0001752724-23-286658.txt : 20231220
0001752724-23-286658.hdr.sgml : 20231220
20231220162331
ACCESSION NUMBER: 0001752724-23-286658
CONFORMED SUBMISSION TYPE: NPORT-P
PUBLIC DOCUMENT COUNT: 1
CONFORMED PERIOD OF REPORT: 20231031
FILED AS OF DATE: 20231220
DATE AS OF CHANGE: 20231220
PERIOD START: 20231031
FILER:
COMPANY DATA:
COMPANY CONFORMED NAME: PRUDENTIAL INVESTMENT PORTFOLIOS 9
CENTRAL INDEX KEY: 0001070287
ORGANIZATION NAME:
IRS NUMBER: 000000000
STATE OF INCORPORATION: DE
FISCAL YEAR END: 1031
FILING VALUES:
FORM TYPE: NPORT-P
SEC ACT: 1940 Act
SEC FILE NUMBER: 811-09101
FILM NUMBER: 231501564
BUSINESS ADDRESS:
STREET 1: 655 BROAD STREET
STREET 2: 6TH FLOOR
CITY: NEWARK
STATE: NJ
ZIP: 07102-4077
BUSINESS PHONE: (973) 802-5032
MAIL ADDRESS:
STREET 1: 655 BROAD STREET
STREET 2: 6TH FLOOR
CITY: NEWARK
STATE: NJ
ZIP: 07102-4077
FORMER COMPANY:
FORMER CONFORMED NAME: PRUDENTIAL INVESTMENT PORFOLIOS 9
DATE OF NAME CHANGE: 20100217
FORMER COMPANY:
FORMER CONFORMED NAME: DRYDEN TAX-MANAGED FUNDS
DATE OF NAME CHANGE: 20070801
FORMER COMPANY:
FORMER CONFORMED NAME: DRYDEN TAX MANAGED FUNDS
DATE OF NAME CHANGE: 20030716
0001070287
S000031707
PGIM Absolute Return Bond Fund
C000098666
Class A
PADAX
C000098667
Class C
PADCX
C000098668
Class R6
PADQX
C000098669
Class Z
PADZX
NPORT-P
1
primary_doc.xml
NPORT-P
false
0001070287
XXXXXXXX
S000031707
C000098668
C000098666
C000098669
C000098667
Prudential Investment Portfolios 9
811-09101
0001070287
5493006TC8ECBK1GPV34
655 Broad Street
Newark
07102-4077
1-800-225-1852
PGIM Absolute Return Bond Fund
S000031707
EBKSE2F2Z4D82NLOW668
2023-10-31
2023-10-31
N
1392009891.00
93920474.03
1298089416.97
0.00000000
0.00000000
0.00000000
0.00000000
0.00000000
0.00000000
0.00000000
0.00000000
0.00000000
0.00000000
27356385.47000000
6154042.96000000
0.00000000
10582221.65000000
EUR
GBP
USD
N
N/A
N/A
UNITED AIRLINES INC
K1OQBWM7XEOO08LDNP29
United Airlines Inc
90932LAG2
645000.00000000
PA
USD
599909.79000000
0.046214827896
Long
DBT
CORP
US
Y
2
2026-04-15
Fixed
4.37500000
N
N
N
N
N
N
Ellington CLO LTD
254900YE647HYXEP3N43
Ellington Clo II Ltd
28852EAA7
2725559.99000000
PA
USD
2719757.55000000
0.209520046496
Long
ABS-CBDO
CORP
KY
N
2
2029-02-15
Floating
7.32618000
N
N
N
N
N
N
Oaktree CLO Ltd
N/A
Oaktree CLO 2022-2 Ltd
67402RAA1
6500000.00000000
PA
USD
6522676.55000000
0.502482838603
Long
ABS-CBDO
CORP
KY
N
2
2033-07-15
Floating
7.39387000
N
N
N
N
N
N
Tank Holding Corp
549300WQKU58ILVYFJ26
TANK HOLDING CORP
87583FAQ1
153230.00000000
PA
USD
145951.58000000
0.011243569055
Long
LON
CORP
US
N
3
2028-03-31
Floating
11.42444000
N
N
N
N
N
N
CITIBANK, NATIONAL ASSOCIATION
E57ODZWZ7FF32TWEFA76
CDS EMIRATE OF ABU DHABI
000000000
1.00000000
NC
USD
-47453.87000000
-0.00365567035
N/A
DCR
CORP
US
N
2
CITIBANK, NATIONAL ASSOCIATION
E57ODZWZ7FF32TWEFA76
ABU DHABI GOVERNMENT INTERNATIONAL BOND
ABU DHABI GOVERNMENT INTERNATIONAL BOND
Y
Default Event
2028-12-20
1712.18000000
USD
0.00000000
USD
-2000000.00000000
USD
-49166.05000000
N
N
N
US TREASURY N/B
254900HROIFWPRGM1V77
United States Treasury Note/Bond
912810TN8
22665000.00000000
PA
USD
17660992.97000000
1.360537474469
Long
DBT
UST
US
N
2
2053-02-15
Fixed
3.62500000
N
N
N
N
N
N
CT TRUST
213800MJB7WO427HQD34
CT Trust
12659BAA2
760000.00000000
PA
USD
581400.00000000
0.044788902243
Long
DBT
CORP
GT
N
2
2032-02-03
Fixed
5.12500000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31418EJ84
915915.04000000
PA
USD
869263.88000000
0.066964869186
Long
ABS-MBS
USGSE
US
N
2
2052-10-01
Fixed
5.50000000
N
N
N
N
N
N
ANGLOGOLD HOLDINGS PLC
213800745ZIXC4L6A131
AngloGold Ashanti Holdings PLC
03512TAF8
730000.00000000
PA
USD
600516.25000000
0.046261547328
Long
DBT
CORP
IM
N
2
2028-11-01
Fixed
3.37500000
N
N
N
N
N
N
SANDS CHINA LTD
549300EVO6UZDGY05787
Sands China Ltd
80007RAE5
756000.00000000
PA
USD
697221.00000000
0.053711323032
Long
DBT
CORP
KY
N
2
2028-08-08
Variable
5.65000000
N
N
N
N
N
N
TPC Group Rights
N/A
TPC Group Rights
000000000
56219.00000000
NS
USD
1236818.00000000
0.095279877012
Long
EC
CORP
US
N
3
N
N
N
Crown City CLO
549300TQXORNUWLBOD84
Crown City CLO II
22823KAQ7
2750000.00000000
PA
USD
2723642.90000000
0.209819359467
Long
ABS-CBDO
CORP
KY
N
2
2035-04-20
Floating
6.75582000
N
N
N
N
N
N
NCL CORPORATION LTD
UNZWILHE4KMRP9K2L524
NCL Corp Ltd
62886HBL4
925000.00000000
PA
USD
916906.25000000
0.070635060883
Long
DBT
CORP
BM
N
2
2028-02-01
Fixed
8.37500000
N
N
N
N
N
N
Citibank, National Association
E57ODZWZ7FF32TWEFA76
USD/BRL FORWARD
000000000
1.00000000
NC
USD
-43805.79000000
-0.00337463578
N/A
DFE
CORP
US
N
2
Citibank, National Association
E57ODZWZ7FF32TWEFA76
-7943624.12000000
BRL
1531000.00000000
USD
2023-11-03
-43805.79000000
N
N
N
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
IRS USD
000000000
1.00000000
NC
USD
-15720.36000000
-0.00121103829
N/A
DIR
CORP
GB
N
2
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
Y
2025-03-09
0.00000000
USD
0.00000000
USD
8268000.00000000
USD
-15720.36000000
N
N
N
Santander Bank Auto Credit-Lin
N/A
Santander Bank Auto Credit-Linked Notes Series 2022-A
80290CAT1
313642.17000000
PA
USD
311689.34000000
0.024011392121
Long
ABS-O
CORP
US
N
2
2032-05-15
Fixed
7.37500000
N
N
N
N
N
N
J.P. MORGAN SECURITIES LLC
ZBUT11V806EZRVTWT807
USD/THB FORWARD
000000000
1.00000000
NC
USD
-19705.76000000
-0.00151805875
N/A
DFE
CORP
US
N
2
J.P. MORGAN SECURITIES LLC
ZBUT11V806EZRVTWT807
-81744303.00000000
THB
2265000.00000000
USD
2023-12-20
-19705.76000000
N
N
N
BANCO MERCANTIL DE NORTE
549300QTVYRPFHS0J362
Banco Mercantil del Norte SA/Grand Cayman
05973KAB3
1110000.00000000
PA
USD
838050.00000000
0.064560267501
Long
DBT
CORP
MX
N
2
N/A
Fixed
6.62500000
N
N
N
N
N
N
FHLMC Multifamily Structured P
S6XOOCT0IEG5ABCC6L87
Freddie Mac Multifamily Structured Pass Through Certificates
3137FHQ30
115843575.07000000
PA
USD
317840.02000000
0.024485217724
Long
ABS-MBS
USGSE
US
N
2
2024-03-25
Variable
0.38086300
N
N
N
N
N
N
SANDS CHINA LTD
549300EVO6UZDGY05787
Sands China Ltd
80007RAF2
203000.00000000
PA
USD
195588.47000000
0.015067411184
Long
DBT
CORP
KY
N
2
2025-08-08
Variable
5.37500000
N
N
N
N
N
N
Citibank, National Association
E57ODZWZ7FF32TWEFA76
USD/BRL FORWARD
000000000
1.00000000
NC
USD
5745.44000000
0.000442607414
N/A
DFE
CORP
US
N
2
Citibank, National Association
E57ODZWZ7FF32TWEFA76
-5373834.00000000
BRL
1067157.96000000
USD
2023-12-04
5745.44000000
N
N
N
AMER AIRLN 13-1 A PASS T
N/A
American Airlines 2013-1 Class A Pass Through Trust
023772AB2
1401964.72000000
PA
USD
1313996.62000000
0.101225431994
Long
DBT
CORP
US
Y
2
2025-07-15
Fixed
4.00000000
N
N
N
N
N
N
AMERICAN AXLE & MFG INC
RY5TAKFOBLDUGX31MS24
American Axle & Manufacturing Inc
02406PAY6
515000.00000000
PA
USD
497633.56000000
0.038335846012
Long
DBT
CORP
US
N
2
2026-03-15
Fixed
6.25000000
N
N
N
N
N
N
NEXI SPA
5493000P70CQRQG8SN85
Nexi SpA
000000000
3560000.00000000
PA
3085980.39000000
0.237732497442
Long
DBT
CORP
IT
N
2
2029-04-30
Fixed
2.12500000
N
N
N
N
N
State Street Bank and Trust Company
571474TGEMMWANRLN572
HUF/USD FORWARD
000000000
1.00000000
NC
USD
-17541.08000000
-0.00135129982
N/A
DFE
CORP
US
N
2
State Street Bank and Trust Company
571474TGEMMWANRLN572
-1678000.00000000
USD
607050060.00000000
HUF
2024-01-19
-17541.08000000
N
N
N
Credit Suisse Mortgage Trust
N/A
Credit Suisse Mortgage Capital Certificates 2019-ICE4
12653VAL0
5665903.93000000
PA
USD
5581772.62000000
0.429999085350
Long
ABS-MBS
CORP
US
N
2
2036-05-15
Floating
8.03201000
N
N
N
N
N
N
SOUTHWESTERN ENERGY CO
EFWMP121W54QV9MGOP87
Southwestern Energy Co
845467AT6
650000.00000000
PA
USD
558976.30000000
0.043061463462
Long
DBT
CORP
US
N
2
2032-02-01
Fixed
4.75000000
N
N
N
N
N
N
CSC HOLDINGS LLC
3HG2WD2W22M120IUNG49
CSC Holdings LLC
126307AH0
2000000.00000000
PA
USD
1870034.94000000
0.144060564361
Long
DBT
CORP
US
N
2
2024-06-01
Fixed
5.25000000
N
N
N
N
N
Elmwood CLO X Ltd
N/A
Elmwood CLO X Ltd
29002VAA6
4250000.00000000
PA
USD
4230433.00000000
0.325896886970
Long
ABS-CBDO
CORP
KY
N
2
2034-10-20
Floating
6.71743000
N
N
N
N
N
N
Citibank, National Association
E57ODZWZ7FF32TWEFA76
USD/KRW FORWARD
000000000
1.00000000
NC
USD
-3798.90000000
-0.00029265318
N/A
DFE
CORP
US
N
2
Citibank, National Association
E57ODZWZ7FF32TWEFA76
-764000.00000000
USD
1025608880.00000000
KRW
2023-12-20
-3798.90000000
N
N
N
EUREX CLEARING AKTIENGESELLSCHAFT
529900LN3S50JPU47S06
EURO-SCHATZ
000000000
-35.00000000
NC
10454.04000000
0.000805340515
N/A
DIR
CORP
DE
N
1
EUREX CLEARING AKTIENGESELLSCHAFT
529900LN3S50JPU47S06
Short
BUNDESSCHATZANWEISUNGEN
Bundesschatzanweisungen
2023-12-07
-3990185.25000000
USD
10454.04000000
N
N
N
Chase Funding Mortgage Loan As
N/A
Chase Funding Trust Series 2002-3
161546DB9
233893.33000000
PA
USD
217703.82000000
0.016771095823
Long
ABS-O
CORP
US
N
2
2032-08-25
Floating
6.07892000
N
N
N
N
N
N
GOHL CAPITAL LTD
254900TF7OK6KSDZA888
Gohl Capital Ltd
000000000
1510000.00000000
PA
USD
1380215.50000000
0.106326689206
Long
DBT
CORP
IM
N
2
2027-01-24
Fixed
4.25000000
N
N
N
N
N
N
Rad CLO Ltd
N/A
Rad CLO 19 Ltd
750104AA9
7000000.00000000
PA
USD
7050111.60000000
0.543114481008
Long
ABS-CBDO
CORP
KY
N
2
2035-04-20
Floating
7.41582000
N
N
N
N
N
N
REPUBLIC OF INDONESIA
529900FWX0GRR7WG5W79
Indonesia Government International Bond
000000000
410000.00000000
PA
310550.76000000
0.023923680136
Long
DBT
NUSS
ID
N
2
2033-03-12
Fixed
1.10000000
N
N
N
N
N
N
DP WORLD LTD UAE
549300M3U2DNF4QVSS04
DP World Ltd/United Arab Emirates
000000000
601000.00000000
PA
593750.37000000
0.045740328997
Long
DBT
CORP
AE
N
2
2026-09-25
Fixed
2.37500000
N
N
N
N
N
N
AMN HEALTHCARE INC
549300H27NUKBFFQEE84
AMN Healthcare Inc
00175PAC7
1200000.00000000
PA
USD
999549.43000000
0.077001585324
Long
DBT
CORP
US
N
2
2029-04-15
Fixed
4.00000000
N
N
N
N
N
N
GOLDMAN SACHS & CO. LLC
FOR8UP27PHTHYVLBNG30
TWD/USD FORWARD
000000000
1.00000000
NC
USD
-60.24000000
-0.00000464066
N/A
DFE
CORP
US
N
2
GOLDMAN SACHS & CO. LLC
FOR8UP27PHTHYVLBNG30
-86933733.00000000
TWD
2686000.00000000
USD
2023-12-20
-60.24000000
N
N
N
Warwick Capital CLO Ltd
N/A
Warwick Capital CLO 2 Ltd
936557AA5
12500000.00000000
PA
USD
12500000.00000000
0.962953694605
Long
ABS-CBDO
CORP
JE
N
2
2037-01-15
Floating
0.01000000
N
N
N
N
N
N
UNIVISION COMMUNICATIONS
549300YQDE2JSGTL8V47
Univision Communications Inc
914906AS1
564000.00000000
PA
USD
551027.72000000
0.042449134304
Long
DBT
CORP
US
N
2
2025-02-15
Fixed
5.12500000
N
N
N
N
N
N
VIATRIS INC
254900ZZTSW7NL773X71
Viatris Inc
92556VAF3
2190000.00000000
PA
USD
1256738.18000000
0.096814453886
Long
DBT
CORP
US
N
2
2050-06-22
Fixed
4.00000000
N
N
N
N
N
N
Bear Stearns Asset Backed Secu
N/A
Bear Stearns Asset Backed Securities Trust 2003-3
07384YLS3
64273.40000000
PA
USD
63553.08000000
0.004895893855
Long
ABS-MBS
CORP
US
N
2
2043-06-25
Floating
6.61892000
N
N
N
N
N
N
DIGICEL GROUP HOLDINGS
N/A
Digicel Group Holdings Ltd
25381YAC5
46697.00000000
PA
USD
2334.85000000
0.000179868194
Long
DBT
CORP
BM
Y
2
N/A
Fixed
7.00000000
N
N
Y
N
N
N
CNX RESOURCES CORP
549300JK3KH8PWM3B226
CNX Resources Corp
12653CAC2
525000.00000000
PA
USD
517003.38000000
0.039828025191
Long
DBT
CORP
US
N
2
2027-03-14
Fixed
7.25000000
N
N
N
N
N
N
State Street Bank and Trust Company
571474TGEMMWANRLN572
USD/MXN FORWARD
000000000
1.00000000
NC
USD
13877.79000000
0.001069093532
N/A
DFE
CORP
US
N
2
State Street Bank and Trust Company
571474TGEMMWANRLN572
-734000.00000000
USD
13595934.48000000
MXN
2023-12-20
13877.79000000
N
N
N
Morgan Stanley Capital Inc
N/A
Morgan Stanley ABS Capital I Inc Trust 2003-HE3
61746REH0
315745.47000000
PA
USD
311000.19000000
0.023958302558
Long
ABS-MBS
CORP
US
N
2
2033-10-25
Floating
6.45892000
N
N
N
N
N
N
20 TSQ GroundCo LLC
N/A
20 Times Square Trust 2018-20TS
90137LAN0
2700000.00000000
PA
USD
1836000.54000000
0.141438680263
Long
ABS-MBS
CORP
US
Y
2
2035-05-15
Variable
3.09990000
N
N
N
N
N
N
SALLY HOLDINGS/SALLY CAP
N/A
Sally Holdings LLC / Sally Capital Inc
79546VAL0
1825000.00000000
PA
USD
1763830.12000000
0.135878938456
Long
DBT
CORP
US
N
2
2025-12-01
Fixed
5.62500000
N
N
N
N
N
N
Apex Credit CLO LLC
N/A
Apex Credit CLO 2021-II LLC
58406CAA9
5000000.00000000
PA
USD
4951973.50000000
0.381481694193
Long
ABS-CBDO
CORP
KY
N
2
2034-10-20
Floating
6.90743000
N
N
N
N
N
N
MEDLINE BORROWER LP
254900QT3R363TVK6F09
Medline Borrower LP
62482BAB8
150000.00000000
PA
USD
127719.76000000
0.009839057181
Long
DBT
CORP
US
N
2
2029-10-01
Fixed
5.25000000
N
N
N
N
N
N
BRASKEM NETHERLANDS
2549000TLMHFQ74DS330
Braskem Netherlands Finance BV
10554TAB1
1630000.00000000
PA
USD
1376861.00000000
0.106068270952
Long
DBT
CORP
NL
N
2
2028-01-10
Fixed
4.50000000
N
N
N
N
N
N
ASCENT RESOURCES/ARU FIN
N/A
Ascent Resources Utica Holdings LLC / ARU Finance Corp
04364VAG8
1225000.00000000
PA
USD
1183832.97000000
0.091198106580
Long
DBT
CORP
US
N
2
2026-11-01
Fixed
7.00000000
N
N
N
N
N
N
POWER FINANCE CORP LTD
3358003Q6D9LIJJZ1614
Power Finance Corp Ltd
000000000
1100000.00000000
PA
USD
1051666.00000000
0.081016452815
Long
DBT
CORP
IN
N
2
2028-08-10
Fixed
5.25000000
N
N
N
N
N
N
Barclays Commercial Mortgage S
N/A
BBCMS 2018-CHRS Mortgage Trust
05491VAJ5
1490000.00000000
PA
USD
1002956.70000000
0.077264068783
Long
ABS-MBS
CORP
US
N
2
2038-08-05
Variable
4.26650000
N
N
N
N
N
N
Countrywide Asset-Backed Certi
N/A
CWABS Asset-Backed Certificates Trust 2004-BC4
126673KY7
81361.32000000
PA
USD
79932.56000000
0.006157708317
Long
ABS-O
CORP
US
N
2
2034-11-25
Floating
6.48892000
N
N
N
N
N
N
ERAC USA FINANCE LLC
LTKX5ODQW6Z7BQ2K1V47
ERAC USA Finance LLC
26882PBE1
1725000.00000000
PA
USD
1793077.00000000
0.138132009749
Long
DBT
CORP
US
N
2
2037-10-15
Fixed
7.00000000
N
N
N
N
N
N
Ares Euro CLO
635400IKZCKH2JKELA27
Ares European CLO VI DAC
000000000
2500000.00000000
PA
2562119.32000000
0.197376181217
Long
ABS-CBDO
CORP
IE
N
2
2030-04-15
Floating
5.21500000
N
N
N
N
N
N
STANDARD CHARTERED SECURITIES (NORTH AMERICA) LLC
5493003GCX71N8988W38
USD/KRW FORWARD
000000000
1.00000000
NC
USD
259824.06000000
0.020015883081
N/A
DFE
CORP
US
N
2
STANDARD CHARTERED SECURITIES (NORTH AMERICA) LLC
5493003GCX71N8988W38
-15477563894.00000000
KRW
11732093.15000000
USD
2023-12-20
259824.06000000
N
N
N
JPMORGAN CHASE BANK, NATIONAL ASSOCIATION
7H6GLXDRUGQFU57RNE97
TRS TRSBENCH7 INDEX
000000000
1.00000000
NC
USD
4530190.77000000
0.348989115139
N/A
DE
CORP
US
N
2
JPMORGAN CHASE BANK, NATIONAL ASSOCIATION
7H6GLXDRUGQFU57RNE97
Custom Equity Basket
TRSBENCH7_INDEX
Custom Equity Basket
EXXON MOBIL CORP
4000000.00000000
USD
3124027.00000000
USD
BANK OF AMER CORP
4000000.00000000
USD
2824991.00000000
USD
MCDONALDS CORP
4000000.00000000
USD
2927997.00000000
USD
UNITED PARCEL SVC INC
4000000.00000000
USD
3595255.00000000
USD
DOW CHEMICAL CO
4000000.00000000
USD
2592752.00000000
USD
STARBUCKS CORP
4000000.00000000
USD
2625658.00000000
USD
ENTERPRISE PRODUCTS OPERATING LLC
4000000.00000000
USD
2975304.00000000
USD
T MOBILE USA INC
4000000.00000000
USD
2925608.00000000
USD
SUNCOR ENERGY INC
4000000.00000000
USD
2563463.00000000
USD
THERMO FISHER SCIENTIFIC INC
4000000.00000000
USD
3015441.00000000
USD
BECTON DICKINSON & CO
4000000.00000000
USD
2759709.00000000
USD
ORACLE CORP
4000000.00000000
USD
2612537.00000000
USD
CARRIER GLOBAL CORP
4000000.00000000
USD
2523170.00000000
USD
FEDEX CORP
4000000.00000000
USD
3418592.00000000
USD
TELEFONICA EMISIONES SAU
4000000.00000000
USD
3210261.00000000
USD
NORTHROP GRUMMAN CORP
4000000.00000000
USD
3476245.00000000
USD
ENTERGY CORP
4000000.00000000
USD
2573560.00000000
USD
DOLLAR GEN CORP
4000000.00000000
USD
2615544.00000000
USD
MASTERCARD INC
4000000.00000000
USD
2936347.00000000
USD
TRANSCANADA PIPELINES LTD
4000000.00000000
USD
3158414.00000000
USD
KEURIG DR PEPPER INC
4000000.00000000
USD
3368580.00000000
USD
FISERV INC
4000000.00000000
USD
2958447.00000000
USD
SOUTHERN CA EDISON CO MORT
4000000.00000000
USD
2577723.00000000
USD
EQUINOR ASA
4000000.00000000
USD
2784437.00000000
USD
UNION ELECTRIC CO ESG
4000000.00000000
USD
2770888.00000000
USD
NIKE INC
4000000.00000000
USD
2702931.00000000
USD
CATERPILLAR INC
4000000.00000000
USD
2622426.00000000
USD
HUMANA INC
4000000.00000000
USD
2780007.00000000
USD
HCA INC
4000000.00000000
USD
3155544.00000000
USD
UNION PACIFIC CORP
4000000.00000000
USD
2546880.00000000
USD
PARAMOUNT GLOBAL
4000000.00000000
USD
2620945.00000000
USD
MORGAN STANLEY
4000000.00000000
USD
3598463.00000000
USD
CONAGRA BRANDS INC
4000000.00000000
USD
3204304.00000000
USD
EBAY INC
4000000.00000000
USD
2569252.00000000
USD
WELLS FARGO & CO
4000000.00000000
USD
3188260.00000000
USD
NVIDIA CORP
4000000.00000000
USD
2747439.00000000
USD
JOHNSON & JOHNSON
4000000.00000000
USD
2984465.00000000
USD
AMAZONCOM INC
4000000.00000000
USD
2541949.00000000
USD
FOX CORP
4000000.00000000
USD
3212272.00000000
USD
ELI LILLY & CO
4000000.00000000
USD
3032760.00000000
USD
WALT DISNEY CO
4000000.00000000
USD
3257258.00000000
USD
SYSCO CORP
4000000.00000000
USD
3976217.00000000
USD
GLOBAL PAYMENTS INC
4000000.00000000
USD
2624964.00000000
USD
DEERE & CO
4000000.00000000
USD
2968696.00000000
USD
VERIZON COMMS INC
4000000.00000000
USD
2528677.00000000
USD
CIGNA CORP
4000000.00000000
USD
3269974.00000000
USD
VODAFONE GRP PLC
4000000.00000000
USD
2747302.00000000
USD
BRISTOL MYERS SQUIBB CO
4000000.00000000
USD
3124311.00000000
USD
PROGRESSIVE CORP
4000000.00000000
USD
2860546.00000000
USD
INTEL CORP
4000000.00000000
USD
3158638.00000000
USD
Y
2024-03-20
0.00000000
USD
0.00000000
USD
-53963711.95000000
USD
4530190.77000000
N
N
N
GOLDMAN SACHS INTERNATIONAL
W22LROWP2IHZNBB6K528
CDS SIMON PROPERTY GROUP LP
000000000
1.00000000
NC
USD
21587.39000000
0.001663012556
N/A
DCR
CORP
GB
N
2
GOLDMAN SACHS INTERNATIONAL
W22LROWP2IHZNBB6K528
SIMON PROPERTY GROUP LP
Simon Property Group LP
Y
Default Event
2026-06-20
12123.71000000
USD
0.00000000
USD
1980000.00000000
USD
9463.68000000
N
N
N
ADAPTHEALTH LLC
N/A
AdaptHealth LLC
00653VAC5
750000.00000000
PA
USD
560761.55000000
0.043198992509
Long
DBT
CORP
US
N
2
2029-08-01
Fixed
4.62500000
N
N
N
N
N
N
MidOcean Credit CLO
549300XSCUX0ONI5KZ96
MidOcean Credit CLO III
59802UAU3
5906969.11000000
PA
USD
5857288.55000000
0.451223811967
Long
ABS-CBDO
CORP
KY
N
2
2031-04-21
Floating
6.79354000
N
N
N
N
N
N
PACTIV EVERGREEN GROUP
N/A
Pactiv Evergreen Group Issuer LLC / Pactiv Evergreen Group Issuer Inc
69527AAA4
1300000.00000000
PA
USD
1111106.28000000
0.085595511794
Long
DBT
CORP
US
N
2
2028-10-15
Fixed
4.37500000
N
N
N
N
N
FERTITTA ENTERTAINMENT
N/A
Fertitta Entertainment LLC / Fertitta Entertainment Finance Co Inc
31556TAC3
750000.00000000
PA
USD
596010.06000000
0.045914407143
Long
DBT
CORP
US
N
2
2030-01-15
Fixed
6.75000000
N
N
N
N
N
N
HILCORP ENERGY I/HILCORP
N/A
Hilcorp Energy I LP / Hilcorp Finance Co
431318AS3
700000.00000000
PA
USD
654498.26000000
0.050420121406
Long
DBT
CORP
US
N
2
2028-11-01
Fixed
6.25000000
N
N
N
N
N
N
JP Morgan Chase Commercial Mor
N/A
JPMCC Commercial Mortgage Securities Trust 2017-JP6
48128KAU5
5000000.00000000
PA
USD
4452686.00000000
0.343018434769
Long
ABS-MBS
CORP
US
N
2
2050-07-15
Fixed
3.48980000
N
N
N
N
N
N
VERIZON COMMUNICATIONS
2S72QS2UO2OESLG6Y829
Verizon Communications Inc
92343VGK4
1575000.00000000
PA
USD
1061372.56000000
0.081764210240
Long
DBT
CORP
US
N
2
2041-03-22
Fixed
3.40000000
N
N
N
N
N
N
GOLDMAN SACHS INTERNATIONAL
W22LROWP2IHZNBB6K528
CDS HALLIBURTON COMPANY
000000000
1.00000000
NC
USD
18013.78000000
0.001387714880
N/A
DCR
CORP
GB
N
2
GOLDMAN SACHS INTERNATIONAL
W22LROWP2IHZNBB6K528
HALLIBURTON CO
Halliburton Co
Y
Default Event
2026-12-20
5473.27000000
USD
0.00000000
USD
910000.00000000
USD
12540.51000000
N
N
N
AlbaCore Euro CLO
549300WN8XXHR94EX575
AlbaCore EURO CLO II DAC
000000000
4000000.00000000
PA
4075860.45000000
0.313989190322
Long
ABS-CBDO
CORP
IE
N
2
2034-06-15
Floating
5.49500000
N
N
N
N
N
N
REPUBLIC OF COLOMBIA
549300MHDRBVRF6B9117
Colombia Government International Bond
195325EG6
1375000.00000000
PA
USD
1282187.50000000
0.098774975224
Long
DBT
NUSS
CO
N
2
2034-02-02
Fixed
7.50000000
N
N
N
N
N
N
Citibank, National Association
E57ODZWZ7FF32TWEFA76
TWD/USD FORWARD
000000000
1.00000000
NC
USD
9967.87000000
0.000767887779
N/A
DFE
CORP
US
N
2
Citibank, National Association
E57ODZWZ7FF32TWEFA76
-143150436.00000000
TWD
4433000.00000000
USD
2023-12-20
9967.87000000
N
N
N
J.P. MORGAN SECURITIES LLC
ZBUT11V806EZRVTWT807
SGD/USD FORWARD
000000000
1.00000000
NC
USD
140080.01000000
0.010791245053
N/A
DFE
CORP
US
N
2
J.P. MORGAN SECURITIES LLC
ZBUT11V806EZRVTWT807
-23881294.00000000
SGD
17621580.10000000
USD
2023-12-20
140080.01000000
N
N
N
Sierra Receivables Funding Co
N/A
Sierra Timeshare 2023-2 Receivables Funding LLC
82650BAD8
1474082.29000000
PA
USD
1478770.31000000
0.113918986679
Long
ABS-O
CORP
US
N
2
2040-04-20
Fixed
9.72000000
N
N
N
N
N
N
MILLICOM INTL CELLULAR
549300CTHC1CP86P2G96
Millicom International Cellular SA
600814AR8
515000.00000000
PA
USD
383829.50000000
0.029568802809
Long
DBT
CORP
LU
N
2
2031-04-27
Fixed
4.50000000
N
N
N
N
N
N
GEORGIA-PACIFIC LLC
L2EVHWFHVAQK72TMH265
Georgia-Pacific LLC
373298BN7
400000.00000000
PA
USD
410920.51000000
0.031655793863
Long
DBT
CORP
US
N
2
2025-12-01
Fixed
7.37500000
N
N
N
N
N
N
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
US ULTRA BOND
000000000
-265.00000000
NC
USD
1577484.43000000
0.121523556804
N/A
DIR
CORP
US
N
1
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
Short
US TREASURY N/B
United States Treasury Note/Bond
2023-12-19
-30416938.88000000
USD
1577484.43000000
N
N
N
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
USD/CNH FORWARD
000000000
1.00000000
NC
USD
78140.42000000
0.006019648490
N/A
DFE
CORP
US
N
2
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
-98185807.00000000
CNY
13468191.13000000
USD
2023-11-16
78140.42000000
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31418DWS7
1579624.77000000
PA
USD
1222096.61000000
0.094145795661
Long
ABS-MBS
USGSE
US
N
2
2051-02-01
Fixed
2.50000000
N
N
N
N
N
N
GOLDMAN SACHS & CO. LLC
FOR8UP27PHTHYVLBNG30
CNH/USD FORWARD
000000000
1.00000000
NC
USD
-33892.15000000
-0.00261092568
N/A
DFE
CORP
US
N
2
GOLDMAN SACHS & CO. LLC
FOR8UP27PHTHYVLBNG30
-5851000.00000000
USD
42655359.68000000
CNY
2023-11-16
-33892.15000000
N
N
N
STATE STREET GLOBAL MARKETS, LLC
549300FDEDF5ORXCMQ56
MXN/USD FORWARD
000000000
1.00000000
NC
USD
62293.00000000
0.004798821959
N/A
DFE
CORP
US
N
2
STATE STREET GLOBAL MARKETS, LLC
549300FDEDF5ORXCMQ56
-26009328.00000000
MXN
1493000.00000000
USD
2023-12-20
62293.00000000
N
N
N
CITIGROUP INC
6SHGI4ZSSLCXXQSBB395
Citigroup Inc
172967JT9
405000.00000000
PA
USD
391950.38000000
0.030194405321
Long
DBT
CORP
US
N
2
2025-06-10
Fixed
4.40000000
N
N
N
N
N
N
NRG ENERGY INC
5E2UPK5SW04M13XY7I38
NRG Energy Inc
629377CR1
1475000.00000000
PA
USD
1112933.33000000
0.085736260957
Long
DBT
CORP
US
N
2
2031-02-15
Fixed
3.62500000
N
N
N
N
N
N
CENOVUS ENERGY INC
549300F4XPHJ7NOSP309
Cenovus Energy Inc
15135UAR0
1092000.00000000
PA
USD
890482.32000000
0.068599459202
Long
DBT
CORP
CA
N
2
2047-06-15
Fixed
5.40000000
N
N
N
N
N
N
CSC HOLDINGS LLC
3HG2WD2W22M120IUNG49
CSC Holdings LLC
126307AS6
1600000.00000000
PA
USD
1274436.59000000
0.098177873830
Long
DBT
CORP
US
N
2
2028-02-01
Fixed
5.37500000
N
N
N
N
N
N
UBS GROUP AG
549300SZJ9VS8SGXAN81
UBS Group AG
225401AZ1
1500000.00000000
PA
USD
1437676.20000000
0.110753248674
Long
DBT
CORP
CH
N
2
2033-08-12
Fixed
6.53700000
N
N
N
N
N
N
INTERCONTINENTAL EXCHANGE, INC.
5493000F4ZO33MV32P92
CDS CDX.NA.HY.41.V1
000000000
1.00000000
NC
USD
-31990.05000000
-0.00246439494
N/A
DCR
CORP
US
N
2
INTERCONTINENTAL EXCHANGE, INC.
5493000F4ZO33MV32P92
IHS MARKIT LTD
CDX.NA.HY.41.V1
Y
Default Event
2028-12-20
499101.20000000
USD
0.00000000
USD
88180000.00000000
USD
-531091.25000000
N
N
N
US TREASURY N/B
254900HROIFWPRGM1V77
United States Treasury Note/Bond
91282CEH0
30000000.00000000
PA
USD
28903125.00000000
2.226589680352
Long
DBT
UST
US
N
2
2025-04-15
Fixed
2.62500000
N
N
N
N
N
N
PRECISION DRILLING CORP
549300WF2OE8T5BP4B84
Precision Drilling Corp
740212AL9
675000.00000000
PA
USD
660656.25000000
0.050894510144
Long
DBT
CORP
CA
N
2
2026-01-15
Fixed
7.12500000
N
N
N
N
N
N
Asset Backed Securities Corp H
N/A
Asset Backed Securities Corp Home Equity Loan Trust Series 2003-HE6
04541GFY3
818437.58000000
PA
USD
811296.14000000
0.062499249234
Long
ABS-MBS
CORP
US
N
2
2033-11-25
Floating
6.11892000
N
N
N
N
N
N
DUKE ENERGY CAROLINAS
MWIUSDMN17TCR56VW396
Duke Energy Carolinas LLC
26442CAN4
50000.00000000
PA
USD
36556.46000000
0.002816174257
Long
DBT
CORP
US
N
2
2042-09-30
Fixed
4.00000000
N
N
N
N
N
N
J.P. MORGAN SECURITIES LLC
ZBUT11V806EZRVTWT807
CAD/USD FORWARD
000000000
1.00000000
NC
USD
-51105.99000000
-0.00393701615
N/A
DFE
CORP
US
N
2
J.P. MORGAN SECURITIES LLC
ZBUT11V806EZRVTWT807
-2475347.46000000
USD
3356988.00000000
CAD
2024-01-19
-51105.99000000
N
N
N
STRIPS
254900HROIFWPRGM1V77
United States Treasury Strip Coupon
912834JH2
1035000.00000000
PA
USD
409188.86000000
0.031522393962
Long
DBT
UST
US
N
2
2040-11-15
None
0.00000000
N
N
N
N
N
N
ECOPETROL SA
254900IDGKCJICKBPA66
Ecopetrol SA
279158AN9
2170000.00000000
PA
USD
1945296.50000000
0.149858436142
Long
DBT
CORP
CO
N
2
2030-04-29
Fixed
6.87500000
N
N
N
N
N
N
TALLGRASS NRG PRTNR/FIN
N/A
Tallgrass Energy Partners LP / Tallgrass Energy Finance Corp
87470LAD3
1000000.00000000
PA
USD
880085.05000000
0.067798492037
Long
DBT
CORP
US
N
2
2028-01-15
Fixed
5.50000000
N
N
N
N
N
N
VIASAT INC
UFC8NYMNFSYIHNSM2I38
Viasat Inc
92552VAR1
400000.00000000
PA
USD
261549.89000000
0.020148834631
Long
DBT
CORP
US
N
2
2031-05-30
Fixed
7.50000000
N
N
N
N
N
N
HSBC SECURITIES (USA) INC.
CYYGQCGNHMHPSMRL3R97
GBP/USD FORWARD
000000000
1.00000000
NC
USD
228521.26000000
0.017604431329
N/A
DFE
CORP
US
N
2
HSBC SECURITIES (USA) INC.
CYYGQCGNHMHPSMRL3R97
-15884356.00000000
GBP
19547923.87000000
USD
2024-01-19
228521.26000000
N
N
N
Hertz Vehicle Financing LLC
N/A
Hertz Vehicle Financing III LP
42806MAF6
200000.00000000
PA
USD
175168.36000000
0.013494321555
Long
ABS-O
CORP
US
N
2
2027-12-27
Fixed
2.12000000
N
N
N
N
N
N
CROWNROCK LP/CROWNROCK F
N/A
CrownRock LP / CrownRock Finance Inc
228701AF5
1000000.00000000
PA
USD
990553.84000000
0.076308598394
Long
DBT
CORP
US
N
2
2025-10-15
Fixed
5.62500000
N
N
N
N
N
N
LEVIATHAN BOND LTD
254900D9T8VKYVQNZ220
Leviathan Bond Ltd
000000000
600000.00000000
PA
USD
492600.00000000
0.037948079197
Long
DBT
CORP
IL
N
2
2030-06-30
Fixed
6.75000000
N
N
N
N
N
N
Freddie Mac - STACR
5493007ZK0X40BI7UF30
Freddie Mac STACR Remic Trust 2020-DNA2
35565KBD9
500000.00000000
PA
USD
502493.30000000
0.038710222379
Long
ABS-MBS
CORP
US
N
2
2050-02-25
Floating
7.93510000
N
N
N
N
N
N
PROSUS NV
635400Z5LQ5F9OLVT688
Prosus NV
74365PAH1
1250000.00000000
PA
USD
961562.50000000
0.074075212957
Long
DBT
CORP
NL
N
2
2032-01-19
Fixed
4.19300000
N
N
N
N
N
N
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
IRS GBP
000000000
1.00000000
NC
358997.90000000
0.027655868332
N/A
DIR
CORP
GB
N
2
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
Y
2031-05-08
0.00000000
USD
-30881.61000000
USD
-1340000.00000000
GBP
389879.51000000
N
N
N
Pnmac Gmsr Issuer Trust
N/A
PNMAC GMSR ISSUER TRUST 2018-GT1
69354WAC0
1650000.00000000
PA
USD
1649989.11000000
0.127109048762
Long
ABS-MBS
CORP
US
N
2
2025-02-25
Floating
9.28892000
N
N
N
N
N
N
ROYAL CARIBBEAN CRUISES
K2NEH8QNVW44JIWK7Z55
Royal Caribbean Cruises Ltd
780153BJ0
950000.00000000
PA
USD
895090.00000000
0.068954417800
Long
DBT
CORP
LR
Y
2
2026-08-31
Fixed
5.50000000
N
N
N
N
N
N
TENET HEALTHCARE CORP
0W9AIBT6U6ADJ2I8HK17
Tenet Healthcare Corp
88033GDT4
1425000.00000000
PA
USD
1353574.31000000
0.104274350619
Long
DBT
CORP
US
N
2
2031-05-15
Fixed
6.75000000
N
N
N
N
N
N
DEUTSCHE BANK AKTIENGESELLSCHAFT
7LTWFZYICNSX8D621K86
USD/CZK FORWARD
000000000
1.00000000
NC
USD
14797.26000000
0.001139926094
N/A
DFE
CORP
US
N
2
DEUTSCHE BANK AKTIENGESELLSCHAFT
7LTWFZYICNSX8D621K86
-2016000.00000000
USD
47223388.80000000
CZK
2024-01-19
14797.26000000
N
N
N
Citibank, National Association
E57ODZWZ7FF32TWEFA76
KRW/USD FORWARD
000000000
1.00000000
NC
USD
26835.93000000
0.002067340635
N/A
DFE
CORP
US
N
2
Citibank, National Association
E57ODZWZ7FF32TWEFA76
-1775674310.00000000
KRW
1343000.00000000
USD
2023-12-20
26835.93000000
N
N
N
ONEOK INC
2T3D6M0JSY48PSZI1Q41
ONEOK Inc
682680BJ1
3435000.00000000
PA
USD
3352470.04000000
0.258261872885
Long
DBT
CORP
US
N
2
2028-11-01
Fixed
5.65000000
N
N
N
N
N
N
Anchorage Capital Europe CLO
635400ZNDJ8ARDAHOM33
Anchorage Capital Europe CLO 6 DAC
000000000
4000000.00000000
PA
4230841.63000000
0.325928366312
Long
ABS-CBDO
CORP
IE
N
2
2034-08-25
Fixed
6.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31418EF21
1906172.46000000
PA
USD
1703818.17000000
0.131255840139
Long
ABS-MBS
USGSE
US
N
2
2052-06-01
Fixed
4.50000000
N
N
N
N
N
N
United AirLines Inc
K1OQBWM7XEOO08LDNP29
United Airlines Inc
90932RAJ3
389476.23000000
PA
USD
390165.99000000
0.030056942526
Long
LON
CORP
US
N
2
2028-04-21
Floating
9.18939000
N
N
N
N
N
N
LOS ANGELES CA DEPT OF WTR & P
N/A
Los Angeles Department of Water & Power Water System Revenue
544525NZ7
1730000.00000000
PA
USD
1719031.89000000
0.132427848769
Long
DBT
MUN
US
N
2
2039-07-01
Fixed
6.00800000
N
N
N
N
N
N
PUERTO RICO CMWLTH
549300X44HXPLJU48U63
Commonwealth of Puerto Rico
74514L3T2
8692355.30000000
PA
USD
4466019.85000000
0.344045625179
Long
DBT
MUN
US
N
2
2043-11-01
Variable
0.01000000
N
N
N
N
N
N
SPRINT LLC
549300ZTTY7CXOLJ6539
Sprint LLC
85207UAH8
2000000.00000000
PA
USD
2010759.20000000
0.154901440048
Long
DBT
CORP
US
N
2
2024-06-15
Fixed
7.12500000
N
N
N
N
N
N
CIVITAS RESOURCES INC
IIVIHPH28S64K95M2381
Civitas Resources Inc
17888HAA1
200000.00000000
PA
USD
201435.49000000
0.015517843945
Long
DBT
CORP
US
N
2
2028-07-01
Fixed
8.37500000
N
N
N
N
N
N
Tank Holding Corp
549300WQKU58ILVYFJ26
TANK HOLDING CORP
87583FAP3
66000.00000000
PA
USD
62865.00000000
0.004842886720
Long
LON
CORP
US
N
3
2028-03-31
Floating
11.43866000
N
N
N
N
N
N
Palmer Square CLO Ltd
549300EYS8N79JYSXL17
Palmer Square CLO 2018-2 Ltd
69688MAA3
6249719.80000000
PA
USD
6240277.10000000
0.480727831104
Long
ABS-CBDO
CORP
KY
N
2
2031-07-16
Floating
6.75548000
N
N
N
N
N
N
CARNIVAL CORP
F1OF2ZSX47CR0BCWA982
Carnival Corp
143658BR2
875000.00000000
PA
USD
739375.00000000
0.056958711035
Long
DBT
CORP
PA
N
2
2029-05-01
Fixed
6.00000000
N
N
N
N
N
N
ECOPETROL SA
254900IDGKCJICKBPA66
Ecopetrol SA
279158AT6
2105000.00000000
PA
USD
2095527.50000000
0.161431675861
Long
DBT
CORP
CO
N
2
2029-01-19
Fixed
8.62500000
N
N
N
N
N
N
Freddie Mac - STACR
5493000ISHRHX47NOH65
Freddie Mac STACR REMIC Trust 2021-HQA3
35564KJP5
100000.00000000
PA
USD
97125.00000000
0.007482150207
Long
ABS-MBS
CORP
US
N
2
2041-09-25
Floating
7.42062000
N
N
N
N
N
N
BANK GOSPODARSTWA KRAJOW
259400BCOV9JJIGLYF05
Bank Gospodarstwa Krajowego
06237MAA1
1443000.00000000
PA
USD
1341990.00000000
0.103381938289
Long
DBT
USGA
PL
N
2
2033-05-22
Fixed
5.37500000
N
N
N
N
N
N
Bank of America, National Association
B4TYDEB6GKMZO031MB27
USD/THB FORWARD
000000000
1.00000000
NC
USD
2629.12000000
0.000202537665
N/A
DFE
CORP
US
N
2
Bank of America, National Association
B4TYDEB6GKMZO031MB27
-2407000.00000000
USD
86213926.00000000
THB
2023-12-20
2629.12000000
N
N
N
MONG DUONG FIN HLDGS BV
549300995KGQFMWSV879
Mong Duong Finance Holdings BV
000000000
1295000.00000000
PA
USD
1166173.40000000
0.089837678726
Long
DBT
CORP
NL
N
2
2029-05-07
Fixed
5.12500000
N
N
N
N
N
N
BANGKOK BANK PCL/HK
549300CCL2BKJGMYXV60
Bangkok Bank PCL/Hong Kong
059895AV4
945000.00000000
PA
USD
704261.25000000
0.054253677812
Long
DBT
CORP
TH
N
2
2036-09-23
Fixed
3.46600000
N
N
N
N
N
N
GS Mortgage Securities Corp.
N/A
GSMSC Resecuritization Trust 2015-3R
36250FAR8
321254.60000000
PA
USD
319144.82000000
0.024585734682
Long
ABS-MBS
CORP
US
N
2
2036-10-26
Floating
5.57892000
N
N
N
N
N
N
DAVITA INC
M2XHYMU3TZNEZURC6H66
DaVita Inc
23918KAS7
1300000.00000000
PA
USD
1019228.05000000
0.078517553311
Long
DBT
CORP
US
N
2
2030-06-01
Fixed
4.62500000
N
N
N
N
N
N
JPMORGAN CHASE & CO
8I5DZWZKVSZI1NUHU748
JPMorgan Chase & Co
48128BAF8
1500000.00000000
PA
USD
1451635.89000000
0.111828651479
Long
DBT
CORP
US
Y
2
N/A
Fixed
5.00000000
N
N
N
N
N
N
NCR ATLEOS ESCROW CORP
N/A
NCR Atleos Escrow Corp
638962AA8
761000.00000000
PA
USD
745802.00000000
0.057453823307
Long
DBT
CORP
US
N
2
2029-04-01
Fixed
9.50000000
N
N
N
N
N
N
Carlyle Global Market Strategi
5493007AYUHLOG0AMH17
Carlyle Global Market Strategies CLO 2015-5 Ltd
14312JAY8
6227589.29000000
PA
USD
6190223.75000000
0.476871906439
Long
ABS-CBDO
CORP
KY
N
2
2032-01-20
Floating
6.75743000
N
N
N
N
N
N
ROMANIA
315700IASY927EDWBK92
Romanian Government International Bond
000000000
4200000.00000000
PA
4460685.08000000
0.343634654260
Long
DBT
NUSS
RO
N
2
2026-09-27
Fixed
5.00000000
N
N
N
N
N
N
UTAH ACQUISITION SUB
254900JOFV74IJ7H9933
Utah Acquisition Sub Inc
62854AAP9
520000.00000000
PA
USD
363776.19000000
0.028023970093
Long
DBT
CORP
US
N
2
2046-06-15
Fixed
5.25000000
N
N
N
N
N
N
BANK OF AMERICA CORP
9DJT3UXIJIZJI4WXO774
Bank of America Corp
06051GHM4
1450000.00000000
PA
USD
1318414.11000000
0.101565739059
Long
DBT
CORP
US
N
2
2029-07-23
Fixed
4.27100000
N
N
N
N
N
N
MEXICO CITY ARPT TRUST
N/A
Mexico City Airport Trust
59284MAA2
218000.00000000
PA
USD
201946.48000000
0.015557208722
Long
DBT
CORP
MX
N
2
2026-10-31
Fixed
4.25000000
N
N
N
N
N
N
NGPL PIPECO LLC
549300K3NT1HSQFEM073
NGPL PipeCo LLC
62912XAF1
500000.00000000
PA
USD
469099.46000000
0.036137684651
Long
DBT
CORP
US
N
2
2027-08-15
Fixed
4.87500000
N
N
N
N
N
N
Citibank, National Association
E57ODZWZ7FF32TWEFA76
NZD/USD FORWARD
000000000
1.00000000
NC
USD
-36310.61000000
-0.00279723488
N/A
DFE
CORP
US
N
2
Citibank, National Association
E57ODZWZ7FF32TWEFA76
-1135605.78000000
USD
1886357.00000000
NZD
2024-01-19
-36310.61000000
N
N
N
CITIBANK, NATIONAL ASSOCIATION
E57ODZWZ7FF32TWEFA76
CDS KINGDOM OF BAHRAIN
000000000
1.00000000
NC
USD
128959.22000000
0.009934540588
N/A
DCR
CORP
US
N
2
CITIBANK, NATIONAL ASSOCIATION
E57ODZWZ7FF32TWEFA76
KINGDOM OF BAHRAIN
Bahrain Government International Bond
Y
Default Event
2028-12-20
1712.18000000
USD
0.00000000
USD
-2000000.00000000
USD
127247.04000000
N
N
N
VENTURE GLOBAL CALCASIEU
549300GKHS6RS20NLH85
Venture Global Calcasieu Pass LLC
92328MAB9
75000.00000000
PA
USD
60417.99000000
0.004654378135
Long
DBT
CORP
US
N
2
2031-08-15
Fixed
4.12500000
N
N
N
N
N
N
STRIPS
254900HROIFWPRGM1V77
United States Treasury Strip Coupon
912833X96
870000.00000000
PA
USD
467217.19000000
0.035992681543
Long
DBT
UST
US
N
2
2035-11-15
None
0.00000000
N
N
N
N
N
N
STRIPS
254900HROIFWPRGM1V77
United States Treasury Strip Coupon
912834KV9
24000000.00000000
PA
USD
8991562.56000000
0.692676670994
Long
DBT
UST
US
N
2
2041-11-15
None
0.00000000
N
N
N
N
N
N
EG GLOBAL FINANCE PLC
549300TL8Q5207VYET27
eG Global Finance PLC
000000000
4346447.76000000
PA
4482070.40000000
0.345282100093
Long
DBT
CORP
GB
N
2
2025-02-07
Fixed
4.37500000
N
N
N
N
N
N
ENERGY TRANSFER LP
MTLVN9N7JE8MIBIJ1H73
Energy Transfer LP
29273VAM2
3360000.00000000
PA
USD
2825357.88000000
0.217655104730
Long
DBT
CORP
US
N
2
N/A
Fixed
7.12500000
N
N
N
N
N
N
Strata CLO, Ltd
N/A
Strata CLO I Ltd
86268HAA6
1759022.22000000
PA
USD
1756269.17000000
0.135296470877
Long
ABS-CBDO
CORP
KY
N
2
2031-01-15
Floating
7.24548000
N
N
N
N
N
N
Asset Backed Securities Corp H
N/A
Asset Backed Securities Corp Home Equity Loan Trust Series 2003-HE6
04541GGM8
3327410.88000000
PA
USD
3090759.76000000
0.238100682402
Long
ABS-MBS
CORP
US
N
2
2033-11-25
Floating
6.39892000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31418EKV1
11765591.22000000
PA
USD
11173621.97000000
0.860774444651
Long
ABS-MBS
USGSE
US
N
2
2052-11-01
Fixed
5.50000000
N
N
N
N
N
N
DEUTSCHE BANK AKTIENGESELLSCHAFT
7LTWFZYICNSX8D621K86
USD/HUF FORWARD
000000000
1.00000000
NC
USD
-5932.58000000
-0.00045702398
N/A
DFE
CORP
US
N
2
DEUTSCHE BANK AKTIENGESELLSCHAFT
7LTWFZYICNSX8D621K86
-1636000.00000000
USD
595939176.00000000
HUF
2024-01-19
-5932.58000000
N
N
N
BELLEMEADE RE LT
N/A
Bellemeade Re Ltd
07876MAC1
960000.00000000
PA
USD
975874.66000000
0.075177768745
Long
ABS-MBS
CORP
BM
N
2
2031-03-25
Floating
8.27062000
N
N
N
N
N
N
CITIBANK, NATIONAL ASSOCIATION
E57ODZWZ7FF32TWEFA76
CDS DOMINICAN REPUBLIC
000000000
1.00000000
NC
USD
144260.55000000
0.011113298368
N/A
DCR
CORP
US
N
2
CITIBANK, NATIONAL ASSOCIATION
E57ODZWZ7FF32TWEFA76
DOMINICAN REPUBLIC
Dominican Republic International Bond
Y
Default Event
2028-12-20
1712.18000000
USD
0.00000000
USD
-2000000.00000000
USD
142548.37000000
N
N
N
FALABELLA SA
5493004CKJQ7H391LM41
Falabella SA
30607FAA8
1200000.00000000
PA
USD
835128.00000000
0.064335167445
Long
DBT
CORP
CL
N
2
2032-01-15
Fixed
3.37500000
N
N
N
N
N
N
Bain Capital Credit CLO, Limit
N/A
Bain Capital Credit CLO 2022-1 Ltd
05684UAA3
9750000.00000000
PA
USD
9644693.18000000
0.742991434481
Long
ABS-CBDO
CORP
KY
N
2
2035-04-18
Floating
6.71504000
N
N
N
N
N
N
Fannie Mae - CAS
N/A
Connecticut Avenue Securities Trust 2023-R05
207942AB9
1400000.00000000
PA
USD
1427756.96000000
0.109989107170
Long
ABS-MBS
CORP
US
N
2
2043-06-25
Floating
8.42064000
N
N
N
N
N
N
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
USD/TWD FORWARD
000000000
1.00000000
NC
USD
54109.92000000
0.004168427790
N/A
DFE
CORP
US
N
2
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
-143663675.00000000
TWD
4493000.00000000
USD
2023-12-20
54109.92000000
N
N
N
BNP PARIBAS SECURITIES CORP.
RCNB6OTYUAMMP879YW96
COP/USD FORWARD
000000000
1.00000000
NC
USD
-40346.69000000
-0.00310815953
N/A
DFE
CORP
US
N
2
BNP PARIBAS SECURITIES CORP.
RCNB6OTYUAMMP879YW96
-4803006562.90000000
COP
1113476.00000000
USD
2023-12-20
-40346.69000000
N
N
N
GOLDMAN SACHS GROUP INC
784F5XWPLTWKTBV3E584
Goldman Sachs Group Inc/The
38141GWB6
3940000.00000000
PA
USD
3669630.11000000
0.282694709780
Long
DBT
CORP
US
N
2
2027-01-26
Fixed
3.85000000
N
N
N
N
N
N
BENCHMARK Mortgage Trust
N/A
Benchmark 2023-V3 Mortgage Trust
08163VAD9
50611174.97000000
PA
USD
1666291.96000000
0.128364959933
Long
ABS-MBS
CORP
US
N
2
2056-07-15
Variable
0.81448000
N
N
N
N
N
N
BEAZER HOMES USA
549300DUPYT2T0F60I45
Beazer Homes USA Inc
07556QBT1
3475000.00000000
PA
USD
3171164.17000000
0.244294740296
Long
DBT
CORP
US
N
2
2029-10-15
Fixed
7.25000000
N
N
N
N
N
N
Eagle Re 2018-1 Ltd.
549300BLEDGL5R7YKU33
Eagle RE 2018-1 Ltd
269826AA1
1892707.52000000
PA
USD
1893276.09000000
0.145850976461
Long
ABS-MBS
CORP
US
N
2
2028-11-25
Floating
7.13892000
N
N
N
N
N
N
NRG ENERGY INC
5E2UPK5SW04M13XY7I38
NRG Energy Inc
629377CS9
1050000.00000000
PA
USD
784263.42000000
0.060416748626
Long
DBT
CORP
US
N
2
2032-02-15
Fixed
3.87500000
N
N
N
N
N
N
COMM Mortgage Trust
N/A
COMM 2015-LC19 Mortgage Trust
200474AA2
123049000.00000000
PA
USD
293090.41000000
0.022578599453
Long
ABS-MBS
CORP
US
N
2
2048-02-10
Variable
0.23823300
N
N
N
N
N
N
Penta CLO S.A.
635400CJ99MQCYBUGV50
Penta CLO 5 DAC
000000000
10000000.00000000
PA
10134677.55000000
0.780738015232
Long
ABS-CBDO
CORP
IE
N
2
2035-04-20
Floating
5.54300000
N
N
N
N
N
N
CHICAGO MERCANTILE EXCHANGE INC.
SNZ2OJLFK8MNNCLQOF39
THREE-MONTH SOFR
000000000
151.00000000
NC
USD
6194.02000000
0.000477164355
N/A
DIR
CORP
US
N
1
CHICAGO MERCANTILE EXCHANGE INC.
SNZ2OJLFK8MNNCLQOF39
Long
THE SECURED OVERNIGHT FINANCING RATE
THE SECURED OVERNIGHT FINANCING RATE
2024-09-17
35790243.48000000
USD
6194.02000000
N
N
N
VENTURE GLOBAL CALCASIEU
549300GKHS6RS20NLH85
Venture Global Calcasieu Pass LLC
92328MAA1
75000.00000000
PA
USD
62570.35000000
0.004820187976
Long
DBT
CORP
US
N
2
2029-08-15
Fixed
3.87500000
N
N
N
N
N
N
Home Equity Asset Trust
N/A
Home Equity Asset Trust 2004-7
437084FL5
926507.38000000
PA
USD
885237.96000000
0.068195453134
Long
ABS-MBS
CORP
US
N
2
2035-01-25
Floating
6.27892000
N
N
N
N
N
N
THE TORONTO-DOMINION BANK
PT3QB789TSUIDF371261
CLP/USD FORWARD
000000000
1.00000000
NC
USD
11430.27000000
0.000880545658
N/A
DFE
CORP
US
N
2
THE TORONTO-DOMINION BANK
PT3QB789TSUIDF371261
-304000.00000000
USD
283176000.00000000
CLP
2023-12-20
11430.27000000
N
N
N
STANDARD CHARTERED SECURITIES (NORTH AMERICA) LLC
5493003GCX71N8988W38
USD/GBP FORWARD
000000000
1.00000000
NC
USD
-466.96000000
-0.00003597286
N/A
DFE
CORP
US
N
2
STANDARD CHARTERED SECURITIES (NORTH AMERICA) LLC
5493003GCX71N8988W38
-294084.00000000
GBP
357213.72000000
USD
2024-01-19
-466.96000000
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31418EM23
1427563.88000000
PA
USD
1395550.33000000
0.107508027702
Long
ABS-MBS
USGSE
US
N
2
2052-12-01
Fixed
6.00000000
N
N
N
N
N
N
VIKING CRUISES LTD
549300IJP90T4MV2GL84
Viking Cruises Ltd
92676XAD9
650000.00000000
PA
USD
585585.00000000
0.045111299140
Long
DBT
CORP
BM
N
2
2027-09-15
Fixed
5.87500000
N
N
N
N
N
N
CAESARS ENTERTAIN INC
549300FA4CTCW903Y781
Caesars Entertainment Inc
12769GAB6
1450000.00000000
PA
USD
1395651.74000000
0.107515839953
Long
DBT
CORP
US
N
2
2030-02-15
Fixed
7.00000000
N
N
N
N
N
N
RUTGERS NJ ST UNIV
549300BOYDHNW8J60112
Rutgers The State University of New Jersey
783186NH8
200000.00000000
PA
USD
195076.17000000
0.015027945490
Long
DBT
MUN
US
N
2
2040-05-01
Fixed
5.66500000
N
N
N
N
N
N
BAUSCH HEALTH COS INC
B3BS7ACMDUWISF18KY76
Bausch Health Cos Inc
071734AH0
400000.00000000
PA
USD
148000.00000000
0.011401371744
Long
DBT
CORP
CA
N
2
2028-01-30
Fixed
5.00000000
N
N
N
N
N
N
GS Mortgage Securities Trust
N/A
GS Mortgage Securities Trust 2013-GC10
36192CAJ4
26729338.21000000
PA
USD
267.29000000
0.000020591031
Long
ABS-MBS
CORP
US
N
2
2046-02-10
Variable
0.25164400
N
N
N
N
N
N
UNITED RENTALS NORTH AM
NGIZXNT70J2LYT3FBI09
United Rentals North America Inc
911365BP8
325000.00000000
PA
USD
258577.61000000
0.019919861191
Long
DBT
CORP
US
N
2
2032-01-15
Fixed
3.75000000
N
N
N
N
N
N
REPUBLIC OF SERBIA
254900W94OCY91V32O78
Serbia International Bond
000000000
366000.00000000
PA
298677.82000000
0.023009032821
Long
DBT
NUSS
RS
N
2
2029-06-26
Fixed
1.50000000
N
N
N
N
N
N
Santander Drive Auto Receivabl
N/A
Santander Drive Auto Receivables Trust 2023-2
80287JAE4
1250000.00000000
PA
USD
1213310.63000000
0.093468956309
Long
ABS-O
CORP
US
N
2
2030-12-16
Fixed
5.47000000
N
N
N
N
N
N
Eagle Re Ltd
N/A
Eagle RE 2023-1 Ltd
26982EAA4
400000.00000000
PA
USD
400233.00000000
0.030832467684
Long
ABS-MBS
CORP
BM
N
2
2033-09-26
Floating
7.32062000
N
N
N
N
N
N
OneMain Direct Auto Receivable
N/A
OneMain Direct Auto Receivables Trust 2022-1
68269DAE4
2900000.00000000
PA
USD
2769707.35000000
0.213367994052
Long
ABS-O
CORP
US
N
2
2030-12-16
Fixed
5.90000000
N
N
N
N
N
N
VISTRA CORP
549300KP43CPCUJOOG15
Vistra Corp
92840MAC6
450000.00000000
PA
USD
411359.21000000
0.031689589686
Long
DBT
CORP
US
N
2
N/A
Fixed
7.00000000
N
N
N
N
N
N
CITIGROUP INC
6SHGI4ZSSLCXXQSBB395
Citigroup Inc
17308CC53
870000.00000000
PA
USD
713776.46000000
0.054986694342
Long
DBT
CORP
US
N
2
2030-11-05
Fixed
2.97600000
N
N
N
N
N
N
HSBC SECURITIES (USA) INC.
CYYGQCGNHMHPSMRL3R97
USD/COP FORWARD
000000000
1.00000000
NC
USD
-45179.78000000
-0.00348048288
N/A
DFE
CORP
US
N
2
HSBC SECURITIES (USA) INC.
CYYGQCGNHMHPSMRL3R97
-1409389.67000000
USD
5678783327.00000000
COP
2023-12-20
-45179.78000000
N
N
N
FORD MOTOR CREDIT CO LLC
UDSQCVRUX5BONN0VY111
Ford Motor Credit Co LLC
345397C43
450000.00000000
PA
USD
451317.57000000
0.034767833717
Long
DBT
CORP
US
N
2
2026-03-06
Fixed
6.95000000
N
N
N
N
N
N
Tank Holding Corp
549300WQKU58ILVYFJ26
Tank Holding Corp
87583FAN8
1135625.00000000
PA
USD
1078843.75000000
0.083110125997
Long
LON
CORP
US
N
2
2028-03-31
Floating
11.17412000
N
N
N
N
N
N
CIFC Funding Ltd
5493001TP5YQV9X08Z14
CIFC Funding 2015-I Ltd
12548MBF1
6503987.21000000
PA
USD
6478730.28000000
0.499097380758
Long
ABS-CBDO
CORP
KY
N
2
2031-01-22
Floating
6.78354000
N
N
N
N
N
N
BOMBARDIER INC
W7L3VLU8EHQY34Z36697
Bombardier Inc
097751BT7
5675000.00000000
PA
USD
5462187.50000000
0.420786690700
Long
DBT
CORP
CA
N
2
2027-04-15
Fixed
7.87500000
N
N
N
N
N
N
PENN ENTERTAINMENT INC
N/A
Penn Entertainment Inc
707569AV1
391000.00000000
PA
USD
303823.25000000
0.023405417687
Long
DBT
CORP
US
N
2
2029-07-01
Fixed
4.12500000
N
N
N
N
N
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
IRS GBP
000000000
1.00000000
NC
531636.86000000
0.040955334282
N/A
DIR
CORP
GB
N
2
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
Y
2027-05-08
169314.69000000
USD
0.00000000
USD
-3280000.00000000
GBP
362322.17000000
N
N
N
Bank of America, National Association
B4TYDEB6GKMZO031MB27
MXN/USD FORWARD
000000000
1.00000000
NC
USD
28068.61000000
0.002162301736
N/A
DFE
CORP
US
N
2
Bank of America, National Association
B4TYDEB6GKMZO031MB27
-25777075.62000000
MXN
1446000.00000000
USD
2023-12-20
28068.61000000
N
N
N
Structured Asset Investment Lo
N/A
Structured Asset Investment Loan Trust 2004-BNC1
86358EKV7
1881276.63000000
PA
USD
1790675.66000000
0.137947019411
Long
ABS-O
CORP
US
N
2
2034-09-25
Floating
6.43420000
N
N
N
N
N
N
EASTERN GAS TRAN
H2VQBNB3NSKRM5QWBI71
Eastern Gas Transmission & Storage Inc
276480AD2
125000.00000000
PA
USD
92674.82000000
0.007139324825
Long
DBT
CORP
US
N
2
2044-12-15
Fixed
4.60000000
N
N
N
N
N
N
AT&T INC
549300Z40J86GGSTL398
AT&T Inc
00206RLV2
318000.00000000
PA
USD
183867.44000000
0.014164466453
Long
DBT
CORP
US
N
2
2059-09-15
Fixed
3.65000000
N
N
N
N
N
N
J.P. MORGAN SECURITIES LLC
ZBUT11V806EZRVTWT807
USD/PHP FORWARD
000000000
1.00000000
NC
USD
-1405.67000000
-0.00010828760
N/A
DFE
CORP
US
N
2
J.P. MORGAN SECURITIES LLC
ZBUT11V806EZRVTWT807
-39830000.00000000
PHP
700000.00000000
USD
2023-12-20
-1405.67000000
N
N
N
Citibank, National Association
E57ODZWZ7FF32TWEFA76
USD/PEN FORWARD
000000000
1.00000000
NC
USD
-14390.15000000
-0.00110856384
N/A
DFE
CORP
US
N
2
Citibank, National Association
E57ODZWZ7FF32TWEFA76
-9315817.19000000
PEN
2405696.00000000
USD
2023-12-20
-14390.15000000
N
N
N
GOLDMAN SACHS & CO. LLC
FOR8UP27PHTHYVLBNG30
CLP/USD FORWARD
000000000
1.00000000
NC
USD
-29402.36000000
-0.00226504889
N/A
DFE
CORP
US
N
2
GOLDMAN SACHS & CO. LLC
FOR8UP27PHTHYVLBNG30
-1497800150.00000000
CLP
1639000.00000000
USD
2023-12-20
-29402.36000000
N
N
N
PRINCIPAL FINANCIAL GRP
CUMYEZJOAF02RYZ1JJ85
Principal Financial Group Inc
74251VAJ1
245000.00000000
PA
USD
182171.64000000
0.014033828303
Long
DBT
CORP
US
N
2
2043-05-15
Fixed
4.35000000
N
N
N
N
N
N
Bank of America, National Association
B4TYDEB6GKMZO031MB27
PLN/EUR FORWARD
000000000
1.00000000
NC
USD
-25784.59000000
-0.00198634929
N/A
DFE
CORP
US
N
2
Bank of America, National Association
B4TYDEB6GKMZO031MB27
-6817572.95000000
PLN
1495600.00000000
EUR
2024-01-19
-25784.59000000
N
N
N
INDO ASAHAN/MINERAL IND
N/A
Indonesia Asahan Aluminium PT / Mineral Industri Indonesia Persero PT
000000000
1650000.00000000
PA
USD
1641552.00000000
0.126459085063
Long
DBT
CORP
ID
N
2
2028-11-15
Fixed
6.53000000
N
N
N
N
N
N
Retiro Mortgage Securities
635400CU9HBU644YSL41
Retiro Mortgage Securities DAC
000000000
314204.63000000
PA
326304.09000000
0.025137258322
Long
ABS-MBS
CORP
IE
N
2
2075-07-30
Floating
5.00000000
N
N
N
N
N
N
UBS Securities LLC
T6FIZBDPKLYJKFCRVK44
USD/CLP FORWARD
000000000
1.00000000
NC
USD
30965.84000000
0.002385493602
N/A
DFE
CORP
US
N
2
UBS Securities LLC
T6FIZBDPKLYJKFCRVK44
-1579079.00000000
USD
1445409963.00000000
CLP
2023-12-20
30965.84000000
N
N
N
MORGAN STANLEY & CO. INTERNATIONAL PLC
4PQUHN3JPFGFNF3BB653
CDS WELLS FARGO & COMPANY
000000000
1.00000000
NC
USD
15371.90000000
0.001184194231
N/A
DCR
CORP
GB
N
2
MORGAN STANLEY & CO. INTERNATIONAL PLC
4PQUHN3JPFGFNF3BB653
WELLS FARGO & COMPANY
Wells Fargo & Co
Y
Default Event
2023-12-20
2954.77000000
USD
0.00000000
USD
7500000.00000000
USD
12417.13000000
N
N
N
DIG INTL FIN/DIG INTL HL
N/A
Digicel International Finance Ltd/Digicel international Holdings Ltd
25381XAC7
2423926.45465900
PA
USD
48478.53000000
0.003734606365
Long
DBT
CORP
N/A
Y
2
2026-12-31
Fixed
8.00000000
Y
N
N
N
N
N
SUZANO AUSTRIA GMBH
254900287ZNSGVP1R341
Suzano Austria GmbH
86964WAF9
1000000.00000000
PA
USD
960050.00000000
0.073958695560
Long
DBT
CORP
AT
N
2
2029-01-15
Fixed
6.00000000
N
N
N
N
N
N
HARTFORD FINL SVCS GRP
IU7C3FTM7Y3BQM112U94
Hartford Financial Services Group Inc/The
416515AP9
280000.00000000
PA
USD
261604.59000000
0.020153048517
Long
DBT
CORP
US
N
2
2041-10-01
Fixed
6.10000000
N
N
N
N
N
N
PETROLEOS MEXICANOS
549300CAZKPF4HKMPX17
Petroleos Mexicanos
71654QCG5
260000.00000000
PA
USD
228361.90000000
0.017592154824
Long
DBT
CORP
MX
N
2
2027-03-13
Fixed
6.50000000
N
N
N
N
N
N
ABBVIE INC
FR5LCKFTG8054YNNRU85
AbbVie Inc
00287YCY3
4155000.00000000
PA
USD
3650081.03000000
0.281188721075
Long
DBT
CORP
US
N
2
2035-03-15
Fixed
4.55000000
N
N
N
N
N
N
DEUTSCHE BANK AKTIENGESELLSCHAFT
7LTWFZYICNSX8D621K86
USD/ZAR FORWARD
000000000
1.00000000
NC
USD
69518.18000000
0.005355423061
N/A
DFE
CORP
US
N
2
DEUTSCHE BANK AKTIENGESELLSCHAFT
7LTWFZYICNSX8D621K86
-2972230.17000000
USD
56941274.00000000
ZAR
2023-12-20
69518.18000000
N
N
N
CCM MERGER INC
549300P77RSBKKFME089
CCM Merger Inc
14985VAE1
625000.00000000
PA
USD
592807.10000000
0.045667662970
Long
DBT
CORP
US
N
2
2026-05-01
Fixed
6.37500000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Pool
3132DWC84
2941652.32000000
PA
USD
2358190.17000000
0.181666234942
Long
ABS-MBS
USGSE
US
N
2
2052-02-01
Fixed
3.00000000
N
N
N
N
N
N
CITIBANK, NATIONAL ASSOCIATION
E57ODZWZ7FF32TWEFA76
CDS REPUBLIC OF ARGENTINA
000000000
1.00000000
NC
USD
1546614.12000000
0.119145422478
N/A
DCR
CORP
US
N
2
CITIBANK, NATIONAL ASSOCIATION
E57ODZWZ7FF32TWEFA76
REPUBLIC OF ARGENTINA
Argentine Republic Government International Bond
Y
Default Event
2028-12-20
1712.18000000
USD
0.00000000
USD
-2000000.00000000
USD
1544901.94000000
N
N
N
BRINKER INTERNATIONAL IN
52990067JY6PBGJNTG76
Brinker International Inc
109641AH3
500000.00000000
PA
USD
487751.58000000
0.037574574880
Long
DBT
CORP
US
N
2
2024-10-01
Fixed
5.00000000
N
N
N
N
N
N
Chesapeake Energy Corp
X2MT1W32SPAZ9WSKLE78
Chesapeake Energy Corp
165167735
12570.00000000
NS
USD
1082025.60000000
0.083355243934
Long
EC
CORP
US
N
1
N
N
SEALED AIR/SEALED AIR US
N/A
Sealed Air Corp/Sealed Air Corp US
812127AA6
125000.00000000
PA
USD
118891.43000000
0.009158955342
Long
DBT
CORP
US
N
2
2028-02-01
Fixed
6.12500000
N
N
N
N
N
N
PREMIER ENTERTAINMENT SU
N/A
Premier Entertainment Sub LLC / Premier Entertainment Finance Corp
74052HAB0
625000.00000000
PA
USD
424297.62000000
0.032686316863
Long
DBT
CORP
US
N
2
2031-09-01
Fixed
5.87500000
N
N
N
N
N
N
Digicel International Finance Limited
5493007V023VOEW4FK27
Digicel International Finance Ltd
000000000
188459.69000000
PA
USD
172283.63000000
0.013272092642
Long
LON
CORP
JM
N
2
2024-05-27
Floating
8.98100000
N
N
N
N
N
N
ALTICE FINCO SA
549300IGQP5SEZB5Z419
Altice Finco SA
000000000
3350000.00000000
PA
2621647.49000000
0.201962010915
Long
DBT
CORP
LU
N
2
2028-01-15
Fixed
4.75000000
N
N
N
N
N
N
MPT OPER PARTNERSP/FINL
N/A
MPT Operating Partnership LP / MPT Finance Corp
55342UAH7
450000.00000000
PA
USD
348609.03000000
0.026855548272
Long
DBT
CORP
US
N
2
2027-10-15
Fixed
5.00000000
N
N
N
N
N
N
Elevation CLO Ltd
N/A
Elevation CLO 2023-17 Ltd
28624DAC2
10000000.00000000
PA
USD
10000000.00000000
0.770362955684
Long
ABS-CBDO
CORP
KY
N
3
2036-10-20
Floating
0.01000000
N
N
N
N
N
N
(PIPA070) PGIM Core Government Money Market Fund
N/A
(PIPA070) PGIM Core Government Money Market Fund
000000000
50242313.30000000
NS
USD
50242313.30000000
3.870481697422
Long
STIV
RF
US
N
1
N
N
N
DEUTSCHE BANK AKTIENGESELLSCHAFT
7LTWFZYICNSX8D621K86
USD/BRL FORWARD
000000000
1.00000000
NC
USD
-10724.21000000
-0.00082615341
N/A
DFE
CORP
US
N
2
DEUTSCHE BANK AKTIENGESELLSCHAFT
7LTWFZYICNSX8D621K86
-520179.55000000
USD
2569791.00000000
BRL
2023-11-03
-10724.21000000
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31418ELY4
1507852.11000000
PA
USD
1431556.30000000
0.110281794249
Long
ABS-MBS
USGSE
US
N
2
2052-12-01
Fixed
5.50000000
N
N
N
N
N
N
CASSA DEPOSITI E PRESTIT
81560029E2CE4D14F425
Cassa Depositi e Prestiti SpA
147918AB2
400000.00000000
PA
USD
391624.48000000
0.030169299193
Long
DBT
NUSS
IT
N
2
2026-05-05
Fixed
5.75000000
N
N
N
N
N
N
EG GLOBAL FINANCE PLC
549300TL8Q5207VYET27
eG Global Finance PLC
000000000
231178.58000000
PA
239791.24000000
0.018472628839
Long
DBT
CORP
GB
N
2
2025-10-30
Fixed
6.25000000
N
N
N
N
N
N
CITIBANK, NATIONAL ASSOCIATION
E57ODZWZ7FF32TWEFA76
CDS REPUBLIC OF COLOMBIA
000000000
1.00000000
NC
USD
306929.52000000
0.023644713221
N/A
DCR
CORP
US
N
2
CITIBANK, NATIONAL ASSOCIATION
E57ODZWZ7FF32TWEFA76
REPUBLIC OF COLOMBIA
Colombia Government International Bond
Y
Default Event
2028-12-20
5136.55000000
USD
0.00000000
USD
-6000000.00000000
USD
301792.97000000
N
N
N
Ferrellgas Partners LP
529900YP52A6C5K57L34
Ferrellgas Partners LP
315293308
6534.00000000
NS
USD
1116821.34000000
0.086035778845
Long
EC
CORP
US
Y
2
N
N
N
Generate CLO Ltd.
N/A
Generate CLO 2 Ltd
98625TAJ4
2788106.25000000
PA
USD
2781306.34000000
0.214261537274
Long
ABS-CBDO
CORP
KY
N
2
2031-01-22
Floating
6.82354000
N
N
N
N
N
N
REPUBLIC OF INDONESIA
529900FWX0GRR7WG5W79
Indonesia Government International Bond
000000000
805000.00000000
PA
778492.68000000
0.059972192194
Long
DBT
NUSS
ID
N
2
2026-09-18
Fixed
1.45000000
N
N
N
N
N
N
US TREASURY N/B
254900HROIFWPRGM1V77
United States Treasury Note/Bond
912810SE9
35125000.00000000
PA
USD
25981523.44000000
2.001520319042
Long
DBT
UST
US
N
2
2048-11-15
Fixed
3.37500000
N
N
N
N
N
N
CHART INDUSTRIES INC
EM7QGKC1GYOF3LSZSL80
Chart Industries Inc
16115QAF7
1100000.00000000
PA
USD
1080773.75000000
0.083258806047
Long
DBT
CORP
US
N
2
2030-01-01
Fixed
7.50000000
N
N
N
N
N
N
JPMBB Commercial Mortgage Secu
N/A
JPMBB Commercial Mortgage Securities Trust 2014-C21
46642EBB1
45056000.00000000
PA
USD
93950.77000000
0.007237619286
Long
ABS-MBS
CORP
US
N
2
2047-08-15
Variable
0.30152400
N
N
N
N
N
N
CODERE FINANCE 2 LUXEMBO
2221005CUH65GSJUKB29
Codere Finance 2 Luxembourg SA
000000000
689351.55000000
PA
56275.63000000
0.004335266065
Long
DBT
CORP
LU
N
2
2027-11-30
Variable
12.75000000
N
N
Y
N
N
N
OneMain Financial Issuance Tru
N/A
OneMain Financial Issuance Trust 2023-1
68269JAH4
200000.00000000
PA
USD
192801.94000000
0.014852747236
Long
ABS-O
CORP
US
N
2
2038-06-14
Fixed
7.49000000
N
N
N
N
N
N
VIASAT INC
UFC8NYMNFSYIHNSM2I38
Viasat Inc
92552VAK6
1650000.00000000
PA
USD
1531774.81000000
0.118002257007
Long
DBT
CORP
US
N
2
2025-09-15
Fixed
5.62500000
N
N
N
N
N
N
CVS HEALTH CORP
549300EJG376EN5NQE29
CVS Health Corp
126650DZ0
390000.00000000
PA
USD
341244.96000000
0.026288247599
Long
DBT
CORP
US
N
2
2053-06-01
Fixed
5.87500000
N
N
N
N
N
N
VIRGIN MEDIA SECURED FIN
213800X3RLP4NOTPY579
Virgin Media Secured Finance PLC
000000000
600000.00000000
PA
587142.57000000
0.045231288563
Long
DBT
CORP
GB
N
2
2030-01-15
Fixed
4.25000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31418EJ68
5318896.05000000
PA
USD
4754297.31000000
0.366253452793
Long
ABS-MBS
USGSE
US
N
2
2052-10-01
Fixed
4.50000000
N
N
N
N
N
N
BRASKEM NETHERLANDS
2549000TLMHFQ74DS330
Braskem Netherlands Finance BV
10554TAH8
1585000.00000000
PA
USD
1483877.00000000
0.114312387159
Long
DBT
CORP
NL
N
2
2031-01-12
Fixed
8.50000000
N
N
N
N
N
N
M&T BANK CORPORATION
549300WYXDDBYRASEG81
M&T Bank Corp
71270QEB8
325000.00000000
PA
USD
317257.15000000
0.024440315578
Long
DBT
CORP
US
N
2
2024-07-15
Fixed
4.00000000
N
N
N
N
N
N
Morgan Stanley Capital Inc
N/A
Morgan Stanley ABS Capital I Inc Trust 2003-NC8
61746RDM0
219324.43000000
PA
USD
214156.95000000
0.016497858098
Long
ABS-MBS
CORP
US
N
2
2033-09-25
Floating
6.48892000
N
N
N
N
N
N
CHARTER COMM OPT LLC/CAP
N/A
Charter Communications Operating LLC / Charter Communications Operating Capital
161175BA1
585000.00000000
PA
USD
493432.27000000
0.038012194194
Long
DBT
CORP
US
N
2
2045-10-23
Fixed
6.48400000
N
N
N
N
N
N
STATE OF MINAS GERAIS
N/A
Brazil Minas SPE via State of Minas Gerais
000000000
1645000.00000000
PA
USD
1595123.60000000
0.122882413117
Long
DBT
CORP
KY
N
2
2028-02-15
Fixed
5.33300000
N
N
N
N
N
N
UKRAINE GOVERNMENT
6354001WLTJXOMEXPY07
Ukraine Government International Bond
000000000
1866000.00000000
PA
439924.25000000
0.033890134550
Long
DBT
NUSS
UA
N
2
2032-01-27
Variable
4.37500000
N
Y
N
N
N
N
REPUBLIC OF SERBIA
254900W94OCY91V32O78
Serbia International Bond
817477AH5
915000.00000000
PA
USD
858141.90000000
0.066108073048
Long
DBT
NUSS
RS
N
2
2033-09-26
Fixed
6.50000000
N
N
N
N
N
N
UBS Securities LLC
T6FIZBDPKLYJKFCRVK44
USD/PLN FORWARD
000000000
1.00000000
NC
USD
-43698.25000000
-0.00336635130
N/A
DFE
CORP
US
N
2
UBS Securities LLC
T6FIZBDPKLYJKFCRVK44
-15993824.00000000
PLN
3743522.14000000
USD
2024-01-19
-43698.25000000
N
N
N
ALBERTSONS COS/SAFEWAY
N/A
Albertsons Cos Inc / Safeway Inc / New Albertsons LP / Albertsons LLC
01309QAA6
450000.00000000
PA
USD
441777.02000000
0.034032865088
Long
DBT
CORP
US
N
2
2028-02-15
Fixed
6.50000000
N
N
N
N
N
N
THE TORONTO-DOMINION BANK
PT3QB789TSUIDF371261
COP/USD FORWARD
000000000
1.00000000
NC
USD
-29984.31000000
-0.00230988016
N/A
DFE
CORP
US
N
2
THE TORONTO-DOMINION BANK
PT3QB789TSUIDF371261
-1491395.57000000
USD
6083402520.00000000
COP
2023-12-20
-29984.31000000
N
N
N
AMERICAN ELECTRIC POWER
1B4S6S7G0TW5EE83BO58
American Electric Power Co Inc
02557TAD1
2075000.00000000
PA
USD
2058137.12000000
0.158551259496
Long
DBT
CORP
US
N
2
2025-08-15
Fixed
5.69900000
N
N
N
N
N
N
Bank of America, National Association
B4TYDEB6GKMZO031MB27
INR/USD FORWARD
000000000
1.00000000
NC
USD
7543.66000000
0.000581135621
N/A
DFE
CORP
US
N
2
Bank of America, National Association
B4TYDEB6GKMZO031MB27
-7080000.00000000
USD
591122861.00000000
INR
2023-12-20
7543.66000000
N
N
N
LEVEL 3 FINANCING INC
254900AE5FEFIJOXWL19
Level 3 Financing Inc
527298BU6
275000.00000000
PA
USD
275236.27000000
0.021203182646
Long
DBT
CORP
US
N
2
2030-05-15
Fixed
10.50000000
N
N
N
N
N
N
UNIV OF CALIFORNIA CA REVENUES
N/A
University of California
91412GXY6
675000.00000000
PA
USD
541187.35000000
0.041691068652
Long
DBT
MUN
US
N
2
2045-05-15
Fixed
4.13100000
N
N
N
N
N
N
20 TSQ GroundCo LLC
N/A
20 Times Square Trust 2018-20TS
90137LAQ3
2700000.00000000
PA
USD
1782000.54000000
0.137278720302
Long
ABS-MBS
CORP
US
Y
2
2035-05-15
Variable
3.09990000
N
N
N
N
N
N
WOLVERINE WORLD WIDE
549300OVC7PK14LQ8D87
Wolverine World Wide Inc
978097AG8
825000.00000000
PA
USD
614335.59000000
0.047326138089
Long
DBT
CORP
US
N
2
2029-08-15
Fixed
4.00000000
N
N
N
N
N
Fannie Mae or Freddie Mac
B1V7KEBTPIMZEU4LTD58
Fannie Mae or Freddie Mac
01F0306B9
-1500000.00000000
PA
USD
-1200014.88000000
-0.09244470098
Short
ABS-MBS
USGSE
US
N
2
2053-11-15
Fixed
3.00000000
N
N
N
N
N
N
Ford Credit Auto Owner Trust/F
N/A
Ford Credit Auto Owner Trust 2023-REV2
34535CAD8
1200000.00000000
PA
USD
1160268.00000000
0.089382748586
Long
ABS-O
CORP
US
N
2
2036-02-15
Fixed
6.60000000
N
N
N
N
N
N
HSBC SECURITIES (USA) INC.
CYYGQCGNHMHPSMRL3R97
USD/MXN FORWARD
000000000
1.00000000
NC
USD
16604.28000000
0.001279132221
N/A
DFE
CORP
US
N
2
HSBC SECURITIES (USA) INC.
CYYGQCGNHMHPSMRL3R97
-734000.00000000
USD
13645500.40000000
MXN
2023-12-20
16604.28000000
N
N
N
BAUSCH HEALTH COS INC
B3BS7ACMDUWISF18KY76
Bausch Health Cos Inc
071734AK3
1200000.00000000
PA
USD
435000.00000000
0.033510788572
Long
DBT
CORP
CA
Y
2
2029-02-15
Fixed
6.25000000
N
N
N
N
N
N
GOLDMAN SACHS INTERNATIONAL
W22LROWP2IHZNBB6K528
SWOP CDS GS_21-PJ-A
000000000
-16440000.00000000
OU
Other
USD
-59.94000000
-0.00000461755
N/A
DCR
CORP
GB
N
3
GOLDMAN SACHS INTERNATIONAL
W22LROWP2IHZNBB6K528
Put
Written
GOLDMAN SACHS INTERNATIONAL
W22LROWP2IHZNBB6K528
GOLDMAN SACHS INTERNATIONAL
W22LROWP2IHZNBB6K528
CDS GS_21-PJ-A
000000000
0.00000000
NC
USD
0.00000000
0.00000000
DCR
CORP
GB
US
Default Event
2021-08-14
0.00000000
USD
0.00000000
USD
N/A
N/A
-16440000.00000000
USD
2.50000000
USD
2024-06-17
XXXX
-59.94000000
N
N
N
Barclays Commercial Mortgage S
N/A
BBCMS 2018-CHRS Mortgage Trust
05491VAE6
2650000.00000000
PA
USD
2103931.73000000
0.162079106608
Long
ABS-MBS
CORP
US
N
2
2038-08-05
Variable
4.26650000
N
N
N
N
N
N
REPUBLIC OF SERBIA
254900W94OCY91V32O78
Serbia International Bond
817477AG7
520000.00000000
PA
USD
504368.80000000
0.038854703952
Long
DBT
NUSS
RS
N
2
2028-05-26
Fixed
6.25000000
N
N
N
N
N
N
UKRAINE GOVERNMENT
6354001WLTJXOMEXPY07
Ukraine Government International Bond
000000000
350000.00000000
PA
USD
106203.13000000
0.008181495712
Long
DBT
NUSS
UA
N
2
2026-02-01
Variable
8.99400000
N
Y
N
N
N
N
GOLDMAN SACHS INTERNATIONAL
W22LROWP2IHZNBB6K528
CDS BANK OF AMERICA CORP
000000000
1.00000000
NC
USD
33679.59000000
0.002594550849
N/A
DCR
CORP
GB
N
2
GOLDMAN SACHS INTERNATIONAL
W22LROWP2IHZNBB6K528
BANK OF AMERICA CORP
BANK OF AMERICA CORP
Y
Default Event
2024-06-20
2366.81000000
USD
0.00000000
USD
7650000.00000000
USD
31312.78000000
N
N
N
CITIBANK, NATIONAL ASSOCIATION
E57ODZWZ7FF32TWEFA76
CDS REPUBLIC OF PANAMA
000000000
1.00000000
NC
USD
63031.55000000
0.004855717115
N/A
DCR
CORP
US
N
2
CITIBANK, NATIONAL ASSOCIATION
E57ODZWZ7FF32TWEFA76
REPUBLIC OF PANAMA
Panama Government International Bond
Y
Default Event
2028-12-20
1712.18000000
USD
0.00000000
USD
-2000000.00000000
USD
61319.37000000
N
N
N
DIGICEL GROUP HOLDINGS
N/A
Digicel Group Holdings Ltd
25381YAB7
191789.78000000
PA
USD
38357.96000000
0.002954955143
Long
DBT
CORP
BM
Y
2
2025-04-01
Fixed
8.00000000
Y
N
Y
N
N
N
Citigroup Mortgage Loan Trust
549300R1KUK063S4I339
Citigroup Mortgage Loan Trust Inc
17307GPF9
0.78000000
PA
USD
0.78000000
0.000000060088
Long
ABS-O
CORP
US
N
2
2034-11-25
Variable
5.01000000
N
N
N
N
N
N
BLACKSTONE PRIVATE CR FUND
N/A
BLACKSTONE PRIVATE CR FUND
000000000
950000.00000000
PA
USD
866894.00000000
0.066782302410
Long
DBT
CORP
US
N
3
2027-05-03
Fixed
5.61000000
N
N
N
N
N
N
MORGAN STANLEY
IGJSJL3JD5P30I6NJZ34
Morgan Stanley
61747YEY7
1625000.00000000
PA
USD
1592985.32000000
0.122717687947
Long
DBT
CORP
US
N
2
2033-10-18
Fixed
6.34200000
N
N
N
N
N
N
Long Beach Mortgage Loan Trust
N/A
Long Beach Mortgage Loan Trust 2004-2
542514FT6
522455.77000000
PA
USD
492219.79000000
0.037918789227
Long
ABS-O
CORP
US
N
2
2034-06-25
Floating
5.87892000
N
N
N
N
N
N
GOLDMAN SACHS GROUP INC
784F5XWPLTWKTBV3E584
Goldman Sachs Group Inc/The
38141GA46
3110000.00000000
PA
USD
3108209.98000000
0.239444982708
Long
DBT
CORP
US
N
2
2029-10-24
Fixed
6.48400000
N
N
N
N
N
N
Freddie Mac - STACR
5493000ISBDRXIMCHZ70
Freddie Mac STACR REMIC Trust 2022-DNA1
35564KPV5
500000.00000000
PA
USD
492505.35000000
0.037940787711
Long
ABS-MBS
CORP
US
N
2
2042-01-25
Floating
7.17062000
N
N
N
N
N
N
STANDARD CHARTERED SECURITIES (NORTH AMERICA) LLC
5493003GCX71N8988W38
PHP/USD FORWARD
000000000
1.00000000
NC
USD
-18633.88000000
-0.00143548508
N/A
DFE
CORP
US
N
2
STANDARD CHARTERED SECURITIES (NORTH AMERICA) LLC
5493003GCX71N8988W38
-261705735.00000000
PHP
4590000.00000000
USD
2023-12-20
-18633.88000000
N
N
N
Hudson River Trading LLC
549300SMOBUC8O5UOE10
Hudson River Trading LLC
44413EAF5
1173979.60000000
PA
USD
1156003.62000000
0.089054236548
Long
LON
CORP
US
N
2
2028-03-20
Floating
8.43860000
N
N
N
N
N
N
DISH NETWORK CORP
529900U350CWHH15G169
DISH Network Corp
25470MAG4
2350000.00000000
PA
USD
2327543.54000000
0.179305332095
Long
DBT
CORP
US
N
2
2027-11-15
Fixed
11.75000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31418EGK0
4424170.54000000
PA
USD
3954144.54000000
0.304612647503
Long
ABS-MBS
USGSE
US
N
2
2052-08-01
Fixed
4.50000000
N
N
N
N
N
N
AlbaCore Euro CLO
549300WN8XXHR94EX575
AlbaCore EURO CLO II DAC
000000000
1000000.00000000
PA
1018965.11000000
0.078497297387
Long
ABS-CBDO
CORP
IE
N
2
2034-06-15
Floating
5.49500000
N
N
N
N
N
N
GoodLeap Sustainable Home Impr
N/A
Goodleap Sustainable Home Solutions Trust 2023-3
38237CAA6
487304.10000000
PA
USD
472862.60000000
0.036427583016
Long
ABS-O
CORP
US
N
2
2055-07-20
Fixed
6.50000000
N
N
N
N
N
N
MAGELLAN MIDSTREAM PARTN
MZF5TI8NFVZZNUSKDL39
Magellan Midstream Partners LP
559080AG1
1350000.00000000
PA
USD
1073708.28000000
0.082714508412
Long
DBT
CORP
US
N
2
2043-10-15
Fixed
5.15000000
N
N
N
N
N
N
ARABIAN CENTRES SUKUK
5493003T55GS691ILI42
Arabian Centres Sukuk Ltd
03847PAA3
995000.00000000
PA
USD
949292.19000000
0.073129953729
Long
DBT
CORP
KY
N
2
2024-11-26
Fixed
5.37500000
N
N
N
N
N
N
PETROLEOS MEXICANOS
549300CAZKPF4HKMPX17
Petroleos Mexicanos
71643VAB1
2660000.00000000
PA
USD
1941800.00000000
0.149589078734
Long
DBT
CORP
MX
N
2
2032-02-16
Fixed
6.70000000
N
N
N
N
N
N
UKRAINE GOVERNMENT
6354001WLTJXOMEXPY07
Ukraine Government International Bond
903724AP7
1560000.00000000
PA
USD
491400.00000000
0.037855635642
Long
DBT
NUSS
UA
N
2
2024-09-01
Variable
7.75000000
N
N
N
N
N
N
Palmer Square Loan Funding Ltd
N/A
Palmer Square Loan Funding 2022-3 Ltd
69690CAE3
13000000.00000000
PA
USD
12986665.90000000
1.000444632721
Long
ABS-CBDO
CORP
KY
N
2
2031-04-15
Floating
8.39387000
N
N
N
N
N
N
LINCOLN NATIONAL CORP
EFQMQROEDSNBRIP7LE47
Lincoln National Corp
534187BA6
695000.00000000
PA
USD
657680.04000000
0.050665233950
Long
DBT
CORP
US
N
2
2040-06-15
Fixed
7.00000000
N
N
N
N
N
N
BARCLAYS PLC
213800LBQA1Y9L22JB70
ILS/USD FORWARD
000000000
1.00000000
NC
USD
140707.72000000
0.010839601506
N/A
DFE
CORP
US
N
2
BARCLAYS PLC
213800LBQA1Y9L22JB70
-9716949.82000000
ILS
2551730.29000000
USD
2023-12-20
140707.72000000
N
N
N
CITIBANK, NATIONAL ASSOCIATION
E57ODZWZ7FF32TWEFA76
CDS PETROLEOS MEXICANOS
000000000
1.00000000
NC
USD
-9922.91000000
-0.00076442422
N/A
DCR
CORP
US
N
2
CITIBANK, NATIONAL ASSOCIATION
E57ODZWZ7FF32TWEFA76
PETROLEOS MEXICANOS
Petroleos Mexicanos
Y
Default Event
2024-12-20
0.00000000
USD
-9439.03000000
USD
440000.00000000
USD
-483.88000000
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Pool
3133APUF4
1909566.18000000
PA
USD
1469253.56000000
0.113185851513
Long
ABS-MBS
USGSE
US
N
2
2051-08-01
Fixed
2.50000000
N
N
N
N
N
N
PREEM HOLDING AB
N/A
Preem Holdings AB
000000000
1980000.00000000
PA
2242633.43000000
0.172764171765
Long
DBT
CORP
SE
N
2
2027-06-30
Fixed
12.00000000
N
N
N
N
N
N
Romark CLO Ltd
N/A
Romark WM-R Ltd
77587AAC0
1406368.53000000
PA
USD
1396910.70000000
0.107612825567
Long
ABS-CBDO
CORP
KY
N
2
2031-04-20
Floating
6.70743000
N
N
N
N
N
N
JEFFERIES FIN GROUP INC
549300HOF34RGOJ5YL07
Jefferies Financial Group Inc
472319AM4
175000.00000000
PA
USD
161623.68000000
0.012450889583
Long
DBT
CORP
US
N
2
2043-01-20
Fixed
6.50000000
N
N
N
N
N
N
Freddie Mac - STACR
5493000ISOMSKCX2AW62
Freddie Mac STACR REMIC Trust 2021-DNA7
35564KMH9
100000.00000000
PA
USD
98220.73000000
0.007566561187
Long
ABS-MBS
CORP
US
N
2
2041-11-25
Floating
7.12062000
N
N
N
N
N
N
Freddie Mac - STACR
5493000IS4CDPWRMWB65
Freddie Mac STACR REMIC Trust 2022-DNA4
35564KWT2
200000.00000000
PA
USD
206474.12000000
0.015906001335
Long
ABS-MBS
CORP
US
N
2
2042-05-25
Floating
8.67062000
N
N
N
N
N
N
CITIBANK, NATIONAL ASSOCIATION
E57ODZWZ7FF32TWEFA76
CDS REPUBLIC OF INDONESIA
000000000
1.00000000
NC
USD
-17972.18000000
-0.00138451017
N/A
DCR
CORP
US
N
2
CITIBANK, NATIONAL ASSOCIATION
E57ODZWZ7FF32TWEFA76
REPUBLIC OF INDONESIA
Indonesia Government International Bond
Y
Default Event
2028-12-20
7704.82000000
USD
0.00000000
USD
-9000000.00000000
USD
-25677.00000000
N
N
N
FMC CORP
CKDHZ2X64EEBQCSP7013
FMC Corp
302491AU9
3223000.00000000
PA
USD
2668708.33000000
0.205587403695
Long
DBT
CORP
US
N
2
2029-10-01
Fixed
3.45000000
N
N
N
N
N
N
OFSI Fund LTD
N/A
OFSI BSL XI Ltd
67115PAL9
10000000.00000000
PA
USD
9994823.00000000
0.769964138782
Long
ABS-CBDO
CORP
KY
N
2
2035-10-18
Floating
7.43558000
N
N
N
N
N
N
St Pauls CLO
549300HFD82A7GIR1V82
St Pauls CLO II DAC
000000000
8000000.00000000
PA
8191651.06000000
0.631054452251
Long
ABS-CBDO
CORP
IE
N
2
2035-10-25
Floating
4.93600000
N
N
N
N
N
N
NUTRIEN LTD
5493002QQ7GD21OWF963
Nutrien Ltd
67077MAR9
1350000.00000000
PA
USD
1064484.72000000
0.082003959518
Long
DBT
CORP
CA
N
2
2043-06-01
Fixed
4.90000000
N
N
N
N
N
N
Chase Mortgage Finance Corpora
N/A
Chase Mortgage Finance Trust Series 2007-A1
161630AC2
34092.27000000
PA
USD
32622.93000000
0.002513149677
Long
ABS-MBS
CORP
US
N
2
2037-02-25
Variable
4.97902400
N
N
N
N
N
N
ABBVIE INC
FR5LCKFTG8054YNNRU85
AbbVie Inc
00287YCA5
905000.00000000
PA
USD
706156.01000000
0.054399643103
Long
DBT
CORP
US
N
2
2039-11-21
Fixed
4.05000000
N
N
N
N
N
N
MERCURY CHILE HOLDCO LLC
N/A
Mercury Chile Holdco LLC
000000000
1400000.00000000
PA
USD
1256500.00000000
0.096796105381
Long
DBT
CORP
US
N
2
2027-01-24
Fixed
6.50000000
N
N
N
N
N
N
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
US TREASURY LONG BOND
000000000
-629.00000000
NC
USD
6111858.24000000
0.470834917849
N/A
DIR
CORP
US
N
1
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
Short
US TREASURY N/B
United States Treasury Note/Bond
2023-12-19
-74948045.74000000
USD
6111858.24000000
N
N
N
GS Mortgage Securities Trust
N/A
GS Mortgage Securities Corportation Trust 2021-IP
36262MAA6
2130000.00000000
PA
USD
2031331.58000000
0.156486259994
Long
ABS-MBS
CORP
US
N
2
2036-10-15
Floating
6.39948000
N
N
N
N
N
N
ONEMAIN FINANCE CORP
5493008I795YYBFWFU90
OneMain Finance Corp
682691AC4
1200000.00000000
PA
USD
953467.30000000
0.073451588737
Long
DBT
CORP
US
N
2
2028-09-15
Fixed
3.87500000
N
N
N
N
N
N
Diamond Sports Group LLC
5493002K6DHWNZH8YA34
Diamond Sports Group LLC
25277BAE8
40505.76080000
PA
USD
15189.66000000
0.001170155137
Long
LON
CORP
US
N
2
2026-05-25
Floating
13.41960000
N
N
N
N
N
N
CHARTER COMM OPT LLC/CAP
N/A
Charter Communications Operating LLC / Charter Communications Operating Capital
161175AZ7
2640000.00000000
PA
USD
2387376.55000000
0.183914645539
Long
DBT
CORP
US
N
2
2035-10-23
Fixed
6.38400000
N
N
N
N
N
N
Carlyle Global Market Strategi
635400YFJCERZ9QJKR15
Carlyle Euro CLO 2019-1 DAC
000000000
1750000.00000000
PA
1818925.16000000
0.140123256242
Long
ABS-CBDO
CORP
IE
N
2
2032-03-15
Floating
4.59500000
N
N
N
N
N
N
SOCIETE GENERALE
O2RNE8IBXP4R0TD8PU41
Societe Generale SA
83368RBL5
7380000.00000000
PA
USD
6483462.10000000
0.499461902642
Long
DBT
CORP
FR
N
2
2033-06-15
Fixed
6.22100000
N
N
N
N
N
N
XPO INC
54930096DB9LCLPN7H13
XPO Inc
98379KAB8
225000.00000000
PA
USD
219196.67000000
0.016886099457
Long
DBT
CORP
US
N
2
2031-06-01
Fixed
7.12500000
N
N
N
N
N
N
Credit-Based Asset Servicing a
N/A
Credit-Based Asset Servicing and Securitization LLC
12489WGJ7
67569.03000000
PA
USD
61917.66000000
0.004769907156
Long
ABS-O
CORP
US
N
2
2032-12-25
Variable
3.37900000
N
N
N
N
N
N
CAESARS ENTERTAIN INC
549300FA4CTCW903Y781
Caesars Entertainment Inc
28470RAH5
350000.00000000
PA
USD
344453.16000000
0.026535395443
Long
DBT
CORP
US
N
2
2025-07-01
Fixed
6.25000000
N
N
N
N
N
N
ASHLAND SERVICES BV
549300S52OPXPKGJS029
Ashland Services BV
000000000
1200000.00000000
PA
1079011.23000000
0.083123028035
Long
DBT
CORP
NL
N
2
2028-01-30
Fixed
2.00000000
N
N
N
N
N
N
GOLDMAN SACHS INTERNATIONAL
W22LROWP2IHZNBB6K528
CDS BOEING CO
000000000
1.00000000
NC
USD
7201.20000000
0.000554753771
N/A
DCR
CORP
GB
N
2
GOLDMAN SACHS INTERNATIONAL
W22LROWP2IHZNBB6K528
BOEING CO
Boeing Co/The
Y
Default Event
2024-06-20
1283.79000000
USD
0.00000000
USD
1460000.00000000
USD
5917.41000000
N
N
N
Radnor Re LTD
N/A
Radnor RE 2021-2 Ltd
75049GAB5
1000000.00000000
PA
USD
1023368.50000000
0.078836518241
Long
ABS-MBS
CORP
BM
Y
2
2031-11-25
Floating
9.02062000
N
N
N
N
N
N
Legacy Mortgage Asset Trust
N/A
Legacy Mortgage Asset Trust 2021-SL2
52476TAA0
166354.37000000
PA
USD
153119.23000000
0.011795738259
Long
ABS-MBS
CORP
US
N
2
2068-10-25
Variable
1.87500000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Pool
3132DWBC6
2943371.03000000
PA
USD
2276477.24000000
0.175371373515
Long
ABS-MBS
USGSE
US
N
2
2051-03-01
Fixed
2.50000000
N
N
N
N
N
N
UKRAINE GOVERNMENT
6354001WLTJXOMEXPY07
Ukraine Government International Bond
903724BW1
800000.00000000
PA
USD
242750.00000000
0.018700560749
Long
DBT
NUSS
UA
N
2
2026-02-01
Variable
8.99400000
N
Y
N
N
N
N
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
IRS USD
000000000
1.00000000
NC
USD
-33384.48000000
-0.00257181666
N/A
DIR
CORP
GB
N
2
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
Y
2025-03-08
0.00000000
USD
0.00000000
USD
6572000.00000000
USD
-33384.48000000
N
N
N
WYNN MACAU LTD
254900NMDQ8ENTHU1I31
Wynn Macau Ltd
98313RAG1
475000.00000000
PA
USD
437722.00000000
0.033720481368
Long
DBT
CORP
KY
N
2
2026-01-15
Fixed
5.50000000
N
N
N
N
N
N
UKRAINE GOVERNMENT
6354001WLTJXOMEXPY07
Ukraine Government International Bond
000000000
1265000.00000000
PA
298233.75000000
0.022974823313
Long
DBT
NUSS
UA
N
2
2032-01-27
Variable
4.37500000
N
Y
N
N
N
N
Fannie Mae - CAS
N/A
Connecticut Avenue Securities Trust 2022-R04
20753YCK6
1000000.00000000
PA
USD
1018053.10000000
0.078427039515
Long
ABS-MBS
CORP
US
N
2
2042-03-25
Floating
8.42062000
N
N
N
N
N
N
KAIXO BONDCO TELECOM SA
959800ULWB3MZHZ69055
Kaixo Bondco Telecom SA
000000000
2600000.00000000
PA
2438680.44000000
0.187866907172
Long
DBT
CORP
ES
N
2
2029-09-30
Fixed
5.12500000
N
N
N
N
N
N
BPR Trust
N/A
BPR Trust 2023-BRK2
05610WAE0
4300000.00000000
PA
USD
4259535.71000000
0.328138851940
Long
ABS-MBS
CORP
US
N
2
2028-11-05
Variable
8.63034000
N
N
N
N
N
N
AI CANDELARIA SPAIN SLU
213800L5KA2MJ5FKRZ02
AI Candelaria Spain SA
00870WAA4
920000.00000000
PA
USD
623990.00000000
0.048069878071
Long
DBT
CORP
ES
N
2
2033-06-15
Fixed
5.75000000
N
N
N
N
N
N
HELLENIC REPUBLIC
2138003EKTMKZ5598902
Hellenic Republic Government International Bond
000000000
5485000.00000000
PA
5933702.37000000
0.457110449590
Long
DBT
NUSS
GR
N
2
2034-07-17
Fixed
5.20000000
N
N
N
N
N
N
SOUTHERN CO GAS CAPITAL
E8CD46SWUD2TSN8PA636
Southern Co Gas Capital Corp
001192AK9
1375000.00000000
PA
USD
992611.41000000
0.076467105965
Long
DBT
CORP
US
N
2
2043-06-01
Fixed
4.40000000
N
N
N
N
N
N
FORD MOTOR CREDIT CO LLC
UDSQCVRUX5BONN0VY111
Ford Motor Credit Co LLC
345397B28
2650000.00000000
PA
USD
2472642.63000000
0.190483228479
Long
DBT
CORP
US
N
2
2025-11-13
Fixed
3.37500000
N
N
N
N
N
N
CITIBANK, NATIONAL ASSOCIATION
E57ODZWZ7FF32TWEFA76
CDS REPUBLIC OF PHILIPPINES
000000000
1.00000000
NC
USD
-18242.44000000
-0.00140532999
N/A
DCR
CORP
US
N
2
CITIBANK, NATIONAL ASSOCIATION
E57ODZWZ7FF32TWEFA76
PHILIPPINE GOVERNMENT INTERNATIONAL BOND
PHILIPPINE GOVERNMENT INTERNATIONAL BOND
Y
Default Event
2028-12-20
2568.27000000
USD
0.00000000
USD
-3000000.00000000
USD
-20810.71000000
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31418EBT6
525989.56000000
PA
USD
421746.33000000
0.032489774932
Long
ABS-MBS
USGSE
US
N
2
2052-02-01
Fixed
3.00000000
N
N
N
N
N
N
J.P. MORGAN SECURITIES LLC
ZBUT11V806EZRVTWT807
USD/AUD FORWARD
000000000
1.00000000
NC
USD
22732.51000000
0.001751228359
N/A
DFE
CORP
US
N
2
J.P. MORGAN SECURITIES LLC
ZBUT11V806EZRVTWT807
-2892138.00000000
AUD
1862222.21000000
USD
2024-01-19
22732.51000000
N
N
N
IVORY COAST
254900ICW11T82O6H590
Ivory Coast Government International Bond
221625AP1
1650000.00000000
PA
1711768.26000000
0.131868285622
Long
DBT
NUSS
CI
N
2
2025-06-15
Fixed
5.12500000
N
N
N
N
N
N
State Street Bank and Trust Company
571474TGEMMWANRLN572
USD/EUR FORWARD
000000000
1.00000000
NC
USD
-170438.92000000
-0.01312998301
N/A
DFE
CORP
US
N
2
State Street Bank and Trust Company
571474TGEMMWANRLN572
-34313025.00000000
EUR
36275489.84000000
USD
2024-01-19
-170438.92000000
N
N
N
MGM CHINA HOLDINGS LTD
529900VZFN87OS7WJM66
MGM China Holdings Ltd
55300RAG6
700000.00000000
PA
USD
612447.50000000
0.047180686630
Long
DBT
CORP
KY
N
2
2027-02-01
Fixed
4.75000000
N
N
N
N
N
N
UNITED RENTALS NORTH AM
NGIZXNT70J2LYT3FBI09
United Rentals North America Inc
911365BL7
1200000.00000000
PA
USD
1097427.19000000
0.084541725373
Long
DBT
CORP
US
N
2
2030-01-15
Fixed
5.25000000
N
N
N
N
N
N
Independence Plaza Trust
N/A
Independence Plaza Trust 2018-INDP
45378YAS3
3000000.00000000
PA
USD
2700405.60000000
0.208029243956
Long
ABS-MBS
CORP
US
N
2
2035-07-10
Fixed
4.99600000
N
N
N
N
N
N
Oaktown Re Ltd
N/A
Oaktown Re VII Ltd
67389JAB4
1000000.00000000
PA
USD
1009495.80000000
0.077767816823
Long
ABS-MBS
CORP
BM
N
2
2034-04-25
Floating
8.22062000
N
N
N
N
N
N
Palmer Square CLO Ltd
549300UP5H2PFBIITY41
Palmer Square CLO 2014-1 Ltd
69688XAS0
3244615.61000000
PA
USD
3238251.62000000
0.249462908923
Long
ABS-CBDO
CORP
KY
N
2
2031-01-17
Floating
6.79444000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31418DXL1
1750728.23000000
PA
USD
1353222.79000000
0.104247270820
Long
ABS-MBS
USGSE
US
N
2
2051-03-01
Fixed
2.50000000
N
N
N
N
N
N
CSC HOLDINGS LLC
3HG2WD2W22M120IUNG49
CSC Holdings LLC
126307AQ0
1500000.00000000
PA
USD
1252471.26000000
0.096485746176
Long
DBT
CORP
US
N
2
2027-04-15
Fixed
5.50000000
N
N
N
N
N
UBS GROUP AG
549300SZJ9VS8SGXAN81
UBS Group AG
902613AN8
1925000.00000000
PA
USD
1936588.38000000
0.149187594836
Long
DBT
CORP
CH
N
2
2026-05-12
Floating
6.91699800
N
N
N
N
N
N
EMBRAER NETHERLANDS FINA
724500PBR8LR26XBSP67
Embraer Netherlands Finance BV
29082HAD4
1770000.00000000
PA
USD
1721767.50000000
0.132638590030
Long
DBT
CORP
NL
N
2
2030-07-28
Fixed
7.00000000
N
N
N
N
N
N
Bear Stearns Asset Backed Secu
N/A
Bear Stearns Asset Backed Securities Trust 2002-2
07384YEM4
58079.95000000
PA
USD
57765.23000000
0.004450019331
Long
ABS-MBS
CORP
US
N
2
2032-10-25
Floating
6.09892000
N
N
N
N
N
N
HSBC SECURITIES (USA) INC.
CYYGQCGNHMHPSMRL3R97
CNH/USD FORWARD
000000000
1.00000000
NC
USD
-68201.17000000
-0.00525396549
N/A
DFE
CORP
US
N
2
HSBC SECURITIES (USA) INC.
CYYGQCGNHMHPSMRL3R97
-8144000.00000000
USD
59217761.20000000
CNY
2023-11-16
-68201.17000000
N
N
N
ENERGIAN ISRAEL FINANCE
98450044QACBL3F8EB03
Energian Israel Finance Ltd
000000000
857000.00000000
PA
USD
699526.25000000
0.053888910952
Long
DBT
CORP
IL
N
2
2028-03-30
Fixed
5.37500000
N
N
N
N
N
N
OneMain Direct Auto Receivable
N/A
OneMain Direct Auto Receivables Trust 2021-1
682687AD0
200000.00000000
PA
USD
176483.56000000
0.013595639691
Long
ABS-O
CORP
US
N
2
2030-11-14
Fixed
1.62000000
N
N
N
N
N
N
CCO HLDGS LLC/CAP CORP
N/A
CCO Holdings LLC / CCO Holdings Capital Corp
1248EPCD3
1300000.00000000
PA
USD
1072657.18000000
0.082633535562
Long
DBT
CORP
US
N
2
2030-03-01
Fixed
4.75000000
N
N
N
N
N
N
Fannie Mae or Freddie Mac
B1V7KEBTPIMZEU4LTD58
Fannie Mae or Freddie Mac
01F0526C1
-7500000.00000000
PA
USD
-7112109.38000000
-0.54789056031
Short
ABS-MBS
USGSE
US
N
2
2053-12-15
Fixed
5.50000000
N
N
N
N
N
N
Barings Euro CLO
5493007R4SFFXIAHHB67
Barings Euro CLO 2020-1 DAC
000000000
3000000.00000000
PA
3077003.26000000
0.237040932602
Long
ABS-CBDO
CORP
IE
N
2
2034-10-21
Floating
4.98200000
N
N
N
N
N
N
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
IRS GBP
000000000
1.00000000
NC
273982.49000000
0.021106596080
N/A
DIR
CORP
GB
N
2
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
Y
2026-05-08
0.00000000
USD
-28953.30000000
USD
-2090000.00000000
GBP
302935.79000000
N
N
N
Fannie Mae or Freddie Mac
B1V7KEBTPIMZEU4LTD58
Fannie Mae or Freddie Mac
01F0306C7
1500000.00000000
PA
USD
1201479.72000000
0.092557546829
Long
ABS-MBS
USGSE
US
N
2
2053-12-15
Fixed
3.00000000
N
N
N
N
N
N
J.P. MORGAN SECURITIES LLC
ZBUT11V806EZRVTWT807
AUD/USD FORWARD
000000000
1.00000000
NC
USD
1889.56000000
0.000145564702
N/A
DFE
CORP
US
N
2
J.P. MORGAN SECURITIES LLC
ZBUT11V806EZRVTWT807
-750000.00000000
USD
1182158.49000000
AUD
2024-01-19
1889.56000000
N
N
N
TALLGRASS NRG PRTNR/FIN
N/A
Tallgrass Energy Partners LP / Tallgrass Energy Finance Corp
87470LAH4
125000.00000000
PA
USD
123458.42000000
0.009510779333
Long
DBT
CORP
US
N
2
2025-10-01
Fixed
7.50000000
N
N
N
N
N
N
Citibank, National Association
E57ODZWZ7FF32TWEFA76
MXN/USD FORWARD
000000000
1.00000000
NC
USD
11571.18000000
0.000891400842
N/A
DFE
CORP
US
N
2
Citibank, National Association
E57ODZWZ7FF32TWEFA76
-625416.00000000
USD
11580015.03000000
MXN
2023-12-20
11571.18000000
N
N
N
MORGAN STANLEY
IGJSJL3JD5P30I6NJZ34
Morgan Stanley
61746BDZ6
605000.00000000
PA
USD
576879.47000000
0.044440657358
Long
DBT
CORP
US
N
2
2026-01-27
Fixed
3.87500000
N
N
N
N
N
N
Morgan Stanley Capital Inc
N/A
Morgan Stanley ABS Capital I Inc Trust 2004-NC5
61746RFV8
153384.74000000
PA
USD
142260.83000000
0.010959247347
Long
ABS-O
CORP
US
N
2
2034-05-25
Floating
6.33892000
N
N
N
N
N
N
Eagle Re Ltd
N/A
Eagle RE 2021-2 Ltd
26982AAC8
910000.00000000
PA
USD
917699.60000000
0.070696177628
Long
ABS-MBS
CORP
BM
N
2
2034-04-25
Floating
8.77062000
N
N
N
N
N
N
J.P. MORGAN SECURITIES LLC
ZBUT11V806EZRVTWT807
INR/USD FORWARD
000000000
1.00000000
NC
USD
5978.68000000
0.000460575359
N/A
DFE
CORP
US
N
2
J.P. MORGAN SECURITIES LLC
ZBUT11V806EZRVTWT807
-410595065.10000000
INR
4929000.00000000
USD
2023-12-20
5978.68000000
N
N
N
UBS GROUP AG
549300SZJ9VS8SGXAN81
UBS Group AG
902613AM0
615000.00000000
PA
USD
596229.40000000
0.045931304285
Long
DBT
CORP
CH
N
2
2026-05-12
Fixed
4.48800000
N
N
N
N
N
N
Ford Credit Floorplan Master O
5493001DTG5N7T8BG747
Ford Credit Floorplan Master Owner Trust A
34528QHV9
2600000.00000000
PA
USD
2544559.68000000
0.196023451600
Long
ABS-O
CORP
US
N
2
2028-05-15
Fixed
4.92000000
N
N
N
N
N
N
OZLM Ltd
N/A
OZLM VI Ltd
67108LAY9
4000000.00000000
PA
USD
3948173.20000000
0.304152637590
Long
ABS-CBDO
CORP
KY
N
2
2031-04-17
Floating
7.41444000
N
N
N
N
N
N
BANCO DE CREDITO DEL PER
549300EQYQ8SCQZ4BY14
Banco de Credito del Peru S.A.
05971U2D8
1055000.00000000
PA
USD
920044.40000000
0.070876812334
Long
DBT
CORP
PE
N
2
2031-09-30
Fixed
3.25000000
N
N
N
N
N
N
TRANSOCEAN INC
DOL4HJ22ADYSIWES4H94
Transocean Inc
893830BK4
3025000.00000000
PA
USD
2941812.50000000
0.226626337257
Long
DBT
CORP
KY
N
2
2025-11-01
Fixed
7.25000000
N
N
N
N
N
N
ELEVANCE HEALTH INC
8MYN82XMYQH89CTMTH67
Elevance Health Inc
94973VBF3
515000.00000000
PA
USD
430138.95000000
0.033136311287
Long
DBT
CORP
US
N
2
2044-01-15
Fixed
5.10000000
N
N
N
N
N
N
RAIN CARBON INC
25490038N6JQH7QXUK52
Rain Carbon Inc
75079LAB7
225000.00000000
PA
USD
228943.36000000
0.017636948349
Long
DBT
CORP
US
N
2
2029-09-01
Fixed
12.25000000
N
N
N
N
N
N
MORGAN STANLEY
IGJSJL3JD5P30I6NJZ34
Morgan Stanley
61744YAP3
1750000.00000000
PA
USD
1577151.56000000
0.121497913732
Long
DBT
CORP
US
N
2
2029-01-24
Fixed
3.77200000
N
N
N
N
N
N
ROCKIES EXPRESS PIPELINE
W2ZGZGZKY5GGNY6F3V51
Rockies Express Pipeline LLC
77340RAS6
775000.00000000
PA
USD
733395.17000000
0.056498047084
Long
DBT
CORP
US
N
2
2025-05-15
Fixed
3.60000000
N
N
N
N
N
N
CA MAGNUM HOLDINGS
549300ZRDHFR078MFZ78
CA Magnum Holdings
12674CAA1
1625000.00000000
PA
USD
1415147.50000000
0.109017721082
Long
DBT
CORP
MU
N
2
2026-10-31
Fixed
5.37500000
N
N
N
N
N
N
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
THB/USD FORWARD
000000000
1.00000000
NC
USD
-30356.63000000
-0.00233856232
N/A
DFE
CORP
US
N
2
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
-72107282.50000000
THB
1985000.00000000
USD
2023-12-20
-30356.63000000
N
N
N
HSBC SECURITIES (USA) INC.
CYYGQCGNHMHPSMRL3R97
JPY/USD FORWARD
000000000
1.00000000
NC
USD
-40088.45000000
-0.00308826568
N/A
DFE
CORP
US
N
2
HSBC SECURITIES (USA) INC.
CYYGQCGNHMHPSMRL3R97
-1995693.04000000
USD
292452850.00000000
JPY
2024-01-19
-40088.45000000
N
N
N
AYDEM YENILENEBILIR ENER
9845009C50EDA74OA532
Aydem Yenilenebilir Enerji AS
054644AA7
630000.00000000
PA
USD
550456.20000000
0.042405106520
Long
DBT
CORP
TR
N
2
2027-02-02
Fixed
7.75000000
N
N
N
N
N
N
Bank of America, National Association
B4TYDEB6GKMZO031MB27
PEN/USD FORWARD
000000000
1.00000000
NC
USD
20557.43000000
0.001583668253
N/A
DFE
CORP
US
N
2
Bank of America, National Association
B4TYDEB6GKMZO031MB27
-19225863.27000000
PEN
5015100.00000000
USD
2023-12-20
20557.43000000
N
N
N
ROYAL CARIBBEAN CRUISES
K2NEH8QNVW44JIWK7Z55
Royal Caribbean Cruises Ltd
780153BR2
600000.00000000
PA
USD
625500.00000000
0.048186202878
Long
DBT
CORP
LR
N
2
2029-01-15
Fixed
9.25000000
N
N
N
N
N
N
PARK INTERMED HOLDINGS
N/A
Park Intermediate Holdings LLC / PK Domestic Property LLC / PK Finance Co-Issuer
70052LAA1
900000.00000000
PA
USD
892603.09000000
0.068762835466
Long
DBT
CORP
US
N
2
2025-06-01
Fixed
7.50000000
N
N
N
N
N
N
Avis Budget Rental Car Funding
IHXLB8SL0QWSSG2VG640
Avis Budget Rental Car Funding AESOP LLC
05377RHP2
2700000.00000000
PA
USD
2651349.51000000
0.204250144507
Long
ABS-O
CORP
US
N
2
2030-02-20
Fixed
7.34000000
N
N
N
N
N
N
REPUBLIC OF SERBIA
254900W94OCY91V32O78
Serbia International Bond
000000000
1844000.00000000
PA
1764510.20000000
0.135931329300
Long
DBT
NUSS
RS
N
2
2027-05-15
Fixed
3.12500000
N
N
N
N
N
N
GOLDMAN SACHS & CO. LLC
FOR8UP27PHTHYVLBNG30
USD/THB FORWARD
000000000
1.00000000
NC
USD
8637.81000000
0.000665424884
N/A
DFE
CORP
US
N
2
GOLDMAN SACHS & CO. LLC
FOR8UP27PHTHYVLBNG30
-35718419.00000000
THB
1006946.86000000
USD
2023-12-20
8637.81000000
N
N
N
BARCLAYS PLC
213800LBQA1Y9L22JB70
MXN/USD FORWARD
000000000
1.00000000
NC
USD
57836.58000000
0.004455515871
N/A
DFE
CORP
US
N
2
BARCLAYS PLC
213800LBQA1Y9L22JB70
-55158439.00000000
MXN
3091962.07000000
USD
2023-12-20
57836.58000000
N
N
N
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
IRS USD
000000000
1.00000000
NC
USD
242688.70000000
0.018695838424
N/A
DIR
CORP
GB
N
2
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
Y
2025-08-31
0.00000000
USD
0.00000000
USD
-49045000.00000000
USD
242688.70000000
N
N
N
ENERGY TRANSFER LP
MTLVN9N7JE8MIBIJ1H73
Energy Transfer LP
29273RBF5
55000.00000000
PA
USD
42620.58000000
0.003283331598
Long
DBT
CORP
US
N
2
2045-03-15
Fixed
5.15000000
N
N
N
N
N
N
First Franklin Mtg Loan Asset
N/A
First Franklin Mortgage Loan Trust 2004-FF5
32027NJU6
368367.90000000
PA
USD
335659.78000000
0.025857986022
Long
ABS-O
CORP
US
N
2
2034-08-25
Floating
6.19892000
N
N
N
N
N
N
TIERRA MOJADA LUX II SRL
254900H2U8PBIY32VI94
Tierra Mojada Luxembourg II Sarl
30260LAA3
1713687.21000000
PA
USD
1357411.64000000
0.104569964307
Long
DBT
CORP
LU
N
2
2040-12-01
Fixed
5.75000000
N
N
N
N
N
N
BARCLAYS BANK PLC
G5GSEF7VJP5I7OUK5573
CDS UNITED MEXICAN STATES
000000000
1.00000000
NC
USD
-8337.16000000
-0.00064226392
N/A
DCR
CORP
GB
N
2
BARCLAYS BANK PLC
G5GSEF7VJP5I7OUK5573
UNITED MEXICAN STATES
Mexico Government International Bond
Y
Default Event
2024-12-20
0.00000000
USD
-2705.63000000
USD
-1000000.00000000
USD
-5631.53000000
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31418ECR9
5642894.14000000
PA
USD
4522133.54000000
0.348368415987
Long
ABS-MBS
USGSE
US
N
2
2052-04-01
Fixed
3.00000000
N
N
N
N
N
N
US TREASURY N/B
254900HROIFWPRGM1V77
United States Treasury Note/Bond
912810SY5
26700000.00000000
PA
USD
17501015.63000000
1.348213412821
Long
DBT
UST
US
N
2
2041-05-15
Fixed
2.25000000
N
N
N
N
N
N
BARCLAYS PLC
213800LBQA1Y9L22JB70
USD/PLN FORWARD
000000000
1.00000000
NC
USD
-55559.36000000
-0.00428008727
N/A
DFE
CORP
US
N
2
BARCLAYS PLC
213800LBQA1Y9L22JB70
-6725543.12000000
PLN
1537000.00000000
USD
2024-01-19
-55559.36000000
N
N
N
TRUIST FINANCIAL CORP
549300DRQQI75D2JP341
Truist Financial Corp
89788MAQ5
1005000.00000000
PA
USD
1010808.46000000
0.077868939287
Long
DBT
CORP
US
N
2
2029-10-30
Fixed
7.16100000
N
N
N
N
N
N
ENN CLEAN ENERGY
3003009YZ3S5V395NR77
ENN Clean Energy International Investment Ltd
268733AA0
1350000.00000000
PA
USD
1235250.00000000
0.095159084100
Long
DBT
CORP
VG
N
2
2026-05-12
Fixed
3.37500000
N
N
N
N
N
N
ECOPETROL SA
254900IDGKCJICKBPA66
Ecopetrol SA
279158AS8
2660000.00000000
PA
USD
2542960.00000000
0.195900218178
Long
DBT
CORP
CO
N
2
2033-01-13
Fixed
8.87500000
N
N
N
N
N
N
Countrywide Asset-Backed Certi
N/A
Countrywide Asset-Backed Certificates
126671F84
249647.81000000
PA
USD
244560.89000000
0.018840065006
Long
ABS-O
CORP
US
N
2
2033-07-25
Floating
6.48892000
N
N
N
N
N
N
JP Morgan Chase Commercial Mor
N/A
J.P. Morgan Chase Commercial Mortgage Securities Trust 2018-AON
46649XAN7
7950000.00000000
PA
USD
2703985.01000000
0.208304988443
Long
ABS-MBS
CORP
US
N
2
2031-07-05
Variable
4.61320000
N
N
N
N
N
N
Freddie Mac - STACR
S6XOOCT0IEG5ABCC6L87
Freddie Mac Structured Agency Credit Risk Debt Notes
35564KDX4
3460000.00000000
PA
USD
3525760.76000000
0.271611548011
Long
ABS-MBS
CORP
US
N
2
2033-08-25
Floating
8.72062000
N
N
N
N
N
N
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
IRS USD
000000000
1.00000000
NC
USD
-65021.89000000
-0.00500904553
N/A
DIR
CORP
GB
N
2
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
Y
2024-08-31
0.00000000
USD
0.00000000
USD
95120000.00000000
USD
-65021.89000000
N
N
N
Fannie Mae - CAS
N/A
Connecticut Avenue Securities Trust 2022-R02
20754BAB7
1900000.00000000
PA
USD
1899262.61000000
0.146312155786
Long
ABS-MBS
CORP
US
N
2
2042-01-25
Floating
8.32062000
N
N
N
N
N
N
JP Morgan Chase Commercial Mor
N/A
JP Morgan Chase Commercial Mortgage Securities Trust 2016-JP3
46590RAE9
10495000.00000000
PA
USD
9445668.97000000
0.727659346614
Long
ABS-MBS
CORP
US
N
2
2049-08-15
Fixed
2.87040000
N
N
N
N
N
N
MAXIM CRANE WORKS LLC
N/A
Maxim Crane Works Holdings Capital LLC
57779EAA6
400000.00000000
PA
USD
390434.72000000
0.030077644490
Long
DBT
CORP
US
N
2
2028-09-01
Fixed
11.50000000
N
N
N
N
N
N
BPR Trust
N/A
BPR Trust 2021-TY
05592AAJ9
2024000.00000000
PA
USD
1880348.83000000
0.144855108239
Long
ABS-MBS
CORP
US
N
2
2038-09-15
Floating
7.14948000
N
N
N
N
N
N
MEXICO CITY ARPT TRUST
N/A
Mexico City Airport Trust
59284MAB0
415000.00000000
PA
USD
293297.10000000
0.022594522084
Long
DBT
CORP
MX
N
2
2046-10-31
Fixed
5.50000000
N
N
N
N
N
N
PETROBRAS GLOBAL FINANCE
549300FNENFFSMO3GT38
Petrobras Global Finance BV
000000000
800000.00000000
PA
848500.78000000
0.065365356878
Long
DBT
CORP
NL
N
2
2029-10-01
Fixed
5.37500000
N
N
N
N
N
N
REPUBLIC OF SERBIA
254900W94OCY91V32O78
Serbia International Bond
000000000
1660000.00000000
PA
1354658.98000000
0.104357909577
Long
DBT
NUSS
RS
N
2
2029-06-26
Fixed
1.50000000
N
N
N
N
N
N
REPUBLIC OF INDONESIA
529900FWX0GRR7WG5W79
Indonesia Government International Bond
000000000
2655000.00000000
PA
2754503.11000000
0.212196715726
Long
DBT
NUSS
ID
N
2
2025-07-30
Fixed
3.37500000
N
N
N
N
N
N
DEUTSCHE BANK AKTIENGESELLSCHAFT
7LTWFZYICNSX8D621K86
USD/EUR FORWARD
000000000
1.00000000
NC
USD
1475.98000000
0.000113704031
N/A
DFE
CORP
US
N
2
DEUTSCHE BANK AKTIENGESELLSCHAFT
7LTWFZYICNSX8D621K86
-3646000.00000000
EUR
3874111.99000000
USD
2024-01-19
1475.98000000
N
N
N
ISLAMIC REP OF PAKISTAN
529900LOP29R5WKHOD86
Pakistan Government International Bond
000000000
2189000.00000000
PA
USD
1953857.62000000
0.150517953113
Long
DBT
NUSS
PK
N
2
2024-04-15
Fixed
8.25000000
N
N
N
N
N
N
CAMERON INTERNATIONAL CO
P2PV5Z2Z2UKRY3P3V155
Cameron International Corp
13342BAF2
100000.00000000
PA
USD
84532.72000000
0.006512087603
Long
DBT
CORP
US
N
2
2041-06-01
Fixed
5.95000000
N
N
N
N
N
N
AETNA INC
549300QKBENKLBXQ8968
Aetna Inc
00817YAJ7
530000.00000000
PA
USD
401059.51000000
0.030896138952
Long
DBT
CORP
US
N
2
2042-05-15
Fixed
4.50000000
N
N
N
N
N
N
ORGANON & CO/ORG
N/A
Organon & Co / Organon Foreign Debt Co-Issuer BV
68622TAB7
650000.00000000
PA
USD
507906.32000000
0.039127221388
Long
DBT
CORP
US
N
2
2031-04-30
Fixed
5.12500000
N
N
N
N
N
N
CHICAGO MERCANTILE EXCHANGE INC.
SNZ2OJLFK8MNNCLQOF39
Three-Month SOFR
000000000
403.00000000
NC
USD
-6591.88000000
-0.00050781401
N/A
DIR
CORP
US
N
1
CHICAGO MERCANTILE EXCHANGE INC.
SNZ2OJLFK8MNNCLQOF39
Long
THE SECURED OVERNIGHT FINANCING RATE
THE SECURED OVERNIGHT FINANCING RATE
2024-03-19
95275791.88000000
USD
-6591.88000000
N
N
N
NEMAK SAB DE CV
5493000MY3DAIB0BP706
Nemak SAB de CV
64045DAC8
350000.00000000
PA
USD
256812.50000000
0.019783883655
Long
DBT
CORP
MX
N
2
2031-06-28
Fixed
3.62500000
N
N
N
N
N
N
GOLDMAN SACHS INTERNATIONAL
W22LROWP2IHZNBB6K528
CDS VERIZON COMMUNICATIONS INC
000000000
1.00000000
NC
USD
3949.93000000
0.000304287974
N/A
DCR
CORP
GB
N
2
GOLDMAN SACHS INTERNATIONAL
W22LROWP2IHZNBB6K528
VERIZON COMMUNICATIONS
Verizon Communications Inc
Y
Default Event
2026-06-20
7519.75000000
USD
0.00000000
USD
680000.00000000
USD
-3569.82000000
N
N
N
CITIBANK, NATIONAL ASSOCIATION
E57ODZWZ7FF32TWEFA76
CDS FEDERATIVE REPUBLIC OF BRAZIL
000000000
1.00000000
NC
USD
14400.17000000
0.001109335752
N/A
DCR
CORP
US
N
2
CITIBANK, NATIONAL ASSOCIATION
E57ODZWZ7FF32TWEFA76
FED REPUBLIC OF BRAZIL
Brazilian Government International Bond
Y
Default Event
2023-12-20
6577.55000000
USD
0.00000000
USD
6400000.00000000
USD
7822.62000000
N
N
N
ASCENT RESOURCES/ARU FIN
N/A
Ascent Resources Utica Holdings LLC / ARU Finance Corp
04364VAK9
899000.00000000
PA
USD
1136349.18000000
0.087540131299
Long
DBT
CORP
US
N
2
2027-11-01
Fixed
9.00000000
N
N
N
N
N
N
AT&T INC
549300Z40J86GGSTL398
AT&T Inc
00206RCP5
695000.00000000
PA
USD
578876.75000000
0.044594520410
Long
DBT
CORP
US
N
2
2035-05-15
Fixed
4.50000000
N
N
N
N
N
N
ANTERO MIDSTREAM PART/FI
N/A
Antero Midstream Partners LP / Antero Midstream Finance Corp
03690EAA6
900000.00000000
PA
USD
908367.45000000
0.069977263362
Long
DBT
CORP
US
N
2
2026-05-15
Fixed
7.87500000
N
N
N
N
N
N
Pnmac Gmsr Issuer Trust
N/A
PNMAC GMSR ISSUER TRUST 2018-GT2
69354WAD8
3400000.00000000
PA
USD
3397982.44000000
0.261767979584
Long
ABS-MBS
CORP
US
N
2
2025-08-25
Floating
8.08892000
N
N
N
N
N
N
STANDARD CHARTERED SECURITIES (NORTH AMERICA) LLC
5493003GCX71N8988W38
EUR/USD FORWARD
000000000
1.00000000
NC
USD
-1219.35000000
-0.00009393420
N/A
DFE
CORP
US
N
2
STANDARD CHARTERED SECURITIES (NORTH AMERICA) LLC
5493003GCX71N8988W38
-1338509.00000000
EUR
1420491.61000000
USD
2024-01-19
-1219.35000000
N
N
N
Santander Bank Auto Credit-Lin
N/A
Santander Bank Auto Credit-Linked Notes Series 2022-C
80290CBJ2
180741.13000000
PA
USD
181882.82000000
0.014011578680
Long
ABS-O
CORP
US
N
2
2032-12-15
Fixed
11.36600000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Pool
3133KMQF5
1470019.70000000
PA
USD
1144098.05000000
0.088137075539
Long
ABS-MBS
USGSE
US
N
2
2046-09-01
Fixed
2.50000000
N
N
N
N
N
N
Barclays Commercial Mortgage S
N/A
BBCMS 2018-CHRS Mortgage Trust
05491VAG1
900000.00000000
PA
USD
672728.04000000
0.051824476126
Long
ABS-MBS
CORP
US
N
2
2038-08-05
Variable
4.26650000
N
N
N
N
N
N
Fremont Home Loan Trust
N/A
Fremont Home Loan Trust 2004-4
35729PGT1
1481511.58000000
PA
USD
1374043.62000000
0.105851230434
Long
ABS-O
CORP
US
N
2
2035-03-25
Floating
6.23392000
N
N
N
N
N
N
PUERTO RICO SALES TAX FING COR
N/A
Puerto Rico Sales Tax Financing Corp Sales Tax Revenue
74529JPW9
5846000.00000000
PA
USD
4931436.74000000
0.379899618279
Long
DBT
MUN
US
N
2
2053-07-01
Fixed
4.75000000
N
N
N
N
N
N
Citibank, National Association
E57ODZWZ7FF32TWEFA76
USD/BRL FORWARD
000000000
1.00000000
NC
USD
-5774.36000000
-0.00044483530
N/A
DFE
CORP
US
N
2
Citibank, National Association
E57ODZWZ7FF32TWEFA76
-1071124.98000000
USD
5373834.00000000
BRL
2023-11-03
-5774.36000000
N
N
N
Great Outdoors Group LLC
549300IYLDI2E8I2AU46
Great Outdoors Group LLC
07014QAN1
1243654.82000000
PA
USD
1231995.56000000
0.094908374099
Long
LON
CORP
US
N
2
2028-03-06
Floating
9.40169000
N
N
N
N
N
N
Madison Park Funding Ltd
N/A
Madison Park Funding XXXIII Ltd
55819JAN3
5500000.00000000
PA
USD
5459604.15000000
0.420587678986
Long
ABS-CBDO
CORP
KY
N
2
2032-10-15
Floating
6.68387000
N
N
N
N
N
N
GS Mortgage Securities Trust
N/A
GS Mortgage Securities Trust 2014-GC20
36252WBA5
28307000.00000000
PA
USD
10003.69000000
0.000770647219
Long
ABS-MBS
CORP
US
N
2
2047-04-10
Variable
0.47169500
N
N
N
N
N
N
MIZRAHI TEFAHOT BANK LTD
YZO9YEGEO4VYDZMDWF93
Mizrahi Tefahot Bank Ltd
000000000
1555000.00000000
PA
USD
1296481.25000000
0.099876112773
Long
DBT
CORP
IL
N
2
2031-04-07
Fixed
3.07700000
N
N
N
N
N
N
AT&T INC
549300Z40J86GGSTL398
AT&T Inc
00206RMM1
727000.00000000
PA
USD
521704.53000000
0.040190184372
Long
DBT
CORP
US
N
2
2033-12-01
Fixed
2.55000000
N
N
N
N
N
N
ROYAL CARIBBEAN CRUISES
K2NEH8QNVW44JIWK7Z55
Royal Caribbean Cruises Ltd
780153BT8
150000.00000000
PA
USD
147750.00000000
0.011382112670
Long
DBT
CORP
LR
N
2
2030-01-15
Fixed
7.25000000
N
N
N
N
N
N
GOLDMAN SACHS & CO. LLC
FOR8UP27PHTHYVLBNG30
TRS TRSBENCH4 INDEX
000000000
1.00000000
NC
USD
260584.64000000
0.020074475347
N/A
DE
CORP
US
N
2
GOLDMAN SACHS & CO. LLC
FOR8UP27PHTHYVLBNG30
Y
2024-03-20
0.00000000
USD
0.00000000
USD
-2943781.80000000
USD
260584.64000000
N
N
N
BALL CORP
0BGI85ALH27ZJP15DY16
Ball Corp
058498AZ9
1125000.00000000
PA
USD
1077489.37000000
0.083005789579
Long
DBT
CORP
US
N
2
2029-06-15
Fixed
6.00000000
N
N
N
N
N
N
Freddie Mac - STACR
5493000IRJ8RDHSNEL96
Freddie Mac STACR REMIC Trust 2022-HQA3
35564KE70
600000.00000000
PA
USD
633728.82000000
0.048820120687
Long
ABS-MBS
CORP
US
N
2
2042-08-25
Floating
10.67062000
N
N
N
N
N
N
US TREASURY N/B
254900HROIFWPRGM1V77
United States Treasury Note/Bond
91282CGB1
16900000.00000000
PA
USD
15961257.90000000
1.229596181228
Long
DBT
UST
US
N
2
2029-12-31
Fixed
3.87500000
N
N
N
N
N
N
DIGICEL LTD
N/A
Digicel Ltd
25380QAH2
2050000.00000000
PA
USD
51250.00000000
0.003948110147
Long
DBT
CORP
JM
Y
2
2023-03-01
Fixed
6.75000000
N
N
N
N
N
N
STANDARD CHARTERED SECURITIES (NORTH AMERICA) LLC
5493003GCX71N8988W38
USD/PEN FORWARD
000000000
1.00000000
NC
USD
-7437.42000000
-0.00057295128
N/A
DFE
CORP
US
N
2
STANDARD CHARTERED SECURITIES (NORTH AMERICA) LLC
5493003GCX71N8988W38
-4183274.37000000
PEN
1079304.00000000
USD
2023-12-20
-7437.42000000
N
N
N
SINCLAIR TELEVISION GROU
549300CQGEN0CH65UD62
Sinclair Television Group Inc
829259AW0
425000.00000000
PA
USD
336371.24000000
0.025912794265
Long
DBT
CORP
US
Y
2
2027-02-15
Fixed
5.12500000
N
N
N
N
N
N
PETROLEOS MEXICANOS
549300CAZKPF4HKMPX17
Petroleos Mexicanos
71654QDC3
500000.00000000
PA
USD
388250.00000000
0.029909341754
Long
DBT
CORP
MX
N
2
2030-01-23
Fixed
6.84000000
N
N
N
N
N
N
Fannie Mae - CAS
N/A
Connecticut Avenue Securities Trust 2020-R01
20754CAB5
46642.06000000
PA
USD
47108.48000000
0.003629062789
Long
ABS-MBS
CORP
US
N
2
2040-01-25
Floating
7.48510000
N
N
N
N
N
N
Citibank, National Association
E57ODZWZ7FF32TWEFA76
PEN/USD FORWARD
000000000
1.00000000
NC
USD
-139730.35000000
-0.01076430854
N/A
DFE
CORP
US
N
2
Citibank, National Association
E57ODZWZ7FF32TWEFA76
-4449869.65000000
USD
16591339.00000000
PEN
2023-12-20
-139730.35000000
N
N
N
Silver Rock CLO Ltd
N/A
Silver Rock CLO II Ltd
82812LAC3
10000000.00000000
PA
USD
9881230.00000000
0.761213354860
Long
ABS-CBDO
CORP
KY
N
2
2035-01-20
Floating
6.86743000
N
N
N
N
N
N
WESTERN MIDSTREAM OPERAT
L6D8A6MLSY454J2JXJ60
Western Midstream Operating LP
958254AJ3
910000.00000000
PA
USD
679530.62000000
0.052348521690
Long
DBT
CORP
US
N
2
2048-03-01
Fixed
5.30000000
N
N
N
N
N
N
MidOcean Credit CLO
549300XSCUX0ONI5KZ96
MidOcean Credit CLO III
59802UAN9
18000000.00000000
PA
USD
17624536.20000000
1.357728979960
Long
ABS-CBDO
CORP
KY
N
2
2031-04-21
Floating
7.47354000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31418EE63
2882402.59000000
PA
USD
2576438.44000000
0.198479273177
Long
ABS-MBS
USGSE
US
N
2
2052-07-01
Fixed
4.50000000
N
N
N
N
N
N
TFS_18-3
N/A
TFS_18-3
000000000
1.00000000
PA
1.06000000
0.000000081658
Long
ABS-MBS
CORP
N/A
N
3
2040-04-16
Fixed
0.00000100
N
N
N
N
N
N
Freddie Mac - STACR
5493000ISA3AUOXQEF68
Freddie Mac STACR REMIC Trust 2022-DNA2
35564KRF8
1400000.00000000
PA
USD
1402619.68000000
0.108052624238
Long
ABS-MBS
CORP
US
N
2
2042-02-25
Floating
7.72062000
N
N
N
N
N
N
Bank of America, National Association
B4TYDEB6GKMZO031MB27
CNH/USD FORWARD
000000000
1.00000000
NC
USD
-31381.02000000
-0.00241747753
N/A
DFE
CORP
US
N
2
Bank of America, National Association
B4TYDEB6GKMZO031MB27
-3826000.00000000
USD
27824967.60000000
CNY
2023-11-16
-31381.02000000
N
N
N
ONE Park Mortgage Trust
N/A
ONE 2021-PARK Mortgage Trust
682413AJ8
3750000.00000000
PA
USD
3386370.00000000
0.260873400224
Long
ABS-MBS
CORP
US
N
2
2036-03-15
Floating
7.19848000
N
N
N
N
N
N
MORGAN STANLEY
IGJSJL3JD5P30I6NJZ34
Morgan Stanley
000000000
2570000.00000000
PA
USD
2568060.16000000
0.197833841523
Long
DBT
CORP
US
N
2
2029-11-01
Floating
6.40700000
N
N
N
N
N
N
BARCLAYS PLC
213800LBQA1Y9L22JB70
Barclays PLC
06738ECE3
3810000.00000000
PA
USD
3785617.52000000
0.291629950179
Long
DBT
CORP
GB
N
2
2033-11-02
Fixed
7.43700000
N
N
N
N
N
N
BELLIS FINCO PLC
259400ELWH6Z4ICFTD70
Bellis Finco PLC
000000000
2700000.00000000
PA
2426040.63000000
0.186893183033
Long
DBT
CORP
GB
N
2
2027-02-16
Fixed
4.00000000
N
N
N
N
N
N
Citibank, National Association
E57ODZWZ7FF32TWEFA76
THB/USD FORWARD
000000000
1.00000000
NC
USD
20955.26000000
0.001614315603
N/A
DFE
CORP
US
N
2
Citibank, National Association
E57ODZWZ7FF32TWEFA76
-700000.00000000
USD
25795000.00000000
THB
2023-12-20
20955.26000000
N
N
N
Carlyle Global Market Strategi
635400YFJCERZ9QJKR15
Carlyle Euro CLO 2019-1 DAC
000000000
6500000.00000000
PA
5996767.47000000
0.461968751274
Long
ABS-CBDO
CORP
IE
N
2
2032-03-15
Fixed
2.10000000
N
N
N
N
N
N
SPRINT LLC
549300ZTTY7CXOLJ6539
Sprint LLC
85207UAJ4
1150000.00000000
PA
USD
1165803.98000000
0.089809219978
Long
DBT
CORP
US
N
2
2025-02-15
Fixed
7.62500000
N
N
N
N
N
N
TALKTALK TELECOM GROUP
213800WF53FVDRRHRF44
TalkTalk Telecom Group Ltd
000000000
1300000.00000000
PA
1193951.73000000
0.091977618366
Long
DBT
CORP
GB
N
2
2025-02-20
Fixed
3.87500000
N
N
N
N
N
N
PETROLEOS MEXICANOS
549300CAZKPF4HKMPX17
Petroleos Mexicanos
000000000
2055000.00000000
PA
1640777.10000000
0.126399389637
Long
DBT
CORP
MX
N
2
2029-02-26
Fixed
4.75000000
N
N
N
N
N
N
CITIGROUP INC
6SHGI4ZSSLCXXQSBB395
Citigroup Inc
172967KY6
1145000.00000000
PA
USD
1056555.47000000
0.081393119471
Long
DBT
CORP
US
N
2
2026-10-21
Fixed
3.20000000
N
N
N
N
N
N
Bank of America, National Association
B4TYDEB6GKMZO031MB27
COP/USD FORWARD
000000000
1.00000000
NC
USD
-33341.96000000
-0.00256854108
N/A
DFE
CORP
US
N
2
Bank of America, National Association
B4TYDEB6GKMZO031MB27
-4492133800.00000000
COP
1045800.00000000
USD
2023-12-20
-33341.96000000
N
N
N
CITIBANK, NATIONAL ASSOCIATION
E57ODZWZ7FF32TWEFA76
CDS GOVERNMENT OF MEXICO
000000000
1.00000000
NC
USD
75833.10000000
0.005841901105
N/A
DCR
CORP
US
N
2
CITIBANK, NATIONAL ASSOCIATION
E57ODZWZ7FF32TWEFA76
UNITED MEXICAN STATES
Mexico Government International Bond
Y
Default Event
2028-12-20
7704.82000000
USD
0.00000000
USD
-9000000.00000000
USD
68128.28000000
N
N
N
New Residential Mortgage Loan
N/A
New Residential Mortgage Loan Trust 2018-4
64828FCQ3
1128068.39000000
PA
USD
1090840.67000000
0.084034324272
Long
ABS-MBS
CORP
US
N
2
2048-01-25
Floating
6.18892000
N
N
N
N
N
N
US TREASURY N/B
254900HROIFWPRGM1V77
United States Treasury Note/Bond
91282CFL0
4110000.00000000
PA
USD
3890371.88000000
0.299699838018
Long
DBT
UST
US
N
2
2029-09-30
Fixed
3.87500000
N
N
N
N
N
N
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
IRS USD
000000000
1.00000000
NC
USD
15650.82000000
0.001205681195
N/A
DIR
CORP
GB
N
2
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
Y
2026-09-25
2236.23000000
USD
0.00000000
USD
-12090000.00000000
USD
13414.59000000
N
N
N
CITIBANK, NATIONAL ASSOCIATION
E57ODZWZ7FF32TWEFA76
CDS REPUBLIC OF CHILE
000000000
1.00000000
NC
USD
-75743.48000000
-0.00583499711
N/A
DCR
CORP
US
N
2
CITIBANK, NATIONAL ASSOCIATION
E57ODZWZ7FF32TWEFA76
REPUBLIC OF CHILE
Chile Government International Bond
Y
Default Event
2028-12-20
5992.64000000
USD
0.00000000
USD
-7000000.00000000
USD
-81736.12000000
N
N
N
CITIBANK, NATIONAL ASSOCIATION
E57ODZWZ7FF32TWEFA76
CDS KINGDOM OF SAUDI ARABIA
000000000
1.00000000
NC
USD
-63034.85000000
-0.00485597133
N/A
DCR
CORP
US
N
2
CITIBANK, NATIONAL ASSOCIATION
E57ODZWZ7FF32TWEFA76
SAUDI GOVERNMENT INTERNATIONAL BOND
SAUDI GOVERNMENT INTERNATIONAL BOND
Y
Default Event
2028-12-20
3424.36000000
USD
0.00000000
USD
-4000000.00000000
USD
-66459.21000000
N
N
N
RAINBOW MIDCO LIMITED
N/A
RAINBOW MIDCO LIMITED
000000000
2754316.71000000
PA
2881244.32000000
0.221960389040
Long
DBT
CORP
N/A
N
3
2029-02-23
Floating
6.69700000
N
N
N
N
N
N
J.P. MORGAN SECURITIES LLC
ZBUT11V806EZRVTWT807
USD/INR FORWARD
000000000
1.00000000
NC
USD
-8344.27000000
-0.00064281165
N/A
DFE
CORP
US
N
2
J.P. MORGAN SECURITIES LLC
ZBUT11V806EZRVTWT807
-10330564.93000000
USD
860904835.30000000
INR
2023-12-20
-8344.27000000
N
N
N
Freddie Mac - STACR
5493000ISMYB8CLVZD05
Freddie Mac STACR REMIC Trust 2021-HQA1
35564KCN7
200000.00000000
PA
USD
197126.00000000
0.015185856800
Long
ABS-MBS
CORP
US
Y
2
2033-08-25
Floating
8.32062000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Pool
3132DWEC3
1447220.92000000
PA
USD
1293533.58000000
0.099649035196
Long
ABS-MBS
USGSE
US
N
2
2052-07-01
Fixed
4.50000000
N
N
N
N
N
N
Structured Asset Securities Co
N/A
Structured Asset Securities Corp Mortgage Pass-Through Ctfs Ser 2003-37A
86359BBZ3
215686.85000000
PA
USD
202452.54000000
0.015596193710
Long
ABS-MBS
CORP
US
N
2
2033-12-25
Variable
6.68442700
N
N
N
N
N
N
Romark CLO Ltd
N/A
Romark CLO II Ltd
77587EAA6
4813973.12000000
PA
USD
4789577.83000000
0.368971333360
Long
ABS-CBDO
CORP
KY
N
2
2031-07-25
Floating
6.81483000
N
N
N
N
N
N
Constellation Automotive Limited
213800XQDK86MM9NB619
Constellation Automotive Ltd
000000000
1025000.00000000
PA
839070.71000000
0.064638899218
Long
LON
CORP
GB
N
2
2029-07-27
Floating
12.68410000
N
N
N
N
N
N
FORWARD AIR CORP
N/A
Forward Air Corp
36267QAA2
650000.00000000
PA
USD
633644.60000000
0.048813632690
Long
DBT
CORP
US
N
2
2031-10-15
Fixed
9.50000000
N
N
N
N
N
N
SAN ANTONIO TX ELEC & GAS REVE
5493002G2FEH20Q4GQ04
City of San Antonio TX Electric & Gas Systems Revenue
796253Z21
120000.00000000
PA
USD
101542.15000000
0.007822431080
Long
DBT
MUN
US
N
2
2042-02-01
Fixed
4.42700000
N
N
N
N
N
N
HSBC SECURITIES (USA) INC.
CYYGQCGNHMHPSMRL3R97
IDR/USD FORWARD
000000000
1.00000000
NC
USD
27445.45000000
0.002114295798
N/A
DFE
CORP
US
N
2
HSBC SECURITIES (USA) INC.
CYYGQCGNHMHPSMRL3R97
-36931360800.00000000
IDR
2344000.00000000
USD
2023-12-20
27445.45000000
N
N
N
WELLS FARGO & COMPANY
PBLD0EJDB5FWOLXP3B76
Wells Fargo & Co
95000U3A9
6475000.00000000
PA
USD
6124766.21000000
0.471829300041
Long
DBT
CORP
US
Y
2
2028-07-25
Fixed
4.80800000
N
N
N
N
N
N
CALPINE CORP
43R4VPJBXTU2O15HEF41
Calpine Corp
131347CQ7
2695000.00000000
PA
USD
2175632.86000000
0.167602696051
Long
DBT
CORP
US
N
2
2031-02-01
Fixed
5.00000000
N
N
N
N
N
N
CITIBANK, NATIONAL ASSOCIATION
E57ODZWZ7FF32TWEFA76
CDS REPUBLIC OF PERU
000000000
1.00000000
NC
USD
-3127.29000000
-0.00024091483
N/A
DCR
CORP
US
N
2
CITIBANK, NATIONAL ASSOCIATION
E57ODZWZ7FF32TWEFA76
REPUBLIC OF PERU
Peruvian Government International Bond
Y
Default Event
2028-12-20
2568.27000000
USD
0.00000000
USD
-3000000.00000000
USD
-5695.56000000
N
N
N
DOMINICAN REPUBLIC
254900EHU7Q8FGVPI369
Dominican Republic International Bond
25714PEP9
1915000.00000000
PA
USD
1741692.50000000
0.134173538219
Long
DBT
NUSS
DO
Y
2
2029-02-22
Fixed
5.50000000
N
N
N
N
N
N
BX Commercial Mortgage Trust 2
N/A
BX Commercial Mortgage Trust 2019-XL
056054AL3
5652500.00000000
PA
USD
5515153.86000000
0.424867022864
Long
ABS-MBS
CORP
US
N
2
2036-10-15
Floating
8.09898000
N
N
N
N
N
N
TEACHERS INSUR & ANNUITY
O06XD7BJ4EPXNABVFN69
Teachers Insurance & Annuity Association of America
878091BC0
54000.00000000
PA
USD
54780.73000000
0.004220104507
Long
DBT
CORP
US
N
2
2039-12-16
Fixed
6.85000000
N
N
N
N
N
N
IVORY COAST
254900ICW11T82O6H590
Ivory Coast Government International Bond
000000000
500000.00000000
PA
518717.65000000
0.039960086201
Long
DBT
NUSS
CI
N
2
2025-06-15
Fixed
5.12500000
N
N
N
N
N
N
Elevation CLO Ltd
549300TLJB7OIA4JRG73
Elevation CLO 2017-6 Ltd
28622PAA1
847669.96000000
PA
USD
843328.11000000
0.064966873543
Long
ABS-CBDO
CORP
KY
N
2
2029-07-15
Floating
6.93548000
N
N
N
N
N
N
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
COP/USD FORWARD
000000000
1.00000000
NC
USD
47223.29000000
0.003637907326
N/A
DFE
CORP
US
N
2
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
-6634398900.00000000
COP
1641000.00000000
USD
2023-12-20
47223.29000000
N
N
N
ENERGY TRANSFER LP
MTLVN9N7JE8MIBIJ1H73
Energy Transfer LP
29273RBL2
125000.00000000
PA
USD
96845.84000000
0.007460644754
Long
DBT
CORP
US
N
2
2047-04-15
Fixed
5.30000000
N
N
N
N
N
N
GOLDMAN SACHS GROUP INC
784F5XWPLTWKTBV3E584
Goldman Sachs Group Inc/The
38141GWV2
35000.00000000
PA
USD
31436.66000000
0.002421763831
Long
DBT
CORP
US
N
2
2029-04-23
Fixed
3.81400000
N
N
N
N
N
N
CITIGROUP INC
6SHGI4ZSSLCXXQSBB395
Citigroup Inc
172967NN7
1240000.00000000
PA
USD
1007427.04000000
0.077608447217
Long
DBT
CORP
US
N
2
2033-03-17
Fixed
3.78500000
N
N
N
N
N
N
KEYCORP
RKPI3RZGV1V1FJTH5T61
KeyCorp
49326EEJ8
2370000.00000000
PA
USD
1772409.33000000
0.136539849014
Long
DBT
CORP
US
N
2
2029-10-01
Fixed
2.55000000
N
N
N
N
N
N
UNIV OF CALIFORNIA CA REVENUES
N/A
University of California
91412GXE0
625000.00000000
PA
USD
519550.51000000
0.040024246651
Long
DBT
MUN
US
N
2
2045-05-15
Fixed
3.93100000
N
N
N
N
N
N
VIKING OCEAN CRUISES SHI
N/A
Viking Ocean Cruises Ship VII Ltd
92682RAA0
1100000.00000000
PA
USD
973500.00000000
0.074994833735
Long
DBT
CORP
BM
N
2
2029-02-15
Fixed
5.62500000
N
N
N
N
N
N
VISTRA CORP
549300KP43CPCUJOOG15
Vistra Corp
92840MAB8
1575000.00000000
PA
USD
1496383.69000000
0.115275856226
Long
DBT
CORP
US
N
2
N/A
Fixed
8.00000000
N
N
N
N
N
N
Avis Budget Rental Car Funding
IHXLB8SL0QWSSG2VG640
Avis Budget Rental Car Funding AESOP LLC
05377RHE7
500000.00000000
PA
USD
488472.85000000
0.037630138849
Long
ABS-O
CORP
US
N
2
2028-04-20
Fixed
6.85000000
N
N
N
N
N
N
DBWF Mortgage Trust
N/A
DBWF 2016-85T Mortgage Trust
23307CAL9
15500000.00000000
PA
USD
9325189.05000000
0.718378019887
Long
ABS-MBS
CORP
US
N
2
2036-12-10
Variable
3.80810000
N
N
N
N
N
N
BURLINGTN NORTH SANTA FE
N/A
Burlington Northern Santa Fe LLC
12189LAC5
295000.00000000
PA
USD
256884.71000000
0.019789446446
Long
DBT
CORP
US
N
2
2041-03-01
Fixed
5.05000000
N
N
N
N
N
N
Mcafee Corp
2549009UKR8UEZYVCR93
McAfee Corp
57906HAD9
1012187.50000000
PA
USD
963265.44000000
0.074206401146
Long
LON
CORP
US
N
2
2029-03-01
Floating
9.16459000
N
N
N
N
N
N
TOTAL PLAY TELECOM
4469000001BSAPAMOQ06
Total Play Telecomunicaciones SA de CV
89157FAC4
480000.00000000
PA
USD
227174.40000000
0.017500674223
Long
DBT
CORP
MX
N
2
2028-09-20
Fixed
6.37500000
N
N
N
N
N
N
CITIBANK, NATIONAL ASSOCIATION
E57ODZWZ7FF32TWEFA76
CDS CDX.EM.40.V1
000000000
1.00000000
NC
USD
-5351560.53000000
-0.41226439874
N/A
DCR
CORP
US
N
2
CITIBANK, NATIONAL ASSOCIATION
E57ODZWZ7FF32TWEFA76
IHS MARKIT LTD.
CDX.EM.40.V1
Y
Default Event
2028-12-20
0.00000000
USD
-185026.20000000
USD
100000000.00000000
USD
-5166534.33000000
N
N
N
BARCLAYS BANK PLC
G5GSEF7VJP5I7OUK5573
CDS PETROLEOS MEXICANOS
000000000
1.00000000
NC
USD
-22552.07000000
-0.00173732793
N/A
DCR
CORP
GB
N
2
BARCLAYS BANK PLC
G5GSEF7VJP5I7OUK5573
PETROLEOS MEXICANOS
Petroleos Mexicanos
Y
Default Event
2024-12-20
0.00000000
USD
-11872.08000000
USD
1000000.00000000
USD
-10679.99000000
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Pool
3132DWEE9
4975928.35000000
PA
USD
4592598.35000000
0.353796763917
Long
ABS-MBS
USGSE
US
N
2
2052-07-01
Fixed
5.00000000
N
N
N
N
N
N
OneMain Direct Auto Receivable
N/A
OneMain Direct Auto Receivables Trust 2023-1
682685AD4
3700000.00000000
PA
USD
3603242.04000000
0.277580418798
Long
ABS-O
CORP
US
N
2
2033-02-14
Fixed
7.07000000
N
N
N
N
N
N
DIG INTL FIN/DIG INTL
N/A
Digicel International Finance Ltd/Digicel international Holdings Ltd
25381XAF0
1138183.43148500
PA
USD
1042501.16000000
0.080310427492
Long
DBT
CORP
N/A
N
2
2024-05-25
Fixed
8.75000000
N
N
N
N
N
N
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
10 YEAR US TREASURY NOTE
000000000
-722.00000000
NC
USD
2301868.15000000
0.177327395163
N/A
DIR
CORP
US
N
1
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
Short
US TREASURY N/B
United States Treasury Note/Bond
2023-12-19
-78957965.51000000
USD
2301868.15000000
N
N
N
ONEOK INC
2T3D6M0JSY48PSZI1Q41
ONEOK Inc
682680AT0
1060000.00000000
PA
USD
792923.80000000
0.061083912220
Long
DBT
CORP
US
N
2
2047-07-13
Fixed
4.95000000
N
N
N
N
N
N
Venture CLO 43 Limited
549300OLN5VHTMLSN650
Venture 43 CLO Ltd
92290CAB5
3500000.00000000
PA
USD
3462282.25000000
0.266721398752
Long
ABS-CBDO
CORP
KY
N
2
2034-04-15
Floating
6.89548000
N
N
N
N
N
N
FREEPORT INDONESIA PT
549300T4HTQHRKLNE619
Freeport Indonesia PT
69377FAB2
600000.00000000
PA
USD
532956.00000000
0.041056955940
Long
DBT
CORP
ID
N
2
2032-04-14
Fixed
5.31500000
N
N
N
N
N
N
Freddie Mac - STACR
S6XOOCT0IEG5ABCC6L87
Freddie Mac Structured Agency Credit Risk Debt Notes
35564KDB2
1811594.07000000
PA
USD
1818374.32000000
0.140080821569
Long
ABS-MBS
CORP
US
N
2
2033-08-25
Floating
7.62062000
N
N
N
N
N
N
CEMEX SAB DE CV
549300RIG2CXWN6IV731
Cemex SAB de CV
151290BV4
1180000.00000000
PA
USD
1092237.50000000
0.084141930880
Long
DBT
CORP
MX
N
2
2029-11-19
Fixed
5.45000000
N
N
N
N
N
N
MACY'S RETAIL HLDGS LLC
N/A
Macy's Retail Holdings LLC
55616XAJ6
705000.00000000
PA
USD
386148.83000000
0.029747475401
Long
DBT
CORP
US
N
2
2043-02-15
Fixed
4.30000000
N
N
N
N
N
N
ADAPTHEALTH LLC
N/A
AdaptHealth LLC
00653VAA9
800000.00000000
PA
USD
661261.90000000
0.050941167176
Long
DBT
CORP
US
N
2
2028-08-01
Fixed
6.12500000
N
N
N
N
N
N
Bank of America, National Association
B4TYDEB6GKMZO031MB27
USD/SGD FORWARD
000000000
1.00000000
NC
USD
-7415.76000000
-0.00057128267
N/A
DFE
CORP
US
N
2
Bank of America, National Association
B4TYDEB6GKMZO031MB27
-2476000.00000000
USD
3372307.05000000
SGD
2023-12-20
-7415.76000000
N
N
N
GENERAL MOTORS CO
54930070NSV60J38I987
General Motors Co
37045VAF7
1555000.00000000
PA
USD
1333728.48000000
0.102745501393
Long
DBT
CORP
US
N
2
2043-10-02
Fixed
6.25000000
N
N
N
N
N
N
J.P. MORGAN SECURITIES LLC
ZBUT11V806EZRVTWT807
KRW/USD FORWARD
000000000
1.00000000
NC
USD
-36247.38000000
-0.00279236387
N/A
DFE
CORP
US
N
2
J.P. MORGAN SECURITIES LLC
ZBUT11V806EZRVTWT807
-3254000.00000000
USD
4341161400.00000000
KRW
2023-12-20
-36247.38000000
N
N
N
DOMINICAN REPUBLIC
254900EHU7Q8FGVPI369
Dominican Republic International Bond
25714PDT2
1570000.00000000
PA
USD
1508628.70000000
0.116219166436
Long
DBT
NUSS
DO
N
2
2027-01-25
Fixed
5.95000000
N
N
N
N
N
N
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
PHP/USD FORWARD
000000000
1.00000000
NC
USD
-1779.39000000
-0.00013707761
N/A
DFE
CORP
US
N
2
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
-752000.00000000
USD
42602003.20000000
PHP
2023-12-20
-1779.39000000
N
N
N
BEAZER HOMES USA
549300DUPYT2T0F60I45
Beazer Homes USA Inc
07556QBR5
150000.00000000
PA
USD
133961.70000000
0.010319913116
Long
DBT
CORP
US
N
2
2027-10-15
Fixed
5.87500000
N
N
N
N
N
N
Bain Capital Credit CLO, Limit
549300WZ8E2KQS66KT95
Bain Capital Credit CLO 2019-2
05682LAJ6
8500000.00000000
PA
USD
8446404.10000000
0.650679682738
Long
ABS-CBDO
CORP
KY
Y
2
2032-10-17
Floating
6.76444000
N
N
N
N
N
N
THE TORONTO-DOMINION BANK
PT3QB789TSUIDF371261
USD/CLP FORWARD
000000000
1.00000000
NC
USD
-9007.59000000
-0.00069391136
N/A
DFE
CORP
US
N
2
THE TORONTO-DOMINION BANK
PT3QB789TSUIDF371261
-3647293127.00000000
CLP
4053718.99000000
USD
2023-12-20
-9007.59000000
N
N
N
JEFFERIES FIN LLC / JFIN
N/A
Jefferies Finance LLC / JFIN Co-Issuer Corp
47232MAF9
1025000.00000000
PA
USD
820692.45000000
0.063223106149
Long
DBT
CORP
US
N
2
2028-08-15
Fixed
5.00000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Pool
3132DWE58
2932998.09000000
PA
USD
2535089.59000000
0.195293910947
Long
ABS-MBS
USGSE
US
N
2
2052-10-01
Fixed
4.00000000
N
N
N
N
N
N
ABN AMRO BANK NV
BFXS5XCH7N0Y05NIXW11
ABN AMRO Bank NV
00084DBC3
3700000.00000000
PA
USD
3692985.17000000
0.284493897086
Long
DBT
CORP
NL
N
2
2026-10-13
Fixed
6.57500000
N
N
N
N
N
N
OneMain Financial Issuance Tru
N/A
OneMain Financial Issuance Trust 2023-1
68269JAE1
4800000.00000000
PA
USD
4595656.32000000
0.354032338598
Long
ABS-O
CORP
US
N
2
2038-06-14
Fixed
5.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31418EGT1
2378221.40000000
PA
USD
2194302.46000000
0.169040932875
Long
ABS-MBS
USGSE
US
N
2
2052-07-01
Fixed
5.00000000
N
N
N
N
N
N
Citibank, National Association
E57ODZWZ7FF32TWEFA76
USD/SGD FORWARD
000000000
1.00000000
NC
USD
50.62000000
0.000003899577
N/A
DFE
CORP
US
N
2
Citibank, National Association
E57ODZWZ7FF32TWEFA76
-300000.00000000
USD
409896.00000000
SGD
2023-12-20
50.62000000
N
N
N
REGL TRANSPRTN DIST CO SALES T
N/A
Regional Transportation District Sales Tax Revenue
759136QP2
1190000.00000000
PA
USD
1167792.27000000
0.089962390474
Long
DBT
MUN
US
N
2
2050-11-01
Fixed
5.84400000
N
N
N
N
N
N
CLEAN RENEWABLE POWER
2138003P9CSDW7P4MT75
Clean Renewable Power Mauritius Pte Ltd
18452NAB0
427500.00000000
PA
USD
364542.08000000
0.028082971422
Long
DBT
CORP
MU
N
2
2027-03-25
Fixed
4.25000000
N
N
N
N
N
N
Freddie Mac - STACR
5493000IT1PBTE7DAT80
Freddie Mac STACR REMIC Trust 2021-DNA1
35564KBD0
835000.00000000
PA
USD
815178.10000000
0.062798301052
Long
ABS-MBS
CORP
US
Y
2
2051-01-25
Floating
7.97062000
N
N
N
N
N
N
AT&T INC
549300Z40J86GGSTL398
AT&T Inc
00206RKJ0
929000.00000000
PA
USD
547067.10000000
0.042144022811
Long
DBT
CORP
US
N
2
2053-09-15
Fixed
3.50000000
N
N
N
N
N
N
FORD MOTOR CREDIT CO LLC
UDSQCVRUX5BONN0VY111
Ford Motor Credit Co LLC
345397C92
625000.00000000
PA
USD
623433.52000000
0.048027008914
Long
DBT
CORP
US
N
2
2028-05-12
Fixed
6.80000000
N
N
N
N
N
Battalion CLO LTD
549300RRK5G3IT4Y7N27
Battalion CLO X Ltd
07132JBC7
4740000.00000000
PA
USD
4690034.71000000
0.361302900145
Long
ABS-CBDO
CORP
KY
N
2
2035-01-25
Floating
6.83008000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31418DUG5
3845881.12000000
PA
USD
2852314.46000000
0.219731739794
Long
ABS-MBS
USGSE
US
N
2
2050-11-01
Fixed
2.00000000
N
N
N
N
N
N
Rathlin Residential
635400C7HSB9QLJBUZ78
Rathlin Residential 2021-1 DAC
000000000
1016347.18000000
PA
1047886.15000000
0.080725267173
Long
ABS-O
CORP
IE
N
2
2075-09-27
Floating
5.84500000
N
N
N
N
N
N
MPT OPER PARTNERSP/FINL
N/A
MPT Operating Partnership LP / MPT Finance Corp
000000000
837000.00000000
PA
652270.70000000
0.050248518435
Long
DBT
CORP
US
N
2
2026-10-15
Fixed
0.99300000
N
N
N
N
N
N
ALLIED UNIVERSAL
N/A
Allied Universal Holdco LLC / Allied Universal Finance Corp
019576AA5
1000000.00000000
PA
USD
936175.50000000
0.072119492521
Long
DBT
CORP
US
Y
2
2026-07-15
Fixed
6.62500000
N
N
N
N
N
N
Finance America Mortgage Loan
N/A
Finance America Mortgage Loan Trust 2003-1
317350AC0
1007818.51000000
PA
USD
964395.44000000
0.074293452160
Long
ABS-O
CORP
US
N
2
2033-09-25
Floating
6.48892000
N
N
N
N
N
N
TEACHERS INSUR & ANNUITY
O06XD7BJ4EPXNABVFN69
Teachers Insurance & Annuity Association of America
878091BD8
1950000.00000000
PA
USD
1583261.67000000
0.121968613972
Long
DBT
CORP
US
Y
2
2044-09-15
Fixed
4.90000000
N
N
N
N
N
N
HSBC SECURITIES (USA) INC.
CYYGQCGNHMHPSMRL3R97
USD/SGD FORWARD
000000000
1.00000000
NC
USD
582.70000000
0.000044889049
N/A
DFE
CORP
US
N
2
HSBC SECURITIES (USA) INC.
CYYGQCGNHMHPSMRL3R97
-460000.00000000
USD
629197.20000000
SGD
2023-12-20
582.70000000
N
N
N
LAUREL ROAD PRIME STUDENT LOAN TRUST 2018-D
N/A
LAUREL ROAD PRIME STUDENT LOAN TRUST 2018-D
51889BAA2
2224265.28640900
PA
USD
2050285.04000000
0.157946364341
Long
ABS-O
CORP
US
N
2
2043-11-25
Variable
0.01000000
N
N
N
N
N
N
MEXICO CITY ARPT TRUST
N/A
Mexico City Airport Trust
59284MAD6
3395000.00000000
PA
USD
2415576.45000000
0.186087061370
Long
DBT
CORP
MX
N
2
2047-07-31
Fixed
5.50000000
N
N
N
N
N
N
TPC GROUP INC
549300K276KVW5JD1583
TPC Group Inc
89236YAG9
1058172.00000000
PA
USD
1060168.59000000
0.081671460851
Long
DBT
CORP
US
N
2
2027-12-16
Fixed
13.00000000
N
N
N
N
N
N
MEXICO CITY ARPT TRUST
N/A
Mexico City Airport Trust
59284MAC8
2000000.00000000
PA
USD
1765360.00000000
0.135996794744
Long
DBT
CORP
MX
N
2
2028-04-30
Fixed
3.87500000
N
N
N
N
N
N
Battalion CLO LTD
549300QQUW46V6EB1N30
Battalion Clo 17 Ltd
07133PAA7
2450000.00000000
PA
USD
2423737.96000000
0.186715793867
Long
ABS-CBDO
CORP
KY
N
2
2034-03-09
Floating
6.93743000
N
N
N
N
N
N
CODERE FINANCE 2 LUXEMBO
2221005CUH65GSJUKB29
Codere Finance 2 Luxembourg SA
000000000
2008036.00000000
PA
1445010.44000000
0.111318251355
Long
DBT
CORP
LU
N
2
2026-09-30
Variable
11.00000000
N
N
Y
N
N
N
ELEVANCE HEALTH INC
8MYN82XMYQH89CTMTH67
Elevance Health Inc
036752AG8
700000.00000000
PA
USD
653926.76000000
0.050376095163
Long
DBT
CORP
US
N
2
2028-03-01
Fixed
4.10100000
N
N
N
N
N
N
Atlas Static Senior Loan Fund
N/A
Atlas Static Senior Loan Fund I Ltd
04942PAA5
8204459.31000000
PA
USD
8247563.90000000
0.635361770320
Long
ABS-CBDO
CORP
KY
N
2
2030-07-15
Floating
7.99387000
N
N
N
N
N
N
UNITED AIRLINES INC
K1OQBWM7XEOO08LDNP29
United Airlines Inc
90932LAH0
170000.00000000
PA
USD
143725.93000000
0.011072113224
Long
DBT
CORP
US
Y
2
2029-04-15
Fixed
4.62500000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Pool
3132DWET6
11142884.50000000
PA
USD
10282720.79000000
0.792142718026
Long
ABS-MBS
USGSE
US
N
2
2052-09-01
Fixed
5.00000000
N
N
N
N
N
N
ENERGY TRANSFER LP
MTLVN9N7JE8MIBIJ1H73
Energy Transfer LP
86765BAV1
60000.00000000
PA
USD
47255.21000000
0.003640366324
Long
DBT
CORP
US
N
2
2047-10-01
Fixed
5.40000000
N
N
N
N
N
N
CIGNA GROUP/THE
549300VIWYMSIGT1U456
Cigna Group/The
125523AH3
3990000.00000000
PA
USD
3729294.80000000
0.287291056474
Long
DBT
CORP
US
N
2
2028-10-15
Fixed
4.37500000
N
N
N
N
N
N
FREEDOM MORTGAGE CORP
549300LYRWPSYPK6S325
Freedom Mortgage Corp
35640YAK3
175000.00000000
PA
USD
175604.29000000
0.013527903987
Long
DBT
CORP
US
N
2
2028-10-01
Fixed
12.00000000
N
N
N
N
N
N
THERMO FISHER SCIENTIFIC
HCHV7422L5HDJZCRFL38
Thermo Fisher Scientific Inc
883556CE0
825000.00000000
PA
506236.25000000
0.038998565382
Long
DBT
CORP
US
N
2
2049-10-01
Fixed
1.87500000
N
N
N
N
N
N
CODERE FINANCE 2 LUXEMBO
2221005CUH65GSJUKB29
Codere Finance 2 Luxembourg SA
000000000
330386.00000000
PA
348300.77000000
0.026831801064
Long
DBT
CORP
LU
N
2
2024-09-30
Fixed
13.00000000
N
N
N
N
N
N
ANHEUSER-BUSCH INBEV WOR
549300CRGMZK3K53BF92
Anheuser-Busch InBev Worldwide Inc
03523TBF4
250000.00000000
PA
USD
292201.33000000
0.022510108023
Long
DBT
CORP
US
N
2
2039-01-15
Fixed
8.20000000
N
N
N
N
N
N
Citibank, National Association
E57ODZWZ7FF32TWEFA76
PHP/USD FORWARD
000000000
1.00000000
NC
USD
275.04000000
0.000021188062
N/A
DFE
CORP
US
N
2
Citibank, National Association
E57ODZWZ7FF32TWEFA76
-148601546.00000000
PHP
2617145.93000000
USD
2023-12-20
275.04000000
N
N
N
SWF ESCROW ISSUER CORP
N/A
SWF Escrow Issuer Corp
78500AAA6
325000.00000000
PA
USD
183696.22000000
0.014151276298
Long
DBT
CORP
US
N
2
2029-10-01
Fixed
6.50000000
N
N
N
N
N
N
CONTL AIRLINES 2012-2 A
N/A
Continental Airlines 2012-2 Class A Pass Through Trust
210795QB9
62849.59000000
PA
USD
60736.16000000
0.004678888773
Long
DBT
CORP
US
N
2
2024-10-29
Fixed
4.00000000
N
N
N
N
N
N
Cent CLO LP
549300CTF5B701OF6K35
Columbia Cent CLO 29 Ltd
197363AY0
11335000.00000000
PA
USD
10932091.76000000
0.842167852004
Long
ABS-CBDO
CORP
KY
N
2
2034-10-20
Floating
7.37743000
N
N
N
N
N
N
Bear Stearns Asset Backed Secu
N/A
Bear Stearns Asset Backed Securities Trust 2003-HE1
07384YPB6
1526442.75000000
PA
USD
1440381.45000000
0.110961651113
Long
ABS-MBS
CORP
US
N
2
2034-01-25
Floating
5.74589500
N
N
N
N
N
N
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
US 5 YEAR TREASURY NOTE
000000000
-2952.00000000
NC
USD
4744604.92000000
0.365506786972
N/A
DIR
CORP
US
N
1
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
Short
US TREASURY N/B
United States Treasury Note/Bond
2023-12-29
-313159410.04000000
USD
4744604.92000000
N
N
N
Rockford Tower CLO Ltd
N/A
Rockford Tower CLO 2022-2 Ltd
77340LAN0
11500000.00000000
PA
USD
11500000.00000000
0.885917399037
Long
ABS-CBDO
CORP
KY
N
2
2035-10-20
Floating
7.26600000
N
N
N
N
N
N
HELLENIC REPUBLIC
2138003EKTMKZ5598902
Hellenic Republic Government International Bond
000000000
2000000.00000000
PA
2289437.42000000
0.176369777772
Long
DBT
NUSS
GR
N
2
2028-04-14
Fixed
6.14000000
N
N
N
N
N
N
Fannie Mae - CAS
N/A
Connecticut Avenue Securities Trust 2022-R03
20753XAF1
1000000.00000000
PA
USD
1088628.90000000
0.083863937704
Long
ABS-MBS
CORP
US
N
2
2042-03-25
Floating
11.57062000
N
N
N
N
N
N
CITIBANK, NATIONAL ASSOCIATION
E57ODZWZ7FF32TWEFA76
CDS ARAB REPUBLIC OF EGYPT
000000000
1.00000000
NC
USD
880465.72000000
0.067827817443
N/A
DCR
CORP
US
N
2
CITIBANK, NATIONAL ASSOCIATION
E57ODZWZ7FF32TWEFA76
EGYPT GOVERNMENT INTERNATIONAL BOND
EGYPT GOVERNMENT INTERNATIONAL BOND
Y
Default Event
2028-12-20
1712.18000000
USD
0.00000000
USD
-2000000.00000000
USD
878753.54000000
N
N
N
BARCLAYS PLC
213800LBQA1Y9L22JB70
PEN/USD FORWARD
000000000
1.00000000
NC
USD
44610.36000000
0.003436616878
N/A
DFE
CORP
US
N
2
BARCLAYS PLC
213800LBQA1Y9L22JB70
-8233502.08000000
PEN
2183530.00000000
USD
2023-12-20
44610.36000000
N
N
N
GOVT OF BERMUDA
549300FP5PUZXX9FVJ40
Bermuda Government International Bond
085209AG9
685000.00000000
PA
USD
542177.50000000
0.041767346140
Long
DBT
NUSS
BM
N
2
2030-08-20
Fixed
2.37500000
N
N
N
N
N
N
ELEVANCE HEALTH INC
8MYN82XMYQH89CTMTH67
Elevance Health Inc
94973VBB2
120000.00000000
PA
USD
95833.73000000
0.007382675549
Long
DBT
CORP
US
N
2
2043-01-15
Fixed
4.65000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Pool
3132DWBZ5
517374.85000000
PA
USD
398469.87000000
0.030696642680
Long
ABS-MBS
USGSE
US
N
2
2051-07-01
Fixed
2.50000000
N
N
N
N
N
N
NRG ENERGY INC
5E2UPK5SW04M13XY7I38
NRG Energy Inc
629377CU4
275000.00000000
PA
USD
265375.00000000
0.020443506936
Long
DBT
CORP
US
N
2
N/A
Fixed
10.25000000
N
N
N
N
N
N
ILLINOIS ST
54930048FV8RWPR02D67
State of Illinois
452151LF8
865000.00000000
PA
USD
803019.11000000
0.061861617505
Long
DBT
MUN
US
N
2
2033-06-01
Fixed
5.10000000
N
N
N
N
N
N
US TREASURY N/B
254900HROIFWPRGM1V77
United States Treasury Note/Bond
912828ZL7
52500000.00000000
PA
USD
48855761.85000000
3.763666910099
Long
DBT
UST
US
N
2
2025-04-30
Fixed
0.37500000
N
N
N
N
N
N
HARTFORD FINL SVCS GRP
IU7C3FTM7Y3BQM112U94
Hartford Financial Services Group Inc/The
416515AS3
215000.00000000
PA
USD
204519.99000000
0.015755462399
Long
DBT
CORP
US
N
2
2036-10-15
Fixed
5.95000000
N
N
N
N
N
N
Diamond Sports Group LLC
5493002K6DHWNZH8YA34
Diamond Sports Group LLC
25277BAG3
2064792.81680000
PA
USD
23228.92000000
0.001789469946
Long
LON
CORP
US
N
2
2026-08-24
Floating
8.66960000
N
N
N
N
N
N
THERMO FISHER SCIENTIFIC
HCHV7422L5HDJZCRFL38
Thermo Fisher Scientific Inc
000000000
1250000.00000000
PA
882418.50000000
0.067978252381
Long
DBT
CORP
US
N
2
2039-10-01
Fixed
1.50000000
N
N
N
N
N
N
Santander Bank Auto Credit-Lin
N/A
Santander Bank Auto Credit-Linked Notes Series 2023-A
80290CBX1
553594.57000000
PA
USD
552219.05000000
0.042540909954
Long
ABS-O
CORP
US
N
2
2033-06-15
Fixed
10.06800000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31418EL57
1077476.51000000
PA
USD
1054826.08000000
0.081259893672
Long
ABS-MBS
USGSE
US
N
2
2052-11-01
Fixed
6.00000000
N
N
N
N
N
N
CITIGROUP INC
6SHGI4ZSSLCXXQSBB395
Citigroup Inc
172967LD1
980000.00000000
PA
USD
908647.31000000
0.069998822740
Long
DBT
CORP
US
N
2
2028-01-10
Fixed
3.88700000
N
N
N
N
N
N
Oportun Funding LLC
N/A
Oportun Issuance Trust 2022-2
68377HAA2
630329.97000000
PA
USD
628250.26000000
0.048398072720
Long
ABS-O
CORP
US
N
2
2029-10-09
Fixed
5.94000000
N
N
N
N
N
N
VIRGIN MEDIA SECURED FIN
213800X3RLP4NOTPY579
Virgin Media Secured Finance PLC
000000000
700000.00000000
PA
675037.73000000
0.052002406088
Long
DBT
CORP
GB
N
2
2030-08-15
Fixed
4.12500000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Pool
3132DWEK5
1037897.55000000
PA
USD
927693.11000000
0.071466040618
Long
ABS-MBS
USGSE
US
N
2
2052-08-01
Fixed
4.50000000
N
N
N
N
N
N
NCL CORPORATION LTD
UNZWILHE4KMRP9K2L524
NCL Corp Ltd
62886HBN0
550000.00000000
PA
USD
535562.50000000
0.041257751045
Long
DBT
CORP
BM
N
2
2029-01-15
Fixed
8.12500000
N
N
N
N
N
N
Intelsat SA/Luxembourg
N/A
Intelsat SA/Luxembourg
000000000
19703.00000000
NS
USD
484693.80000000
0.037339014837
Long
EC
CORP
US
N
2
N
N
N
SASOL FINANCING USA LLC
549300XRB1PFMESFEL85
Sasol Financing USA LLC
80386WAC9
350000.00000000
PA
USD
308000.00000000
0.023727179035
Long
DBT
CORP
US
N
2
2026-09-18
Fixed
4.37500000
N
N
N
N
N
N
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
USD/INR FORWARD
000000000
1.00000000
NC
USD
4389.85000000
0.000338177782
N/A
DFE
CORP
US
N
2
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
-4362000.00000000
USD
364170294.00000000
INR
2023-12-20
4389.85000000
N
N
N
Santander Drive Auto Receivabl
N/A
Santander Drive Auto Receivables Trust 2022-7
80287FAB8
815695.21000000
PA
USD
815230.35000000
0.062802326198
Long
ABS-O
CORP
US
N
2
2026-01-15
Fixed
5.81000000
N
N
N
N
N
N
ROCKIES EXPRESS PIPELINE
W2ZGZGZKY5GGNY6F3V51
Rockies Express Pipeline LLC
77340RAM9
1850000.00000000
PA
USD
1540911.69000000
0.118706128395
Long
DBT
CORP
US
Y
2
2040-04-15
Fixed
6.87500000
N
N
N
N
N
N
LIBERTY MUTUAL GROUP INC
QUR0DG15Z6FFGYCHH861
Liberty Mutual Group Inc
53079EBG8
1614000.00000000
PA
USD
1495357.77000000
0.115196823150
Long
DBT
CORP
US
N
2
2029-02-01
Fixed
4.56900000
N
N
N
N
N
N
AMGEN INC
62QBXGPJ34PQ72Z12S66
Amgen Inc
031162DS6
1675000.00000000
PA
USD
1493163.46000000
0.115027781636
Long
DBT
CORP
US
N
2
2043-03-02
Fixed
5.60000000
N
N
N
N
N
N
Madison Park Funding Ltd
N/A
Madison Park Funding LIX Ltd
55822EAA7
9500000.00000000
PA
USD
9457725.00000000
0.728588098505
Long
ABS-CBDO
CORP
KY
N
2
2034-01-18
Floating
6.79665000
N
N
N
N
N
N
Chase Funding Mortgage Loan As
N/A
Chase Funding Trust Series 2003-4
161546FV3
314027.22000000
PA
USD
291771.26000000
0.022476977023
Long
ABS-O
CORP
US
N
2
2033-05-25
Variable
4.89444700
N
N
N
N
N
N
AMERIGAS PART/FIN CORP
N/A
AmeriGas Partners LP / AmeriGas Finance Corp
030981AK0
1500000.00000000
PA
USD
1439896.77000000
0.110924313161
Long
DBT
CORP
US
Y
2
2025-05-20
Fixed
5.50000000
N
N
N
N
N
N
LAMB WESTON HLD
5493005SMYID1D2OY946
Lamb Weston Holdings Inc
513272AE4
325000.00000000
PA
USD
268656.46000000
0.020696298458
Long
DBT
CORP
US
N
2
2032-01-31
Fixed
4.37500000
N
N
N
N
N
N
US TREASURY N/B
254900HROIFWPRGM1V77
United States Treasury Note/Bond
91282CHD6
60500000.00000000
PA
USD
59627949.37000000
4.593516331808
Long
DBT
UST
US
N
2
2025-05-31
Fixed
4.25000000
N
N
N
N
N
N
SOFI CONSUMER LOAN PROGRAM TRU
N/A
SoFi Consumer Loan Program 2022-1S Trust
83406QAA6
1987375.21000000
PA
USD
1986557.80000000
0.153037053844
Long
ABS-O
CORP
US
N
2
2031-04-15
Fixed
6.21000000
N
N
N
N
N
N
European Loan Conduit
635400BIYQM1LPPW1N05
Salus European Loan Conduit NO 33 DAC
000000000
9500000.00000000
PA
11113770.94000000
0.856163743014
Long
ABS-MBS
CORP
IE
N
2
2029-01-23
Floating
6.50000000
N
N
N
N
N
N
THE TORONTO-DOMINION BANK
PT3QB789TSUIDF371261
MXN/USD FORWARD
000000000
1.00000000
NC
USD
18164.66000000
0.001399338116
N/A
DFE
CORP
US
N
2
THE TORONTO-DOMINION BANK
PT3QB789TSUIDF371261
-2862000.00000000
USD
52359530.79000000
MXN
2023-12-20
18164.66000000
N
N
N
CARNIVAL CORP
F1OF2ZSX47CR0BCWA982
Carnival Corp
143658BN1
350000.00000000
PA
USD
311500.00000000
0.023996806069
Long
DBT
CORP
PA
Y
2
2027-03-01
Fixed
5.75000000
N
N
N
N
N
N
GOLDMAN SACHS INTERNATIONAL
W22LROWP2IHZNBB6K528
CDS GS_21-PJ
000000000
1.00000000
NC
USD
6651.17000000
0.000512381497
N/A
DCR
CORP
GB
N
3
GOLDMAN SACHS INTERNATIONAL
W22LROWP2IHZNBB6K528
Y
Default Event
2023-11-14
0.00000000
USD
-65.80000000
USD
10203999.00000000
USD
6716.97000000
N
N
N
BARCLAYS PLC
213800LBQA1Y9L22JB70
USD/CZK FORWARD
000000000
1.00000000
NC
USD
16505.93000000
0.001271555702
N/A
DFE
CORP
US
N
2
BARCLAYS PLC
213800LBQA1Y9L22JB70
-99764424.00000000
CZK
4306780.81000000
USD
2024-01-19
16505.93000000
N
N
N
INDIAN RAILWAY FINANCE
335800F2JHSOGXQEBY56
Indian Railway Finance Corp Ltd
45434L2H6
360000.00000000
PA
USD
293306.40000000
0.022595238522
Long
DBT
CORP
IN
N
2
2032-01-21
Fixed
3.57000000
N
N
N
N
N
N
Countrywide Asset-Backed Certi
N/A
CWABS Inc Asset-Backed Certificates Series 2004-1
126671Z25
15823.33000000
PA
USD
15426.92000000
0.001188432768
Long
ABS-O
CORP
US
N
2
2034-03-25
Floating
6.18892000
N
N
N
N
N
N
ADIENT GLOBAL HOLDINGS
213800VA38VCKE6M8790
Adient Global Holdings Ltd
00687YAA3
1900000.00000000
PA
USD
1764625.00000000
0.135940173067
Long
DBT
CORP
JE
N
2
2026-08-15
Fixed
4.87500000
N
N
N
N
N
N
ORGANON & CO/ORG
N/A
Organon & Co / Organon Foreign Debt Co-Issuer BV
68622TAA9
650000.00000000
PA
USD
561532.99000000
0.043258421389
Long
DBT
CORP
US
N
2
2028-04-30
Fixed
4.12500000
N
N
N
N
N
N
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
EUR/USD FORWARD
000000000
1.00000000
NC
USD
88847.73000000
0.006844499988
N/A
DFE
CORP
US
N
2
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
-19635634.00000000
EUR
20945036.25000000
USD
2024-01-19
88847.73000000
N
N
N
PGIM Core Short-Term Bond Fund
E0CZ3XBGWL3ADZM3C128
PGIM Core Short-Term Bond Fund
74440E102
12616645.71400000
NS
USD
115189975.37000000
8.873808989127
Long
EC
RF
US
N
1
N
N
N
Enterprise Fleet Financing LLC
N/A
Enterprise Fleet Financing 2023-2 LLC
29375NAB1
2600000.00000000
PA
USD
2577303.30000000
0.198545898788
Long
ABS-O
CORP
US
N
2
2030-04-22
Fixed
5.56000000
N
N
N
N
N
N
CITIBANK, NATIONAL ASSOCIATION
E57ODZWZ7FF32TWEFA76
CDS REPUBLIC OF SOUTH AFRICA
000000000
1.00000000
NC
USD
666741.56000000
0.051363299883
N/A
DCR
CORP
US
N
2
CITIBANK, NATIONAL ASSOCIATION
E57ODZWZ7FF32TWEFA76
REPUBLIC OF SOUTH AFRICA
Republic of South Africa Government International Bond
Y
Default Event
2028-12-20
7704.82000000
USD
0.00000000
USD
-9000000.00000000
USD
659036.74000000
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Pool
3132DWGH0
499716.66000000
PA
USD
474276.02000000
0.036536467657
Long
ABS-MBS
USGSE
US
N
2
2053-02-01
Fixed
5.50000000
N
N
N
N
N
N
UBS Securities LLC
T6FIZBDPKLYJKFCRVK44
CLP/USD FORWARD
000000000
1.00000000
NC
USD
-12825.23000000
-0.00098800820
N/A
DFE
CORP
US
N
2
UBS Securities LLC
T6FIZBDPKLYJKFCRVK44
-1298880346.00000000
CLP
1434000.00000000
USD
2023-12-20
-12825.23000000
N
N
N
BAY AREA CA TOLL AUTH TOLL BRI
5493001FUZGUQMIP5D78
Bay Area Toll Authority
072024ND0
550000.00000000
PA
USD
567258.16000000
0.043699467277
Long
DBT
MUN
US
N
2
2049-04-01
Fixed
6.26300000
N
N
N
N
N
N
AES PANAMA GENERATION HL
N/A
AES Panama Generation Holdings SRL
00109AAB3
1055465.51000000
PA
USD
855771.44000000
0.065925461590
Long
DBT
CORP
PA
N
2
2030-05-31
Fixed
4.37500000
N
N
N
N
N
N
STRIPS
254900HROIFWPRGM1V77
United States Treasury Strip Coupon
912834KP2
165000.00000000
PA
USD
62706.44000000
0.004830671845
Long
DBT
UST
US
N
2
2041-08-15
None
0.00000000
N
N
N
N
N
N
CITIBANK, NATIONAL ASSOCIATION
E57ODZWZ7FF32TWEFA76
CDS STATE OF QATAR
000000000
1.00000000
NC
USD
-41040.06000000
-0.00316157419
N/A
DCR
CORP
US
N
2
CITIBANK, NATIONAL ASSOCIATION
E57ODZWZ7FF32TWEFA76
STATE OF QATAR
STATE OF QATAR
Y
Default Event
2028-12-20
1712.18000000
USD
0.00000000
USD
-2000000.00000000
USD
-42752.24000000
N
N
N
AMC NETWORKS INC
549300VGG9K75226LR46
AMC Networks Inc
00164VAD5
1075000.00000000
PA
USD
1068263.73000000
0.082295080449
Long
DBT
CORP
US
N
2
2024-04-01
Fixed
5.00000000
N
N
N
N
N
N
CITIBANK, NATIONAL ASSOCIATION
E57ODZWZ7FF32TWEFA76
CDS REPUBLIC OF TURKEY
000000000
1.00000000
NC
USD
1090990.57000000
0.084045872012
N/A
DCR
CORP
US
N
2
CITIBANK, NATIONAL ASSOCIATION
E57ODZWZ7FF32TWEFA76
TURKEY GOVERNMENT INTERNATIONAL BOND
TURKEY GOVERNMENT INTERNATIONAL BOND
Y
Default Event
2028-12-20
7704.82000000
USD
0.00000000
USD
-9000000.00000000
USD
1083285.75000000
N
N
N
GOLDMAN SACHS & CO. LLC
FOR8UP27PHTHYVLBNG30
USD/CZK FORWARD
000000000
1.00000000
NC
USD
-15121.40000000
-0.00116489663
N/A
DFE
CORP
US
N
2
GOLDMAN SACHS & CO. LLC
FOR8UP27PHTHYVLBNG30
-35766682.14000000
CZK
1522991.00000000
USD
2024-01-19
-15121.40000000
N
N
N
Laurel Road Prime Student Loan
N/A
Laurel Road Prime Student Loan Trust 2019-A
51889RAD1
1771616.74200000
PA
USD
340722.36000000
0.026247988431
Long
ABS-O
CORP
US
N
2
2048-10-25
None
0.00000000
N
N
N
N
N
N
ENERGY TRANSFER LP
MTLVN9N7JE8MIBIJ1H73
Energy Transfer LP
29279FAA7
75000.00000000
PA
USD
66142.98000000
0.005095410157
Long
DBT
CORP
US
N
2
2049-04-15
Fixed
6.25000000
N
N
N
N
N
N
UNITED AIR 2013-1 A PTT
N/A
United Airlines 2013-1 Class A Pass Through Trust
909319AA3
1355466.47000000
PA
USD
1298256.70000000
0.100012886864
Long
DBT
CORP
US
N
2
2025-08-15
Fixed
4.30000000
N
N
N
N
N
N
MARKEL GROUP INC
549300SCNO12JLWIK605
Markel Group Inc
570535AP9
3125000.00000000
PA
USD
2415301.47000000
0.186065877929
Long
DBT
CORP
US
N
2
2043-03-30
Fixed
5.00000000
N
N
N
N
N
N
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
IDR/USD FORWARD
000000000
1.00000000
NC
USD
-251336.56000000
-0.01936203752
N/A
DFE
CORP
US
N
2
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
-7169694.80000000
USD
110295000000.00000000
IDR
2023-12-20
-251336.56000000
N
N
N
TENET HEALTHCARE CORP
0W9AIBT6U6ADJ2I8HK17
Tenet Healthcare Corp
88033GAV2
1200000.00000000
PA
USD
1107338.90000000
0.085305286794
Long
DBT
CORP
US
N
2
2031-11-15
Fixed
6.87500000
N
N
N
N
N
NAVIENT CORP
54930067J0ZNOEBRW338
Navient Corp
63938CAH1
575000.00000000
PA
USD
561571.74000000
0.043261406545
Long
DBT
CORP
US
N
2
2025-06-25
Fixed
6.75000000
N
N
N
N
N
N
DEUTSCHE BANK AKTIENGESELLSCHAFT
7LTWFZYICNSX8D621K86
KRW/USD FORWARD
000000000
1.00000000
NC
USD
-2064.77000000
-0.00015906223
N/A
DFE
CORP
US
N
2
DEUTSCHE BANK AKTIENGESELLSCHAFT
7LTWFZYICNSX8D621K86
-943128125.00000000
KRW
697000.00000000
USD
2023-12-20
-2064.77000000
N
N
N
ASHLAND INC
529900E4L9R04SB8HB11
Ashland Inc
044209AM6
4100000.00000000
PA
USD
3860569.35000000
0.297403961509
Long
DBT
CORP
US
N
2
2043-05-15
Fixed
6.87500000
N
N
N
N
N
N
CITIBANK, NATIONAL ASSOCIATION
E57ODZWZ7FF32TWEFA76
CDS GOVERNMENT OF MALAYSIA
000000000
1.00000000
NC
USD
-51492.85000000
-0.00396681841
N/A
DCR
CORP
US
N
2
CITIBANK, NATIONAL ASSOCIATION
E57ODZWZ7FF32TWEFA76
PENERBANGAN MALAYSIA BERHAD
PENERBANGAN MALAYSIA BERHAD
Y
Default Event
2028-12-20
2568.27000000
USD
0.00000000
USD
-3000000.00000000
USD
-54061.12000000
N
N
N
CHICAGO MERCANTILE EXCHANGE INC.
SNZ2OJLFK8MNNCLQOF39
Three-Month SOFR
000000000
267.00000000
NC
USD
-20547.10000000
-0.00158287246
N/A
DIR
CORP
US
N
1
CHICAGO MERCANTILE EXCHANGE INC.
SNZ2OJLFK8MNNCLQOF39
Long
THE SECURED OVERNIGHT FINANCING RATE
THE SECURED OVERNIGHT FINANCING RATE
2024-06-18
63182734.60000000
USD
-20547.10000000
N
N
N
Intelsat Jackson Holdings SA
N/A
Intelsat Jackson Holdings SA
000000000
2061.00000000
NS
USD
12881.25000000
0.000992323782
Long
EC
CORP
US
N
3
N
N
N
CITIBANK, NATIONAL ASSOCIATION
E57ODZWZ7FF32TWEFA76
CDS UNITED MEXICAN STATES
000000000
1.00000000
NC
USD
-3668.35000000
-0.00028259609
N/A
DCR
CORP
US
N
2
CITIBANK, NATIONAL ASSOCIATION
E57ODZWZ7FF32TWEFA76
UNITED MEXICAN STATES
Mexico Government International Bond
Y
Default Event
2024-12-20
704.70000000
USD
0.00000000
USD
-440000.00000000
USD
-4373.05000000
N
N
N
MORGAN STANLEY
IGJSJL3JD5P30I6NJZ34
Morgan Stanley
61747YED3
2865000.00000000
PA
USD
2113916.56000000
0.162848300923
Long
DBT
CORP
US
N
2
2032-07-21
Fixed
2.23900000
N
N
N
N
N
N
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
CZK/USD FORWARD
000000000
1.00000000
NC
USD
-18936.88000000
-0.00145882708
N/A
DFE
CORP
US
N
2
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
-39646164.43000000
CZK
1686009.00000000
USD
2024-01-19
-18936.88000000
N
N
N
CELLNEX FINANCE CO SA
549300OUROMFTRFA7T23
Cellnex Finance Co SA
000000000
1100000.00000000
PA
880847.09000000
0.067857196775
Long
DBT
CORP
ES
N
2
2033-02-15
Fixed
2.00000000
N
N
N
N
N
N
Radnor Re LTD
N/A
Radnor RE 2023-1 Ltd
75050KAA4
750000.00000000
PA
USD
754433.10000000
0.058118731278
Long
ABS-MBS
CORP
BM
N
2
2033-07-25
Floating
8.02062000
N
N
N
N
N
N
Citibank, National Association
E57ODZWZ7FF32TWEFA76
ILS/USD FORWARD
000000000
1.00000000
NC
USD
82748.38000000
0.006374628659
N/A
DFE
CORP
US
N
2
Citibank, National Association
E57ODZWZ7FF32TWEFA76
-6457425.50000000
ILS
1685000.00000000
USD
2023-12-20
82748.38000000
N
N
N
INTELSAT JACKSON HLDG
8XJ8KF85PBKK1TLMFN29
Intelsat Jackson Holdings SA
45824TBC8
1400000.00000000
PA
USD
1228500.00000000
0.094639089105
Long
DBT
CORP
LU
N
2
2030-03-15
Fixed
6.50000000
N
N
N
N
N
N
CITIBANK, NATIONAL ASSOCIATION
E57ODZWZ7FF32TWEFA76
CDS FEDERAL REPUBLIC OF NIGERIA
000000000
1.00000000
NC
USD
462282.29000000
0.035612515128
N/A
DCR
CORP
US
N
2
CITIBANK, NATIONAL ASSOCIATION
E57ODZWZ7FF32TWEFA76
NIGERIA GOVERNMENT INTERNATIONAL BOND
NIGERIA GOVERNMENT INTERNATIONAL BOND
Y
Default Event
2028-12-20
1712.18000000
USD
0.00000000
USD
-2000000.00000000
USD
460570.11000000
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140XMLB0
5788517.71000000
PA
USD
4855704.04000000
0.374065451618
Long
ABS-MBS
USGSE
US
N
2
2048-04-01
Fixed
3.00000000
N
N
N
N
N
N
MAGELLAN MIDSTREAM PARTN
MZF5TI8NFVZZNUSKDL39
Magellan Midstream Partners LP
559080AF3
125000.00000000
PA
USD
83957.55000000
0.006467778637
Long
DBT
CORP
US
N
2
2042-12-01
Fixed
4.20000000
N
N
N
N
N
N
ENERGIAN ISRAEL FINANCE
98450044QACBL3F8EB03
Energian Israel Finance Ltd
000000000
1135000.00000000
PA
USD
995292.85000000
0.076673674169
Long
DBT
CORP
IL
N
2
2026-03-30
Fixed
4.87500000
N
N
N
N
N
N
Morgan Stanley Capital I Trust
N/A
Morgan Stanley Capital I Trust 2019-MEAD
61771LAL6
2505000.00000000
PA
USD
1969166.97000000
0.151697328724
Long
ABS-MBS
CORP
US
N
2
2036-11-10
Variable
3.17709700
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31418D2N1
551549.30000000
PA
USD
442755.28000000
0.034108226614
Long
ABS-MBS
USGSE
US
N
2
2051-07-01
Fixed
3.00000000
N
N
N
N
N
N
KKR Financial CLO Ltd
549300PJRIGYUE3V5M12
KKR CLO 11 Ltd
48250MAK3
6954238.73000000
PA
USD
6931663.88000000
0.533989707440
Long
ABS-CBDO
CORP
KY
N
2
2031-01-15
Floating
6.83548000
N
N
N
N
N
N
LYB INTL FINANCE BV
549300J6QSW38QNOJK61
LYB International Finance BV
50247VAB5
175000.00000000
PA
USD
140096.39000000
0.010792506908
Long
DBT
CORP
NL
N
2
2043-07-15
Fixed
5.25000000
N
N
N
N
N
N
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
2 YEAR US TREASURY NOTE
000000000
-702.00000000
NC
USD
-27848.06000000
-0.00214531138
N/A
DIR
CORP
US
N
1
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
Short
US TREASURY N/B
United States Treasury Note/Bond
2023-12-29
-142072308.89000000
USD
-27848.06000000
N
N
N
EUREX CLEARING AKTIENGESELLSCHAFT
529900LN3S50JPU47S06
EURO-BUND
000000000
-120.00000000
NC
328926.74000000
0.025339297563
N/A
DIR
CORP
DE
N
1
EUREX CLEARING AKTIENGESELLSCHAFT
529900LN3S50JPU47S06
Short
BUNDESREPUB. DEUTSCHLAND
Bundesrepublik Deutschland Bundesanleihe
2023-12-07
-17189102.48000000
USD
328926.74000000
N
N
N
CHICAGO MERCANTILE EXCHANGE INC.
SNZ2OJLFK8MNNCLQOF39
Three-Month SOFR
000000000
417.00000000
NC
USD
32180.62000000
0.002479075753
N/A
DIR
CORP
US
N
1
CHICAGO MERCANTILE EXCHANGE INC.
SNZ2OJLFK8MNNCLQOF39
Long
THE SECURED OVERNIGHT FINANCING RATE
THE SECURED OVERNIGHT FINANCING RATE
2023-12-19
98640444.38000000
USD
32180.62000000
N
N
N
MGM RESORTS INTL
54930066VBP7DZEGGJ87
MGM Resorts International
552953CH2
2400000.00000000
PA
USD
2095107.10000000
0.161399289803
Long
DBT
CORP
US
N
2
2028-10-15
Fixed
4.75000000
N
N
N
N
N
MEDLINE BORROWER LP
254900QT3R363TVK6F09
Medline Borrower LP
62482BAA0
250000.00000000
PA
USD
210981.80000000
0.016253256304
Long
DBT
CORP
US
N
2
2029-04-01
Fixed
3.87500000
N
N
N
N
N
N
STANDARD CHARTERED SECURITIES (NORTH AMERICA) LLC
5493003GCX71N8988W38
SGD/USD FORWARD
000000000
1.00000000
NC
USD
-18787.50000000
-0.00144731940
N/A
DFE
CORP
US
N
2
STANDARD CHARTERED SECURITIES (NORTH AMERICA) LLC
5493003GCX71N8988W38
-2863000.00000000
USD
3885448.88000000
SGD
2023-12-20
-18787.50000000
N
N
N
CITIBANK, NATIONAL ASSOCIATION
E57ODZWZ7FF32TWEFA76
CDS PEOPLE REPUBLIC OF CHINA
000000000
1.00000000
NC
USD
-86876.16000000
-0.00669261753
N/A
DCR
CORP
US
N
2
CITIBANK, NATIONAL ASSOCIATION
E57ODZWZ7FF32TWEFA76
PEOPLE'S REPUBLIC OF CHINA
PEOPLE'S REPUBLIC OF CHINA
Y
Default Event
2028-12-20
7704.82000000
USD
0.00000000
USD
-9000000.00000000
USD
-94580.98000000
N
N
N
RITCHIE BROS HLDGS INC
N/A
Ritchie Bros Holdings Inc
76774LAB3
100000.00000000
PA
USD
98000.00000000
0.007549556965
Long
DBT
CORP
US
N
2
2028-03-15
Fixed
6.75000000
N
N
N
N
N
N
LEVEL 3 FINANCING INC
254900AE5FEFIJOXWL19
Level 3 Financing Inc
527298BP7
465000.00000000
PA
USD
432454.55000000
0.033314696533
Long
DBT
CORP
US
N
2
2027-03-01
Fixed
3.40000000
N
N
N
N
N
N
MASTR Asset Backed Securities
N/A
Mastr Asset Backed Securities Trust 2003-WMC2
57643LBZ8
502226.01000000
PA
USD
506032.58000000
0.038982875400
Long
ABS-MBS
CORP
US
N
2
2033-08-25
Floating
4.29721000
N
N
N
N
N
N
TAYLOR MORRISON COMM
549300O1Z08HI2MRK572
Taylor Morrison Communities Inc
87724RAA0
2560000.00000000
PA
USD
2399959.60000000
0.184883997097
Long
DBT
CORP
US
N
2
2027-06-15
Fixed
5.87500000
N
N
N
N
N
N
CELLNEX TELECOM SA
5493008T4YG3AQUI7P67
Cellnex Telecom SA
000000000
700000.00000000
PA
593731.07000000
0.045738842196
Long
DBT
CORP
ES
N
2
2030-10-23
Fixed
1.75000000
N
N
N
N
N
N
Freddie Mac - STACR
5493000ISUYHCRLRBE46
Freddie Mac STACR REMIC Trust 2021-DNA3
35564KFG9
200000.00000000
PA
USD
204124.16000000
0.015724969122
Long
ABS-MBS
CORP
US
N
2
2033-10-25
Floating
8.82062000
N
N
N
N
N
N
CITGO PETROLEUM CORP
YX52P86PXMLYDOTUQ225
CITGO Petroleum Corp
17302XAK2
1325000.00000000
PA
USD
1303117.17000000
0.100387319468
Long
DBT
CORP
US
N
2
2025-06-15
Fixed
7.00000000
N
N
N
N
N
N
FIRST QUANTUM MINERALS L
549300I7UVBGWRYMYZ18
First Quantum Minerals Ltd
335934AT2
600000.00000000
PA
USD
505500.00000000
0.038941847409
Long
DBT
CORP
CA
N
2
2027-10-15
Fixed
6.87500000
N
N
N
N
N
N
JP Morgan Chase Commercial Mor
N/A
JP Morgan Chase Commercial Mortgage Securities Trust 2013-LC11
46639YAT4
34956250.00000000
PA
USD
349.56000000
0.000026928807
Long
ABS-MBS
CORP
US
N
2
2046-04-15
Variable
0.51187400
N
N
N
N
N
N
JP Morgan Mortgage Trust
N/A
JP Morgan Mortgage Trust 2007-A1
46630GAM7
8419.68000000
PA
USD
8275.09000000
0.000637482279
Long
ABS-MBS
CORP
US
N
2
2035-07-25
Variable
5.67620000
N
N
N
N
N
N
DIG INTL FIN/DIG INTL HL
N/A
Digicel International Finance Ltd/Digicel international Holdings Ltd
25381XAD5
692415.11989600
PA
USD
478116.41000000
0.036832317076
Long
DBT
CORP
N/A
N
2
2025-12-31
Fixed
13.00000000
N
N
N
N
N
N
Citigroup Mortgage Loan Trust
549300R1KUK063S4I339
Citigroup Mortgage Loan Trust Inc
17307GNR5
166580.48000000
PA
USD
147941.52000000
0.011396866661
Long
ABS-O
CORP
US
N
2
2035-02-25
Floating
6.06892000
N
N
N
N
N
N
Morgan Stanley Capital I Trust
N/A
Morgan Stanley Capital I Trust 2019-MEAD
61771LAG7
2020000.00000000
PA
USD
1753202.24000000
0.135060205951
Long
ABS-MBS
CORP
US
N
2
2036-11-10
Variable
3.17709700
N
N
N
N
N
N
Morgan Stanley Capital I Trust
N/A
Morgan Stanley Capital I Trust 2019-MEAD
61771LAJ1
3000000.00000000
PA
USD
2489996.40000000
0.191820098634
Long
ABS-MBS
CORP
US
N
2
2036-11-10
Variable
3.17709700
N
N
N
N
N
N
ZIGGO BV
213800TQASLF9JXH5J59
Ziggo BV
000000000
370000.00000000
PA
310026.47000000
0.023883290776
Long
DBT
CORP
NL
N
2
2030-01-15
Fixed
2.87500000
N
N
N
N
N
N
JPMBB Commercial Mortgage Secu
N/A
JPMBB Commercial Mortgage Securities Trust 2015-C27
46644ABJ0
52766000.00000000
PA
USD
214583.49000000
0.016530717159
Long
ABS-MBS
CORP
US
N
2
2048-02-15
Variable
0.40473800
N
N
N
N
N
N
CITIBANK, NATIONAL ASSOCIATION
E57ODZWZ7FF32TWEFA76
CDS FEDERATIVE REPUBLIC OF BRAZIL
000000000
1.00000000
NC
USD
313954.28000000
0.024185874709
N/A
DCR
CORP
US
N
2
CITIBANK, NATIONAL ASSOCIATION
E57ODZWZ7FF32TWEFA76
FED REPUBLIC OF BRAZIL
Brazilian Government International Bond
Y
Default Event
2028-12-20
7704.82000000
USD
0.00000000
USD
-9000000.00000000
USD
306249.46000000
N
N
N
CENTERPOINT ENERGY RES
2JADVB0458J06WCD4N56
CenterPoint Energy Resources Corp
15189WAH3
700000.00000000
PA
USD
639784.13000000
0.049286599338
Long
DBT
CORP
US
N
2
2041-01-15
Fixed
5.85000000
N
N
N
N
N
N
CALPINE CORP
43R4VPJBXTU2O15HEF41
Calpine Corp
131347CP9
1500000.00000000
PA
USD
1264861.71000000
0.097440260544
Long
DBT
CORP
US
N
2
2029-02-01
Fixed
4.62500000
N
N
N
N
N
N
AKER BP ASA
549300NFTY73920OYK69
Aker BP ASA
55037AAA6
2445000.00000000
PA
USD
2185090.63000000
0.168331287616
Long
DBT
CORP
NO
N
2
2026-07-15
Fixed
2.00000000
N
N
N
N
N
N
LAMB WESTON HLD
5493005SMYID1D2OY946
Lamb Weston Holdings Inc
513272AD6
175000.00000000
PA
USD
148725.52000000
0.011457263117
Long
DBT
CORP
US
N
2
2030-01-31
Fixed
4.12500000
N
N
N
N
N
N
OneMain Direct Auto Receivable
N/A
OneMain Direct Auto Receivables Trust 2019-1
68267EAB0
1700000.00000000
PA
USD
1606868.73000000
0.123787214424
Long
ABS-O
CORP
US
N
2
2028-11-14
Fixed
3.95000000
N
N
N
N
N
N
CIVITAS RESOURCES INC
IIVIHPH28S64K95M2381
Civitas Resources Inc
17888HAC7
225000.00000000
PA
USD
229009.85000000
0.017642070492
Long
DBT
CORP
US
N
2
2030-11-01
Fixed
8.62500000
N
N
N
N
N
N
SUGAR HSP GMNG PROP/FIN
N/A
Sugarhouse HSP Gaming Prop Mezz LP / Sugarhouse HSP Gaming Finance Corp
865033AC8
1198000.00000000
PA
USD
1151522.64000000
0.088709038448
Long
DBT
CORP
US
N
2
2025-05-15
Fixed
5.87500000
N
N
N
N
N
N
OVINTIV INC
2549003MEX7YMKLGI239
Ovintiv Inc
69047QAB8
2145000.00000000
PA
USD
2083438.22000000
0.160500362514
Long
DBT
CORP
US
N
2
2028-05-15
Fixed
5.65000000
N
N
N
N
N
N
WILLIAMS COMPANIES INC
D71FAKCBLFS2O0RBPG08
Williams Cos Inc/The
969457CA6
765000.00000000
PA
USD
622001.87000000
0.047916719901
Long
DBT
CORP
US
N
2
2052-08-15
Fixed
5.30000000
N
N
N
N
N
N
NEW JERSEY ST TURNPIKE AUTH TU
5493005YN67D71KSMI84
New Jersey Turnpike Authority
646139W35
2000000.00000000
PA
USD
2245833.90000000
0.173010724118
Long
DBT
MUN
US
N
2
2040-01-01
Fixed
7.41400000
N
N
N
N
N
N
Intelsat Jackson Holdings SA
N/A
Intelsat Jackson Holdings SA
000000000
2061.00000000
NS
USD
8244.00000000
0.000635087220
Long
EC
CORP
US
N
3
N
N
N
CITIBANK, NATIONAL ASSOCIATION
E57ODZWZ7FF32TWEFA76
CDS SULTANATE OF OMAN
000000000
1.00000000
NC
USD
43789.19000000
0.003373356983
N/A
DCR
CORP
US
N
2
CITIBANK, NATIONAL ASSOCIATION
E57ODZWZ7FF32TWEFA76
OMAN GOVERNMENT INTERNATIONAL BOND
OMAN GOVERNMENT INTERNATIONAL BOND
Y
Default Event
2028-12-20
1712.18000000
USD
0.00000000
USD
-2000000.00000000
USD
42077.01000000
N
N
N
GOLDMAN SACHS & CO. LLC
FOR8UP27PHTHYVLBNG30
USD/HUF FORWARD
000000000
1.00000000
NC
USD
-142363.31000000
-0.01096714202
N/A
DFE
CORP
US
N
2
GOLDMAN SACHS & CO. LLC
FOR8UP27PHTHYVLBNG30
-3856183914.00000000
HUF
10405424.13000000
USD
2024-01-19
-142363.31000000
N
N
N
BOMBARDIER INC
W7L3VLU8EHQY34Z36697
Bombardier Inc
097751BZ3
1125000.00000000
PA
USD
1042031.25000000
0.080274227366
Long
DBT
CORP
CA
N
2
2029-02-01
Fixed
7.50000000
N
N
N
N
N
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
US ULTRA BOND CBT
000000000
15.00000000
NC
USD
-960.45000000
-0.00007398951
N/A
DIR
CORP
US
N
1
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
Long
US TREASURY N/B
United States Treasury Note/Bond
2023-12-19
1689397.95000000
USD
-960.45000000
N
N
N
Freddie Mac - STACR
5493000ISONLNOUKGB71
Freddie Mac STACR REMIC Trust 2021-DNA6
35564KKY4
1520000.00000000
PA
USD
1496917.58000000
0.115316985134
Long
ABS-MBS
CORP
US
N
2
2041-10-25
Floating
6.82062000
N
N
N
N
N
N
BANK OF AMERICA CORP
9DJT3UXIJIZJI4WXO774
Bank of America Corp
060505FP4
6850000.00000000
PA
USD
6673289.52000000
0.514085503876
Long
DBT
CORP
US
N
2
N/A
Fixed
5.12500000
N
N
N
N
N
N
CAPITAL ONE FINANCIAL CO
ZUE8T73ROZOF6FLBAR73
Capital One Financial Corp
14040HDC6
935000.00000000
PA
USD
934807.77000000
0.072014127669
Long
DBT
CORP
US
N
2
2031-10-30
Fixed
7.62400000
N
N
N
N
N
N
Freddie Mac - STACR
5493000ISHRHX47NOH65
Freddie Mac STACR REMIC Trust 2021-HQA3
35564KKK4
170000.00000000
PA
USD
168725.00000000
0.012997948969
Long
ABS-MBS
CORP
US
N
2
2041-09-25
Floating
8.67062000
N
N
N
N
N
N
FHLMC Multifamily Structured P
S6XOOCT0IEG5ABCC6L87
Freddie Mac Multifamily Structured Pass Through Certificates
3137BPW39
21051676.11000000
PA
USD
572037.19000000
0.044067626044
Long
ABS-MBS
USGSE
US
N
2
2026-03-25
Variable
1.33780700
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31418EJF8
4842925.55000000
PA
USD
4469079.06000000
0.344281295385
Long
ABS-MBS
USGSE
US
N
2
2052-09-01
Fixed
5.00000000
N
N
N
N
N
N
BNP PARIBAS SECURITIES CORP.
RCNB6OTYUAMMP879YW96
EUR/USD FORWARD
000000000
1.00000000
NC
USD
108906.58000000
0.008389759486
N/A
DFE
CORP
US
N
2
BNP PARIBAS SECURITIES CORP.
RCNB6OTYUAMMP879YW96
-30809642.00000000
EUR
32833681.43000000
USD
2024-01-19
108906.58000000
N
N
N
PGIM Institutional Money Market Fund - D
N/A
PGIM Institutional Money Market Fund - D
000000000
14187824.35000000
NS
USD
14180730.44000000
1.092430941552
Long
STIV
RF
US
N
1
N
N
VECTOR GROUP LTD
549300TUIF4WWN6NDN50
Vector Group Ltd
92240MBL1
475000.00000000
PA
USD
402715.73000000
0.031023728006
Long
DBT
CORP
US
N
2
2029-02-01
Fixed
5.75000000
N
N
N
N
N
N
Wellfleet CLO Ltd
254900TEETF3L54VTH19
Wellfleet CLO 2017-3 Ltd
94950HAA3
9260173.34000000
PA
USD
9209420.18000000
0.709459615000
Long
ABS-CBDO
CORP
KY
N
2
2031-01-17
Floating
6.81444000
N
N
N
N
N
N
DOMINICAN REPUBLIC
254900EHU7Q8FGVPI369
Dominican Republic International Bond
000000000
261000.00000000
PA
USD
237379.50000000
0.018286837323
Long
DBT
NUSS
DO
N
2
2029-02-22
Fixed
5.50000000
N
N
N
N
N
N
ZAIS CLO 3, LTD
549300SYHU0CNKIXQ691
Zais CLO 3 Ltd
98887HAL8
11300000.00000000
PA
USD
11051159.31000000
0.851340374979
Long
ABS-CBDO
CORP
KY
N
2
2031-07-15
Floating
7.84548000
N
N
N
N
N
N
KKR Financial CLO Ltd
5493004Y6G18HN4CQ515
KKR Clo 32 Ltd
48254HAA2
5000000.00000000
PA
USD
4983939.50000000
0.383944236417
Long
ABS-CBDO
CORP
KY
N
2
2032-01-15
Floating
6.97548000
N
N
N
N
N
N
TFS_18-3-A1
N/A
TFS_18-3-A1
000000000
4692003.25000000
PA
4219917.34000000
0.325086799478
Long
ABS-MBS
CORP
LU
N
3
2026-03-15
Floating
0.01000000
N
N
N
N
N
N
ERAC USA FINANCE LLC
LTKX5ODQW6Z7BQ2K1V47
ERAC USA Finance LLC
26882PAR3
110000.00000000
PA
USD
112511.82000000
0.008667493820
Long
DBT
CORP
US
N
2
2034-06-01
Fixed
6.70000000
N
N
N
N
N
N
UBS GROUP AG
549300SZJ9VS8SGXAN81
UBS Group AG
902613AX6
1200000.00000000
PA
USD
1154878.80000000
0.088967584582
Long
DBT
CORP
CH
N
2
2025-03-26
Fixed
3.75000000
N
N
N
N
N
N
Morgan Stanley Capital Inc
N/A
Morgan Stanley ABS Capital I Inc Trust 2003-NC10
61746RDX6
197321.61000000
PA
USD
193463.44000000
0.014903706745
Long
ABS-MBS
CORP
US
N
2
2033-10-25
Floating
6.45892000
N
N
N
N
N
N
Fannie Mae - CAS
N/A
Connecticut Avenue Securities Trust 2022-R01
20754LAF6
1218000.00000000
PA
USD
1214201.18000000
0.093537560982
Long
ABS-MBS
CORP
US
N
2
2041-12-25
Floating
8.47062000
N
N
N
N
N
N
DANA INC
KVWHW7YLZPFJM8QYNJ51
Dana Inc
235825AJ5
800000.00000000
PA
USD
626197.32000000
0.048239921827
Long
DBT
CORP
US
N
2
2032-02-15
Fixed
4.50000000
N
N
N
N
N
N
DIAMOND SPORTS GR/DIAMON
N/A
Diamond Sports Group LLC / Diamond Sports Finance Co
25277LAC0
2785000.00000000
PA
USD
28120.70000000
0.002166314556
Long
DBT
CORP
US
Y
2
2027-08-15
Fixed
6.62500000
Y
N
N
N
N
N
GTCR W-2 MERGER SUB LLC
254900HJTH4LRJB6QF88
GTCR W-2 Merger Sub LLC
36268NAA8
200000.00000000
PA
USD
197221.19000000
0.015193189885
Long
DBT
CORP
US
N
2
2031-01-15
Fixed
7.50000000
N
N
N
N
N
N
ESKOM HOLDINGS SOC LTD
3789001900ED06F65111
Eskom Holdings SOC Ltd
29646AAB2
2145000.00000000
PA
USD
2102100.00000000
0.161937996914
Long
DBT
CORP
ZA
N
2
2025-02-11
Fixed
7.12500000
N
N
N
N
N
N
PETROLEOS MEXICANOS
549300CAZKPF4HKMPX17
Petroleos Mexicanos
000000000
150000.00000000
PA
127098.97000000
0.009791233819
Long
DBT
CORP
MX
N
2
2028-02-21
Fixed
4.87500000
N
N
N
N
N
N
JPMORGAN CHASE & CO
8I5DZWZKVSZI1NUHU748
JPMorgan Chase & Co
48128BAG6
15325000.00000000
PA
USD
14323946.48000000
1.103463774740
Long
DBT
CORP
US
Y
2
N/A
Fixed
4.60000000
N
N
N
N
N
N
MPLX LP
5493000CZJ19CK4P3G36
MPLX LP
55336VAL4
145000.00000000
PA
USD
112411.74000000
0.008659784028
Long
DBT
CORP
US
N
2
2047-03-01
Fixed
5.20000000
N
N
N
N
N
N
EUREX CLEARING AKTIENGESELLSCHAFT
529900LN3S50JPU47S06
EURO-BOBL
000000000
-171.00000000
NC
186708.22000000
0.014383309620
N/A
DIR
CORP
DE
N
1
EUREX CLEARING AKTIENGESELLSCHAFT
529900LN3S50JPU47S06
Short
BUNDESOBLIGATION
Bundesobligation
2023-12-07
-21703253.59000000
USD
186708.22000000
N
N
N
Fannie Mae - CAS
N/A
Connecticut Avenue Securities Trust 2021-R01
20754RAF3
1190000.00000000
PA
USD
1186294.70000000
0.091387749140
Long
ABS-MBS
CORP
US
N
2
2041-10-25
Floating
8.42062000
N
N
N
N
N
N
DIVERSIFIED HEALTHCARE T
N/A
Diversified Healthcare Trust
25525PAB3
1000000.00000000
PA
USD
688370.64000000
0.053029524083
Long
DBT
CORP
US
N
2
2031-03-01
Fixed
4.37500000
N
N
N
N
N
N
Citibank, National Association
E57ODZWZ7FF32TWEFA76
COP/USD FORWARD
000000000
1.00000000
NC
USD
106345.66000000
0.008192475696
N/A
DFE
CORP
US
N
2
Citibank, National Association
E57ODZWZ7FF32TWEFA76
-1696194.00000000
USD
7503414385.34000000
COP
2023-12-20
106345.66000000
N
N
N
H&E EQUIPMENT SERVICES
254900KVLRCDMQRYY541
H&E Equipment Services Inc
404030AJ7
1150000.00000000
PA
USD
974363.49000000
0.075061353806
Long
DBT
CORP
US
Y
2
2028-12-15
Fixed
3.87500000
N
N
N
N
N
N
Fannie Mae - CAS
N/A
Connecticut Avenue Securities Trust 2022-R04
20753YAF9
290000.00000000
PA
USD
307163.85000000
0.023662765136
Long
ABS-MBS
CORP
US
N
2
2042-03-25
Floating
10.57062000
N
N
N
N
N
N
GOLDMAN SACHS INTERNATIONAL
W22LROWP2IHZNBB6K528
CDS HOST HOTELS & RESORTS LP
000000000
1.00000000
NC
USD
2604.45000000
0.000200637179
N/A
DCR
CORP
GB
N
2
GOLDMAN SACHS INTERNATIONAL
W22LROWP2IHZNBB6K528
HOST HOTELS & RESORTS LP
Host Hotels & Resorts LP
Y
Default Event
2024-06-20
1232.33000000
USD
0.00000000
USD
500000.00000000
USD
1372.12000000
N
N
N
OneMain Financial Issuance Tru
N/A
OneMain Financial Issuance Trust 2023-2
68269HAD7
2500000.00000000
PA
USD
2437310.25000000
0.187761352811
Long
ABS-O
CORP
US
N
2
2036-09-15
Fixed
7.52000000
N
N
N
N
N
N
GOLDMAN SACHS GROUP INC
784F5XWPLTWKTBV3E584
Goldman Sachs Group Inc/The
38141GWZ3
135000.00000000
PA
USD
123130.65000000
0.009485529146
Long
DBT
CORP
US
N
2
2029-05-01
Fixed
4.22300000
N
N
N
N
N
N
Accredited Mortgage Loan Trust
N/A
Accredited Mortgage Loan Trust 2004-3
004375BL4
678685.64000000
PA
USD
657981.66000000
0.050688469638
Long
ABS-MBS
CORP
US
N
2
2034-10-25
Floating
6.63892000
N
N
N
N
N
N
GOLDMAN SACHS INTERNATIONAL
W22LROWP2IHZNBB6K528
CDS GENERAL MOTORS CO
000000000
1.00000000
NC
USD
221337.00000000
0.017050982552
N/A
DCR
CORP
GB
N
2
GOLDMAN SACHS INTERNATIONAL
W22LROWP2IHZNBB6K528
GENERAL MOTORS CO
General Motors Co
Y
Default Event
2026-06-20
229251.54000000
USD
0.00000000
USD
2230000.00000000
USD
-7914.54000000
N
N
N
IHS HOLDING LTD
213800CLGMKL63VKTD94
IHS Holding Ltd
44963HAB1
850000.00000000
PA
USD
622582.50000000
0.047961449485
Long
DBT
CORP
KY
N
2
2028-11-29
Fixed
6.25000000
N
N
N
N
N
N
HILCORP ENERGY I/HILCORP
N/A
Hilcorp Energy I LP / Hilcorp Finance Co
431318AZ7
500000.00000000
PA
USD
436447.13000000
0.033622270106
Long
DBT
CORP
US
Y
2
2032-04-15
Fixed
6.25000000
N
N
N
N
N
N
Freddie Mac - STACR
5493000IS4M3TZMRB410
Freddie Mac STACR REMIC Trust 2022-DNA3
35564KUX5
2020000.00000000
PA
USD
2057873.38000000
0.158530941944
Long
ABS-MBS
CORP
US
N
2
2042-04-25
Floating
8.22062000
N
N
N
N
N
N
CITIBANK, NATIONAL ASSOCIATION
E57ODZWZ7FF32TWEFA76
CDS KINGDOM OF MOROCCO
000000000
1.00000000
NC
USD
41250.24000000
0.003177765680
N/A
DCR
CORP
US
N
2
CITIBANK, NATIONAL ASSOCIATION
E57ODZWZ7FF32TWEFA76
MOROCCO GOVERNMENT INTERNATIONAL BOND
MOROCCO GOVERNMENT INTERNATIONAL BOND
Y
Default Event
2028-12-20
1712.18000000
USD
0.00000000
USD
-2000000.00000000
USD
39538.06000000
N
N
N
JELD-WEN INC
549300XWE6NM0N1HFW16
JELD-WEN Inc
475795AC4
149000.00000000
PA
USD
141320.50000000
0.010886807807
Long
DBT
CORP
US
N
2
2025-12-15
Fixed
4.62500000
N
N
N
N
N
N
B&G FOODS INC
549300TRW1LZMDJZAQ78
B&G Foods Inc
05508WAB1
1275000.00000000
PA
USD
1049353.37000000
0.080838296367
Long
DBT
CORP
US
N
2
2027-09-15
Fixed
5.25000000
N
N
N
N
N
N
OHIO ST UNIV
JFC10ZULKO4X2E3HBY86
Ohio State University/The
677632PA3
180000.00000000
PA
USD
140045.73000000
0.010788604249
Long
DBT
MUN
US
N
2
2111-06-01
Fixed
4.80000000
N
N
N
N
N
N
BARCLAYS PLC
213800LBQA1Y9L22JB70
USD/COP FORWARD
000000000
1.00000000
NC
USD
83852.67000000
0.006459699070
N/A
DFE
CORP
US
N
2
BARCLAYS PLC
213800LBQA1Y9L22JB70
-3570518.01000000
USD
15212013444.00000000
COP
2023-12-20
83852.67000000
N
N
N
2023-12-20
Prudential Investment Portfolios 9
Christian J. Kelly
Christian J. Kelly
Chief Financial Officer