTGGJVH4 CDS USD P V 01MEVENT 1 CMBX
000000000
467000.00000000
OU
Notional Amount
USD
-47676.88000000
-0.00142004037
N/A
DCR
US
N
2
Deutsche Bank AG
7LTWFZYICNSX8D621K86
CMBX.NA.BBB-.9
137BERAI8
Y
sell protection
2058-09-17
0.00000000
USD
-57312.44000000
USD
467000.00000000
USD
9635.56000000
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140J5EJ4
56998.85000000
PA
USD
56466.59000000
0.001681839033
Long
ABS-MBS
USGSE
US
N
2
2032-02-01
Fixed
2.50000000
N
N
N
N
N
N
BAUSCH HEALTH COS INC
B3BS7ACMDUWISF18KY76
Bausch Health Cos Inc
071734AN7
235000.00000000
PA
USD
225012.50000000
0.006701924193
Long
DBT
CORP
CA
N
2
2028-06-01
Fixed
4.87500000
N
N
N
N
N
N
Ameren Illinois Co
RC71E2BZ6UOMFPDJSE79
Ameren Illinois Co
02361DAS9
800000.00000000
PA
USD
820941.13000000
0.024451464787
Long
DBT
CORP
US
N
2
2028-05-15
Fixed
3.80000000
N
N
N
N
N
N
Jo-Ann Stores, Inc.
549300GM65RR2EMGLI48
Jo-Ann Stores, Inc. 2021 Term Loan B1
47759DAE5
283575.00000000
PA
USD
249546.00000000
0.007432646518
Long
LON
CORP
US
N
2
2028-07-07
Floating
5.50000000
N
N
N
N
N
N
Goldman Sachs International
W22LROWP2IHZNBB6K528
BRWZ92J53 BLACKROCK FXVAN CALL USD TRY 15.0000000
000000000
-1050000.00000000
OU
Notional Amount
USD
-30319.80000000
-0.00090306539
N/A
DFE
LU
N
2
Goldman Sachs International
W22LROWP2IHZNBB6K528
Call
Written
Goldman Sachs International
W22LROWP2IHZNBB6K528
Goldman Sachs International
W22LROWP2IHZNBB6K528
FX Contract
N/A
1.00000000
NC
USD
-30319.80000000
0.00000000
DFE
XX
-1050000.00000000
USD
-15750000.00000000
EUR
2022-04-28
1.00000000
15.00000000
USD
2022-04-28
XXXX
22768.20000000
N
N
N
OZLM Ltd
549300SDDOLWC85Q9Q65
OZLM XXII Ltd
67111VAC0
249683.22000000
PA
USD
248134.19000000
0.007390596216
Long
ABS-CBDO
CORP
KY
N
2
2031-01-17
Floating
1.31100000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140HHWM3
96544.80000000
PA
USD
100013.20000000
0.002978860662
Long
ABS-MBS
USGSE
US
N
2
2048-08-01
Fixed
4.00000000
N
N
N
N
N
N
CREDIT SUISSE GROUP AG
549300506SI9CRFV9Z86
Credit Suisse Group AG
225433AT8
955000.00000000
PA
USD
963756.30000000
0.028705168216
Long
DBT
CORP
CH
N
2
2023-06-09
Fixed
3.80000000
N
N
N
N
N
N
Bank of America N.A.
B4TYDEB6GKMZO031MB27
PURCHASED EUR / SOLD USD
000000000
1.00000000
NC
-3900.77000000
-0.00011618316
N/A
DFE
XX
N
2
Bank of America N.A.
B4TYDEB6GKMZO031MB27
1027653.91000000
USD
925000.00000000
EUR
2022-04-20
-3900.77000000
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36202FEH5
30571.63000000
PA
USD
32549.33000000
0.000969471216
Long
ABS-MBS
USGA
US
N
2
2040-02-20
Fixed
4.50000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
31335BAA4
102721.76000000
PA
USD
107296.76000000
0.003195799129
Long
ABS-MBS
USGSE
US
N
2
2044-07-01
Fixed
4.00000000
N
N
N
N
N
N
Tenet Healthcare Corp
0W9AIBT6U6ADJ2I8HK17
Tenet Healthcare Corp
88033GCX6
1353000.00000000
PA
USD
1388983.04000000
0.041370408487
Long
DBT
CORP
US
N
2
2027-02-01
Fixed
6.25000000
N
N
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
Long: SRWUST7C2 IRS USD R F 2.88750 2 CCPINFLATIONZERO / Short: SRWUST7C2 IRS USD P V 12MUSCPI 1 CCPINFLATIONZERO
000000000
8000000.00000000
OU
Notional Amount
USD
-355681.28000000
-0.01059385134
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
Inflation based on US CPI Urban Consumers NSA
2031-10-29
159.34000000
USD
0.00000000
USD
8000000.00000000
USD
-355840.62000000
N
N
N
BAT Capital Corp
2138005GYEXN7XRHFA84
BAT Capital Corp
05526DBN4
426000.00000000
PA
USD
438800.53000000
0.013069531195
Long
DBT
CORP
US
N
2
2030-04-02
Fixed
4.90600000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138XCY30
1367352.73000000
PA
USD
1408480.94000000
0.041951147103
Long
ABS-MBS
USGSE
US
N
2
2028-10-01
Fixed
3.50000000
N
N
N
N
N
N
AT&T Inc
549300Z40J86GGSTL398
AT&T Inc
00206RAE2
8000000.00000000
PA
USD
7870817.28000000
0.234429735012
Long
DBT
CORP
US
N
2
2022-11-27
None
0.00000000
N
N
N
N
N
N
Oracle Corp
1Z4GXXU7ZHVWFCD8TV52
Oracle Corp
68389XBF1
41000.00000000
PA
USD
36818.86000000
0.001096637780
Long
DBT
CORP
US
N
2
2045-05-15
Fixed
4.12500000
N
N
N
N
N
N
MED Trust
N/A
Med Trust 2021-MDLN
58403YBA3
5601839.00000000
PA
USD
5469647.92000000
0.162911685900
Long
ABS-MBS
CORP
US
N
2
2038-11-15
Floating
5.64700000
N
N
N
N
N
N
CONSUMERS ENERGY CO
7NKTFWJ1G6MELP9TU740
Consumers Energy Co
210518DF0
445000.00000000
PA
USD
407369.13000000
0.012133357159
Long
DBT
CORP
US
N
2
2050-08-15
Fixed
3.10000000
N
N
N
N
N
N
Deutsche Alt-A Securities INC Mortgage Loan Trust
N/A
Deutsche Alt-A Securities Mortgage Loan Trust Series 2007-OA4/DE
25151XAF8
309980.09000000
PA
USD
341999.39000000
0.010186340696
Long
ABS-MBS
CORP
US
N
2
2047-08-25
Floating
0.62700000
N
N
N
N
N
N
BROADCOM CRP / CAYMN FI
N/A
Broadcom Corp / Broadcom Cayman Finance Ltd
11134LAH2
1941000.00000000
PA
USD
1953975.51000000
0.058198525608
Long
DBT
CORP
XX
N
2
2027-01-15
Fixed
3.87500000
N
N
N
N
N
N
United States Treasury
254900HROIFWPRGM1V77
United States Treasury Note/Bond
912828YB0
2246000.00000000
PA
USD
2129927.42000000
0.063439196071
Long
DBT
UST
US
N
2
2029-08-15
Fixed
1.62500000
N
N
N
N
N
N
Nelnet Student Loan Trust
N/A
Nelnet Student Loan Trust 2021-C
64035GAC3
2830000.00000000
PA
USD
2564203.85000000
0.076373978418
Long
ABS-O
CORP
US
N
2
2062-04-20
Fixed
2.53000000
N
N
N
N
N
N
Chicago Board of Trade
549300EX04Q2QBFQTQ27
US LONG BOND(CBT) JUN22
000000000
765.00000000
NC
USD
-3137160.80000000
-0.09343931498
N/A
DIR
US
N
1
Chicago Board of Trade
549300EX04Q2QBFQTQ27
Long
CBOT US Long Bond Future
USM2 COMDTY
2022-06-21
117934973.30000000
USD
-3137160.80000000
N
N
N
Sarcos Technology and Robotics Corp
N/A
Sarcos Technology and Robotics Corp
80359A114
102425.00000000
NS
USD
108570.50000000
0.003233737061
N/A
DE
US
N
1
N/A
N/A
Call
Purchased
Sarcos Technology and Robotics Corp
Sarcos Technology and Robotics Corp
11.50000000
11.50000000
USD
2027-06-15
XXXX
159.97000000
N
N
N
GLOBAL PAYMENTS INC
549300NOMHGVQBX6S778
Global Payments Inc
37940XAD4
831000.00000000
PA
USD
766965.41000000
0.022843815506
Long
DBT
CORP
US
N
2
2030-05-15
Fixed
2.90000000
N
N
N
N
N
N
TPGI Trust
N/A
TPGI Trust 2021-DGWD
87267HAU1
215000.00000000
PA
USD
208642.21000000
0.006214340425
Long
ABS-MBS
CORP
US
N
2
2026-06-15
Floating
4.25000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36241KXQ6
126199.31000000
PA
USD
139177.93000000
0.004145369418
Long
ABS-MBS
USGA
US
N
2
2038-12-15
Fixed
5.00000000
N
N
N
N
N
N
CITIGROUP INC
6SHGI4ZSSLCXXQSBB395
Citigroup Inc
17327CAN3
3903000.00000000
PA
USD
3757335.94000000
0.111911030002
Long
DBT
CORP
US
N
2
2026-01-25
Fixed
2.01400000
N
N
N
N
N
N
MFT Trust
N/A
MFT Trust 2020-ABC
55317BAJ6
431000.00000000
PA
USD
358537.13000000
0.010678911908
Long
ABS-MBS
CORP
US
N
2
2042-02-10
Variable
3.47700000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31417C3C7
61217.19000000
PA
USD
60655.53000000
0.001806605250
Long
ABS-MBS
USGSE
US
N
2
2027-09-01
Fixed
2.50000000
N
N
N
N
N
N
Euro Galaxy CLO DAC
635400H1W7SGWXGQOB43
Euro-Galaxy III CLO DAC
000000000
290000.00000000
PA
312159.80000000
0.009297578204
Long
ABS-CBDO
CORP
IE
N
2
2034-04-24
Floating
3.25000000
N
N
N
N
N
N
EIG PEARL HOLDINGS SARL
549300KIMRL45BWA5H76
EIG Pearl Holdings Sarl
28249NAB7
1440000.00000000
PA
USD
1346400.00000000
0.040102086478
Long
DBT
CORP
LU
N
2
2046-11-30
Fixed
4.38700000
N
N
N
N
N
N
UNION PACIFIC CORP
549300LMMRSZZCZ8CL11
Union Pacific Corp
907818FE3
311000.00000000
PA
USD
315748.00000000
0.009404451575
Long
DBT
CORP
US
N
2
2059-08-15
Fixed
3.95000000
N
N
N
N
N
N
Hudson Yards
N/A
Hudson Yards 2019-30HY Mortgage Trust
44421GAL7
511000.00000000
PA
USD
471480.03000000
0.014042879483
Long
ABS-MBS
CORP
US
N
2
2039-07-10
Variable
3.44300000
N
N
N
N
N
N
DELTA AIR LINES 2019-1AA
N/A
Delta Air Lines 2019-1 Class AA Pass Through Trust
24737BAA3
2258000.00000000
PA
USD
2259923.36000000
0.067311082901
Long
DBT
CORP
US
N
2
2024-04-25
Fixed
3.20400000
N
N
N
N
N
N
MARSH & MCLENNAN COS INC
549300XMP3KDCKJXIU47
Marsh & McLennan Cos Inc
571748BN1
1712000.00000000
PA
USD
1562771.36000000
0.046546637125
Long
DBT
CORP
US
N
2
2030-11-15
Fixed
2.25000000
N
N
N
N
N
Park Avenue Institutional Advisers CLO
549300ZWX1MRCB6KO574
Park Avenue Institutional Advisers CLO Ltd 2017-1
70017KAN9
730000.00000000
PA
USD
716281.84000000
0.021334221844
Long
ABS-CBDO
CORP
KY
N
2
2034-02-14
Floating
1.94500000
N
N
N
N
N
N
Rockford Tower CLO Ltd
5493007GXSFXDXOXG741
Rockford Tower CLO 2017-1 Ltd
77340EAY2
1160000.00000000
PA
USD
1141741.60000000
0.034006402539
Long
ABS-CBDO
CORP
KY
N
2
2034-04-20
Floating
1.90400000
N
N
N
N
N
N
Taylor Morrison Home Corp
5299009UDLLGLKOOJE30
Taylor Morrison Home Corp
87724P106
18564.00000000
NS
USD
505312.08000000
0.015050556098
Long
EC
CORP
US
N
1
N
N
N
DANSKE BANK A/S
MAES062Z21O4RZ2U7M96
Danske Bank A/S
23636ABB6
419000.00000000
PA
USD
381534.82000000
0.011363890631
Long
DBT
CORP
DK
N
2
2027-09-10
Fixed
1.54900000
N
N
N
N
N
PIEDMONT NATURAL GAS CO
VXB4M3BDPKF3I2AZ3G89
Piedmont Natural Gas Co Inc
720186AN5
810000.00000000
PA
USD
743691.63000000
0.022150613532
Long
DBT
CORP
US
N
2
2031-03-15
Fixed
2.50000000
N
N
N
N
N
N
JPMBB Commercial Mortgage Securities Trust
N/A
JPMBB Commercial Mortgage Securities Trust 2015-C29
46644RBB0
626798.84000000
PA
USD
9336.92000000
0.000278097128
Long
ABS-MBS
CORP
US
N
2
2048-05-15
Variable
0.60300000
N
N
N
N
N
N
Nelnet Student Loan Trust
N/A
Nelnet Student Loan Trust 2021-A
64035DAG1
860000.00000000
PA
USD
810494.19000000
0.024140306073
Long
ABS-O
CORP
US
N
2
2062-04-20
Fixed
4.93000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31416BMP0
912147.21000000
PA
USD
998705.19000000
0.029746109548
Long
ABS-MBS
USGSE
US
N
2
2037-08-01
Fixed
5.50000000
N
N
N
N
N
N
Countrywide Asset-Backed Certificates
N/A
Countrywide Asset-Backed Certificates
12666MAA9
1547.34000000
PA
USD
9371.15000000
0.000279116657
Long
ABS-O
CORP
US
N
2
2025-12-25
Floating
0.67700000
N
N
N
N
N
N
AT&T INC
549300Z40J86GGSTL398
AT&T Inc
00206RKJ0
2373000.00000000
PA
USD
2082174.71000000
0.062016897121
Long
DBT
CORP
US
N
2
2053-09-15
Fixed
3.50000000
N
N
N
N
N
N
SHERWIN-WILLIAMS CO
Z15BMIOX8DDH0X2OBP21
Sherwin-Williams Co/The
824348BL9
1400000.00000000
PA
USD
1280123.25000000
0.038128055017
Long
DBT
CORP
US
N
2
2030-05-15
Fixed
2.30000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
3132J72F8
1131874.28000000
PA
USD
1128824.32000000
0.033621665552
Long
ABS-MBS
USGSE
US
N
2
2043-03-01
Fixed
3.00000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36198QTX6
14810.51000000
PA
USD
15132.95000000
0.000450729998
Long
ABS-MBS
USGA
US
N
2
2044-08-20
Fixed
4.00000000
N
N
N
N
N
N
RRAM
549300YH0VOGWM5JZF65
RR 3 Ltd
74988LAA2
860000.00000000
PA
USD
858054.68000000
0.025556879813
Long
ABS-CBDO
CORP
KY
N
2
2030-01-15
Floating
1.33100000
N
N
N
N
N
N
WELLS FARGO & COMPANY
PBLD0EJDB5FWOLXP3B76
Wells Fargo & Co
95000U2G7
221000.00000000
PA
USD
210046.93000000
0.006256179553
Long
DBT
CORP
US
N
2
2030-10-30
Fixed
2.87900000
N
N
N
N
N
N
KLABIN AUSTRIA GMBH
984500578YEA8DD41B09
Klabin Austria GmbH
49836AAC8
340000.00000000
PA
USD
296228.40000000
0.008823066632
Long
DBT
CORP
AT
N
2
2031-01-12
Fixed
3.20000000
N
N
N
N
N
N
DEVON ENERGY CORPORATION
54930042348RKR3ZPN35
Devon Energy Corp
25179MBF9
268000.00000000
PA
USD
276558.54000000
0.008237206244
Long
DBT
CORP
US
N
2
2030-01-15
Fixed
4.50000000
N
N
N
N
N
N
United States Treasury
254900HROIFWPRGM1V77
United States Treasury Note/Bond
912810QB7
1010000.00000000
PA
USD
1264748.83000000
0.037670132913
Long
DBT
UST
US
N
2
2039-05-15
Fixed
4.25000000
N
N
N
N
N
N
Danske Bank A/S
MAES062Z21O4RZ2U7M96
Danske Bank A/S
23636AAT8
2078000.00000000
PA
USD
2142499.60000000
0.063813654367
Long
DBT
CORP
DK
N
2
2024-01-12
Fixed
5.37500000
N
N
N
N
N
N
BNP Paribas SA
R0MUWSFPU8MPRO8K5P83
PURCHASED MXN / SOLD USD
000000000
1.00000000
NC
899.25000000
0.000026783869
N/A
DFE
MX
N
2
BNP Paribas SA
R0MUWSFPU8MPRO8K5P83
179000.00000000
USD
3588204.68000000
MXN
2022-04-20
899.25000000
N
N
N
Harvest CLO
635400H4BIBT9YC1IC52
Harvest CLO XXIII DAC
000000000
250000.00000000
PA
270782.01000000
0.008065154175
Long
ABS-CBDO
CORP
IE
N
2
2032-10-20
Floating
2.05000000
N
N
N
N
N
N
State Street Corp
549300ZFEEJ2IP5VME73
State Street Corp
857477AQ6
280000.00000000
PA
USD
279919.68000000
0.008337316707
Long
DBT
CORP
US
N
2
2022-06-15
Variable
4.42300000
N
N
N
N
N
N
WYNN LAS VEGAS LLC/CORP
N/A
Wynn Las Vegas LLC / Wynn Las Vegas Capital Corp
983130AV7
998000.00000000
PA
USD
998019.96000000
0.029725700195
Long
DBT
CORP
US
N
2
2025-03-01
Fixed
5.50000000
N
N
N
N
N
N
ALEXANDRIA REAL ESTATE E
MGCJBT4MKTQBVLNUIS88
Alexandria Real Estate Equities Inc
015271AY5
354000.00000000
PA
USD
333040.48000000
0.009919502473
Long
DBT
US
N
2
2034-03-15
Fixed
2.95000000
N
N
N
N
N
N
CHC Commercial Mortgage Trust 2019-CHC
N/A
CHC Commercial Mortgage Trust 2019 - CHC
162665AG8
1685695.92000000
PA
USD
1660239.89000000
0.049449705618
Long
ABS-MBS
CORP
US
N
2
2034-06-15
Floating
1.89700000
N
N
N
N
N
N
OTIS WORLDWIDE CORP
549300ZLBKR8VSU25153
Otis Worldwide Corp
68902VAK3
939000.00000000
PA
USD
877582.19000000
0.026138500353
Long
DBT
CORP
US
N
2
2030-02-15
Fixed
2.56500000
N
N
N
N
N
N
L3HARRIS TECH INC
549300UTE50ZMDBG8A20
L3Harris Technologies Inc
413875AW5
2859000.00000000
PA
USD
2973195.18000000
0.088555652277
Long
DBT
CORP
US
N
2
2028-06-15
Fixed
4.40000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31417F4H8
481838.33000000
PA
USD
480892.37000000
0.014323222971
Long
ABS-MBS
USGSE
US
N
2
2043-04-01
Fixed
3.00000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae
21H022648
22274000.00000000
PA
USD
21603169.71000000
0.643443389725
Long
ABS-MBS
USGA
US
N
2
2052-04-21
Fixed
2.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31402CTT9
106614.29000000
PA
USD
115260.08000000
0.003432984028
Long
ABS-MBS
USGSE
US
N
2
2034-02-01
Fixed
6.00000000
N
N
N
N
N
N
ROPER TECHNOLOGIES INC
54930003T4SXCIWVXY35
Roper Technologies Inc
776743AG1
411000.00000000
PA
USD
396161.36000000
0.011799537372
Long
DBT
CORP
US
N
2
2029-09-15
Fixed
2.95000000
N
N
N
N
N
N
LCM Ltd Partnership
N/A
LCM 29 Ltd
50201MAQ6
250000.00000000
PA
USD
248419.75000000
0.007399101528
Long
ABS-CBDO
CORP
KY
N
2
2031-04-15
Floating
1.31100000
N
N
N
N
N
N
AMERICAN TOWER CORP
5493006ORUSIL88JOE18
American Tower Corp
03027XAW0
5125000.00000000
PA
USD
5100058.93000000
0.151903597933
Long
DBT
US
N
2
2029-08-15
Fixed
3.80000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31416TL49
80031.74000000
PA
USD
84935.47000000
0.002529775373
Long
ABS-MBS
USGSE
US
N
2
2039-08-01
Fixed
4.50000000
N
N
N
N
N
N
BANK OF AMERICA CORP
9DJT3UXIJIZJI4WXO774
Bank of America Corp
06051GJD2
3517000.00000000
PA
USD
3296029.88000000
0.098171178910
Long
DBT
CORP
US
N
2
2026-06-19
Fixed
1.31900000
N
N
N
N
N
N
Chase Mortgage Finance Corporation
N/A
Chase Mortgage Finance Trust Series 2007-S6
161636AA3
6498179.03000000
PA
USD
3676843.20000000
0.109513579898
Long
ABS-MBS
CORP
US
N
2
2037-12-25
Fixed
6.00000000
N
N
N
N
N
N
Autodesk Inc
FRKKVKAIQEF3FCSTPG55
Autodesk Inc
052769AE6
2478000.00000000
PA
USD
2490805.44000000
0.074187830627
Long
DBT
CORP
US
N
2
2027-06-15
Fixed
3.50000000
N
N
N
N
N
N
HONO 2021-LULU Mortgage Trust
N/A
HONO 2021-LULU Mortgage Trust
40390MAQ8
263000.00000000
PA
USD
257862.53000000
0.007680351661
Long
ABS-MBS
CORP
US
N
2
2036-10-15
Floating
4.79700000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36179DEK2
393033.36000000
PA
USD
403323.53000000
0.012012860278
Long
ABS-MBS
USGA
US
N
2
2042-12-15
Fixed
3.50000000
N
N
N
N
N
N
CFCRE Commercial Mortgage Trust
N/A
CFCRE Commercial Mortgage Trust 2016-C4
12531YAS7
2370000.00000000
PA
USD
61696.31000000
0.001837604544
Long
ABS-MBS
CORP
US
N
2
2058-05-10
Variable
0.70300000
N
N
N
N
N
N
CROWN CASTLE INTL CORP
54930012H97VSM0I2R19
Crown Castle International Corp
22822VAJ0
286000.00000000
PA
USD
287932.20000000
0.008575967011
Long
DBT
US
N
2
2023-07-15
Fixed
3.15000000
N
N
N
N
N
N
GSK CONSUMER HEALTHCARE
549300N8C3A3L0UVQB07
GSK Consumer Healthcare Capital US LLC
36264FAB7
992000.00000000
PA
USD
991986.97000000
0.029546009549
Long
DBT
CORP
US
N
2
2027-03-24
Fixed
3.37500000
N
N
N
N
N
N
Darling Ingredients Inc
L1N0SPPKS7EXZYUMZ898
Darling Ingredients Inc
237266AH4
216000.00000000
PA
USD
220320.00000000
0.006562159605
Long
DBT
CORP
US
N
2
2027-04-15
Fixed
5.25000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138XQF30
288095.58000000
PA
USD
290425.75000000
0.008650236588
Long
ABS-MBS
USGSE
US
N
2
2029-05-01
Fixed
3.00000000
N
N
N
N
N
N
Citibank N.A.
E57ODZWZ7FF32TWEFA76
PURCHASED MXN / SOLD USD
000000000
1.00000000
NC
22950.60000000
0.000683576163
N/A
DFE
MX
N
2
Citibank N.A.
E57ODZWZ7FF32TWEFA76
525000.00000000
USD
10898737.50000000
MXN
2022-04-01
22950.60000000
N
N
N
National Bank of Canada
BSGEFEIOM18Y80CKCV46
National Bank of Canada
000000000
3200000.00000000
PA
USD
3200000.00000000
0.095310960139
Long
RA
CORP
US
N
2
Repurchase
Y
0.32000000
2022-04-07
3368868.27000000
USD
3265820.46000000
USD
UST
N
N
Olympic Tower Mortgage Trust
N/A
Olympic Tower 2017-OT Mortgage Trust
68162MAN2
1049000.00000000
PA
USD
871579.48000000
0.025959711586
Long
ABS-MBS
CORP
US
N
2
2039-05-10
Variable
3.94500000
N
N
N
N
N
N
Dryden Senior Loan Fund
5493002P75UIPU4MC757
Dryden 43 Senior Loan Fund
26245CBE2
910000.00000000
PA
USD
898943.50000000
0.026774740030
Long
ABS-CBDO
CORP
KY
N
2
2034-04-20
Floating
1.29400000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138E2GK5
46720.03000000
PA
USD
49176.97000000
0.001464720071
Long
ABS-MBS
USGSE
US
N
2
2042-01-01
Fixed
5.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138WJC71
349776.73000000
PA
USD
346560.91000000
0.010322204087
Long
ABS-MBS
USGSE
US
N
2
2031-10-01
Fixed
2.50000000
N
N
N
N
N
N
NEWMONT CORP
549300VSP3RIX7FGDZ51
Newmont Corp
651639AY2
1311000.00000000
PA
USD
1198162.72000000
0.035686887264
Long
DBT
CORP
US
N
2
2030-10-01
Fixed
2.25000000
N
N
N
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
Long: SRWV2LMS3 IRS USD R F 2.76250 2 CCPINFLATIONZERO / Short: SRWV2LMS3 IRS USD P V 12MUSCPI 1 CCPINFLATIONZERO
000000000
8399000.00000000
OU
Notional Amount
USD
-483186.07000000
-0.01439154008
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
Inflation based on US CPI Urban Consumers NSA
2031-11-05
167.62000000
USD
0.00000000
USD
8399000.00000000
USD
-483353.69000000
N
N
N
Anchorage Capital CLO LTD
54930064GO7DB3TVDY21
Anchorage Capital CLO 6 Ltd
03328QAY7
890000.00000000
PA
USD
886331.42000000
0.026399093325
Long
ABS-CBDO
CORP
KY
N
2
2030-07-15
Floating
1.29100000
N
N
N
N
N
N
Anchorage Capital CLO LTD
54930014PVHLSZJQK139
Anchorage Capital CLO 7 Ltd
03328TBG9
250000.00000000
PA
USD
247655.00000000
0.007376323697
Long
ABS-CBDO
CORP
KY
N
2
2031-01-28
Floating
3.77800000
N
N
N
N
N
N
JPMORGAN CHASE & CO
8I5DZWZKVSZI1NUHU748
JPMorgan Chase & Co
46647PBF2
4906000.00000000
PA
USD
4804870.71000000
0.143111512724
Long
DBT
CORP
US
N
2
2025-10-15
Fixed
2.30100000
N
N
N
N
N
N
United States Treasury
254900HROIFWPRGM1V77
United States Treasury Note/Bond
91282CCF6
12344000.00000000
PA
USD
11480884.31000000
0.341954408387
Long
DBT
UST
US
N
2
2026-05-31
Fixed
0.75000000
N
N
N
N
N
N
SERVICENOW INC
549300HJTQM36M0E1G39
ServiceNow Inc
81762PAE2
1948000.00000000
PA
USD
1655557.20000000
0.049310233218
Long
DBT
CORP
US
N
2
2030-09-01
Fixed
1.40000000
N
N
N
N
N
N
MPLX LP
5493000CZJ19CK4P3G36
MPLX LP
55336VAG5
492000.00000000
PA
USD
509545.45000000
0.015176645648
Long
DBT
CORP
US
N
2
2024-12-01
Fixed
4.87500000
N
N
N
N
N
N
Morgan Stanley
IGJSJL3JD5P30I6NJZ34
Morgan Stanley
61744YAK4
3066000.00000000
PA
USD
3074526.48000000
0.091573772119
Long
DBT
CORP
US
N
2
2028-07-22
Fixed
3.59100000
N
N
N
N
N
N
WYNN RESORTS FINANCE LLC
N/A
Wynn Resorts Finance LLC / Wynn Resorts Capital Corp
983133AB5
1027000.00000000
PA
USD
1065676.82000000
0.031740837785
Long
DBT
CORP
US
N
2
2025-04-15
Fixed
7.75000000
N
N
N
N
N
N
GENERAL MOTORS CO
54930070NSV60J38I987
General Motors Co
37045VAW0
338000.00000000
PA
USD
349721.32000000
0.010416335872
Long
DBT
CORP
US
N
2
2023-10-02
Fixed
5.40000000
N
N
N
N
N
N
Clontarf Park CLO
5493001O2660X7YTLM04
Clontarf Park CLO DAC
000000000
310000.00000000
PA
339996.39000000
0.010126681992
Long
ABS-CBDO
CORP
IE
Y
2
2030-08-05
Floating
3.05000000
N
N
N
N
N
N
Ajax Mortgage Loan Trust
N/A
Ajax Mortgage Loan Trust 2019-G
00969VAA8
2413622.82000000
PA
USD
2374166.12000000
0.070713766383
Long
ABS-O
CORP
US
N
2
2059-09-25
Variable
3.00000000
N
N
N
N
N
N
GOLDMAN SACHS GROUP INC
784F5XWPLTWKTBV3E584
Goldman Sachs Group Inc/The
38145GAH3
2975000.00000000
PA
USD
2987371.09000000
0.088977877150
Long
DBT
CORP
US
N
2
2026-11-16
Fixed
3.50000000
N
N
N
N
N
GILBERT PARK CLO LTD
N/A
Gilbert Park CLO Ltd
375415AG1
861000.00000000
PA
USD
852141.17000000
0.025380747839
Long
ABS-CBDO
CORP
KY
N
2
2030-10-15
Floating
3.19100000
N
N
N
N
N
N
EIG PEARL HOLDINGS SARL
549300KIMRL45BWA5H76
EIG Pearl Holdings Sarl
28249NAA9
1678000.00000000
PA
USD
1598435.95000000
0.047608895348
Long
DBT
CORP
LU
N
2
2036-08-31
Fixed
3.54500000
N
N
N
N
N
N
CENTERPOINT ENER HOUSTON
549300S8SEQBOJLKHW63
CenterPoint Energy Houston Electric LLC
15189XAS7
406000.00000000
PA
USD
421922.51000000
0.012566824853
Long
DBT
CORP
US
N
2
2048-03-01
Fixed
3.95000000
N
N
N
N
N
N
LEIDOS INC
5493006I78VIN6J1BQ95
Leidos Inc
52532XAF2
2712000.00000000
PA
USD
2742252.36000000
0.081677095430
Long
DBT
CORP
US
N
2
2030-05-15
Fixed
4.37500000
N
N
N
N
N
N
KAR Auction Services Inc
5493004HKD20LBSG7D03
KAR Auction Services Inc
48238TAA7
438000.00000000
PA
USD
443475.00000000
0.013208758764
Long
DBT
CORP
US
N
2
2025-06-01
Fixed
5.12500000
N
N
N
N
N
N
SELECT MEDICAL CORP
549300X05KS0JKR8CB50
Select Medical Corp
816196AT6
2969000.00000000
PA
USD
3073627.56000000
0.091546998079
Long
DBT
CORP
US
N
2
2026-08-15
Fixed
6.25000000
N
N
N
N
N
AMERICAN INTL GROUP
ODVCVCQG2BP6VHV36M30
American International Group Inc
026874DL8
651000.00000000
PA
USD
745890.38000000
0.022216102586
Long
DBT
CORP
US
N
2
2048-04-01
Fixed
4.75000000
N
N
N
N
N
N
UMBS, TBA
N/A
Uniform Mortgage-Backed Security, TBA
01F040644
52178906.00000000
PA
USD
53255095.94000000
1.586185726992
Long
ABS-MBS
USGSE
US
N
2
2052-04-15
Fixed
4.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140J5YR4
383546.51000000
PA
USD
396462.24000000
0.011808498985
Long
ABS-MBS
USGSE
US
N
2
2047-08-01
Fixed
4.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140H3H82
127457.93000000
PA
USD
132137.89000000
0.003935684114
Long
ABS-MBS
USGSE
US
N
2
2032-11-01
Fixed
3.50000000
N
N
N
N
N
N
BLUE RACER MID LLC/FINAN
N/A
Blue Racer Midstream LLC / Blue Racer Finance Corp
095796AH1
160000.00000000
PA
USD
167297.60000000
0.004982904651
Long
DBT
CORP
US
N
2
2025-12-15
Fixed
7.62500000
N
N
N
N
N
N
Port Authority of New York & New Jersey
54930006MR4KZ4W74Z83
PORT AUTH OF NEW YORK & NEW JERSEY NY
73358WRP1
1350000.00000000
PA
USD
1576260.00000000
0.046948391884
Long
DBT
MUN
US
N
2
2046-08-01
Fixed
4.96000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36179MG87
156276.17000000
PA
USD
171483.95000000
0.005107593725
Long
ABS-MBS
USGA
US
N
2
2042-07-20
Fixed
5.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31416WHU9
72848.36000000
PA
USD
77508.88000000
0.002308576803
Long
ABS-MBS
USGSE
US
N
2
2040-06-01
Fixed
4.50000000
N
N
N
N
N
N
Cedar Funding Ltd
254900Q56WTD2BRLBE32
Cedar Funding II CLO Ltd
15032TBE5
535000.00000000
PA
USD
528716.43000000
0.015747647057
Long
ABS-CBDO
CORP
KY
N
2
2034-04-20
Floating
1.33400000
N
N
N
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
Long: SRY0P6P96 IRS USD R F 3.51875 2 CCPINFLATIONZERO / Short: SRY0P6P96 IRS USD P V 12MUSCPI 1 CCPINFLATIONZERO
000000000
15778000.00000000
OU
Notional Amount
USD
57298.44000000
0.001706615415
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
Inflation based on US CPI Urban Consumers NSA
2027-03-31
186.37000000
USD
0.00000000
USD
15778000.00000000
USD
57112.07000000
N
N
N
TURKISH AIRLN 15-1 A PTT
N/A
Turkish Airlines 2015-1 Class A Pass Through Trust
10010YAA0
796076.02000000
PA
USD
653189.05000000
0.019455023596
Long
DBT
CORP
TR
N
2
2027-03-15
Fixed
4.20000000
N
N
N
N
N
N
INTEL CORP
KNX4USFCNGPY45LOCE31
Intel Corp
458140BX7
796000.00000000
PA
USD
703933.61000000
0.020966433826
Long
DBT
CORP
US
N
2
2061-08-12
Fixed
3.20000000
N
N
N
N
N
N
Chicago Board of Trade
549300EX04Q2QBFQTQ27
US 10YR FUT OPTN MAY22P 121.5 EXP 04/22/2022
000000000
-6.00000000
NC
USD
-2250.00000000
-0.00006701551
N/A
DIR
US
N
1
Chicago Board of Trade
549300EX04Q2QBFQTQ27
Put
Written
Chicago Board of Trade
549300EX04Q2QBFQTQ27
Chicago Board of Trade
549300EX04Q2QBFQTQ27
CBOT 10 Year US Treasury Note Future
N/A
6.00000000
NC
N/A
-2250.00000000
0.00000000
DIR
US
Short
CBOT 10 Year US Treasury Note
TYM2 Comdty
2022-06-21
6.00000000
USD
1000.00000000
121.50000000
USD
2022-04-22
XXXX
4865.88000000
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138EJCD8
393677.00000000
PA
USD
404384.48000000
0.012044460329
Long
ABS-MBS
USGSE
US
N
2
2026-06-01
Fixed
4.50000000
N
N
N
N
N
N
BENCHMARK Mortgage Trust
N/A
Benchmark 2019-B9 Mortgage Trust
08160JAG2
3575177.32000000
PA
USD
204499.43000000
0.006090949069
Long
ABS-MBS
CORP
US
N
2
2052-03-15
Variable
1.03700000
N
N
N
N
N
N
Mortgage Loan Resecuritization Trust
N/A
Mortgage Loan Resecuritization Trust
61914WAA4
1056072.21000000
PA
USD
1000034.27000000
0.029785695764
Long
ABS-MBS
CORP
US
N
2
2036-04-16
Floating
0.57100000
N
N
N
N
N
N
BX Trust
N/A
BX Commercial Mortgage Trust 2020-FOX
12433AAJ8
1061346.83000000
PA
USD
1052014.09000000
0.031333897812
Long
ABS-MBS
CORP
US
N
2
2032-11-15
Floating
3.99700000
N
N
N
N
N
N
United States Treasury
254900HROIFWPRGM1V77
United States Treasury Note/Bond
91282CCE9
5324000.00000000
PA
USD
4956519.21000000
0.147628314017
Long
DBT
UST
US
N
2
2028-05-31
Fixed
1.25000000
N
N
N
N
N
N
Motorola Solutions Inc
6S552MUG6KGJVEBSEC55
Motorola Solutions Inc
620076BE8
1369000.00000000
PA
USD
1505341.26000000
0.044836100258
Long
DBT
CORP
US
N
2
2044-09-01
Fixed
5.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138WFG26
542472.54000000
PA
USD
537303.35000000
0.016003405679
Long
ABS-MBS
USGSE
US
N
2
2030-08-01
Fixed
2.50000000
N
N
N
N
N
N
CHARLES RIVER LABORATORI
549300BSQ0R4UZ5KX287
Charles River Laboratories International Inc
159864AE7
135000.00000000
PA
USD
131962.50000000
0.003930460180
Long
DBT
CORP
US
N
2
2028-05-01
Fixed
4.25000000
N
N
N
N
N
N
CONSUMERS ENERGY CO
7NKTFWJ1G6MELP9TU740
Consumers Energy Co
210518DH6
615000.00000000
PA
USD
600694.34000000
0.017891485717
Long
DBT
CORP
US
N
2
2051-08-01
Fixed
3.50000000
N
N
N
N
N
N
APS Resecuritization Trust
N/A
APS Resecuritization Trust 2016-3
00214WAE1
879469.90000000
PA
USD
877792.14000000
0.026144753645
Long
ABS-MBS
CORP
US
N
2
2046-09-27
Floating
3.30700000
N
N
N
N
N
N
Progress Residential Trust
N/A
Progress Residential 2021-SFR2 Trust
74333DAN4
967000.00000000
PA
USD
881811.46000000
0.026264467785
Long
ABS-O
CORP
US
N
2
2038-04-19
Fixed
3.39500000
N
N
N
N
N
N
BX Trust
N/A
BX Trust 2021-LBA
05609BBK4
850000.00000000
PA
USD
818219.78000000
0.024370410261
Long
ABS-MBS
CORP
US
Y
2
2036-02-15
Floating
2.79700000
N
N
N
N
N
N
CHARTER COMM OPT LLC/CAP
N/A
Charter Communications Operating LLC / Charter Communications Operating Capital
161175CC6
849000.00000000
PA
USD
739032.73000000
0.022011849709
Long
DBT
CORP
US
N
2
2061-12-01
Fixed
4.40000000
N
N
N
N
N
N
Goldman Sachs International
W22LROWP2IHZNBB6K528
PURCHASED BRL / SOLD USD
000000000
1.00000000
NC
30657.32000000
0.000913118313
N/A
DFE
BR
N
2
Goldman Sachs International
W22LROWP2IHZNBB6K528
346742.00000000
USD
1796817.04000000
BRL
2022-04-04
30657.32000000
N
N
N
Option One Mortgage Loan Trust
N/A
Option One Mortgage Loan Trust 2007-CP1
68402YAD8
930000.00000000
PA
USD
769914.45000000
0.022931651704
Long
ABS-MBS
CORP
US
N
2
2037-03-25
Floating
0.66700000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140QNE40
721427.50000000
PA
USD
693584.65000000
0.020658193415
Long
ABS-MBS
USGSE
US
N
2
2052-02-01
Fixed
2.50000000
N
N
N
N
N
N
Synchrony Financial
549300RS7EWPM9MA6C78
Synchrony Financial
87165BAL7
396000.00000000
PA
USD
393675.14000000
0.011725486117
Long
DBT
CORP
US
N
2
2026-08-04
Fixed
3.70000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
3129414T1
102670.46000000
PA
USD
107472.15000000
0.003201023063
Long
ABS-MBS
USGSE
US
N
2
2040-08-01
Fixed
4.00000000
N
N
N
N
N
N
522 Funding CLO LTD
N/A
ASSURANT CLO LTD
04623TAA3
500000.00000000
PA
USD
497348.00000000
0.014813348563
Long
ABS-CBDO
CORP
KY
N
2
2031-04-20
Floating
1.29400000
N
N
N
N
N
N
PECO ENERGY CO
YH65D4JBECK76IFEJ279
PECO Energy Co
693304BA4
1079000.00000000
PA
USD
972039.31000000
0.028951874978
Long
DBT
CORP
US
N
2
2051-03-15
Fixed
3.05000000
N
N
N
N
N
N
LOCKHEED MARTIN CORP
DPRBOZP0K5RM2YE8UU08
Lockheed Martin Corp
539830BQ1
633000.00000000
PA
USD
554075.61000000
0.016502961993
Long
DBT
CORP
US
N
2
2050-06-15
Fixed
2.80000000
N
N
N
N
N
N
Nelnet Student Loan Trust
N/A
Nelnet Student Loan Trust 2021-D
64034YAE1
100000.00000000
PA
USD
94894.85000000
0.002826412270
Long
ABS-O
CORP
US
N
2
2062-04-20
Fixed
4.38000000
N
N
N
N
N
N
SUMITOMO MITSUI FINL GRP
35380028MYWPB6AUO129
Sumitomo Mitsui Financial Group Inc
86562MBM1
1916000.00000000
PA
USD
1897440.82000000
0.056514658238
Long
DBT
CORP
JP
N
2
2024-07-16
Fixed
2.69600000
N
N
N
N
N
N
Deutsche Bank AG
7LTWFZYICNSX8D621K86
Long: BRT9NHMC7 CDS USD R F 2.00000 2 CMBX / Short: BRT9NHMC7 CDS USD P V 01MEVENT 1 CMBX
000000000
1310000.00000000
OU
Notional Amount
USD
-11452.85000000
-0.00034111941
N/A
DCR
US
N
2
Deutsche Bank AG
7LTWFZYICNSX8D621K86
CMBX.NA.A.8
137BEOAH7
Y
sell protection
2059-11-17
0.00000000
USD
-59735.94000000
USD
1310000.00000000
USD
48283.09000000
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
31335BCH7
433702.85000000
PA
USD
457716.07000000
0.013632924407
Long
ABS-MBS
USGSE
US
N
2
2047-05-01
Fixed
4.50000000
N
N
N
N
N
N
VERIZON COMMUNICATIONS
2S72QS2UO2OESLG6Y829
Verizon Communications Inc
92343VGK4
351000.00000000
PA
USD
329033.31000000
0.009800150216
Long
DBT
CORP
US
N
2
2041-03-22
Fixed
3.40000000
N
N
N
N
N
N
Morgan Stanley Capital I Trust
N/A
Morgan Stanley Capital I Trust 2019-L2
61768HAW6
403000.00000000
PA
USD
414919.85000000
0.012358252901
Long
ABS-MBS
CORP
US
N
2
2052-03-15
Fixed
4.07100000
N
N
N
N
N
N
Caliber Home Loans, Inc.
N/A
Caliber Home Loans, Inc. 2018 Revolver
000000000
5430250.00000000
PA
USD
5416674.38000000
0.161333886225
Long
LON
CORP
US
N
2
2025-07-24
Floating
3.39800000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31417MBY8
111901.16000000
PA
USD
121531.34000000
0.003619771469
Long
ABS-MBS
USGSE
US
N
2
2039-08-01
Fixed
5.50000000
N
N
N
N
N
N
National Bank Financial Inc.
254900XZG349Z8CSZB72
National Bank Financial Inc.
000000000
1900000.00000000
PA
USD
1900000.00000000
0.056590882582
Long
RA
CORP
US
N
2
Repurchase
Y
0.32000000
2022-04-01
1857663.44000000
USD
1939080.88000000
USD
UST
N
N
REPUBLIC OF PHILIPPINES
529900RAHBALMYIJ3T08
Philippine Government International Bond
718286CP0
2044000.00000000
PA
USD
1824591.73000000
0.054344871765
Long
DBT
NUSS
PH
N
2
2046-07-06
Fixed
3.20000000
N
N
N
N
N
N
BX Trust
N/A
BX Commercial Mortgage Trust 2021-SOAR
05608WAU8
1810000.00000000
PA
USD
1743019.14000000
0.051915258679
Long
ABS-MBS
CORP
US
N
2
2038-06-15
Floating
4.14700000
N
N
N
N
N
N
VISTRA CORP
549300ZH5GKBTJZ7NM23
Vistra Operations Co LLC
92840VAB8
563000.00000000
PA
USD
562524.27000000
0.016754602586
Long
DBT
CORP
US
N
2
2027-02-15
Fixed
5.62500000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138WJC97
195221.35000000
PA
USD
193535.90000000
0.005764403890
Long
ABS-MBS
USGSE
US
N
2
2031-10-01
Fixed
2.50000000
N
N
N
N
N
N
AMERICAN TOWER CORP
5493006ORUSIL88JOE18
American Tower Corp
03027XAV2
24000.00000000
PA
USD
23727.83000000
0.000706725706
Long
DBT
US
N
2
2025-01-15
Fixed
2.95000000
N
N
N
N
N
N
BNP Paribas SA
R0MUWSFPU8MPRO8K5P83
Long: BRW0PP390 CDS USD R V 03MEVENT 1 CORPORATE / Short: BRW0PP390 CDS USD P F 1.00000 2 CORPORATE
000000000
460000.00000000
OU
Notional Amount
USD
1591.32000000
0.000047396949
N/A
DCR
US
N
2
BNP Paribas SA
R0MUWSFPU8MPRO8K5P83
BOEING CO
BOEING CO
Y
buy protection
2024-12-20
0.00000000
USD
-5003.55000000
USD
460000.00000000
USD
6594.87000000
N
N
N
IHEARTCOMMUNICATIONS INC
54930076J6KDZL504O62
iHeartCommunications Inc
45174HBG1
45000.00000000
PA
USD
42975.00000000
0.001279996410
Long
DBT
CORP
US
N
2
2028-01-15
Fixed
4.75000000
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138X54U8
386440.07000000
PA
USD
407661.13000000
0.012142054284
Long
ABS-MBS
USGSE
US
N
2
2043-09-01
Fixed
4.50000000
N
N
N
N
N
N
UNITED AIR 2014-1 B PTT
N/A
United Airlines 2014-1 Class B Pass Through Trust
90932PAB4
191032.44000000
PA
USD
191168.86000000
0.005693902373
Long
DBT
CORP
US
N
2
2022-04-11
Fixed
4.75000000
N
N
N
N
N
N
Tricon American Homes
N/A
Tricon American Homes 2018-SFR1 Trust
89613TAE8
260000.00000000
PA
USD
250383.61000000
0.007457594460
Long
ABS-O
CORP
US
N
2
2037-05-17
Fixed
4.56400000
N
N
N
N
N
N
BALTIMORE GAS & ELECTRIC
88V8C2WYSOD1SPSSLH72
Baltimore Gas and Electric Co
059165EJ5
699000.00000000
PA
USD
688384.06000000
0.020503295532
Long
DBT
CORP
US
N
2
2047-08-15
Fixed
3.75000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36179WTY4
15581730.69000000
PA
USD
15133079.53000000
0.450733856211
Long
ABS-MBS
USGA
US
N
2
2051-12-20
Fixed
2.50000000
N
N
N
N
N
N
Aetna Inc
549300QKBENKLBXQ8968
Aetna Inc
00817YAJ7
639000.00000000
PA
USD
665152.86000000
0.019811361789
Long
DBT
CORP
US
N
2
2042-05-15
Fixed
4.50000000
N
N
N
N
N
N
ABBVIE INC
FR5LCKFTG8054YNNRU85
AbbVie Inc
00287YCX5
1369000.00000000
PA
USD
1394439.24000000
0.041532919631
Long
DBT
CORP
US
N
2
2025-03-15
Fixed
3.80000000
N
N
N
N
N
N
UNITED AIR 2016-2 B PTT
N/A
United Airlines 2016-2 Class B Pass Through Trust
90933JAA9
55879.63000000
PA
USD
52377.93000000
0.001560059624
Long
DBT
CORP
US
N
2
2025-10-07
Fixed
3.65000000
N
N
N
N
N
N
Rockfield Park
254900FQNC3OT6YHSV84
Rockfield Park CLO DAC
000000000
250000.00000000
PA
256434.23000000
0.007637810210
Long
ABS-CBDO
CORP
IE
Y
2
2034-07-16
Floating
5.95000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
3617ALXR6
61632.80000000
PA
USD
67038.97000000
0.001996733936
Long
ABS-MBS
USGA
US
N
2
2047-05-15
Fixed
4.50000000
N
N
N
N
N
N
Citigroup Mortgage Loan Trust Inc
N/A
Citigroup Mortgage Loan Trust 2007-AHL2
17312TAK9
839941.06000000
PA
USD
669894.99000000
0.019952604590
Long
ABS-MBS
CORP
US
N
2
2037-05-25
Floating
0.72700000
N
N
N
N
N
N
Deutsche Bank AG
7LTWFZYICNSX8D621K86
PURCHASED EUR / SOLD USD
000000000
1.00000000
NC
1304.12000000
0.000038842790
N/A
DFE
XX
N
2
Deutsche Bank AG
7LTWFZYICNSX8D621K86
677139.85000000
USD
613000.00000000
EUR
2022-04-20
1304.12000000
N
N
N
Freddie Mac - STACR
S6XOOCT0IEG5ABCC6L87
Freddie Mac Structured Agency Credit Risk Debt Notes
35565TBD0
410000.00000000
PA
USD
399742.70000000
0.011906206420
Long
ABS-MBS
USGSE
US
N
2
2050-11-25
Floating
4.09900000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138WHFF4
29383.81000000
PA
USD
29211.83000000
0.000870064863
Long
ABS-MBS
USGSE
US
N
2
2046-06-01
Fixed
3.00000000
N
N
N
N
N
N
NEXSTAR BROADCASTING INC
5493006PK6I4I2OOT688
Nexstar Media Inc
65336YAN3
433000.00000000
PA
USD
419468.75000000
0.012493740409
Long
DBT
CORP
US
N
2
2028-11-01
Fixed
4.75000000
N
N
N
N
N
N
AMAZON.COM INC
ZXTILKJKG63JELOEG630
Amazon.com Inc
023135BT2
3129000.00000000
PA
USD
2612280.66000000
0.077805930580
Long
DBT
CORP
US
N
2
2050-06-03
Fixed
2.50000000
N
N
N
N
N
LSTAR Commercial Mortgage Trust
N/A
LSTAR Commercial Mortgage Trust 2017-5
54910TBA9
654809.28000000
PA
USD
16885.11000000
0.000502917514
Long
ABS-MBS
CORP
US
N
2
2050-03-10
Variable
0.79000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138ERA91
42359.41000000
PA
USD
42110.82000000
0.001254257089
Long
ABS-MBS
USGSE
US
N
2
2046-08-01
Fixed
3.00000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Pool
3132DM7D1
3480580.08000000
PA
USD
3242436.53000000
0.096574918395
Long
ABS-MBS
USGSE
US
N
2
2052-01-01
Fixed
2.00000000
N
N
N
N
N
N
BX Trust
N/A
BX Commercial Mortgage Trust 2021-NWM
12434AAC2
1754000.00000000
PA
USD
1731823.83000000
0.051581810009
Long
ABS-MBS
CORP
US
N
2
2033-02-15
Floating
2.54700000
N
N
N
N
N
N
TRANS-ALLEGHENY INTERSTA
N/A
Trans-Allegheny Interstate Line Co
893045AE4
3450000.00000000
PA
USD
3473501.33000000
0.103457108377
Long
DBT
CORP
US
N
2
2025-06-01
Fixed
3.85000000
N
N
N
N
N
N
PROMIGAS/GASES PACIFICO
N/A
Promigas SA ESP / Gases del Pacifico SAC
000000000
266000.00000000
PA
USD
240865.66000000
0.007174105412
Long
DBT
CORP
XX
Y
2
2029-10-16
Fixed
3.75000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31418CLH5
587402.95000000
PA
USD
604937.37000000
0.018017862987
Long
ABS-MBS
USGSE
US
N
2
2047-06-01
Fixed
4.00000000
N
N
N
N
N
N
Buckeye Partners, L.P.
549300C1PQJLVEIUBK50
Buckeye Partners, L.P. 2021 Term Loan B
11823LAK1
2472776.19000000
PA
USD
2458646.75000000
0.073229994495
Long
LON
CORP
US
N
2
2026-11-01
Floating
2.70700000
N
N
N
N
N
N
JPMORGAN CHASE & CO
8I5DZWZKVSZI1NUHU748
JPMorgan Chase & Co
46647PCW4
2567000.00000000
PA
USD
2505074.28000000
0.074612823390
Long
DBT
CORP
US
N
2
2028-02-24
Fixed
2.94700000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138Y4UY3
90191.11000000
PA
USD
91130.62000000
0.002714295903
Long
ABS-MBS
USGSE
US
N
2
2030-08-01
Fixed
3.00000000
N
N
N
N
N
N
Morgan Stanley Capital I Trust
N/A
Morgan Stanley Capital I Trust 2017-H1
61691JAC8
1510000.00000000
PA
USD
1201775.48000000
0.035794492147
Long
ABS-MBS
CORP
US
N
2
2050-06-15
Fixed
2.54600000
N
N
N
N
N
N
GENERAL MOTORS FINL CO
5493008B6JBRUJ90QL97
General Motors Financial Co Inc
37045XDL7
75000.00000000
PA
USD
66039.05000000
0.001966951644
Long
DBT
CORP
US
N
2
2031-06-10
Fixed
2.70000000
N
N
N
N
N
N
OQ SAOC
549300YK417GKI6EQ392
OQ SAOC
67624L2A5
205000.00000000
PA
USD
202444.88000000
0.006029754965
Long
DBT
CORP
OM
N
2
2028-05-06
Fixed
5.12500000
N
N
N
N
N
N
Citibank N.A.
E57ODZWZ7FF32TWEFA76
PURCHASED USD / SOLD TRY
000000000
1.00000000
NC
-12385.09000000
-0.00036888588
N/A
DFE
US
N
2
Citibank N.A.
E57ODZWZ7FF32TWEFA76
5568000.00000000
TRY
348000.00000000
USD
2022-06-08
-12385.09000000
N
N
N
Grupo Aval Ltd
549300J4FW1ELLQ80113
Grupo Aval Ltd
000000000
204000.00000000
PA
USD
205313.76000000
0.006115203623
Long
DBT
CORP
KY
Y
2
2022-09-26
Fixed
4.75000000
N
N
N
N
N
N
UNITED AIR 2014-2 B PTT
N/A
United Airlines 2014-2 Class B Pass Through Trust
90932QAB2
80332.07000000
PA
USD
80774.33000000
0.002405837170
Long
DBT
CORP
US
N
2
2022-09-03
Fixed
4.62500000
N
N
N
N
N
N
WALT DISNEY COMPANY/THE
549300GZKULIZ0WOW665
Walt Disney Co/The
254687FM3
2280000.00000000
PA
USD
1940016.82000000
0.057782770562
Long
DBT
CORP
US
N
2
2049-09-01
Fixed
2.75000000
N
N
N
N
N
N
United States Treasury
254900HROIFWPRGM1V77
United States Treasury Note/Bond
9128282R0
22796000.00000000
PA
USD
22550230.63000000
0.671651291474
Long
DBT
UST
US
N
2
2027-08-15
Fixed
2.25000000
N
N
N
N
N
N
Morgan Stanley BAML Trust
N/A
Morgan Stanley Bank of America Merrill Lynch Trust 2015-C26
61690VAE8
85000.00000000
PA
USD
75996.21000000
0.002263522419
Long
ABS-MBS
CORP
US
N
2
2048-10-15
Fixed
3.06000000
N
N
N
N
N
N
COMMONWEALTH EDISON CO
D8YOXB8L2ZDC8P7Q0771
Commonwealth Edison Co
202795JV3
215000.00000000
PA
USD
222250.20000000
0.006619649985
Long
DBT
CORP
US
N
2
2052-03-15
Fixed
3.85000000
N
N
N
N
N
N
Origen Manufactured Housing
5493005G5GFEQWMCSY59
Origen Manufactured Housing Contract Trust 2007-B
68620KAA0
350701.50000000
PA
USD
344258.55000000
0.010253629042
Long
ABS-O
CORP
US
N
2
2037-10-15
Floating
1.59700000
N
N
N
N
N
N
NEXSTAR BROADCASTING INC
5493006PK6I4I2OOT688
Nexstar Media Inc
65343HAA9
523000.00000000
PA
USD
529380.60000000
0.015767429145
Long
DBT
CORP
US
N
2
2027-07-15
Fixed
5.62500000
N
N
N
N
N
N
Atrium CDO Corp
549300O252OCTN35RH57
Atrium XII
04965CAN8
1119000.00000000
PA
USD
1110306.49000000
0.033070118003
Long
ABS-CBDO
CORP
KY
N
2
2027-04-22
Floating
1.90900000
N
N
N
N
N
N
Oi SA
254900YEMWCRRAGD4978
Oi SA
000000000
706000.00000000
PA
USD
534795.00000000
0.015928695289
Long
DBT
CORP
BR
N
2
2025-07-27
Fixed
10.00000000
N
N
N
N
N
N
HSBC Holdings PLC
MLU0ZO3ML4LN2LL2TL39
HSBC Holdings PLC
404280BT5
2495000.00000000
PA
USD
2567111.54000000
0.076460583019
Long
DBT
CORP
GB
N
2
2029-06-19
Fixed
4.58300000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36177U6C3
23118.26000000
PA
USD
23820.75000000
0.000709493298
Long
ABS-MBS
USGA
US
N
2
2041-12-15
Fixed
4.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138EQA51
491788.40000000
PA
USD
496911.26000000
0.014800340404
Long
ABS-MBS
USGSE
US
N
2
2030-08-01
Fixed
3.00000000
N
N
N
N
N
N
AEP Texas Inc
5493001L78U618KXNZ75
AEP Texas Inc
00108WAH3
1018000.00000000
PA
USD
1038712.67000000
0.030937719339
Long
DBT
CORP
US
N
2
2028-06-01
Fixed
3.95000000
N
N
N
N
N
N
Invesco Euro CLO
5493004UWK07M4U35L23
Invesco Euro CLO V DAC
000000000
100000.00000000
PA
108521.22000000
0.003232269273
Long
ABS-CBDO
CORP
IE
Y
2
2034-01-15
Floating
3.80000000
N
N
N
N
N
N
Dryden Senior Loan Fund
549300K4FV16ICO2FF98
Dryden XXVIII Senior Loan Fund
26251BAL0
2205000.00000000
PA
USD
2199946.14000000
0.065524680893
Long
ABS-CBDO
CORP
KY
N
2
2030-08-15
Floating
1.70600000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140L6U44
1136160.48000000
PA
USD
1057134.88000000
0.031486418878
Long
ABS-MBS
USGSE
US
N
2
2051-04-01
Fixed
2.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31402TTQ8
420575.11000000
PA
USD
439725.10000000
0.013097069212
Long
ABS-MBS
USGSE
US
N
2
2033-08-01
Fixed
4.00000000
N
N
N
N
N
N
ARES CLO Ltd
N/A
Ares LVI CLO Ltd
04018PAE6
280000.00000000
PA
USD
274057.56000000
0.008162715367
Long
ABS-CBDO
CORP
KY
N
2
2034-10-25
Floating
6.75800000
N
N
N
N
N
N
UBS AG
BFM8T61CT2L1QCEMIK50
PURCHASED TRY / SOLD USD
000000000
1.00000000
NC
11206.47000000
0.000333781067
N/A
DFE
TR
N
2
UBS AG
BFM8T61CT2L1QCEMIK50
337246.65000000
USD
5383649.38000000
TRY
2022-06-08
11206.47000000
N
N
N
Amgen Inc
62QBXGPJ34PQ72Z12S66
Amgen Inc
031162BZ2
1565000.00000000
PA
USD
1643373.73000000
0.048947352523
Long
DBT
CORP
US
N
2
2045-05-01
Fixed
4.40000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36179RJE0
37419.96000000
PA
USD
38406.68000000
0.001143930483
Long
ABS-MBS
USGA
US
N
2
2045-07-20
Fixed
3.50000000
N
N
N
N
N
N
Washington Mutual Bank
N/A
WASHINGTON MUTUAL BANK
939MMIBD5
250000.00000000
PA
USD
0.03000000
0.000000000893
Long
DBT
CORP
US
N
3
2017-09-19
None
0.00000000
Y
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36183AF47
103868.85000000
PA
USD
108159.82000000
0.003221505091
Long
ABS-MBS
USGA
US
N
2
2044-08-20
Fixed
4.00000000
N
N
N
N
N
N
UBS GROUP AG
549300SZJ9VS8SGXAN81
UBS Group AG
90352JAE3
759000.00000000
PA
USD
760140.09000000
0.022640525568
Long
DBT
CORP
CH
N
2
2023-08-15
Fixed
2.85900000
N
N
N
N
N
N
BSST Mortgage Trust
N/A
Beast Mortgage Trust
05601PAS5
641000.00000000
PA
USD
628587.36000000
0.018722270254
Long
ABS-MBS
CORP
US
N
2
2036-04-15
Floating
4.19700000
N
N
N
N
N
N
Options Clearing Corp.
549300CII6SLYGKNHA04
DIAMONDBACK ENERGY INC APR22 135 CALL
000000000
91.00000000
NC
USD
61880.00000000
0.001843075691
N/A
DE
US
N
1
Options Clearing Corp.
549300CII6SLYGKNHA04
Call
Purchased
Diamondback Energy Inc
Diamondback Energy Inc
100.00000000
135.00000000
USD
2022-04-14
XXXX
6002.19000000
N
N
N
Wells Fargo Commercial Mortgage Trust
N/A
Wells Fargo Commercial Mortgage Trust 2017-C39
95000XAM9
150000.00000000
PA
USD
133932.33000000
0.003989130926
Long
ABS-MBS
CORP
US
N
2
2050-09-15
Variable
4.34100000
N
N
N
N
N
N
Ajax Mortgage Loan Trust
N/A
Ajax Mortgage Loan Trust 2018-G
00970DAC1
1451031.47000000
PA
USD
1437128.70000000
0.042804411325
Long
ABS-O
CORP
US
N
2
2057-06-25
None
0.00000000
N
N
N
N
N
N
ECOLAB INC
82DYEISM090VG8LTLS26
Ecolab Inc
278865BJ8
1494000.00000000
PA
USD
1235413.07000000
0.036796376834
Long
DBT
CORP
US
N
2
2055-08-18
Fixed
2.75000000
N
N
N
N
N
N
United States Treasury
254900HROIFWPRGM1V77
United States Treasury Note/Bond
9128282N9
7432000.00000000
PA
USD
7379163.09000000
0.219785974729
Long
DBT
UST
US
N
2
2024-07-31
Fixed
2.12500000
N
N
N
N
N
N
Chase Funding Mortgage Loan Asset-Backed CTFS
N/A
Chase Funding Trust Series 2002-2
161551FS0
88991.40000000
PA
USD
89373.26000000
0.002661953506
Long
ABS-O
CORP
US
N
2
2032-04-25
Variable
6.33300000
N
N
N
N
N
N
Ajax Mortgage Loan Trust
N/A
Ajax Mortgage Loan Trust 2021-D
009723AA5
5932404.14000000
PA
USD
5619237.86000000
0.167367173653
Long
ABS-O
CORP
US
N
2
2060-03-25
Variable
2.00000000
N
N
N
N
N
N
DAVITA INC
M2XHYMU3TZNEZURC6H66
DaVita Inc
23918KAS7
1206000.00000000
PA
USD
1126162.80000000
0.033542393044
Long
DBT
CORP
US
N
2
2030-06-01
Fixed
4.62500000
N
N
N
N
N
N
Allied Universal Holdco LLC
98450038B4549046D794
Allied Universal Holdco LLC 2021 USD Incremental Term Loan B
01957TAH0
615905.00000000
PA
USD
607949.36000000
0.018107574130
Long
LON
CORP
US
N
2
2028-05-12
Floating
4.25000000
N
N
N
N
N
N
Republic Finance Issuance Trust
N/A
Republic Finance Issuance Trust 2021-A
76042UAB9
500000.00000000
PA
USD
470367.75000000
0.014009750584
Long
ABS-O
CORP
US
N
2
2031-12-22
Fixed
2.80000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140KKX33
528666.71000000
PA
USD
492571.48000000
0.014671081467
Long
ABS-MBS
USGSE
US
N
2
2050-09-01
Fixed
2.00000000
N
N
N
N
N
N
EQUINIX INC
549300EVUN2BTLJ3GT74
Equinix Inc
29444UBS4
664000.00000000
PA
USD
595490.96000000
0.017736504735
Long
DBT
US
N
2
2031-05-15
Fixed
2.50000000
N
N
N
N
N
N
OCP CLO Ltd
N/A
OCP CLO 2019-16 Ltd
67570QAK7
250000.00000000
PA
USD
247705.00000000
0.007377812931
Long
ABS-CBDO
CORP
KY
N
2
2033-04-10
Floating
1.23100000
N
N
N
N
N
N
POST HOLDINGS INC
JM1I5YUAURL6DC8N1468
Post Holdings Inc
737446AP9
349000.00000000
PA
USD
335800.82000000
0.010001718303
Long
DBT
CORP
US
N
2
2029-12-15
Fixed
5.50000000
N
N
N
N
N
N
UNION PACIFIC RR 2014-1
N/A
Union Pacific Railroad Co 2014-1 Pass Through Trust
907825AA1
632415.78000000
PA
USD
631040.40000000
0.018795333253
Long
DBT
CORP
US
N
2
2026-05-14
Fixed
3.22700000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140J8GB3
2380981.53000000
PA
USD
2356724.59000000
0.070194276080
Long
ABS-MBS
USGSE
US
N
2
2033-02-01
Fixed
2.50000000
N
N
N
N
N
N
510 Loan Acquisition Trust
N/A
510 Loan Acquisition Trust 2020-1
33831HAA6
988185.00000000
PA
USD
960341.41000000
0.028603456827
Long
ABS-O
CORP
US
N
2
2060-09-25
Variable
5.10700000
N
N
N
N
N
N
UNITED AIR 2016-2 AA PTT
N/A
United Airlines 2016-2 Class AA Pass Through Trust
90932EAA1
420298.31000000
PA
USD
398310.07000000
0.011863536001
Long
DBT
CORP
US
N
2
2028-10-07
Fixed
2.87500000
N
N
N
N
N
N
CIFC Funding Ltd
N/A
CIFC Funding 2020-III Ltd
12560EAL0
1190000.00000000
PA
USD
1178476.04000000
0.035100525898
Long
ABS-CBDO
CORP
KY
N
2
2034-10-20
Floating
1.38400000
N
N
N
N
N
N
MORGAN STANLEY
IGJSJL3JD5P30I6NJZ34
Morgan Stanley
61747YED3
2455000.00000000
PA
USD
2175447.82000000
0.064795006393
Long
DBT
CORP
US
N
2
2032-07-21
Fixed
2.23900000
N
N
N
N
N
N
JPMorgan Chase & Co
8I5DZWZKVSZI1NUHU748
JPMorgan Chase & Co
46625HRY8
1672000.00000000
PA
USD
1693394.78000000
0.050437213242
Long
DBT
CORP
US
N
2
2028-02-01
Fixed
3.78200000
N
N
N
N
N
N
ORACLE CORP
1Z4GXXU7ZHVWFCD8TV52
Oracle Corp
68389XBZ7
3308000.00000000
PA
USD
2889326.02000000
0.086057636600
Long
DBT
CORP
US
N
2
2041-03-25
Fixed
3.65000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140GW4M2
53774.78000000
PA
USD
56150.67000000
0.001672429459
Long
ABS-MBS
USGSE
US
N
2
2047-10-01
Fixed
4.50000000
N
N
N
N
N
N
MOVIDA EUROPE SA
549300YRJE0V6QKU7C86
Movida Europe SA
000000000
200000.00000000
PA
USD
179258.00000000
0.005339141278
Long
DBT
CORP
LU
Y
2
2031-02-08
Fixed
5.25000000
N
N
N
N
N
N
REPUBLIC OF CHILE
549300FLZTJM5YJF8D34
Chile Government International Bond
168863DY1
665000.00000000
PA
USD
682669.05000000
0.020333075816
Long
DBT
NUSS
CL
N
2
2042-03-07
Fixed
4.34000000
N
N
N
N
N
N
BXP Trust
N/A
BXP Trust 2017-CC
05607CAN9
500000.00000000
PA
USD
455538.00000000
0.013568051300
Long
ABS-MBS
CORP
US
N
2
2037-08-13
Variable
3.55200000
N
N
N
N
N
N
Natixis Commercial Mortgage Securities
N/A
Natixis Commercial Mortgage Securities Trust 2018-SOX
63874NAA8
265000.00000000
PA
USD
270482.32000000
0.008056228006
Long
ABS-MBS
CORP
US
N
2
2038-06-17
Fixed
4.40400000
N
N
N
N
N
N
UNITEDHEALTH GROUP INC
549300GHBMY8T5GXDE41
UnitedHealth Group Inc
91324PEF5
358000.00000000
PA
USD
336257.06000000
0.010015307263
Long
DBT
CORP
US
N
2
2051-05-15
Fixed
3.25000000
N
N
N
N
N
N
Eurex Deutschland
529900LN3S50JPU47S06
EURO-BUXL 30Y BND JUN22
000000000
-54.00000000
NC
827907.81000000
0.024658965086
N/A
DIR
DE
N
1
Eurex Deutschland
529900LN3S50JPU47S06
Short
EUX 30 Year Euro BUXL Future
UBM2 COMDTY
2022-06-08
-10803191.40000000
EUR
827907.81000000
N
N
N
HSBC Bank PLC
MP6I5ZYZBEU3UXPYFY54
PURCHASED USD / SOLD RUB
000000000
1.00000000
NC
150837.13000000
0.004492634901
N/A
DFE
US
N
2
HSBC Bank PLC
MP6I5ZYZBEU3UXPYFY54
120280000.00000000
RUB
1557688.07000000
USD
2022-05-24
150837.13000000
N
N
N
MORGAN STANLEY
IGJSJL3JD5P30I6NJZ34
Morgan Stanley
6174468Q5
528000.00000000
PA
USD
510031.35000000
0.015191118021
Long
DBT
CORP
US
N
2
2026-04-28
Fixed
2.18800000
N
N
N
N
N
N
Nomura Asset Acceptance Corporation
N/A
Nomura Asset Acceptance Corp Alternative Loan Trust Series 2006-S5
65538AAB7
95747.97000000
PA
USD
119483.76000000
0.003558784964
Long
ABS-O
CORP
US
N
2
2036-10-25
Floating
0.85700000
N
N
N
N
N
N
Grippen Park CLO LTD
549300P7KR0IARP7PG22
Grippen Park CLO Ltd
39862EAD6
250000.00000000
PA
USD
248500.00000000
0.007401491748
Long
ABS-CBDO
CORP
KY
N
2
2030-01-20
Floating
3.55400000
N
N
N
N
N
N
BANCO MERCANTIL DE NORTE
549300QTVYRPFHS0J362
Banco Mercantil del Norte SA/Grand Cayman
05973KAB3
270000.00000000
PA
USD
249075.00000000
0.007418617936
Long
DBT
CORP
MX
N
2
2032-01-24
Fixed
6.62500000
N
N
N
N
N
N
Bear Stearns Asset Backed Securities Trust
N/A
Bear Stearns Asset Backed Securities I Trust 2006-AC1
07387UCF6
2081529.10000000
PA
USD
1738860.91000000
0.051791407150
Long
ABS-MBS
CORP
US
N
2
2036-02-25
Variable
6.25000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
3132KEXZ3
145236.93000000
PA
USD
146853.65000000
0.004373988244
Long
ABS-MBS
USGSE
US
N
2
2030-01-01
Fixed
3.00000000
N
N
N
N
N
N
United States Treasury
254900HROIFWPRGM1V77
United States Treasury Note/Bond
912828N30
7432000.00000000
PA
USD
7469740.59000000
0.222483796133
Long
DBT
UST
US
N
2
2022-12-31
Fixed
2.12500000
N
N
N
N
N
N
Eurex Deutschland
529900LN3S50JPU47S06
EURO-BTP FUTURE JUN22
000000000
-126.00000000
NC
769337.57000000
0.022914469521
N/A
DIR
DE
N
1
Eurex Deutschland
529900LN3S50JPU47S06
Short
Euro-BTP Italian Bond Futures
IKM2 COMDTY
2022-06-08
-18122506.54000000
EUR
769337.57000000
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
3622A24Y5
541651.47000000
PA
USD
538263.78000000
0.016032011775
Long
ABS-MBS
USGA
US
N
2
2045-02-15
Fixed
3.00000000
N
N
N
N
N
N
Battalion CLO LTD
549300WH2OE0BGHQQP83
Battalion CLO VIII Ltd
07132ACE1
642000.00000000
PA
USD
640463.69000000
0.019076002883
Long
ABS-CBDO
CORP
KY
N
2
2030-07-18
Floating
1.79100000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31416WLG5
156947.23000000
PA
USD
166958.21000000
0.004972796030
Long
ABS-MBS
USGSE
US
N
2
2040-07-01
Fixed
4.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140XFUY5
422028.90000000
PA
USD
393678.03000000
0.011725572195
Long
ABS-MBS
USGSE
US
N
2
2051-12-01
Fixed
2.00000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
3132KFAD4
783936.11000000
PA
USD
776972.94000000
0.023141886535
Long
ABS-MBS
USGSE
US
N
2
2030-09-01
Fixed
2.50000000
N
N
N
N
N
N
United States Treasury
254900HROIFWPRGM1V77
United States Treasury Note/Bond
912828ZH6
27956000.00000000
PA
USD
27526831.79000000
0.819877739847
Long
DBT
UST
US
N
2
2023-04-15
Fixed
0.25000000
N
N
N
N
N
N
HCA INC
L3CJ6J7LJ2DX62FTXD46
HCA Inc
404119CC1
3612000.00000000
PA
USD
3228070.12000000
0.096147019542
Long
DBT
CORP
US
N
2
2031-07-15
Fixed
2.37500000
N
N
N
N
N
N
Anchorage Capital CLO LTD
549300V7DN3VJ8H1GE96
Anchorage Capital CLO 3-R Ltd
03330AAC6
1270000.00000000
PA
USD
1257066.32000000
0.037441311849
Long
ABS-CBDO
CORP
KY
N
2
2031-01-28
Floating
1.77800000
N
N
N
N
N
N
Regatta XVI Funding Ltd.
254900XPJFGKL5R4O429
Regatta XVI Funding Ltd
75888TAE5
250000.00000000
PA
USD
249914.75000000
0.007443629617
Long
ABS-CBDO
CORP
KY
N
2
2033-01-15
Floating
2.29100000
N
N
N
N
N
N
AT&T INC
549300Z40J86GGSTL398
AT&T Inc
00206RLJ9
1403000.00000000
PA
USD
1237398.62000000
0.036855515796
Long
DBT
CORP
US
N
2
2055-09-15
Fixed
3.55000000
N
N
N
N
N
N
Barclays Bank PLC
G5GSEF7VJP5I7OUK5573
Long: BRWWEM225 CDS USD R V 03MEVENT 1 SOVEREIGN / Short: BRWWEM225 CDS USD P F 1.00000 2 SOVEREIGN
000000000
525000.00000000
OU
Notional Amount
USD
3189.53000000
0.000094999114
N/A
DCR
US
N
2
Barclays Bank PLC
G5GSEF7VJP5I7OUK5573
FED REPUBLIC OF BRAZIL
FED REPUBLIC OF BRAZIL
Y
buy protection
2024-12-20
7234.23000000
USD
0.00000000
USD
525000.00000000
USD
-4044.70000000
N
N
N
Cordatus CLO PLC
2138005AFEIY5AMT4165
CVC Cordatus Loan Fund IV DAC
000000000
250000.00000000
PA
270160.02000000
0.008046628405
Long
ABS-CBDO
CORP
IE
Y
2
2034-02-22
Floating
1.30000000
N
N
N
N
N
N
Citigroup Commercial Mortgage Trust
N/A
Citigroup Commercial Mortgage Trust 2019-PRM
29429JAL4
1107000.00000000
PA
USD
1085296.60000000
0.032325206557
Long
ABS-MBS
CORP
US
N
2
2036-05-10
Variable
4.73100000
N
N
N
N
N
N
Octagon Investment Partners Ltd
N/A
Octagon Investment Partners 18-R Ltd
67576FAA7
2210000.00000000
PA
USD
2187157.44000000
0.065143773619
Long
ABS-CBDO
CORP
KY
N
2
2031-04-16
Floating
1.20100000
N
N
N
N
N
N
VERIZON COMMUNICATIONS
2S72QS2UO2OESLG6Y829
Verizon Communications Inc
92343VER1
302000.00000000
PA
USD
318571.97000000
0.009488562604
Long
DBT
CORP
US
N
2
2028-09-21
Fixed
4.32900000
N
N
N
N
N
N
Select Medical Corporation
549300X05KS0JKR8CB50
Select Medical Corporation 2017 Term Loan B
816194AV6
242053.53000000
PA
USD
239784.28000000
0.007141896860
Long
LON
CORP
US
N
2
2025-03-06
Floating
2.71000000
N
N
N
N
N
N
DEUTSCHE BANK NY
7LTWFZYICNSX8D621K86
Deutsche Bank AG/New York NY
251526CG2
1650000.00000000
PA
USD
1575858.16000000
0.046936423210
Long
DBT
CORP
DE
N
2
2025-04-01
Fixed
1.44700000
N
N
N
N
N
N
Apidos CLO
5493003SQW0Q40KVFQ19
Apidos CLO XXII
03765XAJ5
250000.00000000
PA
USD
247619.75000000
0.007375273788
Long
ABS-CBDO
CORP
KY
N
2
2031-04-20
Floating
1.75400000
N
N
N
N
N
N
Bluemountain CLO Ltd
5493001GLQHON6UV2U40
BlueMountain CLO XXVIII Ltd
09630PAA1
100000.00000000
PA
USD
99731.60000000
0.002970473297
Long
ABS-CBDO
CORP
KY
N
2
2034-04-15
Floating
1.50100000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140XGHK8
7911439.00000000
PA
USD
8087818.20000000
0.240893036899
Long
ABS-MBS
USGSE
US
N
2
2052-05-01
Fixed
4.00000000
N
N
N
N
N
N
DOW CHEMICAL CO/THE
ZQUIP1CSZO8LXRBSOU78
Dow Chemical Co/The
260543DA8
859000.00000000
PA
855351.91000000
0.025476378687
Long
DBT
CORP
US
N
2
2032-03-15
Fixed
1.12500000
N
N
N
N
N
N
Apidos CLO
549300OGB01ASKLNI660
Apidos CLO XXXVII
03769HAA5
270000.00000000
PA
USD
268654.05000000
0.008001773578
Long
ABS-CBDO
CORP
KY
N
2
2034-10-22
Floating
1.25900000
N
N
N
N
N
N
Citibank N.A.
E57ODZWZ7FF32TWEFA76
PURCHASED USD / SOLD COP
000000000
1.00000000
NC
-5224.11000000
-0.00015559841
N/A
DFE
US
N
2
Citibank N.A.
E57ODZWZ7FF32TWEFA76
1917891000.00000000
COP
502000.00000000
USD
2022-04-20
-5224.11000000
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31402RDH9
1235483.17000000
PA
USD
1365531.85000000
0.040671922414
Long
ABS-MBS
USGSE
US
N
2
2035-04-01
Fixed
6.00000000
N
N
N
N
N
N
Rockford Tower CLO Ltd
549300IG5M07NI4QKK80
Rockford Tower CLO 2019-2 Ltd
77341GAL4
250000.00000000
PA
USD
247573.50000000
0.007373896246
Long
ABS-CBDO
CORP
KY
N
2
2032-08-20
Floating
2.13000000
N
N
N
N
N
N
VISTRA CORP
549300ZH5GKBTJZ7NM23
Vistra Operations Co LLC
92840VAA0
435000.00000000
PA
USD
437379.45000000
0.013027204789
Long
DBT
CORP
US
N
2
2026-09-01
Fixed
5.50000000
N
N
N
N
N
N
FIRSTENERGY CORP
549300SVYJS666PQJH88
FirstEnergy Corp
337932AK3
272000.00000000
PA
USD
259080.00000000
0.007716613610
Long
DBT
CORP
US
N
2
2025-03-01
Fixed
2.05000000
N
N
N
N
N
LCM Ltd Partnership
549300VQTTD2PAP2Y421
LCM XX LP
50188WAE8
435544.01000000
PA
USD
434088.42000000
0.012929182529
Long
ABS-CBDO
CORP
KY
N
2
2027-10-20
Floating
1.29400000
N
N
N
N
N
N
International Paper Co
824LMFJDH41EY779Q875
International Paper Co
460146CK7
261000.00000000
PA
USD
278289.13000000
0.008288751305
Long
DBT
CORP
US
N
2
2044-06-15
Fixed
4.80000000
N
N
N
N
N
N
Anchorage Capital CLO LTD
549300PKM3N9LK4JM015
Anchorage Capital CLO 8 Ltd
03329KBC6
1050000.00000000
PA
USD
1042507.20000000
0.031050738182
Long
ABS-CBDO
CORP
KY
N
2
2034-10-27
Floating
1.92700000
N
N
N
N
N
N
Freddie Mac - STACR
N/A
Freddie Mac STACR REMIC Trust 2020-DNA6
35566CBD6
610000.00000000
PA
USD
570321.45000000
0.016986839058
Long
ABS-MBS
USGSE
US
N
2
2050-12-25
Floating
3.09900000
N
N
N
N
N
N
MICROSOFT CORP
INR2EJN1ERAN0W5ZP974
Microsoft Corp
594918CE2
1911000.00000000
PA
USD
1793261.61000000
0.053411714322
Long
DBT
CORP
US
N
2
2052-03-17
Fixed
2.92100000
N
N
N
N
N
N
Ace Securities Corp.
N/A
ACE Securities Corp Home Equity Loan Trust Series 2007-HE4
00442LAB5
1059632.10000000
PA
USD
245556.60000000
0.007313823535
Long
ABS-MBS
CORP
US
N
2
2037-05-25
Floating
0.71700000
N
N
N
N
N
N
Atrium Hotel Portfolio Trust
N/A
Atrium Hotel Portfolio Trust 2017-ATRM
04965JAJ2
178038.00000000
PA
USD
167292.07000000
0.004982739942
Long
ABS-MBS
CORP
US
N
2
2036-12-15
Floating
3.44700000
N
N
N
N
N
N
Barclays Commercial Mortgage Securities LLC
N/A
BBCMS 2017-DELC Mortgage Trust
05552EAQ3
297000.00000000
PA
USD
288821.51000000
0.008602454820
Long
ABS-MBS
CORP
US
N
2
2036-08-15
Floating
3.89700000
N
N
N
N
N
N
United States Treasury
254900HROIFWPRGM1V77
United States Treasury Note/Bond
912810QD3
1010000.00000000
PA
USD
1283923.05000000
0.038241230825
Long
DBT
UST
US
N
2
2039-11-15
Fixed
4.37500000
N
N
N
N
N
N
JP Morgan Chase Commercial Mortgage Sec Trust
N/A
JP Morgan Chase Commercial Mortgage Securities Trust 2013-LC11
46639YAT4
4900000.00000000
PA
USD
25907.28000000
0.000771639916
Long
ABS-MBS
CORP
US
N
2
2046-04-15
Variable
0.51000000
N
N
N
N
N
N
Credit Suisse First Boston Mortgage Securities
N/A
CSFB Mortgage-Backed Pass-Through Certificates Series 2005-10
225470FK4
420482.46000000
PA
USD
76526.55000000
0.002279318423
Long
ABS-MBS
CORP
US
N
2
2035-11-25
Floating
1.80700000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Pool
3132DMSG1
2611351.03000000
PA
USD
2577598.72000000
0.076772940268
Long
ABS-MBS
USGSE
US
N
2
2050-08-01
Fixed
3.00000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36180DVB0
85967.60000000
PA
USD
86947.14000000
0.002589692310
Long
ABS-MBS
USGA
US
N
2
2043-05-15
Fixed
3.50000000
N
N
N
N
N
N
Countrywide Alternative Loan Trust
N/A
Alternative Loan Trust 2007-OA3
02150TAA8
497592.75000000
PA
USD
447825.41000000
0.013338334313
Long
ABS-MBS
CORP
US
N
2
2047-04-25
Floating
0.73700000
N
N
N
N
N
N
KLA CORP
549300H0BF5JCG96TJ81
KLA Corp
482480AJ9
2136000.00000000
PA
USD
2011941.68000000
0.059925029145
Long
DBT
CORP
US
N
2
2050-03-01
Fixed
3.30000000
N
N
N
N
N
N
SeaWorld Parks & Entertainment, Inc.
549300UZV72O3371JJ53
SeaWorld Parks & Entertainment, Inc. 2021 Term Loan B
78488CAH3
3715330.00000000
PA
USD
3681661.68000000
0.109657096759
Long
LON
CORP
US
N
2
2028-08-25
Floating
3.50000000
N
N
N
N
N
N
Tricon Residential
N/A
Tricon Residential 2021-SFR1 Trust
89614YAH9
639000.00000000
PA
USD
579158.67000000
0.017250052784
Long
ABS-O
CORP
US
N
2
2038-07-17
Fixed
4.13300000
N
N
N
N
N
N
Mariner Finance Issuance Trust
N/A
Mariner Finance Issuance Trust 2021-B
56847JAE7
400000.00000000
PA
USD
365755.08000000
0.010893896203
Long
ABS-O
CORP
US
N
2
2036-11-20
Fixed
4.68000000
N
N
N
N
N
N
Bank of America Corp
9DJT3UXIJIZJI4WXO774
Bank of America Corp
06051GHQ5
1307000.00000000
PA
USD
1328095.01000000
0.039556878299
Long
DBT
CORP
US
N
2
2030-02-07
Fixed
3.97400000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138XX3E4
85120.68000000
PA
USD
87399.87000000
0.002603176726
Long
ABS-MBS
USGSE
US
N
2
2029-09-01
Fixed
3.50000000
N
N
N
N
N
N
Goldman Sachs International
W22LROWP2IHZNBB6K528
PURCHASED RUB / SOLD USD
000000000
1.00000000
NC
5851.19000000
0.000174275792
N/A
DFE
RU
N
2
Goldman Sachs International
W22LROWP2IHZNBB6K528
199774.26000000
USD
17580135.00000000
RUB
2022-05-24
5851.19000000
N
N
N
GCT Commercial Mortgage Trust
N/A
GCT Commercial Mortgage Trust 2021-GCT
36167RAA1
310000.00000000
PA
USD
304722.22000000
0.009076052301
Long
ABS-MBS
CORP
US
N
2
2038-02-15
Floating
1.19700000
N
N
N
N
N
N
HSBC Bank PLC
MP6I5ZYZBEU3UXPYFY54
PURCHASED JPY / SOLD USD
000000000
1.00000000
NC
-15946.67000000
-0.00047496638
N/A
DFE
JP
N
2
HSBC Bank PLC
MP6I5ZYZBEU3UXPYFY54
510000.00000000
USD
60131310.00000000
JPY
2022-04-18
-15946.67000000
N
N
N
Bausch Health Cos Inc
B3BS7ACMDUWISF18KY76
Bausch Health Cos Inc
071734AC1
183000.00000000
PA
USD
180319.05000000
0.005370744308
Long
DBT
CORP
CA
N
2
2027-08-15
Fixed
5.75000000
N
N
N
N
N
N
BX Trust
N/A
BX Trust 2021-LBA
05609BAR0
1410000.00000000
PA
USD
1340154.10000000
0.039916054376
Long
ABS-MBS
CORP
US
Y
2
2036-02-15
Floating
3.39700000
N
N
N
N
N
N
Aramark Services Inc
42YMHYH0XMHJEXDUB065
Aramark Services Inc
038522AQ1
496000.00000000
PA
USD
481120.00000000
0.014330002857
Long
DBT
CORP
US
N
2
2028-02-01
Fixed
5.00000000
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138XQXV8
411434.89000000
PA
USD
421326.62000000
0.012549076463
Long
ABS-MBS
USGSE
US
N
2
2029-04-01
Fixed
3.50000000
N
N
N
N
N
N
BURLINGTN NORTH SANTA FE
N/A
Burlington Northern Santa Fe LLC
12189LAE1
269000.00000000
PA
USD
324714.89000000
0.009671527480
Long
DBT
CORP
US
N
2
2041-06-01
Fixed
5.40000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
312942H40
138613.29000000
PA
USD
145110.25000000
0.004322061641
Long
ABS-MBS
USGSE
US
N
2
2040-09-01
Fixed
4.00000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36179SB89
442203.96000000
PA
USD
450547.47000000
0.013419409985
Long
ABS-MBS
USGA
US
N
2
2046-05-20
Fixed
3.50000000
N
N
N
N
N
N
Aon Corp
LTS3U8DGK38SETRUWX71
Aon Corp
037389BB8
1072000.00000000
PA
USD
1123006.46000000
0.033448382483
Long
DBT
CORP
US
N
2
2028-12-15
Fixed
4.50000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
3132KFAC6
428785.75000000
PA
USD
425042.89000000
0.012659764358
Long
ABS-MBS
USGSE
US
N
2
2030-09-01
Fixed
2.50000000
N
N
N
N
N
N
Goldman Sachs & Co. LLC
FOR8UP27PHTHYVLBNG30
Long: BRY059X44 CDS USD R V 03MEVENT 1 SOVEREIGN / Short: BRY059X44 CDS USD P F 1.00000 2 SOVEREIGN
000000000
3913035.00000000
OU
Notional Amount
USD
-40197.63000000
-0.00119727334
N/A
DCR
US
N
2
Goldman Sachs & Co. LLC
FOR8UP27PHTHYVLBNG30
REPUBLIC OF PHILIPPINES
REPUBLIC OF PHILIPPINES
Y
buy protection
2027-06-20
21079.50000000
USD
0.00000000
USD
3913035.00000000
USD
-61277.13000000
N
N
N
United States Treasury
254900HROIFWPRGM1V77
United States Treasury Note/Bond
912810SQ2
10822000.00000000
PA
USD
8483856.14000000
0.252688898247
Long
DBT
UST
US
N
2
2040-08-15
Fixed
1.12500000
N
N
N
N
N
N
Owl Rock CLO Ltd
N/A
Owl Rock CLO VI Ltd
69120WAA7
250000.00000000
PA
USD
248001.50000000
0.007386644087
Long
ABS-CBDO
CORP
KY
N
2
2032-06-21
Floating
1.57200000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
3128MAAK5
566915.60000000
PA
USD
603485.49000000
0.017974619213
Long
ABS-MBS
USGSE
US
N
2
2042-05-01
Fixed
4.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31416YVG0
77244.71000000
PA
USD
82176.60000000
0.002447603327
Long
ABS-MBS
USGSE
US
N
2
2041-07-01
Fixed
4.50000000
N
N
N
N
N
N
GOL EQUITY FINANCE SA
222100H9BH197YU7RY14
GOL Equity Finance SA
36256KAA8
100000.00000000
PA
USD
81625.00000000
0.002431174100
Long
DBT
CORP
LU
N
2
2024-07-15
Fixed
3.75000000
N
N
N
N
Y
GOL Equity Finance SA
GOL Equity Finance SA
USD
XXXX
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Pool
3132DMR56
3923763.09000000
PA
USD
3986520.82000000
0.118737227178
Long
ABS-MBS
USGSE
US
N
2
2048-01-01
Fixed
3.50000000
N
N
N
N
N
N
NRG Energy Inc
5E2UPK5SW04M13XY7I38
NRG Energy Inc
629377CH3
320000.00000000
PA
USD
312713.60000000
0.009314072957
Long
DBT
CORP
US
N
2
2029-06-15
Fixed
5.25000000
N
N
N
N
N
N
College Ave Student Loans
N/A
College Ave Student Loans 2021-B LLC
19425AAD6
100000.00000000
PA
USD
92962.88000000
0.002768869171
Long
ABS-O
CORP
US
N
2
2052-06-25
Fixed
3.78000000
N
N
N
N
N
N
Comcast Corp
51M0QTTNCGUN7KFCFZ59
Comcast Corp
20030NCC3
780000.00000000
PA
USD
792410.23000000
0.023601681201
Long
DBT
CORP
US
N
2
2047-11-01
Fixed
3.96900000
N
N
N
N
N
N
College Ave Student Loans
N/A
College Ave Student Loans 2021-C LLC
19424WAE7
100000.00000000
PA
USD
94559.30000000
0.002816418022
Long
ABS-O
CORP
US
N
2
2055-07-26
Fixed
4.11000000
N
N
N
N
N
N
JP Morgan Chase Commercial Mortgage Sec Trust
N/A
JPMCC Commercial Mortgage Securities Trust 2017-JP6
48128KAU5
320000.00000000
PA
USD
321906.53000000
0.009587881390
Long
ABS-MBS
CORP
US
N
2
2050-07-15
Fixed
3.49000000
N
N
N
N
N
N
Bombardier Capital Mortgage Securitization Corp.
N/A
BCMSC Trust 2000-A
09774XBP6
1178846.56000000
PA
USD
235680.43000000
0.007019665021
Long
ABS-O
CORP
US
N
2
2030-06-15
Variable
7.83000000
N
N
N
N
N
N
CVS HEALTH CORP
549300EJG376EN5NQE29
CVS Health Corp
126650DJ6
3917000.00000000
PA
USD
3985507.23000000
0.118707037729
Long
DBT
CORP
US
N
2
2030-04-01
Fixed
3.75000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140J6D46
2226405.74000000
PA
USD
2371375.90000000
0.070630660587
Long
ABS-MBS
USGSE
US
N
2
2046-07-01
Fixed
4.50000000
N
N
N
N
N
N
CONSUMERS ENERGY CO
7NKTFWJ1G6MELP9TU740
Consumers Energy Co
210518DN3
97000.00000000
PA
USD
80514.69000000
0.002398103877
Long
DBT
CORP
US
N
2
2052-08-15
Fixed
2.65000000
N
N
N
N
N
N
Gores Holdings VIII Inc
N/A
Gores Holdings VIII Inc
382863116
6990.00000000
NS
USD
9156.90000000
0.000272735290
N/A
DE
US
N
1
N/A
N/A
Call
Purchased
Gores Holdings VIII Inc
Gores Holdings VIII Inc
11.50000000
11.50000000
USD
2027-12-31
XXXX
-2612.95000000
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138X55B9
423495.33000000
PA
USD
450906.50000000
0.013430103577
Long
ABS-MBS
USGSE
US
N
2
2043-10-01
Fixed
4.50000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
312938YY3
81809.46000000
PA
USD
87117.82000000
0.002594775959
Long
ABS-MBS
USGSE
US
N
2
2040-01-01
Fixed
5.50000000
N
N
N
N
N
N
Mill City Solar Loan 2019-2 Ltd.
N/A
Mill City Solar Loan 2019-2 Ltd
59982VAA7
1204712.19000000
PA
USD
1196221.38000000
0.035629065083
Long
ABS-O
CORP
KY
N
2
2043-07-20
Fixed
3.69000000
N
N
N
N
N
N
DTE Electric Co
9N0FWODEJVKHC2DYLO03
DTE Electric Co
23338VAH9
1373000.00000000
PA
USD
1447449.92000000
0.043111825509
Long
DBT
CORP
US
N
2
2048-05-15
Fixed
4.05000000
N
N
N
N
N
N
PETROLEOS MEXICANOS
549300CAZKPF4HKMPX17
Petroleos Mexicanos
000000000
10225600.00000000
PA
483261.14000000
0.014393776016
Long
DBT
CORP
MX
N
2
2024-09-12
Fixed
7.19000000
N
N
N
N
N
N
LOWE'S COS INC
WAFCR4OKGSC504WU3E95
Lowe's Cos Inc
548661EJ2
284000.00000000
PA
USD
293750.70000000
0.008749269143
Long
DBT
CORP
US
N
2
2052-04-01
Fixed
4.25000000
N
N
N
N
N
N
Aon Corp
LTS3U8DGK38SETRUWX71
Aon Corp
037389BC6
2463000.00000000
PA
USD
2518384.96000000
0.075009277668
Long
DBT
CORP
US
N
2
2029-05-02
Fixed
3.75000000
N
N
N
N
N
N
CHARTER COMM OPT LLC/CAP
N/A
Charter Communications Operating LLC / Charter Communications Operating Capital
161175BC7
994000.00000000
PA
USD
1178553.34000000
0.035102828253
Long
DBT
CORP
US
N
2
2055-10-23
Fixed
6.83400000
N
N
N
N
N
N
BRF GmbH
5299002S6DY5RA2IOQ11
BRF GmbH
05583BAA7
580000.00000000
PA
USD
564925.80000000
0.016826131376
Long
DBT
CORP
AT
N
2
2026-09-29
Fixed
4.35000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36179TG33
973775.50000000
PA
USD
969711.25000000
0.028882534467
Long
ABS-MBS
USGA
US
N
2
2047-09-20
Fixed
3.00000000
N
N
N
N
N
N
CITIGROUP INC
6SHGI4ZSSLCXXQSBB395
Citigroup Inc
172967NG2
6450000.00000000
PA
USD
6282033.81000000
0.187108335644
Long
DBT
CORP
US
N
2
2028-02-24
Fixed
3.07000000
N
N
N
N
N
N
Alabama Power Co
0RL818ELFOHP5JHOFU19
Alabama Power Co
010392FB9
34000.00000000
PA
USD
42009.90000000
0.001251251220
Long
DBT
CORP
US
N
2
2039-03-01
Fixed
6.00000000
N
N
N
N
N
N
FREMF Mortgage Trust
N/A
FREMF 2019-KW08 Mortgage Trust
30297YAA2
25318086.67000000
PA
USD
130605.88000000
0.003890053694
Long
ABS-MBS
USGSE
US
N
2
2029-01-25
Fixed
0.10000000
N
N
N
N
N
N
Credit Suisse AG
E58DKGMJYYYJLN8C3868
Long: BRTB746D5 CDS USD R V 01MEVENT 1 CMBX / Short: BRTB746D5 CDS USD P F .50000 2 CMBX
000000000
1610000.00000000
OU
Notional Amount
USD
-9450.09000000
-0.00028146785
N/A
DCR
US
N
2
Credit Suisse AG
E58DKGMJYYYJLN8C3868
CMBX.NA.AAA.9
137BENAI7
Y
buy protection
2058-09-17
19805.38000000
USD
0.00000000
USD
1610000.00000000
USD
-29255.47000000
N
N
N
VERIZON COMMUNICATIONS
2S72QS2UO2OESLG6Y829
Verizon Communications Inc
92343VFT6
1350000.00000000
PA
USD
1148388.77000000
0.034204386338
Long
DBT
CORP
US
N
2
2040-11-20
Fixed
2.65000000
N
N
N
N
N
N
BANK OF AMERICA CORP
9DJT3UXIJIZJI4WXO774
Bank of America Corp
06051GJR1
2731000.00000000
PA
USD
2617504.15000000
0.077961510533
Long
DBT
CORP
US
N
2
2025-04-22
Fixed
0.97600000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36197MRS9
88426.04000000
PA
USD
95283.47000000
0.002837987190
Long
ABS-MBS
USGA
US
N
2
2047-04-15
Fixed
4.50000000
N
N
N
N
N
N
GENNEIA SA
529900YZ70LX0XWS9P67
Genneia SA
372319AB9
169340.00000000
PA
USD
159391.28000000
0.004747417479
Long
DBT
CORP
AR
N
2
2027-09-02
Fixed
8.75000000
N
N
N
N
N
N
Service Properties Trust
529900IS770AG1K9QG27
Service Properties Trust
81761L102
77719.00000000
NS
USD
686258.77000000
0.020439994460
Long
EC
US
N
1
N
N
N
CHENIERE CORP CHRISTI HD
549300I7CIEWU1BBLQ53
Cheniere Corpus Christi Holdings LLC
16412XAJ4
1050000.00000000
PA
USD
1046723.85000000
0.031176329732
Long
DBT
CORP
US
N
2
2029-11-15
Fixed
3.70000000
N
N
N
N
N
N
TK ELEVATOR US NEWCO INC
549300C2AFWPAYWS5574
TK Elevator US Newco Inc
92537RAA7
926000.00000000
PA
USD
915841.78000000
0.027278049808
Long
DBT
CORP
US
N
2
2027-07-15
Fixed
5.25000000
N
N
N
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
Long: SRY00TBP2 IRS USD R F 1.19700 2 CCPOIS / Short: SRY00TBP2 IRS USD P V 12MFEDL 1 CCPOIS
000000000
1132835000.00000000
OU
Notional Amount
USD
-650326.59000000
-0.01936976615
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2022-09-21
1179.99000000
USD
0.00000000
USD
1132835000.00000000
USD
-651506.58000000
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae
21H040640
4018500.00000000
PA
USD
4097614.22000000
0.122046107997
Long
ABS-MBS
USGA
US
N
2
2052-04-21
Fixed
4.00000000
N
N
N
N
N
N
Florida Power & Light Co
A89MY1K3YLIGJMYWVX50
Florida Power & Light Co
341081FP7
410000.00000000
PA
USD
417507.97000000
0.012435339214
Long
DBT
CORP
US
N
2
2047-12-01
Fixed
3.70000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Pool
3132DM2T1
1466550.45000000
PA
USD
1366105.90000000
0.040689020306
Long
ABS-MBS
USGSE
US
N
2
2051-12-01
Fixed
2.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138LQ2K9
122782.75000000
PA
USD
125015.86000000
0.003723556765
Long
ABS-MBS
USGSE
US
N
2
2042-04-01
Fixed
3.50000000
N
N
N
N
N
N
Structured Asset Mortgage Investments Inc
N/A
Structured Asset Mortgage Investments II Trust 2006-AR4
86360QAE5
846299.37000000
PA
USD
783417.97000000
0.023333849659
Long
ABS-MBS
CORP
US
N
2
2036-06-25
Floating
0.83700000
N
N
N
N
N
N
Stoneway Capital Corp
549300CV1RKODDF74O91
Stoneway Capital Corp
000000000
1193765.88000000
PA
USD
332762.24000000
0.009911215185
Long
DBT
CORP
CA
Y
2
2027-03-01
None
0.00000000
Y
N
N
N
N
N
ROCKFORD TOWER EUROPE CLO
635400J1BXSISHD5XN53
Rockford Tower Europe CLO 2018-1 DAC
000000000
407000.00000000
PA
446020.82000000
0.013284585186
Long
ABS-CBDO
CORP
IE
Y
2
2031-12-20
Floating
1.85000000
N
N
N
N
N
N
Aurora Innovation Inc
N/A
Aurora Innovation Inc
051774115
4108.00000000
NS
USD
6203.08000000
0.000184756722
N/A
DE
US
N
1
N/A
N/A
Call
Purchased
Aurora Innovation Inc
Aurora Innovation Inc
11.50000000
11.50000000
USD
2028-12-31
XXXX
-957.00000000
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36202FGD2
1927.97000000
PA
USD
2052.70000000
0.000061139002
Long
ABS-MBS
USGA
US
N
2
2040-05-20
Fixed
4.50000000
N
N
N
N
N
N
Barclays Bank PLC
G5GSEF7VJP5I7OUK5573
Long: BRWWF0E60 CDS USD R V 03MEVENT 1 SOVEREIGN / Short: BRWWF0E60 CDS USD P F 1.00000 2 SOVEREIGN
000000000
740000.00000000
OU
Notional Amount
USD
4495.71000000
0.000133903261
N/A
DCR
US
N
2
Barclays Bank PLC
G5GSEF7VJP5I7OUK5573
FED REPUBLIC OF BRAZIL
FED REPUBLIC OF BRAZIL
Y
buy protection
2024-12-20
10002.76000000
USD
0.00000000
USD
740000.00000000
USD
-5507.05000000
N
N
N
JP Morgan Mortgage Trust
N/A
J.P. Morgan Mortgage Trust 2021-INV7
46654CAS4
554707.80000000
PA
USD
514522.66000000
0.015324890230
Long
ABS-MBS
CORP
US
N
2
2052-02-25
Variable
3.27200000
N
N
N
N
N
N
Anchorage Capital CLO LTD
54930014PVHLSZJQK139
Anchorage Capital CLO 7 Ltd
03328TBA2
830000.00000000
PA
USD
828320.08000000
0.024671244414
Long
ABS-CBDO
CORP
KY
N
2
2031-01-28
Floating
1.36800000
N
N
N
N
N
N
Eskom Holdings SOC Ltd
3789001900ED06F65111
Eskom Holdings SOC Ltd
000000000
370000.00000000
PA
USD
356598.60000000
0.010621173422
Long
DBT
CORP
ZA
Y
2
2025-02-11
Fixed
7.12500000
N
N
N
N
N
N
Morgan Stanley Capital Services LLC
4PQUHN3JPFGFNF3BB653
Long: BRW16PAR1 CDS USD R V 03MEVENT 1 CORPORATE / Short: BRW16PAR1 CDS USD P F 1.00000 2 CORPORATE
000000000
1185000.00000000
OU
Notional Amount
USD
4099.38000000
0.000122098701
N/A
DCR
US
N
2
Morgan Stanley Capital Services LLC
4PQUHN3JPFGFNF3BB653
BOEING CO
BOEING CO
Y
buy protection
2024-12-20
0.00000000
USD
-7638.47000000
USD
1185000.00000000
USD
11737.85000000
N
N
N
VOYA EURO CLO
635400URG3IUW6R6W254
Voya Euro CLO II DAC
000000000
1030000.00000000
PA
1123495.38000000
0.033462944806
Long
ABS-CBDO
CORP
IE
N
2
2035-07-15
Floating
0.96000000
N
N
N
N
N
N
HONO Mortgage Trust
N/A
HONO 2021-LULU Mortgage Trust
40390MAN5
387000.00000000
PA
USD
379722.74000000
0.011309918417
Long
ABS-MBS
CORP
US
N
2
2036-10-15
Floating
3.74700000
N
N
N
N
N
N
TBA 33 CENT CLAIMS FRN
N/A
TBA 33 CENT CLAIMS FRN
000000000
271437.50000000
PA
USD
1221.47000000
0.000036381087
Long
DBT
CORP
US
N
2
2049-12-31
None
0.00000000
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
248600.25000000
0.007404477662
Long
ABS-CBDO
CORP
KY
N
2
2034-07-24
Floating
3.35900000
N
N
N
N
N
N
Trestles CLO LTD
N/A
TRESTLES CLO III LTD
89532TAA4
1170000.00000000
PA
USD
1167897.51000000
0.034785447819
Long
ABS-CBDO
CORP
KY
N
2
2033-01-20
Floating
1.58400000
N
N
N
N
N
N
Latam Finance Ltd
N/A
Latam Finance Ltd
000000000
200000.00000000
PA
USD
179000.00000000
0.005331456832
Long
DBT
CORP
KY
Y
2
2024-04-11
None
0.00000000
Y
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Pool
3132DMR23
1434040.80000000
PA
USD
1493856.00000000
0.044494015522
Long
ABS-MBS
USGSE
US
N
2
2048-06-01
Fixed
4.00000000
N
N
N
N
N
N
Merrill Lynch Mortgage Investors Trust
N/A
Merrill Lynch Mortgage Investors Trust Series 2006-A3
59023CAD4
615846.96000000
PA
USD
513864.49000000
0.015305286851
Long
ABS-MBS
CORP
US
N
2
2036-05-25
Variable
2.73500000
N
N
N
N
N
N
DEVON ENERGY CORPORATION
54930042348RKR3ZPN35
Devon Energy Corp
25179MAN3
854000.00000000
PA
USD
902435.54000000
0.026878749306
Long
DBT
CORP
US
N
2
2042-05-15
Fixed
4.75000000
N
N
N
N
N
Barclays Bank PLC
G5GSEF7VJP5I7OUK5573
Long: BRWWEKH64 CDS USD R V 03MEVENT 1 SOVEREIGN / Short: BRWWEKH64 CDS USD P F 1.00000 2 SOVEREIGN
000000000
524000.00000000
OU
Notional Amount
USD
3183.45000000
0.000094818023
N/A
DCR
US
N
2
Barclays Bank PLC
G5GSEF7VJP5I7OUK5573
FED REPUBLIC OF BRAZIL
FED REPUBLIC OF BRAZIL
Y
buy protection
2024-12-20
7220.47000000
USD
0.00000000
USD
524000.00000000
USD
-4037.02000000
N
N
N
Intercontinental Exchange, Inc.
5493000F4ZO33MV32P92
Long: B95NC66Z9 CDS EUR R V 03MEVENT 1 CCPCDX / Short: B95NC66Z9 CDS EUR P F 1.00000 2 CCPCDX
000000000
7277000.00000000
OU
Notional Amount
-76742.36000000
-0.00228574625
N/A
DCR
US
N
2
Intercontinental Exchange, Inc.
5493000F4ZO33MV32P92
iTraxx Europe Senior Financials S35
2I667DCL6
Y
buy protection
2027-06-20
0.00000000
EUR
-55207.84000000
EUR
7277000.00000000
EUR
-15939.52000000
N
N
N
JP Morgan Chase Commercial Mortgage Sec Trust
N/A
JPMCC Commercial Mortgage Securities Trust 2017-JP7
465968AK1
110000.00000000
PA
USD
108978.03000000
0.003245875210
Long
ABS-MBS
CORP
US
N
2
2050-09-15
Fixed
4.05000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138YAVZ5
410657.15000000
PA
USD
406696.92000000
0.012113335603
Long
ABS-MBS
USGSE
US
N
2
2030-01-01
Fixed
2.50000000
N
N
N
N
N
N
Bayview Commercial Asset Trust
N/A
Bayview Commercial Asset Trust 2006-3
07324NAB9
113019.77000000
PA
USD
107254.37000000
0.003194536557
Long
ABS-MBS
CORP
US
N
2
2036-10-25
Floating
0.75700000
N
N
N
N
N
N
Velocity Commercial Capital Loan Trust
N/A
Velocity Commercial Capital Loan Trust 2021-4
92258DAA5
3245495.92000000
PA
USD
3092053.09000000
0.092095796503
Long
ABS-MBS
CORP
US
N
2
2051-12-26
Variable
2.52000000
N
N
N
N
N
N
AMER AIRLINE 16-3 AA PTT
N/A
American Airlines 2016-3 Class AA Pass Through Trust
023771R91
1650173.84000000
PA
USD
1533328.50000000
0.045669691107
Long
DBT
CORP
US
N
2
2028-10-15
Fixed
3.00000000
N
N
N
N
N
N
Carlyle Global Market Strategies
N/A
CARLYLE US CLO 2017-4 Ltd
14315BAA4
1550000.00000000
PA
USD
1546318.75000000
0.046056601482
Long
ABS-CBDO
CORP
KY
N
2
2030-01-15
Floating
1.42100000
N
N
N
N
N
N
United States Treasury
254900HROIFWPRGM1V77
United States Treasury Note/Bond
912810RZ3
20100000.00000000
PA
USD
20855320.21000000
0.621168935386
Long
DBT
UST
US
N
2
2047-11-15
Fixed
2.75000000
N
N
N
N
N
N
SALESFORCE.COM INC
RCGZFPDMRW58VJ54VR07
salesforce.com Inc
79466LAM6
1365000.00000000
PA
USD
1197374.16000000
0.035663400261
Long
DBT
CORP
US
N
2
2061-07-15
Fixed
3.05000000
N
N
N
N
N
GLENCORE FUNDING LLC
213800STG1QDNBY87K49
Glencore Funding LLC
378272BG2
875000.00000000
PA
USD
782695.31000000
0.023312325466
Long
DBT
CORP
US
N
2
2031-09-23
Fixed
2.62500000
N
N
N
N
N
CROWN CASTLE INTL CORP
54930012H97VSM0I2R19
Crown Castle International Corp
22822VAY7
443000.00000000
PA
USD
395176.29000000
0.011770197382
Long
DBT
US
N
2
2031-07-15
Fixed
2.50000000
N
N
N
N
N
N
Loanpal Solar Loan Ltd.
N/A
Loanpal Solar Loan 2020-2 Ltd
53948KAA7
1020042.01000000
PA
USD
967134.68000000
0.028805792167
Long
ABS-O
CORP
US
N
2
2047-07-20
Fixed
2.75000000
N
N
N
N
N
N
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
Long: BRY08GHE1 CDS USD R V 03MEVENT 1 SOVEREIGN / Short: BRY08GHE1 CDS USD P F 1.00000 2 SOVEREIGN
000000000
10567060.00000000
OU
Notional Amount
USD
1094.11000000
0.000032587710
N/A
DCR
US
N
2
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
United Mexican States
United Mexican States
Y
buy protection
2027-06-20
67107.91000000
USD
0.00000000
USD
10567060.00000000
USD
-66013.80000000
N
N
N
Countrywide Home Equity Loan Trust
N/A
CWHEQ Revolving Home Equity Loan Trust Series 2006-H
126686AA2
258045.85000000
PA
USD
236504.41000000
0.007044206998
Long
ABS-O
CORP
US
N
2
2036-11-15
Floating
0.54700000
N
N
N
N
N
N
CD Commercial Mortgage Trust
N/A
CD 2017-CD3 Mortgage Trust
12515GAD9
350000.00000000
PA
USD
353044.44000000
0.010515313921
Long
ABS-MBS
CORP
US
N
2
2050-02-10
Fixed
3.63100000
N
N
N
N
N
N
Palmer Square Loan Funding Ltd
N/A
Palmer Square Loan Funding 2019-3 Ltd
69689NAA0
250000.00000000
PA
USD
246842.25000000
0.007352116203
Long
ABS-CBDO
CORP
KY
N
2
2027-08-20
Floating
5.83000000
N
N
N
N
N
N
ALM Loan Funding
N/A
ALM 2020 Ltd
00166FAG1
1220000.00000000
PA
USD
1216875.58000000
0.036244243718
Long
ABS-CBDO
CORP
KY
N
2
2029-10-15
Floating
2.09100000
N
N
N
N
N
N
Marathon Petroleum Corp
3BNYRYQHD39K4LCKQF12
Marathon Petroleum Corp
56585AAM4
360000.00000000
PA
USD
400414.46000000
0.011926214573
Long
DBT
CORP
US
N
2
2045-12-15
Fixed
5.85000000
N
N
N
N
N
N
MORGAN STANLEY
IGJSJL3JD5P30I6NJZ34
Morgan Stanley
61747YEC5
1560000.00000000
PA
USD
1433957.55000000
0.042709959653
Long
DBT
CORP
US
N
2
2027-07-20
Fixed
1.51200000
N
N
N
N
N
N
United States Treasury
254900HROIFWPRGM1V77
United States Treasury Note/Bond
91282CBZ3
5324000.00000000
PA
USD
4959638.75000000
0.147721228502
Long
DBT
UST
US
N
2
2028-04-30
Fixed
1.25000000
N
N
N
N
N
N
BWAY Mortgage Trust
N/A
BWAY 2013-1515 Mortgage Trust
05604FAN5
600000.00000000
PA
USD
574128.96000000
0.017100244506
Long
ABS-MBS
CORP
US
N
2
2033-03-10
Fixed
3.63300000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
3128MEK91
617623.48000000
PA
USD
623396.29000000
0.018567655921
Long
ABS-MBS
USGSE
US
N
2
2030-07-01
Fixed
3.00000000
N
N
N
N
N
N
MOTOROLA SOLUTIONS INC
6S552MUG6KGJVEBSEC55
Motorola Solutions Inc
620076BU2
2975000.00000000
PA
USD
2691725.02000000
0.080172155027
Long
DBT
CORP
US
N
2
2031-05-24
Fixed
2.75000000
N
N
N
N
N
N
SKANDI NY
N/A
SKANDI NY
000000000
1000000.00000000
PA
USD
1000000.00000000
0.029784675043
Long
STIV
CORP
US
N
2
2022-04-01
Fixed
0.30000000
N
N
N
N
N
REPUBLIC OF NIGERIA
549300GSBZD84TNEQ285
Nigeria Government International Bond
65412JAU7
640000.00000000
PA
USD
646169.60000000
0.019245951559
Long
DBT
NUSS
NG
N
2
2029-03-24
Fixed
8.37500000
N
N
N
N
N
N
UBS AG
BFM8T61CT2L1QCEMIK50
PURCHASED USD / SOLD ZAR
000000000
1.00000000
NC
2335.11000000
0.000069550492
N/A
DFE
US
N
2
UBS AG
BFM8T61CT2L1QCEMIK50
7637440.65000000
ZAR
525000.00000000
USD
2022-04-01
2335.11000000
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Pool
3133KNQV8
475907.87000000
PA
USD
442147.78000000
0.013169227948
Long
ABS-MBS
USGSE
US
N
2
2052-02-01
Fixed
2.00000000
N
N
N
N
N
N
Lam Research Corp
549300I4GMO6D34U1T02
Lam Research Corp
512807AT5
1285000.00000000
PA
USD
1530672.92000000
0.045590595520
Long
DBT
CORP
US
N
2
2049-03-15
Fixed
4.87500000
N
N
N
N
N
N
MOODY'S CORPORATION
549300GCEDD8YCF5WU84
Moody's Corp
615369AM7
399000.00000000
PA
USD
398362.43000000
0.011865095527
Long
DBT
CORP
US
N
2
2028-01-15
Fixed
3.25000000
N
N
N
N
N
N
HSBC Bank PLC
MP6I5ZYZBEU3UXPYFY54
PURCHASED RUB / SOLD USD
000000000
1.00000000
NC
131322.10000000
0.003911386074
N/A
DFE
RU
N
2
HSBC Bank PLC
MP6I5ZYZBEU3UXPYFY54
337627.71000000
USD
40093290.00000000
RUB
2022-05-24
131322.10000000
N
N
N
Morgan Stanley
IGJSJL3JD5P30I6NJZ34
Morgan Stanley
61746BEF9
3448000.00000000
PA
USD
3477640.08000000
0.103580379701
Long
DBT
CORP
US
N
2
2027-01-20
Fixed
3.62500000
N
N
N
N
N
N
Duke Energy Florida LLC
7MOHLM3DKE63RX2ZCN83
Duke Energy Florida LLC
26444HAE1
328000.00000000
PA
USD
334920.38000000
0.009975494683
Long
DBT
CORP
US
N
2
2028-07-15
Fixed
3.80000000
N
N
N
N
N
N
One Market Plaza Trust
N/A
One Market Plaza Trust 2017-1MKT
68245HAU8
4222000.00000000
PA
USD
4.22000000
0.000000125691
Long
ABS-MBS
CORP
US
N
2
2032-02-10
Variable
0.09000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138XWXG8
421001.55000000
PA
USD
430966.84000000
0.012836207284
Long
ABS-MBS
USGSE
US
N
2
2029-07-01
Fixed
3.50000000
N
N
N
N
N
N
BX Trust
N/A
BX Trust 2021-ARIA
05608RAQ8
1087000.00000000
PA
USD
1046173.58000000
0.031159940119
Long
ABS-MBS
CORP
US
N
2
2036-10-15
Floating
3.53900000
N
N
N
N
N
N
Tenet Healthcare Corp
0W9AIBT6U6ADJ2I8HK17
Tenet Healthcare Corp
88033G407
4138.00000000
NS
USD
355702.48000000
0.010594482779
Long
EC
CORP
US
N
1
N
N
N
AEP TRANSMISSION CO LLC
549300X123Z1I0LA3Y84
AEP Transmission Co LLC
00115AAK5
840000.00000000
PA
USD
829229.12000000
0.024698319875
Long
DBT
CORP
US
N
2
2049-06-15
Fixed
3.80000000
N
N
N
N
N
N
CF Industries Holdings Inc
529900CG8YAQFZ2JMV97
CF Industries Holdings Inc
125269100
7032.00000000
NS
USD
724717.92000000
0.021585487745
Long
EC
CORP
US
N
1
N
N
N
Morgan Stanley Capital I Trust
N/A
Morgan Stanley Capital I Trust 2019-NUGS
61692AAN2
220000.00000000
PA
USD
216532.18000000
0.006449340617
Long
ABS-MBS
CORP
US
N
2
2036-12-15
Floating
3.74400000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140XFKC4
1678079.63000000
PA
USD
1563261.19000000
0.046561226552
Long
ABS-MBS
USGSE
US
N
2
2052-01-01
Fixed
2.00000000
N
N
N
N
N
N
UNITED AIR 2015-1 AA PTT
N/A
United Airlines 2015-1 Class AA Pass Through Trust
90932LAA5
168833.67000000
PA
USD
166725.51000000
0.004965865136
Long
DBT
CORP
US
N
2
2027-12-01
Fixed
3.45000000
N
N
N
N
N
N
Rockford Tower CLO Ltd
549300G18KVCW7VUKI86
Rockford Tower CLO 2017-2 Ltd
77340GAL5
1781000.00000000
PA
USD
1766458.14000000
0.052613381678
Long
ABS-CBDO
CORP
KY
N
2
2029-10-15
Floating
1.74100000
N
N
N
N
N
N
Valcour Packaging LLC
N/A
Valcour Packaging LLC 2021 1st Lien Term Loan
91889CAB4
352000.00000000
PA
USD
344960.00000000
0.010274521503
Long
LON
CORP
US
N
2
2028-10-04
Floating
4.25000000
N
N
N
N
N
N
Deutsche Bank Commercial Mortgage Trust
N/A
DBJPM 16-C1 Mortgage Trust
23312LAS7
240000.00000000
PA
USD
239261.90000000
0.007126337941
Long
ABS-MBS
CORP
US
N
2
2049-05-10
Fixed
3.27600000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138XC4K5
443806.74000000
PA
USD
447373.30000000
0.013324868363
Long
ABS-MBS
USGSE
US
N
2
2028-11-01
Fixed
3.00000000
N
N
N
N
N
N
LIQUID TELECOM FINANCE
635400MXAVJRJJCWVI87
Liquid Telecommunications Financing Plc
536333AB3
231000.00000000
PA
USD
220789.80000000
0.006576152445
Long
DBT
CORP
GB
N
2
2026-09-04
Fixed
5.50000000
N
N
N
N
N
N
Progress Residential Trust
N/A
Progress Residential 2021-SFR4
74333EAG7
1340000.00000000
PA
USD
1227566.50000000
0.036562669297
Long
ABS-O
CORP
US
N
2
2038-05-17
Fixed
3.40700000
N
N
N
N
N
N
Apidos CLO
549300RV409NJP65MP20
Apidos CLO XXVI
03766GAS1
250000.00000000
PA
USD
247401.50000000
0.007368773282
Long
ABS-CBDO
CORP
KY
N
2
2029-07-18
Floating
2.19100000
N
N
N
N
N
N
Bank of America N.A.
B4TYDEB6GKMZO031MB27
BRWYG9SV6 BLACKROCK FXVAN CALL USD ZAR 16.2500000
000000000
-3504000.00000000
OU
Notional Amount
USD
-98.11000000
-0.00000292217
N/A
DFE
US
N
2
Bank of America N.A.
B4TYDEB6GKMZO031MB27
Call
Written
Bank of America, National Association
B4TYDEB6GKMZO031MB27
Bank of America, National Association
B4TYDEB6GKMZO031MB27
FX Contract
N/A
1.00000000
NC
USD
-98.11000000
0.00000000
DFE
US
-3504000.00000000
RUB
-56940000.00000000
USD
2022-04-12
1.00000000
16.25000000
USD
2022-04-12
XXXX
24009.41000000
N
N
N
Freddie Mac - STACR
S6XOOCT0IEG5ABCC6L87
Freddie Mac Structured Agency Credit Risk Debt Notes
35564KDY2
1050000.00000000
PA
USD
998162.03000000
0.029729931704
Long
ABS-MBS
USGSE
US
N
2
2033-08-25
Floating
6.09900000
N
N
N
N
N
N
FRESB Multifamily Mortgage Pass-Through Certifica
549300P6Y1UBYR0WQ049
FRESB 2018-SB53 Mortgage Trust
30297DAJ9
339620.26000000
PA
USD
343124.94000000
0.010219864837
Long
ABS-MBS
USGSE
US
N
2
2028-06-25
Variable
3.62500000
N
N
N
N
N
N
STANDARD INDUSTRIES INC
54930064UHXCIUWVI755
Standard Industries Inc/NJ
853496AC1
215000.00000000
PA
USD
213125.20000000
0.006347864825
Long
DBT
CORP
US
N
2
2027-02-15
Fixed
5.00000000
N
N
N
N
N
N
BNP Paribas SA
R0MUWSFPU8MPRO8K5P83
Long: BRWZJNX43 TRS USD R V 12MSOFR BRWZJNX68 IBOXXTRS / Short: BRWZJNX43 TRS USD P E BRWZJNX50 IBOXXTRS
000000000
2594000.00000000
OU
Notional Amount
USD
-17285.11000000
-0.00051483138
N/A
DCR
US
N
2
BNP Paribas SA
R0MUWSFPU8MPRO8K5P83
Markit iBoxx USD Liquid Investment Grade Index
IBOXIG INDEX
Y
equity-performance leg
2022-06-20
0.00000000
USD
0.00000000
USD
2594000.00000000
USD
-17285.11000000
N
N
N
JP Morgan Chase Commercial Mortgage Sec Trust
N/A
J.P. Morgan Chase Commercial Mortgage Securities Trust 2016-NINE
46646GAA5
238000.00000000
PA
USD
230256.62000000
0.006858118603
Long
ABS-MBS
CORP
US
N
2
2038-09-06
Variable
2.85400000
N
N
N
N
N
N
CENTENE CORP
549300Z7JJ4TQSQGT333
Centene Corp
15135BAY7
1230000.00000000
PA
USD
1123851.00000000
0.033473536832
Long
DBT
CORP
US
N
2
2028-07-15
Fixed
2.45000000
N
N
N
N
N
N
Aimco
N/A
AIMCO CLO Series 2015-A
00900LAQ7
250000.00000000
PA
USD
249042.75000000
0.007417657380
Long
ABS-CBDO
CORP
KY
N
2
2034-10-17
Floating
1.84100000
N
N
N
N
N
N
Jeld-Wen Inc.
549300XWE6NM0N1HFW16
Jeld-Wen Inc. 2021 Term Loan B
47579SAU4
753307.50000000
PA
USD
749070.15000000
0.022310811002
Long
LON
CORP
US
N
2
2028-07-28
Floating
2.70700000
N
N
N
N
N
N
ANGLO AMERICAN CAPITAL
TINT358G1SSHR3L3PW36
Anglo American Capital PLC
034863AX8
482000.00000000
PA
USD
437034.29000000
0.013016924310
Long
DBT
CORP
GB
N
2
2030-09-10
Fixed
2.62500000
N
N
N
N
N
LBM Acquisition LLC
549300FAEB3VWZL4NI86
LBM Acquisition LLC Term Loan B
50179JAB4
1845419.00000000
PA
USD
1805628.08000000
0.053780045612
Long
LON
CORP
US
N
2
2027-12-17
Floating
4.50000000
N
N
N
N
N
N
VERIZON COMMUNICATIONS
2S72QS2UO2OESLG6Y829
Verizon Communications Inc
92343VGL2
3740000.00000000
PA
USD
3292142.63000000
0.098055398431
Long
DBT
CORP
US
N
2
2041-09-03
Fixed
2.85000000
N
N
N
N
N
N
Signal Peak CLO, LLC
549300SC4HK60KIV1S28
Signal Peak Clo 2 LLC
56844XBJ7
1412000.00000000
PA
USD
1405068.49000000
0.041849508388
Long
ABS-CBDO
CORP
US
N
2
2029-04-20
Floating
1.75400000
N
N
N
N
N
N
JP Morgan Chase Commercial Mortgage Sec Trust
N/A
J.P. Morgan Chase Commercial Mortgage Securities Trust 2019-MFP
46651MAQ9
774000.00000000
PA
USD
749871.25000000
0.022334671505
Long
ABS-MBS
CORP
US
N
2
2036-07-15
Floating
3.39700000
N
N
N
N
N
N
GOLDMAN SACHS GROUP INC
784F5XWPLTWKTBV3E584
Goldman Sachs Group Inc/The
38148LAE6
1485000.00000000
PA
USD
1507349.98000000
0.044895929331
Long
DBT
CORP
US
N
2
2025-05-22
Fixed
3.75000000
N
N
N
N
N
Signal Peak CLO, LLC
N/A
Mariner CLO 2016-3 LLC
56845AAY4
1015000.00000000
PA
USD
1010012.29000000
0.030082887847
Long
ABS-CBDO
CORP
KY
N
2
2029-07-23
Floating
2.30900000
N
N
N
N
N
N
Conseco Financial Corp
N/A
Conseco Finance Corp
393505F64
128926.10000000
PA
USD
121034.26000000
0.003604966103
Long
ABS-O
CORP
US
N
2
2030-04-01
Variable
6.83000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140GUMN4
621921.06000000
PA
USD
651882.29000000
0.019416102174
Long
ABS-MBS
USGSE
US
N
2
2047-11-01
Fixed
4.50000000
N
N
N
N
N
N
BANK OF NY MELLON CORP
WFLLPEPC7FZXENRZV188
Bank of New York Mellon Corp/The
064058AJ9
255000.00000000
PA
USD
242250.00000000
0.007215337529
Long
DBT
CORP
US
N
2
2026-03-20
Fixed
3.70000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
31335BKV7
938975.71000000
PA
USD
959975.52000000
0.028592558913
Long
ABS-MBS
USGSE
US
N
2
2047-12-01
Fixed
3.50000000
N
N
N
N
N
N
CITIGROUP INC
6SHGI4ZSSLCXXQSBB395
Citigroup Inc
17308CC53
6582000.00000000
PA
USD
6243083.54000000
0.185948214509
Long
DBT
CORP
US
N
2
2030-11-05
Fixed
2.97600000
N
N
N
N
N
N
DUKE ENERGY CAROLINAS
MWIUSDMN17TCR56VW396
Duke Energy Carolinas LLC
26442CBC7
1481000.00000000
PA
USD
1435532.40000000
0.042756866048
Long
DBT
CORP
US
N
2
2051-04-15
Fixed
3.45000000
N
N
N
N
N
Bank
N/A
BANK 2019-BNK20
06540AAF8
8619000.00000000
PA
USD
210788.85000000
0.006278277400
Long
ABS-MBS
CORP
US
N
2
2062-09-15
Variable
0.37900000
N
N
N
N
N
N
VEDANTA RESOURCES
8945002DGA3BBXO3N634
Vedanta Resources Finance II PLC
92243XAE1
900000.00000000
PA
USD
875250.00000000
0.026069036831
Long
DBT
CORP
GB
N
2
2025-03-11
Fixed
8.95000000
N
N
N
N
N
N
Genius Sports Ltd
N/A
Genius Sports Ltd
000000000
76133.00000000
NS
USD
79939.65000000
0.002380976498
N/A
DE
GG
N
1
N/A
N/A
Call
Purchased
Genius Sports Ltd
Genius Sports Ltd
11.50000000
11.50000000
USD
2028-12-31
XXXX
-173286.78000000
N
N
N
Morgan Stanley & Co. International PLC
4PQUHN3JPFGFNF3BB653
PURCHASED USD / SOLD CAD
000000000
1.00000000
NC
-24635.04000000
-0.00073374666
N/A
DFE
US
N
2
Morgan Stanley & Co. International PLC
4PQUHN3JPFGFNF3BB653
1603000.00000000
CAD
1257373.24000000
USD
2022-06-15
-24635.04000000
N
N
N
Bank of America Corp
9DJT3UXIJIZJI4WXO774
Bank of America Corp
060505FL3
1765000.00000000
PA
USD
1782297.00000000
0.053085136976
Long
DBT
CORP
US
N
2
2028-03-15
Fixed
5.87500000
N
N
N
N
N
N
ANHEUSER-BUSCH INBEV WOR
549300CRGMZK3K53BF92
Anheuser-Busch InBev Worldwide Inc
035240AN0
1886000.00000000
PA
USD
2035510.37000000
0.060627014918
Long
DBT
CORP
US
N
2
2048-04-15
Fixed
4.60000000
N
N
N
N
N
N
Atmos Energy Corp
QVLWEGTD2S8GJMO8D383
Atmos Energy Corp
049560AQ8
368000.00000000
PA
USD
387506.00000000
0.011541740287
Long
DBT
CORP
US
N
2
2049-03-15
Fixed
4.12500000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
312943WD1
99794.09000000
PA
USD
104475.26000000
0.003111761669
Long
ABS-MBS
USGSE
US
N
2
2040-11-01
Fixed
4.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138WFYN0
298739.18000000
PA
USD
295890.83000000
0.008813012219
Long
ABS-MBS
USGSE
US
N
2
2030-11-01
Fixed
2.50000000
N
N
N
N
N
N
Morgan Stanley & Co. International PLC
4PQUHN3JPFGFNF3BB653
Long: BRTB78HA0 CDS USD R V 01MEVENT 1 CMBX / Short: BRTB78HA0 CDS USD P F .50000 2 CMBX
000000000
1090000.00000000
OU
Notional Amount
USD
-6397.89000000
-0.00019055907
N/A
DCR
US
N
2
Morgan Stanley & Co. International PLC
4PQUHN3JPFGFNF3BB653
CMBX.NA.AAA.9
137BENAI7
Y
buy protection
2058-09-17
13408.62000000
USD
0.00000000
USD
1090000.00000000
USD
-19806.51000000
N
N
N
ENERGY TRANSFER LP
MTLVN9N7JE8MIBIJ1H73
Energy Transfer LP
29279FAA7
200000.00000000
PA
USD
229495.26000000
0.006835441743
Long
DBT
CORP
US
N
2
2049-04-15
Fixed
6.25000000
N
N
N
N
N
N
ENERGY TRANSFER LP
MTLVN9N7JE8MIBIJ1H73
Energy Transfer LP
29273RAR0
1104000.00000000
PA
USD
1268865.49000000
0.037792746293
Long
DBT
CORP
US
N
2
2042-02-01
Fixed
6.50000000
N
N
N
N
N
N
JUNIPER NETWORKS INC
AUHIXNGG7U2U7JEHM527
Juniper Networks Inc
48203RAP9
723000.00000000
PA
USD
625365.46000000
0.018626307009
Long
DBT
CORP
US
N
2
2030-12-10
Fixed
2.00000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
312944SL6
83145.90000000
PA
USD
87048.82000000
0.002592720816
Long
ABS-MBS
USGSE
US
N
2
2040-10-01
Fixed
4.00000000
N
N
N
N
N
N
MAGALLANES INC
549300DXR29GD4N0A520
Magallanes Inc
55903VAC7
2038000.00000000
PA
USD
2049172.48000000
0.061033936425
Long
DBT
CORP
US
N
2
2024-03-15
Fixed
3.42800000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Pool
3133KYWN5
494699.00000000
PA
USD
464264.10000000
0.013827955352
Long
ABS-MBS
USGSE
US
N
2
2042-04-01
Fixed
2.00000000
N
N
N
N
N
N
CSX CORP
549300JVQR4N1MMP3Q88
CSX Corp
126408HT3
431000.00000000
PA
USD
348287.04000000
0.010373616308
Long
DBT
CORP
US
N
2
2051-05-15
Fixed
2.50000000
N
N
N
N
N
N
First Franklin Mtg Loan Asset Backed Certificates
N/A
First Franklin Mortgage Loan Trust 2006-FF17
32028KAE6
1814375.43000000
PA
USD
1738258.57000000
0.051773466649
Long
ABS-O
CORP
US
N
2
2036-12-25
Floating
0.60700000
N
N
N
N
N
N
MASTR Asset Backed Securities Trust
N/A
Mastr Asset Backed Securities Trust 2006-AM2
57645FAQ0
391542.22000000
PA
USD
372867.07000000
0.011105724514
Long
ABS-MBS
CORP
US
N
2
2036-06-25
Floating
0.97700000
N
N
N
N
N
N
OHA Loan Funding Ltd
25490072LQI0R2J4XC93
OHA Loan Funding 2015-1 Ltd
67109BDC5
500000.00000000
PA
USD
496644.50000000
0.014792395044
Long
ABS-CBDO
CORP
KY
N
2
2037-01-19
Floating
1.36000000
N
N
N
N
N
N
RAYTHEON TECH CORP
I07WOS4YJ0N7YRFE7309
Raytheon Technologies Corp
75513EAB7
906000.00000000
PA
1002352.48000000
0.029854742896
Long
DBT
CORP
US
N
2
2030-05-18
Fixed
2.15000000
N
N
N
N
N
N
HCA Healthcare Inc
529900PH4ZGUH2MNEU89
HCA Healthcare Inc
40412C101
3654.00000000
NS
USD
915765.48000000
0.027275777238
Long
EC
CORP
US
N
1
N
N
N
BLACKSTONE PRIVATE CRE
549300ORP3TTCNXSYO43
Blackstone Private Credit Fund
09261HAJ6
1872000.00000000
PA
USD
1715626.71000000
0.051099384053
Long
DBT
CORP
US
N
2
2027-03-15
Fixed
3.25000000
N
N
N
N
N
N
American Tower Corp
5493006ORUSIL88JOE18
American Tower Corp
03027XAD2
292000.00000000
PA
USD
302026.58000000
0.008995763539
Long
DBT
US
N
2
2024-02-15
Fixed
5.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140J5XZ7
66382.58000000
PA
USD
65788.65000000
0.001959493561
Long
ABS-MBS
USGSE
US
N
2
2031-03-01
Fixed
2.50000000
N
N
N
N
N
N
Babson CLO Ltd
549300T40QLO0VJIOB35
Barings CLO Ltd 2019-III
06761KAL5
250000.00000000
PA
USD
249235.25000000
0.007423390930
Long
ABS-CBDO
CORP
KY
N
2
2031-04-20
Floating
1.32400000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Pool
3132DMQ73
309171.63000000
PA
USD
323350.59000000
0.009630892248
Long
ABS-MBS
USGSE
US
N
2
2045-01-01
Fixed
4.00000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
3132GTPY7
24354.45000000
PA
USD
24859.53000000
0.000740433022
Long
ABS-MBS
USGSE
US
N
2
2042-05-01
Fixed
3.50000000
N
N
N
N
N
N
ABBVIE INC
FR5LCKFTG8054YNNRU85
AbbVie Inc
00287YDA4
49000.00000000
PA
USD
54318.76000000
0.001617866615
Long
DBT
CORP
US
N
2
2044-06-15
Fixed
4.85000000
N
N
N
N
N
N
Goldman Sachs & Co. LLC
FOR8UP27PHTHYVLBNG30
Long: BRY0REYR7 CDS USD R V 03MEVENT 1 SOVEREIGN / Short: BRY0REYR7 CDS USD P F 1.00000 2 SOVEREIGN
000000000
760000.00000000
OU
Notional Amount
USD
78.69000000
0.000002343756
N/A
DCR
US
N
2
Goldman Sachs & Co. LLC
FOR8UP27PHTHYVLBNG30
United Mexican States
United Mexican States
Y
buy protection
2027-06-20
0.00000000
USD
-1090.96000000
USD
760000.00000000
USD
1169.65000000
N
N
N
Goldman Sachs & Co. LLC
FOR8UP27PHTHYVLBNG30
Long: BRWYCECS3 IRS BRL R F 11.47000 2 NDFPREDISWAP / Short: BRWYCECS3 IRS BRL P V 00MBRCDI 1 NDFPREDISWAP
000000000
12128867.00000000
OU
Notional Amount
-18902.47000000
-0.00056300392
N/A
DIR
US
N
2
Goldman Sachs & Co. LLC
FOR8UP27PHTHYVLBNG30
N/A
N/A
Y
2024-01-02
0.00000000
BRL
0.00000000
BRL
12128867.00000000
BRL
-18902.47000000
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Pool
3133A8RR0
378039.95000000
PA
USD
352053.81000000
0.010485808328
Long
ABS-MBS
USGSE
US
N
2
2050-08-01
Fixed
2.00000000
N
N
N
N
N
N
Home Partners of America Trust
N/A
Home Partners of America 2021-2 Trust
43732VAL0
1406412.45000000
PA
USD
1289342.54000000
0.038402648573
Long
ABS-O
CORP
US
N
2
2026-12-17
Fixed
3.79900000
N
N
N
N
N
N
BX Trust
N/A
BX Commercial Mortgage Trust 2021-VIV5
05605VAA7
474000.00000000
PA
USD
446840.89000000
0.013309010704
Long
ABS-MBS
CORP
US
N
2
2044-03-09
Variable
2.84300000
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
150190AB2
451000.00000000
PA
USD
446490.00000000
0.013298559560
Long
DBT
CORP
US
N
2
2027-04-15
Fixed
5.37500000
N
N
N
N
N
BNP Paribas SA
R0MUWSFPU8MPRO8K5P83
Long: BRWWFBCQ4 TRS USD R V 12MSOFR BRWWFBCS0 EQUITYTRS / Short: BRWWFBCQ4 TRS USD P E BRWWFBCR2 EQUITYTRS
000000000
355285.42000000
OU
Notional Amount
USD
-47530.63000000
-0.00141568436
N/A
DE
US
N
2
BNP Paribas SA
R0MUWSFPU8MPRO8K5P83
Universal Health Services Inc
Universal Health Services Inc
Y
equity-performance leg
2022-06-10
0.00000000
USD
0.00000000
USD
355285.42000000
USD
-47530.63000000
N
N
N
Banc of America Merrill Lynch Large Loan Inc
549300UQK6PJ8BF5JQ90
BAMLL Commercial Mortgage Securities Trust 2015-200P
05526QAN6
250000.00000000
PA
USD
234220.25000000
0.006976174034
Long
ABS-MBS
CORP
US
N
2
2033-04-14
Variable
3.59600000
N
N
N
N
N
N
AT&T INC
549300Z40J86GGSTL398
AT&T Inc
00206RKG6
1444000.00000000
PA
USD
1315639.75000000
0.039185902428
Long
DBT
CORP
US
N
2
2028-02-01
Fixed
1.65000000
N
N
N
N
N
MEGLOBAL CANADA ULC
635400MHHHT7LMKMQL03
MEGlobal Canada ULC
58518N2B7
555000.00000000
PA
USD
572132.85000000
0.017040791019
Long
DBT
CORP
CA
N
2
2025-05-18
Fixed
5.00000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
312943JY0
50913.06000000
PA
USD
53300.77000000
0.001587546114
Long
ABS-MBS
USGSE
US
N
2
2040-11-01
Fixed
4.00000000
N
N
N
N
N
N
BX Trust 2019-OC11
N/A
BX Trust 2019-OC11
05606FAN3
1791000.00000000
PA
USD
1553216.45000000
0.046262047235
Long
ABS-MBS
CORP
US
N
2
2041-12-09
Variable
4.07500000
N
N
N
N
N
N
Bankers Healthcare Group Securitization Trust
N/A
Bankers Healthcare Group Securitization Trust 2020-A
06616PAC1
100000.00000000
PA
USD
98401.28000000
0.002930850148
Long
ABS-O
CORP
US
N
2
2031-09-17
Fixed
5.17000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31412MJ82
90165.14000000
PA
USD
99376.68000000
0.002959902120
Long
ABS-MBS
USGSE
US
N
2
2038-03-01
Fixed
5.50000000
N
N
N
N
N
N
HSBC HOLDINGS PLC
MLU0ZO3ML4LN2LL2TL39
HSBC Holdings PLC
404280CX5
2586000.00000000
PA
USD
2409471.18000000
0.071765316123
Long
DBT
CORP
GB
N
2
2027-11-22
Fixed
2.25100000
N
N
N
N
N
N
Bilbao CLO
635400FGLGYDZTTZLI81
Bilbao CLO III DAC
000000000
370000.00000000
PA
381811.53000000
0.011372132348
Long
ABS-CBDO
CORP
IE
Y
2
2034-05-17
Floating
5.96000000
N
N
N
N
N
N
Options Clearing Corp.
549300CII6SLYGKNHA04
MARATHON OIL CORP JUL22 26 CALL
000000000
342.00000000
NC
USD
85500.00000000
0.002546589716
N/A
DE
US
N
1
Options Clearing Corp.
549300CII6SLYGKNHA04
Call
Purchased
Marathon Oil Corp
Marathon Oil Corp
100.00000000
26.00000000
USD
2022-07-15
XXXX
12004.60000000
N
N
N
Whitebox CLO I Ltd
549300E4AC0513DYO913
Whitebox Clo I Ltd
96467CAE7
250000.00000000
PA
USD
241730.25000000
0.007199856944
Long
ABS-CBDO
CORP
KY
N
2
2032-07-24
Floating
6.65900000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138X5EH6
155157.17000000
PA
USD
158401.97000000
0.004717951202
Long
ABS-MBS
USGSE
US
N
2
2028-08-01
Fixed
3.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31418MGR7
77753.95000000
PA
USD
86854.61000000
0.002586936334
Long
ABS-MBS
USGSE
US
N
2
2038-10-01
Fixed
6.00000000
N
N
N
N
N
N
REGIONAL MGMT ISSUANCE
N/A
REGIONAL MGMT ISSUANCE
75907WAA3
3710000.00000000
PA
USD
3533775.00000000
0.105252340052
Long
ABS-O
CORP
US
N
3
2033-10-17
Fixed
3.87500000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
3132GVGT3
556966.30000000
PA
USD
568514.41000000
0.016933016959
Long
ABS-MBS
USGSE
US
N
2
2042-08-01
Fixed
3.50000000
N
N
N
N
N
N
Battalion CLO LTD
549300RRK5G3IT4Y7N27
Battalion CLO X Ltd
07132JBC7
6220000.00000000
PA
USD
6156406.72000000
0.183366573591
Long
ABS-CBDO
CORP
KY
N
2
2035-01-25
Floating
1.42900000
N
N
N
N
N
N
ATENTO LUXCO 1 SA
549300MLFF3HYCZQTC48
Atento Luxco 1 SA
04684LAC2
200000.00000000
PA
USD
202049.41000000
0.006017976019
Long
DBT
CORP
LU
N
2
2026-02-10
Fixed
8.00000000
N
N
N
N
N
OZLM Ltd
5493002SZMQH8ZTTHX49
OZLM XVIII Ltd
67112GAA6
520000.00000000
PA
USD
515834.80000000
0.015363971894
Long
ABS-CBDO
CORP
KY
N
2
2031-04-15
Floating
1.25900000
N
N
N
N
N
N
Madison Park Euro Funding
635400X2NOVLPNW79680
Madison Park Euro Funding XVI DAC
000000000
250000.00000000
PA
260303.89000000
0.007753066776
Long
ABS-CBDO
CORP
IE
N
2
2034-05-25
Floating
6.02000000
N
N
N
N
N
N
JP Morgan Chase Commercial Mortgage Sec Trust
N/A
J.P. Morgan Chase Commercial Mortgage Securities Trust 2019-MFP
46651MAN6
570000.00000000
PA
USD
554372.60000000
0.016511807744
Long
ABS-MBS
CORP
US
N
2
2036-07-15
Floating
2.55700000
N
N
N
N
N
N
Petroleos Mexicanos
549300CAZKPF4HKMPX17
Petroleos Mexicanos
71654QCC4
331000.00000000
PA
USD
269069.90000000
0.008014159535
Long
DBT
CORP
MX
N
2
2047-09-21
Fixed
6.75000000
N
N
N
N
N
N
Intercontinental Exchange, Inc.
5493000F4ZO33MV32P92
Long: B95NC6705 CDS EUR R V 03MEVENT 1 CCPCDX / Short: B95NC6705 CDS EUR P F 1.00000 2 CCPCDX
000000000
3639000.00000000
OU
Notional Amount
105628.84000000
0.003146120674
N/A
DCR
US
N
2
Intercontinental Exchange, Inc.
5493000F4ZO33MV32P92
iTraxx Europe Sub Financials S27
2I667ECC4
Y
buy protection
2027-06-20
107867.97000000
EUR
0.00000000
EUR
3639000.00000000
EUR
-13170.92000000
N
N
N
MIDWEST GMNG BOR/MWG FIN
N/A
Midwest Gaming Borrower LLC / Midwest Gaming Finance Corp
59833DAB6
609000.00000000
PA
USD
561412.74000000
0.016721496026
Long
DBT
CORP
US
N
2
2029-05-01
Fixed
4.87500000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Pool
3133KJVE9
964495.70000000
PA
USD
946233.47000000
0.028183256419
Long
ABS-MBS
USGSE
US
N
2
2050-08-01
Fixed
3.00000000
N
N
N
N
N
N
Bausch Health Cos Inc
B3BS7ACMDUWISF18KY76
Bausch Health Cos Inc
071734AF4
318000.00000000
PA
USD
271231.74000000
0.008078549237
Long
DBT
CORP
CA
N
2
2029-05-30
Fixed
7.25000000
N
N
N
N
N
N
Petroleos Mexicanos
549300CAZKPF4HKMPX17
Petroleos Mexicanos
71654QBE1
226000.00000000
PA
USD
170349.76000000
0.005073812245
Long
DBT
CORP
MX
N
2
2044-06-27
Fixed
5.50000000
N
N
N
N
N
N
RR Ltd
549300213Q1LH7O32902
RR 5 Ltd
74979VAE3
250000.00000000
PA
USD
248807.25000000
0.007410643089
Long
ABS-CBDO
CORP
KY
N
2
2031-10-15
Floating
1.89100000
N
N
N
N
N
N
Twin River Worldwide Holdings, Inc.
549300NS4D5IK406VT62
Twin River Worldwide Holdings, Inc. 2021 Term Loan B
05875CAB0
2721180.00000000
PA
USD
2708423.11000000
0.080669502212
Long
LON
CORP
US
N
2
2028-10-02
Floating
3.75000000
N
N
N
N
N
N
Citibank N.A.
E57ODZWZ7FF32TWEFA76
Long: BRTT2EPF3 CDS USD R V 01MEVENT 1 CMBX / Short: BRTT2EPF3 CDS USD P F 3.00000 2 CMBX
000000000
500000.00000000
OU
Notional Amount
USD
51045.91000000
0.001520385841
N/A
DCR
US
N
2
Citibank N.A.
E57ODZWZ7FF32TWEFA76
CMBX.NA.BBB-.9
137BERAI8
Y
buy protection
2058-09-17
16329.69000000
USD
0.00000000
USD
500000.00000000
USD
34716.22000000
N
N
N
United States Treasury
254900HROIFWPRGM1V77
United States Treasury Note/Bond
912828Y87
14357000.00000000
PA
USD
14132671.88000000
0.420937039444
Long
DBT
UST
US
N
2
2024-07-31
Fixed
1.75000000
N
N
N
N
N
N
UMBS, TBA
N/A
Uniform Mortgage-Backed Security, TBA
01F032443
-7292000.00000000
PA
USD
-7437840.00000000
-0.22153364742
Short
ABS-MBS
USGSE
US
N
2
2037-04-15
Fixed
3.50000000
N
N
N
N
N
N
JPMorgan Chase & Co
8I5DZWZKVSZI1NUHU748
JPMorgan Chase & Co
46647PAY2
1580000.00000000
PA
USD
1605293.48000000
0.047813144651
Long
DBT
CORP
US
N
2
2024-12-05
Fixed
4.02300000
N
N
N
N
N
N
CITIGROUP INC
6SHGI4ZSSLCXXQSBB395
Citigroup Inc
172967MU2
657000.00000000
PA
USD
630720.00000000
0.018785790243
Long
DBT
CORP
US
N
2
2025-12-10
Fixed
4.00000000
N
N
N
N
N
N
COMMONWEALTH EDISON CO
D8YOXB8L2ZDC8P7Q0771
Commonwealth Edison Co
202795JT8
775000.00000000
PA
USD
702468.10000000
0.020922784087
Long
DBT
CORP
US
N
2
2051-03-15
Fixed
3.12500000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Pool
3132DM7F6
2606716.23000000
PA
USD
2429977.74000000
0.072376097349
Long
ABS-MBS
USGSE
US
N
2
2052-01-01
Fixed
2.00000000
N
N
N
N
N
N
BWAY Mortgage Trust
N/A
BWAY 2013-1515 Mortgage Trust
05604FAC9
1847304.00000000
PA
USD
1833609.01000000
0.054613448520
Long
ABS-MBS
CORP
US
N
2
2033-03-10
Fixed
3.45400000
N
N
N
N
N
N
UNITED MEXICAN STATES
254900EGTWEU67VP6075
Mexico Government International Bond
91087BAM2
2105000.00000000
PA
USD
1915971.00000000
0.057066573628
Long
DBT
NUSS
MX
N
2
2031-05-24
Fixed
2.65900000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31418CRC0
568381.85000000
PA
USD
574688.57000000
0.017116912308
Long
ABS-MBS
USGSE
US
N
2
2047-11-01
Fixed
3.50000000
N
N
N
N
N
N
BOYD GAMING CORP
254900787YGRYS2A1Z35
Boyd Gaming Corp
103304BS9
151000.00000000
PA
USD
158604.36000000
0.004723979323
Long
DBT
CORP
US
N
2
2025-06-01
Fixed
8.62500000
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140FMDA1
411115.72000000
PA
USD
410781.43000000
0.012234991406
Long
ABS-MBS
USGSE
US
N
2
2036-12-01
Fixed
3.00000000
N
N
N
N
N
N
SRS Distribution Inc.
549300ZQ3XP75BCYM468
SRS Distribution Inc. 2021 Term Loan B
78466YAN8
945250.00000000
PA
USD
932489.13000000
0.027773885718
Long
LON
CORP
US
N
2
2028-06-02
Floating
4.00000000
N
N
N
N
N
N
Antares CLO
N/A
Antares CLO 2021-1 Ltd
03666BAA2
1820000.00000000
PA
USD
1800991.92000000
0.053641959093
Long
ABS-CBDO
CORP
KY
N
2
2033-07-25
Floating
1.78800000
N
N
N
N
N
N
Axtel SAB de CV
549300BVRDR8XTSXAD13
Axtel SAB de CV
05462GAJ3
451000.00000000
PA
USD
460020.00000000
0.013701546213
Long
DBT
CORP
MX
N
2
2024-11-14
Fixed
6.37500000
N
N
N
N
N
N
WAMU Mortgage Pass-Through Certificates
N/A
WaMu Mortgage Pass-Through Certificates Series 2007-OA5 Trust
93364BAA8
461629.31000000
PA
USD
435659.20000000
0.012975967701
Long
ABS-MBS
CORP
US
N
2
2047-06-25
Floating
0.89100000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36202FB47
113248.80000000
PA
USD
124208.80000000
0.003699518745
Long
ABS-MBS
USGA
US
N
2
2039-10-20
Fixed
5.00000000
N
N
N
N
N
N
BX Trust
N/A
BX Commercial Mortgage Trust 2021-21M
05609CAN7
936000.00000000
PA
USD
902815.34000000
0.026890061526
Long
ABS-MBS
CORP
US
N
2
2036-10-15
Floating
2.56800000
N
N
N
N
N
N
Citibank N.A.
E57ODZWZ7FF32TWEFA76
PURCHASED USD / SOLD JPY
000000000
1.00000000
NC
20682.96000000
0.000616035242
N/A
DFE
US
N
2
Citibank N.A.
E57ODZWZ7FF32TWEFA76
60041696.00000000
JPY
514000.00000000
USD
2022-04-18
20682.96000000
N
N
N
Octagon Investment Partners XVI LTD
N/A
Octagon Investment Partners XVI Ltd
67590BAQ3
3370000.00000000
PA
USD
3361066.13000000
0.100108262482
Long
ABS-CBDO
CORP
KY
N
2
2030-07-17
Floating
1.26100000
N
N
N
N
N
N
LoanCore 2021-CRE6 Issuer, Ltd.
N/A
LoanCore 2021-CRE6 Issuer Ltd
53948HAA4
580000.00000000
PA
USD
577113.34000000
0.017189133295
Long
ABS-CBDO
CORP
KY
N
2
2038-11-15
Floating
1.69700000
N
N
N
N
N
N
UBS Group AG
549300SZJ9VS8SGXAN81
UBS Group AG
90352JAF0
1111000.00000000
PA
USD
1159117.41000000
0.034523935394
Long
DBT
CORP
CH
N
2
2024-01-31
Fixed
7.00000000
N
N
N
N
N
N
Oracle Corp
1Z4GXXU7ZHVWFCD8TV52
Oracle Corp
68389XBJ3
3603000.00000000
PA
USD
3197095.39000000
0.095224447274
Long
DBT
CORP
US
N
2
2046-07-15
Fixed
4.00000000
N
N
N
N
N
N
Citibank N.A.
E57ODZWZ7FF32TWEFA76
PURCHASED BRL / SOLD USD
000000000
1.00000000
NC
24911.97000000
0.000741994931
N/A
DFE
BR
N
2
Citibank N.A.
E57ODZWZ7FF32TWEFA76
337000.00000000
USD
1723081.00000000
BRL
2022-04-04
24911.97000000
N
N
N
LITIGATION FEE RESIDUAL FDG
N/A
LITIGATION FEE RESIDUAL FDG
53688TAA2
102480.16000000
PA
USD
97860.25000000
0.002914735745
Long
DBT
CORP
US
N
2
2027-10-30
Fixed
4.00000000
N
N
N
N
N
N
GLENCORE FUNDING LLC
213800STG1QDNBY87K49
Glencore Funding LLC
378272AY4
3240000.00000000
PA
USD
2899289.54000000
0.086354396806
Long
DBT
CORP
US
N
2
2030-09-01
Fixed
2.50000000
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31418CPF5
34460.77000000
PA
USD
35504.45000000
0.001057488505
Long
ABS-MBS
USGSE
US
N
2
2047-09-01
Fixed
4.00000000
N
N
N
N
N
N
BANK OF AMERICA CORP
9DJT3UXIJIZJI4WXO774
Bank of America Corp
06051GKD0
2269000.00000000
PA
USD
2061757.50000000
0.061408777156
Long
DBT
CORP
US
N
2
2032-10-20
Fixed
2.57200000
N
N
N
N
N
SPECTACLE GARY HOLDINGS LLC
549300V1ELIRK8JURN28
Spectacle Gary Holdings LLC 2021 Term Loan B
000000000
3397000.00000000
PA
USD
3384261.25000000
0.100799121594
Long
LON
CORP
US
N
2
2028-11-19
Floating
5.25600000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138YTRT3
58843.73000000
PA
USD
59316.61000000
0.001766725953
Long
ABS-MBS
USGSE
US
N
2
2030-07-01
Fixed
3.00000000
N
N
N
N
N
N
Credit Suisse Mortgage Trust
N/A
CSMC 2020-FACT
126395AN2
750000.00000000
PA
USD
750901.50000000
0.022365357167
Long
ABS-MBS
CORP
US
N
2
2037-10-15
Floating
5.25900000
N
N
N
N
N
N
SHELF DRILL HOLD LTD
54930078ZJ3XP4MRYB68
Shelf Drilling Holdings Ltd
822538AG9
72000.00000000
PA
USD
73440.00000000
0.002187386535
Long
DBT
CORP
KY
N
2
2024-11-15
Fixed
8.87500000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138M8YB3
43570.43000000
PA
USD
43167.43000000
0.001285727875
Long
ABS-MBS
USGSE
US
N
2
2027-09-01
Fixed
2.50000000
N
N
N
N
N
N
Countrywide Alternative Loan Trust
N/A
Alternative Loan Trust 2006-OA21
23245QAA7
1054939.80000000
PA
USD
892889.55000000
0.026594425096
Long
ABS-MBS
CORP
US
N
2
2047-03-20
Floating
0.63900000
N
N
N
N
N
N
Euro Galaxy CLO BV
5493000DO5029DBEJL19
Euro-Galaxy VII CLO DAC
000000000
250000.00000000
PA
272459.91000000
0.008115129881
Long
ABS-CBDO
CORP
IE
N
2
2035-07-25
Floating
2.40000000
N
N
N
N
N
N
United States Treasury
254900HROIFWPRGM1V77
United States Treasury Note/Bond
912810QZ4
3865000.00000000
PA
USD
4159706.25000000
0.123895498933
Long
DBT
UST
US
N
2
2043-02-15
Fixed
3.12500000
N
N
N
N
N
N
Gray Television, Inc.
529900TM5726KDN7UU35
Gray Television, Inc. 2021 Term Loan D
389376AZ7
1003485.00000000
PA
USD
999826.29000000
0.029779501147
Long
LON
CORP
US
N
2
2028-12-01
Floating
3.23100000
N
N
N
N
N
N
OMNICOM GROUP INC
HKUPACFHSSASQK8HLS17
Omnicom Group Inc
681919BC9
738000.00000000
PA
USD
770457.29000000
0.022947820017
Long
DBT
CORP
US
N
2
2030-06-01
Fixed
4.20000000
N
N
N
N
N
N
BNP Paribas SA
R0MUWSFPU8MPRO8K5P83
Long: BRWZJMK56 TRS USD R V 12MSOFR BRWZJMK72 EQUITYTRS / Short: BRWZJMK56 TRS USD P E BRWZJMK64 EQUITYTRS
000000000
343951.25000000
OU
Notional Amount
USD
-32612.86000000
-0.00097136343
N/A
DE
US
N
2
BNP Paribas SA
R0MUWSFPU8MPRO8K5P83
PPG Industries Inc
PPG Industries Inc
Y
equity-performance leg
2022-09-02
0.00000000
USD
0.00000000
USD
343951.25000000
USD
-32612.86000000
N
N
N
Logan CLO I Ltd
N/A
Logan CLO I Ltd
540543AA3
730000.00000000
PA
USD
729066.33000000
0.021715003724
Long
ABS-CBDO
CORP
KY
N
2
2034-07-20
Floating
1.41400000
N
N
N
N
N
N
Palmer Square Loan Funding Ltd
N/A
Palmer Square Loan Funding 2020-1 Ltd
69701EAC0
980000.00000000
PA
USD
971651.38000000
0.028940320609
Long
ABS-CBDO
CORP
KY
N
2
2028-02-20
Floating
1.83000000
N
N
N
N
N
N
Conseco Financial Corp
N/A
Conseco Finance Corp
393505P22
974629.05000000
PA
USD
944417.79000000
0.028129176980
Long
ABS-O
CORP
US
N
2
2030-09-01
Variable
6.98000000
N
N
N
N
N
N
CSAIL Commercial Mortgage Trust
N/A
CSAIL 2019-C17 Commercial Mortgage Trust
12597BAW9
3119618.41000000
PA
USD
231079.49000000
0.006882627518
Long
ABS-MBS
CORP
US
N
2
2052-09-15
Variable
1.35900000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138WFAF3
35386.76000000
PA
USD
35044.27000000
0.001043782194
Long
ABS-MBS
USGSE
US
N
2
2030-07-01
Fixed
2.50000000
N
N
N
N
N
N
Cedar Funding Ltd
635400NWFWJ92O7QGD64
Cedar Funding V CLO Ltd
15032AAN7
770000.00000000
PA
USD
768233.62000000
0.022881588729
Long
ABS-CBDO
CORP
KY
N
2
2031-07-17
Floating
1.34100000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138WJET1
472579.58000000
PA
USD
468497.71000000
0.013954052051
Long
ABS-MBS
USGSE
US
N
2
2031-11-01
Fixed
2.50000000
N
N
N
N
N
N
ONCOR ELECTRIC DELIVERY
549300SP2X2BS1KERD24
Oncor Electric Delivery Co LLC
68233JBP8
243000.00000000
PA
USD
247862.31000000
0.007382498358
Long
DBT
CORP
US
N
2
2049-06-01
Fixed
3.80000000
N
N
N
N
N
N
Citibank N.A.
E57ODZWZ7FF32TWEFA76
Long: BRY0BBML6 TRS USD R V 12MSOFR BRY0BBMN2 EQUITYTRS / Short: BRY0BBML6 TRS USD P E BRY0BBMM4 EQUITYTRS
000000000
49820.24000000
OU
Notional Amount
USD
1333.46000000
0.000039716672
N/A
DE
US
N
2
Citibank N.A.
E57ODZWZ7FF32TWEFA76
TreeHouse Foods Inc
TreeHouse Foods Inc
Y
equity-performance leg
2022-09-09
0.00000000
USD
0.00000000
USD
49820.24000000
USD
1333.46000000
N
N
N
United States Treasury
254900HROIFWPRGM1V77
United States Treasury Note/Bond
91282CBU4
10482000.00000000
PA
USD
10318628.18000000
0.307336987237
Long
DBT
UST
US
N
2
2023-03-31
Fixed
0.12500000
N
N
N
N
N
N
OHIO POWER COMPANY
06ZODLC132CY1O2Y7D77
Ohio Power Co
677415CT6
1525000.00000000
PA
USD
1304612.98000000
0.038857473667
Long
DBT
CORP
US
N
2
2031-01-15
Fixed
1.62500000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae REMICS
31394C3E0
7871.61000000
PA
USD
8029.70000000
0.000239162005
Long
ABS-MBS
USGSE
US
N
2
2035-04-25
Fixed
5.00000000
N
N
N
N
N
N
APPLIED MATERIALS INC
41BNNE1AFPNAZELZ6K07
Applied Materials Inc
038222AP0
659000.00000000
PA
USD
586028.17000000
0.017454658609
Long
DBT
CORP
US
N
2
2050-06-01
Fixed
2.75000000
N
N
N
N
N
N
BXP Trust
N/A
BXP Trust 2021-601L
05607TAJ1
454000.00000000
PA
USD
364447.86000000
0.010854961080
Long
ABS-MBS
CORP
US
N
2
2044-01-15
Variable
2.77500000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138WJ4W5
783637.14000000
PA
USD
777609.14000000
0.023160835545
Long
ABS-MBS
USGSE
US
N
2
2047-03-01
Fixed
3.00000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36180DPF8
179872.06000000
PA
USD
182807.53000000
0.005444862876
Long
ABS-MBS
USGA
US
N
2
2043-02-15
Fixed
3.50000000
N
N
N
N
N
N
BankAmerica Manufactured Housing Contract Trust
N/A
BankAmerica Manufactured Housing Contract Trust
06606FAM3
470000.00000000
PA
USD
178152.61000000
0.005306217597
Long
ABS-O
CORP
US
N
2
2022-02-10
Variable
7.07000000
N
N
N
N
N
N
SABINE PASS LIQUEFACTION
549300KJYBG7C6WJYZ11
Sabine Pass Liquefaction LLC
785592AM8
10394000.00000000
PA
USD
10989560.30000000
0.327320482408
Long
DBT
CORP
US
N
2
2025-03-01
Fixed
5.62500000
N
N
N
N
N
N
XPO Logistics, Inc.
54930096DB9LCLPN7H13
XPO Logistics, Inc. 2018 Term Loan B
98379EAE6
1462420.00000000
PA
USD
1449753.98000000
0.043180451187
Long
LON
CORP
US
N
2
2025-02-24
Floating
1.99200000
N
N
N
N
N
N
ARDAGH METAL PACKAGING
N/A
Ardagh Metal Packaging Finance USA LLC / Ardagh Metal Packaging Finance PLC
03969YAA6
738000.00000000
PA
USD
669735.00000000
0.019947839340
Long
DBT
CORP
XX
N
2
2028-09-01
Fixed
3.25000000
N
N
N
N
N
CENTERPOINT ENER HOUSTON
549300S8SEQBOJLKHW63
CenterPoint Energy Houston Electric LLC
15189XAV0
1250000.00000000
PA
USD
1160382.09000000
0.034561603477
Long
DBT
CORP
US
N
2
2031-04-01
Fixed
2.35000000
N
N
N
N
N
N
JPMorgan Chase & Co
8I5DZWZKVSZI1NUHU748
JPMorgan Chase & Co
46647PAL0
405000.00000000
PA
USD
413699.56000000
0.012321906960
Long
DBT
CORP
US
N
2
2048-11-15
Fixed
3.96400000
N
N
N
N
N
N
Deutsche Bank AG
7LTWFZYICNSX8D621K86
PURCHASED EUR / SOLD USD
000000000
1.00000000
NC
1304.12000000
0.000038842790
N/A
DFE
XX
N
2
Deutsche Bank AG
7LTWFZYICNSX8D621K86
677139.85000000
USD
613000.00000000
EUR
2022-04-20
1304.12000000
N
N
N
BWAY Mortgage Trust
N/A
BWAY 2013-1515 Mortgage Trust
05604FAL9
1495000.00000000
PA
USD
1437070.84000000
0.042802687984
Long
ABS-MBS
CORP
US
N
2
2033-03-10
Fixed
3.44600000
N
N
N
N
N
N
Bain Capital Credit CLO, Limited
549300GUKNMHLHIJO049
Bain Capital Credit CLO 2017-1 Ltd
05682QAU0
250000.00000000
PA
USD
247210.25000000
0.007363076963
Long
ABS-CBDO
CORP
KY
N
2
2030-07-20
Floating
1.75400000
N
N
N
N
N
N
Wells Fargo Commercial Mortgage Trust
549300DNBJ7A0SEFVK31
Wells Fargo Commercial Mortgage Trust 2016-BNK1
95000GAA2
1430000.00000000
PA
USD
64335.70000000
0.001916217918
Long
ABS-MBS
CORP
US
N
2
2049-08-15
Variable
1.25400000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138A5V66
111466.86000000
PA
USD
119397.45000000
0.003556214249
Long
ABS-MBS
USGSE
US
N
2
2041-04-01
Fixed
5.50000000
N
N
N
N
N
N
Suncor Energy Inc
549300W70ZOQDVLCHY06
Suncor Energy Inc
867229AE6
417000.00000000
PA
USD
525651.67000000
0.015656364177
Long
DBT
CORP
CA
N
2
2038-06-15
Fixed
6.50000000
N
N
N
N
N
N
Bayview Commercial Asset Trust
5493003DOWFR7J1QCW02
Bayview Commercial Asset Trust 2007-6
07326FAE8
1259784.77000000
PA
USD
1222060.39000000
0.036398671599
Long
ABS-MBS
CORP
US
N
2
2037-12-25
Floating
1.95700000
N
N
N
N
N
N
522 Funding CLO LTD
N/A
522 Funding CLO 2019-4 Ltd
33834WAG7
360000.00000000
PA
USD
359997.84000000
0.010722418680
Long
ABS-CBDO
CORP
KY
N
2
2030-04-20
Floating
3.90400000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31416WSC7
334586.09000000
PA
USD
355884.91000000
0.010599916397
Long
ABS-MBS
USGSE
US
N
2
2039-11-01
Fixed
4.50000000
N
N
N
N
N
N
FIRSTENERGY TRANSMISSION
549300AINIIPOLYX2R63
FirstEnergy Transmission LLC
33767BAC3
2814000.00000000
PA
USD
2688465.91000000
0.080075083495
Long
DBT
CORP
US
N
2
2049-04-01
Fixed
4.55000000
N
N
N
N
N
N
ODBRCHT OFFSHRE DRLL FIN
549300L7LF2PIRAWID66
Odebrecht Offshore Drilling Finance Ltd
67576GAD9
245.00000000
PA
USD
54.81000000
0.000001632498
Long
DBT
CORP
KY
N
2
2026-12-01
Fixed
7.72000000
N
N
Y
N
N
N
Bayview Commercial Asset Trust
N/A
Bayview Commercial Asset Trust 2006-1
07324SDF6
85971.21000000
PA
USD
80391.77000000
0.002394442745
Long
ABS-MBS
CORP
US
N
2
2036-04-25
Floating
0.99700000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Pool
3132DVLP8
1409337.38000000
PA
USD
1354202.83000000
0.040334491234
Long
ABS-MBS
USGSE
US
N
2
2051-02-01
Fixed
2.50000000
N
N
N
N
N
N
Impac Secured Assets Corp.
N/A
Impac Secured Assets Trust 2006-3
45255RAA5
195269.30000000
PA
USD
176972.29000000
0.005271062149
Long
ABS-MBS
CORP
US
N
2
2036-11-25
Floating
0.79700000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140QNFD9
500188.43000000
PA
USD
481813.96000000
0.014350672230
Long
ABS-MBS
USGSE
US
N
2
2052-02-01
Fixed
2.50000000
N
N
N
N
N
N
CITIGROUP INC
6SHGI4ZSSLCXXQSBB395
Citigroup Inc
17327CAQ6
366000.00000000
PA
USD
341966.06000000
0.010185347973
Long
DBT
CORP
US
N
2
2033-01-25
Fixed
3.05700000
N
N
N
N
N
N
OneMain Financial Issuance Trust
N/A
OneMain Financial Issuance Trust 2020-A
68269LAA4
2332000.00000000
PA
USD
2350034.29000000
0.069995007669
Long
ABS-O
CORP
US
N
2
2032-05-14
Fixed
3.84000000
N
N
N
N
N
N
Elmwood CLO II Ltd.
N/A
Elmwood CLO II Ltd
29001RAE8
250000.00000000
PA
USD
243291.25000000
0.007246350822
Long
ABS-CBDO
CORP
KY
N
2
2034-04-20
Floating
7.05400000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31391JQR4
22204.67000000
PA
USD
23678.86000000
0.000705267150
Long
ABS-MBS
USGSE
US
N
2
2032-11-01
Fixed
5.50000000
N
N
N
N
N
N
Barclays Bank PLC
G5GSEF7VJP5I7OUK5573
PURCHASED USD / SOLD ZAR
000000000
1.00000000
NC
-38106.89000000
-0.00113500133
N/A
DFE
US
N
2
Barclays Bank PLC
G5GSEF7VJP5I7OUK5573
15727350.24000000
ZAR
1036000.00000000
USD
2022-04-20
-38106.89000000
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
3132M57A4
519127.96000000
PA
USD
542173.62000000
0.016148465088
Long
ABS-MBS
USGSE
US
N
2
2044-04-01
Fixed
4.00000000
N
N
N
N
N
N
BENCHMARK Mortgage Trust
N/A
Benchmark 2019-B13 Mortgage Trust
08162DAF5
5035.58000000
PA
USD
306.87000000
0.000009140023
Long
ABS-MBS
CORP
US
N
2
2057-08-15
Variable
1.12700000
N
N
N
N
N
N
Washington Mutual Bank
N/A
WASHINGTON MUTUAL INC COMMON
939ESCAZ2
3780000.00000000
PA
USD
0.38000000
0.000000011318
Long
DBT
CORP
US
N
3
2017-09-21
None
0.00000000
Y
N
N
N
N
N
Gilead Sciences Inc
549300WTZWR07K8MNV44
Gilead Sciences Inc
375558BA0
420000.00000000
PA
USD
447510.77000000
0.013328962862
Long
DBT
CORP
US
N
2
2045-02-01
Fixed
4.50000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
31335BEU6
496586.67000000
PA
USD
524066.90000000
0.015609162317
Long
ABS-MBS
USGSE
US
N
2
2047-07-01
Fixed
4.50000000
N
N
N
N
N
N
GENERAL MOTORS FINL CO
5493008B6JBRUJ90QL97
General Motors Financial Co Inc
37045XCR5
1344000.00000000
PA
USD
1389509.18000000
0.041386079396
Long
DBT
CORP
US
N
2
2024-01-17
Fixed
5.10000000
N
N
N
N
N
N
BX Trust
N/A
BX 2021-MFM1
05608VAL0
280000.00000000
PA
USD
271814.93000000
0.008095919362
Long
ABS-MBS
CORP
US
N
2
2034-01-15
Floating
2.64700000
N
N
N
N
N
N
FRIGORIFICO CONCEPCION
529900Q6VZVL47QJCQ91
Frigorifico Concepcion SA
358648AA1
220000.00000000
PA
USD
195800.00000000
0.005831839373
Long
DBT
CORP
PY
N
2
2028-07-21
Fixed
7.70000000
N
N
N
N
N
N
DIAMONDBACK ENERGY INC
549300R22LSX6OHWEN64
Diamondback Energy Inc
25278XAR0
4361000.00000000
PA
USD
4164979.90000000
0.124052572884
Long
DBT
CORP
US
N
2
2031-03-24
Fixed
3.12500000
N
N
N
N
N
N
JP Morgan Chase Commercial Mortgage Sec Trust
N/A
JP Morgan Chase Commercial Mortgage Securities Trust 2021-MHC
466330AN7
1030000.00000000
PA
USD
998945.09000000
0.029753254892
Long
ABS-MBS
CORP
US
N
2
2038-04-15
Floating
2.84700000
N
N
N
N
N
N
Kestrel Bidco Inc.
N/A
Kestrel Bidco Inc. Term Loan B
000000000
1687937.00000000
PA
USD
1629914.17000000
0.048546463902
Long
LON
CORP
CA
N
2
2026-12-11
Floating
4.00000000
N
N
N
N
N
N
Benefit Street Partners CLO Ltd
N/A
Benefit Street Partners CLO V-B Ltd
08181JAA0
1030000.00000000
PA
USD
1023493.49000000
0.030484421008
Long
ABS-CBDO
CORP
KY
N
2
2031-04-20
Floating
1.34400000
N
N
N
N
N
N
Intercontinental Exchange, Inc.
5493000F4ZO33MV32P92
Long: B91ZBY777 CDS USD R V 03MEVENT 2I65BRSB7/2I65BRTK6 /2I65BRTR1 / Short: B91ZBY777 CDS USD P F 5.00000 CCPCDX
000000000
4786420.00000000
OU
Notional Amount
USD
-277014.06000000
-0.00825077375
N/A
DCR
US
N
2
Intercontinental Exchange, Inc.
5493000F4ZO33MV32P92
CDX.NA.HY.S33
2I65BRSP6
Y
buy protection
2024-12-20
53168.21000000
USD
0.00000000
USD
4786420.00000000
USD
-330182.27000000
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31390MJS4
2200.62000000
PA
USD
2334.54000000
0.000069533515
Long
ABS-MBS
USGSE
US
N
2
2032-11-01
Fixed
5.00000000
N
N
N
N
N
N
ENTERPRISE PRODUCTS OPER
5493004LGN656HWLDA30
Enterprise Products Operating LLC
29379VBV4
1155000.00000000
PA
USD
1134168.59000000
0.033780842897
Long
DBT
CORP
US
N
2
2029-07-31
Fixed
3.12500000
N
N
N
N
N
N
EDISON INTERNATIONAL
549300I7ROF15MAEVP56
Edison International
281020AR8
608000.00000000
PA
USD
622037.20000000
0.018527175867
Long
DBT
CORP
US
N
2
2025-04-15
Fixed
4.95000000
N
N
N
N
N
N
Advanced Drainage Systems Inc
6QQTOZ5MF5DHM7K92I60
Advanced Drainage Systems Inc Term Loan B
00769QAG8
161913.22000000
PA
USD
161508.44000000
0.004810476402
Long
LON
CORP
US
N
2
2026-07-31
Floating
2.48100000
N
N
N
N
N
N
Bank of America Corp
9DJT3UXIJIZJI4WXO774
Bank of America Corp
06051GFM6
658000.00000000
PA
USD
670047.85000000
0.019957157475
Long
DBT
CORP
US
N
2
2025-01-22
Fixed
4.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138A5WW8
5534.66000000
PA
USD
5826.46000000
0.000173539217
Long
ABS-MBS
USGSE
US
N
2
2041-04-01
Fixed
5.00000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
3132QSGT9
630362.98000000
PA
USD
656359.62000000
0.019549457993
Long
ABS-MBS
USGSE
US
N
2
2045-09-01
Fixed
4.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138WJEN4
299018.06000000
PA
USD
296323.80000000
0.008825908090
Long
ABS-MBS
USGSE
US
N
2
2031-11-01
Fixed
2.50000000
N
N
N
N
N
N
MF1 Multifamily Housing Mortgage Loan Trust
N/A
MF1 2021-W10X
55284DAS1
163000.00000000
PA
USD
162796.28000000
0.004848834298
Long
ABS-MBS
CORP
US
N
2
2034-12-15
Floating
4.52100000
N
N
N
N
N
N
MAF GLOBAL SECURITIES
54930037VUDNYTS17017
MAF Global Securities Ltd
000000000
204000.00000000
PA
USD
208345.20000000
0.006205494078
Long
DBT
CORP
KY
Y
2
2024-05-07
Fixed
4.75000000
N
N
N
N
N
N
PENSKE TRUCK LEASING/PTL
N/A
Penske Truck Leasing Co Lp / PTL Finance Corp
709599BM5
1452000.00000000
PA
USD
1347283.27000000
0.040128394388
Long
DBT
CORP
US
N
2
2026-06-15
Fixed
1.70000000
N
N
N
N
N
N
Deutsche Bank AG
7LTWFZYICNSX8D621K86
PURCHASED USD / SOLD BRL
000000000
1.00000000
NC
-5138.46000000
-0.00015304736
N/A
DFE
US
N
2
Deutsche Bank AG
7LTWFZYICNSX8D621K86
1689603.60000000
BRL
349742.00000000
USD
2022-04-04
-5138.46000000
N
N
N
HSBC HOLDINGS PLC
MLU0ZO3ML4LN2LL2TL39
HSBC Holdings PLC
404280CT4
333000.00000000
PA
USD
302576.94000000
0.009012155833
Long
DBT
CORP
GB
N
2
2032-05-24
Fixed
2.80400000
N
N
N
N
N
N
WILLIAM CARTER
TGI2A0HXEYNQPU7TYV27
William Carter Co/The
96926JAC1
42000.00000000
PA
USD
42619.92000000
0.001269420467
Long
DBT
CORP
US
N
2
2027-03-15
Fixed
5.62500000
N
N
N
N
N
N
CHENIERE CORP CHRISTI HD
549300I7CIEWU1BBLQ53
Cheniere Corpus Christi Holdings LLC
16412XAD7
2113000.00000000
PA
USD
2248308.93000000
0.066965150877
Long
DBT
CORP
US
N
2
2024-06-30
Fixed
7.00000000
N
N
N
N
N
N
Wells Fargo Commercial Mortgage Trust
N/A
Wells Fargo Commercial Mortgage Trust 2017-C41
95001AAD8
305000.00000000
PA
USD
228781.05000000
0.006814169230
Long
ABS-MBS
CORP
US
N
2
2050-11-15
Variable
2.60000000
N
N
N
N
N
N
Goldman Sachs International
W22LROWP2IHZNBB6K528
PURCHASED USD / SOLD BRL
000000000
1.00000000
NC
-13215.30000000
-0.00039361341
N/A
DFE
US
N
2
Goldman Sachs International
W22LROWP2IHZNBB6K528
1672153.60000000
BRL
338000.00000000
USD
2022-04-04
-13215.30000000
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
3132WJTW1
513929.31000000
PA
USD
510627.92000000
0.015208886665
Long
ABS-MBS
USGSE
US
N
2
2046-12-01
Fixed
3.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31410G4B6
228390.66000000
PA
USD
254794.70000000
0.007588977342
Long
ABS-MBS
USGSE
US
N
2
2038-02-01
Fixed
6.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31371KWH0
79183.62000000
PA
USD
86702.02000000
0.002582391491
Long
ABS-MBS
USGSE
US
N
2
2032-12-01
Fixed
5.50000000
N
N
N
N
N
N
Deutsche Bank AG
7LTWFZYICNSX8D621K86
PURCHASED EUR / SOLD USD
000000000
1.00000000
NC
-4268.67000000
-0.00012714094
N/A
DFE
XX
N
2
Deutsche Bank AG
7LTWFZYICNSX8D621K86
252737.90000000
USD
224605.00000000
EUR
2022-04-01
-4268.67000000
N
N
N
OZLM Funding Ltd
549300788AI08GTXXH35
OZLM Funding IV Ltd
67108FAN6
10503397.82000000
PA
USD
10450250.63000000
0.311257319139
Long
ABS-CBDO
CORP
KY
N
2
2030-10-22
Floating
1.50900000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138EP4Z4
335075.22000000
PA
USD
338565.73000000
0.010084070248
Long
ABS-MBS
USGSE
US
N
2
2030-07-01
Fixed
3.00000000
N
N
N
N
N
N
AGL CLO 14, LTD.
N/A
AGL CLO 14 Ltd
00851WAA7
1330000.00000000
PA
USD
1319986.43000000
0.039315366879
Long
ABS-CBDO
CORP
KY
N
2
2034-12-02
Floating
1.26700000
N
N
N
N
N
N
GOLDMAN SACHS GROUP INC
784F5XWPLTWKTBV3E584
Goldman Sachs Group Inc/The
38141GWB6
583000.00000000
PA
USD
588234.23000000
0.017520365390
Long
DBT
CORP
US
N
2
2027-01-26
Fixed
3.85000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138WKLB9
214315.60000000
PA
USD
212463.40000000
0.006328153327
Long
ABS-MBS
USGSE
US
N
2
2032-03-01
Fixed
2.50000000
N
N
N
N
N
N
M/I HOMES INC
5299005M71FH9CCSFB69
M/I Homes Inc
55305BAS0
1010000.00000000
PA
USD
951925.00000000
0.028352776790
Long
DBT
CORP
US
N
2
2028-02-01
Fixed
4.95000000
N
N
N
N
N
N
Agilent Technologies Inc
QUIX8Y7A2WP0XRMW7G29
Agilent Technologies Inc
00846UAK7
680000.00000000
PA
USD
675241.35000000
0.020111844185
Long
DBT
CORP
US
N
2
2026-09-22
Fixed
3.05000000
N
N
N
N
N
N
VTR COMUNICACIONES SPA
213800XDZJKMC1AEUV94
VTR Comunicaciones SpA
918367AA1
201000.00000000
PA
USD
191591.19000000
0.005706481335
Long
DBT
CORP
CL
N
2
2028-01-15
Fixed
5.12500000
N
N
N
N
N
N
Apple Inc
HWUPKR0MPOU8FGXBT394
Apple Inc
037833AL4
1138000.00000000
PA
USD
1196992.26000000
0.035652025493
Long
DBT
CORP
US
N
2
2043-05-04
Fixed
3.85000000
N
N
N
N
N
N
ROCKETMTGE CO-ISSUER INC
N/A
Rocket Mortgage LLC / Rocket Mortgage Co-Issuer Inc
74841CAA9
564000.00000000
PA
USD
515411.40000000
0.015351361062
Long
DBT
CORP
US
N
2
2029-03-01
Fixed
3.62500000
N
N
N
N
N
N
GS Mortgage Securities Trust
N/A
GS Mortgage Securities Corp Trust 2017-GPTX
36257CAA5
710000.00000000
PA
USD
707957.83000000
0.021086293911
Long
ABS-MBS
CORP
US
N
2
2034-05-10
Fixed
2.85600000
N
N
N
N
N
N
Great Lakes CLO Ltd
N/A
Great Lakes CLO V Ltd
39055VAB9
420000.00000000
PA
USD
420260.40000000
0.012517319447
Long
ABS-CBDO
CORP
KY
N
2
2033-04-15
Floating
1.94100000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138M5G37
381160.20000000
PA
USD
405632.54000000
0.012081633391
Long
ABS-MBS
USGSE
US
N
2
2042-08-01
Fixed
4.50000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36177YDZ6
204685.38000000
PA
USD
210606.89000000
0.006272857780
Long
ABS-MBS
USGA
US
N
2
2042-12-15
Fixed
3.50000000
N
N
N
N
N
N
MATTAMY GROUP CORP
5493008TNY7A82WCXU31
Mattamy Group Corp
57701RAM4
662000.00000000
PA
USD
621823.22000000
0.018520802542
Long
DBT
CORP
CA
N
2
2030-03-01
Fixed
4.62500000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36197MQM3
83033.24000000
PA
USD
89139.31000000
0.002654985381
Long
ABS-MBS
USGA
US
N
2
2047-03-15
Fixed
4.50000000
N
N
N
N
N
N
HP INC
WHKXQACZ14C5XRO8LW03
HP Inc
40434LAJ4
466000.00000000
PA
USD
416930.83000000
0.012418149287
Long
DBT
CORP
US
N
2
2031-06-17
Fixed
2.65000000
N
N
N
N
N
N
PERFORMANCE FOOD GROUP I
549300OMUOGBYK0FFO76
Performance Food Group Inc
69346VAA7
490000.00000000
PA
USD
487648.00000000
0.014524437215
Long
DBT
CORP
US
N
2
2027-10-15
Fixed
5.50000000
N
N
N
N
N
N
BRASKEM NETHERLANDS
2549000TLMHFQ74DS330
Braskem Netherlands Finance BV
10554TAF2
491000.00000000
PA
USD
538089.36000000
0.016026816732
Long
DBT
CORP
NL
N
2
2081-01-23
Fixed
8.50000000
N
N
N
N
N
Conseco Finance Securitizations Corp.
N/A
Conseco Finance Securitizations Corp
20846QBP2
649273.14000000
PA
USD
179996.30000000
0.005361131304
Long
ABS-O
CORP
US
N
2
2029-09-01
Variable
8.06000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36179NJB5
77671.02000000
PA
USD
81604.93000000
0.002430576322
Long
ABS-MBS
USGA
US
N
2
2043-07-20
Fixed
4.00000000
N
N
N
N
N
N
CROWN CASTLE INTL CORP
54930012H97VSM0I2R19
Crown Castle International Corp
22822VAZ4
682000.00000000
PA
USD
659333.76000000
0.019638041786
Long
DBT
CORP
US
N
2
2027-03-15
Fixed
2.90000000
N
N
N
N
N
N
CSAIL Commercial Mortgage Trust
N/A
CSAIL 2019-C16 Commercial Mortgage Trust
12596WAE4
7112261.02000000
PA
USD
625130.05000000
0.018619295399
Long
ABS-MBS
CORP
US
N
2
2052-06-15
Variable
1.55700000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
3132HNDN6
43071.18000000
PA
USD
43663.77000000
0.001300511200
Long
ABS-MBS
USGSE
US
N
2
2042-10-01
Fixed
3.50000000
N
N
N
N
N
N
MARSH & MCLENNAN COS INC
549300XMP3KDCKJXIU47
Marsh & McLennan Cos Inc
571748BL5
830000.00000000
PA
910768.35000000
0.027126939344
Long
DBT
CORP
US
N
2
2026-09-21
Fixed
1.34900000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
3620ARHV6
10373.73000000
PA
USD
11405.31000000
0.000339703452
Long
ABS-MBS
USGA
US
N
2
2040-09-15
Fixed
5.00000000
N
N
N
N
N
N
Dryden Senior Loan Fund
54930046L20VLJKPVV31
Dryden 45 Senior Loan Fund
26244MAQ5
540000.00000000
PA
USD
537953.94000000
0.016022783291
Long
ABS-CBDO
CORP
KY
N
2
2030-10-15
Floating
1.94100000
N
N
N
N
N
N
BANCO SANTANDER SA
5493006QMFDDMYWIAM13
Banco Santander SA
05964HAL9
1600000.00000000
PA
USD
1495458.00000000
0.044541730571
Long
DBT
CORP
ES
N
2
2026-03-25
Fixed
1.84900000
N
N
N
N
N
N
ING Groep NV
549300NYKK9MWM7GGW15
ING Groep NV
45685NAA4
915000.00000000
PA
USD
945675.88000000
0.028166648782
Long
DBT
CORP
NL
N
2
2026-01-06
Fixed
4.62500000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae
21H042646
-3408000.00000000
PA
USD
-3523020.00000000
-0.10493200587
Short
ABS-MBS
USGA
US
N
2
2052-04-21
Fixed
4.50000000
N
N
N
N
N
N
Bombardier Capital Mortgage Securitization Corp.
N/A
BCMSC Trust 2000-A
09774XBN1
1270292.46000000
PA
USD
245691.84000000
0.007317851615
Long
ABS-O
CORP
US
N
2
2030-06-15
Variable
7.57500000
N
N
N
N
N
N
MIDAMERICAN ENERGY CO
NINLOILYRTLIMK26MZ18
MidAmerican Energy Co
595620AV7
680000.00000000
PA
USD
624527.50000000
0.018601348643
Long
DBT
CORP
US
N
2
2050-04-15
Fixed
3.15000000
N
N
N
N
N
N
MGM RESORTS INTL
54930066VBP7DZEGGJ87
MGM Resorts International
552953CF6
59000.00000000
PA
USD
59590.00000000
0.001774868785
Long
DBT
CORP
US
N
2
2027-04-15
Fixed
5.50000000
N
N
N
N
N
N
MidAmerican Energy Co
NINLOILYRTLIMK26MZ18
MidAmerican Energy Co
595620AQ8
70000.00000000
PA
USD
69968.20000000
0.002083980100
Long
DBT
CORP
US
N
2
2027-05-01
Fixed
3.10000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140QM4F8
3211412.91000000
PA
USD
3085434.96000000
0.091898677652
Long
ABS-MBS
USGSE
US
N
2
2052-01-01
Fixed
2.50000000
N
N
N
N
N
N
Countrywide Alternative Loan Trust
N/A
Alternative Loan Trust 2007-5CB
02150EBG7
585889.41000000
PA
USD
394486.02000000
0.011749637914
Long
ABS-MBS
CORP
US
N
2
2037-04-25
Fixed
5.50000000
N
N
N
N
N
N
Buckeye Partners LP
549300C1PQJLVEIUBK50
Buckeye Partners LP
118230AK7
391000.00000000
PA
USD
392360.68000000
0.011686335353
Long
DBT
CORP
US
N
2
2023-07-01
Fixed
4.15000000
N
N
N
N
N
N
NSTAR ELECTRIC CO
54930080R72Y2Z31UR68
NSTAR Electric Co
67021CAP2
442000.00000000
PA
USD
458790.95000000
0.013664939358
Long
DBT
CORP
US
N
2
2030-04-01
Fixed
3.95000000
N
N
N
N
N
N
EDISON INTERNATIONAL
549300I7ROF15MAEVP56
Edison International
281020AP2
9000.00000000
PA
USD
9046.43000000
0.000269444977
Long
DBT
CORP
US
N
2
2022-11-15
Fixed
3.12500000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36179RQ28
94146.29000000
PA
USD
96176.12000000
0.002864574481
Long
ABS-MBS
USGA
US
N
2
2045-10-20
Fixed
3.50000000
N
N
N
N
N
N
ANGLO AMERICAN CAPITAL
TINT358G1SSHR3L3PW36
Anglo American Capital PLC
034863AW0
802000.00000000
PA
USD
883958.06000000
0.026328403569
Long
DBT
CORP
GB
N
2
2030-04-01
Fixed
5.62500000
N
N
N
N
N
N
Battalion CLO LTD
549300CDYR56PY734566
Battalion CLO XX Ltd
07134UAA5
730000.00000000
PA
USD
723162.82000000
0.021539169597
Long
ABS-CBDO
CORP
KY
N
2
2034-07-15
Floating
1.42100000
N
N
N
N
N
N
CITIZENS FINANCIAL GROUP
2138004JDDA4ZQUPFW65
Citizens Financial Group Inc
174610AT2
680000.00000000
PA
USD
664591.91000000
0.019794654076
Long
DBT
CORP
US
N
2
2030-04-30
Fixed
3.25000000
N
N
N
N
N
N
CSC Holdings LLC
3HG2WD2W22M120IUNG49
CSC Holdings LLC
126307AY3
387000.00000000
PA
USD
380227.50000000
0.011324952530
Long
DBT
CORP
US
N
2
2028-04-01
Fixed
7.50000000
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
3132QTAC0
101918.07000000
PA
USD
103855.40000000
0.003093299340
Long
ABS-MBS
USGSE
US
N
2
2045-09-01
Fixed
3.50000000
N
N
N
N
N
N
JPMORGAN CHASE & CO
8I5DZWZKVSZI1NUHU748
JPMorgan Chase & Co
46647PCU8
2840000.00000000
PA
USD
2677419.40000000
0.079746066784
Long
DBT
CORP
US
N
2
2033-01-25
Fixed
2.96300000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138YNTH0
95255.93000000
PA
USD
94285.48000000
0.002808262383
Long
ABS-MBS
USGSE
US
N
2
2030-07-01
Fixed
2.50000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36179N2J6
932011.70000000
PA
USD
956879.53000000
0.028500345856
Long
ABS-MBS
USGA
US
N
2
2044-02-20
Fixed
3.50000000
N
N
N
N
N
N
NVIDIA CORP
549300S4KLFTLO7GSQ80
NVIDIA Corp
67066GAH7
1113000.00000000
PA
USD
1124808.93000000
0.033502068466
Long
DBT
CORP
US
N
2
2050-04-01
Fixed
3.50000000
N
N
N
N
N
AT&T INC
549300Z40J86GGSTL398
AT&T Inc
00206RKF8
374000.00000000
PA
USD
317887.62000000
0.009468179462
Long
DBT
CORP
US
N
2
2061-02-01
Fixed
3.50000000
N
N
N
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
Long: SRY0P1L34 IRS USD R F 3.49750 2 CCPINFLATIONZERO / Short: SRY0P1L34 IRS USD P V 12MUSCPI 1 CCPINFLATIONZERO
000000000
15778000.00000000
OU
Notional Amount
USD
40051.35000000
0.001192916444
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
Inflation based on US CPI Urban Consumers NSA
2027-03-31
186.37000000
USD
0.00000000
USD
15778000.00000000
USD
39864.98000000
N
N
N
FHLMC Multifamily Structured Pass Through Certs.
S6XOOCT0IEG5ABCC6L87
Freddie Mac Multifamily Structured Pass Through Certificates
3137FMUR1
6286789.94000000
PA
USD
286898.92000000
0.008545191102
Long
ABS-MBS
USGSE
US
N
2
2029-05-25
Variable
0.80200000
N
N
N
N
N
N
DIAMONDBACK ENERGY INC
549300R22LSX6OHWEN64
Diamondback Energy Inc
25278XAT6
900000.00000000
PA
USD
889508.11000000
0.026493710005
Long
DBT
CORP
US
N
2
2052-03-15
Fixed
4.25000000
N
N
N
N
N
N
HCA INC
L3CJ6J7LJ2DX62FTXD46
HCA Inc
404119CA5
351000.00000000
PA
USD
339088.39000000
0.010099637507
Long
DBT
CORP
US
N
2
2030-09-01
Fixed
3.50000000
N
N
N
N
N
N
Palmer Square CLO Ltd
5493006ZPBFJJGSXB826
Palmer Square CLO 2015-1 Ltd
69689ABL3
250000.00000000
PA
USD
246865.50000000
0.007352808696
Long
ABS-CBDO
CORP
KY
N
2
2034-05-21
Floating
2.18000000
N
N
N
N
N
N
Signal Parent, Inc
N/A
Signal Parent, Inc Term Loan B
82666KAB4
557200.00000000
PA
USD
501712.35000000
0.014943339310
Long
LON
CORP
US
N
2
2028-04-03
Floating
4.25000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
312941KX4
34004.10000000
PA
USD
36210.17000000
0.001078508146
Long
ABS-MBS
USGSE
US
N
2
2040-07-01
Fixed
4.50000000
N
N
N
N
N
N
Bluemountain CLO Ltd
549300KGXMRFX2DKIX03
BlueMountain CLO 2013-2 Ltd
09626YAN0
745093.09000000
PA
USD
742184.99000000
0.022105738749
Long
ABS-CBDO
CORP
KY
N
2
2030-10-22
Floating
1.43900000
N
N
N
N
N
N
CREDIT SUISSE NEW YORK
549300D0YARF5HYP1809
Credit Suisse AG/New York NY
22550L2G5
2569000.00000000
PA
USD
2342660.21000000
0.069775373092
Long
DBT
CORP
CH
N
2
2026-08-07
Fixed
1.25000000
N
N
N
N
N
N
Union Pacific Corp
549300LMMRSZZCZ8CL11
Union Pacific Corp
907818EH7
992000.00000000
PA
USD
985643.40000000
0.029357068377
Long
DBT
CORP
US
N
2
2026-03-01
Fixed
2.75000000
N
N
N
N
N
N
JPMorgan Chase Bank N.A.
7H6GLXDRUGQFU57RNE97
PURCHASED RUB / SOLD USD
000000000
1.00000000
NC
70414.81000000
0.002097282234
N/A
DFE
RU
N
2
JPMorgan Chase Bank N.A.
7H6GLXDRUGQFU57RNE97
170000.00000000
USD
20570000.00000000
RUB
2022-05-25
70414.81000000
N
N
N
Ajax Mortgage Loan Trust
N/A
Ajax Mortgage Loan Trust 2019-G
00969VAB6
432000.00000000
PA
USD
422736.54000000
0.012591070472
Long
ABS-O
CORP
US
N
2
2059-09-25
Variable
4.25000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36179F7F6
172693.21000000
PA
USD
176279.54000000
0.005250428815
Long
ABS-MBS
USGA
US
N
2
2043-02-15
Fixed
3.50000000
N
N
N
N
N
N
XHR LP
549300M88BPT83ZL2164
XHR LP
98372MAC9
137000.00000000
PA
USD
133085.91000000
0.003963920582
Long
DBT
US
N
2
2029-06-01
Fixed
4.87500000
N
N
N
N
N
N
JPMorgan Chase & Co
8I5DZWZKVSZI1NUHU748
JPMorgan Chase & Co
46647PBD7
652000.00000000
PA
USD
655453.27000000
0.019522462653
Long
DBT
CORP
US
N
2
2030-05-06
Fixed
3.70200000
N
N
N
N
N
ANGLO AMERICAN CAPITAL
TINT358G1SSHR3L3PW36
Anglo American Capital PLC
034863BA7
617000.00000000
PA
USD
568628.34000000
0.016936410327
Long
DBT
CORP
GB
N
2
2031-03-17
Fixed
2.87500000
N
N
N
N
N
UNION PACIFIC CORP
549300LMMRSZZCZ8CL11
Union Pacific Corp
907818FW3
186000.00000000
PA
USD
164626.74000000
0.004903353954
Long
DBT
CORP
US
N
2
2052-03-10
Fixed
2.95000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140X7CB3
1401433.04000000
PA
USD
1432003.40000000
0.042651755930
Long
ABS-MBS
USGSE
US
N
2
2049-09-01
Fixed
4.00000000
N
N
N
N
N
N
SMB Private Education Loan Trust
549300ZLJ4U248VKSJ66
SMB Private Education Loan Trust 2015-B
78448QAE8
1340000.00000000
PA
USD
1297045.36000000
0.038632074564
Long
ABS-O
CORP
US
N
2
2040-12-17
Fixed
3.50000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36179NDR6
469084.64000000
PA
USD
481502.35000000
0.014341391027
Long
ABS-MBS
USGA
US
N
2
2043-05-20
Fixed
3.50000000
N
N
N
N
N
N
United States Treasury
254900HROIFWPRGM1V77
United States Treasury Note/Bond
912810RB6
3865000.00000000
PA
USD
4001180.88000000
0.119173872301
Long
DBT
UST
US
N
2
2043-05-15
Fixed
2.87500000
N
N
N
N
N
N
UMBS, TBA
N/A
Uniform Mortgage-Backed Security, TBA
01F020448
39858000.00000000
PA
USD
38710525.65000000
1.152980427255
Long
ABS-MBS
USGSE
US
N
2
2037-04-15
Fixed
2.00000000
N
N
N
N
N
N
AMGEN INC
62QBXGPJ34PQ72Z12S66
Amgen Inc
031162CU2
452000.00000000
PA
USD
426159.36000000
0.012693018054
Long
DBT
CORP
US
N
2
2030-02-21
Fixed
2.45000000
N
N
N
N
N
N
J.P. Morgan Alternative Loan Trust
N/A
JP Morgan Alternative Loan Trust 2007-A1
466287AD1
802802.66000000
PA
USD
816797.52000000
0.024328048709
Long
ABS-MBS
CORP
US
N
2
2037-03-25
Floating
0.87700000
N
N
N
N
N
N
Octagon Investment Partners 54 Ltd
N/A
Octagon 54 Ltd
67577FAJ7
250000.00000000
PA
USD
248616.50000000
0.007404961662
Long
ABS-CBDO
CORP
KY
N
2
2034-07-15
Floating
3.29100000
N
N
N
N
N
N
JPMorgan Chase & Co
8I5DZWZKVSZI1NUHU748
JPMorgan Chase & Co
46647PAR7
2500000.00000000
PA
USD
2555999.20000000
0.076129605583
Long
DBT
CORP
US
N
2
2029-04-23
Fixed
4.00500000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138WCK85
682923.00000000
PA
USD
689942.83000000
0.020549722990
Long
ABS-MBS
USGSE
US
N
2
2029-08-01
Fixed
3.00000000
N
N
N
N
N
N
HSBC Bank PLC
MP6I5ZYZBEU3UXPYFY54
PURCHASED MXN / SOLD USD
000000000
1.00000000
NC
65998.58000000
0.001965746258
N/A
DFE
MX
N
2
HSBC Bank PLC
MP6I5ZYZBEU3UXPYFY54
1199742.00000000
USD
25245999.34000000
MXN
2022-04-20
65998.58000000
N
N
N
Suzano Austria GmbH
254900287ZNSGVP1R341
Suzano Austria GmbH
05674XAA9
200000.00000000
PA
USD
214500.00000000
0.006388812796
Long
DBT
CORP
AT
N
2
2026-07-14
Fixed
5.75000000
N
N
N
N
N
N
Oportun Funding LLC
N/A
Oportun Issuance Trust 2021-B
68377GAB2
170000.00000000
PA
USD
161864.14000000
0.004821070811
Long
ABS-O
CORP
US
N
2
2031-05-08
Fixed
1.96000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140X82Y2
620828.08000000
PA
USD
611878.80000000
0.018224611224
Long
ABS-MBS
USGSE
US
N
2
2050-03-01
Fixed
3.00000000
N
N
N
N
N
N
UNITED AIR 2019-1 AA PTT
N/A
United Airlines 2019-1 Class AA Pass Through Trust
90931CAA6
208639.02000000
PA
USD
210568.35000000
0.006271709879
Long
DBT
CORP
US
N
2
2031-08-25
Fixed
4.15000000
N
N
N
N
N
N
OneMain Financial Issuance Trust
N/A
OneMain Financial Issuance Trust 2021-1
68269MAD6
100000.00000000
PA
USD
90794.49000000
0.002704284380
Long
ABS-O
CORP
US
N
2
2036-06-16
Fixed
2.22000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138WFZF6
372454.17000000
PA
USD
369017.45000000
0.010991064833
Long
ABS-MBS
USGSE
US
N
2
2030-11-01
Fixed
2.50000000
N
N
N
N
N
N
AEROPUERTO INTL TOCUMEN
254900FO1PHX49ZIGB14
Aeropuerto Internacional de Tocumen SA
00787CAE2
210000.00000000
PA
USD
191100.00000000
0.005691851400
Long
DBT
CORP
PA
N
2
2061-08-11
Fixed
5.12500000
N
N
N
N
N
N
TAKEDA PHARMACEUTICAL
549300ZLMVP4X0OGR454
Takeda Pharmaceutical Co Ltd
000000000
1790000.00000000
PA
1870940.15000000
0.055725344393
Long
DBT
CORP
JP
N
2
2040-07-09
Fixed
2.00000000
N
N
N
N
N
N
Bayview Commercial Asset Trust
N/A
Bayview Commercial Asset Trust 2005-4
07324SCT7
57166.71000000
PA
USD
52664.87000000
0.001568606039
Long
ABS-MBS
CORP
US
N
2
2036-01-25
Floating
1.13200000
N
N
N
N
N
N
Waste Pro USA Inc
549300BY1QXU5BI3UF28
Waste Pro USA Inc
94107JAA1
227000.00000000
PA
USD
214533.16000000
0.006389800456
Long
DBT
CORP
US
N
2
2026-02-15
Fixed
5.50000000
N
N
N
N
N
N
Bain Capital Euro CLO
635400QZZRPWR4S6DL27
Bain Capital Euro CLO 2019-1 DAC
000000000
250000.00000000
PA
265046.38000000
0.007894320299
Long
ABS-CBDO
CORP
IE
Y
2
2032-04-15
Floating
6.81000000
N
N
N
N
N
N
AVIANCA MIDCO 2 LTD
N/A
Avianca Midco 2 Ltd
05368PAA7
526316.00000000
PA
USD
505263.36000000
0.015049104989
Long
DBT
CORP
GB
N
2
2028-12-01
Fixed
9.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138XJDZ7
473411.32000000
PA
USD
484823.11000000
0.014440298785
Long
ABS-MBS
USGSE
US
N
2
2029-02-01
Fixed
3.50000000
N
N
N
N
N
N
EQUINIX INC
549300EVUN2BTLJ3GT74
Equinix Inc
29444UBE5
2700000.00000000
PA
USD
2583889.63000000
0.076960312978
Long
DBT
US
N
2
2029-11-18
Fixed
3.20000000
N
N
N
N
N
N
GEOPARK LTD
529900ZR5QI19AH4KZ07
Geopark Ltd
37255BAB5
200000.00000000
PA
USD
190452.00000000
0.005672550931
Long
DBT
CORP
BM
N
2
2027-01-17
Fixed
5.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138XLUU4
796461.15000000
PA
USD
819371.18000000
0.024404704336
Long
ABS-MBS
USGSE
US
N
2
2029-02-01
Fixed
3.50000000
N
N
N
N
N
N
OZLM Ltd
5493002HF6D1C4B1AK86
OZLM XXI Ltd
67112AAE1
320000.00000000
PA
USD
313379.52000000
0.009333907168
Long
ABS-CBDO
CORP
KY
N
2
2031-01-20
Floating
2.15400000
N
N
N
N
N
N
GOLDMAN SACHS GROUP INC
784F5XWPLTWKTBV3E584
Goldman Sachs Group Inc/The
38141GYA6
3151000.00000000
PA
USD
2903649.27000000
0.086484249947
Long
DBT
CORP
US
N
2
2027-03-09
Fixed
1.43100000
N
N
N
N
N
N
AT&T Inc
549300Z40J86GGSTL398
AT&T Inc
00206RFU1
2074000.00000000
PA
USD
2363548.65000000
0.070397528490
Long
DBT
CORP
US
N
2
2050-02-15
Fixed
5.15000000
N
N
N
N
N
N
JPMorgan Securities LLC
7H6GLXDRUGQFU57RNE97
Long: BRT8DTKL6 CDS USD R F 3.00000 2 CMBX / Short: BRT8DTKL6 CDS USD P V 01MEVENT 1 CMBX
000000000
40000.00000000
OU
Notional Amount
USD
-4456.58000000
-0.00013273778
N/A
DCR
US
N
2
JPMorgan Securities LLC
7H6GLXDRUGQFU57RNE97
CMBX.NA.BBB-.10
137BERAJ6
Y
sell protection
2059-11-17
0.00000000
USD
-3575.13000000
USD
40000.00000000
USD
-881.45000000
N
N
N
Citibank N.A.
E57ODZWZ7FF32TWEFA76
PURCHASED CLP / SOLD USD
000000000
1.00000000
NC
-9185.58000000
-0.00027358951
N/A
DFE
CL
N
2
Citibank N.A.
E57ODZWZ7FF32TWEFA76
499000.00000000
USD
386475500.00000000
CLP
2022-04-20
-9185.58000000
N
N
N
Citibank N.A.
E57ODZWZ7FF32TWEFA76
BRY0G3S90 BLACKROCK CALL USD 75.0000000 20220520
000000000
48000.00000000
NC
USD
137060.40000000
0.004082299475
N/A
DE
US
N
1
Citibank N.A.
E57ODZWZ7FF32TWEFA76
Call
Purchased
Mosaic Co/The
Mosaic Co/The
1.00000000
75.00000000
USD
2022-05-20
XXXX
-66939.60000000
N
N
N
Benefit Street Partners CLO Ltd
N/A
Benefit Street Partners CLO XX Ltd
08182KAE8
250000.00000000
PA
USD
240364.75000000
0.007159185970
Long
ABS-CBDO
CORP
KY
N
2
2034-07-15
Floating
6.99100000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140QM4E1
2634841.38000000
PA
USD
2533113.16000000
0.075447952319
Long
ABS-MBS
USGSE
US
N
2
2052-01-01
Fixed
2.50000000
N
N
N
N
N
N
BANCO SANTANDER SA
5493006QMFDDMYWIAM13
Banco Santander SA
05971KAC3
1000000.00000000
PA
USD
968379.00000000
0.028842853834
Long
DBT
CORP
ES
N
2
2029-06-27
Fixed
3.30600000
N
N
N
N
N
N
UNITED AIR 2014-1 A PTT
N/A
United Airlines 2014-1 Class A Pass Through Trust
90932PAA6
192753.22000000
PA
USD
193453.07000000
0.005761936826
Long
DBT
CORP
US
N
2
2026-04-11
Fixed
4.00000000
N
N
N
N
N
N
JP Morgan Mortgage Trust
N/A
J.P. Morgan Mortgage Trust 2021-INV7
46654CAF2
5040863.99000000
PA
USD
128078.78000000
0.003814784842
Long
ABS-MBS
CORP
US
N
2
2052-02-25
Variable
0.50000000
N
N
N
N
N
N
BANCO GNB SUDAMERIS SA
549300SO7QUETMQD9D84
Banco GNB Sudameris SA
059593AE3
150000.00000000
PA
USD
139632.00000000
0.004158893745
Long
DBT
CORP
CO
N
2
2031-04-16
Fixed
7.50000000
N
N
N
N
N
N
SCIH Salt Holdings Inc.
N/A
SCIH Salt Holdings Inc. 2021 Incremental Term Loan B
78397GAF8
831697.55000000
PA
USD
819845.86000000
0.024418842526
Long
LON
CORP
US
N
2
2027-03-16
Floating
4.75000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
312934WB4
368377.53000000
PA
USD
392363.41000000
0.011686416665
Long
ABS-MBS
USGSE
US
N
2
2039-08-01
Fixed
4.50000000
N
N
N
N
N
N
AT&T INC
549300Z40J86GGSTL398
AT&T Inc
00206RLV2
2832000.00000000
PA
USD
2483473.09000000
0.073969438965
Long
DBT
CORP
US
N
2
2059-09-15
Fixed
3.65000000
N
N
N
N
N
N
AGL Core 4 CLO Ltd
549300HS2AZ4GZPCZ864
AGL Core CLO 4 LTD
001199AG3
860000.00000000
PA
USD
851015.58000000
0.025347222507
Long
ABS-CBDO
CORP
KY
N
2
2033-04-20
Floating
1.32400000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36198QTY4
100582.10000000
PA
USD
104698.04000000
0.003118397099
Long
ABS-MBS
USGA
US
N
2
2044-08-20
Fixed
4.00000000
N
N
N
N
N
N
Northrop Grumman Corp
RIMU48P07456QXSO0R61
Northrop Grumman Corp
666807BN1
3173000.00000000
PA
USD
3173144.12000000
0.094511066480
Long
DBT
CORP
US
N
2
2028-01-15
Fixed
3.25000000
N
N
N
N
N
N
Flatiron CLO Ltd
N/A
Flatiron CLO 21 Ltd
33883PAC1
2390000.00000000
PA
USD
2370148.66000000
0.070594107643
Long
ABS-CBDO
CORP
KY
N
2
2034-07-19
Floating
1.35800000
N
N
N
N
N
N
Bay Area Toll Authority
5493001FUZGUQMIP5D78
BAY AREA CA TOLL AUTH TOLL BRIDGE REVENUE
072024NV0
1215000.00000000
PA
USD
1867463.14000000
0.055621782780
Long
DBT
MUN
US
N
2
2050-04-01
Fixed
7.04300000
N
N
N
N
N
N
United States Treasury
254900HROIFWPRGM1V77
United States Treasury Note/Bond
912810SA7
23806000.00000000
PA
USD
25936451.08000000
0.772508767204
Long
DBT
UST
US
N
2
2048-02-15
Fixed
3.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31418CXN9
50518.82000000
PA
USD
51789.09000000
0.001542521216
Long
ABS-MBS
USGSE
US
N
2
2048-06-01
Fixed
4.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140QNEJ7
979608.54000000
PA
USD
912880.30000000
0.027189843089
Long
ABS-MBS
USGSE
US
N
2
2052-02-01
Fixed
2.00000000
N
N
N
N
N
N
Deutsche Alt-A Securities INC Mortgage Loan Trust
5299003GGM6YEXXXJ012
Deutsche ALT-A Securities Inc
25152DAB0
5568.26000000
PA
USD
5600.29000000
0.000166802817
Long
ABS-MBS
CORP
US
N
2
2037-01-27
Floating
0.70900000
N
N
N
N
N
N
Metropolitan Transportation Authority
5493000TKYODLXADQD60
MET TRANSPRTN AUTH NY REVENUE
59259YGF0
330000.00000000
PA
USD
423351.42000000
0.012609384473
Long
DBT
MUN
US
N
2
2040-11-15
Fixed
6.81400000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140XFGT2
4029398.43000000
PA
USD
3862581.09000000
0.115045722595
Long
ABS-MBS
USGSE
US
N
2
2052-01-01
Fixed
2.50000000
N
N
N
N
N
N
Barclays Bank PLC
G5GSEF7VJP5I7OUK5573
Long: BRY06URF8 CDS USD R V 03MEVENT 1 SOVEREIGN / Short: BRY06URF8 CDS USD P F 1.00000 2 SOVEREIGN
000000000
8620600.00000000
OU
Notional Amount
USD
436811.32000000
0.013010283221
N/A
DCR
US
N
2
Barclays Bank PLC
G5GSEF7VJP5I7OUK5573
FED REPUBLIC OF BRAZIL
FED REPUBLIC OF BRAZIL
Y
buy protection
2027-06-20
526295.33000000
USD
0.00000000
USD
8620600.00000000
USD
-89484.01000000
N
N
N
Battalion CLO LTD
549300WYAEH0STKIKE49
Battalion CLO 18 Ltd
07134QAQ9
298000.00000000
PA
USD
295160.95000000
0.008791272981
Long
ABS-CBDO
CORP
KY
N
2
2036-10-15
Floating
1.99100000
N
N
N
N
N
N
CAPITAL ONE FINANCIAL CO
ZUE8T73ROZOF6FLBAR73
Capital One Financial Corp
14040HCN3
1151000.00000000
PA
USD
1111354.31000000
0.033101326981
Long
DBT
CORP
US
N
2
2030-03-01
Fixed
3.27300000
N
N
N
N
N
N
Aimbridge Acquisition Co., Inc.
549300SPGKLVE9WYCQ20
Aimbridge Acquisition Co., Inc. 2019 Term Loan B
00900YAD8
829548.17000000
PA
USD
816068.01000000
0.024306320491
Long
LON
CORP
US
N
2
2026-02-02
Floating
4.20700000
N
N
N
N
N
N
Navient Corp
54930067J0ZNOEBRW338
Navient Corp
63938CAJ7
233000.00000000
PA
USD
237660.00000000
0.007078625870
Long
DBT
CORP
US
N
2
2026-06-15
Fixed
6.75000000
N
N
N
N
N
BANK OF NY MELLON CORP
WFLLPEPC7FZXENRZV188
Bank of New York Mellon Corp/The
064058AF7
1770000.00000000
PA
USD
1743450.00000000
0.051928091704
Long
DBT
CORP
US
N
2
2026-09-20
Fixed
4.62500000
N
N
N
N
N
N
BROADCOM INC
549300WV6GIDOZJTV909
Broadcom Inc
11135FAS0
1386000.00000000
PA
USD
1406466.17000000
0.041891137833
Long
DBT
CORP
US
N
2
2032-11-15
Fixed
4.30000000
N
N
N
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
Long: SRWMDPAN6 IRS USD R F 2.63900 2 CCPINFLATIONZERO / Short: SRWMDPAN6 IRS USD P V 12MUSCPI 1 CCPINFLATIONZERO
000000000
16320000.00000000
OU
Notional Amount
USD
-1562457.38000000
-0.04653728533
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
Inflation based on US CPI Urban Consumers NSA
2031-05-21
310.10000000
USD
0.00000000
USD
16320000.00000000
USD
-1562767.48000000
N
N
N
Republic Finance Issuance Trust
N/A
Republic Finance Issuance Trust 2021-A
76042UAA1
2250000.00000000
PA
USD
2135060.78000000
0.063592091530
Long
ABS-O
CORP
US
N
2
2031-12-22
Fixed
2.30000000
N
N
N
N
N
N
Lehman Brothers Small Balance Commercial
N/A
Lehman Brothers Small Balance Commercial Mortgage Trust 2007-1
52521GAA3
108273.21000000
PA
USD
107681.84000000
0.003207268612
Long
ABS-MBS
CORP
US
N
2
2037-03-25
Floating
0.70700000
N
N
N
N
N
N
BNP Paribas SA
R0MUWSFPU8MPRO8K5P83
Long: BRWZ9NCF2 TRS USD R V 12MSOFR BRWZ9NCH8 EQUITYTRS / Short: BRWZ9NCF2 TRS USD P E BRWZ9NCG0 EQUITYTRS
000000000
353113.32000000
OU
Notional Amount
USD
11882.78000000
0.000353924740
N/A
DE
US
N
2
BNP Paribas SA
R0MUWSFPU8MPRO8K5P83
Sherwin-Williams Co/The
Sherwin-Williams Co/The
Y
equity-performance leg
2022-09-02
0.00000000
USD
0.00000000
USD
353113.32000000
USD
11882.78000000
N
N
N
HPS Loan Management 6-2015, Ltd.
549300OYG05TXUTUVD98
HPS Loan Management 6-2015 Ltd
40436KAC9
1380564.86000000
PA
USD
1377165.91000000
0.041018439110
Long
ABS-CBDO
CORP
KY
N
2
2031-02-05
Floating
1.31500000
N
N
N
N
N
N
IMT Trust
N/A
IMT Trust 2017-APTS
44974AAS6
540000.00000000
PA
USD
538256.88000000
0.016031806260
Long
ABS-MBS
CORP
US
N
2
2034-06-15
Fixed
3.47800000
N
N
N
N
N
N
ROCHE HOLDINGS INC
PVJRP0EQNV6OGDPZGY95
Roche Holdings Inc
771196BY7
960000.00000000
PA
USD
831530.27000000
0.024766858880
Long
DBT
CORP
US
N
2
2051-12-13
Fixed
2.60700000
N
N
N
N
N
N
UNION PACIFIC CORP
549300LMMRSZZCZ8CL11
Union Pacific Corp
907818FG8
1513000.00000000
PA
USD
1518260.41000000
0.045220892943
Long
DBT
CORP
US
N
2
2060-03-20
Fixed
3.83900000
N
N
N
N
N
N
DIGICEL GROUP HOLDINGS
N/A
Digicel Group Holdings Ltd
25381YAB7
286930.00000000
PA
USD
251066.62000000
0.007477937691
Long
DBT
CORP
BM
N
2
2025-04-01
Fixed
8.00000000
N
N
Y
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140QNE65
3064268.29000000
PA
USD
2941256.03000000
0.087604355073
Long
ABS-MBS
USGSE
US
N
2
2052-02-01
Fixed
2.50000000
N
N
N
N
N
N
Kronos Acquisition Holdings Inc.
N/A
Kronos Acquisition Holdings Inc. 2021 1st Lien Term Loan
50106JAF3
275000.00000000
PA
USD
273739.68000000
0.008153247415
Long
LON
CORP
US
N
2
2026-12-22
Floating
7.00000000
N
N
N
N
N
N
Cold Storage Trust
N/A
Cold Storage Trust 2020-ICE5
193051AQ2
1582614.74000000
PA
USD
1564814.76000000
0.046607499130
Long
ABS-MBS
CORP
US
N
2
2037-11-15
Floating
3.16200000
N
N
N
N
N
N
Sound Point CLO LTD
N/A
Sound Point CLO XXVIII Ltd
83615CAA4
350000.00000000
PA
USD
349245.05000000
0.010402150324
Long
ABS-CBDO
CORP
KY
N
2
2032-01-25
Floating
1.53800000
N
N
N
N
N
N
Ajax Mortgage Loan Trust
N/A
Ajax Mortgage Loan Trust 2019-H
00969XAB2
400000.00000000
PA
USD
391422.72000000
0.011658398519
Long
ABS-O
CORP
US
N
2
2059-11-25
Variable
4.25000000
N
N
N
N
N
N
AT&T Inc
549300Z40J86GGSTL398
AT&T Inc
00206RGQ9
1411000.00000000
PA
USD
1490828.61000000
0.044403845694
Long
DBT
CORP
US
N
2
2030-02-15
Fixed
4.30000000
N
N
N
N
N
N
Banc of America Commercial Mortgage Trust
N/A
Banc of America Commercial Mortgage Trust 2017-BNK3
06427DAA1
2000000.00000000
PA
USD
106420.00000000
0.003169685118
Long
ABS-MBS
CORP
US
N
2
2050-02-15
Variable
1.25600000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
31335BFU5
500639.67000000
PA
USD
526455.33000000
0.015680300929
Long
ABS-MBS
USGSE
US
N
2
2047-07-01
Fixed
4.50000000
N
N
N
N
N
N
Dryden Senior Loan Fund
N/A
Dryden 65 CLO Ltd
26251YAE6
250000.00000000
PA
USD
249762.25000000
0.007439087454
Long
ABS-CBDO
CORP
KY
N
2
2030-07-18
Floating
1.84100000
N
N
N
N
N
N
Countrywide Alternative Loan Trust
N/A
Alternative Loan Trust 2006-OA16
23242GAE4
648936.23000000
PA
USD
617793.46000000
0.018400777450
Long
ABS-MBS
CORP
US
N
2
2046-10-25
Floating
0.83700000
N
N
N
N
N
N
Foundation Building Materials Holding Company LLC
549300ZVE6MONHB01I28
Foundation Building Materials Holding Company LLC 2021 Term Loan
35039KAB2
1176167.35000000
PA
USD
1155584.42000000
0.034418706435
Long
LON
CORP
US
N
2
2028-02-03
Floating
3.75000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138ECKY8
47528.44000000
PA
USD
48476.51000000
0.001443857097
Long
ABS-MBS
USGSE
US
N
2
2042-04-01
Fixed
3.50000000
N
N
N
N
N
N
Goldman Sachs International
W22LROWP2IHZNBB6K528
BRY0KG5Y6 BLACKROCK FXVAN CALL USD MXN 20.7000000
000000000
-3026000.00000000
OU
Notional Amount
USD
-23693.58000000
-0.00070570558
N/A
DFE
US
N
2
Goldman Sachs International
W22LROWP2IHZNBB6K528
Call
Written
Goldman Sachs International
W22LROWP2IHZNBB6K528
Goldman Sachs International
W22LROWP2IHZNBB6K528
FX Contract
N/A
1.00000000
NC
USD
-23693.58000000
0.00000000
DFE
ZA
-3026000.00000000
USD
-62638200.00000000
ZAR
2022-05-27
1.00000000
20.70000000
USD
2022-05-27
XXXX
7895.46000000
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36202DZX2
385631.45000000
PA
USD
409315.59000000
0.012191331838
Long
ABS-MBS
USGA
US
N
2
2033-10-20
Fixed
5.00000000
N
N
N
N
N
N
CHENIERE CORP CHRISTI HD
549300I7CIEWU1BBLQ53
Cheniere Corpus Christi Holdings LLC
16412XAG0
5408000.00000000
PA
USD
5764534.78000000
0.171694795200
Long
DBT
CORP
US
N
2
2027-06-30
Fixed
5.12500000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36179S5M5
210358.36000000
PA
USD
217488.13000000
0.006477813277
Long
ABS-MBS
USGA
US
N
2
2047-05-20
Fixed
4.00000000
N
N
N
N
N
N
JP Morgan Mortgage Trust
N/A
J.P. Morgan Mortgage Trust 2021-INV7
46654CAV7
96083.32000000
PA
USD
79728.91000000
0.002374699675
Long
ABS-MBS
CORP
US
N
2
2052-02-25
Variable
3.27200000
N
N
N
N
N
N
Benefit Street Partners CLO Ltd
549300D98ZLKNSI8CN63
Benefit Street Partners CLO VIII Ltd
08180XAN2
2000000.00000000
PA
USD
1984664.00000000
0.059112572310
Long
ABS-CBDO
CORP
KY
N
2
2031-01-20
Floating
1.35400000
N
N
N
N
N
N
Freddie Mac - STACR
N/A
Freddie Mac STACR REMIC Trust 2021-HQA1
35564KCP2
866467.00000000
PA
USD
769958.69000000
0.022932969378
Long
ABS-MBS
USGSE
US
N
2
2033-08-25
Floating
5.09900000
N
N
N
N
N
N
GS Mortgage Securities Trust
N/A
GS Mortgage Securities Corp Trust 2020-TWN3
36263JAW4
160000.00000000
PA
USD
159807.15000000
0.004759804032
Long
ABS-MBS
CORP
US
N
2
2037-11-15
Floating
2.89700000
N
N
N
N
N
N
Voya Euro CLO
549300IGE7MPYA8F0423
Voya Euro CLO V DAC
000000000
340000.00000000
PA
368630.25000000
0.010979532207
Long
ABS-CBDO
CORP
IE
N
2
2035-04-15
Floating
1.75000000
N
N
N
N
N
N
VERIZON COMMUNICATIONS
2S72QS2UO2OESLG6Y829
Verizon Communications Inc
92343VGM0
3427000.00000000
PA
USD
3095318.15000000
0.092193045254
Long
DBT
CORP
US
N
2
2032-03-15
Fixed
2.35500000
N
N
N
N
N
N
QATAR ENERGY
254900QTESJKJ3P87J26
Qatar Energy
74730DAE3
291000.00000000
PA
USD
264766.93000000
0.007885996972
Long
DBT
CORP
QA
N
2
2041-07-12
Fixed
3.12500000
N
N
N
N
N
N
American Tower Corp
5493006ORUSIL88JOE18
American Tower Corp
03027XAU4
456000.00000000
PA
USD
456608.46000000
0.013599934603
Long
DBT
US
N
2
2029-03-15
Fixed
3.95000000
N
N
N
N
N
N
United States Treasury
254900HROIFWPRGM1V77
United States Treasury Note/Bond
912828YY0
41246000.00000000
PA
USD
40417857.86000000
1.203832762321
Long
DBT
UST
US
N
2
2024-12-31
Fixed
1.75000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140QNEK4
2229004.70000000
PA
USD
2076480.55000000
0.061847298416
Long
ABS-MBS
USGSE
US
N
2
2052-02-01
Fixed
2.00000000
N
N
N
N
N
N
Navient Student Loan Trust
N/A
Navient Private Education Refi Loan Trust 2021-D
63942CAD4
230000.00000000
PA
USD
214311.26000000
0.006383191237
Long
ABS-O
CORP
US
N
2
2060-04-15
Fixed
4.00000000
N
N
N
N
N
N
Citigroup Mortgage Loan Trust Inc
N/A
Citigroup Mortgage Loan Trust 2007-AHL3
17312GAB7
650949.81000000
PA
USD
512941.49000000
0.015277795596
Long
ABS-O
CORP
US
N
2
2045-07-25
Floating
0.62700000
N
N
N
N
N
N
JPMorgan Chase & Co
8I5DZWZKVSZI1NUHU748
JPMorgan Chase & Co
46647PAA4
330000.00000000
PA
USD
352665.40000000
0.010504024338
Long
DBT
CORP
US
N
2
2048-02-22
Fixed
4.26000000
N
N
N
N
N
N
Intelsat Jackson Holdings S.A.
8XJ8KF85PBKK1TLMFN29
Intelsat Jackson Holdings S.A. 2017 Term Loan B4
000000000
1177.65000000
PA
USD
1160.53000000
0.000034566008
Long
LON
CORP
LU
N
2
2024-01-02
Floating
9.00000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
3132G0B58
194913.12000000
PA
USD
197056.52000000
0.005869264413
Long
ABS-MBS
USGSE
US
N
2
2027-09-01
Fixed
3.00000000
N
N
N
N
N
N
BANK OF AMERICA CORP
9DJT3UXIJIZJI4WXO774
Bank of America Corp
06051GJL4
1613000.00000000
PA
USD
1401177.26000000
0.041733609367
Long
DBT
CORP
US
N
2
2031-10-24
Fixed
1.92200000
N
N
N
N
N
N
REPUBLIC OF PANAMA
549300SHS4T08CL0LP14
Panama Government International Bond
698299BM5
1811000.00000000
PA
USD
1769944.63000000
0.052717225649
Long
DBT
NUSS
PA
N
2
2056-04-01
Fixed
4.50000000
N
N
N
N
N
N
CSX Corp
549300JVQR4N1MMP3Q88
CSX Corp
126408HL0
407000.00000000
PA
USD
445497.32000000
0.013268992909
Long
DBT
CORP
US
N
2
2068-03-01
Fixed
4.65000000
N
N
N
N
N
N
SIRIUS XM RADIO INC
WP5O65E6BMU84LNO4227
Sirius XM Radio Inc
82967NBC1
544000.00000000
PA
USD
552160.00000000
0.016445906172
Long
DBT
CORP
US
N
2
2029-07-01
Fixed
5.50000000
N
N
N
N
N
N
Home Loan Mortgage Loan Trust
N/A
Home Loan Mortgage Loan Trust 2005-1
43718RAD5
475234.71000000
PA
USD
451443.08000000
0.013446085438
Long
ABS-MBS
CORP
US
N
2
2036-04-15
Floating
1.11700000
N
N
N
N
N
N
ELP 2021-ELP
N/A
ELP Commercial Mortgage Trust 2021-ELP
26863LAQ7
994000.00000000
PA
USD
971433.81000000
0.028933840357
Long
ABS-MBS
CORP
US
N
2
2038-11-15
Floating
3.51300000
N
N
N
N
N
N
VERIZON COMMUNICATIONS
2S72QS2UO2OESLG6Y829
Verizon Communications Inc
92343VGB4
95000.00000000
PA
USD
89271.19000000
0.002658913384
Long
DBT
CORP
US
N
2
2051-03-22
Fixed
3.55000000
N
N
N
N
N
N
Apidos CLO
549300OGB01ASKLNI660
Apidos CLO XXXVII
03769FAA9
250000.00000000
PA
USD
245432.50000000
0.007310127257
Long
ABS-CBDO
CORP
KY
N
2
2034-10-22
Floating
6.42900000
N
N
N
N
N
N
Nelnet Student Loan Trust
N/A
Nelnet Student Loan Trust 2021-D
64034YAD3
170000.00000000
PA
USD
159008.72000000
0.004736023054
Long
ABS-O
CORP
US
N
2
2062-04-20
Fixed
3.50000000
N
N
N
N
N
N
AT&T INC
549300Z40J86GGSTL398
AT&T Inc
00206RKB7
270000.00000000
PA
USD
241680.41000000
0.007198372476
Long
DBT
CORP
US
N
2
2060-06-01
Fixed
3.85000000
N
N
N
N
N
N
BAUSCH HEALTH AMERICAS
KOO0397YRO83WY5MGD97
Bausch Health Americas Inc
91911XAW4
745000.00000000
PA
USD
742966.15000000
0.022129005346
Long
DBT
CORP
US
N
2
2027-01-31
Fixed
8.50000000
N
N
N
N
N
BNP Paribas SA
R0MUWSFPU8MPRO8K5P83
Long: BRWZ9NCZ8 TRS USD R V 12MSOFR BRWZ9ND12 EQUITYTRS / Short: BRWZ9NCZ8 TRS USD P E BRWZ9ND04 EQUITYTRS
000000000
349011.50000000
OU
Notional Amount
USD
-9333.88000000
-0.00027800658
N/A
DE
US
N
2
BNP Paribas SA
R0MUWSFPU8MPRO8K5P83
PPG Industries Inc
PPG Industries Inc
Y
equity-performance leg
2022-09-02
0.00000000
USD
0.00000000
USD
349011.50000000
USD
-9333.88000000
N
N
N
CENOVUS ENERGY INC
549300F4XPHJ7NOSP309
Cenovus Energy Inc
15135UAX7
131000.00000000
PA
USD
117150.84000000
0.003489299700
Long
DBT
CORP
CA
N
2
2052-02-15
Fixed
3.75000000
N
N
N
N
N
N
BCPE North Star US HoldCo 2, Inc.
254900AGB0JDUDNIJC95
BCPE North Star US HoldCo 2, Inc. Term Loan
05552DAD4
801000.00000000
PA
USD
786481.88000000
0.023425107223
Long
LON
CORP
US
N
2
2028-06-09
Floating
5.00600000
N
N
N
N
N
N
GOLDMAN SACHS GROUP INC
784F5XWPLTWKTBV3E584
Goldman Sachs Group Inc/The
38141GYB4
1323000.00000000
PA
USD
1202422.94000000
0.035813776532
Long
DBT
CORP
US
N
2
2032-04-22
Fixed
2.61500000
N
N
N
N
N
N
Consumers Energy Co
7NKTFWJ1G6MELP9TU740
Consumers Energy Co
210518DA1
337000.00000000
PA
USD
351081.79000000
0.010456857028
Long
DBT
CORP
US
N
2
2047-07-15
Fixed
3.95000000
N
N
N
N
N
N
United States Treasury
254900HROIFWPRGM1V77
United States Treasury Note/Bond
912810QC5
1010000.00000000
PA
USD
1303649.61000000
0.038828780004
Long
DBT
UST
US
N
2
2039-08-15
Fixed
4.50000000
N
N
N
N
N
N
AMER AIRLINE 16-1 AA PTT
N/A
American Airlines 2016-1 Class AA Pass Through Trust
02376UAA3
132862.52000000
PA
USD
126234.59000000
0.003759856242
Long
DBT
CORP
US
N
2
2028-01-15
Fixed
3.57500000
N
N
N
N
N
N
Countrywide Alternative Loan Trust
N/A
Alternative Loan Trust 2007-9T1
02150JAA0
2174492.33000000
PA
USD
1347286.74000000
0.040128497741
Long
ABS-MBS
CORP
US
N
2
2037-05-25
Fixed
6.00000000
N
N
N
N
N
N
SERVICE PROPERTIES TRUST
529900IS770AG1K9QG27
Service Properties Trust
44106MAR3
1350000.00000000
PA
USD
1334542.50000000
0.039748914694
Long
DBT
US
N
2
2023-06-15
Fixed
4.50000000
N
N
N
N
N
N
BXP Trust
N/A
BXP Trust 2017-CC
05607CAL3
260000.00000000
PA
USD
242914.07000000
0.007235116638
Long
ABS-MBS
CORP
US
N
2
2037-08-13
Variable
3.55200000
N
N
N
N
N
N
CHENIERE ENERGY INC
MIHC87W9WTYSYZWV1J40
Cheniere Energy Inc
16411RAK5
426000.00000000
PA
USD
427427.10000000
0.012730777278
Long
DBT
CORP
US
N
2
2028-10-15
Fixed
4.62500000
N
N
N
N
N
N
LCM Ltd Partnership
N/A
LCM 26 Ltd
50200FAC3
2590000.00000000
PA
USD
2570922.06000000
0.076574078119
Long
ABS-CBDO
CORP
KY
N
2
2031-01-20
Floating
1.32400000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
3132KFAE2
32350.74000000
PA
USD
32060.79000000
0.000954920211
Long
ABS-MBS
USGSE
US
N
2
2030-07-01
Fixed
2.50000000
N
N
N
N
N
N
MORGAN STANLEY
IGJSJL3JD5P30I6NJZ34
Morgan Stanley
61747YEH4
451000.00000000
PA
USD
406503.79000000
0.012107583289
Long
DBT
CORP
US
N
2
2032-10-20
Fixed
2.51100000
N
N
N
N
N
N
American Auto Auction Group, LLC
5493002VI1KML1L8HW19
American Auto Auction Group, LLC 2021 2nd Lien Term Loan
02403MAP5
859000.00000000
PA
USD
846115.00000000
0.025201260324
Long
LON
CORP
US
N
2
2029-01-02
Floating
9.25000000
N
N
N
N
N
N
DEUTSCHE TELEKOM INT FIN
529900ERDFHS6C1M4U58
Deutsche Telekom International Finance BV
25156PBA0
348000.00000000
PA
USD
351282.19000000
0.010462825877
Long
DBT
CORP
NL
N
2
2027-01-19
Fixed
3.60000000
N
N
N
N
N
N
Bridge Street CLO II Ltd
N/A
Bridge Street CLO II Ltd
10806JAA1
250000.00000000
PA
USD
247195.00000000
0.007362622747
Long
ABS-CBDO
CORP
KY
N
2
2034-07-20
Floating
1.48400000
N
N
N
N
N
N
AIR CANADA 2017-1AA PTT
N/A
Air Canada 2017-1 Class AA Pass Through Trust
00908PAA5
495763.20000000
PA
USD
472911.99000000
0.014085529946
Long
DBT
CORP
CA
N
2
2030-01-15
Fixed
3.30000000
N
N
N
N
N
N
FLORIDA POWER LIGHT CO
A89MY1K3YLIGJMYWVX50
Florida Power & Light Co
341081GE1
1300000.00000000
PA
USD
1165410.23000000
0.034711364993
Long
DBT
CORP
US
N
2
2051-12-04
Fixed
2.87500000
N
N
N
N
N
N
HYUNDAI CAPITAL SERVICES
549300MALMDAGL2ZJJ27
Hyundai Capital Services Inc
44920UAK4
1220000.00000000
PA
USD
1223310.36000000
0.036435901550
Long
DBT
CORP
KR
N
2
2022-08-29
Fixed
3.00000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36196FZE7
141768.19000000
PA
USD
144530.54000000
0.004304795167
Long
ABS-MBS
USGA
US
N
2
2046-10-20
Fixed
3.50000000
N
N
N
N
N
N
ARES CLO Ltd
N/A
Ares LVI CLO Ltd
04018NAN1
350000.00000000
PA
USD
346019.45000000
0.010306076877
Long
ABS-CBDO
CORP
KY
N
2
2034-10-25
Floating
1.41800000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140QM3K8
1949246.70000000
PA
USD
1815741.39000000
0.054081267264
Long
ABS-MBS
USGSE
US
N
2
2052-01-01
Fixed
2.00000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae
21H030641
7619470.00000000
PA
USD
7529881.72000000
0.224275080147
Long
ABS-MBS
USGA
US
N
2
2052-04-21
Fixed
3.00000000
N
N
N
N
N
N
Chesapeake Energy Corp
X2MT1W32SPAZ9WSKLE78
Chesapeake Energy Corp
165167735
4216.00000000
NS
USD
366792.00000000
0.010924780528
Long
EC
CORP
US
N
1
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138EH3N0
1382733.02000000
PA
USD
1525439.18000000
0.045434710275
Long
ABS-MBS
USGSE
US
N
2
2040-05-01
Fixed
6.50000000
N
N
N
N
N
N
United States Treasury
254900HROIFWPRGM1V77
United States Treasury Note/Bond
912810ST6
10822000.00000000
PA
USD
8847407.71000000
0.263517163621
Long
DBT
UST
US
N
2
2040-11-15
Fixed
1.37500000
N
N
N
N
N
N
Vaco Holdings, LLC
54930076HTNXBP03T379
Vaco Holdings, LLC 2022 Term Loan
000000000
616455.00000000
PA
USD
613758.01000000
0.018280582883
Long
LON
CORP
US
N
2
2029-01-21
Floating
5.75000000
N
N
N
N
N
N
Ajax Mortgage Loan Trust
N/A
Ajax Mortgage Loan Trust 2021-E
009740AD3
449000.00000000
PA
USD
401155.50000000
0.011948286209
Long
ABS-O
CORP
US
N
2
2060-12-25
Variable
3.72900000
N
N
N
N
N
N
Woodmont Trust
254900PE376ILSXG5546
Woodmont 2017-2 Trust
97988QAL8
1570000.00000000
PA
USD
1554066.07000000
0.046287352891
Long
ABS-CBDO
CORP
US
N
2
2033-04-20
Floating
1.92400000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140H8AS4
78215.35000000
PA
USD
82042.53000000
0.002443610095
Long
ABS-MBS
USGSE
US
N
2
2048-02-01
Fixed
4.50000000
N
N
N
N
N
N
BROADCOM INC
549300WV6GIDOZJTV909
Broadcom Inc
11135FBB6
383000.00000000
PA
USD
379894.92000000
0.011315046742
Long
DBT
CORP
US
N
2
2025-11-15
Fixed
3.15000000
N
N
N
N
N
N
WELLS FARGO GOVT FD LEX
N/A
WELLS FARGO GOVT FD LEX
000000000
794560.30000000
NS
USD
794560.30000000
0.023665720338
Long
STIV
RF
US
N
1
N
N
Goldman Sachs & Co. LLC
FOR8UP27PHTHYVLBNG30
Long: BRY05QMQ9 CDS USD R V 03MEVENT 1 SOVEREIGN / Short: BRY05QMQ9 CDS USD P F 1.00000 2 SOVEREIGN
000000000
6435000.00000000
OU
Notional Amount
USD
281172.63000000
0.008374635415
N/A
DCR
US
N
2
Goldman Sachs & Co. LLC
FOR8UP27PHTHYVLBNG30
REPUBLIC OF COLOMBIA
REPUBLIC OF COLOMBIA
Y
buy protection
2027-06-20
358119.98000000
USD
0.00000000
USD
6435000.00000000
USD
-76947.35000000
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
3128M9ZF2
269650.03000000
PA
USD
291718.69000000
0.008688746385
Long
ABS-MBS
USGSE
US
N
2
2041-10-01
Fixed
5.00000000
N
N
N
N
N
N
AEP TEXAS INC
5493001L78U618KXNZ75
AEP Texas Inc
00108WAK6
480000.00000000
PA
USD
426020.34000000
0.012688877388
Long
DBT
CORP
US
N
2
2050-01-15
Fixed
3.45000000
N
N
N
N
N
N
Ajax Mortgage Loan Trust
N/A
Ajax Mortgage Loan Trust 2018-D
00968EAA7
2226825.14000000
PA
USD
2231478.09000000
0.066463849777
Long
ABS-O
CORP
US
N
2
2058-08-25
Variable
3.75000000
N
N
N
N
N
N
ARDAGH PKG FIN/HLDGS USA
N/A
Ardagh Packaging Finance PLC / Ardagh Holdings USA Inc
03969AAP5
210000.00000000
PA
USD
194118.75000000
0.005781763888
Long
DBT
CORP
XX
N
2
2027-08-15
Fixed
5.25000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
3132G5AU3
113523.70000000
PA
USD
114771.09000000
0.003418419620
Long
ABS-MBS
USGSE
US
N
2
2028-07-01
Fixed
3.00000000
N
N
N
N
N
N
MORGAN STANLEY
IGJSJL3JD5P30I6NJZ34
Morgan Stanley
6174468X0
342000.00000000
PA
USD
295603.83000000
0.008804464018
Long
DBT
CORP
US
N
2
2032-04-28
Fixed
1.92800000
N
N
N
N
N
N
CEMEX SAB DE CV
549300RIG2CXWN6IV731
Cemex SAB de CV
151290BX0
288000.00000000
PA
USD
286560.00000000
0.008535096480
Long
DBT
CORP
MX
N
2
2030-09-17
Fixed
5.20000000
N
N
N
N
N
N
S&P GLOBAL INC
Y6X4K52KMJMZE7I7MY94
S&P Global Inc
78409VBE3
48000.00000000
PA
USD
49373.71000000
0.001470579908
Long
DBT
CORP
US
N
2
2062-03-01
Fixed
3.90000000
N
N
N
N
N
N
Rockford Tower CLO Ltd
5493007GXSFXDXOXG741
Rockford Tower CLO 2017-1 Ltd
77340EAW6
1856000.00000000
PA
USD
1829687.49000000
0.054496647321
Long
ABS-CBDO
CORP
KY
N
2
2034-04-20
Floating
1.35400000
N
N
N
N
N
N
EQUINIX INC
549300EVUN2BTLJ3GT74
Equinix Inc
29444UBK1
2628000.00000000
PA
USD
2414926.02000000
0.071927786760
Long
DBT
US
N
2
2025-09-15
Fixed
1.00000000
N
N
N
N
N
N
Trestles CLO LTD
254900QSBDX181YYBH38
TRESTLES CLO 2017-1 Ltd
89531FAU1
250000.00000000
PA
USD
245795.25000000
0.007320931648
Long
ABS-CBDO
CORP
KY
N
2
2032-04-25
Floating
3.15800000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138WTV37
85583.96000000
PA
USD
86471.62000000
0.002575529102
Long
ABS-MBS
USGSE
US
N
2
2028-05-01
Fixed
3.00000000
N
N
N
N
N
N
Lendmark Funding Trust
N/A
Lendmark Funding Trust 2021-2
52604DAC6
170000.00000000
PA
USD
153949.42000000
0.004585333447
Long
ABS-O
CORP
US
N
2
2032-04-20
Fixed
3.09000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140XFGB1
2398914.15000000
PA
USD
2296626.61000000
0.068404277275
Long
ABS-MBS
USGSE
US
N
2
2052-01-01
Fixed
2.50000000
N
N
N
N
N
N
JOHNSON CONTROLS INTL PL
549300XQ6S1GYKGBL205
Johnson Controls International plc
478375AS7
11000.00000000
PA
USD
12542.31000000
0.000373568627
Long
DBT
CORP
IE
N
2
2045-09-14
Fixed
5.12500000
N
N
N
N
N
N
WIN Waste Innovations Holdings, Inc.
549300DJBUN7Z75R2S83
WIN Waste Innovations Holdings, Inc. 2021 Term Loan B
38723BAJ0
131010.00000000
PA
USD
129904.54000000
0.003869164510
Long
LON
CORP
US
N
2
2028-03-24
Floating
3.75600000
N
N
N
N
N
N
NBK TIER 1 FNC LTD
5493000G4QCCEE8YHF19
NBK Tier 1 Ltd
62879NAA5
637000.00000000
PA
USD
594193.60000000
0.017697863289
Long
DBT
CORP
AE
N
2
2026-08-24
Fixed
3.62500000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31417F4J4
434320.05000000
PA
USD
433113.12000000
0.012900133536
Long
ABS-MBS
USGSE
US
N
2
2043-04-01
Fixed
3.00000000
N
N
N
N
N
N
Romark CLO Ltd
N/A
Romark WM-R Ltd
77587AAC0
247404.46000000
PA
USD
246681.30000000
0.007347322359
Long
ABS-CBDO
CORP
KY
N
2
2031-04-20
Floating
1.28400000
N
N
N
N
N
N
Dryden Senior Loan Fund
254900XGNUOV0Y3IBA68
Dryden 77 CLO Ltd
26252VAS0
610000.00000000
PA
USD
605941.67000000
0.018047775736
Long
ABS-CBDO
CORP
KY
N
2
2034-05-20
Floating
1.60000000
N
N
N
N
N
N
CFK Trust
N/A
CFK Trust 2019-FAX
12528XAJ4
728000.00000000
PA
USD
708190.46000000
0.021093222720
Long
ABS-MBS
CORP
US
N
2
2039-01-15
Variable
4.63700000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36202FMA1
221650.95000000
PA
USD
232880.82000000
0.006936279547
Long
ABS-MBS
USGA
US
N
2
2040-11-20
Fixed
4.00000000
N
N
N
N
N
N
BNP Paribas SA
R0MUWSFPU8MPRO8K5P83
PURCHASED MXN / SOLD USD
000000000
1.00000000
NC
899.25000000
0.000026783869
N/A
DFE
MX
N
2
BNP Paribas SA
R0MUWSFPU8MPRO8K5P83
179000.00000000
USD
3588204.68000000
MXN
2022-04-20
899.25000000
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31412RHS9
26250.57000000
PA
USD
27932.46000000
0.000831959244
Long
ABS-MBS
USGSE
US
N
2
2040-04-01
Fixed
4.50000000
N
N
N
N
N
N
TRANSCANADA PIPELINES
5BV01I6231JPDAPMGH09
TransCanada PipeLines Ltd
89352HAM1
509000.00000000
PA
USD
543129.69000000
0.016176941323
Long
DBT
CORP
CA
N
2
2034-03-01
Fixed
4.62500000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140J6DA2
33973.82000000
PA
USD
33662.81000000
0.001002635856
Long
ABS-MBS
USGSE
US
N
2
2031-11-01
Fixed
2.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140X8XE2
1829858.03000000
PA
USD
1704229.77000000
0.050759929899
Long
ABS-MBS
USGSE
US
N
2
2050-12-01
Fixed
2.00000000
N
N
N
N
N
N
MASTR Asset Backed Securities Trust
N/A
Mastr Asset Backed Securities Trust 2007-HE1
576457AD7
621846.00000000
PA
USD
559240.47000000
0.016656795670
Long
ABS-MBS
CORP
US
N
2
2037-05-25
Floating
0.73700000
N
N
N
N
N
N
THERMO FISHER SCIENTIFIC
HCHV7422L5HDJZCRFL38
Thermo Fisher Scientific Inc
883556CM2
540000.00000000
PA
USD
483649.71000000
0.014405349447
Long
DBT
CORP
US
N
2
2041-10-15
Fixed
2.80000000
N
N
N
N
N
N
Goldman Sachs International
W22LROWP2IHZNBB6K528
PURCHASED BRL / SOLD USD
000000000
1.00000000
NC
30657.32000000
0.000913118313
N/A
DFE
BR
N
2
Goldman Sachs International
W22LROWP2IHZNBB6K528
346742.00000000
USD
1796817.04000000
BRL
2022-04-04
30657.32000000
N
N
N
Voya Euro CLO
549300IGE7MPYA8F0423
Voya Euro CLO V DAC
000000000
250000.00000000
PA
265689.11000000
0.007913463803
Long
ABS-CBDO
CORP
IE
N
2
2035-04-15
Floating
3.10000000
N
N
N
N
N
N
T-MOBILE USA INC
549300V2JRLO5DIFGE82
T-Mobile USA Inc
87264ABF1
7297000.00000000
PA
USD
7325014.20000000
0.218173167637
Long
DBT
CORP
US
N
2
2030-04-15
Fixed
3.87500000
N
N
N
N
N
N
Countrywide Home Equity Loan Trust
N/A
CWHEQ Revolving Home Equity Loan Resuritization Trust Series 2006-RES
23242YAT2
232106.06000000
PA
USD
222956.60000000
0.006640689879
Long
ABS-O
CORP
US
N
2
2033-12-15
Floating
0.69700000
N
N
N
N
N
N
TENET HEALTHCARE CORP
0W9AIBT6U6ADJ2I8HK17
Tenet Healthcare Corp
88033GDL1
857000.00000000
PA
USD
821648.75000000
0.024472541018
Long
DBT
CORP
US
N
2
2029-06-01
Fixed
4.25000000
N
N
N
N
N
N
Vericrest Opportunity Loan Transferee
N/A
VOLT CVI LLC
92873KAA4
2410040.21000000
PA
USD
2342100.69000000
0.069758707971
Long
ABS-O
CORP
US
N
2
2051-12-26
Variable
2.73400000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138XPHS5
264817.30000000
PA
USD
270502.53000000
0.008056829954
Long
ABS-MBS
USGSE
US
N
2
2029-02-01
Fixed
3.50000000
N
N
N
N
N
N
Eaton Vance CDO Ltd
5493007R7GEORNX00105
Eaton Vance CLO 2019-1 Ltd
27830VAG5
500000.00000000
PA
USD
493183.50000000
0.014689310284
Long
ABS-CBDO
CORP
KY
N
2
2031-04-15
Floating
6.74100000
N
N
N
N
N
N
Wells Fargo Commercial Mortgage Trust
N/A
Wells Fargo Commercial Mortgage Trust 2015-P2
95000AAC1
283000.00000000
PA
USD
234296.58000000
0.006978447499
Long
ABS-MBS
CORP
US
N
2
2048-12-15
Fixed
3.24100000
N
N
N
N
N
N
SASOL FINANCING USA LLC
549300XRB1PFMESFEL85
Sasol Financing USA LLC
80386WAC9
800000.00000000
PA
USD
764000.00000000
0.022755491733
Long
DBT
CORP
US
N
2
2026-09-18
Fixed
4.37500000
N
N
N
N
N
THERMO FISHER SCIENTIFIC
HCHV7422L5HDJZCRFL38
Thermo Fisher Scientific Inc
883556CE0
1500000.00000000
PA
1487629.36000000
0.044308557073
Long
DBT
CORP
US
N
2
2049-10-01
Fixed
1.87500000
N
N
N
N
N
N
Anchorage Capital Europe CLO
635400HYNZWTWNENDW97
Anchorage Capital Europe CLO 2 DAC
000000000
350000.00000000
PA
380326.07000000
0.011327888405
Long
ABS-CBDO
CORP
IE
N
2
2034-04-15
Floating
3.55000000
N
N
N
N
N
N
Benefit Street Partners CLO Ltd
549300CIOPBDYOSN3T91
Benefit Street Partners Clo XII Ltd
08179HAC4
270000.00000000
PA
USD
268273.62000000
0.007990442594
Long
ABS-CBDO
CORP
KY
N
2
2030-10-15
Floating
2.24100000
N
N
N
N
N
N
Oak Hill Credit Partners
N/A
OHA Credit Funding 3 LTD
67112RAS3
550000.00000000
PA
USD
546431.05000000
0.016275271258
Long
ABS-CBDO
CORP
KY
N
2
2035-07-02
Floating
1.39400000
N
N
N
N
N
N
TEVA PHARMACEUTICALS NE
5493004T21MOAFINJP35
Teva Pharmaceutical Finance Netherlands III BV
88167AAQ4
260000.00000000
PA
USD
249917.20000000
0.007443702589
Long
DBT
CORP
NL
N
2
2029-05-09
Fixed
5.12500000
N
N
N
N
N
SITKA HOLDINGS L
N/A
Sitka Holdings LLC
82987VAA4
920000.00000000
PA
USD
877454.96000000
0.026134710849
Long
DBT
CORP
KY
N
2
2026-07-06
Floating
5.50600000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31412TMY6
94367.39000000
PA
USD
100355.54000000
0.002989057147
Long
ABS-MBS
USGSE
US
N
2
2038-06-01
Fixed
5.50000000
N
N
N
N
N
N
United States Treasury
254900HROIFWPRGM1V77
United States Treasury Note/Bond
91282CCB5
1989000.00000000
PA
USD
1872612.43000000
0.055775152710
Long
DBT
UST
US
N
2
2031-05-15
Fixed
1.62500000
N
N
N
N
N
N
Morgan Stanley
IGJSJL3JD5P30I6NJZ34
Morgan Stanley
61744YAP3
1405000.00000000
PA
USD
1415963.44000000
0.042174010934
Long
DBT
CORP
US
N
2
2029-01-24
Fixed
3.77200000
N
N
N
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
Long: SRWYXHT97 IRS USD R F 2.88750 2 CCPINFLATIONZERO / Short: SRWYXHT97 IRS USD P V 12MUSCPI 1 CCPINFLATIONZERO
000000000
8284000.00000000
OU
Notional Amount
USD
-206798.79000000
-0.00615943475
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
Inflation based on US CPI Urban Consumers NSA
2032-02-28
170.66000000
USD
0.00000000
USD
8284000.00000000
USD
-206969.45000000
N
N
N
GOLDMAN SACHS GROUP INC
784F5XWPLTWKTBV3E584
Goldman Sachs Group Inc/The
38141GYE8
4073000.00000000
PA
USD
3939335.67000000
0.117331832818
Long
DBT
CORP
US
N
2
2024-09-10
Fixed
0.65700000
N
N
N
N
N
N
BRF SA
254900MTXR9LUVQFU480
BRF SA
10552TAH0
450000.00000000
PA
USD
396000.00000000
0.011794731317
Long
DBT
CORP
BR
N
2
2050-09-21
Fixed
5.75000000
N
N
N
N
N
BERKSHIRE HATHAWAY FIN
549300RLHFT5RU20WM87
Berkshire Hathaway Finance Corp
084664DB4
471000.00000000
PA
USD
481629.07000000
0.014345165341
Long
DBT
CORP
US
N
2
2052-03-15
Fixed
3.85000000
N
N
N
N
N
N
Trinity Acquisition PLC
549300FJZWZN6MJNGB63
Trinity Acquisition PLC
89641UAC5
190000.00000000
PA
USD
196283.83000000
0.005846250092
Long
DBT
CORP
GB
N
2
2026-03-15
Fixed
4.40000000
N
N
N
N
N
N
GENERAL MOTORS FINL CO
5493008B6JBRUJ90QL97
General Motors Financial Co Inc
37045XDP8
1163000.00000000
PA
USD
1040771.87000000
0.030999051942
Long
DBT
CORP
US
N
2
2028-10-15
Fixed
2.40000000
N
N
N
N
N
N
Altice USA Inc
54930064K3612MGCER95
Altice USA Inc
02156K103
11862.00000000
NS
USD
148037.76000000
0.004409256575
Long
EC
CORP
US
N
1
N
N
N
New York City Municipal Water Finance Authority
549300Q2EHQ6RJPQKP05
NEW YORK CITY NY MUNI WTR FIN AUTH WTR & SWR SYS REVENUE
64972FY34
270000.00000000
PA
USD
365383.60000000
0.010882831792
Long
DBT
MUN
US
N
2
2044-06-15
Fixed
5.88200000
N
N
N
N
N
N
Citibank N.A.
E57ODZWZ7FF32TWEFA76
PURCHASED USD / SOLD RUB
000000000
1.00000000
NC
-50391.37000000
-0.00150089058
N/A
DFE
US
N
2
Citibank N.A.
E57ODZWZ7FF32TWEFA76
48812698.90000000
RUB
520114.00000000
USD
2022-05-25
-50391.37000000
N
N
N
FULL HOUSE RESORTS INC
5493009DKIWW0H901Y82
Full House Resorts Inc
359678AC3
253000.00000000
PA
USD
258692.50000000
0.007705072048
Long
DBT
CORP
US
N
2
2028-02-15
Fixed
8.25000000
N
N
N
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
Long: SRWVA2VM9 IRS USD R F 2.89250 2 CCPINFLATIONZERO / Short: SRWVA2VM9 IRS USD P V 12MUSCPI 1 CCPINFLATIONZERO
000000000
4199500.00000000
OU
Notional Amount
USD
-182737.42000000
-0.00544277467
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
Inflation based on US CPI Urban Consumers NSA
2031-11-15
84.01000000
USD
0.00000000
USD
4199500.00000000
USD
-182821.43000000
N
N
N
Countrywide Asset-Backed Certificates
N/A
CWHEQ Home Equity Loan Trust Series 2006-S5
126683AE1
64274.25000000
PA
USD
80488.67000000
0.002397328880
Long
ABS-MBS
CORP
US
N
2
2035-06-25
Fixed
6.15500000
N
N
N
N
N
N
Ajax Mortgage Loan Trust
N/A
Ajax Mortgage Loan Trust 2019-A
00969LAC6
1105347.92000000
PA
USD
1318834.60000000
0.039281059997
Long
ABS-O
CORP
US
N
2
2057-08-25
None
0.00000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Pool
3133KMW84
4590793.83000000
PA
USD
4264851.51000000
0.127027216334
Long
ABS-MBS
USGSE
US
N
2
2051-10-01
Fixed
2.00000000
N
N
N
N
N
N
MOODY'S CORPORATION
549300GCEDD8YCF5WU84
Moody's Corp
615369AY1
126000.00000000
PA
USD
124181.54000000
0.003698706815
Long
DBT
CORP
US
N
2
2052-02-25
Fixed
3.75000000
N
N
N
N
N
N
CCO HLDGS LLC/CAP CORP
N/A
CCO Holdings LLC / CCO Holdings Capital Corp
1248EPCB7
569000.00000000
PA
USD
569000.00000000
0.016947480099
Long
DBT
CORP
US
N
2
2029-06-01
Fixed
5.37500000
N
N
N
N
N
N
Whitebox CLO I Ltd
549300E4AC0513DYO913
Whitebox Clo I Ltd
96467FAQ3
500000.00000000
PA
USD
493633.00000000
0.014702698495
Long
ABS-CBDO
CORP
KY
N
2
2032-07-24
Floating
3.30900000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31417FR75
3272205.17000000
PA
USD
3265107.99000000
0.097250180464
Long
ABS-MBS
USGSE
US
N
2
2043-03-01
Fixed
3.00000000
N
N
N
N
N
N
Northrop Grumman Corp
RIMU48P07456QXSO0R61
Northrop Grumman Corp
666807BP6
700000.00000000
PA
USD
736523.73000000
0.021937119960
Long
DBT
CORP
US
N
2
2047-10-15
Fixed
4.03000000
N
N
N
N
N
N
WESTERN DIGITAL CORP
549300QQXOOYEF89IC56
Western Digital Corp
958102AQ8
293000.00000000
PA
USD
267681.87000000
0.007972817513
Long
DBT
CORP
US
N
2
2029-02-01
Fixed
2.85000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
3132HNMK2
118693.23000000
PA
USD
121151.68000000
0.003608463419
Long
ABS-MBS
USGSE
US
N
2
2042-08-01
Fixed
3.50000000
N
N
N
N
N
N
JP Morgan Chase Commercial Mortgage Sec Trust
N/A
JP Morgan Chase Commercial Mortgage Securities Trust 2012-CIBX
46637WAJ2
14615.36000000
PA
USD
14622.21000000
0.000435517773
Long
ABS-MBS
CORP
US
N
2
2045-06-15
Floating
1.74100000
N
N
N
N
N
N
CITGO HOLDING INC
549300NYHOALWZ2BSL72
Citgo Holding Inc
17302WAB4
375000.00000000
PA
USD
378750.00000000
0.011280945672
Long
DBT
CORP
US
Y
2
2024-08-01
Fixed
9.25000000
N
N
N
N
N
KKR Industrial Portfolio Trust
N/A
KKR Industrial Portfolio Trust 2021-KDIP
48254CAS4
420000.00000000
PA
USD
406293.09000000
0.012101307658
Long
ABS-MBS
CORP
US
N
2
2037-12-15
Floating
2.44700000
N
N
N
N
N
N
Ajax Mortgage Loan Trust
N/A
Ajax Mortgage Loan Trust 2020-A
00969WAB4
732498.76000000
PA
USD
715237.21000000
0.021303107878
Long
ABS-O
CORP
US
N
2
2059-12-25
Variable
3.50000000
N
N
N
N
N
N
St Pauls CLO
635400REBCMBKKLQ8M86
St Paul's CLO VI DAC
000000000
500000.00000000
PA
538738.65000000
0.016046155623
Long
ABS-CBDO
CORP
IE
N
2
2034-05-20
Floating
3.30000000
N
N
N
N
N
N
FACTSET RESEARCH SYSTEMS
549300ZSJE7NBK6K9P30
FactSet Research Systems Inc
303075AB1
1093000.00000000
PA
USD
1055802.44000000
0.031446732585
Long
DBT
CORP
US
N
2
2032-03-01
Fixed
3.45000000
N
N
N
N
N
N
Long Beach Mortgage Loan Trust
N/A
Long Beach Mortgage Loan Trust 2006-7
54251TAD1
550872.97000000
PA
USD
263627.15000000
0.007852048995
Long
ABS-O
CORP
US
N
2
2036-08-25
Floating
0.61700000
N
N
N
N
N
N
Intercontinental Exchange, Inc.
5493000F4ZO33MV32P92
Long: BRTVTKUR3 CDS USD R V 03MEVENT 1 CORPORATE / Short: BRTVTKUR3 CDS USD P F 5.00000 2 CORPORATE
000000000
250000.00000000
OU
Notional Amount
USD
-13280.84000000
-0.00039556550
N/A
DCR
US
N
2
Intercontinental Exchange, Inc.
5493000F4ZO33MV32P92
BEAZER HOMES USA
BEAZER HOMES USA
Y
buy protection
2024-06-20
0.00000000
USD
-6560.66000000
USD
250000.00000000
USD
-6720.18000000
N
N
N
HUMANA INC
529900YLDW34GJAO4J06
Humana Inc
444859BN1
713000.00000000
PA
USD
768337.26000000
0.022884675613
Long
DBT
CORP
US
N
2
2030-04-01
Fixed
4.87500000
N
N
N
N
N
N
Canyon Capital CLO Ltd
N/A
Canyon CLO 2020-3 Ltd
13876RAE4
290000.00000000
PA
USD
288129.21000000
0.008581834890
Long
ABS-CBDO
CORP
KY
N
2
2034-01-15
Floating
1.94100000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36179RBX6
50573.31000000
PA
USD
51762.60000000
0.001541732220
Long
ABS-MBS
USGA
US
N
2
2045-04-20
Fixed
3.50000000
N
N
N
N
N
N
Countrywide Home Loans
N/A
CHL Mortgage Pass-Through Trust 2006-OA4
126694E95
3278418.34000000
PA
USD
1229404.25000000
0.036617406083
Long
ABS-MBS
CORP
US
N
2
2046-04-25
Floating
1.10100000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae
21H032647
18100496.00000000
PA
USD
18199483.09000000
0.542065689798
Long
ABS-MBS
USGA
US
N
2
2052-04-21
Fixed
3.50000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36179NBB3
858315.63000000
PA
USD
881266.54000000
0.026248237520
Long
ABS-MBS
USGA
US
N
2
2043-04-20
Fixed
3.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140J7X91
38135.07000000
PA
USD
37793.42000000
0.001125664733
Long
ABS-MBS
USGSE
US
N
2
2030-02-01
Fixed
2.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140J5JU4
883857.07000000
PA
USD
898262.24000000
0.026754448922
Long
ABS-MBS
USGSE
US
N
2
2047-05-01
Fixed
3.50000000
N
N
N
N
N
N
GOLDMAN SACHS GROUP INC
784F5XWPLTWKTBV3E584
Goldman Sachs Group Inc/The
38141GZK3
3293000.00000000
PA
USD
3148525.62000000
0.093777812458
Long
DBT
CORP
US
N
2
2028-02-24
Fixed
2.64000000
N
N
N
N
N
N
Countrywide Alternative Loan Trust
N/A
Alternative Loan Trust 2006-OA9
02146YAD8
1812297.30000000
PA
USD
1387440.81000000
0.041324473668
Long
ABS-MBS
CORP
US
N
2
2046-07-20
Floating
0.64900000
N
N
N
N
N
N
Alabama Power Co
0RL818ELFOHP5JHOFU19
Alabama Power Co
010392FL7
10000.00000000
PA
USD
10151.53000000
0.000302360022
Long
DBT
CORP
US
N
2
2044-08-15
Fixed
4.15000000
N
N
N
N
N
N
Intercontinental Exchange, Inc.
5493000F4ZO33MV32P92
Long: B95NC6713 CDS EUR R V 03MEVENT 1 CCPCDX / Short: B95NC6713 CDS EUR P F 5.00000 2 CCPCDX
000000000
3653000.00000000
OU
Notional Amount
-291676.66000000
-0.00868749453
N/A
DCR
US
N
2
Intercontinental Exchange, Inc.
5493000F4ZO33MV32P92
iTraxx Europe Crossover S27
2I667KJP4
Y
buy protection
2027-06-20
0.00000000
EUR
-223911.71000000
EUR
3653000.00000000
EUR
-45072.41000000
N
N
N
REPUBLIC OF PHILIPPINES
529900RAHBALMYIJ3T08
Philippine Government International Bond
718286CC9
1834000.00000000
PA
USD
1841345.81000000
0.054843886593
Long
DBT
NUSS
PH
N
2
2028-02-01
Fixed
3.00000000
N
N
N
N
N
N
Buckeye Partners LP
549300C1PQJLVEIUBK50
Buckeye Partners LP
118230AN1
500000.00000000
PA
USD
502495.00000000
0.014966650286
Long
DBT
CORP
US
N
2
2024-10-15
Fixed
4.35000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138WFKW5
335821.11000000
PA
USD
347754.33000000
0.010357749714
Long
ABS-MBS
USGSE
US
N
2
2030-08-01
Fixed
3.50000000
N
N
N
N
N
N
INVITATION HOMES OP
549300147YMUQB3GW319
Invitation Homes Operating Partnership LP
46188BAD4
1048000.00000000
PA
USD
1070289.22000000
0.031878216620
Long
DBT
US
N
2
2032-04-15
Fixed
4.15000000
N
N
N
N
N
N
CENTERPOINT ENER HOUSTON
549300S8SEQBOJLKHW63
CenterPoint Energy Houston Electric LLC
15189XAW8
530000.00000000
PA
USD
504689.04000000
0.015031999054
Long
DBT
CORP
US
N
2
2051-04-01
Fixed
3.35000000
N
N
N
N
N
N
Apex Tool Group, LLC
549300LWC59TPOM4ZR02
Apex Tool Group, LLC 2022 Term Loan
03759DAK4
1074609.37000000
PA
USD
1049759.03000000
0.031266731582
Long
LON
CORP
US
N
2
2029-02-08
Floating
5.75000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140EW4R3
146662.61000000
PA
USD
145287.16000000
0.004327330848
Long
ABS-MBS
USGSE
US
N
2
2031-11-01
Fixed
2.50000000
N
N
N
N
N
N
UNITED AIR 2019-2 AA PTT
N/A
United Airlines 2019-2 Class AA Pass Through Trust
90932JAA0
542635.42000000
PA
USD
496742.79000000
0.014795322580
Long
DBT
CORP
US
N
2
2032-05-01
Fixed
2.70000000
N
N
N
N
N
N
IBM CORP
VGRQXHF3J8VDLUA7XE92
International Business Machines Corp
459200KP5
581000.00000000
PA
USD
553490.36000000
0.016485530512
Long
DBT
CORP
US
N
2
2052-02-09
Fixed
3.43000000
N
N
N
N
N
N
Republic of Ghana
213800PP4399SNNXZ126
Ghana Government International Bond
000000000
488000.00000000
PA
USD
353312.00000000
0.010523283109
Long
DBT
NUSS
GH
Y
2
2029-05-16
Fixed
7.62500000
N
N
N
N
N
N
RELX CAPITAL INC
2R15C3RTKJN1RCBOV146
RELX Capital Inc
74949LAD4
2389000.00000000
PA
USD
2282532.18000000
0.067984479258
Long
DBT
CORP
US
N
2
2030-05-22
Fixed
3.00000000
N
N
N
N
N
N
SCIENTIFIC GAMES HOLDINGS LP
N/A
SCIENTIFIC GAMES HOLDINGS LP
000000000
1603000.00000000
PA
USD
1590309.05000000
0.047366838273
Long
LON
CORP
US
N
2
2029-02-04
None
0.00000000
N
N
N
N
N
N
MP Clo III, LTD
549300FWSFBNCWDD1P18
MP CLO III LTD
553205AC9
1010000.00000000
PA
USD
1003516.81000000
0.029889422086
Long
ABS-CBDO
CORP
KY
N
2
2030-10-20
Floating
1.50400000
N
N
N
N
N
N
CHARTER COMM OPT LLC/CAP
N/A
Charter Communications Operating LLC / Charter Communications Operating Capital
161175BL7
745000.00000000
PA
USD
762798.82000000
0.022719714977
Long
DBT
CORP
US
N
2
2047-05-01
Fixed
5.37500000
N
N
N
N
N
N
Octagon Investment Partners 33 Ltd
549300IDWDG12HO3TO90
Octagon Investment Partners 33 Ltd
675711AA3
250000.00000000
PA
USD
248819.00000000
0.007410993059
Long
ABS-CBDO
CORP
KY
N
2
2031-01-20
Floating
1.44400000
N
N
N
N
N
N
Park Hotels & Resorts Inc
5493005UZ5TQN0H6HS73
Park Hotels & Resorts Inc
700517105
36027.00000000
NS
USD
703607.31000000
0.020956715086
Long
EC
US
N
1
N
N
N
TVC Mortgage Trust 2020-RTL1
N/A
TVC Mortgage Trust 2020-RTL1
90114YAA7
306492.10000000
PA
USD
306284.88000000
0.009122595621
Long
ABS-MBS
CORP
US
N
2
2024-09-25
Fixed
3.47400000
N
N
N
N
N
N
Henley CLO
6354009HFM8XXW6PPK55
Henley CLO IV DAC
000000000
100000.00000000
PA
107710.78000000
0.003208130581
Long
ABS-CBDO
CORP
IE
Y
2
2034-04-25
Floating
1.35000000
N
N
N
N
N
N
Climate Real Impact Solutions II Acquisition Corp
N/A
Climate Real Impact Solutions II Acquisition Corp
187171111
1816.00000000
NS
USD
835.36000000
0.000024880926
N/A
DE
US
N
1
N/A
N/A
Call
Purchased
3M Co
3M Co
11.50000000
11.50000000
USD
2027-12-31
XXXX
-1027.36000000
N
N
N
VERIZON COMMUNICATIONS
2S72QS2UO2OESLG6Y829
Verizon Communications Inc
92343VFR0
2558000.00000000
PA
USD
2230243.87000000
0.066427088936
Long
DBT
CORP
US
N
2
2031-01-20
Fixed
1.75000000
N
N
N
N
N
N
Freedom Mortgage Corp
549300LYRWPSYPK6S325
Freedom Mortgage Corp
35640YAA5
425000.00000000
PA
USD
423406.25000000
0.012611017567
Long
DBT
CORP
US
N
2
2024-11-15
Fixed
8.12500000
N
N
N
N
N
N
Velocity Commercial Capital Loan Trust
N/A
Velocity Commercial Capital Loan Trust 2017-2
92258VAF4
60039.50000000
PA
USD
58449.13000000
0.001740888343
Long
ABS-MBS
CORP
US
N
2
2047-11-25
Variable
5.00000000
N
N
N
N
N
N
JP Morgan Mortgage Trust
N/A
J.P. Morgan Mortgage Trust 2021-INV7
46654CAW5
39621.99000000
PA
USD
30473.38000000
0.000907639720
Long
ABS-MBS
CORP
US
N
2
2052-02-25
Variable
3.27200000
N
N
N
N
N
N
JP Morgan Mortgage Trust
N/A
J.P. Morgan Mortgage Trust 2021-INV7
46654CAT2
129762.00000000
PA
USD
117536.19000000
0.003500777225
Long
ABS-MBS
CORP
US
N
2
2052-02-25
Variable
3.27200000
N
N
N
N
N
N
Triton Water Holdings, Inc
5493005IYCEL7QJFZZ63
Triton Water Holdings, Inc Term Loan
89678QAB2
374172.70000000
PA
USD
365870.56000000
0.010897335737
Long
LON
CORP
US
N
2
2028-03-31
Floating
4.50600000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36179RLP2
49765.92000000
PA
USD
50857.57000000
0.001514776195
Long
ABS-MBS
USGA
US
N
2
2045-08-20
Fixed
3.50000000
N
N
N
N
N
N
Element Solutions Inc
549300FLGN6P5CU20J91
Element Solutions Inc
28618M106
25267.00000000
NS
USD
553347.30000000
0.016481269516
Long
EC
CORP
US
N
1
N
N
N
CNH INDUSTRIAL CAP LLC
549300PNSJ5B81UMVO28
CNH Industrial Capital LLC
12592BAJ3
2941000.00000000
PA
USD
2999385.53000000
0.089335723341
Long
DBT
CORP
US
N
2
2024-01-15
Fixed
4.20000000
N
N
N
N
N
N
Legacy Mortgage Asset Trust
N/A
Legacy Mortgage Asset Trust 2021-GS2
52476DAA5
3483436.29000000
PA
USD
3321070.19000000
0.098916996406
Long
ABS-MBS
CORP
US
N
2
2061-04-25
Variable
1.75000000
N
N
N
N
N
N
PENSKE TRUCK LEASING/PTL
N/A
Penske Truck Leasing Co Lp / PTL Finance Corp
709599BL7
863000.00000000
PA
USD
792070.27000000
0.023591555603
Long
DBT
CORP
US
N
2
2025-11-15
Fixed
1.20000000
N
N
N
N
N
N
CENTERPOINT ENER HOUSTON
549300S8SEQBOJLKHW63
CenterPoint Energy Houston Electric LLC
15189XAY4
352000.00000000
PA
USD
352486.01000000
0.010498681265
Long
DBT
CORP
US
N
2
2052-03-01
Fixed
3.60000000
N
N
N
N
N
N
BANK OF AMERICA CORP
9DJT3UXIJIZJI4WXO774
Bank of America Corp
06051GJS9
5800000.00000000
PA
USD
5386372.83000000
0.160431364405
Long
DBT
CORP
US
N
2
2027-07-22
Fixed
1.73400000
N
N
N
N
N
N
Options Clearing Corp.
549300CII6SLYGKNHA04
DIAMONDBACK ENERGY INC MAY22 150 CALL
000000000
86.00000000
NC
USD
48590.00000000
0.001447237360
N/A
DE
US
N
1
Options Clearing Corp.
549300CII6SLYGKNHA04
Call
Purchased
Diamondback Energy Inc
Diamondback Energy Inc
100.00000000
150.00000000
USD
2022-05-20
XXXX
-8484.69000000
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
3617BFTR3
347509.02000000
PA
USD
365976.99000000
0.010900505720
Long
ABS-MBS
USGA
US
N
2
2048-09-20
Fixed
4.50000000
N
N
N
N
N
N
Discover Bank
X05BVSK68TQ7YTOSNR22
Discover Bank
25466AAJ0
621000.00000000
PA
USD
617393.83000000
0.018388874600
Long
DBT
CORP
US
N
2
2026-07-27
Fixed
3.45000000
N
N
N
N
N
N
REPUBLIC OF INDONESIA
529900FWX0GRR7WG5W79
Indonesia Government International Bond
455780CW4
1965000.00000000
PA
USD
1775561.64000000
0.052884526467
Long
DBT
NUSS
ID
N
2
2051-03-12
Fixed
3.05000000
N
N
N
N
N
Textron Inc
3PPKBHUG1HD6BO7RNR87
Textron Inc
883203CA7
1540000.00000000
PA
USD
1567180.89000000
0.046677973543
Long
DBT
CORP
US
N
2
2029-09-17
Fixed
3.90000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140QM4T8
1508455.45000000
PA
USD
1453021.61000000
0.043277776485
Long
ABS-MBS
USGSE
US
N
2
2052-01-01
Fixed
2.50000000
N
N
N
N
N
N
Barclays Bank PLC
G5GSEF7VJP5I7OUK5573
Long: BRWWF00S7 CDS USD R V 03MEVENT 1 SOVEREIGN / Short: BRWWF00S7 CDS USD P F 1.00000 2 SOVEREIGN
000000000
526000.00000000
OU
Notional Amount
USD
3195.60000000
0.000095179907
N/A
DCR
US
N
2
Barclays Bank PLC
G5GSEF7VJP5I7OUK5573
FED REPUBLIC OF BRAZIL
FED REPUBLIC OF BRAZIL
Y
buy protection
2024-12-20
7110.06000000
USD
0.00000000
USD
526000.00000000
USD
-3914.46000000
N
N
N
Progress Residential Trust
N/A
Progress Residential 2021-SFR10 Trust
74333WAL6
348000.00000000
PA
USD
316839.11000000
0.009436949932
Long
ABS-O
CORP
US
N
2
2040-12-17
Fixed
3.66600000
N
N
N
N
N
N
CIFC Funding Ltd
N/A
CIFC Funding 2021-IV Ltd
12547DAA4
1100000.00000000
PA
USD
1094905.90000000
0.032611416434
Long
ABS-CBDO
CORP
KY
N
2
2033-07-15
Floating
1.29100000
N
N
N
N
N
N
BNP Paribas SA
R0MUWSFPU8MPRO8K5P83
Long: BRWYGBHY7 TRS USD R V 12MSOFR BRWYGBJ09 EQUITYTRS -7 BPS / Short: BRWYGBHY7 TRS USD P E BRWYGBHZ4 EQUITYTRS
000000000
332709.41000000
OU
Notional Amount
USD
-28505.99000000
-0.00084904164
N/A
DE
US
N
2
BNP Paribas SA
R0MUWSFPU8MPRO8K5P83
Universal Health Services Inc
Universal Health Services Inc
Y
equity-performance leg
2022-08-10
0.00000000
USD
0.00000000
USD
332709.41000000
USD
-28505.99000000
N
N
N
Preston Ridge Partners Mortgage Trust
N/A
PRPM 2020-4 LLC
69359XAA7
1225544.18000000
PA
USD
1194164.00000000
0.035567786688
Long
ABS-O
CORP
US
N
2
2025-10-25
Variable
2.95100000
N
N
N
N
N
N
DANSKE BANK A/S
MAES062Z21O4RZ2U7M96
Danske Bank A/S
23636AAY7
610000.00000000
PA
USD
602130.07000000
0.017934248468
Long
DBT
CORP
DK
N
2
2023-12-08
Fixed
1.17100000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31402RA58
104371.05000000
PA
USD
114146.01000000
0.003399801815
Long
ABS-MBS
USGSE
US
N
2
2033-12-01
Fixed
5.50000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36197MRR1
109206.47000000
PA
USD
118199.29000000
0.003520527443
Long
ABS-MBS
USGA
US
N
2
2047-04-15
Fixed
4.50000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Pool
3132DMRH0
144382.99000000
PA
USD
148767.40000000
0.004430988666
Long
ABS-MBS
USGSE
US
N
2
2049-05-01
Fixed
4.00000000
N
N
N
N
N
N
Morgan Stanley Capital I Trust
N/A
Morgan Stanley Capital I Trust 2014-150E
61764BAN3
527000.00000000
PA
USD
498930.66000000
0.014860487577
Long
ABS-MBS
CORP
US
N
2
2032-09-09
Variable
4.29500000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
3132XWBS9
193185.79000000
PA
USD
196208.28000000
0.005843999860
Long
ABS-MBS
USGSE
US
N
2
2048-01-01
Fixed
3.50000000
N
N
N
N
N
N
UMBS, TBA
N/A
Uniform Mortgage-Backed Security, TBA
01F022659
29482000.00000000
PA
USD
28069364.07000000
0.836036887507
Long
ABS-MBS
USGSE
US
N
2
2052-05-15
Fixed
2.50000000
N
N
N
N
N
N
Bear Stearns Asset Backed Securities Trust
N/A
Bear Stearns Asset Backed Securities I Trust 2004-HE7
073879EV6
28567.20000000
PA
USD
28305.12000000
0.000843058801
Long
ABS-MBS
CORP
US
N
2
2034-08-25
Floating
2.18200000
N
N
N
N
N
N
The Enterprise Development Authority
N/A
The Enterprise Development Authority Term Loan B
000000000
579425.00000000
PA
USD
576165.73000000
0.017160909039
Long
LON
CORP
US
N
2
2028-02-28
Floating
5.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140Q9ZW6
2663946.55000000
PA
USD
2790056.77000000
0.083100934247
Long
ABS-MBS
USGSE
US
N
2
2033-10-01
Fixed
4.00000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36177Q6Y4
110249.05000000
PA
USD
111378.78000000
0.003317380769
Long
ABS-MBS
USGA
US
N
2
2042-08-15
Fixed
3.50000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36179UPB2
1349382.08000000
PA
USD
1403037.26000000
0.041789008863
Long
ABS-MBS
USGA
US
N
2
2049-03-20
Fixed
4.50000000
N
N
N
N
N
N
Republic of Panama
549300SHS4T08CL0LP14
Panama Government International Bond
698299BF0
1279000.00000000
PA
USD
1306050.85000000
0.038900300157
Long
DBT
NUSS
PA
N
2
2028-03-17
Fixed
3.87500000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140QGSZ1
465245.00000000
PA
USD
485950.04000000
0.014473864028
Long
ABS-MBS
USGSE
US
N
2
2051-01-01
Fixed
4.00000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Pool
3133KYWH8
941803.71000000
PA
USD
883861.95000000
0.026325540964
Long
ABS-MBS
USGSE
US
N
2
2042-03-01
Fixed
2.00000000
N
N
N
N
N
N
Prodigy Finance Designated Activity Co
635400HTAZNW3LYYMQ40
Prodigy Finance CM2021-1 DAC
742855AA7
1027130.65000000
PA
USD
1024988.16000000
0.030528939269
Long
ABS-O
CORP
IE
N
2
2051-07-25
Floating
1.70700000
N
N
N
N
N
N
BANK OF AMERICA CORP
9DJT3UXIJIZJI4WXO774
Bank of America Corp
06051GJE0
1008000.00000000
PA
USD
851113.12000000
0.025350127704
Long
DBT
CORP
US
N
2
2041-06-19
Fixed
2.67600000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36189MS74
51181.50000000
PA
USD
52830.37000000
0.001573535402
Long
ABS-MBS
USGA
US
N
2
2046-10-20
Fixed
4.00000000
N
N
N
N
N
N
Barclays Bank PLC
G5GSEF7VJP5I7OUK5573
BRWZE8LM4 BLACKROCK FXVAN CALL USD CLP 855.0000000
000000000
-1392000.00000000
OU
Notional Amount
USD
-3378.38000000
-0.00010062395
N/A
DFE
US
N
2
Barclays Bank PLC
G5GSEF7VJP5I7OUK5573
Call
Written
Barclays Bank PLC
G5GSEF7VJP5I7OUK5573
Barclays Bank PLC
G5GSEF7VJP5I7OUK5573
FX Contract
N/A
1.00000000
NC
USD
-3378.38000000
0.00000000
DFE
US
-1392000.00000000
JPY
-1190160000.00000000
USD
2022-05-06
1.00000000
855.00000000
USD
2022-05-06
XXXX
16652.50000000
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Pool
3132DMRG2
386115.78000000
PA
USD
389840.28000000
0.011611266058
Long
ABS-MBS
USGSE
US
N
2
2050-08-01
Fixed
3.50000000
N
N
N
N
N
N
Bayview Commercial Asset Trust
N/A
Bayview Commercial Asset Trust 2005-4
07324SCR1
76791.10000000
PA
USD
72438.30000000
0.002157551226
Long
ABS-MBS
CORP
US
N
2
2036-01-25
Floating
0.90700000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae
21H050656
3623000.00000000
PA
USD
3778958.81000000
0.112555060159
Long
ABS-MBS
USGA
US
N
2
2052-05-19
Fixed
5.00000000
N
N
N
N
N
N
Synchrony Financial
549300RS7EWPM9MA6C78
Synchrony Financial
87165BAG8
24000.00000000
PA
USD
24481.40000000
0.000729170543
Long
DBT
CORP
US
N
2
2025-07-23
Fixed
4.50000000
N
N
N
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
Long: SRWUU1DH2 IRS USD R F 2.87750 2 CCPINFLATIONZERO / Short: SRWUU1DH2 IRS USD P V 12MUSCPI 1 CCPINFLATIONZERO
000000000
8003000.00000000
OU
Notional Amount
USD
-364581.63000000
-0.01085894537
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
Inflation based on US CPI Urban Consumers NSA
2031-11-01
159.45000000
USD
0.00000000
USD
8003000.00000000
USD
-364741.08000000
N
N
N
ENERGY TRANSFER LP
MTLVN9N7JE8MIBIJ1H73
Energy Transfer LP
29278NAR4
2541000.00000000
PA
USD
2571083.00000000
0.076578871665
Long
DBT
CORP
US
N
2
2050-05-15
Fixed
5.00000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36196FZF4
164478.42000000
PA
USD
167676.28000000
0.004994183512
Long
ABS-MBS
USGA
US
N
2
2046-10-20
Fixed
3.50000000
N
N
N
N
N
N
CSX CORP
549300JVQR4N1MMP3Q88
CSX Corp
126408HR7
309000.00000000
PA
USD
287617.57000000
0.008566595859
Long
DBT
CORP
US
N
2
2049-09-15
Fixed
3.35000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae
21H020642
39558200.00000000
PA
USD
37629737.75000000
1.120789510862
Long
ABS-MBS
USGA
US
N
2
2052-04-21
Fixed
2.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138LSK41
195879.20000000
PA
USD
203458.26000000
0.006059938159
Long
ABS-MBS
USGSE
US
N
2
2042-05-01
Fixed
4.00000000
N
N
N
N
N
N
IPS CORPORATION
25490024F0AS5UR7DB02
IPS Corporation 2021 Delayed Draw Term Loan
12659EAD0
58543.88000000
PA
USD
57373.00000000
0.001708836161
Long
LON
CORP
US
N
2
2028-10-02
Fixed
3.50000000
N
N
N
N
N
N
Ajax Mortgage Loan Trust
N/A
Ajax Mortgage Loan Trust 2018-D
00968EAB5
814621.31000000
PA
USD
575448.49000000
0.017139546279
Long
ABS-O
CORP
US
N
2
2058-08-25
Variable
0.00000000
N
N
N
N
N
N
HSBC Bank PLC
MP6I5ZYZBEU3UXPYFY54
PURCHASED USD / SOLD MXN
000000000
1.00000000
NC
-12323.68000000
-0.00036705680
N/A
DFE
US
N
2
HSBC Bank PLC
MP6I5ZYZBEU3UXPYFY54
10378186.00000000
MXN
508000.00000000
USD
2022-04-20
-12323.68000000
N
N
N
AIR CANADA 2017-1B PTT
N/A
Air Canada 2017-1 Class B Pass Through Trust
00908PAC1
6574.07000000
PA
USD
6276.39000000
0.000186940236
Long
DBT
CORP
CA
N
2
2026-01-15
Fixed
3.70000000
N
N
N
N
N
N
BURGAN BANK
558600NC81HKXMFSTY52
Burgan Bank SAK
000000000
292000.00000000
PA
USD
283240.00000000
0.008436211359
Long
DBT
CORP
KW
Y
2
2024-07-09
Fixed
5.74900000
N
N
N
N
N
N
SONDER WARRANTS EQUITY
N/A
SONDER WARRANTS EQUITY
000000000
20820.00000000
NS
USD
8328.00000000
0.000248046773
N/A
DE
US
Y
3
N/A
N/A
Call
Purchased
Sonder Holdings Inc
Sonder Holdings Inc
1.00000000
1.00000000
USD
2099-12-31
XXXX
8328.00000000
N
N
N
Aqua Finance Trust
N/A
Aqua Finance Trust 2021-A
03842VAB3
430000.00000000
PA
USD
395201.73000000
0.011770955104
Long
ABS-O
CORP
US
N
2
2046-07-17
Fixed
2.40000000
N
N
N
N
N
N
MARSH & MCLENNAN COS INC
549300XMP3KDCKJXIU47
Marsh & McLennan Cos Inc
571748BM3
1046000.00000000
PA
1150668.85000000
0.034272297780
Long
DBT
CORP
US
N
2
2030-03-21
Fixed
1.97900000
N
N
N
N
N
N
Citibank N.A.
E57ODZWZ7FF32TWEFA76
PURCHASED USD / SOLD TRY
000000000
1.00000000
NC
-12385.09000000
-0.00036888588
N/A
DFE
US
N
2
Citibank N.A.
E57ODZWZ7FF32TWEFA76
5568000.00000000
TRY
348000.00000000
USD
2022-06-08
-12385.09000000
N
N
N
MAVERICK GAMING LLC
N/A
Maverick Gaming LLC Term Loan B
000000000
487550.00000000
PA
USD
482065.06000000
0.014358151162
Long
LON
CORP
US
N
2
2026-09-03
Floating
8.50000000
N
N
N
N
N
N
DT Midstream, Inc
N/A
DT Midstream, Inc Term Loan B
23345NAB1
713415.00000000
PA
USD
713303.71000000
0.021245519209
Long
LON
CORP
US
N
2
2028-06-26
Floating
2.50000000
N
N
N
N
N
N
CIFC Funding Ltd
549300QSQ98IRWUWDV20
CIFC Funding 2013-IV Ltd
12549FBP3
250000.00000000
PA
USD
248917.25000000
0.007413919404
Long
ABS-CBDO
CORP
KY
N
2
2031-04-27
Floating
1.86800000
N
N
N
N
N
N
JPMorgan Chase Bank N.A.
7H6GLXDRUGQFU57RNE97
Long: BRW2VGNQ9 CDS USD R V 03MEVENT 1 CORPORATE / Short: BRW2VGNQ9 CDS USD P F 5.00000 2 CORPORATE
000000000
460000.00000000
OU
Notional Amount
USD
-39827.70000000
-0.00118625510
N/A
DCR
US
N
2
JPMorgan Chase Bank N.A.
7H6GLXDRUGQFU57RNE97
AVIS BUDGET CAR/FINANCE
AVIS BUDGET CAR/FINANCE
Y
buy protection
2024-12-20
21046.72000000
USD
0.00000000
USD
460000.00000000
USD
-60874.42000000
N
N
N
Upstart Pass Through Trust
N/A
Upstart Pass-Through Trust Series 2021-ST4
91534HAA4
175624.14000000
PA
USD
169561.42000000
0.005050331794
Long
ABS-O
CORP
US
N
2
2027-07-20
Fixed
2.00000000
N
N
N
N
N
N
LOWE'S COS INC
WAFCR4OKGSC504WU3E95
Lowe's Cos Inc
548661DR5
931000.00000000
PA
USD
946085.46000000
0.028178847989
Long
DBT
CORP
US
N
2
2029-04-05
Fixed
3.65000000
N
N
N
N
N
N
Cedar Funding Ltd
549300PQ60B57EBTK013
Cedar Funding VI CLO Ltd
15032DAR2
3020000.00000000
PA
USD
2987423.26000000
0.088979431017
Long
ABS-CBDO
CORP
KY
N
2
2034-04-20
Floating
1.30400000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138WJH27
444228.04000000
PA
USD
444630.61000000
0.013243178233
Long
ABS-MBS
USGSE
US
N
2
2036-11-01
Fixed
3.00000000
N
N
N
N
N
N
BNP Paribas SA
R0MUWSFPU8MPRO8K5P83
PURCHASED USD / SOLD IDR
000000000
1.00000000
NC
-3628.01000000
-0.00010805909
N/A
DFE
US
N
2
BNP Paribas SA
R0MUWSFPU8MPRO8K5P83
13097553756.00000000
IDR
907787.20000000
USD
2022-04-18
-3628.01000000
N
N
N
2022-04-29
Brighthouse Funds Trust II
Alan Otis
Alan Otis
Treasurer
XXXX