0001752724-20-035454.txt : 20200225
0001752724-20-035454.hdr.sgml : 20200225
20200225165430
ACCESSION NUMBER: 0001752724-20-035454
CONFORMED SUBMISSION TYPE: NPORT-P
PUBLIC DOCUMENT COUNT: 1
CONFORMED PERIOD OF REPORT: 20191231
FILED AS OF DATE: 20200225
PERIOD START: 20191231
FILER:
COMPANY DATA:
COMPANY CONFORMED NAME: LITMAN GREGORY FUNDS TRUST
CENTRAL INDEX KEY: 0001020425
IRS NUMBER: 931215604
STATE OF INCORPORATION: DE
FISCAL YEAR END: 1231
FILING VALUES:
FORM TYPE: NPORT-P
SEC ACT: 1940 Act
SEC FILE NUMBER: 811-07763
FILM NUMBER: 20651639
BUSINESS ADDRESS:
STREET 1: 2020 E. FINANCIAL WAY
STREET 2: SUITE 100
CITY: GLENDORA
STATE: CA
ZIP: 91741
BUSINESS PHONE: (925) 254-8999
MAIL ADDRESS:
STREET 1: 4 ORINDA WAY
STREET 2: SUITE 200 D
CITY: ORINDA
STATE: CA
ZIP: 94563
FORMER COMPANY:
FORMER CONFORMED NAME: MASTERS SELECT FUNDS TRUST
DATE OF NAME CHANGE: 19980807
FORMER COMPANY:
FORMER CONFORMED NAME: MASTERS SELECT INVESTMENT TRUST
DATE OF NAME CHANGE: 19961226
FORMER COMPANY:
FORMER CONFORMED NAME: MASTERS SELECT EQUITY FUND
DATE OF NAME CHANGE: 19961213
0001020425
S000057610
Litman Gregory Masters High Income Alternatives Fund
C000183970
Institutional Class
MAHIX
C000183971
Investor Class
MAHNX
NPORT-P
1
primary_doc.xml
NPORT-P
false
0001020425
XXXXXXXX
S000057610
C000183971
C000183970
LITMAN GREGORY FUNDS TRUST
811-07763
0001020425
549300RB4CD8N2IPVU55
1676 N. CALIFORNIA BLVD.
SUITE 500
WALNUT CREEK
94596
925-254-8999
Litman Gregory Masters High Income Alternatives Fund
S000057610
549300IVOBYRUF8GRL79
2019-12-31
2019-12-31
N
96776083.94
1872277.83
94903806.11
0
0
0
0
0
0
0
0
0
0
408800
0
0
278737.7
USD
ILS
EUR
N
SOTHEBY'S
549300P5BAAMQQ7VL735
Sotheby's
088830AA2
50000.00000000
PA
USD
50717.50000000
0.053440954666
Long
DBT
CORP
US
N
2
2027-10-15
Fixed
7.38000000
N
N
N
N
N
N
Chicago Board of Trade
549300EX04Q2QBFQTQ27
US 10YR NOTE (CBT)MAR20 XCBT 20200320
000000000
-3.00000000
NC
USD
3367.32000000
0.003548140098
N/A
DIR
US
N
1
Chicago Board of Trade
549300EX04Q2QBFQTQ27
Short
10 Year US Treasury Note
TYH0 Comdty
2020-03-20
-388632.95
USD
3367.32
N
N
N
Citibank, National Association
E57ODZWZ7FF32TWEFA76
PURCHASED USD / SOLD MXN
000000000
1.00000000
NC
-1538.49000000
-0.00162110463
N/A
DFE
US
N
2
Citibank, National Association
E57ODZWZ7FF32TWEFA76
729000.00000000
MXN
37109.62000000
USD
2020-01-02
-1538.49
N
N
N
United States Treasury
254900HROIFWPRGM1V77
United States Treasury Note/Bond
9128284B3
1600000.00000000
PA
USD
1614124.99000000
1.700801112369
Long
DBT
UST
US
N
2
2021-03-15
Fixed
2.38000000
N
N
N
N
N
N
TVC Albany, Inc.
N/A
TVC Albany, Inc. 2018 1st Lien Term Loan
33941LAC0
98750.00000000
PA
USD
98996.88000000
0.104312865898
Long
LON
CORP
US
N
2
2025-07-23
Floating
5.30000000
N
N
N
N
N
N
Freedom Financial
549300S83C1QQOPJBY76
FREED ABS TRUST 2018-2
35634BAB1
400000.00000000
PA
USD
409964.56000000
0.431979049949
Long
ABS-O
CORP
US
N
2
2025-10-20
Fixed
4.61000000
N
N
N
N
N
N
Avis Budget Rental Car Funding AESOP LLC
IHXLB8SL0QWSSG2VG640
Avis Budget Rental Car Funding AESOP LLC
05377RBX1
100000.00000000
PA
USD
100124.68000000
0.105501227088
Long
ABS-O
CORP
US
N
2
2021-07-20
Fixed
2.50000000
N
N
N
N
N
N
Options Clearing Corp.
549300CII6SLYGKNHA04
S+P 500 INDEX JAN20 3070 PUT
000000000
-5.00000000
NC
USD
-1550.00000000
-0.00163323270
N/A
DE
US
N
1
Options Clearing Corp.
549300CII6SLYGKNHA04
Put
Written
S&P 500 Index
SPX Index
100.00000000
3070
USD
2020-01-10
XXXX
10945.56
N
N
N
AG MORTGAGE INVEST TR
549300SNP0PBR2XTFR48
AG Mortgage Investment Trust Inc
001228402
2350.00000000
NS
USD
62016.50000000
0.065346694239
Long
EP
US
N
1
N
N
N
Ellington Residential Mortgage REIT
549300KA3MR2ZCRGA787
Ellington Residential Mortgage REIT
288578107
27078.00000000
NS
USD
293796.30000000
0.309572726366
Long
EC
US
N
1
N
N
N
Barclays Bank PLC
G5GSEF7VJP5I7OUK5573
PURCHASED USD / SOLD EUR
000000000
1.00000000
NC
-1693.15000000
-0.00178406964
N/A
DFE
US
N
2
Barclays Bank PLC
G5GSEF7VJP5I7OUK5573
140000.00000000
EUR
155616.30000000
USD
2020-01-17
-1693.15
N
N
N
United States Treasury
254900HROIFWPRGM1V77
United States Treasury Note/Bond
9128283L2
1800000.00000000
PA
USD
1804078.12000000
1.900954444238
Long
DBT
UST
US
N
2
2020-12-15
Fixed
1.88000000
N
N
N
N
N
N
Options Clearing Corp.
549300CII6SLYGKNHA04
RUSSELL 2000 INDEX JAN20 1625 PUT
000000000
-1.00000000
NC
USD
-82.00000000
-0.00008640327
N/A
DE
US
N
1
Options Clearing Corp.
549300CII6SLYGKNHA04
Put
Written
Russell 2000 Index
RTY Index
100.00000000
1625
USD
2020-01-03
XXXX
317.46
N
N
N
New Residential Advance Receivables Trust Advance
N/A
New Residential Advance Receivables Trust Advance Receivables Backed 2019-T4
62942QCJ0
300000.00000000
PA
USD
299715.48000000
0.315809757569
Long
ABS-O
CORP
US
N
2
2051-10-15
Fixed
2.80000000
N
N
N
N
N
N
Bain Capital Credit CLO Ltd.
549300GXRBLOE2KMGY86
Bain Capital Credit Clo 2016-2 Ltd
056828AN6
250000.00000000
PA
USD
245519.18000000
0.258703196492
Long
ABS-CBDO
CORP
KY
N
2
2029-01-15
Floating
4.55000000
N
N
N
N
N
N
J.P. Morgan Securities LLC
ZBUT11V806EZRVTWT807
Long: BGH6EPSD4 TRS USD R V 01MLIBOR US0001M+100BPS +2BD / Short: BGH6EPSD4 TRS USD P E AGG+0BPSINIT 112.3
000000000
533425.00000000
OU
Notional Amount
USD
-332.50000000
-0.00035035475
N/A
DE
US
N
2
J.P. Morgan Securities LLC
ZBUT11V806EZRVTWT807
iShares Core U.S. Aggregate Bond ETF
iShares Core U.S. Aggregate Bond ETF
Y
equity-performance leg
2020-01-19
0
USD
0
USD
533425
USD
-332.5
N
N
N
AXIS Equipment Finance Receivables LLC
549300NOANH9X4RIOF97
Amur Equipment Finance Receivables VI LLC
03237JAB3
175165.13000000
PA
USD
177940.50000000
0.187495641422
Long
ABS-O
CORP
US
N
2
2022-07-20
Fixed
3.89000000
N
N
N
N
N
N
Oportun Funding LLC
N/A
Oportun Funding X LLC
68376PAB3
400000.00000000
PA
USD
413560.24000000
0.435767812642
Long
ABS-O
CORP
US
N
2
2024-10-08
Fixed
4.59000000
N
N
N
N
N
N
Comet Acquisition, Inc.
5493005V7ZG5K84MO728
Comet Acquisition, Inc. Term Loan
21652EAB2
99000.00000000
PA
USD
97597.17000000
0.102837993543
Long
LON
CORP
US
N
2
2025-10-24
Floating
5.41000000
N
N
N
N
N
N
LETRA TESOURO NACIONAL
254900ZFY40OYEADAP90
Brazil Letras do Tesouro Nacional
000000000
400000.00000000
PA
92612.32000000
0.097585464478
Long
DBT
NUSS
BR
N
2
2021-07-01
None
0.00000000
N
N
N
N
N
N
Goldman Sachs & Co. LLC
FOR8UP27PHTHYVLBNG30
Long: BGH5UWT59 CDS USD R V 03MEVENT BGH5UWT59_PRO CDX / Short: BGH5UWT59 CDS USD P F 1.00000 BGH5UWT59_FEE CDX
000000000
90000.00000000
OU
Notional Amount
USD
-2273.82000000
-0.00239592076
N/A
DCR
US
N
2
Goldman Sachs & Co. LLC
FOR8UP27PHTHYVLBNG30
Markit CDX.NA.IG.S31.V1
2I65BYBD6
Y
buy protection
2023-12-20
0
USD
-117
USD
90000
USD
-2156.82
N
N
N
KEHE DISTRIBUTORS LLC/FI
N/A
KeHE Distributors LLC / KeHE Finance Corp
487526AB1
10000.00000000
PA
USD
10493.75000000
0.011057248839
Long
DBT
CORP
US
N
2
2026-10-15
Fixed
8.63000000
N
N
N
N
N
N
AMTRUST FINANCIAL SERVIC
549300SNNS1GRWBTGA28
AmTrust Financial Services Inc
032359705
23.00000000
NS
USD
404.80000000
0.000426537160
Long
EP
CORP
US
N
1
N
N
N
Morgan Stanley Capital Inc
N/A
Morgan Stanley ABS Capital I Inc Trust 2007-HE4
61753VAD4
404356.38000000
PA
USD
188218.72000000
0.198325786620
Long
ABS-MBS
CORP
US
N
2
2037-02-25
Floating
2.02000000
N
N
N
N
N
N
United States Treasury
254900HROIFWPRGM1V77
United States Treasury Note/Bond
9128285R7
1800000.00000000
PA
USD
1836070.31000000
1.934664567479
Long
DBT
UST
US
N
2
2021-12-15
Fixed
2.63000000
N
N
N
N
N
N
Cleaver-Brooks Inc
549300TRZDD68CZBS255
Cleaver-Brooks Inc
185401AG1
15000.00000000
PA
USD
15006.23000000
0.015812042335
Long
DBT
CORP
US
N
2
2023-03-01
Fixed
7.88000000
N
N
N
N
N
N
Options Clearing Corp.
549300CII6SLYGKNHA04
S+P 500 INDEX JAN20 3165 PUT
000000000
-6.00000000
NC
USD
-5124.00000000
-0.00539915121
N/A
DE
US
N
1
Options Clearing Corp.
549300CII6SLYGKNHA04
Put
Written
S&P 500 Index
SPX Index
100.00000000
3165
USD
2020-01-10
XXXX
-507.23
N
N
N
Vistra Operations Company LLC
549300ZH5GKBTJZ7NM23
Vistra Operations Company LLC 1st Lien Term Loan B3
88233FAK6
651344.44000000
PA
USD
656154.62000000
0.691389151705
Long
LON
CORP
US
N
2
2025-12-31
Floating
3.55000000
N
N
N
N
N
N
GlobalFoundries Inc
N/A
GlobalFoundries Inc USD Term Loan B
000000000
99500.00000000
PA
USD
96390.63000000
0.101566664131
Long
LON
CORP
US
N
2
2026-06-05
Floating
6.75000000
N
N
N
N
N
N
Citibank, National Association
E57ODZWZ7FF32TWEFA76
PURCHASED USD / SOLD BRL
000000000
1.00000000
NC
2659.72000000
0.002802543026
N/A
DFE
US
N
2
Citibank, National Association
E57ODZWZ7FF32TWEFA76
2000000.00000000
BRL
495761.24000000
USD
2020-07-01
2659.72
N
N
N
CGBAM Commercial Mortgage Trust
N/A
CGBAM Mezzanine Securities Trust 2015-SMRT MZ
12528QAA8
100000.00000000
PA
USD
99958.68000000
0.105326313134
Long
ABS-MBS
CORP
US
N
2
2028-04-10
Fixed
8.21000000
N
N
N
N
N
N
OWL ROCK CAPITAL CORP II
549300MMNWZO5XKDDX47
Owl Rock Capital Corp II
69121DAA8
120000.00000000
PA
USD
121523.72000000
0.128049363857
Long
DBT
CORP
US
N
2
2024-11-26
Fixed
4.63000000
N
N
N
N
N
N
CVS Pass-Through Trust
N/A
CVS Pass-Through Trust
126650BY5
155276.46000000
PA
USD
181195.03000000
0.190924934865
Long
DBT
CORP
US
N
2
2034-01-10
Fixed
5.93000000
N
N
N
N
N
N
LETRA TESOURO NACIONAL
254900ZFY40OYEADAP90
Brazil Letras do Tesouro Nacional
000000000
400000.00000000
PA
98419.49000000
0.103704470910
Long
DBT
NUSS
BR
N
2
2020-04-01
None
0.00000000
N
N
N
N
N
N
AMTRUST FINANCIAL SERVIC
549300SNNS1GRWBTGA28
AmTrust Financial Services Inc
032359507
50.00000000
NS
USD
880.00000000
0.000927254697
Long
EP
CORP
US
N
1
N
N
N
Moran Foods LLC
N/A
Moran Foods LLC Term Loan
79377XAB2
49489.80000000
PA
USD
18125.64000000
0.019098960034
Long
LON
CORP
US
N
2
2023-12-05
Floating
8.55000000
N
N
N
N
N
N
NewStar Clarendon Fund CLO LLC,
549300HC3VVP80NTKX35
NewStar Clarendon Fund CLO LLC
32010AAC2
250000.00000000
PA
USD
249989.26000000
0.263413313171
Long
ABS-CBDO
CORP
US
N
2
2027-01-25
Floating
3.99000000
N
N
N
N
N
N
American Express Credit Account Master Trust
549300Y4SA5G3GIJTP18
American Express Credit Account Master Trust
02582JHQ6
500000.00000000
PA
USD
500778.70000000
0.527669774823
Long
ABS-O
CORP
US
N
2
2022-10-17
Fixed
2.67000000
N
N
N
N
N
N
AASET 2018-2 US Ltd
N/A
AASET 2018-2 US Ltd
04546KAA6
225479.10000000
PA
USD
229991.88000000
0.242342103469
Long
ABS-O
CORP
US
N
2
2038-11-18
Fixed
4.45000000
N
N
N
N
N
N
Constellation Brands Inc
5493005GKEG8QCVY7037
Constellation Brands Inc
21036PAV0
160000.00000000
PA
USD
160345.91000000
0.168956247986
Long
DBT
CORP
US
N
2
2020-11-06
Fixed
2.25000000
N
N
N
N
N
N
Global SC Finance SRL
N/A
Global SC Finance II SRL
37952UAD5
275000.06000000
PA
USD
274861.87000000
0.289621545506
Long
ABS-O
CORP
BB
N
2
2029-07-17
Fixed
3.19000000
N
N
N
N
N
N
J.P. Morgan Securities LLC
ZBUT11V806EZRVTWT807
Long: BGH6EK9R5 TRS USD R V 01MLIBOR US0001M+92BPS+2BD / Short: BGH6EK9R5 TRS USD P E AGG ETF CUSIP 464287226
000000000
298363.50000000
OU
Notional Amount
USD
583.00000000
0.000614306236
N/A
DE
US
N
2
J.P. Morgan Securities LLC
ZBUT11V806EZRVTWT807
iShares Core U.S. Aggregate Bond ETF
iShares Core U.S. Aggregate Bond ETF
Y
equity-performance leg
2020-01-17
0
USD
0
USD
298363.5
USD
583
N
N
N
NADG NNN Operating LP
N/A
NADG NNN Operating LP
629682AA3
160000.00000000
PA
USD
158838.24000000
0.167367618339
Long
ABS-O
CORP
US
N
3
2049-12-28
Fixed
3.37000000
N
N
N
N
N
N
SABINE PASS LIQUEFACTION
549300KJYBG7C6WJYZ11
Sabine Pass Liquefaction LLC
785592AE6
100000.00000000
PA
USD
102806.80000000
0.108327372962
Long
DBT
CORP
US
N
2
2021-02-01
Fixed
5.63000000
N
N
N
N
N
N
Greywolf CLO Ltd
5493002TWMA4NNPZ2B66
Greywolf CLO III Ltd
39809CAA2
228571.43000000
PA
USD
228594.04000000
0.240869201531
Long
ABS-CBDO
CORP
KY
N
2
2028-10-22
Floating
2.60000000
N
N
N
N
N
N
Carriage Services Inc
N/A
Carriage Services Inc
143905AN7
10000.00000000
PA
USD
10678.48000000
0.011251898567
Long
DBT
CORP
US
N
2
2026-06-01
Fixed
6.63000000
N
N
N
N
N
N
Bank of America, National Association
B4TYDEB6GKMZO031MB27
BGH6870T6 CMS CAP SYNTH JUL22 0.395 CALL
000000000
11000000.00000000
NC
USD
16849.69000000
0.017754493408
N/A
DIR
US
N
2
Bank of America, National Association
B4TYDEB6GKMZO031MB27
Call
Purchased
Constant Maturity Swap
Constant Maturity Swap
1.00000000
0.395
USD
2022-07-29
XXXX
-8560.31
N
N
N
NEXTERA ENERGY CAPITAL
UMI46YPGBLUE4VGNNT48
NextEra Energy Capital Holdings Inc
65339KBE9
100000.00000000
PA
USD
100152.86000000
0.105530920313
Long
DBT
CORP
US
N
2
2020-09-28
Floating
2.41000000
N
N
N
N
N
N
Citibank, National Association
E57ODZWZ7FF32TWEFA76
PURCHASED USD / SOLD MXN
000000000
1.00000000
NC
-450.15000000
-0.00047432238
N/A
DFE
US
N
2
Citibank, National Association
E57ODZWZ7FF32TWEFA76
720000.00000000
MXN
37408.62000000
USD
2020-02-27
-450.15
N
N
N
Alcentra Capital Corp
549300HZBY88PCH8IZ78
Alcentra Capital Corp
01374T102
23668.00000000
NS
USD
214195.40000000
0.225697375879
Long
EC
CORP
US
N
1
N
N
N
Bank of America, National Association
B4TYDEB6GKMZO031MB27
PURCHASED USD / SOLD ILS
000000000
1.00000000
NC
-65.91000000
-0.00006944926
N/A
DFE
US
N
2
Bank of America, National Association
B4TYDEB6GKMZO031MB27
16500.00000000
ILS
4821.04000000
USD
2021-02-01
-65.91
N
N
N
Monroe Capital CLO 2014-1 Ltd
549300P18F17MYF55L44
Monroe Capital CLO 2014-1 Ltd
610333AW6
250000.00000000
PA
USD
249216.30000000
0.262598846363
Long
ABS-CBDO
CORP
KY
N
2
2026-10-22
Floating
4.35000000
N
N
N
N
N
N
BlackRock Capital Investment Corp
H88PPRS67HRMQX6CRF26
BlackRock Capital Investment Corp
092533108
58290.00000000
NS
USD
289409.85000000
0.304950730494
Long
EC
CORP
US
N
1
N
N
N
Solar Capital Ltd
BJOT6DX9ML6BR3Z0O636
Solar Capital Ltd
83413UAB6
400000.00000000
PA
USD
400634.74000000
0.422148232427
Long
DBT
CORP
US
N
2
2023-01-20
Fixed
4.50000000
N
N
N
N
N
N
Options Clearing Corp.
549300CII6SLYGKNHA04
S+P 500 INDEX JAN20 3145 PUT
000000000
-1.00000000
NC
USD
-2140.00000000
-0.00225491483
N/A
DE
US
N
1
Options Clearing Corp.
549300CII6SLYGKNHA04
Put
Written
S&P 500 Index
SPX Index
100.00000000
3145
USD
2020-01-24
XXXX
-271.65
N
N
N
Goldman Sachs International
W22LROWP2IHZNBB6K528
PURCHASED USD / SOLD ILS
000000000
1.00000000
NC
-1688.19000000
-0.00177884330
N/A
DFE
US
N
2
Goldman Sachs International
W22LROWP2IHZNBB6K528
333300.00000000
ILS
97470.39000000
USD
2021-04-30
-1688.19
N
N
N
Staniford Street CLO Ltd
549300VQ0AVDB6585K37
Staniford Street CLO Ltd
854432AE1
186478.50000000
PA
USD
186871.29000000
0.196906001623
Long
ABS-CBDO
CORP
KY
N
2
2025-06-15
Floating
3.07000000
N
N
N
N
N
N
Ocwen Master Advance Receivables Trust
N/A
Ocwen Master Advance Receivables Trust Series 2019-T1
67575NBM4
100000.00000000
PA
USD
100293.46000000
0.105679070324
Long
ABS-O
CORP
US
N
2
2050-08-15
Fixed
2.66000000
N
N
N
N
N
N
J.P. Morgan Securities LLC
ZBUT11V806EZRVTWT807
Long: BGH6EMJS8 TRS USD R V 01MLIBOR US0001M+100BPS / Short: BGH6EMJS8 TRS USD P E AGG+0BPS INIT 112.37
000000000
56185.00000000
OU
Notional Amount
USD
0.00000000
0.000000
N/A
DE
US
N
2
J.P. Morgan Securities LLC
ZBUT11V806EZRVTWT807
iShares Core U.S. Aggregate Bond ETF
iShares Core U.S. Aggregate Bond ETF
Y
equity-performance leg
2020-01-23
0
USD
0
USD
56185
USD
0
N
N
N
American Tower Corp
5493006ORUSIL88JOE18
American Tower Corp
03027XAH3
70000.00000000
PA
USD
70966.98000000
0.074777801764
Long
DBT
US
N
2
2021-02-15
Fixed
3.30000000
N
N
N
N
N
N
Citigroup Mortgage Loan Trust Inc
N/A
Citigroup Mortgage Loan Trust 2019-IMC1
17328BAA2
132051.22000000
PA
USD
132544.22000000
0.139661648392
Long
ABS-MBS
CORP
US
N
2
2049-07-25
Variable
2.72000000
N
N
N
N
N
N
Vector Group Ltd
549300TUIF4WWN6NDN50
Vector Group Ltd
92240MBF4
50000.00000000
PA
USD
49312.00000000
0.051959981397
Long
DBT
CORP
US
N
2
2025-02-01
Fixed
6.13000000
N
N
N
N
N
N
Venture CDO Ltd
549300ZVVNSDW7WU0O73
VENTURE XIII CLO Ltd
92329PAC9
250000.00000000
PA
USD
109309.50000000
0.115179258325
Long
ABS-CBDO
CORP
KY
N
2
2029-09-10
None
0.00000000
N
N
N
N
N
N
Veros Auto Receivables Trust
N/A
Veros Automobile Receivables Trust 2018-1
92511AAA4
90944.26000000
PA
USD
91166.27000000
0.096061763734
Long
ABS-O
CORP
US
N
2
2023-05-15
Fixed
3.63000000
N
N
N
N
N
N
Madison Avenue Secured Funding Trust
N/A
Madison Avenue Secured Funding Trust 2019-1
55661HAA4
150000.00000000
PA
USD
150385.50000000
0.158460978715
Long
ABS-O
CORP
US
N
2
2020-11-11
Variable
3.22000000
N
N
N
N
N
N
Intercontinental Exchange, Inc.
5493000F4ZO33MV32P92
Long: B92DT7XV3 CDS USD R V 03MEVENT Z92DT7XV3_PRO CCPCDX / Short: B92DT7XV3 CDS USD R V 03MEVENT 1 CCPCDX
000000000
4605000.00000000
OU
Notional Amount
USD
-116165.73000000
-0.12240365772
N/A
DCR
US
N
2
Intercontinental Exchange, Inc.
5493000F4ZO33MV32P92
Markit CDX.NA.IG.S31.V1
2I65BYBD6
Y
buy protection
2023-12-20
0
USD
-54518.39
USD
4605000
USD
-61647.34
N
N
N
McDonald's Corp
UE2136O97NLB5BYP9H04
McDonald's Corp
58013MEJ9
50000.00000000
PA
USD
50403.34000000
0.053109924739
Long
DBT
CORP
US
N
2
2020-07-15
Fixed
3.50000000
N
N
N
N
N
N
UK TREASURY BILL GBP
ECTRVYYCEF89VWYS6K36
United Kingdom Treasury Bill
000000000
10000.00000000
PA
13261.72000000
0.013973854730
Long
STIV
NUSS
GB
N
2
2020-01-27
None
0.00000000
N
N
N
N
N
N
Cigna Corp
549300VIWYMSIGT1U456
Cigna Corp
125523AA8
65000.00000000
PA
USD
65026.95000000
0.068518800947
Long
DBT
CORP
US
N
2
2020-03-17
Floating
2.25000000
N
N
N
N
N
N
Teneo Holdings LLC
N/A
Teneo Holdings LLC Term Loan
88033CAH2
49875.00000000
PA
USD
47568.28000000
0.050122626214
Long
LON
CORP
US
N
2
2025-07-11
Floating
6.99000000
N
N
N
N
N
N
DCAL Aviation Finance Limited
N/A
AIM Aviation Finance Ltd
001406AA5
165017.16000000
PA
USD
164983.79000000
0.173843175276
Long
ABS-O
CORP
KY
N
2
2040-02-15
Variable
4.21000000
N
N
N
N
N
N
Citibank, National Association
E57ODZWZ7FF32TWEFA76
PURCHASED USD / SOLD MXN
000000000
1.00000000
NC
-558.11000000
-0.00058807968
N/A
DFE
US
N
2
Citibank, National Association
E57ODZWZ7FF32TWEFA76
850000.00000000
MXN
43772.01000000
USD
2020-04-23
-558.11
N
N
N
Aon Corp
LTS3U8DGK38SETRUWX71
Aon Corp
037389AW3
70000.00000000
PA
USD
71511.12000000
0.075351161277
Long
DBT
CORP
US
N
2
2020-09-30
Fixed
5.00000000
N
N
N
N
N
N
Station Place Securitization Trust
N/A
Station Place Securitization Trust Series 2019-2
85770LAA0
50000.00000000
PA
USD
50134.58000000
0.052826732725
Long
ABS-MBS
CORP
US
N
2
2021-04-24
Floating
2.33000000
N
N
N
N
N
N
MOLEX ELECTRONICS TECH
549300WTBVUFUPSIWI20
Molex Electronic Technologies LLC
60856BAA2
60000.00000000
PA
USD
60082.53000000
0.063308872913
Long
DBT
CORP
US
N
2
2020-04-15
Fixed
2.88000000
N
N
N
N
N
N
Tivity Health Inc
U5UKZMHGMOP0CPFG4B24
Tivity Health Inc Term Loan B
88870TAG3
738885.55000000
PA
USD
740917.49000000
0.780703662339
Long
LON
CORP
US
N
2
2026-03-06
Floating
7.05000000
N
N
N
N
N
N
CGBAM Commercial Mortgage Trust
N/A
CGBAM Commercial Mortgage Trust 2015-SMRT
12528RAN8
250000.00000000
PA
USD
249859.58000000
0.263276669547
Long
ABS-MBS
CORP
US
N
2
2028-04-10
Variable
3.79000000
N
N
N
N
N
N
Aria Energy Operating LLC
N/A
Aria Energy Operating LLC Term Loan
04035LAB0
296872.50000000
PA
USD
293532.68000000
0.309294950362
Long
LON
CORP
US
N
2
2022-05-27
Floating
6.30000000
N
N
N
N
N
N
Palmer Square Loan Funding Ltd
N/A
Palmer Square Loan Funding 2019-2 Ltd
69689PAE7
215000.00000000
PA
USD
215371.74000000
0.226936883595
Long
ABS-CBDO
CORP
KY
N
2
2027-04-20
Floating
4.22000000
N
N
N
N
N
N
EQM Midstream Partners LP
549300NELT611CL6XM83
EQM Midstream Partners LP
26885B100
4600.00000000
NS
USD
137586.00000000
0.144974164514
Long
EC
CORP
US
N
1
N
N
N
Reynolds American Inc
02S2RPPVO9RP4NEU2740
Reynolds American Inc
761713BE5
100000.00000000
PA
USD
100463.32000000
0.105858051555
Long
DBT
CORP
US
N
2
2020-06-12
Fixed
3.25000000
N
N
N
N
N
N
AASET 2019-2 Trust
N/A
Aaset 2019-2 Trust
00038RAB2
246525.00000000
PA
USD
244283.82000000
0.257401499489
Long
ABS-O
CORP
US
N
2
2039-10-16
Fixed
4.46000000
N
N
N
N
N
N
Accuride Corporation
549300MC6XO5P96H8E79
Accuride Corporation 2017 Term Loan B
00439CBC7
49489.80000000
PA
USD
39344.39000000
0.041457125496
Long
LON
CORP
US
N
2
2023-11-17
Floating
7.19000000
N
N
N
N
N
N
Goldman Sachs International
W22LROWP2IHZNBB6K528
PURCHASED USD / SOLD ILS
000000000
1.00000000
NC
-2107.25000000
-0.00222040620
N/A
DFE
US
N
2
Goldman Sachs International
W22LROWP2IHZNBB6K528
411450.00000000
ILS
121979.78000000
USD
2022-01-31
-2107.25
N
N
N
The Bank of New York Mellon
HPFHU0OQ28E4N0NFVK49
DEUTSCHE BANK REPO REPO
000000000
11000.00000000
PA
USD
11000.00000000
0.011590683715
Long
RA
CORP
US
N
2
Repurchase
N
2.28000000
2020-02-07
14000.00000000
USD
14666.68000000
USD
ABS
N
N
N
BLACKROCK TCP CAP CORP
549300JU1XG1HF56J989
BlackRock TCP Capital Corp
87238QAE3
390000.00000000
PA
USD
404009.10000000
0.425703790564
Long
DBT
CORP
US
N
2
2022-08-11
Fixed
4.13000000
N
N
N
N
N
N
HCA Inc.
L3CJ6J7LJ2DX62FTXD46
HCA Inc Term Loan B12
404122BA0
593977.33000000
PA
USD
598099.53000000
0.630216589318
Long
LON
CORP
US
N
2
2025-03-13
Floating
3.55000000
N
N
N
N
N
N
Options Clearing Corp.
549300CII6SLYGKNHA04
S+P 500 INDEX JAN20 3150 PUT
000000000
-2.00000000
NC
USD
-3518.00000000
-0.00370691139
N/A
DE
US
N
1
Options Clearing Corp.
549300CII6SLYGKNHA04
Put
Written
S&P 500 Index
SPX Index
100.00000000
3150
USD
2020-01-24
XXXX
124.92
N
N
N
Textron Inc
3PPKBHUG1HD6BO7RNR87
Textron Inc
883203BZ3
100000.00000000
PA
USD
100004.24000000
0.105374319639
Long
DBT
CORP
US
N
2
2020-11-10
Floating
2.45000000
N
N
N
N
N
N
United States Treasury
254900HROIFWPRGM1V77
United States Treasury Note/Bond
9128284T4
1600000.00000000
PA
USD
1623500.00000000
1.710679546527
Long
DBT
UST
US
N
2
2021-06-15
Fixed
2.63000000
N
N
N
N
N
N
Bank of America, National Association
B4TYDEB6GKMZO031MB27
PURCHASED USD / SOLD ILS
000000000
1.00000000
NC
-52.34000000
-0.00005515058
N/A
DFE
US
N
2
Bank of America, National Association
B4TYDEB6GKMZO031MB27
16545.21000000
ILS
4746.87000000
USD
2020-01-31
-52.34
N
N
N
Kayne Anderson MLP/Midstream Investment Co
549300H9ZCLGQEKXQY57
Kayne Anderson MLP/Midstream Investment Co
486606106
11150.00000000
NS
USD
155319.50000000
0.163659927210
Long
EC
RF
US
N
1
N
N
N
AGNC INVESTMENT CORP
5TRACI5HRMELWV32OF39
AGNC Investment Corp
00123Q807
4700.00000000
NS
USD
120555.00000000
0.127028625027
Long
EC
US
N
1
N
N
N
Options Clearing Corp.
549300CII6SLYGKNHA04
S+P 500 INDEX JAN20 3165 PUT
000000000
-4.00000000
NC
USD
-10400.00000000
-0.01095846460
N/A
DE
US
N
1
Options Clearing Corp.
549300CII6SLYGKNHA04
Put
Written
S&P 500 Index
SPX Index
100.00000000
3165
USD
2020-01-31
XXXX
-1282.16
N
N
N
Morgan Stanley Capital Services LLC
I7331LVCZKQKX5T7XV54
Long: BGH5UYRQ1 CDS USD R V 03MEVENT BGH5UYRQ1_PRO CDX / Short: BGH5UYRQ1 CDS USD P F 1.00000 BGH5UYRQ1_FEE CDX
000000000
90000.00000000
OU
Notional Amount
USD
-2273.82000000
-0.00239592076
N/A
DCR
US
N
2
Morgan Stanley Capital Services LLC
I7331LVCZKQKX5T7XV54
Markit CDX.NA.IG.S31.V1
2I65BYBD6
Y
buy protection
2023-12-20
0
USD
-18
USD
90000
USD
-2255.82
N
N
N
Legacy Mortgage Asset Trust
N/A
Legacy Mortgage Asset Trust 2019-GS5
52475FAF0
238417.47000000
PA
USD
239298.99000000
0.252148991498
Long
ABS-O
CORP
US
N
2
2059-05-25
Variable
3.20000000
N
N
N
N
N
N
Freddie Mac Military Housing Bonds Resec Trust
549300ZG8WH0M4JSUM77
Freddie Mac Military Housing Bonds Resecuritization Trust Certificates 2015-R1
35563CAB4
2873512.43000000
PA
USD
229931.57000000
0.242278554912
Long
ABS-MBS
USGSE
US
N
2
2055-11-25
Variable
1.94000000
N
N
N
N
N
N
Palmer Square Loan Funding Ltd
549300KJI7MJ3X7YQQ90
Palmer Square Loan Funding 2018-4 Ltd
69700KAA1
379938.37000000
PA
USD
380075.00000000
0.400484464826
Long
ABS-CBDO
CORP
KY
N
2
2026-11-15
Floating
2.81000000
N
N
N
N
N
N
EnLink Midstream LLC
54930000GY1H533OBE23
EnLink Midstream LLC
29336T100
19506.00000000
NS
USD
119571.78000000
0.125992607568
Long
EC
CORP
US
N
1
N
N
N
MARSH & MCLENNAN COS INC
549300XMP3KDCKJXIU47
Marsh & McLennan Cos Inc
571748AR3
20000.00000000
PA
USD
20730.70000000
0.021843907899
Long
DBT
CORP
US
N
2
2021-07-15
Fixed
4.80000000
N
N
N
N
N
N
Kestrel Acquisition, LLC
549300ER0JUHJLPPMH08
Kestrel Acquisition, LLC 2018 Term Loan B
49254YAB1
284987.48000000
PA
USD
253638.86000000
0.267258891288
Long
LON
CORP
US
N
2
2025-06-02
Floating
6.05000000
N
N
N
N
N
N
Enterprise Products Partners LP
K4CDIF4M54DJZ6TB4Q48
Enterprise Products Partners LP
293792107
12957.00000000
NS
USD
364869.12000000
0.384462051582
Long
EC
CORP
US
N
1
N
N
N
Elm Trust
549300Z14FPNMD2DGN29
Elm 2018-2 Trust
289333AB2
300000.00000000
PA
USD
301635.84000000
0.317833238058
Long
ABS-O
CORP
US
N
2
2027-10-20
Fixed
4.61000000
N
N
N
N
N
N
United States Treasury
254900HROIFWPRGM1V77
United States Treasury Note/Bond
912828W63
1600000.00000000
PA
USD
1599906.26000000
1.685818857618
Long
DBT
UST
US
N
2
2020-03-15
Fixed
1.63000000
N
N
N
N
N
N
WhiteHorse Finance Inc
5493006LP9COIV2ZIB05
WhiteHorse Finance Inc
96524V106
38642.00000000
NS
USD
529395.40000000
0.557823149249
Long
EC
CORP
US
N
1
N
N
N
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
Long: BGH5UCX74 IRS USD R V 03MLIBOR BGH5UCX74_FLO CCPVANILLA / Short: BGH5UCX74 IRS USD P F 3.18000 BGH5UCX74_FIX CCPVANILLA
000000000
350000.00000000
OU
Notional Amount
USD
-19275.98000000
-0.02031107158
N/A
DIR
US
N
2
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
ICE Libor USD 3 Months
US0003M Index
Y
2023-11-07
80.08
USD
0
USD
350000
USD
-19356.06
N
N
N
Countrywide Alternative Loan Trust
N/A
Alternative Loan Trust 2005-38
12667GZ30
348334.86000000
PA
USD
346068.49000000
0.364651855584
Long
ABS-MBS
CORP
US
N
2
2035-09-25
Floating
2.14000000
N
N
N
N
N
N
ABBVIE INC
FR5LCKFTG8054YNNRU85
AbbVie Inc
00287YBT5
100000.00000000
PA
USD
100124.24000000
0.105500763461
Long
DBT
CORP
US
N
2
2021-05-21
Floating
2.24000000
N
N
N
N
N
N
Goldman Sachs & Co. LLC
FOR8UP27PHTHYVLBNG30
Long: BGH5V9V80 CDS USD R V 03MEVENT BGH5V9V80_PRO CDX / Short: BGH5V9V80 CDS USD P F 1.00000 BGH5V9V80_FEE CDX
000000000
50000.00000000
OU
Notional Amount
USD
-1263.24000000
-0.00133107411
N/A
DCR
US
N
2
Goldman Sachs & Co. LLC
FOR8UP27PHTHYVLBNG30
Markit CDX.NA.IG.S31.V1
2I65BYBD6
Y
buy protection
2023-12-20
0
USD
-175
USD
50000
USD
-1088.24
N
N
N
Goldman Sachs International
W22LROWP2IHZNBB6K528
PURCHASED USD / SOLD ILS
000000000
1.00000000
NC
-14.27000000
-0.00001503627
N/A
DFE
US
N
2
Goldman Sachs International
W22LROWP2IHZNBB6K528
3309.04000000
ILS
950.66000000
USD
2020-04-30
-14.27
N
N
N
Goldman Sachs International
W22LROWP2IHZNBB6K528
PURCHASED MXN / SOLD USD
000000000
1.00000000
NC
359.25000000
0.000378541193
N/A
DFE
MX
N
2
Goldman Sachs International
W22LROWP2IHZNBB6K528
54674.11000000
USD
1040000.00000000
MXN
2020-01-16
359.25
N
N
N
Wells Fargo Commercial Mortgage Trust
549300DNBJ7A0SEFVK31
Wells Fargo Commercial Mortgage Trust 2016-BNK1
95000GBB9
964202.15000000
PA
USD
89648.43000000
0.094462417973
Long
ABS-MBS
CORP
US
N
2
2049-08-15
Variable
1.76000000
N
N
N
N
N
N
CREDIT SUISSE NEW YORK
ANGGYXNX0JLX3X63JN86
Credit Suisse AG/New York NY
22549LUK9
100000.00000000
PA
USD
100000.00000000
0.105369851957
Long
DBT
CORP
CH
N
2
2020-07-31
Floating
2.33000000
N
N
N
N
N
N
Countrywide Alternative Loan Trust
549300QTQ6MX6ER06N64
Alternative Loan Trust 2007-OA7
126680AA5
215329.12000000
PA
USD
206520.74000000
0.217610597999
Long
ABS-MBS
CORP
US
N
2
2047-05-25
Floating
1.97000000
N
N
N
N
N
N
Goldman Sachs International
W22LROWP2IHZNBB6K528
PURCHASED USD / SOLD EUR
000000000
1.00000000
NC
4125.38000000
0.004346906798
N/A
DFE
US
N
2
Goldman Sachs International
W22LROWP2IHZNBB6K528
260000.00000000
EUR
298168.00000000
USD
2020-04-30
4125.38
N
N
N
AASET 2019-1 Trust
549300TXM3PCKZJKD061
Aaset 2019-1 Trust
00256DAB8
236750.00000000
PA
USD
236938.03000000
0.249661251441
Long
ABS-O
CORP
US
N
2
2039-05-15
Fixed
4.95000000
N
N
N
N
N
N
Solar Capital Ltd
BJOT6DX9ML6BR3Z0O636
Solar Capital Ltd
83413U100
19947.00000000
NS
USD
411307.14000000
0.433393724508
Long
EC
CORP
US
N
1
N
N
N
Energy Transfer LP
MTLVN9N7JE8MIBIJ1H73
Energy Transfer LP
29273V100
23800.00000000
NS
USD
305354.00000000
0.321751057745
Long
EC
CORP
US
N
1
N
N
N
ASHTEAD CAPITAL INC
213800J1134IW58IC398
Ashtead Capital Inc
045054AL7
260000.00000000
PA
USD
266175.00000000
0.280468203447
Long
DBT
CORP
US
N
2
2029-11-01
Fixed
4.25000000
N
N
N
N
N
N
Telefonica Emisiones SAU
549300Y5MFC4SW5Z3K71
Telefonica Emisiones SA
87938WAM5
25000.00000000
PA
USD
25238.29000000
0.026593548809
Long
DBT
CORP
ES
N
2
2020-04-27
Fixed
5.13000000
N
N
N
N
N
N
Citibank Credit Card Issuance Trust
R8AG6FXVDQAMDKCSJJ64
Citibank Credit Card Issuance Trust
17305EGB5
600000.00000000
PA
USD
599983.02000000
0.632201219943
Long
ABS-O
CORP
US
N
2
2022-04-07
Fixed
1.92000000
N
N
N
N
N
N
Neuberger Berman CLO Ltd
549300NPF57YF6WBDP72
Neuberger Berman CLO XX Ltd
64130TAQ8
420000.00000000
PA
USD
419956.64000000
0.442507689853
Long
ABS-CBDO
CORP
KY
N
2
2028-01-15
Floating
2.80000000
N
N
N
N
N
N
Exantas Capital Corp
N/A
Exantas Capital Corp 2018-RSO6 Ltd
299670AC3
150000.00000000
PA
USD
149738.82000000
0.157779572956
Long
ABS-CBDO
CORP
KY
N
2
2035-06-15
Floating
2.89000000
N
N
N
N
N
N
LSTAR Securities Investment Ltd
N/A
LSTAR Securities Investment Ltd 2019-5
54912VAA3
876489.14000000
PA
USD
876489.14000000
0.923555309240
Long
ABS-MBS
CORP
US
N
2
2024-11-01
Floating
3.21000000
N
N
N
N
N
N
General Mills Inc
2TGYMUGI08PO8X8L6150
General Mills Inc
370334CB8
70000.00000000
PA
USD
70242.84000000
0.074014776518
Long
DBT
CORP
US
N
2
2021-04-16
Floating
2.54000000
N
N
N
N
N
N
Republic Finance Issuance Trust 2019-A
N/A
Republic FInance Issuance Trust 2019-A
76041QAA1
240000.00000000
PA
USD
239734.32000000
0.252607698074
Long
ABS-O
CORP
US
N
2
2027-11-22
Fixed
3.43000000
N
N
N
N
N
N
Redwood Trust Inc
DRBV4N1ERQLEMIF11G78
Redwood Trust Inc
758075402
16450.00000000
NS
USD
272083.00000000
0.286693454301
Long
EC
US
N
1
N
N
N
DELL INT LLC / EMC CORP
N/A
Dell International LLC / EMC Corp
25272KAK9
200000.00000000
PA
USD
230409.39000000
0.242782033138
Long
DBT
CORP
US
N
2
2026-06-15
Fixed
6.02000000
N
N
N
N
N
N
Party City Holdings Inc
5493005PYM1JS6EZN307
Party City Holdings Inc
702150AD5
50000.00000000
PA
USD
35366.13000000
0.037265238824
Long
DBT
CORP
US
N
2
2026-08-01
Fixed
6.63000000
N
N
N
N
N
N
IBC Capital Limited
5493003ZYID1KN87T037
IBC Capital Limited 2018 1st Lien Term Loan
44928QAE9
98743.70000000
PA
USD
98990.56000000
0.104306206523
Long
LON
CORP
US
N
2
2023-09-11
Floating
5.65000000
N
N
N
N
N
N
NEW RESIDENTIAL INV CORP
549300WNTHGEO5LP2G31
New Residential Investment Corp
64828T300
7775.00000000
NS
USD
205493.25000000
0.216527933307
Long
EP
US
N
1
N
N
N
HarborView Mortgage Loan Trust
N/A
HarborView Mortgage Loan Trust 2006-12
41162DAF6
356357.30000000
PA
USD
339902.68000000
0.358154950715
Long
ABS-MBS
CORP
US
N
2
2038-01-19
Floating
1.95000000
N
N
N
N
N
N
AXIS SPECIALTY FINANCE
N/A
AXIS Specialty Finance LLC
05463HAA9
70000.00000000
PA
USD
71107.57000000
0.074925941239
Long
DBT
CORP
US
N
2
2020-06-01
Fixed
5.88000000
N
N
N
N
N
N
JPMorgan Chase Bank, National Association
7H6GLXDRUGQFU57RNE97
PURCHASED EUR / SOLD USD
000000000
1.00000000
NC
941.56000000
0.000992120378
N/A
DFE
XX
N
2
JPMorgan Chase Bank, National Association
7H6GLXDRUGQFU57RNE97
125047.76000000
USD
111088.00000000
EUR
2020-06-15
941.56
N
N
N
Goldman Sachs International
W22LROWP2IHZNBB6K528
PURCHASED USD / SOLD EUR
000000000
1.00000000
NC
9.56000000
0.000010073357
N/A
DFE
US
N
2
Goldman Sachs International
W22LROWP2IHZNBB6K528
171275.00000000
EUR
198957.32000000
USD
2021-07-30
9.56
N
N
N
CD&R Hydra Buyer Inc.
N/A
CD&R Hydra Buyer Inc. 2017 Term Loan
12508KAD9
99492.36000000
PA
USD
98600.91000000
0.103895632895
Long
LON
CORP
US
N
2
2024-12-11
Floating
6.05000000
N
N
N
N
N
N
REYNOLDS GRP ISS/REYNOLD
N/A
Reynolds Group Issuer Inc / Reynolds Group Issuer LLC / Reynolds Group Issuer Lu
761735AP4
48455.38000000
PA
USD
48576.52000000
0.051185007210
Long
DBT
CORP
US
N
2
2020-10-15
Fixed
5.75000000
N
N
N
N
N
N
ENERGY TRANSFER OPERATNG
5493008K8W3OKZE54J59
Energy Transfer Operating LP
29278NAA1
320000.00000000
PA
USD
301286.40000000
0.317465033647
Long
DBT
CORP
US
N
2
2023-02-15
Variable
6.25000000
N
N
N
N
N
N
Goldman Sachs International
W22LROWP2IHZNBB6K528
PURCHASED USD / SOLD ILS
000000000
1.00000000
NC
-88.67000000
-0.00009343144
N/A
DFE
US
N
2
Goldman Sachs International
W22LROWP2IHZNBB6K528
21508.77000000
ILS
6281.77000000
USD
2021-02-01
-88.67
N
N
N
Station Place Securitization Trust
N/A
Station Place Securitization Trust Series 2019-9
85773BAA9
50000.00000000
PA
USD
50000.00000000
0.052684925978
Long
ABS-MBS
CORP
US
N
2
2020-10-24
Floating
2.48000000
N
N
N
N
N
N
MEXICO CETES
254900EGTWEU67VP6075
Mexico Cetes
000000000
5079000.00000000
PA
269155.74000000
0.283609004772
Long
DBT
NUSS
MX
N
2
2020-01-02
None
0.00000000
N
N
N
N
N
N
Goldman Sachs International
W22LROWP2IHZNBB6K528
PURCHASED USD / SOLD BRL
000000000
1.00000000
NC
-1085.46000000
-0.00114374759
N/A
DFE
US
N
2
Goldman Sachs International
W22LROWP2IHZNBB6K528
2200000.00000000
BRL
545810.90000000
USD
2020-01-02
-1085.46
N
N
N
Marathon CLO LTD
635400LRBGQZIPTCBI09
Marathon CLO V Ltd
56576QAQ1
500000.00000000
PA
USD
493083.50000000
0.519561353976
Long
ABS-CBDO
CORP
KY
N
2
2027-11-21
Floating
3.34000000
N
N
N
N
N
N
SIRIUS INTERNATIONAL GRP
549300PB35NLMKG2ND86
Sirius International Group Ltd
82968FAA2
700000.00000000
PA
USD
690355.05000000
0.727426094165
Long
DBT
CORP
BM
N
2
2026-11-01
Fixed
4.60000000
N
N
N
N
N
N
CREDIT ACCEPTANC
N/A
Credit Acceptance Corp
225310AN1
80000.00000000
PA
USD
83276.80000000
0.087748640874
Long
DBT
CORP
US
N
2
2024-12-31
Fixed
5.13000000
N
N
N
N
N
N
U.S. Renal Care, Inc.
N/A
U.S. Renal Care, Inc. 2019 Term Loan B
90290PAN4
473812.50000000
PA
USD
471509.77000000
0.496829146613
Long
LON
CORP
US
N
2
2026-06-26
Floating
6.81000000
N
N
N
N
N
N
Bank of America, National Association
B4TYDEB6GKMZO031MB27
PURCHASED USD / SOLD ILS
000000000
1.00000000
NC
-95.50000000
-0.00010062820
N/A
DFE
US
N
2
Bank of America, National Association
B4TYDEB6GKMZO031MB27
101000.00000000
ILS
29952.55000000
USD
2021-04-30
-95.5
N
N
N
Morgan Stanley Capital Inc
N/A
Morgan Stanley ABS Capital I Inc Trust 2006-HE8
61750SAF9
345219.93000000
PA
USD
221420.89000000
0.233310863995
Long
ABS-MBS
CORP
US
N
2
2036-10-25
Floating
2.01000000
N
N
N
N
N
N
Newtek Small Business Loan Trust
N/A
Newtek Small Business Loan Trust 2018-1
65252MAB5
82112.55000000
PA
USD
82830.56000000
0.087278438447
Long
ABS-O
CORP
US
N
2
2044-02-25
Floating
4.71000000
N
N
N
N
N
N
Goldman Sachs & Co. LLC
FOR8UP27PHTHYVLBNG30
Long: BGH5USW54 CDS USD R V 03MEVENT BGH5USW54_PRO CDX / Short: BGH5USW54 CDS USD P F 1.00000 BGH5USW54_FEE CDX
000000000
90000.00000000
OU
Notional Amount
USD
-2273.82000000
-0.00239592076
N/A
DCR
US
N
2
Goldman Sachs & Co. LLC
FOR8UP27PHTHYVLBNG30
Markit CDX.NA.IG.S31.V1
2I65BYBD6
Y
buy protection
2023-12-20
0
USD
-567
USD
90000
USD
-1706.82
N
N
N
GPMT Ltd.
N/A
GPMT 2018-FL1 Ltd
36255CAG4
200000.00000000
PA
USD
200233.49000000
0.210985731982
Long
ABS-CBDO
CORP
KY
N
2
2035-11-19
Floating
3.91000000
N
N
N
N
N
N
SWISS RE FINANCE LUX
549300CLQZ6TM98LW631
Swiss Re Finance Luxembourg SA
87089NAA8
495000.00000000
PA
USD
553162.50000000
0.582866507333
Long
DBT
CORP
LU
N
2
2049-04-02
Variable
5.00000000
N
N
N
N
N
N
Sprint Communications, Inc.
549300JKU50UT08ZWD77
Sprint Communications, Inc. 1st Lien Term Loan B
85208EAB6
567891.44000000
PA
USD
563916.20000000
0.594197665103
Long
LON
CORP
US
N
2
2024-02-02
Floating
4.31000000
N
N
N
N
N
N
Morgan Stanley Capital Services LLC
I7331LVCZKQKX5T7XV54
PURCHASED USD / SOLD MXN
000000000
1.00000000
NC
-11576.27000000
-0.01219789856
N/A
DFE
US
N
2
Morgan Stanley Capital Services LLC
I7331LVCZKQKX5T7XV54
10250000.00000000
MXN
529086.87000000
USD
2020-02-06
-11576.27
N
N
N
Helix Gen Funding, LLC
549300WDTXL9N4J1KT74
Helix Gen Funding, LLC Term Loan B
42330EAB8
600000.00000000
PA
USD
593082.00000000
0.624929625385
Long
LON
CORP
US
N
2
2024-06-02
Floating
5.55000000
N
N
N
N
N
N
DCAL Aviation Finance Limited
N/A
AIM Aviation Finance Ltd
001406AB3
169824.79000000
PA
USD
169698.08000000
0.178810615670
Long
ABS-O
CORP
KY
N
2
2040-02-15
Variable
5.07000000
N
N
N
N
N
N
Options Clearing Corp.
549300CII6SLYGKNHA04
RUSSELL 2000 INDEX JAN20 1600 PUT
000000000
-1.00000000
NC
USD
-475.00000000
-0.00050050679
N/A
DE
US
N
1
Options Clearing Corp.
549300CII6SLYGKNHA04
Put
Written
Russell 2000 Index
RTY Index
100.00000000
1600
USD
2020-01-17
XXXX
1114.46
N
N
N
GOLDMAN SACHS MEXICO
549300N4N8Z6E2PYR089
BGH687A08 CMS CAP SYNTH JUL22 0.605 CALL
000000000
7000000.00000000
NC
USD
5787.53000000
0.006098311792
N/A
DIR
US
N
2
GOLDMAN SACHS MEXICO
549300N4N8Z6E2PYR089
Call
Purchased
Constant Maturity Swap
Constant Maturity Swap
1.00000000
0.605
USD
2022-07-29
XXXX
-4362.47
N
N
N
Citibank, National Association
E57ODZWZ7FF32TWEFA76
PURCHASED USD / SOLD GBP
000000000
1.00000000
NC
-335.78000000
-0.00035381088
N/A
DFE
US
N
2
Citibank, National Association
E57ODZWZ7FF32TWEFA76
10000.00000000
GBP
12937.16000000
USD
2020-01-13
-335.78
N
N
N
GOLDMAN SACHS MEXICO
549300N4N8Z6E2PYR089
BGH6879X8 CMS CAP SYNTH JUL22 0.395 CALL
000000000
2000000.00000000
NC
USD
3063.58000000
0.003228089710
N/A
DIR
US
N
2
GOLDMAN SACHS MEXICO
549300N4N8Z6E2PYR089
Call
Purchased
Constant Maturity Swap
Constant Maturity Swap
1.00000000
0.395
USD
2022-07-29
XXXX
-1476.42
N
N
N
Options Clearing Corp.
549300CII6SLYGKNHA04
S+P 500 INDEX JAN20 3115 PUT
000000000
-5.00000000
NC
USD
-8300.00000000
-0.00874569771
N/A
DE
US
N
1
Options Clearing Corp.
549300CII6SLYGKNHA04
Put
Written
S&P 500 Index
SPX Index
100.00000000
3115
USD
2020-01-24
XXXX
1309.56
N
N
N
ANNALY CAPITAL MGMT
2DTL0G3FPRYUT58TI025
Annaly Capital Management Inc
035710870
5950.00000000
NS
USD
153807.50000000
0.162066735049
Long
EP
US
N
1
N
N
N
Options Clearing Corp.
549300CII6SLYGKNHA04
RUSSELL 2000 INDEX JAN20 1635 PUT
000000000
-3.00000000
NC
USD
-3543.00000000
-0.00373325385
N/A
DE
US
N
1
Options Clearing Corp.
549300CII6SLYGKNHA04
Put
Written
Russell 2000 Index
RTY Index
100.00000000
1635
USD
2020-01-24
XXXX
205.38
N
N
N
Options Clearing Corp.
549300CII6SLYGKNHA04
S+P 500 INDEX JAN20 3145 PUT
000000000
-3.00000000
NC
USD
-396.00000000
-0.00041726461
N/A
DE
US
N
1
Options Clearing Corp.
549300CII6SLYGKNHA04
Put
Written
S&P 500 Index
SPX Index
100.00000000
3145
USD
2020-01-03
XXXX
1132.38
N
N
N
AMTRUST FINANCIAL SERVIC
549300SNNS1GRWBTGA28
AmTrust Financial Services Inc
032359887
205.00000000
NS
USD
3638.75000000
0.003834145488
Long
EP
CORP
US
N
1
N
N
N
Assurant Inc
H3F39CAXWQRVWURFXL38
Assurant Inc
04621XAL2
17000.00000000
PA
USD
17002.08000000
0.017915066525
Long
DBT
CORP
US
N
2
2021-03-26
Floating
3.20000000
N
N
N
N
N
N
Goldman Sachs International
W22LROWP2IHZNBB6K528
PURCHASED MXN / SOLD USD
000000000
1.00000000
NC
246.41000000
0.000259641852
N/A
DFE
MX
N
2
Goldman Sachs International
W22LROWP2IHZNBB6K528
44083.71000000
USD
850000.00000000
MXN
2020-04-23
246.41
N
N
N
Goldman Sachs International
W22LROWP2IHZNBB6K528
PURCHASED USD / SOLD ILS
000000000
1.00000000
NC
-1359.81000000
-0.00143282978
N/A
DFE
US
N
2
Goldman Sachs International
W22LROWP2IHZNBB6K528
323200.00000000
ILS
94793.96000000
USD
2021-04-30
-1359.81
N
N
N
Options Clearing Corp.
549300CII6SLYGKNHA04
S+P 500 INDEX JAN20 3155 PUT
000000000
-1.00000000
NC
USD
-2598.00000000
-0.00273750875
N/A
DE
US
N
1
Options Clearing Corp.
549300CII6SLYGKNHA04
Put
Written
S&P 500 Index
SPX Index
100.00000000
3155
USD
2020-01-31
XXXX
-498.54
N
N
N
BONOS Y OBLIG DEL ESTADO
9598007A56S18711AH60
Spain Government Bond
000000000
350000.00000000
PA
400355.60000000
0.421854103022
Long
DBT
NUSS
ES
N
2
2021-07-30
Fixed
0.75000000
N
N
N
N
N
N
Goldman Sachs International
W22LROWP2IHZNBB6K528
PURCHASED USD / SOLD ILS
000000000
1.00000000
NC
5.04000000
0.000005310640
N/A
DFE
US
N
2
Goldman Sachs International
W22LROWP2IHZNBB6K528
10000.00000000
ILS
2905.71000000
USD
2020-01-31
5.04
N
N
N
Blue Ribbon, LLC
N/A
Blue Ribbon, LLC Term Loan
09582EAB2
10000.00000000
PA
USD
8643.75000000
0.009107906578
Long
LON
CORP
US
N
2
2021-11-15
None
0.00000000
N
N
N
N
N
N
Hercules Capital Funding Trust
N/A
Hercules Capital Funding Trust 2018-1
42710VAA2
400000.00000000
PA
USD
401619.00000000
0.423185345732
Long
ABS-O
CORP
US
N
2
2027-11-22
Fixed
4.61000000
N
N
N
N
N
N
ADAMS OUTDOOR ADVERTISING
549300BTFXNHDCUHER30
Adams Outdoor Advertising LP
006346AS9
393439.62000000
PA
USD
408799.31000000
0.430751227749
Long
ABS-O
CORP
US
N
2
2048-11-15
Fixed
4.81000000
N
N
N
N
N
N
CarMax Auto Owner Trust
N/A
Carmax Auto Owner Trust 2019-3
14315PAA3
64539.55000000
PA
USD
64537.54000000
0.068003110354
Long
ABS-O
CORP
US
N
2
2020-08-17
Fixed
2.26000000
N
N
N
N
N
N
Bank of America, National Association
B4TYDEB6GKMZO031MB27
PURCHASED USD / SOLD EUR
000000000
1.00000000
NC
-1819.00000000
-0.00191667760
N/A
DFE
US
N
2
Bank of America, National Association
B4TYDEB6GKMZO031MB27
144000.00000000
EUR
159985.01000000
USD
2020-01-17
-1819
N
N
N
Goldman Sachs International
W22LROWP2IHZNBB6K528
PURCHASED USD / SOLD MXN
000000000
1.00000000
NC
-4367.30000000
-0.00460181754
N/A
DFE
US
N
2
Goldman Sachs International
W22LROWP2IHZNBB6K528
2150000.00000000
MXN
109615.47000000
USD
2020-01-02
-4367.3
N
N
N
Options Clearing Corp.
549300CII6SLYGKNHA04
RUSSELL 2000 INDEX JAN20 1595 PUT
000000000
-4.00000000
NC
USD
-844.00000000
-0.00088932155
N/A
DE
US
N
1
Options Clearing Corp.
549300CII6SLYGKNHA04
Put
Written
Russell 2000 Index
RTY Index
100.00000000
1595
USD
2020-01-10
XXXX
5763.84
N
N
N
Goldman Sachs International
W22LROWP2IHZNBB6K528
PURCHASED USD / SOLD EUR
000000000
1.00000000
NC
-0.69000000
-0.00000072705
N/A
DFE
US
N
2
Goldman Sachs International
W22LROWP2IHZNBB6K528
1275.00000000
EUR
1449.29000000
USD
2020-07-30
-0.69
N
N
N
AMERICAN EQUITY INVESTME
549300RK5RZQ740FPL83
American Equity Investment Life Holding Co
025676AM9
54000.00000000
PA
USD
57700.36000000
0.060798783910
Long
DBT
CORP
US
N
2
2027-06-15
Fixed
5.00000000
N
N
N
N
N
N
New Mountain Finance Corp
549300L1MPTT1H7SES77
New Mountain Finance Corp
647551100
19200.00000000
NS
USD
263808.00000000
0.277974099051
Long
EC
CORP
US
N
1
N
N
N
Buckeye Partners, L.P.
549300KUU34E83DUTG95
Buckeye Partners, L.P. 2019 Term Loan B
11823LAH8
300000.00000000
PA
USD
303084.00000000
0.319359162106
Long
LON
CORP
US
N
2
2026-10-18
Floating
4.44000000
N
N
N
N
N
N
CenturyLink, Inc.
N/A
CenturyLink, Inc. 2017 Term Loan A
15670BAD4
260526.32000000
PA
USD
261667.43000000
0.275718583611
Long
LON
CORP
US
N
2
2022-11-01
Floating
4.55000000
N
N
N
N
N
N
BILHETES DO TESOURO
549300P6U1FJ3IMP7K42
Portugal Treasury Bill
000000000
284000.00000000
PA
318895.67000000
0.336019895377
Long
STIV
NUSS
PT
N
2
2020-01-17
None
0.00000000
N
N
N
N
N
N
Morgan Stanley Capital Services LLC
I7331LVCZKQKX5T7XV54
PURCHASED USD / SOLD BRL
000000000
1.00000000
NC
-495.16000000
-0.00052174935
N/A
DFE
US
N
2
Morgan Stanley Capital Services LLC
I7331LVCZKQKX5T7XV54
220000.00000000
BRL
53985.08000000
USD
2020-04-01
-495.16
N
N
N
Ellington Financial Inc
60GS1D1R1YY5G1W7IT74
Ellington Financial Inc
28852N109
11300.00000000
NS
USD
207129.00000000
0.218251520660
Long
EC
CORP
US
N
1
N
N
N
Oxford Finance Funding Trust
N/A
Oxford Finance Funding 2019-1 LLC
69145AAB4
260000.00000000
PA
USD
264014.40000000
0.278191582426
Long
ABS-O
CORP
US
N
2
2027-02-15
Fixed
4.46000000
N
N
N
N
N
N
Goldman Sachs International
W22LROWP2IHZNBB6K528
PURCHASED USD / SOLD ILS
000000000
1.00000000
NC
-7.29000000
-0.00000768146
N/A
DFE
US
N
2
Goldman Sachs International
W22LROWP2IHZNBB6K528
1750.00000000
ILS
500.33000000
USD
2020-01-31
-7.29
N
N
N
CPM Holdings, Inc.
549300FBUISJCXV8IB65
CPM Holdings, Inc. 2018 1st Lien Term Loan
12654NAC7
99000.00000000
PA
USD
98307.00000000
0.103585940363
Long
LON
CORP
US
N
2
2025-11-15
Floating
5.55000000
N
N
N
N
N
N
Oaktree Specialty Lending Corp
549300J6MGCEU5928620
Oaktree Specialty Lending Corp
67401P108
1304.00000000
NS
USD
7119.84000000
0.007502164867
Long
EC
CORP
US
N
1
N
N
N
Owl Rock Capital Corp
2549000BD79OOCPF2L94
Owl Rock Capital Corp
69121KAA2
250000.00000000
PA
USD
265456.53000000
0.279711152672
Long
DBT
CORP
US
N
2
2024-04-15
Fixed
5.25000000
N
N
N
N
N
N
Citigroup Commercial Mortgage Trust
N/A
CGMS Commercial Mortgage Trust 2017-MDDR
125333BY9
260000.00000000
PA
USD
258063.21000000
0.271920822333
Long
ABS-MBS
CORP
US
N
2
2030-07-15
Floating
5.14000000
N
N
N
N
N
N
KREF 2018--FL1 Ltd.
549300N45646UZ8P3S07
KREF 2018-FL1 Ltd
48275PAA9
400000.00000000
PA
USD
401121.46000000
0.422661088571
Long
ABS-CBDO
CORP
KY
N
2
2036-06-15
Floating
2.84000000
N
N
N
N
N
N
Goldman Sachs International
W22LROWP2IHZNBB6K528
PURCHASED MXN / SOLD USD
000000000
1.00000000
NC
221.96000000
0.000233878923
N/A
DFE
MX
N
2
Goldman Sachs International
W22LROWP2IHZNBB6K528
44727.84000000
USD
860000.00000000
MXN
2020-04-08
221.96
N
N
N
Goldman Sachs International
W22LROWP2IHZNBB6K528
PURCHASED USD / SOLD ILS
000000000
1.00000000
NC
-1734.42000000
-0.00182755578
N/A
DFE
US
N
2
Goldman Sachs International
W22LROWP2IHZNBB6K528
351754.79000000
ILS
102447.88000000
USD
2021-02-01
-1734.42
N
N
N
Cascade Funding Mortgage Trust
N/A
Cascade Funding Mortgage Trust 2018-RM2
14727QAA3
507795.34000000
PA
USD
521616.87000000
0.549626923703
Long
ABS-MBS
CORP
US
N
2
2068-10-25
Variable
4.00000000
N
N
N
N
N
N
United States Treasury
254900HROIFWPRGM1V77
United States Treasury Note/Bond
912828XU9
1600000.00000000
PA
USD
1599500.00000000
1.685390782057
Long
DBT
UST
US
N
2
2020-06-15
Fixed
1.50000000
N
N
N
N
N
N
UNITED INS HOLDINGS CORP
5299002P9105LJQA8G51
United Insurance Holdings Corp
910710AA0
530000.00000000
PA
USD
542917.21000000
0.572071060427
Long
DBT
CORP
US
N
2
2027-12-15
Fixed
6.25000000
N
N
N
N
N
N
Barclays Bank PLC
G5GSEF7VJP5I7OUK5573
PURCHASED USD / SOLD MXN
000000000
1.00000000
NC
-529.69000000
-0.00055813356
N/A
DFE
US
N
2
Barclays Bank PLC
G5GSEF7VJP5I7OUK5573
860000.00000000
MXN
44420.11000000
USD
2020-04-08
-529.69
N
N
N
Playpower, Inc.
549300SUBBD4NQQD2G45
Playpower, Inc. 2019 Term Loan
72813NAU9
99500.00000000
PA
USD
98753.75000000
0.104056680177
Long
LON
CORP
US
N
2
2026-05-08
Floating
7.46000000
N
N
N
N
N
N
New Residential Mortgage Loan Trust
N/A
New Residential Mortgage Loan Trust 2019-RPL1
64830LAA3
92256.70000000
PA
USD
92811.42000000
0.097795255853
Long
ABS-MBS
CORP
US
N
2
2024-02-26
Variable
4.33000000
N
N
N
N
N
N
ISRAEL FIXED BOND
213800T8ZHTFZIBYPE21
Israel Government Bond - Fixed
000000000
2110000.00000000
PA
622306.82000000
0.655723774954
Long
DBT
NUSS
IL
N
2
2021-04-30
Fixed
1.00000000
N
N
N
N
N
N
Northrop Grumman Corp
RIMU48P07456QXSO0R61
Northrop Grumman Corp
666807BE1
30000.00000000
PA
USD
30585.52000000
0.032227917144
Long
DBT
CORP
US
N
2
2021-03-15
Fixed
3.50000000
N
N
N
N
N
N
Nassau 2019 CFO LLC
N/A
Nassau 2019 CFO LLC
63172DAA9
244593.48000000
PA
USD
242798.90000000
0.255836841484
Long
ABS-O
CORP
US
N
2
2034-08-15
Fixed
3.98000000
N
N
N
N
N
N
Stack Infrastructure Issuer LLC
N/A
Stack Infrastructure Issuer LLC
85236KAA0
456166.66000000
PA
USD
478106.91000000
0.503780543264
Long
ABS-O
CORP
US
N
2
2044-02-25
Fixed
4.54000000
N
N
N
N
N
N
iShares Core U.S. Aggregate Bond ETF
549300F7VSXTKBGHJE47
iShares Core U.S. Aggregate Bond ETF
464287226
9150.00000000
NS
USD
1028185.50000000
1.083397539196
Long
EC
RF
US
N
1
N
N
N
Newtek Small Business Loan Trust
N/A
Newtek Small Business Loan Trust 2018-1
65252MAA7
180647.61000000
PA
USD
180985.02000000
0.190703647638
Long
ABS-O
CORP
US
N
2
2044-02-25
Floating
3.41000000
N
N
N
N
N
N
Emerald TopCo Inc
549300KISPZJ80F65D65
Emerald TopCo Inc Term Loan
29102TAB8
99750.00000000
PA
USD
100451.74000000
0.105845849726
Long
LON
CORP
US
N
2
2026-07-24
Floating
5.30000000
N
N
N
N
N
N
Goldman Sachs International
W22LROWP2IHZNBB6K528
PURCHASED USD / SOLD EUR
000000000
1.00000000
NC
861.47000000
0.000907729663
N/A
DFE
US
N
2
Goldman Sachs International
W22LROWP2IHZNBB6K528
52400.00000000
EUR
60290.39000000
USD
2020-06-15
861.47
N
N
N
County of Knox IN
N/A
KNOX CNTY IN ECON DEV REVENUE
499396AV1
5000.00000000
PA
USD
5100.30000000
0.005374178559
Long
DBT
MUN
US
N
2
2034-04-01
Fixed
5.90000000
N
N
N
N
N
N
CD Commercial Mortgage Trust
N/A
CD 2017-CD4 Mortgage Trust
12515DAS3
1025052.31000000
PA
USD
71302.43000000
0.075131264932
Long
ABS-MBS
CORP
US
N
2
2050-05-10
Variable
1.31000000
N
N
N
N
N
N
Western Midstream Partners LP
N/A
Western Midstream Partners LP
958669103
3956.00000000
NS
USD
77893.64000000
0.082076413152
Long
EC
CORP
US
N
1
N
N
N
Cvent, Inc.
N/A
Cvent, Inc. 1st Lien Term Loan
23248RAB0
98743.70000000
PA
USD
98817.76000000
0.104124127419
Long
LON
CORP
US
N
2
2024-11-29
Floating
5.55000000
N
N
N
N
N
N
RBC USA Holdco Corp
N/A
RBC USA Holdco Corp
178566AC9
100000.00000000
PA
USD
102295.63000000
0.107788753889
Long
DBT
CORP
US
N
2
2020-09-15
Fixed
5.25000000
N
N
N
N
N
N
BCP Renaissance Parent LLC
549300GVXMQFQZDSJR97
BCP Renaissance Parent LLC 2017 Term Loan B
05549PAB7
494987.48000000
PA
USD
441466.96000000
0.465173082192
Long
LON
CORP
US
N
2
2024-10-31
Floating
5.44000000
N
N
N
N
N
N
Morgan Stanley Capital Services LLC
I7331LVCZKQKX5T7XV54
Long: BGH5V7J54 CDS USD R V 03MEVENT BGH5V7J54_PRO CDX / Short: BGH5V7J54 CDS USD P F 1.00000 BGH5V7J54_FEE CDX
000000000
40000.00000000
OU
Notional Amount
USD
-1010.59000000
-0.00106485718
N/A
DCR
US
N
2
Morgan Stanley Capital Services LLC
I7331LVCZKQKX5T7XV54
Markit CDX.NA.IG.S31.V1
2I65BYBD6
Y
buy protection
2023-12-20
32
USD
0
USD
40000
USD
-1042.59
N
N
N
United States Treasury
254900HROIFWPRGM1V77
United States Treasury Note/Bond
9128282V1
2000000.00000000
PA
USD
1996484.38000000
2.103692635557
Long
DBT
UST
US
N
2
2020-09-15
Fixed
1.38000000
N
N
N
N
N
N
MPLX LP
5493000CZJ19CK4P3G36
MPLX LP
55336V100
5298.00000000
NS
USD
134887.08000000
0.142130316505
Long
EC
CORP
US
N
1
N
N
N
Frontera Generation Holdings LLC
N/A
Frontera Generation Holdings LLC 2018 Term Loan B
35905EAB7
492400.99000000
PA
USD
425926.86000000
0.448798501828
Long
LON
CORP
US
N
2
2025-05-02
Floating
5.99000000
N
N
N
N
N
N
Cent CLO LP
549300066YASG4MIU864
Columbia Cent CLO 27 Ltd
19736RAA9
266666.48000000
PA
USD
266668.75000000
0.280988467091
Long
ABS-CBDO
CORP
KY
N
2
2028-10-25
Floating
2.64000000
N
N
N
N
N
N
CNX Midstream Partners LP
N/A
CNX Midstream Partners LP
12654A101
10300.00000000
NS
USD
169538.00000000
0.178641939611
Long
EC
CORP
US
N
1
N
N
N
ISRAEL FIXED BOND
213800T8ZHTFZIBYPE21
Israel Government Bond - Fixed
000000000
690000.00000000
PA
232035.40000000
0.244495357468
Long
DBT
NUSS
IL
N
2
2022-01-31
Fixed
5.50000000
N
N
N
N
N
N
ISRAEL FIXED BOND
213800T8ZHTFZIBYPE21
Israel Government Bond - Fixed
000000000
2350000.00000000
PA
686555.48000000
0.723422492881
Long
DBT
NUSS
IL
N
2
2021-01-31
Fixed
0.50000000
N
N
N
N
N
N
Countrywide Alternative Loan Trust
N/A
Alternative Loan Trust 2007-OA4
02150DAA3
200993.71000000
PA
USD
191359.76000000
0.201635495817
Long
ABS-MBS
CORP
US
N
2
2047-05-25
Floating
1.96000000
N
N
N
N
N
N
Cologix, Inc.
N/A
Cologix, Inc. 2018 Term Loan
19521LAB9
100000.00000000
PA
USD
99500.00000000
0.104843002697
Long
LON
CORP
US
N
2
2024-03-20
Floating
5.55000000
N
N
N
N
N
N
Options Clearing Corp.
549300CII6SLYGKNHA04
S+P 500 INDEX JAN20 3090 PUT
000000000
-2.00000000
NC
USD
-1320.00000000
-0.00139088204
N/A
DE
US
N
1
Options Clearing Corp.
549300CII6SLYGKNHA04
Put
Written
S&P 500 Index
SPX Index
100.00000000
3090
USD
2020-01-17
XXXX
3028.66
N
N
N
New Residential Investment Corp
549300WNTHGEO5LP2G31
New Residential Investment Corp
64828T201
26322.00000000
NS
USD
424047.42000000
0.446818138682
Long
EC
US
N
1
N
N
N
SS&C Technologies Inc.
549300KY09TR3J12JU49
SS&C Technologies Inc. 2018 Term Loan B5
78466DBF0
742543.37000000
PA
USD
748468.87000000
0.788660540265
Long
LON
CORP
US
N
2
2025-04-16
Floating
4.05000000
N
N
N
N
N
N
FS Investment Corp
549300TYRSI1T21B1360
FS Investment Corp
302635107
125982.00000000
NS
USD
772269.66000000
0.813739397453
Long
EC
CORP
US
N
1
N
N
N
Castlelake Aircraft Securitization Trust 2017-1
N/A
Castlelake Aircraft Securitization Trust 2017-1 Class A Loans
14855LAB6
351670.47000000
PA
USD
356623.04000000
0.375773169293
Long
LON
CORP
US
N
2
2042-07-15
Fixed
3.97000000
N
N
N
N
N
N
BIB MERCHANT VOUCHER REC
N/A
BIB MERCHANT VOUCHER REC 04/28 1
08866TAB8
200000.00000000
PA
USD
206509.57000000
0.217598828186
Long
DBT
CORP
US
N
3
2028-04-07
Fixed
4.18000000
N
N
N
N
N
N
Plains All American Pipeline LP
5521FA2ITF25TVH63740
Plains All American Pipeline LP
726503105
13188.00000000
NS
USD
242527.32000000
0.255550678040
Long
EC
CORP
US
N
1
N
N
N
Citibank, National Association
E57ODZWZ7FF32TWEFA76
PURCHASED USD / SOLD ILS
000000000
1.00000000
NC
3.86000000
0.000004067276
N/A
DFE
US
N
2
Citibank, National Association
E57ODZWZ7FF32TWEFA76
13637.26000000
ILS
3980.52000000
USD
2020-04-30
3.86
N
N
N
Goldman Sachs International
W22LROWP2IHZNBB6K528
Long: BGH5VLU19 CDS USD R V 03MEVENT BGH5VLU19_PRO CDX / Short: BGH5VLU19 CDS USD P F 1.00000 BGH5VLU19_FEE CDX
000000000
40000.00000000
OU
Notional Amount
USD
-1010.59000000
-0.00106485718
N/A
DCR
GB
N
2
Goldman Sachs International
W22LROWP2IHZNBB6K528
Markit CDX.NA.IG.S31.V1
2I65BYBD6
Y
buy protection
2023-12-20
150
USD
0
USD
40000
USD
-1160.59
N
N
N
Neon Holdings Inc
N/A
Neon Holdings Inc
64051NAA1
25000.00000000
PA
USD
24934.31000000
0.026273245533
Long
DBT
CORP
US
N
2
2026-04-01
Fixed
10.13000000
N
N
N
N
N
N
Options Clearing Corp.
549300CII6SLYGKNHA04
S+P 500 INDEX JAN20 3155 PUT
000000000
-2.00000000
NC
USD
-1380.00000000
-0.00145410395
N/A
DE
US
N
1
Options Clearing Corp.
549300CII6SLYGKNHA04
Put
Written
S&P 500 Index
SPX Index
100.00000000
3155
USD
2020-01-10
XXXX
98.92
N
N
N
J.P. Morgan Securities LLC
ZBUT11V806EZRVTWT807
Long: BGH6E6186 TRS USD R V 01MLIBOR US0001M + 80 BPS / Short: BGH6E6186 TRS USD P E ISHARES CORE TOTAL AGGREGATE
000000000
140725.00000000
OU
Notional Amount
USD
262.50000000
0.000276595861
N/A
DE
US
N
2
J.P. Morgan Securities LLC
ZBUT11V806EZRVTWT807
iShares Core U.S. Aggregate Bond ETF
iShares Core U.S. Aggregate Bond ETF
Y
equity-performance leg
2020-01-09
0
USD
0
USD
140725
USD
262.5
N
N
N
Ares Capital Corp
WEQ82666OJYSI5GUAB47
Ares Capital Corp
04010L103
61882.00000000
NS
USD
1154099.30000000
1.216072723850
Long
EC
CORP
US
N
1
N
N
N
Palmer Square Loan Funding Ltd
N/A
Palmer Square Loan Funding 2019-3 Ltd
69689LAE6
340000.00000000
PA
USD
335624.73000000
0.353647281133
Long
ABS-CBDO
CORP
KY
N
2
2027-08-20
Variable
4.00000000
N
N
N
N
N
N
Bank of America, National Association
B4TYDEB6GKMZO031MB27
PURCHASED USD / SOLD ILS
000000000
1.00000000
NC
-1618.18000000
-0.00170507387
N/A
DFE
US
N
2
Bank of America, National Association
B4TYDEB6GKMZO031MB27
316500.00000000
ILS
93833.38000000
USD
2022-01-31
-1618.18
N
N
N
LTI Holdings, Inc.
5493003GUY3WBOTOAP97
LTI Holdings, Inc. 2018 Add On 1st Lien Term Loan
50217UAS6
98750.00000000
PA
USD
89298.14000000
0.094093317918
Long
LON
CORP
US
N
2
2025-09-06
Floating
5.30000000
N
N
N
N
N
N
Ready Capital Corp
549300MYWGZUG7ZUYO87
Ready Capital Corp
75574U101
25119.00000000
NS
USD
387334.98000000
0.408134295005
Long
EC
US
N
1
N
N
N
Bank of America, National Association
B4TYDEB6GKMZO031MB27
PURCHASED USD / SOLD ILS
000000000
1.00000000
NC
0.33000000
0.000000347720
N/A
DFE
US
N
2
Bank of America, National Association
B4TYDEB6GKMZO031MB27
1002.74000000
ILS
292.73000000
USD
2020-04-30
0.33
N
N
N
Crestwood Equity Partners LP
549300CUY0F1TYDLDL45
Crestwood Equity Partners LP
226344208
8200.00000000
NS
USD
252724.00000000
0.266294904660
Long
EC
CORP
US
N
1
N
N
N
Morgan Stanley Capital Services LLC
I7331LVCZKQKX5T7XV54
Long: BGH5UU6G4 CDS USD R V 03MEVENT BGH5UU6G4_PRO CDX / Short: BGH5UU6G4 CDS USD P F 1.00000 BGH5UU6G4_FEE CDX
000000000
20000.00000000
OU
Notional Amount
USD
-505.29000000
-0.00053242332
N/A
DCR
US
N
2
Morgan Stanley Capital Services LLC
I7331LVCZKQKX5T7XV54
Markit CDX.NA.IG.S31.V1
2I65BYBD6
Y
buy protection
2023-12-20
0
USD
-124
USD
20000
USD
-381.29
N
N
N
SPS Servicer Advance Receivables Trust
N/A
SPS Servicer Advance Receivables Trust Advance Receivables Backed Notes 2019-T1
78469QBA9
150000.00000000
PA
USD
150184.08000000
0.158248742759
Long
ABS-O
CORP
US
N
2
2051-10-15
Fixed
2.63000000
N
N
N
N
N
N
Ingredion Inc
PKSTQ48QDN0XSVS7YK88
Ingredion Inc
219023AF5
70000.00000000
PA
USD
71448.36000000
0.075285031157
Long
DBT
CORP
US
N
2
2020-11-01
Fixed
4.63000000
N
N
N
N
N
N
Station Place Securitization Trust
N/A
Station Place Securitization Trust Series 2019-WL1
85769FAB4
150000.00000000
PA
USD
150397.50000000
0.158473623097
Long
ABS-MBS
CORP
US
N
2
2052-08-25
Floating
2.59000000
N
N
N
N
N
N
Wyndham Hotels & Resorts, Inc.
549300FE3MQ4RVXXC673
Wyndham Hotels & Resorts, Inc. Term Loan B
98310CAC6
592747.48000000
PA
USD
596452.15000000
0.628480747451
Long
LON
CORP
US
N
2
2025-05-30
Floating
3.55000000
N
N
N
N
N
N
Regatta VI Funding Ltd.
2549001NU08X5ZRD6A39
Regatta VI Funding Ltd
75887NAL3
500000.00000000
PA
USD
500007.68000000
0.526857352191
Long
ABS-CBDO
CORP
KY
N
2
2028-07-20
Floating
3.05000000
N
N
N
N
N
N
JPMorgan Chase Bank, National Association
7H6GLXDRUGQFU57RNE97
PURCHASED USD / SOLD EUR
000000000
1.00000000
NC
-9.75000000
-0.00001027356
N/A
DFE
US
N
2
JPMorgan Chase Bank, National Association
7H6GLXDRUGQFU57RNE97
1350.00000000
EUR
1525.53000000
USD
2020-07-30
-9.75
N
N
N
Drug Royalty III LP 1
5493003XX9XM10JNJW35
Drug Royalty III LP 1
26224HAG2
380025.60000000
PA
USD
379682.97000000
0.400071383396
Long
ABS-O
CORP
US
N
2
2031-10-15
Floating
3.90000000
N
N
N
N
N
N
MEXICO CETES
254900EGTWEU67VP6075
Mexico Cetes
000000000
6920000.00000000
PA
362633.31000000
0.382106181895
Long
DBT
NUSS
MX
N
2
2020-02-27
None
0.00000000
N
N
N
N
N
N
CFG Investments Limited
549300C3OD89QRWQ1Y92
CFG Investments Ltd
125261AB3
400000.00000000
PA
USD
405604.08000000
0.427384418628
Long
ABS-O
CORP
US
N
2
2029-08-15
Fixed
7.62000000
N
N
N
N
N
N
Ocwen Master Advance Receivables Trust
N/A
Ocwen Master Advance Receivables Trust Series 2019-T1
67575NBP7
100000.00000000
PA
USD
100294.64000000
0.105680313689
Long
ABS-O
CORP
US
N
2
2050-08-15
Fixed
3.11000000
N
N
N
N
N
N
Williams Cos Inc/The
D71FAKCBLFS2O0RBPG08
Williams Cos Inc/The
969457100
11207.00000000
NS
USD
265830.04000000
0.280104719606
Long
EC
CORP
US
N
1
N
N
N
Goldman Sachs International
W22LROWP2IHZNBB6K528
PURCHASED USD / SOLD ILS
000000000
1.00000000
NC
-10.25000000
-0.00001080040
N/A
DFE
US
N
2
Goldman Sachs International
W22LROWP2IHZNBB6K528
3208.77000000
ILS
925.44000000
USD
2020-04-30
-10.25
N
N
N
ACC Trust
N/A
ACC Trust 2019-1
00085MAA7
156491.71000000
PA
USD
157363.84000000
0.165814045242
Long
ABS-O
CORP
US
N
2
2022-05-20
Fixed
3.75000000
N
N
N
N
N
N
United States Treasury
254900HROIFWPRGM1V77
United States Treasury Note/Bond
9128285A4
1600000.00000000
PA
USD
1631000.00000000
1.718582285424
Long
DBT
UST
US
N
2
2021-09-15
Fixed
2.75000000
N
N
N
N
N
N
Hull Street CDO Ltd
549300W5TZ4WI4ZLP434
Hull Street CLO Ltd
444838AN6
300000.00000000
PA
USD
299069.72000000
0.315129321213
Long
ABS-CBDO
CORP
KY
N
2
2026-10-18
Floating
4.70000000
N
N
N
N
N
N
TCG BDC Inc
5493003POT0JT6WD1D83
TCG BDC Inc
872280102
26575.00000000
NS
USD
355573.50000000
0.374667270549
Long
EC
CORP
US
N
1
N
N
N
Morgan Stanley IXIS Real Estate Capital Trust
N/A
Morgan Stanley IXIS Real Estate Capital Trust 2006-2
617463AD6
415166.56000000
PA
USD
206924.78000000
0.218036334349
Long
ABS-O
CORP
US
N
2
2036-11-25
Floating
2.01000000
N
N
N
N
N
N
Capital Automotive Reit
N/A
Capital Automotive LLC
12479RAD9
331063.89000000
PA
USD
333794.64000000
0.351718918009
Long
ABS-O
CORP
US
N
2
2047-04-15
Fixed
3.87000000
N
N
N
N
N
N
The Bank of New York Mellon
HPFHU0OQ28E4N0NFVK49
REPO BANK OF NEW YORK OVERNIGHT REPO
000000000
212000.00000000
PA
USD
212000.00000000
0.223384086149
Long
RA
CORP
US
N
2
Repurchase
N
2.28000000
2020-02-07
291000.00000000
USD
282665.76000000
USD
ABS
N
N
N
Avolon TLB Borrower 1 (US) LLC
635400O84AGITYFZQB55
Avolon TLB Borrower 1 (US) LLC Term Loan B3
05400KAE0
454422.48000000
PA
USD
457830.65000000
0.482415478120
Long
LON
CORP
US
N
2
2025-01-15
Floating
3.51000000
N
N
N
N
N
N
Options Clearing Corp.
549300CII6SLYGKNHA04
S+P 500 INDEX JAN20 3150 PUT
000000000
-2.00000000
NC
USD
-4400.00000000
-0.00463627348
N/A
DE
US
N
1
Options Clearing Corp.
549300CII6SLYGKNHA04
Put
Written
S&P 500 Index
SPX Index
100.00000000
3150
USD
2020-01-31
XXXX
233.2
N
N
N
Citibank, National Association
E57ODZWZ7FF32TWEFA76
PURCHASED USD / SOLD ILS
000000000
1.00000000
NC
-1805.60000000
-0.00190255804
N/A
DFE
US
N
2
Citibank, National Association
E57ODZWZ7FF32TWEFA76
1373600.00000000
ILS
406847.94000000
USD
2021-04-30
-1805.6
N
N
N
JP Morgan Chase Commercial Mortgage Sec Trust
N/A
JP Morgan Chase Commercial Mortgage Securities Trust 2016-JP2
46590MAT7
1851292.09000000
PA
USD
178990.51000000
0.188602035404
Long
ABS-MBS
CORP
US
N
2
2049-08-15
Variable
1.83000000
N
N
N
N
N
N
LETRA TESOURO NACIONAL
254900ZFY40OYEADAP90
Brazil Letras do Tesouro Nacional
000000000
2000000.00000000
PA
487079.62000000
0.513235074508
Long
DBT
NUSS
BR
N
2
2020-07-01
None
0.00000000
N
N
N
N
N
N
AGNC Investment Corp
5TRACI5HRMELWV32OF39
AGNC Investment Corp
00123Q104
23100.00000000
NS
USD
408408.00000000
0.430338904981
Long
EC
US
N
1
N
N
N
RMF Buyout Issuance Trust
N/A
RMF Buyout Issuance Trust 2018-1
76971BAB6
460000.00000000
PA
USD
461579.64000000
0.486365783333
Long
ABS-O
CORP
US
N
3
2028-11-25
Variable
3.91000000
N
N
N
N
N
N
Georgia-Pacific LLC
L2EVHWFHVAQK72TMH265
Georgia-Pacific LLC
37331NAB7
20000.00000000
PA
USD
20557.85000000
0.021661776110
Long
DBT
CORP
US
N
2
2020-11-01
Fixed
5.40000000
N
N
N
N
N
N
Regions Bank
EQTWLK1G7ODGC2MGLV11
REVERSE REPO/REGIONS BANK
000000000
250000.00000000
PA
USD
250000.00000000
0.263424629893
Long
RA
CORP
US
N
2
Repurchase
N
2.07000000
2020-02-03
292000.00000000
USD
299402.20000000
USD
ABS
N
N
N
Options Clearing Corp.
549300CII6SLYGKNHA04
RUSSELL 2000 INDEX JAN20 1600 PUT
000000000
-1.00000000
NC
USD
-236.00000000
-0.00024867285
N/A
DE
US
N
1
Options Clearing Corp.
549300CII6SLYGKNHA04
Put
Written
Russell 2000 Index
RTY Index
100.00000000
1600
USD
2020-01-10
XXXX
1483.46
N
N
N
Residential Accredit Loans, Inc.
N/A
RALI Series 2006-QO6 Trust
75114NAA2
438580.90000000
PA
USD
170937.39000000
0.180116474782
Long
ABS-MBS
CORP
US
N
2
2046-06-25
Floating
1.97000000
N
N
N
N
N
N
Two Harbors Investment Corp
549300ZUIBT6KH4HU823
Two Harbors Investment Corp
90187B408
23437.00000000
NS
USD
342648.94000000
0.361048680811
Long
EC
US
N
1
N
N
N
State Street Global Advisors
549300Q3FHSMZ70NLT76
State Street Institutional Treasury Money Market Fund
857492888
848133.90000000
NS
USD
848133.90000000
0.893677434830
Long
STIV
RF
US
N
1
N
N
N
Falcon Aerospace Ltd
N/A
Falcon Aerospace Ltd 2017-1
30605YAD3
475529.57000000
PA
USD
488952.82000000
0.515208862575
Long
ABS-O
CORP
US
N
2
2042-02-15
Fixed
6.30000000
N
N
N
N
N
N
Nationstar HECM Loan Trust
N/A
Nationstar HECM Loan Trust 2018-3
63863BAB5
460000.00000000
PA
USD
465732.43000000
0.490741572008
Long
ABS-O
CORP
US
N
3
2028-11-25
Variable
3.90000000
N
N
N
N
N
N
BARCLAYS CAPITAL INC.
AC28XWWI3WIBK2824319
BARCLAYS CAPITAL REPO REPO
000000000
53495.00000000
PA
USD
53495.00000000
0.056367602304
Long
RA
CORP
US
N
2
Repurchase
N
1.95000000
2020-02-03
52000.00000000
USD
58146.92000000
USD
CDS
N
N
N
Marathon CRE Issuer Ltd
N/A
Marathon CRE 2018 FL1 Ltd
565780AG8
100000.00000000
PA
USD
100227.68000000
0.105609758036
Long
ABS-CBDO
CORP
KY
N
2
2028-06-15
Floating
4.34000000
N
N
N
N
N
N
BROADCOM CRP / CAYMN FI
N/A
Broadcom Corp / Broadcom Cayman Finance Ltd
11134LAB5
60000.00000000
PA
USD
60003.19000000
0.063225272472
Long
DBT
CORP
US
N
2
2020-01-15
Fixed
2.38000000
N
N
N
N
N
N
NEW RESIDENTIAL INV CORP
549300WNTHGEO5LP2G31
New Residential Investment Corp
64828T409
8200.00000000
NS
USD
212544.00000000
0.223957298144
Long
EP
US
N
1
N
N
N
Barings BDC Inc
549300GSF4KFZP6ONG49
Barings BDC Inc
06759L103
49200.00000000
NS
USD
505776.00000000
0.532935422435
Long
EC
CORP
US
N
1
N
N
N
AVSC Holding Corp.
549300CLJBQ9YSR4U689
AVSC Holding Corp. 2018 1st Lien Term Loan
00241YAM6
98743.72000000
PA
USD
98620.29000000
0.103916053572
Long
LON
CORP
US
N
2
2025-03-01
Floating
5.23000000
N
N
N
N
N
N
HAT HOLDINGS I LLC/HAT
N/A
HAT Holdings I LLC / HAT Holdings II LLC
418751AA1
230000.00000000
PA
USD
242267.05000000
0.255276431926
Long
DBT
US
N
2
2024-07-15
Fixed
5.25000000
N
N
N
N
N
N
KKR Real Estate Finance Trust Inc
549300K23AYZDZ2REL62
KKR Real Estate Finance Trust Inc
48251K100
9648.00000000
NS
USD
197012.16000000
0.207591421329
Long
EC
US
N
1
N
N
N
JPMorgan Chase Bank, National Association
7H6GLXDRUGQFU57RNE97
PURCHASED USD / SOLD EUR
000000000
1.00000000
NC
-1341.84000000
-0.00141389482
N/A
DFE
US
N
2
JPMorgan Chase Bank, National Association
7H6GLXDRUGQFU57RNE97
181350.00000000
EUR
209308.73000000
USD
2021-07-30
-1341.84
N
N
N
New Residential Advance Receivables Trust Advance
N/A
New Residential Advance Receivables Trust Advance Receivables Backed 2019-T3
62942QCD3
600000.00000000
PA
USD
600065.64000000
0.632288276514
Long
ABS-O
CORP
US
N
2
2052-09-15
Fixed
3.06000000
N
N
N
N
N
N
Goldman Sachs & Co. LLC
FOR8UP27PHTHYVLBNG30
Long: BGH5USW88 CDS USD R V 03MEVENT BGH5USW88_PRO CDX / Short: BGH5USW88 CDS USD P F 1.00000 BGH5USW88_FEE CDX
000000000
90000.00000000
OU
Notional Amount
USD
-2273.82000000
-0.00239592076
N/A
DCR
US
N
2
Goldman Sachs & Co. LLC
FOR8UP27PHTHYVLBNG30
Markit CDX.NA.IG.S31.V1
2I65BYBD6
Y
buy protection
2023-12-20
0
USD
-549
USD
90000
USD
-1724.82
N
N
N
Nathan's Famous Inc
54930034SKNSF1JIE673
Nathan's Famous Inc
632347AC4
50000.00000000
PA
USD
51250.00000000
0.054002049128
Long
DBT
CORP
US
N
2
2025-11-01
Fixed
6.63000000
N
N
N
N
N
N
Options Clearing Corp.
549300CII6SLYGKNHA04
RUSSELL 2000 INDEX JAN20 1615 PUT
000000000
-2.00000000
NC
USD
-1200.00000000
-0.00126443822
N/A
DE
US
N
1
Options Clearing Corp.
549300CII6SLYGKNHA04
Put
Written
Russell 2000 Index
RTY Index
100.00000000
1615
USD
2020-01-17
XXXX
1178.92
N
N
N
ScribeAmerica Intermediate Holdco, LLC
N/A
ScribeAmerica Intermediate Holdco, LLC 2018 Term Loan
81104BAC4
49371.85000000
PA
USD
48569.56000000
0.051177673468
Long
LON
CORP
US
N
2
2025-04-03
Floating
6.24000000
N
N
N
N
N
N
COLT Funding LLC
N/A
COLT 2018-3 Mortgage Loan Trust
12596DAA4
124556.24000000
PA
USD
125521.33000000
0.132261639595
Long
ABS-MBS
CORP
US
N
2
2048-10-26
Variable
3.69000000
N
N
N
N
N
N
Chicago Board of Trade
549300EX04Q2QBFQTQ27
US 10YR ULTRA FUT MAR20 XCBT 20200320
000000000
3.00000000
NC
USD
-5257.68000000
-0.00554000963
N/A
DIR
US
N
1
Chicago Board of Trade
549300EX04Q2QBFQTQ27
Long
US 10 Year Ultra Bond
UXYH0 Comdty
2020-03-20
427367.06
USD
-5257.68
N
N
N
ZIMMER BIOMET HOLDINGS
2P2YLDVPES3BXQ1FRB91
Zimmer Biomet Holdings Inc
98956PAK8
60000.00000000
PA
USD
60040.89000000
0.063264996906
Long
DBT
CORP
US
N
2
2020-04-01
Fixed
2.70000000
N
N
N
N
N
N
Exantas Capital Corp
549300RUJWPCMY4JFR46
Exantas Capital Corp
30068N105
375.00000000
NS
USD
4428.75000000
0.004666567318
Long
EC
US
N
1
N
N
N
Panther BF Aggregator 2 L P
549300474L1ZLXZY2P98
Panther BF Aggregator 2 LP USD Term Loan B
000000000
653362.50000000
PA
USD
656835.12000000
0.692106193547
Long
LON
CORP
CA
N
2
2026-04-30
Floating
5.30000000
N
N
N
N
N
N
Air Newco LLC
N/A
Air Newco LLC 2019 Term Loan B
04625CAC4
100000.00000000
PA
USD
99250.00000000
0.104579578067
Long
LON
CORP
US
N
2
2026-10-09
Floating
6.26000000
N
N
N
N
N
N
JPMorgan Chase Bank, National Association
7H6GLXDRUGQFU57RNE97
PURCHASED USD / SOLD BRL
000000000
1.00000000
NC
-758.76000000
-0.00079950428
N/A
DFE
US
N
2
JPMorgan Chase Bank, National Association
7H6GLXDRUGQFU57RNE97
400000.00000000
BRL
95023.16000000
USD
2021-07-01
-758.76
N
N
N
Enstar Group Ltd
213800AMAL5QFXVUCN04
Enstar Group Ltd
29359UAB5
500000.00000000
PA
USD
536754.39000000
0.565577306117
Long
DBT
CORP
BM
N
2
2029-06-01
Fixed
4.95000000
N
N
N
N
N
N
Goldman Sachs International
W22LROWP2IHZNBB6K528
PURCHASED USD / SOLD MXN
000000000
1.00000000
NC
-4579.30000000
-0.00482520163
N/A
DFE
US
N
2
Goldman Sachs International
W22LROWP2IHZNBB6K528
2200000.00000000
MXN
112054.23000000
USD
2020-01-02
-4579.3
N
N
N
CREDIT ACCEPTANC
N/A
Credit Acceptance Corp
225310AK7
200000.00000000
PA
USD
205833.00000000
0.216885927379
Long
DBT
CORP
US
N
2
2023-03-15
Fixed
7.38000000
N
N
N
N
N
N
Goldman Sachs International
W22LROWP2IHZNBB6K528
PURCHASED USD / SOLD ILS
000000000
1.00000000
NC
-72.01000000
-0.00007587683
N/A
DFE
US
N
2
Goldman Sachs International
W22LROWP2IHZNBB6K528
21450.00000000
ILS
6149.92000000
USD
2020-01-31
-72.01
N
N
N
Goldman Sachs International
W22LROWP2IHZNBB6K528
PURCHASED USD / SOLD MXN
000000000
1.00000000
NC
-2194.81000000
-0.00231266804
N/A
DFE
US
N
2
Goldman Sachs International
W22LROWP2IHZNBB6K528
1040000.00000000
MXN
52838.55000000
USD
2020-01-16
-2194.81
N
N
N
NorthRiver Midstream Finance LP
N/A
NorthRiver Midstream Finance LP 2018 Term Loan B
000000000
592747.48000000
PA
USD
594786.53000000
0.626725686123
Long
LON
CORP
CA
N
2
2025-10-01
Floating
5.35000000
N
N
N
N
N
N
United States Treasury
254900HROIFWPRGM1V77
United States Treasury Bill
912796SR1
25000.00000000
PA
USD
24852.10000000
0.026186620978
Long
STIV
UST
US
N
2
2020-05-21
None
0.00000000
N
N
N
N
N
N
TEGNA INC
549300YC5EDBGX85AO10
TEGNA Inc
87901JAC9
260000.00000000
PA
USD
264875.00000000
0.279098395372
Long
DBT
CORP
US
N
2
2029-09-15
Fixed
5.00000000
N
N
N
N
N
N
STANDARD CHARTERED BK/NY
RILFO74KP1CM8P6PCT96
Standard Chartered Bank/New York
85325T2F1
100000.00000000
PA
USD
100000.00000000
0.105369851957
Long
DBT
CORP
GB
N
2
2020-08-04
Floating
2.30000000
N
N
N
N
N
N
BLACKROCK TCP CAP CORP
549300JU1XG1HF56J989
BlackRock TCP Capital Corp
09259EAA6
50000.00000000
PA
USD
51121.70000000
0.053866859608
Long
DBT
CORP
US
N
2
2024-08-23
Fixed
3.90000000
N
N
N
N
N
N
NRPL Trust Series
N/A
NRPL Trust 2019-3
62890JAA9
245822.16000000
PA
USD
245511.64000000
0.258695251606
Long
ABS-MBS
CORP
US
N
2
2059-07-25
Variable
3.00000000
N
N
N
N
N
N
Credit Suisse Mortgage Trust
N/A
CSMC 2018-SITE
12690CAG8
480000.00000000
PA
USD
503230.56000000
0.530253296076
Long
ABS-MBS
CORP
US
N
2
2036-04-15
Fixed
4.78000000
N
N
N
N
N
N
BUSINESS DEVELOPMENT COR
549300K8IFP295FLKS39
Business Development Corp of America
12325JAB7
375000.00000000
PA
USD
375417.63000000
0.395577000952
Long
DBT
CORP
US
N
2
2022-12-30
Fixed
4.75000000
N
N
N
N
N
N
MMM Holdings, Inc.
N/A
MMM Holdings, Inc. Term Loan B
000000000
780000.00000000
PA
USD
764400.00000000
0.805447148362
Long
LON
CORP
US
N
2
2026-10-30
Floating
9.50000000
N
N
N
N
N
N
Goldman Sachs International
W22LROWP2IHZNBB6K528
PURCHASED MXN / SOLD USD
000000000
1.00000000
NC
3282.41000000
0.003458670557
N/A
DFE
MX
N
2
Goldman Sachs International
W22LROWP2IHZNBB6K528
537380.73000000
USD
10250000.00000000
MXN
2020-02-06
3282.41
N
N
N
Goldman Sachs International
W22LROWP2IHZNBB6K528
PURCHASED BRL / SOLD USD
000000000
1.00000000
NC
15662.21000000
0.016503247490
N/A
DFE
BR
N
2
Goldman Sachs International
W22LROWP2IHZNBB6K528
531234.15000000
USD
2200000.00000000
BRL
2020-01-02
15662.21
N
N
N
APOLLO MANAGEMENT HOLDIN
5493006XQW0V5K38YM64
Apollo Management Holdings LP
03765HAE1
350000.00000000
PA
USD
354977.36000000
0.374039118714
Long
DBT
CORP
US
N
2
2050-01-14
Variable
4.95000000
N
N
N
N
N
N
Morgan Stanley Capital Services LLC
I7331LVCZKQKX5T7XV54
PURCHASED USD / SOLD BRL
000000000
1.00000000
NC
-505.70000000
-0.00053285534
N/A
DFE
US
N
2
Morgan Stanley Capital Services LLC
I7331LVCZKQKX5T7XV54
180000.00000000
BRL
44069.04000000
USD
2020-04-01
-505.7
N
N
N
TPG RE Finance Trust Inc
N/A
TPG RE Finance Trust Inc
87266M107
20655.00000000
NS
USD
418676.85000000
0.441159177024
Long
EC
CORP
US
N
1
N
N
N
Citibank, National Association
E57ODZWZ7FF32TWEFA76
PURCHASED USD / SOLD GBP
000000000
1.00000000
NC
-311.00000000
-0.00032770023
N/A
DFE
US
N
2
Citibank, National Association
E57ODZWZ7FF32TWEFA76
10000.00000000
GBP
12967.25000000
USD
2020-01-27
-311
N
N
N
Wachovia Asset Securitization Inc
N/A
Wachovia Asset Securitization Issuance II LLC 2007-HE2 Trust
92978LAA6
287687.67000000
PA
USD
274062.98000000
0.288779756295
Long
ABS-O
CORP
US
N
2
2037-07-25
Floating
1.92000000
N
N
N
N
N
N
BWay Holding Company
549300DNGHXL0OMHW304
BWAY Holding Company 2017 Term Loan B
05604XAP1
98734.20000000
PA
USD
98580.17000000
0.103873779188
Long
LON
CORP
US
N
2
2024-04-03
Floating
5.23000000
N
N
N
N
N
N
CAPITAL ONE FINANCIAL CO
ZUE8T73ROZOF6FLBAR73
Capital One Financial Corp
14040HBS3
60000.00000000
PA
USD
60128.22000000
0.063357016398
Long
DBT
CORP
US
N
2
2020-10-30
Floating
2.39000000
N
N
N
N
N
N
Finance of America Structured Securities Trust
N/A
Finance of America Structured Securities Trust 2018-HB1
31738BAB5
370000.00000000
PA
USD
371862.80000000
0.391831281844
Long
ABS-O
CORP
US
N
3
2028-09-25
Variable
3.77000000
N
N
N
N
N
N
API Technologies Corp.
N/A
API Technologies Corp. 2019 Term Loan B
00189CAC0
99500.00000000
PA
USD
96017.50000000
0.101173497603
Long
LON
CORP
US
N
2
2026-05-09
Floating
6.05000000
N
N
N
N
N
N
BCPE Empire Holdings, Inc.
N/A
BCPE Empire Holdings, Inc. 2019 Delayed Draw Term Loan
05550HAC9
16450.48000000
PA
USD
16517.35000000
0.017404307242
Long
LON
CORP
US
N
2
2026-06-11
Floating
5.80000000
N
N
N
N
N
N
Regional Management Issuance Trust
54930056HUXF46SHBY72
Regional Management Issuance Trust 2018-2
75907RAB2
480000.00000000
PA
USD
491887.44000000
0.518301067324
Long
ABS-O
CORP
US
N
2
2028-01-18
Fixed
4.94000000
N
N
N
N
N
N
Options Clearing Corp.
549300CII6SLYGKNHA04
RUSSELL 2000 INDEX JAN20 1620 PUT
000000000
-2.00000000
NC
USD
-2104.00000000
-0.00221698168
N/A
DE
US
N
1
Options Clearing Corp.
549300CII6SLYGKNHA04
Put
Written
Russell 2000 Index
RTY Index
100.00000000
1620
USD
2020-01-24
XXXX
494.92
N
N
N
Options Clearing Corp.
549300CII6SLYGKNHA04
RUSSELL 2000 INDEX JAN20 1605 PUT
000000000
-1.00000000
NC
USD
-546.00000000
-0.00057531939
N/A
DE
US
N
1
Options Clearing Corp.
549300CII6SLYGKNHA04
Put
Written
Russell 2000 Index
RTY Index
100.00000000
1605
USD
2020-01-17
XXXX
1204.46
N
N
N
Goldman Sachs International
W22LROWP2IHZNBB6K528
Long: BGH5WLE32 CDS USD R V 03MEVENT BGH5WLE32_PRO CDX / Short: BGH5WLE32 CDS USD P F 1.00000 BGH5WLE32_FEE CDX
000000000
50000.00000000
OU
Notional Amount
USD
-1263.24000000
-0.00133107411
N/A
DCR
GB
N
2
Goldman Sachs International
W22LROWP2IHZNBB6K528
Markit CDX.NA.IG.S31.V1
2I65BYBD6
Y
buy protection
2023-12-20
305
USD
0
USD
50000
USD
-1568.24
N
N
N
GSAMP Trust
N/A
GSAMP Trust 2007-NC1
3622MGAA6
285696.43000000
PA
USD
184143.95000000
0.194032207503
Long
ABS-O
CORP
US
N
2
2046-12-25
Floating
1.92000000
N
N
N
N
N
N
BONOS Y OBLIG DEL ESTADO
9598007A56S18711AH60
Spain Government Bond
000000000
250000.00000000
PA
284776.03000000
0.300068081221
Long
DBT
NUSS
ES
Y
2
2020-04-30
Fixed
4.00000000
N
N
N
N
N
N
IRB Holding Corp
549300HVW4WNWYBXN830
IRB Holding Corp 1st Lien Term Loan
44988LAC1
98743.70000000
PA
USD
99505.01000000
0.104848281727
Long
LON
CORP
US
N
2
2025-02-05
Floating
5.22000000
N
N
N
N
N
N
UK TREASURY BILL GBP
ECTRVYYCEF89VWYS6K36
United Kingdom Treasury Bill
000000000
10000.00000000
PA
13265.50000000
0.013977837711
Long
STIV
NUSS
GB
N
2
2020-01-13
None
0.00000000
N
N
N
N
N
N
Goldman Sachs & Co. LLC
FOR8UP27PHTHYVLBNG30
Long: BGH5UZ343 CDS USD R V 03MEVENT BGH5UZ343_PRO CDX / Short: BGH5UZ343 CDS USD P F 1.00000 BGH5UZ343_FEE CDX
000000000
40000.00000000
OU
Notional Amount
USD
-1010.59000000
-0.00106485718
N/A
DCR
US
N
2
Goldman Sachs & Co. LLC
FOR8UP27PHTHYVLBNG30
Markit CDX.NA.IG.S31.V1
2I65BYBD6
Y
buy protection
2023-12-20
0
USD
-20
USD
40000
USD
-990.59
N
N
N
DYNEX CAPITAL INC
5CIJ4S9HAEBWILA19B65
Dynex Capital Inc
26817Q704
1800.00000000
NS
USD
46278.00000000
0.048763060088
Long
EP
US
N
1
N
N
N
MEDNAX Inc
N/A
MEDNAX Inc
58502BAC0
415000.00000000
PA
USD
426422.88000000
0.449321157368
Long
DBT
CORP
US
N
2
2027-01-15
Fixed
6.25000000
N
N
N
N
N
N
Greywolf CLO Ltd
5493002TWMA4NNPZ2B66
Greywolf CLO III Ltd
39809CAE4
250000.00000000
PA
USD
249873.00000000
0.263290810181
Long
ABS-CBDO
CORP
KY
N
2
2028-10-22
Floating
3.60000000
N
N
N
N
N
N
Options Clearing Corp.
549300CII6SLYGKNHA04
RUSSELL 2000 INDEX JAN20 1635 PUT
000000000
-3.00000000
NC
USD
-4890.00000000
-0.00515258576
N/A
DE
US
N
1
Options Clearing Corp.
549300CII6SLYGKNHA04
Put
Written
Russell 2000 Index
RTY Index
100.00000000
1635
USD
2020-01-31
XXXX
-231.63
N
N
N
Sapphire Aviation Finance I Ltd
N/A
SAPPHIRE AVIATION FINANCE I LTD
80306AAA8
196920.70000000
PA
USD
200425.83000000
0.211188400355
Long
ABS-O
CORP
KY
N
2
2040-03-15
Fixed
4.25000000
N
N
N
N
N
N
Homeward Opportunities Fund I Trust
N/A
Homeward Opportunities Fund I Trust 2019-2
43789VAA6
261752.14000000
PA
USD
261392.52000000
0.275428911351
Long
ABS-MBS
CORP
US
N
2
2059-09-25
Variable
2.70000000
N
N
N
N
N
N
FIXED INC CLEARING CORP.REPO
549300H47WTHXPU08X20
FIXED INC CLEARING CORP.REPO
000000000
2914000.00000000
PA
USD
2914000.00000000
3.070477486037
Long
RA
CORP
US
N
2
Repurchase
N
0.12000000
2020-01-02
2630000.00000000
USD
2976449.90000000
USD
UST
N
N
N
Macquarie Infrastructure Corp
529900IZSJ64GH477714
Macquarie Infrastructure Corp
55608B105
10111.00000000
NS
USD
433155.24000000
0.456415035133
Long
EC
CORP
US
N
1
N
N
N
RASPRO TRUST
N/A
Raspro Trust 2005
75405RAC7
584129.32000000
PA
USD
584761.93000000
0.616162779943
Long
ABS-O
CORP
US
N
2
2024-03-23
Floating
2.89000000
N
N
N
N
N
N
Chimera Investment Corp
2JBBQFJOL123LOUBE657
Chimera Investment Corp
16934Q604
4000.00000000
NS
USD
105280.00000000
0.110933380140
Long
EP
US
N
1
N
N
N
Eversource Energy
SJ7XXD41SQU3ZNWUJ746
Eversource Energy
30040WAA6
20000.00000000
PA
USD
20121.74000000
0.021202247649
Long
DBT
CORP
US
N
2
2021-03-15
Fixed
2.50000000
N
N
N
N
N
N
Chimera Investment Corp
2JBBQFJOL123LOUBE657
Chimera Investment Corp
16934Q505
7570.00000000
NS
USD
196441.50000000
0.206990117732
Long
EP
US
N
1
N
N
N
INVESTCORP CREDIT MGMT
549300ZRNRCSKPLGYQ55
Investcorp Credit Management BDC Inc
12574Q202
5650.00000000
NS
USD
140204.75000000
0.147733537512
Long
EP
CORP
US
N
1
N
N
N
LLOYDS BANK CORP MKTS/NY
213800MBWEIJDM5CU638
Lloyds Bank Corporate Markets PLC/New York NY
53947BB33
100000.00000000
PA
USD
100000.00000000
0.105369851957
Long
DBT
CORP
GB
N
2
2020-08-05
Floating
2.26000000
N
N
N
N
N
N
Elm Trust
549300Z14FPNMD2DGN29
Elm 2018-2 Trust
289333AC0
100000.00000000
PA
USD
101573.28000000
0.107027614764
Long
ABS-O
CORP
US
N
2
2027-10-20
Fixed
5.58000000
N
N
N
N
N
N
Options Clearing Corp.
549300CII6SLYGKNHA04
S+P 500 INDEX JAN20 3115 PUT
000000000
-11.00000000
NC
USD
-9460.00000000
-0.00996798799
N/A
DE
US
N
1
Options Clearing Corp.
549300CII6SLYGKNHA04
Put
Written
S&P 500 Index
SPX Index
100.00000000
3115
USD
2020-01-17
XXXX
7268.87
N
N
N
Starwood Commercial Mortgage Trust
N/A
STWD 2019-FL1 Ltd
78485WAE9
150000.00000000
PA
USD
150386.46000000
0.158461990265
Long
ABS-CBDO
CORP
KY
N
2
2038-07-15
Floating
3.34000000
N
N
N
N
N
N
Goldman Sachs Bank USA
KD3XUN7C6T14HNAYLU02
Long: BGH5VRLV0 CDS USD R V 03MEVENT BGH5VRLV0_PRO CDX / Short: BGH5VRLV0 CDS USD P F 1.00000 BGH5VRLV0_FEE CDX
000000000
90000.00000000
OU
Notional Amount
USD
-2273.82000000
-0.00239592076
N/A
DCR
US
N
2
Goldman Sachs Bank USA
KD3XUN7C6T14HNAYLU02
Markit CDX.NA.IG.S31.V1
2I65BYBD6
Y
buy protection
2023-12-20
250.2
USD
0
USD
90000
USD
-2524.02
N
N
N
CREDIT AGRICOLE CIB
1VUV7VQFKUOQSJ21A208
Credit Agricole Corporate & Investment Bank SA
22533B2G9
100000.00000000
PA
USD
100201.25000000
0.105581908784
Long
DBT
CORP
FR
N
2
2021-05-03
Variable
2.30000000
N
N
N
N
N
N
Goldman Sachs International
W22LROWP2IHZNBB6K528
PURCHASED USD / SOLD MXN
000000000
1.00000000
NC
-13354.80000000
-0.01407193298
N/A
DFE
US
N
2
Goldman Sachs International
W22LROWP2IHZNBB6K528
6200000.00000000
MXN
312651.28000000
USD
2020-02-27
-13354.8
N
N
N
Fiserv Inc
GI7UBEJLXYLGR2C7GV83
Fiserv Inc
337738AN8
20000.00000000
PA
USD
20050.81000000
0.021127508813
Long
DBT
CORP
US
N
2
2020-06-01
Fixed
2.70000000
N
N
N
N
N
N
LMRK Issuer Co. LLC
N/A
Secured Tenant Site Contract Revenue Notes Series 2018-1
50209LAA5
121896.87000000
PA
USD
123520.72000000
0.130153599800
Long
ABS-O
CORP
US
N
2
2048-06-15
Fixed
3.97000000
N
N
N
N
N
N
Saganaw Receivables, LLC
N/A
Saganaw Insurance Recievables LLC
78662MAB2
172869.94000000
PA
USD
174642.13000000
0.184020153836
Long
ABS-O
CORP
US
N
2
2023-12-01
Fixed
5.13000000
N
N
N
N
N
N
Morgan Stanley Capital Services LLC
I7331LVCZKQKX5T7XV54
Long: BGH5VW5V7 CDS USD R V 03MEVENT BGH5VW5V7_PRO CDX / Short: BGH5VW5V7 CDS USD P F 1.00000 BGH5VW5V7_FEE CDX
000000000
70000.00000000
OU
Notional Amount
USD
-1768.53000000
-0.00186349744
N/A
DCR
US
N
2
Morgan Stanley Capital Services LLC
I7331LVCZKQKX5T7XV54
Markit CDX.NA.IG.S31.V1
2I65BYBD6
Y
buy protection
2023-12-20
140
USD
0
USD
70000
USD
-1908.53
N
N
N
BCPE Empire Holdings, Inc.
N/A
BCPE Empire Holdings, Inc. 2019 Term Loan B
05550HAB1
83335.44000000
PA
USD
83674.20000000
0.088167380666
Long
LON
CORP
US
N
2
2026-06-11
Floating
5.80000000
N
N
N
N
N
N
Summit Midstream Partners Holdings, LLC
N/A
Summit Midstream Partners Holdings, LLC Term Loan B
86614HAJ8
15963.71000000
PA
USD
15165.52000000
0.015979885972
Long
LON
CORP
US
N
2
2022-05-13
Floating
7.80000000
N
N
N
N
N
N
JPMorgan Chase Bank, National Association
7H6GLXDRUGQFU57RNE97
PURCHASED USD / SOLD BRL
000000000
1.00000000
NC
45315.13000000
0.047748485395
N/A
DFE
US
N
2
JPMorgan Chase Bank, National Association
7H6GLXDRUGQFU57RNE97
3400000.00000000
BRL
890518.60000000
USD
2020-01-02
45315.13
N
N
N
Diamond (BC) B.V.
549300SWLHWJF3D4N658
Diamond (BC) B.V. USD Term Loan
000000000
98740.55000000
PA
USD
96987.91000000
0.102196017183
Long
LON
CORP
NL
N
2
2024-09-06
Floating
4.93000000
N
N
N
N
N
N
PANTHER BF AGGREGATOR 2
N/A
Panther BF Aggregator 2 LP / Panther Finance Co Inc
69867DAC2
10000.00000000
PA
USD
10643.50000000
0.011215040193
Long
DBT
CORP
XX
N
2
2027-05-15
Fixed
8.50000000
N
N
N
N
N
N
Options Clearing Corp.
549300CII6SLYGKNHA04
S+P 500 INDEX JAN20 3120 PUT
000000000
-3.00000000
NC
USD
-3765.00000000
-0.00396717492
N/A
DE
US
N
1
Options Clearing Corp.
549300CII6SLYGKNHA04
Put
Written
S&P 500 Index
SPX Index
100.00000000
3120
USD
2020-01-24
XXXX
2039.25
N
N
N
TPG Real Estate Finance
N/A
TPG Real Estate Finance 2018-FL2 Issuer LTD
87275QAA5
470000.00000000
PA
USD
470201.70000000
0.495450835190
Long
ABS-CBDO
CORP
KY
N
2
2037-11-15
Floating
2.87000000
N
N
N
N
N
N
AMTRUST FINANCIAL SERVIC
549300SNNS1GRWBTGA28
AmTrust Financial Services Inc
032359846
122.00000000
NS
USD
2152.08000000
0.002267643510
Long
EP
CORP
US
N
1
N
N
N
Eastern Power, LLC
5493000R3E1L1VM1V279
Eastern Power, LLC Term Loan B
87264NAB3
680516.20000000
PA
USD
683333.54000000
0.720027539472
Long
LON
CORP
US
N
2
2023-10-02
Floating
5.55000000
N
N
N
N
N
N
Wind River CLO Ltd
54930043UF2EELTNOD60
THL Credit Wind River 2012-1 CLO Ltd
87244ABL3
430666.31000000
PA
USD
430719.84000000
0.453848857758
Long
ABS-CBDO
CORP
KY
N
2
2026-01-15
Variable
2.88000000
N
N
N
N
N
N
Exelon Corp
3SOUA6IRML7435B56G12
Exelon Corp
30161NAH4
60000.00000000
PA
USD
60142.05000000
0.063371589049
Long
DBT
CORP
US
N
2
2020-06-15
Fixed
2.85000000
N
N
N
N
N
N
Goldman Sachs International
W22LROWP2IHZNBB6K528
PURCHASED USD / SOLD ILS
000000000
1.00000000
NC
-2119.02000000
-0.00223280823
N/A
DFE
US
N
2
Goldman Sachs International
W22LROWP2IHZNBB6K528
2010027.40000000
ILS
593208.42000000
USD
2021-02-01
-2119.02
N
N
N
InSite Issuer LLC
N/A
InSite Issuer LLC
45780KAL0
480000.00000000
PA
USD
500549.14000000
0.527427887791
Long
ABS-O
CORP
US
N
2
2048-12-15
Fixed
6.12000000
N
N
N
N
N
N
CENTENE CORP
549300Z7JJ4TQSQGT333
Centene Corp
15135BAQ4
90000.00000000
PA
USD
92754.00000000
0.097734752484
Long
DBT
CORP
US
N
2
2027-12-15
Fixed
4.25000000
N
N
N
N
N
N
Enable Midstream Partners LP
549300TLGDBYE711G509
Enable Midstream Partners LP
292480100
18900.00000000
NS
USD
189567.00000000
0.199746467259
Long
EC
CORP
US
N
1
N
N
N
Morgan Stanley Capital Services LLC
I7331LVCZKQKX5T7XV54
PURCHASED BRL / SOLD USD
000000000
1.00000000
NC
10060.37000000
0.010600596975
N/A
DFE
BR
N
2
Morgan Stanley Capital Services LLC
I7331LVCZKQKX5T7XV54
288246.74000000
USD
1200000.00000000
BRL
2020-01-02
10060.37
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138LCJ71
250000.00000000
PA
USD
249345.94000000
0.262735447839
Long
ABS-MBS
USGSE
US
N
2
2020-11-01
Fixed
1.95000000
N
N
N
N
N
N
Options Clearing Corp.
549300CII6SLYGKNHA04
S+P 500 INDEX JAN20 3125 PUT
000000000
-2.00000000
NC
USD
-2860.00000000
-0.00301357776
N/A
DE
US
N
1
Options Clearing Corp.
549300CII6SLYGKNHA04
Put
Written
S&P 500 Index
SPX Index
100.00000000
3125
USD
2020-01-24
XXXX
897.8
N
N
N
JPMorgan Chase Bank, National Association
7H6GLXDRUGQFU57RNE97
PURCHASED BRL / SOLD USD
000000000
1.00000000
NC
1677.53000000
0.001767610877
N/A
DFE
BR
N
2
JPMorgan Chase Bank, National Association
7H6GLXDRUGQFU57RNE97
843525.94000000
USD
3400000.00000000
BRL
2020-01-02
1677.53
N
N
N
Give & Go Prepared Foods Corp.
N/A
Give & Go Prepared Foods Corp. 2017 1st Lien Add-On Term Loan
000000000
99744.90000000
PA
USD
95381.06000000
0.100502881717
Long
LON
CORP
CA
N
2
2023-07-29
Floating
6.19000000
N
N
N
N
N
N
RPI Finance Trust
549300W9M1577I3BNU94
RPI Finance Trust Term Loan B6
74966UAP5
672334.87000000
PA
USD
678745.58000000
0.715193212813
Long
LON
CORP
US
N
2
2023-03-27
Floating
3.80000000
N
N
N
N
N
N
UGI Energy Services, LLC
5493001O7RUKEUP5XR11
UGI Energy Services, LLC Term Loan B
90276DAB5
238800.00000000
PA
USD
240591.00000000
0.253510380522
Long
LON
CORP
US
N
2
2026-08-13
Floating
5.55000000
N
N
N
N
N
N
Conagra Brands Inc
54930035UDEIH090K650
Conagra Brands Inc
205887BX9
20000.00000000
PA
USD
20002.06000000
0.021076141010
Long
DBT
CORP
US
N
2
2020-10-22
Floating
2.70000000
N
N
N
N
N
N
ENERGY TRANSFER OPERATNG
5493008K8W3OKZE54J59
Energy Transfer Operating LP
29278NAK9
25000.00000000
PA
USD
25985.73000000
0.027381125231
Long
DBT
CORP
US
N
2
2020-10-15
Fixed
7.50000000
N
N
N
N
N
N
Arctic Glacier U.S.A., Inc.
N/A
Arctic Glacier U.S.A., Inc. 2018 Term Loan B
03970JAD0
100000.00000000
PA
USD
96833.00000000
0.102032788745
Long
LON
CORP
US
N
2
2024-03-20
Floating
5.30000000
N
N
N
N
N
N
Morgan Stanley Capital Services LLC
I7331LVCZKQKX5T7XV54
PURCHASED USD / SOLD BRL
000000000
1.00000000
NC
-592.07000000
-0.00062386328
N/A
DFE
US
N
2
Morgan Stanley Capital Services LLC
I7331LVCZKQKX5T7XV54
1200000.00000000
BRL
297715.04000000
USD
2020-01-02
-592.07
N
N
N
Oaktree Strategic Income Corp
5493005B6R76YRZJXB89
Oaktree Strategic Income Corp
67402D104
46401.00000000
NS
USD
380024.19000000
0.400430926405
Long
EC
CORP
US
N
1
N
N
N
Molson Coors Brewing Co
54930073LBBH6ZCBE225
Molson Coors Brewing Co
60871RAP5
70000.00000000
PA
USD
69974.55000000
0.073732079742
Long
DBT
CORP
US
N
2
2020-03-15
Fixed
2.25000000
N
N
N
N
N
N
BUSINESS DEVELOPMENT COR
549300K8IFP295FLKS39
Business Development Corp of America
12325JAF8
225000.00000000
PA
USD
225229.35000000
0.237323832659
Long
DBT
CORP
US
N
2
2024-12-15
Fixed
4.85000000
N
N
N
N
N
N
NuStar Energy LP
5493003BMLTUIEG2LG44
NuStar Energy LP
67058H300
3000.00000000
NS
USD
64950.00000000
0.068437718846
Long
EP
CORP
US
N
1
N
N
N
Morgan Stanley Capital Services LLC
I7331LVCZKQKX5T7XV54
Long: BGH5UX7V4 CDS USD R V 03MEVENT BGH5UX7V4_PRO CDX / Short: BGH5UX7V4 CDS USD P F 1.00000 BGH5UX7V4_FEE CDX
000000000
20000.00000000
OU
Notional Amount
USD
-505.29000000
-0.00053242332
N/A
DCR
US
N
2
Morgan Stanley Capital Services LLC
I7331LVCZKQKX5T7XV54
Markit CDX.NA.IG.S31.V1
2I65BYBD6
Y
buy protection
2023-12-20
0
USD
-50
USD
20000
USD
-455.29
N
N
N
ENABLE MIDSTREAM PARTNER
549300TLGDBYE711G509
Enable Midstream Partners LP
292480AM2
405000.00000000
PA
USD
385422.60000000
0.406119223030
Long
DBT
CORP
US
N
2
2029-09-15
Fixed
4.15000000
N
N
N
N
N
N
JPMDB Commercial Mortgage Securities Trust
N/A
JPMDB Commercial Mortgage Securities Trust 2017-C5
46590TAG0
214360.31000000
PA
USD
11906.32000000
0.012545671757
Long
ABS-MBS
CORP
US
N
2
2050-03-15
Variable
0.94000000
N
N
N
N
N
N
Credit Suisse Mortgage Trust
N/A
CSMC 2018-RPL9 Trust
12654PAA6
160716.51000000
PA
USD
167856.50000000
0.176870145550
Long
ABS-MBS
CORP
US
N
2
2057-09-25
Variable
3.85000000
N
N
N
N
N
N
United States Treasury
254900HROIFWPRGM1V77
United States Treasury Note/Bond
9128286H8
1500000.00000000
PA
USD
1526220.71000000
1.608176502669
Long
DBT
UST
US
N
2
2022-03-15
Fixed
2.38000000
N
N
N
N
N
N
United States Treasury
254900HROIFWPRGM1V77
United States Treasury Note/Bond
9128286Y1
1500000.00000000
PA
USD
1506357.42000000
1.587246583402
Long
DBT
UST
US
N
2
2022-06-15
Fixed
1.75000000
N
N
N
N
N
N
DRAWBRIDGE SPEC OPPOR FU
N/A
Drawbridge Special Opportunities Fund LP / Drawbridge Special Opportunities Fin
26150TAA7
465000.00000000
PA
USD
472300.96000000
0.497662822345
Long
DBT
CORP
US
N
2
2021-08-01
Fixed
5.00000000
N
N
N
N
N
N
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
Long: BGH5UB1H9 IRS USD R V 03MLIBOR BGH5UB1H9_FLO CCPVANILLA / Short: BGH5UB1H9 IRS USD P F 3.14395 BGH5UB1H9_FIX CCPVANILLA
000000000
2600000.00000000
OU
Notional Amount
USD
-68629.03000000
-0.07231430731
N/A
DIR
US
N
2
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
ICE Libor USD 3 Months
US0003M Index
Y
2021-11-06
964.81
USD
0
USD
2600000
USD
-69593.84
N
N
N
Wingstop Funding LLC
N/A
Wingstop Funding 2018-1 LLC
974153AA6
99250.00000000
PA
USD
102286.06000000
0.107778669995
Long
ABS-O
CORP
US
N
2
2048-12-05
Fixed
4.97000000
N
N
N
N
N
N
REVERSE REPO/REGIONS BANK
EQTWLK1G7ODGC2MGLV11
REVERSE REPO/REGIONS BANK
000000000
110000.00000000
PA
USD
110000.00000000
0.115906837153
Long
RA
CORP
US
N
2
Repurchase
N
2.07000000
2020-03-16
657000.00000000
USD
130477.06000000
USD
ABS
N
N
N
Allergan Funding SCS
222100FLFVOSKCBCAR54
Allergan Funding SCS
00507UAQ4
100000.00000000
PA
USD
100193.73000000
0.105573984971
Long
DBT
CORP
LU
N
2
2020-03-12
Floating
3.14000000
N
N
N
N
N
N
Station Place Securitization Trust
N/A
Station Place Securitization Trust 2019-8
85772JAA3
200000.00000000
PA
USD
200499.84000000
0.211266384582
Long
ABS-MBS
CORP
US
N
2
2020-03-24
Floating
2.38000000
N
N
N
N
N
N
Synchrony Bank
549300UATVPGSLE43Z27
Synchrony Bank
87166FAB9
250000.00000000
PA
USD
250203.34000000
0.263638888950
Long
DBT
CORP
US
N
2
2020-03-30
Floating
2.59000000
N
N
N
N
N
N
Apollo Investment Corp
5493005P14I7WFB3FW47
Apollo Investment Corp
03761U502
21617.00000000
NS
USD
377432.82000000
0.397700403672
Long
EC
CORP
US
N
1
N
N
N
ALLIANCE DATA SYSTEMS CO
549300G8S4PO686J7H97
Alliance Data Systems Corp
018581AK4
285000.00000000
PA
USD
285000.00000000
0.300304078078
Long
DBT
CORP
US
N
2
2024-12-15
Fixed
4.75000000
N
N
N
N
N
N
Main Street Capital Corp
5493001FS9QJLJNF3E20
Main Street Capital Corp
56035LAD6
200000.00000000
PA
USD
215250.94000000
0.226809596814
Long
DBT
CORP
US
N
2
2024-05-01
Fixed
5.20000000
N
N
N
N
N
N
Quest Diagnostics Inc
8MCWUBXQ0WE04KMXBX50
Quest Diagnostics Inc
74834LAS9
70000.00000000
PA
USD
72342.80000000
0.076227501261
Long
DBT
CORP
US
N
2
2021-04-01
Fixed
4.70000000
N
N
N
N
N
N
OWL ROCK CAPITAL CORP
2549000BD79OOCPF2L94
Owl Rock Capital Corp
69121KAB0
185000.00000000
PA
USD
185863.06000000
0.195843631165
Long
DBT
CORP
US
N
2
2025-03-30
Fixed
4.00000000
N
N
N
N
N
N
Options Clearing Corp.
549300CII6SLYGKNHA04
S+P 500 INDEX JAN20 3145 PUT
000000000
-2.00000000
NC
USD
-4688.00000000
-0.00493973865
N/A
DE
US
N
1
Options Clearing Corp.
549300CII6SLYGKNHA04
Put
Written
S&P 500 Index
SPX Index
100.00000000
3145
USD
2020-01-31
XXXX
-149.08
N
N
N
NFP Corp.
VO2L9FZNXDJNQNEYH039
NFP Corp. Term Loan B
62910PAC7
49491.08000000
PA
USD
49371.81000000
0.052023003105
Long
LON
CORP
US
N
2
2024-01-08
Floating
4.80000000
N
N
N
N
N
N
FLORIDA GAS TRANSMISSION
549300Q0UQF87NXNOC32
Florida Gas Transmission Co LLC
340711AT7
60000.00000000
PA
USD
61015.14000000
0.064291562689
Long
DBT
CORP
US
N
2
2020-07-15
Fixed
5.45000000
N
N
N
N
N
N
VeriSign Inc
LMPL4N8ZOJRMF0KOF759
VeriSign Inc
92343EAH5
400000.00000000
PA
USD
441758.00000000
0.465479750609
Long
DBT
CORP
US
N
2
2025-04-01
Fixed
5.25000000
N
N
N
N
N
N
LSTAR Securities Investment Ltd
N/A
LSTAR Securities Investment Trust 2019-1
50220CAA0
310700.67000000
PA
USD
311640.42000000
0.328375049193
Long
ABS-MBS
CORP
US
N
2
2024-03-01
Floating
3.41000000
N
N
N
N
N
N
MORGAN STANLEY TRUST CO., LONDON
9R7GPTSO7KV3UQJZQ078
BGH6871J7 CMS CAP SYNTH JUL22 0.395 CALL
000000000
9000000.00000000
NC
USD
13786.11000000
0.014526403697
N/A
DIR
US
N
2
MORGAN STANLEY TRUST CO., LONDON
9R7GPTSO7KV3UQJZQ078
Call
Purchased
Constant Maturity Swap
Constant Maturity Swap
1.00000000
0.395
USD
2022-07-29
XXXX
-7813.89
N
N
N
NewStar Clarendon Fund CLO LLC,
549300HC3VVP80NTKX35
NewStar Clarendon Fund CLO LLC
32010AAE8
300000.00000000
PA
USD
299985.54000000
0.316094319391
Long
ABS-CBDO
CORP
US
N
2
2027-01-25
Floating
4.99000000
N
N
N
N
N
N
CREDIT ACCEPTANC
N/A
Credit Acceptance Corp
225310AL5
285000.00000000
PA
USD
308832.41000000
0.325416253213
Long
DBT
CORP
US
N
2
2026-03-15
Fixed
6.63000000
N
N
N
N
N
N
NextGear Floorplan Master Owner Trust
N/A
NextGear Floorplan Master Owner Trust
65341KBD7
200000.00000000
PA
USD
205322.58000000
0.216348098581
Long
ABS-O
CORP
US
N
2
2023-10-15
Fixed
3.69000000
N
N
N
N
N
N
Starbucks Corp
OQSJ1DU9TAOC51A47K68
Starbucks Corp
855244AJ8
50000.00000000
PA
USD
50135.19000000
0.052827375481
Long
DBT
CORP
US
N
2
2021-02-04
Fixed
2.10000000
N
N
N
N
N
N
Bank of America, National Association
B4TYDEB6GKMZO031MB27
PURCHASED USD / SOLD EUR
000000000
1.00000000
NC
929.34000000
0.000979244182
N/A
DFE
US
N
2
Bank of America, National Association
B4TYDEB6GKMZO031MB27
58688.00000000
EUR
67489.73000000
USD
2020-06-15
929.34
N
N
N
United States Treasury
254900HROIFWPRGM1V77
United States Treasury Note/Bond
912828YF1
1500000.00000000
PA
USD
1496777.34000000
1.577152067289
Long
DBT
UST
US
N
2
2022-09-15
Fixed
1.50000000
N
N
N
N
N
N
MONDELEZ INTERNATIONAL
549300DV9GIB88LZ5P30
Mondelez International Inc
609207AN5
100000.00000000
PA
USD
100293.87000000
0.105679502341
Long
DBT
CORP
US
N
2
2020-05-07
Fixed
3.00000000
N
N
N
N
N
N
ICAHN ENTERPRISES/FIN
N/A
Icahn Enterprises LP / Icahn Enterprises Finance Corp
451102BF3
50000.00000000
PA
USD
50151.50000000
0.052844561304
Long
DBT
CORP
US
N
2
2022-02-01
Fixed
5.88000000
N
N
N
N
N
N
Magellan Midstream Partners LP
MZF5TI8NFVZZNUSKDL39
Magellan Midstream Partners LP
559080106
3537.00000000
NS
USD
222371.19000000
0.234312193698
Long
EC
CORP
US
N
1
N
N
N
Ocwen Master Advance Receivables Trust
N/A
Ocwen Master Advance Receivables Trust Series 2019-T1
67575NBN2
100000.00000000
PA
USD
100293.86000000
0.105679491804
Long
ABS-O
CORP
US
N
2
2050-08-15
Fixed
2.81000000
N
N
N
N
N
N
Hercules Capital Funding Trust
549300G6R70R076CS293
Hercules Capital Funding Trust 2019-1
42711AAA7
100000.00000000
PA
USD
100661.67000000
0.106067052656
Long
ABS-O
CORP
US
N
2
2028-02-20
Fixed
4.70000000
N
N
N
N
N
N
ReadyCap lending
N/A
ReadyCap Lending Small Business Loan Trust 2019-2
75576QAA6
220000.00000000
PA
USD
220000.00000000
0.231813674306
Long
ABS-O
CORP
US
N
2
2044-12-27
Variable
4.25000000
N
N
N
N
N
N
2020-01-29
LITMAN GREGORY FUNDS TRUST
John Coughlan
John Coughlan
COO