0001752724-23-243678.txt : 20231031
0001752724-23-243678.hdr.sgml : 20231031
20231031125842
ACCESSION NUMBER: 0001752724-23-243678
CONFORMED SUBMISSION TYPE: NPORT-P/A
PUBLIC DOCUMENT COUNT: 1
CONFORMED PERIOD OF REPORT: 20220930
FILED AS OF DATE: 20231031
DATE AS OF CHANGE: 20231031
PERIOD START: 20230331
FILER:
COMPANY DATA:
COMPANY CONFORMED NAME: OPTIMUM FUND TRUST
CENTRAL INDEX KEY: 0001227523
IRS NUMBER: 000000000
STATE OF INCORPORATION: DE
FISCAL YEAR END: 0331
FILING VALUES:
FORM TYPE: NPORT-P/A
SEC ACT: 1940 Act
SEC FILE NUMBER: 811-21335
FILM NUMBER: 231363533
BUSINESS ADDRESS:
STREET 1: 100 INDEPENDENCE
STREET 2: 610 MARKET STREET
CITY: PHILADELPHIA
STATE: PA
ZIP: 19106-2354
BUSINESS PHONE: 800.914.0278
MAIL ADDRESS:
STREET 1: 100 INDEPENDENCE
STREET 2: 610 MARKET STREET
CITY: PHILADELPHIA
STATE: PA
ZIP: 19106-2354
FORMER COMPANY:
FORMER CONFORMED NAME: BOB TRUST
DATE OF NAME CHANGE: 20030415
0001227523
S000002420
OPTIMUM FIXED INCOME FUND
C000006443
OPTIMUM FIXED INCOME FUND CLASS A
OAFIX
C000006445
OPTIMUM FIXED INCOME FUND CLASS C
OCFIX
C000006446
OPTIMUM FIXED INCOME FUND INSTITUTIONAL CLASS
OIFIX
NPORT-P/A
1
primary_doc.xml
NPORT-P/A
false
0001752724-22-263001
0001227523
XXXXXXXX
S000002420
C000006445
C000006446
C000006443
Optimum Fund Trust
811-21335
0001227523
54930035OPW530FG2N40
100 Independence
610 Market Street
Philadelphia
19106
215-255-1200
Optimum Fixed Income Fund
S000002420
6U6JL2K17ZLVNY2CVT93
2023-03-31
2022-09-30
N
3027373477.00
590243483.44
2437129993.56
0.00000000
0.00000000
0.00000000
0.00000000
0.00000000
0.00000000
0.00000000
0.00000000
0.00000000
0.00000000
6158473.51000000
574238647.70000000
0.00000000
13065666.56000000
EUR
JPY
USD
N
BBG U.S. Aggregate Index
LEH_AGG
US TREASURY N/B
254900HROIFWPRGM1V77
United States Treasury Note/Bond
912810RN0
16700000.00000000
PA
USD
13641159.53000000
0.559722278501
Long
DBT
UST
US
N
2
2045-08-15
Fixed
2.87500000
N
N
N
N
N
N
REPUBLIC OF COLOMBIA
549300MHDRBVRF6B9117
Colombia Government International Bond
195325EA9
217000.00000000
PA
USD
123920.54000000
0.005084691433
Long
DBT
NUSS
CO
N
2
2042-02-22
Fixed
4.12500000
N
N
N
N
N
N
DEUTSCHE BANK AKTIENGESELLSCHAFT
7LTWFZYICNSX8D621K86
SWOP IRS USD
000000000
-3000000.00000000
NC
USD
-5431.24000000
-0.00022285393
N/A
DIR
CORP
DE
N
2
DEUTSCHE BANK AKTIENGESELLSCHAFT
7LTWFZYICNSX8D621K86
Call
Written
DEUTSCHE BANK AKTIENGESELLSCHAFT
7LTWFZYICNSX8D621K86
DEUTSCHE BANK AKTIENGESELLSCHAFT
7LTWFZYICNSX8D621K86
IRS USD
000000000
0.00000000
NC
USD
0.00000000
0.00000000
DIR
CORP
DE
US
THE SECURED OVERNIGHT FINANCING RATE
THE SECURED OVERNIGHT FINANCING RATE
2024-10-17
0.00000000
USD
0.00000000
USD
0.00000000
USD
-3000000.00000000
USD
2.92000000
USD
2023-10-13
XXXX
12681.26000000
N
N
N
MORGAN STANLEY
IGJSJL3JD5P30I6NJZ34
Morgan Stanley
6174468X0
1415000.00000000
PA
USD
1035149.90000000
0.042474135673
Long
DBT
CORP
US
N
2
2032-04-28
Fixed
1.92800000
N
N
N
N
N
N
BRASKEM NETHERLANDS
2549000TLMHFQ74DS330
Braskem Netherlands Finance BV
10554TAD7
370000.00000000
PA
USD
299681.50000000
0.012296492217
Long
DBT
CORP
NL
N
2
2030-01-31
Fixed
4.50000000
N
N
N
N
N
N
CALPINE CORP
43R4VPJBXTU2O15HEF41
Calpine Corp
13134MBQ5
241875.00000000
PA
USD
232925.63000000
0.009557374067
Long
LON
CORP
US
N
2
2026-04-01
Floating
5.14270000
N
N
N
N
N
N
Jubilee CDO BV
635400JSFGFQPD2VOA16
Jubilee CLO 2016-XVII DAC
000000000
1400000.00000000
PA
1301339.79000000
0.053396404518
Long
ABS-CBDO
CORP
IE
N
2
2031-04-15
Floating
0.65000000
N
N
N
N
N
N
Bank
N/A
BANK 2022-BNK41
06540MBH7
2000000.00000000
PA
USD
1797656.20000000
0.073761194714
Long
ABS-MBS
CORP
US
N
2
2065-04-15
Variable
3.91630400
N
N
N
N
N
N
PETROBRAS GLOBAL FINANCE
549300FNENFFSMO3GT38
Petrobras Global Finance BV
71647NBG3
240000.00000000
PA
USD
195931.82000000
0.008039448881
Long
DBT
CORP
NL
N
2
2050-06-03
Fixed
6.75000000
N
N
N
N
N
N
CD Commercial Mortgage Trust
N/A
CD 2017-CD6 Mortgage Trust
125039AJ6
440000.00000000
PA
USD
388074.90000000
0.015923438676
Long
ABS-MBS
CORP
US
N
2
2050-11-13
Variable
3.91100000
N
N
N
N
N
N
TRANSDIGM INC
88Q84GB3X55CF5OC7582
TransDigm Inc
89364MBR4
582712.72140000
PA
USD
559606.41000000
0.022961697220
Long
LON
CORP
US
N
2
2025-12-09
Floating
5.39270000
N
N
N
N
N
N
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
IRS USD
000000000
1.00000000
NC
USD
-100169.46000000
-0.00411014021
N/A
DIR
CORP
GB
N
2
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
Y
2022-12-16
0.00000000
USD
-179268.80000000
USD
41600000.00000000
USD
79099.34000000
N
N
N
Carlyle Global Market Strategi
549300VZ0HS3D307K776
CARLYLE US CLO 2017-1 Ltd
14314BAL1
1500000.00000000
PA
USD
1467751.50000000
0.060224588096
Long
ABS-CBDO
CORP
KY
N
2
2031-04-20
Floating
3.70986000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31418DAR3
126506.13000000
PA
USD
119536.17000000
0.004904792535
Long
ABS-MBS
USGSE
US
N
2
2049-03-01
Fixed
4.00000000
N
N
N
N
N
N
CITIGROUP INC
6SHGI4ZSSLCXXQSBB395
Citigroup Inc
172967MU2
900000.00000000
PA
USD
760500.00000000
0.031204736801
Long
DBT
CORP
US
N
2
N/A
Fixed
4.00000000
N
N
N
N
N
N
TENGIZCHEVROIL FIN CO IN
5493001VEV2XTJIBZH31
Tengizchevroil Finance Co International Ltd
88034QAB3
484000.00000000
PA
USD
402930.00000000
0.016532971202
Long
DBT
CORP
BM
N
2
2025-08-15
Fixed
2.62500000
N
N
N
N
N
N
NEXTERA ENERGY CAPITAL
UMI46YPGBLUE4VGNNT48
NextEra Energy Capital Holdings Inc
65339KCJ7
2625000.00000000
PA
USD
2509956.75000000
0.102988217970
Long
DBT
CORP
US
N
2
2032-07-15
Fixed
5.00000000
N
N
N
N
N
N
US TREASURY N/B
254900HROIFWPRGM1V77
United States Treasury Note/Bond
912810SZ2
8475000.00000000
PA
USD
5792794.71000000
0.237689196936
Long
DBT
UST
US
N
2
2051-08-15
Fixed
2.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140QHPN9
3280988.08000000
PA
USD
2895629.14000000
0.118813077170
Long
ABS-MBS
USGSE
US
N
2
2036-03-01
Fixed
2.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31371MGC5
56014.88000000
PA
USD
54748.32000000
0.002246425924
Long
ABS-MBS
USGSE
US
N
2
2035-09-01
Fixed
4.50000000
N
N
N
N
N
N
CHICAGO MERCANTILE EXCHANGE INC.
SNZ2OJLFK8MNNCLQOF39
IRS MXN
000000000
1.00000000
NC
-198369.96000000
-0.00813949032
N/A
DIR
CORP
US
N
2
CHICAGO MERCANTILE EXCHANGE INC.
SNZ2OJLFK8MNNCLQOF39
Y
2023-03-24
0.00000000
USD
-2492.91000000
USD
172990000.00000000
MXN
-195877.05000000
N
N
N
PERATON CORP
549300EQPCK07ZW63836
Peraton Corp
71360HAB3
1020303.64000000
PA
USD
969671.07000000
0.039787416861
Long
LON
CORP
US
N
2
2028-02-01
Floating
6.89270000
N
N
N
N
N
N
THE TORONTO-DOMINION BANK
PT3QB789TSUIDF371261
USD/EUR FORWARD
000000000
1.00000000
NC
USD
265201.38000000
0.010881708431
N/A
DFE
CORP
US
N
2
THE TORONTO-DOMINION BANK
PT3QB789TSUIDF371261
-6452284.63000000
EUR
6610931.47000000
USD
2022-11-18
265201.38000000
N
N
N
RAAC Series
N/A
RAAC Series 2005-SP2 Trust
76112BF54
184535.67000000
PA
USD
155228.71000000
0.006369324180
Long
ABS-O
CORP
US
N
2
2044-06-25
Floating
3.68400000
N
N
N
N
N
N
BlackRock Liquidity FedFund
549300T8K043VZEOVK74
BlackRock Liquidity FedFund
09248U700
15046753.00000000
NS
USD
15046753.00000000
0.617396406419
Long
STIV
RF
US
N
1
N
N
N
CONOCOPHILLIPS COMPANY
6VJJ5GQWIRDQ06DUXG89
ConocoPhillips Co
20826FAV8
1575000.00000000
PA
USD
1208628.23000000
0.049592275881
Long
DBT
CORP
US
N
2
2052-03-15
Fixed
3.80000000
N
N
N
N
N
N
BECTON DICKINSON EURO
549300W40NLZ25XUTH09
Becton Dickinson Euro Finance Sarl
000000000
700000.00000000
PA
414146.98000000
0.016993224862
Long
DBT
CORP
LU
N
2
2041-08-13
Fixed
1.33600000
N
N
N
N
N
N
CNX RESOURCES CORP
549300JK3KH8PWM3B226
CNX Resources Corp
12653CAJ7
2275000.00000000
PA
USD
2081113.13000000
0.085391962492
Long
DBT
CORP
US
N
2
2029-01-15
Fixed
6.00000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
3622ABDD1
4859236.09000000
PA
USD
4336222.42000000
0.177923312726
Long
ABS-MBS
USGA
US
N
2
2045-08-15
Fixed
3.00000000
N
N
N
N
N
N
XP INC
5493008KDA8NBZRJST80
XP Inc
98379XAA2
405000.00000000
PA
USD
350608.50000000
0.014386122239
Long
DBT
CORP
KY
N
2
2026-07-01
Fixed
3.25000000
N
N
N
N
N
N
HSBC HOLDINGS PLC
MLU0ZO3ML4LN2LL2TL39
HSBC Holdings PLC
404280CH0
2700000.00000000
PA
USD
2070483.12000000
0.084955793308
Long
DBT
CORP
GB
N
2
2031-06-04
Fixed
2.84800000
N
N
N
N
N
N
Goldman Sachs Financial Square Government Fund
549300BRJMXN4GUWZ402
Goldman Sachs Financial Square Government Fund
38141W273
15046753.00000000
NS
USD
15046753.00000000
0.617396406419
Long
STIV
RF
US
N
1
N
N
N
FORD MOTOR CREDIT CO LLC
UDSQCVRUX5BONN0VY111
Ford Motor Credit Co LLC
34540XAB9
1500000.00000000
PA
USD
1501230.00000000
0.061598273541
Long
DBT
CORP
US
N
2
2022-10-07
Fixed
3.55000000
N
N
N
N
N
N
GOLDMAN SACHS GROUP INC
784F5XWPLTWKTBV3E584
Goldman Sachs Group Inc/The
38141GZM9
635000.00000000
PA
USD
505121.93000000
0.020726097144
Long
DBT
CORP
US
N
2
2033-02-24
Fixed
3.10200000
N
N
N
N
N
N
STYROLUTION
5299003M4PGUGL48LS74
INEOS Styrolution Group GmbH
000000000
500000.00000000
PA
378648.69000000
0.015536663657
Long
DBT
CORP
DE
N
2
2027-01-16
Fixed
2.25000000
N
N
N
N
N
N
AZUL INVESTMENTS LLP
549300C6XNC8IDH04C74
Azul Investments LLP
05502FAC2
400000.00000000
PA
USD
247226.00000000
0.010144144984
Long
DBT
CORP
US
N
2
2026-06-15
Fixed
7.25000000
N
N
N
N
N
N
JP Morgan Mortgage Trust
N/A
JP Morgan Mortgage Trust 2006-A6
46628BAX8
177560.19000000
PA
USD
148420.27000000
0.006089961158
Long
ABS-MBS
CORP
US
N
2
2036-10-25
Variable
3.41013300
N
N
N
N
N
N
WELLS FARGO & COMPANY
PBLD0EJDB5FWOLXP3B76
Wells Fargo & Co
95000U2Z5
1120000.00000000
PA
USD
911607.65000000
0.037404966186
Long
DBT
CORP
US
N
2
2053-04-25
Fixed
4.61100000
N
N
N
N
N
N
MORGAN STANLEY
IGJSJL3JD5P30I6NJZ34
Morgan Stanley
000000000
2000000.00000000
PA
1560192.56000000
0.064017617612
Long
DBT
CORP
US
N
2
2029-10-26
Fixed
0.49500000
N
N
N
N
N
N
PUERTO RICO CMWLTH
549300X44HXPLJU48U63
Commonwealth of Puerto Rico
74514L3K1
489634.00000000
PA
USD
431676.02000000
0.017712474145
Long
DBT
MUN
US
N
2
2033-07-01
Fixed
4.00000000
N
N
N
N
N
N
GS Mortgage Securities Trust
N/A
GS Mortgage Securities Trust 2019-GC39
36260JAD9
1250000.00000000
PA
USD
1134255.38000000
0.046540618801
Long
ABS-MBS
CORP
US
N
2
2052-05-10
Fixed
3.56700000
N
N
N
N
N
N
KLA CORP
549300H0BF5JCG96TJ81
KLA Corp
482480AM2
1520000.00000000
PA
USD
1384517.38000000
0.056809336541
Long
DBT
CORP
US
N
2
2052-07-15
Fixed
4.95000000
N
N
N
N
N
N
ROYAL CARIBBEAN CRUISES
K2NEH8QNVW44JIWK7Z55
Royal Caribbean Cruises Ltd
780153BG6
1270000.00000000
PA
USD
892581.40000000
0.036624283577
Long
DBT
CORP
LR
N
2
2028-04-01
Fixed
5.50000000
N
N
N
N
N
N
BENCHMARK Mortgage Trust
N/A
Benchmark 2020-B21 Mortgage Trust
08163LAG4
1300000.00000000
PA
USD
1019761.21000000
0.041842708952
Long
ABS-MBS
CORP
US
N
2
2053-12-17
Fixed
1.97750000
N
N
N
N
N
N
US BANCORP
N1GZ7BBF3NP8GI976H15
US Bancorp
91159HHV5
2915000.00000000
PA
USD
2866972.75000000
0.117637251914
Long
DBT
CORP
US
N
2
2024-02-05
Fixed
3.37500000
N
N
N
N
N
N
PETROLEOS MEXICANOS
549300CAZKPF4HKMPX17
Petroleos Mexicanos
71643VAB1
76000.00000000
PA
USD
53439.40000000
0.002192718490
Long
DBT
CORP
MX
N
2
2032-02-16
Fixed
6.70000000
N
N
N
N
N
N
GOLDMAN SACHS BANK USA
KD3XUN7C6T14HNAYLU02
SWOP IRS USD
000000000
-1800000.00000000
NC
USD
-27250.13000000
-0.00111812377
N/A
DIR
CORP
US
N
2
GOLDMAN SACHS BANK USA
KD3XUN7C6T14HNAYLU02
Put
Written
GOLDMAN SACHS BANK USA
KD3XUN7C6T14HNAYLU02
GOLDMAN SACHS BANK USA
KD3XUN7C6T14HNAYLU02
IRS USD
000000000
0.00000000
NC
USD
0.00000000
0.00000000
DIR
CORP
US
THE SECURED OVERNIGHT FINANCING RATE
THE SECURED OVERNIGHT FINANCING RATE
2024-10-31
0.00000000
USD
0.00000000
USD
0.00000000
USD
-1800000.00000000
USD
2.84100000
USD
2023-10-27
XXXX
-14920.13000000
N
N
N
SHINHAN FINANCIAL GROUP
988400EB8A6G49E5KO54
Shinhan Financial Group Co Ltd
82460P2A2
410000.00000000
PA
USD
384251.96000000
0.015766576301
Long
DBT
CORP
KR
N
2
2030-02-05
Fixed
3.34000000
N
N
N
N
N
N
CREDIT SUISSE GROUP AG
549300506SI9CRFV9Z86
Credit Suisse Group AG
225433AT8
2300000.00000000
PA
USD
2264149.67000000
0.092902293926
Long
DBT
CORP
CH
N
2
2023-06-09
Fixed
3.80000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Pool
3133KPN95
3316127.27000000
PA
USD
3250229.85000000
0.133363007249
Long
ABS-MBS
USGSE
US
N
2
2052-07-01
Fixed
5.00000000
N
N
N
N
N
N
Citicorp Residential Mortgage
N/A
Citicorp Residential Mortgage Trust Series 2006-3
17310NAE8
253181.83000000
PA
USD
241313.20000000
0.009901531745
Long
ABS-MBS
CORP
US
N
2
2036-11-25
Variable
4.57546000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138WPLH5
418507.23000000
PA
USD
375003.07000000
0.015387077053
Long
ABS-MBS
USGSE
US
N
2
2043-04-01
Fixed
3.00000000
N
N
N
N
N
N
BANK OF AMERICA CORP
9DJT3UXIJIZJI4WXO774
Bank of America Corp
060505FQ2
900000.00000000
PA
USD
739132.11000000
0.030327972326
Long
DBT
CORP
US
N
2
N/A
Fixed
4.30000000
N
N
N
N
N
N
Credit Suisse Mortgage Trust
N/A
CSMC Series 2005-1R
22546MAQ9
502449.48000000
PA
USD
366530.46000000
0.015039430025
Long
ABS-MBS
CORP
US
N
2
2035-12-26
Fixed
5.75000000
N
N
N
N
N
N
PETROLEOS MEXICANOS
549300CAZKPF4HKMPX17
Petroleos Mexicanos
71654QDE9
600000.00000000
PA
USD
406209.00000000
0.016667514702
Long
DBT
CORP
MX
N
2
2031-01-28
Fixed
5.95000000
N
N
N
N
N
N
CROWN CASTLE INC
54930012H97VSM0I2R19
Crown Castle Inc
22822VAW1
1308000.00000000
PA
USD
982276.08000000
0.040304623987
Long
DBT
CORP
US
N
2
2031-04-01
Fixed
2.10000000
N
N
N
N
N
N
TSMC GLOBAL LTD
549300N2ZLI21P85T117
TSMC Global Ltd
872882AN5
535000.00000000
PA
USD
507918.35000000
0.020840839485
Long
DBT
CORP
VG
N
2
2032-07-22
Fixed
4.62500000
N
N
N
N
N
N
CANADIAN PACIFIC RAILWAY
54930036474DURYNB481
Canadian Pacific Railway Co
13645RBF0
1665000.00000000
PA
USD
1334696.47000000
0.054765091461
Long
DBT
CORP
CA
N
2
2031-12-02
Fixed
2.45000000
N
N
N
N
N
N
ARDAGH METAL PACKAGING
N/A
Ardagh Metal Packaging Finance USA LLC / Ardagh Metal Packaging Finance PLC
03969YAA6
4600000.00000000
PA
USD
3758315.00000000
0.154210690850
Long
DBT
CORP
N/A
N
2
2028-09-01
Fixed
3.25000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31418RT27
66220.21000000
PA
USD
66739.95000000
0.002738464922
Long
ABS-MBS
USGSE
US
N
2
2040-05-01
Fixed
5.00000000
N
N
N
N
N
N
US TREASURY N/B
254900HROIFWPRGM1V77
United States Treasury Note/Bond
912810TG3
13210000.00000000
PA
USD
11081952.22000000
0.454713217977
Long
DBT
UST
US
N
2
2052-05-15
Fixed
2.87500000
N
N
N
N
N
N
Laurelin BV
5493000IP0JWCUCF6H56
Laurelin 2016-1 DAC
000000000
2100000.00000000
PA
1969676.46000000
0.080819507584
Long
ABS-CBDO
CORP
IE
N
2
2031-10-20
Floating
0.76700000
N
N
N
N
N
N
AMERICAN TOWER CORP
5493006ORUSIL88JOE18
American Tower Corp
03027XAT7
500000.00000000
PA
USD
487180.50000000
0.019989926728
Long
DBT
CORP
US
N
2
2024-05-15
Fixed
3.37500000
N
N
N
N
N
N
BNP PARIBAS
R0MUWSFPU8MPRO8K5P83
JPY/USD FORWARD
000000000
1.00000000
NC
USD
-565330.31000000
-0.02319655953
N/A
DFE
CORP
US
N
2
BNP PARIBAS
R0MUWSFPU8MPRO8K5P83
-12773230.00000000
USD
1766206838.00000000
JPY
2022-10-04
-565330.31000000
N
N
N
PRETIUM PKG HOLDINGS INC
N/A
Pretium PKG Holdings Inc
74142KAF6
263852.01000000
PA
USD
238786.07000000
0.009797838877
Long
LON
CORP
US
N
2
2028-10-01
Floating
7.14270000
N
N
N
N
N
N
Trinity Square
6354001L6FRKQUMWRQ12
Trinity Square 2021-1 PLC
000000000
3212842.87000000
PA
3558174.42000000
0.145998548678
Long
ABS-MBS
CORP
GB
N
2
2059-07-15
Floating
2.49582000
N
N
N
N
N
N
MASTR Alternative Loans Trust
N/A
MASTR Alternative Loan Trust 2004-3
576434PB4
1119.44000000
PA
USD
1102.57000000
0.000045240508
Long
ABS-MBS
CORP
US
N
2
2034-04-25
Fixed
7.00000000
N
N
N
N
N
N
DEUTSCHE BANK AKTIENGESELLSCHAFT
7LTWFZYICNSX8D621K86
USD/JPY FORWARD
000000000
1.00000000
NC
USD
2444975.12000000
0.100321900204
N/A
DFE
CORP
US
N
2
DEUTSCHE BANK AKTIENGESELLSCHAFT
7LTWFZYICNSX8D621K86
-5010000000.00000000
JPY
37096657.15000000
USD
2022-10-11
2444975.12000000
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Pool
3132DMUS2
5764142.42000000
PA
USD
5111399.98000000
0.209730297255
Long
ABS-MBS
USGSE
US
N
2
2051-05-01
Fixed
3.00000000
N
N
N
N
N
N
Woodward Capital Management
N/A
RCKT Mortgage Trust 2021-6
74939KAA4
1564239.26000000
PA
USD
1242165.52000000
0.050968373590
Long
ABS-MBS
CORP
US
N
2
2051-12-25
Variable
2.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31417DMU4
1257375.44000000
PA
USD
1127722.18000000
0.046272549391
Long
ABS-MBS
USGSE
US
N
2
2042-10-01
Fixed
3.00000000
N
N
N
N
N
N
PRIME SECURITY SERVICES BOR
549300O6QPZVWXV2DC15
Prime Security Services Borrower LLC
03765VAK6
404341.59550000
PA
USD
392379.96000000
0.016100083337
Long
LON
CORP
US
N
2
2026-09-23
Floating
5.87060000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140X83K1
2879773.77000000
PA
USD
2346518.86000000
0.096282055786
Long
ABS-MBS
USGSE
US
N
2
2050-12-01
Fixed
2.00000000
N
N
N
N
N
N
SPIRIT AIRLINES INC
549300DCAFIXFNFR3304
Spirit Airlines Inc
848577AB8
1906000.00000000
PA
USD
1632489.00000000
0.066984075708
Long
DBT
CORP
US
N
2
2026-05-15
Fixed
1.00000000
N
N
N
N
Y
Spirit Airlines Inc
Spirit Airlines Inc
USD
XXXX
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae REMICS
31396VJP4
1316773.58000000
PA
USD
968909.78000000
0.039756179709
Long
ABS-MBS
USGSE
US
N
2
2037-04-25
None
0.00000000
N
N
N
N
N
N
WARNERMEDIA HOLDINGS INC
549300DXR29GD4N0A520
Warnermedia Holdings Inc
55903VAN3
800000.00000000
PA
USD
599996.32000000
0.024618970739
Long
DBT
CORP
US
N
2
2042-03-15
Fixed
5.05000000
N
N
N
N
N
N
AES ANDES SA
549300IF4IFG0FS0RM26
AES Andes SA
00105DAF2
605000.00000000
PA
USD
531916.00000000
0.021825507929
Long
DBT
CORP
CL
N
2
2079-03-26
Fixed
7.12500000
N
N
N
N
N
N
DIAMONDBACK ENERGY INC
549300R22LSX6OHWEN64
Diamondback Energy Inc
25278XAT6
515000.00000000
PA
USD
377255.11000000
0.015479482464
Long
DBT
CORP
US
N
2
2052-03-15
Fixed
4.25000000
N
N
N
N
N
N
CCO HLDGS LLC/CAP CORP
N/A
CCO Holdings LLC / CCO Holdings Capital Corp
1248EPCE1
500000.00000000
PA
USD
396652.50000000
0.016275393641
Long
DBT
CORP
US
N
2
2030-08-15
Fixed
4.50000000
N
N
N
N
N
N
PG&E CORP
8YQ2GSDWYZXO2EDN3511
PG&E Corp
69331CAJ7
1625000.00000000
PA
USD
1386498.75000000
0.056890635857
Long
DBT
CORP
US
N
2
2030-07-01
Fixed
5.25000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
31335H5F6
1361.93000000
PA
USD
1356.74000000
0.000055669578
Long
ABS-MBS
USGSE
US
N
2
2024-08-01
Fixed
5.50000000
N
N
N
N
N
N
INTERCONTINENTAL EXCHANGE, INC.
5493000F4ZO33MV32P92
CDS BRITISH TELECOMMUNICATIONS PLC
000000000
1.00000000
NC
-77907.30000000
-0.00319668217
N/A
DCR
CORP
US
N
2
INTERCONTINENTAL EXCHANGE, INC.
5493000F4ZO33MV32P92
British Telecommunications PLC
BRITISH TELECOMMUNICATIO
Y
Default Event
2028-12-20
0.00000000
USD
-72134.24000000
USD
1600000.00000000
EUR
-5773.06000000
N
N
N
PAYPAL HOLDINGS INC
5493005X2GO78EFZ3E94
PayPal Holdings Inc
70450YAK9
325000.00000000
PA
USD
311717.25000000
0.012790341542
Long
DBT
CORP
US
N
2
2027-06-01
Fixed
3.90000000
N
N
N
N
N
N
BARCLAYS BANK PLC
G5GSEF7VJP5I7OUK5573
Barclays Bank PLC
06740L8C2
439000.00000000
PA
USD
439034.42000000
0.018014403054
Long
DBT
CORP
GB
N
2
2022-11-21
Fixed
7.62500000
N
N
N
N
N
N
Marathon CLO LTD
635400LRBGQZIPTCBI09
Marathon CLO V Ltd
56576QAN8
51515.84000000
PA
USD
51341.41000000
0.002106634038
Long
ABS-CBDO
CORP
KY
N
2
2027-11-21
Floating
3.85400000
N
N
N
N
N
N
TRUIST FINANCIAL CORP
549300DRQQI75D2JP341
Truist Financial Corp
89832QAE9
1465000.00000000
PA
USD
1411219.85000000
0.057904988807
Long
DBT
CORP
US
N
2
N/A
Fixed
4.95000000
N
N
N
N
N
N
ENERGY TRANSFER LP
MTLVN9N7JE8MIBIJ1H73
Energy Transfer LP
29273VAN0
3380000.00000000
PA
USD
2952781.52000000
0.121158146172
Long
DBT
CORP
US
N
2
N/A
Fixed
6.50000000
N
N
N
N
N
N
FISERV INC
GI7UBEJLXYLGR2C7GV83
Fiserv Inc
337738AU2
3500000.00000000
PA
USD
3048700.90000000
0.125093897660
Long
DBT
CORP
US
N
2
2029-07-01
Fixed
3.50000000
N
N
N
N
N
N
DAIMLER TRUCKS FINAN NA
5493003HSDTSCZRXBA58
Daimler Trucks Finance North America LLC
233853AG5
3120000.00000000
PA
USD
2548890.24000000
0.104585731854
Long
DBT
CORP
US
N
2
2028-12-14
Fixed
2.37500000
N
N
N
N
N
N
OTIS WORLDWIDE CORP
549300ZLBKR8VSU25153
Otis Worldwide Corp
68902VAM9
202000.00000000
PA
USD
136728.51000000
0.005610226387
Long
DBT
CORP
US
N
2
2050-02-15
Fixed
3.36200000
N
N
N
N
N
N
HSBC HOLDINGS PLC
MLU0ZO3ML4LN2LL2TL39
HSBC Holdings PLC
404280DG1
500000.00000000
PA
USD
467969.10000000
0.019201647069
Long
DBT
CORP
GB
N
2
2028-08-11
Fixed
5.21000000
N
N
N
N
N
N
COOPERATIEVE RABOBANK UA
DG3RU1DBUFHT4ZF9WN62
Cooperatieve Rabobank UA
21684AAC0
2000000.00000000
PA
USD
1913046.60000000
0.078495878556
Long
DBT
CORP
NL
N
2
2025-08-04
Fixed
4.37500000
N
N
N
N
N
N
Venture CDO Ltd
549300XGJ8CFTLD6FC04
Venture XXVI CLO Ltd
92331MAE8
3334067.68000000
PA
USD
3284260.04000000
0.134759329567
Long
ABS-CBDO
CORP
KY
N
2
2029-01-20
Floating
3.80986000
N
N
N
N
N
N
BNP PARIBAS
R0MUWSFPU8MPRO8K5P83
USD/ZAR FORWARD
000000000
1.00000000
NC
USD
-125564.22000000
-0.00515213469
N/A
DFE
CORP
US
N
2
BNP PARIBAS
R0MUWSFPU8MPRO8K5P83
-1071354.00000000
USD
17180265.67000000
ZAR
2022-11-08
-125564.22000000
N
N
N
ENEL FINANCE INTL NV
0YQH6LCEF474UTUV4B96
Enel Finance International NV
29278GAP3
725000.00000000
PA
USD
504291.01000000
0.020692002943
Long
DBT
CORP
NL
N
2
2031-07-12
Fixed
2.25000000
N
N
N
N
N
N
GOLDMAN SACHS BANK USA
KD3XUN7C6T14HNAYLU02
SWOP IRS USD
000000000
-1700000.00000000
NC
USD
-3943.22000000
-0.00016179768
N/A
DIR
CORP
US
N
2
GOLDMAN SACHS BANK USA
KD3XUN7C6T14HNAYLU02
Call
Written
GOLDMAN SACHS BANK USA
KD3XUN7C6T14HNAYLU02
GOLDMAN SACHS BANK USA
KD3XUN7C6T14HNAYLU02
IRS USD
000000000
0.00000000
NC
USD
0.00000000
0.00000000
DIR
CORP
US
THE SECURED OVERNIGHT FINANCING RATE
THE SECURED OVERNIGHT FINANCING RATE
2024-10-25
0.00000000
USD
0.00000000
USD
0.00000000
USD
-1700000.00000000
USD
3.14000000
USD
2023-10-23
XXXX
7999.28000000
N
N
N
Fannie Mae - CAS
N/A
Connecticut Avenue Securities Trust 2020-R01
20754CAB5
787227.91000000
PA
USD
775761.86000000
0.031830959450
Long
ABS-MBS
CORP
US
N
2
2040-01-25
Floating
5.13400000
N
N
N
N
N
N
LLOYDS BANKING GROUP PLC
549300PPXHEU2JF0AM85
Lloyds Banking Group PLC
000000000
200000.00000000
PA
192184.47000000
0.007885688104
Long
DBT
CORP
GB
N
2
2026-04-01
Fixed
3.50000000
N
N
N
N
N
N
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
IRS USD
000000000
1.00000000
NC
USD
-2251644.13000000
-0.09238916824
N/A
DIR
CORP
GB
N
2
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
Y
2032-07-15
0.00000000
USD
0.00000000
USD
16200000.00000000
USD
-2251644.13000000
N
N
N
Merrill Lynch Mortgage Investo
N/A
Merrill Lynch Mortgage Investors Trust Series MLMI 2004-A1
59020UAC9
1791.40000000
PA
USD
1722.12000000
0.000070661803
Long
ABS-MBS
CORP
US
N
2
2034-02-25
Variable
2.72554000
N
N
N
N
N
N
BRIGHTHOUSE FINANCIAL IN
5493003T8SZSHOGGAW52
Brighthouse Financial Inc
10922NAH6
2970000.00000000
PA
USD
1804142.54000000
0.074027341371
Long
DBT
CORP
US
N
2
2051-12-22
Fixed
3.85000000
N
N
N
N
N
N
EPR PROPERTIES
549300YSSXFHMPOWZ492
EPR Properties
26884UAD1
1700000.00000000
PA
USD
1469868.45000000
0.060311450512
Long
DBT
CORP
US
N
2
2027-06-01
Fixed
4.50000000
N
N
N
N
N
N
NORTH MACEDONIA
635400RD1N6RVNCE4958
North Macedonia Government International Bond
000000000
150000.00000000
PA
129140.21000000
0.005298864251
Long
DBT
NUSS
MK
N
2
2026-06-03
Fixed
3.67500000
N
N
N
N
N
N
CEMEX SAB DE CV
549300RIG2CXWN6IV731
Cemex SAB de CV
151290BV4
400000.00000000
PA
USD
358228.00000000
0.014698764569
Long
DBT
CORP
MX
N
2
2029-11-19
Fixed
5.45000000
N
N
N
N
N
N
VEDANTA RESOURCES
8945002DGA3BBXO3N634
Vedanta Resources Finance II PLC
92243XAE1
845000.00000000
PA
USD
576098.69000000
0.023638406302
Long
DBT
CORP
GB
N
2
2025-03-11
Fixed
8.95000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140XB7L8
1382727.85000000
PA
USD
1274745.38000000
0.052305186156
Long
ABS-MBS
USGSE
US
N
2
2037-09-01
Fixed
3.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140J9JV4
820395.57000000
PA
USD
861962.80000000
0.035367945176
Long
ABS-MBS
USGSE
US
N
2
2042-01-01
Fixed
6.00000000
N
N
N
N
N
N
PERUSAHAAN LISTRIK NEGAR
254900OYVDRYS9J51J61
Perusahaan Perseroan Persero PT Perusahaan Listrik Negara
71568PAD1
185000.00000000
PA
USD
136980.85000000
0.005620580369
Long
DBT
CORP
ID
N
2
2047-05-15
Fixed
5.25000000
N
N
N
N
N
N
GOLDMAN SACHS GROUP INC
784F5XWPLTWKTBV3E584
Goldman Sachs Group Inc/The
38141GWZ3
4700000.00000000
PA
USD
4278407.65000000
0.175551064625
Long
DBT
CORP
US
N
2
2029-05-01
Fixed
4.22300000
N
N
N
N
N
N
GC TREASURY CENTRE CO
549300LUFQBC2EQNAR40
GC Treasury Center Co Ltd
36830BAF2
450000.00000000
PA
USD
360890.51000000
0.014808012332
Long
DBT
CORP
TH
N
2
2052-03-30
Fixed
5.20000000
N
N
N
N
N
N
US BANCORP
N1GZ7BBF3NP8GI976H15
US Bancorp
91159HJC5
705000.00000000
PA
USD
621938.45000000
0.025519297355
Long
DBT
CORP
US
N
2
2028-01-27
Fixed
2.21500000
N
N
N
N
N
N
Structured Adjustable Rate Mor
N/A
Structured Adjustable Rate Mortgage Loan Trust Series 2006-1
863579Q92
68600.98000000
PA
USD
61731.56000000
0.002532961317
Long
ABS-MBS
CORP
US
N
2
2036-02-25
Variable
2.73151400
N
N
N
N
N
N
GOLDMAN SACHS GROUP INC
784F5XWPLTWKTBV3E584
Goldman Sachs Group Inc/The
38141GZR8
3990000.00000000
PA
USD
3635175.29000000
0.149158038332
Long
DBT
CORP
US
N
2
2028-03-15
Fixed
3.61500000
N
N
N
N
N
N
TENET HEALTHCARE CORP
0W9AIBT6U6ADJ2I8HK17
Tenet Healthcare Corp
88033GDL1
1790000.00000000
PA
USD
1484706.55000000
0.060920285496
Long
DBT
CORP
US
N
2
2029-06-01
Fixed
4.25000000
N
N
N
N
N
N
CFCRE Commercial Mortgage Trus
N/A
CFCRE Commercial Mortgage Trust 2016-C7
12532BAD9
3100000.00000000
PA
USD
2919703.38000000
0.119800888246
Long
ABS-MBS
CORP
US
N
2
2054-12-10
Fixed
3.83850000
N
N
N
N
N
N
T-MOBILE USA INC
549300V2JRLO5DIFGE82
T-Mobile USA Inc
87264ACB9
550000.00000000
PA
USD
436247.30000000
0.017900042310
Long
DBT
CORP
US
N
2
2031-02-15
Fixed
2.55000000
N
N
N
N
N
N
New Residential Mortgage Loan
N/A
New Residential Mortgage Loan Trust 2019-RPL3
64830NAA9
3191478.33000000
PA
USD
2988432.97000000
0.122620991818
Long
ABS-MBS
CORP
US
N
2
2059-07-25
Variable
2.75000000
N
N
N
N
N
N
Fannie Mae - CAS
N/A
Connecticut Avenue Securities Trust 2019-R01
20754FAK8
53993.03000000
PA
USD
53886.49000000
0.002211063428
Long
ABS-MBS
CORP
US
N
2
2031-07-25
Floating
5.53400000
N
N
N
N
N
N
FHLMC Structured Pass Through
S6XOOCT0IEG5ABCC6L87
Freddie Mac Structured Pass-Through Certificates
31393LFK4
9881.82000000
PA
USD
10402.95000000
0.000426852487
Long
ABS-MBS
USGSE
US
N
2
2043-02-25
Fixed
6.50000000
N
N
N
N
N
N
TAKEDA PHARMACEUTICAL
549300ZLMVP4X0OGR454
Takeda Pharmaceutical Co Ltd
874060AZ9
4797000.00000000
PA
USD
3196187.85000000
0.131145562955
Long
DBT
CORP
JP
N
2
2050-07-09
Fixed
3.17500000
N
N
N
N
N
N
ENTERGY ARKANSAS LLC
549300A0I5ONUIFMLP35
Entergy Arkansas LLC
29366MAA6
870000.00000000
PA
USD
713798.98000000
0.029288506640
Long
DBT
CORP
US
N
2
2049-04-01
Fixed
4.20000000
N
N
N
N
N
N
GoldenTree Loan Management US
549300UYD6YMBA6XSE43
Goldentree Loan Management US Clo 2 Ltd
38136MAU2
3300000.00000000
PA
USD
3229828.80000000
0.132525914027
Long
ABS-CBDO
CORP
KY
N
2
2030-11-20
Floating
3.61986000
N
N
N
N
N
N
REPUBLIC OF ARMENIA
5299000H77JSW90G7935
Republic of Armenia International Bond
042207AD2
200000.00000000
PA
USD
136220.00000000
0.005589361271
Long
DBT
NUSS
AM
N
2
2031-02-02
Fixed
3.60000000
N
N
N
N
N
N
F-TECH INC
N/A
CENTURY COMM TRACKING
000000000
1975000.00000000
NS
USD
0.00000000
0.000000
Long
EC
CORP
US
N
3
N
N
N
Sequoia Mortgage Trust
N/A
Sequoia Mortgage Trust 2020-4
81748RAB3
591852.88000000
PA
USD
469991.56000000
0.019284632384
Long
ABS-MBS
CORP
US
N
2
2050-11-25
Variable
2.50000000
N
N
N
N
N
N
522 Funding CLO LTD
N/A
522 Funding CLO 2018-3A Ltd
33835NAA9
1200000.00000000
PA
USD
1164662.40000000
0.047788275679
Long
ABS-CBDO
CORP
KY
N
2
2031-10-20
Floating
3.74986000
N
N
N
N
N
N
PETROLEOS MEXICANOS
549300CAZKPF4HKMPX17
Petroleos Mexicanos
71654QDF6
419000.00000000
PA
USD
232540.81000000
0.009541584183
Long
DBT
CORP
MX
N
2
2060-01-28
Fixed
6.95000000
N
N
N
N
N
N
NEW JERSEY ST TRANSPRTN TRUST
549300YUVD5TEXR6L889
New Jersey Transportation Trust Fund Authority
646136XS5
1590000.00000000
PA
USD
1593593.40000000
0.065388116522
Long
DBT
MUN
US
N
2
2028-12-15
Fixed
5.75400000
N
N
N
N
N
N
GOODMAN HK FINANCE
213800SL4LTTO1S5AU13
Goodman HK Finance
000000000
1095000.00000000
PA
USD
1076622.62000000
0.044175838910
Long
DBT
CORP
KY
N
2
2024-06-19
Fixed
4.37500000
N
N
N
N
N
N
PELICAN PRODUCTS INC
5493008CRWH2WFODTF44
Pelican Products Inc
70468BAC7
277900.00000000
PA
USD
256362.75000000
0.010519042918
Long
LON
CORP
US
N
2
2028-12-29
Floating
7.39270000
N
N
N
N
N
N
PACIFIC GAS & ELECTRIC
1HNPXZSMMB7HMBMVBS46
Pacific Gas and Electric Co
694308JQ1
1100000.00000000
PA
USD
802667.25000000
0.032934937903
Long
DBT
CORP
US
N
2
2040-07-01
Fixed
4.50000000
N
N
N
N
N
N
US TREASURY FRN
254900HROIFWPRGM1V77
United States Treasury Floating Rate Note
91282CEL1
26145000.00000000
PA
USD
26110734.36000000
1.071372246412
Long
DBT
UST
US
N
2
2024-04-30
Floating
3.22225456
N
N
N
N
N
N
Man GLG US CLO 2018-1 Ltd
N/A
Man GLG US CLO
26829CAY3
3000000.00000000
PA
USD
2931399.00000000
0.120280781400
Long
ABS-CBDO
CORP
KY
N
2
2030-04-22
Floating
3.84986000
N
N
N
N
N
N
PACIFIC GAS & ELECTRIC
1HNPXZSMMB7HMBMVBS46
Pacific Gas and Electric Co
694308JN8
516000.00000000
PA
USD
379113.77000000
0.015555746759
Long
DBT
CORP
US
N
2
2050-07-01
Fixed
4.95000000
N
N
N
N
N
N
CROWN CASTLE INC
54930012H97VSM0I2R19
Crown Castle Inc
22822VAL5
2745000.00000000
PA
USD
2521166.39000000
0.103448170457
Long
DBT
CORP
US
N
2
2029-02-15
Fixed
4.30000000
N
N
N
N
N
N
LUMEN TECHNOLOGIES INC
8M3THTGWLTYZVE6BBY25
Lumen Technologies Inc
15669GAH7
979848.88830000
PA
USD
893586.91000000
0.036665541532
Long
LON
CORP
US
N
2
2027-03-15
Floating
5.39270000
N
N
N
N
N
N
HCA INC
L3CJ6J7LJ2DX62FTXD46
HCA Inc
404119CD9
4000000.00000000
PA
USD
3546730.80000000
0.145528995555
Long
DBT
CORP
US
N
2
2027-03-15
Fixed
3.12500000
N
N
N
N
N
N
PILOT TRAVEL CENTERS LLC
549300115UILLXNE1Z49
Pilot Travel Centers LLC
72165NBH1
360442.08820000
PA
USD
345774.26000000
0.014187764334
Long
LON
CORP
US
N
2
2028-08-06
Floating
5.14270000
N
N
N
N
N
N
MPLX LP
5493000CZJ19CK4P3G36
MPLX LP
55336VBR0
685000.00000000
PA
USD
600120.14000000
0.024624051305
Long
DBT
CORP
US
N
2
2026-03-01
Fixed
1.75000000
N
N
N
N
N
N
ECOPETROL SA
254900IDGKCJICKBPA66
Ecopetrol SA
279158AP4
445000.00000000
PA
USD
312156.38000000
0.012808359866
Long
DBT
CORP
CO
N
2
2031-11-02
Fixed
4.62500000
N
N
N
N
N
N
CREDIT SUISSE GROUP AG
549300506SI9CRFV9Z86
Credit Suisse Group AG
225401AS7
820000.00000000
PA
USD
488285.40000000
0.020035262841
Long
DBT
CORP
CH
N
2
N/A
Fixed
4.50000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
3128L4E83
5076.09000000
PA
USD
5066.92000000
0.000207905200
Long
ABS-MBS
USGSE
US
N
2
2038-01-01
Fixed
7.00000000
N
N
N
N
N
N
ZEKELMAN INDUSTRIES INC
549300S5LMRAKDWWI425
Zekelman Industries Inc
98931YAC7
270253.92760000
PA
USD
258993.26000000
0.010626977661
Long
LON
CORP
US
N
2
2027-01-24
Floating
5.33030000
N
N
N
N
N
N
BANGKOK BANK PCL/HK
549300CCL2BKJGMYXV60
Bangkok Bank PCL/Hong Kong
06000BAA0
280000.00000000
PA
USD
248354.40000000
0.010190445345
Long
DBT
CORP
TH
N
2
N/A
Fixed
5.00000000
N
N
N
N
N
N
AERCAP IRELAND CAP/GLOBA
N/A
AerCap Ireland Capital DAC / AerCap Global Aviation Trust
00774MAG0
1200000.00000000
PA
USD
1133926.44000000
0.046527121778
Long
DBT
CORP
IE
N
2
2025-10-01
Fixed
4.45000000
N
N
N
N
N
N
AGILE GROUP HOLDINGS LTD
549300ZRISRT38EEYY07
Agile Group Holdings Ltd
000000000
345000.00000000
PA
USD
96753.66000000
0.003969983556
Long
DBT
CORP
KY
N
2
2026-05-17
Fixed
5.50000000
N
N
N
N
N
N
Cairn CLO DAC
549300VMYEUTDDTG7712
Cairn CLO IV DAC
000000000
1578843.46000000
PA
1499458.28000000
0.061525576557
Long
ABS-CBDO
CORP
IE
N
2
2031-04-30
Floating
0.83800000
N
N
N
N
N
N
GOLDMAN SACHS BANK USA
KD3XUN7C6T14HNAYLU02
SWOP IRS USD
000000000
-1700000.00000000
NC
USD
-4138.81000000
-0.00016982311
N/A
DIR
CORP
US
N
2
GOLDMAN SACHS BANK USA
KD3XUN7C6T14HNAYLU02
Call
Written
GOLDMAN SACHS BANK USA
KD3XUN7C6T14HNAYLU02
GOLDMAN SACHS BANK USA
KD3XUN7C6T14HNAYLU02
IRS USD
000000000
0.00000000
NC
USD
0.00000000
0.00000000
DIR
CORP
US
THE SECURED OVERNIGHT FINANCING RATE
THE SECURED OVERNIGHT FINANCING RATE
2024-10-25
0.00000000
USD
0.00000000
USD
0.00000000
USD
-1700000.00000000
USD
3.19000000
USD
2023-10-23
XXXX
7676.19000000
N
N
N
BRIGHTHOUSE FINANCIAL IN
5493003T8SZSHOGGAW52
Brighthouse Financial Inc
10922NAG8
850000.00000000
PA
USD
797913.36000000
0.032739876908
Long
DBT
CORP
US
N
2
2030-05-15
Fixed
5.62500000
N
N
N
N
N
N
BAT CAPITAL CORP
2138005GYEXN7XRHFA84
BAT Capital Corp
05526DBR5
1500000.00000000
PA
USD
1195422.90000000
0.049050436503
Long
DBT
CORP
US
N
2
2028-03-25
Fixed
2.25900000
N
N
N
N
N
N
MORGAN STANLEY
IGJSJL3JD5P30I6NJZ34
Morgan Stanley
61747YEK7
650000.00000000
PA
USD
568799.86000000
0.023338921662
Long
DBT
CORP
US
N
2
2028-01-21
Fixed
2.47500000
N
N
N
N
N
N
ELECTRON BIDCO INC
N/A
Electron Bidco Inc
28542CAC3
497500.00000000
PA
USD
472728.48000000
0.019396933329
Long
LON
CORP
US
N
2
2028-11-01
Floating
6.39270000
N
N
N
N
N
N
CDW LLC/CDW FINANCE
N/A
CDW LLC / CDW Finance Corp
12513GBH1
4143000.00000000
PA
USD
3465184.49000000
0.142182997999
Long
DBT
CORP
US
N
2
2028-12-01
Fixed
3.27600000
N
N
N
N
N
N
Woodward Capital Management
N/A
RCKT Mortgage Trust 2021-1
749350AA2
752950.06000000
PA
USD
597919.15000000
0.024533740571
Long
ABS-MBS
CORP
US
N
2
2051-03-25
Variable
2.50000000
N
N
N
N
N
N
ROYALTY PHARMA PLC
549300FGFN7VOK8BZR03
Royalty Pharma PLC
78081BAM5
1250000.00000000
PA
USD
782072.13000000
0.032089881625
Long
DBT
CORP
GB
N
2
2050-09-02
Fixed
3.55000000
N
N
N
N
N
N
PACIFIC GAS & ELECTRIC
1HNPXZSMMB7HMBMVBS46
Pacific Gas and Electric Co
694308JF5
9195000.00000000
PA
USD
7445863.65000000
0.305517706058
Long
DBT
CORP
US
N
2
2027-08-01
Fixed
2.10000000
N
N
N
N
N
N
Countrywide Home Loans
N/A
Reperforming Loan REMIC Trust 2006-R1
12669UCN8
520223.93000000
PA
USD
496013.64000000
0.020352366977
Long
ABS-MBS
CORP
US
N
2
2036-01-25
Floating
3.42400000
N
N
N
N
N
N
FORD MOTOR CREDIT CO LLC
UDSQCVRUX5BONN0VY111
Ford Motor Credit Co LLC
345397B93
500000.00000000
PA
USD
379610.00000000
0.015576108004
Long
DBT
CORP
US
N
2
2029-02-10
Fixed
2.90000000
N
N
N
N
N
N
J.P. MORGAN SECURITIES LLC
ZBUT11V806EZRVTWT807
KRW/USD FORWARD
000000000
1.00000000
NC
USD
6274.47000000
0.000257453234
N/A
DFE
CORP
US
N
2
J.P. MORGAN SECURITIES LLC
ZBUT11V806EZRVTWT807
-128077590.00000000
KRW
95334.13000000
USD
2022-12-14
6274.47000000
N
N
N
BANK OF AMERICA CORP
9DJT3UXIJIZJI4WXO774
Bank of America Corp
06051GKW8
3905000.00000000
PA
USD
3756107.43000000
0.154120110126
Long
DBT
CORP
US
N
2
2028-07-22
Fixed
4.94800000
N
N
N
N
N
N
GEORGIA-PACIFIC LLC
L2EVHWFHVAQK72TMH265
Georgia-Pacific LLC
373298CF3
2242000.00000000
PA
USD
2332121.67000000
0.095691312164
Long
DBT
CORP
US
N
2
2024-01-15
Fixed
8.00000000
N
N
N
N
N
N
BNP PARIBAS (SUISSE) SA
QHSFEYI7HUOXXZ413E03
SWOP IRS EUR
000000000
-4300000.00000000
NC
-37938.71000000
-0.00155669620
N/A
DIR
CORP
CH
N
2
BNP PARIBAS (SUISSE) SA
QHSFEYI7HUOXXZ413E03
Put
Written
BNP PARIBAS (SUISSE) SA
QHSFEYI7HUOXXZ413E03
BNP PARIBAS (SUISSE) SA
QHSFEYI7HUOXXZ413E03
IRS EUR
000000000
0.00000000
NC
0.00000000
0.00000000
DIR
CORP
CH
US
2024-05-03
0.00000000
USD
0.00000000
USD
0.00000000
EUR
-4300000.00000000
USD
2.25000000
EUR
2023-04-28
XXXX
-30482.22000000
N
N
N
US TREASURY N/B
254900HROIFWPRGM1V77
United States Treasury Note/Bond
9128282U3
2170000.00000000
PA
USD
2075571.15000000
0.085164564692
Long
DBT
UST
US
N
2
2024-08-31
Fixed
1.87500000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31409FPK8
47351.97000000
PA
USD
48801.61000000
0.002002421295
Long
ABS-MBS
USGSE
US
N
2
2036-03-01
Fixed
6.50000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
3132Y2FT8
1552688.74000000
PA
USD
1419694.12000000
0.058252703948
Long
ABS-MBS
USGSE
US
N
2
2048-09-01
Fixed
3.50000000
N
N
N
N
N
N
US TREASURY N/B
254900HROIFWPRGM1V77
United States Treasury Note/Bond
91282CEP2
4405000.00000000
PA
USD
4073592.47000000
0.167147114875
Long
DBT
UST
US
N
2
2032-05-15
Fixed
2.87500000
N
N
N
N
N
N
FREMF Mortgage Trust
N/A
FREMF 2017-K71 Mortgage Trust
35708WAS9
470000.00000000
PA
USD
428703.26000000
0.017590496244
Long
ABS-MBS
CORP
US
N
2
2050-11-25
Variable
3.88087600
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31410GJA2
137730.31000000
PA
USD
142712.70000000
0.005855768891
Long
ABS-MBS
USGSE
US
N
2
2035-02-01
Fixed
5.50000000
N
N
N
N
N
N
SUMITOMO MITSUI FINL GRP
35380028MYWPB6AUO129
Sumitomo Mitsui Financial Group Inc
86562MCA6
2600000.00000000
PA
USD
2340880.36000000
0.096050697590
Long
DBT
CORP
JP
N
2
2025-07-08
Fixed
1.47400000
N
N
N
N
N
N
BP CAP MARKETS AMERICA
5493009NTB34VXE1T760
BP Capital Markets America Inc
10373QBT6
1465000.00000000
PA
USD
1191476.59000000
0.048888512026
Long
DBT
CORP
US
N
2
2032-01-12
Fixed
2.72100000
N
N
N
N
N
N
Argent Securities Inc.
N/A
Argent Securities Trust 2006-W4
040104TG6
577174.07000000
PA
USD
148846.73000000
0.006107459610
Long
ABS-MBS
CORP
US
N
2
2036-05-25
Floating
3.40400000
N
N
N
N
N
N
UNICREDIT SPA
549300TRUWO2CD2G5692
UniCredit SpA
000000000
600000.00000000
PA
518199.67000000
0.021262701266
Long
DBT
CORP
IT
N
2
N/A
Fixed
7.50000000
N
N
N
N
N
N
VERIZON COMMUNICATIONS
2S72QS2UO2OESLG6Y829
Verizon Communications Inc
92343VGJ7
800000.00000000
PA
USD
639561.36000000
0.026242398300
Long
DBT
CORP
US
N
2
2031-03-21
Fixed
2.55000000
N
N
N
N
N
N
JPMDB Commercial Mortgage Secu
N/A
JPMDB Commercial Mortgage Securities Trust 2016-C4
46646RAJ2
1065000.00000000
PA
USD
978059.47000000
0.040131608596
Long
ABS-MBS
CORP
US
N
2
2049-12-15
Fixed
3.14130000
N
N
N
N
N
N
BARCLAYS PLC
213800LBQA1Y9L22JB70
Barclays PLC
06738EBA2
400000.00000000
PA
USD
370500.00000000
0.015202307672
Long
DBT
CORP
GB
N
2
N/A
Fixed
7.75000000
N
N
N
N
N
N
JP Morgan Mortgage Trust
N/A
JP Morgan Mortgage Trust 2021-1
46592EAC0
728064.18000000
PA
USD
577065.13000000
0.023678061142
Long
ABS-MBS
CORP
US
N
2
2051-06-25
Variable
2.50000000
N
N
N
N
N
N
RYAN SPECIALTY GROUP
549300K52N7QBO3PYY45
Ryan Specialty Group LLC
78350UAE5
583100.00000000
PA
USD
565607.00000000
0.023207912647
Long
LON
CORP
US
N
2
2027-09-01
Floating
6.14270000
N
N
N
N
N
N
FHLMC Multifamily Structured P
S6XOOCT0IEG5ABCC6L87
Freddie Mac Multifamily Structured Pass Through Certificates
3137F5LN7
1070000.00000000
PA
USD
1007546.78000000
0.041341528053
Long
ABS-MBS
USGSE
US
N
2
2027-06-25
Fixed
3.00000000
N
N
N
N
N
N
ESSENTIAL UTILITIES INC
549300ILTEOF3E3QY357
Essential Utilities Inc
29670GAD4
695000.00000000
PA
USD
569939.62000000
0.023385688145
Long
DBT
CORP
US
N
2
2030-04-15
Fixed
2.70400000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31410GCT8
28379.25000000
PA
USD
27669.44000000
0.001135328852
Long
ABS-MBS
USGSE
US
N
2
2035-05-01
Fixed
4.50000000
N
N
N
N
N
N
AMER AIRLINE 19-1AA PTT
N/A
American Airlines 2019-1 Class AA Pass Through Trust
02377LAA2
172885.82000000
PA
USD
144175.03000000
0.005915771024
Long
DBT
CORP
US
N
2
2032-02-15
Fixed
3.15000000
N
N
N
N
N
N
BANK OF AMERICA, NATIONAL ASSOCIATION
B4TYDEB6GKMZO031MB27
SWOP IRS USD
000000000
15500000.00000000
NC
USD
3589213.50000000
0.147272140160
N/A
DIR
CORP
US
N
2
BANK OF AMERICA, NATIONAL ASSOCIATION
B4TYDEB6GKMZO031MB27
Put
Purchased
BANK OF AMERICA, NATIONAL ASSOCIATION
B4TYDEB6GKMZO031MB27
BANK OF AMERICA, NATIONAL ASSOCIATION
B4TYDEB6GKMZO031MB27
IRS USD
000000000
0.00000000
NC
USD
0.00000000
0.00000000
DIR
CORP
US
2053-10-27
0.00000000
USD
0.00000000
USD
0.00000000
USD
15500000.00000000
USD
2.06000000
USD
2023-10-25
XXXX
2704897.73000000
N
N
N
Wells Fargo Commercial Mortgag
549300ZVNWG0TX42H716
Wells Fargo Commercial Mortgage Trust 2015-NXS3
94989VAD1
510000.00000000
PA
USD
484232.15000000
0.019868950416
Long
ABS-MBS
CORP
US
N
2
2057-09-15
Fixed
3.61700000
N
N
N
N
N
N
FannieMae Grantor Trust
N/A
Fannie Mae Grantor Trust 1999-T2
31359VYH0
3373.17000000
PA
USD
3437.36000000
0.000141041307
Long
ABS-MBS
USGSE
US
N
2
2039-01-19
Variable
7.50000000
N
N
N
N
N
N
Carlyle Euro CLO
63540012YBWEYXRWOE16
Carlyle Euro CLO 2019-2 DAC
000000000
600000.00000000
PA
557054.34000000
0.022856981017
Long
ABS-CBDO
CORP
IE
N
2
2032-08-15
Floating
1.21100000
N
N
N
N
N
N
SABINE PASS LIQUEFACTION
549300KJYBG7C6WJYZ11
Sabine Pass Liquefaction LLC
785592AJ5
8496000.00000000
PA
USD
8531640.72000000
0.350069169168
Long
DBT
CORP
US
N
2
2024-05-15
Fixed
5.75000000
N
N
N
N
N
N
ROMANIA
315700IASY927EDWBK92
Romanian Government International Bond
000000000
123000.00000000
PA
61986.76000000
0.002543432650
Long
DBT
NUSS
RO
N
2
2040-12-02
Fixed
2.62500000
N
N
N
N
N
N
US TREASURY N/B
254900HROIFWPRGM1V77
United States Treasury Note/Bond
912810QX9
900000.00000000
PA
USD
731917.98000000
0.030031963085
Long
DBT
UST
US
N
2
2042-08-15
Fixed
2.75000000
N
N
N
N
N
N
AT&T INC
549300Z40J86GGSTL398
AT&T Inc
00206RJZ6
1680000.00000000
PA
USD
1213581.10000000
0.049795501397
Long
DBT
CORP
US
N
2
2041-06-01
Fixed
3.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31409YUT2
21408.31000000
PA
USD
22063.71000000
0.000905315270
Long
ABS-MBS
USGSE
US
N
2
2036-06-01
Fixed
6.50000000
N
N
N
N
N
N
LOCKHEED MARTIN CORP
DPRBOZP0K5RM2YE8UU08
Lockheed Martin Corp
539830BR9
1095000.00000000
PA
USD
1016570.41000000
0.041711784463
Long
DBT
CORP
US
N
2
2032-06-15
Fixed
3.90000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31414S3B7
2187.64000000
PA
USD
2133.76000000
0.000087552161
Long
ABS-MBS
USGSE
US
N
2
2038-03-01
Fixed
5.00000000
N
N
N
N
N
N
METLIFE INC
C4BXATY60WC6XEOZDX54
MetLife Inc
59156RCA4
1520000.00000000
PA
USD
1363584.25000000
0.055950411082
Long
DBT
CORP
US
N
2
N/A
Fixed
3.85000000
N
N
N
N
N
N
ROLLS-ROYCE PLC
X57JK1U580XATGR67572
Rolls-Royce PLC
77578JAC2
1000000.00000000
PA
USD
870860.00000000
0.035733013926
Long
DBT
CORP
GB
N
2
2027-10-15
Fixed
5.75000000
N
N
N
N
N
N
VERIZON COMMUNICATIONS
2S72QS2UO2OESLG6Y829
Verizon Communications Inc
92343VGH1
1100000.00000000
PA
USD
929106.31000000
0.038122968920
Long
DBT
CORP
US
N
2
2028-03-22
Fixed
2.10000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31418CR89
381359.15000000
PA
USD
347764.92000000
0.014269444835
Long
ABS-MBS
USGSE
US
N
2
2047-12-01
Fixed
3.50000000
N
N
N
N
N
N
ACRISURE LLC
549300R0Z1Q47XRTGO22
Acrisure LLC
00488PAL9
405145.89320000
PA
USD
371214.92000000
0.015231642176
Long
LON
CORP
US
N
2
2027-02-15
Floating
6.31770000
N
N
N
N
N
N
BENCHMARK Mortgage Trust
N/A
Benchmark 2020-B22 Mortgage Trust
08163BBA8
2050000.00000000
PA
USD
1599373.51000000
0.065625285242
Long
ABS-MBS
CORP
US
N
2
2054-01-15
Fixed
1.97300000
N
N
N
N
N
N
IndyMac Residential Asset Back
N/A
Home Equity Mortgage Loan Asset-Backed Trust Series INABS 2007-A
43710BAD8
1107828.26000000
PA
USD
759551.32000000
0.031165810687
Long
ABS-MBS
CORP
US
N
2
2037-04-25
Floating
3.32400000
N
N
N
N
N
N
SPRINT SPECTRUM / SPEC I
N/A
Sprint Spectrum Co LLC / Sprint Spectrum Co II LLC / Sprint Spectrum Co III LLC
85208NAD2
915625.00000000
PA
USD
902997.43000000
0.037051672762
Long
DBT
CORP
US
N
2
2025-03-20
Fixed
4.73800000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae REMICS
3136AYN82
242153.02000000
PA
USD
237397.35000000
0.009740857099
Long
ABS-MBS
USGSE
US
N
2
2047-11-25
Floating
2.72314000
N
N
N
N
N
N
VIATRIS INC
254900ZZTSW7NL773X71
Viatris Inc
92556VAD8
1940000.00000000
PA
USD
1443886.52000000
0.059245363350
Long
DBT
CORP
US
N
2
2030-06-22
Fixed
2.70000000
N
N
N
N
N
N
SVB FINANCIAL GROUP
549300D2KJ20JMXE7542
SVB Financial Group
78486QAJ0
2110000.00000000
PA
USD
1604582.63000000
0.065839025174
Long
DBT
CORP
US
N
2
N/A
Fixed
4.00000000
N
N
N
N
N
N
American Money Management Corp
549300I1YCI83LUUYL82
AMMC CLO 16 Ltd
00176JAT3
735961.07000000
PA
USD
727412.88000000
0.029847110409
Long
ABS-CBDO
CORP
KY
N
2
2029-04-14
Floating
3.46300000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36290SXD8
1719.89000000
PA
USD
1719.24000000
0.000070543631
Long
ABS-MBS
USGA
US
N
2
2034-04-20
Fixed
6.00000000
N
N
N
N
N
N
NATIONWIDE BLDG SOCIETY
549300XFX12G42QIKN82
Nationwide Building Society
63861VAF4
800000.00000000
PA
USD
688568.88000000
0.028253268468
Long
DBT
CORP
GB
N
2
2028-02-16
Fixed
2.97200000
N
N
N
N
N
N
ARES CLO Ltd
N/A
Ares XL CLO Ltd
04016GBB3
1876640.35000000
PA
USD
1842645.01000000
0.075607169698
Long
ABS-CBDO
CORP
KY
N
2
2029-01-15
Floating
3.38200000
N
N
N
N
N
N
UBS GROUP AG
549300SZJ9VS8SGXAN81
UBS Group AG
902613AC2
400000.00000000
PA
USD
342104.92000000
0.014037204453
Long
DBT
CORP
CH
N
2
2027-01-30
Fixed
1.36400000
N
N
N
N
N
N
CLP POWER HK FINANCING
254900SBJOP9O3YV1271
CLP Power Hong Kong Financing Ltd
000000000
240000.00000000
PA
USD
237866.40000000
0.009760103097
Long
DBT
CORP
VG
N
2
2023-04-26
Fixed
2.87500000
N
N
N
N
N
N
INTERCONTINENTAL EXCHANGE, INC.
5493000F4ZO33MV32P92
CDS VALEO SA SNR SE
000000000
1.00000000
NC
-27879.30000000
-0.00114393980
N/A
DCR
CORP
US
N
2
INTERCONTINENTAL EXCHANGE, INC.
5493000F4ZO33MV32P92
Valeo SA
VALEO SA
Y
Default Event
2026-06-20
0.00000000
USD
-5431.50000000
USD
400000.00000000
EUR
-22447.80000000
N
N
N
Ares Euro CLO
635400XCOLUI5RNVIZ11
Ares European CLO XII DAC
000000000
300000.00000000
PA
278169.94000000
0.011413832693
Long
ABS-CBDO
CORP
IE
N
2
2032-04-20
Floating
0.89700000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31419H4A7
9003.91000000
PA
USD
8582.59000000
0.000352159713
Long
ABS-MBS
USGSE
US
N
2
2040-10-01
Fixed
4.00000000
N
N
N
N
N
N
REPUBLIC OF COLOMBIA
549300MHDRBVRF6B9117
Colombia Government International Bond
195325DQ5
200000.00000000
PA
USD
124058.04000000
0.005090333315
Long
DBT
NUSS
CO
N
2
2049-05-15
Fixed
5.20000000
N
N
N
N
N
N
BNP PARIBAS
R0MUWSFPU8MPRO8K5P83
BNP Paribas SA
09659W2M5
1800000.00000000
PA
USD
1455078.60000000
0.059704595316
Long
DBT
CORP
FR
N
2
2028-09-30
Fixed
1.90400000
N
N
N
N
N
N
NEXTERA ENERGY CAPITAL
UMI46YPGBLUE4VGNNT48
NextEra Energy Capital Holdings Inc
65339KBU3
2800000.00000000
PA
USD
2757716.92000000
0.113154280948
Long
DBT
CORP
US
N
2
2023-03-01
Fixed
0.65000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140QFCQ0
1432798.26000000
PA
USD
1211168.30000000
0.049696499702
Long
ABS-MBS
USGSE
US
N
2
2050-10-01
Fixed
2.50000000
N
N
N
N
N
N
Asset Backed Funding Certifica
N/A
ABFC 2006-HE1 Trust
00075WAD1
259256.22000000
PA
USD
155758.49000000
0.006391062044
Long
ABS-MBS
CORP
US
N
2
2037-01-25
Floating
3.30400000
N
N
N
N
N
N
AERCAP IRELAND CAP/GLOBA
N/A
AerCap Ireland Capital DAC / AerCap Global Aviation Trust
00774MAR6
745000.00000000
PA
USD
670125.86000000
0.027496516877
Long
DBT
CORP
IE
N
2
2027-10-15
Fixed
4.62500000
N
N
N
N
N
N
J.P. MORGAN SECURITIES LLC
ZBUT11V806EZRVTWT807
DKK/USD FORWARD
000000000
1.00000000
NC
USD
91823.02000000
0.003767670179
N/A
DFE
CORP
US
N
2
J.P. MORGAN SECURITIES LLC
ZBUT11V806EZRVTWT807
-33875000.00000000
DKK
4557919.61000000
USD
2022-10-03
91823.02000000
N
N
N
PTTEP TREASURY CENTER CO
2549006WFOUPZX6TZG08
PTTEP Treasury Center Co Ltd
69371MAF4
695000.00000000
PA
USD
615286.91000000
0.025246372233
Long
DBT
CORP
TH
N
2
2027-06-10
Fixed
2.58700000
N
N
N
N
N
N
GCC SAB DE CV
254900WY9XL8033CKX68
GCC SAB de CV
36165RAC9
630000.00000000
PA
USD
510741.00000000
0.020956658091
Long
DBT
CORP
MX
N
2
2032-04-20
Fixed
3.61400000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140XCLU0
2139386.04000000
PA
USD
1810263.75000000
0.074278506061
Long
ABS-MBS
USGSE
US
N
2
2051-08-01
Fixed
2.50000000
N
N
N
N
N
N
PT PERTAMINA (PERSERO)
254900NDAKGNZ2IBBL45
Pertamina Persero PT
69370PAD3
197000.00000000
PA
USD
171437.16000000
0.007034387187
Long
DBT
CORP
ID
N
2
2029-07-30
Fixed
3.65000000
N
N
N
N
N
N
SKYMILES IP LTD
2549008L7P4I8VB90936
SkyMiles IP Ltd
24736CBS2
500000.00000000
PA
USD
502465.50000000
0.020617098855
Long
LON
CORP
KY
N
2
2027-10-20
Floating
7.37840000
N
N
N
N
N
N
BANK OF AMERICA CORP
9DJT3UXIJIZJI4WXO774
Bank of America Corp
06055HAB9
865000.00000000
PA
USD
819587.50000000
0.033629207394
Long
DBT
CORP
US
N
2
N/A
Fixed
6.12500000
N
N
N
N
N
N
INTERCONTINENTAL EXCHANGE, INC.
5493000F4ZO33MV32P92
CDS AT&T INC
000000000
1.00000000
NC
USD
-4912.44000000
-0.00020156659
N/A
DCR
CORP
US
N
2
INTERCONTINENTAL EXCHANGE, INC.
5493000F4ZO33MV32P92
AT&T INC
AT&T Inc
Y
Default Event
2024-06-20
17733.86000000
USD
0.00000000
USD
1800000.00000000
USD
-22646.30000000
N
N
N
CITIGROUP INC
6SHGI4ZSSLCXXQSBB395
Citigroup Inc
172967LZ2
1800000.00000000
PA
USD
1786294.08000000
0.073294985688
Long
DBT
CORP
US
N
2
2024-06-01
Fixed
4.04400000
N
N
N
N
N
N
JACKSON FINANCIAL INC
213800WXW2KG1N4CO374
Jackson Financial Inc
46817MAN7
1909000.00000000
PA
USD
1197300.56000000
0.049127480403
Long
DBT
CORP
US
N
2
2051-11-23
Fixed
4.00000000
N
N
N
N
N
N
FELLS POINT FUNDING TR
N/A
Fells Point Funding Trust
314382AA0
850000.00000000
PA
USD
758395.08000000
0.031118367998
Long
DBT
CORP
US
N
2
2027-01-31
Fixed
3.04600000
N
N
N
N
N
N
NISSAN MOTOR CO
353800DRBDH1LUTNAY26
Nissan Motor Co Ltd
654744AA9
1800000.00000000
PA
USD
1750820.94000000
0.071839456435
Long
DBT
CORP
JP
N
2
2023-09-15
Fixed
3.04300000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140X6Q38
1859145.74000000
PA
USD
1708002.95000000
0.070082554254
Long
ABS-MBS
USGSE
US
N
2
2047-07-01
Fixed
3.50000000
N
N
N
N
N
N
DAE FUNDING LLC
635400SZTPQL3Y1P2C76
DAE Funding LLC
23371DAH7
1500000.00000000
PA
USD
1406608.95000000
0.057715794960
Long
DBT
CORP
US
N
2
2024-02-15
Fixed
1.62500000
N
N
N
N
N
N
Freddie Mac - STACR
N/A
Freddie Mac STACR REMIC Trust 2021-DNA1
35564KAH2
6183430.14000000
PA
USD
5906743.90000000
0.242364745237
Long
ABS-MBS
CORP
US
N
2
2051-01-25
Floating
4.08069000
N
N
N
N
N
N
Bank
N/A
BANK 2019-BNK20
06540AAD3
8000000.00000000
PA
USD
6932415.20000000
0.284449956232
Long
ABS-MBS
CORP
US
N
2
2062-09-15
Fixed
3.01100000
N
N
N
N
N
N
PACIFIC GAS & ELECTRIC
1HNPXZSMMB7HMBMVBS46
Pacific Gas and Electric Co
694308JT5
420000.00000000
PA
USD
321069.59000000
0.013174085537
Long
DBT
CORP
US
N
2
2031-06-01
Fixed
3.25000000
N
N
N
N
N
N
GENERAL MOTORS CO
54930070NSV60J38I987
General Motors Co
37045VAZ3
500000.00000000
PA
USD
446962.50000000
0.018339706998
Long
DBT
CORP
US
N
2
2032-10-15
Fixed
5.60000000
N
N
N
N
N
N
HSBC HOLDINGS PLC
MLU0ZO3ML4LN2LL2TL39
HSBC Holdings PLC
404280CM9
2200000.00000000
PA
USD
1841106.08000000
0.075544024523
Long
DBT
CORP
GB
N
2
2027-05-24
Fixed
1.58900000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
31296QAD2
14112.85000000
PA
USD
14559.68000000
0.000597410890
Long
ABS-MBS
USGSE
US
N
2
2033-11-01
Fixed
6.50000000
N
N
N
N
N
N
UNITED MEXICAN STATES
254900EGTWEU67VP6075
Mexico Government International Bond
91087BAS9
225000.00000000
PA
USD
155782.40000000
0.006392043116
Long
DBT
NUSS
MX
N
2
2052-02-12
Fixed
4.40000000
N
N
N
N
N
N
Palmer Square Loan Funding Ltd
N/A
Palmer Square Loan Funding 2021-3 Ltd
69702BAA9
556104.40000000
PA
USD
545340.44000000
0.022376337800
Long
ABS-CBDO
CORP
KY
N
2
2029-07-20
Floating
3.50986000
N
N
N
N
N
N
US TREASURY N/B
254900HROIFWPRGM1V77
United States Treasury Note/Bond
912828W71
2010000.00000000
PA
USD
1946637.97000000
0.079874195268
Long
DBT
UST
US
N
2
2024-03-31
Fixed
2.12500000
N
N
N
N
N
N
CHICAGO IL TRANSIT AUTH SALES
N/A
Chicago Transit Authority Sales & Transfer Tax Receipts Revenue
167725AC4
1800000.00000000
PA
USD
2024262.00000000
0.083059254342
Long
DBT
MUN
US
N
2
2040-12-01
Fixed
6.89900000
N
N
N
N
N
N
ONEOK INC
2T3D6M0JSY48PSZI1Q41
ONEOK Inc
682680AR4
2840000.00000000
PA
USD
2877680.84000000
0.118076624866
Long
DBT
CORP
US
N
2
2023-09-01
Fixed
7.50000000
N
N
N
N
N
N
REALPAGE INC
5493001RSFZX4122A604
RealPage Inc
75605VAD4
992500.00490000
PA
USD
931399.72000000
0.038217071820
Long
LON
CORP
US
N
2
2028-04-22
Floating
6.33400000
N
N
N
N
N
N
DOMINICAN REPUBLIC
254900EHU7Q8FGVPI369
Dominican Republic International Bond
25714PEP9
200000.00000000
PA
USD
172899.24000000
0.007094379062
Long
DBT
NUSS
DO
N
2
2029-02-22
Fixed
5.50000000
N
N
N
N
N
N
REPUBLIC OF ANGOLA
549300QHR2R3J8JSGK83
Angolan Government International Bond
000000000
200000.00000000
PA
USD
158176.00000000
0.006490256999
Long
DBT
NUSS
AO
N
2
2028-05-09
Fixed
8.25000000
N
N
N
N
N
N
Voya CLO Ltd
549300JHU3YI1LLL3V27
Voya CLO 2014-4 Ltd
92914RAY8
842320.69000000
PA
USD
823248.86000000
0.033779439840
Long
ABS-CBDO
CORP
KY
N
2
2031-07-14
Floating
3.58300000
N
N
N
N
N
N
Countrywide Asset-Backed Certi
N/A
CWABS Asset-Backed Certificates Trust 2005-2
126673C26
4200000.00000000
PA
USD
4012648.92000000
0.164646487081
Long
ABS-MBS
CORP
US
N
2
2035-08-25
Floating
5.03400000
N
N
N
N
N
N
NEWMONT CORP
549300VSP3RIX7FGDZ51
Newmont Corp
651639AX4
3850000.00000000
PA
USD
3191795.92000000
0.130965353856
Long
DBT
CORP
US
N
2
2029-10-01
Fixed
2.80000000
N
N
N
N
N
N
SUMITOMO MITSUI FINL GRP
35380028MYWPB6AUO129
Sumitomo Mitsui Financial Group Inc
86562MCJ7
2300000.00000000
PA
USD
1724042.28000000
0.070740677951
Long
DBT
CORP
JP
N
2
2031-09-17
Fixed
2.22200000
N
N
N
N
N
N
CHARTER COMMUNICATIONS OPER
549300TPZNMN50BJ3745
Charter Communications Operating LLC
16117LBX6
476260.41380000
PA
USD
459166.00000000
0.018840439419
Long
LON
CORP
US
N
2
2027-02-01
Floating
4.83030000
N
N
N
N
N
N
TENCENT HOLDINGS LTD
254900N4SLUMW4XUYY11
Tencent Holdings Ltd
88032WBB1
400000.00000000
PA
USD
288034.12000000
0.011818578441
Long
DBT
CORP
KY
N
2
2041-04-22
Fixed
3.68000000
N
N
N
N
N
N
Credit Suisse Mortgage Trust
N/A
CSMC Mortgage-Backed Trust 2007-3
12638PCB3
74580.03000000
PA
USD
10163.83000000
0.000417040946
Long
ABS-MBS
CORP
US
N
2
2037-04-25
Floating
3.66600000
N
N
N
N
N
N
DAE FUNDING LLC
635400SZTPQL3Y1P2C76
DAE Funding LLC
23371DAJ3
200000.00000000
PA
USD
182882.26000000
0.007504001037
Long
DBT
CORP
US
N
2
2024-08-01
Fixed
1.55000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38376RBH8
4110510.81000000
PA
USD
4068905.04000000
0.166954780859
Long
ABS-MBS
USGA
US
N
2
2065-05-20
Floating
2.95729000
N
N
N
N
N
N
STATE OF ISRAEL
213800T8ZHTFZIBYPE21
Israel Government International Bond
46513JB34
1200000.00000000
PA
USD
1064940.00000000
0.043696479170
Long
DBT
NUSS
IL
N
2
2030-07-03
Fixed
2.75000000
N
N
N
N
N
N
PACTIV EVERGREEN GROUP
5493002QNV81KCX40V06
Pactiv Evergreen Group Holdings Inc
76173FAW7
466687.53260000
PA
USD
448020.03000000
0.018383099431
Long
LON
CORP
US
N
2
2026-02-05
Floating
6.39270000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31404P7H8
4257.45000000
PA
USD
4285.29000000
0.000175833460
Long
ABS-MBS
USGSE
US
N
2
2034-04-01
Fixed
5.00000000
N
N
N
N
N
N
TOBACCO SETTLEMENT FIN AUTH WV
N/A
Tobacco Settlement Finance Authority
88880LAK9
300000.00000000
PA
USD
253710.00000000
0.010410195626
Long
DBT
MUN
US
N
2
2028-06-01
Fixed
2.35100000
N
N
N
N
N
N
GS Mortgage Securities Trust
N/A
GS Mortgage Securities Trust 2019-GC42
36257UAL1
5000000.00000000
PA
USD
4336700.00000000
0.177942908727
Long
ABS-MBS
CORP
US
N
2
2052-09-01
Fixed
3.00050000
N
N
N
N
N
N
PEDERNALES ELECTRIC COOP
N/A
Pedernales Electric Cooperative Inc
705322AK1
620000.00000000
PA
USD
626752.54000000
0.025716828468
Long
DBT
CORP
US
N
2
2032-11-15
Fixed
6.20200000
N
N
N
N
N
N
TELENET FINANCING USD LLC
N/A
Telenet Financing USD LLC
000000000
545000.00000000
PA
USD
520475.00000000
0.021356062309
Long
LON
CORP
US
N
2
2028-04-30
Floating
5.32990000
N
N
N
N
N
N
AKBANK TAS
789000TUMN63Z28TJ497
Akbank TAS
00971YAG5
610000.00000000
PA
USD
545276.56000000
0.022373716684
Long
DBT
CORP
TR
N
2
2026-02-06
Fixed
6.80000000
N
N
N
N
N
N
NXP BV/NXP FDG/NXP USA
N/A
NXP BV / NXP Funding LLC / NXP USA Inc
62954HAU2
1740000.00000000
PA
USD
1145051.72000000
0.046983612816
Long
DBT
CORP
N/A
N
2
2041-05-11
Fixed
3.25000000
N
N
N
N
N
N
ENERGY TRANSFER LP
MTLVN9N7JE8MIBIJ1H73
Energy Transfer LP
29278NAG8
655000.00000000
PA
USD
616856.53000000
0.025310776677
Long
DBT
CORP
US
N
2
2029-04-15
Fixed
5.25000000
N
N
N
N
N
N
Aqueduct European CLO
635400YJYBL2NFWMSU86
Aqueduct European CLO 1-2017 DAC
000000000
1728522.41000000
PA
1623312.29000000
0.066607538140
Long
ABS-CBDO
CORP
IE
N
2
2030-07-20
Floating
0.68700000
N
N
N
N
N
N
US TREASURY N/B
254900HROIFWPRGM1V77
United States Treasury Note/Bond
9128283J7
11130000.00000000
PA
USD
10641323.99000000
0.436633417918
Long
DBT
UST
US
N
2
2024-11-30
Fixed
2.12500000
N
N
N
N
N
N
LYB INT FINANCE III
N/A
LYB International Finance III LLC
50249AAH6
2005000.00000000
PA
USD
1378158.20000000
0.056548407497
Long
DBT
CORP
US
N
2
2040-10-01
Fixed
3.37500000
N
N
N
N
N
N
FORD MOTOR CREDIT CO LLC
UDSQCVRUX5BONN0VY111
Ford Motor Credit Co LLC
000000000
200000.00000000
PA
172162.25000000
0.007064138985
Long
DBT
CORP
US
N
2
2025-11-25
Fixed
2.33000000
N
N
N
N
N
N
DAE FUNDING LLC
635400SZTPQL3Y1P2C76
DAE Funding LLC
000000000
2700000.00000000
PA
USD
2297921.40000000
0.094288011147
Long
DBT
CORP
US
N
2
2028-03-20
Fixed
3.37500000
N
N
N
N
N
N
GOLDMAN SACHS BANK USA
KD3XUN7C6T14HNAYLU02
SWOP IRS EUR
000000000
-4200000.00000000
NC
-385.50000000
-0.00001581778
N/A
DIR
CORP
US
N
2
GOLDMAN SACHS BANK USA
KD3XUN7C6T14HNAYLU02
Call
Written
GOLDMAN SACHS BANK USA
KD3XUN7C6T14HNAYLU02
GOLDMAN SACHS BANK USA
KD3XUN7C6T14HNAYLU02
IRS EUR
000000000
0.00000000
NC
0.00000000
0.00000000
DIR
CORP
US
US
2024-04-28
0.00000000
USD
0.00000000
USD
0.00000000
EUR
-4200000.00000000
USD
0.70000000
EUR
2023-04-26
XXXX
7012.45000000
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140X4W69
122509.95000000
PA
USD
120030.89000000
0.004925091821
Long
ABS-MBS
USGSE
US
N
2
2046-05-01
Fixed
4.50000000
N
N
N
N
N
N
AMERICAN TOWER CORP
5493006ORUSIL88JOE18
American Tower Corp
03027XBV1
300000.00000000
PA
USD
274724.64000000
0.011272465593
Long
DBT
CORP
US
N
2
2027-03-15
Fixed
3.65000000
N
N
N
N
N
N
RIO OIL FINANCE TRUST
549300V5D1W52HY8NO65
Rio Oil Finance Trust Series 2014-1
000000000
72583.14000000
PA
USD
73367.53000000
0.003010406921
Long
DBT
CORP
US
N
2
2024-07-06
Fixed
9.25000000
N
N
N
N
N
N
INDIKA ENERGY CAPITAL IV
254900LQ197HY24XVH34
Indika Energy Capital IV Pte Ltd
45569GAA0
645000.00000000
PA
USD
604919.89000000
0.024820994021
Long
DBT
CORP
SG
N
2
2025-10-22
Fixed
8.25000000
N
N
N
N
N
N
Freddie Mac - STACR
N/A
Freddie Mac STACR REMIC Trust 2022-DNA1
35564KQC6
3000000.00000000
PA
USD
2617495.20000000
0.107400721624
Long
ABS-MBS
CORP
US
N
2
2042-01-25
Floating
4.78069000
N
N
N
N
N
N
QNB FINANCE LTD
549300MY0DXTHQEX5O57
QNB Finance Ltd
000000000
1160000.00000000
PA
USD
1090202.80000000
0.044733059085
Long
DBT
CORP
KY
N
2
2025-05-12
Fixed
2.62500000
N
N
N
N
N
N
Residential Funding Mtg Sec I
N/A
RFMSI Series 2004-S9 Trust
76111XRG0
28.10000000
PA
USD
30.84000000
0.000001265422
Long
ABS-MBS
CORP
US
N
2
2019-12-25
Fixed
4.75000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31410TWV3
6383.09000000
PA
USD
6491.56000000
0.000266360843
Long
ABS-MBS
USGSE
US
N
2
2036-09-01
Fixed
6.00000000
N
N
N
N
N
N
BNP PARIBAS
R0MUWSFPU8MPRO8K5P83
USD/BRL FORWARD
000000000
1.00000000
NC
USD
94691.02000000
0.003885349581
N/A
DFE
CORP
US
N
2
BNP PARIBAS
R0MUWSFPU8MPRO8K5P83
-17759847.95000000
BRL
3383443.00000000
USD
2022-10-04
94691.02000000
N
N
N
BMO 2022-C1 Mortgage Trust
N/A
BMO 2022-C1 Mortgage Trust
05609MCC7
600000.00000000
PA
USD
518375.40000000
0.021269911796
Long
ABS-MBS
CORP
US
N
2
2055-02-15
Variable
3.37400000
N
N
N
N
N
N
PHOSAGRO(PHOS BOND FUND)
635400F8A3KGJIIBIK95
Phosagro OAO Via Phosagro Bond Funding DAC
71922LAB5
380000.00000000
PA
USD
230840.50000000
0.009471817285
Long
DBT
CORP
IE
N
2
2023-04-24
Fixed
3.94900000
N
N
N
N
N
N
TCI-Symphony CLO
N/A
TCI-Symphony CLO 2017-1 Ltd
87232BAF9
1000000.00000000
PA
USD
980326.00000000
0.040224608559
Long
ABS-CBDO
CORP
KY
N
2
2030-07-15
Floating
3.44200000
N
N
N
N
N
N
BANK OF AMERICA CORP
9DJT3UXIJIZJI4WXO774
Bank of America Corp
06051GHQ5
3400000.00000000
PA
USD
3030709.68000000
0.124355684268
Long
DBT
CORP
US
N
2
2030-02-07
Fixed
3.97400000
N
N
N
N
N
N
Freddie Mac - STACR
N/A
Freddie Mac STACR REMIC Trust 2021-HQA2
35564KFV6
5000000.00000000
PA
USD
4439779.50000000
0.182172453325
Long
ABS-MBS
CORP
US
N
2
2033-12-25
Floating
4.33069000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140JLLH5
2000332.20000000
PA
USD
1944233.68000000
0.079775542754
Long
ABS-MBS
USGSE
US
N
2
2049-01-01
Fixed
4.50000000
N
N
N
N
N
N
MERCADOLIBRE INC
549300DKPDN9M5S8GB14
MercadoLibre Inc
58733RAF9
480000.00000000
PA
USD
348820.80000000
0.014312769565
Long
DBT
CORP
US
N
2
2031-01-14
Fixed
3.12500000
N
N
N
N
N
N
SOUTHERN CALIF GAS CO
XY0N0J73VHV5F4CUJV89
Southern California Gas Co
842434CW0
2600000.00000000
PA
USD
2376717.20000000
0.097521150134
Long
DBT
CORP
US
N
2
2027-04-15
Fixed
2.95000000
N
N
N
N
N
N
SS&C TECHNOLOGIES INC
549300KY09TR3J12JU49
SS&C Technologies Inc
78466DBE3
144537.40370000
PA
USD
140237.42000000
0.005754203525
Long
LON
CORP
US
N
2
2025-04-16
Floating
4.89270000
N
N
N
N
N
N
NEW YORK CITY NY TRANSITIONAL
N/A
New York City Transitional Finance Authority Future Tax Secured Revenue
64971M4P4
700000.00000000
PA
USD
716121.00000000
0.029383783462
Long
DBT
MUN
US
N
2
2037-08-01
Fixed
5.50800000
N
N
N
N
N
N
Mountain View CLO Ltd
549300RHYK4B5L898W39
Mountain View CLO X Ltd
62432CAQ4
456182.38000000
PA
USD
453094.94000000
0.018591332477
Long
ABS-CBDO
CORP
KY
N
2
2027-10-13
Floating
3.27514000
N
N
N
N
N
N
IRON MOUNTAIN INC
SQL3F6CKNNBM3SQGHX24
Iron Mountain Inc
46284VAJ0
966000.00000000
PA
USD
801451.56000000
0.032885055869
Long
DBT
CORP
US
N
2
2030-07-15
Fixed
5.25000000
N
N
N
N
N
N
CSC HOLDINGS LLC
3HG2WD2W22M120IUNG49
CSC Holdings LLC
64072UAE2
307937.57960000
PA
USD
295042.69000000
0.012106153171
Long
LON
CORP
US
N
2
2025-07-17
Floating
5.26840000
N
N
N
N
N
N
Towd Point Mortgage Trust
N/A
Towd Point Mortgage Trust 2018-1
89176EAA8
165530.19000000
PA
USD
160475.01000000
0.006584589678
Long
ABS-MBS
CORP
US
N
2
2058-01-25
Variable
3.00000000
N
N
N
N
N
N
Venture CDO Ltd
N/A
Venture 38 CLO Ltd
92332NAS4
2900000.00000000
PA
USD
2808128.00000000
0.115222741807
Long
ABS-CBDO
CORP
KY
N
2
2032-07-30
Floating
3.94229000
N
N
N
N
N
N
AERCAP IRELAND CAP/GLOBA
N/A
AerCap Ireland Capital DAC / AerCap Global Aviation Trust
00774MAL9
150000.00000000
PA
USD
140106.68000000
0.005748839018
Long
DBT
CORP
IE
N
2
2026-04-03
Fixed
4.45000000
N
N
N
N
N
N
KANSAS CITY SOUTHERN
5493008C12PZMWP3WY03
Kansas City Southern/Old
485170AV6
500000.00000000
PA
USD
494438.55000000
0.020287738089
Long
DBT
CORP
US
N
2
2023-05-15
Fixed
3.00000000
N
N
N
N
N
N
Adjustable Rate Mortgage Trust
N/A
Adjustable Rate Mortgage Trust 2005-10
007036TH9
39200.62000000
PA
USD
35606.11000000
0.001460985261
Long
ABS-MBS
CORP
US
N
2
2036-01-25
Variable
2.90861800
N
N
N
N
N
N
UNITED AIRLINES INC
K1OQBWM7XEOO08LDNP29
United Airlines Inc
90932LAH0
4961000.00000000
PA
USD
4117481.17000000
0.168947950289
Long
DBT
CORP
US
N
2
2029-04-15
Fixed
4.62500000
N
N
N
N
N
N
Toro European CLO
635400B4VLIGNRNR9O61
Toro European CLO 7 DAC
000000000
1900000.00000000
PA
1764936.47000000
0.072418643021
Long
ABS-CBDO
CORP
IE
N
2
2034-02-15
Floating
1.13100000
N
N
N
N
N
N
Wells Fargo Commercial Mortgag
549300DNBJ7A0SEFVK31
Wells Fargo Commercial Mortgage Trust 2016-BNK1
95000GAY0
1220000.00000000
PA
USD
1102352.23000000
0.045231572912
Long
ABS-MBS
CORP
US
N
2
2049-08-15
Fixed
2.65200000
N
N
N
N
N
N
ANTOFAGASTA PLC
213800MY6QVH4FVLD628
Antofagasta PLC
03718NAB2
355000.00000000
PA
USD
328375.00000000
0.013473840167
Long
DBT
CORP
GB
N
2
2032-05-13
Fixed
5.62500000
N
N
N
N
N
N
STANDARD INDUSTRIES INC
54930064UHXCIUWVI755
Standard Industries Inc/NJ
85350EAB2
3730463.69000000
PA
USD
3629741.17000000
0.148935066229
Long
LON
CORP
US
N
2
2028-09-22
Floating
6.68270000
N
N
N
N
N
N
GOLDMAN SACHS BANK USA
KD3XUN7C6T14HNAYLU02
SWOP IRS USD
000000000
-2600000.00000000
NC
USD
-37905.88000000
-0.00155534912
N/A
DIR
CORP
US
N
2
GOLDMAN SACHS BANK USA
KD3XUN7C6T14HNAYLU02
Put
Written
GOLDMAN SACHS BANK USA
KD3XUN7C6T14HNAYLU02
GOLDMAN SACHS BANK USA
KD3XUN7C6T14HNAYLU02
IRS USD
000000000
0.00000000
NC
USD
0.00000000
0.00000000
DIR
CORP
US
THE SECURED OVERNIGHT FINANCING RATE
THE SECURED OVERNIGHT FINANCING RATE
2024-10-17
0.00000000
USD
0.00000000
USD
0.00000000
USD
-2600000.00000000
USD
2.92000000
USD
2023-10-13
XXXX
-21915.88000000
N
N
N
AXIAN TELECOM
984500C6FIA50FZSE337
Axian Telecom
05466AAA1
380000.00000000
PA
USD
346750.00000000
0.014227800770
Long
DBT
CORP
MU
N
2
2027-02-16
Fixed
7.37500000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31416BZF8
2838.68000000
PA
USD
2983.70000000
0.000122426789
Long
ABS-MBS
USGSE
US
N
2
2038-12-01
Fixed
6.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140X72U2
351048.15000000
PA
USD
353811.78000000
0.014517558806
Long
ABS-MBS
USGSE
US
N
2
2047-07-01
Fixed
5.00000000
N
N
N
N
N
N
US BANCORP
N1GZ7BBF3NP8GI976H15
US Bancorp
91159HJB7
950000.00000000
PA
USD
715506.66000000
0.029358575943
Long
DBT
CORP
US
N
2
2036-11-03
Fixed
2.49100000
N
N
N
N
N
N
JP Morgan Mortgage Trust
N/A
JP Morgan Mortgage Trust 2016-4
46647JAZ3
180592.42000000
PA
USD
160050.32000000
0.006567163853
Long
ABS-MBS
CORP
US
N
2
2046-10-25
Variable
3.80460000
N
N
N
N
N
N
FIFTH THIRD BANCORP
THRNG6BD57P9QWTQLG42
Fifth Third Bancorp
316773DA5
1201000.00000000
PA
USD
1069611.20000000
0.043888147239
Long
DBT
CORP
US
N
2
2027-05-05
Fixed
2.55000000
N
N
N
N
N
N
Sequoia Mortgage Trust
N/A
Sequoia Mortgage Trust 2017-5
81746DCC2
2880703.97000000
PA
USD
2471505.44000000
0.101410488834
Long
ABS-MBS
CORP
US
N
2
2047-08-25
Variable
3.79832400
N
N
N
N
N
N
EATON CORP
0NZWDMRCE180888QQE14
Eaton Corp
278062AH7
2055000.00000000
PA
USD
1859644.10000000
0.076304674141
Long
DBT
CORP
US
N
2
2033-03-15
Fixed
4.15000000
N
N
N
N
N
N
AMENTUM GOVERNMENT SERVI
5493008CT6B5L54YSE94
Amentum Government Services Holdings LLC
57776DAE3
3461325.00000000
PA
USD
3317101.97000000
0.136106895354
Long
LON
CORP
US
N
2
2029-02-15
Floating
7.01840000
N
N
N
N
N
N
GSK CONSUMER HEALTHCARE
5493004B26DRJNN0OV17
GSK Consumer Healthcare Capital UK PLC
36264NAA2
500000.00000000
PA
USD
472410.75000000
0.019383896273
Long
DBT
CORP
GB
N
2
2025-03-24
Fixed
3.12500000
N
N
N
N
N
N
Credit Suisse Mortgage Trust
N/A
CSMC Mortgage-Backed Trust 2007-1
126378BN7
145178.92000000
PA
USD
89578.46000000
0.003675571686
Long
ABS-MBS
CORP
US
N
2
2037-02-25
Fixed
6.00000000
N
N
N
N
N
N
REPUBLIC OF KAZAKHSTAN
5493007OEK8EF02UO833
Kazakhstan Government International Bond
486661AH4
207000.00000000
PA
USD
192311.28000000
0.007890891356
Long
DBT
NUSS
KZ
N
2
2045-07-21
Fixed
6.50000000
N
N
N
N
N
N
CITIGROUP INC.
6SHGI4ZSSLCXXQSBB395
GBP/USD FORWARD
000000000
1.00000000
NC
USD
-19630.44000000
-0.00080547365
N/A
DFE
CORP
US
N
2
CITIGROUP INC.
6SHGI4ZSSLCXXQSBB395
-1259106.86000000
USD
1110000.00000000
GBP
2022-10-04
-19630.44000000
N
N
N
JPMDB Commercial Mortgage Secu
N/A
JPMDB Commercial Mortgage Securities Trust 2016-C2
46590LAT9
1640000.00000000
PA
USD
1522526.64000000
0.062472114496
Long
ABS-MBS
CORP
US
N
2
2049-06-15
Fixed
3.14390000
N
N
N
N
N
N
J.P. MORGAN SECURITIES LLC
ZBUT11V806EZRVTWT807
CDS MEXICO
000000000
1.00000000
NC
USD
39210.65000000
0.001608886276
N/A
DCR
CORP
US
N
2
J.P. MORGAN SECURITIES LLC
ZBUT11V806EZRVTWT807
UNITED MEXICAN STATES
Mexico Government International Bond
Y
Default Event
2026-06-22
11613.88000000
USD
0.00000000
USD
2085000.00000000
USD
27596.77000000
N
N
N
Man GLG Euro CLO
635400WPMITSRLC5LX57
Man GLG Euro CLO V DAC
000000000
1900000.00000000
PA
1783078.86000000
0.073163059201
Long
ABS-CBDO
CORP
IE
N
2
2031-12-15
Floating
1.69000000
N
N
N
N
N
N
NXP BV/NXP FUNDING LLC
N/A
NXP BV / NXP Funding LLC
62947QBC1
440000.00000000
PA
USD
425474.59000000
0.017458017878
Long
DBT
CORP
N/A
N
2
2028-12-01
Fixed
5.55000000
N
N
N
N
N
N
MORGAN STANLEY & CO. INTERNATIONAL PLC
4PQUHN3JPFGFNF3BB653
SWOP IRS USD
000000000
4800000.00000000
NC
USD
1082360.10000000
0.044411258441
N/A
DIR
CORP
GB
N
2
MORGAN STANLEY & CO. INTERNATIONAL PLC
4PQUHN3JPFGFNF3BB653
Put
Purchased
MORGAN STANLEY & CO. INTERNATIONAL PLC
4PQUHN3JPFGFNF3BB653
MORGAN STANLEY & CO. INTERNATIONAL PLC
4PQUHN3JPFGFNF3BB653
IRS USD
000000000
0.00000000
NC
USD
0.00000000
0.00000000
DIR
CORP
GB
US
2053-09-19
0.00000000
USD
0.00000000
USD
0.00000000
USD
4800000.00000000
USD
2.10200000
USD
2023-09-15
XXXX
821490.52000000
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31407FQ29
26346.61000000
PA
USD
27333.07000000
0.001121526962
Long
ABS-MBS
USGSE
US
N
2
2036-02-01
Fixed
6.50000000
N
N
N
N
N
N
BRITISH AIR 19-1 AA PTT
N/A
British Airways 2019-1 Class AA Pass Through Trust
11043XAA1
271051.91000000
PA
USD
229716.90000000
0.009425713876
Long
DBT
CORP
US
N
2
2032-12-15
Fixed
3.30000000
N
N
N
N
N
N
KINGDOM OF JORDAN
5493000JZ4MYPVMBVN50
Jordan Government International Bond
418097AK7
200000.00000000
PA
USD
184984.00000000
0.007590239358
Long
DBT
NUSS
JO
N
2
2025-07-07
Fixed
4.95000000
N
N
N
N
N
N
OFFICE CHERIFIEN DES PHO
213800D26TAPVTCVWG40
OCP SA
67091TAD7
200000.00000000
PA
USD
152439.60000000
0.006254881783
Long
DBT
CORP
MA
N
2
2031-06-23
Fixed
3.75000000
N
N
N
N
N
N
VERIZON COMMUNICATIONS
2S72QS2UO2OESLG6Y829
Verizon Communications Inc
92343VGN8
1570000.00000000
PA
USD
1205469.55000000
0.049462669335
Long
DBT
CORP
US
N
2
2032-03-15
Fixed
2.35500000
N
N
N
N
N
N
RUTAS 2 AND 7 FINANCE
N/A
Rutas 2 and 7 Finance Ltd
78319MAA1
729833.32000000
PA
USD
442300.89000000
0.018148432425
Long
DBT
CORP
KY
N
2
2036-09-30
None
0.00000000
N
N
N
N
N
N
UNITED AIR 2020-1 A PTT
N/A
United Airlines 2020-1 Class A Pass Through Trust
90931GAA7
1555363.75000000
PA
USD
1500196.86000000
0.061555881875
Long
DBT
CORP
US
N
2
2027-10-15
Fixed
5.87500000
N
N
N
N
N
N
ATHORA NETHERLANDS
724500MKKXKEVWMN9E13
Athora Netherlands NV
000000000
2100000.00000000
PA
2003197.04000000
0.082194919651
Long
DBT
CORP
NL
N
2
2024-05-17
Fixed
2.37500000
N
N
N
N
N
N
US TREASURY N/B
254900HROIFWPRGM1V77
United States Treasury Note/Bond
912810QY7
1400000.00000000
PA
USD
1135421.84000000
0.046588480836
Long
DBT
UST
US
N
2
2042-11-15
Fixed
2.75000000
N
N
N
N
N
N
TARGA RESOURCES CORP
5493003QENHHS261UR94
Targa Resources Corp
87612GAA9
300000.00000000
PA
USD
250317.42000000
0.010270991726
Long
DBT
CORP
US
N
2
2033-02-01
Fixed
4.20000000
N
N
N
N
N
N
ULTRATECH CEMENT LTD
335800PC9O9B4BQHG814
UltraTech Cement Ltd
90403YAA7
660000.00000000
PA
USD
510764.10000000
0.020957605927
Long
DBT
CORP
IN
N
2
2031-02-16
Fixed
2.80000000
N
N
N
N
N
N
CLEAN RENEWABLE POWER
2138003P9CSDW7P4MT75
Clean Renewable Power Mauritius Pte Ltd
18452NAB0
429750.00000000
PA
USD
343653.89000000
0.014100761588
Long
DBT
CORP
MU
N
2
2027-03-25
Fixed
4.25000000
N
N
N
N
N
N
MORGAN STANLEY
IGJSJL3JD5P30I6NJZ34
Morgan Stanley
61746BEF9
4000000.00000000
PA
USD
3725564.80000000
0.152866888916
Long
DBT
CORP
US
N
2
2027-01-20
Fixed
3.62500000
N
N
N
N
N
N
Wells Fargo Commercial Mortgag
5493007CD1Q2V06I4172
Wells Fargo Commercial Mortgage Trust 2014-LC18
94989AAU9
275000.00000000
PA
USD
263585.85000000
0.010815420215
Long
ABS-MBS
CORP
US
N
2
2047-12-15
Fixed
3.40500000
N
N
N
N
N
N
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
IRS EUR
000000000
1.00000000
NC
-325964.23000000
-0.01337492176
N/A
DIR
CORP
GB
N
2
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
Y
2027-04-12
0.00000000
USD
0.00000000
USD
3800000.00000000
EUR
-325964.23000000
N
N
N
Adagio CLO
6354009XYAVGD2ZFCM19
Adagio V CLO DAC
000000000
1100000.00000000
PA
1034808.82000000
0.042460140523
Long
ABS-CBDO
CORP
IE
N
2
2031-10-15
Floating
0.72000000
N
N
N
N
N
N
INTERCONTINENTAL EXCHANGE, INC.
5493000F4ZO33MV32P92
CDS GENERAL MOTORS COMPANY
000000000
1.00000000
NC
USD
58739.58000000
0.002410194784
N/A
DCR
CORP
US
N
2
INTERCONTINENTAL EXCHANGE, INC.
5493000F4ZO33MV32P92
GENERAL MOTORS CO
General Motors Co
Y
Default Event
2026-12-20
95528.61000000
USD
0.00000000
USD
600000.00000000
USD
-36789.03000000
N
N
N
BROADCOM INC
549300WV6GIDOZJTV909
Broadcom Inc
11135FBV2
816000.00000000
PA
USD
674386.30000000
0.027671330695
Long
DBT
CORP
US
N
2
2037-05-15
Fixed
4.92600000
N
N
N
N
N
N
AMERICAN MUNI PWR-OHIO INC OH
EARKGGZJJEMVD66XQ486
American Municipal Power Inc
02765UEK6
1500000.00000000
PA
USD
1997190.00000000
0.081948439569
Long
DBT
MUN
US
N
2
2050-02-15
Fixed
8.08400000
N
N
N
N
N
N
WAMU Mortgage Pass-Through Cer
N/A
WaMu Mortgage Pass-Through Certificates Series 2005-AR16 Trust
92922F6Y9
170640.97000000
PA
USD
158574.50000000
0.006506608199
Long
ABS-MBS
CORP
US
N
2
2035-12-25
Variable
2.75775100
N
N
N
N
N
N
COMCAST CORP
51M0QTTNCGUN7KFCFZ59
Comcast Corp
20030NBT7
1830000.00000000
PA
USD
1419063.44000000
0.058226825969
Long
DBT
CORP
US
N
2
2036-07-15
Fixed
3.20000000
N
N
N
N
N
N
AT&T INC
549300Z40J86GGSTL398
AT&T Inc
00206RKJ0
7070000.00000000
PA
USD
4722540.12000000
0.193774650202
Long
DBT
CORP
US
N
2
2053-09-15
Fixed
3.50000000
N
N
N
N
N
N
WELLS FARGO & COMPANY
PBLD0EJDB5FWOLXP3B76
Wells Fargo & Co
95000U2A0
5300000.00000000
PA
USD
4800048.35000000
0.196954957785
Long
DBT
CORP
US
N
2
2028-05-22
Fixed
3.58400000
N
N
N
N
N
N
Bank
N/A
BANK 2022-BNK39
06539VAJ7
2784000.00000000
PA
USD
2317195.86000000
0.095078878275
Long
ABS-MBS
CORP
US
N
2
2055-02-15
Fixed
2.92800000
N
N
N
N
N
N
AMERICAN TOWER CORP
5493006ORUSIL88JOE18
American Tower Corp
03027XAQ3
600000.00000000
PA
USD
592517.70000000
0.024312108979
Long
DBT
CORP
US
N
2
2023-06-15
Fixed
3.00000000
N
N
N
N
N
N
CITIGROUP INC
6SHGI4ZSSLCXXQSBB395
Citigroup Inc
172967LW9
3400000.00000000
PA
USD
3081345.88000000
0.126433382221
Long
DBT
CORP
US
N
2
2029-04-23
Fixed
4.07500000
N
N
N
N
N
N
Wind River CLO Ltd
549300QKM4OHZM4I5C40
THL Credit Wind River 2019-3 Clo Ltd
97314JAA3
3100000.00000000
PA
USD
3011681.00000000
0.123574901952
Long
ABS-CBDO
CORP
KY
N
2
2031-04-15
Floating
3.59200000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31418DXK3
2311648.86000000
PA
USD
1882597.35000000
0.077246488901
Long
ABS-MBS
USGSE
US
N
2
2051-03-01
Fixed
2.00000000
N
N
N
N
N
N
FS Rialto Issuer Ltd
N/A
FS Rialto 2022-Fl4 Issuer LLC
30326MAA3
3500000.00000000
PA
USD
3417536.50000000
0.140227911889
Long
ABS-CBDO
CORP
US
N
2
2039-01-19
Floating
4.18436000
N
N
N
N
N
N
INDOFOOD CBP SUKSES MAKM
254900YKZW9GRKZZN285
Indofood CBP Sukses Makmur Tbk PT
000000000
465000.00000000
PA
USD
348759.35000000
0.014310248157
Long
DBT
CORP
ID
N
2
2032-04-27
Fixed
3.54100000
N
N
N
N
N
N
ALIBABA GROUP HOLDING
5493001NTNQJDH60PM02
Alibaba Group Holding Ltd
01609WAY8
465000.00000000
PA
USD
284644.87000000
0.011679511177
Long
DBT
CORP
KY
N
2
2041-02-09
Fixed
2.70000000
N
N
N
N
N
N
ERAC USA FINANCE LLC
LTKX5ODQW6Z7BQ2K1V47
ERAC USA Finance LLC
26884TAT9
300000.00000000
PA
USD
292132.17000000
0.011986729094
Long
DBT
CORP
US
N
2
2023-11-01
Fixed
2.70000000
N
N
N
N
N
N
MORGAN STANLEY & CO. INTERNATIONAL PLC
4PQUHN3JPFGFNF3BB653
SWOP IRS USD
000000000
-24000000.00000000
NC
USD
-2088301.07000000
-0.08568689710
N/A
DIR
CORP
GB
N
2
MORGAN STANLEY & CO. INTERNATIONAL PLC
4PQUHN3JPFGFNF3BB653
Put
Written
MORGAN STANLEY & CO. INTERNATIONAL PLC
4PQUHN3JPFGFNF3BB653
MORGAN STANLEY & CO. INTERNATIONAL PLC
4PQUHN3JPFGFNF3BB653
IRS USD
000000000
0.00000000
NC
USD
0.00000000
0.00000000
DIR
CORP
GB
US
2028-09-19
0.00000000
USD
0.00000000
USD
0.00000000
USD
-24000000.00000000
USD
1.96000000
USD
2023-09-15
XXXX
-1827430.67000000
N
N
N
VMED O2 UK FINAN
213800MRR46ECNGZ7L69
Vmed O2 UK Financing I PLC
92858RAA8
1885000.00000000
PA
USD
1432600.00000000
0.058782256333
Long
DBT
CORP
GB
N
2
2031-01-31
Fixed
4.25000000
N
N
N
N
N
N
SLM Student Loan Trust
549300MTK92VF84VT259
SLM Student Loan Trust 2008-9
78445JAA5
542879.17000000
PA
USD
538577.99000000
0.022098861834
Long
ABS-O
CORP
US
N
2
2023-04-25
Floating
4.28300000
N
N
N
N
N
N
US TREASURY N/B
254900HROIFWPRGM1V77
United States Treasury Note/Bond
912810RT7
26435000.00000000
PA
USD
19059016.42000000
0.782027075714
Long
DBT
UST
US
N
2
2046-08-15
Fixed
2.25000000
N
N
N
N
N
N
UBS AG
BFM8T61CT2L1QCEMIK50
UBS AG
000000000
200000.00000000
PA
USD
195486.60000000
0.008021180672
Long
DBT
CORP
CH
N
2
2024-05-15
Fixed
5.12500000
N
N
N
N
N
N
REPUBLIC OF GUATEMALA
529900QKDFFU9UWW5315
Guatemala Government Bond
401494AV1
200000.00000000
PA
USD
179922.58000000
0.007382559833
Long
DBT
NUSS
GT
N
2
2029-08-10
Fixed
5.25000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140XBC32
553740.14000000
PA
USD
486810.73000000
0.019974754374
Long
ABS-MBS
USGSE
US
N
2
2051-05-01
Fixed
3.00000000
N
N
N
N
N
N
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
US 10YR ULTRA
000000000
-366.00000000
NC
USD
2530056.53000000
0.103812949522
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
2022-12-20
-45895339.61000000
USD
2530056.53000000
N
N
N
KINGDOM OF MOROCCO
529900F3MBW9XY5K1X07
Morocco Government International Bond
617726AK0
300000.00000000
PA
USD
247223.70000000
0.010144050610
Long
DBT
NUSS
MA
N
2
2027-12-15
Fixed
2.37500000
N
N
N
N
N
N
REALKREDIT DANMARK
549300NLOMBOWE943Y30
Realkredit Danmark A/S
000000000
2895024.72160000
PA
274143.38000000
0.011248615409
Long
DBT
CORP
DK
N
2
2053-10-01
Fixed
2.00000000
N
N
N
N
N
N
AIR LEASE CORP
5493004NW4M4P8TMMK63
Air Lease Corp
00914AAH5
670000.00000000
PA
USD
624888.10000000
0.025640327009
Long
DBT
CORP
US
N
2
2025-07-01
Fixed
3.37500000
N
N
N
N
N
N
DEUTSCHE BANK NY
7LTWFZYICNSX8D621K86
Deutsche Bank AG/New York NY
25160PAJ6
3000000.00000000
PA
USD
2915985.00000000
0.119648316163
Long
DBT
CORP
DE
N
2
2026-07-14
Fixed
6.11900000
N
N
N
N
N
N
GENERAL ELECTRIC CO
3C7474T6CDKPR9K6YT90
General Electric Co
369604BQ5
300000.00000000
PA
USD
281680.05000000
0.011557859069
Long
DBT
CORP
US
N
2
N/A
Floating
6.62257000
N
N
N
N
N
N
ZAYO GROUP HOLDINGS INC
529900Z6OTS7RT0V0I47
Zayo Group Holdings Inc
98919XAB7
2954377.15000000
PA
USD
2482731.52000000
0.101871115884
Long
LON
CORP
US
N
2
2027-03-09
Floating
6.14270000
N
N
N
N
N
N
Credit Suisse Mortgage Trust
N/A
CSMC Mortgage-Backed Trust 2007-3
12638PCQ0
33115.87000000
PA
USD
27068.22000000
0.001110659672
Long
ABS-MBS
CORP
US
N
2
2037-04-25
Fixed
5.50000000
N
N
N
N
N
N
MONGOLIA INTL BOND
N/A
Mongolia Government International Bond
60937LAF2
200000.00000000
PA
USD
148998.04000000
0.006113668142
Long
DBT
NUSS
MN
N
2
2027-07-07
Fixed
3.50000000
N
N
N
N
N
N
US TREASURY N/B
254900HROIFWPRGM1V77
United States Treasury Note/Bond
912810SU3
2700000.00000000
PA
USD
1788539.13000000
0.073387104287
Long
DBT
UST
US
N
2
2051-02-15
Fixed
1.87500000
N
N
N
N
N
N
PUERTO RICO CMWLTH
549300X44HXPLJU48U63
Commonwealth of Puerto Rico
74514L3R6
630112.00000000
PA
USD
348401.53000000
0.014295566133
Long
DBT
MUN
US
N
2
2033-07-01
None
0.00000000
N
N
N
N
N
N
CHICAGO MERCANTILE EXCHANGE INC.
SNZ2OJLFK8MNNCLQOF39
ZCS IRS BRL
000000000
1.00000000
NC
-130563.90000000
-0.00535728091
N/A
DIR
CORP
US
N
2
CHICAGO MERCANTILE EXCHANGE INC.
SNZ2OJLFK8MNNCLQOF39
Y
2027-01-04
0.00000000
USD
0.00000000
USD
32100000.00000000
BRL
-130563.90000000
N
N
N
BANK OF AMERICA, NATIONAL ASSOCIATION
B4TYDEB6GKMZO031MB27
SWOP IRS USD
000000000
-77500000.00000000
NC
USD
-6554768.03000000
-0.26895438681
N/A
DIR
CORP
US
N
2
BANK OF AMERICA, NATIONAL ASSOCIATION
B4TYDEB6GKMZO031MB27
Put
Written
BANK OF AMERICA, NATIONAL ASSOCIATION
B4TYDEB6GKMZO031MB27
BANK OF AMERICA, NATIONAL ASSOCIATION
B4TYDEB6GKMZO031MB27
IRS USD
000000000
0.00000000
NC
USD
0.00000000
0.00000000
DIR
CORP
US
2028-10-27
0.00000000
USD
0.00000000
USD
0.00000000
USD
-77500000.00000000
USD
2.00000000
USD
2023-10-25
XXXX
-5667841.75000000
N
N
N
US BANCORP
N1GZ7BBF3NP8GI976H15
US Bancorp
91159HHU7
2820000.00000000
PA
USD
2750547.63000000
0.112860111576
Long
DBT
CORP
US
N
2
2025-11-17
Fixed
3.95000000
N
N
N
N
N
N
CAESARS RESORT COLLECTIO
549300V3UCT773B1KR38
Caesars Resort Collection LLC
12769LAB5
1922037.94840000
PA
USD
1880473.88000000
0.077159358957
Long
LON
CORP
US
N
2
2024-12-22
Floating
6.39140000
N
N
N
N
N
N
DEUTSCHE BANK AKTIENGESELLSCHAFT
7LTWFZYICNSX8D621K86
GBP/USD FORWARD
000000000
1.00000000
NC
USD
-18067.79000000
-0.00074135520
N/A
DFE
CORP
US
N
2
DEUTSCHE BANK AKTIENGESELLSCHAFT
7LTWFZYICNSX8D621K86
-528000.00000000
GBP
571872.95000000
USD
2022-11-02
-18067.79000000
N
N
N
ENSEMBLE RCM LLC
N/A
Ensemble RCM LLC
29359BAB7
357880.00000000
PA
USD
350051.38000000
0.014363262563
Long
LON
CORP
US
N
2
2026-08-01
Floating
6.55210000
N
N
N
N
N
N
MICRON TECHNOLOGY INC
B3DXGBC8GAIYWI2Z0172
Micron Technology Inc
595112BS1
875000.00000000
PA
USD
637926.71000000
0.026175325554
Long
DBT
CORP
US
N
2
2032-04-15
Fixed
2.70300000
N
N
N
N
N
N
BOFA SECURITIES, INC.
549300HN4UKV1E2R3U73
EUR/USD FORWARD
000000000
1.00000000
NC
USD
5066.49000000
0.000207887556
N/A
DFE
CORP
US
N
2
BOFA SECURITIES, INC.
549300HN4UKV1E2R3U73
-233000.00000000
EUR
233480.17000000
USD
2022-10-04
5066.49000000
N
N
N
DUKE ENERGY INDIANA LLC
6URPHM2EAWGJ2C6ISB97
Duke Energy Indiana LLC
26443TAB2
1265000.00000000
PA
USD
861323.32000000
0.035341706116
Long
DBT
CORP
US
N
2
2049-10-01
Fixed
3.25000000
N
N
N
N
N
N
Vibrant CLO Ltd
5493008IYL3HLPE46G85
Vibrant CLO XI Ltd
92558NAJ1
1500000.00000000
PA
USD
1459206.00000000
0.059873950255
Long
ABS-CBDO
CORP
KY
N
2
2032-07-20
Floating
3.82986000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140X85M5
887169.54000000
PA
USD
811523.17000000
0.033298312857
Long
ABS-MBS
USGSE
US
N
2
2048-01-01
Fixed
3.50000000
N
N
N
N
N
N
CHICAGO MERCANTILE EXCHANGE INC.
SNZ2OJLFK8MNNCLQOF39
ZCS IRS BRL
000000000
1.00000000
NC
-318789.33000000
-0.01308052220
N/A
DIR
CORP
US
N
2
CHICAGO MERCANTILE EXCHANGE INC.
SNZ2OJLFK8MNNCLQOF39
Y
2027-01-04
0.00000000
USD
0.00000000
USD
67700000.00000000
BRL
-318789.33000000
N
N
N
ABBVIE INC
FR5LCKFTG8054YNNRU85
AbbVie Inc
00287YBC2
1200000.00000000
PA
USD
1187246.88000000
0.048714959117
Long
DBT
CORP
US
N
2
2023-11-14
Fixed
3.75000000
N
N
N
N
N
N
UZBEKNEFTEGAZ JSC
213800LUZJZFLJD4MJ51
Uzbekneftegaz JSC
91825MAB9
200000.00000000
PA
USD
152000.00000000
0.006236844173
Long
DBT
NUSS
UZ
N
2
2028-11-16
Fixed
4.75000000
N
N
N
N
N
N
BARCLAYS PLC
213800LBQA1Y9L22JB70
Barclays PLC
000000000
500000.00000000
PA
483583.13000000
0.019842319912
Long
DBT
CORP
GB
N
2
2025-04-02
Fixed
3.37500000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
31335B5H5
4615446.75000000
PA
USD
4220804.36000000
0.173187493943
Long
ABS-MBS
USGSE
US
N
2
2048-11-01
Fixed
3.50000000
N
N
N
N
N
N
HAZINE MUSTESARL
6354003QFJP7RDXEOZ20
Hazine Mustesarligi Varlik Kiralama AS
421790AG1
200000.00000000
PA
USD
182600.00000000
0.007492419381
Long
DBT
NUSS
TR
N
2
2026-06-22
Fixed
5.12500000
N
N
N
N
N
N
US TREASURY N/B
254900HROIFWPRGM1V77
United States Treasury Note/Bond
912810TD0
5475000.00000000
PA
USD
3979640.63000000
0.163292095231
Long
DBT
UST
US
N
2
2052-02-15
Fixed
2.25000000
N
N
N
N
N
N
EQT CORP
4NT01YGM4X7ZX86ISY52
EQT Corp
26884LAH2
1100000.00000000
PA
USD
1103014.00000000
0.045258726572
Long
DBT
CORP
US
N
2
2025-02-01
Variable
6.12500000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38378WRW5
173000.00000000
PA
USD
155889.12000000
0.006396422037
Long
ABS-MBS
USGA
US
N
2
2043-05-20
Fixed
3.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140QLRB4
5207790.43000000
PA
USD
4404628.85000000
0.180730156439
Long
ABS-MBS
USGSE
US
N
2
2051-08-01
Fixed
2.50000000
N
N
N
N
N
N
BARCLAYS PLC
213800LBQA1Y9L22JB70
Barclays PLC
06738EBW4
1300000.00000000
PA
USD
824797.35000000
0.033842977279
Long
DBT
CORP
GB
N
2
2042-11-24
Fixed
3.33000000
N
N
N
N
N
N
LCM Ltd Partnership
549300HV40B88JRNJD93
LCM XV LP
50184NAR3
3300000.00000000
PA
USD
3234957.00000000
0.132736333660
Long
ABS-CBDO
CORP
KY
N
2
2030-07-20
Floating
3.70986000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140XH6L6
3672886.94000000
PA
USD
3593139.02000000
0.147433211584
Long
ABS-MBS
USGSE
US
N
2
2052-07-01
Fixed
5.00000000
N
N
N
N
N
N
PENSKE TRUCK LEASING/PTL
N/A
Penske Truck Leasing Co Lp / PTL Finance Corp
709599AZ7
1000000.00000000
PA
USD
959841.60000000
0.039384095330
Long
DBT
CORP
US
N
2
2025-03-10
Fixed
3.95000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38376RSG2
1158432.09000000
PA
USD
1153569.11000000
0.047333097251
Long
ABS-MBS
USGA
US
N
2
2065-07-20
Floating
3.27729000
N
N
N
N
N
N
BAUSCH + LOMB CORP
549300NY6OZM39SO6475
Bausch + Lomb Corp
000000000
1236900.00000000
PA
USD
1152120.40000000
0.047273653971
Long
LON
CORP
CA
N
2
2027-05-10
Floating
6.29210000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
3132XCSJ5
727102.62000000
PA
USD
706383.54000000
0.028984237273
Long
ABS-MBS
USGSE
US
N
2
2049-04-01
Fixed
4.50000000
N
N
N
N
N
N
SANDS CHINA LTD
549300EVO6UZDGY05787
Sands China Ltd
80007RAE5
1800000.00000000
PA
USD
1516959.00000000
0.062243663818
Long
DBT
CORP
KY
N
2
2028-08-08
Variable
5.90000000
N
N
N
N
N
N
BIDVEST GROUP UK PLC
984500A80C777F496830
Bidvest Group UK PLC/The
88332EAA1
780000.00000000
PA
USD
665574.00000000
0.027309745551
Long
DBT
CORP
GB
N
2
2026-09-23
Fixed
3.62500000
N
N
N
N
N
N
SOUTHWEST AIRLINES CO
UDTZ87G0STFETI6HGH41
Southwest Airlines Co
844741BK3
2250000.00000000
PA
USD
2206381.95000000
0.090531976375
Long
DBT
CORP
US
N
2
2027-06-15
Fixed
5.12500000
N
N
N
N
N
N
TELEFONICA MOVILES CHILE
549300PDWJ2U6A15B785
Telefonica Moviles Chile SA
87938XAB7
425000.00000000
PA
USD
334764.00000000
0.013735992781
Long
DBT
CORP
CL
N
2
2031-11-18
Fixed
3.53700000
N
N
N
N
N
N
MITSUBISHI UFJ FIN GRP
353800V2V8PUY9TK3E06
Mitsubishi UFJ Financial Group Inc
606822BR4
1800000.00000000
PA
USD
1446900.48000000
0.059369031763
Long
DBT
CORP
JP
N
2
2030-02-25
Fixed
2.55900000
N
N
N
N
N
N
CCO HLDGS LLC/CAP CORP
N/A
CCO Holdings LLC / CCO Holdings Capital Corp
1248EPBX0
900000.00000000
PA
USD
777568.50000000
0.031905089267
Long
DBT
CORP
US
N
2
2028-02-01
Fixed
5.00000000
N
N
N
N
N
N
First Franklin Mtg Loan Asset
N/A
First Franklin Mortgage Loan Trust 2006-FF5
32027EAE1
686446.80000000
PA
USD
663883.43000000
0.027240378303
Long
ABS-MBS
CORP
US
N
2
2036-04-25
Floating
3.40400000
N
N
N
N
N
N
UBS GROUP AG
549300SZJ9VS8SGXAN81
UBS Group AG
902613AS7
920000.00000000
PA
USD
873108.52000000
0.035825274905
Long
DBT
CORP
CH
N
2
2027-08-05
Fixed
4.70300000
N
N
N
N
N
N
CRESTWOOD MID PARTNER LP
N/A
Crestwood Midstream Partners LP / Crestwood Midstream Finance Corp
226373AR9
1737000.00000000
PA
USD
1556977.32000000
0.063885690304
Long
DBT
CORP
US
N
2
2029-02-01
Fixed
6.00000000
N
N
N
N
N
N
Freddie Mac - STACR
N/A
Freddie Mac STACR REMIC Trust 2020-DNA6
35566CAH8
3328294.52000000
PA
USD
3272118.57000000
0.134261142353
Long
ABS-MBS
CORP
US
N
2
2050-12-25
Floating
4.28069000
N
N
N
N
N
N
INTL FLAVOR & FRAGRANCES
BZLRL03D3GPGMOGFO832
International Flavors & Fragrances Inc
459506AR2
1685000.00000000
PA
USD
1166541.34000000
0.047865372100
Long
DBT
CORP
US
N
2
2040-11-15
Fixed
3.26800000
N
N
N
N
N
N
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
IRS EUR
000000000
1.00000000
NC
-1725538.27000000
-0.07080206121
N/A
DIR
CORP
GB
N
2
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
Y
2033-03-15
0.00000000
USD
-1963569.31000000
USD
15660000.00000000
EUR
238031.04000000
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31412MCZ9
707.46000000
PA
USD
694.93000000
0.000028514277
Long
ABS-MBS
USGSE
US
N
2
2037-12-01
Fixed
5.00000000
N
N
N
N
N
N
UNITED AIRLINES INC
K1OQBWM7XEOO08LDNP29
United Airlines Inc
90932LAG2
2005000.00000000
PA
USD
1792951.20000000
0.073568139768
Long
DBT
CORP
US
N
2
2026-04-15
Fixed
4.37500000
N
N
N
N
N
N
MGM CHINA HOLDINGS LTD
529900VZFN87OS7WJM66
MGM China Holdings Ltd
55300RAG6
725000.00000000
PA
USD
564901.88000000
0.023178980255
Long
DBT
CORP
KY
N
2
2027-02-01
Fixed
4.75000000
N
N
N
N
N
N
ENEL FINANCE INTL NV
0YQH6LCEF474UTUV4B96
Enel Finance International NV
29278GAQ1
2085000.00000000
PA
USD
1193101.22000000
0.048955173632
Long
DBT
CORP
NL
N
2
2041-07-12
Fixed
2.87500000
N
N
N
N
N
N
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
CBOT 5 Year US Treasury Note
000000000
2156.00000000
NC
USD
-7068045.03000000
-0.29001510172
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
2022-12-30
238854883.39000000
USD
-7068045.03000000
N
N
N
GALAXY PIPELINE ASSETS
549300L82YB0C6JQIC26
Galaxy Pipeline Assets Bidco Ltd
36321PAE0
732044.44000000
PA
USD
558632.34000000
0.022921729307
Long
DBT
CORP
JE
N
2
2040-09-30
Fixed
2.94000000
N
N
N
N
N
N
Jubilee CDO BV
635400ZFJLXF8EIW5950
Jubilee CLO 2014-XI DAC
000000000
1700000.00000000
PA
1611777.29000000
0.066134235525
Long
ABS-CBDO
CORP
IE
N
2
2030-04-15
Floating
0.61000000
N
N
N
N
N
N
BANK OF AMERICA CORP
9DJT3UXIJIZJI4WXO774
Bank of America Corp
06051GFB0
200000.00000000
PA
USD
198510.52000000
0.008145257763
Long
DBT
CORP
US
N
2
2024-01-22
Fixed
4.12500000
N
N
N
N
N
N
Segovia European CLO 6 - 2019
6354006IDDCPIYNLI456
Segovia European CLO 6-2019 DAC
000000000
1600000.00000000
PA
1490303.23000000
0.061149927740
Long
ABS-CBDO
CORP
IE
N
2
2032-07-20
Floating
0.92700000
N
N
N
N
N
N
CREDIT SUISSE GROUP AG
549300506SI9CRFV9Z86
Credit Suisse Group AG
000000000
400000.00000000
PA
USD
368670.00000000
0.015127219351
Long
DBT
CORP
CH
N
2
N/A
Floating
7.50000000
N
N
N
N
N
N
JP Morgan Mortgage Trust
N/A
JP Morgan Mortgage Trust 2020-7
46591XAC9
472798.99000000
PA
USD
395828.31000000
0.016241575584
Long
ABS-MBS
CORP
US
N
2
2051-01-25
Variable
3.00000000
N
N
N
N
N
N
REPUBLIC OF ECUADOR
5299003Y2U5XK0A35H71
Ecuador Government International Bond
000000000
278501.00000000
PA
USD
82157.80000000
0.003371088133
Long
DBT
NUSS
EC
N
2
2040-07-31
Variable
1.50000000
N
N
N
N
N
N
Bear Stearns Asset Backed Secu
N/A
Bear Stearns Asset Backed Securities Trust 2007-SD1
07389QAN8
99960.84000000
PA
USD
60362.09000000
0.002476769403
Long
ABS-MBS
CORP
US
N
2
2036-10-25
Variable
3.43601600
N
N
N
N
N
N
OCP Euro CLO
635400NSID6FARUW3W95
OCP Euro CLO 2020-4 DAC
000000000
1900000.00000000
PA
1760564.27000000
0.072239243481
Long
ABS-CBDO
CORP
IE
N
2
2034-09-22
Floating
1.00500000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31416M2B9
94312.97000000
PA
USD
92483.76000000
0.003794781576
Long
ABS-MBS
USGSE
US
N
2
2039-05-01
Fixed
4.50000000
N
N
N
N
N
N
WELLS FARGO & COMPANY
PBLD0EJDB5FWOLXP3B76
Wells Fargo & Co
949746TD3
1000000.00000000
PA
USD
846250.00000000
0.034723219616
Long
DBT
CORP
US
N
2
N/A
Fixed
3.90000000
N
N
N
N
N
N
ALTICE FRANCE SA
5493001ZMCICV4N02J21
Altice France SA/France
02156LAH4
1375000.00000000
PA
USD
1037992.86000000
0.042590787637
Long
DBT
CORP
FR
N
2
2029-10-15
Fixed
5.50000000
N
N
N
N
N
N
PNC BANK NA
AD6GFRVSDT01YPT1CS68
PNC Bank NA
20453KAA3
1145000.00000000
PA
USD
1109956.93000000
0.045543607970
Long
DBT
CORP
US
N
2
2025-04-10
Fixed
3.87500000
N
N
N
N
N
N
CELANESE US HOLDINGS LLC
CD30XVRLT4QO00B1C706
Celanese US Holdings LLC
15089QAM6
2095000.00000000
PA
USD
1985382.48000000
0.081463954948
Long
DBT
CORP
US
N
2
2027-07-15
Fixed
6.16500000
N
N
N
N
N
N
PUERTO RICO CMWLTH
549300X44HXPLJU48U63
Commonwealth of Puerto Rico
74514L3M7
377735.00000000
PA
USD
310943.90000000
0.012758609545
Long
DBT
MUN
US
N
2
2037-07-01
Fixed
4.00000000
N
N
N
N
N
N
HSBC HOLDINGS PLC
MLU0ZO3ML4LN2LL2TL39
HSBC Holdings PLC
404280CY3
2000000.00000000
PA
USD
1459697.40000000
0.059894113315
Long
DBT
CORP
GB
N
2
2032-11-22
Fixed
2.87100000
N
N
N
N
N
N
Towd Point Mortgage Trust
N/A
Towd Point Mortgage Trust 2017-2
89173HAA4
17751.27000000
PA
USD
17586.15000000
0.000721592612
Long
ABS-MBS
CORP
US
N
2
2057-04-25
Variable
2.75000000
N
N
N
N
N
N
T-MOBILE USA INC
549300V2JRLO5DIFGE82
T-Mobile USA Inc
87264ACS2
1850000.00000000
PA
USD
1511962.27000000
0.062038638644
Long
DBT
CORP
US
N
2
2029-03-15
Fixed
2.40000000
N
N
N
N
N
N
DEUTSCHE BANK NY
7LTWFZYICNSX8D621K86
Deutsche Bank AG/New York NY
25160PAG2
2296000.00000000
PA
USD
1491917.84000000
0.061216178207
Long
DBT
CORP
DE
N
2
2033-01-07
Fixed
3.74200000
N
N
N
N
N
N
GSK CONSUMER HEALTHCARE
549300N8C3A3L0UVQB07
GSK Consumer Healthcare Capital US LLC
36264FAC5
500000.00000000
PA
USD
436603.20000000
0.017914645552
Long
DBT
CORP
US
N
2
2029-03-24
Fixed
3.37500000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140XGJB6
3665681.90000000
PA
USD
3325896.65000000
0.136467757517
Long
ABS-MBS
USGSE
US
N
2
2052-03-01
Fixed
3.50000000
N
N
N
N
N
N
INTERCONTINENTAL EXCHANGE, INC.
5493000F4ZO33MV32P92
CDS BOEING CO
000000000
1.00000000
NC
USD
-152758.19000000
-0.00626795412
N/A
DCR
CORP
US
N
2
INTERCONTINENTAL EXCHANGE, INC.
5493000F4ZO33MV32P92
BOEING CO
Boeing Co/The
Y
Default Event
2026-12-20
0.00000000
USD
-19408.76000000
USD
4100000.00000000
USD
-133349.43000000
N
N
N
REPUBLIC OF UZBEKISTAN
213800L6VDKUM3TCM927
Republic of Uzbekistan International Bond
91822Q2A4
448000.00000000
PA
USD
376831.17000000
0.015462087414
Long
DBT
NUSS
UZ
N
2
2029-02-20
Fixed
5.37500000
N
N
N
N
N
N
LendingPoint Asset Securitizat
N/A
Lendingpoint 2021-B Asset Securitization Trust
52607HAA8
353554.86000000
PA
USD
347475.38000000
0.014257564467
Long
ABS-O
CORP
US
N
2
2029-02-15
Fixed
1.11000000
N
N
N
N
N
N
BARCLAYS PLC
213800LBQA1Y9L22JB70
Barclays PLC
000000000
1800000.00000000
PA
1746368.83000000
0.071656778038
Long
DBT
CORP
GB
N
2
N/A
Fixed
7.12500000
N
N
N
N
N
N
CITIGROUP INC.
6SHGI4ZSSLCXXQSBB395
USD/ZAR FORWARD
000000000
1.00000000
NC
USD
-181236.72000000
-0.00743648145
N/A
DFE
CORP
US
N
2
CITIGROUP INC.
6SHGI4ZSSLCXXQSBB395
-1865718.00000000
USD
30614380.09000000
ZAR
2022-11-14
-181236.72000000
N
N
N
ALTICE FRANCE SA
5493001ZMCICV4N02J21
Altice France SA/France
000000000
1900000.00000000
PA
1636621.36000000
0.067153634164
Long
DBT
CORP
FR
N
2
2025-02-15
Fixed
2.12500000
N
N
N
N
N
N
REPUBLIC OF COLOMBIA
549300MHDRBVRF6B9117
Colombia Government International Bond
195325DZ5
300000.00000000
PA
USD
203509.59000000
0.008350378951
Long
DBT
NUSS
CO
N
2
2032-04-22
Fixed
3.25000000
N
N
N
N
N
N
HSBC HOLDINGS PLC
MLU0ZO3ML4LN2LL2TL39
HSBC Holdings PLC
404280CQ0
500000.00000000
PA
USD
356333.30000000
0.014621021485
Long
DBT
CORP
GB
N
2
N/A
Fixed
4.70000000
N
N
N
N
N
N
VIATRIS INC
254900ZZTSW7NL773X71
Viatris Inc
92556VAF3
450000.00000000
PA
USD
270322.16000000
0.011091823608
Long
DBT
CORP
US
N
2
2050-06-22
Fixed
4.00000000
N
N
N
N
N
N
GOLDMAN SACHS BANK USA
KD3XUN7C6T14HNAYLU02
SWOP IRS USD
000000000
-1800000.00000000
NC
USD
-3578.17000000
-0.00014681900
N/A
DIR
CORP
US
N
2
GOLDMAN SACHS BANK USA
KD3XUN7C6T14HNAYLU02
Call
Written
GOLDMAN SACHS BANK USA
KD3XUN7C6T14HNAYLU02
GOLDMAN SACHS BANK USA
KD3XUN7C6T14HNAYLU02
IRS USD
000000000
0.00000000
NC
USD
0.00000000
0.00000000
DIR
CORP
US
THE SECURED OVERNIGHT FINANCING RATE
THE SECURED OVERNIGHT FINANCING RATE
2024-10-27
0.00000000
USD
0.00000000
USD
0.00000000
USD
-1800000.00000000
USD
2.97300000
USD
2023-10-25
XXXX
8796.83000000
N
N
N
NYKREDIT REALKREDIT AS
LIU16F6VZJSD6UKHD557
Nykredit Realkredit AS
000000000
7191708.57110000
PA
685604.68000000
0.028131641800
Long
DBT
CORP
DK
N
2
2053-10-01
Fixed
2.00000000
N
N
N
N
N
N
INTESA SANPAOLO SPA
2W8N8UU78PMDQKZENC08
Intesa Sanpaolo SpA
46115HBL0
1300000.00000000
PA
USD
1076793.90000000
0.044182866849
Long
DBT
CORP
IT
N
2
2029-09-23
Fixed
4.00000000
N
N
N
N
N
N
FHLMC Structured Pass Through
S6XOOCT0IEG5ABCC6L87
Freddie Mac Structured Pass-Through Certificates
31394JY35
3587.26000000
PA
USD
3642.28000000
0.000149449557
Long
ABS-MBS
USGSE
US
N
2
2043-09-25
Fixed
6.50000000
N
N
N
N
N
N
ENTEGRIS ESCROW CORP
N/A
Entegris Escrow Corp
29365BAA1
1230000.00000000
PA
USD
1086181.76000000
0.044568068296
Long
DBT
CORP
US
N
2
2029-04-15
Fixed
4.75000000
N
N
N
N
N
N
NATIONWIDE BLDG SOCIETY
549300XFX12G42QIKN82
Nationwide Building Society
63861VAB3
5200000.00000000
PA
USD
4632273.88000000
0.190070857616
Long
DBT
CORP
GB
N
2
2029-03-08
Fixed
4.30200000
N
N
N
N
N
N
JSW STEEL LTD
335800EK6HZSC4CVAJ09
JSW Steel Ltd
46635UAD1
305000.00000000
PA
USD
217532.86000000
0.008925779936
Long
DBT
CORP
IN
N
2
2032-04-05
Fixed
5.05000000
N
N
N
N
N
N
Aurium CLO
549300LCZQMYMASRK585
Aurium CLO IV DAC
000000000
3000000.00000000
PA
2810048.36000000
0.115301537768
Long
ABS-CBDO
CORP
IE
N
2
2031-01-16
Floating
0.73200000
N
N
N
N
N
N
CREDIT SUISSE GROUP AG
549300506SI9CRFV9Z86
Credit Suisse Group AG
225401AP3
2500000.00000000
PA
USD
1969483.50000000
0.080811590075
Long
DBT
CORP
CH
N
2
2031-04-01
Fixed
4.19400000
N
N
N
N
N
N
REPUBLIC OF COLOMBIA
549300MHDRBVRF6B9117
Colombia Government International Bond
195325CU7
200000.00000000
PA
USD
121809.56000000
0.004998073977
Long
DBT
NUSS
CO
N
2
2045-06-15
Fixed
5.00000000
N
N
N
N
N
N
Dominos Pizza Master Issuer LL
N/A
Domino's Pizza Master Issuer LLC
25755TAN0
7307500.00000000
PA
USD
6017609.33000000
0.246913761100
Long
ABS-O
CORP
US
N
2
2051-04-25
Fixed
2.66200000
N
N
N
N
N
N
REPUBLIC OF SOUTH AFRICA
378900AAFB4F17004C49
Republic of South Africa Government International Bond
836205BB9
200000.00000000
PA
USD
129190.00000000
0.005300907228
Long
DBT
NUSS
ZA
N
2
2049-09-30
Fixed
5.75000000
N
N
N
N
N
N
CHEMOURS CO
549300M1BOLNXL8DOV14
Chemours Co/The
16384YAF4
817994.91070000
PA
USD
766870.23000000
0.031466119247
Long
LON
CORP
US
N
2
2025-04-03
Floating
5.50470000
N
N
N
N
N
N
FORD MOTOR CREDIT CO LLC
UDSQCVRUX5BONN0VY111
Ford Motor Credit Co LLC
000000000
100000.00000000
PA
100792.42000000
0.004135701430
Long
DBT
CORP
US
N
2
2024-06-14
Fixed
2.74800000
N
N
N
N
N
N
BNP PARIBAS
R0MUWSFPU8MPRO8K5P83
BNP Paribas SA
09659W2R4
600000.00000000
PA
USD
470018.16000000
0.019285723832
Long
DBT
CORP
FR
N
2
2029-09-15
Fixed
2.15900000
N
N
N
N
N
N
CITIGROUP INC.
6SHGI4ZSSLCXXQSBB395
USD/BRL FORWARD
000000000
1.00000000
NC
USD
-119421.55000000
-0.00490008946
N/A
DFE
CORP
US
N
2
CITIGROUP INC.
6SHGI4ZSSLCXXQSBB395
-4612059.35000000
USD
24261046.38000000
BRL
2022-10-04
-119421.55000000
N
N
N
US TREASURY N/B
254900HROIFWPRGM1V77
United States Treasury Note/Bond
912810RB6
2200000.00000000
PA
USD
1815171.82000000
0.074479893349
Long
DBT
UST
US
N
2
2043-05-15
Fixed
2.87500000
N
N
N
N
N
N
CD Commercial Mortgage Trust
N/A
CD 2019-CD8 Mortgage Trust
12515BAE8
8775000.00000000
PA
USD
7531973.87000000
0.309050969373
Long
ABS-MBS
CORP
US
N
2
2057-08-15
Fixed
2.91200000
N
N
N
N
N
N
UNITED MEXICAN STATES
254900EGTWEU67VP6075
Mexico Government International Bond
91087BAT7
200000.00000000
PA
USD
176196.96000000
0.007229690679
Long
DBT
NUSS
MX
N
2
2033-05-19
Fixed
4.87500000
N
N
N
N
N
N
COSTA RICA GOVERNMENT
549300S1EK2VN6XVJP58
Costa Rica Government International Bond
221597BT3
200000.00000000
PA
USD
143078.88000000
0.005870793941
Long
DBT
NUSS
CR
N
2
2043-04-30
Fixed
5.62500000
N
N
N
N
N
N
EVERSOURCE ENERGY
SJ7XXD41SQU3ZNWUJ746
Eversource Energy
30040WAQ1
915000.00000000
PA
USD
831616.51000000
0.034122780163
Long
DBT
CORP
US
N
2
2027-03-01
Fixed
2.90000000
N
N
N
N
N
N
ORGANON & CO
549300AMCKY57OK2CO56
Organon & Co
68621XAE3
2001291.66330000
PA
USD
1958764.22000000
0.080371757976
Long
LON
CORP
US
N
2
2028-06-02
Floating
6.14270000
N
N
N
N
N
N
BENCHMARK Mortgage Trust
N/A
Benchmark 2020-B20 Mortgage Trust
08162XBG8
13250000.00000000
PA
USD
10455400.10000000
0.429004613115
Long
ABS-MBS
CORP
US
N
2
2053-10-15
Fixed
2.03410000
N
N
N
N
N
N
Citigroup Commercial Mortgage
N/A
Citigroup Commercial Mortgage Trust 2017-C4
17326FAD9
635000.00000000
PA
USD
582516.55000000
0.023901743096
Long
ABS-MBS
CORP
US
N
2
2050-10-12
Fixed
3.47100000
N
N
N
N
N
N
Cantor Commercial Real Estate
N/A
Cantor Commercial Real Estate Lending 2019-CF2
12528YAF0
4000000.00000000
PA
USD
3431765.60000000
0.140811758464
Long
ABS-MBS
CORP
US
N
2
2052-11-15
Fixed
2.87440000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140XCB80
1278039.47000000
PA
USD
1078647.16000000
0.044258909571
Long
ABS-MBS
USGSE
US
N
2
2051-07-01
Fixed
2.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140QM6W9
985887.60000000
PA
USD
889708.45000000
0.036506401068
Long
ABS-MBS
USGSE
US
N
2
2052-01-01
Fixed
3.50000000
N
N
N
N
N
N
WYNN MACAU LTD
254900NMDQ8ENTHU1I31
Wynn Macau Ltd
000000000
200000.00000000
PA
USD
138380.00000000
0.005677990109
Long
DBT
CORP
KY
N
2
2027-10-01
Fixed
5.50000000
N
N
N
N
N
N
AMERICAN TOWER TRUST I
5493004YGM0MQZJOEJ36
American Tower Trust #1
03027WAJ1
1285000.00000000
PA
USD
1276082.10000000
0.052360034276
Long
DBT
CORP
US
N
2
2048-03-15
Fixed
3.07000000
N
N
N
N
N
N
JD.COM INC
549300HVTWB0GJZ16V92
JD.com Inc
47215PAC0
525000.00000000
PA
USD
498213.40000000
0.020442627242
Long
DBT
CORP
KY
N
2
2026-04-29
Fixed
3.87500000
N
N
N
N
N
N
Sequoia Mortgage Trust
N/A
Sequoia Mortgage Trust 2007-1
81744HAH6
229438.22000000
PA
USD
162791.76000000
0.006679650261
Long
ABS-MBS
CORP
US
N
2
2046-09-20
Variable
3.03403100
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Non Gold Pool
3128NHYH0
44312.96000000
PA
USD
45163.07000000
0.001853125197
Long
ABS-MBS
USGSE
US
N
2
2037-05-01
Floating
3.55500000
N
N
N
N
N
N
US TREASURY N/B
254900HROIFWPRGM1V77
United States Treasury Note/Bond
912810RX8
900000.00000000
PA
USD
754171.92000000
0.030945083848
Long
DBT
UST
US
N
2
2047-05-15
Fixed
3.00000000
N
N
N
N
N
N
Fannie Mae - CAS
N/A
Connecticut Avenue Securities Trust 2018-R07
20753QAE9
82601.02000000
PA
USD
82297.87000000
0.003376835467
Long
ABS-MBS
CORP
US
N
2
2031-04-25
Floating
5.48400000
N
N
N
N
N
N
MILEAGE PLUS HOLDINGS IN
N/A
Mileage Plus Holdings LLC
59921PAB2
950000.00000000
PA
USD
955259.20000000
0.039196070891
Long
LON
CORP
US
N
2
2027-06-20
Floating
8.39270000
N
N
N
N
N
N
LSF9 ATLANTIS HOLDINGS L
549300KWDYQKQSF0MQ18
LSF9 Atlantis Holdings LLC
50226BAH1
2110000.00000000
PA
USD
2030875.00000000
0.083330598095
Long
LON
CORP
US
N
2
2029-03-31
Floating
10.29210000
N
N
N
N
N
N
AERCAP IRELAND CAP/GLOBA
N/A
AerCap Ireland Capital DAC / AerCap Global Aviation Trust
00774MAC9
300000.00000000
PA
USD
282217.71000000
0.011579920264
Long
DBT
CORP
IE
N
2
2025-01-15
Fixed
3.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140XFYA3
3148255.94000000
PA
USD
2988679.66000000
0.122631113970
Long
ABS-MBS
USGSE
US
N
2
2047-03-01
Fixed
4.00000000
N
N
N
N
N
N
BANCO SANTANDER SA
5493006QMFDDMYWIAM13
Banco Santander SA
05964HAP0
1000000.00000000
PA
USD
953592.00000000
0.039127662558
Long
DBT
CORP
ES
N
2
2025-03-24
Fixed
3.49600000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
31297UVE7
41445.63000000
PA
USD
43427.21000000
0.001781899616
Long
ABS-MBS
USGSE
US
N
2
2035-01-01
Fixed
6.50000000
N
N
N
N
N
N
BNP PARIBAS
R0MUWSFPU8MPRO8K5P83
BNP Paribas SA
05565AAN3
700000.00000000
PA
USD
662604.67000000
0.027187908390
Long
DBT
CORP
FR
N
2
N/A
Fixed
7.37500000
N
N
N
N
N
N
CHARTER COMM OPT LLC/CAP
N/A
Charter Communications Operating LLC / Charter Communications Operating Capital
161175BR4
3800000.00000000
PA
USD
3502453.92000000
0.143712232390
Long
DBT
CORP
US
N
2
2029-03-30
Fixed
5.05000000
N
N
N
N
N
N
Signal Peak CLO, LLC
N/A
Signal Peak CLO 5 Ltd
56844YAA5
1800000.00000000
PA
USD
1762216.20000000
0.072307025257
Long
ABS-CBDO
CORP
KY
N
2
2031-04-25
Floating
3.89300000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140L1ZS7
3435028.63000000
PA
USD
2798356.72000000
0.114821807921
Long
ABS-MBS
USGSE
US
N
2
2051-01-01
Fixed
2.00000000
N
N
N
N
N
N
Fannie Mae or Freddie Mac
B1V7KEBTPIMZEU4LTD58
Fannie Mae or Freddie Mac
01F0326B5
72100000.00000000
PA
USD
64836963.24000000
2.660381818422
Long
ABS-MBS
USGSE
US
N
2
2051-11-15
Fixed
3.50000000
N
N
N
N
N
N
COTY INC
549300BO9IWPF3S48F93
Coty Inc
222070AE4
1500000.00000000
PA
USD
1367491.65000000
0.056110739009
Long
DBT
CORP
US
N
2
2026-04-15
Fixed
5.00000000
N
N
N
N
N
N
REPUBLIC OF CHILE
549300FLZTJM5YJF8D34
Chile Government International Bond
168863DL9
200000.00000000
PA
USD
136601.10000000
0.005604998517
Long
DBT
NUSS
CL
N
2
2050-01-25
Fixed
3.50000000
N
N
N
N
N
N
IVORY COAST
254900ICW11T82O6H590
Ivory Coast Government International Bond
000000000
590000.00000000
PA
USD
451350.00000000
0.018519734326
Long
DBT
NUSS
CI
N
2
2033-06-15
Fixed
6.12500000
N
N
N
N
N
N
HEARTLAND DENTAL LLC
5493008FRC0GRKBN1075
Heartland Dental LLC
42236WAQ0
454250.00000000
PA
USD
422906.75000000
0.017352654602
Long
LON
CORP
US
N
2
2025-04-30
Floating
6.99340000
N
N
N
N
N
N
CHINA EVERGRANDE GROUP
549300CUF7B1LAB15T90
China Evergrande Group
000000000
550000.00000000
PA
USD
36509.00000000
0.001498032525
Long
DBT
CORP
KY
N
2
2023-04-11
Fixed
10.00000000
N
N
N
N
N
N
GENERAL MOTORS CO
54930070NSV60J38I987
General Motors Co
37045VAK6
1652000.00000000
PA
USD
1548190.30000000
0.063525142445
Long
DBT
CORP
US
N
2
2036-04-01
Fixed
6.60000000
N
N
N
N
N
N
GSAMP Trust
N/A
GSAMP Trust 2007-SEA1
3622MLAA5
478681.50000000
PA
USD
445115.87000000
0.018263936317
Long
ABS-MBS
CORP
US
N
2
2036-12-25
Floating
3.38400000
N
N
N
N
N
N
APTIV PLC
N/A
Aptiv PLC
03835VAJ5
4171000.00000000
PA
USD
2343992.30000000
0.096178386306
Long
DBT
CORP
JE
N
2
2051-12-01
Fixed
3.10000000
N
N
N
N
N
N
WORKDAY INC
549300J0DYC0N31V7G13
Workday Inc
98138HAG6
200000.00000000
PA
USD
185290.60000000
0.007602819730
Long
DBT
CORP
US
N
2
2027-04-01
Fixed
3.50000000
N
N
N
N
N
N
NEMAK SAB DE CV
5493000MY3DAIB0BP706
Nemak SAB de CV
64045DAC8
600000.00000000
PA
USD
405345.00000000
0.016632063167
Long
DBT
CORP
MX
N
2
2031-06-28
Fixed
3.62500000
N
N
N
N
N
N
Tikehau
549300JRN5DH0UN2QJ46
Tikehau CLO DAC
000000000
2000000.00000000
PA
1857937.63000000
0.076234654487
Long
ABS-CBDO
CORP
IE
N
2
2034-08-04
Floating
1.13000000
N
N
N
N
N
N
BRITISH AIR 18-1 AA PTT
N/A
British Airways 2018-1 Class AA Pass Through Trust
11042TAA1
1107916.78000000
PA
USD
995028.37000000
0.040827874287
Long
DBT
CORP
US
N
2
2031-09-20
Fixed
3.80000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
3128E3A20
1490.44000000
PA
USD
1484.98000000
0.000060931505
Long
ABS-MBS
USGSE
US
N
2
2023-10-01
Fixed
5.50000000
N
N
N
N
N
N
DEUTSCHE BANK NY
7LTWFZYICNSX8D621K86
Deutsche Bank AG/New York NY
251526CF4
3115000.00000000
PA
USD
2101566.21000000
0.086231190603
Long
DBT
CORP
DE
N
2
2032-01-14
Fixed
3.72900000
N
N
N
N
N
N
AIR LEASE CORP
5493004NW4M4P8TMMK63
Air Lease Corp
00912XBK9
715000.00000000
PA
USD
492433.01000000
0.020205447034
Long
DBT
CORP
US
N
2
N/A
Fixed
4.12500000
N
N
N
N
N
N
PNC BANK NA
AD6GFRVSDT01YPT1CS68
PNC Bank NA
69349LAG3
250000.00000000
PA
USD
249746.75000000
0.010247576069
Long
DBT
CORP
US
N
2
2022-11-01
Fixed
2.70000000
N
N
N
N
N
N
CVS HEALTH CORP
549300EJG376EN5NQE29
CVS Health Corp
126650CX6
4098000.00000000
PA
USD
3872276.42000000
0.158886740971
Long
DBT
CORP
US
N
2
2028-03-25
Fixed
4.30000000
N
N
N
N
N
N
MARB BONDCO PLC
254900PVA1EU6QM1JN57
MARB BondCo PLC
566007AC4
410000.00000000
PA
USD
297379.15000000
0.012202022493
Long
DBT
CORP
GB
N
2
2031-01-29
Fixed
3.95000000
N
N
N
N
N
N
US TREASURY N/B
254900HROIFWPRGM1V77
United States Treasury Note/Bond
912810TJ7
4300000.00000000
PA
USD
3712109.59000000
0.152314796494
Long
DBT
UST
US
N
2
2052-08-15
Fixed
3.00000000
N
N
N
N
N
N
Freddie Mac - STACR
N/A
Freddie Mac STACR Trust 2019-DNA4
35565AAH3
128617.97000000
PA
USD
127882.31000000
0.005247250263
Long
ABS-MBS
CORP
US
N
2
2049-10-25
Floating
5.03400000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38375BQN5
284419.27000000
PA
USD
282878.71000000
0.011607042330
Long
ABS-MBS
USGA
US
N
2
2062-03-20
Floating
2.95729000
N
N
N
N
N
N
Cordatus CLO PLC
635400CLBI5JM6YQBR92
CVC Cordatus Loan Fund VII DAC
000000000
1200000.00000000
PA
1118541.26000000
0.045895839079
Long
ABS-CBDO
CORP
IE
N
2
2031-09-15
Floating
1.63000000
N
N
N
N
N
N
BANK OF AMERICA CORP
9DJT3UXIJIZJI4WXO774
Bank of America Corp
06051GKM0
500000.00000000
PA
USD
472551.15000000
0.019389657147
Long
DBT
CORP
US
N
2
2026-04-02
Fixed
3.38400000
N
N
N
N
N
N
AERCAP IRELAND CAP/GLOBA
N/A
AerCap Ireland Capital DAC / AerCap Global Aviation Trust
00774MAP0
460000.00000000
PA
USD
453616.21000000
0.018612721159
Long
DBT
CORP
IE
N
2
2023-09-15
Fixed
4.50000000
N
N
N
N
N
N
COMM Mortgage Trust
N/A
COMM 2014-CCRE20 Mortgage Trust
12592LBL5
2225000.00000000
PA
USD
2121120.76000000
0.087033550348
Long
ABS-MBS
CORP
US
N
2
2047-11-10
Fixed
3.93800000
N
N
N
N
N
N
Bank
N/A
BANK 2022-BNK39
06539VAW8
1353000.00000000
PA
USD
1076673.43000000
0.044177923740
Long
ABS-MBS
CORP
US
N
2
2055-02-15
Variable
3.34796000
N
N
N
N
N
N
SANDS CHINA LTD
549300EVO6UZDGY05787
Sands China Ltd
80007RAN5
200000.00000000
PA
USD
159207.00000000
0.006532560857
Long
DBT
CORP
KY
N
2
2027-03-08
Variable
2.80000000
N
N
N
N
N
N
VERIZON COMMUNICATIONS
2S72QS2UO2OESLG6Y829
Verizon Communications Inc
92343VGK4
1845000.00000000
PA
USD
1351494.23000000
0.055454334958
Long
DBT
CORP
US
N
2
2041-03-22
Fixed
3.40000000
N
N
N
N
N
N
COUNTRY GARDEN HLDGS
549300MGHLPT1EFHGF84
Country Garden Holdings Co Ltd
000000000
254000.00000000
PA
USD
88900.00000000
0.003647733204
Long
DBT
CORP
KY
N
2
2026-02-06
Fixed
4.20000000
N
N
N
N
N
N
OGLETHORPE POWER CORP
3EERXCUSWMS9GV5D9M98
Oglethorpe Power Corp
677050AQ9
1620000.00000000
PA
USD
1141228.44000000
0.046826736489
Long
DBT
CORP
US
N
2
2050-08-01
Fixed
3.75000000
N
N
N
N
N
N
AIR LEASE CORP
5493004NW4M4P8TMMK63
Air Lease Corp
00914AAJ1
2050000.00000000
PA
USD
1837049.28000000
0.075377566434
Long
DBT
CORP
US
N
2
2026-01-15
Fixed
2.87500000
N
N
N
N
N
N
WI TREASURY N/B
254900HROIFWPRGM1V77
United States Treasury Note/Bond - When Issued
91282CEE7
7190000.00000000
PA
USD
6512005.29000000
0.267199751642
Long
DBT
UST
US
N
2
2029-03-31
Fixed
2.37500000
N
N
N
N
N
N
MURPHY OIL CORP
QBKYQD0ODE7DC7PDIN91
Murphy Oil Corp
626717AM4
1730000.00000000
PA
USD
1620664.00000000
0.066498873850
Long
DBT
CORP
US
N
2
2027-12-01
Fixed
5.87500000
N
N
N
N
N
N
MPLX LP
5493000CZJ19CK4P3G36
MPLX LP
55336VAK6
2000000.00000000
PA
USD
1867545.40000000
0.076628879252
Long
DBT
CORP
US
N
2
2027-03-01
Fixed
4.12500000
N
N
N
N
N
N
MIZUHO FINANCIAL GROUP
353800CI5L6DDAN5XZ33
Mizuho Financial Group Inc
60687YBU2
1400000.00000000
PA
USD
1030240.68000000
0.042272701198
Long
DBT
CORP
JP
N
2
2031-09-13
Fixed
2.56400000
N
N
N
N
N
N
J.P. MORGAN SECURITIES LLC
ZBUT11V806EZRVTWT807
CDS FEDERATIVE REPUBLIC OF BRAZIL
000000000
1.00000000
NC
USD
42812.23000000
0.001756665836
N/A
DCR
CORP
US
N
2
J.P. MORGAN SECURITIES LLC
ZBUT11V806EZRVTWT807
BRAZILIAN GOVERNMENT INTERNATIONAL BOND
BRAZILIAN GOVERNMENT INTERNATIONAL BOND
Y
Default Event
2027-09-20
32486.86000000
USD
0.00000000
USD
520000.00000000
USD
10325.37000000
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac REMICS
31396NG75
719533.61000000
PA
USD
736063.46000000
0.030202059879
Long
ABS-MBS
USGSE
US
N
2
2036-02-15
Fixed
5.50000000
N
N
N
N
N
N
GRUPO AEROMEXICO SAB
N/A
Grupo Aeromexico SAB de CV
40054JAA7
5000000.00000000
PA
USD
4399246.00000000
0.180509288040
Long
DBT
CORP
MX
N
2
2027-03-17
Fixed
8.50000000
N
N
N
N
N
N
SAN MIGUEL INDUSTRIAS
N/A
SAN Miguel Industrias Pet SA / NG PET R&P Latin America SA
79911QAA2
860000.00000000
PA
USD
696522.60000000
0.028579624469
Long
DBT
CORP
PE
N
2
2028-08-02
Fixed
3.50000000
N
N
N
N
N
N
AMERICA MOVIL SAB DE CV
5493000FNR3UCEAONM59
America Movil SAB de CV
02364WBK0
530000.00000000
PA
USD
497370.55000000
0.020408043531
Long
DBT
CORP
MX
N
2
2032-07-21
Fixed
4.70000000
N
N
N
N
N
N
MINEJESA CAPITAL BV
549300KS7ERCP10BKC35
Minejesa Capital BV
602736AB6
400000.00000000
PA
USD
286550.00000000
0.011757682222
Long
DBT
CORP
NL
N
2
2037-08-10
Fixed
5.62500000
N
N
N
N
N
N
HEARTLAND DENTAL LLC
5493008FRC0GRKBN1075
Heartland Dental LLC
42236WAH0
817929.52340000
PA
USD
756073.60000000
0.031023113334
Long
LON
CORP
US
N
2
2025-04-30
Floating
6.53830000
N
N
N
N
N
N
VERIZON COMMUNICATIONS
2S72QS2UO2OESLG6Y829
Verizon Communications Inc
92343VEP5
3200000.00000000
PA
USD
3218251.52000000
0.132050876584
Long
DBT
CORP
US
N
2
2025-05-15
Floating
4.00514000
N
N
N
N
N
N
SWEIHAN PV POWER CO PJSC
353800EF1E1IC18GBC48
Sweihan PV Power Co PJSC
870674AA6
427080.30000000
PA
USD
340240.35000000
0.013960697660
Long
DBT
CORP
AE
N
2
2049-01-31
Fixed
3.62500000
N
N
N
N
N
N
FMG RESOURCES AUG 2006
549300EFD6S2NFE9D745
FMG Resources August 2006 Pty Ltd
30251GBE6
7300000.00000000
PA
USD
6283548.00000000
0.257825721918
Long
DBT
CORP
AU
N
2
2032-04-15
Fixed
6.12500000
N
N
N
N
N
N
PILGRIM'S PRIDE CORP
549300ZSLGV64ZL3HD75
Pilgrim's Pride Corp
72147KAE8
1458000.00000000
PA
USD
1421185.50000000
0.058313898058
Long
DBT
CORP
US
N
2
2027-09-30
Fixed
5.87500000
N
N
N
N
N
N
JP Morgan Mortgage Trust
N/A
JP Morgan Trust 2015-5
46644XBD3
385140.09000000
PA
USD
374808.28000000
0.015379084455
Long
ABS-MBS
CORP
US
N
2
2045-05-25
Variable
3.58606300
N
N
N
N
N
N
AIR LEASE CORP
5493004NW4M4P8TMMK63
Air Lease Corp
00912XBF0
2115000.00000000
PA
USD
1900867.67000000
0.077996154288
Long
DBT
CORP
US
N
2
2028-10-01
Fixed
4.62500000
N
N
N
N
N
N
LOCKHEED MARTIN CORP
DPRBOZP0K5RM2YE8UU08
Lockheed Martin Corp
539830BS7
815000.00000000
PA
USD
684126.65000000
0.028070995466
Long
DBT
CORP
US
N
2
2053-06-15
Fixed
4.15000000
N
N
N
N
N
N
Black Diamond CLO Ltd
549300I3ISWDFTMO5713
Black Diamond CLO 2019-1 DAC
000000000
300000.00000000
PA
281499.08000000
0.011550433532
Long
ABS-CBDO
CORP
IE
N
2
2032-05-15
Floating
1.30100000
N
N
N
N
N
N
Fannie Mae or Freddie Mac
B1V7KEBTPIMZEU4LTD58
Fannie Mae or Freddie Mac
01F0426A6
6500000.00000000
PA
USD
6191757.65000000
0.254059392250
Long
ABS-MBS
USGSE
US
N
2
2052-10-15
Fixed
4.50000000
N
N
N
N
N
N
ESSENTIAL UTILITIES INC
549300ILTEOF3E3QY357
Essential Utilities Inc
29670GAE2
675000.00000000
PA
USD
445393.69000000
0.018275335791
Long
DBT
CORP
US
N
2
2050-04-15
Fixed
3.35100000
N
N
N
N
N
N
ALFA DESARROLLO SPA
2549006BJAN34R520038
Alfa Desarrollo SpA
01538TAA3
498177.32000000
PA
USD
329930.38000000
0.013537660316
Long
DBT
CORP
CL
N
2
2051-09-27
Fixed
4.55000000
N
N
N
N
N
N
DEUTSCHE BANK AKTIENGESELLSCHAFT
7LTWFZYICNSX8D621K86
CDS CMBX.NA.AAA.8
000000000
1.00000000
NC
USD
-11207.15000000
-0.00045985031
N/A
DCR
CORP
DE
N
2
DEUTSCHE BANK AKTIENGESELLSCHAFT
7LTWFZYICNSX8D621K86
IHS MARKIT LTD
CMBX.NA.AAA.8
Y
Default Event
2057-10-17
0.00000000
USD
-806606.55000000
USD
14200000.00000000
USD
795399.40000000
N
N
N
GSR Mortgage Loan Trust
N/A
GSR Mortgage Loan Trust 2007-AR1
362290AC2
372099.19000000
PA
USD
251210.15000000
0.010307622107
Long
ABS-MBS
CORP
US
N
2
2047-03-25
Variable
3.03485600
N
N
N
N
N
N
JPMORGAN CHASE & CO
8I5DZWZKVSZI1NUHU748
JPMorgan Chase & Co
46647PAR7
900000.00000000
PA
USD
812717.28000000
0.033347309423
Long
DBT
CORP
US
N
2
2029-04-23
Fixed
4.00500000
N
N
N
N
N
N
SILKNET JSC
635400QGWS2BG73SGG55
Silknet JSC
47972FAA9
380000.00000000
PA
USD
360050.00000000
0.014773524635
Long
DBT
CORP
GE
N
2
2027-01-31
Fixed
8.37500000
N
N
N
N
N
N
BANCO GNB SUDAMERIS SA
549300SO7QUETMQD9D84
Banco GNB Sudameris SA
059593AE3
420000.00000000
PA
USD
307374.90000000
0.012612166803
Long
DBT
CORP
CO
N
2
2031-04-16
Fixed
7.50000000
N
N
N
N
N
N
CANACOL ENERGY LTD
549300X5MNRWPMSM9N14
Canacol Energy Ltd
134808AD6
680000.00000000
PA
USD
515650.80000000
0.021158116364
Long
DBT
CORP
CA
N
2
2028-11-24
Fixed
5.75000000
N
N
N
N
N
N
BANCO SANTANDER SA
5493006QMFDDMYWIAM13
Banco Santander SA
05964HAQ8
1200000.00000000
PA
USD
1083020.64000000
0.044438361632
Long
DBT
CORP
ES
N
2
2028-03-24
Fixed
4.17500000
N
N
N
N
N
N
STILLWATER MINING CO
6354007DPCY4ZN2MRR73
Stillwater Mining Co
86074QAP7
575000.00000000
PA
USD
476617.50000000
0.019556507090
Long
DBT
CORP
US
N
2
2026-11-16
Fixed
4.00000000
N
N
N
N
N
N
MONDELEZ INTERNATIONAL
549300DV9GIB88LZ5P30
Mondelez International Inc
609207AZ8
500000.00000000
PA
USD
480450.00000000
0.019713761730
Long
DBT
CORP
US
N
2
2024-03-17
Fixed
2.12500000
N
N
N
N
N
N
Morgan Stanley Residential Mor
N/A
Morgan Stanley Residential Mortgage Loan Trust 2020-1
61771QAJ0
755026.50000000
PA
USD
594811.39000000
0.024406223368
Long
ABS-MBS
CORP
US
N
2
2050-12-25
Variable
2.50000000
N
N
N
N
N
N
KOSMOS ENERGY LTD
213800YDFJ3OT9B5P157
Kosmos Energy Ltd
500688AF3
425000.00000000
PA
USD
339024.63000000
0.013910814396
Long
DBT
CORP
US
N
2
2027-05-01
Fixed
7.75000000
N
N
N
N
N
N
LEBANESE REPUBLIC
529900QPC4K9S1KHL354
Lebanon Government International Bond
000000000
582000.00000000
PA
USD
37102.50000000
0.001522384940
Long
DBT
NUSS
LB
N
2
2022-05-27
Fixed
6.25000000
Y
N
N
N
N
N
GENERAL MOTORS FINL CO
5493008B6JBRUJ90QL97
General Motors Financial Co Inc
37045XBG0
2570000.00000000
PA
USD
2503945.09000000
0.102741548321
Long
DBT
CORP
US
N
2
2026-03-01
Fixed
5.25000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140X8YQ4
2094311.24000000
PA
USD
1706180.08000000
0.070007758490
Long
ABS-MBS
USGSE
US
N
2
2050-12-01
Fixed
2.00000000
N
N
N
N
N
N
MGM RESORTS INTL
54930066VBP7DZEGGJ87
MGM Resorts International
552953CH2
4967000.00000000
PA
USD
4168372.46000000
0.171036115062
Long
DBT
CORP
US
N
2
2028-10-15
Fixed
4.75000000
N
N
N
N
N
N
EIG PEARL HOLDINGS SARL
549300KIMRL45BWA5H76
EIG Pearl Holdings Sarl
28249NAA9
710000.00000000
PA
USD
568348.61000000
0.023320406030
Long
DBT
CORP
LU
N
2
2036-08-31
Fixed
3.54500000
N
N
N
N
N
N
COOPERATIEVE RABOBANK UA
DG3RU1DBUFHT4ZF9WN62
Cooperatieve Rabobank UA
21684AAF3
1350000.00000000
PA
USD
1245294.14000000
0.051096746718
Long
DBT
CORP
NL
N
2
2026-07-21
Fixed
3.75000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140X9LP8
1010557.45000000
PA
USD
825172.81000000
0.033858383105
Long
ABS-MBS
USGSE
US
N
2
2051-01-01
Fixed
2.00000000
N
N
N
N
N
N
VMC Finance LLC
N/A
VMC Finance 2021-FL4 LLC
91835RAA8
1149046.13000000
PA
USD
1118093.13000000
0.045877451467
Long
ABS-MBS
CORP
US
N
2
2036-06-16
Floating
4.09343000
N
N
N
N
N
N
AIA GROUP LTD
ZP5ILWVSYE4LJGMMVD57
AIA Group Ltd
00131LAJ4
375000.00000000
PA
USD
333614.89000000
0.013688842650
Long
DBT
CORP
HK
N
2
2030-04-07
Fixed
3.37500000
N
N
N
N
N
N
CONNECT FINCO SARL
2594001KNYIQ456J2792
Connect Finco SARL
000000000
634397.50020000
PA
USD
593003.06000000
0.024332024207
Long
LON
CORP
LU
N
2
2026-12-12
Floating
6.58030000
N
N
N
N
N
N
BANK OF AMERICA CORP
9DJT3UXIJIZJI4WXO774
Bank of America Corp
06051GHF9
2100000.00000000
PA
USD
2083971.96000000
0.085509265632
Long
DBT
CORP
US
N
2
2024-03-05
Fixed
3.55000000
N
N
N
N
N
N
JP Morgan Mortgage Trust
549300BV8AJIRLDGMR51
JP Morgan Mortgage Trust 2014-2
46641YAQ6
21186.23000000
PA
USD
18170.64000000
0.000745575330
Long
ABS-MBS
CORP
US
N
2
2029-06-25
Variable
3.41838500
N
N
N
N
N
N
AERCAP IRELAND CAP/GLOBA
N/A
AerCap Ireland Capital DAC / AerCap Global Aviation Trust
00774MAN5
1350000.00000000
PA
USD
1348524.05000000
0.055332462920
Long
DBT
CORP
IE
N
2
2025-07-15
Fixed
6.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140QPAD9
3291541.37000000
PA
USD
2982170.71000000
0.122364039582
Long
ABS-MBS
USGSE
US
N
2
2052-05-01
Fixed
3.50000000
N
N
N
N
N
N
LOUISVILLE GAS & ELEC
KO3GRIB3RPH1XDX50U72
Louisville Gas and Electric Co
546676AY3
2685000.00000000
PA
USD
2172628.43000000
0.089147006345
Long
DBT
CORP
US
N
2
2049-04-01
Fixed
4.25000000
N
N
N
N
N
N
PARKER-HANNIFIN CORP
5493002CONDB4N2HKI23
Parker-Hannifin Corp
701094AR5
3395000.00000000
PA
USD
3239006.54000000
0.132902493857
Long
DBT
CORP
US
N
2
2027-09-15
Fixed
4.25000000
N
N
N
N
N
N
FEDERAL HOME LOAN BANK
2549001DPIFGXC1TOL40
Federal Home Loan Banks
3130AT5W3
12600000.00000000
PA
USD
12600669.06000000
0.517029009256
Long
DBT
USGSE
US
N
2
2023-01-04
Floating
2.44468800
N
N
N
N
N
N
CREDIT SUISSE GROUP AG
549300506SI9CRFV9Z86
Credit Suisse Group AG
225401AL2
1900000.00000000
PA
USD
1387000.00000000
0.056911203081
Long
DBT
CORP
CH
N
2
N/A
Fixed
6.37500000
N
N
N
N
N
N
AMAZON.COM INC
ZXTILKJKG63JELOEG630
Amazon.com Inc
023135BT2
1460000.00000000
PA
USD
916036.12000000
0.037586674589
Long
DBT
CORP
US
N
2
2050-06-03
Fixed
2.50000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Pool
3132CWQB3
2476590.42000000
PA
USD
2191218.35000000
0.089909785517
Long
ABS-MBS
USGSE
US
N
2
2035-12-01
Fixed
2.00000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38376RAB2
8284951.36000000
PA
USD
8185034.02000000
0.335847248264
Long
ABS-MBS
USGA
US
N
2
2065-04-20
Floating
2.95729000
N
N
N
N
N
N
BlackRock European CLO DAC
635400IDVZFM7YPKHY80
Blackrock European CLO VII DAC
000000000
2200000.00000000
PA
2050050.95000000
0.084117423174
Long
ABS-CBDO
CORP
IE
N
2
2031-10-15
Floating
0.62000000
N
N
N
N
N
N
Countrywide Alternative Loan T
N/A
Alternative Loan Trust Resecuritization 2008-2R
021482AE4
808768.44000000
PA
USD
426932.04000000
0.017517819776
Long
ABS-MBS
CORP
US
N
2
2037-08-25
Variable
6.00000000
N
N
N
N
N
N
BARCLAYS PLC
213800LBQA1Y9L22JB70
Barclays PLC
06738EAP0
3035000.00000000
PA
USD
2890171.32000000
0.118589132612
Long
DBT
CORP
GB
N
2
2026-05-12
Fixed
5.20000000
N
N
N
N
N
N
NXP BV/NXP FDG/NXP USA
N/A
NXP BV / NXP Funding LLC / NXP USA Inc
62954HAL2
925000.00000000
PA
USD
591259.08000000
0.024260465447
Long
DBT
CORP
N/A
N
2
2042-02-15
Fixed
3.12500000
N
N
N
N
N
N
CODELCO INC
549300UVMBCBCIPSUI70
Corp Nacional del Cobre de Chile
21987BAR9
200000.00000000
PA
USD
149551.90000000
0.006136394053
Long
DBT
CORP
CL
N
2
2042-07-17
Fixed
4.25000000
N
N
N
N
N
N
Venture CDO Ltd
549300MYRV6PEDBLPL32
Venture 34 CLO Ltd
92332CAA7
2500000.00000000
PA
USD
2432642.50000000
0.099815869749
Long
ABS-CBDO
CORP
KY
N
2
2031-10-15
Floating
3.74200000
N
N
N
N
N
N
OVERSEA-CHINESE BANKING
5493007O3QFXCPOGWK22
Oversea-Chinese Banking Corp Ltd
69033CAC3
660000.00000000
PA
USD
651890.12000000
0.026748270372
Long
DBT
CORP
SG
N
2
2024-06-19
Fixed
4.25000000
N
N
N
N
N
N
US BANCORP
N1GZ7BBF3NP8GI976H15
US Bancorp
91159HHK9
1275000.00000000
PA
USD
1252289.57000000
0.051383782289
Long
DBT
CORP
US
N
2
2024-09-11
Fixed
3.60000000
N
N
N
N
N
N
MARRIOTT INTERNATIONAL
225YDZ14ZO8E1TXUSU86
Marriott International Inc/MD
571903BF9
900000.00000000
PA
USD
725402.61000000
0.029764625273
Long
DBT
CORP
US
N
2
2032-10-15
Fixed
3.50000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Pool
3132DWFH1
2567000.00000000
PA
USD
2554486.13000000
0.104815341682
Long
ABS-MBS
USGSE
US
N
2
2052-10-01
Fixed
5.50000000
N
N
N
N
N
N
ENTERGY LOUISIANA LLC
0V5453U14HDZO63CGH17
Entergy Louisiana LLC
29364WAV0
235000.00000000
PA
USD
210881.10000000
0.008652845788
Long
DBT
CORP
US
N
2
2045-01-15
Fixed
4.95000000
N
N
N
N
N
N
ROYALTY PHARMA PLC
549300FGFN7VOK8BZR03
Royalty Pharma PLC
78081BAJ2
7625000.00000000
PA
USD
6312501.13000000
0.259013722972
Long
DBT
CORP
GB
N
2
2027-09-02
Fixed
1.75000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140X9HW8
985408.21000000
PA
USD
802707.91000000
0.032936606259
Long
ABS-MBS
USGSE
US
N
2
2051-02-01
Fixed
2.00000000
N
N
N
N
N
N
SOCIETE GENERALE
O2RNE8IBXP4R0TD8PU41
Societe Generale SA
83368RBM3
3500000.00000000
PA
USD
3337245.10000000
0.136933405637
Long
DBT
CORP
FR
N
2
2027-06-15
Fixed
4.67700000
N
N
N
N
N
N
NISSAN MOTOR CO
353800DRBDH1LUTNAY26
Nissan Motor Co Ltd
654744AC5
2700000.00000000
PA
USD
2330965.62000000
0.095643877272
Long
DBT
CORP
JP
N
2
2027-09-17
Fixed
4.34500000
N
N
N
N
N
N
CITIGROUP INC.
6SHGI4ZSSLCXXQSBB395
USD/MXN FORWARD
000000000
1.00000000
NC
USD
913.03000000
0.000037463327
N/A
DFE
CORP
US
N
2
CITIGROUP INC.
6SHGI4ZSSLCXXQSBB395
-23826000.00000000
MXN
1168629.06000000
USD
2022-12-09
913.03000000
N
N
N
US TREASURY N/B
254900HROIFWPRGM1V77
United States Treasury Note/Bond
9128285Z9
2790000.00000000
PA
USD
2724391.48000000
0.111786875841
Long
DBT
UST
US
N
2
2024-01-31
Fixed
2.50000000
N
N
N
N
N
N
CREDIT SUISSE GROUP AG
549300506SI9CRFV9Z86
Credit Suisse Group AG
225436AA2
2000000.00000000
PA
USD
1720740.00000000
0.070605179229
Long
DBT
CORP
CH
N
2
N/A
Fixed
6.25000000
N
N
N
N
N
N
CREDIT SUISSE GROUP AG
549300506SI9CRFV9Z86
Credit Suisse Group AG
225401AF5
1065000.00000000
PA
USD
870172.41000000
0.035704800823
Long
DBT
CORP
CH
N
2
2029-01-12
Fixed
3.86900000
N
N
N
N
N
N
PACIFIC GAS & ELECTRIC
1HNPXZSMMB7HMBMVBS46
Pacific Gas and Electric Co
694308HM2
400000.00000000
PA
USD
361042.04000000
0.014814229891
Long
DBT
CORP
US
N
2
2025-06-15
Fixed
3.50000000
N
N
N
N
N
N
US TREASURY N/B
254900HROIFWPRGM1V77
United States Treasury Note/Bond
912828XX3
7700000.00000000
PA
USD
7405836.13000000
0.303875302079
Long
DBT
UST
US
N
2
2024-06-30
Fixed
2.00000000
N
N
N
N
N
N
GUARA NORTE SARL
549300U2I4L03BBA3485
Guara Norte Sarl
400666AA1
608497.50000000
PA
USD
485584.05000000
0.019924421400
Long
DBT
CORP
LU
N
2
2034-06-15
Fixed
5.19800000
N
N
N
N
N
N
Wells Fargo Mortgage Backed Se
N/A
Wells Fargo Mortgage Backed Securities 2006-AR11 Trust
94984CAF3
109580.42000000
PA
USD
102849.28000000
0.004220098241
Long
ABS-MBS
CORP
US
N
2
2036-08-25
Variable
4.05553200
N
N
N
N
N
N
SEMPRA ENERGY
PBBKGKLRK5S5C0Y4T545
Sempra Energy
816851BK4
575000.00000000
PA
USD
536187.50000000
0.022000775560
Long
DBT
CORP
US
N
2
N/A
Fixed
4.87500000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Pool
3132DVLL7
177628.05000000
PA
USD
156191.83000000
0.006408842795
Long
ABS-MBS
USGSE
US
N
2
2050-12-01
Fixed
3.00000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
3617MN3S0
371325.58000000
PA
USD
328065.93000000
0.013461158447
Long
ABS-MBS
USGA
US
N
2
2050-03-15
Fixed
3.00000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Pool
3133KMZB4
6705623.83000000
PA
USD
5668685.61000000
0.232596768534
Long
ABS-MBS
USGSE
US
N
2
2051-10-01
Fixed
2.50000000
N
N
N
N
N
N
ABBVIE INC
FR5LCKFTG8054YNNRU85
AbbVie Inc
00287YAX7
900000.00000000
PA
USD
890460.72000000
0.036537268112
Long
DBT
CORP
US
N
2
2023-05-14
Fixed
2.85000000
N
N
N
N
N
N
Carlyle Global Market Strategi
549300CVBX8ZUYQV3Q10
Carlyle Global Market Strategies CLO 2013-1 Ltd
14310BAU5
2500000.00000000
PA
USD
2458315.00000000
0.100869260420
Long
ABS-CBDO
CORP
KY
N
2
2030-08-14
Floating
3.87157000
N
N
N
N
N
N
Mansard Mortgages Plc
213800JK7REF83LDFT15
Mansard Mortgages 2007-1 PLC
000000000
488372.89000000
PA
527152.50000000
0.021630052618
Long
ABS-MBS
CORP
GB
N
2
2047-04-15
Floating
1.94512000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31414SHK2
40978.67000000
PA
USD
40732.56000000
0.001671333088
Long
ABS-MBS
USGSE
US
N
2
2038-03-01
Fixed
5.00000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
31335BWN2
827935.21000000
PA
USD
801796.80000000
0.032899221712
Long
ABS-MBS
USGSE
US
N
2
2048-08-01
Fixed
4.50000000
N
N
N
N
N
N
NXP BV/NXP FDG/NXP USA
N/A
NXP BV / NXP Funding LLC / NXP USA Inc
62954HAW8
180000.00000000
PA
USD
167102.12000000
0.006856512391
Long
DBT
CORP
N/A
N
2
2025-05-01
Fixed
2.70000000
N
N
N
N
N
N
BARCLAYS PLC
213800LBQA1Y9L22JB70
Barclays PLC
06738EBD6
3000000.00000000
PA
USD
2703944.70000000
0.110947906231
Long
DBT
CORP
GB
N
2
2029-05-16
Fixed
4.97200000
N
N
N
N
N
N
CREDIT SUISSE GROUP AG
549300506SI9CRFV9Z86
Credit Suisse Group AG
225401AV0
4490000.00000000
PA
USD
4181195.76000000
0.171562279035
Long
DBT
CORP
CH
N
2
2028-08-11
Fixed
6.44200000
N
N
N
N
N
N
TURK SISE VE CAM FABRIKA
789000KWOK751Q6R8875
Turkiye Sise ve Cam Fabrikalari AS
90016AAB6
660000.00000000
PA
USD
608880.36000000
0.024983499510
Long
DBT
CORP
TR
N
2
2026-03-14
Fixed
6.95000000
N
N
N
N
N
N
DEVELOPMENT BANK OF KAZA
213800LCDPGJ1BI7KX98
Development Bank of Kazakhstan JSC
25159XAD5
300000.00000000
PA
USD
234573.00000000
0.009624968738
Long
DBT
CORP
KZ
N
2
2031-05-06
Fixed
2.95000000
N
N
N
N
N
N
AMAZON.COM INC
ZXTILKJKG63JELOEG630
Amazon.com Inc
023135BS4
1000000.00000000
PA
USD
790006.30000000
0.032415435454
Long
DBT
CORP
US
N
2
2030-06-03
Fixed
1.50000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Pool
3132DNCD3
2097602.65000000
PA
USD
1894729.23000000
0.077744282619
Long
ABS-MBS
USGSE
US
N
2
2052-04-01
Fixed
3.50000000
N
N
N
N
N
N
GE-WMC Mortgage Securities LLC
N/A
GE-WMC Mortgage Securities Trust 2006-1
36829JAB7
1676160.21000000
PA
USD
777081.79000000
0.031885118645
Long
ABS-MBS
CORP
US
N
2
2036-08-25
Floating
3.38400000
N
N
N
N
N
N
VEON HOLDINGS BV
5493000XDKGUH5NQGE22
VEON Holdings BV
91823N2A0
760000.00000000
PA
USD
392350.00000000
0.016098854022
Long
DBT
CORP
NL
N
2
2027-11-25
Fixed
3.37500000
N
N
N
N
N
N
ENTERGY MISSISSIPPI LLC
54930043I78H35DVVW89
Entergy Mississippi LLC
29366WAA4
1465000.00000000
PA
USD
1102864.01000000
0.045252572202
Long
DBT
CORP
US
N
2
2049-06-01
Fixed
3.85000000
N
N
N
N
N
N
Citigroup Commercial Mortgage
N/A
Citigroup Commercial Mortgage Trust 2014-GC25
17322YAD2
785000.00000000
PA
USD
758973.56000000
0.031142104114
Long
ABS-MBS
CORP
US
N
2
2047-10-10
Fixed
3.63500000
N
N
N
N
N
N
WI TREASURY N/B
254900HROIFWPRGM1V77
United States Treasury Note/Bond - When Issued
912810SS8
13500000.00000000
PA
USD
8387929.35000000
0.344172422979
Long
DBT
UST
US
N
2
2050-11-15
Fixed
1.62500000
N
N
N
N
N
N
CNTL AMR BOTTLING CORP
N/A
Central American Bottling Corp / CBC Bottling Holdco SL / Beliv Holdco SL
15239XAA6
435000.00000000
PA
USD
377943.23000000
0.015507717314
Long
DBT
CORP
VG
N
2
2029-04-27
Fixed
5.25000000
N
N
N
N
N
N
AMERICAN WATER CAPITAL C
5IDHQUFVC8Q2KIBBFF06
American Water Capital Corp
03040WBA2
4035000.00000000
PA
USD
3750952.14000000
0.153908578939
Long
DBT
CORP
US
N
2
2032-06-01
Fixed
4.45000000
N
N
N
N
N
N
SOUTHERN CAL EDISON
9R1Z5I36FERIBVKW4P77
Southern California Edison Co
842400HN6
3037000.00000000
PA
USD
2050101.95000000
0.084119515800
Long
DBT
CORP
US
N
2
2052-02-01
Fixed
3.45000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140HKBG2
1201840.16000000
PA
USD
1135701.21000000
0.046599943909
Long
ABS-MBS
USGSE
US
N
2
2048-09-01
Fixed
4.00000000
N
N
N
N
N
N
Fannie Mae or Freddie Mac
B1V7KEBTPIMZEU4LTD58
Fannie Mae or Freddie Mac
01F0206A2
50200000.00000000
PA
USD
40634545.62000000
1.667311375567
Long
ABS-MBS
USGSE
US
N
2
2052-10-15
Fixed
2.00000000
N
N
N
N
N
N
VIATRIS INC
254900ZZTSW7NL773X71
Viatris Inc
92556VAC0
265000.00000000
PA
USD
216734.68000000
0.008893029119
Long
DBT
CORP
US
N
2
2027-06-22
Fixed
2.30000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140L3GC9
3297572.86000000
PA
USD
2683823.65000000
0.110122301932
Long
ABS-MBS
USGSE
US
N
2
2051-03-01
Fixed
2.00000000
N
N
N
N
N
N
BANCO CONTINENTAL S.A.E.
8945005Q0D60A6FCEM55
Banco Continental SAECA
059490AB8
915000.00000000
PA
USD
799476.68000000
0.032804022851
Long
DBT
CORP
PY
N
2
2025-12-10
Fixed
2.75000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Non Gold Pool
3128QS6W1
12478.03000000
PA
USD
12300.10000000
0.000504696098
Long
ABS-MBS
USGSE
US
N
2
2038-02-01
Floating
2.00000000
N
N
N
N
N
N
JPMORGAN CHASE & CO
8I5DZWZKVSZI1NUHU748
JPMorgan Chase & Co
46647PBU9
4730000.00000000
PA
USD
3462049.24000000
0.142054352830
Long
DBT
CORP
US
N
2
2031-11-19
Fixed
1.76400000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31414KAU4
10069.76000000
PA
USD
10378.04000000
0.000425830383
Long
ABS-MBS
USGSE
US
N
2
2038-02-01
Fixed
6.50000000
N
N
N
N
N
N
GS Mortgage Securities Trust
N/A
GS Mortgage Securities Trust 2020-GC47
36258RBA0
3716000.00000000
PA
USD
3038702.15000000
0.124683630254
Long
ABS-MBS
CORP
US
N
2
2053-05-12
Fixed
2.37720000
N
N
N
N
N
N
STANDARD CHARTERED PLC
U4LOSYZ7YG4W3S5F2G91
Standard Chartered PLC
000000000
300000.00000000
PA
USD
292647.00000000
0.012007853531
Long
DBT
CORP
GB
N
2
N/A
Fixed
7.75000000
N
N
N
N
N
N
CORE & MAIN LP
549300ZSLF8Q660SCD17
Core & Main LP
40416VAE5
531548.13360000
PA
USD
509289.56000000
0.020897102794
Long
LON
CORP
US
N
2
2028-07-27
Floating
5.62060000
N
N
N
N
N
N
BNP Paribas (Suisse) SA
QHSFEYI7HUOXXZ413E03
SWOP CDS ITRAXX.EU.XO.36.V1
000000000
-2600000.00000000
NC
-2516.34000000
-0.00010325013
N/A
DCR
CORP
CH
N
2
BNP Paribas (Suisse) SA
QHSFEYI7HUOXXZ413E03
Put
Written
BNP Paribas (Suisse) SA
QHSFEYI7HUOXXZ413E03
BNP Paribas (Suisse) SA
QHSFEYI7HUOXXZ413E03
CDS ITRAXX.EU.XO.36.V1
000000000
0.00000000
NC
0.00000000
0.00000000
DCR
CORP
CH
US
ITRAXX.XO.EU.36.V1
ITRAXX.XO.EU.36.V1
Default Event
2027-06-20
0.00000000
USD
0.00000000
USD
N/A
N/A
-2600000.00000000
USD
1.90000000
EUR
2022-11-16
XXXX
596.64000000
N
N
N
BOSTON GAS COMPANY
FN7P4E7K9JOBORDEUX61
Boston Gas Co
100743AM5
500000.00000000
PA
USD
421711.60000000
0.017303615363
Long
DBT
CORP
US
N
2
2032-03-16
Fixed
3.75700000
N
N
N
N
N
N
CHICAGO MERCANTILE EXCHANGE INC.
SNZ2OJLFK8MNNCLQOF39
ZCS IRS BRL
000000000
1.00000000
NC
31242.56000000
0.001281940646
N/A
DIR
CORP
US
N
2
CHICAGO MERCANTILE EXCHANGE INC.
SNZ2OJLFK8MNNCLQOF39
Y
2025-01-02
0.00000000
USD
0.00000000
USD
36000000.00000000
BRL
31242.56000000
N
N
N
Credit Suisse Mortgage Trust
N/A
CSMC Mortgage-Backed Trust 2007-3
12638PBV0
74580.03000000
PA
USD
61003.39000000
0.002503083141
Long
ABS-MBS
CORP
US
N
2
2037-04-25
Floating
3.33400000
N
N
N
N
N
N
Venture CDO Ltd
5493005OM8P21GK6YE73
Venture 42 CLO Ltd
923260AC7
1300000.00000000
PA
USD
1234989.60000000
0.050673932176
Long
ABS-CBDO
CORP
KY
N
2
2034-04-15
Floating
3.64200000
N
N
N
N
N
N
VIRGIN MONEY UK PLC
213800ZK9VGCYYR6O495
Virgin Money UK PLC
000000000
800000.00000000
PA
792514.48000000
0.032518350768
Long
DBT
CORP
GB
N
2
2026-09-25
Fixed
4.00000000
N
N
N
N
N
N
AZURE POWER ENERGY LTD
54930051LQDFHGQMHF47
Azure Power Energy Ltd
05502VAA1
381505.00000000
PA
USD
288036.28000000
0.011818667069
Long
DBT
CORP
MU
N
2
2026-08-19
Fixed
3.57500000
N
N
N
N
N
N
WAMU Mortgage Pass-Through Cer
N/A
WaMu Mortgage Pass-Through Certificates Series 2007-HY7 Trust
93364FAL5
226887.79000000
PA
USD
213721.67000000
0.008769399685
Long
ABS-MBS
CORP
US
N
2
2037-07-25
Variable
3.85263400
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31412ERR9
4746.76000000
PA
USD
4760.35000000
0.000195326060
Long
ABS-MBS
USGSE
US
N
2
2037-03-01
Fixed
5.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31402CU67
890.30000000
PA
USD
895.21000000
0.000036732139
Long
ABS-MBS
USGSE
US
N
2
2034-03-01
Fixed
5.00000000
N
N
N
N
N
N
CHARTER COMM OPT LLC/CAP
N/A
Charter Communications Operating LLC / Charter Communications Operating Capital
161175BY9
1540000.00000000
PA
USD
903017.81000000
0.037052508991
Long
DBT
CORP
US
N
2
2061-04-01
Fixed
3.85000000
N
N
N
N
N
N
EPICOR SOFTWARE CORP
JGNXVGGGXR4O1L5I7S73
Epicor Software Corp
29426NAN4
785964.98000000
PA
USD
737169.92000000
0.030247460002
Long
LON
CORP
US
N
2
2027-07-31
Floating
6.39270000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138ABN47
13022.81000000
PA
USD
12478.02000000
0.000511996489
Long
ABS-MBS
USGSE
US
N
2
2041-04-01
Fixed
4.50000000
N
N
N
N
N
N
GSAMP Trust
N/A
GSAMP Trust 2006-FM3
36245TAE5
786307.94000000
PA
USD
385392.80000000
0.015813387099
Long
ABS-MBS
CORP
US
N
2
2036-11-25
Floating
3.31400000
N
N
N
N
N
N
ENERGO PRO AS
315700IQCL9IX158RO36
Energo-Pro AS
000000000
670000.00000000
PA
USD
625240.65000000
0.025654792795
Long
DBT
CORP
CZ
N
2
2027-02-04
Fixed
8.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31415MEW1
877.41000000
PA
USD
855.77000000
0.000035113843
Long
ABS-MBS
USGSE
US
N
2
2038-06-01
Fixed
5.00000000
N
N
N
N
N
N
HCA INC
L3CJ6J7LJ2DX62FTXD46
HCA Inc
404119BX6
3400000.00000000
PA
USD
2986295.48000000
0.122533286607
Long
DBT
CORP
US
N
2
2029-06-15
Fixed
4.12500000
N
N
N
N
N
N
Morgan Stanley BAML Trust
N/A
Morgan Stanley Bank of America Merrill Lynch Trust 2015-C27
61690AAB0
1342704.45000000
PA
USD
1311311.75000000
0.053805572680
Long
ABS-MBS
CORP
US
N
2
2047-12-15
Fixed
3.55700000
N
N
N
N
N
N
DEUTSCHE BANK NY
7LTWFZYICNSX8D621K86
Deutsche Bank AG/New York NY
251526CD9
4135000.00000000
PA
USD
3158422.99000000
0.129596000145
Long
DBT
CORP
DE
N
2
2031-09-18
Fixed
3.54700000
N
N
N
N
N
N
EPICOR SOFTWARE CORP
JGNXVGGGXR4O1L5I7S73
Epicor Software Corp
29426NAQ7
735000.00000000
PA
USD
719932.50000000
0.029540176433
Long
LON
CORP
US
N
2
2028-07-31
Floating
10.89270000
N
N
N
N
N
N
MELCO RESORTS FINANCE
N/A
Melco Resorts Finance Ltd
000000000
200000.00000000
PA
USD
129000.00000000
0.005293111173
Long
DBT
CORP
KY
N
2
2028-07-21
Fixed
5.75000000
N
N
N
N
N
N
JPMDB Commercial Mortgage Secu
N/A
JPMDB Commercial Mortgage Securities Trust 2017-C7
46648KAU0
2395000.00000000
PA
USD
2196259.31000000
0.090116625530
Long
ABS-MBS
CORP
US
N
2
2050-10-15
Fixed
3.40920000
N
N
N
N
N
N
Bank
N/A
BANK 2017-BNK5
06541WBB7
605000.00000000
PA
USD
537183.80000000
0.022041655612
Long
ABS-MBS
CORP
US
N
2
2060-06-15
Variable
3.89600000
N
N
N
N
N
N
JPMORGAN CHASE & CO
8I5DZWZKVSZI1NUHU748
JPMorgan Chase & Co
48128BAF8
400000.00000000
PA
USD
360950.00000000
0.014810453318
Long
DBT
CORP
US
N
2
N/A
Fixed
5.00000000
N
N
N
N
N
N
KLABIN AUSTRIA GMBH
984500578YEA8DD41B09
Klabin Austria GmbH
49836AAC8
425000.00000000
PA
USD
309607.19000000
0.012703761835
Long
DBT
CORP
AT
N
2
2031-01-12
Fixed
3.20000000
N
N
N
N
N
N
ALTICE FINANCING SA
549300DIYGW8HVDF7Q17
Altice Financing SA
02154CAF0
580000.00000000
PA
USD
448015.20000000
0.018382901247
Long
DBT
CORP
LU
N
2
2028-01-15
Fixed
5.00000000
N
N
N
N
N
N
WORKDAY INC
549300J0DYC0N31V7G13
Workday Inc
98138HAH4
310000.00000000
PA
USD
278401.20000000
0.011423321724
Long
DBT
CORP
US
N
2
2029-04-01
Fixed
3.70000000
N
N
N
N
N
N
LENOVO GROUP LTD
254900VUZRGD5U73RE46
Lenovo Group Ltd
526250AE5
445000.00000000
PA
USD
410212.13000000
0.016831770610
Long
DBT
CORP
HK
N
2
2032-07-27
Fixed
6.53600000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140J5E54
499112.38000000
PA
USD
473195.87000000
0.019416111214
Long
ABS-MBS
USGSE
US
N
2
2047-04-01
Fixed
4.00000000
N
N
N
N
N
N
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
IRS EUR
000000000
1.00000000
NC
-57864.49000000
-0.00237428820
N/A
DIR
CORP
GB
N
2
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
Y
2024-08-10
0.00000000
USD
0.00000000
USD
1500000.00000000
EUR
-57864.49000000
N
N
N
CSL FINANCE PLC
2549007CCNBNAF4HBC02
CSL Finance PLC
12661PAB5
430000.00000000
PA
USD
396594.76000000
0.016273024461
Long
DBT
CORP
GB
N
2
2029-04-27
Fixed
4.05000000
N
N
N
N
N
N
NATURA &CO LUX HLD SARL
54930074AZRQQPMINM11
Natura &Co Luxembourg Holdings Sarl
63884WAA6
420000.00000000
PA
USD
346462.20000000
0.014215991798
Long
DBT
CORP
LU
N
2
2029-04-19
Fixed
6.00000000
N
N
N
N
N
N
T-MOBILE USA INC
549300V2JRLO5DIFGE82
T-Mobile USA Inc
87264ABZ7
2915000.00000000
PA
USD
2561722.70000000
0.105112271678
Long
DBT
CORP
US
N
2
2026-02-15
Fixed
1.50000000
N
N
N
N
N
N
Countrywide Asset-Backed Certi
N/A
CWABS Asset-Backed Certificates Trust 2006-25
12668HAE0
1056865.02000000
PA
USD
1014799.68000000
0.041639128100
Long
ABS-MBS
CORP
US
N
2
2037-06-25
Floating
3.30400000
N
N
N
N
N
N
Towd Point Mortgage Trust
N/A
Towd Point Mortgage Trust 2017-1
89173FAA8
142533.51000000
PA
USD
140359.72000000
0.005759221722
Long
ABS-MBS
CORP
US
N
2
2056-10-25
Variable
2.75000000
N
N
N
N
N
N
US TREASURY N/B
254900HROIFWPRGM1V77
United States Treasury Note/Bond
9128286G0
4000000.00000000
PA
USD
3895000.00000000
0.159819131941
Long
DBT
UST
US
N
2
2024-02-29
Fixed
2.37500000
N
N
N
N
N
N
TEVA PHARMACEUTICALS NE
5493004T21MOAFINJP35
Teva Pharmaceutical Finance Netherlands III BV
88167AAQ4
365000.00000000
PA
USD
301988.23000000
0.012391141662
Long
DBT
CORP
NL
N
2
2029-05-09
Fixed
5.12500000
N
N
N
N
N
N
Long Beach Mortgage Loan Trust
N/A
Long Beach Mortgage Loan Trust 2006-7
54251TAA7
2327778.86000000
PA
USD
1237610.88000000
0.050781488195
Long
ABS-MBS
CORP
US
N
2
2036-08-25
Floating
3.39400000
N
N
N
N
N
N
CODELCO INC
549300UVMBCBCIPSUI70
Corp Nacional del Cobre de Chile
21987BBA5
225000.00000000
PA
USD
149258.12000000
0.006124339710
Long
DBT
CORP
CL
N
2
2050-01-30
Fixed
3.70000000
N
N
N
N
N
N
Social Professional Loan Progr
N/A
Sofi Professional Loan Program 2016-F LLC
78471AAB9
99136.65000000
PA
USD
95017.47000000
0.003898744435
Long
ABS-O
CORP
US
N
2
2040-02-25
Fixed
3.02000000
N
N
N
N
N
N
MITSUBISHI UFJ FIN GRP
353800V2V8PUY9TK3E06
Mitsubishi UFJ Financial Group Inc
606822BN3
1700000.00000000
PA
USD
1578745.97000000
0.064778898711
Long
DBT
CORP
JP
N
2
2025-02-25
Fixed
2.19300000
N
N
N
N
N
N
New Residential Mortgage Loan
N/A
New Residential Mortgage Loan Trust 2018-RPL1
64829VAA4
129440.15000000
PA
USD
124278.96000000
0.005099398075
Long
ABS-MBS
CORP
US
N
2
2057-12-25
Variable
3.50000000
N
N
N
N
N
N
GOLDMAN SACHS BANK USA
KD3XUN7C6T14HNAYLU02
SWOP IRS USD
000000000
-1700000.00000000
NC
USD
-4280.79000000
-0.00017564881
N/A
DIR
CORP
US
N
2
GOLDMAN SACHS BANK USA
KD3XUN7C6T14HNAYLU02
Call
Written
GOLDMAN SACHS BANK USA
KD3XUN7C6T14HNAYLU02
GOLDMAN SACHS BANK USA
KD3XUN7C6T14HNAYLU02
IRS USD
000000000
0.00000000
NC
USD
0.00000000
0.00000000
DIR
CORP
US
THE SECURED OVERNIGHT FINANCING RATE
THE SECURED OVERNIGHT FINANCING RATE
2024-10-25
0.00000000
USD
0.00000000
USD
0.00000000
USD
-1700000.00000000
USD
3.22500000
USD
2023-10-23
XXXX
7512.96000000
N
N
N
NBK SPC LTD
549300P1ANDK86KWB419
NBK SPC Ltd
62877PAB0
1065000.00000000
PA
USD
916658.28000000
0.037612202977
Long
DBT
CORP
AE
N
2
2027-09-15
Fixed
1.62500000
N
N
N
N
N
N
ENEL FINANCE INTL NV
0YQH6LCEF474UTUV4B96
Enel Finance International NV
29278GAN8
665000.00000000
PA
USD
517815.68000000
0.021246945438
Long
DBT
CORP
NL
N
2
2028-07-12
Fixed
1.87500000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Pool
3133KMJG1
1525976.23000000
PA
USD
1336676.89000000
0.054846351796
Long
ABS-MBS
USGSE
US
N
2
2051-08-01
Fixed
3.00000000
N
N
N
N
N
N
ASHTEAD CAPITAL INC
213800J1134IW58IC398
Ashtead Capital Inc
045054AP8
585000.00000000
PA
USD
430828.22000000
0.017677687326
Long
DBT
CORP
US
N
2
2031-08-12
Fixed
2.45000000
N
N
N
N
N
N
Fannie Mae or Freddie Mac
B1V7KEBTPIMZEU4LTD58
Fannie Mae or Freddie Mac
01F0306B9
173000000.00000000
PA
USD
150481904.80000000
6.174553889108
Long
ABS-MBS
USGSE
US
N
2
2052-11-15
Fixed
3.00000000
N
N
N
N
N
N
Banc of America Mortgage Secur
N/A
Banc of America Mortgage 2003-D Trust
05948XBS9
34020.77000000
PA
USD
33465.36000000
0.001373146286
Long
ABS-MBS
CORP
US
N
2
2033-05-25
Variable
3.99796700
N
N
N
N
N
N
SABINE PASS LIQUEFACTION
549300KJYBG7C6WJYZ11
Sabine Pass Liquefaction LLC
785592AM8
1455000.00000000
PA
USD
1455143.61000000
0.059707262798
Long
DBT
CORP
US
N
2
2025-03-01
Fixed
5.62500000
N
N
N
N
N
N
INRETAIL CONSUMER
N/A
InRetail Consumer
45790TAB1
530000.00000000
PA
USD
441940.50000000
0.018133644949
Long
DBT
CORP
PE
N
2
2028-03-22
Fixed
3.25000000
N
N
N
N
N
N
JPMORGAN CHASE & CO
8I5DZWZKVSZI1NUHU748
JPMorgan Chase & Co
46647PAH9
500000.00000000
PA
USD
484154.55000000
0.019865766343
Long
DBT
CORP
US
N
2
2025-03-01
Fixed
3.22000000
N
N
N
N
N
N
YPF SOCIEDAD ANONIMA
5493003N7447U18U5U53
YPF SA
984245AQ3
670000.00000000
PA
USD
393199.55000000
0.016133712647
Long
DBT
CORP
AR
N
2
2027-07-21
Fixed
6.95000000
N
N
N
N
N
N
CITIGROUP INC
6SHGI4ZSSLCXXQSBB395
Citigroup Inc
172967NG2
865000.00000000
PA
USD
771933.87000000
0.031673889863
Long
DBT
CORP
US
N
2
2028-02-24
Fixed
3.07000000
N
N
N
N
N
N
REPUBLIC OF INDONESIA
529900FWX0GRR7WG5W79
Indonesia Government International Bond
455780BM7
200000.00000000
PA
USD
170351.16000000
0.006989826576
Long
DBT
NUSS
ID
N
2
2043-04-15
Fixed
4.62500000
N
N
N
N
N
N
STATE AGE ROADS
254900FGEO8P5USHG994
State Agency of Roads of Ukraine
857329AA4
575000.00000000
PA
USD
108645.68000000
0.004457935370
Long
DBT
CORP
UA
N
2
2030-06-24
Variable
6.25000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae REMICS
3136AWPE1
399984.49000000
PA
USD
360725.85000000
0.014801256024
Long
ABS-MBS
USGSE
US
N
2
2047-05-25
Fixed
3.50000000
N
N
N
N
N
N
J.P. MORGAN SECURITIES LLC
ZBUT11V806EZRVTWT807
AUD/USD FORWARD
000000000
1.00000000
NC
USD
-107639.40000000
-0.00441664582
N/A
DFE
CORP
US
N
2
J.P. MORGAN SECURITIES LLC
ZBUT11V806EZRVTWT807
-1355765.55000000
USD
1951191.00000000
AUD
2022-10-04
-107639.40000000
N
N
N
HSBC HOLDINGS PLC
MLU0ZO3ML4LN2LL2TL39
HSBC Holdings PLC
404280BY4
500000.00000000
PA
446335.28000000
0.018313970989
Long
DBT
CORP
GB
N
2
N/A
Fixed
5.87500000
N
N
N
N
N
N
MASTR Alternative Loans Trust
N/A
MASTR Alternative Loan Trust 2004-5
576434RL0
17412.82000000
PA
USD
17069.85000000
0.000700407858
Long
ABS-MBS
CORP
US
N
2
2034-06-25
Fixed
7.00000000
N
N
N
N
N
N
JEFFERIES GROUP LLC
NY9Q8VBNB6D1L6YV0J84
Jefferies Group LLC
472319AM4
880000.00000000
PA
USD
827876.37000000
0.033969315226
Long
DBT
CORP
US
N
2
2043-01-20
Fixed
6.50000000
N
N
N
N
N
N
UNITEDHEALTH GROUP INC
549300GHBMY8T5GXDE41
UnitedHealth Group Inc
91324PEG3
600000.00000000
PA
USD
571574.28000000
0.023452761301
Long
DBT
CORP
US
N
2
2027-05-15
Fixed
3.70000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Pool
3132DWBH5
1440186.62000000
PA
USD
1172124.25000000
0.048094449335
Long
ABS-MBS
USGSE
US
N
2
2051-04-01
Fixed
2.00000000
N
N
N
N
N
N
HILTON GRAND VAC BORROWER
254900HF0EZ734FDVY79
Hilton Grand Vacations Borrower LLC
43283LAH4
990000.00000000
PA
USD
958856.58000000
0.039343678118
Long
LON
CORP
US
N
2
2028-08-02
Floating
6.14270000
N
N
N
N
N
N
UKG INC
529900FKHWSTQ1GXK240
UKG Inc
90385KAK7
1640947.62440000
PA
USD
1556337.08000000
0.063859420060
Long
LON
CORP
US
N
2
2026-05-03
Floating
6.39270000
N
N
N
N
N
N
Fremont Home Loan Trust
N/A
Fremont Home Loan Trust 2004-B
35729PDQ0
2043459.86000000
PA
USD
1931913.72000000
0.079270031762
Long
ABS-MBS
CORP
US
N
2
2034-05-25
Floating
3.95400000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140HPVB0
1407303.04000000
PA
USD
1329930.08000000
0.054569517568
Long
ABS-MBS
USGSE
US
N
2
2048-09-01
Fixed
4.00000000
N
N
N
N
N
N
BRIGHTHOUSE FINANCIAL IN
5493003T8SZSHOGGAW52
Brighthouse Financial Inc
10922NAF0
1035000.00000000
PA
USD
735147.77000000
0.030164487407
Long
DBT
CORP
US
N
2
2047-06-22
Fixed
4.70000000
N
N
N
N
N
N
UEP PENONOME II SA
549300DS6G5XB230S845
UEP Penonome II SA
90363PAA4
308302.24000000
PA
USD
266681.44000000
0.010942438060
Long
DBT
CORP
PA
N
2
2038-10-01
Fixed
6.50000000
N
N
N
N
N
N
REPUBLIC OF ARGENTINA
549300KPBYGYF7HCHO27
Argentine Republic Government International Bond
040114HT0
674580.00000000
PA
USD
122870.83000000
0.005041619869
Long
DBT
NUSS
AR
N
2
2035-07-09
Variable
1.50000000
N
N
N
N
N
N
J.P. MORGAN SECURITIES LLC
ZBUT11V806EZRVTWT807
CDS FEDERATIVE REPUBLIC OF BRAZIL
000000000
1.00000000
NC
USD
42812.23000000
0.001756665836
N/A
DCR
CORP
US
N
2
J.P. MORGAN SECURITIES LLC
ZBUT11V806EZRVTWT807
BRAZILIAN GOVERNMENT INTERNATIONAL BOND
BRAZILIAN GOVERNMENT INTERNATIONAL BOND
Y
Default Event
2027-09-20
31798.09000000
USD
0.00000000
USD
520000.00000000
USD
11014.14000000
N
N
N
COMM Mortgage Trust
N/A
COMM 2016-CR28 Mortgage Trust
12593YBE2
2330000.00000000
PA
USD
2210270.85000000
0.090691545212
Long
ABS-MBS
CORP
US
N
2
2049-02-10
Fixed
3.76200000
N
N
N
N
N
N
BNP PARIBAS
R0MUWSFPU8MPRO8K5P83
USD/PLN FORWARD
000000000
1.00000000
NC
USD
293438.73000000
0.012040339693
N/A
DFE
CORP
US
N
2
BNP PARIBAS
R0MUWSFPU8MPRO8K5P83
-20766066.95000000
PLN
4471183.00000000
USD
2022-10-17
293438.73000000
N
N
N
PRESTIGE BRANDS INC
549300JBVP4J6D42I235
Prestige Brands Inc
74112CAW3
9176.76500000
PA
USD
9168.16000000
0.000376186745
Long
LON
CORP
US
N
2
2028-07-01
Floating
5.14270000
N
N
N
N
N
N
FORD MOTOR CREDIT CO LLC
UDSQCVRUX5BONN0VY111
Ford Motor Credit Co LLC
000000000
1100000.00000000
PA
1100439.75000000
0.045153100282
Long
DBT
CORP
US
N
2
2025-03-06
Fixed
4.53500000
N
N
N
N
N
N
LA CONSTRUCCION SA
254900IMQ8BOPW9UKX13
Inversiones La Construccion SA
46090BAA7
635000.00000000
PA
USD
471385.90000000
0.019341844761
Long
DBT
CORP
CL
N
2
2032-02-07
Fixed
4.75000000
N
N
N
N
N
N
STATE OF ISRAEL
213800T8ZHTFZIBYPE21
State of Israel
000000000
1600000.00000000
PA
USD
1218817.60000000
0.050010364782
Long
DBT
NUSS
IL
N
2
2060-05-13
Fixed
3.80000000
N
N
N
N
N
N
PDC ENERGY INC
5493008W8H2T511J5Y59
PDC Energy Inc
69327RAJ0
1205000.00000000
PA
USD
1116402.38000000
0.045808076834
Long
DBT
CORP
US
N
2
2026-05-15
Fixed
5.75000000
N
N
N
N
N
N
HILTON DOMESTIC OPERATIN
5493003EG7H0N1E4XV50
Hilton Domestic Operating Co Inc
432833AN1
700000.00000000
PA
USD
537284.09000000
0.022045770698
Long
DBT
CORP
US
N
2
2032-02-15
Fixed
3.62500000
N
N
N
N
N
N
AIRCASTLE LTD
549300PNK8AKY3OIKP58
Aircastle Ltd
00928QAQ4
2500000.00000000
PA
USD
2403861.50000000
0.098634931511
Long
DBT
CORP
BM
N
2
2024-05-01
Fixed
4.12500000
N
N
N
N
N
N
HYATT HOTELS CORP
T27JQIMTYSH41TCD5186
Hyatt Hotels Corp
448579AN2
300000.00000000
PA
USD
281525.52000000
0.011551518414
Long
DBT
CORP
US
N
2
2024-10-01
Fixed
1.80000000
N
N
N
N
N
N
Atrium CDO Corp
549300O252OCTN35RH57
Madison Park Funding XLI Ltd
04965CAJ7
2105094.52000000
PA
USD
2069398.43000000
0.084911286450
Long
ABS-CBDO
CORP
KY
N
2
2027-04-22
Floating
3.58900000
N
N
N
N
N
N
STRIP PRINC
254900HROIFWPRGM1V77
United States Treasury Strip Principal
912803EH2
4290000.00000000
PA
USD
1767663.18000000
0.072530525030
Long
DBT
UST
US
N
2
2044-05-15
None
0.00000000
N
N
N
N
N
N
SANDS CHINA LTD
549300EVO6UZDGY05787
Sands China Ltd
80007RAQ8
400000.00000000
PA
USD
297705.48000000
0.012215412423
Long
DBT
CORP
KY
N
2
2029-03-08
Variable
3.35000000
N
N
N
N
N
N
TAKEDA PHARMACEUTICAL
549300ZLMVP4X0OGR454
Takeda Pharmaceutical Co Ltd
874060AY2
985000.00000000
PA
USD
699431.95000000
0.028699000539
Long
DBT
CORP
JP
N
2
2040-07-09
Fixed
3.02500000
N
N
N
N
N
N
ABERTIS FINANCE BV
5493007WHKI5H75YJ358
Abertis Infraestructuras Finance BV
000000000
1500000.00000000
PA
1196980.64000000
0.049114353488
Long
DBT
CORP
NL
N
2
N/A
Fixed
3.24800000
N
N
N
N
N
N
MSILF Government Portfolio
549300BI6Y5SI6BYPB26
MSILF Government Portfolio
61747C707
15046753.00000000
NS
USD
15046753.00000000
0.617396406419
Long
STIV
RF
US
N
1
N
N
N
Fidelity Government Portfolio
N/A
Fidelity Government Portfolio
316175108
15046753.00000000
NS
USD
15046753.00000000
0.617396406419
Long
STIV
RF
US
N
1
N
N
N
VICI PROPERTIES LP
254900X4QE7SGKQLLN38
VICI Properties LP
925650AB9
100000.00000000
PA
USD
92164.86000000
0.003781696513
Long
DBT
CORP
US
N
2
2028-02-15
Fixed
4.75000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38375YBB7
250967.00000000
PA
USD
13757.71000000
0.000564504562
Long
ABS-MBS
USGA
US
N
2
2038-08-20
Floating
2.98614000
N
N
N
N
N
N
PACIFIC GAS & ELECTRIC
1HNPXZSMMB7HMBMVBS46
Pacific Gas and Electric Co
694308JW8
800000.00000000
PA
USD
660458.16000000
0.027099833071
Long
DBT
CORP
US
N
2
2028-06-15
Fixed
3.00000000
N
N
N
N
N
N
JPMORGAN CHASE & CO
8I5DZWZKVSZI1NUHU748
JPMorgan Chase & Co
46647PCV6
1500000.00000000
PA
USD
1396195.50000000
0.057288511638
Long
DBT
CORP
US
N
2
2026-02-24
Fixed
2.59500000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Pool
3132DVLF0
2541392.25000000
PA
USD
2154855.38000000
0.088417744875
Long
ABS-MBS
USGSE
US
N
2
2050-10-01
Fixed
2.50000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Pool
3133KKMZ9
2340675.77000000
PA
USD
1977961.38000000
0.081159453341
Long
ABS-MBS
USGSE
US
N
2
2050-11-01
Fixed
2.50000000
N
N
N
N
N
N
PACIFIC GAS & ELECTRIC
1HNPXZSMMB7HMBMVBS46
Pacific Gas and Electric Co
694308JX6
700000.00000000
PA
USD
698481.98000000
0.028660021494
Long
DBT
CORP
US
N
2
2022-11-14
Floating
3.53452000
N
N
N
N
N
N
SANDS CHINA LTD
549300EVO6UZDGY05787
Sands China Ltd
80007RAK1
400000.00000000
PA
USD
341287.20000000
0.014003651873
Long
DBT
CORP
KY
N
2
2026-01-08
Variable
4.30000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38380KSV8
2771734.80000000
PA
USD
2587377.85000000
0.106164950447
Long
ABS-MBS
USGA
US
N
2
2047-11-20
Fixed
3.50000000
N
N
N
N
N
N
New Century Home Equity Loan T
N/A
New Century Home Equity Loan Trust 2005-1
64352VKB6
233599.48000000
PA
USD
227512.63000000
0.009335268557
Long
ABS-MBS
CORP
US
N
2
2035-03-25
Floating
3.80400000
N
N
N
N
N
N
Morgan Stanley Residential Mor
N/A
Morgan Stanley Residential Mortgage Loan Trust 2021-1
61772AAD7
676772.44000000
PA
USD
538272.31000000
0.022086319212
Long
ABS-MBS
CORP
US
N
2
2051-03-25
Variable
2.50000000
N
N
N
N
N
N
JP Morgan Mortgage Trust
N/A
JP Morgan Trust 2015-6
46645GAZ1
190538.79000000
PA
USD
174123.00000000
0.007144592223
Long
ABS-MBS
CORP
US
N
2
2045-10-25
Variable
3.53212400
N
N
N
N
N
N
DEUTSCHE BANK AKTIENGESELLSCHAFT
7LTWFZYICNSX8D621K86
USD/JPY FORWARD
000000000
1.00000000
NC
USD
3916131.83000000
0.160686210433
N/A
DFE
CORP
US
N
2
DEUTSCHE BANK AKTIENGESELLSCHAFT
7LTWFZYICNSX8D621K86
-12000000000.00000000
JPY
86962571.31000000
USD
2022-10-17
3916131.83000000
N
N
N
ENTERGY TEXAS INC
LWXX58X12AJXISQ28573
Entergy Texas Inc
29365TAJ3
700000.00000000
PA
USD
494241.02000000
0.020279633064
Long
DBT
CORP
US
N
2
2049-09-30
Fixed
3.55000000
N
N
N
N
N
N
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
CBOT 3 Year US Treasury Note
000000000
137.00000000
NC
USD
-705653.78000000
-0.02895429385
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
2022-12-30
29306544.40000000
USD
-705653.78000000
N
N
N
MEGLOBAL CANADA ULC
635400MHHHT7LMKMQL03
MEGlobal Canada ULC
58518N2B7
400000.00000000
PA
USD
391814.00000000
0.016076860940
Long
DBT
CORP
CA
N
2
2025-05-18
Fixed
5.00000000
N
N
N
N
N
N
KERNEL HOLDING SA
5493003GR6L4DZOS2U12
Kernel Holding SA
49229QAB0
375000.00000000
PA
USD
148125.00000000
0.006077845678
Long
DBT
CORP
LU
N
2
2024-10-17
Fixed
6.50000000
N
N
N
N
N
N
AMER AIRLN 15-1 A PTT
N/A
American Airlines 2015-1 Class A Pass Through Trust
023770AA8
1171920.72000000
PA
USD
975091.95000000
0.040009845702
Long
DBT
CORP
US
N
2
2027-05-01
Fixed
3.37500000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Pool
3133KPPB8
2838320.54000000
PA
USD
2771836.29000000
0.113733625096
Long
ABS-MBS
USGSE
US
N
2
2052-07-01
Fixed
5.00000000
N
N
N
N
N
N
CALPINE CORP
43R4VPJBXTU2O15HEF41
Calpine Corp
13134MBT9
254295.15860000
PA
USD
246166.87000000
0.010100686900
Long
LON
CORP
US
N
2
2027-12-16
Floating
5.51390000
N
N
N
N
N
N
GOL FINANCE SA
5299007RH8MA67ZC6J07
Gol Finance SA
36254VAC2
410000.00000000
PA
USD
251666.28000000
0.010326337973
Long
DBT
CORP
LU
N
2
2026-06-30
Fixed
8.00000000
N
N
N
N
N
N
OFFICE CHERIFIEN DES PHO
213800D26TAPVTCVWG40
OCP SA
67091TAB1
250000.00000000
PA
USD
205156.25000000
0.008417944489
Long
DBT
CORP
MA
N
2
2044-04-25
Fixed
6.87500000
N
N
N
N
N
N
Citigroup Commercial Mortgage
N/A
Citigroup Commercial Mortgage Trust 2016-P3
29429CAD7
1305000.00000000
PA
USD
1222097.66000000
0.050144951776
Long
ABS-MBS
CORP
US
N
2
2049-04-15
Fixed
3.32900000
N
N
N
N
N
N
Countrywide Asset-Backed Certi
N/A
CWABS Asset-Backed Certificates Trust 2006-11
12666TAF3
36588.88000000
PA
USD
33193.08000000
0.001361974128
Long
ABS-MBS
CORP
US
N
2
2046-09-25
Variable
6.15000000
N
N
N
N
N
N
NEW YORK ST URBAN DEV CORP REV
54930039Y2EMGXN6LM88
New York State Urban Development Corp
650035TD0
800000.00000000
PA
USD
827992.00000000
0.033974059741
Long
DBT
MUN
US
N
2
2039-03-15
Fixed
5.77000000
N
N
N
N
N
N
UBS GROUP AG
549300SZJ9VS8SGXAN81
UBS Group AG
000000000
1000000.00000000
PA
789636.09000000
0.032400245045
Long
DBT
CORP
CH
N
2
2028-11-05
Fixed
0.25000000
N
N
N
N
N
N
B2W DIGITAL LUX SARL
222100KMO43GQ28M6N31
B2W Digital Lux Sarl
05609AAA9
550000.00000000
PA
USD
375078.22000000
0.015390160598
Long
DBT
CORP
LU
N
2
2030-12-20
Fixed
4.37500000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Pool
3133KPZH4
2519000.00000000
PA
USD
2548126.69000000
0.104554401970
Long
ABS-MBS
USGSE
US
N
2
2052-09-01
Fixed
5.50000000
N
N
N
N
N
N
Structured Asset Mortgage Inve
N/A
Structured Asset Mortgage Investments II Trust 2005-AR5
86359LPE3
123671.84000000
PA
USD
115762.04000000
0.004749932925
Long
ABS-MBS
CORP
US
N
2
2035-07-19
Floating
3.49343000
N
N
N
N
N
N
HOLCIM FINANCE LUX SA
529900XU3Z9D2HLBR716
Holcim Finance Luxembourg SA
000000000
1000000.00000000
PA
729765.81000000
0.029943655526
Long
DBT
CORP
LU
N
2
2030-04-06
Fixed
0.62500000
N
N
N
N
N
N
EUREX CLEARING AKTIENGESELLSCHAFT
529900LN3S50JPU47S06
Euro-BTP Italian Bond
000000000
5.00000000
NC
-24946.98000000
-0.00102362122
N/A
DIR
CORP
DE
N
1
EUREX CLEARING AKTIENGESELLSCHAFT
529900LN3S50JPU47S06
Long
BUONI POLIENNALI DEL TES
Italy Buoni Poliennali Del Tesoro
2022-12-08
582574.36000000
USD
-24946.98000000
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31415SST0
12874.33000000
PA
USD
13089.62000000
0.000537091580
Long
ABS-MBS
USGSE
US
N
2
2038-08-01
Fixed
6.00000000
N
N
N
N
N
N
Harvest CLO
635400WYER82ULCNIT53
Harvest Clo XI DAC
000000000
1680916.34000000
PA
1579224.92000000
0.064798550925
Long
ABS-CBDO
CORP
IE
N
2
2030-06-26
Floating
1.77000000
N
N
N
N
N
N
WARNERMEDIA HOLDINGS INC
549300DXR29GD4N0A520
Warnermedia Holdings Inc
55903VAG8
4335000.00000000
PA
USD
3883935.88000000
0.159365150413
Long
DBT
CORP
US
N
2
2027-03-15
Fixed
3.75500000
N
N
N
N
N
N
PETRONAS CAPITAL LTD
549300G7YFX3540OYR85
Petronas Capital Ltd
71675CAB4
200000.00000000
PA
USD
164455.42000000
0.006747913342
Long
DBT
CORP
MY
N
2
2032-01-28
Fixed
2.48000000
N
N
N
N
N
N
SVB FINANCIAL GROUP
549300D2KJ20JMXE7542
SVB Financial Group
78486QAL5
490000.00000000
PA
USD
421720.31000000
0.017303972751
Long
DBT
CORP
US
N
2
2026-10-28
Fixed
1.80000000
N
N
N
N
N
N
ROMANIA
315700IASY927EDWBK92
Romanian Government International Bond
000000000
109000.00000000
PA
55343.38000000
0.002270842349
Long
DBT
NUSS
RO
N
2
2050-01-28
Fixed
3.37500000
N
N
N
N
N
N
AERCAP IRELAND CAP/GLOBA
N/A
AerCap Ireland Capital DAC / AerCap Global Aviation Trust
00774MAU9
500000.00000000
PA
USD
457238.10000000
0.018761334077
Long
DBT
CORP
IE
N
2
2024-10-29
Fixed
1.65000000
N
N
N
N
N
N
REPUBLIC OF GUATEMALA
529900QKDFFU9UWW5315
Guatemala Government Bond
401494AF6
400000.00000000
PA
USD
362892.44000000
0.014890155262
Long
DBT
NUSS
GT
N
2
2028-02-13
Fixed
4.87500000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31418D2S0
6109882.31000000
PA
USD
5552238.24000000
0.227818715237
Long
ABS-MBS
USGSE
US
N
2
2036-07-01
Fixed
2.50000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38376RBB1
972150.47000000
PA
USD
960790.41000000
0.039423026778
Long
ABS-MBS
USGA
US
N
2
2065-05-20
Floating
2.90729000
N
N
N
N
N
N
PACIFIC GAS & ELECTRIC
1HNPXZSMMB7HMBMVBS46
Pacific Gas and Electric Co
694308KC0
1300000.00000000
PA
USD
1071847.79000000
0.043979918708
Long
DBT
CORP
US
N
2
2032-03-01
Fixed
4.40000000
N
N
N
N
N
N
JPMORGAN CHASE & CO
8I5DZWZKVSZI1NUHU748
JPMorgan Chase & Co
46647PDH6
775000.00000000
PA
USD
715700.80000000
0.029366541870
Long
DBT
CORP
US
N
2
2033-07-25
Fixed
4.91200000
N
N
N
N
N
N
Ares Euro CLO
N/A
Ares European CLO
000000000
1296635.83000000
PA
1225693.81000000
0.050292508534
Long
ABS-CBDO
CORP
IE
N
2
2030-10-15
Floating
0.66000000
N
N
N
N
N
N
KEYCORP
RKPI3RZGV1V1FJTH5T61
KeyCorp
49326EEN9
820000.00000000
PA
USD
753022.89000000
0.030897936999
Long
DBT
CORP
US
N
2
2033-06-01
Fixed
4.78900000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38376RFJ0
1150100.53000000
PA
USD
1137723.26000000
0.046682912401
Long
ABS-MBS
USGA
US
N
2
2065-08-20
Floating
2.95729000
N
N
N
N
N
N
REPUBLIC OF ALBANIA
254900EDM43U3SGRND29
Albania Government International Bond
000000000
150000.00000000
PA
127742.17000000
0.005241500056
Long
DBT
NUSS
AL
N
2
2027-06-16
Fixed
3.50000000
N
N
N
N
N
N
BNPP IP Euro CLO
635400VGNU8T62DHAX91
BNPP AM Euro CLO 2018 DAC
000000000
250000.00000000
PA
235218.13000000
0.009651439628
Long
ABS-CBDO
CORP
IE
N
2
2031-04-15
Floating
0.60000000
N
N
N
N
N
N
Sequoia Mortgage Trust
N/A
Sequoia Mortgage Trust 2004-5
81744FCF2
83900.96000000
PA
USD
77888.78000000
0.003195922261
Long
ABS-MBS
CORP
US
N
2
2034-06-20
Floating
3.30757000
N
N
N
N
N
N
Venture CDO Ltd
549300SNYYGJ2M6QEK53
Venture XVII CLO Ltd
92329YAL0
279464.84000000
PA
USD
274820.13000000
0.011276383727
Long
ABS-CBDO
CORP
KY
N
2
2027-04-15
Floating
3.39200000
N
N
N
N
N
N
US TREASURY N/B
254900HROIFWPRGM1V77
United States Treasury Note/Bond
9128285P1
2500000.00000000
PA
USD
2459423.75000000
0.100914754506
Long
DBT
UST
US
N
2
2023-11-30
Fixed
2.87500000
N
N
N
N
N
N
TD SYNNEX CORP
5493004HI6PFLF46NS53
TD SYNNEX Corp
87162WAK6
1200000.00000000
PA
USD
896200.56000000
0.036772784478
Long
DBT
CORP
US
N
2
2031-08-09
Fixed
2.65000000
N
N
N
N
N
N
NEWMONT CORP
549300VSP3RIX7FGDZ51
Newmont Corp
651639AZ9
1160000.00000000
PA
USD
885914.74000000
0.036350738054
Long
DBT
CORP
US
N
2
2032-07-15
Fixed
2.60000000
N
N
N
N
N
N
FIRST QUANTUM MINERALS L
549300I7UVBGWRYMYZ18
First Quantum Minerals Ltd
335934AT2
360000.00000000
PA
USD
324802.80000000
0.013327266122
Long
DBT
CORP
CA
N
2
2027-10-15
Fixed
6.87500000
N
N
N
N
N
N
JP Morgan Mortgage Trust
N/A
JP Morgan Mortgage Trust 2015-4
46644VBQ8
484928.25000000
PA
USD
428120.21000000
0.017566572613
Long
ABS-MBS
CORP
US
N
2
2045-06-25
Variable
3.55572100
N
N
N
N
N
N
SOCIETE GENERALE
O2RNE8IBXP4R0TD8PU41
Societe Generale SA
83367TBJ7
3600000.00000000
PA
USD
3426027.12000000
0.140576297901
Long
DBT
CORP
FR
N
2
2025-04-14
Fixed
4.25000000
N
N
N
N
N
N
WORKDAY INC
549300J0DYC0N31V7G13
Workday Inc
98138HAJ0
1895000.00000000
PA
USD
1647027.88000000
0.067580633136
Long
DBT
CORP
US
N
2
2032-04-01
Fixed
3.80000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Pool
3132A5HR9
1404379.32000000
PA
USD
1323623.72000000
0.054310755827
Long
ABS-MBS
USGSE
US
N
2
2047-10-01
Fixed
4.00000000
N
N
N
N
N
N
CROMWELL EREIT LU FINCO
213800VKBKU9G6DF2O19
Cromwell Ereit Lux Finco Sarl
000000000
600000.00000000
PA
467479.06000000
0.019181539812
Long
DBT
CORP
LU
N
2
2025-11-19
Fixed
2.12500000
N
N
N
N
N
N
BOFA SECURITIES, INC.
549300HN4UKV1E2R3U73
AUD/USD FORWARD
000000000
1.00000000
NC
USD
-124560.63000000
-0.00511095552
N/A
DFE
CORP
US
N
2
BOFA SECURITIES, INC.
549300HN4UKV1E2R3U73
-1851027.96000000
USD
2698980.00000000
AUD
2022-10-04
-124560.63000000
N
N
N
LLOYDS BANKING GROUP PLC
549300PPXHEU2JF0AM85
Lloyds Banking Group PLC
53944YAS2
1400000.00000000
PA
USD
1260066.08000000
0.051702867033
Long
DBT
CORP
GB
N
2
2028-03-18
Fixed
3.75000000
N
N
N
N
N
N
TELEDYNE TECHNOLOGIES IN
549300VSMO9KYQWDND94
Teledyne Technologies Inc
879360AE5
1730000.00000000
PA
USD
1366874.04000000
0.056085397316
Long
DBT
CORP
US
N
2
2031-04-01
Fixed
2.75000000
N
N
N
N
N
N
Structured Asset Investment Lo
N/A
Structured Asset Investment Loan Trust 2003-BC2
86358EAN6
15777.50000000
PA
USD
14963.67000000
0.000613987355
Long
ABS-MBS
CORP
US
N
2
2033-04-25
Floating
4.46400000
N
N
N
N
N
N
IRB HOLDING CORP
549300HVW4WNWYBXN830
IRB Holding Corp
44988LAH0
3551444.72090000
PA
USD
3327259.77000000
0.136523688879
Long
LON
CORP
US
N
2
2027-12-15
Floating
6.04210000
N
N
N
N
N
N
GOLDMAN SACHS BANK USA
KD3XUN7C6T14HNAYLU02
SWOP IRS USD
000000000
-1700000.00000000
NC
USD
-22034.33000000
-0.00090410975
N/A
DIR
CORP
US
N
2
GOLDMAN SACHS BANK USA
KD3XUN7C6T14HNAYLU02
Put
Written
GOLDMAN SACHS BANK USA
KD3XUN7C6T14HNAYLU02
GOLDMAN SACHS BANK USA
KD3XUN7C6T14HNAYLU02
IRS USD
000000000
0.00000000
NC
USD
0.00000000
0.00000000
DIR
CORP
US
THE SECURED OVERNIGHT FINANCING RATE
THE SECURED OVERNIGHT FINANCING RATE
2024-10-25
0.00000000
USD
0.00000000
USD
0.00000000
USD
-1700000.00000000
USD
3.14000000
USD
2023-10-23
XXXX
-10091.83000000
N
N
N
REPUBLIC OF ECUADOR
5299003Y2U5XK0A35H71
Ecuador Government International Bond
000000000
328383.90000000
PA
USD
108892.86000000
0.004468077627
Long
DBT
NUSS
EC
N
2
2035-07-31
Variable
2.50000000
N
N
N
N
N
N
UNITED RENTALS NORTH AM
NGIZXNT70J2LYT3FBI09
United Rentals North America Inc
911363AM1
869000.00000000
PA
USD
708573.91000000
0.029074112249
Long
DBT
CORP
US
N
2
2031-02-15
Fixed
3.87500000
N
N
N
N
N
N
Grupo Aeromexico SAB de CV
N/A
Grupo Aeromexico SAB de CV
000000000
50210.00000000
NS
433801.24000000
0.017799675895
Long
EC
CORP
MX
N
1
N
N
N
GS Mortgage-Backed Securities
N/A
GS Mortgage-Backed Securities Trust 2021-PJ7
36262CAB6
2263264.22000000
PA
USD
1797262.64000000
0.073745046212
Long
ABS-MBS
CORP
US
N
2
2052-01-25
Variable
2.50000000
N
N
N
N
N
N
US BANCORP
N1GZ7BBF3NP8GI976H15
US Bancorp
91159HJD3
735000.00000000
PA
USD
591700.87000000
0.024278592917
Long
DBT
CORP
US
N
2
2033-01-27
Fixed
2.67700000
N
N
N
N
N
N
ACCESS BANK PLC
029200328C3N9YI2D660
Access Bank PLC
00434G2C3
475000.00000000
PA
USD
351500.00000000
0.014422702150
Long
DBT
CORP
NG
N
2
N/A
Fixed
9.12500000
N
N
N
N
N
N
BALTIMORE GAS & ELECTRIC
88V8C2WYSOD1SPSSLH72
Baltimore Gas and Electric Co
059165EP1
1395000.00000000
PA
USD
1201298.95000000
0.049291541820
Long
DBT
CORP
US
N
2
2052-06-01
Fixed
4.55000000
N
N
N
N
N
N
BENCHMARK Mortgage Trust
N/A
Benchmark 2020-B17 Mortgage Trust
08162MAX6
3460000.00000000
PA
USD
2822256.95000000
0.115802479041
Long
ABS-MBS
CORP
US
N
2
2053-03-15
Fixed
2.28900000
N
N
N
N
N
N
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
IRS EUR
000000000
1.00000000
NC
-147241.84000000
-0.00604160797
N/A
DIR
CORP
GB
N
2
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
Y
2027-05-18
0.00000000
USD
0.00000000
USD
2000000.00000000
EUR
-147241.84000000
N
N
N
PACIFIC GAS & ELECTRIC
1HNPXZSMMB7HMBMVBS46
Pacific Gas and Electric Co
694308KB2
3200000.00000000
PA
USD
2720886.08000000
0.111643042726
Long
DBT
CORP
US
N
2
2029-03-01
Fixed
4.20000000
N
N
N
N
N
N
Deutsche Bank Commercial Mortg
N/A
DBJPM 16-C1 Mortgage Trust
23312LAS7
900000.00000000
PA
USD
837718.92000000
0.034373173454
Long
ABS-MBS
CORP
US
N
2
2049-05-10
Fixed
3.27600000
N
N
N
N
N
N
FREEPORT INDONESIA PT
549300T4HTQHRKLNE619
Freeport Indonesia PT
69377FAB2
435000.00000000
PA
USD
362137.50000000
0.014859178663
Long
DBT
CORP
ID
N
2
2032-04-14
Fixed
5.31500000
N
N
N
N
N
N
SOCIEDAD DE TRANSMISION
N/A
Sociedad de Transmision Austral SA
83364AAA1
420000.00000000
PA
USD
341276.46000000
0.014003211191
Long
DBT
CORP
CL
N
2
2032-01-27
Fixed
4.00000000
N
N
N
N
N
N
AEROPUERTO INTL TOCUMEN
254900FO1PHX49ZIGB14
Aeropuerto Internacional de Tocumen SA
00787CAE2
200000.00000000
PA
USD
143395.04000000
0.005883766577
Long
DBT
CORP
PA
N
2
2061-08-11
Fixed
5.12500000
N
N
N
N
N
N
DELTA AIR LINES INC
Q2CCMS6R0AS67HJMBN42
Delta Air Lines Inc
247361ZZ4
1858000.00000000
PA
USD
1881225.00000000
0.077190178815
Long
DBT
CORP
US
N
2
2026-01-15
Fixed
7.37500000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Pool
3132CWKJ2
7362293.12000000
PA
USD
6842532.16000000
0.280761887059
Long
ABS-MBS
USGSE
US
N
2
2035-03-01
Fixed
3.00000000
N
N
N
N
N
N
Bank
N/A
BANK 2019-BNK21
06540BBD0
2100000.00000000
PA
USD
1797642.00000000
0.073760612062
Long
ABS-MBS
CORP
US
N
2
2052-10-17
Fixed
2.85100000
N
N
N
N
N
N
GLOBAL PAYMENTS INC
549300NOMHGVQBX6S778
Global Payments Inc
37940XAB8
2150000.00000000
PA
USD
1794328.30000000
0.073624644755
Long
DBT
CORP
US
N
2
2029-08-15
Fixed
3.20000000
N
N
N
N
N
N
REPUBLIC OF ARGENTINA
549300KPBYGYF7HCHO27
Argentine Republic Government International Bond
040114HS2
645050.00000000
PA
USD
130288.17000000
0.005345967196
Long
DBT
NUSS
AR
N
2
2030-07-09
Variable
0.50000000
N
N
N
N
N
N
ACU PETROLEO LUXEMBOURG
N/A
Acu Petroleo Luxembourg Sarl
00110RAA5
460000.00000000
PA
USD
367184.79000000
0.015066278408
Long
DBT
CORP
LU
N
2
2032-01-13
Fixed
7.50000000
N
N
N
N
N
N
JP Morgan Mortgage Trust
N/A
JP Morgan Mortgage Trust 2020-2
46591TAC8
154530.80000000
PA
USD
136943.56000000
0.005619050291
Long
ABS-MBS
CORP
US
N
2
2050-07-25
Variable
3.50000000
N
N
N
N
N
N
Fannie Mae - CAS
N/A
Connecticut Avenue Securities Trust 2022-R02
20754BAB7
900000.00000000
PA
USD
821689.56000000
0.033715458845
Long
ABS-MBS
CORP
US
N
2
2042-01-25
Floating
5.28069000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140QAJA9
1006146.29000000
PA
USD
973046.59000000
0.039925920758
Long
ABS-MBS
USGSE
US
N
2
2049-01-01
Fixed
4.50000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Pool
31329QHG9
179030.49000000
PA
USD
173177.71000000
0.007105805207
Long
ABS-MBS
USGSE
US
N
2
2049-03-01
Fixed
4.50000000
N
N
N
N
N
N
TIME WARNER CABLE LLC
549300U5NFR7S6E3GM41
Time Warner Cable LLC
88732JAN8
2120000.00000000
PA
USD
2021109.42000000
0.082929898090
Long
DBT
CORP
US
N
2
2038-07-01
Fixed
7.30000000
N
N
N
N
N
N
FORD MOTOR CREDIT CO LLC
UDSQCVRUX5BONN0VY111
Ford Motor Credit Co LLC
345397A60
600000.00000000
PA
USD
567135.00000000
0.023270609343
Long
DBT
CORP
US
N
2
2025-06-16
Fixed
5.12500000
N
N
N
N
N
N
AERCAP IRELAND CAP/GLOBA
N/A
AerCap Ireland Capital DAC / AerCap Global Aviation Trust
00774MAV7
1445000.00000000
PA
USD
1220800.45000000
0.050091724824
Long
DBT
CORP
IE
N
2
2026-10-29
Fixed
2.45000000
N
N
N
N
N
N
Fannie Mae or Freddie Mac
B1V7KEBTPIMZEU4LTD58
Fannie Mae or Freddie Mac
01F0526A5
20319000.00000000
PA
USD
20195182.11000000
0.828646078106
Long
ABS-MBS
USGSE
US
N
2
2052-10-01
Fixed
5.50000000
N
N
N
N
N
N
LOYALTY VENTURES INC
549300Q3YKVWNY6JIJ44
Loyalty Ventures Inc
54912FAD2
2343.75000000
PA
USD
808.59000000
0.000033177959
Long
LON
CORP
US
N
2
2027-11-03
Floating
7.64270000
N
N
N
N
N
N
PUERTO RICO CMWLTH
549300X44HXPLJU48U63
Commonwealth of Puerto Rico
74514L3L9
355609.00000000
PA
USD
304860.04000000
0.012508977395
Long
DBT
MUN
US
N
2
2035-07-01
Fixed
4.00000000
N
N
N
N
N
N
TURK IHRACAT KR
789000JVRVYLAXGDWR11
Turkiye Ihracat Kredi Bankasi AS
90016LAA4
350000.00000000
PA
USD
291518.50000000
0.011961549066
Long
DBT
NUSS
TR
N
2
2026-07-06
Fixed
5.75000000
N
N
N
N
N
N
BAUSCH HEALTH COS INC
B3BS7ACMDUWISF18KY76
Bausch Health Cos Inc
000000000
385000.00000000
PA
USD
297372.46000000
0.012201747989
Long
LON
CORP
CA
N
2
2027-02-01
Floating
8.29210000
N
N
N
N
N
N
PFS Financing Corp.
N/A
PFS Financing Corp
69335PDZ5
1800000.00000000
PA
USD
1679356.98000000
0.068907156550
Long
ABS-O
CORP
US
N
2
2026-04-15
Fixed
0.71000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140XFNN7
3954195.78000000
PA
USD
3218722.09000000
0.132070184951
Long
ABS-MBS
USGSE
US
N
2
2052-01-01
Fixed
2.00000000
N
N
N
N
N
N
ROYALTY PHARMA PLC
549300FGFN7VOK8BZR03
Royalty Pharma PLC
78081BAP8
1298000.00000000
PA
USD
785502.61000000
0.032230640633
Long
DBT
CORP
GB
N
2
2051-09-02
Fixed
3.35000000
N
N
N
N
N
N
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
IRS EUR
000000000
1.00000000
NC
-298307.46000000
-0.01224011278
N/A
DIR
CORP
GB
N
2
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
Y
2027-05-13
0.00000000
USD
0.00000000
USD
4100000.00000000
EUR
-298307.46000000
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140X4W77
695488.84000000
PA
USD
684488.36000000
0.028085837103
Long
ABS-MBS
USGSE
US
N
2
2048-04-01
Fixed
4.50000000
N
N
N
N
N
N
APTIV PLC / APTIV CORP
N/A
Aptiv PLC / Aptiv Corp
00217GAB9
957000.00000000
PA
USD
763115.34000000
0.031312049091
Long
DBT
CORP
JE
N
2
2032-03-01
Fixed
3.25000000
N
N
N
N
N
N
FED REPUBLIC OF BRAZIL
254900ZFY40OYEADAP90
Brazilian Government International Bond
105756CB4
233000.00000000
PA
USD
159341.76000000
0.006538090312
Long
DBT
NUSS
BR
N
2
2050-01-14
Fixed
4.75000000
N
N
N
N
N
N
JEFFERIES GRP LLC / CAP
N/A
Jefferies Group LLC / Jefferies Group Capital Finance Inc
47233JGT9
2925000.00000000
PA
USD
2126404.51000000
0.087250352489
Long
DBT
CORP
US
N
2
2031-10-15
Fixed
2.62500000
N
N
N
N
N
N
FRONTIER COMMUNICATIONS
N/A
Frontier Communications Holdings LLC
35906ABE7
1165000.00000000
PA
USD
1046764.15000000
0.042950690064
Long
DBT
CORP
US
N
2
2027-10-15
Fixed
5.87500000
N
N
N
N
N
N
ICICI BANK LTD/DUBAI
R7RX8ER1V4666J8D1I38
ICICI Bank Ltd/Dubai
45112EAG4
335000.00000000
PA
USD
319441.93000000
0.013107299604
Long
DBT
CORP
IN
N
2
2026-03-18
Fixed
4.00000000
N
N
N
N
N
N
REPUBLIC OF GEORGIA
2138007T8RLEVDMLQ257
Georgia Government International Bond
37311PAB6
200000.00000000
PA
USD
171021.12000000
0.007017316288
Long
DBT
NUSS
GE
N
2
2026-04-22
Fixed
2.75000000
N
N
N
N
N
N
Countrywide Asset-Backed Certi
N/A
CWABS Asset-Backed Certificates Trust 2006-1
126670TH1
33754.81000000
PA
USD
31560.52000000
0.001294987139
Long
ABS-MBS
CORP
US
N
2
2036-07-25
Variable
4.46059500
N
N
N
N
N
N
BROWN & BROWN INC
549300PC8KTJ71XKFY89
Brown & Brown Inc
115236AC5
404000.00000000
PA
USD
302274.25000000
0.012402877597
Long
DBT
CORP
US
N
2
2031-03-15
Fixed
2.37500000
N
N
N
N
N
N
US AIRWAYS 2013-1A PTT
N/A
US Airways 2013-1 Class A Pass Through Trust
90346WAA1
47625.49000000
PA
USD
42214.32000000
0.001732132471
Long
DBT
CORP
US
N
2
2025-11-15
Fixed
3.95000000
N
N
N
N
N
N
REPUBLIC OF ECUADOR
5299003Y2U5XK0A35H71
Ecuador Government International Bond
000000000
35470.50000000
PA
USD
10351.51000000
0.000424741808
Long
DBT
NUSS
EC
N
2
2030-07-31
None
0.00000000
N
N
N
N
N
N
CITIGROUP INC
6SHGI4ZSSLCXXQSBB395
Citigroup Inc
172967NX5
3070000.00000000
PA
USD
3055195.54000000
0.125360384881
Long
DBT
CORP
US
N
2
2026-09-29
Fixed
5.61000000
N
N
N
N
N
N
WARNERMEDIA HOLDINGS INC
549300DXR29GD4N0A520
Warnermedia Holdings Inc
55903VAE3
400000.00000000
PA
USD
379172.00000000
0.015558136045
Long
DBT
CORP
US
N
2
2025-03-15
Fixed
3.63800000
N
N
N
N
N
N
MONG DUONG FIN HLDGS BV
549300995KGQFMWSV879
Mong Duong Finance Holdings BV
60935DAA3
500000.00000000
PA
USD
393528.36000000
0.016147204336
Long
DBT
CORP
NL
N
2
2029-05-07
Fixed
5.12500000
N
N
N
N
N
N
VICI PROPERTIES LP
254900X4QE7SGKQLLN38
VICI Properties LP
925650AC7
2390000.00000000
PA
USD
2164945.65000000
0.088831767518
Long
DBT
CORP
US
N
2
2030-02-15
Fixed
4.95000000
N
N
N
N
N
N
MIZUHO FINANCIAL GROUP
353800CI5L6DDAN5XZ33
Mizuho Financial Group Inc
60687YBD0
1600000.00000000
PA
USD
1452728.64000000
0.059608172064
Long
DBT
CORP
JP
N
2
2026-05-25
Fixed
2.22600000
N
N
N
N
N
N
Chase Auto Credit Linked Notes
N/A
JPMorgan Chase Bank NA - CACLN
46591HCD0
776502.98000000
PA
USD
742949.28000000
0.030484597947
Long
ABS-O
CORP
US
N
2
2029-02-26
Fixed
0.76000000
N
N
N
N
N
N
Bear Stearns Adjustable Rate M
N/A
Bear Stearns ARM Trust 2003-5
07384MWN8
15163.91000000
PA
USD
14552.39000000
0.000597111768
Long
ABS-MBS
CORP
US
N
2
2033-08-25
Variable
3.36327700
N
N
N
N
N
N
VERIZON COMMUNICATIONS
2S72QS2UO2OESLG6Y829
Verizon Communications Inc
92343VEA8
6325000.00000000
PA
USD
5710027.21000000
0.234293091672
Long
DBT
CORP
US
N
2
2033-08-10
Fixed
4.50000000
N
N
N
N
N
N
AZUL INVESTMENTS LLP
549300C6XNC8IDH04C74
Azul Investments LLP
05502FAA6
430000.00000000
PA
USD
310476.30000000
0.012739423043
Long
DBT
CORP
US
N
2
2024-10-26
Fixed
5.87500000
N
N
N
N
N
N
SAMHALLSBYGGNADSBOLAGET
549300HX9MRFY47AH564
Samhallsbyggnadsbolaget i Norden AB
000000000
900000.00000000
PA
665592.70000000
0.027310512847
Long
DBT
CORP
SE
N
2
2026-09-04
Fixed
1.12500000
N
N
N
N
N
N
Wells Fargo Commercial Mortgag
N/A
Wells Fargo Commercial Mortgage Trust 2020-C58
95002UAJ0
2300000.00000000
PA
USD
1808471.83000000
0.074204980234
Long
ABS-MBS
CORP
US
N
2
2053-07-15
Fixed
2.09200000
N
N
N
N
N
N
PENSKE TRUCK LEASING/PTL
N/A
Penske Truck Leasing Co Lp / PTL Finance Corp
709599BE3
2100000.00000000
PA
USD
2008717.41000000
0.082421430752
Long
DBT
CORP
US
N
2
2026-01-29
Fixed
4.45000000
N
N
N
N
N
N
STATE OF QATAR
52990074F6OJOAXK4P65
Qatar Government International Bond
74727PBE0
400000.00000000
PA
USD
352791.20000000
0.014475682500
Long
DBT
NUSS
QA
N
2
2050-04-16
Fixed
4.40000000
N
N
N
N
N
N
JPMORGAN CHASE BANK, NATIONAL ASSOCIATION
7H6GLXDRUGQFU57RNE97
CDS HOCHTIEF AG
000000000
1.00000000
NC
98100.09000000
0.004025230096
N/A
DCR
CORP
US
N
2
JPMORGAN CHASE BANK, NATIONAL ASSOCIATION
7H6GLXDRUGQFU57RNE97
HOCHTIEF AKTIENGESELLSCH
HOCHTIEF AKTIENGESELLSCH
Y
Default Event
2026-12-20
215290.68000000
USD
0.00000000
USD
1100000.00000000
EUR
-117190.59000000
N
N
N
REGENERON PHARMACEUTICAL
549300RCBFWIRX3HYQ56
Regeneron Pharmaceuticals Inc
75886FAF4
1170000.00000000
PA
USD
709807.53000000
0.029124729984
Long
DBT
CORP
US
N
2
2050-09-15
Fixed
2.80000000
N
N
N
N
N
N
Dryden Senior Loan Fund
549300XLLT7H0EYXK263
Dryden 36 Senior Loan Fund
26249KAZ4
3346115.51000000
PA
USD
3294478.26000000
0.135178602237
Long
ABS-CBDO
CORP
KY
N
2
2029-04-15
Floating
3.53200000
N
N
N
N
N
N
BNP PARIBAS
R0MUWSFPU8MPRO8K5P83
BNP Paribas SA
09659W2K9
2600000.00000000
PA
USD
2071132.70000000
0.084982446790
Long
DBT
CORP
FR
N
2
2031-01-13
Fixed
3.05200000
N
N
N
N
N
N
ACCESS BANK PLC
029200328C3N9YI2D660
Access Bank PLC
00434G2B5
425000.00000000
PA
USD
322609.00000000
0.013237250407
Long
DBT
CORP
NG
N
2
2026-09-21
Fixed
6.12500000
N
N
N
N
N
N
VALE OVERSEAS LIMITED
254900BA3U6G5DNV5V04
Vale Overseas Ltd
91911TAQ6
400000.00000000
PA
USD
324668.00000000
0.013321735026
Long
DBT
CORP
KY
N
2
2030-07-08
Fixed
3.75000000
N
N
N
N
N
N
ENERGY TRANSFER LP
MTLVN9N7JE8MIBIJ1H73
Energy Transfer LP
29278NAN3
3200000.00000000
PA
USD
3121172.80000000
0.128067555208
Long
DBT
CORP
US
N
2
2027-06-01
Fixed
5.50000000
N
N
N
N
N
N
REPUBLICA ORIENT URUGUAY
549300RDR012H2V82H43
Uruguay Government International Bond
917288BK7
232000.00000000
PA
USD
222500.11000000
0.009129595490
Long
DBT
NUSS
UY
N
2
2031-01-23
Fixed
4.37500000
N
N
N
N
N
N
TOBACCO SETTLEMENT FIN AUTH WV
N/A
Tobacco Settlement Finance Authority
88880LAH6
250000.00000000
PA
USD
220987.50000000
0.009067530274
Long
DBT
MUN
US
N
2
2026-06-01
Fixed
1.82000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
3132Y2LC8
52552.07000000
PA
USD
48018.28000000
0.001970279801
Long
ABS-MBS
USGSE
US
N
2
2048-09-01
Fixed
3.50000000
N
N
N
N
N
N
AIR CANADA
4B4HI3CGXMBDC0G6BM51
Air Canada
008911BK4
300000.00000000
PA
USD
258000.00000000
0.010586222346
Long
DBT
CORP
CA
N
2
2026-08-15
Fixed
3.87500000
N
N
N
N
N
N
GOLDMAN SACHS GROUP INC
784F5XWPLTWKTBV3E584
Goldman Sachs Group Inc/The
38141GYA6
2000000.00000000
PA
USD
1721223.80000000
0.070625030447
Long
DBT
CORP
US
N
2
2027-03-09
Fixed
1.43100000
N
N
N
N
N
N
JP Morgan Mortgage Trust
549300BV8AJIRLDGMR51
JP Morgan Mortgage Trust 2014-2
46641YAP8
21186.23000000
PA
USD
18237.52000000
0.000748319541
Long
ABS-MBS
CORP
US
N
2
2029-06-25
Variable
3.41838500
N
N
N
N
N
N
Fannie Mae - CAS
N/A
Connecticut Avenue Securities Trust 2019-R02
20753KAB8
187785.49000000
PA
USD
187309.23000000
0.007685647893
Long
ABS-MBS
CORP
US
N
2
2031-08-25
Floating
5.38400000
N
N
N
N
N
N
GS Mortgage Securities Trust
N/A
GS Mortgage Securities Trust 2017-GS6
36253PAC6
1935000.00000000
PA
USD
1785502.29000000
0.073262497064
Long
ABS-MBS
CORP
US
N
2
2050-05-10
Fixed
3.43300000
N
N
N
N
N
N
FIFTH THIRD BANCORP
THRNG6BD57P9QWTQLG42
Fifth Third Bancorp
316773DF4
855000.00000000
PA
USD
759116.71000000
0.031147977826
Long
DBT
CORP
US
N
2
2033-04-25
Fixed
4.33700000
N
N
N
N
N
N
Chase Mortgage Finance Corpora
N/A
Chase Mortgage Finance Trust Series 2005-A1
16162WPJ2
40917.07000000
PA
USD
35931.14000000
0.001474321849
Long
ABS-MBS
CORP
US
N
2
2035-12-25
Variable
2.95835300
N
N
N
N
N
N
BOEING CO
RVHJWBXLJ1RFUBSY1F30
Boeing Co/The
097023CQ6
5355000.00000000
PA
USD
3500852.67000000
0.143646530109
Long
DBT
CORP
US
N
2
2050-02-01
Fixed
3.75000000
N
N
N
N
N
N
ENTERPRISE PRODUCTS OPER
5493004LGN656HWLDA30
Enterprise Products Operating LLC
29379VCB7
570000.00000000
PA
USD
372354.61000000
0.015278405788
Long
DBT
CORP
US
N
2
2053-02-15
Fixed
3.30000000
N
N
N
N
N
N
NATIONWIDE BLDG SOCIETY
549300XFX12G42QIKN82
Nationwide Building Society
63861VAA5
800000.00000000
PA
USD
791216.72000000
0.032465101249
Long
DBT
CORP
GB
N
2
2024-03-08
Fixed
3.76600000
N
N
N
N
N
N
FannieMae Whole Loan
549300KIT83OL5QXFU28
Fannie Mae Trust 2004-W15
31394BZ64
16027.69000000
PA
USD
16248.78000000
0.000666717821
Long
ABS-MBS
USGSE
US
N
2
2044-08-25
Fixed
6.00000000
N
N
N
N
N
N
TARGA RESOURCES PARTNERS
N/A
Targa Resources Partners LP / Targa Resources Partners Finance Corp
87612BBG6
765000.00000000
PA
USD
709273.35000000
0.029102811580
Long
DBT
CORP
US
N
2
2028-01-15
Fixed
5.00000000
N
N
N
N
N
N
MASTR Adjustable Rate Mortgage
N/A
MASTR Adjustable Rate Mortgages Trust 2004-4
576433ME3
34307.30000000
PA
USD
32479.37000000
0.001332689273
Long
ABS-MBS
CORP
US
N
2
2034-05-25
Variable
2.77529500
N
N
N
N
N
N
Euro Galaxy CLO DAC
635400H1W7SGWXGQOB43
Euro-Galaxy III CLO DAC
000000000
4000000.00000000
PA
3724409.53000000
0.152819486028
Long
ABS-CBDO
CORP
IE
N
2
2034-04-24
Floating
0.76500000
N
N
N
N
N
N
Fannie Mae or Freddie Mac
B1V7KEBTPIMZEU4LTD58
Fannie Mae or Freddie Mac
01F0226A8
37400000.00000000
PA
USD
31371441.64000000
1.287228901326
Long
ABS-MBS
USGSE
US
N
2
2052-10-15
Fixed
2.50000000
N
N
N
N
N
N
Fannie Mae - CAS
B1V7KEBTPIMZEU4LTD58
Fannie Mae Connecticut Avenue Securities
30711XLT9
286003.17000000
PA
USD
287784.31000000
0.011808328269
Long
ABS-MBS
CORP
US
N
2
2029-11-25
Floating
5.93400000
N
N
N
N
N
N
US TREASURY N/B
254900HROIFWPRGM1V77
United States Treasury Note/Bond
912810ST6
100000.00000000
PA
USD
64705.08000000
0.002654970402
Long
DBT
UST
US
N
2
2040-11-15
Fixed
1.37500000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140XB5S5
4623409.52000000
PA
USD
4057990.58000000
0.166506940160
Long
ABS-MBS
USGSE
US
N
2
2051-07-01
Fixed
3.00000000
N
N
N
N
N
N
Sequoia Mortgage Trust
5493007E0SBYHIR7SU85
Sequoia Mortgage Trust 2015-1
81745QCB6
130875.79000000
PA
USD
121136.12000000
0.004970441475
Long
ABS-MBS
CORP
US
N
2
2045-01-25
Variable
3.91737300
N
N
N
N
N
N
BANCO MERCANTIL DE NORTE
549300QTVYRPFHS0J362
Banco Mercantil del Norte SA/Grand Cayman
05971PAC2
375000.00000000
PA
USD
343912.50000000
0.014111372840
Long
DBT
CORP
MX
N
2
N/A
Fixed
8.37500000
N
N
N
N
N
N
VALERO ENERGY CORP
549300XTO5VR8SKV1V74
Valero Energy Corp
91913YBD1
1773000.00000000
PA
USD
1211970.32000000
0.049729408082
Long
DBT
CORP
US
N
2
2051-12-01
Fixed
3.65000000
N
N
N
N
N
N
REPUBLIC OF SRI LANKA
254900HXCCIOHM74FA02
Sri Lanka Government International Bond
85227SAT3
453000.00000000
PA
USD
115700.37000000
0.004747402490
Long
DBT
NUSS
LK
N
2
2027-05-11
Fixed
6.20000000
N
N
N
N
N
N
SLM Student Loan Trust
5493001M3I3E3XROS356
SLM Student Loan Trust 2003-11
78442GJS6
9542.65000000
PA
USD
9528.94000000
0.000390990223
Long
ABS-O
CORP
US
N
2
2025-12-15
Floating
3.84257000
N
N
N
N
N
N
OWL ROCK CAPITAL CORP
2549000BD79OOCPF2L94
Owl Rock Capital Corp
69121KAG9
500000.00000000
PA
USD
381518.30000000
0.015654409120
Long
DBT
CORP
US
N
2
2028-06-11
Fixed
2.87500000
N
N
N
N
N
N
INTESA SANPAOLO SPA
2W8N8UU78PMDQKZENC08
Intesa Sanpaolo SpA
000000000
200000.00000000
PA
173713.86000000
0.007127804444
Long
DBT
CORP
IT
N
2
N/A
Fixed
7.75000000
N
N
N
N
N
N
WYNN MACAU LTD
254900NMDQ8ENTHU1I31
Wynn Macau Ltd
000000000
200000.00000000
PA
USD
151984.00000000
0.006236187663
Long
DBT
CORP
KY
N
2
2026-01-15
Fixed
5.50000000
N
N
N
N
N
N
T-MOBILE USA INC
549300V2JRLO5DIFGE82
T-Mobile USA Inc
87264ABF1
1400000.00000000
PA
USD
1242677.94000000
0.050989399140
Long
DBT
CORP
US
N
2
2030-04-15
Fixed
3.87500000
N
N
N
N
N
N
Morgan Stanley Capital Inc
N/A
Morgan Stanley ABS Capital I Inc Trust 2007-HE1
617526AE8
3735636.11000000
PA
USD
2298192.47000000
0.094299133656
Long
ABS-MBS
CORP
US
N
2
2036-11-25
Floating
3.23400000
N
N
N
N
N
N
STUDIO CITY FINANCE LTD
254900D6R731QAUIG324
Studio City Finance Ltd
86389QAF9
495000.00000000
PA
USD
242303.49000000
0.009942165195
Long
DBT
CORP
VG
N
2
2028-01-15
Fixed
6.50000000
N
N
N
N
N
N
BACARDI LTD
549300R32WTQNHNN5055
Bacardi Ltd
067316AE9
500000.00000000
PA
USD
479876.85000000
0.019690244314
Long
DBT
CORP
BM
N
2
2025-05-15
Fixed
4.45000000
N
N
N
N
N
N
VISTRA OPERATIONS CO LLC
549300ZH5GKBTJZ7NM23
Vistra Operations Co LLC
88233FAK6
510047.54280000
PA
USD
494012.67000000
0.020270263437
Long
LON
CORP
US
N
2
2025-12-31
Floating
4.74340000
N
N
N
N
N
N
GOVT OF BERMUDA
549300FP5PUZXX9FVJ40
Bermuda Government International Bond
085209AJ3
400000.00000000
PA
USD
380799.24000000
0.015624904744
Long
DBT
NUSS
BM
N
2
2032-07-15
Fixed
5.00000000
N
N
N
N
N
N
Venture CDO Ltd
549300EDZDHKTKE7JV77
Venture XXIV CLO Ltd
92330WBJ5
423272.29000000
PA
USD
414934.67000000
0.017025545255
Long
ABS-CBDO
CORP
KY
N
2
2028-10-20
Floating
3.60986000
N
N
N
N
N
N
ADVANTAGE SALES & MARKETING
549300T4O24KQDED1182
Advantage Sales & Marketing Inc
00769EAZ3
699345.47800000
PA
USD
627225.48000000
0.025736234080
Long
LON
CORP
US
N
2
2027-10-28
Floating
7.61530000
N
N
N
N
N
N
HYUNDAI CAPITAL SERVICES
549300MALMDAGL2ZJJ27
Hyundai Capital Services Inc
44920UAQ1
1800000.00000000
PA
USD
1726023.42000000
0.070821967829
Long
DBT
CORP
KR
N
2
2023-09-15
Fixed
0.75000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140X7D97
803816.43000000
PA
USD
705286.62000000
0.028939228595
Long
ABS-MBS
USGSE
US
N
2
2050-07-01
Fixed
3.00000000
N
N
N
N
N
N
FannieMae Whole Loan
N/A
Fannie Mae REMIC Trust 2004-W11
31394AB47
23758.91000000
PA
USD
24518.88000000
0.001006055485
Long
ABS-MBS
USGSE
US
N
2
2044-05-25
Fixed
6.50000000
N
N
N
N
N
N
DEUTSCHE BANK AKTIENGESELLSCHAFT
7LTWFZYICNSX8D621K86
ZAR/USD FORWARD
000000000
1.00000000
NC
USD
-94647.24000000
-0.00388355320
N/A
DFE
CORP
US
N
2
DEUTSCHE BANK AKTIENGESELLSCHAFT
7LTWFZYICNSX8D621K86
-687646.00000000
USD
10804156.42000000
ZAR
2022-12-12
-94647.24000000
N
N
N
AMER AIRLINE 16-3 AA PTT
N/A
American Airlines 2016-3 Class AA Pass Through Trust
023771R91
970823.77000000
PA
USD
840224.96000000
0.034476000960
Long
DBT
CORP
US
N
2
2028-10-15
Fixed
3.00000000
N
N
N
N
N
N
STATE STREET CORP
549300ZFEEJ2IP5VME73
State Street Corp
857477BS1
1210000.00000000
PA
USD
1062188.94000000
0.043583598035
Long
DBT
CORP
US
N
2
2028-02-07
Fixed
2.20300000
N
N
N
N
N
N
TELEDYNE TECHNOLOGIES IN
549300VSMO9KYQWDND94
Teledyne Technologies Inc
879360AD7
1980000.00000000
PA
USD
1653454.44000000
0.067844326907
Long
DBT
CORP
US
N
2
2028-04-01
Fixed
2.25000000
N
N
N
N
N
N
REGENERON PHARMACEUTICAL
549300RCBFWIRX3HYQ56
Regeneron Pharmaceuticals Inc
75886FAE7
825000.00000000
PA
USD
625638.17000000
0.025671103784
Long
DBT
CORP
US
N
2
2030-09-15
Fixed
1.75000000
N
N
N
N
N
N
REPUBLIC OF UZBEKISTAN
213800L6VDKUM3TCM927
Republic of Uzbekistan International Bond
91822Q2E6
200000.00000000
PA
USD
140900.00000000
0.005781390421
Long
DBT
NUSS
UZ
N
2
2031-10-19
Fixed
3.90000000
N
N
N
N
N
N
SOUTH CAROLINA ST PUBLIC SVC A
EMBXY64GWKA9MZGFUD26
South Carolina Public Service Authority
837151NP0
145000.00000000
PA
USD
129779.35000000
0.005325089360
Long
DBT
MUN
US
N
2
2045-12-01
Fixed
4.77000000
N
N
N
N
N
N
CVS HEALTH CORP
549300EJG376EN5NQE29
CVS Health Corp
126650CZ1
2635000.00000000
PA
USD
2326714.75000000
0.095469456128
Long
DBT
CORP
US
N
2
2048-03-25
Fixed
5.05000000
N
N
N
N
N
N
OFFICE CHERIFIEN DES PHO
213800D26TAPVTCVWG40
OCP SA
67091TAE5
240000.00000000
PA
USD
153699.60000000
0.006306581938
Long
DBT
CORP
MA
N
2
2051-06-23
Fixed
5.12500000
N
N
N
N
N
N
DataBank Issuer LLC
N/A
DataBank Issuer
23802WAA9
1600000.00000000
PA
USD
1373809.60000000
0.056369976309
Long
ABS-O
CORP
US
N
2
2051-02-27
Fixed
2.06000000
N
N
N
N
N
N
Morgan Stanley Capital I Trust
N/A
Morgan Stanley Capital I Trust 2019-L3
61691UBE8
1000000.00000000
PA
USD
867091.80000000
0.035578397635
Long
ABS-MBS
CORP
US
N
2
2052-11-15
Fixed
3.12700000
N
N
N
N
N
N
CVS HEALTH CORP
549300EJG376EN5NQE29
CVS Health Corp
126650DP2
2755000.00000000
PA
USD
1814880.49000000
0.074467939535
Long
DBT
CORP
US
N
2
2040-08-21
Fixed
2.70000000
N
N
N
N
N
N
Vibrant CLO Ltd
5493007DQ2IM8HOLV582
Vibrant Clo VII Ltd
92558BAJ7
4500000.00000000
PA
USD
4412646.00000000
0.181059115092
Long
ABS-CBDO
CORP
KY
N
2
2030-09-15
Floating
3.74986000
N
N
N
N
N
N
ORYX FUNDING LTD
549300S728CF0BBRC295
Oryx Funding Ltd
67114NAA9
660000.00000000
PA
USD
589739.04000000
0.024198095364
Long
DBT
CORP
KY
N
2
2031-02-03
Fixed
5.80000000
N
N
N
N
N
N
GOLDMAN SACHS BANK USA
KD3XUN7C6T14HNAYLU02
SWOP IRS USD
000000000
-156100000.00000000
NC
USD
-0.06000000
-0.00000000246
N/A
DIR
CORP
US
N
2
GOLDMAN SACHS BANK USA
KD3XUN7C6T14HNAYLU02
Call
Written
GOLDMAN SACHS BANK USA
KD3XUN7C6T14HNAYLU02
GOLDMAN SACHS BANK USA
KD3XUN7C6T14HNAYLU02
IRS USD
000000000
0.00000000
NC
USD
0.00000000
0.00000000
DIR
CORP
US
2022-11-02
0.00000000
USD
0.00000000
USD
0.00000000
USD
-156100000.00000000
USD
0.87000000
USD
2022-11-02
XXXX
310489.94000000
N
N
N
AMGEN INC
62QBXGPJ34PQ72Z12S66
Amgen Inc
031162CT5
3300000.00000000
PA
USD
2934841.14000000
0.120422018839
Long
DBT
CORP
US
N
2
2027-02-21
Fixed
2.20000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Pool
3132DVLR4
4357694.51000000
PA
USD
3687508.11000000
0.151305351776
Long
ABS-MBS
USGSE
US
N
2
2051-02-01
Fixed
2.50000000
N
N
N
N
N
N
JPMORGAN CHASE & CO
8I5DZWZKVSZI1NUHU748
JPMorgan Chase & Co
48128BAG6
1185000.00000000
PA
USD
1035216.00000000
0.042476847879
Long
DBT
CORP
US
N
2
N/A
Fixed
4.60000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31409JXU9
13795.08000000
PA
USD
14436.62000000
0.000592361508
Long
ABS-MBS
USGSE
US
N
2
2036-06-01
Fixed
6.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31416YJD1
169612.00000000
PA
USD
163234.59000000
0.006697820404
Long
ABS-MBS
USGSE
US
N
2
2040-07-01
Fixed
4.50000000
N
N
N
N
N
N
Harvest CLO
635400UREZHY9PWJR290
Harvest CLO XXI DAC
000000000
250000.00000000
PA
214793.64000000
0.008813384619
Long
ABS-CBDO
CORP
IE
N
2
2031-07-15
Fixed
1.04000000
N
N
N
N
N
N
VIASAT INC
UFC8NYMNFSYIHNSM2I38
Viasat Inc
92555WAD7
2783025.00000000
PA
USD
2473413.47000000
0.101488778872
Long
LON
CORP
US
N
2
2029-03-04
Floating
7.54210000
N
N
N
N
N
N
BROADRIDGE FINANCIAL SOL
549300KZDJZQ2YIHRC28
Broadridge Financial Solutions Inc
11133TAE3
2698000.00000000
PA
USD
2141185.68000000
0.087856851528
Long
DBT
CORP
US
N
2
2031-05-01
Fixed
2.60000000
N
N
N
N
N
N
HEXION INC
54930030FZF8HYAEHM46
Hexion Inc
00217XAB2
2309212.50000000
PA
USD
1981304.33000000
0.081296620830
Long
LON
CORP
US
N
2
2029-03-15
Floating
7.51840000
N
N
N
N
N
N
Towd Point Mortgage Trust
N/A
Towd Point Mortgage Trust 2019-4
89178BAA2
5707274.08000000
PA
USD
5373616.56000000
0.220489533763
Long
ABS-MBS
CORP
US
N
2
2059-10-25
Variable
2.90000000
N
N
N
N
N
N
HOLCIM FINANCE LUX SA
529900XU3Z9D2HLBR716
Holcim Finance Luxembourg SA
000000000
1100000.00000000
PA
761757.98000000
0.031256354072
Long
DBT
CORP
LU
N
2
2031-04-23
Fixed
0.50000000
N
N
N
N
N
N
JEFFERIES GROUP LLC
NY9Q8VBNB6D1L6YV0J84
Jefferies Group LLC
472319AE2
331000.00000000
PA
USD
336177.67000000
0.013793998304
Long
DBT
CORP
US
N
2
2027-06-08
Fixed
6.45000000
N
N
N
N
N
N
Equifirst Mortgage Loan Trust
N/A
EquiFirst Mortgage Loan Trust 2004-2
29445FBP2
662360.69000000
PA
USD
652503.17000000
0.026773424959
Long
ABS-MBS
CORP
US
N
2
2034-10-25
Floating
6.08400000
N
N
N
N
N
N
ABBVIE INC
FR5LCKFTG8054YNNRU85
AbbVie Inc
00287YCA5
3193000.00000000
PA
USD
2577529.77000000
0.105760865313
Long
DBT
CORP
US
N
2
2039-11-21
Fixed
4.05000000
N
N
N
N
N
N
SAUDI ARABIAN OIL CO
5586006WD91QHB7J4X50
Saudi Arabian Oil Co
80414L2M6
220000.00000000
PA
USD
142459.02000000
0.005845359926
Long
DBT
CORP
SA
N
2
2070-11-24
Fixed
3.50000000
N
N
N
N
N
N
Dryden Euro CLO
635400V5VX7XDQVRNU55
Dryden 52 Euro CLO 2017 DAC
000000000
2200000.00000000
PA
2060094.11000000
0.084529512805
Long
ABS-CBDO
CORP
IE
N
2
2034-05-15
Floating
1.18100000
N
N
N
N
N
N
DEUTSCHE BANK NY
7LTWFZYICNSX8D621K86
Deutsche Bank AG/New York NY
251526CE7
700000.00000000
PA
USD
595040.32000000
0.024415616794
Long
DBT
CORP
DE
N
2
2026-11-24
Fixed
2.12900000
N
N
N
N
N
N
USI INC/NY
N/A
USI Inc/NY
90351NAE5
565612.55340000
PA
USD
551884.57000000
0.022644855689
Long
LON
CORP
US
N
2
2024-05-16
Floating
6.09970000
N
N
N
N
N
N
Structured Asset Securities Co
N/A
Structured Asset Securities Corp Mortgage Loan Trust 2006-BC2
86361GAA4
3122582.70000000
PA
USD
2182102.01000000
0.089535725044
Long
ABS-O
CORP
US
N
2
2036-09-25
Floating
3.23900000
N
N
N
N
N
N
ASHTEAD CAPITAL INC
213800J1134IW58IC398
Ashtead Capital Inc
045054AN3
665000.00000000
PA
USD
558340.72000000
0.022909763593
Long
DBT
CORP
US
N
2
2026-08-12
Fixed
1.50000000
N
N
N
N
N
N
HCA INC
L3CJ6J7LJ2DX62FTXD46
HCA Inc
19767QAQ8
30000.00000000
PA
USD
31308.23000000
0.001284635209
Long
DBT
CORP
US
N
2
2025-09-15
Fixed
7.58000000
N
N
N
N
N
N
DOMINICAN REPUBLIC
254900EHU7Q8FGVPI369
Dominican Republic International Bond
25714PEF1
885000.00000000
PA
USD
668671.75000000
0.027436852025
Long
DBT
NUSS
DO
N
2
2032-09-23
Fixed
4.87500000
N
N
N
N
N
N
Jubilee CDO BV
635400JSFGFQPD2VOA16
Jubilee CLO 2016-XVII DAC
000000000
500000.00000000
PA
466141.18000000
0.019126644094
Long
ABS-CBDO
CORP
IE
N
2
2031-04-15
Floating
0.65000000
N
N
N
N
N
N
Morgan Stanley Capital Inc
N/A
Morgan Stanley ABS Capital I Inc Trust 2007-HE5
61753KAE6
2752795.63000000
PA
USD
1272347.10000000
0.052206780244
Long
ABS-MBS
CORP
US
N
2
2037-03-25
Floating
3.42400000
N
N
N
N
N
N
ECOPETROL SA
254900IDGKCJICKBPA66
Ecopetrol SA
279158AL3
265000.00000000
PA
USD
239925.70000000
0.009844600026
Long
DBT
CORP
CO
N
2
2026-06-26
Fixed
5.37500000
N
N
N
N
N
N
WAMU Mortgage Pass-Through Cer
N/A
WaMu Mortgage Pass-Through Certificates Series 2007-HY1 Trust
92925VAK6
113754.21000000
PA
USD
104995.57000000
0.004308164532
Long
ABS-MBS
CORP
US
N
2
2037-02-25
Variable
3.20835300
N
N
N
N
N
N
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
IRS USD
000000000
1.00000000
NC
USD
150457.68000000
0.006173559900
N/A
DIR
CORP
GB
N
2
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
Y
2023-03-30
0.00000000
USD
-1680.74000000
USD
7600000.00000000
USD
152138.42000000
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140X5PY3
1005514.43000000
PA
USD
919694.08000000
0.037736767526
Long
ABS-MBS
USGSE
US
N
2
2048-11-01
Fixed
3.50000000
N
N
N
N
N
N
REPUBLIC OF PARAGUAY
529900UXKJTJPCU0HK83
Paraguay Government International Bond
699149AJ9
300000.00000000
PA
USD
268033.02000000
0.010997895914
Long
DBT
NUSS
PY
N
2
2031-04-28
Fixed
4.95000000
N
N
N
N
N
N
CHARTER COMM OPT LLC/CAP
N/A
Charter Communications Operating LLC / Charter Communications Operating Capital
161175AY0
430000.00000000
PA
USD
419696.17000000
0.017220918502
Long
DBT
CORP
US
N
2
2025-07-23
Fixed
4.90800000
N
N
N
N
N
N
AERCAP IRELAND CAP/GLOBA
N/A
AerCap Ireland Capital DAC / AerCap Global Aviation Trust
00774MAW5
3660000.00000000
PA
USD
2938446.37000000
0.120569948167
Long
DBT
CORP
IE
N
2
2028-10-29
Fixed
3.00000000
N
N
N
N
N
N
GOLDMAN SACHS BANK USA
KD3XUN7C6T14HNAYLU02
SWOP IRS EUR
000000000
-4200000.00000000
NC
-37088.49000000
-0.00152181008
N/A
DIR
CORP
US
N
2
GOLDMAN SACHS BANK USA
KD3XUN7C6T14HNAYLU02
Put
Written
GOLDMAN SACHS BANK USA
KD3XUN7C6T14HNAYLU02
GOLDMAN SACHS BANK USA
KD3XUN7C6T14HNAYLU02
IRS EUR
000000000
0.00000000
NC
0.00000000
0.00000000
DIR
CORP
US
US
2024-04-28
0.00000000
USD
0.00000000
USD
0.00000000
EUR
-4200000.00000000
USD
2.25000000
EUR
2023-04-26
XXXX
-29690.54000000
N
N
N
SANDS CHINA LTD
549300EVO6UZDGY05787
Sands China Ltd
80007RAS4
740000.00000000
PA
USD
532049.49000000
0.021830985273
Long
DBT
CORP
KY
N
2
2031-08-08
Variable
3.75000000
N
N
N
N
N
N
AMERICAN HOMES 4 RENT
549300N4PXZ37U8QKI55
American Homes 4 Rent LP
02666TAE7
1685000.00000000
PA
USD
1391585.39000000
0.057099350206
Long
DBT
CORP
US
N
2
2032-04-15
Fixed
3.62500000
N
N
N
N
N
N
Fannie Mae - CAS
N/A
Connecticut Avenue Securities Trust 2022-R01
20754LAB5
1500000.00000000
PA
USD
1365944.25000000
0.056047246294
Long
ABS-MBS
CORP
US
N
2
2041-12-25
Floating
4.18069000
N
N
N
N
N
N
Freddie Mac - STACR
5493005LAQ76UDHPEE03
Freddie Mac Stacr Remic Trust 2019-Hqa4
35565CAH9
76027.80000000
PA
USD
75786.78000000
0.003109673271
Long
ABS-MBS
CORP
US
N
2
2049-11-25
Floating
5.13400000
N
N
N
N
N
N
FORD MOTOR CREDIT CO LLC
UDSQCVRUX5BONN0VY111
Ford Motor Credit Co LLC
345397B85
345000.00000000
PA
USD
306158.97000000
0.012562274922
Long
DBT
CORP
US
N
2
2025-02-10
Fixed
2.30000000
N
N
N
N
N
N
INDIGO GROUP SAS
213800H5J9NKEXSUQX44
Indigo Group SAS
000000000
1700000.00000000
PA
1435862.04000000
0.058916103933
Long
DBT
CORP
FR
N
2
2028-04-19
Fixed
1.62500000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138EQL34
1873953.89000000
PA
USD
1827299.93000000
0.074977532377
Long
ABS-MBS
USGSE
US
N
2
2042-01-01
Fixed
4.50000000
N
N
N
N
N
N
ACRISURE LLC
549300R0Z1Q47XRTGO22
Acrisure LLC
00488PAP0
297750.00000000
PA
USD
280629.38000000
0.011514748115
Long
LON
CORP
US
N
2
2027-02-15
Floating
7.33030000
N
N
N
N
N
N
ENN ENERGY HOLDINGS LTD
549300V7BXPWT6WIPR03
ENN Energy Holdings Ltd
26876FAC6
605000.00000000
PA
USD
489720.03000000
0.020094128392
Long
DBT
CORP
KY
N
2
2030-09-17
Fixed
2.62500000
N
N
N
N
N
N
US TREASURY N/B
254900HROIFWPRGM1V77
United States Treasury Note/Bond
912828D56
1820000.00000000
PA
USD
1757935.09000000
0.072131363310
Long
DBT
UST
US
N
2
2024-08-15
Fixed
2.37500000
N
N
N
N
N
N
REPUBLIC OF PANAMA
549300SHS4T08CL0LP14
Panama Government International Bond
698299BJ2
363000.00000000
PA
USD
345485.25000000
0.014175905713
Long
DBT
NUSS
PA
N
2
2026-04-17
Fixed
3.75000000
N
N
N
N
N
N
JAPAN TREASURY DISC BILL
353800WZS8AXZXFUC241
Japan Treasury Discount Bill
000000000
12000000000.00000000
PA
82916785.46000000
3.402230725447
Long
DBT
NUSS
JP
N
2
2022-10-17
None
0.00000000
N
N
N
N
N
N
JP Morgan Mortgage Trust
N/A
JP Morgan Mortgage Trust 2020-5
46653JAC5
884562.14000000
PA
USD
749184.59000000
0.030740444374
Long
ABS-MBS
CORP
US
N
2
2050-12-25
Variable
3.00000000
N
N
N
N
N
N
REPUBLIC OF PERU
254900STKLK2DBJJZ530
Peruvian Government International Bond
715638DE9
323000.00000000
PA
USD
293550.86000000
0.012044940597
Long
DBT
NUSS
PE
N
2
2026-01-23
Fixed
2.39200000
N
N
N
N
N
N
PERUSAHAAN LISTRIK NEGAR
254900OYVDRYS9J51J61
Perusahaan Perseroan Persero PT Perusahaan Listrik Negara
71568PAC3
300000.00000000
PA
USD
278176.50000000
0.011414101863
Long
DBT
CORP
ID
N
2
2027-05-15
Fixed
4.12500000
N
N
N
N
N
N
Harvest CLO
635400HU8ASOJYEX2I14
Harvest CLO XVI DAC
000000000
2000000.00000000
PA
1862879.04000000
0.076437409777
Long
ABS-CBDO
CORP
IE
N
2
2031-10-15
Floating
0.64000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140QBCC0
567415.90000000
PA
USD
535372.68000000
0.021967341972
Long
ABS-MBS
USGSE
US
N
2
2049-06-01
Fixed
4.00000000
N
N
N
N
N
N
CHICAGO MERCANTILE EXCHANGE INC.
SNZ2OJLFK8MNNCLQOF39
ZCS IRS BRL
000000000
1.00000000
NC
17285.78000000
0.000709267870
N/A
DIR
CORP
US
N
2
CHICAGO MERCANTILE EXCHANGE INC.
SNZ2OJLFK8MNNCLQOF39
Y
2025-01-02
0.00000000
USD
0.00000000
USD
37000000.00000000
BRL
17285.78000000
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38375Y3P5
838126.00000000
PA
USD
59487.00000000
0.002440862824
Long
ABS-MBS
USGA
US
N
2
2039-01-20
Floating
2.80614000
N
N
N
N
N
N
CITIGROUP INC.
6SHGI4ZSSLCXXQSBB395
USD/EUR FORWARD
000000000
1.00000000
NC
USD
-4977.52000000
-0.00020423695
N/A
DFE
CORP
US
N
2
CITIGROUP INC.
6SHGI4ZSSLCXXQSBB395
-310000.00000000
EUR
298920.51000000
USD
2022-10-04
-4977.52000000
N
N
N
BERRY GLOBAL INC
549300AP2Q7ERHX6RI89
Berry Global Inc
08579JBG6
617900.28000000
PA
USD
599620.94000000
0.024603568196
Long
LON
CORP
US
N
2
2026-07-01
Floating
4.89270000
N
N
N
N
N
N
MILEAGE PLUS HLDINGS LLC
N/A
Mileage Plus Holdings LLC / Mileage Plus Intellectual Property Assets Ltd
599191AA1
4750000.00000000
PA
USD
4658040.00000000
0.191128089691
Long
DBT
CORP
US
N
2
2027-06-20
Fixed
6.50000000
N
N
N
N
N
N
WARNERMEDIA HOLDINGS INC
549300DXR29GD4N0A520
Warnermedia Holdings Inc
55903VAQ6
1825000.00000000
PA
USD
1329928.24000000
0.054569442069
Long
DBT
CORP
US
N
2
2052-03-15
Fixed
5.14100000
N
N
N
N
N
N
AMGEN INC
62QBXGPJ34PQ72Z12S66
Amgen Inc
031162DA5
7060000.00000000
PA
USD
4836229.20000000
0.198439525703
Long
DBT
CORP
US
N
2
2041-08-15
Fixed
2.80000000
N
N
N
N
N
N
ARES CLO Ltd
5493005YAOTYJUJV3S58
Ares XXXIX CLO Ltd
04015WBA1
1500000.00000000
PA
USD
1459488.00000000
0.059885521242
Long
ABS-CBDO
CORP
KY
N
2
2031-04-18
Floating
3.79029000
N
N
N
N
N
N
JP Morgan Mortgage Trust
N/A
JP Morgan Trust 2015-6
46645GAY4
195831.53000000
PA
USD
179246.83000000
0.007354832547
Long
ABS-MBS
CORP
US
N
2
2045-10-25
Variable
3.53212400
N
N
N
N
N
N
AVANTOR FUNDING INC
5493003VM0XB4U8YD238
Avantor Funding Inc
05350NAL8
710087.10750000
PA
USD
694257.85000000
0.028486697543
Long
LON
CORP
US
N
2
2027-11-06
Floating
5.39270000
N
N
N
N
N
N
SVB FINANCIAL GROUP
549300D2KJ20JMXE7542
SVB Financial Group
78486QAF8
775000.00000000
PA
USD
555635.40000000
0.022798759256
Long
DBT
CORP
US
N
2
2031-02-02
Fixed
1.80000000
N
N
N
N
N
N
GLP CAPITAL LP / FIN II
N/A
GLP Capital LP / GLP Financing II Inc
361841AP4
2600000.00000000
PA
USD
2176795.40000000
0.089317984914
Long
DBT
CORP
US
N
2
2030-01-15
Fixed
4.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae REMICS
31396QD71
94022.95000000
PA
USD
7820.92000000
0.000320906969
Long
ABS-MBS
USGSE
US
N
2
2039-09-25
Floating
3.66600000
N
N
N
N
N
N
US TREASURY N/B
254900HROIFWPRGM1V77
United States Treasury Note/Bond
91282CFF3
2055000.00000000
PA
USD
1879361.82000000
0.077113729056
Long
DBT
UST
US
N
2
2032-08-15
Fixed
2.75000000
N
N
N
N
N
N
GS Mortgage-Backed Securities
N/A
GS Mortgage-Backed Securities Corp Trust 2021-PJ4
36264PAH2
2206172.97000000
PA
USD
1897999.29000000
0.077878459294
Long
ABS-MBS
CORP
US
N
2
2051-09-25
Variable
2.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140KVBU3
3033675.86000000
PA
USD
2471717.44000000
0.101419187590
Long
ABS-MBS
USGSE
US
N
2
2050-12-01
Fixed
2.00000000
N
N
N
N
N
N
LLOYDS BANKING GROUP PLC
549300PPXHEU2JF0AM85
Lloyds Banking Group PLC
539439AV1
300000.00000000
PA
USD
275868.57000000
0.011319403180
Long
DBT
CORP
GB
N
2
2026-02-05
Fixed
2.43800000
N
N
N
N
N
N
TRANSPORT DE GAS DEL SUR
5299002TRC7IFQYSW596
Transportadora de Gas del Sur SA
893870AX3
370000.00000000
PA
USD
318068.43000000
0.013050942331
Long
DBT
CORP
AR
N
2
2025-05-02
Fixed
6.75000000
N
N
N
N
N
N
JPMORGAN CHASE & CO
8I5DZWZKVSZI1NUHU748
JPMorgan Chase & Co
46647PCU8
500000.00000000
PA
USD
393638.60000000
0.016151727689
Long
DBT
CORP
US
N
2
2033-01-25
Fixed
2.96300000
N
N
N
N
N
N
AON CORP/AON GLOBAL HOLD
N/A
Aon Corp / Aon Global Holdings PLC
03740LAB8
4930000.00000000
PA
USD
3062935.54000000
0.125677971552
Long
DBT
CORP
US
N
2
2051-08-23
Fixed
2.90000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140QNUY6
66091.77000000
PA
USD
55591.24000000
0.002281012508
Long
ABS-MBS
USGSE
US
N
2
2052-04-01
Fixed
2.50000000
N
N
N
N
N
N
BW GAS & CONVENIENCE HOL
N/A
BW Gas & Convenience Holdings LLC
000000000
1041812.50000000
PA
USD
994930.94000000
0.040823876552
Long
LON
CORP
US
N
2
2028-03-31
Floating
6.64270000
N
N
N
N
N
N
WI TREASURY N/B
254900HROIFWPRGM1V77
United States Treasury Note/Bond - When Issued
91282CER8
3470000.00000000
PA
USD
3370034.16000000
0.138278802070
Long
DBT
UST
US
N
2
2024-05-31
Fixed
2.50000000
N
N
N
N
N
N
PNC BANK NA
AD6GFRVSDT01YPT1CS68
PNC Bank NA
69349LAR9
2400000.00000000
PA
USD
2204433.12000000
0.090452012236
Long
DBT
CORP
US
N
2
2028-07-26
Fixed
4.05000000
N
N
N
N
N
N
CELLNEX FINANCE
549300OUROMFTRFA7T23
Cellnex Finance Co SA
15118JAA3
3159000.00000000
PA
USD
1981909.22000000
0.081321440597
Long
DBT
CORP
ES
N
2
2041-07-07
Fixed
3.87500000
N
N
N
N
N
N
FORD MOTOR CREDIT CO LLC
UDSQCVRUX5BONN0VY111
Ford Motor Credit Co LLC
000000000
500000.00000000
PA
427868.27000000
0.017556235044
Long
DBT
CORP
US
N
2
2026-02-17
Fixed
2.38600000
N
N
N
N
N
N
BANK OF NY MELLON CORP
WFLLPEPC7FZXENRZV188
Bank of New York Mellon Corp/The
064058AH3
2560000.00000000
PA
USD
2457600.00000000
0.100839922634
Long
DBT
CORP
US
N
2
N/A
Fixed
4.70000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31402DGN4
8153.97000000
PA
USD
8213.68000000
0.000337022646
Long
ABS-MBS
USGSE
US
N
2
2034-08-01
Fixed
5.00000000
N
N
N
N
N
N
JPMORGAN CHASE & CO
8I5DZWZKVSZI1NUHU748
JPMorgan Chase & Co
46647PCE4
455000.00000000
PA
USD
301156.17000000
0.012357000685
Long
DBT
CORP
US
N
2
2052-04-22
Fixed
3.32800000
N
N
N
N
N
N
CONTINENTAL RESOURCES
XXRTID9RYWOZ0UPIVR53
Continental Resources Inc/OK
212015AV3
1195000.00000000
PA
USD
876711.75000000
0.035973122168
Long
DBT
CORP
US
N
2
2032-04-01
Fixed
2.87500000
N
N
N
N
N
N
ISLAMIC REP OF PAKISTAN
529900LOP29R5WKHOD86
Pakistan Government International Bond
695847AT0
200000.00000000
PA
USD
75008.00000000
0.003077718472
Long
DBT
NUSS
PK
N
2
2031-04-08
Fixed
7.37500000
N
N
N
N
N
N
GLOBAL MEDICAL RESPONSE
549300ZFWD4ZFCEJCQ87
Global Medical Response Inc
00169QAF6
860034.15320000
PA
USD
746079.63000000
0.030613042060
Long
LON
CORP
US
N
2
2025-10-02
Floating
7.39270000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Pool
31346YFR9
2330324.37000000
PA
USD
2044624.27000000
0.083894756348
Long
ABS-MBS
USGSE
US
N
2
2049-11-01
Fixed
3.00000000
N
N
N
N
N
N
FIRSTENERGY TRANSMISSION
549300AINIIPOLYX2R63
FirstEnergy Transmission LLC
33767BAC3
875000.00000000
PA
USD
686267.92000000
0.028158855777
Long
DBT
CORP
US
N
2
2049-04-01
Fixed
4.55000000
N
N
N
N
N
N
BROADCOM INC
549300WV6GIDOZJTV909
Broadcom Inc
11135FBK6
1600000.00000000
PA
USD
1224149.92000000
0.050229159841
Long
DBT
CORP
US
N
2
2033-04-15
Fixed
3.41900000
N
N
N
N
N
N
ENERGY TRANSFER LP
MTLVN9N7JE8MIBIJ1H73
Energy Transfer LP
29279FAA7
4420000.00000000
PA
USD
3934195.59000000
0.161427400278
Long
DBT
CORP
US
N
2
2049-04-15
Fixed
6.25000000
N
N
N
N
N
N
US BANK NA CINCINNATI
6BYL5QZYBDK8S7L73M02
US Bank NA/Cincinnati OH
90331HNV1
815000.00000000
PA
USD
808815.94000000
0.033187230149
Long
DBT
CORP
US
N
2
2023-07-24
Fixed
3.40000000
N
N
N
N
N
N
SASOL FINANCING USA LLC
549300XRB1PFMESFEL85
Sasol Financing USA LLC
80386WAC9
580000.00000000
PA
USD
506888.39000000
0.020798578300
Long
DBT
CORP
US
N
2
2026-09-18
Fixed
4.37500000
N
N
N
N
N
N
NOVELIS CORP
549300G5F3W3B52WYL23
Novelis Corp
670001AE6
835000.00000000
PA
USD
686812.55000000
0.028181202964
Long
DBT
CORP
US
N
2
2030-01-30
Fixed
4.75000000
N
N
N
N
N
N
US TREASURY FRN
254900HROIFWPRGM1V77
United States Treasury Floating Rate Note
91282CFD8
27305000.00000000
PA
USD
27273986.98000000
1.119102676183
Long
DBT
UST
US
N
2
2024-07-31
Floating
3.33425456
N
N
N
N
N
N
BNPP AM Euro CLO
635400ANSBB6SM453S64
BNPP AM Euro CLO 2019 DAC
000000000
1000000.00000000
PA
914684.59000000
0.037531218786
Long
ABS-CBDO
CORP
IE
N
2
2032-07-22
Floating
0.94500000
N
N
N
N
N
N
REPUBLIC OF ECUADOR
5299003Y2U5XK0A35H71
Ecuador Government International Bond
000000000
125307.00000000
PA
USD
59936.41000000
0.002459302957
Long
DBT
NUSS
EC
N
2
2030-07-31
Variable
5.50000000
N
N
N
N
N
N
DEUTSCHE BANK AKTIENGESELLSCHAFT
7LTWFZYICNSX8D621K86
USD/ZAR FORWARD
000000000
1.00000000
NC
USD
-43601.46000000
-0.00178904941
N/A
DFE
CORP
US
N
2
DEUTSCHE BANK AKTIENGESELLSCHAFT
7LTWFZYICNSX8D621K86
-493641.20000000
USD
8244054.86000000
ZAR
2023-02-13
-43601.46000000
N
N
N
MAF GLOBAL SECURITIES
54930037VUDNYTS17017
MAF Global Securities Ltd
000000000
415000.00000000
PA
USD
409036.45000000
0.016783530262
Long
DBT
CORP
KY
N
2
N/A
Fixed
7.87500000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140J7RS6
390084.62000000
PA
USD
402851.62000000
0.016529755124
Long
ABS-MBS
USGSE
US
N
2
2044-05-01
Fixed
5.50000000
N
N
N
N
N
N
OZLM Ltd
N/A
OZLM XXIV Ltd
67113DAW4
2100000.00000000
PA
USD
2023268.10000000
0.083018472767
Long
ABS-CBDO
CORP
KY
N
2
2032-07-20
Floating
3.86986000
N
N
N
N
N
N
BANCO SANTANDER SA
5493006QMFDDMYWIAM13
Banco Santander SA
05964HAM7
1000000.00000000
PA
USD
759599.60000000
0.031167791706
Long
DBT
CORP
ES
N
2
2031-03-25
Fixed
2.95800000
N
N
N
N
N
N
Banc of America Funding Corpor
N/A
Banc of America Funding 2005-E Trust
05946XXT5
66503.10000000
PA
USD
53899.56000000
0.002211599715
Long
ABS-MBS
CORP
US
N
2
2035-06-20
Floating
2.53402000
N
N
N
N
N
N
BOXER PARENT CO INC
5493006T045HLTF7YX04
Boxer Parent Co Inc
05988HAE7
333646.49560000
PA
USD
317068.27000000
0.013009903896
Long
LON
CORP
US
N
2
2025-10-02
Floating
6.83030000
N
N
N
N
N
N
GOLDMAN SACHS BANK USA
KD3XUN7C6T14HNAYLU02
SWOP IRS USD
000000000
-1700000.00000000
NC
USD
-3470.13000000
-0.00014238592
N/A
DIR
CORP
US
N
2
GOLDMAN SACHS BANK USA
KD3XUN7C6T14HNAYLU02
Call
Written
GOLDMAN SACHS BANK USA
KD3XUN7C6T14HNAYLU02
GOLDMAN SACHS BANK USA
KD3XUN7C6T14HNAYLU02
IRS USD
000000000
0.00000000
NC
USD
0.00000000
0.00000000
DIR
CORP
US
THE SECURED OVERNIGHT FINANCING RATE
THE SECURED OVERNIGHT FINANCING RATE
2024-10-24
0.00000000
USD
0.00000000
USD
0.00000000
USD
-1700000.00000000
USD
3.01750000
USD
2023-10-20
XXXX
7537.37000000
N
N
N
CA MAGNUM HOLDINGS
549300ZRDHFR078MFZ78
CA Magnum Holdings
12674CAA1
418000.00000000
PA
USD
352201.20000000
0.014451473697
Long
DBT
CORP
MU
N
2
2026-10-31
Fixed
5.37500000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31407NQC0
48052.42000000
PA
USD
46853.21000000
0.001922474801
Long
ABS-MBS
USGSE
US
N
2
2035-08-01
Fixed
4.50000000
N
N
N
N
N
N
SAUDI INTERNATIONAL BOND
635400FMICXSM3SI3H65
Saudi Government International Bond
80413TAZ2
400000.00000000
PA
USD
272772.40000000
0.011192361536
Long
DBT
NUSS
SA
N
2
2051-11-17
Fixed
3.25000000
N
N
N
N
N
N
GEORGIA POWER CO
D981X4Z4RWS7PDMJUZ03
Georgia Power Co
373334KQ3
3200000.00000000
PA
USD
3002347.52000000
0.123191931818
Long
DBT
CORP
US
N
2
2032-05-15
Fixed
4.70000000
N
N
N
N
N
N
Invesco Euro CLO
549300GHZE7CYFQDBC40
Invesco Euro CLO I DAC
000000000
250000.00000000
PA
233468.25000000
0.009579638780
Long
ABS-CBDO
CORP
IE
N
2
2031-07-15
Floating
0.65000000
N
N
N
N
N
N
TD SYNNEX CORP
5493004HI6PFLF46NS53
TD SYNNEX Corp
87162WAH3
800000.00000000
PA
USD
645929.28000000
0.026503685962
Long
DBT
CORP
US
N
2
2028-08-09
Fixed
2.37500000
N
N
N
N
N
N
CHICAGO MERCANTILE EXCHANGE INC.
SNZ2OJLFK8MNNCLQOF39
IRS USD
000000000
1.00000000
NC
USD
-4828316.26000000
-0.19811484298
N/A
DIR
CORP
US
N
2
CHICAGO MERCANTILE EXCHANGE INC.
SNZ2OJLFK8MNNCLQOF39
Y
2026-02-18
0.00000000
USD
-246655.40000000
USD
42100000.00000000
USD
-4581660.86000000
N
N
N
SOCIETE GENERALE
O2RNE8IBXP4R0TD8PU41
Societe Generale SA
000000000
500000.00000000
PA
USD
480625.00000000
0.019720942307
Long
DBT
CORP
FR
N
2
N/A
Fixed
7.87500000
N
N
N
N
N
N
REPUBLIC OF PERU
254900STKLK2DBJJZ530
Peruvian Government International Bond
715638BM3
35000.00000000
PA
USD
33105.36000000
0.001358374813
Long
DBT
NUSS
PE
N
2
2050-11-18
Fixed
5.62500000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Pool
3133KYU64
3406593.97000000
PA
USD
2853619.63000000
0.117089348436
Long
ABS-MBS
USGSE
US
N
2
2041-03-01
Fixed
2.00000000
N
N
N
N
N
N
INTERCONTINENTAL EXCHANGE, INC.
5493000F4ZO33MV32P92
CDS STELLANTIS NV SNR SE
000000000
1.00000000
NC
299172.28000000
0.012275597969
N/A
DCR
CORP
US
N
2
INTERCONTINENTAL EXCHANGE, INC.
5493000F4ZO33MV32P92
STELLANTIS NV
Stellantis NV
Y
Default Event
2026-06-22
559612.26000000
USD
0.00000000
USD
3100000.00000000
EUR
-260439.98000000
N
N
N
KINGDOM OF BAHRAIN
549300RODM1WN85LFQ95
Bahrain Government International Bond
05675M2C7
300000.00000000
PA
USD
286774.20000000
0.011766881567
Long
DBT
NUSS
BH
N
2
2030-05-14
Fixed
7.37500000
N
N
N
N
N
N
SIRIUS REAL ESTATE LTD
213800NURUF5W8QSK566
Sirius Real Estate Ltd
000000000
2400000.00000000
PA
1932040.78000000
0.079275245272
Long
DBT
CORP
GG
N
2
2026-06-22
Fixed
1.12500000
N
N
N
N
N
N
BAXTER INTERNATIONAL INC
J5OIVXX3P24RJRW5CK77
Baxter International Inc
071813CV9
2336000.00000000
PA
USD
1498220.46000000
0.061474786488
Long
DBT
CORP
US
N
2
2051-12-01
Fixed
3.13200000
N
N
N
N
N
N
BNP PARIBAS (SUISSE) SA
QHSFEYI7HUOXXZ413E03
SWOP IRS EUR
000000000
-66200000.00000000
NC
-3221.56000000
-0.00013218662
N/A
DIR
CORP
CH
N
2
BNP PARIBAS (SUISSE) SA
QHSFEYI7HUOXXZ413E03
Call
Written
BNP PARIBAS (SUISSE) SA
QHSFEYI7HUOXXZ413E03
BNP PARIBAS (SUISSE) SA
QHSFEYI7HUOXXZ413E03
IRS USD
000000000
0.00000000
NC
0.00000000
0.00000000
DIR
CORP
CH
US
THE SECURED OVERNIGHT FINANCING RATE
THE SECURED OVERNIGHT FINANCING RATE
2024-04-04
0.00000000
USD
0.00000000
USD
0.00000000
EUR
-66200000.00000000
USD
0.55000000
EUR
2023-03-31
XXXX
106629.06000000
N
N
N
Cairn CLO BV
724500TUDV2WZSWFEN09
Cairn CLO VIII BV
000000000
1400000.00000000
PA
1296663.78000000
0.053204539085
Long
ABS-CBDO
CORP
IE
N
2
2031-10-15
Floating
0.78000000
N
N
N
N
N
N
Anchorage Capital CLO LTD
549300NPGT86ACOLIL14
Anchorage Capital Clo 11 Ltd
03330NAJ3
1200000.00000000
PA
USD
1163344.80000000
0.047734212088
Long
ABS-CBDO
CORP
KY
N
2
2032-07-22
Floating
3.89900000
N
N
N
N
N
N
BANK HAPOALIM
B6ARUI4946ST4S7WOU88
Bank Hapoalim BM
000000000
835000.00000000
PA
USD
697950.62000000
0.028638218800
Long
DBT
CORP
IL
N
2
2032-01-21
Fixed
3.25500000
N
N
N
N
N
N
GOLDEN ST TOBACCO SECURITIZATI
N/A
Golden State Tobacco Securitization Corp
38122NC83
1700000.00000000
PA
USD
1415556.00000000
0.058082909148
Long
DBT
MUN
US
N
2
2029-06-01
Fixed
2.58700000
N
N
N
N
N
N
METHANEX CORP
549300TSJHRXT9QXRD13
Methanex Corp
59151KAL2
2515000.00000000
PA
USD
2005410.70000000
0.082285750259
Long
DBT
CORP
CA
N
2
2029-12-15
Fixed
5.25000000
N
N
N
N
N
N
Galaxy CLO Ltd
549300BW4412X0TZDD77
Galaxy XXI CLO Ltd
36320WAL0
1650000.00000000
PA
USD
1613700.00000000
0.066213127911
Long
ABS-CBDO
CORP
KY
N
2
2031-04-20
Floating
3.72986000
N
N
N
N
N
N
REPUBLIC OF COLOMBIA
549300MHDRBVRF6B9117
Colombia Government International Bond
195325DR3
272000.00000000
PA
USD
195453.71000000
0.008019831134
Long
DBT
NUSS
CO
N
2
2030-01-30
Fixed
3.00000000
N
N
N
N
N
N
GENERAL MOTORS CO
54930070NSV60J38I987
General Motors Co
37045VAY6
5800000.00000000
PA
USD
5355352.28000000
0.219740116208
Long
DBT
CORP
US
N
2
2029-10-15
Fixed
5.40000000
N
N
N
N
N
N
CHICAGO MERCANTILE EXCHANGE INC.
SNZ2OJLFK8MNNCLQOF39
IRS USD
000000000
1.00000000
NC
USD
4171534.80000000
0.171165871784
N/A
DIR
CORP
US
N
2
CHICAGO MERCANTILE EXCHANGE INC.
SNZ2OJLFK8MNNCLQOF39
Y
2052-12-23
3512903.06000000
USD
0.00000000
USD
17000000.00000000
USD
658631.74000000
N
N
N
GOLDMAN SACHS BANK USA
KD3XUN7C6T14HNAYLU02
SWOP IRS USD
000000000
-1700000.00000000
NC
USD
-21024.20000000
-0.00086266223
N/A
DIR
CORP
US
N
2
GOLDMAN SACHS BANK USA
KD3XUN7C6T14HNAYLU02
Put
Written
GOLDMAN SACHS BANK USA
KD3XUN7C6T14HNAYLU02
GOLDMAN SACHS BANK USA
KD3XUN7C6T14HNAYLU02
IRS USD
000000000
0.00000000
NC
USD
0.00000000
0.00000000
DIR
CORP
US
THE SECURED OVERNIGHT FINANCING RATE
THE SECURED OVERNIGHT FINANCING RATE
2024-10-25
0.00000000
USD
0.00000000
USD
0.00000000
USD
-1700000.00000000
USD
3.22500000
USD
2023-10-23
XXXX
-9230.45000000
N
N
N
BlueMountain Fuji EUR CLO
635400WPDP8W8JVSCN48
BlueMountain Fuji EUR CLO III DAC
000000000
1400000.00000000
PA
1315120.86000000
0.053961867585
Long
ABS-CBDO
CORP
IE
N
2
2031-01-15
Floating
0.72000000
N
N
N
N
N
N
OIL & GAS HOLDING
549300OBH16L6TS6IW50
Oil and Gas Holding Co BSCC/The
67778M2C3
200000.00000000
PA
USD
198917.00000000
0.008161936397
Long
DBT
CORP
BH
N
2
2024-11-07
Fixed
7.62500000
N
N
N
N
N
N
BROWN & BROWN INC
549300PC8KTJ71XKFY89
Brown & Brown Inc
115236AF8
1429000.00000000
PA
USD
1162260.29000000
0.047689712615
Long
DBT
CORP
US
N
2
2052-03-17
Fixed
4.95000000
N
N
N
N
N
N
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
IRS USD
000000000
1.00000000
NC
USD
-1389877.96000000
-0.05702929116
N/A
DIR
CORP
GB
N
2
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
Y
2032-05-18
0.00000000
USD
0.00000000
USD
9900000.00000000
USD
-1389877.96000000
N
N
N
JPMorgan Chase Bank, National Association
7H6GLXDRUGQFU57RNE97
USD/EUR FORWARD
000000000
1.00000000
NC
USD
26230.06000000
0.001076268400
N/A
DFE
CORP
US
N
2
JPMorgan Chase Bank, National Association
7H6GLXDRUGQFU57RNE97
-1114000.00000000
EUR
1121833.20000000
USD
2022-11-18
26230.06000000
N
N
N
ICE FUTURES EUROPE
549300UF4R84F48NCH34
Long Gilt
000000000
-26.00000000
NC
390858.31000000
0.016037647192
N/A
DIR
CORP
GB
N
1
ICE FUTURES EUROPE
549300UF4R84F48NCH34
Short
UNITED KINGDOM GILT
United Kingdom Gilt
2022-12-28
-3380619.16000000
USD
390858.31000000
N
N
N
INTERCONTINENTAL EXCHANGE, INC.
5493000F4ZO33MV32P92
CDS GENERAL ELECTRIC COMPANY
000000000
1.00000000
NC
USD
-17129.19000000
-0.00070284268
N/A
DCR
CORP
US
N
2
INTERCONTINENTAL EXCHANGE, INC.
5493000F4ZO33MV32P92
GENERAL ELECTRIC CO
General Electric Co
Y
Default Event
2026-12-20
10969.22000000
USD
0.00000000
USD
1200000.00000000
USD
-28098.41000000
N
N
N
GENERAL MOTORS FINL CO
5493008B6JBRUJ90QL97
General Motors Financial Co Inc
37045XCK0
875000.00000000
PA
USD
845867.75000000
0.034707535184
Long
DBT
CORP
US
N
2
2025-04-09
Fixed
4.35000000
N
N
N
N
N
N
WELLS FARGO & COMPANY
PBLD0EJDB5FWOLXP3B76
Wells Fargo & Co
95000U2F9
900000.00000000
PA
USD
820412.37000000
0.033663053352
Long
DBT
CORP
US
N
2
2027-06-17
Fixed
3.19600000
N
N
N
N
N
N
BRISTOL-MYERS SQUIBB CO
HLYYNH7UQUORYSJQCN42
Bristol-Myers Squibb Co
110122DW5
630000.00000000
PA
USD
484530.23000000
0.019881181195
Long
DBT
CORP
US
N
2
2052-03-15
Fixed
3.70000000
N
N
N
N
N
N
Freddie Mac - STACR
N/A
Freddie Mac STACR REMIC Trust 2021-HQA1
35564KBS7
7000000.00000000
PA
USD
6414130.80000000
0.263183778335
Long
ABS-MBS
CORP
US
N
2
2033-08-25
Floating
4.53069000
N
N
N
N
N
N
FUTURE RETAIL LTD
335800XO19WYIUZC9H61
Future Retail Ltd
36118EAA0
565000.00000000
PA
USD
33900.00000000
0.001390980378
Long
DBT
CORP
IN
N
2
2025-01-22
Fixed
5.60000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac REMICS
3137BWY73
383525.58000000
PA
USD
335678.16000000
0.013773502475
Long
ABS-MBS
USGSE
US
N
2
2045-07-15
Fixed
2.50000000
N
N
N
N
N
N
HSBC HOLDINGS PLC
MLU0ZO3ML4LN2LL2TL39
HSBC Holdings PLC
404280AW9
200000.00000000
PA
USD
191813.94000000
0.007870484566
Long
DBT
CORP
GB
N
2
2026-03-08
Fixed
4.30000000
N
N
N
N
N
N
CVS HEALTH CORP
549300EJG376EN5NQE29
CVS Health Corp
126650DJ6
780000.00000000
PA
USD
694818.15000000
0.028509687699
Long
DBT
CORP
US
N
2
2030-04-01
Fixed
3.75000000
N
N
N
N
N
N
MHP LUX SA
222100RHC7R1WZ1J3M44
MHP Lux SA
59318YAB4
425000.00000000
PA
USD
211862.50000000
0.008693114464
Long
DBT
CORP
LU
N
2
2029-09-19
Fixed
6.25000000
N
N
N
N
N
N
METINVEST BV
635400TMCKVEU87EJ582
Metinvest BV
591555AF4
307000.00000000
PA
USD
137198.30000000
0.005629502749
Long
DBT
CORP
NL
N
2
2029-10-17
Fixed
7.75000000
N
N
N
N
N
N
DEUTSCHE BANK AKTIENGESELLSCHAFT
7LTWFZYICNSX8D621K86
USD/MXN FORWARD
000000000
1.00000000
NC
USD
-11483.60000000
-0.00047119357
N/A
DFE
CORP
US
N
2
DEUTSCHE BANK AKTIENGESELLSCHAFT
7LTWFZYICNSX8D621K86
-14510000.00000000
MXN
705297.23000000
USD
2022-10-27
-11483.60000000
N
N
N
US TREASURY N/B
254900HROIFWPRGM1V77
United States Treasury Note/Bond
912810SD1
3770000.00000000
PA
USD
3191614.14000000
0.130957895082
Long
DBT
UST
US
N
2
2048-08-15
Fixed
3.00000000
N
N
N
N
N
N
Flagstar Mortgage Trust
N/A
Flagstar Mortgage Trust 2021-2
33852EAF6
834622.90000000
PA
USD
717202.31000000
0.029428151633
Long
ABS-MBS
CORP
US
N
2
2051-04-25
Variable
2.50000000
N
N
N
N
N
N
CT TRUST
213800MJB7WO427HQD34
CT Trust
12659BAA2
750000.00000000
PA
USD
565938.75000000
0.023221524969
Long
DBT
CORP
GT
N
2
2032-02-03
Fixed
5.12500000
N
N
N
N
N
N
ISRAEL ELECTRIC CORP LTD
254900JW7GE35YNJGJ55
Israel Electric Corp Ltd
000000000
630000.00000000
PA
USD
543856.95000000
0.022315467432
Long
DBT
CORP
IL
N
2
2032-02-22
Fixed
3.75000000
N
N
N
N
N
N
COMM Mortgage Trust
549300CJNWCNIHR7IT87
COMM 2013-WWP Mortgage Trust
12625CAC7
1100000.00000000
PA
USD
1098437.23000000
0.045070933142
Long
ABS-MBS
CORP
US
N
2
2031-03-10
Fixed
3.42440000
N
N
N
N
N
N
J.P. MORGAN SECURITIES LLC
ZBUT11V806EZRVTWT807
EUR/USD FORWARD
000000000
1.00000000
NC
USD
2368875.83000000
0.097199404063
N/A
DFE
CORP
US
N
2
J.P. MORGAN SECURITIES LLC
ZBUT11V806EZRVTWT807
-88901000.00000000
EUR
89519969.12000000
USD
2022-10-04
2368875.83000000
N
N
N
AERCAP IRELAND CAP/GLOBA
N/A
AerCap Ireland Capital DAC / AerCap Global Aviation Trust
00774MAB1
4760000.00000000
PA
USD
4163631.98000000
0.170841604305
Long
DBT
CORP
IE
N
2
2027-07-21
Fixed
3.65000000
N
N
N
N
N
N
BANCO NACIONAL DE PANAMA
529900H2Q7WMDKKIW109
Banco Nacional de Panama
059626AC5
200000.00000000
PA
USD
147014.80000000
0.006032292097
Long
DBT
CORP
PA
N
2
2030-08-11
Fixed
2.50000000
N
N
N
N
N
N
CDW LLC/CDW FINANCE
N/A
CDW LLC / CDW Finance Corp
12513GBG3
465000.00000000
PA
USD
404200.97000000
0.016585121477
Long
DBT
CORP
US
N
2
2026-12-01
Fixed
2.67000000
N
N
N
N
N
N
HILTON WORLDWIDE FINANCE
549300406TN7EY0NPH20
Hilton Worldwide Finance LLC
43289DAH6
1088890.73000000
PA
USD
1054182.34000000
0.043255072268
Long
LON
CORP
US
N
2
2026-06-21
Floating
4.80900000
N
N
N
N
N
N
LOGICOR FINANCING SARL
254900IS16Q1A2TQFN22
Logicor Financing Sarl
000000000
3400000.00000000
PA
2917403.37000000
0.119706514535
Long
DBT
CORP
LU
N
2
2028-11-13
Fixed
3.25000000
N
N
N
N
N
N
AUTONATION INC
N/A
AutoNation Inc
05329RAA1
2240000.00000000
PA
USD
1773148.61000000
0.072755602478
Long
DBT
CORP
US
N
2
2032-03-01
Fixed
3.85000000
N
N
N
N
N
N
MUNI ELEC AUTH OF GEORGIA
JA0WNILDDF2KUPS83B16
Municipal Electric Authority of Georgia
626207YM0
1728000.00000000
PA
USD
1912343.04000000
0.078467010173
Long
DBT
MUN
US
N
2
2057-04-01
Fixed
6.65500000
N
N
N
N
N
N
TENCENT HOLDINGS LTD
254900N4SLUMW4XUYY11
Tencent Holdings Ltd
88032WBA3
370000.00000000
PA
USD
299426.79000000
0.012286040990
Long
DBT
CORP
KY
N
2
2031-04-22
Fixed
2.88000000
N
N
N
N
N
N
JYSKE REALKREDIT A/S
529900R9HQNZRT2OXB26
Jyske Realkredit A/S
000000000
1.16550000
PA
0.11000000
0.000000004513
Long
DBT
CORP
DK
N
2
2053-10-01
Fixed
1.50000000
N
N
N
N
N
N
WHITE CAP BUYER LLC
N/A
White Cap Buyer LLC
96350TAC4
358200.00000000
PA
USD
336409.62000000
0.013803515647
Long
LON
CORP
US
N
2
2027-10-19
Floating
6.79210000
N
N
N
N
N
N
OZLM Ltd
54930042UBEHLEPQ4B17
OZLM XVI Ltd
67111KAJ9
2600000.00000000
PA
USD
2549497.60000000
0.104610652970
Long
ABS-CBDO
CORP
KY
N
2
2030-05-16
Floating
3.95157000
N
N
N
N
N
N
ARAB REPUBLIC OF EGYPT
529900GFIVH4086NMH82
Egypt Government International Bond
03846JX47
591000.00000000
PA
USD
525786.70000000
0.021574011291
Long
DBT
NUSS
EG
N
2
2024-05-29
Fixed
5.75000000
N
N
N
N
N
N
FIFTH THIRD BANCORP
THRNG6BD57P9QWTQLG42
Fifth Third Bancorp
316773CV0
1119000.00000000
PA
USD
1045747.57000000
0.042908977886
Long
DBT
CORP
US
N
2
2028-03-14
Fixed
3.95000000
N
N
N
N
N
N
MPT OPER PARTNERSP/FINL
N/A
MPT Operating Partnership LP / MPT Finance Corp
55342UAL8
1600000.00000000
PA
1323506.56000000
0.054305948533
Long
DBT
CORP
US
N
2
2028-06-05
Fixed
3.69200000
N
N
N
N
N
N
CATERPILLAR INC
WRJR7GS4GTRECRRTVX92
Caterpillar Inc
149123CH2
25000.00000000
PA
USD
21305.08000000
0.000874187263
Long
DBT
CORP
US
N
2
2030-04-09
Fixed
2.60000000
N
N
N
N
N
N
COMM Mortgage Trust
N/A
COMM 2015-CCRE23 Mortgage Trust
12593ABA2
780000.00000000
PA
USD
743350.84000000
0.030501074705
Long
ABS-MBS
CORP
US
N
2
2048-05-10
Fixed
3.49700000
N
N
N
N
N
N
MISC CAPITAL TWO LABUAN
9845000ED8376T875113
Misc Capital Two Labuan Ltd
60475DAB7
760000.00000000
PA
USD
688800.62000000
0.028262777193
Long
DBT
CORP
MY
N
2
2027-04-06
Fixed
3.75000000
N
N
N
N
N
N
JP Morgan Mortgage Trust
N/A
JP Morgan Mortgage Trust 2006-A7
46629DAK1
34468.28000000
PA
USD
30164.77000000
0.001237716907
Long
ABS-MBS
CORP
US
N
2
2037-01-25
Variable
3.25801700
N
N
N
N
N
N
BENCHMARK Mortgage Trust
N/A
Benchmark 2022-B33 Mortgage Trust
08163PBN9
900000.00000000
PA
USD
689990.76000000
0.028311610862
Long
ABS-MBS
CORP
US
N
2
2055-03-15
Variable
3.73588000
N
N
N
N
N
N
GOLDMAN SACHS BANK USA
KD3XUN7C6T14HNAYLU02
SWOP IRS USD
000000000
-156100000.00000000
NC
USD
-5089177.87000000
-0.20881848253
N/A
DIR
CORP
US
N
2
GOLDMAN SACHS BANK USA
KD3XUN7C6T14HNAYLU02
Put
Written
GOLDMAN SACHS BANK USA
KD3XUN7C6T14HNAYLU02
GOLDMAN SACHS BANK USA
KD3XUN7C6T14HNAYLU02
IRS USD
000000000
0.00000000
NC
USD
0.00000000
0.00000000
DIR
CORP
US
2022-11-02
0.00000000
USD
0.00000000
USD
0.00000000
USD
-156100000.00000000
USD
1.27000000
USD
2022-11-02
XXXX
-4778687.87000000
N
N
N
IHS HOLDING LTD
213800CLGMKL63VKTD94
IHS Holding Ltd
44963HAA3
640000.00000000
PA
USD
509600.00000000
0.020909840728
Long
DBT
CORP
KY
N
2
2026-11-29
Fixed
5.62500000
N
N
N
N
N
N
PNC FINANCIAL SERVICES
CFGNEKW0P8842LEUIA51
PNC Financial Services Group Inc/The
693475BD6
645000.00000000
PA
USD
599850.00000000
0.024612966956
Long
DBT
CORP
US
N
2
N/A
Fixed
6.00000000
N
N
N
N
N
N
DISCOVERY COMMUNICATIONS
L2Z2MO2EQURH3BREWI15
Discovery Communications LLC
25470DBL2
9190000.00000000
PA
USD
5438495.88000000
0.223151653558
Long
DBT
CORP
US
N
2
2055-09-15
Fixed
4.00000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac REMICS
3133TLEK0
25407.17000000
PA
USD
26002.04000000
0.001066912313
Long
ABS-MBS
USGSE
US
N
2
2029-06-15
Fixed
6.00000000
N
N
N
N
N
N
JP Morgan Chase Commercial Mor
N/A
JP Morgan Chase Commercial Mortgage Securities Trust 2016-JP2
46590MAV2
1250000.00000000
PA
USD
1104244.88000000
0.045309231880
Long
ABS-MBS
CORP
US
N
2
2049-08-15
Fixed
3.05560000
N
N
N
N
N
N
CREDIT AGRICOLE SA
969500TJ5KRTCJQWXH05
Credit Agricole SA
225313AN5
1995000.00000000
PA
USD
1186194.08000000
0.048671760765
Long
DBT
CORP
FR
N
2
2041-01-11
Fixed
2.81100000
N
N
N
N
N
N
AVIATION CAPITAL GROUP
549300ODEK8HY3445C77
Aviation Capital Group LLC
05369AAC5
1000000.00000000
PA
USD
982096.70000000
0.040297263691
Long
DBT
CORP
US
N
2
2023-05-01
Fixed
3.87500000
N
N
N
N
N
N
AMAZON.COM INC
ZXTILKJKG63JELOEG630
Amazon.com Inc
023135CH7
1275000.00000000
PA
USD
1160594.00000000
0.047621341621
Long
DBT
CORP
US
N
2
2032-04-13
Fixed
3.60000000
N
N
N
N
N
N
DANONE SA
969500KMUQ2B6CBAF162
Danone SA
23636TAD2
1500000.00000000
PA
USD
1467106.80000000
0.060198134850
Long
DBT
CORP
FR
N
2
2023-11-02
Fixed
2.58900000
N
N
N
N
N
N
ABBVIE INC
FR5LCKFTG8054YNNRU85
AbbVie Inc
00287YBV0
1920000.00000000
PA
USD
1760901.12000000
0.072253065066
Long
DBT
CORP
US
N
2
2026-11-21
Fixed
2.95000000
N
N
N
N
N
N
CALPINE CORP
43R4VPJBXTU2O15HEF41
Calpine Corp
131347CN4
454000.00000000
PA
USD
390867.44000000
0.016038021813
Long
DBT
CORP
US
N
2
2028-03-15
Fixed
5.12500000
N
N
N
N
N
N
NOMURA SECURITIES INTERNATIONAL, INC.
OXTKY6Q8X53C9ILVV871
REPURCHASE AGREEMENT
000000000
317300000.00000000
PA
USD
317300000.00000000
13.01941221184
Long
RA
CORP
US
N
2
Repurchase
N
2.93000000
2022-10-03
478900200.00000000
USD
317377474.10000000
USD
UST
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38375BZS4
2904984.83000000
PA
USD
2880332.84000000
0.118185441384
Long
ABS-MBS
USGA
US
N
2
2062-10-20
Floating
2.87229000
N
N
N
N
N
N
AEROPUERTOS ARGENT 2000
549300349K24AVAQ7B24
Aeropuertos Argentina 2000 SA
00786PAE4
595723.45000000
PA
USD
439197.35000000
0.018021088376
Long
DBT
CORP
AR
N
2
2031-08-01
Fixed
8.50000000
N
N
N
N
N
N
BANQUE OUEST AFRICAINE D
529900LIZJABE4JJS826
Banque Ouest Africaine de Developpement
000000000
200000.00000000
PA
143792.94000000
0.005900093157
Long
DBT
NUSS
N/A
N
2
2033-01-22
Fixed
2.75000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140J9FX4
548622.68000000
PA
USD
566694.97000000
0.023252554090
Long
ABS-MBS
USGSE
US
N
2
2044-05-01
Fixed
5.50000000
N
N
N
N
N
N
SVB FINANCIAL GROUP
549300D2KJ20JMXE7542
SVB Financial Group
78486QAS0
2910000.00000000
PA
USD
2554687.55000000
0.104823606321
Long
DBT
CORP
US
N
2
2033-04-29
Fixed
4.57000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140XCM54
1700519.37000000
PA
USD
1488680.91000000
0.061083360917
Long
ABS-MBS
USGSE
US
N
2
2051-08-01
Fixed
3.00000000
N
N
N
N
N
N
J.P. MORGAN SECURITIES LLC
ZBUT11V806EZRVTWT807
CDS FEDERATIVE REPUBLIC OF BRAZIL
000000000
1.00000000
NC
USD
116575.83000000
0.004783324250
N/A
DCR
CORP
US
N
2
J.P. MORGAN SECURITIES LLC
ZBUT11V806EZRVTWT807
FED REPUBLIC OF BRAZIL
Brazilian Government International Bond
Y
Default Event
2026-06-20
60477.08000000
USD
0.00000000
USD
2570000.00000000
USD
56098.75000000
N
N
N
Countrywide Asset-Backed Certi
N/A
Countrywide Asset-Backed Certificates
1266714M5
28889.72000000
PA
USD
27199.30000000
0.001116038129
Long
ABS-MBS
CORP
US
N
2
2034-08-25
Floating
3.48400000
N
N
N
N
N
N
FORD MOTOR CREDIT CO LLC
UDSQCVRUX5BONN0VY111
Ford Motor Credit Co LLC
345397A52
300000.00000000
PA
271596.36000000
0.011144106416
Long
DBT
CORP
US
N
2
2024-07-19
Fixed
1.74400000
N
N
N
N
N
N
LCM Ltd Partnership
549300WD241FFLNM0E69
LCM XIII LP
50184KBL1
3487078.83000000
PA
USD
3426529.19000000
0.140596898772
Long
ABS-CBDO
CORP
KY
N
2
2027-07-19
Floating
3.60757000
N
N
N
N
N
N
SANTANDER UK GROUP HLDGS
549300F5XIFGNNW4CF72
Santander UK Group Holdings PLC
80281LAG0
3200000.00000000
PA
USD
2752825.28000000
0.112953567814
Long
DBT
CORP
GB
N
2
2028-11-03
Fixed
3.82300000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140KYPB4
1322056.80000000
PA
USD
1079057.87000000
0.044275761771
Long
ABS-MBS
USGSE
US
N
2
2051-02-01
Fixed
2.00000000
N
N
N
N
N
N
Jubilee CDO BV
635400VN4FYGLG4EXH69
Jubilee CLO 2014-XII DAC
000000000
600000.00000000
PA
569924.56000000
0.023385070205
Long
ABS-CBDO
CORP
IE
N
2
2030-04-15
Floating
0.60000000
N
N
N
N
N
N
GENERAL MOTORS CO
54930070NSV60J38I987
General Motors Co
37045VAW0
685000.00000000
PA
USD
685374.42000000
0.028122193802
Long
DBT
CORP
US
N
2
2023-10-02
Fixed
5.40000000
N
N
N
N
N
N
SAGICOR FINANCIAL CO
N/A
Sagicor Financial Co Ltd
78669QAA8
765000.00000000
PA
USD
716652.00000000
0.029405571384
Long
DBT
CORP
BM
N
2
2028-05-13
Fixed
5.30000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140J87H0
2000727.44000000
PA
USD
2102102.10000000
0.086253179172
Long
ABS-MBS
USGSE
US
N
2
2041-07-01
Fixed
6.00000000
N
N
N
N
N
N
CREDIT SUISSE GROUP AG
549300506SI9CRFV9Z86
Credit Suisse Group AG
225401AM0
1105000.00000000
PA
USD
1006012.66000000
0.041278580242
Long
DBT
CORP
CH
N
2
2025-09-11
Fixed
2.59300000
N
N
N
N
N
N
US TREASURY N/B
254900HROIFWPRGM1V77
United States Treasury Note/Bond
912810TB4
5100000.00000000
PA
USD
3374964.78000000
0.138481114627
Long
DBT
UST
US
N
2
2051-11-15
Fixed
1.87500000
N
N
N
N
N
N
TERRIER MEDIA BUYER INC
N/A
CMG Media Corp
88145LAE4
508709.00000000
PA
USD
477338.44000000
0.019586088606
Long
LON
CORP
US
N
2
2026-12-17
Floating
6.64270000
N
N
N
N
N
N
DEUTSCHE BANK AKTIENGESELLSCHAFT
7LTWFZYICNSX8D621K86
SWOP IRS USD
000000000
-3000000.00000000
NC
USD
-43737.55000000
-0.00179463344
N/A
DIR
CORP
DE
N
2
DEUTSCHE BANK AKTIENGESELLSCHAFT
7LTWFZYICNSX8D621K86
Put
Written
DEUTSCHE BANK AKTIENGESELLSCHAFT
7LTWFZYICNSX8D621K86
DEUTSCHE BANK AKTIENGESELLSCHAFT
7LTWFZYICNSX8D621K86
IRS USD
000000000
0.00000000
NC
USD
0.00000000
0.00000000
DIR
CORP
DE
US
THE SECURED OVERNIGHT FINANCING RATE
THE SECURED OVERNIGHT FINANCING RATE
2024-10-17
0.00000000
USD
0.00000000
USD
0.00000000
USD
-3000000.00000000
USD
2.92000000
USD
2023-10-13
XXXX
-25625.05000000
N
N
N
TENNESSEE GAS PIPELINE
N/A
Tennessee Gas Pipeline Co LLC
880451AZ2
6275000.00000000
PA
USD
5145488.71000000
0.211129021578
Long
DBT
CORP
US
N
2
2030-03-01
Fixed
2.90000000
N
N
N
N
N
N
BANCO INDUSTRIAL SA
529900GF99QF67JEQU85
Banco Industrial SA/Guatemala
05991CAA1
320000.00000000
PA
USD
292959.90000000
0.012020692403
Long
DBT
CORP
GT
N
2
2031-01-29
Fixed
4.87500000
N
N
N
N
N
N
CARNIVAL CORP
F1OF2ZSX47CR0BCWA982
Carnival Corp
143658BL5
2103000.00000000
PA
USD
1601466.05000000
0.065711146070
Long
DBT
CORP
PA
N
2
2026-03-01
Fixed
7.62500000
N
N
N
N
N
N
VIRGIN MONEY UK PLC
213800ZK9VGCYYR6O495
Virgin Money UK PLC
000000000
100000.00000000
PA
98590.72000000
0.004045361563
Long
DBT
CORP
GB
N
2
2026-04-24
Fixed
3.37500000
N
N
N
N
N
N
JP Morgan Mortgage Trust
N/A
JP Morgan Mortgage Trust 2015-4
46644VBR6
207258.56000000
PA
USD
182483.41000000
0.007487635476
Long
ABS-MBS
CORP
US
N
2
2045-06-25
Variable
3.55572100
N
N
N
N
N
N
US TREASURY N/B
254900HROIFWPRGM1V77
United States Treasury Note/Bond
912810SL3
16000000.00000000
PA
USD
11001875.20000000
0.451427508137
Long
DBT
UST
US
N
2
2050-02-15
Fixed
2.00000000
N
N
N
N
N
N
Vibrant CLO Ltd
549300T417GOFIYGIK20
Vibrant Clo IV Ltd
92557WAW3
1300000.00000000
PA
USD
1260415.00000000
0.051717183873
Long
ABS-CBDO
CORP
KY
N
2
2032-07-20
Floating
3.82986000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140XF5E7
1256700.36000000
PA
USD
1231302.57000000
0.050522646442
Long
ABS-MBS
USGSE
US
N
2
2050-01-01
Fixed
4.50000000
N
N
N
N
N
N
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
IRS GBP
000000000
1.00000000
NC
3648032.17000000
0.149685580155
N/A
DIR
CORP
GB
N
2
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
Y
2028-03-15
1688417.24000000
USD
0.00000000
USD
27600000.00000000
GBP
1959614.93000000
N
N
N
EVERGY KANSAS CENTRAL
J75GNWGEO73W89ZV3S44
Evergy Kansas Central Inc
30036FAA9
1185000.00000000
PA
USD
843168.98000000
0.034596799605
Long
DBT
CORP
US
N
2
2050-04-15
Fixed
3.45000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae REMICS
31397LAF6
4362490.65000000
PA
USD
4361582.38000000
0.178963879297
Long
ABS-MBS
USGSE
US
N
2
2038-04-25
Fixed
5.00000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Pool
3133KYWT2
1793590.44000000
PA
USD
1590532.69000000
0.065262529869
Long
ABS-MBS
USGSE
US
N
2
2042-04-01
Fixed
3.00000000
N
N
N
N
N
N
OZLM Ltd
N/A
OZLM IX Ltd
67109KBC7
500000.00000000
PA
USD
485962.00000000
0.019939929395
Long
ABS-CBDO
CORP
KY
N
2
2031-10-20
Floating
3.80986000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140X63T6
1694782.00000000
PA
USD
1517474.92000000
0.062264832980
Long
ABS-MBS
USGSE
US
N
2
2047-01-01
Fixed
3.00000000
N
N
N
N
N
N
Adjustable Rate Mortgage Trust
N/A
Adjustable Rate Mortgage Trust 2006-2
007034BN0
342446.58000000
PA
USD
306912.75000000
0.012593203924
Long
ABS-MBS
CORP
US
N
2
2036-05-25
Variable
3.22813300
N
N
N
N
N
N
Bain Capital Euro CLO
635400CJJQJHYAMATG34
Bain Capital Euro Clo 2018-2 DAC
000000000
1300000.00000000
PA
1222866.70000000
0.050176506925
Long
ABS-CBDO
CORP
IE
N
2
2032-01-20
Floating
0.78700000
N
N
N
N
N
N
Ludgate Funding Plc
213800LADM2GPWI3P269
Ludgate Funding PLC
000000000
466578.24000000
PA
501735.11000000
0.020587129587
Long
ABS-MBS
CORP
GB
N
2
2061-01-01
Floating
2.28940000
N
N
N
N
N
N
JBS USA/FOOD/FINANCE
N/A
JBS USA LUX SA / JBS USA Food Co / JBS USA Finance Inc
46590XAF3
1466000.00000000
PA
USD
1201322.79000000
0.049292520020
Long
DBT
CORP
N/A
N
2
2029-02-02
Fixed
3.00000000
N
N
N
N
N
N
REPUBLIC OF GABON
N/A
Gabon Government International Bond
362420AD3
200000.00000000
PA
USD
132094.00000000
0.005420063777
Long
DBT
NUSS
GA
N
2
2031-02-06
Fixed
6.62500000
N
N
N
N
N
N
BARCLAYS PLC
213800LBQA1Y9L22JB70
Barclays PLC
000000000
500000.00000000
PA
461274.72000000
0.018926964143
Long
DBT
CORP
GB
N
2
N/A
Fixed
6.37500000
N
N
N
N
N
N
Voya CLO Ltd
N/A
Voya 2012-4 Ltd
92916GBE3
1400000.00000000
PA
USD
1368938.20000000
0.056170093660
Long
ABS-CBDO
CORP
KY
N
2
2030-10-15
Floating
3.51200000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31410LXE7
1225883.86000000
PA
USD
1121313.02000000
0.046009569574
Long
ABS-MBS
USGSE
US
N
2
2048-07-01
Fixed
3.50000000
N
N
N
N
N
N
INTERNATIONAL CONTAINER
254900FU1MWK0I0Q4J61
International Container Terminal Services Inc
000000000
745000.00000000
PA
USD
672362.50000000
0.027588290397
Long
DBT
CORP
PH
N
2
2030-06-17
Fixed
4.75000000
N
N
N
N
N
N
Venture CDO Ltd
549300UP09C89Q3HWD39
Venture 32 CLO Ltd
92325QAA5
500000.00000000
PA
USD
487101.50000000
0.019986685211
Long
ABS-CBDO
CORP
KY
N
2
2031-07-18
Floating
3.84029000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38375BNF5
3639030.08000000
PA
USD
3630051.14000000
0.148947784877
Long
ABS-MBS
USGA
US
N
2
2061-10-20
Floating
3.64610000
N
N
N
N
N
N
CHICAGO MERCANTILE EXCHANGE INC.
SNZ2OJLFK8MNNCLQOF39
ZCS IRS BRL
000000000
1.00000000
NC
-168044.88000000
-0.00689519559
N/A
DIR
CORP
US
N
2
CHICAGO MERCANTILE EXCHANGE INC.
SNZ2OJLFK8MNNCLQOF39
Y
2027-01-04
0.00000000
USD
-239775.07000000
USD
43000000.00000000
BRL
71730.19000000
N
N
N
JP Morgan Mortgage Trust
N/A
JP Morgan Mortgage Trust 2017-1
46648CAY0
842712.94000000
PA
USD
702403.68000000
0.028820936177
Long
ABS-MBS
CORP
US
N
2
2047-01-25
Variable
3.44989700
N
N
N
N
N
N
KIA CORP
988400V8MJK9N7OI5X76
Kia Corp
49374JAC7
635000.00000000
PA
USD
590782.54000000
0.024240912120
Long
DBT
CORP
KR
N
2
2025-02-14
Fixed
2.37500000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31418DY71
2738137.11000000
PA
USD
2294344.50000000
0.094141244252
Long
ABS-MBS
USGSE
US
N
2
2041-05-01
Fixed
2.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140X9XJ9
1607928.06000000
PA
USD
1660919.26000000
0.068150622428
Long
ABS-MBS
USGSE
US
N
2
2044-05-01
Fixed
5.50000000
N
N
N
N
N
N
TRANS-ALLEGHENY INTERSTA
N/A
Trans-Allegheny Interstate Line Co
893045AE4
165000.00000000
PA
USD
158606.45000000
0.006507919168
Long
DBT
CORP
US
N
2
2025-06-01
Fixed
3.85000000
N
N
N
N
N
N
JP Morgan Mortgage Trust
N/A
JP Morgan Mortgage Trust 2007-A1
46630GAX3
43015.14000000
PA
USD
41617.87000000
0.001707659013
Long
ABS-MBS
CORP
US
N
2
2035-07-25
Variable
3.20067000
N
N
N
N
N
N
GoldenTree Loan Management EUR
5493008F1PTBJWQNQY23
GoldenTree Loan Management EUR CLO 3 DAC
000000000
300000.00000000
PA
278782.96000000
0.011438986050
Long
ABS-CBDO
CORP
IE
N
2
2032-01-20
Floating
0.94700000
N
N
N
N
N
N
REPUBLIC OF SOUTH AFRICA
378900AAFB4F17004C49
Republic of South Africa Government International Bond
836205AX2
200000.00000000
PA
USD
129130.80000000
0.005298478141
Long
DBT
NUSS
ZA
N
2
2047-09-27
Fixed
5.65000000
N
N
N
N
N
N
Bear Stearns Asset Backed Secu
N/A
Bear Stearns Asset Backed Securities I Trust 2005-FR1
073879G69
1045843.88000000
PA
USD
1028848.18000000
0.042215564320
Long
ABS-MBS
CORP
US
N
2
2035-06-25
Floating
4.08900000
N
N
N
N
N
N
BNP PARIBAS (SUISSE) SA
QHSFEYI7HUOXXZ413E03
SWOP IRS EUR
000000000
-4300000.00000000
NC
-404.02000000
-0.00001657769
N/A
DIR
CORP
CH
N
2
BNP PARIBAS (SUISSE) SA
QHSFEYI7HUOXXZ413E03
Call
Written
BNP PARIBAS (SUISSE) SA
QHSFEYI7HUOXXZ413E03
BNP PARIBAS (SUISSE) SA
QHSFEYI7HUOXXZ413E03
IRS EUR
000000000
0.00000000
NC
0.00000000
0.00000000
DIR
CORP
CH
US
2024-05-03
0.00000000
USD
0.00000000
USD
0.00000000
EUR
-4300000.00000000
USD
0.70000000
EUR
2023-04-28
XXXX
7052.47000000
N
N
N
TENET HEALTHCARE CORP
0W9AIBT6U6ADJ2I8HK17
Tenet Healthcare Corp
88033GDJ6
1815000.00000000
PA
USD
1593032.40000000
0.065365097643
Long
DBT
CORP
US
N
2
2028-10-01
Fixed
6.12500000
N
N
N
N
N
N
REPUBLIC OF SENEGAL
549300NP14ZLQGWIUZ97
Senegal Government International Bond
81720TAD7
210000.00000000
PA
USD
131535.60000000
0.005397151581
Long
DBT
NUSS
SN
N
2
2048-03-13
Fixed
6.75000000
N
N
N
N
N
N
CVS HEALTH CORP
549300EJG376EN5NQE29
CVS Health Corp
126650CY4
2400000.00000000
PA
USD
2108742.96000000
0.086525666073
Long
DBT
CORP
US
N
2
2038-03-25
Fixed
4.78000000
N
N
N
N
N
N
INTERCONTINENTAL EXCHANGE, INC.
5493000F4ZO33MV32P92
CDS ITRAXX.XO.EU.37.V1.5Y
000000000
1.00000000
NC
-10122.30000000
-0.00041533689
N/A
DCR
CORP
US
N
2
INTERCONTINENTAL EXCHANGE, INC.
5493000F4ZO33MV32P92
ITRAXX.XO.EU.36.V1
ITRAXX.XO.EU.36.V1
Y
Default Event
2027-06-20
0.00000000
USD
-4004.34000000
USD
900000.00000000
EUR
-6117.96000000
N
N
N
Sound Point CLO LTD
549300TT7IR66ASPWY89
Sound Point Clo XIV Ltd
83609NAN0
3867420.87000000
PA
USD
3817685.84000000
0.156646787413
Long
ABS-CBDO
CORP
KY
N
2
2029-01-23
Floating
3.77300000
N
N
N
N
N
N
ARCOS DORADOS BV
549300T91OYP6I7P8G39
Arcos Dorados BV
03965TAB9
405000.00000000
PA
USD
367673.18000000
0.015086317962
Long
DBT
CORP
NL
N
2
2029-05-27
Fixed
6.12500000
N
N
N
N
N
N
Residential Accredit Loans, In
N/A
RALI Series 2007-QA5 Trust
749236AC9
1975675.29000000
PA
USD
1483382.84000000
0.060865971200
Long
ABS-MBS
CORP
US
N
2
2037-09-25
Variable
5.92335400
N
N
N
N
N
N
Ozlme
6354008AGMENPDXTDJ03
Sculptor European CLO V DAC
000000000
3300000.00000000
PA
3087236.88000000
0.126675100965
Long
ABS-CBDO
CORP
IE
N
2
2032-01-14
Floating
0.79000000
N
N
N
N
N
N
NONGHYUP BANK
988400GSDJCW3LKJBD20
NongHyup Bank
65540JAF5
430000.00000000
PA
USD
401005.92000000
0.016454022602
Long
DBT
CORP
KR
N
2
2024-07-28
Fixed
0.87500000
N
N
N
N
N
N
GMAC Mortgage Corporation Loan
N/A
GMACM Mortgage Loan Trust 2006-J1
36185MEB4
16669.72000000
PA
USD
14088.90000000
0.000578093907
Long
ABS-MBS
CORP
US
N
2
2036-04-25
Fixed
5.75000000
N
N
N
N
N
N
Benefit Street Partners CLO Lt
5493001ND55H5MJDIQ39
Benefit Street Partners CLO XVII Ltd
08182BAL2
700000.00000000
PA
USD
678918.10000000
0.027857278922
Long
ABS-CBDO
CORP
KY
N
2
2032-07-15
Floating
3.59200000
N
N
N
N
N
N
JP Morgan Mortgage Acquisition
N/A
JP Morgan Mortgage Acquisition Trust 2006-CW2
46629BAS8
222206.96000000
PA
USD
220957.11000000
0.009066283316
Long
ABS-MBS
CORP
US
N
2
2036-08-25
Floating
3.32400000
N
N
N
N
N
N
CIMB BANK BHD
SR3J0ZUTXT7OTFT2VU03
CIMB Bank Bhd
12570RAA3
550000.00000000
PA
USD
479030.48000000
0.019655516171
Long
DBT
CORP
MY
N
2
2027-07-20
Fixed
2.12500000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140F3XV5
54732.45000000
PA
USD
51986.25000000
0.002133093028
Long
ABS-MBS
USGSE
US
N
2
2046-03-01
Fixed
4.00000000
N
N
N
N
N
N
Bank
N/A
BANK 2017-BNK7
06541XAF7
710000.00000000
PA
USD
650893.14000000
0.026707362418
Long
ABS-MBS
CORP
US
N
2
2060-09-15
Fixed
3.43500000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140QKRY6
1212074.26000000
PA
USD
986350.64000000
0.040471810802
Long
ABS-MBS
USGSE
US
N
2
2051-05-01
Fixed
2.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31416YGC6
134323.40000000
PA
USD
131766.53000000
0.005406627071
Long
ABS-MBS
USGSE
US
N
2
2040-06-01
Fixed
4.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140J83Y7
974090.74000000
PA
USD
1023387.52000000
0.041991503231
Long
ABS-MBS
USGSE
US
N
2
2041-06-01
Fixed
6.00000000
N
N
N
N
N
N
SS&C TECHNOLOGIES INC
549300KY09TR3J12JU49
SS&C Technologies Inc
78466DBD5
178046.60760000
PA
USD
172749.72000000
0.007088243977
Long
LON
CORP
US
N
2
2025-04-16
Floating
4.89270000
N
N
N
N
N
N
BNP PARIBAS
R0MUWSFPU8MPRO8K5P83
BNP Paribas SA
09659W2P8
300000.00000000
PA
USD
227248.23000000
0.009324419731
Long
DBT
CORP
FR
N
2
2032-04-19
Fixed
2.87100000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Pool
3132DVKS3
1569408.14000000
PA
USD
1525452.31000000
0.062592160206
Long
ABS-MBS
USGSE
US
N
2
2049-08-01
Fixed
4.50000000
N
N
N
N
N
N
COUNTRY GARDEN HLDGS
549300MGHLPT1EFHGF84
Country Garden Holdings Co Ltd
000000000
285000.00000000
PA
USD
89988.75000000
0.003692406651
Long
DBT
CORP
KY
N
2
2026-07-12
Fixed
2.70000000
N
N
N
N
N
N
JSW HYDRO ENERGY LTD
3358006ZP5KO7VUH2790
JSW Hydro Energy Ltd
46653YAA6
519800.00000000
PA
USD
408624.92000000
0.016766644416
Long
DBT
CORP
IN
N
2
2031-05-18
Fixed
4.12500000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
3128MJ2D1
145885.81000000
PA
USD
138325.16000000
0.005675739922
Long
ABS-MBS
USGSE
US
N
2
2047-07-01
Fixed
4.00000000
N
N
N
N
N
N
Citigroup Commercial Mortgage
N/A
Citigroup Commercial Mortgage Trust 2015-GC27
17323CAE7
1400000.00000000
PA
USD
1336337.10000000
0.054832409577
Long
ABS-MBS
CORP
US
N
2
2048-02-10
Fixed
3.13700000
N
N
N
N
N
N
TK ELEVATOR MIDCO GMBH
549300C2AFWPAYWS5574
TK Elevator US Newco Inc
000000000
341385.83350000
PA
USD
327389.01000000
0.013433383154
Long
LON
CORP
US
N
2
2027-07-31
Floating
6.88130000
N
N
N
N
N
N
BARCLAYS PLC
213800LBQA1Y9L22JB70
Barclays PLC
06738EBY0
2195000.00000000
PA
USD
2059957.67000000
0.084523914417
Long
DBT
CORP
GB
N
2
2028-08-09
Fixed
5.50100000
N
N
N
N
N
N
OTIS WORLDWIDE CORP
549300ZLBKR8VSU25153
Otis Worldwide Corp
68902VAL1
1173000.00000000
PA
USD
830414.56000000
0.034073461907
Long
DBT
CORP
US
N
2
2040-02-15
Fixed
3.11200000
N
N
N
N
N
N
STATE OF ISRAEL
213800T8ZHTFZIBYPE21
State of Israel
46513JXN6
200000.00000000
PA
USD
148623.00000000
0.006098279549
Long
DBT
NUSS
IL
N
2
2050-01-15
Fixed
3.37500000
N
N
N
N
N
N
BENCHMARK Mortgage Trust
N/A
Benchmark 2022-B32 Mortgage Trust
08163NBQ7
2200000.00000000
PA
USD
1630249.50000000
0.066892184836
Long
ABS-MBS
CORP
US
N
2
2055-01-15
Variable
3.57194000
N
N
N
N
N
N
CARNIVAL CORP
F1OF2ZSX47CR0BCWA982
Carnival Corp
143658BQ4
730000.00000000
PA
USD
590110.10000000
0.024213320650
Long
DBT
CORP
PA
N
2
2028-08-01
Fixed
4.00000000
N
N
N
N
N
N
CITIGROUP INC.
6SHGI4ZSSLCXXQSBB395
BRL/USD FORWARD
000000000
1.00000000
NC
USD
-333726.26000000
-0.01369341236
N/A
DFE
CORP
US
N
2
CITIGROUP INC.
6SHGI4ZSSLCXXQSBB395
-6910387.85000000
USD
36269170.62000000
BRL
2023-01-04
-333726.26000000
N
N
N
CVS PASS-THROUGH TRUST
N/A
CVS Pass-Through Trust
126650BV1
62339.82996100
PA
USD
60385.47000000
0.002477728728
Long
DBT
CORP
US
N
2
2033-01-10
Fixed
5.77300000
N
N
N
N
N
N
OMAN GOV INTERNTL BOND
549300SZ20F0QTKNQC75
Oman Government International Bond
682051AJ6
343000.00000000
PA
USD
276160.96000000
0.011331400488
Long
DBT
NUSS
OM
N
2
2048-01-17
Fixed
6.75000000
N
N
N
N
N
N
Bank
N/A
BANK 2022-BNK40
06541LBU9
1800000.00000000
PA
USD
1432150.38000000
0.058763807584
Long
ABS-MBS
CORP
US
N
2
2064-03-15
Variable
3.50673600
N
N
N
N
N
N
T-MOBILE USA INC
549300V2JRLO5DIFGE82
T-Mobile USA Inc
87264ABD6
2150000.00000000
PA
USD
1986945.08000000
0.081528071348
Long
DBT
CORP
US
N
2
2027-04-15
Fixed
3.75000000
N
N
N
N
N
N
BANK OF AMERICA CORP
9DJT3UXIJIZJI4WXO774
Bank of America Corp
06051GKK4
665000.00000000
PA
USD
520692.41000000
0.021364983048
Long
DBT
CORP
US
N
2
2033-02-04
Fixed
2.97200000
N
N
N
N
N
N
JPMORGAN CHASE BANK, NATIONAL ASSOCIATION
7H6GLXDRUGQFU57RNE97
SWOP CDS ITRAXX.EU.XO.36.V1
000000000
-3100000.00000000
NC
-3000.25000000
-0.00012310586
N/A
DCR
CORP
US
N
2
JPMORGAN CHASE BANK, NATIONAL ASSOCIATION
7H6GLXDRUGQFU57RNE97
Put
Written
JPMORGAN CHASE BANK, NATIONAL ASSOCIATION
7H6GLXDRUGQFU57RNE97
JPMORGAN CHASE BANK, NATIONAL ASSOCIATION
7H6GLXDRUGQFU57RNE97
CDS ITRAXX.EU.XO.36.V1
000000000
0.00000000
NC
0.00000000
0.00000000
DCR
CORP
US
US
ITRAXX.XO.EU.36.V1
ITRAXX.XO.EU.36.V1
Default Event
2027-06-20
0.00000000
USD
0.00000000
USD
N/A
N/A
-3100000.00000000
USD
1.90000000
EUR
2022-11-16
XXXX
-142.64000000
N
N
N
BROADCOM INC
549300WV6GIDOZJTV909
Broadcom Inc
11135FBL4
6257000.00000000
PA
USD
4705767.06000000
0.193086420192
Long
DBT
CORP
US
N
2
2034-04-15
Fixed
3.46900000
N
N
N
N
N
N
VISTRA OPERATIONS CO LLC
549300ZH5GKBTJZ7NM23
Vistra Operations Co LLC
92840VAL6
949000.00000000
PA
USD
920036.80000000
0.037750829969
Long
DBT
CORP
US
N
2
2025-05-13
Fixed
5.12500000
N
N
N
N
N
N
CHICAGO MERCANTILE EXCHANGE INC.
SNZ2OJLFK8MNNCLQOF39
ZCS IRS BRL
000000000
1.00000000
NC
26971.14000000
0.001106676298
N/A
DIR
CORP
US
N
2
CHICAGO MERCANTILE EXCHANGE INC.
SNZ2OJLFK8MNNCLQOF39
Y
2025-01-02
0.00000000
USD
0.00000000
USD
37000000.00000000
BRL
26971.14000000
N
N
N
GOLDMAN SACHS GROUP INC
784F5XWPLTWKTBV3E584
Goldman Sachs Group Inc/The
38141GXZ2
700000.00000000
PA
USD
684472.46000000
0.028085184697
Long
DBT
CORP
US
N
2
2024-03-08
Fixed
0.67300000
N
N
N
N
N
N
Benefit Street Partners CLO Lt
549300CIOPBDYOSN3T91
Benefit Street Partners Clo XII Ltd
08179HAE0
500000.00000000
PA
USD
489362.00000000
0.020079437752
Long
ABS-CBDO
CORP
KY
N
2
2030-10-15
Floating
3.46200000
N
N
N
N
N
N
HILTON GRAND VAC BOR ESC
N/A
Hilton Grand Vacations Borrower Escrow LLC / Hilton Grand Vacations Borrower Esc
43284MAA6
900000.00000000
PA
USD
727717.50000000
0.029859609537
Long
DBT
CORP
US
N
2
2029-06-01
Fixed
5.00000000
N
N
N
N
N
N
Centex Home Equity
N/A
Centex Home Equity Loan Trust 2002-A
152314EL0
214.19000000
PA
USD
208.94000000
0.000008573198
Long
ABS-MBS
CORP
US
N
2
2032-01-25
Fixed
5.54000000
N
N
N
N
N
N
CIFI HOLDINGS GROUP
549300WGKSV867C0JF48
CIFI Holdings Group Co Ltd
000000000
250000.00000000
PA
USD
54375.00000000
0.002231107907
Long
DBT
CORP
KY
N
2
2026-05-13
Fixed
5.25000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140QLMW3
1396716.89000000
PA
USD
1135646.48000000
0.046597698235
Long
ABS-MBS
USGSE
US
N
2
2051-08-01
Fixed
2.00000000
N
N
N
N
N
N
SOUTHERN CAL EDISON
9R1Z5I36FERIBVKW4P77
Southern California Edison Co
842400GG2
880000.00000000
PA
USD
643565.47000000
0.026406694419
Long
DBT
CORP
US
N
2
2047-04-01
Fixed
4.00000000
N
N
N
N
N
N
ARAB REPUBLIC OF EGYPT
529900GFIVH4086NMH82
Egypt Government International Bond
03846JW89
359000.00000000
PA
USD
200127.06000000
0.008211587421
Long
DBT
NUSS
EG
N
2
2049-03-01
Fixed
8.70020000
N
N
N
N
N
N
WI TREASURY N/B
254900HROIFWPRGM1V77
United States Treasury Note/Bond - When Issued
912810TA6
1800000.00000000
PA
USD
1231839.90000000
0.050544694097
Long
DBT
UST
US
N
2
2041-08-15
Fixed
1.75000000
N
N
N
N
N
N
KAZTRANSGAS JSC
635400YGLXBBSVHONW39
KazTransGas JSC
48668NAA9
896000.00000000
PA
USD
761600.00000000
0.031249871857
Long
DBT
CORP
KZ
N
2
2027-09-26
Fixed
4.37500000
N
N
N
N
N
N
CIFI HOLDINGS GROUP
549300WGKSV867C0JF48
CIFI Holdings Group Co Ltd
000000000
430000.00000000
PA
USD
97171.74000000
0.003987138160
Long
DBT
CORP
KY
N
2
2024-11-07
Fixed
6.45000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140X6FL0
1660878.92000000
PA
USD
1471639.04000000
0.060384101130
Long
ABS-MBS
USGSE
US
N
2
2050-03-01
Fixed
3.00000000
N
N
N
N
N
N
WOODSIDE FINANCE LTD
254900AIZKU6TGRRNZ98
Woodside Finance Ltd
980236AN3
400000.00000000
PA
USD
370733.28000000
0.015211879587
Long
DBT
CORP
AU
N
2
2026-09-15
Fixed
3.70000000
N
N
N
N
N
N
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
CBOT US LONG BOND
000000000
-2.00000000
NC
USD
21682.46000000
0.000889671870
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
2022-12-20
-274494.96000000
USD
21682.46000000
N
N
N
SAUDI INTERNATIONAL BOND
635400FMICXSM3SI3H65
Saudi Government International Bond
80413TAE9
541000.00000000
PA
USD
512583.43000000
0.021032256439
Long
DBT
NUSS
SA
N
2
2028-03-04
Fixed
3.62500000
N
N
N
N
N
N
Option One Mortgage Loan Trust
N/A
Option One Mortgage Loan Trust 2005-1
68389FGK4
1115144.23000000
PA
USD
1056790.52000000
0.043362090770
Long
ABS-MBS
CORP
US
N
2
2035-02-25
Floating
3.86400000
N
N
N
N
N
N
US TREASURY N/B
254900HROIFWPRGM1V77
United States Treasury Note/Bond
912810SC3
1490000.00000000
PA
USD
1289577.57000000
0.052913778641
Long
DBT
UST
US
N
2
2048-05-15
Fixed
3.12500000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140HHXN0
227788.62000000
PA
USD
219780.64000000
0.009018010552
Long
ABS-MBS
USGSE
US
N
2
2048-09-01
Fixed
4.50000000
N
N
N
N
N
N
US TREASURY N/B
254900HROIFWPRGM1V77
United States Treasury Note/Bond
91282CAU5
13200000.00000000
PA
USD
11052938.16000000
0.453522716851
Long
DBT
UST
US
N
2
2027-10-31
Fixed
0.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140X4PF7
2444974.77000000
PA
USD
2322870.04000000
0.095311700489
Long
ABS-MBS
USGSE
US
N
2
2048-10-01
Fixed
4.00000000
N
N
N
N
N
N
AIR LEASE CORP
5493004NW4M4P8TMMK63
Air Lease Corp
00914AAG7
7215000.00000000
PA
USD
5722349.26000000
0.234798688421
Long
DBT
CORP
US
N
2
2030-02-01
Fixed
3.00000000
N
N
N
N
N
N
NISSAN MOTOR CO
353800DRBDH1LUTNAY26
Nissan Motor Co Ltd
654744AD3
800000.00000000
PA
USD
649191.52000000
0.026637541769
Long
DBT
CORP
JP
N
2
2030-09-17
Fixed
4.81000000
N
N
N
N
N
N
BOFA SECURITIES, INC.
549300HN4UKV1E2R3U73
BRL/USD FORWARD
000000000
1.00000000
NC
USD
32671.18000000
0.001340559596
N/A
DFE
CORP
US
N
2
BOFA SECURITIES, INC.
549300HN4UKV1E2R3U73
-6501198.43000000
BRL
1236557.00000000
USD
2022-10-04
32671.18000000
N
N
N
CIA CERVECERIAS UNIDAS
529900BJW9B0O6LI2R39
Cia Cervecerias Unidas SA
204429AA2
590000.00000000
PA
USD
498968.90000000
0.020473626820
Long
DBT
CORP
CL
N
2
2032-01-19
Fixed
3.35000000
N
N
N
N
N
N
Cantor Commercial Real Estate
N/A
Cantor Commercial Real Estate Lending 2019-CF1
12529MAF5
2340000.00000000
PA
USD
2142041.38000000
0.087891962499
Long
ABS-MBS
CORP
US
N
2
2052-05-15
Fixed
3.78570000
N
N
N
N
N
N
CENTENE CORP
549300Z7JJ4TQSQGT333
Centene Corp
15135BAV3
1000000.00000000
PA
USD
819675.00000000
0.033632797682
Long
DBT
CORP
US
N
2
2030-02-15
Fixed
3.37500000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140K16M3
1316663.76000000
PA
USD
1196228.66000000
0.049083498342
Long
ABS-MBS
USGSE
US
N
2
2050-01-01
Fixed
3.50000000
N
N
N
N
N
N
HSBC HOLDINGS PLC
MLU0ZO3ML4LN2LL2TL39
HSBC Holdings PLC
404280BR9
1000000.00000000
PA
USD
988203.80000000
0.040547849421
Long
DBT
CORP
GB
N
2
2024-05-18
Floating
3.96057000
N
N
N
N
N
N
MIZUHO FINANCIAL GROUP
353800CI5L6DDAN5XZ33
Mizuho Financial Group Inc
60687YBX6
3100000.00000000
PA
USD
2605105.77000000
0.106892360148
Long
DBT
CORP
JP
N
2
2030-05-22
Fixed
3.26100000
N
N
N
N
N
N
ENTEGRIS INC
IYX6OWO7BT5DKO3BYG52
Entegris Inc
29362LAL8
1945000.00000000
PA
USD
1934059.38000000
0.079358072204
Long
LON
CORP
US
N
2
2029-07-06
Floating
6.04210000
N
N
N
N
N
N
GOLDMAN SACHS BANK USA
KD3XUN7C6T14HNAYLU02
SWOP IRS USD
000000000
-1700000.00000000
NC
USD
-23517.67000000
-0.00096497396
N/A
DIR
CORP
US
N
2
GOLDMAN SACHS BANK USA
KD3XUN7C6T14HNAYLU02
Put
Written
GOLDMAN SACHS BANK USA
KD3XUN7C6T14HNAYLU02
GOLDMAN SACHS BANK USA
KD3XUN7C6T14HNAYLU02
IRS USD
000000000
0.00000000
NC
USD
0.00000000
0.00000000
DIR
CORP
US
THE SECURED OVERNIGHT FINANCING RATE
THE SECURED OVERNIGHT FINANCING RATE
2024-10-24
0.00000000
USD
0.00000000
USD
0.00000000
USD
-1700000.00000000
USD
3.01750000
USD
2023-10-20
XXXX
-12510.17000000
N
N
N
AIR LEASE CORP
5493004NW4M4P8TMMK63
Air Lease Corp
00914AAS1
2380000.00000000
PA
USD
1797205.59000000
0.073742705343
Long
DBT
CORP
US
N
2
2032-01-15
Fixed
2.87500000
N
N
N
N
N
N
BOFA SECURITIES, INC.
549300HN4UKV1E2R3U73
USD/ZAR FORWARD
000000000
1.00000000
NC
USD
-32298.39000000
-0.00132526332
N/A
DFE
CORP
US
N
2
BOFA SECURITIES, INC.
549300HN4UKV1E2R3U73
-1141357.04000000
USD
20256750.00000000
ZAR
2023-01-09
-32298.39000000
N
N
N
SA GLOBAL SUKUK LTD
5493007DFAVKU7UOGR47
SA Global Sukuk Ltd
78397PAD3
425000.00000000
PA
USD
359350.68000000
0.014744830228
Long
DBT
CORP
KY
N
2
2031-06-17
Fixed
2.69400000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31418CZJ6
98338.52000000
PA
USD
94633.31000000
0.003882981632
Long
ABS-MBS
USGSE
US
N
2
2048-08-01
Fixed
4.50000000
N
N
N
N
N
N
ENERGEAN ISRAEL FINANCE
98450044QACBL3F8EB03
Energean Israel Finance Ltd
000000000
425000.00000000
PA
USD
377187.50000000
0.015476708300
Long
DBT
CORP
IL
N
2
2026-03-30
Fixed
4.87500000
N
N
N
N
N
N
TRINIDAD & TOBAGO
N/A
Trinidad & Tobago Government International Bond
896292AK5
200000.00000000
PA
USD
182010.08000000
0.007468213861
Long
DBT
NUSS
TT
N
2
2030-06-26
Fixed
4.50000000
N
N
N
N
N
N
NXP BV/NXP FDG/NXP USA
N/A
NXP BV / NXP Funding LLC / NXP USA Inc
62954HAZ1
3250000.00000000
PA
USD
3037156.85000000
0.124620223706
Long
DBT
CORP
N/A
N
2
2026-06-18
Fixed
3.87500000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36193FLJ4
58784.43000000
PA
USD
60843.63000000
0.002496527889
Long
ABS-MBS
USGA
US
N
2
2037-05-20
Fixed
5.50000000
N
N
N
N
N
N
AIRPORT AUTHORITY HK
254900748HGC4RBR4O84
Airport Authority
00946AAD6
430000.00000000
PA
USD
354036.76000000
0.014526790156
Long
DBT
NUSS
HK
N
2
2032-01-12
Fixed
2.50000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38375BNQ1
2345139.47000000
PA
USD
2335111.42000000
0.095813987196
Long
ABS-MBS
USGA
US
N
2
2061-10-20
Floating
3.05729000
N
N
N
N
N
N
REPUBLIC OF INDONESIA
529900FWX0GRR7WG5W79
Indonesia Government International Bond
455780DN3
200000.00000000
PA
USD
188086.22000000
0.007717529245
Long
DBT
NUSS
ID
N
2
2032-09-20
Fixed
4.65000000
N
N
N
N
N
N
NATWEST GROUP PLC
2138005O9XJIJN4JPN90
NatWest Group PLC
000000000
500000.00000000
PA
419585.53000000
0.017216378736
Long
DBT
CORP
GB
N
2
N/A
Fixed
5.12500000
N
N
N
N
N
N
NATWEST GROUP PLC
2138005O9XJIJN4JPN90
NatWest Group PLC
780097BA8
5000000.00000000
PA
USD
4799503.50000000
0.196932601571
Long
DBT
CORP
GB
N
2
2026-04-05
Fixed
4.80000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
3617Q2CM5
758570.41000000
PA
USD
685263.46000000
0.028117640905
Long
ABS-MBS
USGA
US
N
2
2050-08-20
Fixed
3.00000000
N
N
N
N
N
N
Sound Point CLO LTD
549300ZK5CJ7PM7YBH85
Sound Point Clo XVI Ltd
83610KAJ2
4400000.00000000
PA
USD
4299631.60000000
0.176421922973
Long
ABS-CBDO
CORP
KY
N
2
2030-07-25
Floating
3.76300000
N
N
N
N
N
N
CIT Mortgage Loan Trust
N/A
CIT Mortgage Loan Trust 2007-1
12559QAF9
3600000.00000000
PA
USD
3349171.44000000
0.137422765664
Long
ABS-MBS
CORP
US
N
2
2037-10-25
Floating
4.58400000
N
N
N
N
N
N
CHICAGO MERCANTILE EXCHANGE INC.
SNZ2OJLFK8MNNCLQOF39
ZCS IRS BRL
000000000
1.00000000
NC
82806.37000000
0.003397700172
N/A
DIR
CORP
US
N
2
CHICAGO MERCANTILE EXCHANGE INC.
SNZ2OJLFK8MNNCLQOF39
Y
2027-01-04
0.00000000
USD
0.00000000
USD
6600000.00000000
BRL
82806.37000000
N
N
N
FORD MOTOR CREDIT CO LLC
UDSQCVRUX5BONN0VY111
Ford Motor Credit Co LLC
345397B51
765000.00000000
PA
USD
602357.56000000
0.024715856831
Long
DBT
CORP
US
N
2
2028-02-16
Fixed
2.90000000
N
N
N
N
N
N
REPUBLIC OF SOUTH AFRICA
378900AAFB4F17004C49
Republic of South Africa Government International Bond
836205AY0
268000.00000000
PA
USD
231485.00000000
0.009498262325
Long
DBT
NUSS
ZA
N
2
2030-06-22
Fixed
5.87500000
N
N
N
N
N
N
Apidos CLO
549300PPHIOJQEKPJH29
Apidos CLO XXIV
03759CAS9
1350000.00000000
PA
USD
1314153.45000000
0.053922172944
Long
ABS-CBDO
CORP
KY
N
2
2030-10-20
Floating
3.65986000
N
N
N
N
N
N
BARCLAYS PLC
213800LBQA1Y9L22JB70
Barclays PLC
06738EBC8
1800000.00000000
PA
USD
1799181.18000000
0.073823767495
Long
DBT
CORP
GB
N
2
2024-05-16
Floating
4.30157000
N
N
N
N
N
N
NISSAN MOTOR ACCEPTANCE
7D6DIU2QXTUJRFNNJA49
Nissan Motor Acceptance Co LLC
65480CAD7
300000.00000000
PA
USD
226300.11000000
0.009285516595
Long
DBT
CORP
US
N
2
2028-09-15
Fixed
2.45000000
N
N
N
N
N
N
FORD MOTOR CREDIT CO LLC
UDSQCVRUX5BONN0VY111
Ford Motor Credit Co LLC
000000000
1000000.00000000
PA
890243.12000000
0.036528339577
Long
DBT
CORP
US
N
2
2025-09-15
Fixed
3.25000000
N
N
N
N
N
N
COMM Mortgage Trust
N/A
COMM 2015-3BP Mortgage Trust
12592TAA3
605000.00000000
PA
USD
560729.19000000
0.023007766983
Long
ABS-MBS
CORP
US
N
2
2035-02-10
Fixed
3.17800000
N
N
N
N
N
N
JPMBB Commercial Mortgage Secu
N/A
JPMBB Commercial Mortgage Securities Trust 2015-C31
46644YAU4
7784753.33000000
PA
USD
7424624.41000000
0.304646220333
Long
ABS-MBS
CORP
US
N
2
2048-08-15
Fixed
3.80140000
N
N
N
N
N
N
REPUBLIC OF CHILE
549300FLZTJM5YJF8D34
Chile Government International Bond
168863DN5
258000.00000000
PA
USD
203014.91000000
0.008330081306
Long
DBT
NUSS
CL
N
2
2032-01-27
Fixed
2.55000000
N
N
N
N
N
N
REPUBLIC OF SERBIA
254900W94OCY91V32O78
Serbia International Bond
000000000
200000.00000000
PA
131449.21000000
0.005393606838
Long
DBT
NUSS
RS
N
2
2028-09-23
Fixed
1.00000000
N
N
N
N
N
N
GENERAL MOTORS CO
54930070NSV60J38I987
General Motors Co
37045VAV2
685000.00000000
PA
USD
685914.48000000
0.028144353473
Long
DBT
CORP
US
N
2
2025-10-01
Fixed
6.12500000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140X6ST9
2329408.06000000
PA
USD
2139617.67000000
0.087792513146
Long
ABS-MBS
USGSE
US
N
2
2047-02-01
Fixed
3.50000000
N
N
N
N
N
N
BANK OF CHINA
54930053HGCFWVHYZX42
Bank of China Ltd
061202AA5
455000.00000000
PA
USD
455284.01000000
0.018681154111
Long
DBT
CORP
CN
N
2
2024-11-13
Fixed
5.00000000
N
N
N
N
N
N
ICL GROUP LIMITED
529900FQVQD88SHIGM04
ICL Group Ltd
000000000
270000.00000000
PA
USD
258760.17000000
0.010617413543
Long
DBT
CORP
IL
N
2
2038-05-31
Fixed
6.37500000
N
N
N
N
N
N
VOLCAN CIA MINERA SAA-CM
549300XKJ91C4SZLG750
Volcan Cia Minera SAA
92863UAB2
292000.00000000
PA
USD
241548.24000000
0.009911175876
Long
DBT
CORP
PE
N
2
2026-02-11
Fixed
4.37500000
N
N
N
N
N
N
REPUBLIC OF PHILIPPINES
529900RAHBALMYIJ3T08
Philippine Government International Bond
718286CQ8
510000.00000000
PA
USD
475853.97000000
0.019525178027
Long
DBT
NUSS
PH
N
2
2027-03-29
Fixed
3.22900000
N
N
N
N
N
N
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
US ULTRA TREASURY BOND
000000000
-3.00000000
NC
USD
40197.57000000
0.001649381448
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
2022-12-20
-451197.57000000
USD
40197.57000000
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140XHBG1
518544.57000000
PA
USD
455580.61000000
0.018693324164
Long
ABS-MBS
USGSE
US
N
2
2051-12-01
Fixed
3.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140J6EW3
1295635.60000000
PA
USD
1361836.75000000
0.055878707889
Long
ABS-MBS
USGSE
US
N
2
2041-07-01
Fixed
6.00000000
N
N
N
N
N
N
INTERCONTINENTAL EXCHANGE, INC.
5493000F4ZO33MV32P92
CDS TESCO PLC
000000000
1.00000000
NC
-113440.88000000
-0.00465469139
N/A
DCR
CORP
US
N
2
INTERCONTINENTAL EXCHANGE, INC.
5493000F4ZO33MV32P92
TESCO PLC
Tesco PLC
Y
Default Event
2028-06-20
672.08000000
USD
0.00000000
USD
2700000.00000000
EUR
-114112.96000000
N
N
N
GENERAL MOTORS FINL CO
5493008B6JBRUJ90QL97
General Motors Financial Co Inc
37045XDB9
1780000.00000000
PA
USD
1532345.57000000
0.062875003551
Long
DBT
CORP
US
N
2
N/A
Fixed
5.70000000
N
N
N
N
N
N
SAUDI ARABIAN OIL CO
5586006WD91QHB7J4X50
Saudi Arabian Oil Co
80414L2E4
530000.00000000
PA
USD
455465.04000000
0.018688582111
Long
DBT
CORP
SA
N
2
2039-04-16
Fixed
4.25000000
N
N
N
N
N
N
BURLINGTN NORTH SANTA FE
N/A
Burlington Northern Santa Fe LLC
12189LBH3
1615000.00000000
PA
USD
1059021.39000000
0.043453627537
Long
DBT
CORP
US
N
2
2052-06-15
Fixed
2.87500000
N
N
N
N
N
N
Ares European CLO
635400SFL7VSI4HNPI68
Ares European CLO X DAC
000000000
2700000.00000000
PA
2502280.52000000
0.102673247902
Long
ABS-CBDO
CORP
IE
N
2
2031-10-15
Floating
0.78000000
N
N
N
N
N
N
FORD MOTOR CREDIT CO LLC
UDSQCVRUX5BONN0VY111
Ford Motor Credit Co LLC
345397ZW6
1514000.00000000
PA
USD
1350208.82000000
0.055401592182
Long
DBT
CORP
US
N
2
2026-08-01
Fixed
4.54200000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31418C5Z3
44446.16000000
PA
USD
41997.65000000
0.001723242096
Long
ABS-MBS
USGSE
US
N
2
2049-01-01
Fixed
4.00000000
N
N
N
N
N
N
Dryden Leveraged Loan CDO
635400RDG3EM9CGEVD60
Dryden 27 R Euro CLO 2017 DAC
000000000
2200000.00000000
PA
2020382.88000000
0.082900086796
Long
ABS-CBDO
CORP
IE
N
2
2033-04-15
Floating
0.66000000
N
N
N
N
N
N
REPUBLIC OF ARGENTINA
549300KPBYGYF7HCHO27
Argentine Republic Government International Bond
040114HX1
31833.00000000
PA
USD
6161.75000000
0.000252828122
Long
DBT
NUSS
AR
N
2
2029-07-09
Fixed
1.00000000
N
N
N
N
N
N
PUERTO RICO CMWLTH
549300X44HXPLJU48U63
Commonwealth of Puerto Rico
74514L3Q8
162917.00000000
PA
USD
149816.84000000
0.006147265036
Long
DBT
MUN
US
N
2
2024-07-01
None
0.00000000
N
N
N
N
N
N
FIFTH THIRD BANK
QFROUN1UWUYU0DVIWD51
Fifth Third Bank NA
31677AAB0
835000.00000000
PA
USD
789506.28000000
0.032394918698
Long
DBT
CORP
US
N
2
2026-03-15
Fixed
3.85000000
N
N
N
N
N
N
Anchorage Capital CLO LTD
5493009A4SIPWYPZDB35
Anchorage Capital CLO 9 Ltd
03328WAS7
1800000.00000000
PA
USD
1748961.00000000
0.071763139620
Long
ABS-CBDO
CORP
KY
N
2
2032-07-15
Floating
3.65200000
N
N
N
N
N
N
CHARTER COMM OPT LLC/CAP
N/A
Charter Communications Operating LLC / Charter Communications Operating Capital
161175CC6
4252000.00000000
PA
USD
2719316.00000000
0.111578619408
Long
DBT
CORP
US
N
2
2061-12-01
Fixed
4.40000000
N
N
N
N
N
N
GILEAD SCIENCES INC
549300WTZWR07K8MNV44
Gilead Sciences Inc
375558BK8
3305000.00000000
PA
USD
2633256.11000000
0.108047421227
Long
DBT
CORP
US
N
2
2047-03-01
Fixed
4.15000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140X5YV9
627696.71000000
PA
USD
573911.95000000
0.023548680272
Long
ABS-MBS
USGSE
US
N
2
2050-03-01
Fixed
3.50000000
N
N
N
N
N
N
REPUBLIC OF PERU
254900STKLK2DBJJZ530
Peruvian Government International Bond
715638DA7
512000.00000000
PA
USD
421434.73000000
0.017292254870
Long
DBT
NUSS
PE
N
2
2030-06-20
Fixed
2.84400000
N
N
N
N
N
N
UNICREDIT SPA
549300TRUWO2CD2G5692
UniCredit SpA
904678AG4
2900000.00000000
PA
USD
2924836.47000000
0.120011508525
Long
DBT
CORP
IT
N
2
2023-12-04
Fixed
7.83000000
N
N
N
N
N
N
ONEMAIN FINANCE CORP
5493008I795YYBFWFU90
OneMain Finance Corp
85172FAP4
1500000.00000000
PA
USD
1447155.00000000
0.059379475195
Long
DBT
CORP
US
N
2
2024-03-15
Fixed
6.12500000
N
N
N
N
N
N
USI INC/NY
N/A
USI Inc/NY
90351NAF2
163093.00900000
PA
USD
157792.49000000
0.006474520867
Long
LON
CORP
US
N
2
2026-12-02
Floating
6.39270000
N
N
N
N
N
N
BNP PARIBAS
R0MUWSFPU8MPRO8K5P83
COP/USD FORWARD
000000000
1.00000000
NC
USD
-15958.90000000
-0.00065482350
N/A
DFE
CORP
US
N
2
BNP PARIBAS
R0MUWSFPU8MPRO8K5P83
-341530.80000000
USD
1508200000.00000000
COP
2022-10-24
-15958.90000000
N
N
N
Fannie Mae - CAS
N/A
Connecticut Avenue Securities Trust 2019-R07
20753WAF3
269623.73000000
PA
USD
268147.70000000
0.011002601449
Long
ABS-MBS
CORP
US
N
2
2039-10-25
Floating
5.18400000
N
N
N
N
N
N
AIR LEASE CORP
5493004NW4M4P8TMMK63
Air Lease Corp
00914AAA0
900000.00000000
PA
USD
886547.79000000
0.036376713279
Long
DBT
CORP
US
N
2
2024-02-01
Fixed
4.25000000
N
N
N
N
N
N
COMCAST CORP
51M0QTTNCGUN7KFCFZ59
Comcast Corp
20030NCR0
2970000.00000000
PA
USD
2922872.63000000
0.119930928498
Long
DBT
CORP
US
N
2
2024-04-15
Fixed
3.70000000
N
N
N
N
N
N
MPH ACQUISITION HOLDINGS
5493002WXOPRPTXWTU06
MPH Acquisition Holdings LLC
55328HAK7
1782000.00000000
PA
USD
1651320.59000000
0.067756771052
Long
LON
CORP
US
N
2
2028-09-01
Floating
7.26000000
N
N
N
N
N
N
PG&E CORP
8YQ2GSDWYZXO2EDN3511
PG&E Corp
69338CAH4
1428954.78820000
PA
USD
1371796.60000000
0.056287379156
Long
LON
CORP
US
N
2
2025-06-23
Floating
6.14270000
N
N
N
N
N
N
VICI PROPERTIES / NOTE
N/A
VICI Properties LP / VICI Note Co Inc
92564RAJ4
145000.00000000
PA
USD
136944.53000000
0.005619090092
Long
DBT
CORP
US
N
2
2027-02-01
Fixed
5.75000000
N
N
N
N
N
N
JP Morgan Mortgage Trust
N/A
JP Morgan Mortgage Trust 2021-13
46592XBZ6
1951911.09000000
PA
USD
1521442.86000000
0.062427644976
Long
ABS-MBS
CORP
US
N
2
2052-04-25
Variable
3.14355700
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Pool
3133KYVG1
6131953.83000000
PA
USD
5273769.72000000
0.216392631248
Long
ABS-MBS
USGSE
US
N
2
2041-06-01
Fixed
2.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140QGPL5
2937722.80000000
PA
USD
2485567.90000000
0.101987497858
Long
ABS-MBS
USGSE
US
N
2
2051-01-01
Fixed
2.50000000
N
N
N
N
N
N
FALABELLA SA
5493004CKJQ7H391LM41
Falabella SA
30607FAA8
425000.00000000
PA
USD
318040.25000000
0.013049786053
Long
DBT
CORP
CL
N
2
2032-01-15
Fixed
3.37500000
N
N
N
N
N
N
JP Morgan Mortgage Trust
N/A
JP Morgan Mortgage Trust 2017-2
46648HAC7
53025.21000000
PA
USD
46306.27000000
0.001900032830
Long
ABS-MBS
CORP
US
N
2
2047-05-25
Variable
3.50000000
N
N
N
N
N
N
AMERICAN AIRLINES/AADVAN
N/A
American Airlines Inc/AAdvantage Loyalty IP Ltd
00253XAA9
500000.00000000
PA
USD
470417.50000000
0.019302109499
Long
DBT
CORP
N/A
N
2
2026-04-20
Fixed
5.50000000
N
N
N
N
N
N
JPMORGAN CHASE BANK, NATIONAL ASSOCIATION
7H6GLXDRUGQFU57RNE97
CDS HOCHTIEF AG
000000000
1.00000000
NC
98100.09000000
0.004025230096
N/A
DCR
CORP
US
N
2
JPMORGAN CHASE BANK, NATIONAL ASSOCIATION
7H6GLXDRUGQFU57RNE97
HOCHTIEF AKTIENGESELLSCH
HOCHTIEF AKTIENGESELLSCH
Y
Default Event
2026-12-20
213559.85000000
USD
0.00000000
USD
1100000.00000000
EUR
-115459.76000000
N
N
N
US TREASURY N/B
254900HROIFWPRGM1V77
United States Treasury Note/Bond
9128284F4
12700000.00000000
PA
USD
12213828.76000000
0.501156228525
Long
DBT
UST
US
N
2
2025-03-31
Fixed
2.62500000
N
N
N
N
N
N
SPRINT CORP
549300ZTTY7CXOLJ6539
Sprint Corp
85207UAK1
200000.00000000
PA
USD
207198.38000000
0.008501736901
Long
DBT
CORP
US
N
2
2026-03-01
Fixed
7.62500000
N
N
N
N
N
N
FIFTH THIRD BANCORP
THRNG6BD57P9QWTQLG42
Fifth Third Bancorp
316773CX6
790000.00000000
PA
USD
775738.53000000
0.031830002176
Long
DBT
CORP
US
N
2
2024-01-25
Fixed
3.65000000
N
N
N
N
N
N
Countrywide Asset-Backed Certi
N/A
CWABS Asset-Backed Certificates Trust 2006-17
12666VAC5
627151.85000000
PA
USD
607627.99000000
0.024932112427
Long
ABS-MBS
CORP
US
N
2
2047-03-25
Floating
3.38400000
N
N
N
N
N
N
JP Morgan Mortgage Trust
N/A
JP Morgan Mortgage Trust 2016-4
46647JBA7
329247.45000000
PA
USD
288643.63000000
0.011843587775
Long
ABS-MBS
CORP
US
N
2
2046-10-25
Variable
3.80460000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31403FSU9
1587.82000000
PA
USD
1636.43000000
0.000067145782
Long
ABS-MBS
USGSE
US
N
2
2033-11-01
Fixed
6.50000000
N
N
N
N
N
N
ENTERPRISE PRODUCTS OPER
5493004LGN656HWLDA30
Enterprise Products Operating LLC
29379VCA9
4365000.00000000
PA
USD
2794450.74000000
0.114661538259
Long
DBT
CORP
US
N
2
2052-02-15
Fixed
3.20000000
N
N
N
N
N
N
AMER AIRLINE 16-1 AA PTT
N/A
American Airlines 2016-1 Class AA Pass Through Trust
02376UAA3
500065.55000000
PA
USD
446459.22000000
0.018319056479
Long
DBT
CORP
US
N
2
2028-01-15
Fixed
3.57500000
N
N
N
N
N
N
REPUBLIC OF SOUTH AFRICA
378900AAFB4F17004C49
Republic of South Africa Government International Bond
836205BA1
3200000.00000000
PA
USD
2652640.00000000
0.108842778473
Long
DBT
NUSS
ZA
N
2
2029-09-30
Fixed
4.85000000
N
N
N
N
N
N
GEOPARK LTD
529900ZR5QI19AH4KZ07
Geopark Ltd
37255BAB5
555000.00000000
PA
USD
434069.50000000
0.017810683104
Long
DBT
CORP
BM
N
2
2027-01-17
Fixed
5.50000000
N
N
N
N
N
N
REPUBLIC OF TURKEY
5493000PCHOG3B6S3Q85
Turkey Government International Bond
900123CT5
500000.00000000
PA
USD
426971.00000000
0.017519418378
Long
DBT
NUSS
TR
N
2
2029-04-26
Fixed
7.62500000
N
N
N
N
N
N
TORONTO-DOMINION BANK
PT3QB789TSUIDF371261
Toronto-Dominion Bank/The
89115A2C5
2710000.00000000
PA
USD
2558543.25000000
0.104981812901
Long
DBT
CORP
CA
N
2
2027-06-08
Fixed
4.10800000
N
N
N
N
N
N
BANCOLOMBIA SA
54930052NWJRPNMP1W58
Bancolombia SA
05968LAK8
415000.00000000
PA
USD
371559.88000000
0.015245796530
Long
DBT
CORP
CO
N
2
2027-10-18
Fixed
4.87500000
N
N
N
N
N
N
BNP PARIBAS
R0MUWSFPU8MPRO8K5P83
BNP Paribas SA
000000000
500000.00000000
PA
USD
473289.05000000
0.019419934564
Long
DBT
CORP
FR
N
2
N/A
Fixed
7.37500000
N
N
N
N
N
N
VERIZON COMMUNICATIONS
2S72QS2UO2OESLG6Y829
Verizon Communications Inc
92343VFU3
1100000.00000000
PA
USD
675630.89000000
0.027722398550
Long
DBT
CORP
US
N
2
2050-11-20
Fixed
2.87500000
N
N
N
N
N
N
MORGAN STANLEY
IGJSJL3JD5P30I6NJZ34
Morgan Stanley
61747YEF8
5700000.00000000
PA
USD
4092823.44000000
0.167936197528
Long
DBT
CORP
US
N
2
2036-09-16
Fixed
2.48400000
N
N
N
N
N
N
US TREASURY N/B
254900HROIFWPRGM1V77
United States Treasury Note/Bond
91282CFH9
545000.00000000
PA
USD
522859.38000000
0.021453897879
Long
DBT
UST
US
N
2
2027-08-31
Fixed
3.12500000
N
N
N
N
N
N
CSN RESOURCES SA
222100ZEX458NMOXZP08
CSN Resources SA
12644VAE8
625000.00000000
PA
USD
456250.00000000
0.018720790487
Long
DBT
CORP
LU
N
2
2032-04-08
Fixed
5.87500000
N
N
N
N
N
N
BP CAPITAL MARKETS PLC
549300CRVT18MXX0AG93
BP Capital Markets PLC
05565QDV7
2750000.00000000
PA
USD
2373593.75000000
0.097392989141
Long
DBT
CORP
GB
N
2
N/A
Fixed
4.87500000
N
N
N
N
N
N
Banc of America Funding Corpor
N/A
Banc of America Funding 2006-I Trust
05951VAA7
78674.55000000
PA
USD
76957.86000000
0.003157724873
Long
ABS-MBS
CORP
US
N
2
2036-12-20
Variable
3.22565100
N
N
N
N
N
N
KKR Financial CLO Ltd
54930088PYF0FHKY5C94
KKR CLO 18 Ltd
48251JAL7
500000.00000000
PA
USD
490422.00000000
0.020122931534
Long
ABS-CBDO
CORP
KY
N
2
2030-07-18
Floating
3.68029000
N
N
N
N
N
N
PETROLEOS MEXICANOS
549300CAZKPF4HKMPX17
Petroleos Mexicanos
71654QCC4
390000.00000000
PA
USD
218054.85000000
0.008947198162
Long
DBT
CORP
MX
N
2
2047-09-21
Fixed
6.75000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac REMICS
31397FPF3
294758.92000000
PA
USD
29950.78000000
0.001228936498
Long
ABS-MBS
USGSE
US
N
2
2037-03-15
Floating
3.93229000
N
N
N
N
N
N
HSI Asset Securitization Corpo
N/A
HSI Asset Securitization Corp Trust 2006-HE1
44328AAB6
21916.29000000
PA
USD
9416.06000000
0.000386358545
Long
ABS-MBS
CORP
US
N
2
2036-10-25
Floating
3.18400000
N
N
N
N
N
N
GOLDMAN SACHS BANK USA
KD3XUN7C6T14HNAYLU02
SWOP IRS USD
000000000
-1800000.00000000
NC
USD
-3156.19000000
-0.00012950437
N/A
DIR
CORP
US
N
2
GOLDMAN SACHS BANK USA
KD3XUN7C6T14HNAYLU02
Call
Written
GOLDMAN SACHS BANK USA
KD3XUN7C6T14HNAYLU02
GOLDMAN SACHS BANK USA
KD3XUN7C6T14HNAYLU02
IRS USD
000000000
0.00000000
NC
USD
0.00000000
0.00000000
DIR
CORP
US
THE SECURED OVERNIGHT FINANCING RATE
THE SECURED OVERNIGHT FINANCING RATE
2024-10-31
0.00000000
USD
0.00000000
USD
0.00000000
USD
-1800000.00000000
USD
2.84100000
USD
2023-10-27
XXXX
9173.81000000
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31419AQ83
37480.89000000
PA
USD
35547.01000000
0.001458560277
Long
ABS-MBS
USGSE
US
N
2
2040-11-01
Fixed
4.00000000
N
N
N
N
N
N
J.P. MORGAN SECURITIES LLC
ZBUT11V806EZRVTWT807
USD/INR FORWARD
000000000
1.00000000
NC
USD
-5875.02000000
-0.00024106305
N/A
DFE
CORP
US
N
2
J.P. MORGAN SECURITIES LLC
ZBUT11V806EZRVTWT807
-305403.03000000
USD
24536690.24000000
INR
2022-11-14
-5875.02000000
N
N
N
CAMELOT US ACQUISITION LLC
549300U6VBJHQP2SFL81
Camelot US Acquisition LLC
000000000
638625.00000000
PA
USD
619067.11000000
0.025401480907
Long
LON
CORP
US
N
2
2026-10-31
Floating
6.14270000
N
N
N
N
N
N
Morgan Stanley Capital I Trust
N/A
Morgan Stanley Capital I Trust 2020-HR8
61692BBP4
4415000.00000000
PA
USD
3503985.06000000
0.143775057927
Long
ABS-MBS
CORP
US
N
2
2053-07-15
Fixed
2.04100000
N
N
N
N
N
N
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
IRS EUR
000000000
1.00000000
NC
-158321.39000000
-0.00649622262
N/A
DIR
CORP
GB
N
2
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
Y
2027-04-11
0.00000000
USD
0.00000000
USD
1900000.00000000
EUR
-158321.39000000
N
N
N
US TREASURY N/B
254900HROIFWPRGM1V77
United States Treasury Note/Bond
912828M80
3246000.00000000
PA
USD
3239818.64000000
0.132935815839
Long
DBT
UST
US
N
2
2022-11-30
Fixed
2.00000000
N
N
N
N
N
N
DUKE ENERGY CORP
I1BZKREC126H0VB1BL91
Duke Energy Corp
26441CBG9
1630000.00000000
PA
USD
1464950.44000000
0.060109655368
Long
DBT
CORP
US
N
2
N/A
Fixed
4.87500000
N
N
N
N
N
N
BANK LEUMI LE-ISRAEL
7JDSZWRGUQY2DSTWCR57
Bank Leumi Le-Israel BM
000000000
535000.00000000
PA
USD
526241.52000000
0.021592673406
Long
DBT
CORP
IL
N
2
2027-07-27
Fixed
5.12500000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140L2PU1
1493144.25000000
PA
USD
1218020.33000000
0.049977651303
Long
ABS-MBS
USGSE
US
N
2
2051-02-01
Fixed
2.00000000
N
N
N
N
N
N
J.P. Morgan Alternative Loan T
N/A
JP Morgan Alternative Loan Trust 2007-A2
466278AA6
2978048.63000000
PA
USD
1687248.89000000
0.069230976372
Long
ABS-MBS
CORP
US
N
2
2037-06-25
Floating
3.44400000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
31335AZ68
2350969.31000000
PA
USD
2091446.28000000
0.085815950955
Long
ABS-MBS
USGSE
US
N
2
2046-11-01
Fixed
3.00000000
N
N
N
N
N
N
US TREASURY N/B
254900HROIFWPRGM1V77
United States Treasury Note/Bond
91282CEQ0
9415000.00000000
PA
USD
9061569.37000000
0.371813132411
Long
DBT
UST
US
N
2
2025-05-15
Fixed
2.75000000
N
N
N
N
N
N
MIZUHO FINANCIAL GROUP
353800CI5L6DDAN5XZ33
Mizuho Financial Group Inc
60687YBE8
2000000.00000000
PA
USD
1567112.60000000
0.064301559791
Long
DBT
CORP
JP
N
2
2031-05-25
Fixed
2.59100000
N
N
N
N
N
N
PNC FINANCIAL SERVICES
CFGNEKW0P8842LEUIA51
PNC Financial Services Group Inc/The
693475BF1
1090000.00000000
PA
USD
1032775.00000000
0.042376689086
Long
DBT
CORP
US
N
2
N/A
Fixed
6.20000000
N
N
N
N
N
N
JPMORGAN CHASE BANK, NATIONAL ASSOCIATION
7H6GLXDRUGQFU57RNE97
CDS REPUBLIC OF SOUTH AFRICA
000000000
1.00000000
NC
USD
-7590.28000000
-0.00031144337
N/A
DCR
CORP
US
N
2
JPMORGAN CHASE BANK, NATIONAL ASSOCIATION
7H6GLXDRUGQFU57RNE97
REPUBLIC OF SOUTH AFRICA
Republic of South Africa Government International Bond
Y
Default Event
2023-12-20
0.00000000
USD
-8245.04000000
USD
700000.00000000
USD
654.76000000
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31412PMN8
80557.32000000
PA
USD
78983.82000000
0.003240853799
Long
ABS-MBS
USGSE
US
N
2
2039-05-01
Fixed
4.50000000
N
N
N
N
N
N
TURKCELL ILETISIM HIZMET
7890003EX1LTLS2FFL84
Turkcell Iletisim Hizmetleri AS
900111AB1
585000.00000000
PA
USD
465180.30000000
0.019087217392
Long
DBT
CORP
TR
N
2
2028-04-11
Fixed
5.80000000
N
N
N
N
N
N
GOLDMAN SACHS GROUP INC
784F5XWPLTWKTBV3E584
Goldman Sachs Group Inc/The
38141GYG3
3993000.00000000
PA
USD
3377507.00000000
0.138585426666
Long
DBT
CORP
US
N
2
2027-09-10
Fixed
1.54200000
N
N
N
N
N
N
UBS GROUP AG
549300SZJ9VS8SGXAN81
UBS Group AG
902613AA6
2000000.00000000
PA
USD
1643783.80000000
0.067447522468
Long
DBT
CORP
CH
N
2
2030-08-13
Fixed
3.12600000
N
N
N
N
N
N
TIME WARNER ENT
N/A
Time Warner Entertainment Co LP
88731EAF7
1415000.00000000
PA
USD
1435024.23000000
0.058881727022
Long
DBT
CORP
US
N
2
2023-03-15
Fixed
8.37500000
N
N
N
N
N
N
Structured Asset Securities Co
N/A
Structured Asset Securities Corp Mortgage Loan Trust 2006-BC1
86359YAH4
998451.53000000
PA
USD
907537.93000000
0.037237977965
Long
ABS-MBS
CORP
US
N
2
2036-03-25
Floating
3.35400000
N
N
N
N
N
N
CONNECT FINCO SARL/CONNE
N/A
Connect Finco SARL / Connect US Finco LLC
20752TAA2
1740000.00000000
PA
USD
1524052.43000000
0.062534720512
Long
DBT
CORP
N/A
N
2
2026-10-01
Fixed
6.75000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140XGP86
5266481.96000000
PA
USD
4810761.69000000
0.197394546155
Long
ABS-MBS
USGSE
US
N
2
2050-08-01
Fixed
3.50000000
N
N
N
N
N
N
Vibrant CLO Ltd
549300WOQQ4NNX4VIU97
Vibrant Clo VI Ltd
92558EAJ1
2028872.11000000
PA
USD
1991910.12000000
0.081731796221
Long
ABS-CBDO
CORP
KY
N
2
2029-06-20
Floating
4.47714000
N
N
N
N
N
N
KAMAN CORP
5493003YK076OLTEQF95
Kaman Corp
483548AF0
2540000.00000000
PA
USD
2396490.00000000
0.098332465085
Long
DBT
CORP
US
N
2
2024-05-01
Fixed
3.25000000
N
N
N
N
Y
Kaman Corp
Kaman Corp
USD
XXXX
N
N
N
Cantor Commercial Real Estate
N/A
Cantor Commercial Real Estate Lending 2019-CF3
12529TAX1
800000.00000000
PA
USD
684349.52000000
0.028080140239
Long
ABS-MBS
CORP
US
N
2
2053-01-15
Fixed
3.00550000
N
N
N
N
N
N
SYSTEM ENERGY RESOURCES
N/A
System Energy Resources Inc
871911AT0
800000.00000000
PA
USD
720983.36000000
0.029583295183
Long
DBT
CORP
US
N
2
2025-12-09
Fixed
2.14000000
N
N
N
N
N
N
SOUTHWESTERN ENERGY CO
EFWMP121W54QV9MGOP87
Southwestern Energy Co
845467AN9
2050000.00000000
PA
USD
2088108.07000000
0.085678977958
Long
DBT
CORP
US
N
2
2027-10-01
Fixed
7.75000000
N
N
N
N
N
N
WARNERMEDIA HOLDINGS INC
549300DXR29GD4N0A520
Warnermedia Holdings Inc
55903VAL7
340000.00000000
PA
USD
280149.22000000
0.011495046252
Long
DBT
CORP
US
N
2
2032-03-15
Fixed
4.27900000
N
N
N
N
N
N
INTERCONTINENTAL EXCHANGE, INC.
5493000F4ZO33MV32P92
CDS CDX.NA.IG.35.5Y
000000000
1.00000000
NC
USD
11303.12000000
0.000463788145
N/A
DCR
CORP
US
N
2
INTERCONTINENTAL EXCHANGE, INC.
5493000F4ZO33MV32P92
IHS MARKIT LTD
CDX.NA.HY.35.V1
Y
Default Event
2026-06-20
35108.59000000
USD
0.00000000
USD
1900000.00000000
USD
-23805.47000000
N
N
N
Wells Fargo Mortgage Backed Se
N/A
Wells Fargo Mortgage Backed Securities 2020-1 Trust
95002KAA1
142385.43000000
PA
USD
119480.27000000
0.004902498853
Long
ABS-MBS
CORP
US
N
2
2049-12-25
Variable
3.00000000
N
N
N
N
N
N
BELLIS ACQUISITION CO PL
259400CYE2267UB4A481
Bellis Acquisition Co PLC
000000000
3300000.00000000
PA
2791129.02000000
0.114525241877
Long
DBT
CORP
GB
N
2
2026-02-16
Fixed
3.25000000
N
N
N
N
N
N
CARNIVAL CORP
F1OF2ZSX47CR0BCWA982
Carnival Corp
000000000
488753.12920000
PA
USD
447209.11000000
0.018349825868
Long
LON
CORP
PA
N
2
2025-06-30
Floating
6.14270000
N
N
N
N
N
N
PETROLEOS MEXICANOS
549300CAZKPF4HKMPX17
Petroleos Mexicanos
71654QDD1
240000.00000000
PA
USD
147362.40000000
0.006046554775
Long
DBT
CORP
MX
N
2
2050-01-23
Fixed
7.69000000
N
N
N
N
N
N
BOFA SECURITIES, INC.
549300HN4UKV1E2R3U73
ZAR/USD FORWARD
000000000
1.00000000
NC
USD
-154019.72000000
-0.00631971706
N/A
DFE
CORP
US
N
2
BOFA SECURITIES, INC.
549300HN4UKV1E2R3U73
-1223608.00000000
USD
19429064.52000000
ZAR
2022-11-08
-154019.72000000
N
N
N
Option One Mortgage Loan Trust
N/A
Option One Mortgage Loan Trust 2007-4
68403FAE6
4926761.70000000
PA
USD
2972923.79000000
0.121984621167
Long
ABS-MBS
CORP
US
N
2
2037-04-25
Floating
3.39400000
N
N
N
N
N
N
HYATT HOTELS CORP
T27JQIMTYSH41TCD5186
Hyatt Hotels Corp
448579AM4
400000.00000000
PA
USD
400000.00000000
0.016412747824
Long
DBT
CORP
US
N
2
2023-10-01
Floating
3.14286300
N
N
N
N
N
N
Oaktree CLO Ltd
N/A
Oaktree CLO 2019-4 Ltd
67402CAQ9
500000.00000000
PA
USD
481438.50000000
0.019754321733
Long
ABS-CBDO
CORP
KY
N
2
2032-10-20
Floating
3.82986000
N
N
N
N
N
N
Diamond Infrastructure Funding
N/A
Diamond Infrastructure Funding LLC
25265LAA8
4700000.00000000
PA
USD
3858104.51000000
0.158305241008
Long
ABS-O
CORP
US
N
2
2049-04-15
Fixed
1.76000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140X5FW8
664894.38000000
PA
USD
591309.85000000
0.024262548635
Long
ABS-MBS
USGSE
US
N
2
2048-11-01
Fixed
3.00000000
N
N
N
N
N
N
TOBACCO SETTLEMENT FIN AUTH WV
N/A
Tobacco Settlement Finance Authority
88880LAN3
500000.00000000
PA
USD
406780.00000000
0.016690943900
Long
DBT
MUN
US
N
2
2031-06-01
Fixed
2.95100000
N
N
N
N
N
N
FIDELITY NATL INFO SERV
6WQI0GK1PRFVBA061U48
Fidelity National Information Services Inc
31620MBW5
520000.00000000
PA
USD
501311.30000000
0.020569739871
Long
DBT
CORP
US
N
2
2027-07-15
Fixed
4.70000000
N
N
N
N
N
N
Stratus CLO
N/A
Stratus CLO 2021-3 Ltd
86315WAA6
1881422.00000000
PA
USD
1848786.85000000
0.075859180876
Long
ABS-CBDO
CORP
KY
N
2
2029-12-29
Floating
3.65986000
N
N
N
N
N
N
CITIGROUP INC
6SHGI4ZSSLCXXQSBB395
Citigroup Inc
172967NN7
900000.00000000
PA
USD
755597.25000000
0.031003567802
Long
DBT
CORP
US
N
2
2033-03-17
Fixed
3.78500000
N
N
N
N
N
N
REPUBLIC OF PARAGUAY
529900UXKJTJPCU0HK83
Paraguay Government International Bond
699149AH3
403000.00000000
PA
USD
297793.95000000
0.012219042512
Long
DBT
NUSS
PY
N
2
2050-03-30
Fixed
5.40000000
N
N
N
N
N
N
PACIFIC GAS & ELECTRIC
1HNPXZSMMB7HMBMVBS46
Pacific Gas and Electric Co
694308JH1
7168000.00000000
PA
USD
4603666.64000000
0.188897049076
Long
DBT
CORP
US
N
2
2040-08-01
Fixed
3.30000000
N
N
N
N
N
N
RUSSELL INVESTMENTS US
5493008YG7V0FQCJQI74
Russell Investments US Institutional Holdco Inc
78249LAD2
130.10000000
PA
USD
120.61000000
0.000004948853
Long
LON
CORP
US
N
2
2025-05-30
Floating
6.61310000
N
N
N
N
N
N
AMERICAN TOWER CORP
5493006ORUSIL88JOE18
American Tower Corp
03027XBS8
1600000.00000000
PA
USD
1199743.68000000
0.049227726184
Long
DBT
CORP
US
N
2
2031-09-15
Fixed
2.30000000
N
N
N
N
N
N
STATE OF ISRAEL
213800T8ZHTFZIBYPE21
Israel Government International Bond
46513JB42
200000.00000000
PA
USD
161917.00000000
0.006643757223
Long
DBT
NUSS
IL
N
2
2050-07-03
Fixed
3.87500000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140XFU74
5894323.61000000
PA
USD
4963689.49000000
0.203669459697
Long
ABS-MBS
USGSE
US
N
2
2052-02-01
Fixed
2.50000000
N
N
N
N
N
N
GS Mortgage Securities Trust
N/A
GS Mortgage Securities Trust 2017-GS5
36252HAD3
1280000.00000000
PA
USD
1194523.78000000
0.049013543928
Long
ABS-MBS
CORP
US
N
2
2050-03-10
Fixed
3.67400000
N
N
N
N
N
N
TEVA PHARMACEUTICALS NE
5493004T21MOAFINJP35
Teva Pharmaceutical Finance Netherlands III BV
88167AAK7
385000.00000000
PA
USD
354234.65000000
0.014534909952
Long
DBT
CORP
NL
N
2
2028-03-01
Fixed
6.75000000
N
N
N
N
N
N
JPMORGAN CHASE & CO
8I5DZWZKVSZI1NUHU748
JPMorgan Chase & Co
46647PBX3
1170000.00000000
PA
USD
867110.28000000
0.035579155904
Long
DBT
CORP
US
N
2
2032-02-04
Fixed
1.95300000
N
N
N
N
N
N
JP Morgan Chase Commercial Mor
N/A
JP Morgan Chase Commercial Mortgage Securities Trust 2013-LC11
46639YAV9
355000.00000000
PA
USD
346034.69000000
0.014198450263
Long
ABS-MBS
CORP
US
N
2
2046-04-15
Fixed
3.49860000
N
N
N
N
N
N
ANHEUSER-BUSCH INBEV WOR
549300CRGMZK3K53BF92
Anheuser-Busch InBev Worldwide Inc
035240AT7
2407000.00000000
PA
USD
1987904.71000000
0.081567446761
Long
DBT
CORP
US
N
2
2050-06-01
Fixed
4.50000000
N
N
N
N
N
N
NXP BV/NXP FUNDING LLC
N/A
NXP BV / NXP Funding LLC
62947QBA5
3280000.00000000
PA
USD
3243694.99000000
0.133094869726
Long
DBT
CORP
N/A
N
2
2024-03-01
Fixed
4.87500000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
31335BZT6
1341351.59000000
PA
USD
1387100.80000000
0.056915339094
Long
ABS-MBS
USGSE
US
N
2
2041-09-01
Fixed
5.50000000
N
N
N
N
N
N
CHICAGO IL TRANSIT AUTH SALES
N/A
Chicago Transit Authority Sales & Transfer Tax Receipts Revenue
167725AF7
1800000.00000000
PA
USD
2040390.00000000
0.083721016334
Long
DBT
MUN
US
N
2
2040-12-01
Fixed
6.89900000
N
N
N
N
N
N
Palmer Square Loan Funding Ltd
N/A
Palmer Square Loan Funding 2021-4 Ltd
69702HAA6
2176137.46000000
PA
USD
2133674.49000000
0.087548653360
Long
ABS-CBDO
CORP
KY
N
2
2029-10-15
Floating
3.31200000
N
N
N
N
N
N
UKG INC
529900FKHWSTQ1GXK240
UKG Inc
90385KAB7
1130915.50160000
PA
USD
1080259.53000000
0.044325068127
Long
LON
CORP
US
N
2
2026-05-03
Floating
6.58230000
N
N
N
N
N
N
INTERCONTINENTAL EXCHANGE, INC.
5493000F4ZO33MV32P92
CDS BOEING CO
000000000
1.00000000
NC
USD
-444.60000000
-0.00001824276
N/A
DCR
CORP
US
N
2
INTERCONTINENTAL EXCHANGE, INC.
5493000F4ZO33MV32P92
BOEING CO
Boeing Co/The
Y
Default Event
2023-06-20
1455.37000000
USD
0.00000000
USD
1400000.00000000
USD
-1899.97000000
N
N
N
Morgan Stanley BAML Trust
N/A
Morgan Stanley Bank of America Merrill Lynch Trust 2015-C26
61690VAZ1
960000.00000000
PA
USD
911092.80000000
0.037383840927
Long
ABS-MBS
CORP
US
N
2
2048-10-15
Fixed
3.53100000
N
N
N
N
N
N
CITIGROUP INC
6SHGI4ZSSLCXXQSBB395
Citigroup Inc
172967KY6
1000000.00000000
PA
USD
917172.30000000
0.037633294178
Long
DBT
CORP
US
N
2
2026-10-21
Fixed
3.20000000
N
N
N
N
N
N
BENCHMARK Mortgage Trust
N/A
Benchmark 2022-B33 Mortgage Trust
08163PBM1
900000.00000000
PA
USD
739815.75000000
0.030356023353
Long
ABS-MBS
CORP
US
N
2
2055-03-15
Variable
3.73588000
N
N
N
N
N
N
Symphony Static CLO Ltd
N/A
Symphony Static CLO I Ltd
87190TAA1
459204.02000000
PA
USD
450271.12000000
0.018475465863
Long
ABS-CBDO
CORP
KY
N
2
2029-10-25
Floating
3.61300000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140Q8J48
1627688.39000000
PA
USD
1487420.06000000
0.061031625884
Long
ABS-MBS
USGSE
US
N
2
2048-02-01
Fixed
3.50000000
N
N
N
N
N
N
Freddie Mac - STACR
N/A
Freddie Mac STACR REMIC Trust 2021-DNA3
35564KEL9
2500000.00000000
PA
USD
2381192.50000000
0.097704780060
Long
ABS-MBS
CORP
US
N
2
2033-10-25
Floating
4.38069000
N
N
N
N
N
N
CITIGROUP INC.
6SHGI4ZSSLCXXQSBB395
USD/CAD FORWARD
000000000
1.00000000
NC
USD
56755.36000000
0.002328778528
N/A
DFE
CORP
US
N
2
CITIGROUP INC.
6SHGI4ZSSLCXXQSBB395
-1654000.00000000
CAD
1254126.81000000
USD
2022-10-04
56755.36000000
N
N
N
INTERCONTINENTAL EXCHANGE, INC.
5493000F4ZO33MV32P92
CDS BRITISH TELECOMMUNICATIONS
000000000
1.00000000
NC
12334.63000000
0.000506112929
N/A
DCR
CORP
US
N
2
INTERCONTINENTAL EXCHANGE, INC.
5493000F4ZO33MV32P92
British Telecommunications PLC
BRITISH TELECOMMUNICATIO
Y
Default Event
2024-12-20
44093.56000000
USD
0.00000000
USD
2800000.00000000
EUR
-31758.93000000
N
N
N
INTERCONTINENTAL EXCHANGE, INC.
5493000F4ZO33MV32P92
CDS VALEO SA
000000000
1.00000000
NC
-398062.01000000
-0.01633322847
N/A
DCR
CORP
US
N
2
INTERCONTINENTAL EXCHANGE, INC.
5493000F4ZO33MV32P92
Valeo SA
VALEO SA
Y
Default Event
2028-06-20
0.00000000
USD
-114350.10000000
USD
3000000.00000000
EUR
-283711.91000000
N
N
N
Carlyle Global Market Strategi
635400GXUD5SKWFXE966
Carlyle Euro CLO 2021-2 DAC
000000000
1900000.00000000
PA
1799979.23000000
0.073856512978
Long
ABS-CBDO
CORP
IE
N
2
2031-01-15
Floating
0.70000000
N
N
N
N
N
N
ROMANIA
315700IASY927EDWBK92
Romanian Government International Bond
000000000
1800000.00000000
PA
1147502.32000000
0.047084165515
Long
DBT
NUSS
RO
N
2
2030-07-13
Fixed
1.75000000
N
N
N
N
N
N
CAESARS RESORT COLLECTIO
549300V3UCT773B1KR38
Caesars Resort Collection LLC
12769LAD1
899136.71980000
PA
USD
889208.45000000
0.036485885133
Long
LON
CORP
US
N
2
2025-07-20
Floating
6.55900000
N
N
N
N
N
N
BANK LEUMI LE-ISRAEL
7JDSZWRGUQY2DSTWCR57
Bank Leumi Le-Israel BM
06326BAA7
300000.00000000
PA
USD
256524.90000000
0.010525696236
Long
DBT
CORP
IL
N
2
2031-01-29
Fixed
3.27500000
N
N
N
N
N
N
SK HYNIX INC
988400XAIK6XISWQV045
SK Hynix Inc
78392BAB3
600000.00000000
PA
USD
520121.28000000
0.021341548517
Long
DBT
CORP
KR
N
2
2026-01-19
Fixed
1.50000000
N
N
N
N
N
N
MEDCO LAUREL TREE
254900SX7FFGRREZD046
Medco Laurel Tree Pte Ltd
58406RAA6
645000.00000000
PA
USD
501516.98000000
0.020578179306
Long
DBT
CORP
SG
N
2
2028-11-12
Fixed
6.95000000
N
N
N
N
N
N
Morgan Stanley Residential Mor
N/A
Morgan Stanley Residential Mortgage Loan Trust 2021-4
61772MAE9
765395.32000000
PA
USD
604893.45000000
0.024819909138
Long
ABS-MBS
CORP
US
N
2
2051-07-25
Variable
2.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae REMICS
31359VH97
27696.06000000
PA
USD
28276.85000000
0.001160252020
Long
ABS-MBS
USGSE
US
N
2
2029-05-25
Fixed
6.00000000
N
N
N
N
N
N
MELCO RESORTS FINANCE
N/A
Melco Resorts Finance Ltd
58547DAD1
200000.00000000
PA
USD
121900.00000000
0.005001784899
Long
DBT
CORP
KY
N
2
2029-12-04
Fixed
5.37500000
N
N
N
N
N
N
Oak Hill European Credit Partn
635400IYJPIPZAGCXJ49
Oak Hill European Credit Partners IV Designated Activity Co
000000000
296529.10000000
PA
281547.37000000
0.011552414961
Long
ABS-CBDO
CORP
IE
N
2
2032-01-20
Floating
0.77700000
N
N
N
N
N
N
REPUBLIC OF NIGERIA
549300GSBZD84TNEQ285
Nigeria Government International Bond
65412JAA1
537000.00000000
PA
USD
347106.06000000
0.014242410577
Long
DBT
NUSS
NG
N
2
2032-02-16
Fixed
7.87500000
N
N
N
N
N
N
QATAR ENERGY
254900QTESJKJ3P87J26
Qatar Energy
74730DAB9
280000.00000000
PA
USD
244422.92000000
0.010029129371
Long
DBT
CORP
QA
N
2
2026-09-12
Fixed
1.37500000
N
N
N
N
N
N
SOUTHERN CAL EDISON
9R1Z5I36FERIBVKW4P77
Southern California Edison Co
842400GT4
1525000.00000000
PA
USD
1047822.93000000
0.042994133787
Long
DBT
CORP
US
N
2
2050-02-01
Fixed
3.65000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138ESAD0
2129577.14000000
PA
USD
2197085.37000000
0.090150520317
Long
ABS-MBS
USGSE
US
N
2
2044-05-01
Fixed
5.50000000
N
N
N
N
N
N
PRUDENTIAL FINANCIAL INC
5PRBRS5FEH7NREC8OR45
Prudential Financial Inc
74432QCF0
1660000.00000000
PA
USD
1225877.96000000
0.050300064552
Long
DBT
CORP
US
N
2
2051-03-13
Fixed
3.70000000
N
N
N
N
N
N
Hardee's Funding
N/A
Hardee's Funding LLC
411707AD4
480000.00000000
PA
USD
449642.40000000
0.018449668306
Long
ABS-O
CORP
US
N
2
2048-06-20
Fixed
4.95900000
N
N
N
N
N
N
TRUIST FINANCIAL CORP
549300DRQQI75D2JP341
Truist Financial Corp
89788MAE2
3485000.00000000
PA
USD
2855097.05000000
0.117149969740
Long
DBT
CORP
US
N
2
2029-06-07
Fixed
1.88700000
N
N
N
N
N
N
PACIFIC GAS & ELECTRIC
1HNPXZSMMB7HMBMVBS46
Pacific Gas and Electric Co
694308HS9
700000.00000000
PA
USD
607235.09000000
0.024915991006
Long
DBT
CORP
US
N
2
2027-03-15
Fixed
3.30000000
N
N
N
N
N
N
UBS GROUP AG
549300SZJ9VS8SGXAN81
UBS Group AG
90351DAB3
1774000.00000000
PA
USD
1695025.07000000
0.069550047575
Long
DBT
CORP
CH
N
2
2025-09-24
Fixed
4.12500000
N
N
N
N
N
N
US AIRWAYS 2012-2A PTT
N/A
US Airways 2012-2 Class A Pass Through Trust
90345WAD6
315618.63000000
PA
USD
285182.93000000
0.011701588784
Long
DBT
CORP
US
N
2
2025-06-03
Fixed
4.62500000
N
N
N
N
N
N
BANCO BILBAO VIZCAYA ARG
K8MS7FD7N5Z2WQ51AZ71
Banco Bilbao Vizcaya Argentaria SA
000000000
800000.00000000
PA
718775.73000000
0.029492711997
Long
DBT
CORP
ES
N
2
N/A
Fixed
5.87500000
N
N
N
N
N
N
T-MOBILE USA INC
549300V2JRLO5DIFGE82
T-Mobile USA Inc
87264ABL8
4640000.00000000
PA
USD
3109621.74000000
0.127593593621
Long
DBT
CORP
US
N
2
2041-02-15
Fixed
3.00000000
N
N
N
N
N
N
VIATRIS INC
254900ZZTSW7NL773X71
Viatris Inc
92556VAB2
320000.00000000
PA
USD
284836.90000000
0.011687390527
Long
DBT
CORP
US
N
2
2025-06-22
Fixed
1.65000000
N
N
N
N
N
N
HGI CRE CLO Ltd
N/A
HGI CRE CLO 2021-FL3 Ltd
403950AA6
3000000.00000000
PA
USD
2932239.00000000
0.120315248170
Long
ABS-CBDO
CORP
US
N
2
2037-04-20
Floating
3.98436000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Pool
3133ASH63
4927809.90000000
PA
USD
4005963.52000000
0.164372172620
Long
ABS-MBS
USGSE
US
N
2
2051-09-01
Fixed
2.00000000
N
N
N
N
N
N
US FOODS INC
5493000JOOFAOUY1JZ87
US Foods Inc
90351HAE8
1492500.00000000
PA
USD
1462184.34000000
0.059996157113
Long
LON
CORP
US
N
2
2028-11-22
Floating
5.72970000
N
N
N
N
N
N
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
IRS GBP
000000000
1.00000000
NC
831066.99000000
0.034100232330
N/A
DIR
CORP
GB
N
2
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
Y
2025-09-16
0.00000000
USD
-36152.41000000
USD
5700000.00000000
GBP
867219.40000000
N
N
N
INTERCONTINENTAL EXCHANGE, INC.
5493000F4ZO33MV32P92
CDS BOEING CO
000000000
1.00000000
NC
USD
-22147.27000000
-0.00090874389
N/A
DCR
CORP
US
N
2
INTERCONTINENTAL EXCHANGE, INC.
5493000F4ZO33MV32P92
BOEING CO
Boeing Co/The
Y
Default Event
2026-06-20
0.00000000
USD
-3851.13000000
USD
700000.00000000
USD
-18296.14000000
N
N
N
EUREX CLEARING AKTIENGESELLSCHAFT
529900LN3S50JPU47S06
Eurex 10 Year Euro BUND
000000000
-78.00000000
NC
550322.69000000
0.022580768832
N/A
DIR
CORP
DE
N
1
EUREX CLEARING AKTIENGESELLSCHAFT
529900LN3S50JPU47S06
Short
BUNDESREPUB. DEUTSCHLAND
Bundesrepublik Deutschland Bundesanleihe
2022-12-08
-11309767.33000000
USD
550322.69000000
N
N
N
BANK OF AMERICA CORP
9DJT3UXIJIZJI4WXO774
Bank of America Corp
06051GKC2
12865000.00000000
PA
USD
9311620.10000000
0.382073181348
Long
DBT
CORP
US
N
2
2036-09-21
Fixed
2.48200000
N
N
N
N
N
N
BENCHMARK Mortgage Trust
N/A
Benchmark 2021-B29 Mortgage Trust
08163JAE4
6000000.00000000
PA
USD
4786885.20000000
0.196414849131
Long
ABS-MBS
CORP
US
N
2
2054-09-15
Fixed
2.38790000
N
N
N
N
N
N
JP Morgan Mortgage Trust
N/A
JP Morgan Mortgage Trust 2021-10
46654AAC3
1526049.28000000
PA
USD
1211838.79000000
0.049724011160
Long
ABS-MBS
CORP
US
N
2
2051-12-25
Variable
2.50000000
N
N
N
N
N
N
CSC HOLDINGS LLC
3HG2WD2W22M120IUNG49
CSC Holdings LLC
126307BD8
890000.00000000
PA
USD
606824.25000000
0.024899133472
Long
DBT
CORP
US
N
2
2030-12-01
Fixed
4.62500000
N
N
N
N
N
N
CSL FINANCE PLC
2549007CCNBNAF4HBC02
CSL Finance PLC
12661PAE9
695000.00000000
PA
USD
600418.98000000
0.024636313269
Long
DBT
CORP
GB
N
2
2052-04-27
Fixed
4.75000000
N
N
N
N
N
N
ONEOK INC
2T3D6M0JSY48PSZI1Q41
ONEOK Inc
682680AW3
1500000.00000000
PA
USD
1343617.20000000
0.055131125690
Long
DBT
CORP
US
N
2
2029-03-15
Fixed
4.35000000
N
N
N
N
N
N
FRONTIER COMMUNICATIONS
N/A
Frontier Communications Holdings LLC
35906EAQ3
1723750.00000000
PA
USD
1611706.25000000
0.066131320621
Long
LON
CORP
US
N
2
2027-10-08
Floating
6.89270000
N
N
N
N
N
N
ALLY FINANCIAL INC
549300JBN1OSM8YNAI90
Ally Financial Inc
02005NBM1
1260000.00000000
PA
USD
986119.60000000
0.040462330799
Long
DBT
CORP
US
N
2
N/A
Fixed
4.70000000
N
N
N
N
N
N
REPUBLIC OF AZERBAIJAN
549300P74FF45UQVU281
Republic of Azerbaijan International Bond
000000000
319000.00000000
PA
USD
257894.91000000
0.010581910307
Long
DBT
NUSS
AZ
N
2
2032-09-01
Fixed
3.50000000
N
N
N
N
N
N
JPMORGAN CHASE & CO
8I5DZWZKVSZI1NUHU748
JPMorgan Chase & Co
46647PDG8
4060000.00000000
PA
USD
3902522.34000000
0.160127787615
Long
DBT
CORP
US
N
2
2028-07-25
Fixed
4.85100000
N
N
N
N
N
N
Carlyle Global Market Strategi
6354006SCMVW8LXU4P40
Carlyle Global Market Strategies Euro CLO 2014-2 Ltd
000000000
1500000.00000000
PA
1405203.53000000
0.057658127950
Long
ABS-CBDO
CORP
IE
N
2
2031-11-15
Floating
1.07100000
N
N
N
N
N
N
REPUBLIC OF KENYA
549300VVURQQYU45PR87
Republic of Kenya Government International Bond
491798AK0
200000.00000000
PA
USD
136180.00000000
0.005587719996
Long
DBT
NUSS
KE
N
2
2032-05-22
Fixed
8.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140X5TL7
783052.71000000
PA
USD
754816.61000000
0.030971536684
Long
ABS-MBS
USGSE
US
N
2
2050-01-01
Fixed
4.50000000
N
N
N
N
N
N
LIMA METRO LINE 2 FIN LT
5493009BVQNQT1UKQ352
Lima Metro Line 2 Finance Ltd
532522AB5
652725.23000000
PA
USD
558409.70000000
0.022912593972
Long
DBT
CORP
KY
N
2
2036-04-05
Fixed
4.35000000
N
N
N
N
N
N
BAT INTL FINANCE PLC
21380041YBGOQDFAC823
BAT International Finance PLC
05530QAN0
1065000.00000000
PA
USD
921788.92000000
0.037822722728
Long
DBT
CORP
GB
N
2
2026-03-25
Fixed
1.66800000
N
N
N
N
N
N
REPUBLIC OF SERBIA
254900W94OCY91V32O78
Serbia International Bond
000000000
100000.00000000
PA
80179.95000000
0.003289933249
Long
DBT
NUSS
RS
N
2
2027-05-15
Fixed
3.12500000
N
N
N
N
N
N
INTERCONTINENTAL EXCHANGE, INC.
5493000F4ZO33MV32P92
CDS GENERAL ELECTRIC COMPANY
000000000
1.00000000
NC
USD
-5270.08000000
-0.00021624123
N/A
DCR
CORP
US
N
2
INTERCONTINENTAL EXCHANGE, INC.
5493000F4ZO33MV32P92
GENERAL ELECTRIC CO
General Electric Co
Y
Default Event
2026-06-20
4315.66000000
USD
0.00000000
USD
600000.00000000
USD
-9585.74000000
N
N
N
BOEING CO
RVHJWBXLJ1RFUBSY1F30
Boeing Co/The
097023CZ6
2000000.00000000
PA
USD
1920297.40000000
0.078793392435
Long
DBT
CORP
US
N
2
2024-02-01
Fixed
1.95000000
N
N
N
N
N
N
BNP PARIBAS (SUISSE) SA
QHSFEYI7HUOXXZ413E03
SWOP IRS EUR
000000000
-66200000.00000000
NC
-638125.77000000
-0.02618349335
N/A
DIR
CORP
CH
N
2
BNP PARIBAS (SUISSE) SA
QHSFEYI7HUOXXZ413E03
Put
Written
BNP PARIBAS (SUISSE) SA
QHSFEYI7HUOXXZ413E03
BNP PARIBAS (SUISSE) SA
QHSFEYI7HUOXXZ413E03
IRS USD
000000000
0.00000000
NC
0.00000000
0.00000000
DIR
CORP
CH
US
THE SECURED OVERNIGHT FINANCING RATE
THE SECURED OVERNIGHT FINANCING RATE
2024-04-04
0.00000000
USD
0.00000000
USD
0.00000000
EUR
-66200000.00000000
USD
2.10000000
EUR
2023-03-31
XXXX
-493122.95000000
N
N
N
Long Beach Mortgage Loan Trust
N/A
Long Beach Mortgage Loan Trust 2006-1
542514RM8
2423110.10000000
PA
USD
2083427.14000000
0.085486910649
Long
ABS-MBS
CORP
US
N
2
2036-02-25
Floating
3.68400000
N
N
N
N
N
N
Freddie Mac - STACR
5493007ZK0X40BI7UF30
Freddie Mac STACR Remic Trust 2020-DNA2
35565KAH1
229982.62000000
PA
USD
226424.51000000
0.009290620959
Long
ABS-MBS
CORP
US
N
2
2050-02-25
Floating
4.93400000
N
N
N
N
N
N
REPUBLIC OF SERBIA
254900W94OCY91V32O78
Serbia International Bond
817477AF9
200000.00000000
PA
USD
131572.00000000
0.005398645141
Long
DBT
NUSS
RS
N
2
2030-12-01
Fixed
2.12500000
N
N
N
N
N
N
HUB INTERNATIONAL LTD
549300JQT6ATTUNS5E06
HUB International Ltd
44332EAP1
354755.81880000
PA
USD
341797.30000000
0.014024582230
Long
LON
CORP
US
N
2
2025-04-25
Floating
5.83030000
N
N
N
N
N
N
Bank
N/A
BANK 2022-BNK39
06539VBB3
797000.00000000
PA
USD
591998.93000000
0.024290822876
Long
ABS-MBS
CORP
US
N
2
2055-02-15
Variable
3.37896000
N
N
N
N
N
N
PETRONAS CAPITAL LTD
549300G7YFX3540OYR85
Petronas Capital Ltd
716743AP4
440000.00000000
PA
USD
401961.74000000
0.016493241684
Long
DBT
CORP
MY
N
2
2030-04-21
Fixed
3.50000000
N
N
N
N
N
N
BANCO SANTANDER SA
5493006QMFDDMYWIAM13
Banco Santander SA
05971KAM1
1400000.00000000
PA
USD
1363780.04000000
0.055958444711
Long
DBT
CORP
ES
N
2
2024-05-24
Fixed
3.89200000
N
N
N
N
N
N
ENERGY TRANSFER LP
MTLVN9N7JE8MIBIJ1H73
Energy Transfer LP
292480AL4
700000.00000000
PA
USD
654335.08000000
0.026848591652
Long
DBT
CORP
US
N
2
2028-05-15
Fixed
4.95000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Pool
3132ADXY9
2946786.79000000
PA
USD
2847252.29000000
0.116828084571
Long
ABS-MBS
USGSE
US
N
2
2049-01-01
Fixed
4.50000000
N
N
N
N
N
N
CREDIT SUISSE SECURITIES (USA) LLC
1V8Y6QCX6YMJ2OELII46
CDS CDX.NA.IG.35
000000000
1.00000000
NC
USD
3177.96000000
0.000130397640
N/A
DCR
CORP
US
N
2
CREDIT SUISSE SECURITIES (USA) LLC
1V8Y6QCX6YMJ2OELII46
IHS MARKIT LTD
CDX.NA.HY.35.V1
Y
Default Event
2025-12-20
6801.48000000
USD
0.00000000
USD
400000.00000000
USD
-3623.52000000
N
N
N
ABU DHABI NATIONAL ENERG
213800UNJSVQFNUYYW03
Abu Dhabi National Energy Co PJSC
00388WAJ0
665000.00000000
PA
USD
565432.21000000
0.023200740686
Long
DBT
CORP
AE
N
2
2028-04-29
Fixed
2.00000000
N
N
N
N
N
N
JPMORGAN CHASE & CO
8I5DZWZKVSZI1NUHU748
JPMorgan Chase & Co
46647PCW4
1100000.00000000
PA
USD
973899.41000000
0.039960913557
Long
DBT
CORP
US
N
2
2028-02-24
Fixed
2.94700000
N
N
N
N
N
N
HAMILTON PROJECTS ACQUIR
5493005K6XILIQ2EZY52
Hamilton Projects Acquiror LLC
14314VAB9
815005.91640000
PA
USD
801034.27000000
0.032867933680
Long
LON
CORP
US
N
2
2027-06-26
Floating
7.64270000
N
N
N
N
N
N
SAUDI ELEC GLB SUKUK
549300KSEZC1HOYC2778
Saudi Electricity Global Sukuk Co 4
000000000
515000.00000000
PA
USD
509378.78000000
0.020900763658
Long
DBT
CORP
KY
N
2
2024-01-27
Fixed
4.22200000
N
N
N
N
N
N
HUNTINGTON NATIONAL BANK
2WHM8VNJH63UN14OL754
Huntington National Bank/The
44644MAF8
645000.00000000
PA
USD
621628.10000000
0.025506563114
Long
DBT
CORP
US
N
2
2028-05-17
Fixed
4.55200000
N
N
N
N
N
N
HANA BANK
6RPK2YDJN6L35AS0M510
Hana Bank
409634AB8
345000.00000000
PA
USD
297874.07000000
0.012222329985
Long
DBT
CORP
KR
N
2
2026-12-16
Fixed
1.25000000
N
N
N
N
N
N
FannieMae Grantor Trust
N/A
Fannie Mae Grantor Trust 2004-T1
31393XFT9
3234.60000000
PA
USD
3342.10000000
0.000137132611
Long
ABS-MBS
USGSE
US
N
2
2044-01-25
Fixed
6.50000000
N
N
N
N
N
N
Man GLG Euro CLO
635400MYXY3VFWZIIW08
Man GLG Euro Clo III DAC
000000000
1094825.71000000
PA
1029377.87000000
0.042237298491
Long
ABS-CBDO
CORP
IE
N
2
2030-10-15
Floating
0.68000000
N
N
N
N
N
N
BNP PARIBAS
R0MUWSFPU8MPRO8K5P83
USD/GBP FORWARD
000000000
1.00000000
NC
USD
330808.24000000
0.013573680553
N/A
DFE
CORP
US
N
2
BNP PARIBAS
R0MUWSFPU8MPRO8K5P83
-6943000.00000000
GBP
8083677.41000000
USD
2022-10-04
330808.24000000
N
N
N
DELTA AIR LINES INC
Q2CCMS6R0AS67HJMBN42
Delta Air Lines Inc
247361ZX9
5349000.00000000
PA
USD
5389203.08000000
0.221129077818
Long
DBT
CORP
US
N
2
2025-05-01
Fixed
7.00000000
N
N
N
N
N
N
AERCAP IRELAND CAP/GLOBA
N/A
AerCap Ireland Capital DAC / AerCap Global Aviation Trust
00774MAY1
3183000.00000000
PA
USD
2314012.99000000
0.094948279169
Long
DBT
CORP
IE
N
2
2033-10-29
Fixed
3.40000000
N
N
N
N
N
N
Towd Point Mortgage Trust
N/A
Towd Point Mortgage Trust 2017-4
89173UAC1
615000.00000000
PA
USD
542103.00000000
0.022243499584
Long
ABS-MBS
CORP
US
N
2
2057-06-25
Variable
3.25000000
N
N
N
N
N
N
REPUBLIC OF EL SALVADOR
529900AKDMUSFSDOM949
El Salvador Government International Bond
283875BZ4
275000.00000000
PA
USD
89375.00000000
0.003667223342
Long
DBT
NUSS
SV
N
2
2050-01-20
Fixed
7.12460000
N
N
N
N
N
N
GDB DEBT RECOVERY AUTH OF CMWL
N/A
GDB Debt Recovery Authority of Puerto Rico
36829QAA3
3711688.23000000
PA
USD
3266285.64000000
0.134021806330
Long
DBT
MUN
US
N
2
2040-08-20
Fixed
7.50000000
N
N
N
N
N
N
NISSAN MOTOR ACCEPTANCE
7D6DIU2QXTUJRFNNJA49
Nissan Motor Acceptance Co LLC
654740BL2
3000000.00000000
PA
USD
2947931.40000000
0.120959136680
Long
DBT
CORP
US
N
2
2023-09-21
Fixed
3.87500000
N
N
N
N
N
N
TRUIST BANK
JJKC32MCHWDI71265Z06
Truist Bank
07330MAC1
5182000.00000000
PA
USD
4831941.39000000
0.198263588842
Long
DBT
CORP
US
N
2
2029-09-17
Fixed
2.63600000
N
N
N
N
N
N
REPUBLIC OF GHANA
213800PP4399SNNXZ126
Ghana Government International Bond
37443GAL5
230000.00000000
PA
USD
88205.00000000
0.003619216054
Long
DBT
NUSS
GH
N
2
2029-04-07
Fixed
7.75000000
N
N
N
N
N
N
PAYPAL HOLDINGS INC
5493005X2GO78EFZ3E94
PayPal Holdings Inc
70450YAL7
2365000.00000000
PA
USD
2206495.57000000
0.090536638416
Long
DBT
CORP
US
N
2
2032-06-01
Fixed
4.40000000
N
N
N
N
N
N
ALTICE FRANCE SA
5493001ZMCICV4N02J21
Altice France SA/France
000000000
129937.50000000
PA
USD
118243.13000000
0.004851736686
Long
LON
CORP
FR
N
2
2026-08-14
Floating
6.92160000
N
N
N
N
N
N
AIA GROUP LTD
ZP5ILWVSYE4LJGMMVD57
AIA Group Ltd
00131LAF2
1000000.00000000
PA
USD
938963.40000000
0.038527423751
Long
DBT
CORP
HK
N
2
2028-04-06
Fixed
3.90000000
N
N
N
N
N
N
Fannie Mae or Freddie Mac
B1V7KEBTPIMZEU4LTD58
Fannie Mae or Freddie Mac
01F0506A9
9441000.00000000
PA
USD
9196172.21000000
0.377336138585
Long
ABS-MBS
USGSE
US
N
2
2052-10-15
Fixed
5.00000000
N
N
N
N
N
N
US TREASURY N/B
254900HROIFWPRGM1V77
United States Treasury Note/Bond
912810RK6
37100000.00000000
PA
USD
28317736.23000000
1.161929659264
Long
DBT
UST
US
N
2
2045-02-15
Fixed
2.50000000
N
N
N
N
N
N
CHICAGO MERCANTILE EXCHANGE INC.
SNZ2OJLFK8MNNCLQOF39
ZCS IRS BRL
000000000
1.00000000
NC
-131460.87000000
-0.00539408527
N/A
DIR
CORP
US
N
2
CHICAGO MERCANTILE EXCHANGE INC.
SNZ2OJLFK8MNNCLQOF39
Y
2027-01-04
0.00000000
USD
0.00000000
USD
32400000.00000000
BRL
-131460.87000000
N
N
N
ARTHUR J GALLAGHER & CO
54930049QLLMPART6V29
Arthur J Gallagher & Co
363576AB5
1834000.00000000
PA
USD
1250731.15000000
0.051319837403
Long
DBT
CORP
US
N
2
2051-05-20
Fixed
3.50000000
N
N
N
N
N
N
ALSEA S.A.
4469000001BJLPKNUN21
Alsea SAB de CV
021151AA3
615000.00000000
PA
USD
572758.73000000
0.023501361499
Long
DBT
CORP
MX
N
2
2026-12-14
Fixed
7.75000000
N
N
N
N
N
N
WYNN MACAU LTD
254900NMDQ8ENTHU1I31
Wynn Macau Ltd
98313RAH9
440000.00000000
PA
USD
293946.40000000
0.012061170342
Long
DBT
CORP
KY
N
2
2028-08-26
Fixed
5.62500000
N
N
N
N
N
N
AT&T INC
549300Z40J86GGSTL398
AT&T Inc
00206RMM1
2673000.00000000
PA
USD
1981516.82000000
0.081305339692
Long
DBT
CORP
US
N
2
2033-12-01
Fixed
2.55000000
N
N
N
N
N
N
QATAR ENERGY
254900QTESJKJ3P87J26
Qatar Energy
74730DAC7
345000.00000000
PA
USD
278683.76000000
0.011434915689
Long
DBT
CORP
QA
N
2
2031-07-12
Fixed
2.25000000
N
N
N
N
N
N
NEWMONT CORP
549300VSP3RIX7FGDZ51
Newmont Corp
651639AY2
1875000.00000000
PA
USD
1453207.31000000
0.059627812789
Long
DBT
CORP
US
N
2
2030-10-01
Fixed
2.25000000
N
N
N
N
N
N
US TREASURY N/B
254900HROIFWPRGM1V77
United States Treasury Note/Bond
912828G38
11030000.00000000
PA
USD
10582767.69000000
0.434230743454
Long
DBT
UST
US
N
2
2024-11-15
Fixed
2.25000000
N
N
N
N
N
N
JAPAN TREASURY DISC BILL
353800WZS8AXZXFUC241
Japan Treasury Discount Bill
000000000
5010000000.00000000
PA
34616997.41000000
1.420400122335
Long
DBT
NUSS
JP
N
2
2022-10-11
None
0.00000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Pool
3133BMLL7
2018000.00000000
PA
USD
1875305.40000000
0.076947286560
Long
ABS-MBS
USGSE
US
N
2
2052-09-01
Fixed
4.00000000
N
N
N
N
N
N
DORIC NIMROD AIR 2012-1A
N/A
Doric Nimrod Air Finance Alpha Ltd 2012-1 Class A Pass Through Trust
258258AA0
138308.27000000
PA
USD
137895.42000000
0.005658106886
Long
DBT
CORP
GG
N
2
2022-11-30
Fixed
5.12500000
N
N
N
N
N
N
FAIRFAX FINL HLDGS LTD
GLS7OQD0WOEDI8YAP031
Fairfax Financial Holdings Ltd
303901BF8
1000000.00000000
PA
USD
900442.40000000
0.036946835104
Long
DBT
CORP
CA
N
2
2030-04-29
Fixed
4.62500000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31416VSB1
2046.98000000
PA
USD
2139.77000000
0.000087798763
Long
ABS-MBS
USGSE
US
N
2
2038-11-01
Fixed
6.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31406M6P6
1702.90000000
PA
USD
1663.58000000
0.000068259797
Long
ABS-MBS
USGSE
US
N
2
2035-04-01
Fixed
5.00000000
N
N
N
N
N
N
BANK OF AMERICA CORP
9DJT3UXIJIZJI4WXO774
Bank of America Corp
06051GHL6
2200000.00000000
PA
USD
2170792.80000000
0.089071687014
Long
DBT
CORP
US
N
2
2024-07-23
Fixed
3.86400000
N
N
N
N
N
N
COCA-COLA ICECEK AS
789000WT80VVLUWJDK41
Coca-Cola Icecek AS
1912ERAA8
640000.00000000
PA
USD
526892.22000000
0.021619372843
Long
DBT
CORP
TR
N
2
2029-01-20
Fixed
4.50000000
N
N
N
N
N
N
AVOLON HOLDINGS FNDG LTD
635400ZRKEX9L1BKCH30
Avolon Holdings Funding Ltd
05401AAR2
116000.00000000
PA
USD
90906.93000000
0.003730081293
Long
DBT
CORP
KY
N
2
2027-11-18
Fixed
2.52800000
N
N
N
N
N
N
UKRAINE GOVERNMENT
6354001WLTJXOMEXPY07
Ukraine Government International Bond
903724AT9
804000.00000000
PA
USD
169544.30000000
0.006956719602
Long
DBT
NUSS
UA
N
2
2028-09-01
Variable
7.75000000
N
N
N
N
N
N
J.P. MORGAN SECURITIES LLC
ZBUT11V806EZRVTWT807
USD/GBP FORWARD
000000000
1.00000000
NC
USD
62295.15000000
0.002556086469
N/A
DFE
CORP
US
N
2
J.P. MORGAN SECURITIES LLC
ZBUT11V806EZRVTWT807
-1110182.54000000
USD
1050000.00000000
GBP
2022-10-04
62295.15000000
N
N
N
DEVON ENERGY CORPORATION
54930042348RKR3ZPN35
Devon Energy Corp
25179MAN3
530000.00000000
PA
USD
432830.70000000
0.017759852824
Long
DBT
CORP
US
N
2
2042-05-15
Fixed
4.75000000
N
N
N
N
N
N
UBS-Barclays Commercial Mortga
N/A
UBS-Barclays Commercial Mortgage Trust 2013-C5
90270YAG4
480000.00000000
PA
USD
468329.38000000
0.019216430031
Long
ABS-MBS
CORP
US
N
2
2046-03-10
Variable
3.64870000
N
N
N
N
N
N
WELLS FARGO & COMPANY
PBLD0EJDB5FWOLXP3B76
Wells Fargo & Co
95000U3A9
2720000.00000000
PA
USD
2596943.39000000
0.106557442436
Long
DBT
CORP
US
N
2
2028-07-25
Fixed
4.80800000
N
N
N
N
N
N
SINCLAIR TELEVISION GROU
549300CQGEN0CH65UD62
Sinclair Television Group Inc
82925BAG0
2169562.50000000
PA
USD
2057467.71000000
0.084421746703
Long
LON
CORP
US
N
2
2029-04-13
Floating
6.82530000
N
N
N
N
N
N
AUTODESK INC
FRKKVKAIQEF3FCSTPG55
Autodesk Inc
052769AH9
2390000.00000000
PA
USD
1863004.76000000
0.076442568304
Long
DBT
CORP
US
N
2
2031-12-15
Fixed
2.40000000
N
N
N
N
N
N
Countrywide Asset-Backed Certi
N/A
CWABS Asset-Backed Certificates Trust 2007-6
12669LAE0
931152.79000000
PA
USD
802512.17000000
0.032928574680
Long
ABS-MBS
CORP
US
N
2
2037-09-25
Floating
3.39400000
N
N
N
N
N
N
TRANSMANTARO
549300NL65DC6HVEJX96
Consorcio Transmantaro SA
210314AD2
480000.00000000
PA
USD
411396.00000000
0.016880347010
Long
DBT
CORP
PE
N
2
2038-04-11
Fixed
5.20000000
N
N
N
N
N
N
WI TREASURY N/B
254900HROIFWPRGM1V77
United States Treasury Note/Bond - When Issued
912810SW9
52800000.00000000
PA
USD
37427158.56000000
1.535706288088
Long
DBT
UST
US
N
2
2041-02-15
Fixed
1.87500000
N
N
N
N
N
N
STANDARD INDUSTRIES INC
54930064UHXCIUWVI755
Standard Industries Inc/NJ
853496AH0
1568000.00000000
PA
USD
1106067.20000000
0.045384005076
Long
DBT
CORP
US
N
2
2031-01-15
Fixed
3.37500000
N
N
N
N
N
N
CALPINE CORP
43R4VPJBXTU2O15HEF41
Calpine Corp
131347CM6
453000.00000000
PA
USD
400080.54000000
0.016416052531
Long
DBT
CORP
US
N
2
2028-02-15
Fixed
4.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31418DXR8
2990486.78000000
PA
USD
2505364.63000000
0.102799794701
Long
ABS-MBS
USGSE
US
N
2
2041-03-01
Fixed
2.00000000
N
N
N
N
N
N
BARCLAYS PLC
213800LBQA1Y9L22JB70
Barclays PLC
000000000
700000.00000000
PA
753208.77000000
0.030905564003
Long
DBT
CORP
GB
N
2
N/A
Fixed
7.25000000
N
N
N
N
N
N
OMAN GOV INTERNTL BOND
549300SZ20F0QTKNQC75
Oman Government International Bond
000000000
200000.00000000
PA
USD
200289.20000000
0.008218240328
Long
DBT
NUSS
OM
N
2
2032-10-28
Fixed
7.37500000
N
N
N
N
N
N
APPLIED SYSTEMS INC
549300NSKGF0SY5SWQ62
Applied Systems Inc
03827FAX9
826291.34000000
PA
USD
808216.22000000
0.033162622516
Long
LON
CORP
US
N
2
2024-09-19
Floating
6.39270000
N
N
N
N
N
N
REPUBLIC OF ANGOLA
549300QHR2R3J8JSGK83
Angolan Government International Bond
035198AF7
200000.00000000
PA
USD
148830.00000000
0.006106773146
Long
DBT
NUSS
AO
N
2
2032-04-14
Fixed
8.75000000
N
N
N
N
N
N
CCO HLDGS LLC/CAP CORP
N/A
CCO Holdings LLC / CCO Holdings Capital Corp
1248EPCP6
5700000.00000000
PA
USD
4093312.50000000
0.167956264574
Long
DBT
CORP
US
N
2
2034-01-15
Fixed
4.25000000
N
N
N
N
N
N
SUMMIT DIGITEL INFRASTR
3358004TNI1SSIQ9BQ37
Summit Digitel Infrastructure Ltd
86608CAA6
785000.00000000
PA
USD
570642.95000000
0.023414547090
Long
DBT
CORP
IN
N
2
2031-08-12
Fixed
2.87500000
N
N
N
N
N
N
ANGLOGOLD HOLDINGS PLC
213800745ZIXC4L6A131
AngloGold Ashanti Holdings PLC
03512TAF8
850000.00000000
PA
USD
690126.39000000
0.028317176015
Long
DBT
CORP
IM
N
2
2028-11-01
Fixed
3.37500000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140X6MU2
2280828.19000000
PA
USD
2158883.94000000
0.088583044224
Long
ABS-MBS
USGSE
US
N
2
2048-06-01
Fixed
4.00000000
N
N
N
N
N
N
Ludgate Funding Plc
213800LADM2GPWI3P269
Ludgate Funding PLC
000000000
1061409.60000000
PA
1113284.58000000
0.045680147671
Long
ABS-MBS
CORP
GB
N
2
2060-12-01
Floating
2.76750000
N
N
N
N
N
N
Apex Credit CLO LLC
N/A
Apex Credit Clo 2018-I Ltd
03755HAE3
2400000.00000000
PA
USD
2313924.00000000
0.094944627743
Long
ABS-CBDO
CORP
KY
N
2
2031-04-25
Floating
3.81300000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38375BUL4
178609.84000000
PA
USD
177606.41000000
0.007287523048
Long
ABS-MBS
USGA
US
N
2
2062-08-20
Floating
2.87729000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae REMICS
31359SWU0
1712.92000000
PA
USD
1729.95000000
0.000070983082
Long
ABS-MBS
USGSE
US
N
2
2031-05-25
Fixed
6.00000000
N
N
N
N
N
N
Morgan Stanley BAML Trust
N/A
Morgan Stanley Bank of America Merrill Lynch Trust 2016-C29
61766EBE4
1445000.00000000
PA
USD
1349203.87000000
0.055360357205
Long
ABS-MBS
CORP
US
N
2
2049-05-15
Fixed
3.32500000
N
N
N
N
N
N
HSBC HOLDINGS PLC
MLU0ZO3ML4LN2LL2TL39
HSBC Holdings PLC
404280DA4
700000.00000000
PA
USD
647636.01000000
0.026573716285
Long
DBT
CORP
GB
N
2
2026-03-10
Fixed
2.99900000
N
N
N
N
N
N
TOBACCO SETTLEMENT FIN AUTH WV
N/A
Tobacco Settlement Finance Authority
88880LAL7
300000.00000000
PA
USD
249654.00000000
0.010243770363
Long
DBT
MUN
US
N
2
2029-06-01
Fixed
2.55100000
N
N
N
N
N
N
SOUTHERN CAL EDISON
9R1Z5I36FERIBVKW4P77
Southern California Edison Co
842400GR8
2330000.00000000
PA
USD
1955863.98000000
0.080252755707
Long
DBT
CORP
US
N
2
2049-03-01
Fixed
4.87500000
N
N
N
N
N
N
GE CAPITAL UK FUNDING UN
BR7Z6BPTFF652NNO9651
GE Capital UK Funding Unlimited Co
000000000
300000.00000000
PA
311526.16000000
0.012782500762
Long
DBT
CORP
IE
N
2
2033-01-18
Fixed
5.87500000
N
N
N
N
N
N
APPLIED SYSTEMS INC
549300NSKGF0SY5SWQ62
Applied Systems Inc
03827FBA8
2058604.82000000
PA
USD
2032872.26000000
0.083412549407
Long
LON
CORP
US
N
2
2025-09-19
Floating
8.64270000
N
N
N
N
N
N
CHICAGO MERCANTILE EXCHANGE INC.
SNZ2OJLFK8MNNCLQOF39
IRS USD
000000000
1.00000000
NC
USD
-1322576.15000000
-0.05426777207
N/A
DIR
CORP
US
N
2
CHICAGO MERCANTILE EXCHANGE INC.
SNZ2OJLFK8MNNCLQOF39
Y
2031-10-01
112242.92000000
USD
0.00000000
USD
8600000.00000000
USD
-1434819.07000000
N
N
N
CASTLELAKE AVIATION ONE
2138003EQK2PETKID103
Castlelake Aviation One DAC
14855NAB2
811053.76000000
PA
USD
784947.56000000
0.032207865894
Long
LON
CORP
IE
N
2
2026-10-22
Floating
5.83400000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae
21H0406A6
6000000.00000000
PA
USD
5602734.60000000
0.229890675294
Long
ABS-MBS
USGA
US
N
2
2052-10-20
Fixed
4.00000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
3128MJ4Q0
18978.66000000
PA
USD
17333.44000000
0.000711223449
Long
ABS-MBS
USGSE
US
N
2
2048-08-01
Fixed
3.50000000
N
N
N
N
N
N
GOLDMAN SACHS BANK USA
KD3XUN7C6T14HNAYLU02
SWOP IRS USD
000000000
-2600000.00000000
NC
USD
-4707.08000000
-0.00019314029
N/A
DIR
CORP
US
N
2
GOLDMAN SACHS BANK USA
KD3XUN7C6T14HNAYLU02
Call
Written
GOLDMAN SACHS BANK USA
KD3XUN7C6T14HNAYLU02
GOLDMAN SACHS BANK USA
KD3XUN7C6T14HNAYLU02
IRS USD
000000000
0.00000000
NC
USD
0.00000000
0.00000000
DIR
CORP
US
THE SECURED OVERNIGHT FINANCING RATE
THE SECURED OVERNIGHT FINANCING RATE
2024-10-17
0.00000000
USD
0.00000000
USD
0.00000000
USD
-2600000.00000000
USD
2.92000000
USD
2023-10-13
XXXX
11282.92000000
N
N
N
Countrywide Home Loans
N/A
CHL Mortgage Pass-Through Trust 2007-4
12544RAA6
673127.22000000
PA
USD
326481.98000000
0.013396166017
Long
ABS-MBS
CORP
US
N
2
2037-05-25
Fixed
6.00000000
N
N
N
N
N
N
THAIOIL TRSRY CENTER
549300NH03B9E8VGJR89
Thaioil Treasury Center Co Ltd
88322YAK7
410000.00000000
PA
USD
321200.15000000
0.013179442657
Long
DBT
CORP
TH
N
2
2030-06-18
Fixed
2.50000000
N
N
N
N
N
N
BOEING CO
RVHJWBXLJ1RFUBSY1F30
Boeing Co/The
097023DB8
3400000.00000000
PA
USD
2971140.32000000
0.121911442058
Long
DBT
CORP
US
N
2
2028-02-01
Fixed
3.25000000
N
N
N
N
N
N
AMER AIRLINE 21-1A EETC
N/A
American Airlines 2021-1 Class A Pass Through Trust
02379KAA2
100000.00000000
PA
USD
81221.06000000
0.003332651939
Long
DBT
CORP
US
N
2
2034-07-11
Fixed
2.87500000
N
N
N
N
N
N
HILTON DOMESTIC OPERATIN
5493003EG7H0N1E4XV50
Hilton Domestic Operating Co Inc
432833AL5
700000.00000000
PA
USD
566965.00000000
0.023263633925
Long
DBT
CORP
US
N
2
2031-05-01
Fixed
4.00000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Pool
3133A0K78
644894.48000000
PA
USD
568595.34000000
0.023330529824
Long
ABS-MBS
USGSE
US
N
2
2050-01-01
Fixed
3.00000000
N
N
N
N
N
N
FED REPUBLIC OF BRAZIL
254900ZFY40OYEADAP90
Brazilian Government International Bond
105756CC2
532000.00000000
PA
USD
440807.49000000
0.018087155431
Long
DBT
NUSS
BR
N
2
2030-06-12
Fixed
3.87500000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140Q9T29
157023.20000000
PA
USD
148357.20000000
0.006087373278
Long
ABS-MBS
USGSE
US
N
2
2048-09-01
Fixed
4.00000000
N
N
N
N
N
N
PENNSYLVANIA ST HGR EDU ASSIST
N/A
Pennsylvania Higher Education Assistance Agency
709163GH6
263398.20000000
PA
USD
255522.80000000
0.010484578199
Long
ABS-MBS
CORP
US
N
2
2036-10-25
Floating
2.91300000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31418CYN8
136335.00000000
PA
USD
131181.92000000
0.005382639430
Long
ABS-MBS
USGSE
US
N
2
2048-07-01
Fixed
4.50000000
N
N
N
N
N
N
IRON MOUNTAIN INFO MGMT
N/A
Iron Mountain Information Management Services Inc
46285MAA8
3080000.00000000
PA
USD
2388502.73000000
0.098004732464
Long
DBT
CORP
US
N
2
2032-07-15
Fixed
5.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae REMICS
31397NAL9
244263.50000000
PA
USD
17017.06000000
0.000698241786
Long
ABS-MBS
USGSE
US
N
2
2039-02-25
Floating
2.61600000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31403YB36
7820.66000000
PA
USD
7808.95000000
0.000320415817
Long
ABS-MBS
USGSE
US
N
2
2033-12-01
Fixed
5.50000000
N
N
N
N
N
N
Residential Accredit Loans, In
N/A
RALI Series 2007-QH8 Trust
74924EAA5
1140416.34000000
PA
USD
1018285.62000000
0.041782162736
Long
ABS-MBS
CORP
US
N
2
2037-10-25
Variable
1.77847100
N
N
N
N
N
N
NUSTAR LOGISTICS LP
N62BF2PKP51FIIOIUN20
NuStar Logistics LP
67059TAH8
2337000.00000000
PA
USD
2004844.53000000
0.082262519245
Long
DBT
CORP
US
N
2
2030-10-01
Fixed
6.37500000
N
N
N
N
N
N
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
CBOT 10 Year US Treasury Note
000000000
674.00000000
NC
USD
-2422792.87000000
-0.09941172101
N/A
DIR
CORP
US
N
1
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
Long
WI TREASURY N/B
United States Treasury Note/Bond - When Issued
2022-12-20
77952917.87000000
USD
-2422792.87000000
N
N
N
INFORMATICA LLC
5493007SV33RZV7RPS40
Informatica LLC
45673YAH9
631825.00000000
PA
USD
613923.50000000
0.025190428972
Long
LON
CORP
US
N
2
2028-10-29
Floating
5.87790000
N
N
N
N
N
N
TULLOW OIL PLC
2138003EYHWO75RKS857
Tullow Oil PLC
899415AG8
410000.00000000
PA
USD
347095.75000000
0.014241987539
Long
DBT
CORP
GB
N
2
2026-05-15
Fixed
10.25000000
N
N
N
N
N
N
GOLDMAN SACHS BANK USA
KD3XUN7C6T14HNAYLU02
SWOP IRS USD
000000000
-1800000.00000000
NC
USD
-25563.62000000
-0.00104892312
N/A
DIR
CORP
US
N
2
GOLDMAN SACHS BANK USA
KD3XUN7C6T14HNAYLU02
Put
Written
GOLDMAN SACHS BANK USA
KD3XUN7C6T14HNAYLU02
GOLDMAN SACHS BANK USA
KD3XUN7C6T14HNAYLU02
IRS USD
000000000
0.00000000
NC
USD
0.00000000
0.00000000
DIR
CORP
US
THE SECURED OVERNIGHT FINANCING RATE
THE SECURED OVERNIGHT FINANCING RATE
2024-10-27
0.00000000
USD
0.00000000
USD
0.00000000
USD
-1800000.00000000
USD
2.97300000
USD
2023-10-25
XXXX
-13188.62000000
N
N
N
SK HYNIX INC
988400XAIK6XISWQV045
SK Hynix Inc
78392BAC1
610000.00000000
PA
USD
451927.65000000
0.018543436386
Long
DBT
CORP
KR
N
2
2031-01-19
Fixed
2.37500000
N
N
N
N
N
N
GREENKO POWER II LTD
254900YYA4B6O2O4JM12
Greenko Power II Ltd
39530MAA6
459425.00000000
PA
USD
362371.47000000
0.014868778889
Long
DBT
CORP
MU
N
2
2028-12-13
Fixed
4.30000000
N
N
N
N
N
N
BENCHMARK Mortgage Trust
N/A
Benchmark 2021-B24 Mortgage Trust
08163CBC2
6790000.00000000
PA
USD
5542850.82000000
0.227433531844
Long
ABS-MBS
CORP
US
N
2
2054-03-15
Fixed
2.58430000
N
N
N
N
N
N
REPUBLIC OF SENEGAL
549300NP14ZLQGWIUZ97
Senegal Government International Bond
000000000
200000.00000000
PA
118441.00000000
0.004859855662
Long
DBT
NUSS
SN
N
2
2037-06-08
Fixed
5.37500000
N
N
N
N
N
N
BURLINGTN NORTH SANTA FE
N/A
Burlington Northern Santa Fe LLC
12189LBJ9
1325000.00000000
PA
USD
1153061.24000000
0.047312258396
Long
DBT
CORP
US
N
2
2053-01-15
Fixed
4.45000000
N
N
N
N
N
N
INTERCONTINENTAL EXCHANGE, INC.
5493000F4ZO33MV32P92
CDS CDX.NA.IG.37.V1
000000000
1.00000000
NC
USD
1159.64000000
0.000047582197
N/A
DCR
CORP
US
N
2
INTERCONTINENTAL EXCHANGE, INC.
5493000F4ZO33MV32P92
IHS MARKIT LTD
CDX.NA.IG.37.V1
Y
Default Event
2026-12-20
5610.34000000
USD
0.00000000
USD
300000.00000000
USD
-4450.70000000
N
N
N
BAUSCH HEALTH COS INC
B3BS7ACMDUWISF18KY76
Bausch Health Cos Inc
071734AK3
3257000.00000000
PA
USD
1222026.40000000
0.050142027845
Long
DBT
CORP
CA
N
2
2029-02-15
Fixed
6.25000000
N
N
N
N
N
N
BANK OF AMERICA CORP
9DJT3UXIJIZJI4WXO774
Bank of America Corp
06051GKJ7
905000.00000000
PA
USD
788233.55000000
0.032342696207
Long
DBT
CORP
US
N
2
2028-02-04
Fixed
2.55100000
N
N
N
N
N
N
AIRPORT AUTHORITY HK
254900748HGC4RBR4O84
Airport Authority
00946AAE4
425000.00000000
PA
USD
307804.17000000
0.012629780553
Long
DBT
NUSS
HK
N
2
2052-01-12
Fixed
3.25000000
N
N
N
N
N
N
BENCHMARK Mortgage Trust
N/A
Benchmark 2022-B32 Mortgage Trust
08163NBP9
1800000.00000000
PA
USD
1395635.58000000
0.057265537073
Long
ABS-MBS
CORP
US
N
2
2055-01-15
Variable
3.20210000
N
N
N
N
N
N
FIRST QUANTUM MINERALS L
549300I7UVBGWRYMYZ18
First Quantum Minerals Ltd
335934AL9
2740000.00000000
PA
USD
2640770.90000000
0.108355767110
Long
DBT
CORP
CA
N
2
2025-04-01
Fixed
7.50000000
N
N
N
N
N
N
Marathon CLO LTD
549300VP041FQCCCOP44
Marathon CLO 2021-16 Ltd
56580KAA3
1250000.00000000
PA
USD
1203207.50000000
0.049369853195
Long
ABS-CBDO
CORP
KY
N
2
2034-04-15
Floating
3.71200000
N
N
N
N
N
N
CALPINE CORP
43R4VPJBXTU2O15HEF41
Calpine Corp
131347CQ7
1535000.00000000
PA
USD
1221870.90000000
0.050135647389
Long
DBT
CORP
US
N
2
2031-02-01
Fixed
5.00000000
N
N
N
N
N
N
BROADCOM INC
549300WV6GIDOZJTV909
Broadcom Inc
11135FBP5
2789000.00000000
PA
USD
1960109.48000000
0.080426956509
Long
DBT
CORP
US
N
2
2035-11-15
Fixed
3.13700000
N
N
N
N
N
N
CIBANCO SA INS DE BANCA
N/A
CIBANCO SA Institucion de Banca Multiple Trust CIB/3332
171653AA6
645000.00000000
PA
USD
455247.45000000
0.018679653986
Long
DBT
CORP
MX
N
2
2031-07-22
Fixed
4.37500000
N
N
N
N
N
N
SOUTHERN CO GAS CAPITAL
E8CD46SWUD2TSN8PA636
Southern Co Gas Capital Corp
8426EPAF5
1901000.00000000
PA
USD
1819743.47000000
0.074667476696
Long
DBT
CORP
US
N
2
2032-09-15
Fixed
5.15000000
N
N
N
N
N
N
GOLDMAN SACHS BANK USA
KD3XUN7C6T14HNAYLU02
SWOP IRS USD
000000000
-1700000.00000000
NC
USD
-21437.15000000
-0.00087960634
N/A
DIR
CORP
US
N
2
GOLDMAN SACHS BANK USA
KD3XUN7C6T14HNAYLU02
Put
Written
GOLDMAN SACHS BANK USA
KD3XUN7C6T14HNAYLU02
GOLDMAN SACHS BANK USA
KD3XUN7C6T14HNAYLU02
IRS USD
000000000
0.00000000
NC
USD
0.00000000
0.00000000
DIR
CORP
US
THE SECURED OVERNIGHT FINANCING RATE
THE SECURED OVERNIGHT FINANCING RATE
2024-10-25
0.00000000
USD
0.00000000
USD
0.00000000
USD
-1700000.00000000
USD
3.19000000
USD
2023-10-23
XXXX
-9622.15000000
N
N
N
Palmer Square European Loan Fu
549300EWDSB2XVX0CY09
Palmer Square European Loan Funding 2021-1 DAC
000000000
1847093.15000000
PA
1738990.64000000
0.071354037109
Long
ABS-CBDO
CORP
IE
N
2
2031-04-15
Floating
0.78000000
N
N
N
N
N
N
PACIFIC GAS & ELECTRIC
1HNPXZSMMB7HMBMVBS46
Pacific Gas and Electric Co
694308JJ7
4510000.00000000
PA
USD
2755562.19000000
0.113065868348
Long
DBT
CORP
US
N
2
2050-08-01
Fixed
3.50000000
N
N
N
N
N
N
JACKSON FINANCIAL INC
213800WXW2KG1N4CO374
Jackson Financial Inc
46817MAL1
1570000.00000000
PA
USD
1185113.40000000
0.048627418444
Long
DBT
CORP
US
N
2
2031-11-23
Fixed
3.12500000
N
N
N
N
N
N
PERUSAHAAN LISTRIK NEGAR
254900OYVDRYS9J51J61
Perusahaan Perseroan Persero PT Perusahaan Listrik Negara
71568PAJ8
605000.00000000
PA
USD
516530.85000000
0.021194226461
Long
DBT
CORP
ID
N
2
2029-07-17
Fixed
3.87500000
N
N
N
N
N
N
Argent Securities Inc.
N/A
Argent Securities Trust 2006-M1
04012MAQ2
1106239.97000000
PA
USD
321235.83000000
0.013180906675
Long
ABS-MBS
CORP
US
N
2
2036-07-25
Floating
3.38400000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Pool
3132AATX2
446983.45000000
PA
USD
425764.65000000
0.017469919582
Long
ABS-MBS
USGSE
US
N
2
2045-12-01
Fixed
4.00000000
N
N
N
N
N
N
INTERCONTINENTAL EXCHANGE, INC.
5493000F4ZO33MV32P92
CDS CDX ITRAXX.EU.34.V1
000000000
1.00000000
NC
800.06000000
0.000032827957
N/A
DCR
CORP
US
N
2
INTERCONTINENTAL EXCHANGE, INC.
5493000F4ZO33MV32P92
IHS MARKIT LTD
ITRAXX.EU.34.V1
Y
Default Event
2025-12-20
0.00000000
USD
-5927.00000000
USD
1200000.00000000
EUR
6727.06000000
N
N
N
BANCO DE BOGOTA SA
549300LYHE7LWSKDZT53
Banco de Bogota SA
059514AC3
405000.00000000
PA
USD
379327.05000000
0.015564498036
Long
DBT
CORP
CO
N
2
2026-05-12
Fixed
6.25000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140K0SW9
3674357.05000000
PA
USD
3238957.50000000
0.132900481655
Long
ABS-MBS
USGSE
US
N
2
2049-12-01
Fixed
3.00000000
N
N
N
N
N
N
HUARONG FINANCE 2019
549300M6T6OW4AGYHK10
Huarong Finance 2019 Co Ltd
000000000
550000.00000000
PA
USD
376062.50000000
0.015430547446
Long
DBT
CORP
VG
N
2
2029-11-13
Fixed
3.87500000
N
N
N
N
N
N
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
CBOT US LONG BOND
000000000
505.00000000
NC
USD
-5013620.65000000
-0.20571822854
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
2022-12-20
68848776.90000000
USD
-5013620.65000000
N
N
N
Toro European CLO
635400SBMZDOVHEFNA56
Toro European CLO 6 DAC
000000000
300000.00000000
PA
277917.68000000
0.011403481994
Long
ABS-CBDO
CORP
IE
N
2
2032-01-12
Floating
0.92000000
N
N
N
N
N
N
TRUIST FINANCIAL CORP
549300DRQQI75D2JP341
Truist Financial Corp
89788NAA8
1375000.00000000
PA
USD
1244517.73000000
0.051064889164
Long
DBT
CORP
US
N
2
2033-07-28
Fixed
4.91600000
N
N
N
N
N
N
Soundview Home Equity Loan Tru
N/A
Soundview Home Loan Trust 2006-OPT1
83611MLZ9
136125.26000000
PA
USD
134081.28000000
0.005501605591
Long
ABS-MBS
CORP
US
N
2
2036-03-25
Floating
3.62400000
N
N
N
N
N
N
PNC FINANCIAL SERVICES
CFGNEKW0P8842LEUIA51
PNC Financial Services Group Inc/The
693475AX3
1635000.00000000
PA
USD
1493115.03000000
0.061265301151
Long
DBT
CORP
US
N
2
2026-07-23
Fixed
2.60000000
N
N
N
N
N
N
Lehman Mortgage Trust
N/A
Lehman Mortgage Trust 2007-10
52522QAE2
1177916.22000000
PA
USD
407039.67000000
0.016701598645
Long
ABS-MBS
CORP
US
N
2
2038-01-25
Fixed
6.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140XGKB4
2648789.40000000
PA
USD
2389046.73000000
0.098027053801
Long
ABS-MBS
USGSE
US
N
2
2052-04-01
Fixed
3.50000000
N
N
N
N
N
N
Freddie Mac - STACR
N/A
Freddie Mac STACR REMIC Trust 2021-DNA5
35564KHE2
3039157.89000000
PA
USD
2963662.78000000
0.121604624613
Long
ABS-MBS
CORP
US
N
2
2034-01-25
Floating
3.93069000
N
N
N
N
N
N
NUSTAR LOGISTICS LP
N62BF2PKP51FIIOIUN20
NuStar Logistics LP
67059TAE5
205000.00000000
PA
USD
179030.66000000
0.007345962688
Long
DBT
CORP
US
N
2
2027-04-28
Fixed
5.62500000
N
N
N
N
N
N
CIKARANG LISTRINDO PT
254900NPCIO562Z7FN53
Cikarang Listrindo Tbk PT
536576AD3
540000.00000000
PA
USD
491844.74000000
0.020181309216
Long
DBT
CORP
ID
N
2
2026-09-14
Fixed
4.95000000
N
N
N
N
N
N
Ares Euro CLO
635400CPKWIBFGMQTE81
Ares European CLO XIV DAC
000000000
3750000.00000000
PA
3517036.83000000
0.144310596451
Long
ABS-CBDO
CORP
IE
N
2
2033-10-21
Floating
1.16200000
N
N
N
N
N
N
Freddie Mac - STACR
N/A
Freddie Mac STACR REMIC Trust 2022-DNA2
35564KRN1
1000000.00000000
PA
USD
913751.40000000
0.037492928256
Long
ABS-MBS
CORP
US
N
2
2042-02-25
Floating
6.03069000
N
N
N
N
N
N
UNITED AIRLINES INC
K1OQBWM7XEOO08LDNP29
United Airlines Inc
90932RAJ3
296992.48060000
PA
USD
284695.21000000
0.011681576721
Long
LON
CORP
US
N
2
2028-04-21
Floating
6.80900000
N
N
N
N
N
N
CELANESE US HOLDINGS LLC
CD30XVRLT4QO00B1C706
Celanese US Holdings LLC
15089QAL8
590000.00000000
PA
USD
576902.12000000
0.023671372537
Long
DBT
CORP
US
N
2
2025-03-15
Fixed
6.05000000
N
N
N
N
N
N
FORD MOTOR CREDIT CO LLC
UDSQCVRUX5BONN0VY111
Ford Motor Credit Co LLC
345397B77
700000.00000000
PA
USD
581448.00000000
0.023857898492
Long
DBT
CORP
US
N
2
2026-08-10
Fixed
2.70000000
N
N
N
N
N
N
BBVA BANCOMER SA TEXAS
549300WIWQK5Q9MCUN92
BBVA Bancomer SA/Texas
05533UAG3
400000.00000000
PA
USD
343055.96000000
0.014076227402
Long
DBT
CORP
MX
N
2
2034-09-13
Fixed
5.87500000
N
N
N
N
N
N
PANAMA BONOS DEL
549300SHS4T08CL0LP14
Panama Bonos del Tesoro
000000000
200000.00000000
PA
USD
174500.00000000
0.007160061238
Long
DBT
NUSS
PA
N
2
2031-06-30
Fixed
3.36200000
N
N
N
N
N
N
T-MOBILE USA INC
549300V2JRLO5DIFGE82
T-Mobile USA Inc
87264ABN4
1500000.00000000
PA
USD
979997.25000000
0.040211119332
Long
DBT
CORP
US
N
2
2051-02-15
Fixed
3.30000000
N
N
N
N
N
N
MGM CHINA HOLDINGS LTD
529900VZFN87OS7WJM66
MGM China Holdings Ltd
55300RAE1
400000.00000000
PA
USD
335507.60000000
0.013766504080
Long
DBT
CORP
KY
N
2
2025-06-18
Fixed
5.25000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae REMICS
3136A13P8
263804.36000000
PA
USD
249690.01000000
0.010245247921
Long
ABS-MBS
USGSE
US
N
2
2041-11-25
Fixed
4.00000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38376RLJ3
64600.83000000
PA
USD
64215.87000000
0.002634897201
Long
ABS-MBS
USGA
US
N
2
2065-10-20
Floating
2.95729000
N
N
N
N
N
N
Sound Point CLO LTD
549300W2FX6HEXN27U70
Sound Point CLO IX Ltd
83609GBN4
2600000.00000000
PA
USD
2518765.60000000
0.103349661555
Long
ABS-CBDO
CORP
KY
N
2
2032-07-20
Floating
3.91986000
N
N
N
N
N
N
EMIRATES NBD BANK PJSC
54930029BCN8HF3B1286
Emirates NBD Bank PJSC
000000000
495000.00000000
PA
USD
468823.41000000
0.019236701006
Long
DBT
CORP
AE
N
2
2025-02-18
Fixed
2.62500000
N
N
N
N
N
N
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
US ULTRA TREASURY BOND
000000000
29.00000000
NC
USD
-381328.54000000
-0.01564662291
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
2022-12-20
4354328.54000000
USD
-381328.54000000
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140QADH0
199323.87000000
PA
USD
192491.85000000
0.007898300480
Long
ABS-MBS
USGSE
US
N
2
2048-12-01
Fixed
4.50000000
N
N
N
N
N
N
NEXTERA ENERGY CAPITAL
UMI46YPGBLUE4VGNNT48
NextEra Energy Capital Holdings Inc
65339KCA6
1105000.00000000
PA
USD
707821.45000000
0.029043237409
Long
DBT
CORP
US
N
2
2052-01-15
Fixed
3.00000000
N
N
N
N
N
N
WESTLAKE CORP
GOXNEVUM0LL78B1OS344
Westlake Corp
960413AZ5
4310000.00000000
PA
USD
2661264.67000000
0.109196664807
Long
DBT
CORP
US
N
2
2051-08-15
Fixed
3.12500000
N
N
N
N
N
N
DEUTSCHE BANK NY
7LTWFZYICNSX8D621K86
Deutsche Bank AG/New York NY
251526CB3
5700000.00000000
PA
USD
5325382.32000000
0.218510392718
Long
DBT
CORP
DE
N
2
2025-11-26
Fixed
3.96100000
N
N
N
N
N
N
CHARLES SCHWAB CORP
549300VSGCJ7E698NM85
Charles Schwab Corp/The
808513BD6
2495000.00000000
PA
USD
2438862.50000000
0.100071087978
Long
DBT
CORP
US
N
2
N/A
Fixed
5.37500000
N
N
N
N
N
N
REPUBLIC OF ANGOLA
549300QHR2R3J8JSGK83
Angolan Government International Bond
035198AB6
200000.00000000
PA
USD
158176.00000000
0.006490256999
Long
DBT
NUSS
AO
N
2
2028-05-09
Fixed
8.25000000
N
N
N
N
N
N
SANTOS FINANCE LTD
213800BKUBSWG53XNS94
Santos Finance Ltd
803014AA7
1700000.00000000
PA
USD
1323615.41000000
0.054310414852
Long
DBT
CORP
AU
N
2
2031-04-29
Fixed
3.64900000
N
N
N
N
N
N
HUTAMA KARYA PERSERO PT
2549009QN3GU8QCI7Q61
Hutama Karya Persero PT
69375MAA1
454000.00000000
PA
USD
403996.44000000
0.016576729229
Long
DBT
CORP
ID
N
2
2030-05-11
Fixed
3.75000000
N
N
N
N
N
N
US TREASURY N/B
254900HROIFWPRGM1V77
United States Treasury Note/Bond
912810SN9
1800000.00000000
PA
USD
1008316.44000000
0.041373108642
Long
DBT
UST
US
N
2
2050-05-15
Fixed
1.25000000
N
N
N
N
N
N
PUERTO RICO CMWLTH
549300X44HXPLJU48U63
Commonwealth of Puerto Rico
74514L3H8
411775.00000000
PA
USD
421863.49000000
0.017309847694
Long
DBT
MUN
US
N
2
2029-07-01
Fixed
5.62500000
N
N
N
N
N
N
2023-10-30
Optimum Fund Trust
Dan Geatens
Dan Geatens
Division Director - Head of US Fund Administration